CalSTRS Loses 1.3% in Fiscal Year 2022

Market slump causes $262 billion drop in U.S. public pensions’ funding levels in June.



The California State Teachers’ Retirement System reported a 1.3% loss on investments for the fiscal year that ended June 30, as the pension fund’s asset value declined to $301.6 billion from $308.6 billion a year earlier, when the portfolio returned a record 27.2%.

It was CalSTRS’ first negative return since 2009, which it blamed on volatile global financial markets roiled by inflation, rising interest rates, the COVID-19 pandemic and Russia’s invasion of Ukraine. However, a CalSTRS press release says, the fund nevertheless beat its benchmark by 90 basis points.

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Its results could have been worse due to the severe market volatility during the second half of the fiscal year, the release says, but the fund credits its risk mitigation strategies with helping soften public market losses.

Over the long term, the pension fund reported 20-, 25- and 30-year annualized returns of 7.8%, 7.2% and 8.0% respectively. And over the near term, the pension fund reported three-, five- and 10-year annualized returns of 9.3%, 8.7% and 9.4% respectively.

As of June 30, the asset allocation of CalSTRS’ investment portfolio holdings was 38.4% in public equity, 16.3% in real estate, 15.7% in private equity, 10.5% in fixed income, 10.3% in risk mitigating strategies, 5.4% in inflation sensitive, 2.3% in strategic overlay and cash and 1.1% in innovative strategies.

“As long-term investors, we think in terms of decades. One-year returns are akin to the pace of running a mile during a marathon,” CalSTRS CIO Christopher Ailman said in a statement. “In a very challenging and unusual market environment where both equities and bonds were down double digits, our diversified portfolio mitigated losses to produce a net -1.3% return.”

CalSTRS fared better than most large public pension funds during the second quarter, as the 100 largest U.S. public pension plans lost a combined $262 billion in funding during June, according to actuarial and consulting firm Milliman. The deficit between the estimated assets and liabilities widened to $1.521 trillion at the end of the month from $1.259 trillion at the end of May, as the funds’ asset value dropped to $4.318 trillion from $4.566 trillion.

The estimated funded ratio for the 100 pension funds fell to 74.0% at the end of June from 78.4% at the end of May. The Milliman Public Pension Funding Index estimates that the plans reported an average investment loss of 5.13% for June alone, with losses ranging from 2.27% to 7.49% during the month.

The total pension liability for the pension funds rose to an estimated $5.839 trillion at the end of June from $5.825 trillion a month earlier. The falling markets sent eight of the plans below the 90% funded level, with just 19 of the 100 plans still above this mark, compared with 27 a month earlier and 46 at the end of 2021. At the same time, five plans fell below the 60% funded level, raising the total number of plans under this threshold to 26, from 21 at the end of May and 18 at the end of last year.

“Public pensions have seen their funding tumble during June 2022, thanks to the continuing turmoil in financial markets,” Becky Sielman, author of Milliman’s Public Pension Funding Index, said in a statement. “Combined with the normal growth in liabilities, these public pensions saw their aggregate deficit rise by $262 billion in June alone.”

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Don’t Miss Out: Nominate for the CIO Innovation Awards by August 28

Nominate the best asset owners, consultants and managers for this year’s awards.



The deadline for nominations to the 2022 Chief Investment Officer Industry Innovation Awards has been extended to August 28.

Take this opportunity to help CIO find the people and firms that are changing this business for the better.

Since 2010, CIO has used this awards program to highlight truly innovative new approaches to the challenges of institutional asset ownership and asset management.

CIO is asking for your help in identifying the people at asset owner, asset management and consultant organizations that are driving innovation in institutional investing. If you work with or for a great asset owner, asset manager, consultant or service provider, please help us recognize the best in the business.

Nominate asset owners  here.

Nominate asset management, consultant or service provider firms  here.

Please feel free to make as many nominations as you’d like.

Asset owners can be nominated in any of 13 categories, based on the kind of fund or plan they represent or the category of work in which they have been innovators.

  • Public Defined Benefit
  • Sovereign Wealth
  • Corporate Defined Benefit
  • Corporate DC Plans
  • Public DC Plans
  • Health Care Plans
  • Endowments
  • Foundations
  • Nonprofits
  • Risk Management
  • Efforts in Diversity
  • Efforts in ESG
  • Most Collaborative

Asset managers, consultants and service providers can be nominated in 17 different categories, based on asset classes and industry function.

  • Consultant of the Year
  • Liability-Driven Investing (LDI)
  • OCIO
  • Defined Contribution Plans
  • Diversity
  • ESG
  • Data and Technology
  • Emerging Markets
  • Public Fixed Income
  • Hedge Funds
  • Multi Assets
  • Pension Risk Transfer
  • Private Credit
  • Private Equity
  • Public Equity
  • Real Assets and Infrastructure
  • Transition Management

Award recipients across all categories will be honored at the CIO Industry Innovation Awards Dinner on December 6, 2022, in New York City.

Finalists and winners of the awards will be featured online at ai-cio.com. The 2021 class of Industry Innovation Award winners can be viewed here.

The deadline for nominations is August 28, 2022, at 11:59 p.m. ET.

Questions can be directed to awards@issmediasolutions.com.

Related Stories:

2019 Industry Innovation Awards

2019 Asset Management & Servicing Winners

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2018 Industry Innovation Awards

2018 Asset Management & Servicing Winners

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