The $46.7 billion Pennsylvania Public School Employees Retirement System has issued a request for proposals for a consultant to advise on hedge fund investments. The system has 7.5% of its portfolio invested in absolute return strategies and wants to hire a specialty advisor as the program has been expanding and getting more complex, said Jim Grossman, managing director of external public markets.
The consultant would assist with due diligence, performance and risk monitoring, overall portfolio strategy, as well as new ideas and potential searches within the sector, Grossman said. Proposals are due on April 5. For the full request for proposal, click here.
The system recently hired Brevan Howard Asset Management to handle $350 million in a global macro/relative value strategy and Oppenheimer Capital for $200 million in its Structured Alpha strategy. The investment staff is not yet sure what types of strategies the system might look at next, but will seek direction from the new consultant.
Penn. Schools dismantled its portable alpha portfolio last year due to poor performance and rolled the hedge fund managers into a new absolute return allocation. The managers in that portfolio are AQR Capital Management, BlackRock, Bridgewater Associates, First Quadrant, The Boston Company Asset Management, PIMCO and FX Concepts.
—Anastasia Donde