CalPERS will invest $1 billion in an internally managed equity portfolio tracking Research Affiliates' fundamental index, said George Diehr, vice chairman of the investment committee of the $206.1 billion California Public Employees' Retirement System, Sacramento.
The investment doubles the amount of assets now managed against the index, which rejects traditional market-capitalization weighting in favor of measures based on factors such as company size, book value, sales and cash flow. Rob Arnott, chairman of Research Affiliates, declined to comment.
An investment guideline approved by CalPERS' investment policy subcommittee Feb. 10 gives staff authority to invest in both domestic and international equity versions of the index. Brad Pacheco, a CalPERS spokesman, declined to say whether the new portfolio will track one of both of the fundamental indexes or how the portfolio will be funded.