New Mexico Educational Retirement Board, Santa Fe, at its June 15 meeting will consider making slight allocation increases to core fixed income, global tactical asset allocation, risk parity and private equity, according to Bob Jacksha, chief investment officer of the $9.6 billion pension fund, in an e-mail.
Core bonds would increase by two percentage points to 7% bringing the overall fixed-income allocation to 29%; global tactical asset allocation would rise by three percentage points to 5%, risk parity by two percentage points to 5%, and private equity by a percentage point to 8%.
Equities would be cut by three percentage points to 38%, all from large caps; and absolute return would drop by five percentage points to 3%. The 5% real estate allocation and 7% in inflation-linked assets would remain unchanged.
No managers are expected to be terminated, but searches for GTAA and risk parity managers could be conducted if the asset allocation is adopted.
The asset allocation proposal is the result of an asset-liability study conducted by general investment consultant NEPC.