Ohio Police & Fire Pension Fund, Columbus, restructured its domestic equity portfolio, increasing its target to its portable alpha program and eliminating its active currency and active domestic midcap equity portfolios, confirmed spokesman David Graham.
The $12.9 billion pension fund made the moves to “improve upon the risk-adjusted return for the asset class,” Mr. Graham wrote in an e-mail.
The new structure increases the pension fund's portable alpha target to 40% from 30% of the $3.8 billion domestic equity portfolio.
Within the portable alpha program, global macro strategies are increasing to 22% from 10% and market-neutral to 18% from 10%.
Bridgewater Associates and AQR Capital Management manage $294 million and $237 million, respectively, in global macro accounts, while Grosvenor and Investcorp manage $125 million and $124 million, respectively, in market-neutral accounts.
Other changes include the terminations of the pension fund's active currency and active domestic midcap equities managers. FX Concepts and Mellon Capital Management, which manage a total of $216 million in active currency portfolios, will be terminated along with active domestic midcap equity manager EARNEST Partners, which manages $514 million. Mr. Graham wrote these terminations were due to structural changes, and not performance.
The current allocation to domestic equities is 28.7%, Mr. Graham wrote. In December, the pension fund changed the target for domestic equity to 18.5% of the total fund. He wrote the pension fund has yet to establish a timetable for making all the changes.
Investment consultant Wilshire Associates is assisting.
Separately, the pension fund committed $45 million to Savanna Real Estate Fund III, a value-added real estate fund managed by Savanna Investment Management. The pension fund previously committed $30 million to Savanna Real Estate Fund II in November 2010.
Real estate consultant Townsend Group assisted.