San Diego pension to add $200m to hedge funds

The $8bn San Diego County Employees Retirement Association (SDCERA) is set to allocate an additional $200m to hedge fund strategies, HFMWeek can reveal.

The investment committee is due to consider a new $100m investment into long/short credit hedge fund Saba Capital Management as part of its relative value portfolio, and a further $100m allocation to DE Shaw’s Heliant Fund as part of its global macro / CTA portfolio.

According to meeting documents, the two new investments are expected to result in “reduced overall portfolio tracking error”, “more balanced risk contribution”, and “increase diversification”.

Launched in 2009, Saba Capital consists of a diversified portfolio of liquid instruments including corporate bonds, single name and index CDSs, loans and equities. The firm targets net returns of approximately 15%, with volatility ranging between 4% and 6%.

The DE Shaw Heliant fund, which manages around $712m in assets, offers exposure to “several arms of DE Shaw’s macro-related trading strategies”, targeting net returns of around 12% to 13%, and volatility of 12%.

SDCERA currently allocates just under $1.7bn to 17 global macro and relative value hedge funds. The board also approved a $50m allocation to metals-trading hedge fund Red Kite’s RK Mine Finance Fund last month, as first reported by HFMWeek.

Earlier this year, HFMWeek revealed that SDCERA was planning to add seven hedge funds to its ‘approved managers list’, in order to allow the fund’s investment staff to make additional allocations to these managers without board approval.
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