The California Public Employees’ Retirement System is set to shift its allocation framework into five new categories to more closely focus on risk. (The California State Teachers’ Retirement System is also weighing such risk-centric investing.)
Pension Consulting Alliance is recommending that both funds shift the emphasis of their asset allocation from asset classes to risk classes — a strategy that targets correlated risk across traditional asset classes.
CalPERS’s five categories are liquidity, growth, income, real assets and inflation-linked assets. A spokesman for the giant Golden State fund says the new framework will allow the fund to be more “nimble” in respondng to violent market shifts, with a clearer eye to what may threaten or bolster its investments.
— Money Management Letter
