June 27, 2013 - Public Employees Retirement Association of New ...

PERA Executive Investment Summary
May 2013
Market Values, Asset Allocation & Performance Data:
TABLE I: Fund Market Values (in millions $)
Asset Class 5/31/2013 Prev. Month's Chg
Total Equities 7,297 -8.01
Domestic Equity 4,015 64.62
Large Cap 2,732 6.26
Small/Mid Cap 1,283 58.36
International Equity 3,282 -72.63
Total Fixed Income 3,363 -2.41
Total Alternatives 2,441 3.33
Absolute Return 1,133 8.91
Private Equity 539 8.70
Real Estate 428 -11.07
Real Assets 341 -3.21
STIF/STO Cash Balances 167 18.91
TOTAL FUNDS 13,268 11.82
TABLE II: Fund Asset Allocation Comparison
Asset Class Actual Target Variance Ranges $ in Millions
Total Equities 55.0% 49% 6.0% - 795.6
Domestic Equity 30.3% 29% 1.3% 24-34% 166.9
Large Cap 20.6% 20% 0.3% - 38.1
Small/Mid Cap 9.7% 9% 1.0% - 128.8
International Equity 24.7% 20% 4.7% 15-25% 628.7
Total Fixed Income 25.3% 26% -0.7% 23-29% -86.7
Liquid Alpha 0.0% 5% -5.0% 0-7% -
Total Alternatives 18.4% 20% -1.6% - -212.5
Absolute Return 8.5% 7% 1.5% 5-9% 204.0
Private Equity 4.1% 5% -0.9% 3-7% -124.0
Real Estate 3.2% 3% 0.2% 1-5% 30.1
Real Assets 2.6% 5% -2.4% 3-7% -322.5
STIF/STO Cash Balances 1.3% 0% 1.3% - 167.0
TABLE III: PERA Performance for Month and Fiscal Year to Date (in percent %)
5/31/2013 Fiscal YTD 1 Year 3 Year
Total Domestic Equity 3.28% 26.47% 31.18% 18.25%
Russell 3000 Index 2.36% 23.06% 27.88% 16.82%
Value Added 0.92% 3.41% 3.31% 1.43%
International Equity -2.16% 19.86% 26.15% 10.16%
MSCI ACWI ex-US Index -2.18% 19.71% 26.83% 9.75%
Value Added 0.02% 0.15% -0.68% 0.41%
Fixed Income -2.12% 5.47% 6.52% 6.91%
85/15 Barclays Index -1.95% 0.47% 0.51% 4.45%
Value Added -0.17% 5.00% 6.01% 2.46%
Alternative Assets 0.78% 10.42% 11.17% 9.46%
Cash Equivalents 0.23% 3.29% 3.92% 5.88%
TOTAL FUND 0.02% 15.76% 18.92% 11.46%
Custom Benchmark -0.13% 13.29% 16.62% 10.53%
Value Added 0.15% 2.47% 2.30% 0.93%
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