CalPERS dumping hedge funds

California Public Employees' Retirement System, Sacramento, will completely close its $4 billion hedge fund portfolio, said Joe DeAnda, a CalPERS spokesman, in an e-mail sent during the board's investment committee meeting Monday.

The investment committee supported a staff recommendation to exit from 24 hedge funds and six hedge funds of funds, a news release from the $298 billion pension fund stated. Complete divestment will take about a year. Existing staff on CalPERS' internal hedge fund team will be reassigned once all hedge fund and hedge fund-of-funds investments have been redeemed, Mr. DeAnda said in his e-mail.

The departure from hedge funds is part of an effort by the internal investment staff to reduce the complexity and costs of its portfolio, the release said.

“We are always examining the portfolio to ensure that we are efficiently and cost-effectively achieving our risk-adjusted return goals,” said Theodore Eliopoulos, interim chief investment officer, in the release.

“Hedge funds are certainly a viable strategy for some, but at the end of the day, when judged against their complexity, cost and the lack of ability to scale at CalPERS' size, the ARS program doesn't merit a continued role,” Mr. Eliopoulos added.

Exactly where the hedge fund assets will be deployed has not been decided, Mr. Eliopoulos told Bloomberg on Monday.

Bloomberg contributed to this story.