2019 INPRS UPDATE Pension Management Oversight Committee August 27, 2019 Steve Russo Executive Director
2019 INPRS UPDATEPension Management Oversight Committee
August 27, 2019
Steve RussoExecutive Director
About INPRSWith approximately $36B in assets, INPRS serves the retirement needs of approximately
465,000 members and more than 1,200 public employers Eight Defined Benefit Retirement Funds
Public Employees’ Defined Benefit Account (PERF DB) Teachers’ Pre-1996 Defined Benefit Account (TRF Pre-’96 DB) Teachers’ 1996 Defined Benefit Account (TRF ’96 DB) 1977 Police Officers’ and Firefighters’ Retirement Fund (’77 Fund) Judges Retirement System (JRS) Excise, Gaming and Conservation Officers’ Retirement Fund (EG&C) Prosecuting Attorneys’ Retirement Fund (PARF) Legislators’ Defined Benefit Fund (LE DB)
Five Defined Contribution Retirement Funds Public Employees’ Defined Contribution Plan (PERF DC) Teachers’ Defined Contribution Plan (TRF DC) My Choice: Retirement Savings Plan for Public Employees Legislators’ Defined Contribution Fund (LE DC) My Choice: Retirement Savings Plan for Teachers
Two Non-Retirement Funds Local Public Safety Pension Relief Fund Special Death Benefit Fund (SDBF)
One OPEB (Other Postemployment Benefits) Funds Retirement Medical Benefits Account (RMBA)
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Agenda
General Update
National Trends
INPRS Requests For PMOC Consideration
3
INPRS – FY19 in ReviewINPRS’ managed pension plans remain well funded with no expected increase in 2021
employer contribution rates
Estimated aggregate funded status of the pre-funded defined benefit plans remained relatively unchanged from 88.3% to 88.1%
More than assumed employer contributions slightly outpaced less than assumed 5 year investment returns
TRF ’96 DB funded status increased from 98.5% to 101.3% due to the incremental $150M appropriation from the State Of Indiana
‘77 Fund funded status decreased from 102% to 98.6% due to granted benefit increases
Teacher Pre-‘96 Pay-Go plan remains stable with $10.7B in unfunded liabilities, projected peak appropriations in 2026 and projected 100% funded in 2038
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FY2019 ActualChange In Net Position*
Net Assets – June 30, 2018 $34.2B
Contributions + $2.7BInvestment Income + $2.3B
Payments - $3.1B
Net Assets – June 30, 2019 $36.1B
* Preliminary unaudited results
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INPRS’ Net Assets increased 6% from July 1, 2018 to June 30, 2019
Estimated Funded Statusas of June 30, 2019
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$ in Millions1
Defined BenefitRetirement Plans
ActuarialAccruedLiability
ActuarialValue ofAssets
UnfundedActuarialAccruedLiability
FundedStatus
ActuarialAccruedLiability
ActuarialValue ofAssets
UnfundedActuarialAccruedLiability
FundedStatus
PERF 16,576.1$ 13,158.0$ 3,418.1$ 79.4% 16,091.4$ 12,823.9$ 3,267.5$ 79.7% TRF '96 5,980.4 6,056.3 (75.9) 101.3% 5,563.3 5,478.5 84.8 98.5% '77 Fund 6,389.0 6,299.8 89.2 98.6% 5,839.7 5,954.0 (114.3) 102.0%JRS 586.5 538.6 47.9 91.8% 547.6 516.7 30.9 94.4%EG&C 152.2 140.6 11.6 92.3% 140.0 132.4 7.6 94.6%PARF 110.1 64.9 45.2 59.0% 103.3 61.7 41.6 59.7%LE DB 3.3 3.0 0.3 90.0% 3.5 3.1 0.4 87.5%
Aggregate Pre-Funded Plans 29,797.6$ 26,261.2$ 3,536.4$ 88.1% 28,288.8$ 24,970.3$ 3,318.5$ 88.3%
TRF Pre-'96 (Pay-As-You-Go) 14,389.2 3,695.0 10,694.2 25.7% 14,583.2 3,721.3 10,861.9 25.5%
Aggregate All INPRS Plans 44,186.8$ 29,956.2$ 14,230.6$ 67.8% 42,872.0$ 28,691.6$ 14,180.4$ 66.9%
1 Results are preliminary and reflect defined benefit liabilities and assets only.
Actuarial Value of Assets Funded Status as of June 30, 2019 Actuarial Value of Assets Funded Status as of June 30, 2018
Unfunded LiabilitiesA Year in Review
Plan provision changes reflect benefit improvements passed in the 2019 legislative session for PERF, TRF, and the ‘77 Fund. There are no changes to the actuarial assumptions this year.
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$ In Millions
INPRS Unfunded Liability - 6/30/2018 14,180.4$ Actuarial Expected Change (215.4)Expected Unfunded Liability (6/30/2019) 13,965.0
Investment Return 415.2 Additional Liability Due to Plan Provision Change - (HEA 1059 and SEA 85) 172.9 Contribution Experience (433.0) Demographics / Other1 110.5
INPRS Actual Unfunded Liability - 6/30/2019 14,230.6
1 Includes demographic gains/losses, gains due to 13th check
Contributions - A Year in Review INPRS’ Funding Policy establishes adequate contribution rates that seek
appropriate levels of stability At least the amount of the Actuarial Determined Contribution (ADC) Not less than the prior year’s rate until 105% funded
Collected $2.668B in pension plan contributions $1,226M General Fund Appropriations $994M Employer contributions paid as a % of actual payroll $361M Member Contributions $87M Other
Employers paid 116.6% of the Actuarial Determined Contribution (ADC)
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Estimated FY19 INPRSActuarial Determined Contributions (ADC)
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$ in Thousands
Defined BenefitRetirement Plans
ActuarialDeterminedContribution (ADC) Adj for
Actual Payroll
GF Appropriation/
Employer/ Other
Contributions1
ActuarialDeterminedContribution (ADC) Adj for
Actual Payroll
GF Appropriation/
Employer/ Other
Contributions1
PERF 529,122$ 581,580$ 110.0 % 502,206$ 571,099$ 113.7 %TRF 1996 Account 226,099 393,279 173.9 210,586 235,675 111.9
1977 Fund 78,010 154,228 197.7 74,491 147,074 197.4
Judges 14,862 16,031 107.9 14,853 15,117 101.8 EG&C Plan 4,874 6,982 143.2 4,393 6,175 140.6
PARF 3,543 3,216 90.8 2,533 3,014 119.0
LEDB 240 269 112.2 237 237 100.0
Aggregate Pre-Funded Plans 856,750 1,155,585 134.9 809,298 978,391 120.9
TRF Pre-1996 Account (Pay-As-You-Go) 947,405 2 947,405 100.0 922,068 2 922,068 100.0
Aggregate All INPRS Plans 1,804,155$ 2,102,990$ 116.6 % 1,731,367$ 1,900,459$ 109.8 %
1 Excludes member DC contributions.2 TRF Pre-1996 Appropriation is determined by State Statute & is therefore shown in lieu of ADC.
PercentageContributed
FY2018 (Actual Payroll Based Adj)
PercentageContributed
FY2019 (Actual Payroll Based Adj)
FY2019 Board Approved Contribution Ratesvs. the Actuarial Determined Contribution
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($ in thousands)
Defined Benefit Retirement Fund
PERF DB 8.50 % 11.20 %TRF '96 DB 4.48 5.50 '77 Fund 13.24 17.50 EG&C 8.99 20.75
Actuarially Determined
Contribution (ADC) Plus Surcharge
Board Approved Contribution Plus
SurchargeContribution Rate
Investments - A Year in Review
INPRS’ total market value of assets = $36.1 billion as of June 30, 2019.
INPRS’ defined benefit plan returned 7.35% for fiscal year 2019.
The actuarial value of assets is used in calculating the funded ratio and actuarial required contributions. Investment returns are smoothed over five years. INPRS’ five year return is 5.09% annualized.
INPRS continues to target a 6.75% long-term rate of return assumption; a more realistic return assumption among state plans.
Synergies of the combined PERF/TRF assets continue to reduce fees: Net Present Value Savings = $427.9M
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INPRS Assets
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INPRS$36 Billion
Defined Benefit Assets$30 Billion
Managed by INPRS
Defined Contribution Assets(Annuity Savings Account)
$6 Billion
Managed by INPRS
Selections Made by Members
INPRS assets are a mix of Defined Benefit and Defined Contribution monies
INPRS’ Defined BenefitInvestment Imperatives
Achieve a 6.75% return over the long term.
Achieve the return as efficiently & effectively as possible.
Always have enough cash on hand to pay benefits.
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Defined Benefit Target Asset Allocation
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22.0%
14.0%
20.0%7.0%
8.0%
7.0%
10.0%
12.0%Public Equity
Private Markets
FI (Ex Inflation Linked)
FI (Inflation Linked)
Commodities
Real Estate
Absolute Return
Risk Parity
No changes from the asset-liability study in FY2015. There will be a new asset-liability conducted in FY2020.
Private Markets include Private Equity and Private Credit.
Defined Benefit Balance Through Time
INPRS DB Market Value As of 6/30/2019
15
$10,000
$15,000
$20,000
$25,000
$30,000
$35,000
Jun-07 Jun-08 Jun-09 Jun-10 Jun-11 Jun-12 Jun-13 Jun-14 Jun-15 Jun-16 Jun-17 Jun-18 Jun-19
Previous Peak Market Value: $20,175
Trough Market Value: $11,519
2007 Peak to Trough (-43%): -$8,6562007 Peak to Current (+51%): +$10,195Trough to Current (+164%): +$18,851
Defined Benefit Performance vs. Benchmarks
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7.35%8.21%
5.09%
7.77%6.73% 7.16%
4.54%
7.30%
0%
4%
8%
12%
1 Year 3 Year 5 Year 10 Year
Annualized Net of Fee Returns as of 06/30/2019
INPRS Return Benchmark Return
Target 6.75% Return
Defined Benefit Performance vs. 6.75% Objective
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Sharpe Ratio = (Total Return – Cash Return) / Volatility. Sharpe Ratio measures the return per unit of risk taken.
Annualized Return VolatilityReturn/
Risk RatioActual 6.41% 4.56% 1.26
Expected 6.75% 10.00% 0.45
Jul 2012 - June 2019
INPRS DB “Value Add”July 2012 – June 2019
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$512M
+
$440M
$952M-0.5%
0.0%
0.5%
1.0%
1.5%
2.0%
2.5%
3.0%
3.5%
4.0%
Jul-12 Jul-13 Jul-14 Jul-15 Jul-16 Jul-17 Jul-18
Asset Allocation Value Add Manager Selection Value Add
Defined Contribution (DC) Imperatives
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Provide a simple and diversified default optionMost members elect to stay invested in the default option through retirement.
Provide a simple and diversified menu of stand-alone options
Reducing complexity & the number of investment options is believed to lead to better outcomes based on research from leading Defined Contribution experts.
Leverage the DB asset base to provide low-cost investment options
Leverage the size of the Defined Benefit assets in an effort to lower the fees across Defined Contribution investment options.
Defined Contribution (DC)Fund Allocation
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Public Safety Officers’
Special Death Benefit Fund
$4,500,000
2012
2007 2019
8%
12%3%1%
76%
Large Cap Equity Index Fund Small/Mid Cap Equity FundInternational Equity Fund Fixed Income FundGuaranteed Fund
19%
14%
4%
3%1%1%
46%
12%
Large Cap Equity Index Fund Small/Mid Cap Equity Fund
International Equity Fund Fixed Income Fund
Inflation-Linked Fixed Income Fund Money Market Fund
Stable Value Target Date Funds
Sudan, Terror States, and Anti-Israel BDS Divestment Update 2019
MSCI provided INPRS with a list of potential restricted businesses.
MSCI engages with businesses quarterly to allow for responses to their actions.
Unresponsive potential restricted businesses received an INPRS-specific engagement letter.
INPRS provided its investment managers a list of restricted businesses and instructions to divest by December 31st, 2018.
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INPRS continues to be in full compliance with the Sudan, Terror States, and Anti-Israel BDS Divestment legislation
Low Cost and High ServiceINPRS is a low cost/high service system in comparison to peers
FY13
FY14
FY19
FY17
FY16
FY15
FY18
Six consecutive
years of improving
service while lowering
cost!
FY19 Year End Performanceand Year over Year Improvement
DB Rate of Return
Fees Below Peer Median
Minimum Investment Return
DC - Rate of Return
Funded Status -- Prefunded plans
Employer Contributions
Actuarial Determined Contributions
Member Complaints
Member Satisfaction
Benchmark (CEM) Service Score
Portfolio Performance
Customer and Financial
Benefits Paid on Time
Cost per Member
Performance to Budget
Unmodified Audit Opinion
Pending Code Changes
Projects on Time
Employee Engagement
Audit Findings
Compliance
Manage Enterprise Risk
Process
Learning/Growth & Risk
FY19 Strategic Plan Accomplishments
100% of our 69 annual key operational requirements (KORs) were met
96% of 27 strategic objectives ended the year with a status of “Completed” or “On-track”
Major Accomplishments Improved service while decreasing cost for the 6th consecutive year Launched a much improved Annual Member Statement Implemented the TRF My Choice Plan for newly hired school teachers Implemented a process to collect and analyze “Voice Of the Customer” data to better
understand stakeholder expectations Completed assessments of key business processes to better understand process capabilities
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FY20 Top Priorities
Conduct an asset liability study to determine the asset allocation and targeted rate of return and risk for the next 5 year timeframe
Improve INPRS’ data integrity for business critical data elements
Refine the new member plan enrollment and onboarding education process
Recruit, train and retain the desired INPRS Call Center personnel
Define and build the desired organizational and departmental cultures to attract and retain employees
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PERF: My Choice Plan For Political Subdivision Employers
2014 HEA1466 created an optional My Choice Plan for PERF local units known as political subdivisions (PSDs) The PSDs are able to offer PERF: My Choice, PERF Hybrid or a choice between each to new hires
The PERF: My Choice Plan provides PSDs employers more control over their contribution rates The mandatory 3% contributions may be paid by the employer, employee or shared by the employer
and employee (same as today) Employer contribution is determined by the employer:
Employers can pay between 0 % and the DB normal cost (4.1%) into an employee’s PERF: My Choice Employer is also required to pay the supplemental rate which funds the unfunded liability in the PERF
Hybrid plan (7.1%). Employers pay this amount to INPRS, not the employee’s PERF: My Choice New employers who have never offered the PERF Hybrid, but who choose to offer only the PERF: My
Choice will not have to pay the supplemental rate
Currently we have 26 employers who have signed up for the PERF: My Choice Plan 7 employers are only offering the PERF: My Choice to new hires 14 employers are offering new hires a choice between PERF: My Choice and PERF Hybrid 5 employers offerings to employees differ by job classification
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Teachers’ Retirement Fund (TRF)Pre-1996 Account Forecast
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*Based on the 6/30/2018 Valuation
-
200.0
400.0
600.0
800.0
1,000.0
1,200.0
1,400.0
2010
2011
2012
2013
2014
2015
2016
2017
2018
2019
2020
2021
2022
2023
2024
2025
2026
2027
2028
2029
2030
2031
2032
2033
2034
2035
2036
2037
2038
2039
2040
2041
2042
2043
2044
2045
2046
2047
2048
2049
2050
2051
$ M
illio
nsTRF Pre-’96 Contributions and Benefit Payouts
0.4% assumed COLA 2021-2032, 0.5% 2033-2037, 0.6% thereafterAppropriations increase 3% per year until contributions equal base plan payments
Constant lottery and declining other revenue through projection period
SRA Benefit Payouts
Base Plan Payouts
SRA Appropriations
Base Appropriations
Teachers’ Pre-1996 Defined BenefitFiduciary Net Position
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Balance as of June 30, 2019 = $3.7B
$0.000
$0.500
$1.000
$1.500
$2.000
$2.500
$3.000
$3.500
$4.000
$4.500
$5.000
FY07 FY08 FY09 FY10 FY11 FY12 FY13 FY14 FY15 FY16 FY17 FY18 FY19 FY20 FY21 FY22
Assets excluding ASA Balance Forecast HB1376 Excess Reserve Contribution & 13th Check Prefunding
TRF Pre-'96 Fiduciary Net Position ($billions)
Teachers’ Pre-1996 Defined Benefit Account Update
3% year-over-year appropriations growth for FY2020 – FY2022
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$ Millions Actual Actual Actual Actual Forecast 1 Forecast 1 Forecast 1
FY16 FY17 FY18 FY19 FY20 FY21 FY22Total:Benefit Payments (1,118.1)$ (1,135.7)$ (1,153.4)$ (1,165.1)$ (1,218.6)$ (1,227.2)$ (1,212.7)$ Base Appropriations (General Fund) 816.5 841.0 866.2 892.2 919.0 946.6 975.0
Amount Withdrawn (301.6)$ (294.7)$ (287.2)$ (272.9)$ (299.6)$ (280.6)$ (237.7)$
SRA Appropriations(Lottery Transfer) 30.0$ 30.0$ 30.0$ 30.0$ 30.0$ 30.0$ 30.0$
Investment Gains / (Losses) 40.8 288.9 354.9 269.0 245.5 245.3 246.4 13th Check Prefunding 2 41.0 - 21.7 21.7 22.1 - - Other Income / (Expenses) 33.7 28.8 16.5 0.1 - - -
Net Position3 3,522.4$ 3,575.4$ 3,711.3$ 3,759.2$ 3,757.2$ 3,751.9$ 3,790.6$
1 Based on the 6/30/2018 Actuarial Valuation. FY20, FY21 and FY22 forecast benefit payments could change.2 13th Check Prefunding: Received 13th Check Prefunding for FY16 & FY17 ($41M) in FY16. 2017 Budget Bill prefunded 13th Check for FY19 ($21.7M). The 2019 Budget Bill appropriates 22.1M for 13th Check for FY20.3 Includes ASA balances annuitized prior to January 1, 2018 (approximately $1.2B).
Pension Relief
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Established in 1977 to help cities and towns with the costs of legacy police and firefighter retirement plans
$ in millions
FY2015 Actual
FY2016 Actual
FY2017 Actual
FY2018 Actual
FY2019 Actual
FY2020 Forecast
FY2021 Forecast
FY2022 Forecast
Additions General Fund Appropriation (State) 155.0$ 160.0$ 150.0$ 145.0$ 145.0$ 145.0$ 152.5$ Lottery (State) 30.0 30.0 30.0 30.0 30.0 30.0 30.0 Cigarette Tax (State) 23.6 23.1 22.3 21.5 21.1 20.8 20.4 Alcohol Tax (State) 3.7 3.9 4.1 4.2 4.2 4.2 4.2 Public Deposit Insurance Fund (PDIF) 0.0 0.0 0.0 0.0 0.0 0.0 0.0 Investment Income 0.3 0.7 1.4 1.8 0.1 0.1 0.1Total Additions 212.6$ 217.7$ 207.8$ 202.5$ 200.4$ 200.1$ 207.2$
Deductions Pension Relief Distributions 215.8$ 213.3$ 212.6$ 212.3$ 208.3$ 206.1$ 203.4$ Death Benefits 0.0 0.3 0.0 0.0 0.0 0.0 0.0 Other (Local Unit Withdrawals & Admin. Expenses) 0.0 0.0 0.0 0.0 0.0 0.0 0.0Total Deductions 215.8$ 213.6$ 212.6$ 212.3$ 208.3$ 206.1$ 203.4$
Pension Relief Fund Balance 33.0$ 29.8$ 33.9$ 29.0$ 19.2$ 11.3$ 5.3$ 9.1$
Memo: Local Unit Balances 1.6$ 1.7$ 1.7$ 1.7$ 1.6$ 1.6$ 1.6$ 1.6$
SEA373 - Supplemental Reserve Accounts (SRAs)
Background
As of June 30th, 2018 any post retirement benefit increases (including a 13th Check and/or COLA) granted by the General Assembly must be pre-funded through available funds in segregated supplemental allowance reserve accounts (SRAs) for PERF, TRF Pre-’96, TRF ’96, EG&C and LE DB.
Previously: Postretirement benefit increases (PBI) were granted by the General Assembly
on an ad hoc basis. Increases were paid out of plan assets. No income sources were segregated for the sole purpose of PBI
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SRA Funded Status
32
$ in thousands PERF TRF Pre-’96 TRF ‘96 EG&C LE DBAssets as of 6/30/2019 $ 11,506 $ 31,916 $ 2,417 $ 125 $ - Liabilities as of 6/30/2019 - - - - -
Surplus / (Deficit) as of 6/30/2019 $ 11,506 $ 31,916 $ 2,417 $ 125 $ -
Committed Balance $ - $ - $ - $ - $ - Uncommitted Balance 11,506 31,916 2,417 125 -
One North Capitol, Suite 001 | Indianapolis, IN, 46204 | (844) GO-INPRS | www.inprs.in.gov33
Supplemental Reserve AccountsJune 2019
(dollars in thousands)PERF
DBTRF Pre-'96
DBTRF '96
DB EG&C LE DBSRATotal
Net Position - Beginning of Period -$ -$ -$ -$ -$ -$ Contributions:
Employer 11,022 - 2,314 120 - 13,456 Lottery - 30,000 - - - 30,000
Total Contributions 11,022 30,000 2,314 120 - 43,456
Net Investment Income/(Loss) 484 1,916 103 5 - 2,508 Benefit Payouts and Expenses - - - - - -
Net Inc/(Dec) in Net Position 11,506 31,916 2,417 125 - 45,964
Ending Net Position Restricted 11,506$ 31,916$ 2,417$ 125$ -$ 45,964$
Employer Contribution Rates: 0.43% N/A 0.14% 0.73% N/A
Note:
Year to date
TRF Pre-'96 DB receives $2.5m each month from the Lottery. When benefits are known, lottery money will be allocated to the LE DB to pay for the benefit.
National Trends Aggregate funded ratios have remained flat at approximately 72% for the last 7 years
Continued reductions in assumed rates of return (FY19 public pension plan median = 7.25%) Recognition of mortality improvements Movement from open to closed amortization periods and towards shorter amortization periods
More employers continue to fund their ADCs
Pension buyout programs have started in the public pension space Missouri state employee inactive vested members were offered a upfront cash option in exchange
their future DB benefit. 25% of eligible members elected the buyout at a 60% discount to the Net Present Value of their earned DB benefit
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Risk Analysis Report 2019 SEA545 requires INPRS to report to PMOC on any stress tests or risk
assessments performed Actuarial Standard of Practice (ASOP) No. 51 Assessment and Disclosure of Risk
Associated with Measuring Pension Obligations and Determining Pension Plan Contributions, is now in effect
INPRS actuaries Cavanaugh Macdonald issued their first 80 page report on August 16, 2019 based upon the June 30, 2018 INPRS actuarial valuation. The most significant risks discussed on the report include:
Investment risk – What if actual investment returns differ from the assumption?Other Economic risks – What if actual inflation, wage growth and COLAs differ from assumptions?Mortality risk – What if members live longer or shorter than assumed?Termination & Retirement risk – What if members separate from employment differently than
assumed?Active Membership and Payroll Growth risk – What if the active population increases or decreases in
an unexpected manner?Contribution risk - What if the funding policy does not adequately fund the ADC?
A copy of the report will be submitted to PMOC on or before August 30th
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INPRS Request For PMOC Consideration
1. Eliminate the 30 day employer separation period for access to DC monies
2. Add a DC Annuity option that provides members an industry standard option that does not have a cash refund option
Current Indiana Code requires that should a member pass away before they receive the amount paid to purchase the annuity, the difference will be paid to the member’s beneficiary
The current legislatively mandated provision provides a lower annuity payment than an option that would not guarantee the difference to be paid to a beneficiary
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Other Potential Policy Considerations
The IRS no longer requires an employee to separate from an employer before an employee can receive a retirement benefit from that employer
Employers now have flexibility to allow in-service distributions of retirement benefits at age 59 ½ or once an employee reaches their plan’s normal retirement age
‘77 Fund Disability – Mental Disorders PTSD claims are on the rise with growing concern for fraud and abuse Given the nature of the diagnosis and treatment of mental disorders, public safety funds
are reviewing their statutory provisions for Independent second opinions from certified psychiatric specialist at onset Requirements to undergo treatment Reviews after treatment periods
Indiana Code is somewhat ambiguous as to the determination of the class of disability in the event of a line of duty related mental disorder
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APPENDIX
38
Overview – Member Demographics(Census Data as of June 30, 2018)
410,000 + DB MembersDB Members by Fund
39
40
Overview – Member Demographics(Census Data as of June 30, 2018)
DB Members by Status
41
Overview – Member Demographics(Census Data as of June 30, 2018)
310,000 + DC MembersDC Members by Fund
Overview – Employer Demographics(as of June 30, 2018)
1,200+ Employers
42
Pension Funding SourcesFY2019 – FY2022
43
(dollars in millions)
FundGeneral Fund Appropriation Other 2
General Fund Appropriation Other 2
General Fund Appropriation Other 2
General Fund Appropriation Other 2
PERF DB 577.4$ 581.3$ 590.2$ 599.0$ - 13th Check 3 4.8$ 5.0$ TRF Pre-'96 DB 892.2 33.5 919.0 33.1 946.6$ 32.8 975.0$ 32.4 - 13th Check 3 21.7 22.1 TRF '96 DB 150.0 243.3 190.1 197.6 205.2 - 13th Check 3
'77 Fund 207.9 201.2 200.9 200.6 JRS 8.9 10.6 11.0 10.4 11.5 10.5 12.1 10.6 EG&C 8.1 7.5 7.6 7.6 - 13th Check 3 0.1 - PARF 3.2 1.3 4.2 1.3 4.4 1.3 4.4 1.4 LE DB 0.3 0.2 0.2 0.2 - 13th Check 3
Total DB 1,081.2 1,082.1 961.5 1,024.9 962.7 1,040.9 991.7 1,056.8
PERF DC 178.1 180.9 183.6 186.4 TRF DC 123.4 123.7 125.5 127.5 LE DC 1.9 1.9 1.9 1.9 Total DC - 303.4 - 306.5 - 311.0 - 315.8
Special Death 0.5 0.5 0.5 0.5 Pension Relief 145.0 55.7 145.0 55.4 145.0 55.1 152.5 54.7 Total 1,226.2$ 1,441.7$ 1,106.5$ 1,387.3$ 1,107.7$ 1,407.5$ 1,144.2$ 1,427.8$
1 Based on the June 30, 2018 actuarial valuation. Forecast could change.2 Other includes member and employer contributions, lottery proceeds, docket and court fees, cigarette and alcohol taxes.3 The General Fund Appropriation represents pre-funding for a 13th check.
FY2022 Forecast 1FY2019 Actual FY2020 Forecast 1 FY2021 Forecast 1
INPRS’ Asset Allocation Process
44
“The board shall invest its assets with the care, skill, prudence, and diligence that a prudent person acting in a like capacity and familiar with such matters would use in the conduct of an enterprise of a like character with like aims. The board also shall diversify investments in accordance with prudent investment standards”
1) Understand liabilities, cash flows & profile of employers2) Understand stakeholders’ risk tolerance3) Analyze various asset allocations vs. INPRS’ objectives
Mean Variance Optimization based on established principles of Modern Portfolio Theory Run as many historical scenarios & stress tests as possible Seek input from the best asset allocators across the globe
4) Select target asset allocation & ranges for asset classes5) Avoid “knee-jerk” portfolio changes (volatility & scary headlines are normal)
Diversification means you’re always saying “sorry” for something.
Purposes of the Asset Classes Outside of Stocks & Bonds
Private MarketsTo provide risk-adjusted returns in excess of public markets through various strategies (e.g. driving operational improvements at the invested companies).
Real EstateTo provide attractive risk-adjusted returns by producing stable income and preserving capital. It also serves as a diversifier and protection against inflation in certain environments.
Absolute Return To provide unique, diversifying return streams and reduce volatility by utilizing strategies that are less constrained.
Commodities To provide protection when inflation is higher than expected and linked to goods / inputs.
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Asset Allocation & PerformanceAs of 6/30/19
Public Equity
PrivateMarkets
Fixed Income (Ex Inflation-
Linked)
Fixed Income (Inflation-
Linked)Commodities Real Estate
Absolute Return
Risk Parity
1 YearReturn 5.38% 20.40% 9.99% 5.66% -8.16% 8.67% 4.24% 8.43%
3 Year Return 12.51% 16.32% 4.28% 3.74% 1.49% 10.40% 5.82% 7.04%
5 Year Return 6.89% 13.28% 4.63% 3.28% -10.15% 9.97% 3.62% 3.85%
10 Year Return 11.16% 14.39% 5.92% 4.75% -3.25% 10.11% 5.43%
46
21.3%
12.5%
20.1%
7.4% 7.6% 6.0%9.6%
13.2%
0%
5%
10%
15%
20%
25%
30%Target Range Actual
INPRS’ Split Between Active & Passive Portfolios
47
Actual asset allocation as of June 30, 2019. Cash excluded from the analysis.
INPRS’ Return Projections
1Approved at the June 2015 INPRS Board meeting.2Source: Verus. Annualized, geometric returns. Due to the historically low interest rates and slow growth across the globe, expectations remain low.
INPRS’ Target Weight1
Projected 10-yr Returns2(June 30, 2019)
U.S. Inflation 2.0%U.S. Large Cap Stock 10.3% 5.8%U.S. Small Cap Stock 0.9% 5.4%Int'l Developed Mkt Stock 8.4% 7.7%Emerging Mkt Stock 2.4% 8.6%Private Equity 10.0% 8.8%Private Credit 4.0% 7.7%Fixed Income 20.0% 3.5%Inflation-Linked Bonds (TIPS) 7.0% 3.0%Commodities 8.0% 4.2%Real Estate 7.0% 7.6%Hedge Funds 10.0% 4.4%Risk Parity 12.0% 7.1%
10-yr Projected Return 6.4%30-yr Projected Return 6.57 – 6.87%
48
FY19 Defined BenefitInvestment Management & Performance Fees1
$13.0M Passive Fees
+ $39.0M Active Mgmt. + Performance Fees in Public Asset Classes3
+ $136.3M Alternative Asset Class Mgmt. + Performance Fees4
= $188.3M Total INPRS Investment Mgmt. + Performance Fees
49
1 Unaudited estimates.2 Based on average market values of the individual portfolios throughout the year.3 Includes performance fees for Public Equity and Fixed Income asset classes.4 Includes performance fees for Absolute Return asset class.
0.68% of INPRS’ Total DB Market Value2
CEM Benchmarking, an industry-leader in evaluating the efficiency of public pensions, analyzed INPRS’ CY17 investment management fees. INPRS’ fees were slightly higher than peers (0.06%) due to fixed income & absolute return performance fees
Alternative Investments
50
INPRS’ total returns have been higher than they would have been without alternative investments2…
…and INPRS’ total volatility has been lower because of them.
Although more expensive than merely investing in public markets, alternative investments1 have had two positive results:
1 Alternative investments includes Private Equity, Real Estate, and Absolute Return.2 Assumed that any allocation to alternative investments would have been allocated pro-rata to the remaining asset classes based on INPRS’ asset allocation.
-40%
-20%
0%
20%
40%
60%
80%
2008 2010 2012 2014 2016 2018
10 yr. Cumulative Returns (Net of Fees)
Total INPRS
0%
5%
10%
15%
20%
2009 2011 2013 2015 2017 2019
3 yr. Rolling VolatilityTotal INPRS Total INPRS less Alternative Investments
Peer ComparisonsINPRS vs InvestorForce Public DB > $1B Net Universe
51
1 Year (Net of Fees) 5 Year (Net of Fees)
DC Performance (Net of Fees)As of June 30, 2019
1All returns are hypothetical composite returns, with the exception of the Stable Value Fund , which is actual. 2Returns and indices are on the Target Date Funds Performance slide.
52
Market Value ($MM) % of DC
Cal YTD 1 Year 3 Year 5 Year
Large Cap Equity Index Fund 1,108 19.3 18.57 10.43 14.18 10.70 S&P 500 Index 18.54 10.42 14.19 10.71
Small/Mid Cap Equity Fund 757 13.2 19.53 2.22 13.33 7.75 Russell Small Cap Completeness Index 19.62 2.36 13.37 7.94
International Equity Fund 240 4.2 14.60 2.39 10.36 3.44 MSCI ACWI ex US 13.29 1.02 9.29 2.11
Fixed Income Fund 178 3.1 6.23 7.69 2.71 2.96 Barclays Aggregate 6.11 7.87 2.31 2.95
Inflation Linked Fixed Income Fund 35 0.6 6.13 4.77 2.19 1.65 Barclays US TIPS Index 6.15 4.84 2.08 1.76
Stable Value Fund 2,507 43.6 1.20 2.35 1.98 1.74 3yr Constant Maturity Treasury 1.08 2.49 1.94 1.56
Money Market Fund 52 0.9 1.25 2.39 1.56 1.01 FTSE 3 Month T-Bill Index 1.21 2.30 1.36 0.84
Target Date Funds1 869 15.1
TOTAL DC ASSETS2 5,746 100
INPRS Market Values
06/30/20196/30/186/30/176/30/166/30/15
INPRS
PR8GCRIF0000 Defined Benefit Retirement Funds$30,370,572,758$28,475,758,997$26,365,129,280$24,775,551,542$24,629,820,379verify to CAFR
Defined Contribution Retirement Funds$5,745,596,849$5,643,721,464$5,250,566,130$5,134,445,798$5,302,270,927
TOTAL INPRS ASSETS$36,116,169,607$34,119,480,461$31,615,695,410$29,909,997,339$29,932,091,306
OTHER
PR8G00030000 Local Public Safety Pension Relief Fund $16,184,251$26,167,053$30,859,090$26,956,823$30,355,619
PR8GDTHBEN40 Special Death Benefit Fund$15,185,143$14,843,946$14,980,668$14,591,579$13,641,927
TOTAL OTHER ASSETS$31,369,394$41,010,999$45,839,758$41,548,403$43,997,546
TOTAL COMBINED ASSETS$36,147,539,001$34,160,491,460$31,661,535,168$29,951,545,742$29,976,088,852
June 2019June 2018June 2017June 2016June 2015
DB Defined Benefit Retirement Funds$30,370,573$28,475,759$26,365,129$24,775,552$24,629,820
June 2019June 2018June 2017June 2016June 2015
DC Defined Contribution Retirement Funds$5,745,597$5,643,721$5,250,566$5,134,446$5,302,271
June 2019June 2018June 2017June 2016June 2015
Pension Relief Local Public Safety Pension Relief Fund $16,184,251$26,167,053$30,859,090$26,956,823$30,355,619
June 2019June 2018June 2017June 2016June 2015
Special Death Special Death Benefit Fund$15,185,143$14,843,946$14,980,668$14,591,579$13,641,927
March 2019June 2018June 2017June 2016June 2015
Defined Benefit$30,370,573$28,475,759$26,365,129$24,775,552$24,629,820
Defined Contribution$5,745,597$5,643,721$5,250,566$5,134,446$5,302,271
Total$36,116,170$34,119,480$31,615,695$29,909,997$29,932,091
Market Values - Defined Benefit (DB) Plans (in millions)
DB Defined Benefit Retirement FundsJune 2019June 2018June 2017June 2016June 201530370572.75800000128475758.99700000126365129.28000000124775551.54163999924629820.379000001
Market Values - Defined Contribution (DC) Plans (in millions)
DC Defined Contribution Retirement FundsJune 2019June 2018June 2017June 2016June 20155745596.84900000045643721.46399999975250566.135134445.79750000035302270.9270000001
Market Values - Local Public Safety Pension Relief Fund
Pension Relief Local Public Safety Pension Relief Fund June 2019June 2018June 2017June 2016June 201516184251261670533085909026956823.21000000130355619
Market Values - Special Death Benefit Fund
Special Death Special Death Benefit FundJune 2019June 2018June 2017June 2016June 201515185143148439461498066814591579.3313641927
Assets under Management for Members ($MM)
$34.9 billion as of March 31, 2019
Defined BenefitMarch 2019June 2018June 2017June 2016June 201530370572.75800000128475758.99700000126365129.28000000124775551.54163999924629820.379000001Defined ContributionMarch 2019June 2018June 2017June 2016June 20155745596.84900000045643721.46399999975250566.135134445.79750000035302270.9270000001
29,358
INPRS Peak to Trough
DatePERF CRIF Market ValueTRF DB Market ValueINPRS DB Market ValueINPRS DB Market Value
Oct-0512,752,954,8714,104,290,28316,857,245,154
Nov-0513,134,070,7114,301,631,15317,435,701,864
Dec-0513,266,584,1954,307,783,90917,574,368,104
Jan-0613,793,205,5694,537,775,48618,330,981,05529,357,612,929.09
Feb-0613,763,706,8994,542,932,23118,306,639,130
Mar-0613,936,583,7144,544,131,20018,480,714,914
Apr-0614,185,321,3764,696,026,01018,881,347,386
May-0613,724,054,5144,470,815,35218,194,869,866Note: Verify the min-max date range for horizontal axis
Jun-0613,694,137,3504,470,054,84118,164,192,191
Jul-0613,680,312,6674,483,411,93818,163,724,605
Aug-0614,025,429,3144,569,361,78818,594,791,102
Sep-0614,196,783,9024,600,994,37618,797,778,278
Oct-0614,618,211,0494,724,721,08919,342,932,138
Nov-0614,944,567,0714,828,987,77219,773,554,843
Dec-0615,041,890,1334,994,972,49520,036,862,628
Jan-0715,244,419,1845,041,706,62820,286,125,812
Feb-0715,241,916,1665,038,454,54320,280,370,709
Mar-0715,361,414,4305,199,057,16620,560,471,5962,316,625,85213,044,788,57818,243,845,743.5418,243,845.74
Apr-0715,897,651,6785,362,925,68521,260,577,3632,316,625,85213,581,025,82518,943,951,510.24
May-0716,287,465,6325,527,475,53821,814,941,1702,316,625,85213,970,839,78019,498,315,317.64
Jun-0716,114,207,1495,499,619,77621,613,826,9252,316,625,85213,797,581,29719,297,201,072.60
Jul-0715,789,319,2925,424,097,45621,213,416,7482,316,625,85213,472,693,43918,896,790,895.29
Aug-0715,811,030,5715,441,009,80521,252,040,3762,316,625,85213,494,404,71918,935,414,523.74
Sep-0716,315,157,7295,634,981,89921,950,139,6282,316,625,85213,998,531,87719,633,513,775.83
Oct-0716,731,913,1245,759,908,12222,491,821,2462,316,625,85214,415,287,27120,175,195,393.39
Nov-0716,162,744,8865,738,403,62221,901,148,5082,316,625,85213,846,119,03319,584,522,655.43
Dec-0716,002,602,0635,736,130,89821,738,732,9612,316,625,85213,685,976,21119,422,107,109.00
Jan-0815,286,873,2455,563,755,05920,850,628,3042,316,625,85212,970,247,39318,534,002,451.88
Feb-0815,092,857,5385,484,669,12820,577,526,6662,316,625,85212,776,231,68618,260,900,814.16
Mar-0814,931,173,7575,378,509,60920,309,683,3662,316,625,85212,614,547,90417,993,057,513.20Peak to Trough-8,655,930,224-42.9%
Apr-0815,511,277,0485,593,253,47421,104,530,5222,316,625,85213,194,651,19618,787,904,669.67Peak to Current9,278,332,00546.0%
May-0815,758,466,3905,611,289,96121,369,756,3512,316,625,85213,441,840,53719,053,130,498.23Trough to Current17,934,262,229155.7%
Jun-0814,849,949,4345,346,139,33120,196,088,7652,316,625,85212,533,323,58217,879,462,913.05
Jul-0814,713,982,7065,500,237,69320,214,220,3992,316,625,85212,397,356,85417,897,594,546.770.5375
Aug-0814,623,049,8115,413,291,78420,036,341,5952,316,625,85212,306,423,95817,719,715,742.220.0000902978
Sep-0813,300,048,8454,812,067,59218,112,116,4372,316,625,85210,983,422,99215,795,490,584.3122.5744426942
Oct-0811,448,523,6744,357,500,10115,806,023,7752,316,625,8529,131,897,82213,489,397,922.86
Nov-0810,835,946,4964,117,151,88114,953,098,3772,316,625,8528,519,320,64412,636,472,524.67
Dec-0811,122,965,0994,357,009,61315,479,974,7122,316,625,8528,806,339,24613,163,348,859.34
Jan-0910,665,171,9254,039,081,91114,704,253,8362,316,625,8528,348,546,07212,387,627,983.35
Feb-0910,071,647,4103,764,243,61213,835,891,0222,316,625,8527,755,021,55711,519,265,169.31
Mar-0910,447,850,3153,828,308,52614,276,158,8412,316,625,8528,131,224,46311,959,532,988.56
Apr-0911,141,374,2633,991,276,17515,132,650,4382,316,625,8528,824,748,41112,816,024,586.08
May-0911,793,158,7844,279,248,14516,072,406,9292,316,625,8529,476,532,93113,755,781,076.44
Jun-0911,795,144,9954,235,522,62916,030,667,6242,316,625,8529,478,519,14313,714,041,772.10
Jul-0912,438,381,6814,474,722,08516,913,103,7662,316,625,85210,121,755,82914,596,477,913.88
Aug-0912,794,878,9794,616,902,07717,411,781,0562,316,625,85210,478,253,12615,095,155,203.45
Sep-0913,092,245,5044,673,005,33217,765,250,8362,316,625,85210,775,619,65215,448,624,983.67
Oct-0913,082,345,8004,560,273,28117,642,619,0812,276,250,46010,806,095,33915,366,368,620.47
Nov-0913,476,992,2364,850,689,42418,327,681,6602,359,564,50611,117,427,73015,968,117,154.11
Dec-0913,563,983,9214,837,558,69318,401,542,6142,386,943,71011,177,040,21116,014,598,904.26
Jan-1013,343,514,4444,841,500,51418,185,014,9582,245,803,85311,097,710,59115,939,211,105.45
Feb-1013,496,644,9924,820,003,67918,316,648,6712,287,817,43011,208,827,56216,028,831,240.900.56%
Mar-1013,891,723,3104,965,377,06318,857,100,3732,367,643,78611,524,079,52416,489,456,587.302.87%
Apr-1014,135,866,1774,957,982,89119,093,849,0682,325,832,56311,810,033,61416,768,016,504.831.69%
May-1013,472,926,0414,827,731,27118,300,657,3122,229,267,68511,243,658,35616,071,389,627.15-4.15%
Jun-1013,313,993,1875,072,398,00918,386,391,1962,214,961,80311,099,031,38416,171,429,393.180.62%
Jul-1013,887,942,3265,171,774,71519,059,717,0412,341,010,19911,546,932,12716,718,706,841.663.38%
Aug-1013,775,351,7845,273,660,18019,049,011,9642,322,882,43111,452,469,35316,726,129,533.310.04%
Sep-1014,349,436,2335,489,481,78519,838,918,0182,427,346,39211,922,089,84117,411,571,626.394.10%
Oct-1014,772,789,0885,609,173,84220,381,962,9302,474,288,60712,298,500,48117,907,674,322.852.85%
Nov-1014,593,477,8175,581,159,78720,174,637,6042,450,853,13112,142,624,68617,723,784,473.33-1.03%
Dec-1015,049,239,2515,712,286,76020,761,526,0112,518,362,86612,530,876,38518,243,163,145.162.93%
Jan-1115,252,783,5295,767,587,18421,020,370,7132,533,709,66412,719,073,86518,486,661,049.231.33%
Feb-1115,493,474,3935,879,186,99821,372,661,3912,572,708,57912,920,765,81518,799,952,812.811.69%
Mar-1115,553,290,8015,920,861,39421,474,152,1952,571,759,95912,981,530,84218,902,392,235.960.54%
Apr-1116,109,264,1116,010,700,08322,119,964,1942,647,299,04613,461,965,06519,472,665,148.263.02%
May-1115,971,792,2976,092,050,08122,063,842,3782,234,744,02613,737,048,27119,829,098,351.711.83%
Jun-1115,796,582,9875,984,318,82121,780,901,8082,131,254,87013,665,328,11719,649,646,938.40-0.90%
Jul-1115,890,763,3755,991,742,87721,882,506,2522,138,180,08013,752,583,29519,744,326,171.300.48%
Aug-1115,344,737,4375,873,819,08621,218,556,5232,068,258,58813,276,478,85019,150,297,935.47-3.01%
Sep-1114,516,887,6835,675,198,18020,192,085,8632,052,074,54112,464,813,14118,140,011,321.49-5.28%
Oct-1115,346,185,3145,933,344,55621,279,529,8702,271,238,56913,074,946,74519,008,291,300.544.79%
Nov-1115,110,840,2785,867,662,66120,978,502,9392,134,684,99112,976,155,28718,843,817,948.01-0.87%
Dec-1115,089,685,1015,887,728,74320,977,413,8442,115,559,20412,974,125,89718,861,854,640.050.10%
Jan-1215,531,812,8755,682,913,36721,214,726,2422,165,222,32713,366,590,54719,049,503,914.830.99%
Feb-1213,635,394,0626,217,022,37619,852,416,43813,635,394,06219,852,416,438.004.21%
Mar-1219,880,125,795.340.14%
Apr-1220,229,165,481.421.76%
May-1219,571,350,056.73-3.25%
Jun-1219,708,882,089.000.70%
Jul-1220,401,657,496.003.52%
Aug-1220,513,796,857.820.55%
Sep-1220,730,492,788.771.06%
Oct-1221,005,964,024.041.33%
Nov-1221,352,695,462.471.65%
Dec-1221,570,535,151.001.02%
Jan-1322,104,409,166.252.48%
Feb-1322,004,168,907.84-0.45%
Mar-1322,221,418,182.450.99%
Apr-1322,473,696,387.291.14%
May-1322,103,673,154.95-1.65%
Jun-1321,488,701,119.79-2.78%
Jul-1322,270,115,950.503.64%
Aug-1322,026,038,569.05-1.10%
Sep-1322,470,011,124.802.02%
Oct-1322,939,919,786.712.09%
Nov-1322,919,522,754.00-0.09%
Dec-1323,034,368,925.140.50%
Jan-1422,910,194,390.22-0.54%
Feb-1423,473,814,726.722.46%
Mar-1423,655,575,200.980.77%
Apr-1423,940,051,797.581.20%
May-1424,238,392,687.111.25%
Jun-1424,560,322,873.251.33%
Jul-1424,776,696,483.940.88%
Aug-1425,005,943,255.900.93%
Sep-1424,558,937,154.93-1.79%
Oct-1424,615,954,864.950.23%
Nov-1424,741,253,065.020.51%
Dec-1424,363,367,396.72-1.53%
Jan-1524,470,908,403.840.44%
Feb-1524,761,858,524.891.19%
Mar-1524,658,597,879.99-0.42%
Apr-1525,093,171,694.201.76%
May-1524,964,623,060.60-0.51%
Jun-1524,629,820,378.62-1.34%
Jul-1524,728,561,919.530.40%
Aug-1524,268,062,980.07-1.86%
Sep-1523,823,699,627.35-1.83%
Oct-1524,313,365,352.412.06%
Nov-1524,142,948,142.58-0.70%
Dec-1523,678,488,936.70-1.92%
Jan-1623,418,593,606.16-1.10%
Feb-1623,360,993,574.94-0.25%
Mar-1624,067,690,547.463.03%
Apr-1624,376,978,665.591.29%
May-1624,476,174,466.640.41%(408,483,919.18)
Jun-1624,775,551,541.641.22%
Jul-1625,526,605,915.223.03%
Aug-1625,624,082,437.430.38%
Sep-1625,561,496,666.58-0.24%
Oct-1625,468,119,562.24-0.37%
Nov-1625,249,961,452.85-0.86%
Dec-1625,489,127,872.600.95%
Jan-1725,819,975,386.981.30%
Feb-1726,122,911,159.551.17%
Mar-1725,946,134,476.49-0.68%
Apr-1726,265,327,908.091.23%
May-1726,572,157,048.041.17%
Jun-1726,365,129,279.66-0.78%
Jul-1727,265,869,384.343.42%
Aug-1727,506,614,591.830.88%
Sep-1727,371,484,420.19-0.49%1,532,424,280.64
Oct-1727,897,553,560.301.92%
Nov-1728,005,336,883.040.39%
Dec-1728,295,861,702.351.04%
Jan-1828,766,081,658.551.66%
Feb-1828,253,939,740.46-1.78%
Mar-1828,196,405,701.11-0.20%
Apr-1828,531,386,439.141.19%
May-1828,610,413,562.850.28%
Jun-1828,475,758,996.51-0.47%
Jul-1829,075,315,988.122.11%
Aug-1829,073,208,195.15-0.01%
Sep-1829,127,197,156.220.19%
Oct-1828,326,317,492.32-2.75%
Nov-1828,136,573,942.20-0.67%
Dec-1827,615,678,382.49-1.85%
Jan-1928,689,909,489.773.89%
Feb-1928,889,238,735.020.69%
Mar-1929,357,612,929.091.62%
Apr-1929,730,518,213.501.27%
May-1929,453,527,398.36-0.93%
Jun-1930,370,572,757.693.11%
INPRS DB Market Value3923439264392953932639356393873941739448394793950839539395693960039630396613969239722397533978339814398453987339904399343996539995400264005740087401184014840179402104023840269402994033040360403914042240452404834051340544405754060340634406644069540725407564078740817408484087840909409404096941000410304106141091411224115341183412144124441275413064133441365413954142641456414874151841548415794160941640416714169941759417904182041851418824191241943419734200442035420634209442124421554218542216422474227742308423384236942400424014243042461424914252242552425834261442644426754270542766427944282542855428864291642947429784300843039430694310043131431594319043220432514328143312433434337343404434344346543496435244355543585436164364619297201072.59999818896790895.29000118935414523.73999819633513775.83000220175195393.38999919584522655.431942210710918534002451.87999718260900814.1617993057513.20000118787904669.66999819053130498.2317879462913.04999917897594546.7717719715742.22000115795490584.30999913489397922.86000112636472524.6713163348859.3412387627983.3511519265169.30999911959532988.55999912816024586.0813755781076.44000113714041772.114596477913.87999915095155203.45000115448624983.6715366368620.47000115968117154.11000116014598904.2615939211105.45000116028831240.916489456587.29999916768016504.8316071389627.1516171429393.1816718706841.6616726129533.30999917411571626.38999917907674322.84999817723784473.33000218243163145.1618486661049.23000318799952812.80999818902392235.95999919472665148.26000219829098351.70999919649646938.40000219744326171.29999919150297935.47000118140011321.48999819008291300.54000118843817948.00999818861854640.04999919049503914.8300021985241643819880125795.3420229165481.41999819571350056.73197088820892040165749620513796857.8220730492788.7721005964024.04000121352695462.4700012157053515122104409166.2522004168907.8422221418182.45000122473696387.29000122103673154.95000121488701119.79000122270115950.522026038569.04999922470011124.79999922939919786.7099992291952275423034368925.13999922910194390.22000123473814726.72000123655575200.9823940051797.58000224238392687.11000124560322873.2524776696483.93999925005943255.90000224558937154.9324615954864.95000124741253065.0224363367396.72000124470908403.8424761858524.88999924658597879.99000225093171694.20000124964623060.59999824629820378.61999924728561919.52999924268062980.0723823699627.34999824313365352.4124142948142.58000223678488936.70000123418593606.1623360993574.93999924067690547.45999924376978665.5924476174466.63999924775551541.63999925526605915.22000125624082437.4325561496666.58000225468119562.24000225249961452.84999825489127872.59999825819975386.9826122911159.54999925946134476.49000226265327908.0926572157048.04000126365129279.6627265869384.3427506614591.83000227371484420.18999927897553560.29999928005336883.04000128295861702.34999828766081658.54999928253939740.45999928196405701.11000128531386439.13999928610413562.84999828475758996.50999829075315988.11999929073208195.15000229127197156.22000128326317492.3228136573942.20000127615678382.49000228689909489.7728889238735.0229357612929.0929730518213.529453527398.36000130370572757.689999392343926439295393263935639387394173944839479395083953939569396003963039661396923972239753397833981439845398733990439934399653999540026400574008740118401484017940210402384026940299403304036040391404224045240483405134054440575406034063440664406954072540756407874081740848408784090940940409694100041030410614109141122411534118341214412444127541306413344136541395414264145641487415184154841579416094164041671416994175941790418204185141882419124194341973420044203542063420944212442155421854221642247422774230842338423694240042401424304246142491425224255242583426144264442675427054276642794428254285542886429164294742978430084303943069431004313143159431904322043251432814331243343433734340443434434654349643524435554358543616436460
CRIF Peak Trough
DatePERF CRIF Market ValueAll Weather ReturnAll Weather Bridgewater
Sep-0512,994,334,879.4512,994,334,879.4512994334879.45
Oct-0512,752,954,871-1.86%-2.17%0.31%-3.73%0.9612,509,646,18812728624002.6637
Nov-0513,134,070,7112.99%3.22%-0.23%1.98%1.0212,757,337,18313096397358.1618
Dec-0513,266,584,1951.01%1.22%-0.21%3.31%1.0313,179,605,04413257886280.0084
Jan-0613,793,205,5693.97%3.81%0.16%1.01%1.0113,312,719,05513745156917.8376
Feb-0613,763,706,899-0.21%-0.10%-0.11%-1.27%0.9913,143,647,52313701700961.7732
Mar-0613,936,583,7141.26%1.49%-0.23%-2.03%0.9812,876,831,47813830608490.6221
Apr-0614,185,321,3761.78%1.69%0.09%-0.73%0.9912,782,830,60814045072299.4792
May-0613,724,054,514-3.25%-3.24%-0.01%-0.83%0.9912,676,733,11413619322373.8334
Jun-0613,694,137,350-0.22%0.00%-0.22%0.01%1.0012,678,000,78713592523693.7536
Jul-0613,680,312,667-0.10%-0.03%-0.07%3.12%1.0313,073,554,41213619636841.3304
Aug-0614,025,429,3142.52%2.34%0.18%2.90%1.0313,452,687,49013968155132.0192
Sep-0614,196,783,9021.22%1.40%-0.18%-0.65%0.9913,365,245,02114113630013.5137
Oct-0614,618,211,0492.97%2.83%0.14%0.94%1.0113,490,878,32414505477776.5117
Nov-0614,944,567,0712.23%2.08%0.15%2.70%1.0313,855,132,03914835623567.4818
Dec-0615,041,890,1330.65%0.86%-0.21%-3.77%0.9613,332,793,56114870980475.4039
Jan-0715,244,419,1841.35%1.30%0.05%-0.88%0.9913,215,464,97815041523762.9969
Feb-0715,241,916,166-0.02%-0.11%0.09%3.41%1.0313,666,112,33415084335782.498
Mar-0715,361,414,4300.78%0.95%-0.17%-0.70%0.9913,570,449,54715182317941.6263
Apr-0715,897,651,6783.49%3.27%0.22%1.01%1.0113,707,511,08815678637618.5992
May-0716,287,465,6322.45%2.50%-0.05%-2.19%0.9813,407,316,59515999450728.2768
Jun-0716,114,207,149-1.06%-0.82%-0.24%-1.73%0.9813,175,370,01815820323435.8314
Jul-0715,789,319,292-2.02%-2.23%0.21%3.06%1.0313,578,536,34015568240996.5073
Aug-0715,811,030,5710.14%0.20%-0.06%1.30%1.0113,755,057,31315605433245.2549
Sep-0716,315,157,7293.19%3.33%-0.14%2.76%1.0314,134,696,89516097111645.7196
Oct-0716,731,913,1242.55%2.37%0.18%4.35%1.0414,749,556,21016533677432.3158
Nov-0716,162,744,886-3.40%-3.29%-0.11%1.66%1.0214,994,398,84316045910281.4599
Dec-0716,002,602,063-0.99%-0.84%-0.15%-0.61%0.9914,902,933,01015892635157.9788
Jan-0815,286,873,245-4.47%-4.77%0.30%1.73%1.0215,160,753,75115274261295.7778
Feb-0815,092,857,538-1.27%-1.17%-0.10%2.61%1.0315,556,449,42415139216727.0196
Mar-0814,931,173,757-1.07%-0.87%-0.20%-0.33%1.0015,505,113,14114988567694.9457Peak to Trough-6,660,265,714-0.40
Apr-0815,511,277,0483.89%3.49%0.40%-0.66%0.9915,402,779,39415500427282.5959Peak to Current-1,948,935,549-0.12
May-0815,758,466,3901.59%1.64%-0.05%-0.34%1.0015,350,409,94415717660745.0059Trough to Current4,711,330,1660.47
Jun-0814,849,949,434-5.77%-5.54%-0.23%0.21%1.0015,382,645,80514903219071.4322
Jul-0814,713,982,706-0.92%-1.49%0.57%-1.92%0.9815,087,299,00514751314336.0348
Aug-0814,623,049,811-0.62%-0.44%-0.18%2.36%1.0215,443,359,26214705080755.6926
Sep-0813,300,048,845-9.05%-8.79%-0.26%-9.90%0.9013,914,466,69513361490629.68
Oct-0811,448,523,674-13.92%-14.44%0.52%-21.07%0.7910,982,688,56211401940163.0105
Nov-0810,835,946,496-5.35%-5.21%-0.14%2.86%1.0311,296,793,45510882031191.928
Dec-0811,122,965,0992.65%2.92%-0.27%11.74%1.1212,623,037,00711272972289.496
Jan-0910,665,171,925-4.12%-4.41%0.29%-4.20%0.9612,092,869,45310807941677.4759
Feb-0910,071,647,410-5.57%-5.67%0.10%-4.92%0.9511,497,900,27610214272696.2329
Mar-0910,447,850,3153.74%4.19%-0.45%7.17%1.0712,322,299,72510635295255.9337
Apr-0911,141,374,2636.64%6.18%0.46%1.93%1.0212,560,120,11011283248848.0716
May-0911,793,158,7845.85%5.74%0.11%2.89%1.0312,923,107,58111906153663.5136
Jun-0911,795,144,9950.02%0.31%-0.29%2.94%1.0313,303,046,94411945935190.2963
Jul-0912,438,381,6815.45%5.08%0.37%3.60%1.0413,781,956,63412572739176.4971
Aug-0912,794,878,9792.87%2.82%0.05%2.64%1.0314,145,800,28912929971109.824
Sep-0913,092,245,5042.32%2.82%-0.50%3.03%1.0314,574,418,03813240462757.3984
Oct-0913,082,345,800-0.08%0.23%-0.31%0.47%1.0014,642,917,80313238402999.8622
Nov-0913,476,992,2363.02%2.72%0.30%4.91%1.0515,361,885,06713665481519.4028
Dec-0913,563,983,9210.65%0.93%-0.28%-1.70%0.9815,100,733,02113717658830.7761
Jan-1013,343,514,444-1.63%-1.49%-0.14%-0.26%1.0015,061,471,11513515310111.3497
Feb-1013,496,644,9921.15%0.87%0.28%1.46%1.0115,281,368,59313675117351.9634
Mar-1013,891,723,3102.93%3.22%-0.29%2.85%1.0315,716,887,59814074239739.194
Apr-1014,135,866,1771.76%1.25%0.51%3.13%1.0316,208,826,18014343162176.8479
May-1013,472,926,041-4.69%-4.41%-0.28%0.18%1.0016,238,002,06713749433643.9433
Jun-1013,313,993,187-1.18%-0.86%-0.32%1.16%1.0116,426,362,89113625230157.273
Jul-1013,887,942,3264.31%3.97%0.34%2.84%1.0316,892,871,59714188435252.6594
Aug-1013,775,351,784-0.81%-0.78%-0.03%4.38%1.0417,632,779,37314161094543.3187
Sep-1014,349,436,2334.17%4.88%-0.71%2.65%1.0318,100,048,02614724497412.5053
Oct-1014,772,789,0882.95%2.42%0.53%1.70%1.0218,407,748,84315136285063.2452
Nov-1014,593,477,817-1.21%-0.82%-0.39%-3.08%0.9717,840,790,17914918209053.4311
Dec-1015,049,239,2513.12%3.46%-0.34%0.17%1.0017,871,119,52215331427278.2535
Jan-1115,252,783,5291.35%1.00%0.35%-0.39%1.0017,801,422,15615507647391.849
Feb-1115,493,474,3931.58%1.83%-0.25%1.81%1.0218,123,627,89715756489743.7128
Mar-1115,553,290,8010.39%0.72%-0.33%0.16%1.0018,152,625,70115813224291.0523
Apr-1116,109,264,1113.57%3.23%0.34%4.29%1.0418,931,373,34416391475034.32
May-1115,971,792,297-0.85%-0.57%-0.28%1.70%1.0219,253,206,69116299933736.5217
Jun-1115,796,582,987-1.10%-0.83%-0.27%0.15%1.0019,282,086,50116145133338.4803
Jul-1115,890,763,3750.60%0.06%0.54%5.76%1.0620,392,734,68316340960505.763
Aug-1115,344,737,437-3.44%-3.11%-0.33%0.90%1.0120,576,269,29515867890623.2369
Sep-1114,516,887,683-5.40%-4.93%-0.47%-2.78%0.9720,004,249,00915065623815.4197
Oct-1115,346,185,3145.71%5.15%0.56%3.88%1.0420,780,413,87115889608169.5826
Nov-1115,110,840,278-1.53%-0.95%0.9920,582,999,93915658056243.7626
Dec-1114,782,977,575-2.17%2.29%1.0221,054,350,63715410114881.4174
PERF CRIF vs. BWater RP Market Value Over Time
PERF CRIF Market Value3859638626386573868738718387493877738808388383886938899389303896138991390223905239083391143914239173392033923439264392953932639356393873941739448394793950839539395693960039630396613969239722397533978339814398453987339904399343996539995400264005740087401184014840179402104023840269402994033040360403914042240452404834051340544405754060340634406644069540725407564078740817408484087812994334879.45000112752954870.9113134070710.95999913266584195.1513793205569.29999913763706899.45000113936583714.2514185321376.29000113724054513.79999913694137350.0113680312666.80999914025429314.46999914196783901.54000114618211048.95999914944567070.62000115041890132.5215244419183.54999915241916165.69000115361414429.87000115897651677.5716287465631.96999916114207148.9315789319291.62000115811030571.0716315157729.1616731913123.71999916162744885.7616002602063.3315286873245.20999915092857538.4914931173756.5300011551127704815758466389.55999914849949434.37999914713982706.114623049810.54999913300048844.63999911448523674.1900011083594649611122965098.6710665171924.6810071647409.63999910447850314.88999911141374263.4111793158783.7711795144995.4312438381681.20999912794878978.7800011309224550413082345799.54000113476992236.3513563983920.78000113343514444.29000113496644991.8313891723310.4314135866176.5113472926041.37999913313993186.86000113887942325.513775351784.45999914349436233.1814772789087.7314593477817.30999915049239251.19000115252783529.20000115493474393.37999915553290801.0216109264111.03000115971792297.1615796582987.11000115890763374.9315344737437.44000114516887682.79999915346185313.9215110840277.6514782977575.200001All Weather3859638626386573868738718387493877738808388383886938899389303896138991390223905239083391143914239173392033923439264392953932639356393873941739448394793950839539395693960039630396613969239722397533978339814398453987339904399343996539995400264005740087401184014840179402104023840269402994033040360403914042240452404834051340544405754060340634406644069540725407564078740817408484087812994334879.45000112509646188.44651612757337182.97775813179605043.73432213312719054.67603913143647522.68165212876831477.97121412782830608.18202412676733114.13411312678000787.44552613073554412.01382413452687489.96222513365245021.27747213490878324.4774813855132039.23837113332793561.35908513215464978.01912513666112333.76957713570449547.43318913707511087.86226513407316595.0380813175370017.94392213578536340.49300613755057312.91941314134696894.75598914749556209.67787614994398842.75852814902933009.81770115160753750.88754815556449423.78571315505113140.68722215402779393.95868515350409944.01922615382645804.90166715087299005.44755615443359261.97611813914466695.04048310982688562.39545411296793455.27996412623037006.92983212092869452.63877911497900275.56895112322299725.32724612560120110.02606212923107581.20581413303046944.09326713781956634.08062614145800289.22035414574418037.9837314642917802.76225315361885066.87787815100733020.74095315061471114.88702615281368593.16437515716887598.06955916208826179.88913716238002067.01293816426362890.99028816892871597.09441217632779373.0471518100048026.43289918407748842.88225617840790178.52148117871119521.82496617801422155.6898518123627896.70783618152625701.34257118931373343.93016819253206690.77697819282086500.81314520392734683.25998320576269295.40932120004249008.99694120780413870.54602120582999938.77583321054350637.37379890/1012994334879.45000112728624002.66365213096397358.16177613257886280.00843213745156917.83760313701700961.77316713830608490.62212214045072299.47920413619322373.83341213592523693.75355313619636841.33038313968155132.01922214113630013.51374814505477776.51174714835623567.48183814870980475.4039115041523762.99691215084335782.49795915182317941.6263215678637618.59922615999450728.27680615820323435.83139215568240996.50730115605433245.2549416097111645.71959916533677432.31578816045910281.45985215892635157.97876915274261295.77775415139216727.01957314988567694.94572315500427282.59586915717660745.00592214903219071.43216714751314336.03475614705080755.69261213361490629.6800511401940163.01054610882031191.92799611272972289.49598310807941677.47587810214272696.23289510635295255.93372311283248848.07160611906153663.51358411945935190.29632812572739176.49706112929971109.82403613240462757.39837313238402999.86222613665481519.40278813717658830.77609613515310111.34970513675117351.96343614074239739.19395614343162176.84791613749433643.94329313625230157.27303114188435252.65944314161094543.31871414724497412.50529115136285063.24522614918209053.43114915331427278.25349815507647391.84898615756489743.71278415813224291.05225816391475034.32001716299933736.52169816145133338.48031416340960505.76299915867890623.23693315065623815.41969515889608169.58260215658056243.76258515410114881.417381
Beginning MV: $12,994,334,879
CRIF Current MV: $14,782,977,575
RP Current MV: $21,054,350,637
TRF Peak Trough
DateTRF DB Market ValueAll Weather Return
Oct-054,104,290,283
Nov-054,301,631,153-3.73%0.96
Dec-054,307,783,9091.98%1.02
Jan-064,537,775,4863.31%1.03
Feb-064,542,932,2311.01%1.01
Mar-064,544,131,200-1.27%0.99
Apr-064,696,026,010-2.03%0.98
May-064,470,815,352-0.73%0.99
Jun-064,470,054,841-0.83%0.99
Jul-064,483,411,9380.01%1.00
Aug-064,569,361,7883.12%1.03
Sep-064,600,994,3762.90%1.03
Oct-064,724,721,089-0.65%0.99
Nov-064,828,987,7720.94%1.01
Dec-064,994,972,4952.70%1.03
Jan-075,041,706,628-3.77%0.96
Feb-075,038,454,543-0.88%0.99
Mar-075,199,057,1663.41%1.03
Apr-075,362,925,685-0.70%0.99
May-075,527,475,5381.01%1.01
Jun-075,499,619,776-2.19%0.98
Jul-075,424,097,456-1.73%0.98
Aug-075,441,009,8053.06%1.03
Sep-075,634,981,8991.30%1.01
Oct-075,759,908,1222.76%1.03
Nov-075,738,403,6224.35%1.04
Dec-075,736,130,8981.66%1.02
Jan-085,563,755,059-0.61%0.99
Feb-085,484,669,1281.73%1.02
Mar-085,378,509,6092.61%1.03
Apr-085,593,253,474-0.33%1.00
May-085,611,289,961-0.66%0.99Peak to Trough(1,995,664,510)-0.35
Jun-085,346,139,331-0.34%1.00Peak to Current127,820,6210.02
Jul-085,500,237,6930.21%1.00Trough to Current2,123,485,1310.56
Aug-085,413,291,784-1.92%0.98
Sep-084,812,067,5922.36%1.02
Oct-084,357,500,101-9.90%0.90
Nov-084,117,151,881-21.07%0.79
Dec-084,357,009,6132.86%1.03
Jan-094,039,081,91111.74%1.12
Feb-093,764,243,612-4.20%0.96
Mar-093,828,308,526-4.92%0.95
Apr-093,991,276,1757.17%1.07
May-094,279,248,1451.93%1.02
Jun-094,235,522,6292.89%1.03
Jul-094,474,722,0852.94%1.03
Aug-094,616,902,0773.60%1.04
Sep-094,673,005,3322.64%1.03
Oct-094,560,273,2813.03%1.03
Nov-094,850,689,4240.47%1.00
Dec-094,837,558,6934.91%1.05
Jan-104,841,500,514-1.70%0.98
Feb-104,820,003,679-0.26%1.00
Mar-104,965,377,0631.46%1.01
Apr-104,957,982,8912.85%1.03
May-104,827,731,2713.13%1.03
Jun-105,072,398,0090.18%1.00
Jul-105,171,774,7151.16%1.01
Aug-105,273,660,1802.84%1.03
Sep-105,489,481,7854.38%1.04
Oct-105,609,173,8422.65%1.03
Nov-105,581,159,7871.70%1.02
Dec-105,712,286,760-3.08%0.97
Jan-115,767,587,1840.17%1.00
Feb-115,879,186,998-0.39%1.00
Mar-115,920,861,3941.81%1.02
Apr-116,010,700,0830.16%1.00
May-116,092,050,0814.29%1.04
Jun-115,984,318,8211.70%1.02
Jul-115,991,742,8770.15%1.00
Aug-115,873,819,0865.76%1.06
Sep-115,675,198,1800.90%1.01
Oct-115,933,344,556-2.78%0.97
Nov-115,867,662,6613.88%1.04
Dec-115,887,728,743-0.95%0.99
2.29%1.02
TRF DB Market Value3908339114391423917339203392343926439295393263935639387394173944839479395083953939569396003963039661396923972239753397833981439845398733990439934399653999540026400574008740118401484017940210402384026940299403304036040391404224045240483405134054440575406034063440664406954072540756407874081740848408785041706628503845454351990571665362925685552747553854996197765424097456544100980556349818995759908122573840362257361308985563755059548466912853785096095593253474561128996153461393315500237693541329178448120675924357500101411715188143570096134039081911376424361238283085263991276175427924814542355226294474722085461690207746730053324560273281485068942448375586934841500514482000367949653770634957982891482773127150723980095171774715527366018054894817855609173842558115978757122867605767587184587918699859208613946010700083609205008159843188215991742876.80000025873819085.689999656751981805933344555.81000045867662660.97999955887728742.9099998
Oct. '07 Market Value: $5,759,908,122
Current Market Value: $5,887,728,743
Trough Market Value: $3,764,243,612
PERF Total Returns
PERFORMANCE SUMMARY
December 31, 2011PERF TOTAL CRIF PERFORMANCE (Net of Fees)
Market Value ($MM)%MonthTrailing 3 MonthsFiscal YTDCal YTD1 Year3 Year5 Year9 Year
Total CRIF14,783100(0.14)3.75(4.37)0.840.8411.290.336.28
Dynamic Benchmark 1(0.06)3.74(2.97)1.481.489.840.786.39
Target Reference Index 20.013.64(3.25)1.261.2610.020.826.44
Actuarial Assumption0.571.713.447.007.007.007.007.00
Total Domestic Equity2,68118.10.4712.34(4.82)1.671.6715.42(0.70)6.86
Russell 30000.8212.12(5.01)1.031.0314.88(0.01)6.75
Total International Equity2,93319.8(1.64)3.06(16.53)(12.80)(12.80)10.32(1.98)9.56
MSCI ACWI Free Ex US Net(1.12)3.72(16.87)(13.71)(13.71)10.70(2.92)8.98
Total Fixed Income3,09220.91.371.721.695.165.1611.266.90-
Barclays Aggregate / Universal Blended1.131.284.677.627.627.246.51-
Total TIPS1,75211.80.822.627.4913.7513.7510.708.37-
Dynamic Benchmark 30.752.656.8212.6012.6010.007.73-
Total Real Assets 41,3559.2(1.13)2.51(3.65)0.910.9110.05--
Dynamic Benchmark 5(1.33)1.79(4.52)(0.86)(0.86)8.05--
Total Absolute Return1,0327.0(0.19)0.05(5.47)(0.78)(0.78)---
3 Month Libor plus 300 basis points0.290.851.673.333.33---
Total Private Equity 61,74611.8(1.04)0.002.1612.2712.277.094.44-
Russell 3000 plus 500 basis points1.2413.39(2.54)7.377.3721.125.28-
Cash1921.3
1 Market value weighted based on actual CRIF allocation. 2 Based on target CRIF allocation. 3 Market Value weighted based on Barclays US TIPS Index and Bridgewater Custom TIPS benchmark 4. The IRRs for the private real estate portfolio at 12/31/10 are: 28.42% QTD, 23.86% Cal YTD, 23.86% 1 Yr, 14.77% 3 Yr, 14.53% 5 Yr, and 14.47% Since Inception. 5 Market Value weighted based on FTSE EPRA/NAREIT Global Real Estate Index, S&P GSCI Commodities Index, and Dow Jones AIG Commodity Index. 6 The IRRs for the private equity portfolio at 12/31/10 are: 4.67% 1 Mo., 20.27% 3 Mo., 14.67% Cal YTD, 20.69% FYTD, 14.67% 1 Yr., 5.88% 3 Yr., 6.79% 5 Yr., 7.27% 8 Yr.
1.71%
TRF Total Returns
PERFORMANCE SUMMARY
December 31, 2011TRF DB PERFORMANCE (Net of Fees)
Market Value ($MM)%MonthTrailing 3 MonthsFiscal YTDCal YTD1 Year3 Year5 Year9 Year
TOTAL TRF DB ASSETS5,8881000.243.17(2.70)2.962.9611.001.696.95
DB Dynamic Benchmark0.665.07(2.58)1.631.63---
DB Target Benchmark0.765.20(1.91)2.182.189.850.896.71
Actuarial Assumption0.571.713.447.007.007.007.007.00
Domestic Equity1,34222.80.1611.98(6.05)0.100.1016.781.057.21
S&P 1500 Index0.9212.11(4.28)1.761.7614.640.10-
International Equity 74912.7(1.68)3.19(17.98)(13.83)(13.83)10.60(4.25)7.28
MSCI ACWI ex USA ND(1.12)3.72(16.87)(13.71)(13.71)10.70(2.92)8.98
Private Equity161810.5(0.57)(1.42)2.7816.0616.065.886.4910.56
Indiana Teachers PE Custom1.715.2310.7318.7518.7516.2415.7415.41
Equity Strategies280.5(1.47)6.58(8.74)2.462.46---
HFRX Equity Hedge Multi-Strate(0.85)(0.85)(11.73)(19.08)(19.08)---
Domestic Fixed Income2,16136.71.040.122.345.335.3310.875.785.52
Barclays Aggregate1.101.124.987.847.846.776.505.29
Non-US Fixed Income2394.11.010.221.093.763.765.27--
Barclays GL Agg Ex US Hedged1.820.723.293.943.943.88--
Credit Strategies611.00.420.99(5.93)(4.35)(4.35)---
Barclays Aggregate1.101.124.987.847.84---
Inflation-Sensitive Securities2594.40.642.787.0312.4512.459.64--
Barclays US TIPS0.042.697.3213.5613.5610.38--
Commodities641.1(1.99)(1.48)(7.94)1.361.36---
S&P GSCI Commodity TR Index(2.11)8.96(3.78)(1.18)(1.18)---
Real Estate2614.41.285.387.0815.4415.44(6.79)(2.29)-
NCREIF Open-End Divers Core NT3.313.317.8517.1917.19(7.21)(0.88)-
Absolute Return1061.80.20(1.85)(0.40)5.515.519.386.28-
GTAA Blended Benchmark0.062.37(2.77)(0.99)(0.99)4.951.85-
1 The IRR for the TRF private equity portfolio since inception is 8.35%
INPRS
12/31/111/31/12
PERFTRFINPRS%PERFTRFINPRS%
Public Equity5,6142,0917,70537.27%4,57522126,78734.65%
FI Ex Inflation-Linked3,0922,1525,24425.37%2,63321804,81324.57%
FI Inflation-Linked1,7522592,0119.73%1,7852642,04910.46%19576.97
Commodities689647533.64%708667743.95%20387.97
Absolute Return1,0321951,2275.94%1,0391871,2266.26%
Real Estate6662619274.48%6502338834.51%
Private Equity1,7466182,36411.44%1,8785402,41812.34%
Risk Parity0000.00%0000.00%
Cash1922484402.13%63806383.26%
Total14,7835,88820,671100.00%13,9065,68219,588100.00%
INPRS Peak to Trough 2
DatePERF CRIF Market ValueTRF DB Market ValueINPRS DB Market ValueINPRS DB Market Value1000000
Oct-0512,7534,10416,857
Nov-0513,1344,30217,436
Dec-0513,2674,30817,574
Jan-0613,7934,53818,331
Feb-0613,7644,54318,307
Mar-0613,9374,54418,481
Apr-0614,1854,69618,881
May-0613,7244,47118,195
Jun-0613,6944,47018,164
Jul-0613,6804,48318,164
Aug-0614,0254,56918,595
Sep-0614,1974,60118,798
Oct-0614,6184,72519,343
Nov-0614,9454,82919,774
Dec-0615,0424,99520,037
Jan-0715,2445,04220,286
Feb-0715,2425,03820,280
Mar-0715,3615,19920,5602,31713,04518,243.85
Apr-0715,8985,36321,2612,31713,58118,943.95
May-0716,2875,52721,8152,31713,97119,498.32Note: Verify the min-max date range for horizontal axis
Jun-0716,1145,50021,6142,31713,79819,297.20
Jul-0715,7895,42421,2132,31713,47318,896.79
Aug-0715,8115,44121,2522,31713,49418,935.41
Sep-0716,3155,63521,9502,31713,99919,633.51
Oct-0716,7325,76022,4922,31714,41520,175.20
Nov-0716,1635,73821,9012,31713,84619,584.52
Dec-0716,0035,73621,7392,31713,68619,422.11
Jan-0815,2875,56420,8512,31712,97018,534.00
Feb-0815,0935,48520,5782,31712,77618,260.90
Mar-0814,9315,37920,3102,31712,61517,993.062007 to Trough-8,656-42.9%
Apr-0815,5115,59321,1052,31713,19518,787.902007 to Current10,19550.5%
May-0815,7585,61121,3702,31713,44219,053.13Trough to Current18,851163.7%
Jun-0814,8505,34620,1962,31712,53317,879.46
Jul-0814,7145,50020,2142,31712,39717,897.592007 Peak to Trough (-43%): -$8,6560.5375
Aug-0814,6235,41320,0362,31712,30617,719.722007 Peak to Current (+51%): +$10,1950.0000902978
Sep-0813,3004,81218,1122,31710,98315,795.49Trough to Current(+164%): +$18,85122.5744426942
Oct-0811,4494,35815,8062,3179,13213,489.40
Nov-0810,8364,11714,9532,3178,51912,636.47
Dec-0811,1234,35715,4802,3178,80613,163.35
Jan-0910,6654,03914,7042,3178,34912,387.63
Feb-0910,0723,76413,8362,3177,75511,519.27
Mar-0910,4483,82814,2762,3178,13111,959.53
Apr-0911,1413,99115,1332,3178,82512,816.02
May-0911,7934,27916,0722,3179,47713,755.78
Jun-0911,7954,23616,0312,3179,47913,714.04
Jul-0912,4384,47516,9132,31710,12214,596.48
Aug-0912,7954,61717,4122,31710,47815,095.16
Sep-0913,0924,67317,7652,31710,77615,448.62
Oct-0913,0824,56017,6432,27610,80615,366.37
Nov-0913,4774,85118,3282,36011,11715,968.12
Dec-0913,5644,83818,4022,38711,17716,014.60
Jan-1013,3444,84218,1852,24611,09815,939.21
Feb-1013,4974,82018,3172,28811,20916,028.830.56%
Mar-1013,8924,96518,8572,36811,52416,489.462.87%
Apr-1014,1364,95819,0942,32611,81016,768.021.69%
May-1013,4734,82818,3012,22911,24416,071.39-4.15%
Jun-1013,3145,07218,3862,21511,09916,171.430.62%
Jul-1013,8885,17219,0602,34111,54716,718.713.38%
Aug-1013,7755,27419,0492,32311,45216,726.130.04%
Sep-1014,3495,48919,8392,42711,92217,411.574.10%
Oct-1014,7735,60920,3822,47412,29917,907.672.85%
Nov-1014,5935,58120,1752,45112,14317,723.78-1.03%
Dec-1015,0495,71220,7622,51812,53118,243.162.93%
Jan-1115,2535,76821,0202,53412,71918,486.661.33%
Feb-1115,4935,87921,3732,57312,92118,799.951.69%
Mar-1115,5535,92121,4742,57212,98218,902.390.54%
Apr-1116,1096,01122,1202,64713,46219,472.673.02%
May-1115,9726,09222,0642,23513,73719,829.101.83%
Jun-1115,7975,98421,7812,13113,66519,649.65-0.90%
Jul-1115,8915,99221,8832,13813,75319,744.330.48%
Aug-1115,3455,87421,2192,06813,27619,150.30-3.01%
Sep-1114,5175,67520,1922,05212,46518,140.01-5.28%
Oct-1115,3465,93321,2802,27113,07519,008.294.79%
Nov-1115,1115,86820,9792,13512,97618,843.82-0.87%
Dec-1115,0905,88820,9772,11612,97418,861.850.10%
Jan-1215,5325,68321,2152,16513,36719,049.500.99%
Feb-1213,6356,21719,85213,63519,852.424.21%
Mar-1219,880.130.14%
Apr-1220,229.171.76%
May-1219,571.35-3.25%
Jun-1219,708.880.70%
Jul-1220,401.663.52%
Aug-1220,513.800.55%
Sep-1220,730.491.06%
Oct-1221,005.961.33%
Nov-1221,352.701.65%
Dec-1221,570.541.02%
Jan-1322,104.412.48%
Feb-1322,004.17-0.45%
Mar-1322,221.420.99%
Apr-1322,473.701.14%
May-1322,103.67-1.65%
Jun-1321,488.70-2.78%
Jul-1322,270.123.64%
Aug-1322,026.04-1.10%
Sep-1322,470.012.02%
Oct-1322,939.922.09%
Nov-1322,919.52-0.09%
Dec-1323,034.370.50%
Jan-1422,910.19-0.54%
Feb-1423,473.812.46%
Mar-1423,655.580.77%
Apr-1423,940.051.20%
May-1424,238.391.25%
Jun-1424,560.321.33%
Jul-1424,776.700.88%
Aug-1425,005.940.93%
Sep-1424,558.94-1.79%
Oct-1424,615.950.23%
Nov-1424,741.250.51%
Dec-1424,363.37-1.53%
Jan-1524,470.910.44%
Feb-1524,761.861.19%
Mar-1524,658.60-0.42%
Apr-1525,093.171.76%
May-1524,964.62-0.51%
Jun-1524,629.82-1.34%
Jul-1524,728.560.40%
Aug-1524,268.06-1.86%
Sep-1523,823.70-1.83%
Oct-1524,313.372.06%
Nov-1524,142.95-0.70%
Dec-1523,678.49-1.92%
Jan-1623,418.59-1.10%
Feb-1623,360.99-0.25%
Mar-1624,067.693.03%
Apr-1624,376.981.29%
May-1624,476.170.41%(408.48)
Jun-1624,775.551.22%
Jul-1625,526.613.03%
Aug-1625,624.080.38%
Sep-1625,561.50-0.24%
Oct-1625,468.12-0.37%
Nov-1625,249.96-0.86%
Dec-1625,489.130.95%
Jan-1725,819.981.30%
Feb-1726,122.911.17%
Mar-1725,946.13-0.68%
Apr-1726,265.331.23%
May-1726,572.161.17%
Jun-1726,365.13-0.78%
Jul-1727,265.873.42%
Aug-1727,506.610.88%
Sep-1727,371.48-0.49%1,532.42
Oct-1727,897.551.92%
Nov-1728,005.340.39%
Dec-1728,295.861.04%
Jan-1828,766.081.66%
Feb-1828,253.94-1.78%
Mar-1828,196.41-0.20%
Apr-1828,531.391.19%
May-1828,610.410.28%
Jun-1828,475.76-0.47%
Jul-1829,075.322.11%
Aug-1829,073.21-0.01%
Sep-1829,127.200.19%
Oct-1828,326.32-2.75%
Nov-1828,136.57-0.67%
Dec-1827,615.68-1.85%
Jan-1928,689.913.89%
Feb-1928,889.240.69%
Mar-1929,357.611.62%
Apr-1929,730.521.27%
May-1929,453.53-0.93%
Jun-1930,370.573.11%
INPRS DB Market Value3923439264392953932639356393873941739448394793950839539395693960039630396613969239722397533978339814398453987339904399343996539995400264005740087401184014840179402104023840269402994033040360403914042240452404834051340544405754060340634406644069540725407564078740817408484087840909409404096941000410304106141091411224115341183412144124441275413064133441365413954142641456414874151841548415794160941640416714169941759417904182041851418824191241943419734200442035420634209442124421554218542216422474227742308423384236942400424014243042461424914252242552425834261442644426754270542766427944282542855428864291642947429784300843039430694310043131431594319043220432514328143312433434337343404434344346543496435244355543585436164364619297.20107260000118896.7908952918935.41452374000119633.51377583000120175.19539338999719584.52265543000219422.10710918534.00245187999818260.90081415999917993.05751320000118787.90466966999919053.13049822999917879.4629130517897.5945467717719.7157422215795.49058430999913489.3979228612636.4725246713163.3488593412387.62798335000111519.2651693111959.5329885612816.02458607999913755.7810764413714.04177210000114596.4779138815095.15520345000215448.62498367000115366.36862047000115968.11715411000116014.59890426000115939.21110544999816028.83124090000316489.45658729999916768.0165048316071.38962714999816171.42939318000216718.70684166000116726.12953330999917411.57162638999917907.67432284999817723.78447333000118243.16314516000118486.66104923000218799.95281280999918902.3922359619472.66514825999919829.09835170999919649.64693840000119744.32617129999919150.2979354718140.01132149000119008.29130054000118843.81794800999718861.85464004999819049.50391482999819852.41643819880.12579534000220229.16548141999719571.3500567319708.88208899999920401.65749620513.79685781999820730.4927887721005.9640240421352.69546247000121570.53515122104.4091662522004.16890784000122221.41818245000122473.69638729000122103.6731549521488.70111978999922270.115950522026.03856905000122470.01112479999922939.91978670999722919.52275400000123034.36892513999922910.1943902223473.8147267223655.57520097999823940.05179758000324238.39268711000124560.32287324999924776.69648393999925005.94325590000224558.93715493000124615.95486494999924741.25306501999924363.36739672000124470.9084038424761.85852488999824658.5978799925093.17169420000224964.62306059999924629.82037861999924728.56191952999924268.06298007000123823.69962734999724313.36535241000124142.9481425823678.488936723418.5936061623360.99357493999924067.69054745999924376.97866558999924476.17446664000124775.55154163999825526.6059152225624.08243742999925561.49666658000225468.11956224000125249.96145284999925489.12787259999825819.97538698000126122.9111595525946.13447649000226265.32790808999926572.15704804000126365.12927965999927265.8693843427506.61459183000327371.48442018999827897.55356029999928005.3368830428295.86170234999728766.0816585528253.93974045999928196.40570111000128531.38643913999828610.41356284999728475.75899650999829075.31598811999729073.2081951529127.19715622000128326.31749231999928136.57394220000127615.67838249000128689.90948977000228889.23873502000129357.61292908999929730.518213529453.52739836000230370.572757689999
Target vs. Actual Allocations
As of:6/30/19
Target RangeHigh LineActualOldTargetVariance
Public Equity19.50%24.50%21.34%20.00%25.00%22.0%-0.7%
Private Markets*10.00%18.00%12.47%7.00%13.00%14.0%-1.5%
Fixed Income (Ex Inflation Linked)17.00%23.00%20.14%21.00%27.00%20.0%0.1%
Fixed Income (Inflation Linked)4.00%10.00%7.38%7.00%13.00%7.0%0.4%
Commodities6.00%10.00%7.59%6.00%10.00%8.0%-0.4%
Real Estate3.50%10.50%6.00%4.00%11.00%7.0%-1.0%
Absolute Return6.00%14.00%9.57%6.00%14.00%10.0%-0.4%
Risk Parity7.00%17.00%13.16%5.00%15.00%12.0%1.2%Rounding97.65%100%2.35%
Cash + Cash Overlay0.0%2.35%
Strategic Asset Allocation
Target RangePublic EquityPrivate Markets*Fixed Income (Ex Inflation Linked)Fixed Income (Inflation Linked)CommoditiesReal EstateAbsolute ReturnRisk Parity0.195000000000000010.10.170.040.063.5000000000000003E-20.067.0000000000000007E-2High LinePublic EquityPrivate Markets*Fixed Income (Ex Inflation Linked)Fixed Income (Inflation Linked)CommoditiesReal EstateAbsolute ReturnRisk Parity0.2450.180.230.10.10.1050.140000000000000010.17Actual
Public EquityPrivate Markets*Fixed Income (Ex Inflation Linked)Fixed Income (Inflation Linked)CommoditiesReal EstateAbsolute ReturnRisk Parity0.213400000000000010.124700000000000010.20147.3800000000000004E-27.5899999999999995E-20.069.5700000000000007E-20.13159999999999999
Target RangePublic EquityPrivate Markets*Fixed Income (Ex Inflation Linked)Fixed Income (Inflation Linked)CommoditiesReal EstateAbsolute ReturnRisk Parity0.195000000000000010.10.170.040.063.5000000000000003E-20.067.0000000000000007E-2High LinePublic EquityPrivate Markets*Fixed Income (Ex Inflation Linked)Fixed Income (Inflation Linked)CommoditiesReal EstateAbsolute ReturnRisk Parity0.2450.180.230.10.10.1050.140000000000000010.17Actual
Public EquityPrivate Markets*Fixed Income (Ex Inflation Linked)Fixed Income (Inflation Linked)CommoditiesReal EstateAbsolute ReturnRisk Parity0.213400000000000010.124700000000000010.20147.3800000000000004E-27.5899999999999995E-20.069.5700000000000007E-20.13159999999999999
Target RangePublic EquityPrivate Markets*Fixed Income (Ex Inflation Linked)Fixed Income (Inflation Linked)CommoditiesReal EstateAbsolute ReturnRisk ParityCash + Cash Overlay0.195000000000000010.10.170.040.063.5000000000000003E-20.067.0000000000000007E-20High LinePublic EquityPrivate Markets*Fixed Income (Ex Inflation Linked)Fixed Income (Inflation Linked)CommoditiesReal EstateAbsolute ReturnRisk ParityCash + Cash Overlay0.2450.180.230.10.10.1050.140000000000000010.17Actual
Public EquityPrivate Markets*Fixed Income (Ex Inflation Linked)Fixed Income (Inflation Linked)CommoditiesReal EstateAbsolute ReturnRisk ParityCash + Cash Overlay0.213400000000000010.124700000000000010.20147.3800000000000004E-27.5899999999999995E-20.069.5700000000000007E-20.131599999999999992.35E-2
Cone Chart
Note: Verify the min-max date range for horizontal axis
Sharpe Ratio = (Total Return - Cash Return) / Volatility. Sharpe Ratio measures the return per unit of risk taken.
Jul 2012 – Mar 2019
AnnualizedReturnVolatilityReturn/
Risk Ratio
Actual6.10%4.49%1.23
Expected6.75%10.00%0.45
INPRS Net of Fees Cumulative Returns
Actual Cumulative Returns
49%
41090411214115241182412134124341274413054133341364413944142541455414864151741547415784160841639416704169841729417594179041820418514188241912419434197342004420354206342094421244215542185422164224742277423084233842369424004242942460424904252142551425824261342643426744270442735427664279442825428554288642916429474297843008430394306943100431314315943190432204325143281433124334343373434044343443465434964352443555435854361601.7147000000000023E-23.1786796771000159E-24.4519045843154359E-24.2458209765705801E-25.404617522546129E-26.114517621560478E-27.75557863657792E-27.5989020252403394E-29.0217899056221018E-20.100621848466914588.9551793915034317E-25.9813567251917332E-28.0664339374031613E-27.5598184951046088E-29.7316663501577638E-20.116219040347055770.12298779260772030.126916003906262010.121917004512933860.152080865096268610.159470311764996040.170562964237651830.191835604986742680.20528427795341320.19617956051775320.214414121738285780.188802127910825180.192706154098884360.196630157345869750.181549027472839740.189045956052154910.206958933380080760.201234327159058870.220568193654683940.218444404997724770.204884337214505050.197041745063575750.173607258820466240.1579783309547540.182818124132064330.174048710559749240.155670152044647070.141895719502426850.143182635978306160.180887085678142820.198474037045147430.202230054677246860.219263250091914050.237418079885782780.243493802658022010.252220642165075890.242567273234625350.236115863951991130.252412815502334190.267319032832443070.286943468055853360.287850763200832690.29802607208088250.317736597985430750.316528233525078080.336939687257650890.353310513728120950.359284026335716660.377824660454936010.388115632843873960.407000946028714950.433387841770537460.408369490380274590.416366212346653830.426823244092409130.435700938317151950.439333261691094320.44572965870604930.457567293151534660.462311674690742970.4