Florida State Board of Administration intends to make its first allocaton to smart beta, or factor-based, investing, but it is doing so on its own terms.
The global equities staff of the Tallahassee-based FSBA, which has no smart beta allocation now, plans to create the equity portfolio and manage it internally.
The FSBA, which oversees $175 billion, expects to exploit “evidence for generating long-term returns in excess of the capitalization-weighted benchmark” by using factors, John Kuczwanski, communications manager, said in an e-mail.
The FSBA will not add new staff to assist in managing the portfolio.
“This global strategy will leverage the skills and expertise of our internal portfolio managers and trading team,” Mr. Kuczwanski said.
The FSBA manages in-house $42 billion of its total $75.7 billion in global equities.
Details, including the factors and the amount to be placed in the portfolio, haven’t been determined.
The portfolio team will look to “obtain exposure to factors that have outperformed the market in a cost-effective manner,” that is “lower than active-management fees,” according to a staff presentation at the March 30 investment advisory council meeting.
“We plan to implement the factor investing within the second quarter of this year,” Mr. Kuczwanski said.
