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Tuesday, January 20, 2015

PSPRS investment returns through November 2014

The following table shows PSPRS' investment returns, gross of fees*, versus the Russell 3000 for November 2014, the fifth 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%
8/31/2014 1.73% 1.05% 4.20% 2.14%
9/30/2014 -1.53% -0.49% -2.08% 0.01%
10/31/2014 0.40% -0.09% 2.75% 2.76%
11/30/2014 0.92% 0.82% 2.42% 5.25%

There is usually about a two-month lag in PSPRS reporting its investment returns.  I try to post the PSPRS returns each month, but there is a one-month delay because the PSPRS Board of Trustees did not have a monthly meeting in December 2014.  This table includes the returns for October and November 2014.

As of the end of November 2014, PSPRS' non-US equity portfolio, which makes up 14.23% of PSPRS' total portfolio, has returned -5.49%.  PSPRS' real assets portfolio, which makes up 7.33% of PSPRS' total portfolio, has returned -2.61%.  Every other asset class, including real estate, has shown a positive return through November 2014. 

The Russell 3000 is made up of the 3,000 largest US companies.  The US market has recently done much better than the rest of the world, and PSPRS' negative return on its non-US equity portfolio is in line with the non-US equity benchmark of -5.53%.  PSPRS' real assets portfolio is lagging its benchmark by 3.18%.  It should be pointed out that other assets classes have negative benchmarks but positive returns for PSPRS, so there is some tradeoff between asset classes.

The up-and-down fiscal year continues.  The Russell 3000 website shows a 0.0% return for the month of December 2014, so it is anybody's guess what PSPRS will earn for December.  Those next returns will mark the halfway point of the fiscal year.  By the end of 2013, PSPRS's fiscal year-to-date return had nearly reached its expected rate of return.  PSPRS will not be in the same enviable position at the end of 2014.

* Returns, gross of fees, are used because PSPRS usually does not report returns, net of fees, except on the final 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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