For the three, five and 10 years ended June 30, KCERA returned an annualized net 6.8%, 6.5% and 7.1%, respectively, above their respective benchmark returns of 6.1%, 6.3% and 6.7%.
The pension fund had returned a net 23.9% for the fiscal year ended June 30, 2021.
The latest fiscal-year returns for the pension fund 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 best performing asset class for the fiscal year was private real estate, which returned a preliminary net 29.2%. No benchmark is yet available. Core real estate followed with a net return of 24.6% (below its benchmark of 29.5%), and private equity with a net 21.1% (benchmark not available).
Commodities was the next top performer with a net return of 19.4% (below its 24.3% benchmark return), followed by midstream energy at a net 9.3% (below its 11.4% benchmark); followed by hedge funds, a net 2.3% (above its -1% benchmark); alpha pool, 1.4% (4.2%); private credit, 0.6% (0.6%); opportunistic assets, -6.1% (10.5%); high yield/specialty credit, -10% (-12.7%); core-plus fixed income, -11.4% (-10.3%); domestic equities, -12.2% (-13.7%); international developed markets equities, -17.3% (-17.7%); emerging markets debt, -18% (-20.2%); and emerging markets equities, -21.9% (24.8%).
As of June 30, the actual allocation was 18.7% domestic equities, 11.9% core-plus fixed income, 11.3% international developed markets equities, 10.8% hedge funds, 7.1% core real estate, 6.3% midstream energy, 6.1% high yield/specialty credit, 5.3% commodities, 5.1% alpha pool, 4.9% each emerging markets equities and private credit, 4.3% emerging markets debt, 3.2% opportunistic assets, 2.8% private equity, 1.7% private real estate and about -4.6% cash.
The cash allocation is defined by KCERA's investment policy statement as physical cash "adjusted by the net notional exposure of overlay positions and derivative positions for the capital efficiency program."