oregon savings growth plan advisory committee 2nd …€¦ · 23/05/2019 · meet and greet 8:30...
TRANSCRIPT
OREGON SAVINGS GROWTH PLAN ADVISORY COMMITTEE
2nd QUARTER 2019
May 22, 2019 9:30 A.M.
Keizer Community Center 930 Chemawa Rd NE Keizer, Oregon 97303
OSGP ADVISORY COMMITTEE MEMBERS • Mark Carlton, Chair
• Thomas Poon • Celeste VanCleave • Richard Bailey • Brady Boothe • Mary Jo Evers • Mike Marostica
OSGP Advisory Committee
Meeting Agenda May 22, 2019
Keizer Community Center – Keizer, Oregon
Meet and Greet 8:30 a.m.
I. Introduction Mark Carlton 9:30 a.m.
II. Approval of Minutes Mark Carlton
A. Meeting minutes from February 20, 2019
Old Business Mark Carlton
III. Information Items 9:45 a.m. A. Q1 2019 Voya Service Review Carol Cann, Brian Merrick
B. Q1 2019 Performance Report Anne Heaphy, Ben Taylor
Jim Callahan
C. Treasury Update Wil Hiles, Treasury
D. Communications Jennifer Moran, Voya
E. Outreach Team Update Gladys Salguero, Voya
F. OSGP Update Roger Smith, OSGP
IV. New Business Mark Carlton 11:00 a.m.
V. Public Comment Mark Carlton 11:15 a.m.
VI. Adjournment Mark Carlton 11:30 a.m. Next Meeting: August 21, 2019
If you have a disability that requires any special material, services or assistance please call 1-888-320-7377 at least 48 hours before the meeting
ADVISORY COMMITTEE MEETING MINUTES February 20, 2019
Keizer Community Center KEIZER, OREGON
COMMITTEE MEMBERS PRESENT STAFF MEMBERS PRESENT Celeste Van Cleave, Committee Member Roger Smith, OSGP Program Manager Brady Boothe, Committee Member Kathy Gannon, OSGP Operations Mike Marostica, Committee Member Dee Monday, OSGP Program Analyst II Thomas Poon, Committee Member Jack Schafroth, OSGP Outreach Gladys Salquero, Voya Outreach Jennifer Moreno, Voya Communications COMMITTEE MEMBERS ABSENT Carol Cann, Voya Operations Mark Carlton, Chair Carol Cann, Voya Operations Mary Jo Evers, Committee Member Julie McDevitt, Voya Rep. Richard Bailey, Committee Member Wes Handley, Voya Rep. GUEST Colin Benson, DOJ Gene Bentley, Retiree I. INTRODUCTION: The meeting was called to order at 9:30 a.m. by Committee Member, Celeste Van Cleave. Van Cleave requested introductions from all those in attendance, including new Committee Member, Mike Marostica, who gave the committee an overview of his state service and his interest in OSGP. II. APPROVAL OF MINUTES: Meeting minutes approved for 11/27/2018. III. OLD BUSINESS: Meeting minutes approved for 8/21/2018. IV. ADMINITRATIVE REPORT:
A. Q4 2018 Service Review: Carol Cann provided the Committee with Voya’s executive summary: Cann reported that plan assets are down at $2.0 billion as of December 31, 2018. Net cash flow was a positive $800 thousand for the quarter, but down. Rollover in contributions were at $11 million. Roth contributions continue to grow with a total of 4,538 participants taking advantage of the Roth contribution. The quarterly total for Roth contributions was $2.5 million.
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Cann underscored that the LifePath options continue to be the most popular investment option, holding 32 percent of plan assets, no change from last quarter. The Large Company Growth Option is second with 11 percent of plan assets, with an average balance of $23,233.
B. Q4 2018 Performance Report: Uvan Tseng, Anne Heaphy, and Ben Taylor from Callan presented the Q4 OSGP performance review: Anne Heaphy provided a Capital Markets Update describing volatility spikes in first and fourth quarters of 2018. She described a 10 percent decline in February and December and an 8 percent drop in March. U.S. equity market suffered a 5 percent loss for the year. Heaphy stated the Fed raised rates four time in 2018, and signaled two more hikes in 2019. Ben Taylor provided an OSGP review, beginning with an overview of the OSGP investment structure, including the upcoming investment line-up changes to take place on March 22, 2019.
C. Treasury Update: Wil Hiles reminded the committee that on September 19, 2018, the Oregon Investment Council (OIC) approved staff’s recommendations surrounding changes to the Short Term Fixed Income Option, International Stock Option, and the Real Return Option. Staff is currently coordinating the changes outlined and is targeting an implementation date of March 22, 2019 for the stated investment option enhancements.
D. OSGP Update: Roger Smith provided the committee with the 2019 Expo date and asked
the members and all in attendance to spread the word. He also introduced Voya Communication Consultant, Jennifer Moran, giving her credit for all the advancement OSGP has made in participant communications. The committee was also shown a preview of the Expo Promo video.
E. Outreach Update: Gladys Salquero provided a quick overview of outreach stats, then
moved on to explain the teams’ 2019 workshop schedule review and intentions to improve outreach by broadening the team members’ coverage areas.
F. Communications Update: Jennifer Moran provided an explanation on the automated
email campaigns and provided stats, stating OSGP has had the best statistical outcomes of any other Voya plan.
V. NEW BUSINESS: No new business. VI. PUBLIC COMMENT: No public comments at this meeting.
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VII. ADJOURNMENT: There being no further business, the meeting was adjourned. The next meeting is scheduled for May 22, 2019. Respectfully submitted, Dee Monday Oregon Savings Growth Plan
Oregon Savings Growth PlanFirst Quarter 2019 Service Review
May 22, 2019 Keizer Civic Center Keizer, OR
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For Plan Sponsor use only
Table of contents
1. Executive Summary2. Outreach Team Update3. Communications Update
Q1 2019 Report4.
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Executive Summary
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Executive Summary
Assets and Cash Flow– Total plan assets = $2.2 billion as of March 31, 2019– Net cash flow was a positive $8.4 million– Rollover in contributions were $18.2 million
Participants with Roth elections 4,724 Roth contributions were $2.6 million for the quarter
Investment Composition– The LifePath Options hold 31% of plan assets– The Stable Value Option is second with 12.75% of plan assets, average balance of $33,027– The Large Company Growth Stock Option is third with 11.89% of plan assets, average balance of
$22,259– The SCHWAB Brokerage account had 253 participants with a balance, average balance of $78,166
Participant Activity– Web visitors averaged 2,004 web-based transactions each month– PSR transactions averaged 502 per month– Mobile transactions averaged 118 per month
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Rollover SummaryQ1 2019
Institution # of Rollovers % of Total $ Rolled
PERS Purchase of Service 63 25% $384,052
Edward Jones 25 10% $3,165,674
Vanguard 14 5% $2,663,122
Fidelity 9 4% $1,005,915
Charles Schwab 9 4% $1,488,597
All Others 135 53% $13,006,123
Institution # of Rollovers % of Total $ Rolled
IAP 168 62% $13,418,065
All Others 104 38% $4,785,560
OSGP Rollovers Out
OSGP Rollovers In
Institution # of Rollovers % of Total $ Rolled
OSGP 168 12% $13,418,065
All Others 1,286 88% $80,227,562
IAP Rollovers Out
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Advice Activity – Q1 2019
Advice Rollout June 29, 2018
Total participants eligible for Advice 31,405
Advisor Service Activity
• # Participants with a balance that have used the VRA Services 2,702
• % Participants with a balance that have used the VRA Services 8.60%
• VRA Advisor calls 1,100
• Online Advice Adopters 845
• Professional Management Members 757
Monthly VRA Investment Advisor Activity
• Calls 53
• Received a Retirement Plan 17
• That processed a transaction 4
Monthly Online Activity
• New Adopters this month 48
• Received forecast 44
• Received Advice Online 43
Professional Management Activity
• Net PM activity for month 31
• Total Members 757
• Total Member Assets $62,395,602
• Average Member Balance $82,425
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Net Cash Flow and Earnings by Quarter
2Q 2018 3Q 2018 4Q 2018 1Q 2019 Last 12 months
Beginning Balance 2,141,926,337$ 2,193,773,585$ 2,290,601,252$ 2,060,653,254$ 2,141,926,337$
Net Cash Flow 3,770,451$ 14,678,035$ 839,373$ 8,426,531$ 27,714,391$
Investment Earnings 48,076,797$ 82,149,632$ (230,787,371)$ 197,289,913$ 96,728,971$
Ending Balance 2,193,773,585$ 2,290,601,252$ 2,060,653,254$ 2,266,369,699$ 2,266,369,699$
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Outreach Team Update
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Q1 Outreach Activities
Employer Contact Visits
Presentations Group Meetings
Group Meeting
Attendance
Benefits Fairs
54
Total communities served: 58
1-on-1s Presentation Attendance
Phone Meetings
102 933 20 44 2 312 163
Workshop # of presentations # of attendees
Introduction to OSGP 55 563
Retirement Strategies with OSGP
32 291
Basic Investment Concepts 15 88
Top Locations # of attendees
DHS 215
Corrections 73
Salem Archive Bldg open workshops
71
Tillamook open workshops 45
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Q1 Outreach Team Survey Results
Survey response rate 33%
Agree/Strongly agree to value of workshop 97%
Agree/Strongly agree to value of presenter 98%
Attendees who took action after workshop 49%
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Communications Update
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Workshop Promotional Poster and Survey Email
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Calculate Your Savings Goal Workshop
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Workshop Promotional Poster and Survey Email
Taking an action refers to making a contribution change
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Always On – Save More Journey
Participant Criteria for Inclusion:
• Signed up for eDelivery
• Plan allows for online contribution change
• Participant has a balance
• Participant Is currently contributing
• Participant has not made a contribution change in 6months
• Participant has not taken a hardship in 6 months
• Participant is has no term/death date
Campaign Success:
• Participant changes their contribution
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Save More Results - OSGP
Unique Participant Activity 4/5/2019
Participants reached (Delivered) 3,245
Participants interested (Opens) 1,705 (53%)
Participants engaged (Email clicks) 109 (6%)
Participants took action after opening 101 (6%)
• 6% of participants targeted took action after receiving theSave More Journey.
• Of the 101 participants that took action, those participantsare saving an average of $73 more per pay period.
• The below results are from when the campaign began inAugust 2018 through April 5, 2019.
Taking an action refers to making a contribution change
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Always On – Stopped Savers
Mark is identified as newly eligiblefor this journey. Email #1 is sentwith a ‘restart saving’ reminder.
If Mark does not take an action, hewill receive another touch-pointreminding him of the importance ofsaving 14 days after Email #1.
He has 15 days to take action beforewe measure if he’s taken action as a
result of the email.
Initial Email and
Reminder Email
Second Reminder
and Final Email Participant Criteria for
Inclusion:
• Signed up for eDelivery
• Plan allows for online contributionchange
• Participant has a balance
• Participant is currently contributing$0 or 0%
• Participant does not have a termdate
• Participant stopped saving >60days
Campaign Success:
• Participant restarts contributions
1 2
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Restart Savings Results - OSGP
Unique Participant Activity 4/5/2019
Participants reached (Delivered) 27
Participants interested (Opens) 16 (59%)
Participants engaged (Email clicks) 2 (13%)
Participants took action after opening 1 (6%)
• 6% of participants targeted took action after receiving theRestart Savings journey.
• Results are after just 1 month.
Taking an action refers to making a contribution change
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Participant Criteria for Inclusion:
• All participants with e-delivery
Campaign Success:
• Participant takes FW assessment
• Participant engages with educational material
Beth has signed up for e-delivery. She receives a quarterly email with education on topics to help with her overall financial wellness.
1 Financial Wellness Quarterly Email Begins in June 2019
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First Quarter 2019
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Participant Status Summary
As of March 31, 2019
59%
13%
0%5%
23%Active, Contributing
Active, NotContributing
Suspended
Terminated,ReceivingInstallments
Participant Status Number of Participants
Active, Contributing 18,695
Active, Not Contributing 4,124
Suspended 67
Terminated, Receiving Installments 1,433
Terminated with a Balance 7,129
Total: 31,448
As December 31, 2018
59%
15%
0%5%
21%Active, Contributing
Active, NotContributing
Suspended
Terminated,ReceivingInstallments
Participant Status Number of Participants
Active, Contributing 18,379
Active, Not Contributing 4,546
Suspended 63
Terminated, Receiving Installments 1,433
Terminated with a Balance 6,677
Total: 31,098
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Cash Flow SummaryPeriod Ending March 31, 2019
OREGON SAVINGS GROWTH PLAN
Cash In 24,176,889.98Employee Before-tax Contributions
Employee After-tax Contributions 0.00
2,671,990.12Roth 457 Contributions
Roth 457 Conversion 139,397.27
Roth Qual Plan Conversion 66,000.00
18,210,841.41Rollover Contributions
0.00Employer Contributions
Loan Repayments 1,346,587.28
Conversions In 6,505.47
Transfers In 123,969,743.33
2,442,993.59Other
Total Cash In $173,030,948.45
Cash Out 2,483,254.78Withdrawals
5,478,233.09Installment Payments
29,069,895.58Terminations
1,295,809.93Loans Issued
Conversions Out 1,299.76
90,205.49Fees
Transfers Out 123,517,625.10
2,442,993.59Other
($164,379,317.32)Total Cash Out
$8,651,631.13 Net Cash Flow
0M
20M
40M
60M
80M
100M
04/2
018
05/2
018
06/2
018
07/2
018
08/2
018
09/2
018
10/2
018
11/2
018
12/2
018
01/2
019
02/2
019
03/2
019
Cash In Cash Out Net Cash
$25,811,634.33 $25,535,776.40 $275,857.93Apr 2018
$25,391,460.29 $22,709,978.36 $2,681,481.93May 2018
$28,219,707.67 $27,367,243.43 $852,464.24Jun 2018
$37,584,259.70 $67,528,051.07 -$29,943,791.37Jul 2018
$45,252,251.48 $7,023,790.99 $38,228,460.49Aug 2018
$47,893,959.75 $41,548,225.18 $6,345,734.57Sep 2018
$54,597,135.62 $56,919,308.06 -$2,322,172.44Oct 2018
$37,814,132.59 $33,402,704.25 $4,411,428.34Nov 2018
$37,243,498.46 $38,256,025.92 -$1,012,527.46Dec 2018
$41,385,819.72 $39,570,083.56 $1,815,736.16Jan 2019
$40,371,097.04 $34,935,256.06 $5,435,840.98Feb 2019
$91,274,031.69 $89,873,977.70 $1,400,053.99Mar 2019
$512,838,988.34 $484,670,420.98 $28,168,567.36
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Investment Balances by QuarterPeriod Ending March 31, 2019
OREGON SAVINGS GROWTH PLAN
Q2 2018 Q3 2018 Q4 2018 Q1 2019
CLOSED FUND 10 $50,217,898.41 $50,339,969.32 $54,500,385.37 $0.00
STABLE VALUE OPTION $213,648,261.04 $217,867,543.63 $226,204,120.11 $287,202,750.92
LIFEPATH RETIREMENT FUND $195,632,322.51 $195,818,560.71 $178,185,927.53 $185,693,332.77
LIFEPATH 2020 FUND $142,337,412.77 $143,419,033.52 $130,248,475.39 $137,894,390.65
LIFEPATH 2025 FUND $108,383,758.18 $111,118,493.53 $103,108,840.34 $114,568,504.75
LIFEPATH 2030 FUND $79,902,852.81 $82,128,647.51 $75,775,370.50 $84,958,762.59
LIFEPATH 2035 FUND $58,855,009.58 $60,990,605.96 $56,285,805.21 $64,027,930.53
LIFEPATH 2040 FUND $39,287,851.71 $41,627,629.71 $37,991,513.96 $44,275,624.17
LIFEPATH 2045 FUND $25,674,673.92 $27,200,096.00 $25,367,711.63 $29,705,861.47
LIFEPATH 2050 FUND $23,288,555.74 $24,040,145.07 $21,214,581.46 $24,471,187.42
LIFEPATH 2055 FUND $8,704,556.31 $9,137,490.03 $7,845,424.74 $8,853,133.11
LIFE PATH 2060 $5,086,817.00 $5,195,890.42 $4,822,920.85 $5,824,151.92
ACTIVE FIXED INCOME OPTION $110,966,980.34 $116,491,309.41 $125,815,304.68 $138,791,472.79
REAL RETURN OPTION $4,127,246.14 $4,399,927.76 $3,868,269.14 $3,999,860.62
SOCIALLY RESPONSIBLE INV OPT $12,097,952.97 $14,840,421.41 $13,422,541.98 $16,029,727.29
LARGE COMP VALUE STOCK OPTION $189,865,011.56 $202,357,426.96 $176,972,081.78 $195,564,509.65
STOCK INDEX OPTION $253,577,604.38 $271,068,736.72 $232,010,759.95 $261,754,425.54
LARGE COMP GROWTH STOCK OPTION $249,253,270.24 $277,329,127.66 $232,271,232.27 $268,000,757.73
INTERNATIONAL STK OPTION $117,134,733.35 $117,725,597.06 $106,379,553.34 $117,065,158.16
Investment Name
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Q2 2018 Q3 2018 Q4 2018 Q1 2019
SMALL COMPANY STOCK OPTION $278,463,185.60 $288,827,598.87 $219,911,139.26 $244,741,074.80
SCHWAB PCRA $14,183,541.70 $15,426,840.50 $15,218,080.37 $19,776,124.41
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Asset Class by QuarterPeriod Ending March 31, 2019
OREGON SAVINGS GROWTH PLAN
Q2 2018 Q3 2018 Q4 2018 Q1 2019
International Equity $117,134,733.35 $117,725,597.06 $106,379,553.34 $117,065,158.16
Lifestyle/Balanced $687,153,810.53 $700,676,592.46 $640,846,571.61 $700,272,879.38
Stable Value/Money Market $263,866,159.45 $268,207,512.95 $280,704,505.48 $287,202,750.92
Stock Index $506,958,120.76 $552,797,792.14 $468,150,261.36 $533,755,043.89
US Fixed Income $110,966,980.34 $116,491,309.41 $125,815,304.68 $138,791,472.79
US Large Cap Equity $201,962,964.53 $217,197,848.37 $190,394,623.76 $211,594,236.94
US Small Cap Equity $278,463,185.60 $288,827,598.87 $219,911,139.26 $244,741,074.80
Asset Class
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Contributions by FundPeriod Ending March 31, 2019
OREGON SAVINGS GROWTH PLAN
Q2 2018 Q3 2018 Q4 2018 Q1 2019
ACTIVE FIXED INCOME OPTION $1,275,082.15 $1,770,468.64 $2,178,421.51 $2,307,175.27
CLOSED FUND 10 $870,641.48 $1,042,662.67 $1,058,910.31 $0.00
INTERNATIONAL STK OPTION $1,953,632.84 $1,953,699.82 $1,891,637.65 $2,065,747.51
LARGE COMP GROWTH STOCK OPTION $3,292,928.06 $3,792,987.01 $4,051,084.89 $4,249,091.76
LARGE COMP VALUE STOCK OPTION $2,700,456.09 $3,598,202.48 $2,644,340.33 $2,692,126.53
LIFE PATH 2060 $363,163.87 $358,111.38 $473,200.87 $348,263.76
LIFEPATH 2020 FUND $3,011,604.20 $3,623,020.67 $2,488,258.17 $3,567,262.50
LIFEPATH 2025 FUND $2,999,083.30 $3,297,690.44 $3,432,792.31 $3,716,609.27
LIFEPATH 2030 FUND $2,249,037.67 $2,517,812.26 $2,304,588.98 $2,595,797.82
LIFEPATH 2035 FUND $1,993,363.25 $1,949,458.51 $2,366,262.98 $2,154,890.26
LIFEPATH 2040 FUND $1,630,494.68 $2,003,783.82 $1,726,834.46 $2,347,967.19
LIFEPATH 2045 FUND $1,271,381.97 $1,243,608.14 $1,510,753.05 $1,489,065.30
LIFEPATH 2050 FUND $902,692.03 $958,626.42 $923,442.94 $963,599.69
LIFEPATH 2055 FUND $405,397.68 $602,741.89 $428,631.91 $466,421.49
LIFEPATH RETIREMENT FUND $1,587,903.13 $2,004,216.33 $1,345,682.61 $2,729,527.23
REAL RETURN OPTION $107,223.59 $166,256.66 $107,266.80 $109,902.01
SMALL COMPANY STOCK OPTION $3,404,429.61 $3,437,358.78 $2,907,259.56 $3,113,148.43
SOCIALLY RESPONSIBLE INV OPT $392,408.29 $524,507.39 $503,215.02 $673,680.90
STABLE VALUE OPTION $2,340,816.62 $2,991,827.12 $1,819,547.01 $4,618,423.62
Investment Name
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Q2 2018 Q3 2018 Q4 2018 Q1 2019
STOCK INDEX OPTION $3,326,677.56 $4,375,059.08 $3,280,130.33 $3,483,786.47
Total 36,078,418.07 42,212,099.51 37,442,261.69 43,692,487.01
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Contributions by SourcePeriod Ending March 31, 2019
OREGON SAVINGS GROWTH PLAN
January 2019 February 2019 March 2019 Total
Employee Before-tax Contributions $7,899,982.84 $8,019,463.02 $57,878,777.17 $41,959,331.31
Rollover Contributions $5,300,515.84 $7,276,423.42 $18,942,315.30 $6,365,376.04
Roth 457 Contributions $862,908.97 $898,521.60 $254,075.46 $2,015,506.03
Roth 457 Conversion $26,542.00 $2,363.67 $33,474.19 $62,379.86
Roth Qual Plan Conversion $20,000.00 -$20,000.00 $66,000.00 $66,000.00
Total $14,150,362.02 $16,189,206.93 $76,468,445.53 $46,128,876.58
Source Name
Q2 2018 Q3 2018 Q4 2018 Q1 2019 Total
Employee Before-tax Contributions $22,846,871.75 $22,901,110.72 $23,667,662.46 $41,959,331.31 $27,456,313.62
Rollover Contributions $10,831,594.43 $16,845,274.09 $10,985,677.11 $6,365,376.04 $32,297,169.59
Roth 457 Contributions $2,290,029.26 $2,415,268.40 $2,566,526.50 $2,015,506.03 $9,287,330.19
Roth 457 Conversion $96,014.89 $49,984.75 $106,183.47 $62,379.86 $314,562.97
Roth Qual Plan Conversion $0.00 $0.00 $80,000.00 $66,000.00 $146,000.00
Total $36,078,418.07 $42,212,099.51 $37,442,261.69 $46,128,876.58 $69,603,902.69
Source Name
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Before-Tax Contribution Amount Summary Period Ending March 31, 2019
OREGON SAVINGS GROWTH PLAN
0
2,000
4,000
6,000
8,000
10,000
12,000
< 1
0
10-1
9
20-2
9
30-3
9
40-4
9
50-5
9
60-6
9
70-7
9
80-8
9
90-9
9
100-
999
1000
-199
9
2000
-299
9
3000
-399
9
4000
-499
9
5000
-599
9
6000
-699
9
7000
-799
9
9000
-999
9
<=
100
00
1 10
1,29
8
151
86
1,72
1
78
544
53 18
11,8
01
1,92
0
764
107
28 21 8 4 5 5
Contribution Dollars
Nu
mb
er o
f P
arti
cip
ants
Total Number of Participants: 18,623
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Roth Contribution Amount Summary As of March 31, 2019
OREGON SAVINGS GROWTH PLAN
0
400
800
1,200
1,600
2,000
2,400
2,800
10-1
9
20-2
9
30-3
9
40-4
9
50-5
9
60-6
9
70-7
9
80-8
9
90-9
9
100-
999
1000
-199
9
2000
-299
9
3000
-399
9
6000
-699
9
7
643
62 30
798
26
165
19 10
2,76
2
152
41 8 1
Contribution Amount
Nu
mb
er o
f P
arti
cip
ants
Total Number of Participants: 4,724
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Average Contribution AmountPeriod Ending March 31, 2019
OREGON SAVINGS GROWTH PLAN
0
100
200
300
400
500
600
700
800
< 21 21-30 31-40 41-50 51-60 61 +
$150
.00
$168
.02 $2
71.3
6 $390
.08
$555
.65
$723
.83
Before-tax $
Age Group
Ave
rage
Am
ount
$150.00< 21$168.0221-30$271.3631-40$390.0841-50$555.6551-60$723.8361 +
$452.15Average
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Participants with Balances by Number of InvestmentsPeriod Ending March 31, 2019
OREGON SAVINGS GROWTH PLAN
13.80%
10.82%10.69%10.12%
7.21%4.70%2.90%1.18%1.44%
37.14%
1 116792 43393 34024 33635 31836 22677 14798 9129 37110 or More 453
Total: 31448
Number ofInvestments
Number ofParticipants
Average Number of Funds: 3
32
Participants with a Balance in a Single InvestmentPeriod Ending March 31, 2019
OREGON SAVINGS GROWTH PLAN
0
200
400
600
800
1,000
1,200
1,400
1,600
ST
AB
LE V
ALU
E O
PT
ION
LIF
EP
AT
H R
ET
IRE
ME
NT
FU
ND
LIF
EP
AT
H 2
020
FU
ND
LIF
EP
AT
H 2
025
FU
ND
LIF
EP
AT
H 2
030
FU
ND
LIF
EP
AT
H 2
035
FU
ND
LIF
EP
AT
H 2
040
FU
ND
LIF
EP
AT
H 2
045
FU
ND
LIF
EP
AT
H 2
050
FU
ND
LIF
EP
AT
H 2
055
FU
ND
LIF
E P
AT
H 2
060
AC
TIV
E F
IXE
D IN
CO
ME
OP
TIO
N
RE
AL
RE
TU
RN
OP
TIO
N
SO
CIA
LLY
RE
SP
ON
SIB
LE IN
V O
PT
LAR
GE
CO
MP
VA
LUE
ST
OC
K O
PT
ION
ST
OC
K IN
DE
X O
PT
ION
LAR
GE
CO
MP
GR
OW
TH
ST
OC
K O
PT
ION
INT
ER
NA
TIO
NA
L S
TK
OP
TIO
N
SM
ALL
CO
MP
AN
Y S
TO
CK
OP
TIO
N
SC
HW
AB
PC
RA
1,028
838
687
1,001
1,194
1,3321,410 1,396
968
501
351
10011 60 64
290226
36
177
9
Num
ber
of P
artic
ipan
ts
33
Loan Summary
OREGON SAVINGS GROWTH PLAN
Period Ending March 31, 2019
Total Participants with Loans: 1,699
Total Number of Outstanding Loans: 1,699
Number of General Loans: 1,614
Number of Residential Loans: 85
Total Outstanding Loan Balance: $12,464,848.20
General Loan Balance: $11,183,251.01
Residential Loan Balance: $1,281,597.19
Number of Re-amortized Loans during the period: 1
Number of Loan Defaults during the period: 0
34
Balances by Investment
OREGON SAVINGS GROWTH PLAN
As of March 31, 2019
Average Participant
Percentage of Plan AssetsInvestment BalanceInvestment
Number of Participants
STABLE VALUE OPTION $287,202,750.92 $33,027.00 12.75%8,696LIFEPATH RETIREMENT FUND $185,693,332.77 $51,324.86 8.24%3,618LIFEPATH 2020 FUND $137,894,390.65 $44,611.58 6.12%3,091LIFEPATH 2025 FUND $114,568,504.75 $32,594.17 5.08%3,515LIFEPATH 2030 FUND $84,958,762.59 $23,878.24 3.77%3,558LIFEPATH 2035 FUND $64,027,930.53 $18,288.47 2.84%3,501LIFEPATH 2040 FUND $44,275,624.17 $13,556.53 1.97%3,266LIFEPATH 2045 FUND $29,705,861.47 $10,467.18 1.32%2,838LIFEPATH 2050 FUND $24,471,187.42 $11,028.02 1.09%2,219LIFEPATH 2055 FUND $8,853,133.11 $7,502.66 0.39%1,180LIFE PATH 2060 $5,824,151.92 $7,372.34 0.26%790ACTIVE FIXED INCOME OPTION $138,791,472.79 $19,784.96 6.16%7,015REAL RETURN OPTION $3,999,860.62 $5,873.51 0.18%681SOCIALLY RESPONSIBLE INV OPT $16,029,727.29 $9,558.57 0.71%1,677LARGE COMP VALUE STOCK OPTION $195,564,509.65 $18,505.35 8.68%10,568STOCK INDEX OPTION $261,754,425.54 $25,931.68 11.62%10,094LARGE COMP GROWTH STOCK OPTION $268,000,757.73 $22,259.20 11.89%12,040INTERNATIONAL STK OPTION $117,065,158.16 $11,849.90 5.20%9,879SMALL COMPANY STOCK OPTION $244,741,074.80 $21,679.61 10.86%11,289SCHWAB PCRA $19,776,124.41 $78,166.50 0.88%253
Total Investment Balance: $2,253,198,741.29
$12,612,386.59Total Loan Fund:
35
Balance by Participant StatusPeriod Ending March 31, 2019
OREGON SAVINGS GROWTH PLAN
Participant Status Participant Balance
50%7%0%0%9%
34%
Active Contributing
Active, Not Contributing
Eligible, Not Participating
Suspended
Terminated, ReceivingInstallmentsTerminated with aBalance
$1,138,064,599.20Active Contributing
Active, Not Contributing
Suspended
Terminated, Receiving Installments
Terminated with a Balance
$3,038,650.09
$201,924,144.43
$769,550,211.69
Total: $2,265,237,739.25
152,660,133.84
36
Asset Class SummaryPeriod Ending March 31, 2019
OREGON SAVINGS GROWTH PLAN
0M
100M
200M
300M
400M
500M
600M
700M
800M
StableValue/Money
Market
US FixedIncome
LifestyleBalanced
US Large CapEquity
US Small CapEquity
InternationalEquity
Stock Index
$287
,202
,751
$138
,791
,473
$700
,272
,880
$211
,594
,237
$244
,741
,075
$117
,065
,158
$533
,755
,044
To
tal B
alan
ce
37
OREGON SAVINGS GROWTH PLAN
Period Ending March 31, 2019
Asset Class Summary
Asset Class Balance Percentage of Total AssetsStable Value/Money Market $287,202,751 12.67%
US Fixed Income $138,791,473 6.12%
Lifestyle/Balanced $700,272,880 30.90%
US Large Cap Equity $211,594,237 9.34%
US Small Cap Equity $244,741,075 10.80%
International Equity $117,065,158 5.17%
Stock Index $533,755,044 23.55%
38
Transfer Activity by InvestmentPeriod Ending March 31, 2019
OREGON SAVINGS GROWTH PLAN
Investment Name Transfers In Transfers Out Net
CLOSED FUND 10 $4,163,080.43 -$58,790,818.80 -$54,627,738.37
STABLE VALUE OPTION $68,940,368.84 -$7,424,091.16 $61,516,277.68
LIFEPATH RETIREMENT FUND $2,995,255.87 -$3,847,713.68 -$852,457.81
LIFEPATH 2020 FUND $1,641,358.53 -$3,486,312.59 -$1,844,954.06
LIFEPATH 2025 FUND $2,088,239.21 -$1,980,521.03 $107,718.18
LIFEPATH 2030 FUND $1,479,395.84 -$1,807,989.94 -$328,594.10
LIFEPATH 2035 FUND $1,092,270.30 -$1,103,016.38 -$10,746.08
LIFEPATH 2040 FUND $773,605.11 -$1,008,151.33 -$234,546.22
LIFEPATH 2045 FUND $362,957.62 -$483,591.09 -$120,633.47
LIFEPATH 2050 FUND $280,449.86 -$432,644.35 -$152,194.49
LIFEPATH 2055 FUND $102,442.33 -$355,861.02 -$253,418.69
LIFE PATH 2060 $273,178.24 -$166,179.08 $106,999.16
ACTIVE FIXED INCOME OPTION $13,350,241.84 -$4,547,030.50 $8,803,211.34
REAL RETURN OPTION $290,780.03 -$405,698.07 -$114,918.04
SOCIALLY RESPONSIBLE INV OPT $910,680.71 -$721,451.82 $189,228.89
LARGE COMP VALUE STOCK OPTION $3,440,136.86 -$6,019,505.81 -$2,579,368.95
STOCK INDEX OPTION $4,246,583.36 -$7,181,755.40 -$2,935,172.04
LARGE COMP GROWTH STOCK OPTION $7,340,444.06 -$9,562,852.48 -$2,222,408.42
INTERNATIONAL STK OPTION $3,245,530.92 -$3,769,957.80 -$524,426.88
SMALL COMPANY STOCK OPTION $3,907,867.00 -$10,199,161.06 -$6,291,294.06
SCHWAB PCRA $3,044,876.37 -$223,321.71 $2,821,554.66
39
Participant Contact SummaryPeriod Ending March 31, 2019
OREGON SAVINGS
0
5,000
10,000
15,000
20,000
25,000
30,000
35,000
Apr-2018 May-2018 Jun-2018 Jul-2018 Aug-2018 Sep-2018 Oct-2018 Nov-2018 Dec-2018 Jan-2019 Feb-2019 Mar-2019
1,60
4
1,37
0
1,38
1
1,78
8
1,74
9
1,62
0
1,71
5
1,51
6
1,38
4
1,96
2
1,48
6
1,66
03,22
9
2,95
2
3,08
7
3,65
2
3,65
2
3,42
2
3,58
5
3,22
9
3,15
4
4,08
9
3,27
5
3,40
9
24,8
02
26,0
02
25,9
30
30,2
04
31,5
62
29,5
17
30,7
64
25,9
37
25,8
24
33,2
52
31,4
34
25,0
12
5,11
1
5,01
5
5,20
0
6,22
5
5,49
4
5,20
5
6,00
1
5,16
2
5,19
0 7,01
7
5,65
1
4,82
1
Total PSR Calls Total IVR Calls Total Web Visits Unique Visitors
Num
ber
of C
onta
cts
40
Paperless Transaction SummaryPeriod Ending March 31, 2019
OREGON SAVINGS
0
400
800
1,200
1,600
2,000
2,400
2,800
4/30/18 5/31/18 6/30/18 7/31/18 8/31/18 9/30/18 10/31/18 11/30/18 12/31/18 1/31/19 2/28/19 3/31/19
344
320 38
6
532
453
382 47
5
435
401
580
449
479
12 7 5 10 16 9 4 4 6 8 5 2
82 90 108
111
110
74
131
85 99 116
120
120
1,41
0
1,32
2 1,47
7
1,95
1
2,21
0
1,79
9
2,29
1
1,85
1
1,84
3
2,44
8
1,92
2
1,64
4
PSR Transactions IVR Transactions MOB Transactions Web Transactions
Num
ber
of T
rans
actio
ns
41
IVR ActivityJanuary 01, 2019 to March 31, 2019
OREGON SAVINGS
0
500
1,000
1,500
2,000
2,500
3,000
3,500
4,000
4,500
0
10
20
30
40
50
Jan-2019 Feb-2019 Mar-2019
@IVR to PSR PercentIVR Calls Outside ofPSR Hours
IVR Calls During PSRHours
Num
ber
of IV
R C
alls
Percentage of C
alls Dropped to P
SR
Percent of IVR Calls Transferred to PSR
IVR Calls Transferred to PSR
IVR Calls Outside of PSR Hours
IVR Calls During PSR Hours
Total IVR CallsDate
Jan-2019 4,089 3,024 1,065 1,978 48.37%
Feb-2019 3,275 2,388 887 1,511 46.14%
Mar-2019 3,409 2,499 910 1,672 49.05%
42
PSR ActivityPeriod Ending March 31, 2019
OREGON SAVINGS
Reporting Period Average Speed of Answer (Seconds)PSR Call Volume Average Call Length (Minutes)
1,604Apr-2018 5.98 27
1,370May-2018 5.90 15
1,381Jun-2018 6.35 8
1,788Jul-2018 6.03 20
1,749Aug-2018 5.80 18
1,620Sep-2018 5.78 14
1,715Oct-2018 6.18 18
1,516Nov-2018 6.43 18
1,384Dec-2018 6.20 9
1,962Jan-2019 6.17 21
1,486Feb-2019 6.30 23
1,660Mar-2019 6.38 9
43
PSR Activity Period Ending March 31, 2019
OREGON SAVINGS
Percent of Abandoned Calls Reporting Period
Number of Abandoned Calls
PSR Call Volumes
Apr-2018 1,604 0.01% 26
May-2018 1,370 0.01% 15
Jun-2018 1,381 0.00% 2
Jul-2018 1,788 0.01% 30
Aug-2018 1,749 0.01% 24
Sep-2018 1,620 0.01% 20
Oct-2018 1,715 0.01% 19
Nov-2018 1,516 0.00% 14
Dec-2018 1,384 0.00% 8
Jan-2019 1,962 0.00% 12
Feb-2019 1,486 0.01% 19
Mar-2019 1,660 0.00% 7
44
Paperless Transactions by ChannelPeriod Ending March 31, 2019
OREGON SAVINGS GROWTH PLAN
0%
10%
20%
30%
40%
50%
60%
70%
80%
90%
100%
Add
ress
Cha
nge
Ban
king
Info
rmat
ion
Ben
efic
iary
Ele
ctio
n
Bon
us C
ontr
ibut
ion
Cat
ch-U
p C
ontr
ibut
ion
Con
trib
utio
n R
ate
Cha
nge
Con
trib
utio
n R
ate
Esc
alat
or
Div
iden
d E
lect
ion
Doc
umen
ts/P
acka
ge R
eque
st
Fun
d to
Fun
d T
rans
fer
In-S
ervi
ce W
ithdr
awal
Inve
stm
ent E
lect
ion
Cha
nge
Inve
stm
ent R
eallo
catio
n
Reb
alan
ce E
lect
ion
Sum
of L
oan
Rep
aym
ent A
CH
New
Loa
n Is
sued
Onl
ine
Loan
Pay
off v
ia A
CH
Ter
min
atio
n D
istr
ibut
ion
29
22 720 0
2920 0
316
216
163
1010 1 0
32
41 2230
00
0 0
0
0 0
9
0
0
1
0 0 0
5
0 0
0
00
0 0
214
0 0
0
102
0
40
0 0 0
0
0 0
26
152 796
0 0
2,180
0 0
0
1,337
21
913
0
97
0
91
0 0
WEB MOB IVR PSR
45
Paperless Transactions by Channel (IVR/PSR/WEB/MOB Combined)Period Ending March 31, 2019
OREGON SAVINGS GROWTH PLAN
Paperless Transaction Description Transaction Volume
55Address Change
Banking Information 174
Beneficiary Election 868
Bonus Contribution 0
Catch-up Contribution 0
Contribution Rate Change 2,686
Contribution Rate Escalator 0
Dividend Election 0
Document/Package Request 325
Fund to Fund Transfer 1,655
In-service Withdrawal 184
Investment Election Change 1,055
Investment Reallocation 0
Rebalance Election 98
Loan Repayment ACH Election 0
New Loans Issued 128
Online Loan Payoff via ACH 41
Termination Distribution 223
Enrollments for the Period: 401
46
Balances by Age and StatusPeriod Ending March 31, 2019
OREGON SAVINGS GROWTH PLAN
0
100,000,000
200,000,000
300,000,000
400,000,000
500,000,000
< 21 21-29 30-39 40-49 50-59 60-69 >= 70
Active Suspended Terminated
< 21 21-29 30-39 40-49 50-59 60-69 >= 70
Active $5,174 $4,702,952 $66,895,408 $260,385,487 $496,786,294 $412,256,795 $37,194,948
Suspended $0 $2,781 $11,574 $180,182 $733,412 $1,727,223 $268,768
Terminated $1,325 $336,193 $5,507,646 $25,308,398 $147,897,286 $494,162,929 $298,833,969
Status
47
Average Balances by Age and StatusPeriod Ending March 31, 2019
OREGON SAVINGS GROWTH PLAN
0K
20K
40K
60K
80K
100K
120K
140K
160K
< 21 21-29 30-39 40-49 50-59 60-69 >= 70
Active Suspended Terminated
< 21 21-29 30-39 40-49 50-59 60-69 >= 70
Active $862 $4,003 $14,527 $40,845 $71,988 $105,114 $135,254
Suspended $0 $2,781 $1,052 $10,599 $43,142 $143,935 $134,384
Terminated $663 $3,362 $12,239 $36,310 $104,595 $151,584 $135,464
Status
48
Median Balance by Age and StatusPeriod Ending March 31, 2019
OREGON SAVINGS GROWTH PLAN
0K
20K
40K
60K
80K
100K
120K
140K
< 21 21-29 30-39 40-49 50-59 60-69 >= 70
Active Suspended Terminated
< 21 21-29 30-39 40-49 50-59 60-69 >= 70
Active $638 $1,857 $5,711 $15,506 $28,512 $51,674 $52,302
Suspended $0 $2,781 $234 $4,498 $8,332 $34,423 $134,384
Terminated $663 $1,628 $5,525 $12,321 $52,371 $91,889 $80,670
Status
49
First Quarter 2019Performance Review
May 22, 2019
Anne HeaphyPlan Sponsor Consulting
Ben TaylorPlan Sponsor Consulting
Uvan Tseng, CFAPlan Sponsor Consulting
Capital Markets Update
Knowledge. Experience. Integrity.
Global Economic Update 1Q 2019
● Fed pauses the pace of rate hikes– Target rates unchanged at 2.25% – 2.50% – Fed fund futures now pricing in a 65% probability of a fed cut in 2019
● Corporate fundamentals solid, Unemployment remains low– Fourth quarter real GDP growth slowed to +2.2%– Unemployment rate remained low at 3.8% in February– Wage growth at +3.4% (y/y) in February, fastest in a decade
● Inflation remained benign – Headline CPI up 1.5% in February (y/y)– Less volatile Core CPI also rose by 2.1% as of February (y/y)
● Housing starts drop again, led by single family homes– Housing starts in the US fell 8.7 percent from a month earlier, the largest decline in housing starts since last June
● Overseas– Euro zone GDP rose just 0.2% in Q4, the slowest pace since 2Q14– ECB further lowered GDP growth forecast from +1.7% to +1.1%– U.K. GDP growth decelerated sharply to +0.2% in Q4 from +0.7% in Q3, as Brexit uncertainty weighed on business investment; delay to Brexit
beyond March 2019.
– Japan’s economy grew at +0.5% in Q4 (+1.9% annualized), supported by rebound in household consumption and an upward revision of business spending following a series of natural disasters
– The slowdown in China’s economy continued as GDP growth slowed to 6.6% in 2018, at 28-year low; China also lowers its growth target to 6.0% - 6.5%
– The profits of industrial companies fell 14% in the first two months of 2019 versus one year ago, worst since 2008
The Big Picture
Knowledge. Experience. Integrity.
U.S. Equity Performance
● Equity markets dramatically snapped back in the first quarter, driven by the Fed’s unexpected dovish comments in January, solid corporate fundamentals, and low unemployment.
● S&P 500 Index gained 13.6% in Q1– Rebounded strongly from prior quarter’s decline; 4Q18: -13.5%
– Volatility remains relatively low; only a few trading days seeing market movement greater than 2% in either direction.
● Growth outperformed Value– The sharp change in Fed rhetoric influenced the stronger
performance of growth stocks over value stocks during the quarter. Investors favored companies with stronger earnings prospects to counter a softer economic environment.
● Small caps modestly outperformed large caps– Influenced by excessive fourth quarter tax-loss selling, the market
experienced a strong “January effect”—where last year’s losers became January 2019’s winners.
Sources: FTSE Russell, Standard & Poor’s
Economic Sector Quarterly Performance (Russell 3000 Index)
Russell 3000Russell 1000
Russell 1000 GrowthRussell 1000 Value
S&P 500Russell Midcap
Russell 2500Russell 2000
U.S. Equity: Quarterly Returns
14.0%14.0%
16.1%11.9%
13.6%16.5%
15.8%14.6%
Russell 3000Russell 1000
Russell 1000 GrowthRussell 1000 Value
S&P 500Russell Midcap
Russell 2500Russell 2000
U.S. Equity: Annual Returns
8.8%9.3%
12.7%5.7%
9.5%6.5%
4.5%2.0%
8.2% 8.9%11.4% 11.6% 11.6%
14.0% 14.7% 16.7% 16.7% 17.3%20.8%
Health Care Financials Utilities Materials ConsumerStaples
CommServices
ConsumerDiscr
Energy Industrials Real Estate InformationTech
Knowledge. Experience. Integrity.
Non-U.S. Equity Performance
● Global equity markets were positive in the first quarter following a sharp sell-off to end 2018. – Investors resumed a risk-on outlook as central banks telegraphed
more accommodative positioning.– EAFE sector performance was mixed. Information Technology
(+15.3%) and Materials (+13.2%) led economically sensitive sectors; Consumer Staples (+12.4%) led defensive sectors. Interest rate-sensitive Financials (+6.9%) and Utilities (+9.0%) trailed the broad index.
– U.K. (+11.9%) equities rallied, led by tech and select consumer goods companies ; Italy (+14.6%) rebounded strongly after a challenging Q4.
– Germany (+6.9%) up the least due to slowing manufacturing activities.
● Equities in the emerging markets rose 9.9% with mixed country returns.– China (+17.7%) was the top performing country in Q1, helped by the
U.S.’s decision to suspended tariff hikes on $200 billion of Chinese goods.
– Asian Information Technology rebounded nicely with Chinese IT (+27.6%) leading the sector. An improving outlook on Chinese consumption positively influenced EM Consumer Discretionary (+20.8%), which was the top-performing sector.
– Russia (+12.5%), Brazil (+8.1%), and India (+7.2%) were up. – Turkey (-3.15%) posted negative returns as the government’s
unorthodox policy response to the country’s economic problems continued.
Source: MSCI
MSCI EAFEMSCI ACWI
MSCI ACWI ex USAMSCI EAFE Small Cap
MSCI ACWI ex US Small CapMSCI Europe ex UK
MSCI UKMSCI Pacific ex Japan
MSCI JapanMSCI Emerging Markets
MSCI ChinaMSCI Frontier Markets
Global Equity: Quarterly Returns
10.0%12.2%
10.3%10.7%
10.3%10.5%
11.9%12.2%
6.7%9.9%
17.7%6.9%
MSCI EAFEMSCI ACWI
MSCI ACWI ex USAMSCI EAFE Small Cap
MSCI ACWI ex US Small CapMSCI Europe ex UK
MSCI UKMSCI Pacific ex Japan
MSCI JapanMSCI Emerging Markets
MSCI ChinaMSCI Frontier Markets
Global Equity: Annual Returns
-3.7%2.6%
-4.2%-9.4%-9.5%
-5.1%-0.1%
4.6%-7.8%-7.4%
-6.2%-15.0%
Knowledge. Experience. Integrity.
U.S. Fixed Income Performance
● Risk markets sharply reversed from the fourth quarter sell-off supported by the Fed’s unexpected dovish comments, relatively solid U.S. economic growth data, and tempered concern over a slowing China.
● U.S. rates fell and portions of the yield curve inverted– 2-year U.S. Treasury Note declined 21 bps to close at 2.27% – 10-year Treasury Note finished at 2.41% after a 30 bps decrease– 30-year Treasury closed at 2.81%, down by 21 bps from Q4– Portions of the yield curve inverted but spread between the 2-year
and 10-year Treasury note remained positive at 14 bps as of March
● Bloomberg Barclays Aggregate rose 2.9% with investment grade corporates up the most.
● High yield corporates soared (+7.3%)– Given the risk-on environment, below-investment grade issuers were
the best performers, aided by strong asset inflows.
● TIPS outperformed nominal Treasuries as the Fed’s balanced stance and unexpected wage pressures stoked higher inflation expectation.
● Municipal bonds helped by a favorable supply/demand backdrop – Mutual funds absorbed roughly $24 billion in inflows, the best first
quarter since data collection began in 1992.
Sources: Bloomberg Barclays, Credit Suisse
Bloomberg Aggregate
Bloomberg Treasury
Bloomberg Muni
Bloomberg ABS
Bloomberg Mortgage
Bloomberg Corporate
Bloomberg Corp High Yield
Bloomberg US TIPS
U.S. Fixed Income: Quarterly Returns
2.9%
2.1%
2.9%
1.5%
2.2%
5.1%
7.3%
3.2%
Bloomberg Aggregate
Bloomberg Treasury
Bloomberg Muni
Bloomberg ABS
Bloomberg Mortgage
Bloomberg Corporate
Bloomberg Corp High Yield
Bloomberg US TIPS
U.S. Fixed Income: Annual Returns
4.5%
4.2%
5.4%
3.7%
4.4%
4.9%
5.9%
2.7%
Knowledge. Experience. Integrity.
Diversification Remains Key Risk ControlPeriodic Table of Investment Returns 2005 - 2019
Source: Callan LLC, Bloomberg Barclays, FTSE Russell, MSCI, Standard & Poor’s
● S&P 500 Index ● Russell 2000 Index ● MSCI World ex USA ● MSCI Emerging Markets ● Bloomberg Barclays US Aggregate Bond ● Bloomberg Barclays High Yield Bond Index ● Bloomberg Barclays Global Aggregate ex US Bond Index ● FTSE EPRA/NAREIT Developed REIT Index ● 3-month Treasury Bill
EquityLarge Cap
4.91%
EquityLarge Cap
15.79%
EquityLarge Cap
5.49%
EquityLarge Cap
-37.00%
EquityLarge Cap
26.47%
EquityLarge Cap
15.06%
EquityLarge Cap
2.11%
EquityLarge Cap
16.00%
EquityLarge Cap
32.39%
EquityLarge Cap
13.69%
EquityLarge Cap
1.38%
EquityLarge Cap
11.96%
EquityLarge Cap
21.83%
EquityLarge Cap
-4.38%
EquityLarge Cap
13.65%
EquitySmall Cap
4.55%
EquitySmall Cap
18.37%
EquitySmall Cap
-1.57%
EquitySmall Cap
-33.79%
EquitySmall Cap
27.17%
EquitySmall Cap
26.85%
EquitySmall Cap
-4.18%
EquitySmall Cap
16.35%
EquitySmall Cap
38.82%
EquitySmall Cap
4.89%
EquitySmall Cap
-4.41%
EquitySmall Cap
21.31%
EquitySmall Cap
14.65%
EquitySmall Cap
-11.01%
EquitySmall Cap
14.58%
EquityNon-U.S.
14.47%
EquityNon-U.S.
25.71%
EquityNon-U.S.
12.44%
EquityNon-U.S.
-43.56%
EquityNon-U.S.
33.67%
EquityNon-U.S.
8.95%
EquityNon-U.S.
-12.21%
EquityNon-U.S.
16.41%
EquityNon-U.S.
21.02%
EquityNon-U.S.
-4.32%
EquityNon-U.S.
-3.04%
EquityNon-U.S.
2.75%
EquityNon-U.S.
24.21%
EquityNon-U.S.
-14.09%
EquityNon-U.S.
10.45%
IncomeU.S. Fixed
2.43%
IncomeU.S. Fixed
4.33%
IncomeU.S. Fixed
6.97%
IncomeU.S. Fixed
5.24%
IncomeU.S. Fixed
5.93%
IncomeU.S. Fixed
6.54%
IncomeU.S. Fixed
7.84%
IncomeU.S. Fixed
4.21%
IncomeU.S. Fixed
-2.02%
IncomeU.S. Fixed
5.97%
IncomeU.S. Fixed
0.55%
IncomeU.S. Fixed
2.65%
IncomeU.S. Fixed
3.54%
IncomeU.S. Fixed
0.01%
IncomeU.S. Fixed
2.94%
Market EquityEmerging
34.00%
Market EquityEmerging
32.17%
Market EquityEmerging
39.38%
Market EquityEmerging
-53.33%
Market EquityEmerging
78.51%
Market EquityEmerging
18.88%
Market EquityEmerging
-18.42%
Market EquityEmerging
18.23%
Market EquityEmerging
-2.60%
Market EquityEmerging
-2.19%
Market EquityEmerging
-14.92%
Market EquityEmerging
11.19%
Market EquityEmerging
37.28%
Market EquityEmerging
-14.57%
Market EquityEmerging
9.93%
High Yield
2.74%
High Yield
11.85%High Yield
1.87%
High Yield
-26.16%
High Yield
58.21%
High Yield
15.12%
High Yield
4.98%
High Yield
15.81%
High Yield
7.44%High Yield
2.45%
High Yield
-4.47%
High Yield
17.13%
High Yield
7.50%
High Yield
-2.08%
High Yield
7.26%
Real Estate
15.35%
Real Estate
42.12%
Real Estate
-7.39%
Real Estate
-48.21%
Real Estate
37.13%
Real Estate
19.63%
Real Estate
-6.46%
Real Estate
27.73%
Real Estate
3.67%
Real Estate
15.02%
Real Estate
-0.79%Real Estate
4.06%Real Estate
10.36%
Real Estate
-5.63%
Real Estate
14.59%
Fixed IncomeNon-U.S.
-8.65%
Fixed IncomeNon-U.S.
8.16%
Fixed IncomeNon-U.S.
11.03%
Fixed IncomeNon-U.S.
4.39%
Fixed IncomeNon-U.S.
7.53%
Fixed IncomeNon-U.S.
4.95%
Fixed IncomeNon-U.S.
4.36%
Fixed IncomeNon-U.S.
4.09%
Fixed IncomeNon-U.S.
-3.08%
Fixed IncomeNon-U.S.
-3.09%
Fixed IncomeNon-U.S.
-6.02%
Fixed IncomeNon-U.S.
1.49%
Fixed IncomeNon-U.S.
10.51%
Fixed IncomeNon-U.S.
-2.15%
Fixed IncomeNon-U.S.
1.52%
EquivalentCash
3.07%
EquivalentCash
4.85%
EquivalentCash
5.00%
EquivalentCash
2.06%
EquivalentCash
0.21%
EquivalentCash
0.13%
EquivalentCash
0.10%
EquivalentCash
0.11%
EquivalentCash
0.07%
EquivalentCash
0.03%
EquivalentCash
0.05%
EquivalentCash
0.33%
EquivalentCash
0.86%
EquivalentCash
1.87%
EquivalentCash
0.60%
2005 2006 2007 2008 2009 2010 2011 2012 2013 2014 2015 2016 2017 2018 1 Qtr. 2019
OSGP Review
9Knowledge. Experience. Integrity.
OSGP Investment Structure
Risk Spectrum Tier I. Asset Allocation Options Tier II. Core Options Tier III. Specialty Options
Conservative Capital PreservationShort-Term Fixed Income Option
Stable Value Option
Target Date Funds Fixed Income
LifePath Portfolios Active Fixed Income Option
Broad U.S. Equity Specialty Equity
Stock Index Option - Russell 3000 Socially Responsible Investment Option
Large Cap U.S. Equity
Large Company Value Stock Option
Large Company Growth Stock Option
Small Cap U.S. EquitySmall Company Stock Option Inflation Sensitive
International Equity Real Return OptionAggressive International Stock Option
Brokerage WindowSchwab PCRA
OSGP Investment Structure
10Knowledge. Experience. Integrity.
Asset Distribution
*DFA consists of 2 different strategies within the International Stock Option
March 31, 2019 December 31, 2018Market Value Weight Net New Inv. Inv. Return Market Value Weight
Tier I - Asset Allocation Options
Target Date Funds $699,797,852 31.06% $4,731,766 $54,094,771 $640,971,315 31.31%LifePath Index Retirement Fund L 185,627,534 8.24% (4,140,581) 11,430,164 178,337,951 8.71%LifePath Index 2020 Fund L 137,437,155 6.10% (1,450,892) 8,667,572 130,220,475 6.36%LifePath Index 2025 Fund L 114,498,729 5.08% 2,766,946 8,398,956 103,332,827 5.05%LifePath Index 2030 Fund L 85,022,458 3.77% 1,836,445 7,368,738 75,817,275 3.70%LifePath Index 2035 Fund L 64,090,674 2.84% 1,744,743 6,285,088 56,060,844 2.74%LifePath Index 2040 Fund L 44,263,123 1.96% 1,801,212 4,479,872 37,982,039 1.86%LifePath Index 2045 Fund L 29,729,344 1.32% 1,195,302 3,183,855 25,350,187 1.24%LifePath Index 2050 Fund L 24,446,004 1.08% 579,128 2,652,341 21,214,535 1.04%LifePath Index 2055 Fund L 8,887,368 0.39% 28,024 1,018,798 7,840,546 0.38%LifePath Index 2060 Fund L 5,795,462 0.26% 371,438 609,388 4,814,637 0.24%
Tier II - Core Inv estment Options
Short-Term Fixed Income Option State Street 10,827 0.00% (54,798,838) 365,852 54,443,813 2.66%
Stable Value Option Galliard 286,709,701 12.72% 59,702,428 573,372 226,433,902 11.06%
Activ e Fixed Income Option BlackRock / DoubleLine / Wellington 138,286,933 6.14% 9,068,838 3,078,775 126,139,319 6.16%
Stock Index Option BlackRock 262,142,082 11.63% (2,721,785) 33,120,019 231,743,848 11.32%
Large Company Value Stock Option BlackRock 195,937,393 8.70% (2,529,500) 21,411,580 177,055,313 8.65%
Large Company Growth Stock Option BlackRock 268,161,664 11.90% (1,637,140) 37,709,860 232,088,944 11.34%
Small Company Stock Option BlackRock / Callan / DFA 245,419,718 10.89% (6,435,083) 32,217,783 219,637,018 10.73%
International Stock Option AQR / Arrowstreet / DFA* / Lazard 117,058,900 5.19% (218,824) 10,920,548 106,357,176 5.19%
Tier III - Specialty Options
Socially Responsible Inv estment Option TIAA-CREF 16,001,933 0.71% 713,324 1,972,066 13,316,543 0.65%
Real Return Option State Street 4,010,306 0.18% (89,596) 230,834 3,869,068 0.19%
Brokerage Window 19,867,788 0.88% 2,821,555 1,754,487 15,291,746 0.75%
Total Fund $2,253,405,095 100.0% $8,607,144 $197,449,947 $2,047,348,004 100.0%
11Knowledge. Experience. Integrity.
Summary ReturnsPeriods Ended March 31, 2019
Last Quarter Last Year Last 3 Years Last 5 Years YearsLast 10
DateInception
InceptionSince
Tier I - Asset Allocation Options
LifePath Index Retirement Fund L 6.73 4.05 5.55 4.20 7.31 7/1/05 5.22LifePath Index Retirement Benchmark 6.68 4.07 5.52 4.18 7.33 10/1/93 6.11
LifePath Index 2020 Fund L 7.09 3.97 6.27 4.60 8.93 7/1/05 5.57LifePath Index 2020 Benchmark 7.03 3.98 6.23 4.56 8.93 10/1/93 6.84
LifePath Index 2025 Fund L 8.40 4.21 7.27 5.16 9.81 7/1/06 5.86LifePath Index 2025 Benchmark 8.35 4.20 7.21 5.10 9.80 10/1/93 7.04
LifePath Index 2030 Fund L 9.50 4.37 8.18 5.64 10.58 7/1/05 6.19LifePath Index 2030 Benchmark 9.46 4.37 8.08 5.55 10.56 10/1/93 7.23
LifePath Index 2035 Fund L 10.56 4.54 9.04 6.10 11.29 7/1/06 6.34LifePath Index 2035 Benchmark 10.49 4.50 8.91 5.98 11.24 10/1/93 7.41
LifePath Index 2040 Fund L 11.49 4.63 9.79 6.47 11.90 7/1/05 6.63LifePath Index 2040 Benchmark 11.46 4.62 9.64 6.34 11.85 10/1/93 7.58
LifePath Index 2045 Fund L 12.20 4.66 10.24 6.70 12.45 4/1/08 6.15LifePath Index 2045 Benchmark 12.18 4.61 10.06 6.55 12.37 10/1/93 7.76
LifePath Index 2050 Fund L 12.52 4.68 10.38 6.79 12.83 10/1/07 5.60LifePath Index 2050 Benchmark 12.49 4.61 10.20 6.65 12.77 10/1/93 7.90
LifePath Index 2055 Fund L 12.55 4.68 10.37 6.79 -- 4/1/10 9.56LifePath Index 2055 Benchmark 12.54 4.62 10.21 6.64 -- 7/1/10 10.43
LifePath Index 2060 Fund L 12.55 4.67 10.36 -- -- 10/1/14 6.55LifePath Index 2060 Benchmark 12.54 4.62 10.21 -- -- 1/1/15 6.84
12Knowledge. Experience. Integrity.
Summary ReturnsPeriods Ended March 31, 2019
Last Quarter Last Year Last 3 Years Last 5 Years Last 10 Years Last 15 YearsTier II - Core Investment Options
Stable Value Option 0.61 2.34 2.03 1.85 1.85 2.723-month Treasury Bill 0.60 2.12 1.19 0.74 0.43 1.35
Active Fixed Income Option 2.88 4.47 2.88 3.23 5.15 4.39Bloomberg Aggregate Index 2.94 4.48 2.03 2.74 3.77 3.89
Stock Index Option 14.07 8.84 13.57 10.44 16.08 8.73Russell 3000 Index 14.04 8.77 13.48 10.36 16.00 8.68
Large Company Value Stock Option 11.98 5.86 10.54 7.60 14.73 7.79Russell 1000 Value Index 11.93 5.67 10.45 7.72 14.52 7.63
Large Company Growth Stock Option 16.14 12.72 16.52 13.19 17.30 9.30Russell 1000 Growth Index 16.10 12.75 16.53 13.50 17.52 9.71
Small Company Stock Option 14.31 1.47 12.12 6.84 15.51 8.80Russell 2000 Index 14.58 2.05 12.92 7.05 15.36 8.04
International Stock Option 10.34 (6.60) 7.10 2.69 9.16 5.36MSCI ACWI ex US Index 10.31 (4.21) 8.09 2.57 8.85 5.58
Tier III - Specialty Options
Socially Responsible Investment Option 13.92 7.83 13.07 -- -- --Russell 3000 Index 14.04 8.77 13.48 10.36 16.00 8.68
Real Return Option 5.82 0.21 4.30 -- -- --Consumer Price Index + 3% 1.93 4.77 5.19 4.28 4.81 5.05
13Knowledge. Experience. Integrity.
Investment Options Fee Summary
*Fee data provided by OST.
Asset Class and Strategy
Total Annual Operating
Expense Ratio*
Institutional Peer Group
Median
Asset Allocation Options LifePath Index Retirement, 2020 – 2060 Funds; L 0.090% 0.16% Capital Preservation Stable Value Option 0.347% 0.63% Fixed Income Active Fixed Income Option 0.170% 0.76% U.S. Large Cap Equity Stock Index Option 0.038% 0.05%Large Company Value Stock Option 0.029% 0.05% Large Company Growth Stock Option 0.029% 0.05% U.S. Small Cap Equity Small Company Stock Option 0.395% 1.15% International Equity International Stock Option 0.541% 1.10% Specialty Options Socially Responsible Investment Option 0.170% 0.90% Real Return Option 0.220% 0.65%
OSGP Investment Option Performance
15Knowledge. Experience. Integrity.
BlackRock LifePath Index Target Date Funds Glide Path Analysis
% P
ure
Equ
ity
0%
25%
50%
75%
100%
40 30 20 10 0Retirement
-10 -20Years Until Retirement
Callan Glide Path Universe (ALL)
Callan Consensus ALL Glidepath LifePath Index Fund
0% 0%
25% 25%
50% 50%
75% 75%
100% 100%
Years Until Retirement40 30 20 10 0
Retirement-10 -20
% W
eigh
t
Real AssetsDomestic FixedReal EstateIntl EquityDomestic Broad Eq
Equity Rolldown Analysis
Macro-Level Asset Allocation Glide Path
16Knowledge. Experience. Integrity.
LifePath Index Retirement FundPeriods Ended March 31, 2019
Performance vs Callan Target Date Retirement Income (Institutional Net)
Last Quarter Last Year Last 3 Years Last 5 Years Last 7 YearsYears
Last 10Years
Last 13 1/42
3
4
5
6
7
8
9
10th Percentile 7.26 4.65 6.10 4.50 5.40 8.14 5.2725th Percentile 6.50 4.19 5.40 4.18 4.96 7.51 5.05
Median 5.90 3.58 4.96 3.72 4.22 6.57 4.4575th Percentile 5.20 3.04 4.53 3.20 3.72 5.87 3.9090th Percentile 4.45 2.58 3.65 2.74 2.96 5.44 2.97
LifePath Index Retirement Fund L 6.73 4.05 5.55 4.20 4.83 7.31 5.27
LifePath Index Retirement Benchmark 6.68 4.07 5.52 4.18 4.80 7.33 5.19
(17)
(30)
(21)
(25)
(27)
(33)
(10)
(17)
(29)
(22)
(25)
(27)
(32)
(13)
17Knowledge. Experience. Integrity.
LifePath Index Retirement FundTarget Asset Allocation
Macro-Level Asset Allocation
Micro-Level Asset Allocation
0%
10%
20%
30%
40%
50%
60%
70%
80%
LifePath Index Retirement Fund L - Target
25.1
10.7
0.5
60.0
3.7
Callan Tgt Dt Idx 2010
22.5
10.4
1.8
53.4
5.4 3.3 2.0 1.1
Domestic Broad Eq Intl Equity Real Estate Domestic Fixed Intl Fixed-Inc Stable Value/Cash Absolute Return/GTAA Real Assets
0%
10%
20%
30%
40%
50%
60%
70%
LifePath Index Retirement Fund L - Target
19.5
5.78.7
1.9 0.5
51.2
8.83.7
Callan Tgt Dt Idx 2010
18.0
4.38.4
2.0 1.2 0.6
34.1
8.73.1 1.1 0.2
7.710.7
Large Cap Broad Eq Small/Mid Cap Broad Non-US Developed Emerging Markets Other-Real Estate Global REITS Core Bond TIPS Cash Equiv
Commodities Intl Equity Domestic Broad Eq Other Other-Dom Fixed
18Knowledge. Experience. Integrity.
LifePath Index 2030 FundPeriods Ended March 31, 2019
Performance vs Callan Target Date 2030 (Institutional Net)
Last Quarter Last Year Last 3 Years Last 5 Years Last 7 Years Last 10 YearsYears
Last 13 1/40
2
4
6
8
10
12
14
10th Percentile 10.39 4.83 9.94 6.87 8.85 12.58 6.6825th Percentile 9.87 4.16 9.16 6.32 8.19 11.86 6.35
Median 9.49 3.51 8.54 5.94 7.72 11.32 5.9675th Percentile 8.85 2.80 7.90 5.42 7.01 10.56 5.4790th Percentile 8.34 2.24 7.47 4.76 6.44 9.90 5.31
LifePath Index 2030 Fund L 9.50 4.37 8.18 5.64 6.94 10.58 6.17
LifePath Index 2030 Benchmark 9.46 4.37 8.08 5.55 6.88 10.56 5.77
(50)
(21)
(65)
(62)
(77)
(74)
(39)
(53)
(21)
(69)
(67)
(79)
(75)
(55)
19Knowledge. Experience. Integrity.
LifePath Index 2030 FundTarget Asset Allocation
Macro-Level Asset Allocation
Micro-Level Asset Allocation
0%
10%
20%
30%
40%
50%
60%
LifePath Index 2030 Fund L - Target
36.9
20.2
6.5
32.5
3.9
Callan Tgt Dt Idx 2030
41.9
21.7
2.4
27.1
3.2 1.1 1.5 1.2
Domestic Broad Eq Intl Equity Real Estate Domestic Fixed Intl Fixed-Inc Stable Value/Cash Absolute Return/GTAA Real Assets
0%
10%
20%
30%
40%
50%
LifePath Index 2030 Fund L - Target
30.2
6.7
16.6
3.66.5
28.0
4.4 3.9
Callan Tgt Dt Idx 2030
33.2
8.6
17.0
4.41.3 1.1
19.9
2.5 1.1 1.2 0.2 0.14.7 4.7
Large Cap Broad Eq Small/Mid Cap Broad Non-US Developed Emerging Markets Other-Real Estate Global REITS Core Bond TIPS Cash Equiv
Commodities Intl Equity Domestic Broad Eq Other Other-Dom Fixed
20Knowledge. Experience. Integrity.
LifePath Index 2050 FundPeriods Ended March 31, 2019
Performance vs Callan Target Date 2050 (Institutional Net)
Last Quarter Last Year Last 3 Years Last 5 Years Last 7 Years Last 10 Years Last 11 Years0.0
2.5
5.0
7.5
10.0
12.5
15.0
10th Percentile 12.52 4.66 11.04 7.37 9.65 13.17 7.2625th Percentile 12.02 3.80 10.65 7.11 9.12 12.75 7.04
Median 11.59 3.06 10.13 6.72 8.78 12.45 6.7075th Percentile 11.12 2.15 9.62 6.30 8.41 11.89 6.0790th Percentile 10.80 1.33 9.32 5.64 7.24 10.95 5.47
LifePath Index 2050 Fund L 12.52 4.68 10.38 6.79 8.62 12.83 6.36
LifePath Index 2050 Benchmark 12.49 4.61 10.20 6.65 8.49 12.77 6.28
(10)
(9)
(42)
(42)
(64)
(15)
(63)
(10)
(11)
(48)
(53)
(73)
(23)
(67)
21Knowledge. Experience. Integrity.
LifePath Index 2050 FundTarget Asset Allocation
Macro-Level Asset Allocation
Micro-Level Asset Allocation
0%
10%
20%
30%
40%
50%
60%
70%
80%
LifePath Index 2050 Fund L - Target
48.8
30.7
14.4
1.8 4.3
Callan Tgt Dt Idx 2050
54.6
30.7
2.98.1
1.0 0.5 0.9 1.3
Domestic Broad Eq Intl Equity Real Estate Domestic Fixed Intl Fixed-Inc Stable Value/Cash Absolute Return/GTAA Real Assets
0%
10%
20%
30%
40%
50%
60%
LifePath Index 2050 Fund L - Target
40.3
8.5
25.2
5.5
14.4
1.7 0.14.3
Callan Tgt Dt Idx 2050
42.9
11.6
23.6
6.81.3 1.7
6.10.3 0.5 1.3 0.3 0.1 1.9 1.7
Large Cap Broad Eq Small/Mid Cap Broad Non-US Developed Emerging Markets Other-Real Estate Global REITS Core Bond TIPS Cash Equiv
Commodities Intl Equity Domestic Broad Eq Other Other-Dom Fixed
22Knowledge. Experience. Integrity.
Stable Value OptionPeriods Ended March 31, 2019
Last Quarter Last Year Last 3 Years Last 5 Years Last 7 Years Last 10 Years0.0
0.5
1.0
1.5
2.0
2.5
3.0
10th Percentile 0.59 2.37 2.07 1.99 2.08 2.5425th Percentile 0.54 2.10 1.83 1.74 1.87 2.26
Median 0.48 1.90 1.65 1.48 1.49 1.7075th Percentile 0.45 1.73 1.49 1.31 1.30 1.4990th Percentile 0.41 1.56 1.25 1.04 1.09 1.35
Stable Value Option 0.61 2.34 2.03 1.85 1.80 1.85
3-month Treasury Bill 0.60 2.12 1.19 0.74 0.56 0.43
(4)
(11)
(12)(21) (27) (45)
(6)
(23)
(92)
(99)(99)
(100)
Performance vs Callan Stable Value CT (Institutional Net)
23Knowledge. Experience. Integrity.
Active Fixed Income OptionPeriods Ended March 31, 2019
Performance vs Callan Core Plus Mutual Funds (Institutional Net)
Last Quarter Last Year Last 3 Years Last 5 Years Last 7 Years Last 10 Years1
2
3
4
5
6
7
8
10th Percentile 4.72 4.83 4.65 4.01 4.28 7.4525th Percentile 3.92 4.58 3.40 3.36 3.74 6.27
Median 3.58 4.34 2.99 2.97 3.22 5.1975th Percentile 3.22 3.80 2.56 2.72 2.85 4.7190th Percentile 2.79 3.54 2.12 2.48 2.58 4.33
Active Fixed Income Option 2.88 4.47 2.88 3.23 3.11 5.15
Bloomberg Aggregate Index 2.94 4.48 2.03 2.74 2.48 3.77
(87)
(38)
(53)(34) (56)
(51)
(86)
(38)
(95)
(71)(94)
(95)
24Knowledge. Experience. Integrity.
Active Fixed Income OptionPortfolio Characteristics as of March 31, 2019
0 5 10 15 20 25 30 35 40 45
Agency RMBS
Corporate
US Treasuries
Non-Agency RMBS
Asset Backed
CMBS
Govt. Related
CMOs
Bank Loans
Tax-Exempt Muni
Other
Cash
March 31, 2019Sector Allocation
Active Fixed Income Option
Bloomberg Aggregate Index
Callan Core Plus Mutual Funds
32.7
18.4
17.4
14.4
5.0
4.8
2.7
1.3
0.6
0.3
0.0
1.9
27.8
24.7
39.1
0.0
0.5
2.0
6.0
0.0
0.0
0.0
0.0
0.0
19.6
28.9
15.1
1.6
5.3
3.8
5.2
0.0
0.0
0.0
0.0
3.6
AA+
AA
AA-
A+
A
A-10th Percentile AA25th Percentile AA
Median AA75th Percentile A90th Percentile A
Active Fixed Income Option AA-
Bloomberg Aggregate Index AA+
vs Callan Core Plus Mutual FundsQuality Ratings
(61)
(5)
25Knowledge. Experience. Integrity.
Stock Index OptionPeriods Ended March 31, 2019
Last Quarter Last Year Last 3 Years Last 5 Years Last 7 Years Last 10 Years(5)
0
5
10
15
20
10th Percentile 16.57 10.22 13.96 10.24 12.84 16.4325th Percentile 14.97 7.95 12.73 9.26 11.95 15.46
Median 13.30 5.00 11.03 8.11 10.91 14.4775th Percentile 11.97 2.07 9.23 6.35 9.75 13.3690th Percentile 10.47 (1.66) 7.42 4.20 7.69 11.61
Stock Index Option 14.07 8.84 13.57 10.44 12.70 16.08
Russell 3000 Index 14.04 8.77 13.48 10.36 12.63 16.00
(35)
(19)
(13)
(7)
(12)
(13)
(35)
(19)
(14)
(8)
(12)
(14)
Performance vs Callan All Cap Core Mutual Funds (Institutional Net)
26Knowledge. Experience. Integrity.
Large Company Value Stock OptionPeriods Ended March 31, 2019
Performance vs Callan Large Cap Value Mutual Funds (Institutional Net)
Last Quarter Last Year Last 3 Years Last 5 Years Last 7 Years Last 10 Years(2.5)
0.0
2.5
5.0
7.5
10.0
12.5
15.0
17.5
10th Percentile 13.47 8.47 13.23 9.54 12.30 15.2425th Percentile 12.81 7.47 11.94 8.63 11.71 14.73
Median 11.86 4.31 10.77 7.44 10.66 13.7475th Percentile 10.48 1.52 9.97 6.69 10.32 12.8190th Percentile 9.76 (0.44) 8.92 6.25 9.47 11.96
Large Company Value Stock Option 11.98 5.86 10.54 7.60 11.53 14.73
Russell 1000 Value Index 11.93 5.67 10.45 7.72 11.14 14.52
(40)
(40)
(56)
(42)
(29)
(25)
(41)
(41)
(58)
(38)
(33)
(33)
27Knowledge. Experience. Integrity.
Large Company Growth Stock OptionPeriods Ended March 31, 2019
Performance vs Callan Large Cap Growth Mutual Funds (Institutional Net)
Last Quarter Last Year Last 3 Years Last 5 Years Last 7 Years Last 10 Years6
8
10
12
14
16
18
20
22
10th Percentile 18.35 15.36 19.80 14.58 15.81 18.9625th Percentile 17.52 13.97 18.52 13.93 14.40 17.38
Median 16.51 12.23 16.80 12.82 13.63 16.4775th Percentile 15.81 9.54 14.93 11.27 12.50 15.7490th Percentile 14.38 7.69 12.34 9.77 11.10 14.10
Large Company Growth Stock Option 16.14 12.72 16.52 13.19 14.23 17.30
Russell 1000 Growth Index 16.10 12.75 16.53 13.50 14.34 17.52
(61)
(44)
(52)
(40)(31)
(27)
(62)
(44)
(52)
(33)(28)
(21)
28Knowledge. Experience. Integrity.
Small Company Stock OptionPeriods Ended March 31, 2019
Performance vs Callan Small Cap Mutual Funds (Institutional Net)
Last Quarter Last Year Last 3 Years Last 5 Years Last 7 Years Last 10 Years(10)
(5)
0
5
10
15
20
25
10th Percentile 21.99 15.04 21.05 11.12 13.53 18.5725th Percentile 19.20 10.86 18.12 9.48 12.53 17.12
Median 15.29 3.46 12.38 7.00 10.67 15.9375th Percentile 12.75 (2.01) 8.96 4.87 9.18 14.2890th Percentile 11.33 (4.79) 7.17 2.39 7.32 12.88
Small Company Stock Option 14.31 1.47 12.12 6.84 10.40 15.51
Russell 2000 Index 14.58 2.05 12.92 7.05 10.74 15.36
(58)
(57)
(53)
(53)
(57)
(57)(56)
(55)
(47)
(50)
(48)
(59)
29Knowledge. Experience. Integrity.
Small Company Stock OptionPortfolio Characteristics as of March 31, 2019
0.0 2.5 5.0 7.5 10.0 12.5 15.0 17.5 20.0 22.5
Industrials
Financials
Info. Technology
Cons. Discretionary
Health Care
Materials
Energy
Communication Svcs
Cons. Staples
Real Estate
Utilities
March 31, 2019Sector Allocation
Small Company Stock Option
Russell 2000 Index
Callan Small Cap Mutual Funds
17.8
15.7
15.6
13.9
13.1
4.9
4.9
3.9
3.7
3.6
2.9
17.1
13.6
19.1
12.1
14.3
3.8
2.6
2.2
2.4
3.5
0.0
14.5
17.1
15.6
12.0
16.0
3.8
3.7
3.2
2.8
7.5
3.8
Value Core Growth Total
Large
Mid
Small
Micro
Total
--
--
0.3% (4)
--
0.5% (8)
--
0.8% (12)
--
2.3% (51)
1.5% (7)
4.7% (70)
3.8% (19)
9.5% (113)
7.8% (35)
16.5% (234)
13.1% (61)
16.9% (327)
19.4% (276)
27.7% (470)
29.7% (405)
23.6% (385)
27.0% (352)
68.2% (1182)
76.2% (1033)
5.1% (443)
3.7% (276)
5.3% (574)
4.3% (391)
4.1% (262)
2.7% (212)
14.4% (1279)
10.7% (879)
24.3% (821)
24.6% (559)
38.1% (1118)
37.9% (815)
37.6% (768)
37.5% (599)
100.0% (2707)
100.0% (1973)
Holdings as of March 31, 2019Style Exposure Matrix
-- Small Company Stock Option-- Russell 2000 Index
30Knowledge. Experience. Integrity.
International Stock OptionPeriods Ended March 31, 2019
Performance vs Callan Non US Equity Mutual Funds (Institutional Net)
Last Quarter Last Year Last 3 Years Last 5 Years Last 7 Years Last 10 Years(15)
(10)
(5)
0
5
10
15
20
10th Percentile 13.17 0.01 9.36 5.10 7.59 11.6325th Percentile 11.64 (2.93) 8.32 3.68 6.23 10.41
Median 10.64 (5.75) 6.50 2.17 5.25 9.0675th Percentile 9.50 (9.17) 5.31 1.17 4.74 8.1890th Percentile 7.88 (10.92) 4.48 0.20 4.02 7.60
International Stock Option 10.34 (6.60) 7.10 2.69 5.44 9.16
MSCI ACWI ex US Index 10.31 (4.21) 8.09 2.57 4.73 8.85
(52)
(60)
(38)
(43)(45)
(47)(53)
(35)
(29)
(47)(75)
(58)
31Knowledge. Experience. Integrity.
International Stock OptionPortfolio Characteristics as of March 31, 2019
0 5 10 15 20 25
Financials
Industrials
Cons. Discretionary
Info. Technology
Health Care
Cons. Staples
Energy
Materials
Communication Svcs
Utilities
Real Estate
Misc.
March 31, 2019Sector Allocations
International Stock Option
MSCI ACWI ex US Index
Callan Non US Equity Mutual Funds
18.5
13.2
10.1
8.6
8.9
8.7
8.3
9.2
6.7
4.2
3.5
0.2
18.5
15.1
11.5
9.2
10.9
10.6
4.9
6.5
6.0
1.2
1.4
0.0
21.6
11.7
11.0
8.4
8.4
10.0
7.5
7.7
6.9
3.3
3.5
0.0
Value Core Growth Total
Europe
N. America
Pacific
Emerging
Total
13.5% (672)
14.3% (143)
13.4% (654)
10.6% (123)
20.0% (572)
17.8% (180)
46.8% (1898)
42.7% (446)
1.2% (145)
1.6% (28)
2.9% (152)
3.4% (36)
2.0% (103)
1.8% (29)
6.1% (400)
6.8% (93)
7.2% (1240)
8.6% (149)
6.2% (937)
6.5% (141)
8.9% (849)
9.5% (181)
22.3% (3026)
24.7% (471)
7.7% (1833)
7.3% (379)
8.6% (1615)
8.0% (366)
8.5% (1325)
10.4% (364)
24.8% (4773)
25.7% (1109)
29.5% (3890)
31.9% (699)
31.1% (3358)
28.5% (666)
39.4% (2849)
39.6% (754)
100.0% (10097)
100.0% (2119)
Holdings as of March 31, 2019Regional Exposure Matrix
-- International Stock Option-- MSCI ACWI exUS Index
32Knowledge. Experience. Integrity.
Socially Responsible Investment OptionPeriods Ended March 31, 2019
Performance vs Callan All Cap Core Mutual Funds (Institutional Net)
Last Quarter Last Year Last 3 Years Last 5 Years Last 7 Years Last 10 Years(5)
0
5
10
15
20
10th Percentile 16.57 10.22 13.96 10.24 12.84 16.4325th Percentile 14.97 7.95 12.73 9.26 11.95 15.46
Median 13.30 5.00 11.03 8.11 10.91 14.4775th Percentile 11.97 2.07 9.23 6.35 9.75 13.3690th Percentile 10.47 (1.66) 7.42 4.20 7.69 11.61
Socially Responsible Investment Option 13.92 7.83 13.07 -- -- --
Russell 3000 Index 14.04 8.77 13.48 10.36 12.63 16.00
(37)
(25)
(20)
(35)
(19)
(14)
(8)
(12)
(14)
33Knowledge. Experience. Integrity.
Socially Responsible Investment OptionPortfolio Characteristics as of March 31, 2019
0 5 10 15 20 25
Info. Technology
Health Care
Financials
Cons. Discretionary
Industrials
Communication Svcs
Cons. Staples
Energy
Utilities
Real Estate
Materials
March 31, 2019Sector Allocations
Socially Responsible Investment Option
Russell 3000 Index
Callan All Cap Core Mutual Funds
21.9
14.0
14.7
9.2
10.3
7.7
6.3
5.1
3.4
4.1
3.2
18.5
13.5
14.1
11.0
11.1
7.4
5.6
4.3
1.4
1.8
3.3
21.1
14.3
13.2
10.4
10.1
9.1
6.5
5.1
3.2
4.0
3.0
Value Core Growth Total
Large
Mid
Small
Micro
Total
25.1% (57)
25.7% (105)
25.8% (60)
21.1% (97)
26.6% (44)
29.0% (91)
77.5% (161)
75.8% (293)
4.6% (66)
5.1% (175)
5.0% (71)
5.8% (204)
6.8% (78)
5.9% (209)
16.4% (215)
16.7% (588)
1.2% (95)
1.9% (336)
1.7% (106)
2.6% (461)
2.5% (95)
2.2% (378)
5.4% (296)
6.7% (1175)
0.2% (25)
0.3% (277)
0.3% (39)
0.3% (392)
0.2% (25)
0.2% (212)
0.7% (89)
0.8% (881)
31.1% (243)
32.9% (893)
32.8% (276)
29.8% (1154)
36.1% (242)
37.3% (890)
100.0% (761)
100.0% (2937)
Holdings as of March 31, 2019Style Exposure Matrix
-- Socially Responsible Investment Option-- Russell 3000 Index
34Knowledge. Experience. Integrity.
Real Return OptionPeriods Ended March 31, 2019
0
2
4
6R
etur
ns
Last Quarter Last Year Last 3 Years
Real Return Option Consumer Price Index + 3%
5.82
0.21
4.30
1.93
4.77
5.19
• The Real Return Option was reconstituted during the first quarter of this year
• The performance history of the option no longer reflects what we can except going forward
35Knowledge. Experience. Integrity.
Real Return OptionPeriods Ended March 31, 2019
Performance vs Callan Real Assets Database (Institutional Net)
(10%)
(5%)
0%
5%
10%
15%
Last Quarter Last Last 3 Years Last 5 Years Last 7 Years Last 9 YearsYear
A(41)B(41)
(96)
B(33)A(33)
(29)
B(31)A(31)(45)
B(49)A(51)
(5)
B(60)A(64)
(9)B(55)A(59)
(4)
10th Percentile 12.63 6.22 7.18 3.20 3.78 4.1225th Percentile 10.10 5.05 6.70 2.15 2.39 3.56
Median 8.70 1.73 5.00 0.49 1.07 2.6975th Percentile 5.85 0.20 3.96 (0.91) (0.77) 0.7590th Percentile 3.44 (4.36) 1.31 (2.26) (1.52) (1.07)
State Street RealAsset Strategy A 9.00 3.87 6.04 0.45 0.57 2.02SSGA Custom
Blended Benchmark B 9.00 4.01 6.09 0.52 0.65 2.38
ConsumerPrice Index + 3% 1.93 4.77 5.19 4.28 4.30 4.67
Defined Contribution Trends
Knowledge. Experience. Integrity.
1Q 2019 DC Trends
Lesson from University Lawsuit – January 21, 2019
Duke University will pay nearly $11 million to settle the 2016 class action filed over management of its 403(b) plan.
Duke University has agreed to settle a lawsuit alleging the university violated the Employee Retirement Income Security Act by causing its defined contribution plan to pay excessive recordkeeping and investment fees. A second lawsuit filed in 2018 alleged that the plan sponsor used plan assets to pay for salaries and fringe benefits of Duke University employees who provided services to the plan. The Duke University lawsuit was one of almost a dozen lawsuits against universities filed by Schlichter, Bogard & Denton in 2016. This represents the 15th settlement out of more than 30 similar complaints filed by Schlichter.
The proposed settlement provides that Duke admits no wrongdoing. In addition to the financial terms of the settlement, Duke agreed to engage an independent consultant to conduct a search for recordkeeping services, make it easier for participants to transfer out of frozen annuity accounts, review the cost of different share classes of mutual funds considered for the plan, and avoid the use of plan assets to pay salaries of Duke employees who work on the plan.
Other defendants in similar university suits have prevailed. Claims against New York University were dismissed after an eight-day trial, although the plaintiffs have appealed. Similar, appeals are pending in claims against the University of Pennsylvania and Northwestern University.
The current litigation environment highlights risks and opportunities for plan sponsors. The cost of litigation is high, and pursuing a settlement may be a viable option for some plan sponsors. Plan sponsors should continue to carefully monitor investment options, confirm plan fees, and follow any written governance documentation, including the IPS. Additionally, plan fiduciaries should document the process and decisions made around vendor selection and fees to demonstrate their due diligence.
Knowledge. Experience. Integrity.
1Q 2019 DC Trends
Gimme Shelter – Another Legislative Proposal Targets an Annuity Safe Harbor – March 7, 2019
An annuity selection safe harbor has been the common theme among recently proposed retirement legislation, such as the Family Savings Act and the Retirement Enhancement and Savings Act. While proposals may come and go, this latest iteration illustrates the continued importance of an annuity selection safe harbor to any proposed retirement legislation.
In theory, the promise of guaranteed income in retirement seems like a great idea. The 2006 Pension Protection Act took steps to limit the fiduciary implications of including annuities in defined contribution (DC) plans by removing the “safest available annuity” requirement. However, according to Callan’s 2019 DC Trends Survey, few plans offer either annuities as a form of distribution payment (10.8%) or as an in-plan guarantee (4.1%). Discomfort around the fiduciary implications of such options consistently ranks as the top reason for the reluctance to add an annuity-type option.
Congress has long heard of this hesitation and once again resurrected legislation aimed at providing an annuity safe harbor. On February 28, Reps. Lisa Blunt Rochester (D-DE) and Tim Walberg (R-MI) proposed legislation in the House to ease the way for annuities within DC plans. The Increasing Access to a Secure Retirement Act (H.R. 1439) would provide a fiduciary safe harbor to the selection of an annuity provider. To qualify for the safe harbor, the fiduciary would need to meet several obligations in the consideration and selection of a provider, including that the cost is reasonable and the insurer is financially capable of satisfying the contract’s obligations. The full text of the proposal is still pending.
As DC plans have matured and participants have taken a greater role in building retirement savings, retirement income has become a key consideration. Plan sponsors should consider the plan objectives and how differing retirement income solutions could support participants.
Knowledge. Experience. Integrity.
1Q 2019 DC Trends
SEC: Investment Managers Must Repay Clients Millions in Settlements – March 14, 2019
The Securities and Exchange Commission (SEC) announced a settlement whereby roughly 80 investment managers will repay over $125 million to clients who utilized higher-cost mutual funds when cheaper funds were available.
The settlement, announced on March 11, focuses on funds with 12b-1 fees, which are embedded into the expense ratio and paid to brokers to distribute mutual funds. At issue is whether advisors adequately disclosed potential conflicts of interest in the sale of higher-cost mutual funds when lower-cost share classes were available.
According to the SEC: “The advisors placed their clients in mutual fund share classes that charged 12b-1 fees—which are recurring fees deducted from the fund’s assets—when lower-cost share classes of the same fund were available to their clients without adequately disclosing that the higher-cost share class would be selected.”
As part of the settlement, the firms avoided SEC penalties while agreeing to pay back the fees. This marks another instance of the SEC waiving penalties when firms cooperate in investigations. As an additional term of the settlement, the companies will determine which investors should be moved to share classes without 12b-1 fees and to correct any shortcomings in disclosures.
This settlement springs from the SEC’s Share Class Selection Disclosure Initiative. Launched in February 2018, this initiative aims to correct potential harm to investors due to share class selection. Although this settlement affects mainly retail investors, it shows that the SEC is focused squarely on abuses related to fees.
Legislating the Student Debt Tsunami – March 20, 2019
Proposed legislation aims to sanction student loan repayment programs, allowing employers to support employee efforts to pay off student loan debt—both their own and any debt taken on for their children—while recognizing that paying down debt may hinder employees’ ability to save for retirement.
One in four Americans has student loans, and the U.S. student debt burden grew to $1.5 trillion in 2018. This issue impacts new employees entering the workforce, career workers, and parents who have borrowed to finance their children’s education. As financial wellness becomes a common theme in employee benefits and as employers look to manage workforce retirement planning, managing student loan debt has become an increasingly significant concern for many employers. Congress has introduced a number of bills that seek to address the widespread student loan debt tsunami. Two key pieces of proposed legislation signal the track that Congress may take:
Knowledge. Experience. Integrity.
1Q 2019 DC Trends
Legislating the Student Debt Tsunami – March 20, 2019 (Continued)
Employer Participation in Repayment Act intends to expand the existing tuition assistance program. Currently, the Education Assistance Program only covers workers pursuing additional education, but does not cover employees who have already acquired student loan debt. The proposed expansion would allow employers to contribute up to $5,250 tax-free to employee student loans per year. However, employer repayment assistance may be considered an uneven employee benefit, providing additional monetary benefits for only those employees who hold student loan debt.
The Retirement Parity for Student Loans Act would allow employers to make matching contributions under 401(k) and 403(b) plans based on ongoing student loan repayments. This bill follows a private letter ruling (PLR) issued by the Internal Revenue Service in 2018. The PLR confirmed that employers can tie employer contributions under a 401(k) plan to the amount of student loan repayments made by the employee outside the plan. However, the PLR only applied to the specific plan requesting the ruling, and only addressed the specific issue and facts presented by the plan sponsor. The Student Loans Act would treat student loan repayments as if they were deferrals into the defined contribution plan, which could then be matched within the plan (rather than the special non-elective contributions described in the PLR). In addition, the Student Loan Act would clarify nondiscrimination testing requirements and safe harbor plans. This type of legislation promotes retirement readiness while recognizing that paying down debt may limit the ability for employees to save for retirement.
Market forces continue to drive innovation in this area. In addition to the legislation described above, some employers are exploring boosting student loan repayments with forfeited vacation time. This perk complements the reality that most Americans don’t use all of their paid time off.
Employers continue to consider how financial benefits support their employees, while looking to balance competing needs. Depending on the employee population and labor planning needs, a student loan repayment program may be a meaningful employee benefit. Plan sponsors should consider how these programs could be implemented, if needed, and how to continually manage them.
Knowledge. Experience. Integrity.
1Q 2019 DC Trends
Another Higher Ed Plan Faces Court Battle – March 25, 2019
Brown University has settled a lawsuit for breach of fiduciary duties under the Employment Retirement Income Security Act (ERISA) for $3.5 million as the plaintiff’s bar continues focusing attention on higher education plans.
The 2017 lawsuit was filed with a series of specific claims, including that the plans offered 199 investment choices in 2014 between Fidelity Investments and TIAA. The plans subsequently reduced the number of choices significantly, but still offered a total of 61 investment options, many of which were proprietary funds from the two recordkeepers. The plaintiffs also alleged that the choice of an older version of the TIAA Traditional Annuity was improper, as alternative versions with higher rates of return and greater liquidity were available.
The university did not admit wrongdoing, but in a statement indicated that it settled the lawsuit given the prospect of years of costly litigation.
Higher education plans continue to be the most recent preferred target of the plaintiff’s bar, and the large fund menus offered within the plans are one of the most consistent targets of new lawsuits.
March 31, 2019
Oregon Savings Growth Plan
Defined Contribution Plan
Investment Measurement Service
Quarterly Review
Information contained herein includes confidential, trade secret and proprietary information. Neither this Report nor any specific information contained herein is
to be used other than by the intended recipient for its intended purpose or disseminated to any other person without Callan’s permission. Certain information
herein has been compiled by Callan and is based on information provided by a variety of sources believed to be reliable for which Callan has not necessarily
verified the accuracy or completeness of or updated. This content may consist of statements of opinion, which are made as of the date they are expressed and
are not statements of fact. This content is for informational purposes only and should not be construed as legal or tax advice on any matter. Any decision you
make on the basis of this content is your sole responsibility. You should consult with legal and tax advisers before applying any of this information to your
particular situation. Past performance is no guarantee of future results. For further information, please see Appendix for Important Information and Disclosures.
Table of ContentsMarch 31, 2019
Capital Markets Review 1
Asset Allocation and Performance
Allocation Across Fund and Changes in Fund Values 11
Asset Distribution Across Investment Managers 12
Performance Across Investment Managers 13
Manager Performance Monitoring Summary 15
Manager Performance Monitoring Summary 17
Investment Option Fee Summary 18
Target Date Funds
LifePath Index Retirement Fund L 24
LifePath Index 2020 Fund L 26
LifePath Index 2025 Fund L 28
LifePath Index 2030 Fund L 30
LifePath Index 2035 Fund L 32
LifePath Index 2040 Fund L 34
LifePath Index 2045 Fund L 36
LifePath Index 2050 Fund L 38
LifePath Index 2055 Fund L 40
LifePath Index 2060 Fund L 42
Stable Value Option
Stable Value Option 44
Active Fixed Income Option
Active Fixed Income Option 49
BlackRock US Debt Index Fund 53
DoubleLine Total Return Bond Fund 57
Wellington Trust Core Bond Plus Fund 61
Stock Index Option
Stock Index Option 66
Large Company Value Stock Option
Large Company Value Stock Option 73
Large Company Growth Stock Option
Large Company Growth Stock Option 80
Table of ContentsMarch 31, 2019
Small Company Stock Option
Small Company Stock Option 87
BlackRock Russell 2000 Index Fund 93
Callan Small Equity Fund 99
DFA US Small Cap Portfolio 105
International Stock Option
International Stock Option 112
Lazard International Equity Fund 119
DFA International Core Equity 127
DFA Emerging Markets Core Equity Fund 135
AQR ACWI ex-US Fund 143
Socially Responsible Option
Socially Responsible Option 152
TIAA-CREF Social Choice Equity Fund 155
Real Return Option
Real Return Option 162
State Street Real Asset Strategy 163
Definitions 166
Callan Research/Education 171
Disclosures
Performance Across Investment Managers 186
Ca
pita
l Ma
rke
ts R
evie
w
Capital Markets Review
Russell 3000
Russell 1000
Russell 1000 Growth
Russell 1000 Value
S&P 500
Russell Midcap
Russell 2500
Russell 2000
U.S. Equity: Quarterly Returns
14.0%
14.0%
16.1%
11.9%
13.6%
16.5%
15.8%
14.6%
Russell 3000
Russell 1000
Russell 1000 Growth
Russell 1000 Value
S&P 500
Russell Midcap
Russell 2500
Russell 2000
U.S. Equity: One-Year Returns
8.8%
9.3%
12.7%
5.7%
9.5%
6.5%
4.5%
2.0%
Source: Standard & Poor’s
U.S. EQUITY
Equity markets dramatically snapped back in the first quarter, driven by the Fed’s unexpected dovish comments in January, solid corporate fundamentals, and low unemployment.
Large Cap U.S. Equity (S&P 500: +13.6%; Russell 1000: +14.0%)
– All sectors delivered double-digit gains with the exception of Financials (+8.6%) and Health Care (+6.6%).
– Consumers remain in good shape, with household debt service as a percentage of disposable income at the lowest level in decades.
– The risk-on market was highlighted by low quality (S&P ratings B or lower) outperforming high quality (B+ or higher) by 440 basis points.
– Surprisingly, Utilities and REITs produced double-digit returns; investors sought yield in the face of a flattening yield curve and the end to rate hikes in the first quarter.
Growth vs. Value (Russell 1000 Growth: +16.1%; Russell 1000 Value: +11.9%)
– The sharp change in Fed rhetoric influenced the stronger performance of growth stocks over value stocks during the quarter. Investors favored companies with stronger earnings prospects to counter a softer economic environment.
– Technology produced strong results, while the outlook for Financials weakened as the yield curve flattened.
Small Cap (Russell 2000: +14.6%; Russell 2000 Growth: +17.1%; Russell 2000 Value: +11.9%)
– Within the Russell 2000 Growth Index, the three largest sectors (Health Care, Consumer Discretionary, and Technology) surged 19%, 17%, and 23%, respectively. Software and biotechnology both posted 25% gains in the quarter; combined they are more than 23% of the benchmark weight.
– Influenced by excessive fourth quarter tax-loss selling, the market experienced a strong “January effect”—where last year’s losers became January 2019’s winners.
Capital Market Overview March 31, 2019
0%
5%
10%
15%
20%
25%
S&P Sector Returns, Quarter Ended March 31, 2019
14.0%15.7%
12.0%
16.4%
8.6%6.6%
19.9%
17.2%
10.3%
17.5%
10.8%
Communication Services
Consumer Discretionary
Consumer Staples
Energy
Financials
Health Care
Industrials
Information Technology
Materials
Real Estate
Utilities
Capital Market Overview (continued) March 31, 2019
MSCI EAFE
MSCI ACWI
MSCI World
MSCI ACWI ex USA
MSCI World ex USA
MSCI ACWI ex USA SC
MSCI World ex USA SC
MSCI Europe ex UK
MSCI United Kingdom
MSCI Pacific ex Japan
MSCI Japan
MSCI Emerging Markets
MSCI China
MSCI Frontier Markets
Global Equity: Quarterly Returns
10.0%
12.2%
12.5%
10.3%
10.4%
10.3%
10.9%
10.5%
11.9%
12.2%
6.7%
9.9%
17.7%
6.9%
MSCI EAFE
MSCI ACWI
MSCI World
MSCI ACWI ex USA
MSCI World ex USA
MSCI ACWI ex USA SC
MSCI World ex USA SC
MSCI Europe ex UK
MSCI United Kingdom
MSCI Pacific ex Japan
MSCI Japan
MSCI Emerging Markets
MSCI China
MSCI Frontier Markets
Global Equity: One-Year Returns
-3.7%
2.6%
4.0%
-4.2%
-3.1%
-9.5%
-8.7%
-5.1%
-0.1%
4.6%
-7.8%
-7.4%
-6.2%
-15.0%
Source: MSCI
NON-U.S./GLOBAL EQUITY
Global equity markets were positive in the first quarter following a sharp sell-off to end 2018. Investors resumed a risk-on outlook as central banks telegraphed more accommodative positioning. Delayed outcomes regarding U.S./China trade talks and Brexit negotiations allowed markets to stabilize, although uncertain outcomes remain a future risk.
Global/Non -U.S. Developed (MSCI EAFE: +10.0%; MSCI World ex USA: +10.4%; MSCI ACWI ex USA: +10.3%; MSCI Europe: +10.8%; MSCI Japan: +6.7%)
– Developed markets rallied as central banks around the world expressed more accommodative paths with interest rates and quantitative easing.
– Brexit negotiations continue and a “no-deal” Brexit remains a possibility, but with an extended deadline. The potential for investment paralysis drags on.
– European PMI continued to deteriorate, falling to 47.7 in March from 49.4.
– The currency effect was mixed as the U.S. dollar rose against the euro and yen, by 1.8% and 0.9%, but fell against the British pound by 2.3% as a delay in Brexit allowed for a temporary bounce.
– EAFE sector performance was mixed. Information Technology (+15.3%) and Materials (+13.2%) led economically sensitive sectors; Consumer Staples (+12.4%) led defensive sectors. Interest rate-sensitive Financials (+6.9%) and Utilities (+9.0%) trailed the broad index.
– Factor performance favored growth (historical and projected) while value factors were generally negative.
Emerging Markets (MSCI Emerging Markets Index: +9.9%)
– In a big reversal from the fourth quarter, China led emerging markets with MSCI China gaining 17.7% and MSCI China A up 30.9%.
– Trade talks continue but positive indications for a deal buoyed markets; uncertainty on the outcome remains.
– Asian Information Technology rebounded nicely with Chinese IT (+27.6%) leading the sector. An improving outlook on Chinese consumption positively influenced EM Consumer Discretionary (+20.8%), which was the top-performing sector.
– Growth led value with MSCI EM Growth gaining 12.0% and EM Value up 7.8%.
Non-U.S. Small Cap (MSCI World ex USA Small Cap: +10.9%; MSCI EM Small Cap: +7.8%; MSCI ACWI ex USA Small Cap: +10.3%)
– Within developed markets, small cap performed in line with large cap.
– EM Small Cap trailed EM as MSCI China Small Cap has less exposure to IT, which led the risk-on rally.
Blmberg Barclays Gov/Cr 1-3 Yr
Blmberg Barclays Interm Gov/Cr
Blmberg Barclays Aggregate
Blmberg Barclays Long Gov/Cr
Blmberg Barclays Universal
CS Leveraged Loans
Blmberg Barclays High Yield
Blmberg Barclays TIPS
U.S. Fixed Income: Quarterly Returns
2.9%
3.3%
1.2%
2.3%
6.5%
3.8%
7.3%
3.2%
Blmberg Barclays Gov/Cr 1-3 Yr
Blmberg Barclays Interm Gov/Cr
Blmberg Barclays Aggregate
Blmberg Barclays Long Gov/Cr
Blmberg Barclays Universal
CS Leveraged Loans
Blmberg Barclays High Yield
Blmberg Barclays TIPS
U.S. Fixed Income: One-Year Returns
4.5%
4.5%
3.0%
4.2%
5.2%
3.3%
5.9%
2.7%
0%
1%
2%
3%
4%
0 5 10 15 20 25 30
Maturity (Years)
March 31, 2019 December 31, 2018March 31, 2018
U.S. Treasury Yield Curves
U.S. FIXED INCOME
Risk markets sharply reversed from the fourth quarter sell-off supported by the Fed’s unexpected dovish comments, relatively solid U.S. economic growth data, and tempered concern over a slowing China. This quarter’s strong results recaptured most of the loss experienced in the prior quarter.
U.S. Fixed Income (Bloomberg Barclays US Aggregate: +2.9%)
– U.S. Treasuries rose 2.1% as the yield curve shifted lower across maturities as growth and inflation expectations declined.
– The shape of the yield curve did not materially change during the quarter. The yield differential between the 10-year and 2-year key rates remained positive and traded around a range of +12 to +20 bps. However, the front-end of the curve inverted, with the 5-year offering less yield than the 2-year.
– TIPS outperformed nominal Treasuries as the Fed’s balanced stance and unexpected wage pressures stoked higher inflation expectation.
Investment -Grade Corporates (Bloomberg Barclays Corporate: +5.1%)
– Credit spreads rallied on the back of a softer Fed stance, positive economic news, and better than expected corporate earnings.
– Net new corporate issuance during the first quarter of $117 billion was roughly on par with a year ago.
– Surprisingly, Aaa-rated corporates (+5.0%) outperformed Aa- (+3.7%) and single A-rated issuers (+4.7%). BBB-rated issuers were the best performers (+5.7%).
High Yield (Bloomberg Barclays Corporate High Yield: +7.3%)
– Given the risk-on environment, below-investment grade issuers were the best performers, aided by strong asset inflows.
– Ba/B sectors (+7.2%) marginally outpaced CCC by 6 bps; this was an unusual occurrence given that the dispersion between high-quality and low-quality is typically wide during these periods of absolute returns.
Leveraged Loans (Credit Suisse Leveraged Loans Index: +3.8%)
– Leveraged loans participated in the rally but lagged both longer duration investment grade and high yield corporates. The sector was negatively impacted by the Fed’s pause, retail outflows, and a slow-developing CLO pipeline.
– Bank loans have less sensitivity to interest rates but may have a similar spread duration profile to that of their high yield bond counterparts.
Capital Market Overview (continued) March 31, 2019
Sources: Bloomberg, Bloomberg Barclays, Credit Suisse
Blmberg Barclays Gl Aggregate
Blmberg Barclays Gl Agg (hdg)
Blmberg Barclays Gl High Yield
Blmberg Barclays Gl Agg ex US
JPM EMBI Global Diversified
JPM GBI-EM Global Diversified
JPM EMBI Gl Div/JPM GBI-EM Gl Div
JPM CEMBI
Global Fixed Income: Quarterly Returns
2.2%
3.0%
6.3%
1.5%
7.0%
2.9%
4.9%
5.5%
Blmberg Barclays Gl Aggregate
Blmberg Barclays Gl Agg (hdg)
Blmberg Barclays Gl High Yield
Blmberg Barclays Gl Agg ex US
JPM EMBI Global Diversified
JPM GBI-EM Global Diversified
JPM EMBI Gl Div/JPM GBI-EM Gl Div
JPM CEMBI
Global Fixed Income: One-Year Returns
-0.4%
4.9%
2.4%
-4.1%
4.2%
-7.6%
-1.8%
5.2%
-28 bps
-31 bps
-28 bps
-35 bps
-8 bps
-45 -40 -35 -30 -25 -20 -15 -10 -5 0
U.S. Treasury
Germany
U.K.
Canada
Japan
4Q18 to 1Q19
Change in 10 -Year Global Government Bond Yields
NON-U.S. FIXED INCOME
Global Fixed Income (Bloomberg Barclays Global Aggregate (unhedged): +2.2%)
– Developed market sovereign bonds rallied in tandem with Treasuries. The U.S. dollar appreciated modestly versus the euro and yen, but lost ground versus the British pound and Canadian dollar.
U.S. dollar -denominated emerging market debt (JPM EMBI Global Diversified: +7.0%), Local currency -denominated EMD (JPM GBI-EM Global Diversified: +2.9%)
– Country returns within the EMBI Global Diversified Index were all positive for the quarter.
– Turkey (-10.2%) and Argentina (-10.5%) were notable underperformers in the local currency index.
– Positive net inflows into the EM universe continued through quarter-end.
Capital Market Overview (continued) March 31, 2019
Sources: Bloomberg, Bloomberg Barclays, JP Morgan
Market OverviewActive Management vs Index Returns
Market OverviewThe charts below illustrate the range of returns across managers in Callan’s Mutual Fund database over the most recent onequarter and one year time periods. The database is broken down by asset class to illustrate the difference in returns acrossthose asset classes. An appropriate index is also shown for each asset class for comparison purposes. As an example, thefirst bar in the upper chart illustrates the range of returns for domestic equity managers over the last quarter. The trianglerepresents the S&P 500 return. The number next to the triangle represents the ranking of the S&P 500 in the Large CapEquity manager database.
Range of Mutual Fund Returns by Asset ClassOne Quarter Ended March 31, 2019
Retu
rns
0%
5%
10%
15%
20%
25%
Large Cap Small Cap Non-US Domestic GlobalEquity Equity Equity Fixed Income Fixed Income
vs vs vs vs vsS&P 500 Russell 2000 MSCI EAFE Blmbg Aggr Bd Citi World Govt
(51)(56)
(68)
(71)(86)
10th Percentile 17.56 21.99 13.17 3.77 4.6925th Percentile 16.29 19.20 11.64 3.63 3.48
Median 13.74 15.29 10.64 3.23 2.6675th Percentile 12.00 12.75 9.50 2.92 2.1190th Percentile 10.50 11.33 7.88 2.83 1.48
Index 13.65 14.58 9.98 2.94 1.74
Range of Mutual Fund Returns by Asset ClassOne Year Ended March 31, 2019
Re
turn
s
(15%)
(10%)
(5%)
0%
5%
10%
15%
20%
Large Cap Small Cap Non-US Domestic GlobalEquity Equity Equity Fixed Income Fixed Income
vs vs vs vs vsS&P 500 Russell 2000 MSCI EAFE Blmbg Aggr Bd Citi World Govt
(41)
(55)
(29)
(44)
(80)
10th Percentile 14.09 15.04 0.01 4.94 4.4325th Percentile 11.89 10.86 (2.93) 4.68 3.21
Median 8.42 3.46 (5.75) 4.38 0.2475th Percentile 5.40 (2.01) (9.17) 4.15 (1.29)90th Percentile 1.57 (4.79) (10.92) 3.97 (2.81)
Index 9.50 2.05 (3.71) 4.48 (1.57)
6Oregon Savings Growth Plan
Domestic EquityActive Management Overview
U.S. equity markets had no problem erasing the pain of the fourth quarter as the S&P 500 rose 13.7% with double-digit gainsacross cap and style spectrums. On a relative basis, Growth outperformed Value (R1000 Growth: +16.1% vs. R1000 Value:+11.9%), Small Cap outperformed Large Cap (R2000: +14.6% vs. R1000: +14.0%), and virtually all sectors delivereddouble-digit results with the exceptions being Financials (+8.6%) and Health Care (+6.6%). Volatility returned to morenormalized levels, with just a few trading days seeing market movement of more than 2% in either direction (versus nearly20% in the fourth quarter.)
Mutual Fund Style Group Median Returnsfor Quarter Ended March 31, 2019
0%
5%
10%
15%
20%
25%
30%
19.34
Small CapGrowth
12.71
Small CapValue
15.29
Small CapBroad
20.05
Mid CapGrowth
14.03
Mid CapValue
16.04
Mid CapBroad
16.51
Large CapGrowth
11.86
Large CapValue
13.13
Large CapCore
Re
turn
s
S&P 500: 13.65%
S&P 500 Growth: 14.95%
S&P 500 Value: 12.19%
S&P Mid Cap: 14.49%
S&P 600: 11.61%
S&P 600 Growth: 10.84%
S&P 600 Value: 12.45%
Mutual Fund Style Group Median Returnsfor One Year Ended March 31, 2019
(5%)
0%
5%
10%
15%
20%
10.71
Small CapGrowth
(0.80 )
Small CapValue
3.46
Small CapBroad
10.11
Mid CapGrowth
(0.83 )
Mid CapValue
5.78
Mid CapBroad
12.23
Large CapGrowth
4.31
Large CapValue
6.72
Large CapCore
Re
turn
s
S&P 500: 9.50%
S&P 500 Growth: 12.77%
S&P 500 Value: 5.93%
S&P Mid Cap: 2.59%
S&P 600: 1.57%
S&P 600 Growth: 3.83%
S&P 600 Value: (0.44%)
7Oregon Savings Growth Plan
Domestic Fixed IncomeActive Management Overview
In the U.S., the Bloomberg Barclays US Aggregate Bond Index rose 2.9% for the quarter, with investment grade corporates(Bloomberg Barclays Corporate: +5.1%) up the most. Yields fell sharply in March as the market digested unexpectedlydovish comments from the Fed. The 10-year U.S. Treasury returned 2.8% and its yield closed the quarter at 2.41%, downnearly 30 bps from year-end and significantly from the multi-year high of 3.24% hit in early November. Portions of the yieldcurve inverted, but the widely watched spread between the 2- and 10-year Treasury note remained positive at 14 bps. Thehigh yield corporate bond market (Bloomberg Barclays High Yield: +7.3%) soared and the sector’s yield-to-worst ended thequarter at 6.4% after surging to nearly 8% in the fourth quarter. Similarly, leveraged loans were up 4.0% after falling 3.5%(S&P LSTA) in the fourth quarter. While the fundamental picture for corporations remains intact, these returns were drivenprimarily by a strong technical tailwind on the back of a very weak December. Municipal bonds (Bloomberg BarclaysMunicipal Bond: +2.9%) outperformed U.S. Treasuries and were also helped by a favorable supply/demand backdrop.Municipal mutual funds absorbed roughly $24 billion in inflow, the best first quarter since data collection began in 1992.
Mutual Fund Style Group Median Returnsfor Quarter Ended March 31, 2019
0%
2%
4%
6%
8%
10%
1.45
Defensive
2.49
Intermed
3.23
Core Bond
7.26
High Yield
3.58
Core Plus
Re
turn
s
Blmbg Universal: 3.32%
Blmbg Aggregate: 2.94%
Blmbg High Yield: 7.26%
Mutual Fund Style Group Median Returnsfor One Year Ended March 31, 2019
0%
1%
2%
3%
4%
5%
6%
7%
3.07
Defensive
3.87
Intermed
4.38
Core Bond
5.10
High Yield
4.34
Core Plus
Re
turn
s
Blmbg Universal: 4.53%
Blmbg Aggregate: 4.48%
Blmbg High Yield: 5.93%
8Oregon Savings Growth Plan
International EquityActive Management Overview
Non-U.S. developed (MSCI EAFE: 10.0%) and emerging market equities (MSCI Emg Mkts: +9.9%) also rebounded stronglyin the first quarter, but trailed their U.S. counterparts (and failed to make up for the pain felt in the fourth quarter). The U.K.(+11.9%), Canada (+15.4%), and Italy (+14.6%) were among the standout performers, while Japan (+6.7%) was a laggardbut positive nonetheless. Similarly, emerging market performance was robust across the board with all the BRIC countries upstrongly: China (+17.7%), India (+7.2%), Russia (+12.2%), and Brazil (+8.1%). Turkey’s GDP dropped 3% y-o-y in the fourthquarter amid economic and political woes and was the worst-performing country (-3.2%).
Mutual Fund Style Group Median Returnsfor Quarter Ended March 31, 2019
0%
5%
10%
15%
20%
11.21
Europe
10.78
Core Int’l
14.21
Pacific Basin
7.08
Japan Only
10.64
EmergingMarkets
Re
turn
s
MSCI AC World Index 12.33%
MSCI ACW ex US Free: 10.31%
MSCI EAFE: 9.98%
MSCI Europe: 10.84%
MSCI Pacific: 8.53%
MSCI Emerging Markets: 9.93%
Mutual Fund Style Group Median Returnsfor One Year Ended March 31, 2019
(12%)
(10%)
(8%)
(6%)
(4%)
(2%)
0%
2%
(5.81 )
Europe
(5.91 )
Core Int’l
(6.38 )
Pacific Basin
(7.77 )
Japan Only
(9.20 )
EmergingMarkets
Re
turn
s
MSCI AC World Index 3.17%
MSCI ACW ex US Free: (4.21%)
MSCI EAFE: (3.71%)
MSCI Europe: (3.72%)
MSCI Pacific: (3.86%)
MSCI Emerging Markets: (7.40%)
9Oregon Savings Growth Plan
Asse
t Allo
ca
tion
Asset Allocation
an
d P
erfo
rma
nce
and Performance
Changes in Investment Fund BalancesPeriod Ended March 31, 2019
Allocation Across Investment OptionsThe chart below illustrates the allocation of the aggregate fund assets across the various investment options as of March 31,2019.
Target Date Funds31%
Short-Term Fixed Income Option0%
Stable Value Option13%
Active Fixed Income Option6%
Stock Index Option Option12%
Large Co. Value Stock Option9%
Large Co. Growth Stock Option12%
Small Co. Stock Option11%
International Stock Option5%
Socially Resp. Option1%
Real Return Option0%
Brokerage Window1%
Changes in Fund ValuesThe chart below shows the net change in fund values across the various investment options for the quarter ended March 31,2019. The change in value for each fund is the result of a combination of 3 factors: 1) market movements; 2) contributions ordisbursements into or out of the funds by the participants (and any matching done by the company); and 3) transfersbetween funds by the participants.
(100,000) (50,000) 0 50,000 100,000
58,827Target Date Funds
(54,433)Short-Term Fixed Income Option
60,276Stable Value Option
12,148Active Fixed Income Option
30,398Stock Index Option Option
18,882Large Co. Value Stock Option
36,073Large Co. Growth Stock Option
25,783Small Co. Stock Option
10,702International Stock Option
2,685Socially Resp. Option
141Real Return Option
4,576Brokerage Window
Thousands$
11Oregon Savings Growth Plan
Investment Manager Asset Allocation
The table below contrasts the distribution of assets across the Fund’s investment managers as of March 31, 2019, with thedistribution as of December 31, 2018. The change in asset distribution is broken down into the dollar change due to Net NewInvestment and the dollar change due to Investment Return.
Asset Distribution Across Investment Managers
March 31, 2019 December 31, 2018
Market Value Weight Net New Inv. Inv. Return Market Value WeightTier I - Asset Allocation Options
Target Date Funds $699,797,852 31.06% $4,731,766 $54,094,771 $640,971,315 31.31%LifePath Index Retirement Fund L 185,627,534 8.24% (4,140,581) 11,430,164 178,337,951 8.71%LifePath Index 2020 Fund L 137,437,155 6.10% (1,450,892) 8,667,572 130,220,475 6.36%LifePath Index 2025 Fund L 114,498,729 5.08% 2,766,946 8,398,956 103,332,827 5.05%LifePath Index 2030 Fund L 85,022,458 3.77% 1,836,445 7,368,738 75,817,275 3.70%LifePath Index 2035 Fund L 64,090,674 2.84% 1,744,743 6,285,088 56,060,844 2.74%LifePath Index 2040 Fund L 44,263,123 1.96% 1,801,212 4,479,872 37,982,039 1.86%LifePath Index 2045 Fund L 29,729,344 1.32% 1,195,302 3,183,855 25,350,187 1.24%LifePath Index 2050 Fund L 24,446,004 1.08% 579,128 2,652,341 21,214,535 1.04%LifePath Index 2055 Fund L 8,887,368 0.39% 28,024 1,018,798 7,840,546 0.38%LifePath Index 2060 Fund L 5,795,462 0.26% 371,438 609,388 4,814,637 0.24%
Tier II - Core Investment Options
Short-Term Fixed Income Option State Street 10,827 0.00% (54,798,838) 365,852 54,443,813 2.66%
Stable Value Option Galliard 286,709,701 12.72% 59,702,428 573,372 226,433,902 11.06%
Active Fixed Income Option BlackRock / DoubleLine / Wellington 138,286,933 6.14% 9,068,838 3,078,775 126,139,319 6.16%
Stock Index Option BlackRock 262,142,082 11.63% (2,721,785) 33,120,019 231,743,848 11.32%
Large Company Value Stock Option BlackRock 195,937,393 8.70% (2,529,500) 21,411,580 177,055,313 8.65%
Large Company Growth Stock Option BlackRock 268,161,664 11.90% (1,637,140) 37,709,860 232,088,944 11.34%
Small Company Stock Option BlackRock / Callan / DFA 245,419,718 10.89% (6,435,083) 32,217,783 219,637,018 10.73%
International Stock Option AQR / Arrowstreet / DFA* / Lazard 117,058,900 5.19% (218,824) 10,920,548 106,357,176 5.19%
Tier III - Specialty Options
Socially Responsible Investment Option TIAA-CREF 16,001,933 0.71% 713,324 1,972,066 13,316,543 0.65%
Real Return Option State Street 4,010,306 0.18% (89,596) 230,834 3,869,068 0.19%
Brokerage Window 19,867,788 0.88% 2,821,555 1,754,487 15,291,746 0.75%
Total Fund $2,253,405,095 100.0% $8,607,144 $197,449,947 $2,047,348,004 100.0%
* DFA exposure consists of two differing strategies
12Oregon Savings Growth Plan
Investment Fund Returns
The table below details the rates of return for the plan’s investment managers over various cumulative time periods. Negativereturns are shown in red, positive returns in black. Returns for one year or greater are annualized.
Returns for Periods Ended March 31, 2019
Last Last LastLast Last 3 5 10
Quarter Year Years Years Years
Tier I - Asset Allocation Options
LifePath Index Retirement Fund L 6.73% 4.05% 5.55% 4.20% 7.31% LifePath Index Retirement Benchmark 6.68% 4.07% 5.52% 4.18% 7.33%
LifePath Index 2020 Fund L 7.09% 3.97% 6.26% 4.60% 8.93% LifePath Index 2020 Benchmark 7.03% 3.98% 6.23% 4.56% 8.93%
LifePath Index 2025 Fund L 8.40% 4.21% 7.28% 5.17% 9.81% LifePath Index 2025 Benchmark 8.35% 4.20% 7.21% 5.10% 9.80%
LifePath Index 2030 Fund L 9.50% 4.37% 8.18% 5.65% 10.58% LifePath Index 2030 Benchmark 9.46% 4.37% 8.08% 5.55% 10.56%
LifePath Index 2035 Fund L 10.56% 4.54% 9.04% 6.10% 11.29% LifePath Index 2035 Benchmark 10.49% 4.50% 8.91% 5.98% 11.24%
LifePath Index 2040 Fund L 11.49% 4.63% 9.79% 6.47% 11.90% LifePath Index 2040 Benchmark 11.46% 4.62% 9.64% 6.34% 11.85%
LifePath Index 2045 Fund L 12.20% 4.66% 10.24% 6.71% 12.45% LifePath Index 2045 Benchmark 12.18% 4.61% 10.06% 6.55% 12.37%
LifePath Index 2050 Fund L 12.52% 4.68% 10.38% 6.79% 12.83% LifePath Index 2050 Benchmark 12.49% 4.61% 10.20% 6.65% 12.77%
LifePath Index 2055 Fund L 12.55% 4.68% 10.37% 6.79% - LifePath Index 2055 Benchmark 12.54% 4.62% 10.21% 6.64% -
LifePath Index 2060 Fund L 12.55% 4.67% 10.35% - - LifePath Index 2060 Benchmark 12.54% 4.62% 10.21% - -
Tier II - Core Investment Options
Stable Value Option 0.61% 2.34% 2.03% 1.85% 1.85% 3-month Treasury Bill 0.60% 2.12% 1.19% 0.74% 0.43%
Active Fixed Income Option 2.88% 4.47% 2.88% 3.23% 5.15% Bloomberg Aggregate Index 2.94% 4.48% 2.03% 2.74% 3.77%
Stock Index Option 14.07% 8.84% 13.57% 10.44% 16.08% Russell 3000 Index 14.04% 8.77% 13.48% 10.36% 16.00%
Large Company Value Stock Option 11.98% 5.86% 10.54% 7.60% 14.73% Russell 1000 Value Index 11.93% 5.67% 10.45% 7.72% 14.52%
Large Company Growth Stock Option 16.14% 12.72% 16.52% 13.19% 17.30% Russell 1000 Growth Index 16.10% 12.75% 16.53% 13.50% 17.52%
Small Company Stock Option 14.31% 1.47% 12.12% 6.84% 15.51% Russell 2000 Index 14.58% 2.05% 12.92% 7.05% 15.36%
International Stock Option 10.34% (6.60%) 7.10% 2.69% 9.16% MSCI ACWI ex US Index 10.31% (4.21%) 8.09% 2.57% 8.85%
Tier III - Specialty Options
Socially Responsible Option 13.92% 7.83% 13.07% - - Russell 3000 Index 14.04% 8.77% 13.48% 10.36% 16.00%
Real Return Option 5.82% 0.21% 4.30% - - Real Return Option Blended Benchmark 9.00% 4.01% 6.09% 0.52% 6.43% Consumer Price Index 1.22% 1.77% 2.19% 1.27% 1.80%
13Oregon Savings Growth Plan
Investment Fund Returns
The table below details the rates of return for the plan’s investment managers over various cumulative time periods. Negativereturns are shown in red, positive returns in black. Returns for one year or greater are annualized.
12/2018-3/2019 2018 2017 2016 2015
Tier I - Asset Allocation Options
LifePath Index Retirement Fund L 6.73% (3.48%) 10.16% 6.07% (1.16%) LifePath Index Retirement Benchmark 6.68% (3.48%) 10.10% 6.01% (1.07%)
LifePath Index 2020 Fund L 7.09% (3.89%) 11.75% 6.61% (1.29%) LifePath Index 2020 Benchmark 7.03% (3.88%) 11.67% 6.51% (1.28%)
LifePath Index 2025 Fund L 8.40% (4.89%) 13.88% 7.26% (1.44%) LifePath Index 2025 Benchmark 8.35% (4.90%) 13.75% 7.10% (1.45%)
LifePath Index 2030 Fund L 9.50% (5.72%) 15.81% 7.84% (1.63%) LifePath Index 2030 Benchmark 9.46% (5.76%) 15.64% 7.61% (1.66%)
LifePath Index 2035 Fund L 10.56% (6.51%) 17.67% 8.40% (1.82%) LifePath Index 2035 Benchmark 10.49% (6.58%) 17.48% 8.08% (1.86%)
LifePath Index 2040 Fund L 11.49% (7.25%) 19.36% 8.84% (2.02%) LifePath Index 2040 Benchmark 11.46% (7.33%) 19.09% 8.51% (2.08%)
LifePath Index 2045 Fund L 12.20% (7.85%) 20.43% 9.15% (2.17%) LifePath Index 2045 Benchmark 12.18% (7.99%) 20.15% 8.77% (2.22%)
LifePath Index 2050 Fund L 12.52% (8.12%) 20.81% 9.22% (2.21%) LifePath Index 2050 Benchmark 12.49% (8.26%) 20.55% 8.82% (2.26%)
LifePath Index 2055 Fund L 12.55% (8.14%) 20.80% 9.18% (2.19%) LifePath Index 2055 Benchmark 12.54% (8.28%) 20.55% 8.82% (2.26%)
LifePath Index 2060 Fund L 12.55% (8.15%) 20.74% 9.19% (2.17%) LifePath Index 2060 Benchmark 12.54% (8.28%) 20.55% 8.82% (2.16%)
Tier II - Core Investment Options
Stable Value Option 0.61% 2.24% 1.89% 1.77% 1.65% 3-month Treasury Bill 0.60% 1.87% 0.86% 0.33% 0.05%
Active Fixed Income Option 2.88% 0.50% 4.47% 3.48% 0.82% Bloomberg Aggregate Index 2.94% 0.01% 3.54% 2.65% 0.55%
Stock Index Option 14.07% (5.21%) 21.23% 12.83% 0.61% Russell 3000 Index 14.04% (5.24%) 21.13% 12.74% 0.48%
Large Company Value Stock Option 11.98% (8.13%) 13.81% 17.21% (3.77%) Russell 1000 Value Index 11.93% (8.27%) 13.66% 17.34% (3.83%)
Large Company Growth Stock Option 16.14% (1.65%) 30.21% 7.11% 5.25% Russell 1000 Growth Index 16.10% (1.51%) 30.21% 7.08% 5.67%
Small Company Stock Option 14.31% (11.77%) 14.74% 21.43% (4.17%) Russell 2000 Index 14.58% (11.01%) 14.65% 21.31% (4.41%)
International Stock Option 10.34% (15.57%) 27.70% 3.46% (2.59%) MSCI ACWI ex US Index 10.31% (14.20%) 27.19% 4.50% (5.66%)
Tier III - Specialty Options
Socially Responsible Option 13.92% (5.61%) 20.71% 13.39% - Russell 3000 Index 14.04% (5.24%) 21.13% 12.74% 0.48%
Real Return Option 5.82% (6.11%) 7.49% 5.34% - Real Return Option Blended Benchmark 9.00% (7.11%) 8.61% 14.28% (14.05%) Consumer Price Index 1.22% 1.77% 2.18% 1.99% 0.38%
14Oregon Savings Growth Plan
Oregon Savings Growth PlanInvestment Manager Performance Monitoring Summary ReportMarch 31, 2019
Last Last 3 5 7 10Quarter Year Year Year Year Year
Investment Manager Return Return Return Return Return Return
Tier I - Asset Allocation Options
LifePath Index Retirement Fund LCallan Target Date Retirement Inc
LifePath Index Retirement Benchmark
6.7 17
6.7 17
4.1 30
4.1 29
5.6 21
5.5 22
4.2 25
4.2 25
4.8 27
4.8 27
7.3 33
7.3 32
LifePath Index 2020 Fund LCallan Target Date 2020
LifePath Index 2020 Benchmark
7.1 65
7.0 70
4.0 34
4.0 34
6.3 72
6.2 72
4.6 66
4.6 67
5.6 71
5.6 72
8.9 74
8.9 74
LifePath Index 2025 Fund LCallan Target Date 2025
LifePath Index 2025 Benchmark
8.4 53
8.3 56
4.2 21
4.2 21
7.3 68
7.2 68
5.2 65
5.1 68
6.3 78
6.3 78
9.8 81
9.8 81
LifePath Index 2030 Fund LCallan Target Date 2030
LifePath Index 2030 Benchmark
9.5 50
9.5 53
4.4 21
4.4 21
8.2 65
8.1 69
5.6 62
5.6 67
6.9 77
6.9 79
10.6 74
10.6 75
LifePath Index 2035 Fund LCallan Target Date 2035
LifePath Index 2035 Benchmark
10.6 35
10.5 38
4.5 15
4.5 17
9.0 62
8.9 66
6.1 61
6.0 68
7.5 75
7.4 84
11.3 79
11.2 81
LifePath Index 2040 Fund LCallan Target Date 2040
LifePath Index 2040 Benchmark
11.5 26
11.5 27
4.6 12
4.6 12
9.8 41
9.6 52
6.5 51
6.3 60
8.0 76
7.9 79
11.9 63
11.9 67
LifePath Index 2045 Fund LCallan Target Date 2045
LifePath Index 2045 Benchmark
12.2 13
12.2 14
4.7 11
4.6 13
10.2 40
10.1 49
6.7 47
6.6 57
8.4 70
8.3 77
12.4 51
12.4 57
LifePath Index 2050 Fund LCallan Target Date 2050
LifePath Index 2050 Benchmark
12.5 10
12.5 10
4.7 9
4.6 11
10.4 42
10.2 48
6.8 42
6.6 53
8.6 65
8.5 73
12.8 15
12.8 23
LifePath Index 2055 Fund LCallan Target Date 2055
LifePath Index 2055 Benchmark
12.5 10
12.5 11
4.7 9
4.6 11
10.4 50
10.2 54
6.8 50
6.6 62
8.8 60
8.7 71
LifePath Index 2060 Fund LCallan Target Date 2060
LifePath Index 2060 Benchmark
12.5 11
12.5 11
4.7 10
4.6 11
10.4 57
10.2 61
Returns:above medianthird quartilefourth quartile
15
Oregon Savings Growth PlanInvestment Manager Performance Monitoring Summary ReportMarch 31, 2019
Last Last 3 5 7 10Quarter Year Year Year Year Year
Investment Manager Return Return Return Return Return Return
Tier II - Core Investment Options
Stable Value OptionCallan Stable Value CT
3-month Treasury Bill
0.6 4
0.6 6
2.3 11
2.1 23
2.0 12
1.2 92
1.9 21
0.7 99
1.8 27
0.6 99
1.9 45
0.4 100
Active Fixed Income OptionCallan Core Plus MFs
Bloomberg Aggregate Index
2.9 87
2.9 86
4.5 38
4.5 38
2.9 53
2.0 95
3.2 34
2.7 71
3.1 56
2.5 94
5.2 51
3.8 95
Stock Index Option (i)Callan All Cap Core MFs
Russell 3000 Index
14.1 35
14.0 35
8.8 19
8.8 19
13.6 13
13.5 14
10.4 7
10.4 8
12.7 12
12.6 12
16.1 13
16.0 14
Large Company Value Stock Option (i)Callan Large Cap Value MFs
Russell 1000 Value Index
12.0 40
11.9 41
5.9 40
5.7 41
10.5 56
10.5 58
7.6 42
7.7 38
11.5 29
11.1 33
14.7 25
14.5 33
Large Company Growth Stock Option (i)Callan Large Cap Growth MFs
Russell 1000 Growth Index
16.1 61
16.1 62
12.7 44
12.7 44
16.5 52
16.5 52
13.2 40
13.5 33
14.2 31
14.3 28
17.3 27
17.5 21
Small Company Stock OptionCallan Small Cap MFs
Russell 2000 Index
14.3 58
14.6 56
1.5 57
2.0 55
12.1 53
12.9 47
6.8 53
7.1 50
10.4 57
10.7 48
15.5 57
15.4 59
International Stock OptionCallan Non US Equity MFs
MSCI ACWI ex US Index
10.3 52
10.3 53
-6.6 60
-4.2 35
7.1 38
8.1 29
2.7 43
2.6 47
5.4 45
4.7 75
9.2 47
8.9 58
Returns:
above median
third quartile
fourth quartile
16
(i) - Indexed scoring method used. Green: manager & index ranking differ by <= +/- 10%tile. Yellow: manager & index ranking differ by <= +/- 20%tile. Red: manager & indexranking differ by > +/- 20%tile.
Oregon Savings Growth PlanInvestment Manager Performance Monitoring Summary ReportMarch 31, 2019
Last Last 3 5 7 10Quarter Year Year Year Year Year
Investment Manager Return Return Return Return Return Return
Tier III - Specialty Options
Socially Responsible OptionCallan All Cap Core MFs
Russell 3000 Index
13.9 37
14.0 35
7.8 25
8.8 19
13.1 20
13.5 14 10.4 8 12.6 12 16.0 14
Real Return Option
Consumer Price Index + 3%
5.8
1.9
0.2
4.8
4.3
5.2 4.3 4.3 4.8
Returns:above medianthird quartilefourth quartile
17
18
Oregon Savings Growth Plan Investment Options Fee SummaryMarch 31, 2019
Oregon Savings Growth Plan
*Investment option fee data provided by OST
Asset Class and Strategy
Total Annual Operating
Expense Ratio*
Institutional Peer Group
Median
Asset Allocation Options LifePath Index Retirement, 2020 – 2060 Funds; L 0.090% 0.16% Capital Preservation Stable Value Option 0.347% 0.63% Fixed Income Active Fixed Income Option 0.170% 0.76% U.S. Large Cap Equity Stock Index Option 0.038% 0.05% Large Company Value Stock Option 0.029% 0.05% Large Company Growth Stock Option 0.029% 0.05% U.S. Small Cap Equity Small Company Stock Option 0.395% 1.15% International Equity International Stock Option 0.541% 1.10% Specialty Options Socially Responsible Investment Option 0.170% 0.90% Real Return Option 0.220% 0.65%
Ta
rge
t Da
te F
un
ds
Target Date Funds
LifePath Index FundTarget Date Glide Path Analysis as of March 31, 2019
The following charts illustrate the asset allocation "glide path" underlying the relevant suite of target date funds. This analysiscovers forty years of investor wealth accumulation up to retirement, as well as twenty years of wealth decumulation followingretirement. The top chart shows the "pure" equity exposure (public equities excluding REITs) versus the peer group andindex. The subsequent charts show more asset allocation detail at the high "macro" level.
Equity Rolldown Analysis
% P
ure
Eq
uity
0%
25%
50%
75%
100%
40 30 20 10 0Retirement
-10 -20Years Until Retirement
Callan Glide Path Universe (ALL)
Callan Consensus ALL Glidepath LifePath Index Fund
Macro-Level Asset Allocation Glide Path - LifePath Index Fund
0% 0%
25% 25%
50% 50%
75% 75%
100% 100%
Years Until Retirement40 30 20 10 0
Retirement-10 -20
% W
eig
ht
Real AssetsDomestic FixedReal EstateIntl EquityDomestic Broad Eq
Macro-Level Asset Allocation Glide Path - Callan Consensus ALL Glidepath
0% 0%
25% 25%
50% 50%
75% 75%
100% 100%
Years Until Retirement40 30 20 10 0
Retirement-10 -20
% W
eig
ht
Real AssetsAbsolute Return/GTAACash EquivOtherIntl Fixed-IncDomestic FixedReal EstateIntl EquityDomestic Broad Eq
20Oregon Savings Growth Plan
LifePath Index FundTarget Date Glide Path Analysis as of March 31, 2019
The following charts illustrate the asset allocation "glide path" underlying the relevant suite of target date funds. This analysiscovers forty years of investor wealth accumulation up to retirement, as well as twenty years of wealth decumulation followingretirement. The top chart highlights any significant "macro-level" differences between the manager’s asset allocation glidepath and that of the glide path index. The bottom two charts illustrate the asset allocation glide paths of both the managerand index at the more detailed "micro" level.
Relative Macro Asset Allocation - LifePath Index Fund vs. Callan Consensus ALL Glidepath
% R
ela
tive
We
igh
ts
-10%
-5%
0%
5%
10%
15%
40 30 20 10 0Retirement
-10 -20Years Until Retirement
Domestic Broad EqIntl EquityReal EstateDomestic FixedReal AssetsIntl Fixed-IncCash EquivAbsolute Return/GTAA
Micro-Level Asset Allocation Glide Path - LifePath Index Fund
0% 0%
25% 25%
50% 50%
75% 75%
100% 100%
Years Until Retirement40 30 20 10 0
Retirement-10 -20
% W
eig
ht
CommoditiesTIPSCore BondGlobal REITSEmerging MarketsNon-US DevelopedSmall/Mid Cap BroadLarge Cap Broad Eq
Micro-Level Asset Allocation Glide Path - Callan Consensus ALL Glidepath
0% 0%
25% 25%
50% 50%
75% 75%
100% 100%
Years Until Retirement40 30 20 10 0
Retirement-10 -20
% W
eig
ht
CommoditiesCash EquivTIPSCore BondGlobal REITSOther-Real EstateEmerging MarketsNon-US DevelopedSmall/Mid Cap BroadLarge Cap Broad EqNatural Resouces EqSm Cap Dev ex-USOther-Dom FixedOther
21Oregon Savings Growth Plan
LifePath Index FundTarget Date Glide Path Analysis as of March 31, 2019
The first two charts below illustrate the detailed composition over time of the "risky", or "growth" portion of the glide paths forboth the manager and index, defined to be all public equity and real estate asset classes. These charts highlight both thelevels of diversification and aggressiveness within the wealth creation portion of the glide paths. The last two charts serve asimilar purpose but focus on the composition over time of the remaining wealth preservation portion (non-equity) of themanager and index glide paths.
Micro-Level Equity Allocation Glide Path - LifePath Index Fund
0% 0%
25% 25%
50% 50%
75% 75%
100% 100%
Years Until Retirement40 30 20 10 0
Retirement-10 -20
% W
eig
ht
CommoditiesGlobal REITSEmerging MarketsNon-US DevelopedSmall/Mid Cap BroadLarge Cap Broad Eq
Micro-Level Equity Asset Allocation Glide Path - Callan Consensus ALL Glidepath
0% 0%
25% 25%
50% 50%
75% 75%
100% 100%
Years Until Retirement40 30 20 10 0
Retirement-10 -20
% W
eig
ht Commodities
Real EstateGlobal REITSDomestic REITEmerging MarketsNon-US DevelopedSmall/Mid Cap BroadLarge Cap Broad EqNatural Resouces EqSm Cap Dev ex-US
Micro-Level Non-Equity Allocation Glide Path - LifePath Index Fund
0% 0%
25% 25%
50% 50%
75% 75%
100% 100%
Years Until Retirement40 30 20 10 0
Retirement-10 -20
% W
eig
ht
TIPSCore Bond
Micro-Level Non-Equity Asset Allocation Glide Path - Callan Consensus ALL Glidep
0% 0%
25% 25%
50% 50%
75% 75%
100% 100%
Years Until Retirement40 30 20 10 0
Retirement-10 -20
% W
eig
ht
Absolute Return/GTAACash EquivStable ValueIntl Fixed-IncTIPSShort Term FixedCore BondExtended MaturityHigh YieldST TIPSInt’l Fixed HedgedBank LoansEmerging Mkts Debt
22Oregon Savings Growth Plan
Equal-Weighted - BlackRock LifePath IndexTarget Date Fund Family Analysis as of March 31, 2019
The following is an analysis of the suite of target date funds as an aggregated portfolio using equal-weighting by target date.The upper-left pie chart shows equal-weighting across target dates. The rest of the charts compare different attributes of theaggregated target date portfolio to a peer group of target date fund families, as well as target date indices, by mimicking theequal-weighted target date suites using these alternatives. The first two charts evaluate the aggregate equity exposure andexpense ratio via target date funds. The last two charts analyze aggregate target date performance on both an actual returnbasis as well as a "glide path return" basis (simulated returns using each funds’ asset allocation "glide path" weights andindex returns).
Glidepath Peer Group: ALL Fee/Return Type: Institutional Net
Fund Family Allocation
Income10.0%
202010.0%
202510.0%
203010.0%
203510.0%2040
10.0%
204510.0%
205010.0%
205510.0%
206010.0%
Equity Exposure
60%62%64%66%68%70%72%74%76%78%
(77)
(65)
10th Percentile 74.5825th Percentile 72.85
Median 69.6675th Percentile 65.3990th Percentile 62.36
BlackRockLifePath Index 65.03
Callan ConsensusALL Glidepath 68.31
Expense Ratio
0.00%0.05%0.10%0.15%0.20%0.25%0.30%0.35%0.40%0.45%
PassiveOnly
(64)
10th Percentile 0.3825th Percentile 0.28
Median 0.1675th Percentile 0.0890th Percentile 0.08
BlackRockLifePath Index 0.11
Target Date Family Performance vs Peer Families
0%2%4%6%8%
10%12%14%
Last Last Last 3 Last 5 Last 7 Last 10Quarter Year Years Years Years Years
(19)(56)
(17)(19)
(56)(42)
(69)(46)(80)(55)
(69)(59)
10th Percentile 10.73 4.63 9.75 6.68 8.94 12.4025th Percentile 10.28 3.87 9.50 6.55 8.20 11.74
Median 9.92 3.25 8.92 6.22 7.84 11.3175th Percentile 9.52 2.52 8.48 5.73 7.52 10.7590th Percentile 8.97 1.98 7.92 5.26 6.84 10.47
BlackRockLifePath Index 10.35 4.49 8.75 5.89 7.27 10.91
Callan ConsensusALL Glidepath 9.86 4.35 9.06 6.25 7.77 11.20
Target Date Family Glide Path Returns vs Peer Families
2%
4%
6%
8%
10%
12%
14%
Last Last Last 3 Last 5 Last 7 Last 10Quarter Year Years Years Years Years
(28)(63)
(28)(64)
(84)(53)
(72)(65)(77)(73)
(68)(57)
10th Percentile 10.54 5.43 9.83 7.20 8.87 12.1325th Percentile 10.30 4.85 9.55 6.84 8.43 11.95
Median 10.02 4.43 9.13 6.57 7.91 11.4475th Percentile 9.73 4.09 8.78 5.86 7.72 10.8590th Percentile 9.34 3.48 8.36 5.37 6.71 10.28
BlackRockLifePath Index 10.27 4.80 8.69 5.96 7.36 10.96
Callan ConsensusALL Glidepath 9.86 4.35 9.06 6.25 7.77 11.20
23Oregon Savings Growth Plan
LifePath Index Retirement Fund LPeriod Ended March 31, 2019
Investment PhilosophyLifePath Index Retirement Portfolio seeks to maximize return consistent with the quantitatively measured risk that investorsplanning to retire (or begin to withdraw substantial portions of their investment) now or in the near future may be willing toaccept. BlackRock LifePath Funds changed from Q class to L class on 10/26/17.
Quarterly Summary and HighlightsLifePath Index Retirement Fund L’s portfolio posted a 6.73% return for the quarter placing it in the 17 percentile of theCallan Target Date Retirement Income group for the quarter and in the 30 percentile for the last year.
LifePath Index Retirement Fund L’s portfolio outperformed the LifePath Idx Retiremnt CB by 0.05% for the quarter andunderperformed the LifePath Idx Retiremnt CB for the year by 0.02%.
Performance vs Callan Target Date Retirement Income (Institutional Net)
1%
2%
3%
4%
5%
6%
7%
8%
9%
Last Quarter Last Last 3 Years Last 5 Years Last 7 Years Last 10 Years Last 13-3/4Year Years
(17)(17)
(30)(29)
(21)(22)
(25)(25)
(27)(27)
(33)(32)
(10)(10)
10th Percentile 7.26 4.65 6.10 4.50 5.40 8.14 5.2325th Percentile 6.50 4.19 5.40 4.18 4.96 7.51 4.82
Median 5.90 3.58 4.96 3.72 4.22 6.57 4.4375th Percentile 5.20 3.04 4.53 3.20 3.72 5.87 3.8590th Percentile 4.45 2.58 3.65 2.74 2.96 5.44 2.99
LifePath IndexRetirement Fund L 6.73 4.05 5.55 4.20 4.83 7.31 5.22
LifePath IdxRetiremnt CB 6.68 4.07 5.52 4.18 4.80 7.33 5.21
Relative Return vs LifePath Idx Retiremnt CB
Rela
tive
Re
turn
s
(0.15%)
(0.10%)
(0.05%)
0.00%
0.05%
0.10%
2014 2015 2016 2017 2018 19
LifePath Index Retirement Fund L
Callan Target Date Retirement Income (Institutional Net)Annualized Five Year Risk vs Return
0 2 4 6 8 10 12 14(2%)
(1%)
0%
1%
2%
3%
4%
5%
6%
LifePath Index Retirement Fund L
LifePath Idx Retiremnt CB
Standard Deviation
Re
turn
s
24Oregon Savings Growth Plan
LifePath Index Retirement Fund LTarget Date Fund Asset Allocation as of March 31, 2019
The charts below illustrate the current target asset allocation of the relevant target date fund based on its underlying glidepath and compares it to an index. The top charts compare target asset allocation at a high "macro" asset class level, whilethe middle charts show a more detailed "micro" level view. The bottom chart compares the current "macro" level target assetallocation, and index, to a relevant peer group of target date funds by ranking the various target asset class weights versusthose peer target date funds.
Macro-Level Asset Allocation
0%
10%
20%
30%
40%
50%
60%
70%
80%
LifePath Index Retirement Fund L - Target
24.3
11.5
0.5
60.0
3.7
Callan Tgt Dt Idx 2010
22.6
10.4
1.6
53.9
5.43.0 2.3 0.8
Domestic Broad Eq Intl Equity Real Estate Domestic Fixed Intl Fixed-Inc Stable Value/Cash Absolute Return/GTAA Real Assets
Micro-Level Asset Allocation
0%
10%
20%
30%
40%
50%
60%
70%
LifePath Index Retirement Fund L - Target
20.9
3.4
9.4
2.1 0.5
51.2
8.83.7
Callan Tgt Dt Idx 2010
18.2
4.38.3
2.0 1.1 0.5
32.1
9.4
2.8 0.8 0.1 0.2
7.912.4
Large Cap Broad Eq Small/Mid Cap Broad Non-US Developed Emerging Markets Other-Real Estate Global REITS Core Bond TIPS Cash Equiv
Commodities Intl Equity Domestic Broad Eq Other Other-Dom Fixed
Macro Asset Allocation Rankings vs. Callan Target Date Retirement Income
% W
eig
ht
(10%)
0%
10%
20%
30%
40%
50%
60%
70%
80%
Domestic Broad Intl Real Domestic Intl Fixed- Stable Absolute Return/ RealEq Equity Estate Fixed Inc Value/Cash GTAA Assets
(17)(20)
(35)(39)
(53)(33)
(43)(76)
(28) (33) (16) (10)(35)
10th Percentile 25.82 14.43 5.00 70.00 11.25 22.30 7.00 3.6625th Percentile 22.00 12.55 2.00 65.00 8.00 6.00 0.00 2.00
Median 19.38 9.68 0.60 59.70 0.00 0.00 0.00 0.0075th Percentile 13.62 7.00 0.00 54.74 0.00 0.00 0.00 0.0090th Percentile 9.00 3.98 0.00 33.75 0.00 0.00 0.00 0.00
LifePath IndexRetirement Fund L - Targe 24.32 11.51 0.50 60.01 - - - 3.66
Callan TgtDt Idx 2010 22.63 10.43 1.63 53.90 5.38 3.00 2.27 0.76
25Oregon Savings Growth Plan
LifePath Index 2020 Fund LPeriod Ended March 31, 2019
Investment PhilosophyLifePath Index 2020 Portfolio seeks to maximize return consistent with the quantitatively measured risk that investorsplanning to retire (or begin to withdraw substantial portions of their investment) approximately in the year 2020 may bewilling to accept. BlackRock LifePath Funds changed from Q class to L class on 10/26/17.
Quarterly Summary and HighlightsLifePath Index 2020 Fund L’s portfolio posted a 7.09% return for the quarter placing it in the 65 percentile of the CallanTarget Date 2020 group for the quarter and in the 34 percentile for the last year.
LifePath Index 2020 Fund L’s portfolio outperformed the LifePath Index 2020 CB by 0.06% for the quarter andunderperformed the LifePath Index 2020 CB for the year by 0.01%.
Performance vs Callan Target Date 2020 (Institutional Net)
0%
2%
4%
6%
8%
10%
12%
Last Quarter Last Last 3 Years Last 5 Years Last 7 Years Last 10 YearsYear
(65)(70)
(34)(34)
(72)(72)
(66)(67)
(71)(72)
(74)(74)
10th Percentile 8.49 4.80 8.12 5.70 7.15 10.7225th Percentile 7.99 4.24 7.38 5.32 6.66 10.28
Median 7.34 3.65 6.70 4.92 6.35 9.5375th Percentile 6.83 2.99 6.20 4.33 5.54 8.9090th Percentile 6.30 2.38 5.37 3.55 4.79 8.13
LifePath Index2020 Fund L 7.09 3.97 6.26 4.60 5.63 8.93
LifePathIndex 2020 CB 7.03 3.98 6.23 4.56 5.60 8.93
Relative Return vs LifePath Index 2020 CB
Rela
tive
Re
turn
s
(0.15%)
(0.10%)
(0.05%)
0.00%
0.05%
0.10%
0.15%
2014 2015 2016 2017 2018 19
LifePath Index 2020 Fund L
Callan Target Date 2020 (Institutional Net)Annualized Five Year Risk vs Return
3 4 5 6 7 82.5%
3.0%
3.5%
4.0%
4.5%
5.0%
5.5%
6.0%
6.5%
7.0%
LifePath Index 2020 Fund L
LifePath Index 2020 CB
Standard Deviation
Re
turn
s
26Oregon Savings Growth Plan
LifePath Index 2020 Fund LTarget Date Fund Asset Allocation as of March 31, 2019
The charts below illustrate the current target asset allocation of the relevant target date fund based on its underlying glidepath and compares it to an index. The top charts compare target asset allocation at a high "macro" asset class level, whilethe middle charts show a more detailed "micro" level view. The bottom chart compares the current "macro" level target assetallocation, and index, to a relevant peer group of target date funds by ranking the various target asset class weights versusthose peer target date funds.
Macro-Level Asset Allocation
0%
10%
20%
30%
40%
50%
60%
70%
80%
LifePath Index 2020 Fund L - Target
26.9
13.7
1.7
54.1
3.6
Callan Tgt Dt Idx 2020
29.1
14.2
1.8
45.1
4.72.1 2.2 0.8
Domestic Broad Eq Intl Equity Real Estate Domestic Fixed Intl Fixed-Inc Stable Value/Cash Absolute Return/GTAA Real Assets
Micro-Level Asset Allocation
0%
10%
20%
30%
40%
50%
60%
70%
LifePath Index 2020 Fund L - Target
23.7
3.2
11.2
2.5 1.7
46.3
7.83.6
Callan Tgt Dt Idx 2020
23.2
5.7
11.3
2.7 1.2 0.6
28.6
7.02.0 0.8 0.2 0.2
7.09.5
Large Cap Broad Eq Small/Mid Cap Broad Non-US Developed Emerging Markets Other-Real Estate Global REITS Core Bond TIPS Cash Equiv
Commodities Intl Equity Domestic Broad Eq Other Other-Dom Fixed
Macro Asset Allocation Rankings vs. Callan Target Date 2020
% W
eig
ht
(10%)
0%
10%
20%
30%
40%
50%
60%
70%
Domestic Broad Intl Real Domestic Intl Fixed- Stable Absolute Return/ RealEq Equity Estate Fixed Inc Value/Cash GTAA Assets
(62)(54)
(70)(61)
(41)(35)
(30)
(55)
(27) (15) (14) (11)(36)
10th Percentile 37.84 17.81 4.28 58.00 11.21 5.82 4.60 3.5825th Percentile 35.66 17.19 2.02 54.56 5.27 0.00 0.00 2.00
Median 30.30 15.25 1.19 45.60 1.90 0.00 0.00 0.0075th Percentile 23.09 12.95 0.00 39.39 0.00 0.00 0.00 0.0090th Percentile 20.02 7.29 0.00 31.25 0.00 0.00 0.00 0.00
LifePath Index2020 Fund L - Target 26.95 13.71 1.66 54.10 - - - 3.58
Callan TgtDt Idx 2020 29.11 14.25 1.80 45.09 4.70 2.06 2.22 0.77
27Oregon Savings Growth Plan
LifePath Index 2025 Fund LPeriod Ended March 31, 2019
Investment PhilosophyLifePath Index 2025 Portfolio seeks to maximize return consistent with the quantitatively measured risk that investorsplanning to retire (or begin to withdraw substantial portions of their investment) approximately in the year 2025 may bewilling to accept. BlackRock LifePath Funds changed from Q class to L class on 10/26/17.
Quarterly Summary and HighlightsLifePath Index 2025 Fund L’s portfolio posted a 8.40% return for the quarter placing it in the 53 percentile of the CallanTarget Date 2025 group for the quarter and in the 21 percentile for the last year.
LifePath Index 2025 Fund L’s portfolio outperformed the LifePath Index 2025 CB by 0.05% for the quarter andoutperformed the LifePath Index 2025 CB for the year by 0.02%.
Performance vs Callan Target Date 2025 (Institutional Net)
0%
2%
4%
6%
8%
10%
12%
14%
Last Quarter Last Last 3 Years Last 5 Years Last 7 Years Last 10 YearsYear
(53)(56)
(21)(21)
(68)(68)
(65)(68)
(78)(78)
(81)(81)
10th Percentile 9.51 4.74 8.73 6.13 8.01 11.7325th Percentile 8.82 4.11 8.25 5.85 7.49 11.08
Median 8.45 3.58 7.57 5.40 7.13 10.7175th Percentile 7.96 2.98 6.94 5.03 6.49 10.0690th Percentile 7.10 2.45 6.44 4.25 5.77 9.27
LifePath Index2025 Fund L 8.40 4.21 7.28 5.17 6.33 9.81
LifePathIndex 2025 CB 8.35 4.20 7.21 5.10 6.28 9.80
Relative Return vs LifePath Index 2025 CB
Rela
tive
Re
turn
s
(0.20%)
(0.10%)
0.00%
0.10%
0.20%
2014 2015 2016 2017 2018 19
LifePath Index 2025 Fund L
Callan Target Date 2025 (Institutional Net)Annualized Five Year Risk vs Return
4.5 5.0 5.5 6.0 6.5 7.0 7.5 8.0 8.53.0%
3.5%
4.0%
4.5%
5.0%
5.5%
6.0%
6.5%
7.0%
LifePath Index 2025 Fund L
LifePath Index 2025 CB
Standard Deviation
Re
turn
s
28Oregon Savings Growth Plan
LifePath Index 2025 Fund LTarget Date Fund Asset Allocation as of March 31, 2019
The charts below illustrate the current target asset allocation of the relevant target date fund based on its underlying glidepath and compares it to an index. The top charts compare target asset allocation at a high "macro" asset class level, whilethe middle charts show a more detailed "micro" level view. The bottom chart compares the current "macro" level target assetallocation, and index, to a relevant peer group of target date funds by ranking the various target asset class weights versusthose peer target date funds.
Macro-Level Asset Allocation
0%
10%
20%
30%
40%
50%
60%
LifePath Index 2025 Fund L - Target
32.8
18.5
4.5
40.8
3.4
Callan Tgt Dt Idx 2025
35.1
17.9
2.1
36.8
3.91.4 2.0 0.8
Domestic Broad Eq Intl Equity Real Estate Domestic Fixed Intl Fixed-Inc Stable Value/Cash Absolute Return/GTAA Real Assets
Micro-Level Asset Allocation
0%
10%
20%
30%
40%
50%
LifePath Index 2025 Fund L - Target
30.0
2.8
15.2
3.3 4.5
35.1
5.63.4
Callan Tgt Dt Idx 2025
28.0
6.9
14.2
3.51.3 0.8
24.3
4.81.4 0.8 0.2 0.1
5.97.7
Large Cap Broad Eq Small/Mid Cap Broad Non-US Developed Emerging Markets Other-Real Estate Global REITS Core Bond TIPS Cash Equiv
Commodities Intl Equity Domestic Broad Eq Other Other-Dom Fixed
Macro Asset Allocation Rankings vs. Callan Target Date 2025
% W
eig
ht
(10%)
0%
10%
20%
30%
40%
50%
60%
Domestic Broad Intl Real Domestic Intl Fixed- Stable Absolute Return/ RealEq Equity Estate Fixed Inc Value/Cash GTAA Assets
(72)(59)
(56)(69)
(14)(43)
(37)(45)
(29) (13) (12) (13)(30)
10th Percentile 44.69 23.02 4.98 50.83 9.71 2.80 4.22 3.5025th Percentile 41.26 20.86 3.27 42.49 4.48 0.00 0.00 1.90
Median 35.80 18.62 1.50 35.71 1.52 0.00 0.00 0.0075th Percentile 31.70 17.07 0.00 32.05 0.00 0.00 0.00 0.0090th Percentile 25.28 10.00 0.00 24.58 0.00 0.00 0.00 0.00
LifePath Index2025 Fund L - Target 32.80 18.50 4.51 40.76 - - - 3.42
Callan TgtDt Idx 2025 35.13 17.95 2.07 36.76 3.93 1.40 1.99 0.78
29Oregon Savings Growth Plan
LifePath Index 2030 Fund LPeriod Ended March 31, 2019
Investment PhilosophyLifePath Index 2030 Portfolio seeks to maximize return consistent with the quantitatively measured risk that investorsplanning to retire (or begin to withdraw substantial portions of their investment) approximately in the year 2030 may bewilling to accept. BlackRock LifePath Funds changed from Q class to L class on 10/26/17.
Quarterly Summary and HighlightsLifePath Index 2030 Fund L’s portfolio posted a 9.50% return for the quarter placing it in the 50 percentile of the CallanTarget Date 2030 group for the quarter and in the 21 percentile for the last year.
LifePath Index 2030 Fund L’s portfolio outperformed the LifePath Index 2030 CB by 0.04% for the quarter andoutperformed the LifePath Index 2030 CB for the year by 0.00%.
Performance vs Callan Target Date 2030 (Institutional Net)
0%
2%
4%
6%
8%
10%
12%
14%
Last Quarter Last Last 3 Years Last 5 Years Last 7 Years Last 10 Years Last 13-3/4Year Years
(50)(53)
(21)(21)
(65)(69)
(62)(67)
(77)(79)
(74)(75)
(43)(60)
10th Percentile 10.39 4.83 9.94 6.87 8.85 12.58 7.0125th Percentile 9.87 4.16 9.16 6.32 8.19 11.86 6.60
Median 9.49 3.51 8.54 5.94 7.72 11.32 6.1475th Percentile 8.85 2.80 7.90 5.42 7.01 10.56 5.7290th Percentile 8.34 2.24 7.47 4.76 6.44 9.90 5.38
LifePath Index2030 Fund L 9.50 4.37 8.18 5.65 6.94 10.58 6.19
LifePathIndex 2030 CB 9.46 4.37 8.08 5.55 6.88 10.56 6.03
Relative Return vs LifePath Index 2030 CB
Rela
tive
Re
turn
s
(0.20%)
(0.15%)
(0.10%)
(0.05%)
0.00%
0.05%
0.10%
0.15%
0.20%
0.25%
2014 2015 2016 2017 2018 19
LifePath Index 2030 Fund L
Callan Target Date 2030 (Institutional Net)Annualized Five Year Risk vs Return
6.0 6.5 7.0 7.5 8.0 8.5 9.0 9.5 10.03.5%
4.0%
4.5%
5.0%
5.5%
6.0%
6.5%
7.0%
7.5%
LifePath Index 2030 Fund L
LifePath Index 2030 CB
Standard Deviation
Re
turn
s
30Oregon Savings Growth Plan
LifePath Index 2030 Fund LTarget Date Fund Asset Allocation as of March 31, 2019
The charts below illustrate the current target asset allocation of the relevant target date fund based on its underlying glidepath and compares it to an index. The top charts compare target asset allocation at a high "macro" asset class level, whilethe middle charts show a more detailed "micro" level view. The bottom chart compares the current "macro" level target assetallocation, and index, to a relevant peer group of target date funds by ranking the various target asset class weights versusthose peer target date funds.
Macro-Level Asset Allocation
0%
10%
20%
30%
40%
50%
60%
LifePath Index 2030 Fund L - Target
37.5
22.1
7.2
29.9
3.3
Callan Tgt Dt Idx 2030
41.6
21.2
2.3
28.2
3.11.0 1.8 0.8
Domestic Broad Eq Intl Equity Real Estate Domestic Fixed Intl Fixed-Inc Stable Value/Cash Absolute Return/GTAA Real Assets
Micro-Level Asset Allocation
0%
10%
20%
30%
40%
50%
LifePath Index 2030 Fund L - Target
35.2
2.3
18.1
4.07.2
25.9
4.0 3.3
Callan Tgt Dt Idx 2030
33.1
8.4
16.5
4.41.3 1.0
19.4
3.01.0 0.8 0.3 0.2
4.9 5.8
Large Cap Broad Eq Small/Mid Cap Broad Non-US Developed Emerging Markets Other-Real Estate Global REITS Core Bond TIPS Cash Equiv
Commodities Intl Equity Domestic Broad Eq Other Other-Dom Fixed
Macro Asset Allocation Rankings vs. Callan Target Date 2030
% W
eig
ht
(10%)
0%
10%
20%
30%
40%
50%
60%
Domestic Broad Intl Real Domestic Intl Fixed- Stable Absolute Return/ RealEq Equity Estate Fixed Inc Value/Cash GTAA Assets
(73)(49)
(56)(70)
(7)(43)
(39)(45)
(31) (19) (14) (23)(34)
10th Percentile 50.90 26.52 5.15 37.30 8.80 4.20 2.46 3.7425th Percentile 49.38 24.39 3.98 31.69 3.83 0.00 0.00 2.58
Median 41.40 22.80 1.38 27.66 1.13 0.00 0.00 0.0075th Percentile 36.42 20.04 0.00 24.46 0.00 0.00 0.00 0.0090th Percentile 30.39 13.80 0.00 18.98 0.00 0.00 0.00 0.00
LifePath Index2030 Fund L - Target 37.47 22.12 7.22 29.85 - - - 3.34
Callan TgtDt Idx 2030 41.59 21.18 2.31 28.22 3.15 1.00 1.76 0.79
31Oregon Savings Growth Plan
LifePath Index 2035 Fund LPeriod Ended March 31, 2019
Investment PhilosophyLifePath Index 2035 Portfolio seeks to maximize return consistent with the quantitatively measured risk that investorsplanning to retire (or begin to withdraw substantial portions of their investment) approximately in the year 2035 may bewilling to accept. BlackRock LifePath Funds changed from Q class to L class on 10/26/17.
Quarterly Summary and HighlightsLifePath Index 2035 Fund L’s portfolio posted a 10.56% return for the quarter placing it in the 35 percentile of the CallanTarget Date 2035 group for the quarter and in the 15 percentile for the last year.
LifePath Index 2035 Fund L’s portfolio outperformed the LifePath Index 2035 CB by 0.07% for the quarter andoutperformed the LifePath Index 2035 CB for the year by 0.04%.
Performance vs Callan Target Date 2035 (Institutional Net)
0%
5%
10%
15%
Last Quarter Last Last 3 Years Last 5 Years Last 7 Years Last 10 YearsYear
(35)(38)
(15)(17)
(62)(66)
(61)(68)
(75)(84)
(79)(81)
10th Percentile 11.45 4.73 10.66 7.29 9.38 13.1725th Percentile 10.81 4.02 9.86 6.65 8.67 12.33
Median 10.29 3.47 9.17 6.27 8.23 11.9575th Percentile 9.92 2.76 8.69 5.79 7.56 11.5390th Percentile 9.39 2.21 8.24 5.22 7.20 10.94
LifePath Index2035 Fund L 10.56 4.54 9.04 6.10 7.52 11.29
LifePathIndex 2035 CB 10.49 4.50 8.91 5.98 7.42 11.24
Relative Return vs LifePath Index 2035 CB
Rela
tive
Re
turn
s
(0.30%)
(0.20%)
(0.10%)
0.00%
0.10%
0.20%
0.30%
2014 2015 2016 2017 2018 19
LifePath Index 2035 Fund L
Callan Target Date 2035 (Institutional Net)Annualized Five Year Risk vs Return
6.5 7.0 7.5 8.0 8.5 9.0 9.5 10.0 10.54.5%
5.0%
5.5%
6.0%
6.5%
7.0%
7.5%
8.0%
LifePath Index 2035 Fund L
LifePath Index 2035 CB
Standard Deviation
Re
turn
s
32Oregon Savings Growth Plan
LifePath Index 2035 Fund LTarget Date Fund Asset Allocation as of March 31, 2019
The charts below illustrate the current target asset allocation of the relevant target date fund based on its underlying glidepath and compares it to an index. The top charts compare target asset allocation at a high "macro" asset class level, whilethe middle charts show a more detailed "micro" level view. The bottom chart compares the current "macro" level target assetallocation, and index, to a relevant peer group of target date funds by ranking the various target asset class weights versusthose peer target date funds.
Macro-Level Asset Allocation
0%
10%
20%
30%
40%
50%
60%
70%
LifePath Index 2035 Fund L - Target
41.8
25.5
9.7
19.7
3.3
Callan Tgt Dt Idx 2035
47.4
24.9
2.5
19.8
2.3 0.8 1.5 0.8
Domestic Broad Eq Intl Equity Real Estate Domestic Fixed Intl Fixed-Inc Stable Value/Cash Absolute Return/GTAA Real Assets
Micro-Level Asset Allocation
0%
10%
20%
30%
40%
50%
60%
LifePath Index 2035 Fund L - Target
39.9
1.9
20.9
4.6
9.7
17.2
2.5 3.3
Callan Tgt Dt Idx 2035
37.6
9.6
19.2
5.31.3 1.2
14.2
1.5 0.8 0.8 0.4 0.23.8 4.1
Large Cap Broad Eq Small/Mid Cap Broad Non-US Developed Emerging Markets Other-Real Estate Global REITS Core Bond TIPS Cash Equiv
Commodities Intl Equity Domestic Broad Eq Other Other-Dom Fixed
Macro Asset Allocation Rankings vs. Callan Target Date 2035
% W
eig
ht
(10%)
0%
10%
20%
30%
40%
50%
60%
70%
Domestic Broad Intl Real Domestic Intl Fixed- Stable Absolute Return/ RealEq Equity Estate Fixed Inc Value/Cash GTAA Assets
(85)(50)
(65)(68)
(7)(45)
(58)(54)
(26) (18) (6) (22)(32)
10th Percentile 58.60 31.30 5.00 24.80 5.60 2.41 0.00 4.0725th Percentile 54.14 28.68 3.80 22.66 2.55 0.00 0.00 2.00
Median 47.62 26.38 2.50 20.76 0.80 0.00 0.00 0.0075th Percentile 42.45 23.19 0.00 15.00 0.00 0.00 0.00 0.0090th Percentile 39.61 16.20 0.00 11.44 0.00 0.00 0.00 0.00
LifePath Index2035 Fund L - Target 41.81 25.48 9.74 19.71 - - - 3.26
Callan TgtDt Idx 2035 47.41 24.87 2.53 19.78 2.31 0.80 1.49 0.80
33Oregon Savings Growth Plan
LifePath Index 2040 Fund LPeriod Ended March 31, 2019
Investment PhilosophyLifePath Index 2040 Portfolio seeks to maximize return consistent with the quantitatively measured risk that investorsplanning to retire (or begin to withdraw substantial portions of their investment) approximately in the year 2040 may bewilling to accept. BlackRock LifePath Funds changed from Q class to L class on 10/26/17.
Quarterly Summary and HighlightsLifePath Index 2040 Fund L’s portfolio posted a 11.49% return for the quarter placing it in the 26 percentile of the CallanTarget Date 2040 group for the quarter and in the 12 percentile for the last year.
LifePath Index 2040 Fund L’s portfolio outperformed the LifePath Index 2040 CB by 0.03% for the quarter andoutperformed the LifePath Index 2040 CB for the year by 0.01%.
Performance vs Callan Target Date 2040 (Institutional Net)
0%
5%
10%
15%
Last Quarter Last Last 3 Years Last 5 Years Last 7 Years Last 10 YearsYear
(26)(27)
(12)(12)
(41)(52)
(51)(60)
(76)(79)
(63)(67)
10th Percentile 11.95 4.67 10.93 7.32 9.57 13.1625th Percentile 11.53 3.94 10.39 6.95 8.89 12.63
Median 11.00 3.29 9.65 6.49 8.51 12.2275th Percentile 10.51 2.45 9.25 6.02 8.05 11.5790th Percentile 10.04 1.50 8.77 5.41 7.38 11.04
LifePath Index2040 Fund L 11.49 4.63 9.79 6.47 8.01 11.90
LifePathIndex 2040 CB 11.46 4.62 9.64 6.34 7.89 11.85
Relative Return vs LifePath Index 2040 CB
Rela
tive
Re
turn
s
(0.30%)
(0.20%)
(0.10%)
0.00%
0.10%
0.20%
0.30%
2014 2015 2016 2017 2018 19
LifePath Index 2040 Fund L
Callan Target Date 2040 (Institutional Net)Annualized Five Year Risk vs Return
7.5 8.0 8.5 9.0 9.5 10.0 10.5 11.04.0%
4.5%
5.0%
5.5%
6.0%
6.5%
7.0%
7.5%
8.0%
8.5%
LifePath Index 2040 Fund L
LifePath Index 2040 CB
Standard Deviation
Re
turn
s
34Oregon Savings Growth Plan
LifePath Index 2040 Fund LTarget Date Fund Asset Allocation as of March 31, 2019
The charts below illustrate the current target asset allocation of the relevant target date fund based on its underlying glidepath and compares it to an index. The top charts compare target asset allocation at a high "macro" asset class level, whilethe middle charts show a more detailed "micro" level view. The bottom chart compares the current "macro" level target assetallocation, and index, to a relevant peer group of target date funds by ranking the various target asset class weights versusthose peer target date funds.
Macro-Level Asset Allocation
0%
10%
20%
30%
40%
50%
60%
70%
LifePath Index 2040 Fund L - Target
45.4
28.6
12.1 10.7
3.2
Callan Tgt Dt Idx 2040
51.6
28.0
2.7
13.4
1.6 0.6 1.3 0.8
Domestic Broad Eq Intl Equity Real Estate Domestic Fixed Intl Fixed-Inc Stable Value/Cash Absolute Return/GTAA Real Assets
Micro-Level Asset Allocation
0%
10%
20%
30%
40%
50%
60%
LifePath Index 2040 Fund L - Target
43.8
1.6
23.4
5.1
12.19.4
1.23.2
Callan Tgt Dt Idx 2040
40.8
10.6
21.4
6.1
1.4 1.4
9.7
0.7 0.6 0.8 0.5 0.22.9 3.0
Large Cap Broad Eq Small/Mid Cap Broad Non-US Developed Emerging Markets Other-Real Estate Global REITS Core Bond TIPS Cash Equiv
Commodities Intl Equity Domestic Broad Eq Other Other-Dom Fixed
Macro Asset Allocation Rankings vs. Callan Target Date 2040
% W
eig
ht
(10%)
0%
10%
20%
30%
40%
50%
60%
70%
Domestic Broad Intl Real Domestic Intl Fixed- Stable Absolute Return/ RealEq Equity Estate Fixed Inc Value/Cash GTAA Assets
(89)(48)
(48)(59)
(5)
(37)(71)(50)
(31) (17) (8) (22)(36)
10th Percentile 61.60 35.23 5.42 18.85 3.91 1.74 0.00 4.3525th Percentile 57.86 32.02 4.12 17.10 1.83 0.00 0.00 2.76
Median 51.05 28.30 2.10 13.64 0.57 0.00 0.00 0.0075th Percentile 47.59 24.79 0.00 10.28 0.00 0.00 0.00 0.0090th Percentile 44.18 18.40 0.00 7.40 0.00 0.00 0.00 0.00
LifePath Index2040 Fund L - Target 45.44 28.56 12.09 10.67 - - - 3.24
Callan TgtDt Idx 2040 51.59 27.95 2.71 13.42 1.60 0.62 1.29 0.82
35Oregon Savings Growth Plan
LifePath Index 2045 Fund LPeriod Ended March 31, 2019
Investment PhilosophyLifePath Index 2045 Portfolio seeks to maximize return consistent with the quantitatively measured risk that investorsplanning to retire (or begin to withdraw substantial portions of their investment) approximately in the year 2045 may bewilling to accept. BlackRock LifePath Funds changed from Q class to L class on 10/26/17.
Quarterly Summary and HighlightsLifePath Index 2045 Fund L’s portfolio posted a 12.20% return for the quarter placing it in the 13 percentile of the CallanTarget Date 2045 group for the quarter and in the 11 percentile for the last year.
LifePath Index 2045 Fund L’s portfolio outperformed the LifePath Index 2045 CB by 0.02% for the quarter andoutperformed the LifePath Index 2045 CB for the year by 0.05%.
Performance vs Callan Target Date 2045 (Institutional Net)
0%
5%
10%
15%
Last Quarter Last Last 3 Years Last 5 Years Last 7 Years Last 10 YearsYear
(13)(14)
(11)(13)
(40)(49)
(47)(57)
(70)(77)
(51)(57)
10th Percentile 12.29 4.75 10.97 7.41 9.73 13.3325th Percentile 11.91 3.93 10.55 7.08 8.99 12.70
Median 11.50 3.15 10.05 6.66 8.70 12.4775th Percentile 11.07 2.32 9.61 6.32 8.31 12.0790th Percentile 10.69 1.66 9.26 5.69 7.79 11.57
LifePath Index2045 Fund L 12.20 4.66 10.24 6.71 8.38 12.45
LifePathIndex 2045 CB 12.18 4.61 10.06 6.55 8.25 12.37
Relative Return vs LifePath Index 2045 CB
Rela
tive
Re
turn
s
(0.30%)
(0.20%)
(0.10%)
0.00%
0.10%
0.20%
0.30%
0.40%
2014 2015 2016 2017 2018 19
LifePath Index 2045 Fund L
Callan Target Date 2045 (Institutional Net)Annualized Five Year Risk vs Return
8.5 9.0 9.5 10.0 10.5 11.0 11.5 12.04.5%
5.0%
5.5%
6.0%
6.5%
7.0%
7.5%
8.0%
8.5%
LifePath Index 2045 Fund L
LifePath Index 2045 CB
Standard Deviation
Re
turn
s
36Oregon Savings Growth Plan
LifePath Index 2045 Fund LTarget Date Fund Asset Allocation as of March 31, 2019
The charts below illustrate the current target asset allocation of the relevant target date fund based on its underlying glidepath and compares it to an index. The top charts compare target asset allocation at a high "macro" asset class level, whilethe middle charts show a more detailed "micro" level view. The bottom chart compares the current "macro" level target assetallocation, and index, to a relevant peer group of target date funds by ranking the various target asset class weights versusthose peer target date funds.
Macro-Level Asset Allocation
0%
10%
20%
30%
40%
50%
60%
70%
80%
LifePath Index 2045 Fund L - Target
47.7
31.0
13.9
4.2 3.3
Callan Tgt Dt Idx 2045
54.1
29.9
2.9
9.5
1.1 0.5 1.2 0.8
Domestic Broad Eq Intl Equity Real Estate Domestic Fixed Intl Fixed-Inc Stable Value/Cash Absolute Return/GTAA Real Assets
Micro-Level Asset Allocation
0%
10%
20%
30%
40%
50%
60%
70%
LifePath Index 2045 Fund L - Target
46.2
1.5
25.4
5.6
13.9
3.80.3
3.3
Callan Tgt Dt Idx 2045
42.7
11.1
22.8
6.61.4 1.5
6.9
0.4 0.5 0.8 0.5 0.2 2.3 2.3
Large Cap Broad Eq Small/Mid Cap Broad Non-US Developed Emerging Markets Other-Real Estate Global REITS Core Bond TIPS Cash Equiv
Commodities Intl Equity Domestic Broad Eq Other Other-Dom Fixed
Macro Asset Allocation Rankings vs. Callan Target Date 2045
% W
eig
ht
(10%)
0%
10%
20%
30%
40%
50%
60%
70%
80%
Domestic Broad Intl Real Domestic Intl Fixed- Stable Absolute Return/ RealEq Equity Estate Fixed Inc Value/Cash GTAA Assets
(94)(51)
(43)(48)
(5)
(44) (95)(42)
(27) (17) (6) (20)(35)
10th Percentile 63.00 36.33 5.81 16.13 3.00 1.10 0.00 4.5025th Percentile 59.85 33.80 5.00 11.35 1.30 0.00 0.00 2.00
Median 54.08 29.55 2.50 8.80 0.00 0.00 0.00 0.0075th Percentile 49.76 27.00 0.00 7.09 0.00 0.00 0.00 0.0090th Percentile 48.56 20.60 0.00 4.25 0.00 0.00 0.00 0.00
LifePath Index2045 Fund L - Target 47.71 30.97 13.86 4.17 - - - 3.29
Callan TgtDt Idx 2045 54.06 29.92 2.87 9.54 1.09 0.48 1.20 0.83
37Oregon Savings Growth Plan
LifePath Index 2050 Fund LPeriod Ended March 31, 2019
Investment PhilosophyLifePath Index 2050 Portfolio seeks to maximize return consistent with the quantitatively measured risk that investorsplanning to retire (or begin to withdraw substantial portions of their investment) approximately in the year 2050 may bewilling to accept. BlackRock LifePath Funds changed from Q class to L class on 10/26/17.
Quarterly Summary and HighlightsLifePath Index 2050 Fund L’s portfolio posted a 12.52% return for the quarter placing it in the 10 percentile of the CallanTarget Date 2050 group for the quarter and in the 9 percentile for the last year.
LifePath Index 2050 Fund L’s portfolio outperformed the LifePath Index 2050 CB by 0.03% for the quarter andoutperformed the LifePath Index 2050 CB for the year by 0.07%.
Performance vs Callan Target Date 2050 (Institutional Net)
0%
5%
10%
15%
Last Quarter Last Last 3 Years Last 5 Years Last 7 Years Last 10 Years Last 11-1/2Year Years
(10)(10)
(9)(11)
(42)(48)
(42)(53)
(65)(73)
(15)(23)
(30)(64)
10th Percentile 12.52 4.66 11.04 7.37 9.65 13.17 6.1325th Percentile 12.02 3.80 10.65 7.11 9.12 12.75 5.68
Median 11.59 3.06 10.13 6.72 8.78 12.45 5.2575th Percentile 11.12 2.15 9.62 6.30 8.41 11.89 4.5990th Percentile 10.80 1.33 9.32 5.64 7.24 10.95 3.92
LifePath Index2050 Fund L 12.52 4.68 10.38 6.79 8.62 12.83 5.60
LifePathIndex 2050 CB 12.49 4.61 10.20 6.65 8.49 12.77 4.88
Relative Return vs LifePath Index 2050 CB
Rela
tive
Re
turn
s
(0.30%)
(0.20%)
(0.10%)
0.00%
0.10%
0.20%
0.30%
0.40%
2014 2015 2016 2017 2018 19
LifePath Index 2050 Fund L
Callan Target Date 2050 (Institutional Net)Annualized Five Year Risk vs Return
6 8 10 12 14 16 181%
2%
3%
4%
5%
6%
7%
8%
9%
LifePath Index 2050 CB
LifePath Index 2050 Fund L
Standard Deviation
Re
turn
s
38Oregon Savings Growth Plan
LifePath Index 2050 Fund LTarget Date Fund Asset Allocation as of March 31, 2019
The charts below illustrate the current target asset allocation of the relevant target date fund based on its underlying glidepath and compares it to an index. The top charts compare target asset allocation at a high "macro" asset class level, whilethe middle charts show a more detailed "micro" level view. The bottom chart compares the current "macro" level target assetallocation, and index, to a relevant peer group of target date funds by ranking the various target asset class weights versusthose peer target date funds.
Macro-Level Asset Allocation
0%
10%
20%
30%
40%
50%
60%
70%
80%
LifePath Index 2050 Fund L - Target
48.6
32.1
14.5
1.5 3.3
Callan Tgt Dt Idx 2050
55.1
30.8
2.97.9
0.9 0.4 1.1 0.8
Domestic Broad Eq Intl Equity Real Estate Domestic Fixed Intl Fixed-Inc Stable Value/Cash Absolute Return/GTAA Real Assets
Micro-Level Asset Allocation
0%
10%
20%
30%
40%
50%
60%
70%
LifePath Index 2050 Fund L - Target
47.0
1.6
26.3
5.8
14.5
1.5 3.3
Callan Tgt Dt Idx 2050
43.5
11.4
23.4
6.9
1.4 1.55.7
0.4 0.8 0.5 0.2 2.1 2.2
Large Cap Broad Eq Small/Mid Cap Broad Non-US Developed Emerging Markets Other-Real Estate Global REITS Core Bond Cash Equiv
Commodities Intl Equity Domestic Broad Eq Other Other-Dom Fixed
Macro Asset Allocation Rankings vs. Callan Target Date 2050
% W
eig
ht
(10%)
0%
10%
20%
30%
40%
50%
60%
70%
80%
Domestic Broad Intl Real Domestic Intl Fixed- Stable Absolute Return/ RealEq Equity Estate Fixed Inc Value/Cash GTAA Assets
(90)(51)
(41)(46)
(5)
(40) (100)(52)
(35) (10) (8) (21)(37)
10th Percentile 63.00 36.33 5.49 13.91 3.00 0.36 0.00 4.5025th Percentile 59.85 34.60 5.00 10.00 1.24 0.00 0.00 2.00
Median 55.93 30.68 2.43 8.08 0.00 0.00 0.00 0.0075th Percentile 49.92 25.65 0.00 6.50 0.00 0.00 0.00 0.0090th Percentile 48.20 21.80 0.00 3.48 0.00 0.00 0.00 0.00
LifePath Index2050 Fund L - Target 48.61 32.11 14.48 1.47 - - - 3.32
Callan TgtDt Idx 2050 55.05 30.82 2.92 7.92 0.91 0.40 1.15 0.83
39Oregon Savings Growth Plan
LifePath Index 2055 Fund LPeriod Ended March 31, 2019
Investment PhilosophyLifePath Index 2055 Portfolio seeks to maximize return consistent with the quantitatively measured risk that investorsplanning to retire (or begin to withdraw substantial portions of their investment) approximately in the year 2055 may bewilling to accept. BlackRock LifePath Funds changed from Q class to L class on 10/26/17.
Quarterly Summary and HighlightsLifePath Index 2055 Fund L’s portfolio posted a 12.55% return for the quarter placing it in the 10 percentile of the CallanTarget Date 2055 group for the quarter and in the 9 percentile for the last year.
LifePath Index 2055 Fund L’s portfolio outperformed the LifePath Index 2055 CB by 0.01% for the quarter andoutperformed the LifePath Index 2055 CB for the year by 0.06%.
Performance vs Callan Target Date 2055 (Institutional Net)
0%
2%
4%
6%
8%
10%
12%
14%
Last Quarter Last Last 3 Years Last 5 Years Last 7 Years Last 9 YearsYear
(10)(11)
(9)(11)
(50)(54)
(50)(62)
(60)(71)
(36)
10th Percentile 12.59 4.64 11.08 7.58 9.89 9.9225th Percentile 12.23 3.98 10.64 7.11 9.34 9.67
Median 11.70 2.95 10.34 6.79 8.88 8.9975th Percentile 11.32 2.14 9.76 6.48 8.61 8.4090th Percentile 11.01 1.53 9.44 5.92 7.76 8.09
LifePath Index2055 Fund L 12.55 4.68 10.37 6.79 8.78 9.46
LifePathIndex 2055 CB 12.54 4.62 10.21 6.64 8.66 -
Relative Return vs LifePath Index 2055 CB
Rela
tive
Re
turn
s
(0.30%)
(0.20%)
(0.10%)
0.00%
0.10%
0.20%
0.30%
0.40%
2014 2015 2016 2017 2018 19
LifePath Index 2055 Fund L
Callan Target Date 2055 (Institutional Net)Annualized Five Year Risk vs Return
8 10 12 14 16 181%
2%
3%
4%
5%
6%
7%
8%
9%
LifePath Index 2055 CB
LifePath Index 2055 Fund L
Standard Deviation
Re
turn
s
40Oregon Savings Growth Plan
LifePath Index 2055 Fund LTarget Date Fund Asset Allocation as of March 31, 2019
The charts below illustrate the current target asset allocation of the relevant target date fund based on its underlying glidepath and compares it to an index. The top charts compare target asset allocation at a high "macro" asset class level, whilethe middle charts show a more detailed "micro" level view. The bottom chart compares the current "macro" level target assetallocation, and index, to a relevant peer group of target date funds by ranking the various target asset class weights versusthose peer target date funds.
Macro-Level Asset Allocation
0%
10%
20%
30%
40%
50%
60%
70%
80%
LifePath Index 2055 Fund L - Target
48.8
32.3
14.6
1.03.3
Callan Tgt Dt Idx 2055
55.5
31.2
2.97.2
0.8 0.4 1.2 0.8
Domestic Broad Eq Intl Equity Real Estate Domestic Fixed Intl Fixed-Inc Stable Value/Cash Absolute Return/GTAA Real Assets
Micro-Level Asset Allocation
0%
10%
20%
30%
40%
50%
60%
70%
LifePath Index 2055 Fund L - Target
47.2
1.6
26.5
5.8
14.6
1.03.3
Callan Tgt Dt Idx 2055
43.8
11.5
23.6
7.0
1.4 1.55.1
0.4 0.8 0.6 0.2 2.0 2.1
Large Cap Broad Eq Small/Mid Cap Broad Non-US Developed Emerging Markets Other-Real Estate Global REITS Core Bond Cash Equiv
Commodities Intl Equity Domestic Broad Eq Other Other-Dom Fixed
Macro Asset Allocation Rankings vs. Callan Target Date 2055
% W
eig
ht
(10%)
0%
10%
20%
30%
40%
50%
60%
70%
80%
Domestic Broad Intl Real Domestic Intl Fixed- Stable Absolute Return/ RealEq Equity Estate Fixed Inc Value/Cash GTAA Assets
(93)(54)
(44)(51)
(5)
(43) (100)(55)
(36) (9) (6) (20)(35)
10th Percentile 63.00 36.33 6.02 11.96 2.60 0.00 0.00 4.5025th Percentile 60.02 35.01 5.00 9.50 1.13 0.00 0.00 2.00
Median 58.03 31.35 2.50 7.40 0.00 0.00 0.00 0.0075th Percentile 50.50 27.00 0.00 5.27 0.00 0.00 0.00 0.0090th Percentile 49.10 23.00 0.00 2.40 0.00 0.00 0.00 0.00
LifePath Index2055 Fund L - Target 48.78 32.34 14.55 1.00 - - - 3.33
Callan TgtDt Idx 2055 55.48 31.23 2.93 7.16 0.83 0.37 1.15 0.84
41Oregon Savings Growth Plan
LifePath Index 2060 Fund LPeriod Ended March 31, 2019
Investment PhilosophyLifePath Index 2060 Portfolio seeks to maximize return consistent with the quantitatively measured risk that investorsplanning to retire (or begin to withdraw substantial portions of their investment) approximately in the year 2060 may bewilling to accept. BlackRock LifePath Funds changed from Q class to L class on 10/26/17.
Quarterly Summary and HighlightsLifePath Index 2060 Fund L’s portfolio posted a 12.55% return for the quarter placing it in the 11 percentile of the CallanTarget Date 2060 group for the quarter and in the 10 percentile for the last year.
LifePath Index 2060 Fund L’s portfolio outperformed the LifePath Index 2060 CB by 0.01% for the quarter andoutperformed the LifePath Index 2060 CB for the year by 0.05%.
Performance vs Callan Target Date 2060 (Institutional Net)
0%
5%
10%
15%
Last Quarter Last Year Last 3 Years Last 4-1/4 Years
(11)(11)
(10)(11)
(57)(61)
(57)(66)
10th Percentile 12.82 4.70 11.16 7.9025th Percentile 12.24 3.90 10.83 7.54
Median 11.81 3.07 10.47 7.1475th Percentile 11.39 2.13 9.79 6.6790th Percentile 10.88 1.58 9.40 5.90
LifePath Index2060 Fund L 12.55 4.67 10.35 7.01
LifePathIndex 2060 CB 12.54 4.62 10.21 6.84
Relative Return vs LifePath Index 2060 CB
Rela
tive
Re
turn
s
(0.40%)
(0.30%)
(0.20%)
(0.10%)
0.00%
0.10%
0.20%
0.30%
0.40%
2015 2016 2017 2018 19
LifePath Index 2060 Fund L
Callan Target Date 2060 (Institutional Net)Annualized Four and One-Quarter Year Risk vs Return
9.5 10.0 10.5 11.0 11.5 12.0 12.55.0%
5.5%
6.0%
6.5%
7.0%
7.5%
8.0%
8.5%
LifePath Index 2060 Fund L
LifePath Index 2060 CB
Standard Deviation
Re
turn
s
42Oregon Savings Growth Plan
Sta
ble
Va
lue
Op
tion
Stable Value Option
Stable Value OptionPeriod Ended March 31, 2019
Quarterly Summary and HighlightsStable Value Option’s portfolio posted a 0.61% return for the quarter placing it in the 4 percentile of the Callan StableValue CT group for the quarter and in the 11 percentile for the last year.
Stable Value Option’s portfolio outperformed the 3-month Treasury Bill by 0.01% for the quarter and outperformed the3-month Treasury Bill for the year by 0.22%.
Performance vs Callan Stable Value CT (Institutional Net)
0.0%
0.5%
1.0%
1.5%
2.0%
2.5%
3.0%
Last Quarter Last Last 3 Years Last 5 Years Last 7 Years Last 10 YearsYear
(4)(6)
(11)
(23)(12)
(92)
(21)
(99)
(27)
(99)
(45)
(100)
10th Percentile 0.59 2.37 2.07 1.99 2.08 2.5425th Percentile 0.54 2.10 1.83 1.74 1.87 2.26
Median 0.48 1.90 1.65 1.48 1.49 1.7075th Percentile 0.45 1.73 1.49 1.31 1.30 1.4990th Percentile 0.41 1.56 1.25 1.04 1.09 1.35
StableValue Option 0.61 2.34 2.03 1.85 1.80 1.85
3-monthTreasury Bill 0.60 2.12 1.19 0.74 0.56 0.43
Relative Return vs 3-month Treasury Bill
Rela
tive
Re
turn
s
0.00%
0.05%
0.10%
0.15%
0.20%
0.25%
0.30%
0.35%
0.40%
0.45%
0.50%
2014 2015 2016 2017 2018 19
Stable Value Option
Callan Stable Value CT (Institutional Net)Annualized Five Year Risk vs Return
0.00 0.10 0.20 0.30 0.40 0.500.6%
0.8%
1.0%
1.2%
1.4%
1.6%
1.8%
2.0%
2.2%
2.4%
Stable Value Option
3-month Treasury Bill
Standard Deviation
Re
turn
s
44Oregon Savings Growth Plan
Stable Value OptionReturn Analysis Summary
Return AnalysisThe graphs below analyze the manager’s return on both a risk-adjusted and unadjusted basis. The first chart illustrates themanager’s ranking over different periods versus the appropriate style group. The second chart shows the historical quarterlyand cumulative manager returns versus the appropriate market benchmark.
Risk Adjusted Return Measures vs 3-month Treasury BillFive Years Ended March 31, 2019
Tracking Standard Sharpe Excess DownsideAlpha Beta Error Deviation Ratio Return Risk
Stable Value Option 1.10% 0.00 0.26 0.15% 7.38 1.11 0.00%
Performance vs Callan Stable Value CT (Institutional Net)
0.0%
0.5%
1.0%
1.5%
2.0%
2.5%
3.0%
12/18- 3/19 2018 2017 2016 2015 2014 2013
(4)(6)
(11)
(46) (12)
(100)
(12)
(98)
(16)
(94)
(28)
(94)
(30)
(96)
10th Percentile 0.59 2.28 1.91 1.83 1.93 1.90 1.9725th Percentile 0.54 2.05 1.75 1.54 1.59 1.50 1.76
Median 0.48 1.78 1.53 1.34 1.37 1.27 1.3675th Percentile 0.45 1.65 1.38 1.26 1.04 0.92 1.0690th Percentile 0.41 1.43 1.17 1.14 0.54 0.51 0.59
Stable Value Option 0.61 2.24 1.89 1.77 1.65 1.44 1.65
3-month Treasury Bill 0.60 1.87 0.86 0.33 0.05 0.03 0.07
Cumulative and Quarterly Relative Return vs 3-month Treasury Bill
Re
lative
Re
turn
s
0%
1%
2%
3%
4%
5%
6%
7%
2014 2015 2016 2017 2018 2019
Stable Value Option Callan Stable Value CT
45Oregon Savings Growth Plan
Stable Value OptionStable Value Characteristics Analysis Summary
Portfolio CharacteristicsThis graph compares the stable value fund’s portfolio characteristics with the range of characteristics for the portfolios whichmake up the fund’s style group. This analysis illustrates whether the fund’s current structure is consistent with other fundsemploying the same style.
Portfolio Characteristics Percentile RankingsRankings Against Callan Stable Value CTas of March 31, 2019
Pe
rce
ntile
Ra
nkin
g
100%
90%
80%
70%
60%
50%
40%
30%
20%
10%
0%
Market/Book Crediting Yield on Wrap Sub-AdvisoryDuration Ratio Rate Underlying Assets Fees Fees
(36)
(100)
(1)
(24) (24)
(79)
(8)
10th Percentile 3.23 100.06 2.66 3.07 0.20 0.0525th Percentile 2.99 100.06 2.60 2.98 0.19 0.03
Median 2.66 99.76 2.52 2.84 0.18 0.0075th Percentile 2.58 99.39 2.47 2.76 0.18 0.0090th Percentile 2.57 99.33 2.43 2.74 0.16 0.00
Stable Value Option 2.81 100.20 2.60 2.99 0.18 0.08
3-month Treasury Bill 0.16 - - - - -
Wrap Structure and DiversificationThe graph below represents the stable value fund’s wrap contract structure as of the most recent reporting period. The fund’soverall wrap structure may include exposure to constant duration or maturing synthetic GIC contracts, traditional GICcontracts, cash, or other exposures. These contracts allow stable value portfolios to maintain book value accountingpractices and a stable net asset value.
Portfolio Wrap ExposureMarch 31, 2019
Const Dur Synthetic87.89%
Separate Account GIC6.66%
Cash4.78%
Stable Value Pooled0.65%
Traditional GIC/BIC0.02%
Wrap Contract DiversificationMarch 31, 2019
(2)
0
2
4
6
8
10
12
14
Number ofWrap Providers
(13)
10th Percentile 12.025th Percentile 10.5
Median 7.575th Percentile 3.090th Percentile 0.0
Stable Value Option 12.0
46Oregon Savings Growth Plan
Stable Value OptionStable Value Portfolio Characteristics SummaryAs of March 31, 2019
Portfolio Structure ComparisonThe charts below compare the structure of the portfolio to that of the index from two perspectives that have the greatestinfluence on return. The first chart compares the portfolio’s duration distribution versus the benchmark, and the second chartcompares the distributions across quality ratings.
Duration Distribution
0%
20%
40%
60%
80%
100%
120%
<1
20.4
100.0
1-3
41.7
3-5
25.8
5-7
7.3
7-10
4.3
>10
0.5
Years Duration
Pe
rce
nt o
f P
ort
folio
Weighted Average: Duration
Stable Value Option:3-month Treasury Bill:
2.81
0.16
Quality Distribution
0%
20%
40%
60%
80%
100%
120%
AAA
65.8
100.0
AA
6.4
A
16.4
BBB
11.3
<BBB
0.1
Quality Rating
Pe
rce
nt
of
Po
rtfo
lio
Weighted Average: Quality
Stable Value Option:3-month Treasury Bill:
AA
AAA
Market-to-Book Ratio and Crediting Rates Over TimeThe market-to-book ratio chart below depicts the historical movement of the stable value portfolio’s market-to-book ratio overtime. This statistic measures the overall health of the underlying portfolio. Portfolios with market-to-book ratios closer to100% will be better positioned to absorb flows and should offer greater return stability over time. The crediting rate chartbelow depicts the historical movement of the stable value portfolio’s crediting rate over time. As a backdrop the range (from10th to 90th percentile) is shown along with a white median line for the Callan Stable Value CT Universe.
Market-to-Book Ratio
Pe
rce
nt
96%
97%
98%
99%
100%
101%
102%
103%
104%
105%
2014 2015 2016 2017 2018 2019
99.76%100.20%
Stable Value Option
Crediting Rate
Perc
en
t
0.50%
1.00%
1.50%
2.00%
2.50%
3.00%
2014 2015 2016 2017 2018 2019
2.52%2.60%
Stable Value Option
47Oregon Savings Growth Plan
Activ
e F
ixe
d
Active Fixed
Inco
me O
ptio
n
Income Option
Active Fixed Income OptionPeriod Ended March 31, 2019
Quarterly Summary and HighlightsActive Fixed Income Option’s portfolio posted a 2.88% return for the quarter placing it in the 87 percentile of the CallanCore Plus Mutual Funds group for the quarter and in the 38 percentile for the last year.
Active Fixed Income Option’s portfolio underperformed the Bloomberg Aggregate Index by 0.06% for the quarter andunderperformed the Bloomberg Aggregate Index for the year by 0.01%.
Performance vs Callan Core Plus Mutual Funds (Institutional Net)
1%
2%
3%
4%
5%
6%
7%
8%
9%
Last Quarter Last Last 3 Years Last 5 Years Last 7 Years Last 10 YearsYear
(87)(86)
(38)(38)
(53)
(95)
(34)
(71)
(56)
(94)
(51)
(95)
10th Percentile 4.72 4.83 4.65 4.01 4.28 7.4525th Percentile 3.92 4.58 3.40 3.36 3.74 6.27
Median 3.58 4.34 2.99 2.97 3.22 5.1975th Percentile 3.22 3.80 2.56 2.72 2.85 4.7190th Percentile 2.79 3.54 2.12 2.48 2.58 4.33
Active FixedIncome Option 2.88 4.47 2.88 3.23 3.11 5.15
BloombergAggregate Index 2.94 4.48 2.03 2.74 2.48 3.77
Relative Returns vsBloomberg Aggregate Index
Rela
tive
Re
turn
s
(0.6%)
(0.4%)
(0.2%)
0.0%
0.2%
0.4%
0.6%
0.8%
1.0%
2014 2015 2016 2017 2018 19
Active Fixed Income Option
Callan Core Plus Mutual Funds (Institutional Net)Annualized Five Year Risk vs Return
2.0 2.5 3.0 3.5 4.0 4.5 5.0 5.51.5%
2.0%
2.5%
3.0%
3.5%
4.0%
4.5%
5.0%
5.5%
Active Fixed Income Option
Bloomberg Aggregate Index
Standard Deviation
Re
turn
s
49Oregon Savings Growth Plan
Active Fixed Income OptionReturn Analysis Summary
Return AnalysisThe graphs below analyze the manager’s return on both a risk-adjusted and unadjusted basis. The first chart illustrates themanager’s ranking over different periods versus the appropriate style group. The second chart shows the historical quarterlyand cumulative manager returns versus the appropriate market benchmark. The last chart illustrates the manager’s rankingrelative to their style using various risk-adjusted return measures.
Performance vs Callan Core Plus Mutual Funds (Institutional Net)
(4%)
(2%)
0%
2%
4%
6%
8%
10%
12/18- 3/19 2018 2017 2016 2015 2014 2013
(87)(86)
(7)(12)
(56)(78) (58)
(90)
(9)(14)
(33)(43)
(82)(87)
10th Percentile 4.72 0.17 6.88 8.11 0.73 7.18 0.4925th Percentile 3.92 (0.29) 5.32 4.68 0.38 6.35 (0.12)
Median 3.58 (0.68) 4.70 3.70 0.02 5.88 (0.99)75th Percentile 3.22 (1.15) 3.83 3.14 (0.79) 5.44 (1.35)90th Percentile 2.79 (2.07) 3.14 2.62 (2.62) 4.64 (2.04)
Active FixedIncome Option 2.88 0.50 4.47 3.48 0.82 6.13 (1.55)
BloombergAggregate Index 2.94 0.01 3.54 2.65 0.55 5.97 (2.02)
Cumulative and Quarterly Relative Return vs Bloomberg Aggregate Index
Re
lative
Re
turn
s
(4%)
(3%)
(2%)
(1%)
0%
1%
2%
3%
4%
2014 2015 2016 2017 2018 2019
Active Fixed Income Option Callan Core Plus MFs
Risk Adjusted Return Measures vs Bloomberg Aggregate IndexRankings Against Callan Core Plus Mutual Funds (Institutional Net)Five Years Ended March 31, 2019
(0.6)
(0.4)
(0.2)
0.0
0.2
0.4
0.6
0.8
1.0
1.2
1.4
Alpha Sharpe Excess ReturnRatio Ratio
(20)(13)
(16)
10th Percentile 1.18 0.95 0.9125th Percentile 0.70 0.84 0.62
Median 0.39 0.71 0.2075th Percentile 0.12 0.61 (0.01)90th Percentile (0.17) 0.50 (0.31)
Active Fixed Income Option 0.74 0.92 0.83
50Oregon Savings Growth Plan
Active Fixed Income OptionRisk Analysis Summary
Risk AnalysisThe graphs below analyze the risk or variation of a manager’s return pattern. The first scatter chart illustrates therelationship, called Excess Return Ratio, between excess return and tracking error relative to the benchmark. The secondchart shows tracking error patterns versus the benchmark over time. The last two charts show the ranking of the manager’srisk statistics versus the peer group.
Risk Analysis vs Callan Core Plus Mutual Funds (Institutional Net)Five Years Ended March 31, 2019
0.0 0.5 1.0 1.5 2.0 2.5 3.0 3.5 4.0 4.5 5.0 5.5(1.5 )
(1.0 )
(0.5 )
0.0
0.5
1.0
1.5
2.0
2.5
3.0
Active Fixed Income Option
Tracking Error
Exce
ss R
etu
rn
Rolling 12 Quarter Tracking Error vs Bloomberg Aggregate Index
Tra
ckin
g E
rro
r
0.2%
0.4%
0.6%
0.8%
1.0%
1.2%
1.4%
1.6%
1.8%
2.0%
2.2%
2014 2015 2016 2017 2018 2019
Active Fixed Income OptionCallan Core Plus MFs
Risk Statistics Rankings vs Bloomberg Aggregate IndexRankings Against Callan Core Plus Mutual Funds (Institutional Net)Five Years Ended March 31, 2019
0.0%
0.5%
1.0%
1.5%
2.0%
2.5%
3.0%
3.5%
4.0%
4.5%
5.0%
Standard Downside TrackingDeviation Risk Error
(94)
(98)(92)
10th Percentile 4.16 1.71 2.5825th Percentile 3.43 1.09 1.60
Median 3.13 0.78 1.1075th Percentile 2.97 0.53 0.8490th Percentile 2.81 0.40 0.63
Active FixedIncome Option 2.70 0.27 0.59
0.50
0.60
0.70
0.80
0.90
1.00
1.10
1.20
Beta R-Squared
(79)
(4)
10th Percentile 1.07 0.9625th Percentile 0.99 0.93
Median 0.94 0.8875th Percentile 0.89 0.7990th Percentile 0.82 0.59
Active FixedIncome Option 0.86 0.98
51Oregon Savings Growth Plan
Active Fixed Income OptionBond Characteristics Analysis Summary
Portfolio CharacteristicsThis graph compares the manager’s portfolio characteristics with the range of characteristics for the portfolios which make upthe manager’s style group. This analysis illustrates whether the manager’s current holdings are consistent with othermanagers employing the same style.
Fixed Income Portfolio CharacteristicsRankings Against Callan Core Plus Mutual Fundsas of March 31, 2019
(2)
0
2
4
6
8
10
12
Average Effective Coupon OADuration Life Yield Rate Convexity
(91)(60)
(75)(43)
(79)(91)(75)(83)
(88)(77)
10th Percentile 6.49 9.40 4.15 4.38 1.2125th Percentile 6.09 9.05 3.96 4.11 1.00
Median 5.89 7.80 3.62 3.78 0.6375th Percentile 5.70 7.41 3.48 3.45 0.1790th Percentile 4.98 4.92 3.01 3.00 (0.13)
Active FixedIncome Option 4.92 7.42 3.35 3.46 (0.18)
BloombergAggregate Index 5.82 8.07 2.93 3.23 0.13
Sector Allocation and Quality RatingsThe first graph compares the manager’s sector allocation with the average allocation across all the members of themanager’s style. The second graph compares the manager’s weighted average quality rating with the range of quality ratingsfor the style.
Sector AllocationMarch 31, 2019
0% 10% 20% 30% 40% 50%
RMBS32.7
23.427.8
Corp (incl 144A)18.4
50
%M
gr
MV
50
%M
gr
MV
35.324.7
US Trsy17.417.9
39.1
Non-Agency RMBS14.4
1.9
ABS5.0
6.30.5
CMBS4.84.5
2.0
Gov Related2.7
6.26.0
Cash1.9
4.5
CMOs1.3
Bk Ln0.6
Prfd0.3
Tax-Exempt US Muni0.3
Other
Cnvt
Active Fixed Income Option Callan Core Plus Mutual Funds
Bloomberg Aggregate Index
Quality Ratingsvs Callan Core Plus Mutual Funds
A-
A
A+
AA-
AA
AA+
AAA
Trsy
Weighted AverageQuality Rating
(61)
(1)
10th Percentile AA25th Percentile AA
Median AA75th Percentile A90th Percentile A
Active FixedIncome Option AA-
BloombergAggregate Index AA+
52Oregon Savings Growth Plan
BlackRock US Debt Index FundPeriod Ended March 31, 2019
Investment PhilosophyThe U.S. Debt Index Fund is constructed to ensure that the risk and return profile of the Bloomberg Barclays AggregateBond index is replicated and tracking error is minimized.
Quarterly Summary and HighlightsBlackRock US Debt Index Fund’s portfolio posted a 2.98% return for the quarter placing it in the 79 percentile of theCallan Core Bond Fixed Income group for the quarter and in the 61 percentile for the last year.
BlackRock US Debt Index Fund’s portfolio outperformed the Bloomberg Aggregate Index by 0.04% for the quarter andoutperformed the Bloomberg Aggregate Index for the year by 0.10%.
Performance vs Callan Core Bond Fixed Income (Gross)
1.5%
2.0%
2.5%
3.0%
3.5%
4.0%
4.5%
5.0%
5.5%
6.0%
6.5%
Last Quarter Last Last 3 Years Last 5 Years Last 7 Years Last 10 YearsYear
(79)(84)
(61)(75)
(84)(89)
(83)(91)
(90)(97)
(96)(98)
10th Percentile 3.52 5.08 3.08 3.47 3.46 5.7125th Percentile 3.35 4.92 2.82 3.30 3.22 5.09
Median 3.17 4.70 2.52 3.05 2.94 4.6175th Percentile 2.99 4.48 2.23 2.93 2.75 4.2490th Percentile 2.84 4.35 2.01 2.76 2.59 4.02
BlackRock USDebt Index Fund 2.98 4.58 2.12 2.85 2.59 3.86
BloombergAggregate Index 2.94 4.48 2.03 2.74 2.48 3.77
Relative Returns vsBloomberg Aggregate Index
Rela
tive
Re
turn
s
(0.04%)
(0.02%)
0.00%
0.02%
0.04%
0.06%
0.08%
0.10%
2014 2015 2016 2017 2018 19
BlackRock US Debt Index Fund
Callan Core Bond Fixed Income (Gross)Annualized Five Year Risk vs Return
2.2 2.4 2.6 2.8 3.0 3.2 3.4 3.6 3.82.2%
2.4%
2.6%
2.8%
3.0%
3.2%
3.4%
3.6%
3.8%
4.0%
4.2%
BlackRock US Debt Index Fund
Bloomberg Aggregate Index
Standard Deviation
Re
turn
s
53Oregon Savings Growth Plan
BlackRock US Debt Index FundReturn Analysis Summary
Return AnalysisThe graphs below analyze the manager’s return on both a risk-adjusted and unadjusted basis. The first chart illustrates themanager’s ranking over different periods versus the appropriate style group. The second chart shows the historical quarterlyand cumulative manager returns versus the appropriate market benchmark. The last chart illustrates the manager’s rankingrelative to their style using various risk-adjusted return measures.
Performance vs Callan Core Bond Fixed Income (Gross)
(4%)
(2%)
0%
2%
4%
6%
8%
10%
12/18- 3/19 2018 2017 2016 2015 2014 2013
(79)(84)
(57)(62)
(75)(87)(84)(86)
(69)(71)
(48)(70)
(80)(84)
10th Percentile 3.52 0.64 4.72 4.36 1.51 7.21 (0.66)25th Percentile 3.35 0.35 4.32 3.78 1.13 6.61 (1.08)
Median 3.17 0.11 3.96 3.14 0.84 6.19 (1.47)75th Percentile 2.99 (0.14) 3.68 2.83 0.50 5.90 (1.81)90th Percentile 2.84 (0.44) 3.34 2.59 (0.04) 5.39 (2.33)
BlackRock USDebt Index Fund 2.98 0.07 3.66 2.73 0.61 6.22 (1.94)
BloombergAggregate Index 2.94 0.01 3.54 2.65 0.55 5.97 (2.02)
Cumulative and Quarterly Relative Return vs Bloomberg Aggregate Index
Re
lative
Re
turn
s
(0.5%)
0.0%
0.5%
1.0%
1.5%
2.0%
2014 2015 2016 2017 2018 2019
BlackRock US Debt Index Fund Callan Core Bond FI
Risk Adjusted Return Measures vs Bloomberg Aggregate IndexRankings Against Callan Core Bond Fixed Income (Gross)Five Years Ended March 31, 2019
0.0
0.5
1.0
1.5
2.0
2.5
Alpha Sharpe Excess ReturnRatio Ratio
(89)
(88)
(4)
10th Percentile 0.75 0.87 1.6925th Percentile 0.60 0.83 1.12
Median 0.39 0.77 0.7875th Percentile 0.20 0.71 0.3990th Percentile 0.04 0.66 0.03
BlackRock US Debt Index Fund 0.09 0.68 2.21
54Oregon Savings Growth Plan
BlackRock US Debt Index FundRisk Analysis Summary
Risk AnalysisThe graphs below analyze the risk or variation of a manager’s return pattern. The first scatter chart illustrates therelationship, called Excess Return Ratio, between excess return and tracking error relative to the benchmark. The secondchart shows tracking error patterns versus the benchmark over time. The last two charts show the ranking of the manager’srisk statistics versus the peer group.
Risk Analysis vs Callan Core Bond Fixed Income (Gross)Five Years Ended March 31, 2019
0.0 0.2 0.4 0.6 0.8 1.0 1.2 1.4 1.6 1.8 2.0(0.4 )
(0.2 )
0.0
0.2
0.4
0.6
0.8
1.0
1.2
1.4
1.6
BlackRock US Debt Index Fund
Tracking Error
Exce
ss R
etu
rn
Rolling 12 Quarter Tracking Error vs Bloomberg Aggregate Index
Tra
ckin
g E
rro
r
0.00%
0.10%
0.20%
0.30%
0.40%
0.50%
0.60%
0.70%
0.80%
0.90%
1.00%
2014 2015 2016 2017 2018 2019
BlackRock US Debt Index FundCallan Core Bond FI
Risk Statistics Rankings vs Bloomberg Aggregate IndexRankings Against Callan Core Bond Fixed Income (Gross)Five Years Ended March 31, 2019
0.0%
0.5%
1.0%
1.5%
2.0%
2.5%
3.0%
3.5%
4.0%
Standard Downside TrackingDeviation Risk Error
(43)
(100) (99)
10th Percentile 3.24 0.51 0.8825th Percentile 3.16 0.35 0.61
Median 3.07 0.25 0.4575th Percentile 2.98 0.15 0.3490th Percentile 2.92 0.09 0.23
BlackRock USDebt Index Fund 3.12 0.01 0.05
0.88
0.90
0.92
0.94
0.96
0.98
1.00
1.02
1.04
1.06
Beta R-Squared
(32)(1)
10th Percentile 1.03 0.9925th Percentile 1.02 0.99
Median 0.98 0.9875th Percentile 0.95 0.9690th Percentile 0.90 0.93
BlackRock USDebt Index Fund 1.01 1.00
55Oregon Savings Growth Plan
BlackRock US Debt Index FundBond Characteristics Analysis Summary
Portfolio CharacteristicsThis graph compares the manager’s portfolio characteristics with the range of characteristics for the portfolios which make upthe manager’s style group. This analysis illustrates whether the manager’s current holdings are consistent with othermanagers employing the same style.
Fixed Income Portfolio CharacteristicsRankings Against Callan Core Bond Fixed Incomeas of March 31, 2019
(2)
0
2
4
6
8
10
Average Effective Coupon OADuration Life Yield Rate Convexity
(32)(32)
(42)(42)
(84)(84) (76)(76)
(59)(59)
10th Percentile 5.97 8.90 3.41 3.84 0.7425th Percentile 5.83 8.31 3.26 3.58 0.43
Median 5.76 8.03 3.14 3.39 0.1875th Percentile 5.57 7.50 3.03 3.24 0.0890th Percentile 5.25 6.92 2.77 2.89 (0.14)
BlackRock USDebt Index Fund 5.82 8.07 2.93 3.23 0.13
BloombergAggregate Index 5.82 8.07 2.93 3.23 0.13
Sector Allocation and Quality RatingsThe first graph compares the manager’s sector allocation with the average allocation across all the members of themanager’s style. The second graph compares the manager’s weighted average quality rating with the range of quality ratingsfor the style.
Sector AllocationMarch 31, 2019
0% 10% 20% 30% 40% 50%
US Trsy39.1
24.739.1
RMBS27.8
50
%M
gr
MV
50
%M
gr
MV
27.227.8
Corp (incl 144A)24.7
34.824.7
Gov Related6.0
3.46.0
CMBS2.0
4.12.0
ABS0.5
5.30.5
Other
Cash 0.6
BlackRock US Debt Index Fund Callan Core Bond Fixed Income
Bloomberg Aggregate Index
Quality Ratingsvs Callan Core Bond Fixed Income
A-
A
A+
AA-
AA
AA+
AAA
Trsy
Weighted AverageQuality Rating
(5)(5)
10th Percentile AA25th Percentile AA
Median AA75th Percentile AA90th Percentile A
BlackRock USDebt Index Fund AA+
BloombergAggregate Index AA+
56Oregon Savings Growth Plan
DoubleLine Total Return Bond FundPeriod Ended March 31, 2019
Investment PhilosophyDoubleLine believes that the most reliable way to enhance returns is to exploit inefficiencies within the subsectors of theMBS market, while maintaining active risk management constraints. DoubleLine’s objective is to invest in securities that willoutperform through the interest rate cycle, i.e., not only in today’s environment but also when rates are higher and lower.DoubleLine does not believe that an investor can meaningfully outperform the market through interest rate predictions, butrather, through security selection.
Quarterly Summary and HighlightsDoubleLine Total Return Bond Fund’s portfolio posted a 2.21% return for the quarter placing it in the 99 percentile ofthe Callan Core Plus Fixed Income group for the quarter and in the 21 percentile for the last year.
DoubleLine Total Return Bond Fund’s portfolio underperformed the Bloomberg Aggregate Index by 0.74% for thequarter and outperformed the Bloomberg Aggregate Index for the year by 0.53%.
Performance vs Callan Core Plus Fixed Income (Gross)
1%
2%
3%
4%
5%
6%
7%
Last Quarter Last Last 3 Years Last 5 Years Last 7 Years Last 8-3/4Year Years
A(99)B(99)
(97)
A(21)
B(67)(64)
A(60)
B(100)(99)
A(10)
B(98)(97)
A(15)
B(100)(99)
A(1)
B(100)
(99)
10th Percentile 4.20 5.17 4.11 3.81 4.29 5.3325th Percentile 4.03 4.95 3.83 3.66 3.87 4.59
Median 3.73 4.62 3.32 3.31 3.48 4.2975th Percentile 3.43 4.27 3.00 3.08 3.33 3.9990th Percentile 3.11 3.93 2.57 2.93 3.01 3.69
DoubleLine TotalReturn Bond Fund A 2.21 5.01 3.24 3.81 4.07 5.68
BloombergMortgage Index B 2.17 4.42 1.77 2.65 2.20 2.63
BloombergAggregate Index 2.94 4.48 2.03 2.74 2.48 3.03
Relative Returns vsBloomberg Aggregate Index
Rela
tive
Re
turn
s
(1.5%)
(1.0%)
(0.5%)
0.0%
0.5%
1.0%
1.5%
2.0%
2014 2015 2016 2017 2018 19
DoubleLine Total Return Bond Fund
Callan Core Plus Fixed Income (Gross)Annualized Five Year Risk vs Return
1.5 2.0 2.5 3.0 3.5 4.02.0%
2.5%
3.0%
3.5%
4.0%
4.5%
5.0%
5.5%
Bloomberg Mortgage Index
DoubleLine Total Return Bond Fund
Bloomberg Aggregate Index
Standard Deviation
Re
turn
s
57Oregon Savings Growth Plan
DoubleLine Total Return Bond FundReturn Analysis Summary
Return AnalysisThe graphs below analyze the manager’s return on both a risk-adjusted and unadjusted basis. The first chart illustrates themanager’s ranking over different periods versus the appropriate style group. The second chart shows the historical quarterlyand cumulative manager returns versus the appropriate market benchmark. The last chart illustrates the manager’s rankingrelative to their style using various risk-adjusted return measures.
Performance vs Callan Core Plus Fixed Income (Gross)
(4%)(2%)
0%2%4%6%8%
10%
12/18- 3/19 2018 2017 2016 2015 2014 2013
A(99)B(99)
(97) A(1)B(3)
(29)
A(80)B(100)
(95) A(100)B(100)
(100) A(1)B(1)(38)
A(13)B(55)(61)
A(14)B(82)(96)
10th Percentile 4.20 0.52 6.10 6.64 1.05 7.34 1.1025th Percentile 4.03 0.10 5.45 5.36 0.76 6.88 (0.13)
Median 3.73 (0.25) 4.97 4.66 0.34 6.18 (0.67)75th Percentile 3.43 (0.82) 4.41 3.73 (0.36) 5.70 (1.07)90th Percentile 3.11 (1.27) 3.94 3.22 (1.08) 5.36 (1.66)
DoubleLine TotalReturn Bond Fund A 2.21 2.43 4.36 2.58 2.79 7.24 0.50
BloombergMortgage Index B 2.17 0.99 2.47 1.67 1.51 6.08 (1.41)
BloombergAggregate Index 2.94 0.01 3.54 2.65 0.55 5.97 (2.02)
Cumulative and Quarterly Relative Return vs Bloomberg Aggregate Index
Re
lative
Re
turn
s
(3%)
(2%)
(1%)
0%
1%
2%
3%
4%
5%
6%
7%
2014 2015 2016 2017 2018 2019
DoubleLine Total Return Bond Fund Bloomberg Mortgage Index Callan Core Plus FI
Risk Adjusted Return Measures vs Bloomberg Aggregate IndexRankings Against Callan Core Plus Fixed Income (Gross)Five Years Ended March 31, 2019
(0.5)
0.0
0.5
1.0
1.5
2.0
Alpha Sharpe Excess ReturnRatio Ratio
A(4)
B(73)
A(1)
B(46) A(28)
B(98)
10th Percentile 1.32 1.00 1.2425th Percentile 1.06 0.95 0.97
Median 0.73 0.81 0.5275th Percentile 0.43 0.74 0.3190th Percentile 0.30 0.70 0.14
DoubleLine Total Return Bond Fund A 1.74 1.47 0.85Bloomberg Mortgage Index B 0.47 0.82 (0.08)
58Oregon Savings Growth Plan
DoubleLine Total Return Bond FundRisk Analysis Summary
Risk AnalysisThe graphs below analyze the risk or variation of a manager’s return pattern. The first scatter chart illustrates therelationship, called Excess Return Ratio, between excess return and tracking error relative to the benchmark. The secondchart shows tracking error patterns versus the benchmark over time. The last two charts show the ranking of the manager’srisk statistics versus the peer group.
Risk Analysis vs Callan Core Plus Fixed Income (Gross)Five Years Ended March 31, 2019
0.0 0.5 1.0 1.5 2.0 2.5 3.0(0.5 )
0.0
0.5
1.0
1.5
2.0
2.5
DoubleLine Total Return Bond Fund
Bloomberg Mortgage Index
Tracking Error
Exce
ss R
etu
rn
Rolling 12 Quarter Tracking Error vs Bloomberg Aggregate Index
Tra
ckin
g E
rro
r
0.6%
0.8%
1.0%
1.2%
1.4%
1.6%
1.8%
2.0%
2.2%
2.4%
2014 2015 2016 2017 2018 2019
DoubleLine Total Return Bond FundBloomberg Mortgage IndexCallan Core Plus FI
Risk Statistics Rankings vs Bloomberg Aggregate IndexRankings Against Callan Core Plus Fixed Income (Gross)Five Years Ended March 31, 2019
0.0%
0.5%
1.0%
1.5%
2.0%
2.5%
3.0%
3.5%
4.0%
Standard Downside TrackingDeviation Risk Error
B(99)A(99)
B(29)A(48)
A(37)B(46)
10th Percentile 3.51 1.42 1.9925th Percentile 3.24 0.98 1.45
Median 3.14 0.68 1.0875th Percentile 3.04 0.39 0.8490th Percentile 2.88 0.30 0.53
DoubleLine TotalReturn Bond Fund A 2.09 0.70 1.26
BloombergMortgage Index B 2.32 0.87 1.17
0.60
0.70
0.80
0.90
1.00
1.10
Beta R-Squared
B(96)
A(97)
A(40)B(45)
10th Percentile 1.01 0.9725th Percentile 0.99 0.93
Median 0.95 0.8875th Percentile 0.90 0.8090th Percentile 0.85 0.69
DoubleLine TotalReturn Bond Fund A 0.65 0.91
BloombergMortgage Index B 0.71 0.90
59Oregon Savings Growth Plan
DoubleLine Total Return Bond FundBond Characteristics Analysis Summary
Portfolio CharacteristicsThis graph compares the manager’s portfolio characteristics with the range of characteristics for the portfolios which make upthe manager’s style group. This analysis illustrates whether the manager’s current holdings are consistent with othermanagers employing the same style.
Fixed Income Portfolio CharacteristicsRankings Against Callan Core Plus Fixed Incomeas of March 31, 2019
(4)
(2)
0
2
4
6
8
10
12
14
Average Effective Coupon OADuration Life Yield Rate Convexity
(98)
(22) (96)
(41)
(81)(94)(56)(88)
(90)(44)
10th Percentile 6.08 11.78 4.19 4.16 0.5725th Percentile 5.82 8.82 3.83 4.05 0.25
Median 5.63 7.87 3.62 3.81 0.0775th Percentile 5.33 7.32 3.47 3.51 (0.08)90th Percentile 4.54 5.90 3.18 3.16 (0.89)
DoubleLine TotalReturn Bond Fund 3.49 5.27 3.36 3.77 (0.82)
BloombergAggregate Index 5.82 8.07 2.93 3.23 0.13
Sector Allocation and Quality RatingsThe first graph compares the manager’s sector allocation with the average allocation across all the members of themanager’s style. The second graph compares the manager’s weighted average quality rating with the range of quality ratingsfor the style.
Sector AllocationMarch 31, 2019
0% 10% 20% 30% 40% 50% 60%
RMBS
45.922.7
27.8
Non-Agency RMBS
31.5
50%
Mg
r M
V5
0%
Mg
r M
V
0.1
Cash
7.71.0
CMBS
7.54.9
2.0
ABS
4.06.0
0.5
US Trsy
3.321.3
39.1
Corp (incl 144A) 37.224.7
Gov Related 5.56.0
Other 1.1
CMOs 0.2
DoubleLine Total Return Bond Fund Callan Core Plus Fixed Income
Bloomberg Aggregate Index
Quality Ratingsvs Callan Core Plus Fixed Income
A-
A
A+
AA-
AA
AA+
AAA
Trsy
Weighted AverageQuality Rating
(100)
(1)
10th Percentile AA25th Percentile AA
Median A75th Percentile A90th Percentile A
DoubleLine TotalReturn Bond Fund A
BloombergAggregate Index AA+
60Oregon Savings Growth Plan
Wellington Trust Core Bond Plus FundPeriod Ended March 31, 2019
Investment PhilosophyWellington’s fixed income process focuses on fundamental research, diversification and risk control. The firm’s orientationis toward intensive, bottom-up research.
Quarterly Summary and HighlightsWellington Trust Core Bond Plus Fund’s portfolio posted a 3.60% return for the quarter placing it in the 56 percentile ofthe Callan Core Plus Fixed Income group for the quarter and in the 43 percentile for the last year.
Wellington Trust Core Bond Plus Fund’s portfolio outperformed the Bloomberg Aggregate Index by 0.66% for thequarter and outperformed the Bloomberg Aggregate Index for the year by 0.27%.
Performance vs Callan Core Plus Fixed Income (Gross)
1%
2%
3%
4%
5%
6%
7%
8%
Last Quarter Last Last 3 Years Last 5 Years Last 7 Years Last 10 YearsYear
(56)
(97)
(43)(64)
(37)
(99)
(38)
(97)
(61)
(99)
(55)
(100)
10th Percentile 4.20 5.17 4.11 3.81 4.29 7.3325th Percentile 4.03 4.95 3.83 3.66 3.87 6.48
Median 3.73 4.62 3.32 3.31 3.48 6.1075th Percentile 3.43 4.27 3.00 3.08 3.33 5.2490th Percentile 3.11 3.93 2.57 2.93 3.01 4.89
Wellington TrustCore Bond Plus Fund 3.60 4.75 3.52 3.42 3.40 6.05
BloombergAggregate Index 2.94 4.48 2.03 2.74 2.48 3.77
Relative Returns vsBloomberg Aggregate Index
Rela
tive
Re
turn
s
(1.5%)
(1.0%)
(0.5%)
0.0%
0.5%
1.0%
1.5%
2014 2015 2016 2017 2018 19
Wellington Trust Core Bond Plus Fund
Callan Core Plus Fixed Income (Gross)Annualized Five Year Risk vs Return
2.0 2.5 3.0 3.5 4.02.0%
2.5%
3.0%
3.5%
4.0%
4.5%
5.0%
5.5%
Wellington Trust Core Bond Plus Fund
Bloomberg Aggregate Index
Standard Deviation
Re
turn
s
61Oregon Savings Growth Plan
Wellington Trust Core Bond Plus FundReturn Analysis Summary
Return AnalysisThe graphs below analyze the manager’s return on both a risk-adjusted and unadjusted basis. The first chart illustrates themanager’s ranking over different periods versus the appropriate style group. The second chart shows the historical quarterlyand cumulative manager returns versus the appropriate market benchmark. The last chart illustrates the manager’s rankingrelative to their style using various risk-adjusted return measures.
Performance vs Callan Core Plus Fixed Income (Gross)
(4%)
(2%)
0%
2%
4%
6%
8%
10%
12/18- 3/19 2018 2017 2016 2015 2014 2013
(56)(97)
(40)(29)
(30)
(95)(45)
(100)
(65)(38)
(77)(61)
(83)(96)
10th Percentile 4.20 0.52 6.10 6.64 1.05 7.34 1.1025th Percentile 4.03 0.10 5.45 5.36 0.76 6.88 (0.13)
Median 3.73 (0.25) 4.97 4.66 0.34 6.18 (0.67)75th Percentile 3.43 (0.82) 4.41 3.73 (0.36) 5.70 (1.07)90th Percentile 3.11 (1.27) 3.94 3.22 (1.08) 5.36 (1.66)
Wellington TrustCore Bond Plus Fund 3.60 (0.14) 5.37 4.81 (0.03) 5.63 (1.43)
BloombergAggregate Index 2.94 0.01 3.54 2.65 0.55 5.97 (2.02)
Cumulative and Quarterly Relative Return vs Bloomberg Aggregate Index
Re
lative
Re
turn
s
(2%)
(1%)
0%
1%
2%
3%
4%
5%
2014 2015 2016 2017 2018 2019
Wellington Trust Core Bond Plus Fund Callan Core Plus FI
Risk Adjusted Return Measures vs Bloomberg Aggregate IndexRankings Against Callan Core Plus Fixed Income (Gross)Five Years Ended March 31, 2019
0.0
0.5
1.0
1.5
Alpha Sharpe Excess ReturnRatio Ratio
(44)(40)
(40)
10th Percentile 1.32 1.00 1.2425th Percentile 1.06 0.95 0.97
Median 0.73 0.81 0.5275th Percentile 0.43 0.74 0.3190th Percentile 0.30 0.70 0.14
Wellington TrustCore Bond Plus Fund 0.78 0.87 0.66
62Oregon Savings Growth Plan
Wellington Trust Core Bond Plus FundRisk Analysis Summary
Risk AnalysisThe graphs below analyze the risk or variation of a manager’s return pattern. The first scatter chart illustrates therelationship, called Excess Return Ratio, between excess return and tracking error relative to the benchmark. The secondchart shows tracking error patterns versus the benchmark over time. The last two charts show the ranking of the manager’srisk statistics versus the peer group.
Risk Analysis vs Callan Core Plus Fixed Income (Gross)Five Years Ended March 31, 2019
0.0 0.5 1.0 1.5 2.0 2.5 3.0(0.5 )
0.0
0.5
1.0
1.5
2.0
2.5
Wellington Trust Core Bond Plus Fund
Tracking Error
Exce
ss R
etu
rn
Rolling 12 Quarter Tracking Error vs Bloomberg Aggregate Index
Tra
ckin
g E
rro
r
0.4%
0.6%
0.8%
1.0%
1.2%
1.4%
1.6%
1.8%
2.0%
2.2%
2014 2015 2016 2017 2018 2019
Wellington Trust Core Bond Plus FundCallan Core Plus FI
Risk Statistics Rankings vs Bloomberg Aggregate IndexRankings Against Callan Core Plus Fixed Income (Gross)Five Years Ended March 31, 2019
0.0%
0.5%
1.0%
1.5%
2.0%
2.5%
3.0%
3.5%
4.0%
Standard Downside TrackingDeviation Risk Error
(69)
(54)
(58)
10th Percentile 3.51 1.42 1.9925th Percentile 3.24 0.98 1.45
Median 3.14 0.68 1.0875th Percentile 3.04 0.39 0.8490th Percentile 2.88 0.30 0.53
Wellington TrustCore Bond Plus Fund 3.08 0.64 1.02
0.65
0.70
0.75
0.80
0.85
0.90
0.95
1.00
1.05
1.10
Beta R-Squared
(53)
(46)
10th Percentile 1.01 0.9725th Percentile 0.99 0.93
Median 0.95 0.8875th Percentile 0.90 0.8090th Percentile 0.85 0.69
Wellington TrustCore Bond Plus Fund 0.94 0.89
63Oregon Savings Growth Plan
Wellington Trust Core Bond Plus FundBond Characteristics Analysis Summary
Portfolio CharacteristicsThis graph compares the manager’s portfolio characteristics with the range of characteristics for the portfolios which make upthe manager’s style group. This analysis illustrates whether the manager’s current holdings are consistent with othermanagers employing the same style.
Fixed Income Portfolio CharacteristicsRankings Against Callan Core Plus Fixed Incomeas of March 31, 2019
(4)
(2)
0
2
4
6
8
10
12
14
Average Effective Coupon OADuration Life Yield Rate Convexity
(68)(22)
(24)(41)
(28)(94) (83)(88)
(45)(44)
10th Percentile 6.08 11.78 4.19 4.16 0.5725th Percentile 5.82 8.82 3.83 4.05 0.25
Median 5.63 7.87 3.62 3.81 0.0775th Percentile 5.33 7.32 3.47 3.51 (0.08)90th Percentile 4.54 5.90 3.18 3.16 (0.89)
Wellington TrustCore Bond Plus Fund 5.36 8.85 3.80 3.40 0.12
BloombergAggregate Index 5.82 8.07 2.93 3.23 0.13
Sector Allocation and Quality RatingsThe first graph compares the manager’s sector allocation with the average allocation across all the members of themanager’s style. The second graph compares the manager’s weighted average quality rating with the range of quality ratingsfor the style.
Sector AllocationMarch 31, 2019
(10%) 0% 10% 20% 30% 40% 50%
Corp (incl 144A)
30.037.2
24.7
RMBS
25.0
50%
Mgr
MV
50
%M
gr
MV
22.727.8
Non-Agency RMBS
13.00.1
ABS
11.06.0
0.5
US Trsy
8.021.3
39.1
CMBS
5.04.9
2.0
CMOs
4.00.2
Bk Ln
2.0
Gov Related
2.05.56.0
Prfd
1.0
Tax-Exempt US Muni
1.0
Other 1.1
Cash
(2.0 )1.0
Wellington Trust Core Bond Plus Fund Callan Core Plus Fixed Income
Bloomberg Aggregate Index
Quality Ratingsvs Callan Core Plus Fixed Income
A-
A
A+
AA-
AA
AA+
AAA
Trsy
Weighted AverageQuality Rating
(48)
(1)
10th Percentile AA25th Percentile AA
Median A75th Percentile A90th Percentile A
Wellington TrustCore Bond Plus Fund A+
BloombergAggregate Index AA+
64Oregon Savings Growth Plan
Sto
ck In
de
x O
ptio
n
Stock Index Option
Stock Index OptionPeriod Ended March 31, 2019
Quarterly Summary and HighlightsStock Index Option’s portfolio posted a 14.07% return for the quarter placing it in the 35 percentile of the Callan All CapCore Mutual Funds group for the quarter and in the 19 percentile for the last year.
Stock Index Option’s portfolio outperformed the Russell 3000 Index by 0.03% for the quarter and outperformed theRussell 3000 Index for the year by 0.07%.
Performance vs Callan All Cap Core Mutual Funds (Institutional Net)
(5%)
0%
5%
10%
15%
20%
Last Quarter Last Last 3 Years Last 5 Years Last 7 Years Last 10 YearsYear
(35)(35)
(19)(19)
(13)(14)
(7)(8)
(12)(12)
(13)(14)
10th Percentile 16.57 10.22 13.96 10.24 12.84 16.4325th Percentile 14.97 7.95 12.73 9.26 11.95 15.46
Median 13.30 5.00 11.03 8.11 10.91 14.4775th Percentile 11.97 2.07 9.23 6.35 9.75 13.3690th Percentile 10.47 (1.66) 7.42 4.20 7.69 11.61
StockIndex Option 14.07 8.84 13.57 10.44 12.70 16.08
Russell3000 Index 14.04 8.77 13.48 10.36 12.63 16.00
Relative Return vs Russell 3000 Index
Rela
tive
Re
turn
s
(0.02%)
0.00%
0.02%
0.04%
0.06%
0.08%
0.10%
2014 2015 2016 2017 2018 19
Stock Index Option
Callan All Cap Core Mutual Funds (Institutional Net)Annualized Five Year Risk vs Return
0 5 10 15 20 25 30(20%)
(15%)
(10%)
(5%)
0%
5%
10%
15%
20%
Stock Index Option
Russell 3000 Index
Standard Deviation
Re
turn
s
66Oregon Savings Growth Plan
Stock Index OptionReturn Analysis Summary
Return AnalysisThe graphs below analyze the manager’s return on both a risk-adjusted and unadjusted basis. The first chart illustrates themanager’s ranking over different periods versus the appropriate style group. The second chart shows the historical quarterlyand cumulative manager returns versus the appropriate market benchmark. The last chart illustrates the manager’s rankingrelative to their style using various risk-adjusted return measures.
Performance vs Callan All Cap Core Mutual Funds (Institutional Net)
(30%)
(20%)
(10%)
0%
10%
20%
30%
40%
50%
12/18- 3/19 2018 2017 2016 2015 2014 2013
(35)(35)
(23)(24)
(36)(36)(29)(30)
(22)(24)
(25)(25)
(46)(46)
10th Percentile 16.57 (2.70) 24.82 16.18 2.10 14.90 40.0325th Percentile 14.97 (5.39) 22.25 13.52 0.38 12.48 36.71
Median 13.30 (7.81) 19.49 10.12 (2.12) 10.09 33.3175th Percentile 11.97 (10.90) 15.89 7.45 (4.62) 6.85 29.4790th Percentile 10.47 (14.16) 12.97 5.86 (8.17) 4.09 23.98
Stock Index Option 14.07 (5.21) 21.23 12.83 0.61 12.61 33.58
Russell 3000 Index 14.04 (5.24) 21.13 12.74 0.48 12.56 33.55
Cumulative and Quarterly Relative Return vs Russell 3000 Index
Re
lative
Re
turn
s
(16%)
(14%)
(12%)
(10%)
(8%)
(6%)
(4%)
(2%)
0%
2%
2014 2015 2016 2017 2018 2019
Stock Index Option Callan All Cap Core MFs
Risk Adjusted Return Measures vs Russell 3000 IndexRankings Against Callan All Cap Core Mutual Funds (Institutional Net)Five Years Ended March 31, 2019
(8)
(6)
(4)
(2)
0
2
4
Alpha Sharpe Excess ReturnRatio Ratio
(15)(10)
(1)
10th Percentile 0.61 0.85 (0.04)25th Percentile (0.77) 0.73 (0.29)
Median (1.92) 0.63 (0.71)75th Percentile (4.18) 0.44 (1.04)90th Percentile (6.06) 0.27 (1.35)
Stock Index Option 0.08 0.85 2.18
67Oregon Savings Growth Plan
Stock Index OptionRisk Analysis Summary
Risk AnalysisThe graphs below analyze the risk or variation of a manager’s return pattern. The first scatter chart illustrates therelationship, called Excess Return Ratio, between excess return and tracking error relative to the benchmark. The secondchart shows Up and Down Market Capture. The last two charts show the ranking of the manager’s risk statistics versus thepeer group.
Risk Analysis vs Callan All Cap Core Mutual Funds (Institutional Net)Five Years Ended March 31, 2019
0 5 10 15 20 25 30(30 )
(25 )
(20 )
(15 )
(10 )
(5 )
0
5
Stock Index Option
Tracking Error
Exce
ss R
etu
rn
Market Capture vs Russell 3000 IndexRankings Against Callan All Cap Core Mutual Funds (Institutional Net)Five Years Ended March 31, 2019
40%
60%
80%
100%
120%
140%
160%
Up Market DownCapture Market Capture
(9) (64)
10th Percentile 100.39 132.3625th Percentile 92.04 116.50
Median 81.32 103.2175th Percentile 71.51 95.8690th Percentile 57.03 83.93
Stock Index Option 100.67 99.81
Risk Statistics Rankings vs Russell 3000 IndexRankings Against Callan All Cap Core Mutual Funds (Institutional Net)Five Years Ended March 31, 2019
0%2%4%6%8%
10%12%14%16%
Standard Downside TrackingDeviation Risk Error
(67)
(100) (100)
10th Percentile 14.15 5.86 6.3825th Percentile 12.79 4.37 4.99
Median 11.97 3.31 3.8875th Percentile 11.18 2.39 2.9090th Percentile 9.79 1.95 2.16
StockIndex Option 11.44 0.00 0.04
0.70
0.80
0.90
1.00
1.10
1.20
Beta R-Squared
(49) (1)
10th Percentile 1.15 0.9725th Percentile 1.06 0.94
Median 1.00 0.9075th Percentile 0.92 0.8690th Percentile 0.81 0.78
Stock Index Option 1.00 1.00
68Oregon Savings Growth Plan
Stock Index OptionEquity Characteristics Analysis Summary
Portfolio CharacteristicsThis graph compares the manager’s portfolio characteristics with the range of characteristics for the portfolios which make upthe manager’s style group. This analysis illustrates whether the manager’s current holdings are consistent with othermanagers employing the same style.
Portfolio Characteristics Percentile RankingsRankings Against Callan All Cap Core Mutual Fundsas of March 31, 2019
Pe
rce
ntile
Ra
nkin
g
100%
90%
80%
70%
60%
50%
40%
30%
20%
10%
0%
Weighted Median Price/Fore- Price/Book Forecasted Dividend MSCIMarket Cap casted Earnings Earnings Growth Yield Combined Z-Score
(16)(16)
(30)(30)
(39)(39)
(27)(27)
(37)(37) (37)(37)
10th Percentile 103.36 18.81 3.89 15.77 2.30 0.4225th Percentile 63.60 17.35 3.26 14.18 2.07 0.12
Median 40.60 15.47 2.71 12.70 1.81 (0.13)75th Percentile 19.48 13.93 2.33 11.08 1.55 (0.39)90th Percentile 12.51 12.45 1.86 9.54 1.24 (0.55)
Stock Index Option 73.86 17.14 2.93 14.11 1.91 (0.01)
Russell 3000 Index 73.86 17.14 2.93 14.11 1.91 (0.01)
Sector WeightsThe graph below contrasts the manager’s sector weights with those of the benchmark and median sector weights across themembers of the peer group. The magnitude of sector weight differences from the index and the manager’s sectordiversification are also shown. Diversification by number and concentration of holdings are also compared to the benchmarkand peer group. Issue Diversification represents by count, and Diversification Ratio by percent, the number of holdings thataccount for half of the portfolio’s market value.
Sector AllocationMarch 31, 2019
0% 5% 10% 15% 20% 25%
Information Technology
21.121.1
19.9
Health Care
14.314.3
15.0
Financials
13.213.2
14.0
Consumer Discretionary
10.4
50
%M
gr
MV
50
%M
gr
MV
10.411.8
Industrials
10.110.1
11.8
Communication Services
9.19.1
8.2
Consumer Staples
6.56.5
6.2
Energy
5.15.15.2
Real Estate
4.04.0
2.2
Utilities
3.23.2
2.3
Materials
3.03.0
3.5
Stock Index Option Russell 3000 Index
Callan All Cap Core MFs
Sector Diversification
Manager 3.13 sectorsIndex 3.13 sectors
DiversificationMarch 31, 2019
0
500
1000
1500
2000
2500
3000
3500
Number of IssueSecurities Diversification
(1)
(6)
10th Percentile 437 5425th Percentile 189 37
Median 75 2175th Percentile 40 1390th Percentile 30 10
Stock Index Option 2968 75
Russell 3000 Index 2968 75
Diversification Ratio
Manager 3%Index 3%Style Median 29%
69Oregon Savings Growth Plan
Current Holdings Based Style AnalysisStock Index OptionAs of March 31, 2019
This page analyzes the current investment style of a portfolio utilizing a detailed holdings-based style analysis to determineactual exposures to various market capitalization and style segments of the domestic equity market. The market issegmented quarterly by capitalization and style. The capitalization segments are dictated by capitalization decile breakpoints.The style segments are determined using the "Combined Z Score", based on the eight fundamental factors used in the MSCIstock style scoring system. The upper-left style map illustrates the current market capitalization and style score of theportfolio relative to indices and/or peers. The upper-right style exposure matrix displays the current portfolio and indexweights and stock counts (in parentheses) in each capitalization/style segment of the market. The middle chart illustrates thetotal exposures and stock counts in the three style segments, with a legend showing the total growth, value, and "combinedZ" (growth - value) scores. The bottom chart exhibits the sector weights as well as the style weights within each sector.
Style Map vs Callan All Cap Core MFsHoldings as of March 31, 2019
Value Core Growth
Mega
Large
Mid
Small
Micro
Russell 3000 IndexStock Index Option
Stock Index OptionRussell 3000 Index
Style Exposure MatrixHoldings as of March 31, 2019
Large
Mid
Small
Micro
Total
Value Core Growth Total
25.7% (105) 21.1% (97) 29.0% (91) 75.8% (293)
5.1% (175) 5.8% (204) 5.9% (209) 16.7% (588)
1.9% (336) 2.6% (461) 2.2% (378) 6.7% (1175)
0.3% (277) 0.3% (392) 0.2% (212) 0.8% (881)
32.9% (893) 29.8% (1154) 37.3% (890) 100.0% (2937)
25.7% (105) 21.1% (97) 29.0% (91) 75.8% (293)
5.1% (175) 5.8% (204) 5.9% (209) 16.7% (588)
1.9% (336) 2.6% (461) 2.2% (378) 6.7% (1175)
0.3% (277) 0.3% (392) 0.2% (212) 0.8% (881)
32.9% (893) 29.8% (1154) 37.3% (890) 100.0% (2937)
Combined Z-Score Style DistributionHoldings as of March 31, 2019
0%
10%
20%
30%
40%
50%
60%
Value Core Growth
32.9%(893)
32.9%(893)
29.8%(1154)
29.8%(1154)
37.3%(890)
37.3%(890)
Bar #1=Stock Index Option (Combined Z: -0.01 Growth Z: 0.00 Value Z: 0.01)
Bar #2=Russell 3000 Index (Combined Z: -0.01 Growth Z: 0.00 Value Z: 0.01)
Large
Mid
Small
Micro
Sector Weights DistributionHoldings as of March 31, 2019
0%
5%
10%
15%
20%
25%
30%
COMMUN CONCYC CONSTA ENERGY FINANC HEALTH INDEQU PUBUTL RAWMAT REALES TECH
9.1 9.110.4 10.4
6.5 6.55.1 5.1
13.1 13.114.4 14.4
10.2 10.2
3.2 3.2 3.0 3.04.0 4.0
21.1 21.1
Bar #1=Stock Index Option
Bar #2=Russell 3000 Index
Value
Core
Growth
70Oregon Savings Growth Plan
Historical Holdings Based Style AnalysisStock Index OptionFor Three Years Ended March 31, 2019
This page analyzes the historical investment style of a portfolio utilizing a detailed holdings-based style analysis to determineaverage actual exposures to various market capitalization and style segments of the domestic equity market. The market issegmented quarterly by capitalization and style. The capitalization segments are dictated by capitalization decile breakpoints.The style segments are determined using the "Combined Z Score", based on the eight fundamental factors used in the MSCIstock style scoring system. The upper-left style map illustrates the average historical market capitalization and style score ofthe portfolio relative to indices and/or peers. The upper-right style exposure matrix displays the average historical portfolioand index weights and stock counts (in parentheses) in each capitalization/style segment of the market. The next two styleexposure charts illustrate the actual quarterly cap/style and style only segment exposures of the portfolio through history.
Average Style Map vs Callan All Cap Core MFsHoldings for Three Years Ended March 31, 2019
Value Core Growth
Mega
Large
Mid
Small
Micro
Russell 3000 IndexStock Index Option
Average Style Exposure MatrixHoldings for Three Years Ended March 31, 2019
Large
Mid
Small
Micro
Total
Value Core Growth Total
26.5% (104) 22.9% (97) 25.4% (96) 74.7% (297)
5.0% (172) 6.3% (219) 5.8% (204) 17.1% (595)
2.1% (336) 2.9% (478) 2.2% (380) 7.2% (1194)
0.3% (285) 0.4% (375) 0.2% (216) 0.9% (876)
33.9% (897) 32.4% (1169) 33.7% (896) 100.0% (2962)
26.5% (104) 22.9% (97) 25.4% (96) 74.7% (297)
5.0% (172) 6.3% (219) 5.8% (204) 17.1% (595)
2.1% (336) 2.9% (478) 2.2% (380) 7.2% (1194)
0.3% (285) 0.4% (375) 0.2% (216) 0.9% (876)
33.9% (897) 32.4% (1169) 33.7% (896) 100.0% (2962)
Stock Index Option Historical Cap/Style Exposures
0% 0%
10% 10%
20% 20%
30% 30%
40% 40%
50% 50%
60% 60%
70% 70%
80% 80%
90% 90%
100% 100%
2016 2017 2018 2019
Micro-Growth
Micro-Core
Micro-Value
Small-Growth
Small-Core
Small-Value
Mid-Growth
Mid-Core
Mid-Value
Large-Growth
Large-Core
Large-Value
Stock Index Option Historical Style Only Exposures
0% 0%
10% 10%
20% 20%
30% 30%
40% 40%
50% 50%
60% 60%
70% 70%
80% 80%
90% 90%
100% 100%
2016 2017 2018 2019
Growth
Core
Value
71Oregon Savings Growth Plan
La
rge
Co
mp
an
y V
alu
e
Large Company Value
Sto
ck O
ptio
n
Stock Option
Large Company Value Stock OptionPeriod Ended March 31, 2019
Quarterly Summary and HighlightsLarge Company Value Stock Option’s portfolio posted a 11.98% return for the quarter placing it in the 40 percentile ofthe Callan Large Cap Value Mutual Funds group for the quarter and in the 40 percentile for the last year.
Large Company Value Stock Option’s portfolio outperformed the Russell 1000 Value Index by 0.04% for the quarterand outperformed the Russell 1000 Value Index for the year by 0.18%.
Performance vs Callan Large Cap Value Mutual Funds (Institutional Net)
(5%)
0%
5%
10%
15%
20%
Last Quarter Last Last 3 Years Last 5 Years Last 7 Years Last 10 YearsYear
(40)(41)
(40)(41)
(56)(58)
(42)(38)
(29)(33)
(25)(33)
10th Percentile 13.47 8.47 13.23 9.54 12.30 15.2425th Percentile 12.81 7.47 11.94 8.63 11.71 14.73
Median 11.86 4.31 10.77 7.44 10.66 13.7475th Percentile 10.48 1.52 9.97 6.69 10.32 12.8190th Percentile 9.76 (0.44) 8.92 6.25 9.47 11.96
Large CompanyValue Stock Option 11.98 5.86 10.54 7.60 11.53 14.73
Russell 1000Value Index 11.93 5.67 10.45 7.72 11.14 14.52
Relative Return vs Russell 1000 Value Index
Rela
tive
Re
turn
s
(0.8%)
(0.6%)
(0.4%)
(0.2%)
0.0%
0.2%
0.4%
2014 2015 2016 2017 2018 19
Large Company Value Stock Option
Callan Large Cap Value Mutual Funds (Institutional Net)Annualized Five Year Risk vs Return
9 10 11 12 13 143%
4%
5%
6%
7%
8%
9%
10%
11%
Russell 1000 Value Index
Large Company Value Stock Option
Standard Deviation
Re
turn
s
73Oregon Savings Growth Plan
Large Company Value Stock OptionReturn Analysis Summary
Return AnalysisThe graphs below analyze the manager’s return on both a risk-adjusted and unadjusted basis. The first chart illustrates themanager’s ranking over different periods versus the appropriate style group. The second chart shows the historical quarterlyand cumulative manager returns versus the appropriate market benchmark. The last chart illustrates the manager’s rankingrelative to their style using various risk-adjusted return measures.
Performance vs Callan Large Cap Value Mutual Funds (Institutional Net)
(20%)
(10%)
0%
10%
20%
30%
40%
50%
12/18- 3/19 2018 2017 2016 2015 2014 2013
(40)(41)
(47)(48)
(87)(88)(19)(18)
(52)(54)
(29)(22)
(10)(51)
10th Percentile 13.47 (4.84) 21.85 20.06 (0.27) 14.56 37.0925th Percentile 12.81 (6.42) 20.36 15.37 (1.52) 13.02 35.61
Median 11.86 (8.46) 16.78 14.01 (3.56) 11.11 33.2775th Percentile 10.48 (10.68) 14.57 11.27 (5.43) 10.53 31.0990th Percentile 9.76 (13.50) 13.50 9.54 (7.46) 8.69 29.68
Large CompanyValue Stock Option 11.98 (8.13) 13.81 17.21 (3.77) 12.18 36.87
Russell 1000Value Index 11.93 (8.27) 13.66 17.34 (3.83) 13.45 32.53
Cumulative and Quarterly Relative Return vs Russell 1000 Value Index
Re
lative
Re
turn
s
(7%)
(6%)
(5%)
(4%)
(3%)
(2%)
(1%)
0%
1%
2014 2015 2016 2017 2018 2019
Large Company Value Stock Option Callan Lg Cap Value MF
Risk Adjusted Return Measures vs Russell 1000 Value IndexRankings Against Callan Large Cap Value Mutual Funds (Institutional Net)Five Years Ended March 31, 2019
(3)
(2)
(1)
0
1
2
3
Alpha Sharpe Excess ReturnRatio Ratio
(41)
(32)
(77)
10th Percentile 2.39 0.87 0.5225th Percentile 0.64 0.69 0.25
Median (0.53) 0.60 (0.09)75th Percentile (1.16) 0.53 (0.31)90th Percentile (2.09) 0.45 (0.57)
Large CompanyValue Stock Option (0.06) 0.66 (0.32)
74Oregon Savings Growth Plan
Large Company Value Stock OptionRisk Analysis Summary
Risk AnalysisThe graphs below analyze the risk or variation of a manager’s return pattern. The first scatter chart illustrates therelationship, called Excess Return Ratio, between excess return and tracking error relative to the benchmark. The secondchart shows Up and Down Market Capture. The last two charts show the ranking of the manager’s risk statistics versus thepeer group.
Risk Analysis vs Callan Large Cap Value Mutual Funds (Institutional Net)Five Years Ended March 31, 2019
0.0 0.5 1.0 1.5 2.0 2.5 3.0 3.5 4.0 4.5 5.0 5.5 6.0(5 )
(4 )
(3 )
(2 )
(1 )
0
1
2
3
4
Large Company Value Stock Option
Tracking Error
Exce
ss R
etu
rn
Market Capture vs Russell 1000 Value IndexRankings Against Callan Large Cap Value Mutual Funds (Institutional Net)Five Years Ended March 31, 2019
75%80%85%90%95%
100%105%110%115%120%125%
Up Market DownCapture Market Capture
(42) (60)
10th Percentile 115.09 120.0425th Percentile 108.22 113.74
Median 97.58 102.6775th Percentile 93.86 93.2290th Percentile 87.98 80.50
Large CompanyValue Stock Option 98.38 99.28
Risk Statistics Rankings vs Russell 1000 Value IndexRankings Against Callan Large Cap Value Mutual Funds (Institutional Net)Five Years Ended March 31, 2019
0%
5%
10%
15%
Standard Downside TrackingDeviation Risk Error
(79)
(100) (100)
10th Percentile 12.67 3.60 4.8725th Percentile 11.88 2.74 3.86
Median 11.23 2.34 3.2575th Percentile 10.52 1.84 2.7590th Percentile 10.11 1.47 1.79
Large CompanyValue Stock Option 10.44 0.35 0.38
0.80
0.90
1.00
1.10
1.20
Beta R-Squared
(69) (1)
10th Percentile 1.15 0.9725th Percentile 1.08 0.94
Median 1.03 0.9375th Percentile 0.96 0.9090th Percentile 0.92 0.86
Large CompanyValue Stock Option 0.99 1.00
75Oregon Savings Growth Plan
Large Company Value Stock OptionEquity Characteristics Analysis Summary
Portfolio CharacteristicsThis graph compares the manager’s portfolio characteristics with the range of characteristics for the portfolios which make upthe manager’s style group. This analysis illustrates whether the manager’s current holdings are consistent with othermanagers employing the same style.
Portfolio Characteristics Percentile RankingsRankings Against Callan Large Cap Value Mutual Fundsas of March 31, 2019
Pe
rce
ntile
Ra
nkin
g
100%
90%
80%
70%
60%
50%
40%
30%
20%
10%
0%
Weighted Median Price/Fore- Price/Book Forecasted Dividend MSCIMarket Cap casted Earnings Earnings Growth Yield Combined Z-Score
(44)(44)
(27)(27)
(61)(61) (62)(62)
(30)(30)
(82)(82)
10th Percentile 111.75 15.44 2.56 14.92 2.84 (0.47)25th Percentile 92.09 14.41 2.32 13.16 2.73 (0.55)
Median 61.10 13.28 2.09 11.53 2.45 (0.75)75th Percentile 47.18 12.49 1.87 10.77 2.32 (0.85)90th Percentile 32.45 11.93 1.69 9.65 2.08 (0.92)
Large CompanyValue Stock Option 67.40 14.15 2.00 11.21 2.64 (0.89)
Russell 1000 Value Index 67.40 14.15 2.00 11.21 2.64 (0.89)
Sector WeightsThe graph below contrasts the manager’s sector weights with those of the benchmark and median sector weights across themembers of the peer group. The magnitude of sector weight differences from the index and the manager’s sectordiversification are also shown. Diversification by number and concentration of holdings are also compared to the benchmarkand peer group. Issue Diversification represents by count, and Diversification Ratio by percent, the number of holdings thataccount for half of the portfolio’s market value.
Sector AllocationMarch 31, 2019
0% 5% 10% 15% 20% 25% 30%
Financials
21.821.8
22.6
Health Care
15.315.315.6
Information Technology
9.89.8
11.9
Energy
9.8
50
%M
gr
MV
50
%M
gr
MV
9.810.4
Consumer Staples
7.97.9
6.4
Industrials
7.87.8
9.7
Communication Services
6.86.8
6.4
Utilities
6.56.5
4.5
Consumer Discretionary
5.35.3
6.7
Real Estate
5.25.2
2.3
Materials
3.83.83.5
Large Company Value Stock Option Russell 1000 Value Index
Callan Lg Cap Value MF
Sector Diversification
Manager 3.31 sectorsIndex 3.31 sectors
DiversificationMarch 31, 2019
0
100
200
300
400
500
600
700
800
Number of IssueSecurities Diversification
(2)
(4)
10th Percentile 275 3725th Percentile 97 24
Median 68 1875th Percentile 47 1690th Percentile 35 14
Large CompanyValue Stock Option 715 46
Russell 1000Value Index 715 46
Diversification Ratio
Manager 6%Index 6%Style Median 28%
76Oregon Savings Growth Plan
Current Holdings Based Style AnalysisLarge Company Value Stock OptionAs of March 31, 2019
This page analyzes the current investment style of a portfolio utilizing a detailed holdings-based style analysis to determineactual exposures to various market capitalization and style segments of the domestic equity market. The market issegmented quarterly by capitalization and style. The capitalization segments are dictated by capitalization decile breakpoints.The style segments are determined using the "Combined Z Score", based on the eight fundamental factors used in the MSCIstock style scoring system. The upper-left style map illustrates the current market capitalization and style score of theportfolio relative to indices and/or peers. The upper-right style exposure matrix displays the current portfolio and indexweights and stock counts (in parentheses) in each capitalization/style segment of the market. The middle chart illustrates thetotal exposures and stock counts in the three style segments, with a legend showing the total growth, value, and "combinedZ" (growth - value) scores. The bottom chart exhibits the sector weights as well as the style weights within each sector.
Style Map vs Callan Lg Cap Value MFHoldings as of March 31, 2019
Value Core Growth
Mega
Large
Mid
Small
Micro
Russell 1000 Value Index
Large Company Value Stock OptionLarge Company Value Stock OptionRussell 1000 Value Index
Style Exposure MatrixHoldings as of March 31, 2019
Large
Mid
Small
Micro
Total
Value Core Growth Total
50.5% (103) 23.0% (71) 3.8% (22) 77.3% (196)
10.2% (165) 8.1% (153) 2.4% (73) 20.6% (391)
1.1% (59) 0.8% (50) 0.2% (14) 2.1% (123)
0.0% (0) 0.0% (1) 0.0% (0) 0.0% (1)
61.7% (327) 31.9% (275) 6.4% (109) 100.0% (711)
50.5% (103) 23.0% (71) 3.8% (22) 77.3% (196)
10.2% (165) 8.1% (153) 2.4% (73) 20.6% (391)
1.1% (59) 0.8% (50) 0.2% (14) 2.1% (123)
0.0% (0) 0.0% (1) 0.0% (0) 0.0% (1)
61.7% (327) 31.9% (275) 6.4% (109) 100.0% (711)
Combined Z-Score Style DistributionHoldings as of March 31, 2019
0%
10%
20%
30%
40%
50%
60%
70%
80%
90%
100%
Value Core Growth
61.7%(327)
61.7%(327)
31.9%(275)
31.9%(275)
6.4%(109)
6.4%(109)
Bar #1=Large Company Value Stock Option (Combined Z: -0.89 Growth Z: -0.38 Value Z: 0.5
Bar #2=Russell 1000 Value Index (Combined Z: -0.89 Growth Z: -0.38 Value Z: 0.51)
Large
Mid
Small
Micro
Sector Weights DistributionHoldings as of March 31, 2019
0%
5%
10%
15%
20%
25%
30%
COMMUN CONCYC CONSTA ENERGY FINANC HEALTH INDEQU PUBUTL RAWMAT REALES TECH
6.8 6.85.3 5.3
7.9 7.99.8 9.8
21.8 21.8
15.3 15.3
7.8 7.86.5 6.5
3.8 3.85.2 5.2
9.8 9.8
Bar #1=Large Company Value Stock Option
Bar #2=Russell 1000 Value Index
Value
Core
Growth
77Oregon Savings Growth Plan
Historical Holdings Based Style AnalysisLarge Company Value Stock OptionFor Three Years Ended March 31, 2019
This page analyzes the historical investment style of a portfolio utilizing a detailed holdings-based style analysis to determineaverage actual exposures to various market capitalization and style segments of the domestic equity market. The market issegmented quarterly by capitalization and style. The capitalization segments are dictated by capitalization decile breakpoints.The style segments are determined using the "Combined Z Score", based on the eight fundamental factors used in the MSCIstock style scoring system. The upper-left style map illustrates the average historical market capitalization and style score ofthe portfolio relative to indices and/or peers. The upper-right style exposure matrix displays the average historical portfolioand index weights and stock counts (in parentheses) in each capitalization/style segment of the market. The next two styleexposure charts illustrate the actual quarterly cap/style and style only segment exposures of the portfolio through history.
Average Style Map vs Callan Lg Cap Value MFHoldings for Three Years Ended March 31, 2019
Value Core Growth
Mega
Large
Mid
Small
Micro
Russell 1000 Value Index
Large Company Value Stock Option
Average Style Exposure MatrixHoldings for Three Years Ended March 31, 2019
Large
Mid
Small
Micro
Total
Value Core Growth Total
51.0% (102) 23.6% (72) 3.5% (26) 78.1% (200)
9.7% (160) 7.6% (161) 2.4% (69) 19.7% (390)
1.2% (57) 0.7% (39) 0.2% (18) 2.1% (114)
0.0% (0) 0.0% (1) 0.0% (0) 0.0% (1)
61.9% (319) 31.9% (273) 6.2% (113) 100.0% (705)
51.0% (102) 23.6% (72) 3.5% (26) 78.1% (200)
9.7% (160) 7.6% (161) 2.4% (69) 19.7% (390)
1.2% (57) 0.7% (39) 0.2% (18) 2.1% (114)
0.0% (0) 0.0% (1) 0.0% (0) 0.0% (1)
61.9% (319) 31.9% (273) 6.2% (113) 100.0% (705)
Large Company Value Stock Option Historical Cap/Style Exposures
0% 0%
10% 10%
20% 20%
30% 30%
40% 40%
50% 50%
60% 60%
70% 70%
80% 80%
90% 90%
100% 100%
2016 2017 2018 2019
Micro-Growth
Micro-Core
Micro-Value
Small-Growth
Small-Core
Small-Value
Mid-Growth
Mid-Core
Mid-Value
Large-Growth
Large-Core
Large-Value
Large Company Value Stock Option Historical Style Only Exposures
0% 0%
10% 10%
20% 20%
30% 30%
40% 40%
50% 50%
60% 60%
70% 70%
80% 80%
90% 90%
100% 100%
2016 2017 2018 2019
Growth
Core
Value
78Oregon Savings Growth Plan
La
rge
Co
mp
an
y G
row
th
Large Company Growth
Sto
ck O
ptio
n
Stock Option
Large Company Growth Stock OptionPeriod Ended March 31, 2019
Quarterly Summary and HighlightsLarge Company Growth Stock Option’s portfolio posted a 16.14% return for the quarter placing it in the 61 percentile ofthe Callan Large Cap Growth Mutual Funds group for the quarter and in the 44 percentile for the last year.
Large Company Growth Stock Option’s portfolio outperformed the Russell 1000 Growth Index by 0.04% for the quarterand underperformed the Russell 1000 Growth Index for the year by 0.02%.
Performance vs Callan Large Cap Growth Mutual Funds (Institutional Net)
6%
8%
10%
12%
14%
16%
18%
20%
22%
Last Quarter Last Last 3 Years Last 5 Years Last 7 Years Last 10 YearsYear
(61)(62)
(44)(44)
(52)(52)
(40)(33)
(31)(28)
(27)(21)
10th Percentile 18.35 15.36 19.80 14.58 15.81 18.9625th Percentile 17.52 13.97 18.52 13.93 14.40 17.38
Median 16.51 12.23 16.80 12.82 13.63 16.4775th Percentile 15.81 9.54 14.93 11.27 12.50 15.7490th Percentile 14.38 7.69 12.34 9.77 11.10 14.10
Large CompanyGrowth Stock Option 16.14 12.72 16.52 13.19 14.23 17.30
Russell 1000Growth Index 16.10 12.75 16.53 13.50 14.34 17.52
Relative Return vs Russell 1000 Growth Index
Rela
tive
Re
turn
s
(1.2%)
(1.0%)
(0.8%)
(0.6%)
(0.4%)
(0.2%)
0.0%
0.2%
0.4%
2014 2015 2016 2017 2018 19
Large Company Growth Stock Option
Callan Large Cap Growth Mutual Funds (Institutional Net)Annualized Five Year Risk vs Return
8 10 12 14 16 18 204%
6%
8%
10%
12%
14%
16%
18%
Russell 1000 Growth Index
Large Company Growth Stock Option
Standard Deviation
Re
turn
s
80Oregon Savings Growth Plan
Large Company Growth Stock OptionReturn Analysis Summary
Return AnalysisThe graphs below analyze the manager’s return on both a risk-adjusted and unadjusted basis. The first chart illustrates themanager’s ranking over different periods versus the appropriate style group. The second chart shows the historical quarterlyand cumulative manager returns versus the appropriate market benchmark. The last chart illustrates the manager’s rankingrelative to their style using various risk-adjusted return measures.
Performance vs Callan Large Cap Growth Mutual Funds (Institutional Net)
(20%)
(10%)
0%
10%
20%
30%
40%
50%
12/18- 3/19 2018 2017 2016 2015 2014 2013
(61)(62)
(67)(67)
(57)(57)
(10)(10) (57)(56)(35)(20)
(59)(66)
10th Percentile 18.35 3.52 36.65 6.88 10.96 14.25 40.1425th Percentile 17.52 1.66 34.47 3.88 9.02 12.71 37.61
Median 16.51 (0.86) 31.46 1.20 6.52 10.82 35.5775th Percentile 15.81 (3.17) 27.98 (1.18) 3.59 8.96 32.8290th Percentile 14.38 (4.70) 24.73 (4.43) 0.20 7.91 29.36
Large CompanyGrowth Stock Option 16.14 (1.65) 30.21 7.11 5.25 11.63 34.48
Russell 1000Growth Index 16.10 (1.51) 30.21 7.08 5.67 13.05 33.48
Cumulative and Quarterly Relative Return vs Russell 1000 Growth Index
Re
lative
Re
turn
s
(8%)
(7%)
(6%)
(5%)
(4%)
(3%)
(2%)
(1%)
0%
1%
2014 2015 2016 2017 2018 2019
Large Company Growth Stock Option Callan Large Cap Grwth MF
Risk Adjusted Return Measures vs Russell 1000 Growth IndexRankings Against Callan Large Cap Growth Mutual Funds (Institutional Net)Five Years Ended March 31, 2019
(5)
(4)
(3)
(2)
(1)
0
1
2
3
Alpha Sharpe Excess ReturnRatio Ratio
(39)
(21)
(80)
10th Percentile 1.79 1.09 0.2325th Percentile 0.02 0.96 0.09
Median (0.72) 0.89 (0.23)75th Percentile (2.50) 0.76 (0.50)90th Percentile (3.53) 0.65 (0.83)
Large CompanyGrowth Stock Option (0.32) 0.98 (0.60)
81Oregon Savings Growth Plan
Large Company Growth Stock OptionRisk Analysis Summary
Risk AnalysisThe graphs below analyze the risk or variation of a manager’s return pattern. The first scatter chart illustrates therelationship, called Excess Return Ratio, between excess return and tracking error relative to the benchmark. The secondchart shows Up and Down Market Capture. The last two charts show the ranking of the manager’s risk statistics versus thepeer group.
Risk Analysis vs Callan Large Cap Growth Mutual Funds (Institutional Net)Five Years Ended March 31, 2019
0 1 2 3 4 5 6 7 8 9 10 11(10 )
(8 )
(6 )
(4 )
(2 )
0
2
4
Large Company Growth Stock Option
Tracking Error
Exce
ss R
etu
rn
Market Capture vs Russell 1000 Growth IndexRankings Against Callan Large Cap Growth Mutual Funds (Institutional Net)Five Years Ended March 31, 2019
70%80%90%
100%110%120%130%
Up Market DownCapture Market Capture
(42) (65)
10th Percentile 107.23 120.1225th Percentile 101.82 110.27
Median 96.21 103.0275th Percentile 88.03 94.5790th Percentile 78.74 81.29
Large CompanyGrowth Stock Option 97.66 100.04
Risk Statistics Rankings vs Russell 1000 Growth IndexRankings Against Callan Large Cap Growth Mutual Funds (Institutional Net)Five Years Ended March 31, 2019
0%2%4%6%8%
10%12%14%16%18%
Standard Downside TrackingDeviation Risk Error
(74)
(100) (100)
10th Percentile 15.35 5.42 5.6625th Percentile 14.33 3.59 4.83
Median 13.79 3.19 4.1175th Percentile 12.74 2.57 3.1690th Percentile 11.51 1.71 2.24
Large CompanyGrowth Stock Option 12.76 0.52 0.51
0.80
0.90
1.00
1.10
1.20
Beta R-Squared
(56) (1)
10th Percentile 1.13 0.9725th Percentile 1.07 0.95
Median 1.04 0.9275th Percentile 0.95 0.8890th Percentile 0.87 0.84
Large CompanyGrowth Stock Option 1.00 1.00
82Oregon Savings Growth Plan
Large Company Growth Stock OptionEquity Characteristics Analysis Summary
Portfolio CharacteristicsThis graph compares the manager’s portfolio characteristics with the range of characteristics for the portfolios which make upthe manager’s style group. This analysis illustrates whether the manager’s current holdings are consistent with othermanagers employing the same style.
Portfolio Characteristics Percentile RankingsRankings Against Callan Large Cap Growth Mutual Fundsas of March 31, 2019
Pe
rce
ntile
Ra
nkin
g
100%
90%
80%
70%
60%
50%
40%
30%
20%
10%
0%
Weighted Median Price/Fore- Price/Book Forecasted Dividend MSCIMarket Cap casted Earnings Earnings Growth Yield Combined Z-Score
(55)(55)
(87)(87)
(30)(30)
(81)(81)
(6)(6)
(85)(85)
10th Percentile 143.95 27.59 7.46 22.16 1.15 1.5125th Percentile 123.83 26.10 6.71 21.12 0.91 1.28
Median 119.24 23.62 5.84 19.59 0.82 1.1475th Percentile 78.05 21.43 5.17 17.35 0.73 0.9290th Percentile 47.03 20.39 4.77 16.29 0.63 0.76
Large CompanyGrowth Stock Option 116.94 20.68 6.51 17.01 1.28 0.86
Russell 1000 Growth Index 116.94 20.68 6.51 17.01 1.28 0.86
Sector WeightsThe graph below contrasts the manager’s sector weights with those of the benchmark and median sector weights across themembers of the peer group. The magnitude of sector weight differences from the index and the manager’s sectordiversification are also shown. Diversification by number and concentration of holdings are also compared to the benchmarkand peer group. Issue Diversification represents by count, and Diversification Ratio by percent, the number of holdings thataccount for half of the portfolio’s market value.
Sector AllocationMarch 31, 2019
0% 5% 10% 15% 20% 25% 30% 35% 40%
Information Technology
32.932.9
33.7
Consumer Discretionary
15.015.0
16.2
Health Care
13.2
50
%M
gr
MV
50
%M
gr
MV
13.216.3
Communication Services
12.212.212.6
Industrials
11.711.7
9.5
Consumer Staples
5.75.7
3.3
Financials
4.24.2
5.0
Real Estate
2.42.4
1.1
Materials
2.02.0
1.7
Energy
0.70.70.6
Utilities
Large Company Growth Stock Option Russell 1000 Growth Index
Callan Large Cap Grwth MF
Sector Diversification
Manager 2.16 sectorsIndex 2.16 sectors
DiversificationMarch 31, 2019
0
100
200
300
400
500
600
Number of IssueSecurities Diversification
(2)
(1)
10th Percentile 122 1825th Percentile 72 16
Median 55 1475th Percentile 43 1190th Percentile 33 10
Large CompanyGrowth Stock Option 533 27
Russell 1000Growth Index 533 27
Diversification Ratio
Manager 5%Index 5%Style Median 25%
83Oregon Savings Growth Plan
Current Holdings Based Style AnalysisLarge Company Growth Stock OptionAs of March 31, 2019
This page analyzes the current investment style of a portfolio utilizing a detailed holdings-based style analysis to determineactual exposures to various market capitalization and style segments of the domestic equity market. The market issegmented quarterly by capitalization and style. The capitalization segments are dictated by capitalization decile breakpoints.The style segments are determined using the "Combined Z Score", based on the eight fundamental factors used in the MSCIstock style scoring system. The upper-left style map illustrates the current market capitalization and style score of theportfolio relative to indices and/or peers. The upper-right style exposure matrix displays the current portfolio and indexweights and stock counts (in parentheses) in each capitalization/style segment of the market. The middle chart illustrates thetotal exposures and stock counts in the three style segments, with a legend showing the total growth, value, and "combinedZ" (growth - value) scores. The bottom chart exhibits the sector weights as well as the style weights within each sector.
Style Map vs Callan Large Cap Grwth MFHoldings as of March 31, 2019
Value Core Growth
Mega
Large
Mid
Small
Micro
Russell 1000 Growth Index
Large Company Growth Stock Option
Large Company Growth Stock OptionRussell 1000 Growth Index
Style Exposure MatrixHoldings as of March 31, 2019
Large
Mid
Small
Micro
Total
Value Core Growth Total
5.5% (25) 22.4% (74) 57.8% (88) 85.7% (187)
0.7% (30) 3.8% (99) 9.1% (160) 13.6% (289)
0.0% (8) 0.3% (27) 0.4% (18) 0.7% (53)
0.0% (1) 0.0% (0) 0.0% (0) 0.0% (1)
6.2% (64) 26.5% (200) 67.3% (266) 100.0% (530)
5.5% (25) 22.4% (74) 57.8% (88) 85.7% (187)
0.7% (30) 3.8% (99) 9.1% (160) 13.6% (289)
0.0% (8) 0.3% (27) 0.4% (18) 0.7% (53)
0.0% (1) 0.0% (0) 0.0% (0) 0.0% (1)
6.2% (64) 26.5% (200) 67.3% (266) 100.0% (530)
Combined Z-Score Style DistributionHoldings as of March 31, 2019
0%
20%
40%
60%
80%
100%
120%
Value Core Growth
6.2%(64)
6.2%(64)
26.5%(200)
26.5%(200)
67.3%(266)
67.3%(266)
Bar #1=Large Company Growth Stock Option (Combined Z: 0.86 Growth Z: 0.38 Value Z: -0.4
Bar #2=Russell 1000 Growth Index (Combined Z: 0.86 Growth Z: 0.38 Value Z: -0.48)
Large
Mid
Small
Micro
Sector Weights DistributionHoldings as of March 31, 2019
0%
5%
10%
15%
20%
25%
30%
35%
40%
45%
COMMUN CONCYC CONSTA ENERGY FINANC HEALTH INDEQU RAWMAT REALES TECH
12.2 12.215.0 15.0
5.7 5.7
0.7 0.74.2 4.2
13.2 13.2 11.8 11.8
2.0 2.0 2.4 2.4
32.8 32.8
Bar #1=Large Company Growth Stock Option
Bar #2=Russell 1000 Growth Index
Value
Core
Growth
84Oregon Savings Growth Plan
Historical Holdings Based Style AnalysisLarge Company Growth Stock OptionFor Three Years Ended March 31, 2019
This page analyzes the historical investment style of a portfolio utilizing a detailed holdings-based style analysis to determineaverage actual exposures to various market capitalization and style segments of the domestic equity market. The market issegmented quarterly by capitalization and style. The capitalization segments are dictated by capitalization decile breakpoints.The style segments are determined using the "Combined Z Score", based on the eight fundamental factors used in the MSCIstock style scoring system. The upper-left style map illustrates the average historical market capitalization and style score ofthe portfolio relative to indices and/or peers. The upper-right style exposure matrix displays the average historical portfolioand index weights and stock counts (in parentheses) in each capitalization/style segment of the market. The next two styleexposure charts illustrate the actual quarterly cap/style and style only segment exposures of the portfolio through history.
Average Style Map vs Callan Large Cap Grwth MFHoldings for Three Years Ended March 31, 2019
Value Core Growth
Mega
Large
Mid
Small
Micro
Russell 1000 Growth Index
Large Company Growth Stock Option
Average Style Exposure MatrixHoldings for Three Years Ended March 31, 2019
Large
Mid
Small
Micro
Total
Value Core Growth Total
6.1% (25) 26.0% (71) 51.4% (92) 83.5% (188)
0.8% (28) 5.5% (123) 9.3% (159) 15.7% (310)
0.1% (11) 0.3% (23) 0.5% (27) 0.8% (61)
0.0% (0) 0.0% (1) 0.0% (1) 0.0% (2)
7.0% (64) 31.8% (218) 61.2% (279) 100.0% (561)
6.1% (25) 26.0% (71) 51.4% (92) 83.5% (188)
0.8% (28) 5.5% (123) 9.3% (159) 15.7% (310)
0.1% (11) 0.3% (23) 0.5% (27) 0.8% (61)
0.0% (0) 0.0% (1) 0.0% (1) 0.0% (2)
7.0% (64) 31.8% (218) 61.2% (279) 100.0% (561)
Large Company Growth Stock Option Historical Cap/Style Exposures
0% 0%
10% 10%
20% 20%
30% 30%
40% 40%
50% 50%
60% 60%
70% 70%
80% 80%
90% 90%
100% 100%
2016 2017 2018 2019
Micro-Growth
Micro-Core
Micro-Value
Small-Growth
Small-Core
Small-Value
Mid-Growth
Mid-Core
Mid-Value
Large-Growth
Large-Core
Large-Value
Large Company Growth Stock Option Historical Style Only Exposures
0% 0%
10% 10%
20% 20%
30% 30%
40% 40%
50% 50%
60% 60%
70% 70%
80% 80%
90% 90%
100% 100%
2016 2017 2018 2019
Growth
Core
Value
85Oregon Savings Growth Plan
Sm
all C
om
pa
ny
Small Company
Sto
ck O
ptio
n
Stock Option
Small Company Stock OptionPeriod Ended March 31, 2019
Quarterly Summary and HighlightsSmall Company Stock Option’s portfolio posted a 14.31% return for the quarter placing it in the 58 percentile of theCallan Small Cap Mutual Funds group for the quarter and in the 57 percentile for the last year.
Small Company Stock Option’s portfolio underperformed the Russell 2000 Index by 0.28% for the quarter andunderperformed the Russell 2000 Index for the year by 0.58%.
Performance vs Callan Small Cap Mutual Funds (Institutional Net)
(10%)
(5%)
0%
5%
10%
15%
20%
25%
30%
Last Quarter Last Last 3 Years Last 5 Years Last 7 Years Last 10 YearsYear
(58)(56)
(57)(55)
(53)(47)
(53)(50)
(57)(48)
(57)(59)
10th Percentile 21.99 15.04 21.05 11.12 13.53 18.5725th Percentile 19.20 10.86 18.12 9.48 12.53 17.12
Median 15.29 3.46 12.38 7.00 10.67 15.9375th Percentile 12.75 (2.01) 8.96 4.87 9.18 14.2890th Percentile 11.33 (4.79) 7.17 2.39 7.32 12.88
Small CompanyStock Option 14.31 1.47 12.12 6.84 10.40 15.51
Russell2000 Index 14.58 2.05 12.92 7.05 10.74 15.36
Relative Return vs Russell 2000 Index
Rela
tive
Re
turn
s
(3.0%)
(2.5%)
(2.0%)
(1.5%)
(1.0%)
(0.5%)
0.0%
0.5%
1.0%
1.5%
2.0%
2014 2015 2016 2017 2018 19
Small Company Stock Option
Callan Small Cap Mutual Funds (Institutional Net)Annualized Five Year Risk vs Return
5 10 15 20 25 30(5%)
0%
5%
10%
15%
20%
Small Company Stock Option
Russell 2000 Index
Standard Deviation
Re
turn
s
87Oregon Savings Growth Plan
Small Company Stock OptionReturn Analysis Summary
Return AnalysisThe graphs below analyze the manager’s return on both a risk-adjusted and unadjusted basis. The first chart illustrates themanager’s ranking over different periods versus the appropriate style group. The second chart shows the historical quarterlyand cumulative manager returns versus the appropriate market benchmark. The last chart illustrates the manager’s rankingrelative to their style using various risk-adjusted return measures.
Performance vs Callan Small Cap Mutual Funds (Institutional Net)
(30%)(20%)(10%)
0%10%20%30%40%50%60%
12/18- 3/19 2018 2017 2016 2015 2014 2013
(58)(56)
(55)(53)
(57)(57)(33)(33)
(54)(59)(37)(36)
(59)(53)
10th Percentile 21.99 0.17 28.61 29.16 1.04 8.47 48.6525th Percentile 19.20 (3.37) 24.09 24.48 (1.76) 6.23 45.62
Median 15.29 (10.24) 16.39 15.80 (3.72) 3.48 40.5875th Percentile 12.75 (15.37) 10.84 8.41 (6.63) 0.16 35.2090th Percentile 11.33 (17.78) 7.64 5.37 (10.13) (3.23) 32.14
Small CompanyStock Option 14.31 (11.77) 14.74 21.43 (4.17) 4.71 38.06
Russell 2000 Index 14.58 (11.01) 14.65 21.31 (4.41) 4.89 38.82
Cumulative and Quarterly Relative Return vs Russell 2000 Index
Re
lative
Re
turn
s
(8%)
(6%)
(4%)
(2%)
0%
2%
4%
2014 2015 2016 2017 2018 2019
Small Company Stock Option Callan Small Cap MFs
Risk Adjusted Return Measures vs Russell 2000 IndexRankings Against Callan Small Cap Mutual Funds (Institutional Net)Five Years Ended March 31, 2019
(6)
(4)
(2)
0
2
4
6
Alpha Sharpe Excess ReturnRatio Ratio
(59) (52)(59)
10th Percentile 4.24 0.63 0.5325th Percentile 2.59 0.54 0.37
Median 0.68 0.42 (0.01)75th Percentile (1.60) 0.27 (0.43)90th Percentile (3.59) 0.10 (0.71)
Small Company Stock Option (0.03) 0.40 (0.12)
88Oregon Savings Growth Plan
Small Company Stock OptionRisk Analysis Summary
Risk AnalysisThe graphs below analyze the risk or variation of a manager’s return pattern. The first scatter chart illustrates therelationship, called Excess Return Ratio, between excess return and tracking error relative to the benchmark. The secondchart shows Up and Down Market Capture. The last two charts show the ranking of the manager’s risk statistics versus thepeer group.
Risk Analysis vs Callan Small Cap Mutual Funds (Institutional Net)Five Years Ended March 31, 2019
0 2 4 6 8 10 12 14 16 18(15 )
(10 )
(5 )
0
5
10
Small Company Stock Option
Tracking Error
Exce
ss R
etu
rn
Market Capture vs Russell 2000 IndexRankings Against Callan Small Cap Mutual Funds (Institutional Net)Five Years Ended March 31, 2019
50%60%70%80%90%
100%110%120%130%140%150%
Up Market DownCapture Market Capture
(51) (45)
10th Percentile 133.78 112.6625th Percentile 116.44 106.01
Median 96.63 93.5475th Percentile 74.09 85.5690th Percentile 63.78 75.84
Small Company Stock Option 94.66 96.46
Risk Statistics Rankings vs Russell 2000 IndexRankings Against Callan Small Cap Mutual Funds (Institutional Net)Five Years Ended March 31, 2019
0%
5%
10%
15%
20%
25%
Standard Downside TrackingDeviation Risk Error
(64)
(100) (100)
10th Percentile 19.04 6.56 9.2425th Percentile 17.58 5.19 7.61
Median 15.94 4.20 5.8675th Percentile 14.78 3.45 4.8490th Percentile 13.65 2.69 3.94
Small CompanyStock Option 15.31 1.36 1.75
0.700.750.800.850.900.951.001.051.101.15
Beta R-Squared
(43) (1)
10th Percentile 1.09 0.9425th Percentile 1.02 0.91
Median 0.95 0.8775th Percentile 0.88 0.8090th Percentile 0.81 0.76
Small CompanyStock Option 0.97 0.99
89Oregon Savings Growth Plan
Small Company Stock OptionEquity Characteristics Analysis Summary
Portfolio CharacteristicsThis graph compares the manager’s portfolio characteristics with the range of characteristics for the portfolios which make upthe manager’s style group. This analysis illustrates whether the manager’s current holdings are consistent with othermanagers employing the same style.
Portfolio Characteristics Percentile RankingsRankings Against Callan Small Cap Mutual Fundsas of March 31, 2019
Pe
rce
ntile
Ra
nkin
g
100%
90%
80%
70%
60%
50%
40%
30%
20%
10%
0%
Weighted Median Price/Fore- Price/Book Forecasted Dividend MSCIMarket Cap casted Earnings Earnings Growth Yield Combined Z-Score
(69)(74)
(48)(44)
(56)(54)(58)(59)
(44)(38)
(51)(50)
10th Percentile 3.73 42.32 4.67 24.34 2.46 0.9525th Percentile 3.27 28.18 3.54 20.46 1.71 0.66
Median 2.66 18.60 2.21 15.21 1.09 0.0275th Percentile 2.04 14.36 1.62 10.95 0.59 (0.39)90th Percentile 1.65 12.93 1.37 9.20 0.29 (0.67)
Small CompanyStock Option 2.11 18.85 1.95 13.67 1.25 (0.01)
Russell 2000 Index 2.08 22.17 1.99 13.48 1.42 0.01
Sector WeightsThe graph below contrasts the manager’s sector weights with those of the benchmark and median sector weights across themembers of the peer group. The magnitude of sector weight differences from the index and the manager’s sectordiversification are also shown. Diversification by number and concentration of holdings are also compared to the benchmarkand peer group. Issue Diversification represents by count, and Diversification Ratio by percent, the number of holdings thataccount for half of the portfolio’s market value.
Sector AllocationMarch 31, 2019
0% 5% 10% 15% 20% 25% 30%
Industrials17.8
14.518.0
Financials15.7
17.113.6
Information Technology15.615.6
21.6
Consumer Discretionary13.9
50
%M
gr
MV
50%
Mg
r M
V
12.013.7
Health Care13.1
16.017.7
Energy4.9
3.72.6
Materials4.9
3.84.0
Communication Services3.9
3.22.4
Consumer Staples3.7
2.82.7
Real Estate3.6
7.53.8
Utilities2.9
3.8
Miscellaneous
Pooled Vehicles
Small Company Stock Option Russell 2000 Index
Callan Small Cap MFs
Sector Diversification
Manager 3.06 sectorsIndex 3.09 sectors
DiversificationMarch 31, 2019
0
500
1000
1500
2000
2500
3000
3500
Number of IssueSecurities Diversification
(1)
(1)
10th Percentile 442 8025th Percentile 179 51
Median 99 3375th Percentile 81 2390th Percentile 54 16
Small CompanyStock Option 2748 414
Russell 2000 Index 1998 339
Diversification Ratio
Manager 15%Index 17%Style Median 31%
90Oregon Savings Growth Plan
Current Holdings Based Style AnalysisSmall Company Stock OptionAs of March 31, 2019
This page analyzes the current investment style of a portfolio utilizing a detailed holdings-based style analysis to determineactual exposures to various market capitalization and style segments of the domestic equity market. The market issegmented quarterly by capitalization and style. The capitalization segments are dictated by capitalization decile breakpoints.The style segments are determined using the "Combined Z Score", based on the eight fundamental factors used in the MSCIstock style scoring system. The upper-left style map illustrates the current market capitalization and style score of theportfolio relative to indices and/or peers. The upper-right style exposure matrix displays the current portfolio and indexweights and stock counts (in parentheses) in each capitalization/style segment of the market. The middle chart illustrates thetotal exposures and stock counts in the three style segments, with a legend showing the total growth, value, and "combinedZ" (growth - value) scores. The bottom chart exhibits the sector weights as well as the style weights within each sector.
Style Map vs Callan Small Cap MFsHoldings as of March 31, 2019
Value Core Growth
Mega
Large
Mid
Small
Micro
Small Company Stock Option
Russell 2000 Index
Small Company Stock OptionRussell 2000 Index
Style Exposure MatrixHoldings as of March 31, 2019
Large
Mid
Small
Micro
Total
Value Core Growth Total
0.0% (0) 0.3% (4) 0.5% (8) 0.8% (12)
2.3% (51) 4.7% (70) 9.5% (113) 16.5% (234)
16.9% (327) 27.7% (470) 23.6% (385) 68.2% (1182)
5.1% (443) 5.3% (574) 4.1% (262) 14.4% (1279)
24.3% (821) 38.1% (1118) 37.6% (768) 100.0% (2707)
0.0% (0) 0.0% (0) 0.0% (0) 0.0% (0)
1.5% (7) 3.8% (19) 7.8% (35) 13.1% (61)
19.4% (276) 29.7% (405) 27.0% (352) 76.2% (1033)
3.7% (276) 4.3% (391) 2.7% (212) 10.7% (879)
24.6% (559) 37.9% (815) 37.5% (599) 100.0% (1973)
Combined Z-Score Style DistributionHoldings as of March 31, 2019
0%
10%
20%
30%
40%
50%
60%
Value Core Growth
24.3%(821)
24.6%(559)
38.1%(1118)
37.9%(815)
37.6%(768)
37.5%(599)
Bar #1=Small Company Stock Option (Combined Z: -0.01 Growth Z: 0.02 Value Z: 0.03)
Bar #2=Russell 2000 Index (Combined Z: 0.01 Growth Z: -0.01 Value Z: -0.02)
Large
Mid
Small
Micro
Sector Weights DistributionHoldings as of March 31, 2019
0%
5%
10%
15%
20%
25%
COMMUN CONCYC CONSTA ENERGY FINANC HEALTH INDEQU PUBUTL RAWMAT REALES TECH
3.9 3.1
13.912.1
3.72.8
5.03.7
15.717.0
13.1
16.017.9
14.6
2.93.8
4.93.9 3.7
7.5
15.4 15.4
Bar #1=Small Company Stock Option
Bar #2=Russell 2000 Index
Value
Core
Growth
91Oregon Savings Growth Plan
Active Share Structure AnalysisFor One Quarter Ended March 31, 2019
This analysis compares multiple portfolios and composites in an active share context, illustrating the varying degrees ofactive risk taken by individual portfolios, and how they combine into active risk profiles for composites and the equitystructure. Two sources of active share (active risk) are shown: 1) Total Holdings-Based Active Share based on individualposition comparisons to the index (and the subcomponent from holding non-index securities), and 2) Sector Exposure ActiveShare that quantifies the more macro-level sector differences from the index.
Active Share AnalysisEnded March 31, 2019
0% 2% 4% 6% 8% 10% 12% 14% 16% 18%0%
10%
20%
30%
40%
50%
60%
70%
80%
Small Company Stock
Callan Small Equity Fund
BlackRock Russell 2000
DFA US Small Cap Portfolio
Sector Exposure Active Share
Ho
ldin
gs-B
ase
d T
ota
l A
ctive
Sh
are
Weight Total Non-Idx Sector Number Security% Index Act Share Act Share Act Share Securities Diverse
Small Company Stock 100.00% Russell 2000 30.38% 9.26% 9.04% 2748 413.73BlackRock Russell 2000 29.63% Russell 2000 0.00% 0.00% 0.00% 1998 339.47Callan Small Equity Fund 35.33% Russell 2000 70.74% 20.03% 14.04% 867 196.04DFA US Small Cap Portfolio 35.04% Russell 2000 34.33% 6.74% 15.09% 2073 304.74
92Oregon Savings Growth Plan
BlackRock Russell 2000 Index FundPeriod Ended March 31, 2019
Investment PhilosophyBlackRock, through predecessor firm Barclays Global Investors, pioneered index management in 1971 with the industry’sfirst index fund (a NYSE-based index). BlackRock possesses a deep understanding of equity benchmarks and extensiveexpertise in innovating and managing equity indexed portfolios. BlackRock has followed the investment philosophy of TotalPerformance Management for equity index management since 1971. The firm believes that superior investment outcomesare best achieved through a disciplined, objective process in balancing return, risk and cost. While seeking to achieve thebenchmark return or better, BlackRock’s approach believe risks must be well understood and adequately compensated,and transaction costs must be explicitly considered in all investment decisions. This three-pronged philosophy is usedacross all BlackRock index strategies. The firm’s internal index research teams systematically analyze benchmarkcomposition, index changes and transaction costs and integrate those insights into the portfolio construction process.Ongoing investment in research ensures that BlackRock provides passive mandates to its clients with "performance asplanned."
Quarterly Summary and HighlightsBlackRock Russell 2000 Index Fund’s portfolio posted a 14.61% return for the quarter placing it in the 47 percentile ofthe Callan Small Capitalization group for the quarter and in the 51 percentile for the last year.
BlackRock Russell 2000 Index Fund’s portfolio outperformed the Russell 2000 Index by 0.03% for the quarter andoutperformed the Russell 2000 Index for the year by 0.16%.
Performance vs Callan Small Capitalization (Gross)
(10%)
(5%)
0%
5%
10%
15%
20%
25%
Last Quarter Last Last 3 Years Last 5 Years Last 7 Years Last 10 YearsYear
(47)(47)
(51)(52)
(44)(46)
(64)(66)
(66)(71)
(81)(83)
10th Percentile 21.19 14.05 21.13 11.53 14.56 19.4125th Percentile 17.20 9.09 16.39 9.70 13.29 18.62
Median 14.36 2.58 12.66 7.96 11.79 17.1275th Percentile 12.46 (1.67) 9.67 6.40 10.55 15.7890th Percentile 11.65 (3.93) 8.21 5.23 9.43 14.90
BlackRock Russell2000 Index Fund 14.61 2.21 13.15 7.31 11.01 15.59
Russell 2000 Index 14.58 2.05 12.92 7.05 10.74 15.36
Relative Return vs Russell 2000 Index
Rela
tive
Re
turn
s
0.00%
0.02%
0.04%
0.06%
0.08%
0.10%
0.12%
0.14%
2014 2015 2016 2017 2018 19
BlackRock Russell 2000 Index Fund
Callan Small Capitalization (Gross)Annualized Five Year Risk vs Return
5 10 15 20 25 30(2%)
0%
2%
4%
6%
8%
10%
12%
14%
16%
18%
BlackRock Russell 2000 Index Fund
Russell 2000 Index
Standard Deviation
Re
turn
s
93Oregon Savings Growth Plan
BlackRock Russell 2000 Index FundReturn Analysis Summary
Return AnalysisThe graphs below analyze the manager’s return on both a risk-adjusted and unadjusted basis. The first chart illustrates themanager’s ranking over different periods versus the appropriate style group. The second chart shows the historical quarterlyand cumulative manager returns versus the appropriate market benchmark. The last chart illustrates the manager’s rankingrelative to their style using various risk-adjusted return measures.
Performance vs Callan Small Capitalization (Gross)
(30%)(20%)(10%)
0%10%20%30%40%50%60%70%
12/18- 3/19 2018 2017 2016 2015 2014 2013
(47)(47)
(53)(55)
(52)(53)(40)(42)
(68)(70)(55)(58)
(68)(69)
10th Percentile 21.19 0.12 29.07 30.60 3.84 10.36 52.6425th Percentile 17.20 (4.58) 23.04 25.44 (0.06) 8.23 46.93
Median 14.36 (10.56) 15.21 20.21 (2.30) 5.66 42.4475th Percentile 12.46 (14.34) 10.37 11.37 (5.11) 2.35 37.5990th Percentile 11.65 (16.78) 7.42 5.88 (8.14) (2.32) 34.65
BlackRock Russell2000 Index Fund 14.61 (10.84) 14.93 21.63 (4.16) 5.15 39.16
Russell 2000 Index 14.58 (11.01) 14.65 21.31 (4.41) 4.89 38.82
Cumulative and Quarterly Relative Return vs Russell 2000 Index
Re
lative
Re
turn
s
(2%)
(1%)
0%
1%
2%
3%
4%
5%
2014 2015 2016 2017 2018 2019
BlackRock Russell 2000 Index Fund Callan Small Cap
Risk Adjusted Return Measures vs Russell 2000 IndexRankings Against Callan Small Capitalization (Gross)Five Years Ended March 31, 2019
(3)(2)(1)
01234567
Alpha Sharpe Excess ReturnRatio Ratio
(70) (64)
(1)
10th Percentile 4.65 0.66 0.7425th Percentile 2.89 0.56 0.54
Median 1.24 0.47 0.2175th Percentile (0.19) 0.37 (0.14)90th Percentile (1.28) 0.29 (0.41)
BlackRock Russell2000 Index Fund 0.24 0.42 5.80
94Oregon Savings Growth Plan
BlackRock Russell 2000 Index FundRisk Analysis Summary
Risk AnalysisThe graphs below analyze the risk or variation of a manager’s return pattern. The first scatter chart illustrates therelationship, called Excess Return Ratio, between excess return and tracking error relative to the benchmark. The secondchart shows Up and Down Market Capture. The last two charts show the ranking of the manager’s risk statistics versus thepeer group.
Risk Analysis vs Callan Small Capitalization (Gross)Five Years Ended March 31, 2019
0 2 4 6 8 10 12 14 16 18(10 )
(8 )
(6 )
(4 )
(2 )
0
2
4
6
8
10
BlackRock Russell 2000 Index Fund
Tracking Error
Exce
ss R
etu
rn
Market Capture vs Russell 2000 IndexRankings Against Callan Small Capitalization (Gross)Five Years Ended March 31, 2019
60%70%80%90%
100%110%120%130%140%150%
Up Market DownCapture Market Capture
(43) (21)
10th Percentile 133.87 107.8325th Percentile 115.80 97.82
Median 96.73 90.2175th Percentile 84.88 84.7790th Percentile 76.18 75.52
BlackRock Russell2000 Index Fund 101.49 99.32
Risk Statistics Rankings vs Russell 2000 IndexRankings Against Callan Small Capitalization (Gross)Five Years Ended March 31, 2019
(5%)
0%
5%
10%
15%
20%
25%
Standard Downside TrackingDeviation Risk Error
(49)
(100) (100)
10th Percentile 18.72 5.22 7.9825th Percentile 16.79 4.35 6.53
Median 15.58 3.21 5.0975th Percentile 14.68 2.39 3.9890th Percentile 13.94 1.92 3.18
BlackRock Russell2000 Index Fund 15.69 0.00 0.04
0.750.800.850.900.951.001.051.101.15
Beta R-Squared
(29) (1)
10th Percentile 1.08 0.9625th Percentile 1.00 0.94
Median 0.95 0.9075th Percentile 0.90 0.8590th Percentile 0.84 0.80
BlackRock Russell2000 Index Fund 1.00 1.00
95Oregon Savings Growth Plan
BlackRock Russell 2000 Index FundEquity Characteristics Analysis Summary
Portfolio CharacteristicsThis graph compares the manager’s portfolio characteristics with the range of characteristics for the portfolios which make upthe manager’s style group. This analysis illustrates whether the manager’s current holdings are consistent with othermanagers employing the same style.
Portfolio Characteristics Percentile RankingsRankings Against Callan Small Capitalizationas of March 31, 2019
Pe
rce
ntile
Ra
nkin
g
100%
90%
80%
70%
60%
50%
40%
30%
20%
10%
0%
Weighted Median Price/Fore- Price/Book Forecasted Dividend MSCIMarket Cap casted Earnings Earnings Growth Yield Combined Z-Score
(67)(67)
(32)(32)
(59)(59)(55)(55)
(36)(36)
(50)(50)
10th Percentile 3.40 40.04 4.24 22.83 1.96 0.8225th Percentile 2.98 26.85 3.37 18.15 1.59 0.59
Median 2.50 17.64 2.09 14.56 1.21 0.0375th Percentile 1.95 14.40 1.70 11.71 0.57 (0.31)90th Percentile 1.58 12.94 1.47 9.52 0.32 (0.54)
BlackRock Russell2000 Index Fund 2.08 22.17 1.99 13.48 1.42 0.01
Russell 2000 Index 2.08 22.17 1.99 13.48 1.42 0.01
Sector WeightsThe graph below contrasts the manager’s sector weights with those of the benchmark and median sector weights across themembers of the peer group. The magnitude of sector weight differences from the index and the manager’s sectordiversification are also shown. Diversification by number and concentration of holdings are also compared to the benchmarkand peer group. Issue Diversification represents by count, and Diversification Ratio by percent, the number of holdings thataccount for half of the portfolio’s market value.
Sector AllocationMarch 31, 2019
0% 5% 10% 15% 20% 25%
Financials
17.117.116.9
Health Care
16.016.0
16.4
Information Technology
15.615.6
18.2
Industrials
14.5
50
%M
gr
MV
50
%M
gr
MV
14.517.0
Consumer Discretionary
12.012.0
12.8
Real Estate
7.57.5
5.0
Materials
3.83.84.0
Utilities
3.83.8
1.1
Energy
3.73.7
3.4
Communication Services
3.23.2
2.5
Consumer Staples
2.82.82.8
BlackRock Russell 2000 Index Fund Russell 2000 Index
Callan Small Cap
Sector Diversification
Manager 3.09 sectorsIndex 3.09 sectors
DiversificationMarch 31, 2019
0
500
1000
1500
2000
2500
Number of IssueSecurities Diversification
(1)
(1)
10th Percentile 329 7325th Percentile 155 48
Median 97 3275th Percentile 71 2490th Percentile 50 17
BlackRock Russell2000 Index Fund 1998 339
Russell 2000 Index 1998 339
Diversification Ratio
Manager 17%Index 17%Style Median 32%
96Oregon Savings Growth Plan
Current Holdings Based Style AnalysisBlackRock Russell 2000 Index FundAs of March 31, 2019
This page analyzes the current investment style of a portfolio utilizing a detailed holdings-based style analysis to determineactual exposures to various market capitalization and style segments of the domestic equity market. The market issegmented quarterly by capitalization and style. The capitalization segments are dictated by capitalization decile breakpoints.The style segments are determined using the "Combined Z Score", based on the eight fundamental factors used in the MSCIstock style scoring system. The upper-left style map illustrates the current market capitalization and style score of theportfolio relative to indices and/or peers. The upper-right style exposure matrix displays the current portfolio and indexweights and stock counts (in parentheses) in each capitalization/style segment of the market. The middle chart illustrates thetotal exposures and stock counts in the three style segments, with a legend showing the total growth, value, and "combinedZ" (growth - value) scores. The bottom chart exhibits the sector weights as well as the style weights within each sector.
Style Map vs Callan Small CapHoldings as of March 31, 2019
Value Core Growth
Mega
Large
Mid
Small
Micro
BlackRock Russell 2000 Index Fund
Russell 2000 Index
BlackRock Russell 2000 Index FundRussell 2000 Index
Style Exposure MatrixHoldings as of March 31, 2019
Large
Mid
Small
Micro
Total
Value Core Growth Total
0.0% (0) 0.0% (0) 0.0% (0) 0.0% (0)
1.5% (7) 3.8% (19) 7.8% (35) 13.1% (61)
19.4% (276) 29.7% (405) 27.0% (352) 76.2% (1033)
3.7% (276) 4.3% (391) 2.7% (212) 10.7% (879)
24.6% (559) 37.9% (815) 37.5% (599) 100.0% (1973)
0.0% (0) 0.0% (0) 0.0% (0) 0.0% (0)
1.5% (7) 3.8% (19) 7.8% (35) 13.1% (61)
19.4% (276) 29.7% (405) 27.0% (352) 76.2% (1033)
3.7% (276) 4.3% (391) 2.7% (212) 10.7% (879)
24.6% (559) 37.9% (815) 37.5% (599) 100.0% (1973)
Combined Z-Score Style DistributionHoldings as of March 31, 2019
0%
10%
20%
30%
40%
50%
60%
Value Core Growth
24.6%(559)
24.6%(559)
37.9%(815)
37.9%(815)
37.5%(599)
37.5%(599)
Bar #1=BlackRock Russell 2000 Index Fund (Combined Z: 0.01 Growth Z: -0.01 Value Z: -0.
Bar #2=Russell 2000 Index (Combined Z: 0.01 Growth Z: -0.01 Value Z: -0.02)
Large
Mid
Small
Micro
Sector Weights DistributionHoldings as of March 31, 2019
0%
5%
10%
15%
20%
25%
COMMUN CONCYC CONSTA ENERGY FINANC HEALTH INDEQU PUBUTL RAWMAT REALES TECH
3.1 3.1
12.1 12.1
2.8 2.83.7 3.7
17.0 17.016.0 16.0
14.6 14.6
3.8 3.8 3.9 3.9
7.5 7.5
15.4 15.4
Bar #1=BlackRock Russell 2000 Index Fund
Bar #2=Russell 2000 Index
Value
Core
Growth
97Oregon Savings Growth Plan
Historical Holdings Based Style AnalysisBlackRock Russell 2000 Index FundFor Three Years Ended March 31, 2019
This page analyzes the historical investment style of a portfolio utilizing a detailed holdings-based style analysis to determineaverage actual exposures to various market capitalization and style segments of the domestic equity market. The market issegmented quarterly by capitalization and style. The capitalization segments are dictated by capitalization decile breakpoints.The style segments are determined using the "Combined Z Score", based on the eight fundamental factors used in the MSCIstock style scoring system. The upper-left style map illustrates the average historical market capitalization and style score ofthe portfolio relative to indices and/or peers. The upper-right style exposure matrix displays the average historical portfolioand index weights and stock counts (in parentheses) in each capitalization/style segment of the market. The next two styleexposure charts illustrate the actual quarterly cap/style and style only segment exposures of the portfolio through history.
Average Style Map vs Callan Small CapHoldings for Three Years Ended March 31, 2019
Value Core Growth
Mega
Large
Mid
Small
Micro
BlackRock Russell 2000 Index Fund
Russell 2000 Index
Average Style Exposure MatrixHoldings for Three Years Ended March 31, 2019
Large
Mid
Small
Micro
Total
Value Core Growth Total
0.0% (0) 0.0% (0) 0.0% (0) 0.0% (0)
1.8% (9) 3.4% (17) 5.5% (27) 10.6% (53)
20.2% (277) 31.8% (432) 25.4% (346) 77.3% (1055)
4.0% (285) 4.9% (374) 3.1% (215) 12.0% (874)
26.0% (571) 40.0% (823) 34.0% (588) 100.0% (1982)
0.0% (0) 0.0% (0) 0.0% (0) 0.0% (0)
1.8% (9) 3.4% (17) 5.5% (27) 10.6% (53)
20.2% (277) 31.8% (432) 25.4% (346) 77.3% (1055)
4.0% (285) 4.9% (374) 3.1% (215) 12.0% (874)
26.0% (571) 40.0% (823) 34.0% (588) 100.0% (1982)
BlackRock Russell 2000 Index Fund Historical Cap/Style Exposures
0% 0%
10% 10%
20% 20%
30% 30%
40% 40%
50% 50%
60% 60%
70% 70%
80% 80%
90% 90%
100% 100%
2016 2017 2018 2019
Micro-Growth
Micro-Core
Micro-Value
Small-Growth
Small-Core
Small-Value
Mid-Growth
Mid-Core
Mid-Value
BlackRock Russell 2000 Index Fund Historical Style Only Exposures
0% 0%
10% 10%
20% 20%
30% 30%
40% 40%
50% 50%
60% 60%
70% 70%
80% 80%
90% 90%
100% 100%
2016 2017 2018 2019
Growth
Core
Value
98Oregon Savings Growth Plan
Callan Small Equity FundPeriod Ended March 31, 2019
Quarterly Summary and HighlightsCallan Small Equity Fund’s portfolio posted a 16.17% return for the quarter placing it in the 30 percentile of the CallanSmall Capitalization group for the quarter and in the 42 percentile for the last year.
Callan Small Equity Fund’s portfolio outperformed the Russell 2000 Index by 1.58% for the quarter and outperformedthe Russell 2000 Index for the year by 2.25%.
Performance vs Callan Small Capitalization (Gross)
(10%)
(5%)
0%
5%
10%
15%
20%
25%
Last Quarter Last Last 3 Years Last 5 Years Last 7 Years Last 10 YearsYear
(30)
(47)
(42)
(52)
(34)
(46)
(65)(66)
(56)(71)
(61)(83)
10th Percentile 21.19 14.05 21.13 11.53 14.56 19.4125th Percentile 17.20 9.09 16.39 9.70 13.29 18.62
Median 14.36 2.58 12.66 7.96 11.79 17.1275th Percentile 12.46 (1.67) 9.67 6.40 10.55 15.7890th Percentile 11.65 (3.93) 8.21 5.23 9.43 14.90
Callan SmallEquity Fund 16.17 4.30 14.72 7.27 11.48 16.68
Russell2000 Index 14.58 2.05 12.92 7.05 10.74 15.36
Relative Return vs Russell 2000 Index
Rela
tive
Re
turn
s
(5%)
(4%)
(3%)
(2%)
(1%)
0%
1%
2%
3%
4%
2014 2015 2016 2017 2018 19
Callan Small Equity Fund
Callan Small Capitalization (Gross)Annualized Five Year Risk vs Return
5 10 15 20 25 30(2%)
0%
2%
4%
6%
8%
10%
12%
14%
16%
18%
Callan Small Equity Fund
Russell 2000 Index
Standard Deviation
Re
turn
s
99Oregon Savings Growth Plan
Callan Small Equity FundReturn Analysis Summary
Return AnalysisThe graphs below analyze the manager’s return on both a risk-adjusted and unadjusted basis. The first chart illustrates themanager’s ranking over different periods versus the appropriate style group. The second chart shows the historical quarterlyand cumulative manager returns versus the appropriate market benchmark. The last chart illustrates the manager’s rankingrelative to their style using various risk-adjusted return measures.
Performance vs Callan Small Capitalization (Gross)
(30%)(20%)(10%)
0%10%20%30%40%50%60%70%
12/18- 3/19 2018 2017 2016 2015 2014 2013
(30)(47)
(49)(55)
(35)(53)(50)(42)
(76)(70)(78)(58)
(29)(69)
10th Percentile 21.19 0.12 29.07 30.60 3.84 10.36 52.6425th Percentile 17.20 (4.58) 23.04 25.44 (0.06) 8.23 46.93
Median 14.36 (10.56) 15.21 20.21 (2.30) 5.66 42.4475th Percentile 12.46 (14.34) 10.37 11.37 (5.11) 2.35 37.5990th Percentile 11.65 (16.78) 7.42 5.88 (8.14) (2.32) 34.65
Callan SmallEquity Fund 16.17 (10.20) 19.06 20.34 (5.36) 1.78 45.22
Russell 2000 Index 14.58 (11.01) 14.65 21.31 (4.41) 4.89 38.82
Cumulative and Quarterly Relative Return vs Russell 2000 Index
Re
lative
Re
turn
s
(8%)
(6%)
(4%)
(2%)
0%
2%
4%
6%
2014 2015 2016 2017 2018 2019
Callan Small Equity Fund Callan Small Cap
Risk Adjusted Return Measures vs Russell 2000 IndexRankings Against Callan Small Capitalization (Gross)Five Years Ended March 31, 2019
(2)
(1)
0
1
2
3
4
5
6
Alpha Sharpe Excess ReturnRatio Ratio
(72) (69)(61)
10th Percentile 4.65 0.66 0.7425th Percentile 2.89 0.56 0.54
Median 1.24 0.47 0.2175th Percentile (0.19) 0.37 (0.14)90th Percentile (1.28) 0.29 (0.41)
Callan Small Equity Fund 0.15 0.40 0.08
100Oregon Savings Growth Plan
Callan Small Equity FundRisk Analysis Summary
Risk AnalysisThe graphs below analyze the risk or variation of a manager’s return pattern. The first scatter chart illustrates therelationship, called Excess Return Ratio, between excess return and tracking error relative to the benchmark. The secondchart shows Up and Down Market Capture. The last two charts show the ranking of the manager’s risk statistics versus thepeer group.
Risk Analysis vs Callan Small Capitalization (Gross)Five Years Ended March 31, 2019
0 2 4 6 8 10 12 14 16 18(10 )
(8 )
(6 )
(4 )
(2 )
0
2
4
6
8
10
Callan Small Equity Fund
Tracking Error
Exce
ss R
etu
rn
Market Capture vs Russell 2000 IndexRankings Against Callan Small Capitalization (Gross)Five Years Ended March 31, 2019
60%70%80%90%
100%110%120%130%140%150%
Up Market DownCapture Market Capture
(39) (17)
10th Percentile 133.87 107.8325th Percentile 115.80 97.82
Median 96.73 90.2175th Percentile 84.88 84.7790th Percentile 76.18 75.52
Callan Small Equity Fund 104.29 102.32
Risk Statistics Rankings vs Russell 2000 IndexRankings Against Callan Small Capitalization (Gross)Five Years Ended March 31, 2019
0%
5%
10%
15%
20%
25%
Standard Downside TrackingDeviation Risk Error
(34)
(91) (97)
10th Percentile 18.72 5.22 7.9825th Percentile 16.79 4.35 6.53
Median 15.58 3.21 5.0975th Percentile 14.68 2.39 3.9890th Percentile 13.94 1.92 3.18
Callan SmallEquity Fund 16.26 1.80 2.62
0.750.800.850.900.951.001.051.101.15
Beta R-Squared
(20)(3)
10th Percentile 1.08 0.9625th Percentile 1.00 0.94
Median 0.95 0.9075th Percentile 0.90 0.8590th Percentile 0.84 0.80
Callan SmallEquity Fund 1.02 0.97
101Oregon Savings Growth Plan
Callan Small Equity FundEquity Characteristics Analysis Summary
Portfolio CharacteristicsThis graph compares the manager’s portfolio characteristics with the range of characteristics for the portfolios which make upthe manager’s style group. This analysis illustrates whether the manager’s current holdings are consistent with othermanagers employing the same style.
Portfolio Characteristics Percentile RankingsRankings Against Callan Small Capitalizationas of March 31, 2019
Pe
rce
ntile
Ra
nkin
g
100%
90%
80%
70%
60%
50%
40%
30%
20%
10%
0%
Weighted Median Price/Fore- Price/Book Forecasted Dividend MSCIMarket Cap casted Earnings Earnings Growth Yield Combined Z-Score
(56)
(67)
(39)(32)
(48)
(59)
(46)
(55)(59)
(36)
(46)(50)
10th Percentile 3.40 40.04 4.24 22.83 1.96 0.8225th Percentile 2.98 26.85 3.37 18.15 1.59 0.59
Median 2.50 17.64 2.09 14.56 1.21 0.0375th Percentile 1.95 14.40 1.70 11.71 0.57 (0.31)90th Percentile 1.58 12.94 1.47 9.52 0.32 (0.54)
Callan Small Equity Fund 2.39 19.52 2.14 15.18 1.06 0.08
Russell 2000 Index 2.08 22.17 1.99 13.48 1.42 0.01
Sector WeightsThe graph below contrasts the manager’s sector weights with those of the benchmark and median sector weights across themembers of the peer group. The magnitude of sector weight differences from the index and the manager’s sectordiversification are also shown. Diversification by number and concentration of holdings are also compared to the benchmarkand peer group. Issue Diversification represents by count, and Diversification Ratio by percent, the number of holdings thataccount for half of the portfolio’s market value.
Sector AllocationMarch 31, 2019
0% 5% 10% 15% 20% 25%
Industrials
19.114.5
17.0
Information Technology
17.115.6
18.2
Consumer Discretionary
14.6
50
%M
gr
MV
50
%M
gr
MV
12.012.8
Health Care
14.616.0
16.4
Financials
11.217.116.9
Materials
5.53.84.0
Energy
5.33.7
3.4
Communication Services
4.33.2
2.5
Consumer Staples
3.72.82.8
Real Estate
3.37.5
5.0
Utilities
1.33.8
1.1
Callan Small Equity Fund Russell 2000 Index
Callan Small Cap
Sector Diversification
Manager 2.94 sectorsIndex 3.09 sectors
DiversificationMarch 31, 2019
0
100
200
300
400
500
600
700
800
900
1000
Number of IssueSecurities Diversification
(3)
(2)
10th Percentile 329 7325th Percentile 155 48
Median 97 3275th Percentile 71 2490th Percentile 50 17
Callan SmallEquity Fund 867 196
Russell 2000 Index 1998 339
Diversification Ratio
Manager 23%Index 17%Style Median 32%
102Oregon Savings Growth Plan
Current Holdings Based Style AnalysisCallan Small Equity FundAs of March 31, 2019
This page analyzes the current investment style of a portfolio utilizing a detailed holdings-based style analysis to determineactual exposures to various market capitalization and style segments of the domestic equity market. The market issegmented quarterly by capitalization and style. The capitalization segments are dictated by capitalization decile breakpoints.The style segments are determined using the "Combined Z Score", based on the eight fundamental factors used in the MSCIstock style scoring system. The upper-left style map illustrates the current market capitalization and style score of theportfolio relative to indices and/or peers. The upper-right style exposure matrix displays the current portfolio and indexweights and stock counts (in parentheses) in each capitalization/style segment of the market. The middle chart illustrates thetotal exposures and stock counts in the three style segments, with a legend showing the total growth, value, and "combinedZ" (growth - value) scores. The bottom chart exhibits the sector weights as well as the style weights within each sector.
Style Map vs Callan Small CapHoldings as of March 31, 2019
Value Core Growth
Mega
Large
Mid
Small
Micro
Callan Small Equity Fund
Russell 2000 Index
Callan Small Equity FundRussell 2000 Index
Style Exposure MatrixHoldings as of March 31, 2019
Large
Mid
Small
Micro
Total
Value Core Growth Total
0.0% (0) 1.0% (4) 1.4% (8) 2.4% (12)
4.3% (35) 7.2% (49) 16.7% (95) 28.2% (179)
10.5% (93) 18.8% (151) 19.9% (161) 49.2% (405)
7.2% (93) 6.6% (88) 6.5% (73) 20.2% (254)
22.0% (221) 33.6% (292) 44.4% (337) 100.0% (850)
0.0% (0) 0.0% (0) 0.0% (0) 0.0% (0)
1.5% (7) 3.8% (19) 7.8% (35) 13.1% (61)
19.4% (276) 29.7% (405) 27.0% (352) 76.2% (1033)
3.7% (276) 4.3% (391) 2.7% (212) 10.7% (879)
24.6% (559) 37.9% (815) 37.5% (599) 100.0% (1973)
Combined Z-Score Style DistributionHoldings as of March 31, 2019
0%
10%
20%
30%
40%
50%
60%
70%
Value Core Growth
22.0%(221)
24.6%(559)
33.6%(292) 37.9%
(815) 44.4%(337)
37.5%(599)
Bar #1=Callan Small Equity Fund (Combined Z: 0.08 Growth Z: 0.06 Value Z: -0.02)
Bar #2=Russell 2000 Index (Combined Z: 0.01 Growth Z: -0.01 Value Z: -0.02)
Large
Mid
Small
Micro
Sector Weights DistributionHoldings as of March 31, 2019
0%
5%
10%
15%
20%
25%
30%
COMMUN CONCYC CONSTA ENERGY FINANC HEALTH INDEQU PUBUTL RAWMAT REALES TECH
4.33.1
14.6
12.1
3.6 2.8
5.43.7
11.2
17.0
14.516.0
19.2
14.6
1.3
3.85.5
3.9 3.3
7.5
17.015.4
Bar #1=Callan Small Equity Fund
Bar #2=Russell 2000 Index
Value
Core
Growth
103Oregon Savings Growth Plan
Historical Holdings Based Style AnalysisCallan Small Equity FundFor Three Years Ended March 31, 2019
This page analyzes the historical investment style of a portfolio utilizing a detailed holdings-based style analysis to determineaverage actual exposures to various market capitalization and style segments of the domestic equity market. The market issegmented quarterly by capitalization and style. The capitalization segments are dictated by capitalization decile breakpoints.The style segments are determined using the "Combined Z Score", based on the eight fundamental factors used in the MSCIstock style scoring system. The upper-left style map illustrates the average historical market capitalization and style score ofthe portfolio relative to indices and/or peers. The upper-right style exposure matrix displays the average historical portfolioand index weights and stock counts (in parentheses) in each capitalization/style segment of the market. The next two styleexposure charts illustrate the actual quarterly cap/style and style only segment exposures of the portfolio through history.
Average Style Map vs Callan Small CapHoldings for Three Years Ended March 31, 2019
Value Core Growth
Mega
Large
Mid
Small
Micro
Callan Small Equity Fund
Russell 2000 Index
Average Style Exposure MatrixHoldings for Three Years Ended March 31, 2019
Large
Mid
Small
Micro
Total
Value Core Growth Total
0.1% (1) 0.7% (3) 0.9% (5) 1.7% (9)
4.7% (36) 8.5% (64) 14.6% (94) 27.8% (194)
10.2% (89) 19.4% (161) 19.3% (164) 48.8% (414)
6.9% (84) 9.1% (120) 5.7% (68) 21.7% (272)
21.9% (210) 37.7% (348) 40.5% (331) 100.0% (889)
0.0% (0) 0.0% (0) 0.0% (0) 0.0% (0)
1.8% (9) 3.4% (17) 5.5% (27) 10.6% (53)
20.2% (277) 31.8% (432) 25.4% (346) 77.3% (1055)
4.0% (285) 4.9% (374) 3.1% (215) 12.0% (874)
26.0% (571) 40.0% (823) 34.0% (588) 100.0% (1982)
Callan Small Equity Fund Historical Cap/Style Exposures
0% 0%
10% 10%
20% 20%
30% 30%
40% 40%
50% 50%
60% 60%
70% 70%
80% 80%
90% 90%
100% 100%
2016 2017 2018 2019
Micro-Growth
Micro-Core
Micro-Value
Small-Growth
Small-Core
Small-Value
Mid-Growth
Mid-Core
Mid-Value
Large-Growth
Large-Core
Large-Value
Callan Small Equity Fund Historical Style Only Exposures
0% 0%
10% 10%
20% 20%
30% 30%
40% 40%
50% 50%
60% 60%
70% 70%
80% 80%
90% 90%
100% 100%
2016 2017 2018 2019
Growth
Core
Value
104Oregon Savings Growth Plan
DFA US Small Cap PortfolioPeriod Ended March 31, 2019
Investment PhilosophyDimensional’s core philosophical principles are: public capital markets work (Dimensional uses information in market pricesto identify reliable dimensions of expected market returns: size, relative price, and profitability and to design and implementstrategies along those dimensions); diversification is essential (helps reduce uncertainty, manage risk, increase thereliability of outcomes, and provide flexibility); and managing tradeoffs adds value (Dimensional seeks to add value bytargeting market premiums efficiently and continuously, reducing the costs associated with turnover, and implementing aflexible trading strategy).
Quarterly Summary and HighlightsDFA US Small Cap Portfolio’s portfolio posted a 12.42% return for the quarter placing it in the 78 percentile of theCallan Small Cap Mutual Funds group for the quarter and in the 69 percentile for the last year.
DFA US Small Cap Portfolio’s portfolio underperformed the Russell 2000 Index by 2.17% for the quarter andunderperformed the Russell 2000 Index for the year by 2.88%.
Performance vs Callan Small Cap Mutual Funds (Institutional Net)
(10%)
(5%)
0%
5%
10%
15%
20%
25%
30%
Last Quarter Last Last 3 Years Last 5 Years Last 7 Years Last 10 YearsYear
(78)(56)
(69)
(55)
(69)
(47)
(62)(50)
(50)(48)
(40)(59)
10th Percentile 21.99 15.04 21.05 11.12 13.53 18.5725th Percentile 19.20 10.86 18.12 9.48 12.53 17.12
Median 15.29 3.46 12.38 7.00 10.67 15.9375th Percentile 12.75 (2.01) 8.96 4.87 9.18 14.2890th Percentile 11.33 (4.79) 7.17 2.39 7.32 12.88
DFA US SmallCap Portfolio 12.42 (0.83) 9.73 6.15 10.65 16.43
Russell 2000 Index 14.58 2.05 12.92 7.05 10.74 15.36
Relative Return vs Russell 2000 Index
Rela
tive
Re
turn
s
(3%)
(2%)
(1%)
0%
1%
2%
3%
4%
5%
2014 2015 2016 2017 2018 19
DFA US Small Cap Portfolio
Callan Small Cap Mutual Funds (Institutional Net)Annualized Five Year Risk vs Return
5 10 15 20 25 30(5%)
0%
5%
10%
15%
20%
Russell 2000 Index
DFA US Small Cap Portfolio
Standard Deviation
Re
turn
s
105Oregon Savings Growth Plan
DFA US Small Cap PortfolioReturn Analysis Summary
Return AnalysisThe graphs below analyze the manager’s return on both a risk-adjusted and unadjusted basis. The first chart illustrates themanager’s ranking over different periods versus the appropriate style group. The second chart shows the historical quarterlyand cumulative manager returns versus the appropriate market benchmark. The last chart illustrates the manager’s rankingrelative to their style using various risk-adjusted return measures.
Performance vs Callan Small Cap Mutual Funds (Institutional Net)
(30%)(20%)(10%)
0%10%20%30%40%50%60%
12/18- 3/19 2018 2017 2016 2015 2014 2013
(78)(56)
(60)(53)
(71)(57)(28)(33)
(45)(59)(40)(36)
(45)(53)
10th Percentile 21.99 0.17 28.61 29.16 1.04 8.47 48.6525th Percentile 19.20 (3.37) 24.09 24.48 (1.76) 6.23 45.62
Median 15.29 (10.24) 16.39 15.80 (3.72) 3.48 40.5875th Percentile 12.75 (15.37) 10.84 8.41 (6.63) 0.16 35.2090th Percentile 11.33 (17.78) 7.64 5.37 (10.13) (3.23) 32.14
DFA US SmallCap Portfolio 12.42 (13.13) 11.52 23.53 (3.29) 4.44 42.21
Russell 2000 Index 14.58 (11.01) 14.65 21.31 (4.41) 4.89 38.82
Cumulative and Quarterly Relative Return vs Russell 2000 Index
Re
lative
Re
turn
s
(8%)
(6%)
(4%)
(2%)
0%
2%
4%
6%
2014 2015 2016 2017 2018 2019
DFA US Small Cap Portfolio Callan Small Cap MFs
Risk Adjusted Return Measures vs Russell 2000 IndexRankings Against Callan Small Cap Mutual Funds (Institutional Net)Five Years Ended March 31, 2019
(6)
(4)
(2)
0
2
4
6
Alpha Sharpe Excess ReturnRatio Ratio
(61)(59)
(66)
10th Percentile 4.24 0.63 0.5325th Percentile 2.59 0.54 0.37
Median 0.68 0.42 (0.01)75th Percentile (1.60) 0.27 (0.43)90th Percentile (3.59) 0.10 (0.71)
DFA US Small Cap Portfolio (0.46) 0.37 (0.30)
106Oregon Savings Growth Plan
DFA US Small Cap PortfolioRisk Analysis Summary
Risk AnalysisThe graphs below analyze the risk or variation of a manager’s return pattern. The first scatter chart illustrates therelationship, called Excess Return Ratio, between excess return and tracking error relative to the benchmark. The secondchart shows Up and Down Market Capture. The last two charts show the ranking of the manager’s risk statistics versus thepeer group.
Risk Analysis vs Callan Small Cap Mutual Funds (Institutional Net)Five Years Ended March 31, 2019
0 2 4 6 8 10 12 14 16 18(15 )
(10 )
(5 )
0
5
10
DFA US Small Cap Portfolio
Tracking Error
Exce
ss R
etu
rn
Market Capture vs Russell 2000 IndexRankings Against Callan Small Cap Mutual Funds (Institutional Net)Five Years Ended March 31, 2019
50%60%70%80%90%
100%110%120%130%140%150%
Up Market DownCapture Market Capture
(62)(59)
10th Percentile 133.78 112.6625th Percentile 116.44 106.01
Median 96.63 93.5475th Percentile 74.09 85.5690th Percentile 63.78 75.84
DFA US Small Cap Portfolio 83.97 91.07
Risk Statistics Rankings vs Russell 2000 IndexRankings Against Callan Small Cap Mutual Funds (Institutional Net)Five Years Ended March 31, 2019
0%
5%
10%
15%
20%
25%
Standard Downside TrackingDeviation Risk Error
(75)
(97) (96)
10th Percentile 19.04 6.56 9.2425th Percentile 17.58 5.19 7.61
Median 15.94 4.20 5.8675th Percentile 14.78 3.45 4.8490th Percentile 13.65 2.69 3.94
DFA US SmallCap Portfolio 14.79 2.12 3.06
0.700.750.800.850.900.951.001.051.101.15
Beta R-Squared
(63)(4)
10th Percentile 1.09 0.9425th Percentile 1.02 0.91
Median 0.95 0.8775th Percentile 0.88 0.8090th Percentile 0.81 0.76
DFA US SmallCap Portfolio 0.93 0.96
107Oregon Savings Growth Plan
DFA US Small Cap PortfolioEquity Characteristics Analysis Summary
Portfolio CharacteristicsThis graph compares the manager’s portfolio characteristics with the range of characteristics for the portfolios which make upthe manager’s style group. This analysis illustrates whether the manager’s current holdings are consistent with othermanagers employing the same style.
Portfolio Characteristics Percentile RankingsRankings Against Callan Small Cap Mutual Fundsas of March 31, 2019
Pe
rce
ntile
Ra
nkin
g
100%
90%
80%
70%
60%
50%
40%
30%
20%
10%
0%
Weighted Median Price/Fore- Price/Book Forecasted Dividend MSCIMarket Cap casted Earnings Earnings Growth Yield Combined Z-Score
(74)(74)
(58)
(44)
(64)
(54)
(64)(59)
(42)(38)
(57)(50)
10th Percentile 3.73 42.32 4.67 24.34 2.46 0.9525th Percentile 3.27 28.18 3.54 20.46 1.71 0.66
Median 2.66 18.60 2.21 15.21 1.09 0.0275th Percentile 2.04 14.36 1.62 10.95 0.59 (0.39)90th Percentile 1.65 12.93 1.37 9.20 0.29 (0.67)
DFA US SmallCap Portfolio 2.06 16.24 1.77 12.49 1.30 (0.13)
Russell 2000 Index 2.08 22.17 1.99 13.48 1.42 0.01
Sector WeightsThe graph below contrasts the manager’s sector weights with those of the benchmark and median sector weights across themembers of the peer group. The magnitude of sector weight differences from the index and the manager’s sectordiversification are also shown. Diversification by number and concentration of holdings are also compared to the benchmarkand peer group. Issue Diversification represents by count, and Diversification Ratio by percent, the number of holdings thataccount for half of the portfolio’s market value.
Sector AllocationMarch 31, 2019
0% 5% 10% 15% 20% 25% 30%
Industrials19.4
14.518.0
Financials18.9
17.113.6
Consumer Discretionary14.8
50
%M
gr
MV
50
%M
gr
MV
12.013.7
Information Technology14.2
15.621.6
Health Care9.2
16.017.7
Energy5.6
3.72.6
Materials5.1
3.84.0
Consumer Staples4.4
2.82.7
Communication Services4.1
3.22.4
Utilities3.63.8
Real Estate0.7
7.53.8
Miscellaneous
Pooled Vehicles
DFA US Small Cap Portfolio Russell 2000 Index
Callan Small Cap MFs
Sector Diversification
Manager 2.79 sectorsIndex 3.09 sectors
DiversificationMarch 31, 2019
0
500
1000
1500
2000
2500
Number of IssueSecurities Diversification
(1)
(1)
10th Percentile 442 8025th Percentile 179 51
Median 99 3375th Percentile 81 2390th Percentile 54 16
DFA US SmallCap Portfolio 2073 305
Russell 2000 Index 1998 339
Diversification Ratio
Manager 15%Index 17%Style Median 31%
108Oregon Savings Growth Plan
Current Holdings Based Style AnalysisDFA US Small Cap PortfolioAs of March 31, 2019
This page analyzes the current investment style of a portfolio utilizing a detailed holdings-based style analysis to determineactual exposures to various market capitalization and style segments of the domestic equity market. The market issegmented quarterly by capitalization and style. The capitalization segments are dictated by capitalization decile breakpoints.The style segments are determined using the "Combined Z Score", based on the eight fundamental factors used in the MSCIstock style scoring system. The upper-left style map illustrates the current market capitalization and style score of theportfolio relative to indices and/or peers. The upper-right style exposure matrix displays the current portfolio and indexweights and stock counts (in parentheses) in each capitalization/style segment of the market. The middle chart illustrates thetotal exposures and stock counts in the three style segments, with a legend showing the total growth, value, and "combinedZ" (growth - value) scores. The bottom chart exhibits the sector weights as well as the style weights within each sector.
Style Map vs Callan Small CapHoldings as of March 31, 2019
Value Core Growth
Mega
Large
Mid
Small
Micro
DFA US Small Cap Portfolio
Russell 2000 Index
DFA US Small Cap PortfolioRussell 2000 Index
Style Exposure MatrixHoldings as of March 31, 2019
Large
Mid
Small
Micro
Total
Value Core Growth Total
0.0% (0) 0.0% (0) 0.0% (0) 0.0% (0)
1.0% (24) 3.1% (27) 4.1% (36) 8.2% (87)
21.0% (264) 34.6% (401) 24.3% (297) 79.9% (962)
4.2% (378) 4.8% (443) 2.9% (193) 11.9% (1014)
26.2% (666) 42.6% (871) 31.2% (526) 100.0% (2063)
0.0% (0) 0.0% (0) 0.0% (0) 0.0% (0)
1.5% (7) 3.8% (19) 7.8% (35) 13.1% (61)
19.4% (276) 29.7% (405) 27.0% (352) 76.2% (1033)
3.7% (276) 4.3% (391) 2.7% (212) 10.7% (879)
24.6% (559) 37.9% (815) 37.5% (599) 100.0% (1973)
Combined Z-Score Style DistributionHoldings as of March 31, 2019
0%
10%
20%
30%
40%
50%
60%
70%
Value Core Growth
26.2%(666)
24.6%(559)
42.6%(871)
37.9%(815)
31.2%(526) 37.5%
(599)
Bar #1=DFA US Small Cap Portfolio (Combined Z: -0.13 Growth Z: -0.01 Value Z: 0.12)
Bar #2=Russell 2000 Index (Combined Z: 0.01 Growth Z: -0.01 Value Z: -0.02)
Large
Mid
Small
Micro
Sector Weights DistributionHoldings as of March 31, 2019
0%
5%
10%
15%
20%
25%
30%
COMMUN CONCYC CONSTA ENERGY FINANC HEALTH INDEQU PUBUTL RAWMAT REALES TECH
4.13.1
14.8
12.1
4.42.8
5.63.7
18.917.0
9.3
16.0
19.5
14.6
3.6 3.85.1
3.9
0.7
7.5
14.015.4
Bar #1=DFA US Small Cap Portfolio
Bar #2=Russell 2000 Index
Value
Core
Growth
109Oregon Savings Growth Plan
Historical Holdings Based Style AnalysisDFA US Small Cap PortfolioFor Three Years Ended March 31, 2019
This page analyzes the historical investment style of a portfolio utilizing a detailed holdings-based style analysis to determineaverage actual exposures to various market capitalization and style segments of the domestic equity market. The market issegmented quarterly by capitalization and style. The capitalization segments are dictated by capitalization decile breakpoints.The style segments are determined using the "Combined Z Score", based on the eight fundamental factors used in the MSCIstock style scoring system. The upper-left style map illustrates the average historical market capitalization and style score ofthe portfolio relative to indices and/or peers. The upper-right style exposure matrix displays the average historical portfolioand index weights and stock counts (in parentheses) in each capitalization/style segment of the market. The next two styleexposure charts illustrate the actual quarterly cap/style and style only segment exposures of the portfolio through history.
Average Style Map vs Callan Small Cap MFsHoldings for Three Years Ended March 31, 2019
Value Core Growth
Mega
Large
Mid
Small
Micro
DFA US Small Cap Portfolio
Russell 2000 Index
Average Style Exposure MatrixHoldings for Three Years Ended March 31, 2019
Large
Mid
Small
Micro
Total
Value Core Growth Total
0.0% (0) 0.0% (0) 0.0% (0) 0.0% (0)
1.8% (19) 3.4% (28) 4.3% (32) 9.6% (79)
21.1% (252) 37.0% (403) 22.0% (262) 80.2% (917)
3.6% (380) 4.2% (410) 2.4% (179) 10.3% (969)
26.5% (651) 44.6% (841) 28.8% (473) 100.0% (1965)
0.0% (0) 0.0% (0) 0.0% (0) 0.0% (0)
1.8% (9) 3.4% (17) 5.5% (27) 10.6% (53)
20.2% (277) 31.8% (432) 25.4% (346) 77.3% (1055)
4.0% (285) 4.9% (374) 3.1% (215) 12.0% (874)
26.0% (571) 40.0% (823) 34.0% (588) 100.0% (1982)
DFA US Small Cap Portfolio Historical Cap/Style Exposures
0% 0%
10% 10%
20% 20%
30% 30%
40% 40%
50% 50%
60% 60%
70% 70%
80% 80%
90% 90%
100% 100%
2016 2017 2018 2019
Micro-Growth
Micro-Core
Micro-Value
Small-Growth
Small-Core
Small-Value
Mid-Growth
Mid-Core
Mid-Value
Large-Value
DFA US Small Cap Portfolio Historical Style Only Exposures
0% 0%
10% 10%
20% 20%
30% 30%
40% 40%
50% 50%
60% 60%
70% 70%
80% 80%
90% 90%
100% 100%
2016 2017 2018 2019
Growth
Core
Value
110Oregon Savings Growth Plan
Inte
rna
tion
al S
tock O
ptio
n
International Stock Option
International Stock OptionPeriod Ended March 31, 2019
Quarterly Summary and HighlightsInternational Stock Option’s portfolio posted a 10.34% return for the quarter placing it in the 52 percentile of the CallanNon US Equity Mutual Funds group for the quarter and in the 60 percentile for the last year.
International Stock Option’s portfolio outperformed the MSCI ACWI ex US Index by 0.03% for the quarter andunderperformed the MSCI ACWI ex US Index for the year by 2.39%.
Performance vs Callan Non US Equity Mutual Funds (Institutional Net)
(15%)
(10%)
(5%)
0%
5%
10%
15%
20%
Last Quarter Last Last 3 Years Last 5 Years Last 7 Years Last 10 YearsYear
(52)(53)
(60)
(35)
(38)(29)
(43)(47)
(45)(75)
(47)(58)
10th Percentile 13.17 0.01 9.36 5.10 7.59 11.6325th Percentile 11.64 (2.93) 8.32 3.68 6.23 10.41
Median 10.64 (5.75) 6.50 2.17 5.25 9.0675th Percentile 9.50 (9.17) 5.31 1.17 4.74 8.1890th Percentile 7.88 (10.92) 4.48 0.20 4.02 7.60
InternationalStock Option 10.34 (6.60) 7.10 2.69 5.44 9.16
MSCI ACWIex US Index 10.31 (4.21) 8.09 2.57 4.73 8.85
Relative Return vs MSCI ACWI ex US Index
Rela
tive
Re
turn
s
(2.0%)
(1.5%)
(1.0%)
(0.5%)
0.0%
0.5%
1.0%
1.5%
2.0%
2014 2015 2016 2017 2018 19
International Stock Option
Callan Non US Equity Mutual Funds (Institutional Net)Annualized Five Year Risk vs Return
8 10 12 14 16 18(4%)
(2%)
0%
2%
4%
6%
8%
10%
International Stock Option
MSCI ACWI ex US Index
Standard Deviation
Re
turn
s
112Oregon Savings Growth Plan
International Stock OptionReturn Analysis Summary
Return AnalysisThe graphs below analyze the manager’s return on both a risk-adjusted and unadjusted basis. The first chart illustrates themanager’s ranking over different periods versus the appropriate style group. The second chart shows the historical quarterlyand cumulative manager returns versus the appropriate market benchmark. The last chart illustrates the manager’s rankingrelative to their style using various risk-adjusted return measures.
Performance vs Callan Non US Equity Mutual Funds (Institutional Net)
(30%)
(20%)
(10%)
0%
10%
20%
30%
40%
12/18- 3/19 2018 2017 2016 2015 2014 2013
(52)(53)
(55)(33)
(43)(47)
(20)(15)(80)(93) (43)(32)
(66)(87)
10th Percentile 13.17 (10.33) 32.71 5.78 4.89 0.25 27.8925th Percentile 11.64 (13.79) 30.00 2.66 2.35 (2.78) 24.61
Median 10.64 (15.04) 26.90 0.23 0.02 (5.48) 21.0575th Percentile 9.50 (17.67) 23.95 (2.25) (1.86) (6.75) 18.5090th Percentile 7.88 (19.35) 22.13 (5.47) (3.96) (9.16) 14.36
InternationalStock Option 10.34 (15.57) 27.70 3.46 (2.59) (5.06) 19.45
MSCI ACWIex US Index 10.31 (14.20) 27.19 4.50 (5.66) (3.87) 15.29
Cumulative and Quarterly Relative Return vs MSCI ACWI ex US Index
Re
lative
Re
turn
s
(4%)
(3%)
(2%)
(1%)
0%
1%
2%
3%
4%
5%
6%
2014 2015 2016 2017 2018 2019
International Stock Option Callan Non US Equity MFs
Risk Adjusted Return Measures vs MSCI ACWI ex US IndexRankings Against Callan Non US Equity Mutual Funds (Institutional Net)Five Years Ended March 31, 2019
(3)
(2)
(1)
0
1
2
3
4
Alpha Sharpe Excess ReturnRatio Ratio
(44) (39) (38)
10th Percentile 2.65 0.35 0.6625th Percentile 1.16 0.25 0.37
Median (0.31) 0.12 (0.14)75th Percentile (1.27) 0.04 (0.33)90th Percentile (2.20) (0.05) (0.59)
International Stock Option 0.14 0.16 0.08
113Oregon Savings Growth Plan
International Stock OptionRisk Analysis Summary
Risk AnalysisThe graphs below analyze the risk or variation of a manager’s return pattern. The first scatter chart illustrates therelationship, called Excess Return Ratio, between excess return and tracking error relative to the benchmark. The secondchart shows Up and Down Market Capture. The last two charts show the ranking of the manager’s risk statistics versus thepeer group.
Risk Analysis vs Callan Non US Equity Mutual Funds (Institutional Net)Five Years Ended March 31, 2019
0 1 2 3 4 5 6 7 8 9 10(6 )
(4 )
(2 )
0
2
4
6
8
International Stock Option
Tracking Error
Exce
ss R
etu
rn
Market Capture vs MSCI ACWI ex US IndexRankings Against Callan Non US Equity Mutual Funds (Institutional Net)Five Years Ended March 31, 2019
70%
80%
90%
100%
110%
120%
130%
Up Market DownCapture Market Capture
(55) (68)
10th Percentile 121.98 117.4725th Percentile 113.39 111.33
Median 101.37 105.0675th Percentile 92.38 95.8490th Percentile 82.53 85.57
International Stock Option 100.31 99.05
Risk Statistics Rankings vs MSCI ACWI ex US IndexRankings Against Callan Non US Equity Mutual Funds (Institutional Net)Five Years Ended March 31, 2019
0%2%4%6%8%
10%12%14%16%
Standard Downside TrackingDeviation Risk Error
(76)
(100) (98)
10th Percentile 14.28 3.94 5.9225th Percentile 13.27 3.43 5.10
Median 12.43 2.83 3.7975th Percentile 11.93 2.23 3.1890th Percentile 11.35 1.63 2.64
InternationalStock Option 11.91 1.02 1.56
0.750.800.850.900.951.001.051.101.151.20
Beta R-Squared
(54) (3)
10th Percentile 1.12 0.9625th Percentile 1.05 0.93
Median 1.00 0.9175th Percentile 0.94 0.8690th Percentile 0.84 0.81
InternationalStock Option 0.99 0.98
114Oregon Savings Growth Plan
International Stock OptionEquity Characteristics Analysis Summary
Portfolio CharacteristicsThis graph compares the manager’s portfolio characteristics with the range of characteristics for the portfolios which make upthe manager’s style group. This analysis illustrates whether the manager’s current holdings are consistent with othermanagers employing the same style.
Portfolio Characteristics Percentile RankingsRankings Against Callan Non US Equity Mutual Fundsas of March 31, 2019
Pe
rce
ntile
Ra
nkin
g
100%
90%
80%
70%
60%
50%
40%
30%
20%
10%
0%
Weighted Median Price/Fore- Price/Book Forecasted Dividend MSCIMarket Cap casted Earnings Earnings Growth Yield Combined Z-Score
(73)
(43)
(69)(67) (65)(66)
(53)(49)
(37)(33)
(66)(66)
10th Percentile 49.01 19.38 3.19 14.37 3.71 0.9725th Percentile 40.44 16.69 2.59 13.04 3.45 0.63
Median 29.68 14.22 1.91 10.30 2.78 0.2175th Percentile 21.70 12.62 1.45 8.88 2.26 (0.23)90th Percentile 12.34 11.11 1.18 8.12 1.76 (0.51)
InternationalStock Option 22.83 12.92 1.62 10.01 2.99 (0.02)
MSCI ACWI ex US Index 32.68 13.01 1.61 10.38 3.19 (0.02)
Sector WeightsThe graph below contrasts the manager’s sector weights with those of the benchmark and median sector weights across themembers of the peer group. The magnitude of sector weight differences from the index and the manager’s sectordiversification are also shown. Diversification by number and concentration of holdings are also compared to the benchmarkand peer group. Issue Diversification represents by count, and Diversification Ratio by percent, the number of holdings thataccount for half of the portfolio’s market value.
Sector AllocationMarch 31, 2019
0% 5% 10% 15% 20% 25% 30%
Financials18.5
21.619.1
Industrials13.2
11.715.5
Consumer Discretionary10.1
11.011.8
Materials9.2
50
%M
gr
MV
50
%M
gr
MV
7.77.2
Health Care8.9
8.411.0
Consumer Staples8.7
10.011.3
Information Technology8.68.4
10.1
Energy8.3
7.55.5
Communication Services6.76.9
6.0
Utilities4.2
3.31.1
Real Estate3.53.5
1.3
Miscellaneous0.2
Pooled Vehicles
International Stock Option MSCI ACWI ex US Index
Callan Non US Equity MFs
Sector Diversification
Manager 3.89 sectorsIndex 3.57 sectors
DiversificationMarch 31, 2019
0
2000
4000
6000
8000
10000
12000
Number of IssueSecurities Diversification
(1)
(3)
10th Percentile 408 5425th Percentile 180 41
Median 79 2575th Percentile 59 1990th Percentile 47 15
InternationalStock Option 10362 131
MSCI ACWIex US Index 2132 176
Diversification Ratio
Manager 1%Index 8%Style Median 29%
115Oregon Savings Growth Plan
Country AllocationInternational Stock Option VS MSCI ACWI ex US Index
Country AllocationThe chart below contrasts the portfolio’s country allocation with that of the index as of March 31, 2019. This chart is usefulbecause large deviations in country allocation relative to the index are often good predictors of tracking error in thesubsequent quarter. To the extent that the portfolio allocation is similar to the index, the portfolio should experience more"index-like" performance. In order to illustrate the performance effect on the portfolio and index of these country allocations,the individual index country returns are also shown.
Country Weights as of March 31, 2019
0% 5% 10% 15% 20%
Australia4.1
4.7
Austria0.10.2
Belgium1.3
0.7
Brazil1.91.9
Cambodia
Canada5.9
6.8
Chile0.30.3
China6.4
8.6
Colombia0.10.1
Cyprus
Czech Republic
Denmark1.5
1.2
Egypt
Finland1.5
0.7
France8.1
7.6
Germany5.85.8
Greece 0.1
Hong Kong1.9
2.8
Hungary0.10.1
India2.7
2.4
Indonesia0.60.6
Ireland1.2
0.4
Israel0.40.4
Italy1.4
1.6
Japan14.7
16.1
Luxembourg
Malaysia0.60.6
Mexico0.70.7
Netherlands2.6
2.4
New Zealand0.10.2
Norway0.9
0.5
Pakistan
Peru0.10.1
Philippines0.20.3
Poland0.30.3
Portugal0.10.1
Qatar0.1
0.2
Russia0.6
1.0
Singapore1.2
0.9
South Africa1.41.5
South Korea3.8
3.4
Spain2.02.0
Sweden2.3
1.8
Switzerland5.6
6.0
Taiwan3.03.0
Thailand0.50.6
Turkey0.20.1
Ukraine
United Arab Emirates0.10.2
United Kingdom13.2
11.5
United States0.2
Percent of Portfolio
International Stock Option MSCI ACWI ex US Index
Index Rtns
11.39%
8.44%
16.21%
8.14%
-
15.37%
4.12%
17.69%
24.80%
-
3.82%
12.80%
15.82%
7.98%
10.71%
6.91%
12.78%
15.58%
6.01%
7.16%
4.27%
11.37%
10.08%
14.56%
6.65%
-
0.33%
5.51%
13.56%
16.65%
7.01%
8.30%
11.01%
7.88%
(0.58%)
10.23%
(3.51%)
12.52%
6.22%
4.43%
4.89%
7.00%
7.36%
13.11%
8.98%
7.43%
(3.15%)
-
8.69%
11.89%
12.31%
Manager Total Return: (18.02%)
Index Total Return: 10.31%
116Oregon Savings Growth Plan
Current Holdings Based Style AnalysisInternational Stock OptionAs of March 31, 2019
This page analyzes the current investment style of a portfolio utilizing a detailed holdings-based style analysis to determineactual exposures to various regional and style segments of the international/global equity market. The market is segmentedquarterly by region and style. The style segments are determined using the "Combined Z Score", based on the eightfundamental factors used in the MSCI stock style scoring system. The upper-left style map illustrates the current marketcapitalization and style score of the portfolio relative to indices and/or peers. The upper-right style exposure matrix displaysthe current portfolio and index weights and stock counts (in parentheses) in each region/style segment of the market. Themiddle chart illustrates the total exposures and stock counts in the three style segments, with a legend showing the totalgrowth, value, and "combined Z" (growth - value) scores. The bottom chart exhibits the sector weights as well as the styleweights within each sector.
Style Map vs Callan Non US Equity MFsHoldings as of March 31, 2019
Value Core Growth
Mega
Large
Mid
Small
Micro
International Stock Option
MSCI ACWI ex US Index
Style Exposure MatrixHoldings as of March 31, 2019
13.5% (672) 13.4% (654) 20.0% (572) 46.8% (1898)
1.2% (145) 2.9% (152) 2.0% (103) 6.1% (400)
7.2% (1240) 6.2% (937) 8.9% (849) 22.3% (3026)
7.7% (1833) 8.6% (1615) 8.5% (1325) 24.8% (4773)
29.5% (3890) 31.1% (3358) 39.4% (2849) 100.0% (10097)
14.3% (143) 10.6% (123) 17.8% (180) 42.7% (446)
1.6% (28) 3.4% (36) 1.8% (29) 6.8% (93)
8.6% (149) 6.5% (141) 9.5% (181) 24.7% (471)
7.3% (379) 8.0% (366) 10.4% (364) 25.7% (1109)
31.9% (699) 28.5% (666) 39.6% (754) 100.0% (2119)
Europe/Mid East
N. America
Pacific
Emerging/FM
Total
Value Core Growth Total
Combined Z-Score Style DistributionHoldings as of March 31, 2019
0%
10%
20%
30%
40%
50%
60%
70%
Value Core Growth
29.5%(3890)
31.9%(699)
31.1%(3358)
28.5%(666)
39.4%(2849)
39.6%(754)
Bar #1=International Stock Option (Combined Z: -0.02 Growth Z: 0.01 Value Z: 0.03)Bar #2=MSCI ACWI ex US Index (Combined Z: -0.02 Growth Z: -0.02 Value Z: 0.00)
Europe/Mid East
N. America
Pacific
Emerging/FM
Sector Weights DistributionHoldings as of March 31, 2019
0%
5%
10%
15%
20%
25%
30%
COMMUN CONCYC CONSTA ENERGY FINANC FUND HEALTH INDEQU MISC PUBUTL RAWMAT REALES TECH
0.0 0.0
7.0 7.0
10.011.2
8.110.0
8.67.5
18.5
21.3
0.0 0.0
9.2 8.4
13.411.7
0.0 0.0
3.9 3.3
8.7 7.7
3.6 3.4
9.0 8.4
Bar #1=International Stock OptionBar #2=MSCI ACWI ex US Index
Value
Core
Growth
117Oregon Savings Growth Plan
Active Share Structure AnalysisFor One Quarter Ended March 31, 2019
This analysis compares multiple portfolios and composites in an active share context, illustrating the varying degrees ofactive risk taken by individual portfolios, and how they combine into active risk profiles for composites and the equitystructure. Two sources of active share (active risk) are shown: 1) Total Holdings-Based Active Share based on individualposition comparisons to the index (and the subcomponent from holding non-index securities), and 2) Sector Exposure ActiveShare that quantifies the more macro-level sector differences from the index.
Active Share AnalysisEnded March 31, 2019
0% 2% 4% 6% 8% 10% 12% 14% 16% 18% 20%0%
10%
20%
30%
40%
50%
60%
70%
80%
90%
100%
International Stock Option
Lazard Intl Equity
DFA Intl Core Equity
DFA Emerging Markets Core
Arrowstreet Intl Equity
AQR ACWI ex-US Fund
Sector Exposure Active Share
Ho
ldin
gs-B
ase
d T
ota
l A
ctive
Sh
are
Weight Total Non-Idx Sector Number Security% Index Act Share Act Share Act Share Securities Diverse
International Stock Option 100.00% MSCI ACWI ex US 40.96% 7.45% 5.58% 10362 130.86Lazard Intl Equity 24.88% MSCI EAFE 88.58% 14.02% 8.43% 62 19.89DFA Intl Core Equity 14.78% MSCI World ex US 49.41% 18.67% 13.80% 5221 408.18DFA Emerging Markets Core 9.97% MSCI EM 40.96% 14.98% 13.65% 4839 241.28Arrowstreet Intl Equity 25.44% MSCI ACWI ex US 3.41% 1.28% 0.49% 1955 175.48AQR ACWI ex-US Fund 24.92% MSCI ACWI ex US 62.22% 2.52% 16.93% 578 59.00
118Oregon Savings Growth Plan
Lazard International Equity FundPeriod Ended March 31, 2019
Investment PhilosophyThe Lazard International Equity strategy seeks to generate strong relative returns over a full market cycle by investing incompanies with strong and/or improving financial productivity at attractive valuations. The strategy typically invests innon-US companies, including those from emerging markets, with a market capitalization generally of $3 billion or greater.EAFE and ACWI ex-US benchmarked versions are available, resulting in different emerging markets exposure. A versionthat excludes emerging markets is also available.
Quarterly Summary and HighlightsLazard International Equity Fund’s portfolio posted a 10.05% return for the quarter placing it in the 80 percentile of theCallan Non-US Developed Core Equity group for the quarter and in the 20 percentile for the last year.
Lazard International Equity Fund’s portfolio outperformed the MSCI EAFE Index by 0.08% for the quarter andoutperformed the MSCI EAFE Index for the year by 0.18%.
Performance vs Callan Non-US Developed Core Equity (Gross)
(15%)
(10%)
(5%)
0%
5%
10%
15%
Last Quarter Last Last 3 Years Last 5 Years Last 7 Years Last 10 YearsYear
(80)(83)
(20)(21)
(90)
(51)
(77)(78)
(65)(88)
(70)(88)
10th Percentile 11.97 (1.62) 9.20 4.42 7.95 11.7425th Percentile 10.93 (4.06) 8.16 3.86 7.25 10.78
Median 10.36 (4.86) 7.30 3.21 6.64 10.3875th Percentile 10.07 (6.72) 6.27 2.70 6.07 9.5390th Percentile 9.41 (9.08) 5.20 1.49 5.44 8.83
Lazard InternationalEquity Fund 10.05 (3.54) 5.05 2.56 6.32 9.80
MSCI EAFE Index 9.98 (3.71) 7.27 2.33 5.63 8.96
Relative Return vs MSCI EAFE Index
Rela
tive
Re
turn
s
(4%)
(3%)
(2%)
(1%)
0%
1%
2%
3%
2014 2015 2016 2017 2018 19
Lazard International Equity Fund
Callan Non-US Developed Core Equity (Gross)Annualized Five Year Risk vs Return
10 11 12 13 14 15 160%
1%
2%
3%
4%
5%
6%
7%
MSCI EAFE Index
Lazard International Equity Fund
Standard Deviation
Re
turn
s
119Oregon Savings Growth Plan
Lazard International Equity FundReturn Analysis Summary
Return AnalysisThe graphs below analyze the manager’s return on both a risk-adjusted and unadjusted basis. The first chart illustrates themanager’s ranking over different periods versus the appropriate style group. The second chart shows the historical quarterlyand cumulative manager returns versus the appropriate market benchmark. The last chart illustrates the manager’s rankingrelative to their style using various risk-adjusted return measures.
Performance vs Callan Non-US Developed Core Equity (Gross)
(30%)
(20%)
(10%)
0%
10%
20%
30%
40%
12/18- 3/19 2018 2017 2016 2015 2014 2013
(80)(83)
(20)(29)
(80)(62)
(96)(49) (35)
(76) (26)(57)
(58)(66)
10th Percentile 11.97 (10.05) 30.76 4.85 4.96 (1.58) 29.7425th Percentile 10.93 (13.01) 28.87 2.96 2.84 (2.44) 27.80
Median 10.36 (15.26) 26.32 0.94 1.15 (4.45) 24.7675th Percentile 10.07 (17.48) 24.06 (0.44) (0.68) (5.73) 21.6990th Percentile 9.41 (19.10) 23.17 (2.25) (4.33) (8.54) 18.73
Lazard InternationalEquity Fund 10.05 (12.78) 23.86 (3.79) 2.39 (2.62) 23.87
MSCI EAFE Index 9.98 (13.79) 25.03 1.00 (0.81) (4.90) 22.78
Cumulative and Quarterly Relative Return vs MSCI EAFE Index
Re
lative
Re
turn
s
(5%)
0%
5%
10%
2014 2015 2016 2017 2018 2019
Lazard International Equity Fund Callan NonUS Dev Core Eq
Risk Adjusted Return Measures vs MSCI EAFE IndexRankings Against Callan Non-US Developed Core Equity (Gross)Five Years Ended March 31, 2019
(1.5)
(1.0)
(0.5)
0.0
0.5
1.0
1.5
2.0
2.5
3.0
Alpha Sharpe Excess ReturnRatio Ratio
(76)(68) (76)
10th Percentile 2.17 0.31 1.0525th Percentile 1.49 0.25 0.69
Median 0.87 0.19 0.3375th Percentile 0.41 0.16 0.1390th Percentile (0.79) 0.06 (0.31)
Lazard International Equity Fund 0.35 0.17 0.08
120Oregon Savings Growth Plan
Lazard International Equity FundRisk Analysis Summary
Risk AnalysisThe graphs below analyze the risk or variation of a manager’s return pattern. The first scatter chart illustrates therelationship, called Excess Return Ratio, between excess return and tracking error relative to the benchmark. The secondchart shows Up and Down Market Capture. The last two charts show the ranking of the manager’s risk statistics versus thepeer group.
Risk Analysis vs Callan Non-US Developed Core Equity (Gross)Five Years Ended March 31, 2019
0.5 1.0 1.5 2.0 2.5 3.0 3.5 4.0 4.5 5.0 5.5 6.0(2 )
(1 )
0
1
2
3
4
5
Lazard International Equity Fund
Tracking Error
Exce
ss R
etu
rn
Market Capture vs MSCI EAFE IndexRankings Against Callan Non-US Developed Core Equity (Gross)Five Years Ended March 31, 2019
70%
80%
90%
100%
110%
120%
130%
Up Market DownCapture Market Capture
(96) (68)
10th Percentile 120.51 111.4525th Percentile 113.80 106.17
Median 107.08 99.6475th Percentile 101.54 90.9890th Percentile 96.82 82.05
Lazard International Equity Fund 94.82 93.58
Risk Statistics Rankings vs MSCI EAFE IndexRankings Against Callan Non-US Developed Core Equity (Gross)Five Years Ended March 31, 2019
0%
5%
10%
15%
Standard Downside TrackingDeviation Risk Error
(95)
(22) (39)
10th Percentile 13.40 2.58 3.9025th Percentile 12.65 2.13 3.34
Median 12.29 1.62 2.5875th Percentile 11.86 0.99 1.7590th Percentile 11.17 0.63 1.56
Lazard InternationalEquity Fund 10.87 2.19 2.82
0.85
0.90
0.95
1.00
1.05
1.10
1.15
Beta R-Squared
(95)
(65)
10th Percentile 1.12 0.9925th Percentile 1.07 0.98
Median 1.02 0.9675th Percentile 0.98 0.9390th Percentile 0.92 0.91
Lazard InternationalEquity Fund 0.90 0.94
121Oregon Savings Growth Plan
Lazard International Equity FundEquity Characteristics Analysis Summary
Portfolio CharacteristicsThis graph compares the manager’s portfolio characteristics with the range of characteristics for the portfolios which make upthe manager’s style group. This analysis illustrates whether the manager’s current holdings are consistent with othermanagers employing the same style.
Portfolio Characteristics Percentile RankingsRankings Against Callan Non-US Developed Core Equityas of March 31, 2019
Pe
rce
ntile
Ra
nkin
g
100%
90%
80%
70%
60%
50%
40%
30%
20%
10%
0%
Weighted Median Price/Fore- Price/Book Forecasted Dividend MSCIMarket Cap casted Earnings Earnings Growth Yield Combined Z-Score
(26)(26)
(13)
(40)
(5)
(63)(70)
(62)
(99)
(18)
(7)
(59)
10th Percentile 52.14 15.37 1.86 12.45 3.50 0.2525th Percentile 37.28 14.00 1.79 11.04 3.30 0.13
Median 28.71 12.86 1.66 9.55 3.11 0.0375th Percentile 24.97 11.97 1.53 8.30 2.95 (0.12)90th Percentile 12.76 11.35 1.35 7.87 2.67 (0.27)
Lazard InternationalEquity Fund 35.91 14.50 2.21 8.52 2.47 0.35
MSCI EAFE Index 36.34 13.37 1.59 8.97 3.41 (0.02)
Sector WeightsThe graph below contrasts the manager’s sector weights with those of the benchmark and median sector weights across themembers of the peer group. The magnitude of sector weight differences from the index and the manager’s sectordiversification are also shown. Diversification by number and concentration of holdings are also compared to the benchmarkand peer group. Issue Diversification represents by count, and Diversification Ratio by percent, the number of holdings thataccount for half of the portfolio’s market value.
Sector AllocationMarch 31, 2019
0% 5% 10% 15% 20% 25%
Financials
19.018.9
19.9
Industrials
18.714.414.7
Health Care
10.111.2
12.2
Consumer Staples
9.4
50
%M
gr
MV
50
%M
gr
MV
11.811.5
Consumer Discretionary
9.411.0
10.4
Communication Services
8.45.45.4
Materials
6.97.5
7.2
Energy
6.85.9
6.5
Information Technology
6.46.36.7
Real Estate
3.33.9
2.4
Utilities
1.63.7
3.0
Lazard International Equity Fund MSCI EAFE Index
Callan NonUS Dev Core Eq
Sector Diversification
Manager 3.24 sectorsIndex 3.43 sectors
DiversificationMarch 31, 2019
0
100
200
300
400
500
600
700
Number of IssueSecurities Diversification
(77)(73)
10th Percentile 543 6525th Percentile 237 43
Median 92 2975th Percentile 65 1990th Percentile 46 16
Lazard InternationalEquity Fund 62 20
MSCI EAFE Index 919 111
Diversification Ratio
Manager 32%Index 12%Style Median 31%
122Oregon Savings Growth Plan
Country AllocationLazard International Equity Fund VS MSCI EAFE Index
Country AllocationThe chart below contrasts the portfolio’s country allocation with that of the index as of March 31, 2019. This chart is usefulbecause large deviations in country allocation relative to the index are often good predictors of tracking error in thesubsequent quarter. To the extent that the portfolio allocation is similar to the index, the portfolio should experience more"index-like" performance. In order to illustrate the performance effect on the portfolio and index of these country allocations,the individual index country returns are also shown.
Country Weights as of March 31, 2019
0% 5% 10% 15% 20% 25% 30%
Australia2.6
6.9
Austria 0.2
Belgium2.7
1.0
Canada5.8
China1.7
Denmark1.61.8
Finland2.7
1.0
France12.8
11.3
Germany6.6
8.6
Hong Kong0.5
4.1
India1.1
Ireland4.1
0.5
Israel1.0
0.5
Italy 2.4
Japan13.4
24.0
Netherlands4.2
3.6
New Zealand 0.2
Norway2.6
0.7
Portugal 0.2
Singapore2.8
1.3
South Korea1.0
Spain1.6
3.0
Sweden3.7
2.6
Switzerland6.3
8.9
United Kingdom21.2
17.1
Percent of Portfolio
Lazard International Equity Fund MSCI EAFE Index
Index Rtns
11.39%
8.44%
16.21%
15.60%
17.69%
12.80%
7.98%
10.71%
6.91%
15.58%
7.16%
11.37%
10.08%
14.56%
6.65%
13.56%
16.65%
7.01%
10.23%
6.22%
4.97%
7.00%
7.36%
13.11%
11.89%
Manager Total Return: 10.05%
Index Total Return: 9.98%
123Oregon Savings Growth Plan
Oregon Savings Growth PlanHistory of Ending Regional WeightsPeriod Ended March 31, 2019
0
5
10
15
2016 2017 2018 2019
5.87
12.64
Pacific Basin
0
5
10
15
20
2016 2017 2018 2019
5.79
0.00
North America
0
10
20
30
2016 2017 2018 2019
13.43
23.96
Japan
0
2
4
6
8
2016 2017 2018 2019
3.78
0.00
Emerging Markets
0
20
40
60
80
2016 2017 2018 2019
71.1463.40
Dev Europe/Mid East
Lazard International Equity FundMSCI EAFE Index
124Oregon Savings Growth Plan
Current Holdings Based Style AnalysisLazard International Equity FundAs of March 31, 2019
This page analyzes the current investment style of a portfolio utilizing a detailed holdings-based style analysis to determineactual exposures to various regional and style segments of the international/global equity market. The market is segmentedquarterly by region and style. The style segments are determined using the "Combined Z Score", based on the eightfundamental factors used in the MSCI stock style scoring system. The upper-left style map illustrates the current marketcapitalization and style score of the portfolio relative to indices and/or peers. The upper-right style exposure matrix displaysthe current portfolio and index weights and stock counts (in parentheses) in each region/style segment of the market. Themiddle chart illustrates the total exposures and stock counts in the three style segments, with a legend showing the totalgrowth, value, and "combined Z" (growth - value) scores. The bottom chart exhibits the sector weights as well as the styleweights within each sector.
Style Map vs Callan NonUS Dev Core EqHoldings as of March 31, 2019
Value Core Growth
Mega
Large
Mid
Small
Micro
Lazard International Equity Fund
MSCI EAFE Index
Style Exposure MatrixHoldings as of March 31, 2019
11.9% (5) 20.6% (13) 36.7% (18) 69.3% (36)
0.0% (0) 3.8% (2) 2.7% (2) 6.5% (4)
1.8% (1) 5.0% (2) 13.1% (10) 20.0% (13)
0.0% (0) 3.0% (2) 1.2% (1) 4.2% (3)
13.7% (6) 32.5% (19) 53.7% (31) 100.0% (56)
21.2% (143) 15.7% (123) 26.5% (180) 63.3% (446)
0.0% (0) 0.0% (0) 0.0% (1) 0.0% (1)
12.8% (147) 9.7% (141) 14.2% (181) 36.6% (469)
0.0% (0) 0.0% (0) 0.0% (0) 0.0% (0)
34.0% (290) 25.3% (264) 40.7% (362) 100.0% (916)
Europe/Mid East
N. America
Pacific
Emerging
Total
Value Core Growth Total
Combined Z-Score Style DistributionHoldings as of March 31, 2019
0%
10%
20%
30%
40%
50%
60%
70%
80%
90%
Value Core Growth
13.7%(6)
34.0%(290)
32.5%(19)
25.3%(264)
53.7%(31)
40.7%(362)
Bar #1=Lazard International Equity Fund (Combined Z: 0.35 Growth Z: 0.12 Value Z: -0.23Bar #2=MSCI EAFE Index (Combined Z: -0.02 Growth Z: -0.02 Value Z: 0.00)
Europe/Mid East
N. America
Pacific
Emerging
Sector Weights DistributionHoldings as of March 31, 2019
0%
5%
10%
15%
20%
25%
30%
COMMUN CONCYC CONSTA ENERGY FINANC HEALTH INDEQU RAWMAT REALES TECH PUBUTL
9.4
5.47.7
11.0
7.5
11.9
7.75.9
20.018.9
11.3 11.3
19.4
14.4
6.17.5
3.7 3.8
7.1 6.3
0.0
3.7
Bar #1=Lazard International Equity FundBar #2=MSCI EAFE Index
Value
Core
Growth
125Oregon Savings Growth Plan
Historical Holdings Based Style AnalysisLazard International Equity FundFor Three Years Ended March 31, 2019
This page analyzes the historical investment style of a portfolio utilizing a detailed holdings-based style analysis to determineaverage actual exposures to various region and style segments of the international/global equity market. The market issegmented quarterly by region and style. The style segments are determined using the "Combined Z Score", based on theeight fundamental factors used in the MSCI stock style scoring system. The upper-left style map illustrates the averagehistorical market capitalization and style score of the portfolio relative to indices and/or peers. The upper-right style exposurematrix displays the average historical portfolio and index weights and stock counts (in parentheses) in each region/stylesegment of the market. The next two style exposure charts illustrate the actual quarterly region/style and style only segmentexposures of the portfolio through history.
Average Style Map vs Callan NonUS Dev Core EqHoldings for Three Years Ended March 31, 2019
Value Core Growth
Mega
Large
Mid
Small
Micro
Lazard International Equity Fund
MSCI EAFE Index
Average Style Exposure MatrixHoldings for Three Years Ended March 31, 2019
12.0% (7) 19.5% (11) 32.0% (17) 63.5% (35)
2.0% (1) 4.3% (2) 3.2% (2) 9.5% (5)
2.3% (1) 7.3% (5) 13.1% (8) 22.7% (14)
0.9% (1) 1.3% (1) 2.1% (1) 4.3% (3)
17.2% (10) 32.4% (19) 50.4% (28) 100.0% (57)
20.0% (132) 18.3% (133) 24.8% (190) 63.1% (455)
0.0% (0) 0.0% (0) 0.0% (0) 0.0% (0)
13.1% (143) 10.6% (149) 13.2% (178) 36.9% (470)
0.0% (0) 0.0% (0) 0.0% (0) 0.0% (0)
33.1% (275) 28.9% (282) 38.0% (368) 100.0% (925)
Europe/Mid East
N. America
Pacific
Emerging
Total
Value Core Growth Total
Lazard International Equity Fund Historical Region/Style Exposures
0% 0%
10% 10%
20% 20%
30% 30%
40% 40%
50% 50%
60% 60%
70% 70%
80% 80%
90% 90%
100% 100%
2016 2017 2018 2019
Emerging-Growth
Emerging-Core
Emerging-Value
Pacific-Growth
Pacific-Core
Pacific-Value
N. America-Growth
N. America-Core
N. America-Value
Europe/Mid East-Growth
Europe/Mid East-Core
Europe/Mid East-Value
Lazard International Equity Fund Historical Style Only Exposures
0% 0%
10% 10%
20% 20%
30% 30%
40% 40%
50% 50%
60% 60%
70% 70%
80% 80%
90% 90%
100% 100%
2016 2017 2018 2019
Growth
Core
Value
126Oregon Savings Growth Plan
DFA International Core EquityPeriod Ended March 31, 2019
Investment PhilosophyDFA takes a highly structured approach in all investment strategies, and relies on very careful, long-term focused portfolioengineering and trading expertise to achieve performance. They believe this systematic approach produces a more reliableand consistent investment rather than sector rotation, market forecasts and other speculative tools of traditional activemanagers.
Quarterly Summary and HighlightsDFA International Core Equity’s portfolio posted a 10.07% return for the quarter placing it in the 80 percentile of theCallan Intl Eq Developed Mkts MFs group for the quarter and in the 83 percentile for the last year.
DFA International Core Equity’s portfolio underperformed the MSCI World ex US Index by 0.38% for the quarter andunderperformed the MSCI World ex US Index for the year by 5.06%.
Performance vs Callan Intl Eq Developed Mkts MFs (Institutional Net)
(15%)
(10%)
(5%)
0%
5%
10%
15%
20%
Last Quarter Last Last 3 Years Last 5 Years Last 7 Years Last 10 YearsYear
(80)(59)
(83)
(25)
(44)(46)
(44)(53)
(34)(54)
(20)(63)
10th Percentile 13.26 0.09 9.43 4.99 6.83 11.2125th Percentile 11.77 (3.16) 8.36 4.02 6.07 10.02
Median 10.78 (5.91) 7.28 2.26 5.38 9.3775th Percentile 10.18 (7.55) 5.83 1.23 4.93 8.5690th Percentile 9.76 (10.69) 4.03 0.22 3.66 7.52
DFA InternationalCore Equity 10.07 (8.20) 7.37 2.41 5.91 10.13
MSCI Worldex US Index 10.45 (3.14) 7.29 2.20 5.28 8.82
Relative Return vs MSCI World ex US Index
Rela
tive
Re
turn
s
(3%)
(2%)
(1%)
0%
1%
2%
3%
2014 2015 2016 2017 2018 19
DFA International Core Equity
Callan Intl Eq Developed Mkts MFs (Institutional Net)Annualized Five Year Risk vs Return
10 11 12 13 14 15 16 17(2%)
(1%)
0%
1%
2%
3%
4%
5%
6%
7%
8%
DFA International Core Equity
MSCI World ex US Index
Standard Deviation
Re
turn
s
127Oregon Savings Growth Plan
DFA International Core EquityReturn Analysis Summary
Return AnalysisThe graphs below analyze the manager’s return on both a risk-adjusted and unadjusted basis. The first chart illustrates themanager’s ranking over different periods versus the appropriate style group. The second chart shows the historical quarterlyand cumulative manager returns versus the appropriate market benchmark. The last chart illustrates the manager’s rankingrelative to their style using various risk-adjusted return measures.
Performance vs Callan Intl Eq Developed Mkts MFs (Institutional Net)
(30%)
(20%)
(10%)
0%
10%
20%
30%
40%
12/18- 3/19 2018 2017 2016 2015 2014 2013
(80)(59)
(71)(33)
(36)(81)
(4)(15) (39)(81) (60)(37)
(20)(41)
10th Percentile 13.26 (12.16) 31.87 3.15 3.09 1.17 24.7225th Percentile 11.77 (13.79) 29.87 1.87 0.76 (2.02) 22.94
Median 10.78 (15.06) 26.64 0.39 (0.73) (5.41) 20.6475th Percentile 10.18 (17.73) 24.76 (1.47) (2.86) (6.48) 18.3390th Percentile 9.76 (20.66) 22.83 (4.05) (4.93) (8.23) 12.38
DFA InternationalCore Equity 10.07 (17.40) 28.05 5.34 (0.21) (5.98) 23.43
MSCI Worldex US Index 10.45 (14.09) 24.21 2.75 (3.04) (4.32) 21.02
Cumulative and Quarterly Relative Return vs MSCI World ex US Index
Re
lative
Re
turn
s
(6%)
(4%)
(2%)
0%
2%
4%
6%
8%
2014 2015 2016 2017 2018 2019
DFA International Core Equity Callan Intl Eq Dev Mkt MF
Risk Adjusted Return Measures vs MSCI World ex US IndexRankings Against Callan Intl Eq Developed Mkts MFs (Institutional Net)Five Years Ended March 31, 2019
(3)
(2)
(1)
0
1
2
3
4
Alpha Sharpe Excess ReturnRatio Ratio
(45) (43) (43)
10th Percentile 3.02 0.36 0.7525th Percentile 1.80 0.26 0.50
Median 0.01 0.12 0.0475th Percentile (0.90) 0.04 (0.27)90th Percentile (1.80) (0.04) (0.66)
DFA International Core Equity 0.17 0.13 0.10
128Oregon Savings Growth Plan
DFA International Core EquityRisk Analysis Summary
Risk AnalysisThe graphs below analyze the risk or variation of a manager’s return pattern. The first scatter chart illustrates therelationship, called Excess Return Ratio, between excess return and tracking error relative to the benchmark. The secondchart shows Up and Down Market Capture. The last two charts show the ranking of the manager’s risk statistics versus thepeer group.
Risk Analysis vs Callan Intl Eq Developed Mkts MFs (Institutional Net)Five Years Ended March 31, 2019
0 1 2 3 4 5 6 7(4 )
(3 )
(2 )
(1 )
0
1
2
3
4
5
6
DFA International Core Equity
Tracking Error
Exce
ss R
etu
rn
Market Capture vs MSCI World ex US IndexRankings Against Callan Intl Eq Developed Mkts MFs (Institutional Net)Five Years Ended March 31, 2019
80%
90%
100%
110%
120%
130%
140%
Up Market DownCapture Market Capture
(40)(35)
10th Percentile 127.35 112.5725th Percentile 119.89 109.41
Median 104.18 102.2875th Percentile 96.53 96.4190th Percentile 85.68 89.82
DFA International Core Equity 111.76 107.03
Risk Statistics Rankings vs MSCI World ex US IndexRankings Against Callan Intl Eq Developed Mkts MFs (Institutional Net)Five Years Ended March 31, 2019
0%2%4%6%8%
10%12%14%16%
Standard Downside TrackingDeviation Risk Error
(42)
(81) (81)
10th Percentile 13.67 3.57 5.7425th Percentile 13.08 2.98 4.09
Median 12.48 2.37 3.3775th Percentile 11.99 1.64 2.5190th Percentile 11.62 1.05 1.95
DFA InternationalCore Equity 12.81 1.52 2.22
0.750.800.850.900.951.001.051.101.151.20
Beta R-Squared
(19)
(9)
10th Percentile 1.14 0.9725th Percentile 1.07 0.96
Median 1.03 0.9375th Percentile 0.98 0.9190th Percentile 0.93 0.81
DFA InternationalCore Equity 1.08 0.98
129Oregon Savings Growth Plan
DFA International Core EquityEquity Characteristics Analysis Summary
Portfolio CharacteristicsThis graph compares the manager’s portfolio characteristics with the range of characteristics for the portfolios which make upthe manager’s style group. This analysis illustrates whether the manager’s current holdings are consistent with othermanagers employing the same style.
Portfolio Characteristics Percentile RankingsRankings Against Callan Intl Eq Developed Mkts MFsas of March 31, 2019
Pe
rce
ntile
Ra
nkin
g
100%
90%
80%
70%
60%
50%
40%
30%
20%
10%
0%
Weighted Median Price/Fore- Price/Book Forecasted Dividend MSCIMarket Cap casted Earnings Earnings Growth Yield Combined Z-Score
(98)
(69)
(80)
(65)
(94)
(73)
(57)(63)
(24)(21)
(87)
(72)
10th Percentile 59.01 18.87 3.03 14.45 3.72 0.7625th Percentile 46.35 16.23 2.33 13.39 3.25 0.51
Median 37.80 14.37 1.80 9.65 2.92 0.1675th Percentile 30.26 12.97 1.60 8.50 2.41 (0.04)90th Percentile 19.68 11.31 1.42 7.97 1.71 (0.32)
DFA InternationalCore Equity 8.50 12.61 1.37 9.23 3.30 (0.24)
MSCI World ex US Index 35.31 13.42 1.61 8.85 3.39 (0.02)
Sector WeightsThe graph below contrasts the manager’s sector weights with those of the benchmark and median sector weights across themembers of the peer group. The magnitude of sector weight differences from the index and the manager’s sectordiversification are also shown. Diversification by number and concentration of holdings are also compared to the benchmarkand peer group. Issue Diversification represents by count, and Diversification Ratio by percent, the number of holdings thataccount for half of the portfolio’s market value.
Sector AllocationMarch 31, 2019
0% 5% 10% 15% 20% 25%
Industrials17.7
13.914.9
Financials16.2
20.719.2
Consumer Discretionary14.3
10.311.9
Materials12.7
50
%M
gr
MV
50%
Mg
r M
V
7.77.1
Consumer Staples7.4
11.211.0
Energy7.47.2
5.8
Information Technology6.26.2
9.1
Health Care6.1
10.411.5
Communication Services6.0
5.27.1
Utilities3.23.6
1.3
Real Estate2.8
3.61.3
Miscellaneous0.1
Pooled Vehicles
DFA International Core Equity MSCI World ex US Index
Callan Intl Eq Dev Mkt MF
Sector Diversification
Manager 3.15 sectorsIndex 3.41 sectors
DiversificationMarch 31, 2019
0
1000
2000
3000
4000
5000
6000
Number of IssueSecurities Diversification
(1)
(1)
10th Percentile 610 6825th Percentile 175 39
Median 88 2475th Percentile 54 1890th Percentile 46 14
DFA InternationalCore Equity 5221 408
MSCI Worldex US Index 1011 123
Diversification Ratio
Manager 8%Index 12%Style Median 28%
130Oregon Savings Growth Plan
Country AllocationDFA International Core Equity VS MSCI World ex US Index
Country AllocationThe chart below contrasts the portfolio’s country allocation with that of the index as of March 31, 2019. This chart is usefulbecause large deviations in country allocation relative to the index are often good predictors of tracking error in thesubsequent quarter. To the extent that the portfolio allocation is similar to the index, the portfolio should experience more"index-like" performance. In order to illustrate the performance effect on the portfolio and index of these country allocations,the individual index country returns are also shown.
Country Weights as of March 31, 2019
0% 5% 10% 15% 20% 25% 30%
Australia6.46.3
Austria0.6
0.2
Belgium1.1
0.9
Cambodia0.1
Canada8.7
9.2
China0.1
Denmark1.8
1.6
Finland1.7
0.9
France8.2
10.2
Germany7.67.8
Hong Kong3.2
3.7
Ireland0.7
0.5
Israel0.7
0.5
Italy2.9
2.1
Japan23.0
21.8
Malaysia
Netherlands2.6
3.2
New Zealand0.5
0.2
Norway1.0
0.7
Portugal0.20.1
Singapore1.11.2
Spain2.52.7
Sweden2.6
2.4
Switzerland6.0
8.1
United Kingdom16.6
15.5
United States0.3
Percent of Portfolio
DFA International Core Equity MSCI World ex US Index
Index Rtns
11.39%
8.44%
16.21%
-
15.37%
17.69%
12.80%
7.98%
10.71%
6.91%
15.58%
11.37%
10.08%
14.56%
6.65%
0.33%
13.56%
16.65%
7.01%
10.23%
6.22%
7.00%
7.36%
13.11%
11.89%
12.31%
Manager Total Return: 10.07%
Index Total Return: 10.45%
131Oregon Savings Growth Plan
Oregon Savings Growth PlanHistory of Ending Regional WeightsPeriod Ended March 31, 2019
0
5
10
15
2016 2017 2018 2019
11.1411.48
Pacific Basin
0
5
10
15
2016 2017 2018 2019
8.969.18
North America
0
10
20
30
2016 2017 2018 2019
22.9621.76
Japan
0.0
0.1
0.2
0.3
2016 2017 2018 2019
0.13
0.00
Emerging Markets
0
20
40
60
80
2016 2017 2018 2019
56.8257.58
Dev Europe/Mid East
DFA International Core EquityMSCI World ex US Index
132Oregon Savings Growth Plan
Current Holdings Based Style AnalysisDFA International Core EquityAs of March 31, 2019
This page analyzes the current investment style of a portfolio utilizing a detailed holdings-based style analysis to determineactual exposures to various regional and style segments of the international/global equity market. The market is segmentedquarterly by region and style. The style segments are determined using the "Combined Z Score", based on the eightfundamental factors used in the MSCI stock style scoring system. The upper-left style map illustrates the current marketcapitalization and style score of the portfolio relative to indices and/or peers. The upper-right style exposure matrix displaysthe current portfolio and index weights and stock counts (in parentheses) in each region/style segment of the market. Themiddle chart illustrates the total exposures and stock counts in the three style segments, with a legend showing the totalgrowth, value, and "combined Z" (growth - value) scores. The bottom chart exhibits the sector weights as well as the styleweights within each sector.
Style Map vs Callan Intl Eq Dev Mkt MFHoldings as of March 31, 2019
Value Core Growth
Mega
Large
Mid
Small
Micro
DFA International Core Equity
MSCI World ex US Index
Style Exposure MatrixHoldings as of March 31, 2019
21.7% (661) 18.0% (646) 17.1% (552) 56.9% (1859)
2.6% (141) 4.4% (147) 1.7% (98) 8.8% (386)
13.4% (1209) 11.1% (899) 9.8% (826) 34.2% (2934)
0.0% (6) 0.1% (3) 0.0% (6) 0.1% (15)
37.7% (2017) 33.6% (1695) 28.7% (1482) 100.0% (5194)
19.3% (143) 14.2% (123) 24.0% (180) 57.5% (446)
2.2% (28) 4.6% (36) 2.4% (29) 9.2% (93)
11.6% (147) 8.8% (141) 12.9% (181) 33.3% (469)
0.0% (0) 0.0% (0) 0.0% (0) 0.0% (0)
33.1% (318) 27.6% (300) 39.3% (390) 100.0% (1008)
Europe/Mid East
N. America
Pacific
Emerging
Total
Value Core Growth Total
Combined Z-Score Style DistributionHoldings as of March 31, 2019
0%
10%
20%
30%
40%
50%
60%
Value Core Growth
37.7%(2017)
33.1%(318)
33.6%(1695)
27.6%(300)
28.7%(1482)
39.3%(390)
Bar #1=DFA International Core Equity (Combined Z: -0.24 Growth Z: -0.04 Value Z: 0.20)Bar #2=MSCI World ex US Index (Combined Z: -0.02 Growth Z: -0.02 Value Z: 0.00)
Europe/Mid East
N. America
Pacific
Emerging
Sector Weights DistributionHoldings as of March 31, 2019
0%
5%
10%
15%
20%
25%
30%
COMMUN CONCYC CONSTA ENERGY FINANC FUND HEALTH INDEQU MISC PUBUTL RAWMAT REALES TECH
0.0 0.0
6.0 5.2
14.3
10.3
7.5
11.2
7.4 7.2
16.1
20.6
0.0 0.0
6.1
10.4
17.8
13.9
0.0 0.0
3.3 3.6
12.7
7.7
2.8 3.56.1 6.2
Bar #1=DFA International Core EquityBar #2=MSCI World ex US Index
Value
Core
Growth
133Oregon Savings Growth Plan
Historical Holdings Based Style AnalysisDFA International Core EquityFor Three Years Ended March 31, 2019
This page analyzes the historical investment style of a portfolio utilizing a detailed holdings-based style analysis to determineaverage actual exposures to various region and style segments of the international/global equity market. The market issegmented quarterly by region and style. The style segments are determined using the "Combined Z Score", based on theeight fundamental factors used in the MSCI stock style scoring system. The upper-left style map illustrates the averagehistorical market capitalization and style score of the portfolio relative to indices and/or peers. The upper-right style exposurematrix displays the average historical portfolio and index weights and stock counts (in parentheses) in each region/stylesegment of the market. The next two style exposure charts illustrate the actual quarterly region/style and style only segmentexposures of the portfolio through history.
Average Style Map vs Callan Intl Eq Dev Mkt MFHoldings for Three Years Ended March 31, 2019
Value Core Growth
Mega
Large
Mid
Small
Micro
DFA International Core Equity
MSCI World ex US Index
Average Style Exposure MatrixHoldings for Three Years Ended March 31, 2019
19.3% (605) 18.7% (652) 17.6% (566) 55.5% (1823)
2.9% (128) 3.5% (162) 2.2% (102) 8.6% (392)
14.0% (1133) 11.9% (911) 10.0% (808) 35.8% (2852)
0.0% (4) 0.0% (5) 0.0% (5) 0.1% (14)
36.2% (1870) 34.1% (1730) 29.8% (1481) 100.0% (5081)
18.2% (132) 16.6% (133) 22.6% (190) 57.4% (455)
2.9% (30) 3.8% (32) 2.4% (31) 9.1% (93)
11.9% (143) 9.7% (149) 12.0% (178) 33.5% (470)
0.0% (0) 0.0% (0) 0.0% (0) 0.0% (0)
33.0% (305) 30.1% (314) 36.9% (399) 100.0% (1018)
Europe/Mid East
N. America
Pacific
Emerging/FM
Total
Value Core Growth Total
DFA International Core Equity Historical Region/Style Exposures
0% 0%
10% 10%
20% 20%
30% 30%
40% 40%
50% 50%
60% 60%
70% 70%
80% 80%
90% 90%
100% 100%
2016 2017 2018 2019
Emerging/FM-Growth
Emerging/FM-Core
Emerging/FM-Value
Pacific-Growth
Pacific-Core
Pacific-Value
N. America-Growth
N. America-Core
N. America-Value
Europe/Mid East-Growth
Europe/Mid East-Core
Europe/Mid East-Value
DFA International Core Equity Historical Style Only Exposures
0% 0%
10% 10%
20% 20%
30% 30%
40% 40%
50% 50%
60% 60%
70% 70%
80% 80%
90% 90%
100% 100%
2016 2017 2018 2019
Growth
Core
Value
134Oregon Savings Growth Plan
DFA Emerging Markets Core Equity FundPeriod Ended March 31, 2019
Investment PhilosophyDimensional’s core philosophical principles are: 1) Public capital markets work: Prices in liquid and competitive marketsreflect the aggregate expectations of all market participant; 2) Diversification is essential as it helps reduce uncertainty,manage risk, increase the reliability of outcomes, and provide flexibility in implementation; 3) Managing tradeoffs addsvalue by targeting market premiums efficiently and continuously, reducing the costs associated with turnover, andimplementing a flexible trading strategy.
Quarterly Summary and HighlightsDFA Emerging Markets Core Equity Fund’s portfolio posted a 8.61% return for the quarter placing it in the 81 percentileof the Callan Emerging Markets Equity Mut Funds group for the quarter and in the 52 percentile for the last year.
DFA Emerging Markets Core Equity Fund’s portfolio underperformed the MSCI Emerging Markets Index by 1.32% forthe quarter and underperformed the MSCI Emerging Markets Index for the year by 2.08%.
Performance vs Callan Emerging Markets Equity Mut Funds (Institutional Net)
(20%)
(15%)
(10%)
(5%)
0%
5%
10%
15%
20%
Last Quarter Last Last 3 Years Last 5 Years Last 7 Years Last 10 YearsYear
(81)(70)
(52)(37)
(66)(50)
(60)(59) (50)(51)
(38)(59)
10th Percentile 15.10 (4.21) 13.58 5.78 5.14 10.7125th Percentile 13.71 (6.34) 12.34 5.02 4.33 10.22
Median 10.64 (9.20) 10.66 3.89 2.89 9.2475th Percentile 9.15 (12.60) 8.38 2.73 1.93 8.2990th Percentile 7.29 (13.50) 6.99 1.01 1.15 7.47
DFA Emerging MarketsCore Equity Fund 8.61 (9.48) 9.60 3.44 2.81 9.85
MSCI EmergingMarkets Index 9.93 (7.40) 10.68 3.68 2.69 8.95
Relative Returns vsMSCI Emerging Markets Index
Rela
tive
Re
turn
s
(3%)
(2%)
(1%)
0%
1%
2%
3%
2014 2015 2016 2017 2018 19
DFA Emerging Markets Core Equity Fund
Callan Emerging Markets Equity Mut Funds (Institutional Net)Annualized Five Year Risk vs Return
12 13 14 15 16 17 18 19 200%
1%
2%
3%
4%
5%
6%
7%
8%
MSCI Emerging Markets Index
DFA Emerging Markets Core Equity Fund
Standard Deviation
Re
turn
s
135Oregon Savings Growth Plan
DFA Emerging Markets Core Equity FundReturn Analysis Summary
Return AnalysisThe graphs below analyze the manager’s return on both a risk-adjusted and unadjusted basis. The first chart illustrates themanager’s ranking over different periods versus the appropriate style group. The second chart shows the historical quarterlyand cumulative manager returns versus the appropriate market benchmark. The last chart illustrates the manager’s rankingrelative to their style using various risk-adjusted return measures.
Performance vs Callan Emerging Markets Equity Mut Funds (Institutional Net)
(40%)(30%)(20%)(10%)
0%10%20%30%40%50%60%
12/18- 3/19 2018 2017 2016 2015 2014 2013
(81)(70)
(26)(23)
(54)(53)
(45)(59)
(59)(59)
(21)(35) (59)(58)
10th Percentile 15.10 (12.44) 46.33 20.35 (8.62) 1.53 4.1625th Percentile 13.71 (14.89) 42.62 17.34 (12.22) (1.61) 0.40
Median 10.64 (16.91) 37.69 11.97 (13.88) (4.02) (2.19)75th Percentile 9.15 (18.68) 32.52 8.60 (16.57) (6.61) (5.26)90th Percentile 7.29 (21.05) 28.19 4.78 (25.74) (10.09) (7.85)
DFA Emerging MarketsCore Equity Fund 8.61 (15.25) 36.55 12.35 (14.86) (0.91) (2.64)
MSCI EmergingMarkets Index 9.93 (14.57) 37.28 11.19 (14.92) (2.19) (2.60)
Cumulative and Quarterly Relative Return vs MSCI Emerging Markets Index
Re
lative
Re
turn
s
(6%)
(4%)
(2%)
0%
2%
4%
6%
2014 2015 2016 2017 2018 2019
DFA Emerging Markets Core Equity Fund Callan Emerging Equity MF
Risk Adjusted Return Measures vs MSCI Emerging Markets IndexRankings Against Callan Emerging Markets Equity Mut Funds (Institutional Net)Five Years Ended March 31, 2019
(3)
(2)
(1)
0
1
2
3
Alpha Sharpe Excess ReturnRatio Ratio
(60)(59)
(61)
10th Percentile 1.99 0.30 0.4225th Percentile 1.37 0.28 0.37
Median 0.26 0.20 0.0575th Percentile (0.97) 0.13 (0.27)90th Percentile (2.30) 0.02 (0.56)
DFA Emerging MarketsCore Equity Fund (0.20) 0.18 (0.11)
136Oregon Savings Growth Plan
DFA Emerging Markets Core Equity FundRisk Analysis Summary
Risk AnalysisThe graphs below analyze the risk or variation of a manager’s return pattern. The first scatter chart illustrates therelationship, called Excess Return Ratio, between excess return and tracking error relative to the benchmark. The secondchart shows Up and Down Market Capture. The last two charts show the ranking of the manager’s risk statistics versus thepeer group.
Risk Analysis vs Callan Emerging Markets Equity Mut Funds (Institutional Net)Five Years Ended March 31, 2019
1 2 3 4 5 6 7 8 9(4 )
(3 )
(2 )
(1 )
0
1
2
3
4
DFA Emerging Markets Core Equity Fund
Tracking Error
Exce
ss R
etu
rn
Market Capture vs MSCI Emerging Markets IndexRankings Against Callan Emerging Markets Equity Mut Funds (Institutional Net)Five Years Ended March 31, 2019
70%80%90%
100%110%120%130%140%
Up Market DownCapture Market Capture
(69) (73)
10th Percentile 132.22 115.8825th Percentile 123.30 110.03
Median 111.71 105.5575th Percentile 95.64 99.5490th Percentile 85.51 95.44
DFA Emerging MarketsCore Equity Fund 98.38 100.60
Risk Statistics Rankings vs MSCI Emerging Markets IndexRankings Against Callan Emerging Markets Equity Mut Funds (Institutional Net)Five Years Ended March 31, 2019
0%2%4%6%8%
10%12%14%16%18%20%
Standard Downside TrackingDeviation Risk Error
(77)
(95) (96)
10th Percentile 16.78 4.25 5.9525th Percentile 15.98 3.37 4.77
Median 15.49 2.72 3.9975th Percentile 14.73 2.44 3.4490th Percentile 13.26 1.78 2.97
DFA Emerging MarketsCore Equity Fund 14.57 1.59 2.31
0.80
0.85
0.90
0.95
1.00
1.05
1.10
1.15
Beta R-Squared
(75) (6)
10th Percentile 1.11 0.9725th Percentile 1.04 0.95
Median 1.03 0.9375th Percentile 0.99 0.9190th Percentile 0.86 0.87
DFA Emerging MarketsCore Equity Fund 0.99 0.98
137Oregon Savings Growth Plan
DFA Emerging Markets Core Equity FundEquity Characteristics Analysis Summary
Portfolio CharacteristicsThis graph compares the manager’s portfolio characteristics with the range of characteristics for the portfolios which make upthe manager’s style group. This analysis illustrates whether the manager’s current holdings are consistent with othermanagers employing the same style.
Portfolio Characteristics Percentile RankingsRankings Against Callan Emerging Markets Equity Mut Fundsas of March 31, 2019
Pe
rce
ntile
Ra
nkin
g
100%
90%
80%
70%
60%
50%
40%
30%
20%
10%
0%
Weighted Median Price/Fore- Price/Book Forecasted Dividend MSCIMarket Cap casted Earnings Earnings Growth Yield Combined Z-Score
(95)
(51)
(65)(67)
(88)(81)
(75)
(65)
(24)(26)
(79)(75)
10th Percentile 46.72 18.25 3.63 18.44 3.66 0.7225th Percentile 40.34 16.03 2.64 16.66 2.66 0.66
Median 21.17 13.18 1.95 15.17 2.28 0.2575th Percentile 17.00 11.44 1.69 14.21 1.98 (0.03)90th Percentile 12.63 10.66 1.37 10.89 1.76 (0.42)
DFA Emerging MarketsCore Equity Fund 6.57 12.33 1.44 14.20 2.74 (0.17)
MSCI EmergingMarkets Index 20.79 11.96 1.61 14.92 2.62 (0.03)
Sector WeightsThe graph below contrasts the manager’s sector weights with those of the benchmark and median sector weights across themembers of the peer group. The magnitude of sector weight differences from the index and the manager’s sectordiversification are also shown. Diversification by number and concentration of holdings are also compared to the benchmarkand peer group. Issue Diversification represents by count, and Diversification Ratio by percent, the number of holdings thataccount for half of the portfolio’s market value.
Sector AllocationMarch 31, 2019
0% 5% 10% 15% 20% 25% 30% 35%
Financials18.4
24.427.4
Information Technology18.1
14.816.0
Materials11.1
7.55.1
Consumer Discretionary11.1
50
%M
gr
MV
50%
Mg
r M
V
12.816.3
Industrials9.0
5.44.1
Communication Services7.2
11.910.9
Consumer Staples7.1
6.58.2
Energy6.9
8.27.7
Real Estate4.0
3.22.0
Utilities3.3
2.60.9
Health Care3.2
2.71.4
Miscellaneous0.6
Pooled Vehicles
DFA Emerging Markets Core Equity Fund
MSCI Emerging Markets Index Callan Emerging Equity MF
Sector Diversification
Manager 3.21 sectorsIndex 2.84 sectors
DiversificationMarch 31, 2019
0
1000
2000
3000
4000
5000
6000
Number of IssueSecurities Diversification
(1)
(3)
10th Percentile 431 3925th Percentile 133 26
Median 91 2075th Percentile 76 1690th Percentile 58 13
DFA Emerging MarketsCore Equity Fund 4919 245
MSCI EmergingMarkets Index 1121 70
Diversification Ratio
Manager 5%Index 6%Style Median 20%
138Oregon Savings Growth Plan
Country AllocationDFA Emerging Markets Core Equity Fund VS MSCI Emerging Markets Index
Country AllocationThe chart below contrasts the portfolio’s country allocation with that of the index as of March 31, 2019. This chart is usefulbecause large deviations in country allocation relative to the index are often good predictors of tracking error in thesubsequent quarter. To the extent that the portfolio allocation is similar to the index, the portfolio should experience more"index-like" performance. In order to illustrate the performance effect on the portfolio and index of these country allocations,the individual index country returns are also shown.
Country Weights as of March 31, 2019
0% 5% 10% 15% 20% 25% 30% 35% 40%
Austria
Brazil9.2
7.2
Chile1.3
1.0
China17.7
33.0
Colombia0.50.5
Cyprus
Czech Republic0.20.2
Egypt0.10.1
Greece0.20.2
Hong Kong0.3
Hungary0.40.3
India13.1
9.2
Indonesia2.9
2.2
Japan
Luxembourg
Malaysia3.0
2.2
Mexico3.0
2.7
Pakistan
Peru0.10.4
Philippines1.31.1
Poland1.5
1.1
Qatar 0.9
Russia1.2
3.8
Singapore
South Africa6.8
5.9
South Korea16.5
13.0
Taiwan16.0
11.3
Thailand2.8
2.3
Turkey1.0
0.5
Ukraine
United Arab Emirates 0.7
United Kingdom
United States0.7
Percent of Portfolio
DFA Emerging Markets Core Equity Fund MSCI Emerging Markets Ind
Index Rtns
8.56%
8.14%
4.12%
17.69%
24.80%
-
3.82%
15.82%
12.78%
15.58%
6.01%
7.16%
4.27%
6.83%
-
0.33%
5.51%
8.30%
11.01%
7.88%
(0.58%)
(3.51%)
12.52%
6.23%
4.43%
4.89%
8.98%
7.43%
(3.15%)
-
8.69%
11.91%
12.31%
Manager Total Return: 8.61%
Index Total Return: 9.93%
139Oregon Savings Growth Plan
Oregon Savings Growth PlanHistory of Ending Regional WeightsPeriod Ended March 31, 2019
0
10
20
30
2016 2017 2018 2019
20.0016.86
Mid East / Africa / Other
0 5
10 15 20
2016 2017 2018 2019
14.1711.80
Latin America
0.00 0.02 0.04 0.06 0.08
2016 2017 2018 2019
0.02
0.00
Frontier Markets
0 2 4 6 8
2016 2017 2018 2019
4.576.15
Emerging Europe
0 20 40 60 80
2016 2017 2018 2019
60.2765.19
Developing Asia
0.0
0.5
1.0
1.5
2016 2017 2018 2019
0.97
0.00
Developed Markets
DFA Emerging Markets Core Equity FundMSCI Emerging Markets Ind
140Oregon Savings Growth Plan
Current Holdings Based Style AnalysisDFA Emerging Markets Core Equity FundAs of March 31, 2019
This page analyzes the current investment style of a portfolio utilizing a detailed holdings-based style analysis to determineactual exposures to various regional and style segments of the international/global equity market. The market is segmentedquarterly by region and style. The style segments are determined using the "Combined Z Score", based on the eightfundamental factors used in the MSCI stock style scoring system. The upper-left style map illustrates the current marketcapitalization and style score of the portfolio relative to indices and/or peers. The upper-right style exposure matrix displaysthe current portfolio and index weights and stock counts (in parentheses) in each region/style segment of the market. Themiddle chart illustrates the total exposures and stock counts in the three style segments, with a legend showing the totalgrowth, value, and "combined Z" (growth - value) scores. The bottom chart exhibits the sector weights as well as the styleweights within each sector.
Style Map vs Callan Emerging Equity MFHoldings as of March 31, 2019
Value Core Growth
Mega
Large
Mid
Small
Micro
DFA Emerging Markets Core Equity Fund
MSCI Emerging Markets Ind
Style Exposure MatrixHoldings as of March 31, 2019
0.0% (1) 0.0% (0) 0.0% (0) 0.0% (1)
0.0% (0) 0.0% (3) 0.0% (2) 0.1% (5)
0.1% (19) 0.0% (26) 0.1% (18) 0.3% (63)
31.0% (1757) 35.6% (1550) 33.1% (1264) 99.7% (4571)
31.1% (1777) 35.6% (1579) 33.3% (1284) 100.0% (4640)
0.0% (0) 0.0% (0) 0.0% (0) 0.0% (0)
0.0% (0) 0.0% (0) 0.0% (0) 0.0% (0)
0.1% (2) 0.0% (0) 0.0% (0) 0.1% (2)
28.4% (379) 30.9% (366) 40.5% (364) 99.9% (1109)
28.5% (381) 30.9% (366) 40.5% (364) 100.0% (1111)
Europe/Mid East
N. America
Pacific
Emerging/FM
Total
Value Core Growth Total
Combined Z-Score Style DistributionHoldings as of March 31, 2019
0%
10%
20%
30%
40%
50%
60%
70%
Value Core Growth
31.1%(1777)
28.5%(381) 35.6%
(1579)
30.9%(366)
33.3%(1284) 40.5%
(364)
Bar #1=DFA Emerging Markets Core Equity Fund (Combined Z: -0.17 Growth Z: -0.04 Value ZBar #2=MSCI Emerging Markets Ind (Combined Z: -0.03 Growth Z: -0.02 Value Z: 0.01)
Europe/Mid East
N. America
Pacific
Emerging/FM
Sector Weights DistributionHoldings as of March 31, 2019
0%
5%
10%
15%
20%
25%
30%
35%
COMMUN CONCYC CONSTA ENERGY FINANC FUND HEALTH INDEQU MISC PUBUTL RAWMAT REALES TECH
0.0 0.0
7.5
12.4 11.113.6
7.3 6.5 6.58.3
18.4
23.4
0.0 0.03.1 2.7
9.0
5.3
0.0 0.0
3.3 2.5
11.1
7.5
4.0 3.0
18.6
14.9
Bar #1=DFA Emerging Markets Core Equity FundBar #2=MSCI Emerging Markets Ind
Value
Core
Growth
141Oregon Savings Growth Plan
Historical Holdings Based Style AnalysisDFA Emerging Markets Core Equity FundFor Three Years Ended March 31, 2019
This page analyzes the historical investment style of a portfolio utilizing a detailed holdings-based style analysis to determineaverage actual exposures to various region and style segments of the international/global equity market. The market issegmented quarterly by region and style. The style segments are determined using the "Combined Z Score", based on theeight fundamental factors used in the MSCI stock style scoring system. The upper-left style map illustrates the averagehistorical market capitalization and style score of the portfolio relative to indices and/or peers. The upper-right style exposurematrix displays the average historical portfolio and index weights and stock counts (in parentheses) in each region/stylesegment of the market. The next two style exposure charts illustrate the actual quarterly region/style and style only segmentexposures of the portfolio through history.
Average Style Map vs Callan Emerging Equity MFHoldings for Three Years Ended March 31, 2019
Value Core Growth
Mega
Large
Mid
Small
Micro
DFA Emerging Markets Core Equity Fund
MSCI Emerging Markets Ind
Average Style Exposure MatrixHoldings for Three Years Ended March 31, 2019
0.0% (0) 0.0% (1) 0.0% (0) 0.0% (1)
0.0% (2) 0.1% (6) 0.0% (1) 0.1% (9)
0.0% (17) 0.0% (22) 0.1% (13) 0.2% (52)
33.7% (1648) 34.3% (1416) 31.7% (1047) 99.7% (4111)
33.8% (1667) 34.5% (1445) 31.8% (1061) 100.0% (4173)
0.0% (0) 0.0% (0) 0.0% (0) 0.0% (0)
0.0% (0) 0.0% (0) 0.0% (0) 0.0% (0)
0.0% (0) 0.0% (0) 0.0% (0) 0.0% (0)
32.0% (334) 30.2% (297) 37.7% (299) 100.0% (930)
32.0% (334) 30.2% (297) 37.7% (299) 100.0% (930)
Europe/Mid East
N. America
Pacific
Emerging/FM
Total
Value Core Growth Total
DFA Emerging Markets Core Equity Fund Historical Region/Style Exposures
0% 0%
10% 10%
20% 20%
30% 30%
40% 40%
50% 50%
60% 60%
70% 70%
80% 80%
90% 90%
100% 100%
2016 2017 2018 2019
Emerging/FM-Growth
Emerging/FM-Core
Emerging/FM-Value
Pacific-Growth
Pacific-Core
Pacific-Value
N. America-Growth
N. America-Core
N. America-Value
Europe/Mid East-Growth
Europe/Mid East-Core
Europe/Mid East-Value
DFA Emerging Markets Core Equity Fund Historical Style Only Exposures
0% 0%
10% 10%
20% 20%
30% 30%
40% 40%
50% 50%
60% 60%
70% 70%
80% 80%
90% 90%
100% 100%
2016 2017 2018 2019
Growth
Core
Value
142Oregon Savings Growth Plan
AQR ACWI ex-US FundPeriod Ended March 31, 2019
Investment PhilosophyAQR Capital Management considers themselves fundamental investors who employ quantitative tools to maintain adiversified portfolio that is overweight cheap securities with good momentum and underweight expensive securities withpoor momentum. They believe value and momentum make a powerful combination, as the two strategies are significantlynegatively correlated and therefore produce an investment that may preserve the expected return of both strategies butwith dramatically lower volatility.
Quarterly Summary and HighlightsAQR ACWI ex-US Fund’s portfolio posted a 11.43% return for the quarter placing it in the 33 percentile of the CallanNon US Equity Mutual Funds group for the quarter and in the 75 percentile for the last year.
AQR ACWI ex-US Fund’s portfolio outperformed the MSCI ACWI ex US Index by 1.11% for the quarter andunderperformed the MSCI ACWI ex US Index for the year by 5.10%.
Performance vs Callan Non US Equity Mutual Funds (Institutional Net)
(15%)
(10%)
(5%)
0%
5%
10%
15%
20%
Last Quarter Last Year Last 3 Years Last 4-1/4 Years
(33)(53)
(75)
(35)
(48)(29)
(49)(46)
10th Percentile 13.17 0.01 9.36 6.3725th Percentile 11.64 (2.93) 8.32 5.62
Median 10.64 (5.75) 6.50 4.0175th Percentile 9.50 (9.17) 5.31 2.9090th Percentile 7.88 (10.92) 4.48 2.16
AQR ACWIex-US Fund 11.43 (9.32) 6.66 4.04
MSCI ACWIex US Index 10.31 (4.21) 8.09 4.11
Relative Return vs MSCI ACWI ex US Index
Rela
tive
Re
turn
s
(4%)
(3%)
(2%)
(1%)
0%
1%
2%
3%
4%
2015 2016 2017 2018 19
AQR ACWI ex-US Fund
Callan Non US Equity Mutual Funds (Institutional Net)Annualized Four and One-Quarter Year Risk vs Return
8 10 12 14 16 180%
1%
2%
3%
4%
5%
6%
7%
8%
9%
10%
MSCI ACWI ex US Index
AQR ACWI ex-US Fund
Standard Deviation
Re
turn
s
143Oregon Savings Growth Plan
AQR ACWI ex-US FundReturn Analysis Summary
Return AnalysisThe graphs below analyze the manager’s return on both a risk-adjusted and unadjusted basis. The first chart illustrates themanager’s ranking over different periods versus the appropriate style group. The second chart shows the historical quarterlyand cumulative manager returns versus the appropriate market benchmark. The last chart illustrates the manager’s rankingrelative to their style using various risk-adjusted return measures.
Performance vs Callan Non US Equity Mutual Funds (Institutional Net)
(30%)
(20%)
(10%)
0%
10%
20%
30%
40%
12/18- 3/19 2018 2017 2016 2015
(33)(53)
(85)(33)
(45)(47)
(17)(15)(76)
(93)
10th Percentile 13.17 (10.33) 32.71 5.78 4.8925th Percentile 11.64 (13.79) 30.00 2.66 2.35
Median 10.64 (15.04) 26.90 0.23 0.0275th Percentile 9.50 (17.67) 23.95 (2.25) (1.86)90th Percentile 7.88 (19.35) 22.13 (5.47) (3.96)
AQR ACWIex-US Fund 11.43 (18.42) 27.53 4.17 (2.00)
MSCI ACWIex US Index 10.31 (14.20) 27.19 4.50 (5.66)
Cumulative and Quarterly Relative Return vs MSCI ACWI ex US Index
Re
lative
Re
turn
s
(6%)
(4%)
(2%)
0%
2%
4%
6%
8%
2015 2016 2017 2018 2019
AQR ACWI ex-US Fund Callan Non US Equity MFs
Risk Adjusted Return Measures vs MSCI ACWI ex US IndexRankings Against Callan Non US Equity Mutual Funds (Institutional Net)Four and One-Quarter Years Ended March 31, 2019
(3)
(2)
(1)
0
1
2
3
4
Alpha Sharpe Excess ReturnRatio Ratio
(53)(52) (50)
10th Percentile 2.63 0.44 0.5625th Percentile 1.36 0.36 0.32
Median 0.09 0.25 (0.02)75th Percentile (1.11) 0.16 (0.29)90th Percentile (1.85) 0.10 (0.50)
AQR ACWI ex-US Fund (0.14) 0.24 (0.03)
144Oregon Savings Growth Plan
AQR ACWI ex-US FundRisk Analysis Summary
Risk AnalysisThe graphs below analyze the risk or variation of a manager’s return pattern. The first scatter chart illustrates therelationship, called Excess Return Ratio, between excess return and tracking error relative to the benchmark. The secondchart shows Up and Down Market Capture. The last two charts show the ranking of the manager’s risk statistics versus thepeer group.
Risk Analysis vs Callan Non US Equity Mutual Funds (Institutional Net)Four and One-Quarter Years Ended March 31, 2019
0 1 2 3 4 5 6 7 8 9 10(4 )
(3 )
(2 )
(1 )
0
1
2
3
4
5
6
AQR ACWI ex-US Fund
Tracking Error
Exce
ss R
etu
rn
Market Capture vs MSCI ACWI ex US IndexRankings Against Callan Non US Equity Mutual Funds (Institutional Net)Four and One-Quarter Years Ended March 31, 2019
70%
80%
90%
100%
110%
120%
130%
Up Market DownCapture Market Capture
(50) (55)
10th Percentile 123.46 121.2325th Percentile 117.82 116.29
Median 104.19 106.2375th Percentile 96.68 99.0190th Percentile 86.06 80.47
AQR ACWI ex-US Fund 103.77 104.67
Risk Statistics Rankings vs MSCI ACWI ex US IndexRankings Against Callan Non US Equity Mutual Funds (Institutional Net)Four and One-Quarter Years Ended March 31, 2019
0%2%4%6%8%
10%12%14%16%18%
Standard Downside TrackingDeviation Risk Error
(49)
(81) (84)
10th Percentile 14.87 4.18 6.0725th Percentile 13.90 3.51 5.16
Median 12.97 2.91 3.9275th Percentile 12.18 2.18 3.2790th Percentile 11.68 1.71 2.79
AQR ACWIex-US Fund 13.02 2.03 2.84
0.750.800.850.900.951.001.051.101.151.20
Beta R-Squared
(37)
(12)
10th Percentile 1.14 0.9625th Percentile 1.08 0.94
Median 1.01 0.9175th Percentile 0.95 0.8790th Percentile 0.87 0.83
AQR ACWIex-US Fund 1.04 0.95
145Oregon Savings Growth Plan
AQR ACWI ex-US FundEquity Characteristics Analysis Summary
Portfolio CharacteristicsThis graph compares the manager’s portfolio characteristics with the range of characteristics for the portfolios which make upthe manager’s style group. This analysis illustrates whether the manager’s current holdings are consistent with othermanagers employing the same style.
Portfolio Characteristics Percentile RankingsRankings Against Callan Non US Equity Mutual Fundsas of March 31, 2019
Pe
rce
ntile
Ra
nkin
g
100%
90%
80%
70%
60%
50%
40%
30%
20%
10%
0%
Weighted Median Price/Fore- Price/Book Forecasted Dividend MSCIMarket Cap casted Earnings Earnings Growth Yield Combined Z-Score
(72)
(43)
(81)
(67)(74)
(66)
(58)
(49)
(32)(33)
(73)(66)
10th Percentile 49.01 19.38 3.19 14.37 3.71 0.9725th Percentile 40.44 16.69 2.59 13.04 3.45 0.63
Median 29.68 14.22 1.91 10.30 2.78 0.2175th Percentile 21.70 12.62 1.45 8.88 2.26 (0.23)90th Percentile 12.34 11.11 1.18 8.12 1.76 (0.51)
AQR ACWI ex-US Fund 24.60 12.06 1.50 9.75 3.25 (0.16)
MSCI ACWI ex US Index 32.68 13.01 1.61 10.38 3.19 (0.02)
Sector WeightsThe graph below contrasts the manager’s sector weights with those of the benchmark and median sector weights across themembers of the peer group. The magnitude of sector weight differences from the index and the manager’s sectordiversification are also shown. Diversification by number and concentration of holdings are also compared to the benchmarkand peer group. Issue Diversification represents by count, and Diversification Ratio by percent, the number of holdings thataccount for half of the portfolio’s market value.
Sector AllocationMarch 31, 2019
0% 5% 10% 15% 20% 25% 30%
Financials
15.921.6
19.1
Health Care
12.28.4
11.0
Energy
11.87.5
5.5
Materials
10.1
50
%M
gr
MV
50
%M
gr
MV
7.77.2
Information Technology
8.68.4
10.1
Utilities
8.63.3
1.1
Industrials
8.411.7
15.5
Consumer Staples
8.010.0
11.3
Consumer Discretionary
7.211.0
11.8
Communication Services
4.86.9
6.0
Real Estate
4.03.5
1.3
Miscellaneous
0.4
AQR ACWI ex-US Fund MSCI ACWI ex US Index
Callan Non US Equity MFs
Sector Diversification
Manager 4.00 sectorsIndex 3.57 sectors
DiversificationMarch 31, 2019
0
100
200
300
400
500
600
700
Number of IssueSecurities Diversification
(7)
(9)
10th Percentile 408 5425th Percentile 180 41
Median 79 2575th Percentile 59 1990th Percentile 47 15
AQR ACWIex-US Fund 578 59
MSCI ACWIex US Index 2132 176
Diversification Ratio
Manager 10%Index 8%Style Median 29%
146Oregon Savings Growth Plan
Country AllocationAQR ACWI ex-US Fund VS MSCI ACWI ex US Index
Country AllocationThe chart below contrasts the portfolio’s country allocation with that of the index as of March 31, 2019. This chart is usefulbecause large deviations in country allocation relative to the index are often good predictors of tracking error in thesubsequent quarter. To the extent that the portfolio allocation is similar to the index, the portfolio should experience more"index-like" performance. In order to illustrate the performance effect on the portfolio and index of these country allocations,the individual index country returns are also shown.
Country Weights as of March 31, 2019
0% 5% 10% 15% 20%
Australia5.1
4.7
Austria 0.2
Belgium1.1
0.7
Brazil2.1
1.9
Canada5.7
6.8
Chile0.4
0.3
China8.3
8.6
Colombia 0.1
Czech Republic
Denmark2.0
1.2
Egypt
Finland1.5
0.7
France7.1
7.6
Germany6.1
5.8
Greece 0.1
Hong Kong2.3
2.8
Hungary 0.1
India2.0
2.4
Indonesia0.8
0.6
Ireland 0.4
Israel 0.4
Italy2.3
1.6
Japan15.4
16.1
Malaysia0.6
0.6
Mexico1.0
0.7
Netherlands2.2
2.4
New Zealand 0.2
Norway 0.5
Pakistan
Peru0.10.1
Philippines0.20.3
Poland0.4
0.3
Portugal 0.1
Qatar0.10.2
Russia0.91.0
Singapore0.6
0.9
South Africa1.41.5
South Korea3.8
3.4
Spain2.8
2.0
Sweden2.4
1.8
Switzerland6.6
6.0
Taiwan2.4
3.0
Thailand0.8
0.6
Turkey0.10.1
United Arab Emirates0.10.2
United Kingdom10.9
11.5
United States0.4
Percent of Portfolio
AQR ACWI ex-US Fund MSCI ACWI ex US Index
Index Rtns
11.39%
8.44%
16.21%
8.14%
15.37%
4.12%
17.69%
24.80%
3.82%
12.80%
15.82%
7.98%
10.71%
6.91%
12.78%
15.58%
6.01%
7.16%
4.27%
11.37%
10.08%
14.56%
6.65%
0.33%
5.51%
13.56%
16.65%
7.01%
8.30%
11.01%
7.88%
(0.58%)
10.23%
(3.51%)
12.52%
6.22%
4.43%
4.89%
7.00%
7.36%
13.11%
8.98%
7.43%
(3.15%)
8.69%
11.89%
12.31%
147Oregon Savings Growth Plan
Oregon Savings Growth PlanHistory of Ending Regional WeightsPeriod Ended March 31, 2019
0
5
10
2016 2017 2018 2019
7.968.48
Pacific Basin
0
5
10
2016 2017 2018 2019
6.096.78
North America
0
5
10
15
20
2016 2017 2018 2019
15.4016.08
Japan
0
10
20
30
2016 2017 2018 2019
25.6626.11
Emerging Markets
0
20
40
60
2016 2017 2018 2019
44.8942.55
Dev Europe/Mid East
AQR ACWI ex-US FundMSCI ACWI ex US Index
148Oregon Savings Growth Plan
Current Holdings Based Style AnalysisAQR ACWI ex-US FundAs of March 31, 2019
This page analyzes the current investment style of a portfolio utilizing a detailed holdings-based style analysis to determineactual exposures to various regional and style segments of the international/global equity market. The market is segmentedquarterly by region and style. The style segments are determined using the "Combined Z Score", based on the eightfundamental factors used in the MSCI stock style scoring system. The upper-left style map illustrates the current marketcapitalization and style score of the portfolio relative to indices and/or peers. The upper-right style exposure matrix displaysthe current portfolio and index weights and stock counts (in parentheses) in each region/style segment of the market. Themiddle chart illustrates the total exposures and stock counts in the three style segments, with a legend showing the totalgrowth, value, and "combined Z" (growth - value) scores. The bottom chart exhibits the sector weights as well as the styleweights within each sector.
Style Map vs Callan Non US Equity MFsHoldings as of March 31, 2019
Value Core Growth
Mega
Large
Mid
Small
Micro
AQR ACWI ex-US Fund
MSCI ACWI ex US Index
Style Exposure MatrixHoldings as of March 31, 2019
15.0% (44) 12.3% (26) 17.1% (39) 44.3% (109)
1.4% (9) 1.5% (11) 2.8% (11) 5.6% (31)
9.6% (51) 6.5% (48) 7.2% (37) 23.4% (136)
10.2% (114) 8.2% (90) 8.3% (80) 26.7% (284)
36.2% (218) 28.5% (175) 35.3% (167) 100.0% (560)
14.3% (143) 10.6% (123) 17.8% (180) 42.7% (446)
1.6% (28) 3.4% (36) 1.8% (29) 6.8% (93)
8.6% (149) 6.5% (141) 9.5% (181) 24.7% (471)
7.3% (379) 8.0% (366) 10.4% (364) 25.7% (1109)
31.9% (699) 28.5% (666) 39.6% (754) 100.0% (2119)
Europe/Mid East
N. America
Pacific
Emerging
Total
Value Core Growth Total
Combined Z-Score Style DistributionHoldings as of March 31, 2019
0%
10%
20%
30%
40%
50%
60%
70%
Value Core Growth
36.2%(218)
31.9%(699)
28.5%(175)
28.5%(666) 35.3%
(167) 39.6%(754)
Bar #1=AQR ACWI ex-US Fund (Combined Z: -0.16 Growth Z: -0.02 Value Z: 0.15)Bar #2=MSCI ACWI ex US Index (Combined Z: -0.02 Growth Z: -0.02 Value Z: 0.00)
Europe/Mid East
N. America
Pacific
Emerging
Sector Weights DistributionHoldings as of March 31, 2019
0%
5%
10%
15%
20%
25%
30%
COMMUN CONCYC CONSTA ENERGY FINANC HEALTH INDEQU PUBUTL RAWMAT REALES TECH
5.17.0 7.7
11.2
7.1
10.012.4
7.5
15.5
21.3
12.5
8.4 8.7
11.7
8.7
3.3
9.37.7
4.0 3.4
9.0 8.4
Bar #1=AQR ACWI ex-US FundBar #2=MSCI ACWI ex US Index
Value
Core
Growth
149Oregon Savings Growth Plan
Historical Holdings Based Style AnalysisAQR ACWI ex-US FundFor Three Years Ended March 31, 2019
This page analyzes the historical investment style of a portfolio utilizing a detailed holdings-based style analysis to determineaverage actual exposures to various region and style segments of the international/global equity market. The market issegmented quarterly by region and style. The style segments are determined using the "Combined Z Score", based on theeight fundamental factors used in the MSCI stock style scoring system. The upper-left style map illustrates the averagehistorical market capitalization and style score of the portfolio relative to indices and/or peers. The upper-right style exposurematrix displays the average historical portfolio and index weights and stock counts (in parentheses) in each region/stylesegment of the market. The next two style exposure charts illustrate the actual quarterly region/style and style only segmentexposures of the portfolio through history.
Average Style Map vs Callan Non US Equity MFsHoldings for Three Years Ended March 31, 2019
Value Core Growth
Mega
Large
Mid
Small
Micro
AQR ACWI ex-US Fund
MSCI ACWI ex US Index
Average Style Exposure MatrixHoldings for Three Years Ended March 31, 2019
15.6% (51) 13.0% (39) 16.5% (52) 45.0% (142)
2.1% (13) 2.0% (11) 2.1% (11) 6.3% (35)
9.0% (52) 7.8% (51) 7.3% (47) 24.1% (150)
9.5% (109) 7.7% (84) 7.4% (72) 24.6% (265)
36.2% (225) 30.5% (185) 33.3% (182) 100.0% (592)
13.7% (132) 12.4% (133) 16.8% (190) 42.9% (455)
2.2% (30) 2.8% (32) 1.8% (31) 6.8% (93)
8.8% (143) 7.2% (149) 8.9% (178) 24.9% (470)
8.1% (334) 7.7% (297) 9.6% (299) 25.4% (930)
32.7% (639) 30.1% (611) 37.2% (698) 100.0% (1948)
Europe/Mid East
N. America
Pacific
Emerging/FM
Total
Value Core Growth Total
AQR ACWI ex-US Fund Historical Region/Style Exposures
0% 0%
10% 10%
20% 20%
30% 30%
40% 40%
50% 50%
60% 60%
70% 70%
80% 80%
90% 90%
100% 100%
2016 2017 2018 2019
Emerging/FM-Growth
Emerging/FM-Core
Emerging/FM-Value
Pacific-Growth
Pacific-Core
Pacific-Value
N. America-Growth
N. America-Core
N. America-Value
Europe/Mid East-Growth
Europe/Mid East-Core
Europe/Mid East-Value
AQR ACWI ex-US Fund Historical Style Only Exposures
0% 0%
10% 10%
20% 20%
30% 30%
40% 40%
50% 50%
60% 60%
70% 70%
80% 80%
90% 90%
100% 100%
2016 2017 2018 2019
Growth
Core
Value
150Oregon Savings Growth Plan
So
cia
lly R
esp
on
sib
le
Socially Responsible
Op
tion
Option
Socially Responsible OptionPeriod Ended March 31, 2019
Quarterly Summary and HighlightsSocially Responsible Option’s portfolio posted a 13.92% return for the quarter placing it in the 37 percentile of theCallan All Cap Core Mutual Funds group for the quarter and in the 25 percentile for the last year.
Socially Responsible Option’s portfolio underperformed the Russell 3000 Index by 0.13% for the quarter andunderperformed the Russell 3000 Index for the year by 0.94%.
Performance vs Callan All Cap Core Mutual Funds (Institutional Net)
(5%)
0%
5%
10%
15%
20%
Last Quarter Last Year Last 3 Years Last 4 Years
(37)(35)
(25)(19)
(20)(14)
(13)(9)
10th Percentile 16.57 10.22 13.96 9.6725th Percentile 14.97 7.95 12.73 8.57
Median 13.30 5.00 11.03 7.6175th Percentile 11.97 2.07 9.23 5.4090th Percentile 10.47 (1.66) 7.42 3.18
SociallyResponsible Option 13.92 7.83 13.07 9.29
Russell3000 Index 14.04 8.77 13.48 9.86
Relative Return vs Russell 3000 Index
Re
lative
Re
turn
s
(2.0%)
(1.5%)
(1.0%)
(0.5%)
0.0%
0.5%
1.0%
1.5%
2015 2016 2017 2018 19
Socially Responsible Option
Callan All Cap Core Mutual Funds (Institutional Net)Annualized Four Year Risk vs Return
5 10 15 20 25 30 35(20%)
(15%)
(10%)
(5%)
0%
5%
10%
15%
Russell 3000 Index
Socially Responsible Option
Standard Deviation
Re
turn
s
152Oregon Savings Growth Plan
Socially Responsible OptionReturn Analysis Summary
Return AnalysisThe graphs below analyze the manager’s return on both a risk-adjusted and unadjusted basis. The first chart illustrates themanager’s ranking over different periods versus the appropriate style group. The second chart shows the historical quarterlyand cumulative manager returns versus the appropriate market benchmark. The last chart illustrates the manager’s rankingrelative to their style using various risk-adjusted return measures.
Performance vs Callan All Cap Core Mutual Funds (Institutional Net)
(20%)(15%)(10%)
(5%)0%5%
10%15%20%25%30%
12/18- 3/19 2018 2017
(37)(35)
(30)(24)
(41)(36)
10th Percentile 16.57 (2.70) 24.8225th Percentile 14.97 (5.39) 22.25
Median 13.30 (7.81) 19.4975th Percentile 11.97 (10.90) 15.8990th Percentile 10.47 (14.16) 12.97
SociallyResponsible Option 13.92 (5.61) 20.71
Russell 3000 Index 14.04 (5.24) 21.13
Cumulative and Quarterly Relative Return vs Russell 3000 Index
Re
lative
Re
turn
s
(14%)
(12%)
(10%)
(8%)
(6%)
(4%)
(2%)
0%
2%
4%
2015 2016 2017 2018 2019
Socially Responsible Option Callan All Cap Core MFs
Risk Adjusted Return Measures vs Russell 3000 IndexRankings Against Callan All Cap Core Mutual Funds (Institutional Net)Four Years Ended March 31, 2019
(8)
(7)
(6)
(5)
(4)
(3)
(2)
(1)
0
1
2
Alpha Sharpe Excess ReturnRatio Ratio
(18)(15)
(36)
10th Percentile 0.44 0.71 (0.07)25th Percentile (0.89) 0.61 (0.37)
Median (2.16) 0.50 (0.71)75th Percentile (4.15) 0.34 (1.12)90th Percentile (6.35) 0.18 (1.46)
Socially Responsible Option (0.29) 0.68 (0.47)
153Oregon Savings Growth Plan
Socially Responsible OptionRisk Analysis Summary
Risk AnalysisThe graphs below analyze the risk or variation of a manager’s return pattern. The first scatter chart illustrates therelationship, called Excess Return Ratio, between excess return and tracking error relative to the benchmark. The secondchart shows Up and Down Market Capture. The last two charts show the ranking of the manager’s risk statistics versus thepeer group.
Risk Analysis vs Callan All Cap Core Mutual Funds (Institutional Net)Four Years Ended March 31, 2019
0 5 10 15 20 25 30(30 )
(25 )
(20 )
(15 )
(10 )
(5 )
0
5
Socially Responsible Option
Tracking Error
Exce
ss R
etu
rn
Market Capture vs Russell 3000 IndexRankings Against Callan All Cap Core Mutual Funds (Institutional Net)Four Years Ended March 31, 2019
50%60%70%80%90%
100%110%120%130%140%150%
Up Market DownCapture Market Capture
(22) (73)
10th Percentile 100.69 131.9625th Percentile 92.39 116.42
Median 82.81 103.1675th Percentile 70.53 94.4790th Percentile 60.33 83.15
Socially Responsible Option 93.34 96.20
Risk Statistics Rankings vs Russell 3000 IndexRankings Against Callan All Cap Core Mutual Funds (Institutional Net)Four Years Ended March 31, 2019
0%2%4%6%8%
10%12%14%16%18%
Standard Downside TrackingDeviation Risk Error
(70)
(98) (98)
10th Percentile 15.53 6.31 6.4925th Percentile 14.10 4.66 5.13
Median 13.12 3.33 3.9475th Percentile 12.17 2.49 2.8990th Percentile 10.64 1.96 2.18
SociallyResponsible Option 12.35 1.03 1.23
0.750.800.850.900.951.001.051.101.151.20
Beta R-Squared
(58) (2)
10th Percentile 1.15 0.9725th Percentile 1.06 0.96
Median 1.00 0.9275th Percentile 0.92 0.8890th Percentile 0.79 0.81
SociallyResponsible Option 0.97 0.99
154Oregon Savings Growth Plan
TIAA-CREF Social Choice Equity FundPeriod Ended March 31, 2019
Investment PhilosophyThe Social Choice Equity fund uses the MSCI USA IMI ESG index as it’s starting universe, but rebalances stock weightingsto match the risk factors of the Russell 3000. The goal is to neutralize, to the extent possible, the inherent biasesintroduced by using a screened universe of securities and minimize tracking error versus the Russell 3000.
Quarterly Summary and HighlightsTIAA-CREF Social Choice Equity Fund’s portfolio posted a 13.95% return for the quarter placing it in the 37 percentileof the Callan All Cap Core Mutual Funds group for the quarter and in the 25 percentile for the last year.
TIAA-CREF Social Choice Equity Fund’s portfolio underperformed the Russell 3000 Index by 0.09% for the quarter andunderperformed the Russell 3000 Index for the year by 0.89%.
Performance vs Callan All Cap Core Mutual Funds (Institutional Net)
(5%)
0%
5%
10%
15%
20%
Last Quarter Last Last 3 Years Last 5 Years Last 7 Years Last 10 YearsYear
(37)(35)
(25)(19)
(17)(14)
(21)(8)
(25)(12)
(25)(14)
10th Percentile 16.57 10.22 13.96 10.24 12.84 16.4325th Percentile 14.97 7.95 12.73 9.26 11.95 15.46
Median 13.30 5.00 11.03 8.11 10.91 14.4775th Percentile 11.97 2.07 9.23 6.35 9.75 13.3690th Percentile 10.47 (1.66) 7.42 4.20 7.69 11.61
TIAA-CREF SocialChoice Equity Fund 13.95 7.87 13.27 9.52 11.96 15.43
Russell 3000 Index 14.04 8.77 13.48 10.36 12.63 16.00
Relative Return vs Russell 3000 Index
Rela
tive
Re
turn
s
(2.0%)
(1.5%)
(1.0%)
(0.5%)
0.0%
0.5%
1.0%
1.5%
2014 2015 2016 2017 2018 19
TIAA-CREF Social Choice Equity Fund
Callan All Cap Core Mutual Funds (Institutional Net)Annualized Five Year Risk vs Return
0 5 10 15 20 25 30(20%)
(15%)
(10%)
(5%)
0%
5%
10%
15%
20%
Russell 3000 Index
TIAA-CREF Social Choice Equity Fund
Standard Deviation
Re
turn
s
155Oregon Savings Growth Plan
TIAA-CREF Social Choice Equity FundReturn Analysis Summary
Return AnalysisThe graphs below analyze the manager’s return on both a risk-adjusted and unadjusted basis. The first chart illustrates themanager’s ranking over different periods versus the appropriate style group. The second chart shows the historical quarterlyand cumulative manager returns versus the appropriate market benchmark. The last chart illustrates the manager’s rankingrelative to their style using various risk-adjusted return measures.
Performance vs Callan All Cap Core Mutual Funds (Institutional Net)
(30%)
(20%)
(10%)
0%
10%
20%
30%
40%
50%
12/18- 3/19 2018 2017 2016 2015 2014 2013
(37)(35)
(27)(24)
(38)(36)(25)(30)
(53)(24)
(37)(25)
(41)(46)
10th Percentile 16.57 (2.70) 24.82 16.18 2.10 14.90 40.0325th Percentile 14.97 (5.39) 22.25 13.52 0.38 12.48 36.71
Median 13.30 (7.81) 19.49 10.12 (2.12) 10.09 33.3175th Percentile 11.97 (10.90) 15.89 7.45 (4.62) 6.85 29.4790th Percentile 10.47 (14.16) 12.97 5.86 (8.17) 4.09 23.98
TIAA-CREF SocialChoice Equity Fund 13.95 (5.53) 20.93 13.51 (2.39) 11.25 34.32
Russell 3000 Index 14.04 (5.24) 21.13 12.74 0.48 12.56 33.55
Cumulative and Quarterly Relative Return vs Russell 3000 Index
Re
lative
Re
turn
s
(16%)
(14%)
(12%)
(10%)
(8%)
(6%)
(4%)
(2%)
0%
2%
4%
2014 2015 2016 2017 2018 2019
TIAA-CREF Social Choice Equity Fund Callan All Cap Core MFs
Risk Adjusted Return Measures vs Russell 3000 IndexRankings Against Callan All Cap Core Mutual Funds (Institutional Net)Five Years Ended March 31, 2019
(7)
(6)
(5)
(4)
(3)
(2)
(1)
0
1
2
Alpha Sharpe Excess ReturnRatio Ratio
(20)
(18)
(47)
10th Percentile 0.61 0.85 (0.04)25th Percentile (0.77) 0.73 (0.29)
Median (1.92) 0.63 (0.71)75th Percentile (4.18) 0.44 (1.04)90th Percentile (6.06) 0.27 (1.35)
TIAA-CREF SocialChoice Equity Fund (0.51) 0.79 (0.65)
156Oregon Savings Growth Plan
TIAA-CREF Social Choice Equity FundRisk Analysis Summary
Risk AnalysisThe graphs below analyze the risk or variation of a manager’s return pattern. The first scatter chart illustrates therelationship, called Excess Return Ratio, between excess return and tracking error relative to the benchmark. The secondchart shows Up and Down Market Capture. The last two charts show the ranking of the manager’s risk statistics versus thepeer group.
Risk Analysis vs Callan All Cap Core Mutual Funds (Institutional Net)Five Years Ended March 31, 2019
0 5 10 15 20 25 30(30 )
(25 )
(20 )
(15 )
(10 )
(5 )
0
5
TIAA-CREF Social Choice Equity Fund
Tracking Error
Exce
ss R
etu
rn
Market Capture vs Russell 3000 IndexRankings Against Callan All Cap Core Mutual Funds (Institutional Net)Five Years Ended March 31, 2019
40%60%80%
100%120%140%160%
Up Market DownCapture Market Capture
(28) (75)
10th Percentile 100.39 132.3625th Percentile 92.04 116.50
Median 81.32 103.2175th Percentile 71.51 95.8690th Percentile 57.03 83.93
TIAA-CREF SocialChoice Equity Fund 90.75 95.75
Risk Statistics Rankings vs Russell 3000 IndexRankings Against Callan All Cap Core Mutual Funds (Institutional Net)Five Years Ended March 31, 2019
0%2%4%6%8%
10%12%14%16%
Standard Downside TrackingDeviation Risk Error
(75)
(97) (98)
10th Percentile 14.15 5.86 6.3825th Percentile 12.79 4.37 4.99
Median 11.97 3.31 3.8875th Percentile 11.18 2.39 2.9090th Percentile 9.79 1.95 2.16
TIAA-CREF SocialChoice Equity Fund 11.17 1.15 1.27
0.70
0.80
0.90
1.00
1.10
1.20
Beta R-Squared
(60) (2)
10th Percentile 1.15 0.9725th Percentile 1.06 0.94
Median 1.00 0.9075th Percentile 0.92 0.8690th Percentile 0.81 0.78
TIAA-CREF SocialChoice Equity Fund 0.97 0.99
157Oregon Savings Growth Plan
TIAA-CREF Social Choice Equity FundEquity Characteristics Analysis Summary
Portfolio CharacteristicsThis graph compares the manager’s portfolio characteristics with the range of characteristics for the portfolios which make upthe manager’s style group. This analysis illustrates whether the manager’s current holdings are consistent with othermanagers employing the same style.
Portfolio Characteristics Percentile RankingsRankings Against Callan All Cap Core Mutual Fundsas of March 31, 2019
Pe
rce
ntile
Ra
nkin
g
100%
90%
80%
70%
60%
50%
40%
30%
20%
10%
0%
Weighted Median Price/Fore- Price/Book Forecasted Dividend MSCIMarket Cap casted Earnings Earnings Growth Yield Combined Z-Score
(36)
(16)
(28)(30)(34)
(39)
(49)
(27)
(37)(37) (40)(37)
10th Percentile 103.36 18.81 3.89 15.77 2.30 0.4225th Percentile 63.60 17.35 3.26 14.18 2.07 0.12
Median 40.60 15.47 2.71 12.70 1.81 (0.13)75th Percentile 19.48 13.93 2.33 11.08 1.55 (0.39)90th Percentile 12.51 12.45 1.86 9.54 1.24 (0.55)
TIAA-CREF SocialChoice Equity Fund 51.60 17.24 3.01 12.91 1.91 (0.05)
Russell 3000 Index 73.86 17.14 2.93 14.11 1.91 (0.01)
Sector WeightsThe graph below contrasts the manager’s sector weights with those of the benchmark and median sector weights across themembers of the peer group. The magnitude of sector weight differences from the index and the manager’s sectordiversification are also shown. Diversification by number and concentration of holdings are also compared to the benchmarkand peer group. Issue Diversification represents by count, and Diversification Ratio by percent, the number of holdings thataccount for half of the portfolio’s market value.
Sector AllocationMarch 31, 2019
0% 5% 10% 15% 20% 25% 30%
Information Technology
21.921.1
19.9
Financials
14.713.2
14.0
Health Care
14.0
50
%M
gr
MV
50
%M
gr
MV
14.315.0
Industrials
10.310.1
11.8
Consumer Discretionary
9.210.4
11.8
Communication Services
7.79.1
8.2
Consumer Staples
6.36.5
6.2
Energy
5.15.15.2
Real Estate
4.14.0
2.2
Utilities
3.43.2
2.3
Materials
3.23.03.5
TIAA-CREF Social Choice Equity Fund Russell 3000 Index
Callan All Cap Core MFs
Sector Diversification
Manager 2.95 sectorsIndex 3.13 sectors
DiversificationMarch 31, 2019
0
100
200
300
400
500
600
700
800
900
Number of IssueSecurities Diversification
(7)
(9)
10th Percentile 437 5425th Percentile 189 37
Median 75 2175th Percentile 40 1390th Percentile 30 10
TIAA-CREF SocialChoice Equity Fund 764 55
Russell 3000 Index 2968 75
Diversification Ratio
Manager 7%Index 3%Style Median 29%
158Oregon Savings Growth Plan
Current Holdings Based Style AnalysisTIAA-CREF Social Choice Equity FundAs of March 31, 2019
This page analyzes the current investment style of a portfolio utilizing a detailed holdings-based style analysis to determineactual exposures to various market capitalization and style segments of the domestic equity market. The market issegmented quarterly by capitalization and style. The capitalization segments are dictated by capitalization decile breakpoints.The style segments are determined using the "Combined Z Score", based on the eight fundamental factors used in the MSCIstock style scoring system. The upper-left style map illustrates the current market capitalization and style score of theportfolio relative to indices and/or peers. The upper-right style exposure matrix displays the current portfolio and indexweights and stock counts (in parentheses) in each capitalization/style segment of the market. The middle chart illustrates thetotal exposures and stock counts in the three style segments, with a legend showing the total growth, value, and "combinedZ" (growth - value) scores. The bottom chart exhibits the sector weights as well as the style weights within each sector.
Style Map vs Callan All Cap Core MFsHoldings as of March 31, 2019
Value Core Growth
Mega
Large
Mid
Small
Micro
TIAA-CREF Social Choice Equity Fund
Russell 3000 Index
TIAA-CREF Social Choice Equity FundRussell 3000 Index
Style Exposure MatrixHoldings as of March 31, 2019
Large
Mid
Small
Micro
Total
Value Core Growth Total
25.1% (57) 25.8% (60) 26.6% (44) 77.5% (161)
4.6% (66) 5.0% (71) 6.8% (78) 16.4% (215)
1.2% (95) 1.7% (106) 2.5% (95) 5.4% (296)
0.2% (25) 0.3% (39) 0.2% (25) 0.7% (89)
31.1% (243) 32.8% (276) 36.1% (242) 100.0% (761)
25.7% (105) 21.1% (97) 29.0% (91) 75.8% (293)
5.1% (175) 5.8% (204) 5.9% (209) 16.7% (588)
1.9% (336) 2.6% (461) 2.2% (378) 6.7% (1175)
0.3% (277) 0.3% (392) 0.2% (212) 0.8% (881)
32.9% (893) 29.8% (1154) 37.3% (890) 100.0% (2937)
Combined Z-Score Style DistributionHoldings as of March 31, 2019
0%
10%
20%
30%
40%
50%
60%
Value Core Growth
31.1%(243)
32.9%(893)
32.8%(276)
29.8%(1154) 36.1%
(242)37.3%(890)
Bar #1=TIAA-CREF Social Choice Equity Fund (Combined Z: -0.05 Growth Z: -0.04 Value Z:
Bar #2=Russell 3000 Index (Combined Z: -0.01 Growth Z: 0.00 Value Z: 0.01)
Large
Mid
Small
Micro
Sector Weights DistributionHoldings as of March 31, 2019
0%
5%
10%
15%
20%
25%
30%
COMMUN CONCYC CONSTA ENERGY FINANC HEALTH INDEQU PUBUTL RAWMAT REALES TECH
7.79.1 9.2
10.4
6.3 6.55.1 5.1
14.713.1 14.0 14.4
10.3 10.2
3.4 3.2 3.2 3.04.1 4.0
21.9 21.1
Bar #1=TIAA-CREF Social Choice Equity Fund
Bar #2=Russell 3000 Index
Value
Core
Growth
159Oregon Savings Growth Plan
Historical Holdings Based Style AnalysisTIAA-CREF Social Choice Equity FundFor Three Years Ended March 31, 2019
This page analyzes the historical investment style of a portfolio utilizing a detailed holdings-based style analysis to determineaverage actual exposures to various market capitalization and style segments of the domestic equity market. The market issegmented quarterly by capitalization and style. The capitalization segments are dictated by capitalization decile breakpoints.The style segments are determined using the "Combined Z Score", based on the eight fundamental factors used in the MSCIstock style scoring system. The upper-left style map illustrates the average historical market capitalization and style score ofthe portfolio relative to indices and/or peers. The upper-right style exposure matrix displays the average historical portfolioand index weights and stock counts (in parentheses) in each capitalization/style segment of the market. The next two styleexposure charts illustrate the actual quarterly cap/style and style only segment exposures of the portfolio through history.
Average Style Map vs Callan All Cap Core MFsHoldings for Three Years Ended March 31, 2019
Value Core Growth
Mega
Large
Mid
Small
Micro
TIAA-CREF Social Choice Equity Fund
Russell 3000 Index
Average Style Exposure MatrixHoldings for Three Years Ended March 31, 2019
Large
Mid
Small
Micro
Total
Value Core Growth Total
28.1% (61) 25.9% (56) 25.2% (50) 79.2% (167)
4.3% (59) 5.1% (82) 5.0% (68) 14.5% (209)
1.1% (91) 2.1% (113) 2.2% (85) 5.4% (289)
0.2% (30) 0.3% (38) 0.2% (27) 0.8% (95)
33.8% (241) 33.4% (289) 32.8% (230) 100.0% (760)
26.5% (104) 22.9% (97) 25.4% (96) 74.7% (297)
5.0% (172) 6.3% (219) 5.8% (204) 17.1% (595)
2.1% (336) 2.9% (478) 2.2% (380) 7.2% (1194)
0.3% (285) 0.4% (375) 0.2% (216) 0.9% (876)
33.9% (897) 32.4% (1169) 33.7% (896) 100.0% (2962)
TIAA-CREF Social Choice Equity Fund Historical Cap/Style Exposures
0% 0%
10% 10%
20% 20%
30% 30%
40% 40%
50% 50%
60% 60%
70% 70%
80% 80%
90% 90%
100% 100%
2016 2017 2018 2019
Micro-Growth
Micro-Core
Micro-Value
Small-Growth
Small-Core
Small-Value
Mid-Growth
Mid-Core
Mid-Value
Large-Growth
Large-Core
Large-Value
TIAA-CREF Social Choice Equity Fund Historical Style Only Exposures
0% 0%
10% 10%
20% 20%
30% 30%
40% 40%
50% 50%
60% 60%
70% 70%
80% 80%
90% 90%
100% 100%
2016 2017 2018 2019
Growth
Core
Value
160Oregon Savings Growth Plan
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Real Return Option
Real Return OptionPeriod Ended March 31, 2019
Quarterly Summary and HighlightsReal Return Option’s portfolio posted a 5.82% return for the quarter placing it in the 56 percentile of the Callan AltGlobal Macro Mutual Funds group for the quarter and in the 57 percentile for the last year.
Real Return Option’s portfolio outperformed the Consumer Price Index + 3% by 3.88% for the quarter andunderperformed the Consumer Price Index + 3% for the year by 4.56%.
0%
2%
4%
6%
8%
10%
12%
Last Quarter
5.82
9.00
1.93
Last Year
0.21
4.01
4.77
Last 3 Years
4.30
6.09
5.19
Last 4 Years
0.37
2.30
4.76
Re
turn
s
Real Return Option Real Return Option Blended Benchmark Consumer Price Index + 3%
Relative Return vs Consumer Price Index + 3%
Re
lative
Re
turn
s
(10%)
(8%)
(6%)
(4%)
(2%)
0%
2%
4%
6%
2015 2016 2017 2018 19
Real Return Option
Cumulative Returns vsConsumer Price Index + 3%
Cum
ula
tive
Re
lative
Re
turn
s
(20%)
(15%)
(10%)
(5%)
0%
5%
10%
15%
2015 2016 2017 2018 19
Real Return OptionCallan Alt Glbl Macro MF
162Oregon Savings Growth Plan
State Street Real Asset StrategyPeriod Ended March 31, 2019
Investment PhilosophySSGA Custom Blended Benchmark comprised of: 15% Dow Jones US Select REIT Index, 25% Bloomberg Roll SelectCommodity Index, 25% S&P Global LargeMidCap Commodity and Resources Index, 25% Bloomberg Barclays USTreasury Inflation Protected Securities Index, and 10% S&P Global Infrastructure Index.
Quarterly Summary and HighlightsState Street Real Asset Strategy’s portfolio posted a 9.00% return for the quarter placing it in the 41 percentile of theCallan Real Assets Database group for the quarter and in the 33 percentile for the last year.
State Street Real Asset Strategy’s portfolio outperformed the Consumer Price Index + 3% by 7.07% for the quarter andunderperformed the Consumer Price Index + 3% for the year by 0.90%.
Performance vs Callan Real Assets Database (Institutional Net)
(10%)
(5%)
0%
5%
10%
15%
Last Quarter Last Last 3 Years Last 5 Years Last 7 Years Last 9 YearsYear
A(41)B(41)
(96)
B(33)A(33)
(29)
B(31)A(31)(45)
B(49)A(51)
(5)
B(60)A(64)
(9)
B(55)A(59)
(4)
10th Percentile 12.63 6.22 7.18 3.20 3.78 4.1225th Percentile 10.10 5.05 6.70 2.15 2.39 3.56
Median 8.70 1.73 5.00 0.49 1.07 2.6975th Percentile 5.85 0.20 3.96 (0.91) (0.77) 0.7590th Percentile 3.44 (4.36) 1.31 (2.26) (1.52) (1.07)
State Street RealAsset Strategy A 9.00 3.87 6.04 0.45 0.57 2.02SSGA Custom
Blended Benchmark B 9.00 4.01 6.09 0.52 0.65 2.38
ConsumerPrice Index + 3% 1.93 4.77 5.19 4.28 4.30 4.67
Relative Return vs Consumer Price Index + 3%
Rela
tive
Re
turn
s
(15%)
(10%)
(5%)
0%
5%
10%
2014 2015 2016 2017 2018 19
State Street Real Asset Strategy
Callan Real Assets Database (Institutional Net)Annualized Five Year Risk vs Return
0 2 4 6 8 10 12 14 16(6%)
(4%)
(2%)
0%
2%
4%
6%
SSGA Custom Blended Benchmark
Consumer Price Index + 3%
State Street Real Asset Strategy
Standard Deviation
Re
turn
s
163Oregon Savings Growth Plan
State Street Real Asset StrategyReturn Analysis Summary
Return AnalysisThe graphs below analyze the manager’s return on both a risk-adjusted and unadjusted basis. The first chart illustrates themanager’s ranking over different periods versus the appropriate style group. The second chart shows the historical quarterlyand cumulative manager returns versus the appropriate market benchmark. The last chart illustrates the manager’s rankingrelative to their style using various risk-adjusted return measures.
Performance vs Callan Real Assets Database (Institutional Net)
(25%)(20%)(15%)(10%)
(5%)0%5%
10%15%20%25%
12/18- 3/19 2018 2017 2016 2015 2014 2013
A(41)B(41)
(96)B(40)A(41)
(2)B(50)A(50)(65)
B(16)A(16)
(68)
B(84)A(84)
(1) B(53)A(53)
(15)B(81)A(81)
(19)
10th Percentile 12.63 (3.29) 19.10 17.36 0.46 4.56 6.3825th Percentile 10.10 (4.09) 10.90 9.97 (3.02) 1.87 2.52
Median 8.70 (7.69) 8.56 7.88 (7.32) (0.62) (1.38)75th Percentile 5.85 (10.27) 3.80 4.20 (12.24) (4.22) (3.26)90th Percentile 3.44 (11.60) 1.66 3.04 (16.04) (8.50) (8.00)
State Street RealAsset Strategy A 9.00 (7.17) 8.60 14.15 (14.11) (1.05) (4.65)SSGA Custom
Blended Benchmark B 9.00 (7.11) 8.61 14.28 (14.05) (0.85) (4.57)
CPI + 3% 1.93 4.77 5.18 4.99 3.39 3.32 4.46
Cumulative and Quarterly Relative Return vs CPI + 3%
Re
lative
Re
turn
s
(30%)
(25%)
(20%)
(15%)
(10%)
(5%)
0%
5%
10%
15%
2014 2015 2016 2017 2018 2019
State Street Real Asset Strategy SSGA Custom Blended Benchmark Callan Real Assets
Risk Adjusted Return Measures vs CPI + 3%Rankings Against Callan Real Assets Database (Institutional Net)Five Years Ended March 31, 2019
(20)
(15)
(10)
(5)
0
5
Alpha Sharpe Excess ReturnRatio Ratio
B(78)A(79)
B(70)A(71)
B(61)A(67)
10th Percentile (0.84) 0.44 0.0525th Percentile (5.37) 0.28 (0.17)
Median (8.08) 0.07 (0.37)75th Percentile (11.16) (0.05) (0.49)90th Percentile (16.29) (0.14) (0.92)
State Street Real Asset Strategy A (11.59) (0.03) (0.44)SSGA Custom Blended Benchmark B (11.45) (0.02) (0.43)
164Oregon Savings Growth Plan
State Street Real Asset StrategyRisk Analysis Summary
Risk AnalysisThe graphs below analyze the risk or variation of a manager’s return pattern. The first scatter chart illustrates therelationship, called Excess Return Ratio, between excess return and tracking error relative to the benchmark. The secondchart shows tracking error patterns versus the benchmark over time. The last two charts show the ranking of the manager’srisk statistics versus the peer group.
Risk Analysis vs Callan Real Assets Database (Institutional Net)Five Years Ended March 31, 2019
2 3 4 5 6 7 8 9 10 11 12 13 14(7 )
(6 )
(5 )
(4 )
(3 )
(2 )
(1 )
0
1
2
3
State Street Real Asset Strategy SSGA Custom Blended Benchmark
Tracking Error
Exce
ss R
etu
rn
Rolling 12 Quarter Tracking Error vs CPI + 3%
Tra
ckin
g E
rro
r
2%
4%
6%
8%
10%
12%
14%
2013 2014 2015 2016 2017 2018 2019
State Street Real Asset StrategySSGA Custom Blended BenchmarkCallan Real Assets
Risk Statistics Rankings vs CPI + 3%Rankings Against Callan Real Assets Database (Institutional Net)Five Years Ended March 31, 2019
2%
4%
6%
8%
10%
12%
14%
16%
Standard Downside TrackingDeviation Risk Error
A(30)B(30)
A(34)B(34)
B(30)A(30)
10th Percentile 13.36 9.73 12.6525th Percentile 10.25 7.37 9.41
Median 8.76 6.24 7.8975th Percentile 6.49 4.38 5.6590th Percentile 4.34 3.55 3.80
State Street RealAsset Strategy A 9.72 7.19 8.78SSGA Custom
Blended Benchmark B 9.71 7.19 8.78
0
1
2
3
4
5
6
Beta R-Squared
A(33)B(34)
A(40)B(43)
10th Percentile 4.95 0.4925th Percentile 3.79 0.43
Median 2.91 0.3575th Percentile 2.03 0.2390th Percentile 1.14 0.12
State Street RealAsset Strategy A 3.53 0.35SSGA Custom
Blended Benchmark B 3.51 0.35
165Oregon Savings Growth Plan
De
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ns
Definitions
Equity Market Indicators
The market indicators included in this report are regarded as measures of equity or fixed income performance results. The
returns shown reflect both income and capital appreciation.
Russell 1000 Growth measures the performance of those Russell 1000 companies with higher price-to-book ratios and
higher forecasted growth values.
Russell 1000 Value measures the performance of those Russell 1000 companies with lower price-to-book ratios and lower
forecasted growth values.
Russell 2000 Index is composed of the 2000 smallest stocks in the Russell 3000 Index, representing approximately 11% of
the U.S. equity market capitalization.
Standard & Poor’s 500 Index is designed to measure performance of the broad domestic economy through changes in the
aggregate market value of 500 stocks representing all major industries. The index is capitalization-weighted, with each stock
weighted by its proportion of the total market value of all 500 issues. Thus, larger companies have a greater effect on the
index.
Fixed Income Market Indicators
90-Day U.S. Treasury Bills provide a measure of riskless return. The rate of return is the average interest rate available on
the beginning of each month for a Treasury Bill maturing in ninety days.
Bloomberg Barclays Aggregate Bond Index is a combination of the Mortgage Backed Securities Index and the
intermediate and long-term components of the Government/Credit Bond Index.
International Equity Market Indicators
Morgan Stanley Capital International (MSCI) EAFE Index is composed of approximately 1000 equity securities
representing the stock exchanges of Europe, Australia, New Zealand and the Far East. The index is capitalization-weighted
and is expressed in terms of U.S. dollars.
167
Definitions
Core Bond - Managers who construct portfolios to approximate the investment results of the Bloomberg Barclays Capital
Government/Credit Bond Index or the Bloomberg Barclays Capital Aggregate Bond Index with a modest amount of variability
in duration around the index. The objective is to achieve value added from sector and/or issue selection.
Core Equity - Managers whose portfolio holdings and characteristics are similar to that of the broader market as
represented by the Standard & Poor’s 500 Index, with the objective of adding value over and above the index, typically from
sector or issue selection. The core portfolio exhibits similar risk characteristics to the broad market as measured by low
residual risk with Beta and R-Squared values close to 1.00 and combined growth and value z-score values close to 0.00.
Core Plus Broad International Equity Style This is a hybrid group incorporating the Core Plus, Growth Plus and Value
Plus style groups. It incorporates managers that typically add value from increased tactical or strategic exposure to
emerging markets and smaller capitalization stocks. Portfolios may undertake concentrated bets.
Intermediate Fixed-Income Style Mutual Funds - mutual funds whose objective is to lower interest rate risk by investing
only in intermediate-term securities. The average portfolio maturity is typically five to seven years.
Large Cap Growth - Managers who invest mainly in large companies that are expected to have above average prospects
for long-term growth in earnings and profitability. Future growth prospects take precedence over valuation levels in the stock
selection process. Invests in companies with P/E ratios, Price-to-Book values, Return-on-Assets values, Growth-in-Earnings
values above the broader market. The companies typically have zero dividends or dividend yields below the broader market.
Invests in securities which exhibit greater volatility than the broader market as measured by the securities’ Beta and
Standard Deviation. Portfolios have high growth z-scores and low value z-scores.
Large Cap Value - Managers who invest primarily in large companies believed to be currently undervalued in the general
market and whose shares are priced below the market compared to their peers. Valuation issues take precedence over near
term earnings prospects in the stock selection process. The Large Cap Value Style invests in companies with P/E ratios,
Return-on-Equity values, and Price-to-Book values below the broader market and the middle capitalization segment. This
style invests in securities with risk/reward profiles in the lower risk range of the medium capitalization market. Portfolios have
low growth z-scores and high value z-scores.
Non-U.S. Equity Style Mutual Funds - Mutual funds that invest their assets only in non-U.S. equity securities but exclude
regional and index funds.
Small Capitalization - Mututal funds that invest in companies with relatively small capitalization. The average market
capitalization is approximately $1.4 billion. The companies typically have zero dividends or dividend yields below the
broader market. The securities exhibit greater volatility than the broader market as measured by the risk statistics Beta and
Standard Deviation. The Small Capitalization Style Group consists of the Small Capitalization (Growth) Style Group and the
Small Capitalization (Value) Style Group.
Small Capitalization - Managers who invest in companies with relatively small capitalization. The average market
capitalization is approximately $1.4 billion. The companies typically have zero dividends or dividend yields below the
broader market. The securities exhibit greater volatility than the broader market as measured by the risk statistics Beta and
Standard Deviation. The Small Capitalization Style Group consists of the Small Capitalization (Growth) Style Group and the
Small Capitalization (Value) Style Group.
168
Risk/Reward Statistics
The risk statistics used in this report examine performance characteristics of a manager or a portfolio relative to a benchmark
(market indicator) which assumes to represent overall movements in the asset class being considered. The main unit of
analysis is the excess return, which is the portfolio return minus the return on a risk free asset (3 month T-Bill).
Alpha measures a portfolio’s return in excess of the market return adjusted for risk. It is a measure of the manager’s
contribution to performance with reference to security selection. A positive alpha indicates that a portfolio was positively
rewarded for the residual risk which was taken for that level of market exposure.
Beta measures the sensitivity of rates of portfolio returns to movements in the market index. A portfolio’s beta measures the
expected change in return per 1% change in the return on the market. If a beta of a portfolio is 1.5, a 1 percent increase in
the return on the market will result, on average, in a 1.5 percent increase in the return on the portfolio. The converse would
also be true.
Downside Risk stems from the desire to differentiate between "good risk" (upside volatility) and "bad risk" (downside
volatility). Whereas standard deviation punishes both upside and downside volatility, downside risk measures only the
standard deviation of returns below the target. Returns above the target are assigned a deviation of zero. Both the frequency
and magnitude of underperformance affect the amount of downside risk.
Excess Return Ratio is a measure of risk adjusted relative return. This ratio captures the amount of active management
performance (value added relative to an index) per unit of active management risk (tracking error against the index.) It is
calculated by dividing the manager’s annualized cumulative excess return relative to the index by the standard deviation of
the individual quarterly excess returns. The Excess Return Ratio can be interpreted as the manager’s active risk/reward
tradeoff for diverging from the index when the index is mandated to be the "riskless" market position.
Information Ratio measures the manager’s market risk-adjusted excess return per unit of residual risk relative to a
benchmark. It is computed by dividing alpha by the residual risk over a given time period. Assuming all other factors being
equal, managers with lower residual risk achieve higher values in the information ratio. Managers with higher information
ratios will add value relative to the benchmark more reliably and consistently.
R-Squared indicates the extent to which the variability of the portfolio returns are explained by market action. It can also be
thought of as measuring the diversification relative to the appropriate benchmark. An r-squared value of .75 indicates that
75% of the fluctuation in a portfolio return is explained by market action. An r-squared of 1.0 indicates that a portfolio’s
returns are entirely related to the market and it is not influenced by other factors. An r-squared of zero indicates that no
relationship exists between the portfolio’s return and the market.
Relative Standard Deviation is a simple measure of a manager’s risk (volatility) relative to a benchmark. It is calculated by
dividing the manager’s standard deviation of returns by the benchmark’s standard deviation of returns. A relative standard
deviation of 1.20, for example, means the manager has exhibited 20% more risk than the benchmark over that time period.
A ratio of .80 would imply 20% less risk. This ratio is especially useful when analyzing the risk of investment grade
fixed-income products where actual historical durations are not available. By using this relative risk measure over rolling
time periods one can illustrate the "implied" historical duration patterns of the portfolio versus the benchmark.
Residual Portfolio Risk is the unsystematic risk of a fund, the portion of the total risk unique to the fund (manager) itself and
not related to the overall market. This reflects the "bets" which the manager places in that particular asset market. These
bets may reflect emphasis in particular sectors, maturities (for bonds), or other issue specific factors which the manager
considers a good investment opportunity. Diversification of the portfolio will reduce or eliminate the residual risk of that
portfolio.
169
Risk/Reward Statistics
Rising Declining Periods refer to the sub-asset class cycles vis-a-vis the broader asset class. This is determined by
evaluating the cumulative relative sub-asset class index performance to that of the broader asset class index. For example,
to determine the Growth Style cycle, the S&P 500 Growth Index (sub-asset class) performance is compared to that of the
S&P 500 Index (broader asset class).
Sharpe Ratio is a commonly used measure of risk-adjusted return. It is calculated by subtracting the "risk-free" return
(usually 3 Month Treasury Bill) from the portfolio return and dividing the resulting "excess return" by the portfolio’s risk level
(standard deviation). The result is a measure of return gained per unit of risk taken.
Sortino Ratio is a downside risk-adjusted measure of value-added. It measures excess return over a benchmark divided by
downside risk. The natural appeal is that it identifies value-added per unit of truly bad risk. The danger of interpretation,
however, lies in these two areas: (1) the statistical significance of the denominator, and (2) its reliance on the persistence of
skewness in return distributions.
Standard Deviation is a statistical measure of portfolio risk. It reflects the average deviation of the observations from their
sample mean. Standard deviation is used as an estimate of risk since it measures how wide the range of returns typically is.
The wider the typical range of returns, the higher the standard deviation of returns, and the higher the portfolio risk. If returns
are normally distributed (ie. has a bell shaped curve distribution) then approximately 2/3 of the returns would occur within
plus or minus one standard deviation from the sample mean.
Total Portfolio Risk is a measure of the volatility of the quarterly excess returns of an asset. Total risk is composed of two
measures of risk: market (non-diversifiable or systematic) risk and residual (diversifiable or unsystematic) risk. The purpose
of portfolio diversification is to reduce the residual risk of the portfolio.
Tracking Error is a statistical measure of a portfolio’s risk relative to an index. It reflects the standard deviation of a
portfolio’s individual quarterly or monthly returns from the index’s returns. Typically, the lower the Tracking Error, the more
"index-like" the portfolio.
Treynor Ratio represents the portfolio’s average excess return over a specified period divided by the beta relative to its
benchmark over that same period. This measure reflects the reward over the risk-free rate relative to the systematic risk
assumed.
Note: Alpha, Total Risk, and Residual Risk are annualized.
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Callan Research/Education
Research and Educational Programs
The Callan Institute provides research to update clients on the latest industry trends and carefully structured educational programs
to enhance the knowledge of industry professionals. Visit www.callan.com/library to see all of our publications, and www.callan.com/blog
to view our blog “Perspectives.” For more information contact Corry Walsh at 312.346.3536 / [email protected].
New Research from Callan’s Experts
Callan’s 2019-2028 Capital Market Projections | Callan develops
long-term capital market projections at the start of each year, detail-
ing our expectations for return, volatility, and correlation for broad
asset classes. For 2019-2028, we made
gradual, evolutionary changes to our expec-
tations from our projections last year. We in-
creased our ixed income assumptions to re-
lect higher starting yields compared to one year ago, including a higher return for cash,
but we held constant our equity return premi-
um over cash. As a result, we have narrowed
the equity risk premium over bonds.
Two Questions to Help DC Plans Save on Litigation Costs |
Executives can monitor whether in-house iduciaries for their de-
ined contribution plans are on track or need assistance by ask-
ing these questions: 1) Are plan administration costs too high? 2)
Are participants getting the best “bang for their buck” from invest-
ment fees?
The Good, the Bad, and the Ugly: Which Will Your DC Plan Be
in 2019? | In this paper, we outline best practices for deined con-
tribution (DC) plan sponsors that aspire to be the Good gunslinger,
and lag traps that could ensnare them in Bad or even Ugly territory.
2019 DC Trends Survey | Callan’s 12th
Annual DC Trends Survey highlights plan
sponsors’ key themes from 2018 and expec-
tations for 2019.
2019 National Workshop Summary: DC Plans | This workshop
by Callan’s Ben Taylor, Jana Steele, and Gordon Weightman, “The New Face of DC Plans,” provided what plan sponsors and invest-
ment managers need to know to stay current on new developments
and how they might beneit plans.
2019 National Workshop Summary: Private Equity | In their
workshop, “Private Equity: Primary Investment Opportunities and
Considerations,” Callan’s Pete Keliuotis, Jay Nayak, and Weston Lewis demonstrated how a thoughtful approach to program design,
strategy allocation, and capital commitment pacing can lead to long-
term success in private equity investing.
2019 National Workshop Summary: Strategic Allocations | In
this workshop, Callan’s Ann O’Bradovich, Ho Hwang, and Gary Chang discussed the trend over the past several decades in which
U.S. institutional investors have shifted their public equity portfolios to increase allocations to non-U.S. stocks.
The Callan Periodic Table Collection: Year-End 2018 | The
Periodic Table Collection offers versions focused on equity, ixed income, fund sponsors, and alternatives. Other tables compare the
performance of key indices to zero and to inlation.
Quarterly Periodicals
Private Equity Trends | A newsletter on private equity activity, cov-
ering both the fundraising cycle and performance over time.
Market Pulse Flipbook | A market reference guide covering trends
in the U.S. economy, developments for fund sponsors, and the lat-est data for U.S. and non-U.S. equities and ixed income, alterna-
tives, and deined contribution plans.
Active vs. Passive Charts | This series of charts compares active
managers alongside relevant benchmarks over the long term.
Capital Market Review | Provides analysis and a broad overview
of the economy and public and private market activity each quarter
across a wide range of asset classes.
2019 Deined Contribution Trends
SurveyINSTITUTE
Education
1st Quarter 2019
13%
9%
63%
4%5%
6%
9%
6%
73%
3%6%
4%
18%
12%
52%
6%5%
8%
23%
16%
39%
8%4%
10%
30%
20%
24%
10%
4%
12%
38%
26%
5%
13%
3%
16%Private Equity
Hedge Funds
Real Estate
U.S. Fixed Income
Global ex-U.S. Equity
Broad U.S. Equity
10-year projected return
10-year projected
standard deviation
5.00% 4.96% 5.50%6.62% 6.00% 6.50%
8.68%
11.13%
7.00%
14.09%
7.50%
17.93%
10-Year Return and Risk Projections
Each year, Callan develops long-term capital market projections, detailing expected return, standard devia-
tion, and correlations for major asset classes. These projections are the cornerstone for strategic planning.
This charticle summarizes key igures from Callan’s 2019-2028 capital market projections.
Projected Risk and Return of Different Asset Mixes
This exhibit uses Callan’s projections to create a range of eficient portfolios on a spectrum from conservative to aggressive.
Note: Charts may not sum to 100% due to rounding.
Source: Callan
<<< Conservative Aggressive >>>
Callan’s 10-Year Return Expectations
U.S. Equity 7.15% ► Compound earnings growth
is expected to be modestly above GDP growth.
P/E ratios are well within historical norms. Dividend
yields are expected to hold steady.
Global ex-U.S. Equity 7.25% ► Earnings growth
likely to be moderate, facing signiicant uncertainty in future economic policies. Relatively high dividend
yields will support returns. Long period of relative un-
dervaluation in both developed and emerging mar-
kets points to potential for growth.
U.S. Fixed Income 3.75% ► Interest rates should
rise modestly over the next 10 years. The yield curve is projected to revert to a more normal up-
ward sloping term structure. Future higher yields
offset modest capital losses.
Real Estate 6.25% ► Even
though capitalization rates
reached a record low in 2018, capital lows remain healthy as investors rebalanced their over-
all portfolios by moving equity
market gains into real estate.
Hedge Funds 5.50% ► Returns
relect the cross currents of modest equity expectations,
higher cash rates, and the
prospect of varied return oppor-
tunities in uncertain markets.
Projected Risk(standard deviation)
Projected Return(10-year geometric)
Inflation
Cash Equivalents
Commodities
Hedge Funds
Private Equity
Real Estate
EmergingMarket Debt
Non-U.S. Fixed
High Yield
TIPS
Long Duration
U.S. Fixed
Short Duration
EmergingMarket Equity
DevelopedNon-U.S. Equity
Globalex-U.S. Equity
Small/Mid Cap
Large Cap
Broad U.S. Equity7.15%
17.95%
7.00%
17.10%
7.25% 22.65%
7.25%
21.10%
7.00% 19.75%
7.25%
3.40%
3.75%
3.75%
1.40%
9.20%
9.50%
10.35%
5.50%
6.25%
8.85%
15.70%
8.50% 29.30%
2.50%
0.90%
3.75%
10.65%
2.25%
1.50%
5.35%
18.00% 3.20%
5.05%
2.10%
3.75%
5.05%
27.45%
Source: Callan
0
5
10
15
20
-50%–
-40%
-40%–
-30%
-30%–
-20%
-20%–
-10%
-10%–
0%
0%–
10%
10%–
20%
20%–
30%
30%–
40%
40%–
50%
Over
50%
2008
2009
2017
2013
20152018 2011
2007
20142016
201220102006
91 Years of Stock Market Returns
Nu
mb
er
of
Years
Moderate
-15%
-10%
-5%
0%
5%
10%
15%
20%
PPI (All Commodities)CPI (All Urban Consumers)
Source: Bureau of Labor Statistics
02 0399 00 01 04 05 06 07 08 09 10 11 12 13 14 15 16 17 18
Source: Standard & Poor’s
Inlation Year-Over-Year
INSTITUTE
Capital Market Projections: 2019-2028
Events
Miss out on a Callan conference or workshop? Event summa-
ries and speakers’ presentations are available on our website:
www.callan.com/library/
Please mark your calendar and look forward to upcoming invita-
tions.
June Regional Workshops:
June 4, 2019 – Atlanta
June 5, 2019 – San Francisco
October Regional Workshops:
October 22, 2019 – Denver
October 24, 2019 – Chicago
Invitations have been sent for June and registration is available on our website at www.callan.com/events-reg-workshop-june/
Please also keep your eye out for upcoming Webinars in 2019! We
will be sending invitations for these and also will have registration
links on our website at www.callan.com/events.
For more information about events, please contact Barb
Gerraty: 415.274.3093 / [email protected]
The Center for Investment Training Educational Sessions
The Center for Investment Training, better known as the “Callan
College,” provides a foundation of knowledge for industry profes-
sionals who are involved in the investment decision-making pro-
cess. It was founded in 1994 to provide clients and non-clients alike
with basic- to intermediate-level instruction. Our next sessions are:
Introduction to Investments
San Francisco, July 16-17, 2019
Chicago, October 22-23, 2019
This program familiarizes fund sponsor trustees, staff, and asset
management advisers with basic investment theory, terminology,
and practices. It lasts one-and-a-half days and is designed for in-
dividuals who have less than two years of experience with asset-
management oversight and/or support responsibilities. Tuition for
the Introductory “Callan College” session is $2,350 per person.
Tuition includes instruction, all materials, breakfast and lunch on
each day, and dinner on the irst evening with the instructors.
“Callan College” on Alternative Investing
Chicago, October 2019—Date TBD
Learn more at www.callan.com/events/callan-college-intro or
contact Kathleen Cunnie: 415.274.3029 / [email protected]
Unique pieces of research the Institute generates each year50+
Total attendees of the “Callan
College” since 19943,700 Year the Callan Institute
was founded1980
Attendees (on average) of the
Institute’s annual National Conference525
Education: By the Numbers
@CallanLLC Callan
“Research is the foundation of all we do at Callan, and sharing our
best thinking with the investment community is our way of helping
to foster dialogue to raise the bar across the industry.”
Greg Allen, CEO and Chief Research Oficer
Dis
clo
su
res
Disclosures
List of Callan’s Investment Manager Clients
Confidential – For Callan Client Use Only Callan takes its fiduciary and disclosure responsibilities to clients very seriously. We recognize that there are numerous potential conflicts of interest encountered in the investment consulting industry and that it is our responsibility to manage those conflicts effectively and in the best interest of our clients. At Callan, we employ a robust process to identify, manage, monitor and disclose potential conflicts on an on-going basis. The list below is an important component of our conflicts management and disclosure process. It identifies those investment managers that pay Callan fees for educational, consulting, software, database or reporting products and services. We update the list quarterly because we believe that our fund sponsor clients should know the investment managers that do business with Callan, particularly those investment manager clients that the fund sponsor clients may be using or considering using. Please note that if an investment manager receives a product or service on a complimentary basis (e.g. attending and educational event), they are not included in the list below. Callan is committed to ensuring that we do not consider an investment manager’s business relationship with Callan, or lack thereof, in performing evaluations for or making suggestions or recommendations to its other clients. Please refer to Callan’s ADV Part 2A for a more detailed description of the services and products that Callan makes available to investment manager clients through our Institutional Consulting Group, Independent Adviser Group and Fund Sponsor Consulting Group. Due to the complex corporate and organizational ownership structures of many investment management firms, parent and affiliate firm relationships are not indicated on our list. Fund sponsor clients may request a copy of the most currently available list at any time. Fund sponsor clients may also request specific information regarding the fees paid to Callan by particular fund manager clients. Per company policy, information requests regarding fees are handled exclusively by Callan’s Compliance Department.
Quarterly List as of March 31, 2019
Knowledge. Experience. Integrity. Page 1 of 2
Manager Name Aberdeen Standard Investments Acadian Asset Management LLC AEGON USA Investment Management Alcentra AllianceBernstein Allianz Global Investors Allianz Life Insurance Company of North America AlphaSimplex Group, LLC American Century Investments Amundi Pioneer Asset Management AQR Capital Management Ares Management LLC Ariel Investments, LLC Atlanta Capital Management Co., LLC Aviva Investors Americas AXA Investment Managers Baillie Gifford International, LLC Baird Advisors Baron Capital Management, Inc. Barrow, Hanley, Mewhinney & Strauss, LLC BlackRock BMO Global Asset Management BNP Paribas Asset Management BNY Mellon Asset Management Boston Partners Brandes Investment Partners, L.P. Brandywine Global Investment Management, LLC BrightSphere Investment Group Brown Brothers Harriman & Company Cambiar Investors, LLC Capital Group Carillon Tower Advisers CastleArk Management, LLC Causeway Capital Management
Manager Name Chartwell Investment Partners ClearBridge Investments, LLC Cohen & Steers Capital Management, Inc. Columbia Threadneedle Investments Columbus Circle Investors Cooke & Bieler, L.P. Credit Suisse Asset Management CS McKee, L.P. DePrince, Race & Zollo, Inc. Diamond Hill Capital Management, Inc. Dimensional Fund Advisors LP Doubleline Duff & Phelps Investment Management Co. DWS EARNEST Partners, LLC Eaton Vance Management Epoch Investment Partners, Inc. Fayez Sarofim & Company Federated Investors Fidelity Institutional Asset Management Fiera Capital Corporation Financial Engines First Hawaiian Bank Wealth Management Division First State Investments Fisher Investments Franklin Templeton Fred Alger Management, Inc. GAM (USA) Inc. Glenmeade Investment Management, LP GlobeFlex Capital, L.P. Goldman Sachs Asset Management Green Square Capital LLC Guggenheim Investments GW&K Investment Management
Knowledge. Experience. Integrity. March 31, 2019 Page 2 of 2
Manager Name Harbor Capital Group Trust Hartford Investment Management Co. Heitman LLC Hotchkis & Wiley Capital Management, LLC HSBC Global Asset Management Impax Asset Management Limited Income Research + Management, Inc. Insight Investment Management Limited Intech Investment Management, LLC Intercontinental Real Estate Corporation Invesco Investec Asset Management Ivy Investments J.P. Morgan Janus Jennison Associates LLC Jobs Peak Advisors KeyCorp Lazard Asset Management Legal & General Investment Management America LGT Capital Partners Ltd. Lincoln National Corporation Longview Partners Loomis, Sayles & Company, L.P. Lord Abbett & Company Los Angeles Capital Management LSV Asset Management MacKay Shields LLC Macquarie Investment Management (MIM) Manulife Asset Management Marathon Asset Management, L.P. McKinley Capital Management, LLC MFS Investment Management MidFirst Bank Mondrian Investment Partners Limited Montag & Caldwell, LLC Morgan Stanley Investment Management Mountain Lake Investment Management LLC Mountain Pacific Advisors, LLC MUFG Union Bank, N.A. Natixis Investment Managers Neuberger Berman Newton Investment Management Nikko Asset Management Co., Ltd. Northern Trust Asset Management Nuveen OFI Global Asset Management Osterweis Capital Management, LLC P/E Investments
Manager Name Pacific Investment Management Company Pathway Capital Management Peregrine Capital Management, Inc. Perkins Investment Management PFM Asset Management LLC PGIM Fixed Income PineBridge Investments PNC Capital Advisors, LLC
Principal Global Investors Putnam Investments, LLC QMA LLC RBC Global Asset Management Record Currency Management Ltd. Regions Financial Corporation Robeco Institutional Asset Management, US Inc. Rockefeller Capital Management Rothschild & Co. Asset Management US Russell Investments Schroder Investment Management North America Inc. Silvercrest Asset Management Group Smith Graham & Co. Investment Advisors, L.P. Smith Group Asset Management South Texas Money Management, Ltd. State Street Global Advisors Stone Harbor Investment Partners, L.P. Sun Life Investment Management T. Rowe Price Associates, Inc. The Boston Company Asset Management The TCW Group, Inc. Thompson, Siegel & Walmsley LLC Thornburg Investment Management, Inc. Tri-Star Trust Bank UBS Asset Management VanEck Velanne Asset Management Ltd. Versus Capital Group Victory Capital Management Inc. Virtus Investment Partners, Inc. Vontobel Asset Management, Inc. Voya WCM Investment Management WEDGE Capital Management Wellington Management Company, LLP Wells Fargo Asset Management Western Asset Management Company LLC Westfield Capital Management Company, LP William Blair & Company LLC
Tobias Read Oregon State Treasurer
Darren Bond Deputy State Treasurer
Date: May 8, 2019 To: Oregon Investment Council From: Wil Hiles, Investment Analyst Michael Viteri, Senior Investment Officer Re: Deferred Compensation Program, 1st Quarter 2019 Report Background The Oregon Savings Growth Plan (the “Plan” or “OSGP”) is the State of Oregon’s 457 Deferred Compensation plan. OSGP is a voluntary supplemental retirement plan that provides eligible state and local government employees the opportunity to defer a portion of their current salary on a pre-tax or after-tax (Roth) basis. These deferrals are invested in various investment options until participants draw funds at retirement. The Plan offers an array of equity and fixed income investment options, a suite of target-date retirement funds, which in aggregate constitute a single investment option, and a self-directed brokerage option. As of March 31, 2019, plan assets totaled $2.25 billion from over 30,000 participants. With support and assistance from the Oregon State Treasury (OST) Investment Division, the Oregon Investment Council (OIC) is responsible for oversight of the Plan’s investment program. Oversight of Plan administration is the responsibility of the Oregon Public Employees Retirement System Board (“PERS Board”), with support from OSGP staff. Additional oversight is provided by a seven-member Deferred Compensation Advisory Committee (the “Advisory Committee”) established under ORS 243.505.
Tobias Read Oregon State Treasurer
Darren Bond Deputy State Treasurer
OSGP Performance
Fund Option Benchmarks
Performance (%)
QTD YTD 1 Year 3 Years 5 Years 10 Years
Stable Value Option 0.54 0.54 2.07 1.73 1.54 1.54 91 Day T-Bill 0.60 0.60 2.12 1.19 0.74 0.43 Rolling Average 5 Year CMT* 0.45 0.45 1.73 1.48 1.43 2.02 Active Fixed Income Option 2.84 2.84 4.29 2.69 3.08 4.97 Barclays US Aggregate Bond Index 2.94 2.94 4.48 2.03 2.74 3.77 Large Company Value Stock Option 11.95 11.95 5.71 10.37 7.40 14.53 Russell 1000 Value Index 11.93 11.93 5.67 10.45 7.72 14.52 Stock Index Option 14.04 14.04 8.68 13.37 10.25 15.86 Russell 3000 Index 14.04 14.04 8.77 13.48 10.36 16.00 Large Company Growth Stock Option 16.11 16.11 12.69 16.39 13.08 17.22 Russell 1000 Growth Index 16.10 16.10 12.75 16.53 13.50 17.52 International Stock Option 10.27 10.27 -6.94 6.76 2.47 9.02 MSCI ACWI ex-US (net) Index 10.31 10.31 -4.22 8.09 2.44 9.02 Small Company Stock Option 14.29 14.29 1.47 12.04 6.80 15.48 Russell 2000 Index 14.58 14.58 2.05 12.92 7.50 16.07 Socially Responsible Stock Option 13.91 13.91 7.75 13.10 N/A N/A Russell 3000 Index 14.04 14.04 8.77 13.48 N/A N/A Real Return Option 5.83 5.83 0.10 4.22 N/A N/A CPI + 3% 1.79 1.79 4.77 5.21 N/A N/A BlackRock LifePath Retirement 6.70 6.70 3.93 5.39 4.03 7.12 BlackRock LifePath 2020 7.05 7.05 3.83 6.11 4.44 8.74 BlackRock LifePath 2025 8.37 8.37 4.09 7.12 4.99 9.61 BlackRock LifePath 2030 9.56 9.56 4.34 8.16 5.58 10.46 BlackRock LifePath 2035 10.53 10.53 4.41 8.88 5.93 11.10 BlackRock LifePath 2040 11.46 11.46 4.50 9.63 6.31 11.71 BlackRock LifePath 2045 12.17 12.17 4.54 10.08 6.54 12.25 BlackRock LifePath 2050 12.49 12.49 4.55 10.22 6.62 12.63 BlackRock LifePath 2055 12.52 12.52 4.55 10.21 6.61 N/A BlackRock LifePath 2060 12.52 12.52 4.55 10.19 N/A N/A
* CMT is the Constant Maturity Treasury Yield. Performance shown is a) net of fees and b) annualized for periods longer than one year. OSGP has two types of fees, investment management and administrative fees. Administrative fees are comprised of State of Oregon administration, recording keeping, custody, trust, and communications fees.
Tobias Read Oregon State Treasurer
Darren Bond Deputy State Treasurer
Additional OSGP Data
Fund Name Market Value ($) % of Plan
IM Fees
Admin Fees
Total Fees
Total Participants (bps) (bps) (bps) Stable Value Option 287,202,751 12.7% 8,696 34.7 11.9 46.6 Active Fixed Income Option 138,791,473 6.2% 7,015 17.0 11.9 28.9 Large Company Value Stock Option 195,564,510 8.7% 10,568 2.9 11.9 14.8 Stock Index Option 261,754,426 11.6% 10,094 3.8 11.9 15.7 Large Company Growth Stock Option 268,000,758 11.9% 12,040 2.9 11.9 14.8 International Stock Option 117,065,158 5.2% 9,879 54.1 11.9 66.0 Small Company Stock Option 244,741,075 10.9% 11,289 39.5 11.9 51.4 Real Return Option 3,999,861 0.2% 681 54.3 11.9 66.2 Socially Responsible Investment Option 16,029,727 0.7% 1,677 17.0 11.9 28.9 BlackRock LifePath Retirement Fund 185,693,333 8.2% 3,618 9.0 11.9 20.9 BlackRock LifePath 2020 Fund 137,894,391 6.1% 3,091 9.0 11.9 20.9 BlackRock LifePath 2025 Fund 114,568,505 5.1% 3,515 9.0 11.9 20.9 BlackRock LifePath 2030 Fund 84,958,763 3.8% 3,558 9.0 11.9 20.9 BlackRock LifePath 2035 Fund 64,027,931 2.8% 3,501 9.0 11.9 20.9 BlackRock LifePath 2040 Fund 44,275,624 2.0% 3,266 9.0 11.9 20.9 BlackRock LifePath 2045 Fund 29,705,861 1.3% 2,838 9.0 11.9 20.9 BlackRock LifePath 2050 Fund 24,471,187 1.1% 2,219 9.0 11.9 20.9 BlackRock LifePath 2055 Fund 8,853,133 0.4% 1,180 9.0 11.9 20.9 BlackRock LifePath 2060 Fund 5,824,152 0.3% 790 9.0 11.9 20.9 Self-Directed Brokerage Option 19,776,124 0.9% 253 0.0 11.9 11.9 Total 2,253,198,741 100%
Source: Market Value & Plan Participants data, OSGP record keeper, Voya Financial. Fee estimation, OST. OSGP has two types of fees, investment management (IM) and administrative (Admin) fees. Administrative fees are comprised of State of Oregon administration, recording keeping, custody, trust, and communications fees.
The plan’s Self-Directed Brokerage Option, executed through Charles Schwab, finished the quarter with $19.8 million in assets, or 0.9% of total OSGP assets. Investment Structure Evaluation On September 19, 2018, the Oregon Investment Council (OIC) approved staff’s recommendation in connection with proposed changes to the Short-Term Fixed Income Option, International Stock Option, and Real Return Option. On March 22, 2019, staff successfully implemented the following changes.
Tobias Read Oregon State Treasurer
Darren Bond Deputy State Treasurer
1) Consolidated Capital Preservation Options – removed the Short-Term Fixed
Income Option OSGP previously offered two options serving the purpose of capital preservation, the Short-Term Fixed Income Option and the Stable Value Option. Given the redundancy of these options, staff recommended streamlining the capital preservations options by eliminating the Short-Term Fixed Income Option and transferring associated assets to the Stable Value Option. This change reduces participant confusion of having multiple investment options serving the same purpose, while capturing some attractive features offered by the Stable Value Option, including enhanced diversification, a stable crediting rating, and a reduced fee schedule.
2) Added Arrowstreet ACWI ex-U.S. to and removed BlackRock ACWI ex-U.S.
from the International Stock Option The Plan’s International Stock Option was previously comprised of five underlying funds: AQR ACWI ex-U.S.; BlackRock MSCI ACWI ex-U.S. Index; DFA International Core Equity; Lazard International Equity; and DFA Emerging Markets Core Equity. To better align the Plan’s investment strategy with that pursued in the Oregon Public Employees Retirement Fund (OPERF), staff recommended the addition of Arrowstreet ACWI ex-U.S., as a replacement for the BlackRock MSCI ACWI ex-U.S. Index Fund. Previously, Arrowstreet did not offer a suitable investment vehicle for inclusion within a qualified, government defined contribution plan. Although this change resulted in a moderate increase to the expense ratio for the Plan’s International Stock Option, staff and Callan remain comfortable with the addition of Arrowstreet given the high level of conviction jointly held in the firm.
3) Simplified the Real Return Option – removed both GMO Benchmark Free
Allocation and Wellington Real Total Return The Plan’s Real Return Option was previously comprised of three underlying funds: GMO Benchmark Free Allocation Fund; Wellington Real Return Fund; and SSgA Real Assets Fund. Although the previous structure was reasonable, it contained sizable equity beta, as both the GMO and Wellington funds had exposure to traditional equities, as well as absolute return and style premia strategies. Accordingly, staff recommended simplifying the Real Return Option by eliminating both the GMO and Wellington strategies, while retaining SSgA in order to make this option more of a pure, inflation-sensitivity play. The SSgA Real Assets Fund is well diversified across several inflation-sensitive asset classes such as commodities, REITs, TIPS, and global infrastructure. Furthermore, the SSgA Real Assets fund is passively implemented so this change significantly reduces fees for the Real Return Option.
STATE OF OREGON STABLE VALUE FUND
FIRST QUARTER 2019
INVESTMENT OBJECTIVE The State of Oregon Stable Value Fund (the "Fund") is an investment option that seeks to provide safety of principal and a stable credited rate of interest, while generating competitive returns over time compared to other comparable investments.
INVESTMENT STRATEGY The State of Oregon Stable Value Fund, managed by Galliard Capital Management, is primarily comprised of investment contracts issued by financial institutions and other eligible stable value investments. All contract issuers and securities utilized in the portfolio are rated investment grade by one of the Nationally Recognized Statistical Rating Organizations at time of purchase. The types of investment contracts in which the Fund invests include Security Backed Investment Contracts. These types of contracts seek to provide participants with safety of principal and accrued interest as well as a stable crediting rate. SECURITY BACKED INVESTMENT CONTRACTS are comprised of two components: 1) investment contracts issued by a financial institution and 2) underlying portfolios of fixed income securities (i.e. bonds) whose market prices fluctuate. The investment contract is designed to allow participants to transact at book value (principal plus accrued interest) without reference to the price fluctuations of the underlying fixed income securities. INVESTMENT RISK
The Fund's investment contracts are designed to allow for participant transactions at book value. A principal risk of the Fund is investment contract risk. This includes the risk that the issuer will default on its obligation under the contract or that another event of default may occur under the contract rendering it invalid; that the contract will lapse before a replacement contract with favorable terms can be secured; or that the occurrence of certain other events including employer-initiated events, could cause the contract to lose its book value withdrawal features. These risks may result in a loss to a contract holder. Other primary risks include default risk, which is the possibility that instruments the Fund holds will not meet scheduled interest and/or principal payments; interest rate risk, which includes the risk of reinvesting cash flows at lower interest rates; and liquidity risk, which includes the effect of very large unexpected withdrawals on the Fund's total value. The occurrence of any of these events could cause the Fund to lose value.
FUND OVERVIEW AS OF 3/31/19 ANNUALIZED PERFORMANCE1
Periods Ending 3/31/19 Fund (%) Benchmark (%)
ICE BofAML 3Mo. T-Bill
(%) 1Q'19 0.54 0.61 0.60 YTD 0.54 0.61 0.60 1 Year 2.07 2.66 2.12 3 Year 1.73 1.85 1.19 5 Year 1.54 1.51 0.74 10 Year 1.54 1.16 0.43 FUND FACTS Fund Category Stable Value Fund Assets $286,813,738 Fund Advisor Galliard Capital Management Expense Ratio 0.47% Participant Withdrawals/Transfers Daily FUND CHARACTERISTICS Blended Yield (after fees) 2.24% Effective Duration 2.78 Yrs Annualized Turnover2 (as of 12/31/18) 53.47% INVESTMENT CONTRACT ISSUERS
Issuer Moody's Rating
S&P Rating
Transamerica Premier Life Ins. Co. A1 AA- Voya Ret. Ins. and Annuity Co. A2 A Prudential Ins. Co. of America A1 AA- Massachusetts Mutual Life Ins. Co. Aa2 AA+ Royal Bank of Canada Aa2 AA- FUND ALLOCATION Fund (%) Security Backed Investment Contracts 94.5 Cash/Equivalents 5.5 SECTOR ALLOCATION OF THE UNDERLYING FIXED INCOME PORTFOLIO Fund (%) U.S. Treasury/Agency 18.6 Other U.S. Government 4.1 Corporate/Taxable Muni/Not for Profit 31.4 Mortgage Backed Securities (MBS) 26.7 Asset Backed Securities (ABS) 13.4 International Gov't/Agency Securities 0.1 Cash/Equivalents 5.7
1: These are fees paid to create and maintain the investments used by a stable value fund. 2: These are fees borne indirectly by the Fund when it acquires an interest in another fund which pays its own separate fees. 3: Includes audit fees for the cost of producing a report by a qualified auditor. 4: Total Annual Fund Operating Expenses are reflected daily in the Fund's net asset value (NAV).
STATE OF OREGON STABLE VALUE FUND
FIRST QUARTER 2019
FUND ADVISOR Galliard Capital Management is the Fund's Advisor. Galliard specializes in stable value management and currently manages $92.0 billion in assets for institutional investors.
FEES AND EXPENSES The following table shows Galliard's fees and expense information for this investment option. Total Annual Operating Expenses are expenses that reduce the rate of return of the investment option. The cumulative effect of fees and expenses will reduce the growth of your retirement savings. Visit the Department of Labor's website for an example showing the long-term effect of fees and expenses. Fees and expenses are only one of many factors to consider when you decide to invest in this Fund. You may also want to think about whether an investment in this Fund, along with your other investments, will help you achieve your financial goals.
TOTAL ANNUAL FUND OPERATING EXPENSES Total Annual Fund Operating Expenses are deducted directly from the Fund's net asset value and reduce the investment option's rate of return.
Expenses Expense Ratio (as of 3/31/19) Per $1,000
Investment Management Fees paid to Galliard 0.122% $1.22
Investment Management Fees paid to Non-Affiliated Investment Advisors None None
Investment Contract Fees 1 0.168% $1.68
Acquired Fund Fees 2 0.058% $0.58
Investment Contract Fees None None
Other Acquired Fund Fees and Non-Affiliated Investment Management Fees paid to Non-Affiliated Investment Advisors 3 0.058% $0.58
12b-1 Distribution Fee None None
Other Expenses 0.120% $1.20
Total Annual Fund Operating Expenses 4 0.467% $4.67
Please contact your plan administrator for additional information about this investment option.
STATE OF OREGON STABLE VALUE FUND
FIRST QUARTER 2019 PORTFOLIO REVIEW
STABLE VALUE PORTFOLIO REVIEW - STATE OF OREGON STABLE VALUE FUND
First Quarter 2019
GALLIARD CONTACTS
Client Portfolio Management
Matt Kline Principal 612.667.0856 [email protected]
Carrie Callahan
Managing Partner 612.667.1793 [email protected]
Galliard Client Service
612.667.3220 [email protected]
Stable Value Audit Support
Galliard Stable Value Audit Team [email protected]
TABLE OF CONTENTS
Stable Value Portfolio Review - State of Oregon Stable Value Fund ................................................................ 3
Investment Performance ............................................................................................................................ 4
Portfolio Characteristics ............................................................................................................................. 5
Transactions .............................................................................................................................................. 10
Holdings ..................................................................................................................................................... 11
Market Review ..................................................................................................................................................... 12
Appendix .............................................................................................................................................................. 15
Calendar Year Performance & Guideline Compliance ........................................................................... 16
Total Annual Fund Operating Expenses ................................................................................................. 17
The information contained in this report is for informational purposes only. It is intended to provide a summary of portfolio performance and characteristics, and an accounting based view of transactions and holdings. This is a standardized report and is not intended to be used for compliance purposes. Individual portfolio compliance requirements may not be captured in this report.
STABLE VALUE PORTFOLIO REVIEW - STATE OF OREGON STABLE VALUE FUND
STABLE VALUE PORTFOLIO REVIEW - STATE OF OREGON STABLE VALUE FUND
First Quarter 2019
1: Returns for periods of less than one year are not annualized. 2: Returns are net of book value contract, Galliard investment management fees, and, if applicable, external manager fees and Wells Fargo collective fund administrative fees. 3: Returns are net of all fees, including book value contract fees, Galliard investment management fees, and, if applicable, external manager fees, Wells Fargo collective fund administrative fees, and plan administrative reimbursement. 4: Galliard assumed management of this portfolio on September 1, 2012. Performance for periods referenced prior to this date include historical performance of another investment advisor. 5: Performance inception: September 1, 2012. 6: May not add due to rounding.
ANNUALIZED INVESTMENT PERFORMANCE AS OF 3/31/191
0.0
0.5
1.0
1.5
2.0
2.5
3.0
3 MO 1 YR 3 YR 5 YR 10 YR Since Inception
3 Mo.
1 Yr.
3 Yr.
5 Yr.
10 Yr. Since
Inception5 Portfolio (net of inv. mgmt. fees)2,4 0.57 2.20 1.89 1.71 - 1.66
Portfolio (net of all fees - NAV level)3,4 0.54 2.07 1.73 1.54 1.54 1.49
3 Year Constant Maturity Treasury 0.61 2.66 1.85 1.51 1.16 1.27
Value Added (net of all fees - NAV level)6 (0.07) (0.59) (0.12) 0.04 0.38 0.22
STABLE VALUE PORTFOLIO REVIEW - STATE OF OREGON STABLE VALUE FUND
First Quarter 2019
1: Average holdings quality of the contracts and other book value assets in the portfolio. The Weighted Average Quality of the portfolio has NOT been assessed by a nationally recognized statistical rating organization. The Weighted Average Quality shown represents an average quality of the individual holdings' Composite Ratings, as rated by S&P, Moody's and Fitch.
2: Average holdings quality of the underlying assets of the portfolio. The Weighted Average Quality of the portfolio has NOT been assessed by a nationally recognized statistical rating organization. The Weighted Average Quality shown represents an average quality of the individual holdings' Composite Ratings, as rated by S&P, Moody's and Fitch.
3: Blended Yield is net of all fees, including book value contract fees, Galliard investment management fees, and, if applicable, external manager fees, Wells Fargo collective fund administrative fees, and plan administrative reimbursement.
4: Includes Receivables and Payables.
5: Total % of portfolio may not add to 100% due to rounding.
STATE OF OREGON STABLE VALUE FUND
ACCOUNT SUMMARY
Benchmark 3 Year Constant Maturity Treasury
Galliard Inception Date September 4, 2012
Net Asset Value $286,813,738
HISTORICAL FUND ASSETS
$
$50
$100
$150
$200
$250
$300
$350
4Q'12 4Q'13 4Q'14 4Q'15 4Q'16 4Q'17 4Q'18 1Q'19
Mill
ions
PORTFOLIO CHARACTERISTICS
Portfolio 12/31/18
Portfolio 3/31/19
Average Quality - Book Value1 AA- AA-
Average Quality - Market Value2 AA AA
Number of Contract Issuers 5 5
Blended Yield (after all fees)3 2.16% 2.24%
Yield to Maturity 3.09% 2.80%
Effective Duration 2.62 years 2.78 years
Market/Book Value Ratio 98.65% 99.91%
PORTFOLIO DISTRIBUTION
% Portfolio 12/31/18
% Portfolio 3/31/19
Liquidity Buffer: Cash & Equivalents4 9.6 5.5
Short Portfolio 41.9 40.1
Intermediate Portfolio 48.5 54.3
Total 100.0%5 100.0%5
STABLE VALUE PORTFOLIO REVIEW - STATE OF OREGON STABLE VALUE FUND
First Quarter 2019
1: Contributions, Withdrawals and Investment Transfers
2: Cashflows may not net to final assets due to rounding.3. Excludes $53.2 million money market merger on 3/25/19.
2015 2016 2017 2018 1Q'19
Beginning Assets $188.7 $194.6 $212.4 $209.1 $226.5
Net Cash Flow ($)1 $2.9 $14.2 -$7.1 $12.9 $5.83
Net Cash Flow (%) 1.52% 7.29% -3.35% 6.14% 2.56%
Estimated Investment Earnings $3.1 $3.6 $3.9 $4.6 $1.3
Ending Assets2 $194.6 $212.4 $209.1 $226.5 $286.8
HISTORICAL CASHFLOWS
-$4.0
-$2.0
$0.0
$2.0
$4.0
$6.0
$8.0
STABLE VALUE PORTFOLIO REVIEW - STATE OF OREGON STABLE VALUE FUND
First Quarter 2019
1: Blended Yield is net of all fees, including book value contract fees, Galliard investment management fees, and, if applicable, external manager fees, Wells Fargo collective fund administrative fees, and plan administrative reimbursement.
HISTORICAL BLENDED YIELD1
1.44 1.57 1.67 1.73 1.83
1.98 2.08 2.16 2.24
0
1
2
3
4
1Q'17 2Q'17 3Q'17 4Q'17 1Q'18 2Q'18 3Q'18 4Q'18 1Q'19
Ble
nded
Yie
ld (
%)
HISTORICAL DURATION
2.85 2.83 2.78 2.81 2.82 2.84 2.65 2.62
2.78
0
1
2
3
4
5
1Q'17 2Q'17 3Q'17 4Q'17 1Q'18 2Q'18 3Q'18 4Q'18 1Q'19
Dur
atio
n (Y
ears
)
HISTORICAL MARKET VALUE TO BOOK VALUE RATIO
100.00 100.23 100.28
99.74
98.65 98.29
98.06
98.65
99.91
96
98
100
102
104
1Q'17 2Q'17 3Q'17 4Q'17 1Q'18 2Q'18 3Q'18 4Q'18 1Q'19
MV
/BV
Rat
io (
%)
HISTORICAL UNDERLYING YIELD TO MATURITY
2.07 2.10 2.11
2.39
2.86 3.10 3.16 3.09
2.80
0
1
2
3
4
1Q'17 2Q'17 3Q'17 4Q'17 1Q'18 2Q'18 3Q'18 4Q'18 1Q'19
Und
erly
ing
Yie
ld to
Mat
urity
(%
)
STABLE VALUE PORTFOLIO REVIEW - STATE OF OREGON STABLE VALUE FUND
First Quarter 2019
1: The quality rating shown represents the individual holdings' Composite Ratings, as rated by S&P, Moody's and Fitch. Ratings shown as NR/NA are not rated or not available security ratings.
CONTRACT ISSUER DISTRIBUTION & RATING SUMMARY1
% Portfolio 12/31/18
% Portfolio 3/31/19
Rating 12/31/18
Rating 3/31/19
Massachusetts Mutual Life Ins. Co. 11.4 15.7 AA+ AA+
Prudential Ins. Co. of America 20.8 19.3 AA- AA- Royal Bank of Canada 9.9 15.6 AA AA
Transamerica Premier Life Ins. Co. 24.9 22.6 A+ A+
Voya Ret. Ins. and Annuity Co. 23.3 21.3 A A
STABLE VALUE PORTFOLIO REVIEW - STATE OF OREGON STABLE VALUE FUND
First Quarter 2019
1: Market Value. Total % of portfolio may not add to 100% due to rounding. The external managers provide holdings and the securities are classified using Galliard's analytics methodology for maximum comparability across managers. The quality distribution shown represents the distribution of the individual holdings' Composite Ratings, as rated by S&P, Moody's and Fitch. Ratings shown as NR/NA are not rated or not available security ratings. Distributions represent the portfolio positions for reporting purposes only. Investment guideline compliance is reported in the appendix or separately through your Galliard relationship manager.
UNDERLYING FIXED INCOME ASSET ALLOCATION1
Portfolio 12/31/18 Portfolio 3/31/19
5.7%
0.1%
13.4%
5.1%
0.9%
20.7%
2.8%
28.6%
4.1%
18.6%
10.3%
0.1%
14.0%
4.8%
0.9%
18.6%
2.6%
27.9%
3.7%
0.1%
17.2%
0.0% 10.0% 20.0% 30.0% 40.0%
Cash & Equivalents
Sovereign / Supranationals
Asset Backed
CMBS
Non-Agency MBS
Agency MBS
Taxable Muni/Not for Profit
Corporates
Other U.S. Government
U.S. Agency
U.S. Treasury
UNDERLYING QUALITY DISTRIBUTION1
Portfolio 12/31/18 Portfolio 3/31/19
UNDERLYING DURATION DISTRIBUTION1
Portfolio 12/31/18 Portfolio 3/31/19
0.1%
9.2%
14.9%
6.5%
69.3%
0.1%
9.1%
14.0%
6.5%
70.4%
0.0% 20.0% 40.0% 60.0% 80.0% 100.0%
<BBB
BBB
A
AA
AAA
12.1%
24.2%
42.9%
20.8%
11.9%
23.7%
39.2%
25.2%
0.0% 20.0% 40.0% 60.0% 80.0% 100.0%
5+
3-5
1-3
0-1
STATE OF OREGON STABLE VALUE FUND PORTFOLIO TRANSACTIONS
Period: 1/1/2019 - 3/31/2019
Asset ID Security Description Par Amount Trade Date Settle Date Galliard
Composite Rating
PURCHASES 575997HE4 Massachusetts Mutual Life Ins. Co. 530,000 1/2/2019 1/2/2019 AA+
780995RG3 Royal Bank of Canada 3,500,000 1/2/2019 1/2/2019 AA
575997HE4 Massachusetts Mutual Life Ins. Co. 1,390,000 2/1/2019 2/1/2019 AA+
744999SP9 Prudential Ins. Co. of America 460,000 2/1/2019 2/1/2019 AA-
780995RG3 Royal Bank of Canada 1,390,000 2/1/2019 2/1/2019 AA
600996DU3 Transamerica Premier Life Ins. Co. 460,000 2/1/2019 2/1/2019 A+
75999UTZ1 Voya Ret. Ins. and Annuity Co. 460,000 2/1/2019 2/1/2019 A
575997HE4 Massachusetts Mutual Life Ins. Co. 1,840,000 3/1/2019 3/1/2019 AA+
780995RG3 Royal Bank of Canada 1,840,000 3/1/2019 3/1/2019 AA
575997HE4 Massachusetts Mutual Life Ins. Co. 15,250,000 3/26/2019 3/26/2019 AA+
744999SP9 Prudential Ins. Co. of America 7,500,000 3/26/2019 3/26/2019 AA-
780995RG3 Royal Bank of Canada 15,250,000 3/26/2019 3/26/2019 AA
600996DU3 Transamerica Premier Life Ins. Co. 7,500,000 3/26/2019 3/26/2019 A+
75999UTZ1 Voya Ret. Ins. and Annuity Co. 7,500,000 3/26/2019 3/26/2019 A
TOTAL PURCHASES
SALES 3839909B6 State Street Government STIF 10 4,030,000 1/2/2019 1/2/2019 AAA
3839909B6 State Street Government STIF 10 4,160,000 2/1/2019 2/1/2019 AAA
3839909B6 State Street Government STIF 10 3,680,000 3/1/2019 3/1/2019 AAA
3839909B6 State Street Government STIF 10 53,000,000 3/26/2019 3/26/2019 AAA
TOTAL SALES
STATE OF OREGON STABLE VALUE FUND PORTFOLIO HOLDINGS
March 31, 2019
1: Crediting rates are net of wrap fees and any other fees being netted out of the rates. 2: N.S.M. = No Stated Maturity
Asset ID Security Description Manager Contract Value ($)
Market Value ($)
Market/Book Value
Ratio (%) % of
Portfolio
Crediting Rate (%)1
UCA Yield (%) Maturity2
Effective Duration
(yrs)
Galliard Composite
Rating
Wrap Fees (bps)
LIQUIDITY BUFFER
Cash Receivable / (Payable) 0 0 0.0 0.0 2.42 2.42 0.10 AAA 3839909B6 State Street Government STIF 10 15,901,016 15,901,016 100.0 5.5 2.42 2.42 0.10 AAA TOTAL LIQUIDITY BUFFER 15,901,016 15,901,016 100.0 5.5 2.42 2.42 0.10 AAA
SHORT PORTFOLIO
575997HE4 Massachusetts Mutual Life Ins. Co. Galliard 18,148,226 18,089,255 99.7 6.3 2.27 2.71 N.S.M. 1.82 AA+ 19.0 744999SP9 Prudential Ins. Co. of America Galliard 22,327,304 22,387,968 100.3 7.8 2.65 2.71 N.S.M. 1.82 AA- 18.0 780995RG3 Royal Bank of Canada Galliard 18,111,938 18,087,940 99.9 6.3 2.47 2.71 11/1/23 1.82 AA 17.0 600996DU3 Transamerica Premier Life Ins. Co. Galliard 29,032,950 28,986,793 99.8 10.1 2.55 2.71 N.S.M. 1.82 A+ 17.0 75999UTZ1 Voya Ret. Ins. and Annuity Co. Galliard 27,499,069 27,457,914 99.9 9.6 2.45 2.71 N.S.M. 1.82 A 18.0 TOTAL SHORT PORTFOLIO 115,119,487 115,009,869 99.9 40.1 2.49 2.71 1.82 AA-
INTERMEDIATE PORTFOLIO
575997HE4 Massachusetts Mutual Life Ins. Co. Galliard 26,869,198 26,781,888 99.7 9.4 2.27 2.97 N.S.M. 3.80 AA+ 19.0 744999SP9 Prudential Ins. Co. of America Galliard 4,308,860 4,320,567 100.3 1.5 2.65 2.97 N.S.M. 3.80 AA- 18.0 744999SP9 Prudential Ins. Co. of America Jennison Assoc. 28,745,240 28,823,341 100.3 10.0 2.65 2.70 N.S.M. 4.04 AA- 18.0 780995RG3 Royal Bank of Canada Galliard 26,568,070 26,532,867 99.9 9.3 2.47 2.97 11/1/23 3.80 AA 17.0 600996DU3 Transamerica Premier Life Ins. Co. Dodge & Cox 26,795,144 26,752,544 99.8 9.3 2.55 3.05 N.S.M. 3.46 A+ 17.0 600996DU3 Transamerica Premier Life Ins. Co. Galliard 8,869,071 8,854,971 99.8 3.1 2.55 2.97 N.S.M. 3.80 A+ 17.0 75999UTZ1 Voya Ret. Ins. and Annuity Co. Galliard 6,822,746 6,812,535 99.9 2.4 2.45 2.97 N.S.M. 3.80 A 18.0 75999UTZ1 Voya Ret. Ins. and Annuity Co. Payden & Rygel 26,814,907 26,774,777 99.9 9.3 2.45 2.82 N.S.M. 3.62 A 18.0 TOTAL INTERMEDIATE PORTFOLIO 155,793,235 155,653,490 99.9 54.3 2.49 2.91 3.76 AA-
TOTAL PORTFOLIO 286,813,738 286,564,375 99.9 100.0 2.48 2.80 2.78 AA-
MARKET REVIEW
75
80
85
90
95
100
105
2014 2015 2016 2017 2018 2019
Inde
x Le
vel
MARKET REVIEWFIRST QUARTER 2019
ECONOMIC MOMENTUM SLOWS IN 4Q…
• The U.S. economy grew at a q/q annualized pace of 2.2% in the fourthquarter, losing momentum after strong second and third quarter growth.
• Notably, personal consumption growth slowed to 2.5% in the lastquarter of the year, from 3.5% and 3.8% in the third and secondquarter respectively.
• On the other hand, business activity continues to expand, albeit at aslightly slower pace: the ISM Manufacturing Index has bounced around54-56 in the first quarter, still in expansionary territory but lower thanthe 58-60 readings throughout most of 2018.
• Market consensus is currently calling for continued slowing growth inthe first quarter, in the range of 1.3% to 1.7%.
…TREND EXPECTED TO CONTINUE IN 1Q
• In addition to the slowing trends in consumer spending and businessoutput, the economy also dealt with a number of disruptive events inthe first quarter: the longest Government shutdown in U.S. history,continued trade wars, and extreme cold weather are all expected toweigh on growth.
• While estimates of the economic impact of these factors is relativelymuted at present, the more important impact may have beenpsychological – the University of Michigan Consumer Sentiment Indexfell sharply in January, to the lowest level in several years, although ithas since rebounded.
• Market reaction has been mixed, with the S&P 500 once again near all-time highs by the end of March and corporate credit spreads retracingthe widening seen at the end of the year; meanwhile, the Treasurymarket has rallied considerably with the 3-month to 10-year part of theyield curve inverting for a short time, the first time this has happenedsince 2007.
Source: Bloomberg
Source: Bloomberg
The information contained herein reflects the views of Galliard Capital Management, Inc. & sources believed to be reliable by Galliard as of the date of publication. The views expressed here may change atany time subsequent to the date of publication. This publication is for informational purposes only. For institutional investor use only.
-2.0
-1.0
0.0
1.0
2.0
3.0
4.0
5.0
6.0
2014 2015 2016 2017 2018
Q/Q
Annu
aliz
ed (
%)
Real GDP Growth
University of Michigan Consumer Sentiment Index
FED CALMS MARKETS WITH PATIENT APPROACH…
• The Fed left interest rates unchanged during the first quarteras expected. In stark contrast to the policy signal sent inDecember, the message from the Fed at the January meetingstressed patience going forward.
• This pivot instilled the markets with renewed confidence,triggering a rally in risk assets throughout the quarter.Nevertheless, concerns about slowing global growth continue toweigh heavily on market expectations.
• At the March FOMC meeting, the Fed maintained its dovishstance as it adjusted its expectation for future rate hikes fromtwo to zero in 2019, and announced the end of its balancesheet run-off in the fall; markets are now pricing in thepossibility of a rate cut later this year.
…AMID CONTINUED MUTED INFLATION AND SLOWING JOB GROWTH
• Inflation readings remain muted with the Consumer PriceIndex falling to 1.5% in February. Core CPI continues to hoverat 2.2%, but more importantly Core PCE, the Fed’s preferredmeasure of inflation, remains at around 1.8%.
• Job creation stumbled in February, with only 33k jobs added,but this could be an anomaly with more solid jobs numbers of227k, 312k, and 196k in December, January, and Marchrespectively. Leading indicators such as Initial Jobless Claimsand Continuing Jobless Claims have recently improved,suggesting job creation remains intact.
• Average Hourly Earnings increased by 3.2% to 3.4% in eachmonth of the quarter, continuing a trend that started in late2017. The unemployment rate ended the quarter at 3.8% afterrising to 4% in January due to the Government shutdown.
Source: Federal Reserve, Bloomberg
Source: Bloomberg
The information contained herein reflects the views of Galliard Capital Management, Inc. & sources believed to be reliable by Galliard as of the date of publication. The views expressed here may change atany time subsequent to the date of publication. This publication is for informational purposes only. For institutional investor use only.
0.0
0.5
1.0
1.5
2.0
2.5
3.0
3.5
4.0
2019 2020 2021 Long Term
6/13/2018 9/26/2018 12/19/2018 3/20/2019
Non-Farm Payrolls
0
50
100
150
200
250
300
350
400
2014 2015 2016 2017 2018 2019
Tota
l Cha
nge
('000
s)
FOMC Median Fed Funds Rate Projections (%)
MARKET REVIEWFIRST QUARTER 2019
APPENDIX
APPENDIX - STATE OF OREGON STABLE VALUE FUND
First Quarter 2019
1: Returns are net of book value contract, Galliard investment management fees, and, if applicable, external manager fees and Wells Fargo collective fund administrative fees.2: Returns are net of all fees, including book value contract fees, Galliard investment management fees, and, if applicable, external manager fees, and plan administrative reimbursement.3: May not add due to rounding.
CALENDAR YEAR INVESTMENT PERFORMANCE
2014 2015 2016 2017 2018
Portfolio (net of inv. mgmt. fees)1 1.28 1.50 1.63 1.75 2.10
Portfolio (net of all fees - NAV level)2 1.10 1.33 1.46 1.58 1.98
3 Year Constant Maturity Treasury 0.90 1.03 1.01 1.58 2.63
Value Added (net of all fees – NAV level)3 0.21 0.30 0.45 0.00 (0.65)
MARKET INDICES
ICE BofAML U.S. 3 Month Treasury Bill 0.03 0.05 0.33 0.86 1.87
Consumer Price Index 0.76 0.73 2.07 2.11 1.67
GUIDELINE COMPLIANCE
We have not become aware of any investment guideline compliance issues occurring in the portfolio during the quarter.
APPENDIX - STATE OF OREGON STABLE VALUE FUND
First Quarter 2019
TOTAL ANNUAL FUND OPERATING EXPENSES
Total Annual Operating Expenses are deducted directly from the Fund’s net asset value and reduce the investment option’s rate of return.
Expense Expense Ratio 3/31/19 Per $1000
Investment Management Fees paid to Galliard* 0.122% $1.22
Investment Management fees paid to Non-Affiliated Investment Advisors None None
Investment Contract Fees1 0.168% $1.68
Acquired Fund Fees2 0.058% $0.58
-Investment Contract Fees None None
-Other Acquired Fund Fees and Non-Affiliated Investment
Management Fees paid to Non-Affiliated Investment Advisors3 0.058% $0.58
12b-1 Distribution Fee None None
Other Expenses 0.120% $1.20
Total Annual Fund Operating Expenses4 0.467% $4.67
*Changes have occurred to the fee schedule structure since the prior period. Please contact your Galliard representative if you have additional questions.
1: These are fees paid to create and maintain the investments used by a stable value fund.
2: These are fees borne indirectly by the Fund when it acquires an interest in another fund which pays its own separate fees.
3: Includes audit fees for the cost of producing a report by a qualified auditor.
4: Total Annual Fund Operating Expenses are reflected daily in the Fund's net asset value (NAV).
Excluding STIF or money market allocations, non-affiliated investment advisors include Dodge & Cox , Jennison Assoc., Payden & Rygel.
OREGON SAVINGS GROWTH PLAN
Schwab Personal ChoiceRetirement Account (PCRA)Quarterly Report
As of 3/31/2019
©2017 Charles Schwab & Co., Inc. (“Schwab”). Member SIPC. All rights reserved.
For Institutional Use OnlyCompliance number: 0517-ZGX6
The Schwab Personal Choice Retirement Account (PCRA) Quarterly Report
OREGON SAVINGS GROWTH PLAN as of 3/31/2019
17
Plan Profile Information
Total Advisor Managed PCRA Assets
Total Funded Roth Accounts
Total Funded PCRA Accounts
Total PCRA Assets
Total Advisor Managed Funded PCRA Accounts
PCRA Participant Profile Information
Average PCRA Account Balance
PCRA Assets In and Out This Quarter*
PCRA Accounts Opened This Quarter
$19,716,508
264
Plan Type 457B
Total Roth Assets
$8,099,522
78
28
$2,670,299
Average Positions Per Account
Average Trades Per Account
Cash Investments
Equities
ETFs
Fixed Income
Mutual Funds
Other
Total
1.0
1.8
0.9
0.1
2.4
0.0
6.2
$74,684
Total
Other
Mutual Funds
Fixed Income
ETFs
Equities 3.6
0.8
0.1
2.7
0.0
7.2
$1,698,453Cash Investments
Average Participant Age
Percent Male Participants
Percent Female Participants
54
73%
27%
* Assets In and Out includes contributions and distributions.
Equities
ETFs
Fixed Income
Mutual Funds
Other
Total Assets by Category
$3,184,931
$3,027,028
$440,913
$11,365,183
$0
$270,940
Assets and Accounts (Trailing 4 Quarters)
0M
4M
8M
12M
16M
20M
3/31
/201
9
12/31/
2018
9/30
/201
8
6/30
/201
8
Total Assets
Total Advisor Managed
Assets
0.00K
0.04K
0.08K
0.12K
0.16K
0.20K
0.24K
0.28K
3/31
/201
9
12/31/
2018
9/30
/201
8
6/30
/201
8
Total Funded Accounts
Total Advisor Managed
Funded Accounts
©2017 Charles Schwab & Co., Inc. (“Schwab”). Member SIPC. All rights reserved.
For Institutional Use OnlyCompliance number: 0517-ZGX6
The Schwab Personal Choice Retirement Account (PCRA) Quarterly Report
OREGON SAVINGS GROWTH PLAN as of 3/31/2019
Top 10 Mutual Fund Holdings**
Name Symbol OS* $MF Assets %MF AssetsCategory
RISKPRO PFG BALANCED 20 TO 30 FD CL R PFDBX Y $1,746,490 15.59%Hybrid Funds
RISKPRO PFG EQUITY 30 PLUS FD CL R PFDEX Y $1,406,773 12.56%Large Capitalization Stock Funds
RISKPRO DYNAMIC 15 TO 25 FD CL R PFDPX Y $773,391 6.90%Hybrid Funds
RISKPRO PFG AGGRESSIVE 30 PLUS FD CL R PFSUX Y $693,704 6.19%International
RISKPRO DYNAMIC 20 TO 30 FD CL R PFJDX Y $561,720 5.01%Hybrid Funds
RISKPRO TACTICAL 0 TO 30 FD CL R PFTEX Y $409,124 3.65%Hybrid Funds
RISKPRO PFG 30 PLUS FD CL R PFSMX Y $408,182 3.64%International
COLUMBIA DIVIDEND INCOME FD CL A LBSAX Y $379,836 3.39%Large Capitalization Stock Funds
RISKPRO PFG GLOBAL 30 PLUS FD CL R PFDGX Y $369,888 3.30%International
RISKPRO ALTERNATIVE 0 TO 15 FD CL R PFAOX Y $363,730 3.25%Hybrid Funds
Top 10 Fund Families
$MF Assets %MF AssetsName
VANGUARD $680,340 6.07%
COLUMBIA $478,160 4.27%
PRIMECAP $266,817 2.38%
T ROWE PRICE $253,566 2.26%
SCHWAB $217,978 1.95%
FIDELITY $206,910 1.85%
INFINITY $100,172 0.89%
OPPENHEIMER $66,410 0.59%
WASATCH $65,858 0.59%
MATTHEWS $65,637 0.59%
**Top 10 Mutual Funds does not include Money Market Funds.
*OS = OneSource, no-load, no transaction fee.
©2017 Charles Schwab & Co., Inc. (“Schwab”). Member SIPC. All rights reserved.
For Institutional Use OnlyCompliance number: 0517-ZGX6
The Schwab Personal Choice Retirement Account (PCRA) Quarterly Report
OREGON SAVINGS GROWTH PLAN as of 3/31/2019
Top 10 ETF Holdings
Name Symbol $ETF Assets %ETF AssetsOS*Category
SCHWAB US DIVIDEND EQUITY ETF SCHD $193,815 6.40%YUS Equity
VELOCITYSHARES DAILY 2X VIX SHORT-TERM ETN TVIX $146,492 4.84%NOther
VANGUARD FTSE EUROPE ETF VGK $137,023 4.53%NInternational Equity
SPDR LONG TERM TREASURY ETF SPTL $122,088 4.03%YUS FI
SELECT SECTOR HEALTH CARE SPDR ETF XLV $121,975 4.03%NSector
VANGUARD FTSE PACIFIC ETF VPL $116,587 3.85%NInternational Equity
SCHWAB US LARGE CAP VALUE ETF SCHV $114,650 3.79%YUS Equity
VANGUARD SMALL CAP VALUEETF VBR $78,720 2.60%NUS Equity
VANGUARD FTSE ALL WORLD EX US ETF VEU $74,296 2.45%NInternational Equity
SCHWAB US LARGE CAP ETF SCHX $73,774 2.44%YUS Equity
Top 10 Equity Holdings
Name Symbol $EQ Assets %EQ AssetsCategory
AMAZON.COM INC AMZN $213,690 6.71%Consumer Discretionary
APPLE INC AAPL $177,526 5.57%Information Technology
SQUARE INC CLASS A SQ $170,893 5.37%Information Technology
TESLA INC TSLA $129,295 4.06%Consumer Discretionary
FEDEX CORP FDX $87,258 2.74%Industrials
ALPHABET INC. CLASS C GOOG $75,092 2.36%Communication Services
TEEKAY OFFSHORE PARTNERF TOO $72,000 2.26%Energy
TWILIO INC CLASS A TWLO $69,757 2.19%Information Technology
CALAMOS CONVERTIBLE OPPO CHI $65,237 2.05%Other
NIO INC ADR F NIO $65,061 2.04%Consumer Discretionary
*OS = OneSource, no transaction fee.
©2017 Charles Schwab & Co., Inc. (“Schwab”). Member SIPC. All rights reserved.
For Institutional Use OnlyCompliance number: 0517-ZGX6
The Schwab Personal Choice Retirement Account (PCRA) Quarterly Report
OREGON SAVINGS GROWTH PLAN as of 3/31/2019
Market Value Allocation - All Assets (Quarter over Quarter)
12/31/2018
6.06%
Mutual Funds
(Transaction Fee)
0.56%
Mutual Funds
(Other)
9.60%
Cash
17.89%
Equities
16.97%
ETFs
1.15%
Fixed Income
47.77%
Mutual Funds
(OneSource)
3/31/2019
5.64%
Mutual Funds
(Transaction Fee)
0.50%
Mutual Funds
(Other)
8.61%
Cash
16.15%
Equities
15.35%
ETFs
2.24%
Fixed Income
51.50%
Mutual Funds
(OneSource)
The above charts illustrate the percent of PCRA participant assets in each noted asset class as percentage of total PCRA assets. Percentages are calculated as of quarter-end. Money Market Funds are classified under Mutual Funds.
Net Flow - All Non-Cash Assets (3-Month Period Ending 3/31/2019)
-0.4M
0.0M
0.4M
0.8M
1.2M
1.6M
2.0M
2.4M
Equities ETFs Fixed IncomeMutual Funds
(OneSource)
Mutual Funds
(Transaction Fee)
Net Flow is the net of all cash inflows and outflows in and out of financial assets; the performance of an asset or fund is not taken into account, only share redemptions, or outflows, and share purchases, or inflows.
©2017 Charles Schwab & Co., Inc. (“Schwab”). Member SIPC. All rights reserved.
For Institutional Use OnlyCompliance number: 0517-ZGX6
The Schwab Personal Choice Retirement Account (PCRA) Quarterly Report
OREGON SAVINGS GROWTH PLAN as of 3/31/2019
Market Value Allocation - Mutual Funds (Quarter over Quarter)
3/31/2019
1.43%
Money Market
Fund
4.66%
Small
Capitalization
Stock Funds
3.01%
Specialized Funds
6.05%
Taxable Bond
Funds
42.02%
Hybrid Funds
21.60%
International
21.22%
Large
Capitalization
Stock Funds
12/31/2018
1.34%
Money Market
Fund
5.45%
Small
Capitalization
Stock Funds
3.71%
Specialized Funds
7.56%
Taxable Bond
Funds
35.11%
Hybrid Funds
28.34%
International
18.49%
Large
Capitalization
Stock Funds
The above charts illustrate the percent of PCRA participant assets in each noted asset class as percentage of total PCRA assets. Percentages are calculated as of quarter-end. Money Market Funds are classified under Mutual Funds.
Net Flow by Sector - Mutual Funds (3-Month Period Ending 3/31/2019)
-0.4M
0.0M
0.4M
0.8M
1.2M
1.6M
2.0M
Hybrid Funds InternationalLarge Capital ization
Stock FundsMoney Market Fund
Smal l Capi tal ization
Stock FundsSpecial ized Funds
Taxable Bond Funds
Net Flow is the net of all cash inflows and outflows in and out of financial assets; the performance of an asset or fund is not taken into account, only share redemptions, or outflows, and share purchases, or inflows.
©2017 Charles Schwab & Co., Inc. (“Schwab”). Member SIPC. All rights reserved.
For Institutional Use OnlyCompliance number: 0517-ZGX6
The Schwab Personal Choice Retirement Account (PCRA) Quarterly Report
OREGON SAVINGS GROWTH PLAN as of 3/31/2019
3/31/2019
3.87%
Materials
3.98%
Other
3.12%
Real Estate
0.88%
Utilities
8.78%
Communication
Serv ices
19.05%
Consumer
Discretionary
3.54%
Consumer Staples
5.88%
Energy
4.39%
Financials
9.56%
Health Care
7.56%
Industrials
29.40%
Information
Technology
Market Value Allocation - Equities (Quarter over Quarter)
12/31/2018
22.32%
Information
Technology
4.62%
Materials
4.11%
Other
3.54%
Real Estate
1.34%
Utilities
6.67%
Communication
Serv ices
20.46%
Consumer
Discretionary
4.69%
Consumer Staples
8.79%
Energy
5.06%
Financials
6.59%
Health Care
11.81%
Industrials
The above charts illustrate the percent of PCRA participant assets in each noted asset class as percentage of total PCRA assets. Percentages are calculated as of quarter-end. Money Market Funds are classified under Mutual Funds.
Net Flow by Sector - Equities (3-Month Period Ending 3/31/2019)
-0.16M
-0.12M
-0.08M
-0.04M
0.00M
0.04M
0.08M
0.12M
Communication Services Consumer Discretionary Consumer Staples Energy Financials
Health Care Industrials Information Technology Materials Other
Real Estate Uti l i ties
Net Flow is the net of all cash inflows and outflows in and out of financial assets; the performance of an asset or fund is not taken into account, only share redemptions, or outflows, and share purchases, or inflows.
©2017 Charles Schwab & Co., Inc. (“Schwab”). Member SIPC. All rights reserved.
For Institutional Use OnlyCompliance number: 0517-ZGX6
The Schwab Personal Choice Retirement Account (PCRA) Quarterly Report
OREGON SAVINGS GROWTH PLAN as of 3/31/2019
3/31/2019
8.08%
US FI
3.71%
Commodity
25.25%
International
Equity
0.04%
International FI
3.07%
Leveraged/Inverse
5.17%
Other
18.01%
Sector
36.67%
US Equity
Market Value Allocation - ETF (Quarter over Quarter)
12/31/2018
8.02%
US FI
5.15%
Commodity
23.07%
International
Equity
0.04%
International FI
2.92%
Leveraged/Inverse
0.36%
Other
16.75%
Sector
43.69%
US Equity
The above charts illustrate the percent of PCRA participant assets in each noted asset class as percentage of total PCRA assets. Percentages are calculated as of quarter-end. Money Market Funds are classified under Mutual Funds.
Net Flow by Sector - ETF (3-Month Period Ending 3/31/2019)
-0.20M
-0.15M
-0.10M
-0.05M
0.00M
0.05M
0.10M
0.15M
0.20M
Commodity International Equi ty International FI Leveraged/Inverse Other Sector US Equity
US FI
Net Flow is the net of all cash inflows and outflows in and out of financial assets; the performance of an asset or fund is not taken into account, only share redemptions, or outflows, and share purchases, or inflows.
©2017 Charles Schwab & Co., Inc. (“Schwab”). Member SIPC. All rights reserved.
For Institutional Use OnlyCompliance number: 0517-ZGX6
The Schwab Personal Choice Retirement Account (PCRA) Quarterly Report
OREGON SAVINGS GROWTH PLAN as of 3/31/2019
Average Monthly Trades Per Account (3-Month Period Ending 3/31/2019)
0.00
0.20
0.40
0.60
0.80
1.00
1.20
1.40
1/1/2019 2/1/2019 3/1/2019
Equities ETFs Fixed Income Mutual Funds
Trading Channel Mix (Month over Month)
0%
10%
20%
30%
40%
50%
60%
70%
80%
90%
100%
1/1/2019 2/1/2019 3/1/2019
41%33% 35%
27%
21%29%
1%
31%
46%35%
Investment Manager Live Representative Mobile Web
©2017 Charles Schwab & Co., Inc. (“Schwab”). Member SIPC. All rights reserved.
For Institutional Use OnlyCompliance number: 0517-ZGX6
The Schwab Personal Choice Retirement Account (PCRA) Quarterly Report
OREGON SAVINGS GROWTH PLAN as of 3/31/2019
Important Disclosures
Schwab Personal Choice Retirement Account (PCRA) is offered through Charles Schwab & Co., Inc. (Member SIPC), the registered broker/dealer, which also provides other brokerage and custody services to its customers.
For participants who utilize the Personal Choice Retirement Account (PCRA), the following fees and conditions may apply: Schwab's shortterm redemption fee of $49.95 will be charged on redemption of funds purchased through Schwab's Mutual Fund OneSource® service (and certain other funds with no transaction fee) and held for 90 days or less. Schwab reserves the right to exempt certain funds from this fee, including Schwab Funds®, which may charge a separate redemption fee, and funds that accommodate short-term trading.
Trades in no-load mutual funds available through Mutual Funds OneSource service (including Schwab Funds) as well as certain other funds, are available without transaction fees when placed through schwab.com or our automated phone channels. Schwab reserves the right to change the funds we make available without transaction fees and to reinstate fees on any funds. Funds are also subject to management fees and expenses.
Charles Schwab & Co., Inc., member SIPC, receives remuneration from fund companies for record keeping, shareholder services and other administrative services for shares purchased through its Mutual Fund OneSource service. Schwab also may receive remuneration from transaction fee fund companies for certain administrative services.
This material is for institutional use only.
The information contained herein is obtained from third-party sources and believed to be reliable, but its accuracy or completeness is not guaranteed. This report is for informational purposes only and is not a solicitation, or a recommendation that any particular investor should purchase or sell any particular security.
©2017 Charles Schwab & Co., Inc. (“Schwab”). Member SIPC. All rights reserved.
For Institutional Use OnlyCompliance number: 0517-ZGX6
Allocation of Stocks and Bonds Portfolio Analysis
045 40 35 30 25 20 15 10 5
10080
60
40
200
Years Until RetirementBlack line designates target allocation for the Fund as of the date of this report.
% AllocationBonds
U.S. Stocks
Non-U.S. Stocks
Cash
Other
Investment Objective and StrategyThe Fund seeks to provide for retirement outcomes consistent with investor preferences throughout the savings and draw down phase based on quantitatively measured risk that investors, on average, may be willing to accept.
The Fund is a collective investment trust maintained and managed by BlackRock Institutional Trust Company, N.A. ("BTC").The Fund shall be invested and reinvested in securities and other assets with the objective of providing for retirement
outcomes consistent with investor preferences throughout the savings and drawdown phase based on quantitatively measured risk that investors, on average, may be willing to accept.
In pursuit of that objective, the Fund will be broadly diversified across global asset classes, with asset allocations becoming more conservative over time if the Fund has a year in its name. The Fund’s investments may include: equity securities (including those issued by real estate companies); depositary receipts; debt securities and other fixed income obligations (including those issued or guaranteed by the U.S. government, its agencies or instrumentalities, and those issued by corporations or other entities); mortgage-backed securities; other asset-backed securities; commodities; and/or cash equivalents.
The Fund may invest in securities and other obligations of U.S. issuers or non-U.S. issuers, and those issuers may be of any market capitalization. The Fund's fixed income investments may be investment-grade or non-investment grade, and may include securities and other obligations of any maturity.
In addition to, or in lieu of, investing in the assets listed above, the Fund may engage in structured transactions in these asset classes, as well as over-the-counter forward contracts, swaps and options. When deemed appropriate by BTC, the Fund may invest in futures contracts, for the purpose of acting as a temporary substitute for investment in securities and/or to gain exposure to commodities.
The difference between the normal and current securities holdings for the Fund varies over time and is based on the factors analyzed by the asset allocation model used by BTC to manage the Fund. The normal asset allocations will gradually change over the investment horizon of the Fund to become more heavily oriented toward debt and debt-like securities. As time passes, the Fund is managed more conservatively – prior to retirement – in terms of its allocation to equity securities and markets, on the premise that individuals investing for retirement desire to reduce investment risk in their retirement accounts as their retirement date approaches.
The trajectory along which asset allocations are adjusted over time to gradually become more conservative is called the “glidepath”. The glidepath illustrates the target allocation among asset classes as the Fund approaches its target date. The target asset allocation of the Fund at its retirement date is expected to be 40% in underlying index funds that invest primarily in equity and equity-like securities and 60% in underlying index funds that invest primarily in fixed income and fixed income-like securities.
BTC employs a proprietary investment model that analyzes securities market data, including risk, correlation and expected return statistics, to recommend the portfolio allocation among the asset classes.
Rather than choosing specific securities within each asset class, BTC selects among indices representing segments of the global equity and debt markets and invests in securities that comprise the chosen index. The Fund generally invests in a chosen index through a series of collective investment trusts maintained and managed by BTC, each such fund representing one of the indices (each, an "Underlying Fund").
In the event of a conflict between this summary description of the Fund's investment objective and principal investment strategies and the Trust Document under which the Fund was established, the Trust Document will govern. For more information related to the Fund, please see the Fund's Trust Document, Profile and most recent audited financial statements.
Top 10 Holdings as of 03-31-19 % Assets
U.S. Debt Index Fund E 48.69Russell 1000 Index Fund 22.97BlackRock MSCI ACWI ex-US IMI Index Fd E 13.17U.S. TIPS Fund E 7.69Russell 2000 Index Fund 3.34.......................................................................................................Commodity Index Daily Fund E 3.26Developed Real Estate Index Fund E 0.89
Morningstar Super Sectors as of 03-31-19 % Fund
h Cyclical 39.39j Sensitive 38.13k Defensive 22.48
Morningstar F-I Sectors as of 03-31-19 % Fund % Category
⁄ Government 48.37 36.27› Corporate 19.81 26.39€ Securitized 21.20 18.21‹ Municipal 0.47 0.48fi Cash 10.15 15.07 Other 0.00 3.58
Investment InformationOperations and Management
Product Inception Date 08-26-11Strategy Inception Date 08-01-05Total Fund Assets ($mil) 1,268.22Investment Manager BlackRock Institutional Trust
Company NA
.........................................................................................................................
Annual Turnover Ratio % 14.05
Fees and Expenses as of 12-31-18
Total Annual Operating Expense % 0.09%Total Annual Operating Expense per $1000 $0.90
Additional Information for Total Annual Operating Expense
The Total Annual Operating Expense ratio noted above("TAOE") reflects a management fee and administrative costs.The administrative costs are capped at one (1) basis point(0.01%) per year. The TAOE may also, if applicable, reflectcertain third party acquired fund fees and expenses. Theremay be other fees and expenses not reflected in the TAOEthat bear on the value of the investment. The PortfolioTurnover Rate is that of the collective investment fund inwhich the Fund invests exclusively, either directly orindirectly.
Release Date: 03-31-2019
BlackRock LifePath® Index 2020 Fund L .................................................................................................................................................................................................................................................................................................................................................................................................Primary Benchmark Custom Benchmark Morningstar Category Overall Morningstar Rating™ Morningstar Return Morningstar RiskBloomberg Barclays U.S.Aggregate Bond Index
BlackRock LifePath® Index2020 Custom Benchmark
Target-Date 2020 QQQ Average Below AverageSee disclosure for details.
697936 ©2019 Morningstar, Inc., Morningstar Investment Profiles™ 312-696-6000. All rights reserved. The information contained herein: (1) is proprietary toMorningstar and/or its content providers; (2) may not be copied or distributed and (3) is not warranted to be accurate, complete or timely. NeitherMorningstar nor its content providers are responsible for any damages or losses arising from any use of information. Past performance is no guarantee offuture performance. Visit our investment website at www.morningstar.com.
ß® Page 1 of 4
Benchmark DescriptionThe BlackRock LifePath® Index 2020 Fund L's CustomBenchmark is a comparison benchmark for the performanceof the Fund. The Custom Benchmark is calculated usingblended returns of third party indices that proportionallyreflect the respective weightings of the Fund's asset classes.The third party index proportions of the Custom Benchmarkare adjusted quarterly to reflect the Fund's changing assetallocations over time. As the Fund's asset classes have beenre-defined or added over time, the indices used to calculatethe Custom Benchmark have changed accordingly. As ofDecember 31, 2018, the indices used to calculate theCustom Benchmark are: Russell 1000® Index, Russell2000® Index, MSCI ACWI ex-US IMI Net Dividend ReturnIndex[sm], Bloomberg Barclays U.S. Aggregate Bond Index,Bloomberg Barclays U.S. Treasury Inflation ProtectedSecurities (TIPS) Index (Series-L), FTSE EPRA NareitDeveloped Index, and the Bloomberg Commodity Index TotalReturn.
Volatility Analysis
Low Moderate High
Investment
Category
In the past, this investment has shown a relatively smallrange of price fluctuations relative to other investments.Based on this measure, currently more than two-thirds of allinvestments have shown higher levels of risk. Consequently,this investment may appeal to investors looking for aconservative investment strategy.
Best 3 Month Return Worst 3 Month Return
20.37% -23.09%(Mar '09 - May '09) (Sep '08 - Nov '08)
Performance
L1 L2 L3 L4 L5 L6
-9
-6
-3
0
3
6
9
12 Total Return% as of 03-31-19
InvestmentPrimary BmarkCustom Bmark
Average annual, if greaterthan 1 year
Since Inception 10 Year 5 Year 3 Year 1 Year YTD
5.35 8.95 4.62 6.27 3.96 7.09 Investment Return %4.04 3.77 2.74 2.03 4.48 2.94 Primary Bmark Return %5.36 8.93 4.56 6.22 3.98 7.03 Custom Bmark Return %........................................................................................................................................................................................................... QQQ QQQ QQ . . Morningstar Rating™. 106 166 204 . . # of Funds in Category
Performance Disclosure: The Fund's returns are net of an investment management fee, currently at an annual rateof 0.08%. The Fund’s performance reflects fund level administrative costs capped at 1 basis point (0.01%) per year.Since its inception the Fund has invested all of its assets in LifePath Index 2020 Fund F. Returns shown for periodsprior to the Fund's inception are those of the LifePath Index 2020 Fund F net of the Fund's investment managementfee.
Principal RisksAny of the principal risks summarized below may adversely affect the Fund's net asset value, performance, and ability to meet itsinvestment objective. An investment in the Fund is not a bank deposit, is not guaranteed by BlackRock, Inc. or any of its affiliates,and is not insured by the Federal Deposit Insurance Corporation or any other agency of the U.S. government.
Equity Investment Risk: The price of an equity security fluctuates based on changes in the issuer’s financial condition andoverall market and economic conditions. Equity securities are subject to changes in value that may be more volatile than otherasset classes.
Foreign Investment Risk 1: The Fund may suffer losses due to political, legal, economic and geographic events affecting anon-U.S. issuer or market. The prices of non-U.S. securities may be more volatile than those of securities issued by U.S.corporations or other U.S. entities. Securities of non-U.S. issuers denominated in non-U.S. currencies will expose the Fund tofluctuations in foreign currency exchange prices.
Target Date Risk 1: A “target date” fund may incur losses close to or after the fund's target retirement date, and there is noguarantee that the Fund will provide adequate income for an investor’s retirement.
Asset Allocation Model Risk: The asset allocation model may not effectively maximize returns or minimize risk, or beappropriate for every investor seeking a particular risk profile. The model developed by BTC could result in underperformance ascompared to funds with similar investment objectives and strategies.
Commodity-Related Investment Risk 2: The value of commodity-linked derivative investments may be significantly affectedby changes in overall market movements, commodity index volatility, changes in interest rates, or factors affecting a particularindustry or commodity, such as drought, floods, weather, embargoes, tariffs and international economic, political and regulatorydevelopments.
Securities Lending Risk 1: The Fund may engage in securities lending, which involves borrower credit risk, settlement risk,and cash collateral-related risks, such as the risk that the return on the cash collateral is insufficient to cover the fees the Fund iscommitted to pay and the risk that cash collateral may be invested in securities or other instruments that suffer losses orbecome illiquid.
Derivatives Risk 1: Investments in derivatives (such as futures contracts, forward contracts, swaps and options) may reducethe Fund's returns and/or increase volatility. Fluctuations in the values of derivatives may not correlate perfectly with the overallsecurities markets. The other party in the transaction may not fulfill its contractual obligation. The possible lack of a liquidsecondary market for derivatives could expose the Fund to losses.
Real Estate-Related Investment Risk 2: Real estate values can be negatively affected by many factors including both thegeneral and local economies, the amount of new construction in a particular area, the laws and regulations affecting real estate,the costs of owning, maintaining and improving real estate, availability of mortgages, and changes in interest rates.
Underlying Fund Risk 2: The investment objective and strategies of an Underlying Fund in which the Fund invests may differfrom the Fund, and there is no assurance that an Underlying Fund will achieve its objective.
Fixed Income Investment Risk 10: An increase in interest rates may cause the value of fixed income securities held by theFund to decline. The Fund's income may decline when interest rates fall. Debt issuers may not honor their obligations. Securitiesthat are rated below investment grade may be more volatile and less liquid than higher-rated securities of similar maturity.
Release Date: 03-31-2019
BlackRock LifePath® Index 2020 Fund L .................................................................................................................................................................................................................................................................................................................................................................................................Primary Benchmark Custom Benchmark Morningstar Category Overall Morningstar Rating™ Morningstar Return Morningstar RiskBloomberg Barclays U.S.Aggregate Bond Index
BlackRock LifePath® Index2020 Custom Benchmark
Target-Date 2020 QQQ Average Below AverageSee disclosure for details.
697936 ©2019 Morningstar, Inc., Morningstar Investment Profiles™ 312-696-6000. All rights reserved. The information contained herein: (1) is proprietary toMorningstar and/or its content providers; (2) may not be copied or distributed and (3) is not warranted to be accurate, complete or timely. NeitherMorningstar nor its content providers are responsible for any damages or losses arising from any use of information. Past performance is no guarantee offuture performance. Visit our investment website at www.morningstar.com.
ß® Page 2 of 4
Allocation of Stocks and Bonds Portfolio Analysis
045 40 35 30 25 20 15 10 5
10080
60
40
200
Years Until RetirementBlack line designates target allocation for the Fund as of the date of this report.
% AllocationBonds
U.S. Stocks
Non-U.S. Stocks
Cash
Other
Investment Objective and StrategyThe Fund seeks to provide for retirement outcomes consistent with investor preferences throughout the savings and draw down phase based on quantitatively measured risk that investors, on average, may be willing to accept.
The Fund is a collective investment trust maintained and managed by BlackRock Institutional Trust Company, N.A. ("BTC").The Fund shall be invested and reinvested in securities and other assets with the objective of providing for retirement
outcomes consistent with investor preferences throughout the savings and drawdown phase based on quantitatively measured risk that investors, on average, may be willing to accept.
In pursuit of that objective, the Fund will be broadly diversified across global asset classes, with asset allocations becoming more conservative over time if the Fund has a year in its name. The Fund’s investments may include: equity securities (including those issued by real estate companies); depositary receipts; debt securities and other fixed income obligations (including those issued or guaranteed by the U.S. government, its agencies or instrumentalities, and those issued by corporations or other entities); mortgage-backed securities; other asset-backed securities; commodities; and/or cash equivalents.
The Fund may invest in securities and other obligations of U.S. issuers or non-U.S. issuers, and those issuers may be of any market capitalization. The Fund's fixed income investments may be investment-grade or non-investment grade, and may include securities and other obligations of any maturity.
In addition to, or in lieu of, investing in the assets listed above, the Fund may engage in structured transactions in these asset classes, as well as over-the-counter forward contracts, swaps and options. When deemed appropriate by BTC, the Fund may invest in futures contracts, for the purpose of acting as a temporary substitute for investment in securities and/or to gain exposure to commodities.
The difference between the normal and current securities holdings for the Fund varies over time and is based on the factors analyzed by the asset allocation model used by BTC to manage the Fund. The normal asset allocations will gradually change over the investment horizon of the Fund to become more heavily oriented toward debt and debt-like securities. As time passes, the Fund is managed more conservatively – prior to retirement – in terms of its allocation to equity securities and markets, on the premise that individuals investing for retirement desire to reduce investment risk in their retirement accounts as their retirement date approaches.
The trajectory along which asset allocations are adjusted over time to gradually become more conservative is called the “glidepath”. The glidepath illustrates the target allocation among asset classes as the Fund approaches its target date. The target asset allocation of the Fund at its retirement date is expected to be 40% in underlying index funds that invest primarily in equity and equity-like securities and 60% in underlying index funds that invest primarily in fixed income and fixed income-like securities.
BTC employs a proprietary investment model that analyzes securities market data, including risk, correlation and expected return statistics, to recommend the portfolio allocation among the asset classes.
Rather than choosing specific securities within each asset class, BTC selects among indices representing segments of the global equity and debt markets and invests in securities that comprise the chosen index. The Fund generally invests in a chosen index through a series of collective investment trusts maintained and managed by BTC, each such fund representing one of the indices (each, an "Underlying Fund").
In the event of a conflict between this summary description of the Fund's investment objective and principal investment strategies and the Trust Document under which the Fund was established, the Trust Document will govern. For more information related to the Fund, please see the Fund's Trust Document, Profile and most recent audited financial statements.
Top 10 Holdings as of 03-31-19 % Assets
U.S. Debt Index Fund E 37.21Russell 1000 Index Fund 29.25BlackRock MSCI ACWI ex-US IMI Index Fd E 17.90U.S. TIPS Fund E 5.74Developed Real Estate Index Fund E 3.91.......................................................................................................Commodity Index Daily Fund E 3.20Russell 2000 Index Fund 2.80
Morningstar Super Sectors as of 03-31-19 % Fund
h Cyclical 42.55j Sensitive 36.15k Defensive 21.30
Morningstar F-I Sectors as of 03-31-19 % Fund % Category
⁄ Government 47.29 35.18› Corporate 19.49 26.44€ Securitized 20.86 18.51‹ Municipal 0.46 0.36fi Cash 11.90 15.22 Other 0.00 4.28
Investment InformationOperations and Management
Product Inception Date 08-26-11Strategy Inception Date 07-05-06Total Fund Assets ($mil) 1,574.28Investment Manager BlackRock Institutional Trust
Company NA
.........................................................................................................................
Annual Turnover Ratio % 16.18
Fees and Expenses as of 12-31-18
Total Annual Operating Expense % 0.09%Total Annual Operating Expense per $1000 $0.90
Additional Information for Total Annual Operating Expense
The Total Annual Operating Expense ratio noted above("TAOE") reflects a management fee and administrative costs.The administrative costs are capped at one (1) basis point(0.01%) per year. The TAOE may also, if applicable, reflectcertain third party acquired fund fees and expenses. Theremay be other fees and expenses not reflected in the TAOEthat bear on the value of the investment. The PortfolioTurnover Rate is that of the collective investment fund inwhich the Fund invests exclusively, either directly orindirectly.
Release Date: 03-31-2019
BlackRock LifePath® Index 2025 Fund L .................................................................................................................................................................................................................................................................................................................................................................................................Primary Benchmark Custom Benchmark Morningstar Category Overall Morningstar Rating™ Morningstar Return Morningstar RiskRussell 1000® Index BlackRock LifePath® Index
2025 Custom BenchmarkTarget-Date 2025 QQQ Average Below Average
See disclosure for details.
697945 ©2019 Morningstar, Inc., Morningstar Investment Profiles™ 312-696-6000. All rights reserved. The information contained herein: (1) is proprietary toMorningstar and/or its content providers; (2) may not be copied or distributed and (3) is not warranted to be accurate, complete or timely. NeitherMorningstar nor its content providers are responsible for any damages or losses arising from any use of information. Past performance is no guarantee offuture performance. Visit our investment website at www.morningstar.com.
ß® Page 1 of 4
Benchmark DescriptionThe BlackRock LifePath® Index 2025 Fund L's CustomBenchmark is a comparison benchmark for the performanceof the Fund. The Custom Benchmark is calculated usingblended returns of third party indices that proportionallyreflect the respective weightings of the Fund's asset classes.The third party index proportions of the Custom Benchmarkare adjusted quarterly to reflect the Fund's changing assetallocations over time. As the Fund's asset classes have beenre-defined or added over time, the indices used to calculatethe Custom Benchmark have changed accordingly. As ofDecember 31, 2018, the indices used to calculate theCustom Benchmark are: Russell 1000® Index, Russell2000® Index, MSCI ACWI ex-US IMI Net Dividend ReturnIndex[sm], Bloomberg Barclays U.S. Aggregate Bond Index,Bloomberg Barclays U.S. Treasury Inflation ProtectedSecurities (TIPS) Index (Series-L), FTSE EPRA NareitDeveloped Index, and the Bloomberg Commodity Index TotalReturn.
Volatility Analysis
Low Moderate High
Investment
Category
In the past, this investment has shown a relatively smallrange of price fluctuations relative to other investments.Based on this measure, currently more than two-thirds of allinvestments have shown higher levels of risk. Consequently,this investment may appeal to investors looking for aconservative investment strategy.
Best 3 Month Return Worst 3 Month Return
22.96% -25.47%(Mar '09 - May '09) (Sep '08 - Nov '08)
Performance
L1 L2 L3 L4 L5 L6
-15
-10
-5
0
5
10
15
20 Total Return% as of 03-31-19
InvestmentPrimary BmarkCustom Bmark
Average annual, if greaterthan 1 year
Since Inception 10 Year 5 Year 3 Year 1 Year YTD
5.54 9.83 5.17 7.29 4.21 8.40 Investment Return %8.84 16.05 10.63 13.52 9.30 14.00 Primary Bmark Return %5.50 9.80 5.10 7.21 4.21 8.35 Custom Bmark Return %........................................................................................................................................................................................................... QQQ QQQ QQQ . . Morningstar Rating™. 74 147 187 . . # of Funds in Category
Performance Disclosure: The Fund's returns are net of an investment management fee, currently at an annual rateof 0.08%. The Fund’s performance reflects fund level administrative costs capped at 1 basis point (0.01%) per year.Since its inception the Fund has invested all of its assets in LifePath Index 2025 Fund F. Returns shown for periodsprior to the Fund's inception are those of the LifePath Index 2025 Fund F net of the Fund's investment managementfee.
Principal RisksAny of the principal risks summarized below may adversely affect the Fund's net asset value, performance, and ability to meet itsinvestment objective. An investment in the Fund is not a bank deposit, is not guaranteed by BlackRock, Inc. or any of its affiliates,and is not insured by the Federal Deposit Insurance Corporation or any other agency of the U.S. government.
Equity Investment Risk: The price of an equity security fluctuates based on changes in the issuer’s financial condition andoverall market and economic conditions. Equity securities are subject to changes in value that may be more volatile than otherasset classes.
Foreign Investment Risk 1: The Fund may suffer losses due to political, legal, economic and geographic events affecting anon-U.S. issuer or market. The prices of non-U.S. securities may be more volatile than those of securities issued by U.S.corporations or other U.S. entities. Securities of non-U.S. issuers denominated in non-U.S. currencies will expose the Fund tofluctuations in foreign currency exchange prices.
Target Date Risk 1: A “target date” fund may incur losses close to or after the fund's target retirement date, and there is noguarantee that the Fund will provide adequate income for an investor’s retirement.
Asset Allocation Model Risk: The asset allocation model may not effectively maximize returns or minimize risk, or beappropriate for every investor seeking a particular risk profile. The model developed by BTC could result in underperformance ascompared to funds with similar investment objectives and strategies.
Commodity-Related Investment Risk 2: The value of commodity-linked derivative investments may be significantly affectedby changes in overall market movements, commodity index volatility, changes in interest rates, or factors affecting a particularindustry or commodity, such as drought, floods, weather, embargoes, tariffs and international economic, political and regulatorydevelopments.
Securities Lending Risk 1: The Fund may engage in securities lending, which involves borrower credit risk, settlement risk,and cash collateral-related risks, such as the risk that the return on the cash collateral is insufficient to cover the fees the Fund iscommitted to pay and the risk that cash collateral may be invested in securities or other instruments that suffer losses orbecome illiquid.
Derivatives Risk 1: Investments in derivatives (such as futures contracts, forward contracts, swaps and options) may reducethe Fund's returns and/or increase volatility. Fluctuations in the values of derivatives may not correlate perfectly with the overallsecurities markets. The other party in the transaction may not fulfill its contractual obligation. The possible lack of a liquidsecondary market for derivatives could expose the Fund to losses.
Real Estate-Related Investment Risk 2: Real estate values can be negatively affected by many factors including both thegeneral and local economies, the amount of new construction in a particular area, the laws and regulations affecting real estate,the costs of owning, maintaining and improving real estate, availability of mortgages, and changes in interest rates.
Underlying Fund Risk 2: The investment objective and strategies of an Underlying Fund in which the Fund invests may differfrom the Fund, and there is no assurance that an Underlying Fund will achieve its objective.
Fixed Income Investment Risk 10: An increase in interest rates may cause the value of fixed income securities held by theFund to decline. The Fund's income may decline when interest rates fall. Debt issuers may not honor their obligations. Securitiesthat are rated below investment grade may be more volatile and less liquid than higher-rated securities of similar maturity.
Release Date: 03-31-2019
BlackRock LifePath® Index 2025 Fund L .................................................................................................................................................................................................................................................................................................................................................................................................Primary Benchmark Custom Benchmark Morningstar Category Overall Morningstar Rating™ Morningstar Return Morningstar RiskRussell 1000® Index BlackRock LifePath® Index
2025 Custom BenchmarkTarget-Date 2025 QQQ Average Below Average
See disclosure for details.
697945 ©2019 Morningstar, Inc., Morningstar Investment Profiles™ 312-696-6000. All rights reserved. The information contained herein: (1) is proprietary toMorningstar and/or its content providers; (2) may not be copied or distributed and (3) is not warranted to be accurate, complete or timely. NeitherMorningstar nor its content providers are responsible for any damages or losses arising from any use of information. Past performance is no guarantee offuture performance. Visit our investment website at www.morningstar.com.
ß® Page 2 of 4
Allocation of Stocks and Bonds Portfolio Analysis
045 40 35 30 25 20 15 10 5
10080
60
40
200
Years Until RetirementBlack line designates target allocation for the Fund as of the date of this report.
% AllocationBonds
U.S. Stocks
Non-U.S. Stocks
Cash
Other
Investment Objective and StrategyThe Fund seeks to provide for retirement outcomes consistent with investor preferences throughout the savings and draw down phase based on quantitatively measured risk that investors, on average, may be willing to accept.
The Fund is a collective investment trust maintained and managed by BlackRock Institutional Trust Company, N.A. ("BTC").The Fund shall be invested and reinvested in securities and other assets with the objective of providing for retirement
outcomes consistent with investor preferences throughout the savings and drawdown phase based on quantitatively measured risk that investors, on average, may be willing to accept.
In pursuit of that objective, the Fund will be broadly diversified across global asset classes, with asset allocations becoming more conservative over time if the Fund has a year in its name. The Fund’s investments may include: equity securities (including those issued by real estate companies); depositary receipts; debt securities and other fixed income obligations (including those issued or guaranteed by the U.S. government, its agencies or instrumentalities, and those issued by corporations or other entities); mortgage-backed securities; other asset-backed securities; commodities; and/or cash equivalents.
The Fund may invest in securities and other obligations of U.S. issuers or non-U.S. issuers, and those issuers may be of any market capitalization. The Fund's fixed income investments may be investment-grade or non-investment grade, and may include securities and other obligations of any maturity.
In addition to, or in lieu of, investing in the assets listed above, the Fund may engage in structured transactions in these asset classes, as well as over-the-counter forward contracts, swaps and options. When deemed appropriate by BTC, the Fund may invest in futures contracts, for the purpose of acting as a temporary substitute for investment in securities and/or to gain exposure to commodities.
The difference between the normal and current securities holdings for the Fund varies over time and is based on the factors analyzed by the asset allocation model used by BTC to manage the Fund. The normal asset allocations will gradually change over the investment horizon of the Fund to become more heavily oriented toward debt and debt-like securities. As time passes, the Fund is managed more conservatively – prior to retirement – in terms of its allocation to equity securities and markets, on the premise that individuals investing for retirement desire to reduce investment risk in their retirement accounts as their retirement date approaches.
The trajectory along which asset allocations are adjusted over time to gradually become more conservative is called the “glidepath”. The glidepath illustrates the target allocation among asset classes as the Fund approaches its target date. The target asset allocation of the Fund at its retirement date is expected to be 40% in underlying index funds that invest primarily in equity and equity-like securities and 60% in underlying index funds that invest primarily in fixed income and fixed income-like securities.
BTC employs a proprietary investment model that analyzes securities market data, including risk, correlation and expected return statistics, to recommend the portfolio allocation among the asset classes.
Rather than choosing specific securities within each asset class, BTC selects among indices representing segments of the global equity and debt markets and invests in securities that comprise the chosen index. The Fund generally invests in a chosen index through a series of collective investment trusts maintained and managed by BTC, each such fund representing one of the indices (each, an "Underlying Fund").
In the event of a conflict between this summary description of the Fund's investment objective and principal investment strategies and the Trust Document under which the Fund was established, the Trust Document will govern. For more information related to the Fund, please see the Fund's Trust Document, Profile and most recent audited financial statements.
Top 10 Holdings as of 03-31-19 % Assets
Russell 1000 Index Fund 34.62U.S. Debt Index Fund E 27.38BlackRock MSCI ACWI ex-US IMI Index Fd E 22.00Developed Real Estate Index Fund E 6.30U.S. TIPS Fund E 4.13.......................................................................................................Commodity Index Daily Fund E 3.11Russell 2000 Index Fund 2.47
Morningstar Super Sectors as of 03-31-19 % Fund
h Cyclical 44.04j Sensitive 35.21k Defensive 20.73
Morningstar F-I Sectors as of 03-31-19 % Fund % Category
⁄ Government 45.85 37.06› Corporate 19.00 25.04€ Securitized 20.33 16.61‹ Municipal 0.45 0.50fi Cash 14.37 16.47 Other 0.00 4.32
Investment InformationOperations and Management
Product Inception Date 08-26-11Strategy Inception Date 08-01-05Total Fund Assets ($mil) 1,801.89Investment Manager BlackRock Institutional Trust
Company NA
.........................................................................................................................
Annual Turnover Ratio % 14.78
Fees and Expenses as of 12-31-18
Total Annual Operating Expense % 0.09%Total Annual Operating Expense per $1000 $0.90
Additional Information for Total Annual Operating Expense
The Total Annual Operating Expense ratio noted above("TAOE") reflects a management fee and administrative costs.The administrative costs are capped at one (1) basis point(0.01%) per year. The TAOE may also, if applicable, reflectcertain third party acquired fund fees and expenses. Theremay be other fees and expenses not reflected in the TAOEthat bear on the value of the investment. The PortfolioTurnover Rate is that of the collective investment fund inwhich the Fund invests exclusively, either directly orindirectly.
Release Date: 03-31-2019
BlackRock LifePath® Index 2030 Fund L .................................................................................................................................................................................................................................................................................................................................................................................................Primary Benchmark Custom Benchmark Morningstar Category Overall Morningstar Rating™ Morningstar Return Morningstar RiskRussell 1000® Index BlackRock LifePath® Index
2030 Custom BenchmarkTarget-Date 2030 QQQ Average Below Average
See disclosure for details.
697963 ©2019 Morningstar, Inc., Morningstar Investment Profiles™ 312-696-6000. All rights reserved. The information contained herein: (1) is proprietary toMorningstar and/or its content providers; (2) may not be copied or distributed and (3) is not warranted to be accurate, complete or timely. NeitherMorningstar nor its content providers are responsible for any damages or losses arising from any use of information. Past performance is no guarantee offuture performance. Visit our investment website at www.morningstar.com.
ß® Page 1 of 4
Benchmark DescriptionThe BlackRock LifePath® Index 2030 Fund L's CustomBenchmark is a comparison benchmark for the performanceof the Fund. The Custom Benchmark is calculated usingblended returns of third party indices that proportionallyreflect the respective weightings of the Fund's asset classes.The third party index proportions of the Custom Benchmarkare adjusted quarterly to reflect the Fund's changing assetallocations over time. As the Fund's asset classes have beenre-defined or added over time, the indices used to calculatethe Custom Benchmark have changed accordingly. As ofDecember 31, 2018, the indices used to calculate theCustom Benchmark are: Russell 1000® Index, Russell2000® Index, MSCI ACWI ex-US IMI Net Dividend ReturnIndex[sm], Bloomberg Barclays U.S. Aggregate Bond Index,Bloomberg Barclays U.S. Treasury Inflation ProtectedSecurities (TIPS) Index (Series-L), FTSE EPRA NareitDeveloped Index, and the Bloomberg Commodity Index TotalReturn.
Volatility Analysis
Low Moderate High
Investment
Category
In the past, this investment has shown a relatively smallrange of price fluctuations relative to other investments.Based on this measure, currently more than two-thirds of allinvestments have shown higher levels of risk. Consequently,this investment may appeal to investors looking for aconservative investment strategy.
Best 3 Month Return Worst 3 Month Return
25.04% -27.47%(Mar '09 - May '09) (Sep '08 - Nov '08)
Performance
L1 L2 L3 L4 L5 L6
-15
-10
-5
0
5
10
15
20 Total Return% as of 03-31-19
InvestmentPrimary BmarkCustom Bmark
Average annual, if greaterthan 1 year
Since Inception 10 Year 5 Year 3 Year 1 Year YTD
5.87 10.60 5.66 8.19 4.38 9.50 Investment Return %8.60 16.05 10.63 13.52 9.30 14.00 Primary Bmark Return %5.85 10.55 5.56 8.08 4.37 9.46 Custom Bmark Return %........................................................................................................................................................................................................... QQQ QQQ QQQ . . Morningstar Rating™. 96 156 194 . . # of Funds in Category
Performance Disclosure: The Fund's returns are net of an investment management fee, currently at an annual rateof 0.08%. The Fund’s performance reflects fund level administrative costs capped at 1 basis point (0.01%) per year.Since its inception the Fund has invested all of its assets in LifePath Index 2030 Fund F. Returns shown for periodsprior to the Fund's inception are those of the LifePath Index 2030 Fund F net of the Fund's investment managementfee.
Principal RisksAny of the principal risks summarized below may adversely affect the Fund's net asset value, performance, and ability to meet itsinvestment objective. An investment in the Fund is not a bank deposit, is not guaranteed by BlackRock, Inc. or any of its affiliates,and is not insured by the Federal Deposit Insurance Corporation or any other agency of the U.S. government.
Equity Investment Risk: The price of an equity security fluctuates based on changes in the issuer’s financial condition andoverall market and economic conditions. Equity securities are subject to changes in value that may be more volatile than otherasset classes.
Foreign Investment Risk 1: The Fund may suffer losses due to political, legal, economic and geographic events affecting anon-U.S. issuer or market. The prices of non-U.S. securities may be more volatile than those of securities issued by U.S.corporations or other U.S. entities. Securities of non-U.S. issuers denominated in non-U.S. currencies will expose the Fund tofluctuations in foreign currency exchange prices.
Target Date Risk 1: A “target date” fund may incur losses close to or after the fund's target retirement date, and there is noguarantee that the Fund will provide adequate income for an investor’s retirement.
Asset Allocation Model Risk: The asset allocation model may not effectively maximize returns or minimize risk, or beappropriate for every investor seeking a particular risk profile. The model developed by BTC could result in underperformance ascompared to funds with similar investment objectives and strategies.
Commodity-Related Investment Risk 2: The value of commodity-linked derivative investments may be significantly affectedby changes in overall market movements, commodity index volatility, changes in interest rates, or factors affecting a particularindustry or commodity, such as drought, floods, weather, embargoes, tariffs and international economic, political and regulatorydevelopments.
Securities Lending Risk 1: The Fund may engage in securities lending, which involves borrower credit risk, settlement risk,and cash collateral-related risks, such as the risk that the return on the cash collateral is insufficient to cover the fees the Fund iscommitted to pay and the risk that cash collateral may be invested in securities or other instruments that suffer losses orbecome illiquid.
Derivatives Risk 1: Investments in derivatives (such as futures contracts, forward contracts, swaps and options) may reducethe Fund's returns and/or increase volatility. Fluctuations in the values of derivatives may not correlate perfectly with the overallsecurities markets. The other party in the transaction may not fulfill its contractual obligation. The possible lack of a liquidsecondary market for derivatives could expose the Fund to losses.
Real Estate-Related Investment Risk 2: Real estate values can be negatively affected by many factors including both thegeneral and local economies, the amount of new construction in a particular area, the laws and regulations affecting real estate,the costs of owning, maintaining and improving real estate, availability of mortgages, and changes in interest rates.
Underlying Fund Risk 2: The investment objective and strategies of an Underlying Fund in which the Fund invests may differfrom the Fund, and there is no assurance that an Underlying Fund will achieve its objective.
Fixed Income Investment Risk 10: An increase in interest rates may cause the value of fixed income securities held by theFund to decline. The Fund's income may decline when interest rates fall. Debt issuers may not honor their obligations. Securitiesthat are rated below investment grade may be more volatile and less liquid than higher-rated securities of similar maturity.
Release Date: 03-31-2019
BlackRock LifePath® Index 2030 Fund L .................................................................................................................................................................................................................................................................................................................................................................................................Primary Benchmark Custom Benchmark Morningstar Category Overall Morningstar Rating™ Morningstar Return Morningstar RiskRussell 1000® Index BlackRock LifePath® Index
2030 Custom BenchmarkTarget-Date 2030 QQQ Average Below Average
See disclosure for details.
697963 ©2019 Morningstar, Inc., Morningstar Investment Profiles™ 312-696-6000. All rights reserved. The information contained herein: (1) is proprietary toMorningstar and/or its content providers; (2) may not be copied or distributed and (3) is not warranted to be accurate, complete or timely. NeitherMorningstar nor its content providers are responsible for any damages or losses arising from any use of information. Past performance is no guarantee offuture performance. Visit our investment website at www.morningstar.com.
ß® Page 2 of 4
Allocation of Stocks and Bonds Portfolio Analysis
045 40 35 30 25 20 15 10 5
10080
60
40
200
Years Until RetirementBlack line designates target allocation for the Fund as of the date of this report.
% AllocationBonds
U.S. Stocks
Non-U.S. Stocks
Cash
Other
Investment Objective and StrategyThe Fund seeks to provide for retirement outcomes consistent with investor preferences throughout the savings and draw down phase based on quantitatively measured risk that investors, on average, may be willing to accept.
The Fund is a collective investment trust maintained and managed by BlackRock Institutional Trust Company, N.A. ("BTC").The Fund shall be invested and reinvested in securities and other assets with the objective of providing for retirement
outcomes consistent with investor preferences throughout the savings and drawdown phase based on quantitatively measured risk that investors, on average, may be willing to accept.
In pursuit of that objective, the Fund will be broadly diversified across global asset classes, with asset allocations becoming more conservative over time if the Fund has a year in its name. The Fund’s investments may include: equity securities (including those issued by real estate companies); depositary receipts; debt securities and other fixed income obligations (including those issued or guaranteed by the U.S. government, its agencies or instrumentalities, and those issued by corporations or other entities); mortgage-backed securities; other asset-backed securities; commodities; and/or cash equivalents.
The Fund may invest in securities and other obligations of U.S. issuers or non-U.S. issuers, and those issuers may be of any market capitalization. The Fund's fixed income investments may be investment-grade or non-investment grade, and may include securities and other obligations of any maturity.
In addition to, or in lieu of, investing in the assets listed above, the Fund may engage in structured transactions in these asset classes, as well as over-the-counter forward contracts, swaps and options. When deemed appropriate by BTC, the Fund may invest in futures contracts, for the purpose of acting as a temporary substitute for investment in securities and/or to gain exposure to commodities.
The difference between the normal and current securities holdings for the Fund varies over time and is based on the factors analyzed by the asset allocation model used by BTC to manage the Fund. The normal asset allocations will gradually change over the investment horizon of the Fund to become more heavily oriented toward debt and debt-like securities. As time passes, the Fund is managed more conservatively – prior to retirement – in terms of its allocation to equity securities and markets, on the premise that individuals investing for retirement desire to reduce investment risk in their retirement accounts as their retirement date approaches.
The trajectory along which asset allocations are adjusted over time to gradually become more conservative is called the “glidepath”. The glidepath illustrates the target allocation among asset classes as the Fund approaches its target date. The target asset allocation of the Fund at its retirement date is expected to be 40% in underlying index funds that invest primarily in equity and equity-like securities and 60% in underlying index funds that invest primarily in fixed income and fixed income-like securities.
BTC employs a proprietary investment model that analyzes securities market data, including risk, correlation and expected return statistics, to recommend the portfolio allocation among the asset classes.
Rather than choosing specific securities within each asset class, BTC selects among indices representing segments of the global equity and debt markets and invests in securities that comprise the chosen index. The Fund generally invests in a chosen index through a series of collective investment trusts maintained and managed by BTC, each such fund representing one of the indices (each, an "Underlying Fund").
In the event of a conflict between this summary description of the Fund's investment objective and principal investment strategies and the Trust Document under which the Fund was established, the Trust Document will govern. For more information related to the Fund, please see the Fund's Trust Document, Profile and most recent audited financial statements.
Top 10 Holdings as of 03-31-19 % Assets
Russell 1000 Index Fund 39.62BlackRock MSCI ACWI ex-US IMI Index Fd E 25.83U.S. Debt Index Fund E 18.35Developed Real Estate Index Fund E 8.45Commodity Index Daily Fund E 2.90.......................................................................................................U.S. TIPS Fund E 2.71Russell 2000 Index Fund 2.14
Morningstar Super Sectors as of 03-31-19 % Fund
h Cyclical 44.98j Sensitive 34.64k Defensive 20.39
Morningstar F-I Sectors as of 03-31-19 % Fund % Category
⁄ Government 43.69 31.21› Corporate 18.21 26.15€ Securitized 19.49 16.68‹ Municipal 0.43 0.32fi Cash 18.19 20.51 Other 0.00 5.14
Investment InformationOperations and Management
Product Inception Date 08-26-11Strategy Inception Date 07-05-06Total Fund Assets ($mil) 1,408.69Investment Manager BlackRock Institutional Trust
Company NA
.........................................................................................................................
Annual Turnover Ratio % 13.35
Fees and Expenses as of 12-31-18
Total Annual Operating Expense % 0.09%Total Annual Operating Expense per $1000 $0.90
Additional Information for Total Annual Operating Expense
The Total Annual Operating Expense ratio noted above("TAOE") reflects a management fee and administrative costs.The administrative costs are capped at one (1) basis point(0.01%) per year. The TAOE may also, if applicable, reflectcertain third party acquired fund fees and expenses. Theremay be other fees and expenses not reflected in the TAOEthat bear on the value of the investment. The PortfolioTurnover Rate is that of the collective investment fund inwhich the Fund invests exclusively, either directly orindirectly.
Release Date: 03-31-2019
BlackRock LifePath® Index 2035 Fund L .................................................................................................................................................................................................................................................................................................................................................................................................Primary Benchmark Custom Benchmark Morningstar Category Overall Morningstar Rating™ Morningstar Return Morningstar RiskRussell 1000® Index BlackRock LifePath® Index
2035 Custom BenchmarkTarget-Date 2035 QQQ Average Below Average
See disclosure for details.
697972 ©2019 Morningstar, Inc., Morningstar Investment Profiles™ 312-696-6000. All rights reserved. The information contained herein: (1) is proprietary toMorningstar and/or its content providers; (2) may not be copied or distributed and (3) is not warranted to be accurate, complete or timely. NeitherMorningstar nor its content providers are responsible for any damages or losses arising from any use of information. Past performance is no guarantee offuture performance. Visit our investment website at www.morningstar.com.
ß® Page 1 of 4
Benchmark DescriptionThe BlackRock LifePath® Index 2035 Fund L's CustomBenchmark is a comparison benchmark for the performanceof the Fund. The Custom Benchmark is calculated usingblended returns of third party indices that proportionallyreflect the respective weightings of the Fund's asset classes.The third party index proportions of the Custom Benchmarkare adjusted quarterly to reflect the Fund's changing assetallocations over time. As the Fund's asset classes have beenre-defined or added over time, the indices used to calculatethe Custom Benchmark have changed accordingly. As ofDecember 31, 2018, the indices used to calculate theCustom Benchmark are: Russell 1000® Index, Russell2000® Index, MSCI ACWI ex-US IMI Net Dividend ReturnIndex[sm], Bloomberg Barclays U.S. Aggregate Bond Index,Bloomberg Barclays U.S. Treasury Inflation ProtectedSecurities (TIPS) Index (Series-L), FTSE EPRA NareitDeveloped Index, and the Bloomberg Commodity Index TotalReturn.
Volatility Analysis
Low Moderate High
Investment
Category
In the past, this investment has shown a relatively moderaterange of price fluctuations relative to other investments. Thisinvestment may experience larger or smaller price declines orprice increases depending on market conditions. Some of thisrisk may be offset by owning other investments with differentportfolio makeups or investment strategies.
Best 3 Month Return Worst 3 Month Return
27.24% -29.38%(Mar '09 - May '09) (Sep '08 - Nov '08)
Performance
L1 L2 L3 L4 L5 L6
-15
-10
-5
0
5
10
15
20 Total Return% as of 03-31-19
InvestmentPrimary BmarkCustom Bmark
Average annual, if greaterthan 1 year
Since Inception 10 Year 5 Year 3 Year 1 Year YTD
5.92 11.31 6.11 9.05 4.54 10.56 Investment Return %8.84 16.05 10.63 13.52 9.30 14.00 Primary Bmark Return %5.85 11.24 5.98 8.90 4.50 10.50 Custom Bmark Return %........................................................................................................................................................................................................... QQQ QQQ QQQ . . Morningstar Rating™. 69 142 182 . . # of Funds in Category
Performance Disclosure: The Fund's returns are net of an investment management fee, currently at an annual rateof 0.08%. The Fund’s performance reflects fund level administrative costs capped at 1 basis point (0.01%) per year.Since its inception the Fund has invested all of its assets in LifePath Index 2035 Fund F. Returns shown for periodsprior to the Fund's inception are those of the LifePath Index 2035 Fund F net of the Fund's investment managementfee.
Principal RisksAny of the principal risks summarized below may adversely affect the Fund's net asset value, performance, and ability to meet itsinvestment objective. An investment in the Fund is not a bank deposit, is not guaranteed by BlackRock, Inc. or any of its affiliates,and is not insured by the Federal Deposit Insurance Corporation or any other agency of the U.S. government.
Equity Investment Risk: The price of an equity security fluctuates based on changes in the issuer’s financial condition andoverall market and economic conditions. Equity securities are subject to changes in value that may be more volatile than otherasset classes.
Foreign Investment Risk 1: The Fund may suffer losses due to political, legal, economic and geographic events affecting anon-U.S. issuer or market. The prices of non-U.S. securities may be more volatile than those of securities issued by U.S.corporations or other U.S. entities. Securities of non-U.S. issuers denominated in non-U.S. currencies will expose the Fund tofluctuations in foreign currency exchange prices.
Target Date Risk 1: A “target date” fund may incur losses close to or after the fund's target retirement date, and there is noguarantee that the Fund will provide adequate income for an investor’s retirement.
Asset Allocation Model Risk: The asset allocation model may not effectively maximize returns or minimize risk, or beappropriate for every investor seeking a particular risk profile. The model developed by BTC could result in underperformance ascompared to funds with similar investment objectives and strategies.
Commodity-Related Investment Risk 2: The value of commodity-linked derivative investments may be significantly affectedby changes in overall market movements, commodity index volatility, changes in interest rates, or factors affecting a particularindustry or commodity, such as drought, floods, weather, embargoes, tariffs and international economic, political and regulatorydevelopments.
Securities Lending Risk 1: The Fund may engage in securities lending, which involves borrower credit risk, settlement risk,and cash collateral-related risks, such as the risk that the return on the cash collateral is insufficient to cover the fees the Fund iscommitted to pay and the risk that cash collateral may be invested in securities or other instruments that suffer losses orbecome illiquid.
Derivatives Risk 1: Investments in derivatives (such as futures contracts, forward contracts, swaps and options) may reducethe Fund's returns and/or increase volatility. Fluctuations in the values of derivatives may not correlate perfectly with the overallsecurities markets. The other party in the transaction may not fulfill its contractual obligation. The possible lack of a liquidsecondary market for derivatives could expose the Fund to losses.
Real Estate-Related Investment Risk 2: Real estate values can be negatively affected by many factors including both thegeneral and local economies, the amount of new construction in a particular area, the laws and regulations affecting real estate,the costs of owning, maintaining and improving real estate, availability of mortgages, and changes in interest rates.
Underlying Fund Risk 2: The investment objective and strategies of an Underlying Fund in which the Fund invests may differfrom the Fund, and there is no assurance that an Underlying Fund will achieve its objective.
Fixed Income Investment Risk 10: An increase in interest rates may cause the value of fixed income securities held by theFund to decline. The Fund's income may decline when interest rates fall. Debt issuers may not honor their obligations. Securitiesthat are rated below investment grade may be more volatile and less liquid than higher-rated securities of similar maturity.
Release Date: 03-31-2019
BlackRock LifePath® Index 2035 Fund L .................................................................................................................................................................................................................................................................................................................................................................................................Primary Benchmark Custom Benchmark Morningstar Category Overall Morningstar Rating™ Morningstar Return Morningstar RiskRussell 1000® Index BlackRock LifePath® Index
2035 Custom BenchmarkTarget-Date 2035 QQQ Average Below Average
See disclosure for details.
697972 ©2019 Morningstar, Inc., Morningstar Investment Profiles™ 312-696-6000. All rights reserved. The information contained herein: (1) is proprietary toMorningstar and/or its content providers; (2) may not be copied or distributed and (3) is not warranted to be accurate, complete or timely. NeitherMorningstar nor its content providers are responsible for any damages or losses arising from any use of information. Past performance is no guarantee offuture performance. Visit our investment website at www.morningstar.com.
ß® Page 2 of 4
Allocation of Stocks and Bonds Portfolio Analysis
045 40 35 30 25 20 15 10 5
10080
60
40
200
Years Until RetirementBlack line designates target allocation for the Fund as of the date of this report.
% AllocationBonds
U.S. Stocks
Non-U.S. Stocks
Cash
Other
Investment Objective and StrategyThe Fund seeks to provide for retirement outcomes consistent with investor preferences throughout the savings and draw down phase based on quantitatively measured risk that investors, on average, may be willing to accept.
The Fund is a collective investment trust maintained and managed by BlackRock Institutional Trust Company, N.A. ("BTC").The Fund shall be invested and reinvested in securities and other assets with the objective of providing for retirement
outcomes consistent with investor preferences throughout the savings and drawdown phase based on quantitatively measured risk that investors, on average, may be willing to accept.
In pursuit of that objective, the Fund will be broadly diversified across global asset classes, with asset allocations becoming more conservative over time if the Fund has a year in its name. The Fund’s investments may include: equity securities (including those issued by real estate companies); depositary receipts; debt securities and other fixed income obligations (including those issued or guaranteed by the U.S. government, its agencies or instrumentalities, and those issued by corporations or other entities); mortgage-backed securities; other asset-backed securities; commodities; and/or cash equivalents.
The Fund may invest in securities and other obligations of U.S. issuers or non-U.S. issuers, and those issuers may be of any market capitalization. The Fund's fixed income investments may be investment-grade or non-investment grade, and may include securities and other obligations of any maturity.
In addition to, or in lieu of, investing in the assets listed above, the Fund may engage in structured transactions in these asset classes, as well as over-the-counter forward contracts, swaps and options. When deemed appropriate by BTC, the Fund may invest in futures contracts, for the purpose of acting as a temporary substitute for investment in securities and/or to gain exposure to commodities.
The difference between the normal and current securities holdings for the Fund varies over time and is based on the factors analyzed by the asset allocation model used by BTC to manage the Fund. The normal asset allocations will gradually change over the investment horizon of the Fund to become more heavily oriented toward debt and debt-like securities. As time passes, the Fund is managed more conservatively – prior to retirement – in terms of its allocation to equity securities and markets, on the premise that individuals investing for retirement desire to reduce investment risk in their retirement accounts as their retirement date approaches.
The trajectory along which asset allocations are adjusted over time to gradually become more conservative is called the “glidepath”. The glidepath illustrates the target allocation among asset classes as the Fund approaches its target date. The target asset allocation of the Fund at its retirement date is expected to be 40% in underlying index funds that invest primarily in equity and equity-like securities and 60% in underlying index funds that invest primarily in fixed income and fixed income-like securities.
BTC employs a proprietary investment model that analyzes securities market data, including risk, correlation and expected return statistics, to recommend the portfolio allocation among the asset classes.
Rather than choosing specific securities within each asset class, BTC selects among indices representing segments of the global equity and debt markets and invests in securities that comprise the chosen index. The Fund generally invests in a chosen index through a series of collective investment trusts maintained and managed by BTC, each such fund representing one of the indices (each, an "Underlying Fund").
In the event of a conflict between this summary description of the Fund's investment objective and principal investment strategies and the Trust Document under which the Fund was established, the Trust Document will govern. For more information related to the Fund, please see the Fund's Trust Document, Profile and most recent audited financial statements.
Top 10 Holdings as of 03-31-19 % Assets
Russell 1000 Index Fund 44.08BlackRock MSCI ACWI ex-US IMI Index Fd E 29.23Developed Real Estate Index Fund E 10.42U.S. Debt Index Fund E 10.35Commodity Index Daily Fund E 2.78.......................................................................................................Russell 2000 Index Fund 1.77U.S. TIPS Fund E 1.37
Morningstar Super Sectors as of 03-31-19 % Fund
h Cyclical 45.64j Sensitive 34.21k Defensive 20.13
Morningstar F-I Sectors as of 03-31-19 % Fund % Category
⁄ Government 38.80 38.05› Corporate 16.60 22.29€ Securitized 17.77 12.80‹ Municipal 0.39 0.55fi Cash 26.43 22.15 Other 0.00 4.17
Investment InformationOperations and Management
Product Inception Date 08-26-11Strategy Inception Date 08-01-05Total Fund Assets ($mil) 1,437.98Investment Manager BlackRock Institutional Trust
Company NA
.........................................................................................................................
Annual Turnover Ratio % 12.24
Fees and Expenses as of 12-31-18
Total Annual Operating Expense % 0.09%Total Annual Operating Expense per $1000 $0.90
Additional Information for Total Annual Operating Expense
The Total Annual Operating Expense ratio noted above("TAOE") reflects a management fee and administrative costs.The administrative costs are capped at one (1) basis point(0.01%) per year. The TAOE may also, if applicable, reflectcertain third party acquired fund fees and expenses. Theremay be other fees and expenses not reflected in the TAOEthat bear on the value of the investment. The PortfolioTurnover Rate is that of the collective investment fund inwhich the Fund invests exclusively, either directly orindirectly.
Release Date: 03-31-2019
BlackRock LifePath® Index 2040 Fund L .................................................................................................................................................................................................................................................................................................................................................................................................Primary Benchmark Custom Benchmark Morningstar Category Overall Morningstar Rating™ Morningstar Return Morningstar RiskRussell 1000® Index BlackRock LifePath® Index
2040 Custom BenchmarkTarget-Date 2040 QQQ Average Average
See disclosure for details.
697981 ©2019 Morningstar, Inc., Morningstar Investment Profiles™ 312-696-6000. All rights reserved. The information contained herein: (1) is proprietary toMorningstar and/or its content providers; (2) may not be copied or distributed and (3) is not warranted to be accurate, complete or timely. NeitherMorningstar nor its content providers are responsible for any damages or losses arising from any use of information. Past performance is no guarantee offuture performance. Visit our investment website at www.morningstar.com.
ß® Page 1 of 4
Benchmark DescriptionThe BlackRock LifePath® Index 2040 Fund L's CustomBenchmark is a comparison benchmark for the performanceof the Fund. The Custom Benchmark is calculated usingblended returns of third party indices that proportionallyreflect the respective weightings of the Fund's asset classes.The third party index proportions of the Custom Benchmarkare adjusted quarterly to reflect the Fund's changing assetallocations over time. As the Fund's asset classes have beenre-defined or added over time, the indices used to calculatethe Custom Benchmark have changed accordingly. As ofDecember 31, 2018, the indices used to calculate theCustom Benchmark are: Russell 1000® Index, Russell2000® Index, MSCI ACWI ex-US IMI Net Dividend ReturnIndex[sm], Bloomberg Barclays U.S. Aggregate Bond Index,Bloomberg Barclays U.S. Treasury Inflation ProtectedSecurities (TIPS) Index (Series-L), FTSE EPRA NareitDeveloped Index, and the Bloomberg Commodity Index TotalReturn.
Volatility Analysis
Low Moderate High
Investment
Category
In the past, this investment has shown a relatively moderaterange of price fluctuations relative to other investments. Thisinvestment may experience larger or smaller price declines orprice increases depending on market conditions. Some of thisrisk may be offset by owning other investments with differentportfolio makeups or investment strategies.
Best 3 Month Return Worst 3 Month Return
29.23% -31.01%(Mar '09 - May '09) (Sep '08 - Nov '08)
Performance
L1 L2 L3 L4 L5 L6
-15
-10
-5
0
5
10
15
20 Total Return% as of 03-31-19
InvestmentPrimary BmarkCustom Bmark
Average annual, if greaterthan 1 year
Since Inception 10 Year 5 Year 3 Year 1 Year YTD
6.23 11.94 6.49 9.80 4.64 11.49 Investment Return %8.60 16.05 10.63 13.52 9.30 14.00 Primary Bmark Return %6.18 11.86 6.34 9.63 4.61 11.45 Custom Bmark Return %........................................................................................................................................................................................................... QQQ QQQ QQQ . . Morningstar Rating™. 96 156 194 . . # of Funds in Category
Performance Disclosure: The Fund's returns are net of an investment management fee, currently at an annual rateof 0.08%. The Fund’s performance reflects fund level administrative costs capped at 1 basis point (0.01%) per year.Since its inception the Fund has invested all of its assets in LifePath Index 2040 Fund F. Returns shown for periodsprior to the Fund's inception are those of the LifePath Index 2040 Fund F net of the Fund's investment managementfee.
Principal RisksAny of the principal risks summarized below may adversely affect the Fund's net asset value, performance, and ability to meet itsinvestment objective. An investment in the Fund is not a bank deposit, is not guaranteed by BlackRock, Inc. or any of its affiliates,and is not insured by the Federal Deposit Insurance Corporation or any other agency of the U.S. government.
Equity Investment Risk: The price of an equity security fluctuates based on changes in the issuer’s financial condition andoverall market and economic conditions. Equity securities are subject to changes in value that may be more volatile than otherasset classes.
Foreign Investment Risk 1: The Fund may suffer losses due to political, legal, economic and geographic events affecting anon-U.S. issuer or market. The prices of non-U.S. securities may be more volatile than those of securities issued by U.S.corporations or other U.S. entities. Securities of non-U.S. issuers denominated in non-U.S. currencies will expose the Fund tofluctuations in foreign currency exchange prices.
Target Date Risk 1: A “target date” fund may incur losses close to or after the fund's target retirement date, and there is noguarantee that the Fund will provide adequate income for an investor’s retirement.
Asset Allocation Model Risk: The asset allocation model may not effectively maximize returns or minimize risk, or beappropriate for every investor seeking a particular risk profile. The model developed by BTC could result in underperformance ascompared to funds with similar investment objectives and strategies.
Commodity-Related Investment Risk 2: The value of commodity-linked derivative investments may be significantly affectedby changes in overall market movements, commodity index volatility, changes in interest rates, or factors affecting a particularindustry or commodity, such as drought, floods, weather, embargoes, tariffs and international economic, political and regulatorydevelopments.
Securities Lending Risk 1: The Fund may engage in securities lending, which involves borrower credit risk, settlement risk,and cash collateral-related risks, such as the risk that the return on the cash collateral is insufficient to cover the fees the Fund iscommitted to pay and the risk that cash collateral may be invested in securities or other instruments that suffer losses orbecome illiquid.
Derivatives Risk 1: Investments in derivatives (such as futures contracts, forward contracts, swaps and options) may reducethe Fund's returns and/or increase volatility. Fluctuations in the values of derivatives may not correlate perfectly with the overallsecurities markets. The other party in the transaction may not fulfill its contractual obligation. The possible lack of a liquidsecondary market for derivatives could expose the Fund to losses.
Real Estate-Related Investment Risk 2: Real estate values can be negatively affected by many factors including both thegeneral and local economies, the amount of new construction in a particular area, the laws and regulations affecting real estate,the costs of owning, maintaining and improving real estate, availability of mortgages, and changes in interest rates.
Underlying Fund Risk 2: The investment objective and strategies of an Underlying Fund in which the Fund invests may differfrom the Fund, and there is no assurance that an Underlying Fund will achieve its objective.
Fixed Income Investment Risk 10: An increase in interest rates may cause the value of fixed income securities held by theFund to decline. The Fund's income may decline when interest rates fall. Debt issuers may not honor their obligations. Securitiesthat are rated below investment grade may be more volatile and less liquid than higher-rated securities of similar maturity.
Release Date: 03-31-2019
BlackRock LifePath® Index 2040 Fund L .................................................................................................................................................................................................................................................................................................................................................................................................Primary Benchmark Custom Benchmark Morningstar Category Overall Morningstar Rating™ Morningstar Return Morningstar RiskRussell 1000® Index BlackRock LifePath® Index
2040 Custom BenchmarkTarget-Date 2040 QQQ Average Average
See disclosure for details.
697981 ©2019 Morningstar, Inc., Morningstar Investment Profiles™ 312-696-6000. All rights reserved. The information contained herein: (1) is proprietary toMorningstar and/or its content providers; (2) may not be copied or distributed and (3) is not warranted to be accurate, complete or timely. NeitherMorningstar nor its content providers are responsible for any damages or losses arising from any use of information. Past performance is no guarantee offuture performance. Visit our investment website at www.morningstar.com.
ß® Page 2 of 4
Allocation of Stocks and Bonds Portfolio Analysis
045 40 35 30 25 20 15 10 5
10080
60
40
200
Years Until RetirementBlack line designates target allocation for the Fund as of the date of this report.
% AllocationBonds
U.S. Stocks
Non-U.S. Stocks
Cash
Other
Investment Objective and StrategyThe Fund seeks to provide for retirement outcomes consistent with investor preferences throughout the savings and draw down phase based on quantitatively measured risk that investors, on average, may be willing to accept.
The Fund is a collective investment trust maintained and managed by BlackRock Institutional Trust Company, N.A. ("BTC").The Fund shall be invested and reinvested in securities and other assets with the objective of providing for retirement
outcomes consistent with investor preferences throughout the savings and drawdown phase based on quantitatively measured risk that investors, on average, may be willing to accept.
In pursuit of that objective, the Fund will be broadly diversified across global asset classes, with asset allocations becoming more conservative over time if the Fund has a year in its name. The Fund’s investments may include: equity securities (including those issued by real estate companies); depositary receipts; debt securities and other fixed income obligations (including those issued or guaranteed by the U.S. government, its agencies or instrumentalities, and those issued by corporations or other entities); mortgage-backed securities; other asset-backed securities; commodities; and/or cash equivalents.
The Fund may invest in securities and other obligations of U.S. issuers or non-U.S. issuers, and those issuers may be of any market capitalization. The Fund's fixed income investments may be investment-grade or non-investment grade, and may include securities and other obligations of any maturity.
In addition to, or in lieu of, investing in the assets listed above, the Fund may engage in structured transactions in these asset classes, as well as over-the-counter forward contracts, swaps and options. When deemed appropriate by BTC, the Fund may invest in futures contracts, for the purpose of acting as a temporary substitute for investment in securities and/or to gain exposure to commodities.
The difference between the normal and current securities holdings for the Fund varies over time and is based on the factors analyzed by the asset allocation model used by BTC to manage the Fund. The normal asset allocations will gradually change over the investment horizon of the Fund to become more heavily oriented toward debt and debt-like securities. As time passes, the Fund is managed more conservatively – prior to retirement – in terms of its allocation to equity securities and markets, on the premise that individuals investing for retirement desire to reduce investment risk in their retirement accounts as their retirement date approaches.
The trajectory along which asset allocations are adjusted over time to gradually become more conservative is called the “glidepath”. The glidepath illustrates the target allocation among asset classes as the Fund approaches its target date. The target asset allocation of the Fund at its retirement date is expected to be 40% in underlying index funds that invest primarily in equity and equity-like securities and 60% in underlying index funds that invest primarily in fixed income and fixed income-like securities.
BTC employs a proprietary investment model that analyzes securities market data, including risk, correlation and expected return statistics, to recommend the portfolio allocation among the asset classes.
Rather than choosing specific securities within each asset class, BTC selects among indices representing segments of the global equity and debt markets and invests in securities that comprise the chosen index. The Fund generally invests in a chosen index through a series of collective investment trusts maintained and managed by BTC, each such fund representing one of the indices (each, an "Underlying Fund").
In the event of a conflict between this summary description of the Fund's investment objective and principal investment strategies and the Trust Document under which the Fund was established, the Trust Document will govern. For more information related to the Fund, please see the Fund's Trust Document, Profile and most recent audited financial statements.
Top 10 Holdings as of 03-31-19 % Assets
Russell 1000 Index Fund 46.68BlackRock MSCI ACWI ex-US IMI Index Fd E 32.02Developed Real Estate Index Fund E 12.25U.S. Debt Index Fund E 4.11Commodity Index Daily Fund E 2.80.......................................................................................................Russell 2000 Index Fund 1.74U.S. TIPS Fund E 0.39
Morningstar Super Sectors as of 03-31-19 % Fund
h Cyclical 46.36j Sensitive 33.76k Defensive 19.87
Morningstar F-I Sectors as of 03-31-19 % Fund % Category
⁄ Government 27.19 28.25› Corporate 12.42 21.72€ Securitized 13.30 14.35‹ Municipal 0.29 0.25fi Cash 46.79 29.31 Other 0.00 6.11
Investment InformationOperations and Management
Product Inception Date 08-26-11Strategy Inception Date 07-05-06Total Fund Assets ($mil) 1,076.44Investment Manager BlackRock Institutional Trust
Company NA
.........................................................................................................................
Annual Turnover Ratio % 11.58
Fees and Expenses as of 12-31-18
Total Annual Operating Expense % 0.09%Total Annual Operating Expense per $1000 $0.90
Additional Information for Total Annual Operating Expense
The Total Annual Operating Expense ratio noted above("TAOE") reflects a management fee and administrative costs.The administrative costs are capped at one (1) basis point(0.01%) per year. The TAOE may also, if applicable, reflectcertain third party acquired fund fees and expenses. Theremay be other fees and expenses not reflected in the TAOEthat bear on the value of the investment. The PortfolioTurnover Rate is that of the collective investment fund inwhich the Fund invests exclusively, either directly orindirectly.
Release Date: 03-31-2019
BlackRock LifePath® Index 2045 Fund L .................................................................................................................................................................................................................................................................................................................................................................................................Primary Benchmark Custom Benchmark Morningstar Category Overall Morningstar Rating™ Morningstar Return Morningstar RiskRussell 1000® Index BlackRock LifePath® Index
2045 Custom BenchmarkTarget-Date 2045 QQQQ Above Average Average
See disclosure for details.
697990 ©2019 Morningstar, Inc., Morningstar Investment Profiles™ 312-696-6000. All rights reserved. The information contained herein: (1) is proprietary toMorningstar and/or its content providers; (2) may not be copied or distributed and (3) is not warranted to be accurate, complete or timely. NeitherMorningstar nor its content providers are responsible for any damages or losses arising from any use of information. Past performance is no guarantee offuture performance. Visit our investment website at www.morningstar.com.
ß® Page 1 of 4
Benchmark DescriptionThe BlackRock LifePath® Index 2045 Fund L's CustomBenchmark is a comparison benchmark for the performanceof the Fund. The Custom Benchmark is calculated usingblended returns of third party indices that proportionallyreflect the respective weightings of the Fund's asset classes.The third party index proportions of the Custom Benchmarkare adjusted quarterly to reflect the Fund's changing assetallocations over time. As the Fund's asset classes have beenre-defined or added over time, the indices used to calculatethe Custom Benchmark have changed accordingly. As ofDecember 31, 2018, the indices used to calculate theCustom Benchmark are: Russell 1000® Index, Russell2000® Index, MSCI ACWI ex-US IMI Net Dividend ReturnIndex[sm], Bloomberg Barclays U.S. Aggregate Bond Index,Bloomberg Barclays U.S. Treasury Inflation ProtectedSecurities (TIPS) Index (Series-L), FTSE EPRA NareitDeveloped Index, and the Bloomberg Commodity Index TotalReturn.
Volatility Analysis
Low Moderate High
Investment
Category
In the past, this investment has shown a relatively moderaterange of price fluctuations relative to other investments. Thisinvestment may experience larger or smaller price declines orprice increases depending on market conditions. Some of thisrisk may be offset by owning other investments with differentportfolio makeups or investment strategies.
Best 3 Month Return Worst 3 Month Return
31.01% -32.50%(Mar '09 - May '09) (Sep '08 - Nov '08)
Performance
L1 L2 L3 L4 L5 L6
-15
-10
-5
0
5
10
15
20 Total Return% as of 03-31-19
InvestmentPrimary BmarkCustom Bmark
Average annual, if greaterthan 1 year
Since Inception 10 Year 5 Year 3 Year 1 Year YTD
6.11 12.46 6.72 10.25 4.66 12.20 Investment Return %8.84 16.05 10.63 13.52 9.30 14.00 Primary Bmark Return %6.04 12.36 6.55 10.06 4.62 12.19 Custom Bmark Return %........................................................................................................................................................................................................... QQQQ QQQ QQQ . . Morningstar Rating™. 68 142 182 . . # of Funds in Category
Performance Disclosure: The Fund's returns are net of an investment management fee, currently at an annual rateof 0.08%. The Fund’s performance reflects fund level administrative costs capped at 1 basis point (0.01%) per year.Since its inception the Fund has invested all of its assets in LifePath Index 2045 Fund F. Returns shown for periodsprior to the Fund's inception are those of the LifePath Index 2045 Fund F net of the Fund's investment managementfee.
Principal RisksAny of the principal risks summarized below may adversely affect the Fund's net asset value, performance, and ability to meet itsinvestment objective. An investment in the Fund is not a bank deposit, is not guaranteed by BlackRock, Inc. or any of its affiliates,and is not insured by the Federal Deposit Insurance Corporation or any other agency of the U.S. government.
Equity Investment Risk: The price of an equity security fluctuates based on changes in the issuer’s financial condition andoverall market and economic conditions. Equity securities are subject to changes in value that may be more volatile than otherasset classes.
Foreign Investment Risk 1: The Fund may suffer losses due to political, legal, economic and geographic events affecting anon-U.S. issuer or market. The prices of non-U.S. securities may be more volatile than those of securities issued by U.S.corporations or other U.S. entities. Securities of non-U.S. issuers denominated in non-U.S. currencies will expose the Fund tofluctuations in foreign currency exchange prices.
Target Date Risk 1: A “target date” fund may incur losses close to or after the fund's target retirement date, and there is noguarantee that the Fund will provide adequate income for an investor’s retirement.
Asset Allocation Model Risk: The asset allocation model may not effectively maximize returns or minimize risk, or beappropriate for every investor seeking a particular risk profile. The model developed by BTC could result in underperformance ascompared to funds with similar investment objectives and strategies.
Commodity-Related Investment Risk 2: The value of commodity-linked derivative investments may be significantly affectedby changes in overall market movements, commodity index volatility, changes in interest rates, or factors affecting a particularindustry or commodity, such as drought, floods, weather, embargoes, tariffs and international economic, political and regulatorydevelopments.
Securities Lending Risk 1: The Fund may engage in securities lending, which involves borrower credit risk, settlement risk,and cash collateral-related risks, such as the risk that the return on the cash collateral is insufficient to cover the fees the Fund iscommitted to pay and the risk that cash collateral may be invested in securities or other instruments that suffer losses orbecome illiquid.
Derivatives Risk 1: Investments in derivatives (such as futures contracts, forward contracts, swaps and options) may reducethe Fund's returns and/or increase volatility. Fluctuations in the values of derivatives may not correlate perfectly with the overallsecurities markets. The other party in the transaction may not fulfill its contractual obligation. The possible lack of a liquidsecondary market for derivatives could expose the Fund to losses.
Real Estate-Related Investment Risk 2: Real estate values can be negatively affected by many factors including both thegeneral and local economies, the amount of new construction in a particular area, the laws and regulations affecting real estate,the costs of owning, maintaining and improving real estate, availability of mortgages, and changes in interest rates.
Underlying Fund Risk 2: The investment objective and strategies of an Underlying Fund in which the Fund invests may differfrom the Fund, and there is no assurance that an Underlying Fund will achieve its objective.
Fixed Income Investment Risk 10: An increase in interest rates may cause the value of fixed income securities held by theFund to decline. The Fund's income may decline when interest rates fall. Debt issuers may not honor their obligations. Securitiesthat are rated below investment grade may be more volatile and less liquid than higher-rated securities of similar maturity.
Release Date: 03-31-2019
BlackRock LifePath® Index 2045 Fund L .................................................................................................................................................................................................................................................................................................................................................................................................Primary Benchmark Custom Benchmark Morningstar Category Overall Morningstar Rating™ Morningstar Return Morningstar RiskRussell 1000® Index BlackRock LifePath® Index
2045 Custom BenchmarkTarget-Date 2045 QQQQ Above Average Average
See disclosure for details.
697990 ©2019 Morningstar, Inc., Morningstar Investment Profiles™ 312-696-6000. All rights reserved. The information contained herein: (1) is proprietary toMorningstar and/or its content providers; (2) may not be copied or distributed and (3) is not warranted to be accurate, complete or timely. NeitherMorningstar nor its content providers are responsible for any damages or losses arising from any use of information. Past performance is no guarantee offuture performance. Visit our investment website at www.morningstar.com.
ß® Page 2 of 4
Allocation of Stocks and Bonds Portfolio Analysis
045 40 35 30 25 20 15 10 5
10080
60
40
200
Years Until RetirementBlack line designates target allocation for the Fund as of the date of this report.
% AllocationBonds
U.S. Stocks
Non-U.S. Stocks
Cash
Other
Investment Objective and StrategyThe Fund seeks to provide for retirement outcomes consistent with investor preferences throughout the savings and draw down phase based on quantitatively measured risk that investors, on average, may be willing to accept.
The Fund is a collective investment trust maintained and managed by BlackRock Institutional Trust Company, N.A. ("BTC").The Fund shall be invested and reinvested in securities and other assets with the objective of providing for retirement
outcomes consistent with investor preferences throughout the savings and drawdown phase based on quantitatively measured risk that investors, on average, may be willing to accept.
In pursuit of that objective, the Fund will be broadly diversified across global asset classes, with asset allocations becoming more conservative over time if the Fund has a year in its name. The Fund’s investments may include: equity securities (including those issued by real estate companies); depositary receipts; debt securities and other fixed income obligations (including those issued or guaranteed by the U.S. government, its agencies or instrumentalities, and those issued by corporations or other entities); mortgage-backed securities; other asset-backed securities; commodities; and/or cash equivalents.
The Fund may invest in securities and other obligations of U.S. issuers or non-U.S. issuers, and those issuers may be of any market capitalization. The Fund's fixed income investments may be investment-grade or non-investment grade, and may include securities and other obligations of any maturity.
In addition to, or in lieu of, investing in the assets listed above, the Fund may engage in structured transactions in these asset classes, as well as over-the-counter forward contracts, swaps and options. When deemed appropriate by BTC, the Fund may invest in futures contracts, for the purpose of acting as a temporary substitute for investment in securities and/or to gain exposure to commodities.
The difference between the normal and current securities holdings for the Fund varies over time and is based on the factors analyzed by the asset allocation model used by BTC to manage the Fund. The normal asset allocations will gradually change over the investment horizon of the Fund to become more heavily oriented toward debt and debt-like securities. As time passes, the Fund is managed more conservatively – prior to retirement – in terms of its allocation to equity securities and markets, on the premise that individuals investing for retirement desire to reduce investment risk in their retirement accounts as their retirement date approaches.
The trajectory along which asset allocations are adjusted over time to gradually become more conservative is called the “glidepath”. The glidepath illustrates the target allocation among asset classes as the Fund approaches its target date. The target asset allocation of the Fund at its retirement date is expected to be 40% in underlying index funds that invest primarily in equity and equity-like securities and 60% in underlying index funds that invest primarily in fixed income and fixed income-like securities.
BTC employs a proprietary investment model that analyzes securities market data, including risk, correlation and expected return statistics, to recommend the portfolio allocation among the asset classes.
Rather than choosing specific securities within each asset class, BTC selects among indices representing segments of the global equity and debt markets and invests in securities that comprise the chosen index. The Fund generally invests in a chosen index through a series of collective investment trusts maintained and managed by BTC, each such fund representing one of the indices (each, an "Underlying Fund").
In the event of a conflict between this summary description of the Fund's investment objective and principal investment strategies and the Trust Document under which the Fund was established, the Trust Document will govern. For more information related to the Fund, please see the Fund's Trust Document, Profile and most recent audited financial statements.
Top 10 Holdings as of 03-31-19 % Assets
Russell 1000 Index Fund 47.75BlackRock MSCI ACWI ex-US IMI Index Fd E 33.40Developed Real Estate Index Fund E 12.83Commodity Index Daily Fund E 2.89Russell 2000 Index Fund 1.76.......................................................................................................U.S. Debt Index Fund E 1.34U.S. TIPS Fund E 0.03
Morningstar Super Sectors as of 03-31-19 % Fund
h Cyclical 46.51j Sensitive 33.68k Defensive 19.82
Morningstar F-I Sectors as of 03-31-19 % Fund % Category
⁄ Government 12.23 40.71› Corporate 6.49 17.41€ Securitized 6.94 10.20‹ Municipal 0.15 0.56fi Cash 74.19 26.33 Other 0.00 4.79
Investment InformationOperations and Management
Product Inception Date 08-26-11Strategy Inception Date 09-30-07Total Fund Assets ($mil) 972.07Investment Manager BlackRock Institutional Trust
Company NA
.........................................................................................................................
Annual Turnover Ratio % 10.75
Fees and Expenses as of 12-31-18
Total Annual Operating Expense % 0.09%Total Annual Operating Expense per $1000 $0.90
Additional Information for Total Annual Operating Expense
The Total Annual Operating Expense ratio noted above("TAOE") reflects a management fee and administrative costs.The administrative costs are capped at one (1) basis point(0.01%) per year. The TAOE may also, if applicable, reflectcertain third party acquired fund fees and expenses. Theremay be other fees and expenses not reflected in the TAOEthat bear on the value of the investment. The PortfolioTurnover Rate is that of the collective investment fund inwhich the Fund invests exclusively, either directly orindirectly.
Release Date: 03-31-2019
BlackRock LifePath® Index 2050 Fund L .................................................................................................................................................................................................................................................................................................................................................................................................Primary Benchmark Custom Benchmark Morningstar Category Overall Morningstar Rating™ Morningstar Return Morningstar RiskRussell 1000® Index BlackRock LifePath® Index
2050 Custom BenchmarkTarget-Date 2050 QQQQ Above Average Above Average
See disclosure for details.
698007 ©2019 Morningstar, Inc., Morningstar Investment Profiles™ 312-696-6000. All rights reserved. The information contained herein: (1) is proprietary toMorningstar and/or its content providers; (2) may not be copied or distributed and (3) is not warranted to be accurate, complete or timely. NeitherMorningstar nor its content providers are responsible for any damages or losses arising from any use of information. Past performance is no guarantee offuture performance. Visit our investment website at www.morningstar.com.
ß® Page 1 of 4
Benchmark DescriptionThe BlackRock LifePath® Index 2050 Fund L's CustomBenchmark is a comparison benchmark for the performanceof the Fund. The Custom Benchmark is calculated usingblended returns of third party indices that proportionallyreflect the respective weightings of the Fund's asset classes.The third party index proportions of the Custom Benchmarkare adjusted quarterly to reflect the Fund's changing assetallocations over time. As the Fund's asset classes have beenre-defined or added over time, the indices used to calculatethe Custom Benchmark have changed accordingly. As ofDecember 31, 2018, the indices used to calculate theCustom Benchmark are: Russell 1000® Index, Russell2000® Index, MSCI ACWI ex-US IMI Net Dividend ReturnIndex[sm], Bloomberg Barclays U.S. Aggregate Bond Index,Bloomberg Barclays U.S. Treasury Inflation ProtectedSecurities (TIPS) Index (Series-L), FTSE EPRA NareitDeveloped Index, and the Bloomberg Commodity Index TotalReturn.
Volatility Analysis
Low Moderate High
Investment
Category
In the past, this investment has shown a relatively moderaterange of price fluctuations relative to other investments. Thisinvestment may experience larger or smaller price declines orprice increases depending on market conditions. Some of thisrisk may be offset by owning other investments with differentportfolio makeups or investment strategies.
Best 3 Month Return Worst 3 Month Return
32.62% -33.43%(Mar '09 - May '09) (Sep '08 - Nov '08)
Performance
L1 L2 L3 L4 L5 L6
-15
-10
-5
0
5
10
15
20 Total Return% as of 03-31-19
InvestmentPrimary BmarkCustom Bmark
Average annual, if greaterthan 1 year
Since Inception 10 Year 5 Year 3 Year 1 Year YTD
4.99 12.86 6.80 10.39 4.67 12.52 Investment Return %7.89 16.05 10.63 13.52 9.30 14.00 Primary Bmark Return %4.88 12.77 6.64 10.20 4.62 12.49 Custom Bmark Return %........................................................................................................................................................................................................... QQQQ QQQ QQQ . . Morningstar Rating™. 78 156 194 . . # of Funds in Category
Performance Disclosure: The Fund's returns are net of an investment management fee, currently at an annual rateof 0.08%. The Fund’s performance reflects fund level administrative costs capped at 1 basis point (0.01%) per year.Since its inception the Fund has invested all of its assets in LifePath Index 2050 Fund F. Returns shown for periodsprior to the Fund's inception are those of the LifePath Index 2050 Fund F net of the Fund's investment managementfee.
Principal RisksAny of the principal risks summarized below may adversely affect the Fund's net asset value, performance, and ability to meet itsinvestment objective. An investment in the Fund is not a bank deposit, is not guaranteed by BlackRock, Inc. or any of its affiliates,and is not insured by the Federal Deposit Insurance Corporation or any other agency of the U.S. government.
Equity Investment Risk: The price of an equity security fluctuates based on changes in the issuer’s financial condition andoverall market and economic conditions. Equity securities are subject to changes in value that may be more volatile than otherasset classes.
Foreign Investment Risk 1: The Fund may suffer losses due to political, legal, economic and geographic events affecting anon-U.S. issuer or market. The prices of non-U.S. securities may be more volatile than those of securities issued by U.S.corporations or other U.S. entities. Securities of non-U.S. issuers denominated in non-U.S. currencies will expose the Fund tofluctuations in foreign currency exchange prices.
Target Date Risk 1: A “target date” fund may incur losses close to or after the fund's target retirement date, and there is noguarantee that the Fund will provide adequate income for an investor’s retirement.
Asset Allocation Model Risk: The asset allocation model may not effectively maximize returns or minimize risk, or beappropriate for every investor seeking a particular risk profile. The model developed by BTC could result in underperformance ascompared to funds with similar investment objectives and strategies.
Commodity-Related Investment Risk 2: The value of commodity-linked derivative investments may be significantly affectedby changes in overall market movements, commodity index volatility, changes in interest rates, or factors affecting a particularindustry or commodity, such as drought, floods, weather, embargoes, tariffs and international economic, political and regulatorydevelopments.
Securities Lending Risk 1: The Fund may engage in securities lending, which involves borrower credit risk, settlement risk,and cash collateral-related risks, such as the risk that the return on the cash collateral is insufficient to cover the fees the Fund iscommitted to pay and the risk that cash collateral may be invested in securities or other instruments that suffer losses orbecome illiquid.
Derivatives Risk 1: Investments in derivatives (such as futures contracts, forward contracts, swaps and options) may reducethe Fund's returns and/or increase volatility. Fluctuations in the values of derivatives may not correlate perfectly with the overallsecurities markets. The other party in the transaction may not fulfill its contractual obligation. The possible lack of a liquidsecondary market for derivatives could expose the Fund to losses.
Real Estate-Related Investment Risk 2: Real estate values can be negatively affected by many factors including both thegeneral and local economies, the amount of new construction in a particular area, the laws and regulations affecting real estate,the costs of owning, maintaining and improving real estate, availability of mortgages, and changes in interest rates.
Underlying Fund Risk 2: The investment objective and strategies of an Underlying Fund in which the Fund invests may differfrom the Fund, and there is no assurance that an Underlying Fund will achieve its objective.
Fixed Income Investment Risk 10: An increase in interest rates may cause the value of fixed income securities held by theFund to decline. The Fund's income may decline when interest rates fall. Debt issuers may not honor their obligations. Securitiesthat are rated below investment grade may be more volatile and less liquid than higher-rated securities of similar maturity.
Release Date: 03-31-2019
BlackRock LifePath® Index 2050 Fund L .................................................................................................................................................................................................................................................................................................................................................................................................Primary Benchmark Custom Benchmark Morningstar Category Overall Morningstar Rating™ Morningstar Return Morningstar RiskRussell 1000® Index BlackRock LifePath® Index
2050 Custom BenchmarkTarget-Date 2050 QQQQ Above Average Above Average
See disclosure for details.
698007 ©2019 Morningstar, Inc., Morningstar Investment Profiles™ 312-696-6000. All rights reserved. The information contained herein: (1) is proprietary toMorningstar and/or its content providers; (2) may not be copied or distributed and (3) is not warranted to be accurate, complete or timely. NeitherMorningstar nor its content providers are responsible for any damages or losses arising from any use of information. Past performance is no guarantee offuture performance. Visit our investment website at www.morningstar.com.
ß® Page 2 of 4
Allocation of Stocks and Bonds Portfolio Analysis
045 40 35 30 25 20 15 10 5
10080
60
40
200
Years Until RetirementBlack line designates target allocation for the Fund as of the date of this report.
% AllocationBonds
U.S. Stocks
Non-U.S. Stocks
Cash
Other
Investment Objective and StrategyThe Fund seeks to provide for retirement outcomes consistent with investor preferences throughout the savings and draw down phase based on quantitatively measured risk that investors, on average, may be willing to accept.
The Fund is a collective investment trust maintained and managed by BlackRock Institutional Trust Company, N.A. ("BTC").The Fund shall be invested and reinvested in securities and other assets with the objective of providing for retirement
outcomes consistent with investor preferences throughout the savings and drawdown phase based on quantitatively measured risk that investors, on average, may be willing to accept.
In pursuit of that objective, the Fund will be broadly diversified across global asset classes, with asset allocations becoming more conservative over time if the Fund has a year in its name. The Fund’s investments may include: equity securities (including those issued by real estate companies); depositary receipts; debt securities and other fixed income obligations (including those issued or guaranteed by the U.S. government, its agencies or instrumentalities, and those issued by corporations or other entities); mortgage-backed securities; other asset-backed securities; commodities; and/or cash equivalents.
The Fund may invest in securities and other obligations of U.S. issuers or non-U.S. issuers, and those issuers may be of any market capitalization. The Fund's fixed income investments may be investment-grade or non-investment grade, and may include securities and other obligations of any maturity.
In addition to, or in lieu of, investing in the assets listed above, the Fund may engage in structured transactions in these asset classes, as well as over-the-counter forward contracts, swaps and options. When deemed appropriate by BTC, the Fund may invest in futures contracts, for the purpose of acting as a temporary substitute for investment in securities and/or to gain exposure to commodities.
The difference between the normal and current securities holdings for the Fund varies over time and is based on the factors analyzed by the asset allocation model used by BTC to manage the Fund. The normal asset allocations will gradually change over the investment horizon of the Fund to become more heavily oriented toward debt and debt-like securities. As time passes, the Fund is managed more conservatively – prior to retirement – in terms of its allocation to equity securities and markets, on the premise that individuals investing for retirement desire to reduce investment risk in their retirement accounts as their retirement date approaches.
The trajectory along which asset allocations are adjusted over time to gradually become more conservative is called the “glidepath”. The glidepath illustrates the target allocation among asset classes as the Fund approaches its target date. The target asset allocation of the Fund at its retirement date is expected to be 40% in underlying index funds that invest primarily in equity and equity-like securities and 60% in underlying index funds that invest primarily in fixed income and fixed income-like securities.
BTC employs a proprietary investment model that analyzes securities market data, including risk, correlation and expected return statistics, to recommend the portfolio allocation among the asset classes.
Rather than choosing specific securities within each asset class, BTC selects among indices representing segments of the global equity and debt markets and invests in securities that comprise the chosen index. The Fund generally invests in a chosen index through a series of collective investment trusts maintained and managed by BTC, each such fund representing one of the indices (each, an "Underlying Fund").
In the event of a conflict between this summary description of the Fund's investment objective and principal investment strategies and the Trust Document under which the Fund was established, the Trust Document will govern. For more information related to the Fund, please see the Fund's Trust Document, Profile and most recent audited financial statements.
Top 10 Holdings as of 03-31-19 % Assets
Russell 1000 Index Fund 47.89BlackRock MSCI ACWI ex-US IMI Index Fd E 33.58Developed Real Estate Index Fund E 12.90Commodity Index Daily Fund E 2.87Russell 2000 Index Fund 1.77.......................................................................................................U.S. Debt Index Fund E 0.98U.S. TIPS Fund E 0.02
Morningstar Super Sectors as of 03-31-19 % Fund
h Cyclical 46.54j Sensitive 33.67k Defensive 19.82
Morningstar F-I Sectors as of 03-31-19 % Fund % Category
⁄ Government 9.64 27.53› Corporate 5.13 19.71€ Securitized 5.49 13.11‹ Municipal 0.12 0.22fi Cash 79.62 32.55 Other 0.00 6.89
Investment InformationOperations and Management
Product Inception Date 08-26-11Strategy Inception Date 05-19-10Total Fund Assets ($mil) 662.49Investment Manager BlackRock Institutional Trust
Company NA
.........................................................................................................................
Annual Turnover Ratio % 10.59
Fees and Expenses as of 12-31-18
Total Annual Operating Expense % 0.09%Total Annual Operating Expense per $1000 $0.90
Additional Information for Total Annual Operating Expense
The Total Annual Operating Expense ratio noted above("TAOE") reflects a management fee and administrative costs.The administrative costs are capped at one (1) basis point(0.01%) per year. The TAOE may also, if applicable, reflectcertain third party acquired fund fees and expenses. Theremay be other fees and expenses not reflected in the TAOEthat bear on the value of the investment. The PortfolioTurnover Rate is that of the collective investment fund inwhich the Fund invests exclusively, either directly orindirectly.
Release Date: 03-31-2019
BlackRock LifePath® Index 2055 Fund L .................................................................................................................................................................................................................................................................................................................................................................................................Primary Benchmark Custom Benchmark Morningstar Category Overall Morningstar Rating™ Morningstar Return Morningstar RiskRussell 1000® Index BlackRock LifePath® Index
2055 Custom BenchmarkTarget-Date 2055 QQQ Average Average
See disclosure for details.
698016 ©2019 Morningstar, Inc., Morningstar Investment Profiles™ 312-696-6000. All rights reserved. The information contained herein: (1) is proprietary toMorningstar and/or its content providers; (2) may not be copied or distributed and (3) is not warranted to be accurate, complete or timely. NeitherMorningstar nor its content providers are responsible for any damages or losses arising from any use of information. Past performance is no guarantee offuture performance. Visit our investment website at www.morningstar.com.
ß® Page 1 of 4
Benchmark DescriptionThe BlackRock LifePath® Index 2055 Fund L's CustomBenchmark is a comparison benchmark for the performanceof the Fund. The Custom Benchmark is calculated usingblended returns of third party indices that proportionallyreflect the respective weightings of the Fund's asset classes.The third party index proportions of the Custom Benchmarkare adjusted quarterly to reflect the Fund's changing assetallocations over time. As the Fund's asset classes have beenre-defined or added over time, the indices used to calculatethe Custom Benchmark have changed accordingly. As ofDecember 31, 2018, the indices used to calculate theCustom Benchmark are: Russell 1000® Index, Russell2000® Index, MSCI ACWI ex-US IMI Net Dividend ReturnIndex[sm], Bloomberg Barclays U.S. Aggregate Bond Index,Bloomberg Barclays U.S. Treasury Inflation ProtectedSecurities (TIPS) Index (Series-L), FTSE EPRA NareitDeveloped Index, and the Bloomberg Commodity Index TotalReturn.
Volatility Analysis
Low Moderate High
Investment
Category
In the past, this investment has shown a relatively moderaterange of price fluctuations relative to other investments. Thisinvestment may experience larger or smaller price declines orprice increases depending on market conditions. Some of thisrisk may be offset by owning other investments with differentportfolio makeups or investment strategies.
Best 3 Month Return Worst 3 Month Return
13.75% -16.53%(Jul '10 - Sep '10) (Jul '11 - Sep '11)
Performance
L1 L2 L3 L4 L5 L6
-12
-8
-4
0
4
8
12
16 Total Return% as of 03-31-19
InvestmentPrimary BmarkCustom Bmark
Average annual, if greaterthan 1 year
Since Inception 10 Year 5 Year 3 Year 1 Year YTD
9.73 . 6.80 10.38 4.68 12.55 Investment Return %13.42 . 10.63 13.52 9.30 14.00 Primary Bmark Return %9.64 . 6.64 10.20 4.62 12.54 Custom Bmark Return %........................................................................................................................................................................................................... . QQQ QQQ . . Morningstar Rating™. . 134 180 . . # of Funds in Category
Performance Disclosure: The Fund's returns are net of an investment management fee, currently at an annual rateof 0.08%. The Fund’s performance reflects fund level administrative costs capped at 1 basis point (0.01%) per year.Since its inception the Fund has invested all of its assets in LifePath Index 2055 Fund F. Returns shown for periodsprior to the Fund's inception are those of the LifePath Index 2055 Fund F net of the Fund's investment managementfee.
Principal RisksAny of the principal risks summarized below may adversely affect the Fund's net asset value, performance, and ability to meet itsinvestment objective. An investment in the Fund is not a bank deposit, is not guaranteed by BlackRock, Inc. or any of its affiliates,and is not insured by the Federal Deposit Insurance Corporation or any other agency of the U.S. government.
Equity Investment Risk: The price of an equity security fluctuates based on changes in the issuer’s financial condition andoverall market and economic conditions. Equity securities are subject to changes in value that may be more volatile than otherasset classes.
Foreign Investment Risk 1: The Fund may suffer losses due to political, legal, economic and geographic events affecting anon-U.S. issuer or market. The prices of non-U.S. securities may be more volatile than those of securities issued by U.S.corporations or other U.S. entities. Securities of non-U.S. issuers denominated in non-U.S. currencies will expose the Fund tofluctuations in foreign currency exchange prices.
Target Date Risk 1: A “target date” fund may incur losses close to or after the fund's target retirement date, and there is noguarantee that the Fund will provide adequate income for an investor’s retirement.
Asset Allocation Model Risk: The asset allocation model may not effectively maximize returns or minimize risk, or beappropriate for every investor seeking a particular risk profile. The model developed by BTC could result in underperformance ascompared to funds with similar investment objectives and strategies.
Commodity-Related Investment Risk 2: The value of commodity-linked derivative investments may be significantly affectedby changes in overall market movements, commodity index volatility, changes in interest rates, or factors affecting a particularindustry or commodity, such as drought, floods, weather, embargoes, tariffs and international economic, political and regulatorydevelopments.
Securities Lending Risk 1: The Fund may engage in securities lending, which involves borrower credit risk, settlement risk,and cash collateral-related risks, such as the risk that the return on the cash collateral is insufficient to cover the fees the Fund iscommitted to pay and the risk that cash collateral may be invested in securities or other instruments that suffer losses orbecome illiquid.
Derivatives Risk 1: Investments in derivatives (such as futures contracts, forward contracts, swaps and options) may reducethe Fund's returns and/or increase volatility. Fluctuations in the values of derivatives may not correlate perfectly with the overallsecurities markets. The other party in the transaction may not fulfill its contractual obligation. The possible lack of a liquidsecondary market for derivatives could expose the Fund to losses.
Real Estate-Related Investment Risk 2: Real estate values can be negatively affected by many factors including both thegeneral and local economies, the amount of new construction in a particular area, the laws and regulations affecting real estate,the costs of owning, maintaining and improving real estate, availability of mortgages, and changes in interest rates.
Underlying Fund Risk 2: The investment objective and strategies of an Underlying Fund in which the Fund invests may differfrom the Fund, and there is no assurance that an Underlying Fund will achieve its objective.
Fixed Income Investment Risk 10: An increase in interest rates may cause the value of fixed income securities held by theFund to decline. The Fund's income may decline when interest rates fall. Debt issuers may not honor their obligations. Securitiesthat are rated below investment grade may be more volatile and less liquid than higher-rated securities of similar maturity.
Release Date: 03-31-2019
BlackRock LifePath® Index 2055 Fund L .................................................................................................................................................................................................................................................................................................................................................................................................Primary Benchmark Custom Benchmark Morningstar Category Overall Morningstar Rating™ Morningstar Return Morningstar RiskRussell 1000® Index BlackRock LifePath® Index
2055 Custom BenchmarkTarget-Date 2055 QQQ Average Average
See disclosure for details.
698016 ©2019 Morningstar, Inc., Morningstar Investment Profiles™ 312-696-6000. All rights reserved. The information contained herein: (1) is proprietary toMorningstar and/or its content providers; (2) may not be copied or distributed and (3) is not warranted to be accurate, complete or timely. NeitherMorningstar nor its content providers are responsible for any damages or losses arising from any use of information. Past performance is no guarantee offuture performance. Visit our investment website at www.morningstar.com.
ß® Page 2 of 4
Allocation of Stocks and Bonds Portfolio Analysis
045 40 35 30 25 20 15 10 5
10080
60
40
200
Years Until RetirementBlack line designates target allocation for the Fund as of the date of this report.
% AllocationBonds
U.S. Stocks
Non-U.S. Stocks
Cash
Other
Investment Objective and StrategyThe Fund seeks to provide for retirement outcomes consistent with investor preferences throughout the savings and draw down phase based on quantitatively measured risk that investors, on average, may be willing to accept.
The Fund is a collective investment trust maintained and managed by BlackRock Institutional Trust Company, N.A. ("BTC").The Fund shall be invested and reinvested in securities and other assets with the objective of providing for retirement
outcomes consistent with investor preferences throughout the savings and drawdown phase based on quantitatively measured risk that investors, on average, may be willing to accept.
In pursuit of that objective, the Fund will be broadly diversified across global asset classes, with asset allocations becoming more conservative over time if the Fund has a year in its name. The Fund’s investments may include: equity securities (including those issued by real estate companies); depositary receipts; debt securities and other fixed income obligations (including those issued or guaranteed by the U.S. government, its agencies or instrumentalities, and those issued by corporations or other entities); mortgage-backed securities; other asset-backed securities; commodities; and/or cash equivalents.
The Fund may invest in securities and other obligations of U.S. issuers or non-U.S. issuers, and those issuers may be of any market capitalization. The Fund's fixed income investments may be investment-grade or non-investment grade, and may include securities and other obligations of any maturity.
In addition to, or in lieu of, investing in the assets listed above, the Fund may engage in structured transactions in these asset classes, as well as over-the-counter forward contracts, swaps and options. When deemed appropriate by BTC, the Fund may invest in futures contracts, for the purpose of acting as a temporary substitute for investment in securities and/or to gain exposure to commodities.
The difference between the normal and current securities holdings for the Fund varies over time and is based on the factors analyzed by the asset allocation model used by BTC to manage the Fund. The normal asset allocations will gradually change over the investment horizon of the Fund to become more heavily oriented toward debt and debt-like securities. As time passes, the Fund is managed more conservatively – prior to retirement – in terms of its allocation to equity securities and markets, on the premise that individuals investing for retirement desire to reduce investment risk in their retirement accounts as their retirement date approaches.
The trajectory along which asset allocations are adjusted over time to gradually become more conservative is called the “glidepath”. The glidepath illustrates the target allocation among asset classes as the Fund approaches its target date. The target asset allocation of the Fund at its retirement date is expected to be 40% in underlying index funds that invest primarily in equity and equity-like securities and 60% in underlying index funds that invest primarily in fixed income and fixed income-like securities.
BTC employs a proprietary investment model that analyzes securities market data, including risk, correlation and expected return statistics, to recommend the portfolio allocation among the asset classes.
Rather than choosing specific securities within each asset class, BTC selects among indices representing segments of the global equity and debt markets and invests in securities that comprise the chosen index. The Fund generally invests in a chosen index through a series of collective investment trusts maintained and managed by BTC, each such fund representing one of the indices (each, an "Underlying Fund").
In the event of a conflict between this summary description of the Fund's investment objective and principal investment strategies and the Trust Document under which the Fund was established, the Trust Document will govern. For more information related to the Fund, please see the Fund's Trust Document, Profile and most recent audited financial statements.
Top 10 Holdings as of 03-31-19 % Assets
Russell 1000 Index Fund 47.91BlackRock MSCI ACWI ex-US IMI Index Fd E 33.62Developed Real Estate Index Fund E 12.88Commodity Index Daily Fund E 2.79Russell 2000 Index Fund 1.80.......................................................................................................U.S. Debt Index Fund E 1.00
Morningstar Super Sectors as of 03-31-19 % Fund
h Cyclical 46.30j Sensitive 33.72k Defensive 19.99
Morningstar F-I Sectors as of 03-31-19 % Fund % Category
⁄ Government 9.61 26.89› Corporate 5.34 19.34€ Securitized 5.72 12.44‹ Municipal 0.13 0.21fi Cash 79.21 34.45 Other 0.00 6.67
Investment InformationOperations and Management
Product Inception Date 01-05-15Strategy Inception Date 11-17-14Total Fund Assets ($mil) 166.51Investment Manager BlackRock Institutional Trust
Company NA
.........................................................................................................................
Annual Turnover Ratio % 11.58
Fees and Expenses as of 12-31-18
Total Annual Operating Expense % 0.09%Total Annual Operating Expense per $1000 $0.90
Additional Information for Total Annual Operating Expense
The Total Annual Operating Expense ratio noted above("TAOE") reflects a management fee and administrative costs.The administrative costs are capped at one (1) basis point(0.01%) per year. The TAOE may also, if applicable, reflectcertain third party acquired fund fees and expenses. Theremay be other fees and expenses not reflected in the TAOEthat bear on the value of the investment. The PortfolioTurnover Rate is that of the collective investment fund inwhich the Fund invests exclusively, either directly orindirectly.
Release Date: 03-31-2019
BlackRock LifePath® Index 2060 Fund L .................................................................................................................................................................................................................................................................................................................................................................................................Primary Benchmark Custom Benchmark Morningstar Category Overall Morningstar Rating™ Morningstar Return Morningstar RiskRussell 1000® Index BlackRock LifePath® Index
2060 Custom BenchmarkTarget-Date 2060+ QQQ Average Average
See disclosure for details.
300694 ©2019 Morningstar, Inc., Morningstar Investment Profiles™ 312-696-6000. All rights reserved. The information contained herein: (1) is proprietary toMorningstar and/or its content providers; (2) may not be copied or distributed and (3) is not warranted to be accurate, complete or timely. NeitherMorningstar nor its content providers are responsible for any damages or losses arising from any use of information. Past performance is no guarantee offuture performance. Visit our investment website at www.morningstar.com.
ß® Page 1 of 4
Benchmark DescriptionThe BlackRock LifePath® Index 2060 Fund L's CustomBenchmark is a comparison benchmark for the performanceof the Fund. The Custom Benchmark is calculated usingblended returns of third party indices that proportionallyreflect the respective weightings of the Fund's asset classes.The third party index proportions of the Custom Benchmarkare adjusted quarterly to reflect the Fund's changing assetallocations over time. As the Fund's asset classes have beenre-defined or added over time, the indices used to calculatethe Custom Benchmark have changed accordingly. As ofDecember 31, 2018, the indices used to calculate theCustom Benchmark are: Russell 1000® Index, Russell2000® Index, MSCI ACWI ex-US IMI Net Dividend ReturnIndex[sm], Bloomberg Barclays U.S. Aggregate Bond Index,Bloomberg Barclays U.S. Treasury Inflation ProtectedSecurities (TIPS) Index (Series-L), FTSE EPRA NareitDeveloped Index, and the Bloomberg Commodity Index TotalReturn.
Volatility Analysis
Low Moderate High
Investment
Category
In the past, this investment has shown a relatively moderaterange of price fluctuations relative to other investments. Thisinvestment may experience larger or smaller price declines orprice increases depending on market conditions. Some of thisrisk may be offset by owning other investments with differentportfolio makeups or investment strategies.
Best 3 Month Return Worst 3 Month Return
12.55% -11.68%(Jan '19 - Mar '19) (Oct '18 - Dec '18)
Performance
L1 L2 L3 L4 L5 L6
-12
-8
-4
0
4
8
12
16 Total Return% as of 03-31-19
InvestmentPrimary BmarkCustom Bmark
Average annual, if greaterthan 1 year
Since Inception 10 Year 5 Year 3 Year 1 Year YTD
6.77 . . 10.37 4.67 12.55 Investment Return %9.91 . . 13.52 9.30 14.00 Primary Bmark Return %6.61 . . 10.20 4.62 12.54 Custom Bmark Return %........................................................................................................................................................................................................... . . QQQ . . Morningstar Rating™. . . 125 . . # of Funds in Category
Performance Disclosure: The Fund's returns are net of an investment management fee, currently at an annual rateof 0.08%. The Fund’s performance reflects fund level administrative costs capped at 1 basis point (0.01%) per year.Since its inception the Fund has invested all of its assets in LifePath Index 2060 Fund F. Returns shown for periodsprior to the Fund's inception are those of the LifePath Index 2060 Fund F net of the Fund's investment managementfee.
Principal RisksAny of the principal risks summarized below may adversely affect the Fund's net asset value, performance, and ability to meet itsinvestment objective. An investment in the Fund is not a bank deposit, is not guaranteed by BlackRock, Inc. or any of its affiliates,and is not insured by the Federal Deposit Insurance Corporation or any other agency of the U.S. government.
Equity Investment Risk: The price of an equity security fluctuates based on changes in the issuer’s financial condition andoverall market and economic conditions. Equity securities are subject to changes in value that may be more volatile than otherasset classes.
Foreign Investment Risk 1: The Fund may suffer losses due to political, legal, economic and geographic events affecting anon-U.S. issuer or market. The prices of non-U.S. securities may be more volatile than those of securities issued by U.S.corporations or other U.S. entities. Securities of non-U.S. issuers denominated in non-U.S. currencies will expose the Fund tofluctuations in foreign currency exchange prices.
Target Date Risk 1: A “target date” fund may incur losses close to or after the fund's target retirement date, and there is noguarantee that the Fund will provide adequate income for an investor’s retirement.
Asset Allocation Model Risk: The asset allocation model may not effectively maximize returns or minimize risk, or beappropriate for every investor seeking a particular risk profile. The model developed by BTC could result in underperformance ascompared to funds with similar investment objectives and strategies.
Commodity-Related Investment Risk 2: The value of commodity-linked derivative investments may be significantly affectedby changes in overall market movements, commodity index volatility, changes in interest rates, or factors affecting a particularindustry or commodity, such as drought, floods, weather, embargoes, tariffs and international economic, political and regulatorydevelopments.
Securities Lending Risk 1: The Fund may engage in securities lending, which involves borrower credit risk, settlement risk,and cash collateral-related risks, such as the risk that the return on the cash collateral is insufficient to cover the fees the Fund iscommitted to pay and the risk that cash collateral may be invested in securities or other instruments that suffer losses orbecome illiquid.
Derivatives Risk 1: Investments in derivatives (such as futures contracts, forward contracts, swaps and options) may reducethe Fund's returns and/or increase volatility. Fluctuations in the values of derivatives may not correlate perfectly with the overallsecurities markets. The other party in the transaction may not fulfill its contractual obligation. The possible lack of a liquidsecondary market for derivatives could expose the Fund to losses.
Real Estate-Related Investment Risk 2: Real estate values can be negatively affected by many factors including both thegeneral and local economies, the amount of new construction in a particular area, the laws and regulations affecting real estate,the costs of owning, maintaining and improving real estate, availability of mortgages, and changes in interest rates.
Underlying Fund Risk 2: The investment objective and strategies of an Underlying Fund in which the Fund invests may differfrom the Fund, and there is no assurance that an Underlying Fund will achieve its objective.
Fixed Income Investment Risk 10: An increase in interest rates may cause the value of fixed income securities held by theFund to decline. The Fund's income may decline when interest rates fall. Debt issuers may not honor their obligations. Securitiesthat are rated below investment grade may be more volatile and less liquid than higher-rated securities of similar maturity.
Release Date: 03-31-2019
BlackRock LifePath® Index 2060 Fund L .................................................................................................................................................................................................................................................................................................................................................................................................Primary Benchmark Custom Benchmark Morningstar Category Overall Morningstar Rating™ Morningstar Return Morningstar RiskRussell 1000® Index BlackRock LifePath® Index
2060 Custom BenchmarkTarget-Date 2060+ QQQ Average Average
See disclosure for details.
300694 ©2019 Morningstar, Inc., Morningstar Investment Profiles™ 312-696-6000. All rights reserved. The information contained herein: (1) is proprietary toMorningstar and/or its content providers; (2) may not be copied or distributed and (3) is not warranted to be accurate, complete or timely. NeitherMorningstar nor its content providers are responsible for any damages or losses arising from any use of information. Past performance is no guarantee offuture performance. Visit our investment website at www.morningstar.com.
ß® Page 2 of 4
Allocation of Stocks and Bonds Portfolio Analysis
045 40 35 30 25 20 15 10 5
10080
60
40
200
Years Until Retirement
% AllocationBonds
U.S. Stocks
Non-U.S. Stocks
Cash
Other
Investment Objective and StrategyThe Fund seeks to provide for retirement outcomes consistent with investor preferences throughout the savings and draw down phase based on quantitatively measured risk that investors, on average, may be willing to accept.
The Fund is a collective investment trust maintained and managed by BlackRock Institutional Trust Company, N.A. ("BTC").The Fund shall be invested and reinvested in securities and other assets with the objective of providing for retirement
outcomes consistent with investor preferences throughout the savings and drawdown phase based on quantitatively measured risk that investors, on average, may be willing to accept.
In pursuit of that objective, the Fund will be broadly diversified across global asset classes, with asset allocations becoming more conservative over time if the Fund has a year in its name. The Fund’s investments may include: equity securities (including those issued by real estate companies); depositary receipts; debt securities and other fixed income obligations (including those issued or guaranteed by the U.S. government, its agencies or instrumentalities, and those issued by corporations or other entities); mortgage-backed securities; other asset-backed securities; commodities; and/or cash equivalents.
The Fund may invest in securities and other obligations of U.S. issuers or non-U.S. issuers, and those issuers may be of any market capitalization. The Fund's fixed income investments may be investment-grade or non-investment grade, and may include securities and other obligations of any maturity.
In addition to, or in lieu of, investing in the assets listed above, the Fund may engage in structured transactions in these asset classes, as well as over-the-counter forward contracts, swaps and options. When deemed appropriate by BTC, the Fund may invest in futures contracts, for the purpose of acting as a temporary substitute for investment in securities and/or to gain exposure to commodities.
The difference between the normal and current securities holdings for the Fund varies over time and is based on the factors analyzed by the asset allocation model used by BTC to manage the Fund. The normal asset allocations will gradually change over the investment horizon of the Fund to become more heavily oriented toward debt and debt-like securities. As time passes, the Fund is managed more conservatively – prior to retirement – in terms of its allocation to equity securities and markets, on the premise that individuals investing for retirement desire to reduce investment risk in their retirement accounts as their retirement date approaches.
The trajectory along which asset allocations are adjusted over time to gradually become more conservative is called the “glidepath”. The glidepath illustrates the target allocation among asset classes as the Fund approaches its target date. The target asset allocation of the Fund at its retirement date is expected to be 40% in underlying index funds that invest primarily in equity and equity-like securities and 60% in underlying index funds that invest primarily in fixed income and fixed income-like securities.
BTC employs a proprietary investment model that analyzes securities market data, including risk, correlation and expected return statistics, to recommend the portfolio allocation among the asset classes.
Rather than choosing specific securities within each asset class, BTC selects among indices representing segments of the global equity and debt markets and invests in securities that comprise the chosen index. The Fund generally invests in a chosen index through a series of collective investment trusts maintained and managed by BTC, each such fund representing one of the indices (each, an "Underlying Fund").
In the event of a conflict between this summary description of the Fund's investment objective and principal investment strategies and the Trust Document under which the Fund was established, the Trust Document will govern. For more information related to the Fund, please see the Fund's Trust Document, Profile and most recent audited financial statements.
Top 10 Holdings as of 03-31-19 % Assets
U.S. Debt Index Fund E 51.53Russell 1000 Index Fund 21.24BlackRock MSCI ACWI ex-US IMI Index Fd E 11.43U.S. TIPS Fund E 8.32Commodity Index Daily Fund E 3.47.......................................................................................................Russell 2000 Index Fund 3.31Developed Real Estate Index Fund E 0.70
Morningstar Super Sectors as of 03-31-19 % Fund
h Cyclical 38.94j Sensitive 38.34k Defensive 22.74
Morningstar F-I Sectors as of 03-31-19 % Fund % Category
⁄ Government 48.54 34.81› Corporate 19.76 26.44€ Securitized 21.15 19.22‹ Municipal 0.47 0.38fi Cash 10.08 15.15 Other 0.00 3.99
Investment InformationOperations and Management
Product Inception Date 08-26-11Strategy Inception Date 08-01-05Total Fund Assets ($mil) 709.11Investment Manager BlackRock Institutional Trust
Company NA
.........................................................................................................................
Annual Turnover Ratio % 13.31
Fees and Expenses as of 12-31-18
Total Annual Operating Expense % 0.09%Total Annual Operating Expense per $1000 $0.90
Additional Information for Total Annual Operating Expense
The Total Annual Operating Expense ratio noted above("TAOE") reflects a management fee and administrative costs.The administrative costs are capped at one (1) basis point(0.01%) per year. The TAOE may also, if applicable, reflectcertain third party acquired fund fees and expenses. Theremay be other fees and expenses not reflected in the TAOEthat bear on the value of the investment. The PortfolioTurnover Rate is that of the collective investment fund inwhich the Fund invests exclusively, either directly orindirectly.
Release Date: 03-31-2019
BlackRock LifePath® Index Retirement Fund L .................................................................................................................................................................................................................................................................................................................................................................................................Primary Benchmark Custom Benchmark Morningstar Category Overall Morningstar Rating™ Morningstar Return Morningstar RiskBloomberg Barclays U.S.Aggregate Bond Index
BlackRock LifePath® IndexRetirement Custom Benchmark
Target-Date Retirement QQQQ Above Average AverageSee disclosure for details.
698025 ©2019 Morningstar, Inc., Morningstar Investment Profiles™ 312-696-6000. All rights reserved. The information contained herein: (1) is proprietary toMorningstar and/or its content providers; (2) may not be copied or distributed and (3) is not warranted to be accurate, complete or timely. NeitherMorningstar nor its content providers are responsible for any damages or losses arising from any use of information. Past performance is no guarantee offuture performance. Visit our investment website at www.morningstar.com.
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Benchmark DescriptionThe BlackRock LifePath® Index Retirement Fund L's CustomBenchmark is a comparison benchmark for the performanceof the Fund. The Custom Benchmark is calculated usingblended returns of third party indices that proportionallyreflect the respective weightings of the Fund's asset classes.The third party index proportions of the Custom Benchmarkare adjusted quarterly to reflect the Fund's changing assetallocations over time. As the Fund's asset classes have beenre-defined or added over time, the indices used to calculatethe Custom Benchmark have changed accordingly. As ofDecember 31, 2018, the indices used to calculate theCustom Benchmark are: Russell 1000® Index, Russell2000® Index, MSCI ACWI ex-US IMI Net Dividend ReturnIndex[sm], Bloomberg Barclays U.S. Aggregate Bond Index,Bloomberg Barclays U.S. Treasury Inflation ProtectedSecurities (TIPS) Index (Series-L), FTSE EPRA NareitDeveloped Index, and the Bloomberg Commodity Index TotalReturn.
Volatility Analysis
Low Moderate High
Investment
Category
In the past, this investment has shown a relatively smallrange of price fluctuations relative to other investments.Based on this measure, currently more than two-thirds of allinvestments have shown higher levels of risk. Consequently,this investment may appeal to investors looking for aconservative investment strategy.
Best 3 Month Return Worst 3 Month Return
13.46% -15.26%(Mar '09 - May '09) (Sep '08 - Nov '08)
Performance
L1 L2 L3 L4 L5 L6
-6
-4
-2
0
2
4
6
8 Total Return% as of 03-31-19
InvestmentPrimary BmarkCustom Bmark
Average annual, if greaterthan 1 year
Since Inception 10 Year 5 Year 3 Year 1 Year YTD
5.17 7.33 4.21 5.55 4.05 6.73 Investment Return %4.04 3.77 2.74 2.03 4.48 2.94 Primary Bmark Return %5.19 7.33 4.18 5.51 4.06 6.67 Custom Bmark Return %........................................................................................................................................................................................................... QQQQ QQQQ QQQQ . . Morningstar Rating™. 91 126 161 . . # of Funds in Category
Performance Disclosure: The Fund's returns are net of an investment management fee, currently at an annual rateof 0.08%. The Fund’s performance reflects fund level administrative costs capped at 1 basis point (0.01%) per year.Since its inception the Fund has invested all of its assets in LifePath Index Retirement Fund F. Returns shown forperiods prior to the Fund's inception are those of the LifePath Index Retirement Fund F net of the Fund's investmentmanagement fee.
Principal RisksAny of the principal risks summarized below may adversely affect the Fund's net asset value, performance, and ability to meet itsinvestment objective. An investment in the Fund is not a bank deposit, is not guaranteed by BlackRock, Inc. or any of its affiliates,and is not insured by the Federal Deposit Insurance Corporation or any other agency of the U.S. government.
Equity Investment Risk: The price of an equity security fluctuates based on changes in the issuer’s financial condition andoverall market and economic conditions. Equity securities are subject to changes in value that may be more volatile than otherasset classes.
Foreign Investment Risk 1: The Fund may suffer losses due to political, legal, economic and geographic events affecting anon-U.S. issuer or market. The prices of non-U.S. securities may be more volatile than those of securities issued by U.S.corporations or other U.S. entities. Securities of non-U.S. issuers denominated in non-U.S. currencies will expose the Fund tofluctuations in foreign currency exchange prices.
Target Date Risk 1: A “target date” fund may incur losses close to or after the fund's target retirement date, and there is noguarantee that the Fund will provide adequate income for an investor’s retirement.
Asset Allocation Model Risk: The asset allocation model may not effectively maximize returns or minimize risk, or beappropriate for every investor seeking a particular risk profile. The model developed by BTC could result in underperformance ascompared to funds with similar investment objectives and strategies.
Commodity-Related Investment Risk 2: The value of commodity-linked derivative investments may be significantly affectedby changes in overall market movements, commodity index volatility, changes in interest rates, or factors affecting a particularindustry or commodity, such as drought, floods, weather, embargoes, tariffs and international economic, political and regulatorydevelopments.
Securities Lending Risk 1: The Fund may engage in securities lending, which involves borrower credit risk, settlement risk,and cash collateral-related risks, such as the risk that the return on the cash collateral is insufficient to cover the fees the Fund iscommitted to pay and the risk that cash collateral may be invested in securities or other instruments that suffer losses orbecome illiquid.
Derivatives Risk 1: Investments in derivatives (such as futures contracts, forward contracts, swaps and options) may reducethe Fund's returns and/or increase volatility. Fluctuations in the values of derivatives may not correlate perfectly with the overallsecurities markets. The other party in the transaction may not fulfill its contractual obligation. The possible lack of a liquidsecondary market for derivatives could expose the Fund to losses.
Real Estate-Related Investment Risk 2: Real estate values can be negatively affected by many factors including both thegeneral and local economies, the amount of new construction in a particular area, the laws and regulations affecting real estate,the costs of owning, maintaining and improving real estate, availability of mortgages, and changes in interest rates.
Underlying Fund Risk 2: The investment objective and strategies of an Underlying Fund in which the Fund invests may differfrom the Fund, and there is no assurance that an Underlying Fund will achieve its objective.
Fixed Income Investment Risk 10: An increase in interest rates may cause the value of fixed income securities held by theFund to decline. The Fund's income may decline when interest rates fall. Debt issuers may not honor their obligations. Securitiesthat are rated below investment grade may be more volatile and less liquid than higher-rated securities of similar maturity.
Release Date: 03-31-2019
BlackRock LifePath® Index Retirement Fund L .................................................................................................................................................................................................................................................................................................................................................................................................Primary Benchmark Custom Benchmark Morningstar Category Overall Morningstar Rating™ Morningstar Return Morningstar RiskBloomberg Barclays U.S.Aggregate Bond Index
BlackRock LifePath® IndexRetirement Custom Benchmark
Target-Date Retirement QQQQ Above Average AverageSee disclosure for details.
698025 ©2019 Morningstar, Inc., Morningstar Investment Profiles™ 312-696-6000. All rights reserved. The information contained herein: (1) is proprietary toMorningstar and/or its content providers; (2) may not be copied or distributed and (3) is not warranted to be accurate, complete or timely. NeitherMorningstar nor its content providers are responsible for any damages or losses arising from any use of information. Past performance is no guarantee offuture performance. Visit our investment website at www.morningstar.com.
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When used as supplemental sales literature, the InvestmentProfile must be preceded or accompanied by this disclosurestatement. The performance data given represents pastperformance and should not be considered indicative offuture results. Principal value and investment return willfluctuate, so that an investor's shares when redeemed maybe worth more or less than the original investment. Fundportfolio statistics change over time. The fund is not insuredby the Federal Deposit Insurance Corporation ("FDIC"), maylose value and is not guaranteed by a bank or other financialinstitution.
Fund StructureThe fund described herein is a bank-maintained collectiveinvestment fund maintained and managed by BlackRockInstitutional Trust Company, N.A. ("BTC"). BTC is a nationalbanking association organized under the laws of the UnitedStates and operates as a limited purpose trust company. In reliance upon an exemption from the registrationrequirements of the federal securities laws, investments inthe fund are not registered with the Securities and ExchangeCommission (“SEC”) or any state securities commission.Likewise, in reliance upon an exclusion from the definition ofan investment company in the Investment Company Act of1940, as amended (the “Company Act”); the fund is notregistered with the SEC as an investment company under theCompany Act. The Office of the Comptroller of the Currency isresponsible for ensuring that fiduciary powers are exercisedin a manner consistent with the best interests of BTC’sclients and sound fiduciary principles. The fund is offered to defined contribution plans ("Plans")that are qualified under Section 401(a) of the InternalRevenue Code of 1986, as amended ("IRC"), andgovernmental Plans, such as state and municipal governmentPlans that are described in IRC Section 818(a)(6), such asgovernmental IRC Section 457(b) Plans. The fund isestablished and governed by a trust instrument, the Plan ofBlackRock Institutional Trust Company, N.A. InvestmentFunds for Employee Benefit Trusts (the "Plan Document"),which sets forth BTC's powers, authority and responsibilitiesregarding the administration, investment and operation of thefund. Plans investing in the fund become subject to the termsand conditions of the Plan Document.
Best and Worst 3 Month PerformanceMorningstar calculates best and worst 3-month period (inpercentage) in-house on a monthly basis. Best 3-month Period: The highest total return the stockhas posted in a consecutive three-month period over thetrailing 15 years, or if a fund does not have 15 years ofhistory, it will go back as far as the inception date. Worst 3-month Period: The lowest total return the stockhas posted in a consecutive three-month period over thetrailing 15 years, or if a fund does not have 15 years ofhistory, it will go back as far as the inception date.
Morningstar Rating™The Morningstar Rating™ for funds, or "star rating", iscalculated for managed products (including mutual funds,variable annuity and variable life subaccounts, exchange-traded funds, closed-end funds, and separate accounts) withat least a three-year history. Exchange-traded funds and
open-ended mutual funds are considered a single populationfor comparative purposes. It is calculated based on aMorningstar Risk-Adjusted Return measure that accounts forvariation in a managed product's monthly excessperformance, placing more emphasis on downward variationsand rewarding consistent performance. The MorningstarRating does not include any adjustment for sales loads. Thetop 10% of products in each product category receive 5 stars,the next 22.5% receive 4 stars, the next 35% receive 3 stars,the next 22.5% receive 2 stars, and the bottom 10% receive1 star. The Overall Morningstar Rating for a managed productis derived from a weighted average of the performancefigures associated with its three-, five-, and 10-year (ifapplicable) Morningstar Rating metrics. The weights are:100% three-year rating for 36-59 months of total returns,60% five-year rating/40% three-year rating for 60-119 monthsof total returns, and 50% 10-year rating/30% five-yearrating/20% three-year rating for 120 or more months of totalreturns. While the 10-year overall star rating formula seemsto give the most weight to the 10-year period, the mostrecent three-year period actually has the greatest impactbecause it is included in all three rating periods. For privatefunds, the Morningstar Rating presented is hypothetical,because Morningstar does not independently analyze privatefunds. Rather, the rating is assigned as a means to comparethese funds with the universe of mutual funds thatMorningstar rates. The evaluation of this investment does notaffect the retail mutual fund data published by Morningstar.
Morningstar ReturnThe Morningstar Return rates a fund’s performance relative toother managed products in its Morningstar Category. It is anassessment of a product's excess return over a risk-free rate(the return of the 90-day Treasury Bill) in comparison with theproducts in its Morningstar category. In each Morningstarcategory, the top 10% of products earn a High MorningstarReturn (High), the next 22.5% Above Average (+Avg), themiddle 35% Average (Avg), the next 22.5% Below Average (-Avg), and the bottom 10% Low (Low). Morningstar Return ismeasured for up to three time periods (three, five, and 10years). These separate measures are then weighted andaveraged to produce an overall measure for the product.Products with less than three years of performance historyare not rated.
Morningstar RiskMorningstar Risk evaluates a fund’s downside volatilityrelative to that of other products in its Morningstar Category.It is an assessment of the variations in monthly returns, withan emphasis on downside variations, in comparison with theproducts in its Morningstar category. In each Morningstarcategory, the 10% of products with the lowest measured riskare described as Low Risk (Low), the next 22.5% BelowAverage (-Avg), the middle 35% Average (Avg), the next22.5% Above Average (+Avg), and the top 10% High (High).Morningstar Risk is measured for up to three time periods(three, five, and 10 years). These separate measures are thenweighted and averaged to produce an overall measure for theproduct. Products with less than three years of performancehistory are not rated
Morningstar Style Box™
The Morningstar Style Box reveals a fund's investmentstrategy as of the date noted on this report. For equity funds the vertical axis shows the marketcapitalization of the long stocks owned and the horizontal axisshows investment style (value, blend, or growth). For fixed-income funds, the vertical axis shows the creditquality of the long bonds owned and the horizontal axisshows interest rate sensitivity as measured by a bond'seffective duration. For corporate and municipal bonds, Morningstar surveyscredit rating information from fund companies on a periodicbasis (e.g., quarterly). In compiling credit rating information,Morningstar instructs fund companies to only use ratings thathave been assigned by a Nationally Recognized StatisticalRating Organization (NRSRO). If two NRSROs have rated asecurity, fund companies are to report the lowest rating toMorningstar. If a rating is unavailable or unpublished, then thesecurity or issuer is categorized as Not Rated/Not Available.US Government Securities issued by the US Treasury or USGovernment Agencies are included in the US Governmentcategory. PLEASE NOTE: Morningstar, Inc. is not itself anNRSRO nor does it issue a credit rating on the fund. AnNRSRO rating on a fixed-income security can change fromtime-to-time.
Index Provider InformationFunds with S&P® Benchmark: "Standard & Poor's®","S&P®", "S&P 500®", "Standard & Poor's 500®", "500","Standard & Poor's MidCap 400®", "S&P MidCap", "Standard& Poor's 500® Growth Index", and "Standard & Poor's 500®Value Index" are trademarks of The McGraw-Hill Companies,Inc. These marks have been licensed for use by BlackRockInstitutional Trust Company, N.A. The fund is not sponsored,endorsed, sold or promoted by Standard & Poor's, andStandard & Poor's makes no representation regarding theadvisability of investing in the fund. Funds with Dow Jones Benchmark: "Dow Jones", the"Dow Jones U.S. Total Stock Market Index SM" and "DowJones U.S. Completion Total Stock Market IndexSM" areservice marks of Dow Jones & Company, Inc., and the "DowJones-UBS Commodity Index" is a service mark or trademarkof Dow Jones & Company, Inc. and UBS AG, and have beenlicensed for use for certain purposes by BlackRockInstitutional Trust Company, N.A. ("BTC"). BTC’s ExtendedEquity Market Index Funds, US Equity Market Index Funds andBlackRock Dow Jones-UBS Commodity Index Funds, basedon the Dow Jones U.S. Total Stock Market IndexSM ,the DowJones U.S. Completion Total Stock Market IndexSM and theDow Jones-UBS Commodity Index respectively, are notsponsored, endorsed, sold or promoted by Dow Jones andDow Jones does not make any representation regarding theadvisability of investing in such products. Funds with a Citigroup Benchmark: “Citigroup 3 MonthTreasury Bill Index, Citigroup 1 Month Treasury Bill Index©2012 Citigroup Index LLC. All rights reserved.” Funds with an MSCI Benchmark: The MSCI World ex-U.S.Index Funds, MSCI ACWI ex-US Index Funds, EmergingMarkets Index Funds, Active International Equity Index Funds,EAFE Equity Index Funds, and US Real Estate Index Fundsdescribed herein are indexed to an MSCI index. The MSCIIndexes are the exclusive property of Morgan Stanley CapitalInternational Inc. ("MSCI"). MSCI, the MSCI Index Names
Disclosure
698025 ©2019 Morningstar, Inc., Morningstar Investment Profiles™ 312-696-6000. All rights reserved. The information contained herein: (1) is proprietary toMorningstar and/or its content providers; (2) may not be copied or distributed and (3) is not warranted to be accurate, complete or timely. NeitherMorningstar nor its content providers are responsible for any damages or losses arising from any use of information. Past performance is no guarantee offuture performance. Visit our investment website at www.morningstar.com.
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and EAFE® are trade or service marks of MSCI or its affiliatesand have been licensed for use for certain purposes byBlackRock Institutional Trust Company, N.A. Neither MSCInor any other party involved in or related to compiling,computing or creating the MSCI data makes any express orimplied warranties or representations with respect to suchdata (or the results to be obtained by the use thereof), and allsuch parties hereby expressly disclaim all warranties oforiginality, accuracy, completeness, merchantability or fitnessfor a particular purpose with respect to any of such data. Without limiting any of the foregoing, in no event shall MSCI,any of its affiliates or any third party involved in or related tocompiling, computing or creating the data have any liabilityfor any direct, indirect, special, punitive, consequential or anyother damages (including lost profits) even if notified of thepossibility of such damages. NO further distribution ordissemination of the MSCI data is permitted without MSCI’sexpress written consent. Funds with a Russell Benchmark: The Russell 1000 IndexFunds, Russell 1000 Growth Funds, Russell 1000 Value Funds,Russell 2000 Index Funds, Russell 2000 Growth Funds,Russell 2000 Value Funds and Russell 3000 Index Funds arenot promoted, sponsored or endorsed by, nor in any wayaffiliated with Frank Russell Company. Frank Russell Companyis not responsible for and has not reviewed the Russell 1000Index Funds, Russell 1000 Growth Funds, Russell 1000 ValueFunds, Russell 2000 Index Funds, Russell 2000 Growth Funds,Russell 2000 Value Funds and Russell 3000 Index Funds norany associated literature or publications and Frank RussellCompany makes no representation or warranty, express orimplied, as to their accuracy, or completeness, or otherwise.Frank Russell Company reserves the right, at any time andwithout notice, to alter, amend, terminate or in any waychange the Russell Indexes. Frank Russell Company has noobligation to take the needs of any particular fund or itsparticipants or any other product or person into considerationin determining, composing or calculating any of the RussellIndexes. Frank Russell Company's publication of the RussellIndexes in no way suggests or implies an opinion by FrankRussell Company as to the attractiveness or appropriatenessof investment in any or all securities upon which the RussellIndexes are based. Russell Investment Group is the sourceand owner of the trademarks, service marks and copyrightsrelated to the Russell Indexes, including the Russell 1000®,Russell 1000® Growth, Russell 1000® Value, Russell2000®, Russell 2000® Growth, Russell 2000® Value,Russell 2500® and Russell 3000® Indexes Russell is atrademark of Russell Investment Group®. Funds with a FTSE EPRA/NAREIT Benchmark: The fund isnot in any way sponsored, endorsed, sold or promoted byFTSE International Limited (FTSE), by the London StockExchange Plc (the "Exchange"), Euronext N.V. (Euronext), TheFinancial Times Limited (FT), European Public Real EstateAssociation (EPRA) or the National Association of Real EstateInvestment Trusts (NAREIT) (together the "Licensor Parties")and none of the Licensor Parties make any warranty orrepresentation whatsoever, expressly or impliedly, either as tothe results to be obtained from the use of the FTSE EPRA/NAREIT Developed Index, FTSE EPRA/NAREIT Developed exU.S. Index or the FTSE EPRA/NAREIT United States Index(each, an "Index") and/or the figure at which the said Indexstands at any particular time on any particular day or
otherwise. Each Index is compiled and calculated by FTSE.However, none of the Licensor Parties shall be liable (whetherin negligence or otherwise) to any person for any error ineach Index and none of the Licensor Parties shall be underany obligation to advise any person of any error therein. FTSE® is a trademark of the Exchange and the FT, NAREIT®is a trademark of the National Association of Real EstateInvestment Trusts and EPRA® is a trademark of EPRA and allare used by FTSE under license. Funds with a Barclays Benchmark: The index is maintainedby Barclays Inc. ("Barclays"). The fund is not sponsored,endorsed, sold or promoted by Barclays. Barclays makes norepresentation or warranty, express or implied, to the ownersof the fund or any member of the public regarding theadvisability of investing in securities generally or in the fundparticularly or the ability of the Barclays index to track generalbond market performance. Barclays is not responsible for andhas not participated in the determination of the timing of,prices at, or quantities of the fund to be issued. Barclays hasno obligation or liability in connection with the administration,marketing or trading of the fund. Barclays does notguarantee the accuracy and/or the completeness of theBarclays index or any data included therein. Barclays shallhave no liability for any errors, omissions or interruptionstherein. Barclays makes no warranty, express or implied, asto the results to be obtained by BTC and the fund or ownersof the fund, or any other person or entity, from the use of theBarclays index or any data included therein. Barclays makesno express or implied warranties, and expressly disclaims allwarranties of merchantability or fitness for a particularpurpose or use with respect to the Barclays index or any dataincluded therein. Without limiting any of the foregoing, in noevent shall Barclays have any liability for any lost profits orspecial, punitive, direct, indirect, or consequential damageseven if notified thereof.
Additional InformationBlackRock is a premier provider of asset management, riskmanagement, and advisory services to institutional,intermediary, and individual clients worldwide. The firm offersa wide range of investment strategies across asset classes inseparate accounts, mutual funds, other pooled investmentvehicles, and the industry-leading iShares® exchange-tradedfunds. Through BlackRock Solutions®, the firm offers riskmanagement and advisory services that combine capitalmarkets expertise with proprietarily-developed analytics,systems, and technology. BlackRock serves clients in Northand South America, Europe, Asia, Australia, Africa, and theMiddle East. Headquartered in New York, the firm maintainsoffices in 24 countries around the world. For moreinformation on BlackRock, please visit www.blackrock.com. The information provided in the Investment Profile and thisdisclosure statement should not be considered arecommendation to purchase or sell a particular security. Thefund is a collective investment fund and is privately offered. Prospectuses are not required and prices are not available inlocal publications. To obtain pricing information, pleasecontact your service representative. This Investment Profile includes investment option-relatedinformation prepared in accordance with the requirements ofDepartment of Labor ("DOL") Rule 404a-5 under ERISA ("Rule
404a-5"), but please note that this Investment Profile may notmeet all of the disclosure requirements for an ERISA "Section404(c) plan", as described in the DOL regulations underSection 404(c). Please also note that there may be additionalinformation required to be disclosed under Rule 404a-5 that isnot included in this Investment Profile because BlackRock isnot the appropriate source for that information (e.g., plan-related information or information related to fees andexpenses that are charged to participant accounts rather thanto the BlackRock investment option). In addition, please notethat BlackRock investment option-related informationreceived from sources other than BlackRock may not beconsistent with the BlackRock investment option-relatedinformation prepared by BlackRock. The information providedherein does not constitute individual investment advice for aPlan participant or investor, is only informational in nature andshould not be used by a Plan participant or investor as aprimary basis for making an investment decision. Please note that many collective investment fundsmaintained by BTC, including certain underlying funds inwhich such collective investment funds invest, engage insecurities lending. The American Banking Association's "Sample Glossary ofCollective Investment Fund Terms for Disclosure toRetirement Plan Participants" is available from BlackRockupon request. Accordingly, the "Sample Glossary of Investment-RelatedTerms for Disclosures to Retirement Plan Participants"prepared by the Investment Company Institute and TheSPARK Institute is also available from BlackRock uponrequest. For additional terms to assist participants andbeneficiaries in understanding BlackRock collective trustfunds or BlackRock separate accounts, BlackRock hasprepared a glossary that includes certain investmentstrategy-specific concepts. This BlackRock-specific glossaryis available upon request.
Disclosure
698025 ©2019 Morningstar, Inc., Morningstar Investment Profiles™ 312-696-6000. All rights reserved. The information contained herein: (1) is proprietary toMorningstar and/or its content providers; (2) may not be copied or distributed and (3) is not warranted to be accurate, complete or timely. NeitherMorningstar nor its content providers are responsible for any damages or losses arising from any use of information. Past performance is no guarantee offuture performance. Visit our investment website at www.morningstar.com.
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INVESTMENT OPTION PERFORMANCE RESULTS
Investment Option Returnsfor the Period Ending
CORE INVESTMENT OPTIONS
OPTION 1 Month 3 Months Year to Date From Inception Since 1 Year 2 Years 3 Years 5 Years 10 YearsBENCHMARKS (for comparison) 10/31/96 10/31/01Short-Term Fixed Option 0.19% 0.54% 0.19% 1.99% 1.16% 1.79% 1.26% 0.89% 0.48% 0.19%91-Day T-Bill 0.20% 0.59% 0.20% 2.23% 1.36% 1.95% 1.44% 1.08% 0.67% 0.40%Stable Value Option 0.19% 0.54% 0.19% 3.31% 2.67% 2.01% 1.81% 1.69% 1.51% 1.54%91-Day T-Bill 0.20% 0.59% 0.20% 2.23% 1.36% 1.95% 1.44% 1.08% 0.67% 0.40%Rolling Average 5 Year CMT** 0.15% 0.45% 0.15% 3.69% 3.00% 1.69% 1.56% 1.45% 1.42% 2.05%Active Fixed Income Option 1.05% 2.99% 1.05% 4.96% 4.48% 2.32% 2.72% 2.55% 2.81% 4.91%BC Aggregate 1.06% 3.53% 1.06% 4.99% 4.12% 2.25% 2.20% 1.95% 2.44% 3.68%Large Company Value Stock Option 7.78% 0.38% 7.78% 7.86% 7.66% -4.80% 5.60% 11.52% 7.98% 13.49%Russell 1000 Value 7.78% 0.34% 7.78% 8.30% 7.63% -4.81% 5.64% 11.62% 8.33% 13.39%Stock Index Option 8.58% 0.46% 8.58% 8.15% 7.89% -2.35% 10.49% 14.08% 10.30% 14.98%Russell 3000 8.58% 0.45% 8.58% 8.37% 8.06% -2.26% 10.60% 14.19% 10.41% 15.12%Large Company Growth Stock Option 9.01% 0.70% 9.01% 7.62% 8.00% 0.17% 16.12% 16.45% 12.42% 16.69%Russell 1000 Growth 8.99% 0.68% 8.99% 8.03% 8.19% 0.24% 16.28% 16.60% 12.97% 16.86%International Stock Option 7.51% 2.98% 7.51% 5.56% 6.25% -14.36% 5.42% 8.05% 2.88% 8.52%MSCI ACWI EX-US BLENDED 7.56% 3.66% 7.56% 4.57% 5.75% -12.58% 6.47% 9.59% 2.90% 8.24%Small Company Stock Option 11.45% -1.04% 11.45% 10.09% 9.81% -4.14% 5.91% 14.08% 7.13% 14.95%RUSSELL SMALL CAP BLENDED 11.25% -0.41% 11.25% 9.51% 9.73% -3.52% 6.33% 14.71% 7.85% 15.42%Real Return Option 4.76% 2.55% 4.76% -3.12% 1.95% 4.36%CPI + 3% -0.07% -0.23% -0.07% 4.06% 4.59% 4.92%Environmental Social Governance Option 8.56% 1.38% 8.56% -2.82% 10.19% 14.09%Russell 3000 8.58% 0.45% 8.58% -2.26% 10.60% 14.19%
OPTION 1 Month 3 Months Year to Date 1 Year 2 Years 3 Years 5 Years 10 YearsBENCHMARKS (for comparison)
LifePath® Retirement 3.95% 2.62% 3.95% -1.03% 4.42% 5.73% 3.94%
LifePath® 2020 4.23% 2.53% 4.23% -1.58% 5.00% 6.63% 4.47%
LifePath® 2025 5.22% 2.59% 5.22% -2.29% 5.84% 7.77% 5.05%
LifePath® 2030 6.06% 2.61% 6.06% -2.84% 6.67% 8.91% 5.68%
LifePath® 2035 6.86% 2.63% 6.86% -3.54% 7.27% 9.79% 6.03%
LifePath® 2040 7.56% 2.60% 7.56% -4.13% 7.85% 10.65% 6.43%
LifePath® 2045 8.12% 2.63% 8.12% -4.56% 8.21% 11.15% 6.70%
LifePath® 2050 8.37% 2.67% 8.37% -4.73% 8.32% 11.31% 6.82%
LifePath® 2055 8.39% 2.68% 8.39% -4.73% 8.32% 11.29% 6.86%
LifePath® 2060 8.40% 2.68% 8.40% -4.73% 8.29% 11.28%**5 Year Rolling Average of the 5 Year Constant Maturing Treasury Yield.
Performance figures are net all fees including management, recordkeeping and other administrative fees. The results shown represent past performance and should not be considered a representation ofperformance of the options in the future. Investment returns and principal are not guaranteed.
To access current account information 24 hours a day call our customer service center at 1-800-365-8494 or visit our web site at growyourtomorrow.com
January 31, 2019
Annualized
TARGET DATE FUNDS ( LIFEPATH PORTFOLIOS)Annualized
Updated on 2/7/2019
Monthly performance results are published on growyourtomorrow.com
INVESTMENT OPTION PERFORMANCE RESULTS
Investment Option Returnsfor the Period Ending
CORE INVESTMENT OPTIONS
OPTION 1 Month 3 Months Year to Date From Inception Since 1 Year 2 Years 3 Years 5 Years 10 YearsBENCHMARKS (for comparison) 10/31/96 10/31/01Short-Term Fixed Option 0.17% 0.55% 0.36% 1.99% 1.16% 1.87% 1.33% 0.95% 0.52% 0.21%91-Day T-Bill 0.18% 0.56% 0.38% 2.23% 1.37% 2.04% 1.51% 1.13% 0.70% 0.41%Stable Value Option 0.17% 0.54% 0.36% 3.30% 2.66% 2.04% 1.84% 1.71% 1.52% 1.54%91-Day T-Bill 0.18% 0.56% 0.38% 2.23% 1.37% 2.04% 1.51% 1.13% 0.70% 0.41%Rolling Average 5 Year CMT** 0.15% 0.45% 0.30% 3.68% 2.99% 1.71% 1.58% 1.46% 1.43% 2.04%Active Fixed Income Option 0.05% 2.56% 1.10% 4.95% 4.46% 3.18% 2.38% 2.44% 2.69% 4.97%BC Aggregate -0.06% 2.86% 1.00% 4.97% 4.10% 3.17% 1.83% 1.69% 2.32% 3.71%Large Company Value Stock Option 3.20% 0.59% 11.23% 7.99% 7.82% 3.16% 5.40% 12.71% 7.73% 15.45%Russell 1000 Value 3.20% 0.55% 11.23% 8.42% 7.79% 3.16% 5.43% 12.80% 8.09% 15.39%Stock Index Option 3.52% 1.93% 12.40% 8.29% 8.06% 4.96% 10.39% 15.41% 10.04% 16.67%Russell 3000 3.52% 1.94% 12.40% 8.51% 8.24% 5.05% 10.50% 15.53% 10.15% 16.81%Large Company Growth Stock Option 3.57% 3.19% 12.90% 7.76% 8.18% 6.55% 15.80% 17.84% 11.97% 17.95%Russell 1000 Growth 3.58% 3.18% 12.89% 8.17% 8.37% 6.62% 15.96% 17.99% 12.63% 18.19%International Stock Option 1.83% 4.16% 9.48% 5.62% 6.34% -8.26% 5.55% 9.30% 2.23% 9.76%MSCI ACWI EX-US BLENDED 1.95% 4.69% 9.66% 4.64% 5.85% -6.46% 6.66% 10.72% 2.19% 9.63%Small Company Stock Option 5.15% 3.04% 17.18% 10.30% 10.08% 5.06% 7.82% 15.79% 7.22% 16.79%RUSSELL SMALL CAP BLENDED 5.20% 3.13% 17.03% 9.73% 10.01% 5.58% 8.02% 16.67% 7.88% 17.34%Real Return Option 0.54% 3.44% 5.33% -0.15% 1.76% 4.86%CPI + 3% 0.44% 0.80% 0.88% 4.32% 4.80% 5.13%Environmental Social Governance Option 3.66% 2.41% 12.53% 4.84% 10.43% 15.31%Russell 3000 3.52% 1.94% 12.40% 5.05% 10.50% 15.53%
OPTION 1 Month 3 Months Year to Date 1 Year 2 Years 3 Years 5 Years 10 YearsBENCHMARKS (for comparison)
LifePath® Retirement 1.12% 2.83% 5.11% 2.31% 4.23% 6.06% 3.72%
LifePath® 2020 1.21% 2.78% 5.49% 2.11% 4.74% 7.06% 4.15%
LifePath® 2025 1.47% 2.90% 6.77% 2.16% 5.57% 8.34% 4.71%
LifePath® 2030 1.77% 3.05% 7.94% 2.33% 6.39% 9.65% 5.31%
LifePath® 2035 1.89% 3.03% 8.88% 2.14% 6.98% 10.63% 5.66%
LifePath® 2040 2.08% 3.05% 9.80% 2.08% 7.55% 11.61% 6.05%
LifePath® 2045 2.21% 3.09% 10.51% 2.06% 7.92% 12.19% 6.29%
LifePath® 2050 2.28% 3.15% 10.83% 2.05% 8.05% 12.38% 6.38%
LifePath® 2055 2.28% 3.16% 10.87% 2.05% 8.04% 12.36% 6.38%
LifePath® 2060 2.28% 3.16% 10.87% 2.06% 8.02% 12.35%**5 Year Rolling Average of the 5 Year Constant Maturing Treasury Yield.
Performance figures are net all fees including management, recordkeeping and other administrative fees. The results shown represent past performance and should not be considered a representation ofperformance of the options in the future. Investment returns and principal are not guaranteed.
To access current account information 24 hours a day call our customer service center at 1-800-365-8494 or visit our web site at growyourtomorrow.com
February 28, 2019
Annualized
TARGET DATE FUNDS ( LIFEPATH PORTFOLIOS)Annualized
Updated on 3/7/2019
Monthly performance results are published on growyourtomorrow.com
INVESTMENT OPTION PERFORMANCE RESULTS
Investment Option Returnsfor the Period Ending
CORE INVESTMENT OPTIONS
OPTION 1 Month 3 Months Year to Date From Inception Since 1 Year 2 Years 3 Years 5 Years 10 YearsBENCHMARKS (for comparison) 10/31/96 10/31/01Stable Value Option 0.18% 0.54% 0.54% 3.30% 2.66% 2.07% 1.87% 1.73% 1.54% 1.54%91-Day T-Bill 0.22% 0.60% 0.60% 2.24% 1.37% 2.12% 1.62% 1.19% 0.74% 0.43%Rolling Average 5 Year CMT** 0.15% 0.45% 0.45% 3.68% 2.99% 1.73% 1.60% 1.48% 1.43% 2.02%Active Fixed Income Option 1.72% 2.84% 2.84% 5.01% 4.54% 4.29% 3.19% 2.69% 3.08% 4.97%BC Aggregate 1.92% 2.94% 2.94% 5.04% 4.20% 4.48% 2.83% 2.03% 2.74% 3.77%Large Company Value Stock Option 0.64% 11.95% 11.95% 7.99% 7.82% 5.71% 6.29% 10.37% 7.40% 14.53%Russell 1000 Value 0.64% 11.93% 11.93% 8.42% 7.79% 5.67% 6.31% 10.45% 7.72% 14.52%Stock Index Option 1.46% 14.04% 14.04% 8.33% 8.11% 8.68% 11.16% 13.37% 10.25% 15.86%Russell 3000 1.46% 14.04% 14.04% 8.55% 8.29% 8.77% 11.26% 13.48% 10.36% 16.00%Large Company Growth Stock Option 2.85% 16.11% 16.11% 7.86% 8.31% 12.69% 16.78% 16.39% 13.08% 17.22%Russell 1000 Growth 2.85% 16.10% 16.10% 8.27% 8.50% 12.75% 16.92% 16.53% 13.50% 17.52%International Stock Option 0.72% 10.27% 10.27% 5.63% 6.35% -6.94% 4.53% 6.76% 2.47% 9.02%MSCI ACWI EX-US BLENDED 0.60% 10.31% 10.31% 4.65% 5.85% -4.22% 5.65% 8.09% 2.44% 9.02%Small Company Stock Option -2.47% 14.29% 14.29% 10.14% 9.87% 1.47% 6.38% 12.04% 6.80% 15.48%RUSSELL SMALL CAP BLENDED -2.09% 14.58% 14.58% 9.59% 9.82% 2.05% 6.81% 12.92% 7.50% 16.07%Real Return Option 0.48% 5.83% 5.83% 0.10% 2.18% 4.22%CPI + 3% 0.67% 1.79% 1.79% 4.77% 5.09% 5.21%Environmental Social Governance Option 1.22% 13.91% 13.91% 7.75% 11.15% 13.10%Russell 3000 1.46% 14.04% 14.04% 8.77% 11.26% 13.48%
OPTION 1 Month 3 Months Year to Date 1 Year 2 Years 3 Years 5 Years 10 YearsBENCHMARKS (for comparison)
LifePath® Retirement 1.51% 6.70% 6.70% 3.93% 4.94% 5.39% 4.03% 7.12%
LifePath® 2020 1.49% 7.05% 7.05% 3.83% 5.40% 6.11% 4.44% 8.74%
LifePath® 2025 1.50% 8.37% 8.37% 4.09% 6.21% 7.12% 4.99% 9.61%
LifePath® 2030 1.50% 9.56% 9.56% 4.34% 6.99% 8.16% 5.58% 10.46%
LifePath® 2035 1.51% 10.53% 10.53% 4.41% 7.55% 8.88% 5.93% 11.10%
LifePath® 2040 1.51% 11.46% 11.46% 4.50% 8.11% 9.63% 6.31% 11.71%
LifePath® 2045 1.51% 12.17% 12.17% 4.54% 8.46% 10.08% 6.54% 12.25%
LifePath® 2050 1.49% 12.49% 12.49% 4.55% 8.57% 10.22% 6.62% 12.63%
LifePath® 2055 1.49% 12.52% 12.52% 4.55% 8.57% 10.21% 6.61%
LifePath® 2060 1.49% 12.52% 12.52% 4.55% 8.55% 10.19%**5 Year Rolling Average of the 5 Year Constant Maturing Treasury Yield.
Performance figures are net all fees including management, recordkeeping and other administrative fees. The results shown represent past performance and should not be considered a representation ofperformance of the options in the future. Investment returns and principal are not guaranteed.
To access current account information 24 hours a day call our customer service center at 1-800-365-8494 or visit our web site at growyourtomorrow.com
March 31, 2019
Annualized
TARGET DATE FUNDS ( LIFEPATH PORTFOLIOS)Annualized
Updated on 4/5/2019
Monthly performance results are published on growyourtomorrow.com