San Diego County Employees Retirement Association made several asset allocation changes, based on an asset/liability study conducted by Ennis Knupp, said Johanna Shick, communications manager. The $8.5 billion fund reduced equities by two percentage points to 47% of assets, cut emerging market debt two points to 4% and cut high yield four points to 3%. It increased its low-risk asset category by four points to 22% of assets by adding 11 points to domestic fixed income to 17%, eliminating an 8% global fixed-income allocation, and increasing TIPS by one percentage point to 5%. The real assets category was increased by four percentage points to 9% of assets by decreasing commodities one point to 4% and adding a 5% allocation to infrastructure.
The 10% allocation to real estate and 5% to private equity were not changed.
The board made the changes to reduce risk without affecting the portfolios total return. It has yet to decide how the new allocation will be implemented.
Separately, the board committed $100 million to UBS OConnor Global Multi-Strategy Alpha Fund, $75 million to Global Infrastructure Partners and $15 million to MTM Capital Partners.