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 77 U.S. public pension funds whose fiscal-year returns have been tracked by Pensions & Investments as of Oct. 5, the median return for the period was 7.6%.
For the most recent fiscal year, the pension fund's top-performing asset class was international developed markets equities, which returned a net 19.5% (above its benchmark return of 17.5%); followed by domestic equities, which returned a net 18.8% (below the benchmark return of 19.2%); emerging markets equities, 11.5% (12.6%); strategic lending portfolio, 8.1% (9.7%); Canadian equities, 6.6% (6.9%); short-term investments, 2.7% (3.7%); domestic fixed income, -2.8% (-2.5%); private equity, -3.4% (-4%); and real estate, -4.1% (-3.1%).
As of June 30, the actual allocation was 28.6% domestic equities, 17.8% domestic fixed income, 13.4% private equity, 11.7% real estate, 11.6% international developed markets equities, 11.1% strategic lending portfolio, 3.4% emerging markets equities, 1.6% Canadian equities and 0.8% short-term investments.
The target allocation is 31% domestic equities; 20% domestic fixed income; 12% international developed markets equities; 10% each private equity, real estate and strategic lending portfolio; 4% emerging markets equities; 2% Canadian equities; and 1% short-term investments.