Allianz Global Investors has received a request for information from the Securities and Exchange Commission regarding its structured alpha funds.
The request is related to the recent lawsuit filed by the $15.3 billion Arkansas Teacher Retirement System, Little Rock, charging the money manager improperly invested the pension fund's assets in three enhanced-return strategies.
AllianzGI is "fully cooperating with the SEC," according to a half-year interim report from insurer Allianz Group, the parent company of AllianzGI.
According to the report, Allianz is reviewing the complaint and expects other institutional investors in the structured alpha funds might bring similar actions.
The company "intends to defend vigorously against the allegations therein, which Allianz believes to be legally and factually flawed," the report said.
John Wallace, AllianzGI spokesman, referred questions to the report.
The lawsuit filed July 20 by the Arkansas system in U.S. District Court in New York claims negligence, breach of fiduciary duty and breach of contract, alleging that AllianzGI "abandoned the funds' investment thesis" by repositioning the portfolios in late February and early March to recoup losses incurred in February, according to the court filing. The portfolio's positions "left the funds dangerously exposed to even the slightest increase in market volatility or decline in equity price," which the lawsuit says Allianz economists and many others warned were on the immediate horizon, the filing said.
Mr. Wallace responded in a July 21 email that "the premise of the lawsuit is simply incorrect and without foundation, as the funds in the Structured Alpha portfolio did not diverge from their investment strategy. Our own analysis has revealed that the portfolio was at all times managed to its alpha targets and in accordance with its design. While the losses suffered in the portfolio are deeply disappointing, there is no basis for legal liability. AllianzGI intends to defend itself vigorously against these allegations."
