CalPERS To Use Hedge Fund Portfolio Software

Nov 17 2010 | 4:14pm ET

For years, Ermitage Group has managed money for the California Public Employees' Retirement System. Now, the hedge fund firm has a new role: information technology provider.

CalPERS has licensed Ermitage's proprietary portfolio construction software for use in managing its massive hedge fund and stock portfolios. The U.S.'s largest public pension fund has been using the system, known as OPTICS, in a trial run on its risk-managed absolute return strategies and global equity programs since the first quarter.

It is the first time that Ermitage has licensed the software, which employs algorithms to allow users to build portfolios with customized risk, return and other profiles and preferences.

"Whilst first conceived to manage our own multi-manager portfolios in accordance with our long held philosophy that traditional investment models were ultimately ineffective in regime change market conditions, interest from institutional investors seeking an effective ‘real world' portfolio management solution led to Ermitage accelerating its external partner program," Ermitage CEO Ian Cadby said. "Our vision is to partner with a select group of global institutions who can use OPTICS to improve their risk adjusted performance across their investment portfolio. We believe that making proprietary solutions such as OPTICS available to external users will herald the expansion of a new solution-orientated service industry, where clients are able to take greater control of their investments."

Ermitage manages US$145 million in a European multi-strategy portfolio for CalPERS.


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