South Carolina Retirement System Investment Commission approved a new asset allocation at its Tuesday meeting for the $26.6 billion South Carolina Retirement Systems, Columbia.
Searches are planned for the global equity and global fixed-income asset classes during the fiscal year ended June 30, 2014, according to meeting documents. Specific details about the size and timing of the searches were not available.
Commissioners approved the following new target asset allocations:
- A new global equity asset class with a 40% target was created by combining U.S. and international equity and private equity allocations that totaled 38.5%. The public equity target was raised to 31% from 30%, and the private equity target rose by half a percentage point to 9%.
- Real assets' target allocation rose to 8% from 6%, with the real estate target rising to 5% from 3% and commodities remaining at 3%.
- Opportunistic investments were increased to an 18% target from 15%, with GTAA/risk-parity strategies remaining at 10%. The pension fund's segregated hedge fund portfolio target was increased to 8% from 5%.
- Diversified credit strategies were decreased to a 19% target from 20.5%. The target allocation to private debt dropped to 7% from 8.5%, while the 6% targets for the mixed credit asset class and emerging markets debt were retained.
- Conservative fixed income was shaved to a 15% target allocation from 20%, with core fixed income dropping to a 7% target from 12%; global fixed income (hedged) rose to a 3% target from 1%; short-duration securities and cash (net of overlays) targets were reduced by one percentage point each to 3% and 2%, respectively.
Commissioners also approved dismantling the pension fund's portable alpha program, which included an S&P 500 derivates overlay on a hedge fund portfolio totaling about $4.5 billion, a 17% allocation. The retirement system can invest an additional 7% to hedge funds outside the dedicated hedge fund portfolio in equity or credit asset classes, Hershel Harper Jr., the pension fund's chief investment officer, said during the meeting.
The new target asset allocation is effective July 1, the beginning of the retirement system's fiscal year.