New Mexico Educational chalks up 28.8% return

New Mexico Educational Retirement Board, Santa Fe, earned a net return of 28.8% for fiscal-year 2021, topping its 24.3% benchmark for the year, said Bob Jacksha, CIO of the $15.8 billion pension plan.

The pension plan earned a net 10.6% annualized for the five years, 8.6% for the 10 years, 7% for the 20 years and 8.7% for the 30 years ended June 30. By comparison, the total fund benchmark was 10.56% for the five years, 8.3% for 10 years, 6.8% for 20 years and 7.8% for 30 years.

New Mexico Educational Retirement Board has a 7% expected rate of return. It returned a net -0.97% the prior fiscal year.

The two top-performing asset classes for the year were domestic smidcap equity at 52.5%, underperforming its 57.8% benchmark, and private equity at 51.7%, below its 52% benchmark. The pension fund's entire U.S. equity portfolio returned a net 42.5%, underperforming its 44.2% benchmark; non-U.S. equities returned 35.2%, below its 35.7% benchmark; fixed income, 16.8%, outperforming its -0.3% benchmark; other diversifying assets earned 8% (2.2% benchmark); real estate returned 28.7% (7.4%); real assets, 12.6% (9.6%); natural resources returned 11.2% (19.8%); and cash was 0.1%. equal to its benchmark.

The pension fund's target allocation is 31% equities, 24% fixed income, 15% private equity, 12% diversifying assets, 9% inflation-linked assets, 8% real estate, 1% cash and zero absolute return.

As of June 30, New Mexico ERB had 32.1% invested in equities, 22.8% in fixed income, 18.8% private equity, 11.2% diversifying assets, 7.7% inflation-linked assets, 6.1% real estate, 1.2% cash and zero in absolute return.