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Sunday, July 3, 2016

PSPRS investment returns through April 2016

The following table shows PSPRS' investment returns, gross of fees, versus the Russell 3000 for April 2016, the tenth 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%
9/30/2015 -1.02% -2.31% -2.91% -7.25%
10/31/2015* 1.95% -0.36% 7.33% 0.08%
11/30/2015 0.37% 0.09% 0.55% 0.63%
12/31/2015 -0.95% -0.86% -2.05% -1.43%
1/31/2016 -1.41% -2.26% -5.42% -7.00%
2/29/2016* -0.35% -2.61% -0.52% -7.52%
3/31/2016 3.45% 0.84% 7.04% -0.48%
4/30/2016 0.64% 1.49% 0.62% 0.14%

PSPRS did not provide monthly investment returns for October 2015 or February 2016, and returns for those months are estimates based on the prior and following months' returns. There is usually about a two-month lag in PSPRS reporting its investment returns.

There is nothing new from last month.  PSPRS is still beating the Russell 3000 by about the same percentage it did last month, though the Russell 3000 did finally climb back into the black for the first time since November of last year.  The Russell 3000 returned 1.79% in May 2016 and 0.21% in June 2016; its fiscal year 2016 return was 2.14%.

As for the individual asset classes, we can still see that PSPRS' fiscal YTD returns are mostly driven by private equity and real estate.  Of the ten major categories, five have negative returns for the fiscal YTD.  Private equity has earned 12.89% and real estates has earned 7.95% in the fiscal YTD; the three other positive classes, fixed income, private credit, and real assets, have earned 3.22%, 3.75%, and 0.83%, respectively for the fiscal YTD.  Also, among the ten major asset classes, only three, non-US equity, private equity, and private credit, are surpassing their benchmarks for the fiscal YTD.

It will be interesting to see how the fiscal year ends for PSPRS.  Brexit turned out to be a non-event as to its effect on the Russell 3000.  We will have to wait until August to see if it had any effect on PSPRS' investments.  PSPRS' next Board of Trustees meeting is scheduled for July 20, 2016.

 * 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% and 3.68% for fiscal years 2014 and 2015, respectively.

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