Texas Permanent School Fund Comprehensive Annual Financial Report: 2015 Page: 58
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TOTAL PSF (SBOE) FUND RATE OF RETURN
FOR FISCAL YEAR ENDED AUGUST 31, 2015The total market value of the PSF(SBOE) at August
31, 2015, was $28.9 billion. The PSF(SBOE) annual
rates of return for the one year, five year and ten year
periods ending August 31, 2015, were -3.36%, 8.95%
and 5.99%, respectively. The Fund's fiscal year
return of -3.36% exceeded the target benchmark of
-3.71% by 35 basis points.
The capital markets experienced some drawdown
during the year with the international equity, emerging
market equity, risk parity, real return and emerging
market debt portfolios ending the year in negative
territory. Real estate and private equity investments
realized impressive returns, providing returns well in
excess of their benchmarks. Internally managed
domestic equity portfolios also returned positive
returns and outperformed the indexes. The
performance of the international equity, emerging
market equity, absolute return, real return and
emerging market debt portfolios exceeded the
associated benchmarks, as well.
During the year, the PSF(SBOE) continued to
implement its strategic asset allocation plan. The
PSF(SBOE) strategic asset allocation reduces theFund's risk profile while improving its expected return.
The strategic asset allocation of the PSF(SBOE)
includes a 21% allocation to domestic equities, 19%
allocation to international equities including emerging
markets, 12% allocation to core fixed income, 7%
allocation to emerging market debt, and a 41%
allocation to alternative assets. Alternative assets
include absolute return, risk parity, private equity, real
estate, and real return strategies (TIPS and
commodities).
Additional information about performance is included
in the chart on the following page. The information
shown is for fiscal year periods ending August 31 and
includes comparisons to established benchmarks for
the same time periods. Benchmark compositions are
defined in the footnotes. Investment performance is
calculated using a time weighted rate of return.
Returns are calculated using standard industry
practices. Total return takes into account the change
in the fair value of the Fund during the year as well as
all net income generated by PSF(SBOE) investments.Figure 4
TEXAS PERMANENT SCHOOL FUND
Time Weighted Returns by Portfolio
For Fiscal Year Ended August 31, 201525.00%
20.00%15.00%
10.00%
5.00%
W 0.00%
-5.00%
-10.00%
-15.00%-20.00% -
-25.00%
Domestic
Equities
Performance 0.67%
Benchmark 0.54%Inter-
national
Equities
-12.05%
-12.35%Emerging
Market
Equity*
-15.30%
-15.73%Fixed Absolute Private
Real Estate
Income Return Equity
1.48% 2.60% 12.97% 13.02%
1.56% 1.49% 7.37% 6.75%* Asset class held for less than one year; performance noted is inception to date.
58
r
Risk Parity
-9.47%
1.06%Real
Return
-15.31%
-16.05%Emerging
Market
Debt
21.30%
-21.54%
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Permanent School Fund (Texas). Texas Permanent School Fund Comprehensive Annual Financial Report: 2015, report, Autumn 2015; Austin, Texas. (https://texashistory.unt.edu/ark:/67531/metapth838482/m1/64/: accessed July 17, 2024), University of North Texas Libraries, The Portal to Texas History, https://texashistory.unt.edu.; crediting UNT Libraries Government Documents Department.