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Friday, October 23, 2015

PSPRS investment returns through August 2015

The following table shows PSPRS' investment returns, gross of fees*, versus the Russell 3000 for August 2015, the second 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%

There is usually about a two-month lag in PSPRS reporting its investment returns.  As can be seen, PSPRS outperformed the Russell 3000 in a negative month, suffering less than a quarter of the loss of the Russell 3000.  Out of its ten asset classes, seven had losses and three had monthly gains with real estate being the biggest monthly gainer at 2.91% and non-US equity the biggest loser at -6.39%.  Through October 22, 2015, the Russell 3000 is up 6.56%, with another big gain today (October 23) that will further offset the combined losses of August (-6.04%) and September (-2.91%).  Hopefully PSPRS will do better than it did in July, when it captured only about 8% of the gains of the Russell 3000, if October ends the month with a significant gain.

* 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 one-half of a percent.  Returns net of fees were 13.28% and 3.68% for fiscal years 2014 and 2015, respectively.

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