New Mexico Educational Retirement Board, Santa Fe, earned 1% for the fiscal year ended June 30, making it a member of a small club of asset owners reporting positive fiscal year 2022 returns.
"In the tough market environment, we'll take anything that starts with a '+'!" said CIO Bob Jacksha in an email.
Of the nearly 30 public pension funds that Pensions & Investments has tracked so far, New Mexico Educational tops the list for fiscal years ended 30 and is only the third plan with a positive return.
The $15.5 billion pension plan surpassed its benchmark in all time periods, including a -2.8% benchmark for the fiscal year. New Mexico ERB also reported 8.8% for the three years (7.2% benchmark), 8.4% for the five years (7.5%) and 8.5% for the 10 years (7.7%) ended June 30.
New Mexico Educational Retirement Board's expected rate of return is 7%. The plan earned 28.76% in the prior fiscal year, surpassing its 24.28% benchmark.
Mr. Jacksha said the "heroes" among the asset classes in the fiscal year were private real estate with a 35.1% return and private equity at 21.9%. Global tactical asset allocation earned "an honorable mention" at 18.5%, he said.
The "zeroes" were non-U.S. equity — emerging markets equity with a -27.2% return and non-U.S. developed markets equity at -18.2%; and risk parity at -15.7%.
As of June 30, the pension plan had 24% public equity, 23% private equity, 17% opportunistic credit, 11% diversifying assets, 10% real assets, 9% real estate, 5% core bonds, and 1% each emerging markets debt and cash.
New Mexico ERB has target allocations of 44% to alternatives — made up of 15% private equity, 12% diversifying assets, 9% inflation-linked assets and 8% real estate; 31% to equities, consisting of 17% U.S. equity and 14% non-U.S. equity; and 24% fixed income, made up of 16.3% opportunistic credit 4.5% core fixed income and 1.4% emerging markets debt; and 1% cash.
