New Mexico Public Employees Retirement Association, Santa Fe, launched a search for a manager to run a new market-neutral portable alpha portfolio of between $300 million and $500 million, an RFP on the $14.4 billion pension fund's website shows.
Proposed investment strategies must contain two parts: a broadly diversified alpha strategy that employs tactical asset allocation focused on an equity market beta neutral strategy, and an equity beta overlay “that can be clearly articulated and consistently applied over time,” the RFP states. The policy benchmark is the Russell 3000 index plus 3%. Managers may propose objective-driven, multiasset, risk premia-style portfolios that minimize drawdown risk, low volatility, low beta and low correlation, rather than a benchmark-driven approach.
Funding could come from the pension fund's $430 million managed futures program, run by 15 hedge fund managers.
The RFP is available on the pension fund's website. Proposals are due Jan. 20, with a possible selection to be made by April 30.