The pension fund benefited from exposure to private markets at about 53% of its total assets, which helped offset 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.
Returns by asset classes were only partially available and so the preliminary overall net return is likely to change, Mr. Bennett said. Returns in the pension fund's latest performance summary report for alternative credit, infrastructure, natural resources, private equity and real estate lagged by one quarter.
Among asset classes with information for the fiscal year ended June 30, risk diversifiers was the top performer with a net return of 4.2% (well above its benchmark return of -4.6%); while fixed income returned a net -7.6% (above its -8.2% benchmark); domestic equity, -13.9% (equal to its benchmark); and international equity, -19.1% (-19.4%).
As of June 30, the pension fund's actual allocation was 20.7% private equity, 15.3% domestic equities, 13.6% fixed income, 11% infrastructure, 10.1% real estate, 9.6% international equities, 7.2% risk diversifiers, 6.8% alternative credit, 4.9% natural resources and 0.8% cash equivalents.
