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 systems 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.