lgip investor meeting - oregon€¦ · 29/08/2019 · • in 1998, with cash and broad u.s. fixed...

LGIP Investor MeetingJohn D. SkjervemChief Investment Officer

August 29, 2019

Oregon State TreasuryAssets Under Management(as of June 30, 2019)

Total Assets: $106.4 billion

Oregon Public Employees Retirement Fund, $76.6B

Oregon Short Term Fund, $21.1B

State Accident Insurance Fund, $5.0B

Other Funds, $3.8B

OPERF 15-Year Net Asset Value History

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Oregon Public Employees Retirement Fund Asset Allocation(Asset values as of June 30, 2019)

Public Equity, $26.4B34.4%

Fixed Income, $15.1B19.7%

Private Equity, $16.5B21.6%

Real Estate, $8.3B10.8%

Alternatives, $7.3B9.6%

Opportunity, $1.7B2.2%

Cash & Transition, $1.3B1.7%

Oregon Public Employees Retirement Fund Asset Allocation(Assets as of June 30, 2019, FTEs as of today)

OPERF$76.6B (100.0%)

Capital Markets8 Investment Officers, 5

Investment Analysts$42.8B (55.8%)

Alternative Investments13 Investment Officers, 4

Investment Analysts$33.8B (44.2%)

Public Equity$26.4B (34.4%)

Fixed Income$15.1B (19.7%)

Cash & Transition$1.3B (1.7%)

Private Equity$16.5B (21.6%)

Real Estate$8.3B (10.8%)

Alternatives$7.3B (9.6%)

Opportunity$1.7B (2.2%)

OST Staffing Compared to Peers

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4th Quartile 3rd Quartile 2nd Quartile 1st Quartile OST (2015) OST (2017) OST (Today)

Ranking based on custom peer group of 10 global asset owners of similar size and portfolio composition using December 2017 data.

Source: CEM Benchmarking

• In 1998, with cash and broad U.S. fixed income return expectations of 4.8% and 6.6%, respectively, an investor could have an almost three-quarters’ allocation to these low risk asset classes and still expect to earn 7.1%.

• Ten years later, an investor needed a 48% allocation to relatively risky, return-seeking assets to achieve 7.1%.• By 2018, that same investor had to “risk-up” the portfolio much further to a 98% allocation to return-seeking assets

in order to earn 7.1%.• Bottom line: total portfolio risk required to achieve a 7.1% return more than tripled from 5.8% in 1998 to 19% in

2018.

Expected Portfolio Returns Over Past 20 Years

Source: Callan LLC; April 2018 OIC Meeting Materials.

OPERF Investment Performance(as of June 30, 2019)

Annualized Return 1-Year 3-Year 5-Year 7-Year 10-Year 20-Year

Russell 3000 8.98% 14.02% 10.19% 13.79% 14.67% 6.30%

S&P 500 10.42% 14.19% 10.71% 13.98% 14.70% 5.90%

Russell 2000 -3.31% 12.30% 7.06% 11.63% 13.45% 7.77%

MSCI ACWI ex-US IMI 0.26% 9.17% 2.05% 6.27% 6.48% 4.09%

MSCI Emerging Markets 1.21% 10.66% 2.49% 4.15% 5.81% 7.38%

Bloomberg Barclays U.S. Aggregate 7.87% 2.31% 2.95% 2.62% 3.90% 4.93%

Fund Performance (Net of Fees) 1-Year 3-Year 5-Year 7-Year 10-Year 20-Year

OPERF (Ranking1) 6.52% (30) 9.34% (19) 6.65% (11) 8.87% (11) 10.17% (1) 7.06% (1)Domestic Equity 5.30% 13.15% 9.06% 12.96% 14.11% 6.64%

International Equity 0.39% 9.80% 3.35% 7.79% 7.99% 6.07%

Fixed Income 7.24% 2.98% 2.81% 3.31% 5.69% 5.77%

Private Equity 15.03% 15.11% 11.70% 12.83% 14.49% 11.44%

Real Estate 5.85% 7.59% 9.12% 10.36% 10.03% 10.15%1 Relative to Wilshire Trust Universe Comparison Service (TUCS) Public Funds > $10 Billion peer group. Percentile rankings based on estimated gross returns for Fund and peer group.

OPERF Performance Impact in $$$s(as of June 30, 2019)

Notes: OPERF vs Median reflects gross performance compared to TUCS Universe Median > $10 Billion. OPERF vs Balanced Portfolios reflects net performance. The 60/40 Balanced Portfolio consists of 60% MSCI ACWI IMI net, 40% Bloomberg Barclays Aggregate.The 70/30 Balanced Portfolio consists of 70% MSCI ACWI IMI net, 30% Bloomberg Barclays Aggregate.

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1-Year 3-Year 5-Year 7-Year 10-Year 20-Year

Estimated Contribution to Total Return

Dollar Impact vs Median Dollar Impact vs 60/40 Balanced Index Dollar Impact vs 70/30 Balanced Index

Chart1


Dollar Impact vs Median1-Year3-Year5-Year7-Year10-Year20-Year238513.402005253741127416.34233140112905788.17635434913039827.67214961586765179.75718080259868907.1714054793Dollar Impact vs 60/40 Balanced Index1-Year3-Year5-Year7-Year10-Year20-Year474185.540613596093216255.54441470656472772.9006440497517507.554783569610796070.24605948712792752.529316265Dollar Impact vs 70/30 Balanced Index1-Year3-Year5-Year7-Year10-Year20-Year720791.364107748141350364.45808908535392882.95251084684608598.15257588127939400.568045331212576245.997447213

Original

Annualized Return1-Year3-Year5-Year7-Year10-Year20-Year

Russell 3000-5.24%8.97%7.91%12.46%13.18%5.96%

S&P 500-4.38%9.26%8.49%12.70%13.12%5.62%

Russell 2000-11.01%7.36%4.41%10.44%11.97%7.40%

MSCI ACWI ex-US IMI-14.76%4.39%0.84%5.07%6.97%4.61%

MSCI Emerging Markets IMI Net-15.04%8.51%1.57%3.29%8.25%8.76%

Bloomberg Barclays U.S. Aggregate0.01%2.17%2.49%2.36%3.94%4.65%

MSCI ACWI IMI net-10.08%6.49%4.17%8.44%9.74%5.02%

Fund Performance1-Year3-Year5-Year7-Year10-Year20-Year

OPERF (Ranking1)0.48% (9)7.49% (9)6.33% (5)8.72% (1)9.46% (1)7.08% (1)

CalPERs-3.50%6.30%5.10%N/A7.90%N/A

Domestic Equity-7.87%8.38%6.75%11.80%13.10%6.41%

International Equity-14.88%5.09%1.89%6.45%8.00%5.86%

Fixed Income0.25%2.34%2.21%3.16%6.28%5.36%

Private Equity18.15%13.78%12.87%13.56%11.66%12.00%

Real Estate8.03%8.65%9.98%10.90%7.70%10.30%

Fund Performance1-Year3-Year5-Year10-Year

OPERF0.5%7.5%6.3%9.5%

CalPERs-3.5%6.3%5.1%7.9%

Comparison

6/30/186/30/166/30/146/30/126/30/096/30/99

OPERF ($)$ 74,535,438$ 68,328,263$ 70,018,992$ 57,139,618$ 44,507,762$ 33,117,138


OPERF (gross)7.00%9.94%7.42%9.72%11.15%7.69%

Median6.68%9.39%6.59%8.96%9.63%6.21%

Difference 0.32%0.55%0.83%0.76%1.52%1.48%

Dollar Impact$ 238,513$ 1,127,416$ 2,905,788$ 3,039,828$ 6,765,180$ 9,802,673

OPERF NET6.52%9.34%6.65%8.87%10.17%7.06%

60/40 Balanced Index

Domestic Equity-7.87%8.38%6.75%11.80%13.10%6.41%

International Equity-14.88%5.09%1.89%6.45%8.00%5.86%

Fixed Income0.25%2.34%2.21%3.16%6.28%5.36%

Private Equity18.15%13.78%12.87%13.56%11.66%12.00%

Real Estate8.03%8.65%9.98%10.90%7.70%10.30%

Annualized Return1-Year3-Year5-Year7-Year10-Year20-Year

Russell 3000-5.24%8.97%7.91%12.46%13.18%5.96%

S&P 500-4.38%9.26%8.49%12.70%13.12%5.62%

Russell 2000-11.01%7.36%4.41%10.44%11.97%7.40%

MSCI ACWI ex-US IMI4.56%11.42%6.03%9.90%10.32%5.26%

MSCI Emerging Markets IMI net-15.04%8.51%1.57%3.29%8.25%8.76%

Bloomberg Barclays U.S. Aggregate7.87%2.31%2.95%2.62%3.90%4.93%

MSCI ACWI IMI net4.56%11.42%6.03%9.90%10.32%5.26%

60/40 Balanced Index5.88%7.78%4.80%6.99%7.75%5.13%

70/30 Blanced Index5.55%8.69%5.11%7.71%8.39%5.16%

-0.33%0.91%0.31%0.73%0.64%0.03%

Comparison (2)

6/30/186/30/166/30/146/30/126/30/096/30/99

OPERF Market Value$ 74,535,438$ 68,328,263$ 70,018,992$ 57,139,618$ 44,507,762$ 33,117,138

YTD 2019


OPERF (gross)7.00%9.94%7.42%9.72%11.15%7.70%

Median6.68%9.39%6.59%8.96%9.63%6.21%

Difference 0.32%0.55%0.83%0.76%1.52%1.49%

Dollar Impact vs Median$ 238,513$ 1,127,416$ 2,905,788$ 3,039,828$ 6,765,180$ 9,868,907


OPERF (net)6.52%9.34%6.65%8.87%10.17%7.06%

60/40 Balanced Index*5.88%7.78%4.80%6.99%7.75%5.13%

Difference 0.64%1.57%1.85%1.88%2.43%1.93%

Dollar Impact vs 60/40 Balanced Index$ 474,186$ 3,216,256$ 6,472,773$ 7,517,508$ 10,796,070$ 12,792,753

*60% MSCI ACWI IMI/40% Bloomberg Barclays Global Aggregate


OPERF (net)6.52%9.34%6.65%8.87%10.17%7.06%

70/30 Blanced Index5.55%8.69%5.11%7.71%8.39%5.16%

Difference 0.97%0.66%1.54%1.15%1.78%1.90%

Dollar Impact vs 70/30 Balanced Index$ 720,791$ 1,350,364$ 5,392,883$ 4,608,598$ 7,939,401$ 12,576,246

*70% MSCI ACWI IMI/30% Bloomberg Barclays Global Aggregate


Dollar Impact vs Median1-Year3-Year5-Year7-Year10-Year20-Year238513.402005253741127416.34233140112905788.17635434913039827.67214961586765179.75718080259868907.1714054793Dollar Impact vs 60/40 Balanced Index1-Year3-Year5-Year7-Year10-Year20-Year474185.540613596093216255.54441470656472772.9006440497517507.554783569610796070.24605948712792752.529316265Dollar Impact vs 70/30 Balanced Index1-Year3-Year5-Year7-Year10-Year20-Year720791.364107748141350364.45808908535392882.95251084684608598.15257588127939400.568045331212576245.997447213

Contribution to Total Return (000's)

Dollar Impact vs Median1-Year3-Year5-Year7-Year10-Year20-Year238513.402005253741127416.34233140112905788.17635434913039827.67214961586765179.75718080259868907.1714054793


Dollar Impact vs 60/40 Balanced Index1-Year3-Year5-Year7-Year10-Year20-Year474185.540613596093216255.54441470656472772.9006440497517507.554783569610796070.24605948712792752.529316265


1-Year3-Year5-Year7-Year10-Year20-Year720791.364107748141350364.45808908535392882.95251084684608598.15257588127939400.568045331212576245.997447213

OPERF Fees by Asset Class(2017)

• The vast majority of the fees listed are external manager fees paid from Fund capital. Included in the individual lines is the annual 0.03% (0.0003) fee that OST charges for Fund oversight, or $18.1 million in 2017.

• Private Equity has been and will remain OPERF’s most expensive asset class exposure. Private Equity also has been (and is expected to remain) OPERF’s most productive asset class exposure. Since inception, OPERF’s allocation to Private Equity has delivered net returns exceeding the Russell 3000 listed equity (i.e., stock) index by over 3%. That excess return has equated to billions of incremental funding for OPERF relative to a generic index fund alternative.

Asset Class Fees ($M) Fees (bps)

Public Equity 82.3 10.8

Fixed Income 21.9 2.9

Private Equity 316.6 41.5

Real Estate 71.7 9.4

Alternatives 54.2 7.1

Other 5.1 0.7

Total 551.7 72.4

OPERF Investment Fee Comparison(2017)

OPERF is a large and complex institutional investment fund. Compared to its U.S. public pension peers, OPERF has a much higher allocation to “Alternative” investments (e.g., Private Equity, Private Real Estate, Infrastructure, Ag, Timber, etc.), and a lower allocation to traditional investments in listed equities (i.e., stocks) and fixed income securities (i.e., bonds).

CEM Benchmarking, a global investment cost and benchmark consultant for institutional asset owners, applied the median fee of its Global Leaders composite to OPERF’s asset allocation in order to estimate a Cost Benchmark that adjusts for OPERF’s more complex asset allocation model. This adjustment enables a true, apples-to-apples cost comparison.

When this adjustment is applied, CEM concludes that OPERF’s costs are below median relative to its Global Leaders peer group.

CEM Benchmarking Median Fees

Millions bps

Cost Benchmark $581 76.3

OPERF’s Total Investment Costs $552 72.4

OPERF’s Cost Savings +$29 +3.9

OPERF Asset Allocation

Cost Savings

Savings achieved as a result of insourcing initiatives have nearly doubled from 2015 to today, at a current rate of nearly $2 million per month. These net, fee-related savings from internal management activities totaled roughly $61 million since January of 2016.

SUMMARY

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Estimated Fee Savings from Internal Management Activities January 1, 2016 to

June 30, 2019

Oregon Short Term Fund OPERF Assets

Investment Performance Value Add ($$$s)

In OPERF, the net value add from internal management (i.e., the incremental OPERF funding attributable to investment performance in excess of corresponding benchmarks) has been $88 million since January 2016.

OSTF investors have realized a net benefit of approximately $391 million during that same period.

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Estimated Dollar Contribution Versus Benchmark January 1, 2016 to June

30, 2019

Oregon Short Term Fund OPERF Assets

Improved data integrity controls and oversight activities have led to the identification of more than $2.1 Billion in investment performance and asset valuation discrepancies, including a one-time material increase in OPERF’s reported investment performance from 0.26% to 1.39% in the second quarter of 2016. The overall estimated impact from this particular one-time performance reporting error equated to more than $790 million.

Improved Data Quality

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$284

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Estimated Historical Dollar Impact of Issues Handled by OST Operations Staff

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Long term, sustainable net returnsOPERF annual performance percentage, after fees, 1975-2018

First among peer funds

1975 1985 1995 2005 2015

IAP Target Date FundsInvestment Performance Summary

Source: State Street. Returns are reported Net All.

As of 6/30/2019Fund 3 Mth YTD 1 YrTDF RETIREMENT FUND 2.73 6.15 6.01TDF 2020 2.82 6.71 6.19TDF 2025 3.11 8.33 6.47TDF 2030 3.19 8.78 6.45TDF 2035 3.16 8.33 6.40TDF 2040 3.17 8.41 6.32TDF 2045 3.26 9.96 6.23TDF 2050 3.26 9.99 6.25TDF 2055 3.27 10.11 6.34TDF 2060 3.28 10.13 6.33

Formatted

TDF Summary

Beginning Market Value$ 8,928,504,963

InflowsERROR:#N/A

OutflowsERROR:#N/A

Gain/Loss$ 749,015,820

Income$ - 0

Ending Market Value$ 9,762,398,833

TDF Performance

IDNameBenchmark IDBenchmark NameMarket ValueQTR ReturnQTR Bmk ReturnYTD ReturnYTD Bmk Return

TDFCOMP1PERS-TDF FUND COMPOSITE$ 9,762,3993.118.34

59HWPERS - TDF RETIREDTDFRETPERS-TDF RET CUSTOM BENCHMARK$ 744,3632.733.736.156.28

59HXPERS - TDF 2020TDF2020PERS-TDF 2020 CUSTOM BENCHMARK$ 998,7812.823.826.716.64

59HYPERS - TDF 2025TDF2025PERS-TDF 2025 CUSTOM BENCHMARK$ 1,552,4343.114.358.338.39

59HZPERS - TDF 2030TDF2030PERS-TDF 2030 CUSTOM BENCHMARK$ 1,678,2613.194.748.788.99

59H0PERS - TDF 2035TDF2035PERS-TDF 2035 CUSTOM BENCHMARK$ 1,738,3443.164.988.338.48

59H1PERS - TDF 2040TDF2040PERS-TDF 2040 CUSTOM BENCHMARK$ 1,413,5793.175.058.418.40

59H2PERS - TDF 2045TDF2045PERS-TDF 2045 CUSTOM BENCHMARK$ 991,1783.264.759.9610.11




TDF Investments

IDNameBenchmark IDBenchmark NameQTR ReturnQTR Bmk ReturnYTD ReturnYTD Bmk Return

TDFSSRACTDF-SS RUSSELLALLCAP FUND HOLDINGSTDFBMRACTDF - Russell 3000 Index$ 667,3074.114.1018.8318.71

TDFSSGACTDF-SS GLOBAL ALL CAP ex USTDFBMACETDF - MSCI ACWI ex USA IMI Index $ 368,6342.992.7413.6613.33

TDFSSUBITDF-SS US BOND INDEXTDFBMUSBTDF - U.S. Aggregate Bond Index $ 687,7573.103.086.166.11

TDFSSTIPTDF-SS 1-10 YR US TIPSTDFBMTIPTDF - 1-10 Year Gov TIPS Index$ 328,8042.552.575.215.24

TDFSSGCBTDF-SS US ST GOVT/CREDIT BONDTDFBMUSSTDF - U.S. 1-3 Year Gov/Cred Bond Index $ 340,2841.491.482.702.71

TDFOPERFTDF-OPERF FUND HOLDINGSORPERFOPERF POLICY BENCHMARK$ 7,370,5663.135.057.817.98

As of 6/30/2019

Account ID Fund3 Mth YTD 1 Yr

TDFCOMP1TDF FUND COMPOSITE3.118.346.33

59HWTDF RETIREMENT FUND2.736.156.01

TDFRETTDF RET CUSTOM BENCHMARK3.736.286.46

59HXTDF 20202.826.716.19

TDF2020TDF 2020 CUSTOM BENCHMARK3.826.646.51

59HYTDF 20253.118.336.47


59HZTDF 20303.198.786.45


59H0TDF 20353.168.336.40


59H1TDF 20403.178.416.32


59H2TDF 20453.269.966.23


59H3TDF 20503.269.996.25


59H4TDF 20553.2710.116.34


59H5TDF 20603.2810.136.33


TDF Investments

Account ID 3 Mth YTD

TDFSSRACSS RUSSELL ALLCAP FUND HOLDINGS4.1118.83

TDFBMRACRussell 3000 Index4.1018.71

TDFSSGACSS GLOBAL ALL CAP ex US2.9913.66

TDFBMACEMSCI ACWI ex USA IMI Index 2.7413.33

TDFSSUBISS US BOND INDEX3.106.16

TDFBMUSBU.S. Aggregate Bond Index 3.086.11

TDFSSTIPSS 1-10 YR US TIPS2.555.21

TDFBMTIP1-10 Year Gov TIPS Index2.575.24

TDFSSGCBSS US ST GOVT/CREDIT BOND1.492.70

TDFBMUSSU.S. 1-3 Year Gov/Cred Bond Index 1.482.71

TDFOPERFOPERF FUND HOLDINGS3.137.81

ORPERFOPERF POLICY BENCHMARK5.057.98

Sheet0

State of Oregon

Jun-30-2019

Performance Reported as Net All

1 Month 3 Month YTD 1 Year 3 Year 5 Year 7 Year 10 Year Since Incept Inception Date

PERS-TDF FUND COMPOSITE2.773.118.346.33 5.0401/18

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&"Arial,Regular"&9Information Classification: Limited Access


Sheet1

State of Oregon

Jun-30-2019

TDF SUMMARY

One Month Year to Date

PERS-TDF FUND COMPOSITE

Beginning Market Value9,500,498,8898,928,504,963

Net Cash Flow-1,505,00084,878,050

Gain/Loss263,404,944749,015,820

Income00

Ending Market Value9,762,398,8339,762,398,833

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Sheet2

State of Oregon

June 30, 2019


Account ID MarketValueActual Weight1 Mth 3 Mth YTD 1 Year 2 Year 3 Year 4 Year 5 Year 7 Year 10 Year Since Incept

PERS-TDF FUND COMPOSITETDFCOMP19,762,399100.02.773.118.346.33 5.04

PERS - TDF RETIRED59HW744,3637.61.752.736.156.01 4.33

PERS-TDF RET CUSTOM BENCHMARKTDFRET 2.273.736.286.46 4.77

PERS - TDF 202059HX998,78110.21.912.826.716.19 4.57

PERS-TDF 2020 CUSTOM BENCHMARKTDF2020 2.423.826.646.51 4.90

PERS - TDF 202559HY1,552,43415.92.733.118.336.47 5.00


PERS - TDF 203059HZ1,678,26117.22.983.198.786.45 5.22


PERS - TDF 203559H01,738,34417.82.823.168.336.40 5.34


PERS - TDF 204059H11,413,57914.52.773.178.416.32 5.26


PERS - TDF 204559H2991,17810.23.563.269.966.23 5.10


PERS - TDF 205059H3477,3164.93.563.269.996.25 5.12


PERS - TDF 205559H4147,9831.53.573.2710.116.34 5.21


PERS - TDF 206059H520,1580.23.563.2810.136.33 5.26


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Sheet3

State of Oregon

June 30, 2019


Account ID MarketValueActual Weight1 Mth 3 Mth YTD 1 Year 2 Year 3 Year 4 Year 5 Year 7 Year 10 Year Since Incept

TDF-SS RUSSELLALLCAP FUND HOLDINGSTDFSSRAC667,3076.87.014.1118.839.09 8.22

TDF - Russell 3000 IndexTDFBMRAC 7.024.1018.718.98 8.18

TDF-SS GLOBAL ALL CAP ex USTDFSSGAC368,6343.85.872.9913.660.68 (1.94)

TDF - MSCI ACWI ex USA IMI Index TDFBMACE 5.802.7413.330.27 (2.28)

TDF-SS US BOND INDEXTDFSSUBI687,7577.01.273.106.167.95 4.11

TDF - U.S. Aggregate Bond Index TDFBMUSB 1.263.086.117.87 4.06

TDF-SS 1-10 YR US TIPSTDFSSTIP328,8043.41.002.555.214.70 3.26

TDF - 1-10 Year Gov TIPS IndexTDFBMTIP 0.962.575.244.71 3.28

TDF-SS US ST GOVT/CREDIT BONDTDFSSGCB340,2843.50.561.492.704.28 2.88

TDF - U.S. 1-3 Year Gov/Cred Bond Index TDFBMUSS 0.561.482.714.27 2.89

TDF-OPERF FUND HOLDINGSTDFOPERF7,370,56675.52.593.137.816.39 5.39

OPERF POLICY BENCHMARKORPERF 3.615.057.987.20 6.12

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Limited Access Note: The sum of the investments above will differ from the sum of the Target Date Funds on the prior page by the amount of pending ledger activity.

07/16/2019 06:22:09 AM



Tobias ReadOregon State Treasurer

oregon.gov/treasury350 Winter St NE, Suite 100Salem, OR 97301-3896

LGIP Investor MeetingOregon State Treasury�Assets Under Management�(as of June 30, 2019)OPERF 15-Year Net Asset Value HistoryOregon Public Employees Retirement Fund Asset Allocation�(Asset values as of June 30, 2019)Oregon Public Employees Retirement Fund Asset Allocation�(Assets as of June 30, 2019, FTEs as of today)OST Staffing Compared to PeersExpected Portfolio Returns Over Past 20 YearsOPERF Investment Performance�(as of June 30, 2019)OPERF Performance Impact in $$$s�(as of June 30, 2019)OPERF Fees by Asset Class�(2017)OPERF Investment Fee Comparison�(2017)Cost SavingsInvestment Performance Value Add ($$$s)Improved Data QualityLong term, sustainable net returns�OPERF annual performance percentage, after fees, 1975-2018IAP Target Date Funds�Investment Performance SummarySlide Number 17

lgip investor meeting - oregon€¦ · 29/08/2019 · • in 1998, with cash and broad u.s. fixed...

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