Pension Funds Struggle As Risk Parity Collects Fees

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Mark Melin
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It has been a challenging twelve moqnths for the San Mateo County, California pension fund. With market volatility the rule rather than the exception, and international, domestic and emerging market funds all turning in negative performance, the $3.2 billion pension fund, with a $151 million allocation towards hedge funds, is struggling to deliver positive performance as of late. In particular, risk parity strategies, all the rage among trendy institutional investors, appears to be wallowing in a sea of red ink. [dalio] San Mateo County is a unique geographic region with a consistent problem The county pension fund’s net preliminary return…

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Mark Melin is an alternative investment practitioner whose specialty is recognizing the impact of beta market environment on a technical trading strategy. A portfolio and industry consultant, wrote or edited three books including High Performance Managed Futures (Wiley 2010) and The Chicago Board of Trade’s Handbook of Futures and Options (McGraw-Hill 2008) and taught a course at Northwestern University's executive education program.