California Public Employees' Retirement System, Sacramento, posted a net return of -3.5% for the year ended Dec. 31, 77 basis points below its benchmark, documents from the $351.1 billion pension system show.
By asset class, private equity posted the highest return at 12.5%. Forestland was the worst performing asset class, returning -11.1% for the year.
For the longer term, CalPERS' portfolio earned an annualized 5.1% net return for the five years ended Dec. 31, underperforming its benchmark by 23 basis points; for the 10-year period, the pension fund returned an annualized net 7.9%, underperforming its benchmark by 74 basis points.
The best-performing asset class for the 10-year period was infrastructure with an annualized net return of 15.2%. The worst-performing asset class for the 10-year period was the forestland portfolio, which returned an annualized net -2.4%.
CalPERS' fund allocation as of Dec. 31 was 47.5% global equities, 28% income, 10.1% real estate, 8.3% private equity, 2.2% inflation-protected, 1.4% infrastructure, 1.1% for both cash and trust level assets, and the rest in forestland.