Texas Employees rehires Albourne as hedge fund consultant

Texas Employees Retirement System, Austin, rehired Albourne as hedge fund consultant, a webcast of the pension fund's board meeting Wednesday showed.

The $28.7 billion pension fund issued an RFP in March as part of the normal process of putting the services up for bid every few years. ERS' general investment consultant NEPC was the other finalist.

Texas ERS originally hired Albourne as its first hedge fund consultant in 2011.

Separately, the pension fund returned a net 5.3% for the year ended June 30, below its policy benchmark return of 6.1%. For the three, five and 10 years ended June 30, ERS returned an annualized net 9.2%, 6.2% and 8.9%, respectively, compared to their respective policy benchmark returns of 8.7%, 5.9% and 8.9%.

The pension fund returned a net 9.9% for the year ended June 30, 2018. ERS' fiscal year ends Aug. 31.

Among asset classes reporting one-year returns ended June 30, public real estate led with a return of 10% (above its 8.3% benchmark), followed by total rates at 6.2% (6.2%) and global public equity at 3.6% (4.9%).

As of June 30, the actual allocation was: 40.3% global public equity; 16.7% total rates, 14.2% private equity, 10.4% global credit, 7.6% private real estate, 3.4% absolute return, 3.1% public real estate, 2.7% infrastructure and 1.6% cash.

The long-term targets are: 37% global public equity; 13% private equity; 11% each, global credit and total rates; 9% private real estate; 7% infrastructure; 5% absolute return; 3% each, opportunistic credit and public real estate; and 1% cash.

Separately, the board approved staff's hedge fund tactical plan for the fiscal year beginning Sept. 1. The pension fund expects to make a total of up to six new investments focusing an opportunistic, relative value and long/short equity strategies, with a continuing emphasis on liquid strategies within developed markets.

As of May 31, within the pension fund's absolute return allocation, allocations to hedge funds were: 33.8% event-driven funds; 30.5% relative value funds; 22% global macro funds; 9.1% long/short equity; and 4.6% opportunistic funds.

The board also approve staff's private equity tactical plan for the fiscal year beginning Sept. 1, in which the pension fund plans to make 10 to 17 commitments totaling $800 million (with a potential range of $600 million to $1 billion).

During fiscal year 2020, the pension fund plans to make five to seven commitments totaling $210 million to $600 million to buyout funds, two or three commitments totaling $60 million to $300 million to growth equity and venture capital funds, two or three commitments to secondary private equity funds totaling $30 million to $300 million, one or two commitments to energy and natural resources funds totaling $30 million to $200 million, up to one commitment to a subordinated, senior and distressed debt funds for up to $150 million and up to one commitment to a special situations fund for up to $50 million.

As of March 31, the net asset value of assets within the private equity allocation by strategy were: 40.1% buyouts; 22.6% venture capital and growth equity; 13.9% energy and natural resources; 13.4% secondary private equity funds; and 10% subordinated, senior and distressed debt.