Public Accountability Report Public Accountability Report

2018 Illinois State Board of Investment
Mission Statement The Illinois State Board of Investment (ISBI), including its Board of Trustees and staff members are responsible for managing, investing, and reinvesting the assets of certain Illinois bodies, as set forth in Article 5/22A of the Illinois Pension Code. (40 ILCS 5/22A et seq.) The Board and sStaff have fiduciary responsibilities for managing and investing assets belonging to the State Employees’ Retirement System of Illinois, the Judges’ Retirement System of Illinois, and the General Assembly Retirement System of Illinois (collectively, the “Retirement Systems”), as well as assets of the Illinois Power Agency (collectively with the assets of the Retirement Systems, the “Fund”).
Program Goals and Objectives
  1. The investment strategy of the Fund seeks to maximize the likelihood of meeting long-term return objectives, while (i) maintaining prudent risk exposure, (ii) controlling fees and expenses related to managing the Fund, and (iii) complying with the governing provisions of the Illinois Pension Code (40 ILCS 5/1 et seq.) and other applicable laws and regulations. Long-term return objectives are based on assumed rates of return set forth by the individual Retirement Systems (each, an “Assumed Rate of Return”). The Fund is managed with a long-term investment horizon as a going concern and endeavors to maintain sufficient liquidity, as projected by staff and the Retirement Systems, to meet disbursement needs.
    Source of Funds Illinois State Board of Investments Fund Statutory Authority
    Fiscal Year 2019 Target/Projected Fiscal Year 2018 Actual Fiscal Year 2018 Target/Projected Fiscal Year 2017 Actual Fiscal Year 2016 Actual
    Input Indicators
    Total expenditures - all sources (in thousands) $ 27,336.0 $ 27,209.0 $ 31,251.0 $ 30,580.0 $ 40,642.0
    Total expenditures - state appropriated funds (in thousands) $ 0.0 $ 0.0 $ 0.0 $ 0.0 $ 0.0
    Average monthly full-time equivalents 13 11 0 9 10
    Total investment manager fees N/A N/A N/A N/A N/A
    Total investment managers N/A N/A N/A N/A N/A
    Output Indicators
    Fixed income investment (in thousands) N/A $ 5,068,223.0 N/A $ 4,210,187.0 $ 3,175,729.0
    Equities investment (in thousands) N/A $ 9,259,102.0 N/A $ 8,812,182.0 $ 7,523,664.0
    Hedge Funds investment (in thousands) N/A $ 360,744.0 N/A $ 831,753.0 $ 1,181,203.0
    Real Estate Funds investment (in thousands) N/A $ 1,594,774.0 N/A $ 1,601,026.0 $ 1,704,064.0
    Private equity investment (in thousands) N/A $ 706,768.0 N/A $ 609,298.0 $ 582,943.0
    Money Market instruments (in thousands) N/A $ 231,743.0 N/A N/A $ 356,617.0
    Real assets (in thousands) N/A $ 408,985.0 N/A $ 587,711.0 $ 592,736.0
    Bank loans (in thousands) N/A $ 464,315.0 N/A $ 424,188.0 $ 449,925.0
    Foreign currency forward contracts (in thousands) N/A $ -7,847.0 N/A $ -11,493.4 $ -1,337.4
    Municipal bonds (in thousands) N/A $ 8,911.1 N/A $ 8,524.1 N/A
    Opportunistic debt (in thousands) N/A $ 225,053.0 N/A N/A N/A
    Outcome Indicators
    Fixed income return N/A 0.9 % N/A 0.9 % 1.6 %
    U.S. equities return N/A 14.3 % N/A 18.7 % -1.7 %
    International equities return N/A 7.6 % N/A 22.1 % -7.1 %
    Hedge Fund return N/A N/A N/A 11.7 % -8.9 %
    Real estate return N/A 7.3 % N/A 7.1 % 12 %
    Private equity return N/A 20.6 % N/A 17.9 % 7.9 %
    External Benchmarks
    Barclays capital universal index - Fixed income N/A -0.3 % N/A 0.9 % 5.8 %
    Russell 3000 index - U.S. equities N/A 14.8 % N/A 18.5 % 2.1 %
    MSCI-EAFE index - International equities N/A N/A N/A 20.4 % -9.2 %
    HFRX equity hedge - Hedge funds N/A N/A N/A N/A -5.4 %
    NCRIEF real estate index - Real estate N/A N/A N/A 7 % 10.8 %
    Real Estate CB N/A 7.1 % 0 % N/A N/A
    MSCI-ACWI ex US Index N/A 7.7 % 0 % N/A N/A
    Efficiency/Cost-Effectiveness Indicators
    Management fees as a percent of total net assets N/A 0.11 % N/A 0.14 % 0.23 %
    Administrative expenses as a percent of total net assets N/A 0.03 % N/A 0.03 % 0.03 %
    Explanatory Information

    As of June 30, 2018, the portfolio performance (net of fees) was 7.6% and 8.2% for the one-year and since inception, respectively. For more information on performance, please refer to our website at isbinvestment.com. Actual total expenditures from all sources were $27,209,000 for fiscal year 2018 and are reported on an actual basis. Withdrawals from ISBI for fiscal year 2018 by the Retirement Systems and the Illinois Power Agency totaled $313,625,000.