The latest fiscal year's improved performance likely benefited from stronger market returns for the period. For the year ended June 30, the Russell 3000 and Bloomberg U.S. Aggregate Bond index returned 19% and -0.2%, respectively, well above the respective returns of -13.9% and -10.3% for the year ended June 30, 2022.
Of the 24 public pension funds whose fiscal-year returns have been tracked by Pensions & Investments as of Thursday, the median return for the period is 7.5%.
The pension fund's best-performing asset class for the fiscal year ended June 30 was domestic equities, which posted a net return of 20% (above its 19% benchmark), followed by international equities, with a net return of 14.7% (above its 13.3%); private real assets, a net 9.2% (above its 7.3% benchmark); public credit, 3.1% (9.6%); private credit, 6.3% (4.2%); absolute return, 2.5% (3.5%); liquid real return, 2.4% (0.2%); U.S. Treasuries, -2.2% (-2.1%); core/core-plus fixed income, 0.0% (-0.9%); private equity, -4.8% (-4%); and real estate, -8.3% (-7.2%).
Private credit, private equity and private real assets returns lag by one quarter, according to the report.
As of June 30, the actual allocation was 40.8% global public equity; 11% each core/core-plus fixed income and private equity; 8.4% real estate; 7.4% private real assets; 6.5% absolute return; 5% private credit; 4.9% U.S. Treasuries; 2.8% liquid real return; 2% public credit; and the rest in cash and other.
The target allocation is 40% global public equity, 12% core/core-plus fixed income, 11% private equity, 9% real estate, 7% each absolute return and private real assets, 5% private credit, 4% U.S. Treasuries, 2% each liquid real return and public credit and 1% cash and other.
