San Mateo County Employees’ Retirement Association, Redwood City, Calif., returned a net 0.7% for the fiscal year ended June 30, below its benchmark return of 1%.
The top-performing asset class was risk parity, which returned 5.7% for the fiscal year, followed by fixed income at 2.4%, cash equivalents, 1.4%; alternatives, -0.7%; and equity, -2.2%, according to the $3.5 billion pension fund’s recently released annual report.
Return information for inflation hedging strategies was not available. The pension fund made it a dedicated asset class in April.
As of June 30, the pension fund had an asset allocation of 49.5% equity, 17.4% fixed income, 11.6% alternatives, 9.6% inflation hedging, 8% risk parity and 3.9% cash equivalents.
For the three and five years ended June 30, the pension fund returned an annualized 7% and 6.7%, respectively, compared to its benchmark of 7% for both periods.
The funding ratio rose to 83.1% as of June 30, up 50 basis points from fiscal year 2015, on an actuarial basis. The recognition of deferred investment gains from prior years and supplemental employer contributions to help pay down unfunded liabilities, drove the funding increase, the annual report said.
In July, the pension fund lowered its assumed rate of return to 7% from 7.25%.
Michael Coultrip, chief investment officer, could not immediately be reached for additional information by press time.