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Hedge Funds

Skewed risk for CalPERS’ absolute return portfolio

The underperformance of the CalPERS’ risk-managed absolute return strategy indicates the portfolio may be too heavily weighted towards macro, currency, commodity or directional risk than the investment committee originally set out to achieve, according to a review by Wilshire.
Amanda WhiteNovember 3, 2010
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CalPERS considers new asset class classification

CalPERS is considering doing away with traditional asset class classifications in favour of classifying assets according to fundamental characteristics in a bid to provide a better understanding of portfolio risks and performance drivers and so move to a more effective portfolio construction and risk management framework. Amanda White reports.
Amanda WhiteMarch 14, 2010
Uncategorised posts

CalPERS’ new sec lending risk controls

CalPERS has made some significant changes to its securities lending policy document in order to reduce risk and improve counterparty diversification in the portfolio, including a reduction in the maximum exposure to any counterparty, from 30 to 25 per cent of the total program.
Amanda WhiteJanuary 6, 2010
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