Stephen Gilmore – CalPERS’ Total Portfolio Approach (EP.486)
•February 9, 2026
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Why It Matters
Adopting CalPERS’ total‑portfolio model helps pension funds stabilize risk, improve accountability, and deliver better long‑term returns for beneficiaries.
Key Takeaways
- •Procyclical behavior erodes long‑term investment returns for pension funds
- •Liquidity data improvements reduce unnecessary asset liquidations during crisis
- •Total‑portfolio approach stabilizes risk appetite across market cycles
- •Reference portfolio makes management accountability transparent to the board
- •Performance measured against off‑the‑shelf benchmarks simplifies evaluation for pension funds
Summary
The video features Stephen Gilmore of CalPERS outlining a total‑portfolio approach designed to curb the fund’s historically procyclical investment patterns. By anchoring decisions to a reference portfolio rather than ad‑hoc market timing, CalPERS aims to align risk exposure with its long‑term liabilities and avoid the pitfalls of forced liquidations during downturns.
Gilmore highlights three core insights: first, the 2008 crisis exposed a tendency to liquidate assets based on perceived liquidity shortfalls, a problem now mitigated by richer liquidity data; second, a stable risk appetite is achieved when risk is adjusted systematically rather than reactively; third, assigning a clear reference portfolio to the board makes management’s investment choices and outcomes directly accountable.
A telling quote underscores the philosophy: “If you’re a long‑term investor, that’s exactly the time to be putting on risk.” He also notes that under a strategic asset allocation, the board adopts the reference portfolio, while management proposes and executes the investments, allowing performance to be benchmarked against an off‑the‑shelf portfolio.
The implication for other institutional investors is clear: adopting a total‑portfolio framework can reduce procyclical swings, improve transparency, and provide a straightforward yardstick for evaluating stewardship, ultimately enhancing fiduciary outcomes for beneficiaries.
Original Description
Stephen Gilmore is the Chief Investment Officer of CalPERS, which at $600 billion is the largest public pension fund in the U.S. and one of the largest institutional pools of capital in the world. Stephen joined CalPERS eighteen months ago from a career spanning Wall Street, the IMF, and two of the most innovative sovereign wealth funds, where he was Chief Investment Strategist at Australia Future Fund and CIO at New Zealand Super Fund.
Our conversation dives into the theory and implementation of the Total Portfolio Approach, drawing on Stephen’s experience at Australia and New Zealand, and his plans for CalPERS. We cover the TPA mindset, its fostering of sound governance and accountability, comparisons to Strategic Asset Allocation, challenges of implementation, and the adaptation of the model at CalPERS.
Stephen is one of the most experienced practitioners of TPA in the world. Our discussion pairs well with my recent conversation with Ashby Monk, as more allocators learn and consider this approach to managing assets.
Learn more about our Strategic Investments: Thema (https://www.thema.ai/ted)
Subscribe on Apple Podcast: https://podcasts.apple.com/us/podcast/capital-allocators-inside-the-institutional/id1223764016
Original Publish Date: 02/09/2026
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