On a preliminary basis, the fund generated a net return of a negative 6 percent on its investments for the 12-month period ended June 30, it said. This marks the first loss for CalPERS since the global financial crisis of 2009.
At the end of the period, CalPERS' assets stood at $440 billion, down from $469 billion at the end of the previous fiscal. This represents a reversal from the 21.3 percent return it earned In the fiscal year 2020–21.
A breakdown of returns by investment categories showed that global public stocks returned a negative 13.1 percent and fixed investments returned a negative 14.5 percent. On the other hand, the private equity and real assets sectors returned 21.3 percent and 24.1 percent, respectively.
Public market investments make up about 79 percent of CalPERS' total fund.
“This is a unique moment in the financial markets, and we’ve seen a deviation from some investing fundamentals,” said CalPERS Chief Investment Officer Nicole Musicco.
“For instance, our traditional diversification strategies were less effective than expected, as we saw both public equity and fixed income assets fall in tandem.”
Top Holdings of CalPERS at the end of the first quarter included Apple Inc., Microsoft Corporation, Amazon Inc., Johnson & Johnson, and Berkshire Hathaway Inc., according to its 13F filing.
