New Mexico Educational Retirement Board, Santa Fe, plans to conduct a shortlist search for GTAA and risk-parity managers to run a total of about $355 million, said Bob Jacksha, chief investment officer for the $9.8 billion pension fund, in an e-mail.
Board officials expect to add at least one manager for each subasset class.
The global tactical asset allocation manager would run about $115 million; the risk-parity manager, $240 million.
The board will not issue an RFP. Instead, general consultant NEPC will present the board with a shortlist of managers that will be invited to bid. The timetable for the presentation has not been determined.
The search is the result of last month’s asset allocation revision that increased the GTAA and risk-parity allocations to 5% each. GTAA and risk parity had been combined in a 5% allocation.
The board also invested $50 million in a separate account with Halderman Farm Management, a farmland investment management firm, and €31 million ($40.2 million) in EQT Infrastructure II, a fund managed by EQT Partners.
An additional $50 million in the PIMCO DiSCO II, a distressed debt fund managed by Pacific Investment Management. It had invested $200 million in the fund in October 2011.
Separately, the pension fund’s investments earned 4.6% for the quarter and 16% for the year, both ended Sept. 30. For the 10 years ended Sept. 30, the annualized return was 8.5%. The best-performing asset class for the 12 months was large-cap domestic equities with 30% return. The lowest return for the year was real assets at -4.6%.