TCRS' return did exceed the median return of -5.2% for the 80 U.S. public pension funds whose one-year returns ended June 30 have been tracked by Pensions & Investments as of Friday. The pension fund likely benefited from a combined allocation to real estate, private equity and its strategic lending portfolio exceeding 36% of total assets.
Among the pension fund's asset classes, those chalked up the highest returns by far. For the fiscal year ended June 30, real estate, private equity and strategic lending posted net returns of 37.4%, 26.5% and 3.4%, respectively, compared to their respective benchmarks of 28.1%, 28.3% and -7.8%.
Short-term investments also posted a positive net return at 0.8% (above its 0.2% benchmark), which was followed by Canadian equities returning a net -6% (-6.3%); domestic equities, -11.2% (-11%); domestic fixed income, -14.6% (-15%); emerging markets equities, -19.5% (-21%); and international developed markets equities, -19.8% (-18.8%).
As of June 30, the actual allocation was 26.7% domestic equities, 19.8% domestic fixed income, 13.9% private equity, 13% real estate, 10.2% international developed markets equities, 9.8% strategic lending portfolio, 3.4% emerging markets equities, 1.9% Canadian equities and the rest in short-term investments.
The target allocation is 31% domestic equities; 20% domestic fixed income; 12% international developed markets equities; 10% each private equity, real estate and strategic lending portfolio; 4% emerging markets equities; 2% Canadian equities; and 1% short-term investments.
