Contra Costa County Employees’ Retirement Association, Concord, Calif., hired Insight Investment to manage $850 million, and Dimensional Fund Advisors and Sit Investment Associates to run $425 million each in fixed-income strategies, said Timothy Price, chief investment officer, in an e-mail.
Insight and Dimensional will manage short-duration government/credit fixed income and Sit will manage a mortgage-backed securities strategy,
The $7.1 billion pension fund issued an RFI in March, followed by an RFP in May for managers to run up to 24% of the total pension fund in what it terms a “liquidity portfolio.” The three managers were the only finalists.
The liquidity portfolio target was established at the pension fund’s Dec. 2 board meeting following an asset allocation study.
The new allocation, which the pension fund calls a “functionally focused portfolio,” consists of three pools of liquidity, growth and diversifying assets. Liquidity assets makes up 25% of the total pension fund — 24% in short-duration fixed income and 1% in cash.
As of Jan. 20, the pension fund’s actual allocation to domestic core fixed income was 19.5%, high yield was 4.5% and international fixed income was 4%. The previous fixed-income targets were 19.5% to domestic core fixed income, 7.4% to high-yield fixed income, 2.5% to international fixed income and 1.3% to Treasury inflation-protected securities. The high yield, international fixed income and TIPS targets have been eliminated.
Managers as of Jan. 20 were Pacific Investment Management Co., with $408 million in the PIMCO Total Return Fund; Goldman Sachs Asset Management and Lord, Abbett & Co., with $336 million and $334 million, respectively, in domestic fixed income; Allianz Global Investors, with $320 million in high-yield fixed income; Lazard Asset Management, with $289 million in international fixed income; AFL-CIO Housing Investment Trust, with $241 million in domestic fixed income; and Torchlight Investors, with $123 million in its debt opportunities funds.
All managers were invited to respond to the RFI and PIMCO was invited to bid for the RFP.
Investment consultant Verus Advisory assisted.