尾随回报

作为美国在美国的公共养老金基金中最糟糕的是，这需要一些人。但该国的第11大公共基金的280亿马里兰州国家退休和养老金制度已经设法赢得了不快乐的区别。截至2001年6月30日的财政年度，该基金损失了9.4％，将其放在1000年或最低可能的百分比中，威尔希尔员工的百分比广泛尊重国家最大的公共养老金计划的比较服务。

基金的五年排名略微好转，将其置于92百分位数。但回到另外两年，马里兰州再次推出后方，排名第100百分位数，在去年6月30日七年的年度返回率为10.3％。当然，TUCS Universe并非全包。例如，新泽西州的投资司报告了去年比马里兰州更糟糕的回报。

Still, no one in the state of black-eyed Susans is thrilled about the laggard performance. Laments William Donald Schaefer, the state's comptroller and acting chairman of the pension plan's board of trustees: "Nobody likes coming in last. It's a matter of pride and an insult to the leadership."

它也昂贵，马里兰州支付了陡峭的价格。国家系统为退休计划提供近300,000名员工和退休人员。去年，它占2000年的11亿美元的福利，尽管它仍然提供该国最不慷慨的公共部门福利套餐之一。即便如此，该计划的子宫返回意味着马里兰州可能会在2003财年的4000万美元上迁移到基金的捐款，这是十年的最大增加。这肯定不是立法者或纳税人，希望听到在该州2220亿美元的预算中以5亿美元的赤字摔跤。

现在马里兰州面临着在艰难时刻转向自己的艰巨任务。主要市场处于混乱 - 无明确的资产配置方向。州的计划在2月份突然辞职后缺乏领导者，担任养老金计划董事会主席。南希·科普斯在特殊选举中选择了Trea-Surer的特别选举，被广泛预计将迪克森作为计划的监督员成功，但受托人未安排在6月份选举一个新的主席，将计划无论是多个月的，留下了几个月的计划。虽然预算缺口是为快速解决方案创造政治压力，但养老金计划领导人和州官员分开了需要做的事情。

Where did Maryland go wrong? Start with a big bet on international equities. Under Dixon, a 26-year Merrill Lynch & Co. broker, Maryland stuck with an aggressive and ill-timed bet on global stock markets. In 1996, when he was elected state treasurer and joined the board as vice chairman, the fund's allocation to international stocks was a high 20.5 percent, which included a 3.5 percent allocation to emerging-markets equity (at the time the average large public fund held 9.9 percent in international stocks). By 2001 the allocation had crept up to 21.3 percent in international stocks with nothing in emerging markets. Remarkably, the plan's cap for international stocks got as high as 30 percent in March 2000. Last October the international equity allocation stood at 18.7 percent, still well above the industry average of 12 percent.

与国际股市动荡的过去five years, Maryland's returns suffered despite the fact that the plan's portfolio actually beat its Europe, Australasia and Far East index benchmark by a wide margin. Maryland's average annual returns of 6.5 percent in its international equity portfolio for the past five years surpassed EAFE's 2.9 percent but lagged behind the 14.5 percent for the Standard & Poor's 500 index and 7.48 percent for the Lehman Brothers bond index. "If you want to dissect it, our bigger international equity allocation is a fair explanation for our underperformance versus TUCS," says Peter Vaughn, the Maryland system's executive director.

一些评论家认为，该计划的问题超出了丢失的资产配置。与大多数公共养老金计划不同，马里兰州与大多数公共养老金计划不同，并未将外部投资顾问作为检查其表现。迪克森积极鼓励基金受托人在基金的精算目标上判断他的表现 - 也就是说，每年需要的回报确保基金可以履行其负债 -​​ 而不是金钱管理世界的投资绩效措施。

Indeed, the trustees told the staff in 1996 to stop presenting the TUCS data to the board. "I was very unhappy with the staff not sharing that information with us," says Schaefer, the state comptroller who didn't join the board until 1999. "That was a terrible mistake, and it was just stupid."

马里兰州应该发现自己在这种混乱中是深刻的讽刺意味。直到最后秋天的迪克森被羞辱 - 不是最不重要的 - 作为负责扭转国家基金的拟亚萨沃主人。事实上，迪克森将他的二月辞职归于糖尿病恶化的案例，确实推动了一些重要的变化。他坚持认为，当他们未能击败他们的基准时，积极的货币管理人员将其资金的价值和积极的大型名称组织提供资金的价值和积极的大型名称组织。通过鼓励计划在牛市中间大幅度远足其股权分配，迪克森帮助删除了该计划的不尽责任，该计划于1996年加入董事会时，达到48亿美元，将该计划提供资金80％。到2000年，该州的盈余3.69亿美元，将其在黑人20年提前提前。

That quick turnaround led Dixon, who ruled with a brash self-confidence that inspired resentment as well as respect, to proclaim to a Baltimore Sun reporter in 2000 that he was the "best treasurer in the country." Says Schaefer, Maryland's governor between 1987 and 1995: "He was a little domineering. Dixon is smart as hell - a little egotistical - but smart as hell."

Then those peer comparison numbers that Maryland's trustees didn't see burst into the public eye last October, when the Sun broke the news that Maryland's performance ranked it in the basement. That information infuriated state legislators and blindsided fund trustees, who said they had never seen the TUCS report before reading about it in the Sun. The Baltimore paper followed up with a series of scathing reports on the fund and its management, and in November leaders of the Maryland state senate summoned Dixon to a tense meeting, where they demanded answers on the fund's performance. It didn't help that the fund's poor showing in 2001 meant that the legislature had to find millions to make up for investment losses and that the fund had once again fallen into deficit.

Climbing back out again won't be easy, but some changes are already in the works. In December the General Assembly's Joint Pension Committee, which regulates the plan, voted to require the fund to hire an external investment consultant. But here, too, Maryland will go its own way. Although the vast majority of pension funds keep their consultants on retainer, the Maryland State Retirement & Pension System will hire on a project-by-project basis.

和Kopp是一个为她审议的国家大会而闻名的国会的30年的老兵，如果她在6月份掌握时会缓慢移动。她很清楚需要改变。“我认为表现可以，应该得到改善，”她说。“我还在学习我们如何做到这一点。”

She may want to encourage her colleagues at the pension plan to take some refresher courses. Not everyone there sees the need for changes. Says Arthur Caple Jr., the trustee who chairs the board's investment committee: "If we had stuck with our higher allocation to fixed income, would the unfunded liability have disappeared 20 years ahead of schedule? No." Adds executive director Vaughn, who advises the trustees on investment strategy: "I don't think our asset allocation will change dramatically. Last year the market did everyone dirty."

Vaughn is echoing the thoughts of Dixon, who says he doesn't believe any change in asset allocation or plan administration is required. "Of course not," he scoffed, the day before he left office. "You can't argue with success."

理查德迪克森的门卫的儿子在20世纪50年代在马里兰州的马里兰州被隔离卡罗尔县长大。他赢得了一颗青铜之星作为越南的队长，然后在1970年加入了Merrill Lynch作为该公司巴尔的摩办事处的经纪人。五年后，他收到了摩根州立大学母校的MBA。

1983年至1996年间迪克森担任州立法者，1996年，他的前同事选出了他国家财务主管，使他成为第一个在该州举办宪法办事处的黑人。正如迪克森声称马里兰州强大的公共工程委员会的三票之一，这批准了所有大型国家合同。（州长和国家议会竞选者投下另外两张选票。）作为财务主管，他也成为养老基金董事会的14名受托人之一。他在马里兰州的传奇国家审计长和国家政治中的退伍军队致致命的心脏病发作后，他在两年后宣称这是两年后的最高工作。

当迪克森加入董事会时，该计划仍在努力，是马里兰州历史权衡股市的遗产。在20世纪80年代，该基金的股票大约是其资产的大约30％，而行业平均值约为55％。到1986年，该计划具有80亿美元的无资金责任。

Under Goldstein's leadership, and at the urging of Baltimore venture capitalist Howard (Pete) Colhoun, one of the three unpaid publicly appointed investment advisers used by the trustees, Maryland began boosting its stock exposure dramatically - from 35 percent to 54 percent between 1991 and 1996, with more than half of the equity portfolios indexed.

Maryland also began its fateful push into international waters. In 1995 it hiked its allocation to this asset class from 5 percent to 13 percent, in good measure at Colhoun's urging, recalls money manager Frank Cappiello, a fellow Maryland adviser. "Pete spearheaded the move into international equities," Cappiello says. "At the time, the U.S. represented around 30 percent of [worldwide] gross domestic product, so this was a way of participating in a big part of the global economy that we were missing out on."

At first the changes worked like a tonic. The fund's an-nual returns climbed to 11.9 percent, and its unfunded liability had narrowed significantly by the time Dixon join-ed in 1996. He was a proponent of boosting the equity allocation even more and increasing the focus on international stocks.

到1997年,该基金投资的62%ssets in stock. Three years later, the fund's equity portfolios represented 72 percent of total assets. Though the international portfolio was invested by active managers, about 65 percent of the fund's U.S. equities were indexed to the S&P 500.

The more muscular strategy worked. The fund's total assets jumped from $20.6 billion in 1996 to $33.1 billion in 2000, while the $4.8 billion unfunded liability had become a $369 million surplus. Not only that, but in 2000 the Maryland fund produced returns of 11.7 percent, putting it in the second quartile of all large public funds, according to TUCS. The strong returns enabled the state legislature to slash Maryland's annual contributions to the pension fund from 12.9 percent of workers' salaries in 1996, or $721 million, to 7.98 percent, or $682 million in 2000. Dixon and his colleagues were heroes, celebrated in the press.

"We've saved the state hundreds of millions of dollars," Dixon says. "Hundreds of millions of dollars."

Dixon made his presence felt in many ways. Under his guidance Maryland increased its permitted ceiling on stocks to 80 percent, and he carried through on his promise to dump underperforming managers. Typically he gave a manager three years to perform. "There are thousands of money managers out there," Dixon says. "Why should we be paying for underperforming money managers?"

In 1999, just a few months after Dixon became chairman of the board, the fund initiated its largest shake-up ever, firing three money managers - Alliance Capital, Putnam and Mercantile-Safe Deposit & Trust Co. - which together handled some $350 million in assets, and accepting the resignation of a fourth, Investment Counsellors of Maryland, which managed $103 million. In 2000 Maryland fired eight managers that ran a combined $2.6 billion in domestic equity portfolios. A good portion of those assets were redirected to international stock portfolios. In 2000 the plan's trustees raised the ceiling on foreign stocks from 20 percent to 30 percent. The trustees also eliminated the plan's exposure to emerging markets.

But in the end, Dixon's demanding management style didn't bring home the bacon. The outsize bet on international stocks turned ugly. "We had a position in international equity before I joined the board," Dixon says. "The allocation grew because the investments grew, and we chose not to rebalance it." Bank of Ireland Asset Management ran the biggest chunk of Maryland's international portfolio, and Dixon says the firm's success convinced him that Maryland shouldn't reduce its international exposure. "They were doing a great job. Why would you take money away from a manager doing a great job?"

迪克森和马里兰州受托人确实回应了市场逆转，于2001年5月降低了国际股票的上限。但随后已经发生了重大损害。

Maryland also suffered closer to home. From 1996 to 2001 its now $11.6 billion U.S. large-cap portfolio produced average annual returns of 11.6 percent, versus 14.5 percent for the S&P 500. The plan lagged behind the S&P in part because more than $2 billion in assets was placed in a passively managed State Street Corp. growth fund that suffered a 32.2 percent loss in 2001. The plan's asset allocation as of October 31, 2001: 43.1 percent in domestic stocks, 18.7 percent in international stocks, 1.7 percent in convertibles, 27.5 percent in domestic investment-grade bonds, 3.4 percent in domestic high-yield bonds, 5.3 percent in real estate and 0.2 percent in alternative investments.

马里兰州的问题归咎于迪克森？批评者表示，他的管理风格略微异议，却提供了众所周知的证据表明任何关于国家计划的投资人员或受托人或外部顾问的人都希望调整计划的资产配置。

The biggest problem appears to be how insular the plan was. Maryland investment policy is determined by a nine-member investment committee of the 14-person board of trustees, together with the board's three public investment advisers, the fund's executive director, Vaughn, and its chief investment officer, Carol Boykin. The investment committee reviews proposals by the advisers and the staff and makes recommendations to the entire board of trustees, which then votes on those recommendations. "The investment committee sets investment policy," says Dixon, who was a member.

但董事会没有通过外部投资咨询公司对受托人，包括迪克森或员工（包括Dixon）的意见过滤。据推测，局外人可能曾担任过多重超重国际股票的思想，并将接受同行审查绩效编号。

Instead, the fund relied on the advice of its unpaid board advisers. Dixon and his allies argued that the fund had enough expertise in-house, but by the 1990s this was a very unusual approach to pension fund management.

And, say critics, Dixon tended to run roughshod over opponents. His role as one of three members of Maryland's Board of Public Works, they say, gave him enormous leverage in getting his way with the other plan trustees, several of whom worked for other state agencies.

“他是一个欺负者，”迪克森在2000年在2000年之前担任该计划的顾问，通过反对他的重新调整。“每个人都害怕他。”

迪克松拒绝了掉手的概念。“这表明他对州政府的了解了多少，”迪克森说。添加执行董事Vaughn：“没有人统治董事会。它需要一致。”

只要该基金继续满足其内部精算障碍8％，它预计负债将增长，迪克森有自由缰绳。但是，当新闻在去年10月爆发的时候，马里兰州在威尔希尔的TUCS调查中排名差，他发现自己在一个批评的狂热中间，只有加强当马里兰州的养老金联合委员会告知立法机关时，它才会才能努力额外5500万美元的养老金支付，大约3000万美元直接相关的基金投资的9.4％。（三月在立法机关决定，4000万美元的徒步旅行就足够了。）

The raft of negative local coverage got so intense that the board of trustees in November sent state employees and retirees a special bulletin assuring them that "this is a very solvent and well-funded retirement system." The bulletin included this dig: "It is inconceivable that we could be the worst-performing pension system while achieving full funding 20 years ahead of the legislative deadline."

In an interview with Institutional Investor days before he resigned, Dixon offered a characteristically stirring defense, arguing that the Wilshire report is irrelevant. "My objection is that we don't know who the peers are," Dixon says. "What are their risk parameters? How much did they invest in fixed income? Do ten of the 38 have $1 billion in assets? We've got $30 billion." (Wilshire Associates declined to comment on Dixon's criticisms.)

Dixon insists that pension funds should be judged by how they perform against their actuarial hurdle rate. The fund exceeded it in six of the past seven years. "If we are meeting and exceeding our actuarial assumptions, we are exceeding our goals," he says. "If we make 6 percent [in a given year] and somebody else makes 7 percent, what difference does it make?"

The actuarial argument infuriated state legislators. "This is absurd," wrote Barbara Hoffman, a state senator, and Howard Rawlings, a state delegate, in a stern December 21 letter to Dixon and his fellow trustees. "The State of Maryland's pension system does not exist in a vacuum. Any agency of state government could declare itself successful if it were to self-designate benchmarks and refuse to engage in comparison. The Board's investment performance and strategies must be compared to other plans to analyze whether the Board's strategies are the appropriate ones."

养恤金联合委员会敦促基金聘请外部投资顾问，以帮助制定更合适的资产配置。委员会还建议该计划将其“自我指定基准”降至8％的“自称基准”，并设计了一种评估其投资业绩的更现实的方法。

In December the trustees reduced the 80 percent cap on equities to 70 percent and established a target goal of 60 percent. The board also approved a plan to hire an investment consultant by May. But since the consulting firm will work on a project basis and will not be on retainer, which is the arrangement of most public funds, its influence will be constrained by the board of trustees.

“我们正在寻找我们可能使用顾问的类别，”受托人CAPLE表示，他也是国家补充退休计划的董事。“如果我们有了内部能力免费，我们会说我们会说我们会为一切使用顾问来说是荒谬的。”

Maryland House Speaker Casper Taylor Jr. says that kind of attitude "could be" a cause for concern. Taylor, for one, was surprised to find out that Maryland's longtime disdain for consultants was "the exception, not the rule" for other public plans. Schaefer, the state comptroller, thinks the retirement system must hire an investment consultant, if only to restore confidence in the system among voters, public employees and retirees. "Psychologically, it is crucial that we do so," he says.

添加财务主管Kopp，“一位顾问将在我们的决策中给予我们更多的能力和灵活性。我认为当我是立法者时，我认为这是一个好主意。”

Both Kopp and Schaefer believe that Maryland should directly measure its performance against other funds - a clear break with Dixon's policy. "It is one more piece of information that we should add to the mix," Kopp says. "Peer comparisons can be extremely useful in raising red flags."

Certainly a red flag has already been raised over Maryland's subpar performance. It's also clear that Dixon's successor will bring substantial changes to the state pension fund, though it remains to be seen what specific form they might take. Will they be enough to pull Maryland up in its peer rankings? Taxpayers and state workers can only hope so.