Transcript Plan Statistics Defined Benefit Plan

Welcome to PSPRS
Version Date : 01-22-2014
1
Public Safety Personnel Retirement System
Corrections Officer Retirement Plan
Elected Officials’ Retirement Plan
Fiscal Year 2013 Financial Report
as of June 30, 2013
Version Date : 01-22-2014
2
Total Plan Statistics
Defined Benefit Plan
Active Members
33,855
Terminated Vested Members 3,065
Drop
1,482
Retired
15,026
Normal
11,450
Beneficiaries 2,036
Disability
1,540
Total Participants
53,428
Version Date : 01-22-2014
3
Total PSPRS Statistics
Defined Benefit Plan
Active Members
18,436
Terminated Vested Members 1,442
Drop
1,482
Retired
10,159
Normal
7,444
Beneficiaries 1,305
Disability
1,410
Total Participants
31,519
Version Date : 01-22-2014
4
Total Plan Statistics
Defined Benefit Plan
Non-Retired
Active Members
Terminated Vested Members
DROP
Total Non-Retired Members
Total
Plans
33,855
3,065
1,482
38,402
PSPRS
18,436
1,442
1,482
21,360
CORP
14,580
1,463
0
16,043
EORP
839
160
0
999
Retired
Normal
Beneficiaries
Disability
Total Retired Members
11,450
2,036
1,540
15,026
7,444
1,305
1,410
10,159
3,164
531
115
3,810
842
200
15
1,057
Total Participants
53,428
31,519
19,853
2,056
Percentage Retired
28.1%
32.2%
19.2%
51.4%
Version Date : 01-22-2014
5
Total Revenue
June 30, 2013
800,000,000 Net Investment Income
723,261,918
700,000,000
600,000,000
500,000,000
ER Contributions
461,681,695
400,000,000
300,000,000
Employee Contributions
185,712,059
200,000,000
100,000,000
0
Court Fees
Alternative
Contributions 2,462,274 8,411,739
Service Purchase &
Transfers 8,819,650
Total Revenue $1,390,349,335
Version Date : 01-22-2014
6
Total Revenue
June 30, 2013
Total Plans
PSPRS
CORP
EORP
Net Investment Income
723,261.918
551,337,629
140,661,688
31,262,601
ER Contributions
461,681,695
378,701,291
68,297,948
14,682,456
Alternative Contributions
2,462,274
2,151,786
203,683
106,805
Court Fees
8,411,739
0
0
8,411,739
185,712,059
127,362,618
50,648,775
7,770,666
8,819,650
7,575,489
999,077
245,084
1,390,349,335 1,067,128,813
260,811,171
62,409,351
EE Contributions
Service Purchase & Transfers
Total Revenue
Version Date : 01-22-2014
7
Total Expenses
June 30, 2013
Total Plans
600,000,000
500,000,000
400,000,000
300,000,000
200,000,000
100,000,000
0
Pension
Benefits
Survivor
Benefits
Disability
Benefits
Deferred
Benefits
Insurance
Benefits
DROP
Benefits
Refunds
Administrative
Expenses
Transfer
Total Expenses $762,306,028
Version Date : 01-22-2014
8
Total Expenses
June 30, 2013
Total Plans
PSPRS
CORP
EORP
Pension Benefits
502,843,893
383,377,255
81,829,318
37,637,320
Survivor Benefits
66,964,337
51,443,297
9,043,592
6,477,448
Disability Benefits
61,150,525
57,486,396
2,306,541
1,357,588
Deferred Benefits
199,579
199,579
0
0
Insurance Benefits
17,114,539
13,383,444
2,829,735
901,360
DROP Benefits
61,847,822
60,213,930
1,633,892
0
Refunds
44,122,985
12,819,713
31,179,499
123,773
Administrative Expenses
6,670,828
5,104,446
1,266,690
299,692
Transfers
1,391,520
514,209
840,629
36,682
762,306,028
584,542,269
130,929,896
46,833,863
Total Expenses
Version Date : 01-22-2014
9
Net Cash Flow
FYE June 30 (thousands)
100,000
50,000
0
(50,000)
(100,000)
(150,000)
(200,000)
(250,000)
2001 2002 2003 2004 2005 2006 2007 2008 2009 2010 2011 2012 2013
(55,531)
(79,427)
(108,626)
(93,378)
(93,707)
(82,189)
(196,817)
76,010
(8,483)
(75,123)
(174,284)
(123,250)
(95,293)
EE-ER Contributions – Benefits Payments and Expenses
Version Date : 01-22-2014
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Asset Allocation
June 30, 2006 at Market
Bonds
$1,293,717,764
21.4%
Real Estate
$200,704,599
3.3%
Cash
$295,260,920
4.9%
Stocks
$4,267,607,566
70.5%
Version Date : 01-22-2014
11
Asset Allocation
October 31, 2013
Total Fund $7,669,845,141
Private Equity, 674,972,454 ,
10.19%
Short Term, 145,656,371,
2.20%
U.S. Equities, $1,274,231,133 ,
Non-U.S. Equities, 936,178,955
19.23%
, 14.13%
Real Assets, 412,644,507,
6.23%
Credit Opportunities,
570,113,412, 8.6%
Real Estate, 843,923,193,
12.74%
Absolute Return,
230,176,852 , 3.47%
Version Date : 01-22-2014
Fixed Income, 913,487,782,
13.79%
GTAA, 624,972,469 , 9.43%
12
Total Fund Rates of Return FY’13
7/31/2012
8/31/2012
9/30/2012
10/31/2012
11/30/2012
12/31/2012
1/31/2013
2/28/2013
3/31/2013
4/30/2013
5/31/2013
6/30/2013
Net of Fees
PSPRS Trust
Month FYTD
Target Benchmark
Benchmark
Month FYTD
0.86%
1.43%
1.35%
-0.19%
1.16%
1.27%
1.92%
0.26%
2.04%
1.14%
0.53%
-1.12%
1.02%
1.42%
1.77%
-0.21%
0.68%
1.04%
2.24%
0.30%
1.28%
1.43%
-0.03%
-1.24%
0.86%
2.30%
3.68%
3.49%
4.69%
6.02%
8.05%
8.33%
10.54%
11.80%
12.40%
11.14%
10.64% *
Version Date : 01-22-2014
1.02%
2.45%
4.27%
4.05%
4.76%
5.85%
8.22%
8.54%
9.93%
11.50%
11.47%
10.09%
13
Total Fund Rates of Return FY’14
(Gross of fees)
7/31/2013
8/31/2013
9/30/2013
10/31/2013
11/30/2013
12/31/2013
1/31/2014
2/28/2014
3/31/2014
4/30/2014
5/31/2014
6/30/2014
PSPRS Trust
Month FYTD
Benchmark
Month FYTD
1.94%
-0.04%
1.98%
2.43%
0.54%
2.62%
-0.91%
2.56%
2.14%
0.93%
1.94%
1.90%
3.92%
6.44%
7.02%
7.02%
7.02%
7.02%
7.02%
7.02%
7.02%
7.02%
Version Date : 01-22-2014
2.62%
1.69%
4.29%
6.44%
7.43%
7.43%
7.43%
7.43%
7.43%
7.43%
7.43%
7.43%
14
Asset Allocation
Asset Class
Old %
New %
Range %
U.S. Equity
18%
17%
12-22%
Non-U.S. Equity
14%
14%
10-18%
Private Equity global
9%
10%
6-14%
Fixed Income global
12%
8%
4-12%
Credit Opportunities
12%
12%
6-15%
Absolute Return
4%
4%
0-8%
GTAA
8%
10%
6-14%
Real Assets
7%
8%
5-11%
Real Estate Global
10%
11%
6-16%
Risk Parity
4%
4%
0-8%
Short Term Equivalents
2%
2%
0-6%
Version Date : 01-22-2014
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Total Fund Performance
As of June 30, 2013
1-Year
3-Years
5-Years
Total Fund *
Risk-adjusted Rank
11.14%
-
9.27%
9
4.17%
69
Performance Benchmark
Risk-adjusted Rank
10.08%
-
10.00%
22
3.30%
95
Median Public Fund*
12.00%
11.30%
5.00%
• The Total Fund returned 11.14% over the Fiscal Year ending June 30, 2013 gross of fees per the CAFR
• The Total Fund Universe is comprised of Public Funds from the ICC Public Fund Universe and includes
over 100 Public Funds over the five full years
• Rank shows how the performance of the Total Fund compared relative to other Public Funds
• Returns are gross of fees
Version Date : 01-22-2014
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Contribution to Return by Asset Class FY ‘13 (net of fees)
12.0
10.0
8.0
6.0
4.0
2.0
-0.10
0.0
Contribution to Return
-2.0
US Equity
International Equity
Private Equity
Fixed Income
Credit Opportunities
Absolute Return
GTAA
Real Assets
Real Estate
Risk Parity
Version Date : 01-22-2014
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Total Fund vs. Benchmark (as of June 30, 2013)
20%
15%
10%
5%
0%
-5%
-10%
-15%
-20%
-25%
2001
2002
2003
2004
2005
2006
2007
2008
Total Fund -16.89% -15.04%
6.61%
14.94%
9.15%
8.28%
17.04%
-7.19%
Benchmark -1.40%
6.69%
8.12%
6.43%
3.57%
15.12%
-5.73%
-4.50%
2009
2010
2011
2012
2013
-17.45% 13.89%
17.77%
-0.32%
11.14%
-21.13% 12.10%
17.36%
2.89%
10.08%
*Total Fund returns are gross of fees
** July 1, 2013 to Present: 17% Russell 3000, 14% MSCI World Ex-US Net, 10% Russell 3000 + 100 bps, 8% BC Global Aggregate, 12% Credit Opportunities
Benchmark, 4% BofA ML 3-Month T-Bill + 200 bps, 10% 3-Month LIBOR + 300 bps, 8% CPI + 200 bps, 11% NCREIF NPI, 4% Risk Parity Benchmark and 2%
BofA ML 3-Month T-Bill
Version Date : 01-22-2014
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Worst case scenarios – lessons from the past
•
Stress testing: The style analysis model of our current
holding can be subjected to stress scenarios.
Events
Asian Crisis of 1997
Today's Portfolio
PSPRS Trust Actual
8.1%
5.7%
Russian/LTCM Crisis 1998
-5.4%
-5.5%
WTC Attacks - Sept. 11
-2.7%
-11.7%
Stock Market Crash 2002
-5.5%
-21.1%
August Crisis 2007
3.3%
1.6%
January Crisis 2008
-2.3%
-2.7%
Credit Crunch 2008 (Aug to Nov)
-9.3%
-23.1%
Crisis 2009 (Jan-Feb)
-5.6%
-12.9%
Version Date : 01-22-2014
New: On
request by
Board of
Trustees
19
PSPRS Risk-adjusted return relative to the peer groups
Rolling 3 Year
PSPRS
1.5
1.6
1.1
1
1
1.3
1.7
0.9
0.3
0.2
0.1
Percentile
10
9
26
43
42
22
27
66
63
59
81
90
91
74
57
58
78
73
34
37
41
19
PSPRS Sharpe Ratio (rolling 3 year)
Average Peer Sharpe Ratio (rolling 3 year)
Version Date : 01-22-2014
9/1/2013
8/1/2013
7/1/2013
6/1/2013
5/1/2013
4/1/2013
3/1/2013
2/1/2013
1/1/2013
12/1/2012
11/1/2012
10/1/2012
9/1/2012
8/1/2012
7/1/2012
6/1/2012
5/1/2012
4/1/2012
3/1/2012
2/1/2012
1/1/2012
12/1/2011
11/1/2011
10/1/2011
9/1/2011
8/1/2011
7/1/2011
6/1/2011
5/1/2011
4/1/2011
100
90
80
70
60
50
40
30
20
10
0
3/1/2011
1.8
1.6
1.4
1.2
1
0.8
0.6
0.4
0.2
0
Percentile Ranking
Sharpe Ratio
9/30/2013
6/30/2013
3/31/2013
12/31/2012
9/30/2012
6/30/2012
3/31/2012
12/31/2011
9/30/2011
6/30/2011
3/31/2011
3 Rank (Right Axis)
Universe
1.2
1.3
1
1
1
1.1
1.6
1
0.3
0.3
0.2
PSPRS Ranking Among Peers
20
Funding Levels
120.0%
100.0%
80.0%
60.0%
40.0%
20.0%
0.0%
6/30/2005 6/30/2006 6/30/2007 6/30/2008 6/30/2009 6/30/2010 6/30/2011 6/30/2012 6/30/2013
PSPRS
83.2%
77.6%
66.4%
66.5%
68.2%
65.8%
61.9%
58.6%
57.1%
CORP
101.1%
93.7%
84.6%
86.8%
82.6%
80.3%
73.0%
67.8%
66.9%
EORP
92.3%
89.9%
74.6%
76.6%
71.3%
66.7%
62.1%
58.4%
55.5%
Version Date : 01-22-2014
21
PSPRS – Aggregate Employer Rates
35.00%
30.00%
25.00%
20.00%
15.00%
10.00%
5.00%
0.00%
200203
200304
200405
200506
200607
200708
200809
200910
201011
201112
201213
201314
201415
Rate 3.75% 7.66% 10.05% 12.80% 13.83% 16.52% 21.72% 20.77% 20.89% 22.68% 27.18% 30.44% 32.54%
*The aggregate computed contribution rates before application of the statutory minimum
Version Date : 01-22-2014
22
Total Fund Changing Financial Status (in 000s)
FYE
2000
2001
2002
2003
2004
2005
2005R
2006
2007
2008
2009
2010
2011
2012
2013
Asset Value
$5,294,936
$5,793,886
$5,818,181
$5,946,631
$5,951,310
$6,104,548
$6,104,548
$6,271,480
$6,106,364
$6,650,684
$7,115,572
$7,330,790
$7,629,124
$7,920,930
$8,095,542
Liabilities
$4,169,958
$4,480,132
$5,056,396
$5,746,803
$6,292,029
$7,218,720
$7,109,867
$7,867,623
$8,830,392
$9,507,482
$10,079,935
$10,749,599
$11,964,152
$13,167,303
$13,786,315
Ratio
127.0%
129.3%
115.1%
103.5%
94.6%
84.6%
85.9%
79.7%
69.2%
70.0%
70.6%
68.2%
63.8%
60.2%
58.7%
Market Value*
$5,619,426
$4,688,259
$3,987,905
$4,207,662
$4,682,652
$5,105,869
$5,105,869
$5,554,802
$6,160,387
$5,984,152
$5,030,674
$5,677,168
$6,667,128
$6,658,622
$7,286,591
Ratio
134.8%
104.6%
78.9%
73.2%
74.4%
70.7%
71.8%
70.6%
69.8%
62.9%
49.9%
52.8%
55.7%
50.6%
52.9%
*Market value does not include future benefit increase reserve
Version Date : 01-22-2014
23
PSPRS Changing Financial Status (in 000s)
FYE
2000
2001
2002
2003
2004
2005
2005R
2006
2007
2008
2009
2010
2011
2012
2013
Asset Value
$4,260,168
$4,661,941
$4,684,386
$4,781,377
$4,774,313
$4,886,963
$4,886,963
$4,999,911
$4,829,521
$5,095,645
$5,445,497
$5,591,304
$5,795,945
$6,051,595
$6,185,074
Liabilities
$3,415,157
$3,674,758
$4,144,211
$4,739,613
$5,167,333
$5,951,937
$5,872,736
$6,495,012
$7,268,291
$7,662,779
Ratio
124.7%
126.9%
113.0%
100.9%
92.4%
82.1%
83.2%
77.0%
66.4%
66.5%
Market Value*
$4,516,110
$3,759,164
$3,193,862
$3,364,413
$3,741,116
$4,070,529
$4,070,529
$4,415,684
$4,868,862
$4,519,329
Ratio
132.2%
102.3%
77.1%
71.0%
72.4%
68.4%
69.3%
68.0%
67.0%
59.0%
$7,989,451
$8,491,822
$9,365,261
$10,325,530
$10,823,540
68.2%
65.8%
61.9%
58.6%
57.1%
$3,830,087
$4,310,574
$5,048,313
$5,074,688
$5,557,274
47.9%
50.8%
53.9%
49.1%
51.3%
*Market value does not include future benefit increase reserve
Version Date : 01-22-2014
24
Current Issues



Developing a communications plan to better
reach the members.
65% of the membership have registered emails
and will get periodic updates from PSPRS.
Six times a year we send out newsletters to the
Local Boards (employer) about current issues and
updates from PSPRS.
Version Date : 01-22-2014
25
Legislative initiatives that may affect
PSPRS








H 2122 EORP Defined Contribution
H 2203 PSPRS Board Membership
H 2060 PSPRS Oversight; Procurement
H 2166 PSPRS Contribution; County Employers
H 2056 Retirement; Return to Work
H 2090 Defined Contribution Plan
HCR 2001 Public Retirement Systems
H 2058 Public Pension; Limit on Compensation
Version Date : 01-22-2014
26
Fields Case


No update on the Supreme Court decision
If unfavorable, the employer rates would
increase.
Version Date : 01-22-2014
27
Questions?
Version Date : 01-22-2014
28
Thank you for attending
Version Date : 01-22-2014
29