Public plans' hedge fund returns

U.S. public pension funds ranked by hedge-fund portfolio return for the 12 months ended Sept. 30, 2014. Assets are in billions.
FundReturnBenchmarkOver/

underperformance vs. benchmark (pct. pts.)

Total hedge fund assetsHedge fund assets as % of total assets
Missouri Public Schools12.1%7.6%4.5$5.113.7%
South Carolina Retirement10.8%6.5%4.3$2.58.6%
New Jersey Division of Investment 10.5%7.8%2.7$5.67.1%
Pennsylvania State Employees9.5%10.0%-0.5$1.76.3%
Texas Teachers1 9.4%6.2%3.2$6.65.1%
Michigan Retirement System29.2%6.5%2.7$3.15.2%
New Mexico Public Employees9.2%6.1%3.1$1.17.7%
Texas County & District9.1%6.2%2.9$6.125.0%
Florida State Board39.0%9.4%-0.4$2.81.9%
Massachusetts PRIM 8.7%6.1%2.6$5.79.5%
Missouri State Employees8.5%6.5%2.0$2.022.1%
Texas Teachers47.6%5.6%2.0$5.24.0%
Illinois Teachers7.3%4.1%3.2$2.76.1%
Texas Employees56.9%4.1%2.8$1.55.9%
Pennsylvania Public Schools6.6%3.7%2.9$5.410.5%
Wisconsin Investment Board62.5%0.9%1.6$2.32.4%
Mean return8.6%6.1%2.58.8%
Median return9.1%6.2%2.8
Notes:1Texas TRS directional portfolio;

2 Hedge fund return is for the $43.6 billion Michigan Public School Retirement System; hedge fund assets and allocation are for all five MRS funds;

3 Data are for Florida State Retirement System;

4 Texas TRS stable value/non-directional portfolio;

5 Returns are for Texas ERS' $1.3 absolute return portfolio;

6 Data are for Wisconsin State Retirement System Core Fund.

Source: Pension plan officials and plan documents

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