CalPERS returned 6.5% for the 2014 calendar year, 31 basis points below its 6.84% custom policy benchmark, agenda materials for the Feb. 27 investment committee meeting show.
The $295.7 billion California Public Employees’ Retirement System, Sacramento, reported an 18.4% return for the fiscal year ended June 30.
A review of the calendar-year results by Wilshire Associates, CalPERS’ general consultant, said an overallocation to public equities was the primary reason the pension fund underperformed its benchmark.
The Wilshire report said the pension fund’s portfolio volatility continues to be driven almost entirely by growth assets, which include public and private equities.
Public equities made up 63.3% of CalPERS’ portfolio as of Dec.31; its current target is 61%, said the Wilshire review. Private equity made up 10.3% of the total portfolio, slightly higher than its 10% current target.
Public equities returned 4.6% for the calendar year, two basis points below the pension fund’s custom benchmark, while private equity returned 14.59%, 247 basis points below the benchmark.
Real assets produced returns of 12.97% for the year, 217 points above CalPERS’ custom benchmark, which was also the asset class that produced the largest outperformance to its benchmark, and fixed income returned 9.92%, 35 basis points above the benchmark.