James Sterling Gunn will join CalPERS on Oct. 12 as its new managing investment director of the trust level portfolio management program, replacing Eric Baggesen who is retiring after 16 years at the $410 billion pension fund, spokeswoman Megan White said in an email.
Mr. Gunn had been working at his own firm, JSG Advisory. Before forming his own firm, he was co-head of total portfolio strategy at Singapore’s $400 billion sovereign wealth fund GIC and vice president and head of quantitative research at Canada Pension Plan Investment Board, Toronto, the C$434.4 billion ($326.3 billion).
“Sterling has played a key role developing and applying total portfolio methods for large, multiasset portfolios,” said Dan Bienvenue, interim chief investment officer at California Public Employees’ Retirement System, Sacramento, in a news release.
CalPERS’ trust level portfolio management portfolio includes a multiasset class, completion overlay and direct absolute-return strategies that had a total of $914 million in assets as of June 30. In fiscal year 2020, CalPERS defunded a $175 million (as of June 30, 2019) risk-mitigation program, which included a left tail risk mitigation portfolio. CalPERS also temporarily defunded its $260 million completion overlay portfolio from October 2019 through May 2020, according to a September report to the investment committee.
Mr. Baggesen is expected to retire toward the end of December.