Sacramento (Calif.) County Employees' Retirement System has a new asset-liability study scheduled for completion by its May 17 meeting, with a new asset mix to be decided at the June 21 meeting, said Jeffrey W. States, CIO of the $5.9 billion pension fund. The study, being conducted by Mercer Investment Consulting, will look at private equities and commodities, where the fund currently has no exposure, Mr. States said. The fund's current target asset mix is 35% U.S. equities; 20% international equities; 25% fixed income; 5% hedge funds; and 15% real estate.
Separately, the board on Thursday approved adding $20 million to a $120 million investment in the Grosvenor Institutional U.S. Hedged Equity Specialist Fund as part of a pending rebalancing of the overall portfolio. The allocation will be funded from cash.
