Indiana Public Retirement's DB plan posts net return of 2.18% for fiscal year

Indiana Public Retirement System's $39.6 billion defined benefit plan posted a preliminary net return of 2.18% for the fiscal year ended June 30, slightly above its benchmark.

The plan's return finished just above the 2.16% net return of its passive defined benefit benchmark, which includes exposure via derivatives that provides more market exposure, the system disclosed in an investment report included with materials for its Sept. 9 board meeting.

For the three, five and 10 years ended June 30, the DB plan returned an annualized net 6.2%, 5.7% and 6%, respectively, compared with the respective passive DB benchmarks of 5.9%, 5.4% and 5.6%.

The INPRS DB plan returned a net -6.6% for the fiscal year ended June 30, 2022.

The latest fiscal year's improved performance likely benefited from stronger market returns for the period in both equities and fixed income. For the year ended June 30, the Russell 3000 and Bloomberg U.S. Aggregate Bond index returned 19% and -0.2%, respectively, well above their respective returns of -13.9% and -10.3% for the year ended June 30, 2022.

Of the 61 U.S. public pension funds whose fiscal-year returns have been tracked by Pensions & Investments as of Sept. 8, the median return for the period was 7.6%.

The INPRS DB plan return represents the lowest return yet tracked.

By asset class, the DB plan's top performer for the fiscal year ended June 30 was public equities, which returned a net 16.7% (above its 16.1% benchmark), followed by absolute return at 3% (above its 2.3% benchmark); private markets, 0.8% (-0.6%); real assets, -0.1% (-13.1%); fixed income (ex-inflation linked), -0.1% (2%); risk parity, -2.6% (9.9%); fixed income (inflation linked), -2.7% (-2%); and commodities, -5.2% (-5.6%).

As of June 30, the DB plan's actual allocation was 20.5% risk parity, 19.6% public equities, 16.1% private markets, 15.6% fixed income (ex-inflation linked), 13.8% fixed income (inflation linked), 8.9% commodities, 8.3% real assets, 6.7% absolute return and 2.9% cash and overlay.

The total exceeds 100% due to the inclusion of derivative overlays.