Strathclyde Pension Fund (SPF), the UK’s largest local government pension scheme, with £15.8bn (€22.1bn) in assets, made a 13.4% investment return for the year to 31 March.

This compares with 13% for the benchmark and 8% for the previous year, and brings average annualised returns for the past five years to 8.6%.

Within the equity allocation, the best performers were Japanese stocks, which returned 31%, and North American (23.7%) and Pacific ex Japan (18.6%) equities.

The private equity portfolio made gains of 14.8%.

The best-performing fixed income class was UK index-linked Gilts, which made 21.1%, compared with UK Gilts (13.9%) and UK corporate bonds (13.1%).

Absolute return strategies within fixed income returned 3.3%, while the property portfolio made a return of 17.9%.

At end-March 2015, equities made up 74.6% of the portfolio (compared with a strategic benchmark of 72.5%), while 12.2% was in bonds (underweight the 15% benchmark), 10.6% in property (compared with the 12.5% benchmark) and 2.5% in cash.

The report on short to medium-term investment performance said: “Global equity markets have performed well relative to bond markets in recent years, so the fund’s equity bias has helped performance, and absolute performance over all periods has been strong. Property markets have also seen a period of recovery.”

But it added: “Underperformance by some equity managers and the cost of turnaround and build-up of the fund’s property portfolio has detracted from returns over the five-year period.”

SPF, administered by Glasgow City Council, is 94.3% funded, according to the latest triennial revaluation.

The Council’s pensions committee is currently reviewing the fund’s investment strategy.

Four alternative strategies are under consideration to improve downside risk, produce more efficiency and improve confidence in reaching the funding target.

In the interim, SPF is working towards a target allocation of 5% for its new opportunities portfolio, which includes infrastructure, finance and alternatives.

Four new commitments approved in June include two wind funds, and private debt and trade credit funds.