Fiscal Year 2023 Pension Roller Coaster

MPI Transparency Lab projects a complete reversal of FY2022 results for U.S. public pensions with last fiscal year’s winners projected to have low single digit returns. Funds are lagging due to their exposure to poor performing private equities and commodities and winning because of exposure to global equities. Projected winners are teachers’ retirement systems of Georgia, Kentucky, Oklahoma and New York, public employee retirement system of Mississippi and LACERA. Oregon, Washington and Pennsylvania state PERS are projected to trail other funds. The median FY2023 return for the group of 40 large state pensions is 9.0%, which is lower than the 9.4% return of the Global 60-40 benchmark.

With most pensions and endowments reporting their results only once a year, outsiders rarely have an appreciation of their intra-year volatility. Our recently launched MPI Transparency Lab fills this gap by providing quarterly estimates of pension performance immediately after the quarter end. Our estimates are based on the 2022 fiscal year asset class exposures which we derived from annual pension returns, and asset class returns for four quarters of 2023 fiscal year (ending June 2023). Asset class performance for the second quarter of 2023 and the entire 2023 fiscal year (four quarters ending June 2023) is shown in chart below.