US â€" The California State Teachersâ€™ Retirement System (CalSTRS) said its portfolio fell by 26.2% in the year ending 31 December â€" underperforming its custom benchmark by 70 basis points.
The pension fundâ€™s custom benchmark returned -2.4% and 2.4% in the three and five year periods respectively.
In a memo to the committee, chief investment officer Christopher Ailman said: â€œThe investment committee is always advised, since CalSTRS has a 40 year horizon, to look at the long-term results. The economic destruction of the past 6 months is so severe it has impacted the investment results for the past 3, 5, and even 10 years.â€
In the ten years ended December 31, the scheme returned 3.7% â€“ outperforming its benchmark by 90 basis points.
Ailman added: â€œThis report includes the global decline in stocks that fell from August to December of 2008. During that period, diversification failed the portfolio as all forms of capital, with the exception of U.S. Treasury and gold, declined in value. While we can not forecast the potential of future events, many economists feel this decline is a once every 100 year event.â€
CalSTRS public equity portfolio was down 40.1% for the year while private equity was down 8.6%. US debt was up 0.2%.
CalSTRS targets an allocation of 40% to US equity, 20% each to non-US equity and US debt, 11% to real estate and 9% to alternative investments.
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