CalPERS committee rethinking active management
Published: March 18, 2013 - Pensions & Investments
California Public Employees' Retirement System's investment committee is
considering whether active managers, once fees are taken into consideration,
achieve better returns than the fund's passive index strategies.
The evaluation is part of a review CalPERS began Monday of its investment
beliefs, a five-month process that could eventually determine the fate of some
of the fund's outside investment managers.
More than half of CalPERS' $254.9 billion assets are in passive strategies.
CalPERS investment consultant Allan Emkin from Pension Consulting Alliance told
the investment committee that at any given time, around a quarter of external
managers will be outperforming their benchmarks, but he said the question is
whether those managers that are doing well are canceled out by other managers
that are underperforming. Complicating the matter, he said, is that the
outperforming managers change over time.
Janine Guillot, chief operating investment officer, said that the investment
committee is expected to approve specific investment beliefs at the Aug. 19-21
CalPERS meeting. She said 27 preliminary interviews of 12 CalPERS board members,
10 staff members, three money management executives and two external consultants
showed a wide disparity of views as to whether active management is working for
CalPERS. The interviews were done as a prelude to today's investment beliefs
discussion.
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