US - The Virginia Retirement System has appointed a second hedge fund manager, CAMG Rock Creek, to its hedge fund programme.
VRS initiated its investment programme with the firm - to be worth $200m - in August. Ivy Asset Management, VRS’s first hedge fund manager, has been allocated $300m.
The VRS board of trustees decided in June to invest up to $1bn, or around 3% of its portfolio, in hedge funds over a year. Three different strategies have been chosen: equity market neutral, equity long/short and distressed/event driven, all selected because collectively they are the most risk-controlled in the industry from a diversification standpoint.
“VRS’s philosophy regarding hedge fund investment will follow those established for other portfolios,” said Nancy Everett, VRS’s chief investment officer.
“We follow a prudent methodology centred on diversification as the most effective form of risk control.”
VRS’s annual results showed a positive 2.5% return for the fiscal year ended 30 June 2003, giving an end of year valuation for the portfolio of $34.6bn. Year to date the fund was up 9%, and 11% for the second quarter.
The positive annual return can be attributed in the main to the performance of the fixed income and real estate portfolios which showed returns of 10.4% and 7.4% respectively. The results compare with a negative 4.2% annualised return over a three-year period.
At 30 June the fund had $16.4bn invested in US equities, $5.4bn in non-US equities, $8.3bn in fixed income, $1.6bn in real estate and $2.1bn in private equity.
By end of year the equity portfolio had regained most of the losses experienced in the second half of 2002, with returns of 0.5% for US equities and -3.4% for non US.
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