SDCERS' Final Investment Return for FY 2022

Date: Sep 22, 2022


At its September Board meeting, SDCERS reported a net return of -1.7% for Fiscal Year 2022. As of June 30, 2022, the trust fund’s assets totaled just over $10.0 billion – a net year over year decrease of approximately $328 million. SDCERS’ annualized rate of return over the past 10 years is 8.5%, and its return since inception is 8.8%.
Although SDCERS’ net return for Fiscal Year 2022 was negative, it significantly outperformed its benchmark, which posted a -5.7% return for the year. The benchmark is a measure of how the total fund would have performed if it had been completely invested in index funds. SDCERS surpassed its benchmark due to the performance of its active managers. In particular, SDCERS’ managed futures allocation had a strong performance over the past year. The managed futures allocation, which seeks to benefit from either upwards or downwards trends in stocks, bonds, commodities, and currencies, was added to the fund in 2019 to add diversification to the plan and act as a buffer in periods of market stress.
Performance can also be measured in comparison to other public pension plans, although it is important to remember that different plans have a variety of sizes, circumstances, and funding statuses, all of which impact their asset allocations and, in turn, their return targets. This past fiscal year, SDCERS’ total fund net return was in the top 4% compared to other similarly-sized plans. Over longer time periods, SDCERS stacks up very well against its peers – posting top quartile returns over rolling 3-, 5-, 10- and 20-year periods ending June 30, 2022.

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