Billions in losses challenge one of the first US public
plans to fully implement portable alpha
By Susan Barreto
The pension fund community is an easy place to pinpoint Wall
Street's impact on Main Street. Trustees at the Pennsylvania
State Employees' Retirement System in Harrisburg are grappling
with the reality that the fund's value has slipped by more than
$11 billion in the space of 12 months, equivalent to a third of
the total, thanks to losses in long-only equity and the
portable alpha portfolio.
It is easy to have 20:20 hindsight vision, but critics who
have reservations about the merits of portable alpha warn that
it could be like leverage; a hit on the equity indices and a
hit on the hedge fund portfolio.
Absolute returns, separate from the equity portfolio,
offered little in the way of relief. Last year, Pennsylvania
tallied losses of 28.6%, breaking a string...