Institutional Investors

CalPERS to separate out absolute return strategies in asset allocation review


Last month, the California Public Employees' Retirement System reviewed forecasts of capital market returns and adopted an asset allocation plan for the next three calendar years.

Under a new asset mix, absolute return strategies may become a separate asset class.

In its review, the $207 billion pension system is relying on an alternative asset classification that places various assets in the CalPERS portfolio into six different categories based on their return drivers and fundamental characteristics. Absolute return strategies fall under the market-neutral classification.

According to board documents, the alternative