San Joaquin County Employees’ Retirement Association, Stockton, Calif., is undergoing an asset-liability study, said CEO Annette St. Urbain, in an e-mail.
The $2.5 billion pension fund’s investment consultant Pension Consulting Alliance and actuary Cheiron are conducting the study, which is expected to conclude in September.
A time frame for any potential changes is currently unknown and will depend on whether the changes concern public or private market strategies, Ms. St. Urbain wrote.
As part of its study, PCA is reviewing a potential new strategic asset class — crisis risk offset — which would provide return and liquidity during a growth crisis. Potential underlying strategies for the CRO asset class could include Treasury rate duration, trend following, liquid alternative risk premiums, discretionary global macro, reinsurance and put buying, said a presentation prepared by PCA for the pension fund.
The retirement association usually undergoes an asset-liability study every five years or so. The last full study was conducted in 2009 with annual asset allocation reviews since then.
SJCERA has a current asset allocation of 24% domestic fixed income, 16.25% each domestic equity and international equity, 15% global opportunistic, 10% each risk parity and real estate, 7% real assets and 1.5% global equity.