Policy Asset Mix

Featured Image

ATRF strategically builds its portfolio to manage risk while also striving to ensure the returns are able to properly fund our plans.

The current long-term policy asset mix was adopted in 2014, following an asset-liability modeling study, which was revisited, but not changed in 2018. ATRF typically conducts this study every four to five years with the goal of determining the most appropriate asset mix for the plan. The policy asset mix includes traditional public market assets, such as equities and bonds, as well as private market assets, such as real estate and infrastructure.

Policy Asset Mix

Policy Asset At Aug. 31/2022
Return Enhancing (RE) 45%
RE - Global Equity 35%
RE - Private Equity 10%
Fixed Income (FI) 20%
FI - Universe Bonds 9%
FI - Long-term Bonds 9%
FI - Short-term Bonds 2%
Inflation Sensitive (IS) 25%
IS - Real Estate 15%
IS - Infrastructure 10%
Absolute Return 10%

Return Enhancing Assets

Return enhancing assets are generally expected to provide the highest return over the long term, but reflect a higher risk profile than other assets in the plan. Return enhancing assets are the largest investment category in the fund, and include our public and private equity portfolios.

We diversify our public market equity portfolios by investment style, company size, and geography in order to mitigate risk. Over the fiscal year, some of these assets were managed by ATRF’s internal investment team, while the majority were managed by external investment partners who have specific expertise in certain markets or investment types. Our private equity assets consist of a diversified combination of limited partnerships and direct investments. ATRF’s private equity assets and investment personnel transitioned to AIMCo in March 2021.

Fixed Income Assets

Fixed income assets are typically among the lowest risk assets in the fund and are expected to provide lower but more stable returns than other asset categories over the long term. They are also a powerful diversifier that tends to perform well when return enhancing assets falter. ATRF’s fixed income assets are diversified across short-,
medium- and long-term maturity dates, and include both government and corporate issuers.

The majority of our fixed income assets were managed by our internal investment team over the fiscal year; however, a small proportion of these assets were outsourced to external managers who are focused on particular segments of the market.

Inflation Sensitive Assets

Inflation sensitive assets are included in the fund to provide returns that are at least partially correlated to inflation over the very long term. This characteristic provides a degree of long-term funding protection as pension benefits under the plans are 70% indexed to inflation. This asset category includes our real estate and infrastructure investments.

Our global real estate and infrastructure portfolios have been managed using a combination of internal and external investment managers. ATRF’s infrastructure assets and investment personnel transitioned to AIMCo at the beginning of February 2021 while our real estate assets and investment personnel transitioned to AIMCo
in March 2021.

Absolute Return Assets

Our absolute return assets play an important role in diversifying risk by generating investment returns that are relatively stable and largely uncorrelated with more traditional assets such as equities. These assets are highly diversified, reflect a wide range of risk-return profiles, and include managed futures, hedge funds, and other multi-asset strategies. All of these strategies are managed by external investment partners.