Wyoming Retirement System, Cheyenne, will search for an absolute-return manager to further diversify the $5 billion pension fund's investments, said Thomas Mann, director. The portfolio will probably be $40 million to $50 million, he said, and the board hopes to issue an RFP before the end of the year; it has not established a timeframe for choosing finalists or making a selection. It will be the fund's first absolute-return allocation.
The board is acting on a recommendation from its investment committee to add an asset class that could diversify some of the volatility in the portfolio. Funding will come from a rebalancing of other assets; no managers will be terminated.
Mellon's Human Resources & Investor Solutions is assisting.
