If you have a few minutes to rot your brain, go check out the December report from Kentucky Retirement Systems.
Click here for the external PDF directly from KRS.
What you’ll notice? A 0.69% underperformance of the $11 billion pension fund cost more than $76 million. The underperformance in insurance was larger, but with fewer assets, cost $33 million. That’s an estimate of $109 million for calendar year 2012.
If KRS investments had met their performance benchmarks, its coffers would hold $109 million more in assets.
So much much of this was from losers like Commerce Street? And how much from the 27% funded KERS – which maintained higher cash levels (because more cash had to be maintained, as more was going out than coming in)?
CERS could have had benchmark returns and KERS much lower. Since they’re co-mingled, we’ll never really know.