Portfolio Construction and Management
The percentage allocation to each manager is informed by our objective to achieve overall risk and diversification goals for each fund. For the equity funds we are more likely to allocate equally across managers with differing styles, and it is not our intention to tactically shift weights between managers. For the Alternatives Strategies and High Income Alternatives funds we pay close attention to statistics like pair-wise correlations that show the degree to which each manager’s performance is correlated with the other managers. We also consider a range of scenarios and seek to weight each manager’s allocation relative to the others so as to generate attractive absolute and risk-adjusted returns across a variety of market conditions, rather than trying to optimize for a specific environment. However, we may tactically overweight a manager based on our assessment of the relative attractiveness of their opportunity set versus other managers (and have done so in the past). In general, though, we consider frequent tactical rotation to be a difficult way to consistently add value, so we set a high bar for a “fat pitch” opportunity before we make such moves.
Please refer to the specific fund pages for target manager allocations.