The $1.3 billion-plus Montgomery County Employees' Retirement System, Rockville, Md., is reviewing the structure of its U.S. equity portfolio, said Julie Dellinger, executive director.
The fund's investment committee will begin reviewing the initial results sometime this quarter and make recommendations possibly at the board's September meeting.
The system also will revisit its real estate strategy at the end of the year when Wilshire Associates conducts an asset-liability study that could lead to a review of its asset allocation, she said.
The fund also is developing a derivatives investment policy that it hopes to adopt at its September board meeting, she said.
Rather than stating what kinds of derivatives securities the fund will or will not use, the pension plan's policy will state what kind of strategies will and will not be permitted, she explained. The policy will formalize the fund's current approach toward derivatives and ensure money managers are aware of it.
The system also will examine putting in place an automatic rebalancing process, which might include the use of derivatives, possibly using futures overlay or commingled index funds.