NMSIC Considers Elimination of AR Portfolio

The New Mexico State Investment Council (NMSIC) is considering the elimination of its nearly $950 million absolute return allocation. The $21 billion fund is currently conducting an asset allocation review along with consultant RV Kuhns.

The fund’s investment staff is leaning towards recommending the elimination of the 8% absolute return target, a fund spokesman confirmed. Details are being discussed as part of the asset allocation study, and any change would require board approval. The spokesman added that the fund would likely retain some hedge fund exposure through other asset classes.

The absolute return allocation returned 3.97% annualized for the five-year period ending Dec. 31, 2016, according to fund documents. The Credit Suisse Hedge Fund Index returned 4.11% for the same period.

By Levi Davis