North Carolina uses analytics to manage pension fund risks

The state's treasurer employs SAS Institute analytics software to protect its $72.8 billion portfolio.

The North Carolina Department of State Treasurer is turning to analytics software to manage the state's pension risk.

The department is using analytics software from the SAS Institute to better protect the pensions of more than 850,000 residents. The SAS risk management technology, customized for state pensions, will help offices in the department’s Investment Management Division better assess the risks associated with new and current investments in its $72.8 billion portfolio, North Carolina officials said.

The state treasurer partnered with the SAS Analytics Lab for State and Local Government and the SAS Risk Consulting Practice to focus the power of SAS Analytics on state pension risk.


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"It's our responsibility to make sure our retirees and current state workers have the pension they expect when they retire," state Treasurer Janet Cowell said. “The [SAS] system will allow us to isolate and measure the various risks across our multi-asset portfolio to protect their savings."

The new solution contains risk and performance measurement models for fixed income equity, private markets, hedge funds and other funds. It also provides specific reports and dashboards for pension fund portfolio management. It contains data management and workflow processes specific to pension fund assets, and integrates third-party benchmark and market data related to pension funds.

Pension fund managers can focus on risk and performance management rather than measurement, said Paula Henderson, vice president of SAS State and Local Government Practice. "The solution doesn't just evaluate portfolio risk but helps ensure that the pension fund is adequately compensated by performance for the risk it assumes," she added.

Portfolio and market data are hosted at the SAS Analytics Lab for State and Local Government. The lab was launched in late 2010, focusing on critical state and local government issues, such as fraud, waste, abuse, tax collection, public safety and education.

Nationwide pension system values peaked in 2007 at $2.93 trillion before the financial crisis and recession caused holdings to decline to $2.1 trillion in early 2009. Pension funds have been slowly recovering since. That 28 percent drop brought increased interest in how public retirement systems evaluate portfolio risk, officials said.

"Since taxpayer money partially funds public retirement systems, it's critical to have a clear view of our investment risks and understand how those risks relate to our liabilities," Cowell said.



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