CalPERS staff plans to present an interim asset allocation to the investment committee by year end as it continues to implement changes approved in December, Farouki Majeed, senior investment office of asset allocation, said in an interview.
Staff will work out a quarter-by-quarter implementation process for 2009 with Wilshire Associates, general consultant for the $232.1 billion California Public Employees Retirement System, Sacramento.
In December, the investment committee decreased the allocation to global equity to 56% from 60%; fixed income to 19% from 26%; increased real estate to 10% from 8%; and increased private equity to 10% from 6%.
As of June 30, CalPERS had a 56% target allocation to global equity, which was underweighted by 4.2 percentage points. In the past three months, staff has funneled $5 billion to equities. As of today, the portfolio is 3.8 percentage points underweight. Mr. Majeed told the investment committee staff will refrain from pouring more assets into equities until there is a sign the markets are starting to bottom out.
(We are) somewhat reluctant to make a large rebalancing move as of yet, he told the investment committee. As of June 30, the global fixed-income portfolio totaled 24.7%, well over the 19% target. CalPERS has drawn down $9.5 billion from fixed income in the past year to fund asset allocation changes. Mr. Majeed could not say which managers were affected.
It will take another two years to hit the global fixed income target and the 5% target to inflation-linked asset class. As of June 30, the inflation-linked asset class totaled 2% of the total asset portfolio.