Analysis of CalPERS’ total portfolio, where equity risk accounts for nearly 90 per cent of the risk allocation and yet the asset allocation to global equities and alternative investments is about 67 per cent, corroborates the trend towards allocating assets according to risk, not asset buckets.
The $105 billion Teacher Retirement System of Texas has debated, and rejected, the idea of appointing an independent chief risk officer outside of the investment management division, with the board deciding oversight of risk is sufficient within its current practices.
The equity allocation of Norway’s Government Pension Fund Global, which amounts to shares in 8,496 companies, was largely responsible for its outperformance in 2010, with the basic materials sector being the best performer for the fund.
CalPERS will set an external fee reduction target for the financial year, in light of the fact it spent more than $1 billion on external asset management fees in 2009-2010 and only a relatively modest $29.5 million on investment office personnel services including salaries.
The average corporate defined-benefit plan in the US has outperformed the Callan DC index by 1.61 per cent since 2006, although this is partly due to a difference in fee reporting.
Executive vice-president and head of client analytics at PIMCO, Sebastien Page, who is tasked with bringing the intellectual and analytical capital of the manager to clients in a new consultant-type role, says tail-risk hedging is an effective way to reduce volatility and enhance returns.
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