Employees’ Retirement System of Rhode Island (ERSRI) is redeeming its $111m (€99.8m) investment in the JP Morgan Strategic Property Fund as it restructures its asset allocation.

According to a board meeting report, the pension fund is selling out of the $41.8bn open-ended core fund in part due to underperformance and because it is moving core real estate into its inflation-protection allocation.

While the fund managed JP Morgan Asset Management outperformed the NFI-ODCE index during the second quarter of 2019, it has underperformed over one, three, five and 10-year periods, according to ERSRI’s investment consultant Meketa Investment Group.

And as part of its plans to move core real estate to its inflation-protection portfolio, the pension fund wants to reduce its exposure to core real estate to 3.6% of its total portfolio

The process to reduce its core real estate exposure began last year when it redeemed $78.9m from PGIM Real Estate’s open-ended PRISA fund, reducing its exposure from 5.2% to 4.3%.

Some of the capital reeemed from JP Morgan Strategic Property Fund will be moved into two other open-ended core funds in which ERSRI is already invested.

Heitman America Real Estate Trust and Morgan Stanley Prime Property Fund will each receive new commitments of $25.3m, increasing the size of ERSRI’s holdings in the funds to $107.1m and $91.9m, respectively.