The pension fund's diversifying asset class returned 4% for the fiscal year, with the absolute-return hedge fund portfolio leading the way at 6.9%, followed by a dedicated cash allocation returning 5.4%.
SCERS’ real-return asset class was the pension fund’s worst performing for the fiscal year.
“The real-return asset category generated a disappointing -1.4% return during the fiscal year, led on the downside by real estate, which returned -9.8%," CIO Steve Davis said in a statement on SCERS’ website. "Real estate was affected by the impact of high interest rates on valuations, particularly within the challenged office property sector.”
The top-performing real-return strategy was real assets, which includes infrastructure, which returned 6.2% for the fiscal year.
For the three-, five- and 10-year periods ended June 30, the pension fund returned an annualized net 3.8%, 8% and 7.1%, respectively.
As of June 30, the actual allocation was 39.4% global public equity, 12.8% core/core-plus fixed income, 11.5% private equity, 8.5% real estate, 7.2% private real assets, 7% absolute return, 5.1% private credit, 3.1% U.S. Treasuries, 2.7% liquid real return, 2% public credit, and the rest in cash and other, according to an investment report prepared by Verus.
The target allocation is 40% global public equity, 12% core/core-plus fixed income, 11% private equity, 9% real estate, 7% each absolute return and private real assets, 5% private credit, 4% U.S. Treasuries, 2% each liquid real return and public credit, and 1% cash and other.
The pension fund had returned a net 6.1% for the fiscal year ended June 30, 2023.
