Nevada Public Employees' Retirement System, Carson City, reported a gross return of -5.1% for the fiscal year ended June 30, according to an investment report posted on pension fund's website.
The investment return exceeded the policy benchmark of -8%.
CIO Steve Edmundson attributed the pension fund's outperformance to being slightly overweight in private equity, which he said had relatively strong performance for the fiscal year. In addition, the pension fund rebalanced $2.7 billion out of U.S. stocks at the end of October, shielding the fund from the full brunt of the market declines in the first half of 2022, Mr. Edmundson said.
The $54.3 billion pension fund also outperformed its policy benchmarks on a three-, five-, and 10-year basis, earning gross returns of 9%, 8.8% and 9.2%, respectively. The benchmark returns for the respective periods were 7.1%, 7.6% and 8.6%.
The pension fund had earned a gross return of 27.3% for the fiscal year ended June 30, 2021.
Private markets was the pension fund's top-performing asset class, posting a gross return of 22%, which eclipsed its 2.9% benchmark. All other asset classes posted negative returns. Fixed income returned a gross -2.8%; followed by U.S. stocks, which returned -10.4%; and international stocks, which returned -16.2%. Their respective benchmarks were -3.5%, -10.6% and -16.8%.
The overall return comes amid a challenging market environment in public equities and fixed income. For the year ended June 30, the Russell 3000 index and Bloomberg U.S. Aggregate Bond index returned -13.9% and -10.3%, respectively, compared with returns of 44.2% and 4.6% for the year ended June 30, 2021.
As of June 30, the actual allocation was 40.2% U.S. stocks, 26.8% U.S. bonds, 16.8% international stocks, 9.2% private equity, 6.4% private real estate and the rest in cash.
The target allocation is 42% U.S. stocks, 28% U.S. bonds, 18% international stocks and 12% private markets.
