UPS CIO Brian Pellegrino Delivers Alpha

Brian Pellegrino is in a tiny minority of corporate plan sponsors. That is because the chief investment officer ofUnited Parcel Serviceoversees defined benefit plans that are still open to new hires. And, unlike many of his peers who invest for closed private sector pensions — including General Motors Co., IBM Corp. and Xerox Corp. — UPS is not pursuing a liability-driven investment strategy for its $30 billion fund. But perhaps the most unusual feature of the UPS pension fund, given the challenging low interest rate environment, has been its ability to meet and exceed its annual expected return bogey of 8.75 percent for the past six years.

“由于长期负债和低效支付比率，我们相信我们有时间在我们身边赚取回报，”Pellegrino，54号解释说，他在包裹送货公司的35年的职业生涯中仍然是在新泽西州装载拖车在高中时。时间 - 由于拥有更长的劳动力而比其他大型公司更长的劳动力 - 允许佩莱格诺队追求一系列创新机会，提高资金绩效，并努力为UPS三项养老金计划提供全额资金的企业目标，包括一个Taft-Hartley pension。

2005年，佩雷格诺在几十年上发现了他在投资办公室的真正家园，在旋转作业的企业职业道路之后，从新泽西州向布法罗转移到UPS的亚特兰大总部 - 包括在会计，兼并和收购和企业融资中的表现。在投资办公室，他能够挖掘他对市场的兴趣。Pellegrino首先在UPS财政部进行了融资，他参与了外汇和能源对冲，股票回购计划和营运资金管理，（后者包括发布商业票据并投资超额现金）。

自2010年以来，UPS养恤金基金的年度回报率超过了8.75％的退货期望。“我们认为自己是绝对的回报投资者，所以我们不会花很多时间谈论我们如何相对于相对的方式，”Pellegrino说。相反，他专注于“我们如何增加价值并满足返回目标”。他的方法始于对冲基金，增长，包括机会主义投资，专门的信用组合和定制的测试版。

在2006年开始于65年通过降低percen Pellegrinot allocation to public equity and creating a 10 percent allocation to hedge funds. Shunned at first by desirable hedge fund managers, the UPS CIO placed these assets in a global tactical asset allocation portfolio. The 2008–’09 financial crisis soon created opportunities for cash-rich institutions like his as desperate investors pulled their money out of hedge funds to plug holes in their diminished portfolios.

为了建立一个集中的，3亿美元的对冲基金投资组合，拥有十个经理和十几种战略，佩莱格里诺设计了一套纪律的经理选择标准。他寻求股票的回报，比股权较少;与投资组合的其余部分低相关;流动性和透明度;低机会风险（“没有毁灭的风险”，因为他把它）;与其他投资组合alphas（如房地产和私募股权）多样化。

这些标准在全球宏观，商品贸易顾问，MultSrategy对冲基金以及一些非常独特的非相关信贷策略中产生了投资。不在列表中：长短股权，合并套利和大多数事件驱动的对冲基金。当被要求命名他的经理时，Pellegrino礼貌地拒绝。

Working without a hedge fund or general consultant, Pellegrino built out the investment office from three professionals at his arrival to 21 today. (He plans to add another three to five positions.) With the hedge fund portfolio in place, in 2012 Pellegrino added a managed account platform on which to house opportunistic investments — those with a finite life cycle that are neither strategic nor core and do not fit anywhere else in the portfolio.

“这是一个即插即用的结构，用于进来的机会，”Pellegrinino解释道。“分配在助焊剂中;它扩大和合同。“例如，UPS可能会提供不适合经理的授权的策略，但在UPS组合中会很好地工作。经理创建一个“一个”或单独的帐户，在策略将在其运行课程之前。此类投资的例子包括货币和利率市场的机会以及2010年的Dodd-Frank Wall Street改革和消费者保护法案的机会，该行为强迫银行揭示了不良资产。

In January 2016 UPS launched a credit portfolio by lifting out all the credit-related investments across major asset classes, including real estate, hedge funds, core fixed income and private equity. The credit portfolio can go as high as 10 percent of the total fund and is currently around 8 percent. The core fixed-income portfolio, which reached a high of 40 percent in 2011, is currently closer to 20 percent. UPS changed its pension governance structure in 2007, permitting the CIO to reconfigure the asset allocation as needed, as well as approve staff and manager hires and dismissals.

Pellegrino is currently pursuing strategies that allow him to get close to the assets, seeking custom mandates, especially in real estate, credit and private equity strategies. The investment office works with “strategic partners,” large asset management firms that help identify and execute these custom strategies, now 5 percent each in real estate and private equity. These allocations can double in size but in private equity, which has been experiencing a lot of distributions, current opportunities are limited. In real estate, “we don’t think there’s a bubble but we’re watching it closely,” says Pellegrino.

这些天Pellegro将公共股权减少到40％至45％的ups总投资组合。2010年，他开始建立一个定制的Beta投资组合，现在超过40％的股权组合，并将其增长到年底为50％。随着自定义Beta组件的增长，有效管理已被降低。“我们在我们想要的[定制Beta Portfolio]提供比典型的CAP加权组合的更好的曝光，我们在曝光中进行研究，我们觉得我们想要更好地曝光。”其余的股票组合被积极管理，并以小额分配给被动，资本加权指数投资组合。

While it may not be the sexiest part of the portfolio, the UPS CIO has been overweighting cash to allow for nimble investing as opportunities emerge. “We try to let the industry know we’re here as a liquidity provider,” says Pellegrino, who is prepared to give managers a quick yes or no answer. “We want to be the first call when managers have unique opportunities.”

Brian Pellegrino将出现在提供alpha.会议，托管亚博赞助欧冠and CNBC, on September 13 at The Pierre in New York.

在Twitter上关注弗朗斯丹麦@francesdenmark。

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