When it comes to the fiscal year ended June 30, Bob Jacksha gives a lot of the credit to private equity and private real estate, saying he hopes the final numbers will show a positive return despite market volatility.
So far, so good, said Mr. Jacksha, CIO of the $16.3 billion New Mexico Educational Retirement Board, Santa Fe.
The pension plan has produced solid returns as of March 31, beating its benchmark in all time periods.
New Mexico ERB earned 14.8% for the one-year period ended March 31, 10% for five years, 8.9% for the 10-year and 8.3% for the 30-year periods.
But these positive returns came even with a negative first quarter of this year of -1%, which outperformed its benchmark of -2%.
The board is tentatively scheduled in August to launch its three-year asset-liability review, starting with the latest capital markets assumptions from its general investment consultant NEPC. Staff is not expecting any major changes, Mr. Jacksha said in an email.
In the meantime, New Mexico ERB has had a slight tactical underweight to core fixed income in anticipation of higher interest rates and has been overweight private equity.
"The latter is not necessarily intentional as the increase in private equity's value has been organic from the near 50% increase," caused by a decline in the pension fund's equity portfolio.
For the year ended March 31, private equity was the star with a 48.9% internal rate of return, while emerging markets equities was "the villain" at -17.7% , with an "honorable mention" to private real estate at 40.3%, he said.
As of March 31, New Mexico ERB had an asset allocation of 31% public equity, 21% private equity, 16% opportunistic credit, 11% diversifying assets, 8% each real estate and real assets, 5% core bonds, and 2% cash. The total is slightly more than 100% due to a small amount of leverage, he said.
Until then the plan's returns are announced, his motto remains: "Here's hoping."
