Pennsylvania State Employees’ Retirement System is planning to stop investing internationally in real estate investment trusts (REITs).

The $26.3bn (€24.6bn) pension fund said it would move to a domestic strategy to “continue to strive for the highest performing investments with the lowest volatility and best value for our members”.

The $369m REIT portfolio will be rebalanced using the pension fund’s existing REIT managers, CenterSquare Investment Management and CBRE Clarion Securities.

The pension fund is also changing its benchmark, swapping the S&P Developed Market Property Index for the FTSE NAREIT US Real Estate Index.

Penn SERS had a $2.42bn real estate exposure in September last year. Representing 9.2% of total assets, it is significantly below the target allocation of 12%, although within its policy range of 9% to 15%.

Most of the pension fund’s real estate portfolio is held through separate accounts, amounting to $1.05bn.

It also holds $527m in unlisted, non-core funds, and $320m in core funds. Its timberland investments, which are included in its real estate allocation, are valued at $153m.

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