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Sunday, April 30, 2017

PSPRS investment returns through February 2017

The following table shows PSPRS' investment returns, gross of fees*, versus the Russell 3000 through February 2017, the eighth month of the current fiscal year (FY), with the FY end 2014, 2015, and 2016 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%
6/30/2016 -0.32% 1.06% 0.21% 2.14%





7/31/2016 1.62% 1.62% 3.97% 3.97%
8/30/2016 1.76% 3.40% 0.26% 4.23%
9/30/2016 0.71% 4.14% 0.16% 4.40%
10/31/2016 -0.27% 3.86% -2.16% 2.14%
11/30/2016 1.17% 5.07% 4.48% 6.71%
12/31/2016 1.30% 6.43% 1.95% 8.79%
1/31/2017 1.03% 7.52% 1.88% 10.84%
2/28/2017 1.17% 8.78% 3.72% 14.96%

There is usually about a two-month lag in PSPRS reporting its investment returns.

PSPRS had another 1%+ return for February 2017, and fiscal YTD has earned 8.78%.  However, the Russell 3000 has pulled more than 6% ahead of PSPRS.  For the fiscal YTD, PSPRS is earning 58.68% of the Russell 3000.  This fits the recent performance of PSPRS, which has usually earned 50-60% of the Russell 3000. 

Based on calendar date YTD returns, it looks as if the Russell 3000 had a small gain in March 2017, but it was up another 1.06% percent in April 2016.  Looking at this month's returns, private equity returned only 0.11% and has earned 11.51%, gross of fees, for the fiscal YTD.  This is funny timing, considering how much effort PSPRS just put into explaining how great their private equity returns have been.  One would expect private equity returns to show higher returns in a bull market, and PSPRS uses the Russell 3000 + 100 basis points as its benchmark.  The lag between PSPRS' private equity returns and the Russell 3000 gives us an indication of how unpredictable and risky private equity investments can be.


 * 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% in FY 2014, 3.68% in FY 2015, and 0.63% in FY 2016.

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