Illinois State Board of Investment, Chicago, returned -0.8% in the fiscal year ended June 30, underperforming the 0.7% return of its custom benchmark, said a report from its investment consultant, Meketa Investment Group.
In contrast in the previous fiscal year, ISBI returned 4.8%, outperforming the 4% return of its benchmark.
ISBI had $15.6 billion in defined benefit assets as of June. 30.
For the three, five and 10 years ended June 30, respectively, ISBI returned 7%, 6.9% and 5%, compared to the 6.8%, 6.5% and 5.3% returns of its custom benchmark. All returns are annualized.
Among asset classes in the 12 months ended June 30, its U.S. equities allocation returned -1.8%, underperforming the 2.1% return of its benchmark, the Russell 3000 index; non-U.S. equities returned -7.4% outperforming the -9.6% return of its benchmark, the MSCI All-Country World ex U.S. index; fixed income returned 1.4% underperforming the 5.8% benchmark, the Barclays Capital U.S. Universal index; real estate returned 10.8%, surpassing the 7.8% custom benchmark; private equity returned 6.3%, outperforming the 3.3% return of its benchmark, the Cambridge private equity index; hedge funds returned -9%, underperforming the -5.4% return of its benchmark, the InvestorForce public defined benefit hedge funds net.
ISBI is the process of reducing its hedge fund allocation to 3% from 7.7% as of June 30.