Illinois State Universities Retirement System, Champaign, will put its entire fixed-income portfolio — nearly $3 billion in assets — out for bid, said Daniel L. Allen, chief investment officer.
Trustees on Feb. 4 authorized searches and plan to issue RFPs later this month, Mr. Allen said. The RFPs are expected to be due in March, and the trustees will decide on hirings in June, Mr. Allen said.
Ennis Knupp, the system's consultant, and SURS staff are still working on the RFPs and details of the restructuring of the system's 23.5% fixed-income portfolio, Mr. Allen said. The system had $12.45 billion in total defined benefit assets as of Dec. 31.
Ennis Knupp will lead the search.
The RFPs will include a search for passive fixed income, which SURS doesn't have, Mr. Allen said. SURS could put 20% of its restructured fixed-income portfolio into passive indexes, which Ennis Knupp recommends “as an anchor to windward,” or stabilizing force, Mr. Allen said.
SURS wants to better position the fixed-income portfolio following the market turbulence of the last two years and because trustees haven't re-examined the entire portfolio in many years, Mr. Allen said. The portfolio now is mainly in core and core-plus with a smaller allocation to TIPS.
All its fixed-income managers will be invited to rebid, Mr. Allen said.
Its core and core-plus fixed-income managers and their assets under management as of Nov. 30 are PIMCO, $798 million; BlackRock, with $258 million in core, $209 million in core plus and $269 million in enhanced; WAMCO, $382 million; TCW Asset Management (formerly Metropolitan West Asset), $332 million; Progress Investment, $74 million; Pugh Capital Management, $48 million; Smith Graham, $46 million; Taplin Canida & Habacht, $32 million; and Davis Hamilton Jackson, $28 million.
PIMCO also manages $304 million in TIPS, which is also included in the restructuring.
The fixed-income portfolio also contains a $173 million cash-flow portfolio invested in 90-day Treasury bills; its manager could not be immediately learned.