Hedge Funds as Market Bellwethers

May 14, 2013 by David Turner

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IN A MACROECONOMIC climate still fraught with risk, Fiona Mackenzie, head of investments at the 22.1 billion New Zealand dollar ($18.5 billion) New Zealand Superannuation Fund (NZSF), looks to her hedge fund managers to deliver market-specific insight — not just solid risk-adjusted returns. Disappointed by the performance of some of its active global equity managers during the financial crisis, NZSF redeemed assets from several in 2010; they included such blue-chip names as Boston-based asset management firm GMO and Orinda, California–based quantitative equity specialist AXA Rosenberg, a division of AXA Investment Managers. Since then NZSF has refocused on multistrategy and global macro strategies run by some of the biggest managers in the business, including Westport, Connecticut–based Bridgewater Associates and New York–based D.E. Shaw Group. The fund now complements those allocations with more-esoteric strategies, such as natural-catastrophe reinsurance. Currently, NZSF uses just four managers to oversee 2 percent of its total portfolio.…

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