In the nine months to March 2009, the $111.6 billion US fund, CalSTRS has vastly altered its asset allocation, decreasing its equities allocation, with global equities now 6.8 per cent underweight the target allocation.
At the end of June 2008 CalSTRS had 57.8 per cent in equities, 38 per cent of that in US and 19.8 per cent in non-US, but by the end of March this year, that allocation sat at 48.2 per cent. The target global equities allocation is 55 per cent.
The beneficiaries have been fixed income, with an increase of 4.4 per cent to 23.6 per cent of the portfolio, real estate (now 14.7 per cent) and private equity (now 12.9 per cent). These allocations, on average, are 2 per cent overweight the target allocations.
The asset allocation changes have been gradual with the combined equity allocation at December 31, 2008 sitting at 45.8 per cent (32.8 per cent in US and 13.8 per cent in non-US).
According to the chief investment officer’s report in December 2008, the long-term target allocations are 40 per cent US equities, 20 per cent non-US stock, 20 per cent fixed income, 11 per cent real estate, 9 per cent private equity and a zero cash allocation.