State of Tennessee, Department of Treasury

CIK 0001587973 · Q1 2026

13F Equity AUM

$29.8B

-4.9% QoQ

Positions

1,720

-6 QoQ

AUM Rank

#315

Top 3%

Skill Alpha (FF)

-1.0%/yr

Underperformer

Rank #3,674 · Top 45%

vs S&P -3.8%/yr (unadj.)

Quarters Tracked

~12 years

Portfolio Concentration

Top 5: 17.4%Top 10: 26.7%Top 20: 37.6%

NVDA4.9%

AAPL4.3%

MSFT3.2%

EWY2.6%

AMZN2.4%

EWT2.3%

GOOGL1.9%

VTI1.8%

AVGO1.7%

GOOG1.6%

Others (1710)73.3%

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

Sector Allocation

Financial Services28.2%

Technology24.6%

Consumer Cyclical7.4%

Healthcare7.2%

Industrials7.1%

Communication Services7.1%

Real Estate4.7%

Energy4.4%

Other9.1%

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

Position Sizing

Positions: 1720Median: 0.01%Avg: 0.06%

0–0.5%

1688(54.0%)

0.5–1%

16(11.9%)

1–3%

13(21.6%)

3–5%

3(12.5%)

5%+

0(0.0%)

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

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Portfolio Overlap

Shared: 1,718Unique: 2vs 20 funds

23.5%Moderate

1,720

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

32.6%

BANK OF AMERICA CORP /DE/

35.3%

BlackRock, Inc.

41.9%

GEODE CAPITAL MANAGEMENT, LLC

47.1%

JPMORGAN CHASE & CO

33.5%

VANGUARD CAPITAL MANAGEMENT LLC

47.7%

STATE STREET CORP

46.2%

VANGUARD PORTFOLIO MANAGEMENT LLC

53.4%

FMR LLC

45.6%

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

New54Increased496Decreased414Exited60

New Positions

SHYG0.2%

+1.2M

AZN0.2%

+257K

BKLN0.1%

+1.3M

XLK0.1%

+106K

XLF0.0%

+220K

SUNBELT RENTALS HOLD…0.0%

+204K

PNFP0.0%

+64K

AMCOR PLC COM NEW AD…0.0%

+117K

AGX0.0%

+4K

APLS0.0%

+40K

Increased

JAAA0.1%

+693K(+693%)

JPST0.1%

+456K(+237%)

PCG0.1%

+386K(+66%)

TSM1.2%

+347K(+48%)

ALC0.2%

+224K(+47%)

PLD1.1%

+209K(+9%)

HRL0.0%

+166K(+542%)

VNO0.1%

+160K(+23%)

KIM0.1%

+147K(+15%)

EQR0.2%

+136K(+13%)

Decreased

EWT2.3%

-2,920,956(-23%)

INDA1.4%

-2,084,642(-19%)

FALN0.1%

-1,402,300(-60%)

EWZ0.8%

-995,390(-14%)

VTRS0.0%

-930,051(-80%)

NOK0.1%

-907,050(-32%)

EWY2.6%

-630,957(-9%)

EIDO0.1%

-560,153(-18%)

SRLN0.8%

-348,666(-6%)

HYG0.2%

-304,830(-25%)

Exited

-73,539

-52,741

-47,850

-71,625

-5,308

-15,972

-3,702

-700

-12,418

-20,508

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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