As of May 31, the Indiana Public Retirement System defined benefit portfolio has returned 4.05% net of fees on a fiscal year-to-date basis. That puts INPRS on track for the lowest rate of return since Fiscal Year 2016.

Private equity has been the top performing asset class, returning 20.01% fiscal year-to-date, representing the strongest performance in the private equity portfolio since FY 2006.

Stock holdings, which comprise 20% of portfolio investments, are down 1.19% as of May 31. Domestic stocks are up by 1.04%, while international stocks have tumbled by 3.48 percent.

But the biggest drag on portfolio performance has been commodities, which are off by 11.85% for the first 11 months of the 2019 fiscal year.

During FY 2018, commodities were the best-performing asset class with returns of 21.96 percent.

Over the past five years, commodity holdings have generated negative returns of 10.51% . . . even as the INPRS portfolio overall has posted a 4.67% return over the five-year period.