San Mateo adds $500m to diversifying risk portfolio

The $4.9 billion San Mateo County Employees’ Retirement Association (SamCERA) approved new allocations to absolute return and core fixed-income strategies within its diversifying risk category at trustees’ January 28 meeting.

The diversifying risk category has been expanding with the alternatives portfolio totaling $542 million at year end.

A $75 million investment was made to the Graham Capital Quantitative Global Macro strategy and another $75 million to PIMCO Multi-Asset Alternative Risk Premia (MAARS) strategy. Both investments are absolute return strategies.

At the end of 2019, the absolute return program totaled $239 million (4.8% of the overall portfolio) and included allocations to AQR and Aberdeen. The portfolio ended 2019 down 3.3%.

Trustees approved at the end of January a $200 million investment to DoubleLine Securitized Income strategy to also be housed in the diversifying risk category within the fixed-income portfolio.

The move is the result of board approval back in September of an updated asset allocation policy, with the largest changes being the removal of risk parity and a resulting increase in the allocation of core fixed income from 14% to 21%. In October, the board approved an implementation plan that adds this core fixed-income exposure in multiple stages.

In December 2019, staff and consultant Verus performed onsite due diligence visits with DoubleLine and Loomis Sayles. While they said both firms were appropriate candidates for the mandate, DoubleLine’s depth of resources and experience in securitized markets, coupled with securitized assets being a core competency of the firm, lead staff and Verus to recommend the DoubleLine Securitized Income strategy for the mandate.

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