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An Alpha Bet Gone Bad

The Pennsylvania State Employees’ Retirement System is the poster child for a once-compelling idea.

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

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