Volatility Protection

Founded in 1997 and currently managing $4.2 billion1, Aristeia Capital seeks to produce absolute returns through relative value investments, primarily in the corporate credit markets.

Website: https://www.aristeiacapital.com/

Investment Approach Initial Investment Role in the Portfolio
Aristeia can be characterized as a multi-strategy relative value fund with a focus on corporate credit. The fund allocates risk capital among several sub-strategies using a bottom-up approach relying on deep fundamental research on issuers, terms, and catalysts.
  • $40,000,000 to Aristeia Partners in 2021
 This investment is part of the 15% ERSRI policy allocation to volatility protection strategies.

The firm is a global fixed-income specialist located in London with affiliated entities in Greenwich, CT, Hong Kong and Tokyo. Co-founded in 2005 by Yan Huo, who serves as managing partner and co-CIO, the firm manages absolute return, enhanced fixed income and tail risk strategies, and advises a European special situations strategy.

Website: http://www.capulaglobal.com

Investment Approach Initial Investment Role in the Portfolio
The Capula Global Relative Value Master Fund focuses primarily on global fixed-income interest rate trading and macro opportunities in G3 markets. The fund invests mainly in government bonds, interest rate swaps and major exchange-traded derivatives, using a combination of relative value and macro strategies.
  • $50,000,000 to Capula Global Relative Fund in December 2011
 This investment is part of the 15% ERSRI policy allocation to volatility protection strategies.

The D.E.Shaw group was founded in 1988. The firm is headquartered in New York with multiple offices globally. At the time of investment, the firm had 1,260 employees, including approximately 300 investment professionals.

Website: http://www.deshaw.com

Investment Approach Initial Investment Role in the Portfolio
D.E.Shaw Composite Fund is a global, multi-strategy fund invested across approximately ten quantitative and qualitative strategies with an overall market-neutral objective. The firm's risk committee allocates capital among these strategies based on a proprietary optimizer. Composite Fund is designed to achieve attractive risk-adjusted returns with low volatility and modest correlation to major asset classes.
  • $50,000,000 to DE Shaw Composite Fund in November 2011
 This investment is part of the 15% ERSRI policy allocation to volatility protection strategies.

Founded in 1983, the firm is headquartered in New York, NY with additional offices in London and Hong Kong.

Website: https://www.dkpartners.com/

Investment Approach Initial Investment Role in the Portfolio
The fund uses a fundamental analysis, bottom-up approach to make its investments. It focuses on four investment strategies: merger arbitrage, distressed investments, long/short equity and convertible bonds arbitrage, with a particular focus on distressed investments and merger arbitrage.
  • $60,000,000 to Davidson Kempner Institutional Partners, L.P. in November 2011
 This investment is part of the 15% ERSRI policy allocation to volatility protection strategies.

EMC is a U.S.-based investment advisory firm. EMC and its affiliated companies have been in business since 1977 and have offices in New York, NY, London, Hong Kong and Tokyo. At the time of investment, Elliott had approximately 270 employees worldwide, nearly half of whom were dedicated to portfolio management and analysis.

Website: http://www.elliottmgmt.com

Investment Approach Initial Investment Role in the Portfolio
Elliott employs a multi-strategy trading program that encompasses a broad range of strategies, including, without limitation: performing debt, distressed securities, hedge/arbitrage positions (including event arbitrage, related securities arbitrage, convertible arbitrage, commodities trading and fixed income arbitrage), equity-oriented positions, basis trading, portfolio volatility protection positions, and real estate-related securities positions.
  • $60,000,000 to Elliott Associates, L.P. in November 2011
 This investment is part of the 15% ERSRI policy allocation to volatility protection strategies.

The manager was founded in 1994. At the time of investment, the manager employed 188 people, with 91 on the investment side and 97 in operations. The firm is headquartered in Rowayton, CT.

Website: https://www.grahamcapital.com/

Investment Approach Initial Investment Role in the Portfolio
The fund follows a discretionary global macro strategy, utilizing a combination of quantitative and qualitative factors to determine capital allocations across multiple portfolio managers. The goal is to maximize the portfolio Sharpe Ratio while incorporating factors such as portfolio manager performance, downside volatility, correlation and tenure at the firm.
  • $50,000,000 to Graham Global Investment Fund in January 2012. Transferred full balance to Graham Absolute Return Fund in July 2015.
 This investment is part of the 15% ERSRI policy allocation to volatility protection strategies.

Viking Global Investors was founded in 1999. The firm has offices in Greenwich, CT , New York, NY, London, and Hong Kong.

Website: https://www.vikingglobal.com/

Investment Approach Initial Investment Role in the Portfolio
Viking is an alternative investment manager focused on global equity long/short investing.
  • $60,000,000 to Viking Global Equities Fund LP in November 2011
 This investment is part of the 15% ERSRI policy allocation to volatility protection strategies.

Founded in 1983, Payden & Rygel provides active management of fixed income and equity portfolios, through domestic and international solutions. The firm is headquartered in Los Angeles and has additional offices in Boston, London and Paris. At the time of investment the firm had 200 employees.

Website: https://www.payden.com/

Investment Approach Initial Investment Role in the Portfolio
Payden & Rygel manages ERSRI's 3% target allocation to cash. The purpose of this separately managed account is to provide liquidity to meet monthly cash outflows while preserving principle and earning higher returns than can be achieved in a short-term investment fund (STIF) or money market account. Investments to be included in the portfolio include high quality U.S. dollar-denominated money market and fixed income securities of domestic and foreign issuers, U.S. Government securities and repurchase agreements.
  • $100,000,000 initial funding in February 2017, to increase to up to 3% of the portfolio over subsequent quarters.
 This investment is part of the 2% ERSRI policy allocation to cash.

Loomis Sayles was founded in 1926 and is headquartered in Boston with offices in San Francisco, Detroit, London, and Singapore. At the time of investing firm held $297.2 billion in AUM.

Website: https://www.mackayshields.com/

Investment Approach Initial Investment Role in the Portfolio
The strategy will primarily invest in Agency MBS, IG ABS, CMBS, and nonAgency RMBS with the goal of outperforming the Bloomberg Barclays US Securitized Index on a risk-adjusted basis over a 3-5 year period.
  • $255,000,000 to Loomis Investment Grade Securitized straetgy in May 2020. Targets one-half of IG Fixed Income allocation of 6.5% of total plan assets.
This investment is part of the 15% ERSRI policy allocation to volatility protection strategies.

Founded in 1946, Fidelity Asset Management offers a wide suite of investment products and services to individuals and institutions. At the time of investment, Fidelity employed 920 people, including 136 investment professionals dedicated to supporting Pyramis' institutional equity platform. Pyramis' investment grade fixed income institutional strategies are managed within FMR's Fixed Income Division, which had 175 dedicated investment professionals at the time of investment.

Website: https://pyramis.fidelity.com/

Investment Approach Initial Investment Role in the Portfolio
The strategy seeks to achieve absolute and risk-adjusted total returns in excess of the Barclays' US Corpoate Investment Grate Index by primarily investing in investment grade corporate bonds.
  • $548,689,545 to core fixed income in October 2012. Targets one-half of IG Fixed Income allocation of 6.5% of total plan assets.
 This investment is part of the 15% ERSRI policy allocation to volatility protection strategies.