Want an illustration of the dreaded denominator effect? Just take a look at some new numbers from the Pennsylvania Public Employees’ Retirement System (PERS), which last week released its 2009 Supplemental Budget Information. It shows that PERS had a 24.2% exposure to alternative investments at of the end of 2008. This compares to just a 15.6% exposure to alternatives at the end of 2007 (which was already higher than the system’s 14% target allocation).
We asked PERS spokesman Robert Gentzel about the situation, and he replied: “As you noted, the current actual allocation is well above the target. Until it is brought more into line over time, we would expect few, if any, further commitments.”
The PERS document also includes details of fees paid to VC and buyout managers last year, and some fund-specific cash in/cash out information. We’ve posted it all here, in .pdf form (we wanted to use Scribd, but it seems SERS encrypted the file).