New Mexico Jumpstarts Portable Alpha Program

Sep 20 2007 | 8:12am ET

The board of the $13 billion Public Employees Retirement Association of New Mexico last month authorized the first phase of the system’s portable alpha program.

PERA’s board set the alpha program, which is separate from the system’s current hedge fund strategy, at 5% of total assets and plans to increase it to 10% after 12-18 months, according to Robert Gish, PERA’s chief investment officer.

“We will be investing in 11 managers that have already been selected by our consultant, Cliffwater. They’re distressed, credit, event dirven, multistrategy and various combinations of other managers with low correlations to equities with $1 billion or more in assets,” said Gish. “In the alternative investment asset strategy, we’ve only funded about $400 million there so we still have about half a dozen managers left to select.”

Year-to-date, the system’s direct hedge fund investments have yielded a 7.1% return through August.

On the private equity front, the system this month approved up to $30 million in Wayzata Opportunities Fund II, a private equity fund that invests in debt instruments of distressed small- and mid-cap companies. It also approved an increase to its investment in the OCM Opportunities Fund VIIb from $15 million to $30 million. Both new mandates are being funded from PERA’s equities portfolio.

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