The $1.7 billion Fort Worth (Texas) Employees’ Retirement Fund moved a total of $175 million to 20 hedge fund managers, confirmed Robert Hulme, assistant director of investments. Mr. Hulme would not name the managers.
The money had been in a hedge fund of funds run by Alternative Investment Strategies.
Mr. Hulme said the system chose direct investing to reduce fees. Phone calls to Alternative Investment Strategies were not returned by press time.
The $36.9 billion Harvard University endowment fund returned 8.6% on its investments for the fiscal year ended June 30, according to a Harvard news release.
Harvard Management, which oversees the management of the endowment, exceeded the 6.9% gain for its policy benchmark, which is heavy on commodities and foreign securities. The bulk of that outperformance was attributed to tactical overlay and asset allocation adjustments during the course of a volatile year in capital markets, according to the HMC’s yearly John Harvard letter sent out when returns are announced.
The 8.6% gain handily exceeded the median -4.4% return for the Trust Universe Comparison Service of 165 large institutional investors over the same period.
Also, Stephen Blyth was named head of internal management at Harvard Management. The position is new. He will continue as managing director of international fixed income.
Crude oil price increases during the first part of the year were largely not because of speculative trading on the futures market, acting CFTC Chairman Walter Lukken testified Sept. 11 before a House panel.
Mr. Lukken’s comments to the House Agriculture Committee were based on a Commodity Futures Trading Commission report released the same day that analyzed over-the-counter swap and commodity index activity in the first half of 2008.
Mr. Lukken cautioned that the report was looking only at a narrow slice of time and said more transparency and study are needed.
The report said the aggregate amount of commodity index trading that occurred both over the counter and on the exchanges as of June 30 is estimated to be $200 billion, of which $161 billion was tied to commodities traded on U.S. markets regulated by the CFTC.
The GAO called on the Department of Labor to provide guidance for defined benefit plan investments in hedge funds and private equity.
The report recommended that the guidance include a description of the steps funds should take to address the challenges and risks of alternative investments while meeting their fiduciary obligations under ERISA.
The guidance should also specifically address the challenges that alternative investments present for smaller pension plans, the report said.
“It is crucial that we take great care as pensions invest more in hedge funds and private equity,” Sen. Max Baucus, D-Mont., who requested the GAO report, said in a news release. “If the pension investments sour, the retirement savings of millions of Americans could suffer.”
The $2.7 billion Fresno County (Calif.) Employees’ Retirement Association plans to place Western Asset Management on watch for performance, said Roberto Pena, retirement administrator. WAMCO ran $208 million in core-plus fixed income for the fund as of July 31, according to data on the pension fund’s website.
Staff still believes WAMCO can continue to add value in the long run, said Mr. Pena. The board will vote on the move at its Sept. 17 meeting, he said.
Mary Athridge, WAMCO spokeswoman, declined to comment.
Also at the Sept. 17 meeting, the board will consider finalists NEPC, Mercer and incumbent Wurts & Associates in the search for a general consultant.
The board on Oct. 1 will consider whether to terminate Artisan Partners from a $59.8 million small-cap growth equity portfolio for performance, said Mr. Pena. If terminated, the money will be moved to Kalmar Investment Advisers, the pension fund’s other small-cap growth manager, which runs $66.5 million.
Karen Guy, managing director at Artisan, declined to comment.
Oscar Peters, administrator of the $1.75 billion Santa Barbara County (Calif.) Employees’ Retirement System, said he is leaving after six years as soon as he is replaced. He said he hadn’t decided on his future plans, but he is not interested in staying in the investment management business.
The search is being conducted in-house. Interested parties should contact Bernice James, board president, at 805-568-2940.
The San Francisco City & County Employees’ Retirement System increased its core-plus fixed-income allocation to 62% of its $4.7 billion overall fixed-income portfolio, from 55%, funded by cuts in high-yield CMBS, commercial mortgages and the fund’s internal bond portfolio, confirmed David Kushner, deputy director of the $15.8 billion system.
The system’s board on Sept. 9 approved trimming high-yield commercial mortgage-backed securities by three percentage points to 5% of the fixed-income portfolio and commercial mortgages by three percentage points to 7% to partially fund the core-plus increase; the remainder will come from the internal portfolio.
Mr. Kushner said staff will move opportunistically in implementing the changes.
Separately, the system increased its internal S&P 500 index fund to 32% of its $4.2 billion domestic equity allocation, cutting active small-cap value and smidcap growth to 5% each, from 6%, Mr. Kushner confirmed.
The fund also committed $30 million to Knightsbridge Venture Capital VII.
City and county retirement systems had a combined funding ratio of 98% in 2007, up from 93% in 2006, according to a Wilshire report.
Pension assets had a combined market value of $248.4 billion and liabilities were $257.9 billion for the 71 systems that reported on or after June 30, 2007. The funding ratio for those plans was 96%, up from 91% in 2006.
Of the 71 systems that reported actuarial data as of June 30, 2007, 56% had a market value of assets less than pension liabilities, or were underfunded.
HARRISBURG, Pa. — The $62.7 billion Pennsylvania Public School Employees’ Retirement System returned
-2.8% on its investments for the fiscal year ended June 30, spokeswoman Evelyn Tatkovski confirmed.
U.S. equities posted a return of -13.98%, while non-U.S. equities returned -9.81% and real estate investments returned -5.22%, according to a news release. Commodities returned 34.72%, private markets gained 19.14% and fixed income returned 7.81%.
