US - The California Public Employees' Retirement System had estimated its total fund risk has doubled over the past year.
The document said: "A significant increase in both realized and forecasted market risk has occurred in the recent quarter reflecting the surge in volatility in the financial markets."
Like other pension funds, the US$183.3bn CalPERS has been placing an increased emphasis on risk management.
Staff plan to introduce a revised risk policy to the board in mid-2009 that outlines the various forms of risk measurement staff is employing - including credit risk, leverage and stress testing.
Separately, the pension fund said it returned -13.7% in the quarter ending 31 December.
The pension fund's US$15.2bn cash equitization program lost 23.2%, the worst performer in the quarter. The best performer was the $44.6bn fixed income portfolio which returned 2.3% for the quarter.
CalPERS investments returned -27.1% for the year and -2.5% annualized for the three years ended 31 December.
CalPERS also approved making two test portfolios permanent and increasing the allocation to a fundamental portfolio at the 17 February meeting, according to recently posted minutes.
The board graduated two internally managed active emerging markets test portfolios from the pension funds' developmental portfolio totalling 3% of global equity, or $2.1bn, to each.
The board also increased the cap for a fundamental developed markets international portfolio to 10% of global equity, or about $7bn, from a cap of $1bn now.
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Malcolm Mclean says getting the channels of communication right and engaging more openly is a good starting point