For the most recent fiscal year, the pension fund's negative return reflects a challenging public markets environment during the past year. Of the 53 public pension plans tracked by Pensions & Investments as of Tuesday, the median return for the year ended June 30 was -5.2%.
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 was able to offset some of those losses in the public markets with a combined allocation of nearly 30% to private assets and real assets.
For the most recent fiscal year ended June 30, those asset classes returned a net 14.7% and 13.9%, respectively, compared with their respective benchmarks of 14.5% and 17.8%.
Absolute return posted a net -6.6% return for the year ended June 30 (below its -5.7% benchmark), followed by investment-grade fixed income at a net -10.4% (above its -11.9% benchmark); opportunistic fixed income at a net -13% (-10.8%); domestic equities, -15.4% (-16%); international equities, -18.7% (-18.3%); and emerging markets equities, -26.5% (-25.3%).
As of June 30, the actual allocation was 28.8% domestic equities, 17.9% international equities, 15.2% real assets, 14.3% private assets, 10.3% investment-grade fixed income, 6.1% cash, 3.7% opportunistic fixed income, 3.2% international equities and 0.5% absolute return.
