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The San Diego County Employees Retirement Association (SDCERA) is planning to allocate $200 million to hedge funds.

The pension plan will set aside $100 million to long/short credit hedge fund Saba Capital Management, while the remaining $100 million is geared toward DE Shaw as part of its global macro/CTA portfolio, according to HFMWeek.

SDCERA currently allocates about $1.7 billion to 17 global macro and relative value 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 h...

The San Diego County Employees Retirement Association's investment committee is ready to vote to invest $100 million each in hedge funds run by D.E. Shaw Group and Saba Capital Management.
The $8 billion public pension looks to add that amount to an existing allocation to D.E. Shaw's global macro Heliant Fund, HFMWeek reports. The investment in Saba, founded two years ago by former Deutsche Bank proprietary trader Boaz Weinstein, is a first for SDCERA.
The new investments are designed to reduce portfolio tracking error, increase diversification and balance risks.