Indiana Public Retirement System, Indianapolis, committed or invested $125 million total to two managers.
The pension fund committed $75 million to Harrison Street Real Estate Partners V, managed by Harrison Street Real Estate Capital and invested $50 million with hedge fund manager AQR Capital Management in its Style Premia Alternative Fund, a long/short absolute-return strategy.
INPRS, with $29.9 billion in assets, had 12.9% in private equity, 7.9% in absolute-return strategies and 5.9% in real estate as of Jan. 31.
INPRS returned 0.64% on its investments in January and -1.22% for the seven months since its fiscal year began July 1. Both returns were above their 0.31% and -1.56% custom benchmarks, respectively. Its 22.3% global equity and 6.8% commodities allocations dragged down overall performance for both time periods; global equity returned -1.39% in January and -2.59% for the seven months, while commodities returned -4.46% and -33.43%, respectively.
David Cooper, chief investment officer, told the system's board of trustees Friday that declines in oil and gas prices in the past several months were the main reason behind the losses. However, the fund's asset class diversification helped overall performance to beat the benchmarks, he added.
Also on Friday, trustees agreed the system should maintain its current risk diversification policy. The discussion on risk was the focal point of an update on an asset-liability study being conducted by the system's general investment consultant, Wurts & Associates.
Wurts CEO Jeffrey MacLean said INPRS has 60% equity risk in its investments vs. the average 80% of other public pension plans with assets of more than $5 billion. He said most other peers of INPRS have larger allocations to equities.
Trustees are expected to consider specific recommendations on INPRS' investment policy in June but aren't expected to vote on the study until later this year.