Illinois State Board of Investment posts 25.8% net return

Illinois State Board of Investment, Chicago, reported a net return of 25.8% for the fiscal year ended June 30 for the $24.8 billion in defined benefit plan assets it oversees.

The return exceeded the custom benchmark return of 22% for the period, according to an investment report posted on the board's website.

For the three, five and 10 years ended June 30, the board reported annualized net returns of 12.1%, 11.2% and 9.1%, respectively, above the respective benchmarks of 10.7%, 10.2% and 8.4%.

The board had reported a net return of 4.6% for the fiscal year ended June 30, 2020.

For the most recent fiscal year, the best-performing asset class was private equity, which returned a net 54.9% for the year ended June 30 (above its 53.8% benchmark), followed by domestic equities at a net 43.4% (below its 44.2% benchmark); international equities, a net 39.2% (37.2%); credit, 19.5% (10.5%); real estate, 13.7% (1.5%); infrastructure, 11.6% (9.1%); and rate-sensitive fixed income, -0.9% (-0.3%).

As of June 30, the actual allocation was 27.7% domestic equities, 25% rate-sensitive fixed income, 22.8% international equities, 9% real estate, 6.9% credit, 6.6% private equity, 1.3% infrastructure and 0.7% cash.

ISBI oversees the investment management of the Illinois State Employees' Retirement System, General Assembly Retirement System and Judges' Retirement System.