CalPERS Total Fund Monthly Update, Mar. 31, 2013

Attachment 1, Page 1 of 42
CalPERS
Total Fund Monthly Update

M O NT H EN DI NG M AR CH 3 1, 20 1 3
CalPERS Total Fund Monthly Update

Month Ending March 31, 2013
Section I: Asset Allocation and Risk

Asset Allocation and Unfunded Commitments Top 20 Exposures: Public Markets Total Fund Risk Profile
Section II: Investment Performance

Net Performance Summary Net Performance vs. Expected Returns
Section III: Investment Policy and Compliance

Policy Violations Disclosure of Closed Session Action Items Spring-Fed Pool Contract Status Quarterly Report Investment Policy Administrative Changes
Section IV: Investment Transactions

Items Completed Under Delegated Authority Summary Disclosure of Placement Agent Fees Investment Transactions Summary Investment Proposal Activity Summary
Section V: Affiliate and Other Funds

Asset Allocation Risk Profile Net Performance Summary Gross Performance Summary Policy Violations Investment Transactions Summary
Note: Sections I IV report on the PERF unless otherwise noted.
Section I
Asset Allocation and Risk

Asset Allocation and Unfunded Commitments (as of March 31, 2013)
ARS, $5.2, 2% Inflation, $9.8, 4% Real Assets, $24.5, 9%
Liquidity, $9.6, 4% MAC, $0.5, 0%
Income, $41.2, 16%
Growth, $166.6, 65%
Chart in ($billions)
Asset Allocation as of March 31, 2013

Growth Strategic Target Range %
1
Public Equity 1 42-56% 50% 52% 2% $128.7 $134.6 $5.9 69% 31% 83% 17%
Private Equity 1 10-18% 14% 12% (2% ) $36 0 $32 0 ($4.1) 0% 100% 0% 100%
Income 11-21% 17% 16% (1% ) $43 8 $41 2 ($2.6) 0% 100% 91% 9%
Liquidity 1-7% 4% 4% (0% ) $10.3 $9 6 ($0.7) 0% 100% 100% 0%
Real Assets 8-18% 11% 10% (1% ) $28 3 $24 5 ($3.9) 0% 100% 0% 100%
Real Estate 7-13% 9% 8% (1% ) $23.2 $21.1 ($2.1) 0% 100% 0% 100%
Forestland/ Infrastructure 1-5% 2% 1% (1% ) $5.1 $3.4 ($1.8) 0% 100% 0% 100%
Inflation 1-7% 4% 4% (0% ) $10 3 $9.8 ($0.5) 0% 100% 100% 0%
ARS 3
Multi-Asset Class (MAC)
Total Fund N/A N/A N/A $257.4 $257.4 N/A 36% 64% 65% 35%
56-70% 64% 65% 1% $164.7 $166 6 $1.8 56% 44% 67% 33%
Interim Strategic Target % 2 Actual Investment % Variance % (Strategic vs. Actual) Interim Strategic Target ($billions) Actual Investment ($billions) Variance $(Interim Strategic vs. Actual) ($billions) % Passive % Active % Internal % External
1
N/A 2% N/A N/A $5 2 N/A 0% 100% 0% 100%
N/A 0% N/A N/A $0 5 N/A 0% 100% 0% 100%
2 3
Equity overlay and lending income are included in International Equity, undistributed lending income is included in Global Equtiy, currency overlay funds are included in Liquidity, the Global Equity Cash Account is included in Domestic Equity, and the Domestic Fixed Income Transition Account is included in Domestic Fixed Income. Interim strategic targets adopted by Board at the August 17, 2011 Investment Committee meeting This report provides invested dollars and does not include futures overlay; notional value of futures = $5.2 billion
Unfunded Market Commitments as of March 31, 2013

Private Equity Funded Fair Market Value (FMV) Unfunded Commitment (UC) FMV + UC Real Estate (as of December 31, 2012) Infrastructure (as of December 31, 2012) Forestland (as of December 31, 2012) Corporate Governance (as of February 28, 2013)
$(in Billions) % Allocation $(in Billions) % Allocation $32 0 12% $21.1 8% $10 9 $42.8 4% 17% $8.4 $29.5 3% 11%
$(in Billions) % Allocation $(in Billions) % Allocation $(in Billions) % Allocation $1.1 0% $2.3 1% $4.6 2% $5 $1.6 0% 1% $0 $2.3 0% 1% $.1 $4.7 0% 2%
I-1
Top 20 Exposures: Public Markets (as of March 31, 2013)
Total Global Fixed Company Name 1 1 2 3 4 5 6 7 8 9 EXXON MOBIL CORP APPLE INC GENERAL ELECTRIC CO AT&T INC NESTLE SA REG HSBC HOLDINGS PLC WELLS FARGO & CO CHEVRON CORP JPMORGAN CHASE & CO Total Global Equity 2 $1273.2 $1213.6 $735.4 $653.7 $788.8 $625.7 $633.1 $740.0 $606.4 $660.4 $701.7 $695.7 $684.3 $466.4 $645.8 $643.5 $629.2 $436.6 $550.6 $456.6 Income $0 $0 $298.7 $190.1 $0 $161.2 $152.2 $39.9 $160.1 $82.1 $0 $0 $0 $188.6 $0 $0 $0 $167.3 $0 $88.3
3
Market Value (Millions) $1273.2 $1213.6 $1034.1 $843.7 $788.8 $786.9 $785.2 $780.0 $766.4 $742.6 $701.7 $695.7 $684.3 $655.0 $645.8 $643.5 $629.2 $603.8 $550.6 $544.9
% of Total Fund 0.48% 0.48% 0.39% 0.32% 0.32% 0.29% 0.29% 0.29% 0.28% 0.28% 0.27% 0.27% 0.26% 0.25% 0.23% 0.23% 0.23% 0.23% 0.23% 0.22%
10 PFIZER INC 11 MICROSOFT CORP 12 JOHNSON & JOHNSON 13 INTL BUSINESS MACHINES CORP 14 BANK OF AMERICA CORP 15 ROYAL DUTCH SHELL PLC* 16 PROCTER & GAMBLE CO 17 GOOGLE INC CL A 18 CITIGROUP INC 19 SAMSUNG ELECTRONICS CO LTD 20 VERIZON COMMUNICATIONS INC
1 Only includes Global Equity and Fixed Income assets custodied with master custodian 2 Source for Global Equity values State Street Bank 3 Source for Global Fixed Income values Blackrock Solutions
*Includes both Class A and Class B shares of common stock
I-2
Total Fund Risk Profile (as of March 31, 2013)
I-3
Section II
Investment Performance
Net Performance Summary (as of March 31, 2013)
II-1
Net Performance Summary (as of March 31, 2013)
1 Month Ending Market Value ($millions) 165,265 133,291 31,974 41,179 9,348 24,457 21,097 2,254 1,107 9,770 1,284 6,129 2,404 5,235 518 1,623 257,395 % of Total Assets 64.2 51.8 12.4 16.0 3.6 9.5 8.2 0.9 0.4 3.8 0.5 2.4 0.9 2.0 0.2 0.6 100.0 1.6 5
FYTD
1-Yr
3-Yr
5-Yr
10-Yr
TOTAL FUND SUMMARY GROWTH PUBLIC EQUITY PRIVATE EQUITY INCOME LIQUIDITY REAL REAL ESTATE FORESTLAND INFRASTRUCTURE INFLATION COMMODITIES INFLATION LINKED BONDS TACTICAL INFLATION ASSETS ABSOLUTE RETURN STRATEGIES MULTI-ASSET CLASS OVERLAY+TRANSITION+PLAN LEVEL PORTFOLIOS TOTAL FUND
Fund Excess Fund Excess Fund Excess Fund Excess Fund Excess Fund Excess Rate of Return Rate of Return Rate of Return Rate of Return Rate of Return Rate of Return Return in Bps Return in Bps Return in Bps Return in Bps Return in Bps Return in Bps 2.0 2.0 2.2 0.0 0.1 1.1 0.5 6.8 2.9 0.5 0.4 0.7 0.2 1.1 1.8 0 4 (11) (2) (6) (112) (162) 83 279 (18) (36) (38) (31) 67 117 16.4 18.8 8.4 2.6 0.4 4.0 3.7 6.9 4.6 6.2 8.1 4.0 72 41 216 122 (28) (321) (398) (44) 154 76 (38) (209) 12.5 12.0 13.8 6.7 1.7 12.0 12.7 6.9 9.3 0.8 (5.0) 5.3 (144) 28 (652) 117 (57) 230 234 (85) 354 (221) 1 (190) 9.9 8.6 14.3 8.9 1.8 7.1 7.9 (2.3) 20.1 7.9 3.3 8.4 28 26 147 26 (28) (466) (552) (534) 1,325 101 22 (47) 3.3 3.0 5.5 8.2 1.5 (11.1) (12.4) 0.0 13.3 0.6 (9.4) 4.9 (171) (63) (565) 84 (14) (1,403) (1,618) (261) 674 (74) 39 (28) 9.6 92 11 9 7.4 25 33 25 (72) (36) (99) 92 1 (550) (679)
6.7
272
5.6
22
3.3
(219)
1.7
(440)
55
(331)
11.9
136
10.9
36
9.1
(22)
2.8
(230)
8.1
(83)
Total Fund Inception to Date Net Return: 8.57%. Inception date: 07/01/1988
Note: Returns for periods greater than one year are annualized.
II-2
Net Performance vs. Long-Term Expected Returns (one year period ending March 31, 2013)
CalPERS Long-Term Actual Asset Class Allocation (%) Public Equity Private Equity Total Growth Income Real Estate Forestland Infrastructure Total Real Inflation Linked Bonds Commodities Total Inflation Absolute Return Strategy (ARS) 1 Liquidity Multi-Asset Class 4 52 12 65 16 10 1 0 10 3 1 4 2 4 0 1-Year Net Asset Return (%) 12.0 13.8 12.5 6.7 12.7 6.9 9.3 12.0 (5.0) 5.3 0.8 5.6 1.7 3.25 3.63 1.87 7.22 3.50 5.00 5.77 27.58 3.75 7.00 7.00 7.00 5.74 14.18 18.34 13.92 Expected Annual Return 1, 2 (%) 7.75 9.00 Current Projected Standard Deviation 5 (%) 18.15 19.49
Current +/- One Standard Deviation Range (%) (10.40) (10.49) 25.90 28.49 Expected Standard Deviation1 (%) 16.00 26.00 +/- One Standard Deviation Range 3 (%) (8.25) (17.00) 23.75 35.00
(1.99) (7.18) (11.34) (6.92)
9.49 21.18 25.34 20.92
6.50 14.00 10.00 10.00
(2.75) (7.00) (3.00) (3.00)
10.25 21.00 17.00 17.00
(2.27) (22.58)
9.27 32.58
6.00 21.00
(2.50) (16.00)
9.50 26.00
(3.63) 1.38 (7.22)
3.63 5.12 7.22 6.20 (2.95) 0.00 9.45 0.00
Total Fund
1 2 3
100
10.9
7.38
13.11
(5.73)
20.49
11.92
(4.54)
19.30
Investment Committee meeting December 2010 excluding ARS which was not forecasted. These are the capital markets assumptions used in the 2010 Strategic Asset Allocation Study. Compound return Standard Deviation is a measure of variability of returns around the expected average return. Returns are expected to be within minus one and plus one standard deviation 67% of the time, or two out of every three years. Note: The Global Equity Transition Account is included in Domestic Equity, the Fixed Income Transition Account is included in Domestic Fixed Income, and the currency overlay funds are included in Liquidity for Asset Allocation purposes. Multi-Asset Class began funding in December 2012 Due to implemenation of new Risk model, all Current Projected Standard Deviations are as of February 28, 2013.
4 5
II-3
Section III
Investment Policy and Compliance

Policy Violations
Material Exceptions to Policy

According to policy requirements, the following is a summary of investment policy violations as reported by the program areas. The following program areas had no violations to report for the month of March: o o o o o o o Private Equity Real Assets Absolute Return Strategies Global Governance Asset Allocation Risk Management Investment Servicing
III-1
Policy Violations
Policy Violations: New

Program Area or Asset Class Event Date Resolution Date Policy Violated Event Description Resolution (expected) or Next Steps The following steps were taken by ICOR to resolve and mitigate this event: The issuer code of the restricted company has been manually input on the security record. CalPERS inadvertently executed trades in a security which was on the CalPERS Restricted List. Specifically, although the security was restricted in the Charles River system, the issuer code (which is needed to link the Statement of Investment Policy for Insider Trading company to the security) was not populated on the security record. As a result, the compliance process in Charles River did not flag the security as restricted when the trades were loaded. Interviews were conducted to confirm whether INVO staff involved with the trading had material non-public information (MNPI). ICOR confirmed with the affected staff that they were not in possession of MNPI. A new pre-trade rule has also been implemented to alert ICOR whenever a security without an issuer code is traded. (The alert will allow for the verification against the restricted list before allowing the trade to be executed.) No gain, loss or other costs were incurred as a result. The following steps were taken by ICOR to resolve and mitigate this event: The issuer code of the equity securities has been added to the restricted list so that any CalPERS inadvertently executed trades in a security trades going forward will be captured within the which was on the CalPERS Restricted List. Specifically, compliance process. although the security was restricted in the Charles River system, there was more than one issuer code Interviews were conducted to certain whether associated with the restricted security. Given that the INVO staff involved with the trading had material Statement of Investment Policy for Insider Trading issuer code links the company to the security record in non-public information (MNPI). ICOR confirmed this instance, the issuer code added to the restricted with the affected staff that they were not in list only captured fixed income securities and not equity possession of MNPI. securities. As a result, the compliance process in Charles River did not flag the security as restricted when The process for adding securities has also the trades were loaded. been updated to do a review of issuers by name to identify whether there are multiple codes for a company. No gain, loss or other costs were incurred as a result.
Global Equity
3/12/2013
4/30/2013
Global Equity
2/19/2013
4/30/2013
III-2
Policy Violations
Existing
Program Area or Asset Class Event Date Resolution Date Policy Violated Violation Description Event Description and Resolution (expected) or Next Steps The violation was caused when the market value of the Short Duration Program decreased due to maturities and partial return of principal, resulting in the concentration of the security to exceed 15% (currently at approximately 17%). As of February 2013, the security has 0.21 years weighted average life. The Global Fixed Income Senior Investment Officer recommends holding the security until maturity due to the high quality of the collateral, short weighted average life and expected yield.
Fixed Income
Statement of Investment Policy for Low 5/15/13 or 7/18/2012 Duration Fixed Income Program (Short earlier Duration Fund).
"MBNA Credit Card Master Trust Note" (MBNANT 2006-A5 A5 10/15/15) exceeded the 15% concentration limit for structured securities in the SDF Program with less than 1.5 years of weighted average life (WAL).
III-3
Disclosure of Closed Session Action Items
Investment Committee Meeting No items to report
Agenda Item
Investment Committee Action
Vote
III-4
Spring-Fed Pool Contract Status Quarterly Report (for quarter ending March 31, 2013)
The report details Letter of Engagement (LOE) commitments, by the Investment Office, for spring-fed pool contractors. Actual expenditures against these commitments may be less, but never greater than this amount, unless agreed upon by CalPERS through an amended LOE.
Qua rte r Q1 P ro g ra m PE P o o l N a me Private Equity Consulting Spring-Fed Pool Co ns ulta nt Altius Associates (Contract #2011-6235) S ta rt D a te 09/13/12 E nd D a te 11/12/12 LOE D e s c rip tio n Consulting Services - Due Diligence Assistance Consulting Services - Due Diligence Assistance Co mmitme nt $30,000 S e le c tio n R e a s o n Best value (determined through bid request proposals) Best value (determined through bid request proposals) Best value (determined through bid request proposals) Best value (determined through bid request proposals) Only pool contractor with the expertise to perform work Best value (determined through bid request proposals) Best value (determined through bid request proposals) Best value (determined through bid request proposals) Only vendor with experience on prior project, which vendor will revisit in addition to other services Best value (determined through bid request proposals) Only pool contractor with the expertise to perform work Best value (determined through bid request proposals)
Q3
01/14/13
03/15/13
$30,000
Subtotal
Q1 PE Private Equity Consulting Spring-Fed Pool Cambridge Associates (Contract #2011-6237) 09/06/12 11/05/12 Consulting Services - Due Diligence Assistance Consulting Services - Due Diligence Assistance Consulting Services - Due Diligence Assistance
$60,000
$45,000
Q2 Q2
10/05/12 12/04/12
12/04/12 05/30/13
$45,000 $90,000
Subtotal
Q2 ISD Private Equity Consulting Spring-Fed Pool Duff & Phelps (Contract #2011-6090) 12/10/12 03/31/13 Valuation Policy Development
$180,000
$120,000
Subtotal
Q1 Infrastructure & Forestland Private Equity Consulting Spring-Fed Pool FTI Consulting (Contract #2011-6094) 08/10/12 12/31/12 Tax and Accounting Due Diligence Project Piano- Tax and Accounting Private Equity Special Project-Fund Analysis
$120,000
$120,000
Q3
02/21/13
06/30/13
$85,000
Q3
PE
02/01/13
06/01/13
$150,000
Subtotal
Q1 Q1 Q3 PE Private Equity Consulting Spring-Fed Pool Hamilton Lane (Contract #2011-6082) 07/23/12 08/28/12 01/04/13 09/21/13 10/27/12 03/05/13 Consulting Services - Due Diligence Assistance Consulting Services - Due Diligence Assistance Consulting Services - Due Diligence Assistance
$355,000
$100,000 $100,000 $35,000
Subtotal
$235,000
III-5
Qua rte r Q3
P ro g ra m Infrastructure & Forestland
P o o l N a me Private Equity Consulting Spring-Fed Pool
Co ns ulta nt Loop Capital Markets (Contract #2011-6242)
S ta rt D a te 02/06/13
E nd D a te 04/01/13
LOE D e s c rip tio n Project Joe Prudent Person Opinion
Co mmitme nt $45,000
Q3
02/20/13
03/31/13
Project Piano - Financial Due Diligence Project Piano - Financial Due Diligence Subcontract Arrangement w/ Operis (Amendment to Increase LOE from Q3 FY 12-13)
$150,000
S e le c tio n R e a s o n Best value (determined through bid request proposals) Best value (determined through bid request proposals) Best value (determined through bid request proposals) Best value (determined through bid request proposals) Best value (determined through bid request proposals) Only pool contractor with the expertise to perform work
Q3
03/11/13
03/31/13
$20,000
Subtotal
Q1 PE Private Equity Consulting Spring-Fed Pool SL Capital Partners (Contract #2011-6098) 08/29/12 10/28/12 Consulting Services - Due Diligence Assistance
$215,000
$25,000
Subtotal
Q1 PE Private Equity Consulting Spring-Fed Pool Private Equity Consulting Spring-Fed Pool Strategic Investment Solutions (Contract #2011-6098) UBS Securities LLC (Contract #2011-6091) 07/23/12 09/20/12 Consulting Services - Due Diligence Assistance
$25,000
$40,000
Subtotal
Q2 PE 11/27/12 04/01/13 Investment Banking Services
$40,000
$950,000
Subtotal Total Private Equity Committed Amount

Q2 TIP Diversity Consulting Services Spring-Fed Pool General Pension Consultant Spring-Fed Pool RG & Associates (Contract #2010-6009) Cutter & Associates (Contract #2009-5104) 10/19/12 06/30/13 Outreach Initiative Projects for Emerging Manager Programs
$950,000 $2,180,000
$30,000 Existing knowledge of the investment or organization Existing knowledge of the investment or organization Existing knowledge of the investment or organization Best value (determined through bid request proposals) Best value (determined through bid request proposals) Existing knowledge of the investment or organization Best value (determined through bid request proposals)
Total Diversity Committed Amount

Q1 Q1 ISD 09/10/12 09/10/12 02/28/13 02/28/13 Target Operating Model Refresh Target Operating Model Refresh (Amendment to Increase LOE from Q1 FY 12-13) INVO Roadmap Implementation
$30,000
$212,800 $61,600
Q3
02/13/13
06/28/13
$212,000
Subtotal
Q1 Q3 Q3 Infrastructure & Forestland General Pension Consultant Spring-Fed Pool Mercer Investment Consulting, Inc. (Contract #2009-5110) 08/10/12 01/14/13 02/20/13 12/31/12 03/08/13 03/31/13 Insurance Due Diligence (Subcontract arrangement with Marsh Risk & Insurance Services ) Investment Analysis Insurance Due Diligence (Subcontract arrangement with Marsh Risk & Insurance Services )
$486,400
$75,000 $35,000 $40,000
Subtotal
$150,000
III-6
Qua rte r Q1
P ro g ra m TIP
P o o l N a me General Pension Consultant Spring-Fed Pool General Pension Consultant Spring-Fed Pool
Co ns ulta nt Pacific Community Ventures (Contract #2009-5116) Pension Consulting Alliance, Inc (Contract #2009-5105)
S ta rt D a te 08/20/12
E nd D a te 06/30/13
LOE D e s c rip tio n CalPERS for California Report
S e le c tio n R e a s o n Existing knowledge of the investment or organization
Subtotal
Q2 Q2 PBSD INVO 11/19/12 07/01/12 09/30/13 06/30/13 CalPERS Investment Beliefs (Subcontract arrangement with Towers Watson) Board Investment Consulting Services
$355,000
$275,000 $150,000 Procured through RFI process Existing knowledge of the investment or organization Best value (determined through bid request proposals)
Subtotal
Q2 AP General Pension Consultant Spring-Fed Pool R.V. Kuhns (Contract #2009-5112) 11/06/12 06/28/13 Investment Lineup & Target Retirement Date Glidepath Update
$425,000
$75,000
Subtotal Total General Pension Committed Amount

Q2 Global Governance Global Governance Global Equity General Consultant Spring-Fed Pool Global Equity General Consultant Spring-Fed Pool Garland Associates, Inc. (Contract #2010-5960) Governance Holdings Co (Contract #2010-5959) 01/15/13 03/15/13 Proxy Solicitation Services for Apple Inc.
$75,000 $1,491,400
$26,000 Specialized expertise: Proxy Solicitation Specialized expertise: Comprehensive data set Specialized expertise: Comprehensive data set Best value (determined through bid request proposals) Existing project, continued with new contract Existing project, continued with new contract Existing project, continued with new contract
Subtotal
Q2 Q2 09/17/12 09/14/12 11/16/12 11/16/12 US State and Select Foreign Country Corporate Law Default Rules Governance Trends Report 2012
$26,000
$15,000 $37,500
Subtotal
Q1 Global Governance Global Equity General Consultant Spring-Fed Pool Mercer Investment Consulting, Inc (Contract #2010-5950) 08/24/12 06/30/13 Investment, Environmental, Social, and Governance (IESG) Integration Total Fund Principles on Sustainability
$52,500
$450,000
Subtotal
Q1 Q2 Q3 ARS GE Global Equity General Consultant Spring-Fed Pool Mosaic Investment Advisors, Inc. (Contract #2010-5945) 10/15/12 11/01/12 03/01/13 10/14/13 02/28/13 11/30/13 Absolute Return Strategies Services Global Equity Brokerage Services Global Equity Brokerage Services
$450,000
$150,000 $163,444 $490,331
Subtotal
Q2 ARS Global Equity General Consultant Spring-Fed Pool PAAMCO (Contract #2010-5947) 11/01/12 10/31/13 Absolute Return Strategies (ARS) Fund Administration
$803,775
$250,000 Only vendor in pool with knowledge and experience to meet objectives of project
Subtotal
Q2 ARS Global Equity General Consultant Spring-Fed Pool UBS Alternative and Quantitative Investments, LLC (Contract #2010-5943) 11/01/12 10/31/13 Absolute Return Strategic Advisory Services
$250,000
$6,000,000 Existing project, continued with new contract
Subtotal
$6,000,000
III-7
Qua rte r Q1
P ro g ra m Real Estate
P o o l N a me Global Equity General Consultant Spring-Fed Pool
Co ns ulta nt Wilcox Miller & Nelson (Contract #2010-5956)
S ta rt D a te 07/01/12
E nd D a te 12/31/12
LOE D e s c rip tio n Board Recruitment Advisory Services (Bentall Kennedy)
S e le c tio n R e a s o n Existing knowledge of the investment or organization
Subt ot al Tot al G lobal Equit y Commit t ed Amount

Q1 Infrastructure & Forestland ILAC Spring-Fed Pool Brock Capital Group (Contract #2008-4931) 08/20/12 12/31/12 Prudent Person Opinion
$75,000 $7,657,275
$64,000 Best value (determined through bid request proposals) Best value (determined through bid request proposals) Experience with CalPERS business process Experience with CalPERS business process Only pool contractor with the expertise to perform the work
Subt ot al
Q3 Infrastructure & Forestland ILAC Spring-Fed Pool Courtland Partners Ltd. (Contract #2008-4929) 02/20/13 03/31/13 Project Piano- Prudent Person Opinion
$64,000
$22,599
Subt ot al
Q1 Q3 Infrastructure & Forestland ILAC Spring-Fed Pool Meketa Investment Group (Contract #2008-4936) Infrastructure & Forestland ILAC Spring-Fed Pool LP Capital (Contract #2008-4935) 03/29/12 03/02/13 03/01/13 03/01/14 Infrastructure Program Support (Amendment to Increase LOE from Q3 FY 11-12) Infrastructure Program Support
$22,599
$23,825 $113,825
Subt ot al
Q2 10/08/12 06/30/13 Forestland Strategic Review
$137,650
$75,000
Subt ot al Tot al I nf rast ruct ure and Forest land Commit t ed Amount
Q2 ICOR Real Estate Consulting Services Aon Risk Insurance Services West, Inc. (Contract #2011-6365) 10/01/12 01/31/12 Operating Risk Heat Map and Target Operating Model Refresh
$75,000 $299,249
$105,000 Only vendor with knowledge and experience to meet objectives of project
Subt ot al
Q1 Real Estate Real Estate Consulting Services Spring-Fed Pool Bard Consulting LLC (Contract #2010-5565) 10/28/11 06/30/12 Consulting Services - Developing Sector Plans - Phase II (Amendment to Increase LOE from Q2 FY 11-12) Portfolio Monitoring Assistance Incentive Fee Review Consulting Services - Incentive Fee Payment Analysis (Amendment to Increase LOE from Q3 FY 12-13) Apartment Manager Prudent Person Opinion Consulting Services Prudent Person Opinion Modeling and Incentive Fee Analysis Portfolio Performance Attribution Annual Investment Plan Review
$105,000
$55,000 Existing knowledge of the investment or organization Existing project, continued with new contract Existing knowledge of the investment or organization Existing knowledge of the investment or organization Experience with CalPERS business process Experience with CalPERS Investments (Hines) Existing knowledge of the investment or organization Existing knowledge of the investment or organization Existing knowledge of the investment or organization
Q1 Q1
07/01/11 08/15/12
06/30/12 06/30/13
$170,000 $475,000
Q2
03/12/12
06/30/12
$35,000
Q2 Q2 Q2 Q3 Q3
10/15/12 10/24/12 11/01/12 01/01/13 02/27/13
03/31/12 06/30/13 06/30/13 06/30/13 06/30/13
$30,000 $70,000 $150,000 $95,000 $150,000
Subt ot al
$1,230,000
III-8
Qua rte r Q1
P ro g ra m Real Estate
P o o l N a me Real Estate Consulting Services Spring-Fed Pool
Co ns ulta nt Callan Associates, Inc. (Contract #2010-5562)
S ta rt D a te 12/08/11
E nd D a te 06/30/12
LOE D e s c rip tio n Consulting Services - Review of Contract Terms (Amendment to Increase LOE from Q1 FY 11-12) Portfolio Monitoring Assistance Portfolio Monitoring Assistance (Amendment to Increase Cost LOE from Q1 FY 12-13) Portfolio Monitoring Assistance (Amendment to Increase Cost LOE from Q1 FY 12-13)
S e le c tio n R e a s o n Best value (determined through bid request proposals) Existing project, continued with new contract Existing project, continued with new contract Existing project, continued with new contract
Q1 Q2
07/01/12 07/01/12
06/30/13 06/30/13
$740,000 $56,250
Q3
07/01/12
06/30/13
$150,000
Subtotal
Q1 Q1 Q1 Real Estate Real Estate Consulting Services Spring-Fed Pool Courtland Partners, Ltd. (Contract #2010-5558) 07/01/12 09/21/12 10/12/12 08/31/12 10/31/12 10/31/12 Due Diligence Assistance Due Diligence Assistance Report Review and Update 2012-2013 A P Report Review and Update 2012-2013 A P (Amendment to Decrease Cost LOE from Q1 FY 12-13) Report Review and Update 2012-2013 A P Report Update -Consulting Services Analysis of Potential Investment FY 2013-2014 Annual Investment Plan Due Diligence Infrastructure Project Genus Custom Account Due Diligence Infrastructure Project Genus Custom Account Subcontract arrangement with Scherzer (Amendment to Increase LOE from Q3 FY 12-13)
$966,250
$30,000 $6,000 $6,000 Existing project, continued with new contract Existing knowledge of the investment or organization Specialized expertise: Knowledge of A P review Specialized expertise: Knowledge of A P review Existing knowledge of the investment or organization Existing knowledge of the investment or organization Existing knowledge of the investment or organization Best value (determined through bid request proposals) Best value (determined through bid request proposals)
Q2
10/12/12
10/31/12
($6,000)
Q2 Q2 Q3 Q3 Infrastructure & Forestland
12/07/12 12/10/12 02/07/13 01/29/13
12/31/12 05/15/13 06/30/13 04/01/13
$10,500 $10,000 $180,000 $22,600
Q3
01/29/13
04/01/13
$15,000
Subtotal
Q1 Q2 Q2 Q3 Q3 PE Real Estate Real Estate Consulting Services Spring-Fed Pool Crosswater Realty Advisors, LLC (Contract #2010-5557) 07/01/12 10/12/12 10/12/12 02/14/13 02/08/13 06/30/13 01/31/13 06/30/13 06/30/13 05/09/13 Portfolio Monitoring Assistance Commingled Fund Review Consulting Services Investment Review Consulting Services Commingled Fund Review Private Equity Special Project - Emerging Manager Research Project
$274,100
$212,500 $100,000 $125,000 $345,000 $120,000 Existing knowledge of the investment or organization Experience with CalPERS business process Experience with CalPERS business process Existing knowledge of the investment or organization Only vendor with experience on prior project, which vendor will revisit in addition to other services
Subtotal
$902,500
III-9
Qua rte r Q1
P ro g ra m TIP
P o o l N a me Real Estate Consulting Services Spring-Fed Pool Real Estate Consulting Services Spring-Fed Pool
Co ns ulta nt JDM Associates, LLC. (Contract #2010-5552)
S ta rt D a te 07/01/12
E nd D a te 06/30/13
LOE D e s c rip tio n Consulting Services - Environmental Goal Initiative
S e le c tio n R e a s o n Existing project, continued with new contract
Subtotal
Q1 Real Estate Le Plastrier (Contract #2010-5550) 07/01/11 06/30/12 Consulting Services - Evaluation and Portfolio Review (Amendment to Increase LOE from Q1 FY 11-12) Consulting Services - Oversight and Management Consulting Services - Oversight and Management Consulting Services - Oversight and General Monitoring Consulting Services - Oversight and General Monitoring Consulting Services - Evaluation and Portfolio Review Consulting Services - Oversight and Management Consulting Services Manager Monitoring Consulting Services Monitoring and Reporting Consulting Services Manager Monitoring
$50,000
$150,000 Existing project, continued with new contract Existing knowledge of the investment or organization Existing knowledge of the investment or organization Existing knowledge of the investment or organization Existing knowledge of the investment or organization Existing knowledge of the investment or organization Existing knowledge of the investment or organization Existing knowledge of the investment or organization Existing knowledge of the investment or organization Existing knowledge of the investment or organization
Q1 Q1 Q1 Q1 Q1 Q1 Q1 Q1 Q1 Real Estate Consulting Services Spring-Fed Pool Real Estate Consulting Services Spring-Fed Pool
07/01/12 07/01/12 07/01/12 07/01/12 07/01/12 07/01/12 07/01/12 07/01/12 07/01/12
06/30/13 06/30/13 06/30/13 06/30/13 06/30/13 06/30/13 06/30/13 06/30/13 06/30/13
$380,000 $420,000 $260,000 $160,000 $440,000 $920,000 $150,000 $320,000 $260,000
Subtotal
Q3 Real Estate LP Capital Advisors, LLC (Contract #2010-5548) 02/25/13 06/30/13 Bentall Kennedy Direct Investment Monitoring
$3,460,000
$90,000 Existing knowledge of the investment or organization Best value (determined through bid request proposals) Best value (determined through bid request proposals)
Subtotal
Q1 Infrastructure & Forestland Navigant Consulting (Contract #2010-5574) 08/08/12 12/31/12 Technical and Market Due Diligence Project Piano - Market and Technical Adviser
$90,000
$200,000
Q3
02/20/13
03/31/13
$130,000
Subtotal
Q1 Real Estate Real Estate Consulting Services Spring-Fed Pool Nichols Consulting (Contract #2010-5573) 12/15/11 11/30/12 Consulting Services - Quarterly and Annual Monitoring Process (Amendment to Increase LOE from Q2 FY 11-12) Consulting Services - PMG Initiatives Consulting Services - Quarterly and Annual Monitoring Process Consulting Services - Annual Budgeting and Planning Initiative
$330,000
$30,000 Existing knowledge of the investment or organization Experience with CalPERS business process Existing knowledge of the investment or organization Specialized expertise: Continuing Budget & Planning Project
Q1 Q1 Q2
07/01/12 10/15/12 10/15/12
06/30/13 11/30/13 10/31/12
$41,100 $240,000 $210,000
Subtotal
$521,100
III-10
Qua rte r Q1
P ro g ra m TIP
P o o l N a me Real Estate Consulting Services Spring-Fed Pool Real Estate Consulting Services Spring-Fed Pool
Co ns ulta nt Pension Consulting Alliance, Inc. (Contract #2010-5571)
S ta rt D a te 04/01/12
E nd D a te 03/31/13
LOE D e s c rip tio n Program Review (Responsible Contractor Program Policy)
S e le c tio n R e a s o n Approved by Board
Subtotal
Q1 Infrastructure & Forestland RBC Capital Markets (Contract #2010-5569) 08/08/12 12/31/12 Financial and Regulatory Due Diligence Assistance Financial and Regulatory Due Diligence Assistance Subcontract arrangement with Operis (Amendment to Increase LOE from Q1 FY 12-13)
$30,000
$500,000 Best value (determined through bid request proposals) Best value (determined through bid request proposals)
Q1
08/08/12
12/31/12
$15,000
Subtotal
Q1 Real Estate Real Estate Consulting Services Spring-Fed Pool Townsend (Contract #2010-5567) 07/01/12 06/30/13 Consulting Services - Portfolio Analysis and Research
$515,000
$175,000 Experience with ODCE Index Funds
Subtotal Total Real Estate Committed Amount

Q1 Q2 PBSD PE EXEC Spring-Fed Pool HRSD Spring-Fed Pool J&K Court Reporting (Contract #2010-5681) Senn-Delaney (Contract 2009-5222) ESPD Spring-Fed Pool Starting Point (Contract #2011-6205) 08/10/12 01/15/13 05/17/13 02/01/13 INVO Office Executive Strategic Leadership and Performance Improvement INVO Office Private Equity Staff Forum RFP Bidder's Conference Recording Assistance CalPERS Private Equity Culture Alignment New INVO Employee Training Sessions
$175,000 $8,648,950
$75,000 $5,500 Only pool contractor with the expertise to perform work Only pool contractor with the expertise to perform work Only pool contractor with the expertise to perform work Only pool contractor with the expertise to perform work Only pool contractor with the expertise to perform work
Total ESPD Committed Amount

Q1 ISD 09/13/12 09/18/12
$80,500
$658
Total EXEC Committed Amount

Q2 Q2 INVO 06/15/12 08/27/12 12/31/12 06/30/13
$658
$120,525 $62,000
Total HRSD Committed Amount Grand Total Spring-Fed Pool Consultants Committed Amount
$182,525 $20,570,557
III-11
Qua rte r Q1
P ro g ra m Investment Servicing Investment Servicing Investment Servicing
P o o l N a me IT Spring-Fed Pool
Co ns ulta nt MK Partners
S ta rt D a te 07/01/12
E nd D a te 06/30/13
LOE D e s c rip tio n IPTS Maintenance, Support & Enhancements
S e le c tio n R e a s o n Existing project, continued with new contract Existing project, continued with new contract Best value (determined through bid request proposals) Best value (determined through bid request proposals)
Subtotal
Q3 IT Spring-Fed Pool Cambria 03/15/13 03/14/14 AREIS Maintenance
$122,500
$585,190
Subtotal
Q1 IT Spring-Fed Pool Capio Group 08/13/12 02/28/13 Investment Contract Management Workflow Solution Investment Contract Management Workflow Solution (Amendment to Increase LOE from Q1 FY 12-13) Investment Contract Management Workflow Solution (Amendment to Increase LOE from Q1 FY 12-13)
$585,190
$64,000
Q2
08/13/12
02/28/13
$12,400
Q3
08/13/12
03/31/13
$6,800
Best value (determined through bid request proposals)
Subtotal
Q1 Q1 Q1 Investment Servicing IT Spring-Fed Pool Propoint Technology 09/24/12 09/24/12 04/04/12 09/23/13 09/23/13 04/03/13 PE ABOR & BOR Project Manager PE ABOR & BOR/ NVO Business Analyst PM2/Global Equity Business Analyst (Amendment to Increase LOE from Q4 FY 11-12) PM2/Global Equity Business Analyst (Amendment to Increase LOE from Q4 FY 11-12) PM2 Business Analyst PM2/Global Equity Alpha Platform/GEA3/Global Equity
$83,200
$201,240 $185,760 $30,240 Existing project, continued with new contract Existing project, continued with new contract Existing project, continued with new contract Existing project, continued with new contract Existing project, continued with new contract Existing project, continued with new contract Best value (determined through bid request proposals) Best value (determined through bid request proposals) Best value (determined through bid request proposals) Existing project, continued with new contract
Q2 Q2 Q2 Q2
04/04/12 10/01/12 11/12/12 12/10/12
04/03/13 09/30/13 11/11/13 12/06/13
$25,440 $185,760 $201,240 $97,524
Q3
02/11/13
05/31/13
Terminated Agency Pool Implementation
$36,600
Q3
03/22/13
08/15/13
Supplemental Income Plans Transition Salesforce com Application/TMU Support (Amendment to Increase LOE from Q4 FY 11-12)
$45,600
Q3
05/07/12
08/31/13
$52,942
Subtotal
$1,062,346
III-12
Qua rte r Q2
P ro g ra m Investment Servicing
P o o l N a me IT Spring-Fed Pool
Co ns ulta nt Pyramid Technology
S ta rt D a te 11/01/12
E nd D a te 10/31/13
LOE D e s c rip tio n Charles River SME & PM2 Project Resource
S e le c tio n R e a s o n Existing project, continued with new contract Best value (determined through bid request proposals) Best value (determined through bid request proposals) Best value (determined through bid request proposals)
Subtotal
Q2 Investment Servicing IT Spring-Fed Pool SaS International 12/01/12 11/29/13 Application Development/INVO Systems
$204,336
$139,320
Subtotal
Q1 Investment Servicing IT Spring-Fed Pool Stanfield Systems, Inc. 09/19/12 09/18/13 Global Equity Portfolio Management SME
$139,320
$388,548
Subtotal
Q3 Investment Servicing IT Spring-Fed Pool Trinity Technology Group, Inc 04/01/12 08/31/13 Performance Attribution/Fixed Income (Amendment to Increase LOE from Q4 FY 11-12)
$388,548
$52,839
Subtotal Total IT Committed Amount Grand Total Investment Office Committed Amount
$52,839 $2,638,279 $23,208,836
III-13
Investment Policy Administrative Changes (for quarter ending March 31, 2013)
Type of Review Date January 12, 2013 Policy Inflation Assets Policy Category Investment Asset Classes Revision Administrative Change - Other Administrative Change Comments Added clarity to avoid the possible appearance of allowing leverage Removed "AAA" rating for U.S. Treasury and U.S. Government Agency Securities in the Internally Managed Dollar-Denominated Short-Term Program attachment New benchmarks adopted to complete the migration of the Long-Term Care Fund and the California Employers' Retiree Benefit Trust to State Street Global Advisors
January 12, 2013
Liquidity Program
Investment Asset Classes
Administrative Change - Other Administrative Change
February 22, 2013
Benchmarks
Investment & Risk Management
Administrative Change - Benchmark Change
This report includes a summary of administrative changes for the period of January 1, 2013 to March 31, 2013. All changes have been reviewed and approved using the guidelines listed below and changes within staffs delegated authority. Going forward changes will be reported on a quarterly basis. Administrative change guidelines are: 1. Template Change - moving sections, merging policies or programs, updating template language. 2. Terminology Change - updates to create consistency among the asset class program policies, investment terms, etc. 3. Date Change - when policies are reviewed and require no action, dates will be updated to reflect current status. 4. Other Administrative Change other administrative changes within staffs delegated authority such as changes to improve clarity of the process and/or policy but that are not substantive in nature. 5. Benchmark Change the Benchmarks Policy authorizes staff to modify benchmarks as applicable. Staff is responsible to report to the Investment Committee quarterly on all benchmark changes.
III-14
Section IV
Investment Transactions
Items Completed Under Delegated Authority (for the month of March 31, 2013)
Program Area Real Estate Real Estate Real Estate
Name of Investment Hines CalPERS Russia Long Term Hold Institutional Core Multifamily Investors Meriwether Farms LLC*
Commitment 250,000,000 250,000,000 1,000,000
Initial Funding Date of Partnership Jan-13 Mar-13 Apr-04
Complies with Delegation Number 11-01-INV 11-01-INV 11-01-INV
Due Diligence Activities Conducted By Courtland Partners, LTD** Bard Consulting, Inc.** N/A
*Additional commitment to existing investment. ** A prudent person report was received.
IV-1
Disclosure of Placement Agent Fees (for the month of March 31, 2013)
Summary Disclosure REGISTERED Secretary of SEC/FINRA State Estimated Placement Agent Compensation
Program Area No Items to report
Firm Name
Fund
Placement Agent Firm
Transaction Type
Detailed Disclosure Firm Name No Items to report Fund Estimated Placement Agent Compensation
IV-2
Investment Transactions Summary Estimated Values (for the month of March 31, 2013)
Public Equity Beginning Market Value + Purchases - Sales + Unitized Fund Purchases - Unitized Fund Sales +/- Other Changes in MV Ending Market Value 131,882,591,727 2,607,597,349 (2,365,727,974) 13,000,000 (27,879,676) 2,486,423,453 134,596,004,878
REIT 779,900,711 66,316,750 (769,368,170) (8,224,013) 68,625,278
Income
PERF - Public Markets Inflation 9,719,959,946 530,215,834 (529,214,224) 48,750,952 9,769,712,508
ARS 5,178,171,184 (503,515) 57,609,279 5,235,276,948
Liquidity 10,730,302,758 1,460,487,000 (2,539,777,000) 6,484 (25,000,000) 12,374,576 9,638,393,818
MAC 508,674,500 9,000,000 517,674,500
40,689,226,904 3,220,316,244 (3,248,310,007) 500,000,000 45,512,449 41,206,745,590
Private Equity Beginning Market Value + Contributions - Distributions + Unitized Fund Purchases - Unitized Fund Sales +/- Other Changes in MV Ending Market Value
PERF - Private Markets Real Estate 20,591,310,155 169,532,519 (320,158,267) 587,478,661 21,028,163,068
Forestland 2,116,299,909 (2,758,217) 140,021,382 2,253,563,074
Infrastructure 1,081,109,242 25,702,705 1,106,811,947
31,719,373,863 290,268,888 (819,260,106) 783,442,837 31,973,825,482
Total Public Markets
Total PERF Total Private Markets
Total PERF 254,996,920,899 8,344,734,584 (10,595,077,480) 513,006,484 (52,879,676) 4,188,092,281 257,394,797,091 due to classification differences.
Beginning Market Value 199,488,827,730 55,508,093,169 + Contributions 7,884,933,177 459,801,407 - Distributions (9,452,900,890) (1,142,176,590) + Unitized Fund Purchases 513,006,484 - Unitized Fund Sales (52,879,676) +/- Other Changes in MV 2,651,446,696 1,536,645,585 Ending Market Value 201,032,433,519 56,362,363,571 Note: Numbers will not tie exactly to the Asset Allocation/Performance categories
IV-3
Investment Proposal Activity Summary (for the month of March 31, 2013)
IV-4
Section V
Affiliate and Other Funds

Asset Allocation (for the month of March 31, 2013)

Global Equity Defined Benefit Plans
Legislators' Retirement System Target Ranges % Strategic Target % Actual Investment % Variance % (Strategic vs. Actual) Judges' I Retirement System Target Ranges % Strategic Target % Actual Investment % Variance % (Strategic vs. Actual) Judges' II Retirement System Target Ranges % Strategic Target % Actual Investment % Variance % (Strategic vs. Actual) 58-68% 63% 63% 0% 0% 0% N/A N/A 15-25% 20% 20% (0%) 4-8% 6% 6% (0%) 6-10% 8% 8% 0% 1-5% 3% 3% 0% N/A 0% 0% 0% N/A N/A N/A 0% N/A N/A N/A 0% N/A N/A N/A 0% N/A N/A N/A 0% N/A N/A N/A 0% N/A N/A N/A 0% N/A N/A N/A 0% 100% 100% 100% 0% 27-37% 32% 32% 0% 0% 0% N/A N/A 37-47% 42% 42% (0%) 11-19% 15% 15% (0%) 6-10% 8% 8% 0% 1-5% 3% 3% (0%) N/A 0% 0% 0%
Domestic International Domestic Equity Equity Fixed
TIPS
REITs Commodities Cash
Note: Allocation targets approved at the August 15, 2011 Investment Committee meeting.
V-1
CalPERS Total Fund Update

Global Equity
Long-Term Care Fund Target Ranges % Strategic Target % Actual Investment % Variance % (Strategic vs. Actual) CERBT Strategy 1 Target Ranges % Strategic Target % Actual Investment % Variance % (Strategic vs. Actual) CERBT Strategy 2 Target Ranges % Strategic Target % Actual Investment % Variance % (Strategic vs. Actual) CERBT Strategy 3 Target Ranges % Strategic Target % Actual Investment % Variance % (Strategic vs. Actual) Health Care Bond Fund Variance % (Strategic vs. Actual) Contingency Reserve Fund Variance % (Strategic vs. Actual) 0% 0% 0% 0% 0% 0% 0% 0% 0% 0% 0% 0% 0% 0% 0% 0% 27-37% 32% 32% 0% 0% 0% N/A N/A 37-47% 42% 41% (1%) 11-19% 15% 15% (0%) 6-10% 8% 8% 0% 1-5% 3% 3% (0%) N/A 0% 0% 0% 45-55% 50% 50% 0% N/A N/A 19-29% 24% 24% (0%) 11-19% 15% 15% (0%) 6-10% 8% 8% 0% 1-5% 3% 3% (0%) N/A 0% 0% 0% 61-71% 66% 66% 0% N/A N/A 13-23% 18% 18% (0%) 3-7% 5% 5% (0%) 6-10% 8% 8% 0% 1-5% 3% 3% (0%) N/A 0% 0% 0% 11-19% 15% 16% 1% 0% 0% N/A N/A 56-66% 61% 61% (0%) 4-8% 6% 6% (0%) 8-16% 12% 12% 0% 4-8% 6% 6% 0% N/A 0% 0% 0%
Domestic International Domestic Equity Equity Fixed
TIPS
REITs Commodities Cash
HEALTH AND AND OTHER POST-EMPLOYMENT BENEFIT TRUSTS
0%
0%
0%
0%
Note: In 2011 the Affiliate Funds were transitioned to new asset allocation policy targets and ranges (approved by the Investment Committee 8/15/11).
V-2

Global Equity Defined Contribution Plans
Conservative Target Range % Strategic Target % Actual Investment % Variance % (Strategic vs. Actual) M oderate Target Range % Strategic Target % Actual Investment % Variance % (Strategic vs. Actual) Aggressive Target Range % Strategic Target % Actual Investment % Variance % (Strategic vs. Actual) Income Target Range % Strategic Target % Actual Investment % Variance % (Strategic vs. Actual) 2005 Target Range % Strategic Target % Actual Investment % Variance % (Strategic vs. Actual) 2010 Target Range % Strategic Target % Actual Investment % Variance % (Strategic vs. Actual) 2015 Target Range % Strategic Target % Actual Investment % Variance % (Strategic vs. Actual) 43-53% 48% 48% 0% 29-39% 34% 34% (0%) 9-15% 12% 12% (0%) 1-5% 3% 3% (0%) 2-4% 3% 3% 0% 38-48% 43% 43% 0% 32-42% 37% 37% (0%) 12-20% 16% 16% (0%) 1-3% 2% 2% (0%) 1-3% 2% 2% 0% 30-40% 35% 35% 0% 42-52% 47% 47% (0%) 12-20% 16% 16% (0%) 1-3% 2% 2% 0% 0% 0% 0% 0% 25-35% 30% 30% 0% 48-58% 53% 53% (0%) 11-19% 15% 15% (0%) 1-3% 2% 2% 0% 0% 0% 0% 0% 79-91% 85% 85% 0% 3-7% 5% 5% (0%) 0% 0% 0% 0% 3-7% 5% 5% (0%) 3-7% 5% 5% 0% 55-65% 60% 60% 0% 23-33% 28% 28% (0%) 3-7% 5% 5% (0%) 2-6% 4% 4% (0%) 2-4% 3% 3% 0% 25-35% 30% 30% 0% 48-58% 53% 53% (0%) 11-19% 15% 15% (0%) 1-3% 2% 2% 0% 0% 0% 0% 0%
Fixed Income
TIPS
Commodites REITs
V-3
Asset Allocation as of March 29, 2013 Global Fixed TIPS Equity Defined Contribution Plans 2020 Target Range % Strategic Target % Actual Investment % Variance % (Strategic 2025 Target Range % Strategic Target % Actual Investment % Variance % (Strategic 2030 Target Range % Strategic Target % Actual Investment % Variance % (Strategic 2035 Target Range % Strategic Target % Actual Investment % Variance % (Strategic 2040 Target Range % Strategic Target % Actual Investment % Variance % (Strategic 2045 Target Range % Strategic Target % Actual Investment % Variance % (Strategic 2050 Target Range % Strategic Target % Actual Investment % Variance % (Strategic 50-60% 55% 55% 0% 59-69% 64% 64% 0% 66-78% 72% 72% 0% 75-87% 81% 81% 0% 79-91% 85% 85% 0% 79-91% 85% 85% 0% 79-91% 85% 85% 0% 26-36% 31% 31% (0%) 19-29% 24% 24% (0%) 12-22% 17% 17% (0%) 7-11% 9% 9% (0%) 3-7% 5% 5% (0%) 3-7% 5% 5% (0%) 3-7% 5% 5% (0%) 5-9% 7% 7% (0%) 2-4% 3% 3% (0%) 0-2% 1% 1% (0%) 0% 0% 0% 0% 0% 0% 0% 0% 0% 0% 0% 0% 0% 0% 0% 0% Income
Commodites
REITs
vs. Actual)
2-6% 4% 4% (0%) 3-7% 5% 5% (0%) 3-7% 5% 5% (0%) 3-7% 5% 5% (0%) 3-7% 5% 5% (0%) 3-7% 5% 5% (0%) 3-7% 5% 5% (0%)
2-4% 3% 3% 0% 2-6% 4% 4% 0% 3-7% 5% 5% 0% 3-7% 5% 5% 0% 3-7% 5% 5% 0% 3-7% 5% 5% 0% 3-7% 5% 5% 0%
vs. Actual)
vs. Actual)
vs. Actual)
vs. Actual)
vs. Actual)
vs. Actual)
Note: Policy target weights are compared to actual target weights for internally managed risk-based and target date asset allocation plans. Asset allocation strategies are not applicable to some SIP core funds (e.g., Total Bond Return Fund).
V-4
V-5
Net Performance Summary (for the month March 31, 2013)
1 Month Ending Market Value ($millions) 56 782 128
FYTD
1-Yr
3-Yr
5-Yr
10-Yr
DEFINED BENEFIT PLANS JUDGES' RETIREMENT FUND JUDGES' RETIREMENT SYSTEM II FUND LEGISLATORS' RETIREMENT SYSTEM FUND
Fund Excess Fund Excess Fund Excess Fund Excess Fund Excess Fund Excess Rate of Return Rate of Return Rate of Return Rate of Return Rate of Return Rate of Return Return in Bps Return in Bps Return in Bps Return in Bps Return in Bps Return in Bps 0.0 1.5 0.9 (2) 1 0 0.1 14.0 9.2 (4) 36 58 0.1 11.1 9.5 (6) 34 49 0.1 10.1 9.7 2 (24) (9) 0.5 5.4 6.8 18 (13) 30 1.9 8.3 7.8 12 4 15
DEFINED CONTRIBUTION AND DEFERRED COMPENSATION PLANS CALPERS SUPPLEMENTAL INCOME 457 PLAN SUPPLEMENTAL CONTRIBUTIONS PLAN STATE PEACE OFFICERS' & FIREFIGHTERS' (POFF) SUPPLEMENTAL PLAN 1,073 20
1 Month 2.1 1.8 (3) (4)
FYTD 11.2 11.3 (56) (46)
1-Yr 8.4 8.2 (106) (115)
3-Yr 7.3 7.6 (67) (100)
5-Yr 4.4 5.3 (35) (125)
10-Yr 6.3 (38.0)
496
1.8
(3)
11.7
(55)
8.1
(139)
7.8
(123)
4.1
(98)
6.7
(83)
HEALTH AND OTHER POST-EMPLOYMENT BENEFIT FUNDS CERBT STRATEGY 1 CERBT STRATEGY 2 CERBT STRATEGY 3 CALPERS HEALTH CARE BOND FUND LONG - TERM CARE FUND 2,127 387 53 400 3,849
1 Month 1.5 1.2 0.9 0.2 0.7 2 1 2 16 6
FYTD 13.8 11.8 8.8 3.1 7.8 10 20 26 138 47
1-Yr 11.0 10.3 9.1 5.2 7.3 0 11 (5) 144 38
3-Yr 9.5 (17)
5-Yr 4.6 (3)
10-Yr
6.0 8.5
44 0
5.8 5.3
35 10 8.2 26
RESERVE FUNDS CONTINGENCY RESERVE FUND 6
1 Month 0.0 (2)
FYTD 0.1 (4)
1-Yr 0.1 (6)
3-Yr 0.1 2
5-Yr 0.5 18
10-Yr 1.9 13
SECURITES LENDING COLLATERAL SECURITES LENDING COLLATERAL REINVESTMENT POOLS
1 Month 14,077 0.1 6
FYTD 0.79 69
1-Yr 1.1 97
3-Yr 1.17 104
5-Yr 1.09 75
10-Yr 1.98 18
V-6
Gross Performance Summary (for the month March 31, 2013)
1 Month Ending Market Value ($millions) 56 782 128
FYTD
1-Yr
3-Yr
5-Yr
10-Yr
DEFINED BENEFIT PLANS JUDGES' RETIREMENT FUND JUDGES' RETIREMENT SYSTEM II FUND LEGISLATORS' RETIREMENT SYSTEM FUND
Fund Excess Fund Excess Fund Excess Fund Excess Fund Excess Fund Excess Rate of Return Rate of Return Rate of Return Rate of Return Rate of Return Rate of Return Return in Bps Return in Bps Return in Bps Return in Bps Return in Bps Return in Bps 0.0 1.5 0.9 (2) 1 0 0.1 14.0 9.2 (4) 36 58 0.1 11.1 9.5 (6) 34 49 0.1 10.1 9.7 2 (24) (9) 0.5 5.4 6.8 18 (13) 30 1.9 8.3 7.8 12 4 15
DEFINED CONTRIBUTION AND DEFERRED COMPENSATION PLANS CALPERS SUPPLEMENTAL INCOME 457 PLAN SUPPLEMENTAL CONTRIBUTIONS PLAN STATE PEACE OFFICERS' & FIREFIGHTERS' (POFF) SUPPLEMENTAL PLAN 1,073 20
1 Month 2.1 1.9 210 2
FYTD 11.6 11.7 (14) (4)
1-Yr 8.9 8.7 (51) (61)
3-Yr 7.8 8.1 (14) (50)
5-Yr
10-Yr
496
1.9
12.1
(9)
8.7
(80)
8.4
(65)
4.8
(29)
7.5
(9)
HEALTH AND OTHER POST-EMPLOYMENT BENEFIT FUNDS CERBT STRATEGY 1 CERBT STRATEGY 2 CERBT STRATEGY 3 CALPERS HEALTH CARE BOND FUND LONG - TERM CARE FUND 2,127 387 400 400 3,849
1 Month 1.5 1.2 0.9 0.2 0.7 2 1 2 16 6
FYTD 13.8 11.8 8.8 3.1 7.8 10 20 26 138 47
1-Yr 11.0 10.3 9.1 5.2 7.3 0 11 (5) 144 38
3-Yr 9.5 (17)
5-Yr 4.6 (3)
10-Yr
6.0 8.5
44 0
5.8 5.3
35 10 8.2 26
RESERVE FUNDS CONTINGENCY RESERVE FUND 6
1 Month 0.0 (2)
FYTD 0.1 (4)
1-Yr 0.1 (6)
3-Yr 0.1 2
5-Yr 0.5 18
10-Yr 1.9 13
SECURITES LENDING COLLATERAL SECURITES LENDING COLLATERAL REINVESTMENT POOLS
1 Month 14,077 0.1 6
FYTD 0.79 69
1-Yr 1.1 97
3-Yr 1.17 104
5-Yr 1.09 75
10-Yr 1.98 18
V-7
Policy Violations (for the month of March 31, 2013)
Exceptions to Policy
According to policy requirements, the following is a summary of investment policy violations as reported by the program areas. The following program areas had no violations to report for the month of March: o Affiliate Investments
Policy Violations: New

Program Area or Asset Class No items to report Event Date Resolution Date Policy Violated Event Description Resolution (expected) or Next Steps
V-8
Policy Violations (for the month of March 31, 2013)
Existing
Program Area or Asset Class Event Date Resolution Date Policy Violated Violation Description Event Description and Resolution (expected) or Next Steps The violation was caused when Standard & Poor's downgraded the rating of the security. Moody's and Fitch maintain their Aaa/AAA ratings of the security. As of February 2013, the security has an approximately 1.3 years weighted average life and is generating principal returns. Since the event date, February 2012, 35% of the principal was recovered. The Global Fixed Income Senior Investment Officer recommends holding the security to maturity due to the high quality of the collateral, short weighted average life and expected yield. Attached is Wilshire's letter for the most recent Policy Violations (Attachment 2). The violation was caused when Standard & Poor's and Moody's downgraded the rating of the security. Fitch maintains its AAA rating of the security. As of February 2013, the security has an approximately 1.16 years weighted average life and is generating partial returns. Since the event date, October 2011, 45% of the principal was recovered. The Global Fixed Income Senior Investment Officer recommends holding the security to maturity due to the high quality of the collateral, short weighted average life and expected yield. This is a restructured Structured Investment Vehicle which is in a pay down mode, with no maturity date. Fixed Income (Sec Lending) 12/21/2007 Unresolved Statement of Investment Policy for Securities "Ironside Holdings (SIV)" was downgraded and no The Global Fixed Income Senior Investment Officer Lending. longer meets rating standards specified by the policy. believes the current pricing of the restructured Structured Investment Vehicle is undervalued and recommends holding the security. This is a restructured Structured Investment Vehicle which is in a pay down mode, with no maturity date. Statement of Investment Policy for Securities "Gryphon (SIV)" was downgraded and no longer Lending. meets rating standards specified by the policy. The Global Fixed Income Senior Investment Officer believes the current pricing of the restructured Structured Investment Vehicles is undervalued and recommends holding the security.
Fixed Income (Sec Lending)
2/7/2012
Unresolved
"SLM Student Loan Trust" (SLMA 2007-3 A2 Statement of Investment Policy for Securities 10/25/17) was downgraded by S&P and no longer Lending. meets rating standards specified by the policy.
10/10/2011 Unresolved
"ACCESS Group" (ACCSS 2007-1 A2 4/25/17) was Statement of Investment Policy for Securities downgraded and no longer meets rating standards Lending. specified by the policy.
8/29/2007 Unresolved
V-9
Investment Transactions Summary (for the month of March 31, 2013)
CERBT Strategy 1 Fund Beginning Market Value + Purchases - Sales + Unitized Fund Purchases - Unitized Fund Sales +/- Other Changes in MV Ending Market Value 2,075,358,152 13,175,000 (8,000,000) 46,441,691 2,126,974,843
Health and Other Post-Employment Benefit Funds CERBT Strategy 2 CERBT Strategy 3 Health Care Bond Fund Fund Fund 375,661,134 7,250,000 (2,400,000) 6,549,083 387,060,217 52,563,042 (810,000) 1,289,201 53,042,243 399,059,697 291 (11,371) 967,478 400,016,095
Long - Term Care Fund 3,816,272,276 59,147,866 (47,997,731) 21,773,038 3,849,195,449
Reserve Fund Contingency Reserve Fund 6,113,098 61 6,113,159
Defined Contribution and Deferred Compensation Plans Supplemental Income Plans (457/SCP/POFF) Beginning Market Value + Purchases - Sales + Unitized Fund Purchases - Unitized Fund Sales +/- Other Changes in MV Ending Market Value 761,459,355 20,283,491 (24,293,197) 19,743,911 777,193,560 Judges' Retirement Fund 55,890,245 (1,105) 55,889,140
Defined Benefit Plans Legislators' Judges' Retirement Retirement System System II Fund Fund 765,298,690 12,785,000 (7,100,000) 11,333,025 782,316,715 127,031,865 1,635,000 (2,313,000) 1,156,410 127,510,275
Unitized Funds Public Equity Beginning Market Value 82,669,158,645 + Purchases 4,365,032,966 - Sales (3,555,543,177) +/- Other Changes in MV 766,932,669 Ending Market Value 84,245,581,104 * Maturities may be included due to the volume of transactions REIT 877,092,874 4,132,439 (779,419,164) (631,773) 101,174,375 Income* 40,544,412,279 19,371,636,029 (18,839,949,656) 22,131,973 41,098,230,625 Inflation 1,410,618,166 442,965,372 (387,147,647) (47,206,232) 1,419,229,659 Liquidity* 4,495,048,803 17,390,872,495 (18,106,210,611) 623,838,126 4,403,548,813 Affiliated and Other Funds 2,910,599,006 205,846,778 (199,387,976) 37,435,257 2,954,493,065
V-10
CalPERS Investment Office Investment Servicing Division 400 Q Street Sacramento, CA. 95814

CalPERS Total Fund Monthly Update, Mar. 31, 2013

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CalPERS Total Fund Monthly Update, Mar. 31, 2013

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Attachment 1, Page 1 of 42

Total Fund Monthly Update

CalPERS Total Fund Monthly Update

Section I: Asset Allocation and Risk

Section II: Investment Performance

Section III: Investment Policy and Compliance

Section IV: Investment Transactions

Section V: Affiliate and Other Funds

Note: Sections I IV report on the PERF unless otherwise noted.

Asset Allocation and Risk

Asset Allocation and Unfunded Commitments (as of March 31, 2013)

ARS, $5.2, 2% Inflation, $9.8, 4% Real Assets, $24.5, 9%

Liquidity, $9.6, 4% MAC, $0.5, 0%

Income, $41.2, 16%

Growth, $166.6, 65%

Asset Allocation as of March 31, 2013

Liquidity 1-7% 4% 4% (0% ) $10.3 $9 6 ($0.7) 0% 100% 100% 0%

Real Estate 7-13% 9% 8% (1% ) $23.2 $21.1 ($2.1) 0% 100% 0% 100%

Forestland/ Infrastructure 1-5% 2% 1% (1% ) $5.1 $3.4 ($1.8) 0% 100% 0% 100%

Inflation 1-7% 4% 4% (0% ) $10 3 $9.8 ($0.5) 0% 100% 100% 0%

Multi-Asset Class (MAC)

N/A 2% N/A N/A $5 2 N/A 0% 100% 0% 100%

N/A 0% N/A N/A $0 5 N/A 0% 100% 0% 100%

Unfunded Market Commitments as of March 31, 2013

CalPERS Total Fund Monthly Update

Month Ending March 31, 2013

Top 20 Exposures: Public Markets (as of March 31, 2013)

*Includes both Class A and Class B shares of common stock

CalPERS Total Fund Monthly Update

Month Ending March 31, 2013

Total Fund Risk Profile (as of March 31, 2013)

CalPERS Total Fund Monthly Update

Month Ending March 31, 2013

Net Performance Summary (as of March 31, 2013)

CalPERS Total Fund Monthly Update

Month Ending March 31, 2013

Net Performance Summary (as of March 31, 2013)

CalPERS Total Fund Monthly Update

Month Ending March 31, 2013

(1.99) (7.18) (11.34) (6.92)

9.49 21.18 25.34 20.92

6.50 14.00 10.00 10.00

(2.75) (7.00) (3.00) (3.00)

10.25 21.00 17.00 17.00

(3.63) 1.38 (7.22)

3.63 5.12 7.22 6.20 (2.95) 0.00 9.45 0.00

CalPERS Total Fund Monthly Update

Month Ending March 31, 2013

Investment Policy and Compliance

Material Exceptions to Policy

CalPERS Total Fund Monthly Update

Month Ending March 31, 2013

Policy Violations: New

CalPERS Total Fund Monthly Update

Month Ending March 31, 2013

CalPERS Total Fund Monthly Update

Month Ending March 31, 2013

Disclosure of Closed Session Action Items

Investment Committee Meeting No items to report

Investment Committee Action

CalPERS Total Fund Monthly Update

Month Ending March 31, 2013

CalPERS Total Fund Monthly Update

Month Ending March 31, 2013