Hedge fund returns for eight large U.S. public pension plans averaged 11% for the year ended June 30, outperforming industry and internal benchmarks by wide margins, according to an analysis by Pensions & Investments.
The average return for the period handily outperformed the 9.1% return of the HFRI Fund Weighted Composite index, which tracks single and multistrategy hedge funds, and the 4.7% return of the HFRI Fund of Funds Weighted Composite index, which tracks hedge funds of funds.
All eight pension plans’ portfolios, with $1.2 billion to $5.5 billion in assets, also easily beat internal benchmarks that ranged from 8% to 0.56% for the 12 months ended June 30. The average of the funds’ policy benchmark returns was 4.3%.
The $5.1 billion hedge fund portfolio of the $45.9 billion Pennsylvania Public School Employees’ Retirement System, Harrisburg, was the top performer with a 15.6% return for the year ended June 30. Second was the $3.5 billion portfolio of the $66.8 billion New Jersey Division of Investment, Trenton, with 13.9% for the 12 months ended June 30.
The $7 billion defined benefit plan of the Missouri State Employees’ Retirement System, Jefferson City, returned 12.6% on its $1.7 billion hedge fund portfolio.
Among the other large plans, the $205.5 billion California Public Employees’ Retirement System, Sacramento, returned 9.8% on its $5.5 billion portfolio, and the $92.3 billion Texas Teacher Retirement System, Austin, returned 7.7% on its $4 billion portfolio.
A full report will be published in the Sept. 20 issue of P&I.