Michigan Municipal Employees’ Retirement System, Lansing, invested $300 million in SPI Strategies’ Long Pure Alpha Fund.
The $7.9 billion pension fund is a seed investor in the new quantitative, model-driven strategy, said Jeb Burns, chief investment officer, in an interview. The U.S. equity market strategy is concentrated, long-biased and uses shorting to a limited extent to enhance returns.
The pension fund has used SPI’s proprietary research analytics platform — ELROI (Electronic Review of Investments) — for the past six years to construct and manage internal portfolios, which gave the retirement system’s investment staff “the confidence to invest in this new strategy. We use the ELROI model to create our own portfolios, and we really know how the analysis works,” Mr. Burns said.
SPI models active and alternative investment strategies by combining fundamental, technical and quantitative factors to analyze the components of the U.S. stock market.
