By asset class, private equity posted a preliminary net return of 57% for the year ended June 30 (vs. its benchmark of 42.5%); followed by 53.5% for master limited partnerships (53.1%); 52.2% emerging markets equities (43.2%); 46.7% U.S. equities (45.6%); 40.4% non-U.S. equities (30.8%); 4.3% inflation-protected bonds (4.7%); 3.9% U.S. core fixed income (-0.3%); 0.9% cash (0.2%); -3.9% gold (-4%); and -10.4% U.S. long Treasuries (-10.6%).
The pension plan had posted a net return of 1.13% for the previous fiscal year ended June 30, 2020.
The plan has a target asset allocation of 35% fixed income; 28% real assets; 27% public equities; 12% private equity; 8% absolute return; and 3% cash, with 13% leverage.
The PennPSERS board is also considering changing the plan's asset allocation. The changes would include nearly doubling its allocation to U.S. equities to 21% from 11% while phasing out its allocation to hedge funds down to zero from 8%. A final decision won't be made until December.
The official fiscal-year investment return data will be finalized later this year.