Ohio Bureau of Workers' Compensation, Columbus, is searching for passive intermediate-duration U.S. Treasury fixed-income managers to run a total of about $925 million, spokeswoman Melissa Vince said in an email.
The board of the bureau, which oversees $26.8 billion in insurance funds, has issued an RFP because of a new target allocation for the $24.7 billion State Insurance Fund it approved in May. That amended allocation includes a new 4% target to passive domestic intermediate-term fixed income, replacing the 4% target to passive domestic long-duration fixed income. On May 30, the bureau terminated BlackRock (BLK)'s $897 million passive long-duration fixed-income portfolio and moved the assets to cash.
The RFP is available on the state of Ohio's procurement website. Proposals are due at 2 p.m. EDT on Aug. 30. A notice of award is scheduled for Oct. 25.
Separately, the board approved adding $250 million each to its four active domestic core-plus fixed-income managers. The managers and new portfolio sizes are: J.P. Morgan Asset Management (JPM) and Loomis Sayles & Co., $1.05 billion each; PGIM Fixed Income, $1.06 billion; and TCW Group, $1.03 billion. The change is due to an increase in the active domestic core-plus aggregate fixed-income target, to 18% from 15%.
The board also approved terminating Barrow, Hanley, Mewhinney & Strauss from its $609 million active long-duration credit portfolio as a result of the reduction in that target allocation to 22% from 28% and because it was the lowest-performing of the state insurance fund's long-duration managers, according to board meeting materials. Robert Barkley, Barrow Hanley's managing director, client development, could not be immediately reached for comment.
An additional combined $1 billion will be redeemed from the five other active long-duration managers: Conning Asset Management, which currently runs $767 million; Legal & General Investment Management America, Pacific Investment Management Co. and PGIM Fixed Income, $1.6 billion each; and Western Asset Management, $706 million. The amount by which each will be reduced has yet to be determined, but board meeting materials say that will be completed by October.
In May, the board also increased the targets to core real estate to 9% from 7% and core-plus real estate to 4% from 3%. In June, the board made follow-on commitments to its core-plus real estate managers reflecting the change.
Targets that remain unchanged are 20% domestic equities, 10% each passive international equities and passive Treasury inflation-protected securities, 2% value-added real estate and 1% cash and cash equivalents.
As of March 31, the state insurance fund's actual allocation was: 27.9% active long-duration fixed income, 23.9% domestic equities, 12.9% active domestic core-plus aggregate fixed income, 11% passive international equities, 9% core real estate. 7.5% passive TIPS, 3.7% passive domestic long-duration fixed income, 2.5% core plus real estate, 1% value-added real estate and 0.6% cash.
Investment consultant RVK assists with all searches, hires and allocation changes.