Private equity has remained one of the Florida Retirement System’s (FRS) strongest performing asset classes over the last year, despite a significant drop in the fund’s overall value.
Revealing an overall loss of 4.4 percent for fiscal year 2008, the $126.9 billion (€86.5 billion) pension said its private equity portfolio returned 7.52 percent, the second strongest performance of any asset class.
That figure trailed the 11.6 percent return FRS has averaged over the last three years from private equity, as well as its three year weighted benchmark of 9.26 percent.
Real estate proved to be the best performing asset class for the pension, returning 8.69 percent for the 12-month period ending 30 June. Fixed income came in third, at 5.1 percent.
As was the case with several other pensions’ subpar performances over the last 12 months, FRS’ drop was primarily due to the pension’s sinking public portfolio. Domestic equities returned -12.68 percent for the year, while international equities returned -6.52 percent.
Those losses sunk the Florida State Board of Administration’s (FSBA) total assets under management, which include capital pools outside FRS, from $184 billion one year ago to $154.7 billion as of 30 June.
Both the California Public Employees’ Retirement System and the California State Teachers’ Retirement System have posted negative returns for the past fiscal year, despite leading performances from their alternatives portfolios.
In July, FSBA doubled to 10 percent its allocation to private equity and other alternative assets. Private equity and venture capital fund commitments comprised roughly 3.2 percent of FSBA investments last year.