When CalPERS talks, people listen.
In 2000, Eric Busay, a portfolio manager at the $204.2 billion California Public Employees' Retirement System, chatted with Arun Muralidhar, a former World Bank official who now is chairman and head of research of MCubed Investment Technologies LLC, Plano, Texas, about how it would be great to have off-the-shelf software to evaluate "what-if" scenarios for managing currency portfolios.
That talk got Mr. Muralidhar busy. On Sept. 1, 2004, his firm rolled out AlphaEngine, web-based software that goes beyond currency management. It can be used for any asset class and for asset allocation. Pension fund clients include Bedrijfstakpensioenfonds Metalektro, the Dutch metalworkers' fund; the Virginia Retirement System; and the San Bernardino (Calif.) County Employees Retirement Association.
Now, CalPERS has licensed the software, which is user-friendly and helps avoid the hassles of writing computer code, said Mr. Busay. He's using it to help develop a new internally managed active currency strategy that he plans to present to the CalPERS board in March.
That strategy, he added, will look at making long-term bets, "somewhere between three and eight years." That's far longer than for the typical currency manager, for which a year is an eternity. "Whether you're the World Bank or CalPERS, you should have a longer view."