a complete copy of the 2012 CAFR Report! - PSERs

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INVESTMENT SECTION Portfolio Distribution 10 Year Trend (Fair Value - Dollar Amounts in Billions) 2012 2011 2010 2009 $48.5 $51.8 $46.5 $43.3 2008 $63.9 2007 $68.5 2006 $58.7 2005 2004 $49.0 $52.9 2003 $43.7 Equity Fixed income Real estate Alternative investments Absolute return Commodities Master limited partnership Risk parity The following lists of portfolio detail statistics present the ten largest holdings by descending order of fair value for the largest public market asset classes. Information on the complete holdings of the System is available by writing to the Public School Employees’ Retirement System, Press Secretary, 5 N 5th Street, Harrisburg, PA 17101-1905. Common and Preferred Stock - Non-U.S. Equity 10 Largest Holdings in Descending Order by Fair Value As of June 30, 2012 (Dollar Amounts and Shares in Thousands) No. of Fair Description Shares Value ($) BlackRock Emerging Markets Alpha Advantage Fund Ltd.- Class D 199 186,120 The 32 Capital Fund Ltd. 98 161,205 BlackRock Emerging Markets Alpha Advantage Fund Ltd.- Class P 34 94,981 Nestle SA 935 55,871 Royal Dutch Shell PLC 1,489 50,950 BHP Billiton Ltd. 1,546 47,001 IShares Trust MSCI EAFE Index Fund 736 36,775 Shah Capital Offshore Opportunity Fund 415 35,706 Vodafone Group PLC 12,414 34,902 HSBC Holdings PLC 3,804 34,072 Total of 10 Largest Holdings 737,583 PAGE 75
Description INVESTMENT SECTION Common and Preferred Stock - U.S. Equity 10 Largest Holdings in Descending Order by Fair Value As of June 30, 2012 (Dollar Amounts and Shares in Thousands) No. of Shares Fair Value ($) Security Capital Preferred Growth 13,039 185,611 Apple Computer, Inc. 290 169,279 Exxon Mobil Corporation 1,431 122,456 Microsoft Corporation 2,272 69,505 IBM 351 68,558 General Electric Company 3,220 67,102 Chevron Corporation 605 63,816 AT&T Inc. 1,782 63,536 Johnson & Johnson 833 56,260 The Coca-Cola Company 700 54,747 Total of 10 Largest Holdings 920,870 Description Fixed Income 10 Largest Holdings in Descending Order by Fair Value As of June 30, 2012 (Dollar Amounts and Shares in Thousands) Maturity Date Interest Rate (%) Par Value($) or No. of Shares Fair Value ($) PIMCO Multi-Sector Strategy Fund Ltd. N/A N/A 744 751,649 BlackRock US Ext’d Core Global Alpha Bond Fund N/A N/A 359 575,935 Bridgewater Int’l Inflation-Linked Bond Fund N/A N/A 234 464,368 Bridgewater Pure Alpha Fund II Ltd. N/A N/A 140 407,295 Brevan Howard CMBS Fund Ltd. N/A N/A 2,000 206,521 Bridgewater U.S. Inflation-Linked Bond Fund N/A N/A 75 165,691 U.S. Treasury - Inflation Index 01/15/25 2.375 121,257 159,689 U.S. Treasury - Inflation Index 02/15/41 2.125 90,389 129,003 U.S. Treasury - Inflation Index 02/15/40 2.125 77,063 109,382 Brigade Distressed Value Offshore Fund Ltd. N/A N/A 100 103,979 Total of 10 Largest Holdings 3,073,512 PAGE 76
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PENNSYLVANIA PUBLIC SCHOOL EMPLOYEE
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INTRODUCTORY SECTION Table of Conte
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INTRODUCTORY SECTION This page inte
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INTRODUCTORY SECTION Letter of Tran
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INTRODUCTORY SECTION PSERS has annu
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INTRODUCTORY SECTION Statement No.
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INTRODUCTORY SECTION Mission Statem
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INTRODUCTORY SECTION PSERS Board of
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INTRODUCTORY SECTION OFFICE OF FINA
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INTRODUCTORY SECTION PSERS REGIONAL
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Page 67 and 68: Dear Members of The PSERS Board of
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