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Asset Allocation as of March 31, 2009

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, 2009, was $27.239 billion. Below is the asset allocation as of March 31, 2009.

Asset Class 3/31/09
Total Fund
$ Millions
% of Portfolio
U.S. Equities $7,500 27.5
International Equities 4,330 15.9
Fixed Income 5,278 19.4
Real Return 1,609 5.9
Real Estate 4,759 17.5
Private Equity 2,459 9.0
Absolute Return 710 2.6
Short-term Investments 594 2.2
Total Fund $27,239 100.0%


Investment Returns

Listed below are the rates of return by asset class for the one-year and five-year periods ending March 31, 2009. 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 (26.5) (5.6) 1.1 3.4
TRS Policy Index (27.5) (6.3) 0.4 2.2
TRS Domestic Equity (38.8) (15.2) (5.4) (2.3)
Russell 3000 Blend Index (38.2) (13.6) (4.6) (2.3)
TRS International Equity (46.1) (13.0) (0.4) 1.8
International Equity Blend Index (46.4) (12.9) (0.3) 0.9
TRS Fixed Income (3.8) 2.8 2.6 4.6
Total Fixed Income Blend Index 3.1 5.8 4.2 5.4
TRS Real Return (29.2) N/A N/A N/A
CPI + 5% 4.6 N/A N/A N/A
TRS Real Estate (0.3) 12.5 15.5 12.4
NCREIF Real Estate Index (14.7) 4.2 9.4 9.3
TRS Total Private Equity (7.8) 10.8 15.7 17.5
Russell 3000 Index + 300 bps (36.2) (10.9) (1.7) 0.6
TRS Absolute Return (13.3) N/A N/A N/A
90-day T-bill + 400 bps 5.3 N/A N/A N/A

Pension Obligation Bond Investment

The table below shows information pertaining to the 2003 pension obligation bond proceeds.

Balance at March 31, 2009 $3,926,530,434
Gain on Investment Since Inception $840,490,591
Return (Gross of Fees) Since Inception (Unannualized) 15.4%
Return (Gross of Fees) Annualized 2.5%


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