CALPERS PRIVATE RESEARCH PROJECT
Presentation of the Partner
The California Public Employees’ Retirement System (CalPERS) is the nation’s largest defined benefit public pension fund, providing retirement benefit services to more than 1.8 million members. As of June 30, 2016, CalPERS provided ongoing monthly retirement benefit payments (benefit payments) to 650,943 retirees, beneficiaries, and survivors (benefit recipients). Roughly 85 percent of these benefit recipients resided in California. Defined benefit plans, such as CalPERS, not only provide benefits, but also contribute substantially to the local economy.
As of June 30, 2016, CalPERS’ investment portfolio totaled $295.1 billion, a decrease of 2.3 percent from the previous year. Despite these challenges, CalPERS continues to stimulate the California economy by providing benefit payments to more than 562,000 benefit recipients in California and investing $27.3 billion throughout the state (as of June 30, 2016).
Presentation of the Partnership
Objectives
EDHEC-Risk is partnering with California Public Employees’ Retirement System (CalPERS), in cooperation with Professor John Mulvey from Princeton University, to help them build an integrated factor-based asset allocation and asset-liability management process. The Institute will explore, analyse and make recommendations related to the potential benefits expected from risk factor-based asset allocation, including the assessment of a translation mechanism between risk factor-based and asset class-based allocation.
About EDHEC
Operating from campuses in Lille, Nice, Paris, London and Singapore, EDHEC is one of the world’s top 15 business schools. Fully international and directly connected to the business world, EDHEC commands a strong reputation for research excellence and the ability to train entrepreneurs and managers capable of breaking new ground. EDHEC functions as a genuine laboratory of ideas and produces innovative solutions valued by businesses. The School’s teaching is inspired by its research work and a focus on “learning by doing”, all with the aim of equipping people with the skills to succeed in business.
