Louisiana Sheriffs draw on consultant Russell to run low-volatility strategy

Louisiana Sheriffs' Pension & Relief Fund, Baton Rouge, committed $30 million to a Russell Investments defensive equity fund, confirmed Osey “Skip” McGee Jr., executive director.

The $2 billion pension fund has been looking for some time at making a small “trial” allocation to a low-volatility strategy to reduce risk, said Mr. McGee in a telephone interview.

Staff and Russell Investments, which is also the pension fund's investment consultant, examined a shortlist of managers and decided ultimately on committing the money to Russell's multimanager fund, which invests primarily in domestic large-cap equities.

The other managers on the shortlist were Cornerstone Capital Partners, INTECH Investment Management, Jacobs Levy Equity Management Equity Management, J.P. Morgan Asset Management (JPM) and PanAgora Asset Management.

Funding comes from a reduction in assets from a number of managers from various asset classes, said Mr. McGee, none of which was terminated. The fund plans to increase the allocation to low-volatility equity over time, but details on how much and a timetable for the increase have yet to be determined.

Separately, the pension fund added $15 million each to hedge fund-of-fund managers Blackstone Alternative Asset Management and Carbon Capital; giving them $50 million and $44 million, respectively; and added $10 million to a commodities fund run by Russell, raising it to $46 million.

Funding comes from cash; the pension fund made the additions because it was underweight the target allocations of 5% each to hedge funds of funds and commodities, Mr. McGee said.