Institutional Investors

CalPERS drops beta overlay, makes partial redemptions


The $180 billion California Public Employees' Retirement System received an annual review of its hedge fund programme from general investment consultant Wilshire. Wilshire recommended dropping the beta overlay of the portfolio, which helped magnify the negative returns in 2008.

The Risk Management Absolute Return Strategy, including the beta overlay, lost more than 38% over the past year, while losses were contained to just over 15% without the overlay. The consulting firm also said that the investment committee should decide whether future investments in the portfolio should be reviewed by a