Chicago Municipal Employees misses benchmark with 1.3% return

Chicago Municipal Employees' Annuity & Benefit Fund returned a net 1.3% for the year ended June 30.

The $3.4 billion pension fund's net return fell short of its policy benchmark return of 2.1%, according to an investment report posted on the pension fund's website.

For the three, five and 10 years ended June 30, the pension fund returned an annualized net 4.1%, 5% and 7.8%, respectively, compared with their respective benchmarks of 5.2%, 5.6% and 7.7%.

The pension fund returned a net 3.5% for the year ended June 30, 2019.

The pension fund's fiscal year ends Dec. 31.

By asset class, fixed income was the best performer, with a net return of 3.7% for the year ended June 30 (below its benchmark of 4.7%). Following were real assets at 2.0% (below its 5.6% benchmark); domestic equities, 1.6% (2.9%); hedge funds, 0.3% (-2.1%); and international equities, -1.3% (-4.7%).

As of June 30, the actual allocation was: 25% domestic equities; 23.5% fixed income; 17.2% international equities; 12.6% real assets; 11.2% hedge funds; 3.8% global low volatility equities; 3.7% private equity; and 3% cash.

The target allocation is: 26% domestic equities; 25% fixed income; 17% international equities; 12% real assets; 10% hedge funds; and 5% each, global low volatility equities and private equity.

Steve Yoon, investment officer, could not be immediately reached for further information.