Asset AllocationSeptember 13, 2022

Nevada PERS Loses 5.1% in Fiscal Year 2022

Portfolio beats benchmark thanks to a private equity allocation exceeding the pension fund’s ‘allocation range tolerance.’

Reported by Michael Katz

The Nevada Public Employees’ Retirement System’s investment portfolio lost 5.1% for the fiscal year that ended June 30, as its asset value declined to $54.3 billion from $59.4 billion a year earlier. The results were well off the pension fund’s 7.25% assumed rate of return, but easily beat its benchmark, which lost 8.0% during the fiscal year.

International stocks were the worst-performing assets for the portfolio, losing 16.2% gross of fees, according to a performance update issued by the fund. Next were U.S. stocks, which lost 10.4%, and U.S. bonds, which were down 2.8%. Meanwhile, private equity and private real estate were the top-performing asset classes for the pension fund, returning 23.3% and 19.6%, respectively.

Despite the strong performance from its private markets assets, which returned 22% combined, it wasn’t enough to help the portfolio produce a positive return, as they only account for 15.6% of the total asset allocation. However, the results would have been worse had Nevada PERS maintained its target allocation of 6% for private equity. The portfolio’s actual allocation is 9.2%, which exceeds its target by more than 50%, and is beyond the pension fund’s “allocation range tolerance” of 4% to 8% as stated in its investment policies.

U.S. stocks account for 40.2% of the assets, while U.S. bonds and international stocks account for 26.8% and 16.8% of the portfolio, respectively. The remainder is in cash.

Nevada PERS also reported three-, five- and 10-year annualized returns of 9.0%, 8.8% and 9.2%, respectively, beating its benchmark, which returned 7.1%, 7.6% and 8.6%, respectively, during the same time periods.