The Ledger
Every statement that passed quotation and attribution checks. Mix any filter with any other: certainty 1/5, debate potential 5/5, or both at once.
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Garcia: PERA targets 7.25% return using 10% beta leverage and 1% alpha
“What we're looking at is in our beta book, we're looking to incorporate embedded leverage in the asset classes and then about in a very modest amount, which is about 10% at the total asset allocation level. So we think we can get somewhere around a six percent…”
Garcia: Private assets are active management vehicles, not distinct asset classes
“We view private assets as not asset classes. We view the private assets as another way to access active management or alpha.”
Garcia: Hedge funds are pound-for-pound the best risk-adjusted alpha generators
“We're buying market neutral hedge funds because on a risk adjusted basis, hedge funds are still pound for pound the best alpha generators.”
PERA targets capturing 60% to 70% of managers' gross alpha
“So based on the gross alpha that a manager can generate, we're trying to get to 60 to 70% capture ratio of that gross.”
Garcia: New Mexico PERA is 100% externally managed
“So we actually end up being a hundred percent external.”
PERA delegates all manager selection to internal staff while board sets risk
“So what our governance looks like today is our board makes three decisions. They set our overall risk tolerance, they approve our risk budget as what I've been talking about, and they set benchmarks. Everything else gets delegated down to staff. So the manager…”
Garcia: PERA allocates 2% tracking error to target 1% excess return
“And then, so in alpha space, we'll say, you know what, in addition to the risk we're taking in asset allocation space or beta, we want to take up to another two percent tracking error relative to that beta that we're taking. And up to that additional two perce…”