Denver Employees Retirement System adopted a new fund policy index, confirmed Randall Baum, chief investment officer for the $2.3 billion pension fund.
Effective with the plan's reporting for the fourth quarter, the new fund policy index is:
- 21% Russell 3000.
- 13% MSCI Europe, Australasia and Far East.
- 8% each to MSCI emerging markets and National Council of Real Estate Investment Fiduciaries Open End Diversified Core Equity fund index plus 20 basis points.
- 7% each to Alerian Midstream Energy index and Russell 3000 plus 200 basis points.
- 6.5% CS Leveraged Loan index.
- 6% each to Bloomberg Barclay's GovCredit 1-3 and Long treasury indexes.
- 5.5% CPI plus 300 basis points.
- 5% each to Bloomberg Barclay's Gov and Hedge Fund Research Inc. Fund of Funds Conservative index.
- 2% to JPM GBI-EM Global Diversified index.
This new fund policy index reflects the plan's new asset allocation approved last April "as well as some revised thinking regarding specific asset class benchmarks," Mr. Baum's email said.