Milwaukee City Employes' Retirement System is undertaking an asset/liability and allocation study that could lead to its first hedge fund allocation, according to Tom Rick, chief investment officer.
“We don't have anything final yet” from Callan Associates, the pension fund's investment consultant that is assisting in the study, Mr. Rick said in an e-mail. The retirement system oversees $4.2 billion in assets.
“Like most (asset-liability management) studies, the consultant may provide up to 15 different asset mixes which the (system's) investment committee reviews. Our investment committee has asked for some additional asset mixes and Callan will be bringing those back to the April 18 meeting,” Mr. Rick said in the e-mail.
“Callan has modeled various asset classes and strategies including U.S. and non-U.S. equities, U.S. and non-U.S. fixed income, private real estate, real assets, private equity and hedge funds” as part of the study.
Allocating to hedge funds “would be a possibility, assuming (the committee approves) an asset mix that includes hedge funds,” Mr. Rick added in the e-mail.
The pension fund's actual allocation as of Dec. 31 was 31% U.S. equities, 26% fixed income, 22% international equities, 10% global equities, 9% real estate, 1% private equity and 1% cash. Its target allocation is 31% U.S. equities, 28% fixed income, 22% international equities, 10% global equities, 7% real estate and 2% private equity.