PennPSERS misses benchmark with 1.1% fiscal-year return

Pennsylvania Public School Employees' Retirement System, Harrisburg, posted a preliminary net return of 1.13% for the fiscal year ended June 30, below its policy benchmark of 2.74%.

Longer term, preliminary figures from the $59 billion pension plan showed that its net annualized returns for the three, five, 10 and 20 years ended June 30 were 5.63% (vs. its benchmark of 6.25%), 5.65% (vs. 6.08%), 7.7% (7.5%) and 5.58% (5.06%), respectively.

By asset class, PennPSERS posted a preliminary net return of 5.77% for real assets for the year ended June 30 (vs. its benchmark of 5.35%); 5.15% fixed income (5.9%); 4.58% for public and private equities (4.69%); 1.67% cash (1.47%); 0.14% risk parity (10.51%); and -0.49% absolute return (1.73%).

The pension plan had posted a net return of 6.68% for the previous fiscal year ended June 30, 2019.

The plan has a target asset allocation of 32% fixed income; 26% real assets; 19% public equities; 15% private equity; 10% each to private credit and absolute return; and 6% cash, with 18% leverage.

The official fiscal year investment return data will be finalized later this year.