Rhode Island Pension Invests $200 Million in iSAM Vector

The Employees’ Retirement System of Rhode Island is moving $200 million into a quantitative trend-following strategy to replace a lagging manager and adopt more aggressive, data-driven "crisis protection" for its $14 billion portfolio.

While the pension fund overall returned 14% for the fiscal year ending June 30, the Manteio strategy had become a drag on the portfolio, underperforming the SG Trend Index across one-, three-, five-, and ten-year horizons.

The math behind the Manteio exit

For a pension fund, “crisis protection” is supposed to act as an insurance policy—assets that go up (or at least stay flat) when the stock market crashes. Manteio did its job during the 2022 equity slide, but it failed to recover when the rest of the market did. It essentially stayed in a hole while the economy climbed out.

The contrast provided by Meketa Investment Group, the fund’s consultant, makes the decision a mathematical necessity. Over a trailing five-year period, the SG Trend Index returned 7.3%. In that same window, iSAM Vector generated a 10.6% annualized return. Manteio, meanwhile, posted a 0.1% loss.

Rhode island united states america usa map illustration

Strategy/Index	5-Year Annualized Return	2022 Performance
iSAM Vector	10.6%	11.4%
SG Trend Index	7.3%	(Not specified)
CPC Manteio	-0.1%	Positive (Protection)

The momentum shifted further in 2025. In a September presentation to Rhode Island officials, iSAM reported that Vector returned 15% net of fees, dwarfing the SG Trend Index’s 2.39% for the same period. The strategy had gained an estimated 5.7% through August.

Expanding the toolkit with iSAM Vector

Rhode Island isn’t just looking for higher numbers; it’s looking for diversification. London-based iSAM, which manages $7.4 billion in assets, operates Vector across more than 700 global markets. This isn’t a simple bet on stocks or bonds. The strategy trades commodities, interest rate swaps, currencies, and emerging market instruments.

By incorporating shorter-term trading systems, iSAM offers the pension fund a way to capture volatility that traditional managers might miss. Meketa’s due diligence highlighted that iSAM achieved these returns with lower volatility than Manteio, while maintaining a negative correlation with global equities over the last five years. In plain English: when the big indices tank, this strategy is designed to move in the opposite direction.

The transition wasn’t instantaneous. To avoid leaving cash on the sidelines, the pension fund planned to temporarily distribute the proceeds from the Manteio divestment among its existing trend-following managers while the iSAM infrastructure was established.

Tiny characters use the tool workman s toolkit toolbox with instruments inside vector

The risk of the quantitative pivot

There is a natural tension in moving toward “quant” strategies. While the data looks superior on paper, quantitative trend-following relies on mathematical patterns. When the market enters a period of “choppiness”—where trends form and break rapidly—these strategies can suffer from “whipsaw” losses, where the algorithm buys a trend just as it ends and sells just as it begins.

Rhode Island seems to be betting that iSAM’s breadth—trading more than 700 global markets—is enough to avoid that trap. The fund is doubling down on this appetite for sophisticated alternatives. In a recent Wednesday meeting, trustees were scheduled to consider a commitment to the Ionic Volatility Arbitrage Fund IV, a long-volatility hedge fund based in New York, and review the TPG Angelo Gordon Asset Based Credit Evergreen Fund.

For the retirees relying on this $14 billion pool, the shift is a gamble on efficiency. The fund is trading a manager that provided traditional protection during crashes for a quantitative engine that has proven it can protect the downside while actually contributing to the upside during recovery.