Wisconsin returns 28% for year ended June 30, above its benchmark

Wisconsin Retirement System's $129.7 billion core trust fund reported a net return of 28% for the year ended June 30.

The core trust fund's return exceeded its benchmark of 26.2% for the period, according to materials for the Madison-based State of Wisconsin Investment Board's upcoming meeting Tuesday and Wednesday.

For the five and 10 years ended June 30, the core trust fund returned an annualized net 11.8% and 8.9%, respectively, above their respective benchmarks of 11.3% and 8.5%.

The core trust fund returned a net 4.9% for the year ended June 30, 2020.

By asset class in the most recent year ended June 30, the best-performing asset class was domestic small-cap equities, with a net return of 58.1% (below its benchmark of 62%), followed by private equity/debt at a net 46.3% (above its 45.7% benchmark); emerging markets equities at a net 42.1% ( above its 41% benchmark); international small-cap equities, 42.1% (41.4%); global developed markets equities, 39.5% (39.7%); multiasset strategies, 26.6% (22.4%); high-yield fixed income, 17.7% (13.5%); emerging markets debt, 10.9% (7.5%); emerging markets debt (local currency), 7.5% (6.6%); inflation-sensitive assets, 6.6% (6.5%); real estate, 5.8% (1.5%); and investment-grade fixed income, 1.2% (-1%).

As of June 30, the core trust fund's actual allocation was 50.7% public equities, 25.1% public fixed income, 11.3% private equity/debt, 6.5% real estate, 3.4% multiasset strategies and 3% inflation-sensitive assets.

The State of Wisconsin Investment Board oversees a total of $157.9 billion in assets, including those of the Wisconsin Retirement System. The system's fiscal year ends Dec. 31.