Vermont Pension Investment Committee, Montpelier, terminated Pacific Investment Management Co. from a $216 million global asset allocation portfolio it ran for the $3.6 billion Vermont State Retirement Systems, said Matthew Considine, director of investments, in an e-mail.
The termination was due to the committee's vote to eliminate the retirement system's 8% target to global asset allocation. Asset classes that saw allocation increases as a result were absolute return (formerly hedge funds) to 9% from 5%, real estate to 8% from 6%, and private equity to 5% from 3%.
Funds from the PIMCO termination will be reallocated to managers of high yield, whose target is being increased to 5% from 4%; Treasury inflation-protected securities, to 4% from 3%; and public equities.
AQR Capital Management, which runs $278 million in its global risk premium strategy, and Mellon Capital Management, which runs $81 million in its dynamic growth strategy, are being moved to the absolute return allocation from the GAA allocation.
The target to domestic large-cap equities is being increased to 13% from 11%, and international equities is being increased to 11% from 10%. Targets to emerging markets equities and domestic small/midcap equities remain unchanged at 6% and 5%, respectively.
PIMCO still manages a $94 million unconstrained fixed-income portfolio for the retirement systems.
Other changes in fixed income include eliminating the 3% global fixed-income target, reducing absolute-return fixed income to 6% from 7% and reducing long-duration Treasuries to 3% from 5%. Diversified fixed income is being increased to 6% from 5%.
Further information on how those assets will be rebalanced, and how the PIMCO assets will be distributed will occur beginning at the committee's March 23 meeting.
Other targets remaining the same are 8% risk parity, 3% each commodities and core fixed income, and 2.5% each emerging markets debt and local currency emerging markets debt.
The committee does not issue RFPs for manager searches.
Investment consultant NEPC is assisting.