CalPERS' investment policy subcommittee will consider adding an internally managed fundamental index fund, according to Clark McKinley, spokesman for the $206.1 billion California Public Employees' Retirement System, Sacramento. The fund would be based on the work of Robert D. Arnott, chairman of Research Affiliates, who created the index. The subcommittee meets Feb. 10 and the investment committee meets on Feb. 14, although "it's not to say they will complete the work on it then," Mr. McKinleysaid. "The timeline on it is open-ended."
Details on how much would be invested and the source of funding aren't yet available. "We also don't want to influence the market," Mr. McKinley said.
The Research Affiliates Fundamental index weights equities using fundamental measures of company size, including book equity value, sales and cash flow, outperforming conventional indexes, which weight components by market capitalization, according to a company statement. The fundamental index has attributes similar to traditional indexing, including low turnover costs and broad diversification.