RFP%20Att%206.12%20(Part%202)%20Treasury%20Managed%20Fund%20Dis.pdf

PDF 275 KB Posted May 12, 2026

Attached to: Recordkeeping, Administration, and Investment Options for the State of Tennessee's Optional Retirement Program and Public Higher Education 403(b) Plans
Solicitation number: RFP 30901-65526
Issued by: Davidson County, Tennessee

About this file

Written by GovTribe AI · May 14, 2026

This is a disclosure brochure for the Tennessee Treasury Managed Fund, an investment option available to participants in the Tennessee State Employees Deferred Compensation Plan and Trust (457 Plan) and the State of Tennessee Deferred Compensation Plan II (401(k) Plan), administered by the Tennessee Department of Treasury. The fund was established on March 27, 2015, through the creation of the State of Tennessee Retiree Group Trust to provide deferred compensation plan participants access to the Tennessee Consolidated Retirement System's professionally managed investment portfolio. Participants may invest in Units of Interest issued by the Group Trust, with daily purchase and redemption availability on days the New York Stock Exchange and Treasury Department are open. The fund is managed by the Tennessee Department of Treasury with State Street Bank and Trust Company serving as master custodian and GreatWest Life & Annuity Insurance Company providing recordkeeping and administration services.

The fund maintains a diversified, long-term investment strategy with a primary objective of meeting or exceeding the assumed actuarial rate of return through active management across domestic and international equity (public and private), fixed income, real estate, and currency investments. As of March 31, 2015, the fund's target asset allocation included 33% U.S. equity, 25% U.S. fixed income, 13% international developed markets equity, and smaller allocations to Canadian equity, international hedged bonds, real estate, private equity, and cash equivalents. Total annual operating expenses are 0.13%, comprised of 0.11% in investment operation and management fees and 0.02% in fund administration expenses. The fund's one, five, and ten-year returns as of March 31, 2015, were 8.68%, 10.07%, and 6.68%, respectively, outperforming comparative policy indices. Investments in the fund are neither insured nor guaranteed by the State of Tennessee or any federal agency, and participants should consult independent financial advisors regarding suitability for their individual circumstances.

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Tennessee Treasury Managed Fund

(the “Fund”)

Investment	Option	for	the	Tennessee	State	Employees
Deferred	Compensation	Plan	and	Trust

and	the
State	of	Tennessee	Deferred	Compensation	Plan	II

DISCLOSURE	BROCHURE
Dated:		July	1,	2015

Participants	in	the	401(k)	Plan	or	the	457	Plan	should	read	this
Disclosure	Brochure	carefully	before	deciding	whether	to	invest	in	the

Fund.

Tennessee Treasury Managed Fund Disclosure Brochure (Rev.07/2015) Page 2 of 15

TABLE OF CONTENTS

GLOSSARY

OVERVIEW

INVESTMENT OBJECTIVE AND STRATEGY

PRINCIPAL INVESTMENT RISKS

EXPENSES AND FEES

INVESTMENT PERFORMANCE

UNIT VALUATION

GOVERNANCE AND MANAGEMENT

ADDITIONAL MATTERS

Portfolio Holdings, Financial Statements and Periodic Audits

How to Invest or Change Investment Allocations

The

information

presented

this

Disclosure

Brochure

believed

accurate

the

date

printed

the

cover

page.

However,

the

information

and

opinions

this

Disclosure

Brochure

are

subject

change

without

notice.

For

information

about

the

Fund,

contact

the

Tennessee

Department

Treasury,

Andrew

Jackson

Building,

ATTN:

Director

Deferred

Compensation,

13th

Floor,

502

Deaderick

Street,

Nashville,

37243;

615‐532‐2347;

http://treasury.tn.gov/index.html.

Tennessee Treasury Managed Fund Disclosure Brochure (Rev.07/2015) Page 3 of 15

GLOSSARY

As used in this Disclosure Brochure, the capitalized terms shall have the meaning set forth below:

Board – The Board of Trustees of the Retirement System, who are also the trustees of the Group Trust.

Deferred

Compensation

Program

–

The

State

Tennessee

Deferred

Compensation

Plan

(also

known

the

401(k)

Plan)

and

the

Tennessee

State

Employees

Deferred

Compensation

Plan

and

Trust

(also

known

the

457

Plan).

Fund

–

The

Tennessee

Treasury

Managed

Fund,

fund

managed

the

Treasury

Department

which

the

assets

the

Retirement

System

are

invested.

Also

known

the

Group

Trust.

Group

Trust

–

The

State

Tennessee

Retiree

Group

Trust

created

March

27,

2015

hold

the

assets

the

Retirement

System

and

the

assets

the

Deferred

Compensation

Program

that

Participants

direct

invested

the

Fund.

For

copy

the

Group

Trust

Declaration

for

the

State

Tennessee

Retiree

Group

Trust

dated

March

27,

2015,

amended

from

time

time,

contact

the

Tennessee

Department

Treasury.

Investment

Policy

–

The

Retirement

System’s

Investment

Policy,

amended

from

time

time.

For

additional

information

about

the

Investment

Policy,

visit

http://treasury.tn.gov/tcrs/index.html

and

select

the

Investment

Policy

and

information

under

the

Administration

Information

tab.

Participant

–

individual

with

account

the

Deferred

Compensation

Program

who

responsible

for

selecting

one

the

investment

options

which

contributions

will

allocated.

Retirement

System

–

retirement

system

established

under

the

laws

the

State

Tennessee

for

the

purpose

providing

retirement

allowances

and

other

benefits

under

the

provisions

the

Statute.

Also

known

the

“Tennessee

Consolidated

Retirement

System”

(Tennessee

Code

Annotated

§8‐34‐202).

Statute

–

Title

Chapters

‐

the

Tennessee

Code

Annotated,

amended

from

time

time.

For

additional

information

about

the

Statute,

visit

http://www.tennessee.gov/tsla/legislative.htm

Treasury

Department

–

Collectively,

the

Tennessee

State

Treasurer

and

the

Tennessee

Department

Treasury.

For

additional

information

about

the

Treasury

Department,

visit

http://treasury.tn.gov/index.html.

Unit

Interest

–

proportional

interest

the

Fund.

The

net

asset

value

each

Unit

Interest

calculated

dividing

the

value

the

net

assets

the

Fund

(i.e.

total

assets

minus

total

liabilities)

the

total

number

outstanding

Units

Interest

the

Fund.

For

additional

information,

please

refer

the

section

this

Disclosure

Brochure

captioned

Unit

Valuation.

Tennessee Treasury Managed Fund Disclosure Brochure (Rev.07/2015) Page 4 of 15

OVERVIEW

You

should

carefully

consider

your

risk

tolerance,

investment

horizon,

retirement

savings

goals

and

overall

investment

objectives

prior

making

investment

the

Fund.

You

should

also

consider

the

Fund’s

objectives,

risks,

fees

and

expenses,

addition

considering

the

other

investment

options

available

you

the

Deferred

Compensation

Program.

The

Tennessee

Consolidated

Retirement

System

(“Retirement

System”)

retirement

system

established

under

the

laws

the

State

Tennessee

the

General

Assembly

provide

defined

benefit

pensions

and

other

benefits

for

state

employees,

teachers,

higher

education

employees,

local

government

employees

and

employees

other

entities

authorized

participate.

Effective

March

27,

2015,

the

Tennessee

Consolidated

Retirement

System

trust

was

converted

the

Group

Trust

and

unitized

provide

Participants

the

Deferred

Compensation

Program

opportunity

invest

the

Retirement

System

investment

portfolio

managed

the

Treasury

Department.

The

assets

the

Deferred

Compensation

Program

that

Participants

direct

invested

the

Fund

will

held

the

Group

Trust

and

commingled

with

the

assets

the

Retirement

System

for

investment

purposes.

Deferred

Compensation

Program

Participants

who

invest

the

Fund

will

hold

Units

Interest

issued

the

Group

Trust

their

Deferred

Compensation

Program

accounts.

Such

Units

Interest

are

offered

subject

the

right

the

Board

the

Treasury

Department

reject

any

purchase

redemption

whole

part.

you

are

already

member

beneficiary

the

Retirement

System,

investing

the

Fund

will

not

increase

decrease

your

monthly

benefit

from

the

Retirement

System.

Tennessee Treasury Managed Fund Disclosure Brochure (Rev.07/2015) Page 5 of 15

INVESTMENT OBJECTIVE AND STRATEGY

The

primary

investment

objective

the

Fund

that

the

Retirement

System:

establish

stable,

diversified

investment

portfolio

that,

the

long‐term,

will

meet

exceed

the

assumed

actuarial

rate

return,

adopted

the

Board,

order

provide

sufficient

liquidity

pay

pension

benefits

the

Retirement

System’s

beneficiaries

timely

manner.

Because

the

long‐term

nature

the

Retirement

System’s

investment

objective,

the

time‐horizon

for

the

Fund’s

investment

decisions

also

long‐term

and

may

exceed

ten

(10)

years.

The

assets

the

Fund

are

actively

managed

with

allocations

across

domestic

and

international

debt

and

equity

(public

and

private),

real

estate,

currency

and

derivatives.

The

Investment

Policy,

approved

the

Board,

provides

the

strategic

asset

allocation

ranges

and

authorizes

the

Treasury

Department

make

tactical

shifts

asset

allocations,

within

the

approved

asset

allocation

ranges,

deemed

appropriate

increase

risk‐adjusted

returns.

For

additional

information

about

the

Investment

Policy,

visit

http://treasury.tn.gov/tcrs/index.html

and

select

the

Investment

Policy

and

information

under

the

Administration

Information

tab.

As of March 31, 2015, the Retirement System’s portfolio target and actual asset allocations were as follows:

Asset Class Target Actual

U.S. Equity 33.0% 34.3%

Canadian Equity 4.0% 3.6%

International Developed Markets Equity 13.0% 13.1%

International Emerging Markets Equity 5.0% 4.5%

U.S. Fixed Income 25.0% 27.7%

International Hedged Bonds 4.0% 5.9%

Real Estate 7.0% 6.2%

Private Equity ‐ Traditional 3.0% 2.2%

Private Equity ‐ Strategic Lending 5.0% 2.2%

Short‐Term (Cash Equivalents) 1.0% 0.3%

(Source: Strategic Investment Solutions, Inc.)

For

the

most

current

quarterly

asset

allocation

information

for

the

Retirement

System,

visit

http://treasury.tn.gov/tcrs/index.html

and

select

the

Investment

Consultant

Report

available

under

the

Board

Meetings

tab.

Tennessee Treasury Managed Fund Disclosure Brochure (Rev.07/2015) Page 6 of 15

PRINCIPAL INVESTMENT RISKS

with

any

investment,

you

may

lose

money

investing

the

Fund,

including

the

entire

amount

you

invested.

Investments

the

Fund

are

neither

insured

nor

guaranteed

the

state

Tennessee,

the

Tennessee

State

Treasurer,

the

Fund,

other

state

agencies,

federal

government

agencies

any

employees

directors

any

such

entities.

The

Fund

not

registered

under

the

Investment

Company

Act

1940,

nor

the

offering

Units

Interest

Deferred

Compensation

Program

Participants

registered

under

the

Securities

Act

1933

any

state

law.

Additionally,

investments

the

Fund

are

not

insured

the

Federal

Deposit

Insurance

Corporation

(“FDIC”).

There

are

numerous

risks

associated

with

investing

the

Fund.

This

Disclosure

Brochure

does

not

list

every

conceivable

factor

that

may

affect

the

value

your

investment

the

Fund.

Certain

principal

risks

investing

the

Fund

are

described

below.

Additional

risks

may

arise.

Furthermore,

neither

the

Board

nor

the

Treasury

Department

makes

any

representation

concerning

the

appropriateness

investing

any

investment

option,

including

the

Fund,

for

any

Participant.

Other

types

investments

may

appropriate

depending

upon

Participant’s

financial

status,

tax

situation,

risk

tolerance,

age,

investment

horizon,

retirement

savings

goals

and

overall

investment

objectives.

The

investments,

fees,

expenses,

and

other

consequences

and

features

alternative

investments

may

differ

from

those

the

Fund.

Anyone

considering

investing

the

Fund

should

consider

alternative

investment

options

and

consult

independent

investment

adviser

other

financial

professional

prior

investing

the

Fund.

Suitability

The

long‐term

nature

the

Fund’s

investment

objective

will

not

meet

the

needs

every

investor.

The

Fund’s

asset

allocation

and

investment

strategies

may

changed

any

time,

based

the

needs

the

Retirement

System

and

changing

market

conditions.

Neither

the

Board

nor

the

Treasury

Department

will

consider

the

age,

investment

objectives,

risk

tolerance

estimated

time

until

retirement

any

single

Participant.

Due

the

long‐term

nature

the

Retirement

System’s

liabilities,

the

time‐horizon

for

the

Fund’s

investment

decisions

may

times

exceed

ten

(10)

years.

Liquidity

The

Units

Interest

will

offered

and

sold

only

Participants

the

Deferred

Compensation

Program.

There

will

public

market

for

the

Units

Interest

and

the

net

asset

value

each

Unit

Interest

will

computed

the

master

custodian,

under

the

ultimate

supervision

the

Treasury

Department.

The

Units

Interest

may

not

transferred

sold

except

permitted

the

Treasury

Department.

The

Treasury

Department

may

its

sole

discretion

restrict,

reject

cancel

purchase

redemption

(all

part)

for

any

reason

and

the

proceeds

may

withheld.

This

means

your

ability

transfer

amounts

out

the

Fund

another

investment

option

available

the

Deferred

Compensation

Program

may

restricted

and

your

ability

receive

cash

for

your

Units

Interest

when

you

take

distribution

from

your

Deferred

Compensation

Program

account

may

restricted.

Other

investment

options

available

the

Deferred

Compensation

Program

may

have

different

restrictions,

limitations

and

minimums

and

may

impose

fees

for

redemptions

exchanges.

Check

each

investment

option’s

disclosure

documents

(prospectus)

for

details.

Tennessee Treasury Managed Fund Disclosure Brochure (Rev.07/2015) Page 7 of 15

Market Risk and Volatility

Market

risk

involves

the

possibility

that

the

value

investments

held

the

Fund

will

fall

because

general

decline

the

relevant

market

adverse

events

affecting

individual

investment.

Market

volatility

involves

dramatic

market

movements,

those

experienced

during

2008

and

2009,

including

substantially

lower

valuations,

reduced

liquidity,

price

volatility,

credit

downgrades,

increased

likelihood

default

and

valuation

difficulties.

Equity Securities Risks

Common

stocks

and

other

equity

securities

generally

increase

decrease

value

based

the

earnings

company

and

general

industry

and

market

conditions,

and

tend

experience

greater

price

fluctuations

than

fixed

income

securities.

Security

prices

companies

with

small

and

medium

market

capitalizations

are

often

volatile

and

less

liquid

than

investments

larger

companies.

Small

and

medium

market

capitalization

companies

may

face

greater

risk

business

failure,

which

could

increase

their

volatility.

Sector Risk

Companies

the

same

sector

may

similarly

impacted

adverse

market,

regulatory,

political

economic

events

conditions

affecting

that

sector.

the

extent

the

Fund

concentrates

its

investments

one

industries

sectors,

adverse

events

conditions

influencing

those

sectors

may

cause

significant

losses

the

Fund.

Fixed Income Securities Risks

Fixed income securities are subject to credit risk, interest rate risk and call and prepayment risk.

Credit Risk

Credit

risk

the

risk

that

the

value

fixed‐income

security

may

decline

because

the

issuer

unable

unwilling

(or

perceived

unable

unwilling)

make

timely

payments

principal

and

interest.

Lower

quality

unrated

fixed‐income

securities,

including

below

investment‐grade

securities

(commonly

known

“high‐yield”

“junk”),

are

subject

greater

price

fluctuations

and

are

likely

experience

default

than

investment‐grade

securities.

Interest Rate Risk

Interest

rate

risk

the

risk

losses

due

changes

interest

rates.

The

market

values

fixed‐income

securities

typically

fall

when

interest

rates

rise.

Fluctuations

the

market

values

fixed‐income

securities

held

the

Fund

usually

will

not

affect

cash

income

from

such

securities

but

will

reflected

value

the

Fund’s

Units

Interest.

Generally,

fixed‐income

securities

with

longer

durations

will

sensitive

changes

interest

rates.

Call and Prepayment Risk

Call

and

prepayment

risk

the

risk

that,

during

periods

falling

interest

rates,

bonds

other

securities

may

called

otherwise

converted,

prepaid

redeemed

before

maturity.

this

occurs,

the

Fund

may

forced

reinvest

the

unanticipated

proceeds

securities

with

less

favorable

terms.

Prepayment

risk

especially

high

for

mortgage‐

and

asset‐backed

securities

during

periods

declining

interest

rates

because

borrowers

will

typically

seek

refinance

these

loans.

Tennessee Treasury Managed Fund Disclosure Brochure (Rev.07/2015) Page 8 of 15

Foreign Securities Risks

Foreign

securities

may

experience

rapid

and

extreme

changes

value

than

securities

United

States

companies.

addition,

foreign

issuers

are

generally

not

subject

the

same

degree

regulation

United

States

issuers.

Nationalization,

expropriation

confiscatory

taxation

political

changes

could

adversely

affect

the

Fund’s

investments

foreign

country.

the

extent

that

foreign

securities

the

Fund’s

portfolio

are

not

dollar‐denominated,

there

risk

that

fluctuations

the

rate

exchange

between

the

United

States

dollar

and

the

foreign

currencies

which

such

securities

are

denominated

may

negatively

affect

the

value

the

Fund’s

investments

the

foreign

securities.

The

Fund’s

investments

emerging

markets

are

subject

additional

and

greater

risks

than

investments

developed

foreign

markets.

These

risks

include

greater

illiquidity;

significant

price

volatility;

restrictions

foreign

investment;

possible

repatriation

investment

income

and

capital;

and

currency

declines

and

inflation.

Private Equity Risks

Private

investment

funds

may

engage

speculative

and

alternative

trading

strategies.

Investments

private

funds

are

typically

illiquid

and

their

performance

results

can

extremely

volatile.

The

managers

these

alternative

funds

typically

provide

estimated,

unaudited

fund

values

least

quarterly;

however,

such

estimated

valuation

may

quarterly

trailing

basis.

result,

the

value

Unit

Interest

will

based

these

estimates,

which

may

not

accurate

the

time

the

Fund

calculates

its

net

asset

value

per

Unit

Interest

due

material

changes

the

markets

and/or

the

value

the

private

funds’

assets

since

the

dates

the

estimate.

Additionally,

fair

valuation

private

investment

funds

inherently

subjective.

Real Estate Risks

Risks generally associated with investing in real estate include:

(i) possible declines in the value of real estate;

(ii) adverse general and local economic conditions;

(iii) possible lack of availability of mortgage funds;

(iv) changes in interest rates;

(v) inconsistent payments from underlying property users; and

(vi) environmental concerns.

Additionally,

real

estate

often

only

valued

annually

and

valuation

inherently

subjective.

result,

the

net

asset

value

the

Units

Interest

the

Fund

will

calculated

based

these

valuations,

which

may

not

accurate.

Investments

real

estate

are

typically

illiquid.

Currency and Currency Hedging Risk

Currency

risk

the

risk

that

the

value

the

Fund’s

investments

denominated

foreign

currencies

will

adversely

affected

unfavorable

changes

currency

exchange

rates.

The

Fund

may

times

attempt

hedge

currency

risk

with

derivatives

and

other

transactions.

While

hedging

strategies

are

designed

minimize

the

risk

loss

due

decline

the

value

the

hedged

currency,

they

involve

costs

the

Fund

that

may

limit

any

potential

gain

that

might

result

from

increase

value

the

hedged

currency.

Hedging

strategies

may

fail

for

number

reasons,

including

because

imperfect

correlation

between

the

hedge

and

the

currency

position.

Tennessee Treasury Managed Fund Disclosure Brochure (Rev.07/2015) Page 9 of 15

Securities Lending Risk

The

risks

lending

portfolio

securities

include

the

possible

delay

recovery

the

securities

possible

loss

rights

the

collateral

should

the

borrower

fail

financial.

borrower

defaults,

the

value

collateral

held

the

Fund

may

decline

before

the

Fund

can

dispose

it.

Derivatives Risk

The

Fund

may

engage

variety

transactions

involving

derivatives,

such

swaps,

options,

futures

and

certain

foreign

currency

transactions.

Derivatives

are

financial

contracts

whose

value

depends

on,

derived

from,

the

value

something

else,

such

underlying

asset,

pool

assets,

currencies,

interest

rate

indices.

The

Fund

may

use

derivatives

for

several

purposes,

including

hedging,

substitute

for

direct

investment

securities

other

assets,

increase

its

exposure

particular

market.

Some

derivatives

are

“leveraged,”

which

means

that

adverse

change

the

value

the

underlying

asset,

index

reference

rate

can

result

loss

substantially

greater

than

the

amount

the

Fund

initially

invested

the

derivative

itself.

The

risk

loss

from

certain

derivatives

positions

theoretically

unlimited.

Over‐the‐counter

derivative

transactions

also

involve

the

risk

that

the

counterparty

the

transaction

may

unwilling

unable

meet

its

obligations

the

Fund.

Market Regulation Risk

The

financial

crisis

2007

–

2009

and

other

market

disruptions

have

led

increased

governmental

and

regulatory

scrutiny

the

markets

general.

impossible

predict

the

changes

regulations

that

may

result

from

these

developments,

but

any

regulations

which

restrict

the

Treasury

Department’s

trading

access

ability,

broker‐dealers’

and

other

counterparties’

trading

access

ability,

could

have

negative

impact

the

Fund.

Tennessee Treasury Managed Fund Disclosure Brochure (Rev.07/2015) Page 10 of 15

EXPENSES AND FEES

The

expenses

and

fees

are

based

actual

expenses

incurred

the

Retirement

System

directly

its

investment

program

during

the

fiscal

year

ended

June

30,

2015

and

projected

expenses

for

the

fiscal

year

ended

June

30,

2016.

There

are

revenue‐generating

fees

paid

the

Retirement

System

the

Treasury

Department

Fund

investors.

The

table

below

illustrates

the

expenses

that

you

may

pay

you

invest

Units

Interest

the

Fund.

Investment

Operation

and

Management

Fees

include

external

manager

and

investment

consultant

fees

well

fees

paid

the

master

custodian.

Fund

Administration

Expenses

include

personnel

and

recordkeeping

costs.

Commission

costs

for

publicly

traded

securities

and

management

fees

for

private

equity

investments

are

capitalized,

meaning

commission

costs

and

management

fees

are

not

included

the

expenses,

but

are

recorded

the

value

the

assets.

Deferred

Compensation

Program

Participants

who

invest

the

Fund

should

aware

that

the

expenses

incurred

them

may

higher

than

the

expenses

the

Retirement

System

because

Participants

pay

the

incremental

cost

offering

the

Fund

investment

option

the

Deferred

Compensation

Program.

The

total

expenses

that

you

pay

may

higher

lower

depending

several

factors,

including

the

actual

expenses

incurred

the

Fund.

Investment Operation and Management Fees 0.11%

Fund Administration Expenses 0.02%

Total Annual Operating Expenses 0.13%

This

example

intended

help

you

compare

the

cost

investing

the

Fund

with

the

cost

investing

other

investment

options

available

within

the

Deferred

Compensation

Program

(refer

the

section

this

Disclosure

Brochure

captioned

Additional

Matters

for

information

how

obtain

information,

including

costs,

the

other

investment

options

available).

The

example

assumes

that

you

invest

ten

thousand

dollars

($10,000)

the

Fund

for

the

periods

indicated.

The

example

also

assumes

that

your

investment

has

five

percent

(5%)

return

each

year

and

that

the

Fund’s

expenses

remain

the

same.

Although

your

actual

costs

and

the

return

may

higher

lower,

based

the

above‐stated

assumptions,

your

costs

would

be:

1	Year		3	Years	5	Years	10	Years
$13.34		$42.00		$73.52	$166.74

Tennessee Treasury Managed Fund Disclosure Brochure (Rev.07/2015) Page 11 of 15

INVESTMENT PERFORMANCE

The

principal

value

your

account

and

the

investment

return

may

fluctuate,

and

the

Units

Interest,

when

redeemed,

may

worth

less

than

the

amount

contributed.

The

performance

information

below

shows

the

Retirement

System

investment

portfolio’s

performance

year‐to‐year

since

its

inception

1977.

Past

performance

not

guarantee

prediction

future

performance.

Returns

the

bar

chart

are

for

periods

ended

June

30th

and

calculated

using

market,

time‐weighted

rate

return

method.

The

time‐weighted

rate

return

method

values

portfolio’s

performance,

taking

into

account

any

cash

inflows

and

outflows

that

may

have

occurred

during

the

valuation

period.

Retirement	System	Annual	Returns*
1977	‐	2014

(Source: Strategic Investment Solutions, Inc.)

The

Retirement

System

did

not

begin

investing

real

estate

investments

until

1999

and

private

equity

investments

until

2009.

35.40%

‐15.27%

‐20%

‐10%

10%

20%

30%

40%

Tennessee Treasury Managed Fund Disclosure Brochure (Rev.07/2015) Page 12 of 15

The table below compares the Fund’s returns with those of comparative indexes as of March 31, 2015.

1 Year 5 Years 10 Years

Tennessee Treasury Managed Fund ‐‐ ‐‐ ‐‐

Comparative Indexes

Retirement System 8.68% 10.07% 6.68%

Policy Index1 8.12% 9.87% 7.04%

Total Fund Allocation Index Index2 8.09% 9.39% N/A

(Source: Strategic Investment Solutions, Inc.)

Effective

1/1/13,

the

Policy

Index

for

the

Retirement

System

comprised

the

following

components:

33%

S&P

1500;

S&P

TSX

Index;

13%

MSCI

EAFE

Investable

Market

Index

(net);

MSCI

Emerging

Markets

Index

(net);

25%

Citigroup

Large

Pension

Fund

Index;

Citigroup

TIPS

Index;

Custom

Traditional

Private

Equity

Index

(consisting

S&P

500

Index

lagged

one

quarter

(due

reporting

availability

performance

and

valuation));

Custom

Strategic

Lending

Index

(consisting

50%

Barclay’s

High

Yield

Issuer

Capped

Index

and

50%

Credit

Suisse

Leveraged

Loan

Index);

NCREIF

Property

Index

lagged

one

quarter

(due

reporting

availability

performance

and

valuation);

and

91‐Day

United

States

Treasury

Bills.

Effective

1/1/15,

Total

Fund

Allocation

Index

for

the

Retirement

System

comprised

the

following

components:

3.73%

S&P

1500;

4.1%

S&P

TSX

Index;

13.3%

MSCI

EAFE

Investable

Market

Index

(net);

5.1%

MSCI

Emerging

Markets

Index

(net);

26.4%

Citigroup

Large

Pension

Fund

Index;

6.4%

Citigroup

TIPS

Index;

6.1%

NCREIF

Property

Index

lagged

one

quarter

(due

reporting

availability

performance

and

valuation);

1.9%

Custom

Traditional

Private

Equity

Index

(consisting

S&P

500

Index

lagged

one

quarter

(due

reporting

availability

performance

and

valuation));

Custom

Strategic

Lending

Index

(consisting

50%

Barclay’s

High

Yield

Issuer

Capped

Index

and

50%

Credit

Suisse

Leveraged

Loan

Index);

and

91‐Day

United

States

Treasury

Bills.

For the most current quarterly performance data for the Fund, visit www.empower‐retirement.com.

Tennessee Treasury Managed Fund Disclosure Brochure (Rev.07/2015) Page 13 of 15

UNIT VALUATION

The

net

asset

value

each

Unit

Interest

the

Fund

calculated

dividing

the

value

the

net

assets

the

Fund

(i.e.,

total

assets

minus

total

liabilities)

the

total

number

outstanding

Units

Interest

the

Fund.

The

net

asset

value

the

Fund

determined

the

regular

trading

the

New

York

Stock

Exchange

(“NYSE”)

each

day

the

exchange

open

(typically

4:00

p.m.

Eastern

Time).

The

Fund

generally

values

its

investments

for

which

market

quotations

are

readily

available

market

value.

All

other

investments

and

assets

are

valued

their

fair

value,

which

may

differ

from

market

prices.

Market

quotations

are

generally

not

available

for

certain

investments,

including

private

equity

and

real

estate

investments.

Private

equity

fund

investments

are

generally

valued

based

unaudited,

estimated

valuations

provided

the

fund’s

manager,

which

are

typically

provided

quarterly.

Real

estate

investments

are

valued

based

the

last

provided

estimated

valuation,

which

may

several

months

old.

The

Fund

translates

prices

for

its

investments

quoted

foreign

currencies

into

United

States

dollars

current

exchange

rates

each

day

values

its

securities.

Because

foreign

markets

may

open

different

times

than

the

NYSE,

the

value

the

Fund’s

Units

Interests

may

change

when

Participants

are

unable

make

purchases

redemptions.

Fair

value

represents

good

faith

approximation

the

value

asset.

Because

the

inherent

uncertainty

and

subjective

nature

fair

valuation,

fair

valuation

price

may

differ

significantly

from

the

value

that

the

Fund

would

actually

receive

sale

the

asset.

Tennessee Treasury Managed Fund Disclosure Brochure (Rev.07/2015) Page 14 of 15

GOVERNANCE AND MANAGEMENT

General

administration

and

responsibility

for

the

proper

operation

the

Retirement

System

are

vested

with

the

Board,

including

the

authority

for

investing

and

reinvesting

the

assets.

The

Board

consists

twenty

members

who

are

outlined

and

named

the

Retirement

System’s

annual

report,

which

available

online

www.treasury.tn.gov.

The

day‐to‐day

administration

and

operation

the

Retirement

System

and

the

Fund

are

delegated

the

State

Treasurer,

constitutional

officer.

The

State

Treasurer

serves

the

custodian

for

and

invests

the

assets

the

Group

Trust

accordance

with

the

Statute,

Group

Trust

Declaration

and

the

Retirement

System’s

Investment

Policy.

The

State

Treasurer

appoints

Chief

Investment

Officer

who

responsible

(with

the

investment

staff

the

Treasury

Department)

for

the

ongoing

evaluation

and

management

the

assets.

The

Treasury

Department

engages

outside

investment

managers

manage

limited

number

asset

classes

subclasses,

primarily

international

equity,

and

retains

the

services

several

investment

consultants.

State

Street

Bank

and

Trust

Company

serves

the

master

custodian,

providing

portfolio

accounting

and

daily

valuation

services

for

the

Treasury

Department,

including

the

Fund.

Great‐West

Life

Annuity

Insurance

Company

serves

the

recordkeeper

and

administrator

the

Deferred

Compensation

Program,

providing

comprehensive

deferred

compensation

plan

administration

and

recordkeeping

services

for

the

Treasury

Department,

including

assets

the

Deferred

Compensation

Program

invested

the

Fund.

Tennessee Treasury Managed Fund Disclosure Brochure (Rev.07/2015) Page 15 of 15

ADDITIONAL MATTERS

Portfolio Holdings, Financial Statements and Periodic Audits

The

Fund’s

largest

stock

and

bond

holdings

the

end

the

most

recent

calendar

quarter

are

available

visiting

www.empower‐retirement.com.

Typically,

this

list

updated

fifteen

(15)

business

days

after

the

end

calendar

quarter.

The

Treasury

Department

prepares

the

financial

statements

the

Retirement

System

and

the

Fund.

copy

the

annual

report

available

the

Treasury

Department’s

website,

www.treasury.tn.gov.

The

Treasury

Department

subject

auditing

the

State

Tennessee,

Comptroller

the

Treasury.

copy

the

Treasury

Department’s

annual

audit

report

available

the

Tennessee

Comptroller

the

Treasury’s

website,

http://www.comptroller.tn.gov/sa/AuditReportCategories.asp.

How to Invest or Change Investment Allocations

Only

Participants

the

Deferred

Compensation

Program

may

invest

the

Fund.

Participant

the

Deferred

Compensation

Program

may

move

any

portion

his/her

account

balance

into

out

the

Fund

daily

basis

(generally,

any

day

which

the

New

York

Stock

Exchange

(“NYSE”)

and

the

Treasury

Department

are

open

for

regular

business

activity);

however,

excessive

trading

the

Fund

highly

discouraged.

The

Treasury

Department

may

its

sole

discretion

restrict,

reject

cancel

purchase

redemption

(all

part)

for

any

reason

and

the

proceeds

may

withheld.

invest

the

Fund,

change

investment

allocations

for

additional

information

about

the

investment

options

available

the

Deferred

Compensation

Program,

Participant

can:

Go online: www.empower‐retirement.com

Email: tn401k457@gwrs.com

Call: 800‐922‐7772

For

information

about

the

Fund,

contact

the

Tennessee

Department

Treasury,

Andrew

Jackson

Building,

ATTN:

Director

Deferred

Compensation,

13th

Floor,

502

Deaderick

Street,

Nashville,

37243;

615‐532‐2347;

http://treasury.tn.gov/index.html.

The

Board

and

Tennessee

Department

Treasury

and

its

employees

are

not

authorized

provide

legal,

financial

tax

advice.

Prospective

and

existing

Fund

investors

should

consult

their

personal

legal,

tax

other

advisers

for

inquiries

specific

their

circumstances.

The

Treasury

Department

operates

all

programs

and

activities

free

from

discrimination

based

race,

sex

any

other

classification

protected

federal

Tennessee

state

law.

Individuals

who

may

require

alternative

communication

format

should

contact

the

Tennessee

Treasury

Human

Resources

Title

Coordinator

Treasury

Department,

Human

Resources,

14th

Floor,

Andrew

Jackson

Building,

502

Deaderick

Street,

Nashville,

37243;

615‐741‐4915.

File details come from the government source that posted it. Updated May 14, 2026.