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CalPers Adopts Ermitage Portfolio Tools

The largest US pension fund sets its eye on Optics, an advanced portfolio management solution

Under the deal, the California Public Employees' Retirement System will use Optics for its risk mitigation and portfolio management tasks. The solution will operate with the funds' Risk Managed Absolute Return Strategies Program (RMARS) and Global Equity Program.

The trial phase for the Optics launch was completed in the first quarter of this year.

Calpers is the largest pension fund in the US with more than $207 billion in assets under management. This is down significantly from the days before the credit crisis in 2009 when it had an estimated $250 billion in its coffers.

This is not the first dealing between Calpers and Ermitage, one of Europe's oldest quantitative houses. Ermitage has managed a custom-made European Multi-Strategy Portfolio for the pension fund since 2006, but this is the first time it has made one of its systems available on an external licensing agreement.

Optics aims to collate portfolios to the client's risk-return objectives. The system allows clients to choose their risk, return and other setting across different investment regimes. It also boasts a set of advanced construction algorithms that incorporate forward-looking macro, strategy and underlying manager forecasts across multiple investment scenarios, according to press reports.

Ermitage executives are excited about the new offering. According to Ian Cadby, Ermitage Group CEO: "We believe that making proprietary solutions such as Optics available to external users together with our portfolio construction methodology will herald the expansion of a new solution-orientated service industry, where clients are able to take greater control of their investments."

Phil Albinus is the former editor-in-chief of Advanced Trading. He has nearly two decades of journalism experience and has been covering financial technology and regulation for nine years. Before joining Advanced Trading, he served as editor of Waters, a monthly trade journal ... View Full Bio

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