Royal Berkshire reviews its absolute return programme

Tue Jul 3, 2012

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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...

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