INVESTMENT SECTION

Report on Investment Activity (Continued)

Investment Results for the Period Ending September 30, 2011
Investment Category Total Portfolio Domestic Equity Pools S&P 1500 Index International Equity Pools International Blended Benchmark Alternative Investment Pools 3 Alternative Blended Benchmark Real Estate Pool 4 NCREIF Property Blended Index Fixed Income Pools Barclays Government/Credit Absolute Return Pools Total Absolute Return HFRI Fund of Funds Cons 1 month lag Total Real Return and Opportunistic Short Term Investment Pools 30 Day Treasury Bill Current Year 6.6 % (1.5) 0.9 (9.9) (10.4) 29.9 33.2 16.9 14.6 4.5 5.1 Annualized Rate of Return1 3 Years 5 Years 10 Years 2.9 % 1.3 1.4 0.8 (1.2) 6.7 13.3 (9.2) (2.7) 9.3 8.4 2.3 % (1.0) 0.9 (3.4) (4.1) 10.8 7.3 (0.8) 2.1 7.3 6.5 5.1 % 3.0 3.3 4.5 4.3 10.2 8.8 5.0 6.7 6.0 5.7

1.9 2.4 5.5 0.3 0.1

(3.4) (1.9)

1.1 0.1

1.4 1.5

1.9 1.8

1 C alculati ons used a time-wei ghted rate of ret urn ba sed on the market ra te of ret urn in accordance wi th i ndust ry standards. Excludes income and i nvestment gains and losses from securities lending. 2 As of 10/1/10, index is MS CI ACW I Ex-US Gross. History 1/ 1/ 10 to 9/ 30/10 is S&P Developed BMI-EP AC Net 75/25. H istory pri or to 1/1/10 is S &P Developed BMI-EPAC Net 50/50. 3 As of 1/1/07, index is blend of S&P 500 plus 300 bps and 10 year yield plus 300 bps based on ending weights. Hi story prior to 1/1/07 is S&P500 plus 300 bps. 4 As of 10/ 1/ 05, index is NCR EIF less 130 bp. History prior to 10/ 1/ 05 reflect s NC REIF l ess 75 bp.

68 MICHIGAN PUBLIC SCHOOL EMPLOYEES RETIREMENT SYSTEM