New Mexico Public Employees Retirement Association, Santa Fe, hired Metropolitan West Capital Management and Dimensional Fund Advisors to jointly run $200 million to $300 million in active small-cap value equity, said Joelle Mevi, chief investment officer at the $10.6 billion association.
The exact size of each manager’s mandate has not been determined.
Funding will come from a $200 million portfolio formerly managed by Rothschild, which the association terminated in April. The remainder would come from trimming a $205 million passively managed small-cap portfolio managed by SSgA, Ms. Mevi said.
The association’s board on Thursday committed $30 million each to hedge funds Claren Road and LIM Advisors, and $20 million each to venture capital fund JMI Equity Fund VII and real asset fund EnerVest Energy Institutional Fund XII.
Claren Road is a long-short credit focused hedge fund and LIM is an Asia multistrategy hedge fund.
Board members also increased commitments to four hedge funds: Diamondback Capital, by $5 million to $42 million; Ascend Capital by $5 million to $44 million; Angelo Gordon by $10 million to $46 million; and Och-Ziff by $10 million to $45 million.
The board decided to add to the funds as a result of a June rebalancing in which the board increased alternatives to 20% of total assets from 15%. Over the next six months, the board will be asked to make additional hedge fund commitments, at least on an interim basis, as a way of quickly increasing its alternatives allocation, Ms. Mevi said.
Separately, an RFP expected to be launched in mid-August for a manager to run either a global or a core-plus fixed-income portfolio will give the selected manager from $200 million to $450 million in assets, Ms. Mevi said. An earlier report had not specified the asset styles or the size range of the portfolio. Part of the funding would come from the domestic equity portfolio with the remainder from reducing a $1.1 billion BlackRock active core fixed-income portfolio, she said.
The board is expected to make a selection within about five months from the date the RFP launches. General consultant R.V. Kuhns is assisting. The RFP will be posted on the association’s website at www.pera.state.nm.