Minnesota State Board of Investment's $81.3 billion in combined defined benefit plan assets returned a net -6.4% for the fiscal year ended June 30.
That's in sharp contrast to the 30.3% return for the fiscal year ended June 30, 2021, the St. Paul-based combined pension fund's highest return since the 1983 fiscal year. It's benchmark return for the year ended June 30, 2021, was 28.8%.
The latest fiscal-year return slightly trailed the -6.3% return of the fund's benchmark, a board report showed.
Over longer time periods ended June 30, annualized net returns of the combined fund topped their benchmarks: three years, 8.3%, (benchmark, 7.9%); five years, 8.5% (8.2%); 10 years, 9.4% (9%); 20 years, 8.2% (8%); and 30 years, 8.6% (8.4%).
The combined fund's broad target asset allocation is 50% public equity, 25% fixed income, and 25% private markets.
The public equity portfolio returned -15.5% in the year ended June 30, a little better than the portfolio's benchmark return of -15.7%. All of the fund's three equity portfolios (domestic, international and global) had negative returns as of June 30, the investment report showed.
The fund's equity portfolio totaled $39.7 billion as of June 30.
For the year ended June 30, the combined fund's $20.2 billion fixed-income portfolio returned -10.5% trailing the -9.6% return of its benchmark.
All five of the fund's fixed-income strategies in the portfolio produced negative returns in the year ended June 30.
The June 30 return was buoyed to some extent by a 24.8% return in the fund's approximately $21.4 billion private markets portfolio, which includes private equity, private credit, natural resources and real estate.
The amount in each of the private market segments and their returns in the year ended June 30 were not provided in the investment report.
In addition to the $81.3 billion the SBI managed in the defined benefit plan combined fund, the board also managed $8.9 billion in state defined contribution plans and $34.5 billion in state funds for a total of $124.7 billion as of June 30.
