The California Public Employees’ Retirement System (CalPERS) will review forecasts of capital market returns at a May 17 workshop leading to adoption in December of an asset allocation plan for the next three calendar years.
The workshop also will set the stage for adoption in February 2011 of the Pension Fund’s assumed rate of return, currently set at 7.75 percent. The workshop will be open to the public, beginning at 1 p.m. in the CalPERS Board Auditorium or upon adjournment or recess of the Investment Committee’s regular May meeting.
“Our discussion of market trends will help us set realistic three-year investment targets and ranges for stocks, private equity, fixed income, real estate and inflation-linked assets,” said George Diehr, Investment Committee Chair. “We’ll make no immediate decisions but test assumptions for investment earnings. Are they too aggressive, too pessimistic or just about right? What adjustments might we need to make?”
Earlier this year, the CalPERS Board reviewed the role of the Pension Fund’s five asset classes and alternative ways of classifying them. In July, the Board will discuss major risk factors and new approaches to asset allocation. It will hold a final review of market assumptions in September and an Asset/Liability Management Workshop November 3-4. The Board will adopt an asset allocation plan as early as the December 13 Investment Committee meeting.
“We have an ambitious plan to thoroughly explore our asset allocations,” said Chief Investment Officer Joseph Dear. “We want to be as open and transparent as we can to challenge our assumptions and hear opposing views. We will realistically review sound research, engage in robust debate and use sound judgment to arrive at a well-considered decision.”
The May 17 workshop panel includes Wilshire Associates Managing Directors Michael Schlachter and Andrew Junkin; John Linder, Senior Vice President, and Allan Emkin, Managing Director, Pension Consulting Alliance; CalPERS Asset Allocation Portfolio Manager Lorne Johnson; Max Darnell, Chief Investment Officer of First Quadrant, a specialist portfolio management and research firm focusing on equities and global macro; and Matt Kadar, Partner, GMO LLC, a global investment firm serving clients in the corporate, public, endowment and foundation marketplaces.
Read more about our asset allocation review.
CalPERS is the nation’s largest public pension fund with assets totaling approximately $207 billion. The System provides retirement benefits to 1.6 million State, school and local public agency employees and their families. For more information about CalPERS, visit www.calpers.ca.gov.