State Retirement Systems

The analysis of state pension plans entailed obtaining publicly available information of annual returns for the longest time period available and the estimates of fees based on data provided by the states.

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:

States20132012201120102009200820072006200520042003200220012000199919981997199619951994199319921991199019891988
Alaska Public12.150.0820.8310.99-20.90-3.5018.6111.388.5914.723.31-5.84-5.619.7110.2314.3717.8213.3415.202.3513.89n/an/an/an/an/a
Alaska Teachers12.240.1321.0511.16-21.05-3.4918.4811.388.6114.693.28-5.89-5.759.7510.2714.4317.7213.9515.502.2513.98n/an/an/an/an/a
Arizona13.101.3024.6014.90-18.10-7.6017.809.808.5017.502.40-8.20-6.7010.0016.8021.3020.6016.7017.781.8916.7414.627.999.5214.333.10
Arkansas Employees15.20-0.7125.5511.47-21.39-4.9617.5811.789.4313.005.12-6.17-4.278.977.71n/an/an/an/an/an/an/an/an/an/an/a
Arkansas Teachers14.30-0.9022.3013.50-18.00-3.7019.2012.4010.5018.001.50-6.70-3.108.30n/an/an/an/an/an/an/an/an/an/an/an/a
California13.200.1421.7012.72-24.64-5.6018.6511.2711.7116.213.44-6.10-7.2010.5012.5019.5020.1015.3016.402.5011.8012.506.508.900.160.04
Connecticut11.64-0.9020.7512.93-18.25-4.8317.7010.5710.4415.062.06-6.62-3.7213.1710.4717.0419.2614.2113.534.0411.787.993.8910.2914.26n/a
Delaware10.811.6923.9813.77-16.12-1.6515.5812.069.6315.512.78-6.64-5.6716.3910.7317.6317.4319.6318.732.9315.9312.334.739.0312.634.13
Florida13.120.2922.0014.00-19.00-4.4018.1010.6010.2016.602.80-8.10-7.6010.5014.0022.0021.1017.1018.400.6015.0014.409.1010.5014.90-0.30
Georgia13.302.1921.2910.99-12.97-3.5014.706.207.809.804.50-4.00-6.006.9011.2022.8023.4015.4022.30-0.8012.9014.4010.7011.0015.700.80
Hawaiin/a13.9620.8411.46-18.00-3.5117.8111.5010.5315.812.97-5.52-6.807.3810.2816.0418.7815.1113.247.689.5211.688.208.68n/an/a
Idaho8.731.2320.3812.01-16.35-4.6019.5411.7910.3417.633.32-7.30-6.4012.9311.1817.1919.1117.8314.342.5012.6010.276.0610.3113.13-0.60
Illinois14.100.1021.709.10-20.10-6.2017.1011.0010.1016.400.30-6.90-7.1011.8012.9018.1018.8016.6014.004.0012.1011.607.008.0014.302.80
Indiana6.000.6819.9013.60-20.60-7.8917.9610.499.6316.134.52-4.72-2.686.5311.0313.208.094.4712.35-1.1812.1114.6910.616.8511.637.18
Kansas13.800.7822.3314.61-19.87-4.6717.7712.0411.8415.143.74-4.96-7.5613.5410.9416.2414.1418.5417.342.0414.4412.540.0411.8411.74-1.14
Louisiana12.03-0.4123.6115.49-19.70-4.3118.8211.529.8417.644.07-6.08-6.5211.138.3712.0717.17n/an/an/an/an/an/an/an/an/a
Maryland9.87-0.3319.3713.41-20.45-5.6917.4210.189.3015.992.85-7.95-9.7511.557.7515.2519.1513.0515.350.1515.4514.758.65n/an/an/a
Minnesota14.202.4023.3015.20-18.80-5.0018.3012.3010.7016.502.40-8.00-7.10n/an/an/an/an/an/an/an/an/an/an/an/an/a
Mississippi13.400.6021.3013.90-19.60-8.6018.6710.549.6114.373.27-6.83-7.337.8711.0718.8719.6614.8716.871.0711.9713.779.1710.1714.573.17
Montana13.042.4121.7912.87-20.69-4.8617.969.078.1313.436.61-7.29-5.087.9312.0816.6319.6312.6016.33n/an/an/an/an/an/an/a
New Hampshire14.500.9023.0012.90-18.10-4.6016.0010.0010.2014.902.50-6.40-6.7013.2014.4017.5018.6017.5020.001.4014.4013.509.0016.8017.00-1.90
New Jersey11.782.5218.0313.36-14.27-2.6617.109.808.7014.103.30-9.00-10.40n/an/an/an/an/an/an/an/an/an/an/an/an/a
New Mexico13.05-0.5822.3214.67-24.42-7.6617.8111.429.5815.323.41-2.41-2.1911.0714.5318.7419.0615.8718.800.1913.1113.818.059.526.516.41
North Carolina9.522.2118.4812.00-14.22-2.0714.827.239.8512.017.56-4.34-2.449.1611.0118.19n/an/an/an/an/an/an/an/an/an/a
North Dakota13.980.0621.4313.67-25.55-6.3919.4013.1713.7417.793.84-7.70-6.0110.5710.7814.6319.4515.8313.780.4314.8111.896.297.24n/an/a
Oklahoma12.002.4021.2013.69-15.53-4.2716.257.9310.3813.895.54-5.32-6.109.769.2718.2318.5615.4215.920.3014.3511.316.4412.7813.053.25
Pennsylvania Schools7.963.4320.3714.59-26.54-2.8222.9315.2612.8719.672.74-5.25-7.3412.0012.2015.8018.9017.7016.901.7013.1014.007.909.0013.602.40
Rhode Islandn/a1.3820.2013.26-19.52-5.7515.5412.1811.8719.313.47n/an/an/an/an/an/an/an/an/an/an/an/an/an/an/a
South Carolina9.99-0.7918.3014.32-19.89-2.8813.174.966.898.628.740.837.074.782.2713.219.124.8315.238.669.609.729.9810.4010.1810.34
South Dakota19.021.4625.4018.09-21.17-9.1421.0712.8113.0316.394.67-5.25-3.2210.4014.2018.9020.9016.3013.704.4014.8013.008.902.6013.807.60
Tennessee9.905.6119.5910.24-15.27-1.2113.156.947.269.324.90-1.92-1.577.919.4715.0915.7012.80n/an/an/an/an/an/an/a2.00
Vermont8.452.2521.0517.65-18.85-6.0516.3510.458.7515.554.45n/an/an/an/an/an/an/an/an/an/an/an/an/an/an/a
Vermont Municipal8.652.2520.8518.15-18.35-6.2516.4511.157.9514.651.75n/an/an/an/an/an/an/an/an/an/an/an/an/an/an/a
Vermont Teachers8.252.0520.3517.75-19.95-6.7517.2510.259.5515.555.45n/an/an/an/an/an/an/an/an/an/an/an/an/an/an/a
Virginia11.801.4019.1014.08-21.01-4.4520.3712.4311.9517.852.49-7.28-7.37n/an/an/an/an/an/an/an/an/an/an/an/an/a
Washington12.401.4021.1013.22-22.84-1.2221.3316.7013.0516.723.02-5.15-6.7513.5611.7617.1220.1816.4916.242.1013.078.209.508.3013.504.20
Average11.931.4621.3713.60-19.45-4.8017.6910.8510.0315.333.70-5.91-5.4710.2511.0517.0418.1714.8616.182.2313.3712.437.569.5912.502.97
Standard Deviation2.542.521.792.073.031.952.042.231.642.451.631.983.042.492.662.583.263.492.322.321.781.992.432.653.723.22

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:

States201320122011201020092008200720062005200420032002200120001999199819971996199519941993199219911990198919881987
Colorado15.6012.901.9014.0017.40-26.0010.0015.609.6013.7823.69-12.33-8.19-0.1419.0215.6820.0913.5724.611.1514.896.2020.071.5217.0711.722.90
Iowa10.123.733.6712.9515.23-20.759.2813.749.7411.6420.24-5.73-4.260.6717.7816.7918.4214.9623.88-0.1010.494.8119.541.8417.4413.904.79
Kentucky10.37-0.28-0.9612.5119.43-24.086.4413.836.2810.8019.93-6.91-3.38-2.7514.0318.0223.0916.3626.731.067.228.5921.611.2119.1110.783.43
Maine11.100.600.2012.2021.50-27.609.1011.307.7013.1025.60-10.30-5.00-3.8015.3015.3018.5013.5025.70-0.1012.907.2023.90-2.4018.2011.202.40
Massachusetts12.54-0.24-0.0213.4117.56-29.6711.6516.3112.4014.1926.17-9.23-5.58-1.4723.0014.6718.2816.3623.830.2115.874.5614.20-2.4617.5813.163.19
Missouri10.402.202.0016.2618.47-23.9013.1112.0211.3112.8126.98-7.49-5.151.8714.2712.1519.8913.5225.99-2.3010.956.6121.55-0.3224.0513.061.15
Nebraskan/a1.000.1013.3922.06-27.567.8415.206.9911.3823.56-8.80-4.160.9111.1515.8919.4711.9024.230.188.145.8424.004.6121.9111.642.36
Nevada12.403.10n/a11.3116.83-22.107.5113.075.6110.8817.73-4.59-3.363.848.4717.1614.7910.6621.761.8511.765.6021.772.7517.1611.799.09
Ohio14.0014.400.2013.9120.02-26.928.5314.679.0312.5025.39-10.74-4.60-0.7112.1114.4413.357.8620.46-0.039.735.6815.676.3118.399.251.29
Oregon12.681.60-7.5312.6519.12-27.1810.2215.5713.7413.8023.79-8.93-7.170.6324.8915.4320.4224.4220.782.1615.046.9422.45-1.5319.7416.869.00
Pennsylvania Employees13.6012.002.7011.909.10-28.7017.2016.4014.5015.1024.30-10.90-7.902.2019.9016.3018.5015.4025.20-1.1013.207.4022.601.0017.8012.803.30
Utah14.8913.102.8913.5412.65-22.606.8714.428.6913.0425.81-7.72-5.141.7216.399.4215.5614.9722.03-0.1516.344.3421.44n/an/an/an/a
Wyoming13.2013.70-1.2013.1023.10-29.637.4412.638.22n/an/an/an/an/an/an/an/an/an/an/an/an/an/an/an/an/an/a
Average12.585.990.3313.1617.88-25.909.6314.219.5212.7523.60-8.64-5.320.2516.3615.1018.3614.4623.770.2412.216.1520.731.1418.9512.383.90
Standard Deviation1.735.842.811.173.722.822.851.562.661.312.742.171.562.074.632.232.563.821.991.172.881.212.892.642.101.882.61

Other States:

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

States20132012201120102009200820072006200520042003200220012000199919981997199619951994199319921991199019891988
Texas Employees10.078.2212.366.48-6.69-4.6913.768.7112.5911.57n/an/an/an/an/an/an/an/an/an/an/an/an/an/an/an/a
Texas Teachers9.007.6022.2015.70-21.90-2.1017.5010.409.5015.704.70-6.40-5.007.9014.808.0025.4012.6022.40-0.5013.4011.9023.200.1019.703.40
Average9.547.9117.2811.09-14.30-3.4015.639.5611.0513.644.70-6.40-5.007.9014.808.0025.4012.6022.40-0.5013.4011.9023.200.1019.703.40
Standard Deviation0.540.314.924.617.611.301.870.851.552.070.000.000.000.000.000.000.000.000.000.000.000.000.000.000.000.00

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

States20132012201120102009200820072006200520042003200220012000199919981997
Alabama Employees14.5417.932.198.37-10.17-15.6317.328.1110.729.8016.22-9.55-6.74n/an/an/an/a
Alabama Judicial14.0118.950.0510.660.56-15.2513.558.729.5110.9411.30-9.71-6.88n/an/an/an/a
Alabama Teachers14.8718.251.488.32-8.08-15.7816.828.4910.9310.3815.65-8.14-6.38n/an/an/an/a
Michigan12.5013.406.508.50-6.30-12.5017.2012.8012.8012.4014.70-10.30-11.5014.8016.308.2023.20
Average13.9817.132.568.96-6.00-14.7916.229.5310.9910.8814.47-9.43-7.8814.8016.308.2023.20
Standard Deviation0.912.192.400.984.031.341.551.901.180.971.910.792.100.000.000.000.00

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

States20132012201120102009
New York10.385.9614.6025.87-26.38