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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 final rate of return is used in calculating contribution rates, determining if there are excess benefits to disperse to retirees and for calculating assets and liabilities of the plan.

The ASRS total fund returns for the fiscal year ending June 30, 2017 are as follows:

1 Year3 Years5 Years10 YearsInception
ASRS Return13.9%5.7%9.6%5.6%9.7%
ASRS Benchmark14.0%4.8%8.8%5.2%9.5%
Excess Return-0.1%0.9%0.8%0.4%0.2%

 

INVESTMENT RETURNS

Annualized Net Rates of Return for Fiscal Year 2016-17, period  ending June 30, 2017
(Benchmarks shown with asset classes.)
 
 1 YEAR3 YEAR5 YEAR10 YEARINCEPTION
ASRS Total Fund13.9%5.7%9.6%5.6%9.7%
ASRS Total Equity
 Total Equity Index
18.9
20.0
5.7
6.0
11.6
11.9
5.3
5.4
6.9
6.3
ASRS Domestic Equity
S&P Indicies
17.3
18.6
9.1
9.5
14.6
14.9
7.7
7.6
11.2
11.3
ASRS International Equity
MSCI  Indicies
20.9
21.3
1.4
1.6
7.6
8.0
1.2
1.8
6.1
5.8
ASRS Private Equity
Russell 2000 Index
16.5
24.5
10.5
6.0
12.3
10.7
n/a
n/a
11.7
11.2
ASRS Fixed Income
ASRS Custom Index
2.2
3.0
2.5
1.9
2.6
2.3
4.9
4.5
8.1
n/a
ASRS Private Debt
S&P LSTA +250bps
13.0
12.3
10.8
7.0
n/a
n/a
n/a
n/a
11.5
7.2
ASRS Real Estate Fund
NFI ODCE Index
11.4
7.8
12.9
11.3
13.1
11.2
n/a
n/a
8.5
7.3
ASRS Commodities
Bloomberg Commodity Index
-3.8
-6.5
-15.0
-14.8
-8.5
-9.2
n/a
n/a
-5.1
-6.3
ASRS Farmland
CPI (excl. food & energy) +3.5%
1.4
5.6
3.2
5.6
n/a
n.a
n/a
n/a
3.1
5.6
ASRS Multi-Asset Class Strategies
Custom Index
8.8
0.5
-0.9
0,2
5.9
6.0
5.1
3,6
6.4
5.3
ASRS Infrastructure
CPI (excl. food & energy) +3.5
9.5
5.6
n/a
n/a
n/a
n/a
n/a
n/a
7.7
5.6
ASRS Opportunistic Debt16.15.87.8n/a9.9
ASRS Opportunistic Equity20.817.123.8n/a23.1

 

Annual Net Historic Total Fund Returns

FISCAL YEARRETURN FISCAL YEARRETURN FISCAL YEARRETURN FISCAL YEARRETURN
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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