"CalPERS is looking for a strong investor with broad experience that includes private market experience," he said.
CalPERS worked with executive search firm Dore Partnership, which was selected by the staff from a pool of executive search firm applicants created in a prior bid process for firms to be potentially hired on a project by project basis, when Musicco was hired. At CalPERS, the hiring of a new CIO is the shared responsibility of the CEO and board.
CalPERS officials do not expect to have a new CIO in place until the first of the year at the earliest. In the meantime, at the board's next meeting in November, it is expected to review changes to its asset allocation, including the possible elimination of its $55.4 billion factor-weighted equity investment strategy.
CEO Marcie Frost also told Bloomberg that CalPERS plans an aggressive expansion into private credit, and in coming months, CalPERS will consider increasing its private debt allocation to 9% from 5%.
The investment team will make a preliminary recommendation on an increase in private credit allocation to the board in November, with a formal recommendation made at the March 2024 investment committee meeting, Scullary said.
As of June 30, CalPERS had not yet hit its 5% target allocation to private credit with the asset class representing 2.2% of CalPERS' total portfolio, a staff report to the committee shows.
At the investment committee's last meeting on Sept. 18, Musicco said that CalPERS' staff had been "very pleased with and have been very opportunistic to be leaning in as best we can into the private debt market."
And while there are multiple investment opportunities in private debt, the fund wants to be cautious and "very selective" about which manager it works with so that it has a better credit selection, said Jean Hsu, CalPERS' managing investment director in charge of private debt, at the same meeting.
CalPERS adopted its current asset allocation in November 2021, four months before Musicco joined CalPERS as CIO on March 28, 2022. That asset allocation added the private credit allocation as well as a 5% total fund leverage and a 5% opportunistic allocation while boosting private equity, fixed income and real assets at the expense of stocks and liquidity.