Contra Costa County Employees' Retirement Association, Concord, Calif., terminated seven managers running more than $1.8 billion as part of a restructuring to a new fixed-income liquidity portfolio, according to a memo for the Dec. 14 board meeting from Tim Price, the pension fund's chief investment officer.
As part of the restructuring, the $7.1 billion pension fund hired BlackRock to act as a transition manager trading securities that are being redeemed from the portfolio, the memo said.
The biggest redemptions were from Pacific Investment Management Co. — $439 million from the PIMCO Total Return Fund and $129.1 million from the PIMCO All Asset strategy.
Other managers that have been terminated or whose investment strategy has been partially redeemed as of Nov. 30, according to the memo, include Lord, Abbett & Co., $329.9 million; Goldman Sachs Asset Management, $325.6 million; J.P. Morgan Asset Management, $274 million; Lazard Asset Management, $238.7 million; Adelante Capital Management, $89.9 million; and an Invesco international real estate investment trust, $55.7 million. All the firms managed core and core-plus fixed income, except for the Invesco REIT and Adelante, which invests in real estate sAdelante Capital Management Adelante Capital Management,Invescomillion; and an Invesco international real estate investment trust, $55.7 million. All the firms managed core and core-plus fixed Invesco except for the Invesco REIT and Adelante, which invests in real estate securities.
Mr. Price did not respond to a phone call or an e-mail by press time.
However, a Sept. 28 report from the pension fund's consultant Verus, says the $1.7 billion liquidity program is being funded by liquidating core and core-plus fixed-income strategies, and certain public equity portfolios that no longer have strategic roles in the new asset allocation. The memo said the one exception is the AFL-CIO Housing Investment Trust, which is being retained.
On Sep. 14, the pension fund hired three managers for the liquidity portfolio — Insight Investment to manage $850 million, and Dimensional Fund Advisors and Sit Investment Associates to ruSit Investment AssociatesSit Investment Associates to run $425 million each.
Insight and Dimensional will manage short-duration government/credit fixed income, and Sit will manage a mortgage-backed securities strategy as part of an effort to reduce plan volatility. The pension fund also reduced expected future fixed-income returns to 6.6% from 7.1% on an annualized basis.