State of Wisconsin Investment Board, Madison, said the Wisconsin Retirement System's $118.1 billion core trust fund delivered a net return of -6.1% for the year ended March 31.
The pension fund's return exceeded its benchmark return of -6.3% for the period, according to a report included with materials for SWIB's upcoming board meeting Tuesday and Wednesday.
For the three- and five-year periods, the core trust fund returned a net annualized 11.3% and 7.1%, respectively, vs. their respective benchmark returns of 10.2% and 6.5%.
Meanwhile, SWIB's $8.8 billion variable trust fund returned a net -7.15% for the year ended March 31, compared with its benchmark return of -7.22.
For the three- and five-year periods, the variable trust fund returned a net annualized 16.6% and 8.1%, respectively, vs. their respective benchmark returns of 16.7% and 8.2%.
The core trust fund's actual asset allocation as of March 31 was 43.9% public equities, 23.9% public fixed income, 18.8% inflation-sensitive assets, 18% private equity and debt, 10.1% real estate, 0.1% cash and -14.8% leverage.
By asset class, the top net performers for the one-year period for the core trust fund were real estate at 6.8% (above its benchmark of 6.6%); private equity/debt at -0.1% (benchmark -3%); and public fixed income at -5.4% (benchmark -3.8%).
The worst one-year performers in the core trust fund were public equities at a net -7.1% (above its benchmark of -7.2%); and inflation-sensitive assets at -6% (above its benchmark of -6.1%).
The variable trust fund's asset allocation as of March 31 was 99.6% equities and 0.4% in cash and overlays.
The core trust fund is a fully diversified fund and all Wisconsin Retirement System participants are enrolled in it, spokesman Chris Preisler said in an email. Participants also may choose to put 50% of their contributions into the variable trust fund, which is an all-stock fund.
