Private Equity Annual Program Review

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Private Equity Annual Program Review Attachment 1, Page 16 of 34 II. Investment Review 16
Private Equity Annual Program Review ALM Assumptions Validation 16% 14% CalPERS Private Equity Annual Trailing 10-Year Return vs. Annual Trailing 10-year Risk 1 Attachment 1, Page 17 of 34 ALM Assumptions* 12% 10% PE Historical Annual Trailing 10-year Return % More Return 8% 6% 4% 2% 0% 0% 5% 10% 15% 20% 25% 30% 35% 40% 45% 50% More Risk Risk % *Capital Market Assumptions used in the 2013 ALM Workshop 1 Trailing 10-year returns and risks were calculated based on fiscal year ending data at annual frequency from FY2004/05 to FY2014/15 Source: My State Street PE Policy Benchmark Historical Annual Trailing 10-year Global Equity Historical Annual Trailing 10-year 17
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Private Equity Annual Program Review

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