San Francisco returns 33.7% for fiscal year, above its benchmark

San Francisco City & County Employees' Retirement System reported a net return of 33.7% for the fiscal year ended June 30.

The $34.6 billion pension fund's return well exceeded its policy benchmark return of 26.2% for the period, an investment report posted on its website showed.

For the three, five and 10 years ended June 30, SFERS returned an annualized net 14%, 13.4% and 10.4%, respectively, above their respective benchmarks of 10.9%, 11.2% and 9.4%.

The pension fund returned a net 2.4% for the fiscal year ended June 30, 2020.

For the most recent fiscal year, private equity was the best-performing asset class with a net return of 67.5% for the year ended June 30 (above its 46.2% benchmark), followed by emerging markets equities with a net return of 48.2% (above its 40.9% benchmark).

Global equity was next with a net return of 45.8% (above its 39.3% benchmark); followed by domestic equities at a net 43% (below its 44.2% benchmark); international developed markets equities, a net 33.4% (34.8%); private credit, 18.7% (14.3%); absolute return, 14.1% (18.3%); real assets, 9.6% (13.8%); liquid credit, 8.4% (-0.3%); and U.S. Treasuries, -1.1% (-1.2%)

As of June 30, the actual allocation was 37.7% public equities, 27.5% private equity, 11.5% real assets, 10.6% absolute return, 5.1% private credit, 4.4% U.S. Treasuries, 2.8% credit and 0.4% cash.