CalPERS' real estate investments returned 14.3% for the 12 months ended June 30, above the $12.5 billion portfolio's benchmark return of 12.6%, according to agenda materials for Monday's meeting of the pension fund's investment committee.
However, the $240.7 billion California Public Employees' Retirement System's real estate portfolio underperformed its benchmark for the second quarter as well as for three, five and 10 years, all ended June 30. The portfolio returned 1.2% for second quarter, 5.2% for three years and -12.6% for five years and 2.5% for 10 years compared to the benchmark returns of 2.5%, 10.4%, 4.1% and 9.2%, respectively. All multiyear returns are annualized.
The Sacramento-based pension fund's absolute-return portfolio returned 2.99% for the year ended Sept. 30, less than its 5.28% benchmark but above the HFRI Fund of Funds Composite index return of 2.84%.
The $5 billion portfolio has underperformed the benchmark for three- and five-year returns and since inception, but has outperformed the HFRI in each time period. The portfolio returned an annualized 3.41% for three years and 0.37% for five years, compared the benchmark's 5.6% and 6.8% returns, respectively, and HFRI's 1.47% and -1.64%, respectively. Since inception in April 2002 through Sept. 30, the portfolio returned 5.46% vs. 7.26% for the benchmark and 3.32% for the HFRI.
The $1 billion infrastructure portfolio returned 3.7% for the year ended June 30, compared to the benchmark return of 5.7%.
However, the portfolio outperformed the benchmark by 21.3 percentage points and 4.1 percentage points for three- and five-year returns, respectively. For three years, the portfolio returned 28.1% vs. 6.8% for the benchmark; five years, 10.9% vs. 6.8%; and since inception in February 2007, 8% vs. 6.9%. For the quarter ended June 30, the portfolio returned -0.9% vs. 1% for the benchmark.