10/08/2011 Author: Kirstie Brewer

Wyoming pension plan allocates to Tudor fund

The Wyoming Retirement System has allocated $30m to Tudor Investment, as part of the final stage of its investment in macro funds, HFMWeek can reveal.

Tudor Investment’s Tensor Fund is the sixth and final macro fund to be allocated $30m by the $5.6bn retirement system, which manages the assets of nine state pension plans.

Tudor joins a strong line up of macro managers that Wyoming invests in, previously named by HFMWeek, the others being: BlueCrest, Brevan Howard, Caxton, Moore and Graham Capital Management.

Wyoming Retirement System’s significant $180m allocation to macro funds marks its first foray into the hedge fund space, which began with a request for proposal (RFP) for global macro managers, as well as risk parity and global tactical asset allocation (GTAA) managers, in August last year.     
   
The tender stipulated that eligible firms had to have “$250m of verifiable total firm assets under management” and at least “two years verifiable global macro investment experience”.

According to the minutes of the board’s February meeting, the retirement system has awarded the GTAA mandate to AQR, Bridgewater and Grantham, Mayo, Van Otterloo and Company (GMO), allocating approximately 10% of the portfolio to the three managers.

The GTAA allocation will be funded by either reducing or withdrawing the pension’s current investments in Smith Graham, Alliance Bernstein Large Cap Growth and Alliance TALF, the minutes stated.

HFMWeek previously revealed that the retirement system had developed plans to allocate to the long/short equity space later this year.

According to Trent May, CIO of the fund, the pension is currently in the early stages of its long/short investment process, which is likely to move ahead following the conclusion of its macro programme.

“We are likely to aim [to invest] late this year, if not early next year,” he told HFMWeek in May.