Public Safety Personnel Retirement System
Corrections Officer Retirement Plan
Elected Officials’ Retirement Plan
Summary Report
as of June 30, 2009
Total Revenue
June 30, 2009
Net Investment Loss
(1,150,639,161)
Court Fees
8,000,231
400,000,000
Service Purchases &
Transfers
8,432,581
200,000,000
(200,000,000)
(400,000,000)
(600,000,000)
ER Contributions
379,558,382
EE Contributions
158,718,374
(800,000,000)
(1,000,000,000)
(1,200,000,000)
Total Net Loss ($595,929,593)
Total fund
2
Total Expenses
June 30, 2009
350,000,000
300,000,000
250,000,000
200,000,000
Deferred Benefits
DROP Benefits
150,000,000
Survivor Benefits
Administrative Expense
100,000,000
50,000,000
Normal Retirements
Disability Benefits
Insurance Benefits
Refunds
Transfers
Total Expenses $578,609,862
Total fund
3
Asset Allocation
June 30, 2009 at Market
Total fund
4
Total Fund – Returns by Asset Class
(Fiscal Year 2008-09)
Equities
Real Estate
Private Equity
Cash
Fixed Income
20.0%
Cumulative Returns
10.0%
0.95%
-1.62%
0.0%
Jun
Jul
Aug
Sep
Oct
Nov
Dec
Jan
-10.0%
Feb
Mar
Apr
May
Jun-2.66%
-21.43%
-20.0%
-21.85%
-30.0%
-40.0%
-50.0%
Month Ending
Total fund
5
Total Fund Rates of Return (Estimated)
7/31/2008
8/31/2008
9/30/2008
10/31/2008
11/30/2008
12/31/2008
1/31/2009
2/28/2009
3/31/2009
4/30/2009
5/31/2009
6/30/2009
Month
1.06%
-0.51%
-6.58%
-11.31%
-4.67%
1.59%
-6.36%
-6.50%
4.00%
7.01%
5.20%
-0.19%
FYTD
1.06%
0.55%
-6.07%
-16.69%
-20.59%
-19.32%
-24.45%
-29.36%
-26.53%
-21.38%
-17.29%
-17.45%
Target Benchmark
Month
FYTD
-1.19% -1.19%
0.03% -1.16%
-8.46% -9.53%
-14.38% -22.53%
-4.63% -26.12%
2.84% -24.02%
-6.54% -28.99%
-7.65% -34.42%
6.27% -30.30%
7.41% -25.14%
5.19% -21.25%
0.15% -21.13%
Old Target Fund Benchmark - (7/1/2008-3/31/2009) - 46% Wilshire 5000, 21% MSCI
World Ex-US, 20% Lehman Gov/Cred, 6% NCREIF NPI, 6% Wilshire 5000+300bps and
1% 91-day T-Bill
New Target Fund Benchmark - (4/1/2009-6/30/2009) - 30% Russell 3000, 20% MSCI
World Ex-US, 20% BC Capital Aggregate, 8% NCREIF NPI, 8% Russell 3000+100bps,
8% ML US High Yield BB_B Rated Constrained, 5%CPI+200bps and 1% 91 day T-Bill
Total fund
6
Index/Actual Total Returns
FY 2008-09
Index/Actual Total Returns July 1, 2008 - June 30, 2009
Target
Asset Class
Target Amount ($)*Allocation
U.S. Equity
$ 1,940,461,726
30%
Non-U.S. Equity
$ 1,293,641,151
20%
Fixed Income
$ 1,293,641,151
20%
Credit Opportunities $ 517,456,460
8%
Private Equity
$ 517,456,460
8%
Real Estate
$ 517,456,460
8%
Real Assets
$ 323,410,288
5%
Cash
$
64,682,058
1%
$ 6,468,205,754
100%
*
Index
Return
-26.56%
-30.92%
6.05%
-3.13%
-25.56%
-19.57%
0.81%
0.94%
-21.13%
(A)
Target
Contribution ($)
$ (515,463,641)
$ (399,938,567)
$
78,218,561
$
(16,217,294)
$ (132,282,406)
$ (101,259,333)
$
2,614,395
$
611,107
$ (1,367,008,076)
Actual
Return
-21.85%
(B)
Actual
Contribution ($)
(B) - (A)
Net Hypothetical
Contribution ($)
$ (1,128,556,633)
$ 238,451,444
-1.62%
-25.07%
-21.43%
-2.66%
0.95%
-17.45%
Target Amount is based on total market value of the Fund as of 6/30/2008 at the old target allocation.
Total fund
7
Total Fund vs. Benchmark
FYE June 30
20.00%
15.00%
10.00%
5.00%
0.00%
-5.00%
-10.00%
-15.00%
-20.00%
-25.00%
2000
2001
2002
2003
2004
2005
2006
2007
2008
2009
Total Fund*
12.47% -16.89% -15.04%
6.61%
14.94%
9.15%
8.28%
17.04%
-7.19%
-17.45%
Benchmark**
8.28%
3.85%
11.30%
7.71%
7.01%
15.12%
-5.73%
-21.13%
-2.91%
-7.06%
*Total Fund returns are gross of fees
** Benchmark 7/1/2008-3/31/2009: 46% Wilshire 5000, 21% MSCI World Ex-US, 20% Lehman Gov/Credit, 6% NCREIF NPI, 6% Wilshire 5000
+ 300 bps, 1% 91-Day Treasury Bill; Benchmark 3/31/09-6/30/2009 30% Russell 3000, 20% MSCI World Ex-US, 20% BC Capita Aggregate,
8% NCREIF MPI, 8% Russell 3000+100 bps, 8% ML US High Yield BB-B Rated Constrained, 5% CPI+200 bps and 1% 91-day T-Bill.
8
Funding Levels
120.0%
100.0%
80.0%
60.0%
40.0%
20.0%
0.0%
6/30/2004
6/30/2005
6/30/05R
6/30/2006
6/30/2007
6/30/2008
6/30/2009
PSPRS
92.4%
82.1%
83.2%
77.6%
66.4%
66.5%
68.2%
CORP
104.8%
96.4%
101.1%
93.7%
84.6%
86.8%
82.6%
EORP
104.4%
95.5%
92.3%
89.9%
74.6%
76.6%
71.3%
Total fund
9
PSPRS – Aggregate Employer Rates
25.00%
20.00%
15.00%
10.00%
5.00%
0.00%
2002-03
2003-04
2004-05
2005-06
2006-07
Rate*
3.75%
7.66%
10.05%
12.80%
17.09%
Revised*
3.75%
7.66%
10.05%
12.80%
13.83%
2007-08
2008-09
2009-10
2010-11
16.52%
21.72%
20.77%
20.89%
*The aggregate computed contribution rates before application of the statutory minimum
Total fund
10
CORP – Aggregate Employer Rates
10.00%
9.00%
8.00%
7.00%
6.00%
5.00%
4.00%
3.00%
2.00%
1.00%
0.00%
6/30/2003
6/30/2004
6/30/2005
6/30/2006
6/30/2007
Rate
1.71%
3.95%
4.07%
5.47%
7.01%
Revised
1.71%
3.95%
4.07%
5.47%
4.46%
Total fund
6/30/2008
6/30/2009
6/30/2010
6/30/2011
6.72%
8.68%
8.38%
8.59%
11
EORP – Employer Rates
35.00%
30.00%
25.00%
20.00%
15.00%
10.00%
5.00%
0.00%
6/30/2003
6/30/2004
6/30/2005
6/30/2006
6/30/2007
C&T
7.55%
13.49%
14.54%
20.54%
24.27%
Revised
7.55%
13.49%
14.54%
20.54%
S&C
0.00%
6.00%
7.00%
13.00%
Total fund
6/30/2008
6/30/2009
6/30/2010
6/30/2011
18.55%
20.21%
28.00%
26.25%
29.79%
11.00%
12.84%
14.05%
14.25%
17.42%
12
Total Fund Changing Financial Status (in 000s)
FYE
Actuarial
Asset Value
Actuarial
Liabilities
Funded
Ratio
Market Value*
Funded
Ratio
2000
$5,294,936
$4,169,958
127.0%
$5,619,426
134.8%
2001
$5,793,886
$4,480,132
129.3%
$4,688,259
104.6%
2002
$5,818,181
$5,056,396
115.1%
$3,987,905
78.9%
2003
$5,946,631
$5,746,803
103.5%
$4,207,662
73.2%
2004
$5,951,310
$6,292,029
94.6%
$4,682,652
74.4%
2005
$6,104,548
$7,218,720
84.6%
$5,105,869
70.7%
2005R
$6,104,548
$7,109,867
85.9%
$5,105,869
71.8%
2006
$6,271,480
$7,867,623
79.7%
$5,554,802
70.6%
2007
$6,106,364
$8,830,392
69.2%
$6,160,387
69.8%
2008
$6,650,684
$9,507,482
70.0%
$5,984,152
62.9%
2009
$7,115,572
$10,079,935
70.60%
$5,030,674
50.0%
*Market value does not include future benefit increase reserve
Total fund
13
Implications for the Future


Employer Rates
Post Retirement Benefit Increase Reserves
(after cost of July 1, 2009 post retirement adjustment)




PSPRS:$285,613,717 (July 1 adjustment = $125.7M)
CORP: $15,124,946 (July 1 adjustment = $18.1M)
EORP: $3,637,670 (July 1 adjustment = $11.3M)
7-1-10 Future Increase Amount is contingent upon
assets flowing into account.
Total fund
14
Arizona PSPRS Trust - Performance as of 12/31/2009 (Gross of Fees)
Asset Allocation
Description
Arizona
PSPRS Trust
- Total Fund
Market
Values($)
%
Month
Ending
3 Month
Ending
Fiscal
YTD
Calendar
YTD
1 Year
3 Year
5 Year
$6,134,244,201
100.00%
1.14%
3.50%
16.16%
18.86%
18.86%
1.58%
2.91%
1.38%
3.49%
15.31%
19.69%
19.69%
-2.74%
2.96%
2.34%
4.76%
22.76%
29.95%
29.95%
-2.70%
1.97%
2.55%
5.04%
23.59%
33.79%
33.79%
-4.27%
2.79%
-1.11%
1.63%
7.64%
10.87%
10.87%
3.65%
3.97%
-1.56%
0.21%
3.96%
5.93%
5.93%
6.04%
4.97%
N/A
N/A
N/A
N/A
N/A
N/A
N/A
Target Fund
Benchmark
Total Equity
$3,091,940,795
50.40%
Target
Equity
Benchmark
Fixed
Income
$1,852,858,340
19.39%
BC
Aggregate
Other Major
Asset
Classes
Performance %
$1,852,858,340
30.21%
Total fund
15
Arizona PSPRS Trust - Performance as of 12/31/2009 (Gross of Fees)
The Performance Benchmarks below effective beginning 4/1/2009
TARGET EQUITY BENCHMARK - 60% Russell 3000, 40% MSCI World Ex-US.
TARGET FUND BENCHMARK - 30% Russell 3000, 20% MSCI World Ex-US, 20% BC Aggregate,
8% NCREIF NPI, 8% Russell 3000 + 100 bps, 8% ML High Yield BB-B Constrained, 5% CPI +
200 bps and 1% 91-Day T-Bill.
The Performance Benchmarks below effective through 3/31/2009
TARGET EQUITY BENCHMARK - 67.69% Wilshire 5000, 32.31% MSCI World Ex-US.
TARGET FUND BENCHMARK - 46% Wilshire 5000, 21% MSCI World Ex-US, 20% BC Gov/Cred,
6% NCREIF NPI, 6% Wilshire 5000 +300 bps and 1% 91-Day T-Bill.
Disclaimer for Preliminary Returns
Note that the returns for the Total Fund, Total Equity and Fixed Income are from the daily returns
and accounting has not yet been finalized for the prior month. Returns for other major asset
classes are not yet available but the Total Fund return does include the contributions for all asset
classes. After the prior month closes, final returns will be reported for the Total Fund as well for all
of the major asset classes. Also, note that the NCREIF NPI and Real Assets Benchmark (CPI +
200 bps) have not yet been reported.
Total fund
16