Seattle City Employees' Retirement System terminated Parametric Portfolio Associates from its $138 million covered-call portfolio, said Jason Malinowski, chief investment officer, in an email.
The $2.9 billion pension fund's board at its July 11 meeting terminated the manager because the covered-call strategy was not an optimal fit for the pension fund's public equity allocation, and would not produce a higher risk-adjusted return than any given passive strategy that would be sufficient to offset higher fees and more complexity. Mr. Malinowski noted the pension fund "continues to have a positive view of Parametric as an investment manager."
The funds will be reallocated to RhumbLine Advisers' passive domestic equity portfolio, giving it an additional $86 million for a total of $675 million, and BlackRock's passive international equity portfolio, giving it an additional $52 million for a total of $385 million.
