The $16.6 billion Commonwealth of Pennsylvania State Employes' Retirement System, Harrisburg, is assembling a five-year investment plan it expects to present to its board of trustees in December. Staffers are now meeting with consultants to study the fund's liabilities, Diane Sterthous, director of fixed income, said at the conference of the National Association of Securities Professionals.
Ms. Sterthous said some possible changes already have been identified, including increasing private equity allocations, adding an international real estate allocation with special interest in the Pacific Rim, reducing the bond allocation and expanding passive equity holdings.
Ms. Sterthous said the fund also recently instituted a policy governing currency hedging and reporting of derivatives positions and is constructing a manager retention policy that will put on record the fund's guidelines regarding performance, communications and other criteria for evaluating managers.
