CalPERs Size Restricts its Alternative Asset Exposure

By admin
In February 12, 2020

CalPERs $402 billion pension fund (as of 2/7/20) relies more heavily on traditional equity and fixed income than many of its U.S. pension plan peers.  Less than 20% of CalPERS portfolio is held in alternative investments.  This is not necessarily by choice, as CalPERs staff has indicated that the fund’s extreme size makes it difficult for them to invest at scale in private asset classes such as private equity and debt.  In fact, Ben Meng, Calpers CIO is an advocate for increasing the Funds’ allocation to private equity and credit.  CalPERs, which has been reducing its allocation to alternatives in recent years, eliminated a 9% inflation allocation in 2019.  CalPERS portfolio is currently allocated as follows:

Domestic Cash 2.6%
International Currency 0.1%
U.S. Government & Agencies 9.7%
Intl Soveregn Debt Securities 2.9%
Foreign Issued USD 0.6%
MortgageBacked Securities 5.8%
Mortgage Loans 0.0%
Asset-Backed Securities 3.6%
Corporate Bonds 9.2%
Domestic Equity 24.8%
Intl Equity 21.0%
Domestic REITS 1.7%
Intl REITS 0.4%
Derivatives 0.0%
Real Estate Partnerships 9.3%
Private Equity 7.0%
Infrastructure Partnerships 0.9%
Forestland 0.4%

CalPERS Annual Investment Report can be viewed here.  Also see “CalPERS walking its own path on asset allocation” in Pension & Investments 2/10/2020.