San Diego County Employees misses benchmark with 25% fiscal-year return

San Diego County Employees Retirement Association returned 25% for the fiscal year ended June 30, underperforming its policy benchmark of 26.5%, according to the $16.2 billion pension plan's latest risk return report.

The pension plan returned 10.1% for the three years and 10% for the five years, underperforming benchmarks of 11.1% and 10.8%, respectively.

The best-performing asset class for the one-year period was global equities with 40.6%, just missing its 40.9% benchmark. Private equity was the second best-performing asset class, earning 40.3% for the year ending June 30, also just shy of its 40.9% benchmark, followed by its opportunistic portfolio with 26.5%, underperforming a balanced benchmark of stocks and fixed income of 27.5%. Real assets earned 8.9%, below its 40.9% benchmark, real estate returned 4.6%, underperforming its 5.2% benchmark, while the fixed-income and cash category returned 4.2%, outperforming its 0.1% benchmark.

SDCERA's target asset allocation is 50% equities, 25% fixed income and cash, 6% opportunistic, 10% real estate, 6% private equity and 3% private real assets.

As of June 30, the pension fund's actual asset allocation was 53.3% in equities, 28.8% in fixed income and cash, 6.2% in real estate, 4.6% in opportunistic, 4.1% in private equity and 2.9% in private real assets.