马萨诸塞州Remedy for Its Sickly Hedge Fund Portfolio

当史蒂文·格罗斯曼接任马萨诸塞州Treasurer earlier this year, he knew he had to take tough action with the state’s $49.5 billion pension fund. Its very high 8.25 percent mandated return in general requires more risk than other pension funds might tolerate. This means he would need to depend more heavily on the contribution of alternative investments, which account for one-third of the overall portfolio.

Trouble is, the $3.8 billion hedge fund portfolio has not delivered satisfactorily, lagging its benchmark in four of the past five years, including 2010 when it generated a return that was less than half the bogey. “There is a strong perception our hedge fund portfolio over the past five years has been somewhat disappointing, underperforming the benchmarks,” says Grossman, who as treasurer serves as chairman of the nine-member board of the Massachusetts Pension Reserves Investment Trust.

因此，在2010年4月初的马萨诸塞州和国家民主党人的65岁前主席决定将5亿美元的对冲基金投资组合从资金的四分之一的四分之一转移到单一经理资金年。国家养老基金聘请Cliffwater LLC通过试点计划提供建议，该计划必须在明年明显增加。

格罗斯曼说这不是一个激进的举动。他指出，马萨诸塞州的养老基金是该国10最大的公共养老基金中的两个人中的两个，以使其整个对冲基金投资组合投资资金资金。其中五个有100％的投资组合直接投资资金，而平均这三分之二的前10名集团直接投入。

马萨诸塞州养老基金也不是希望将更多的对冲基金资产移入单一经理资金的唯一主要机构。3月份德意志银行调查超过500个对冲基金投资者，代表了1.3万亿美元的对冲基金资产，发现62％的机构投资者州的拨款状况不大，这些投资者均未分配将针对资金资金。亚博赞助欧冠此外，60％的人表示，超过50％的资金拨款的历史资金现在正在直接转向单一战略管理人员。

“The liquidity crisis of 2008, the Madoff fraud and increasing sophistication of the end investor base, have resulted in large outflows, particularly in Europe, and raised questions about the validity of this business model,” Deutsche Bank asserted in its report. “Accordingly, this investor group has been required to change with the times.”

资金收取费用的费用可以在管理下的1％的资产中，甚至在底层对冲基金组合的顶部甚至10％。据HFR称，这一点令人惊讶的是，资金资金在过去五年中的四年中有表现不足的单一经理对冲基金。

其他评论家指出，一些想要在2008年全球市场崩溃的后果兑换的投资者难以使资金从资金资金退缩，这反过来又面临了潜在的对冲基金的盖茨。“显然人们对费用和流动性敏感，”对冲基金研究总裁Kenneth Heinz肯尼斯·亨氏敏感。

格罗斯曼表示，流动性不是向单一经理资金移动更多的重要问题。但他确实引用了六个或其他的关键因素。

They include performance, of course. He also says investing directly will give him access to prominent managers who refuse to do business with funds of funds. This is consistent with the pension fund’s policy for investing in other alternatives, such as private equity funds.

Grossman points out that the 84 basis points in management fees paid on his entire funds of funds portfolio potentially translates into $32 million of savings. He also says his portfolio of funds is unwieldy, resulting in some 200 different hedge funds collectively held by all of his funds of funds, resulting in unnecessary duplication. The direct approach will provide more customization and sufficient diversification.

He disputes another widely held belief that funds of funds insulate investors from headline risk, asserting if the FBI raids a hedge fund in your fund of fund’s portfolio, your name will be dragged into the press anyway.

When Grossman and his team reallocate the $500 million, they expect to wind up with around 20 to 25 funds, which he says Cliffwater assures is sufficient enough to reduce 95 percent of the risk.

格罗斯曼将在对冲基金中寻找什么？基金的经过验证的曲目记录是他的要求列表的顶部并不令人惊讶。他还希望在火灾中看到一个明确的凉爽，以及基金的团队如何在2008年和2009年和2009年处理危机并受到保护的客户的金钱。

Grossman also wants to see stability of leadership. This means looking at the longevity of the top managers, employee turnover, consistency of management. Acknowledging that the founders of a number of the top hedge fund firms are approaching retirement age, Grossman also wants to be confident in their succession plan — that the team has a consistent philosophy with the individual whose name rests on the door. “We will shy away from a firm where one person guided it to great success but the succession planning is not well thought out,” Grossman stresses.

最终，它不会是格罗斯曼，实际上将挑选个人资金。这项任务将留给由执行董事Michael Trotsky和首席投资官Stan Mavromates领导的团队。

Trotsky has spent more than 20 years in the investment management business. He joined the pension board last year after serving as the Executive Director of the Massachusetts Health Care Security Trust, the state government agency charged with managing and investing payments Massachusetts receives from the tobacco litigation settlement, and managing and investing the State Retiree Benefits Trust Fund, the fund that invests assets allocated by state and local government agencies to fund the health care benefits of retired government employees.

Mavromates, whose job it is to provide the overall investment strategy and asset allocation for the fund and to evaluate, select, monitor and manage external investment managers, joined PRIM in February 2000. Prior to joining PRIM, he was an investment consultant for John Hancock Financial Services, responsible for investment oversight, due diligence, and selection of investment managers for Hancock's variable products, 401K, and pension plans.

然而，有些专家不仅应该发出资金资金的死亡骑行。Deutsche Bank坚持有资金的资金，可以提供专家建议，适当调查资源，获得优质经理和差异化产品的资金。

In fact, Joe Gieger, Managing Director of GAM USA, who is responsible for fund and institutional business activities of the funds of funds giant in North America, insists he has not seen outflows from the institutional market, especially in the U.S. But, he says funds of funds must move away from a product orientation that highlights returns to what he calls a partner orientation. This means educating investment boards how different underlying strategies within the portfolio correlate or don’t correlate, and about the fund’s beta, standard deviation and drawdown. “It’s not just about returns but how the returns are generated,” he explains.

Heinz指出资金的资金现在能够更好地提供更集成的，分析的多管理员分配。通过技术，他们可以在单个分配下看看整个投资组合。“表现和最低的费用总是很重要，”他说。“但随着资金基金更好地利用技术，投资者能够更好地了解对其曝光的理解。”