San Bernardino County (Calif.) Employees' Retirement Association returned a preliminary net -0.1% for the fiscal year ended June 30.
The $13.4 billion pension fund's return well exceeded its policy benchmark return of -11.3% for the period, spokeswoman Olivia Applegate said in an email.
For the three, five and 10 years ended June 30, SBCERA returned an annualized net 8.8%, 8% and 8.3%, respectively, above their respective benchmarks of 3.3%, 4.5% and 5.6%.
The pension fund had returned a net 33.3% for the fiscal year ended June 30, 2021.
While last year's return was a record for the pension fund, the return for the most recent fiscal year reflects a challenging return environment. For the year ended June 30, the Russell 3000 index and Bloomberg U.S. Aggregate Bond index returned -13.9% and -10.3%, respectively, in sharp contrast to returns of 44.2% and 4.6% for the year ended June 30, 2021.
However, SBCERA benefited from allocating nearly one-fifth of the entire fund to private equity.
For the fiscal year ended June 30, private equity led all asset classes with a net return of 25% (above the benchmark return of 21.9%), followed by real estate at a net 23% (above its 21.9% benchmark); real assets, a net 17.7% (14.3%); global fixed income with beta overlay, 9.8% (-15.2%); non-U.S. credit, 8.8% (-24.9%); U.S. credit, 0.2% (-7.5%); alpha pool, -2.4% (3.2%); emerging markets debt, -7.1% (-20.2%); domestic equity with beta overlay, -7.3% (-13.9%); and international equity with beta overlay, -12.1% (-19%).
As of June 30, the pension fund's actual allocation was 19.9% private equity, 15.3% domestic equities, 12% international equities, 11.6% U.S. credit, 10.4% non-U.S. credit, 6.8% emerging markets debt, 6.7% non-U.S. core fixed income, 5.6% cash, 4.6% real assets, 4.4% real estate and the rest in domestic core fixed income.
