US - The Arizona State Retirement System (ASRS) reported a 17.8% annual return for the fiscal year ending 30 June 2007.
Michael Townsend, board chairman, ASRS, said: "Our members can be confident that the ASRS is poised to meet obligations of providing a lifelong income and a range of additional benefits when they retire."
During 2006, ASRS carried out an asset allocation study which prompted it to move 5% of its assets to private equity. To complement this move, the system also recruited a private equity consultant and developed a strategic plan for the asset class.
Following the study, the system also increased its holding in US small and mid caps to 7% and non-US equity allocation to 18%.
It also created an opportunistic asset class and absolute return classification with target allocations of 0% and ranges of 0-5%.
The fund's actuarial assumption needed to cover future liabilities remained at 8% with an annualised return since inception reaching 11%.
In February 2007, ASRS dropped Goldman Sachs Asset Management and Batterymarch from GTAA mandates worth $1.4bn and $140m respectively.
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