US - Pennsylvania's Public School Employees' Retirement System posted a 14.59% investment return in the year ended June 30, adding $6bn in value to the value of the fund.
The gains pushed assets under management to $45.9bn on June 30, up from $43.2bn the previous year.
Chief investment officer Alan Van Noord said strong asset-class performers for the fiscal year included US fixed income, which returned 21.43%, and private markets which returned 22.39%.
Other positive fiscal year returns included: US equities 18.29%; non-US equities 15.07%; global fixed income 14.43%; absolute return 15.6%; and commodities, 5.93%. While nearly all asset classes reported strong growth over the fiscal year, real estate continued to under-perform and returned -10.3% over the period.
Van Noord said: "Over the past fiscal year PSERS carefully revised its investment policy and asset allocation to reduce the fund's risk level. The fund decreased its allocation to equities and increased cash reserves to provide adequate liquidity to pay pension benefits during the current volatile markets. All of these changes allow adequate opportunity for the fund to manage investment risk, continue to grow and take advantage of market recoveries.
"PSERS' investments rebounded adding over $6bn in net investment income to the fund over the past fiscal year and earned well above the fund's assumed long-term actuarial investment rate of return of 8%.
"While the fund experienced positive growth during the past fiscal year, the investment markets remain unstable. There remains a strong need to maintain a well-diversified investment portfolio and a sound investment policy to help withstand the extreme volatility in the markets."
PSERS has also been awarded the Government Finance Officers Association of the United States and Canada (GFOA) Certificate of Achievement for Excellence in Financial Reporting for the fund's Comprehensive Annual Financial Report (CAFR) for the fiscal year ended June 30, 2009.
PSERS has won the award for the past 27 consecutive years.
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