US – The 128 billion dollar California Public Employees' Retirement System, Calpers, has dropped Merrill Lynch Investment Managers from its international fixed income manager line-up. MLIM had been managing a 543 million dollar portfolio, accounting for 8.73% of Calpers’ entire fixed income portfolio.
Calpers’ 6.2 billion dollar international fixed income programme was established in May 1989, and consisted of seven managers. MLIM had been with Calpers since the inception of the programme. For the twelve month contract period ending 31 August 2002, the portfolio retuned 10.12% compared to the 10.27% for the benchmark.
Baring Asset Management has also been put on negative watch. BAM manages a 1.14 billion dollar portfolio accounting for 18.38% of the international fixed income programme. Calpers stressed that this was not as a result of performance, but for personnel reasons.
The remaining five managers – Julius Baer, Bridgewater Associates, Rogge Global Partners, Wellington Management Company and Western Asset Management have been recommended by the investment committee to have their contract renewed for a period of one year.
The international fixed income managers’ annual review will take place on December 16.
In terms of country allocation, Euroland accounts for 64.63% of the portfolio, followed by Japan at 19.14% and the UK at 6.82%.
Merrill Lynch Investment Managers has lost a series of high-profile mandates in the last few months including Diageo, BAA and the University of Bristol, Harrow and Essex.