Illinois State Universities Retirement System, Champaign, approved a new asset allocation that doesn’t include any hedge fund or absolute-return strategies, according to Daniel L. Allen, chief investment officer.
The $14.7 billion defined benefit fund’s new allocation reduces U.S. equity and raises international equity and fixed income, Mr. Allen wrote in an e-mail. The new mix is U.S. equity, 30%; non-U.S. equity, 20%; fixed income, 19%; global equities, 10%; real estate, 6%; private equity, 6%; Treasury inflated-protected securities, 4%; real estate investment trusts, 4%; and opportunity funds, an area for testing new investment strategies and managers in different asset classes, 1%.
The previous allocation, approved in June 2008, had U.S. equity at 32%, non-U.S. equity and fixed income, each 18%, and opportunity funds at 2%. Other asset classes stayed the same.
The SURS board plans to undertake further study and education regarding absolute return, Mr. Allen wrote in the e-mail.
At its April 22 meeting, the SURS investment committee approved considering hedge funds of funds and other absolute-return strategies in developing asset allocation proposals for an asset asset/liability study it was conducting, which was presented to the board last week.
Callan Associates, SURS’ investment consultant, assisted in the studies.
SURS staff “will work with Callan Associates during the summer to develop an implementation plan to achieve the newly approved” allocation to present to the board at its Sept. 15-16 meetings, Mr. Allen wrote in the e-mail.