A big driver of that underperformance was the fact that Hawaii’s private equity allocation — accounting for just less than half of the pension fund’s roughly 39% exposure to global equity — remained benchmarked against public equities as public stocks were rallying strongly, surging roughly 25%, Meketa reported.
That mix of public and private equity delivered an 11.9% gain for the year, a little better than half the 21.8% return of its policy benchmark.
The real estate component of pension fund’s 17.6% allocation to real assets, meanwhile, was a further drag on performance, as the fallout from the COVID-19 pandemic continued to drive a repositioning of the pension fund’s exposures there. Real assets just managed to deliver positive gains of 0.9%, well below its benchmark's gain of 9.3%.
The portfolio's 10.3% global credit allocation fared a little better, posting an 11.7% return that was within hailing distance of its benchmark return of 13.9%.
Global equity, global credit and real assets — the three pillars of Hawaii's "broad growth" assets — had a combined allocation of 66.6% as of June 30, just below the pension fund's policy target of 70%.
The pension fund's "diversifying strategies," meanwhile, posted stronger results, for the most part.
Hawaii's "liquid defensive/diversifying" strategies, with just less than a quarter of total portfolio assets, delivered a 3.7% gain, topping its benchmark's 1.5% return.
The pension fund's smaller allocations to illiquid diversifying strategies, at 4.4% of the portfolio, posted a 10.8% gain, just below its benchmark return of 12%.
