San Antonio Fire & Police Pension Fund is reviewing its $100 million portable alpha strategy following its Feb. 19 investment committee meeting to monitor portable alpha going forward, confirmed Bart Moczygemba, chairman of the $2.2 billion plans investment committee.
The strategy, adopted in mid-2006 to improve the funds fixed-income allocation, underperformed in the past 12 months, according to meeting minutes. Mr. Moczygemba said there are six managers in the strategy and that not all were underperforming. He declined to name the managers.
Although the fund had no direct subprime exposure, it suffered in the sell-off that ensued as many fixed-income investors became risk averse, the minutes said. This aversion to risk caused many securities to be sold off, which impaired valuations (on a mark-to-market basis) in the funds enhanced cash allocation within the portable alpha strategy.
The fund will redirect to hedge fund-of-funds manager Ironwood Partners $3 million in funding from cash intended for Declaration Management & Research, an enhanced cash manager in the portable alpha program. Also, future cash flows once earmarked for Declaration will be redirected to other managers in the portable alpha program. A call to Declaration was not returned by press time.