Some observers have openly questioned the manager selection habits of pension funds. But a recent analysis shows that at least one fund, the New York Common Retirement Fund, picks “above average” hedge fund managers. From Pensions & Investments:
An analysis of public holdings shows that equity hedge fund managers in the New York State Common Retirement Fund‘s absolute-return strategy exhibit “above average” skill as stock pickers, but are outside the top 25th percentile of the fund universe as a whole.
Symmetric Information Technologies analyzes 13F filings of hedge funds and calculates security selection skill based on funds’ long positions, and their relative performance to overall sector returns. The most recent analysis notes the “accomplishment is still impressive given the restrictions pension funds operate under and shows they are able to pick managers that produced for them better than average skill compared to what is available in the HF universe. This is no easy task.”
Symmetric says three New York State Common Retirement Fund managers – HighFields Capital, ValueAct Capital and Viking Global Advisors – ranked in the top 25th percentile in terms of stock selection.
The Common Fund makes investments for the New York State and Local Retirement System (NYSLRS) as well as other major systems.
The Common fund allocated 3.2% of its assets or $5.6 billion, toward hedge funds.