On Tuesday, CalPERS released a consultant review of the fund's internal absolute-return strategies program, conducted by Wilshire Associates. The report shows that the ARS program trailed its benchmark in each of the reported periods going back 10 years. The ARS portfolio invests directly in hedge funds, as well as funds of funds. Its aim is to achieve returns equivalent to "one-year Treasury bills +5%, while managing risk and avoiding overpaying for beta." Over the past 10-, five-, three-, and one-year periods, the portfolio has underperformed its benchmark by 340, 660, 260 and 210 basis points, respectively. Wilshire points out, however, that CalPERS outperformed the "external alternative," measured by the HFRI Fund of Funds index, in all periods.