Orange County Employees Retirement System, Santa Ana, Calif., posted a net return of -2.4% for the fiscal year ended June 30.
The $20.9 billion pension fund's return exceeded its policy benchmark return of -3.5% for the period, according to an investment report posted on its website.
For the three, five and 10 years ended June 30, OCERS returned an annualized net 7.8%, 7.5% and 7.6%, respectively, compared to the respective benchmarks of 7%, 7.1% and 7.6%.
The pension fund had returned a net 26.2% for the fiscal year ended June 30, 2021.
For the most recent fiscal year, the pension fund's negative return reflected a difficult market environment for public equities and fixed income for the period. However, its return has exceeded the median return of -5.2% for the 76 U.S. public pension funds whose one-year returns ended June 30 have been tracked by Pensions & Investments as of Thursday.
While returns by asset class were not provided in the investment report, OCERS likely benefited from relatively limited exposure to public equity and fixed income asset classes, which accounted for just less than 57% of the total fund's assets.
For the year ended June 30, the Russell 3000 index and Bloomberg U.S. Aggregate Bond index returned -13.9% and -10.3%, respectively, in sharp contrast to returns of 44.2% and 4.6% for the year ended June 30, 2021.
As of June 30, the pension fund's actual allocation was 40.8% global public equities, 16.9% private equity, 13% real assets, 10.3% risk mitigation strategies, 9.9% fixed income, 7.5% credit, 1.3% cash and cash overlay and 0.3% unique strategies.
OCERS spokesman Robert Kinsler could not be immediately reached for further information.
