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 76 U.S. public pension funds whose fiscal-year returns have been tracked by Pensions & Investments as of Oct. 4, the median return for the period was 7.6%.
Masoudi said that for the trailing one year, absolute performance was driven by marketable equities (which returned a net 16.1%) and marketable alternatives (10.1%). He noted also that private equity was 7.3 percentage points over its benchmark, emerging markets equities, 6.4 percentage points above its benchmark and marketable alternatives, 5.0 percentage points. He did not provide further information.
As of June 30, the pension fund's actual allocation was 35% marketable equity, 19.7% marketable alternatives, 13.1% marketable fixed income, 12.9% private real assets, 12.3% private equity, 4.1% private debt, 1.5% gold and 1.4% cash with overlay.
The target allocation is 38.5% marketable equity, 16% marketable alternatives, 15% marketable fixed income, 13% private equity, 10.5% private real assets, 5% private debt, 1.5% gold and 0.5% cash with overlay.
The pension fund's fiscal year ends Dec. 31.
