The Pennsylvania State Employees’ Retirement System these days is the poster child for a once-compelling idea that’s not so compelling anymore: portable alpha.
Constructed under the direction of Norwalk, Connecticut–based consulting firm Rocaton Investment Advisors, PennSERS’ portable alpha scheme, which combines funds of hedge funds with derivative contracts on broad market indexes, has tanked of late because, in short, the strategy doesn’t work in broad market downturns.
