CalPERS $8 billion multiasset strategic partnership gets go-ahead

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CalPERS' investment committee on Monday adopted a formal investment policy for a new multiclass strategic partnership program that will invest up to a total of $8 billion with four investment managers.

Officials at the $245.3 billion California Public Employees' Retirement System, Sacramento, said they hope to get the program under way in several months pending successful negotiations with the four managers for the program: AlphaSimplex Group, AQR Capital Management, Pacific Investment Management Co. and Standard Life Investments (USA).

Investment staff members expect the managers' combined annualized return target to be at least 7.5%, the same as CalPERS' overall expected rate of return, with annualized volatility limits of about 12 percentage points.

The program will be funded from all asset classes on a pro-rata basis, and the partners in the program will implement absolute-return rather than relative-return-oriented mandates.

Negotiations with the four managers began in July.

The planned program has not been without controversy. CalPERS investment staff had previously said the exchange of investment information from the money managers to CalPERS investment personnel will help the pension fund improve its internal asset allocation procedures and meet its investment goals, but Wilshire Associates, CalPERS general consultant, said last week in a memo that it “remains doubtful” about the potential of “meaningful information transfer” from money managers back to staff for use in the internal allocation procedure.