So you think it makes sense to run our own pension plan here in Alberta?There may be a political argument for it, but from the viewpoint of potential investment returns for Albertan pensioners, it looks like it could be a big mistake.Why is that? Because if you follow the money, you'll see what we'd likely be missing by walking away from the Canada Pension Plan.One of the most competitive and lucrative sectors in the global investment management scene is what's called “Private Equity and Infrastructure”.Private equity (PE) involves investing directly or through third party managers into companies that are not trading on a public stock exchange. Infrastructure investments include roads, bridges, ports, airports and water, gas, electricity and telecom networks.Why are these so important? Because PE investments can offer much superior long term-growth returns than the public stock and bond markets. Infrastructure investments are chosen for their long-term, stable and secure cash flows.The global competition for access to investments in this sector is deadly fierce. Pension funds around the world all want access to the best deals. They want assets that grow and produce cash for their retiree clients.As an Albertan nearing retirement, I want my pension fund in the hands of a manager who has a strong track record in this space and ranks well against the competition.It doesn't take long to find out that CPP is the global leader in this space. That's global – not just Canada.Let's check out the numbers.Alberta Investment Management Corp. (AIMCO) would likely be the body managing any Alberta Pension Plan assets that get pulled from CPP.These figures below, all taken from publicly available sources, show that the CPP has been around much longer, has way more  PE + Infrastructure assets, has a much higher weighting of these assets in their total portfolio and a significantly better long-term track record.It's a no-brainer. CPP wins, hands down, if you look at longer term returns over equal periods of time managing funds, which would be over a 10-year period, given AIMCO's relatively late start.The shorter-term returns look even worse for AIMCO, given the $2.1 billion loss it took on a failed hedging strategy nearly three years ago. CPP has chalked up an 8.5% annualized return for the five-year period ending September 30, 2022. Based on available data, it would appear that AIMCO has returned 4.7% in a four-year period ending that same date.Last year CPP was ranked #1 infrastructure fund in the world by  IPE Real Assets and also took #1 spot globally for private equity funds in a Private Equity International survey.This global ranking and reputation means that the CPP gets the first call when PE or Infrastructure assets are seeking financing or are up for sale.In September of 2021, for example, CPP bought, at a $4 billion valuation, 100% of Ports America, a leader in global cargo handling/supply chain logistics which operates in 70 locations and 33 ports in each of the three US coasts.  Closer to home, CPP also owns a 50.01% per cent stake in 407 International Inc., which holds a concession the 407 toll route.Couldn't AIMCO do the same if they had $50 or $100 billion dumped into its lap from the CPP?Hard to say, but insiders in the Canadian infrastructure space know that AIMCO's gone through recent governance and risk management issues. And many CEOs and boards of PE and infrastructures assets are potentially concerned about selling equity or debt into a fund that may be subject to political interference.There are lots of questions remaining on this – but my vote is clearly and unequivocally in favour of staying with the CPP.I couldn't care less about the politics. I just want the biggest and strongest kid on the block fighting to protect my retirement funds.(Next up: “Stepping on Rakes: Higher risk and lower returns in an Alberta Pension Plan.)Rick Peterson is founder and chair of Peterson Capital, an Edmonton-based capital markets advisory firm with offices across Canada, in the UK and in Europe.