Oakland (Calif.) Police and Fire Retirement System is conducting a shortlist search for two managers to run a total of $21 million in systematic trend-following and alternative risk premium strategies.
The $434 million pension fund is conducting the search due to the closing of Parametric Portfolio Associates' alternative risk premium strategy at the end of October, recently released Jan. 27 board meeting minutes show.
The pension fund's crisis risk offset portfolio consists of allocations to three separate strategies: long-duration fixed income, systematic trend-following and alternative risk premium. Currently, the pension fund has $21 million invested in a Vanguard Group-managed long-duration Treasury exchange-traded fund. The pension fund's target to crisis risk offset is 10%.
Parametric ran $16 million as of Sept. 30 in a strategy that fulfilled the pension fund's alternative risk premium and systematic trend-following components, said a memo from investment consultant Meketa Investment Group.
At the board's Jan. 27 meeting, Meketa recommended a shortlist search for separate managers for the alternative risk premium and systematic trend-following portfolios, minutes show.
The shortlist will consist of managers that responded to the pension fund's RFP for crisis risk offset managers issued in 2019, the minutes show.
The timeline for a selection was not available.
Teir Jenkins, investment officer, could not be immediately reached for further information.