Phoenix City Employees returns 22.8% for fiscal year, below benchmark

Phoenix City Employees' Retirement System returned a net 22.8% for the fiscal year ended June 30.

The $3.4 billion pension fund's net return fell below its policy benchmark return of 24.9% for the period, according to an investment report emailed by Greg Fitchet, investment officer.

For the three, five and 10 years ended June 30, the pension fund returned an annualized net 9.7%, 9.5% and 7.5%, respectively, below their respective benchmarks of 10.5%, 10% and 8.3%, respectively.

The pension fund returned a net 1.4% for the fiscal year ended June 30, 2020.

For the most recent fiscal year, private equity led all asset classes with a net return of 47.3% for the year ended June 30. Its benchmark lagged by one quarter.

Emerging markets equities was next, with a net return of 44% (above its 40.9% benchmark); domestic equities returned a net 40.5% (below its 44.2% benchmark); international developed markets equities, 32.4% (32.3%); global tactical asset allocation, 29.6% (9.4%); high-yield bonds, 23.4% (15.4%); hedge funds, 22.5% (27.5%); real estate, 10.8% (benchmark also lags by one quarter); emerging markets debt, 9.8% (7.4%); bank loans, 9.4% (11.7%); U.S. Treasury inflation-protected securities, 6.4% (6.5%); and investment-grade fixed income, 0.9% (-0.3%).

As of June 30, the actual allocation was 22.1% domestic equities, 14.7% international developed markets equities, 12% investment-grade fixed income, 11.9% real estate, 6.9% private equity, 6% emerging markets equities, 4.7% TIPS, 4.6% high-yield bonds, 3.9% hedge funds, 3.7% cash equivalents, 3.1% GTAA, 2.6% bank loans, 2.5% emerging markets debt, 0.8% infrastructure and the rest in natural resources.