Chicago police pension fund misses target with 24.7% preliminary return

Updated with clarification.

This item has been updated to show the returns reported by the pension fund are based on preliminary data.

Chicago Policemen’s Annuity & Benefit Fund reported a preliminary net return of 24.7% in the year ended June 30, trailing the 26.1% return of its benchmark, a performance report showed.

The fund’s preliminary total return does not include final June 30 returns of the fund’s private market strategies, said Thomas A. Beyna, president of the police fund’s board and chairman of the investment committee, in an email. Private market returns included in the preliminary return are as of Dec. 31, the pension fund’s fiscal year-end.

By comparison, the $2.9 billion pension fund’s net return as of June 30, 2020, was 0.8%.

Preliminary annualized net returns over longer periods ended June 30 were 9.8% for the three-year period (benchmark, 10.7%); five years, 9.9% (10.3%); and 7.9% over 10 years for the pension fund and its benchmark.

The defined benefit plan’s preliminary annualized return as of June 30 since inception in January 1984 was 8.7%. The report did not provide a benchmark return for that period.

The pension fund’s asset allocation as of June 30 was 61.9% equities, 19.2% fixed income, 5% hedge funds, 4.8% real estate, 2.7% opportunistic credit, 2.3% private debt, 2.2% infrastructure and the rest in private equity.

Net returns in the year year ended June 30 were led by the 41.8% return of the pension fund’s $1.8 billion equity portfolio (benchmark, 39.3%).

Net returns by asset class for the defined benefit plan for the year ended June 30 were:

• The $78.8 million opportunistic credit portfolio returned 28.4% (benchmark, 13.5%).
• The $147.3 million hedge fund portfolio returned 18.2%, matching its benchmark.
• The $565.1 million fixed-income portfolio provided a 2.3% return (-0.3%).
• The Dec. 31 returns of the fund’s private market strategies were:
• The $41.1 million private equity portfolio produced a 7.6% return (47.4%).
• Private debt investments totaling $68 million were up 3.7% (3.2%).
• The $139.8 million real estate portfolio returned 3.1% (2.6%).

The $65.3 million infrastructure portfolio was the pension fund’s only asset class with a negative return of 0.4% in the year, compared with a 2.6% return for the benchmark.