Massachusetts Pension Reserves Investment Management board, Boston, is sticking with its portable alpha program despite some shaky recent results, according to Michael Travaglini, executive director of the $39.3 billion system.
Amid reports of other public funds suffering major losses with the strategy, Mr. Travaglini said PRIM continues to expect long-term gains from its program, which accounts for roughly 6% of its portfolio.
With the unprecedented market volatility of the current year, Mr. Travaglini conceded that both sides of the system’s portable alpha program — its broad Russell 3000 equity exposure and its hedge fund-of-funds investments — have sustained losses this year, with the 15% decline of the hedge fund component particularly disappointing. Over the long term, the gains should exceed the losses, he said.
