CalPERS, in its latest annual review of the fund’s global fixed-income program, said the $46.9 billion pool returned 7% annually in the 10 years ended June 30, 72 basis points above its benchmark. By comparison, the Barclays U.S. Aggregate index returned 5.43% annually during the same period.
Over the last five years, its 9.2% return outperformed CalPERS’ fixed-income benchmark (90% Barclays Long Liabilities + 10% Barclays International Fixed Income index GDP Weighted ex-U.S.) by 2.2 percentage points.
The fund says it manages more than 89% of assets internally, with a portion of its high-yield and international fixed income managed externally.
As of June 30, the portfolio consisted of U.S. governments (33%), credit (25%), structured securities (22%), international (10%), opportunistic (6%) and sovereign (4%).