Louisiana Municipal Employees' Retirement System, Baton Rouge, posted a net return of -10.9% for the fiscal year ended June 30.
The $1 billion pension fund's return exceeded its policy benchmark return of -11.8% for the period, according to a performance report on its website.
For the three, five and 10 years ended June 30, the pension fund returned an annualized net 4.6%, 5% and 4.4%, respectively, compared to the respective benchmarks of 4.1%, 5.2% and 6.7%.
The pension fund had returned a net 24.3% for the fiscal year ended June 30, 2021.
For the most recent fiscal year, the pension fund's negative return reflected a difficult market environment for public equities and fixed income for the period. For the year ended June 30, the Russell 3000 index and Bloomberg U.S. Aggregate Bond index returned -13.9% and -10.3%, respectively, in sharp contrast to returns of 44.2% and 4.6% for the year ended June 30, 2021.
The pension fund's return fell below the median return of -5.2% for the 75 U.S. public pension funds whose one-year returns ended June 30 have been tracked by Pensions & Investments as of Thursday.
While the pension fund's core real estate and private debt asset classes chalked up positive returns for the period, they comprise a combined total of less than 10% of its assets.
Those asset classes returned a net 36.6% and 10.2%, respectively, above their respective benchmarks of 29.4% and -11.1%.
The pension fund's Treasury inflation-protected securities returned a net -5.2% (just below the -5.1% benchmark), followed by domestic core fixed income at -10.3% (equal to its -10.3%) benchmark; high-yield bonds at a net -11.6% (-12.8%); domestic equities, -13.4% (-13.9%); international fixed income, -17.6% (-15.2%); emerging markets equities, -18.8% (-25.3%); and international developed markets equities, -18.9% (-17.8%).
As of June 30, the actual allocation was 32.8% domestic equities, 17.1% domestic core fixed income, 11.9% international developed markets equities, 10.3% emerging markets equities, 9.1% core real estate, 7.6% TIPS, 5.2% high-yield bonds, 4.3% international fixed income, 0.9% cash, 0.5% private debt and the rest in non-core real estate.
