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Texas Municipal
Retirement SystemBoard Presentation/Executive Summary
Quarter Ended: March 31, 2016
Capital Markets Update
Capital Markets Update
Breakeven Inflation does not have 20 years of history; therefore, its 20-year average is shown as "N/A."Treasury data courtesy of the US Department of the Treasury. Economic data courtesy of Bloomberg Professional Service.
Annual Asset Class Performance
TMRS Total Fund
Total Fund Composite
Performance shown is gross of fees and provided by State Street. Allocations shown may not sum up to 100% exactly due to rounding. Gain/Loss figure includes both realized and
unrealized gains and losses. Asset Allocation vs. Target Allocation charts reflect targets approved in July 2015 and do not include the Transition Account. Domestic Equity includes Citi
Global Markets, Inc.
Total Fund Composite
Allocations shown may not sum up to 100% exactly due to rounding.
TMRS Historical Asset Allocation
TMRS Asset Allocation vs. Peers
• The TMRS actual allocation has more exposure to fixed income than its peers, but the portfolio
continues to move towards a well-diversified structure.
• A slow pace into new asset classes and strategies via ongoing research and due diligence efforts,
coupled with dollar cost averaging into new investments over multiple time periods continues to be
prudent.
Universe Median allocation is based on actual plan allocations.
All Public Plans >$10B universe has a population of 23.
Total Fund Performance vs. Benchmarks
• The Total Fund Composite returned 5.50% over the trailing five-year period ending March 31, 2016,
lagging the Investment Policy Objective for performance relative to the Policy Index.
– The Total Fund outperformed the Actual Allocation Benchmark by 24 basis points over the five-year period,
partially due to relative performance of the International Equity Composite.
– The Total Fund underperformed the Policy Index (Target Allocation) by 14 basis points over the same period.
Please see Supplemental Information for custom benchmark definitions.
Performance shown is gross of fees as of March 31, 2016.
Total Fund vs. Long-Term Target
Performance shown is gross of fees and based on monthly periodicity.
• The assumed long-term rate of return established by the actuary is currently 6.75%.
– In September 2009, the System shifted return objectives from income generation to a total return approach.
– Prior to that date, Total Fund performance on a total return basis versus the assumed actuarial rate is of interest,
but is a less meaningful comparison as the Policy objectives were different at that time.
• As of March 31, 2016, the Total Fund Composite has underperformed the assumed long term rate
over a rolling five-year period.
Total Fund Performance vs. Peers
• While performance relative to other systems is not an objective of the TMRS fund given the wide
range in investment objectives and different benefit plan structures, it is generally of interest to be
aware of the performance of other public pension systems.
Populations data refers to All Public Plans > $1B-Total Fund Median / All Public Plans > $10B-Total Fund Median.
Please see Supplemental Information for custom benchmark definitions.
Performance shown is gross of fees as of March 31, 2016.
Performance shown is gross of fees. Calculation based on monthly periodicity. Parenthesis contain percentile ranks.
Total Fund Composite vs. All Public Funds > $1B-Total Fund
Performance shown is gross of fees. Calculation based on monthly periodicity. Parenthesis contain percentile ranks.
Total Fund Composite vs. All Public Funds > $10B-Total Fund
TMRS Asset Class Composites
Asset Class Composite Performance• The International Equity, Non-Core Fixed Income, and Absolute Return composites were the key contributors
over the trailing one-year period.
• The Absolute Return Composite had the highest relative return during the same trailing period, while Real
Estate had the largest absolute gain.
Performance is as of March 31, 2016 and is shown net of fees. Please see Supplemental Information for custom benchmark definitions. As the Real Return asset
class structure becomes diversified, the performance objective will be the Consumer Price Index + 4%. Real Estate and Private Equity fund and composite returns
are calculated by Private Edge. Private Real Estate fund returns are lagged 1 quarter.
1
Quarter
Year
To
Date
1
Year
3
Years
5
Years
7
Years
10
Years
15
Years
Since
Inception
Inception
Date
Total Fund Composite 1.31 1.31 -0.60 4.45 5.36 7.32 6.07 6.77 8.49 01/01/1989
Actual Allocation Benchmark 1.72 1.72 -0.54 4.47 5.26 6.99 5.88 6.25 7.92
Difference -0.41 -0.41 -0.06 -0.02 0.10 0.33 0.19 0.52 0.57
Global Equity Composite 0.73 0.73 -3.13 6.66 6.33 13.25 N/A N/A 3.79 02/01/2008
Global Equity Benchmark 0.52 0.52 -3.37 6.50 6.22 13.12 N/A N/A 3.67
Difference 0.21 0.21 0.24 0.16 0.11 0.13 N/A N/A 0.12
Domestic Equity Composite 1.08 1.08 -1.01 10.69 10.75 16.89 N/A N/A 7.28 02/01/2008
Russell 3000 Index 0.97 0.97 -0.34 11.14 11.01 17.09 6.90 6.38 7.44
Difference 0.11 0.11 -0.67 -0.45 -0.26 -0.20 N/A N/A -0.16
International Equity Composite 0.15 0.15 -6.69 1.63 1.32 9.09 N/A N/A -0.13 02/01/2008
International Equity Benchmark -0.23 -0.23 -8.08 0.76 0.74 8.54 1.05 3.84 -0.59
Difference 0.38 0.38 1.39 0.87 0.58 0.55 N/A N/A 0.46
Core Fixed Income Composite 2.95 2.95 1.92 2.41 3.89 4.97 4.90 5.99 8.05 01/01/1989
Fixed Income Benchmark 3.03 3.03 1.96 2.50 3.78 4.67 4.73 5.48 7.49
Difference -0.08 -0.08 -0.04 -0.09 0.11 0.30 0.17 0.51 0.56
Non-Core Fixed Income Composite -0.34 -0.34 -1.16 N/A N/A N/A N/A N/A 0.50 10/01/2014
Non-Core Fixed Income Benchmark 5.38 5.38 -2.02 N/A N/A N/A N/A N/A -0.96
Difference -5.72 -5.72 0.86 N/A N/A N/A N/A N/A 1.46
Real Return Composite 4.64 4.64 -1.10 -0.19 2.70 N/A N/A N/A 3.01 02/01/2011
Barclays Wrld Gov't Infl Lnkd Index (Unhedged) 4.79 4.79 1.01 -0.13 2.48 4.72 4.45 6.31 2.97
Difference -0.15 -0.15 -2.11 -0.06 0.22 N/A N/A N/A 0.04
Real Estate Composite 4.00 4.00 13.59 13.34 N/A N/A N/A N/A 11.88 01/01/2012
Real Estate Benchmark 3.25 3.25 14.96 13.80 13.66 6.46 6.53 7.94 13.04
Difference 0.75 0.75 -1.37 -0.46 N/A N/A N/A N/A -1.16
Absolute Return Composite -3.86 -3.86 -2.71 N/A N/A N/A N/A N/A -0.14 08/01/2014
Absolute Return Benchmark -2.80 -2.80 -4.86 1.95 1.51 3.46 1.57 3.25 -0.71
Difference -1.06 -1.06 2.15 N/A N/A N/A N/A N/A 0.57
Private Equity Composite 3.42 3.42 N/A N/A N/A N/A N/A N/A 3.42 01/01/2016
Russell 3000 Index + 3% 1.72 1.72 2.65 14.48 14.34 20.60 10.11 9.57 1.72
Difference 1.70 1.70 N/A N/A N/A N/A N/A N/A 1.70
TMRS Unallocated Cash (SA) 0.38 0.38 1.06 0.52 0.32 0.27 N/A N/A 0.37 06/01/2008
BofA ML 3 Mo US T-Bill Index 0.07 0.07 0.12 0.07 0.08 0.10 1.15 1.51 0.23
Difference 0.31 0.31 0.94 0.45 0.24 0.17 N/A N/A 0.14
Domestic Equity Composite Performance and Allocation
Performance shown is gross of fees. Allocations shown may not sum up to 100% exactly due to rounding. Total Domestic Equity
market value excludes Citigroup Global Markets, Inc.
Domestic Equity Composite Performance Continued
Performance shown is gross of fees.
Domestic Equity Composite vs. IM U.S. Equity (SA+CF)
Performance shown is gross of fees. Calculation based on quarterly periodicity. Parenthesis contain percentile ranks.
Domestic Equity Composite vs. Russell 3000 Index
Data shown is as of March 31, 2016.
International Equity Composite Performance and Allocation
Performance shown is gross of fees. Allocations shown may not sum up to 100% exactly due to rounding.
International Equity Composite Performance Continued
Performance shown is gross of fees.
International Equity Composite vs. IM International Equity (SA+CF)
Performance shown is gross of fees. Calculation based on quarterly periodicity. Parenthesis contain percentile ranks.
International Equity Composite vs. MSCI ACW Ex US Investable Market Index (Net)
Data shown is as of March 31, 2016. Allocation to “Other” consists of holdings domiciled in countries/regions that do not meet the economic
development, size, liquidity, or market accessibility criteria as defined by the MSCI region standards.
Core Fixed Income Performance and Allocation
Performance shown is gross of fees. Allocations shown may not sum up to 100% exactly due to rounding.
Core Fixed Income Composite vs. IM U.S. Broad Market Core Fixed Income (SA+CF)
Performance shown is gross of fees. Calculation based on quarterly periodicity. Parenthesis contain percentile ranks.
Core Fixed Income Composite vs. Barclays U.S. Agg Bond Index
Allocation to “Other” consists of Euro/Yankee bonds held within the PIMCO portfolio.
Non-Core Fixed Income Performance and Allocation
Performance shown is gross of fees. Allocations shown may not sum up to 100% exactly due to rounding.
Non-Core Fixed Income Composite
Allocation to "Other" consists of miscellaneous differences between the account’s net asset value and its trade date based clean holdings.
Real Return Performance and Allocation
Performance shown is gross of fees.
Colchester Global Inflation Linked Bond vs. Barclays World Government Inflation-Linked Index
Data as of March 31, 2016.
Absolute Return Performance and Allocation
Performance shown is gross of fees.