Norfolk awards active currency mandates
UK - Norfolk County Council has awarded active currency mandates to Goldman Sachs Asset Management and Auriel Capital Management.
The £1.84bn (€2.3bn) pension fund originally began its search for one or more managers to run a £100m specialist currency portfolio in July 2007, as a result of an earlier asset liability study. (See earlier IPE article: Norfolk seeks currency managers)
The two new managers were officially awarded the contract on 1 May 2008, after 26 offers were narrowed to a shortlist of four on a number of criteria, although 50% of the weighting was based on the quality of the offer, 30% on the technical merits and just 20% relied on the price of the service.
Norfolk County Council revealed under the "off benchmark allocation" both managers use pooled vehicles rather than segregated mandates, with the objective of adding +1% per annum to the fund's overseas equity allocation - which equates to around £7m a year in cash based on holdings of £700m.
The pension fund's statement of investment principles added the managers share the risk budget and are "responsible for delivering an equal proportion of the target return, however, the actual cash allocated differs based on the performance targets and volatility of the funds selected".
Latest figures from the pension fund's annual accounts for 2007/08 revealed the pension fund lost £47.8m in the year to 31 March 2008, following a fall in the value of its investments of £122m.
The pension fund currently employs 10 external managers for UK and overseas equities, UK and overseas bonds, property, private equity and custodian services including cash handling, however the latest committee meeting revealed the results of the 2007 asset liability modelling (ALM) exercise will be presented in September - including a review of the overall asset allocation and the investment structure of the fund.
However, the latest actuarial valuation at 31 March 2007 revealed the fund - with assets valued at £1.89bn and liabilities of £2.04bn - had a funding level of 93% of liabilities and a deficit of around £151m.
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