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CalPERS has published its Comprehensive Annual Financial Report (CAFR) and Operations Summary for the fiscal year ending June 30, 2008.
At June 30, 2008, the Public
Employees’ Retirement Fund (PERF) held $24.0 billion in
alternative investments, an increase of $7.2 billion from
$16.8 billion at the 2007 fiscal year end. Alternative
investments yielded a return of approximately 5.8 percent
for the 2008 fiscal year, compared to 27.1 percent for
fiscal year 2007. CalPERS uses the Custom Wilshire 2500
Index +300 basis points as the long-term benchmark for
the AIM program.
For the Alternative Investments Management (AIM)
program, CalPERS has private equity unfunded
commitments of $26.4 billion that are not displayed on the
Statement of Fiduciary Net Assets. In addition, CalPERS
has real estate unfunded commitments of $17.1 billion that
are not displayed on the Statement of Fiduciary Net Assets.
The CalPERS Board of Administration approved a new
asset allocation, effective January 2008, which increased
allocations to both real estate and private equity, and
established a new Inflation Linked Asset Class (ILAC).
The ILAC is Board-approved to include commodities,
inflation-linked bonds, infrastructure, and forestland.
At June 30, 2008, the ILAC held $1.6 billion in inflationlinked
bonds, $0.1 billion in infrastructure, $1.6 billion
in forestland, and $1.4 billion in commodities exposure.
ILAC has not been held for a full year, therefore, an
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