April 01, 2013 01:00 AM

Public funds' hedge fund returns

U.S. public pension plans ranked by total hedge fund return for the 12 months ended Dec. 31, 2012. Assets are in millions.

Pension fund	Hedge fund portfolio return	Hedge fund benchmark return	Hedge fund assets	% in hedge funds	% in funds of funds	Hedge funds as a % of total assets
Missouri State Employees1	17.3%	11.3%	$300	100.0%		3.7%
Virginia Retirement System	13.4%	14.9%	$4,600			8.3%
Missouri Public School2	11.6%	12.6%	$4,261	100.0%		14.8%
Missouri Public Education3	11.4%	12.6%	$445	100.0%		14.3%
South Carolina Investment Commission	10.4%	3.5%	$4,773	54.8%	45.2%	17.9%
Pennsylvania State Employees	8.6%	6.6%	$2,000		100.0%	7.9%
Texas County & District	8.6%	4.8%	$5,333	100.0%		27.0%
MassPRIM	8.4%	4.8%	$4,922			9.5%
Illinois Teachers	8.2%	4.1%	$2,021	51.8%	48.2%	5.3%
Texas Teachers4	8.2%	4.8%	$4,500	100.0%		3.9%
Michigan Bureau of Investments	8.1%	2.9%	$1,981	25.0%	75.0%	3.9%
Ohio School Employees	8.0%	4.8%	$1,538	100.0%		14.0%
New Jersey Division of Investment	7.7%	3.0%	$4,060			5.7%
New Mexico Public Employees	7.3%	6.2%	$1,188	100.0%		9.6%
Missouri State Employees5	6.5%	4.1%	$2,200	82.0%	18.0%	27.2%
California Public Employees	4.2%	5.3%	$5,200	69.2%	30.8%	2.1%
Wisconsin Investment Board6	4.1%	6.5%	$1,400	100.0%		1.8%
Pennsylvania Public School Employees	3.4%	7.5%	$5,900	100.0%		11.9%
Texas Teachers7	2.3%	4.1%	$4,100	100.0%		3.6%
Average	8.3%	6.5%				10.1%
Notes: 1 MOSERS' directional hedge fund portfolio; 2 An additional $2.026 billion was invested in hedge funds in an alpha overlay portfolio; 3 An additional $198 million was invested in hedge funds in an alpha overlay portfolio; 4 Texas TRS' directional hedge fund portfolio; 5 MOSERS' non-directional hedge fund portfolio; 6 Wisconsin State Board core fund only; 7 Texas TRS' stable value hedge fund portfolio.
Source: Pension plan survey responses and plan documents