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October 01, 2010 01:00 AM

Florida board seeking risk-modeling firms

Barry B. Burr
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    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.

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