New Mexico Public Employees Retirement Association, Santa Fe, is searching for a firm to provide total fund overlay services for its portfolio, said an RFP posted on the pension fund's website. The pension fund issued the RFP following the adoption of an active risk budget, which established a target of 150 basis points of tracking error (65 basis points for structure decisions) for the pension fund's $15.4 billion in assets. The pension fund is seeking an investment manager that can propose an "optimization of our structure decisions and portfolio drift, or systematic sources of risk relative to the benchmark target allocations, not to exceed some portion of the 65 bps tracking error budget," the RFP said.
The firm, according to the RFP, "will display demonstrated skill in overlay solutions, asset allocation, tactical views on relative merits across asset classes/strategies, and risk management strategies." The RFP also notes that the selected firm could also assist in the future to transitioning PERA "to a partially or wholly internally implemented overlay program at a future date."
The RFP is available on PERA's website. Proposals are due at 5 p.m. MDT on Sept. 7. A timeline for a hiring decision has yet to be determined.
Dominic Garcia, chief investment officer, and Jodi Trujillo, pension fund spokeswoman, could not be immediately reached to provide further information.