Calpers Portfolio Allocation: A Comprehensive Guide

Calpers is one of the largest pension funds in the world, managing over $400 billion in assets. It's a behemoth of a fund, to say the least.

Calpers' portfolio allocation is spread across various asset classes, including public and private equity, fixed income, and real estate. The fund has a significant presence in the global market, with investments in over 40 countries.

The fund's investment strategy is guided by its asset allocation policy, which is reviewed and updated regularly to ensure it remains aligned with the fund's long-term goals. Calpers aims to achieve a return of 7% annually, which is a challenging target given the current market conditions.

Calpers has been actively investing in private equity since the 1980s, with a focus on large-cap companies. The fund's private equity portfolio has generated significant returns over the years, with an average annual return of 15%.

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CalPERS is shifting its investment strategy to diversify its private equity portfolio.

The fund has increased its allocation to middle market buyout managers, with 37% of its PE commitments going to this sector as of March 31, 2024.

CalPERS aims to focus on smaller, more specialist buyout managers to potentially generate above-market returns.

The fund has also reduced its allocation to large and mega buyout managers, with only 23% of its PE commitments going to this sector as of March 31, 2024.

CalPERS is targeting a 40% allocation to private assets, but currently stands at 30.6%.

The fund's private equity portfolio has diversified from 91% being buyouts in fiscal year 2020-2021 to 67.4% as of the same period.

CalPERS wants to invest in growth and venture capital investments, with 40% of its PE commitments going to these sectors as of March 31, 2024.

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CalPERS currently has a 30.6% allocation to private assets, with a target allocation of 40% to these asset classes.

The fund has slowly increased its allocation to middle market buyout managers and looks to increase its allocation to both growth and venture capital investments.

Buyouts made up 91% of CalPERS private equity portfolio in fiscal year 2020-2021, but now account for 67.4%, as the fund began a diversification effort in 2022.

CalPERS wants to focus on investing in middle market buyouts, lowering allocations to large and mega buyout managers.

The fund wants to invest in smaller, more “specialist” buyout managers, which could provide more above-market returns and use smaller amounts of leverage in their strategies.

Fiscal year to date, the fund has made 40% of its PE commitments to growth and venture managers, 37% to middle market buyouts and only 23% to large and mega buyouts.

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CalPERS' investment performance is a critical aspect of its overall strategy. The fund's assets have grown significantly over the years, reaching $446.6 billion in 2022.

The allocation to public equities has been a key driver of this growth, with a 59.6% allocation to this asset class in 2022. This is the largest allocation of any asset class in the CalPERS portfolio.

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Returns on public equities have been strong, with a 10-year annualized return of 8.5% as of 2022. This has helped to boost the overall performance of the CalPERS portfolio.

A 22.5% allocation to private equities has also contributed to the fund's growth, with a 10-year annualized return of 10.5% as of 2022. This asset class has provided a valuable source of returns for CalPERS investors.

The fund's allocation to real estate has been steadily increasing, with a 10.1% allocation in 2022. Returns on this asset class have been robust, with a 10-year annualized return of 9.1% as of 2022.

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