Chicago Firemen's Annuity & Benefit Fund hired Capital Fund Management, a quantitative and systematic manager, to run a $15 million liquid diversifying/liquid alternative portfolio.
The $956 million pension fund's board approved the hiring at its Dec. 18 meeting, recently released meeting minutes showed.
Further details on the nature of the portfolio were not provided. The pension fund issued an RFP in July for liquid diversifying/liquid alternative managers that offered a strategy with low or negative correlation to public equities (with an average equity beta equal to or less than 0.25) and moderate volatility (with an average target equal to or less than 15%), as well as monthly liquidity as a minimum.
The RFP did not provide further details on the types of strategies the pension fund was seeking, but it did say strategies excluded from the search were absolute-return fixed income, active currency only, alternative risk premiums, hedge funds of funds, long-biased equities and risk parity.
Investment consultant Callan assisted.
Lorna Scott, chief investment officer, could not be immediately reached for further information.