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Comparing the Nation’s Largest Pension Fund Asset Allocation and Return History to the Endowment Index™

By September 19, 2014No Comments

The nation’s largest pension fund, the California Public Employees Retirement System, better known as CalPERS has been in the news this week with an announcement that they are going to be liquidating their $4B hedge fund allocation over the next year.  Apparently, the high costs and complexities, combined with their ability to scale the asset class relative to their $300B portfolio just isn’t worth the effort.

While on the surface this may seem like shocking news, in reality, this isn’t surprising – its simply another data point confirming the transition from traditional alternatives to liquid alts is real and likely to continue.  Given the higher costs, and other burdens (K-1 tax returns, lockups, accredited investor mandates, lack of transparency, scandals/Madoff, high minimums, and others) with the partnership form of traditional alternatives, its logical that more advisors and investors will continue to consider liquid alts as either a replacement for their traditional alternatives allocation, or to in an effort to enhance their traditional two-dimensional stock-bond portfolios.

CalPERS announcement prompted us to take a closer look at their portfolio as compared to the Endowment Index™ calculated by Nasdaq OMX®.  The Endowment Index represents the asset allocation portfolio holdings of over institutions managing over $400 billion in total assets.

Endowment Index™ vs. CalPERS Asset Allocation and 10 Year Return History

Endowment Index vs CalPERS



















*For 10 year period ending June 30, 2014.  Returns are annualized.

Past performance no guarantee of future results.  The above is presented for informational purposes only and is not intended as investment advice.  Index data presented for comparison purposes only. Indexes don’t have fees. You cannot invest directly in an index.  Endowment Index data prior to May 19, 2014 contains backtested data, which contains certain weaknesses.  Click here for additional disclosure on back testing.