For the most recent fiscal year, the pension fund's negative return reflected a difficult market environment for public equities and fixed income for the period. 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.
The pension fund did outperform the median return of -5.2% for the 74 U.S. public pension funds whose one-year returns ended June 30 have been tracked by Pensions & Investments as of Wednesday. The pension fund's public equity and fixed-income allocation totaled just under 67%, with alternatives making up the rest of its total allocation, helping offset those poor market returns.
The best-performing asset class reported for the fiscal year ended June 30 was opportunistic/alternatives, with a net return of 0.2% (above the benchmark of -0.2%), followed by fixed income at -7.5% (-10.9%); and public equities at -13.4% (-15.6%).
Private equity and real assets returns have a one-quarter lag, according to the performance report. The pension fund's real assets asset class consists of agriculture, infrastructure, real estate and timber.
As of June 30, the actual allocation was 51.4% public equities, 15.5% private equity, 15.1% fixed income, 7.5% real estate, 4.7% opportunistic/alternatives, 1.9% infrastructure, 1.7% timber, 1.2% agriculture and the rest in cash.
