State Pension Fund Investments

Wide variation in strategies and performance

State Pension Fund Investments: Wide Variation in Strategies and Performance

The Pew Charitable Trusts published a report in April 2017 that examines pension fund asset allocation, investment performance, and reporting practices for all 50 states.  The report, “State Public Pension Funds Increase Use of Complex Investments,” studies the 73 largest state-sponsored pension funds, which collectively account for over $2.8 trillion (about 95 percent of all state pension fund investments).

State retirement system data reveal significant differences in investment strategies and performance across the 50 states, including wide variation in allocations to alternative investments—such as private equity, hedge funds, real estate, and commodities—that range from zero to over 50 percent of assets. 

Despite the difference in investment strategies, the data do not reveal a best or one-size-fits-all investment approach. Indeed, high performers can be found among plans with large investments in alternatives as well as those with none.

Ten-year total investment returns for the 41 funds reporting net of fees as of June 30, 2015, ranged from 4.7 percent to 8.1 percent, with an average yield of 6.6 percent. Given that the average target return for these plans was 7.7 percent, the long-term variability is significant. Notably, only one of these plans met or exceeded investment return targets over the 10-year period ending in 2015.

Note: The states marked as having mixed reporting methods have two funds included in the list of 73 that report performance differently from each other.

Sources: Comprehensive Annual Financial Reports, 2014 and 2015; quarterly investment reports, and plan responses to data inquiries

State

Fund details

Alabama

Retirement Systems of Alabama (Employees) Fee reporting: Gross of fees. 10-year return: 5.16%. Asset allocation: 62% equities, 15% fixed income, 23% alternatives. Reporting date: Sept. 30. Target rate of return: 8%

Retirement Systems of Alabama (Teachers) Fee reporting: Gross of fees. 10-year return: 5.41%. Asset allocation: 65% equities, 14% fixed income, 22% alternatives. Reporting date: Sept. 30. Target rate of return: 8% 

Alaska

Alaska Public Employees Retirement System: Fee reporting: Net of fees. 10-year return: 6.69%. Asset allocation: 56% equities, 15% fixed income, 29% alternatives. Reporting date: June 30. Target rate of return: 8%

Alaska Teachers Retirement System: Fee reporting: Net of fees. 10-year return: 6.73%. Asset allocation: 56% equities, 15% fixed income, 29% alternatives. Reporting date: June 30. Target rate of return: 8%

Arizona

Arizona State Retirement System: Fee reporting: Net of fees. 10-year return: 6.9%. Asset allocation: 53% equities, 19% fixed income, 28% alternatives. Reporting date: June 30. Target rate of return: 8%

Arizona Public Safety Personnel Retirement System: Fee reporting: Net of fees. 10-year return: 5.22%. Asset allocation: 30% equities, 13% fixed income, 56% alternatives. Reporting date: June 30. Target rate of return: 7.85%

Arkansas

Arkansas Public Employees Retirement System: Fee reporting: Gross of fees. 10-year return: 7.17%. Asset allocation: 67% equities, 16% fixed income, 16% alternatives, 1% other. Reporting date: June 30. Target rate of return: 7.5%

Arkansas Teachers Retirement System: Fee reporting: Net of fees. 10-year return: 7.6%. Asset allocation: 61% equities, 17% fixed income, 19% alternatives, 3% other. Reporting date: June 30. Target rate of return: 8%

California

California Public Employees Retirement System: Fee reporting: Net of fees. 10-year return: 6.2%. Asset allocation: 52% equities, 27% fixed income, 21% alternatives. Reporting date: June 30. Target rate of return: 7.5%

California State Teachers Retirement System: Fee reporting: Gross of fees. 10-year return: 7.02%. Asset allocation: 57% equities, 19% fixed income, 24% alternatives. Reporting date: June 30. Target rate of return: 7.5%

Colorado

Colorado Public Employees Retirement Association: Fee reporting: Net of fees. 10-year return: 6%. Asset allocation: 57% equities, 25% fixed income, 18% alternatives. Reporting date: Dec. 31. Target rate of return: 7.5%

Connecticut

Connecticut State Employees Retirement System: Fee reporting: Net of fees. 10-year return: 6.18%. Asset allocation: 56% equities, 25% fixed income, 19% alternatives. Reporting date: June 30. Target rate of return: 8%

Connecticut State Teachers Retirement System: Fee reporting: Net of fees. 10-year return: 6.3%. Asset allocation: 55% equities, 25% fixed income, 20% alternatives. Reporting date: June 30. Target rate of return: 8.5%

Delaware

Delaware Public Employees Retirement System: Fee reporting: Gross of fees. 10-year return: 7.9%. Asset allocation: 47% equities, 35% fixed income, 19% alternatives. Reporting date: June 30. Target rate of return: 7.2%

Florida

Florida Retirement System: Fee reporting: Net of fees. 10-year return: 6.86%. Asset allocation: 60% equities, 22% fixed income, 18% alternatives. Reporting date: June 30. Target rate of return: 7.65%

Georgia

Georgia Employees Retirement System: Fee reporting: Gross of fees. 10-year return: 6.86%. Asset allocation: 67% equities, 26% fixed income, 0% alternatives, 7% other. Reporting date: June 30. Target rate of return: 7.5%

Georgia Teachers Retirement System: Fee reporting: Net of fees. 10-year return: 6.82%. Asset allocation: 73% equities, 27% fixed income, 0% alternatives. Reporting date: June 30. Target rate of return: 7.5%

Hawaii

Hawaii Employees Retirement System: Fee reporting: Gross of fees. 10-year return: 7%. Asset allocation: 62% equities, 17% fixed income, 15% alternatives, 7% other. Reporting date: June 30. Target rate of return: 7.65%

Idaho

Idaho Public Employee Retirement System: Fee reporting: Gross of fees. 10-year return: 7%. Asset allocation: 64% equities, 26% fixed income, 10% alternatives. Reporting date: June 30. Target rate of return: 7%

Illinois

Illinois State Universities Retirement System: Fee reporting: Net of fees. 10-year return: 7.08%. Asset allocation: 63% equities, 24% fixed income, 14% alternatives, -1% other. Reporting date: June 30. Target rate of return: 7.25%

Illinois State Employees Retirement System: Fee reporting: Net of fees. 10-year return: 6.2%. Asset allocation: 46% equities, 17% fixed income, 32% alternatives, 5% other. Reporting date: June 30. Target rate of return: 7.25%

Illinois Teachers Retirement System: Fee reporting: Net of fees. 10-year return: 6.62%. Asset allocation: 43% equities, 19% fixed income, 38% alternatives. Reporting date: June 30. Target rate of return: 7.5%

Indiana

Indiana Public Retirement System: Fee reporting: Net of fees. 10-year return: 4.73%. Asset allocation: 24% equities, 32% fixed income, 35% alternatives, 10% other. Reporting date: June 30. Target rate of return: 6.75%

Iowa

Iowa Public Employees Retirement System: Fee reporting: Net of fees. 10-year return: 7.21%. Asset allocation: 42% equities, 37% fixed income, 20% alternatives. Reporting date: June 30. Target rate of return: 7.5%

Kansas

Kansas Public Employees Retirement System: Fee reporting: Gross of fees. 10-year return: 7.4%. Asset allocation: 58% equities, 22% fixed income, 19% alternatives. Reporting date: June 30. Target rate of return: 8%

Kentucky

Kentucky Retirement Systems: Fee reporting: Net of fees. 10-year return: 6.05%. Asset allocation: 44% equities, 22% fixed income, 35% alternatives. Reporting date: June 30. Target rate of return: 7.5%

Kentucky Teachers Retirement System: Fee reporting: Gross of fees. 10-year return: 7%. Asset allocation: 63% equities, 22% fixed income, 15% alternatives. Reporting date: June 30. Target rate of return: 7.5%

Louisiana

Louisiana State Employees Retirement System: Fee reporting: Gross of fees. 10-year return: 7.4%. Asset allocation: 55% equities, 17% fixed income, 29% alternatives. Reporting date: June 30. Target rate of return: 7.75%

Louisiana Teachers Retirement System: Fee reporting: Gross of fees. 10-year return: 7.4%. Asset allocation: 51% equities, 25% fixed income, 25% alternatives. Reporting date: June 30. Target rate of return: 7.75%

Maine

Maine Public Employees Retirement System: Fee reporting: Net of fees. 10-year return: 5.9%. Asset allocation: 58% equities, 24% fixed income, 19% alternatives. Reporting date: June 30. Target rate of return: 7.125%

Maryland

Maryland State Retirement and Pension System: Fee reporting: Net of fees. 10-year return: 5.77%. Asset allocation: 35% equities, 27% fixed income, 37% alternatives, 1% other. Reporting date: June 30. Target rate of return: 7.55%

Massachusetts

Massachusetts Pension Reserves Investment Management Board: Fee reporting: Gross of fees. 10-year return: 6.98%. Asset allocation: 43% equities, 22% fixed income, 35% alternatives. Reporting date: June 30. Target rate of return: 7.5%

Michigan

Michigan Public School Employees Retirement System: Fee reporting: Gross of fees. 10-year return: 6.7%. Asset allocation: 45% equities, 19% fixed income, 37% alternatives. Reporting date: Sept. 30. Target rate of return: 8%

Michigan State Employees Retirement System: Fee reporting: Gross of fees. 10-year return: 6.6%. Asset allocation: 45% equities, 18% fixed income, 37% alternatives. Reporting date: Sept. 30. Target rate of return: 8%

Minnesota

Minnesota (MSRS, TRA, PERA): Fee reporting: Net of fees. 10-year return: 7.8%. Asset allocation: 61% equities, 26% fixed income, 13% alternatives. Reporting date: June 30. Target rate of return: 8.14%

Mississippi

Mississippi Public Employees Retirement System: Fee reporting: Gross of fees. 10-year return: 6.9%. Asset allocation: 66% equities, 21% fixed income, 13% alternatives. Reporting date: June 30. Target rate of return: 7.75%

Missouri

Missouri State Employees Retirement System: Fee reporting: Net of fees. 10-year return: 7%. Asset allocation: 10% equities, 39% fixed income, 51% alternatives. Reporting date: June 30. Target rate of return: 8%

Missouri Public Schools Retirement System: Fee reporting: Net of fees. 10-year return: 6.6%. Asset allocation: 48% equities, 23% fixed income, 29% alternatives. Reporting date: June 30. Target rate of return: 8%

Montana

Montana Public Employees Retirement Board: Fee reporting: Net of fees. 10-year return: 6.59%. Asset allocation: 57% equities, 24% fixed income, 19% alternatives. Reporting date: June 30. Target rate of return: 7.75%

Montana Teachers Retirement System: Fee reporting: Net of fees. 10-year return: 6.59%. Asset allocation: 57% equities, 24% fixed income, 19% alternatives. Reporting date: June 30. Target rate of return: 7.75%

Nebraska

Nebraska Retirement Systems: Fee reporting: Net of fees. 10-year return: 6.9%. Asset allocation: 64% equities, 28% fixed income, 8% alternatives. Reporting date: June 30. Target rate of return: 7.97%

Nevada

Nevada Public Employees Retirement System: Fee reporting: Gross of fees. 10-year return: 6.9%. Asset allocation: 62% equities, 31% fixed income, 7% alternatives. Reporting date: June 30. Target rate of return: 8%

New Hampshire

New Hampshire Retirement System: Fee reporting: Net of fees. 10-year return: 6.9%. Asset allocation: 63% equities, 22% fixed income, 16% alternatives. Reporting date: June 30. Target rate of return: 7.75%

New Jersey

New Jersey Division of Pension and Benefits: Fee reporting: Net of fees. 10-year return: 7.05%. Asset allocation: 45% equities, 28% fixed income, 27% alternatives. Reporting date: June 30. Target rate of return: 7.9%

New Mexico

New Mexico Educational Retirement Board: Fee reporting: Gross of fees. 10-year return: 6.9%. Asset allocation: 38% equities, 34% fixed income, 28% alternatives. Reporting date: June 30. Target rate of return: 7.75%

New Mexico Public Employees Retirement Association: Fee reporting: Net of fees. 10-year return: 5.72%. Asset allocation: 55% equities, 26% fixed income, 18% alternatives, 1% other. Reporting date: June 30. Target rate of return: 7.75%

New York

New York State and Local Retirement Systems: Fee reporting: Gross of fees. 10-year return: 7.12%. Asset allocation: 53% equities, 28% fixed income, 20% alternatives. Reporting date: March 31. Target rate of return: 7.5%

New York State Teachers Retirement System: Fee reporting: Net of fees. 10-year return: 7.2%. Asset allocation: 59% equities, 22% fixed income, 19% alternatives. Reporting date: June 30. Target rate of return: 8%

North Carolina

North Carolina Retirement Systems: Fee reporting: Net of fees. 10-year return: 6.2%. Asset allocation: 47% equities, 31% fixed income, 22% alternatives. Reporting date: June 30. Target rate of return: 7.25%

North Dakota

North Dakota Public Employees Retirement System (PERS and Highway): Fee reporting: Net of fees. 10-year return: 5.98%. Asset allocation: 53% equities, 24% fixed income, 23% alternatives. Reporting date: June 30. Target rate of return: 8%

North Dakota Teachers Fund for Retirement: Fee reporting: Net of fees. 10-year return: 5.87%. Asset allocation: 53% equities, 24% fixed income, 23% alternatives. Reporting date: June 30. Target rate of return: 7.75%

Ohio

Ohio Public Employees Retirement System: Fee reporting: Net of fees. 10-year return: 5.74%. Asset allocation: 39% equities, 23% fixed income, 38% alternatives. Reporting date: Dec. 31. Target rate of return: 8%

Ohio State Teachers Retirement System: Fee reporting: Gross of fees. 10-year return: 7.33%. Asset allocation: 54% equities, 23% fixed income, 23% alternatives. Reporting date: June 30. Target rate of return: 7.75%

Oklahoma

Oklahoma Public Employees Retirement System: Fee reporting: Gross of fees. 10-year return: 6.99%. Asset allocation: 70% equities, 30% fixed income, 0% alternatives. Reporting date: June 30. Target rate of return: 7.5%

Oklahoma Teachers Retirement System: Fee reporting: Gross of fees. 10-year return: 8.3%. Asset allocation: 62% equities, 20% fixed income, 17% alternatives. Reporting date: June 30. Target rate of return: 8%

Oregon

Oregon Employees Retirement System: Fee reporting: Net of fees. 10-year return: 7.34%. Asset allocation: 41% equities, 26% fixed income, 34% alternatives. Reporting date: June 30. Target rate of return: 7.5%

Pennsylvania

Pennsylvania Public School Employees Retirement System: Fee reporting: Net of fees. 10-year return: 6.31%. Asset allocation: 20% equities, 24% fixed income, 53% alternatives, 4% other. Reporting date: June 30. Target rate of return: 7.5%

Pennsylvania State Employees Retirement System: Fee reporting: Net of fees. 10-year return: 5.2%. Asset allocation: 37% equities, 22% fixed income, 42% alternatives. Reporting date: Dec. 31. Target rate of return: 7.5%

Rhode Island

Rhode Island Employees Retirement System: Fee reporting: Net of fees. 10-year return: 6.1%. Asset allocation: 50% equities, 26% fixed income, 24% alternatives. Reporting date: June 30. Target rate of return: 7.49%

South Carolina

South Carolina Retirement System: Fee reporting: Net of fees. 10-year return: 5.06%. Asset allocation: 31% equities, 30% fixed income, 39% alternatives. Reporting date: June 30. Target rate of return: 7.5%

South Dakota

South Dakota Retirement System: Fee reporting: Net of fees. 10-year return: 8.1%. Asset allocation: 44% equities, 32% fixed income, 24% alternatives. Reporting date: June 30. Target rate of return: 7.25%

Tennessee

Tennessee Consolidated Retirement System: Fee reporting: Gross of fees. 10-year return: 6.45%. Asset allocation: 58% equities, 34% fixed income, 8% alternatives. Reporting date: June 30. Target rate of return: 7.5%

Texas

Texas Employees Retirement System: Fee reporting: Gross of fees. 10-year return: 6.18%. Asset allocation: 52% equities, 24% fixed income, 22% alternatives, 2% other. Reporting date: Aug. 31. Target rate of return: 8%

Teacher Retirement System of Texas: Fee reporting: Net of fees. 10-year return: 6.76%. Asset allocation: 49% equities, 15% fixed income, 36% alternatives. Reporting date: June 30. Target rate of return: 8%

Utah

Utah Retirement Systems: Fee reporting: Gross of fees. 10-year return: 6.02%. Asset allocation: 36% equities, 22% fixed income, 43% alternatives. Reporting date: Dec. 31. Target rate of return: 7.5%

Vermont

Vermont Teachers Retirement System: Fee reporting: Gross of fees. 10-year return: 5.77%. Asset allocation: 32% equities, 32% fixed income, 36% alternatives. Reporting date: June 30. Target rate of return: 7.95%

Vermont State Employees Retirement System: Fee reporting: Gross of fees. 10-year return: 6.01%. Asset allocation: 33% equities, 33% fixed income, 34% alternatives. Reporting date: June 30. Target rate of return: 7.95%

Virginia

Virginia Retirement Systems: Fee reporting: Net of fees. 10-year return: 6.66%. Asset allocation: 44% equities, 23% fixed income, 33% alternatives. Reporting date: June 30. Target rate of return: 7%

Washington

Washington Department of Retirement Systems: Fee reporting: Net of fees. 10-year return: 7.55%. Asset allocation: 38% equities, 25% fixed income, 36% alternatives. Reporting date: June 30. Target rate of return: 7.67%

West Virginia

West Virginia Consolidated Public Retirement Board (PERS): Fee reporting: Net of fees. 10-year return: 7.1%. Asset allocation: 55% equities, 15% fixed income, 29% alternatives. Reporting date: June 30. Target rate of return: 7.5%

West Virginia Consolidated Public Retirement Board (TRS): Fee reporting: Net of fees. 10-year return: 6.8%. Asset allocation: 54% equities, 17% fixed income, 29% alternatives. Reporting date: June 30. Target rate of return: 7.5%

Wisconsin

Wisconsin Retirement System (Core): Fee reporting: Gross of fees. 10-year return: 5.83%. Asset allocation: 49% equities, 32% fixed income, 19% alternatives, 5% other. Reporting date: Dec. 31. Target rate of return: 7.2%

Wyoming

Wyoming Retirement System: Fee reporting: Net of fees. 10-year return: 4.5%. Asset allocation: 58% equities, 19% fixed income, 23% alternatives. Reporting date: Dec. 31. Target rate of return: 7.75%

Notes: “Other” assets include reported investments that combine different asset classes.

Where a retirement system consisted of multiple plans, Pew used a weighted average of the stated plan investment rates of return.

“Other” for the Illinois State Universities Retirement System is negative because of pooling of self-managed defined contribution plan forfeiture and disability reserves with defined-benefit portfolio investments.

Performance metrics reported through 2015, the most recent results available. Differences in performance reporting may limit comparability between certain funds.