The fund fell short of its benchmark, which returned 1.7%. CalPERS assets at the end of the fiscal year stood at more than $233 billion.
The small gain – despite continued volatility in world markets and economies – was helped by improved performance of CalPERS real estate investments. Investments in income-generating properties like office, industrial and retail assets returned approximately 15.9%, outperforming the pension fund’s real estate benchmark by more than 3%.
CalPERS performance was negatively impacted by significant allocations to U.S. and international public equities. The 1% return is below the fund’s discount rate of 7.5%, a long-term hurdle lowered recently in response to a steady decline in inflation and as part of CalPERS routine evaluation of economic assumptions. CalPERS 20-year investment return is 7.7%.
Asset class performance was as follows:
- Public equity: -7.2%;
- Private equity: -5.4%;
- Fixed Income: 12.7%;
- Real estate: 15.9%;
- Forestland: -11.0%;
- Infrastructure: 8.4%;
- Liquidity: 4.6%;
- Inflation assets: 0.1%; and
- Absolute return assets: -2.0%.