STATE OF MICHIGAN RETIREMENT SYSTEM

CIK 0000762152 · Q1 2026

13F Equity AUM

$18.9B

-7.9% QoQ

Positions

941

+6 QoQ

AUM Rank

#434

Top 4%

Skill Alpha (FF)

-0.5%/yr^ns

No Clear Edge

Rank #2,986 · Top 36%

vs S&P -2.2%/yr (unadj.)

Quarters Tracked

~13 years

Portfolio Concentration

Top 5: 21.7%Top 10: 32.2%Top 20: 41.9%

NVDA6.7%

AAPL5.2%

MSFT4.0%

AMZN3.0%

AVGO2.8%

META2.6%

GOOGL2.4%

GOOG2.4%

MTUM1.7%

TSLA1.4%

Others (931)67.8%

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

Sector Allocation

Technology31.8%

Financial Services16.3%

Communication Services10.3%

Consumer Cyclical8.9%

Healthcare8.6%

Industrials7.9%

Consumer Defensive4.8%

Energy3.5%

Other7.9%

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

Position Sizing

Positions: 941Median: 0.02%Avg: 0.11%

0–0.5%

909(50.8%)

0.5–1%

18(12.6%)

1–3%

11(20.7%)

3–5%

1(4.0%)

5%+

2(11.9%)

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

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Portfolio Overlap

Shared: 940Unique: 1vs 20 funds

12.9%Low

941

Fund positions

7,299

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.

Most Similar Funds

Top 9 benchmark funds with highest portfolio overlap (Jaccard similarity)

MORGAN STANLEY

17.9%

BANK OF AMERICA CORP /DE/

19.8%

BlackRock, Inc.

23.7%

JPMORGAN CHASE & CO

19.3%

STATE STREET CORP

27.4%

VANGUARD CAPITAL MANAGEMENT LLC

27.5%

VANGUARD PORTFOLIO MANAGEMENT LLC

32.8%

GEODE CAPITAL MANAGEMENT, LLC

26.9%

FMR LLC

31.1%

Jaccard similarity per fund: shared CUSIPs / (fund A + fund B − shared). Higher values indicate more similar portfolios.

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Position Changes This Quarter

New23Increased396Decreased416Exited17

New Positions

SPOT0.1%

+56K

RCL0.1%

+66K

NXPI0.1%

+77K

FLEX0.0%

+97K

LYB0.0%

+74K

AMCOR PLC0.0%

+126K

AEIS0.0%

+9K

PNFP0.0%

+36K

SSYS0.0%

+500K

CNHI0.0%

+261K

Increased

KR0.9%

+893K(+64%)

ADBE1.1%

+698K(+566%)

DUOL0.6%

+633K(+113%)

CHTR0.5%

+405K(+1547%)

HIMS0.3%

+281K(+14%)

MOH0.2%

+211K(+1568%)

FDS0.3%

+205K(+523%)

VRT0.5%

+156K(+65%)

HBAN0.1%

+119K(+27%)

IJH0.4%

+97K(+9%)

Decreased

NVDA6.7%

-815,800(-10%)

SPY0.9%

-608,900(-69%)

NFLX0.6%

-436,400(-27%)

GOOGL2.4%

-328,900(-17%)

AMZN3.0%

-299,900(-10%)

AAPL5.2%

-283,300(-7%)

AMD0.7%

-225,300(-27%)

JPM1.1%

-208,400(-23%)

MSFT4.0%

-176,000(-8%)

VLUE0.2%

-167,900(-38%)

Exited

-108,000

-629,176

-18,227

-61,853

-32,804

-36,532

-13,773

-41,810

-30,200

-44,010

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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