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CalPERS staff outlines reporting and timeline for Total Portfolio Approach, offers dashboard to track fund risk and liquidity
Summary
Staff presented an expanded reporting plan tied to a possible move to a Total Portfolio Approach (TPA), including a single‑page dashboard for governance, liquidity and market risk and a timeline aiming for a September first reading and a November board decision on a reference portfolio and active risk limits.
Staff briefed the board on the next steps in CalPERS’ asset‑liability management work and how reporting would change under a Total Portfolio Approach, emphasizing more focused trust‑level reviews and a governance dashboard.
Chief Investment Officer Steven Gilmore and Chief Actuary Scott Turando (presentation led by Gilmore) walked the board through a proposed one‑page dashboard that aggregates governance metrics, liquidity, market risk and realized returns to give a “40,000‑foot” view for the board. The dashboard is intended as an at‑a‑glance summary with drill‑down capability that staff said would be supplemented by more detailed appendices and program reviews.
Gilmore described the timetable staff is using: additional discussions and stakeholder outreach in July, a first reading of recommended reference portfolios, active risk limits and projected assumptions in September, and a final board decision in November. “We will present in September a first reading of recommended reference portfolio, plus active risk, and we'll also have experience study and actuarial assumptions,” staff said. He said staff would recommend an operating range for active risk, and noted staff expects to recommend an active risk limit materially lower than current informal discretion levels.
Staff explained several reporting changes if the board adopts TPA: aggregated annual program reviews in a single session, reporting investment strategies against a risk‑matched “cost of capital” reference portfolio (to measure whether each strategy can clear its funding cost), more explicit reporting on funding mix, and additional scenario work to show portfolio outcomes under recession, stagflation or higher inflation. Staff also emphasized more frequent updates to short‑term market‑aware forward return expectations than under a traditional SAA process.
Members asked for drill‑down capability, clarity on how hurdles and “cost of capital” proxies will be set, and how private markets reporting lags would be handled. Chief Financial Officer Michelle Nix and staff said verified numbers will be shared as available and that consultants will play a role in validating proxies and hurdles. Staff said the emerging dashboard will be iterated with board feedback before formal September materials.
No board vote was taken; staff will return with concrete reference portfolio and active‑risk recommendations for board action later this year.
