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 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 the 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. 37 Estimated Assets ($ billions) Target Allocation 8/31/2009 12/31/2009 2010 Average 12/31/2010 12/31/2010 Public Equity $5.9 $6.2 $6.0 $5.9 49.1% U.S. Equity $3.2 $3.3 $3.2 $3.1 26.0% Non-U.S. Equity $2.7 $2.9 $2.8 $2.8 23.2% Public Fixed Income $4.4 $4.7 $4.9 $5.1 42.7% Core Fixed $0.7 $1.2 $1.4 $1.6 13.0% TIPS $2.1 $2.3 $2.3 $2.4 19.7% Short Bonds $1.1 $0.7 $0.6 $0.5 4.0% High Yield $0.1 $0.1 $0.1 $0.2 1.9% Emerging Mkt Debt $0.3 $0.3 $0.4 $0.4 3.6% Liquidity $0.1 $0.1 $0.1 $0.1 0.5% Alternatives $0.8 $0.8 $0.9 $1.0 8.2% REIT $0.7 $0.7 $0.7 $0.7 6.0% Opportunistic/Hedge Funds $0.1 $0.1 $0.2 $0.2 1.9% Commodities $0.0 $0.0 $0.0 $0.0 0.3% Total Health Care Fund $11.1 $11.7 $11.8 $11.9 100.0%
2 0 1 0 I N V E S T M E N T P L A N FUND STRATEGIES Composition of Investment Portfolio The Public Equity and Public Fixed Income asset classes are managed identically for both the Health Care and Defined Benefit Funds; however, the allocations to all asset classes vary as they reflect unique circumstances for each fund. The table below shows the Health Care Fund’s projected June 30, 2010 allocation between internal and external asset management by asset class. Internal Management External Management Asset Class OPERS OPERS Public Equity U.S. Equity 83.2% 16.8% Non-U.S. Equity Public Fixed Income 0.0% 100.0% Core Fixed 11.7% 88.3% TIPS 100.0% 0.0% Short Bonds 100.0% 0.0% High Yield 0.0% 100.0% Emerging Mkt Debt 0.0% 100.0% Liquidity Alternatives 100.0% 0.0% REIT 100.0% 0.0% Opportunistic/Hedge Funds 48.2% 51.8% Commodities 100.0% 0.0% Weighted Averages 50.5% 49.5% There is no peer universe for health care funds run by comparable large public pension plans. The amount shown as OPERS internally managed Opportunistic/Hedge Funds represents the opportunistic distressed fixed income assets. The Health Care Fund utilizes a higher proportion of more liquid securities with no Private Real Estate or Private Equity holdings due to the shorter duration of this fund relative to the Defined Benefit Fund. 38
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