New Mexico Public Employees Retirement Association, Santa Fe, adopted a new asset allocation, reducing the overall public equity allocation by three percentage points to 46% but increasing the portfolio's exposure to international equity, said Jonathan Grabel, chief investment officer for the $14.25 billion pension fund.
Pension officials also added a new 5% allocation to credit that includes public and private investments they call “fixed income-plus.”
The pension fund cut its domestic equity target allocation to 21% from 29% and raised its international equity target to 25% from 20%.
Pension fund officials also increased alternative investments to 23% from 20%. This consisted of bumping up private equity by two percentage points to 7%, increasing its inflation hedging portfolio — which includes real assets and real estate — to 12% from 8% and decreasing absolute return to 4% from 7%.
“Absolute return is not necessarily an asset category,” Mr. Grabel said. “Hedge funds span the investible universe of asset categories.”
The pension fund also eliminated a 5% global tactical asset allocation, and the rest is in core fixed income.
Pension fund officials could launch RFPs for some of the liquid strategies. Mr. Grabel said he did not yet know whether managers will be terminated.
The pension fund's general investment consultant, Wilshire Associates, assisted.
Separately, the pension fund is searching for a portfolio manager who will focus on asset allocation, Mr. Grabel said. It is a new position. The individual would work with Mr. Grabel, other investment staff and investment consultants to develop the asset class structure and implementation strategies, according to a posting on the pension fund's website.
The closing date is May 13. Required qualifications are a bachelor's degree in finance, accounting, economics or business management and administration, and two years of experience in institutional investing, pension fund management or trust fund management. A master's degree in the listed fields may substitute for the work experience.