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Monday, March 23, 2015

PSPRS investment returns through January 2015

The following table shows PSPRS' investment returns, gross of fees*, versus the Russell 3000 for January 2015, the seventh 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%
12/31/2014 -0.18% 0.64% 0.00% 5.25%
1/31/2015 0.01% 0.65% -2.78% 2.32%

There is usually about a two-month lag in PSPRS reporting its investment returns.  Seven months into the fiscal year and PSPRS has essentially broken even.  PSPRS' non-US equity portfolio had better returns than the US equity portfolio in January, but it still stands at -8.67% for the fiscal year to date while US equities still show a positive return of 1.42%.  The Real Assets portfolio remains the only other asset class with a negative return for the fiscal year at -3.00%.

PSPRS' monthly return for February 2015 should be significantly better.  The Russell 3000 shows a huge 5.79% gain for February 2015, which hopefully will help PSPRS make up for a lot of lost ground this fiscal year.  March 2015 has been another volatile month, and as of the last close on March 20, 2015, the Russell 3000 is up 0.69% month-to-date.  It will still be difficult for PSPRS to achieve its expected rate of return of 7.85% by fiscal year end, but I am little more optimistic than I was a month ago.

* 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.  The past two years fees have reduced the final annual reported return by about one-half of a percent.

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