Hawaii Employees' Retirement System, Honolulu, returned a gross 3.7% for the fiscal year ended June 30.
The $22 billion pension fund's gross return exceeded its benchmark return of -1.3% for the period, according to a performance report on its website.
For the three and five years ended June 30, the pension fund returned an annualized gross 10% and 8.7%, respectively, above the respective benchmarks of 7% and 6.7%.
The pension fund had returned a gross 26.6% for the fiscal year ended June 30, 2021.
For the most recent fiscal year, the Hawaii fund posted the best return of the 57 U.S. public pension funds tracked by Pensions & Investments as of Friday, and is one of only seven funds that has posted any kind of a positive return for the period. The median return of the 57 funds was -5.2% for the fiscal year ended June 30.
The pension fund does not employ traditional asset classes such as public equities and fixed income and alternatives, having shifted in 2014 to a risk-based asset allocation.
Currently, the pension fund has targets of 67.5% to broad growth and 32.5% to diversifying strategies. The broad growth asset class is broken down into public growth, private growth and real assets. Diversifying strategies is broken down into liquid defensive, liquid diversifying and illiquid diversifying portfolios. Both liquid defensive and liquid diversifying portfolios include "alternative return capture" managers, categories that many funds define as either absolute return or hedge funds.
Private growth, liquid defensive and real assets subasset classes posted particularly strong returns.
For the year ended June 30, private growth, liquid defensive and real assets posted gross returns of 29.6%, 17.3% and 15.4%, respectively, compared with their respective benchmarks of 8.3% 2.7% and 22.9%.
Liquid diversifying posted a gross return of 6.7% (above the 2.7% benchmark), followed by illiquid diversifying 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% diversifying strategies and 2.3% other.
