CalPERS Called Out
What a great board room story. CalPERS is the nation’s largest pension fund, managing $370B of assets for California state employees and retirees. They invest in a bunch of different assets, including “left tail” strategies, which return a lot of money during black swan events.
Last month at the CalPERS board meeting, one of the board members asked their Chief Investment Officer:
Ben, can you tell me how our left-tail investments are performing? Are they performing the way we thought they would in this economic downturn?
Ben responded:
Yes, for any left-tail risk hedging strategy you’re referring to, they should perform well in this kind of a down market, as they were exactly designed to do. And from what we know most of these strategies are performing as anticipated.
Ben did not, however, point out that CalPERS exited their primary left-tail hedge a few weeks before the market crash and missed out on a $1B+ return. Quite an omission!
Then to top this story off, the board member who asked the question posted the story on Facebook! Probably not the best channel for board communication, so I’m guessing there are some other issues at play here…