San Antonio Fire & Police Pension Fund created a new 5% target to core fixed income and eliminated its 5% target to risk parity.
The $2.8 billion pension fund board approved the changes at its March 27 meeting, recently released board meeting minutes show.
The switch included termination of risk-parity manager AQR Capital Management. The minutes said investment consultant NEPC recommended the allocation change due to the "recent lag in performance by the fund's risk-parity manager."
An AQR spokesman declined to comment.
The board approved a search for a core fixed-income manager as a result of the new allocation, but details were not immediately available.
Cary Hally, the pension fund's chief investment officer, could not be immediately reached to provide further information.