San Francisco City & County Employees returns -2.8% for fiscal year

San Francisco City & County Employees' Retirement System returned an estimated gross -2.8% for the fiscal year ended June 30.

The $33.1 billion pension fund disclosed the estimated return in a report from CEO/CIO Alison Romano included with materials for its upcoming board meeting Thursday.

Benchmark information and annualized returns for the three, five and 10 years ended June 30 were not included in the report.

SFERS returned a net 33.7% for the fiscal year ended June 30, 2021.

The latest fiscal-year returns for the pension fund reflect a challenging return environment for public equities and fixed income during the past year. 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.

SFERS' significant exposure to alternative investments helped quell that negative impact.

The highest-performing asset class for the latest fiscal year was real assets, which had an estimated gross return of 27.2%, which was followed by private equity at an estimated 14.1% and private credit at an estimated 10% return.

Asset classes that had negative gross returns were absolute return with an estimated return of -1.8%, fixed income at an estimated -8.4% and public equities at an estimated -25.1%.

As of June 30, the pension fund's actual allocation was 32.7% private equity, 29.9% public equities, 15% real assets, 10.6% absolute return, 7.1% fixed income, 6.6% private credit and -1.8% leverage offset. Allocation doesn't total 100% due to rounding.

The pension fund's target allocation is 37% public equities; 23% private equity; 10% each absolute return, private credit and real assets; 8% capital preservation and 5% liquid credit. The pension fund's target allocation also has a leverage offset that includes gross synthetic exposure, cash collateral and credit facilities.