City of Milwaukee Employes’ Retirement System narrowed the number of candidates in a search for a hedge fund-of-funds manager to run $100 million to 12 mangers, said Bernard J. “Jerry” Allen, executive director.
They are BlackRock Alternative Investors, Blackstone Alternative Asset Management, Corbin Capital Partners, Evanston Capital Management, Grosvenor Capital Management, J.P. Morgan Alternative Asset Management, Lighthouse Investment Partners, Mesirow Advanced Strategies, Morgan Stanley Alternative Investment Partners, Pacific Alternative Asset Management Co., Permal Group, and UBS Alternative and Quantitative Investments.
The allocation would be CMERS’ first to hedge funds, Mr. Allen said.
The pension fund’s investment committee plans to trim the group to come up with a list of finalists, although no time frame has been set. The committee‘s next scheduled meeting is June 5.
Callan Associates, the pension fund’s investment consultant, recommended candidates for the search, developed from its universe of potential managers, Mr. Allen said.
CMERS, which oversee $5 billion, conducted a shortlist search with Callan, rather than issue an RFP, Mr. Allen said.
CMERS plans to hire one manager, either a manager of a pooled hedge fund of funds or a manager of a customized hedge fund of funds designed for the pension fund.
Funding will come from domestic equities. CMERS hasn’t yet identified specific managers or determined whether the proceeds would come from terminating any manager or reducing allocations, Mr. Allen said.
CMERS is making the move to enhance diversification, hoping to reduce the pension fund’s risk without giving up much in return, Mr. Allen said.
The pension fund has “considerable exposure to equities,” Mr. Allen said.
CMERS has an actual 65.8% allocation to equities, consisting of 32.9% domestic equity, 22.6% international equity and 10.3% global equity. The rest of the allocation is 25.2% fixed income, 7.2% real estate, 1.4% private equity and 0.4% cash.