Fresno (Calif.) City Employees' Retirement Fund is studying domestic bond indexing and how it would affect the fund's asset allocation, said Stan McDivitt, retirement administrator. A decision is expected by the end of the year as part of the $1.5 billion fund's asset allocation review.
Bill Cottle of Dorn, Hellieson & Cottle is assisting.
Fresno currently has 32% of its assets in actively managed domestic bonds; 13% in large-cap value stocks; 16% in large-cap growth stocks; 11% in large-cap indexed stocks; 4% in midcap stocks; 7% in small-cap stocks; 7% in international equity; 7% in international fixed income; and 3% in real estate.
Analytic TSA Global Asset Management unveiled a new investment product around yield curve spread futures and futures options, which are set to begin trading tomorrow on the Chicago Board of Trade. The strategy will use the contracts in a quantitative yield curve forecasting model, focusing on the probability of the direction of yield curve moves, rather than the size of a yield curve move.
The product can be offered through a fixed-income overlay, or as a leveraged, absolute return strategy.