Mississippi Public Employees posts 10.8% return for fiscal year

Mississippi Public Employees’ Retirement System, Jackson, reported a gross return of 10.8% for the fiscal year ended June 30, falling short of its policy benchmark of 11.3%, according to a report prepared by Callan, the pension fund’s investment consultant.

Ray Higgins, executive director of the $33.7 billion pension fund, attributed the underperformance primarily to its allocations in real estate and private equity.

“Real estate has struggled some in recent years since the pandemic but should hopefully begin changing directions, and private equity has been a strong contributor to our fund long term,” he said in an email.

Higgins also noted that the fund topped its 7% assumed rate of return and that it ranked in the 27th percentile compared with other public pensions in its peer group.

The pension fund also surpassed policy benchmarks on a three-, five- and 10-year basis, earning annualized gross returns of 3%, 8.4% and 7.7%, respectively, for periods ended June 30. The benchmark returns for the respective periods were 2.8%, 7.8% and 7.3%.

The pension fund earned a gross return of 7.8% for the fiscal year ended June 30, 2023.

Domestic equity was the pension fund’s top-performing asset class for the latest fiscal year, delivering a gross return of 21.6%, followed by global equity and international equity, which earned 20.7% and 12.6%, respectively. The benchmark returns for the respective periods were 23.1%, 18.4% and 11.6%.

As of June 30, the pension fund’s actual allocation was 25.5% domestic equity, 20.8% total fixed income, 20% international equity, 12.2% global equity, 11.7% private equity, 8.7% real estate, 1% cash and 0.1% private credit. The target allocation is 27% domestic equity, 20% each international equity and total fixed income, 12% global equity, 10% each real estate and private equity, and 1% cash.