CalPERS’ staff on June 16 will detail to the system’s investment committee a plan to invest 56% of assets in global equity, 22.5% in global fixed income, 10% in real estate, 9.5% in private equity and 2% in the inflation-linked asset class by year end.
The plan, listed in an implementation plan on the $245.4 billion California Public Employees’ Retirement System’s website, is based on an asset allocation approved by the system board in December; that allocation was 56% global equity, 19% global fixed income, 10% each private equity and real estate, and 5% inflation-linked assets.
As of March 31, the system had 52.6% in global equity, 26.9% global fixed income, 9.6% private equity, 9.1% real estate, 1.4% inflation-linked assets and 0.4% in cash.
The Sacramento-based system’s investment committee will also consider a staff recommendation to double the size of its credit enhancement program to allow up to $10 billion in commitments. Only $2 billion has been committed since the program began in 2005, but the credit crunch has driven demand for borrowers to access debt backed by CalPERS’ strong credit rating.
Separately, CalPERS’ portfolio lost 4.4% in the first quarter, underperforming its custom benchmark by 20 basis points, according to a quarterly report. The system returned 2.7% for the year ended March 31, vs. 3.1% for the benchmark, and an annualized 10.3% for the three years ended March 31, vs. 9.8% for the benchmark, according to the report by general consultant Wilshire Associates. CalPERS’ new $3.4 billion inflation-linked asset class posted the strongest return for the quarter, at 7.0%. The $125.8 billion global equity portfolio had the weakest performance, at -9.7%.
