milwaukee employes' retirement system - · pdf filemilwaukee employes' retirement...

Period Ending December 31, 2013

Fund Number: 105

Milwaukee Employes' RetirementSystemPublic Fund Universe Analysis

Amy Acevedo

Stamp

PAGE PAGE

Introduction Performance (Cont'd) Annualized US Equity Returns 37-39

Summary US Equity vs. R 3000 Index 40 List of Participants 1-2 Annualized International Equity Returns 41-43 Market Environment 3-18 International Equity vs. MSCI ACW Ex US Index 44 Universe Characteristics 19 Annualized US Fixed Income Returns 45-47

US Fixed Income vs. Barclays US Agg Bond Index 48 Annualized Real Estate Returns 49-51

Style Characteristics Real Estate vs. NCREIF ODCE Index (AWA) 52 External vs. Internal / Active vs. Passive 20 Portfolio Management Statistics 21 Risk/Return Analyses

Total Fund 53-54Asset Allocation US Equity 55-56 Asset Allocation vs. Average Allocation 22 International Equity 57-58 Asset Allocation vs. Average Allocation by Size 23 US Fixed Income 59-60 Equity Allocation vs. Average Allocation 24 Real Estate 61-62 Equity Allocation vs. Average Allocation by Size 25 Alternatives Allocation vs. Average Allocation 26 Actuarial Statistics Alternatives Allocation vs. Average Allocation by Size 27 Net Assets Available for Benefits 63 Equity Style Allocation 28 Actuarial Assumption Rates 64 Fixed Income Style Allocation 29 Real Estate Allocation 30 Administrative and Investment Fees Alternatives Style Allocation 31 Total Fund Fee Allocation vs. Average Allocation 65

Total Fund Fee Summary in Basis Points 66Performance Annualized Total Fund Returns 32-34 Addendum and Glossary 67Total Fund vs. 60% R 3000/40% Barclays US Agg Bond Index 3510 Year Total Fund Beta 36

Table of Contents

Amy Acevedo

Stamp

Alameda County Employees' Retirement Association Arlington County Employees' Retirement SystemBig Spring Firemen's Relief & Retirement Fund California Public Employees' Retirement SystemCalifornia State Teachers' Retirement System Chicago Teachers' Pension FundCity of Fresno Retirement Systems City of Phoenix Employees' Retirement SystemCivilian Employees' Retirement System of the Police Department of KansasCity, Missouri

Colorado Public Employees' Retirement Association

Contra Costa County Employees' Retirement Association County Employees' Annuity & Benefit Fund of Cook CountyDistrict of Columbia Retirement Board Educational Employees' Supplementary Retirement System of Fairfax

CountyEmployees Retirement System of Texas Fire & Police Employees' Retirement System of BaltimoreFire and Police Pension Association of Colorado Florida State Board of AdministrationFort Worth Employees' Retirement Fund Fresno County Employees' Retirement AssociationGeorgia Division of Investment Services Gila River Indian Community Retirement PlanIllinois Municipal Retirement Fund Illinois State Board of InvestmentImperial County Employees' Retirement System Iowa Public Employees' Retirement SystemKansas Public Employees' Retirement System Kentucky Retirement SystemsKentucky Teachers' Retirement System Kern County Employees' Retirement AssociationLos Angeles City Employees' Retirement System Los Angeles County Employees Retirement AssociationLos Angeles Fire and Police Pension System Los Angeles Water & Power Employees Retirement PlanMarin County Employees' Retirement Association Mendocino County Employees' Retirement AssociationMerced County Employees' Retirement Association Metro Water Reclamation District Retirement FundMilwaukee Employes' Retirement System (105) Montana Public Employees' Retirement SystemMontana Teachers' Retirement System Municipal Employees' Annuity and Benefit Fund of ChicagoNavajo Nation Retirement Plan Nevada Public Employees' Retirement SystemNew York State Common Retirement Fund North Carolina Retirement System

Participants

As of December 31, 2013 Fund Number: 105

1

Ohio Public Employees' Retirement System Orange County Employees' Retirement SystemPennsylvania Municipal Retirement System Pennsylvania Public School Employees' Retirement SystemPennsylvania State Employees' Retirement System Police Retirement System of Kansas City, MissouriPublic Employees Retirement Association of New Mexico Public School and Education Employee Retirement Systems of MissouriSacramento County Employees' Retirement System San Bernardino County Employees' Retirement AssociationSan Diego City Employees' Retirement System San Diego County Employees Retirement AssociationSan Joaquin County Employees' Retirement Association San Jose Federated City Employees' Retirement SystemSan Jose Police and Fire Department Retirement Plan San Mateo County Employees' Retirement AssociationSanta Barbara County Employees' Retirement System Sonoma County Employees' Retirement AssociationSouth Dakota Retirement System Stanislaus County Employees' Retirement AssociationState of Michigan Retirement Systems State of New Jersey Pension FundState Retirement and Pension System of Maryland State Universities Retirement System of IllinoisTeachers' Retirement System of Louisiana Teachers' Retirement System of the State of IllinoisTexas Municipal Retirement System Tulare County Employees' Retirement AssociationUtah Retirement Systems Ventura County Employees' Retirement AssociationVirginia Retirement System West Virginia Investment Management BoardWyoming Retirement System

Participants


2

Mth End Oct-2013

Mth End Nov-2013 MTD QTD CYTD 1

Year2

Years3

Years5

Years10

YearsS&P 500 (Cap Wtd) 4.60 3.05 2.53 10.51 32.39 32.39 23.93 16.18 17.94 7.41R 2000 2.51 4.01 1.97 8.72 38.82 38.82 27.09 15.67 20.08 9.07MSCI EAFE (Net) 3.36 0.77 1.50 5.71 22.78 22.78 20.02 8.17 12.44 6.91MSCI EAFE SC (Net) 3.04 0.43 2.34 5.91 29.30 29.30 24.57 9.26 18.50 9.53MSCI EM (Net) 4.86 -1.46 -1.45 1.83 -2.60 -2.60 7.31 -2.06 14.79 11.17Barclays US Agg Bond 0.81 -0.37 -0.57 -0.14 -2.02 -2.02 1.05 3.26 4.44 4.55BofA ML 3 Mo US T-Bill 0.00 0.01 0.01 0.02 0.07 0.07 0.09 0.10 0.12 1.68NCREIF ODCE (Gross) N/A N/A N/A 3.17 13.94 13.94 12.43 13.60 3.68 7.16 20 YrWilshire US REIT 4.06 -5.27 0.61 -0.83 1.86 1.86 9.44 9.37 16.69 8.38HFN FOF Multi-Strat 1.37 1.19 1.14 3.74 9.10 9.10 6.93 2.60 4.42 3.12DJ-UBS Cmdty (TR) -1.48 -0.80 1.24 -1.05 -9.52 -9.52 -5.38 -8.11 1.51 0.87

Treasury data courtesy of the U.S. Department of the Treasury.

30 Yr1 Yr 3 Yr 5 Yr 7 Yr 10 Yr

Trailing-Period Performance

Capital Markets ReviewAs of December 31, 2013

In spite of a sixteen-day federal shutdown in early October and the accompanying fiscal uncertainty, stock markets and the greater U.S. economy improved during Q4 after Congress reached agreement on appropriations and postponed the debt ceiling until February 2014. The headline unemployment rate decreased from 7.2% to 6.7% during the quarter, a positive sign tempered by a persistently low participation rate that suggests the job market has yet to fully recover. Additionally, final GDP figures for Q3 were revised upward from an initial reading of 2.8% to 4.1%, in part due to stronger consumer spending and increased private inventory growth. In light of positive economic news, the Federal Reserve decided to modestly reduce its quantitative easing (QE) purchases from $85 to $75 billion per month, to begin in January 2014. Domestic equity markets delivered relatively higher returns on the quarter, while international markets also posted gains. Yields continued to increase, as the Fed’s stated intent to taper QE purchases had investors looking to exit the bond markets before bond purchases are wound down; the steepening yield curve suggests the market has already priced in the substantial rate increases expected in 2014. Internationally, the majority of top-performing developed market sectors were cyclical in nature, indicating continued improvement in global investor confidence. The European Central Bank announced its “Single Resolution Mechanism” policy, which will ensure consistent supervision among Eurozone members and provide guidelines for dissolving failed banks. In Japan, stocks delivered positive returns, but concerns surrounding the efficacy of Shinzo Abe’s economic policies slowed the Nikkei’s gains. Meanwhile, Europe experienced limited growth, as its economy remains stunted by pervasive unemployment.

Domestic Equities• U.S. equity markets exhibited strong performance for the fourth quarter. The S&P 500 returned 10.51% on the quarter and 32.39% for the year ended 2013, its highest annual return since 1997.• Growth again outperformed value stocks, as the Russell 3000 Growth returned 10.25%, while the Russell 3000 Value earned 9.95% for the quarter. • Large cap outperformed small cap stocks for the first time in four quarters, with the Russell 1000 returning 10.23% and the Russell 2000 returning 8.72%.• All sectors recorded gains for the quarter, though defensive sectors such as telecom services and utilities trailed, with returns of 5.47% and 2.79%, respectively.

International Equities• International markets were positive for the quarter, though developed and emerging markets trailed domestic markets for both the quarter and calendar year.• Developed markets outperformed emerging markets for the fifth quarter in a row, with the MSCI EAFE returning 5.71% and the MSCI Emerging Markets returning 1.83%.Fixed Income• Fixed income markets ended the year on a subdued note, with the Barclays US Aggregate Bond Index returning -0.14% on the quarter and -2.02% for the year.• Investor demand for higher-yielding sectors made it difficult for investment grade credit to keep up with high yield bonds and bank loans, though all posted gains.

Fourth Quarter Economic Environment QTD

Treasury Yield Curve

0.00

1.00

2.00

3.00

4.00

5.00

Yie

ld T

o M

atur

ity (%

)Years To Maturity

31-Dec-13

30-Sep-13

31-Dec-12

31-Dec-10

31-Dec-08

10.51

8.72

5.71 5.91

1.83

-0.14

0.02

3.17

-0.83

3.74

-1.05-2.00

0.00

2.00

4.00

6.00

8.00

10.00

12.00

S&P

500

(Cap

Wtd

)

R 2

000

MSC

I EA

FE (N

et)

MSC

I EA

FE S

C (N

et)

MSC

I EM

(Net

)

Bar

clay

s US

Agg

Bon

d

Bof

A M

L 3

Mo

US

T-B

ill

NC

REI

F O

DC

E (G

ross

)

Wils

hire

US

REI

T

HFN

FO

F M

ulti-

Stra

t

DJ-

UB

S C

mdt

y (T

R)

Ret

urn

(%)

3

Economic Measures 1

As of December 31, 2013

12/31/2013 9/30/2013 20 Year 40 YearCapacity Utilization 79.20 ▲ 78.30 78.90 79.80 Unemployment Rate 6.70% ▼ 7.20% 6.00% 6.50% Shiller 20 City YoY - Housing N/A 13.25% 3.51% N/A PMI - Manufacturing 57.00 ▲ 56.20 52.10 51.80 Baltic Dry Index - Shipping 2,277 ▲ 2,003 2,420 2,047Real GDP YoY N/A 2.00% 2.60% 2.70%Consumer Confidence (Conf. Bd.) 78.10 ▼ 80.20 93.56 90.92Breakeven Inflation - 10 Year 2.23 ▲ 2.19 N/A N/ACPI YoY (Headline)4 1.50% ▲ 1.20% 2.40% 4.30%CPI YoY (Core)4 1.70% ─ 1.70% 2.20% 4.20%PPI YoY 1.20% ▲ 0.30% 2.30% 3.80%M2 YoY 5.30% ▼ 6.30% 6.00% 6.60%Personal Savings N/A 5.10% 5.00% 7.30%Disposable Personal Income N/A 0.50% 0.40% 0.50%Prsnl Consumption Expenditures N/A 0.90% 1.90% 3.70%US Dollar Total Weighted Index 76.44 ▲ 75.37 86.75 94.61WTI Crude Oil per Barrel $98 ▼ $102 $50 $40Gold Spot per Oz5 $1,206 ▼ $1,329 $328 $3391 All data courtesy of Bloomberg Professional Service, except as noted below.2 Data prior to 1952 is from "The Statistical History of the United States, From Colonial Times to the Present", by Ben Wattenberg, Morgan Stanley Research.3 "N/A" is shown for data that is not yet available. 4 CPI figures are cyclically adjusted. 5 20- and 40-year average Gold spot prices are adjusted for inflation.

US Credit Market Debt as a Percentage of GDP as of September 30, 2013²

Capacity Utilization Unemployment Rate

Real GDP YoY ChangeConsumer Confidence

7072747678808284868890

3/70

3/73

3/76

3/79

3/82

3/85

3/88

3/91

3/94

3/97

3/00

3/03

3/06

3/09

3/12

+/- 1StDev Capacity Avg

0%

50%

100%

150%

200%

250%

300%

350%

400%

3/20

3/25

3/30

3/35

3/40

3/45

3/50

3/55

3/60

3/65

3/70

3/75

3/80

3/85

3/90

3/95

3/00

3/05

3/10

Foreign Government Financials Business Household

-

2

4

6

8

10

12

14

3233343536373839404142

3/70

3/73

3/76

3/79

3/82

3/85

3/88

3/91

3/94

3/97

3/00

3/03

3/06

3/09

3/12

+/- 1StDev Labor Force Non-Participation Rate Unemployment U Avg

20406080

100120140160

2/70

2/73

2/76

2/79

2/82

2/85

2/88

2/91

2/94

2/97

2/00

2/03

2/06

2/09

2/12

+/- 1 StDev Consumer Confidence Avg

-5

0

5

10

3/70

3/73

3/76

3/79

3/82

3/85

3/88

3/91

3/94

3/97

3/00

3/03

3/06

3/09

3/12

+/- 1StDev GDP YoY Avg

4

Valuation Metrics 1


1 All data courtesy of Bloomberg Professional Service.2 Source: Bloomberg and Robert J. Shiller, Irrational Exuberance, Second Edition. P/E for the S&P 500 Index is based on 10-year trailing real earnings. Small Cap is represented by the S&P 600 Small Cap Index, and Emerging is represented by the MSCI Emerging Markets Index. Due to limited history, only the current 10-year P/E is shown for Small Cap and Emerging.3 US REITs is represented by the MSCI US REITs Index and Global REITs is represented by the MSCI World Real Estate Index.

Cyclically Adjusted P/E Ratios² REITs Price to Cash Flows3

Historical OAS (Monthly)Historical Treasury Yields (Quarterly)²

0

2

4

6

8

10

12

14

16

1/00

1/06

1/12

1/18

1/24

1/30

1/36

1/42

1/48

1/54

1/60

1/66

1/72

1/78

1/84

1/90

1/96

1/02

1/08

+/- 1 StDevUS 10-Yr RatesMedian

0

1

2

3

4

5

6

7

8

9

10

0

2

4

6

8

10

12

14

16

18

20

1/91

1/92

1/93

1/94

1/95

1/96

1/97

1/98

1/99

1/00

1/01

1/02

1/03

1/04

1/05

1/06

1/07

1/08

1/09

1/10

1/11

1/12

1/13

Barclays US Corp: Hi Yield +/- 1 StDevBarclays US Agg Credit +/- 1 StDevBarclays US Corp: Hi YieldBarclays US Corp: Hi Yield MedianBarclays US Agg BondBarclays US Agg Bond MedianBarclays US Agg CreditBarclays US Agg Credit Median

15

0

10

20

30

40

50

0

2

4

6

8

10

12

14

16

1/00

1/06

1/12

1/18

1/24

1/30

1/36

1/42

1/48

1/54

1/60

1/66

1/72

1/78

1/84

1/90

1/96

1/02

1/08

Shiller +/- 1 StDev US 10-Yr Rates

Shiller P/E10 Shiller Median

Small Cap (Current) Emerging (Current)

4

8

12

16

20

24

28

32

36

1/95

1/96

1/97

1/98

1/99

1/00

1/01

1/02

1/03

1/04

1/05

1/06

1/07

1/08

1/09

1/10

1/11

1/12

1/13

Global +/- 1 StDevGlobal REITsGlobal REITs MedianUS REITsUS REITs Median

5

Risk Metrics 1


1 All data courtesy of Bloomberg Professional Service.2 Common inception of November 2004 is based on historical data availability. Specific inception dates are as follows: 2- and 20-year (2004), 5-year (2002), 10- and 30-year (1998).

Historical Volatility - S&P 500 Index

Breakeven Inflation - Common Inception (November 2004)2 Momentum Indicator - S&P 500 Relative Strength Index

Fear Metrics

0

5

10

15

20

25

30

35

40

0

10

20

30

40

50

60

70

1/90

1/91

1/92

1/93

1/94

1/95

1/96

1/97

1/98

1/99

1/00

1/01

1/02

1/03

1/04

1/05

1/06

1/07

1/08

1/09

1/10

1/11

1/12

1/13

VIX Index

VIX Median

Ba to B Index

Ba to B Median

0

5

10

15

20

25

30

35

1/90

1/91

1/92

1/93

1/94

1/95

1/96

1/97

1/98

1/99

1/00

1/01

1/02

1/03

1/04

1/05

1/06

1/07

1/08

1/09

1/10

1/11

1/12

1/13

S&P 500 - 12M Median

0

10

20

30

40

50

60

70

80

90

100

1/90

1/91

1/92

1/93

1/94

1/95

1/96

1/97

1/98

1/99

1/00

1/01

1/02

1/03

1/04

1/05

1/06

1/07

1/08

1/09

1/10

1/11

1/12

1/13

Normal Range S&P 500 RSI Midpoint

2 Yr 5 Yr 10 Yr 20 Yr 30 Yr0.0%

0.5%

1.0%

1.5%

2.0%

2.5%

3.0%December 31, 2013

Avg (Since Nov. 2004)

Avg (Maturity Specific)

6

Historical Performance and Interest Rate Scenarios1


1 Data courtesy of Bloomberg, Federal Reserve Economic Data, and RVK Calculations.2 Interest rate scenarios are hypothetical and shown for illustrative purposes. Barclays US Agg Bond Index data as of December 31, 2013 used in each scenario assumes an interest rate change on day 1 that remains constant over the time periods.

Rising Interest Rates and Compound Returns: Barclays US Agg Bond Index2

Top 5 Highest and Lowest Calendar Year Returns (1976 - Present)

19951982 1997

1985

1980

1995

2013

1991

1985

1976

2008

1994

2002

2013

2001

1999

2000

1978

1977

1979

-50.00

-40.00

-30.00

-20.00

-10.00

0.00

10.00

20.00

30.00

40.00

50.00

-50.00

-40.00

-30.00

-20.00

-10.00

0.00

10.00

20.00

30.00

40.00

50.00

Ret

urn

(%)

S&P 500 Index Barclays US Agg Bond Index

2.49 2.49 2.49

-2.25

2.312.90

-7.10

2.06

3.27

-8.00

-6.00

-4.00

-2.00

0.00

2.00

4.00

1-Year 5-Years 10-Years

Ret

urn

(%)

Scenario 1: No Change

Scenario 2: 1% Rise

Scenario 3: 2% Rise

As of December 31, 2013: Duration: 5.55YTM: 2.49

1st 2nd 3rd 4th 5th

7

1999 2000 2001 2002 2003 2004 2005 2006 2007 2008 2009 2010 2011 2012 2013

Best66.42 31.84 12.35 25.91 62.14 33.16 34.54 35.97 39.78 8.44 79.02 28.60 22.49 20.42 38.82

27.31 31.04 8.44 16.56 56.28 31.27 26.65 32.59 16.23 5.24 58.21 26.86 15.99 18.64 32.39

24.69 16.16 7.89 14.81 47.25 25.95 21.39 26.86 15.97 2.06 47.32 22.40 13.56 17.90 29.69

24.34 14.28 7.28 10.25 39.17 20.70 21.36 19.67 11.63 -2.35 32.46 19.20 9.24 17.59 23.29

21.26 13.15 6.61 5.54 36.18 18.33 14.02 18.37 11.63 -10.01 28.60 16.83 7.84 16.34 13.94

21.04 12.40 5.64 3.58 28.97 13.06 13.82 16.32 9.91 -20.47 27.18 16.36 4.98 16.00 9.10

20.19 11.63 5.28 3.12 28.68 11.13 6.75 15.79 6.97 -26.16 26.46 15.12 2.11 15.81 7.44

13.17 6.18 4.42 1.78 23.93 10.88 5.33 11.85 6.60 -33.79 18.91 15.06 0.10 10.94 1.86

4.85 -3.02 2.49 -1.41 11.93 9.15 4.91 9.85 5.49 -35.65 11.41 10.16 -4.18 8.82 0.07

2.40 -5.86 -2.37 -6.00 9.28 8.56 4.55 4.85 5.00 -37.00 9.72 8.21 -5.55 6.98 -2.02

2.39 -7.22 -11.89 -7.44 8.39 8.46 3.07 4.33 1.87 -39.20 5.93 6.54 -11.73 4.80 -2.27

-0.82 -9.10 -12.11 -15.66 5.87 6.79 2.84 2.71 1.79 -43.06 1.92 6.31 -13.32 4.21 -8.61

-2.58 -13.96 -19.51 -20.48 4.10 4.34 2.74 2.07 -1.57 -46.78 0.21 4.77 -15.66 0.11 -8.83

Worst-7.65 -30.61 -21.21 -22.10 1.15 1.33 2.43 0.41 -17.55 -53.18 -29.76 0.13 -18.17 -1.06 -9.52

S&P 500 -US Large

Cap

R 2000 - USSmall Cap

MSCIEAFE

(Gross) -Int'l Dev.

MSCIEAFE SC(Gross) -Int'l SC

MSCI EM(Gross) -Int'l Emg

Mkts

BarclaysUS Agg

Bond - FI

BarclaysUS Corp:Hi Yield -

FI

BarclaysUS Trsy:US TIPS -

FI

BarclaysUS

Gov/Credit:Lng - FI

NCREIFODCE

(Gross) -Real Estate

Wilshire USREIT -REITs

HFN FOFMulti-Strat(Net) - ARS

DJ-UBSCmdty (TR)- Commod.

BofA ML 3Mo T-Bill -Cash Equiv

Annual Asset Class PerformanceAs of December 31, 2013

8

QTD 1 Year

5 Years Risk and Return - 10 Years

Domestic Equity Market Performance and RiskAs of December 31, 2013

Calculation is based on monthly periodicity.

9

S&P 500 Sector Weights S&P 500 Sector Returns - QTD S&P 500 Sector Returns - 1 Year

S&P 500 Sector Returns - 3 Years S&P 500 Sector Returns - 5 Years

Allocation(%)

Information Technology 18.63Financials 16.18Health Care 12.95Consumer Discretionary 12.54Industrials 10.94Energy 10.28Consumer Staples 9.76Materials 3.50Utilities 2.92Telecommunication Services 2.30

Domestic Equity Sector Weights and ReturnsAs of December 31, 2013

Allocations shown may not sum up to 100% exactly due to rounding. Allocations provided by Standard & Poor's.

10

QTD 1 Year


International Equity Market Performance and RiskAs of December 31, 2013

Calculation is based on monthly periodicity. All returns are shown net of foreign taxes on dividends.

11

MSCI ACW Ex US Region Weights MSCI ACW Ex US Region Returns - QTD MSCI ACW Ex US Region Returns - 1 Year

MSCI ACW Ex US Region Returns - 3 Years MSCI ACW Ex US Region Returns - 5 Years

Allocation(%)

Europe Ex UK 32.35Emerging Markets 20.67United Kingdom 15.85Japan 15.10Pacific ex Japan 8.57North America 7.13Middle East 0.32

International Equity Region Weights and ReturnsAs of December 31, 2013

Allocations shown may not sum up to 100% exactly due to rounding. Allocations provided by MSCI Barra.All returns are shown net of foreign taxes on dividends.

12

MSCI ACW Ex US Sector Weights MSCI ACW Ex US Sector Returns - QTD MSCI ACW Ex US Sector Returns - 1 Year

MSCI ACW Ex US Sector Returns - 3 Years MSCI ACW Ex US Sector Returns - 5 Years

Allocation(%)

Financials 26.75Industrials 11.18Consumer Discretionary 10.83Consumer Staples 9.92Energy 9.07Materials 8.60Health Care 7.84Information Technology 6.66Telecommunication Services 5.83Utilities 3.32

International Equity Sector Weights and ReturnsAs of December 31, 2013

Allocations shown may not sum up to 100% exactly due to rounding. Allocations provided by MSCI Barra.All returns are shown net of foreign taxes on dividends.

13

Excess Return vs. Local Currency Index - Rolling 1-Year Periods Excess Return vs. Local Currency Index - Rolling 1-Year Periods

Calendar Year Returns Comparison

Effect of Currency on International Equity PerformanceAs of December 31, 2013

Calculation is based on monthly periodicity. All returns are shown gross of foreign taxes on dividends.

14

QTD 1 Year


Fixed Income Market Performance and RiskAs of December 31, 2013

Calculation is based on monthly periodicity.

15

Barclays US Agg Bond Sector Weights Barclays US Agg Bond Sector Returns - QTD Barclays US Agg Bond Sector Returns - 1 Year

Barclays US Agg Bond Sector Returns - 3 Years Barclays US Agg Bond Sector Returns - 5 Years

Allocation(%)

Treasury Intermediate 31.85MBS - Fixed Rate 29.11Corporate Intermediate 16.28Agencies 9.98Corporate Long 6.05Treasury Long 3.85CMBS 1.73MBS - Adjustable Rate 0.68ABS 0.46

Domestic Fixed Income Sector Weights and ReturnsAs of December 31, 2013

Allocations shown may not sum up to 100% exactly due to rounding. Allocations provided by Barclays Indices.

16

QTD 1 Year

Risk and Return - 10 Years5 Years

Real Estate Market Performance and RiskAs of December 31, 2013

Calculation is based on quarterly periodicity. All data shown represent NCREIF indices unless otherwise noted.Region and sector data represent the Property Index.

17

QTD 1 Year


Hedge Fund Market Performance and RiskAs of December 31, 2013

Calculation is based on monthly periodicity. All data shown represent HFN indices, net of fees.Values are preliminary and subject to change.

18

0

5

10

15

20

25

<$500mm $500mm-$1B

$1B-$5B $5B-$10B $10B-$20B >$20B

Asset Size

4 4

24

11

14

22

0

10

20

30

40

50

Midwest Northeast South West

Geographical Distribution

17

8

14

40

Universe: 79 funds

0

10

20

30

40

50

60

PERS Police/Fire Teachers/School Other

Fund Classification

57

68 8

0

10

20

30

40

50

Local Gov Special District State Gov

Fund Type

40

4

35

Universe Characteristics


19

External Average: 89.19%

0%

20%

40%

60%

80%

100%

410 13 15 17 18 19 29 36 37 38 42 49 52 57 60 61 62 64 65 69 71 72 73 75 79 80 83 86 90 91 94 95 96 99 10

110

31

05

116

117

118

119

120

121

129

133

163

168

196

198

202

208

209

240

262

271

187 85 55 126 1

165

20 31 282

191

180 32 44 172

157 26 27 41 45 296 8

312

External Management

Active Average: 76.73%

0%

20%

40%

60%

80%

100%

79 95 118

271

296

191

129

116

198 49 80 103 41 196

187 62 29 163 17 72 65 64 75 31 262 4

94 16 968

180

133

202 57 15 119 10 44 73 90 36

10

528

215

7 851

312 71 13 26 208

168 42 91 69 126 19 209 32 61 205

55 120

117 38 101 45 86 99 172

121 52 37 240 60 27 83 18

Active Management

Milwaukee ERS

Portfolio ManagementPercentage Externally Managed & Percentage Actively Managed


20

PercentageActively Managed

PercentagePassively Managed

PercentageExternally Managed

PercentageInternally ManagedAsset Range

Over $20B 73.98% 26.02% 72.92% 27.08%

$10B-$20B 74.08% 25.92% 88.98% 11.02%

$5B-$10B 75.55% 24.45% 93.81% 6.19%

$1B-$5B 77.55% 22.45% 98.54% 1.46%

$500mm-$1B 81.67% 18.33% 99.66% 0.34%

Under $500mm 94.55% 5.45% 100.00% 0.00%

Milwaukee ERS 78.78% 21.22% 100.00% 0.00%

Public FundUniverse

Milwaukee ERS Milwaukee ERSPublic Fund

UniversePercentage of Portfolio

Active Management External Management

90% to 100% 14 0 60 1

50% to 89% 62 1 11 0

10% to 49% 3 0 7 0

Less than 10% 0 0 1 0

1 7979 1Total Funds Reporting

Portfolio Management Statistics


21

Milwaukee ERS

US Eq. 32.87%

Cash 0.44%

Real Estate 7.16%

Alternatives 1.36%

Global Fixed 4.61%

US Fixed 20.61%

Global Eq. 10.33%

Int'l Eq. 22.62%

All Funds

US Eq. 29.33%

Int'l Eq. 16.56%

Emerging 3.27%

Other 3.25%

Cash 2.19%

Real Estate 7.14%

Alternatives 12.25%

Global Fixed 1.62%

Int'l Fixed 1.25%

US Fixed 19.93%

Global Eq. 3.19%

0.00%

5.00%

10.00%

-5.00 %

-10.00 %

-15.00 %US Eq. Int'l Eq. Emerging Global Eq. US Fixed Int'l Fixed Global Fixed Alternatives Real Estate Cash Other

Variance

3.57%6.08%

-3.27 %

7.14%

0.70%

-1.25 %

2.99%

-10.88 %

0.03%

-1.75 % -3.25 %

Asset AllocationMilwaukee ERS vs. Average of All Funds


Allocations shown may not sum up to 100% exactly due to rounding.

22

Milwaukee ERS

US Eq. 32.87%

Cash 0.44%

Real Estate 7.16%

Alternatives 1.36%

Global Fixed 4.61%

US Fixed 20.61%

Global Eq. 10.33%

Int'l Eq. 22.62%

$1-$5 Billion

US Eq. 30.90%

Int'l Eq. 15.50%Emerging 3.02%

Other 4.94%

Cash 1.29%

Real Estate 7.13%

Alternatives 10.86%

Global Fixed 2.46%

Int'l Fixed 1.30%

US Fixed 18.89%

Global Eq. 3.69%

0.00%

5.00%

10.00%

-5.00 %

-10.00 %

-15.00 %US Eq. Int'l Eq. Emerging Global Eq. US Fixed Int'l Fixed Global Fixed Alternatives Real Estate Cash Other

Variance

1.99%

7.13%

-3.02 %

6.64%

1.73%

-1.30 %

2.15%

-9.49 %

0.03%

-0.85 %

-4.94 %

Asset AllocationMilwaukee ERS vs. Average of Similar Size Funds



23

Milwaukee ERS

Large Value 6.34%

Large Core 21.86%

Large Growth 6.37%

S/Mid Value 7.27%S/Mid Core 4.76%S/Mid Growth 3.33%

Global Eq. 15.69%

Int'l Eq. 34.37%

All Funds

Large Value 7.88%

Large Core 28.39%

Large Growth 6.30%S/Mid Value 4.74%

Global Eq. 6.77%

Emerging 7.38%

Int'l Eq. 31.46%

S/Mid Growth 4.21%

S/Mid Core 2.85%

0.00%

5.00%

10.00%

-5.00 %

-10.00 %

-15.00 %Large Value Large Core Large Growth S/Mid Value S/Mid Core S/Mid Growth Int'l Eq. Emerging Global Eq.

Variance

-1.54 %

-6.51 %

0.07%2.53% 1.91%

-0.88 %

2.93%

-7.38 %

8.92%

Equity Style AllocationMilwaukee ERS vs. Average of All Funds



24

Milwaukee ERS

Large Value 6.34%

Large Core 21.86%

Large Growth 6.37%

S/Mid Value 7.27%S/Mid Core 4.76%S/Mid Growth 3.33%

Global Eq. 15.69%

Int'l Eq. 34.37%

$1-$5 Billion

Large Value 8.85%

Large Core 26.54%

Large Growth 7.04%S/Mid Value 6.95%

Global Eq. 7.19%

Emerging 6.33%

Int'l Eq. 29.96%

S/Mid Growth 5.51%

S/Mid Core 1.64%

0.00%

5.00%

10.00%

-5.00 %

-10.00 %Large Value Large Core Large Growth S/Mid Value S/Mid Core S/Mid Growth Int'l Eq. Emerging Global Eq.

Variance

-2.50 %-4.66 %

-0.66 %

0.33%3.12%

-2.18 %

4.44%

-6.32 %

8.51%

Equity Style AllocationMilwaukee ERS vs. Average of Similar Size Funds



25

Milwaukee ERS

Venture 32.00%

Buyout 68.00%

All Funds

Hedge Funds 27.00%

Distressed 5.33%

Other Alts 12.34%

Natural Res. 5.56%

Other P.E. 20.99%

Venture 6.24%

Buyout 22.53%

0.00%15.00%30.00%45.00%60.00%

-15.00 %-30.00 %-45.00 %

Hedge Funds Distressed Buyout Venture Other P.E. Natural Res. Other Alts

Variance

-26.98 %

-5.33 %

45.48%

25.76%

-20.98 %-5.56 %

-12.33 %

Alternatives Style AllocationMilwaukee ERS vs. Average of All Funds



26

Milwaukee ERS

Venture 32.00%

Buyout 68.00%

$1-$5 Billion

Hedge Funds 27.08%

Distressed 3.17%

Buyout 13.47%

Venture 4.45%

Other Alts 13.41%

Natural Res. 8.09%

Other P.E. 30.33%

0.00%

20.00%

40.00%

60.00%

-20.00 %

-40.00 %

-60.00 %Hedge Funds Distressed Buyout Venture Other P.E. Natural Res. Other Alts

Variance

-27.07 %

-3.17 %

54.54%

27.55%

-30.31 %

-8.09 % -13.40 %

Alternatives Style AllocationMilwaukee ERS vs. Average of Similar Size Funds



27

US Equity International Equity Emerging Markets Global Equity

0.00%

5.00%

10.00%

15.00%

20.00%

25.00%

30.00%

35.00%

40.00%

45.00%

50.00%

55.00%

60.00%

65.00%

70.00%

75.00%

312

262

117 17 69 57

10

5 85 208 37 44 49 120 18 96 15 38 198

172

202

168 73 26 121

103 52 42 126 555

32 20 271 80 41 45 27 64 60 86 94 83 187

209 13 19 75 95 196

118

119 62 99 133 72 240 8

296

163

282 1

191 29 180

157 36 61 65 16 71 91 104

79 116

101 90 31 129

79 of 79 funds invest in Equity

Universe Median: 53.96%

Equity Style Allocation


28

US Fixed Income Int'l Fixed Income Global Fixed Income

0.00%

5.00%

10.00%

15.00%

20.00%

25.00%

30.00%

35.00%

40.00%

45.00%

50.00%

240 36 79 282 99 18 10 262 83 119

163 57 72 96 65 312 49 55 118 80 101 41 85 94 168

10

5 15 95 133

209

202

121 27 38 126 26 521

62 271 86 180 37 120 20 615

129

196

103

198

172 13 44 42 187 318

191 71 73 69 64 29 60 116 75 208 164

32 17 45 19 90 117

296

157 91

79 of 79 funds invest in Fixed Income


Fixed Income Style Allocation


29


0.00%

2.00%

4.00%

6.00%

8.00%

10.00%

12.00%

14.00%

16.00%

117

296 31 32 116 29 118

196 614

96 64 208

191

129

180

133

121 86 13 715

20 16 69 157 45 38 103 49 75 42 209

187 65 36 282 79 172

10

5 26 52 55 62 90 95 41 27 94 15 17 37 101 10 73 91 72 99 120

163 19 18 808

44 83 601

240 85 119

126

202

271 57 168

76 of 79 funds invest in Real Estate

Real Estate Allocation


30

Hedge Funds Distressed Debt Buyout Venture Capital

Other Private Equity Natural Res. Other Alternative

0.00%

5.00%

10.00%

15.00%

20.00%

25.00%

30.00%

35.00%

40.00%

45.00%

91 31 4 16 101 90 129

116 1

157 79 10 8 62 71 13 72 95 163

180

187

133 29 99 296 45 126 61 119 75 209

282 32 36 86 83 5 20 27 19 41 17 94 172 73 196 65 26 120 80 42 191

198

103 55 118 37 208

121 69 64 38 15 60 202 85 44 18 168 52

10

5

71 of 79 funds invest in Alternatives


Alternatives Style Allocation


31

Universe Median: 16.11% 60% R 3000/40% Barclays US Agg Bond Index: 18.19%

0.00%

2.00%

4.00%

6.00%

8.00%

10.00%

12.00%

14.00%

16.00%

18.00%

20.00%

22.00%

24.00%

296

262 69 17 85 103 64 57 49 44

10

511

731

2 52 32 120

168 13 187 18 205

208

198 73 202 38 121 37 172 62 42 96 126 75 45 118

157 15 80 133 27 29 19 271 94 209 86 16 55 26 101 8

79 414

180

191

196 95 36 60 65 721

83 119

282

116

163 10 71 99 240 61 90 31 91 129

79 of 79 funds provided Total Fund returns for this time period

With a return of 19.64%, Fund 105 received a percentile rank of 13

1 Year Annualized Total Fund Returns


Funds with less history than the specified time period will not appear in the chart.

32


0.00%

2.00%

4.00%

6.00%

8.00%

10.00%

12.00%

14.00%

16.00%

296 57 17 52 262 85 96 198

10

511

8 49 38 121 37 95 80 44 55 64 65 79 69 172

208

120

187

271 5

20 19 126 73 129

133 60 15 103

180 42 117 41 29 202

312 75 99 26 18 62 209

119 10 191 8

36 83 116 941

16 157 27 32 86 45 13 72 282

163 90 71 196 4

31 101 61 91 240






33


0.00%

1.00%

2.00%

3.00%

4.00%

5.00%

6.00%

7.00%

8.00%

9.00%

10.00%

296 4

85 118 80 271

187 38 17 37 121 26 86 120 36 69 129 42 29 52 172 55 65 57 16 198 27 96 191 32 19 117

180 31

10

5 64 71 157

208

240 458

95 185

20 262 41 312 75 282 44 13 94 62 116 73 90 72 103 1

99 119

101

133 60 10 126 83 15 163

209 91 196 61






34

Milwaukee ERS

60% R 3000/40% Barclays US Agg Bond Index

0.00%

5.00%

10.00%

15.00%

20.00%

25.00%

-5.00%2009 2010 2011 2012 2013

Calendar Year Rates of Return

19.48%

13.25%

4.07%

11.55%

18.19%

23.59%

14.15%

-1.12%

14.21%

19.64%

Milwaukee ERS: $191

60% R 3000/40% Barclays US Agg Bond Index: $186

$90

$105

$120

$135

$150

$165

$180

$195

Dec

-08

Mar

-09

Jun-

09

Sep-

09

Dec

-09

Mar

-10

Jun-

10

Sep-

10

Dec

-10

Mar

-11

Jun-

11

Sep-

11

Dec

-11

Mar

-12

Jun-

12

Sep-

12

Dec

-12

Mar

-13

Jun-

13

Sep-

13

Dec

-13

Cumulative Performance (Growth of $100)

5 Years

13.77%13.17%

0.60%

3 Years

11.12%10.55%

-0.57%

1 Year

18.19%19.64%

1.45%

Annualized Returns:

60% R 3000/40% Barclays US Agg Bond IndexMilwaukee ERS

Variance

Total Return - Total FundMilwaukee ERS vs. 60% R 3000/40% Barclays US Agg Bond Index


35

Universe Median: 0.63

0.00

0.10

0.20

0.30

0.40

0.50

0.60

0.70

0.80

171

05 52 64 57 96 60 126

296 73 208

262 37 121 15 117 69 38 99 55 119 65 75 94 120

180 85 187

133

118

172

198 10 271 80 129 42 19 32 83 41 26 61 44 103

196 5 20 191

163

116 29 72 18 90 95 209

312 86 13 91 62 1 45 27 31 157 8 4 16 36 101 71 282

240


With a beta of 0.76, Fund 105 received a percentile rank of 2

10 Year Total Fund Beta


Funds with less history than the specified time period will not appear in the chart. Benchmark used is the S&P 500 Index (Cap Wtd).

36

Universe Median: 34.55% R 3000 Index: 33.55%

0.00%

5.00%

10.00%

15.00%

20.00%

25.00%

30.00%

35.00%

40.00%

72 163 64 262 49 126

198 85 117 17 80 202 57 29 65 103

118 62 61 282 94 90 15 60 10 121

196 42 120

116

208 13 187

271

209 73 44 96 32 95 374

69 83 172 365

31 20 133 16 157

119 1

55 861

05

180 45 79 191 38 26 27 312 52 240 8

75 71 41 18 99 168 91 101

76 of 79 funds provided US Equity returns for this time period


1 Year Annualized US Equity Returns



37


0.00%

2.00%

4.00%

6.00%

8.00%

10.00%

12.00%

14.00%

16.00%

18.00%

20.00%

22.00%

64 133 49 198 57 126

121 17 79 37 118 31 16 85 29 96 196

191

103

262 55 83 282 72 163 80 62 90 42 15 8 94 65 119 69 52 116 38 172 13 95 4 60 120

202

208

10

5 26 73 44 86 187

180 32 10 312 5 20 240

157 27 271

117 41 75 71 36 45 209 18 1 61 99 101






38


0.00%

1.00%

2.00%

3.00%

4.00%

5.00%

6.00%

7.00%

8.00%

9.00%

10.00%

11.00%

271 72 163 55 64 85 118 8

121 95 94 126 13 42 80 133

282

191 26 103 96 62 208 65 117 90 16 172 37 119 29 15 120 381

116 60 44 57 262 83 180

312 18 32 45 71 27 31 17 86 41 157 69 10 524

10

5 73 187 75 99 365

20 61 101






39

Milwaukee ERS R 3000 Index

0.00%

5.00%

10.00%

15.00%

20.00%

25.00%

30.00%

35.00%

-5.00%2009 2010 2011 2012 2013


28.34%

16.93%

1.03%

16.42%

33.55%

31.61%

19.07%

-2.38%

16.65%

33.91%

Milwaukee ERS: $239 R 3000 Index: $236

$80

$100

$120

$140

$160

$180

$200

$220

$240

Dec

-08

Mar

-09

Jun-

09

Sep-

09

Dec

-09

Mar

-10

Jun-

10

Sep-

10

Dec

-10

Mar

-11

Jun-

11

Sep-

11

Dec

-11

Mar

-12

Jun-

12

Sep-

12

Dec

-12

Mar

-13

Jun-

13

Sep-

13

Dec

-13


5 Years

19.03%18.71%

0.32%

3 Years

16.24%15.10%

-1.14%

1 Year

33.55%33.91%

0.36%

Annualized Returns:

R 3000 IndexMilwaukee ERS

Variance

Total Return - US EquityMilwaukee ERS vs. R 3000 Index


40

Universe Median: 17.87% MSCI ACW Ex US Index (Gross): 15.78%

0.00%

2.00%

4.00%

6.00%

8.00%

10.00%

12.00%

14.00%

16.00%

18.00%

20.00%

22.00%

24.00%

26.00%

28.00%

10

512

916

819

8 18 69 65 64 44 16 116 95 85 57 17 120

103

119

208 61 80 49 202 38 209 1 4 52 60 94 13 36 75 133 86 96 62 37 118

282 42 187 10 26 45 73 121 15 196 31 41 32 27 20 5 71 240

126

101

180

312 29 157 55 191

117 79 262 8

163 72 271 99 172

74 of 79 funds provided International Equity returns for this time period


1 Year Annualized International Equity Returns



41


0.00%

2.00%

4.00%

6.00%

8.00%

10.00%

12.00%

14.00%

16.00%

18.00%

20.00%

79 95 129

10

5 31 49 57 16 101

208 44 13 187 80 133 65 85 198 69 209

191

117

119 4

120 15 96 75 45 26 38 86 32 17 10 71 116

180 29 157 55 61 52 172 62 41 262 36 312 37 282 18 27 64 1 94 20 5

126

196 42 202 99 121

240

271

103

118

163 72 60 73 8






42


0.00%

1.00%

2.00%

3.00%

4.00%

5.00%

6.00%

7.00%

8.00%

9.00%

10.00%

11.00%

133 95 31 191 16 116

10

5

208 80 17 13 69 75 26 101 85 57 120 55 119

117 61 15 29 32 180 86 45 52 62 282 36 96 172 10 187 37 71 38 42 41 64 312 27 121 4 1 18 126 94 73 118

157 65 99 163 72 20 5 60 8

271






43

Milwaukee ERS

MSCI ACW Ex US Index (Gross)

0.00%

10.00%

20.00%

30.00%

40.00%

50.00%

-10.00%

-20.00%2009 2010 2011 2012 2013


42.14%

11.60%

-13.33%

17.39%15.78%

36.06%

14.13%

-11.85%

18.99%

26.56%

Milwaukee ERS: $206

MSCI ACW Ex US Index (Gross): $187

$75

$90

$105

$120

$135

$150

$165

$180

$195

$210

Dec

-08

Mar

-09

Jun-

09

Sep-

09

Dec

-09

Mar

-10

Jun-

10

Sep-

10

Dec

-10

Mar

-11

Jun-

11

Sep-

11

Dec

-11

Mar

-12

Jun-

12

Sep-

12

Dec

-12

Mar

-13

Jun-

13

Sep-

13

Dec

-13


5 Years

15.57%13.32%

2.25%

3 Years

5.61%9.90%

4.29%

1 Year

15.78%26.56%

10.78%

Annualized Returns:

MSCI ACW Ex US Index (Gross)Milwaukee ERS

Variance

Total Return - International EquityMilwaukee ERS vs. MSCI ACW Ex US Index (Gross)


44

Universe Median: -0.88% Barclays US Agg Bond Index: -2.02%

0.00%

2.00%

4.00%

6.00%

8.00%

10.00%

12.00%

14.00%

-2.00 %

-4.00 %

-6.00 %

101 60 90 61 13 118 96 168 91 17 180 73 71 95 133

10

5 15 86 57 99 65 126 52 187 32 157 85 49 262

202

163 72 36 80 94 69 271

120 5 20 10 41 16 116 8

103

121 75 44 172 55 26 312

191

208 18 27 209

240

196

117 38 31 37 79 42 62 282 45 129

70 of 73 funds provided US Fixed Income returns for this time period


1 Year Annualized US Fixed Income Returns



45

Universe Median: 7.35% Barclays US Agg Bond Index: 4.44%

0.00%

2.00%

4.00%

6.00%

8.00%

10.00%

12.00%

14.00%

16.00%

18.00%

20.00%

101 31 116 79 17 60 52

10

5 90 61 99 73 118 45 95 96 42 80 94 38 65 718

86 120

121 75 202 36 126 57 85 55 196

187

103 69 180 10 205

172 37 16 133 49 191 32 15 157

282 44 13 208

129 26 41 163 72 27 262 18 209

240

117

271

312 62






46

Universe Median: 5.48% Barclays US Agg Bond Index: 4.55%

0.00%

1.00%

2.00%

3.00%

4.00%

5.00%

6.00%

7.00%

8.00%

9.00%

101 31 8 90

10

5 17 45 65 52 99 60 38 71 42 55 118

121 80 75 282 86 120

240 57 96 5 20 37 27 180 73 85 116 44 94 36 10 61 16 157

191 69 126 26 163 72 32 95 172

208

103 41 18 271

262

312

117

133

187 62 13 15






47

Milwaukee ERS

Barclays US Agg Bond Index

0.00%

5.00%

10.00%

15.00%

20.00%

25.00%

30.00%

-5.00%2009 2010 2011 2012 2013


5.93% 6.54%7.84%

4.21%

-2.02%

25.48%

9.81%

6.89%

10.17%

0.56%

Milwaukee ERS: $163

Barclays US Agg Bond Index: $124

$90

$100

$110

$120

$130

$140

$150

$160

$170

Dec

-08

Mar

-09

Jun-

09

Sep-

09

Dec

-09

Mar

-10

Jun-

10

Sep-

10

Dec

-10

Mar

-11

Jun-

11

Sep-

11

Dec

-11

Mar

-12

Jun-

12

Sep-

12

Dec

-12

Mar

-13

Jun-

13

Sep-

13

Dec

-13


5 Years

10.29%4.44%

5.85%

3 Years

3.26%5.80%

2.54%

1 Year

-2.02%0.56%

2.58%

Annualized Returns:

Barclays US Agg Bond IndexMilwaukee ERS

Variance

Total Return - US Fixed IncomeMilwaukee ERS vs. Barclays US Agg Bond Index


48

Universe Median: 11.30% NCREIF ODCE Index (Gross) (Asset Wtd Avg): 13.94%

0.00%

2.00%

4.00%

6.00%

8.00%

10.00%

12.00%

14.00%

16.00%

18.00%

-2.00 %

-4.00 %

172

202 8 29 4

196

187

163 72 38 13 32 73 180 17 45 62 27 64

10

5 69 61 79 282

103 91 55 191

133 90 31 240 80 71 117 52 120

157 94 121 96 85 116 10 118 49 5 20 126 16 60 44 99 129 41 1 65 95 86 26 15 42 101 18 119

209 37 83 36 57 168

71 of 79 funds provided Real Estate returns for this time period


1 Year Annualized Real Estate Returns



49


0.00%

2.00%

4.00%

6.00%

8.00%

10.00%

12.00%

14.00%

16.00%

18.00%

-2.00 %

-4.00 %

-6.00 %

41 118 65 119 37 126 96 95 441

180 49 121 10 191 38 15 90 36 209

196

129

172 71 17 55 26 52 133 73 18 187 80 85 698

13 16 42 62 117

163 72 103

116 4

79 29 94 61 83 282

157 865

27 911

05 20 31 99 101 32 64 120 45


With a return of -1.14%, Fund 105 received a percentile rank of 88




50


0.00%

1.00%

2.00%

3.00%

4.00%

5.00%

6.00%

7.00%

8.00%

9.00%

10.00%

11.00%

27 191 65 180

172

187 44 118 80 10 26 37 129 29 96 714

15 18 121 90 73 38 36 32 94 17

10

5 42 69 117 161

133 31 86 85 119

282 45 52 91 157 13 101 83 64 120

116 5

20






51

Milwaukee ERS

NCREIF ODCE Index (Gross) (Asset Wtd Avg)

0.00%

10.00%

20.00%

-10.00%

-20.00%

-30.00%

-40.00%

-50.00%2009 2010 2011 2012 2013


-29.76%

16.36% 15.99%

10.94%13.94%

-39.12%

2.84%

19.16%

11.99% 13.01%

Milwaukee ERS: $94

NCREIF ODCE Index (Gross) (Asset Wtd Avg): $120

$50

$60

$70

$80

$90

$100

$110

$120

Dec

-08

Mar

-09

Jun-

09

Sep-

09

Dec

-09

Mar

-10

Jun-

10

Sep-

10

Dec

-10

Mar

-11

Jun-

11

Sep-

11

Dec

-11

Mar

-12

Jun-

12

Sep-

12

Dec

-12

Mar

-13

Jun-

13

Sep-

13

Dec

-13


5 Years

-1.14%3.68%

-4.82%

3 Years

13.60%14.68%

1.08%

1 Year

13.94%13.01%

-0.93%

Annualized Returns:

NCREIF ODCE Index (Gross) (Asset Wtd Avg)Milwaukee ERS

Variance

Total Return - Real EstateMilwaukee ERS vs. NCREIF ODCE Index (Gross) (Asset Wtd Avg)


52

Universe Median Risk: 10.79% Median Return: 12.44% Median Sharpe Ratio: 1.14

8.00%

9.00%

10.00%

11.00%

12.00%

13.00%

14.00%

15.00%

16.00%A

nn

ua

lized

Ret

urn

5.00% 6.00% 7.00% 8.00% 9.00% 10.00% 11.00% 12.00% 13.00% 14.00%Standard Deviation (Risk)


Fund Sharpe Ratio: 1.06

Risk/Return Analysis5 Year Annualized Total Fund Returns vs. Standard Deviation



53


5.00%

6.00%

7.00%

8.00%

9.00%

10.00%A

nn

ua

lized

Ret

urn

8.00% 9.00% 10.00% 11.00% 12.00% 13.00%Standard Deviation (Risk)



Risk/Return Analysis10 Year Annualized Total Fund Returns vs. Standard Deviation



54


8.00%

10.00%

12.00%

14.00%

16.00%

18.00%

20.00%

22.00%A

nn

ua

lized

Ret

urn

11.00% 12.00% 13.00% 14.00% 15.00% 16.00% 17.00% 18.00% 19.00% 20.00% 21.00%Standard Deviation (Risk)



Risk/Return Analysis5 Year Annualized US Equity Returns vs. Standard Deviation



55


2.00%

3.00%

4.00%

5.00%

6.00%

7.00%

8.00%

9.00%

10.00%

11.00%A

nn

ua

lized

Ret

urn

13.00% 14.00% 15.00% 16.00% 17.00% 18.00% 19.00% 20.00%Standard Deviation (Risk)



Risk/Return Analysis10 Year Annualized US Equity Returns vs. Standard Deviation



56


8.00%

9.00%

10.00%

11.00%

12.00%

13.00%

14.00%

15.00%

16.00%

17.00%

18.00%

19.00%A

nn

ua

lized

Ret

urn




Risk/Return Analysis5 Year Annualized International Equity Returns vs. Standard Deviation



57


5.00%

6.00%

7.00%

8.00%

9.00%

10.00%

11.00%A

nn

ua

lized

Ret

urn




Risk/Return Analysis10 Year Annualized International Equity Returns vs. Standard Deviation



58


2.00%

4.00%

6.00%

8.00%

10.00%

12.00%

14.00%

16.00%

18.00%

20.00%A

nn

ua

lized

Ret

urn

2.00% 3.00% 4.00% 5.00% 6.00% 7.00% 8.00% 9.00% 10.00%Standard Deviation (Risk)



Risk/Return Analysis5 Year Annualized US Fixed Income Returns vs. Standard Deviation



59


4.00%

5.00%

6.00%

7.00%

8.00%

9.00%A

nn

ua

lized

Ret

urn

3.00% 4.00% 5.00% 6.00% 7.00% 8.00% 9.00% 10.00%Standard Deviation (Risk)



Risk/Return Analysis10 Year Annualized US Fixed Income Returns vs. Standard Deviation



60


0.00%

5.00%

10.00%

15.00%

20.00%

-5.00 %

An

nu

aliz

ed R

etu

rn



Fund Sharpe Ratio: -0.03

Risk/Return Analysis5 Year Annualized Real Estate Returns vs. Standard Deviation



61


1.00%

2.00%

3.00%

4.00%

5.00%

6.00%

7.00%

8.00%

9.00%

10.00%

11.00%A

nn

ua

lized

Ret

urn

0.00% 2.00% 4.00% 6.00% 8.00% 10.00% 12.00% 14.00% 16.00% 18.00% 20.00%Standard Deviation (Risk)



Risk/Return Analysis10 Year Annualized Real Estate Returns vs. Standard Deviation



62

100% of Net Assets Available for Benefits

0%

10%

20%

30%

40%

50%

60%

70%

80%

90%

100%

110%

96 83 19 282

168

10

5 27 55 94 240

172 85 42 75 62 36 180 52 101 16 202 72 64 90 41 79 163 20 5 65 49 17 80 73 118

126 69 45 18 120 32 191 10 31 61 116 71 26 157

119 91 4

209

187 38 15 44 1

208 37 29

61 of 79 funds provided Net Assets Available data

Net Assets Available For BenefitsExpressed as a Percentage of the Pension Benefit Obligation


Funds that did not provide data will not appear in the chart.

63

05

1015

2025

0.00 6.50 7.00 7.12 7.25 7.50 7.70 7.75 7.80 7.90 8.00 8.37

Actuarial Rate Assumptions - 7.50% Median

64 of 79 funds provided Actuarial Rate data

2 1 2 15

21

1

17

1 2

10

1

0

5

10

15

2.50 3.00 3.30 3.50 3.80 4.00 4.50 4.90 5.00 5.30 5.50 6.00 6.10 6.40 6.50 7.00 7.10 7.30 7.50 7.80 7.90 8.00

Salary Growth Rate Assumptions (Inflation plus Merit) - 4.00% Median

61 of 79 funds provided Salary Growth Rate data

24

2

68

14

21

21

21 1 1

32

1 1

4

1 1 1

Milwaukee ERS

0

5

10

15

20

3.00 3.50 3.80 3.90 4.00 4.20 4.30 4.50 4.70 4.80 5.00 5.10 5.40 5.50 6.00

Real Rate of Assumed Investment Return (Interest Rate minus Inflation) - 4.25% Median

61 of 79 funds provided Real Rate of Assumed Investment Return data

1 2

6

1

9

1

16

10

1

5 41 1 2 1

Actuarial Assumption Rates


Funds that did not provide data will not appear in the chart.

64

Milwaukee ERS

Inv Div Staff 1.88%Admin 2.81%Custodian 0.50%Inv Cons 1.01%US Eq. 18.23%

Inv Other 0.20%

Real Es 31.91%

Alt Inv 6.77%

Fixed 7.86%

Int'l Eq. 28.83%

All Funds

Inv Div Staff 2.15%Admin 12.81%

Custodian 1.83%Inv Cons 2.92%

US Eq. 12.76%

Int'l Eq. 13.16%

Inv Other 10.63%

Real Es 10.88%

Alt Inv 23.49%

Fixed 9.37%

0.00%

10.00%

20.00%

30.00%

-10.00 %

-20.00 %

-30.00 %Inv Div Staff Admin Custodian Inv Cons US Eq. Int'l Eq. Fixed Alt Inv Real Es Inv Other

Variance

-0.26 %

-10.00 %-1.33 % -1.91 %

5.47%

15.68%

-1.52 %

-16.72 %

21.03%

-10.43 %

Total Administrative and Investment FeesMilwaukee ERS vs. All Funds



65

Administrative ExpensesMilwaukee

ERSUnder $500

Million$500mm -$1 Billion

$1 - $5 Billion $5 - $10 Billion$10 - $20Billion

Over $20Billion

Internal Inv. Div. Staff 0.000.77 0.00 1.45 0.80 0.62 1.24Actuary 2.330.35 1.00 0.51 0.33 0.15 0.13Legal 1.330.24 0.51 1.29 1.01 0.28 0.16Consultant 0.120.00 0.10 0.25 0.48 0.18 0.19Audit 0.530.14 0.52 0.19 0.08 0.08 0.06Other Professional 0.000.12 0.32 0.62 0.05 0.11 0.67General Administrative 6.230.30 9.93 6.25 4.81 2.92 1.67

Total Administrative Expenses 1.91 10.53 10.5712.38 4.127.57 4.33

Investment ExpensesMilwaukee

ERSUnder $500

Million$500mm -$1 Billion

$1 - $5 Billion $5 - $10 Billion$10 - $20Billion

Over $20Billion

Custodial 2.340.20 2.14 1.50 0.62 0.43 0.24Investment Consulting 5.330.41 1.82 1.88 1.90 0.73 0.37Domestic Equity 11.587.43 6.50 8.57 6.39 4.75 3.21International Equity 8.7511.75 6.51 6.63 6.72 6.33 4.78Fixed Income 4.913.20 5.38 5.09 5.24 3.40 3.80Real Estate 3.9313.00 3.40 4.84 6.55 3.36 6.40Other Investment Management 30.160.08 0.00 2.99 6.85 3.77 4.86

36.08Total Investment Expenses (ex. Alt Inv) 25.75 22.77 23.6767.00 34.2731.50

Alternative Investments 5.202.76 8.80 7.28 10.18 9.51 17.74

Total Investment Expenses 38.84 72.20 38.7834.55 41.4144.45 32.27

Total Fund Fee Summary in Basis PointsMilwaukee ERS vs. Average by Asset Range


64 of 79 funds provided fee data for this time period

Expressed in basis points on total fund assets. Funds that did not provide fee data will not appear in the table.

40.75Total Expenses 46.93 52.0249.35 45.5336.6082.74

66

Miscellaneous Comments

Performance shown is gross of fees, with the exception of the following:

Funds 36, 49, 127 and 128: Performance shown is net of fees.

Funds 5 and 20: Performance shown is net of fees, except for Total Fund performance.

Performance shown is calculated using quarterly performance provided by participating public funds.

Performance shown may differ from a fund's actual performance due to rounding.

Net Assets Available for Benefit includes funding percentage valuation as of dates between June 2012 and June 2013.

Allocations shown reflect dedicated managers/mandates rather than actual exposure.

Glossary of Terms

Beta - A measure of the sensitivity of a portfolio to the movements in the market. It is a measure of a portfolio's non-diversifiable or systematic risk.

Return - Compounded rate of return for the period.

%Return - The time-weighted rate of return of a portfolio for a specified time period.

Sharpe Ratio - Represents the excess rate of return over the risk-free return (i.e., BofA ML 3 Mo US T-Bill Index), divided by the standard deviation of the excess return. Theresult is the absolute rate of return per unit of risk. The higher the value, the better the product's historical risk-adjusted performance.

Standard Deviation - A statistical measure of the range of a portfolio's performance. The variability of a return around its average return over a specified time period.Calculation is based on quarterly periodicity.

Addendum and Glossary


67

Amy Acevedo

Stamp

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