Illinois State Universities Retirement System, Champaign, changed the index that will be used by the $800 million PIMCO StocksPlus and $460 million BlackRock Equity Plus enhanced structured equity portfolios, said Dan M. Slack, executive director of the $15.5 billion fund.
They were both moved to Russell 3000 from S&P 500 and as a result will use the Russell indexs derivatives, primarily futures, to implement their strategies, rather than S&P 500 contracts.
The Russell 3000 is a broader index and closer to the Wilshire 5000 the system generally uses for domestic index funds, said Daniel L. Allen, CIO. The two managers will be benchmarked against the Russell index. Liquidity in the contracts was compatible for the strategies.
The managers can also use swaps for their portfolios, Mr. Allen said.