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San Diego City Employees' Retirement System will eliminate its real estate investment trust allocation, said Liza Crisafi, chief investment officer, in an e-mail.
Although the portfolio has performed well over the long term, “the current private real estate portfolio has a broad mix of strategies that provide many of the benefits of real estate securities with lower observed volatility,” said materials prepared by investment consultant Aon Hewitt Investment Consulting for last month's board meeting.
I would be really interested in seeing how SDCERS compared the volatility of an asset that trades in the financial markets with one that trades in private markets with a frequency of years or decades. Just because we cannot observe the volatility of private asset prices does not mean that volatility is absent.