The present study has performed an analysis of the effects caused in the performance of Brazilian pension funds by the inclusion of hedge funds in their portfolios, including funds invested in international assets. The definition of hedge funds is provided by the Resolution CMN 3456 of June 1, 2007. This Resolution allowed pension funds in Brazil to allocate up to 3% of their investments in international hedge funds. Given the wide range of assets classes available in this category of hedge funds, this study has focused on international assets and longshort funds. The t-test results for the average returns showed that investments in such asset classes do not generate a major effect on the efficient frontier of the pension funds` investments. The results do not change much even if we increase the constraint from 3% to 20%. However, changes in the current economic environment indicate that finding alternative investments that can enhance the asset performance on a long term view will be a crucial factor to maintain the financial health of pension funds.