South Dakota Retirement System, Pierre, posted a net return of -0.7% for the fiscal year ended June 30.
The return exceeded the retirement system's capital markets benchmark return of -13% for the period, according to a performance report on the website for the South Dakota Investment Council, which oversees the investment management of the $14.6 billion pension fund.
For the three, five and 10 years ended June 30, the retirement system returned an annualized net 7.2%, 6.9% and 8.9%, respectively. Benchmark information for these periods was not provided in the performance report.
SDRS had returned a net 22% for the fiscal year ended June 30, 2021.
For the most recent fiscal year, the pension fund benefited from an outsized allocation of 36% to cash, which considerably offset the impact of a hostile market environment for public equities and fixed income.
For the year ended June 30, the Russell 3000 index and Bloomberg U.S. Aggregate Bond index returned -13.9% and -10.3%, respectively, in sharp contrast to returns of 44.2% and 4.6% for the year ended June 30, 2021.
The performance report did not provide returns by individual asset classes.
As of June 30, the actual allocation was 36% cash; 23% public equities; 13% investment-grade fixed income; 11% each opportunistic real estate and private equity; 4% high-yield corporate fixed income; and 1% each hedge funds and high-yield real estate debt.
