CalPERS announced it returned 1% on its investments for the 12 months ended June 30, below its own custom benchmark of 1.7%. The results contrast sharply with the 20.7% return the $229.8 billion California Public Employees’ Retirement System, Sacramento, earned in the year ended June 30, 2011.
CalPERS reported declines for the latest 12 months in public equity, -7.2%; forestland, -11%; and absolute return, -2%. The best-performing asset class was real estate, at 15.9% for the year ended March 31. Real estate lags the rest of the portfolio by three months. Fixed income was up 12.7%, followed by infrastructure, 8.4%; private equity, 5.4%; and liquidity, 4.6%. Private equity performance was also as of March 31.
According to the pension fund’s website, CalPERS’ asset allocation as of March 31 was 51% public equity, 17% fixed income, 14% private equity, 8% real estate, 3% each inflation assets and liquidity, 2% absolute return and 1% each forestland and infrastructure.