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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