Texas Teacher Retirement System, Austin, returned a net -2.3% for the year ended June 30.
The $184.4 billion pension fund's return was above its benchmark return of -3.8% for the period, according to an investment report included with materials for its investment management committee meeting Thursday.
For the three, five and 10 years ended June 30, TRS returned an annualized net 8.2%, 8% and 8.4%, respectively, above their respective benchmarks of 7.5%, 7.6% and 7.8%.
The pension fund had returned a net 27.3% for the year ended June 30.
For the most recent year ended June 30, TRS' negative return reflected a challenging market environment for 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, in sharp contrast to returns of 44.2% and 4.6% for the year ended June 30, 2021.
However, among the 68 U.S. pension plans whose returns have been tracked by Pensions & Investments as of Thursday, TRS was well above the median return of -5.2%.
The pension fund benefited from both its exposure to real return (which consists of real estate, energy, natural resources and commodities), which returned a net 27.4% for the year ended June 30 (above its benchmark of 25.7%), and private equity, which returned a net 18.1% (below its benchmark return of 23.5%).
The pension fund's stable value asset class (which includes total government bonds, stable value hedge funds and absolute-return strategies) had a net return of -10.2% (above its benchmark return of -14.2%); risk parity, -14.5% (-17.3%); and public equities, -16.1% (-17.3%).
As of June 30, the actual allocation was 35.1% public equities, 21.8% real return, 21% stable value, 18.4% private equity, 7.1% risk parity, 1.5% cash and -4.9% leverage.
The pension fund's fiscal year ends Aug. 31.
