New Mexico Public Employees Retirement Association, Santa Fe, committed $400 million to AQR Capital Management for a portable alpha allocation, replacing a portfolio managed by 15 hedge fund managers, said Jonathan Grabel, chief investment officer of the $14.5 billion pension fund.
AQR will manage the portfolio in a risk factor-based, premiums-style market neutral strategy. The selection was made following an RFP launched in March. Mr. Grabel declined to name the hedge fund managers that will be replaced.
Alternatives consultant Cliffwater assisted.
