Pennsylvania Public School Employees Retirement System, Harrisburg, will liquidate a $1.1 billion enhanced S&P 500 index portfolio managed by PIMCO. The $64 billion retirement system will move $800 million to an internally managed S&P 500 index portfolio; the remaining $300 million will be split into two new assignments: $150 million in PIMCOs Absolute Return Strategy and $150 million in PIMCOs Global Credit Opportunity Fund, confirmed Evelyn Tatkovski, spokeswoman for the retirement system.
The new arrangement will improve the risk/return profile of this assignment, James Grossman, the systems director of external public markets, risk and compliance, wrote in a memo to the PennPSERS board. Individually, he added, the two portable alpha strategies have more alpha-generating opportunities than the enhanced index strategy, and many more when combined.
Wilshire Associates advised.