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*3-year, 5-year and 10-year returns are annualized. Standard deviation estimates are based on either historical or the most recent fund exposures (obtained through dynamic analysis of annual returns) and quarterly returns of risk factors over 10-year trailing window. 60-40 Global Benchmark is a quarterly rebalanced portfolio of 60% MSCI ACWI Index and 40% Bloomberg Barclay Aggregate Bond Index.
*Standard deviation estimates are based on the most recent estimated fund exposures (obtained through dynamic analysis of annual returns) and quarterly returns of risk factors over 10-year trailing estimation window.
MPI Pension Tracker
| Name | Pension | MPI360 Report | AUM($B) | 2022 return | 2021 return | 3Y return | 5Y return | 10Y return | Private Equity | Funded Ratio (GASB67) | StdDev 10Y | Sharpe Ratio 10Y | StdDev (current) | Sharpe Ratio (current) | Assets | Fiscal Year-end | 3Q2022 Estimate | 4Q2022 Estimate | 1Q2023 Estimate | 2Q2023 Estimate | FY2023 Estimate | Ann StdDev | DW-stat | acoef | t_stat | p_value | Ljung-Box | Breusch-Godfrey |
|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
| Arizona SRS | Arizona State Retirement System | 47.1 | 1.1 | 25.1 | 8.4 | 8.3 | 9.0 | 36 | 0.74 | 11.3 | 0.67 | 11.3 | 0.72 | 9.7046 | June | -4.7 | 5.1 | 3.7 | 2.8 | 6.8 | 8.4 | 1.1 | 0.4 | 1.3 | 0.2 | 2.1 | 1.8 | |
| Arkansas TRS | Arkansas Teacher Retirement System | 21.5 | -3.9 | 31.9 | 7.7 | 8.0 | 9.3 | 13 | 0.89 | 12.7 | 0.64 | 12.6 | 0.63 | 6.5527 | June | -5.5 | 7.0 | 4.2 | 3.1 | 8.6 | 11.0 | 1.5 | 0.2 | 0.7 | 0.5 | 2.9 | 2.7 | |
| CalPERS | California Public Employees Retirement Fund | 439.4 | -6.1 | 21.3 | 6.1 | 6.7 | 7.8 | 12 | 0.82 | 9.9 | 0.70 | 10.0 | 0.74 | 29.6432 | June | -5.3 | 5.8 | 4.9 | 3.4 | 8.7 | 8.3 | 1.1 | 0.4 | 1.3 | 0.2 | 1.6 | 1.8 | |
| CalSTRS | California State Teachers Retirement System | 300.1 | -1.3 | 27.2 | 9.3 | 8.7 | 9.5 | 16 | 0.81 | 11.2 | 0.73 | 11.7 | 0.75 | 24.4972 | June | -4.9 | 5.2 | 4.3 | 3.6 | 8.2 | 8.7 | 1.1 | 0.4 | 1.4 | 0.2 | 2.2 | 2.1 | |
| Connecticut TRS | Connecticut State Teachers Retirement System | 21.6 | -7.8 | 24.3 | 5.3 | 5.8 | 7.3 | 12 | 0.61 | 10.4 | 0.62 | 10.6 | 0.65 | 6.5650 | June | -5.5 | 7.0 | 4.8 | 3.2 | 9.4 | 9.2 | 1.5 | 0.2 | 0.6 | 0.6 | 3.1 | 3.5 | |
| Florida RS | Florida Retirement System | 180.2 | -6.3 | 29.5 | 7.7 | 7.7 | 8.6 | 10 | 0.83 | 11.3 | 0.70 | 11.6 | 0.73 | 18.9856 | June | -4.8 | 6.0 | 4.8 | 4.4 | 10.4 | 10.0 | 1.4 | 0.2 | 0.8 | 0.4 | 2.9 | 3.1 | |
| Georgia TRSGA | Teachers Retirement System of Georgia | 87.1 | -12.8 | 29.2 | 5.9 | 6.7 | 8.1 | 0 | 0.73 | 11.3 | 0.69 | 12.1 | 0.73 | 13.2002 | June | -5.9 | 7.9 | 6.5 | 5.5 | 14.1 | 11.0 | 1.5 | 0.2 | 0.6 | 0.6 | 2.8 | 3.9 | |
| Hawaii ERS | Employees Retirement System of the State of Hawaii | 21.9 | 3.7 | 26.6 | 10.0 | 8.7 | 9.0 | 14 | 0.64 | 11.1 | 0.66 | 11.7 | 0.67 | 6.6236 | June | -5.2 | 5.0 | 3.0 | 1.9 | 4.5 | 8.4 | 1.1 | 0.4 | 1.4 | 0.2 | 1.6 | 1.3 | |
| Idaho PERS | Public Employee Retirement System of Idaho | 19.4 | -9.5 | 27.9 | 6.1 | 7.1 | 7.8 | 8 | 0.83 | 11.3 | 0.64 | 11.8 | 0.71 | 6.2232 | June | -5.9 | 7.2 | 5.6 | 4.4 | 11.2 | 10.0 | 1.6 | 0.2 | 0.6 | 0.6 | 3.9 | 4.7 | |
| Illinois SERS | State Employees' Retirement System of Illinois | 22.2 | -6.3 | 25.8 | 7.2 | 7.3 | 8.4 | 9 | 0.41 | 10.3 | 0.72 | 10.9 | 0.75 | 6.6670 | June | -4.8 | 6.2 | 5.0 | 4.3 | 10.7 | 9.3 | 1.2 | 0.3 | 1.0 | 0.3 | 2.1 | 2.3 | |
| Illinois TRS | Teachers' Retirement System of The State of Illinois | 62.8 | -1.2 | 25.5 | 7.7 | 7.3 | 8.2 | 16 | 0.43 | 10.6 | 0.67 | 10.7 | 0.66 | 11.2101 | June | -5.0 | 5.8 | 3.7 | 2.5 | 6.8 | 8.6 | 1.3 | 0.3 | 1.1 | 0.3 | 2.2 | 2.0 | |
| Illinois Universities | State Universities Retirement System of Illinois | 22.5 | -1.4 | 23.8 | 7.8 | 7.5 | 8.3 | 14 | 0.44 | 10.5 | 0.67 | 10.7 | 0.71 | 6.7117 | June | -5.0 | 5.1 | 3.8 | 2.6 | 6.3 | 8.2 | 1.2 | 0.4 | 1.3 | 0.2 | 1.9 | 1.8 | |
| Iowa PERS | Iowa Public Employees' Retirement System | 40.2 | -3.9 | 29.6 | 8.8 | 8.5 | 8.6 | 21 | 0.91 | 11.5 | 0.67 | 12.3 | 0.72 | 8.9657 | June | -5.8 | 5.9 | 4.6 | 3.7 | 8.3 | 9.2 | 1.4 | 0.3 | 0.9 | 0.4 | 3.6 | 3.5 | |
| Kansas PERS | Kansas Public Employees Retirement System | 24.5 | -4.7 | 26.3 | 7.1 | 7.4 | 8.5 | 0 | 0.70 | 11.0 | 0.69 | 11.1 | 0.70 | 6.9960 | June | -5.4 | 6.1 | 4.5 | 3.5 | 8.6 | 9.2 | 1.3 | 0.3 | 1.0 | 0.3 | 2.5 | 2.5 | |
| Kentucky TRS | Teachers Retirement System of the State of Kentucky | 22.9 | -10.9 | 29.9 | 7.0 | 7.5 | 8.8 | 8 | 0.56 | 11.6 | 0.74 | 11.6 | 0.78 | 6.7676 | June | -4.8 | 6.4 | 5.8 | 5.8 | 13.4 | 11.2 | 1.4 | 0.2 | 0.7 | 0.5 | 2.5 | 3.2 | |
| LA County ERS | Los Angeles County Employees Retirement Association | 70.3 | 0.1 | 25.2 | 8.5 | 8.2 | 8.6 | 18 | 0.84 | 10.7 | 0.67 | 11.0 | 0.70 | 11.8566 | June | -5.0 | 5.2 | 3.6 | 2.5 | 6.1 | 8.0 | 1.1 | 0.4 | 1.3 | 0.2 | 2.5 | 2.2 | |
| Los Angeles FPPS | Los Angeles City Fire and Police Pension System | 25.3 | -7.2 | 32.6 | 8.2 | 8.0 | 8.8 | 17 | 0.97 | 11.7 | 0.71 | 12.2 | 0.73 | 7.1075 | June | -4.9 | 6.5 | 5.1 | 5.0 | 11.6 | 10.9 | 1.5 | 0.2 | 0.6 | 0.5 | 3.1 | 3.2 | |
| Louisiana TRSL | Louisiana State Teachers Retirement System | 25.1 | -7.7 | 36.4 | 8.5 | 8.8 | 9.8 | 0 | 0.72 | 13.6 | 0.68 | 13.7 | 0.71 | 7.0783 | June | -5.7 | 7.9 | 5.8 | 5.5 | 13.7 | 12.4 | 1.6 | 0.2 | 0.6 | 0.6 | 3.4 | 3.4 | |
| Maryland PERS | Maryland State Retirement and Pension System - Employees Combined System | 21.4 | -3.0 | 26.7 | 8.4 | 7.9 | 7.8 | 22 | 0.72 | 9.8 | 0.71 | 10.4 | 0.76 | 6.5466 | June | -4.1 | 4.2 | 3.6 | 3.7 | 7.4 | 8.3 | 1.3 | 0.3 | 1.0 | 0.3 | 2.7 | 2.6 | |
| Maryland TRPS | Maryland State Retirement and Pension System - Teachers Combined System | 39.1 | -3.0 | 26.3 | 8.3 | 7.9 | 7.8 | 22 | 0.79 | 9.7 | 0.71 | 10.3 | 0.76 | 8.8460 | June | -4.1 | 4.2 | 3.6 | 3.7 | 7.4 | 8.2 | 1.3 | 0.3 | 1.0 | 0.3 | 2.7 | 2.6 | |
| Massachusetts SERS | Massachusetts State Retirement System | 34.1 | -3.0 | 30.0 | 8.9 | 8.6 | 9.2 | 18 | 0.78 | 11.5 | 0.70 | 11.9 | 0.73 | 8.2621 | June | -4.9 | 5.7 | 4.3 | 4.0 | 9.0 | 9.5 | 1.3 | 0.3 | 1.0 | 0.3 | 3.0 | 2.8 | |
| Massachusetts TRS | Massachusetts Teachers Retirement System | 35.4 | -3.0 | 30.0 | 8.9 | 8.6 | 9.2 | 18 | 0.62 | 11.5 | 0.70 | 11.9 | 0.73 | 8.4125 | June | -4.9 | 5.7 | 4.3 | 4.0 | 9.0 | 9.5 | 1.3 | 0.3 | 1.0 | 0.3 | 3.0 | 2.8 | |
| Minnesota GERF | Minnesota General Employees Retirement Plan | 28.6 | -6.4 | 30.3 | 8.3 | 8.5 | 9.4 | 8 | 0.87 | 12.0 | 0.73 | 12.1 | 0.76 | 7.5614 | June | -5.0 | 5.9 | 5.1 | 4.9 | 10.9 | 10.4 | 1.3 | 0.3 | 0.9 | 0.4 | 2.7 | 2.9 | |
| Minnesota TRA | Teachers Retirement Association of Minnesota | 25.6 | -6.4 | 30.3 | 8.3 | 8.5 | 9.4 | 0 | 0.76 | 12.0 | 0.73 | 12.1 | 0.76 | 7.1549 | June | -5.0 | 5.9 | 5.1 | 4.9 | 10.9 | 10.4 | 1.3 | 0.3 | 0.9 | 0.4 | 2.7 | 2.9 | |
| Mississippi PERS | Public Employees Retirement System of Mississippi | 30.8 | -8.5 | 32.7 | 7.9 | 8.0 | 9.0 | 13 | 0.60 | 12.3 | 0.69 | 12.8 | 0.74 | 7.8474 | June | -5.2 | 7.2 | 5.8 | 5.6 | 13.5 | 11.3 | 1.5 | 0.2 | 0.6 | 0.5 | 3.2 | 3.5 | |
| Missouri PSRS | Public School Retirement System of Missouri | 47.7 | -3.0 | 28.7 | 9.1 | 8.6 | 9.1 | 23 | 0.86 | 11.1 | 0.72 | 11.7 | 0.77 | 9.7643 | June | -4.6 | 5.3 | 4.5 | 4.2 | 9.3 | 9.0 | 1.2 | 0.3 | 1.2 | 0.3 | 2.8 | 2.8 | |
| Nevada PERS | Public Employees Retirement System of Nevada - Regular Employees Plan | 41.9 | -5.1 | 27.3 | 9.0 | 8.8 | 9.2 | 0 | 0.75 | 10.8 | 0.77 | 11.8 | 0.81 | 9.1588 | June | -5.0 | 5.4 | 5.2 | 5.0 | 10.7 | 8.8 | 1.1 | 0.4 | 1.4 | 0.2 | 2.4 | 2.8 | |
| New Jersey PERS | Public Employees Retirement System of New Jersey | 32.6 | -7.9 | 28.6 | 6.2 | 6.8 | 7.8 | 13 | 0.46 | 11.1 | 0.65 | 11.1 | 0.68 | 8.0707 | June | -5.1 | 6.5 | 4.7 | 3.9 | 10.1 | 10.2 | 1.6 | 0.2 | 0.5 | 0.6 | 3.3 | 3.5 | |
| New Jersey Police and Fire | The Police and Firemens Retirement System of New Jersey | 30.7 | -7.9 | 28.6 | 6.2 | 6.8 | 7.8 | 13 | 0.63 | 11.1 | 0.65 | 11.1 | 0.68 | 7.8369 | June | -5.1 | 6.5 | 4.7 | 3.9 | 10.1 | 10.2 | 1.6 | 0.2 | 0.5 | 0.6 | 3.3 | 3.5 | |
| New Jersey Teachers | Teachers Pension and Annuity Fund of New Jersey | 24.6 | -7.9 | 28.6 | 6.2 | 6.8 | 7.8 | 13 | 0.32 | 11.1 | 0.65 | 11.1 | 0.68 | 7.0200 | June | -5.1 | 6.5 | 4.7 | 3.9 | 10.1 | 10.2 | 1.6 | 0.2 | 0.5 | 0.6 | 3.3 | 3.5 | |
| New York City ERS | New York City Employees' Retirement System | 85.9 | -8.7 | 26.6 | 6.2 | 6.9 | 8.0 | 8 | 0.93 | 10.9 | 0.68 | 11.3 | 0.73 | 13.1077 | June | -5.4 | 6.7 | 5.4 | 4.4 | 11.1 | 9.6 | 1.4 | 0.2 | 0.8 | 0.5 | 3.1 | 3.8 | |
| New York City Police | New York Police Pension Fund Article 2 | 47.0 | -6.7 | 26.7 | 7.4 | 7.9 | 8.8 | 10 | 0.96 | 11.1 | 0.72 | 11.4 | 0.77 | 9.6998 | June | -5.2 | 5.9 | 5.2 | 4.6 | 10.5 | 9.2 | 1.2 | 0.3 | 1.1 | 0.3 | 2.9 | 3.3 | |
| New York City TRS | Teachers Retirement System of the City of New York | 64.0 | -9.4 | 25.1 | 6.0 | 6.8 | 8.1 | 17 | 0.81 | 10.6 | 0.71 | 11.0 | 0.76 | 11.3145 | June | -5.4 | 6.5 | 5.7 | 4.8 | 11.5 | 9.4 | 1.3 | 0.3 | 0.9 | 0.4 | 2.8 | 3.7 | |
| New York STRS | New York State Teachers Retirement System | 132.0 | -7.1 | 29.0 | 7.4 | 7.7 | 9.0 | 12 | 0.99 | 11.3 | 0.73 | 11.7 | 0.76 | 16.2459 | June | -4.8 | 6.7 | 5.4 | 4.9 | 12.3 | 9.8 | 1.3 | 0.3 | 0.9 | 0.4 | 3.1 | 3.5 | |
| North Carolina LGERS | North Carolina Local Governmental Employees Retirement System | 29.9 | -7.3 | 19.1 | 4.8 | 5.7 | 6.7 | 6 | 0.84 | 9.1 | 0.65 | 9.3 | 0.71 | 7.7378 | June | -5.4 | 6.0 | 4.8 | 2.9 | 8.2 | 7.6 | 1.3 | 0.3 | 1.0 | 0.3 | 2.3 | 3.1 | |
| North Carolina TSERS | Teachers and State Employees Retirement System of North Carolina | 78.7 | -7.3 | 19.1 | 4.8 | 5.7 | 6.7 | 6 | 0.84 | 9.1 | 0.65 | 9.3 | 0.71 | 12.5483 | June | -5.4 | 6.0 | 4.8 | 2.9 | 8.2 | 7.6 | 1.3 | 0.3 | 1.0 | 0.3 | 2.3 | 3.1 | |
| Ohio STRS | School Employees Retirement System of Ohio | 80.9 | -3.7 | 29.2 | 8.7 | 8.5 | 9.3 | 0 | 0.79 | 11.5 | 0.72 | 11.8 | 0.75 | 12.7170 | June | -4.7 | 5.5 | 4.5 | 4.2 | 9.4 | 9.4 | 1.2 | 0.3 | 1.1 | 0.3 | 3.0 | 3.0 | |
| Oklahoma TRS | Teachers' Retirement System of Oklahoma | 22.1 | -9.5 | 33.0 | 6.6 | 7.0 | 9.0 | 9 | 0.81 | 12.7 | 0.68 | 12.5 | 0.69 | 6.6411 | June | -5.1 | 7.9 | 5.6 | 5.0 | 13.5 | 12.7 | 1.5 | 0.2 | 0.5 | 0.6 | 2.2 | 2.3 | |
| Oregon PERS | Oregon Public Employees Retirement System | 83.8 | 6.3 | 25.5 | 10.3 | 9.4 | 9.3 | 26 | 0.85 | 10.9 | 0.70 | 11.0 | 0.69 | 12.9437 | June | -4.7 | 3.2 | 2.0 | 1.4 | 1.8 | 7.6 | 0.9 | 0.5 | 1.7 | 0.1 | 1.3 | 1.0 | |
| Pennsylvania PSERS | Public School Employees Retirement System of Pennsylvania | 70.5 | 2.3 | 24.6 | 8.8 | 8.5 | 7.9 | 16 | 0.61 | 10.3 | 0.63 | 10.5 | 0.68 | 11.8767 | June | -5.0 | 3.7 | 2.6 | 1.9 | 2.9 | 7.3 | 1.2 | 0.4 | 1.3 | 0.2 | 2.7 | 2.2 | |
| San Francisco SFERS | San Francisco City & County Employees' Retirement System | 32.8 | -2.8 | 33.7 | 10.0 | 9.9 | 9.9 | 33 | 0.92 | 13.2 | 0.67 | 13.6 | 0.72 | 8.0992 | June | -5.8 | 6.7 | 5.0 | 4.3 | 10.1 | 10.5 | 1.3 | 0.3 | 0.9 | 0.4 | 3.1 | 2.8 | |
| South Carolina RS | South Carolina Retirement System | 32.2 | -0.9 | 28.6 | 7.8 | 7.4 | 7.5 | 24 | 0.57 | 11.5 | 0.55 | 11.9 | 0.60 | 8.0265 | June | -5.5 | 6.2 | 3.3 | 1.8 | 5.5 | 9.3 | 1.6 | 0.2 | 0.5 | 0.6 | 3.0 | 2.5 | |
| Texas TRS | Teacher Retirement System of Texas | 184.2 | -2.3 | 27.3 | 8.2 | 8.0 | 8.4 | 16 | 0.76 | 10.8 | 0.68 | 11.1 | 0.70 | 19.1930 | June | -5.0 | 4.8 | 3.6 | 3.2 | 6.5 | 8.7 | 1.3 | 0.3 | 1.0 | 0.3 | 3.4 | 3.1 | |
| Tennessee STRP | Tennesee State and Teachers' Retirement Plan | 31.7 | -3.6 | 25.6 | 8.3 | 8.1 | 8.4 | 18 | 1.22 | 10.4 | 0.71 | 11.2 | 0.78 | 7.9575 | June | -4.9 | 5.3 | 4.7 | 4.1 | 9.2 | 8.1 | 1.2 | 0.4 | 1.2 | 0.2 | 3.1 | 3.3 | |
| Univ of California UCRP | University of California Retirement Plan | 81.4 | -10.8 | 30.5 | 5.8 | 6.2 | 7.6 | 11 | 0.79 | 11.5 | 0.63 | 11.8 | 0.66 | 12.7615 | June | -5.6 | 7.5 | 5.3 | 4.5 | 11.6 | 11.4 | 1.7 | 0.1 | 0.2 | 0.8 | 3.4 | 3.8 | |
| Virginia RS | Virginia Retirement System | 97.4 | 0.6 | 27.5 | 9.2 | 8.3 | 8.7 | 19 | 0.85 | 10.7 | 0.69 | 11.3 | 0.69 | 13.9546 | June | -4.9 | 4.9 | 3.3 | 2.6 | 5.7 | 8.2 | 1.2 | 0.4 | 1.2 | 0.2 | 2.8 | 2.4 | |
| Washington PERS 23 | Washington Public Employees Retirement System | 58.9 | 5.4 | 28.7 | 12.0 | 10.9 | 10.4 | 29 | 1.07 | 12.0 | 0.71 | 12.7 | 0.76 | 10.8487 | June | -5.1 | 3.8 | 3.2 | 2.7 | 4.5 | 7.9 | 0.9 | 0.5 | 1.9 | 0.1 | 1.9 | 1.5 | |
| 60-40 Global Bmk | 60-40 Global Benchmark | 0.0 | -13.4 | 22.3 | 3.9 | 5.0 | 6.1 | 9.6 | 0.60 | 9.6 | 0.60 | 5.0000 | June | -6.0 | 6.6 | 5.6 | 3.4 | 9.4 | 9.5 | 1.5 | 0.1 | 0.4 | 0.7 | 2.3 | 3.7 |
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*Standard deviation estimates are based on historical fund exposures (obtained through dynamic analysis of annual returns) and quarterly returns of risk factors over 10-year trailing window.
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*Sharpe Ratio calculation is based on a) 10-year reported annual returns and b) quarterly standard deviation estimates based on historical fund exposures (obtained through dynamic analysis of annual returns) and quarterly returns of risk factors over 10-year trailing estimation window.
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Annual return data sources:
- Fiscal years 2001-2021. Public Plans Data. Center for Retirement Research at Boston College, MissionSquare Research Institute, National Association of State Retirement Administrators, and the Government Finance Officers Association.
- Fiscal year 2022: Pension funds’ annual reports.
Disclaimer
Some statistics on this page are based on exposure estimates obtained through quantitative analysis and, beyond any public information, MPI does not claim to know or insinuate what the actual strategy, positions or holdings of the funds are, nor are we commenting on the quality or merits of the strategies. Deviations between our analysis and the actual holdings and/or management decisions made by funds are expected and inherent in any quantitative analysis. MPI makes no warranties or guarantees as to the accuracy of this statistical analysis, nor does it take any responsibility for investment decisions made by any parties based on this analysis.
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