New Mexico Public Employees logs return of 24.02%

New Mexico Public Employees Retirement Association, Santa Fe, posted a net return of 24.02% for the fiscal year ended June 30, according to a report from the $17.6 billion pension fund.

The return was 15 basis points below its policy benchmark of 24.17%.

For the three, five and 10 years ended June 30, PERA returned a net annualized 9.12%, 9.07% and 7.62%, respectively, compared to the respective benchmark returns of 9.36%, 8.98% and 7.61%.

The pension fund returned a net -1.5 for the fiscal year ended June 30, 2020.

By asset class, global equities returned 38.24% for the fiscal year ended June 30 (vs. its benchmark return of 36.47%); followed by risk parity, 32.33% (no benchmark); credit-oriented fixed income, 21.45% (12.29%); real assets, 19.32% (34.37%); and risk reduction, 2.45% (-0.28).

New Mexico PERA's target asset allocation as of June 30 was 35.5% global equities, 20% real assets, 19.5% risk reduction, 15% credit-oriented fixed income and 10% risk parity.

PERA has a 7.25% assumed rate of return.