Arizona and Alaska Funds Shift Allocations

(June 1, 2010) — The $6.3 billion Arizona Public Safety Personnel Retirement System has added three new asset classes: 8% each to global tactical asset allocation and international fixed income, and 4% to absolute return.

The new asset allocation was recommended by the system’s general consultant NEPC. “Given the new capital market projections that NEPC is using, the current policy mix should produce an annual average expected return of 7.8%; the new mix should increase that slightly to 8%,” said fund administrator James Hacking to Pensions & Investments.

The system reduced domestic equity, domestic fixed income and international equity allocations — domestic equities dropped to 20% from 30% while domestic fixed income fell from 20% to 12% and international equity decreased from 20% to 15%. On the other hand, emerging markets allocation was increased to 7% from 5%.

BlackRock currently runs about $720 million of the portfolio. The remaining $460 million is internally managed by system staff.

In other news, the Alaska Permanent Fund has OK’ed a $600 million commitment to private equity investments for fiscal 2011, as well as new board charters, a governance policy and an updated investment policy. The fund had $2.3 billion in private equity investments as of March 31.