CalPERS terminated Credit Suisse Asset Management as manager of a $1.4 billion currency overlay portfolio. CSAM has underperformed a fully hedged benchmark by 1.3 percentage points since the account was created in July 1992, according to a CalPERS staff memo. George Jamgochian, managing director at CSAM, could not be reached for comment by press time. Staff at the $133 billion California Public Employees Retirement System, Sacramento, recommended one-year renewals of contracts with the funds other currency managers, Pareto Partners and State Street Global, which overlay $2.3 billion and $800 million, respectively. Pareto also was removed from CalPERS watchlist.
Also, CalPERS terminated Merrill Lynch Investment Management, which ran a $543 million international bond portfolio. Merrill Lynch had provided 36 basis points in excess returns since the portfolios inception in May 1989. No reason was given for the termination. Also, Baring Asset Management, which runs a $1.1 billion international bond portfolio, was put on watch for personnel reasons. Meanwhile, staff recommended one-year renewals of the contracts of Baring, Julius Baer, Bridgewater Associates, Rogge Global Partners, Wellington Management and Western Asset Management, which collectively manage $5.7 billion in foreign bonds for CalPERS.
Separately, CalPERS staff urged the fund to take the lead in creating an industry standard for reporting private equity returns. A specific proposal is expected to be presented at the investment committees March meeting to strike a balance between fiduciary duty and transparency.