San Francisco City & County Employees' Retirement System terminated Dreyfus Trust from a $216 million active domestic small-cap core equity portfolio for organizational and performance reasons, said Clare M. Murphy, executive director. She said the manager had been under review in the second and fourth quarters of 2004 for underperformance. The board of the $12.8 billion system accepted a staff recommendation to terminate the firm, she said. Patrice Kozlowski, Dreyfus spokeswoman, did not return a call seeking comment by press time.
Money from the portfolio will be reallocated to other asset classes to bring the system's overall asset allocation in line with targets. Some of the money may be invested in Russell 2000 ETFs, "pending further review," Ms. Murphy said. Potential managers for the ETFs have not been determined. General consultant Angeles Investment Advisors assisted.
Separately, the board voted to invest up to $50 million in AMB Japan Fund, an industrial property fund, Ms. Murphy said. It will be the system's first direct non-U.S. real estate investment. Funding will come from a general rebalancing, and no manager will be terminated. Real estate consultant Townsend Group is assisting.
Also, the board agreed to a €15 million ($18.2 million) follow-on investment in private equity fund Palamon European Equity Partners II, bringing the system's total investment in the fund to €30 million, Ms. Murphy said. Portfolio Advisors, the pension fund's alternatives consultant, assisted.