For the most recent fiscal year, the pension fund’s negative return reflected a difficult market environment for public equities and fixed income for the period. For the year ended June 30, the Russell 3000 index and Bloomberg U.S. Aggregate Bond index returned -13.9% and -10.3%, respectively, in sharp contrast to returns of 44.2% and 4.6% for the year ended June 30, 2021.
TRS’ return also fell short of the median return of -5.2% for the 77 U.S. public pension funds whose one-year returns ended June 30 have been tracked by Pensions & Investments as of Friday. While the pension fund’s real estate, private equity and timberland asset classes experienced positive returns for the period, the combined allocation of just under 18% of total assets could not offset the macroeconomic challenges of the public markets.
The best-performing asset classes for the fiscal year ended June 30 were real estate and private equity, which returned a net 25.9% and 25.6%, respectively (no benchmarks provided), while timberland returned a net 9.3% (below its 12% benchmark return).
Other asset class returns were: credit and high-yield bonds, returning a net -2% (above the -12.7% benchmark); fixed income, -10.2% (-10.9%); domestic equities, -16.22% (-11%); and international equities, -26.4% (-19%).
As of June 30, the pension fund’s actual allocation was 37.5% domestic equities, 17.7% international equities, 16.5% fixed income, 8.7% credit and high-yield bonds, 8.1% private equity, 7.5% real estate, 2.1% timberland and 1.9% cash.