We have received the following news release from CalPERS:
July 12, 2021
Communications & Stakeholder Relations
Contact: Megan White, Information Officer
(916) 795-3991 - newsroom@calpers.ca.gov
Sacramento, Calif. – CalPERS today reported a preliminary 21.3% net return on investments for the 12-month period that ended June 30, 2021. CalPERS assets at the end of the fiscal year stood at more than $469 billion. The preliminary 21.3% return lagged behind the fiscal year total fund benchmark of 21.7%.
Under the Funding Risk Mitigation Policy (PDF), approved by the CalPERS Board of Administration in 2015, the double-digit return will trigger a reduction in the discount rate used to calculate employer and Public Employees' Pension Reform Act (PEPRA) member contributions. The discount rate, or assumed rate of return, will drop to 6.8%, from its current level of 7%.
The Funding Risk Mitigation Policy lowers the discount rate in years of good investment returns. This is the first time it has been triggered.
The 21.3% 2020-21 fiscal year return for the Public Employees’ Retirement Fund (PERF) were driven by Private Equity and Public Equity, with net returns of 43.8% and 36.3%, respectively.
Based on these preliminary fiscal year returns, the funded status of the overall PERF is an estimated 82%. This estimate is based on a 7% discount rate. Under the new 6.8% discount rate, however, the funded status of the overall PERF drops to 80%. This is because existing assets are assumed to grow at a slightly slower rate annually into the future. As intended under the Funding Risk Mitigation Policy, the lower discount rate increases the likelihood that CalPERS can reach its target over the longer term.
The CalPERS Board of Administration will continue to review the discount rate through its Asset Liability Management process during the rest of the calendar year.
“Our investment team has done an outstanding job of capturing strong returns in this very dynamic investment environment,” said Theresa Taylor, chair of the CalPERS Investment Committee. “These results prove that we have the right investment strategy in place to take full advantage of what the markets have to offer."
"But as pleased as we are with these great returns, let me emphasize that we don’t count on this kind of investing environment every year. We know markets go up and down. As a long-term investor, our job is to make sure we have a carefully considered plan to strengthen our fund no matter the economic climate so that we can pay the benefits our members have earned.”
The 2020-21 fiscal year returns brings total fund performance to 10.3% for the five-year period, 8.5% for the 10-year period, and 6.9% for the 20-year period. Over the past 30 years, the PERF returned an annualized return of 8.4%.
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Returns for 20-21 fiscal year by asset class:
| Total Fund | 21.3% |
|---|---|
| Public Equity | 36.3% |
| Private Equity | 43.8% |
| Fixed Income | -0.1% |
| Real Assets | 2.6% |
| Liquidity | 0.1% |