New Mexico Public Employees Retirement Association, Santa Fe, returned a net -1.5% for the fiscal year ended June 30, matching its benchmark.
The $14.3 billion pension fund matched or topped its benchmark for all multiyear periods except for the five years ended June 30. PERA's three-year return was an annualized net 3.9%, besting its 3.5% benchmark; its five-year return was an annualized net 4.6%, just below its 4.8% benchmark; its 10-year return was an annualized net 7.5% slightly above its 7.1% benchmark, its 20-year return was an annualized net an annualized net 5.2% vs. 5% for the benchmark; and its 30-year return was an annualized net 7.9% vs. 7.7% for the benchmark.
The pension fund returned 6.29% for the fiscal year ended June 30, 2019.
The pension fund's target asset allocation is 37.2% global equities, which includes a 9% private equity allocation; 19.9% risk reduction; 20% real assets; 15% credit-oriented fixed income; and 7.9% risk parity. PERA has a 7.25% expected rate of return.