Comprehensive Annual Financial Report - Minnesota State ...

Investment Results
46
Fund Performance
Public Employees
Retirement Association
of Minnesota
Rates of Return (Annualized)
Fund FY 2012 3-Year 5-Year 10-Year
Combined Funds (Active/Retiree)* 2.4% 13.3% 2.3% 7.0%
Combined Composite Market Index 3.0 12.6 2.3 6.9
* Percentages are net of all management fees.
Note: All composite indices are composed of the following market indicators, weighted according to asset allocation:
Domestic Stocks—Russell 3000 measures the performance of the largest 3,000 US companies;
Int'l. Stocks—Morgan Stanley Capital International All Country World Index measures equity market performance
in the global developed and emerging markets. There are 45 countries included in this index. It does not
include the United States;
Bonds—Barclays Capital Aggregate Bond Index reflects the performance of the broad bond market for investment
grade (Baa or higher) bonds, US Treasury and agency securities, and mortgage obligations with maturities
greater than one year.
Investment Returns by Sector
Performance of Asset Pools (Net of Fees)
Rates of Return (Annualized)
FY 2012 3-Year 5-Year 10-Year
Domestic Stock Pool 3.1% 16.7% 0.2% 5.6%
Russell 3000 3.8 16.7 0.4 5.8
Bond Pool 7.8% 9.2% 6.8% 5.9%
Barclays Agg. 7.5 6.9 6.8 5.6
International Stock Pool -14.7% 7.3% -4.5% 6.6%
MSCI ACWI Free ex US (net) -14.6 7.0 -4.6 6.7
Alternative Investments 9.8% 14.4% 6.8% 14.2%
Real Estate Pool (Equity Emphasis) 9.6% 1.4% -2.4% 6.7%
Private Equity Pool (Equity Emphasis) 7.8% 18.3% 7.7% 14.4%
Resource Pool (Equity Emphasis) 15.7% 18.8% 11.2% 26.6%
Yield Oriented Pool (Debt Emphasis) 13.2% 11.6% 10.1% 16.1%
Note: Investment returns were calculated using a time-weighted rate of return.
TUCS Ranking
Percentage Ranking: 1 Year — 39th 3 Year — 17th 5 Year — 35th 10 year — 34th
Note: Comparison is with public and corporate pension plans greater than $1 billion, gross of fees.