Ms. Sigler attributed the pension fund’s outperformance to its “diversity of assets,” noting that each asset class outperformed its respective benchmark. Equities outperformed by 700 basis points thanks in part to its private equity allocation, while fixed income outperformed by 300 basis points due to its private credit and absolute-return allocation, she said.
Real assets, which also topped its benchmark by a wide margin, outperformed because of its real estate allocation, Ms. Sigler added.
For the three, five and 10 years ended June 30, the pension fund returned an annualized net 7.8%, 7.2% and 7.7%, respectively, exceeding their respective benchmarks of 5.6%, 6.2% and 7.1%.
The pension fund returned a net 28% for the fiscal year ended June 30, 2021.
The fund’s best-performing asset class was real assets, which delivered a net return of 30.4%, above its policy benchmark of 22.7%. Fixed income and equities returned -7.9% and -8.4%, respectively, exceeding their respective policy benchmarks of -10.9% and -15.4%.
As of June 30, the actual allocation was 17.3% private equity, 15% domestic large-cap equity, 13.4% core real estate, 9.9% international developed markets equity, 8% domestic smidcap equity, 7.7% core bonds, 7.4% multisector fixed income, 6.9% long/short equity, 4.9% absolute return, 4.5% emerging markets equity, 3% opportunistic real estate, and 2% cash and equivalents.
The target allocation is 15% each domestic large-cap equity and private equity; 10% each domestic smidcap equity, long/short equity, international developed markets equity and core real estate; 7.5% each core bonds and multisector fixed income; and 5% each emerging markets equity, absolute return and opportunistic real estate.