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 68 U.S. public pension funds whose fiscal-year returns have been tracked by Pensions & Investments as of Sept. 19, the median return for the period was 7.6%.
The pension fund's best-performing asset class for the fiscal year ended June 30 was public equities, which returned a net 15.9% (above the benchmark return of 14.5%), followed by high-yield bonds, at a net 9.8% (above the 9.1% benchmark); market-neutral strategies, 6.7% (5.4%); private markets, 1.3% (1.3%); Treasury inflation-protected securities, 0.0% (0.1%); core real estate, -0.2% (-3.9%); immunized cash flows, -0.2% (0.5%); emerging markets debt, -0.4% (9.4%); investment-grade bonds, -1.5% (-0.6%); and long-term government bonds, -6.7% (-6.8%)
As of June 30, the actual allocation was 46.7% public equities, 23.8% private markets, 5.7% each core real estate and immunized cash flows, 4.3% investment-grade bonds, 3% each emerging markets debt and market-neutral strategies, 2.1% high-yield bonds, 2% each long-term government bonds and TIPS and the rest in cash.
The target allocation is 49% public equities, 21% private markets, 8% investment-grade bonds, 5% each core real estate and immunized cash flows, 3% each emerging markets debt and market-neutral strategies and 2% each high-yield bonds, long-term government bonds and TIPS.
