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MPI Pension Tracker

Name	Pension	MPI360 Report	AUM ($B)	2022 return	2021 return	3Y return	5Y return	10Y return	Private Equity	Funded Ratio (GASB67)	Risk 10Y (Historical)	Sharpe Ratio 10 Y (Historical)	Risk (Current)	Sharpe Ratio 10Y (Current)	Assets	Fiscal Year-end
Arizona SRS	Arizona State Retirement System		48.2	1.1	25.1	8.4	8.3	9.0	26	0.79	11.2	0.7	10.2	0.67	9.8184	June
Arkansas TRS	Arkansas Teacher Retirement System		21.4	-3.9	31.9	7.7	8.0	9.3	12	0.89	12.8	0.7	12.3	0.64	6.5422	June
CalPERS	California Public Employees Retirement Fund	PDF	477.3	-6.1	21.3	6.1	6.7	7.8	8		9.7	0.7	8.8	0.72	30.8966	June
CalSTRS	California State Teachers Retirement System	PDF	310.2	-1.3	27.2	9.3	8.7	9.5	12	0.87	11.2	0.7	11.7	0.76	24.9078	June
Florida RS	Florida Retirement System	PDF	202.0	-6.3	29.5	7.7	7.7	8.6	9	0.96	11.2	0.7	10.9	0.71	20.0998	June
Georgia TRSGA	Teachers Retirement System of Georgia	PDF	102.1	-12.8	29.2	5.9	6.7	8.1	0	0.92	10.9	0.7	10.8	0.77	14.2899	June
Idaho PERS	Public Employee Retirement System of Idaho		21.8	-9.5	27.9	6.1	7.1	7.8	6	1.00	11.3	0.7	11.0	0.71	6.6030	June
Illinois SERS	State Employees' Retirement System of Illinois		23.8	-6.3	25.8	7.2	7.3	8.4	7	0.42	10.2	0.7	9.9	0.74	6.8993	June
Illinois TRS	Teachers' Retirement System of The State of Illinois		64.2	-1.2	25.5	7.7	7.3	8.2	16	0.45	10.6	0.6	10.0	0.65	11.3314	June
Iowa PERS	Iowa Public Employees' Retirement System		42.8	-3.9	29.6	8.8	8.5	8.6	18	1.01	11.5	0.7	11.5	0.71	9.2520	June
Kansas PERS	Kansas Public Employees Retirement System		25.2	-4.7	26.3	7.1	7.4	8.5	0	0.76	11.0	0.7	10.3	0.69	7.0993	June
Kentucky TRS	Teachers Retirement System of the State of Kentucky		25.9	-10.9	29.9	7.0	7.5	8.8	6	0.66	11.4	0.8	10.8	0.79	7.1972	June
LA County ERS	Los Angeles County Employees Retirement Association		73.0	0.1	25.2	8.5	8.2	8.6	13	0.91	10.6	0.7	10.0	0.68	12.0830	June
Louisiana TRSL	Louisiana State Teachers Retirement System		27.7	-7.7	36.4	8.5	8.8	9.8	0	0.84	13.9	0.7	13.8	0.70	7.4431	June
Maryland PERS	Maryland State Retirement and Pension System - Employees Combined System		22.5	-3.0	26.3	8.3	7.9	7.8	17	0.77	9.7	0.7	9.5	0.73	6.7082	June
Maryland TRPS	Maryland State Retirement and Pension System - Teachers Combined System		41.1	-3.0	26.3	8.3	7.9	7.8	16	0.85	9.7	0.7	9.5	0.73	9.0664	June
Massachusetts SERS	Massachusetts State Retirement System		36.0	-3.0	30.0	8.9	8.6	9.2	14	0.78	11.6	0.7	11.3	0.71	8.4853	June
Massachusetts TRS	Massachusetts Teachers Retirement System		37.0	-3.0	30.0	8.9	8.6	9.2	14	0.62	11.6	0.7	11.3	0.71	8.6023	June
Minnesota GERF	Minnesota General Employees Retirement Plan		28.5	-6.4	30.3	8.3	8.5	9.4	8	0.87	11.8	0.7	11.2	0.75	7.5498	June
Mississippi PERS	Public Employees Retirement System of Mississippi		35.2	-8.5	32.7	7.9	8.0	9.0	9	0.70	12.4	0.7	12.3	0.72	8.3905	June
Missouri PSRS	Public School Retirement System of Missouri		50.6	-3.0	28.7	9.1	8.6	9.1	19	0.96	10.9	0.7	10.7	0.75	10.0598	June
Nevada PERS	Public Employees Retirement System of Nevada - Regular Employees Plan		45.0	-5.1	27.3	9.0	8.8	9.2	0		10.5	0.8	10.6	0.80	9.4868	June
New Jersey PERS	Public Employees Retirement System of New Jersey		35.7	-7.9	28.6	6.2	6.8	7.8	13	0.52	11.2	0.7	10.7	0.68	8.4499	June
New York City ERS	New York City Employees' Retirement System	PDF	85.9	-8.7	26.6	6.2	6.9	8.0	8	0.93	10.8	0.7	10.4	0.71	13.1072	June
New York STRS	New York State Teachers Retirement System	PDF	148.1	-7.1	29.0	7.4	7.7	9.0	11	1.13	11.2	0.7	11.1	0.75	17.2105	June
North Carolina LGERS	North Carolina Local Governmental Employees Retirement System		32.6	-7.3	19.1	4.8	5.7	6.7	5	0.96	8.9	0.7	8.2	0.68	8.0747	June
North Carolina TSERS	Teachers and State Employees Retirement System of North Carolina	PDF	86.3	-7.3	19.1	4.8	5.7	6.7	5	0.95	8.9	0.7	8.2	0.68	13.1377	June
Ohio STRS	State Teachers Retirement System of Ohio	PDF	89.3	-3.7	29.2	8.7	8.5	9.3	0	0.88	11.3	0.7	10.9	0.74	13.3641	June
Oklahoma TRS	Teachers' Retirement System of Oklahoma		22.0	-9.5	33.0	6.6	7.0	9.0	9	0.81	12.8	0.7	12.2	0.67	6.6332	June
Oregon PERS	Oregon Public Employees Retirement System		84.3	6.3	25.5	10.3	9.4	9.3	26	0.88	10.9	0.7	10.0	0.66	12.9846	June
Pennsylvania PSERS	Public School Employees Retirement System of Pennsylvania		71.9	2.3	24.6	8.8	8.5	7.9	16	0.64	10.4	0.6	9.8	0.65	11.9917	June
San Francisco SFERS	San Francisco City & County Employees' Retirement System		35.6	-2.8	33.7	10.0	9.9	9.9	28	1.08	13.2	0.7	13.0	0.72	8.4380	June
South Carolina RS	South Carolina Retirement System		33.4	-0.9	28.6	7.8	7.4	7.5	18	0.61	11.5	0.5	11.9	0.59	8.1731	June
Univ of California UCRP	University of California Retirement Plan	PDF	91.8	-10.8	30.5	5.8	6.2	7.6	9	0.94	11.5	0.6	11.8	0.66	13.5499	June
Virginia RS	Virginia Retirement System	PDF	98.8	0.6	27.5	9.2	8.3	8.7	16	0.89	10.9	0.7	11.5	0.70	14.0570	June
Washington PERS 23	Washington Public Employees Retirement System		59.0	5.4	28.7	12.0	10.9	10.4	26	1.20	12.0	0.7	12.7	0.76	10.8628	June
60-40 Global Bmk	60-40 Global Benchmark		0.0	-13.4	22.3	3.9	5.0	6.1			9.6	0.6	9.6	0.60	0.0000	June

*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.

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*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.

*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.

*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.

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.

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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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