ABB Inc. pension executives might form a money management operation to offer its market-neutral manager process to other pension funds, said Larry Morgenthal, manager of pension and thrift management.
While the effort has not been finalized, the plan is to offer an equitized market-neutral fund-of-funds using the managers in Stamford, Conn.-based ABB's U.S. equity allocation, Mr. Morgenthal said. Eric Wood, director of pension and thrift management, also would work on the operation.
``We've been doing it 61/2 years with good numbers,'' Mr. Morgenthal said. ABB has $110 million in the strategy, he said.
Investment managers selected by ABB, which has about $2.4 billion in retirement assets, go long and short U.S. stocks, seeking to capture pure alpha. The managers then equitize their positions with S&P 500 Index futures, he said.
Ontario Teachers' Pension Plan Board, North York, Ontario, created a C$140 million (U.S.$101 million) allocation to a passive investments tied to the Goldman Sachs Commodity Index, said Robert Bertram, senior vice president, investments for the C$54 billion fund.
The move, which he said was a toe in the water given the size of the allocation, was done to improve the asset mix, as fund officials seek ways to diversify assets.
The index portfolio will be run internally, primarily using the GSCI futures contracts traded on the Chicago Mercantile Exchange, although swaps may be used on occasion, he said.
State Universities Retirement Sysem of Illinois trustees will consider Thursday whether a revised fee proposal by VALIC will be low enough to add the firm to its new optional retirement program, said James M. Hacking, executive director.
VALIC's revised proposal brings its expense ratio, including fees and other expenses, down to 115 or 120 basis points from its original proposal of 140 basis points, which trustees rejected. The three investment managers the Champaign-based system hired for the program have lower ratios: ICMA at 85 basis points, TIAA-CREF at 31 basis points, and Aetna at 105 basis points.
Hennessee Hedge Fund Advisory Group expanded its hedge fund advisory services to investors with less than $5 million of investible assets.
The service will give smaller investors access to 10 pre-selected managers. The fees will be 1% annually, its standard fee for individual consulting, according to a statement.
AEW Capital Partners II, an investment fund managed by AEW Capital Management, committed $25 million to Benchmark Assisted Living, a spokesman said. Benchmark will buy, develop and operate senior housing throughout New England. The company plans to invest $100 million in senior housing over the next five to seven years. AEW will evaluate each Benchmark deal individually.
New York City Teachers' Retirement System generated a 20.4% total return for the fiscal year ended June 30, said Donna Anderson, CIO for the $20.6 billion fund.
The Trust Universe Comparison Service returned 20% for the same period, she said. NYC Teachers' outperformed every benchmark within its various asset classes except international fixed income, which returned 2% for the year ended June 30, compared with a 2.25% return for the Salomon Non-U.S. World Government Bond Index.
Segal Advisors' universe of multiemployer pension funds posted a median combined investment return of 10.6% for the first six months of 1997, vs. 11.7% for a composite market index-based benchmark.
In this year's first half, the multiemployer universe's median equity return was 17.6%, which fell below the S&P 500's 20.6% return. During the same six months, funds in Segal's multiemployer universe had a median 3% return in fixed income, vs. 3.1% for the Lehman Aggregate index.