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New study slams public pension funds’ alternative investments, identifies CalPERS as one of the worst ‘negative alphas’

JULY 16, 2020 | by Yves Smith | NAKED CAPITALISM

By Yves Smith, includes “We are embedding an important new study by Richard Ennis, in the authoritative Journal of Portfolio Management, on the performance of 46 public pension funds, including CalPERS, as well as of educational endowments. Ennis’ conclusions are damning. Both the pension funds and the endowments generated negative alpha, meaning their investment programs destroyed value compared to purely passive investing.

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