San Diego hires ex-AllianzGI CIO

SDCERA has chosen Stephen Sexauer as its new in-house CIO, putting an end to its outsourced CIO model.

The San Diego County Employees Retirement Association (SDCERA) has hired Stephen Sexauer as its new chief investment officer (CIO), effectively putting an end to a months-long debate regarding Salient Partners, the pension fund’s external CIO since 2009. Sexauer will assume his new role on May 29, SDCERA said in a statement.

Sexauer has more than 30 years of experience as an investment professional, including serving as CIO and managing director for Multi-Asset US at AllianzGI US, where he managed more than $7 billion in multi-asset institutional portfolios and retirement income solutions.

In his new role at SDCERA, in addition to overseeing the day-to-day operations of the $10.6 billion pension fund’s investment division, Sexauer will also be involved in shaping the fund’s investment strategy, policies and asset allocation.

“As SDCERA’s new chief investment officer, Mr Sexauer will coordinate the transition of oversight responsibilities for the portfolio from Salient Partners to within SDCERA in the coming months,” SDCERA spokesperson Dan Flores said in an e-mailed response.

“Steve’s keen grasp of global financial markets and his direct experience managing large multi-asset portfolios stood out during the interview process,” Skip Murphy, the board’s chairman, said. “SDCERA’s leadership team is taking shape, and the board is eager to move forward on reviewing SDCERA’s asset allocation and investment policies,” he added.

Debate regarding the potential termination of the agreement with Salient Partners has been brewing for months, stemming primarily from Salient’s risk parity strategy which leveraged four times the total of the risk parity fund, as well as the manager’s $8 million annual fee. During a September 2014 meeting the board voted to dial back the leverage to two times.

Last November, SDCERA’s board voted 8-1 in favour of adopting an internal CIO model and terminating the contract the pension fund had with Salient.

Sexauer's most recent position at AllianzGI was that of adviser, a role he assumed this past January after retiring at the end of 2014. Herold Rohweder (Global CIO Multi-Asset) and Giorgio Carlino (Multi-Asset portfolio manager) became co-CIOs for US Multi-Asset upon Sexauer's retirement, AllianzGI spokesperson Megan Frank said in an e-mailed response.

The arrival of a new CIO is just one of a number of recent leadership changes at the pension fund. On March 19, SDCERA announced that Brian White, its first chief executive of 18 years, had tendered his resignation. “The board and Mr White have amicably agreed that Mr White’s tenure as SDCERA’s chief executive officer will end March 30, 2015,” SDCERA said in a statement at the time.

David Wescoe, president of Efficient Market Advisors and a former chief executive of the San Diego City Employees’ Retirement System (SDCERS), has been appointed interim chief executive until a replacement for White is found. SDCERA retained Wescoe in February as a management consultant to the fund.

On June 8, SDCERA will also welcome a new chief financial officer (CFO), Greg Bych. According to a statement issued on May 7, Bych will oversee SDCERA’s finance, accounting and internal audit functions.

He joins the pension fund from the City of San Diego, where he worked for 25 years holding a number of positions such as interim CFO and director of risk management. He also served on SDCERS’ board and was a member of that pension fund’s investment committee.

SDCERA is still looking to fill its general counsel position.

Established in 1937, SDCERA provides services to 40,000 members. It administers retirement and associated benefits for eligible employees of the County of San Diego and other participating employers and is responsible for managing the retirement funds.