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.
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