Washington State Investment Board's $150 billion commingled trust fund of defined benefit plan assets returned a net 5.4% for the fiscal year ended June 30.
The return well exceeded the Olympia-based board's custom benchmark return of -0.8% for the period, according to a performance report on its website.
For the three, five and 10 years ended June 30, the commingled trust fund returned an annualized net 12%, 10.9% and 10.4%, respectively, above the respective custom benchmark returns of 8.8%, 8.5% and 9%.
The commingled trust fund had returned a net 28.7% for the fiscal year ended June 30.
For the most recent fiscal year, the board's commingled trust fund chalked up the second-highest return among the 82 U.S. public pension funds whose returns for the year ended June 30 were tracked by Pensions & Investments as of Thursday. The median return among those pension funds is -4.9%.
It is also one of only 13 positive returns posted by public funds for the period, which was defined primarily by a challenging 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 Washington board's commingled trust fund benefited from its significant exposure to real estate, private equity and tangible assets, which made up a total of more than 56% of the trust fund's total assets.
The three asset classes returned a net 40.8%, 19.9% and 11.1%, respectively, for the fiscal year ended June 30, above the respective benchmarks of 21.9%, 9.5% and 12.6%. The benchmarks for real estate and tangible assets lagged by one quarter.
Chalking up negative returns were the board's fixed income and public equity asset classes, which posted net returns of -10.6% and -16%, respectively, slightly above their respective benchmarks of -10.9% and -16.3%.
As of June 30, the commingled trust fund's actual allocation was 29.3% private equity, 24.6% public equities, 21% real estate, 16.8% fixed income, 6.1% tangible assets, 1.4% cash and the rest in its innovation portfolio.
