Institutional Investors

Pennsylvania School Employees to add absolute return and slash portable alpha


The woes of portable alpha investors continue as the $45 billion Pennsylvania Public School Employees' Retirement System transfers its existing managers in that portfolio to a newly established absolute return programme, slated to be more than $3 billion.

A joint memo from Pennsylvania Public School Employees' CIO Alan Van Noord and William Bensur of the plan's investment adviser, Wilshire Associates, outlined a recommendation to drop the plan's 7% allocation to portable alpha strategies. They wrote that the portable alpha programme was designed to generate uncorrelated returns and to have those returns transferred to the