Office of Program Policy Analysis and Government Accountability
Office of Program Policy Analysis and Government Accountability

While State Board of Administration Investments Perform Relatively Well, the SBA Should Reassess Planned Expansion of Alternative Investments

Report 02-37, June 2002




Report Summary

  • The Florida State Board of Administration's (SBA) overall performance in investing Florida Retirement System assets exceeded its objective over long-term periods covering the last 20 years. However, it did not meet its investment objective in Fiscal Year 2000‑01, primarily as a result of declines in the domestic and international stock markets. Its allocation of assets to various asset classes was within the ranges established in its long-term investment plan.
  • The investment returns for most of the SBA's asset classes (domestic and international equities, fixed income, cash equivalents) exceeded or were close to their performance benchmarks. However, the alternative investment asset class, which consists of private equity portfolios and a venture capital portfolio, significantly under-performed its benchmark. Due to concerns regarding lower than expected performance and high management costs, the SBA should reassess its plan to expand the use of alternative investments in the future.
  • The SBA experienced a realized loss of $281 million due to investments in Enron stock by one external active style domestic equity investment manager, Alliance Capital. It recently selected law firms to represent it in litigation against this company. The Florida Attorney General's Office is also investigating Alliance Capital and its investment decisions relating to investing in Enron stock. It is OPPAGA's general policy to not directly comment on or make recommendations regarding matters that are subject to civil litigation or active criminal investigations. However, we will report on the outcome of these actions in future reports.


Related Reports
  1. During Fiscal Years 2016 Through 2018, Major SBA Fund Returns Exceeded Market-Based Investment Benchmarks Over the Long Term
    Report 19-04 March 2019
  2. Over the Long-term, Major SBA Fund Returns Exceeded Market-Based Investment Benchmarks; FRS Pension Fund Multi-Year Performance Similar to Other States.
    Report 16-06 November 2016
  3. FRS Pension Plan Investment Returns Are Similar to Other Public Pension Funds; SBA Continues to Increase Alternative Investments
    Report 15-05 March 2015
  4. FRS Pension Plan Investment Returns Are Similar to Those of Other States; SBA Is Increasing Alternative Investments
    Report 13-05 February 2013
Copies of this report in print or alternate accessible format may be obtained by email OPPAGA@oppaga.fl.gov, telephone (850) 488-0021, or mail 111 W. Madison St., Room 312 Tallahassee, FL 32399-1475.
Copies of this report in print or alternate accessible format may be obtained by email OPPAGA@oppaga.fl.gov, telephone (850) 488-0021, or mail 111 W. Madison St., Room 312 Tallahassee, FL 32399-1475.
economic development, labor, investments, performance, investment results, asset classes, domestic equities, international equities, fixed income, real estate, alternative investments, cash, florida retirement system, total fund investment plan, retirement plan, asset allocations