“Everyone had that big year in fiscal year 1986,” said Ken Lambert, chief investment officer of the $25.2 billion Nevada Public Employees' Retirement System, Carson City. “The big catalyst was fixed-income returns. Back then, funds had much larger allocations to fixed income than today.”
Nevada PERS returned 21% in its fiscal year ended June 30. The system's return in fiscal 1986 was 23.5%. In 1986, the fund had a 50% bond allocation; this year, it was 35% as of June 30.
“Big bond exposures made a lot more sense back then,” said Mr. Lambert. “You were coming off the crazy-high (Federal Reserve chairman Paul) Volcker rates in the early "80s.”
The $66.2 billion Ohio Teachers' fund, Columbus, returned 22.6% for the fiscal year ended June 30, confirmed spokesman Nick Treneff.
The latest fiscal year performance was led by domestic equity, which posted a 33.2% return, and international equities, real estate and alternative investment, each returning more than 20%.
The Wisconsin State Investment Board's $76.7 billion diversified core fund returned 22.9% for the fiscal year ended June 30, while its $5.8 billion variable fund, allocated exclusively to domestic and international equity, returned 32.1% for the fiscal year. Both were the highest since 1986, according to Vicki Hearing, public information officer for the Madison-based board.
The core fund return outperformed the customized benchmark's 22.1% return for the fiscal year, according to a statement from the board. The variable fund outperformed the 31.7% return of its customized benchmark, Ms. Hearing said in an e-mail.
The $50.3 billion Massachusetts Pension Reserves Investment Trust, Boston, ended its June 30 fiscal year, up 22.3% from the year before, confirmed Alethea Harney, a spokeswoman for state Treasurer Steven Grossman.
The $9 billion rise for the year left the PRIT fund just below the $50.6 billion high reached for the fiscal year ended June 30, 2008, prior to the financial crisis of 2008-"09.
Alaska Permanent, Juneau, returned 20.6% for the fiscal year ended June 30, with a total asset value of $40.1 billion, according to a news release.
U.S. equities had the highest return, at 33.4%, followed by global equities at 31.5%; international equities, 28.7%; real return, 17%; real estate, 16.9%; absolute return, 8%; U.S. fixed income, 5.3%; and international fixed income, 0.6%.
“These are outstanding returns, especially in light of the challenges that markets faced during this time,” CEO Michael Burns said in the news release. “A sluggish economic recovery and continued unemployment, Greece and Ireland's debt woes, political upheaval in the Middle East, Japan's earthquake; yet despite all these hurdles, markets kept moving forward for most of the year.”
Illinois SURS' defined benefit plan investments returned 23.8% for the fiscal year ended June 30, according to a statement from the Champaign-based system. The return, which is net of investment management fees, slightly outperformed its composite benchmark's return of 23.4%.
In the previous fiscal year, ended June 30, 2010, the system returned 15%, underperforming the 16% return of its customized benchmark.
The system's assets rose by $2.1 billion for the 12 months ended June 30, to $14.3 billion.
Over 25 years, ended June 30, the system returned an annualized 8.8%, outperforming its 7.75% assumed rate of return.
“The continuing challenge to SURS remains the funding status of the plan,” the statement said. The system was about 45% funded as of June 30.
William Mabe, executive director, said in the statement: “The plan continues to be significantly underfunded due to a long history of the state's failure to pay annually required state contributions, and we simply cannot expect investment performance alone to address the shortfall.”
Idaho Public Employees, Boise, returned 20.7% for the fiscal year ended June 30, according to an investment report posted on the $12 billion system's website. It was the best return for the system in 25 years, Bob Maynard, CIO, said in the report.
International equity and emerging markets equity each returned 28.9%; domestic equity, 25.1%; and fixed income, 6.2%.
The $10.4 billion Chicago Teachers' fund returned 24.5% for the year ended June 30, outperforming its custom benchmark's 23.6% return, according to preliminary data from the fund.
“We always want to remember ... that the fund is a long-term investor and we have to view our performance through that lens,” Kevin B. Huber, executive director, said in a statement about the performance.