For the most recent year ended June 30, TRS’ negative return reflected a challenging market environment for 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, in sharp contrast to returns of 44.2% and 4.6% for the year ended June 30, 2021.
However, among the 68 U.S. pension plans whose returns have been tracked by Pensions & Investments as of Thursday, TRS was well above the median return of -5.2%.
The pension fund benefited from both its exposure to real return (which consists of real estate, energy, natural resources and commodities), which returned a net 27.4% for the year ended June 30 (above its benchmark of 25.7%), and private equity, which returned a net 18.1% (below its benchmark return of 23.5%).
The pension fund’s stable value asset class (which includes total government bonds, stable value hedge funds and absolute-return strategies) had a net return of -10.2% (above its benchmark return of -14.2%); risk parity, -14.5% (-17.3%); and public equities, -16.1% (-17.3%).
As of June 30, the actual allocation was 35.1% public equities, 21.8% real return, 21% stable value, 18.4% private equity, 7.1% risk parity, 1.5% cash and -4.9% leverage.
The pension fund’s fiscal year ends Aug. 31.