San Diego City Employees returns 24.9% for fiscal year

San Diego City Employees' Retirement System returned a net 24.9% for the fiscal year ended June 30, just above its 24.4% benchmark.

Liza Crisafi, CIO for the $10.8 billion pension fund, also reported to the board at its Sept. 10 meeting that its current asset size is the highest in its history, since the pension fund was started in 1927.

In addition, Ms. Crisafi said the current fiscal-year return was the highest in the past 20 years.

The pension fund also returned an annualized net 10.3% for the three years ended June 30, below its 11.6% benchmark; 10.7% for five years, trailing its 10.8% benchmark; and 8.7% for 10 years, just below its 8.8% benchmark.

SDCERS returned a net 0.5% for the fiscal year ended June 30, 2020.

The best-performing asset classes for the latest fiscal year were U.S. equity and private equity, both returning a net 46.7%. Domestic equity outperformed its 44.3% benchmark, but private equity underperformed its 58.3% benchmark. Global equity returned 42.7%, above its 39.3% benchmark; non-U.S. equity, 39.4% (37.2%); opportunity funds, 18.7% (31%); infrastructure, 16.6% (7.7%); emerging markets debt, 8.8% (7%); real estate, 3.2% (2%); and U.S. fixed income 1% (0.1%).

SDCERS target asset allocation is 22.4% U.S. fixed income, 18.6% U.S. equity, 15.5% non-U.S. equity, 11% real estate, 10% private equity, 8% global equity, 6.5% opportunity funds, 5% emerging markets debt and 3% infrastructure.