California Public Employees Retirement System’s (CalPERS) $50bn (€46.6bn) real estate portfolio recorded net return of -11.6% in the 12 months up to 31 March 2024, but outperformed its benchmark by 100bps, according to a board meeting document.
The pension fund’s investment consultant Meketa Investment Group disclosed in the meeting document that the office assets, which account for 10.6% of the pension fund’s core portfolio, produced a -31.1% 12-month return.
The multifamily assets in the core portfolio’s return was -15.5%, and the industrial portfolio recorded a -6% return.
According to Meketa, the sectors were experiencing slowing rental rate growth and the disadvantage faced by industrial properties with long-term, below-market rate leases.
CalPERS’s overall real estate portfolio – which accounts for 10.2% of the pension fund’s total investment portfolio – outperformed its benchmark, the MSCI/PREA US ACOE Quarterly Property Fund Index by one percentage point during the period.
The pension fund’s real estate portfolio comprises 87.8% of core assets, 8.5% value-add assets and 3.7% of opportunistic assets.
Core holdings had a return of -11.8%, value-add holdings returned -13.9% and opportunistic holdings returned -12.9%.
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