A CalPERS staff review of its private equity program attributes the portfolio's low return — 1.7% — in the fiscal year ended June 30 to broader market movements.
The review of the $303.3 billion Sacramento-based pension fund's private equity program notes macroeconomic factors were the primary contributors to the return, including the struggling energy sector.
The review of the program was included in materials for the investment committee's Aug. 15 meeting.
The review states that given the nature of private equity investing, longer-term effects are more instructive in analyzing overall performance. The program returned an annualized 10% for the three-year period ended June 30, 9.7% for the five years and 10.2% for 10 years.
The private equity program outperformed the retirement system's custom benchmark of -0.8% for the 12 months. But it underperformed for longer periods, lagging the benchmark by 80 basis points in the three years; by 90 basis points for the five-year period; and by 250 basis points in the 10 years, the report notes.
The California Public Employees' Retirement System has approximately $26 billion in funded commitments and $13 billion in unfunded commitments.