For the three, five and 10 years ended June 30, the pension fund returned an annualized net return of 8.2%, 6.1% and 6.7%, respectively, compared with the three-, five- and 10-year respective benchmarks of 7.7%, 6.7% and 7%.
The pension fund returned a net -3.9% for the fiscal year ended June 30, 2022.
The fund's best-performing asset classes were equities and fixed income, which delivered net returns of 7.1% and 2.2%, respectively. Their respective benchmarks were 17.1% and -0.04%.
Real assets were the poorest performers, returning -9.5%, below the policy benchmark of -8.1%.
As of June 30, the actual allocation was 16.4% private equity, 16.1% U.S. large-cap equity, 11.8% core real estate, 11.3% international developed markets equity, 9% U.S. smidcap equity, 7.4% core bonds, 7.3% multi-sector fixed income, 6.5% long/short equity, 4.6% absolute return, 4.5% emerging markets equity and 2.9% opportunistic real estate.
The target allocation is 15% each U.S. large-cap equity, international developed markets equity and private equity; 10% each U.S. smidcap equity and core real estate; 7.5% each core bonds and multisector fixed income; and 5% each long/short equity, emerging markets equity, absolute return and opportunistic real estate.