For the most recent fiscal year, the pension fund benefited from significant allocations to private equity, private real return and real estate, which accounted for more than 34% of SBCERS' total assets. The exposure to those asset classes helped offset poor returns in public equities and fixed income that resulted from a challenging market environment.
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 best-performing asset classes for the fiscal year ended June 30 were real estate, which returned a preliminary net 34.6%; private equity, which returned a net 27.5%; and private real return, which returned a net 25.9%.
Benchmark returns for those asset classes lagged by one quarter.
Those returns were followed by public real return, which returned a preliminary net -1.7% (no benchmark provided); non-core fixed income, which returned a preliminary net -6.2% (above the -8.8% benchmark); core fixed income, -10.2% (-10.3%); domestic equities, -11.2% (-13.9%); emerging markets equities, -16.8% (-25.3%); and international developed markets equities, -16.9% (-17.8%).
As of June 30, SBCERS' actual allocation was 16.7% domestic equities, 15.6% core fixed income, 14.1% private equity, 10.7% real estate, 9.5% each private real return and non-core fixed income, 9.2% international developed markets equities, 6.4% emerging markets equities, 6.2% public real return, and 2.1% cash and other.
Rebecca Valdez, investment officer, could not be immediately reached for further information.
