State pension plans seem to be shrugging off their losses at Amaranth Advisors and remain committed to investing in hedge funds. Dow Jones Newswires reports notes that state pension funds in Massachusetts, Pennsylvania and New Jersey are waiting to see how the latest disaster plays out, but feel their portfolios are diversified enough to soften the blow of the losses. The Pennsylvania State Employees Retirement System, with $30 billion in assets, has about $7 billion of that in hedge funds, and though invested in Amaranth through a Morgan Stanley Alternative Investment Partners fund of funds, it represents “less than 0.1%,” even if Amaranth loses half its value, according to plan spokeswoman Pamela Hile. Hile said in an interview with DJN, that the Pennsylvania pension plan “is not contemplating any changes in the hedge-fund policy while we assess the Amaranth failure.” The New Jersey pension fund reportedly lost $12 million to $16 million as a result of Amaranth, but said it is going ahead with it allocations to alternative investments, $800 million of which is in hedge funds. While Richard Nuzum of Mercer Investment Consulting, who works with pension plans, agrees with the pension funds’ approach, he did tell DJN that “it may impact the kind of due diligence they do.”
