More evidence, if any were needed, that hedge funds are now
facing the crunch: the $2.3 billion Royal County of Berkshire
pension fund, one of the UK’s most sophisticated
and innovative local authority schemes, has hired a consultant
to review its absolute return portfolio.
With its investment in the Lyxor Focus Fund coming up to its
third anniversary a scheduled review was due anyway –
but pension fund manager Nick Greenwood said that in any case
the fund’s investment working group is becoming
concerned about the lower than anticipated level of returns
being generated, particularly in 2011.
Berkshire is a particularly interesting example in that its
asset allocation is far from the staid, equity-heavy model
often associated with UK pension funds. Since
Greenwood’s appointment in 2007, the
fund’s equity component has shrunk from 70% to
roughly 33% – giving it the least exposure of any
local government pension...