Santa Barbara County (Calif.) Employees' Retirement System disclosed a preliminary net return of -0.12% for the fiscal year ended June 30, said Lauren E. Thompson, assistant CEO, in an email.
The return fell short of the pension fund's policy benchmark of 3%, according to an investment report posted on the $3.2 billion pension fund's website.
For the three, five and 10 years ended June 30, the pension fund returned an annualized net 5.1%, 5.4% and 7.3%, respectively, below the respective benchmarks of 6%, 6.3% and 7.7%.
SBCERS returned a net 7.7% for the fiscal year ended June 30, 2019.
The best performing asset class was core fixed income, which returned a net 8.6% (below its benchmark return of 8.7%); followed by real estate at 6.2% (above its benchmark of 3.9%); domestic equities at 6.1% (6.5%); private equity, -0.6% (-6.4%); non-core fixed income, -2% (-1.1%); international developed markets equities, -5.5% (-5.1%); real return, -7.2% (4.7%); and emerging markets equities, -13.2% (-3.4%).
As of June 30, the actual allocation was 20% domestic equities, 16.6% core fixed income, 13.6% real return, 10.5% international developed markets equities, 10.3% non-core fixed income, 9.9% private equity, 9.7% real estate, 7.1% emerging markets equities, 1.9% cash and the rest in a transition account.
The target allocation is 19% domestic equities, 17% core fixed income, 15% real return, 11% each international developed markets equities and non-core fixed income, 10% each private equity and real estate, and 7% emerging markets equities.
