US - The State of Wisconsin Investment Board (SWIB) has allocated $600m to two risk parity strategy managers as part of its multi-asset allocation within the Wisconsin Retirement System (WRS).
SWIB allocated $300m each to AQR Capital Management and Bridgewater Associates' All Weather vehicle, with funds coming from cash and the multi asset liquidity fund, which is managed internally.
The board said the addition of risk parity portfolios is part of a strategy it approved last year to help provide additional diversification for WRS Core Trust Fund.
SWIB's trustees have also approved an $80m allocation to a new venture capital vehicle. SWIB, which already has a small allocation to venture capital, said the Catalyst Portfolio will allow it to take advantage of additional opportunities in the sector. SWIB consultant Strategic Investment Solutions will help with a search for the fund manager and the portfolio is expected to be in operation by the second quarter of 2011.
The allocations come as the board reported solid returns of 12.3% from the $73.5bn Core Fund and $15.6bn by the $5.6bn Variable Fund. Both funds surpassed their benchmarks of 12.1% and 15.3%, respectively. The benchmarks include market indices for the various types of assets managed by SWIB, including domestic and international stocks, bonds, loans, real estate, and private equity.
Strong stock markets in the fourth quarter gave the trust funds a boost after a slow start. In October, the Dow Jones Industrial Average had its highest monthly gain since 2006, rising 3%. The S&P 500 Index went on to return 6.7% in December and 10.8% over the fourth quarter.
"While US stocks ended with a strong performance, uncertainty about economic recovery continues," cautioned Keith Bozarth, SWIB executive director. "Housing remains weak and the unemployment level remains high in the US. In addition, concerns over the global credit markets remain.
"A change in direction for those factors would be a positive sign for improved economic growth."
Assets under management at SWIB stood at $83.8bn as of December 31, 2010, including $79.1bn in trust funds of the Wisconsin Retirement System (WRS). The WRS is the 9th largest US public pension fund and the 30th largest pension fund in the world.
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