Asset Allocation as of December 31, 2011
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 December 31, 2011 was $34.65 billion. Below is the asset allocation as of December 31, 2011.
| Asset Class
|
12/31/11
Total Fund
$ Millions |
% of Portfolio |
| U.S. Equities |
$8,743.5 |
25.2% |
| International Equities |
6,754.7 |
19.5 |
| Fixed Income |
5,572.4 |
16.1 |
| Real Return |
3,532.2 |
10.2 |
| Real Estate |
4,288.8 |
12.4 |
| Private Equity |
3,657.7 |
10.6 |
| Absolute Return |
1,632.5 |
4.7 |
| Short-term Investments |
465.1 |
1.3 |
| Total Fund |
$34,646.9 |
100.0% |
Investment Returns
Listed below are the rates of return by asset class for the one-, three-, five-, and ten-year periods ending December 31, 2011. 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 |
2.0% |
10.4% |
1.7% |
6.1% |
| TRS Policy Index |
1.8 |
10.8 |
1.7 |
5.7 |
| TRS Domestic Equity |
(0.7) |
16.2 |
(0.4) |
3.5 |
| Russell 3000 Index |
1.0 |
14.9 |
(0.0) |
3.5 |
| TRS International Equity |
(11.1) |
11.4 |
(2.5) |
7.0 |
| International Equity Blend Index |
(14.3) |
11.5 |
(2.5) |
6.8 |
| TRS Fixed Income |
4.1 |
11.4 |
7.4 |
6.5 |
| Total Fixed Income Blend Index |
7.8 |
6.8 |
6.5 |
6.0 |
| TRS Real Return |
5.8 |
15.2 |
N/A |
N/A |
| CPI + 5% |
8.1 |
7.5 |
N/A |
N/A |
| TRS Real Estate |
18.3 |
(5.5) |
0.9 |
7.4 |
| NCREIF Real Estate Index |
14.3 |
2.4 |
3.1 |
8.1 |
| TRS Total Private Equity |
10.9 |
6.7 |
9.5 |
9.9 |
| Russell 3000 Index + 300 bps |
4.1 |
18.3 |
3.0 |
6.7 |
| TRS Absolute Return |
4.4 |
9.5 |
N/A |
N/A |
| 90-day T-bill + 400 bps |
4.1 |
4.2 |
N/A |
N/A |
Pension Obligation Bond Investment
The table below shows information pertaining to the 2003 pension obligation bond proceeds.
| Balance at December 31, 2011 |
$4,284,887,467 |
| Gain on Investment Since Inception |
$2,318,501,264 |
| Return (Gross of Fees) Since Inception (Unannualized) |
66.1% |
| Return (Gross of Fees) Annualized |
6.2% |
Back to top
|
