Montana reports 9.1% return for fiscal year

Montana Board of Investments, Helena, reported a fiscal-year net return of 9.1% for the state's $14.8 billion Consolidated Asset Pension Pool.

The net return for the fiscal year ended June 30 fell just below the pool's custom benchmark return of 9.8%, according to an investment report on the board's website.

For the three and five years ended June 30, the asset pool of the state's nine pension funds returned an annualized net 4.2% and 8.3%, respectively, above their respective custom benchmarks of 3% and 7.3%.

The assets of the nine pension funds were first consolidated into a common investment pool in April 2017.

The consolidated asset pool had returned a net 8.5% for the fiscal year ended June 30, 2023.

For the most recent fiscal year, the asset pool likely benefited from strong market performance, particularly in domestic equities. For the year ended June 30, the Russell 3000 index returned 23.1%.

Of the 33 public pension funds whose fiscal-year returns have been tracked by Pensions & Investments as of Aug. 27, the median return for the period is 9.9%.

For Montana, the best-performing asset class was domestic equities, which returned a net 22.5% for the fiscal year ended June 30 (just below its custom benchmark return of 23.3%); that was followed by international equities, which returned a net 10.7% (11.6% benchmark); non-core fixed income, 9.1% (10.4%); real assets, 6.7% (6.6%); cash, 6.3% (5.7%); private investments, 4% (10.8%); core fixed income, 2.8% (2.6%); and real estate, -4.2% (-12%).

As of June 30, the Consolidated Asset Pension Pool's actual allocation was 27.6% domestic equities, 17% private investments, 14.6% core fixed income, 14.1% international equities, 12.3% real estate, 7.1% non-core fixed income, 6% real assets and 1.3% cash.