California pension adds Two Sigma Risk Premia

The $8 billion Alameda County Employees’ Retirement Association has committed up to $40 million investment in the Two Sigma Risk Premia Fund at last month’s trustee meeting.

Two Sigma’s risk premia product was launched in 2015 and has remained popular among pension fund investors. Where the quantitative firm fits within Alameda’s portfolio, which includes a $741 million allocation to hedge funds, is unknown. The commitment is subject to contract negotiations.

Trustees at the California pension fund also approved the liquidation of its $40 million investment in AQR Global Stock Selection Institutional Fund . . .

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