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Asset Allocation

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Determining the system’s asset allocation is regarded as one of the most important decisions in the investment management process. The board, with advice from staff and the asset consultant, has developed a risk-weighted policy allocation that is designed to achieve the long‑term required return objectives of the system, given certain risk constraints. The current asset allocation reflects a diversified portfolio, which will perform well in a variety of economic conditions and will help reduce the portfolio’s overall volatility. In determining the optimum mix of assets, the board considers five factors:

  1. The expected risk of each asset class.
  2. The expected rate of return for each asset class.
  3. The correlation between the rates of return of the asset classes.
  4. The investment objectives and risk constraints of the fund.
  5. The impact of the portfolio’s volatility on the contribution rate.

While the board maintains a set policy allocation mix, they have taken steps to provide flexibility by granting authority to the CIO, with the approval of the external asset consultant and certification of the executive director, to make strategic allocation decisions to capitalize on attractively valued opportunities within prudent risk constraints. This flexibility has allowed the system to take advantage of changing market conditions.

Total Fund Asset Allocation at September 30, 2017

Policy Target vs. Actual Allocation

Asset Allocation Total Funds

Total Fund Risk Allocation at September 30, 2017

Policy Target vs. Actual

Asset Allocation Total Risk

 

MOSERS
Missouri State Employees' Retirement System
Address: 907 Wildwood Dr., Jefferson City, MO 65102
https://www.mosers.org/images/mosers-logo-bg-375-280.jpg Phone: 800.827.1063 URL: Email: mosers@mosers.org Founded On: September 1, 1957