(Refiles to fix Wilshire story link in paragraph 10)
By Barani Krishnan
NEW YORK, April 4 Calpers, the biggest U.S.
pension fund, said on Wednesday it recently allocated nearly
half a billion dollars to an energy-dominated index, just before
oil prices began a rally.
The California Public Employees Retirement System, which
manages around $230 billion worth of assets, made its first
foray into commodities in March through the Goldman Sachs
Commodity Index, Calpers information officer Clark McKinley
"We've allocated $450 million to the GSCI in a fully
collateralized swap," McKinley told Reuters. "We bought at
lower levels than are trading today. We can't really say more
U.S. crude CLc1 hit six-month highs of $68.09 a barrel on
March 27, gaining 21 percent on the week as tensions between
Iran and the West escalated and as gasoline demand spiked
before the start of the U.S. spring and summer driving
The GSCI .GTX tracks 24 commodity futures, but the energy
complex accounts for almost 70 percent of its weighting.
McKinley said Calpers' investment in the index was likely
to stay in place until the fund's trustees meet in November to
decide on the next move for its new asset class on
Inflation-Linked Investments -- which include commodities,
inflation-linked bonds, infrastructure and timber projects.
In an e-mail to Reuters, Calpers said it has set a long-run
return target of 3 to 7 percent in excess of inflation for
commodities under the new asset class.
For inflation-linked bonds, the target is inflation plus
1-2 percent, with annualized risk of 5 percent. For timber
projects, the target is 15 percent in annualized returns. No
goals have been specified for investments in infrastructure.
McKinley said Calpers was also working on hiring a
portfolio manager for the new asset class.
The fund in February named Wilshire Associates as a
potential candidate for the job [ID:nN14437615].
"That hasn't happened as yet," McKinley said, referring to
the hiring. "Not a whole lot is going to happen within the next
few months, it's like watching an iceberg, really."