Hawaii Employees allocates $1.5 billion for crisis risk offset portfolio

Hawaii Employees' Retirement System, Honolulu, allocated roughly $1.55 billion total to eight managers, said Vijoy Chattergy, chief investment officer.

For its crisis risk offset portfolio, the $15 billion pension fund hired Ryan Labs Asset Management to run roughly $375 million in a Treasury-duration capture strategy; Campbell & Co., Crabel Capital Management and Aspect Capital to manage roughly $225 million each in trend-following strategies; and Graham Capital Management, P/E Investments and Welton Investment Partners to run roughly $150 million each in alternative risk capture strategies.

The managers are expected to be funded by April from liquid parts of the portfolio, primarily equities. No equities manager terminations are currently planned.

Man Group FRM will serve as platform manager for the crisis risk offset portfolio, working with the pension fund and its investment consultant, Pension Consulting Alliance, to rebalance the portfolio in a market crisis, Mr. Chattergy said.

The pension fund also named BlackRock (BLK), AlphaSimplex Group and Mellon Capital Management as additional Treasury-duration, trend-following and alternative risk capture managers, respectively. Allocation sizes have not been determined. Funding could come at the end of the year.

The crisis risk offset portfolio has a long-term target of 20%.

Separately, in real estate, the pension fund committed $50 million to BlackRock’s Asia Property Fund IV.

The pension fund's real estate holdings fall under its broad growth portfolio, which has an overall target of 63%.

Separately, the pension fund returned 7.9% in calendar year 2016, surpassing its policy benchmark return of 7.2%.