INVESTMENTS Page 75
Absolute Return Managers and Assets Under Management
(inception date of account)
Diversified Funds
Bridgewater Pure Alpha Fund I (1/09) $380,231,003
Diversified Fund of Funds
Grosvenor Monarch Fund, L.L.C. (6/07) 397,560,365
K2 Bluegill Fund, L.L.C. (6/07) 577,176,785
Direct Investment Funds
Grosvenor Monarch Fund, L.L.C. (Monarch Series B) (3/11) 50,465,502
K2 Bluegill Fund, L.L.C. (Bluegill Series B) (3/11) 51,078,950
Emerging Manager
Lasair Capital L.L.C. (8/09) 29,053,387
$1,485,565,992
Discussion of Absolute Return
The absolute return asset class performed reasonably well given the severity and volatility of the global market
crisis and subsequent recovery. The absolute return portfolio outperformed its benchmark in FY11 due to strong
performance of underlying managers combined with modest exposure to both the equity and credit markets.
Longer term, this modest equity exposure also explains the lagging performance for the trailing three-year
period. Importantly and consistent with the intent of the asset class, the absolute return portfolio continues to
exhibit a low risk profile with volatility less than one-third that of U.S. equities. In April 2011, the Board of
Trustees raised the long-term absolute return policy target by 3.0 percent to 8.0 percent of total fund.
REAL ESTATE
Real estate investments are direct investments or ownership in land and buildings including apartments, offices,
warehouses, shopping centers, and hotels. TRS also holds partnership interests in entities that purchase and man-age
property and pass rent and sale income back to TRS. Investment in real estate is intended to increase the
TRS total portfolio long-term rate of return and reduce year-to-year volatility.
The real estate asset class offers competitive returns, provides diversification benefits to portfolios of stocks and
bonds, and also serves as a hedge against inflation. Additionally, real estate offers a strong income component
to pay TRS benefits.
As of June 30, 2011, TRS held $4.1 billion in real estate assets, or 10.8 percent of the total fund portfolio. For
the fiscal year, TRS’s real estate investments earned 17.8 percent, net of fees. Real estate performance and
benchmark comparisons are noted in the following table.
FY11 3-Year 5-Year 10-Year
TRS, net of fees 17.8% (8.0%) 0.4% 6.2%
Real Estate Property Index 16.7 (2.6) 3.4 7.6
