San Diego County Employees Retirement Association, San Diego, invested $50 million in Mount Lucas Managements Global Markets Strategy fund. The synthetic hedge fund invests in futures contracts covering Mount Lucas Management market indexes that track components in a typical hedge fund, including equities, global bonds, currencies and commodities. The $3.8 billion system is the first major institutional investor to invest in the fund, which was launched earlier this month, according to a release from Mount Lucas.
Mike Munson, assistant chief investment officer at San Diego County, said the plan has enjoyed good returns from other Mount Lucas Management index strategies. The Global Markets Strategy provides "returns similar to hedge funds with the added benefits of increased liquidity and complete transparency, he said.