When Pensions & Investments sends its annual survey to the 1,000 largest U.S. retirement plans, we ask for breakdowns by traditional asset classes like equities, fixed income and alternatives.
Not every plan structures their allocations the same, however, and some even eschew traditional asset classes and are unable to break down their assets the way our survey asks.
One such plan is the $18 billion Hawaii Employees' Retirement System, Honolulu. In 2014, under then-Chief Investment Officer Vijoy Chattergy, the pension fund shifted to a risk-based asset allocation.
The targets created at the time were 76% broad growth, consisting of growth-oriented (75% domestic, international and global equity), stabilized growth (15% covered calls and credit) and private growth (10% private equity); 12% principal protection, consisting of 60% international fixed income and 40% dom-estic fixed income; 7% real estate, consisting of 70% core, 20% value-added and 10% opportunistic; and 5% real return, consisting of 50% public inflation-linked and 50% private inflation-linked securities.
In 2015, the retirement system revamped that allocation, the most notable change of which was the creation of a 20% target to crisis risk offset, a new asset class aimed at offsetting drawdowns in the broad growth asset class, the target of which was dropped to 63%.
Mr. Chattergy left the pension fund in February 2018 after it experienced heavy losses from put-write equity options. Following his exit, Elizabeth Burton, managing director, quantitative strategies group at the $57.3 billion Maryland State Retirement & Pension System, Baltimore, took over as CIO.
Ms. Burton said in a telephone interview that the survey is really hard for the system to complete because they "don't assign classes like small-cap equities, U.S. equities, even fixed income, for example."
"Within growth, you could have portions of real estate, you could have portions of equity or credit or fixed-income investments," she said. "The driver has to be growth risk."