Montana Board of Investments, Helena, returned a net 2.41% for its nine pension funds with a total $7.8 billion in assets for the fiscal year ended June 30, said David Ewer, executive director, in a telephone interview.
The $3.9 billion Public Employees’ Retirement System and $2.9 billion Teachers’ Retirement System, the board’s two largest pension funds, returned a net 2.41% and 2.42%, respectively. The two pension funds had fiscal-year gross returns of 2.91% and 2.98%, respectively, below the internal benchmark for each of 3.51% but above the 1.12% benchmark of peer plans, Mr. Ewer said.
Real estate had the highest return at 11.51%, followed by private equity, 11.05%. Both of those asset classes lag three months. Fixed income returned 8.07%; domestic equity, 3.01%; short-term investment pool, 0.3%; and international equity, -15.46%.
The pensions funds have a current asset allocation of 38% domestic equity, 24.3% fixed income, 16.9% international equity, 12.6% alternatives, 7.4% real estate and 0.8% cash.