New Hampshire Retirement System, Concord, returned a net 1% in the fiscal year ended June 30, spokesman Marty Karlon said.
The $7.4 billion pension fund’s fiscal year return was 140 basis points below its 2.4% policy benchmark. The pension fund returned an annualized net 7.1%, 7.2%, and 6%, respectively, in the three, five and 10 years ended June 30. In May, the pension fund had lowered its assumed rate of return to 7.25% from 7.75%.
For the fiscal year ended June 30, the best-performing asset class was real estate, which returned a net 13.8%, three percentage points above its policy benchmark. Fixed income returned 4.2%, 160 basis points below its policy benchmark, while alternative assets returned 2.8%, 170 basis points below its benchmark. Cash returned 0.2%, equal to its benchmark.
Domestic equity had a flat return, falling four percentage points below its 4% policy benchmark, while international equity returned -7.9%, 230 basis points above its policy benchmark.
As of June 30, the actual allocation was 32.8% domestic equity, 24.5% fixed income, 18% international equity, 13.3% alternative assets, 10.7% real estate and 0.7% cash.
Target allocations are 30% domestic equity, 25% fixed income, 20% international equity, 15% alternative assets and 10% real estate.