Oklahoma Public Employees reports -14.5% return for fiscal year

Oklahoma Public Employees Retirement System, Oklahoma City, posted a gross return of -14.5% for the fiscal year ended June 30, according to an investment report prepared by Verus Advisory.

The one-year return edged past its policy benchmark of -14.6%.

The $10.4 billion pension fund also outperformed its policy benchmarks on a three-, five- and 10-year basis, earning gross returns of 4.6%, 5.7% and 7.4% respectively. The benchmark returns for the respective periods were 4.4%, 5.6% and 7.1%

The pension fund had earned a gross return of 28% for the fiscal year ended June 30, 2021.

The overall loss for the current year 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.

Enhanced index equity was the fund's top-performing asset class, earning a gross -10.3%; followed by U.S. fixed income and passive equity, which earned -11% and -11.9%, respectively. Their respective benchmark returns were -13%, -10.7% and -13%.

The worst-performing asset class was international equity, which earned a gross -20.8%; followed by active equity and U.S. equity, which earned -18.9% and -13.1% respectively. Their respective benchmark returns were -19%, -13.1% and -14.9%.

As of June 30, the actual allocation was 40.4% U.S. equity, 32% U.S. fixed income, 27.2% international equity, 0.3% cash and 0.1% real estate. The target allocation is 40% U.S. equity, 32% U.S. fixed income and 28% international equity.