New Mexico Educational Retirement Board, Santa Fe, returned 18.6% for the year ended June 30, up from -17.3% a year earlier, said Bob Jacksha, chief investment officer of the $8.55 billion fund.
In an e-mail response to inquiries, Mr. Jacksha explained the factors leading to the improved returns.
“We opportunistically took advantage of the debt markets,” he wrote. “Our fixed-income portfolio was up 20.3%. Part of that exposure was a slight overweight to our target for high-yield credit (22.6% return). We also overweighted debt-related investments in our private equity (up 24.3%) and private real estate portfolios (up 0.2%); which helped those categories. These allocations were based on the opinion that debt was likely to produce equity like returns with less risk.”
The board also had a 10% emerging markets equity allocation. Emerging markets gained 25.3% for the year. REITs, which the fund maintains at 3.8%, returned 55.6%; and hedge funds of funds, 14.4%. The New Mexico board has a 6.7% allocation to hedge funds of funds.