Investment reports

Minnesota State Board of Investment Announces -6.4% Full Year Return for Pension Plan

Over longer periods ending June 30, the combined fund’s annualized net returns exceeded their benchmarks: three-year, 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 overall target asset allocation is 50% public equities, 25% fixed income and 25% private markets.

The public equity portfolio returned -15.5% for the year ended June 30, slightly better than the portfolio’s benchmark return of -15.7%. All three of the fund’s equity portfolios (domestic, international and global) posted negative returns as of June 30, according to the investment report.

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%, down from -9.6% its benchmark.

All five fixed income strategies in the fund’s portfolio produced negative returns during the year ended June 30.

The June 30 performance was supported to some extent by a 24.8% return on the fund’s approximately $21.4 billion private markets portfolio, which includes private equity, private credit, resources natural resources and real estate.

The amount of each of the private market segments and their returns for the year ended June 30 have not been provided in the investment report.

In addition to the $81.3 billion the SBI managed in the combined defined benefit plan 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.