1
PSERS’ Investment Portfolio
Asset Allocation as of December 31, 2019 (Unaudited)
Asset Class
Market Value
(in millions)
% of
Total
Target
Allocations
Policy
Ranges
Publicly-Traded Global Equity $9,910.9 16.8%
Private Markets $8,327.8 14.1%
Total Equities $18,238.7 30.9% 30.00% +/- 10.0%
Investment Grade $5,623.9 9.5%
Credit-Related $5,601.3 9.5%
Inflation Protected $8,532.5 14.5%
Total Fixed Income $19,757.7 33.5% 36.00% +/- 10.0%
Master Limited Partnership (MLP) $1,762.3 3.0%
Infrastructure $1,611.9 2.7%
Commodities $4,595.4 7.8%
Real Estate $6,029.9 9.6%
Total Real Assets $13,999.6 23.2% 24.00% +/- 10.0%
Risk Parity $4,761.2 8.1% 8.00% +/- 5.0%
Absolute Return $6,111.8 10.4% 10.00% +/- 5.0%
Cash and Cash Equivalents* $3,697.6 6.3% 6.00% +/- 3.0%
GROSS INVESTMENT PORTFOLIO $66,566.6 112.3% 114.00%
Financing ($7,244.5) (12.3%) (14.0%) +/- 9.0%
NET INVESTMENT PORTFOLIO $59,322.1 100.0% 100.00%
Net Other Assets and Liabilities $1,551.6
PSERS TOTAL NET ASSETS $60,873.7
* - includes Cash, Cash Equivalents, and net asset value accounting adjustments
2
PSERS’ Investment Portfolio
Asset Allocation as of December 31, 2019 (Unaudited)
Publicly Traded Equities, 16.7%
Private Markets, 14.0%
Investment Grade, 9.5%
Credit-Related, 9.4%
Inflation Protected, 14.4%
MLP, 3.0%Infrastructure, 2.7%
Commodities, 7.7%
Real Estate, 10.2%
Risk Parity, 8.0%
Absolute Return, 10.3%
Cash and Cash Equivalents, 6.2%
Financing, -12.3%
-20%
-10%
0%
10%
20%
30%
40%
50%
60%
70%
80%
90%
100%
110%
120%
Total Real Assets23.6%
Total Fixed Income33.3%
Total Equities30.7%
3
PSERS’ Investment Portfolio
Asset Allocation as of December 31, 2019 (Unaudited)
*Financing represents a negative 12.3% allocation and is not reflected in the pie chart.
Publicly Traded Equities, 16.7%
Private Markets, 14.0%
Investment Grade, 9.5%
Credit-Related, 9.4%
Inflation Protected, 14.4%
MLP, 3.0%
Infrastructure, 2.7%
Commodities, 7.7%
Real Estate, 10.2%
Risk Parity, 8.0%
Absolute Return, 10.3%
Cash and Cash Equivalents, 6.2%
4
PSERS’ Historical Asset Allocation
-30%
-20%
-10%
0%
10%
20%
30%
40%
50%
60%
U.S. Equity Non-U.S. Equity Fixed Income
Real Estate Private Markets Absolute Return
MLP Infrastructure Risk Parity
Commodities Cash & Cash Equivalents Financing
5
PSERS’ Historical Net Investment Portfolio
0.82.1
4.9
17.3
28.8
33.7
39.3
44.8
48.9
53.4
48.1
43.542.3
48.3
51.8
57.0
67.2
62.7
43.145.7
51.4
48.5 49.2
52.7 51.949.2
52.4
55.658.2 58.5 59.3
$0
$10
$20
$30
$40
$50
$60
$70
$80
Month/Year
Billi
on
s
6
PSERS’ Gross Investment Portfolio
Internally Managed Assets
$0
$10
$20
$30
$40
$50
$60
$70
$80
Gross Investment Portfolio Internally Managed Assets
Billi
on
s
7
PSERS’ Internally Managed Assets
$0
$5
$10
$15
$20
$25
$30
06/2007 06/2008 06/2009 06/2010 06/2011 06/2012 06/2013 06/2014 06/2015 06/2016 06/2017 06/2018 06/2019 09/2019 12/2019
Billi
on
s
U.S. Equity Fixed Income Cash & Cash Equivalents Non-U.S. Equity Commodities Real Estate Risk Parity Private Markets MLP Infrastructure
8
PSERS’ Summary Statements of Changes in Plan Net Assets
For the Fiscal Years Ended June 30
Additions: 2013
( $ in millions)
2014
( $ in millions)
2015
( $ in millions)
2016
( $ in millions)
2017
( $ in millions)
2018
( $ in millions)
• Member Contributions 991 967 985 989 1,014 1,026
• Employer Contributions 1,446 1,992 2,597 3,190 3,833 4,250
• Net Investment Income 4,126 7,098 1,328 473 4,995 4,714
Total Additions 6,563 10,057 4,910 4,652 9,842 9,990
Deductions:
• Pension Benefits 6,044 6,053 6,221 6,360 6,474 6,655
• Administrative Expenses 37 39 42 45 45 47
Total Deductions 6,081 6,092 6,263 6,405 6,519 6,702
Net Increase/(Decrease) in Plan Net Assets 482 3,965 (1,353) (1,753) 3,323 3,288
9
PSERS Annual Cash Flows History – Since 2001
(14%)
(12%)
(10%)
(8%)
(6%)
(4%)
(2%)
0%
2%
4%
6%
8%
10%
($10)
($8)
($6)
($4)
($2)
$0
$2
$4
$6
$8
$10
20
01
20
02
20
03
20
04
20
05
20
06
20
07
20
08
20
09
20
10
20
11
20
12
20
13
20
14
20
15
20
16
20
17
20
18
20
19
Billi
on
s
Member Contributions ($) Employer Contributions ($)
Benefit Payments ($) Net Cash Flow Shortfall ($)
Cash Flow Excess/Shortfall as % of Beginning NAV (%)
10
PSERS Annual Cash Flows History – Since 1982
(14%)
(12%)
(10%)
(8%)
(6%)
(4%)
(2%)
0%
2%
4%
6%
8%
10%
($10)
($8)
($6)
($4)
($2)
$0
$2
$4
$6
$8
$10
19
82
19
83
19
84
19
85
19
86
19
87
19
88
19
89
19
90
19
91
19
92
19
93
19
94
19
95
19
96
19
97
19
98
19
99
20
00
20
01
20
02
20
03
20
04
20
05
20
06
20
07
20
08
20
09
20
10
20
11
20
12
20
13
20
14
20
15
20
16
20
17
20
18
20
19
Bil
lio
ns
Member Contributions ($) Employer Contributions ($)
Benefit Payments ($) Net Cash Flow Shortfall ($)
Cash Flow Excess/Shortfall as % of Beginning NAV (%)
