CalSTRS will look at creating internally managed portfolios for both domestic enhanced stock and international passive assets, while adding a series of externally managed strategies that take on active risk, according to the fund's proposed business plan the fiscal year that began July 1. Currently, external managers handle $3.4 billion in enhanced index domestic equities and $12.5 billion in international passive stock for the $114 billion California State Teachers' Retirement System, Sacramento.
Higher active risk strategies to be considered will include derivative-based strategies, concentrated portfolios, market neutral, microcap, rotational and active tilt. Staff expects to issue an RFP for emerging markets managers and might consider enhanced international index strategies and international corporate governance strategies.
In fixed income, staff will study alternative products such as bank loans, convertible bonds and structured credit products. It will also explore new asset classes such as non-dollar bonds, emerging market bonds and fixed-income hedge funds, as well as derivative-based strategies such as asset swaps and credit derivatives. Staff will also consider expanding the fund's currency hedging program and other currency-related opportunities.
The CalSTRS investment committee will review the proposed business plan on July 7.