New Mexico Educational Retirement Board, Santa Fe, could launch an RFP for an EAFE value equity manager by September, Bob Jacksha, chief investment officer for the $9.4 billion pension fund, wrote in an e-mail.
The incumbent, AllianceBernstein (AB), which manages a $94 million portfolio, has underperformed its benchmark but is eligible to participate in the search, Mr. Jacksha wrote. The RFP will be posted on the pension fund's website at www.nmerb.org. A selection is not expected until November.
Separately, AllianceBernstein, which also manages a $534 million emerging markets equity portfolio, was placed on watch for that portfolio at the Aug 16 investment committee meeting. Staff will review AllianceBernstein's watch status in six months.
The pension fund also committed $50 million to Amerra Agri Fund II, a fund managed by Amerra Capital that makes secured loans to agriculture producers, processors and distributors.
Separately, the pension fund returned 2% for the year ended June 30. The best-performing asset class was GTAA, which earned 12.8% for the year; the worst was emerging markets equities at -19.6%.
“While the 2% return for the year was disappointing given our 7.75% (assumed return rate), it appears to be good on a relative basis,” Mr. Jacksha stated.