For the three- and five-year periods ended June 30, the pension fund recorded an annualized gross return of 10% and 8.7%, respectively, above the respective benchmarks of 7% and 6.7%.
The pension fund had a gross return of 26.6% for the year ended June 30, 2021.
For the most recent fiscal year, the Hawaiian fund posted the best performance of the 57 U.S. public pension funds tracked by Pensions and investments as of Friday, and is one of only seven funds to post a positive return for the period. The median return of the 57 funds was -5.2% for the year ended June 30.
The pension fund does not employ traditional asset classes such as public equities and fixed and alternative income securities, having adopted in 2014 a risk-based asset allocation.
Currently, the pension fund has targets of 67.5% for overall growth and 32.5% for diversification strategies. The broad class of growth assets is broken down into public growth, private growth, and real assets. Diversification strategies are broken down into defensive liquid, diversified liquid and diversified illiquid portfolios. Liquid and diversified liquid defensive portfolios include “alternative return capture” managers, categories that many funds define as absolute return funds or hedge funds.
Private growth, liquid defensive asset sub-classes and real assets posted particularly strong returns.
For the year ended June 30, Private Growth, Liquid Defensive Assets and Real Assets posted gross returns of 29.6%, 17.3% and 15.4%, respectively, compared to their benchmarks. 8.3%, 2.7% and 22.9% respectively.
Liquid Diversification posted a gross return of 6.7% (above the 2.7% benchmark), followed by Illiquid Diversification at 2.1% (3.2%) and Public Growth at – 13.3% (-11.6%).
As of June 30, the actual allocation was 68% broad growth, 29.7% diversification strategies and 2.3% other.