New Mexico PERA preps market-neutral portable alpha search

New Mexico Public Employees Retirement Association, Santa Fe, plans to launch an RFP on Dec. 1 to search for a manager to run a new approximately $400 million market-neutral portable alpha portfolio, said Jonathan Grabel, chief investment officer for the $14.5 billion pension fund.

The board is expected to use the RFP responses to decide whether to alter the construction of a $430 million managed futures program managed by 15 hedge fund managers, which would be the funding source for the portable alpha allocation. He declined to identify the hedge fund managers. “The program has done very nicely as capital markets have run up,” Mr. Grabel said. “We might reposition the portfolio to do well when the markets are not serially up.”

The RFP will be posted on the pension fund's website. Proposals will be due in mid-January, with a board decision as soon as the end of April.

Separately, the board at its Thursday meeting committed up to $50 million to private equity fund Paine & Partners Capital Fund IV, which will invest in agribusiness. The fund will be part of the pension plan's real assets portfolio. PERA has a 7% target allocation to real assets. This is pension fund's first investment with Paine & Partners.

The board also committed up to $45 million to Harrison Street Real Estate Capital's fifth fund, Harrison Street Real Estate Partners V. This is PERA's first investment with Harrison Street.

Also, the pension fund returned -1.19% in the quarter and 9.91% in the year ended Sept. 30. The best-performing asset class during the quarter was alternatives — which includes absolute return, private equity, real estate and real assets — with a 3.93% return. The worst-performing asset class for the quarter was international equities at -5.12%.

The best-performing asset class for the year was domestic equities at 14.98% and the worst was fixed income, 5.04%.