Investment Plan - OPERS

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2 0 1 0 I N V E S T M E N T P L A N FUND STRATEGIES Asset Allocation The 2010 target asset allocation and ranges for the Defined Benefit Fund reflect an estimate by Staff of the progress that may be made towards the new asset allocations adopted in 2009. They are shown below along with actual allocations of comparable peers as of June 30, 2009. 8/31/2009 12/31/10 Peer Asset Class Actual Target Range Group* Public Equity 64.4% 58.3% 40% to 60% 53.8% U.S. Equity 43.2% 36.8% 20% to 30% 34.4% Non-U.S. Equity 21.1% 21.5% 20% to 30% 19.4% Public Fixed Income 22.9% 24.3% 15% to 32% 29.6% Core Fixed 12.0% 11.7% 6% to 12% 28.1% Long Bonds 9.3% 9.4% 6% to 12% NA High Yield 0.7% 2.0% 2% to 8% 1.5% Liquidity 0.9% 1.1% 0% to 4% NA Alternatives 12.7% 17.4% 8% to 30% 16.6% Private Equity 3.9% 5.2% 0% to 14% 6.2% Real Estate 8.2% 10.0% 0% to 14% 6.8% Opportunistic/Hedge Funds 0.6% 1.6% 0% to 5% 3.6% Infrastructure 0.0% 0.6% 0% to 3% NA Total Defined Benefit Fund 100.0% 100.0% 100.0% *Peer group defined previously in the <strong>Investment</strong> Program section of this plan. The internally managed opportunistic distressed fixed income assets are included in the Opportunistic/Hedge Funds asset class. The asset mix shown above moves the Defined Benefit Fund toward the asset allocation targets that were developed based on an asset-liability study completed in 2009. Throughout 2010 and beyond, Staff will work with <strong>OPERS</strong>’ Advisors to recommend certain enhancements to the asset mix and asset management strategies targeted at raising the expected return within acceptable risk levels. While not all of these strategies have been clearly defined, several are described in the Asset Class Strategies section later in this plan. 27
2 0 1 0 I N V E S T M E N T P L A N FUND STRATEGIES Estimated assets in dollar amounts are listed below and are based on December 31, 2010 target allocations. Actual Assets ($ billions) Estimated assets represent Staff’s general expectation for progress towards transitioning assets to the Board’s recently approved long-term asset allocation targets. Actual assets at future points in time will be within Board-approved ranges but will also reflect market outcomes, opportunities for Staff to transition assets in an efficient and cost effective manner and the availability of attractive investment opportunities. It is estimated that the Board’s long-term asset allocation targets will substantially be achieved within the next three years. Private Market asset classes, such as Private Equity and Real Estate, will continue to be invested according to their long-term pacing models and may take five years to fully reach Board targets. Details of expected Private Market commitments and fundings are provided in the Asset Class Strategies section of this plan. 28 Estimated Assets ($ billions) Target Allocation 8/31/2009 12/31/2009 2010 Average 12/31/2010 12/31/2010 Public Equity $35.0 $35.4 $34.9 $34.4 58.3% U.S. Equity $23.5 $24.1 $22.9 $21.7 36.8% Non-U.S. Equity $11.5 $11.3 $12.0 $12.7 21.5% Public Fixed Income $12.5 $13.6 $14.0 $14.3 24.3% Core Fixed $6.5 $7.3 $7.1 $6.9 11.7% Long Bonds $5.1 $5.4 $5.5 $5.5 9.4% High Yield $0.4 $0.4 $0.8 $1.2 2.0% Liquidity $0.5 $0.4 $0.5 $0.7 1.1% Alternatives $6.9 $7.6 $8.9 $10.2 17.4% Private Equity $2.1 $2.5 $2.8 $3.1 5.2% Real Estate $4.5 $4.5 $5.2 $5.9 10.0% Opportunistic/Hedge Funds $0.3 $0.6 $0.8 $0.9 1.6% Infrastructure $0.0 $0.0 $0.2 $0.4 0.6% Total Defined Benefit Fund $54.4 $56.6 $57.8 $58.9 100.0%
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