psers’ investment portfolio asset allocation as of march ... · 3/31/2020 · psers’...
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PSERS’ Investment PortfolioAsset Allocation as of March 31, 2020 (Unaudited)
Asset Class Market Value % of Target PolicyPublicly-Traded Global Equity $8,367.0 15.4% Private Markets $8,586.4 15.8% Total Equities $16,953.4 31.3% 30.00% +/- 10.0%
Investment Grade $5,435.1 10.0%Credit-Related $5,260.9 9.7%Inflation Protected $8,052.5 14.9% Total Fixed Income $18,748.5 34.6% 36.00% +/- 10.0%
Master Limited Partnership (MLP) $902.0 1.7%Infrastructure $1,529.8 2.8%Commodities $4,073.9 7.5%Real Estate $5,708.8 10.5% Total Real Assets $12,214.6 22.5% 24.00% +/- 10.0%
Risk Parity $4,011.5 7.4% 8.00% +/- 5.0%
Absolute Return $5,774.2 10.7% 10.00% +/- 5.0%
Cash and Cash Equivalents* $3,817.8 7.0% 6.00% +/- 3.0%
GROSS INVESTMENT PORTFOLIO $61,519.9 113.5% 114.00%
Financing ($7,303.8) (13.5%) (14.0%) +/- 9.0%
NET INVESTMENT PORTFOLIO $54,216.1 100.0% 100.00%
Net Other Assets and Liabilities $1,567.0
PSERS TOTAL NET ASSETS $55,783.1
* - includes Cash, Cash Equivalents, and net asset value accounting adjustments
Data
PSERS’ Investment Market Values
LeveredUnlevered
Asset ClassMarket ValueRounded% of Total% of Gross Investment ExposureTarget AllocationInternalExternalTotalAsset ClassMarket ValueRounded% of Total
Financing
Total US Equity2,953,567.02,953.65.5%4.8%*Top Down7.40%2,952.70.92,953.6US Equity2,953,567.02,953.65.5%
Total Non-US Equity5,413,386.05,413.410.0%8.8%*Top Down11.60%2,000.53,412.95,413.4Non-US Equity5,413,386.05,413.410.0%- 0PSERS Non-US Equity Rebalance
Publicly-Trade Global Equity8,366,953.08,367.015.4%13.6%Publicly-Trade Global Equity8,366,953.08,367.015.4%
Private Equity6,192,547.06,192.511.4%10.1%*Top Down732.45,460.16,192.5Private Equity6,192,547.06,192.511.4%
Special Situations1,210,784.01,210.82.2%2.0%*Top Down55.91,154.91,210.8Private Debt1,210,784.01,210.82.2%
Venture Capital1,183,083.01,183.12.2%1.9%*Top Down1,183.11,183.1Venture Capital1,183,083.01,183.12.2%
Subtotal Private Markets8,586,414.08,586.415.8%14.0%16.00%788.37,798.18,586.4 Subtotal Private Markets8,586,414.08,586.415.8%
16,953,367.016,953.431.3%27.6%35.00%16,953,367.016,953.431.3%
Subtotal - Publicly Traded Real Estate612,723.0612.71.1%1.0%*Detailed Section439.8173.0612.7Real Estate - Publicy TradedPublic Market Real Estate367,304.0367.30.7%*(245,419.00)PSERS REIT INDEXx
Private Market Real Estate5,096,082.05,096.19.4%8.3%69.85,026.35,096.1FormulaPrivate Market Real Estate5,096,082.05,096.19.4%
Real Estate5,708,805.05,708.810.5%9.3%*Top Down12.00%509.55,199.35,708.8 Subtotal Real Estate5,463,386.05,463.410.1%
Total Equity22,662,172.022,662.241.8%36.8%47.00%6,251.016,411.222,662.2 Total Equity22,416,753.022,416.841.4%
Core Fixed Income2,164,649.02,164.64.0%4.0%*Top Down5.00%Core Fixed Income2,164,649.02,164.64.0%
U.S. Treasuries3,270,467.03,270.56.0%6.0%*Top DownU.S. Long Treasuries3,270,467.03,270.56.0%*- 0PSERS U.S. Long Treasuriesx
Non-US Developed Mkts FI- 0- 00.0%0.0%*Top DownNon-US Developed Mkts FI- 0- 00.0%
Total Investment Grade5,435,116.05,435.110.0%10.0%Total Investment Grade5,435,116.05,435.110.0%
Emerging Markets Fixed Income305,350.0305.40.6%0.5%*Top Down2.00%Emerging Markets Fixed Income305,350.0305.40.6%
High Yield4,955,504.04,955.59.1%8.1%*Top Down6.00%High Yield4,955,504.04,955.59.1%
Total Credit Related5,260,854.05,260.99.7%8.6%8.00%1,340.83,920.15,260.9 Total Credit Related5,260,854.05,260.99.7%
*- 0 Garda Inflation Opportunityx
Inflation-Linked Fixed Income8,052,496.08,052.514.9%13.1%*Top Down12.00%4,052.54,000.08,052.5Inflation-Linked Fixed Income4,623,030.04,623.08.5%*(1,536,938.00) PSERS TIPS Portfoliox
*(1,892,528.00)Bridgewater Associatesx
Total Fixed Income18,748,466.018,748.534.6%21.6%20.00%5,393.37,920.113,313.4 Total Fixed Income15,319,000.015,319.028.3%
Cash & Cash Equivalents3,817,813.03,817.87.0%6.2%*Top Down3.00%3,817.8- 03,817.8Cash & Cash Equivalents3,817,813.03,817.87.0%
*(2,144,994.00)PSERS Gold Fundx
Commodities4,073,883.04,073.97.5%6.6%*Top Down8.00%3,338.6735.34,073.9Commodities1,545,514.01,545.52.9%*(383,375.00)PSERS Commodity Betax
Master Limited Partnership902,046.0902.01.7%1.5%*Detailed Section4.00%415.2486.9902.0Subtotal Master Limited PartnershipMaster Limited Partnership902,046.0902.01.7%
Infrastructure1,529,848.01,529.82.8%2.5%*Top Down1.00%1,161.4368.41,529.8Subtoal Infrastructure Public and PrivateInfrastructure857,534.0857.51.6%*(672,314.00)PSERS Infrastructure Indexx
Real Asset25.00%Real Asset
*(304,707.00)PSERS Risk Parityx
Risk Parity4,011,526.04,011.57.4%6.5%*Top Down10.00%2,097.11,914.44,011.5Risk Parity3,583,305.03,583.36.6%*(149,057.00)Bridgewater All Weatherx
*(112,929.00)DE Shaw Orienteer HV Fundx
Absolute Return5,774,163.05,774.210.7%9.4%*Top Down10.00%- 05,774.25,774.2Absolute Return5,774,163.05,774.210.7%*(99,889.00)BlackRock Market Advantage IIx
*238,361.00Bridgewater Optimal
Financing(7,303,789.0)(7,303.8)-13.5%*Top Down-14.00%Financing(7,303,789.00)
Subtotal54,216,128.054,216.1100.0%91.2%89.00%22,474.333,610.556,084.8Subtotal54,216,128.054,216.1100.0%
Net Other Assets and Liabilities1,566,979.01,567.0Net Other Assets and Liabilities1,566,979.01,567.0
PSERS TOTAL NET ASSETS55,783,107.055,783.1PSERS TOTAL NET ASSETS55,783,107.055,783.1
Total Fund54,240,229.0*- 0- 0
Financing(7,303,789.0)
Net Other Assets and Liabilities(1,566,979.0)
Check(24,101.0)
Internally ManagedSubtract out Cash for Internal
500 Index2,346,882.02,346,882.0x*Detailed Section
400 Index308,181.0308,181.0x*Detailed Section
600 Index297,604.0297,604.0x*Detailed Section
Equity Rebalance (US)- 0*Detailed Section
Misc. PSERS Equity Accounts492.0492.0x*Detailed Section910,338.000.182353%
Equity Rebalance (Non-US)- 0- 0*Detailed Section499,217,184.00
ACWI Index (GE316)1,999,959.01,999,959.0x*Detailed Section
ACWI Index (GE316) Small Cap- 0- 0*Detailed Section500,709,462.00
PSERS Emerging Markets- 0*Detailed Section
PSERS Active Aggregate1,340,777.01,340,777.0x*Detailed Section1,492,278.00
Domestic Fixed Liquidation Account1,042.01,042.0x
Domestic Fixed Rebalance Account- 0- 0
PSERS TIPS4,052,496.04,052,496.0x*Detailed Section
PSERS U.S. Treasuries- 0- 0*Detailed Section
Subtotal Special Situtations Internal127,338.0127,338.0x
PSERS U.S. Long Treasuries3,265,992.03,265,992.0x*Detailed Section
PSERS Proprietary Fund Subtotal3,834,055.03,834,055.0xSubtract Out Allocated Cash*Detailed Section
PSERS Gold Swap2,574,299.02,574,299.0x*Detailed Section
Private Commodities - Internal17,518.017,518.0x
PSERS Commodity Beta764,288.0764,288.0x*Detailed Section
Subtotal Private Equity Internal732,406.0732,406.0x*Detailed Section
Subtotal Portfolio Advisors Internal55,897.055,897.0x*Detailed Section
Subtotal Real Estate Internal69,782.069,782.0x*Detailed Section
PSERS REIT Index439,758.0439,758.0x*Detailed Section
PSERS S&P MLP415,163.0415,163.0x*Detailed Section
PSERS Infrastructure Index1,161,420.01,161,420.0x*Detailed Section
Subtotal Infrastructure Internal36,868.036,868.0x
PSERS Infrastructure LIBOR- 0- 0
PSERS Risk Parity2,097,102.02,097,102.0x*Detailed Section
Total Internally Managed25,939,319.025,939,319.0
47.84%47.84%- 0
Internally Managed Equity4,953,118.04,953,118.0
Internally Managed Fixed Income8,787,645.08,787,645.0
Internally Managed CashERROR:#REF!ERROR:#REF!
Internally Managed Commodities3,356,105.03,356,105.0
Internally Managed Private Markets788,303.0788,303.0
Internally Managed Real Estate509,540.0509,540.0
Internally Managed Risk Parity2,097,102.02,097,102.0
Internally Managed Infrastructure1,161,420.01,161,420.0
Internally Managed MLP415,163.0415,163.0
Internally ManagedERROR:#REF!ERROR:#REF!
% Internally Managed
Public Equity55.16%55.16%
Fixed Income46.87%24.45%
Commodities82.38%82.38%
Private Markets9.18%9.18%
Real Estate1.22%1.22%
Risk Parity52.28%52.28%
Infrastructure75.92%75.92%
MLP46.02%46.02%
Passive Public Equity4,952,626.04,952,626.0
Passive Fixed Income3,265,992.03,265,992.0
Passive Commodities2,574,299.02,574,299.0
10,792,917.010,792,917.0
Passively Managed
Public Equity55.15%55.15%
Fixed Income17.42%17.42%
Passive Commodities63.19%63.19%
% Passively Managed19.91%19.91%
Internally Managed US Equity2,952,667.02,952,667.0
Total US Equity2,953,567.02,953.6
% Internally Managed99.97%99.97%
Passive US Equity2,952,667.02,952,667.0
Total US Equity2,953,567.02,953.6
% Passive99.97%99.97%
Internally Managed Non-US Equity1,999,959.01,999,959.0
Total Non-US Equity5,413,386.05,413,386.0
% Internally Managed36.94%36.94%
Passive Non-US Equity1,999,959.01,999,959.0
Total Non-US Equity5,413,386.05,413,386.0
% Passive36.94%36.94%
Internally Managed Fixed Income (includes Cash)12,493,320.012,493,320.0
Total Fixed Income22,566,279.022,566.3
% Internally Managed55.36%55.36%
Internally Managed Fixed Income (excludes Cash)8,659,265.08,659,265.0
Total Fixed Income18,748,466.018,748.5
% Internally Managed46.19%46.19%
Internally Managed Co-Investment Program
Private Markets788,303.0788,303.0* (Includes Private Debt and Private Interrnal)
Real Estate509,540.0509,540.0
Total Private Mkts and Real Estate$ 14,295,219$ 14,295
% Internally Managed9.08%9.08%
Internally Managed Total Fund25,939,319.025,939,319.0
Total Fund54,216,128.054,216.1
% Internally Managed47.84%47.84%
U.S. Equity2,953,159.0
Non-U.S. Equity1,999,959.0
Commodities3,356,105.0
Fixed Income8,787,645.0
Cash & Cash Equivalents3,834,055.0
Private Markets788,303.0
Real Estate509,540.0
MLP415,163.0
Infrastructure1,198,288.0
Risk Parity2,097,102.0
25,939,319.0
- 0
PSERS Investment Portfolio
Asset ClassMarket Value(in millions)% of TotalTargetAllocationsPolicyRanges
Publicly-Traded Global Equity$8,367.015.4%
Private Markets$8,586.415.8%
Total Equities$16,953.431.3%30.00%+/- 10.0%
Investment Grade$5,435.110.0%
Credit-Related$5,260.99.7%
Inflation Protected$8,052.514.9%
Total Fixed Income $18,748.534.6%36.00%+/- 10.0%
Master Limited Partnership (MLP)$902.01.7%
Infrastructure$1,529.82.8%
Commodities$4,073.97.5%
Real Estate$5,708.810.5%
Total Real Assets $12,214.622.5%24.00% +/- 10.0%
Risk Parity$4,011.57.4%8.00% +/- 5.0%
Absolute Return$5,774.210.7%10.00% +/- 5.0%
Cash and Cash Equivalents*$3,817.87.0%6.00% +/- 3.0%
GROSS INVESTMENT PORTFOLIO$61,519.9113.5%114.00%
Financing($7,303.8)(13.5%)(14.0%) +/- 9.0%
NET INVESTMENT PORTFOLIO$54,216.1100.0%100.00%
Net Other Assets and Liabilities$1,567.0
PSERS TOTAL NET ASSETS$55,783.1
* - includes Cash, Cash Equivalents, and net asset value accounting adjustments
Levered
Publicly Traded Equities15.4%
Private Markets15.8%
Investment Grade10.0%
Credit-Related9.7%
Inflation Protected14.9%
MLP1.7%
Infrastructure2.8%
Commodities7.5%
Real Estate10.5%
Risk Parity7.4%
Absolute Return10.7%
Cash and Cash Equivalents7.0%
Financing(13.5%)
100.0%
Unlevered
Publicly Traded Equities15.4%
Private Markets15.8%
Investment Grade10.0%
Credit-Related9.7%
Inflation Protected8.5%
MLP1.7%
Infrastructure1.6%
Commodities2.9%
Real Estate10.1%
Risk Parity6.6%
Absolute Return10.7%
Cash and Cash Equivalents7.0%
100.0%
Gross Investment Exposure
Publicly Traded Equities15.4%
Private Markets15.8%31.3%
Investment Grade10.0%
Credit-Related9.7%
Inflation Protected14.9%34.6%
MLP1.7%
Infrastructure2.8%
Commodities7.5%
Real Estate10.5%22.5%
Risk Parity7.4%
Absolute Return10.7%
Cash and Cash Equivalents7.0%
Financing-13.5%
100.0%
*Financing represents a negative0.1347 allocation and is not reflected in the pie chart.
22.5%
34.6%
31.3%
% of Total
Publicly Traded EquitiesPrivate MarketsInvestment GradeCredit-RelatedInflation ProtectedMLPInfrastructureCommoditiesReal EstateRisk ParityAbsolute ReturnCash and Cash Equivalents0.154325904645938570.15837379607780180.100249062419212229.7034852802472357E-20.148525840871557621.6637964260376541E-22.8217581307171176E-27.5141533530391533E-20.105297172826506527.3991377621065071E-20.10650268126857017.0418400222162669E-2
Publicly Traded Equities
0.15432590464593857Private Markets
0.1583737960778018Investment Grade
0.10024906241921222Credit-Related
9.7034852802472357E-2Inflation Protected
0.14852584087155762MLP
1.6637964260376541E-2Infrastructure
2.8217581307171176E-2Commodities
7.5141533530391533E-2Real Estate
0.10529717282650652Risk Parity
7.3991377621065071E-2Absolute Return
0.1065026812685701Cash and Cash Equivalents
7.0418400222162669E-2Financing
-0.13469999999999999
Historical AA
Jun-90Jun-95Jun-00Jun-05Jun-06Jun-07Jun-08Jun-09Jun-10Jun-11Jun-12Jun-13Jun-14Jun-15Jun-16Jun-17Jun-18Jun-19Sep-19Dec-19Mar-20
U.S. Equity35%53%43.30%41.40%31.50%29.70%22.70%11.20%12.30%11.80%11.65%9.56%10.12%9.90%9.14%8.11%8.57%5.20%5.26%5.60%5.5%
Non-U.S. Equity1%12%19.20%20.00%29.90%30.60%26.40%19.30%16.10%14.70%11.40%9.97%10.49%14.69%12.95%13.19%12.24%11.09%10.92%11.20%10.0%
Fixed Income53%26%15.60%18.20%17.80%17.20%20.00%22.10%21.20%19.10%22.78%26.38%27.38%28.25%29.24%32.67%32.52%33.91%34.35%33.51%34.6%
Real Estate4%5%5.70%7.10%6.80%8.00%10.00%11.20%9.10%10.60%12.74%14.13%13.83%12.75%11.72%11.77%9.84%10.13%9.85%9.64%10.5%
Private Markets2%1%3.30%9.60%9.20%8.80%12.80%16.90%20.40%20.80%21.77%21.35%20.54%15.57%15.69%15.12%14.60%14.90%14.62%14.12%15.8%
Absolute Return0%0%0.00%0.00%0.00%0.00%0.00%7.40%11.20%10.30%12.65%11.66%9.89%10%9%10%10%10%10%10%10.7%
MLP0.51%2.98%3.86%3.51%4.66%4.53%4.70%3.92%3.59%2.99%1.7%
Infrastructure1.04%1.98%2.07%2.57%2.72%2.73%2.8%
Risk Parity1.53%3.70%5.29%8.83%10.14%9.62%9.79%8.21%8.43%8.07%7.4%
Commodities0%0%0.00%0.00%0.00%2.50%4.80%4.00%3.70%4.60%5.23%4.82%5.89%6%8%8%8%8%8%8%7.5%
Cash & Cash Equivalents6%2%1.50%3.70%4.80%3.20%3.30%7.90%6.00%8.10%2.45%3.81%4.25%2.48%2.80%2.93%4.42%4.66%5.40%6.27%7.0%
Financing-2.70%-8.35%-11.54%-11.53%-14.78%-17.31%-16.64%-12.46%-13.01%-12.28%-13.5%
Levered
Jun-90Jun-95Jun-00Jun-05Jun-06Jun-07Jun-08Jun-09Jun-10Jun-11Jun-12Jun-13Jun-14Jun-15Jun-16Jun-17Jun-18Jun-17
U.S. Equity35%53%43.30%41.40%31.50%29.70%22.70%11.20%12.30%11.80%11.60%9.40%10.00%9.80%9.10%8.11%8.11%5.5%
Non-U.S. Equity1%12%19.20%20.00%29.90%30.60%26.40%19.30%16.10%14.70%11.40%9.90%9.80%14.60%12.80%13.19%13.19%10.0%
Fixed Income53%26%15.60%18.20%17.80%17.20%20.00%22.10%21.20%19.10%20.80%19.90%19.30%20.20%20.90%22.11%22.11%28.3%
Real Estate4%5%5.70%7.10%6.80%8.00%10.00%11.20%9.10%10.60%12.80%14.30%14.20%12.90%11.40%11.14%11.14%10.1%
Private Markets2%1%3.30%9.60%9.20%8.80%12.80%16.90%20.40%20.80%22.00%21.70%20.80%15.80%16.00%15.12%15.12%15.8%
Absolute Return0%0%0.00%0.00%0.00%0.00%0.00%7.40%11.20%10.30%12.60%11.70%9.80%10%9%10%10%10.7%
MLP0.50%2.90%3.80%3.50%4.60%4.53%4.53%1.7%
Infrastructure0.60%1.13%1.13%1.6%
Risk Parity1.50%2.80%4.10%7.20%8.80%8.61%8.61%6.6%
Commodities0%0%0.00%0.00%0.00%2.50%4.80%4.00%3.70%4.60%4.40%3.60%4.00%4%4%3%3%2.9%
Cash & Cash Equivalents6%2%1.50%3.70%4.80%3.20%3.30%7.90%6.00%8.10%2.40%3.80%4.20%2.50%2.80%2.93%2.93%7.0%
Unlevered
U.S. Equity3302534851366783850438869392343960039965403304069541061414264179142156425514291643281436464373843830439210.350.530.4330.413999999999999980.3150.296999999999999990.227000000000000010.1120.1230.117999999999999990.116500000000000019.5600000000000004E-20.10129.9000000000000005E-29.1399999999999995E-28.1100000000000005E-28.5699999999999998E-25.1999999999999998E-25.2600000000000001E-25.6000000000000001E-25.45E-2Non-U.S. Equity3302534851366783850438869392343960039965403304069541061414264179142156425514291643281436464373843830439210.010.120.1920.20.298999999999999990.305999999999999990.264000000000000010.1930.1610.146999999999999990.1149.9699999999999997E-20.104899999999999990.14690.12950.131899999999999990.122399999999999990.11090.109200000000000010.1129.98E-2Fixed Income3302534851366783850438869392343960039965403304069541061414264179142156425514291643281436464373843830439210.530.260.1560.1820.177999999999999990.171999999999999990.20.2210.211999999999999990.1910.22780.263799999999999980.273799999999999990.282499999999999970.292399999999999990.326699999999999990.325199999999999990.339099999999999960.343500000000000030.335100000000000010.34570000000000001Real Estate3302534851366783850438869392343960039965403304069541061414264179142156425514291643281436464373843830439210.040.055.7000000000000002E-27.0999999999999994E-26.8000000000000005E-20.080.10.1129.0999999999999998E-20.1060.127400000000000010.141300000000000010.138300000000000010.12750.11720.11779.8400000000000001E-20.10139.8500000000000004E-29.64E-20.1053Private Markets3302534851366783850438869392343960039965403304069541061414264179142156425514291643281436464373843830439210.020.013.3000000000000002E-29.6000000000000002E-29.1999999999999998E-28.7999999999999995E-20.1280.169000000000000010.203999999999999990.207999999999999990.21770.21350.20540.155700000000000010.156900000000000010.15120.145999999999999990.148999999999999990.14620.141199999999999990.15840000000000001Absolute Return33025348513667838504388693923439600399654033040695410614142641791421564255142916432814364643738438304392100000007.3999999999999996E-20.1120.102999999999999990.12650.11669.8900000000000002E-29.5200000000000007E-29.4700000000000006E-29.6699999999999994E-20.101999999999999990.103499999999999990.10370.10360.1065MLP3302534851366783850438869392343960039965403304069541061414264179142156425514291643281436464373843830439215.1000000000000004E-32.98E-23.8600000000000002E-23.5099999999999999E-24.6600000000000003E-24.53E-24.7E-23.9199999999999999E-23.5900000000000001E-22.9899999999999999E-21.66E-2Infrastructure3302534851366783850438869392343960039965403304069541061414264179142156425514291643281436464373843830439211.04E-21.9800000000000002E-22.07E-22.5700000000000001E-22.7199999999999998E-22.7300000000000001E-22.8199999999999999E-2Risk Parity3302534851366783850438869392343960039965403304069541061414264179142156425514291643281436464373843830439211.5299999999999999E-23.6999999999999998E-25.2900000000000003E-28.8300000000000003E-20.10149.6199999999999994E-29.7900000000000001E-28.2100000000000006E-28.43E-28.0699999999999994E-27.3999999999999996E-2Commodities330253485136678385043886939234396003996540330406954106141426417914215642551429164328143646437384383043921000002.5000000000000001E-24.8000000000000001E-20.043.6999999999999998E-24.5999999999999999E-25.2299999999999999E-24.82E-25.8900000000000001E-26.0199999999999997E-27.9399999999999998E-27.7399999999999997E-27.6799999999999993E-27.4999999999999997E-27.4999999999999997E-27.7899999999999997E-27.51E-2Cash & Cash Equivalents3302534851366783850438869392343960039965403304069541061414264179142156425514291643281436464373843830439210.060.021.4999999999999999E-23.6999999999999998E-24.8000000000000001E-23.2000000000000001E-23.3000000000000002E-27.9000000000000001E-20.068.1000000000000003E-22.4500000000000001E-23.8100000000000002E-24.2500000000000003E-22.4799999999999999E-22.8000000000000001E-22.93E-24.4200000000000003E-24.6600000000000003E-25.3999999999999999E-26.2700000000000006E-27.0400000000000004E-2Financing330253485136678385043886939234396003996540330406954106141426417914215642551429164328143646437384383043921-2.7E-2-8.3500000000000005E-2-0.1154-0.1153-0.14779999999999999-0.1731-0.16639999999999999-0.1246-0.13009999999999999-0.12280000000000001-0.13469999999999999
U.S. EquityNon-U.S. EquityFixed IncomeReal EstatePrivate MarketsAbsolute ReturnMLPInfrastructureRisk ParityCommoditiesCash & Cash Equivalents
Month/Year
Investment Portfolio - TM
FYTotalFinancingTotal
Jun-600.800.8
Jun-702.102.1
Jun-804.904.9
Jun-9017.3017.3
Jun-9528.8028.8
Jun-9633.7033.7
Jun-9739.3039.3
Jun-9844.8044.8
Jun-9948.9048.9
Jun-0053.4053.4
Jun-0148.1048.1
Jun-0243.5043.5
Jun-0342.3042.3
Jun-0448.3048.3
Jun-0551.8051.8
Jun-0657057
Jun-0767.2067.2
Jun-0862.7062.7
Jun-0943.1043.1
Jun-1045.7045.7
Jun-1151.4051.4
Jun-1248.51.349.8
Jun-1349.24.153.3
Jun-1452.7658.7
Jun-1551.95.957.8
Jun-1649.27.256.4
Jun-1752.49.161.5
Jun-1855.69.24945264.832552
Jun-1958.27.21589165.454891
Sep-1958.57.56234366.015343
Dec-1959.07.24448966.221389
Mar-2054.27.30378961.519889
22068257202937333025348513521735582359473631236678370433740837773381393850438869392343960039965403304069541061414264179142156425514291643281436464373843830439210.82.14.900000000000000417.328.833.70000000000000339.29999999999999744.848.953.448.143.542.348.351.85767.262.743.145.751.448.549.252.751.949.252.455.58310000000000258.23899999999999758.45300000000000358.97690000000000154.216099999999997
Month/Year
Investment Portfolio - IM
DateGross Investment PortfolioInternally Managed Assets
Jun-9119.12.6
Jun-9528.810.6
Jun-0053.417.7
Jun-0148.115.9
Jun-0243.513.5
Jun-0342.315.6
Jun-0448.320.4
Jun-0551.817.1
Jun-065717.7
Jun-0767.222.6
Jun-0862.718.6
Jun-0943.114.2
Jun-1045.714.6
Jun-1151.417.6
Jun-1249.813.2
Jun-1353.312.7
Jun-1458.717.3
Jun-1557.816.8
Jun-1656.419.4
Jun-1761.522.0
Jun-1864.83255224.4
Jun-1965.45489125.4
Sep-1966.01534326.5
Dec-1966.22138927.2
Mar-2061.525.9
Gross Investment Portfolio3339034851366783704337408377733813938504388693923439600399654033040695410614142641791421564255142916432814364643738438304392119.10000000000000128.853.448.143.542.348.351.85767.262.743.145.751.449.853.30000000000000458.757.856.40000000000000661.564.83255200000000765.45489100000000366.01534300000000166.22138900000000261.519888999999999Internally Managed Assets333903485136678370433740837773381393850438869392343960039965403304069541061414264179142156425514291643281436464373843830439212.610.617.715.913.515.620.39999999999999917.10000000000000117.722.618.60000000000000114.214.617.60000000000000113.212.717.316.76699999999999919.37300000000000121.95499999999999824.37276599999999925.40626100000000126.53896127.21336000000000225.923077000000003
Internal Breakdown
6/1/076/1/086/1/096/1/106/1/116/1/126/1/136/1/146/1/156/1/166/1/176/1/186/30/199/30/1912/31/193/31/20
U.S. Equity12,551,224.007,470,929.004,242,252.004,925,853.004,998,499.005,159,971.004,289,014.004,782,604.005,027,930.003,790,325.004,325,462.004,760,508.003,009,323.003,053,135.003,302,937.002,953,159.00
Fixed Income2,391,063.003,347,881.002,539,240.002,812,840.002,866,914.002,566,685.002,814,284.003,908,995.003,427,304.003,405,185.004,583,599.004,940,446.008,307,992.008,790,447.008,992,498.008,787,645.00
Cash & Cash Equivalents742,670.00(188,305.00)2,408,992.001,832,131.003,276,532.00509,194.001,607,026.002,266,809.00754,599.001,793,382.002,025,802.002,489,293.002,694,996.003,010,419.003,675,856.003,834,055.00
Non-U.S. Equity6,455,695.006,536,258.003,658,140.004,199,486.005,036,477.003,290,916.002,365,219.002,598,229.004,041,611.003,165,531.003,003,043.003,103,530.002,471,537.002,432,229.002,140,119.001,999,959.00
Commodities- 0- 0- 0- 0- 0450,000.00550,000.001,505,473.001,833,987.003,137,853.003,331,156.003,448,381.003,475,694.003,517,499.003,663,657.003,356,105.00
Real Estate- 0- 0- 0- 0- 0- 027,782.0051,209.0057,627.00534,216.00809,997.00571,252.00601,891.00588,252.00601,357.00509,540.00
Risk Parity100,093.00404,690.00875,903.002,008,965.002,575,580.002,811,232.002,508,599.002,582,577.002,364,925.002,097,102.00
Private Markets- 0- 0- 0- 0- 0- 069,856.00165,554.00262,448.00382,474.00533,646.00534,181.00757,637.00854,585.00828,334.00788,303.00
MLP460,538.00472,898.00710,891.00362,197.00346,651.00343,560.00415,163.00
Infrastructure506,862.00992,688.001,034,990.001,211,407.001,238,565.001,278,349.001,198,288.00
U.S. Equity 3923439600399654033040695410614142641791421564252242887432524364643738438304392112551224747092942422524925853499849951599714289014478260450279303790325432546247605083009323305313533029372953159 Fixed Income 392343960039965403304069541061414264179142156425224288743252436464373843830439212391063334788125392402812840286691425666852814284390899534273043405185458359949404468307992879044789924988787645 Cash & Cash Equivalents 39234396003996540330406954106141426417914215642522428874325243646437384383043921742670-188305240899218321313276532509194160702622668097545991793382202580224892932694996301041936758563834055 Non-U.S. Equity 392343960039965403304069541061414264179142156425224288743252436464373843830439216455695653625836581404199486503647732909162365219259822940416113165531300304331035302471537243222921401191999959 Commodities 3923439600399654033040695410614142641791421564252242887432524364643738438304392100000450000550000150547318339873137853333115634483813475694351749936636573356105 Real Estate 39234396003996540330406954106141426417914215642522428874325243646437384383043921000000277825120957627534216809997571252601891588252601357509540 Risk Parity 392343960039965403304069541061414264179142156425224288743252436464373843830439211000934046908759032008965257558028112322508599258257723649252097102 Private Markets 3923439600399654033040695410614142641791421564252242887432524364643738438304392100000069856165554262448382474533646534181757637854585828334788303 MLP 39234396003996540330406954106141426417914215642522428874325243646437384383043921460538472898710891362197346651343560415163 Infrastructure 3923439600399654033040695410614142641791421564252242887432524364643738438304392150686299268810349901211407123856512783491198288
Billions
Stmt of Chg in Plan Net Assets
Additions:2013( $ in millions)2014( $ in millions)2015( $ in millions)2016( $ in millions)2017( $ in millions)2018( $ in millions)2019( $ in millions)Data from Fiscal Year End CAFR, Statements of Changes in Fiduciary Net Position under Pension Column
• Member Contributions9919679859891,0141,0261,064Members
• Employer Contributions1,4461,9922,5973,1903,8334,2504,488Employers
• Net Investment Income 4,1267,0981,3284734,9954,7143,629Total Net Investment Income
Total Additions6,56310,0574,9104,6529,8429,9909,180
Deductions:
• Pension Benefits6,0446,0536,2216,3606,4746,6556,761Benefits and Refunds of Contributions added together
• Administrative Expenses37394245454749Administrative expenses
Total Deductions6,0816,0926,2636,4056,5196,7026,810
Net Increase/(Decrease) in Plan Net Assets4823,965(1,353)(1,753)3,3233,2882,370
PSERS Source of Funding
Investment EarningsEmployee ContributionsEmployer Contributions
68.63%15.26%16.11%
69.315.416.3
Investment EarningsEmployee ContributionsEmployer Contributions0.686300000000000020.152600000000000010.16109999999999999Investment EarningsEmployee ContributionsEmployer Contributions69.315.416.3
PSERS Funded Ratio
Summary of Principal Benefits
Funded Status
Use Actuarial ValueFormulaFormula
FY EndingJune 30AccruedLiability ($)ValuationAssets ($)Unfunded (Overfunded)Accrued Liability ($)FundedRatio (%)
2016100,11457,39042,72457.3
201594,69857,36237,33660.6
201492,46557,34435,12162.0
201390,05257,45432,59863.8
201287,85458,32129,53366.4
201185,75259,25226,50069.1
201079,12259,42419,69875.1
200975,62659,88715,73979.2
200870,94161,0189,92386.0
200766,59357,1559,43885.8
200664,72052,55812,16281.2
200561,22651,21910,00783.7
200457,12452,0955,02991.2
200354,44352,9001,54397.2
200251,79654,296(2,500)104.8
200147,91754,830(6,913)114.4
200039,82349,293(9,470)123.8
199937,49944,606(7,107)119.0
199836,13639,969(3,833)110.6
199733,21034,873(1,663)105.0
199631,63030,1711,45995.4
199530,07326,9713,10289.7
199428,34824,5523,79686.6
199325,94722,6443,30387.3
199224,57020,0684,50281.7
199122,57417,9624,61279.6
PSERS Funded Ratio - %
DateFunded Ratio
199179.6
199281.7
199387.3
199486.6
199589.7
199695.4
1997105
1998110.6
1999119
2000123.8
2001114.4
2002104.8
200397.2
200491.2
200583.7
200681.2
200785.8
200886
200979.2
201075.1
201169.1
201266.4
201363.8
201462
201560.6
201657.3
Funded Ratio1991199219931994199519961997199819992000200120022003200420052006200720082009201020112012201320142015201679.59999999999999481.787.386.689.795.4105110.6119123.8114.4104.897.291.283.781.285.88679.275.09999999999999469.09999999999999466.40000000000000663.86260.657.3
Fiscal Year Ending June 30
Total Contribution Rates
Summary of Principal Results
Total Contribtuion RateMember Average Contribtuion RateFormula
FiscalYearEmployerRate (%)*MemberRate (%)Total Contribution Rate (%)
2018-1933.437.5440.97
2017-1832.577.5440.11
2016-1730.037.5237.55
2015-1625.847.4933.33
2014-1521.407.4628.86
2013-1416.937.4324.36
2012-1312.367.4019.76
2011-128.657.3716.02
2010-115.647.3412.98
2009-104.787.3212.10
2008-094.767.2912.05
2007-087.137.2514.38
2006-076.467.2113.67
2005-064.697.1611.85
2004-054.237.1211.35
2003-043.777.0810.85
2002-031.157.108.25
2001-021.096.437.52
2000-011.945.777.71
1999-20004.615.7210.33
1998-996.045.6911.73
1997-988.765.6514.41
1996-9710.605.6216.22
1995-9611.725.5917.31
1994-9511.065.5516.61
1993-9413.175.5118.68
1992-9314.245.4819.72
1991-9214.905.4620.36
History of Member and Employer
Five-year History of Principal Finanical Results
Normal Cost
DateEmployer RateMember RateEmployer Normal Cost
199214.95.468
199314.245.487.9
199413.175.517.34
199511.065.556.43
199611.725.596.43
199710.65.626.44
19988.765.656.44
19996.045.696.33
20004.615.726.4
20011.945.776.29
20021.095.85.63
20031.157.17.2
20043.777.087.25
20054.237.127.48
20064.697.167.61
20076.467.216.62
20087.137.256.68
20094.767.296.68
20104.787.327.35
20115.647.348.08
20128.657.378.12
201312.367.48.66
201416.937.438.57
201521.47.468.46
201625.847.498.38
201730.037.528.31
201832.577.547.59
Employer Rate19921993199419951996199719981999200020012002200320042005200620072008200920102011201220132014201520162017201814.914.2413.1711.0611.7210.68.766.044.61000000000000031.941.09000000000000011.14999999999999993.774.23000000000000044.69000000000000046.467.134.764.785.648.6512.3616.9321.425.8430.0332.57Member Rate1992199319941995199619971998199920002001200220032004200520062007200820092010201120122013201420152016201720185.465.485.515.555.595.625.655.695.725.775.87.17.087.127.167.217.257.297.327.347.377.47.437.467.497.527.54Employer Normal Cost19921993199419951996199719981999200020012002200320042005200620072008200920102011201220132014201520162017201887.97.346.436.436.446.446.336.46.295.637.27.257.487.616.626.686.687.358.088.11999999999999928.668.578.46000000000000098.38000000000000088.317.59
Fiscal Year Ending June 30
Annual Cash Flow since 01
CAFR Input
Member Contributions ($)Employer Contributions ($)Benefit Payments ($)Net Cash Flow Shortfall ($)Balance, end of yearCash Flow Excess/Shortfall as % of Beginning NAV (%)
2001$579,850$158,193$2,123,526($1,385,483)$53,361,722-2.60%
2002$662,561$539$2,731,417($2,068,317)$48,096,955-4.30%
2003$752,110$20,831$2,916,251($2,143,310)$43,473,249-4.93%
2004$783,691$321,091$3,283,506($2,178,724)$42,316,379-5.15%
2005$788,310$431,556$3,666,930($2,447,064)$48,339,649-5.06%
2006$827,647$456,878$3,885,450($2,600,925)$51,936,397-5.01%
2007$855,322$659,545$4,068,625($2,553,758)$57,235,667-4.46%
2008$879,598$753,532$4,682,210($3,049,080)$67,340,997-4.53%
2009$911,118$503,227$4,667,613($3,253,268)$62,473,426-5.21%
2010$952,047$527,212$4,985,957($3,506,698)$42,995,480-8.16%
2011$1,042,707$646,560$5,308,762($3,619,495)$45,598,475-7.94%
2012$952,887$1,004,585$5,682,746($3,725,274)$51,199,994-7.28%
2013$991,087$1,446,402$6,044,246($3,606,757)$48,533,796-7.43%
2014$966,926$1,992,084$6,053,505($3,094,495)$49,015,561-6.31%
2015$984,634$2,596,731$6,220,601($2,639,236)$52,980,115-4.98%
2016$989,266$3,189,510$6,360,325($2,181,549)$49,832,060-4.38%
2017ERROR:#REF!ERROR:#REF!ERROR:#REF!ERROR:#REF!$53,155,336ERROR:#REF!
ERROR:#REF!ERROR:#REF!ERROR:#REF!ERROR:#REF!$867,885,258
16 Year TotalsERROR:#REF!ERROR:#REF!ERROR:#REF!ERROR:#REF!
CumCumCumannualannualannual
Member Contributions ($)Employer Contributions ($)Benefit Payments ($)Member ContributionsEmployer ContributionsBenefit Payments
2000$552,502$390,504$2,227,903$552,502$390,504$2,227,903
2001$1,132,352$548,697$4,351,429$579,850$158,193$2,123,526
2002$1,794,913$549,236$7,082,846$662,561$539$2,731,417
2003$2,547,023$570,067$9,999,097$752,110$20,831$2,916,251
2004$3,330,714$891,158$13,282,603$783,691$321,091$3,283,506
2005$4,119,024$1,322,714$16,949,533$788,310$431,556$3,666,930
2006$4,946,671$1,779,592$20,834,983$827,647$456,878$3,885,450
2007$5,801,993$2,439,137$24,903,608$855,322$659,545$4,068,625
2008$6,681,591$3,192,669$29,585,818$879,598$753,532$4,682,210
2009$7,592,709$3,695,896$34,253,431$911,118$503,227$4,667,613
2010$8,544,756$4,223,108$39,239,388$952,047$527,212$4,985,957
2011$9,587,463$4,869,668$44,548,150$1,042,707$646,560$5,308,762
2012$10,540,350$5,874,253$50,230,896$952,887$1,004,585$5,682,746
2013$11,531,437$7,320,655$56,275,142$991,087$1,446,402$6,044,246
2014$12,498,363$9,312,739$62,328,647$966,926$1,992,084$6,053,505
2015$13,482,997$11,909,470$68,549,248$984,634$2,596,731$6,220,601
2016$14,472,263$15,098,980$74,909,573$989,266$3,189,510$6,360,325
2017ERROR:#REF!ERROR:#REF!ERROR:#REF!ERROR:#REF!ERROR:#REF!ERROR:#REF!
2018ERROR:#REF!ERROR:#REF!ERROR:#REF!$0$0$0
Member Contributions ($)2001200220032004200520062007200820092010201120122013201420152016201757985066256175211078369178831082764785532287959891111895204710427079528879910879669269846349892660Employer Contributions ($)2001200220032004200520062007200820092010201120122013201420152016201715819353920831321091431556456878659545753532503227527212646560100458514464021992084259673131895100Benefit Payments ($)2001200220032004200520062007200820092010201120122013201420152016201721235262731417291625132835063666930388545040686254682210466761349859575308762568274660442466053505622060163603250Net Cash Flow Shortfall ($)20012002200320042005200620072008200920102011201220132014201520162017-1385483-2068317-2143310-2178724-2447064-2600925-2553758-3049080-3253268-3506698-3619495-3725274-3606757-3094495-2639236-21815490Cash Flow Excess/Shortfall as % of Beginning NAV (%)20012002200320042005200620072008200920102011201220132014201520162017-2.5963985944831392E-2-4.3003075766438852E-2-4.9301813167909304E-2-5.1486541416977102E-2-5.0622295581831803E-2-5.0079041871156367E-2-4.4618297188709272E-2-4.5278212913895527E-2-5.207442921411097E-2-8.1559689530155258E-2-7.9377544972721134E-2-7.275926633897653E-2-7.4314339640773205E-2-6.313290997526276E-2-4.9815595908011899E-2-4.3778021619013945E-20
Member Contributions ($)2001200220032004200520062007200820092010201120122013201420155798506625617521107836917883108276478553228795989111189520471042707952887991087966926984634Employer Contributions ($)200120022003200420052006200720082009201020112012201320142015158193539208313210914315564568786595457535325032275272126465601004585144640219920842596731Member Contributions ($)20002001200220032004200520062007200820092010201120122013201420155525021132352179491325470233330714411902449466715801993668159175927098544756958746310540350115314371249836313482997Employer Contributions ($)2000200120022003200420052006200720082009201020112012201320142015390504548697549236570067891158132271417795922439137319266936958964223108486966858742537320655931273911909470Benefit Payments ($)20002001200220032004200520062007200820092010201120122013201420152227903435142970828469999097132826031694953320834983249036082958581834253431392393884454815050230896562751426232864768549248
Annual Cash Flow since 82 & 01
Input
Member Contributions ($)Employer Contributions ($)Benefit Payments ($)Net Cash Flow Shortfall ($)Balance, beginning of yearCash Flow Excess/Shortfall as % of Beginning NAV (%)
1982$180,551$501,025$547,104$134,472$5,329,1912.52%
1983$184,639$541,108$604,857$120,890$5,893,6602.05%
1984$197,096$608,617$612,649$193,064$6,017,5003.21%
1985$217,946$763,488$674,067$307,367$6,797,7444.52%
1986$228,760$831,840$706,083$354,517$7,882,9864.50%
1987$250,420$888,260$795,375$343,305$9,348,4843.67%
1988$275,994$932,532$783,250$425,276$11,041,4003.85%
1989$287,803$989,510$874,723$402,590$12,434,5433.24%
1990$311,434$1,086,447$929,157$468,724$13,999,2543.35%
1991$337,768$1,142,086$968,402$511,452$15,885,7673.22%
1992$361,654$929,324$1,024,350$266,628$17,597,4001.52%
1993$408,588$931,829$1,315,352$25,065$19,560,4500.13%
1994$404,183$909,292$1,361,773($48,298)$21,673,536-0.22%
1995$428,584$791,607$1,389,067($168,876)$23,412,344-0.72%
1996$448,051$860,702$1,519,874($211,121)$28,754,390-0.73%
1997$469,439$792,342$1,748,864($487,083)$33,662,460-1.45%
1998$484,844$714,815$1,883,705($684,046)$39,295,528-1.74%
1999$538,175$511,405$2,313,953($1,264,373)$44,775,703-2.82%
2000$552,502$390,504$2,227,903($1,284,897)$48,911,432-2.63%
2001$579,850$158,193$2,123,526($1,385,483)$53,361,722-2.60%
2002$662,561$539$2,731,417($2,068,317)$48,096,955-4.30%
2003$752,110$20,831$2,916,251($2,143,310)$43,473,249-4.93%
2004$783,691$321,091$3,283,506($2,178,724)$42,316,379-5.15%
2005$788,310$431,556$3,666,930($2,447,064)$48,339,649-5.06%
2006$827,647$456,878$3,885,450($2,600,925)$51,936,397-5.01%
2007$855,322$659,545$4,068,625($2,553,758)$57,235,667-4.46%
2008$879,598$753,532$4,682,210($3,049,080)$67,340,997-4.53%
2009$911,118$503,227$4,667,613($3,253,268)$62,473,426-5.21%
2010$952,047$527,212$4,985,957($3,506,698)$42,995,480-8.16%
2011$1,042,707$646,560$5,308,762($3,619,495)$45,598,475-7.94%
2012$952,887$1,004,585$5,682,746($3,725,274)$51,199,994-7.28%
2013$991,087$1,446,402$6,044,246($3,606,757)$48,533,796-7.43%
2014$966,926$1,992,084$6,053,505($3,094,495)$49,015,561-6.31%
2015$984,634$2,596,731$6,220,601($2,639,236)$52,980,115-4.98%
2016$989,266$3,189,510$6,360,325($2,181,549)$51,585,521-4.38%
2017$1,013,847$3,832,773$6,473,579($1,626,959)$49,832,060-3.26%
2018$1,026,375$4,249,611$6,655,146($1,379,160)$53,075,260-2.60%
2019$1,064,043$4,487,520$6,761,172($1,209,609)$56,363,714-2.15%
$17,576,528$27,668,884$94,799,470($49,554,058)
Member Contributions ($)20012002200320042005200620072008200920102011201220132014201520162017201820195798506625617521107836917883108276478553228795989111189520471042707952887991087966926984634989266101384710263751064043Employer Contributions ($)20012002200320042005200620072008200920102011201220132014201520162017201820191581935392083132109143155645687865954575353250322752721264656010045851446402199208425967313189510383277342496114487520Benefit Payments ($)20012002200320042005200620072008200920102011201220132014201520162017201820192123526273141729162513283506366693038854504068625468221046676134985957530876256827466044246605350562206016360325647357966551466761172Net Cash Flow Shortfall ($)2001200220032004200520062007200820092010201120122013201420152016201720182019-1385483-2068317-2143310-2178724-2447064-2600925-2553758-3049080-3253268-3506698-3619495-3725274-3606757-3094495-2639236-2181549-1626959-1379160-1209609Cash Flow Excess/Shortfall as % of Beginning NAV (%)2001200220032004200520062007200820092010201120122013201420152016201720182019-2.5963985944831392E-2-4.3003075766438852E-2-4.9301813167909304E-2-5.1486541416977102E-2-5.0622295581831803E-2-5.0079041871156367E-2-4.4618297188709272E-2-4.5278212913895527E-2-5.207442921411097E-2-8.1559689530155258E-2-7.9377544972721134E-2-7.275926633897653E-2-7.4314339640773205E-2-6.313290997526276E-2-4.9815595908011899E-2-4.3778021619013945E-2-3.2648840926905287E-2-2.5984988109337571E-2-2.146077527822244E-2
Billions
Member Contributions ($)198219831984198519861987198819891990199119921993199419951996199719981999200020012002200320042005200620072008200920102011201220132014201520162017201820191805511846391970962179462287602504202759942878033114343377683616544085884041834285844480514694394848445381755525025798506625617521107836917883108276478553228795989111189520471042707952887991087966926984634989266101384710263751064043Employer Contributions ($)19821983198419851986198719881989199019911992199319941995199619971998199920002001200220032004200520062007200820092010201120122013201420152016201720182019501025541108608617763488831840888260932532989510108644711420869293249318299092927916078607027923427148155114053905041581935392083132109143155645687865954575353250322752721264656010045851446402199208425967313189510383277342496114487520Benefit Payments ($)198219831984198519861987198819891990199119921993199419951996199719981999200020012002200320042005200620072008200920102011201220132014201520162017201820195471046048576126496740677060837953757832508747239291579684021024350131535213617731389067151987417488641883705231395322279032123526273141729162513283506366693038854504068625468221046676134985957530876256827466044246605350562206016360325647357966551466761172Net Cash Flow Shortfall ($)1982198319841985198619871988198919901991199219931994199519961997199819992000200120022003200420052006200720082009201020112012201320142015201620172018201913447212089019306430736735451734330542527640259046872451145226662825065-48298-168876-211121-487083-684046-1264373-1284897-1385483-2068317-2143310-2178724-2447064-2600925-2553758-3049080-3253268-3506698-3619495-3725274-3606757-3094495-2639236-2181549-1626959-1379160-1209609Cash Flow Excess/Shortfall as % of Beginning NAV (%)198219831984198519861987198819891990199119921993199419951996199719981999200020012002200320042005200620072008200920102011201220132014201520162017201820192.5233098231983053E-22.0511872079488808E-23.2083755712505192E-24.5216030494822985E-24.4972425423564118E-23.6723066542125975E-23.85164924737805E-23.23767427560466E-23.3482069830292387E-23.2195612588299956E-21.5151556479934537E-21.281412237448525E-3-2.2284319457609499E-3-7.2131180030500152E-3-7.3422180056680044E-3-1.4469619867353723E-2-1.7407731485374112E-2-2.8237926269968336E-2-2.6269870814659445E-2-2.5963985944831392E-2-4.3003075766438852E-2-4.9301813167909304E-2-5.1486541416977102E-2-5.0622295581831803E-2-5.0079041871156367E-2-4.4618297188709272E-2-4.5278212913895527E-2-5.207442921411097E-2-8.1559689530155258E-2-7.9377544972721134E-2-7.275926633897653E-2-7.4314339640773205E-2-6.313290997526276E-2-4.9815595908011899E-2-4.3778021619013945E-2-3.2648840926905287E-2-2.5984988109337571E-2-2.146077527822244E-2
Billions
Member Contributions ($)198219831984198519861987198819891990199119921993199419951996199719981999200020012002200320042005200620072008200920102011201220132014201520162017201820191805511846391970962179462287602504202759942878033114343377683616544085884041834285844480514694394848445381755525025798506625617521107836917883108276478553228795989111189520471042707952887991087966926984634989266101384710263751064043Employer Contributions ($)19821983198419851986198719881989199019911992199319941995199619971998199920002001200220032004200520062007200820092010201120122013201420152016201720182019501025541108608617763488831840888260932532989510108644711420869293249318299092927916078607027923427148155114053905041581935392083132109143155645687865954575353250322752721264656010045851446402199208425967313189510383277342496114487520Benefit Payments ($)198219831984198519861987198819891990199119921993199419951996199719981999200020012002200320042005200620072008200920102011201220132014201520162017201820195471046048576126496740677060837953757832508747239291579684021024350131535213617731389067151987417488641883705231395322279032123526273141729162513283506366693038854504068625468221046676134985957530876256827466044246605350562206016360325647357966551466761172Net Cash Flow Shortfall ($)1982198319841985198619871988198919901991199219931994199519961997199819992000200120022003200420052006200720082009201020112012201320142015201620172018201913447212089019306430736735451734330542527640259046872451145226662825065-48298-168876-211121-487083-684046-1264373-1284897-1385483-2068317-2143310-2178724-2447064-2600925-2553758-3049080-3253268-3506698-3619495-3725274-3606757-3094495-2639236-2181549-1626959-1379160-1209609Cash Flow Excess/Shortfall as % of Beginning NAV (%)198219831984198519861987198819891990199119921993199419951996199719981999200020012002200320042005200620072008200920102011201220132014201520162017201820192.5233098231983053E-22.0511872079488808E-23.2083755712505192E-24.5216030494822985E-24.4972425423564118E-23.6723066542125975E-23.85164924737805E-23.23767427560466E-23.3482069830292387E-23.2195612588299956E-21.5151556479934537E-21.281412237448525E-3-2.2284319457609499E-3-7.2131180030500152E-3-7.3422180056680044E-3-1.4469619867353723E-2-1.7407731485374112E-2-2.8237926269968336E-2-2.6269870814659445E-2-2.5963985944831392E-2-4.3003075766438852E-2-4.9301813167909304E-2-5.1486541416977102E-2-5.0622295581831803E-2-5.0079041871156367E-2-4.4618297188709272E-2-4.5278212913895527E-2-5.207442921411097E-2-8.1559689530155258E-2-7.9377544972721134E-2-7.275926633897653E-2-7.4314339640773205E-2-6.313290997526276E-2-4.9815595908011899E-2-4.3778021619013945E-2-3.2648840926905287E-2-2.5984988109337571E-2-2.146077527822244E-2
Billions
-
2
PSERS’ Investment PortfolioAsset Allocation as of March 31, 2020 (Unaudited)
Publicly Traded Equities, 15.4%
Private Markets, 15.8%
Investment Grade, 10.0%
Credit-Related, 9.7%
Inflation Protected, 14.9%MLP, 1.7%Infrastructure, 2.8%
Commodities, 7.5%Real Estate, 10.5%
Risk Parity, 7.4%
Absolute Return, 10.7%
Cash and Cash Equivalents, 7.0%
Financing, -13.5%
-20%
-10%
0%
10%
20%
30%
40%
50%
60%
70%
80%
90%
100%
110%
120%
Total Real Assets22.5%
Total Fixed Income34.6%
Total Equities31.2%
-
3
PSERS’ Investment PortfolioAsset Allocation as of March 31, 2020 (Unaudited)
*Financing represents a negative 13.5% allocation and is not reflected in the pie chart.
Publicly Traded Equities, 15.4%
Private Markets, 15.8%
Investment Grade, 10.0%
Credit-Related, 9.7%
Inflation Protected, 14.9%
MLP, 1.7%Infrastructure, 2.8%
Commodities, 7.5%
Real Estate, 10.5%
Risk Parity, 7.4%
Absolute Return, 10.7%
Cash and Cash Equivalents, 7.0%
-
4
PSERS’ Historical Asset Allocation
-30%
-20%
-10%
0%
10%
20%
30%
40%
50%
60%
U.S. Equity Non-U.S. Equity Fixed IncomeReal Estate Private Markets Absolute ReturnMLP Infrastructure Risk ParityCommodities Cash & Cash Equivalents Financing
-
5
PSERS’ Historical Net Investment Portfolio
0.8 2.14.9
17.3
28.8
33.7
39.3
44.8
48.9
53.4
48.1
43.5 42.3
48.351.8
57.0
67.2
62.7
43.145.7
51.448.5 49.2
52.7 51.949.2
52.455.6
58.2 58.5 59.0
54.2
$0
$10
$20
$30
$40
$50
$60
$70
$80
Month/Year
Bill
ions
-
6
PSERS’ Gross Investment PortfolioInternally Managed Assets
$0
$10
$20
$30
$40
$50
$60
$70
$80
Gross Investment Portfolio Internally Managed Assets
Bill
ions
-
7
PSERS’ Internally Managed Assets
$0
$5
$10
$15
$20
$25
$30
06/2007 06/2008 06/2009 06/2010 06/2011 06/2012 06/2013 06/2014 06/2015 06/2016 06/2017 06/2018 06/2019 09/2019 12/2019 03/2020
Bill
ions
U.S. Equity Fixed Income Cash & Cash Equivalents Non-U.S. Equity Commodities Real Estate Risk Parity Private Markets MLP Infrastructure
-
8
PSERS’ Summary Statements of Changes in Plan Net AssetsFor the Fiscal Years Ended June 30
Additions: 2013( $ in millions)
2014( $ in millions)
2015( $ in millions)
2016( $ in millions)
2017( $ in millions)
2018( $ in millions)
2019( $ in millions)
• Member Contributions 991 967 985 989 1,014 1,026 1,064
• Employer Contributions 1,446 1,992 2,597 3,190 3,833 4,250 4,488
• Net Investment Income 4,126 7,098 1,328 473 4,995 4,714 3,629
Total Additions 6,563 10,057 4,910 4,652 9,842 9,990 9,180
Deductions:
• Pension Benefits 6,044 6,053 6,221 6,360 6,474 6,655 6,761
• Administrative Expenses 37 39 42 45 45 47 49
Total Deductions 6,081 6,092 6,263 6,405 6,519 6,702 6,810
Net Increase/(Decrease) in Plan Net Assets 482 3,965 (1,353) (1,753) 3,323 3,288 2,370
-
9
PSERS Annual Cash Flows History – Since 2001
(14%)
(12%)
(10%)
(8%)
(6%)
(4%)
(2%)
0%
2%
4%
6%
8%
10%
($10)
($8)
($6)
($4)
($2)
$0
$2
$4
$6
$8
$10
2001
2002
2003
2004
2005
2006
2007
2008
2009
2010
2011
2012
2013
2014
2015
2016
2017
2018
2019Bill
ions
Member Contributions ($) Employer Contributions ($)
Benefit Payments ($) Net Cash Flow Shortfall ($)
Cash Flow Excess/Shortfall as % of Beginning NAV (%)
-
10
PSERS Annual Cash Flows History – Since 1982
(14%)
(12%)
(10%)
(8%)
(6%)
(4%)
(2%)
0%
2%
4%
6%
8%
10%
($10)
($8)
($6)
($4)
($2)
$0
$2
$4
$6
$8
$10
1982
1983
1984
1985
1986
1987
1988
1989
1990
1991
1992
1993
1994
1995
1996
1997
1998
1999
2000
2001
2002
2003
2004
2005
2006
2007
2008
2009
2010
2011
2012
2013
2014
2015
2016
2017
2018
2019Bill
ions
Member Contributions ($) Employer Contributions ($)
Benefit Payments ($) Net Cash Flow Shortfall ($)
Cash Flow Excess/Shortfall as % of Beginning NAV (%)
PSERS’ Investment Portfolio�Asset Allocation as of March 31, 2020 (Unaudited)PSERS’ Investment Portfolio�Asset Allocation as of March 31, 2020 (Unaudited)PSERS’ Investment Portfolio�Asset Allocation as of March 31, 2020 (Unaudited)PSERS’ Historical Asset AllocationPSERS’ Historical Net Investment PortfolioPSERS’ Gross Investment Portfolio�Internally Managed AssetsPSERS’ Internally Managed AssetsPSERS’ Summary Statements of Changes in Plan Net Assets� For the Fiscal Years Ended June 30PSERS Annual Cash Flows History – Since 2001PSERS Annual Cash Flows History – Since 1982
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