Milwaukee County Employees’ Retirement System, Milwaukee, is conducting an asset allocation study that is considering reducing fixed income, while increasing equities and real estate.
The retirement system’s board is reviewing three preliminary proposals to move away from the $1.8 billion fund’s current target mix of 25% U.S. equity, 22% fixed income, 20% non-U.S. equity, 10% hedge funds, 8.5% each real estate and infrastructure, and 6% private equity.
Under the proposals, produced by investment consultant Marquette Associates, fixed income would fall to 20%, 18% or 16%, while U.S. equity would rise to 25.5%, 26% or 27.5%, and non-U.S. equity would stay at 20% or rise to 21.5% or 22%, according to a Marquette report provide by Marian Ninneman, ERS manager.
In real assets, under all the proposals, real estate would rise to 10% and infrastructure stay at 8.5%.
Hedge funds and private equity would remain unchanged in all the options.
Each of the three options would raise the pension fund’s projected 10-year annualized investment return to between 6.39% and 6.61% from 6.27% under the current allocation.
At the same time, the three options would raise projected 10-year annualized volatility to between 8.83% and 9.46% from the current 8.74%.
The board plans to discuss the full asset allocation study over the next several months, according to June 17 board meeting minutes, the latest available.
Ms. Ninneman couldn’t be reached for comment.