对冲基金公司Och-Ziff Capital Management董事长兼首席执行官Dan Och赢得了4亿美元 - 超过10,000倍，为平均加州公共退休人员的养老金支出。随着美国的公共养老金不足，受益人面临着削减和养老金改革的前景，在许多美国选举中发挥了重要作用，计划'的投资实践面临着审查的审查。大部分关注正在落在对冲基金上。
The reason is simple: money. The S&P 500 index returned 32.36 percent last year, but the average hedge fund was up just 9.13 percent, according to the HFRI Fund Weighted Composite Index. Yet due to lucrative fee structures, the managers of the very largest hedge fund firms, those that typically attract institutional money, are earning millions — and in some cases billions — in management and performance fees.
So last month, when the $296 billion California Public Employees’ Retirement System announced that it will terminate its $4 billion Absolute Return Strategies portfolio, it looked like the writing was on the wall for对冲基金and U.S. public pensions. After all, the 2001 decision by America’s biggest pension plan to get into hedge funds kicked off its peers’ movement toward absolute-return investments.
在一份声明中，临时CIO TED Eliopoulos引用CALPERS决定兑换24个对冲基金和六个对冲基金的决定的费用和复杂性。“对冲基金肯定是一些可行的一些策略，但在一天结束时，当判断他们的复杂性，成本和缺乏卡波斯的规模缺乏能力时，ARS计划不再有保证，”他说。两天后，德克萨斯州1260亿美元的教师退休系统宣布，将其对冲基金分配从9％削减到8％。
CALPERS的对冲基金分配不足以对其整体组合的回报进行有意义的差异。但是，在2013年度单独的财政年度，养老金计划在对冲基金管理费上花了6070万美元，绩效费用5500万美元。但ARS组合的一个，三年和五年的回报分别仅为7.4％，3.8％和1.4％，而国内股票的百分之规为22.1％，11.3％和3.5％。截至1月份，卡波斯在纽约的奥克·佐利夫盎司欧洲州奥兹·欧洲州奥兹·基金上拥有7亿美元，盎司国内合作伙伴二世的2100万美元。尤里卡于2013年返回18.46％;国内合作伙伴只有5.33％。
CalPERS’s circumstances are unique, giving managers some reassurance that not every public fund is running for the exit. First, there’s the California fund’s internal politics. CalPERS was slow to build its hedge fund book, but by 2008 it had a total of $7 billion with 27 firms. After that year’s market collapse, it retooled ARS. The restructuring was complicated by an investigation into CalPERS’s relationship with two hedge fund advisers and the 2011 departure of Kurt Silberstein, the investment officer running the portfolio.
CIO Joe Dear supported the hedge fund program, hiring industry veteran Ed Robertiello to replace Silberstein and restating CalPERS’s commitment to “this important investment strategy.” In June 2013, however, Dear was diagnosed with cancer; he passed away this February. Eliopoulos, senior investment officer for real estate, took over as interim CIO. Eliopoulos was perceived as being less supportive of hedge funds than Dear. On September 17, two days after CalPERS announced that it was eliminating its hedge fund program, the board named Eliopoulos CIO.
CalPERS’s size and funding status further distinguish it from most of its peers. It’s one third larger than the No. 2 U.S. pension plan, the $188 billion California State Teachers’ Retirement System, and dwarfs most other public funds. CalPERS’s funding ratio is also relatively healthy for a public plan, so it can be more illiquid and long-term in its investment approach. And because it has more internal resources than many U.S. institutions, it can manage complex strategies in-house.
基金的规模，资源和流动资金简介与加拿大，新西兰和挪威等国家的其他巨大养老金计划更紧密地对齐，这往往没有对冲基金曝光。这些机构正在更加关注较少的流动领域，他们可以将大量资金用于工作，如基础设施，私募股权和实际资产。
By contrast, CalPERS’s U.S. counterparts remain broadly in favor of对冲基金. At a mid-September meeting of the University of California Board of Regents, the 28-person committee that oversees the state university system, UC CIO Jagdeep Bachher expressed confidence in the university’s absolute-return allocation. As for his CalPERS colleagues who might now find themselves out in the cold, Bachher joked that “we’re hiring, and we’re always looking for good people” at the $90 billion UC pension and endowment. For hedge funds, parting ways with CalPERS is the end of the beginning, not the beginning of the end.
Follow Imogen Rose-Smith on Twitter at@imogennyc.