CalPERS 2018-19 Annual Investment Report

2018-19

Annual Investment Report

Fiscal Year Ended June 30, 2019

California Public Employees' Retirement System A Component Unit of the State of California

Summary of Investments

as of June 30, 2019

Introduction Chief Investment Officer's Letter

Cash Equivalents Domestic Cash Equivalents International Currency

Debt Securities U. S. Treasuries & Agencies International Sovereign Debt Securities Foreign Issued - USD Denominated Mortgage-Backed Securities Mortgage Loans Asset-Backed Securities Corporate Bonds

Equity Domestic Equity International Equity Domestic REITS International REITS

Derivatives

Real Estate

Private Equity

Infrastructure

Forestland

Investment Section

CHIEF INVESTMENT OFFICER'S LETTER

November 21, 2019

On behalf of the CalPERS Investment Office, I am pleased to report on CalPERS' investment performance, operations, and initiatives for the one-year period ending on June 30, 2019. The CalPERS Public Employees' Retirement Fund (PERF) earned a time-weighted rate of return of 6.7 percent this fiscal year, with the ending fair value of investments at $376 billion.

Drivers of the returns included the fixed income program, which generated a 9.6 percent net return, followed by private equity and public equity net returns of 7.7 percent and 6.1 percent, respectively.

While we did not reach the desired 7.0 percent return, our results are promising when considering the market volatility this year. Our focus is always on the long-term sustainability of the Fund. Our investment horizon stretches across generations.

As the new Chief Investment Officer of CalPERS, I am committed to meeting our expected rate of return. We have been improving our investment capabilities, reviewing our investment activities, and capitalizing on our advantages.

We are working through our current asset allocation to maximize our return potential. We are improving what we can accomplish in less efficient markets, like private equity, using CalPERS respected reputation and the scale at which we can invest. We are also identifying areas that offer higher growth potential.

By maintaining a Total Fund approach and staying focused on investment activities, we are putting the full force and talents of our investment team behind all of our asset classes. This strategy has allowed us to prioritize our resources based on their potential to benefit the entirety of our fund.

The number one priority of every member of the CalPERS Investment Office is to protect the pensions being earned by our members. Our plan is to continue to innovate and explore new business models to achieve our investment goals and support our pension payments.

CalPERS is committed to the success and sustainability of our system. Our mission remains the same--manage the CalPERS investment portfolio in an efficient and risk-aware manner to generate returns to sustainably pay benefits. We continue to identify ways to reduce the cost, risk, and complexity in the Fund's portfolio and operations, while also maximizing investment returns.

Our Investment Office team, the Board's pension consultant Wilshire Associates, and State Street Bank & Trust, our master custodian, compiled the investment data presented on the following pages.

Yu (Ben) Meng, Ph.D. Chief Investment Officer

100 | Investment Section | CalPERS Comprehensive Annual Financial Report, Fiscal Year Ended June 30, 2019

CalPERS 2018-2019 Annual Investment Report Domestic Cash Equivalents

Security Name AMERICAN ELEC PWR INC AMERICAN ELEC PWR INC AMERICAN ELEC PWR INC ASTRAZENECA PLC BANK OF MONTREALBANK OF MONTREALBANK OF NOVA SCOTIA BANK OF NOVA SCOTIA BANK OF NOVA SCOTIA/THE CANADIAN IMPERIAL BK CANADIAN PACIFIC CMMNWLTH BNK OF AUS CMMNWLTH BNK OF AUS CONSOLIDATED ED CO N CONSOLIDATED ED CO N DOLLAR GENERAL CORP DOMINION RESOURCES DOMINION RESOURCES DOMINION RESOURCES DOMINION RESOURCES DOVER CORPORATION DOVER CORPORATION DUKE ENERGY CORP EASTMAN CHEMICAL CO ENBRIDGE (US) INC ENBRIDGE (US) INC ENBRIDGE (US) INC ENBRIDGE (US) INC ENTERPRISE PRODS OPER LLC FORTIVE CORPORATION FORTIVE CORPORATION J.P. MORGAN SECURITIES JM SMUCKER CO JM SMUCKER CO LEGGETT & PLATT MAGELLAN MIDSTREAM HLDGS L P MARSH & MCLENNAN CO MCCORMICK & COMPANY

MONDELEZ INTL INC

MONDELEZ INTL INC MONDELEZ INTL INC NATIONAL BK OF CANAD NATIONAL BK OF CANAD NATIONAL BK OF CANAD NEXTERA ENERGY CAP HLDGS INC NEXTERA ENERGY CAP HLDGS INC NEXTERA ENERGY CAP HLDGS INC NEXTERA ENERGY CAP HLDGS INC OVERSEAS-CHINESE BANKING CORP OVERSEAS-CHINESE BANKING CORP OVERSEAS-CHINESE BANKING CORP OVERSEAS-CHINESE BANKING CORP

Interest Rate 0.00 0.00 0.00 0.00 2.58 2.58 2.40 2.54 2.65 2.59 0.00 2.50 2.56 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 2.47 0.00 0.00 0.00 0.00 0.00 0.00

0.00

0.00 0.00 0.01 1.00 0.01 0.00 0.00 0.00 0.00 2.57 2.57 2.55 2.56

Maturity Date Shares/Par Value

7/8/2019

6,000,000

7/10/2019

25,000,000

7/17/2019

40,000,000

7/24/2019

1,000,000

6/25/2020

25,000,000

3/6/2020

25,000,000

3/23/2020

50,000,000

1/27/2020

25,000,000

4/27/2020

25,000,000

4/9/2020

25,000,000

7/17/2019

20,000,000

3/13/2020

50,000,000

6/5/2020

25,000,000

7/9/2019

89,000,000

7/10/2019

31,000,000

7/1/2019

11,700,000

7/1/2019

30,000,000

7/8/2019

20,000,000

7/15/2019

40,000,000

7/16/2019

45,400,000

7/1/2019

33,514,000

7/2/2019

50,000,000

7/1/2019

49,500,000

7/23/2019

20,000,000

7/3/2019

18,000,000

7/10/2019

27,000,000

7/18/2019

20,000,000

7/25/2019

20,000,000

7/8/2019

120,000,000

7/1/2019

30,000,000

7/22/2019

1,000,000

9/13/2019

50,000,000

7/1/2019

48,000,000

7/8/2019

23,000,000

7/17/2019

5,550,000

7/8/2019

1,000,000

7/2/2019

90,000,000

7/1/2019

70,000,000

Base Total Cost 5,996,990

24,983,875 39,953,778

998,352 25,000,000 25,000,000 50,000,000 25,000,000 25,000,000 25,000,000 19,977,600 50,000,000 25,000,000 88,949,764 30,980,315 11,700,000 30,000,000 19,989,889 39,960,333 45,351,952 33,514,000 49,996,486 49,500,000 19,968,833 17,997,290 26,981,843 19,974,972 19,964,667 119,940,422 30,000,000

998,483 50,000,000 48,000,000 22,988,685

5,543,587 999,498

89,993,500 70,000,000

Base Market Value 5,995,812

24,979,033 39,946,694

998,142 25,000,000 25,000,000 50,000,000 25,009,361 25,001,931 25,000,000 19,973,347 50,000,000 24,997,417 88,928,914 30,972,968 11,697,559 29,993,740 19,986,039 39,952,343 45,342,705 33,507,007 49,986,084 49,489,671 19,964,819 17,993,735 26,977,356 19,971,922 19,961,960 119,916,233 29,993,740

998,312 50,000,000 47,989,984 22,983,945

5,542,604 999,302

89,974,950 69,984,711

7/1/2019

7,600,000

7,600,000

7,598,433

7/18/2019 7/24/2019 10/18/2019 1/17/2020 4/17/2020 7/10/2019 7/15/2019 7/19/2019 7/23/2019

7/8/2019 7/11/2019 7/17/2019 7/24/2019

20,000,000 1,000,000

50,000,000 25,000,000 25,000,000

1,034,000 5,000,000 95,000,000 15,000,000 25,000,000 50,000,000 50,000,000 50,000,000

19,975,917 998,358

50,000,000 25,000,000 25,000,000

1,033,341 4,995,022 94,877,450 14,976,625 25,000,000 50,000,000 50,000,000 50,000,000

19,971,922 998,169

50,000,000 25,000,000 25,000,000

1,033,133 4,994,043 94,859,906 14,973,615 25,000,000 50,000,000 50,000,000 50,000,000

CalPERS 2018-2019 Annual Investment Report Domestic Cash Equivalents

Security Name PPG INDUSTRIES PPL CAPITAL FUNDING PPL CAPITAL FUNDING PPL CAPITAL FUNDING PPL CAPITAL FUNDING ROGERS COMMUNICATIONS ROYAL BANK OF CANADA ROYAL BANK OF CANADA ROYAL BK OF CANADA ROYAL BK OF CANADA STANDARD CHARTERED BANK SG STIF CALPERS SUMITOMO MITSUI BKG CORP SUNCOR ENERGY INC SUNCOR ENERGY INC TELUS CORP TORONTO DOMINION BANK TORONTO DOMINION BANK TOYOTA MOTOR CREDIT TOYOTA MOTOR CREDIT US BANK N.A. WALGREENS BOOTS WALGREENS BOOTS WEC ENERGY GROUP INC WEC ENERGY GROUP INC WEC ENERGY GROUP INC WELLS FARGO BANK NA WELLS FARGO BANK NA WELLS FARGO BANK NA WELLS FARGO BANK NA WESTAR ENERGY INC WESTAR ENERGY INC WESTPAC BANKING CORP. WHIRLPOOL CORP XCEL ENERGY INC XCEL ENERGY INC TOTAL

Interest Rate 0.00 0.00 0.00 0.00 0.00 0.00 2.48 2.59 2.66 2.54 1.00 2.50 2.56 0.00 0.00 0.00 2.52 1.00 2.67 2.60 1.00 0.00 0.00 0.00 0.00 0.00 2.58 2.62 2.62 2.58 0.00 0.00 2.57 0.00 0.00 0.00

Maturity Date Shares/Par Value

7/10/2019

3,000,000

7/1/2019

20,000,000

7/8/2019

8,490,000

7/15/2019

50,000,000

7/16/2019

46,900,000

7/8/2019

15,000,000

3/19/2020

50,000,000

6/11/2020

25,000,000

4/17/2020

25,000,000

1/27/2020

25,000,000

7/1/2019

150,000,000

12/31/2020

6,827,598,913

11/6/2019

50,000,000

7/5/2019

2,500,000

7/10/2019

5,000,000

7/2/2019

5,000,000

11/26/2019

25,000,000

6/16/2020

25,000,000

12/13/2019

50,000,000

2/7/2020

25,000,000

7/3/2019

150,000,000

7/2/2019

27,595,000

7/22/2019

30,000,000

7/22/2019

8,000,000

7/23/2019

37,918,000

7/24/2019

1,500,000

3/6/2020

25,000,000

4/2/2020

25,000,000

7/10/2019

75,000,000

6/26/2020

25,000,000

7/2/2019

100,000,000

7/3/2019

9,300,000

6/5/2020

25,000,000

7/9/2019

50,000,000

7/2/2019

48,000,000

7/11/2019

78,500,000

Base Total Cost 2,998,088

20,000,000 8,485,741

49,950,417 46,850,364 14,992,533 50,000,000 25,000,000 25,000,000 25,000,000 150,000,000 6,827,598,913 50,000,000

2,499,289 4,996,800 4,999,649 25,000,000 25,000,000 50,000,000 25,000,000 150,000,000 27,593,045 29,955,025 7,987,867 37,858,448 1,497,508 25,000,000 25,000,000 75,000,000 25,000,000 99,992,833 9,298,657 25,000,000 49,971,556 47,996,627 78,444,178 9,853,629,363

Base Market Value 2,997,484

19,995,827 8,484,073

49,940,429 46,840,812 14,989,529 50,000,000 24,997,243 24,999,939 25,000,000 150,000,000 6,827,598,913 49,999,485

2,498,780 4,995,807 4,998,608 25,005,510 25,000,000 50,000,000 25,000,000 150,003,456 27,587,319 29,949,360 7,986,496 37,851,301 1,497,254 25,008,943 25,011,604 75,001,856 24,999,866 99,972,167 9,296,763 25,000,000 49,961,852 47,986,640 78,428,650 9,853,327,525

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