The Maryland State Retirement and Pension System has allocated $100m to one of the funds managed by the largest catastrophe insurance and reinsurance linked investment manager, Nephila Capital.
According to a report in Pensions & Investments the allocation came as the Maryland state pension fund pulled allocations from two fund-of-funds investment managers and made two fresh investments to hedge funds, one of which being Nephila Capital.
The allocation of $100m has been made to the Nephila Palmetto Catastrophe Fund, one of the catastrophe reinsurance exposed strategies managed by Nephila Capital.
The Maryland state pension fund, which has over $45 billion in assets of which nearly $5 billion are invested in absolute return strategies, has been actively shifting its absolute return portfolio away from fund-of-fund managers. The shift has moved the fund towards direct investments in single and multi-strategy hedge funds, so the allocation to Nephila is an extension of this.
This is not the first investment made in Nephila’s Palmetto Catastrophe Fund by the Maryland state pension provider. Documents show that the pension fund had an allocation in 2014 to Nephila as well, also to the Palmetto fund, so this new $100m allocation made in July 2015 demonstrates the fund’s appreciation for the low-correlation returns achievable through an investment in insurance-linked securities (ILS).