Graphic: Public pension funds bounce back
Following a challenging year marred by the pandemic, many of the public pension funds that Pensions & Investments follows rebounded strongly in the year ended June 30. Not only were absolute returns better, but the majority had benchmark-topping returns over the one- and 10-year periods.
Beating the mark: Among funds with a minimum of $10 billion in assets, 33 of 48 exceeded their one-year benchmark by at least 50 basis points.* And of the 39 pension funds that provided a 10-year benchmark, 28 exceeded it. However, many had 10-year returns around their benchmark, ranging from 30 basis points below to 230 basis points above their yardstick.
Performance vs. benchmark (number of funds in each basis-point segment)
Largest funds excel: Among the 14 funds with at least $50 billion in assets, all but two exceeded their one-year benchmark.* Over 10 years, CalPERS and CalSTRS met their respective 8.5% and 9.7% benchmarks, while the other 12 funds that provided benchmark information exceeded theirs.
10-year performance vs. benchmark (basis points)
Equity tilts: The five largest public pension funds, whose assets ranged from $142.5 billion to $473.4 billion as of June 30, have generally weighted their portfolios with a heavy dose of public equity. Washington State Investment Board, with a 33% weight, is the exception.
Allocations of the largest public funds
*Includes funds that provided net and benchmark returns as of June 30. **Includes 6% leverage. Source: P&I Research Center