OCERS sets plan to exit euro currency hedge

Orange County Employees Retirement System, Santa Ana, Calif., adopted a strategy to exit its euro currency hedge, said Robert Kinsler, spokesman for the $12.6 billion pension fund, in an e-mail.

On Dec. 4, OCERS entered a short euro futures position of about $200 million at a dollar-to-euro ratio of 1.243. The exit strategy, adopted July 22, calls for Girard Miller, OCERS’ chief investment officer, to scale out of the position in $40 million increments as the euro declines to between 1.05 and parity on the dollar.

The pension fund manages its own hedge on a macro-passive basis using Parametric Portfolio Associates for implementation, Mr. Kinsler said.