Denver Employees Retirement Plan hired Mellon Investments to run a new passive fixed-income portfolio totaling $132 million, Randy Baum, chief investment officer, said in an email.
The new portfolio will be split evenly between funds replicating the Bloomberg Barclays U.S. 1-3 Year Government/Credit Bond index and the Bloomberg Barclays U.S. Long Treasury index. Previously, Mellon ran a $110 million index fund replicating the Bloomberg Barclays U.S. Aggregate Bond index.
Additional funding comes from the reduction of domestic and international equity portfolios. No managers will be terminated, Mr. Baum said.
He said other managers were considered for the portfolio, but he would not name them.
The $2.2 billion pension fund conducted a shortlist search following the board's April approval of changes to its asset allocation, which included increasing the target to investment-grade fixed income to 17% from 11.5%. Within that target, the target to index funds was upped to 6% from 5%.
Other target allocation changes in April were the reduction of the overall equities target to 49% down from 53%, real assets to 20.5% from 21.5% (which includes reducing its natural resources allocation to 5.5% from 6.5%); and 8.5% credit, down from 9%. The hedge fund target remained unchanged at 5%.
