agenda item 8b - attachment 1 · 2020-06-05 · item 8b, attachment 1, page 5 of 14 . wilshire...

Item 8b, Attachment 1, of 14

Wilshire

WILSHIRE ASSOCIATES Wilshire Consulting

/2._ California Public Employees' Retirement System

Universe Comparison Report - March 31, 2020

-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


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.

·�',



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


�

·-....--�--..

;,�------------------�------------------�---------�


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



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.

3.49

-11.36 (41) 1.76(54} 4.09(51

-22..831641


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


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)




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


18%

5.73 (3.3)


Wilshire Consulting W Wilshire

Growth: Private Equity Universe Comparison California Public Employees Retirement

Performance Comparison Total Private Equity Returns of Public Funds> $10 Billian


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




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


3.45

3.88 (5) 4 5.85 (51 . 14 (5) 5.44 (5) 4.58 (5) 3.36 (5) 4. 1 4 (56)



I ncome Universe Comparison Califi ornia Publ"c Employees Retirement

Performance Comparison Total Fixed Income Returns of Public Funds > $10 Billion


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)


Item 8b, Attachment 1, Page 1 1 of 14


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


5.5'1l 5.79 3.69

3.63

ll.10.(50)



Real Estate Universe Comparison California Public Employees Retirement

Performan ce Comparison Total Real Estate Returns of Public Funds > $10 Billion


-- -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)




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




I M P O RTA N T I N F O R M AT I O N

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i ntended for the excl us ive use of the person to whom it i s prov ided . I t may not be d isclosed, reproduced or

red istri buted, i n who le or i n part, to any other person or ent ity without prior written perm iss ion from Wi lsh i re . Th i rd

party i nformat ion conta i ned here in has been obta i ned from sou rces be l ieved to be re l iab le . Wi lsh i re g ives no

representat ions or warranties as to the accu racy of such i nformation, and accepts no responsi b i l ity or l i ab i l ity

( i ncl ud i ng for i nd i rect, conseq uentia l or i ncidenta l damages) for any error, om iss ion or i naccu racy i n such

i nformation and for resu lts obta i ned from its use. I nformat ion and op in ions are as of the date i nd i cated, and are

subject to change without not ice .

Th is materia l is i ntended for i nformationa l pu rposes on ly and shou ld not be construed as lega l, account ing, tax,

i nvestment, or other profess iona l advice.

This report may i ncl ude estimates, project ions and other "forward -look ing statements . " Due to numerous factors,

actua l events may d iffer substantia l ly from those presented .

Wi lsh i re® is a reg istered serv ice mark of Wi lsh i re Associates I ncorporated, Santa Mon ica, Cal iforn ia . Al l other trade

names, trademarks, and/or serv ice marks are the property of the i r respective ho lders .

Copyrig ht © 2020 Wi lsh i re Associates I ncorporated . Al l rig hts reserved .

©2020 Wilshire Associates.

agenda item 8b - attachment 1 · 2020-06-05 · item 8b, attachment 1, page 5 of 14 . wilshire...

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