Illinois State Board of Investment, Chicago, reported a net return of -6.3% for the fiscal year ended June 30 for the $23.2 billion in defined benefit plan assets it oversees.
The return fell below the custom benchmark return of -5.9% for the period, according to an investment report posted on the board's website.
For the three, five and 10 years ended June 30, the board reported annualized net returns of 7.2%, 7.3% and 8.3%, above the respective benchmarks of 6.1%, 6.6% and 7.7%.
The board had reported a net return of 25.8% for the fiscal year ended June 30, 2021.
The board's return also fell short of the median return of -5.2% for the 79 U.S. public pension funds whose one-year returns ended June 30 have been tracked by Pensions & Investments as of Wednesday. The DB plan returns were likely negatively affected by public equity and fixed income exposure exceeding 71% of total assets. For the year ended June 30, the Russell 3000 index and Bloomberg U.S. Aggregate Bond index returned -13.9% and -10.3%, respectively.
The top-performing asset class for the fiscal year ended June 30 was real estate, which posted a net return of 26.3% (below the 27.3% benchmark), followed by private equity at a net 21.7% (no benchmark provided).
The next highest return was private credit, which chalked up a net 7.9% (above the benchmark return of -4.2%), followed by rate-sensitive fixed income at a net -10.2% (-10.3%); domestic equities, -14.9% (-13.9%); and international equities, -18.5% (-19.9%).
As of June 30, the actual allocation was 27.5% fixed income, 24.4% domestic equities, 19.7% international equities, 11.3% real estate, 9.1% private equity, 6.1% private credit and 1.9% real assets.
The target allocation is 25% fixed income, 23% domestic equities, 21% international equities, 10% real estate, 9% each private credit and private equity, and 3% real assets.
ISBI oversees the investment management of the Illinois State Employees' Retirement System, General Assembly Retirement System and Judges' Retirement System.
