The report (on page 16) finds that their private equity performance has under-performed against the current PE policy benchmark over the 1, 3, 5 and 10 year periods. It also finds that their PE performance has under-performed CalPERS' global equity performance in the last 1 year by 4.8%, but out-performed the global equity performance over the last 3, 5, 10 and 20 year periods: 1.5% over 3 years, 3.0% over 5 years; 5.7% over 10 years and 3.0% over 20 years. The report also indicates that CalPERS has also an internal asset liability management assumption that the PE program will perform at 9% per year.
I'm always interested in the performance benchmarks used by private equity investors. As every program is unique, I have found that the benchmarks used are as varied as the programs themselves. If you're an LP investing in private equity, I'd be very interested to know what benchmark(s) you use to evaluate your private equity program's performance - please comment to this post or contact me through the About/Contact page.
Link to the CalPERS' Private Equity Annual Program Review: