He added: “We bought into the market in the Summer and Fall of 2002 and we held these positions as the market was bottoming.”
Each of the fund’s five asset classes posted positive returns for the one-year period to June 30. CalSTRS’ international equity portfolio performed the best with a 30.68 per cent return. This was attributed mainly to the strength of the UK and Japanese markets and the weakness of the dollar.
Mr Ailman said: “We are bullish on non-US stock and to a slightly lesser degree US stocks.”
CalSTRS aims to have 30 per cent of the US equity portfolio actively managed by external managers. The structure of the active portfolio follows the general percentage breakdown of the Russell 3000 Index between large and small capitalisation and value and growth characteristics.
The target allocation for non-US equity markets is a 50:50 split between active and passive management.
Emerging markets are utilised to enhance return and diversification.
The fund is underweight fixed income over concerns that interest rates will rise eventually.
The fixed income portfolio breakdown is 25.89 per cent corporate bonds, 8.56 per cent high yield bonds, 25.03 per cent governments, mortgage-backed securities (MBS) 36.45 per cent, commercial MBS 2.39 per cent, asset backed securities 1.67 per cent.
With $116.2bn (e90bn) in assets, CalSTRS is the third-largest public pension fund in the US.
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