Pennsylvania State Employees' Retirement System, Harrisburg, placed Pacific Alternative Asset Management on watch, confirmed Robert R. Gentzel, spokesman for the $24 billion system, in an e-mailed response to questions about a recent court decision affecting the firm.
PAAMCO ran $1.3 billion in a hedge fund of funds for the system as of Sept. 30, according to Mr. Gentzel.
Mr. Gentzel did not provide specific reasons for the move but said in his e-mail that board of the state fund “has been briefed on the situation and PAAMCO is receiving heightened monitoring — which by definition puts them on our watch list.”
He wrote that according to the system's investment adviser retention guidelines, “the criteria for inclusion on the watchlist is that quantitative or qualitative developments make the advisor ‘worthy of greater attention' in the form of intensified ‘analysis and due diligence of the advisor to assess whether or not genuine issues of concern actually exist.' ”
“It is important to note that SERS hired PAAMCO in 2002 based on their expertise and focused work with institutional investors. … Since then, PAAMCO has been one of the top-performing managers in our absolute-return program and has exceeded our expectations, achieving an annualized return of 5.5% after fees,” Mr. Gentzel added in his e-mail.
Judy Posnikoff, a PAAMCO managing director, declined to comment.