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 44 public pension funds whose fiscal-year returns have been tracked by Pensions & Investments as of Tuesday, the median return for the period was 7.6%.
By asset class, the pension fund's top performer was domestic large-cap equities, which returned a net 19% (below its 19.4% benchmark); followed by domestic small-cap equities, which returned a net 17.4% (12.3% benchmark); international equities, 14.8% (12.7%); infrastructure, 7.6% (8.1%); private credit, 6.6% (12.9%); liquid absolute return, 6.1% (7.9%); private equity, 4.3% (22.5%); intermediate fixed income, 1.3% (-0.1%); risk parity, 0.5% (9.2%); core real estate, -0.2% (-4.7%); U.S. Treasuries, -2.9% (-3.1%); and value-added real estate, -3.1% (-2.8%).
As of June 30, the actual allocation was 19% international equities, 17.4% domestic large-cap equities, 9% risk parity, 8.2% private credit, 7.7% core real estate, 7.4% infrastructure, 7.3% intermediate fixed income, 5.3% each private equity and U.S. Treasuries, 4.7% non-core real estate, 4% domestic small-cap equities, 3.2% absolute return and 1.5% cash.
The target allocation is 20% international equities, 16% domestic large-cap equities, 10% risk parity, 8% private credit, 7.5% infrastructure, 7% intermediate fixed income, 6.5% core real estate, 6% each non-core real estate and U.S. Treasuries, 5% private equity, 4% domestic small-cap equities, 3% absolute return and 1% cash.
