The Allocator – Mar 22 – Oregon | With Intelligence

Oregon introduces event, multi-strat HFs in $750m spend

Caxton, Davidson Kempner and Hudson Bay join the $95bn fund’s major expansion

Connor Owen
16 MAR 2022

The $95bn Oregon Public Employees Retirement Fund has branched into new strategies as part of its ongoing hedge funds buildout, awarding a combined $750m to three managers across event-driven, global macro and multi-strategy.

Allocations of $250m each to Caxton Global Investments, Davidson Kempner Institutional Partners and Hudson Bay Fund were announced by CIO Rex Kim at the Oregon Investment Council’s March 9 meeting.

Event-driven and multi-strategy hedge funds are a new approach within Oregon’s diversifying strategies portfolio, which previously comprised of a mix of alternative risk premia, global macro and managed futures.

Oregon allocates 3.6%, or roughly $3.4bn, to diversifying strategies, falling far short of its 7.5%, or $7.1bn, target. Albourne Partners was brought in as a specialty consultant in late 2020 as the investor sought to overhaul and scale up the allocation.

Davidson Kempner runs a multi-strategy, event-driven hedge fund, focusing on areas such as merger arbitrage, restructuring and distressed situations, while Hudson Bay’s multi-strategy flagship pursues relative value opportunities.

Other Albourne clients investing in both Davidson Kempner and Hudson Bay include the Kern County Employees Retirement Association and Los Angeles County Employees Retirement Association (LACERA).

Kern County allocates to both managers as part of its portable alpha program — a nod to their low-beta approach — with around $55m invested in each. LACERA allocates a more substantial $492m to Kempner and $631m to Hudson Bay.

The hiring of Caxton also underscores a shift in approach under Albourne’s guidance; the portfolio previously included only systematic macro, but Oregon’s more recent macro hires have been in the discretionary space.

This trio of new manager hires arrive hot on the heels of a $500m allocation split between Brevan Howard and Man AHL in January, marking a busy start to the year for the diversifying strategies portfolio.

Oregon may seek to keep future hires at a similar mandate size, given that its last six new hedge funds were all awarded $250m each. Furthermore, the investor could look to reduce the allocation to some of its existing managers, four of which handle over $500m.

Separately, the investor also has a $2.2bn allocation to risk parity. This position has been marked for further consideration in Oregon’s upcoming asset allocation study, potentially to be increased or to be zeroed-out.