San Joaquin County Employees' Retirement Association, Stockton, Calif., named three finalists in its search for a risk-parity manager, CEO Annette St. Urbain said in an e-mail.
The three — AQR Capital Management, Invesco and PanAgora Asset Management — will be interviewed at the Dec. 11 board meeting.
A hiring decision could be made the same day, and is subject to successful contract negotiations and other approvals, Ms. Urbain wrote. A potential allocation size and funding source could not immediately be learned.
The search is being conducted as part of the ongoing restructure of the pension fund's risk-parity portfolio.
Also, the $2.5 billion pension fund's board adopted a new long-term strategic asset allocation, which puts investments into six risk-based categories and lowers the public equity target, among other changes.
The approved categories and their targets are:
- global public equity, 30%;
- crisis risk offset, a new asset class aimed at providing return and liquidity during a growth crisis, 20%. Potential underlying strategies could include Treasury rate duration, trend following and liquid alternative risk premiums;
- credit, 14%;
- risk parity, 14%;
- private appreciation, consisting of private equity and private real estate, 12%; and
- stable fixed income, comprising public, interest-rate driven securities, 10%.
SJCERA had a previous long-term target asset allocation of 24% domestic fixed income; 16.25% each domestic equity and international equity; 15% global opportunistic, which includes areas such as bank loans and direct lending; 10% each risk parity and real estate; 7% real assets; and 1.5% global equity. Under the new framework, the prior target allocation would have been 36.5% global public equity, 18% credit, 17% risk parity, 15% stable fixed income, 8.5% private appreciation and 5% crisis risk offset.
The changes are the result of an asset-liability study conducted by investment consultant Pension Consulting Alliance.
