You can learn a valuable lesson from the nation’s largest public-pension plan: Be careful how high you set your expectations. You might have to try to meet them. The $358 billion California Public Employees’ Retirement System has been studying whether to adopt a new approach that would increase its private-equity holdings. The giant organization already has nearly $28 billion, or 8% of assets, in such funds, which invest in startups or in corporate buyouts. Calpers’ board voted in principle March 18 to move forward with a...