New Mexico shifts some hedge funds allocations

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

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

The actions are part of the fund's reoptimization of itsabsolute return portfolio, the fund's chief investment officersaid. Eton Park, which oversees about $12 billion and hasreturned 7 percent this year, recently shortened the time thatinvestors' money is locked up. Marathon oversees roughly $10billion.

Pension funds routinely review their investment decisionsand some have recently begun taking money away from certainfunds and allocating it to others as certain strategies areperforming better than others, according to several pension fundconsultants and analysts contacted by Reuters.

This month, New Mexico is expected to make more adjustmentswhen its trustees vote on a recommendation to put $30 millioninto EnCap Energy Capital Fund IX, an energy fund for thepension fund's Real Asset portfolio.

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

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

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