Pension fund also readies invitation-only consultant search, reports 8.5% fiscal-year return
The $2.7 billion Baltimore City Fire & Police Employees' Retirement System will invest $52 million in Man Group's alternative risk premium strategy and $20 million in a Capstone Investment Advisors volatility equity strategy.
The investments come from reallocations, and no managers will be terminated, spokeswoman Amy Baskerville said in an email.
In private equity, the pension fund committed $8 million each to Columbia Capital Equity Partners VII and a fund managed by Grain Management.
Separately, Ms. Baskerville said the contract of the pension fund's investment consultant, Summit Strategies Group, will become void after the deal by AndCo Consulting to acquire its public defined benefit consulting business is finalized. The pension fund is conducting an invitation-only search for a new general investment consultant.
As of June 30, the pension fund's asset allocation was 25.9% U.S. equities, 24.4% international equities, 16.9% fixed income, 9.8% real estate, 7.3% hedge funds, 6.9% private equity, 5.3% energy limited partnerships, 2.9% private energy and 0.7% reserves.
Also, the pension fund reported a gross return of 8.47% for the fiscal year ended June 30, compared to the benchmark return of 7.75%. Longer term, the plan returned an annualized gross 6.56% for three years, 7.59% for five years and 6.36% for 10 years.