07/18/2012

State Pension Seeks Long/Short Exposure

Look for Wyoming Retirement to invest up to $500 million in long/short equity and credit hedge funds over the next 18 months.

The $6.2 billion pension operator currently limits its hedge fund investments to global-macro managers, divvying a $180 million allocation among firms that include BlueCrest Capital, Brevan Howard Asset Management, Caxton Associates, Graham Capital, Moore Capital and Tudor Investment.

But the Cheyenne, Wyo., operation, which manages the assets of nine state pension plans, now wants to plow money into long/short strategies in an effort to protect its equity and fixed-income portfolios from the kind of volatility that punished investors in the second half of 2011. To that end, it has earmarked 10% of its equity book as an “alpha pool,” and has carved out a similar amount from its fixed-income portfolio.

The upshot is that Wyoming Retirement is prepared to quadruple its existing hedge fund allocation by yearend 2013. The move is part of a broad restructuring of its equity and fixed-income portfolios that has been in the works for three years.

To help execute the changes, chief investment officer John Johnson will hire a researcher in the next few weeks. He also plans to add a second senior investment officer to work alongside Jeffrey Straayer.

Johnson’s team takes investment advice from consultant NEPC.

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