The CalPERS staff has outlined new portfolio benchmarks to reflect the risk-based asset allocation approved in December, Global Pensions reports. As per the proposal, nearly 77% of the growth assets will be in public equities benchmarked completely to the FTSE All-World Total Market index, while two-thirds of the private equity investments will be benchmarked against the FTSE U.S. Total Market index.
One-third of the private equity investments will be benchmarked against the FTSE all-world ex-U.S. and will aim to add 3% over its benchmark. The $234 billion system allots 16% to income assets, out of which 90% will be measured against a Barclays’ long liability benchmark with the rest up against a Barclays’ international fixed income benchmark. Liquidity assets will be calculated 75% against Barclays Treasury two to 10-year bills, and 25% against one-month T-Bills.
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