CalPERS Announces 9.3% Return in Year Ending June 30

The California Public Employees’ Retirement System staff Monday announced that the pension fund had achieved a 9.3% return in its most recent fiscal year, through June 30, 2024.

Exceeding its 6.8% long-term investment return benchmark, assets of the largest pension fund in the U.S. rose to $502.9 billion, also reporting an estimated funded status of 75%. CalPERS CEO Marcie Frost, in the Monday meeting, said equities performed particularly well in the second quarter, outpacing all other asset classes.

Frost also announced that the fund’s annualized five-year return now sit at 6.6%, and the 10-year return, 6.2%. Equities, the strongest-performing asset class in the fund’s portfolio returned 17.5%. Privat debt, a new asset class to CalPERS which was added in 2022, came in second, returning 17.3% in the fiscal year.

Private equity and real assets returned 10.9% and negative 7.9%, respectively, and like private debt results for these asset classes are reported on a one-quarter valuation lag as of March 31, 2024. Fixed income returned 3.7%.

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Strong returns in alternatives have led the pension fund to increase its allocations to private markets assets. In March, CalPERS announced that it would increase its target allocation to private equity to 17% from 13%. The fund will also increase its allocation to private debt to 8%, from 5%. In total, CalPERS plans a 40% allocation to private markets assets, up from 33%. The reallocation comes from reducing fixed income and equities.

On his second day on the job, newly appointed CIO Stephen Gilmore also made his first public appearance as an employee of the fund at Monday’s meeting. Gilmore said coming to CalPERS was a natural evolution of his career which has spanned decades, including senior roles at Australian and New Zealand based sovereign wealth funds.

What attracted Gilmore to CalPERS, he said, was the size of the pension fund, not just the size of its assets under management, but its more than two million beneficiaries. He also said the fund’s mission was a factor, pointing to “ambition” of some of CalPERS initiatives, such as its sustainable investments 2030 strategy, which will see $100 billion invested towards climate solutions by the end of the decade.

Gilmore said he was also drawn by CalPERS’ shareholder engagement. According to Gilmore, the pension fund has “the desire to engage, to be active, and given the size and influence that CalPERS has, that can make a real difference.” Gilmore also hailed the pension fund’s commitment to diversity, noting that strong teams can be built by people of different backgrounds and experiences.