During that previous fiscal year, the board had benefited from its outsized allocation to alternatives in a period when the Russell 3000 index and Bloomberg U.S. Aggregate Bond index returned -13.9% and -10.3%, respectively. The board delivered the second-highest return among all U.S. public pension funds tracked by Pensions & Investments for the period.
For this most recent fiscal year, the WSIB is the first of 70 U.S. public pension funds tracked by P&I as of Sept. 22 to report a slightly smaller return than the previous year.
All the other U.S. public pension funds had significantly higher returns due to the dramatic recovery in public markets. For the year ended June 30, the Russell 3000 and Bloomberg U.S. Aggregate Bond indexes returned 19% and -0.2%, respectively.
Of the 70 U.S. public pension funds whose fiscal-year returns have been tracked by P&I as of Sept. 22, the median return for the period was 7.6%.
For the most recent fiscal year, the board's public equity asset class was the top performer with a net return of 16.9% (above its benchmark return of 16.5%); followed by tangible assets at 7.4% (benchmark 9%); real estate, 5.3% (-1.6%); innovation portfolio, 3.9% (3.4%); fixed income, 1.9% (zero); and private equity, -2.8% (-4.4%).
As of June 30, the commingled trust fund's actual allocation was 28.8% private equity, 25.7% public equity, 21% real estate, 15.3% fixed income, 6.9% tangible assets, 1.1% innovation portfolio and the rest in cash.
