Following that were the $7.9 billion County Employees' Retirement System (Non-Hazardous), which returned a net -5.9% (above its benchmark return of -6.1%); the $816 million Employees' Retirement System (Hazardous), -6% (benchmark -5.2%), and the $2.7 billion County Employees' Retirement System (Hazardous), -6.1% (-6.4%).
The authority in a news release Tuesday reported a collective net investment return of -5.7% for both the pension funds and insurance funds it oversees, bringing the total assets overseen to $21.6 billion as of June 30.
For the fiscal year ended June 30, 2021, the five pension funds had returned between 21.7% and 25.7%, net of fees.
The latest fiscal-year returns for the pension funds reflect a 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.
The news release said KPPA outperformed its peers in terms of risk-adjusted returns, according to its investment consultant Wilshire Advisors.
"In a turbulent and challenging year for markets, we were able to produce strong relative risk-adjusted returns for participants and outperform our benchmark by maintaining our disciplined investment approach," said Steven Willer, chief investment officer, in the news release. "We are well positioned to take advantage of market opportunities over the coming quarters."