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New Mexico shifts some hedge funds allocations

Wednesday, 10 Oct 2012 | 5:31 PM ET

BOSTON, Oct 10 (Reuters) - New Mexico's public pension fund, a big investor with hedge funds, asked Eton Park Capital Management and Marathon Asset Management to return its money as the fund overhauled its portfolio, the fund's chief investment officer said on Wednesday.

Trustees for the Public Employees Retirement Association of New Mexico, which provides retirement benefits to roughly 50,000 former government workers including police and firefighters, voted in September to take back $61 million invested with Eton Park, which is run by Eric Mindich, and to redeem $38 million from Marathon, which is run by Bruce Richards.

The actions are part of the fund's reoptimization of its absolute return portfolio, the fund's chief investment officer said. Eton Park, which oversees about $12 billion and has returned 7 percent this year, recently shortened the time that investors' money is locked up. Marathon oversees roughly $10 billion.

Pension funds routinely review their investment decisions and some have recently begun taking money away from certain funds and allocating it to others as certain strategies are performing better than others, according to several pension fund consultants and analysts contacted by Reuters.

This month, New Mexico is expected to make more adjustments when its trustees vote on a recommendation to put $30 million into EnCap Energy Capital Fund IX, an energy fund for the pension fund's Real Asset portfolio.

New Mexico invests with some of the world's biggest hedge funds, including Pershing Square. Earlier this year it pulled its investment from Paulson & Co after the firm suffered heavy losses in its largest funds last year.

(Reporting By Svea Herbst-Bayliss; Editing by Bernard Orr)

((svea.herbst@thomsonreuters.com)(+617 856 4331))

Keywords: HEDGEFUNDS NEWMEXICO/