New Mexico State Investment Council's return for its largest endowment pool, the Land Grant Permanent Fund, was a net 12.9% for the fiscal year ended June 30, surpassing its benchmark of 11.51%, said Charles Wollmann, spokesman for the $22.3 billion Santa Fe-based endowments, in an email.
The $16.3 billion Land Grant Permanent Fund earned an annualized 5.38% for the three years, 8.85% for the five years and 4.81% for the seven years ended June 30. The portfolio outperformed its five-year benchmark of 8.77%.
The best-performing asset class for the fiscal year was non-U.S. equity at 21.9%, with $4.2 billion in the portfolio. The worst-performing asset class, excluding cash, was fixed income at 4.4%, still topping the benchmark for the $4.9 billion portfolio. The private equity portfolio underperformed its benchmark with a return of 13.9%, lagging by 3.9 percentage points. Officials attributed the private equity underperformance to officials failure to make commitments to 2009 and 2010 vintage funds due to the council restructuring at that time.
The land fund has interim asset allocation targets of 26% U.S. equities; 23% fixed income; 18% non-U.S. equities; 9% each private equity, real estate and real return; 5% absolute return; and 1% cash equivalent.