US - The new head of the US$132bn global equities portfolio at CalPERS has revealed plans to move to a more top-down approach in the asset allocation process.
"That is not automatically a valid assumption - it may end up that way, but we need to do the analysis both from the bottom up and the top down," he said.
Baggesen, who was appointed to the position of senior investment officer for global equities in May, revealed one of his primary goals was to look at the global equities portfolio in a more holistic fashion.
This would involve deeper analysis of how different pieces of the portfolio fitted together and greater fluidity at the capital allocation stage.
He explained: "In the global equities portfolio we have a segment of money which gets invested internally, another which uses external managers, another which looks at the Manager Development Programme and environmental [investments]. We also have another which does corporate governance, and another which looks at hedge funds.
"When we interact with the CalPERS board, there has tended to be allocations of capital to specific programme areas and [this means] you have a harder time [working out] how each programme area interacts with the entire global equity portfolio.
"For example, if you made an allocation to the hedge fund programme a couple of years ago, do hedge funds offer the opportunity today that you might have in another part of the programme?"
Baggesen said a move to a more holistic approach was even more pertinent in the wake of the credit crunch. He stated: "We need to be more explicit about analysing trade-offs between the different alternatives when we allocate capital in the current market."
Baggesen replaced Christianna Wood who left in February.
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