CalSTRS' investment committee on Friday reported the $152.2 billion retirement system had an investment loss of 4.31% for the second half of 2011.
The return was slightly above the benchmark of -4.68% of the California State Teachers' Retirement System, West Sacramento. For all of 2011, CalSTRS returned 2.3% vs. a policy benchmark of 1.9%.
“Combined, it was a stressful, complex and difficult investment market,” said Christopher Ailman, CalSTRS chief investment officer. “So while a 2% return is awful on an absolute basis, relative to peers and the environment, it was ahead of most.”
For the six-month period ended Dec. 31, U.S. equities returned -5.5% compared with the Russell 3000 index's -5.3%. International equity returned -16.8%, compared with -17.2% of the MSCI ACWI ex-U.S.
Fixed income gained 4.01% compared to the benchmark of 4.75%; private equity, -3.65% compared to the benchmark of 14.4%; and real estate, 3.22% compared to the policy benchmark of 7.36%.
The returns for real estate and private equity were as of Sept. 30.
For 2011, U.S. equities gained 0.9% vs. a policy benchmark of 0.6%; international equity, -14.1%, same as the policy benchmark; and U.S. debt, 7.2% compared to the policy benchmark of 7.7%. Other key asset classes were private equity, 12.3% compared to a policy benchmark of 10%, and real estate, 15% compared to a policy benchmark of 16.1%.
Separately, Dana Dillon, a teacher from Weed, Calif., was elected Thursday as chairwoman of the CalSTRS board, and Harry Keiley, a teacher from Santa Monica, Calif., was elected vice chairman. Both will serve one-year terms.