Hawaii Employees' Retirement System, Honolulu, added ARP Investments, Credit Suisse Asset Management, Lombard Odier Investment Managers, Mount Lucas Management and Schroders as approved managers in its crisis risk offset portfolio, confirmed Elizabeth Burton, chief investment officer, in an email.
The $16.6 billion pension fund hired Mount Lucas to run about $200 million in a strategy to replicate its MLM Global Index EV, that firm said in a news release. Ms. Burton referred questions regarding managers' portfolios to the pension fund's investment program reports on its website.
The pension fund's crisis risk offset portfolio has a 16% target and consists of alternative return capture strategies (with a target of between 35% and 45% of the CRO portfolio), systematic trend-following (30%-40%) and Treasury duration capture (20%-30%).
Approved Treasury duration capture managers are BlackRock (BLK) and Ryan Labs Asset Management; systematic trend-following managers are AlphaSimplex Group, Aspect Capital, Campbell & Co., Crabel Capital Management, Mount Lucas and alternate Credit Suisse; and alternative return capture managers are ARP Investments, Graham Capital Management, Lombard Odier, P/E Global, and alternates Mellon Investments and Schroders.
At the same time ERS added the new managers to the CRO portfolio, it removed alternative return capture manager Welton Investment Partners "as we decide to replace funds from time to time across the portfolio as our investing needs change," Ms. Burton said.
The crisis risk offset portfolio was originally launched in March 2017, with Man FRM as platform manager and Pension Consulting Alliance as investment consultant. PCA has since been purchased by Meketa Investment Group.