CalPERS officials directed Wilshire Associates to do an asset allocation study that will incorporate inflation-linked assets for the first time, CIO Russell Read told the board Monday. The goal is to convert pilot commodities and infrastructure programs into permanent programs when the board holds its asset-liability management workshop in November.
Officials at the $228.7 billion California Public Employees' Retirement System, Sacramento, are launching a $500 million pilot commodities program in the first quarter and plan to design a pilot infrastructure program during the second quarter. Mr. Read did not indicate how big those programs might be if made permanent.
In addition, Mr. Read said he wants internal staff to make tactical bets in the giant fund's asset mix. To do that, he proposed adding a macro rebalancing account to correct for unintended portfolio drift exceeding two percentage points of strategic targets, and a macro repositioning account that would be used to add value by making tactical shifts. Mr. Read would like these tools in place by July 1.
Mr. Read said CalPERS is seeking a new senior investment officer to replace Pat Pinkos, who oversaw risk management. Ms. Pinkos retired. A new four-person risk management team would oversee the rebalancing effort, while a separate risk strategies team would make tactical bets.