The investment return was above the board's 9.7% custom benchmark and helped increase the combined fund assets for the eight statewide retirement plans the board manages to $68.3 billion, up 6.6% from June 30, 2017.
Overall board assets, which also include defined contribution funds and cash accounts, rose 7.5% to $96.2 billion.
In fiscal 2017, the board returned a net 15.1%.
As of June 30, the board returned 9.5% over five years vs. the 9.3% benchmark return, Mr. Perry said. The 10-year return was 7.8%, compared to the benchmark's 7.4%; 20 years, 6.8% vs. 6.6%; and 30 years, 9.1% vs. 8.8%. All multiyear returns are net of fees and annualized.
U.S. equity had the highest return for the fiscal year, at 15.4% vs. its custom benchmark's 14.8% return. International equity returned 7.5% compared to the benchmark's 7.3%; and core fixed income, 0.1% vs. –0.4%. Alternatives returned 14.8%; the portfolio does not have a benchmark. The board's new 8.9% Treasury portfolio does not have a fiscal-year return as the portfolio was established in January, Mr. Perry said. Its remaining asset allocation is 60% public equities, 15.8% core fixed income, 13.8% alternatives and 1.5% cash. Mr. Perry said the board's investments have outperformed a fully passive equivalent portfolio by an annualized 280 basis points over five years, 206 basis points over 10 years, 130 basis points over 20 years and 150 basis points for 30 years. "Longer term, we now look at a volatility equivalent benchmark return," he said.