State Universities Retirement System of Illinois, Champaign, is undertaking an asset allocation study that could lead the $12.1 billion fund to increase its REIT and private equity allocations. A subcommittee of the systems investment panel asked Watson Wyatt to consider the increases in its modeling scenarios, said John R. Krimmel, chief investment officer. Allocation recommendations could be presented to trustees in a month.
The funds current allocation is: 46% U.S. equities; 20% non-U.S. equities; 29% fixed income; 1% inflation-protected Treasury bonds; 3% private equity; and 1% REITs. Its private equity portfolio comprises mezzanine financing, buyout funds and venture capital.