Nashville (Tenn.) & Davidson County Metropolitan Government Employee Benefit Trust Fund reported a net return of -1% for the fiscal year ended June 30.
The $4.2 billion pension fund's net return finished well ahead of the policy benchmark return of -11.2% for the period, according to a performance report posted on its website.
For the three, five and 10 years ended June 30, the pension fund returned an annualized net 10.8%, 9.7% and 9.7%, respectively, above their respective benchmarks of 5.2%, 5.6% and 6.9%.
The pension fund had returned a net 29% for the fiscal year ended June 30, 2021.
For the most recent fiscal year, the pension fund benefited from exposure to fixed-income alternatives, private equity and real assets totaling more than 56% of its assets, helping offset poor public equity and fixed-income returns 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 top-performing asset class for the fiscal year ended June 30 was real assets, which chalked up a net return of 17.3%, just below its benchmark return of 21.5%.
Private equity was next with a net return of 13.1% for the period. According to the performance report, private equity is benchmarked to the Russell 2000 index, which returned -25.2% for the year ended June 30.
Fixed-income alternatives was the next top performer with a net return of 10.2% (above its benchmark of -12.7%); followed by equity hedge, with a net return of -10.2% (-12% benchmark); fixed income, -9.3% (-10.3%); domestic equities, -18.6% (-13.9%); and international equities, -23.3% (-19.4%).
As of June 30, the actual allocation was 26.6% private equity, 22.2% fixed-income alternatives, 19.9% fixed income, 13% domestic equities, 9.6% international equities, 8% real assets, 0.5% cash and 0.2% equity hedge.
