CalPERS on Thursday reported a 6.7% net return for its fiscal year ended June 30, underperforming its 7.1% benchmark for the fiscal year and all other time periods.
The $372.8 billion California Public Employees Retirement System, Sacramento, earned an annualized net return of 5.8% over five years, a 9.1% return for the 10-year period and 5.8% for the 20 years ended June 30. Over the past 30 years, the CalPERS fund has returned an average of 8.1% annually. By comparison, CalPERS’ benchmark was 6.05% for the five-year period, 9.47% for the 10-year and 6.14% for the 20-year period ending June 30. There is no benchmark for the 30-year period, said Joe DeAnda, CalPERS spokesman in an email.
The best performing asset class during the 12-month period was fixed income, returning net 9.6%, followed by private equity, with a 7.7% net return, and equities, at 6.1%.
The worst performing asset classes in the fiscal year was liquidity with 2.6%, while real assets earned a net 3.7%. (Returns for real estate and private equity reflect market values through March 31.)
As of March 31, CalPERS’ actual allocation was 50.6% in equities, 7.5% in private equity, 28.8% in fixed income, 11.2% in real assets and the remainder in liquidity.