In a report to the CalPERS Board, Chief Investment Officer Mark Anson told the System’s trustees that the fund earned a 29.6 percent return for the one-year period ended March 31, 2004. The System’s assets stood at $165.8 billion.
“This has been an extremely good year for our fund,” said Anson. “Our disciplined investment strategy help us beat our benchmark by more than 2 percent. Our U.S. stocks alone surpassed all comparable indexes.” CalPERS U.S. equity portfolio, which is largely indexed to the Wilshire 2500, returned 38.3 percent. This compares to a 32.4 percent gain for the Dow Jones Industrial Index and a 35 percent return for the Standard & Poor’s 500 Index.
CalPERS other asset classes also enjoyed good returns.
The System’s international stock holdings earned 57.7 percent, while hedge fund investments returned 16.7 percent.
CalPERS investments in funds that use corporate governance strategies to turn around ailing companies gained 68.5 percent.
The Fund’s fixed income investments also performed well. International fixed income investments gained 17.2 percent, compared with its Salomon Brothers World Government Index benchmark of 16 percent, while U.S. fixed income investments earned 10.3 percent, more than 3 percentage points over the benchmark.
Assets of the Alternative Investment Management Program, which specializes in private equity holdings, grew by 3.8 percent compared with to a benchmark that lost less than a half percent.
CalPERS investments in real estate, which are largely office, retail, apartment and industrial assets, gained 10.7 percent. The System’s investments in housing, timber and other specialized real estate assets earned 27.2 percent. Both portfolios exceeded the NCREIF Property Index that returned 8.9 percent.
Today, 66 percent of the CalPERS portfolio is invested in equities, 28 percent in bonds and other fixed income and 6 percent in real estate. CalPERS is the nation’s largest public pension fund. The System provides retirement and health benefits to more than 1.4 million public employees and their families. For additional information about CalPERS, please visit www.calpers.ca.gov.
