The $146 billion California State Teachers’ Retirement System investment committee last month approved the concept of overlaying risk across asset classes rather than replacing asset classes with risk categories.
Also in development is the implementing of six broad risk factors, including governance regulation, such as accounting rules and tax laws. The work comes as officials negotiate a contract with Lyxor Asset Management for the pension funds’ foray into hedge funds.
Peer funds who contributed analysis on risk include ATP-Denmark, Alaska Permanent Fund and CalPERS. Money managers were PIMCO, Bridgewater and GMO.
Modern portfolio theory identifies diversification as the