Nathan, are you certain that there was an investment loss of 1.2% for 2016?

I ask, because the S&P 500 ended 2016 with a positive return of 12% (11.96%).  In the previous 4 years:  2015, 1.4%; 2014, 14%; 2013,  32%; and 2012, 16%.

Most pension funds allocate between equities and fixed income investments, so the actual returns would be less than the above.  Because interest rates are near zero, and assuming a 50/50 allocation, I'd have expected a positive return of about 6%.

ERS probably has about half dozen independent investment managers.  And I'm sure they are all very good.  Their performances are always compared with each other as well as with the major indices.

So the loss is a mystery to me.