San Bernardino County Employees locks in 33.3% return for fiscal year

San Bernardino County (Calif.) Employees' Retirement Association reported a record net return of 33.3% for the fiscal year ended June 30, above its policy benchmark return of 19.7%, confirmed Olivia Applegate, spokeswoman for the $13.4 billion pension fund.

The pension plan posted its preliminary net return in July.

For the three, five and 10 years ended June 30, SBCERS returned an annualized net 10.6%, 10.7% and 8.3%, respectively, outperforming their respective benchmarks of 9.6%, 8.8% and 7.2%.

The pension fund returned a net loss of 3.1% for the fiscal year ended June 30, 2020.

By asset class, private equity returned a net 52.9% for the fiscal year ended June 30, above its benchmark return of 52.5%.

Other asset class returns were: domestic equity with beta overlay, 41.6% (below its 44.2% benchmark); international equities with beta overlay, 33.6% (36.3%); real assets, 29.7% (31.6%); U.S. credit, 26.3% (12.6%); global fixed income with beta overlay, 23.5% (well above its 2.6% benchmark); non-U.S. credit, 22.7% (17.7%); alpha pool, 19.6% (3.1%); emerging markets debt, 8.8% (7.1%); and real estate, 7.5% (2.6%).

As of June 30, asset classes' net notional exposure was: 20% international equities; 18.1% private equity; 16.9% domestic equities; 12.3% U.S. credit; 10.5% non-U.S. credit; 8% emerging markets debt; 6.8% cash; 3.9% real assets, 3.7% real estate, 2.4% domestic core fixed income, 1.5% absolute return; and -4% non-U.S. core fixed income.