CalPERS reported Monday preliminary investment returns of 2.4% for the fiscal year ended June 30, 5.1 percentage points behind its 7.5% assumed rate of return and 9 basis points below its custom benchmark.
Chief Investment Officer Theodore Eliopoulos, speaking at a CalPERS retreat meeting in Walnut Creek, Calif., attributed the poor returns to weak equity and fixed-income markets during the fiscal year. More than 70% of CalPERS' portfolio is allocated to equities and fixed income, magnifying performance problems for the year, he added.
Mr. Eliopoulos said key factors over the past 12 months include the strengthening of the U.S. dollar vs. most foreign currencies, as well as challenging emerging market local returns.
CalPERS' equities portfolio returned 1%, 31 basis points below the benchmark, while fixed income produced returns of 1.3%, outperforming the benchmark by 93 basis points.
The pension fund ended the fiscal year with $301 billion in assets.
Results for other major equity classes included private equity at 8.92%, 221 basis points below the pension fund's benchmark; real assets produced returns of 12.42%. Real assets, which comprise real estate, infrastructure and forestland, outperformed the custom benchmark by 90 basis points.
Private equity and real estate assets lag the rest of the pension fund portfolio by three months and are as of March 31.