The $68 billion Ohio Public Employees Retirement System has issued a request for proposals for active currency overlay managers. The managers will oversee a stand-alone active currency mandate for the OPERS Opportunistic Portfolio, which is a part of the OPERS defined benefit plan.
OPERS’ is looking for a total of four managers to manage some $100 million in the asset class. The system’s initial allocation is $25 million per manager. Only developed market currencies will be permitted and both long-only and long/short stand-alone active currency strategies will be considered.
The system’s objective is to achieve absolute returns of 10% from the initial allocation, according to OPERS.
The benchmark for the currency overlay strategy will be OPERS actuarial rate of return (8%) plus a spread due to risk associated with the investment (2%), net of fees. The cash linked to this investment is expected to yield the three-month U.S. LIBOR rate and will not be part of the benchmark return calculation.
The deadline for the RFP, which can be accessed at the OPERS Web site, is April 10. Finalists will be reviewed sometime in May/June.