Public pension plans are reporting double-digit returns for the 2010 fiscal year, recovering from record losses in the previous year.
The rebound was due to better market returns and increasing allocations to fixed-income and alternatives investments.
An average 13.8% return was achieved by the 17 pension funds that have reported their 2009-"10 fiscal data over the past few weeks, according to data reviewed by Pensions & Investments.
The Trust Universe Comparison Service of Wilshire Associates, meanwhile, reported a 13.09% median return among public plans with more than $1 billion in assets for the year ended June 30. The median return for the same universe a year earlier was -18.76%.
The nation's largest pension fund, the $211.4 billion California Public Employees' Retirement System, had the lowest return, 11.4%, of the 17 systems reviewed by P&I. While the retirement system had gains in most asset categories — including 30.9% in private equity — total returns were reduced by a -37.1% return in the system's real estate portfolio. The fund's benchmark return was 15.84%.
Joseph Dear, chief investment officer, noting that the real estate results are as of March 31, said that when the final figures for the one-year period come available, the real estate losses will be reduced and CalPERS' overall portfolio returns will be higher. Still, Mr. Dear said that CalPERS' real estate portfolio, which amounts to near 8% of the total fund, did drag down its total results.
Mr. Dear said the fund is in the process of restructuring its real estate portfolio.
Many of the plans with better overall results had smaller real estate allocations than CalPERS, or as in the case of the Louisiana State Employees' Retirement System, Baton Rouge, had no investments in that asset class.
The highest returns were achieved by the $8.55 billion New Mexico Educational Retirement System, Santa Fe, with 18.6%; the $8.3 billion Oklahoma Teachers' Retirement System, Oklahoma City, with 16.6%; and the $7.68 billion Louisiana employees' system, 16.1%.