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Office of Program Policy Analysis and Government Accountability

Performance Audit of the 1991-92 Investment Report of the State Board of Administration , Report No. 12175, October 1993

  • The 1991-92 Investment Report did not indicate that the SBA's annualized total fund performance exceeded the Investment Plan's long-term investment performance objective for fiscal year 1991-92. We determined that the SBA's performance was slightly lower than its long-term objective over the 5-year and 19-year periods (9.65% and 9.84%), but it exceeded the long-term objective over the 10-year and 15-year periods (14.98% and 10.22%). Although not reported, the SBA's return rate has exceeded the assumed actuarial rate of return (8%) over a 19-year period.
  • The 1991-92 Investment Report also does not indicate that for the first time, the reported performance for each asset class is on a performance basis as compared to an asset basis used in past reports. Our review and comparison of the rates of return by asset class on a performance basis and asset basis indicates the change in methods did not cause major differences in the return rates reported for each asset class, but did result in some shifts in certain multi-year periods. Also, during fiscal year 1991-92, the percentage of Florida Retirement System Trust Fund (FRSTF) assets invested in the various asset classes were not within the established range requirements of the FRS Total Fund Investment Plan. The percent of fixed income assets was above the established range during part of the fiscal year, and the percent of real estate assets was below the established range for the entire fiscal year. However, these deviations were not reported to the Board as required by the Investment Plan.
  • The 1991-92 Investment Report did not accurately represent the dollar amount and percentage of FRSTF assets invested in the fixed income and cash equivalents asset class. Percentages shown are in error by approximately 3%. The SBA has not developed specific definitions and written guidelines for its staff to use in classifying various types of securities into each asset class.
  • The 1991-92 Investment Report shows $270,653 as management fees paid to external managers for investing short-term assets of the FRSTF. During the fiscal year 1991-92, a new external manager was contracted with to manage the short-term assets of the external fixed income managers. The fees paid to this manager ($585,000) were not disclosed in the Investment Report.

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