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Calpers CIO Says His Hedges Worked Better Than Taleb’s

  • Meng defends decision to scrap tail-risk hedges on webcast
  • Alternative risk-mitigation tools offset $11 billion of losses
Vehicles travel on the Golden Gate Bridge during the morning commute in San Francisco, California, U.S.
Photographer: David Paul Morris/Bloomberg
Updated on

The California Public Employees’ Retirement System defended its decision to eliminate a tail-risk hedging program and said the alternatives it put in place offset $11 billion of losses during the March sell-off.

Calpers, as the giant pension plan is known, has faced scrutiny since Bloomberg reported on April 9 that it missed out on a payout of more than $1 billion by terminating one of two tail-risk hedges just weeks before stock prices crashed. That hedge was managed by Universa Investments, a Miami-based firm advised by Nassim Taleb, author the 2007 bestseller “The Black Swan.”