Rough Markets Clip CalPERS

The diversified investment portfolio at the California Public Employees’ Retirement System (CalPERS) lost 5.9%, and wrapped up its June 30 fiscal year with $143.4 billion in assets, according to the fund’s report. The loss came despite an 11.8% real estate return.  Net/net, the pension giant’s assets fell some 8% to $143 billion, the lowest level since 1998, according to Reuters.  A year ago the fund stood at about $156 billion.
 
CalPERS loss during the year hovered around the average experienced by other retirement plans, fund officials pointed out.  US public pension systems with more than $10 billion under management lost over 6% for the year ended June 30, according to a Wilshire Associates survey .

However, CalPERS officials said their long-term performance is better than other retirement systems.  The fund has earned a 5.4% annualized return for the five-year period ended June 30, 2002, compared to the 5.1% return earned by other retirement funds.

More specifically, CalPERS turned in the following results for the latest fiscal year:

• CalPERS US stocks returned a 16.8% loss, but faired better than its industry benchmark the Wilshire 2500 Index  which fell 17.4%. 
• International stocks declined 10.2%, just below the 9% loss suffered by CalPERS’ custom State Street Global Advisors Index.
• CalPERS US bonds returned 5.9 %, underperforming its benchmark the State Street Bank Large Pension Fund Index, which gained 8.7%.
• The fund’s international bonds earned a 15.3% return, just shy of the 15.7% return posted by its benchmark the Salomon Brothers World Government Index. 
• CalPERS private equity investments posted a 7.8% loss, below its hurdle rate but far better than the average private equity market.

The closely watched pension fund is often seen as a market bellwether – predicting broader market trends by its own performance and investment policies.