TRS of Illinois http://trs.illinois.gov
TEACHERS' RETIREMENT SYSTEM OF THE STATE OF ILLINOIS


Portfolio Information

Asset Allocation as of March 31, 2016

Using the combined resources of external investment managers, internal staff and consultants, TRS invests the trust assets in accordance with the general fiduciary rules of both state and federal laws. The market value of the TRS total fund on March 31, 2016 was $43.83 billion. Below is the asset allocation as of March 31, 2016.

Asset Class 3/31/16 Total Fund Millions % of Portfolio
US Equities  $7,955.4 18.1%
International Equities 8,523.2 19.4  
Fixed Income 7,753.7 17.7  
Real Return 3,705.7 8.4  
Real Estate 6,689.4 15.3  
Private Equity 5,465.8 12.5  
Absolute Return 3,226.5 7.4  
Short-term Investments 512.3 1.2  
Total Fund  $43,832.0 100.0%

Investment Returns

Listed below are the rates of return by asset class for the one-, three-, five-, and ten-year periods ending March 31, 2016. Returns are before payment of investment expenses. Benchmarks are listed to comply with Public Act 96-0006.

Asset Class 1-Year Return 3-Year Return 5-Year Return 10-Year Return
TRS Total Fund 0.5  7.0  7.5 5.8
TRS Policy Index 1.5  7.2  7.4 5.7
TRS Domestic Equity (1.8) 11.5  10.8 6.6
Russell 3000 Index (0.3) 11.1  11.0 6.9
TRS International Equity (7.8) 0.9  1.6 2.6
International Equity Blend Index (8.1) 0.8  0.6 2.4
TRS Fixed Income 0.6  3.3  5.6 6.8
Total Fixed Income Blend Index 2.0  2.5  3.8 4.9
TRS Real Return (5.2) (0.7) 2.1 *
CPI + 5% 5.9  5.8  6.3 *
TRS Real Estate 14.4  14.3  14.2 7.4
NCREIF Real Estate Index 11.8  11.9  11.9 7.6
TRS Total Private Equity 7.2  14.2  13.1 12.3
Russell 3000 Index + 300 bps 2.7  14.5  14.3 10.1
TRS Absolute Return (0.5) 5.7  6.6 *
90-day T-bill + 400 bps 4.1  4.1  4.1 *

* is N/A