Public Employees Retirement Association of New Mexico, Santa Fe, authorized the use of futures and options in its $7.1 billion equity portfolio for risk control and the use of derivatives in its $3.4 billion fixed-income portfolio to manage duration.
Separately, the board dropped the $10.5 billion system's assumed inflation rate to 4.5% from 5%, as a result of a four-year experience study conducted by actuary Gabriel Roeder Smith. The assumed investment return was kept at 8%, said Terry Slattery, executive director. The entire pension plan earned 9.8% in the fiscal year ended June 30, Mr. Slattery said.
