Wisconsin Investment Board returns -12.9% for fiscal year

State of Wisconsin Investment Board, Madison, announced a preliminary net return of -12.9% for the fiscal year ended Dec. 31 for the Wisconsin Retirement System's $109.4 billion core trust fund.

The core trust fund's return exceeded its benchmark return of -13.3% for the period, according to a report included with materials for SWIB's investment committee meeting Thursday.

For the three and five years ended Dec. 31, the core trust fund posted annualized net returns of 5.5% and 6.2%, respectively, above their respective benchmarks of 4.8% and 5.7%.

The core trust fund returned a net 16.9% for the year ended Dec. 31, 2021.

For the most recent fiscal year, the core trust fund's negative return reflected a difficult market environment for both public equities and fixed income. For the year ended Dec. 31, the Russell 3000 index and Bloomberg U.S. Aggregate Bond index returned -19.2% and -13%, respectively.

By asset class, real estate chalked up the highest returns for the year ended Dec. 31, with a net 16.8% (below 21% for the benchmark), followed by private equity/debt at 3.9% (0.4% benchmark); inflation-sensitive assets, -11.8% (-11.9%); public fixed income, -13.9% (-12.7%); and public equities, -17,8% (-18%).

The core trust fund's target allocation is 48% public equities, 25% public fixed income, 19% inflation-sensitive assets, 15% private equity/debt, 8% real estate and -15% leverage.