MIR dropped, BGI mandate split among long/shorts at CSRF

In its first ‘alpha extension’ play the Catholic Superannuation and Retirement Fund (CSRF) has split a $200 million Barclays Global Investors (BGI) mandate among long/short funds, while also culling MIR Investment Management.

After deciding to invest in equity long/short managers at the outset of 2008, the $3.4 billion fund halved a $200 million mandate with the BGI alpha tilts fund and directed $100 million each to the BGI alpha advantage equity fund, a 120/20 strategy, and the BlackRock Australian quant strategies fund, a 115/15 play. Greg Cantor, the chief executive of CSRF, said the two mandates should tap a greater diversity of views at any one time. “We didn’t want to be exposed to the judgments of just one [long/short] manager,” Cantor said. He said the sense of this strategy was illustrated by the -6.96 per cent underperformance of the BGI fund during July, compared to the approximate -3 per cent scored by the BlackRock vehicle (both are measured against the S&P/ASX 300 Accumulation Index, which returned -4.69 per cent for the month). The fund also dumped MIR from its Australian equities book and transferred the $128 million it managed to Integrity Investment Management. Integrity joins other value managers Tyndall and Cooper Investors in the portfolio. In its balanced portfolio, the CSRF maintains a 55 per cent exposure to listed equities. Cantor said the next review conducted by the fund would assess its listed and unlisted property managers, which have not received new money from routine portfolio rebalancing procedures. “We haven’t terminated listed property managers, but we haven’t given them cash flow for quite a while,” he said.