24/02/2010 Author: Kapila Gohel

Ohio P&F completes portable alpha hires

The $10.3bn Ohio Fire and Police (OP&F) Pension Fund is set to complete the final stage of its portable alpha programme with an investment in Grosvenor Institutional Partners to be funded next month.

Grosvenor was one of two hedge funds to win the 3% mandate for market neutral long/short hedge fund managers started in 2007; however, Ohio has now chosen to include Russell Implementation Services in half of the around-$300m mandate.

Grosvenor and Investcorp were initially chosen by OP&F last April. While Investcorp was awarded half the mandate, Grosvenor’s funding remained unclear. An OP&F spokesperson has now confirmed Grosvenor will be funded on 1 March, however a portion of the allocation will be allocated to Russell to create the beta component.

The decision to add Russell caused the delay in the funding of Grosvenor. “These two had to be coordinated to begin simultaneously in order to implement the overall mandate.  When Russell was hired, negotiations with Grosvenor shifted from them providing alpha and beta to Grosvenor providing alpha and Russell providing beta; causing a further implementation delay,” the spokesperson stated.

The $152m allocation will be split between the two managers. “However, initially we will fund 50% of the targeted allocation, approximately $76m, as we are in the midst of an asset/liability study and related asset class structure analysis that may require a change to the target allocation,” stated the spokesperson.

Of the $76m, $57m will be invested in Grosvenor Institutional Partners and $19m to Russell to create the beta component. Investcorp has been awarded $92m so far.

Meanwhile, the active currency portion of the portable alpha programme has $210m invested with Mellon Capital and FX Concepts. Western Asset Management is managing $170m in the derivatives-based, enhanced equity portion, while the global macro allocation is split $308m between Bridgewater and AQR Capital Management.