“The California Public Employees’ Retirement System (CalPERS) had assets valued at $236 billion at the end of March 2012, including $3.6 billion linked to commodity prices, according to the latest quarterly performance report presented to CalPERS investment committee in May.

The system began investing in commodities in October 2007. CalPERS’ performance matters because it has been one of the highest-profile institutions to allocate significant funds to the asset class, helping make it more acceptable among traditionally conservative pension funds.

A review of the programme by pension consultants Wilshire Associates in May 2011 noted that the leading investment banks dealing with CalPERS, which included JPMorgan, Societe General, Barclays and UBS, “realise the benefit of having a visible plan sponsor like CalPERS being an active proponent of commodity investment.”

But a careful analysis of the programme’s performance suggests it has actually lost money. Between October 2007 and June 2011, the programme had a negative rate of return of 6.9 percent per year. Between July 2011 and April 2012, the fund achieved a positive return of just 0.1 percent, according to performance reports published on CalPERS’ website.”

…

Read John Kemp’s full Reuters’ story here.