Colorado Fire & Police creates managed futures allocation, pledges $49 million to alts

Colorado Fire & Police Pension Association, Greenwood Village, approved a new asset allocation that includes a new 5% allocation to managed futures strategies and committed a total of $49 million to three alternatives managers, confirmed Scott Simon, chief investment officer.

Shortlist searches for managed futures managers will take place in the “near term” and will be handled internally, Mr. Simon said. Interested managers can contact the pension fund.

The $3.5 billion pension fund's board approved a new asset allocation following a study conducted by investment consultant Pension Consulting Alliance. The risk-reducing portfolio, which consists of fixed income, cash and absolute-return hedge funds, was decreased to 28% from 31%. However, a 5% allocation to “trend-following managed futures” was added to the portfolio, Mr. Simon said. Fixed income will be reduced through rebalancing, he added.

Also as part of the asset allocation study, the alternatives growth portfolio allocation, consisting of private equity, real estate and real assets, was increased to 26% from 24%. The global growth/public equity allocation was increased to 46% from 45%.

Separately, the board committed $20 million to a long/short equity hedge fund managed by Soroban Capital Partners, Mr. Simon said in a telephone interview.

The pension fund also committed $15 million to Grey Mountain Partners Fund III, a lower- to middle-market buyout fund. It is the first commitment to Grey Mountain Partners.

The pension fund committed an additional $14 million to a long/short equity hedge fund managed by Samlyn Capital. It originally had committed $6 million to Samlyn.

Separately, the plan hired Deutsche Bank to provide securities lending services, replacing BNY Mellon, which was rehired as global custodian in December.