Florida State Board of Administration, Tallahassee, is searching for firms providing risk models designed to examine its total investment holdings and firms providing stand-alone risk measurement and monitoring models designed specifically for hedge funds, according to an invitation to negotiate issued by the $141.2 billion board.
FSBA is currently in the early stages of building out a hedge fund program for the $117.9 billion Florida Retirement System defined benefit fund, assisted by hedge fund consultant Cambridge Associates. Under an asset allocation plan adopted in June, the board targeted a 6% allocation to hedge funds, consisting of 2 percentage points each in absolute-return hedge funds, long/short equity hedge funds and open-mandate hedge funds. Cambridge has searches under way for direct hedge fund relationships.
FSBA does not have a total fund risk model or a hedge fund risk measurement and monitoring model. But the board uses holdings-based risk models from MSCI Barra for global equity and Wilshire Associates for fixed-income asset classes. Their assignments will not be affected by the search, according to John Kuczwanski, FSBA communications manager.
The FSBA is conducting the search without the use of a consultant.
Firms may submit proposals for either type of model or both. The board may hire one or two firms.
Responses are due Nov. 19. The board plans to make a decision Feb. 11.
