Mississippi Public Employees posts -8.5% return for fiscal year

Mississippi Public Employees' Retirement System, Jackson, reported a gross return of -8.5% for the fiscal year ended June 30, exceeding the policy benchmark of -10.9%, according to a report prepared by Callan, the pension fund's investment consultant.

Ray Higgins, the executive director of the $31.2 billion retirement system, attributed the outperformance to the retirement system's diversified portfolio, saying that private equity and real estate were some of the better performers.

Mississippi PERS also topped its policy benchmarks on a three-, five- and 10-year basis, earning annualized gross returns of 7.9%, 8% and 9%, respectively. The benchmark returns for the respective periods were 6%, 6.7% and 8.1%.

The pension fund had earned a gross return of 32.7% for the fiscal year ended June 30, 2021.

The overall loss for the recent fiscal year comes amid a challenging market environment in public equities and fixed income. For the year ended June 30, the Russell 3000 index and Bloomberg U.S. Aggregate Bond index returned -13.9% and -10.3%, respectively, compared with returns of 44.2% and 4.6% for the year ended June 30, 2021.

Private equity was the fund's top-performing asset class, delivering a gross return of 26%, followed by real estate, which earned 22.8%. Their respective benchmarks were 13.5% and 21.5%.

All other asset classes posted negative returns. Fixed income returned a gross -11.5%; followed by domestic equity, which returned -14.3%; global equity, -18.7%; and international equity, -22.2%. Their respective benchmarks were -10.3%, -13.9%, -16.5% and -19.9%.

As of June 30, the pension fund's actual allocation was 24.3% domestic equity, 20.3% fixed income, 19.2% international equity, 12.9% private equity, 12.2% real estate, 10.4% global equity and 0.7% cash. The target allocation is 27% domestic equity, 22% international equity, 20% fixed income, 12% global equity, 10% real estate, 8% private equity and 1% cash.