For the three, five and 10 years ended June 30, the pension fund returned an annualized net 8.6%, 8.4% and 9.2%, above the respective benchmark returns of 7.6%, 7.8% and 8.9%.
The pension fund had returned a net 29.2% for the fiscal year ended June 30, 2021.
For the most recent fiscal year, the return reflected a challenging market environment public pension funds faced 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.
For the most recent fiscal year, the pension fund benefited from holding more than 30% combined in alternative investments and real estate, which returned a net 22% and 18.4%, respectively, for the year ended June 30, above the respective benchmarks of 17.3% and 13.6% for the period.
The pension fund’s liquidity reserve asset class returned a net 0.2%, equal to its benchmark, while fixed income returned a net -9.8% (above the -9.9% benchmark); international equities, a net -11.8% (-14.1%); and domestic equities, -14.9% (-13.9%).
As of June 30, the actual allocation was 26.9% domestic equities, 21.8% international equities, 21.7% alternative investments, 17.1% fixed income, 10.8% real estate and 1.7% liquidity reserve.