The document analyzes private equity returns and investments of large public pension funds. It finds that the Massachusetts Pension Reserves Investment Trust Fund had the highest 10-year annualized private equity return of 15.4%. The California Public Employees' Retirement System had the largest private equity investment of $34.2 billion. Over 10 years, private equity investments by pension funds generated a median annualized return of 10% compared to 6.7% for public equity, yielding a $2.6 return for every $1 initially invested.

1. Public Pension Fund
Analysis
October 2013

2. Top 10 pension funds
by private equity returns
Rank
Public Pension Fund
Annualized Private Equity Return
5-Year
10-Year
1
Massachusetts Pension Reserves Investment Trust (PRIT) Fund
9.1%
15.4%
2
Los Angeles County Employees Retirement Association
10.2%
N/A
3
Teacher Retirement System of Texas
6.3%
15.5%
4
Houston Firefighters' Relief and Retirement Fund
9.3%
13.6%
5
Minnesota State Board of Investment (Combined Funds)
7.7%
14.4%
6
Iowa Public Employees' Retirement System
7.9%
14.1%
7
San Francisco Employees' Retirement System
7.4%
13.1%
8
Utah Retirement System
6.2%
13.5%
9
Pennsylvania Public School Employees' Retirement System
6.6%
13.0%
10
Contra Costa County Employees' Retirement Association
7.1%
12.7%
Analysis is based on financial reports from 146 large public pension funds (assets of $1 billion or more), where 10-year and/or
5-year private equity returns are available. Reporting dates for the pension funds above vary between June 30, 2012 and
December 31, 2012. Return figures for private equity and other illiquid assets are typically reported net of management fees
and carry. Please see slide 8 for ranking methodology.
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3. Top 10 pension funds
by dollars invested in private equity
Rank
Public Pension Fund
Private Equity Investment (Bil.)
1
California Public Employees' Retirement System
$34.2
2
California State Teachers' Retirement System
$22.6
3
Washington State Department of Retirement Systems
$16.1
4
New York State and Local Retirement System (ERS and PFRS)
$14.9
5
Oregon Public Employees Retirement System
$14.1
6
Teacher Retirement System of Texas
$13.1
7
Pennsylvania Public School Employees' Retirement System
$10.7
8
Michigan Public School Employees' Retirement System
$8.6
9
New York State Teachers' Retirement System
$7.4
10
State Teachers Retirement System of Ohio
$7.1
Analysis is based on financial reports from 146 large public pension funds (AUM of $1 billion or more), where dollars invested in
private equity are available. Reporting dates for the pension funds above vary between March 31, 2012 and September 30,
2012.
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4. On a dollar-weighted basis, U.S. public pension funds
invest 10.3% of their portfolio in private equity
6.6%
2.7%
7.5%
Asset allocation
by total dollars
invested:
10.3%
48.6%
24.3%
Public Equity
Fixed Income
Private Equity
Real Estate
Other
Cash/Short-Term
Analysis is based on financial reports from 146 large public pension funds (assets of $1 billion or more). Reporting dates vary
between March 31, 2012 and July 31, 2013.
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5. Pension funds’ investments in private equity
outperform other asset classes based on the median
pension’s 10-year annualized return
Pension Fund Investment Return by Asset Class
Median 10-Year Annualized Return
12%
10.0%
10%
8%
6.7%
6.6%
6%
5.8%
Total Fund
Return 6.5%
4%
2%
0%
Public Equity
Fixed Income
Private Equity
Real Estate
Analysis is based on financial reports from 146 large public pension funds (assets of $1 billion or more), where 10-year returns
as of June 30, 2012 are available. Samples include return figures that are both net and gross of management fees for
marketable securities. Return figures for private equity and other illiquid assets are typically reported net of management fees
and carry.
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6. The 25th percentile private equity return
outperforms the 75th percentile public equity return
10-Year Annualized Return
14%
12%
75th percentile
Median
10%
8%
2.9% pts.
Mean
6%
25th percentile
4%
2%
0%
Sample Size
No. of Pensions
Investment (Bil.)
Total Fund
Public Equity
Fixed Income
Private Equity
Real Estate
69
60
59
32
35
$1,708
$812
$388
$149
$106
Analysis is based on financial reports from 146 large public pension funds (assets of $1 billion or more), where 10-year returns
as of June 30, 2012 are available. Samples include return figures that are both net and gross of management fees for
marketable securities. Return figures for private equity and other illiquid assets are typically reported net of management fees
and carry.
6

7. Over a ten-year period, a $1 investment by pension
funds into private equity results in a return of $2.6
Return from $1 Investment
Profit
Initial Investment
$3
$2.6
$2
$1.9
$1.9
$1.9
$1.8
$1
$0
Total Portfolio
Public Equity
Fixed Income
Private Equity
Real Estate
Analysis is based on financial reports from 146 large public pension funds (assets of $1 billion or more), where 10-year
returns as of June 30, 2012 are available. Returns from a $1 investment are calculated using the following formula:
$1×(1+x%)^10, where x% represents the median 10-year annualized return for the specific asset class.
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8. Notes on the Study
•
This study is based on data collected from publicly available Comprehensive Annual Financial Reports (CAFRs) of 146
U.S. public pension funds, investing $1 billion or more in assets. The reporting date for this information ranges from
March 31, 2012 to July 31, 2013, with most dates as of June 30, 2012. When data as of June 30, 2012 was
unavailable, information from the most recent available financial report at the time of analysis (August 26, 2013) was
used in this study.
•
To be as inclusive as possible, the ranking of pension funds by private equity returns is based on a weighted-average
of 5- and 10-year annualized returns, where 10-year performance is given twice the weight as 5-year returns.
•
Asset allocation is determined by summing the total dollars invested within each asset class for all 146 public pension
funds and calculating the percentage allocation of each asset class.
•
The analysis of pension fund investment returns is based on available 10-year return data as of June 30, 2012 for
each asset class. Using June 30th returns provides the largest sample size for all asset classes. Pension funds
typically report returns for private equity and other illiquid assets net of management fees and carry, while
marketable securities can be reported net or gross of fees.
•
The analysis of returns from a $1 investment by pension funds into each asset class is based on median 10-year
annualized returns as of June 30, 2012 for each asset class. Returns from a $1 investment are calculated using the
following formula, where x% represents the median 10-year annualized return for the specific asset class:
$1×(1+x%)^10
•
Not all pension funds report 10-year returns or returns for each asset class. Asset classes may be defined slightly
differently, depending on the pension fund.
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