Dorset Pension Fund, which is set to review its hedge fund holdings this summer, has seen presentations to its investment committee which describe overall returns in the sector as underwhelming.
At a meeting in the fourth quarter of 2011 the fund’s independent adviser, Alan Saunders, reported that absolute return funds generally had performed disappointingly, failing to produce absolute returns.
According to the last published annual report an accounts, for the year 2010/2011, the fund’s two funds of funds show very different performance profiles. IAM is up 10% per annum over three years, outperforming its benchmark of 7.4%. Meanwhile,