Hedge fund strategies differ among large pension plans

Hedge fund strategies varied among the large pension funds that provided breakout responses to Pensions & Investments’ annual survey of the top 1,000 retirement plans. The 10 pension plans with the most reported hedge fund assets had $2.5 billion to $19.7 billion invested in the asset class.

CalSTRS and United Parcel Service had 88% and 100%, respectively, of their hedge fund investments placed in tactical trading strategies. Oregon Public Employees Retirement Fund invested 93% of its hedge fund assets in multistrategy funds, and Los Angeles County Employees Retirement Association and North Carolina Retirement Systems each placed their entire hedge fund portfolio in that strategy.

The HFRI Equity Hedge (Total) index had the highest return in 2024 at 11.9%. The lowest return came from the HFRI Macro (Total) index. The HFRI Relative Value Total index had the top return for the first two months of 2025, while the HFRI Macro (Total) index’s -0.5% was the worst-performing category.

Over the five years ended Dec. 31, the HFRI Macro (Total) index had the best risk-adjusted return as measured by the Sharpe ratio.