Michigan Municipal Employees' Retirement System, Lansing, hired four active U.S. microcap equity managers to manage a new 3% allocation, said Jeb Burns, chief investment officer.
Eudaimonia Asset Management, Kennedy Capital Management, Morgan Dempsey Capital Management and Punch & Associates Investment Management will each manage about $50 million. The search was conducted by the $6 billion system's staff, Mr. Burns said. No consultant assisted.
Funding will come from adjustments made during an asset allocation overhaul approved in July that created a 5% allocation to U.S. microcap equities.
Mr. Burns said MERS staff originally planned to search for additional active U.S. microcap equity managers in the first half of the year to manage the remaining 2% allocation, but are now considering managing the allocation internally, Mr. Burns said.
The U.S. microcap stock research project will stretch over the next few quarters and will examine the possibility of creating a proprietary enhanced index strategy that will top index returns, possibly using ETFs.
“Everything is on the table for consideration at this point,” Mr. Burns said in an interview.
Mr. Burns said investment staff members also are reviewing the fund's U.S. large-cap equity allocation, specifically looking at the allocation's active-to-passive ratio. As with the microcap research, he said, “everything is on the table; we don't have any preconceived notions about this asset class.”