Massachusetts Pension Reserves Investment Management board, Boston, terminated Goldman Sachs Asset Management from a $1.2 billion enhanced equity mandate today because of organizational changes at the firm, said CIO Stan Mavromates. Staff at the $53.7 billion system told board members at todays meeting that GSAM had combined the team managing PRIMs money a long-only quantitative team led by co-CIO of equity Bob Jones with a quantitative hedge fund team led by GSAMs other co-CIO of equity, Mark Carhart. PRIM decided to terminate GSAM after a visit to the money manager, designed to reassure PRIM about the stability of the team managing its money, was quickly followed by further personnel changes, Mr. Mavromates said.
The money will be moved to an SSgA S&P 500 index account pending a review of the structure of the systems domestic equity investments by general consultant Cliffwater at the next board meeting on April 8.
The board also will search for a hedge fund-of-funds manager and a high-yield manager to invest in bank loans, both to run $540 million each, and a manager of publicly listed natural resource stocks to handle $900 million, all as part of a change in the systems asset allocation targets for 2008. The systems U.S. equity portable alpha and high-yield allocations were raised by one percentage point each to 6% of total assets for both, with the additional $540 million in high yield slated for a new investment in bank loans; REITs were raised one percentage point to 3%; and a new 2% allocation was created for natural resources, with 80% of the total slated for publicly listed investments and 20% for private equity investments. Manager selections are expected between July 1 and Sept. 1.
PRIM cut its private equity target by one point to 9%, trimmed timber by two points to 2%; and reduced its TIPS allocation to 1% from 3%.
The board also agreed to allow staff to consider whether PRIM should leverage its extensive contacts with general partners of private equity funds to consider co-investment opportunities.