As soon as practicable after the close of each fiscal year the board shall file with the Governor and the Legislature a report of its financial statements and investments for the fiscal year. The report shall be submitted in printed or electronic form and shall include, but not be limited to, each of the following:
(a)
A copy of the annual audit performed pursuant to Section 20228.
(b)
A review of the system’s asset mix strategy, a market review of the economic and financial environment in which investments were made, and a summary of the system’s general investment strategy.
(c)
A description of the investments currently held by this system at cost and market value. The description of investments shall include, but not be limited to, the asset classes reported pursuant to Section 20235. The report shall also include a list of all investment holdings at the close of the fiscal year, including any major divestitures taken during the fiscal year.
(d)
The following information regarding the rate of return of this system by asset type:
(1)
Time-weighted market value rate of return on a five-year, three-year, and one-year basis.
(2)
Portfolio return comparisons by asset class that compare investment returns with an alternative theoretical portfolio of comparable funds, universes, and indexes.
(e)
The use of outside investment advisers and managers, including costs and fees.
(f)
A description of the system’s investments at cost and market value held in the state.
(g)
A review of the system’s custodial relationship and daily cash management, purchases, sales, turnover, private placements, soft dollar purchases, and transaction costs such as commissions, dealer spreads, and accommodations.