The latest fiscal year's improved performance likely benefited from stronger market returns for the period in both equities and fixed income. For the year ended June 30, the Russell 3000 and Bloomberg U.S. Aggregate Bond index returned 19% and -0.2%, respectively, well above their respective returns of -13.9% and -10.3% for the year ended June 30, 2022.
Of the 37 public pension funds whose fiscal-year returns have been tracked by Pensions & Investments as of Wednesday, the median return for the period is 7.6%.
By asset class, the pension fund's top performer for the fiscal year ended June 30 was natural resources, which returned a net 15.3% (above its benchmark return of -5%, which lagged by one quarter); followed by international equities with a net return of 14.5% (below its 18.8% benchmark); infrastructure, 11.9% (8.1% benchmark, which lagged by one quarter); emerging markets equities, 11.6% (1.7%); bank loans, 11.4% (10.1%); domestic equities, 11.2% (19%); emerging markets debt, 10.4% (7.8%); high-yield bonds, 5.9% (9.1%); global tactical asset allocation, 4.7% (7.1%); cash equivalents, 3.7% (3.6%); hedge funds, 1.2% (5%); investment-grade bonds, -0.9% (-0.9%); private equity, -1% (-6.7%); Treasury inflation-protected securities, -1.4% (-1.4%); and real estate, -2.6% (-10%).
As of June 30, the actual allocation was 21.5% domestic equities, 14.5% real estate, 12.6% international equities, 10.5% investment-grade bonds, 7.6% private equity, 5.4% emerging markets equities, 4.5% high-yield bonds, 4.4% TIPS, 4.2% hedge funds, 3% GTAA, 2.8% bank loans, 2.5% each cash equivalents and infrastructure, 2.3% emerging markets debt and the rest in natural resources.
The target allocation is 16% domestic equities, 15% investment-grade bonds, 12% real estate, 9% each international equities and private equity, 8% emerging markets equities, 7% TIPS, 5% each hedge funds and high-yield bonds, 4% each infrastructure and natural resources, and 3% each bank loans and emerging markets debt.
