The San Bernardino County (Calif.) Employees' Retirement Association board added implied volatility and aggregate risk sentiment to its $975 million currency hedging program, said Don Pierce, investment officer of the $5.2 billion fund. The board added the strategies to add flexibility, he said. The program is run by Russell Investment Group.
Separately, the fund returned 8.26% for the year ended June 30, Mr. Pierce said. The June 30 actuarial valuation report by Segal noted the funding level improved slightly to 92% as of June 30 from 91.1% for the previous 12-month period.