Rhode Island picks Aberdeen, BNY Mellon HedgeMark for crisis protection portfolio

Rhode Island State Investment Commission, Providence, hired Aberdeen Asset Management and BNY Mellon HedgeMark to manage a new $624 million crisis protection portfolio for the $7.8 billion Rhode Island Employees' Retirement System.

Aberdeen will be the fiduciary of the portfolio and will implement the state’s strategy through investment-related decisions, including manager searches within the platform, said Evan England, spokesman for state Treasurer Seth Magaziner, who oversees the commission. BNY HedgeMark will monitor the day-to-day performance and due diligence of the portfolio, and provide administration services. The two firms submitted a proposal together, Mr. England said.

Roughly half of the portfolio consists of long-duration U.S. Treasuries, while the other half will be in momentum strategies, such as long/short momentum-duration stocks, bonds or commodities.

The commission, which manages the pension fund assets, created the crisis protection portfolio in September to maintain stability if and when the market and the rest of the portfolio are experiencing high volatility, targeting an 8% allocation.