Rough Markets Clip CalPERS

August 27, 2002 ( - The bigger they are, the harder they fall - sometimes. But the nation's largest public pension fund didn't fall as hard as many, despite the tumultuous markets.

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.