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Was it constitutional for Proposition 124 to replace PSPRS' permanent benefit increases with a capped 2% COLA?

In this blog I and multiple commenters have broached the subject of the suspect constitutionality of PSPRS' replacement of the old perma...

Friday, October 31, 2014

2014 Consolidated Actuarial Valuation Reports for PSPRS, CORP, and EORP

PSPRS has officially posted the Fiscal Year 2014 Consolidated Actuarial Valuation Reports for the three pension systems managed by PSPRS.  The reports are in a more user-friendly PDF format than the Board of Trustees' Meeting notes that were referenced in an earlier post.  The report for each system can be found at the following links:
Public Safety Personnel Retirement System (PSPRS) 2014 Annual Actuarial Valuation Report
Corrections Officer Retirement Plan (CORP) 2014 Annual Actuarial Valuation Report
Elected Officials' Retirement Plan (EORP) 2014 Annual Actuarial Valuation Report
Actuarial reports for individual PSPRS employers are not yet available, but funded ratios and employer contribution rates for fiscal year 2016, which starts July 1, 2015, can be found in the appendices.  Funded ratios can be found on Appendix III starting on PDF page 79.  Contribution rates can be found in Appendix IV starting on PDF page 85.

Thursday, October 23, 2014

PSPRS investment returns through August 2014

The following table shows PSPRS' investment returns, gross of fees*, versus the Russell 3000 for August 2014, the second month of the current fiscal year, with the June 2014 returns included for comparison:

Report PSPRS PSPRS Russell 3000 Russell 3000
Date Month End Fiscal YTD Month End Fiscal YTD
6/30/2014 0.78% 13.82% 2.51% 25.22%

7/31/2014 -0.67% -0.67% -1.97% -1.97%
8/30/2014 1.73% 1.05% 4.20% 2.14%

There is usually about a two-month lag in PSPRS reporting its investment returns.  This is usually not a problem, but with such volatile markets, it would be nice to see a shorter reporting time.

If there is a pattern for market returns for the current fiscal year, it is that there is no pattern.  Returns were negative in July and positive in August.  I believe September was another negative month, and who knows how the roller coaster month of October, which has already had several daily swings of 1-2%, will end.

* Returns, gross of fees, are used because PSPRS usually does not report returns, net of fees, except on the final report of the fiscal year.  The past two years fees have reduced the final annual reported return by about one-half of a percent.

Monday, October 20, 2014

Arizona Horror Story: PSPRS' Fiscal Year 2014 actuarial valuation report

Just in time for Halloween PSPRS has released the annual actuarial valuation report for the fiscal year that ended June 30, 2014.  The report is not available as a stand-alone document and, as of now, is only included in the October 22, 2014 Board of Trustees Meeting Materials.  The document is 400 pages long so navigating is easier if it is opened in the Adobe PDF program.  The report by Gabriel Roeder Smith & Company starts on PDF page 161.

Even for the most pessimistic among us, this report is incredibly bad.  From fiscal year 2013 to fiscal year 2014, PSPRS' aggregate funded ratio dropped from 58.7% to 49.2%.  The aggregate contribution rate that will begin next fiscal year increased from 31.03% to 41.08%.  Shockingly, the reversal of SB 1609's changes to the COLA formulation by the Fields case is responsible for dropping the aggregate funded ratio 6.1% and increasing the aggregate contribution rate 7.17%.  For anyone who is hoping that Parker and Hall are successful in their cases against PSPRS and EORP, respectively, this should make you reconsider.  If you want to know where your particular employer stands, go to PDF page 239 to see individual employer funded ratios and PDF page 245 for individual employer contribution rates for fiscal year 2015.  I, for one, will not be counting on a raise next year.  My employer's contribution rate increased by over 15%, which means that for just me, my employer will need to find another $10,000 in the budget to pay for increases in the unfunded liability.

In the last post, we discussed the Phoenix pension reform initiative, Proposition 487.  I am sure the proponents of Proposition 487 will be bringing up PSPRS' bad numbers to help make their case for ending the City of Phoenix's pension.  We will certainly be discussing this report more in the near future.

Sunday, October 19, 2014

Some thoughts about Proposition 487, the pension reform ballot measure in Phoenix

Reporter Dustin Gardiner had an excellent article entitled, "Fact Check: Will Phoenix pension reform save money?," in the October 15, 2014 Arizona Republic.  If passed this November, Proposition 487 would close the city of Phoenix's defined benefit (DB) pension plan to new employees.  New employees would be placed in a defined contribution (DC) retirement plan, like a 401(k), 403(b), or 457(b) plan, while current employees would remain in the DB plan.  The Phoenix DB pension is one of the six major public DB pension plans in Arizona, along with PSPRS, the Corrections Officers Retirement Plan (CORP), the Elected Officials Retirement Plan (EORP), Arizona State Retirement System (ASRS), and the City of Tucson's DB pension.  EORP's DB plan is already closed to new employees.  Last year Tucson had Proposition 201, a ballot measure similar to Proposition 487, ready for the November 2013 ballot, but a lawsuit tied up the measure in the courts and it never went before the voters.  Neither the Phoenix or Tucson measures would affect new public safety employees.

Mr. Gardiner does an excellent job of explaining the financial arguments, and his conclusion as to whether it will save money is "it depends."  The measure includes other money-saving provisions that are not certain to be enforced by the city council and/or are able to withstand any legal challenges.  For the record, the Arizona Republic has officially endorsed Proposition 487.

Proposition 487 will be a good gauge of voter sentiment, so I am very interested to see if and by how much it does or does not pass.  Depending on the result, it also has the potential to lead to some good or bad reforms to PSPRS.  There will be much more to talk about if it does pass.  In the meantime, here are a couple of points:

It's all about the legacy costs.  Despite all the rhetoric, it is virtually impossible that Proposition 487 costs more than it saves in the long run because it permanently ends the open-ended commitment that taxpayers have to City of Phoenix employees/retirees.  With a DC plan, the City ends its financial obligation to an employee once that employee retires, and the City is not subject to unseen costs that could last for decades.

While Tucson voters did not get a chance to vote on pension reform last year, the City of Tucson changed (with virtually no opposition) a retiree benefit four years ago that will permanently save it millions of dollars.  Starting in 2011, the City stopped paying a percentage of the health insurance premiums of non-Medicare-eligible retirees and began paying them a flat subsidy instead.  In the current year, the monthly HMO premium for a retiree, who retired before 2011, and a spouse is $250.  If the same employee had retired in 2011 or later, he would pay $625.  This $4,500 in annual costs, times however many years until he becomes Medicare eligible, is now permanently shifted from the City of Tucson to the employee.  Even more importantly, it makes costs more manageable because now the City can plan and budget for subsidies rather than be at the mercy of unknown future insurance costs that can go significantly higher.

In the same manner, matching contributions by the City of Phoenix into employees' DC accounts can be planned for and budgeted.   They can be increased or decreased depending on prevailing economic conditions, and there are no unforeseen costs waiting in the future to decimate the City's finances.

Current employees provide a benefit to a city.  Roads, buildings, and sewage treatment facilities provide a benefit to a city.  Programs that make a city safer, cleaner, or attract more jobs benefit the city.  Legacy costs for retiree healthcare and pensions do nothing for a city, except make paying for all the other beneficial things more difficult.

Do employees use the power of math for good or evil? According to its 2013 annual report, the City of Phoenix Employees' Retirement System (COPERS) uses a point system where an employee becomes eligible to retire when the combination of his age and years of service equals 80.  Benefits are calculated at 2% per year of their final average salary for up to the first 32.5 years of service with lower multipliers for years past 32.5 years.  Employees contribute 5% of gross pay toward their retirement. Note: COPERS went to a two-tier system some time after the 2013 report. Tier 2 members split the annual contribution to COPERS equally between themselves and the City, making the contributions rates for Tier 2 employees much higher than Tier 1 employees.

With an 80 point minimum, an employee starting at 24 years of age could retire at 52 years of age with an annual retirement benefit of 56% of his final average salary.  I used a spreadsheet to calculate for an employee that started his career at $35,000 per year with 3% wage inflation for each year.  His final high three-year average salary would have been a little over $75,500.  Multiply this by his 28 years of service by the 2% per year multiplier, and you get an annual retirement benefit of $42,280 or about $3,523 per month. 

The spreadsheet got a little more complicated when I calculated his total contributions.  Using the same 3% annual wage inflation with 26 annual pay periods at the 8.0% expected rate of return (ERR) compounded every two weeks, I show the total contributions paid by this employee paying 5% out of each biweekly checks growing to $230,733 when he retired.  (The employee paid a little over $75,000 in real dollars and 28 years of interest took care of the balance.)

An annuity calculation at Bankrate.com shows that this employee would need over $483,000 to get $3,523/month in income using the same expected rate of return of 8%. Even if the City had matched the employee's 5% annual contribution, he would be over $20,000 short of what was necessary to have enough saved to pay the expected lifetime income promised.  However, I think that most people would agree that $20,000 is a reasonable margin of error and would accept the argument that a public DB pension is a fair and feasible benefit that uses professional management and pooled resources to get a better deal than the employee could get investing on his own.

I am sure that the reader see several problems here, most obviously with actuarial assumptions including ERR, life expectancy, and wage inflation.  Changes in these will make all the final numbers change.  This also does not take into account things like spousal death benefits that may add years to the benefit payment and future COLA's.  These actuarial assumptions could, of course, change in a way that is beneficial to the pension's finances, but this is not likely to be the case with the current economy.

A more important point I want to make here regards pension spiking.  Using all the same data, if our hypothetical employee was able to raise his average compensation for his last (high) three years by $10,000, he would raise his final salary to about $86,115 and his retirement benefit to about $48,224 or $4,018 per month.  However, total contributions with interest would only increase by $1,793 from $230,733 to $232,526.  With the employer's 5% matching, we get $465,502 total paid in for this employee.  This is still less than what is required to pay the non-spiked pension, but what is our new annuity calculation?  At 8.0% ERR for 30 years, the cost to purchase an annuity for the spiked pension increases $68,000 to over $551,000.  Spiking the pension by $5,000 per year in the high three years would increase the annuity cost by over $54,000; spiking the pension by $15,000 per year in the high three years would balloon the annuity cost by $118,000.  Just a small change in the employee's final three years of salary makes for big changes in the cost of the employee's retirement.

The unforgiving nature of compound interest shows that there is no shortcut to retirement income.  The math is simple.  You have to save X in order to receive Y over your retired life.  If enough employees lowball X and/or highball Y, you will eventually have a pension system in financial trouble.  When any employee, not just high earners, spikes his pension, he slowly chips away at the foundation of his own retirement system.  Yet those who should be most concerned about pension spiking are doing nothing about it.  How do you stop pension spiking if elected officials show a lack of motivation in dealing with it and employees think that it is okay?

This November we will see if Phoenix voters have an idea.

Thursday, October 16, 2014

PSPRS investment returns through July 2014

The following table shows PSPRS' investment returns, gross of fees*, versus the Russell 3000 for July 2014, the first month of the current fiscal year, with the June 2014 returns included for comparison:

Report PSPRS PSPRS Russell 3000 Russell 3000
Date Month End Fiscal YTD Month End Fiscal YTD
6/30/2014 0.78% 13.82% 2.51% 25.22%

7/31/2014 -0.67% -0.67% -1.97% -1.97%

This fiscal year I have begun using the Russell 3000 instead of the S&P 500 because it is the benchmark that PSPRS uses for its domestic equity portfolio.  The Russell 3000 is a much broader index and, as the name implies, tracks 3,000 stocks.  This compares to the S&P 500 and The Dow Jones Industrial Average, which tracks only 30 stocks.  There is usually about a two-month lag in PSPRS reporting its investment returns.  This is usually not a problem, but with such volatile markets, it would be nice to see a shorter reporting time.

As can be seen, the current fiscal started off badly, but it only represents the first month of the year.  I believe that August was a positive month and September was a negative month.  October has so far been horrible for equities (-5.36% month-to-date), so who knows what the final monthly return will be.  PSPRS' investment staff looks like they are getting a good opportunity to test the effectiveness of their risk/return-balanced strategy.  It should be an interesting year.

* Returns, gross of fees, are used because PSPRS usually does not report returns, net of fee, except on the last report of the fiscal year.  The past two years fees have reduced the final annual reported return by about one-half of a percent.

Monday, October 13, 2014

What are two most important legal issues facing PSPRS, Part I? (Hint: Neither has anything to do with James Hacking or real estate investments)

In the last post I mentioned the Pension Task Force that has been set up by the League of Arizona Cities and Towns ("the League").  I have not had a chance to read every document posted on the Task Force's homepage, but the one that caught my eye and seemed like required reading is titled "Kutak Rock Presentation."  I recognized the Kutak Rock name as that of PSPRS' law firm, so I was hoping there would be some updated information about the still pending Parker v. PSPRS and Hall v. Elected Officials' Retirement Plan (EORP) cases.  The Parker and Hall cases were filed by individuals who were active law enforcement personnel and active judges, respectively, at the time SB 1609 went into effect.  These cases are challenging both the change in COLA calculations for active personnel hired before SB 1609 went into effect, which was the issue resolved when the already retired judge Fields won his case against EORP, and the increase in contribution rates.  In the case of PSPRS, contribution rates have had stepped increases annually starting from 7.65% and will top out at 11.65% next fiscal year.

Unfortunately, there was no updated information about the cases.  This is frustrating since the outcome of these case will financially affect so many of us both now, when it comes to contribution rates, and in the future, when it comes to how our COLA's are calculated.  However, the presentation by Marc R. Lieberman, a partner at Kutak Rock, is still very interesting.  The critical issues it covers are the options available to change the Arizona Constitution with respect to public retirement systems and the principal legal issues involved in the Hall and Parker cases.  In this post we will discuss the options available to change the Arizona Constitution with respect to PSPRS.

Article XXIX of the Arizona Constitution states the following:
Membership in a public retirement system is a contractual relationship that is subject to article II, section 25, and public retirement system benefits shall not be diminished or impaired.
This one sentence is at the heart of all the legal challenges to SB 1609.  Mr. Lieberman breaks the sentence down into two clauses with the first clause being the "Contract Clause" and the second being the "Pension Clause," which I have seen other references to as the "pension protection clause."  The distinction between the two clauses is important because the Contract Clause seems to offer less protection than the Pension Clause.  The Contract Clause was not considered in the Fields case, which relied strictly on the Pension Clause as justification to overturn the COLA formulation changes to the pensions of retired EORP members.  This is important because he writes Article II, section 25 if the Arizona Constitution:
. . . prohibits a government's impairment of contracts ("No . . .  law impairing the obligation of contract, shall ever be enacted").  Despite the fact that the provision appears absolute, the courts have construed Art. II, section 25 as allowing governments to enact legislation impairing contracts if certain elements are satisfied.
He writes that among these certain elements are "significant and legitimate public purpose" and "reasonable and appropriate measure to achieve the public purpose," and in the Fields case:
 the Court emphasized that the Contract Clause pertains to "the general contract provisions of a public retirement plan, while the Pension Clause applies only to public retirement benefits."
 As a result of this dichotomy, the Court held that the Pension Clause "confers additional, independent protection for public retirement benefits separate and distinct from the protection afforded by the Contract Clause."
So there we can see the importance of the Pension Clause.  Mr. Lieberman writes,
Fields confirmed earlier decisions (Yeazell, Thurston) holding that members and retirees have a vested right to rely on benefits promised them at the time of their hire.
The question remaining here is if it was possible that Fields might have lost his case against EORP if the Pension Clause was not in the Constitution.  We will never know since the Contract Clause was not considered in the Fields case, and this would, no doubt, bring in other legal issues and precedents that Mr. Lieberman did not cover in his Powerpoint slides.

Mr. Lieberman mentions two possible changes to the Arizona Constitution which he refers to as consensual and non-consensual changes.  As an example of consensual change he mentions "fire fighter legislation," which I take to mean the ridiculous Professional Fire Fighters of Arizona (PFFA) PSPRS reform proposal.  I wrote about the PFFA proposal in several posts, including here, so I will not go into it further now.  The  most likely option of the non-consensual changes involves simply repealing all or part of Article XXIX of the Arizona Constitution.

Article XXIX is a relatively new addition to the state Constitution, only being ratified by Arizona voters on November 3, 1998.  I suspect that Proposition 100, as it was then labeled on the ballot, would not pass if it were put before the voters now.  Mr. Lieberman brings up the potential for simply repealing the Pension Clause while retaining the Contract Clause of Article XXIX.  This would allow the potential for some type of impairment of pension benefits (like changes to unsustainable COLA's), in what I would assume to be in extreme cases of underfunding and exorbitant contribution rates, but retaining the same protections of any other binding contract in normal circumstances.  This would obviously mean more lawsuits when the Legislature tried to implement changes but would not allow any pension reform to be dismissed out of hand, regardless of PSPRS' financial circumstances, as was done in Fields.  Would Arizona voters approve changes to Article XXIX?  Perhaps the results of Phoenix's pension referendum will give us an idea.

Mr. Lieberman ends his presentation with a great question:
What's more important, preserving the plans' fiscal health for future generations or protecting the pension rights of existing members?
I would add to this my own question about the crucial issue of fairness.  How much (more) financial sacrifice should be made by future (and current younger) generations so that the financial sacrifice of existing or (soon-to-be) retirees is minimized?

The next post will cover the other major issue facing PSPRS.

Saturday, October 11, 2014

A Beginner's Guide to PSPRS and Defined Benefit Pensions

The League of Arizona Cities and Towns ("the League") and the Arizona City/County Management Association (ACMA) and the Government Finance Officers Association of Arizona (GFOAz) has created a Pension Task Force.  Normally, when a committee or task force is formed it is bureaucrat-speak for "let's try and make it look like we are concerned about an issue when we really have no intention of doing anything about it."  However, in this case the League and its partners seem to be serious about their work.

Since June 24, 2014 when the Task Force was initiated, they have held five meetings, which alone indicates a level of urgency and seriousness, but if you go to the Pension Task Force homepage, you can see another surprising thing--there is actually a wealth of information there about PSPRS and defined benefit (DB) pensions that is accessible to the layperson.

This information is available to anyone interested, though you will need Powerpoint software to access some of it.  There are presentations by PSPRS staff, their actuary, and their lawyer, advocacy groups with differing views about DB pensions, and other outside organizations with research and  opinions about DB pensions.

The League and its partners deserve big thanks for the work they are doing both to understand PSPRS and any potential reforms and educate the rest of us.  If you want a crash course in PSPRS and DB pensions, the Task Force homepage is the best place I have seen to get one.

Wednesday, October 8, 2014

Is PSPRS getting value for the investment fees it pays?

PSPRS posted to its website the meeting materials for its Board of Trustees Meeting for September 24-25, 2014.  Included in these materials are the performance figures, net of fees, for the fiscal year that ended on June 30, 2014.  We had previously looked at returns, gross of fees, in this post.  The following table shows the various asset classes, their benchmark returns, returns gross and net of fees, and the percentage of fees paid on each asset class.

Bench Gross Net
Asset Class
Mark Of Fees Of Fees Fees
US Equity 
25.22% 22.32% 21.90% 0.42%
Non-US Equity
21.75% 20.59% 20.35% 0.24%
Private Equity
26.22% 28.18% 26.60% 1.58%
Fixed Income
7.39% 6.29% 6.21% 0.08%
Credit Opportunities
8.59% 11.85% 11.31% 0.54%
Absolute Return
2.05% 9.86% 8.28% 1.58%
3.23% 7.57% 7.51% 0.06%
Real Assets
4.08% 9.86% 8.85% 1.01%
Real Estate
11.21% -0.62% -1.26% 0.64%
Risk Parity
12.07% 10.04% 9.71% 0.33%
Short-term Invest.
0.05% 0.34% 0.27% 0.07%
PSPRS Total Fund
13.82% 13.82% 13.28% 0.54%

As can be seen, fees range from a high of 158 basis points (1.58%) to a low of 6 basis points (0.06%).  A basis point (bp) represents 1/100th of one percent and is a more convenient way to write about interest rates.  I was interested to see if PSPRS was getting its money's worth when it comes to some its alternative investments, which I would classify as those that are most familiar like equity (stocks), fixed income (bonds), short-term investments (cash and equivalents), and real estate.  Following are definitions of those alternative investments from the April 2014 article, Modern Pension Fund Diversification*, which has among its co-authors several PSPRS staff members:
  •  Private Equity (Introduced in July, 2008): Investments in equity or debt (with equity participation) in commingled assets that are generally not traded on public exchanges and usually illiquid in nature. 
  • Credit Opportunities (Introduced in July, 2008): Investments in corporate credit including bank loans, high yield debt, convertible securities, “distressed” corporate debt, mezzanine loans, structured products (such as CLOs and MBS), and other credit-sensitive instruments that may or may not be publicly listed. 
  • Real Assets (Introduced in April, 2009): Investments in energy, core capital assets, special situations, natural resources, infrastructure, commodities, and marketable securities. 
  • Global Tactical Asset Allocation (GTAA) (Introduced in March, 2010): Encompasses strategies that trade across highly diversified and liquid markets utilizing distinct processes to execute their broadly global trading strategies. Strategies within this sub-portfolio include Global Tactical Asset Allocation, Commodity Trading Advisor (CTA), Global Macro, and Multi Asset Strategies. 
  • Absolute Return (Introduced in November, 2010): Consists of management by general partners that do not adhere to specific benchmarks and whose strategies do not neatly fit within another asset classes. 
  • Risk Parity (Introduced in July, 2012): Allocation of capital among major asset classes such as equity, nominal bonds (such as the US Treasuries), inflation linked bonds (such as TIPS), and commodities, based on expected volatility, to capture risk premiums across asset classes.
PSPRS' commitments to these alternative investments range between over $1 billion dedicated to private equity to $282 million dedicated to risk parity.  All total these alternative investments make up 45.32% of PSPRS' total portfolio.  These alternative investments are part of PSPRS' risk/return -balanced investment strategy.

I was curious to see if PSPRS was getting a good return on these alternative investments.  Five of the six classes surpassed their benchmarks with only risk parity missing its benchmark by 236 bps.  Five of the six, including risk parity, surpassed PSPRS' expected rate of return (ERR) of 7.85%, while only GTAA performed below the ERR, though it beat its benchmark by 428 bps.

Among traditional asset classes, only short-term investments surpassed its benchmark by 22 bps.  Total equity (U.S. and non-U.S.), fixed income, and real estate underperformed by 248 bps, 118 bps, and 1247 bps, respectively.  Only total equity beat the ERR, earning 21.20% for the year.

The past year was an incredibly prosperous year so let's push the returns out to a longer period.  Ten years is not helpful since PSPRS had no alternative investments at that time, and at five years out, PSPRS had not yet invested in absolute return, GTAA, or risk parity.  Three years includes all the alternative categories except risk parity so we will have to use the three-year period for some perspective.  The following table shows data for the past three fiscal years.

Bench Gross Net
Asset Class
Mark Of Fees Of Fees Fees
US Equity 
16.46% 14.08% 13.85% 0.23%
Non-US Equity
5.73% 5.70% 5.54% 0.16%
Private Equity
17.46% 16.40% 14.46% 1.94%
Fixed Income
2.57% 4.76% 4.62% 0.14%
Credit Opportunities
7.70% 8.44% 7.89% 0.55%
Absolute Return
2.07% 10.81% 9.54% 1.27%
3.33% 4.84% 4.78% 0.06%
Real Assets
3.84% 5.35% 4.24% 1.11%
Real Estate
11.32% 2.08% 1.54% 0.54%
Risk Parity
Short-term Invest.
0.07% 0.00% -0.05% 0.05%
PSPRS Total Fund
8.84% 8.15% 7.65% 0.50%

It is clear that the three-year returns are not as impressive as the one-year returns.  However, we can still see that among the alternative investments credit opportunities, absolute return, GTAA, and real assets surpassed their benchmarks with two of them beating the ERR of 7.85%.  Private equity missed its benchmark by 300 bps, but it still beat the ERR by 661 bps.  The only traditional investment to surpass its benchmark was fixed income by 205 bps.  Total equity, real estate, and short-term investments underperformed by 142 bps, 978 bps, and 12 bps, respectively.  Total equity at 10.36% was the only traditional investment to beat the ERR.

Unfortunately, three years does not give us a long enough period to analyze.  So far, though, it seems that PSPRS is getting value for the fees it is paying with benchmarks being met in all but the private equity class (and risk parity for a single year).  However, over three years, private equity still beat the returns on U.S., non-U.S., and total equity, in spite of its nearly 2% fee.  Risk parity did not beat the equity returns but still returned more than the ERR with a relatively low fee of 0.33%.  We will need several more years of data to better analyze this, including some down market years, to see if PSPRS is truly getting its money's worth.

*Anderson, Marty and Chen, Shan and Hacking, James and Lundin, Mark and Maleckaite, Vaida and Parham, Ryan and Steed, Mark and Lieberman, Marc and Martin, Allan, Modern Pension Fund Diversification (April 18, 2014). Available at SSRN: http://ssrn.com/abstract=2426593 or http://dx.doi.org/10.2139/ssrn.2426593