The $1.9 billion Oklahoma Police Pension & Retirement System returned 12.34% net of fees for the fiscal year ended June 30.
OPPRS Executive Director and CIO Steven Snyder told Pensions&Investments the total beat the pension's custom benchmark by 100 basis points.
It was the fund's equity composite—which includes hedge funds, long/short equity and private equity—that drove the gains, returning 16.16% for the year.
OPPRS' fixed-income investments returned 5.71%, thanks in no small part to a $174 million low-volatility strategy managed by Pacific Alternative Asset Management Co. that returned 12.64%. The fund's real assets investments—including real estate and commodities— returned 13.48%.
The pension, which is roughly 90% funded, has posted an annualized return of 10.07% for the three years ended June 30, 4.4% for five years and 7.01% for 10 years.
OPPRS began moving into direct hedge fund investing last year, allocating to AKO Capital, Cevian Capital, Hoplight Capital Management, Tremblant Capital Group, Trian Partners, White Elm Capital and Southpoint. The pension's stated goal is to have 12-15 managers overseeing $100 million by the end of Q3, 2013.