CalPERS reports quarterly loss for its PE portfolio

The US's largest public pension system plans on a major overhaul of its private equity holdings.

The California Public Employees’ Retirement System’s private equity portfolio lost over 6 percent in value over the past quarter, according to documents provided in advance of its investment committee meeting scheduled for next week.

CalPERS, the nation’s largest and most influential pension system, is overhauling its private equity programme while also dealing with a recent key departure.

The $422.8 billion system’s private equity portfolio fell 6.1 percent in value over the past three months. According to the documents, private equity still returned 3.3 percent over the past year, with three-year returns of 15.3 percent.

According to the documents, CalPERS lists a $48.8 billion valuation of its portfolio as of the end of September. At the start of the quarter, the portfolio was valued at $52.8 billion.

CalPERS contributed $2.23 billion to its private equity portfolio over the quarter while receiving $2.06 billion in distributions, according to the documents.

CalPERS is in the middle of a shakeup of its private equity program in general.

Last month, the system disclosed the departure of Greg Ruiz, managing investment director for private equity.

In September, the system’s staff said a historic under-allocation to private equity led to a “lost decade” costing CalPERS between $11 billion and $18 billion in returns.

The system targets a 13 percent allocation to private equity.

The new plan would hike the commitment limits that staff can make to private equity, co-investments and secondaries without board approval. The proposed private equity plan would also change the mix of strategies within its private equity basket by decreasing targets for buyouts while increasing targets for growth equity and venture capital.

The CalPERS investment committee is expected to vote on the proposed changes at its meeting scheduled for 14 November.

– This report originally appeared on affiliate title Buyouts.


To access more CalPERS insights, analysis and data, click here