City of Milwaukee Employes Retirement System plans to undertake an asset allocation and liability-modeling study that might introduce alternative investments, said Tom Rick, CIO of the $5.3 billion fund. General investment consultant Mercer will conduct the study; hedge funds, private equity, commodities and infrastructure are expected to be considered. The study is expected to be presented to the boards investment committee Feb. 15.
The board is giving Mercer the direction to look at asset allocation as if starting from a clear slate and to give us the best asset allocation that fits the systems liability and risk profile, Mr. Rick said.
The funds current asset allocation is 45% domestic equity, 20% international equity, 28% fixed income and 7% real estate, he said.
The Mercer study will be based on an experience study of the system by actuarial consultant Buck Consultants, which is to be presented to the board at its Dec. 20 meeting. The Buck study, which the board will use in deciding on changes to actuarial and investment assumptions, will compare the systems assumptions with its actual results in the past five years. The last such study was done in 2002; a city ordinance requires the system to conduct an experience study every five years.