State Retirement Systems

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This analysis was conducted to see if there was any evidence that the current system of using consultants and the hiring and firing of investment managers provided value beyond an allocation of passively managed mutual funds. Based on this initial review, we would conclude that there is room for improvement in the methods currently used by pension plans. Details on the index portfolios shown below can be found on our index portfolios pages, see an example of Index Portfolio 50 here. Sources of the pension plan returns and fee estimates can be found by on each states page. Consultant/Advisory fees for the passive management of index portfolios of multi-billion dollar plans are estimated to be 0.05%.

Most states can be grouped by their annual reporting periods (those which end 6/30 and those which end 12/31). There is also a discrepancy funds return history with some states publishing reports earlier than others. Below are scatter plots depicting time periods in which state retirement data was found. Longer time periods result in fewer states providing historical records.

The longest time period (minimizing exclusions) whose reports end 6/30:

A longer time period (excluding states with no historical record) whose reports end 6/30:

Annual Return Data for each state retirement plan whose report end 6/30:

The longest time period (minimizing exclusions) whose reports end 12/31:

A longer time period (excluding states with no historical record) whose reports end 12/31:

Annual Return Data for each state retirement plan whose report end 12/31:

Other States:

Annual Return Data for each state retirement plan whose report end 8/31:

Annual Return Data for each state retirement plan whose report end 9/30:

Annual Return Data for each state retirement plan whose report end 3/31: