Investment Plan 2011 - OPERS

Ohio Public Employees Retirement System
2011 Annual Investment Plan
Schedule of Expected Performance and Volatility
Active Return Active Return Target Tracking
Average Performance Performance Tracking Error Target
Allocation Objectives Contribution Error Range Information
(%) (bps) (bps) (bps) (bps) Ratio
U.S. Equity 26.0% 20 5 50 0 - 100 0.40
Non-U.S. Equity 29.7% 54 16 135 0 - 300 0.40
Public Fixed Income 34.0% 20 7 50 0 - 200 0.40
Alternatives 10.3% 82 8 NA NA NA
Total HC Fund 100.0% NA 36 90 0 - 300* 0.40
* The tracking error range for the Health Care Fund is based on Public Markets assets.
The above table shows an anticipated active management contribution of 36 basis points to
the fund’s return. The estimated tracking error of 90 basis points indicates a 68%
probability that the active return will be in a range of -54 basis points to +126 basis points.
This interval is calculated by subtracting the tracking error from, and adding the tracking
error to, the expected active return. The expected contribution to fund performance of 36
basis points for 2011 is slightly lower than the 39 basis points target for 2010 primarily due
to a lower performance objective for the Non-U.S. Equity asset class.
The figures shown in the table above are aggregated from the component portfolios in each
of the asset classes. The tracking error that results at the fund level is lower than would be
suggested by a simple weighted average due to the diversifying effects of the active return
interaction among the managers and the asset classes.
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