Baltimore Retirement Systems is conducting a ``top to bottom'' review of manager performance and asset allocation that could result in some manager changes, said Thomas P. Taneyhill, administrator. The $2.7 billion system -made up of the Baltimore Employees' Retirement System and the Fire and Police Retirement System - hopes to complete its review in a few months, he said.
The system now has 48% in U.S. equities, 12% in international equities, 19% in tactical asset allocation, 17% in domestic fixed income, and 4% in real estate. The review was initiated following the recent appointment of Mr. Taneyhill as administrator. After serving as acting administrator, he took over from Ernie Glinka, who retired in July.
The City of Roanoke (Va.) is considering a search for a small- to midcap equity manager for its $236 million pension fund.
The new firm would replace Newbold's Asset Management, which was terminated for performance reasons, said Doris Peters, administrator. A search has not yet started. No timetable or amount has been set. Newbold's ran $30 million, said Joyce Sparks, fund accountant. Newbold's officials declined to comment. Fiduciary Capital Advisors is assisting.
CalPERS and the New York City Employees' Retirement System will support a shareholder proposal asking RJR Nabisco at its April 16 annual meeting to stop using the Joe Camel advertising campaign by 1998, unless research shows the ads do not promote underage smoking.
The $29.5 billion NYCERS fund's proxy committee yesterday voted to support the resolution sponsored by Interfaith Center on Corporate Responsibility members, said Marty Rosenblatt, a trustee. The $110 billion CalPERS board voted to support the resolution March 17.
The $58 billion New York State Teachers' Retirement System has not voted on the issue, but its proxy policy spells out the system's support for investor resolutions seeking to end tobacco advertising aimed at youth, said Robert DeLuca, director of member relations.
BARRA and Prebon Yamane joined forces to offer a computer-based forward rate agreement crossing system called POSIT-FRA.
The system is designed to offer FRA and interest rate swap investors a confidential way to execute FRA transactions in a crossing system environment, said Harry A. Fry, deputy managing director for Prebon Yamane. At first, crossing sessions will occur after the close of Eurodollar futures trading, transactions will be handled in a number of currencies. BARRA designed the software, with help from Prebon Yamane, an institutional fixed-income broker, including FRAs and interest rate swaps.
OTC derivatives positions grew 37% in 1996, according to preliminary data compiled for the International Swaps and Derivatives Association. Outstanding privately negotiated contracts in interest rate swaps, currency swaps and interest rate options carried a notional market value of $24.3 trillion as of Dec. 31, up substantially from 1995's $17.7 trillion, the ISDA said. The numbers were culled from ISDA members, mainly OTC dealers, by Arthur Andersen.
