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SFERS staff lays out risk, liquidity and portable‑alpha plans; proposes tracking‑error guardrails
Summary
Staff told the board the system has improved liquidity by reallocating to treasuries, cash and public credit, presented new actionable and stress tracking‑error guardrails (100 bps and 150 bps), and described cautious leverage use via a portable‑alpha framework.
SFERS staff presented a wide‑ranging risk and leverage review that framed portfolio risk beyond short‑term volatility and asked the board to consider new monitoring and rebalancing guardrails.
Anna (head of risk monitoring) told commissioners the strategic asset allocation (SAA) approved by the board establishes an implied risk tolerance; staff’s work has focused on aligning the portfolio to that SAA by increasing liquidity (adding U.S. Treasuries, cash and public credit), modestly reducing downside risk, and lowering expected return volatility. Using Wilshire and other vendor analytics, staff reported a Wilshire liquidity base of about 44% and noted additional internal tiered measures that put Tier‑1 liquidity near…
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