Hawaii Employees' Retirement System, Honolulu, could move into more “private equitylike” investments following the conclusion of an asset liability study the $9.8 billion fund is conducting, said Rod June, chief investment officer.
Mr. June said he suspects the asset allocation policy, which should be wrapped up in the first quarter, is likely to shift investments away from domestic investments and also from public equities and fixed income.
The system's current asset allocation targets are 41% U.S. equities, 28% global fixed income, 17% non-U.S. equities, 9% real estate, 3.5% private equity and 1.5% timber.
The study is reviewing establishing a real-return asset class, aimed at protecting against increases in inflation, and investments in covered calls to help protect against a major decline in the market.
“We're going to put timber in the real-return asset class if the board approves the class,” he said.
Meanwhile, the rally in public equities has helped the fund restore some of its 2008 losses, with assets up 10.2% as of Sept. 30, from Dec. 31, 2008, when the portfolio was valued at $8.86 billion.
“Like a lot of public pension plans, our returns have been up for the year,” Mr. June said. “But we still have a lot of ground to make up from the major declines we suffered in 2008.”
The study, which is being conducted by plan consultant Pension Consulting Alliance and EFI Actuaries, was launched in mid-2009, Mr. June said. The most recent asset liability study was conducted in 2005, he said.
