Arizona Public Safety Personnel Retirement System, Phoenix, hired BNY Mellon Beta Management to run a derivatives overlay strategy with a notional value of $600 million, confirmed James Hacking, administrator of the $6.3 billion fund.
He said the beta exposure of the investment would complement the portable alpha exposure the system has established over the last few months.
Investment consultant NEPC and staff at the retirement system recommended the investment, Mr. Hacking said in a telephone interview.
The system also increased allocations to four separate commodity hedge funds. The Helios Advisors Sunbeam Opportunities fund and GeoSphere fund were increased to $20 million each from $14 million, the Viridian and Blue Gold funds were each increased to $12 million from $8 million.
“Because this is a diversifier, it's going to help continue to reduce our exposure to equities by increasing our exposure to alternatives that have low or negative correlations to equities,” Mr. Hacking said.
Separately, the system committed up to $30 million in the Nisswa Fixed Income MBS Relative Value Fund, run by Pine Ridge Capital Management.
“What this fund will do is attempt to produce very attractive risk-adjusted returns by exploiting the inefficiencies in agency and non-agency mortgage-backed securities,” he said.
Albourne Partners, the system's real estate consultant, recommended the investment.
All investments are subject to due diligence.