For the most recent fiscal year, the pension fund chalked up the third-lowest return among the 38 public pension funds tracked by Pensions & Investments as of Friday.
With a combined allocation of nearly 80% to public equities and domestic fixed income, APERS was particularly hard hit by a harsh market environment for the asset classes.
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.
Among the pension fund's asset classes, real assets was by far the top performer for the fiscal year ended June 30, with a net return of 29.6%, well above its benchmark return of 13.1%.
Diversifying strategies was the next-best performer, with a net return of -4.5% (above its benchmark return of -12.5%), followed by domestic fixed income at a net -11.4% (-10.3% benchmark); domestic equities, -14.2% (-13.9%); and international equities, -22.2% (-17.8%).
As of June 30, the pension fund's actual allocation was 36.9% domestic equities, 23.4% international equities, 18.6% domestic fixed income, 15.7% real assets, 4.9% diversified strategies and the rest in cash.