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 38 public pension funds whose fiscal-year returns have been tracked by Pensions & Investments as of Thursday, the median return for the period was 7.6%.
By asset class, the top performer was domestic equities, which returned a net 18.6% for the fiscal year ended June 30, just below the benchmark return of 19%; followed by emerging markets equities, which returned a net 12.8% (above the benchmark return of 1.7%); real assets, 11.7% (6.4% benchmark); international equities, 11.2% (11.8%); opportunistic credit, 8.2% (4.3%); direct lending, 6.4% (12.9%); hedge funds, 3.7% (3.7%); private equity, 1.5% (-4.6%); private real estate, -2.2% (-3.1%); domestic fixed income, -2.4% (-0.8%); and real estate, -3% (-3.1%).
As of June 30, the actual allocation was 24.1% domestic equities, 13.6% private equity, 11.6% international equities, 11.3% hedge funds, 10.5% domestic fixed income, 7.7% real estate, 7.5% emerging markets equities, 5.8% real assets, 4% direct lending, 3.3% opportunistic fixed income and the rest in cash.
The target allocation is 22% domestic equities, 15% private equity, 11% each domestic fixed income and international equities, 10% hedge funds, 8% each emerging markets equities and real estate, and 5% each direct lending, opportunistic credit and real assets.
