THE VIRGINIAN-PILOT
Copyright (c) 1994, Landmark Communications, Inc.
DATE: Friday, August 19, 1994 TAG: 9408190620
SECTION: BUSINESS PAGE: D2 EDITION: FINAL
SOURCE: BY TOM SHEAN, STAFF WRITER
LENGTH: Short : 34 lines
The Virginia Retirement System, which manages pension funds for state employees and many municipal employees in Virginia, said Thursday that its board voted to end a three-year program involving investments in futures contracts.
The retirement system's managed-futures program has been consistently profitable, but it became cumbersome to administer, said O. Kemp Dozier, the system's chief investment officer.
``Over the last three years, our average annual return was about 6 percent a year'' after management fees, Dozier said.
However, the program ``was always a bit of a lightning rod for people who expressed concern'' about the volatility and risks of futures, he said.
During the administration of former Gov. L. Douglas Wilder, critics of the retirement system raised questions about the use of futures, which are contracts to buy or sell a specified amount of a commodity on a future date and at a stated price.
The retirement system, said Dozier, has $460 million, or about 3 percent of its $16.1 billion of its investments, in the futures program.
About half of the assets in this program are in financial futures, such as contracts on Treasury securities, and 25 percent are in foreign-exchange contracts, Dozier said. The remainder consist of contracts for hard commodities, such as agricultural commodities. by CNB