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Thursday, October 16, 2014

PSPRS investment returns through July 2014

The following table shows PSPRS' investment returns, gross of fees*, versus the Russell 3000 for July 2014, the first month of the current fiscal year, with the June 2014 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%

7/31/2014 -0.67% -0.67% -1.97% -1.97%

This fiscal year I have begun using the Russell 3000 instead of the S&P 500 because it is the benchmark that PSPRS uses for its domestic equity portfolio.  The Russell 3000 is a much broader index and, as the name implies, tracks 3,000 stocks.  This compares to the S&P 500 and The Dow Jones Industrial Average, which tracks only 30 stocks.  There is usually about a two-month lag in PSPRS reporting its investment returns.  This is usually not a problem, but with such volatile markets, it would be nice to see a shorter reporting time.

As can be seen, the current fiscal started off badly, but it only represents the first month of the year.  I believe that August was a positive month and September was a negative month.  October has so far been horrible for equities (-5.36% month-to-date), so who knows what the final monthly return will be.  PSPRS' investment staff looks like they are getting a good opportunity to test the effectiveness of their risk/return-balanced strategy.  It should be an interesting year.

* Returns, gross of fees, are used because PSPRS usually does not report returns, net of fee, except on the last report of the fiscal year.  The past two years fees have reduced the final annual reported return by about one-half of a percent.

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