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2016-17Annual Investment ReportFiscal Year Ended June 30, 2017

Summary of Investmentsas of June 30, 2017IntroductionEquityChief Investment Officer's LetterDomestic EquityInternational EquityCash EquivalentsDomestic REITSDomestic Cash EquivalentsInternational REITSInternational CurrencyDebt SecuritiesDerivativesU. S. Treasuries & AgenciesInternational Sovereign Debt SecuritiesReal EstateForeign Issued - USD DenominatedMortgage-Backed SecuritiesPrivate EquityMortgage LoansAsset-Backed SecuritiesInfrastructureUS Corporate BondsInternational Corporate BondsForestland

CHIEF INVESTMENT OFFICER'S LETTERNovember 16, 2017On behalf of the CalPERS Investment Office, I am pleased toreport on CalPERS’ investment performance, operations, andinitiatives for the one-year period ending on June 30, 2017.The CalPERS Public Employees’ Retirement Fund (PERF)earned a time-weighted rate of return of 11.2 percent this fiscalyear, with the ending fair value of investments at 326 billion.The strong 12-month returns were led by the public equityinvestments, which generated a 19.6 percent return. Privateequity also delivered double-digit net returns at 13.9 percent,followed by real assets, with net returns of 7.4 percent.While the positive returns are encouraging, our focus isalways on the long-term sustainability of the PERF. CalPERSinvests for decades, not a single year.With this in mind, in late 2016 the CalPERS Board made thedifficult, but important decision to lower the discount rate forthe PERF from 7.5 percent to 7.0 percent over the next threeyears. This incremental reduction of the discount rate, alsoknown as the assumed rate of return, was done to giveemployers more time to prepare for the changes in contributioncosts. While this means many employers and employees willsee increases to their costs, it also brings the PERF morealigned with what CalPERS can responsibly assume to returnfrom our investments over the longer term.At the same time, the CalPERS Investment Office continuesto make strides to reduce the risk, cost, and complexity of theSystem, as outlined in our 2020 Vision Strategic Plan. In theannual cost effectiveness presentation, the Investment Officereported that CalPERS' ongoing fees and expenses for itsinvestment operations have declined by approximately 281 million since Fiscal Year 2010-11. Contributors to thesavings include transitioning assets from external managers tointernal management when possible, renegotiating externalmanagement fees, and decreasing the number of outsideconsultants and advisors. The annual Cost EffectivenessMeasurement (CEM) Benchmarking Survey found thatCalPERS' investment program continues to be a low-costleader compared with peers.This year CalPERS also continued to strongly advocate forshareowner rights. CalPERS invests in more than10,000 public companies worldwide, and we use our proxyvoting rights at those companies to effect changes in line withour Governance & Sustainability Principles. During this year’sproxy season we saw progress in the areas of climate riskreporting and proxy access, which are main themes in ourEnvironmental, Social, and Governance (ESG) Strategic Plan.Significant progress was made on climate risk reportingproposals which passed at Occidental Petroleum,Pennsylvania Power and Light (PPL), and ExxonMobil, while aproposal at Chevron was withdrawn due to substantialimplementation. Most notably, the win at Occidental Petroleumwas the first of its kind in the United States. There were alsoadvancements surrounding boardroom accountability throughthe request for proxy access. During the year, CalPERS led19 proxy solicitation campaigns tied to the corporategovernance best practice, 16 of which passed with more than50 percent shareowner support.In addition, CalPERS continued to advocate for the oneshare, one-vote structure for all shareowners. This wasparticularly notable this year when InterActiveCorp (IAC)pursued changing their voting structures for their own benefit.To protect our rights and our investment, CalPERS pursuedlegal action and successfully blocked these efforts.In addition to managing current investments, CalPERSbegan a global solicitation for investment proposals fromeligible mid-size external investment managers. Also known astransition managers, these firms provide CalPERS with uniqueinvestment opportunities that may otherwise be overlookedand will help to cultivate the next generation of externalportfolio management talent. We also remain committed to ourEmerging Manager Program, which identifies early stagemanagers with strong potential for success.While we are a global investor, CalPERS is also proud tomake investments in California. The Fiscal Year 2015-16CalPERS for California report showed 27.3 billion wasinvested in our home state, representing 9.3 percent of thePERF. These dollars were invested across multiple assetclasses, including public equity, fixed income, private equity,and real assets. These commitments support local jobs,contribute to major infrastructure projects, and supportbusiness expansion efforts.CalPERS is committed to the success and sustainability ofour system. Our mission remains the same—manage theCalPERS investment portfolio in a cost-effective, transparent,and risk-aware manner in order to generate returns to paybenefits. While we are pleased with this year’s strong returns,we continue to identify ways to reduce the cost, risk, andcomplexity of the Fund’s portfolio and operations, while alsomaximizing investment returns.Our Investment Office team, the Board’s pension consultantWilshire Associates, and State Street Bank & Trust, our mastercustodian, compiled the investment data presented on thefollowing pages.Ted EliopoulosChief Investment Officer

CalPERS 2016-2017 Annual Investment ReportDomestic Cash EquivalentsSecurity NameAGRIUM INCAMEREN CORPAMEREN CORPAMERICAN ELEC PWR INCAMERICAN ELEC PWR INCAMERICAN ELEC PWR INCAMERICAN WATER CAPITAMERICAN WATER CAPITAMGEN INC.ASTRAZENECA PLCASTRAZENECA PLCAUTOZONE INC.AUTOZONE INC.AUTOZONE INC.AUTOZONE INC.BANK OF AMERICA, N.A.BANK OF MONTREALBANK OF MONTREALBANK OF MONTREALBANK OF MONTREALBANK OF MONTREALBANK OF NOVA SCOTIABANK OF NOVA SCOTIA/THEBANK OF NOVA SCOTIA/THEBANK TOKYO MIT UFJ NYBELL CANADABELL CANADABELL CANADABELL CANADABELL CANADABNK OF TKYO-MTBSHI LBNK OF TKYO-MTBSHI LCAMPBELL SOUP CO.CAMPBELL SOUP CO.CANADIAN IMPERIAL BKCANADIAN IMPERIAL BKCANADIAN IMPERIAL BKCANADIAN IMPERIAL BKCANADIAN IMPERIAL BKCBS CORPCBS CORPCHURCH & DWIGHT CO INCCHURCH & DWIGHT CO INCCITIBANK NEW YORK N.CITIBANK NEW YORK N.CITIBANK NEW YORK N.CITIBANK NEW YORK N.CLOROX COMPANY THECOMCAST CORPCOMCAST CORPCON EDISON INCCOOPERATIEVE CENTRALECREDIT SUISSE SECURITIES (USA)CVS CORPORATIONInterest RateMaturity DatePar ValueBook 5,283,37510,000,352(10,838,081)157,947,260Market 970,68185,283,37510,000,352(10,838,081)157,947,260

CalPERS 2016-2017 Annual Investment ReportDomestic Cash EquivalentsSecurity NameCVS CORPORATIONDOLLAR GENERAL CORPDOLLAR GENERAL CORPDOLLAR GENERAL CORPDOMINION RESOURCESDOMINION RESOURCESDOVER CORPORATIONDOVER CORPORATIONDUKE ENERGY CORPDUKE ENERGY CORPDUKE ENERGY CORPDUKE ENERGY CORPEASTMAN CHEMICAL COEATON CORPORATION GTDEATON CORPORATION GTDEDISON INTERNATIONALEDISON INTERNATIONALEI DUPONTENTERPRISE PRODS OPER LLCENTERPRISE PRODS OPER LLCENTERPRISE PRODS OPER LLCEQUIFAX INCEQUIFAX INCEVERSOURCE ENERGYEVERSOURCE ENERGYEVERSOURCE ENERGYEVERSOURCE ENERGYEVERSOURCE ENERGYEVERSOURCE ENERGYEVERSOURCE ENERGYFORTIVE CORPORATIONHASBRO INCHP INCHP INCHP INCHP INCJ.P. MORGAN SECURITIESJ.P. MORGAN SECURITIESJ.P. MORGAN SECURITIESJM SMUCKER COJM SMUCKER COJOHNSON CONTOLS INT'LJOHNSON CONTOLS INT'LJOHNSON CONTOLS INT'LKROGER COLEGGETT & PLATTLEGGETT & PLATTLLOYDS BK PLC NY BRNLLOYDS BK PLC NY BRNMARRIOTT INTERNATIONMARRIOTT INTERNATIONMARRIOTT INTERNATIONMARRIOTT INTERNATIONMARRIOTT INTERNATIONInterest RateMaturity DatePar ValueBook ValueMarket 97,638

CalPERS 2016-2017 Annual Investment ReportDomestic Cash EquivalentsSecurity NameMARRIOTT INTERNATIONMIZUHO BANK LTDMIZUHO BANK LTDMIZUHO BANK LTDMONDELEZ INTL INCMONDELEZ INTL INCMONDELEZ INTL INCMONDELEZ INTL INCMONDELEZ INTL INCMONDELEZ INTL INCMONDELEZ INTL INCNATIONAL BK OF CANADNATIONAL BK OF CANADNATL AUSTRALIA BK LTNEXTERA ENERGY CAP HLDGS INCNEXTERA ENERGY CAP HLDGS INCNEXTERA ENERGY CAP HLDGS INCNEXTERA ENERGY CAP HLDGS INCNEXTERA ENERGY CAP HLDGS INCNEXTERA ENERGY CAP HLDGS INCNEXTERA ENERGY CAP HLDGS INCNISOURCE FIN CORPNISOURCE FIN CORPNISOURCE FIN CORPNISOURCE FIN CORPNISOURCE FIN CORPNISOURCE FIN CORPNISSAN MTR ACCP CPNISSAN MTR ACCP CPNORDEA BK AB (PUBL) NYPARKER-HANNIFIN CORPPARKER-HANNIFIN CORPPOTASH CORP SASKPOTASH CORP SASKPOTASH CORP SASKPPL CAPITAL FUNDINGPPL CAPITAL FUNDINGPPL CAPITAL FUNDINGPROV OF NEW BRUNSWICKROCKWELL COLLINS INCROCKWELL COLLINS INCROCKWELL COLLINS INCROYAL BK OF CANADARYDER SYSTEM INCRYDER SYSTEM INCRYDER SYSTEM INCRYDER SYSTEM INCRYDER SYSTEM INCRYDER SYSTEM INCRYDER SYSTEM INCSKANDIN ENS BANKENSKANDIN ENS BANKENSOUTHERN COMPANYSOUTHERN COMPANYInterest RateMaturity 177/24/2017Par 6,938100,000,00047,869,97530,000,00024,573,995Book et 5,114100,000,00047,869,97529,988,33324,551,858

CalPERS 2016-2017 Annual Investment ReportDomestic Cash EquivalentsSecurity NameSOUTHERN COMPANYSPECTRA ENERGY PARTNERSSPECTRA ENERGY PARTNERSSPECTRA ENERGY PARTNERSSPECTRA ENERGY PARTNERSSPECTRA ENERGY PARTNERSSPECTRA ENERGY PARTNERSSTANDARD CHARTERED BANKSTANDARD CHRTRD BNKNSTIF CALPERSSTIF CALPERSSUMITOMO MITSUI BKG CORPSUMITOMO MITSUI BKG CORPSUMITOMO MTSU BKG CORPSUNCOR ENERGY INCSUNCOR ENERGY INCSUNCOR ENERGY INCSUNCOR ENERGY INCSUNCOR ENERGY INCSUNCOR ENERGY INCSUNCOR ENERGY INCSUNCOR ENERGY INCSUNCOR ENERGY INCSUNCOR ENERGY INCSVENSKA HANDLSBNKN ASVENSKA HANDLSBNKN ASVENSKA HANDLSBNKN ASVENSKA HANDLSBNKN ASVENSKA HANDLSBNKN ATELUS TYCO ELECTRONICS GROUP SAVF CORPORATIONVF CORPORATIONVF CORPORATIONWASTE MANAGEMENT INCWEC ENERGY GROUP INCWEC ENERGY GROUP INCWELLS FARGO BANK NAWELLS FARGO BANK NAWELLS FARGO BANK NAWELLS FARGO BANK NAWELLS FARGO BANK NAWELLS FARGO BANK NAWELLS FARGO BANK NAWELLS FARGO BANK NAWHIRLPOOL CORPXCEL ENERGY INCZOETIS INCInterest RateMaturity /10/2017Par ,000Book 951Market 951

CalPERS 2016-2017 Annual Investment ReportDomestic Cash EquivalentsSecurity NameTotalInterest RateMaturity DatePar ValueBook Value 27,792,782,942Market Value 27,792,784,676

CalPERS 2016-2017 Annual Investment ReportInternational CurrencySecurity NameAUSTRALIAN DOLLARBRAZILIAN REALCANADIAN DOLLARCHILEAN PESOCOLOMBIAN PESOCZECH KORUNADANISH KRONEEGYPTIAN POUNDEURO CURRENCYHONG KONG DOLLARHUNGARIAN FORINTINDIAN RUPEEINDONESIAN RUPIAHJAPANESE YENMALAYSIAN RINGGITMEXICAN PESO (NEW)MOROCCAN DIRHAMNEW ISRAELI SHEQELNEW TAIWAN DOLLARNEW ZEALAND DOLLARNORWEGIAN KRONEPAKISTAN RUPEEPERUVIAN SOLPHILIPPINE PISOPOLISH ZLOTYPOUND STERLINGQATARI RIALROMANIAN LEURUSSIAN RUBLESINGAPORE DOLLARSOUTH AFRICAN RANDSOUTH KOREAN WONSWEDISH KRONASWISS FRANCTHAILAND BAHTTURKISH LIRAUAE DIRHAMUS DOLLARTotalPar ValueBook 6,261,232 56,864 Market 198,113,710

CalPERS 2016-2017 Annual Investment ReportU.S. Treasuries and AgenciesSecurity NameRate Maturity DateFANNIE MAEFANNIE MAEFANNIE MAEFANNIE MAEFREDDIE SSTRIPSSTRIPSSTRIPSSTRIPSSTRIPSSTRIPSTENN VALLEY AUTHORITYTENN VALLEY AUTHORITYTENN VALLEY AUTHORITYTENN VALLEY AUTHORITYTSY INFL IX N/BTSY INFL IX N/BTSY INFL IX N/BTSY INFL IX N/BTSY INFL IX N/BTSY INFL IX N/BTSY INFL IX N/BTSY INFL IX N/BTSY INFL IX N/BTSY INFL IX N/BTSY INFL IX N/BTSY INFL IX N/BTSY INFL IX N/BTSY INFL IX N/BTSY INFL IX N/BTSY INFL IX N/BTSY INFL IX N/BTSY INFL IX N/BTSY INFL IX N/BTSY INFL IX N/BTSY INFL IX N/BTSY INFL IX 27Par 059,235,773Book 3572,763,602Market 0669,067,623