New Mexico Public Employees Retirement Association, Santa Fe, adopted a new strategic asset allocation that reduces global equities by more than 10 percentage points while increasing real assets and credit allocations.
The new allocation reduces global equities to 43.5% from 54.3% and its risk reduction and mitigation portfolio to 21.5% from 26.1%, but it increases real assets to 20% from 13.3% and credit to 15% from 6.3%, said Jonathan Grabel, CIO of the $14 billion pension fund.
New Mexico PERA's risk reduction and mitigation portfolio includes core fixed income, global core fixed income, long-duration core fixed income and cash.
Pension fund officials chose the new asset mix to increase returns and reduce risk, Mr. Grabel said. More than 80% of the risk in the pension fund's former portfolio was in its global equities portfolio.
Separately, New Mexico PERA officials are seeking to redeem the remaining $14 million investment in Pershing Square Capital Management's hedge fund. If pension fund officials did not seek to redeem the remainder of its investment now they would have had to wait another two years to do so, Mr. Grabel said.
The pension fund's investment with Pershing Square is part of its hedged equity portfolio, which is part of its global equity portfolio that is being reduced, he said.
“We want to concentrate on higher conviction portfolios,” Mr. Grabel said.