Montana Board of Investments’ pension funds returned a combined net 2.1% for the board’s fiscal year ended June 30, said David Ewer, executive director, in an e-mail.
The pension funds’ policy benchmark returned 2.8%. The funds have a combined $10 billion in assets.
The top-performing asset class for the fiscal year was real estate, which returned 12.11%, followed by fixed income at 5.97%; private equity, 5.77%; domestic equity, 1.66%; short-term investments, 0.41% and international equity, -8.9%.
For the 10 years ended June 30, the Helena-based pension funds’ returned an annualized 5.89% vs. a benchmark return of 6.22%.
As of June 30, the pension plans’ asset allocation was 38% domestic equity, 24% fixed income, 15% international equity, 11% private equity. 9% real estate and 3% cash equivalents.
The target ranges as of June 30 were 28% to 44% domestic equity, 22% to 30% fixed income, 14% to 22% international equity, 9% to 15% private equity, 6% to 10% real estate and 1% to 5% cash equivalents.
This month, the board approved a new target range of zero to 4% for diversified strategies, which could include strategies such as global asset allocation.