Hawaii Employees’ Retirement System, Honolulu, plans to search for covered calls and TIPS managers under a new asset allocation, said Rod June, chief investment officer of the $10.2 billion fund.
TIPS is included in a new 5% allocation to real return strategies, and covered calls will also be 5% of the system’s total assets, Mr. June said in a telephone interview.
“The global TIPS search will probably start in late spring or early summer 2010,” Mr. June said. “The covered calls (search) will probably be concurrent, but it’s hard to say.”
The other new target allocations are 30% U.S. equities, down from 41%; 26% non-U.S. equities, up from 17%; 20% global fixed income, down from 28%; and 7% each real estate and private equity, compared to 9% and 3.5%, respectively. Timber, which had been 1.5% of assets, was moved into the real return category.
The changes resulted from an asset-allocation study conducted by EFI Actuaries and the system’s general consultant, Pension Consulting Alliance. The study began last spring; a study is conducted every five years.
Mr. June also said the remainder of the real return asset class could go into infrastructure, commodities or other real return investments.
He said the system currently is conducting a review of its private equity portfolio, a process that began in early 2009 and is expected to be completed by the end of the year.
The system also plans to conduct a review of its non-U.S. equities portfolio this spring, but could not say whether it would result in manager changes.