Ohio Public Employees records 15.3% fiscal-year return

Ohio Public Employees’ Retirement System’s $109.3 billion defined benefit plan returned a net 15.3% for its fiscal year ended Dec. 31, said Michael Pramik, the Columbus-based system’s spokesman, in an email.

The plan’s return equaled its policy benchmark return for the period, according to an investment report provided by Mr. Pramik.

For the three, five and 10 years ended Dec. 31, the defined benefit plan returned an annualized net 14.9%, 11.4% and 10.1%, respectively, above the respective benchmarks of 14.6%, 11% and 9.8%.

The defined benefit plan had returned a net 11.4% for the year ended Dec. 31, 2020.

For the most recent fiscal year ended Dec. 31, the best-performing asset class was private equity, which returned a net 44.8% (below its benchmark return of 49.2%), followed by commodities, which returned a net 37% (above the 35.5% benchmark return); domestic equities, at a net 26.3% (25.7%); real estate, 17% (14.5%); risk parity, 11.9% (11.6%); opportunistic strategies, 11.6% (12.6%); hedge funds, 9.8% (10.7%); international equities, 8.7% (7.9%); Treasury inflation-protected securities, 6% (6%); securitized debt, 5.2% (4.5%); high yield, 5% (5.3%); core fixed income, -1% (-1.5%); U.S. Treasuries, -2.3% (-2.3%); and emerging markets debt, -5% (-5.2%)

As of Dec. 31, the DB plan’s actual allocation was 23.9% domestic equities; 22.1% international equities; 12.8% private equity; 10.5% core fixed income; 9.2% real estate; 5.2% risk parity; 4.4% emerging markets debt; 3.3% TIPS; 2.8% U.S. Treasuries; 1.9% high yield; 1.4% commodities; 1.2% securitized debt; 0.9% cash equivalents; 0.3% opportunistic strategies; and 0.1% hedge funds.