PROVIDENCE – R.I. General Treasurer Frank T. Caprio yesterday announced the termination of one of the state’s pension investment managers, New York City-based Shenkman Capital Management Inc.
Shenkman Capital had been under review for several months, as its returns continued to lag state benchmarks, Caprio said in a statement. Its removal was recommended by Caprio and supported by the State Investment Commission at its regular meeting yesterday.
Hired by the state in 2002 to manage high-yield bond investments, Shenkman Capital initially had $3.7 billion under management and a cumulative three-year and five-year return that surpassed the state’s “confidence bands.”
But the company since has lagged its benchmark, which treasurer’s office spokesman Peter Kerwin today told the PBN is “defined in their investment guideline document as the CS First Boston High Yield Index.
“Their performance was measured relative to that index,” Kerwin continued. It failed to meet its objectives, figures provided by the treasurer’s office show. For instance, in the quarter, year and three years ended Dec. 31, Shenkman’s performance lagged CS First Boston’s by 0.8 percent, 2.88 percent and 1.50 percent, respectively.
The firm’s removal gives the pension fund an opportunity to reduce its overall high-yield bond exposure by $135 million, Caprio said, from 14 percent of total fixed-income assets to 7.5 percent. Allocation of the remaining assets has yet to be determined.
The state pension fund currently totals about $7.9 billion.
