PSERS Investment Portfolio Asset Allocation as of March 31, 2018 - - PowerPoint PPT Presentation

1

PSERS’ Investment Portfolio Asset Allocation as of March 31, 2018 (Unaudited)

Asset Class Market Value (in millions) % of Total Target Allocations Policy Ranges Publicly-Traded Global Equity $12,073.5 22.3% Private Markets $7,680.2 14.2% Total Equities $19,753.7 36.4% 34.00% +/- 10.0% Investment Grade $4,693.4 8.7% Credit-Related $5,221.7 9.6% Inflation Protected $7,859.6 14.5% Total Fixed Income $17,774.7 32.8% 35.00% +/- 10.0% Master Limited Partnership (MLP) $2,319.3 4.3% Infrastructure $1,128.7 2.1% Commodities $4,251.9 7.8% Real Estate $5,527.0 10.2% Total Real Assets $13,226.9 24.4% 25.00% +/- 10.0% Risk Parity $5,359.5 9.9% 10.00% +/- 5.0% Absolute Return $5,540.6 10.2% 10.00% +/- 4.0% Cash and Cash Equivalents* $1,825.3 3.4% 3.00% +/- 3.0% GROSS INVESTMENT PORTFOLIO $63,480.7 117.0% 117.00% Financing ($9,236.3) (17.0%) (17.0%) +/- 9.0% NET INVESTMENT PORTFOLIO $54,244.4 100.0% 100.00% Net Other Assets and Liabilities $1,460.4 PSERS TOTAL NET ASSETS $55,704.8 * - includes Cash, Cash Equivalents, and net asset value accounting adjustments

2

PSERS’ Investment Portfolio Asset Allocation as of March 31, 2018 (Unaudited)

Publicly Traded Equities, 22.3% Private Markets, 14.2% Investment Grade, 8.7% Credit‐Related, 9.6% Inflation Protected, 14.5% MLP, 4.3% Infrastructure, 2.1% Commodities, 7.8% Real Estate, 10.2% Risk Parity, 9.9% Absolute Return, 10.2% Cash and Cash Equivalents, 3.4% Financing, ‐17.0% ‐20% ‐10% 0% 10% 20% 30% 40% 50% 60% 70% 80% 90% 100% 110% 120%

Total Real Assets 24.4% Total Fixed Income 32.8% Total Equities 36.5%

3

PSERS’ Investment Portfolio Asset Allocation as of March 31, 2018 (Unaudited)

*Financing represents a negative 17.0% allocation and is not reflected in the pie chart.

Publicly Traded Equities, 22.3% Private Markets, 14.2% Investment Grade, 8.7% Credit‐Related, 9.6% Inflation Protected, 14.5% MLP, 4.3% Infrastructure, 2.1% Commodities, 7.8% Real Estate, 10.2% Risk Parity, 9.9% Absolute Return, 10.2% Cash and Cash Equivalents, 3.4%

4

PSERS’ Historical Asset Allocation

‐30% ‐20% ‐10% 0% 10% 20% 30% 40% 50% 60%

U.S. Equity Non‐U.S. Equity Fixed Income Real Estate Private Markets Absolute Return MLP Infrastructure Risk Parity Commodities Cash & Cash Equivalents Financing

5

PSERS’ Historical Net Investment Portfolio (in billions)

0.8 2.1 4.9 17.3 28.8 33.7 39.3 44.8 48.9 53.4 48.1 43.5 42.3 48.3 51.8 57.0 67.2 62.7 43.1 45.7 51.4 48.5 49.2 52.7 51.9 49.2 52.4 52.9 54.5 54.2 $0 $10 $20 $30 $40 $50 $60 $70 $80

Month/Year

6

PSERS’ Gross Investment Portfolio Internally Managed Assets (in billions)

$0 $10 $20 $30 $40 $50 $60 $70 $80

Gross Investment Portfolio Internally Managed Assets

7

PSERS’ Summary Statements of Changes in Plan Net Assets For the Fiscal Years Ended June 30

Additions: 2017 ( $ in millions) 2016 ( $ in millions) 2015 ( $ in millions) 2014 ( $ in millions) 2013 ( $ in millions)

• Member Contributions

1,014 989 985 967 991

• Employer Contributions

3,833 3,190 2,597 1,992 1,446

• Net Investment Income

4,995 473 1,328 7,098 4,126 Total Additions 9,842 4,652 4,910 10,057 6,563 Deductions:

• Pension Benefits

6,474 6,360 6,221 6,053 6,044

• Administrative Expenses

45 45 42 39 37 Total Deductions 6,519 6,405 6,263 6,092 6,081 Net Increase/(Decrease) in Plan Net Assets 3,323 (1,753) (1,353) 3,965 482

8

PSERS Annual Cash Flows History – Since 1982 (in billions)

(10.0%) (8.0%) (6.0%) (4.0%) (2.0%) 0.0% 2.0% 4.0% 6.0% 8.0% 10.0% ($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 Member Contributions ($) Employer Contributions ($) Benefit Payments ($) Net Cash Flow Shortfall ($) Cash Flow Excess/Shortfall as % of Beginning NAV (%)

9

PSERS Annual Cash Flows History – Since 2001 (in billions)

(10.0%) (8.0%) (6.0%) (4.0%) (2.0%) 0.0% 2.0% 4.0% 6.0% 8.0% 10.0% ($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 Member Contributions ($) Employer Contributions ($) Benefit Payments ($) Net Cash Flow Shortfall ($) Cash Flow Excess/Shortfall as % of Beginning NAV (%)