Do note the lack of a 10-year return value in the press release.
From CalPERS:
CalPERS Eliminates Hedge Fund Program in Effort to Reduce Complexity and Costs in Investment Portfolio
Decision not based on performance of program
SACRAMENTO, CA – The California Public Employees’ Retirement System (CalPERS) today announced that it will eliminate its hedge fund program, known internally as the Absolute Return Strategies (ARS) program, as part of an ongoing effort to reduce complexity and costs in its investment program.
The staff recommendation, supported by the Investment Committee, will exit 24 hedge funds and six hedge fund-of-funds valued at approximately $4 billion.The 5-year value catches pretty much the whole recovery in the equity market July 1, 2009-June 30 2014.
“We are always examining the portfolio to ensure that we are efficiently and cost-effectively achieving our risk-adjusted return goals,” said Ted Eliopoulos, CalPERS Interim Chief Investment Officer. “Hedge funds are certainly a viable strategy for some, but at the end of the day, when judged against their complexity, cost, and the lack of ability to scale at CalPERS’ size, the ARS program is no longer warranted.”
Following the 2008 global financial crisis, CalPERS began examining ways to ensure it was less susceptible to future large drawdowns. The System restructured its investment operations, improved its internal oversight and control functions, and refocused some of its investment programs. In February 2014, the CalPERS Board adopted a new asset allocation mix that reduces risk to the portfolio, while still being able to achieve its return goal of 7.5 percent. CalPERS earned 18.4 percent during the 2013-14 Fiscal Year and has averaged a 12.5 percent return for the past five years and an 8.4 percent return for the past 20 years....
The June 30 FY is fortuitous.
The 20 year return number encompasses the downturn but also has the dot.bomb run-up.
The 10-year return number is a bit trickier to handle because, at 7.2%, it is below the 7.5% return assumption the fund's financial soundness requires.
So they omit it.
-Source: CalPERS Facts at a Glance, September 2014, page 5.
And no, the fund did not actually say "Go with God" when they bid the hedgies goodbye.
