Stanislaus County Employees' Retirement Association, Modesto, Calif., approved investments totaling $81 million in two liquid absolute return funds.
The $2.7 billion pension fund's board at its July 27 meeting approved investments of $54 million in Graham Proprietary Matrix, a diversified global macro fund managed by Graham Capital Management, and $27 million in Invesco Global Targeted Returns Fund, a defensive global asset allocation fund, said Stan Conwell, retirement investment officer.
The investments are a result of the pension fund's creation in November of a 3% target allocation to liquid absolute return strategies.
The target was created following an asset-liability study that also resulted in the elimination of an 8% target to short-term government/credit fixed income and decreases in targets to international equities, to 20% from 23%, risk parity, to 10% from 13%, cashflow-matched bonds, to 7% from 11%, and private equity, to 5% from 6%.
Investment consultant NEPC assisted.
