Since the emergence of “Modern Portfolio Theory” and the “Capital Asset Pricing Model” in the late 1960s, institutional investors have taken a quantitatively driven approach to portfolio construction, looking to create portfolio diversification and obtain better risk-adjusted returns by balancing their asset-class exposures. This journey has seen several important advancements in thinking about how to optimally achieve desired results.
Funds that want to take the total portfolio approach first need to get the total portfolio view. To do that they not only need data – and lots of it – but a rock-solid understanding of exactly how they’re going to use it.
Hedge fund wins US$100m macro mandate from NZ Super
In a stakeholder update last week, NZS chief Matt Whineray, said the now $60 billion plus sovereign wealth fund would invest into the flagship Episteme Systematic Quest Total Return vehicle. The hedge fund invests into highly liquid futures and currency markets using a blend of fundamental, technical and liquidity management styles.
NZ hedge fund
“This investment is a hedge fund strategy that fits into the Fund’s Global Macro opportunity, alongside incumbent managers Bridgewater and Citadel,” Whineray said. “We expect global macro strategies to be market neutral, producing uncorrelated return over the course of market cycles.”
Established in 2008, Episteme is led by Adrian Eterovic, who along with several other members on the investment team worked in the 1990s at the storied hedge fund, Long-Term Capital Management. Long-Term Capital Management, which used highly leveraged quant trading strategies, was famously bailed out in 1998 in the wake of the Russian sovereign debt crisis. Episteme is a philosophical term denoting ‘understanding’ or ‘knowledge’.
Whineray said NZS had also made further commitments to existing private equity mandates with Columbia Capital, adding US$50 million and US$100 million respectively to separate funds managed by the Virginia-based communications and technology private equity investor.
Matt Whineray to exit NZS
As reported in April, NZS has significantly increased its third-party manager list over the last year or so while also shifting to a new climate change-aware benchmark for its core passive global equities allocation (that equates to about half of overall assets under management). Whineray is due to exit the NZS by the end of this year, announcing his resignation earlier in May.
“Having been CEO for five years and working here since 2008, it’s time for me to take some time out while I consider what’s next,” he said. “… A recruitment process for a new CEO will be underway shortly.”
