Fresno County Employees’ Retirement Association Hedge Fund Roster – quick editor’s note – you can learn a lot about hedge funds from pension fund documents which are most of the time public domain – it is a valuable tool – with that said see below for some interesting discussion from GCM which is recommending certain hedge funds for Fresno County.

Fresno County Employees’ Retirement Association

Proposed Process

Fresno County Employees' Retirement Association Hedge Fund Roster

Executive Summary

Proposed Portfolio for Fresno County Employees’ Retirement Association (the “Proposed Portfolio”)

The Proposed Portfolio, representing FCERA’s discretionary hedge fund program, is designed to complement FCERA’s current allocation to Grosvenor Institutional Partners, L.P. (“GIP”) in an economically-advantageous manner.

Investment objectives

The Proposed Portfolio seeks:

  • Target annualized net returns of 90-Day U.S. Treasury Bills + 500 bps (absolute) and the HFRI RV Multi Strategy Index (relative), as measured over a full market cycle2
  • To preserve capital during periods of market stress
  • To maintain low beta and modest correlations to global equity and fixed income markets over a full market cycle

Investment approach

  • The Proposed Portfolio has the following key attributes compared to GIP: (i) increased relative allocation to “all-weather” funds; and (ii) a smaller number of fund investments with no shorter-term, “tactical” investments which, in our view, require deeper resources to manage and monitor as well as more significant decision-making flexibility
  • The Proposed Portfolio is expected to invest in core, “all-weather” hedge funds
    • Consist of funds managed by institutional-quality, highly-regarded investment managers
    • The Proposed Portfolio will seek to generate high-quality returns in various market environments. Underlying funds are generally Multi Strategy-oriented, and seek to minimize market beta, correlation, volatility and draw-down risk, while providing broad, diversified exposure across strategies
    • The Proposed Portfolio is structured for streamlined decision making and monitoring

Summary of Investment Objectives and Constraints

Fresno County Employees’ Retirement Association

Fresno County Employees' Retirement Association Hedge Fund Roster

Proposed Hedge Fund Roster

Proposed Portfolio for Fresno County Employees’ Retirement Association (the “Proposed Portfolio”)

Fresno County Employees' Retirement Association Hedge Fund Roster

Summary of Key Statistics

Proposed Portfolio for Fresno County Employees’ Retirement Association (the “Proposed Portfolio”)

Fresno County Employees' Retirement Association Hedge Fund Roster

Look-Through Portfolio Liquidity

Proposed Portfolio for Fresno County Employees’ Retirement Association (the “Proposed Portfolio”)

Fresno County Employees' Retirement Association Hedge Fund Roster

Anticipated Lower Effective Fees

Proposed Portfolio for Fresno County Employees’ Retirement Association (the “Proposed Portfolio”) (April 1, 2016)

Fresno County Employees' Retirement Association Hedge Fund Roster

  • GCM Grosvenor Public Markets-advised capital generally pays lower effective fees due to our:
    • Negotiating expertise and industry leverage: Preferential fees obtained through side letters and separate account structuring
    • Scale: Lower fees based on the aggregate level of advised capital allocated to an investment manager
  • All fee savings are passed directly through to our clients

See full PDF below.