Arizona Public Safety plan notches 7.9% fiscal-year return

Arizona Public Safety Personnel Retirement System, Phoenix, posted a gross return of 7.9% for the fiscal year ended June 30.

The $19.5 billion pension fund's return fell below its benchmark return of 15% for the period, according to a performance report included with materials for its upcoming Aug. 24 investment committee meeting.

For the three, five and 10 years ended June 30, the pension fund returned an annualized gross 10.7%, 7.7% and 7.7%, respectively, compared to the respective benchmarks of 10%, 7.8% and 7.6%.

The pension fund had returned a net -4% for the fiscal year ended June 30, 2022.

The latest fiscal year's improved performance likely benefited from stronger market returns for the period in both equities and fixed income. For the year ended June 30, the Russell 3000 and Bloomberg U.S. Aggregate Bond index returned 19% and -0.2%, respectively, well above the respective returns of -13.9% and -10.3% for the year ended June 30, 2022.

Of the 35 public pension funds whose fiscal-year returns have been tracked by Pensions & Investments as of Tuesday, the median return for the period is 7.6%.

By asset class, the top performer was domestic equities, which returned a gross 19% for the fiscal year ended June 30 (equal to its 19% benchmark), followed by international equities, which returned a gross 13% (12.5% benchmark); private credit, 5.4% (9.6%); global private equity, 1.5% (20%); core fixed income, -0.4% (-2.1%); and diversifying strategies, -1% (8.3%).

As of June 30, the actual allocation was 22.9% private equity, 22.2% domestic equities, 16% international equities, 13.6% private credit, 8.3% diversifying strategies, 6.9% core fixed income, 6.7% cash and 3.4% other assets.

The target allocation is 27% global private equity, 24% domestic equities, 20% private credit, 16% international equities, 10% diversifying strategies, 2% core fixed income and 1% cash.