Missouri Education Pension Trust, Jefferson City, returned a net -3% for the fiscal year ended June 30, said Jenn Huffington, executive assistant, investments, in an email.
The trust's fiscal-year return well exceeded its policy benchmark return of -10.3% for the period, according to an investment report provided by Ms. Huffington.
For the five and 10 years ended June 30, the preliminary annualized net returns were 8.4% and 8.9%, respectively, above the respective benchmarks of 5.9% and 7.2%.
The education pension trust had returned a net 28.7% for the fiscal year ended June 30, 2021.
The trust's return for the most recent fiscal year ended June 30 reflects a challenging environment for public equities and public fixed income. Among the 58 U.S. public pension funds tracked by Pensions & Investments as of Friday, the median return for the year ended June 30 was -5.2%.
The trust's overall return fell above that median thanks in part to its private risk asset programs portfolio. That portfolio, which consists of private equity, real estate and private credit, comprises just under 27% of the trust's total assets, and all chalked up double-digit positive returns for the period.
By asset class, the top performer was real estate, which returned a net 29.7% for the fiscal year ended June 30 (above its benchmark return of 28.3%), followed by private equity, which returned a net 14.2% (above its benchmark of -15%), and private credit, which returned a net 11.3% (above its benchmark of -12.7%).
Those were followed by hedged assets, which returned a net -0.2% (above its -12.7% benchmark); U.S. Treasury inflation-protected securities, a net -2% (equal to its -2% benchmark return); credit, -8.7% (-9%); U.S. Treasuries, -9.6% (-8.9%); domestic equities, -14.1% (-13.9%); and international equities, -15.1% (-19.4%).
As of June 30, the actual allocation was 23.4% domestic equities, 18.3% private equity, 15% international equities, 13.8% U.S. Treasuries, 11% real estate, 9.1% hedged assets. 4.2% private credit, 2.6% credit, 1.7% cash equivalents and the rest in U.S. TIPS.
The Missouri Education Pension Trust consists of the combined $53.5 billion in assets of the Public School Retirement System and Public Education Employee Retirement System.
