The New Mexico Educational Retirement Board (NMERB) reported its best performance in 36 years, as its investment portfolio returned 28.76%, or $3.6 billion, in fiscal 2021 to increase its asset value to $15.8 billion.
“Our investment staff did a terrific job of taking advantage of the opportunities presented by the marketplace while maintaining our low volatility asset allocation,” Bob Jacksha, chief investment officer of the NMERB, said in a statement regarding the fiscal year ending June 30. “We feel that our investment results validate our long-term strategy of building a lower volatility portfolio.”
The strong performance was led by the portfolio’s private equity investments, which returned 51.7%, but fell just short of the benchmark’s return of 52%. Non-US equity returned 35.2%, below its benchmark, which returned 35.7%, while emerging market equity earned 35.1%, and also missed its benchmark’s return of 40.9%. The fund’s real estate investments returned 28.7%, nearly quadrupling the benchmark’s return of 7.4%, while its fixed-income investments returned 16.8%, compared with its benchmark’s return of 17.1%.
Over the short and medium term, the fund reported three-, five-, and 10-year annualized returns of 11.01%, 10.62%, and 8.61%, respectively. And over the longer term, the ERB reported 15- and 20-year annualized returns of 7.35% and 6.97%, respectively, while returning 9.24% since its inception in July 1983.
The ERB portfolio’s asset allocation is 43.9% in alternatives, which includes an 18.8% allocation to private equity; 22.8% in fixed income; 18.4% in US equity; 13.7% in non-US equity; and 1.2% in cash.
The fund, which provides retirement benefit services to more than 160,000 members, also said it paid out benefits totaling approximately $1.2 billion to retired New Mexico educational employees during the year, while taking in contributions of approximately $780 million.
“The fiscal year results are not only a benefit to our participants’ retirement security but also benefit New Mexico taxpayers,” Jacksha said. “Investment earnings make up more than half of each dollar of benefit payments. Without those gains, we would have to look elsewhere for benefit funding.”