Kentucky Retirement Systems, Frankfort, invested $80 million total in three hedge funds, said David Peden, chief investment officer.
KRS invested an initial $40 million in Tourbillon Global Master Fund, a long/short equity fund managed by Tourbillon Capital Partners.
The retirement system also invested an initial $20 million each in Glenview Capital Management, a long/short equity fund, and QMS Diversified Global Macro, a systematic global macro hedge fund with a CTA component, managed by QMS Capital Management.
Separately, KRS returned a net 2% on its pension fund assets for the fiscal year ended June 30, lagging its 3.13% benchmark and 7.5% assumed rate of return.
The top performing portfolio was private equity, which returned 9.61%, followed by real estate, 7.85%; absolute return, 5.49%; fixed income, 1.44%; equity, 0.68%; cash equivalents, 0.16%; and real return, -3.98%.
Below-benchmark returns for U.S. equity and real estate and an overweight to high-yield credit dragged down overall performance, Mr. Peden said.
As of June 30, the pension fund had an asset allocation of 20.7% U.S. equity, 20% international equity, 18.7% fixed income, 10.7% absolute return, 9.7% real return, 9.6% private equity, 5.3% real estate, 3.1% emerging markets equity and the remainder in cash.
Longer term, the pension fund returned an annualized 9.32%, 9.18% and 6.05% for the three, five and 10 years ended June 30, respectively, below its benchmarks of 9.64%, 9.85% and 6.3% in each of those periods.
All return figures are unaudited.
Also, Bill Murnighan, senior investment analyst and acting director of private equity, is leaving KRS this week for another opportunity, which Mr. Peden declined to name.
Brent Aldridge, director of real estate and real return, and a former private equity director, will fill in until a permanent replacement for Mr. Murnighan is found. A formal search could be launched early next year.
KRS administers an $11.5 billion pension fund and $4.2 billion insurance fund.
