The $2.7bn Baltimore Fire & Police Employees’ Retirement System (BCFPERS) plans to interview Man Group and Capstone Investment Advisors at their meeting on 21 August for a $50m mandate.
Communications director Amy Baskerville said the board may decide to allocate the entire amount to one manager, or split it between the two.
The $50m comes from BCFPERS’ redemptions earlier this year from Renaissance Technologies’ Renaissance Institutional Equities Fund, a $34.7m equity long/short mandate, and Farallon Capital Partners’ Farallon Capital Institutional Partners fund, a $14.3m event-driven mandate. Both mandates date back to July 2015.
Consultant Summit Strategies has recommended reinvesting the redemption proceeds in the Capstone Equity Replacement Fund and Man Alternative Risk Premia.
BCFPERS redeemed from Farallon and Renaissance as part of a plan approved by the board in March 2017 to reduce the target allocation to hedge funds to 5% of assets from 10%.
BCFPERS notified Farallon of the redemption in April 2017, and the final proceeds came in February. Renaissance got its redemption notice in the fourth quarter of last year and proceeds came in January.
In August 2017, the board put on hold its decision to halve the system’s hedge fund allocation. Summit has recommended keeping the 10% target to hedge funds and instead cutting targets to core fixed income by three percentage points, core plus fixed income by one percentage point and cash by one percentage point.
Other direct hedge fund investments in the $196.2m portfolio include Waterfall Asset Management, Voya Alternative Asset Management, Cantab Capital and MKP Capital Management.
Baltimore Fire and Police to interview Man Group, Capstone on HFM InvestHedge.