Public Employees Retirement Association of New Mexico, Santa Fe, is requesting consultant Callan Associates conduct an asset allocation study because of a new state law allowing the $10.1 billion system to invest in alternative investments, including real estate, private equity, hedge funds and derivatives, said Bob Gish, director of investments. Callan executives are also expected to educate the board about the use of alternatives in an overall investment portfolio and to set up a priority list for searches and allocation targets. Mr. Gish said it would take at least six to nine months before any major changes in investment are made. Funding for the new allocations is expected to come from the fixed-income portfolio, currently 35% of the plan's total assets. Mr. Gish said he expects the first step will be to authorize current money managers to include derivatives for risk control.