The Employees’ Retirement System of Rhode Island is shifting $200 million into a quantitative trend-following strategy, replacing a managed futures allocation that underperformed its benchmark, according to meeting materials.
Trustees approved the new investment in iSAM Vector during their September meetings. The decision comes as the $14 billion pension fund manages its Crisis Protection Class, a portfolio segment specifically designed to hold volatility and managed futures assets that do not move in tandem with traditional equity markets.
To fund the new allocation, officials divested roughly $193 million from the CPC Manteio strategy. According to review materials, Manteio had underperformed the SG Trend Index across the one-, three-, five-, and ten-year measurement periods.
Before establishing the direct iSAM holding, the pension system planned to temporarily distribute the cash among its existing trend-following managers. Investment consultant Meketa Investment Group vetted the transition and backed the replacement after completing operational and investment reviews.
iSAM Vector Outpaces SG Trend Index and Manteio
Meketa’s August memorandum showed that iSAM Vector delivered a 10.6% annualized return over the trailing five-year period. That figure outpaced the SG Trend Index, which averaged 7.3%, and stood in stark contrast to Manteio, which registered a 0.1% loss over the same timeframe. The consultant also highlighted that iSAM achieved these returns with lower volatility than its predecessor.
While Manteio provided downside protection during the equity downturn of 2022, it continued generating negative returns even as broader stock markets rebounded. By contrast, iSAM Vector gained 11.4% in 2022 and maintained positive returns in subsequent years while preserving a negative correlation with global equities.
In a September presentation to Rhode Island officials, London-based iSAM reported that Vector returned 15% net of fees in 2025, beating the SG Trend Index benchmark of 2.39%. The strategy added an estimated 5.7% gain through August.
Managing $7.4 billion in assets, iSAM trades the Vector strategy across more than 700 global markets. Meketa pointed to the firm’s shorter-term trading systems and diverse exposure—spanning commodities, interest rate swaps, currencies, and emerging market instruments—as key factors driving systemic diversification within the pension fund’s existing portfolio.
