Agenda Item 8b - Attachment 1 · 2020-06-05 · Item 8b, Attachment 1, Page 5 of 14 . Wilshire...
Transcript of Agenda Item 8b - Attachment 1 · 2020-06-05 · Item 8b, Attachment 1, Page 5 of 14 . Wilshire...
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Item 8b, Attachment 1, Page 1 of 14
Wilshire
WILSHIRE ASSOCIATES Wilshire Consulting
/2._ California Public Employees' Retirement System
Universe Comparison Report - March 31, 2020
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-0.44 -4.76 6.33
5.64
-0.'11 (SQ) 7.48 (91 3.37(11 3.36(0 9.82(1) 5.17f17l
Item 8b, Attachment 1, Page 2 of 14
Wilsh ire Consulting Wilshire
Total Fund Universe Comparison Califi ornia Publ"c Employees Retirement
Performance Comparison Total Returns of Public Funds> $10 Billion
Cumulative Periods Ending : March 31, 2020
15%
12% ■
% ■
96% I
3% £. l
0%
i�f§� I
-15%
-18%
-21% ■
-24%
Percentile RankinA]S 1 Olr 2 Qtrs 3 Otrs 1 Year 2 Years 3 Years 4 Years 5 Years 7 Years 10 Years 51h -5.54 -1.73 -0.06 3.93 4.85 7.53 7.96 6.40 8.07 8.60
■
25th -8.60 -4.78 -3.54 1.QQ 5.00 6.68 5.24 6.77 7.69 5oth -9.95 -5.88 7.51-1.98 1.23 4.47 6.15 4.QO 75th -11.72 -6.94 -6.14 -a.rn 0..72 3.85 4.33 5.89 6.ll!i 95th -14.00 -li.18 -8.12 -5.62 -0.97 3.13 5.03 3.89 5.14 6.43
No. Of Ot>s 48 "'i7 46 45 45 45 45 45 45 42
T Tola! Plan - Composite -9.16(31) -5.56(371 -4.02(291 -0.36f23l 1.55(43) 4.68(45l 6.06(52) 4.84(501 6.31 ,(52) 7.19(60) 5.QQ (Ql Q.08,(1) 10.19 (1) ■ Wisllire 5000 -20.71)(1001 -13.51)(1001 -12.44 (1001 -8.94(1001 4.09 (65)
IBarcbys Govl/Cred� 6.08(11 7.12(0 4.00(1001 3.54(1001 3.32(1001 4.14(100),...
©2020 Wilshire Associates. GOF returns are used in universe comparison.
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·�',
Item 8b, Attachment 1, Page 3 of 14
Wilsh ire Consulting Wilshire
Total Fund Risk and Returns Cal"fornia Public Employees Retiri ement
Risk vs Total Returns of Pubic Funds> $10 Bill"on 3 Years End;ng March 31, 2020
Moro Re urn Mom Risk
""jij ::, C C •<: 4
3 Less Return, Less Risk Less Return, More Risk
2 �--�, --�,---,----, -------�--------, --,--- �---------------�I
2 3 4 5 6 7 8 9 10 11 12 13 14 15 16 17 18 19 20
R,sk (Histonc I Standard Dev1abon of Return)
Alpha: 9. 25 Beta_ -0_51 R-Squ.ared O 5
Risk Value Risk Rank Return Value Return Rank
Total Plan - Com,posites 8_80 56 4_68 45
■ Wilshire smm 18_66 4.09 65
21l2 100 4.82 40 Bardays Amir�ate
Median IUQ 4,17
©2020 Wilshire Associates. GOF returns are used in universe comparison.
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�
·-....--�--..
;,�------------------�------------------�---------�
Item 8b, Attachment 1, Page 4 of 14
Wilshire Consulting Wilshire
Total Fund Risk and Returns Cal"fornia Public Employees Retirementl
Risk vs Total Returns of Pub ic Funds> $10 Bill"on 5 Years Ending March 31, 2020
IMedJan Risk8 More Return, Lass Risk More Re urn More R[sk
7
C:
0 6
Median Return1.'.::!. 5 ,. C:
4
Less Ret m, Less Risk Less Return, More Risi< ----.............
3 4 5 6 7 8 9 10 11 12 13 14 15 16 Risk 1H1stoncel Standard Deviation of Return)
AJpha: 7.25 Beta. -0.31 R-Squared O 24
Risk. Value Risk Rank Return Value Reh1rn Rank
Total Plan - Composites 7.58 56 4.84 50
■ Wilshire 5000 15.33 5.QQ 9
Bardays Am:1rej:late 3.33 100 3.36 100
7.86 4.QOMedian
©2020 Wilshire Associates. GOF returns are used in universe comparison.
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Item 8b, Attachment 1, Page 5 of 14
Wilshire Consulting W Wilshire
Asset Al location Ranking Universe Analysis
Asset Allocation Ranking of Public Funds> $10 Billion Percentiles: 5, 25, 50, 75, 95
US Equity lnt'I Equity Global Fixed Liquidity/Cash Real Estate Priv Equity Other
Percentile Rankings US Egui� lnt'I Eguity Global Fixed Liguidi!Y/Cash Real Estate Priv Eguin, Other
5th 56.91% 25.84% 37.96% 16.13% 12.95% 36.41% 19.29%
25th 40.36% 19.12% 27.77% 7.88% 9.57% 28.52% 0.97%
50th 28.18% 14.34% 22.67% 3.78% 5.39% 18.41% 0.00%
75th 18.65% 10.40% 18.02% 2.15% 0.62% 9.46% 0.00%
95th 15.05% 0.01% 9.85% 0.59% 0.00% 5.90% 0.00%
100%
90%
80%
70%
C
60% C
QJ 50%
·z C QJ
40% QJ
30%
20%
10%
0%
CalPERS 27.20% (53) 21.87% (9) 29.53% (15) 1.00% (79) 10.56% (13) 7.66% (79) 2.14% (12)
©2020 Wilshire Associates.
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3.49
-11.36 (41) 1.76(54} 4.09(51
-22..831641
Item 8b, Attachment 1, Page 6 of 14
Wilsh ire Consulting W Wilshire
Growth: Public Equity Universe Comparison Califi ornia Publ"c Employees Retirement
Performance Comparison Total Equity Returns of Public Funds > $10 Billion
Cumulative Periods Ending : March 31, 2020
15%
12% ■
-16% ♦
-21%
-24%
Percentile RankinA]S 1 Qtr 2 Qtrs 3 Otrs 1 Year 2 YeilfS 3 Years 4 YeB/5 5 Years 7 Years 1D Years 51h -12-73 -7.01 -6.14 -3.36 D.46 4.83 7.68 5.n 8.19 &71
9%
� r 3%
0%
-3%
-6%
-9%
-12%
-15%
...
♦
25th -lQ.80 -1244 -12.17 -ll.21 -261 5oth -22..00 -14.96 -14.92 -11.01 -3,$0 1.98
ll.!12 4.70 7.62 ll1Q 5.4Q 3.21 6.07 7.54
75th -23.19 -16.35 -15.75 -13.26 -5.93 Ul5 4.46 2.60 5.37 6.70 Q51h -24.DI -19.83 -26.56 -22.Q4 -8.47 -0.11 3.47 211l 4.48 6-20
No. Of Ot>s 29 27 25 24 24 24 24 23 21 11l
T Tola! Plan - Composite -21.10 13:21 ■ Wisllire 5000
-15.12(5Dl -14.69(41} -4.53 (54l 5.25(5(]) 3.32 (41l 5.77.,(55) 6.64 183) 5.00 (1) Q.08,(1) 10. TQ (1)
-0.62(991 1.75 ,(QQ) 271(100) -20.70 1201 -13.00 (32l -12.44(25) -8.Q4 (20) -D.41 1101 7.48 (5)
MSCI EAPE (Net} -16.53 (75) -17.42 (04} -14.38(84) -9.20(99l -1.82 (Q9} 1.39 (9Q)
©2020 Wilshire Associates. GOF returns are used in universe comparison.
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Item 8b, Attachment 1, Page 7 of 14
Wilsh ire Consulting Wilshire
Growth: Public Equity Risk and Returns Cal"fornia Public Employees Retiri ement
Risk vs Total Equity Returns of Public Funds > $10 Billion 5 Years End;ng March 31, 2020
• Meehan RiskMore Return, Loss Risk Moro Re urn Mom Risk
6 •
,....._____,__,_ --.................__
5
.a C:
4
Med11:1n Return 0
� 3 0::
-u (!)
ro 2::, C:
O Less Return, Less Risk Less Return, More Risk
9 10 11 12 13 14 15 16 17 R,sk (Histoncel Standard Dev1abon of Return)
Alpha: 8. 34
Beta. -0.32
R-Squared O 26
Risk Value Risk Rank Return Value Return Rank
Total Plan - Com,posites 1-4.81 50 3.32 41
■ Wilshire smm 15.33 50 5_,ljg
MSCI EAFE (Net) 15.37 45 -0.62 99 I
15.36 3.21Median
©2020 Wilshire Associates. GOF returns are used in universe comparison.
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18%
5.73 (3.3)
Item 8b, Attachment 1, Page 8 of 14
Wilshire Consulting W Wilshire
Growth: Private Equity Universe Comparison California Public Employees Retirement
Performance Comparison Total Private Equity Returns of Public Funds> $10 Billian
Cumulative Periods Ending : March 31, 2020
16%
14%
12%
1·
I I
- ------1
10%
8%
6% r--- ------� ----T
- --T4%
T 2
% 0
% I -r
,---
-2%
-4%
Percentile Rankin�s 1 Qtr 2 Qtrs 3 Qtrs 1 Year 2 Years 3 Years 4 Years 5 Years 7 Years 10 Years 5th 4.Q2 7.3.3 11.88 18.84 14.48 13.84 16.01 11.52 13.37 13.79 25th 2.06 4.00 6.54 11.M 10.BQ 12.37 12.24 11.08 11.86 12.72 5oth 1.48 2_62 4-37 9.15 8_80 11.77 11.29 9.80 10.74 11.64 75th -(1.10 OJIO 2_10 4.55 6-'15 8.82 9.56 7.QQ Q.30 9.92 95th -4.QO -3.65 --0.74 0.00 0.00 0.00 2.42 3.10 8.51 8.56
No. Of Obs 27 25 23 22 22 20 20 18 17 16
T TDial Plan - Com Po site 4.06(5) 4.27(17) 9.45 (45) 8.42.(00) 11.22(551 10.96(55l 9.96f43l 11.22(371 12.13(371
©2020 Wilshire Associates. GOF returns are used in universe comparison.
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Item 8b, Attachment 1, Page 9 of 14
Wilsh ire Consulting Wilshire
Growth: Private Equity Risk and Return Ca l " fo r n i a Pu b l i c Em p l oyees Ret i rem en tl
Ri s k vs To tal Pr i vate Eq u i ty Retu rn s of Pu b i c Fu n d s > $ 1 0 B i l l i o nl 5 Years Ending March 31, 2020
1 7 M Ia11 Risk16 More Return, Lass Risk More Return Morn R[sk
1 5
14
';I! 1 3 C 1 2
1 1 Median Retlfll
., 1 0 T
9
8m C 7
5
4 Less Return, Less Risk Less Return, MOfe Risi<
3 �-------------�,-----�----------�--------�-------�! ,2 3 4
, 5
,6
R,sk (Histoncal Standard DevIahon of Return)
AJpha: 9.56 Beta. D.0 1 R-Squared 0
Ris k. Valu e Ri sk Ran k Retu rn Value Reh.1rn Rank
Total Plan - Composites 4.09 25 9..1!5 43
Median 3.67 9.80
©2020 Wilshire Associates. GOF returns are used in universe comparison.
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3.45
3.88 (5) 4 5.85 (51 . 14 (5) 5.44 (5) 4.58 (5) 3.36 (5) 4. 1 4 (56)
Item 8b, Attachment 1, Page 10 of 14
Wilsh ire Consulting Wilshire
I ncome Universe Comparison Califi ornia Publ"c Employees Retirement
Performance Comparison Total Fixed Income Returns of Public Funds > $10 Billion
Cumulative Periods Ending : March 31, 2020
1 4%
T1 2%
1 0% ... T8% T
6% ... ... T
I
I 4% .t. ... 2%
0%
-2% - - -
-4%
Percenti le Ran kinA]S 1 atr 2 Qtrs 3 Qtrs 1 Year 2 Yedrs 3 Yedrs 4 Ye,ars 5 Years 7 Years 1 0 Yeair5 51h 5.23 5.16 7.36 1 1 .09 an 6.45 5.87 5.34 4.79 6. 1 4
25th 1 .60 2.1 1 4.1 1 7.56 7.08 5.(19 4.23 4.08 3.74 4.5D 5oth tl.8 1 1 .29 3.27 5.,S5 5. 14 4.12 3.98 3.47 3.30 4.31 75th -0..64 D.29 1 .78 4.53 3.88 3.09 2.65 229 4.1)1
95th -4.25 -3.52 -3.00 -ll.92 - 1.64 -0.51) CU B -2.25 -{L98 3.20
No. Of Ot>s 20 27 25 24 24 22 22 20 20 1 7
T Tola! Plan - Composite 7.71 ( 1 ) 12.38 ( 1 } 8.24 (5) 6.72 (1 ) 4.69 f1 2l .tl IBardavs Govt/Cred � 3.37 (5) Q.82 (21)) 7.12 (2[1) 5.17 f21) l 4.01) (401 3.54 f4[1)6.08 (9) 3.32 (45)
©2020 Wilshire Associates. GOF returns are used in universe comparison.
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Item 8b, Attachment 1, Page 1 1 of 14
Wilsh ire Consulting Wilshire
I ncome - Risk and Returns Ca l " fo r n i a Pu b l i c Em p loyees Ret i rem en tl
Ri sk vs To ta l Fixed I n co m e Ret u rn s of Pu b l i c Fu n d s > $ 1 0 B i l l i o nl 5 Years Ending March 31, 2020
7
More Return, Lass Risk More Re urn More R[sk 6
5 T
l 4 Medi an Return C:
0:: � 3 l---------------+---------------------------------
0 2 ro 0:: "'O(!)
"iii 0:::,C:
< :: 1 -3 j Less Return, Less Risk Less Return, More Risi<
-4 �---------�-------�--------.----<�-------�I I I t I I
2 3 4 5 6 7 8 9 1 0 R,sk (H1stoncel Standard Deviation of Return)
AJpha: 2.89
Bele. 0
R-Squared 0
Risk. Value Risk Rank Return Value Reh1rn Rank
Total Plan - Composites 5.43 25 <l.6Q 12
.A. Bardays Govt/Credit 3.7Q 55 3.54 40
Median 3.85 3.47
©2020 Wilshire Associates. GOF returns are used in universe comparison.
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5.5'1l 5.79 3.69
3.63
ll.10.(50)
Item 8b, Attachment 1, Page 12 of 14
Wilshire Consulting Wilshire
Real Estate Universe Comparison California Public Employees Retirement
Performan ce Comparison Total Real Estate Returns of Public Funds > $10 Billion
Cumulative Periods Ending : March 31, 2020
-- -11 0% f
12% I8%
I ... 4 T T +
% .L
• •0% --
f • •
-�: I •
----- 16% I
-20% I • -24%
-28%
Percentile Rankin�s 1 Qtr 2 Qtrs 3 Qlrs 1 Ye,,.- 2 Years 3 Years 4 Years 5 Years 7 Years 10 Years 51h 2.71 4.82 7.92 11.83 13.04 19.61 13.48 16.80 14.28 15.31 25th 2.00 4.26 Q.60 8.!M 10.55 10.37 11.<15 12.42 12.67
6.n 7.79 7.78 9.21 10.76 12.08.5oth 0.00 2.93 75th -0.04 0.01 O.llO 2.71 3.45 5..40 6.10 8.30 9.72 10.26 95th -3.75 -8.95 -4.43 -2.59 0.49 2.23 4.32 4.34 8.96
No. Of Ol>s 26 24 22 21 21 21 21 Hl 18 14
T T olal Plan - Composite 2.32(13) 4.48f1Dl 6.38 (15) Q_10 (25) 5.5'1l (60) 6.24.(601 6.91(70) 10.82.(43) 10.46 (66)+ NCREI F Property lndoc 0.71(00) 2.27 (54) 3.71 (45) 5.28 (55) 6.00 (60) 6.41 (60) 6.62 (70) 7.65 ,(87) 8.85 (81l 10.17 (83.) • Wilshire RESI -25.73(1001 -26.53fl 00) -20.76(100) -19.47 (100) -Ul9 (QQ) -2.47 (100) -1.20 (100} 0.08 ,( 1 00) 4.00 (100) 7.76 (100)
©2020 Wilshire Associates. GOF returns are used in universe comparison.
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Item 8b, Attachment 1, Page 13 of 14
Wilshire Consulting Wilshire
Real Estate - Risk and Returns
� 14 C:
1 2
0 ., 1 0
Cal"fornia Public Employees Retirementl Risk vs Total Real Es tate Retu rns o f Pu blic Funds > $10 Billion
5 Years Ending March 31, 2020
Median Risk 1 8 More Return, Lass ·sk More Re urn More R[sk
1 6
8 _ _ 4 __ ,....- � ... - - ... �
---+·
C: 6
4
2 Less Return, Less lSk Less Return, More Risi<
I ' I
0 2 3 4 5 6 7 8 9 10 11 12 13 14 15 16 17 1B 19 20 21 22 23 24 25 26 27 28 R,sk (H1stoncel Standard Deviation of Return)
AJpha: 7.97 Bete. 0.22 R-Squared O 29
Ris k. Valu e Risk Ran k Retu rn Value Reh1rn Rank
Total Plan - Composites 4.60 25 9. I O 50
+ NCREI F Property lndx U 5 99 7.65 87
Wilshire RESI 16.83 12 0.08 100
3.4 1 92 1Median
©2020 Wilshire Associates. GOF returns are used in universe comparison.
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Item 8b, Attachment 1, Page 14 of 14
Wilshire Consulting Wilshire
I M P O RTA N T I N F O R M AT I O N
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©2020 Wilshire Associates.