Merced County (Calif.) Employees' Retirement Association invested $5 million in a market-neutral volatility arbitrage hedge fund managed by Laurion Capital Management, said Kristen Santos, retirement plan administrator, in an email.
The $816 million pension fund also made a partial redemption of $8 million from a multistrategy hedge fund managed by Och-Ziff Capital Management Group, leaving the portfolio with about $10 million. From those proceeds, the board approved adding assets to existing direct hedge fund investments: $3 million to a multistrategy long/short credit fund managed by Silver Point Capital, giving it about $7 million; $3 million to Archipelago Partners, a long/short equity fund managed by Wellington Management, giving it $6 million; and $2 million to KLS Diversified Fund, a market-neutral fixed-income arbitrage fund managed by KLS Diversified Asset Management, giving it $5 million. All three investments were originally approved by the pension fund's board in June 2017.
Ms. Santos said the partial redemption to Och-Ziff was due to an overweight allocation, and the redemption had to be made by March 30 due to a once-a-year liquidity/redemption clause in the contract, Ms. Santos said.
As of Feb. 28, the actual allocation to hedge funds was 4.6%.
Private equity and hedge fund consultant Cliffwater assisted.