Sacramento (Calif.) County Employees Retirement System approved a new asset allocation mix that includes first-time allocations of 5% each to private equity and opportunistic strategies, confirmed Jeffrey States, CIO. The $6 billion fund will not issue RFPs; general consultant Mercer Investment Consulting will recommend managers. Funding will likely come from reducing the funds $1.2 billion domestic indexed equity portfolio, run by AllianceBernstein, and the $1.5 billion fixed-income portfolio split evenly among Metropolitan West Asset Management, Bradford & Marzec and Lehman Brothers Asset Management.
As a result of the new asset allocation, the funds return target was changed to 7.96% from 7.8%, and the risk target was changed to 11.56% from 11.59%.
The other asset allocation targets are: 30% domestic equity, 20% each for international equity and fixed income, 15% real estate and 5% hedge fund of funds. Allocations to domestic equity and fixed income were reduced by five percentage points each.