Public Fund Universe Analysis Report August, 2006 Oklahoma State Pension Commission One Main Street,...
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Transcript of Public Fund Universe Analysis Report August, 2006 Oklahoma State Pension Commission One Main Street,...
Public Fund Universe Analysis ReportAugust, 2006August, 2006
Oklahoma State Pension Commission
One Main Street, Cambridge, Massachusetts 02142TEL: (617) 374-1300; FAX: (617) 374-1313
www.nepc.com
Allan Martin, PartnerKevin Tatlow, Consultant
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Table of ContentsTable of ContentsTabTab
Public Fund Universe TrendsPublic Fund Universe Trends 1 1
Oklahoma Fund Allocations Against UniverseOklahoma Fund Allocations Against Universe 2 2
Teachers
PERS
Firefighters
Police
Law Enforcement
Judges and Justices
Allocations by FundAllocations by Fund 3 3
Equity
Fixed Income
Real Estate
Alternative Assets
Five Year ReturnsFive Year Returns 4 4
Domestic Equity
Fixed Income
International Equity
One Year ReturnsOne Year Returns
Domestic Equity
Fixed Income
International Equity
AppendixAppendix 5 5
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Public Fund Asset Allocation TrendsPublic Fund Asset Allocation Trends
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Public Fund Asset Allocation ExpectationsPublic Fund Asset Allocation Expectations
Source: Greenwich AssociatesSource: Greenwich Associates
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Teachers Retirement System Teachers Retirement System ($8.1B)($8.1B)
48.6%44.1%
19.1%16.2%
25.1%24.1%
0.0%2.1%
0.0%
4.3%
0.0%
6.6%3.7%2.6% 3.5%
0.0%
-10%
0%
10%
20%
30%
40%
50%
60%
Allocation by Asset Class Compared to $1-$10B Funds
Teachers $1 - $10B
4.5%
2.9%
1.0%
-2.1%
-4.3%
-3.1%
1.1%
-7%
-5%
-3%
-1%
1%
3%
5%
7%
Variance - Teachers Minus $1-$10B Funds
As of 06/30/06
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PERS PERS ($5.8B)($5.8B)
-0.1%
3.7%
11.7%
-2.1%
-4.3%-6.6%
-2.6%
-8%
-6%
-4%
-2%
0%
2%
4%
6%
8%
10%
12%
14%
16%
Variance - PERS minus $1-$10B Funds
As of 06/30/06
44.0% 44.1%
19.9%
16.2%
35.8%
24.1%
0.0%2.1%
0.0%
4.3%
0.0%
6.6%
0.0%2.6%
-10%
0%
10%
20%
30%
40%
50%
60%
Allocation by Asset Class Compared to $1-$10B Funds
PERS $1 - $10B
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Firefighters Firefighters ($1.6B)($1.6B)
52.9%
46.3%
12.6%15.2%
22.5%26.9%
0.0% 1.5% 3.2% 3.7%6.9% 4.0% 1.9% 2.4%
-10%
0%
10%
20%
30%
40%
50%
60%
Allocation by Asset Class Compared to $150M-$10B Funds
Firefighters $150M - $10B
6.6%
-2.6%
-4.4%
-1.5% -0.5%
2.9%
-0.5%
-10%
-8%
-6%
-4%
-2%
0%
2%
4%
6%
8%
10%
Variance - Firefighters minus $150M-$10B Funds
As of 06/30/06
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Police Police ($1.5B)($1.5B)
46.1% 46.3%
11.9%15.2%
13.7%
26.9%
3.6%1.5% 0.2%
3.7%
22.4%
4.0%2.1%
2.4%
-10%
0%
10%
20%
30%
40%
50%
60%Allocation by Asset Class Compared to $150M-$10B Funds
Police $150M - $10B
-0.2%
-3.3%
-13.2%
2.1%
-3.5%
18.4%
-0.3%
-16%
-12%
-8%
-4%
0%
4%
8%
12%
16%
20%Variance - Police minus $150M-$10B Funds
As of 06/30/06
9L:\Clients\Oklahoma\Publicfund-analysis\2006-06-publicfund-analysis.ppt
Law Enforcement Law Enforcement ($664M)($664M)
53.6%
46.3%
10.6%
15.2%
27.7% 26.9%
0.0% 1.5%
6.8% 3.7%1.4%
4.0%0.0%
2.4%
-10%
0%
10%
20%
30%
40%
50%
60%
Allocation by Asset Class Compared to $150M-$10B Funds
Law $150M - $10B
7.3%
-4.6%
0.8%
-1.5%
3.1%
-2.6% -2.4%
-6%
-4%
-2%
0%
2%
4%
6%
8%
10%Variance - Law minus $150M-$10B Funds
As of 06/30/06
10L:\Clients\Oklahoma\Publicfund-analysis\2006-06-publicfund-analysis.ppt
Judges & Justices Judges & Justices ($214M)($214M)
38.0%
46.3%
17.3%
15.2%
44.6%
26.9%
0.0% 1.5% 0.0%3.7%
0.0%
4.0%
0.1%2.4%
-10%
0%
10%
20%
30%
40%
50%
60%Allocation by Asset Class Compared to $150M-$10B Funds
Judges $150M - $10B
-8.3%
2.1%
17.7%
-1.5%-3.7% -4.0%
-2.3%
-12%
-8%
-4%
0%
4%
8%
12%
16%
20%
Variance - Judges & Justices minus $150M-$10B Funds
As of 06/30/06
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0%
10%
20%
30%
40%
50%
60%
70%
80%
90%
100%
Funds (88 Including Oklahoma)
Allocation by FundAllocation by Fund Period Ending June 30, 2006Period Ending June 30, 2006
TeachersTeachers
Domestic EquityDomestic EquityInt’l EquityInt’l Equity
62.8% Total Equity62.8% Total EquityMedianMedian
46.2% Domestic46.2% DomesticEquity MedianEquity Median
• 88 out of 88 funds invest in domestic equity88 out of 88 funds invest in domestic equity• 82 out of 88 funds invest in Int’l equity82 out of 88 funds invest in Int’l equity• As of June 30, 2006, the average allocation for domesticAs of June 30, 2006, the average allocation for domestic equities is 46.3% and for Int’l equities 15.2%.equities is 46.3% and for Int’l equities 15.2%.
LawLaw PERSPERS JudgesJudgesPolicePolice**FirefightersFirefighters
* Excludes Alternative Assets.* Excludes Alternative Assets.
Equity Allocation of Screened Universe Equity Allocation of Screened Universe (88 Funds)(88 Funds)
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0%
10%
20%
30%
40%
50%
60%
70%
80%
Funds (88 Including Oklahoma)
Fixed Income Allocation of Screened Universe Fixed Income Allocation of Screened Universe (88 Funds)(88 Funds)
Allocation by FundAllocation by Fund Period Ending June 30, 2006Period Ending June 30, 2006
Domestic FixedDomestic FixedInt’l FixedInt’l Fixed
27.7% Total Fixed27.7% Total FixedMedian (Top Line)Median (Top Line)
27.1% Domestic27.1% DomesticFixed Median (Bottom Line)Fixed Median (Bottom Line)
• 88 out of 88 funds invest in domestic fixed income88 out of 88 funds invest in domestic fixed income• 33 out of 88 funds invest in Int’l fixed33 out of 88 funds invest in Int’l fixed• As of June 30, 2006, the average allocation for domestic fixed As of June 30, 2006, the average allocation for domestic fixed income is 26.9% and for Int’l fixed is 1.5%.income is 26.9% and for Int’l fixed is 1.5%.
TeachersTeachersLawLawPERSPERSJudgesJudges PolicePoliceFirefightersFirefighters
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0%
3%
5%
8%
10%
13%
15%
18%
Funds (58 Including Oklahoma)
Real Estate Allocation of Screened Universe Real Estate Allocation of Screened Universe (88 Funds)(88 Funds)
Allocation by FundAllocation by FundPeriod Ending June 30, 2006Period Ending June 30, 2006
5.3% Real Estate Median5.3% Real Estate Median
• 58 out of 88 funds invest in real estate58 out of 88 funds invest in real estate• As of June 30, 2006, the average allocation is 3.7%As of June 30, 2006, the average allocation is 3.7%
LawLaw PolicePoliceFirefightersFirefighters
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0%
5%
10%
15%
20%
25%
30%
35%
Funds (49 funds including Oklahoma)
Alternative Assets Allocation of Screened Universe Alternative Assets Allocation of Screened Universe (88 Funds)(88 Funds)
Allocation by FundAllocation by Fund Period Ending June 30. 2006Period Ending June 30. 2006
5.8% Alternative Asset Median5.8% Alternative Asset Median
• 49 out of 88 funds invest in alternative assets49 out of 88 funds invest in alternative assets• As of June 30, 2006, the average allocation is 4.0%As of June 30, 2006, the average allocation is 4.0%
LawLawPolicePolice FirefightersFirefighters TeachersTeachers
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0%
1%
2%
3%
4%
5%
6%
7%
8%
9%
10%
5 Year Annualized Domestic Equity Returns 5 Year Annualized Domestic Equity Returns (68 Funds)(68 Funds)
Five Years EndingFive Years EndingJune 30, 2006June 30, 2006
5.0%5.0%MedianMedian
2.5%2.5%S&P 500S&P 500
Funds in Universe (68 Including OK)Funds in Universe (68 Including OK)
TeachersTeachers LawLaw PERSPERS JudgesJudgesPolicePolice FirefightersFirefighters
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0%
1%
2%
3%
4%
5%
6%
7%
8%
9%
10%
Five Years EndingFive Years EndingJune 30, 2006June 30, 2006
Funds in Universe (67 Including OK)Funds in Universe (67 Including OK)
5.0%5.0%LB AggLB Agg
5.5%5.5%MedianMedian
TeachersTeachers LawLawPERSPERS JudgesJudges PolicePoliceFirefightersFirefighters
5 Year Annualized Fixed Income Returns 5 Year Annualized Fixed Income Returns (67 Funds)(67 Funds)
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0%
2%
4%
6%
8%
10%
12%
14%
16%
Five Years EndingFive Years EndingJune 30, 2006June 30, 2006
10.3%10.3%MedianMedian
10.0%10.0%EAFEEAFE
Funds in Universe (59 Including OK)Funds in Universe (59 Including OK)
TeachersTeachers LawLawPERSPERS JudgesJudges PolicePoliceFirefightersFirefighters
5 Year Annualized International Equity Returns 5 Year Annualized International Equity Returns (59 Funds)(59 Funds)
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0%
5%
10%
15%
20%
25%
Annual Domestic Equity Returns Annual Domestic Equity Returns (85 Funds)(85 Funds)
Year EndingYear EndingJune 30, 2006June 30, 2006
10.8%10.8%MedianMedian
Funds in Universe (85 Including OK)Funds in Universe (85 Including OK)
8.6%8.6%S&P 500S&P 500
TeachersTeachers LawLawPERSPERS JudgesJudges PolicePoliceFirefightersFirefighters
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-5%
-4%
-3%
-2%
-1%
0%
1%
2%
3%
4%
5%
6%
Year EndingYear EndingJune 30, 2006June 30, 2006
-0.8%-0.8%LB AggLB Agg
Funds in Universe (85 Including OK)Funds in Universe (85 Including OK)
-0.2%-0.2%MedianMedian
TeachersTeachersLawLawPERSPERS
JudgesJudges
PolicePolice
FirefightersFirefighters
Annual Fixed Income Returns Annual Fixed Income Returns (85 Funds)(85 Funds)
21L:\Clients\Oklahoma\Publicfund-analysis\2006-06-publicfund-analysis.ppt
0%
5%
10%
15%
20%
25%
30%
35%
40%
45%
Year EndingYear EndingJune 30, 2006June 30, 2006
26.9%26.9%MedianMedian
26.6%26.6%EAFEEAFE
Funds in Universe (76 Including OK)Funds in Universe (76 Including OK)
TeachersTeachersLawLaw PERSPERSJudgesJudgesPolicePolice FirefightersFirefighters
Annual International Equity Returns Annual International Equity Returns (76 Funds)(76 Funds)
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AppendixAppendix
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New England Pension Consultants is pleased to present the following Public Funds Universe Analysis Report. The information contained herein is drawn from the NEPC/ICC database. This database represents the industry’s largest public funds universe, containing over 181 public funds, with aggregate assets in excess of $737 Billion and over 3,278 individual portfolios. It is important to note that the underlying information is obtained directly from custodian banks and is rigorously reviewed by ICC member firms. No manager supplied data is included in this analysis.
The report depicts the size and type of fund included in the universe, together with a detailed examination of the asset allocation of the component funds. The asset allocations of the Oklahoma funds are then compared to the relevant universe subcomponents (Large Funds, Representative Funds) on both a year-end and historic basis. In this way we can determine the relative over/under-weights being taken currently and historically.
The remainder of the report examines the historic total fund performance of Oklahoma funds against the Universe in an absolute and risk-adjusted basis. We then further examine performance of the major asset classes to determine the source of historic relative performance. This performance data is as of June 30, 2006. The second quarter of 2006 performance report is contained in a separate report which will be presented to the Commission on August 16, 2006 together with this report.
25L:\Clients\Oklahoma\Publicfund-analysis\2006-06-publicfund-analysis.ppt
Public Fund UniversePublic Fund Universe
$0
$500
$1,000
$1,500
$2,000
$2,500
$3,000
$3,500
$4,000
$4,500
$5,000
$5,500
$6,000
$6,500
$7,000
$7,500
$8,000
$8,500
$9,000
$9,500
$10,000
Siz
e o
f F
un
ds
(000
,000
's)
Funds used in universe (88)Funds used in universe (88)
Funds not used above $10B (14)Funds not used above $10B (14)
Funds not used below $150M (45)Funds not used below $150M (45)
Values as of June 30, 2006Values as of June 30, 2006
Total Public Funds in ICC Universe, 147Total Public Funds in ICC Universe, 147Total Public Funds Screened for This Analysis, 88Total Public Funds Screened for This Analysis, 88
26L:\Clients\Oklahoma\Publicfund-analysis\2006-06-publicfund-analysis.ppt
45
36
17
35
14
0
10
20
30
40
50
60
70
80
90
Asset Size - June 30, 2006
30
58
0
10
20
30
40
50
60
70
Fund Type - June 30, 2006
Public Fund Universe CharacteristicsPublic Fund Universe Characteristics
88 Funds range in size $150M - $10B88 Funds range in size $150M - $10B
88 Funds range in size $150M - $10B88 Funds range in size $150M - $10B
27L:\Clients\Oklahoma\Publicfund-analysis\2006-06-publicfund-analysis.ppt
Public Fund Universe Statistical SummaryPublic Fund Universe Statistical Summary
Percentile
5 61.8% 23.2% 51.4% 7.5% 10.8% 15.2% 8.0%
25 48.8% 18.9% 35.5% 1.0% 5.3% 5.7% 3.4%
Public Median 45.1% 15.2% 28.0% 0.0% 1.5% 0.0% 2.1%
75 39.2% 10.6% 23.3% 0.0% 0.0% 0.0% 1.0%
95 29.9% 0.0% 15.6% 0.0% 0.0% 0.0% 0.0%
44.8% 13.9% 30.3% 1.2% 3.1% 4.2% 2.6%
46.3% 15.2% 26.9% 1.5% 3.7% 4.0% 2.4%
44.1% 16.2% 24.1% 2.1% 4.3% 6.6% 2.6%
Domestic
Equity
Int'l
Equity
Domestic
Fixed
Int'l
Equity
Int'l
Equity
Domestic
Fixed
Global
Bonds
Global
Bonds
Domestic
Fixed
Cash &
Equivalents
Real
Estate
Alt
Assets
Allocation Range for ALL Public Funds (147 Funds, Size Range $3.4M - $142.2B)
Average Allocation for ALL Public Funds (147 Funds, Size Range $3.4M - $142.2B)
Average Allocation for Screened Public Funds (88 Funds, Size Range $150M - $10B)
Real
Estate
Alt
Assets
Cash &
Equivalents
Domestic
Equity
Domestic
Fixed
Domestic
Equity
Int'l
Equity
Global
Bonds
Cash &
Equivalents
Real
Estate
Alt
Assets
Global
Bonds
Real
Estate
Alt
Assets
Average Allocation for $1 - $10 Billion Funds (35 Funds in Screen)
Cash &
Equivalents
Domestic
Equity