CalPERS investment policy subcommittee on Monday will vote on policy changes required to implement the $197.6 billion systems new derivatives-based internal enhanced equity portfolio, according to the meetings agenda.
If approved by the subcommittee, the investment committee of the Sacramento-based California Public Employees Retirement System could approve the program at its Nov. 17 meeting.
The internally managed program, which could total $2 billion, will use short-term, high-quality asset-backed securities as the alpha engine and a futures overlay designed to replicate the Wilshire 2500 as the beta driver. The fixed-income portion would be very similar to an internal high-quality LIBOR portfolio run by CalPERS global fixed-income staff.
The new portfolio will exploit current dislocations in the fixed-income markets. Funding will come from reducing an internal domestic equity index fund that totaled $44.7 billion as of March 30, Eric Baggesen, senior investment officer, said in August when the program was originally discussed.