Maryland State Retirement & Pension System, Baltimore, invested $350 million in two hedge funds and terminated its two hedge funds-of-funds managers overseeing $870 million in total assets.
The pension fund allocated $250 million to Graham Capital Management’s tactical trading strategy and $100 million to the Nephila Palmetto Catastrophe Fund, a hurricane reinsurance strategy managed by Nephila Capital.
The $45.8 billion fund also asked to redeem $350 million from Diversified Global Asset Management and $520 million from The Rock Creek Group, both as the result of an asset allocation study conducted by Meketa Investment Group.
Andrew C. Palmer, chief investment officer, said elimination of the pension plan’s hedge funds of funds was the result of reducing the absolute-return target allocation to 9% from 10% of total plan assets as part of the recommendations from Meketa’s review.
The elimination of the hedge funds-of-funds allocation also is the final step in the evolution of the absolute-return portfolio to direct investment in single and multistrategy hedge funds, Mr. Palmer said.
A $350 million investment in the global macro fund BlackRock Global Ascent fund was also redeemed. A reason for the termination was not provided.
The absolute return-portfolio totaled $4.9 billion as of June 30. The pension fund also has hedge funds in other asset classes, such as equity, fixed income and commodities.