The Montana State Investment Board is researching multi-asset strategies to build out a new diversifying strategies, and may also be on the lookout managers in its natural resources and real estate portfolio.
The fund, which manages $18.4bn in assets in several pension funds and state trusts, including $11.4bn in pension assets, also reviewed $125m in private markets commitments at its May 22 meeting.
Diversifying assets is a new asset class for the state, which gave investment staff the go-ahead in February to begin allocating to a target of 0% to 4%. The asset class includes a potentially wide mix of public markets investments that seek to provide downside protection while maintaining liquidity and providing a better return than just holding onto cash. Creating a new asset class was necessary, according to CIO Joe Cullen, to allow the state pension funds to take advantage of multi-asset strategies and other investments that otherwise would not fit within the state’s asset allocation structure.
Montana has started building the asset class with an internally-managed strategy focused on long duration U.S. Treasuries, and currently has an allocation of $26m, or 0.26% of its pension portfolio.
“If interest rates continue to rise meaningfully, we’ll probably add a little bit more that that position, but more meaningful to this asset class of diversifying strategies, [director of public markets] Rande [Muffick] and the public markets team are looking at some of these multi asset class managers,” Cullen said at the May meeting. “We’re looking, we’re not going to say ‘oh by this date we’ll have one’ but we’re going through a process now during the summer that if one comes out of that process, or two, over the summer, then that’s something we’ll bring to you in the fall.”
Read the full story: Montana explores multi-asset strategies, commits $125m to private markets
Published by Money Management Report/Pageant Media.