SACRAMENTO, Calif. (HedgeWorld.com)–The US$765 million hedge fund portfolio at California Public Employees’ Retirement System lagged its benchmark by more than 400 basis points in the year ended June 30, the pension system said.
CalPERS, with total assets of US$166 billion, said its hedge funds returned 9.8% in that period, while its short-term benchmark returned 14%, according to a report on its fund performance for the fiscal year ended June 30.
The short-term benchmark for CalPERS’ hedge fund portfolio is 50% of the Wilshire 2500 stock index–a customized benchmark–and 50% a one-year U.S. Treasury note return plus 7 percentage points, said Brad Pacheco, a spokesman for the system. CalPERS’ long-term benchmark for hedge funds is just the one-year U.S. T-bill note plus 7%.
The T-bill return in that period was 7.7% while the Wilshire 2500 index returned 20.6%. The portfolio was close to matching the CSFB/Tremont Hedge Fund Index, which returned 10.1% in the same period.