CalPERS staff is mulling ways to refresh its pool of 30 external equity managers responsible for more than $20 billion as it looks to gain exposure to new markets and revamp the poor-performing portfolios.
The $232.1 billion California Public Employees Retirement System, Sacramento, invests $14.3 billion with 18 international managers and $6.4 billion with 12 domestic managers.
Staff will likely issue RFPs for managers running international, emerging markets and possibly domestic equity portfolios, Eric Baggesen, senior investment officer of global equity, said in an interview. He could not provide more details about potential searches.
Staff will evaluate the roles within the portfolio of its existing managers once new managers are added, he said. The entire external program has struggled, Mr. Baggesen said.
The international portfolio was down 5.9% net of fees for the year ended June 30, 42 basis points below its custom benchmark. Annualized returns for the three- and five-year periods were 18.16% and 21.51% net of fees, beating the custom benchmark by 12 basis points in both periods.
The domestic equity portfolio returned -14.54% net of fees for the year, missing its custom benchmark by 151 basis points. Annualized returns net of fees for the three- and five-year periods were 3.97% and 7.94% respectively, underperforming their benchmarks by 76 basis points and 49 basis points, respectively.
The target return for both portfolios is 100 basis points net of fees over their benchmarks over a full market cycle of three to five years.
The two largest international equity managers are Dimensional Fund Advisors, which runs a $1.31 billion emerging markets portfolio, and Baillie Gifford, which runs a $1.05 billion in active international equities.
The largest domestic equity managers are Turner Investment Partners, which runs a $783 million large-cap growth portfolio, and QMA, which runs a $606 million 130/30 portfolio.
The investment committee on Monday renewed the contracts of all external equity managers for one year.
Contact Raquel Pichardo at [email protected]