Nevada Public Employees' Retirement System, Carson City, has consolidated its domestic fixed-income portfolio, giving existing passive domestic core fixed-income managers Payden & Rygel and UBS Global Asset Management about an additional $3 billion each, said Stephen Edmundson, investment officer.
The $34.8 billion pension fund is changing its domestic fixed-income structure to a 100% passive portfolio, now benchmarked to the Barclays Capital U.S. Treasuries index from the Barclays Capital Aggregate Bond index. Payden & Rygel and UBS' portfolios are now $4.9 billion each. Previously, Payden & Rygel's portfolio was about $1.8 billion and UBS, about $1.9 billion.
The changes move the pension fund to a 100% passive structure for all the tradable securities it oversees. In 2014, it moved its domestic and international equity portfolios to 100% passive structures and eliminated its international fixed-income portfolio.
As a result of the changes, the pension fund terminated active domestic fixed-income managers Dodge & Cox, J.P. Morgan Asset Management and Western Asset Management Co.; each managed $800 million.
Mr. Edmundson said the relationships with all three managers have been successful ones and the changes are due solely to the structural shift.
Also, the pension fund terminated BlackRock and Mellon Capital Management from their $1.8 billion passive domestic fixed-income portfolios benchmarked to the Barclays Aggregate index.
Mr. Edmundson said the decision to consolidate to two from four passive managers was due to potential asset limit issues with BlackRock and Mellon Capital Management, both of whom already manage large portfolios for the pension fund. The pension fund's investment policy says no single money manager may oversee more than 25% of the pension fund's assets. BlackRock manages about $7.6 billion in passive domestic equities and Mellon Capital manages about $4.3 billion in passive international equities.
The pension fund's target allocation is 42% domestic equity, 30% domestic fixed income, 18% international equities and 10% private markets.
Investment consultants Callan Associates and Peavine Capital Management assisted.
