Sacramento adds on to alts, keeps watch on AQR

Trustees for the Sacramento County Employees’ Retirement System were presented with details on alternative investment allocations made in November at the pension board’s December meeting. The largest allocation, however, was a $100 million commitment to the Brookfield Liquid Real Return Fund, which is an offering from Brookfield Public Securities Group, a platform of hedge fund firm Brookfield Asset Management. Housed within Sacramento’s real asset portfolio, the allocation was made as a $100 million redemption was made from State Street Global Advisors SSgA Real Asset Proxy. Another $45 million went to the absolute return portfolio with an allocation to LMR Partners’ LMR Fund Ltd, which already handles $3.8 billion in assets. The hedge fund firm was founded in 2009 and is a London-based multi-strategy manager that relies on global, liquid, trading and investment strategies across a broad range of assets and horizons using both systematic and discretionary approaches, according to firm’s website. Within private equity, a total of $35 million was allocated. A new investment of $30 million was made in Cortec’s Cortec Group VII, a middle market buy-out fund, while the remaining $5 million was an add-on allocation to New Enterprise Associates venture capital offering – New Enterprise Associates 17, a fund totaling $2 billion. Meanwhile, AQR Capital Management remains on the $9.7 billion pension system’s watchlist. AQR manages $42 million in Sacramento’s hedge fund portfolio within the AQR Delta Fund II. According to meeting materials, the fund’s recent performance has been negative, and it has significantly underperformed the benchmark set by Sacramento. Year-to-date performance through September was -7.2%, while for the calendar year 2018 the Delta fund lost 15.7%. Sacramento officials said that AQR’s Delta fund has also experienced “significant” outflows over the past year. Verus is the pension fund’s investment consultant.

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