Merseyside Pension Fund, Liverpool, England, returned 21.5% in the fiscal year ended March 31, increasing assets 21% to £8.2 billion ($10.2 billion).
The pension fund outperformed its custom benchmark, which returned 17.8%.
In its annual report, Merseyside said the results reflected the general market environment.
"Investment returns were positive across all major asset classes over the period with equities outperforming traditional safe-haven assets: bonds and real assets such as property. Stock markets throughout the developed world generated double-digit returns, with the U.S. and Japan returning over 30%, Europe 25% and the U.K. over 18% in sterling terms," the report said.
For the fiscal year ended March 31, North American equities returned 35%; Japanese equities, 35%; emerging markets equities, 34%; European equities ex-U.K., 27%; U.K. equities, 20%; cash and alternatives, 18%; bonds, 8%; and property, 6%.
As of March 31, Merseyside's asset allocation was 30% overseas equity, 23% U.K. equity, 21% alternatives, 18% fixed income and 8% property.
The pension fund on April 28 will be joining the Northern Pool, a £37 billion asset pool of local government pension schemes, alongside £17.3 billion Greater Manchester Pension Fund, Droylsden, England, and £11.3 billion West Yorkshire Pension Fund, Bradford, England, in response to a requirement by the U.K. government that the 89 England and Wales LGPS funds pool their investments.