Leda Braga’s Systematica Investments, Lynx Asset Management and Allianz Global Investors are splitting a $330m managed futures allocation from the $8.3bn San Diego City Employees’ Retirement System.

Board members for the pension fund approved a recommendation from SDCERS staff and consultant Aon to allocate $130m to Systematica and $100m each to Lynx and Allianz at their meeting on 10 May as part of a plan to build out a 4% allocation to the asset class.

SDCERS has been considering managed futures for about a year. During that time, its staff and Aon have conducted educational sessions with the board and as well as manager evaluations.

In March, the board approved a 4% allocation to managed futures as part of the pension’s opportunity fund portfolio. The long-term target allocation to the opportunity fund portfolio is 8%, and the 4% managed futures portfolio will effectively build that out.

Systematica, Lynx and Allianz were recommended for selection based on the size of the allocation, each  individual firm’s merits, how they fit within SDCERS’ broader portfolio, their diversification benefits and how they complement each other.

The Systematica Alternative Markets Fund and Lynx Asset Management are “buy-rated” by Aon’s global investment management team. SDCERS staff proposed the Allianz Managed Futures fund, and subsequently Aon’s GIM team rated it “qualified.”

Each of the three funds had characteristics that made it a good fit, Aon found.

The $1.9bn Systematica fund provides exposure to alternative markets trends and acts as a diversifier to traditional trend-following strategies. Its fees – 1.5% and 20% – are higher than Lynx or Allianz and it has a less liquid structure, offering monthly liquidity with 30 days’ notice compared with Lynx’s monthly with two days’ notice and Allianz’s daily liquidity with one day’s notice.

The Systematica fund also trades in roughly 250 markets, more than twice the number Lynx trades in and five times the number Allianz trades in.

The Lynx fund is a $1.5bn systematic trading strategy that is more aggressive than the other two funds and achieves diversification through the use of multiple models, according to Aon. It has a higher volatility target – 18% compared with 12.5% for the Systematica fund and 10% for the Allianz fund – and the second-lowest fees at 0.8% and 18%.

The Allianz fund is a traditional trend-following fund with the lowest fees, but is also the newest and smallest fund.

The strategy SDCERS wants to invest went live in October 2018 and has $588m invested across three vehicles, but only $99m is in the vehicle in which SDCERS would invest. Allianz is offering an early-bird deal of either a flat 0.5% fee or 0% and 17% over T-bills.

Since the Lynx fund has the highest volatility target and the Allianz fund is the newest, Aon recommended relative underweights, which leads to Systematica’s overweight in the portfolio.

Systematica among CTA trio approved by San Diego City ERS on HFM InvestHedge.