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Rates of Return

 

At the end of each fiscal year – June 30 – the ASRS calculates a rate of return on its investment portfolio. The assumed rate of return is 7.5 percent as of December 2017, a change from the pevious assumed rate of 8 percent, which had been in effect since inception.

The ASRS total fund returns - net of fees - for the fiscal year ending June 30, 2018 are as follows:

1 Year3 Years5 Years10 YearsInception
ASRS Return9.4%7.8%8.9%7.4%9.7%
Interim SAA Policy Benchmark8.4%7.1%8.0%6.7%9.4%
Excess Return1.0%0.7%0.9%0.7%0.3%

 

INVESTMENT RETURNS By ASSET CLASS

Annualized Net Rates of Return for Fiscal Year 2017-18, period  ending June 30, 2018
(Benchmarks shown with asset classes.)
 
 1 YEAR3 YEAR 
ASRS Total Fund9.5%7,8% 
ASRS Total Domistic & International Equity
 ASRS Custom Total Equity Benchmark
11.0
11.5
8.7
9.0
ASRS Domestic Equity
ASRS Custom Domestic Equity Benchmark
14.0
15.0
11.5
12.1
ASRS International Equity
ASRS Custom Internaltional Equity Benchmark
7.7
7.6
5.2
5.5
ASRS Public Markets Fixed Income
ASRS Custom Fixed Income Benchmark
-0.1
0.1
2.6
2.6
ASRS Inflation Linked 
ASRS CustomInflation Linked Benchmark
13.0
7.4
-3.0
-4.5
ASRS Multi-Asset Class Strategies
ASRS Multi-Asset Class Strategies Benchmark
7.3
1.3
0.9
0.3
ASRS Private Equity
Russell 2000
14.6
10.4
12.2
8.1
ASRS Private Opportunistic Equity
3.3
9.5
ASRS Private Debt
S&P/LSTA Leveraged Loan Indiex + 250 bps
10.4
7.1
10.8
7.4
ASRS Opportunistic Debt
6.1
5.7
ASRS Real Estate
NFI - ODCE Index
7.6
6.7
10.9
9.4

ASRS Farmland & Timber

CPI ex-Food & Energy + 350 bps

2.2

5.7

2.6

5.7

ASRS Total Infrastructure

CPI ex-Food & Energy + 350 bps

21.9

5.7

13.7

5.7

 

Annual Net Historic Total Fund Returns

FISCAL YEARRETURN FISCAL YEARRETURN FISCAL YEARRETURN FISCAL YEARRETURN
2017-18

9.4%

2016-17

13.9%

 2009-10 
14.9%  1999-00 10.0%   1989-909.5%
2015-160.60% 2008-09-18.1%  
 
 
1998-99  16.8%   1988-8914.3%
2014-153.2%  2007-08 -7.6%  
 
 
1997-98  21.3% 1987-883.1%
2013-1418.6%  2006-07  17.8% 
 
 
1996-9720.6%  1986-8711.8%
2012-1313.1%  2005-06  9.8%  1995-96 16.7%  1985-8631.5%
  2011-12 1.3% 2004-058.5%    1994-9517.8%  1984-8532.1%
2010-11 24.6%    2003-04 17.5%   1993-94 1.9%  1983-84-5.2%
   2002-03 2.4%    1992-93  16.7% 1982-8340.3%
   2001-02 -8.2%    1991-9214.6%  1981-822.4%
   2000-01 -6.7%   1990-918.0%  1980-815.0%
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