CalPERS is happy with its consultants, except for their performance in recommending ways to control fees and costs and their presentation of new investment ideas, a board rating reveals.
The board of the United States’ largest pension fund calls in the experts as it considers applying leverage in its portfolio, part of efforts to improve a 68 per cent liability-funding ratio.
It is called the “CalPERS’ Effect” but it could easily be called the asset owner effect, or the institutional investor effect, or the power of engagement effect. Wilshire, which is a consultant to the $300 billion Californian fund CalPERS, has provided an update on its study measuring the effect of engagement on a targeted list... Read more »
The recent sharp growth in US corporate defined-benefit-plan liabilities, coupled with concerns that interest rates will start to rise from current historical lows, is slowing the push to de-risk plans, Wilshire Consulting’s head of investment research, Steven Foresti says. The latest Wilshire Consulting research into defined-benefit (DB) plans at S&P 500 companies reveals that aggregate... Read more »
CalPERS’ absolute return strategies program is over-reliant on quantitative tools, inadequately staffed and may be overweight in certain strategies and risks, according to Wilshire’s annual review of the portfolio.
There is no connection between asset allocation and the funding level of US state retirement systems, according to Wilshire’s 16th annual survey of the funds, which reported a dire funding situation for 99 per cent of plans.
CalPERS will separate its real estate assets into legacy and new portfolios, as part of a new strategic plan for the asset class that more accurately reflects its evolved role as a result of the fund’s recent asset liability study.
CalPERS’ outperforming internal corporate governance investments program will be challenged by the fund’s new capital allocation model, according to a review of the program by consultant Wilshire.
CalPERS’ investment staff, and its consultant Wilshire, are recommending the board re-hire the fund’s external fixed-income managers which represent 9 per cent of the $50 billion fixed-income portfolio, despite the long-term strategy of a preference for insourcing.
The underperformance of the CalPERS’ risk-managed absolute return strategy indicates the portfolio may be too heavily weighted towards macro, currency, commodity or directional risk than the investment committee originally set out to achieve, according to a review by Wilshire.
CalPERS is considering doing away with traditional asset class classifications in favour of classifying assets according to fundamental characteristics in a bid to provide a better understanding of portfolio risks and performance drivers and so move to a more effective portfolio construction and risk management framework. Amanda White reports.
CalPERS has made some significant changes to its securities lending policy document in order to reduce risk and improve counterparty diversification in the portfolio, including a reduction in the maximum exposure to any counterparty, from 30 to 25 per cent of the total program.