Large public pension funds had slightly positive returns in the fiscal year ended June 30, with overall performance brought down by large market losses in international equities.
Among the top performers were the $8.6 billion San Diego County Employees' Retirement Association, with 6.5%, topping its benchmark's 5.2%, and the $48.8 billion Pennsylvania Public School Employees' Retirement System, with 3.43%.
SDCERA's performance was led by its stable-value category, which consists of emerging markets debt, global macro/CTAs, relative value and U.S. Treasuries, which returned 8.4%, a full 190 basis points above the category's benchmark of 6.5%.
Inflation-sensitive assets, which include real estate, natural resources and other real assets, and Treasury inflation-protected securities returned 5.6%, 110 basis points above the benchmark, while growth-oriented assets, which consists of global equities, emerging markets equities, private equity and high-yield fixed income, returned -1.7%, 200 basis points above the benchmark.
For Harrisburg-based PennPSERS, its risk-parity portfolio had the best returns at 21.43%, followed by U.S. fixed income with 10.64%.
Returns for the rest of the portfolios were private markets, 9.35%; real estate, 7.96%; U.S. equities, 3.62%; absolute return, 2.72%; international fixed income, 1.27%; non-U.S. equities, -13.14%; and commodities, -13.16%.
The pension fund's asset allocation as of June 30 was 22% private markets, 20.8% U.S. and international fixed income, 12.8% real estate, 12.6% absolute return, 11.6% U.S. equities, 11.4% international equities, 4.3% commodities, 2.5% cash and cash equivalents, 1.5% risk parity and 0.5% in master limited partnerships.
For the year ended June 30, the Standard & Poor's 500 returned 5.43%, the MCSI Europe Australasia Far East index returned -13.36%, the Barclays Capital Aggregate Fixed Income index returned 7.47%, and the J.P. Morgan Global Aggregate Bond index returned 3.21%.
Other fund returns
Other pension funds reporting returns included:
- The $108.9 billion Texas Teacher Retirement System, Austin, returned 2.68%;
- The $14.8 billion Kentucky Teachers' Retirement System, Frankfort; and the $12.4 billion Ohio Police and Fire Pension Fund, Columbus, each returned 2.4%;
- The $63.8 billion Ohio State Teachers' Retirement System, Columbus, returned 2.34%;
- The $69.9 billion New Jersey Division of Investment, Trenton, returned 2.26%;
- The $74.5 billion North Carolina Retirement Systems, Raleigh, and the $7.7 billion Missouri State Employees' Retirement System, Jefferson City, each returned 2.2%;
- The $152.5 California State Teachers' Retirement System, West Sacramento, and the $10.3 billion Oklahoma Teachers' Retirement System, Oklahoma City, returned 1.8% each;
- The $245.3 billion California Public Employees' Retirement System, Sacramento, returned 1.01%;
- The $37.5 billion Illinois Teachers' Retirement System, Springfield, returned 0.76%;
- The $26 billion Indiana Public Retirement System, Indianapolis, returned 0.68%;
- The $20.1 billion Mississippi Public Employees' Retirement System, Jackson, returned 0.59%;
- The $122.7 billion Florida Retirement Systems, Tallahassee, returned 0.29%; and
- The $24 billion Connecticut Retirement Plans & Trust Fund, Hartford, returned -0.9%.