Cincinnati Retirement System adopted a new asset allocation, which includes changes to the structures of its equity and fixed-income targets and an increase in the target to global infrastructure.
The $2.1 billion pension fund’s board approved the new allocation in November following the completion of an asset allocation study by investment consultant Marquette Associates, confirmed Beverly Nussman, the system’s finance manager.
The overall targets to domestic equities, international equities and fixed income remain at 27.5%, 23% and 14%.
Within domestic equities, the board approved a new target to all-cap core strategies of 18.5% of the overall pension fund, the reductions of small-cap value to 3.5% from 7.5%, large-cap value to 3.5% from 7%, and midcap value to 2% from 4%, and the elimination of targets of 5% to large-cap growth and 4% to midcap core.
Within international equities, the board approved a new target of broad international equities of 20% of the overall pension fund, and the elimination of targets of 10% to developed markets large cap and 5% each to developed markets small cap and emerging markets. The target to emerging markets small cap remains at 3% of the overall pension fund.
Within fixed income, the board approved a new target of 6% of the overall pension fund to broad fixed income and the elimination of the 6% target to universal fixed income. The targets to core plus and opportunistic credit remain at 6% and 2%, respectively.
The target to hedge funds remains at 5%, although the pension fund changed the parameters to defensive equity strategies from global macro strategies.
The overall target to illiquid assets was increased to 23% from 20.5%. Within illiquid assets, the pension fund increased its target to global infrastructure to 10% of the overall pension fund from 7.5%, reduced the target to private equity funds of funds to 8% from 10% and created a new 2% target to venture capital funds. The target to private equity mezzanine funds remained unchanged at 3%.
Finally, the target to core real estate was reduced to 7.5% from 10%.
As of Sept. 30, the actual allocation was 27.8% domestic equities, 22.9% international equities, 17.5% fixed income, 9.9% real estate, 8.7% private equity, 7.9% infrastructure, 4.5% risk parity and the rest in cash equivalents.
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