Enhancing Benchmark Governance with MSCI’s Frozen Index Framework
OverviewAdvancing transparency, comparability and reporting discipline across private markets
The Commonwealth of Pennsylvania, Public School Employees’ Retirement System (PSERS)1 recently implemented MSCI Private Capital Frozen Indexes across its private market portfolios following an in-depth evaluation of benchmark providers.
In total plan AUM, including USD 25 billion+ in private markets2
500,000 active and retired members3
Including private equity, private credit, private real estate and infrastructure.
The transition reflects PSERS’ broader effort to strengthen transparency, improve consistency across private market portfolios, and reduce operational complexity in performance reporting. This new frozen framework also is designed to help streamline a more customized, resource-intensive benchmark approach.
“With support from our specialist consultant, we evaluated several benchmark options and determined that the new frozen framework from MSCI would best enhance transparency, consistency, and reporting discipline across PSERS’ private markets program.”
- James Del Gaudio, PSERS Managing Director - Head of Private Markets
ChallengeNavigating complex benchmarks and the operational burden of quarterly restatements
Historically, PSERS relied on custom-blended private market benchmarks that required rolling restatements. To identify a more transparent and stable framework, PSERS engaged its specialist consultant to evaluate multiple benchmark providers across criteria such as sample size, data integrity, bias mitigation, vintage-year depth and availability of a ‘frozen’ universe.
The analysis highlighted meaningful differences across providers and reinforced the governance and operational advantages of a frozen benchmark methodology.
“We relied on objective criteria to help us compare the strengths and limitations of each provider,” Del Gaudio said.
ActionImplementing MSCI’s frozen index framework to strengthen reporting stability
Based on a comparative assessment and PSERS’ internal governance priorities, PSERS selected MSCI’s Frozen PCS Indexes. The frozen methodology locks benchmark constituents at the start of each measurement period, that helps ensure benchmark composition remains fixed, which may eliminate the need for recurring restatements.
The project involved detailed planning and coordination across PSERS’ investment, operations and reporting teams, and MSCI’s index research specialists. The implementation positions PSERS for greater consistency in evaluating performance across public and private markets.
“MSCI’s frozen indexes provide the transparency and consistency we need while reducing operational complexity for our staff and stakeholders,” Del Gaudio said.
ImpactA more transparent and operationally efficient performance-measurement framework
The adoption of MSCI’s frozen indexes marks a major step forward in PSERS’ performance measurement approach. The framework is designed to improve consistency across asset classes, eliminates rolling restatements, strengthens reporting clarity, and underscores PSERS’ dedication to disciplined fiduciary standards.
“Working with MSCI on this new frozen framework enhances the consistency of our performance-measurement reporting across all four private markets portfolios and streamlines what had previously been a more customized process, helping us reduce complexity and better serve our members, trustees and stakeholders,” Del Gaudio said.
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1 The Public School Employees' Retirement System (PSERS) is a client of MSCI Inc. and MSCI ESG Research LLC and consented to its inclusion in this case study. PSERS did not receive any compensation in connection with this article. Any results achieved by PSERS are specific to its use case and are cited for informational purposes only. Other investors may not experience similar outcomes.
2 As of February 2026.
3 As of February 2026.
Disclaimer
Although PSERS was not compensated to share this case study, it is a client of MSCI Inc., and commercial relationships with MSCI or its affiliates (including as clients or suppliers) may create potential conflicts of interest. This case study does not imply any guarantee of similar results.