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First Quarter 2015
City of Los AngelesDeferred Compensation PlanDefined Contribution Performance Evaluation
Services provided by Mercer Investment Consulting, Inc.
Contents
Mercer
Market Environment..................................................................................................................................................................................................................... 1
Summary ................................................................................................................................................................................................................................... 14
Fund Profiles .............................................................................................................................................................................................................................. 29
Disclaimer ............................................................................................................................................................................................................................... 100
Market Environment
1
1.81.0
1.63.8
-0.74.04.3
6.62.0
2.34.4
3.54.9
5.62.2
0.01.61.41.62.22.5
-2.5-4.0
4.04.2
2.5-5.9
-8.2
-15 -10 -5 0 5 10
Russell 3000S&P 500
Russell 1000Russell 1000 Growth
Russell 1000 ValueRussell Midcap
Russell 2000Russell 2000 Growth
Russell 2000 Value
MSCI ACWIMSCI ACWI Small CapMSCI AC World ex US
MSCI EAFEMSCI EAFE Small Cap
MSCI EM
Barclays T-Bill 1-3 monthsBarclays Aggregate
Barclays TIPS 5-10 yrsBarclays Treasury
Barclays CreditBarclays High Yield
Citi WGBIJP GBI-EM Global Div.
NAREIT Equity REITsNAREIT Global REITsHFRI FOF Composite
Bloomberg Commodity TRS&P GSCI Commodity
Returns (%)
12.412.712.7
16.19.3
13.78.2
12.14.4
5.43.2
-1.0-0.9
-2.90.4
0.05.7
2.95.46.7
2.0-5.5
-11.1
22.716.1
5.4-27.0
-40.3
-50 -40 -30 -20 -10 0 10 20 30 40
Russell 3000S&P 500
Russell 1000Russell 1000 Growth
Russell 1000 ValueRussell Midcap
Russell 2000Russell 2000 Growth
Russell 2000 Value
MSCI ACWIMSCI ACWI Small CapMSCI AC World ex US
MSCI EAFEMSCI EAFE Small Cap
MSCI EM
Barclays T-Bill 1-3 monthsBarclays Aggregate
Barclays TIPS 5-10 yrsBarclays Treasury
Barclays CreditBarclays High Yield
Citi WGBIJP GBI-EM Global Div.
NAREIT Equity REITsNAREIT Global REITsHFRI FOF Composite
Bloomberg Commodity TRS&P GSCI Commodity
Returns (%)
Performance Summary: Quarter in ReviewMarket Performance
First Quarter 2015Market Performance
1 Year
Source: Standard & Poor's, Russell, MSCI Barra, NAREIT, Bloomberg Source: Standard & Poor's, Russell, MSCI Barra, NAREIT, Bloomberg
DOMESTIC EQUITY
INTERNATIONAL EQUITY
FIXED INCOME
ALTERNATIVES
DOMESTIC EQUITY
INTERNATIONAL EQUITY
FIXED INCOME
ALTERNATIVES
2
World Economic Growth (Projections as of March 2015)
Macro Environment: Economic Review
Source: Bureau of Economic Analysis
Annual GDP Growth
Source: Bloomberg
The outlook for developed economies improved in the first quarter.Although growth in the US was slower than expected, data from theEurozone exceeded expectations. The IMF projects advanced economieswill expand by 2.4% this year, which would be the strongest since 2007.
The US economy appears to have sputtered as growth is estimated tocome in below 1%. Temporary factors appeared to play a role, includingthe weather and west coast ports strike. The strong dollar and a decline inenergy investment also contributed. However, economists remainoptimistic on the outlook for the remainder of the year and economistspolled by Bloomberg are forecasting growth of 3%. The unemploymentrate fell to 5.4% in the first quarter as the economy added an average of197,000 jobs a month.
The Eurozone economy improved, benefiting from the decline in the euro,the drop in oil prices and an uptick in credit growth. The IMF forecaststhat the region will grow by 1.5% in 2015, an increase from 0.9% in 2014.Recent data has surprised to the upside, suggesting possible upwardrevisions to growth forecasts.
After a difficult 2014, the outlook for Japan improved during the firstquarter. Business sentiment has turned positive, unemployment hasdeclined to its lowest level since 1997 and nominal wage growth isexpanding at its fastest clip since the mid-2000’s. Analysts polled byBloomberg forecast that Japan will expand by 1.0% in 2015, a markedimprovement from 2014 when growth was flat.
While developed growth continues to show signs of improvement,emerging growth is decelerating, although there were wide divergencesacross EM economies due to varying impacts of weak commodity pricesand the willingness to implement reforms. The outlook in India hasimproved substantially with growth forecasted to rise to 7.4%. In contrast,the Russian and Brazilian economies are forecasted to shrink in 2015.
Chinese growth slowed in the first quarter as credit and investmentactivities fell further. It is possible that growth could fall below 7% for thefirst time since 1990. However, the slowdown has a silver lining if policymakers continue to address the structural imbalances in the economy.
-4
-2
0
2
4
6
8
1981
1983
1985
1987
1989
1991
1993
1995
1997
1999
2001
2003
2005
2007
2009
2011
2013
2015
(F)
(%)
2.4 2.6
0.0
1.6
-0.4
1.40.4
7.4
4.7
0.2 0.6
3.0 2.6
1.01.6
0.5
2.20.9
7.0 7.4
-0.7
-4.0-6.0
-4.0
-2.0
0.0
2.0
4.0
6.0
8.0
10.0
US
UK
Japa
n
Ger
man
y
Italy
Spa
in
Fran
ce
Chi
na
Indi
a
Braz
il
Rus
sia
(%)
2014
2015 (f)
3
-40
-20
0
20
40
60
1994
1995
1996
1997
1998
1999
2000
2001
2002
2003
2004
2005
2006
2007
2008
2009
2010
2011
2012
2013
2014
2015
(%)
Euro UK Pound
Yen Swiss Franc
Macro Environment: CurrenciesPerformance of Foreign Currencies versus the US Dollar
Currency Valuation versus US Dollar (Based on Relative PPP)
Source: Bloomberg
Source: Bloomberg
Undervalued relative to the dollar
Overvalued relative to the dollar
The trade-weighted dollar continued its ascent during the first quarter,rising 8.1%. The dollar advanced by as much as 9.7%, but pared gainsafter the March FOMC meeting. The euro tumbled 11.3%, while the yenwas virtually flat. With a few exceptions, commodity sensitive currenciesand emerging market currencies also declined.
The current and expected level of global interest rates continue to impactcurrency markets. For example, the 10-year US Treasury ended thequarter yielding 1.9% compared to 0.2% in Germany and 0.4% in Japan.With global savings running high, the dollar should continue to benefitfrom foreign investment flows.
Although it is unclear when and how quickly the Fed will ultimately raiserates, we believe it will do so well ahead of other major central banks.This should lead to a US yield advantage on the short end of the curveand support the dollar over the intermediate-term. While the ECBrecently initiated a €1.1T QE program and Japan’s continues its efforts toreflate through large-scale QE, the Fed is unlikely to re-engage in QEabsent an unexpected shock.
The dollar has some long-term headwinds. While not at unprecedentedlevels, the dollar is priced richly against a basket of EAFE currenciesbased on purchasing power parity (PPP). In addition, the US is running asizeable current account deficit, and is expected to experience higherinflation than other economies, which tends to result in long-run currencydepreciation. While these factors argue in favor of the dollar remaining ina secular decline phase, they likely will not prove a serious hurdle overthe short-term.
A near-term risk for the dollar is that its appreciation could be self-limiting. A strong dollar impedes US growth and inflation, which may putFed rate hikes on hold. Calculations by the IMF suggest that a 10%appreciation in the real trade-weighted dollar has an equivalent effect asa 100 basis-point rate hike.
Dollar strength is also a consensus position, suggesting the potential of ashort-term reversal. During the late nineties, the dollar rallied and thegreenback corrected by 8% before continuing to trend higher.
2.21.21.2
0.1-0.4
-1.1-3.4
-4.2-4.9
-6.9-8.4
-11.3-16.8
-9.0-2.6
-3.70.3
-14.1-4.3
-14.4-13.9
-11.1-17.2
-12.9-22.1
-28.9-35 -30 -25 -20 -15 -10 -5 0 5 10
Swiss FrancTaiwan DollarIndian Rupee
Chinese YuanJapanese Yen
Korean WonMexican Peso
New Zealand DollarGB Pound
Australian DollarCanadian Dollar
EuroBrazilian Real
Returns (%)
Quarter
1 Year
4
Asset Class: US Equities – Style, Sector, Cap Performance Style and Capitalization Market Performance
Sector Performance
Source: Standard & Poor's, Russell, Bloomberg
Source: Russell 1000 GICs Sector
Broad MarketUS equities moved higher during the first quarter benefiting from asupportive macro environment. The Russell 3000 index returned 1.8%;however, returns varied significantly across market capitalizations andsectors.
Market Cap Large Caps: The S&P 500 rose 1.0% during the first quarter. Large cap
stocks lagged mid and small cap stocks by 300 bps and 330 bps,respectively, in the first quarter. Dollar strength may help explain relativesize performance as large caps are more multinational, while small capsare more domestically focused. However, over the last 12 months largecaps have outperformed small caps by 450 bps.
Mid Caps: The Russell Midcap Index gained 4.0% during the first quarterand was up 13.7% over the trailing year.
Small Caps: Small cap stocks surged in the first quarter, gaining 4.3%,and outperforming large and mid cap stocks. However, small caps wereup only 8.2% over the last 12 months, trailing large caps.
Style Value vs. Growth: Growth outperformed value across all market
capitalizations during the first quarter. Small cap growth was the leaderfor the quarter, spiking 6.6%. Large cap value was the laggard, declining0.7%.
Sector There was a wide dispersion in sector returns during the quarter. Utilities
plummeted 5.1%, while health care stocks spiked up 7.4%. Over thetrailing year, health care stocks jumped 27.5%, while energy stocks lost11.9% as oil prices dropped.
1.8
1.0
1.6
3.8
-0.7
4.0
5.4
2.4
4.3
6.6
2.0
12.4
12.7
12.7
16.1
9.3
13.7
15.6
11.7
8.2
12.1
4.4-5 0 5 10 15 20 25 30
Russell 3000
S&P 500
Russell 1000
Russell 1000 Growth
Russell 1000 Value
Russell Midcap
Russell Mid Growth
Russell Mid Value
Russell 2000
Russell 2000 Growth
Russell 2000 Value
Returns (%)
Quarter
1 Year
7.4
4.6
2.0
1.4
1.3
1.1
0.2
-0.9
-2.3
-5.1
27.5
17.3
4.2
17.6
16.9
4.6
8.6
10.7
-11.9
10.2
-20 -15 -10 -5 0 5 10 15 20 25 30 35
Health Care
Consumer Discretionary
Telecomm Services
Info Tech
Consumer Staples
Materials
Industrials
Financials
Energy
Utilities
Returns (%)
Quarter
1 Year
5
Asset Class: US Equities – Valuation ReviewS&P500 – P/E Ratio
S&P500 – Estimated Equity Risk Premium1
Versus Long-Term Treasuries
Source: S&P, Bloomberg, Mercer
1 Definitions:Shiller’s P/E= Current S&P 500 price/average 10-year real earningsNormalized P/E= Current S&P 500 price/(current trailing twelve month sales * 6.6% profit margin)Equity Risk Premium= Earnings yield (1/PE) minus the real yield on long-term Treasuries
Source: S&P, Bloomberg, Mercer
The P/E ratio on trailing earnings moved from 19.4 to 20.2 in the firstquarter, which is above the median of 17.4 since 1956. Valuations aremuch higher based on measures that adjust for record high profitmargins. The P/E ratio based on average 10-year real earnings (Shiller’smethodology) stands at 24.0.
S&P 500 earnings could face headwinds in the near-term. Low oil pricesare having an immediate negative impact on energy earnings while thestrong dollar is weighing on foreign sales. BCA research estimates that a10% appreciation in the trade-weighted dollar reduces S&P 500 EPS byaround 2.5%.
Companies have released negative guidance and analysts have slashed2015 EPS estimates by 11% in the last 6 months. With the bar set lower,a positive earnings surprise is a possibility; however, we are concernedthat analysts expect already record high profit margins to expand evenfurther.
The intermediate-term outlook for earnings is mixed. Lower oil prices willultimately reduce input costs, while healthy economic conditions shouldsupport revenue growth. However, with the labor market tightening,employees may begin to capture a large share of growth through wageincrease..
On a relative basis, valuations remain fairly attractive against bonds. Aconservative estimate of the equity risk premium finished the fourthquarter at 3.0%, which is near the long-term median. While we expectstocks to outperform bonds, current valuations leave little margin for errorand suggest long-term returns will be below normal.
0
5
10
15
20
25
30
35
40
45
50
1957
1959
1961
1963
1965
1967
1969
1971
1973
1975
1977
1979
1981
1983
1985
1987
1989
1991
1993
1995
1997
1999
2001
2003
2005
2007
2009
2011
2013
2015
Shiller's (10-yr Avg. Real Earnings)
Normalized Earnings
Reported Earnings
-2
0
2
4
6
8
10
12
14
1951
1955
1959
1963
1967
1971
1975
1979
1983
1987
1991
1995
1999
2003
2007
2011
2015
(%)
6
Asset Class: International Equities – Performance Review Global equities performed solidly in the first quarter. The MSCI ACWI
Index gained 2.3% in the first quarter and 5.4% over the trailing year.Non-US equities outperformed in local terms, benefiting from improvedgrowth forecasts, although a strong dollar detracted from performance.The MSCI ACWI-ex US Index gained 3.5%.
Global small cap equities outperformed global large cap equities in thefirst quarter as the MSCI ACWI Small Cap index earned 4.4%.
International developed stocks posted strong gains in the first quarterbenefiting from improved economic expectations. The MSCI EAFE indexreturned 10.9% in local terms, outperforming the S&P 500 by 990 bps.Currency declines weighed on the markets with international stocksearning only 4.9% in $US terms but they still outperformed US stocks.Over the last 12 months, international developed stocks gained 17.7% inlocal terms, while the S&P 500 returned 12.7%. However in $US terms,the MSCI EAFE index was down 0.9% as the euro and the yen tumbled.European stocks spiked up 11.6% in local currency terms during the firstquarter, benefiting from QE, but returned only 3.5% in $US terms. Overthe trailing year, European stocks returned 14.7% in local terms, butdown 4.9% in $US terms. Japanese stocks jumped 10.2% in the firstquarter, supported by an uptick in GDP growth and an aggressive BOJstimulus. Over the trailing year, Japanese stocks were up 30.5% in localcurrency terms and 12.1% in $US terms.
International small cap equities outperformed international large capsin the first quarter. The MSCI EAFE small cap index earned 5.6%,exceeding large caps by 70 bps.
Emerging market stocks enjoyed a solid quarter, rising 4.9% in localcurrency terms and outperforming US stocks by 390 bps. However,currency declines pushed the $US return down to 2.2%. There continuesto be a wide dispersion in returns, with countries enacting structuralreforms outperforming. Chinese stocks gained 8.1% and Indian stocksrose 5.4%, while Brazilian stocks fell 14.6%. Russian stocks spiked18.6%, but are still down 25.1% over the last 12 months due to theUkraine crisis and the drop in energy prices..
Developed Country Performance
Global and International Equity Performance
Emerging Market Performance
Source: MSCI, Bloomberg
Source: MSCI, Bloomberg
Source: MSCI, Bloomberg
2.3
4.4
3.5
4.9
5.6
5.8
3.9
5.4
3.2
-1.0
-0.9
-2.9
1.1
-2.9-10 -5 0 5 10
MSCI ACWI
MSCI ACWI Small Cap
MSCI AC World ex US
MSCI EAFE
MSCI EAFE Small Cap
MSCI EAFE Growth
MSCI EAFE Value
Returns (%)
Quarter1 Year
2.2
0.9
5.2
-9.6
0.4
-23.2
10.7
-20.9-30 -25 -20 -15 -10 -5 0 5 10 15
MSCI EM
EM Europe & M/East
EM Asia
EM Latin America
Returns (%)
Quarter1 Year
0.81.2
-6.0
3.5-1.0
8.34.7
6.8-0.6
10.23.1
10.912.2
-6.1-4.9
-5.5-2.6
-8.4-15.7
-9.512.1
-6.0-25 -20 -15 -10 -5 0 5 10 15 20
North AmericaUSA
CanadaEurope
UKGermany
FranceItaly
SpainJapan
Australia
Returns (%)
Quarter1 Year
7
-60
-50
-40
-30
-20
-10
0
10
20
1996
1997
1998
1999
2000
2001
2002
2003
2004
2005
2006
2007
2008
2009
2010
2011
2012
2013
2014
2015
(%)
Asset Class: International Equities – Valuation Review Global Valuations
Valuation of MSCI Emerging Markets to MSCI World(Based on Average of P/E, P/B and P/CF)
Source: MSCI, Bloomberg
Source: MSCI, Bloomberg
Based on trailing earnings, European stocks appear expensive, trading aP/E of 19.5, which is a 36% premium to their historical average since1970. However, current valuations are being depressed by weakearnings. EPS are 36% below their pre-financial crisis peak and profitmargins remain 17% below their historical average since 1970. On acyclically-adjusted basis European stocks appear fairly valued inabsolute terms and cheap in relative terms at a P/E of only 16.1.Improved economic activity, an uptick in credit growth, the weak euro andthe drop in oil prices should support earnings. Additionally, some of theresulting liquidity from the ECB’s QE program is likely to find its way intoequities. Potential risks for Eurozone stocks include a left-tail event inGreece, a relapse in the economy and earnings disappointments.
Strong earnings growth has provided a nice tailwind for Japanese stocksand they trade at a reasonable 17x trailing earnings. Companies stillhave ample capacity to grow earnings as ROE remains nearly 20%below its pre-financial crisis peak. Lower energy prices and a weak yenshould help boost profits, although slowing growth in China is a concern.While the recent uptick in wages may compress profit margins, it couldlead to higher consumption and improved sales, further boostingearnings. If profitability continues its upward trend and returns to pre-crisis levels, Japanese stocks still appear fairly cheap at a P/E of 13.0.
On the surface, emerging market equity valuations are compelling. Theytrade at a P/E of only 13.7, a 6% discount to the historical average since1996. Relative to the developed market equities, EM stocks are priced ata 30% discount versus a historical average of 20% since 2000. However,their apparent attractiveness may be misleading as their cheapness isdriven by exposure to energy and financials. The median sector in theEM index trades at a more elevated P/E of 16.1. Furthermore, EMcountries face a number of headwinds in the form of a weak commodityprices, geopolitical risks, and slowing growth in China and a stronger USdollar/tighter US monetary policy. As such, we would not be surprised tosee EM stocks continue to underperform developed equities.
Historical average for the longest period availableHistorical average since 2000
20.019.5
17.3
13.7
24.2
16.1
13.0 12.712.5
10.08.9 8.2
2.91.9 1.4 1.62.0
3.1
1.72.6
0
5
10
15
20
25
30
MSCI US MSCI Europe MSCI Japan MSCI EM
P/E TrailingP/E NormalizedP/CFP/BDividend Yield
8
Asset Class: Fixed Income – Interest Rates and Yield Curve
Bond Performance by Duration
The curve shifted down and modestly flattened in the first quarter. Duringthe quarter, the 2-year yield declined 11 bps to 0.56%, while the 10- and30-year yields each fell 23 bps and 21 bps to 1.94% and 2.54%,respectively.
We expect interest rates will edge higher, but not sharply. The Fed islikely to raise short-term rates at a slow, measured pace, and the excesssupply of global savings should keep a lid on the intermediate and longend of the curve. With the ECB and BOJ likely to keep nominal ratesnear zero for years to come, demand for relatively high yieldingTreasuries should remain significant, thus limiting upward pressure onrates.
US Bonds rose as Treasury yields declined and credit spreadsnarrowed. The Barclays Aggregate index returned 1.6% and was up5.7% over the trailing year.
Long-Duration Bonds continued to move higher in the first quarter dueto the decline in bond yields. The Barclays Long Treasury index rose4.0% and gained 21.4% over the last 12 months. Long corporatesearned 3.3% and gained 12.6% over the last 12 months.
TIPS slightly underperformed Treasuries during the first quarter,advancing 1.4%. The real yield on 5-year TIPS fell below zero in the firstquarter, declining from 0.38% to -0.14%. The inflation breakeven rate on5- and 10-year TIPS edged slightly higher in the first quarter, but finishedat just 1.5% and 1.8%, respectively.
Treasury Yield Curve
Source: Federal Reserve
Source: Barclays, Bloomberg
0.01.6
1.61.3
4.0
2.21.8
3.1
2.31.9
3.31.41.9
0.05.7
5.43.2
21.4
6.74.3
12.8
6.84.5
12.63.12.9
0 5 10 15 20 25
Barclays T-Bill 1-3 monthsBarclays Aggregate
Barclays TreasuryBarclays Int Treasury
Barclays Long Treasury
Barclays CreditBarclays Credit Intermediate
Barclays Credit Long
Barclays CorporateBarclays Int Corporate
Barclays Long CorporateBarclays US TIPS
Barclays TIPS 5-10 yrs
Returns (%)
Quarter
1 Year
-1.0
-0.5
0.0
0.5
1.0
1.5
2.0
2.5
3.0
3.5
4.0
3 mo 6 mo 1 yr 2 Yr 3 Yr 5 yr 7 yr 10 yr 20 yr 30 yr
(%)
Treasuries at 09/30/14TIPS at 09/30/14Treasuries at 12/31/14TIPS at 12/31/14Treasuries at 03/31/15TIPS at 03/31/15
9
Asset Class: Fixed Income – Credit and Non-US Bonds During the quarter, the yield on the Corporate index declined a modest
20 bps to 3.1% while the option-adjusted spread to Treasuries wasunchanged at 1.3%, which is moderately above long term norms. Givenabove average spreads and the favorable economic outlook, theshort-term downside risk for investment-grade corporate bonds relativeto Treasuries is limited. Over the intermediate-term, credit trends areimportant to monitor. While debt relative to equity remains low andinterest coverage ratios are high, the credit quality of the IG corporatebond universe has declined.
The yield on the Barclays High Yield index declined from 6.6% to 6.2%during the first quarter. The option adjusted spread narrowed by 17 bpsin the first quarter, finishing the quarter at 4.7%, which is modestly belowlong-term norms. Given our expectation of a strengthening economy, therisk of broad systemic defaults appears low.
US Treasuries rose as Treasury yields declined, benefiting from highdemand for US Treasuries due to global economic and monetary policyconditions. The Barclays Treasury Index returned 1.6% for the quarter.
US Corporate bonds gained 2.3% as yields declined. Corporatesoutperformed Treasuries by 70 bps as credit spreads were unchanged.Over the trailing year, corporate bonds outperformed Treasuries by 140bps, benefiting from solid GDP growth and a longer duration.
US MBS, Agency, CMBS, and ABS bonds benefited from the decline inyields as they rose 1.1%, 1.8%, and 0.9%, respectively, for the quarter.
High Yield bonds earned 2.5% in the first quarter. Credit spreadsdeclined, benefiting from stable macro conditions.
Global Bonds were hurt as the US dollar appreciated relative to foreigncurrencies. The US dollar benefitted from higher yields and fastergrowth. The Citigroup WGBI fell 2.5% in the quarter.
Local Currency Emerging Market Debt fell 4.0% in the first quarter asthe dollar continued to appreciate. Over the last year, currency declinescaused Local Currency EMD to lose 11.1%. $US-denominated debt hasfared better, returning 1.9% in the first quarter and 4.5% over the trailingyear.
Sector, Credit, and Global Bond Performance
Credit Spreads
Source: Barclays
Source: Barclays, Citigroup, JP Morgan, Bloomberg
02468101214161820
0
1
2
3
4
5
6
7
1995
1996
1997
1998
1999
2000
2001
2002
2003
2004
2005
2006
2007
2008
2009
2010
2011
2012
2013
2014
(%)
OAS to Treasuries I/G Corporates - left scaleOAS to Treasuries MBS - left scaleHigh Yield Bond Credit Spread - right scale
Average
2.5
1.8
1.4
2.3
2.2
1.6
1.1
1.6
1.2
0.9
1.9
-4.0
-2.5
2.0
4.4
3.1
6.8
6.7
5.4
5.5
5.7
3.7
2.2
4.5
-11.1
-5.5-15 -10 -5 0 5 10
Barclays High Yield
Barclays CMBS
Barclays US TIPS
Barclays Corporate
Barclays Credit
Barclays Treasury
Barclays MBS
Barclays Aggregate
Barclays Agency
Barclays ABS
JP Morgan EMBI
JP GBI-EM Global Div. (local)
Citi WGBI
Returns (%)
Quarter
1 Year
10
Asset Class: Alternatives – Performance Review
REITs – Global and US REITs moved 4.2% and 4.0% higher in the firstquarter, benefiting from the decline in interest rates and an improvementin economic conditions. Global REITs were up 16.1% over the last 12months, while US REITs earned 22.7%. Listed real estate has benefitedfrom the drop in bond yields and higher property prices.
Commodities continued to decline in the first quarter. The BloombergCommodity index shed 5.9% in the first quarter as oil prices slid 10.6%on the dollar strength and excess supply arising from US shale. Naturalresource stocks fared better, but still lost 1.5% during the quarter.
Hedge funds enjoyed a solid quarter, outperforming global stocks andUS bonds. The HFRI Fund of Funds Composite index earned 2.5%,while the MSCI ACWI index rose 2.3% and the Barclays Aggregate indexreturned 1.6%. Hedge funds benefitted from the wide dispersion in themarkets. Macro strategies were up 3.4%, while relative value strategiesgained 1.7%.
Real Asset Performance
Hedge Fund Performance
Source: HFR
Source: NAREIT, Dow-Jones, UBS, Goldman Sachs
4.0
4.2
-5.9
-8.2
-5.2
-1.5
22.7
16.1
-27.0
-40.3
-2.5
-13.5
-60 -50 -40 -30 -20 -10 0 10 20 30 40
NAREIT Equity REITs
NAREIT Global REITs
Bloomberg Commodity TR
S&P GSCI Commodity
Alerian Energy MLP TR
S&P NA Natural Resources
Returns (%)
Quarter
1 Year
2.5
1.0
2.6
2.9
2.4
2.3
2.0
0.6
1.7
3.4
5.4
2.9
5.6
5.4
4.3
3.0
1.1
-3.6
3.4
9.5
-10 -5 0 5 10 15
HFRI FOF Composite
HFRI FOF: Conservative
HFRI FOF: Diversified
HFRI FOF: Strategic
HFRI Fund Weighted Composite
HFRI Equity Hedge (Total)
HFRI Event-Driven (Total)
HFRI ED: Distressed/Restructuring
HFRI Relative Value (Total)
HFRI Macro (Total)
Returns (%)
Quarter
1 Year
11
Mutual Fund Universe
The majority of domestic equity funds posted solid returnsduring the first quarter. Growth-oriented stock fundsoutperformed value stock funds by a wide margin across allmarket capitalizations. Domestic bond funds delivered positivereturns, with those invested in long duration funds deliveringthe best results. Developed international equity funds postedstrong returns, while those invested in emerging market equityfunds showed only a small gain.
Domestic equity 1QOne Year
Three Years
Five Years
Ten Years
Mercer Combined Eq. Univ. Median Return 2.6 9.6 15.2 13.8 8.2
Index PerformanceS&P 500 Index 1.0 12.7 16.1 14.5 8.0Russell Midcap 4.0 13.7 18.1 16.2 10.0Russell 2000 4.3 8.2 16.3 14.6 8.8
Mercer Domestic Eq. Univ. MediansLarge Cap Value -0.1 8.3 15.3 12.6 6.8Large Cap Blend 1.1 10.8 15.0 13.0 7.5Large Cap Growth 3.4 14.6 15.2 14.2 8.6Mid Cap Value 2.8 9.7 16.7 14.1 8.4Mid Cap Blend 3.7 9.5 16.0 14.2 8.7Mid Cap Growth 5.9 11.7 14.8 14.8 9.7Small Cap Value 2.3 4.4 14.7 13.3 8.2Small Cap Blend 3.9 7.1 15.3 14.2 8.6Small Cap Growth 6.0 8.7 15.5 15.4 9.4
Fixed Income 1QOne Year
Three Years
Five Years
Ten Years
Mercer Combined FI Univ. Median Return 1.2 4.4 3.4 4.5 4.3
Index PerformanceBarclays Aggregate 1.6 5.7 3.1 4.4 4.9Barclays Gov't/Credit 1.8 5.9 3.4 4.8 5.0Barclays High Yield 2.5 2.0 7.5 8.6 8.2Citigroup Non-U.S. Gov't Bond -4.4 -9.8 -3.3 0.4 2.5Citigroup 3-Month T-Bill 0.0 0.0 0.1 0.1 1.4
Mercer Fixed Income Universe MediansCore Strategy 1.5 4.5 3.4 4.6 4.7Short Bond 0.5 0.9 1.1 1.7 2.9Long Duration Bond 3.1 15.4 7.5 10.1 7.4High-Yield Bond 2.3 1.3 6.7 7.8 7.1International Bond -1.5 -4.6 -0.4 2.3 3.8
International equity 1QOne Year
Three Years
Five Years
Ten Years
Mercer Int'l Eqty. Universe Median Return 4.9 -1.3 8.3 6.4 5.4
Index PerformanceMSCI EAFE 4.9 -0.9 9.0 6.2 4.9MSCI EAFE Ex-Japan 3.4 -4.1 8.9 6.2 5.4MSCI World 2.3 6.0 12.2 10.0 6.4MSCI Emerging 2.2 0.4 0.3 1.7 8.5
Mercer Int'l Eqty. Universe MediansEurope 4.7 -4.9 10.6 7.2 5.0Emerging Markets 1.3 -1.4 0.4 1.7 8.1Pacific 8.6 10.5 8.9 7.0 5.5Global Equity 2.8 4.8 11.5 10.0 6.6
12
Source: Investment Company Institute
Mutual Fund EnvironmentMutual Fund Asset Allocation
Total Net Assets ($Billions)
Net New Flows ($Millions)
Source: Investment Company Institute
Source: Investment Company Institute
During the quarter, mutual funds had net outflows of $11.9billion. Investors added $33.5 billion to bond funds, $25.4billion to stock funds, and $9.0 billion to hybrid funds.Investors withdrew $79.8 billion from money market funds.
Total mutual fund assets increased 1.9% during the past threemonths, ending the quarter at $16.1 trillion.
($75,000)
($50,000)
($25,000)
$0
$25,000
$50,000
$75,000
$100,000
($75,000)
($50,000)
($25,000)
$0
$25,000
$50,000
$75,000
$100,000
Mar-14 Apr-14 May-14 Jun-14 Jul-14 Aug-14 Sep-14 Oct-14 Nov-14 Dec-14 Jan-15 Feb-15 Mar-15
Stock FundsBond FundsHybrid FundsMoney Market FundsTotal Long-Term Mutual FundsTotal Mutual Funds
13
Summary
14
Investment Option Array
15
Management Summary
Plan Statistics:
At quarter-end, assets (including loans) in the Deferred
Compensation Plan totaled $4,909.1 million, an increase of
$104.6 million (+2.2%) from $4804.6 million reported at the
previous quarter end. The increase is a result of investment
gains and net cash inflows. Contributions (including other
deposits) for the quarter totaled $98.2 million compared to
withdrawals (including fees) of $73.2 million. Investment
gains totaled $78.3 million.
As of March 31, 2015, there were 41,053 participants with
account balances. The average account balance was
$115,117, while the median account balance was $50,964.
The distribution of participant balances is shown to the right;
34.1% of participants had a balance less than $25,000 and
3.2% had a balance greater than $500,000.
The Deferred Compensation Plan (DCP) Large Cap Stock Fund held the highest percentage of Plan assets (32.2%), followed by the DCP Stable
Value Fund (18.4%), Schwab PCRA Self Directed Brokerage Account (6.5%). All other funds held less than 6.0% of Plan assets.
Assets in the Profile funds (5 customized risk-based Profile funds ranging from Ultra Conservative to Ultra Aggressive) totaled $794.1 million (16.1% of
Plan Assets) at quarter end; this was an increase of $33.8 million from $760.3 million at the prior quarter end.
Asset allocation largely remained unchanged during the quarter with domestic equity representing the largest (41.4%) asset class in the Plan.
14,017
6,345
3,721
2,738
6,232
3,442
2,101
1,153 1,304
0
2,000
4,000
6,000
8,000
10,000
12,000
14,000
16,000
< $25,000 $25,001-$50,000
$50,001-$75,000
$75,001-$100,000
$100,001-$200,000
$200,001-$300,000
$300,001-$400,000
$400,001-$500,000
> $500,001
Nu
mb
er
of
Part
icip
an
ts
Distribution of Participant Account Balances
16
Management Summary
Quarterly Performance:
The Plan's investments generally met performance objectives during the quarter.
The DCP Bond Fund underperformed the Barclays US Aggregate Bond Index for the quarter, as Loomis Sayles Core Plus Bond Fund lagged theindex by 80 basis points. An overweight allocation to non-US dollar denominated securities, an underweight to US Treasuries, and security selectionwithin the industrials sector detracted from relative results.
All three domestic equity funds matched or outperformed their respective benchmarks for the quarter.
The Fidelity Diversified International Fund outperformed its index by 150 basis points during the quarter. This was due in part to an underweightallocation and security selection in Europe, Asia Pacific Ex Japan coupled with security selection withing the emerging markets and equity indexfutures.
17
Management Summary
Key Observations and Recommendations:
For the FDIC-Insured Savings Account, Bank of the West and East West Bank have weightings of 50% each. For the quarter ending March 31, 2015, their declared rates were as follows: Bank of the West = 0.25% and East West Bank = 0.24% yielding a blended rate of 0.245%.
Searches for the active and passive components of the Plan’s investment options are complete. The Board approved the following funds be added to the Plan (or retained). The Natixis Loomis Sayles Core Plus Bond Fund replaced PIMCO Total Return Fund on October 14, 2014. The majority of the fund transitions for the DCP Mid and Small Cap Stock Funds occured on March 20, 2015. The DCP International Stock Fund changes will occur on June 26, 2015. The passive sleeve of the DCP Small Cap Stock Fund will continue to invest in the SSgA Russell Small Cap Index NL Fund until transition to the Vanguard Small Cap Index Fund on June 26, 2015.
Investment Menu Option Fund Sub-Category (Target Weight) New Fund
DCP Bond Fund Passive Bond (50%) Vanguard Total Bond Market Index Fund Instl Plus (Retained)
Active Bond (50%) Natixis Loomis Sayles Core Plus Bond Fund N
DCP Large Cap Stock Fund Passive Large Cap Equity (100%) Vanguard Institutional Index Fund Instl Plus (Retained)
DCP Mid Cap Stock Fund
Passive Mid Cap Equity (50%) Vanguard Mid Cap Index Fund Instl Plus (Retained)
Active U.S. Mid Cap Value Equity (25%) RidgeWorth Mid-Cap Value Equity Fund I
Active U.S. Mid Cap Growth Equity (25%) Voya MidCap Opportunities Fund R6
DCP Small Cap Stock Fund
Passive Small Cap Equity (33.3%) Vanguard Small Cap Index Fund Instl Plus
Active U.S. Small Cap Value Equity (33.3%) DFA US Small Cap Value Portfolio Institutional
Active U.S. Small Cap Growth Equity (33.3%) Hartford SmallCap Growth HLS Fund IA
DCP International Stock Fund
Active International Developed Markets Equity (65%) MFS Institutional International Equity Fund
Active International Small Cap Equity (17.5%) Brandes International Small Cap Equity Fund I
Active Emerging Markets Equity (17.5%) DFA Emerging Markets Core Equity Portfolio Inst
18
Management Summary
Manager Updates:
Loomis, Sayles & Company (Loomis)
Loomis CEO Retirement – March 13, 2015
On March 1, 2015, we were informed Robert Blanding, Chairman and CEO of Loomis Sayles, is going to step down as CEO, but retain his role of Chairman. Current president and CFO Kevin Charleston will take on the role of CEO effective May 1, 2015.
Mercer View: We recommend no rating changes as a result of this announcement. We don’t take a strong view regarding this news. We believe Charleston has the experience necessary to be successful in his new role as CEO. We don’t expect this to have any impact on Loomis’ investment strategies.
Vanguard
Update on Passive Equity Capabilities (US Team) – March 18, 2015
When we last met with Vanguard’s Equity Investment Group (EIG), the team had recently undergone notable turnover, with Tim Buckley becoming Chief Investment Officer following the retirement of Gus Sauter and Joseph Brennan stepping in as Global Head of EIG when Sandeep Baghat left to pursue personal endeavors. The team has not experienced any significant turnover in the two years following this transition. With over 20 years of experience at the firm, both Buckley and Brennan are veterans of the Vanguard process and philosophy, and have kept the group focused on using economies of scale to provide the lowest cost index products possible while maintaining tight risk controls and low tracking error. The experienced Equity Investment Group and its reputation for acting in the best interest of its participants remains a clear strength of Vanguard’s passive equity products.
Vanguard retains its Preferred Provider status for its strong and experienced team, pragmatic cash flow management, and inexpensive fee scales. Vanguard’s unique ownership structure along with a focus on attracting long term investors into pooled vehicles allows it to maintain best in class fees. Organizational changes continue to be well-implemented and thought out.
State Street Global Advisors (SSgA)
CEO to retire in 2015 – April 1, 2015
We have been informed by SSgA that Scott Powers, CEO of SSgA, will be retiring in 2015 after being in the role for over 7 years. He will officially be replaced by Ronald O’Hanley in April 2015, although we understand the two will then spend the next few months transitioning across responsibilities. O’Hanley will report to Jay Hooley, Chairman and CEO of State Street Corporation, as well as joining the company’s Management Committee (to re-cap SSgA is the investment management subsidiary of State Street Corporation).
Mercer View: SSgA are unsurprisingly keen to confirm “business as usual” will be maintained and that they will continue to execute their strategy for growth across both institutional and intermediary channels, including building on their core capabilities in passive management as well as growing their active business. Overall, it appears O’Hanley has a good level of experience and we would not expect this senior role change to materially impact the underlying SSgA investment strategies that we currently rate. As such we do not propose making any changes to ratings as a result of this latest announcement. We will use future meetings to discuss how plans for the business are evolving.
19
MERCER
Asset Allocation
20
MERCER
Asset Allocation by TierTotal Market
Value% of
Portfolio Money Market Stable Value DomesticFixed Risk-Based Domestic
EquityInternational
EquityBrokerage
Window Other
Money MarketFDIC-Insured Savings Account $290,958,424 5.9% $290,958,424JPMorgan Chase Certificates of Deposit $0 0.0% $0
Stable ValueDeferred Compensation Stable Value Fund (Net) $903,858,339 18.4% $903,858,339
Domestic FixedDCP Bond Fund $165,385,247 3.4% $165,385,247
Risk-BasedUltra Conservative Profile $40,266,535 0.8% $40,266,535Conservative Profile $109,739,634 2.2% $109,739,634Moderate Profile $288,931,840 5.9% $288,931,840Aggressive Profile $262,320,161 5.3% $262,320,161Ultra Aggressive Profile $92,863,126 1.9% $92,863,126
Domestic EquityDCP Large Cap Stock Fund $1,578,600,218 32.2% $1,578,600,218DCP Mid Cap Stock Fund $230,689,252 4.7% $230,689,252DCP Small Cap Stock Fund $225,038,039 4.6% $225,038,039
International EquityDeutsche EAFE Equity Index Fund Institutional $42,663,152 0.9% $42,663,152Fidelity Diversified International Fund $174,830,600 3.6% $174,830,600
Brokerage WindowSchwab PCRA Self-Directed Brokerage Account $319,733,292 6.5% $319,733,292
Loan Account $183,255,910 3.7% $183,255,910Total $4,909,133,767 100.0% $290,958,424 $903,858,339 $165,385,247 $794,121,296 $2,034,327,509 $217,493,752 $319,733,292 $183,255,910
Fund Allocation
*Total Plan Market Value excludes $2.8 million in the Forfeiture/Asset Holding Account (this account is used to pay Plan expenses).
21
Allocation of Underlying Core Funds
22
Investment Expense Analysis
Median institutional share class net expense ratio as defined by the respective Mercer Mutual Fund Universe and Lipper institutional share class categorizations. The median stable value management fee is derived from Mercer's quarterly stablevalue survey. Profile funds are compared to the median institutional expense ratio of the corresponding Mercer Mutual Fund Target Risk Universe.
Total Plan expense ratio, total plan expense reimbursement, and total plan investment management fee calculations exclude assets in the FDIC-Insured Savings Account, JPMorgan Chase Certificates of Deposit, Schwab Self-Directed BrokerageAccount, and Loan Account.
Total estimated annual asset-based fee is $2,589,858 reflecting a quarterly per participant fee of 0.025% on the first $125,000 of balance. The number of participants with a $125k balance or less during the quarter was 28,899, and total assets forthis group amounted to $1,070,608,398. There were 12,154 participants with balances in excess of $125k with a billable balance of $1,519,250,000. The total participant count is 41,053.
23
Compliance Table
= Outperformed or matched performance = Underperformed = Index Fund 24
= Prior Quarter
3 Years 5 Years Comments
I – Index
U – Universe Median I U I U I U I U
Deferred Compensation Stable Value Fund (Net) Retain.
DCP Bond Fund
Retain. Fund inception was on April 20, 2012 with 50% allocated to PIMCO Total Return Fund Institutional and 50% allocated to Vanguard Total Bond Market Index Fund Inst Plus. PIMCO Total Return Fund was replaced with Natixis Loomis Sayles Core Plus Bond Fund on October 14, 2014. A core fixed income passive search was conducted and the Vanguard Total Bond Market Index Fund was retained.
Ultra Conservative Profile N/A N/A N/A N/A Retain. No changes to allocations.
Conservative Profile T N/A T N/A T N/A T N/A Retain. No changes to allocations.
Moderate Profile T N/A T N/A T N/A T N/A Retain. No changes to allocations.
Aggressive Profile T N/A T N/A T N/A T N/A Retain. No changes to allocations.
Ultra Aggressive Profile T N/A T N/A T N/A T N/A Retain. No changes to allocations.
DCP Large Cap Stock Fund T N/A T N/A T N/A T N/A Retain. A large cap equity passive search was conducted and the Vanguard Institutional Index Fund was retained.
DCP Mid Cap Stock Fund T T N/A T T N/A
Retain. Effective March 20, 2015, the DCP Mid Cap Stock Fund is comprised of 50% Vanguard Mid Cap Index Fund, 25% RidgeWorth Mid-Cap Value Equity Fund, and 25% Voya MidCap Opportunities Fund.
DCP Small Cap Stock Fund N/A N/A N/A N/A N/A N/A N/A N/A
Retain. Effective March 20, 2015, this Fund is comprised of 33.3% SSgA Russell Small Cap Index NL Fund, 33.3% DFA US Small Cap Value Portfolio, and 33.3% Hartford SmallCap Growth HLS Fund. On June 26, 2015, Vanguard Small Cap Index Fund will replace the SSgA Russell Small Cap Index NL Fund.
Deutsche EAFE Equity Index Fund Institutional T N/A T N/A T N/A T N/A Effective June 26, 2015, this Fund will be eliminated.
Fidelity Diversified International Fund
Effective June 26, 2015, this strategy will be replaced by the MFS Institutional International Equity Fund, which will be a component of the DCP International Stock Fund comprised of 65% MFS Institutional International Equity Fund, 17.5% Brandes International Small Cap Equity Fund, and 17.5% DFA Emerging Markets Core Equity Portfolio.
** FDIC-Insured Savings Account: The blended rate of 0.245% is as of 3/31/2015. Bank of the West and EastWest Bank have equal weightings of 50%; their declared rates at the end of the quarter are as follows: Bank of the West = 0.25% and EastWest Bank = 0.24%.
** Stable Value: The inception date of the Galliard Stable Value fund is July 1, 2008. Returns prior to the inception date are linked to the Wells Fargo Stable Return fund.
** DCP Bond Fund: Effective October 14, 2014, the Fund is comprised of 50% Vanguard Total Bond Market Index Fund / 50% Natixis Loomis Sayles Core Plus Bond Fund. From April 1, 2012 through October 14, 2014, the Fund is comprised of 50% Vanguard Total Bond Market
Index Fund / 50% PIMCO Total Return Fund. Performance prior to April 2012 is simulated, with a weighting of 50% Vanguard Total Bond Market Index Fund / 50% PIMCO Total Return Fund.
** Vanguard Total Bond Market Index Fund Inst Plus: Due to its longer history, performance of Vanguard Total Bond Market Index Fund Inst is shown.
** Vanguard Spliced Barclays USAgg Float Adj Idx: Barclays U.S. Aggregate Bond Index through 12/31/2009; Barclays U.S. Aggregate Float Adjusted Index thereafter.
MERCER
Performance
Ending March 31, 2015
Market Value % ofPortfolio 3 Mo Rank 1 Yr Rank 3 Yrs Rank 5 Yrs Rank 10 Yrs Rank
_
Money MarketFDIC-Insured Savings Account (Blended Rate - 0.24515%) $290,958,424 5.9% 0.1% -- 0.4% -- 0.4% -- -- -- -- --JPMorgan Chase Certificates of Deposit $0 0.0% -- -- -- -- -- -- -- -- -- --
Stable ValueDeferred Compensation Stable Value Fund (Net) $903,858,339 18.4% 0.5% 41 1.8% 44 2.2% 37 2.7% 49 3.6% 54
3 YR CONSTANT MATURITY + 50bps 0.3% 85 1.4% 84 1.1% 99 1.2% 99 2.4% 99iMoneyNet MM All Taxable Plus 1% 0.3% 94 1.0% 94 1.0% 99 1.0% 99 2.3% 99
Mercer Instl Stable Value Median 0.5% 1.8% 2.1% 2.6% 3.6%Domestic Fixed
DCP Bond Fund $165,385,247 3.4% 1.2% 64 4.5% 51 3.2% 57 4.5% 54 5.4% 23Barclays Aggregate 1.6% 42 5.7% 22 3.1% 57 4.4% 55 4.9% 42
Mercer Mutual Fund US Fixed Core Median 1.5% 4.5% 3.4% 4.6% 4.7% Vanguard Total Bond Market Index Fund Inst Plus 1.7% 38 5.6% 37 3.1% 47 4.4% 46 4.9% 30 Vanguard Spliced Barclays USAgg Float Adj Idx 1.7% 38 5.7% 36 3.1% 46 4.4% 45 4.9% 29 Mercer Mutual Fund US Fixed Index Median 1.5% 4.4% 3.0% 4.3% 4.7%
Loomis Sayles Core Plus Bond Fund N 0.8% 77 3.6% 59 5.1% 15 6.5% 10 6.6% 5 Barclays Aggregate 1.6% 42 5.7% 22 3.1% 57 4.4% 55 4.9% 42 Mercer Mutual Fund US Fixed Core Median 1.5% 4.5% 3.4% 4.6% 4.7%
25
Performance
** Ultra Conservative Profile Custom Index: Effective March 20, 2015, the following composite index is used: 35.0% 3 Yr Constant Maturity Treasury Index + 50 bps/ 50.0% Barclays US Aggregate Index / 5% S&P 500 Index / 2.5% Russell Mid Cap Index/ 2.5% Russell 2000 Index / 5% MSCI EAFE
(NWHT) Index. From June 1, 2009 through March 19, 2015, the following composite index is used: 35.0% 3 Yr Constant Maturity Treasury Index + 50 bps/ 50.0% Barclays US Aggregate Index / 5% S&P 500 Index / 2.5% MSCI US Mid Cap 450 Index/ 2.5% Russell 2000 Index / 5% MSCI EAFE (NWHT)
Index. Prior to June 1, 2009, the following composite index is used: 35.0% 3 Yr Constant Maturity Treasury Index + 50 bps/ 50.0% Barclays US Aggregate Index / 5.0% S&P 500 Index / 5.0% Russell 2000 Index / 5.0% MSCI EAFE (NWHT) Index.
** Conservative Profile Custom Index: Effective March 20, 2015, the following composite index is used: 15.0% 3 Yr Constant Maturity Treasury Index + 50 bps/ 50.0% Barclays US Aggregate Index / 12.5% S&P 500 Index / 5% Russell Mid Cap Index/ 5.0% Russell 2000 Index / 12.5% MSCI EAFE (NWHT)
Index. From June 1, 2009 through March 19, 2015, the following composite index is used: 15.0% 3 Yr Constant Maturity Treasury Index + 50 bps/ 50.0% Barclays US Aggregate Index / 12.5% S&P 500 Index / 5% MSCI US Mid Cap 450 Index/ 5.0% Russell 2000 Index / 12.5% MSCI EAFE (NWHT) Index.
Prior to June 1, 2009, the following composite index is used: 15.0% 3 Yr Constant Maturity Treasury Index + 50 bps/ 50% Barclays US Aggregate Index / 25% S&P 500 Index / 5% Russell 2000 Index / 5% MSCI EAFE (NWHT) Index.
** Moderate Profile Custom Index: Effective March 20, 2015, the following composite index is used: 10.0% 3 Yr Constant Maturity Treasury Index + 50 bps/ 30.0% Barclays US Aggregate Index / 25.0% S&P 500 Index / 10.0% Russell Mid Cap Index/ 10.0% Russell 2000 Index / 15.0% MSCI EAFE (NWHT)
Index. From June 1, 2009 through March 19, 2015, the following composite index is used: 10.0% 3 Yr Constant Maturity Treasury Index + 50 bps/ 30.0% Barclays US Aggregate Index / 25.0% S&P 500 Index / 10.0% MSCI US Mid Cap 450 Index/ 10.0% Russell 2000 Index / 15.0% MSCI EAFE (NWHT)
Index. Prior to June 1, 2009, the following composite index is used: 5.0% 3 Yr Constant Maturity Treasury Index + 50 bps/ 35.0% Barclays US Aggregate Index / 40.0% S&P 500 Index / 10.0% Russell 2000 Index / 10.0% MSCI EAFE (NWHT) Index.
** Aggressive Profile Custom Index: Effective March 20, 2015, the following composite index is used: 5.0% 3 Yr Constant Maturity Treasury Index + 50 bps/ 20.0% Barclays US Aggregate Index / 25.0% S&P 500 Index / 15.0% Russell Mid Cap Index/ 15.0% Russell 2000 Index / 20.0% MSCI EAFE
(NWHT) Index. From June 1, 2009 through March 19, 2015, the following composite index is used: 5.0% 3 Yr Constant Maturity Treasury Index + 50 bps/ 20.0% Barclays US Aggregate Index / 25.0% S&P 500 Index / 15.0% MSCI US Mid Cap 450 Index/ 15.0% Russell 2000 Index / 20.0% MSCI EAFE
(NWHT) Index. For periods prior to June 1, 2009, the following composite index is used: 20% Barclays US Aggregate Index / 50% S&P 500 Index / 15% Russell 2000 Index / 15% MSCI EAFE (NWHT) Index.
** Ultra Aggressive Profile Custom Index: Effective March 20, 2015, the following composite index is used: 10.0% Barclays US Aggregate Index / 25.0% S&P 500 Index / 20.0% Russell Mid Cap Index/ 20.0% Russell 2000 Index / 25.0% MSCI EAFE (NWHT) Index. From June 1, 2009 through March 19,
2015, the following composite index is used: 10.0% Barclays US Aggregate Index / 25.0% S&P 500 Index / 20.0% MSCI US Mid Cap 450 Index/ 20.0% Russell 2000 Index / 25.0% MSCI EAFE (NWHT) Index. For periods prior to June 1, 2009, the following composite index is used: 60.0% S&P 500 Index /
20.0% Russell 2000 Index / 20.0% MSCI EAFE (NWHT) Index.
Ending March 31, 2015
Market Value % ofPortfolio 3 Mo Rank 1 Yr Rank 3 Yrs Rank 5 Yrs Rank 10 Yrs Rank
_
Risk-BasedUltra Conservative Profile $40,266,535 0.8% 1.3% 75 4.0% 58 4.5% 80 5.0% 81 -- --
Ultra Conservative Profile Custom Index 1.5% 64 4.5% 48 4.1% 85 4.5% 87 4.6% 73Mercer Mutual Fund Target Risk Conservative Median 1.7% 4.4% 6.1% 6.3% 5.2%
Conservative Profile $109,739,634 2.2% 2.0% 31 5.1% 29 6.7% 34 6.9% 38 5.7% 24Conservative Profile Custom Index 2.1% 22 5.7% 17 6.6% 36 6.7% 42 5.6% 32
Mercer Mutual Fund Target Risk Conservative Median 1.7% 4.4% 6.1% 6.3% 5.2%Moderate Profile $288,931,840 5.9% 2.4% 23 6.8% 29 9.9% 20 9.3% 23 6.7% 21
Moderate Profile Custom Index 2.4% 21 7.2% 20 9.9% 20 9.3% 24 6.6% 25Mercer Mutual Fund Target Risk Moderate Median 1.9% 5.6% 8.3% 8.1% 6.0%
Aggressive Profile $262,320,161 5.3% 2.9% 25 7.3% 49 11.7% 30 10.6% 32 6.9% 36Aggressive Profile Custom Index 3.0% 23 7.7% 43 11.7% 30 10.6% 33 6.9% 36
Mercer Mutual Fund Target Risk Aggressive Median 2.4% 7.3% 10.8% 9.9% 6.6%Ultra Aggressive Profile $92,863,126 1.9% 3.4% 10 7.9% 36 13.4% 9 11.8% 8 -- --
Ultra Aggressive Profile Custom Index 3.4% 9 8.1% 34 13.5% 8 11.8% 8 7.1% 29Mercer Mutual Fund Target Risk Aggressive Median 2.4% 7.3% 10.8% 9.9% 6.6%
26
MERCER
Performance
** DCP Large Cap Stock Fund: The Fund is comprised of 100% Vanguard Institutional Index Fund.
** DCP Mid Cap Stock Fund: Effective March 20, 2015, the Fund is comprised of 50% Vanguard Mid Cap Index Fund / 25% RidgeWorth Mid Cap Value Equity Fund / 25% Voya Mid Cap Opportunities Fund. Prior to March 20, 2015, the Fund is comprised of 100% Vanguard Mid
Cap Index Fund.
** DCP Mid Cap Custom Benchmark: S&P MidCap 400 Index through May 16, 2003; MSCI US Mid Cap 450 Index through January 30, 2013; CRSP US Mid Cap Index through March 19, 2015, Russell Mid Cap Index thereafter.
** Vanguard Spliced Mid-Cap Index: S&P MidCap 400 Index through May 16, 2003; MSCI US Mid Cap 450 Index through January 30, 2013; CRSP US Mid Cap Index thereafter.
Ending March 31, 2015
Market Value % ofPortfolio 3 Mo Rank 1 Yr Rank 3 Yrs Rank 5 Yrs Rank 10 Yrs Rank
_
Domestic EquityDCP Large Cap Stock Fund $1,578,600,218 32.2% 0.9% 36 12.7% 25 16.1% 32 14.5% 28 8.0% 26
S&P 500 1.0% 36 12.7% 24 16.1% 31 14.5% 28 8.0% 28DCP Mid Cap Stock Fund $230,689,252 4.7% 4.1% 45 14.7% 10 17.9% 22 16.1% 13 10.0% 9
DCP Mid Cap Custom Benchmark 4.0% 45 14.6% 11 17.9% 22 16.1% 13 10.0% 9Mercer Mutual Fund US Equity Mid Cap Core Median 3.7% 9.5% 16.0% 14.2% 8.7%
Vanguard Mid Cap Index Fund Instl Plus 4.3% 41 14.9% 10 18.0% 21 16.1% 11 10.0% 9 Vanguard Spliced Mid Cap 4.3% 41 15.0% 10 18.0% 20 16.1% 11 10.0% 9 Mercer Mutual Fund US Equity Mid Cap Core Median 3.7% 9.5% 16.0% 14.2% 8.7%
RidgeWorth Mid Cap Value Equity Fund I 0.4% 91 7.8% 62 16.3% 53 13.4% 64 11.1% 6 Russell MidCap Value 2.4% 69 11.7% 20 18.6% 16 15.8% 13 9.6% 26 Mercer Mutual Fund US Equity Mid Cap Value Median 2.8% 9.7% 16.7% 14.1% 8.4%
Voya Mid Cap Opportunities Fund R6 5.3% 63 15.0% 21 14.3% 59 15.5% 38 11.2% 15 Russell MidCap Growth 5.4% 63 15.6% 16 17.4% 17 16.4% 21 10.2% 37 Mercer Mutual Fund US Equity Mid Cap Growth Median 5.9% 11.7% 14.8% 14.8% 9.7%
27
Performance
Ending March 31, 2015
Market Value % ofPortfolio 3 Mo Rank 1 Yr Rank 3 Yrs Rank 5 Yrs Rank 10 Yrs Rank
_
DCP Small Cap Stock Fund $225,038,039 4.6% -- -- -- -- -- -- -- -- -- --Russell 2000 4.3% 40 8.2% 40 16.3% 36 14.6% 44 8.8% 44
Mercer Mutual Fund US Equity Small Cap Core Median 3.9% 7.1% 15.3% 14.2% 8.6% SSgA Russell Small Cap Index Non-Lending Series Fund 4.3% 40 8.2% 40 16.2% 37 14.5% 46 -- -- Russell 2000 4.3% 40 8.2% 40 16.3% 36 14.6% 44 8.8% 44 Mercer Mutual Fund US Equity Small Cap Core Median 3.9% 7.1% 15.3% 14.2% 8.6%
DFA US Small Cap Value Portfolio Institutional 2.4% 46 4.7% 47 17.5% 13 14.7% 15 8.5% 38 Russell 2000 Value 2.0% 57 4.4% 50 14.8% 49 12.5% 59 7.5% 67 Mercer Mutual Fund US Equity Small Cap Value Median 2.3% 4.4% 14.7% 13.3% 8.2%
Hartford Small Cap Growth HLS Fund IA 7.1% 32 13.1% 12 18.8% 13 19.6% 3 10.5% 22 Russell 2000 Growth 6.6% 41 12.1% 15 17.7% 23 16.6% 30 10.0% 34 Mercer Mutual Fund US Equity Small Cap Growth Median 6.0% 8.7% 15.5% 15.4% 9.4%
International EquityDeutsche EAFE Equity Index Fund Institutional $42,663,152 0.9% 5.3% 32 -1.4% 57 8.6% 38 5.9% 43 4.8% 62
MSCI EAFE 4.9% 51 -0.9% 27 9.0% 17 6.2% 29 4.9% 35Fidelity Diversified International Fund $174,830,600 3.6% 6.4% 17 3.8% 9 11.0% 17 7.7% 28 5.7% 43
MSCI EAFE 4.9% 50 -0.9% 44 9.0% 40 6.2% 55 4.9% 65Mercer Mutual Fund World ex US/EAFE Equity Median 4.9% -1.3% 8.3% 6.4% 5.4%
XXXXX
** DCP Small Cap Stock Fund: Effective March 20, 2015, the Fund is comprised of 33.3% SSgA Russell Small Cap Index NL Fund / 33.3% DFA US Small Cap Value Portfoio / 33.3% Hartford Small Cap Growth HLS Fund. Due to the Fund's inception date, there is not a full quarter'sworth of performance to be shown. On June 26, 2015, Vanguard Small Cap Index Fund will replace the SSgA Russell Small Cap Index NL Fund.
MERCER28
Fund Profiles
29
MERCER
Galliard's primary emphasis in managing stable value portfolios is safety of principal. Maintaining appropriate liquidity is another key investment objective, for it must be sufficient to accommodateparticipant changes and provide plan sponsor flexibility. The optimal amount of liquidity typically results in reduced contract charges (wrap fees), which helps to increase the crediting rate. Theprocess then focuses on security selection to ensure competitive returns for participants.Portfolios follow a traditional fixed income management approach with emphasis on high quality securities,broad diversification, adequate liquidity, controlled market risk (duration) and a disciplined risk management process to identify the best fundamental values across fixed income sectors. Theinvestment decision process is team-based, blending top down and bottom up decisions.Galliard manages individual stable value portfolios on a customized basis, based on specific plan needs andcharacteristics. The hallmarks of their strategy include high credit quality and diversification through the use of security backed contracts (i.e. Synthetic GICs). In structuring stable value portfolios, theprocess begins by determining the optimal target duration for the plan. Galliard portfolios utilize a two-tiered liquidity management approach, with the first tier compised of the liquidity buffer. Thesecond tier consists of the security backed contracts, which are structured to provide liquidity on a pro-rata basis. Most Galliard seperate accounts utilize various Galliard advised collective funds asthe underlying portfolio although outside sub-advisors may also be utilized. Also, depending on the client mandate, traditional GICs may also be used as a diversification strategy.
Investment Philosophy
Deferred Compensation Stable Value Fund (Net) Fund Information
30
DCP Bond Fund Fund Information
Annualized Returns Last 3 Mo. 1 Yr 3 Yrs 5 Yrs 10 YrsDCP Bond Fund 1.2% 4.5% 3.2% 4.5% 5.4%Barclays Aggregate 1.6% 5.7% 3.1% 4.4% 4.9%Universe Median 1.5% 4.5% 3.4% 4.6% 4.7%
Annualized Returns 2014 2013 2012 2011 2010 2009DCP Bond Fund 4.8% -2.0% 7.2% 6.0% 7.7% 9.8%Barclays Aggregate 6.0% -2.0% 4.2% 7.8% 6.5% 5.9%Universe Median 4.8% -0.8% 6.5% 5.8% 7.3% 12.3%
31
Anlzd Return Anlzd StandardDeviation Tracking Error Anlzd Alpha J Beta Sharpe Ratio Information Ratio Up Mkt Capture
RatioUp Mkt Annual
ReturnDown Mkt Capture
RatioDown Mkt Annual
Return_
DCP Bond Fund 4.46% 2.93% 1.49% 0.70% 0.85 1.50 0.03 101.40% 6.67% 102.47% -3.94%
Barclays Aggregate 4.41% 3.02% 0.00% 0.00% 1.00 1.44 -- 100.00% 6.58% 100.00% -3.84%XXXXX
DCP Bond Fund Fund Information
MPT Statistics represent 5 year periods.
32
Plan City of Los Angeles Deferred Compensation Plan
Strategy Vanguard - Vanguard Total Bond Market Index Fund (US)
Benchmark Barclays Capital U.S. Aggregate Float Adjusted Bond Index
Manager Philosophy and Process
Vanguard Total Bond Market Index Fund (US) seeks to track the investment performance of the Barclays U.S. Aggregate Float Adjusted Bond Index, an unmanaged benchmark representing the broad U.S. bond market. The Fund invests in investment-grade corporate, U.S. Treasury, mortgage-backed, and asset-backed securities with short, intermediate, and long maturities in excess of one year, resulting in a portfolio of intermediate duration. The Fund's passive investment style uses a sampling technique to closely match key benchmark characteristics: sector weight, coupon, maturity, effective duration, convexity, and credit quality. Optimized sampling is designed to avoid the expense and impracticality of fully replicating the index.
Quarterly Attribution
For the fourth quarter, the Vanguard Total Bond Market Index Fund (Inst Shares) performed in line with the Barclays U.S. Aggregate Float Adjusted Bond Index benchmark (1.65% vs. 1.66%).
• Treasuries returned 1.64%, more than agency bonds and mortgage-backed securities.• Investment-grade corporate bonds returned 2.3%, with bonds issued by utilities and industrial companies outperforming those of financial institutions.• The returns of longer-dated securities were well ahead of their shorter-dated counterparts.
Manager Commentary
33
Vanguard Total Bond Market Index Fund Inst Plus Fund Information
Annualized Returns 2014 2013 2012 2011 2010 2009Vanguard Total Bond Market Index Fund InstPlus 5.9% -2.1% 4.2% 7.7% 6.6% 5.9%
Vanguard Spliced Barclays USAgg Float Adj Idx 5.8% -2.0% 4.3% 7.9% 6.4% 5.9%Universe Median 4.4% -2.1% 4.1% 7.6% 6.1% 5.2%
Annualized Returns Last 3 Mo. 1 Yr 3 Yrs 5 Yrs 10 YrsVanguard Total Bond Market Index Fund Inst Plus 1.7% 5.6% 3.1% 4.4% 4.9%Vanguard Spliced Barclays USAgg Float Adj Idx 1.7% 5.7% 3.1% 4.4% 4.9%Universe Median 1.5% 4.4% 3.0% 4.3% 4.7%
34
Vanguard Total Bond Market Index Fund Inst Plus Fund Information
MPT Statistics represent 5 year periods.
Anlzd Return Anlzd StandardDeviation Tracking Error Anlzd Alpha J Beta Sharpe Ratio Information
RatioUp Mkt Capture
RatioUp Mkt Annual
ReturnDown Mkt
Capture RatioDown Mkt
Annual Return_
Vanguard Total Bond Market Index Fund Inst Plus 4.39% 3.12% 0.21% -0.10% 1.02 1.39 -0.11 99.34% 6.58% 99.10% -3.93%
Vanguard Spliced Barclays USAgg Float Adj Idx 4.42% 3.06% 0.00% 0.00% 1.00 1.42 -- 100.00% 6.62% 100.00% -3.96%
35
Fixed Income Sectors as of 09/30/2014GOVERNMENT 48.47%
MUNICIPAL 0.75%
CORPORATE 22.46%
SECURITIZED 24.01%
CASH & EQUIVALENTS 4.28%
DERIVATIVE 0.00%
Maturities as of 09/30/20141 to 3 Years 23.42%
3 to 5 Years 15.39%
5 to 7 Years 10.84%
7 to 10 Years 9.42%
10 to 15 Years 4.11%
15 to 20 Years 3.91%
20 to 30 Years 24.77%
Greater than 30 Years 3.35%
Vanguard Total Bond Market Index Fund Inst Plus Historical - Fund Information
Credit Quality as of 06/30/2014AAA 69.87%
AA 4.20%
A 12.55%
BBB 13.38%
BB 0.00%
B 0.00%
Below B 0.00%
Not Rated 0.00%
Maturities as of 12/31/20141 to 3 Years 23.31%
3 to 5 Years 15.19%
5 to 7 Years 10.73%
7 to 10 Years 9.56%
10 to 15 Years 4.10%
15 to 20 Years 3.81%
20 to 30 Years 25.24%
Greater than 30 Years 1.71%
Credit Quality as of 12/31/2014AAA 68.71%
AA 4.17%
A 13.43%
BBB 13.68%
BB 0.00%
B 0.00%
Below B 0.01%
Not Rated 0.00%
Credit Quality as of 03/31/2015AAA 69.87%
AA 3.93%
A 12.69%
BBB 13.50%
BB 0.00%
B 0.00%
Below B 0.01%
Not Rated 0.00%
Maturities as of 03/31/20151 to 3 Years 22.83%
3 to 5 Years 14.98%
5 to 7 Years 11.06%
7 to 10 Years 9.82%
10 to 15 Years 3.25%
15 to 20 Years 4.55%
20 to 30 Years 23.43%
Greater than 30 Years 3.25%
Fixed Income Sectors as of 03/31/2015GOVERNMENT 47.34%
MUNICIPAL 0.74%
CORPORATE 24.02%
SECURITIZED 22.85%
CASH & EQUIVALENTS 5.02%
DERIVATIVE 0.00%
Fixed Income Sectors as of 12/31/2014GOVERNMENT 47.64%
MUNICIPAL 0.77%
CORPORATE 23.38%
SECURITIZED 23.15%
CASH & EQUIVALENTS 5.04%
DERIVATIVE 0.00%
Fund Characteristics as of 09/30/2014Sharpe Ratio (3 Year) 0.91
Average Duration 5.60
Average Coupon 3.52%
Average Effective Maturity 7.70
Average Credit Quality AA (9.31)
R-Squared (3 Year) 1.00
Alpha (3 Year) -0.04%
Fund Characteristics as of 03/31/2015Sharpe Ratio (3 Year) 1.13
Average Duration 5.62
Average Coupon 3.33%
Average Effective Maturity 7.80
Average Credit Quality AA (9.3)
R-Squared (3 Year) 1.00
Alpha (3 Year) -0.03%
Fund Characteristics as of 12/31/2014Sharpe Ratio (3 Year) 0.98
Average Duration 5.60
Average Coupon 3.47%
Average Effective Maturity 7.70
Average Credit Quality AA (9.28)
R-Squared (3 Year) 1.00
Alpha (3 Year) -0.03%
36
Plan City of Los Angeles Deferred Compensation Plan
Strategy Loomis, Sayles & Company - Core Plus Bond
Benchmark Barclays US Aggregate
Current Positioning
• Relative to the the Barclays US Aggregate the Fund is overweight the corporate and asset backed securities.• The Fund is underweight the treasury/agency and mortgage related securities.• Within the mortgage related securities the Fund is underweight the MBS and overweight the CMBS.• The Fund is overweight the non-US-dollar denominated securities.• The Fund is significantly overweight the non investment grade securities.
Quarterly Attribution
Positive Impact on Performance:
• A longer nominal duration position relative to the Barclays US Aggregate Bond Index• Security selection within the mortgage backed securities• An overweight allocation to the high yield securities
Negative Impact on Performance:
• An underweight allocation to the US Treasurys• Security selection within the industrial sector• An overweight allocation to the non-US-dollar denominated securities
Manager Commentary
37
Plan City of Los Angeles Deferred Compensation Plan
Strategy Loomis, Sayles & Company - Core Plus Bond
Benchmark Barclays US Aggregate
Portfolio Characteristics
Current Yield: 4.3%Average Coupon: 4.4%Average Quality: A3Effective Duration: 6.1 YearsEffective Maturity: 8.6 Years% non Investment Grade: 20.5%% Foreign: 24.2%Number of Securities: 254
Responsible Investment ESG Comment
ESG4 - We observed no evidence that ESG factors are taken into consideration within the corporate credit selection process. As such, we believe an ESG4 rating is appropriate.
Manager Commentary
38
Loomis Sayles Core Plus Bond Fund N Fund Information
Annualized Returns 2014 2013 2012 2011 2010 2009Loomis Sayles Core Plus Bond Fund N 6.4% -0.5% 11.3% 7.7% 10.3% 16.6%Barclays Aggregate 6.0% -2.0% 4.2% 7.8% 6.5% 5.9%Universe Median 4.8% -0.8% 6.5% 5.8% 7.3% 12.3%
Annualized Returns Last 3 Mo. 1 Yr 3 Yrs 5 Yrs 10 YrsLoomis Sayles Core Plus Bond Fund N 0.8% 3.6% 5.1% 6.5% 6.6%Barclays Aggregate 1.6% 5.7% 3.1% 4.4% 4.9%Universe Median 1.5% 4.5% 3.4% 4.6% 4.7%
39
Loomis Sayles Core Plus Bond Fund N Fund Information
MPT Statistics represent 5 year periods.
Anlzd Return Anlzd StandardDeviation Tracking Error Anlzd Alpha J Beta Sharpe Ratio Information
RatioUp Mkt Capture
RatioUp Mkt Annual
ReturnDown Mkt
Capture RatioDown Mkt
Annual Return_
Loomis Sayles Core Plus Bond Fund N 6.54% 3.77% 2.84% 2.84% 0.84 1.72 0.75 137.76% 8.78% 51.23% -1.97%
Barclays Aggregate 4.41% 3.02% 0.00% 0.00% 1.00 1.44 -- 100.00% 6.58% 100.00% -3.84%
40
Maturities as of 09/30/20141 to 3 Years 9.92%
3 to 5 Years 13.22%
5 to 7 Years 15.42%
7 to 10 Years 16.81%
10 to 15 Years 2.00%
15 to 20 Years 4.02%
20 to 30 Years 16.13%
Greater than 30 Years 8.55%
Credit Quality as of 09/30/2014AAA 36.57%
AA 1.96%
A 16.49%
BBB 24.95%
BB 16.96%
B 3.08%
Below B 0.00%
Not Rated 0.00%
Maturities as of 12/31/20141 to 3 Years 6.39%
3 to 5 Years 13.84%
5 to 7 Years 14.38%
7 to 10 Years 15.54%
10 to 15 Years 3.07%
15 to 20 Years 4.07%
20 to 30 Years 14.37%
Greater than 30 Years 13.92%
Credit Quality as of 12/31/2014AAA 37.91%
AA 2.00%
A 17.73%
BBB 23.12%
BB 15.18%
B 3.91%
Below B 0.00%
Not Rated 0.16%
Loomis Sayles Core Plus Bond Fund N Historical - Fund Information
Credit Quality as of 02/28/2015AAA 38.03%
AA 3.72%
A 17.96%
BBB 21.35%
BB 14.66%
B 4.27%
Below B 0.00%
Not Rated 0.00%
Fixed Income Sectors as of 09/30/2014GOVERNMENT 22.97%
MUNICIPAL 0.00%
CORPORATE 45.85%
SECURITIZED 15.71%
CASH & EQUIVALENTS 12.58%
DERIVATIVE 0.00%
Fixed Income Sectors as of 12/31/2014GOVERNMENT 16.83%
MUNICIPAL 0.00%
CORPORATE 42.97%
SECURITIZED 23.52%
CASH & EQUIVALENTS 12.82%
DERIVATIVE 0.62%
Maturities as of 02/28/20151 to 3 Years 6.29%
3 to 5 Years 13.90%
5 to 7 Years 14.37%
7 to 10 Years 15.79%
10 to 15 Years 1.96%
15 to 20 Years 4.28%
20 to 30 Years 14.88%
Greater than 30 Years 15.08%
Fixed Income Sectors as of 02/28/2015GOVERNMENT 17.68%
MUNICIPAL 0.00%
CORPORATE 42.62%
SECURITIZED 24.32%
CASH & EQUIVALENTS 12.40%
DERIVATIVE 0.53%
Fund Characteristics as of 09/30/2014Sharpe Ratio (3 Year) 1.54
Average Duration 5.54
Average Coupon 4.71%
Average Effective Maturity 7.94
Average Credit Quality A (8.07)
R-Squared (3 Year) 0.82
Alpha (3 Year) 0.67%
Fund Characteristics as of 12/31/2014Sharpe Ratio (3 Year) 1.35
Average Duration 6.09
Average Coupon 4.65%
Average Effective Maturity 8.43
Average Credit Quality A (8.13)
R-Squared (3 Year) 0.66
Alpha (3 Year) 0.53%
Fund Characteristics as of 02/28/2015Sharpe Ratio (3 Year) 1.23
Average Duration 6.26
Average Coupon 4.34%
Average Effective Maturity 8.66
Average Credit Quality A (8.16)
R-Squared (3 Year) 0.65
Alpha (3 Year) 0.29%
41
Ultra Conservative Profile Fund Information
Annualized Returns Last 3 Mo. 1 Yr 3 Yrs 5 YrsUltra Conservative Profile 1.3% 4.0% 4.5% 5.0%Ultra Conservative Profile Custom Index 1.5% 4.5% 4.1% 4.5%Universe Median 1.7% 4.4% 6.1% 6.3%
Annualized Returns 2014 2013 2012 2011 2010 2009Ultra Conservative Profile 3.9% 4.0% 6.5% 4.4% 7.1% 8.8%Ultra Conservative Profile Custom Index 4.3% 3.5% 4.9% 3.8% 6.5% 8.1%Universe Median 4.2% 7.6% 9.1% 2.0% 9.7% 19.3%
42
Ultra Conservative Profile Fund Information
MPT Statistics represent 5 year periods.
Anlzd Return Anlzd StandardDeviation Tracking Error Anlzd Alpha J Beta Sharpe Ratio Information
RatioUp Mkt Capture
RatioUp Mkt Annual
ReturnDown Mkt
Capture RatioDown Mkt
Annual Return_
Ultra Conservative Profile 5.04% 2.09% 0.45% 0.52% 1.00 2.38 1.15 111.46% 6.45% 99.43% -1.94%
Ultra Conservative Profile Custom Index 4.53% 2.05% 0.00% 0.00% 1.00 2.18 -- 100.00% 5.84% 100.00% -1.95%
43
Conservative Profile Fund Information
Annualized Returns Last 3 Mo. 1 Yr 3 Yrs 5 Yrs 10 YrsConservative Profile 2.0% 5.1% 6.7% 6.9% 5.7%Conservative Profile Custom Index 2.1% 5.7% 6.6% 6.7% 5.6%Universe Median 1.7% 4.4% 6.1% 6.3% 5.2%
Annualized Returns 2014 2013 2012 2011 2010 2009Conservative Profile 4.6% 9.1% 9.3% 2.9% 9.4% 13.4%Conservative Profile Custom Index 5.2% 8.9% 8.1% 2.7% 9.4% 13.2%Universe Median 4.2% 7.6% 9.1% 2.0% 9.7% 19.3%
44
Conservative Profile Fund Information
MPT Statistics represent 5 year periods.
Anlzd Return Anlzd StandardDeviation Tracking Error Anlzd Alpha J Beta Sharpe Ratio Information
RatioUp Mkt Capture
RatioUp Mkt Annual
ReturnDown Mkt
Capture RatioDown Mkt
Annual Return_
Conservative Profile 6.87% 4.87% 0.44% 0.25% 0.99 1.40 0.35 101.67% 11.93% 98.38% -6.99%
Conservative Profile Custom Index 6.72% 4.92% 0.00% 0.00% 1.00 1.35 -- 100.00% 11.77% 100.00% -7.10%
45
Moderate Profile Fund Information
Annualized Returns 2014 2013 2012 2011 2010 2009Moderate Profile 6.0% 17.6% 12.1% 0.9% 12.6% 19.1%Moderate Profile Custom Index 6.4% 17.5% 11.2% 0.8% 12.7% 19.2%Universe Median 5.1% 14.3% 11.6% 0.6% 11.8% 23.6%
Annualized Returns Last 3 Mo. 1 Yr 3 Yrs 5 Yrs 10 YrsModerate Profile 2.4% 6.8% 9.9% 9.3% 6.7%Moderate Profile Custom Index 2.4% 7.2% 9.9% 9.3% 6.6%Universe Median 1.9% 5.6% 8.3% 8.1% 6.0%
46
Moderate Profile Fund Information
MPT Statistics represent 5 year periods.
Anlzd Return Anlzd StandardDeviation Tracking Error Anlzd Alpha J Beta Sharpe Ratio Information
RatioUp Mkt Capture
RatioUp Mkt Annual
ReturnDown Mkt
Capture RatioDown Mkt
Annual Return_
Moderate Profile 9.34% 8.87% 0.34% 0.18% 0.99 1.05 0.22 100.04% 17.33% 98.51% -17.53%
Moderate Profile Custom Index 9.27% 8.97% 0.00% 0.00% 1.00 1.03 -- 100.00% 17.33% 100.00% -17.80%
47
Aggressive Profile Fund Information
Annualized Returns 2014 2013 2012 2011 2010 2009Aggressive Profile 6.0% 22.6% 13.9% -1.1% 14.7% 22.8%Aggressive Profile Custom Index 6.3% 22.7% 13.2% -1.1% 14.9% 23.2%Universe Median 6.1% 21.0% 13.5% -2.0% 13.5% 27.1%
Annualized Returns Last 3 Mo. 1 Yr 3 Yrs 5 Yrs 10 YrsAggressive Profile 2.9% 7.3% 11.7% 10.6% 6.9%Aggressive Profile Custom Index 3.0% 7.7% 11.7% 10.6% 6.9%Universe Median 2.4% 7.3% 10.8% 9.9% 6.6%
48
Aggressive Profile Fund Information
MPT Statistics represent 5 year periods.
Anlzd Return Anlzd StandardDeviation Tracking Error Anlzd Alpha J Beta Sharpe Ratio Information
RatioUp Mkt Capture
RatioUp Mkt Annual
ReturnDown Mkt
Capture RatioDown Mkt
Annual Return_
Aggressive Profile 10.59% 11.59% 0.24% 0.04% 1.00 0.91 0.03 99.96% 21.44% 99.84% -23.95%
Aggressive Profile Custom Index 10.58% 11.63% 0.00% 0.00% 1.00 0.90 -- 100.00% 21.44% 100.00% -23.99%
49
Ultra Aggressive Profile Fund Information
Annualized Returns Last 3 Mo. 1 Yr 3 Yrs 5 YrsUltra Aggressive Profile 3.4% 7.9% 13.4% 11.8%Ultra Aggressive Profile Custom Index 3.4% 8.1% 13.5% 11.8%Universe Median 2.4% 7.3% 10.8% 9.9%
Annualized Returns 2014 2013 2012 2011 2010 2009Ultra Aggressive Profile 6.1% 27.7% 15.7% -3.0% 16.9% 26.5%Ultra Aggressive Profile Custom Index 6.3% 28.1% 15.2% -3.0% 16.9% 27.0%Universe Median 6.1% 21.0% 13.5% -2.0% 13.5% 27.1%
50
Ultra Aggressive Profile Fund Information
MPT Statistics represent 5 year periods.
Anlzd Return Anlzd StandardDeviation Tracking Error Anlzd Alpha J Beta Sharpe Ratio Information
RatioUp Mkt Capture
RatioUp Mkt Annual
ReturnDown Mkt
Capture RatioDown Mkt
Annual Return_
Ultra Aggressive Profile 11.78% 14.33% 0.24% -0.10% 1.00 0.82 -0.25 100.03% 25.66% 100.67% -29.99%
Ultra Aggressive Profile Custom Index 11.84% 14.28% 0.00% 0.00% 1.00 0.83 -- 100.00% 25.65% 100.00% -29.79%
51
Plan City of Los Angeles Deferred Compensation Plan
Strategy Vanguard - Vanguard Institutional Index Fund (US)
Benchmark S&P 500
Manager Philosophy and Process
The Vanguard Institutional Index Fund (US) attempts to replicate the S&P 500 index by investing all, or substantially all, of its assets in the stocks that make up the Index, holding each stock in approximately the same proportion as its weighting in the Index. Vanguard's security lending program is value oriented. It generates revenue by lending limited amounts of select, hard-to-borrow securities that are in high demand.
Quarterly Attribution
Top performing index sectors:
• Health care (+6.5%), consumer discretionary (+4.8%) and telecommunication services (+1.5%)
Bottom performing index sectors:
• Utilities (-5.2%), energy (-2.9%) and financials (-2.1%)
Manager Commentary
52
MERCER
DCP Large Cap Stock Fund Fund Information
Annualized Returns Last 3 Mo. 1 Yr 3 Yrs 5 Yrs 10 YrsDCP Large Cap Stock Fund 0.9% 12.7% 16.1% 14.5% 8.0%S&P 500 1.0% 12.7% 16.1% 14.5% 8.0%Universe Median 0.9% 12.4% 15.9% 14.2% 7.8%
Annualized Returns 2014 2013 2012 2011 2010 2009DCP Large Cap Stock Fund 13.7% 32.4% 16.0% 2.1% 15.1% 26.7%S&P 500 13.7% 32.4% 16.0% 2.1% 15.1% 26.5%Universe Median 13.3% 32.2% 15.8% 1.9% 14.8% 26.4%
53
DCP Large Cap Stock Fund Fund Information
MPT Statistics represent 5 year periods.
Anlzd Return Anlzd StandardDeviation Tracking Error Anlzd Alpha J Beta Sharpe Ratio Information
RatioUp Mkt Capture
RatioUp Mkt Annual
ReturnDown Mkt
Capture RatioDown Mkt
Annual Return_
DCP Large Cap Stock Fund 14.46% 14.45% 0.01% 0.00% 1.00 1.00 -0.33 99.96% 27.68% 99.98% -26.08%
S&P 500 14.47% 14.45% 0.00% 0.00% 1.00 1.00 -- 100.00% 27.69% 100.00% -26.09%
54
Sector Allocation as of 09/30/2014BASIC MATERIALS 3.29%
COMMUNICATION SERVICES 4.02%
CONSUMER CYCLICAL 10.19%
CONSUMER DEFENSIVE 9.48%
ENERGY 9.67%
FINANCIAL SERVICES 14.90%
HEALTHCARE 14.27%
INDUSTRIALS 10.98%
REAL ESTATE 1.92%
TECHNOLOGY 17.96%
UTILITIES 2.99%
DCP Large Cap Stock Fund Historical - Fund Information
Portfolio Fund Information as of 09/30/2014Ticker VIIIX
Morningstar Category Large Blend
Average Market Cap ($mm) 70,096.04
Net Assets ($mm) 81,815.05
% Assets in Top 10 Holdings 17.68
Total Number of Holdings 509
Manager Name Donald M. Butler
Manager Tenure 14
Expense Ratio 0.02%
Closed to New Investors No
Sector Allocation as of 12/31/2014BASIC MATERIALS 3.02%
COMMUNICATION SERVICES 3.84%
CONSUMER CYCLICAL 10.53%
CONSUMER DEFENSIVE 9.71%
ENERGY 8.40%
FINANCIAL SERVICES 15.17%
HEALTHCARE 14.64%
INDUSTRIALS 11.13%
REAL ESTATE 2.10%
TECHNOLOGY 17.80%
UTILITIES 3.22%
Portfolio Fund Information as of 03/31/2015Ticker VIIIX
Morningstar Category Large Blend
Average Market Cap ($mm) 71,448.98
Net Assets ($mm) 88,432.38
% Assets in Top 10 Holdings 16.89
Total Number of Holdings 510
Manager Name Donald M. Butler
Manager Tenure 14
Expense Ratio 0.02%
Closed to New Investors No
Sector Allocation as of 03/31/2015BASIC MATERIALS 2.99%
COMMUNICATION SERVICES 3.82%
CONSUMER CYCLICAL 10.96%
CONSUMER DEFENSIVE 9.61%
ENERGY 8.00%
FINANCIAL SERVICES 14.53%
HEALTHCARE 15.36%
INDUSTRIALS 11.12%
REAL ESTATE 2.26%
TECHNOLOGY 17.82%
UTILITIES 3.03%
Portfolio Fund Information as of 12/31/2014Ticker VIIIX
Morningstar Category Large Blend
Average Market Cap ($mm) 72,090.64
Net Assets ($mm) 85,610.98
% Assets in Top 10 Holdings 17.33
Total Number of Holdings 511
Manager Name Donald M. Butler
Manager Tenure 14
Expense Ratio 0.02%
Closed to New Investors No
Fund Characteristics as of 09/30/2014Sharpe Ratio (3 Year) 2.26
Average Market Cap ($mm) 70,096.04
Price/Earnings 17.06
Price/Book 2.39
Price/Sales 1.70
Price/Cash Flow 7.48
Dividend Yield 2.29
Number of Equity Holdings 504
R-Squared (3 Year) 1.00
Alpha (3 Year) 0.00%
Fund Characteristics as of 12/31/2014Sharpe Ratio (3 Year) 2.18
Average Market Cap ($mm) 72,090.64
Price/Earnings 17.22
Price/Book 2.49
Price/Sales 1.78
Price/Cash Flow 7.80
Dividend Yield 2.09
Number of Equity Holdings 504
R-Squared (3 Year) 1.00
Alpha (3 Year) 0.00%
Fund Characteristics as of 03/31/2015Sharpe Ratio (3 Year) 1.97
Average Market Cap ($mm) 71,448.98
Price/Earnings 18.16
Price/Book 2.58
Price/Sales 1.71
Price/Cash Flow 9.17
Dividend Yield 2.24
Number of Equity Holdings 504
R-Squared (3 Year) 1.00
Alpha (3 Year) 0.00%
55
MERCER
DCP Mid Cap Stock Fund Fund Information
Annualized Returns Last 3 Mo. 1 Yr 3 Yrs 5 Yrs 10 YrsDCP Mid Cap Stock Fund 4.1% 14.7% 17.9% 16.1% 10.0%DCP Mid Cap Custom Benchmark 4.0% 14.6% 17.9% 16.1% 10.0%Universe Median 3.7% 9.5% 16.0% 14.2% 8.7%
Annualized Returns 2014 2013 2012 2011 2010 2009DCP Mid Cap Stock Fund 13.8% 35.2% 16.0% -1.9% 25.7% 40.5%DCP Mid Cap Custom Benchmark 13.8% 35.2% 16.0% -1.9% 25.7% 40.5%Universe Median 8.3% 34.0% 16.1% -3.4% 23.7% 33.3%
56
DCP Mid Cap Stock Fund Fund Information
MPT Statistics represent 5 year periods.
Anlzd Return Anlzd StandardDeviation Tracking Error Anlzd Alpha J Beta Sharpe Ratio Information
RatioUp Mkt Capture
RatioUp Mkt Annual
ReturnDown Mkt
Capture RatioDown Mkt
Annual Return_
DCP Mid Cap Stock Fund 16.08% 16.74% 0.06% -0.01% 1.00 0.96 -0.05 100.02% 35.18% 100.06% -26.50%
DCP Mid Cap Custom Benchmark 16.08% 16.73% 0.00% 0.00% 1.00 0.96 -- 100.00% 35.17% 100.00% -26.48%
57
Plan City of Los Angeles Deferred Compensation Plan
Strategy Vanguard - Vanguard Mid-Cap Index Fund (US)
Benchmark CRSP US Mid Cap Index
Manager Philosophy and Process
Vanguard Mid-Cap Index Fund seeks to track the investment performance of the CRSP US Mid Cap Index, an unmanaged benchmark representing medium-size U.S. firms. The experience and stability of Vanguard's Quantitative Equity Group have permitted continuous refinement of techniques for reducing tracking error. The group uses proprietary software to implement trading decisions that accommodate cash flow and maintain close correlation with index characteristics.The Fund employs a passively managed, full-replication approach. The Fund holds all stocks in the same capitalization weighting as the index.Vanguard Mid-Cap Index Fund participates in securities lending program.
Quarterly Attribution
Top performing index sectors:
• Health care (+17.2%), industrials (+4.1) and financials (+4.0%)
Bottom performing index sectors:
• Utilities (-3.9%), basic materials (-2.5%) and oil & gas (-0.5%)
Manager Commentary
58
MERCER
Vanguard Mid Cap Index Fund Instl Plus Fund Information
Annualized Returns 2014 2013 2012 2011 2010 2009Vanguard Mid Cap Index Fund Instl Plus 13.8% 35.2% 16.0% -1.9% 25.7% 40.5%Vanguard Spliced Mid Cap 13.8% 35.2% 16.0% -1.9% 25.7% 40.5%Universe Median 8.3% 34.0% 16.1% -3.4% 23.7% 33.3%
Annualized Returns Last 3 Mo. 1 Yr 3 Yrs 5 Yrs 10 YrsVanguard Mid Cap Index Fund Instl Plus 4.3% 14.9% 18.0% 16.1% 10.0%Vanguard Spliced Mid Cap 4.3% 15.0% 18.0% 16.1% 10.0%Universe Median 3.7% 9.5% 16.0% 14.2% 8.7%
59
Vanguard Mid Cap Index Fund Instl Plus Fund Information
MPT Statistics represent 5 year periods.
Anlzd Return Anlzd StandardDeviation Tracking Error Anlzd Alpha J Beta Sharpe Ratio Information
RatioUp Mkt Capture
RatioUp Mkt Annual
ReturnDown Mkt
Capture RatioDown Mkt
Annual Return_
Vanguard Mid Cap Index Fund Instl Plus 16.12% 16.74% 0.04% -0.04% 1.00 0.96 -0.74 99.87% 35.24% 100.06% -26.50%
Vanguard Spliced Mid Cap 16.15% 16.73% 0.00% 0.00% 1.00 0.96 -- 100.00% 35.27% 100.00% -26.48%
60
Vanguard Mid Cap Index Fund Instl Plus Historical - Fund Information
Sector Allocation as of 09/30/2014BASIC MATERIALS 5.94%
COMMUNICATION SERVICES 1.53%
CONSUMER CYCLICAL 17.67%
CONSUMER DEFENSIVE 7.18%
ENERGY 7.18%
FINANCIAL SERVICES 10.39%
HEALTHCARE 9.89%
INDUSTRIALS 14.54%
REAL ESTATE 5.47%
TECHNOLOGY 14.54%
UTILITIES 5.06%
Portfolio Fund Information as of 09/30/2014Ticker VMCPX
Morningstar Category Mid-Cap Blend
Average Market Cap ($mm) 10,365.70
Net Assets ($mm) 9,941.46
% Assets in Top 10 Holdings 6.46
Total Number of Holdings 373
Manager Name Donald M. Butler
Manager Tenure 17
Expense Ratio 0.06%
Closed to New Investors No
Sector Allocation as of 12/31/2014BASIC MATERIALS 5.69%
COMMUNICATION SERVICES 1.60%
CONSUMER CYCLICAL 18.56%
CONSUMER DEFENSIVE 7.34%
ENERGY 6.20%
FINANCIAL SERVICES 10.26%
HEALTHCARE 10.23%
INDUSTRIALS 13.91%
REAL ESTATE 5.88%
TECHNOLOGY 14.75%
UTILITIES 5.19%
Portfolio Fund Information as of 12/31/2014Ticker VMCPX
Morningstar Category Mid-Cap Blend
Average Market Cap ($mm) 11,149.83
Net Assets ($mm) 11,144.39
% Assets in Top 10 Holdings 6.62
Total Number of Holdings 381
Manager Name Donald M. Butler
Manager Tenure 17
Expense Ratio 0.06%
Closed to New Investors No
Sector Allocation as of 03/31/2015BASIC MATERIALS 5.52%
COMMUNICATION SERVICES 1.70%
CONSUMER CYCLICAL 18.20%
CONSUMER DEFENSIVE 7.22%
ENERGY 6.35%
FINANCIAL SERVICES 10.18%
HEALTHCARE 11.25%
INDUSTRIALS 13.62%
REAL ESTATE 5.84%
TECHNOLOGY 15.09%
UTILITIES 4.71%
Portfolio Fund Information as of 03/31/2015Ticker VMCPX
Morningstar Category Mid-Cap Blend
Average Market Cap ($mm) 11,483.05
Net Assets ($mm) 11,587.98
% Assets in Top 10 Holdings 6.53
Total Number of Holdings 370
Manager Name Donald M. Butler
Manager Tenure 17
Expense Ratio 0.06%
Closed to New Investors No
Fund Characteristics as of 09/30/2014Sharpe Ratio (3 Year) 2.03
Average Market Cap ($mm) 10,365.70
Price/Earnings 19.82
Price/Book 2.52
Price/Sales 1.43
Price/Cash Flow 10.22
Dividend Yield 1.51
Number of Equity Holdings 367
R-Squared (3 Year) 1.00
Alpha (3 Year) -0.01%
Fund Characteristics as of 03/31/2015Sharpe Ratio (3 Year) 1.91
Average Market Cap ($mm) 11,483.05
Price/Earnings 20.47
Price/Book 2.56
Price/Sales 1.48
Price/Cash Flow 6.43
Dividend Yield 1.58
Number of Equity Holdings 367
R-Squared (3 Year) 1.00
Alpha (3 Year) -0.02%
Fund Characteristics as of 12/31/2014Sharpe Ratio (3 Year) 1.97
Average Market Cap ($mm) 11,149.83
Price/Earnings 19.04
Price/Book 2.61
Price/Sales 1.50
Price/Cash Flow 10.74
Dividend Yield 1.50
Number of Equity Holdings 376
R-Squared (3 Year) 1.00
Alpha (3 Year) -0.01%
61
Plan City of Los Angeles Deferred Compensation Plan
Strategy Ceredex Value Advisors - Ceredex Mid Cap Value Equity
Benchmark Russell Midcap Value
Current Positioning
• Relative to the benchmark, the Fund is overweight the information technology, energy, and health care sectors• Conversly, the Fund is underweight the financials, consumer discretionary, utilities, and consumer staples sectors
Quarterly Attribution
Positive Impact on Performance:
• An overweight allocation to the health care sector• An underweight allocation to the utilities sector• Security selection within the health care, industrials, materials, and utilities sectors
Negative Impact on Performance:
• An overweight allocation to the energy and information technology sectors• Security selection within the consumer discretionary, financials, and information technology sectors• An average 4% allocation to cash during the quarter
Manager Commentary
62
Plan City of Los Angeles Deferred Compensation Plan
Strategy Ceredex Value Advisors - Ceredex Mid Cap Value Equity
Benchmark Russell Midcap Value
Portfolio Characteristics
Number of Holdings: 58Weighted Market Capitalization (billions): $14.4Median Market Capitalization (billions): $9.5P/E ratio: 20.4xP/B ratio: 2.1xEarnings growth (5-year EPS Growth): 12.23%Turnover: 107%% Cash: 3.60
Responsible Investment ESG Comment
ESG3 - We believe an ESG3 rating is appropriate. Ceredex does not explicitly incorporate environmental, social, and governance (ESG) and active ownership practices into its investment process. The team does consider certain factors such as the quality of management as part of the fundamental research. However, this evaluation is just one input into the team's risk/reward assessment of a given stock. For voting proxies, RidgeWorth has a central team in Atlanta that handles all voting across the subsidiaries, involving Ceredex's portfolio managers as necessary if any issues arise. The firm is not a signatory to the UN Principles for Responsible Investment.
Manager Commentary
63
MERCER
RidgeWorth Mid Cap Value Equity Fund I Fund Information
Annualized Returns Last 3 Mo. 1 Yr 3 Yrs 5 Yrs 10 YrsRidgeWorth Mid Cap Value Equity Fund I 0.4% 7.8% 16.3% 13.4% 11.1%Russell MidCap Value 2.4% 11.7% 18.6% 15.8% 9.6%Universe Median 2.8% 9.7% 16.7% 14.1% 8.4%
Annualized Returns 2014 2013 2012 2011 2010 2009RidgeWorth Mid Cap Value Equity Fund I 11.0% 31.2% 21.8% -7.3% 27.7% 47.0%Russell MidCap Value 14.7% 33.5% 18.5% -1.4% 24.8% 34.2%Universe Median 9.5% 34.4% 16.4% -4.1% 21.8% 34.2%
64
RidgeWorth Mid Cap Value Equity Fund I Fund Information
MPT Statistics represent 5 year periods.
Anlzd Return Anlzd StandardDeviation Tracking Error Anlzd Alpha J Beta Sharpe Ratio Information
RatioUp Mkt Capture
RatioUp Mkt Annual
ReturnDown Mkt
Capture RatioDown Mkt
Annual Return_
RidgeWorth Mid Cap Value Equity Fund I 13.39% 18.91% 4.05% -4.85% 1.15 0.70 -0.61 102.38% 34.91% 125.70% -32.67%
Russell MidCap Value 15.84% 16.19% 0.00% 0.00% 1.00 0.98 -- 100.00% 34.34% 100.00% -25.72%
65
Sector Allocation as of 09/30/2014BASIC MATERIALS 4.09%
COMMUNICATION SERVICES 1.65%
CONSUMER CYCLICAL 14.70%
CONSUMER DEFENSIVE 1.08%
ENERGY 6.93%
FINANCIAL SERVICES 21.64%
HEALTHCARE 13.97%
INDUSTRIALS 15.15%
REAL ESTATE 2.86%
TECHNOLOGY 12.79%
UTILITIES 4.44%
RidgeWorth Mid Cap Value Equity Fund I Historical - Fund Information
Sector Allocation as of 12/31/2014BASIC MATERIALS 4.52%
COMMUNICATION SERVICES 2.09%
CONSUMER CYCLICAL 9.66%
CONSUMER DEFENSIVE 1.22%
ENERGY 6.58%
FINANCIAL SERVICES 23.59%
HEALTHCARE 12.78%
INDUSTRIALS 12.24%
REAL ESTATE 1.47%
TECHNOLOGY 15.43%
UTILITIES 6.12%
Portfolio Fund Information as of 12/31/2014Ticker SMVTX
Morningstar Category Mid-Cap Value
Average Market Cap ($mm) 10,397.49
Net Assets ($mm) 3,527.84
% Assets in Top 10 Holdings 26.24
Total Number of Holdings 62
Manager Name Don Wordell
Manager Tenure 13
Expense Ratio 1.10%
Closed to New Investors No
Portfolio Fund Information as of 09/30/2014Ticker SMVTX
Morningstar Category Mid-Cap Value
Average Market Cap ($mm) 10,034.79
Net Assets ($mm) 3,346.81
% Assets in Top 10 Holdings 24.59
Total Number of Holdings 70
Manager Name Don Wordell
Manager Tenure 13
Expense Ratio 1.10%
Closed to New Investors No
Portfolio Fund Information as of 03/31/2015Ticker SMVTX
Morningstar Category Mid-Cap Value
Average Market Cap ($mm) 11,104.95
Net Assets ($mm) 3,558.97
% Assets in Top 10 Holdings 24.91
Total Number of Holdings 59
Manager Name Don Wordell
Manager Tenure 13
Expense Ratio 1.10%
Closed to New Investors No
Sector Allocation as of 03/31/2015BASIC MATERIALS 3.82%
COMMUNICATION SERVICES 2.22%
CONSUMER CYCLICAL 10.60%
CONSUMER DEFENSIVE 1.33%
ENERGY 7.43%
FINANCIAL SERVICES 23.14%
HEALTHCARE 12.17%
INDUSTRIALS 7.78%
REAL ESTATE 0.84%
TECHNOLOGY 16.95%
UTILITIES 9.47%
Fund Characteristics as of 09/30/2014Sharpe Ratio (3 Year) 2.04
Average Market Cap ($mm) 10,034.79
Price/Earnings 17.77
Price/Book 1.81
Price/Sales 1.38
Price/Cash Flow 7.90
Dividend Yield 2.14
Number of Equity Holdings 69
R-Squared (3 Year) 0.92
Alpha (3 Year) -0.25%
Fund Characteristics as of 12/31/2014Sharpe Ratio (3 Year) 1.97
Average Market Cap ($mm) 10,397.49
Price/Earnings 17.02
Price/Book 1.96
Price/Sales 1.54
Price/Cash Flow 7.56
Dividend Yield 2.01
Number of Equity Holdings 60
R-Squared (3 Year) 0.91
Alpha (3 Year) -0.23%
Fund Characteristics as of 03/31/2015Sharpe Ratio (3 Year) 1.69
Average Market Cap ($mm) 11,104.95
Price/Earnings 18.69
Price/Book 2.06
Price/Sales 1.51
Price/Cash Flow 9.84
Dividend Yield 2.32
Number of Equity Holdings 58
R-Squared (3 Year) 0.89
Alpha (3 Year) -0.37%
66
Plan City of Los Angeles Deferred Compensation Plan
Strategy Voya Investment Management Co. - Voya Mid Cap Growth
Benchmark Russell Midcap Growth
Current Positioning
As of 3/31/15:
• Relative to the Russell Midcap Growth Index, the Fund has a modest overweight (90 bps) to the consumer staples sector.• The Fund has a modest underweight (90 bps) to the health care sector.• The Fund is managed on a sector neutral basis.
Quarterly Attribution
As of 3/31/15:
Positive Impact on Performance: • Stock selection within the consumer discretionary, industrials, information technology, and energy sectors.
Negative Impact on Performance: • Stock selection within the health care and materials sectors
Portfolio Characteristics
As of 3/31/15:
Number of holdings: 79Weighted Average Market Capitalization ($MM): $16,015P/E ratio (next 12 month): 22.81%Earnings growth (3-5 year): 15.53%Return on Assets: 8.8%Dividend Yield: 0.77%
Manager Commentary
67
Plan City of Los Angeles Deferred Compensation Plan
Strategy Voya Investment Management Co. - Voya Mid Cap Growth
Benchmark Russell Midcap Growth
Responsible Investment ESG Comment
ESG3 - Voya considers environmental, social and governance (ESG) issues in the context of their potential financial effect on a company's stock price, but the factors are not explicit drivers of the investment philosophy and process.
Manager Commentary
68
MERCER
Voya Mid Cap Opportunities Fund R6 Fund Information
Annualized Returns 2014 2013 2012 2011 2010 2009Voya Mid Cap Opportunities Fund R6 8.8% 31.4% 13.6% -0.9% 30.0% 41.0%Russell MidCap Growth 11.9% 35.7% 15.8% -1.7% 26.4% 46.3%Universe Median 7.1% 36.1% 14.5% -2.9% 26.0% 39.7%
Annualized Returns Last 3 Mo. 1 Yr 3 Yrs 5 Yrs 10 YrsVoya Mid Cap Opportunities Fund R6 5.3% 15.0% 14.3% 15.5% 11.2%Russell MidCap Growth 5.4% 15.6% 17.4% 16.4% 10.2%Universe Median 5.9% 11.7% 14.8% 14.8% 9.7%
69
Voya Mid Cap Opportunities Fund R6 Fund Information
MPT Statistics represent 5 year periods.
Anlzd Return Anlzd StandardDeviation Tracking Error Anlzd Alpha J Beta Sharpe Ratio Information
RatioUp Mkt Capture
RatioUp Mkt Annual
ReturnDown Mkt
Capture RatioDown Mkt
Annual Return_
Voya Mid Cap Opportunities Fund R6 15.53% 16.54% 2.35% -0.28% 0.96 0.94 -0.38 88.74% 30.61% 91.11% -29.26%
Russell MidCap Growth 16.43% 17.03% 0.00% 0.00% 1.00 0.96 -- 100.00% 33.25% 100.00% -32.11%
70
Portfolio Fund Information as of 09/30/2014Ticker IMOZX
Morningstar Category Mid-Cap Growth
Average Market Cap ($mm) 10,928.58
Net Assets ($mm) 45.23
% Assets in Top 10 Holdings 20.54
Total Number of Holdings 81
Manager Name Jeff Bianchi
Manager Tenure 10
Expense Ratio 0.88%
Closed to New Investors No
Sector Allocation as of 09/30/2014BASIC MATERIALS 1.21%
COMMUNICATION SERVICES 1.50%
CONSUMER CYCLICAL 24.95%
CONSUMER DEFENSIVE 9.06%
ENERGY 6.57%
FINANCIAL SERVICES 7.53%
HEALTHCARE 12.00%
INDUSTRIALS 17.27%
REAL ESTATE 0.93%
TECHNOLOGY 17.19%
UTILITIES 0.00%
Sector Allocation as of 12/31/2014BASIC MATERIALS 1.26%
COMMUNICATION SERVICES 1.37%
CONSUMER CYCLICAL 25.61%
CONSUMER DEFENSIVE 9.64%
ENERGY 4.85%
FINANCIAL SERVICES 8.39%
HEALTHCARE 12.43%
INDUSTRIALS 18.17%
REAL ESTATE 0.98%
TECHNOLOGY 16.16%
UTILITIES 0.00%
Portfolio Fund Information as of 12/31/2014Ticker IMOZX
Morningstar Category Mid-Cap Growth
Average Market Cap ($mm) 12,269.90
Net Assets ($mm) 48.88
% Assets in Top 10 Holdings 20.90
Total Number of Holdings 79
Manager Name Jeff Bianchi
Manager Tenure 10
Expense Ratio 0.88%
Closed to New Investors No
Voya Mid Cap Opportunities Fund R6 Historical - Fund Information
Portfolio Fund Information as of 12/31/2014Ticker IMOZX
Morningstar Category Mid-Cap Growth
Average Market Cap ($mm) 12,269.90
Net Assets ($mm) 129.96
% Assets in Top 10 Holdings 20.90
Total Number of Holdings 79
Manager Name Jeff Bianchi
Manager Tenure 10
Expense Ratio 0.88%
Closed to New Investors No
Sector Allocation as of 12/31/2014BASIC MATERIALS 1.26%
COMMUNICATION SERVICES 1.37%
CONSUMER CYCLICAL 25.61%
CONSUMER DEFENSIVE 9.64%
ENERGY 4.85%
FINANCIAL SERVICES 8.39%
HEALTHCARE 12.43%
INDUSTRIALS 18.17%
REAL ESTATE 0.98%
TECHNOLOGY 16.16%
UTILITIES 0.00%
Fund Characteristics as of 09/30/2014Sharpe Ratio (3 Year) 1.61
Average Market Cap ($mm) 10,928.58
Price/Earnings 21.12
Price/Book 3.66
Price/Sales 1.89
Price/Cash Flow 12.08
Dividend Yield 0.91
Number of Equity Holdings 78
R-Squared (3 Year) 0.98
Alpha (3 Year) -0.84%
Fund Characteristics as of 12/31/2014Sharpe Ratio (3 Year) 1.56
Average Market Cap ($mm) 12,269.90
Price/Earnings 21.03
Price/Book 3.81
Price/Sales 2.03
Price/Cash Flow 13.89
Dividend Yield 0.80
Number of Equity Holdings 78
R-Squared (3 Year) 0.96
Alpha (3 Year) -0.70%
Fund Characteristics as of 12/31/2014Sharpe Ratio (3 Year) 1.54
Average Market Cap ($mm) 12,269.90
Price/Earnings 21.03
Price/Book 3.81
Price/Sales 2.03
Price/Cash Flow 13.89
Dividend Yield 0.80
Number of Equity Holdings 78
R-Squared (3 Year) 0.95
Alpha (3 Year) -0.60%
71
MERCER
DCP Small Cap Stock Fund Fund Information
Annualized Returns Last 3 Mo. 1 Yr 3 Yrs 5 Yrs 10 YrsDCP Small Cap Stock Fund 4.3% 8.2% 16.2% 14.5% 10.0%Russell 2000 4.3% 8.2% 16.3% 14.6% 8.8%Universe Median 3.9% 7.1% 15.3% 14.2% 8.6%
Annualized Returns 2014 2013 2012 2011 2010 2009DCP Small Cap Stock Fund 4.9% 38.7% 16.2% -4.0% 26.6% 26.6%Russell 2000 4.9% 38.8% 16.3% -4.2% 26.9% 27.2%Universe Median 4.2% 37.4% 14.8% -2.8% 25.8% 31.0%
72
DCP Small Cap Stock Fund Fund Information
MPT Statistics represent 5 year periods.
Anlzd Return Anlzd StandardDeviation Tracking Error Anlzd Alpha J Beta Sharpe Ratio Information
RatioUp Mkt Capture
RatioUp Mkt Annual
ReturnDown Mkt
Capture RatioDown Mkt
Annual Return_
DCP Small Cap Stock Fund 14.52% 18.81% 0.10% -0.02% 1.00 0.77 -0.43 99.53% 36.10% 99.78% -31.77%
Russell 2000 14.57% 18.83% 0.00% 0.00% 1.00 0.77 -- 100.00% 36.22% 100.00% -31.84%
73
Plan City of Los Angeles Deferred Compensation Plan
Strategy State Street Global Advisors - Russell 2000 Index Strategy
Benchmark Russell 2000
Manager Philosophy and Process
Investment PhilosophySSgA's aim is to achieve returns as close to the index as possible, but in a cost effective manner. Market anomalies will be exploited where they can be, at very low risk levels.
Investment ProcessSSgA manages the Russell 2000 Index strategy using either a replication or sampling and optimization approach. With regard to the replication approach, securities in the benchmark are purchased in the weights they represent in the benchmark. However, SSgA does allow for small mis-weights in the portfolio, recognizing that the cost of trading to avoid small mis-weights may be greater than any potential improvement in tracking error.
Quarterly Attribution
Top performing index sectors: • Health care (+12.4%), information technology (+5.7%) and consumer discretionary (+5.1%)
Bottom performing index sectors:
• Energy (-0.6%), telecommunication services (-0.4%) and consumer staples (+0.4%)
Manager Commentary
74
MERCER
SSgA Russell Small Cap Index Non-Lending Series Fund Fund Information
Annualized Returns Last 3 Mo. 1 Yr 3 Yrs 5 Yrs 10 YrsSSgA Russell Small Cap Index Non-Lending SeriesFund 4.3% 8.2% 16.2% 14.5%
Russell 2000 4.3% 8.2% 16.3% 14.6% 8.8%Universe Median 3.9% 7.1% 15.3% 14.2% 8.6%
Annualized Returns 2014 2013 2012 2011 2010 2009SSgA Russell Small Cap Index Non-LendingSeries Fund 4.9% 38.7% 16.2% -4.0% 26.6% 26.6%
Russell 2000 4.9% 38.8% 16.3% -4.2% 26.9% 27.2%Universe Median 4.2% 37.4% 14.8% -2.8% 25.8% 31.0%
75
MPT Statistics represent 5 year periods.
SSgA Russell Small Cap Index Non-Lending Series Fund Fund Information
Anlzd Return Anlzd StandardDeviation Tracking Error Anlzd Alpha J Beta Sharpe Ratio Information
RatioUp Mkt Capture
RatioUp Mkt Annual
ReturnDown Mkt
Capture RatioDown Mkt
Annual Return_
SSgA Russell Small Cap Index Non-Lending SeriesFund 14.52% 18.81% 0.10% -0.02% 1.00 0.77 -0.43 99.53% 36.10% 99.78% -31.77%
Russell 2000 14.57% 18.83% 0.00% 0.00% 1.00 0.77 -- 100.00% 36.22% 100.00% -31.84%
76
GICS SectorSelection
Effect(Local)
AllocationEffect
(Local)
InteractionEffects
_
Energy 0.02% 0.01% 0.00%Materials 0.02% 0.00% 0.00%Industrials 0.05% 0.00% 0.00%Consumer Discretionary -0.02% 0.00% 0.00%Consumer Staples -0.01% 0.00% 0.00%Health Care 0.14% -0.02% 0.00%Financials -0.03% -0.01% 0.00%Information Technology 0.04% 0.00% 0.00%Telecommunications Services 0.00% 0.00% 0.00%Utilities -0.01% 0.00% 0.00%Unclassified 0.00% -0.04% 0.00%Total 0.21% -0.05% -0.01%
XXXXX
Top ContributorsEnd Weight Return Contribution
ABIOMED 0.16 88.07 0.14NEUROCRINE BIOSCIENCES 0.18 77.75 0.14QORVO 0.62 20.10 0.12HORIZON PHARMA 0.10 101.47 0.10IMPAX LABORATORIES 0.18 47.95 0.09
Characteristics
Portfolio Russell2000
Number of Holdings 1,631 1,980
Weighted Avg. Market Cap. ($B) 2.12 2.11
Median Market Cap. ($B) 0.74 0.74
Price To Earnings 27.11 26.42
Price To Book 3.92 3.27
Price To Sales 3.18 2.88
Return on Equity (%) 12.93 11.20
Yield (%) 1.28 1.12
Beta 1.00 1.00
R-Squared 1.00 1.00
COMPANY SIZE DISTRIBUTION
Weighted Ave. Market Cap. ($B) 2.12 2.11
Median Market Cap. ($B) 0.74 0.74
Large Cap. (%) 0.00 0.00
Medium/Large Cap. (%) 0.00 0.00
Medium Cap. (%) 0.64 0.63
Medium/Small Cap. (%) 15.90 16.63
Small Cap. (%) 83.46 82.74
SSgA Russell Small Cap Index Non-Lending Series Fund Fund Information
Bottom ContributorsEnd Weight Return Contribution
INSULET 0.10 -27.59 -0.03FEI 0.18 -15.26 -0.03DARLING INGREDIENTS 0.12 -22.85 -0.03HELIX ENERGY SLTN.GP. 0.08 -31.06 -0.02NEKTAR THERAPEUTICS 0.08 -29.03 -0.02
Largest HoldingsEnd Weight Return
QORVO 0.62 20.10ISIS PHARMACEUTICALS 0.40 3.13OFFICE DEPOT 0.28 7.29BRUNSWICK 0.26 0.60DEXCOM 0.26 13.24
77
MERCER
SSgA Russell Small Cap Index Non-Lending Series Fund Historical - Fund Information
SSgA Russell Small Cap Index Non-Lending Series Fund Equity Characteristicsvs Russell 2000
Portfolio Index Portfolio Index Portfolio Index Portfolio IndexQ1-15 Q1-15 Q4-14 Q4-14 Q3-14 Q3-14 Q2-14 Q2-14
CharacteristicsWtg. Avg. Market Cap. (Bil) 2.12 2.11 1.90 1.89 -- 1.68 -- 1.77Median Market Cap (Bil) 0.74 0.74 0.72 0.71 -- 0.67 -- 0.67P/E Ratio 27.11 26.42 26.03 25.12 -- 22.33 -- 23.85Yield 1.28 1.12 1.32 1.10 -- 1.19 -- 1.06EPS Growth - 5 Yrs. 8.55 8.40 6.00 5.35 -- 5.25 -- 5.04Price to Book 3.92 3.27 3.76 3.12 -- 2.86 -- 3.06Beta (holdings; domestic) 1.28 1.28 1.30 1.30 -- 1.33 -- 1.34
Sector DistributionEnergy 2.84 3.37 3.34 3.39 -- 5.51 -- 6.32Materials 4.29 4.36 4.42 4.60 -- 4.98 -- 5.11Industrials 13.04 13.57 13.49 13.77 -- 13.89 -- 14.08Consumer Discretionary 13.46 13.98 13.51 13.69 -- 13.22 -- 13.14Consumer Staples 2.86 3.18 3.30 3.33 -- 3.27 -- 3.17Health Care 14.54 15.68 14.29 14.75 -- 13.37 -- 13.20Financials 22.82 23.66 24.22 24.29 -- 23.78 -- 22.98Information Technology 16.77 17.96 17.55 17.86 -- 18.02 -- 17.86Telecommunications Services 0.62 0.75 0.72 0.78 -- 0.78 -- 0.78Utilities 3.33 3.49 3.48 3.55 -- 3.19 -- 3.38
Sector PerformanceEnergy 0.05 -0.57 -- -30.61 -- -20.52 -- 11.52Materials 1.13 0.73 -- 2.14 -- -8.31 -- 1.72Industrials 2.87 2.53 -- 9.11 -- -9.53 -- 0.20Consumer Discretionary 4.99 5.17 -- 13.87 -- -8.52 -- 1.28Consumer Staples -0.07 0.11 -- 12.47 -- -3.35 -- 1.12Health Care 13.25 12.23 -- 17.59 -- -5.06 -- 0.40Financials 1.51 1.62 -- 11.48 -- -5.23 -- 1.94Information Technology 5.34 5.11 -- 11.73 -- -5.54 -- 1.97Telecommunications Services -0.27 -0.61 -- 8.74 -- -6.96 -- -3.07Utilities 0.75 0.95 -- 17.12 -- -10.14 -- 8.94Cash -- -- -- -- -- -- -- --
78
MERCER
SSgA Russell Small Cap Index Non-Lending Series Fund Historical - Fund Information
SSgA Russell Small Cap Index Non-Lending Series Fund Equity Characteristicsvs Russell 2000
Portfolio Index Portfolio Index Portfolio Index Portfolio IndexQ1-15 Q1-15 Q4-14 Q4-14 Q3-14 Q3-14 Q2-14 Q2-14
Company Size DistributionWeighted Ave. Market Cap. ($B) 2.12 2.11 1.90 1.89 -- 1.68 -- 1.77Median Market Cap. ($B) 0.74 0.74 0.72 0.71 -- 0.67 -- 0.67Large Cap. (%) 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00Medium/Large Cap. (%) 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00Medium Cap. (%) 0.64 0.63 0.00 0.00 0.00 0.00 0.00 0.00Medium/Small Cap. (%) 15.90 16.63 14.20 14.66 0.00 10.87 0.00 10.89Small Cap. (%) 83.46 82.74 85.80 85.34 0.00 89.13 0.00 89.11
Region WeightingNorth America ex U.S. 0.16 0.16 0.14 0.15 -- 0.39 -- 0.42United States 99.00 99.68 99.76 99.76 -- 99.45 -- 99.34Europe Ex U.K. 0.22 0.01 0.00 0.02 -- 0.03 -- 0.05United Kingdom 0.06 0.06 0.06 0.05 -- 0.10 -- 0.16Pacific Basin Ex Japan -- -- -- -- -- -- -- --Japan -- -- -- -- -- -- -- --Emerging Markets 0.02 0.01 0.02 0.01 -- 0.01 -- 0.01Other 0.54 0.07 0.02 0.01 -- 0.01 -- 0.01
79
Plan City of Los Angeles Deferred Compensation Plan
Strategy Dimensional Fund Advisors - US Small Cap Value Strategy
Benchmark Russell 2000 Value
Current Positioning
• Relative to the Russell 2000 Value, the Fund is overweight the industrials, information technology and energy sectors.• The Fund is significantly underweight the REITs sector followed by utilities and telecommunication services sectors.• Top holdings: CNO Financial, JetBlue Airways, Life Point Hospitals and Esterline Technologies.
Quarterly Attribution
Positive Impact on Performance:
• Security selection within the financials, energy and consumer staples sector• An underweight allocation to the utilities sector• An overweight allocation to and security selection within the industrials and information technology sectors• An overweight allocation to the consumer discretionary and health care sectors• Top contributors: JetBlue Airways, Delek and Skechers
Negative Impact on Performance:
• An overweight allocation to the energy sector• An underweight allocation to the REITs sector• Security selection within the materials and telecommunication services sectors• Top detractors: Century Aluminum, Helix Energy and Devry Education
Manager Commentary
80
Plan City of Los Angeles Deferred Compensation Plan
Strategy Dimensional Fund Advisors - US Small Cap Value Strategy
Benchmark Russell 2000 Value
Portfolio Characteristics
Number of holdings: 1,208Median Market Capitalization ($MM): $404Weighted Average Market Capitalization ($MM): $1,978P/E ratio: 16.5xP/B ratio: 1.3xTurnover (trailing 12 months as of 10/31/14): 9.0%% cash: 0.2%
Responsible Investment ESG Comment
ESG4 - DFA makes a conscious effort to include elements of corporate governance into its models on the belief that stronger corporate governance policies will be reflected in higher stock prices. It seeks to impact governance through a variety of means, including proxy voting, engagement, internal projects, research, and industry surveys and events. The firm is a signatory to the UNPRI. Even so, DFA manages a quantitatively driven process, where the firm does not focus on ESG issues on an individual stock basis. Therefore, we believe the traditional equity strategies warrant an ESG4 rating.
Manager Commentary
81
DFA US Small Cap Value Portfolio Institutional Fund Information
Annualized Returns 2014 2013 2012 2011 2010 2009DFA US Small Cap Value Portfolio Institutional 3.5% 42.4% 21.7% -7.5% 30.9% 33.6%Russell 2000 Value 4.2% 34.5% 18.1% -5.5% 24.5% 20.6%Universe Median 3.6% 36.4% 16.9% -3.8% 25.8% 31.3%
Annualized Returns Last 3 Mo. 1 Yr 3 Yrs 5 Yrs 10 YrsDFA US Small Cap Value Portfolio Institutional 2.4% 4.7% 17.5% 14.7% 8.5%Russell 2000 Value 2.0% 4.4% 14.8% 12.5% 7.5%Universe Median 2.3% 4.4% 14.7% 13.3% 8.2%
82
Anlzd Return Anlzd StandardDeviation Tracking Error Anlzd Alpha J Beta Sharpe Ratio Information
RatioUp Mkt Capture
RatioUp Mkt Annual
ReturnDown Mkt
Capture RatioDown Mkt
Annual Return_
DFA US Small Cap Value Portfolio Institutional 14.72% 20.89% 3.60% 0.68% 1.12 0.70 0.61 126.74% 39.74% 110.03% -36.53%
Russell 2000 Value 12.54% 18.48% 0.00% 0.00% 1.00 0.68 -- 100.00% 33.78% 100.00% -33.01%
DFA US Small Cap Value Portfolio Institutional Fund Information
MPT Statistics represent 5 year periods.
83
Sector Allocation as of 09/30/2014BASIC MATERIALS 6.70%
COMMUNICATION SERVICES 0.46%
CONSUMER CYCLICAL 14.57%
CONSUMER DEFENSIVE 4.33%
ENERGY 9.03%
FINANCIAL SERVICES 25.04%
HEALTHCARE 5.36%
INDUSTRIALS 20.23%
REAL ESTATE 0.37%
TECHNOLOGY 13.34%
UTILITIES 0.11%
Portfolio Fund Information as of 09/30/2014Ticker DFSVX
Morningstar Category Small Value
Average Market Cap ($mm) 1,303.88
Net Assets ($mm) 10,911.63
% Assets in Top 10 Holdings 9.99
Total Number of Holdings 1,281
Manager Name Joseph H. Chi
Manager Tenure 3
Expense Ratio 0.52%
Closed to New Investors No
DFA US Small Cap Value Portfolio Institutional Historical - Fund Information
Sector Allocation as of 12/31/2014BASIC MATERIALS 6.45%
COMMUNICATION SERVICES 0.54%
CONSUMER CYCLICAL 14.97%
CONSUMER DEFENSIVE 4.58%
ENERGY 7.08%
FINANCIAL SERVICES 26.40%
HEALTHCARE 5.39%
INDUSTRIALS 19.93%
REAL ESTATE 0.36%
TECHNOLOGY 13.95%
UTILITIES 0.07%
Fund Characteristics as of 09/30/2014Sharpe Ratio (3 Year) 1.71
Average Market Cap ($mm) 1,303.88
Price/Earnings 15.53
Price/Book 1.24
Price/Sales 0.65
Price/Cash Flow 5.31
Dividend Yield 1.16
Number of Equity Holdings 1,272
R-Squared (3 Year) 0.98
Alpha (3 Year) 0.67%
Portfolio Fund Information as of 12/31/2014Ticker DFSVX
Morningstar Category Small Value
Average Market Cap ($mm) 1,395.32
Net Assets ($mm) 11,680.75
% Assets in Top 10 Holdings 9.92
Total Number of Holdings 1,248
Manager Name Joseph H. Chi
Manager Tenure 3
Expense Ratio 0.52%
Closed to New Investors No
Portfolio Fund Information as of 02/28/2015Ticker DFSVX
Morningstar Category Small Value
Average Market Cap ($mm) 1,421.53
Net Assets ($mm) 12,329.78
% Assets in Top 10 Holdings 9.91
Total Number of Holdings 1,227
Manager Name Joseph H. Chi
Manager Tenure 3
Expense Ratio 0.53%
Closed to New Investors No
Sector Allocation as of 02/28/2015BASIC MATERIALS 6.46%
COMMUNICATION SERVICES 0.57%
CONSUMER CYCLICAL 14.70%
CONSUMER DEFENSIVE 4.44%
ENERGY 7.15%
FINANCIAL SERVICES 26.15%
HEALTHCARE 5.60%
INDUSTRIALS 20.77%
REAL ESTATE 0.31%
TECHNOLOGY 13.55%
UTILITIES 0.08%
Fund Characteristics as of 12/31/2014Sharpe Ratio (3 Year) 1.64
Average Market Cap ($mm) 1,395.32
Price/Earnings 15.61
Price/Book 1.30
Price/Sales 0.69
Price/Cash Flow 5.63
Dividend Yield 1.10
Number of Equity Holdings 1,238
R-Squared (3 Year) 0.95
Alpha (3 Year) 0.50%
Fund Characteristics as of 02/28/2015Sharpe Ratio (3 Year) 1.44
Average Market Cap ($mm) 1,421.53
Price/Earnings 15.95
Price/Book 1.27
Price/Sales 0.66
Price/Cash Flow 6.60
Dividend Yield 1.26
Number of Equity Holdings 1,219
R-Squared (3 Year) 0.94
Alpha (3 Year) 0.48%
84
Plan City of Los Angeles Deferred Compensation Plan
Strategy Hartford Funds - Hartford SmallCap Growth HLS Fund
Benchmark Russell 2000 Growth
Current Positioning
• Hartford continues to find attractively valued stocks with the characteristics they seek, and are cautiously optimistic about the outlook for the US economyand for equity markets.
• Hartford continues to monitor policy decisions and economic trends which may have an impact on the fund's holdings.• Their disciplined portfolio construction process allows them to assess risk and weight individual positions to help build a portfolio that focuses largely on
stock selection to drive performance.• At the end of the quarter, the Fund was overweight to the financials and materials sectors. Conversely, the Fund was underweight to the health care,
consumer discretionary, and information technology sectors.• The Fund had no exposure to the telecommunication services and utilities sectors.
Quarterly Attribution
Positive Impact on Performance:
• Security selection in the information technology, industrials, and materials sectors• Individual securities that were the largest relative contributors to performance were Anacor Pharmaceuticals and Hyperion Therapeutics
Negative Impact on Performance:
• An underweight allocation to the health care sector• Lack of exposure to the utilities sector• An overweight allocation to the consumer staples sector• Stock selection in the consumer discretionary and energy sectors
Portfolio Characteristics
Number of holdings: 348Median Market Capitalization ($MM): $1,500Weighted Average Market Capitalization ($MM): $2,600Earnings growth: 14.5%Turnover: 106%% Cash: 1.0%
Manager Commentary
85
Hartford Small Cap Growth HLS Fund IA Fund Information
Annualized Returns 2014 2013 2012 2011 2010 2009Hartford Small Cap Growth HLS Fund IA 5.8% 44.9% 17.4% 1.4% 36.6% 35.4%Russell 2000 Growth 5.6% 43.3% 14.6% -2.9% 29.1% 34.5%Universe Median 2.5% 42.6% 13.9% -2.5% 28.0% 35.8%
Annualized Returns Last 3 Mo. 1 Yr 3 Yrs 5 Yrs 10 YrsHartford Small Cap Growth HLS Fund IA 7.1% 13.1% 18.8% 19.6% 10.5%Russell 2000 Growth 6.6% 12.1% 17.7% 16.6% 10.0%Universe Median 6.0% 8.7% 15.5% 15.4% 9.4%
86
Hartford Small Cap Growth HLS Fund IA Fund Information
MPT Statistics represent 5 year periods.
Anlzd Return Anlzd StandardDeviation Tracking Error Anlzd Alpha J Beta Sharpe Ratio Information
RatioUp Mkt Capture
RatioUp Mkt Annual
ReturnDown Mkt
Capture RatioDown Mkt
Annual Return_
Hartford Small Cap Growth HLS Fund IA 19.61% 20.02% 2.47% 2.62% 1.02 0.98 1.22 115.04% 42.41% 95.23% -29.13%
Russell 2000 Growth 16.58% 19.39% 0.00% 0.00% 1.00 0.85 -- 100.00% 38.63% 100.00% -30.66%
87
Sector Allocation as of 09/30/2014BASIC MATERIALS 4.38%
COMMUNICATION SERVICES 0.27%
CONSUMER CYCLICAL 15.89%
CONSUMER DEFENSIVE 5.52%
ENERGY 3.60%
FINANCIAL SERVICES 5.11%
HEALTHCARE 21.26%
INDUSTRIALS 16.54%
REAL ESTATE 3.00%
TECHNOLOGY 24.22%
UTILITIES 0.00%
Portfolio Fund Information as of 09/30/2014Ticker HISCX
Morningstar Category Small Growth
Average Market Cap ($mm) 1,645.79
Net Assets ($mm) 513.28
% Assets in Top 10 Holdings 10.78
Total Number of Holdings 339
Manager Name Mammen Chally
Manager Tenure 6
Expense Ratio 0.67%
Closed to New Investors No
Hartford Small Cap Growth HLS Fund IA Historical - Fund Information
Sector Allocation as of 12/31/2014BASIC MATERIALS 4.03%
COMMUNICATION SERVICES 0.32%
CONSUMER CYCLICAL 16.14%
CONSUMER DEFENSIVE 6.13%
ENERGY 2.39%
FINANCIAL SERVICES 5.63%
HEALTHCARE 20.94%
INDUSTRIALS 16.89%
REAL ESTATE 3.08%
TECHNOLOGY 23.50%
UTILITIES 0.00%
Portfolio Fund Information as of 12/31/2014Ticker HISCX
Morningstar Category Small Growth
Average Market Cap ($mm) 1,816.26
Net Assets ($mm) 556.71
% Assets in Top 10 Holdings 10.33
Total Number of Holdings 360
Manager Name Mammen Chally
Manager Tenure 6
Expense Ratio 0.67%
Closed to New Investors No
Portfolio Fund Information as of 03/31/2015Ticker HISCX
Morningstar Category Small Growth
Average Market Cap ($mm) 2,015.60
Net Assets ($mm) 715.18
% Assets in Top 10 Holdings 9.47
Total Number of Holdings 349
Manager Name Mammen Chally
Manager Tenure 6
Expense Ratio 0.67%
Closed to New Investors No
Sector Allocation as of 03/31/2015BASIC MATERIALS 3.04%
COMMUNICATION SERVICES 0.30%
CONSUMER CYCLICAL 11.87%
CONSUMER DEFENSIVE 4.48%
ENERGY 1.83%
FINANCIAL SERVICES 4.04%
HEALTHCARE 16.81%
INDUSTRIALS 12.80%
REAL ESTATE 2.03%
TECHNOLOGY 17.44%
UTILITIES 0.01%
Fund Characteristics as of 03/31/2015Sharpe Ratio (3 Year) 1.39
Average Market Cap ($mm) 2,015.60
Price/Earnings 21.86
Price/Book 3.37
Price/Sales 1.23
Price/Cash Flow 10.22
Dividend Yield 0.77
Number of Equity Holdings 346
R-Squared (3 Year) 0.99
Alpha (3 Year) -0.11%
Fund Characteristics as of 09/30/2014Sharpe Ratio (3 Year) 1.48
Average Market Cap ($mm) 1,645.79
Price/Earnings 20.36
Price/Book 2.79
Price/Sales 1.16
Price/Cash Flow 8.04
Dividend Yield 0.59
Number of Equity Holdings 330
R-Squared (3 Year) 0.99
Alpha (3 Year) -0.13%
Fund Characteristics as of 12/31/2014Sharpe Ratio (3 Year) 1.47
Average Market Cap ($mm) 1,816.26
Price/Earnings 20.63
Price/Book 3.16
Price/Sales 1.31
Price/Cash Flow 9.17
Dividend Yield 0.53
Number of Equity Holdings 339
R-Squared (3 Year) 0.99
Alpha (3 Year) -0.11%
88
Plan City of Los Angeles Deferred Compensation Plan
Strategy Deutsche Asset & Wealth Management - Deutsche EAFE® Equity Index Fund
Benchmark MSCI EAFE Index
Manager Philosophy and Process
The fund seeks to replicate, as closely as possible, the performance of the MSCI EAFE Index, which emphasizes stocks of companies in major markets in Europe, Australasia and the Far East. The fund invests for capital appreciation, not income. The fund may lend securities up to 33.3% of total assets to approved institutions. The strategy invests typically 80% of the fund in index securities and selects derivative instruments relating to the index.
Quarterly Attribution
Positive Impact on Performance: • Top performing sectors were health care (+9.6%), consumer discretionary (+8.3%), and information technology (+7.1%)• Top performing countries were Denmark (+15.8%), Japan (+10.2%), and Israel (+9.0%)
Negative Impact to Performance: • Bottom performing sectors were energy (-4.8%), utilities (-4.8%), and telecommunications services (+2.4%)• Bottom performing countries were Canada (-6.0%), Singapore (-1.9%), and New Zealand (-1.8%)
Manager Commentary
89
Deutsche EAFE Equity Index Fund Institutional Fund Information
Annualized Returns Last 3 Mo. 1 Yr 3 Yrs 5 Yrs 10 YrsDeutsche EAFE Equity Index Fund Institutional 5.3% -1.4% 8.6% 5.9% 4.8%MSCI EAFE 4.9% -0.9% 9.0% 6.2% 4.9%Universe Median 4.9% -1.3% 8.4% 5.9% 4.8%
Annualized Returns 2014 2013 2012 2011 2010 2009Deutsche EAFE Equity Index Fund Institutional -5.8% 21.6% 18.3% -12.4% 7.7% 29.3%MSCI EAFE -4.9% 22.8% 17.3% -12.1% 7.8% 31.8%Universe Median -5.1% 21.4% 17.5% -12.7% 8.6% 31.4%
90
Anlzd Return Anlzd StandardDeviation Tracking Error Anlzd Alpha J Beta Sharpe Ratio Information
RatioUp Mkt Capture
RatioUp Mkt Annual
ReturnDown Mkt
Capture RatioDown Mkt
Annual Return_
Deutsche EAFE Equity Index Fund Institutional 5.89% 17.73% 1.18% -0.53% 1.04 0.33 -0.23 103.24% 27.82% 104.23% -31.75%
MSCI EAFE 6.16% 16.98% 0.00% 0.00% 1.00 0.36 -- 100.00% 27.16% 100.00% -30.33%
Deutsche EAFE Equity Index Fund Institutional Fund Information
MPT Statistics represent 5 year periods.
91
Portfolio Fund Information as of 09/30/2014Ticker BTAEX
Morningstar Category Foreign Large Blend
Average Market Cap ($mm) 36,562.83
Net Assets ($mm) 264.31
% Assets in Top 10 Holdings 12.71
Total Number of Holdings 908
Manager Name Joseph LaPorta
Manager Tenure 1
Expense Ratio 0.50%
Closed to New Investors No
Sector Allocation as of 12/31/2014BASIC MATERIALS 7.98%
COMMUNICATION SERVICES 5.28%
CONSUMER CYCLICAL 11.44%
CONSUMER DEFENSIVE 10.85%
ENERGY 5.79%
FINANCIAL SERVICES 21.82%
HEALTHCARE 10.91%
INDUSTRIALS 11.22%
REAL ESTATE 3.63%
TECHNOLOGY 5.38%
UTILITIES 3.65%
Deutsche EAFE Equity Index Fund Institutional Historical - Fund Information
Portfolio Fund Information as of 12/31/2014Ticker BTAEX
Morningstar Category Foreign Large Blend
Average Market Cap ($mm) 34,564.64
Net Assets ($mm) 256.55
% Assets in Top 10 Holdings 12.58
Total Number of Holdings 920
Manager Name Joseph LaPorta
Manager Tenure 1
Expense Ratio 0.50%
Closed to New Investors No
Sector Allocation as of 02/28/2015BASIC MATERIALS 8.07%
COMMUNICATION SERVICES 5.25%
CONSUMER CYCLICAL 11.38%
CONSUMER DEFENSIVE 10.95%
ENERGY 5.51%
FINANCIAL SERVICES 21.46%
HEALTHCARE 10.87%
INDUSTRIALS 11.25%
REAL ESTATE 3.62%
TECHNOLOGY 5.36%
UTILITIES 3.38%
Portfolio Fund Information as of 02/28/2015Ticker BTAEX
Morningstar Category Foreign Large Blend
Average Market Cap ($mm) 36,504.36
Net Assets ($mm) 267.24
% Assets in Top 10 Holdings 12.20
Total Number of Holdings 922
Manager Name Joseph LaPorta
Manager Tenure 1
Expense Ratio 0.50%
Closed to New Investors No
Sector Allocation as of 09/30/2014BASIC MATERIALS 7.89%
COMMUNICATION SERVICES 4.97%
CONSUMER CYCLICAL 10.35%
CONSUMER DEFENSIVE 10.43%
ENERGY 6.81%
FINANCIAL SERVICES 21.10%
HEALTHCARE 10.93%
INDUSTRIALS 10.98%
REAL ESTATE 3.35%
TECHNOLOGY 5.15%
UTILITIES 3.57%
Fund Characteristics as of 09/30/2014Sharpe Ratio (3 Year) 1.15
Average Market Cap ($mm) 36,562.83
Price/Earnings 15.08
Price/Book 1.52
Price/Sales 0.98
Price/Cash Flow 6.23
Dividend Yield 2.92
Number of Equity Holdings 890
R-Squared (3 Year) 0.99
Alpha (3 Year) -0.03%
Fund Characteristics as of 12/31/2014Sharpe Ratio (3 Year) 0.84
Average Market Cap ($mm) 34,564.64
Price/Earnings 14.65
Price/Book 1.54
Price/Sales 1.01
Price/Cash Flow 6.36
Dividend Yield 3.11
Number of Equity Holdings 902
R-Squared (3 Year) 0.99
Alpha (3 Year) -0.14%
Fund Characteristics as of 02/28/2015Sharpe Ratio (3 Year) 0.74
Average Market Cap ($mm) 36,504.36
Price/Earnings 16.60
Price/Book 1.58
Price/Sales 1.10
Price/Cash Flow 5.47
Dividend Yield 3.15
Number of Equity Holdings 897
R-Squared (3 Year) 0.99
Alpha (3 Year) -0.12%
92
Top Regions as of 09/30/2014EUROZONE 28.39%
UNITED KINGDOM 20.53%
JAPAN 20.17%
EUROPE EXEURO 14.08%
AUSTRALIASIA 7.37%
Deutsche EAFE Equity Index Fund Institutional Historical - Fund Information
Top Countries as of 09/30/2014United Kingdom 20.53%
Japan 20.17%
France 9.40%
Switzerland 8.90%
Germany 7.90%
Australia 7.24%
Spain 3.48%
Sweden 2.88%
Hong Kong 2.83%
Netherlands 2.60%
Top Regions as of 12/31/2014EUROZONE 29.37%
UNITED KINGDOM 20.77%
JAPAN 20.76%
EUROPE EXEURO 14.38%
AUSTRALIASIA 7.47%
Top Countries as of 12/31/2014United Kingdom 20.77%
Japan 20.76%
Switzerland 9.24%
France 9.19%
Germany 8.65%
Australia 7.32%
Spain 3.42%
Netherlands 3.01%
Sweden 3.01%
Hong Kong 2.97%
Top Regions as of 02/28/2015EUROZONE 28.95%
JAPAN 21.18%
UNITED KINGDOM 20.32%
EUROPE EXEURO 14.19%
AUSTRALIASIA 7.36%
Top Countries as of 02/28/2015Japan 21.18%
United Kingdom 20.32%
France 9.37%
Switzerland 8.95%
Germany 8.55%
Australia 7.21%
Spain 3.25%
Sweden 3.07%
Hong Kong 2.92%
Netherlands 2.61%
93
Plan City of Los Angeles Deferred Compensation Plan
Strategy Fidelity Management & Research Company - FMRCo. (US Mutual Funds Only) - Fidelity Diversified International
Benchmark MSCI EAFE
Current Positioning
• Relative to MSCI EAFE the Fund has underweight exposure to Europe, Japan and Asia Pacific Ex Japan.• The Fund continues to have an out-of-benchmark allocation to the United States, Emerging Markets and Canada.• From a sector perspective the Fund is overweight the information technology, health care, consumer discretionary and consumer staples sectors.• The Fund is underweight the industrials, financials, materials, industrials, energy and telecommunication services sectors.• The Fund has no exposure to the utilities sector.• The ten largest holdings represent approximately 14.6% of the portfolio.• The top five holdings are Novo Nordisk, Anheuser-Busch InBev, ORIX, Bayer and Hoya.
Quarterly Attribution
Positive Impact on Performance:
• An underweight allocation to and security selection in Europe, Asia Pacific Ex Japan• Security selection within the Emerging Markets and Equity Index Futures• An underweight allocation to and security selection within the financials and materials sectors• An overweight allocation to and security selection within the health care sector• No allocation to the utilities sector• Top contributors: Altice SA, Royal Dutch Shell, Novo Nordisk, Rakuten, Inc. and Essentra
Negative Impact on Performance:
• Security selection in Canada and the United States• An underweight allocation to Japan• An underweight allocation to and security selection within the industrials sector• Security selection within the information technology, energy and consumer discretionary sectors• Top detractors: Alibaba, Toyota Motor, Alimentation Couche-Tard, Inc. Class B, Credit Suisse, Melco Crown Entertainment
Manager Commentary
94
Plan City of Los Angeles Deferred Compensation Plan
Strategy Fidelity Management & Research Company - FMRCo. (US Mutual Funds Only) - Fidelity Diversified International
Benchmark MSCI EAFE
Portfolio Characteristics
Number of holdings: 238Median Market Capitalization (billions): $17.0Weighted Average Market Capitalization (billions): $54.8P/E ratio: 22.8xP/B ratio: 2.9xEarnings growth (5 year):12.7%% cash: 4.3%
Responsible Investment ESG Comment
ESG4 - Fidelity analysts routinely consider corporate governance. Environmental and social practices are assessed at the discretion of the analyst, but there is no evidence of regular scrutiny or engagement with management on such practices. Discussions with FMRCo management suggest little awareness of environment and social matters and little interest in pursuing them. Neither Fidelity Invesments nor FMRCo are signatories to the UN Principles on Responsible Investment and discussions with FMRCo management suggest this is a low priority. We believe an ESG4 rating is appropriate (some element of corporate governance but very little thought given to environmental and social issues).
Manager Commentary
95
Fidelity Diversified International Fund Fund Information
Annualized Returns Last 3 Mo. 1 Yr 3 Yrs 5 Yrs 10 YrsFidelity Diversified International Fund 6.4% 3.8% 11.0% 7.7% 5.7%MSCI EAFE 4.9% -0.9% 9.0% 6.2% 4.9%Universe Median 4.9% -1.3% 8.3% 6.4% 5.4%
Annualized Returns 2014 2013 2012 2011 2010 2009Fidelity Diversified International Fund -3.2% 25.2% 19.4% -13.8% 9.7% 31.8%MSCI EAFE -4.9% 22.8% 17.3% -12.1% 7.8% 31.8%Universe Median -5.2% 21.7% 18.7% -13.6% 12.3% 34.7%
96
Fidelity Diversified International Fund Fund Information
MPT Statistics represent 5 year periods.
Anlzd Return Anlzd StandardDeviation Tracking Error Anlzd Alpha J Beta Sharpe Ratio Information
RatioUp Mkt Capture
RatioUp Mkt Annual
ReturnDown Mkt
Capture RatioDown Mkt
Annual Return_
Fidelity Diversified International Fund 7.66% 17.38% 2.76% 1.44% 1.01 0.44 0.54 104.13% 28.00% 93.32% -28.11%
MSCI EAFE 6.16% 16.98% 0.00% 0.00% 1.00 0.36 -- 100.00% 27.16% 100.00% -30.33%
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Sector Allocation as of 09/30/2014BASIC MATERIALS 5.49%
COMMUNICATION SERVICES 4.93%
CONSUMER CYCLICAL 13.35%
CONSUMER DEFENSIVE 12.54%
ENERGY 3.45%
FINANCIAL SERVICES 20.91%
HEALTHCARE 16.60%
INDUSTRIALS 6.79%
REAL ESTATE 0.06%
TECHNOLOGY 10.68%
UTILITIES 0.31%
Portfolio Fund Information as of 09/30/2014Ticker FDIVX
Morningstar Category Foreign Large Growth
Average Market Cap ($mm) 31,020.50
Net Assets ($mm) 14,009.14
% Assets in Top 10 Holdings 14.26
Total Number of Holdings 256
Manager Name William Bower
Manager Tenure 14
Expense Ratio 0.92%
Closed to New Investors No
Sector Allocation as of 12/31/2014BASIC MATERIALS 4.87%
COMMUNICATION SERVICES 4.87%
CONSUMER CYCLICAL 13.16%
CONSUMER DEFENSIVE 12.32%
ENERGY 3.10%
FINANCIAL SERVICES 21.09%
HEALTHCARE 15.55%
INDUSTRIALS 6.64%
REAL ESTATE 0.05%
TECHNOLOGY 12.17%
UTILITIES 0.00%
Portfolio Fund Information as of 12/31/2014Ticker FDIVX
Morningstar Category Foreign Large Growth
Average Market Cap ($mm) 29,702.00
Net Assets ($mm) 13,425.26
% Assets in Top 10 Holdings 13.86
Total Number of Holdings 249
Manager Name William Bower
Manager Tenure 14
Expense Ratio 0.91%
Closed to New Investors No
Fidelity Diversified International Fund Historical - Fund Information
Sector Allocation as of 02/28/2015BASIC MATERIALS 4.41%
COMMUNICATION SERVICES 5.59%
CONSUMER CYCLICAL 13.18%
CONSUMER DEFENSIVE 12.17%
ENERGY 2.54%
FINANCIAL SERVICES 21.30%
HEALTHCARE 15.61%
INDUSTRIALS 6.18%
REAL ESTATE 0.05%
TECHNOLOGY 11.78%
UTILITIES 0.00%
Portfolio Fund Information as of 02/28/2015Ticker FDIVX
Morningstar Category Foreign Large Growth
Average Market Cap ($mm) 30,451.56
Net Assets ($mm) 14,142.80
% Assets in Top 10 Holdings 14.20
Total Number of Holdings 236
Manager Name William Bower
Manager Tenure 14
Expense Ratio 0.91%
Closed to New Investors No
Fund Characteristics as of 09/30/2014Sharpe Ratio (3 Year) 1.34
Average Market Cap ($mm) 31,020.50
Price/Earnings 16.95
Price/Book 2.20
Price/Sales 1.56
Price/Cash Flow 7.34
Dividend Yield 2.63
Number of Equity Holdings 240
R-Squared (3 Year) 0.94
Alpha (3 Year) 0.55%
Fund Characteristics as of 12/31/2014Sharpe Ratio (3 Year) 1.11
Average Market Cap ($mm) 29,702.00
Price/Earnings 16.41
Price/Book 2.39
Price/Sales 1.64
Price/Cash Flow 7.67
Dividend Yield 2.65
Number of Equity Holdings 238
R-Squared (3 Year) 0.94
Alpha (3 Year) 0.68%
Fund Characteristics as of 02/28/2015Sharpe Ratio (3 Year) 1.05
Average Market Cap ($mm) 30,451.56
Price/Earnings 18.86
Price/Book 2.47
Price/Sales 1.80
Price/Cash Flow 7.25
Dividend Yield 2.95
Number of Equity Holdings 226
R-Squared (3 Year) 0.94
Alpha (3 Year) 0.70%
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Fidelity Diversified International Fund Historical - Fund Information
Top Regions as of 09/30/2014EUROZONE 20.50%
UNITED KINGDOM 19.71%
JAPAN 16.67%
EUROPE EXEURO 9.93%
UNITED STATES 9.33%
Top Regions as of 12/31/2014EUROZONE 20.05%
UNITED KINGDOM 19.47%
JAPAN 15.17%
EUROPE EXEURO 9.97%
UNITED STATES 8.83%
Top Countries as of 09/30/2014United Kingdom 19.71%
Japan 16.67%
United States 9.33%
Germany 5.27%
France 4.99%
Switzerland 4.84%
Canada 3.98%
Australia 2.95%
Belgium 2.70%
Denmark 2.65%
Top Countries as of 02/28/2015United Kingdom 19.67%
Japan 15.22%
United States 7.84%
Germany 5.44%
France 4.68%
Switzerland 4.40%
Canada 3.16%
Netherlands 3.10%
Belgium 2.89%
India 2.85%
Top Countries as of 12/31/2014United Kingdom 19.47%
Japan 15.17%
United States 8.83%
Switzerland 5.10%
Germany 5.09%
France 4.33%
Canada 3.69%
Netherlands 3.10%
Belgium 2.69%
Israel 2.54%
Top Regions as of 02/28/2015EUROZONE 21.56%
UNITED KINGDOM 19.67%
JAPAN 15.22%
EUROPE EXEURO 9.00%
UNITED STATES 7.84%
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