North Dakota State Investment Board's pension trust returned a net 0.31% for the fiscal year ended June 30, below its policy benchmark of 0.63%, said David Hunter, executive director and chief investment officer of the North Dakota Retirement and Investment Office, Bismarck, in an e-mail.
By asset class, real assets returned 7.85% (vs. its 6.25% benchmark), followed by fixed income at 4.58% (vs. 6.4%) and global equity at -3.9% (vs. -3.75%).
As of June 30, the trust had an asset allocation of 57% global equity, 23% fixed income, 19% real assets and 1% cash.
Fixed-income duration that was shorter than corresponding benchmarks and the underperformance of two global equity managers — LSV Asset Management and Epoch Investment Partners — relative to their benchmarks contributed to the pension trust's underperformance in fiscal year 2016, Mr. Hunter wrote.
Although LSV and Epoch underperformed in fiscal year 2016, their net returns since inception (2013 and 2012, respectively) have exceeded their respective benchmarks, Mr. Hunter wrote.
An LSV official declined to comment. An Epoch spokesman was not immediately available for comment.
For the three, five and 10 years ended June 30, the $4.7 billion pension trust returned an annualized 6.51%, 6.35% and 4.77%, respectively, vs. its benchmarks of 5.92%, 5.99% and 5.56% in each of those periods.
The retirement and investment office oversees the investment board, which includes pension and insurance assets.