CalPERS terminated Goldman Sachs Asset Management as manager of a $663 million structured domestic large-cap growth equity portfolio. The quantitative strategy "did not show the ability to outperform the benchmark in any market environment," according to a staff memo to the board. Since the portfolio's May 31, 1998, inception, it returned a cumulative -27.3% net of fees, compared with 24.3% for its customized benchmark. However, the $136 billion California Public Employees' Retirement System, Sacramento, in May hired Goldman Sachs to run a separate active domestic concentrated growth stock portfolio.
Andrea Raphael, GSAM spokeswoman, declined to comment.