sdcera board of retirement investment board meeting minutes

2. Approval of Minutes for the March 19, 2009, Investment Board
Meeting
ACTION:
Motion by Mr. McAllister, seconded by Ms. Morris to approve
the minutes for the meeting held on March 19, 2009.
The motion was approved by majority vote.
Ayes:
Noes:
Abstain:
Absent:
Doss, Feeley, Jacob, McAllister, McCloskey, Morris, Myers, Rose,
Sobeck
None
None
None
3. CEO Introductory Remarks
Mr. White provided a summary of the agenda discussion topics.
4. Discussion/Action on Fund Review and Proposed Alpha Engine Wind-down
Ms. Needle presented an overview of the Alpha Engine wind-down. She stated
that Staff recommends a change to the implementation of the large cap
domestic equity allocation with a wind-down of the Alpha Engine.
The necessary steps to achieve the wind-down include:
a. Move the following managers to the opportunistic bucket: Brevan
Howard, Bridgewater, Moon Capital and UBS O’Connor
b. Move Davidson Kempner to the high yield segment of the Fund
c. Reduce the hedge fund managers within the opportunistic bucket to the
proposed target size
d. Potentially terminate an additional manager pending final assessment
Mr. John Shearman, Albourne America, LLC, reviewed the process for
eliminating the Alpha Engine. He stated that many of the hedge funds may be
identified as standalone candidates for the Opportunistic bucket. Alternatively,
if SDCERA decides that it would like to use the hedge funds in aggregate to
mimic a policy asset class (or mix of policy asset classes) this is also an option.
Mr. Steve Voss, Ennis Knupp + Associates, stated that Ennis Knupp supports
the changes proposed by Staff and has reviewed the process to phase out the
Alpha Engine portfolio. He stated that the proposed reallocation of hedge fund
strategies to Opportunistic Investment allocation is appropriate and the active
risk budget remains in line with the target and reverts to December 2008 levels
SDCERA Board Meeting Minutes, April 16, 2009 Page 2