Colorado Public Employees’ Retirement Association, Denver, is boosting its long-term alternatives target allocation and reducing its global equity and fixed-income targets, spokeswoman Katie Kaufmanis said in an e-mail.
The new long-term targets approved for the $45.3 billion association at last week’s board meeting are 53% global equity, down from 56%; 23% fixed income, down from 25%; 8.5% each real estate and private equity, up from 7% each; 6% opportunity fund, up from 5%; and 1% cash, a new target which will be funded from core fixed income.
The opportunity fund is composed of timber, commodities, risk parity, private equity, broad real estate and high-yield bonds.
“Asset allocation changes will be managed internally over time and no manager searches or RFPs are planned,” Ms. Kaufmanis wrote.
The changes will go into effect July 1.
Also on July 1, the pension fund’s long-duration bond portfolio will be eliminated, and the remaining allocation will be divided into return-seeking fixed income (high-yield bonds, emerging markets debt and other debt-related instruments) and risk-reducing fixed income (traditional investment-grade core bonds and other low-risk fixed-income strategies). The Barclays Capital U.S. Aggregate Bond index and the Barclays Capital U.S. Universal index will serve as the new fixed-income benchmarks.
Long-duration assets, which are internally managed, will either be consolidated into other internally managed portfolios or liquidated, Ms. Kaufmanis wrote. An allocation size could not be learned by press time.
“While long-duration bond portfolios are common for corporate pension plans, their hedging benefits are not as direct for public pension plans, and the allocation is currently very small,” Aon Hewitt Investment Consulting, the pension fund’s consultant, said in a Jan. 16 presentation to the board on potential asset allocation changes.