Minnesota State Board of Investment returns a net 7.3% for the fiscal year end June 30, below its 7.6% benchmark.
Minnesota State Board of Investment, St. Paul, returned a net 7.3% on combined pension assets in the fiscal year ended June 30, said Mansco Perry III, executive director and chief investment officer, in an email.
The one-year net return lagged the 7.6% return of its policy benchmark over the same time period.
By comparison, the combined assets of Minnesota public defined benefit plans returned a net 10.3% in the 12 months ended June 30, 2018, compared to a benchmark return of 9.7%.
Despite the lower return, pension assets increased 2.7% to $70.66 billion in the year, buoyed by investment gains of $2.45 billion, the board's most recent investment report showed.
Total assets overseen by the MSBI, including defined contribution plans and cash accounts, was $101.1 billion, up 5.1% in a year-over-year comparison.
For periods ended June 30, the combined Minnesota pension funds returned 10.9% over three years (benchmark, 10.5%); five years, 7.3% (7.3%); 10 years, 10.9% (10.5%); 20 years, 6.5% (6.4%); and 30 years, 8.8% (8.5%).
The asset allocation of the combined pension funds as of June 30 was public equity, 62.2%; private markets, 14.6%; fixed income, 10.2%; Treasury bonds, 10.1%; and cash, 2.9%.
Asset class returns were led by private markets, including private equity, credit, natural resources and real estate, with a combined net return of 10.4%. Private equity returned a net 14.4% in the year; private credit, 10.6%; real estate, 9.1%; and natural resources, 0.9%.
There is no benchmark for the private markets portfolio overall or its subasset classes.
The Treasury bond portfolio returned a net 10.3% for the fiscal year, slightly trailing the 10.4% return of its benchmark. Fixed-income returns were a net 8.2% for the year vs. the portfolio's 7.9% benchmark.
The public equity portfolio returned a net 6.1% for the year; the benchmark was 6.4%. The net return of the U.S. equity portfolio was 8.5% vs. 8.9% for its benchmark; international equity saw a net return of 1.1% vs. 1.3% for its benchmark.
The cash return was a net 2.3%, matching the benchmark for the same 12-month period.
