Idaho Public Employees returns -9.5% for fiscal year but tops benchmark

Idaho Public Employee Retirement System, Boise, returned -9.5% for the fiscal year ended June 30.

The $20.9 billion pension fund's return, which exceeded the benchmark of -13.1% for the period, was the fourth worst in the pension fund's history, said Bob Maynard, chief investment officer, in comments included with an investment report on PERSI's website.

Mr. Maynard noted the previous low marks were losses of 16% each in fiscal years 1974 and 2009 and a loss of 15.4% in fiscal year 1970.

The report did not say whether overall returns were gross or net of fees.

In the comments, Mr. Maynard noted the challenging return environment for public equities and fixed income during the past year. 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.

"And it may not be over," Mr. Maynard wrote. "With a noticeably now‐hawkish Fed accelerating monetary tightening, increasing financial condition headwinds, a now slogging and brutal European war, leaping commodity prices (particularly energy and food), inflation of over +8% (the highest since 1981), worsening supply chain disruptions (exacerbated by China Covid 19 woes), continued labor shortages, European economic weakness, declining consumer spending, increased worries about stagnation, and recession fears mounting, the current capital market correction could accelerate an already bear market."

"The only optimistic note," he wrote, "is that the market still believes that individual company prospects are still robust, and world valuations are now back to average below most historic multiples (such as forward P/E's)."

For the three and five years ended June 30, PERSI returned an annualized net 6.1% and 7.1%, respectively, above their respective benchmarks of 5.6% and 6.7%.

For the fiscal year ended June 30, 2021, the pension fund had returned a net 27.6%.

For the most recent fiscal year, among asset classes for which the pension fund provided returns, fixed income returned -8.5% (above its -10.3% benchmark), domestic equities returned -13% (above its -13.9% benchmark) and international equities returned -21.2% (below its -17.3% benchmark). Other asset class returns were not provided.

As of June 30, the actual allocation was 31.7% domestic equities, 14.4% international equities, 14.3% fixed income, 10.1% Treasury inflation-protected securities, 8.2% emerging markets equities, 7% private equity, 5.5% private real estate, 4% real estate investment trusts, 3.7% Idaho commercial mortgages and 1.1% cash.

Mr. Maynard could not be immediately reached for further information.