ST. PETERSBURG, Fla. - Two pension plan sponsors are getting mixed results from their tactical asset allocation programs, according to speakers at a conference.
The South Dakota Investment Council's TAA program has lost as much money in the last two years as it earned over the previous 10 years, said Stephen R. Myers, investment officer for the $3.5 billion fund, based in Sioux Falls.
Speaking in January at the Derivative End-Users Summit sponsored by Frank J. Fabozzi/Information Management Network, Mr. Myers said TAA produced great returns for South Dakota in 1986 and 1987, but those gains have been lost in the last two years. Until the losses started, the externally run program made no significant moves, he said.
Mr. Myers declined to provide additional comment.
Meanwhile, Shell Oil Co.'s TAA program results have been pretty good, said Ron Stapleton, manager of fixed income, also speaking at the conference.
Houston-based Shell's TAA program created about 120 basis points of added-value for the equity portion of the $5 billion fund in 1996.
The program is run in-house, using three independent forecasts for the market, which are then optimized, Mr. Stapleton said.
As of year end, the program resulted in an allocation of 80% stocks, 20% bonds.
Hart-Bornhoft in Japan venture
DENVER - Hart-Bornhoft Group Inc. entered into a joint venture with Daiwa Futures Co. Ltd. to offer managed futures services to institutions and private clients in Japan.
Hart-Bornhoft, which manages portfolios of commodity trading advisers and hedge funds, will provide investment management, while Daiwa will create and distribute the investment services, said Patrick Hart, chairman.
The joint venture comes ahead of expected deregulation and liberalization of managed futures in Japan, said Yasuo Mogi, managing director-international, for Daiwa Futures, in a statement.
Philadelphia ends options use
PHILADELPHIA - The Philadelphia Municipal Pension Fund, with more than $2.8 billion in assets, has ended its options overwriting program and terminated AnalyticTSA Global Asset Management Inc., Los Angeles, after suffering disappointing results, said Joseph J. Herkness, executive director.
"It was not Analytic so much as the concept of options overwriting had not performed," Mr. Herkness said. Loomis Sayles, the other options overwriting manager already had been terminated some time ago, he said. Analytic could invest up to a few percentage points of the fund's equity exposure in options overwriting, Mr. Herkness said.
AnalyticTSA starts new unit
LOS ANGELES - AnalyticTSA Global Asset Management Inc. created a unit dedicated to offering over-the-counter derivatives consulting and selected Stephen Pelletier to head it, according to Roger G. Clarke, chairman.
AnalyticTSA already had consulted sporadically on OTC derivatives transactions, Mr. Clarke said.
As part of the move, AnalyticTSA also recently formalized previous relationships with derivatives software firm Theoretics Inc., Salt Lake City, and The Analysis Group, Cambridge, Mass., an investment consultant, he said.
Vineeta Anand contributed to this column.
