Colorado Fire & Police pension fund pool posts -7.8% net return for 2022

Colorado Fire & Police Pension Association's $5.1 billion long-term pool reported a preliminary net return of -7.8% for the fiscal year ended Dec. 31.

The pool's preliminary return fell above its policy benchmark return of -9.6% for the period, according to an investment report posted on the Denver-based pension fund's website.

For the three, five and 10 years ended Dec. 31, the pool posted preliminary annualized net returns of 6.4%, 6.7% and 7.8%, respectively, above the respective benchmarks of 6.3%, 6.3% and 7.6%.

For the year ended Dec. 31, 2021, the long-term pool returned a net 15.2%.

For the most recent year, the pension fund's negative return reflected a challenging market environment. For the year ended Dec. 31, the Russell 3000 index and Bloomberg U.S. Aggregate Bond index returned -19.2% and -13%, respectively.

By asset class, real estate had the top preliminary return for the year ended Dec. 31 at a net 13.8% (above its benchmark of 6%), followed by real assets at a net 11.8% (above its 6.1% benchmark) and private capital at 5% (above its -0.1% benchmark).

Absolute return posted a preliminary net return of 2% (above its -3.3% benchmark), followed by fixed income – credit, at a net -9.5% (above the -15.3% benchmark); equity long/short, -12.4% (-10.2%); fixed income – rates, -12.6% (-13%); and global public equity, -20.1% (-18.2%).

The long-term pool's target allocation is 39% global equity, 26% private markets, 10% each absolute return and fixed income – rates, 8% equity long/short, 5% fixed income – credit and 2% cash.

FPPA's long-term pool is designed for open plans throughout the state and has an investment return assumption of 7%.