SACRAMENTO, Calif. — The California Public Employees' Retirement System quietly revamped and diversified its $2.1 billion hedge fund portfolio in the past 18 months.
The result is a 180-degree change from what the portfolio looked like before.
CalPERS' hedge fund investments will also increase significantly in coming years — to potentially as much as $6.5 billion — thanks to a change in investment policy that ups the ranges of three subasset classes to perhaps 5% of the plan's massive global equity portfolio.
CalPERS executives were not forthcoming about the specifics of the hedge fund portfolio reconstruction. But what is clear is that the plan has gone to a more balanced portfolio of direct investments from a heavy focus on domestic long-short equity managers and will increasingly rely on hedge fund-of-funds managers for non-U.S. exposure.
"We have been working very hard, under the radar," to reconstruct CalPERS' hedge fund portfolio, said Christianna Wood, senior investment officer-global equities at the $200.2 billion fund.
Investment staff confirmed that by year's end, the plan will have 22 hedge fund relationships. Brad Pacheco, a CalPERS spokesman, confirmed the following managers when asked by Pensions & Investments: Chatham Asset Management LLC; Wayzata Capital Management Inc.; Black River Asset Management LLC; Canyon Capital Advisors LLC; Partner Fund Management LP; Deephaven Capital Management LLC; and Symphony Asset Management LLC. He declined to identify any of the others, noting that CalPERS only discloses its hedge fund managers once per year, in its annual report.
CalPERS' 2005 annual report, containing data as of June 30, will not be available until the end of January, Mr. Pacheco said.
The report, as of June 30, 2004, listed 13 hedge funds: Symphony's Rhapsody Fund; Andor Technology Fund LP; Atticus Global LP; Brookside Capital Partners Fund LP; Everglades Partners LP; Farallon Capital Offshore Investors Inc.; Lansdowne European Strategic Equity Fund LP; Liberty Square Offshore Partners Ltd.; Pentangle Partners LP; Tosca Fund; Tremblant Partners LP; Welch Entrepreneurial Fun (QP) LP; and Zaxis Institutional Partners LP.