In the three-year period ended June 30, directional hedge funds generated annualized alpha of 4.6 percentage points – the highest of any portfolio in the Teacher Retirement System of Texas' external public markets program. Directional hedge funds generated one-year alpha of as of June 30 of 5.5 percentage points.
Over the three-year period, the next-closest alpha-generating portfolio was its world equity program – 2.1 and 1 percentage points over the three- and one-year periods, respectively.
Overall, its external public markets portfolio generated annualized alpha of 70 and 60 basis points over the three- and one-year periods, respectively.
“Other absolute return” was not considered because of it represented only 0.2% of total assets.