The Massachusetts Pension Reserves Investment Trust Fund’s private equity portfolio ranked first in terms of returns over a 10-year period, according to the Private Equity Growth Capital Council’s (PEGCC) annual study of 155 public pension funds.
The Massachusetts PRIT Fund’s annualised return from its private equity investments was 17.93 percent over the period, with the Teacher Retirement System of Texas a close second at 17.8 percent, and the Minnesota State Board of Investment third delivering 16.2 percent.
Overall, private equity delivered a 12.1 percent annualised return over the period for the median fund, significantly higher than public equity at 8.2 percent, real estate at 7.1 percent, and fixed income at 5.8 percent.
In terms of dollars invested in private equity, the California Public Employees’ Retirement System topped the list, allocating a sizeable $31.5 billion towards the asset class, followed by the California State Teachers’ Retirement System at $21.8 billion, and the Teacher Retirement System of Texas at $17.9 billion.
In 2014, 87 percent of the pension funds included in the survey made private equity investments. More than one-third of them allocated between 5 and 10 percent of their portfolio to PE, and about 3 percent allocated between 20 and 30 percent. About one-tenth did not invest in PE at all.
On a dollar-weighted basis, US pension funds invested 9.3 percent of their portfolio in private equity compared with 50.5 percent in public equities, 23.4 percent in fixed income and 6.9 percent in real estate.
The analysis used 10-year return data as of 30 June 2014.