Minnesota posts 8.9% net fiscal-year return

Minnesota State Board of Investment's $85.7 billion in combined defined benefit plan assets returned a net 8.9% for the fiscal year ended June 30.

The St. Paul-based board's combined DB plan asset pool's return exceeded its benchmark return of 8.7% for the period, according to a performance report on its website.

For the three, five and 10 years ended June 30, the combined asset pool returned an annualized net 9.9%, 8.2% and 8.8%, respectively, above their respective benchmarks of 9.5%, 8% and 8.6%.

The DB plan asset pool had returned a net -6.4% for the fiscal year ended June 30, 2022.

For the most recent fiscal year, the SBI's DB plan asset pool benefited significantly from the massive improvement in public equity returns for the period. For the year ended June 30, the Russell 3000 index and MSCI EAFE index returned 19% and 18.8%, respectively, well ahead of their respective returns of -13.7% and -17.8% the prior fiscal year.

Not surprisingly, the DB plan asset pool's best-performing asset class was public equities, which posted a net return of 17.4% (above the 17% benchmark), while fixed income posted a net return of 0.1% (above its benchmark return of -1.3%), and private markets returned a net 1.8% (no benchmark provided).

Within the private markets asset class, private credit, resources, private equity and real estate returned a net 9.1%, 2.8%, .5% and -3.3%, respectively, for the fiscal year ended June 30.

As of June 30, the DB plan asset pool's actual allocation was 50.5% public equities, 25.4% private markets and 24.1% fixed income. The targets are 50% public equities and 25% each fixed income and private markets.

The Minnesota State Board of Investments oversees a total of $134.7 billion in state retirement plan assets, permanent funds and operating funds.