Emerging Markets Investibility Measures

Proposed Work Plan

For New Factors

Prepared for

The California Public Employees’ Retirement System

Objective: Develop objective scoring system for the new investibility factors as established by the Investment Committee:

  • Transparency: Financial transparency, including elements of a free press necessary for investors, including CalPERS, to have truthful, accurate and relevant information on the conditions in the countries and companies in which they are investing.
  • Political Stability: Political stability, including progress towards the development of basic democratic institutions and principles, such as guaranteed human and worker rights, elimination of human rights violations (such as torture), and a strong and impartial legal system, all of which are necessary to ensure political stability, support free market development, and attract and retain long-term sources of capital.
  • Prohibitions on Abusive Labor Practices: Prohibitions on all forms of forced or slave labor and harmful child labor, as well as the effective enforcement of these prohibitions.

Steps to Completion:

  1. Identify and speak to experts in these areas as resources
  2. Determine sub-factors under macro-factors where necessary
  3. Identify and vet third party sources for evaluating each sub-factor
  4. Score markets for each factor
  5. Test alternative weighting schemes between factors
  6. Develop alternative market rankings

Phases:

Phase I: Identify and speak to experts30 person days

Phase II: Determine Sub-factors10 person days

Phase III: Determine and Vet Sources10 person days

Phase IV: Develop Rankings (Steps 4-6) 3 person days

Note: In the event that sources’ work requires either custom research or is produced on a timetable different form CalPERS, Phase III may require additional time, however, timeliness shall be one of the evaluation factors Wilshire shall use. Wilshire shall provide monthly postings to the Staff and Investment Committee on progress toward completions

Phase I: Identify and Speak with Experts

List of Experts

Organization / Contact / Source
IRRC /

Doug Cogan

/

STO

Duke University / Campbell Harvey / STO, Staff
Verite / Larry Brown / STO
Calvert Group / Barbara Krumsick / STO
Kinder Lydenberg / Peter Kinder / STO
Harvard University / Michael Porter / Wilshire
Harvard University / Andrei Shleifer / Wilshire
World Economic Forum / Peter Cornelius / Wilshire
Oxford Analytica / Giles Austen / Staff
Freedom House / Amanda Schnetzer / STO
Int’l Cntry Risk Guide / Nora Ruthig / Staff
Columbia Univ. Sch. Of Journalism / James Carey
Seymour Topping / Wilshire
Economist Intelligence Unit / Dante Cantu / Wilshire
KPMG / Joanne Gratiot / Wilshire
Financial Engines / William Sharpe / Staff
American Enterprise Institute / Christopher DeMuth / Staff
United Nations / TBD / SCO
World Bank / TBD / SCO
Central Intelligence Agency / TBD / SCO
Franklin Templeton / Mark Mobius / Staff/Wilshire
Foreign and Colonial / Arnab Banerji / Staff/Wilshire
Clay Finlay / Francis Finlay / Staff/Wilshire
SSB Citi Asset Mgt. / Rama Krishna / Staff/Wilshire
Peter Rathjean / Arrowstreet / Staff/Wilshire
Strategic Inv. Group / Hilda Ochoa / Staff/Wilshire
Sanford Bernstein / Seth Masters / Staff/Wilshire
Capital Guardian / David Fisher / Staff/Wilshire

Note: Other Experts may be added as a result of discussions with individuals listed above