Ermitage has managed about $130 million in a customized, European-focused hedge fund-of-funds portfolio for the $220.1 billion California Public Employees’ Retirement System since 2006.
Staff at the Sacramento-based fund used Ermitage’s OPTICS software on a trial basis in the first quarter to analyze its $51.6 billion global equity portfolio, which includes the fund’s $5.5 billion hedge fund portfolio, according to a news release from the company.
CalPERS is Ermitage’s first external user of OPTICS, Ermitage CEO Ian Cadby said in the release.
OPTICS assists investors in creating customized investment portfolios that meet specific risk and return requirements, among other constraints, according to the release. The system also lets clients integrate alternative investments into the fund’s total asset allocation process.
“Our adoption of OPTICS is both a natural extension of our partnership with Ermitage and a meaningful step toward improved portfolio construction and management at CalPERS,” Clark McKinley, CalPERS spokesman, wrote in an e-mail response to questions. “We understand the need to incorporate varied economic assumptions and market scenarios into the investment process, and OPTICS is a valuable tool for meeting that need.”
