San Bernardino County (Calif.) Employees' Retirement Association delivered a preliminary net return of 9.3% for the fiscal year ended June 30, below the 10.3% return by its benchmark.
For the three, five and 10 years ended June 30, the $15.2 billion SBCERA returned an annualized net 4.7%, 8.2% and 7.1%, respectively, above its respective benchmarks of 1.6%, 5.4% and 5.1%, according to the pension fund's most recent quarterly performance report.
In fiscal 2023, SBCERA returned a net 5%, below the 7.2% return by its benchmark.
For the fiscal year ended June 30, domestic equity with beta overlay led all asset classes with a net return of 20.6%; followed by non-U.S. credit composite at 16.3%; alpha pool composite at 12.7%; U.S. credit strategies, 9.8%; real assets composite, 9%; international equity with beta overlay, 8.3%; global fixed income with beta overlay, 7.5%; private equity composite, 7.2%; and emerging markets debt composite, 4.5%.
The poorest performer was real estate composite, which returned a net -7.3%.
A spokesperson for SBCERA explained that “beta overlay” refers to a "shorthand description for the work Russell Investments does using futures and other derivatives on our behalf in maintaining our asset allocation and implementing our rebalancing program.”
As of June 30, the pension fund's actual allocation was 19.9% private equity, 13.3% U.S. credit, 12.4% U.S. equities, 11.1% non-U.S. credit, 8.1% international equities, 6.8% cash, 6.4% absolute-return strategies, 5.3% real assets, 5.1% emerging markets debt, 5% non-U.S. core fixed income, 3.7% real estate, and the remainder in U.S. core fixed income.
