INPRS had a 12.4% allocation to private equity and 6.5% allocation to real estate as of April 30.

Mr. Davis also reported that the pension fund returned 8.31% for the year ended April 30, above its 7.31% custom benchmark and its 6.75% expected rate of return.

The three-year return was 3.51% and the five-year return was 5.11% vs. the custom benchmark's 3.12% and 4.83% return, respectively. Multiyear returns are annualized.

The 12-month returns were driven by strong performance in global equity at 17.04% and real estate at 20.05% as well as risk parity at 10.02%, according to Mr. Davis' report. INPRS had 23% in global equity, 11.2% in risk parity and 6.5% in real estate as of April 30.

Separately, a report presented to the board by Keith Bozarth, retired executive director of the $108.6 billion State of Wisconsin Investment Board, Madison, showed that while INPRS has a governance structure conducive to a shift toward limited internal long-only investment management, it lacks both the investment staff expertise and compensation structure to do so.

The report, written jointly by investment operations consultant Cutter Associates and governance consultant Funston Advisory Services, was commissioned by the board as a first step toward considering whether INPRS, which currently has all assets invested with external managers, should manage some investments internally, said Steve Russo, the system's executive director.

"You don't have the investment staff or the infrastructure to manage assets in-house," Mr. Bozarth said. He also called the compensation issue "an obstacle" because the public will see the size of the necessary compensation packages, "and that can be a significant issue. At Wisconsin, I spent a lot of time explaining to people our compensation. It requires tending and education. It can be done, but it is a task."

At SWIB, about $90 billion is managed internally, Mr. Bozarth said.

The report recommended that the system develop a "longer-term vision" for its investment program before moving ahead with any attempt at internal management.

Currently, the board delegates all investment authority to Messrs. Russo and Davis in their roles as executive director and CIO, which would allow them to institute some internal management, the report said, However, investment staff compensation already is "a serious issue for staff recruitment and retention," according to the report.

Mr. Bozarth, an adviser to Funston, said that among public pension funds, 37% of those with between $25 billion and $50 billion manage some of their assets internally.

According to INPRS' estimates, the pension fund will pay $188 million in external management fees in fiscal 2018, beginning July 1. Of that, $122 million will go to alternatives managers and $44 million will go to active public markets managers. With plan assets expected to reach $51 billion by 2031, based on its 6.75% expected annual rate of return and anticipated contributions, Mr. Davis said investment fees are a long-term issue for the pension fund.