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Alternative Market Briefing

CalPERS says performance was not a key driver to end hedge fund program

Monday, January 18, 2016

Komfie Manalo, Opalesque Asia:

The California Public Employees' Retirement System (CalPERS), the largest public pension fund in the United States with $300.3 billion in assets as of June 30, 2014, has defended its decision to end its hedge fund program, Absolute Return Strategies (ARS), in September of 2014.

Hedge funds "didn't move the needle" for CalPERS

CalPERS said in a statement, "As we indicated very clearly at that time, program performance was not a key driver of the decision. In fact, ARS historical performance, whether good or bad, didn't move the performance needle at the total fund level in any meaningful way."

The pension system made the statement in reaction to an article published in Fortune magazine hinting that CalPERS may have erred in its decision to end its hedge fund program and that keeping hedge funds in the portfolio would have generated around $176 million more for its pensioners.

According to Fortune, CalPERS’ ARS program generated an average of 7.2% in returns from its $4bn portfolio, generating an estimated $243m in gross revenues. The cost of investment management and performance fees to hedge funds would have amounted to $67m. This means the pension fund would ha......................

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