Investment Update

Investment Update – 4th Quarter 2011

For the fourth Quarter, US Stocks performed better than their international and emerging markets counterparts. The DJIA outperformed the S&P 500 and NASDAQ, posting returns for the quarter of 12.8%, 11.8% and 7.9% respectively. The MSCI EAFE was up 3.4 % and MSCI Emerging Markets was up 4.5%. Amid market uncertainty, bond markets remained in favor, with the Barclays Capital Aggregate gaining another 1.1% in the fourth quarter, closing the year with a gain of 7.8%.

ACERA is a long-term investor with a well-diversified and conservative portfolio. For the quarter ending December 31. 2011, ACERA’s Total Fund returned 6.3%, ranking in the 21st percentile among public funds greater than $100 million, and finished the fourth quarter at a market value of $5,062,576,166. Domestic Equities returned 12.4%, International Equities returned 4.1%, and Fixed Income returned 1.6%. ACERA’s Real Estate managers (composite) returned 4.0%*, Private Equity and Alternatives Return Leading Strategies (PEARLS) composite returned -3.0% and the Real Return Pool Composite returned 2.5%.

During the fourth quarter of 2011, the Retirement Board approved one Private Equity investment (Debt-Related Fund); one Alternatives investment (hedge fund of funds); and one Real Return Pool investment (inflation protection strategy). As part of its review process. the Investment Committee reviewed ACERA’s real estate consultant, the Townsend Group, and three of ACERA’s Domestic Equity managers.
*Real Estate and PEARLS composite returns are subject to a quarter lag in reporting valuations and performances.

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