STATE OF MICHIGAN RETIREMENT SYSTEM

Q1 2020 13F-HR/A Holdings

Location
East Lansing, MI
Holdings as of
3/31/2020
Date filed
5/1/2020
Form type
13F-HR/A - RESTATEMENT
Num holdings
943
Total value ($000)
$9,069,438
Net value change ($000)
-3,030,737 (-25.0%)
New positions
21
Sold out positions
25
Turnover %
4.7%
Sector allocation + QoQ delta (equities-only)
Prev filing: 1/24/2020 Next filing: 7/29/2020 SEC filing

Snapshot: Change Analysis

Compared to Q4 2019
Methodology: sector metrics are equities-only; instrument mix chart is ex-options; options exposure is shown separately. Why this matters.
Top Adds (Value $000, Stocks/ETFs)
SPG 83,871 758.8%
META 44,205 30.2%
AAPL 30,178 9.0%
EQM Midstream Partners, LP 29,716 662.3%
ADBE 27,669 71.7%
LHX 25,565 241.7%
CERNER Corp 22,705 407.3%
National General Holdings Corp. 21,515 NEW
AGG 20,767 NEW
JPM 13,001 12.3%
Top Reduces (Value $000, Stocks/ETFs)
NLY -157,314 -100.0%
AGNC -152,487 -41.6%
TWO -120,332 -73.9%
RITM -93,292 -68.9%
SPY -77,476 -20.6%
EG -62,832 -71.6%
ARI -59,350 -59.4%
XLF -50,796 -61.9%
FTAI -42,830 -58.0%
WFC -40,564 -38.5%
Instrument mix + QoQ Δ (ex-options)
How this table is calculated: SEC VALUE ($000) is used as reported. For derivatives (PUT/CALL/WARRANT/RIGHT), SEC value represents reported underlying exposure, not premium cash paid/received. Column % is bucket-based: non-options share is calculated inside non-option total, options share is calculated inside options total. Details.
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Instrument:
Issuer Name Ticker Sector Industry Class History Value ($000) % Shares Shares Δ Shares Δ% Value Δ ($000) Value Δ% Principal Option Type