quarterly investment review - sdcera - the san diego ......san diego county employees'...
TRANSCRIPT
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San Diego County Employees' Retirement Association | Third Quarter 2019
Quarterly Investment Review
1 Executive Summary 1
2 Total Public Equity 15
3 Total Fixed Income 51
4 Opportunistic 81
5 Total Private Assets 95
6 Market Environment 101
7 Appendix 115
Table of Contents
Executive Summary
1
Market Highlights
Market Highlights
Third Quarter YTD 1-Year 3-Year1
5-Year1
10-Year1
Equity
MSCI All Country World IMI -0.18% 15.87% 0.48% 9.36% 6.61% 8.45%
MSCI All Country World -0.03% 16.20% 1.38% 9.71% 6.65% 8.35%
Dow Jones U.S. Total Stock Market 1.14% 20.05% 2.81% 12.78% 10.40% 13.09%
Russell 3000 1.16% 20.09% 2.92% 12.83% 10.44% 13.08%
S&P 500 1.70% 20.55% 4.25% 13.39% 10.84% 13.24%
Russell 2000 -2.40% 14.18% -8.89% 8.23% 8.19% 11.19%
MSCI All Country World ex-U.S. IMI -1.72% 11.38% -1.84% 6.10% 3.05% 4.66%
MSCI All Country World ex-U.S. -1.80% 11.56% -1.23% 6.33% 2.90% 4.45%
MSCI EAFE -1.07% 12.80% -1.34% 6.48% 3.27% 4.90%
MSCI EAFE (Local Currency) 1.75% 15.67% 1.56% 8.30% 6.02% 7.04%
MSCI Emerging Markets -4.25% 5.89% -2.02% 5.97% 2.33% 3.37%
Fixed Income
Bloomberg Barclays Global Aggregate 0.71% 6.32% 7.60% 1.59% 1.99% 2.34%
Bloomberg Barclays U.S. Aggregate 2.27% 8.52% 10.30% 2.92% 3.38% 3.75%
Bloomberg Barclays U.S. Long Gov't 7.83% 19.61% 24.58% 4.11% 6.73% 6.86%
Bloomberg Barclays U.S. Long Credit 5.62% 21.92% 19.91% 6.46% 6.90% 7.78%
Bloomberg Barclays U.S. Long Gov't/Credit 6.58% 20.93% 21.88% 5.56% 6.81% 7.42%
Bloomberg Barclays U.S. TIPS 1.35% 7.58% 7.13% 2.21% 2.45% 3.46%
Bloomberg Barclays U.S. High Yield 1.33% 11.41% 6.36% 6.07% 5.37% 7.94%
Bloomberg Barclays Global Treasury ex U.S. 0.07% 5.07% 7.10% 0.33% 1.35% 1.28%
JP Morgan EMBI Global (Emerging Markets) 1.34% 12.08% 10.74% 3.84% 5.10% 6.51%
Commodities
Bloomberg Commodity Index -1.84% 3.13% -6.57% -1.50% -7.18% -4.32%
Goldman Sachs Commodity Index -4.18% 8.61% -16.31% 1.54% -11.74% -5.43%
Hedge Funds
HFRI Fund-Weighted Composite2
-0.39% 6.81% 0.40% 3.78% 2.90% 3.97%
HFRI Fund of Funds2
-0.90% 5.21% 0.01% 3.16% 1.95% 2.67%
Real Estate
NAREIT U.S. Equity REITS 7.80% 26.96% 18.42% 7.36% 10.26% 13.04%
NCREIF NFI - ODCE 1.31% 3.78% 5.59% 7.30% 9.34% 10.86%
FTSE Global Core Infrastructure Index 2.83% 21.70% 17.23% 11.35% 8.32% 11.02%
Private Equity
Burgiss Private iQ Global Private Equity3
11.96% 14.28% 11.83% 14.11%
MSCI Indices show net total returns. All other indices show gross total returns.1 Periods are annualized.
2 Latest 5 months of HFR data are estimated by HFR and may change in the future.
3 Burgiss Private iQ Global Private Equity data is as at March 31, 2019
Returns of the Major Capital Markets
Period Ending 09/30/2019
2
Market Highlights
Market Highlights
10.8%
8.2%
3.3%2.3%
3.4%
6.7% 6.9%5.4%
-7.2%
13.2%11.2%
4.9%3.4% 3.7%
6.9%7.8% 7.9%
-4.3%
-10.0%
-5.0%
0.0%
5.0%
10.0%
15.0%
S&P 500 Russell 2000 MSCI EAFE MSCI EmergingMarkets
BloombergBarclays U.S.
Aggregate
BloombergBarclays U.S.
Long Gov't
BloombergBarclays U.S.Long Credit
BloombergBarclays U.S.
High Yield
BloombergCommodity Index
LONG TERM ANNUALIZED RETURNSAS OF 09/30/2019
Five-Year Ten-Year
Source: Russell, MSCI, Bloomberg Barclays, Bloomberg
1.7%
-2.4% -1.1%-4.2%
2.3%
7.8%5.6%
1.3%
-1.8%
4.3%
-8.9%
-1.3% -2.0%
10.3%
24.6%
19.9%
6.4%
-6.6%
-15.0%
-10.0%
-5.0%
0.0%
5.0%
10.0%
15.0%
20.0%
25.0%
30.0%
S&P 500 Russell 2000 MSCI EAFE MSCI EmergingMarkets
BloombergBarclays U.S.
Aggregate
BloombergBarclays U.S.
Long Gov't
BloombergBarclays U.S.Long Credit
BloombergBarclays U.S.
High Yield
BloombergCommodity Index
SHORT TERM RETURNSAS OF 09/30/2019
Third Quarter 2019 One-Year
Source: Russell, MSCI, Bloomberg Barclays, Bloomberg
3
Change in Market ValueFrom July 1, 2019 to September 30, 2019
Summary of Cash Flow
$0.0
$4,000.0
$8,000.0
$12,000.0
$16,000.0
$20,000.0
Mill
ion
s ($
)
Beginning Market Value Net Additions / Withdrawals Investment Earnings Ending Market Value
$12,893.3
$395.0 $91.5
$13,379.8
1Quarter
YearTo
Date
FiscalYTD
1Year
Trust Fund
Beginning Market Value 12,893,288,629 12,026,821,108 12,893,288,629 12,940,927,991
+ Additions / Withdrawals 394,987,432 91,811,937 394,987,432 -51,752,451
+ Investment Earnings 91,509,983 1,261,153,000 91,509,983 490,610,505
= Ending Market Value 13,379,786,045 13,379,786,045 13,379,786,045 13,379,786,045
Trust Fund
Trust Fund Asset Summary
As of September 30, 2019
4
Return Summary
Quarterly Relative Performance - 5 Years Ratio of Cumulative Wealth - 5 Years
Trust Fund SDCERA Policy Benchmark
0.0
5.0
10.0
15.0
20.0
Re
turn
1Quarter
YearTo
Date
FiscalYTD
1Year
3Years
5Years
10Years
0.3
12.7
0.3
3.0
7.4
5.7
7.4
0.7
10.6
0.7
4.0
7.3
5.8
7.7
0.98
1.00
1.02
1.04
9/14 3/15 9/15 3/16 9/16 3/17 9/17 3/18 9/18 3/19 9/19
1.00
0.0%
3.0%
6.0%
-3.0 %
-6.0 %
12/14 6/15 12/15 6/16 12/16 6/17 12/17 6/18 12/18 9/19
Trust Fund Performance Summary
As of September 30, 2019Trust Fund
5
Actual vs. Target Allocation (%)
Performance(%)
1Quarter
YearTo
Date
FiscalYTD
1Year
3Years
5Years
10Years
SinceInception
InceptionDate
Trust Fund 0.7 10.6 0.7 4.0 7.3 5.8 7.7 9.6 Sep-80
SDCERA Policy Benchmark 0.3 12.7 0.3 3.0 7.4 5.7 7.4 -
Balanced Benchmark 0.3 13.1 0.3 3.0 7.4 5.7 7.2 -
Total Public Assets 0.2 12.1 0.2 3.0 7.0 4.2 10.8 8.2 Jan-06
SDCERA Public Benchmark 0.4 13.1 0.4 3.2 7.0 5.5 6.7 5.8
Balanced Benchmark 0.3 13.1 0.3 3.0 7.4 5.7 7.2 5.9
Total Public Equity -0.5 15.4 -0.5 0.5 9.2 5.4 14.1 11.6 Jan-06
MSCI AC World IMI (Net) -0.2 15.9 -0.2 0.5 9.4 6.6 8.4 6.2
Total Fixed Income 1.3 6.6 1.3 6.6 2.7 2.9 3.0 2.6 Jan-06
Fixed Income Benchmark 1.3 7.5 1.3 7.7 2.7 2.9 3.3 4.0
Opportunistic 1.4 10.4 1.4 3.8 3.4 5.4 - 5.6 Jun-10
Balanced Benchmark 0.3 13.1 0.3 3.0 7.4 5.7 - 7.7
Total Private Assets 2.5 5.4 2.5 7.8 9.7 - - 9.2 Sep-15
SDCERA Private Assets Benchmark 0.3 11.6 0.3 2.2 8.9 - - 9.2
Target Allocation Actual Allocation Allocation Differences
0.0% 6.0% 12.0% 18.0% 24.0% 30.0% 36.0%-6.0 %-12.0 %
Private Real Assets
Private Equity
Real Estate
Opportunistic
Return-Seeking Fixed Income
Risk-Reducing Fixed Income
Emerging Market Equity
International Equity
Global Equity
U.S. Equity
6.0%
8.0%
9.0%
8.0%
6.0%
18.0%
7.0%
15.0%
3.0%
20.0%
5.0%
5.6%
8.4%
8.1%
6.0%
21.6%
6.1%
14.6%
3.8%
20.9%
-1.0 %
-2.4 %
-0.6 %
0.1%
0.0%
3.6%
-0.9 %
-0.4 %
0.8%
0.9%
Trust Fund Executive Summary
As of September 30, 2019
SDCERA Policy Benchmark: 45% MSCI ACWI IMI, 18% Bloomberg Barclays US Intermediate Aggregate, 6% ICE BofAML US High Yield Index, 8% Balanced Benchmark, 23% SDCERA Private Asset Benchmark. SDCERA PrivateAsset Benchmark: 1/3 NCREIF-ODCE and 2/3 MSCI ACWI IMI. Balanced Benchmark: 70% MSCI ACWI IMI and 30% Bloomberg Barclay's US Intermediate Aggregate. Fixed Income Benchmark: 75% Bloomberg Barclays US
Intermediate Aggregate, 25% ICE BofAML US High Yield Index. Composite since inception returns are from the beginning of the first full month after inception.
6
Trust Fund Performance
0.00% 0.30% 0.60% 0.90% 1.20%
Trust Fund
Trust Fund Benchmark
Total Value Added
0.68%
0.34%
0.34%
Total Value Added:0.34%
0.00% 0.20% 0.40% 0.60%-0.20 %
Other
Manager Value Added
Asset Allocation
-0.01 %
0.31%
0.04%
Total Asset Allocation:0.04%
Average Active Weight
0.00% 4.00% 8.00%-4.00 %-8.00 %
Opportunistic
Total Private Assets
Total Fixed Income
Total Public Equity
We
igh
t
(%)
-0.45 %
-2.89 %
2.67%
0.67%
Asset Allocation Value Added
0.00% 0.04% 0.08%-0.04 %
0.00%
0.00%
0.05%
-0.01 %
Total Manager Value Added:0.31%
Manager Value Added
0.00% 0.40% 0.80%-0.40 %
0.07%
0.44%
-0.02 %
-0.17 %
Trust Fund
Trust Fund Attribution
1 Quarter Ending September 30, 2019
7
Trust Fund Performance
0.00% 2.00% 4.00% 6.00%
Trust Fund
Trust Fund Benchmark
Total Value Added
3.96%
2.98%
0.98%
Total Value Added:0.98%
0.00% 0.37% 0.74% 1.11% 1.48%
Other
Manager Value Added
Asset Allocation
0.04%
0.92%
0.02%
Total Asset Allocation:0.02%
Average Active Weight
0.00% 3.00% 6.00%-3.00 %-6.00 %
Opportunistic
Total Private Assets
Total Fixed Income
Total Public Equity
We
igh
t
(%)
-0.71 %
-1.87 %
2.06%
0.52%
Asset Allocation Value Added
0.00% 0.20%-0.20 %
0.00%
0.01%
0.09%
-0.08 %
Total Manager Value Added:0.92%
Manager Value Added
0.00% 1.00% 2.00%-1.00 %
0.05%
1.14%
-0.27 %
-0.01 %
Trust Fund
Trust Fund Attribution
1 Year Ending September 30, 2019
8
Allocation
MarketValue
($)%
Performance(%)
1Quarter
YearTo
Date
FiscalYTD
1Year
3Years
5Years
10Years
2018 2017 2016 2015 2014Since
InceptionInception
Date
Trust Fund 13,379,786,045 100.0 0.7 10.6 0.7 4.0 7.3 5.8 7.7 -3.9 16.0 6.9 -1.0 8.8 9.6 Sep-80
SDCERA Policy Benchmark 0.3 12.7 0.3 3.0 7.4 5.7 7.4 -6.0 16.3 7.0 -0.4 6.9 -
Balanced Benchmark 0.3 13.1 0.3 3.0 7.4 5.7 7.2 -6.7 17.3 6.8 -1.2 4.5 -
Total Public Assets 10,830,374,894 80.9 0.2 12.1 0.2 3.0 7.0 4.2 10.8 -7.2 18.5 7.5 -6.3 7.8 8.2 Jan-06
SDCERA Public Benchmark 0.4 13.1 0.4 3.2 7.0 5.5 6.7 -6.5 15.6 6.2 -0.2 4.1 5.8
Balanced Benchmark 0.3 13.1 0.3 3.0 7.4 5.7 7.2 -6.7 17.3 6.8 -1.2 4.5 5.9
Total Public Equity 6,056,119,860 45.3 -0.5 15.4 -0.5 0.5 9.2 5.4 14.1 -10.7 25.7 8.0 -5.7 2.0 11.6 Jan-06
MSCI AC World IMI (Net) -0.2 15.9 -0.2 0.5 9.4 6.6 8.4 -10.1 23.9 8.4 -2.2 3.8 6.2
U.S. Equity 2,793,643,816 20.9 1.1 20.3 1.1 2.6 12.4 9.7 11.5 -5.8 20.7 12.0 1.8 7.7 9.8 Jan-06
MSCI USA IMI (Net) 1.1 19.7 1.1 2.4 12.2 9.9 12.5 -5.7 20.6 12.0 0.0 11.9 8.2
Global Equity 504,197,757 3.8 0.0 14.3 0.0 -0.3 9.0 6.6 - -10.7 25.2 8.3 -1.4 5.0 11.1 Jul-10
MSCI AC World IMI (Net) -0.2 15.9 -0.2 0.5 9.4 6.6 - -10.1 23.9 8.4 -2.2 3.8 9.7
International Equity 1,946,800,463 14.6 -1.2 13.6 -1.2 -1.3 6.6 3.5 - -14.4 25.3 1.5 -0.7 - 2.1 Jun-14
MSCI EAFE IMI (Net) -1.0 12.7 -1.0 -2.0 6.4 3.6 - -14.4 26.2 1.2 0.5 - 2.4
Emerging Market Equity 811,477,824 6.1 -4.9 5.3 -4.9 -2.8 5.6 2.1 4.1 -14.6 35.9 12.8 -14.5 -3.1 6.0 Jan-06
Emerging Markets Benchmark -4.2 5.9 -4.2 -2.0 5.8 2.2 3.5 -14.6 36.9 9.9 -13.9 -1.8 5.2
Total Fixed Income 3,689,629,445 27.6 1.3 6.6 1.3 6.6 2.7 2.9 3.0 0.1 4.0 5.2 -0.9 0.9 2.6 Jan-06
Fixed Income Benchmark 1.3 7.5 1.3 7.7 2.7 2.9 3.3 0.1 2.7 2.0 1.2 4.1 4.0
Risk-Reducing Fixed Income 2,883,613,670 21.6 1.5 5.8 1.5 7.5 2.1 - - 1.1 3.0 2.3 - - 3.3 Jan-16
Blmbg. Barc. U.S. Intermediate Aggregate 1.4 6.2 1.4 8.1 2.4 - - 0.9 2.3 2.0 - - 3.0
Return-Seeking Fixed Income 806,015,774 6.0 0.5 8.8 0.5 3.2 4.8 - - -3.3 7.1 15.4 - - 7.3 Jan-16
ICE BofAML US High Yield Index 1.2 11.5 1.2 6.3 6.1 - - -2.3 7.5 17.5 - - 8.9
Opportunistic 1,084,625,590 8.1 1.4 10.4 1.4 3.8 3.4 5.4 - -10.4 11.3 0.9 7.3 14.4 5.6 Jun-10
Balanced Benchmark 0.3 13.1 0.3 3.0 7.4 5.7 - -6.7 17.3 6.8 -1.2 4.5 7.7
Total Private Assets 2,549,411,150 19.1 2.5 5.4 2.5 7.8 9.7 - - 9.1 11.9 9.2 5.5 - 8.6 Jan-15
SDCERA Private Assets Benchmark 0.3 11.6 0.3 2.2 8.9 - - -4.4 18.8 9.9 4.7 - 8.3
Real Estate 1,126,380,904 8.4 3.2 8.8 3.2 10.5 8.4 10.8 10.0 8.1 8.1 11.7 14.2 13.5 7.6 Jan-84
NCREIF ODCE Index (Net) 1.1 3.1 1.1 4.6 6.3 8.4 9.8 7.4 6.7 7.8 14.0 11.5 6.5
Private Equity 747,814,813 5.6 2.6 5.4 2.6 8.5 13.5 11.0 12.7 15.6 18.0 9.6 3.0 15.6 9.4 Jan-06
MSCI AC World IMI (Net) -0.2 15.9 -0.2 0.5 9.4 6.6 8.4 -10.1 23.9 8.4 -2.2 3.8 6.2
Private Real Assets 675,215,433 5.0 1.2 0.6 1.2 3.0 7.2 3.4 7.4 3.7 11.0 5.5 -4.6 15.6 4.0 Feb-08
MSCI AC World IMI (Net) -0.2 15.9 -0.2 0.5 9.4 6.6 8.4 -10.1 23.9 8.4 -2.2 3.8 5.4
Asset Allocation & Performance
As of September 30, 2019
9
-16.0
-10.0
-4.0
2.0
8.0
14.0
20.0
26.0
32.0
Re
turn
1Quarter
YearTo
Date
FiscalYTD
1Year
3Years
5Years
10Years
2018 2017 2016
Trust Fund 0.7 (51) 10.6 (73) 0.7 (51) 4.0 (51) 7.3 (64) 5.8 (69) 7.7 (66) -3.9 (60) 16.0 (39) 6.9 (69)¢
SDCERA Policy Benchmark 0.3 (75) 12.7 (25) 0.3 (75) 3.0 (74) 7.4 (61) 5.7 (71) 7.4 (74) -6.0 (90) 16.3 (27) 7.0 (65)�
Balanced Benchmark 0.3 (77) 13.1 (20) 0.3 (77) 3.0 (73) 7.4 (62) 5.7 (72) 7.2 (82) -6.7 (95) 17.3 (7) 6.8 (73)p
5th Percentile 1.9 13.9 1.9 6.9 9.0 7.3 9.1 0.5 17.7 9.2
1st Quartile 1.0 12.7 1.0 5.1 8.1 6.7 8.4 -1.9 16.4 8.1
Median 0.7 11.2 0.7 4.0 7.7 6.1 7.9 -3.5 15.6 7.5
3rd Quartile 0.3 10.3 0.3 2.7 7.0 5.6 7.4 -4.6 14.2 6.6
95th Percentile -0.1 8.7 -0.1 1.6 5.5 4.3 5.1 -6.7 10.3 3.9
Population 140 140 140 139 138 136 129 127 101 104
Trust Fund
Plan Sponsor Peer Group Analysis
As of September 30, 2019
All Public Plans > $1B-Total Fund
Parentheses contain percentile rankings.
10
Universe: All Public Plans > $1 Billion
StandardDeviation
Beta R-SquaredUp
MarketCapture
DownMarket
Capture
InformationRatio
TrackingError
SharpeRatio
SortinoRatio
Trust Fund 5.75 0.77 0.96 85.70 73.44 -0.01 2.08 0.84 1.33
SDCERA Policy Benchmark 7.34 1.00 1.00 100.00 100.00 - 0.00 0.66 1.01
FTSE 3 Month T-Bill 0.26 0.00 0.00 5.64 -3.86 -0.66 7.34 - 0.00
Annualized Return vs. Annualized Standard Deviation5 Years
3.2
4.0
4.8
5.6
6.4
7.2
8.0
8.8
Re
turn
(%)
2.0 3.0 4.0 5.0 6.0 7.0 8.0 9.0 10.0
Risk (Standard Deviation %)
Trust Fund
SDCERA Policy Benchmark
ReturnStandardDeviation
Trust Fund 5.77 5.75¢£
SDCERA Policy Benchmark 5.69 7.34��
Median 6.11 6.21¾
0.0
25.0
50.0
75.0
100.0
125.0
150.0
Up MarketCapture
-50.0
0.0
50.0
100.0
150.0
Down MarketCapture
5Years
5Years
Trust Fund 85.70 (75) 73.44 (60)¢
5th Percentile 117.48 111.15
1st Quartile 105.01 96.32
Median 94.34 79.53
3rd Quartile 85.06 64.80
95th Percentile 46.36 20.93
<ReportMemberName>
Trust Fund Risk Analysis
5 Years As of September 30, 2019
11
Rolling Information Ratio3 Year
-0.8
-0.4
0.0
0.4
0.8
Info
Ra
tio
Oct
-16
Ap
r-1
7
Oct
-17
Ap
r-1
8
Oct
-18
Ap
r-1
9
Se
p-1
9
-0.1
Rolling Information Ratio5 Year
-0.6
-0.3
0.0
0.3
0.6
0.9
Info
Ra
tio
Oct
-14
Jul-
15
Ap
r-1
6
Jan
-17
Oct
-17
Jul-
18
Se
p-1
9
0.0
Rolling Tracking Error3 Year
1.2
1.5
1.8
2.1
2.4
Tra
ck
ing
Err
or
Oct
-16
Ap
r-1
7
Oct
-17
Ap
r-1
8
Oct
-18
Ap
r-1
9
Se
p-1
9
2.1
Rolling Tracking Error5 Year
0.8
1.2
1.6
2.0
2.4
Tra
ck
ing
Err
or
Oct
-14
Jul-
15
Ap
r-1
6
Jan
-17
Oct
-17
Jul-
18
Se
p-1
9
2.1
<ReportMemberName>
Trust Fund Rolling Risk Statistics
As of September 30, 2019
12
Rolling Up Market Capture Ratio (%)3 Year
80.0
84.0
88.0
92.0
96.0
100.0
Up
Mk
t
Ca
p R
ati
o
Oct
-16
Ap
r-1
7
Oct
-17
Ap
r-1
8
Oct
-18
Ap
r-1
9
Se
p-1
9
84.6
Rolling Up Market Capture Ratio (%)5 Year
80.0
88.0
96.0
104.0
112.0
Up
Mk
t
Ca
p R
ati
o
Oct
-14
Jul-
15
Ap
r-1
6
Jan
-17
Oct
-17
Jul-
18
Se
p-1
9
85.7
Rolling Down Market Capture Ratio (%)3 Year
66.0
72.0
78.0
84.0
90.0
96.0
Do
wn
Mk
t
Ca
p R
ati
o
Oct
-16
Ap
r-1
7
Oct
-17
Ap
r-1
8
Oct
-18
Ap
r-1
9
Se
p-1
9
71.3
Rolling Down Market Capture Ratio (%)5 Year
60.0
75.0
90.0
105.0
120.0
Do
wn
Mk
t
Ca
p R
ati
o
Oct
-14
Jul-
15
Ap
r-1
6
Jan
-17
Oct
-17
Jul-
18
Se
p-1
9
73.4
<ReportMemberName>
Trust Fund Rolling Risk Statistics
As of September 30, 2019
13
This Page Left Blank Intentionally
Writeup
14
Total Public Equity
15
Total Public Equity Current Allocation
Allocation
MarketValue
($)
Performance(%)
1Quarter
FiscalYTD
1Year
3Years
5Years
10Years
2018 2017 2016 2015 2014
Total Public Equity 6,056,119,860 -0.5 -0.5 0.5 9.2 5.4 14.1 -10.7 25.7 8.0 -5.7 2.0
MSCI AC World IMI (Net) -0.2 -0.2 0.5 9.4 6.6 8.4 -10.1 23.9 8.4 -2.2 3.8
U.S. Equity 2,793,643,816 1.1 1.1 2.6 12.4 9.7 11.5 -5.8 20.7 12.0 1.8 7.7
MSCI USA IMI (Net) 1.1 1.1 2.4 12.2 9.9 12.5 -5.7 20.6 12.0 0.0 11.9
Global Equity 504,197,757 0.0 0.0 -0.3 9.0 6.6 - -10.7 25.2 8.3 -1.4 5.0
MSCI AC World IMI (Net) -0.2 -0.2 0.5 9.4 6.6 - -10.1 23.9 8.4 -2.2 3.8
International Equity 1,946,800,463 -1.2 -1.2 -1.3 6.6 3.5 - -14.4 25.3 1.5 -0.7 -
MSCI EAFE IMI (Net) -1.0 -1.0 -2.0 6.4 3.6 - -14.4 26.2 1.2 0.5 -
Emerging Market Equity 811,477,824 -4.9 -4.9 -2.8 5.6 2.1 4.1 -14.6 35.9 12.8 -14.5 -3.1
Emerging Markets Benchmark -4.2 -4.2 -2.0 5.8 2.2 3.5 -14.6 36.9 9.9 -13.9 -1.8
U.S. Equity46.1%
Emerging Market Equity13.4%
International Equity32.1%
Global Equity8.3%
Total Public Equity Performance Summary
As of September 30, 2019
16
Allocation
MarketValue
($)%
Performance(%)
1Quarter
FiscalYTD
1Year
3Years
5Years
10Years
2018 2017 2016 2015 2014
Trust Fund 13,379,786,045 100.0 0.7 0.7 4.0 7.3 5.8 7.7 -3.9 16.0 6.9 -1.0 8.8
U.S. Equity 2,793,643,816 20.9 1.1 1.1 2.6 12.4 9.7 11.5 -5.8 20.7 12.0 1.8 7.7
MSCI USA IMI (Net) 1.1 1.1 2.4 12.2 9.9 12.5 -5.7 20.6 12.0 0.0 11.9
BlackRock MSCI US Equity Index 1,073,423,469 8.0 1.6 (25) 1.6 (25) 4.1 (21) - - - -4.5 (27) - - - -
MSCI USA (Net) 1.4 (28) 1.4 (28) 3.5 (24) - - - -5.0 (31) - - - -IM U.S. Equity (SA+CF) Median 0.3 0.3 -0.6 - - - -7.9 - - - -
BlackRock MSCI US Small Cap Index 154,418,688 1.2 -1.2 (42) -1.2 (42) -4.8 (32) - - - -10.3 (42) - - - -
MSCI USA Small Cap Index (Net) -1.3 (44) -1.3 (44) -5.3 (35) - - - -10.4 (44) - - - -IM U.S. Small Cap Equity (SA+CF) Median -1.7 -1.7 -7.9 - - - -11.5 - - - -
PIMCO Russell 2000 Passive Plus 202,655,035 1.5 -2.5 (82) -2.5 (82) -8.8 (84) 8.4 (70) - - -11.7 (72) 14.9 (69) 22.8 (14) - -
Russell 2000 Index -2.4 (81) -2.4 (81) -8.9 (85) 8.2 (72) - - -11.0 (68) 14.6 (70) 21.3 (17) - -IM U.S. Equity (SA+CF) Median 0.3 0.3 -0.6 10.5 - - -7.9 18.3 12.2 - -
PIMCO S&P Passive Plus 1,363,146,623 10.2 1.6 (23) 1.6 (23) 4.1 (21) 13.3 (25) - - -5.4 (34) 21.6 (32) 13.2 (47) - -
S&P 500 Index 1.7 (22) 1.7 (22) 4.3 (20) 13.4 (24) - - -4.4 (26) 21.8 (31) 12.0 (51) - -IM U.S. Equity (SA+CF) Median 0.3 0.3 -0.6 10.5 - - -7.9 18.3 12.2 - -
Global Equity 504,197,757 3.8 0.0 0.0 -0.3 9.0 6.6 - -10.7 25.2 8.3 -1.4 5.0
MSCI AC World IMI (Net) -0.2 -0.2 0.5 9.4 6.6 - -10.1 23.9 8.4 -2.2 3.8
Allianz Global Equity 391,635,106 2.9 0.0 (46) 0.0 (46) -1.1 (65) - - - -11.3 (66) - - - -
MSCI AC World IMI (Net) -0.2 (51) -0.2 (51) 0.5 (54) - - - -10.1 (56) - - - -IM Global Equity (SA+CF) Median -0.2 -0.2 1.1 - - - -9.4 - - - -
BlackRock ACWI IMI Index 112,562,651 0.8 -0.1 (14) -0.1 (14) - - - - - - - - -
MSCI AC World IMI (Net) -0.2 (16) -0.2 (16) - - - - - - - - -IM International Equity (SA+CF) Median -2.0 -2.0 - - - - - - - - -
International Equity 1,946,800,463 14.6 -1.2 -1.2 -1.3 6.6 3.5 - -14.4 25.3 1.5 -0.7 -
MSCI EAFE IMI (Net) -1.0 -1.0 -2.0 6.4 3.6 - -14.4 26.2 1.2 0.5 -
BlackRock MSCI EAFE IMI Index 421,698,093 3.2 -1.0 (27) -1.0 (27) -1.7 (45) - - - -14.1 (33) - - - -
MSCI EAFE IMI (Net) -1.0 (27) -1.0 (27) -2.0 (49) - - - -14.4 (37) - - - -IM International Equity (SA+CF) Median -2.0 -2.0 -2.2 - - - -15.6 - - - -
PIMCO EAFE Passive Plus 1,525,102,370 11.4 -1.2 (31) -1.2 (31) -1.2 (40) 6.6 (35) - - -14.4 (38) 25.2 (74) 1.5 (60) - -
MSCI EAFE Index (Net) -1.1 (28) -1.1 (28) -1.3 (42) 6.5 (37) - - -13.8 (30) 25.0 (74) 1.0 (63) - -IM International Equity (SA+CF) Median -2.0 -2.0 -2.2 5.7 - - -15.6 29.5 3.1 - -
Emerging Market Equity 811,477,824 6.1 -4.9 -4.9 -2.8 5.6 2.1 4.1 -14.6 35.9 12.8 -14.5 -3.1
Emerging Markets Benchmark -4.2 -4.2 -2.0 5.8 2.2 3.5 -14.6 36.9 9.9 -13.9 -1.8
BlackRock EM Index 392,256,988 2.9 -4.3 (59) -4.3 (59) -2.1 (62) 5.9 (37) - - -14.6 (31) 37.1 (39) 11.0 (37) - -
MSCI Emerging Markets Index (Net) -4.2 (58) -4.2 (58) -2.0 (61) 6.0 (35) - - -14.6 (31) 37.3 (38) 11.2 (36) - -IM Emerging Markets Equity (SA+CF) Median -3.9 -3.9 -0.9 4.9 - - -16.1 35.5 9.2 - -
DFA Emerging Markets Value I 158,019,514 1.2 -7.0 (95) -7.0 (95) -7.2 (96) 5.3 (51) 1.4 (60) - -11.9 (16) 33.8 (56) 19.8 (8) -18.8 (83) -4.4 (71)
MSCI Emerging Markets Index (Net) -4.2 (67) -4.2 (67) -2.0 (72) 6.0 (37) 2.3 (42) - -14.6 (34) 37.3 (38) 11.2 (37) -14.9 (59) -2.2 (50)IM Emerging Markets Equity (MF) Median -3.6 -3.6 0.3 5.4 2.0 - -16.0 35.0 9.3 -13.8 -2.2
PIMCO EM Passive Plus 261,201,322 2.0 -4.4 (61) -4.4 (61) -2.0 (61) 5.8 (39) - - -15.5 (43) 37.0 (40) 11.9 (31) - -
MSCI Emerging Markets Index (Net) -4.2 (58) -4.2 (58) -2.0 (61) 6.0 (35) - - -14.6 (31) 37.3 (38) 11.2 (36) - -IM Emerging Markets Equity (SA+CF) Median -3.9 -3.9 -0.9 4.9 - - -16.1 35.5 9.2 - -
Total Public Equity Performance Summary
As of September 30, 2019
17
Return Summary
Quarterly Relative Performance Ratio of Cumulative Wealth - Since Inception
Current Allocation
Total Public Equity MSCI AC World IMI (Net)
0.0
8.0
16.0
24.0
-8.0
Re
turn
1Quarter
1Year
3Years
5Years
10Years
Inception1/1/06
-0.2
0.5
9.4
6.6
8.4
6.2
-0.5
0.5
9.2
5.4
14.1
11.6
September 30, 2019 : $6,056M
BlackRock ACWI IMI Index:1.9%
PIMCO EAFE Passive Plus:25.2%
BlackRock MSCI US Small Cap Index:2.5%
Allianz Global Equity:6.5%
BlackRock EM Index:6.5%
PIMCO EM Passive Plus:4.3%
BlackRock MSCI EAFE IMI Index:7.0%
PIMCO Russell 2000 Passive Plus:3.3%
BlackRock MSCI US Equity Index:17.7%
DFA Emerging Markets Value I:2.6%
PIMCO S&P Passive Plus:22.5%
0.00
0.80
1.60
2.40
3.20
12/05 6/07 12/08 6/10 12/11 6/13 12/14 6/16 12/17 9/19
1.99
0.0%
3.0%
-3.0 %
-6.0 %
12/14 6/15 12/15 6/16 12/16 6/17 12/17 6/18 12/18 9/19
Total Public Equity Portfolio Overview
As of September 30, 2019Total Public Equity
18
Annualized Return vs. Annualized Standard Deviation5 Years
Rolling 5 Years Standard Deviation
5 Years Historical Statistics
Total Public Equity MSCI AC World IMI (Net)
FTSE 3 Month T-Bill
-2.0
0.0
2.0
4.0
6.0
8.0
10.0
Re
turn
(%)
0.0 3.0 6.0 9.0 12.0 15.0 18.0Risk (Standard Deviation %)
Total Public Equity MSCI AC World IMI (Net)
0.0
10.0
20.0
30.0
40.0
50.0
60.0
70.0
80.0
12/10 12/11 12/12 12/13 12/14 12/15 12/16 12/17 12/18 9/19
ActiveReturn
TrackingError
InformationRatio
R-SquaredSharpeRatio
Alpha Beta ReturnStandardDeviation
ActualCorrelation
Total Public Equity -1.08 2.70 -0.40 0.96 0.40 -1.40 1.05 5.36 12.55 0.98
MSCI AC World IMI (Net) 0.00 0.00 N/A 1.00 0.52 0.00 1.00 6.61 11.74 1.00
FTSE 3 Month T-Bill -6.14 11.74 -0.52 0.00 N/A 0.96 0.00 0.96 0.26 0.00
Total Public Equity Risk Profile
As of September 30, 2019Total Public Equity
19
1 Quarter
0 6 12 18-6-12-18-24-30-36-42-48-54
PIMCO EM Passive Plus
DFA Emerging Markets Value I
BlackRock EM Index
PIMCO EAFE Passive Plus
BlackRock MSCI EAFE IMI Index
BlackRock ACWI IMI Index
Allianz Global Equity
PIMCO S&P Passive Plus
PIMCO Russell 2000 Passive Plus
BlackRock MSCI US Small Cap Index
BlackRock MSCI US Equity Index
Benchmark Effect
Cash Flow Effect
Total Excess Return
0
-8
0
-4
0
0
1
-2
0
0
3
-27
0
-37
Total Public Equity
Asset Class Attribution
1 Quarter Ending September 30, 2019
20
Allocation
MarketValue
($)%
Performance(%)
1Quarter
FiscalYTD
1Year
3Years
5Years
10Years
2018 2017 2016 2015 2014
U.S. Equity 2,793,643,816 100.0 1.1 1.1 2.6 12.4 9.7 11.5 -5.8 20.7 12.0 1.8 7.7
MSCI USA IMI (Net) 1.1 1.1 2.4 12.2 9.9 12.5 -5.7 20.6 12.0 0.0 11.9
BlackRock MSCI US Equity Index 1,073,423,469 38.4 1.6 1.6 4.1 - - - -4.5 - - - -
MSCI USA (Net) 1.4 1.4 3.5 - - - -5.0 - - - -
BlackRock MSCI US Small Cap Index 154,418,688 5.5 -1.2 -1.2 -4.8 - - - -10.3 - - - -
MSCI USA Small Cap Index (Net) -1.3 -1.3 -5.3 - - - -10.4 - - - -
PIMCO Russell 2000 Passive Plus 202,655,035 7.3 -2.5 -2.5 -8.8 8.4 - - -11.7 14.9 22.8 - -
Russell 2000 Index -2.4 -2.4 -8.9 8.2 - - -11.0 14.6 21.3 - -
PIMCO S&P Passive Plus 1,363,146,623 48.8 1.6 1.6 4.1 13.3 - - -5.4 21.6 13.2 - -
S&P 500 Index 1.7 1.7 4.3 13.4 - - -4.4 21.8 12.0 - -
<ReportMemberName>
U.S. Equity Asset Class Overview
As of September 30, 2019
21
Return Summary
Quarterly Relative Performance Ratio of Cumulative Wealth - Since Inception
Current Allocation
U.S. Equity MSCI USA IMI (Net)
0.0
5.0
10.0
15.0
20.0
Re
turn
1Quarter
1Year
3Years
5Years
10Years
Inception1/1/06
1.1
2.4
12.2
9.9
12.5
8.2
1.1
2.6
12.4
9.7
11.5
9.8
September 30, 2019 : $2,794M
BlackRock MSCI US Small Cap Index:5.5%
BlackRock MSCI US Equity Index:38.4%
PIMCO Russell 2000 Passive Plus:7.3%
PIMCO S&P Passive Plus:48.8%
0.60
0.90
1.20
1.50
1.80
12/05 6/07 12/08 6/10 12/11 6/13 12/14 6/16 12/17 9/19
1.220.0%
3.0%
6.0%
-3.0 %
-6.0 %
12/14 6/15 12/15 6/16 12/16 6/17 12/17 6/18 12/18 9/19
U.S. Equity Portfolio Overview
As of September 30, 2019U.S. Equity
22
Annualized Return vs. Annualized Standard Deviation5 Years
Rolling 5 Years Standard Deviation
5 Years Historical Statistics
U.S. Equity MSCI USA IMI (Net)
FTSE 3 Month T-Bill
-3.0
0.0
3.0
6.0
9.0
12.0
15.0
Re
turn
(%)
0.0 3.0 6.0 9.0 12.0 15.0 18.0Risk (Standard Deviation %)
U.S. Equity MSCI USA IMI (Net)
0.0
4.0
8.0
12.0
16.0
20.0
24.0
28.0
12/10 12/11 12/12 12/13 12/14 12/15 12/16 12/17 12/18 9/19
ActiveReturn
TrackingError
InformationRatio
R-SquaredSharpeRatio
Alpha Beta ReturnStandardDeviation
ActualCorrelation
U.S. Equity -0.22 1.95 -0.11 0.97 0.76 0.25 0.95 9.67 11.77 0.99
MSCI USA IMI (Net) 0.00 0.00 N/A 1.00 0.76 0.00 1.00 9.86 12.18 1.00
FTSE 3 Month T-Bill -9.22 12.18 -0.76 0.00 N/A 0.95 0.00 0.96 0.26 0.01
U.S. Equity Risk Profile
As of September 30, 2019U.S. Equity
23
1 Quarter
0 2 4 6 8 10-2-4-6-8
PIMCO S&P Passive Plus
PIMCO Russell 2000 Passive Plus
BlackRock MSCI US Small Cap Index
BlackRock MSCI US Equity Index
Benchmark Effect
Cash Flow Effect
Total Excess Return
-4
-1
1
6
2
0
4
U.S. Equity
Asset Class Attribution
1 Quarter Ending September 30, 2019
24
Return Summary
Quarterly Relative Performance Ratio of Cumulative Wealth - Since Inception
Account Information
BlackRock MSCI US Equity Index
MSCI USA (Net)
0.0
5.0
10.0
15.0
20.0
Re
turn
1Quarter
1Year
Inception8/1/17
1.4
3.5
10.5
1.6
4.1
11.1
Account Name: BlackRock MSCI US Equity Index
Inception Date: 07/07/2017
Account Structure: Commingled Fund
Asset Class: US Equity
Benchmark: MSCI USA (Net)
Peer Group: IM U.S. Equity (SA+CF)
0.0%
0.1%
0.2%
0.3%
0.4%
12/17 3/18 6/18 9/18 12/18 3/19 6/19 9/19
0.99
1.00
1.01
1.02
7/17 10/17 1/18 4/18 7/18 10/18 1/19 4/19 7/19 9/19
1.01
BlackRock MSCI US Equity Index Performance Summary
As of September 30, 2019BlackRock MSCI US Equity Index
25
Return Summary
Quarterly Relative Performance Ratio of Cumulative Wealth - Since Inception
Account Information
BlackRock MSCI US Small Cap Index
MSCI USA Small Cap Index (Net)
0.0
6.0
12.0
-6.0
-12.0
Re
turn
1Quarter
1Year
Inception8/1/17
-1.3
-5.3
6.3
-1.2
-4.8
6.6
Account Name: BlackRock MSCI US Small Cap Index
Inception Date: 07/07/2017
Account Structure: Commingled Fund
Asset Class: US Equity
Benchmark: MSCI USA Small Cap Index (Net)
Peer Group: IM U.S. Small Cap Equity (SA+CF)
9/17 12/17 3/18 6/18 9/18 12/18 3/19 6/19 9/19
0.0%
0.3%
0.6%
-0.3 %
-0.6 %
0.99
1.00
1.01
1.02
7/17 10/17 1/18 4/18 7/18 10/18 1/19 4/19 7/19 9/19
1.01
BlackRock MSCI US Small Cap Index Performance Summary
As of September 30, 2019BlackRock MSCI US Small Cap Index
26
Return Summary
Quarterly Relative Performance Ratio of Cumulative Wealth - Since Inception
Account Information
PIMCO Russell 2000 Passive Plus
Russell 2000 Index
0.0
10.0
20.0
-10.0
-20.0
Re
turn
1Quarter
1Year
3Years
Inception9/1/15
-2.4
-8.9
8.2 8.4
-2.5
-8.8
8.4 8.9
Account Name: PIMCO Russell 2000 Passive Plus
Inception Date: 08/10/2015
Account Structure: Separate Account
Asset Class: US Equity
Benchmark: Russell 2000 Index
Peer Group: IM U.S. Equity (SA+CF)
0.0%
0.7%
1.4%
-0.7 %
-1.4 %
12/15 6/16 12/16 6/17 12/17 6/18 12/18 9/19
0.99
1.00
1.01
1.02
1.03
8/15 2/16 8/16 2/17 8/17 2/18 8/18 2/19 9/19
1.02
PIMCO Russell 2000 Passive Plus Performance Summary
As of September 30, 2019PIMCO Russell 2000 Passive Plus
27
Return Summary
Quarterly Relative Performance Ratio of Cumulative Wealth - Since Inception
Account Information
PIMCO S&P Passive Plus S&P 500 Index
0.0
5.0
10.0
15.0
20.0
Re
turn
1Quarter
1Year
3Years
Inception9/1/15
1.7
4.3
13.412.9
1.6
4.1
13.3 13.3
Account Name: PIMCO S&P Passive Plus
Inception Date: 08/10/2015
Account Structure: Separate Account
Asset Class: US Equity
Benchmark: S&P 500 Index
Peer Group: IM U.S. Equity (SA+CF)
0.0%
0.9%
1.8%
2.7%
-0.9 %
-1.8 %
12/15 6/16 12/16 6/17 12/17 6/18 12/18 9/19
0.98
1.00
1.02
1.04
8/15 2/16 8/16 2/17 8/17 2/18 8/18 2/19 9/19
1.01
PIMCO S&P Passive Plus Performance Summary
As of September 30, 2019PIMCO S&P Passive Plus
28
Allocation
MarketValue
($)%
Performance(%)
1Quarter
FiscalYTD
1Year
3Years
5Years
2018 2017 2016 2015 2014
Global Equity 504,197,757 100.0 0.0 0.0 -0.3 9.0 6.6 -10.7 25.2 8.3 -1.4 5.0
MSCI AC World IMI (Net) -0.2 -0.2 0.5 9.4 6.6 -10.1 23.9 8.4 -2.2 3.8
Allianz Global Equity 391,635,106 77.7 0.0 0.0 -1.1 - - -11.3 - - - -
MSCI AC World IMI (Net) -0.2 -0.2 0.5 - - -10.1 - - - -
BlackRock ACWI IMI Index 112,562,651 22.3 -0.1 -0.1 - - - - - - - -
MSCI AC World IMI (Net) -0.2 -0.2 - - - - - - - -
Global Equity Performance Summary
As of September 30, 2019
29
Return Summary
Quarterly Relative Performance Ratio of Cumulative Wealth - Since Inception
Current Allocation
Global Equity MSCI AC World IMI (Net)
0.0
6.0
12.0
18.0
-6.0
Re
turn
1Quarter
1Year
3Years
5Years
Inception7/1/10
-0.2
0.5
9.4
6.6
9.7
0.0 -0.3
9.0
6.6
11.1
September 30, 2019 : $504M
BlackRock ACWI IMI Index:22.3%
Allianz Global Equity:77.7%
0.96
1.04
1.12
1.20
1.28
6/10 6/11 6/12 6/13 6/14 6/15 6/16 6/17 6/18 9/19
1.120.0%
2.0%
4.0%
-2.0 %
-4.0 %
12/14 6/15 12/15 6/16 12/16 6/17 12/17 6/18 12/18 9/19
Global Equity Portfolio Overview
As of September 30, 2019Global Equity
30
Annualized Return vs. Annualized Standard Deviation5 Years
Rolling 5 Years Standard Deviation
5 Years Historical Statistics
Global Equity MSCI AC World IMI (Net)
FTSE 3 Month T-Bill
-2.0
0.0
2.0
4.0
6.0
8.0
10.0
Re
turn
(%)
0.0 3.0 6.0 9.0 12.0 15.0 18.0Risk (Standard Deviation %)
Global Equity MSCI AC World IMI (Net)
0.0
3.0
6.0
9.0
12.0
15.0
18.0
21.0
6/15 12/15 6/16 12/16 6/17 12/17 6/18 12/18 9/19
ActiveReturn
TrackingError
InformationRatio
R-SquaredSharpeRatio
Alpha Beta ReturnStandardDeviation
ActualCorrelation
Global Equity 0.01 1.52 0.01 0.98 0.53 0.13 0.98 6.63 11.64 0.99
MSCI AC World IMI (Net) 0.00 0.00 N/A 1.00 0.52 0.00 1.00 6.61 11.74 1.00
FTSE 3 Month T-Bill -6.14 11.74 -0.52 0.00 N/A 0.96 0.00 0.96 0.26 0.00
Global Equity Risk Profile
As of September 30, 2019Global Equity
31
1 Quarter
0 2 4 6 8 10 12 14 16 18 20 22 24-2-4-6-8
BlackRock ACWI IMI Index
Allianz Global Equity
Benchmark Effect
Cash Flow Effect
Total Excess Return
2
15
0
0
16
Global Equity
Asset Class Attribution
1 Quarter Ending September 30, 2019
32
Return Summary
Quarterly Relative Performance Ratio of Cumulative Wealth - Since Inception
Account Information
Allianz Global Equity MSCI AC World IMI (Net)
0.0
4.0
8.0
12.0
-4.0
-8.0
Re
turn
1Quarter
1Year
Inception7/1/17
-0.2
0.5
6.8
0.0
-1.1
6.2
Account Name: Allianz Global Equity
Inception Date: 06/21/2017
Account Structure: Separate Account
Asset Class: Global Equity
Benchmark: MSCI AC World IMI (Net)
Peer Group: IM Global Equity (SA+CF)
9/17 12/17 3/18 6/18 9/18 12/18 3/19 6/19 9/19
0.0%
2.0%
4.0%
-2.0 %
-4.0 % 0.96
0.99
1.02
1.05
6/17 9/17 12/17 3/18 6/18 9/18 12/18 3/19 6/19 9/19
0.99
Allianz Global Equity Performance Summary
As of September 30, 2019Allianz Global Equity
33
Return Summary
Quarterly Relative Performance Ratio of Cumulative Wealth - Since Inception
Account Information
BlackRock ACWI IMI Index MSCI AC World IMI (Net)
0.0
8.0
16.0
24.0
-8.0
Re
turn
1Quarter
Inception1/1/19
-0.2
15.9
-0.1
16.3
Account Name: BlackRock ACWI IMI Index
Inception Date: 01/01/2019
Account Structure: Commingled Fund
Asset Class: Global Equity
Benchmark: MSCI AC World IMI (Net)
Peer Group: IM Global Equity (SA+CF)
3/19 9/19 0.0%
0.1%
0.2%
0.3%
0.4%
6/19
0.99
1.00
1.01
12/18 1/19 2/19 3/19 4/19 5/19 6/19 7/19 8/19 9/19
1.00
BlackRock ACWI IMI Index Performance Summary
As of September 30, 2019BlackRock ACWI IMI Index
34
Allocation
MarketValue
($)%
Performance(%)
1Quarter
FiscalYTD
1Year
3Years
2018 2017
International Equity 1,946,800,463 100.0 -1.2 -1.2 -1.3 6.6 -14.4 25.3
MSCI EAFE IMI (Net) -1.0 -1.0 -2.0 6.4 -14.4 26.2
BlackRock MSCI EAFE IMI Index 421,698,093 21.7 -1.0 -1.0 -1.7 - -14.1 -
MSCI EAFE IMI (Net) -1.0 -1.0 -2.0 - -14.4 -
PIMCO EAFE Passive Plus 1,525,102,370 78.3 -1.2 -1.2 -1.2 6.6 -14.4 25.2
MSCI EAFE Index (Net) -1.1 -1.1 -1.3 6.5 -13.8 25.0
International Equity Performance Summary
As of September 30, 2019
35
Return Summary
Quarterly Relative Performance Ratio of Cumulative Wealth - Since Inception
Current Allocation
International Equity MSCI EAFE IMI (Net)
0.0
4.0
8.0
12.0
-4.0
-8.0
Re
turn
1Quarter
1Year
3Years
5Years
Inception6/1/14
-1.0-2.0
6.4
3.6
2.4
-1.2 -1.3
6.6
3.5
2.1
September 30, 2019 : $1,947M
BlackRock MSCI EAFE IMI Index:21.7%
PIMCO EAFE Passive Plus:78.3%
0.94
0.96
0.98
1.00
1.02
5/14 11/14 5/15 11/15 5/16 11/16 5/17 11/17 5/18 11/18 9/19
0.98
0.0%
0.7%
1.4%
-0.7 %
-1.4 %
-2.1 %
12/14 6/15 12/15 6/16 12/16 6/17 12/17 6/18 12/18 9/19
International Equity Portfolio Overview
As of September 30, 2019International Equity
36
1 Quarter
0 3 6 9-3-6-9-12-15-18-21-24-27
PIMCO EAFE Passive Plus
BlackRock MSCI EAFE IMI Index
Benchmark Effect
Cash Flow Effect
Total Excess Return
-12
0
-7
0
-18
International Equity
Asset Class Attribution
1 Quarter Ending September 30, 2019
37
Return Summary
Quarterly Relative Performance Ratio of Cumulative Wealth - Since Inception
Account Information
BlackRock MSCI EAFE IMI Index
MSCI EAFE IMI (Net)
0.0
2.0
4.0
-2.0
-4.0
Re
turn
1Quarter
1Year
Inception8/1/17
-1.0
-2.0
1.6
-1.0
-1.7
1.9
Account Name: BlackRock MSCI EAFE IMI Index
Inception Date: 07/07/2017
Account Structure: Commingled Fund
Asset Class: International Equity
Benchmark: MSCI EAFE IMI (Net)
Peer Group: IM International Equity (SA+CF)
0.0%
0.3%
0.6%
-0.3 %
-0.6 %
12/17 3/18 6/18 9/18 12/18 3/19 6/19 9/19
0.99
1.00
1.01
1.02
7/17 10/17 1/18 4/18 7/18 10/18 1/19 4/19 7/19 9/19
1.01
BlackRock MSCI EAFE IMI Index Performance Summary
As of September 30, 2019BlackRock MSCI EAFE IMI Index
38
Return Summary
Quarterly Relative Performance Ratio of Cumulative Wealth - Since Inception
Account Information
PIMCO EAFE Passive Plus MSCI EAFE Index (Net)
0.0
4.0
8.0
12.0
-4.0
-8.0
Re
turn
1Quarter
1Year
3Years
Inception9/1/15
-1.1 -1.3
6.5
5.0
-1.2 -1.2
6.65.6
Account Name: PIMCO EAFE Passive Plus
Inception Date: 08/10/2015
Account Structure: Separate Account
Asset Class: International Equity
Benchmark: MSCI EAFE Index (Net)
Peer Group: IM International Equity (SA+CF)
0.0%
0.7%
1.4%
2.1%
-0.7 %
-1.4 %
12/15 6/16 12/16 6/17 12/17 6/18 12/18 9/19 2/18 8/18 0.98
1.00
1.02
1.04
8/15 2/16 8/16 2/17 8/17 2/19 9/19
1.03
PIMCO EAFE Passive Plus Performance Summary
As of September 30, 2019PIMCO EAFE Passive Plus
39
Emerging Markets Effective Style Map3 Years
Emerging Markets Effective Style Map5 Years
Allocation
MarketValue
($)%
Performance(%)
1Quarter
FiscalYTD
1Year
3Years
5Years
10Years
2018 2017 2016 2015 2014
Emerging Market Equity 811,477,824 100.0 -4.9 -4.9 -2.8 5.6 2.1 4.1 -14.6 35.9 12.8 -14.5 -3.1
Emerging Markets Benchmark -4.2 -4.2 -2.0 5.8 2.2 3.5 -14.6 36.9 9.9 -13.9 -1.8
BlackRock EM Index 392,256,988 48.3 -4.3 -4.3 -2.1 5.9 - - -14.6 37.1 11.0 - -
MSCI Emerging Markets Index (Net) -4.2 -4.2 -2.0 6.0 - - -14.6 37.3 11.2 - -
DFA Emerging Markets Value I 158,019,514 19.5 -7.0 -7.0 -7.2 5.3 1.4 - -11.9 33.8 19.8 -18.8 -4.4
MSCI Emerging Markets Index (Net) -4.2 -4.2 -2.0 6.0 2.3 - -14.6 37.3 11.2 -14.9 -2.2
PIMCO EM Passive Plus 261,201,322 32.2 -4.4 -4.4 -2.0 5.8 - - -15.5 37.0 11.9 - -
MSCI Emerging Markets Index (Net) -4.2 -4.2 -2.0 6.0 - - -14.6 37.3 11.2 - -
Style Map(36 Months)
Ca
pit
aliz
ati
on
Manager Style
EM Large Value
EM Small Value EM Small Growth
EM Large Growth
DFA EM Value
Style Map(60 Months)
Ca
pit
aliz
ati
on
Manager Style
EM Large Value
EM Small Value EM Small Growth
EM Large Growth
DFA EM Value
<ReportMemberName>
Emerging Market Equity Asset Class Overview
As of September 30, 2019
40
Return Summary
Quarterly Relative Performance Ratio of Cumulative Wealth - Since Inception
Current Allocation
Emerging Market Equity
Emerging Markets Benchmark
0.0
5.0
10.0
-5.0
-10.0
Re
turn
1Quarter
1Year
3Years
5Years
10Years
Inception1/1/06
-4.2
-2.0
5.8
2.23.5
5.2
-4.9
-2.8
5.6
2.1
4.1
6.0
September 30, 2019 : $811M
BlackRock EM Index:48.3%
PIMCO EM Passive Plus:32.2%
DFA Emerging Markets Value I:19.5%
0.91
0.98
1.05
1.12
1.19
12/05 6/07 12/08 6/10 12/11 6/13 12/14 6/16 12/17 9/19
1.11
0.0%
2.0%
4.0%
-2.0 %
-4.0 %
12/14 6/15 12/15 6/16 12/16 6/17 12/17 6/18 12/18 9/19
Emerging Market Equity Portfolio Overview
As of September 30, 2019Emerging Market Equity
41
Annualized Return vs. Annualized Standard Deviation5 Years
Rolling 5 Years Standard Deviation
5 Years Historical Statistics
Emerging Market Equity
Emerging Markets Benchmark
FTSE 3 Month T-Bill
0.4
0.8
1.2
1.6
2.0
2.4
2.8
Re
turn
(%)
0.0 4.0 8.0 12.0 16.0 20.0 24.0Risk (Standard Deviation %)
Emerging Market Equity Emerging Markets Benchmark
0.0
6.0
12.0
18.0
24.0
30.0
36.0
42.0
12/10 12/11 12/12 12/13 12/14 12/15 12/16 12/17 12/18 9/19
ActiveReturn
TrackingError
InformationRatio
R-SquaredSharpeRatio
Alpha Beta ReturnStandardDeviation
ActualCorrelation
Emerging Market Equity -0.15 1.74 -0.08 0.99 0.15 -0.07 0.98 2.14 15.16 0.99
Emerging Markets Benchmark 0.00 0.00 N/A 1.00 0.16 0.00 1.00 2.24 15.41 1.00
FTSE 3 Month T-Bill -2.43 15.42 -0.16 0.00 N/A 0.96 0.00 0.96 0.26 -0.01
Emerging Market Equity Risk Profile
As of September 30, 2019Emerging Market Equity
42
1 Quarter
-84 -78 -72 -66 -60 -54 -48 -42 -36 -30 -24 -18 -12 -6 0
PIMCO EM Passive Plus
DFA Emerging Markets Value I
BlackRock EM Index
Benchmark Effect
Cash Flow Effect
Total Excess Return
-4
-55
-3
0
0
-61
Emerging Market Equity
Asset Class Attribution
1 Quarter Ending September 30, 2019
43
Return Summary
Quarterly Relative Performance Ratio of Cumulative Wealth - Since Inception
Account Information
BlackRock EM Index
MSCI Emerging Markets Index (Net)
0.0
6.0
12.0
18.0
-6.0
-12.0
Re
turn
1Quarter
1Year
3Years
Inception9/1/15
-4.2
-2.0
6.07.6
-4.3
-2.1
5.97.5
Account Name: BlackRock EM Index
Inception Date: 08/04/2015
Account Structure: Commingled Fund
Asset Class: International-Emerging Equity
Benchmark: MSCI Emerging Markets Index (Net)
Peer Group: IM Emerging Markets Equity (SA+CF)
0.0%
0.1%
0.2%
-0.1 %
-0.2 %
-0.3 %
12/15 6/16 12/16 6/17 12/17 6/18 12/18 9/19
0.99
1.00
1.01
8/15 2/16 8/16 2/17 8/17 2/18 8/18 2/19 9/19
1.00
BlackRock EM Index Performance Summary
As of September 30, 2019BlackRock EM Index
44
Return Summary
Quarterly Relative Performance Ratio of Cumulative Wealth - Since Inception
Account Information
As of September 30, 2019
DFA Emerging Markets Value I Performance Summary
DFA Emerging Markets Value I
DFA Emerging Markets Value I
MSCI Emerging Markets Index (Net)
0.0
6.0
12.0
-6.0
-12.0
Re
turn
1Quarter
1Year
3Years
5Years
Inception12/1/11
-4.2
-2.0
6.0
2.33.5
-7.0 -7.2
5.3
1.42.5
Product Name : DFA Emg Mkts Value;I (DFEVX)
Fund Family : Dimensional Fund Advisors LP
Ticker : DFEVX
Peer Group : IM Emerging Markets Equity (MF)
Benchmark : MSCI Emerging Markets Index (Net)
Fund Inception : 04/01/1998
Portfolio Manager : Fogdall/Singh/Phillips
Total Assets : $16,521.20 Million
Total Assets Date : 08/31/2019
Gross Expense : 0.64%
Net Expense : 0.54%
Turnover : 13%
0.0%
3.0%
6.0%
-3.0 %
-6.0 %
12/14 6/15 12/15 6/16 12/16 6/17 12/17 6/18 12/18 9/19
0.85
0.90
0.95
1.00
1.05
11/11 8/12 5/13 2/14 11/14 8/15 5/16 2/17 11/17 8/18 9/19
0.93
45
-55.0
-40.0
-25.0
-10.0
5.0
20.0
35.0
50.0
65.0
80.0
Re
turn
1Quarter
1Year
3Years
5Years
2018 2017 2016
DFA Emerging Markets Value I -7.0 (95) -7.2 (96) 5.3 (51) 1.4 (60) -11.9 (16) 33.8 (56) 19.8 (8)¢
MSCI Emerging Markets Index (Net) -4.2 (67) -2.0 (72) 6.0 (37) 2.3 (42) -14.6 (34) 37.3 (38) 11.2 (37)�
5th Percentile -0.3 9.7 9.7 5.4 -8.6 46.6 25.5
1st Quartile -2.4 3.3 7.0 3.2 -13.5 39.6 12.7
Median -3.6 0.3 5.4 2.0 -16.0 35.0 9.3
3rd Quartile -4.6 -2.4 3.6 0.2 -18.7 28.4 4.4
95th Percentile -7.2 -7.0 -0.4 -3.5 -23.1 19.7 -3.7
Population 223 223 223 216 233 240 240
DFA Emerging Markets Value I
Peer Group Analysis
As of September 30, 2019
IM Emerging Markets Equity (MF)
Parentheses contain percentile rankings.
46
Annualized Return vs. Annualized Standard Deviation5 Years
Rolling 5 Years Standard Deviation
5 Years Historical Statistics
DFA Emerging Markets Value I
MSCI Emerging Markets Index (Net)
FTSE 3 Month T-Bill
0.0
0.5
1.0
1.5
2.0
2.5
3.0
Re
turn
(%)
0.0 4.0 8.0 12.0 16.0 20.0 24.0Risk (Standard Deviation %)
DFA Emerging Markets Value I
MSCI Emerging Markets Index (Net)
0.0
4.0
8.0
12.0
16.0
20.0
24.0
28.0
11/16 5/17 11/17 5/18 11/18 5/19 9/19
ActiveReturn
TrackingError
InformationRatio
R-SquaredSharpeRatio
Alpha Beta ReturnStandardDeviation
ActualCorrelation
DFA Emerging Markets Value I -0.73 4.07 -0.18 0.94 0.11 -0.84 1.03 1.43 16.54 0.97
MSCI Emerging Markets Index (Net) 0.00 0.00 N/A 1.00 0.16 0.00 1.00 2.33 15.56 1.00
FTSE 3 Month T-Bill -2.53 15.56 -0.16 0.00 N/A 0.96 0.00 0.96 0.26 -0.01
DFA Emerging Markets Value I Risk Profile
As of September 30, 2019DFA Emerging Markets Value I
47
Asset Allocation As of 04/30/2019
0.0% 50.0% 100.0% 150.0%
Fixed Income
Convertibles
Other
Cash
Equities
0.0%
0.0%
0.6%
0.6%
98.8%
Fund Characteristics As of 04/30/2019
Total Securities 2,505
Avg. Market Cap $36,806.42 Million
P/E 15.11
P/B 1.24
Div. Yield 3.48%
Annual EPS 13.42
5Yr EPS 8.56
3Yr EPS Growth 14.41
Top Ten Securities As of 04/30/2019
Reliance Industries Ltd ORD 3.71 %
China Construction Bank Corp ORD 2.33 %
Petroleo Brasileiro SA Petrobras 2.02 %
Vale SA ORD 1.90 %
China Mobile Ltd ORD 1.48 %
NK Lukoil PAO DR 1.33 %
Industrial and Commercial Bank 1.26 %
Standard Bank Group Ltd ORD 1.23 %
Hon Hai Precision Industry Co Ltd 0.98 %
Vale SA DR 0.96 %
Regional Allocation As of 04/30/2019
0.0% 50.0% 100.0%
North America
Europe
Other
Pacific Basin
Emg. MidEast, Africa, Europe
Emerging Latin America
Emerging Asia
0.0%
0.1%
0.5%
3.7%
11.7%
13.6%
70.4%
DFA Emerging Markets Value I
Mutual Fund Attributes
As of September 30, 2019
48
Return Summary
Quarterly Relative Performance Ratio of Cumulative Wealth - Since Inception
Account Information
PIMCO EM Passive Plus
MSCI Emerging Markets Index (Net)
0.0
6.0
12.0
18.0
-6.0
-12.0
Re
turn
1Quarter
1Year
3Years
Inception9/1/15
-4.2
-2.0
6.07.6
-4.4
-2.0
5.8
7.6
Account Name: PIMCO EM Passive Plus
Inception Date: 08/10/2015
Account Structure: Separate Account
Asset Class: International-Emerging Equity
Benchmark: MSCI Emerging Markets Index (Net)
Peer Group: IM Emerging Markets Equity (SA+CF)
0.0%
0.6%
1.2%
-0.6 %
-1.2 %
-1.8 %
12/15 6/16 12/16 6/17 12/17 6/18 12/18 9/19
0.98
0.99
1.00
1.01
1.02
8/15 2/16 8/16 2/17 8/17 2/18 8/18 2/19 9/19
1.00
PIMCO EM Passive Plus Performance Summary
As of September 30, 2019PIMCO EM Passive Plus
49
This Page Left Blank Intentionally
50
Total Fixed Income
51
Total Fixed Income Current Allocation
Allocation
MarketValue
($)
Performance(%)
1Quarter
FiscalYTD
1Year
3Years
5Years
10Years
2018 2017 2016 2015 2014
Risk-Reducing Fixed Income 2,883,613,670 1.5 1.5 7.5 2.1 - - 1.1 3.0 2.3 - -
Blmbg. Barc. U.S. Intermediate Aggregate 1.4 1.4 8.1 2.4 - - 0.9 2.3 2.0 - -
U.S. Fixed Income 2,515,197,070 1.6 1.6 7.9 2.4 - - 1.0 3.3 2.5 - -
Blmbg. Barc. U.S. Intermediate Aggregate 1.4 1.4 8.1 2.4 - - 0.9 2.3 2.0 - -
Cash 368,416,600
Return-Seeking Fixed Income 806,015,774 0.5 0.5 3.2 4.8 - - -3.3 7.1 15.4 - -
ICE BofAML US High Yield Index 1.2 1.2 6.3 6.1 - - -2.3 7.5 17.5 - -
High Yield Credit 714,456,678 0.5 0.5 3.7 4.9 4.3 7.0 -3.6 7.1 15.6 -4.2 1.6
ICE BofAML US High Yield Index 1.2 1.2 6.3 6.1 5.4 7.8 -2.3 7.5 17.5 -4.6 2.5
Loans 91,559,096 -0.1 -0.1 0.0 - - - 0.9 - - - -
S&P Leveraged Loan Index 1.0 1.0 3.1 - - - 0.4 - - - -
Loans2.5%
High Yield Credit19.4%
Cash10.0%
U.S. Fixed Income68.2%
Total Fixed Income Performance Summary
As of September 30, 2019
52
Allocation
MarketValue
($)
Performance(%)
1Quarter
FiscalYTD
1Year
3Years
5Years
10Years
2018 2017 2016 2015 2014
U.S. Fixed Income 2,515,197,070 1.6 1.6 7.9 2.4 - - 1.0 3.3 2.5 - -
Blmbg. Barc. U.S. Intermediate Aggregate 1.4 1.4 8.1 2.4 - - 0.9 2.3 2.0 - -
BlackRock U.S. Intermediate Aggregate Index 1,330,844,413 1.4 (33) 1.4 (33) 8.1 (17) - - - 0.9 (24) - - - -
Blmbg. Barc. U.S. Intermediate Aggregate 1.4 (35) 1.4 (35) 8.1 (19) - - - 0.9 (28) - - - -
Ryan Labs Core Fixed 224,188,943 2.5 (9) 2.5 (9) 10.4 (33) - - - -0.1 (38) - - - -
Blmbg. Barc. U.S. Aggregate 2.3 (49) 2.3 (49) 10.3 (42) - - - 0.0 (30) - - - -
Hoisington 357,060,953 3.6 (9) 3.6 (9) 15.4 (9) -0.2 (100) 6.1 (11) - 0.2 (50) 7.6 (18) 1.5 (79) -3.7 (90) 49.5 (1)
Blmbg. Barc. U.S. Treasury: 7-10 Year 2.7 (14) 2.7 (14) 14.0 (9) 2.4 (70) 3.8 (38) - 0.9 (33) 2.6 (72) 1.1 (87) 1.6 (14) 9.0 (13)
PIMCO Short Term Fixed 603,102,762 0.7 (69) 0.7 (69) 2.1 (100) 2.4 (14) 1.6 (60) - 2.1 (4) 2.3 (9) 1.2 (62) 0.7 (45) 0.8 (69)
LIBOR (3 month) 0.6 (98) 0.6 (98) 2.5 (100) 1.9 (54) 1.3 (87) - 2.3 (2) 1.3 (48) 0.7 (94) 0.3 (92) 0.2 (98)
Cash 368,416,600
High Yield Credit 714,456,678 0.5 0.5 3.7 4.9 4.3 7.0 -3.6 7.1 15.6 -4.2 1.6
ICE BofAML US High Yield Index 1.2 1.2 6.3 6.1 5.4 7.8 -2.3 7.5 17.5 -4.6 2.5
Hotchkis & Wiley Cap 308,875,432 -0.4 (98) -0.4 (98) 1.8 (98) 5.2 (21) 4.5 (26) - -3.2 (89) 9.2 (11) 17.4 (2) -4.5 (95) 1.2 (82)
ICE BofAML US High Yield Index 1.2 (63) 1.2 (63) 6.3 (63) 6.1 (11) 5.4 (15) - -2.3 (82) 7.5 (18) 17.5 (2) -4.6 (95) 2.5 (68)
Oaktree High Yield 405,581,246 1.3 (60) 1.3 (60) 5.3 (71) 4.6 (28) 4.1 (31) 6.7 (23) -4.0 (92) 5.4 (32) 14.0 (7) -3.9 (91) 1.4 (80)
ICE BofAML US High Yield Index 1.2 (63) 1.2 (63) 6.3 (63) 6.1 (11) 5.4 (15) 7.8 (10) -2.3 (82) 7.5 (18) 17.5 (2) -4.6 (95) 2.5 (68)
Loans 91,559,096 -0.1 -0.1 0.0 - - - 0.9 - - - -
S&P Leveraged Loan Index 1.0 1.0 3.1 - - - 0.4 - - - -
Allianz Loan Port 91,559,096 -0.1 (97) -0.1 (97) 0.0 (99) 4.1 (34) - - 0.9 (34) 5.0 (35) - - -
S&P Leveraged Loan Index 1.0 (72) 1.0 (72) 3.1 (88) 4.5 (29) - - 0.4 (45) 4.1 (46) - - -
Total Fixed Income Performance Summary
As of September 30, 2019
53
Return Summary
Quarterly Relative Performance Ratio of Cumulative Wealth - Since Inception
Current Allocation
Risk-Reducing Fixed Income
Blmbg. Barc. U.S. Intermediate Aggregate
0.0
3.0
6.0
9.0
12.0
Re
turn
1Quarter
1Year
3Years
Inception1/1/16
1.4
8.1
2.43.0
1.5
7.5
2.1
3.3
September 30, 2019 : $2,884M
BlackRock U.S. Intermediate Aggregate Index:46.2%
Ryan Labs Core Fixed:7.8%
Hoisington:12.4%
Operational Cash:12.7%
PIMCO Short Term Fixed:20.9%
6/16 12/16 6/17 0.98
1.00
1.02
1.04
12/15 12/17 6/18 12/18 9/19
1.010.0%
2.0%
4.0%
-2.0 %
-4.0 %
3/16 9/16 3/17 9/17 3/18 9/18 3/19 9/19
Risk-Reducing Fixed Income Portfolio Overview
As of September 30, 2019Risk-Reducing Fixed Income
54
55
Allocation
MarketValue
($)
Performance(%)
1Quarter
FiscalYTD
1Year
3Years
5Years
10Years
2018 2017 2016 2015 2014
U.S. Fixed Income 2,515,197,070 1.6 1.6 7.9 2.4 - - 1.0 3.3 2.5 - -
Blmbg. Barc. U.S. Intermediate Aggregate 1.4 1.4 8.1 2.4 - - 0.9 2.3 2.0 - -
BlackRock U.S. Intermediate Aggregate Index 1,330,844,413 1.4 1.4 8.1 - - - 0.9 - - - -
Blmbg. Barc. U.S. Intermediate Aggregate 1.4 1.4 8.1 - - - 0.9 - - - -
Ryan Labs Core Fixed 224,188,943 2.5 2.5 10.4 - - - -0.1 - - - -
Blmbg. Barc. U.S. Aggregate 2.3 2.3 10.3 - - - 0.0 - - - -
Hoisington 357,060,953 3.6 3.6 15.4 -0.2 6.1 - 0.2 7.6 1.5 -3.7 49.5
Blmbg. Barc. U.S. Treasury: 7-10 Year 2.7 2.7 14.0 2.4 3.8 - 0.9 2.6 1.1 1.6 9.0
PIMCO Short Term Fixed 603,102,762 0.7 0.7 2.1 2.4 1.6 - 2.1 2.3 1.2 0.7 0.8
LIBOR (3 month) 0.6 0.6 2.5 1.9 1.3 - 2.3 1.3 0.7 0.3 0.2
U.S. Fixed Income Performance Summary
As of September 30, 2019
56
Return Summary
Quarterly Relative Performance Ratio of Cumulative Wealth - Since Inception
Current Allocation
U.S. Fixed Income
Blmbg. Barc. U.S. Intermediate Aggregate
0.0
3.0
6.0
9.0
12.0
Re
turn
1Quarter
1Year
3Years
Inception8/1/15
1.4
8.1
2.42.7
1.6
7.9
2.43.1
September 30, 2019 : $2,515M
Ryan Labs Core Fixed:8.9%
PIMCO Short Term Fixed:24.0%
Hoisington:14.2%
BlackRock U.S. Intermediate Aggregate Index:52.9%
0.99
1.00
1.01
1.02
1.03
7/15 1/16 7/16 1/17 7/17 1/18 7/18 1/19 9/19
1.010.0%
0.8%
1.6%
-0.8 %
-1.6 %
-2.4 %
12/15 6/16 12/16 6/17 12/17 6/18 12/18 9/19
U.S. Fixed Income Portfolio Overview
As of September 30, 2019U.S. Fixed Income
57
1 Quarter
0 4 8 12 16 20 24 28 32 36-4-8-12
Ryan Labs Core Fixed
PIMCO Short Term Fixed
Hoisington
BlackRock U.S. Intermediate Aggregate Index
Benchmark Effect
Cash Flow Effect
Total Excess Return
2
3
12
0
7
0
25
U.S. Fixed Income
Asset Class Attribution
1 Quarter Ending September 30, 2019
58
Return Summary
Quarterly Relative Performance Ratio of Cumulative Wealth - Since Inception
Account Information
BlackRock U.S. Intermediate Aggregate Index
Blmbg. Barc. U.S. Intermediate Aggregate
0.0
3.0
6.0
9.0
12.0
Re
turn
1Quarter
1Year
Inception2/1/17
1.4
8.1
3.4
1.4
8.1
3.5
Account Name: BlackRock U.S. Intermediate Aggregate Index
Inception Date: 01/24/2017
Account Structure: Commingled Fund
Asset Class: US Fixed Income
Benchmark: Blmbg. Barc. U.S. Intermediate Aggregate
Peer Group: IM U.S. Intermediate Duration (SA+CF)
6/17 9/17 12/17 3/18 6/18 9/18 12/18 3/19 6/19 9/19
0.0%
0.1%
-0.1 %
-0.2 %
0.99
1.00
1.01
1/17 4/17 7/17 10/17 1/18 4/18 7/18 10/18 1/19 4/19 9/19
1.00
BlackRock U.S. Intermediate Aggregate Index Performance Summary
As of September 30, 2019BlackRock U.S. Intermediate Aggregate Index
59
Return Summary
Quarterly Relative Performance Ratio of Cumulative Wealth - Since Inception
Account Information
Ryan Labs Core Fixed Blmbg. Barc. U.S. Aggregate
0.0
4.0
8.0
12.0
16.0
Re
turn
1Quarter
1Year
Inception2/1/17
2.3
10.3
4.4
2.5
10.4
4.9
Account Name: Ryan Labs Core Fixed
Inception Date: 01/31/2017
Account Structure: Separate Account
Asset Class: US Fixed Income
Benchmark: Blmbg. Barc. U.S. Aggregate
Peer Group: IM U.S. Broad Market Core Fixed Income (SA+CF)
6/17 9/17 12/17 3/18 6/18 9/18 12/18 3/19 6/19 9/19
0.0%
0.6%
1.2%
-0.6 %
-1.2 % 0.99
1.00
1.01
1.02
1/17 4/17 7/17 10/17 1/18 4/18 7/18 10/18 1/19 4/19 9/19
1.01
Ryan Labs Core Fixed Performance Summary
As of September 30, 2019Ryan Labs Core Fixed
60
Return Summary
Quarterly Relative Performance Ratio of Cumulative Wealth - Since Inception
Account Information
Hoisington
Blmbg. Barc. U.S. Treasury: 7-10 Year
0.0
8.0
16.0
24.0
-8.0
Re
turn
1Quarter
1Year
3Years
5Years
Inception9/1/10
2.7
14.0
2.43.8 3.63.6
15.4
-0.2
6.17.2
Account Name: Hoisington
Inception Date: 08/31/2010
Account Structure: Separate Account
Asset Class: US Fixed Income
Benchmark: Blmbg. Barc. U.S. Treasury: 7-10 Year
Peer Group: IM U.S. Fixed Income (SA+CF)
0.0%
15.0%
30.0%
-15.0 %
-30.0 %
12/14 6/15 12/15 6/16 12/16 6/17 12/17 6/18 12/18 9/19
0.40
0.80
1.20
1.60
2.00
8/10 8/11 8/12 8/13 8/14 8/15 8/16 8/17 8/18 9/19
1.36
Hoisington Performance Summary
As of September 30, 2019Hoisington
61
-16.0
-10.0
-4.0
2.0
8.0
14.0
20.0
26.0
32.0
Re
turn
1Quarter
1Year
3Years
5Years
2018 2017 2016
Hoisington 3.6 (9) 15.4 (9) -0.2 (100) 6.1 (11) 0.2 (50) 7.6 (18) 1.5 (79)¢
Blmbg. Barc. U.S. Treasury: 7-10 Year 2.7 (14) 14.0 (9) 2.4 (70) 3.8 (38) 0.9 (33) 2.6 (72) 1.1 (87)�
5th Percentile 5.8 20.1 6.5 6.8 2.0 11.7 14.9
1st Quartile 2.3 10.1 4.7 4.6 1.2 6.6 7.4
Median 1.4 7.6 3.1 3.4 0.1 3.9 3.4
3rd Quartile 0.9 4.6 2.2 2.4 -1.5 2.3 1.7
95th Percentile 0.3 2.1 1.5 1.2 -5.3 0.9 0.2
Population 1,282 1,279 1,237 1,203 1,447 1,494 1,545
Hoisington
Peer Group Analysis
As of September 30, 2019
IM U.S. Fixed Income (SA+CF)
Parentheses contain percentile rankings.
62
Annualized Return vs. Annualized Standard Deviation5 Years
Rolling 5 Years Standard Deviation
5 Years Historical Statistics
Hoisington
Blmbg. Barc. U.S. Treasury: 7-10 Year
FTSE 3 Month T-Bill
-2.0
0.0
2.0
4.0
6.0
8.0
Re
turn
(%)
0.0 3.0 6.0 9.0 12.0 15.0 18.0 21.0Risk (Standard Deviation %)
Hoisington
Blmbg. Barc. U.S. Treasury: 7-10 Year
0.0
5.0
10.0
15.0
20.0
25.0
30.0
35.0
9/15 3/16 9/16 3/17 9/17 3/18 9/18 3/19 9/19
ActiveReturn
TrackingError
InformationRatio
R-SquaredSharpeRatio
Alpha Beta ReturnStandardDeviation
ActualCorrelation
Hoisington 3.01 9.99 0.30 0.71 0.42 -1.86 2.27 6.07 13.98 0.84
Blmbg. Barc. U.S. Treasury: 7-10 Year 0.00 0.00 N/A 1.00 0.56 0.00 1.00 3.78 5.20 1.00
FTSE 3 Month T-Bill -2.90 5.17 -0.56 0.02 N/A 0.93 0.01 0.96 0.26 0.14
Hoisington Risk Profile
As of September 30, 2019Hoisington
63
Return Summary
Quarterly Relative Performance Ratio of Cumulative Wealth - Since Inception
Account Information
PIMCO Short Term Fixed ICE Libor (3 month)
0.0
0.9
1.8
2.7
3.6
Re
turn
1Quarter
1Year
3Years
5Years
Inception9/1/10
0.6
2.5
1.9
1.3
0.90.7
2.1
2.4
1.6
1.4
Account Name: PIMCO Short Term Fixed
Inception Date: 09/01/2010
Account Structure: Separate Account
Asset Class: US Fixed Income
Benchmark: ICE Libor (3 month)
Peer Group: IM U.S. Short Duration Fixed Income (SA+CF)
0.0%
0.6%
1.2%
-0.6 %
-1.2 %
-1.8 %
12/14 6/15 12/15 6/16 12/16 6/17 12/17 6/18 12/18 9/19
0.96
0.99
1.02
1.05
1.08
1.11
8/10 8/11 8/12 8/13 8/14 8/15 8/16 8/17 8/18 9/19
1.05
PIMCO Short Term Fixed Performance Summary
As of September 30, 2019PIMCO Short Term Fixed
64
Return Seeking Fixed Income Current Allocation
Allocation
MarketValue
($)
Performance(%)
1Quarter
FiscalYTD
1Year
3Years
5Years
10Years
2018 2017 2016 2015 2014
High Yield Credit 714,456,678 0.5 0.5 3.7 4.9 4.3 7.0 -3.6 7.1 15.6 -4.2 1.6
ICE BofAML US High Yield Index 1.2 1.2 6.3 6.1 5.4 7.8 -2.3 7.5 17.5 -4.6 2.5
Hotchkis & Wiley Cap 308,875,432 -0.4 -0.4 1.8 5.2 4.5 - -3.2 9.2 17.4 -4.5 1.2
ICE BofAML US High Yield Index 1.2 1.2 6.3 6.1 5.4 - -2.3 7.5 17.5 -4.6 2.5
Oaktree High Yield 405,581,246 1.3 1.3 5.3 4.6 4.1 6.7 -4.0 5.4 14.0 -3.9 1.4
ICE BofAML US High Yield Index 1.2 1.2 6.3 6.1 5.4 7.8 -2.3 7.5 17.5 -4.6 2.5
Loans 91,559,096 -0.1 -0.1 0.0 - - - 0.9 - - - -
S&P Leveraged Loan Index 1.0 1.0 3.1 - - - 0.4 - - - -
Allianz Loan Port 91,559,096 -0.1 -0.1 0.0 4.1 - - 0.9 5.0 - - -
S&P Leveraged Loan Index 1.0 1.0 3.1 4.5 - - 0.4 4.1 - - -
Loans11.4%
High Yield Credit88.6%
Return Seeking Fixed Income Performance Summary
As of September 30, 2019
65
Return Summary
Quarterly Relative Performance Ratio of Cumulative Wealth - Since Inception
Current Allocation
Return-Seeking Fixed Income
ICE BofAML US High Yield Index
0.0
4.0
8.0
12.0
16.0
Re
turn
1Quarter
1Year
3Years
Inception1/1/16
1.2
6.3 6.1
8.9
0.5
3.2
4.8
7.3
September 30, 2019 : $806M
Hotchkis & Wiley Cap:38.3%
Allianz Loan Port:11.4%
Oaktree High Yield:50.3%
6/16 12/16 6/17
0.92
0.96
1.00
1.04
12/15 12/17 6/18 12/18 9/19
0.95
0.0%
0.6%
1.2%
-0.6 %
-1.2 %
-1.8 %
3/16 9/16 3/17 9/17 3/18 9/18 3/19 9/19
Return-Seeking Fixed Income Portfolio Overview
As of September 30, 2019Return-Seeking Fixed Income
66
1 Quarter
0 15 30 45-15-30-45-60-75-90-105-120
Allianz Loan Port
Oaktree High Yield
Hotchkis & Wiley Cap
Benchmark Effect
Cash Flow Effect
Total Excess Return
-12
2
-64
-3
0
-77
Return-Seeking Fixed Income
Asset Class Attribution
1 Quarter Ending September 30, 2019
67
Allocation
MarketValue
($)
Performance(%)
1Quarter
FiscalYTD
1Year
3Years
5Years
10Years
2018 2017 2016 2015 2014
High Yield Credit 714,456,678 0.5 0.5 3.7 4.9 4.3 7.0 -3.6 7.1 15.6 -4.2 1.6
ICE BofAML US High Yield Index 1.2 1.2 6.3 6.1 5.4 7.8 -2.3 7.5 17.5 -4.6 2.5
Hotchkis & Wiley Cap 308,875,432 -0.4 -0.4 1.8 5.2 4.5 - -3.2 9.2 17.4 -4.5 1.2
ICE BofAML US High Yield Index 1.2 1.2 6.3 6.1 5.4 - -2.3 7.5 17.5 -4.6 2.5
Oaktree High Yield 405,581,246 1.3 1.3 5.3 4.6 4.1 6.7 -4.0 5.4 14.0 -3.9 1.4
ICE BofAML US High Yield Index 1.2 1.2 6.3 6.1 5.4 7.8 -2.3 7.5 17.5 -4.6 2.5
U.S. High Yield Performance Summary
As of September 30, 2019
68
Return Summary
Quarterly Relative Performance Ratio of Cumulative Wealth - Since Inception
Current Allocation
High Yield Credit
ICE BofAML US High Yield Index
0.0
3.0
6.0
9.0
12.0
Re
turn
1Quarter
1Year
3Years
5Years
10Years
Inception1/1/06
1.2
6.3 6.15.4
7.87.4
0.5
3.7
4.94.3
7.06.6
September 30, 2019 : $714M
Hotchkis & Wiley Cap:43.2%
Oaktree High Yield:56.8%
0.80
0.88
0.96
1.04
1.12
1.20
12/05 6/07 12/08 6/10 12/11 6/13 12/14 6/16 12/17 9/19
0.90
0.0%
0.6%
1.2%
-0.6 %
-1.2 %
-1.8 %
12/14 6/15 12/15 6/16 12/16 6/17 12/17 6/18 12/18 9/19
High Yield Credit Portfolio Overview
As of September 30, 2019High Yield Credit
69
Annualized Return vs. Annualized Standard Deviation5 Years
Rolling 5 Years Standard Deviation
5 Years Historical Statistics
High Yield Credit
ICE BofAML US High Yield Index
FTSE 3 Month T-Bill
-1.5
0.0
1.5
3.0
4.5
6.0
7.5
Re
turn
(%)
0.0 1.0 2.0 3.0 4.0 5.0 6.0 7.0 8.0Risk (Standard Deviation %)
High Yield Credit
ICE BofAML US High Yield Index
0.0
3.0
6.0
9.0
12.0
15.0
18.0
21.0
12/10 12/11 12/12 12/13 12/14 12/15 12/16 12/17 12/18 9/19
ActiveReturn
TrackingError
InformationRatio
R-SquaredSharpeRatio
Alpha Beta ReturnStandardDeviation
ActualCorrelation
High Yield Credit -1.05 1.03 -1.01 0.96 0.66 -0.70 0.94 4.29 5.15 0.98
ICE BofAML US High Yield Index 0.00 0.00 N/A 1.00 0.82 0.00 1.00 5.37 5.40 1.00
FTSE 3 Month T-Bill -4.43 5.39 -0.82 0.00 N/A 0.94 0.00 0.96 0.26 0.06
High Yield Credit Risk Profile
As of September 30, 2019High Yield Credit
70
1 Quarter
0 15 30-15-30-45-60-75-90-105
Oaktree High Yield
Hotchkis & Wiley Cap
Benchmark Effect
Cash Flow Effect
Total Excess Return
2
-73
0
0
-70
High Yield Credit
Asset Class Attribution
1 Quarter Ending September 30, 2019
71
Return Summary
Quarterly Relative Performance Ratio of Cumulative Wealth - Since Inception
Account Information
Hotchkis & Wiley Cap
ICE BofAML US High Yield Index
0.0
4.0
8.0
12.0
-4.0
Re
turn
1Quarter
1Year
3Years
5Years
Inception9/1/10
1.2
6.3 6.15.4
7.0
-0.4
1.8
5.24.5
7.1
Account Name: Hotchkis & Wiley Cap
Inception Date: 08/31/2010
Account Structure: Separate Account
Asset Class: US Fixed Income
Benchmark: ICE BofAML US High Yield Index
Peer Group: IM U.S. Fixed Income (SA+CF)
0.0%
2.0%
4.0%
-2.0 %
-4.0 %
12/14 6/15 12/15 6/16 12/16 6/17 12/17 6/18 12/18 9/19
0.96
1.00
1.04
1.08
1.12
8/10 8/11 8/12 8/13 8/14 8/15 8/16 8/17 8/18 9/19
1.01
Hotchkis & Wiley Cap Performance Summary
As of September 30, 2019Hotchkis & Wiley Cap
72
-16.0
-10.0
-4.0
2.0
8.0
14.0
20.0
26.0
32.0
Re
turn
1Quarter
1Year
3Years
5Years
2018 2017 2016
Hotchkis & Wiley Cap -0.4 (98) 1.8 (98) 5.2 (21) 4.5 (26) -3.2 (89) 9.2 (11) 17.4 (2)¢
ICE BofAML US High Yield Index 1.2 (63) 6.3 (63) 6.1 (11) 5.4 (15) -2.3 (82) 7.5 (18) 17.5 (2)�
5th Percentile 5.8 20.1 6.5 6.8 2.0 11.7 14.9
1st Quartile 2.3 10.1 4.7 4.6 1.2 6.6 7.4
Median 1.4 7.6 3.1 3.4 0.1 3.9 3.4
3rd Quartile 0.9 4.6 2.2 2.4 -1.5 2.3 1.7
95th Percentile 0.3 2.1 1.5 1.2 -5.3 0.9 0.2
Population 1,282 1,279 1,237 1,203 1,447 1,494 1,545
Hotchkis & Wiley Cap
Peer Group Analysis
As of September 30, 2019
IM U.S. Fixed Income (SA+CF)
Parentheses contain percentile rankings.
73
Annualized Return vs. Annualized Standard Deviation5 Years
Rolling 5 Years Standard Deviation
5 Years Historical Statistics
Hotchkis & Wiley Cap
ICE BofAML US High Yield Index
FTSE 3 Month T-Bill
-1.5
0.0
1.5
3.0
4.5
6.0
7.5
Re
turn
(%)
0.0 1.0 2.0 3.0 4.0 5.0 6.0 7.0 8.0Risk (Standard Deviation %)
Hotchkis & Wiley Cap
ICE BofAML US High Yield Index
0.0
2.0
4.0
6.0
8.0
10.0
9/15 3/16 9/16 3/17 9/17 3/18 9/18 3/19 9/19
ActiveReturn
TrackingError
InformationRatio
R-SquaredSharpeRatio
Alpha Beta ReturnStandardDeviation
ActualCorrelation
Hotchkis & Wiley Cap -0.82 1.99 -0.41 0.87 0.66 -0.53 0.95 4.50 5.47 0.93
ICE BofAML US High Yield Index 0.00 0.00 N/A 1.00 0.82 0.00 1.00 5.37 5.40 1.00
FTSE 3 Month T-Bill -4.43 5.39 -0.82 0.00 N/A 0.94 0.00 0.96 0.26 0.06
Hotchkis & Wiley Cap Risk Profile
As of September 30, 2019Hotchkis & Wiley Cap
74
Return Summary
Quarterly Relative Performance Ratio of Cumulative Wealth - Since Inception
Account Information
Oaktree High Yield
ICE BofAML US High Yield Index
0.0
3.0
6.0
9.0
12.0
Re
turn
1Quarter
1Year
3Years
5Years
10Years
Inception5/1/1995
1.2
6.3 6.15.4
7.8
1.3
5.3
4.64.1
6.77.1
Account Name: Oaktree High Yield
Inception Date: 05/01/1995
Account Structure: Separate Account
Asset Class: US Fixed Income
Benchmark: ICE BofAML US High Yield Index
Peer Group: IM U.S. Fixed Income (SA+CF)
0.0%
1.0%
2.0%
-1.0 %
-2.0 %
-3.0 %
12/14 6/15 12/15 6/16 12/16 6/17 12/17 6/18 12/18 9/19
0.80
1.00
1.20
1.40
12/96 3/99 6/01 9/03 12/05 3/08 6/10 9/12 12/14 3/17 9/19
0.96
Oaktree High Yield Performance Summary
As of September 30, 2019Oaktree High Yield
*The ICE BofAML US High Yield Index inception date is 1/1/1997.
75
-16.0
-10.0
-4.0
2.0
8.0
14.0
20.0
26.0
32.0
Re
turn
1Quarter
1Year
3Years
5Years
10Years
2018 2017 2016
Oaktree High Yield 1.3 (60) 5.3 (71) 4.6 (28) 4.1 (31) 6.7 (23) -4.0 (92) 5.4 (32) 14.0 (7)¢
ICE BofAML US High Yield Index 1.2 (63) 6.3 (63) 6.1 (11) 5.4 (15) 7.8 (10) -2.3 (82) 7.5 (18) 17.5 (2)�
5th Percentile 5.8 20.1 6.5 6.8 8.3 2.0 11.7 14.9
1st Quartile 2.3 10.1 4.7 4.6 6.2 1.2 6.6 7.4
Median 1.4 7.6 3.1 3.4 4.1 0.1 3.9 3.4
3rd Quartile 0.9 4.6 2.2 2.4 2.9 -1.5 2.3 1.7
95th Percentile 0.3 2.1 1.5 1.2 1.3 -5.3 0.9 0.2
Population 1,282 1,279 1,237 1,203 1,002 1,447 1,494 1,545
Oaktree High Yield
Peer Group Analysis
As of September 30, 2019
IM U.S. Fixed Income (SA+CF)
Parentheses contain percentile rankings.
76
Annualized Return vs. Annualized Standard Deviation5 Years
Rolling 5 Years Standard Deviation
5 Years Historical Statistics
Oaktree High Yield
ICE BofAML US High Yield Index
FTSE 3 Month T-Bill
-1.5
0.0
1.5
3.0
4.5
6.0
7.5
Re
turn
(%)
0.0 1.0 2.0 3.0 4.0 5.0 6.0 7.0 8.0Risk (Standard Deviation %)
Oaktree High Yield
ICE BofAML US High Yield Index
0.0
3.0
6.0
9.0
12.0
15.0
18.0
21.0
12/01 9/03 6/05 3/07 12/08 9/10 6/12 3/14 12/15 9/17 9/19
ActiveReturn
TrackingError
InformationRatio
R-SquaredSharpeRatio
Alpha Beta ReturnStandardDeviation
ActualCorrelation
Oaktree High Yield -1.21 0.90 -1.35 0.97 0.64 -0.81 0.93 4.12 5.07 0.99
ICE BofAML US High Yield Index 0.00 0.00 N/A 1.00 0.82 0.00 1.00 5.37 5.40 1.00
FTSE 3 Month T-Bill -4.43 5.39 -0.82 0.00 N/A 0.94 0.00 0.96 0.26 0.06
Oaktree High Yield Risk Profile
As of September 30, 2019Oaktree High Yield
77
Return Summary
Quarterly Relative Performance Ratio of Cumulative Wealth - Since Inception
Account Information
Allianz Loan Port S&P Leveraged Loan Index
0.0
3.0
6.0
9.0
-3.0
Re
turn
1Quarter
1Year
3Years
Inception5/1/16
1.0
3.1
4.5
5.2
-0.1 0.0
4.1
4.9
Account Name: Allianz Loan Port
Inception Date: 04/13/2016
Account Structure: Separate Account
Asset Class: US Fixed Income
Benchmark: S&P Leveraged Loan Index
Peer Group: IM U.S. Fixed Income (SA+CF)
0.0%
2.0%
4.0%
-2.0 %
-4.0 %
6/16 12/16 6/17 12/17 6/18 12/18 6/19 9/19
0.98
1.00
1.02
1.04
4/16 10/16 4/17 10/17 4/18 10/18 4/19 9/19
0.99
Allianz Loan Port Performance Summary
As of September 30, 2019Allianz Loan Port
78
-16.0
-10.0
-4.0
2.0
8.0
14.0
20.0
26.0
32.0
Re
turn
1Quarter
1Year
3Years
2018
Allianz Loan Port -0.1 (97) 0.0 (99) 4.1 (34) 0.9 (34)¢
S&P Leveraged Loan Index 1.0 (72) 3.1 (88) 4.5 (29) 0.4 (45)�
5th Percentile 5.8 20.1 6.5 2.0
1st Quartile 2.3 10.1 4.7 1.2
Median 1.4 7.6 3.1 0.1
3rd Quartile 0.9 4.6 2.2 -1.5
95th Percentile 0.3 2.1 1.5 -5.3
Population 1,282 1,279 1,237 1,447
Allianz Loan Port
Peer Group Analysis
As of September 30, 2019
IM U.S. Fixed Income (SA+CF)
Parentheses contain percentile rankings.
79
This Page Left Blank Intentionally
Writeup
80
Opportunistic
81
Allocation
MarketValue
($)
Performance(%)
1Quarter
FiscalYTD
1Year
3Years
5Years
10Years
2018 2017 2016 2015 2014
Opportunistic 1,084,625,590 1.4 1.4 3.8 3.4 5.4 - -10.4 11.3 0.9 7.3 14.4
Balanced Benchmark 0.3 0.3 3.0 7.4 5.7 - -6.7 17.3 6.8 -1.2 4.5
AQR Delta Offshore Fund 96,976,707 -1.1 -1.1 -11.3 -5.5 -0.2 - -16.2 6.0 2.5 11.3 8.7
Balanced Benchmark 0.3 0.3 3.0 7.4 5.7 - -6.7 17.3 6.8 -1.2 4.5
BlackRock Global Allocation 516,489,441 0.0 0.0 2.6 - - - -6.6 - - - -
Balanced Benchmark 0.3 0.3 3.0 - - - -6.7 - - - -
Cantab 212,115,882 4.6 4.6 20.8 7.7 8.4 - -12.9 18.8 0.1 -0.8 29.0
Balanced Benchmark 0.3 0.3 3.0 7.4 5.7 - -6.7 17.3 6.8 -1.2 4.5
Martlet Alternative Beta 130,986,240 2.8 2.8 1.0 - - - - - - - -
Balanced Benchmark 0.3 0.3 3.0 - - - - - - - -
Allianz Multi Asset Long Short 128,057,320 2.6 2.6 3.9 - - - - - - - -
Balanced Benchmark 0.3 0.3 3.0 - - - - - - - -
Opportunistic Performance Summary
As of September 30, 2019
82
Return Summary
Quarterly Relative Performance Ratio of Cumulative Wealth - Since Inception
Current Allocation
Opportunistic Balanced Benchmark
0.0
3.0
6.0
9.0
12.0
Re
turn
1Quarter
1Year
3Years
5Years
Inception6/1/10
0.3
3.0
7.4
5.7
7.7
1.4
3.83.4
5.4 5.6
September 30, 2019 : $1,085M
AQR Delta Offshore Fund:8.9%Martlet Alternative Beta:12.1%
Cantab:19.6%
Allianz Multi Asset Long Short:11.8%
BlackRock Global Allocation:47.6%
0.60
0.80
1.00
1.20
5/10 5/11 5/12 5/13 5/14 5/15 5/16 5/17 5/18 9/19
0.840.0%
8.0%
16.0%
24.0%
-8.0 %
-16.0 %
12/14 6/15 12/15 6/16 12/16 6/17 12/17 6/18 12/18 9/19
Opportunistic Portfolio Overview
As of September 30, 2019Opportunistic
83
Annualized Return vs. Annualized Standard Deviation5 Years
Rolling 5 Years Standard Deviation
5 Years Historical Statistics
Opportunistic Balanced Benchmark
FTSE 3 Month T-Bill
-1.5
0.0
1.5
3.0
4.5
6.0
7.5
Re
turn
(%)
0.0 2.0 4.0 6.0 8.0 10.0 12.0Risk (Standard Deviation %)
Opportunistic Balanced Benchmark
0.0
2.0
4.0
6.0
8.0
10.0
12.0
14.0
6/15 12/15 6/16 12/16 6/17 12/17 6/18 12/18 9/19
ActiveReturn
TrackingError
InformationRatio
R-SquaredSharpeRatio
Alpha Beta ReturnStandardDeviation
ActualCorrelation
Opportunistic -0.35 8.49 -0.04 0.16 0.63 3.51 0.35 5.38 7.23 0.40
Balanced Benchmark 0.00 0.00 N/A 1.00 0.60 0.00 1.00 5.68 8.16 1.00
FTSE 3 Month T-Bill -4.91 8.16 -0.60 0.00 N/A 0.95 0.00 0.96 0.26 0.01
Opportunistic Risk Profile
As of September 30, 2019Opportunistic
84
1 Quarter
0 20 40 60 80 100 120 140 160-20-40-60
Martlet Alternative Beta
Cantab
BlackRock Global Allocation
AQR Delta Offshore Fund
Allianz Multi Asset Long Short
Benchmark Effect
Cash Flow Effect
Total Excess Return
32
79
-11
-13
34
0
-15
106
Opportunistic
Asset Class Attribution
1 Quarter Ending September 30, 2019
85
Return Summary
Quarterly Relative Performance Ratio of Cumulative Wealth - Since Inception
Account Information
AQR Delta Offshore Fund Balanced Benchmark
0.0
10.0
20.0
-10.0
-20.0
Re
turn
1Quarter
1Year
3Years
5Years
Inception7/1/10
0.3
3.0
7.45.7
7.9
-1.1
-11.3
-5.5
-0.2
2.5
Account Name: AQR Delta Offshore Fund
Inception Date: 06/30/2010
Account Structure: Commingled Fund
Asset Class: Global Mixed Assets
Benchmark: Balanced Benchmark
Peer Group:
0.0%
15.0%
30.0%
-15.0 %
-30.0 %
12/14 6/15 12/15 6/16 12/16 6/17 12/17 6/18 12/18 9/19
0.40
0.60
0.80
1.00
1.20
6/10 6/11 6/12 6/13 6/14 6/15 6/16 6/17 6/18 9/19
0.62
AQR Delta Offshore Fund Performance Summary
As of September 30, 2019AQR Delta Offshore Fund
86
Annualized Return vs. Annualized Standard Deviation5 Years
Rolling 5 Years Standard Deviation
5 Years Historical Statistics
AQR Delta Offshore Fund Balanced Benchmark
FTSE 3 Month T-Bill
-4.0
-2.0
0.0
2.0
4.0
6.0
8.0
Re
turn
(%)
0.0 2.0 4.0 6.0 8.0 10.0 12.0Risk (Standard Deviation %)
AQR Delta Offshore Fund Balanced Benchmark
0.0
2.0
4.0
6.0
8.0
10.0
12.0
14.0
6/15 12/15 6/16 12/16 6/17 12/17 6/18 12/18 9/19
ActiveReturn
TrackingError
InformationRatio
R-SquaredSharpeRatio
Alpha Beta ReturnStandardDeviation
ActualCorrelation
AQR Delta Offshore Fund -5.86 9.83 -0.60 0.01 -0.15 -0.34 0.06 -0.18 6.16 0.08
Balanced Benchmark 0.00 0.00 N/A 1.00 0.60 0.00 1.00 5.68 8.16 1.00
FTSE 3 Month T-Bill -4.91 8.16 -0.60 0.00 N/A 0.95 0.00 0.96 0.26 0.01
AQR Delta Offshore Fund Risk Profile
As of September 30, 2019AQR Delta Offshore Fund
87
Return Summary
Quarterly Relative Performance Ratio of Cumulative Wealth - Since Inception
Account Information
BlackRock Global Allocation Balanced Benchmark
0.0
3.0
6.0
9.0
Re
turn
1Quarter
1Year
Inception8/1/17
0.3
3.0
5.2
0.0
2.6
6.1
Account Name: BlackRock Global Allocation
Inception Date: 07/31/2017
Account Structure: Separate Account
Asset Class: Global Mixed Assets
Benchmark: Balanced Benchmark
Peer Group: IM Global Equity (SA+CF)
9/17 12/17 3/18 6/18 9/18 12/18 3/19 6/19 9/19
0.0%
2.0%
-2.0 %
-4.0 % 0.98
1.00
1.02
1.04
7/17 10/17 1/18 4/18 7/18 10/18 1/19 4/19 7/19 9/19
1.02
BlackRock Global Allocation Performance Summary
As of September 30, 2019BlackRock Global Allocation
88
Return Summary
Quarterly Relative Performance Ratio of Cumulative Wealth - Since Inception
Account Information
Cantab Balanced Benchmark
0.0
8.0
16.0
24.0
32.0
Re
turn
1Quarter
1Year
3Years
5Years
Inception10/1/13
0.3
3.0
7.45.7 6.2
4.6
20.8
7.78.4 8.6
Account Name: Cantab
Inception Date: 10/01/2013
Account Structure: Commingled Fund
Asset Class: Global Mixed Assets
Benchmark: Balanced Benchmark
Peer Group:
0.0%
15.0%
30.0%
-15.0 %
-30.0 %
12/14 6/15 12/15 6/16 12/16 6/17 12/17 6/18 12/18 9/19
0.80
1.00
1.20
1.40
1.60
9/13 6/14 3/15 12/15 9/16 6/17 3/18 12/18 9/19
1.14
Cantab Performance Summary
As of September 30, 2019Cantab
89
Annualized Return vs. Annualized Standard Deviation3 Years
Rolling 3 Years Standard Deviation
3 Years Historical Statistics
Cantab Balanced Benchmark
FTSE 3 Month T-Bill
-2.0
0.0
2.0
4.0
6.0
8.0
10.0
Re
turn
(%)
0.0 3.0 6.0 9.0 12.0 15.0 18.0Risk (Standard Deviation %)
Cantab Balanced Benchmark
0.0
3.0
6.0
9.0
12.0
15.0
18.0
21.0
9/16 3/17 9/17 3/18 9/18 3/19 9/19
ActiveReturn
TrackingError
InformationRatio
R-SquaredSharpeRatio
Alpha Beta ReturnStandardDeviation
ActualCorrelation
Cantab 0.70 10.12 0.07 0.31 0.55 1.85 0.85 7.66 12.10 0.56
Balanced Benchmark 0.00 0.00 N/A 1.00 0.74 0.00 1.00 7.35 7.97 1.00
FTSE 3 Month T-Bill -5.91 7.99 -0.74 0.01 N/A 1.54 0.00 1.52 0.22 -0.10
Cantab Risk Profile
As of September 30, 2019Cantab
90
Return Summary
Quarterly Relative Performance Ratio of Cumulative Wealth - Since Inception
Account Information
Allianz Multi Asset Long Short
Balanced Benchmark
0.0
2.0
4.0
6.0
Re
turn
1Quarter
1Year
Inception4/1/18
0.3
3.0
4.2
2.6
3.9
2.3
Account Name: Allianz Multi Asset Long Short
Inception Date: 03/05/2018
Account Structure: Commingled Fund
Asset Class: Global Mixed Assets
Benchmark: Balanced Benchmark
Peer Group:
0.0%
10.0%
20.0%
-10.0 %
-20.0 %
6/18 9/18 12/18 3/19 6/19 9/19
6/18 9/18
0.90
0.96
1.02
1.08
1.14
3/18 12/18 3/19 6/19 9/19
0.97
Allianz Multi Asset Long Short Performance Summary
As of September 30, 2019Allianz Multi Asset Long Short
91
Return Summary
Quarterly Relative Performance Ratio of Cumulative Wealth - Since Inception
Account Information
Martlet Alternative Beta Balanced Benchmark
0.0
2.0
4.0
6.0
Re
turn
1Quarter
1Year
Inception3/1/18
0.3
3.03.2
2.8
1.0
3.0
Account Name: Martlet Alternative Beta
Inception Date: 02/12/2018
Account Structure: Commingled Fund
Asset Class: Global Mixed Assets
Benchmark: Balanced Benchmark
Peer Group:
0.0%
8.0%
16.0%
-8.0 %
-16.0 %
6/18 9/18 12/18 3/19 6/19 9/19 5/18 8/18
0.96
1.02
1.08
1.14
2/18 11/18 2/19 5/19 9/19
1.00
Martlet Alternative Beta Performance Summary
As of September 30, 2019Martlet Alternative Beta
92
Real Estate
93
Return Summary
Quarterly Relative Performance Ratio of Cumulative Wealth - Since Inception
Account Information
AACA REIT
Dow Jones U.S. Real Estate Total Return Index
0.0
8.0
16.0
24.0
32.0
Re
turn
1Quarter
1Year
Inception12/1/17
7.3
20.3
11.8
8.2
20.5
11.0
Account Name: AACA REIT
Inception Date: 12/01/2017
Account Structure: Separate Account
Asset Class: US REIT (Real-Estate Funds)
Benchmark: Dow Jones U.S. Real Estate Total Return Index
Peer Group:
3/19 6/19 9/19
0.0%
6.0%
12.0%
-6.0 %
-12.0 %
-18.0 %
3/18 6/18 9/18 12/18 8/18 11/18 0.84
0.91
0.98
1.05
1.12
11/17 2/18 5/18 2/19 5/19 9/19
0.99
AACA REIT Performance Summary
As of September 30, 2019AACA REIT
94
Total Private Assets
95
Total Private Assets Current Allocation
Allocation
MarketValue
($)
Performance(%)
1Quarter
FiscalYTD
1Year
3Years
5Years
10Years
2018 2017 2016 2015 2014
Total Private Assets 2,549,411,150 2.5 2.5 7.8 9.7 - - 9.1 11.9 9.2 5.5 -
SDCERA Private Assets Benchmark 0.3 0.3 2.2 8.9 - - -4.4 18.8 9.9 4.7 -
Real Estate 1,126,380,904 3.2 3.2 10.5 8.4 10.8 10.0 8.1 8.1 11.7 14.2 13.5
NCREIF ODCE Index (Net) 1.1 1.1 4.6 6.3 8.4 9.8 7.4 6.7 7.8 14.0 11.5
Private Equity 747,814,813 2.6 2.6 8.5 13.5 11.0 12.7 15.6 18.0 9.6 3.0 15.6
MSCI AC World IMI (Net) -0.2 -0.2 0.5 9.4 6.6 8.4 -10.1 23.9 8.4 -2.2 3.8
Private Real Assets 675,215,433 1.2 1.2 3.0 7.2 3.4 7.4 3.7 11.0 5.5 -4.6 15.6
MSCI AC World IMI (Net) -0.2 -0.2 0.5 9.4 6.6 8.4 -10.1 23.9 8.4 -2.2 3.8
Private Equity29.3%
Real Estate44.2%
Private Real Assets26.5%
Total Private Assets Performance Summary
As of September 30, 2019
*SDCERA Private Assets Benchmark: 1/3 NCREIF-ODCE and 2/3 MSCI ACWI IMI.
96
Unfunded
Manager/Fund Commitment³
Private Credit
2013 Oaktree European Dislocation Fund (US) LP $3,407,314 $90,000,000 $51,516,000 57% $38,484,000 $54,869,129 $38,484,000 106.5% 113.1% 9.5% 6/30/2019
2014 Apollo Credit Opportunities Fund III LP $26,514,897 $100,000,000 $198,810,096 199% -$98,810,096 $173,136,560 $21,041,184 87.1% 100.4% -0.4% 6/30/2019
2014 D.E. Shaw Alkali Fund II LP $13,222,070 $45,000,000 $52,878,255 118% -$7,878,255 $55,769,770 $0 105.5% 130.5% 8.7% 6/30/2019
Total Private Credit Managers $43,144,281 $235,000,000 $303,204,351 129% -$68,204,351 $283,775,459 $59,525,184 93.6% 107.8%
% of Portfolio (Market Value) 0.36%
Buy Out & Growth
1997 HarbourVest Int'l Priv Eq Prtnrs III - Prtnrship $70,263 $34,700,000 $34,179,500 99% $520,500 $53,997,454 $520,500 158.0% 158.2% 9.0% 6/30/2019
1998 Oak Hill Capital Partners (Bermuda) $0 $10,000,000 $11,069,477 111% -$1,069,477 $18,881,788 $0 170.6% 170.6% 10.6% 7/27/2018
2001 Blackstone Capital Partners IV, L.P. $642,827 $15,000,000 $18,148,147 121% -$3,148,147 $46,168,773 $399,113 254.4% 257.9% 54.2% 6/30/2019
2003 TPG Partners IV, L.P. $289,799 $10,000,000 $11,158,085 112% -$1,158,085 $22,877,784 $42,969 205.0% 207.6% 20.7% 6/30/2019
2004 Graham Partners II, L.P. $436,491 $7,500,000 $7,676,271 102% -$176,271 $13,976,830 $55,409 182.1% 187.8% 11.8% 6/30/2019
2004 Providence Equity Partners V, L.P. $164,887 $10,000,000 $12,414,814 124% -$2,414,814 $14,605,332 $879,492 117.6% 119.0% 3.1% 6/30/2019
2005 Northgate Private Equity Partners II, L.P. $1,207,417 $15,000,000 $14,250,000 95% $750,000 $19,762,947 $750,000 138.7% 147.2% 7.4% 6/30/2019
2006 Bain Capital Fund IX Coinvestment Fund, L.P. $140,208 $1,500,000 $1,821,000 121% -$321,000 $2,599,635 $18,000 142.8% 150.5% 7.2% 6/30/2019
2006 Bain Capital Fund IX, L.P. $549,252 $7,000,000 $7,350,000 105% -$350,000 $10,944,980 $175,000 148.9% 156.4% 7.4% 6/30/2019
2006 Blackstone Capital Partners V, L.P. $723,660 $15,000,000 $15,444,774 103% -$444,774 $25,888,556 $725,674 167.6% 172.3% 8.7% 6/30/2019
2006 Charterhouse Capital Partners VIII, L.P. $23,676 $11,388,000 $12,057,898 106% -$669,898 $11,745,684 $0 97.4% 97.6% -0.7% 6/30/2019
2006 Hellman & Friedman Capital Partners VI, L.P. $724,234 $15,000,000 $15,060,795 100% -$60,795 $29,008,285 $434,290 192.6% 197.4% 13.7% 6/30/2019
2006 Northgate Private Equity Partners III, L.P. $3,496,584 $15,000,000 $13,950,000 93% $1,050,000 $17,260,446 $1,050,000 123.7% 148.8% 7.0% 6/30/2019
2006 TA X, L.P. $143,355 $13,000,000 $12,545,000 97% $455,000 $16,380,000 $455,000 130.6% 131.7% 5.2% 6/30/2019
2006 TA Subordinated Debt Fund II, L.P. $416,175 $8,000,000 $6,960,000 87% $1,040,000 $9,090,635 $1,040,000 130.6% 136.6% 8.4% 6/30/2019
2007 Capital International Private Equity Fund V, L.P. $234,424 $10,000,000 $10,809,812 108% -$809,812 $9,993,854 $1,592,943 92.5% 94.6% -2.7% 6/30/2019
2007 Greenbriar Equity Fund II, L.P. $528,030 $10,000,000 $8,103,412 81% $1,896,588 $11,765,795 $662,158 145.2% 151.7% 8.0% 6/30/2019
2008 BAIN Capital Fund X, L.P. $3,351,620 $15,000,000 $15,225,521 102% -$225,521 $22,677,780 $457,500 148.9% 171.0% 10.8% 6/30/2019
2008 Emerging Europe Growth Fund II $6,769,977 $10,000,000 $9,233,858 92% $766,142 $5,676,961 $223,653 61.5% 134.8% 4.3% 6/30/2019
2009 Hellman & Friedman Capital Partners VII, L.P. $21,770,997 $15,000,000 $13,274,222 88% $1,725,778 $19,227,400 $708,919 144.8% 308.9% 25.4% 6/30/2019
2010 Blackstone Capital Partners VI, L.P. $86,374,748 $100,000,000 $98,943,072 99% $1,056,928 $83,169,283 $13,254,724 84.1% 171.4% 12.8% 6/30/2019
2010 Baring Asia Private Equity Fund V $54,116,616 $50,000,000 $62,597,686 125% -$12,597,686 $40,307,114 $5,920,232 64.4% 150.8% 9.7% 6/30/2019
2010 Capital International Private Equity Fund VI, L.P. $42,656,072 $50,000,000 $54,950,869 110% -$4,950,869 $16,755,083 $5,942,883 30.5% 108.1% 0.3% 6/30/2019
2011 EQT VI $18,689,601 $45,552,000 $52,213,880 115% -$6,661,880 $74,265,014 $3,386,942 142.2% 178.0% 14.1% 6/30/2019
2012 TPG Asia VI, L.P. $65,956,398 $75,000,000 $76,160,301 102% -$1,160,301 $31,116,180 $14,752,760 40.9% 127.5% 8.9% 6/30/2019
2012 FountainVest China Growth capital Fund II $37,928,721 $50,000,000 $48,465,137 97% $1,534,863 $39,739,269 $5,671,586 82.0% 160.3% 15.1% 6/30/2019
2013 New Mountain Partners IV, L.P. $108,320,013 $90,000,000 $77,514,029 86% $12,485,971 $36,139,490 $10,002,300 46.6% 186.4% 23.9% 6/30/2019
2015 EQT VII (No.2) Limited Partnership $62,504,559 $56,940,000 $50,374,549 88% $6,565,451 $8,357,102 $12,815,537 16.6% 140.7% 18.9% 6/30/2019
2016 Blackstone Capital Partners VII LP $58,723,859 $100,000,000 $48,695,161 49% $51,304,839 $5,344,925 $43,354,639 11.0% 131.6% 19.3% 6/30/2019
2017 SDCERA Public Pension Capital LLC $29,345,088 $100,000,000 $30,145,661 30% $69,854,339 $6,503,643 $72,921,205 21.6% 118.9% 24.3% 6/30/2019
Total Buy Out & Growth Managers $606,299,551 $965,580,000 $850,792,931 88% $114,787,069 $724,228,022 $198,213,428 85.1% 156.4%
% of Portfolio (Market Value) 5.04%
Private Equity
Illiquid Alternative Investments
As of June 30, 2019
Vintage
Year3 Total Commitment3
IRR Analysis as of Valuation Date
Distrib./
Paid-In
(DPI)1
Tot. Value/
Paid-In
(TVPI)2
Reported IRR
Since
Inception3
Valuation
Date3
Market Value as of
Valuation Date3
Capital
Called3,4 % Called
Remaining
Commitment3
Capital
Returned3
97
Unfunded
Manager/Fund Commitment³
Distress & Special Situations
2001 Lexington Capital Partners V, L.P. $59,171 $10,000,000 $11,026,975 110% -$1,026,975 $17,752,792 $48,681 161.0% 161.5% 18.1% 6/30/2019
2004 Paul Capital Partners VIII-B $1,009,887 $15,000,000 $15,040,667 100% -$40,667 $20,291,726 $225,950 134.9% 141.6% 9.0% 6/30/2019
2005 Lexington Capital partners VI-B, L.P. $947,585 $10,000,000 $10,774,432 108% -$774,432 $14,003,318 $163,471 130.0% 138.8% 6.9% 6/30/2019
2005 OCM Opportunities Fund VI, L.P. $801 $5,000,000 $5,000,000 100% $0 $7,852,326 $0 157.0% 157.1% 8.7% 6/30/2019
2006 Coller International Partners V-A, L.P. $903,635 $10,000,000 $7,820,000 78% $2,180,000 $11,209,264 $2,180,000 143.3% 154.9% 8.3% 6/30/2019
2006 Cerberus Institutional Partners, L.P. Series Four $2,370,414 $15,000,000 $13,851,643 92% $1,148,357 $22,621,078 $1,148,357 163.3% 180.4% 9.1% 6/30/2019
2006 Paul Capital Partners IX, L.P. $4,056,331 $20,000,000 $17,699,666 88% $2,300,334 $17,247,171 $4,971,108 97.4% 120.4% 3.5% 6/30/2019
2007 OCM Opportunities Fund VII, L.P. $367,405 $7,500,000 $7,500,000 100% $0 $10,022,631 $0 133.6% 138.5% 7.5% 6/30/2019
2007 OCM Opportunities Fund VIIb, L.P. $271,404 $12,500,000 $11,250,000 90% $1,250,000 $19,215,010 $0 170.8% 173.2% 16.6% 6/30/2019
2008 Onex Partners III, L.P. $5,687,544 $15,000,000 $15,621,409 104% -$621,409 $23,788,771 $1,230,634 152.3% 188.7% 12.6% 6/30/2019
2009 GSO Capital Solutions Fund $3,271,288 $50,000,000 $70,947,175 142% -$20,947,175 $91,982,081 $5,872,732 129.6% 134.3% 10.1% 6/30/2019
2010 Gores Capital Partners III, L.P. $9,263,310 $75,000,000 $79,256,488 106% -$4,256,488 $82,307,913 $7,766,201 103.9% 115.5% 3.9% 6/30/2019
2010 OCM European Principal Fund III, L.P. $54,112,612 $68,328,000 $64,898,091 95% $3,429,909 $49,136,547 $20,550,210 75.7% 159.1% 10.0% 6/30/2019
2011 Gores Small Capital Partners $9,696,599 $30,000,000 $30,123,019 100% -$123,019 $31,302,490 $5,363,489 103.9% 136.1% 14.5% 6/30/2019
2012 GSO Capital Solutions Fund II, LP $18,593,498 $90,000,000 $70,380,604 78% $19,619,396 $58,697,944 $37,466,247 83.4% 109.8% 4.7% 6/30/2019
2014 SSG III $38,469,008 $60,000,000 $86,953,456 145% -$26,953,456 $69,428,215 $31,168,951 79.8% 124.1% 11.8% 6/30/2019
Total Distress & Special Situations Managers $149,080,492 $493,328,000 $518,143,625 105% -$24,815,625 $546,859,277 $118,156,031 105.5% 134.3%
% of Portfolio (Market Value) 1.24%
Niche and Other
2010 RMF 2 Co-Investment Fund, L.P. $4,116,938 $25,000,000 $8,974,920 36% $16,025,080 $13,383,322 $0 149.1% 195.0% 16.7% 6/30/2019
2012 Drug Royalty III LP $9,425,122 $41,488,181 $26,472,753 64% $15,015,428 $25,088,696 $14,259,232 94.8% 130.4% 9.1% 6/30/2019
Total Niche and Other Managers $13,542,060 $66,488,181 $35,447,673 53% $31,040,508 $38,472,018 $14,259,232 108.5% 146.7%
% of Portfolio (Market Value) 0.11%
IRR Analysis as of Valuation Date
Market Value as of
Valuation Date3
Distrib./
Paid-In
(DPI)1
Tot. Value/
Paid-In
(TVPI)2
Reported IRR
Since
Inception3
Vintage
Year3 Total Commitment3Capital
Called3,4 % Called
Remaining
Commitment3
Capital
Returned3
Valuation
Date3
98
Unfunded
Manager/Fund Commitment³
Private Real Assets
Agriculture
2011 Brookfield Brazil Agriland $58,944,000 $75,000,000 $69,652,604 93% $5,347,396 $0 $2,097,704 0.0% 84.6% -3.3% 6/30/2019
2012 Amerra Agri Fund II $27,262,291 $50,000,000 $50,934,555 102% -$934,555 $35,459,540 $11,788,466 69.6% 123.1% 5.3% 6/30/2019
2012 Hancock Agricultural Investment Group-Separate Account $44,980,445 $100,000,000 $39,650,000 40% $60,350,000 $2,700,000 $60,450,000 6.8% 120.3% 3.4% 6/30/2019
Total Agriculture Managers $131,186,736 $225,000,000 $160,237,159 71% $64,762,841 $38,159,540 $74,336,170 23.8% 105.7%
% of Portfolio (Market Value) 1.09%
Energy
2005 EnerVest Energy Institutional Fund X-B, L.P. -$4,605 $10,000,000 $10,043,273 100% -$43,273 $10,263,158 $0 102.2% 102.1% 0.6% 6/30/2019
2005 Merit Energy Partners F, L.P. $1,359,347 $8,000,000 $4,761,830 60% $3,238,170 $2,340,520 $0 49.2% 77.7% -3.9% 6/30/2019
2006 EnCap Energy Capital Fund VI, L.P. $103,581 $9,000,000 $9,931,900 110% -$931,900 $17,836,642 $0 179.6% 180.6% 26.7% 6/30/2019
2007 EnCap Energy Capital Fund VII, L.P. $669,576 $10,000,000 $10,678,022 107% -$678,022 $14,719,548 $0 137.8% 144.1% 16.7% 6/30/2019
2007 EnerVest Energy Institutional Fund XI-B, L.P. -$57,717 $15,000,000 $14,306,417 95% $693,583 $13,863,209 $245,837 96.9% 96.5% -2.0% 6/30/2019
2008 Kayne Anderson Energy Fund V, L.P. $2,790,313 $15,000,000 $19,453,116 130% -$4,453,116 $20,256,264 $0 104.1% 118.5% 8.6% 6/30/2019
2010 Falcon E&P $22,010,867 $75,000,000 $80,914,567 108% -$5,914,567 $55,732,280 $7,769,994 68.9% 96.1% -4.2% 6/30/2019
2011 Denham Commodity Partners Fund VI, L.P. $38,773,310 $50,000,000 $49,875,850 100% $124,150 $24,753,176 $6,619,193 49.6% 127.4% 6.4% 6/30/2019
Total Energy Managers $65,644,672 $192,000,000 $199,964,975 104% -$7,964,975 $159,764,797 $14,635,024 79.9% 112.7%
% of Portfolio (Market Value) 0.55%
Infrastructure
2008 Global Infrastructure Partners A, L.P. $11,120,943 $75,000,000 $82,202,055 110% -$7,202,055 $187,489,155 $9,064,456 228.1% 241.6% 18.9% 6/30/2019
2008 Macquarie Infrastructure Partners II $49,958,727 $75,000,000 $85,408,350 114% -$10,408,350 $93,166,372 $3,798,718 109.1% 167.6% 9.2% 6/30/2019
2010 Brookfield Americas Infrastructure Fund, L.P. $85,049,853 $75,000,000 $76,822,973 102% -$1,822,973 $56,567,011 $3,854,120 73.6% 184.3% 10.1% 6/30/2019
2010 J.P.M. Global Maritime Investment Fund $46,829,599 $75,000,000 $75,257,810 100% -$257,810 $7,022,887 $2,048,912 9.3% 71.6% -7.7% 6/30/2019
2013 Actis Energy 3 $35,671,000 $50,000,000 $44,030,625 88% $5,969,375 $21,912,206 $14,933,450 49.8% 130.8% 10.7% 6/30/2019
2013 Actis Energy 3 Co-Investment, LP $13,085,000 $13,750,000 $13,495,121 98% $254,879 $5,465,165 $1,451,893 40.5% 137.5% 12.4% 6/30/2019
2014 Energy & Minerals Group Fund III LP $54,402,357 $75,000,000 $68,248,074 91% $6,751,926 $6,633,730 $3,535,682 9.7% 89.4% -4.1% 6/30/2019
2014 EMG AENO Co-Investment LP $6,110,527 $4,342,137 $4,342,137 100% $0 $0 $0 0.0% 140.7% 7.6% 6/30/2019
2014 EMG AEPB Co-Investment $366,169 $6,000,000 $6,000,000 100% $0 $2,513,364 $0 41.9% 48.0% -20.2% 6/30/2019
Total Energy Managers $302,594,175 $449,092,137 $455,807,145 101% -$6,715,008 $380,769,890 $38,687,231 83.5% 149.9%
% of Portfolio (Market Value) 2.52%
Metals & Mining
2011 Red Kite Mine Finance Fund $84,977,298 $50,000,000 $50,000,000 100% $0 $0 $0 0.0% 170.0% 8.9% 6/30/2019
2011 Taurus Resources Fund II Ltd. $70,799,881 $75,000,000 $87,770,672 117% -$12,770,672 $44,307,482 $2,817,919 50.5% 131.1% 5.0% 6/30/2019
Total Metals & Mining Managers $155,777,179 $125,000,000 $137,770,672 110% -$12,770,672 $44,307,482 $2,817,919 32.2% 145.2%
% of Portfolio (Market Value) 1.30%
Timber
2011 Molpus Woodlands Fund III $44,484,618 $50,000,000 $47,250,000 95% $2,750,000 $15,983,710 $0 33.8% 128.0% 4.2% 6/30/2019
Total Timber Managers $44,484,618 $50,000,000 $47,250,000 95% $2,750,000 $15,983,710 $0 33.8% 128.0%
% of Portfolio (Market Value) 0.37%
Capital
Returned3
IRR Analysis as of Valuation Date
Valuation
Date3
Vintage
Year3 Total Commitment3Capital
Called3,4 % Called
Market Value as of
Valuation Date3
Remaining
Commitment3
Distrib./
Paid-In
(DPI)1
Tot. Value/
Paid-In
(TVPI)2
Reported IRR
Since
Inception3
99
Unfunded
Manager/Fund Commitment³
1999 Hearthstone MSII Homebuilding Investors, L.L.C. -$539 $10,000,000 $7,973,058 80% $2,026,942 $13,884,971 $1,008,131 174.1% 174.1% 44.2% 6/30/2019
2000 RREEF I.M.A. $452,992,169 $255,126,000 $547,047,201 214% -$291,921,201 $488,955,931 $0 89.4% 172.2% 9.9% 6/30/2019
2004 Southern California Smart Growth Fund $304,396 $25,000,000 $36,721,206 147% -$11,721,206 $39,792,470 $768,807 108.4% 109.2% 0.3% 6/30/2019
2005 Canyon-Johnson Urban Fund II, L.P. $100,805 $30,000,000 $26,966,111 90% $3,033,889 $11,923,957 $0 44.2% 44.6% -10.7% 6/30/2019
2005 RREEF Rio San Diego Plaza II $26,644,451 $25,925,218 $27,050,000 104% -$1,124,782 $15,700,000 $0 58.0% 156.5% 4.3% 6/30/2019
2005 LaSalle Asia Opportunity Fund II, L.P. $234,641 $25,000,000 $24,013,609 96% $986,391 $25,752,817 $0 107.2% 108.2% 1.7% 6/30/2019
2006 California Smart Growth Fund IV $3,168,491 $25,000,000 $23,370,715 93% $1,629,285 $27,341,760 $27,627 117.0% 130.5% 2.4% 6/30/2019
2007 Allegis Value Trust $922,378 $25,000,000 $25,550,296 102% -$550,296 $30,459,296 $0 119.2% 122.8% 2.5% 6/30/2019
2007 Blackstone Real Estate Partners VI $5,084,644 $50,000,000 $49,688,041 99% $311,959 $106,303,160 $2,453,949 213.9% 224.2% 14.4% 6/30/2019
2008 Trophy Property Development, L.P. $51,622 $15,000,000 $14,259,190 95% $740,810 $10,907,159 $740,810 76.5% 76.9% -3.6% 6/30/2019
2011 JPMCB Strategic Property Fund $229,069,920 $200,000,000 $204,144,810 102% -$4,144,810 $177,443,797 $0 86.9% 199.1% 10.3% 6/30/2019
2017 Ascentris SD Partners LP $261,906,137 $300,000,000 $459,587,343 153% -$159,587,343 $394,914,166 $78,771,629 85.9% 142.9% 17.4% 6/30/2019
2018 Brookfield Senior Mezzanine Real Estate Finance Fund LP $99,397,246 $100,000,000 $100,000,000 100% $0 $4,475,788 $0 4.5% 103.9% 3.8% 6/30/2019
Total Real Estate Managers $1,079,876,361 $1,086,051,218 $1,546,371,580 142% -$460,320,362 $1,347,855,272 $83,770,953 87.2% 157.0%
% of Portfolio (Market Value) 8.98%
Total Private Managers $2,591,630,125 $3,887,539,536 $4,254,990,111 109% -$367,450,575 $3,580,175,467 $604,401,172 84.1% 145.0%
% of Portfolio (Market Value) 21.55%
1(DPI) is equal to (capital returned / capital called)2(TVPI) is equal to (market value + capital returned) / capital called3Data source: The Burgiss Group Private I Module4Capital called may include recallable distributions
Valuation
Date3
Distrib./
Paid-In
(DPI)1
Tot. Value/
Paid-In
(TVPI)2
Reported IRR
Since
Inception3
Vintage
Year3 Total Commitment3Capital
Called3,4 % Called
Remaining
Commitment3
Capital
Returned3
Total Private Markets Portfolio
IRR Analysis as of Valuation Date
Market Value as of
Valuation Date3
Real Estate
100
Market Environment
101
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Global Equity Markets
-0.2%
-1.7%
1.1%
-2.3%
3.3%
0.6% 0.3%
-1.8%
-4.8%-4.3%
0.5%
-1.8%
2.4%
-3.4%
-4.9%
2.2%
-1.9%
-1.0%
2.5%
-2.4%
-6%
-4%
-2%
0%
2%
4%
ACWI IMI 44.7%ACWI ex-U.S.
IMI
55.3%USA IMI
5.0%UK IMI
7.7%Japan IMI
3.1%Canada IMI
0.2%Israel IMI
13.6%Europe ex-UK
IMI
3.7%Pacific ex-Japan
IMI
11.3%Emerging
Markets IMI
GLOBAL MSCI IMI INDEX RETURNS (USD)AS OF 09/30/2019
Third Quarter 2019 One-Year
Source: MSCI
Concerns of slowing global growth and trade wars ramped up significantly over the quarter before giving way to monetary stimulus that helped to bolster stocks. In local currency terms, the MSCI AC World Investable Market Index returned 1.1% but due to U.S. dollar appreciation, global equities returned -0.2% in USD terms.
Japanese stocks were the strongest performers (3.3%) where significant multiple expansion saw cyclical sectors, such as the Consumer Discretionary sector, outperform strongly.
Pacific ex-Japan was the worst performer with a return of -4.8%, significantly dragged down by double-digit decline in Hong Kong equity returns due to slowdown in China and heightened political unrest with growing protests triggered by a controversial extradition bill.
Emerging Markets (EM) equities fell sharply at -4.3% as impact of trade concerns continues to be a strong headwind. In particular, a double-digit decline in Chinese stocks detracted from EM returns as both the rhetoric and size of tariffs increased. Much of the fall can be attributed however to the strong appreciation of the U.S. dollar with the MSCI EM IMI down by 1.9% in local currency terms.
102
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Global Equity Markets
USA55.3%
UK5.0%
Canada3.1%
Pacif ic ex-Japan3.7%
Japan7.7%
Europe ex-UK13.6%
Israel0.2%
Latin America
1.4%
Asia8.2%
Eastern Europe, Middle East & Africa1.7%
Emerging Markets11.3%
MSCI ALL COUNTRY WORLD IMI INDEX GEOGRAPHIC ALLOCATION AS OF 09/30/2019
Source: MSCI
The two exhibits on this slide illustrate the percentage that each country/region represents of the global and international equity markets as measured by the MSCI All Country World IMI Index and the MSCI All Country World ex-U.S. IMI Index, respectively.
UK11.2%
Canada7.0%
Pacific ex-Japan8.2%
Japan17.3%
Europe ex-UK30.5%
Israel0.5%
Latin America3.1%
Asia18.3%
Eastern Europe, Middle East & Africa3.9%
Emerging Markets25.3%
MSCI ALL COUNTRY WORLD EX-U.S. IMI INDEX GEOGRAPHIC ALLOCATION AS OF 09/30/2019
Source: MSCI
103
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U.S. Equity Markets
1.2%3.4%
-3.6%-0.4%
5.7%
-7.6%
-0.3%
0.5%2.6%
8.5%
2.9%5.4%
-5.1%
3.2%
11.1%
-23.0%
0.3% 1.1%
8.1%
21.2%
-30.0%
-20.0%
-10.0%
0.0%
10.0%
20.0%
30.0%
Russell3000
21.4%Te chnology
13.9%Healthcare
14.4%Cons. Disc
5.7%Cons.
Staples
5.1%Energ y
3.4%Materials &Processing
10.5%Produ cerDurables
20.4%FinancialServices
5.1%Utilities
RUSSELL GICS SECTOR RETURNS AS OF 09/30/2019
Third Quarter 2019
One-Year
Source: Russell Indexes
1.2% 1.4%2.1%
1.2%
-0.7%-0.6%
-4.2%
2.9%
5.2%
3.2%
1.6%
5.2%
-8.2%
-9.6%-12.0%
-10.0%
-8.0%
-6.0%
-4.0%
-2.0%
0.0%
2.0%
4.0%
6.0%
Russell3000
30.4%LargeValue
37.4%Large
Growth
15.7%MediumValue
10.0%MediumGrowth
3.3%SmallValue
3.3%Small
Growth
RUSSELL STYLE RETURNS AS OF 09/30/2019
Third Quarter 2019
One-Year
Source: Russell Indexes
With expectations of corporate earnings turning lower, the positive return for U.S. equities was primarily driven by multiple expansion. In general, less economically-sensitive sectors outperformed which is not too surprising given the deteriorating outlook. The Russell 3000 Index rose 1.2% during the third quarter and 2.9% over the one-year period. Relative to their international peers, U.S. stocks broadly outperformed with particularly resilience from the Financials sector.
Energy (-7.6%) and Healthcare (-3.6%) were the worst performers over the quarter. The former was affected by lower crude oil prices, while the latter despite its more defensive nature underperformed due to political headwinds. Meanwhile, Utilities (8.5%) and Consumer Staples (5.7%) were the best performing sectors in Q3 2019.
Performance was mixed across the market capitalization spectrum over the quarter. In general, small cap stocks underperformed both large and medium cap stocks over the quarter. Small-cap stocks underperformed on a fairly broad basis, rather than any meaningful differences in sector allocations although the near double-digit decline in small-cap Health Care stocks was notable. Growth stocks generally underperformed their Value counterparts in Q3 2019 and over the last year.
104
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U.S. Fixed Income Markets
The Bloomberg Barclays U.S. Aggregate Bond Index rose by 2.3% over the quarter. Corporate bonds were the best performers, returning 3.0%. Securitized debt underperformed other areas of the U.S. bond market with lower duration of the segment attributed to the more modest returns with a return of 0.9%.
Strong underlying government bond returns supported corporate bonds returns across all credit grades. Within investment grade bonds, Baa bonds rose the most at 3.3%. High Yield bonds returned 1.3% with minimal movement in spreads over the quarter.
As the U.S. yield curve flattened over the quarter, long-maturity bonds outperformed intermediate and short-maturity bonds. Long-maturity bonds returned 6.6% while short-maturity bonds returned only 0.7%.
2.3%2.4% 3.0%
1.4% 0.9%1.9%
10.3% 10.4%
13.0%
7.8%
5.4%
10.5%
0.0%
2.0%
4.0%
6.0%
8.0%
10.0%
12.0%
14.0%
Barclays U.S.Agg. Bond
43.0%Govt
26.4%Corp.
28.1%MBS
0.5%ABS
2.1%CMBS
BLOOMBERG BARCLAYS AGGREGATE RETURNS BY SECTOR AS OF 09/30/2019
Third Quarter 2019 One-YearSource: FactSet
0.7% 1.3% 1.5%2.8%
6.6%4.7%
7.7%8.9%
12.1%
22.0%
0.0%
5.0%
10.0%
15.0%
20.0%
25.0%
1-3 Yr. 3-5 Yr. 5-7 Yr. 7-10 Yr. >10 Yr.
BLOOMBERG BARCLAYS AGGREGATE RETURNS BY MATURITY AS OF 09/30/2019
Third Quarter 2019 One-YearSource: FactSet
2.0%2.6% 2.9% 3.3%
1.3%
9.3%
11.0%
12.6%13.5%
6.4%
0.0%
2.0%
4.0%
6.0%
8.0%
10.0%
12.0%
14.0%
16.0%
Aaa Aa A Baa High Yield
BLOOMBERG BARCLAYS AGGREGATE RETURNS BY QUALITY AND HIGH YIELD RETURNS AS OF 09/30/2019
Third Quarter 2019 One-YearSource: FactSet
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U.S. Fixed Income Markets
-2.0%
-1.0%
0.0%
1.0%
2.0%
3.0%
4.0%
5.0%
Sep 09 Sep 11 Sep 13 Sep 15 Sep 17 Sep 19
U.S. 10-YEAR TREASURY AND TIPS YIELDS10Y TIPS Yield
10Y Treasury Yield
Source: U.S. Department of Treasury
1.0%
1.5%
2.0%
2.5%
3.0%
3.5%
0 5 10 15 20 25 30Maturity (Years)
U.S. TREASURY YIELD CURVE
9/30/2018
6/30/2019
9/30/2019
Source: U.S. Department of Treasury
The U.S. nominal yields fell across all maturities with the yield curve flattening over the quarter as longer-term yields decreased by more than short-term yields. Over the quarter, the widely watched spread between 10 and 2-year U.S. Treasury yields briefly fell into negative territory for the first time since 2007, a concerning development as a recession has followed every yield curve inversion since the 1960s.
The 10-year U.S. Treasury yield ended the quarter at 1.68%, 32bps lower than at the start of the quarter in which the U.S. Federal Reserve (Fed) twice cut the interest rate by 25bps each to 1.75%-2.00%. Despite the two rate cuts, the Fed made it clear that it was not the beginning of a sustained easing cycle. This more conservative messaging was maintained at the September Fed meeting although the Federal Open Market Committee (FOMC) appeared to be divided on the future direction of rates with a member arguing for more aggressive cuts to be made.
The weaker economic outlook was reflected in the downward movements in TIPS yields by 16bps over the quarter and ended the period at 0.15%, while lower inflation expectations led breakeven inflation lower by 16bps to 1.54%.
106
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European Fixed Income Markets
-1%
1%
3%
5%
7%
9%
11%
13%
15%
2013 2014 2015 2016 2017 2018 2019
EUROZONE PERIPHERAL BOND SPREADS(10-YEAR SPREADS OVER GERMAN BUNDS)
Spain ItalyPortugal GreeceIreland
Source: FactSet
European government bond spreads over 10-year German bunds generally fell across the Euro Area with the exception of Spanish and Irish government bonds. The European Central Bank (ECB) cut its deposit rate by 10bps to -0.5% and announced that its bond purchasing program will be restarted with the purchase of €20billion of bonds each month from November 2019. Furthermore, the ECB indicated that this policy would not be time limited but will be in place until their inflation target is reached.
German government bund yields fell by 27bps to -0.58% over the quarter after the country’s manufacturing sector dived deeper into contraction territory. Meanwhile, the 30-year German bund yield turned negative for the first time in history. Italian government bond yields fell by 129bps to a record low of 0.81% over the quarter as political uncertainty eased after a new coalition government was formally agreed.
Greek government bond yields fell by 109bps over the quarter to a record low of 1.34%. Greece submitted a request to repay part of its expensive loans from the International Monetary Fund (IMF) early.
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Credit Spreads
Spread (bps) 09/30/2019 06/30/2019 12/31/2018 Quarterly Change (bps)One-Year Change
(bps)
U.S. Aggregate 46 46 39 0 7
Long Gov't 1 1 2 0 -1
Long Credit 167 161 153 6 14
Long Gov't/Credit 95 92 90 3 5
MBS 46 46 28 0 18
CMBS 70 69 60 1 10
ABS 37 41 38 -4 -1
Corporate 115 115 106 0 9
High Yield 373 377 316 -4 57
Global Emerging Markets 312 282 273 30 39
Source: FactSet, B loomberg Barclays
Movements in credit spreads over U.S. Treasuries were mixed over the quarter. There were fairly muted movements in U.S. credit with modest narrowing in U.S. high yield spreads while U.S. corporate spreads were unchanged.
Emerging market bond spreads widened significantly by 30bps over the quarter. The ongoing trade war, U.S. dollar debt vulnerabilities among certain EM countries given the increase in the ‘greenback’ and less risk appetite weighed on emerging market debt in general.
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Currency
80
85
90
95
100
105
110
115
120
125
Sep 13 Sep 14 Sep 15 Sep 16 Sep 17 Sep 18 Sep 19
TRADE WEIGHTED U.S. DOLLAR INDEX(1973 = 100)
Source: Federal Reserve
The U.S. dollar continued on an upward trend with economic releases surprising to the upside in the U.S. and cyclical supports – a wide interest rate differential and relative economic strength – remaining intact. The U.S. dollar strengthened against major currencies over the quarter, rising by 2.8% on a trade-weighted basis over the quarter, supported by appreciation against sterling and the euro, up 3.3% and 4.5% respectively. The U.S. dollar appreciated less against the Japanese yen which benefited from some safe haven flows during bouts of market volatility over the quarter.
Once again, closely tied to Brexit developments, sterling slipped by just 0.1% on a trade weighted basis but fell by considerably more to a post-EU referendum low against the U.S. dollar. Sterling depreciated by 3.2% against the U.S. dollar.
The euro was weak over the quarter as economic releases disappointed with data pointing to near-recessionary conditions in the bloc. With the region exposed to global economic activity, the ongoing trade war and decelerating growth weighed on the region and the currency. Further headwinds pushed the euro lower later in the quarter as the ECB eased monetary policy and lowered interest rates. Against this backdrop, the euro slid by c.4% against the U.S. dollar.
80
90
100
110
120
130
140
Sep 13 Sep 14 Sep 15 Sep 16 Sep 17 Sep 18 Sep 19
U.S. DOLLAR RELATIVE TO EUR, GBP AND JPY REBASED TO 100 AT 09/30/2013
EUR/USD
GBP/USD
JPY/USD
Source: FactSet
Stronger Dollar
Weaker Dollar
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Commodities
-1.8%
-0.6%
-4.5%
2.4%
5.3%
-6.1%
-8.6%
-6.5%
0.8%
-6.6%
1.6%
-21.6%
-2.1%
20.5%
-4.9%
-7.8%
-3.8%
-5.5%
-25.0% -20.0% -15.0% -10.0% -5.0% 0.0% 5.0% 10.0% 15.0% 20.0% 25.0%
Bloomberg Commodity Index
Ex-Energy
Energy
Industrial Metals
Prec. Metals
Agric.
Softs
Grains
Livestock
COMMODITY RETURNS AS OF 09/30/2019
Third Quarter 2019
One-Year
Source: BloombergNote: Softs and Grains are part of the wider Agriculture sector
Commodities fell over the quarter which saw the Bloomberg Commodity Index return -1.8%.
Despite ongoing supply risks, exacerbated by the drone attacks on oil infrastructure in Saudi Arabia that accounts for nearly half of the Kingdom's production, crude oil prices ended the quarter lower. Weaker energy demand led to lower crude oil prices: the price of Brent crude oil fell by 8.7% to $61/bbl while WTI crude oil spot price fell by 7.5% to $54/bbl. Energy sector disappointed with a return of -4.5%.
Supported partly by safe-haven buying over the quarter, Precious Metals was the best performing sector over the quarter with a return of 5.3%. This took the one-year return to over 20%. All other commodity sectors posted negative returns over the same period.
Agriculture (-6.1%) was the worst performing sector in Q3 2019. Within the Agriculture sector, Softs fell by 8.6% whilst Grains fell by 6.5%.
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Aon Proprietary & Confidential Investment advice and consulting services provided by Aon Hewitt Investment Consulting, Inc., an Aon Company.
Hedge Fund Markets Overview
0.9%
1.5%
-1.1%
-2.0%
-0.6%
-1.6%
0.2%
-0.4%
-0.9%
2.6%
4.0%
-1.2%
2.1%
-0.2%
-2.8%
2.0%
0.4%
0.0%
-4.0% -3.0% -2.0% -1.0% 0.0% 1.0% 2.0% 3.0% 4.0% 5.0%
Fixed Income/Convertible Arb.
Global Macro
Equity Hedge
Emerging Markets
Event-Driven
Distressed-Restructuring
Relative Value
Fund-Weighted Composite Index
Fund of Funds Composite Index
HEDGE FUND PERFORMANCE AS OF 09/30/2019
Third Quarter 2019
One-Year
Note: Latest 5 months of HFR data are estimated by HFR and may change in the future.Source: HFR
Hedge fund performance was mixed across all strategies in the third quarter.
Over the quarter, Global Macro hedge fund strategies were the best performers with a return of 1.5%. Most of the outperformance occurred over August when market risks were elevated. Conversely, Emerging Markets and Distressed-Restructuring were the worst performers, returning -2.0% and -1.6% respectively.
The HFRI Fund-Weighted Composite Index and the HFRI Fund of Funds Composite Index produced returns of -0.4% and -0.9%, respectively.
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Aon Proprietary & Confidential Investment advice and consulting services provided by Aon Hewitt Investment Consulting, Inc., an Aon Company.
Private Equity Market Overview – Q2 2019 – Slide 1 of 2
Fundraising: In Q2 2019, $178.1 billion was raised by 366 funds, which was an increase of 25.8% on a capital basis and an increase of 0.3% by number of funds over the prior quarter. Dry powder stood at nearly $2.0 trillion at the end of the quarter, a modest increase compared to the previous quarter.1
Buyout: Global private equity-backed buyout deals totaled $77.7 billion in Q2 2019, which was up 6.8% on a number of deals basis and down 27.0% on a capital basis from Q1 2019.1 Through the end of Q2 2019, the average purchase price multiple for all U.S. LBOs was 11.2x EBITDA, an increase of 0.6x over year-end 2018 and up from the five-year average (10.2x).2 Large cap purchase price multiples stood at 11.0x, up compared to the full-year 2018 level of 10.6x.2 The weighted average purchase price multiple across all European transaction sizes averaged 11.1x EBITDA for Q2 2019, up from the 10.9x multiple seen at the end of Q1 2019. Purchase prices for transactions of €1.0 billion remained at 11.3x at the end of Q2 2019, a drop from the 11.7x seen at year-end 2018. Transactions between €500.0 million and €1.0 billion were down 0.3x from the end of 2018, and stood at 11.0x at the end of the quarter.2 Globally, exit value totaled $104.7 billion from 453 deals during the second quarter, significantly higher than the $40.8 billion in exits from 460 deals during Q1 2019.1
Venture: During the second quarter, 1,409 venture-backed transactions totaling $28.7 billion were completed in the U.S., which was an increase on a capital and deal basis over the prior quarter’s total of $26.1 billion across 1,362 deals. This was 41.4% higher than the five-year quarterly average of $20.3 billion.3 Total U.S. venture-backed exit activity totaled approximately $138.3 billion across 198 completed transactions in Q2 2019, up slightly on a capital basis from the $50.1 billion across 185 exits in Q1 2019.4
Mezzanine: Four funds closed on $1.2 billion during the second quarter. This was an increase from the prior quarter’s total of $1.0 billion raised by three funds, but represented a decrease of 76.7% from the five-year quarterly average of $5.1 billion. Estimated dry powder was $51.5 billion at the end of Q2 2019, down from the $58.8 billion seen at the end of Q1 2019.1
0
1,000
2,000
3,000
4,000
5,000
6,000
7,000
$0
$100
$200
$300
$400
$500
$600
1Q11 4Q11 3Q12 2Q13 1Q14 4Q14 3Q15 2Q16 1Q17 4Q17 3Q18 2Q19
# of D
ea
ls
Va
lue
($ B
illi
on
s)
Deal Value ($ Billions)
Number of Deals
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Aon Proprietary & Confidential Investment advice and consulting services provided by Aon Hewitt Investment Consulting, Inc., an Aon Company.
Private Equity Market Overview – Q2 2019 – Slide 2 of 2
Distressed Debt: The LTM U.S. high-yield default rate was 1.9% as of July 2019, which was down from year-end 2018’s LTM rate of 2.4%.5 During the quarter, $15.3 billion was raised by 15 funds, higher than both the $5.0 billion raised by 14 funds in Q1 2019 and the five-year quarterly average of $11.0 billion.1 Dry powder was estimated at $119.4 billion at the end of Q2 2019, which was up slightly from the $118.0 billion seen at the end of Q1 2019. This remained above the five-year annual average level of $103.3 billion.1
Secondaries: Four funds raised $1.5 billion during the quarter, down from the $2.2 billion raised by nine funds in Q1 2019 and the $9.0 billion raised by ten funds in Q4 2018.1 At the end of Q2 2019, there were an estimated 58 secondary and direct secondary funds in market targeting roughly $74.6 billion.1 The average discount rate for all private equity sectors finished the quarter at 9.2%, lower than the 9.5% discount at the end of Q1 2019.6
Infrastructure: $23.1 billion of capital was raised by 29 funds in Q2 2019 compared to $18.3 billion of capital raised by 21 partnerships in Q1 2019. At the end of the quarter, dry powder stood at an estimated $217.0 billion, up significantly from Q1 2019’s total of $175.0 billion. Infrastructure managers completed 582 deals with an estimated aggregate deal value of $155.0 billion in Q2 2019 compared to 552 deals totaling $63.0 billion a quarter ago.1
Natural Resources: During Q2 2019, two funds closed on $0.4 billion compared to five funds totaling $1.5 billion in Q1 2019. Energy and utilities industry managers completed approximately 80 deals totaling an estimated $12.4 billion through Q2 2019, which represents 36.1% of the full year capital deployment in 2018.1
Sources: 1 Preqin 2 Standard & Poor’s 3 PwC/CB Insights MoneyTree Report 4 PitchBook/NVCA Venture Monitor 5 Fitch Ratings 6 Thomson Reuters 7 UBS
Notes: FY=Fiscal year ended 12/31; YTD=Year to date; LTM=Last 12 months (aka trailing 12 months); PPM=Purchase Price Multiples: Total Purchase Price ÷ EBITDA.
8.5 x 8.8 x 8.7x 8.8x
9.8x10.3x 10.0x
10.6x 10.6x11.2x
0.0 x
2.0 x
4.0 x
6.0 x
8.0 x
10.0 x
12.0 x
Senior Debt/EBITDA Sub Debt/EBITDA Equity/EBITDA Others
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Aon Proprietary & Confidential Investment advice and consulting services provided by Aon Hewitt Investment Consulting, Inc., an Aon Company.
U.S. Commercial Real Estate Markets
1.3%
5.6%7.3%
9.3%10.9%
7.8%
18.4%
7.4%
10.3%
13.0%
0.0%2.0%4.0%6.0%8.0%
10.0%12.0%14.0%16.0%18.0%20.0%
Q3 2019 1-Year 3-Years 5-Years 10-Years
PRIVATE VS. PUBLIC REAL ESTATE RETURNSAS OF 09/30/2019
Private (NFI-ODCEGross)*Public (NAREITGross)
*Third quarter returns are preliminarySources: NCREIF, FactSet
U.S. Core Real Estate returned 1.3%* over the third quarter, equating to a 5.6% total gross return year-over-year, including a 4.2% incomereturn. Debt mark-to-market was a drag on the quarterly return as a result of declining interest rates. Going forward, income and incomegrowth are expected to be the larger drivers of return, given the current point of the real estate cycle.
Global property markets, as measured by the FTSE EPRA/NAREIT Developed Real Estate Index, returned 4.9% (USD) in aggregate duringthe third quarter. The sector benefitted from increasingly accommodative monetary policy. REIT market performance was driven by NorthAmerica (7.6% USD) and Europe (3.3% USD). The U.S. REIT markets (FTSE NAREIT Equity REITs Index) gained 7.8% in the third quarter.Central bank easing proved to be supportive of REIT pricing.
According to RCA through August 2019, the U.S. property market has experienced price growth of 6.7% year-over-year across majorsectors. The industrial sector pricing appreciated 12.5% year-over-year, leading all sectors. Furthermore, transaction volume was up 10%over the same period.
Return expectations have normalized, with go forward expectations in line with historical norms. The market benefited from two rate cutsduring the Quarter, from the Federal Reserve, and declining interest rates have led to a rally across various asset classes. According toPreqin, there remains a record amount of dry powder ($334 billion) in closed-end vehicles seeking real estate exposure, which shouldcontinue to lend support to valuations and liquidity in the commercial real estate market.
*Indicates preliminary NFI-ODCE data gross of fees
4.0%
5.0%
6.0%
7.0%
8.0%
9.0%
10.0%
'08 '09 '10 '11 '12 '13 '14 '15 '16 '17 '18 '19
Office Industrial Retail Apartment
CAP RATES BY SECTOR
114
Appendix
115
Fee ScheduleMarket Value
$
EstimatedAnnual Fee
$
EstimatedAnnual Fee
(%)
BlackRock MSCI US Equity Index 0.02 % of Assets 1,073,423,469 161,014 0.02
BlackRock MSCI US Small Cap Index 0.02 % of Assets 154,418,688 23,163 0.02
PIMCO Russell 2000 Passive Plus 0.02 % of Assets 202,655,035 30,398 0.02
PIMCO S&P Passive Plus 0.02 % of Assets 1,363,146,623 204,472 0.02
Allianz Global Equity 0.05 % of Assets 391,635,106 195,818 0.05
BlackRock ACWI IMI Index 0.05 % of First $250 M0.04 % Thereafter
112,562,651 56,281 0.05
BlackRock MSCI EAFE IMI Index 0.04 % of Assets 421,698,093 168,679 0.04
PIMCO EAFE Passive Plus 0.04 % of Assets 1,525,102,370 610,041 0.04
BlackRock EM Index 0.07 % of Assets 392,256,988 274,580 0.07
DFA Emerging Markets Value I 0.54 % of Assets 158,019,514 853,305 0.54
PIMCO EM Passive Plus 0.07 % of Assets 261,201,322 182,841 0.07
BlackRock MSCI US Equity Index
Total Fund Investment Fund Fee Analysis
As of September 30, 2019
116
BlackRock MSCI US Equity Index
Total Fund Investment Fund Fee Analysis
As of September 30, 2019
Fee ScheduleMarket Value
$
EstimatedAnnual Fee
$
EstimatedAnnual Fee
(%)
BlackRock U.S. Intermediate Aggregate Index 0.02 % of Assets 1,330,844,413 266,169 0.02
Hoisington 0.20 % of First $100 M0.05 % Thereafter
357,060,953 328,530 0.09
PIMCO Short Term Fixed 0.20 % of First $200 M0.15 % of Next $200 M0.13 % of Next $200 M0.09 % of Next $800 M0.09 % Thereafter
603,102,762 952,792 0.16
Ryan Labs Core Fixed 0.25 % of Assets 224,188,943 560,472 0.25
Hotchkis & Wiley Cap 0.10 % of Assets 308,875,432 308,875 0.10
Oaktree High Yield 0.50 % of Assets 405,581,246 2,027,906 0.50
Allianz Loan Port 0.50 % of Assets 91,559,096 457,795 0.50
Allianz Multi Asset Long Short 0.27 % of Assets 128,057,320 345,755 0.27
AQR Delta Offshore Fund 0.90 % of Assets 96,976,707 872,790 0.90
BlackRock Global Allocation 0.04 % of Assets 516,489,441 206,596 0.04
Cantab 0.60 % of Assets 212,115,882 1,272,695 0.60
Martlet Alternative Beta 0.50 % of Assets 130,986,240 654,931 0.50
- In addition to the base management fee of 0.05%, Allianz Global Equity charges a 27% performance fee calculated annually. The performance fee issubject to a high water mark on alpha only, and the performance fee is capped at 0.60% annually.- In addition to the base management fee of 0.04%, BlackRock Global Allocation charges a 27% performance fee calculated annually. The performance fee issubject to a high water mark on alpha only, and the performance fee is capped at 0.60% annually.- In addition to the base management fee of 0.60%, Cantab charges a 20% performance fee over a 6% net return calculated annually. The performance feeis subject to a high water mark on alpha only.- In addition to the base management fee of 0.50%, Allianz Loan Portfolio charges a 20% performance fee over an IRR of 7.5%.- In addition to the base management fee of 0.90%, AQR Delta charges a 9% performance fee over an index of 90-day T-Bills + 2.5%.
- In addition to the base management fee of 0.015%, PIMCO S&P 500 charges a 50% performance fee calculated annually. The performance fee is subject
to a high water mark on alpha only, and the performance fee is capped at 0.60% annually.
- In addition to the base management fee of 0.015%, PIMCO R2000 charges a 50% performance fee calculated annually. The performance fee is subject to
a high water mark on alpha only, and the performance fee is capped at 0.60% annually.
- In addition to the base management fee of 0.04%, PIMCO EAFE charges a 50% performance fee calculated annually. The performance fee is subject to a
high water mark on alpha only, and the performance fee is capped at 0.60% annually.
- In addition to the base management fee of 0.07%, PIMCO EM charges a 50% performance fee calculated annually. The performance fee is subject to a
high water mark on alpha only, and the performance fee is capped at 0.60% annually.- In addition to the investment management fee of 0.27%, the Allianz Multi Asset Long Short fund charges operating expenses which are capped at 0.20%
annually.
117
Performance Return Calculations
Returns calculated in the performance summary tables are time-weighted rates of return (TWRR). TWRR are calculated from the changes in monthly market values, adjusted forweighted cash flows between months. Returns are linked geometrically and annualized for period longer than one year.
Data Source
Aon Hewitt Investment Consulting, Inc. (AHIC) is an independent third party consulting firm and calculates returns from best source book of record data. Returns calculated byAHIC may deviate from those shown by the manager in part, but not limited to, differences in prices and market values reported by the custodian and manager. It is theresponsibility of the manager and custodian to provide insight into the pricing and methodologies and any difference in valuation.
Illiquid Alternatives
Closed end funds including but not limited to Real Estate, Hedge Funds, Private Equity, and Private Credit may lag performance and market value data due to delayed reporting.AHIC will show market values for closed end funds as of the most recent reported performance adjusted for capital calls and distributions. Closed end fund managers reportperformance using an internal rate of return (IRR), which differs from the TWRR calculation done by AHIC. It is inappropriate to compare IRR and TWRR to each other. IRR figuresreported in the illiquid alternative pages are provided by the respective managers, and AHIC has not made any attempts to verify these returns. Until a partnership is liquidated(typically over 10-12 years), the IRR is only an interim estimated return. The actual IRR performance of any LP is not known until the final liquidation.
Manager Line Up
Manager Inception Date Data Source Manager Inception Date Data SourceCantab 10/01/2013 BNY Mellon BlackRock MSCI EAFE IMI Index 07/07/2017 BNY MellonPIMCO S&P Passive Plus 08/10/2015 BNY Mellon PIMCO Russell 2000 Passive Plus 08/10/2015 BNY MellonMartlet Alternative Beta 02/12/2018 BNY Mellon PIMCO EAFE Passive Plus 08/10/2015 BNY MellonBlackRock EM Index 08/04/2015 BNY Mellon PIMCO EM Passive Plus 08/10/2015 BNY MellonBlackRock ACWI IMI Index 12/01/2018 BNY Mellon AQR Delta Offshore Fund 06/01/2010 BNY MellonBlackRock US Int. Aggregate Index 01/24/2017 BNY Mellon Ryan Labs Core Fixed Income 01/31/2017 BNY MellonHotchkis & Wiley Cap 08/01/2010 BNY Mellon Oaktree High Yield 05/01/1995 BNY MellonHoisington 09/01/2010 BNY Mellon Allianz Global Equity 06/21/2017 BNY MellonPIMCO Short Term Fixed 09/01/2010 BNY Mellon BlackRock MSCI US Equity Index 07/07/2017 BNY MellonBlackRock MSCI US Small Cap 07/07/2017 BNY Mellon BlackRock Global Allocation 07/31/2017 BNY MellonAllianz Loan Port 04/13/2016 BNY Mellon Allianz Multi-Asset Long Short 03/05/2018 BNY MellonDFA Emerging Markets Value I 12/01/2011 BNY Mellon
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Data Sources and Methodology
As of September 30, 2019
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Data Sources and Methodology
As of September 30, 2019
Policy & Custom Index Composition
SDCERA Policy Benchmark 45% MSCI ACWI IMI, 18% Bloomberg Barclays US Intermediate Aggregate, 6% ICE BofAML US High Yield Index, 8% Balancedbenchmark, 23% SDCERA Private Asset Benchmark.
SDCERA Private Asset Benchmark 1/3 NCREIF-ODCE and 2/3 MSCI ACWI IMI. Prior to July 1, 2017, the benchmark was comprised of 1/3 NCREIF-ODCE +50bps, and2/3 MSCI ACWI IMI + 200bps.
SDCERA Public Benchmark 58.4% MSCI ACWI IMI, 23.4% Bloomberg Barclays US Intermediate Aggregate, 7.8% ICE BofAML US High Yield Index, 10.4%Balanced Benchmark.
Balanced Benchmark Currently 70% MSCI ACWI IMI and 30% Bloomberg Barclays US Intermediate Aggregate. Prior to July 1, 2017 the benchmark wascomprised of 70% MSCI ACWI IMI and 30% Bloomberg Barclays US Aggregate.
Emerging Markets Benchmark Currently, the MSCI Emerging Markets Index (Net). Prior to July 1, 2017, the benchmark was the MSCI Emerging Markets IMI Index(Net).
Fixed Income Benchmark Currently 75% Bloomberg Barclays U.S. Intermediate Aggregate Index and 25% ICE BofAML US High Yield Index. Prior to July 1,2017 the benchmark was comprised of the Bloomberg Barclays U.S. Intermediate Aggregate Index.
Other Disclosures
All data prior to 3/31/2016 was provided by BNY Mellon, Salient Partners, and Verus.
119
Total Public Equity:Benchmark: MSCI AC World IMI (Net)
U.S. Equity:Benchmark: MSCI USA IMI (Net)
BlackRock MSCI U.S. Equity Index:Benchmark: MSCI USA (Net)Universe: Rankings are based on a universe of U.S. stock funds compiled by Investment Metrics
BlackRock MSCI U.S. Small Cap Index:Benchmark: MSCI USA Small Cap (Net)Universe: Rankings are based on a universe of U.S. stock funds compiled by Investment Metrics
PIMCO S&P Passive Plus:Benchmark: S&P 500 IndexUniverse: Rankings are based on a universe of U.S. stock funds compiled by Investment Metrics
PIMCO Russell 2000 Passive Plus:Benchmark: Russell 2000 IndexUniverse: Rankings are based on a universe of U.S. stock funds compiled by Investment Metrics
Global Equity:Benchmark: MSCI AC World IMI (Net)
Allianz Global Equity:Benchmark: MSCI AC World IMI Index (Net)Universe: Rankings are based on a universe of global stock funds compiled by Investment Metrics
BlackRock ACWI IMI Index:Benchmark: MSCI AC World IMI Index (Net)Universe: Rankings are based on a universe of global stock funds compiled by Investment Metrics
International Equity:Benchmark: MSCI EAFE IMI (Net)
BlackRock MSCI EAFE IMI Index:Benchmark: MASI EAFE IMI (Net)Universe: Rankings are based on a universe of non-U.S. stock funds compiled by Investment Metrics
PIMCO EAFE Passive Plus:Benchmark: MSCI EAFE Index (Net)Universe: Rankings are based on a universe of non-U.S. stock funds compiled by Investment Metrics
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Benchmark and Universe Descriptions
As of September 30, 2019
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Benchmark and Universe Descriptions
As of September 30, 2019
Emerging Market Equity:Benchmark: Emerging Markets Benchmark
BlackRock EM Index:Benchmark: MSCI Emerging Markets Index (Net)Universe: Rankings are based on a universe of emerging market stock funds compiled by Investment Metrics
PIMCO EM Passive Plus:Benchmark: MSCI Emerging Markets Index (Net)Universe: Rankings are based on a universe of emerging market stock funds compiled by Investment Metrics
DFA Emerging Markets Value I:Benchmark: MSCI Emerging Markets Index (Net)Universe: Rankings are based on a universe of emerging market stock funds compiled by Lipper
Risk Reducing Fixed Income:Benchmark: Bloomberg Barclays U.S. Intermediate Aggregate Index
U.S. Fixed Income:Benchmark: Bloomberg Barclays U.S Intermediate Aggregate Index
BlackRock U.S. Intermediate Aggregate Index:Benchmark: Bloomberg Barclays U.S. Intermediate Aggregate IndexUniverse: Rankings are based on a universe of U.S. bond funds compiled by Investment Metrics
Ryan Labs Core Fixed Income:Benchmark: Bloomberg Barclays Aggregate IndexUniverse: Rankings are based on a universe of U.S. bond funds compiled by Investment Metrics
PIMCO Short Term Fixed:Benchmark: 3 Month LIBORUniverse: Rankings are based on a universe of U.S. short term duration funds compiled by Investment Metrics
Hoisington:Benchmark: Bloomberg Barclays U.S. Treasury 7-10 YearUniverse: Rankings are based on a universe of U.S. bond funds compiled by Investment Metrics
Return Seeking Fixed Income:Benchmark: ICE BofAML US High Yield Index
High Yield Credit:Benchmark: ICE BofAML US High Yield Index
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Benchmark and Universe Descriptions
As of September 30, 2019
Hotchkis & Wiley Cap:Benchmark: ICE BofAML US High Yield IndexUniverse: Rankings are based on a universe of U.S. bond funds compiled by Investment Metrics
Oaktree High Yield:Benchmark: ICE BofAML US High Yield IndexUniverse: Rankings are based on a universe of U.S. bond funds compiled by Investment Metrics
Loans:Benchmark: S&P Leveraged Loan Index
Allianz Loan Portfolio:Benchmark: S&P Leveraged Loan IndexUniverse: Rankings are based on a universe of U.S. bond funds compiled by Investment Metrics
Opportunistic:Benchmark: Balanced Benchmark
Allianz Multi Asset Long Short:Benchmark: Balanced BenchmarkUniverse: No suitable universe is available
AQR Delta Offshore Fund:Benchmark: Balanced BenchmarkUniverse: No suitable universe is available
BlackRock Global Allocation:Benchmark: Balanced BenchmarkUniverse: No suitable universe is available
Cantab:Benchmark: Balanced BenchmarkUniverse: No suitable universe is available
Martlet Alternative Beta:Benchmark: Balanced BenchmarkUniverse: No suitable universe is available
Total Private AssetsBenchmark: SDCERA Private Assets Benchmark
Real EstateBenchmark: NCREIF ODCE
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Benchmark and Universe Descriptions
As of September 30, 2019
Private EquityBenchmark: MSCI AC World IMI (Net)
Private Real AssetsBenchmark: MSCI AC World IMI (Net)
Manager Benchmark DescriptionsMSCI AC World IMI (Net): A capitalization-weighted stock index that captures large, mid and small cap representation across 23 Developed Markets (DM) and 24 EmergingMarkets (EM) countries. With 8,870 constituents, the index is comprehensive, covering approximately 99% of the global equity investment opportunity set.
MSCI USA IMI (Net): A capitalization-weighted stock index designed to measure the performance of the large, mid and small cap segments of the US market. With 2,414constituents, the index covers approximately 99% of the free float-adjusted market capitalization in the US.
S&P 500 Index: A capitalization-weighted stock index consisting of 500 of the largest publicly traded U.S. stocks by capitalization. The index covers approximately 80% of availablemarket capitalization.
Russell 2000 Index: A capitalization-weighted stock index that measures the performance of approximately 2000 small capitalization U.S. stocks.
MSCI AC World ex USA Index (Net): A capitalization-weighted index that captures large and mid-cap representation across 22 of 23 Developed Markets (DM) countries (excludingthe US) and 24 Emerging Markets (EM) countries. With 2,166 constituents, the index covers approximately 85% of the global equity opportunity set outside the US.
MSCI EAFE IMI (Net): A capitalization-weighted index of stocks that captures large, mid and small cap representation across Developed Markets countries around the world,excluding the US and Canada. With 3,268 constituents, the index is comprehensive, covering approximately 99% of the free float-adjusted market capitalization in each country.
MSCI EAFE Index (Net): A capitalization-weighted index of stocks that captures large and mid-cap representation across 21 Developed Markets countries around the world,excluding the US and Canada. With 924 constituents, the index covers approximately 85% of the free float-adjusted market capitalization in each country.
MSCI Emerging Markets IMI (Net): A capitalization-weighted index of stocks that captures large, mid and small cap representation across 24 Emerging Markets (EM) countries.With 2,882 constituents, the index covers approximately 99% of the free float-adjusted market capitalization in each country.
MSCI Emerging Markets Index (Net): A capitalization-weighted index of stocks that captures large and mid-cap representation across 24 Emerging Markets (EM) countries. With1,151 constituents, the index covers approximately 85% of the free float-adjusted market capitalization in each country.
Bloomberg Barclays U.S. Intermediate Aggregate: A market value-weighted index consisting of U.S. Treasury securities, corporate bonds and mortgage-related and asset-backedsecurities with one to ten years to maturity and an outstanding par value of $250 million or greater.
Bloomberg Barclays Aggregate Index: A market value-weighted index consisting of government bonds, SEC-registered corporate bonds and mortgage-related and asset-backedsecurities with at least one year to maturity and an outstanding par value of $250 million or greater. This index is a broad measure of the performance of the investment grade U.S.fixed income market.
Bloomberg Barclays U.S. Treasury: 7-10 Year: A market value-weighted index consisting of U.S. Treasury bonds with seven to ten years to maturity and an outstanding par valueof $250 million or greater.
Bloomberg Barclays Long Government Index: An unmanaged index considered representative of long-term fixed-income obligations issued by the U.S. treasury, government
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As of September 30, 2019
agencies and quasi-federal corporations.
Bloomberg Barclays Intermediate Government Index: An unmanaged index considered representative of intermediate-term fixed-income obligations issued by the U.S. treasury,government agencies and quasi-federal corporations.
ICE BofAML US High Yield Index: A market capitalization-weighted index that tracks the performance of U.S. dollar-denominated, below investment grade corporate debt publiclyissued in the U.S. domestic market.
Citi 3-Month T-bill: An index that measures the average return of the last three-month U.S. Treasury Bill issues.
HFRI Macro (Total) Index: Tracks investment managers which trade a broad range of strategies in which the investment process is predicated on movements in underlyingeconomic variables and the impact these have on equity, fixed income, hard currency and commodity markets. Managers employ a variety of techniques, both discretionary andsystematic analysis, combinations of top down and bottom up theses, quantitative and fundamental approaches and long and short term holding periods. Although some strategiesemploy RV techniques, Macro strategies are distinct from RV strategies in that the primary investment thesis is predicated on predicted or future movements in the underlyinginstruments, rather than realization of a valuation discrepancy between securities. In a similar way, while both Macro and equity hedge managers may hold equity securities, theoverriding investment thesis is predicated on the impact movements in underlying macroeconomic variables may have on security prices, as opposes to EH, in which thefundamental characteristics on the company are the most significant are integral to investment thesis.
NCREIF ODCE (Net) Monthilized: A capitalization weighted index comprised of open-end, Core funds investing in commercial real estate properties. The funds that constitute theindex are subject to certain geographic and property type diversification requirements as well as leverage restrictions. The index reflects the impact of leverage on investmentresults. The returns shown in this report are net of management fees of the respective funds included in the index.
3 Month LIBOR: An index that serves as the benchmark reference rate for debt instruments. The index serves as the rate of interest at which banks offer to lend money to one
another in the wholesale money market.
124
CountrySDCERA Public Equity
AllocationMSCI All Country World IMI Index
Difference
United States 50.7% 55.3% -4.6%
U.S. Equity 50.7% 55.3% -4.6%
Australia 2.5% 2.2% 0.4%
Austria 0.1% 0.1% 0.0%
Belgium 0.4% 0.4% 0.0%
Canada 0.1% 3.1% -3.0%
Denmark 0.6% 0.5% 0.1%
Finland 0.4% 0.3% 0.0%
France 3.2% 3.1% 0.1%
Germany 3.0% 2.5% 0.6%
Hong Kong 1.3% 1.0% 0.3%
Ireland 0.2% 0.2% 0.0%
Israel 0.2% 0.2% 0.0%
Italy 0.8% 0.8% 0.1%
Japan 8.9% 7.7% 1.2%
Netherlands 1.4% 1.1% 0.3%
New Zealand 0.1% 0.1% 0.0%
Norway 0.3% 0.3% 0.0%
Portugal 0.1% 0.1% 0.0%
Singapore 0.5% 0.4% 0.1%
Spain 1.0% 0.8% 0.2%
Sweden 0.9% 0.9% 0.0%
Switzerland 3.2% 2.6% 0.6%
United Kingdom 6.1% 5.0% 1.1%
Non-U.S. Equity: Developed 35.4% 33.4% 2.0%
Brazil 1.1% 0.9% 0.2%
British Virgin Islands 0.0% 0.0% 0.0%
Cayman Islands 0.0% 0.0% 0.0%
Chile 0.1% 0.1% 0.0%
China 3.9% 3.3% 0.5%
Czech Republic 0.0% 0.0% 0.0%
Egypt 0.0% 0.0% 0.0%
Greece 0.0% 0.0% 0.0%
Hungary 0.0% 0.0% 0.0%
India 1.3% 1.1% 0.2%
Indonesia 0.3% 0.2% 0.1%
Korea 1.7% 1.4% 0.3%
Malaysia 0.3% 0.2% 0.1%
Mexico 0.3% 0.3% 0.1%
Pakistan 0.0% 0.0% 0.0%
Peru 0.0% 0.0% 0.0%
Philippines 0.0% 0.1% -0.1%
Poland 0.1% 0.1% 0.0%
Qatar 0.2% 0.1% 0.1%
Russia 0.2% 0.4% -0.2%
Saudi Arabia 0.0% 0.3% -0.3%
South Africa 0.7% 0.5% 0.2%
Taiwan 1.7% 1.4% 0.3%
Thailand 0.4% 0.4% 0.1%
Turkey 0.1% 0.1% 0.0%
United Arab Emirates 0.1% 0.1% 0.0%
Other Countries 0.9% 0.0% 0.9%
Non-U.S. Equity: Emerging Markets 13.7% 11.2% 2.5%
Total Public Equity 100% 100% --
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Allocation Effect: An attribution effect that describes the amount attributable to the managers' asset allocation decisions, relative to the benchmark.
Alpha: The excess return of a portfolio after adjusting for market risk. This excess return is attributable to the selection skill of the portfolio manager. Alpha is calculated as: PortfolioReturn - [Risk-free Rate + Portfolio Beta x (Market Return - Risk-free Rate)].
Benchmark R-squared: Measures how well the Benchmark return series fits the manager's return series. The higher the Benchmark R-squared, the more appropriate thebenchmark is for the manager.
Beta: A measure of systematic, or market risk; the part of risk in a portfolio or security that is attributable to general market movements. Beta is calculated by dividing thecovariance of a security by the variance of the market.
Book-to-Market: The ratio of book value per share to market price per share. Growth managers typically have low book-to-market ratios while value managers typically have highbook-to-market ratios.
Capture Ratio: A statistical measure of an investment manager's overall performance in up or down markets. The capture ratio is used to evaluate how well an investmentmanager performed relative to an index during periods when that index has risen (up market) or fallen (down market). The capture ratio is calculated by dividing the manager'sreturns by the returns of the index during the up/down market, and multiplying that factor by 100.
Correlation: A measure of the relative movement of returns of one security or asset class relative to another over time. A correlation of 1 means the returns of two securities movein lock step, a correlation of -1 means the returns of two securities move in the exact opposite direction over time. Correlation is used as a measure to help maximize the benefits ofdiversification when constructing an investment portfolio.
Excess Return: A measure of the difference in appreciation or depreciation in the price of an investment compared to its benchmark, over a given time period. This is usuallyexpressed as a percentage and may be annualized over a number of years or represent a single period.
Information Ratio: A measure of a manager's ability to earn excess return without incurring additional risk. Information ratio is calculated as: excess return divided by trackingerror.
Interaction Effect: An attribution effect that describes the portion of active management that is contributable to the cross interaction between the allocation and selection effect.This can also be explained as an effect that cannot be easily traced to a source.
Portfolio Turnover: The percentage of a portfolio that is sold and replaced (turned over) during a given time period. Low portfolio turnover is indicative of a buy and hold strategywhile high portfolio turnover implies a more active form of management.
Price-to-Earnings Ratio (P/E): Also called the earnings multiplier, it is calculated by dividing the price of a company's stock into earnings per share. Growth managers typicallyhold stocks with highprice-to-earnings ratios whereas value managers hold stocks with low price-to-earnings ratios.
R-Squared: Also called the coefficient of determination, it measures the amount of variation in one variable explained by variations in another, i.e., the goodness of fit to abenchmark. In the case of investments, the term is used to explain the amount of variation in a security or portfolio explained by movements in the market or the portfolio'sbenchmark.
Selection Effect: An attribution effect that describes the amount attributable to the managers' stock selection decisions, relative to the benchmark.
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Sharpe Ratio: A measure of portfolio efficiency. The Sharpe Ratio indicates excess portfolio return for each unit of risk associated with achieving the excess return. The higher theSharpe Ratio, the more efficient the portfolio. Sharpe ratio is calculated as: Portfolio Excess Return / Portfolio Standard Deviation.
Sortino Ratio: Measures the risk-adjusted return of an investment, portfolio, or strategy. It is a modification of the Sharpe Ratio, but penalizes only those returns falling below aspecified benchmark. The Sortino Ratio uses downside deviation in the denominator rather than standard deviation, like the Sharpe Ratio.
Standard Deviation: A measure of volatility, or risk, inherent in a security or portfolio. The standard deviation of a series is a measure of the extent to which observations in theseries differ from the arithmetic mean of the series. For example, if a security has an average annual rate of return of 10% and a standard deviation of 5%, then two-thirds of thetime, one would expect to receive an annual rate of return between 5% and 15%.
Style Analysis: A return based analysis designed to identify combinations of passive investments to closely replicate the performance of funds
Style Map: A specialized form or scatter plot chart typically used to show where a Manager lies in relation to a set of style indices on a two-dimensional plane. This is simply a wayof viewing the asset loadings in a different context. The coordinates are calculated by rescaling the asset loadings to range from -1 to 1 on each axis and are dependent on theStyle Indices comprising the Map.
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Benchmark Descriptions
Bloomberg Barclays Corporate High Yield Bond Index - An index that covers the USD-dominated, non- investment grade, fixed rate, taxable corporate bond market. Debt issues from emerging market countries are excluded. Securities are classified as high-yield if the middle rating is Ba1/BB+ or below.
Bloomberg Barclays Emerging Markets Index - An unmanaged index that tracks total returns for external-currency-denominated debt instruments of the emerging markets.
Bloomberg Barclays Global Aggregate - Provides a broad-based measure of the global investment-grade fixed income markets. The three major components of this index are the U.S. Aggregate, the Pan-European Aggregate, and the Asian-Pacific Aggregate Indices. The index also includes Eurodollar and Euro-Yen corporate bonds, Canadian government, agency and corporate securities, and USD investment grade 144A securities.
Bloomberg Barclays Global Treasury Ex-US - The Barclays Global Treasury ex US Index is a subset of the flagship Global Treasury Index that does not have any exposure toUS debt. This multi-currency benchmark includes investment grade, fixed-rate bonds issued by governments in their native currencies.
Bloomberg Barclays Inflation Index - Measures the performance of the U.S. Treasury Inflation Protected Securities ("TIPS") market.
Bloomberg Barclays Universal Index - A market value-weighted index which is the union of the U.S. Aggregate Index, U.S. High Yield Corporate Index, Eurodollar Index, U.S. Emerging Markets Index and the CMBS High Yield Index. The Index is appropriate for core plus fixed income mandates.
Bloomberg Barclays U.S. Aggregate Bond Index - A market value-weighted index consisting of government bonds, SEC-registered corporate bonds and mortgage-related and asset-backed securities with at least one year to maturity and an outstanding par value of $250 million or greater. This index is a broad measure of the performance of the investment grade U.S. fixed income market.
Bloomberg Barclays U.S. Government/Credit Index - A subcomponent of the Barclays Capital Aggregate Index, this benchmark includes treasury securities, government related issues, and high quality corporate bonds with an outstanding par value of $250 million or greater and at least one year of maturity remaining.
Bloomberg Barclays U.S. Government Index - A market value weighted index of U.S. government and government agency securities (other than mortgage securities) with maturities of one year or more.
Bloomberg Barclays U.S. High Yield Index - An index composed of non-investment grade corporate debt denominated in U.S. dollars. The issues have to have an outstanding par value of $150 million or greater and at least one year of maturity remaining.
Bloomberg Barclays U.S. Intermediate Aggregate Bond Index - A market value-weighted index consisting of U.S. Treasury securities, corporate bonds and mortgage-related and asset-backed securities with one to ten years to maturity and an outstanding par value of $250 million or greater.
Bloomberg Barclays U.S. Intermediate Government Bond Index - An unmanaged index considered representative of intermediate- term fixed-income obligations issued by the U.S. treasury, government agencies and quasi-federal corporations.
Bloomberg Barclays U.S. Intermediate Government/Credit Index - A market-value weighted index consisting of U.S. government bonds and SEC-registered corporate bonds with one to ten years to maturity and an outstanding par value of $150 million or greater.
Bloomberg Barclays U.S. Intermediate Treasury - An unmanaged index considered representative of intermediate-term fixed- income obligations issued by the U.S. treasury.
Bloomberg Barclays U.S. Long Credit Bond Index - An unmanaged index considered representative of long-term fixed-income obligations issued by U.S. corporate, specified foreign debentures, and secured notes that meet the specified maturity, liquidity, and quality requirements. To qualify, bonds must be SEC-registered.
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Benchmark Descriptions
Bloomberg Barclays U.S. Long Gov’t/Credit Index - The Barclays Capital U.S. Government/ Credit Bond Index measures performance of U.S. dollar denominated U.S. treasuries, government-related, and investment grade U.S. corporate securities that have a remaining maturity of greater than or equal to 1 year. In addition, the securities have $250 million or more of outstanding face value, and must be fixed rate and non-convertible.
Bloomberg Barclays U.S. Long Government Bond Index - An unmanaged index considered representative of long-term fixed- income obligations issued by the U.S. treasury, government agencies and quasi-federal corporations.
Bloomberg Barclays U.S. TIPS - A market value-weighted index consisting of U.S. Treasury Inflation Protected Securities with one or more years remaining until maturity with total outstanding issue size of $500m or more.
Bloomberg Barclays U.S. Treasury 20-30 Year STRIPS Index - A subcomponent of the Barclays Aggregate Index, this benchmark includes long-term treasury STRIPS.
Bloomberg Commodity Index - Consists of 22 exchange-traded futures on physical commodities, which are weighted to account for economic significance and market liquidity. Performance is calculated on an excess return basis and reflects commodity future price movements.
BofA Merrill Lynch 3 Month Treasury Bill - An index that measures the average return of the last three-month U.S. Treasury Bill issues.
BofA Merrill Lynch High Yield Master - A market capitalization-weighted index that tracks the performance of U.S. dollar- denominated, below investment grade corporate debt publicly issued in the U.S. domestic market.
Citigroup 90-Day T-Bill Index - An index that measures the average return of the last three-month U.S. Treasury Bill issues.
Credit Suisse Leveraged Loan Index - Designed to mirror the investable universe of the U.S. dollar denominated leveraged loan market.
CRSP US Large Cap Index - an index comprised of nearly 640 US large cap companies and includes securities traded on NYSE, NYSEMarket, NASDAQ, or ARCA, representing nearly 85% of the U.S. investable equity market. The index is reconstituted quarterly after the market close on the third Fridays of March, June, September, and December.
CRSP US Total Market Index - an index comprised of nearly 4,000 constituents across mega, large, small, and micro capitalizations and includes securities traded on NYSE, NYSE Market, NASDAQ, or ARCA, representing nearly 100% of the U.S. investable equity market. The index is reconstituted quarterly after the market close on the third Fridays of March, June, September, and December.
DJ U.S. Completion Total Stock Market Index - A capitalization-weighted index that consists of the stocks in the Dow Jones U.S. Total Stock Market Index less the stocks in the S&P 500 Stock Index.
DJ U.S. Total Stock Market Index - A capitalization-weighted stock index representing all domestic common stocks traded regularly on the organized exchanges. The index is the broadest measure of the aggregate domestic stock market and includes approximately 5,000 stocks.
FTSE 4Good U.S. Select Index - a socially responsible investment (SRI) index of US stocks that excludes companies with certain business activities such as weapons, tobacco, gambling, alcohol, nuclear power, and adult entertainment.
FTSE All-World ex-U.S. Index - A capitalization-weighted stock index representing 46 developed market countries and emerging market countries excluding the U.S.
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Benchmark Descriptions
FTSE EPRA NAREIT Global ex-U.S. Index - Designed to represent general trends in eligible real estate equities worldwide. Relevant real estate activities are defined as the ownership, disposure and development of income-producing real estate.
FTSE Global All Cap ex US Index - a market-capitalization weighted index representing the performance of roughly 5350 large, mid and small cap companies in 46 Developed and Emerging markets worldwide, excluding the USA.
FTSE Global Core Infrastructure Index - Represents the performance of infrastructure and infrastructure-related securities companies in a set of industries that FTSE defines as being involved in infrastructure. The series is based on the FTSE Global Equity Index Series and both developed and emerging markets are included.
FTSE NAREIT U.S. Equity REITS - Free float adjusted, market capitalization weighted index of US based equity real estate investment trusts (REITs).
Goldman Sachs Commodity Index - A composite index of commodity sector returns which represents a broadly diversified, unleveraged, long-only position in commodity futures.
HFRI Fund-of-Fund Index - This index is equity-weighted including 800 constituents. It includes both domestic and offshore accounts and is valued in U.S. dollars. Only fund-of-fund products are included in the index that have at least $50 million under managements and have been actively trading for at least one year. All funds report net monthly returns.
HFRI Fund Weighted Composite Index - The HFRI Fund Weighted Composite Index is a global, equal-weighted index of over 2,000 single-manager funds that report to HFRDatabase. Constituent funds report monthly net of all fees performance in US Dollar and have a minimum of $50 Million under management or a twelve (12) month track record of active performance. The HFRI Fund Weighted Composite Index does not include Funds of Hedge Funds.
Hueler Stable Value Index - The Hueler Analytics Stable Value Pooled Fund Comparative Universe represents investment strategies of $96 billion in stable value assets, across 24 pooled funds, invested in contracts universe across a universe of 16 general account issuers and 14 synthetic wrap providers. The allocation of pooled fund assets is dominated by synthetic contracts issued by insurance companies and banks.
iMoneyNet All Taxable Money Funds Index - An index made up of the entire universe of money market mutual funds. The index currently represents over 1,300 funds, or approximately 99 percent of all money fund assets.
iMoneyNet Money Fund Average - An index made up of the entire universe of money market mutual funds. The index currently represents over 1,300 funds, or approximately 99 percent of all money fund assets.
J.P. Morgan EMBI Global Diversified - Comprised of dollar-denominated Brady bonds, traded loans and Eurobonds issued by emerging market sovereign and quasi-sovereign entities. The Diversified version limits the weights of the index countries by only including a specified portion of those countries' eligible current face amounts of debt outstanding, providing for a more even distribution of weights within the countries in the index.
MSCI All Country World ex-U.S. Index - A capitalization-weighted index of stocks representing 44 stock markets in Europe, Australia, the Far East, the Middle East, Latin America and North America. Index consists of 23 developed and 21 emerging countries, but excludes the U.S.
MSCI All Country World ex-U.S. Index IMI- A capitalization-weighted index of large, mid and small cap stocks representing 22 developed (excluding the United States) and 24 emerging market countries. The index is the broadest measure of the aggregate non-US stock market, covering approximately 99% of the global equity investment opportunity set outside of the United States.
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Benchmark Descriptions
MSCI All Country World ex-U.S. Small Cap Index - Covers all investable small cap securities with a market capitalization below that of the companies in the MSCI Standard Indices (excluding U.S.), and target approximately 14% of each market’s free-float adjusted market capitalization.
MSCI All Country World Index - A capitalization-weighted index of stocks representing 46 stock markets in Europe, Australia, the Far East, the Middle East, Latin America and North America.
MSCI All Country World Index IMI - A capitalization-weighted index of large, mid and small cap stocks representing 23 developed and 24 emerging market countries. The index is the broadest measure of the aggregate global stock market, covering approximately 99% of the global equity investment opportunity set.
MSCI EAFE Growth Index - A capitalization-weighted index of 21 stock markets in Europe, Australia, Asia and the Far East designed to capture the growth-oriented companies.
MSCI EAFE Index - A capitalization-weighted index of stocks representing 22 developed countries in Europe, Australia, Asia, and the Far East.
MSCI EAFE Small Cap Index - A capitalization-weighted index of small cap stocks representing 23 developed country markets in Europe, Australia, Asia, and the Far East.
MSCI EAFE Value Index - A capitalization-weighted index of 21 stock markets in Europe, Australia, Asia and the Far East designed to capture the value-oriented companies.
MSCI Emerging Markets Index - A capitalization-weighted index of stocks representing 22 emerging country markets.
MSCI Emerging Markets Value Index - A capitalization-weighted index considered representative of value stocks across 46 stock markets in Europe, Australia, the Far East, the Middle East, Latin America and North America.
MSCI U.S. Broad Market Index - A capitalization-weighted stock index that aggregates the MSCI U.S. Large Cap 300, Mid Cap 450, Small Cap 1,750 and Micro Cap Indices. This index represents approximately 99.5% of the capitalization of the U.S. Equity market and includes approximately 3,562 companies.
MSCI U.S. REIT Index - A broad index that fairly represents the equity REIT opportunity set with proper investability screens to ensure that the index is investable and replicable. The index represents approximately 85% of the U.S. REIT universe.
MSCI World Index - A free float-adjusted market capitalization weighted index that is designed to measure the equity market performance of developed markets, representing 24 developed market country indices.
NCREIF Property Index - A capitalization-weighted index of privately owned investment grade income-producing properties representing approximately $269 billion in assets.
NFI ODCE Index - A capitalization weighted index comprised of open-end, Core funds investing in commercial real estate properties. The funds that constitute the index are subject to certain geographic and property type diversification requirements as well as leverage restrictions. The index reflects the impact of leverage on investment results. The returns shown in this report are net of management fees of the respective funds included in the index.
Rolling 3-year Constant Maturity Treasury Index - An index published by the Federal Reserve Board based on the monthly average yield of a range of Treasury securities, all adjusted to the equivalent of a three-year maturity.
Russell 1000 Growth Index - An index that measures the performance of those Russell 1000 companies with higher price-to- book ratios and higher I/B/E/S growth forecasts.
Russell 1000 Index - A capitalization-weighted index of the 1,000 largest publicly traded U.S. stocks by capitalization.
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Benchmark Descriptions
Russell 1000 Value Index - An index that measures the performance of those stocks included in the Russell 1000 Index with lower price-to-book ratios and lower I/B/E/S earnings growth forecasts.
Russell 2000 Growth Index - A capitalization-weighted index of those stocks in the Russell 2000 Index with higher price-to-book ratios and higher I/B/E/S earnings growth forecasts.
Russell 2000 Index - A capitalization-weighted index of the smallest 2,000 stocks in the Russell 3000 Index. The index excludes the largest- and smallest-capitalization issues in the domestic stock market.
Russell 2000 Value Index - An index that measures the performance of those stocks included in the Russell 2000 Index with lower price-to-book ratios and lower I/B/E/S earnings growth forecasts.
Russell 2500 Growth Index - A capitalization-weighted index representing those companies within the Russell 2500 Index with higher price-to-book ratios and higher I/B/E/S earnings growth forecasts.
Russell 2500 Index - The Index is constructed by first identifying the 3,000 largest-capitalization U.S. stocks and ranking them by market capitalizations, choosing the bottom 2,500 names on the list.
Russell 2500 Value Index - An index that measures the performance of those stocks included in the Russell 2500 Index with lower price-to-book ratios and lower I/B/E/S earnings growth forecasts.
Russell 3000 Growth Index - A capitalization-weighted index consisting of those Russell 3000 Index stocks that have higher price-to-book ratios and higher I/B/E/S earnings growth forecasts.
Russell 3000 Index - A capitalization-weighted index consisting of the 3,000 largest publicly traded U.S. stocks by capitalization. This index is a broad measure of the performance of the aggregate domestic equity market.
Russell 3000 Value Index - A capitalization-weighted index consisting of those Russell 3000 Index stocks that have lower price-to-book ratios and lower I/B/E/S earnings growth forecasts.
Russell Mid Cap Growth Index - A capitalization-weighted index representing those stocks in the Russell MidCap Index with higher price-to-book ratios and higher I/B/E/S earnings growth forecasts.
Russell Mid Cap Index - A capitalization-weighted index of the 800 smallest stocks in the Russell 1000 Index. This index is a broad measure of mid-capitalization stocks.
Russell Mid Cap Value Index - A capitalization-weighted index consisting of those Russell MidCap Index stocks that have lower price-to-book ratios and lower I/B/E/S earnings growth forecasts.
S&P 500 Index - A capitalization-weighted index representing stocks chosen by Standard & Poor's, Inc. for their size, liquidity, stability and industry group representation. The companies in the S&P 500 Index are generally among the largest in their industries.
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Benchmark Descriptions
S&P Completion Index -The S&P Completion Index is a sub-index of the S&P Total Market Index, including all stocks eligible for the S&P TMI and excluding all current constituents of the S&P 500. The index covers approximately 4,000 constituents, offering investors broad exposure to mid, small, and micro cap companies.
S&P Leverage Loan Index - A daily total return index that uses LSTA/LPC Mark-to-Market Pricing to calculate market value change.
S&P MidCap 400 Index - A market-capitalization-weighted index of stocks in all major industries in the mid-range of the U.S. stock market.
Wilshire REIT - A measure of the types of U.S. real estate securities that represent the ownership and operation of commercial or residential real estate. To be included in the index, a company must have a market capitalization of $200 million and have at least 75% of the total revenue derived from the ownership and operation of the real estate assets.
Indices cannot be invested in directly. Unmanaged index returns assume reinvestment of any and all distributions and do not reflect our fees or expenses.
Past performance is no guarantee of future results.
Please feel free to contact us at [email protected] for more index information.
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· The rates of return contained in this report are shown on an after-fees basis unless otherwise noted. They are geometric and time-weighted.Returns for periods longer than one year are annualized.
· Universe percentiles are based upon an ordering system in which 1 is the best ranking and 100 is the worst ranking.
· Due to rounding throughout the report, percentage totals displayed may not sum to 100%. Additionally, individual fund totals in dollar termsmay not sum to the plan total.
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As of September 30, 2019
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Past performance is not necessarily indicative of future results.
Unless otherwise noted, performance returns presented reflect the respective fund’s performance as indicated. Returns may be presented on a before-fees basis (gross) or after-fees basis (net). After-fee performance is net of each respective sub-advisors’ investment management fees and include the reinvestment of dividends and interest as indicated onthe notes page within this report or on the asset allocation and performance summary pages. Actual returns may be reduced by AHIC’s investment advisory fees or other trustpayable expenses you may incur as a client. AHIC’s advisory fees are described in Form ADV Part 2A. Portfolio performance, characteristics and volatility also may differ from thebenchmark(s) shown.
The information contained herein is confidential and proprietary and provided for informational purposes only. It is not complete and does not contain certain material informationabout making investments in securities including important disclosures and risk factors. All securities transactions involve substantial risk of loss. Under no circumstances does theinformation in this report represent a recommendation to buy or sell stocks, limited partnership interests, or other investment instruments.
The data contained in these reports is compiled from statements provided by custodian(s), record-keeper(s), and/or other third-party data provider(s). This document is notintended to provide, and shall not be relied upon for, accounting and legal or tax advice. AHIC has not conducted additional audits and cannot warrant its accuracy orcompleteness. We urge you to carefully review all custodial statements and notify AHIC with any issues or questions you may have with respect to investment performance or anyother matter set forth herein.
The mutual fund information found in this report is provided by Thomson Reuters Lipper and AHIC cannot warrant its accuracy or timeliness. Thomson Reuters Lipper Global DataFeed provides comprehensive coverage of mutual fund information directly to Investment Metrics, AHIC’s performance reporting vendor, via the PARis performance reportingplatform. Thomson Reuters Lipper is the data provider chosen by Investment Metrics, and as such, AHIC has no direct relationship with Thomson Reuters Lipper.
Refer to Hedge Fund Research, Inc. www.hedgefundresearch.com for information on HFR indices.
FTSE International Limited (“FTSE”) © FTSE 2017. “FTSE®” and “FTSE4Good®” are trademarks of the London Stock Exchange Group companies and are used by FTSEInternational Limited under license. The FTSE indices are calculated by FTSE International Limited in conjunction with Indonesia Stock Exchange, Bursa Malaysia Berhad, ThePhilippine Stock Exchange, Inc., Singapore Exchange Securities Trading Limited and the Stock Exchange of Thailand (the "Exchanges"). All intellectual property rights in theFTSE/ASEAN Index vest in FTSE and the Exchanges. Neither FTSE nor its licensors accept any liability for any errors or omissions in the FTSE indices and / or FTSE ratings orunderlying data. No further distribution of FTSE Data is permitted without FTSE’s express written consent.
Aon Hewitt Investment Consulting, Inc. (“AHIC”) is a federally registered investment advisor with the U.S. Securities and Exchange Commission (“SEC”). AHIC is also registeredwith the Commodity Futures Trade Commission as a commodity pool operator and a commodity trading advisor, and is a member of the National Futures Association. The AHICADV Form Part 2A disclosure statement is available upon written request to:
Aon Hewitt Investment Consulting, Inc.200 East Randolph StreetSuite 700Chicago, IL 60601ATTN: AHIC Compliance Officer
Disclaimer
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