State of Wisconsin Investment Board, Madison, left its target asset allocation for its $78.1 billion core fund unchanged after a review, said Vicki Hearing, public information officer.
The review was prompted by a lowering of its expected investment return assumption to 7.2% from 7.8%.
The allocation is 28% U.S. equity, 26% fixed income, 25% non-U.S. equity, 3% Treasury inflation-protected securities, and 6% each to real estate, private equity, and multiasset strategies or hedge funds.
SWIB kept the allocation at the same targets it adopted in 2010, Ms. Hearing said. SWIB, which studies its allocation annually, postponed adopting its 2011 allocation in anticipation of a change in the expected return assumption by the Wisconsin Department of Employee Trust Funds, fiduciary for the $84.1 billion Wisconsin Retirement System, Ms. Hearing said. The department lowered the rate in March.
The board oversees a total of $91 billion — the retirement system's core fund and $6 billion in variable fund assets.
SWIB is still implementing the allocation, which lowered the 2009 targets of U.S. equity and non-U.S. equity by one percentage point each and raised multiasset strategies from 4%. Equity allocation changes are coming from rebalancing, she said, adding no managers will be terminated.
The current allocation is designed to reduce risk, Ms. Hearing said, adding that the board is implementing the allocation slowly.
SWIB still plans to implement a risk-parity strategy, adopted last year and designed also to reduce risk, but has set no timeline, Mr. Hearing said. It would raise the allocation to an effective 104% by leveraging fixed income. SWIB is proceeding to implement it “very cautiously,” she said.