City of Milwaukee Employes’ Retirement System hired Allianz Global Investors to manage $62.5 million in an absolute-return strategy, said Bernard J. “Jerry” Allen, executive director of the $5.1 billion pension fund.
The move is the first hiring by the system for its 5% target allocation to the asset class, adopted last year. The Allianz strategy primarily uses equity index options to capture mispricings while remaining neutral to fluctuations in the markets, Mr. Allen said. CMERS is seeking to diversify risk without giving up return, he added.
“We want our cake and to eat it, too,” Mr. Allen said.
Funding will come from rebalancing among equity managers. CMERS has 65.5% of assets in domestic, international and global equity.
Callan Associates, the system’s investment consultant, assisted in the search.
