FRANKFORT, KY – The Kentucky Public Pensions Authority (KPPA) announced that the average composite return for pension assets under management was 10.7% for the fiscal year ended June 30, 2024, while insurance trust assets under management earned 11.4%.
All pension and insurance portfolios returned significantly more than their actuarial assumed rates of return, which are 6.5% for all County Employees Retirement System (CERS) pension and insurance portfolios and the Kentucky Employees Retirement System (KERS) and State Police Retirement System (SPRS) insurance trusts, 6.25% for the KERS Hazardous pension portfolio, and 5.25% for the KERS Nonhazardous and SPRS pension portfolios.
The CERS Nonhazardous and Hazardous pension and insurance portfolios returned an average of 11.7% during the fiscal year. Kentucky Retirement Systems (KRS) pension and insurance portfolios returned an average of 10.6%. KRS comprises the pension and insurance plans for KERS Nonhazardous and Hazardous employees and SPRS.
That performance also bested the median return of an index of large public pension funds. The median return for the Wilshire Trust Universe Comparison Service (TUCS) peer group of public pension funds with more than $1 billion in assets was 10.5% for year ended June 30, 2024.
This is the second consecutive year that CERS and KRS pension and insurance portfolio returns have neared or exceeded 10%. Investment returns, General Fund appropriations authorized by the Legislature, and employer contributions boosted total assets in the systems operated by KPPA increased to a record $26.9 billion in Fiscal Year (FY) 2024, an increase of $3 billion in the year since June 30, 2023.
“Our disciplined investment strategy and focus on diversification continue to produce strong risk adjusted performance for the systems and participants,” said Steve Willer, KPPA Chief Investment Officer.
Over 10-, 20-, and 30-year periods, all system pension and insurance portfolio returns exceed their actuarial assumed rates of return, and either nearly meet or exceed their benchmarks.
Considering the level of risk in each portfolio, all system pension and insurance portfolios are in the top 10% of peer public pension funds in terms of Sharpe ratio over the most recent five-year period. The Sharpe ratio measures how much investment return a portfolio earns compared to how much risk is in the portfolio.
For more detailed information about FY 2024 returns, including breakouts of individual CERS, KERS, and SPRS funds and asset classes, please visit the Monthly Performance Reports page in the Investments section of KPPA’s website. For more in-depth analysis, including performance attribution, economic conditions, and risk and return versus peers, please see the August 21, 2024 KRS Investment Committee materials and the August 28, 2024 CERS Investment Committee materials in KPPA’s About section on the website under Board Committees. For further information about individual asset classes, consult each system’s Investment Policy Statement. For more information about the systems’ investments generally, visit the Investments section of our website.
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The Kentucky Public Pensions Authority is responsible for the investment of funds and administration of pension and health insurance benefits for over 433,000 active and retired state and local government employees, state police officers, and nonteaching staff of local school boards and regional universities.
Visit our website at https://kyret.ky.gov