CalSTRS’ private equity portfolio outperformed its policy benchmark over the 10-year period ended June 30, but failed to top its index over all other periods. Its private equity portfolio returned an annualized 13.8% for the 10-year period, 300 basis points higher than its index, annually.
However, over the six-month, one-, three- and five-year periods, the pension fund’s private equity performance has fallen short of its policy index. Its biggest underperformance is in the five-year period. Since the financial crisis, its private equity portfolio has underperformed by 880 basis points annually.
CalSTRS said its asset allocation to private equity decreased one percentage point during the latest six-month period, as its allocation to inflation sensitive assets rose one percentage point.