Orange County Employees Retirement System (OCERS) has placed a core fund managed by ASB Real Estate Investments on its watch list for underperformance.
OCERS said in a board meeting document that in addition to placing its $177.7m (€152m) held in ASB Allegiance Real Estate Fund on a watch list, it plans to rebalance its $1.1bn core open-ended fund portfolio in the coming months.
The decisions were made under the advice of its consultant The Townsend Group.
The ASB fund last year earned a net internal rate of return of 9.9% since inception, below the NFI-ODCE benchmark of 10.5% over the same time period. The performance places the fund in the bottom quartile of the open-ended fund universe.
Formed in 1984, the fund outperformed the benchmark during its seven and 10-year periods.
ASB declined a request for comment.
Townsend said the underperformance by the fund was partly due to the low leverage placed on the fund. This was at 14.7% versus leverage in the NFI-ODCE Index of 21.5%.
The consultant also attributed the underperformance to the fund’s high-street retail portfolio in the SoHo neighbourhood of New York City and the fund’s underweight position to industrial warehouse assets.