Pennsylvania Public School Employees' Retirement System directed employees classified as "essential" to work from home, beginning Monday.
Each of the agency's departments is maintaining a skeleton crew in the Harrisburg headquarters of the $60 billion system. PennPSERS' action mimics the state's directive issued March 15 that essential state employees based in the capitol complex in Harrisburg and surrounding Dauphin County work remotely if they can.
"The fund) will continue to operate," spokesman Steve Esack said in an email noting that "even though (the fund) is an independent agency, we follow the advice of the governor's office."
During the week beginning March 9, PennPSERS' investment staff began rebalancing the defined benefit plan portfolio by increasing investments and commitments to gold, infrastructure and public real estate within its real assets portfolio that had a "large underweight," Mr. Esack said.
On March 6, PennPSERS sold $1 billion of U.S. long-dated Treasury bonds to harvest gains and rebalance the portfolio.
"We sold those treasuries because the market run pushed PSERS' allocation (to) U.S. Treasuries above our permissible internal range for that asset class. I want to emphasize that PSERS did not sell because it has financial concerns about the coronavirus. We sold because investors' fears over the coronavirus caused favorable market conditions to conduct the sale. We would have taken advantage of such market conditions no matter what the underlying cause was," Mr. Esack said.
PSERS restructured its portfolio after the Great Financial Crisis in 2009 shifting from a portfolio weighting for equities of weighting of 70% to 30%, Mr. Esack said, noting that he couldn’t provide the specific changes in the allocations in these asset classes.
"(The fund's) more balanced investing practices helped the fund retain a positive return when equity markets tumbled in the 2018 calendar year. With that history as a guide, (the fund's) portfolio should better withstand the coronavirus fears that have whipsawed markets, curtailed travel, tamped down economic growth projections, and caused the Federal Reserve to lower interest rates," said James H. Grossman, the system's CIO, in a March 5 news release.
Mr. Grossman and Glenn Grell, executive director, posted videos explaining the system's investment approach during current market turbulence on the PennPSERS's Twitter page.