New Mexico Educational Retirement Board, Santa Fe, earned a 7.29% net return for its fiscal year ended June 30, topping its actuarial goal of 7.25%, said Bob Jacksha, CIO of the $13.3 billion pension fund, in an email.
The pension fund underperformed its fiscal one-year benchmark of 7.59%. By comparison, the pension fund's fiscal year 2018 net return was 8.3%.
New Mexico ERB earned an annualized net return of 9.11% for the three years, 6.73% for the five years, 9.63% for the 10 years, 5.73% for the 20 years and 8.43% for the 30 years ended June 30. Its benchmark for the three-year period was 9.34% and for the five years was 6.45%. Pension fund officials do not yet have benchmark returns for the longer periods.
The best-performing asset class for the year was real assets at 13.6%, followed by private real estate at 12.7%. The worst-performing asset classes were emerging markets equity at 0.8% and Europe, Australasia and Far East equity at 1.2%. Rounding out asset class performance for fiscal-year 2019 were private equity at 11.5%; public real estate, 10.8%; U.S. large-cap equity, 10.4%; core fixed income, 7.9%; emerging markets debt, 7.9%; opportunistic credit, 4.3%; U.S. small-midcap equity, 1.6%; and 5.9% global asset allocation, risk parity, and other diversifying assets.
The pension fund's asset mix as of June 30 was 25.9% fixed income; 17.3% U.S. equities; 15.1% private equity; 14% non-U.S. equities; 12% global asset allocation, risk parity and other diversifying assets; 7.8% real assets; 6.8% real estate; and the rest in cash.