Virginia Retirement System, Richmond, hired RiskMetrics to provide aggregated risk reporting across all asset classes used by the $39 billion system, said Nancy C. Everett, CIO. She said the goal is to review the entire plan on a single risk platform to refine risk budgeting. VRS staff hope to be able to convince all of the system's hedge fund, real estate and private equity managers, as well as managers of traditional strategies, to report portfolio holdings to RiskMetrics to facilitate risk reporting. If alternatives managers are reluctant to provide complete transparency, representative portfolios might have to be constructed that would reflect the risk within each manager's portfolio.
"This is a work in progress," Ms. Everett said, noting that VRS and RiskMetrics staff will work closely to make sure the new risk reporting process is "reasonable" and representative. Sample reporting using Sept. 30 data will be prepared before the end of the year for review by staff and trustees. Eventually, RiskMetrics will provide VRS with quarterly risk reporting.