New Mexico Public Employees Retirement Association, Santa Fe, earned a net return of 11.13% for the fiscal year ended June 30, below its benchmark of 11.68%, according to a recent report by the $15 billion pension fund's general investment consultant, Wilshire Consulting.
Global equities earned a net return of 19.54%; credit-oriented fixed income, 8.15%; real assets, 7.35%; and risk reduction and mitigation, 0.22%.
Global equity includes stocks, hedged equity strategies and private equity. Risk reduction and mitigation includes core fixed income, global core fixed income, long-duration core fixed income and cash.
The pension fund's target allocation is 43.5% global equities, 21.5% risk reduction and mitigation, 15% credit-oriented fixed income and 20% real assets. The actual asset allocation as of June 30 was 47.6% global equities, 24.2% risk reduction and mitigation, 14% credit-oriented fixed income, 13.7% real assets and the rest in the state treasurer's office cash balance, which is used for operating capital and to pay benefits.
For periods ended June 30, the pension fund returned an annualized net 4.4% for the three years, 8.53% for five years and 3.97% for 10 years.