The $407.2m Waterbury (Connecticut) Retirement System is ditching a managed futures fund run by Campbell & Co. in favor of Pimco’s Income Fund.

Retirement board trustees voted unanimously to redeem the pension system’s roughly $24m investment in the Campbell & Co. Fund Trust and move it to Pimco instead. The system’s financial advisor, Wells Fargo & Co., recommended the move because the Campbell fund had underperformed its benchmark over the six years it has been part of Waterbury’s retirement portfolio while the Pimco fund has yielded between 5% and 6% annually and charges lower fees. The Pimco fund, they said, was also more defensive but had better returns.

According to minutes from the retirement board’s 13 August meeting, over five years to 30 June the Campbell fund returned -1.1% while its benchmark returned 4%. Over three years the Campbell fund lost 3.25% while the benchmark gained 2%. Since Waterbury first invested with Campbell in 2012, the fund returned -1%

Arthur Sullivan with Wells Fargo told board members that the Campbell fund was a currency hedging managed futures fund, and that in difficult markets, such as during the financial crisis, the fund would perform well. However, absent conditions like that Wells Fargo recommended the Pimco fund, which is a multi-sector bond portfolio.

Waterbury lists no target allocation to hedge funds. Its managed futures allocation, roughly 5% of plan assets, was all with Campbell.

A Campbell representative did not immediately return a call seeking comment.

Waterbury Retirement System dumping Campbell & Co. on HFM InvestHedge.