Stanislaus County Employees' Retirement Association, Modesto, Calif., returned a net -7.5% for the fiscal year ended June 30.
The $2.5 billion pension fund's return fell short of its policy benchmark index return of -7.2% for the period, according to an investment report included with July 26 board meeting materials.
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.
For the three, five and 10 years ended June 30, StanCERA returned an annualized net 5.5%, 5.9% and 6%, respectively, below their respective benchmarks of 5.7%, 6.1% and 6.3%.
The pension fund had returned a net 25.2% for the fiscal year ended June 30, 2021.
For the most recent fiscal year, value-added real estate had the highest return, with a net 12.6% for the year ended June 30 (below its 20% benchmark), followed by core real estate at 11.9% (17.6%).
Following those were infrastructure, which returned a net -1.4% (below the 14.5% benchmark); liquidity at -3.7% (above the -8.2% benchmark); private credit, -6.9% (-0.8%); private equity, -8.9% (benchmark lags one quarter); U.S. Treasuries, -9.7% (-10.5%); risk parity, -12.6% (-15.4%); domestic equities, -12.7% (-13.9%); and international equities, -16.9% (-19.4%).
As of June 30, the actual allocation was 20.5% domestic equities, 18% international equities, 9.8% core real estate, 9.7% risk parity, 7.6% private credit, 7.3% liquidity, 7% infrastructure, 6% U.S. Treasuries, 5.3% private equity, 5% value-added real estate and 3.8% liquid absolute return.
