San Mateo County Employees posts -4.7% return for fiscal year, above benchmark

San Mateo County Employees' Retirement Association, Redwood City, Calif., reported a net return of -4.7% for the fiscal year ended June 30.

The $5.7 billion pension fund's return slightly exceeded its benchmark return of -4.9% for the period, according to an investment report included with July 26 board meeting materials.

For the three, five and 10 years ended June 30, SamCERA returned an annualized net 5.9%, 6% and 7.7%, respectively, compared with their respective benchmarks of 6.1%, 6.6% and 7.9%.

For the most recent fiscal year, the return reflected a challenging market environment in public equities and fixed income. For the year ended June 30, the Russell 3000 index and Bloomberg U.S. Aggregate Bond index returned -13.9% and -10.3%, respectively, compared with returns of 44.2% and 4.6% for the year ended June 30, 2021.

The pension fund had returned a net 24.3% for the fiscal year ended June 30, 2021, which exceeded the benchmark return of 23.5% for that period.

For the fiscal year ended June 30, the pension fund reported a net return of 14.7% for inflation hedged assets, which fell below the benchmark return of 20.2%. Alternatives returned a net 8.1% (below its 9.2% benchmark), while fixed income returned a net -8.3% (above its -10.7% benchmark), and total equities returned a net -14.7% (below its -14.5% benchmark).

The asset class returns in the report did not break down by region or style.

As of June 30, SamCERA's actual allocation was 25.1% fixed income, 20.3% domestic equities, 16.4% international equities, 9.2% real estate, 7.6% absolute return, 7.5% private equity, 6.2% public real assets, 4.2% cash and cash overlay, and the rest in private real assets.

Michael Coultrip, chief investment officer, could not be immediately reached for further information.