Institutional Investors

PennSERS absorbs portable alpha hit

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A pioneer of the portable alpha wave in the US, the Pennsylvania State Employees' Retirement System has had double-digit losses in its portable alpha programme and is now in the process of scaling back the programme that at one time totalled more than $6 billion.

"The strategy produced very strong above-market returns for many years, but has failed to perform as expected and produced losses in the current severe economic crisis," said Robert Gentzel, director of communications at the $27 billion retirement system.

Even with the recent losses, Gentzel