CalPERS plans to consider revising its asset allocation almost two years ahead of schedule because the extreme market turmoil has battered targets, ranges and assumptions, said spokesman Clark McKinley.
The investment committee of the $173.9 billion California Public Employees’ Retirement System, which consists of the entire board, expects to conduct the review in June, although no formal date has been set.
Market and economic “conditions are very different than they were (in December 2007) when they adopted the (current) asset allocation,” Mr. McKinley said. “So they decided to move up the asset allocation review to spring.”
Consultant Wilshire Associates, the Sacramento-based fund’s investment staff and possibly other consultants will be involved, Mr. McKinley said.
The CalPERS board, which typically does an asset allocation review every three years, revised ranges in December because of extreme market volatility, Mr. McKinley said.
Wilshire has asked the staff and investment committee to consider a wide variety of options, Mr. McKinley said. He added that he didn’t know whether a change in the 7.75% investment return assumption would also be up for review.
The fund’s current allocation targets are 56% global equity, 19% global fixed income, 10% private equity, 10% real estate, and 5% inflation-linked assets, consisting of infrastructure, forestland, commodities and inflation-linked bonds. The actual allocation as of Dec. 31 was 40.8.% global equity, 24.3% global fixed income, 13.1% private equity, 11.5% real estate, 8.3% cash and 2% inflation-linked assets.
