Institutional Investors

Pennsylvania Public Schools adds risk parity with latest asset allocation


The Pennsylvania Public School Employees Retirement System added risk parity for a new asset allocation to be implemented by July 2012.

The risk parity allocation will total 5% of the $48 billion retirement fund. Of that amount roughly 2.5% will be allotted to external managers, but nothing definitive is in place yet regarding manager search plans.

The pension fund already has Bridgewater on board as a designated risk parity manager.

The new asset class will have a customised benchmark that is a blend of the MSCI EAFE Index Hedged, DJ/UBS Commodity Index, S&P GSCI