30/06/2008

FoHFs make up nearly 30% of PA SERS’ investments

Fund of hedge fund (FoHF) managers accounted for close to 30%, or $9.5bn, of the $34bn Pennsylvania State Employees’ Retirement System’s (PA SERS’s) total investment portfolio as of last year, a $1.4bn increase from the previous year, according to the pension’s 2007 annual report released last week.

The FoHF managers in PA SERS’ portfolio were diversified between US and non-US managers. On the US side, the pension allocated to Blackstone Alternative Asset Management, Pacific Alternative Asset Management Company (PIMCO) and Robeco Sage Capital. Meanwhile, on the non-US end, it invested in Arden Asset Management and Rock Creek.

Additionally, SERS allocated two absolute return strategies portfolios managed by FoHF investment advisors, Morgan Stanley and Mesirow Financial.

PA SERS was down 4.1% in the first quarter this year. Last year, it returned 17.2%.