sdcera board of retirement investment board meeting minutes

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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
under the final structure. Mr. Doss suggested that an Asset Allocation Study be conducted. Mr. Voss stated that it would be ideal to complete an Asset Allocation Study in conjunction with an Actuarial Study. Mr. White stated that an Actuarial Study will be conducted as of June 30, 2009 and the report will be available in the Fall. ACTION: Motion by Mr. Doss, seconded by Mr. McAllister to approve Staff’s recommendation to wind-down the Alpha Engine using the steps listed below and to include a separate category for Hedge Funds. 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 The motion was approved by majority vote. Ayes: Noes: Abstain: Absent: Doss, Feeley, Jacob, McAllister, McCloskey, Morris, Myers, Rose, Sobeck None None None ACTION: Motion by Mr. Doss, seconded by Mr. McAllister to request Staff to conduct an Asset Allocation Study after the Actuarial Experience Study is conducted in the Fall. The motion was approved by majority vote. Ayes: Noes: Abstain: Absent: Doss, Feeley, Jacob, McAllister, McCloskey, Morris, Myers, Rose, Sobeck None None None SDCERA Board Meeting Minutes, April 16, 2009 Page 3
Page 1: SDCERA BOARD OF RETIREMENT INVESTME
Page 5 and 6: Beth Guest, Waller Landsden Dortch
Page 7: The motion was approved by majority

sdcera board of retirement investment board meeting minutes

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