(Adds detail on pension and Brevan Howard)
By Svea Herbst-Bayliss
BOSTON Feb 14 The Massachusetts state pension
fund, which invests roughly $5 billion in hedge funds, has
pulled money out of Brevan Howard, one of the industry's most
prominent firms, a spokesman for the pension fund confirmed on
The $62.7 billion pension fund has been invested with Brevan
Howard since November 2011. The spokesman declined to say how
much the pension fund had invested with Brevan Howard or when it
first asked to get its money back.
Brevan Howard, whose Master fund once ranked among the
industry's most widely sought investments, has been facing a
steady stream of redemption notices as performance has been
lackluster in the last few years.
Brevan Howard, which invests roughly $12 billion and makes
bets on currencies, stocks and interest rates, ended 2016 with
gains of 3 percent, following losses in 2014 and 2015. But its
long-term record for the Massachusetts pension fund has been has
been lackluster, gaining only an average 1.4 percent a year
Some industry analysts say Brevan Howard, which posted
strong returns until 2013, keenly felt the departure of star
trader Chris Rokos, who left in 2012 and now runs his own fund.
Brevan Howard had been a darling of the U.S. pension fund
community, but state funds in Rhode Island and New Jersey have
been among those pulling money in recent months.
While some of these pension funds have decided to cut their
allocations to hedge funds, Massachusetts is sticking with them.
The pension fund's executive director and officer in charge of
picking them say the Massachusetts fund is using hedge funds as
investment vehicles, and that can protect on the downside.
Additionally, Massachusetts has been aggressively cutting
costs by negotiating fees and demanding separately managed
accounts where its money is not co-mingled with other investors.
The pension fund is saving roughly $38 million a year by doing
The pension fund has also moved away from the big-name,
established funds in favor of smaller newcomers. Last year the
pension fund hired Land and Buildings Investment Management,
based in Stamford, Connecticut, Informed Portfolio Management,
based in Stockholm, and East Lodge Capital, based in London.
Last year, the Massachusetts pension fund earned an 8
percent return with its basket of more than two dozen hedge
funds returning 4.4 percent. The HFRI Asset Weighted Composite
Index gained 3.10 percent last year.
(Reporting by Svea Herbst-Bayliss; Editing by Phil Berlowitz
and Leslie Adler)