New Mexico Public Employees Retirement Association
Cerity recommends removing the Absolute Return allocation
The October 29 investment committee packet shows a 6% policy target and a proposed mix with no Absolute Return allocation.
Consultant recommendation · Approval and implementation unverified
Absolute Return as of June 30, 2026
- Market value
- $1.073 billion 5.25% of the portfolio
- One-year return
- 6.97% 6.64% policy benchmark · +33 bps
- Since inception (April 2024)
- 7.32% 7.19% policy benchmark
Evidence timeline
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PERA reports $1.073 billion in Absolute Return
The sleeve returned 6.97% over one year, 33 basis points above its policy benchmark.
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Actual exposure was 4.7%
The later allocation snapshot reports 4.7% in Absolute Return against a 6% policy target.
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Cerity Partners recommends the proposed mix
The mix omits an Absolute Return allocation. The agenda lists the strategic asset allocation review for information.
Committee agenda · PDF p. 1 Consultant recommendation · PDF p. 145 Proposed weights · PDF p. 158
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Pensions & Investments covers the potential hedge fund exit
A public AlphaMaven summary describes PERA as considering the change. The original article is linked for context.
View consultant forecasts for the whole portfolio
| Measure | Policy | Proposed |
|---|---|---|
| Expected return | 7.2% | 7.2% |
| Standard deviation | 11.9% | 12.9% |
| Sharpe ratio | 0.34 | 0.33 |