The California Public Employees' Retirement System (CalPERS) manages pension and health benefits for approximately 1.5 million California public employees, retirees, and their families. Over the past five years, the CalPERS $236 billion investment portfolio has achieved an annual rate of return of 14.3%.
CalPERS financial managers are exploring the potential for generating profit in currency markets using high-frequency intraday trading, an emerging practice recently made possible by the availability of historical data, electronic trading platforms, and computing tools. CalPERS uses MATLAB® to analyze historical currency market data and better understand market dynamics such as volume, volatility, and market direction.
"By quantifying market dynamics and modeling market behavior, we can identify some very interesting opportunities," says Omid Rezania, Investment Officer at CalPERS. "We use MATLAB to analyze millions of rows of data and rapidly test out new hypotheses. This cannot be done as easily using any other software."