The hedge funds in the $2.3bn Fort Worth Employees’ Retirement Fund helped drive positive overall fund performance during the quarter ended 30 June. The pension fund finished the quarter up 0.7%, giving it an 8.3% return for the trailing 12 months and a 4.5% return since 1 October, the start of Fort Worth’s fiscal year.
Four of the 13 funds that make up Fort Worth’s $292.4m hedge fund programme earned double-digit returns in the 12-month period ended 30 June. Partner Fund Management’s Thematic Growth Offshore Fund (formerly the Diversified Offshore Fund), returned 22.8% net of fees, helping hedge funds in the growth portfolio return 12.1% over that time. Fort Worth had $26m with Contrarian as of 30 June.
DE Shaw & Co.’s DE Shaw Oculus Fund Portfolios returned 20.5% net of fees over the same timeframe, leading all hedge funds in Fort Worth’s diversification portfolio. Winton Capital Management’s Winton Futures Fund returned 10% during the 12-month period, the second-best performer in the diversification hedge funds portfolio. Fort Worth had $20.5m with DE Shaw and $24.7m with Winton as of 30 June.
Pentwater Capital Management’s Pentwater Event Fund returned 17.8% as part of the pension fund’s high growth portfolio. Fort Worth had $20m with Pentwater as of 30 June.
Fort Worth includes hedge funds with long-only funds in the five portfolios that comprise its asset allocation. In March 2016, the pension fund switched to a thematic asset allocation, replacing straight asset class designations like equities, absolute return and fixed income with six themes: growth, high growth, capital preservation, diversification and liquidity.
Its hedge funds are included within those themes. Along with PFM, other hedge funds in the growth portfolio are Contrarian Capital Management’s Contrarian Capital Fund I ($26.0m), Southpoint Capital Advisors’ Southpoint Offshore Fund ($23.8m) and Indus Capital Partners’ Indus Pacific Opportunities Fund ($19.9m).
Cevian Capital’s Cevian Capital Master II Fund ($20.1m) is the only other hedge fund in the high-growth portfolio.
In the diversification portfolio, HBK Investment’s HBK Offshore Fund II ($27.5m), King Street Capital Management’s King Street Capital fund ($27.4m), Carlson Capital’s Double Black Diamond Offshore Fund ($25.9m), Wellington Management Company’s Wellington Iguazu Fund ($24.1m) and Moon Capital Management’s Moon Capital fund ($6.1m) round out the hedge funds.
All of the hedge funds in Fort Worth’s portfolio have generated positive returns in over the trailing one-year, three-year, five-year and since-inception periods.
Fort Worth ERF uses RVK as its general consultant and Albourne as its hedge fund consultant.
Hedge funds help Fort Worth ERF to positive year so far on HFM InvestHedge.