Seattle City Employees' Retirement System is considering adding an allocation to unconstrained fixed income following the completion of an asset-liability study, said Jason Malinowski, chief investment officer, in an e-mail.
The $2.3 billion pension fund is conducting an asset-liability study that is expected to be completed in March or April, Mr. Malinowski said.
The pension fund's investment policy requires such a study every five years and is the primary reason for the current study, he added. The last asset-liability study was conducted in November 2010.
The potential addition of unconstrained fixed income comes following the investment committee's approval for staff and investment consultant NEPC to “investigate the possibility of unconstrained fixed income for possible incorporation into SCERS portfolio,” said Oct. 9 board of administration meeting minutes.
Mr. Malinowski would not say whether a search for unconstrained fixed-income managers would occur as a result, and he said any other potential new asset classes would be determined “as we progress through the study.”
The pension fund's target allocation is 27% international equity, 25% domestic equity, 20% domestic fixed income, 12% real estate, 6% each covered calls and private equity, and 4% real return.
As of June 30, the pension fund's actual allocation was 33% domestic equity, 28.1% international equity, 20.9% domestic fixed income, 10.2% real estate, 7.5% alternatives and 0.3% cash and overlay.
Investment consultant NEPC is assisting with the asset-liability study.
Mr. Malinowski joined the pension fund on Oct. 22 as CIO and was previously managing director and head of fiduciary management within the risk and quantitative analysis group at BlackRock's alternatives investment unit.
Mr. Malinowski replaced Cecelia Carter, who resigned in July 2013 and held the titles of both executive director and chief investment officer. Ken Nakatsu is currently the pension fund's interim executive director.