CalPERS hired Rosenberg Equities, the quantitative arm of AXA Investment Managers, for a $1 billion global equity ESG model implementation portfolio, said Dan Bienvenue, the pension fund's managing investment director, global equity.
Mr. Bienvenue made the investment in May under his discretionary investment authority.
This portfolio will be implemented similarly to another $1 billion global equity ESG model implementation portfolio, for which the $354.7 billion California Public Employees' Retirement System hired QSI in February, he said.
"We've been moving in that direction," he said, of model implementation portfolios.
Rosenberg Equities, a quantitative investor that uses proprietary data and machine-learning technology to build advanced factors, is creating a model that applies ESG metrics to the portfolio.
QSI also uses a broad list of 200 to 400 stocks and applies ESG metrics to the model construction process. QSI comes up with proprietary ESG scores and direction of the scores, using the firm's quant factors process to combine them around portfolio construction optimization to come up with its proprietary model.
Currently, CalPERS' entire $22 billion alternative beta portfolio is invested through the model implementation strategy. Under the approach, managers are hired not to invest the assets, but to build a model that fits the Sacramento-based pension fund's specifications. CalPERS then manages the assets internally.
The model implementation approach gives CalPERS better control over its assets and generally lower fees, Mr. Bienvenue said.
