Asset Allocation as of June 30, 2024

Using the combined resources of external investment managers, internal staff and consultants, TRS invests the trust assets in accordance with the general fiduciary rules of both state and federal laws. The market value of the TRS total fund on June 30, 2024 was $71.37 billion. Below is the asset allocation as of June 30, 2024.

Asset Allocation

Asset Class		 6/30/2024
Total Fund
Millions
% of
Portfolio
Equity Composite  $37,337.6 52.3
Income Composite 19,972.2 28.0
Real Assets Composite 12,342.3 17.3
Diversifying Strategies Composite 1,713.6 2.4
Total Fund $71,365.6 100%

Investment Returns

Listed below are the rates of return by asset class for the one–, three–, five–, and ten–year periods ending June 30, 2024. Returns are after payment of investment expenses. Benchmarks are listed to comply with Public Act 96–0006.

Investment Returns
Asset
Class		 1–Year
Return		 3–Year
Return		 5–Year
Return		 10–Year
Return
TRS Total Fund  8.8 4.9 7.8 6.9
TRS Policy Index 10.6 3.7 7.2 7.0
Equity Composite1 14.6 5.9 11.6 9.4
Equity Composite Benchmark 20.8 6.5 12.3 10.1
Income Composite2 8.0 2.9 3.4 3.8
Income Composite Benchmark 2.9 (2.6) (0.0) 1.4
Real Assets Composite3 (4.7) 4.1 5.0 6.3
Real Assets Composite Benchmark (5.9) 3.0 4.0 6.2
Diversifying Strategies Composite4 4.8 4.7 4.8 3.4
Diversifying Strategies Composite Benchmark 9.6 7.1 6.2 5.8
  1. The Equity Composite consists of public equity and private equity.
  2. The Income Composite consists of low duration, beta plus, non‐dollar/EMD, short-term cash, global multicredit solutions and private debt.
  3. The Real Assets Composite consists of core/value-add real estate, opportunistic real estate, targeted real assets, infrastructure and other.
  4. The Diversifying Strategies Composite consists of factor, discretionary macro, opportunistic alpha, risk parity, systematic macro and other.

 

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