New Mexico Educational Retirement Board, Santa Fe, delegated to the staff the selection of investment managers and consultants, except the general investment consultant.
A staff selection committee will be set up to make the hiring and firing decisions, with the investment policy changes effective Oct. 1. The staff recommended delaying the effective date to give it time to determine the exact process and report back to the investment committee at its September meeting, CIO Bob Jacksha told the board for the $12.8 billion pension fund on Aug. 14.
Even though the staff will be making the money manager and consultant decisions, the board is the oversight authority and should be kept in the loop, Mr. Jacksha said.
The staff will continue reporting manager and consultant selections to the board, he said.
Separately, the board chose its former private equity consultant, Top Tier Capital Partners, to be its venture capital consultant. The board had $244 million invested in venture capital as of Dec. 31. In 2019, the board changed its private equity consulting structure to one that focuses on multiple service providers with specific expertise from a single private equity consultant model. Under the new model, the board's general investment consultant, NEPC, will provide strategic planning and performance consulting for the $2.1 billion private equity portfolio. In addition to Top Tier, existing private equity managers will assist: BlackRock Private Equity Partners with growth equity and buyout, Banner Ridge Partners with distressed and special situations, and Aberdeen Standard Investments with European private equity.
The board has a 15% private equity target allocation.
In addition, the pension fund's return for its fiscal year ended June 30 was a net -0.97%, underperforming its 1.89% benchmark. The pension fund returned an annualized net 4.7% for the three years ended June 30, underperforming its benchmark of 5.9%; an annualized net 5.7% for five years, underperforming its benchmark of 6.2%; an annualized net 7.75% for 10 years, above its benchmark of 7.72% and an annualized net 5.1% for 20 years, underperforming its 5.3% benchmark.
The pension plan earned a net 7.3% in the prior fiscal year.
The top-performing asset class in the year ended June 30 was U.S. equity with a net 6% return, underperforming its 6.5% benchmark. Infrastructure earned a net 3% return, underperforming its 4.7% benchmark; private equity returned a net 2.6%, topping its -2.3% benchmark; GAA, risk parity and other diversifying assets earned a net -1.1%, below its 3.6% benchmark; non-U.S. equity, -2.9% vs -4.8%; fixed income was -3.7% (8.7%); real assets was -5.7% (4.7%); and real estate was -6.1% (2.7%).