New Mexico Public Employees Retirement Association trustees will receive the results of an asset allocation study in mid-September. The study was conducted by Callan Associates.
"The results ... might lead to changes in the fixed-income and international fixed-income structure, said Robert Gish, director of investments for the $7.3 billion Santa Fe-based fund. Fixed income, including cash, makes up 42% or $3.1 billion of the fund.
Contracts of three of New Mexicos four fixed-income managers BGI, Putnam and Criterion expire in June, he said. Smith Breedens contract ends in March 2001, but would be included in any overall change. The fund does not have an allocation to international fixed income but would consider it for further diversification, reduced risk and enhanced returns, he said.
In a separate move, the fund will adapt the MSCI ACWI ex-U.S. index for its two new international managers, Oechsle and INVESCO. "The objective is to get more emerging markets exposure, Mr. Gish said. Capital Guardian, which manages about $940 million in international stock for New Mexico, will continue to use the MSCI EAFE index. Capital Guardian has license to invest up to 10% of its portfolio in emerging markets but historically has not reached that limit, he said.