UK - The £9.73bn (€14.4bn) Strathclyde Pension Fund has put Edinburgh-based Baillie Gifford and Isle of Man's Capital International under watch because of underperformance.
Baillie Gifford manages £1.57bn or 16.1% of the total fund in UK equities, overseas equities and property for the fund, while Capital International manages £1.54bn or 15.9% of the fund across the same asset classes.

However, IPE has learnt the managers' target weightings in the overall fund have been reduced.

A review of investment strategy and structure for the quarter ending 31 March stated: "Both managers have now been advised that their performance is being monitored closely for the next year, and that their target weightings in the fund's overall structure have been revised downwards, to accommodate the increase in property weighting."

According to a table of managers' quarterly returns published on Strathclyde's web site, Capital underperformed its benchmark in eight of the 11 quarters from June 2004 to March 2007, while Baillie Gifford underperformed its benchmark in five of those quarters.

A spokesperson was not available for comment.

The fund has also tendered for a long-only absolute return manager to manage a £15m brief.

Hedge funds, or any strategy which involves shorting individual assets, have been excluded from the tender.

The fund is seeking a pooled mandate with a target return of LIBOR plus 3-5% per annum, measured over 3-5-year periods. 

Funding for the mandate has come from a reduction in equities,  so the £15m is currently being held in a Schroders money market fund.

Hymans Robertson advised the pension fund on the tender.

On Monday, Strathclyde re-tendered a custodial services mandate currently managed by Northern Trust.

The fund's asset allocation stands at 73% equities, 12% property and 15% bonds.