Pennsylvania State Employees Retirement System, Harrisburg, terminated J.P. Morgan Fleming Asset Management, which ran $175 million in active domestic fixed income and $126 million in a structured stock selection portfolio, due to performance and management changes. The fixed-income assets were moved to the $20.3 billion systems other active domestic fixed-income managers, increasing each firms portfolio to $250 million: Mellon Bond Associates received $75 million; and Goldman Sachs Asset Management and NISA Investment Advisors received $50 million each. The stocks in the structured portfolio were sold and the proceeds moved into cash.
"We are very disappointed to lose those mandates and are working on the performance issues for those products, said Carolyn Jones, J.P. Morgan Fleming spokeswoman.
Separately, the system also terminated Clifton Group Investment Management, which ran $107 million for the system in a derivatives-based core fixed-income portfolio with an S&P 500 futures overlay. The money will go to cash. "We delivered returns that were in line with expectations put forth by the program at the accounts inception. We believe the fund shifted its objectives, said Jack Hanson, Clifton Group CFO.
Rocaton Investment Advisors assisted.