Michigan Public School Employees Retirement System, East Lansing, returned a net 11.9% for the fiscal year ended June 30, below its 14.3% policy benchmark, according to documents posted on the Michigan Department of Treasury, Bureau of Investments' website.
For the three, five and 10 years ended June 30, the $84.2 billion pension fund returned an annualized net 6.1%, 9.7% and 8.9%, respectively, compared to the respective benchmarks of 6.8%, 9.7% and 8.9%.
The pension fund had returned a net 5.2% for the fiscal year ended June 30, 2023.
For the most recent fiscal year, the pension fund's top-performing asset class was domestic equities, which returned a net 29% (above the benchmark return of 23.5%); followed by international equities at 14.5% (11.6% benchmark); absolute return at 12.2% (7.7%); real return and opportunistic strategies at 10.5 % (6.5%); private equity and venture capital at 6.2% (33.7%); fixed income at 5.6% (2.6%); and real estate and infrastructure at 0.2% (-6.8%).
As of June 30, the pension fund's actual allocation was 21.6% private equity, 20.8% domestic equity, 13.8% international equities, 10.2% real return and opportunistic strategies, 10% fixed income, 10% absolute return, 9% real estate and infrastructure and 4.6% short-term investments.
The target allocation for MPSERS is 25% domestic equity, 16% private equity, 15% international equity, 13% fixed income, 10% real return and opportunistic strategies, 10% real estate and infrastructure, 9% absolute return and 2% short-term investments.
Michigan Department of Treasury, Bureau of Investments, manages assets for the plans that make up the $107.6 billion Michigan Retirement Systems, East Lansing, including MPSERS.