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Tuesday, February 23, 2016

PSPRS investment returns through December 2015

The following table shows PSPRS' investment returns, gross of fees*, versus the Russell 3000 for December 2015, the sixth month of the current fiscal year (FY), with the fiscal year end 2014 and 2015 returns included for comparison:

Report PSPRS PSPRS Russell 3000 Russell 3000
Date Month End Fiscal YTD Month End Fiscal YTD
6/30/2014 0.78% 13.82% 2.51% 25.22%
6/30/2015 -0.73% 4.21% -1.67% 7.29%

7/31/2015 0.13% 0.13% 1.67% 1.67%
8/30/2015 -1.43% -1.31% -6.04% -4.47%
9/30/2015 -1.02% -2.31% -2.91% -7.25%
10/31/2015 1.95% -0.36% 7.33% 0.08%
11/30/2015 0.37% 0.09% 0.55% 0.63%
12/31/2015 -0.95% -0.86% -2.05% -1.43%

There is usually about a two-month lag in PSPRS reporting its investment returns.   PSPRS suffered 23.67% and 35.00% of the Russell 3000's losses in August and September, respectively, and suffered 46.34% of the Russell 3000's loss in December.  With half the fiscal year gone, PSPRS has a little over 60% of the loss of the Russell 3000, which is in the 55-60% range seen in the past two fiscal years, though this is 60% of a loss, rather than gains.

The Russell 3000 lost about 5.5% in January 2016, so it will be interesting to see if these patterns of monthly returns continues.  Based on the year so far, I would expect PSPRS to show a loss of about 1.25% in January 2016, and its fiscal YTD loss to be only about 30% of the Russell 3000.  With three trading day left in the month, February 2016 is down 0.92%, but the markets have been so volatile that 1-2% swings are not unusual.  Regardless, PSPRS will still have a loss at the end of February with only four months left to try and get into the black.

* Returns, gross of fees, are used because PSPRS usually does not report returns, net of fees paid to outside agencies, except on the final report of the fiscal year.  Returns, gross of fees, are used in the table for consistency.  The past two years fees have reduced the final annual reported return by about a half percent.  Returns, net of fees, were 13.28% and 3.68% for fiscal years 2014 and 2015, respectively.

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