Indiana Public Retirement puts $100 million with hedge fund, real estate managers

Indiana Public Retirement System, Indianapolis, hired Rokos Capital Management to run $50 million in a global macro hedge fund, Scott Davis, chief investment officer at the $31.3 billion system, told a meeting of the board Friday.

Also, $50 million was committed to Stockbridge Value Fund III, a diversified U.S. real estate fund managed by Stockbridge Capital Group.

Funding for both will come from global equity, Mr. Davis said. No managers were terminated.

Rokos is a new manager for the system. INPRS had previously committed $200 million to the Stockbridge Smart Markets Fund.

The system had a 9.4% absolute-return allocation and 6.6% to real estate as of March 31.

Separately, the pension fund reported it returned a net 9.05% on its investments for the 12 months ended March 31, compared to the 8.26% return of the custom benchmark. The three-year return was 3.56% vs. the benchmark's 3.22%, and the five-year return was 5% vs. 4.74%. All multiyear returns are annualized.

For the first quarter, the system returned a net 2.82%, compared to the 2.62% return of its benchmark.

Mr. Davis said the system's portfolio is on track to meet its 6.75% expected rate of return for the current fiscal year ending June 30, but it has struggled to meet that rate of return expectation for the longer term.

For the 12 months ended March 31, global equity had the highest return at 16.38%, compared to the Morgan Stanley (MS) Capital International All-Country World index benchmark return of 15.37%. Commodities returned 11.43% vs. the custom benchmark's 10.56%, and risk parity returned 10.64% vs. 9.5%.

Real estate returned 8.9% vs. its custom benchmark return of 7.79%; private equity returned 8.07%, below its 21.07% custom benchmark; and absolute return, 6.45% vs. 6.2%.

Ex-inflation-linked fixed income returned 3.87% vs. 2.49% for its custom benchmark, and inflation-linked fixed income returned 3.81% vs. 2.71%.

Noting the private equity return, Mr. Davis said the internal rate of return for the private equity portfolio, which he said was a more accurate reflection of performance, was a net 11.2% as of Sept. 30.

INPRS' actual asset allocation as of March 31 was 22.8% global equity, 19.9% ex-inflation-linked fixed income, 12.8% private equity, 11.2% risk parity, 9.4% absolute return, 7.7% commodities, 7.5% inflation-linked fixed income, 6.6% real estate and the remainder in cash. All allocations are within the system's target ranges.