He said the "triage plan," which features low equity exposure as well as substantial asset class diversity and a high level of liquidity protected the fund from higher losses during the treacherous depths of the coronavirus-induced market decline.
The asset allocation as of March 31 was 19.7% public equity, 19.2% fixed income (ex-inflation-linked), 13.7% private markets, 12.4% risk parity, 11.3% absolute return, 7.5% inflation-linked fixed income, 7.2% real estate, 5.9% commodities and 3.1% cash and overlay.
"Our three main imperatives are achieving our 6.75% long-term assumed rate of return, efficient management of the portfolio and always making sure we have enough cash on hand to pay the bills," Mr. Davis said.
Mr. Davis and the investment team have been remotely managing the pension plan and $112 million in non-retirement-related funds pool as well as overseeing investment options for the system's $5.6 billion defined contribution plan without a hitch.
The DB portfolio benefited from continued employer contributions that are required by law until the plan reaches 105% funding. That inflow provided financial strength to the DB portfolio, Mr. Davis said. As of March 31, INPRS had sufficient liquidity to cover four months of retirement payments even if an employer was late in making the required contribution.
INPRS implemented a cash overlay program a few years ago "specifically to help the investment staff manage through a liquidity crisis like this one. It really works for us," Mr. Davis said, noting the DB plan has close to $16 billion in liquid assets.
INPRS staff tends to keep asset class weightings in the DB portfolio close to their targets and rebalanced halfway back to target levels after the equity sell-off in March by buying equities and commodities that month using futures, "which are much cheaper and faster for rebalancing than buying securities," Mr. Davis said.
Given the fund's substantial liquidity, Mr. Davis said the system's investment team is "really focused on taking advantage of investment opportunities, primarily in private equity, private credit and private real estate. We're known as an investor that can act very quickly on opportunities and are getting a lot of incoming calls."
In just one week, the private markets team fielded 150 incoming phone solicitations from cash-hungry alternative investment firm marketers.
Mr. Davis declined to name names, but INPRS has maintained its flow of commitments to new alternative investment strategies.
