The overall loss for the recent fiscal year comes amid a challenging market environment in public equities and fixed income. For the year ended June 30, the Russell 3000 index and Bloomberg U.S. Aggregate Bond index returned -13.9% and -10.3%, respectively, compared with returns of 44.2% and 4.6% for the year ended June 30, 2021.
Private equity was the fund’s top-performing asset class, delivering a gross return of 26%, followed by real estate, which earned 22.8%. Their respective benchmarks were 13.5% and 21.5%.
All other asset classes posted negative returns. Fixed income returned a gross -11.5%; followed by domestic equity, which returned -14.3%; global equity, -18.7%; and international equity, -22.2%. Their respective benchmarks were -10.3%, -13.9%, -16.5% and -19.9%.
As of June 30, the pension fund’s actual allocation was 24.3% domestic equity, 20.3% fixed income, 19.2% international equity, 12.9% private equity, 12.2% real estate, 10.4% global equity and 0.7% cash. The target allocation is 27% domestic equity, 22% international equity, 20% fixed income, 12% global equity, 10% real estate, 8% private equity and 1% cash.
