CalPERS Eyes Hedge Fund Boost In Review

Nov 8 2011 | 10:39am ET

The nation's largest public pension fund may vote to boost its already substantial hedge fund portfolio next year.

The $228.6 billion California Public Employees' Retirement System is launching its first review of its hedge fund program since Joseph Dear became chief investment officer two-and-a-half years ago. While the review has yet to begin, Dear said today that the outcome is all but assured.

"The outcome of [the review] could be a decision to increase the size of the program," he told Bloomberg News. "It could be to leave it where it is. I doubt it will result in a recommendation to shrink the size."

CalPERS currently invests $5.2 billion, or about 2% of its assets, in hedge funds, which were moved in July from the pension's public equity portfolio to its absolute return program.

Dear said that the hedge fund portfolio "demonstrated its value" in the third quarter, when CalPERS' global equity portfolio lost 18%, but its absolute return strategy fell only 2.5%.

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