The Massachusetts Pension Reserves Investment Management Board, Boston, today hired AllianceBernstein, AXA Rosenberg and State Street Global Advisors to run $690 million each in active EAFE equities. Fund officials decided in February to boost the $41.9 billion system's international allocation to 20% from 15%. The bulk of funding comes from an earlier reduction in PRIM's high-yield bond allocation; the board also cut a passive EAFE strategy run by SSgA to $2 billion from $2.6 billion, according to CIO Stan Mavromates.
The board also hired Crestline Investors, Grosvenor Capital Management and Strategic Investment Group to run $567 million each in hedge funds of funds, following a separate decision earlier this year to put $2 billion into a portable alpha strategy. The board also set aside another $300 million as collateral for a $2 billion overlay program that Russell Investment Group will handle, providing underlying beta exposure to the S&P 500 index using swaps and futures. Funding for the portable alpha program will come from reducing an S&P 500 index strategy run by SSgA to $1.5 billion from roughly $3.5 billion, Mr. Mavromates said.
The board also decided to terminate Lazard Asset Management from a $300 million active domestic small-cap value equity portfolio due to underperformance. The money will go toward the portable alpha program. Lazard spokesman Richard Silverman wasn't immediately available for comment.
