The New Mexico Public Employees' Retirement Association, Santa Fe, added new 5% allocations to both hedge funds and private equity and will restructure a portion of its $3.5 billion fixed-income portfolio, said Robert Gish, CIO of the $11.4 billion association. The board plans to discuss at its meeting Tuesday how it will search for new managers; Cliffwater is assisting. The board also is expected to decide whether to adopt a new 5% allocation to real estate, real assets or tangible assets such as commodities or timber.
The hedge fund and private equity asset classes are new. Funding for hedge funds will come from fixed income, and the private equity allocation will come from equities. Specific manager reductions haven't been determined. Funding for a real estate, real assets or tangible assets allocation could also come from fixed income, although that has not yet been finalized.
The board also changed $850 million run by Barclays Global Investors from a passive Lehman Intermediate Government/Credit index fund to an enhanced Lehman Aggregate bond index portfolio. The board wanted to increase the active fixed-income component, Mr. Gish said. It also eliminated mortgage portfolios totaling $825 million run by Goldman Sachs and Smith Breeden Associates, dividing the money evenly among three existing managers: Franklin Templeton Investments, which runs a core-plus bond portfolio; Smith Breeden, which runs an active core bond portfolio; and Western Asset Management, which runs a core-plus bond portfolio, Mr. Gish said. Each of the three portfolios now will run $500 million.