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 fundHedge fund portfolio returnHedge fund benchmark returnHedge

fund

assets

% in

hedge

funds

% in

funds of

funds

Hedge

funds as

a % of

total

assets

Missouri State Employees117.3%11.3%$300100.0% 3.7%
Virginia Retirement System 13.4%14.9%$4,600  8.3%
Missouri Public School211.6%12.6%$4,261100.0% 14.8%
Missouri Public Education311.4%12.6%$445100.0% 14.3%
South Carolina Investment Commission 10.4%3.5%$4,77354.8%45.2%17.9%
Pennsylvania State Employees 8.6%6.6%$2,000 100.0%7.9%
Texas County & District 8.6%4.8%$5,333100.0% 27.0%
MassPRIM 8.4%4.8%$4,922  9.5%
Illinois Teachers  8.2%4.1%$2,02151.8%48.2%5.3%
Texas Teachers48.2%4.8%$4,500100.0% 3.9%
Michigan Bureau of Investments  8.1%2.9%$1,98125.0%75.0%3.9%
Ohio School Employees 8.0%4.8%$1,538100.0% 14.0%
New Jersey Division of Investment  7.7%3.0%$4,060  5.7%
New Mexico Public Employees 7.3%6.2%$1,188100.0% 9.6%
Missouri State Employees56.5%4.1%$2,20082.0%18.0%27.2%
California Public Employees 4.2%5.3%$5,20069.2%30.8%2.1%
Wisconsin Investment Board64.1%6.5%$1,400100.0% 1.8%
Pennsylvania Public School Employees 3.4%7.5%$5,900100.0% 11.9%
Texas Teachers72.3%4.1%$4,100100.0% 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

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