Updated with correction.
CalPERS will issue an RFP for a managed account investment platform provider as part of the 2013 – 2014 fiscal year strategic plan for its $5.2 billion hedge fund portfolio, confirmed Joseph DeAnda, a spokesman for the $269.1 billion pension fund.
The pension fund also made several significant changes to its strategy allocation within the hedge fund portfolio. Changes include the elimination of a 31% allocation to hedge funds of funds, and investing that $1.6 billion directly into hedge funds, said Egidio H. “Ed” Robertiello, senior portfolio manager, in an annual review of the absolute-return strategies portfolio that will be presented to the board of the California Public Employees' Retirement System, Sacramento, at an Oct. 14 investment committee meeting.
The new hedge fund portfolio allocation adds two new strategy categories — quantitative equity market-neutral strategies and event-driven. A 6% allocation to discretionary global macro also was added, bringing the total invested in global macro approaches to 10% of hedge fund assets, Mr. Robertiello said in his report.
The pension fund's fiscal 2014 hedge fund portfolio weightings are 15% each to credit long/short, equity hedged and multistrategy managers; 10% each to event-driven, fixed-income arbitrage, global macro and managed futures; and 5% each to commodities, convertible arbitrage and equity market neutral.
The 2013 hedge fund strategy weightings were multistrategy, 13%; equity hedged and emerging hedge funds of funds, 12% each; credit long/short, 11%; managed futures and Asian hedge funds of funds, 10% each; European hedge funds of funds, 9%; fixed-income arbitrage, 8%; convertible arbitrage, 6%; commodities and global macro, 4% each; and equity market neutral, 1%.
During the 2014 fiscal year, the ARS team will target new hedge fund investment opportunities in European credit, global macro, non-performing U.S. loans and mortgage-servicing rights, Mr. Robertiello noted in his review.
Returns of CalPERS' hedge fund portfolio for periods ended June 30 were one year, 7.5% (internal benchmark, 5.3%); three years, 4.1% (benchmark, 5.4%); five years, 1.6% (benchmark, 6.1%); and since inception in April 2002, 5.6% (benchmark, 7.3%). Multiyear returns are annualized.
Also, by the end of the current fiscal year — June 30, 2014 — CalPERS intends to add nine new investment staffers to the existing five-member hedge fund team.
