Mississippi Public Employees posts gross return of 7.8% for fiscal year

Mississippi Public Employees' Retirement System, Jackson, reported a gross return of 7.8% for the fiscal year ended June 30, falling short of its policy benchmark of 9.7%, according to a report prepared by Callan, the pension fund's investment consultant.

"The reason for the underperformance is mainly due to the relative valuation of private equity assets in relation to a benchmark based on public markets," said CIO Charles Nielsen in an email.

The $32 billion pension fund, however, beat policy benchmarks on a three-, five- and 10-year basis, earning annualized gross returns of 9.4%, 7.6% and 8.5%, respectively. The benchmark returns for the respective periods were 7.8%, 6.9% and 8%.

The Mississippi pension fund earned a gross return of -8.5% for the fiscal year ended June 30, 2022.

Domestic equity was the fund's top-performing asset class, delivering a gross return of 19.5%, followed by global equity and international equity, which earned 16.7% and 14.8%, respectively. The benchmark returns for the respective periods were 19%, 16.1% and 12.5%.

As of June 30, the fund's actual allocation was 26.1% domestic equity, 20.5% international equity, 18.5% total fixed income, 12% private equity, 11.8% global equity, 9.9% real estate and 1.1% cash. The target allocation is 27% domestic equity, 22% international equity, 20% total fixed income, 12% global equity, 10% real estate, 8% private equity and 1% cash.