Monday, October 11, 2004
Latest on MA FOHF Commitments
Mass PRIM allocates $300 million to Rock Creek
Oct-8-2004 - The $32.4 billion Massachusetts Pension Reserves Investment Management Board has made a $300 million allocation to fund-of-funds group CAGM Rock Creek, fulfilling its 5% mandate to invest in hedge funds.
The Rock Creek allocation, the pension's fifth and final fund-of-funds investment, was the last leg of Mass PRIM's mandate to increase its investment allocations to hedge funds and other alternative investments, in order to shift some of the portfolio's risk away from equities to uncorrelated asset classes, diminishing volatility in the process.
The state pension now has $1.6 billion allocated to funds of funds, including $350 million to New York-based Ivy Asset Management, and $325 million apiece to New York-based Arden Asset Management, Stamford, Connecticut-based K2 Advisors and Irvine, California-based Pacific Alternative Asset Management.
Mass PRIM made its first four fund-of-funds allocations on July 1. Rock Creek in Washington, DC was the fifth fund of funds chosen, though it was second choice after the pension failed to reach an agreement on fees with Seattle-based Silver Creek, according to Michael Travaglini, the fund's director.
"We negotiated terms with all of them but for Silver Creek, so our staff went back to the universe to see who would get the fifth assignment," Travaglini told MAR. The state pension's investment board approved the Rock Creek allocation at its board meeting on October 5.
Mass PRIM posted an exceptional performance last year, returning 26.8% - the best year in its history and a dramatic turnaround from the 8.9% loss it suffered in 2002. Through September this year, the pension fund had returned close to 4%, said Travaglini.
However, the fund needs to average 8.3% annualized returns through 2023 in order to have enough assets to pay its pensioners, he said. To do that, it is still exploring the idea of further diversifying into alternatives, including allocating to additional funds of funds or to single-manager strategies that fit with its long-term objectives.
"The theory here is that we may evolve to a direct program at some point, but we need to see how the car is running as we leave the station," said Travaglini. "We wanted exposure to the asset class and this was the quickest way to do it. Now we'll see how these allocations perform, how quickly the car accelerates before taking any next steps."
Mass PRIM's fund-of-funds selections are no strangers to the pension world.
Both Ivy and Rock Creek manage a portion of Virginia's state pension fund, while PAAMCO and K2 Advisors each have a $55 million mandate from the Louisiana State Employees Retirement System. PAAMCO also manages $600 million for the Pennsylvania State Employees' Retirement System.
New England Pension Consultants helps advise the pension.
© 2003 Managed Account Reports LLC
Oct-8-2004 - The $32.4 billion Massachusetts Pension Reserves Investment Management Board has made a $300 million allocation to fund-of-funds group CAGM Rock Creek, fulfilling its 5% mandate to invest in hedge funds.
The Rock Creek allocation, the pension's fifth and final fund-of-funds investment, was the last leg of Mass PRIM's mandate to increase its investment allocations to hedge funds and other alternative investments, in order to shift some of the portfolio's risk away from equities to uncorrelated asset classes, diminishing volatility in the process.
The state pension now has $1.6 billion allocated to funds of funds, including $350 million to New York-based Ivy Asset Management, and $325 million apiece to New York-based Arden Asset Management, Stamford, Connecticut-based K2 Advisors and Irvine, California-based Pacific Alternative Asset Management.
Mass PRIM made its first four fund-of-funds allocations on July 1. Rock Creek in Washington, DC was the fifth fund of funds chosen, though it was second choice after the pension failed to reach an agreement on fees with Seattle-based Silver Creek, according to Michael Travaglini, the fund's director.
"We negotiated terms with all of them but for Silver Creek, so our staff went back to the universe to see who would get the fifth assignment," Travaglini told MAR. The state pension's investment board approved the Rock Creek allocation at its board meeting on October 5.
Mass PRIM posted an exceptional performance last year, returning 26.8% - the best year in its history and a dramatic turnaround from the 8.9% loss it suffered in 2002. Through September this year, the pension fund had returned close to 4%, said Travaglini.
However, the fund needs to average 8.3% annualized returns through 2023 in order to have enough assets to pay its pensioners, he said. To do that, it is still exploring the idea of further diversifying into alternatives, including allocating to additional funds of funds or to single-manager strategies that fit with its long-term objectives.
"The theory here is that we may evolve to a direct program at some point, but we need to see how the car is running as we leave the station," said Travaglini. "We wanted exposure to the asset class and this was the quickest way to do it. Now we'll see how these allocations perform, how quickly the car accelerates before taking any next steps."
Mass PRIM's fund-of-funds selections are no strangers to the pension world.
Both Ivy and Rock Creek manage a portion of Virginia's state pension fund, while PAAMCO and K2 Advisors each have a $55 million mandate from the Louisiana State Employees Retirement System. PAAMCO also manages $600 million for the Pennsylvania State Employees' Retirement System.
New England Pension Consultants helps advise the pension.
© 2003 Managed Account Reports LLC
# posted by Tom @ 8:00 AM 
