For the most recent fiscal year, the pension fund received significant allocations to private equity, private real return and real estate, which accounted for more than 34% of SBCERS’ total assets. Exposure to these asset classes helped offset weak returns from public equities and fixed income securities resulting from a challenging market environment.
For the year ended June 30, the Russell 3000 Index and the Bloomberg US Aggregate Bond Index posted returns of -13.9% and -10.3% respectively, compared to returns of 44.2% and 4 .6% for the year ended June 30, 2021.
The best performing asset classes for the year ended June 30 were real estate, which returned a preliminary net return of 34.6%; private equity, which delivered a net return of 27.5%; and the Private Real Yield, which returned a net 25.9%.
Benchmark returns for these asset classes lagged a quarter.
These returns were followed by the public real return, which returned a preliminary net of -1.7% (no benchmark provided); non-strategic fixed income, which had a preliminary net return of -6.2% (above the benchmark of -8.8%); Core Fixed Income, -10.2% (-10.3%); domestic stocks, -11.2% (-13.9%); emerging market equities, -16.8% (-25.3%); and Developed Markets International Equities, -16.9% (-17.8%).
As of June 30, SBCERS’ actual allocation was 16.7% domestic equities, 15.6% core fixed income, 14.1% private equity, 10.7% real estate, 9.5% private real return and non-core fixed income, 9.2% international developed market equities. , 6.4% emerging market equities, 6.2% public real return and 2.1% cash and other.
Rebecca Valdez, chief investment officer, could not immediately be reached for further information.