The pension fund's broad asset allocation as of June 30 was 54.7% global equity, 21.8% real return, 17.8% stable value, 5.3% risk parity and 0.4% cash/asset allocation leverage.
Net returns by asset class in the year ended June 30 were led by the pension fund's stable value portfolio with 8.8% (benchmark, 9.8%) followed by risk parity, 8.5% (8.8%); real return, 7.1% (5.4%); global equity, 5.2% (6.2%); and cash/cash equivalents, 1.7% (2.3%).
Net returns within the stable value portfolio were led by long U.S. Treasuries, which returned 12.7% in the year ended June 30 (benchmark, 12.3%), while absolute-return strategies produced a 6.8% return (4.6%) and the return of the hedge fund portfolio was 2.2% (2.1%).
The energy, natural resource and infrastructure subasset class led returns for TRS' real-return portfolio, producing a 7.9% net return in the 12 months ended June 30 vs. the 3.7% return of the benchmark. Real estate contributed a 7.7% return to the overall portfolio (benchmark, 6.5%), while Treasury inflation-protected securities turned in a 4.9% return (4.8%). The return of the fund's commodities portfolio was -46% compared with the -11.5% return of its benchmark.
Private equity had the best net return of 10.7% (benchmark, 11.9%) within the system's global equity portfolio. U.S. equity was the next best performer in the year ended June 30 with a 7% return (benchmark, 9%), followed by emerging market equity , 2.5% (1.2%); directional hedge funds, 2.1% (1.1%); non-U.S. equity, 1% (1.3%); and non-U.S. developed market equity, which was -0.1% (1.3%).