Virginia Retirement System, Richmond, disclosed commitments and investments totaling nearly $7.4 billion in materials for the $110.2 billion pension fund's Feb. 8 board of trustees meeting.
The commitments were made between Dec. 8 and Feb. 8.
Within dynamic strategies, which is part of multiasset public strategies, the pension fund invested $700 million in the VRS BLK Global Dynamic Allocation Strategy Fund, a multiasset absolute-return portfolio. Jeanne Chenault, VRS' public relations director, described the fund as "a custom separate account BlackRock is managing for VRS" in an email. The pension fund also committed $350 million to the MAS Global Dynamic Allocation Fund, another multiasset absolute-return portfolio managed by J.P. Morgan Asset Management.
Also within dynamic strategies, VRS terminated BlackRock from a $118 million internally directed global asset allocation strategy, AQR Capital Management from a $2 million market-neutral strategy investing in value equities, and MetLife Investment Management from an $80 million long-only, multiasset fixed-income strategy emphasizing climate-readiness.
The pension fund also terminated Nordea Asset Management from a $51 million long-only global equity mandate focused on opportunities from climate change, Schroders from a $46 million long-only global equity mandate investing in climate-related themes, and Wellington Management Co. from a $117 million targeted emerging market equity strategy. Additionally, VRS terminated BlackRock and J.P. Morgan Asset Management from $762 million and $631 million multiasset, public market mandates designed to add alpha through the management of asset class exposures, respectively.
The changes in the dynamic strategies "resulted from a repositioning of the VRS portfolio," Chenault said in an email. "The dynamic strategies program's strategy shifted to an absolute-return strategy and a number of account changes accompanied this strategic shift."
As of Jan. 29, the actual allocation to multiasset public strategies was 2.7%; the target is 4%.
Within public equity, VRS hired WCM Investment Management to run $500 million in its Focused Global Growth Fund, a long-only equity strategy, with a funding source of cash, according to Chenault. The fund also terminated Taiyo Pacific Partners from a $144 million Japanese equity fund.
As of Jan. 29, the actual allocation to public equity was 32.8%; the target is 33%.
Within real assets, the pension fund committed $200 million to a PGIM energy lending separate account focusing on North American oil and gas lending, and another $100 million to DigitalBridge Partners III, an infrastructure fund investing globally.
As of Jan. 29, the actual allocation to real assets was 12.9%; the target is 14%.
Within credit strategies, VRS terminated Solus Alternative Asset Management from a $135 million opportunistic credit strategy.
Taiyo and Solus were terminated because their strategies "no longer fit the objective of the portfolio," Chenault said.
As of Jan. 29, the actual allocation to credit strategies was 14.4%; the target is 14%.
Also within public equity, VRS committed $5.5 billion to Bearfence, an internally managed global low-volatility equity strategy. The pension fund terminated two other internally managed low-volatility strategies: a $1.6 billion non-U.S. strategy known as Piedmont, and a $3.4 billion U.S. strategy known as Mobjack.
