Pennsylvania pension to add tail risk mitigation portfolio

The investment committee of the Pennsylvania Public School Employees’ Retirement System (PSERS) adopted a tail risk mitigation strategy policy, which was originally presented to board members over the summer.

The $61 billion pension fund’s investment office has been charged with establishing a strategy with a mandate of providing protection against significant equity market drawdowns.

PSERS does have some experience with tail risk mitigation strategies. Staffers said in a memo that they have used an external manager within the absolute return allocation since 2011 and the LIBOR Plus allocation since 2015. A $250 million allocation . . .

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