CalPERS Returns 3.3% in the First Quarter, Decreasing Size of Buyouts in Portfolio

Assets of the US’s largest pension fund reached $495.3 billion at the end of Q1asthe fund prepares to increase its allocation to alternatives. 



In the first quarter of the year, the Public Employees’ Retirement Fund of the California Public Employees’ Retirement System
returned 3.3%, primarily boosted by equities, staff of CalPERS discussed at the organization’s June 10 investment committee meeting. 

During the quarter, equities returned 7.6%. Private equity in the fund’s portfolio returned 2.3%, under the funds 11.6% benchmark, although the benchmark is based off public equities, leading to a negative value add figure for the CalPERS private equity returns, noted Michael Krimm, investment director at CalPERS.

Fixed income in the portfolio returned negative 0.6%, and real assets returned negative 2.2%. Private debt returned 2.5%. 

Fiscal year to date, as of March 31, 2024, CalPERS’s PERF portfolio returned 7.8%. The CalPERS fiscal year ends June 30. As of March 31, 2024, CalPERS has returned an annualized 10.4%, 7.1%, 6.6%, and 6.6% over the past one, five, 10, and 20 years respectively.

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At the meeting, CalPERS CEO Marcie Frost confirmed that Stephen Gilmore, who was appointed as CalPERS new CIO, will begin working in his role on July 15.

Private Assets Push

CalPERS currently has a 30.6% allocation to private assets, but in March approved a target allocation of 40% to these asset classes. As part of recent reviews of the fund’s asset allocations, CalPERS has slowly increased its allocation to middle market buyout managers and looks to increase its allocation to both growth and venture capital investments.

Buyouts made up 91% of CalPERS private equity portfolio in fiscal year 2020-2021, but now account for 67.4%, as the fund began a diversification effort in 2022. “We do believe the buyout portfolio over dominated the private equity exposure “said Anton Orlich, managing investment director at CalPERS, in the meeting.

Within buyouts, CalPERS wants to focus on investing in middle market buyouts, lowering allocations to large and mega buyout managers. The fund wants to invest in smaller, more “specialist” buyout managers, which Orlich notes could provide more above-market returns and use smaller amounts of leverage in their strategies.

Fiscal year to date, the fund has made 40% of its PE commitments to growth and venture managers, 37% to middle market buyouts and only 23% to large and mega buyouts. In fiscal year 2021, the fund made 55% of its PE commitments to large and mega buyout managers, 36% to the middle market and just 9% to growth and venture.

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CalPERS Names Stephen Gilmore as New CIO

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UN Pension Fund Earns 2.42% in May, up 3.29% Year to Date

The $91 billion pension fund’s performance was led by public equity, which returned more than 4% last month. 



After a slow start to the second quarter, the United Nations Joint Staff Pension Fund’s investment portfolio earned 2.42% in May alone and returned 3.29% in the year’s first five months to raise the fund’s total asset value to just over $91 billion, according to the UNJSPF’s latest
investment report.  

The pension fund’s monthly performance was led by its public equity investments, which for May returned 4.09% and increased 8.57% for the year through May 31, despite gaining only 0.51% during April and May combined.  

Fixed-income investments returned 1.7% in May but were down 1.57% for the first five months of the year. Real estate investments gained 0.2% for the month but were down 1.17% for the year to May 31, while the real asset portfolio was flat last month, remaining 1.45% higher year to date. 

Private equity investments eked out a 0.09% gain during the month and edged 0.36% higher over the first five months of 2024. Treasuries and operational cash returned 0.57% in May, while investment cash increased 0.49%. Both were up, 2.34% and 2.26% respectively, for the year to May 31. 

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The pension fund’s asset allocation, as of the end of May, was 43.4% public equity, 37.47% total fixed income, 8.48% private equity, 7.63% real estate, 2.35% investment cash, 0.43% real assets, and 0.25% Treasuries and operational cash. 

As of the end of April, the pension fund had a one-year return of 8.1%, falling short of its benchmark’s 9.0% return, and a three-year annualized return of 1.5%, just ahead of its benchmark’s return of 1.3%. Over the past five, 10 and 15 years, the pension fund reported annualized returns of 6.1%, 5.8% and 7.7%, respectively, on par with its benchmark’s returns of 6.0%, 5.9% and 7.8%, respectively, over the same time periods, each as of April 30. 

Related Stories: 

UN Pension Fund Looks to Add 3 to Investment Team 

UN Pension Fund Loses More Than $13B in 2022 

UN Pension Fund Seeks Adviser to Suggest Board Changes 

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