Sacramento County (Calif.) Employees’ Retirement System returned a gross 7.2% for the fiscal year ended June 30, CEO Eric Stern said in an email.
The $9.7 billion pension fund’s return was ahead of its policy benchmark return of 6.3%.
For the three and five years ended June 30, the pension fund returned an annualized gross 10.4% and 6.5% respectively, ahead of the respective benchmark returns of 8.7% and 6.1%.
For the fiscal year ended June 30, 2018, the pension fund returned a gross 10.1%.
Among the asset classes for which gross returns were reported, core/core-plus fixed income led the way with 8.6%, above its policy benchmark of 7.9%, followed by U.S. Treasuries, which returned 7.2%, equal to its policy benchmark return.
Public equities followed, with a gross return of 6.1% for the fiscal year ended June 30, above its policy benchmark return of 5.7%. Global fixed income returned a gross 5%, below its benchmark of 6.3%; public credit returned 2.4%, below its benchmark return of 5.9%; the diversifying absolute-return portfolio returned 0.3%, below its benchmark return of 2.1%; and the growth-oriented absolute-return portfolio returned zero, below its benchmark return of 2.2%. Commodities returned a gross -8.1% for the fiscal year ended June 30, below its benchmark return of -6.8%.
Private credit, private equity, real assets and real estate returns lag by one quarter.