CalPERS' investment cost, excluding private asset performance fees and transaction costs, was 20.2 basis points, 14.3 basis points below its peer group's as of Dec. 31, 2020, Tom Scheibelhut, head of product innovation at CEM Benchmarking, told a CalPERS committee Tuesday.
The reason CEM determined that the $439.8 billion California Public Employees' Retirement System, Sacramento, has a relatively low-cost investment program is that 57% of its portfolio was indexed, compared with 33% for a peer group of 15 of the largest global asset owners, and CalPERS paid 7.6 basis points less than its peers for similar implementation styles and services, Mr. Scheibelhut said.
One lower cost investment type that CalPERS said is a "strategic priority" are private equity co-investments, which Mr. Scheibelhut said generally outperform other investment styles, including commingled funds and funds of funds, but not by a "statistically significant" amount yet.
Co-investments represent 6.8% of CalPERS' limited partnerships, compared with an average of 22.3% for its largest global peers, he said. But he warned the global leader peer percentage is likely to drop due to the current popularity of co-investments as a less costly way of investing in private equity, Mr. Scheibelhut said.
"Suddenly everyone wants to be in co-investments," and so, there are now a number of co-investment vehicles in the market, many of which have a higher cost than a typical direct co-investment, he said.
