Arizona State Retirement Conducts Asset-Liability Study

Arizona State Retirement System, Phoenix, is conducting an asset-liability study.

The $52.3 billion pension fund is conducting the study because of its policy of conducting such studies every three to five years with the help of NEPC, its general investment consultant.

No specific asset class is mentioned for potential changes, but the NEPC, in a presentation included in the documents for the pension fund’s March 25 board meeting, said an “argument may be argued that ASRS’ 12-year experience in implementing private credit has consistently provided higher returns and lower volatility than the benchmark, justifying changes to capital market assumptions of this asset class.

The pension fund’s target credit allocation is 20%. As of June 30, the actual allocation was 20.5% and within this allocation the individual allocations to the total fund were 14.5% private debt, 3.1% other credit and 2. 9% distressed debt.

The full study is expected to be presented at the pension fund’s board meeting on May 27, with the board expected to approve the revised targets at that time.

The current target allocation is 50% total equities, 20% credit and real estate and 10% interest rate sensitive bonds.

As of December 31, the actual allocation was 53% total equities, 20.5% credit, 16.5% real estate, 7.2% interest rate sensitive bonds and 2.8% cash.

ASRS spokesman David Cannella could not immediately provide further information.

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