Today's action increases the pension fund's investments in hedge funds to $2 billion. In 2000, CalPERS established a $1 billion program that made only direct investments in hedge funds.
The action also continues a push by the pension fund to move more of its assets to non-traditional investment strategies that generate greater risk-adjusted returns.
The additional capital in hedge fund-of-funds is expected to help CalPERS increase investment opportunities, maximize efficiency of the program and deploy capital more rapidly.
"This expansion will provide greater diversity for our global equity portfolio and help us deliver long-term returns," said Sean Harrigan, President of the CalPERS Board of Administration.
CalPERS has currently invested approximately $925 million in 15 hedge funds and is expected to spend the remainder of its original $1 billion allocation by the end of the year. Its hedge fund investments have returned 5.6 percent since 2000, exceeding the 1.6 percent annual gain of the Wilshire 2500 public stock Index during the same period. Volatility in CalPERS hedge fund portfolio has had one fourth the volatility that exists in the System's U.S. stock portfolio.
"Hedge funds help us accelerate our returns during difficult economic times," said Rob Feckner, Chair of CalPERS Investment Committee. "Adding hedge fund-of-funds to our portfolio will increase our bench strength and help us access more investment opportunities efficiently."
In other actions, CalPERS renewed the contracts of its international fixed income managers for a period of one year. They include: Baring Asset Management; Julius Baer; Bridgewater Associates; Rogge Global Partners; Wellington Asset Management. The firms manage approximately $5.7 billion for the pension fund.
CalPERS is the nation's largest public pension fund with assets totaling $168 billion. The System provides retirement and health benefits to more than 1.4 million State and local public employees and their families. For more on CalPERS, visit www.calpers.ca.gov.
