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CalPERS hedge fund returns miss benchmark

US – CalPERS, the largest US pension scheme, says its hedge fund returns underperformed their benchmark by more than four percentage points for the year to the end of June 2004.

“Absolute return strategies, or hedge funds, had a 9.8% return, falling short of a benchmark that returned 14%,” California Public Employees’ Retirement System said.

Overall the Sacramento-based fund earned a 16.7% return on investments, taking its market value to 166 billion dollars (euros). It said it has returned to double-digit returns “that have not been seen since the mid 1990’s”.

Chief investment officer Mark Anson said the fund grew by 22.7 billion dollars “of which 2.3 billion dollars was generated by taking advantage of unique market opportunities this past year”.

“CalPERS’ performance should provide hope to the state and local public employers who are responsible for making contributions to fund the benefits,” the scheme said.

“We beat our benchmarks in four out of five asset classes, and did so while managing our risk and navigating through the ups and downs of the market last year,” Anson said.

The plan’s top performing portfolio was corporate governance funds – with a 53.5% return. US equities returned over 20.8% while fixed income earned more than 900 million dollars.

As at June 30 this year CalPERS was 67% invested in equities, 26% in bonds and other fixed income and seven percent in real estate.

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