The Hawaii Employees' Retirement System posted its worst quarterly loss in more than a decade as the nation's economic recession continues to worsen.

The pension fund's portfolio plunged 11.8 percent in the quarter - its fifth consecutive quarterly loss, which pushed down its annual return 24.4 percent. It was the worst quarterly loss since 1999.

“;It is an historic investment environment that we're going through,”; said Neil Rue, managing director of Portland, Ore.-based Pension Consulting Alliance Inc. ”;It's the second worst year since the middle of the 19th century and the worst quarter in almost 40 years.”;

The portfolio's annual performance for the U.S. equity markets plummeted 37 percent - the second worst return in history going back to the 1870s. The only other worst annual return was during the Great Depression in 1931 when the U.S. equity markets were down 43 percent, according to Rue.

The ERS, which provides retirement, disability and survivor benefits to 106,000 people, had an aggregate value of $8.7 billion as of Dec. 31.

Changes in the fourth quarter included the firing of four portfolio managers as part of a transition in its domestic equity portfolio. The ERS is searching for a large-cap growth U.S. equity manager as part of “;a long-term strategic adjustment, not a reaction to the markets.”;

The portfolio exceeded its benchmark of negative 12.5 percent in the quarter and the 13.7 percent loss in the median fund of its large-scale public pension fund peers with assets of more than $1 billion. For the year, the ERS fell short of its minus 23.7 percent benchmark, but beat its peer median fund, down 27 percent.

All of the ERS asset classes reported negative returns in the quarter, except for total fixed income, which was up 2.5 percent.

Domestic equity posted the worst performance with a loss of 23.6 percent, trailing its minus 22.7 percent policy benchmark, followed by international equity, down 20.8 percent, beating its minus 21.1 percent benchmark.

Meanwhile, real estate fell 2.3 percent (trailing the benchmark of minus 0.2 percent), while alternative investments dropped 2.1 percent.

The portfolio has averaged a 3.1 percent gain over the last five years to beat its 2.9 percent benchmark and 2.2 percent peer median fund. Over the past three years, the ERS has reported an annualized negative 1.5 percent drop, worse than the minus 1.4 percent policy benchmark, but better than its peer median fund of minus 2.6 percent.