Response to Senate Resolution No.175 (2005 Regular Session) For the Period October 1 to December 31, 2017 Pursuant to SR 175 of the 2005 Regular Louisiana Legislative Session, each retirement system is to provide a quarterly report of their investments commencing with the quarter beginning July 1, 2005. The following is the quarterly report for LASERS portfolio for the period October 1 to December 31, 2017. The report provides a listing of LASERS investments by asset class, amount of funds invested and with whom, annual returns on the investments and the management fees. While market returns provide a snapshot view of investment performance, readers should keep in mind that actuarial returns, which are smoothed over five years to offset market volatility, are a better indicator of the system s ability to consistently achieve the assumed annual actuarial return of 7.7%. The Board adopted a plan to reduce the discount rate to 7.5% in 0.05% increments beginning July 1, 2017. Therefore, in addition to the data presented in the quarterly SR 175 - Senate Resolution No. 175 Report, the following information is given to further illustrate the System's status. As of June 30, 2017, LASERS 30-year actuarial return was 8.02%.
4th Quarter 2017 Net Asset Value Management Fees Manager $ (Millions) Annual Return Annual Basis Points Quarterly Dollar Amount U.S. EQUITY LARGE CAP VALUE Aronson Johnson & Ortiz 242.7 19.8 2.3 14,611 SMALL CAP GROWTH Rice Hall James 237.3 13.3 50.0 344,616 SMALL CAP VALUE LSV Asset Management 183.7 8.2 56.2 250,603 INDEX FUNDS LASERS S&P 400 Index Fund 468.4 16.3 n/a - LASERS S&P 500 Index Fund 1396.6 21.8 n/a - LASERS S&P 600 Index Fund 344.9 13.3 n/a - NON-U.S. EQUITY LARGE CAP VALUE Mondrian Investment Partners 247.5 22.3 28.0 169,545 LARGE CAP CORE LASERS MSCI World Ex-USA Index Fund 1563.7 23.9 n/a - LASERS Terror-Free International Fund 29.0 22.4 n/a - INT'L SMALL CAP Mondrian Investment Partners 240.3 33.2 70.2 413,703 Goldman Sachs 420.0 33.7 50.3 504,215 EMERGING MARKETS City of London Investment Management 454.0 36.7 93.0 981,781 LSV Emerging Markets 457.9 32.5 85.0 1,035,344 Westwood Global Emerging Markets 308.2 30.1 90.0 679,497 LSV Custom Emerging Markets 367.7 27.3 50.0 380,450 TOTAL EQUITY $6,961.7 4,774,366 US FIXED INCOME INVESTMENT GRADE Loomis Sayles & Co. 237.7 5.7 17.1 97,638 Orleans Capital Mgt 176.8 4.4 10.9 48,120 HIGH YIELD JP Morgan 221.4 7.6 27.0 145,779 Nomura 218.9 9.1 45.0 239,623 EMERGING MARKET DEBT Stone Harbor 169.2 16.4 52.5 200,623 Global Multi-Sector Doubleline 209.9 9.0 60.0 300,054 Goldentree 228.4 9.9 75.0 371,192 TOTAL FIXED INCOME $1,462.2 1,403,030
4th Quarter 2017 Net Asset Value Management Fees Manager $ (Millions) Annual Return Annual Basis Points Quarterly Dollar Amount ALTERNATIVE ASSETS PRIVATE EQUITY Adams Street 2005 Non-US 4.3 14.2 37.3 13,969 Adams Street Partnership 2002 US 2.7 13.8 10.0 3,750 Adams Street Partnership 2005 US 12.3 8.6 37.3 32,595 Adams Street 2007 US Fund 15.6 11.2 55.0 34,375 Adams Street 2007 Non-US 10.7 14.8 55.0 21,875 Adams Street 2007 Direct 3.0 15.7 100.0 11,928 Adams Street 2009 US Fund 20.4 10.2 67.0 41,667 Adams Street 2009 Non-US Developed 10.3 24.7 67.0 25,000 Adams Street 2009 Non-US Emerging 5.4 14.2 67.0 8,333 Adams Street 2009 Direct 3.7 10.1 140.0 15,095 AEA Investors Fund VI 22.7 9.7 175.0 89,386 BCP Energy Services Fund A 37.7 27.0 200.0 200,732 Brinson 1,2 7.1 1.2 0.0 - Brookfield Capital IV 37.1 62.3 175.0 218,750 Adams Street V 1 3.9-7.2 0.0 - Apollo Inv Fund VII 14.0 8.4 0.0 13,716 Apollo Inv Fund VIII 55.8 23.1 150.0 128,404 Apollo European Fund II 57.5 11.5 175.0 188,906 ArcLight Energy Ptr Fund VI 56.3 8.9 150.0 274,840 CCMP Capital III 51.1 5.5 150.0 212,527 Cerberus VI 60.0 35.7 150.0 468,750 Coller International Partners VI 45.4 23.2 125.0 251,366 Coller International Partners VII 21.6 99.2 150.0 283,562 Drug Royalty Fund III 3 6.1 n/a 150.0 129,651 EIG Energy Fund XIV 4 6.0 18.0 125.0 70,838 EIG Energy Fund XV 4 24.3 14.2 125.0 86,515 EIG Energy Fund XVI 37.7 28.4 125.0 215,096 Energy Spectrum Fund V 4 0.6 44.4 175.0 7,788 Energy Spectrum Fund VI 4 14.1 52.0 175.0 79,205 GTCR Fund XI 43.0 31.4 150.0 166,383 Louisiana Growth Fund 0.9-32.0 50.0 53,968 Louisiana Growth Fund II 8.4 42.4 50.0 76,745 Gamut Fund I 4.9-36.2 200.0 250,000 Goldman Sachs PEP IX 29.7 16.2 25.3 47,840 John Hancock 1 0.4-5.9 0.0 - HIPEP Partnership III 1 0.3 1.2 0.0 - Harbourvest VI - Buyout 1 1.0-1.5 0.0 - Harbourvest VI - Direct 1 1.7-14.2 0.0 - Harbourvest VI - Partnership 1 9.2-10.2 0.0 - HIPEP Direct IV 1 0.3 59.8 0.0 - HIPEP Partnership IV 1 2.5 2.6 0.0 - Huff Alternative Fund 1 10.5 16.7 0.0 - Marathon European Credit Opp Fund 4 16.4 12.7 125.0 - Mesirow III 7.0 1.3 49.4 25,582 Mesirow IV 35.6 17.4 45.9 68,895 Mesirow V 50.5 21.9 56.7 85,050 Newstone Mezzanine II 9.6 7.0 150.0 16,281 OHA Strategic Credit Fund II 5 2.3 n/a 175.0 171,875 Oaktree European Fund III 43.1 30.5 175.0 134,851 Pantheon Europe VI 24.6 35.0 75.0 91,103 Pantheon VI 16.5 10.4 52.7 59,237 Pantheon VII 28.9 15.9 67.5 75,938 Stepstone Fund II 37.0 22.7 37.5 33,435 Stepstone Europe Fund II 20.7 34.3 50.0 19,739 Private Advisors IV 26.3 23.1 75.0 65,625 Private Advisors V 32.4 16.1 90.0 90,000 Private Advisors VI 17.5 13.2 90.0 90,000 Q-BLK II 21.4 13.9 45.9 56,564 Q-BLK III 32.3 12.4 59.7 82,074 Siguler Guff DOF III 40.9 12.0 24.0 121,856 Siguler Guff Fund IV 19.3 9.8 71.0 56,800 Siguler Guff Pelican Gem 23.8 9.0 75.0 65,279 Sterling Partners 20.8-12.3 200.0 163,217 Vista Equity Partners VI 72.4 3.4 150.0 278,473 Vista Equity Partners V 76.9 16.2 150.0 273,368 Vista Equity Partners IV 27.3 14.6 150.0 131,250 Williams Capital 1 0.4 55.1 0.0 -
4th Quarter 2017 Net Asset Value Management Fees Manager $ (Millions) Annual Return Annual Basis Points Quarterly Dollar Amount ABSOLUTE RETURN STRATEGIES Bridgewater Pure Alpha 315.9 1.5 173.7 1,370,858 Bridgewater PA Major Markets 65.9-2.5 200.0 247,953 Prisma Capital Partners 247.7 6.6 65.0 397,514 Entrust Capital Partners 263.9 0.0 109.7 743,550 GLOBAL ASSET ALLOCATION STRATEGIES Bridgewater All Weather 343.6 11.9 36.6 1,028,680 AQR Capital Management 6 396.6 n/a 110.0 312,036 TOTAL ALTERNATIVE ASSETS 7 $3,118.7 10,080,634 TOTAL PLAN 8 $11,666.7 16,258,029 1 The fund no longer charges fees. 2 This is a composite of seven limited partnerships. 3 LASERS is awaiting final escrow distribution from this fund, so one year return is not listed. 4 Annual Basis Points are based on historical cost or net asset value. 5 The portfolio was funded 11/2017. 6 The portfolio was funded 10/2017. 7 The net asset values and returns are reflected net of fees for all Alternatives, and includes $16.7 million for Paamco and $4.4 million for Stark, which are being liquidated. 8 The Total Plan Market Value includes $123.8 million in cash/cash equivalents and $0.2 million in the Harbor Police transition account. The Total Quarterly Dollar Amount does not include $237,650 for Self-Directed Plan and Optional Retirement Plan. The Total Quarterly Dollar Amount does not include $45,580 in fee for liquidating funds. The Total Quarterly Dollar Amount includes fee adjustments from prior periods.
Comments For the majority of LASERS investment managers, management fees are paid quarterly in arrears, based upon the market value of assets under its management, excluding any cash balance, as reported by LASERS custodian bank, and are calculated as follows: The fee is calculated at the end of each calendar quarter as follows: (Average of market value of assets under management on last business day of each of the four preceding calendar months, which shall not include funds that are managed by LASERS custodian bank) times the annual percentage fee schedule (basis points) divided by four. Fees on invested contributions and withdrawals during each calendar quarter will be computed separately on a pro-rata basis. It is not necessary to pro-rate contributions and withdrawals for Month 1 of the calculation period. Contributions and withdrawals are to be calculated as such: Contributions: (month end market value for the month in which the contribution was made less any cash balance) minus the amount of the contribution, and then multiplied by the number of days the funds were not in the account, divided by the total number of days for the month. Withdrawals: (month end market value for the month in which the withdrawal was made less any cash balance) plus the amount of the withdrawal, and then multiplied by the number of days the funds were in the account, divided by the total number of days for the month. The managers shall provide a monthly reconciliation of their records to LASERS custodian bank. Should the manager fail to reconcile LASERS portfolio on a timely basis, LASERS maintains the right to withhold payment of the management fee until the portfolio has been reconciled to LASERS satisfaction. Private Equity earns fees as a percentage of LASERS capital commitment to each fund. The fees are deducted from the portfolios on a quarterly basis and verified with the receipt of each manager's annual audited financials. The one exception is for Adams Street Secondary 1998 Fund and Adams Street Primary 1997 and 1999 Funds, for which billing is handled by UBS Global Asset Management. For these funds an invoice is received, verified, and paid on a quarterly basis.
Investment Terminology Annual Return Basis Point Concentrated Portfolio Index Fund Management Fee Market Value Universe Annualized returns express the rate of return over a given time period on an annual basis, or as a return per year. An annualized return can be calculated over any period one year or longer and is useful for comparing two or more portfolios over similar time periods. One gradation on a 100-point scale which is used in expressing variations on the yield of bonds. A basis point is equal to one-hundreth of a percentage point. A portfolio that generally has fewer securities than traditional portfolios. A fund (or account) comprised of securities, the characteristics of which will produce a return which will replicate (or substantially replicate) a designated securities index. The fee charged by the investment manager for supervision of an investment. Generally quoted in terms of a percent of assets. The current or prevailing price of a security or commodity as indicated by current market quotations, and therefore the price at which additional amounts can presumably be purchased or sold. The list of all assets eligible for inclusion in a portfolio.
Louisiana State Employees' Retirement System 8401 United Plaza Boulevard - Baton Rouge, LA 70809 P.O. Box 44213 - Baton Rouge, LA 70804