The three largest U.S. public pension funds all reported weaker than expected net annual returns this month laying the blame on volatility in the public equity markets, particularly foreign investments hammered by the potential impact from Britain’s exit from the European Union (Brexit).

Meanwhile, in an interesting twist, the Canada Pension Plan (CPP) was able to post returns that beat its U.S. counterparts thanks in part to CPP’s investments in the U.S.

The big kahuna of pension funds, the California Public Employees’ Retirement System (CalPERS), yesterday reported a meager 0.61% net return on investments for the 12-month period ended June 30, 2016.

Its fellow plan, the California State Teachers’ Retirement System (CalSTRS), ended its 2015-2016 fiscal year with a 1.4% net return, while the New York State Common Retirement Fund earned a 0.19% return on investments in the state fiscal year that ended on March 31, 2016.

The CPP Fund delivered a gross investment return of 3.7% for fiscal year ended March 31.

Of the four funds, CalPERS is the largest with $302 billion in assets; CPP has $278.9 billion; CalSTRS’ $188.7 billion; and New York, $178.1 billion.

Real Estate a Silver Lining

Real estate returns bolstered the overall weak returns for the investment funuds, but even those returns could have been better, a couple of funds reported.

CalPERS’ real estate program generated a 7.06% return. While not bad as far as returns go, the results underperformed CalPERS benchmark measure by 557 basis points. CalPERS attributed the relative underperformance to its non-core real estate programs, including realized losses on the sale if legacy assets in its opportunistic program, state officials said.

Real estate was CPP’s best-performing asset class, posting a highly respectable 12.3% return, down just slightly from the previous year’s return of 14.1%. CPP holds $36.7 billion in real estate assets, which accounts for 13% of its portfolio.

CalSTRS’ real estate investments posted an 11.1% return, which was still 1.5% lower than CalSTRS’ custom real estate benchmark return of 12.6%.

The New York state fund boasted the best annual real estate returns at 13.14%, however its opportunistic alternatives were a bit of drag posting negative returns of 4%.

“Over half of our portfolio is in equities, so returns are largely driven by stock markets,” said Ted Eliopoulos, CalPERS chief investment officer. “But more than anything, the returns show the value of diversification and the importance of sticking to your long-term investment plan, despite outside circumstances.”

CalSTRS also underscored and emphasized the long-term nature of its investments and the need to look beyond the performance of any single year’s return. Nevertheless, Henry Jones, chairman of CalPERS Investment Committee, conceded that some changes to its investment plan may be in order.

“We will continue to examine the portfolio and our asset allocation, and will use the next asset liability management process, starting in early 2017, to ensure that we are best positioned for the future market climate,” Jones noted.

Smaller pension funds across the U.S. have also been posting weak overall results and mixed real estate results.

The Pennsylvania State Employees’ Retirement System posted an overall 0.7% in the first quarter of this year, with real estate returns also coming in at 0.7%.

The $20 billion San Francisco City and County Employees’ Retirement System gained 1.36% in FY 2015-2016. Real assets, which includes real estate, posted a 3.69% return.

The $12.2 billion Maine Public Employees Retirement System posted a 0.1% return fiscal year to date. Andrew Sawyer, CIO for the fund said it may be time to begin reviewing the life stages of investments and to review the existing custodian and possibly look at others in the near future.