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Montana Board of Investments returns -4.4% for fiscal year, above benchmark

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Montana Board of Investments, Helena, reported a fiscal-year net return of -4.4% for the state’s $13.4 billion Consolidated Asset Pension Pool.

The net return for the fiscal year ended June 30 was well above the pool’s custom benchmark return of -9.6%, according to an investment report on the board’s website.

For the three and five years ended June 30, the asset pool of the state’s nine pension funds returned an annualized net 8% and 7.8%, respectively, above their custom benchmark’s respective 5.9% and 6.5%.

The assets of the nine pension funds were first consolidated into a common investment pool in April 2017.

The consolidated asset pool had returned a net 28.1% for the fiscal year ended June 30, 2021.

The latest fiscal-year returns for the pool reflect a challenging return environment for public equities and fixed income during the past year. 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.

For the most recent fiscal year, Montana’s consolidated pool benefited from combined exposure to private investments, real estate and real assets exceeding 35% of total assets.

Those three asset classes chalked up net returns of 23.5%, 22.1% and 13.9%, respectively, for the fiscal year ended June 30, compared with their respective benchmark returns of -17.7%, 27.3% and 1.4% for the period.

Posting negative returns were core fixed income with a net -9.4% for the fiscal year ended June 30 (above the benchmark return of -10.3%); followed by domestic equities at a net -13.6% (above the -13.7% benchmark); non-core fixed income, -13.7% (-12.8%); and international equities, -20.9% (-19.9%).

As of June 30, the consolidated asset pool’s actual allocation was 28.3% domestic equities, 17.3% private investments, 16.3% international equities, 13.6% core fixed income, 12.7% real estate, 6% non-core fixed income, 5.5% real assets and 0.3% cash.