Missouri Local Government Employees Retirement System, Jefferson City, reported a net return of 4.3% for the fiscal year ended June 30.
The $10.4 billion pension fund's performance fell below its policy benchmark return of 6.6% for the period, according to an email from Brian Collett, chief investment officer.
The return is the sixth lowest among the 70 public pension funds tracked by Pensions & Investments as of Sept. 22.
For the three-, five- and 10-year periods ended June 30, Missouri LAGERS returned an annualized net 10.3%, 7.9% and 8.5%, respectively, compared with respective benchmarks of 6.9%, 7% and 7%.
For the one-year period ended June 30, 2022, the pension fund returned a net -0.6%.
According to Megan Loehner, deputy chief investment officer at Missouri LAGERS, the top performing asset classes for the 1-year period ended June 30 were strategic assets, which returned a net 11.3%, equities (10.8%) and real assets (0.1%). The worst performers comprised net leverage (-2.8%), alpha (-1.9%) and fixed income (-1.3%).
Also, as of June 30, the pension fund's actual allocation was 38.4% equity, 35.7% real assets, 31.8% fixed income, 7.5% alpha, 5.5% strategic assets, 5.5% and -18.9% net leverage.
