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.
|
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.