The board of the New Mexico Public Employees Retirement Association is expected to consider a new asset allocation as early as its Oct. 27 meeting that would increase its exposure to alternative investments.
The investment committee of the $16.6 billion, Santa Fe-based pension plan on Sept. 29 voted to recommend an asset allocation that would increase global equity to 38% from 35.5% and credit-oriented fixed income to 19% from 15%. It would also reduce its risk reduction and mitigation allocation to 17% from 19.5%, real assets to 18% from 20%, and multi-risk allocation to 8% from 10%.
Within global equity, the new allocation would trim global public equity to 16% from 16.5% and global low-volatility public equity to 5% from 7%. At the same time, the allocation proposal would add 5 percentage points to the private equity allocation, raising it to 17%.
Within risk reduction and mitigation, pension fund officials would keep core U.S. bonds at 17%, but eliminate its 2.5% allocation to a hedged core global bond suballocation. Within credit-oriented fixed income, New Mexico PERA would increase its hedged global high-yield suballocation by 2 percentage points to 4%, eliminate its 3% emerging market debt suballocation, increase alternative credit by 3 percentage points to 7%, and boost private credit by 2 percentage points to 8%.
Its real assets portfolio would decrease liquid real assets by 2 percentage points to 3%, while keeping private real estate and private real assets at 7% and 8%, respectively. Currently, its multi-risk allocation is solely made up of risk parity.