CalPERS’ global equity program assets stood at $162 billion as of June 30, representing about 54% of the overall portfolio.
Eighty-four percent of the portfolio was managed internally -- 65% in index-oriented strategies and 19% actively managed in-house.
According to its annual program review published Wednesday, the mandate for the program is to “deliver the global equity market beta plus a targeted excess return of approximately 15 basis points with a risk budget of 0 to 50 bps of tracking error annually.”
The program had a one-year net return of 1% through June 30 and trailed its benchmark. The fund’s consultant, Wilshire Associates, noted that “last year’s underperformance of 0.31% is largely attributable to external activist managers.”
Activists made up 2% of the global equity portfolio.
Over the three- and five-year periods, however, the global equity program outperformed its benchmark by 30 and 40 basis points, respectively; but trailed over the 10-year time frame (by 30 basis points).
The $174 million paid in fees during its 2015 fiscal year represented 11 basis points of total assets in the global equity portfolio.