Sonoma County Employees' Retirement Association, Santa Rosa, Calif., terminated GMO from its $136 million global asset allocation portfolio, said Steven Marsh, senior investment officer.
The $3.1 billion pension fund's board terminated GMO because the asset class was no longer fitting the pension fund's time horizon, Mr. Marsh said.
SCERA originally placed GMO on watch due to performance concerns in June 2019.
He said that assets from the termination are being distributed among the pension fund's global equity and fixed income managers.
GMO was the pension fund's sole GAA manager.
Investment consultant Aon Investments USA assisted.
A spokesman for GMO declined to comment.