CalPERS CIO Russell Read wants to create overlay accounts to make tactical shifts and to avoid unintended bets stemming from market changes and cash flow, according to Mr. Read's strategic plan for the next 18 months. Staff would use futures, forwards, swaps and certain cash instruments to allocate assets for the overlays, according to slides Mr. Read will present to the investment committee of the $221.3 billion California Public Employees' Retirement System, Sacramento, at its Nov. 13 meeting.
As previously reported, Mr. Read's strategic plan also hopes to create an inflation-linked asset class, comprising commodities, infrastructure, inflation-linked bonds and timberland. The size of the allocation would be set at CalPERS' asset allocation workshop, slated for November 2007.
He also wants to enhance CalPERS' investment technology, both systemwide and on specific asset classes; develop a new investment officer training program to better attract and retain staff; use CalPERS-branded investment options in the system's supplemental savings program; and review benchmarks for all asset classes.
Mr. Read wants to develop both active and passive internal management capabilities in commodities trading. He also wants to build an internally managed active currency strategy, run cash management from the securities lending program, create a global inflation-linked bonds portfolio and establish an intermediate bond portfolio to run CalPERS health-care assets.
CalPERS staff estimates that the changes will require the addition of 26 new staffers, more consultant resources and investment systems.
