For Ernie Caballero, his own team was among his fund’s best investments. As CIO of UPS Inc.’s American and Canadian pension plans, which were outsourced to Goldman Sachs Asset Management in May 2024, Cabellero was named a winner in the Corporate Defined Benefit category at the 2024 CIO Industry Innovation Awards dinner last December.

“If you think about the way you put a total portfolio together, it’s not about an investment on a stand-alone basis; it’s about how an investment fits in the overall portfolio,” Caballero says. “We looked to improve key metrics such as an improved total portfolio Sharpe ratio, information ratio, diversification, etc. We looked at building a world-class investments team by following the ‘total portfolio approach.’ Everyone’s strengths offset everyone else’s weakness, with the end result being a group of investment professionals that delivered to portfolio objectives and expected risk/return outcomes.”

In addition, Caballero was one of two recipients of CIO’s inaugural Versatility Award, which seeks to award and recognize collaboration, innovation and leadership in an evolving industry.

“Managing the UPS pension plans was complex: We had two large open and accruing defined benefit plans and other plans that had open and accruing cohorts within a closed and frozen plan,” Caballero says. “We implemented a liability-aware approach, debunking the myth that this approach only works well with closed and frozen DB plans. As a result of the approach, the funded status of the UPS plans increased substantially alongside a very large reduction in funded status volatility.”

The fund reported annualized one-, five- and 10-year total returns, net of fees, through June 30, 2024, of 4.78%, 3.71% and 7.76%, respectively.

The transition to GSAM as outsourced CIO manager went very smoothly, Caballero says. Following the closure of the transaction, which took several months, Caballero and his team joined GSAM. At the time, it was one of the largest OCIO mandates announced, covering $43.4 billion in plan assets.

Caballero calls the UPS OCIO deal a watershed moment for the industry, as it shows that open and accruing plans with sophisticated portfolios can be outsourced, something previously thought of only being applicable for smaller plans that are closed, frozen or in liability-driven-investing mode.

He touted GSAM’s OCIO capabilities to absorb the UPS team, drawing on the firm’s vast resources. “Team Goldman really sets themselves apart from everybody else in the in the OCIO industry,” Caballero says, noting that he has heard of more difficult transitions at other plans shifting to an OCIO manager. “It really showed in how well the transition from an in-house team with complexity transitioned over to Goldman in a seamless manner.”

Caballero held several titles at UPS over 35 years, including serving as CIO from March 2018 until the September 2024 outsourcing transaction closed. He had also served as chief financial officer for Europe and as vice president of strategy for emerging markets, along with other senior roles.

Caballero earned a bachelor’s degree in engineering and industrial management from Farmingdale State College, part of the State University of New York; an MBA in total quality management and finance from Dowling College in Oakdale, New York; and an MBA in finance and financial management services from the Michael J. Coles College of Business at Kennesaw State University in Georgia.

—Matt Toledo