New Mexico Public Employees Retirement Association, Santa Fe, committed a total of $390 million to alternative investment funds, according to a staff report.
The $16.7 billion pension fund committed $200 million to Ares Pathfinder Core Fund, an evergreen asset-based lending fund investing in illiquid and liquid credit managed by Ares Management.
Pension officials also committed $85 million to middle market buyout fund The Resolute Fund VI and $30 million to NM PERA Crescit Eundo TJC CoInvest, an evergreen fund-of-one to co-invest alongside Resolute VI. Both are managed by The Jordan Company.
New Mexico PERA also committed $75 million to Altaris Health Partners VI, a healthcare-focused buyout fund with a $3 billion fundraising target.
The pension fund also removed its portable alpha's bonds plus overlay, which lost $132 million since its 2019 inception. Staff expects that the portable alpha overlay will continue to lose money in the future due to the high financing costs of about $3 million per month, which negatively impacts returns, a staff report said.
With the elimination of the bond overlay program, the pension fund's portable alpha program will transition to a portfolio of diversified hedge funds. The pension fund has a 17% target to a risk mitigation allocation that includes portable alpha.
Separately, the board also eliminated its active risk budget targets, replacing them with other risk and return measures.
Pension fund officials developed its active risk budget in 2017 to help the board monitor and evaluate staff's implementation of its asset allocation. New Mexico PERA's board has delegated implementation authority, including manager and strategy selection and portfolio rebalancing, according to a memo by the board's general investment consultant Verus Advisory for the board's Oct. 26 meeting.
The board decided to eliminate its active risk budget because the budget consisted of multiple active risk targets that were difficult to accurately measure and were also redundant, Verus said.
Instead, the board will continue to use other risk measures, including the total fund Sharpe Ratio and total fund tracking error.