For the three, five and 10 years ended June 30, the pension fund returned an annualized net 8.2%, 8.4% and 8.4%, respectively, above the respective benchmarks of 6.8%, 7% and 7.7%.
The pension fund had returned a net 27.7% for the fiscal year ended June 30, 2021.
The latest fiscal-year returns for the pension fund reflect challenging markets during the past year, particularly for public equities and fixed income.
SCERS provided partial returns by asset class for the fiscal year ended June 30. Private equity, private credit, non-core real estate and real assets lagged by one quarter in the new investment report.
Among those asset classes for which the pension fund provided full fiscal-year returns, the top performer was diversifying absolute return, which returned a net 2.1% (above its 0.3% benchmark), followed by liquid real return at a net 0.4% (below its 1.9% benchmark); public credit, -5.2% (-7.7%); growth absolute return, -8.2% (-4.5%); U.S. Treasuries, -8.7% (-8.9%); core/core plus fixed income, -10.4% (-10.3%); and global public equity, -18.5% (-15.8%).
As of June 30, the actual allocation was 38.7% global public equity, 12.1% core/core plus fixed income, 11.3% private equity, 9.4% real estate, 7.2% private real assets, 6.8% absolute return, 4.9% private credit, 3.7% U.S. Treasuries, 2.7% liquid real return, 1.9% public credit, and the rest in cash and other.