Phoenix City Employees' Retirement System returned -4.7% for the fiscal year ended June 30.
The $3.2 billion pension fund's return fell short of the policy benchmark return of -3.7% for the period, according to a performance report emailed by Greg Fitchet, investment officer.
For the three, five and 10 years ended June 30, the pension fund returned an annualized 5.8%, 6.1% and 7%, respectively, below the respective benchmarks of 6.8%, 7% and 7.7%.
The pension fund had returned 22.8% for the fiscal year ended June 30, 2021.
Mr. Fitchet said the total returns are a combination of gross and net of fees.
The returns for the most recent fiscal year were reflective of a challenging market environment for public equities and fixed income. Among the 66 U.S. public pension funds tracked by Pensions & Investments as of Monday, the median return was -5.2% for the year ended June 30.
By asset class, the top performer for the most recent fiscal year was private equity, which returned 31.6% for the year ended June 30 (above the benchmark return of 14.1%), followed by real estate, which returned 24.5% (below its 29.5% benchmark); hedge funds, 6.1% (-5.6%); bank loans, -2.6% (-2.7%); Treasury inflation-protected securities, -5.2% (-5.1%); high-yield bonds, -9.1% (-12.8%); global tactical asset allocation, -9.9% (13.1%); investment-grade bonds, -11.2% (-10.3%); domestic equities, -12.7% (-13.9%); emerging markets debt, -18.6% (-17.5%); emerging markets equities, -19.9% (-25.3%); and international developed markets equities, -25.1% (-17.8%).
As of June 30, the actual allocation was 20.1% domestic equities, 15.7% real estate, 11.4% international developed markets equities, 11% investment-grade bonds, 8.1% private equity, 5.1% cash equivalents, 5% emerging markets equities, 4.6% TIPS, 4.4% high-yield bonds, 4.3% hedge funds, 2.9% GTAA, 2.6% bank loans, 2.1% emerging markets debt, 1.6% infrastructure and the rest in natural resources.
