STATE OF MICHIGAN RETIREMENT SYSTEM

CIK 0000762152 · Q2 2026

13F Equity AUM

$22.6B

+19.3% QoQ

Positions

960

+19 QoQ

AUM Rank

#310

Top 4%

Skill Alpha (FF)

-0.5%/yr^ns

No Clear Edge

Rank #3,576 · Top 43%

vs S&P +0.1%/yr (unadj.)

Quarters Tracked

~13 years

Portfolio Concentration

Top 5: 20.1%Top 10: 31.0%Top 20: 42.8%

NVDA6.3%

AAPL4.9%

MSFT3.4%

AMZN2.8%

AVGO2.7%

GOOGL2.5%

GOOG2.4%

AMD2.0%

MTUM2.0%

MU1.9%

Others (950)69.0%

HHI (Herfindahl-Hirschman Index) measures portfolio concentration. Low (<1500) = diversified, Moderate (1500-2500), High (>2500) = concentrated bets.

Sector Allocation

Technology36.5%

Financial Services17.0%

Communication Services9.4%

Healthcare8.2%

Consumer Cyclical7.8%

Industrials7.4%

Consumer Defensive3.9%

Energy2.5%

Other7.3%

Portfolio weight by GICS sector based on latest 13F filing. Sectors below 2% are grouped as “Other.”

Position Sizing

Positions: 960Median: 0.02%Avg: 0.10%

0–0.5%

925(47.7%)

0.5–1%

19(12.9%)

1–3%

13(24.8%)

3–5%

2(8.3%)

5%+

1(6.3%)

Count of positions per weight bucket — (%) = combined portfolio weight

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Portfolio Overlap

Shared: 0Unique: 960vs 20 funds

0%Low

960

Fund positions

Consensus CUSIPs

Jaccard similarity of this fund’s portfolio vs the consensus of top 20 funds by AUM. Low (<15%) = contrarian, Moderate (15-40%), High (>40%) = follows the crowd.

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Position Changes This Quarter

New37Increased150Decreased739Exited18

New Positions

BLACKROCK ETF TRUST …0.4%

+1.9M

AGG0.4%

+900K

HYG0.3%

+900K

MRVL0.3%

+224K

SPTM0.2%

+565K

EWW0.2%

+656K

MCK0.1%

+31K

HONEYWELL INTL INC0.1%

+81K

HONEYWELL AEORSPACE …0.1%

+81K

ABG0.1%

+50K

Increased

HUBS1.0%

+1.1M(+1017%)

LQD1.5%

+900K(+41%)

SOFI0.1%

+649K(+65%)

KR0.7%

+645K(+28%)

CHTR0.7%

+639K(+148%)

ADBE1.2%

+528K(+64%)

ZTS0.2%

+399K(+345%)

KLAC0.5%

+340K(+876%)

BKNG0.2%

+190K(+2245%)

AMD2.0%

+173K(+28%)

Decreased

INTC0.8%

-337,330(-22%)

NKE0.1%

-154,612(-33%)

CI0.1%

-148,600(-65%)

NVDA6.3%

-100,156(-1%)

META1.9%

-87,360(-10%)

AAPL4.9%

-70,100(-2%)

CSCO0.6%

-69,300(-6%)

SLB0.1%

-66,400(-14%)

T7D0.1%

-61,500(-81%)

VLUE0.2%

-61,500(-22%)

Exited

-404,788

-165,815

-340,544

-233,459

-111,394

-58,165

-27,500

-10,996

-51,401

-29,613

Quarter-over-quarter changes compared to prior 13F filing. New = first appearance; Exited = no longer held.

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Holdings

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