CalPERS Opts For Futures Strategy

TheCalifornia Public Employees’ Retirement System(CalPERS) will use futures as part of its absolute-return strategy,Pensions & Investmentsreports. The pension fund has chosen to follow a proposal by the staff instead of one from its general consultantWilshire Associates.

Wilshire had suggested the system to make an absolute-return allocation to increase returns and add a 2.5 percent allocation to hedge funds. CalPERS staff had recommended that instead of creating an allocation, the system should purchase equity market index futures to boost the entire portfolio’s return.

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