PSERS’ Investment Portfolio Asset Allocation as of March ...
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 Private Markets
Total Equities
$12,073.5 $7,680.2 $19,753.7
22.3% 14.2% 36.4%
34.00%
+/- 10.0%
Investment Grade Credit-Related Inflation Protected
Total Fixed Income
$4,693.4 $5,221.7 $7,859.6 $17,774.7
8.7% 9.6% 14.5% 32.8%
35.00%
+/- 10.0%
Master Limited Partnership (MLP) Infrastructure Commodities Real Estate
Total Real Assets
$2,319.3 $1,128.7 $4,251.9 $5,527.0 $13,226.9
4.3% 2.1% 7.8% 10.2% 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
1
* - includes Cash, Cash Equivalents, and net asset value accounting adjustments
120% 110% 100%
90% 80% 70% 60% 50% 40% 30% 20% 10%
0% -10% -20%
2
PSERS' Investment Portfolio Asset Allocation as of March 31, 2018 (Unaudited)
Cash and Cash Equivalents, 3.4% Absolute Return, 10.2% Risk Parity, 9.9% Real Estate, 10.2% Commodities, 7.8% InfraMstrLuPc, t4u.r3e%, 2.1%
Inflation Protected, 14.5%
Credit-Related, 9.6% Investment Grade, 8.7%
Private Markets, 14.2%
Publicly Traded Equities, 22.3%
Total Real Assets 24.4%
Total Fixed Income 32.8%
Total Equities 36.5%
Financing, -17.0%
PSERS' Investment Portfolio Asset Allocation as of March 31, 2018 (Unaudited)
Absolute Return, 10.2% Risk Parity, 9.9%
Cash and Cash Equivalents, 3.4%
Publicly Traded Equities, 22.3%
Real Estate, 10.2%
Private Markets, 14.2%
Commodities, 7.8% Infrastructure, 2.1% MLP, 4.3%
Inflation Protected, 14.5%
3 *Financing represents a negative 17.0% allocation and is not reflected in the pie chart.
Investment Grade, 8.7% Credit-Related, 9.6%
60% 50% 40% 30% 20% 10%
0% -10% -20% -30%
4
PSERS' Historical Asset Allocation
U.S. Equity Real Estate MLP Commodities
Non-U.S. Equity Private Markets Infrastructure Cash & Cash Equivalents
Fixed Income Absolute Return Risk Parity Financing
PSERS' Historical Net Investment Portfolio (in billions)
$80
$70
67.2
62.7
$60
57.0
53.4
51.8
51.4
52.7 51.9
52.4 52.9 54.5 54.2
$50
48.9
48.1
48.3
48.5 49.2
49.2
44.8
43.5 42.3
45.7 43.1
39.3 $40
33.7
$30
28.8
17.3 $20
$10 4.9
0.8 2.1
$0
Month/Year
5
$80 $70 $60 $50 $40 $30 $20 $10
$0
6
PSERS' Gross Investment Portfolio Internally Managed Assets (in billions)
Gross Investment Portfolio
Internally Managed Assets
PSERS' Summary Statements of Changes in Plan Net Assets For the Fiscal Years Ended June 30
Additions: ? Member Contributions
2017
2016
2015
2014
2013
( $ in millions) ( $ in millions) ( $ in millions) ( $ in millions) ( $ in millions)
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
7
$10 $8 $6 $4 $2 $0 ($2) ($4) ($6) ($8)
($10)
8
1982 1983 1984 1985 1986 1987 1988 1989 1990 1991 1992 1993 1994 1995 1996 1997 1998 1999 2000 2001 2002 2003 2004 2005 2006 2007 2008 2009 2010 2011 2012 2013 2014 2015 2016 2017
PSERS Annual Cash Flows History ? Since 1982 (in billions)
Member Contributions ($) Benefit Payments ($) Cash Flow Excess/Shortfall as % of Beginning NAV (%)
Employer Contributions ($) Net Cash Flow Shortfall ($)
10.0% 8.0% 6.0% 4.0% 2.0% 0.0% (2.0%) (4.0%) (6.0%) (8.0%) (10.0%)
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