CalPERS Equity Portfolio Edges Out S&P 500 Returns in Q4 2022

The California Public Employees’ Retirement System’s public equity portfolio eked up to an assessed value of more than $117 billion in the fourth quarter of 2022, according to its most recent 13F-HR filing.

The $439 billion pension system saw the value of its public equity portfolio reported on the form, dated December 31, 2022, though not indicative of raw performance data, drop 21.5% from the same 13F-HR filing one year prior.

Never miss a story — sign up for CIO newsletters to stay up-to-date on the latest institutional investment industry news. 

According to CIO reporting in July 2022, CalPERS updated its asset allocation to consist of 105%, indicative of an additional 5% reserved for leverage. The plan’s asset allocation target is 42% in global equity, 30% in fixed income, 15% in real assets, 13% in private equity and 5% in private debt, with additional 5% allocation consisting of leveraged debt equity. The allocation target shake-up saw the target allocation of global equities within the pension’s portfolio fall by 8%; while adding 5% to private equity, 2% to fixed income, and 2% to real assets

Like the New York State Teachers’ Retirement System, CalPERS was a beneficiary of the private takeover of Twitter completed by Elon Musk in the Q4 2022. If the pension system held all its shares tallied in the Q3 filing to the completion of the deal, the pension would have netted $91 million to reallocate within the portfolio.

In addition, the U.S.’s -largest public pension fund, made a huge trade in offloading 1.932 million shares of Walmart during the quarter, raising more than $275 million. The pension seemed to trim its positioning in the retail sector, selling more than 20% of its shares in Gap Inc, Target, American Eagle Outfitters and Walmart during the quarter.

In originating new equity positions during the quarter , the pension created new positions of at least $1 million in the equities of U-Haul Holdings, MasterBrand Inc, Atlassian, RXO Inc and BioHaven Ltd. The filing also shows that CalPERS allocated to Sector SPDR ETFs, in the financial, technology, materials and health care sectors; positioning, approximately $50 million each into the materials and healthcare ETFs, $143 million into the technology fund, and $530 million into the financial fund.

The largest five positions of the public equity portfolio at the end of the fourth quarter were Apple (4.8%), Microsoft (4.2%), Johnson & Johnson (1.7%), Amazon (1.65%) and Berkshire Hathaway Class B (1.4%), differing substantially from the makeup one earlier, when the five largest positions were Microsoft (4.15%), Apple (4%), Amazon (2.5%), Vanguard Index S&P 500 ETF (2.45%) and iShares Core S&P 500 ETF, (2.15%).

The only shake-up in the top five quarter-end positions of the public equity portfolio from the end of the third quarter to the end of the fourth quarter was Berkshire Hathaway replacing Tesla. The carmaker lost immense equity value in Q4 during the private takeover of Twitter by Musk, who is also Tesla’s CEO, which ironically aided the CalPERS portfolio in freeing up capital

CalPERS Blames ‘Tumultuous’ Markets for Preliminary 6.1% Fiscal Year Loss

CalPERS’ New Asset Allocation Kicks In July 1

Tags: 13F, California Public Employees’ Retirement System, CalPERS, Elon Musk, Equities, Twitter, Walmart

The New York State Common Retirement Fund cut back a significant portion of its public equities holdings during 2022 in favor of alternative investments, with the most significant boost going to real estate and real assets.

At the end of 2022, the fund’s asset allocation was 43.49% in publicly traded equities; 22.07% in cash, bonds and mortgages; 14.77% in private equity; 13.43% in real estate and real assets; and 6.24% in credit, absolute return strategies and opportunistic alternatives.

Never miss a story — sign up for CIO newsletters to stay up-to-date on the latest institutional investment industry news. 

Based on a comparison of the fund’s asset allocation at the end of 2022 and the end of 2021, the fund cut back its allocation to publicly trade equities and increased its allocations to real estate and real assets; private equity; and credit, absolute return strategies and opportunistic alternatives.

The NYCRF reduced its public equities allocation by nearly 8 percentage points from 51.38% at the end of 2021, while it increased its allocation to real estate and real assets by nearly five percentage points from 8.52% one year earlier. The allocation to private equity was raised by more than two percentage points from 12.36%, and the allocation to credit, absolute return strategies and opportunistic alternatives was increased less than one percentage point from 5.37%. The fund also slightly lowered its holdings in cash, bonds and mortgages from 22.37%.

The updated asset allocation was included in the pension fund’s financial report for its fiscal Q3, which ended on December 31, 2022, which showed a robust return of 4.51% that raised its asset value to $242.3 billion from $233.2 billion the previous quarter. By comparison, the fund lost an estimated 3.85% during the previous quarter and returned 4.74% during the same quarter in 2021, when its estimated value was $279.7 billion.

“The equity markets had some difficult times in 2022, but the fund posted positive results for the quarter,” New York State Comptroller Thomas DiNapoli said in a release. “Market volatility may persist in 2023, but the fund remains well-diversified and built to handle these ups and downs.”

The fund also announced it paid out just under $3.8 billion in retirement and death benefits during the quarter.