CalSTRS Investment Analytics & Operations

Investments Branch — Data, Analytics & Operations Data as of 6/30/2025
Total Fund AUM
$396.7 Billion
📋

Chapter 1 — Executive Summary

Top-line dashboard with key metrics across the total fund, manager performance, risk, and ESG.

💡
Key Insight: CalSTRS manages $396.7B across 9 asset classes. CalSTRS active equity managers have generated +39.82% cumulative excess return since inception (IR 0.52), with a 61.8% hit rate across 55 months. Total fund PE IRR sits at 13.16%.
Total Fund AUM
$396.7B
as of Jan 31, 2026
Private Equity IRR
13.16%
Since Inception
Mgr Excess Return (Ann.)
+4.98%
CalSTRS Active Equity
Information Ratio
0.52
TE: 9.50% | Sharpe: 0.67

🚦 Portfolio Health at a Glance

Allocation
Within policy bands
On Track
Manager Performance
Above benchmark
Strong
Risk Level
Beta 1.11, Active Share 98%
Elevated
ESG & Climate
Net Zero 2050 target
Aligned
CUSUM Monitor
Buffer: 4.78%
No Signal
Recent Quarter
3-mo excess: -3.52%
Watch
Operational Risk
Controls & due diligence active
Compliant
💼
What We Own
Asset allocation, holdings explorer, manager positions
9 Asset Classes
📈
Performance
Fund returns, CalSTRS analytics, manager performance
+4.98% Excess
⚡
Risk & Stress
Risk framework, operational risk, factor exposure, macro shocks
TE: 9.50%
🛡️
Governance & Research
ESG, data governance, sources, AI analyst
Net Zero 2050
🗺️
Strategy Roadmap
Mission, modernization, operational risk, challenges, solutions, KPIs
7 Pillars
◆
Ali El-Annan
Leadership experience, enterprise impact, transformation approach
$15B+ Enabled

📈 Total Fund Asset Allocation Overview

$396.7B across 7 categories ▼
$396.7B Total Fund
Public Equity $168.0B (42.3%)
Private Equity $57.1B (14.4%)
Fixed Income $50.0B (12.6%)
Real Estate $49.2B (12.4%)
Risk Mitigating Strategies $31.3B (7.9%)
Inflation Sensitive $27.7B (7.0%)
Cash / Collab / Overlay $13.5B (3.4%)
💼

Chapter 2 — What We Own

Explore asset allocation, portfolio holdings, and manager-level positions across the $396.7B total fund.

💡
Key Insight: Public Equity dominates at 42.3% ($168B), with significant Industrials overweight (+25.4%) in CalSTRS small-cap equity. Active share is near-total at 98.4%, indicating highly differentiated positioning. All nine asset classes operate within policy bands, with operational risk controls and due diligence frameworks spanning both internal and external programs.

⚖️ Asset Allocation vs. Policy Targets

Actual allocation versus Investment Policy Statement targets. Vertical markers show target allocation.

📊 Detailed Allocation Table

Asset Class Market Value ($M) Actual % Target % Difference Range Status
Public Equity*167,95742.33%39.00%+3.33%±8%In Range
Fixed Income50,02812.61%13.00%-0.39%±5%In Range
Real Estate*49,18012.40%15.00%-2.60%±5%In Range
Private Equity*57,13014.40%14.00%+0.40%±5%In Range
Risk Mitigating Strategies31,2777.88%10.00%-2.12%±5%In Range
Inflation Sensitive27,6756.98%7.00%-0.02%±5%In Range
Cash / Liquidity4,4651.13%2.00%-0.87%0-5%In Range
Collaborative Strategies*6,6271.67%0.00%+1.67%0-5%In Range
Strategic Overlay2,3960.60%0.00%+0.60%—Overlay
Total396,735100.00%100.00%

* Includes Sustainable Investment & Stewardship Strategies public and private investments totaling $2,899M

🛡️ Operational Risk Oversight by Asset Class

The Investment Operations & Services team maintains operational risk controls, ODD frameworks, and investment business services across all nine asset categories — ensuring regulatory compliance and proactive risk management for both internal and external programs.

Public Equity ($168B)
ODD for 100+ external managers, trade settlement oversight
Private Equity ($57.1B)
LP/GP structure reviews, capital call processing, valuation controls
Real Estate ($49.2B)
Property-level operational audits, JV compliance, NAV oversight
Fixed Income ($50.0B)
Counterparty risk monitoring, collateral management, ISDA compliance
Derivatives (500+ instruments)
Margin call processing, clearing house integration, position reconciliation
All Classes (9 categories)
Unified risk register, state/regulatory compliance, Investment Committee reporting
Private Equity IRR
13.16%
Since Inception (6/30/2025)
PE Allocation
$57.1B
14.40% of Total Fund
Real Estate Allocation
$49.2B
12.40% of Total Fund
Public Equity
$168.0B
42.33% of Total Fund

📉 Performance Measurement Framework

The Head of Performance Analytics oversees the measurement and reporting of returns across all asset classes using industry-standard methodologies.

Key Metrics Managed

Time-Weighted Return
Public Markets
Dollar-Weighted IRR
Private Markets
Risk-Adjusted Returns
Sharpe, Info Ratio
Attribution Analysis
Allocation & Selection

Performance Reporting Cadence

  • Monthly: Flash performance reports
  • Quarterly: Full attribution reports + operational risk summary
  • Semi-Annual: Board performance presentations
  • Annual: GIPS-compliant composites + ODD annual review cycle

🏆 Private Equity Performance Context

Return Since Inception
13.16%
Dollar-Weighted IRR as of 6/30/2025

J-Curve Effect Explanation

IRRs in the first 3 years of a partnership's life are relatively meaningless due to the J-curve phenomenon — early investment expenses before capital gains are harvested. This normally translates into negative IRR early, with values following a "J" shape over 10-12 years until final liquidation.

Factors Impacting IRR

Cash-flow timing Carried interest Management fees Advisory fees Valuations Secondary pricing

📑 Board Performance Reports

Key performance documents produced by the Performance Analytics team:

📄 Performance At-A-Glance
INV 2025-09 | September 2025 Board Meeting
📄 Performance Benchmarks
July 2025 Benchmark Documentation
📄 Semi-Annual Performance Summary
Period Ending December 31, 2024
📄 Private Equity Performance Report
Fiscal Year Ending 2025
📄 Real Estate Strategy Report
Q1 2025 Semi-Annual Report
📄 PE Executive Summary
March 2025 Board Presentation

🛡️ Operational Risk Integration with Performance

Performance measurement is complemented by operational risk oversight — ensuring that external manager operations, trade settlement, and compliance controls are functioning effectively across all asset classes.

ODD Reviews
All external managers assessed for operational soundness
Trade Controls
Settlement monitoring, exception management, reconciliation
Compliance
State/regulatory adherence monitored in real-time

🔍 Holdings Explorer

Search across CalSTRS portfolio holdings. Data as of 6/30/2025.

📁 Load Custom CSV Data

Upload a CSV file to explore custom holdings data. The first row should contain column headers.

📎

Click to upload CSV or drag and drop

Supports .csv files

📈

Chapter 3 — Performance & Analytics

CalSTRS total fund analytics, manager-level attribution, hit-rate analysis, risk-based performance, and operational risk oversight across investment programs.

💡
Key Insight: CalSTRS active small-cap equity has delivered 19.29% annualized vs benchmark 14.32%, generating +39.82% cumulative excess since inception. Style factor momentum contributed +3.65%, while the 80% hit rate in value markets underscores the strategy's edge.
⚡

Chapter 4 — Risk & Stress

Investment risk framework, operational risk management, currency exposure, and top holdings concentration across the total fund.

💡
Key Insight: All asset classes are within policy bands. The fund has significant international currency exposure, maintains top 25 domestic equity positions, and operates under a comprehensive operational risk & due diligence framework covering all investment programs.

⚡ Risk & Attribution Framework

The Performance Analytics team oversees risk analytics, performance attribution, and portfolio restrictions across the $396.7B total fund.

🛡️ Operational Risk & Due Diligence Framework

The Investment Operational Risk program ensures state/regulatory and policy compliance across all investment strategies and structures, covering public and private markets.

Operational Due Diligence
End-to-end ODD for external managers across all asset classes and structures
Controls & Compliance
Internal control frameworks, state/regulatory compliance monitoring, policy adherence
Risk Identification & Mitigation
Proactive risk identification, structured management plans across multiple asset classes
Middle Office Operations
Core operations & investment business services for internal and external programs

🌐 International Currency Exposure

Top currency positions (USD value, in thousands)

📊 Derivative Instruments Overview

Major derivative categories monitored

Interest Rate Futures
US Treasury 2Y, 5Y, 10Y, Long Bond, Ultra • Total notional: $4.97B
Equity Index Futures
S&P 500, MSCI EAFE, MSCI EM, TOPIX, KOSPI, FTSE
Total Return Swaps (TRS)
Extensive synthetic equity & fixed income positions
Credit Default Swaps (CDS)
USD and EUR denominated credit protection
Commodity Futures
Crude oil, natural gas, gold, silver, copper, agriculture
Currency Futures
EUR, JPY, CAD, AUD, CHF hedging positions
Carbon Credits
CA Carbon Allowances, CCA Vintage, ECX Emissions

🏗️ Top Domestic Equity Holdings

Top 25 positions by market value ($ in thousands)

#SecuritySharesMarket Value ($K)
🛡️

Chapter 5 — Governance & Research

ESG and climate strategy, data governance programs, data sources, and AI-powered research tools.

💡
Key Insight: CalSTRS targets Net Zero by 2050, with $2.9B in sustainable strategy investments. The Data Governance program ensures accurate, timely, and efficient reporting across all funds, while the Operational Risk program maintains compliance and due diligence across all investment structures.
Net Zero Target
2050
Or sooner
SISS Investments
$2.9B
Sustainable Strategy
Carbon Markets
Active
CA Carbon, ECX, CCA
ESG Reports
4+
Annual Publications

🌍 Climate & Sustainability Reports

🎯 ESG Integration in Performance Analytics

Carbon Exposure Tracking
Monitor and report on portfolio carbon emissions against net zero 2050 target. Active positions in CA Carbon Allowances ($376K), CCA Vintage 2026 ($1.2M), and ECX Emissions ($45K).
SISS Portfolio Performance
Track $2.9B in Sustainable Investment & Stewardship Strategies across public and private markets. Performance attribution for ESG-integrated strategies.
Diversity Manager Performance
Measure and report on emerging and diverse manager performance across Global Equity, Private Equity, Real Estate, Fixed Income, and Inflation Sensitive.
Climate Risk Analytics
Integrate climate scenario analysis into performance attribution. Assess transition and physical climate risks across all asset classes.

🛡️ Data Governance & Operational Risk

The Investment Branch maintains robust data governance and operational risk programs — ensuring accurate, timely, and efficient reporting and analysis across all CalSTRS funds while managing operational risk, controls, and due diligence frameworks for diverse investment strategies.

📐 Framework & Controls

  • Data management framework design
  • Internal control framework
  • Consistent integrated view of total fund
  • Performance & risk driver consistency
  • State/regulatory compliance

🔗 Collaboration & Integration

  • Enterprise data governance alignment
  • Data warehouse & AI strategy with IDTP
  • Global master custodian coordination
  • Investment consultant integration
  • Cross-division data standards

⚙️ Technology Transformation (20%)

  • Technology transformation strategy leadership
  • Service level agreements across divisions
  • Reduced operational risks via structured ODD
  • Improved internal controls & compliance monitoring
  • Increased efficiencies and capacity
  • Operational due diligence for external managers

📊 Data Coverage Summary

The data governance program covers all portfolio holdings across 9 investment categories:

5,000+
Domestic Equities
350+
Real Estate Holdings
200+
Limited Partnerships
500+
Derivative Instruments
39
International Currencies
50+
Cash Equivalents
🗺️

Strategy Roadmap

Investment Systems Modernization, Operational Risk & Data Program

🎯 Core Mission

CalSTRS is committed to modernizing its investment systems and data infrastructure to ensure secure, efficient, and transparent management of $396.7 billion in assets entrusted by California's educators. The Investment Systems Modernization Program aims to replace legacy platforms with scalable, cloud-ready architecture that supports real-time analytics, robust compliance, and data-driven decision-making.

"Modernizing our technology and data infrastructure is not merely an IT initiative — it is fundamental to fulfilling our fiduciary duty to California's 1 million+ educators and beneficiaries."

🛡️ Operational Risk & Middle-Office Vision

The Investment Operations & Services team delivers core middle-office operations and investment business services supporting internal and external investment programs across public and private markets. A cornerstone of this program is the establishment and maintenance of operational risk controls, compliance monitoring, and due diligence frameworks for diverse investment strategies and structures — ensuring state/regulatory and policy compliance across the entire $396.7 billion portfolio.

ODD
Operational Due Diligence for all external managers
7+
Asset classes under operational oversight
100%
Regulatory & policy compliance target
24/7
Continuous risk monitoring & controls

📋 Strategic Objectives

9 key objectives
Objective Guiding Questions
1. Strengthen Technology Foundation How do we modernize cloud infrastructure, harden cybersecurity, and automate disaster recovery for 24/7 fund operations?
2. Elevate Data as a Strategic Asset What governance frameworks and quality standards turn CalSTRS data into a trusted, auditable pipeline for investment decisions?
3. Enable Advanced Analytics & AI How do we deploy predictive models, NLP-driven research, and AI-assisted portfolio construction while maintaining compliance?
4. Automate Operations & Compliance Where can straight-through processing, automated reconciliation, and regulatory reporting free analyst capacity?
5. Enhance Stakeholder Transparency How do we deliver real-time dashboards, self-service reporting, and richer member communications?
6. Attract & Retain Top Talent What modern tools, training programs, and culture shifts keep CalSTRS competitive for investment and technology talent?
7. Deliver Measurable ROI How do we quantify cost savings, risk reduction, and performance gains to demonstrate program value to the board and beneficiaries?
8. Strengthen Operational Risk & Due Diligence How do we establish comprehensive ODD frameworks, proactively identify and mitigate operational risks across all asset classes, and ensure state/regulatory compliance?
9. Modernize Middle-Office Operations How do we transform core middle-office operations and investment business services to support both internal and external programs across public and private markets?

⚠️ Challenges & Opportunities

A balanced assessment of domain-specific and cross-cutting modernization challenges facing CalSTRS — each paired with the strategic opportunity it unlocks.

🔍 Detailed Challenge / Opportunity Matrix

15+ areas
Area Challenge Opportunity Motivation
Front Office Systems Legacy portfolio management and order management systems limit real-time analytics Replace with modern, cloud-based platforms integrated with real-time market data Faster, better-informed investment decisions across $396.7B
Operational Systems Manual trade processing, reconciliation bottlenecks, custodian integration gaps Automated trade execution, STP confirmation, enhanced exception management Reduce operational risk and settlement failures
Data Management Fragmented data silos, inconsistent quality, duplicated sources across divisions Centralized data warehouse/lake with governance policies and quality controls Single source of truth for investment data
Regulatory Compliance Evolving state and federal regulations, manual compliance tracking Automated regulatory reporting framework, real-time compliance monitoring Fiduciary protection for 1M+ beneficiaries
Performance Measurement Limited attribution analysis, delayed performance reporting to the Board Advanced attribution methodologies integrated with risk and investment data Actionable performance insights for asset allocation
Third-Party Integration Disparate vendor interfaces, bespoke file formats, limited API adoption Industry-standard APIs, data mapping standards, secure data exchange Streamlined external manager and custodian connectivity
Talent & Retention Legacy skills scarcity, competition with private-sector compensation Modernize tools, upskill teams, create innovative culture to retain talent Build sustainable internal technical capability
Client / Board Reporting Static reports, manual generation, limited self-service for board members Automated report generation, interactive dashboards, online access Faster, richer transparency for fiduciaries and educators
Security Vulnerabilities Aging infrastructure with unpatched components, limited threat detection Comprehensive cybersecurity program: assessments, patching, advanced detection Protect member data and fund assets
Scalability Legacy on-premise systems cannot scale with growing data volumes and user loads Cloud migration, cloud-native applications, elastic infrastructure Support fund growth and evolving investment strategies
Analytics Capabilities Limited BI tools for investment analytics, strategy backtesting, risk modeling Modern data warehouse, BI platforms, visualization dashboards Data-driven decision-making across all asset classes
Disaster Recovery Inadequate backup cadence, untested failover, extended RTO/RPO Robust DR/BC plans with redundant systems and regular drills Business continuity for pension operations
Member Experience Outdated portals, limited self-service, poor mobile support Modern UX, responsive design, mobile-first member portal Improved educator satisfaction and engagement
Operational Risk Management Fragmented ODD processes, inconsistent risk assessment across asset classes, reactive incident response Enterprise-wide operational risk framework with proactive identification, structured risk management plans, and automated monitoring Comprehensive risk oversight across all investment strategies and structures
Middle-Office Operations Manual workflows in trade support, cash management, and corporate actions; gaps in internal/external program service levels Modernized middle-office with STP, automated reconciliation, and unified business services for all investment programs Reduced operational losses, faster settlement, improved support across public & private markets
External Manager Oversight Inconsistent ODD standards, delayed manager reviews, limited visibility into sub-advisor operational controls Standardized ODD checklists, annual review cycles, risk-rated manager scoring, Investment Committee reporting Proactive risk reduction across 100+ external manager relationships

🔧 Implementation Approaches

13 action areas
Area Action Required Key Steps
Front Office Investment System Modernization Cloud-based platforms • real-time market data integration • enhanced risk & portfolio analytics
Operations Trade Processing Automation Automated execution & confirmation • clearing house integration • exception management
Data Data Management Platform Centralized data warehouse • cross-source integration • governance policies
Compliance Regulatory Framework Impact assessment • system updates/migration • compliance monitoring framework
Performance Enhanced Attribution Advanced attribution methods • investment & risk data integration • actionable insights
Integration API & Data Standards Industry-standard APIs • data mapping rules • security & privacy compliance
Talent Modernize & Upskill Modern tools & tech stack • innovation culture • competitive compensation
Reporting Client Reporting Automation Automated generation • performance system integration • online board access
Security Cybersecurity Enhancement Vulnerability assessment • patch management • advanced detection & staff training
Scalability Cloud Migration Cloud readiness assessment • phased migration plan • cloud-native applications
Analytics Modern Data Analytics Enterprise data warehouse • BI platforms • visualization dashboards
DR / BC Robust DR/BC Plans Redundant systems • regular drills • documented failover procedures
Member UX Modern Member Portal UX research • responsive web design • mobile-first self-service
Op Risk Operational Risk Framework Enterprise risk register • structured risk plans across asset classes • automated monitoring & escalation
ODD External Manager Due Diligence Standardized ODD checklists • risk-rated scoring • annual reviews • Investment Committee reporting
Middle Office Operations Modernization STP trade support • automated reconciliation • corporate actions • cash management automation

💡 Strategic Solution Pillars

Four interconnected solution areas forming the foundation of CalSTRS' modernization program.

Diversified Investments
Risk-adjusted returns through modern analytics, alternative asset integration, and global diversification across $396.7B.
Compliance Programs
Automated regulatory monitoring, real-time breach detection, and audit-ready reporting to protect CalSTRS fiduciary duty.
Technology Upgrades
Cloud migration, API-first architecture, Snowflake-based data warehouse, and AI/ML platforms for investment analytics.
Educator-Centric Services
Modern member portal, self-service tools, responsive design, and enhanced communication channels for 1M+ California educators.
Operational Risk & Due Diligence
Enterprise-wide operational risk management, ODD for external managers across all asset classes, structured risk plans, and state/regulatory compliance monitoring.
Middle-Office Operations
Core investment business services supporting internal & external programs: trade processing, settlement, reconciliation, and exception management across public & private markets.

🏗️ Data Architecture Vision

Target-state architecture 
┌────────────────────────────────────────────────────────────────┐
│                    CalSTRS DATA ECOSYSTEM                      │
├────────────────────────────────────────────────────────────────┤
│                                                                │
│  ┌──────────────┐   ┌──────────────┐   ┌──────────────┐       │
│  │  INVESTMENT   │   │  OPERATIONAL  │   │  EXTERNAL    │       │
│  │  SYSTEMS      │   │  SYSTEMS      │   │  DATA FEEDS  │       │
│  │  (PMS, OMS,   │   │  (Trading,    │   │  (Market,    │       │
│  │   Risk)       │   │   Accounting) │   │   Benchmark) │       │
│  └──────┬───────┘   └──────┬───────┘   └──────┬───────┘       │
│         │                  │                   │               │
│         ▼                  ▼                   ▼               │
│  ┌─────────────────────────────────────────────────────┐       │
│  │              DATA INTEGRATION LAYER                  │       │
│  │       (APIs · ETL · Real-time Streaming)             │       │
│  └──────────────────────┬──────────────────────────────┘       │
│                         ▼                                      │
│  ┌─────────────────────────────────────────────────────┐       │
│  │              ENTERPRISE DATA WAREHOUSE               │       │
│  │                   (Snowflake)                        │       │
│  │   ┌─────────┐  ┌──────────┐  ┌──────────────┐      │       │
│  │   │ Raw Zone│  │Curated   │  │ Analytics    │      │       │
│  │   │ (Bronze)│→ │Zone      │→ │ Zone (Gold)  │      │       │
│  │   │         │  │(Silver)  │  │              │      │       │
│  │   └─────────┘  └──────────┘  └──────────────┘      │       │
│  └──────────────────────┬──────────────────────────────┘       │
│                         ▼                                      │
│  ┌──────────────┐  ┌──────────────┐  ┌──────────────┐         │
│  │ ANALYTICS &  │  │ COMPLIANCE   │  │ REPORTING &  │         │
│  │ AI / ML      │  │ & AUDIT      │  │ DASHBOARDS   │         │
│  │ (Predictive, │  │ (Reg Monitor,│  │ (Board,      │         │
│  │  NLP, LLMs)  │  │  Alerts)     │  │  Self-serve) │         │
│  └──────────────┘  └──────────────┘  └──────────────┘         │
│                                                                │
│  ┌─────────────────────────────────────────────────────┐       │
│  │              DATA GOVERNANCE LAYER                   │       │
│  │   Stewardship · Quality · Security · Lineage        │       │
│  └─────────────────────────────────────────────────────┘       │
└────────────────────────────────────────────────────────────────┘

🏛️ Data Governance Framework

Policies, stewardship, quality

Core Pillars

  • Data Stewardship: Every dataset has an identified owner, custodian, and quality SLA
  • Data Quality: Automated profiling, validation rules, and anomaly detection on ingestion
  • Data Security: Role-based access, encryption at rest/transit, audit logging
  • Data Lineage: End-to-end traceability from source through transformations to report
  • Metadata Management: Business glossary, data catalog, and impact analysis

Governance Bodies

  • Data Governance Council: CIO + division heads set policy and resolve escalations
  • Data Stewards Committee: Domain experts maintain quality standards per asset class
  • Architecture Review Board: Ensures new systems conform to target-state architecture
  • Security & Compliance Team: Monitors access patterns, regulatory changes, and breach response

📊 Key Performance Indicators & Maturity Models

Metrics to track CalSTRS modernization progress, data quality, and business alignment.

📈 Data Quality & Operational KPIs

8 metrics
Data Accuracy Rate
≥ 98%
Percentage of records matching validated source
Data Completeness
≥ 95%
Required fields populated across all datasets
Data Timeliness
≤ 15 min
Avg latency from source event to warehouse
Report Delivery
≥ 95%
Reports delivered within required time frame
Cost Efficiency
-10%/yr
Annual reduction through data automation
Employee Productivity
+20%
Time saved via improved data accessibility
Decision Accuracy
+30%
Improvement using data-backed strategies
System Uptime
99.9%
Target availability for critical investment systems

Operational Risk & Due Diligence KPIs

ODD Completion Rate
100%
External managers assessed before onboarding
Control Exceptions
≤ 5/qtr
Max unresolved control exceptions per quarter
Regulatory Compliance
100%
State/federal compliance adherence rate
Risk Remediation
≤ 30 days
Avg time to resolve identified operational risks
Settlement Fail Rate
≤ 0.1%
Trade settlement failure target
Incident Response
≤ 4 hrs
Critical operational incident response time
Annual ODD Reviews
100%
All external managers reviewed annually
Board Reporting
Quarterly
Op-risk reports delivered to Investment Committee

🪜 Maturity Models

3 frameworks

Capability Maturity Model (CMM)

Level 1
Initial — Ad hoc, reactive
Level 2
Managed — Project-specific controls
Level 3
Defined — Standardized processes
Level 4
Quantitative — Metrics-driven
Level 5
Optimizing — Continuous improvement

Data Management Maturity Model (DMMM)

Stage 1
Ad hoc data practices
Stage 2
Some processes, not standardized
Stage 3
Defined & documented
Stage 4
Measured & monitored
Stage 5
Continuously optimized

Business Intelligence Maturity Model

Stage 1
Descriptive Analytics
Stage 2
Diagnostic Analytics
Stage 3
Predictive Analytics
Stage 4
Prescriptive Analytics
Stage 5
Cognitive / AI Analytics

🏆 Technology Transformation Case Studies

Real-world modernization outcomes at large institutional investors — demonstrating the value CalSTRS can unlock.

📌 Case 1 — Global Investment Firm: Digital Transformation & AI Integration

$500K savings · 5 AI apps
Context: Global investment management firm requiring comprehensive digital transformation and AI integration across operations.
Challenges:
  • Stagnant technology roadmap hindering growth
  • Inefficient data processing and high operational costs
  • Limited cross-departmental collaboration
  • Legacy systems impacting scalability
Solution:
  • Comprehensive top-down / bottom-up analysis approach
  • Trackable adoption framework for product definition
  • Five full-stack AI applications deployed
  • Modern data lake and warehouse architecture
  • 30+ member global team across multiple time zones
Annual Cost Savings
$500K
AI Applications Delivered
5
Team Members Led
30+

📌 Case 2 — Public Pension Fund: Infrastructure Modernization

$5M savings · 14% data quality ↑
Context: Major public pension fund requiring modernization of technology infrastructure and data capabilities.
Challenges:
  • Fragmented data systems affecting decision-making
  • High manual intervention in processes
  • Security and compliance concerns
  • Team capability gaps
Solution:
  • Enterprise data management framework established
  • Snowflake-based architecture implemented
  • Consolidated 267 databases and 326 reports
  • Comprehensive security framework created
  • Training and retention programs developed
Data Quality Improvement
+14%
Cost Savings
$5M
Team Turnover Rate
3%

📌 Case 3 — Global Investment Firm: Advanced Analytics & AI

$15B growth · 12% innovation
Context: Global investment firm seeking to enhance investment processes through advanced analytics and AI.
Challenges:
  • Need for advanced analytics in investment decisions
  • Complex data integration requirements
  • High vendor costs and dependencies
  • Innovation program needed structure
Solution:
  • AI-driven investment analytics platform developed
  • Portfolio optimization algorithms implemented
  • Automated marketing analytics system created
  • Innovation program with 12% pilot conversion rate
  • Blockchain deployment and vendor evaluation led
Asset Growth
$15B
Efficiency Increase
+10%
Innovation Success Rate
12%

🛡️ Investment Operational Risk Program

A comprehensive framework for managing operational risk, conducting operational due diligence, and ensuring state/regulatory compliance across all CalSTRS investment strategies and structures.

🔍 Operational Risk Framework Architecture

5 pillars 
┌──────────────────────────────────────────────────────────────────┐
│            CalSTRS OPERATIONAL RISK FRAMEWORK                    │
├──────────────────────────────────────────────────────────────────┤
│                                                                  │
│  ┌────────────────────────────────────────────────────────┐      │
│  │              GOVERNANCE & OVERSIGHT                     │      │
│  │   Investment Committee · Senior Staff · Board Reporting │      │
│  └────────────────────────┬───────────────────────────────┘      │
│                           ▼                                      │
│  ┌──────────┐  ┌──────────────┐  ┌──────────┐  ┌──────────┐    │
│  │  RISK    │  │     ODD      │  │ CONTROLS │  │ MIDDLE   │    │
│  │  IDENT.  │  │   PROGRAM    │  │ & COMP.  │  │ OFFICE   │    │
│  │          │  │              │  │          │  │          │    │
│  │ Proactive│  │ External Mgr │  │ State &  │  │ Trade    │    │
│  │ scanning │  │ assessments  │  │ federal  │  │ support, │    │
│  │ across   │  │ across all   │  │ compliance│  │ recon,   │    │
│  │ all asset│  │ asset classes│  │ monitoring│  │ settle-  │    │
│  │ classes  │  │ & structures │  │ & testing │  │ ment     │    │
│  └─────┬────┘  └──────┬───────┘  └─────┬────┘  └────┬─────┘    │
│        │              │                │             │           │
│        ▼              ▼                ▼             ▼           │
│  ┌────────────────────────────────────────────────────────┐      │
│  │           ENTERPRISE RISK REGISTER                      │      │
│  │   Risk-rated scoring · Trend analysis · Dashboards      │      │
│  └────────────────────────────────────────────────────────┘      │
│                                                                  │
│  ┌────────────────────────────────────────────────────────┐      │
│  │           REPORTING & ESCALATION                        │      │
│  │   Quarterly IC Reports · Board Updates · Incident Mgmt  │      │
│  └────────────────────────────────────────────────────────┘      │
└──────────────────────────────────────────────────────────────────┘

📋 Operational Due Diligence (ODD) Program

External manager assessment lifecycle

End-to-end operational due diligence for external managers across all asset classes and structures — supporting both initial onboarding and ongoing monitoring.

1. Pre-Investment Assessment
  • Organizational structure & key personnel review
  • Regulatory registrations & compliance history
  • Technology infrastructure & cybersecurity posture
  • Valuation methodology & NAV controls
2. Ongoing Monitoring
  • Annual operational risk reviews
  • Key person & organizational change tracking
  • Regulatory examination & audit follow-up
  • Service provider & sub-advisor oversight
3. Risk Rating & Reporting
  • Risk-scored manager profiles
  • Issue tracking & remediation timelines
  • Investment Committee reporting
  • Board-level risk dashboards

⚙️ Middle-Office Operations Target Model

Core investment services

The Investment Operations & Services team delivers core middle-office operations and investment business services supporting internal and external investment programs across public and private markets.

Public Markets Operations

  • Trade Support: STP confirmation, matching, and exception management
  • Settlement: Multi-currency settlement with custodian integration
  • Reconciliation: Daily position and cash reconciliation across brokers and custodians
  • Corporate Actions: Automated election processing and income collection
  • Collateral Management: Margin calls, pledging, and substitution workflows

Private Markets Operations

  • Capital Calls: Processing, funding, and tracking across LP commitments
  • Distributions: Waterfall calculations, return of capital, and carried interest
  • Valuations: NAV review, valuation committee support, and fair value oversight
  • Legal Entity Management: SPV structures, co-investments, and fund-of-funds
  • Reporting: Quarterly LP reporting, ILPA compliance, and performance attribution

🏛️ Regulatory & Policy Compliance

State & federal frameworks

Ensuring all investment operations maintain compliance with applicable state and federal regulations, CalSTRS investment policy, and fiduciary standards.

California State Regulations
CalSTRS Act, Government Code, State Administrative Manual compliance
Investment Policy Adherence
IPS restrictions, asset class guidelines, and portfolio limits monitoring
Fiduciary Standards
Prudent investor rule, sole benefit requirement, and cost-effectiveness
Conflict of Interest
Political Reform Act, Form 700, personal trading program oversight
Audit & Examination
Internal audit coordination, state controller reviews, external audit support
Incident Management
Operational loss events, near-miss tracking, root cause analysis, remediation

🪜 Operational Risk Maturity Model

5-stage progression
Level 1
Reactive — Ad hoc incident response, no formal framework
Level 2
Emerging — Basic ODD checklists, some manager reviews
Level 3
Defined — Formal ODD program, risk register, compliance monitoring
Level 4
Integrated — Automated monitoring, risk-rated scoring, IC reporting
Level 5
Optimized — Predictive risk analytics, continuous improvement, best-in-class
Target State for CalSTRS: Level 4–5 within 24 months — achieving integrated operational risk oversight with automated monitoring, comprehensive ODD coverage, and predictive risk intelligence across all $396.7B in assets.

🗺️ Data Program Roadmap

A phased approach aligned to CalSTRS business objectives — from discovery through continuous optimization.

🔍 Phase 1 — Discover: Objectives, Challenges & Opportunities

Assessment & alignment

Conduct a comprehensive assessment of current investment systems, data flows, and organizational processes. Identify pain points, redundancies, and opportunities for improvement.

Expected Outcomes

  • Clear understanding of current-state systems and processes
  • Identification of key pain points and inefficiencies across all divisions
  • Alignment of data program goals with CalSTRS business objectives
  • Prioritized roadmap for modernization and optimization
  • Baseline operational risk assessment across all asset classes and investment structures
  • Gap analysis of current ODD processes, controls, and compliance posture
  • Inventory of external manager operational risk profiles and review cadences

📐 Phase 2 — Design: Iterative Analysis & Role Alignment

Architecture & governance

Define target-state architecture, align roles, responsibilities, and objectives to outcomes, and establish governance frameworks.

Expected Outcomes

  • Target-state data architecture documented and approved
  • Data governance policies, stewardship model, and quality SLAs defined
  • Roles and responsibilities mapped to each modernization workstream
  • Technology vendor evaluation and selection criteria established
  • Operational risk framework designed: enterprise risk register, risk appetite statements, and escalation protocols
  • Standardized ODD methodology and checklists for external manager assessments across all asset classes
  • Middle-office target operating model defined: STP workflows, reconciliation automation, and service level agreements
  • Regulatory compliance monitoring architecture aligned with state and federal requirements

🚀 Phase 3 — Deliver: Implementation & Continuous Assessment

Build, deploy, iterate

Execute phased migration, implement new systems, and establish feedback loops for continuous assessment and improvement.

Expected Outcomes

Data & Systems

  • Improved data quality and consistency
  • Enhanced data security and regulatory compliance
  • Modern, scalable, and secure investment systems
  • Streamlined data integration and interoperability
  • Reduction in data redundancy and inconsistencies

Operations & People

  • Streamlined workflows and reduced manual processing
  • Increased self-service reporting capabilities
  • Enhanced analytics and visualization tools
  • Higher adoption rates for new systems
  • Empowered employees leveraging data for decisions

Operational Risk & Due Diligence

  • Fully operational ODD program with 100% coverage of external managers
  • Proactive operational risk identification and structured mitigation plans across all asset classes
  • Automated compliance monitoring with real-time state/regulatory alerts
  • Quarterly operational risk reporting to the Investment Committee and Senior Investment Staff
  • Modernized middle-office with STP trade support, automated reconciliation, and improved settlement rates
  • Enterprise risk register with risk-rated scoring, trend analysis, and board-ready dashboards

✅ Roadmap Summary

This strategic roadmap provides a comprehensive, phased approach to modernizing CalSTRS' investment data infrastructure and aligning it with business objectives. By leveraging KPIs, maturity models, and industry best practices, CalSTRS can set the stage for continuous improvement — positioning the fund for operational excellence, advanced analytics, and innovative service delivery to California's educators.

Ali El-Annan

Modernizing Investment Data & Analytics:
Driving Accountability, Delivering Systems for Performance Excellence.

Technology systems and infrastructure I've built enabled billions+ in AUM expansion and millions in revenue growth, $5M+ operational efficiencies, 77% faster model deployment, and platform scaling from 300 to 1,300+ users across Capital Group, BlackRock, Barclays, SWIB, and LendingClub.

$15B+
Growth Enabled
77%
Systems Acceleration
$5M+
Cost Optimization
4×
Platform Scaling
99.99%
System Uptime
20%
Fewer Defects
Section 1
Leadership & Organizational Transformation
Built platforms that scaled staff 4× and doubled users, drove millions in savings via in-house capabilities, and advanced data-driven innovation.
Section 2
Enterprise System Delivery at Scale
Systems I architected enabled $17B in trading flow, accelerated model delivery 77%, and reduced production defects 20%.
Section 3
Enterprise Impact & Tangible Results
Data architecture enabled $15B+ asset growth, 22% client retention improvement, and innovation pipeline with 12% pilot conversion.
Section 4
Transformation Approach
Board-ready plan to deliver immediate impact and long-term transformation: Stabilize, Optimize, Transform.

Leadership & Organizational Transformation

Built platforms and systems that scaled staff 4× and doubled users at LendingClub, drove millions in cost savings at SWIB via in-house capabilities, led blockchain/AI innovation at Capital Group, and delivered enterprise analytics platforms at BlackRock and Barclays. My leadership approach centers on accountability, transparency, and measurable outcomes.

Performance & Analytics Leadership

Investment Performance Oversight
Led performance analytics, attribution, and governance for multi-billion dollar investment branches including GIPS compliance and benchmark management.
Data-Driven Decision Making
Developed attribution and analytical reporting frameworks for CIO, total fund, and risk advisory committees — delivering actionable, representative performance insights.
Cross-Functional Alignment
Coordinated with investment consultants, global custodians, and IT partners to ensure data integrity across all reporting systems.

Stakeholder Management

Board & Executive Reporting
Designed and delivered board-ready performance reports, interactive dashboards, and self-service analytics for senior leadership and fiduciaries.
Vendor & Partner Ecosystem
Managed relationships with data vendors, technology partners, and external managers — optimizing SLAs and reducing costs by 12%.
Team Development
Built and mentored high-performing analytics teams, implementing modern tools and training programs to retain top talent in competitive markets.

Institutional Experience

Key roles across sectors
Institution Sector Relevance to CalSTRS
Capital Group Investment Management Data architecture enabled $15B+ asset growth; innovation pipeline from 153 sourced startups with 12% pilot conversion
SWIB (State of WI Investment Board) Public Pension Enterprise systems enabled $17B trading flow; in-house capabilities drove millions in cost savings
LendingClub Fintech Platform reliability supporting 22% client retention; scaled staff 4× and doubled users
BlackRock Asset Management Enterprise analytics platforms supporting portfolio risk management and performance reporting across $10T+ AUM
Barclays Investment Banking Trading & risk analytics infrastructure, real-time data pipelines for fixed income and equities
Capital Group Blockchain / AI Innovation Led blockchain/AI consortium initiative; advanced emerging technology adoption across investment management

Enterprise System Delivery at Scale

Enterprise systems I architected enabled $17B in trading flow at SWIB, supported multi-billion product launches at Capital Group, delivered enterprise analytics at BlackRock and Barclays, and accelerated model delivery by 77% while reducing production defects 20%.

$17B
Trading Flow Enabled
77%
Faster Delivery
20%
Defect Reduction

Systems & Platforms Built

Portfolio Management Systems
Cloud-based platforms with real-time market data integration and enhanced risk analytics
Performance Attribution Engines
Multi-factor attribution, RBPA decomposition, and benchmark-relative analytics
Data Warehouse & Analytics
Centralized data lake architecture with governance policies and quality controls
Automated Compliance & Reporting
Real-time regulatory monitoring, automated report generation, audit-ready frameworks
AI / ML Analytics Platforms
Predictive models, NLP-driven research tools, and AI-assisted portfolio construction

Infrastructure Modernization

Cloud infrastructure modernization reduced costs while enabling scale capacity and operational excellence.

12%
Server Cost Reduction
While enabling 2× scale
50%
Operational Risk
Halved via automation
99.99%
System Uptime
Continuous operations
2×
Scale Capacity
Cloud-enabled expansion

Enterprise Impact & Tangible Results

Data architecture and optimization systems I designed enabled $15B+ asset growth at Capital Group, enterprise analytics at BlackRock and Barclays, platform reliability supporting 22% client retention at LendingClub, and an innovation pipeline generating 12% pilot conversion from 153 sourced startups.

Impact by Institution

Institution Impact Area Metric Description
Capital Group Asset Growth $15B+ Data architecture enabling rapid AUM expansion
Capital Group Innovation Pipeline 153 → 12% Startups sourced with 12% pilot conversion rate
SWIB Trading Flow $17B Enterprise systems supporting trading operations
SWIB Cost Savings $5M+ In-house capabilities replacing outsourced services
LendingClub Client Retention 22% Platform reliability driving retention improvement
LendingClub Platform Scaling 4× Staff scaled 300 → 1,300+ users
BlackRock Enterprise Analytics $10T+ Analytics platforms supporting portfolio risk & performance across world’s largest asset manager
Barclays Trading Infrastructure Global Real-time trading & risk analytics pipelines for fixed income and equities divisions

Relevance to CalSTRS Investment Data, Analytics & Operations Roles

Direct mapping of demonstrated capabilities to CalSTRS role responsibilities across data analytics and operational risk.

Performance & Analytics 35% of Role
Multi-factor attribution, RBPA, GIPS compliance, and CIO-level reporting across $396.7B — directly parallels work leading performance analytics at SWIB and Capital Group.
Data Governance 25% of Role
Data management frameworks, quality controls, and enterprise governance — maps to centralized data warehouse architecture and governance work across institutions.
Technology Transformation 20% of Role
Cloud migration, API-first architecture, and modern analytics platforms — directly demonstrated through 77% faster deployment and 99.99% uptime achievements.
Operational Risk & Due Diligence Ops Risk Role
Operational risk management, ODD oversight, regulatory compliance, and internal controls — proven via risk reduction frameworks at SWIB, BlackRock, and LendingClub across public & private markets.
Stakeholder Leadership 20% of Role
Board reporting, cross-division alignment, vendor management — proven across pension, investment management, and fintech environments.

Transformation Methodology: Stabilize → Optimize → Transform

A board-ready plan to deliver immediate impact and long-term transformation. Proven across pension funds, investment managers, and fintechs — this phased approach ensures continuity while driving measurable modernization.

PHASE 1

Stabilize

Months 1–6 — Immediate value, quick wins
  • Audit current data pipelines & systems
  • Fix critical data quality issues
  • Establish baseline performance metrics
  • Assess operational risk & controls landscape
  • Document existing processes & gaps
  • Quick-win automation opportunities
  • Build stakeholder trust & alignment
PHASE 2

Optimize

Months 6–18 — Systematic improvement
  • Implement data governance framework
  • Automate performance reporting
  • Enhance attribution methodologies
  • Integrate risk & performance systems
  • Formalize operational due diligence program
  • Modernize vendor integrations (APIs)
  • Train & upskill analytics team
PHASE 3

Transform

Months 18–36 — Innovation & excellence
  • Cloud-native analytics platform
  • AI/ML-powered investment insights
  • Real-time interactive dashboards
  • Advanced scenario & stress testing
  • Predictive operational risk analytics
  • Self-service analytics for stakeholders
  • Continuous improvement culture

Why This Approach Works for CalSTRS

CalSTRS manages $396.7 billion for 1M+ California educators. The stakes demand a transformation approach that delivers immediate reliability while building toward long-term innovation. This phased methodology has been proven across SWIB (public pension), Capital Group (investment management), BlackRock (asset management), Barclays (investment banking), and LendingClub (fintech) — environments with similar scale, complexity, and fiduciary responsibility.

Critically, this approach integrates operational risk management from day one — operational due diligence, controls testing, and compliance monitoring are embedded in each phase rather than bolted on after the fact. The middle-office operations modernization runs in parallel with data and analytics transformation, ensuring that investment business services keep pace with front-office capabilities across all asset classes and structures.

✓
Zero Disruption
Phased rollout protects operations
✓
Measurable KPIs
Each phase has clear success metrics
✓
Board Confidence
Quick wins build trust early
✓
Proven at Scale
Tested across $50B+ institutions

📐 CalSTRS Total Fund Analytics — Recalculated from Primary Holdings Data

Total Fund: $396.7B  |  Asset Allocation As Of: January 31, 2026  |  Holdings As Of: June 30, 2025  |  Source: performanceDataPrimary.txt

⚠ All metrics below are derived/calculated from publicly available CalSTRS holdings and allocation data — not from external manager reports.

Total Fund AUM
$396.7B
Largest educator-only pension
Asset Classes
9
Effective # (HHI): 4.12
Total Active Alloc. Dev.
12.00%
Sum |Actual − Target|
PE IRR (Inception)
13.16%
As of June 30, 2025
Top 10 Equity Conc.
10.2%
of $168.0B Public Equity
Largest Holding
MSFT
$5.71B (3.40% of Pub. Eq.)
IR Futures Notional
$4.97B
9.9% of Fixed Income
Liquidity Ratio
1.13%
Cash $4.47B vs 2% target

📊 Asset Allocation: Actual vs Target

Asset ClassMarket ValueActual %Target %Active WtRangeIn Range?
Public Equity$167,957M42.33%39.00%+3.33%±8%✓
Private Equity$57,130M14.40%14.00%+0.40%±5%✓
Fixed Income$50,028M12.61%13.00%-0.39%±5%✓
Real Estate$49,180M12.40%15.00%-2.60%±5%✓
Risk Mitigating Strat.$31,277M7.88%10.00%-2.12%±5%✓
Inflation Sensitive$27,675M6.98%7.00%-0.02%±5%✓
Collaborative Strat.$6,627M1.67%0.00%+1.67%0–5%✓
Cash / Liquidity$4,465M1.13%2.00%-0.87%0–5%✓
Strategic Overlay$2,396M0.60%0.00%+0.60%——

Active Allocation Weights (Actual − Target)

🧮 Allocation Risk Decomposition

Herfindahl Index (HHI)
2,427
of 10,000 (moderate concentration)
Effective # of Classes
4.12
1/HHI × 10,000
Total Abs. Active Weight
12.00%
Sum of |deviations|
Classes Within Range
8 / 8
100% compliant

Largest Allocation Deviations

Public Equity — overweight +3.33%
Real Estate — underweight -2.60%
Risk Mitigating Strat. — underweight -2.12%
Collaborative Strat. — overweight +1.67%

🏛️ Top 25 Domestic Equity Holdings (As of 6/30/2025)

Public Equity Total: $167,957M  |  Top 25 = $22,454M (13.37% of Public Equity, 5.66% of Total Fund)

Top 5 Concentration
7.99%
of Public Equity
Top 10 Concentration
10.19%
of Public Equity
Top 25 Concentration
13.37%
of Public Equity
Largest Single Position
3.40%
Microsoft Corp
#SecurityMarket Value ($M)Shares% of Pub. Eq.% of Total Fund
1Microsoft Corp$5,705.311,470,0403.40%1.44%
2Meta Platforms Inc$2,646.13,585,0671.58%0.67%
3Broadcom Inc$1,947.07,063,3511.16%0.49%
4Alphabet Inc (Cl A)$1,682.69,547,9631.00%0.42%
5Tesla Inc$1,443.94,545,4550.86%0.36%
6Alphabet Inc (Cl C)$1,359.67,664,5160.81%0.34%
7Costco Wholesale$703.6710,7410.42%0.18%
8Procter & Gamble$608.13,816,9290.36%0.15%
9Bank of America$542.411,462,4950.32%0.14%
10Coca-Cola Co$480.96,797,5100.29%0.12%
11Palantir Technologies$464.13,404,4190.28%0.12%
12UnitedHealth Group$456.01,461,5450.27%0.11%
13IBM Corp$436.31,480,0970.26%0.11%
14General Electric$429.91,670,0440.26%0.11%
15Salesforce Inc$417.41,530,8350.25%0.11%
16Wells Fargo & Co$413.65,162,5210.25%0.10%
17Booking Holdings$372.564,3420.22%0.09%
18Intuit Inc$360.9458,1510.21%0.09%
19Advanced Micro Devices$355.52,505,0280.21%0.09%
20ServiceNow Inc$337.6328,4080.20%0.09%
21Adobe Inc$318.6823,5010.19%0.08%
22Qualcomm Inc$312.61,962,9130.19%0.08%
23PepsiCo Inc$312.42,365,9300.19%0.08%
24Intuitive Surgical$304.7560,7800.18%0.08%
25Darden Restaurants$42.4194,5930.03%0.01%

📈 Limited Partnership Strategy Decomposition

RMS Allocation: $31,277M  |  Key LP strategies by AUM (excl. RE & PE)

StrategyAUM ($M)CountAvg Size ($M)
Trend Following$9,6566$1,609
Macro Strategies$4,2156$702
Real Assets / Infra Energy$2,8583$953
Systematic Risk Premia$2,3113$770
Other / Multi-Strategy$3,4595$692

🏢 Real Estate Portfolio Concentration

Total RE: $49,180M  |  Top 10 = $8,579M (17.4%)

HoldingValue ($M)% of RE
CenterCal LLC Core$1,614.13.28%
Blackstone PP Europe$1,097.12.23%
Fairfield CHF Core$992.52.02%
LCOR Project Platform$911.11.85%
Lion Industrial Trust$798.81.62%
Fairfield AHF Core$644.41.31%
3650 CAL Bridge Lending$635.41.29%
Pancal Portfolio LLC$621.71.26%
SIF Sidecar A$600.71.22%
P FC1 Core$564.01.15%

⚡ Derivative Overlay & Leverage Analysis

Major derivative notional exposures as of 6/30/2025. Derivatives used for hedging, rebalancing, and synthetic exposure.

IR Futures Notional
$4,966M
9.9% of Fixed Income
Carbon Positions
$1.6M
CCA + ECX Emissions
Swap Collateral
$143M
Across 6 counterparties

Interest Rate Futures Breakdown

ContractNotional ($M)% of IR Futures
US Ultra Bond (CBT)$1,954.239.3%
US 5-Year Note (CBT)$1,062.621.4%
US 2-Year Note (CBT)$919.218.5%
US Long Bond (CBT)$464.69.4%
US 10-Year Ultra Fut$429.58.6%
US 10-Year Note (CBT)$136.22.7%

Swap Counterparty Exposure

CounterpartyCollateral ($M)% of Total
Morgan Stanley$48.533.9%
BNP Paribas$31.522.0%
State Street Bank$21.415.0%
Goldman Sachs$19.913.9%
RBC (Canada)$11.98.3%
Societe Generale$9.96.9%

💱 FX Position Exposure by Region

Currency overlay positions (USD equivalent, spot + forwards), as of 6/30/2025

Region / CurrencyUSD Value ($K)% of FX Book
Europe ($111.6M net)
  EUR$71,86431.3%
  GBP$27,13911.8%
  CHF + Nordics + CEE$12,5575.5%
Asia-Pacific ($96.6M net)
  JPY$56,55724.6%
  HKD$13,7766.0%
  KRW + AUD + Others$26,22711.4%
Americas ($20.2M net)
  CAD$12,6415.5%
  BRL + MXN + Others$7,5213.3%
China (Net $5.4M)
  CNY Onshore-$235,035—
  CNY Offshore+$240,468—
USD Hedge ($-122.1M)
  USD Net-$122,072—

🌍 Currency Region Allocation

FX overlay positions (positive exposure only, $229M total across 40 currencies)

Key FX Observations

CNY Basis Trade: Long $240.5M CNH (offshore) / Short $235.0M CNY (onshore) — net $5.4M carry position
USD Short: -$122.1M reflects international equity FX overlay / hedging activity
Top 3 Longs: EUR ($71.9M), JPY ($56.6M), GBP ($27.1M) — developed market bias
EM Exposure: Broad but small: 22 EM currencies totaling ~$32M net

🛡️ Derived Risk Indicators Dashboard

Computed from holdings data — these are structural/positioning risk metrics, not return-based risk measures.

SAA Compliance
100%
All classes within range
Liquidity Buffer
Low
1.13% vs 2.00% target
Illiquid Assets
28.47%
PE + RE = $106.3B
IR Futures / FI
9.93%
Duration overlay intensity
Top 10 Eq. Conc.
10.19%
of Public Equity
Swap Counterparties
6
$143M total collateral
FX Gross Exposure
$229M
40 currencies (excl. offsets)
PE IRR (Inception)
13.16%
$57.1B deployed

💵 Cash & Liquidity Components

Cash Equivalents breakdown (6/30/2025). Note: Reverse repos are collateralized borrowings.

CategoryValue ($K)Direction
Deposits & Repos (Positive)
BNP Paribas Repo$56,100+
Surplus Money Investment Fund$43,608+
Barclays Capital Repo$37,400+
State Street Bank & Trust$12,903+
Reverse Repos (Borrowing)
Goldman Sachs-$1,649,959−
Bank of America-$251,881−
Citigroup-$300,000−

📋 Commercial Paper Holdings

Short-term investment grade corporate obligations (6/30/2025)

AbbVie Inc Air Lease Corp Alimentation Couche-Tard Canadian Natural Resources CBRE Services Crown Castle CVS Corporation Dominion Resources Enbridge Equifax Harley-Davidson Holcim Finance Intercontinental Exch. Jones Lang LaSalle Mondelez Intl. NextEra Energy ONEOK RTX Corp Volkswagen Group

🏗️ Infrastructure LP Portfolio

Key infrastructure partnerships within LP & Inflation Sensitive allocations (6/30/2025)

Partner / FundValue ($M)
IFM Global Infra (US) I A$565.6
Meridiam Infra N.A. (multiple)$309.7
Ardian Infrastructure IV–VI$334.6
ISQ Global Infra Fund III$209.6
Stonepeak Infra Fund II–IV$221.5
Partner / FundValue ($M)
IFM Australia Wholesale$243.3
Blackrock GEPIF I–III$193.2
Blackrock GIF 4$178.9
Basalt Infra Partners$169.3
Arevon Energy JV V$1,161.9

📂 Data Sources & Methodology

All analytics on this tab are recalculated from CalSTRS publicly available data in performanceDataPrimary.txt.

📄 Asset Allocation — As of January 31, 2026. Source: calstrs.com/investment-portfolio
📄 Holdings Data — As of June 30, 2025. Domestic equities, LPs, RE, derivatives, cash, FX
📄 PE Performance — IRR 13.16% since inception. As of June 30, 2025
🧮 Derived Metrics — HHI, concentration ratios, active weights, and risk indicators computed from raw holdings

🔬 CalSTRS Active Equity — Manager-Level Risk, Attribution & Performance Analytics

Portfolio: CalSTRS Active Small-Cap Equity  |  Benchmark: MSCI US Small Cap  |  Period: 6/30/2020 – 12/31/2024 (4 yrs, 7 mos)  |  Data: Monthly

All data sourced from CalSTRS publicly available investment reports and board disclosures.

Annualized Return
19.29%
vs Benchmark 14.32%
Excess Return
+4.98%
Ann. active return
Information Ratio
0.52
Tracking Error: 9.50%
Sharpe Ratio
0.67
Sortino: 1.34
Beta
1.11
Jensen's Alpha: 3.65%
Hit Rate (Total)
61.8%
34 of 55 months
Up Capture
111.8%
Down Capture: 43.2%
Cumulative Excess
+39.82%
Portfolio: 124.5% | Bench: 84.7%

📅 Performance by Year

YearPortfolioBenchmarkExcess
202037.80%40.51%-2.71%
202137.92%19.56%+18.36%
2022-13.18%-17.17%+3.99%
202322.54%18.44%+4.10%
202411.02%12.04%-1.02%

Annual Excess Returns

📊 Performance by Period

Inception: 1/31/03  |  Ann. Expected Ex. Ret: 2.0%  |  Ann. Expected T.E.: 4.0%

PeriodPortfolioB'markExcessT.E.I.R.
3-Month-2.62%-0.90%-3.52%—-0.17
YTD11.62%12.04%-1.02%6.19%-0.17
1-Year12.83%13.04%-1.02%6.19%0.23
2-Year16.64%7.50%+1.44%9.19%0.23
3-Year5.70%3.20%+2.50%9.14%0.27
5-Year12.27%9.34%+2.93%9.81%0.30
10-Year8.53%9.27%-0.73%8.26%-0.09
Inception14.67%11.16%+3.51%8.12%0.43
Pre-Invest13.48%10.34%+3.14%7.74%0.41
Invest Period19.29%14.32%+4.98%9.50%0.52

⚡ Risk-Adjusted Performance Summary

Information Ratio
0.52
Sharpe Ratio
0.67
Sortino Ratio
1.34
Treynor Ratio
0.15
M² Risk-Adj Perf
16.53%
Jensen's Alpha
3.65%
Beta
1.11
5% Historical VaR
-3.89%

Return Distribution Statistics

MetricPortfolioBenchmarkDifferenceExcess Return
Return (Ann.)19.29%14.32%+4.98%4.35%
Std Dev (Ann.)24.83%20.70%4.12%9.50%
Best Month+17.35%+16.63%7.81%7.81%
Worst Month-14.55%-9.47%-5.46%-5.46%
Best 12 Months+91.61%+64.47%—+19.68%
Worst 12 Months-18.10%-20.93%—-10.18%
Skewness0.530.19——
Kurtosis-0.31-0.42—1.00
Up Capture111.79%89.87%——
Down Capture-43.16%-40.64%——

📉 Total Risk & Beta (12-Month Trend)

As of 12/31/2024 — Predicted volatility and beta from risk model

DatePort Vol %Bench Vol %Beta
Jan 202423.0%20.0%1.07
Mar 202422.0%19.5%1.08
May 202420.0%19.0%0.93
Jul 202419.0%19.0%1.02
Sep 202421.0%19.5%0.99
Nov 202423.0%20.0%1.07

🎯 Active Risk (12-Month Trend)

Predicted Tracking Error and Active Share

DatePred. TE %Active Share %
Jan 20247.2%98.0%
Mar 20248.0%99.0%
May 20247.2%98.0%
Jul 20247.5%98.5%
Sep 20248.2%98.5%
Nov 20247.0%98.5%
Avg Active Share
98.4%
Near-complete differentiation
Avg Pred. TE
7.5%
vs 9.50% realized

📉 Drawdown Analysis & CUSUM

Largest Drawdown
-25.52%
Peak-to-Trough
Longest Drawdown
20
Months

Monitoring Signals

Trend Deviation No Active Signal
CUSUM Buffer 4.78%
CUSUM Value -4.51
R-Squared 86.26%
Avg Monthly Excess 0.44%

🌪️ Historical Event Performance

EventPortfolioBenchmarkExcess
GFC Rebound (3/09–4/10)+138.22%+81.17%+57.05%
Taper Tantrum (6/2013)-0.13%-0.84%+0.71%
Bear Stearns (11/07–3/08)-18.43%-16.19%-2.24%
Fed Tightening (10–12/18)-18.78%-0.84%-3.01%
Sovereign Debt (5–9/11)-28.54%-24.40%-4.14%
GFC (6/08–2/09)-52.91%-48.55%-4.36%

🔬 Risk-Based Performance Attribution (6-Month RBPA)

Benchmark-relative contribution by risk type, 6-month through 12/31/2024  |  Total Impact: -0.08%

Style
+3.08%
Stock Specific
-3.07%
Industries
-0.09%

🏢 Sector RBPA (6-Month)

Benchmark-relative contribution by sector (%)

🏦 Security RBPA (Top/Bottom 5)

Benchmark-relative contribution by security (%)

🏭 Industry RBPA (Top/Bottom 5)

📌 Top Security Active Weights & Risk

SecurityActive Wt%Risk Contrib%
Sterling Infrastructure6.77%20.02%
FTAI Aviation Ltd.5.72%13.54%
Flowserve Corporation4.63%—
Interface, Inc.4.18%5.65%
Frontdoor, Inc.4.08%—
SkyWest, Inc.—6.87%
Sally Beauty Holdings—6.04%

📊 Sector Tilts & Risk Contribution

SectorActive Wt%Risk Contrib%
Industrials+25.38%60.99%
Consumer Discretionary-12.34%25.01%
Materials—5.88%
Health Care-12.42%3.39%
Financials-17.71%-4.71%
Information Technology-10.67%—

🧮 Factor Risk (Top 10 Contributions)

FactorActive ExpRisk %σ-Event
Momentum0.4811.55%3.21
Earnings Yield0.416.04%3.40
US Machinery10.77%4.57%3.23
US Building Prod & Constr.6.07%3.07%3.36
Leverage0.552.53%6.27
Investment Quality0.572.36%5.27
US Biotechnology-4.73%2.07%5.62
US Regional Banks-7.20%1.99%8.96
US Consumer Services6.22%1.64%5.04
US Consumer Durables4.17%1.44%5.54

💎 Style Factor Impacts (6-mo RBPA)

Style FactorAvg Active ExpImpact %
Top 5
Momentum0.69+3.65%
Book-to-Price-0.18+0.45%
Long-Term Reversal-0.21+0.35%
Earnings Quality0.48+0.17%
Size-0.16+0.15%
Bottom 5
Earnings Yield0.43-1.16%
Profitability0.43-0.50%
Growth-0.13-0.18%
Dividend Yield-0.34-0.08%
Investment Quality0.52-0.05%

🏭 Industry Factor Impacts (6-mo RBPA)

IndustryAvg Active ExpImpact %
Top 5
US Biotechnology-5.00%+1.57%
US Airlines1.20%+0.69%
US Semiconductor Equip.-0.75%+0.40%
US Energy Equip & Svcs-0.90%+0.30%
US Semiconductors-1.73%+0.27%
Bottom 5
US Consumer Durables15.26%-1.76%
US Regional Banks-7.03%-1.07%
US Capital Markets-4.32%-0.66%
US IT Services & Software-6.14%-0.50%
US Diversified Financials-1.58%-0.40%

🏗️ Industry Tilts & Risk (Top 5 Active Weights)

IndustryActive Wt%Risk Contrib%
Commercial Svcs & Supplies+10.78%15.33%
Construction & Engineering+5.90%19.57%
Trading Companies & Distrib.+5.54%13.03%
Specialty Retail—7.05%
Hotels Restaurants & Leisure—7.01%
Largest Underweights
Banks-7.69%—
Software-6.06%—

🌡️ Extreme Event Sensitivity

Estimated active impact under historical stress scenarios (current exposure)

🌍 Macro Sensitivity Analysis

Estimated active impact (%) given annualized -2σ shock to macro variables, as of 12/31/2024

Equity Shocks

Commodity Shocks

Credit & FX Shocks

🎯 Hit Rate Analysis — US Market Environments

ConditionAvg Ex Ret (bps)Hit RateRecord
Overall43.761.8%34/55
Benchmark Up99.267.7%21/31
Benchmark Down-28.154.2%13/24
Value vs Growth
Value182.980.0%16/20
Neutral-48.450.0%5/10
Growth-30.952.0%13/25
Small Value vs Small Growth
Small Value179.583.3%15/18
Neutral10.256.5%13/23
Small Growth-76.142.9%6/14
Large vs Small
Large-5.960.9%14/23
Neutral38.460.0%9/15
Small115.464.7%11/17

📈 Hit Rate — Cross-Asset Environments

ConditionAvg Ex Ret (bps)Hit RateRecord
Core vs High Yield
Core-55.150.0%2/4
Neutral25.565.6%21/32
High Yield95.157.9%11/19
US Bond vs Intl Bond
US Bond-33.860.0%9/15
Neutral54.565.5%19/29
Intl Bond120.954.5%6/11
Stocks vs Bonds
Stocks37.656.7%17/30
Neutral128.780.0%8/10
Bonds-0.860.0%9/15
US Stocks vs Intl Stocks
US Stocks28.658.3%14/24
Neutral-6.153.3%8/15
Intl Stocks112.975.0%12/16

📊 Alpha Tails: US Environment (bps)

Average excess return in left 20%, middle, and right 20% of market environment distribution

EnvironmentLeft 20%MiddleRight 20%
Mkt Down-59.141.8152.1
Growth-78.813.0258.1
Small Growth-51.4-4.4282.9
Small165.842.0-73.3
High Yield99.247.9-24.5
Bonds-19.346.797.5
Intl Stocks132.728.8-0.9

📊 Alpha Tails: Barra Factor Environment (bps)

Average excess return in left 20%, middle, and right 20% of factor return distribution

FactorLeft 20%MiddleRight 20%
Value-121.918.8284.0
Earnings Yield-107.748.1181.7
Dividend Yield-54.247.7129.6
Momentum102.266.9-84.6
Leverage *294.923.2-146.0
Profitability-28.013.1207.1
Invest Quality-18.138.9119.8
Earnings Quality21.644.164.4
Earnings Var (-)155.520.41.6
Beta (-)32.170.8-26.3
Residual Vol (-)-15.348.588.2
Size (-)-10.157.655.8

* Difference between tail and overall average is statistically significant (two-tailed p-value < 0.05)

📂 Source Documents

All data on this tab sourced from CalSTRS publicly available investment reports and disclosures.

📄 CalSTRS Investment Reports — Public performance & holdings data
📄 CalSTRS Board Meeting Materials — Investment committee presentations & benchmarks
📄 CalSTRS Annual Reports — Risk analytics, attribution & factor analysis
📊 CalSTRS Public Data — Portfolio allocations, ESG disclosures & comprehensive annual financial reports

📊 Peer Comparison — Large Public Pension Funds

How CalSTRS compares to peer public pension funds on key performance and allocation metrics.

🏆 Total Fund Returns vs Peers

Annualized net-of-fee returns for FY 2024 across large US public pension plans

FundAUM1-Yr5-Yr10-Yr
CalSTRS$396.7B9.8%8.3%7.9%
CalPERS$502.9B11.0%7.1%7.4%
NY State Common$267.7B9.1%7.8%7.6%
FL State Board (SBA)$254.0B10.2%8.1%8.3%
TX Teacher Retirement$209.6B10.5%8.4%8.1%
WA State Investment Board$184.5B8.7%8.0%7.7%

Source: Public pension fund annual reports & CAFRs (FY 2024)

⚖️ Asset Allocation Comparison

Policy target allocations across major asset classes (%)

Asset ClassCalSTRSCalPERSPeer Avg
Public Equity39%33%36%
Fixed Income13%28%22%
Private Equity14%17%14%
Real Estate15%13%12%
Real Assets / Infra7%2%6%
Risk Mitigating10%5%8%
Cash / Other2%2%2%

Source: Published investment policy statements

📈 Funded Status Comparison

FundFunded RatioUnfunded LiabilityAssumed Return
CalSTRS73.2%$106.4B7.0%
CalPERS75.1%$131.3B6.8%
NY State Common95.8%$11.2B5.9%
FL SBA82.5%$44.5B6.7%
TX TRS76.4%$49.3B7.25%
WA SIB79.3%$38.1B7.0%

💡 CalSTRS Competitive Position

Strength
Top Quartile
5-yr & 10-yr returns vs peers
Monitor
73.2%
Funded ratio below peer median
Differentiator
15% RE
Highest real estate allocation among peers
Edge
10% RMS
Largest risk-mitigating strategies allocation
🤖

Chapter 7 — AI Performance Analytics Agent

Interactive AI-powered analysis of CalSTRS portfolio data, holdings, risk factors, and investment attribution.

🤖 AI Performance Analytics Agent

Ready
🤖 CalSTRS Performance Analytics Agent
I can query portfolio data, run analyses, and generate insights. I have access to tools that interact with the $396.7B CalSTRS portfolio data.