TRS 2011 Comprehensive Annual Financial Report

TEACHER RETIREMENT SYSTEM OF TEXAS COMPREHENSIVE ANNUAL FINANCIAL REPORT 2011
Investment Summary
PENSION TRUST FUND - AUGUST 31
Value in Billions
MARKET VALUES (in billions) 1
2006 2007 2008 2009 2010 2011
Public Equity $ 65.971 $ 70.551 $ 58.125 $ 48.718 $ 49.363 $ 54.312
Private Equity 2.326 3.796 6.064 5.867 8.501 11.099
TOTAL GLOBAL EQUITY $ 68.297 $ 74.347 $ 64.189 $ 54.585 $ 57.864 $ 65.411
Fixed Income 2 $ 27.664 $ 32.076 $ 16.161 $ 13.333 $ 14.833 $ 15.121
Short-Term 2.032 1.313 1.167 0.800 0.700 1.376
Hedge Funds 1.682 2.817 3.997 3.582 3.947 4.324
TOTAL STABLE VALUE $ 31.378 $ 36.206 $ 21.325 $ 17.715 $ 19.480 $ 20.821
Inflation Linked Bonds $ n/a $ n/a $ 10.288 $ 8.509 $ 8.167 $ 5.635
Real Assets 0.261 1.214 3.657 3.742 5.704 10.343
Commodities n/a n/a 3.211 1.697 2.068 3.323
REITS 3 n/a n/a 1.804 1.936 1.960 1.537
TOTAL REAL RETURN $ 0.261 $ 1.214 $ 18.960 $ 15.884 $ 17.899 $ 20.838
TOTAL $ 99.936 $ 111.767 $ 104.474 $ 88.184 $ 95.243 $ 107.070
1
Investment values are based on industry standard investment performance methodology. Investment values in Exhibit I are in compliance with GASB reporting
standards. A reconciliation is provided below:
Total Market Value at 8/31/11 $ 107.070
Less Investment Related Cash (0.184)
Less Investment Related Receivables (2.481)
Plus Investment Related Payables 1.586
Plus Short-Term Asset Pool Adjustment From Amortized Cost to Fair Value 0.027
Plus Amounts Related to Collateral Activities 0.030
Total Investments Exhibit I $ 106.048
2
Does not include Inflation Linked Bonds in Real Return Portfolio.
3
Dedicated portfolio in addition to Global Equity holdings.
86 INVESTMENT SECTION