Chicago Policemen’s pension fund preps searches for smidcap value, long/short equity

Chicago Policemen's Annuity & Benefit Fund plans to issue RFPs for managers to run domestic smidcap value equity and customized long/short equity strategies, said Aoifinn Devitt, chief investment officer, in an email.

The selected smidcap value equity manager will run between $100 million and $110 million. Regarding the reason for the search, Ms. Devitt said the pension fund is "refreshing (its) SMID value universe to ensure that (it has) the best possible solution in this critical area where active manager alpha can be high." Fisher Investments, which currently manages just more than $110 million in smidcap value equity for the pension fund, can rebid, Ms. Devitt said.

The long/short equity manager will run $25 million to $50 million initially in a custom strategy "tailored to complement the fund's current equity portfolio and provide equity-like returns for downside protection," Ms. Devitt wrote. Funding for the long/short equity manager will come from an even rebalancing across the entire equity portfolio, Ms. Devitt wrote.

RFP release dates and a timeline for hiring decisions were not available. Once released, the RFPs are expected to be posted on the $2.5 billion pension fund's website.

Separately, the pension fund will redeem up to $60 million from Grantham, Mayo, Van Otterloo & Co.'s Asset Allocation Fund in July to make benefit payments. GMO currently manages around $70 million.

Separately, the pension fund removed the GMO strategy, Pacific Investment Management Co.'s All Assets Fund and a UBS Asset Management international equity strategy from its watchlist. All three strategies were previously put on watch by the pension fund in 2015 for performance. PIMCO had also been put on watch for organizational changes.

The pension fund has $100 million and $67 million invested in the PIMCO and UBS strategies, respectively.