The $71.1 billion combined defined benefit plans portfolio managed by the Minnesota State Board of Investment, St. Paul, produced net returns in the fiscal year ended June 30 that met or exceeded returns of its composite benchmarks over the period ended June 30, an investment report showed.
In the 12 months ended June 30, the combined fund returned 4.2% compared to 4% for the plan's composite index. In contrast, the portfolio returned 7.3% in the year ended June 30, 2019, trailing its benchmark return of 7.6%.
Annualized returns of the combined Minnesota public defined benefit plans over multiyear periods ended June 30, 2020 were 7.3% over three years (benchmark, 7.1%); five years, 7.3% for both the portfolio and the benchmark; 10 years, 9.7% (9.5%); and 30 years, 8.6% (8.4%).
As of June, the actual asset allocation for the combined defined benefit plan portfolio was public equity, 59.6%; fixed income, 20.4%; private markets, 15.6%; and cash, 4.4%.
Net returns by asset class for the combined DB plan fund in the year ended June 30 were led by the 13% return of the DB plan's $14.5 billion fixed-income portfolio. The benchmark return of the fixed-income benchmark also was 13% for the year.
The $42.4 billion public equity portfolio returned 2.7% in the DB plan's fiscal year ended June 30, topping the 2.4% return of its benchmark.