San Joaquin County Employees' Retirement Association, Stockton, Calif., terminated Lombard Odier Investment Managers from its $57 million alternative risk premium portfolio.
The $3.8 billion pension fund's board approved the termination in closed session at its Feb. 10 meeting, CEO Johanna Schick said in an email.
She would not provide a reason for the termination. A disclosure of the closed session included with March 10 board meeting materials said the funds would be retained "in SJCERA's cash overlay program."
The pension fund's alternative risk premium portfolio falls within its crisis risk offset asset class, which had an actual allocation of 13.9% as of Dec. 31. Its target is 15%.
As of Dec. 31, the pension fund's other alternative risk premium managers were P/E Investments and AQR Capital Management, with portfolios of $67 million and $55 million in the plan, respectively.