Ohio Bureau of Workers’ Compensation, Columbus, completed an asset-liability study that resulted in four potential asset mixes that all include increases to real estate targets.
The bureau, which oversees the $21.8 billion state insurance fund portfolio, does not have a vote scheduled to decide on a new asset mix, although Bruce Dunn, chief investment office, might make some investment policy change recommendations later in the year, said Melissa Vince, spokeswoman, in an e-mail.
The board heard the results of the asset-liability study from investment consultant RVK at its meeting on July 24.
RVK presented four potential asset mixes. The first increases the core real estate target to 7% from 4.5% and value-added real estate to 2% from 1.5%, while the second increases the core and value-added targets to 10% and 2%, respectively. Both mixes feature slight decreases in fixed-income targets from the current 63%.
A third potential asset mix — what RVK calls a lower risk mix — increases core and value-added real estate to 10% and 5%, respectively, while increasing domestic aggregate core-plus fixed income to 20% from 15%, increasing Treasury inflation-protected securities to 20% from 14%, dropping long-duration credit fixed income to 19.7% from 28%, eliminating the 6% target to long-duration government fixed income and decreasing domestic and international equities to 16.1% and 8%, respectively, from 20% and 10%. The cash target would increase to 1.2% from 1%.
The fourth potential mix — a higher-risk mix — also increases core and value-added real estate to 10% and 5%, respectively, while increasing the target to long-duration credit fixed income to 45% and eliminating targets to all other fixed-income strategies. Domestic and international equities would be increased to 26.7% and 13.3%, respectively.
The bureau first created its real estate targets in 2011 and hired its first managers in September 2012.
Current targets are: 28% long-duration credit fixed income, 20% domestic equities, 15% domestic aggregate core-plus fixed income, 14% TIPS, 10% international equities, 6% long-duration government fixed income, 4.5% core real estate, 1.5% value-added real estate and 1% cash.
