wilshire associates - krs performance... · 2019. 7. 2. · ©2017 wilshire associates. 5 wilshire...
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WILSHIRE ASSOCIATESW i l s h i r e C o n s u l t i n g
K e n t u c k y R e t i r e m e n t S y s t e m s P e n s i o nExecutive Summary of Investment Performance
December 31, 2017
MARKET ENVIRONMENT
©2017 Wilshire Associates.
W i l s h i r e C o n s u l t i n g
ASSET CLASS PERFORMANCE
Data sources: Wilshire Compass Note: Developed asset class is developed equity markets ex-U.S., ex-Canada
ANNUALIZED
5-YEAR
2012 2013 2014 2015 2016 2017 AS OF 12/2017
Emrg Mrkts U.S. Equity REITs REITs MLPs Emrg Mrkts U.S. Equity
18.6% 33.1% 31.8% 4.2% 18.3% 37.7% 15.7%
Developed MLPs U.S. Equity U.S. Equity High Yield Developed REITs
17.9% 27.6% 12.7% 0.7% 17.1% 25.6% 9.3%
REITs Developed Core Bond Core Bond U.S. Equity U.S. Equity Developed
17.6% 23.3% 6.0% 0.6% 13.4% 21.0% 8.4%
U.S. Equity High Yield MLPs T-Bills Commodities High Yield High Yield
16.1% 7.4% 4.8% 0.1% 11.8% 7.5% 5.8%
High Yield REITs U.S. TIPS Developed Emrg Mrkts REITs Emrg Mrkts
15.8% 1.9% 3.6% -0.4% 11.6% 4.2% 4.7%
U.S. TIPS T-Bills High Yield U.S. TIPS REITs Core Bond Core Bond
7.0% 0.1% 2.5% -1.4% 7.2% 3.6% 2.1%
MLPs Core Bond T-Bills High Yield U.S. TIPS U.S. TIPS T-Bills
4.8% -2.0% 0.0% -4.5% 4.7% 3.0% 0.3%
Core Bond Emrg Mrkts Emrg Mrkts Emrg Mrkts Core Bond Commodities U.S. TIPS
4.2% -2.3% -1.8% -14.6% 2.6% 1.7% 0.1%
T-Bills U.S. TIPS Developed Commodities Developed T-Bills MLPs
0.1% -8.6% -4.5% -24.7% 1.5% 0.8% -0.1%
Commodities Commodities Commodities MLPs T-Bills MLPs Commodities
-1.0% -9.5% -17.0% -32.6% 0.3% -6.5% -8.5%
ASSET CLASS RETURNS - BEST TO WORST
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©2017 Wilshire Associates.
U.S. Equity
The U.S. stock market was up 6.4% for the
fourth quarter of 2017. There was a relative lack
of volatility during the year. The largest
drawdown for the year was -2.75% and there
were only 4 trading days where the market was
down 1% or more. Several factors contributed to
this success including a rebound in global
economic growth and continued strength
domestically.
The third quarter of 2017 was the second
consecutive quarter of real GDP growth in
excess of 3%, annualized. Businesses seem to
be gaining confidence in the global economy and
have been increasing spending on equipment
while growing inventories during the quarter,
contributing more than three-quarters of a
percent to real GDP growth. Strong retail sales
during the fourth quarter have helped raise
expectations for economic growth during the
final quarter of 2017.
W i l s h i r e C o n s u l t i n g
MARKET COMMENTARY
Non-U.S. Equity
Equity markets outside of the U.S. produced
strong returns during the fourth quarter of 2017,
in both developed and emerging markets. Japan
was one of the strongest developed markets
during the quarter due to stimulative policies by
both the Bank of Japan and the national
government. Emerging Markets led all global
equities during 2017 and produced their second
consecutive positive annual gain.
Fixed Income
The U.S. Treasury yield curve continued to
flatten during the quarter with short to
intermediate term rates rising and long-term
yields falling. The bellwether 10-year Treasury
yield ended the quarter at 2.40%. The Federal
Open Market Committee decided to increase its
overnight rate by 25 basis points in December.
Credit spreads continued to tighten during the
quarter.
4
©2017 Wilshire Associates.
W i l s h i r e C o n s u l t i n g
DECEMBER 2017 ASSET CLASS
ASSUMPTIONS
DEV EMG GLOBAL LT NON-US
US EX-US MRKT EX-US GLOBAL PRIVATE CORE CORE US HIGH BOND US GLOBAL PRIVATE REAL US
STOCK STOCK STOCK STOCK STOCK EQUITY CASH BOND BOND TIPS YIELD (HDG) RES RES RE CMDTY ASSETS CPI
EXPECTED COMPOUND RETURN (%) 6.25 6.25 6.25 6.45 6.45 8.75 1.75 3.55 3.60 2.95 4.95 1.30 5.40 5.60 6.90 3.70 6.60 1.95
EXPECTED ARITHMETIC RETURN (%) 7.55 7.70 9.20 8.05 7.80 12.10 1.75 3.70 4.05 3.10 5.40 1.35 6.75 6.75 7.80 4.75 6.95 1.95
EXPECTED RISK (%) 17.00 18.00 26.00 18.75 17.15 28.00 1.25 5.15 9.85 6.00 10.00 3.50 17.00 15.80 14.00 15.00 8.40 1.75
CASH YIELD (%) 2.00 3.00 2.00 2.75 2.35 0.00 1.75 3.55 4.75 3.05 8.15 1.65 3.95 3.95 2.65 1.75 2.85 0.00
CORRELATIONS
US STOCK 1.00
DEV EX-US STOCK (USD) 0.81 1.00
EMERGING MARKET STOCK 0.74 0.74 1.00
GLOBAL EX-US STOCK 0.83 0.96 0.86 1.00
GLOBAL STOCK 0.94 0.92 0.82 0.94 1.00
PRIVATE EQUITY 0.74 0.64 0.62 0.67 0.74 1.00
CASH EQUIVALENTS -0.05 -0.09 -0.05 -0.08 -0.07 0.00 1.00
CORE BOND 0.28 0.13 0.00 0.09 0.20 0.31 0.19 1.00
LT CORE BOND 0.31 0.16 0.01 0.12 0.23 0.32 0.11 0.93 1.00
US TIPS -0.05 0.00 0.15 0.05 0.00 -0.03 0.20 0.60 0.47 1.00
HIGH YIELD BOND 0.54 0.39 0.49 0.45 0.51 0.34 -0.10 0.25 0.32 0.05 1.00
NON-US BOND (HDG) 0.16 0.25 -0.01 0.18 0.18 0.26 0.10 0.67 0.64 0.39 0.26 1.00
US RE SECURITIES 0.59 0.47 0.44 0.49 0.56 0.50 -0.05 0.17 0.23 0.10 0.56 0.05 1.00
GLOBAL RE SECURITIES 0.65 0.59 0.56 0.62 0.66 0.58 -0.05 0.17 0.22 0.11 0.62 0.03 0.94 1.00
PRIVATE REAL ESTATE 0.54 0.44 0.44 0.47 0.52 0.51 -0.05 0.19 0.25 0.09 0.57 0.05 0.77 0.76 1.00
COMMODITIES 0.25 0.34 0.39 0.38 0.32 0.27 0.00 -0.02 -0.02 0.25 0.29 -0.10 0.25 0.28 0.25 1.00
REAL ASSET BASKET 0.42 0.43 0.50 0.48 0.47 0.43 0.01 0.24 0.25 0.41 0.53 0.06 0.65 0.69 0.69 0.59 1.00
INFLATION (CPI) -0.10 -0.15 -0.13 -0.15 -0.13 -0.10 0.10 -0.12 -0.12 0.15 -0.08 -0.08 0.05 0.03 0.05 0.44 0.26 1.00
REAL ESTATE
EQUITY FIXED INCOME REAL ASSETS
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©2017 Wilshire Associates.
W i l s h i r e C o n s u l t i n g
ECONOMIC REVIEW
Data sources: Bureau of Labor Statistics, U.S. Treasury, University of Michigan, Institute for Supply Management, Bureau of Economic Analysis
AS OF DECEMBER 31, 2017
CPI (ALL ITEMS)
SEASONALLY ADJUSTED Dec-17 0.1 3-Mo. 0.6
Nov-17 0.4 12-Mo. 2.1
Oct-17 0.1 10-Yr. (Annual) 1.6
BREAKEVEN INFLATION 10-Yr. 2.0
CONSUMER SENTIMENT Dec-17 95.9
U. OF MICHIGAN SURVEY Nov-17 98.5
1-Yr. Ago 98.2 10-Yr. Avg 79.1
MANUFACTURING Dec-17 59.7
INST. FOR SUPPLY MGMT Nov-17 58.2 >50 Expansion
PURCHASING MNGRS' IDX 1-Yr. Avg. 57.6 <50 Contraction
Note: Seasonally adjusted CPI data is utilized to better reflect short-term pricing activity.
December/2017 CPI is based on Federal Reserve of Philadelphia Survey of Professional Forecasters
MONTHLY CHANGE CUMULATIVE CHANGE
KEY ECONOMIC INDICATORS
CHANGE IN SECTOR
Real GDP
Consumer Spending
$(18,000)
$(15,000)
$(12,000)
$(9,000)
$(6,000)
$(3,000)
$-
$3,000
$6,000
$9,000
$12,000
$15,000
$18,000
-10.00%
-8.00%
-6.00%
-4.00%
-2.00%
0.00%
2.00%
4.00%
6.00%
8.00%
10.00%
Quart
erly G
DP (
$bil)
Annualized G
row
th
CHANGES IN REAL GDP (2009 BASE YEAR)
Annualized Change in Real GDP Private Investment Series9 Government Spending
(5.0)
-
5.0
10.0
15.0
(200)
(100)
-
100
200
300
400
Unem
plo
ym
ent
Rate
(%
)
Job G
row
th/L
oss (
thou)
UNEMPLOYMENT RATE AND JOB GROWTH/LOSS
Job Growth (Loss) Unemployment Rate
6
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W i l s h i r e C o n s u l t i n g
U.S. EQUITY MARKET
Data sources: Wilshire Compass, Wilshire Atlas
AS OF DECEMBER 31, 2017 QTR YTD 1 YR 3 YR 5 YR 10 YR
WILSHIRE 5000 INDEX 6.4 21.0 21.0 11.4 15.7 8.6
WILSHIRE U.S. LARGE CAP 6.7 21.8 21.8 11.5 15.8 8.5
WILSHIRE U.S. SMALL CAP 3.6 13.5 13.5 9.7 14.4 9.9
WILSHIRE U.S. LARGE GROWTH 7.3 27.7 27.7 12.9 17.3 9.7
WILSHIRE U.S. LARGE VALUE 6.1 16.3 16.3 10.0 14.4 7.2
WILSHIRE U.S. SMALL GROWTH 4.2 19.6 19.6 9.8 14.9 9.9
WILSHIRE U.S. SMALL VALUE 3.0 7.4 7.4 9.5 13.9 9.8
WILSHIRE REIT INDEX 1.7 4.2 4.2 5.2 9.3 7.3
MSCI USA MIN. VOL. INDEX 5.2 18.4 18.4 10.9 14.5 8.8
FTSE RAFI U.S. 1000 INDEX 6.5 16.4 16.4 10.1 15.3 9.421.0
-0.3
12.6
23.4
8.8
-1.9
12.8
21.8
22.9
23.4
20.2
37.4
6.4
3.6
0.7
6.7
2.7
6.5
6.5
6.6
9.1
1.2
8.0
8.6
Wilshire 5000
Telecom
Utilities
Materials
Real Estate
Energy
Cnsmr Stpls
Industrials
Cnsmr Discr.
Healthcare
Financials
Info. Tech.
2.0%
3.0%
3.3%
4.2%
5.9%
7.7%
10.8%
12.4%
12.6%
15.6%
22.6%
WILSHIRE 5000 SECTOR WEIGHT & RETURN (%)
4th Quarter Year to Date
-10.00%
-5.00%
0.00%
5.00%
10.00%
15.00%
Larg
e C
ap in e
xcess o
f Sm
all C
ap
LARGE CAP VS SMALL CAP
QTD Excess Return Rolling 3-Year Excess Return
-10.00%
-5.00%
0.00%
5.00%
10.00%
15.00%
Gro
wth
in e
xcess o
f Valu
e
GROWTH VS VALUE
QTD Excess Return Rolling 3-Year Excess Return
7
©2017 Wilshire Associates.
6
• U.S. Equity has now produced 9 straight years of positive returns since 2008
• 2017 was one of the least volatile years in nearly four decades
– Largest drawdown for the year was -2.75%
– Only 4 trading days where the market was down 1% or more
W i l s h i r e C o n s u l t i n g
ANNUAL EQUITY RETURNS
31
24 24
-11 -11
-21
32
13
6
16
6
-37
28
17
1
16
33
13
1
13
21
-10
-22
-12
-21
-29-32
-13
-8 -7 -8 -10
-49
-27
-16-20
-10
-6-7
-12 -11
-3
-60
-50
-40
-30
-20
-10
0
10
20
30
40
WILSHIRE 5000 INDEXWORST INTRA-PERIOD SELLOFF VS ANNUAL RETURN (%)
Annual Return Largest Selloff 8
©2017 Wilshire Associates.
7
Generally speaking, higher quality names led the market for both the fourth quarter and 2017
W i l s h i r e C o n s u l t i n g
RETURNS BY QUALITY SEGMENT
Data sources: Wilshire Atlas
-
5.00
10.00
15.00
20.00
25.00
30.00
4Q 17 YTD 2017
Tota
l Retu
rn (
%)
RETURN BY S&P QUALITY RATING
A+ A A- B+ B B- C / D
A+ 5%
A 11%
A- 17%
B+ 23%
B 16%
B- 9%
C / D 4%
N.A. 15%
Segment Weights
as of September 30
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©2017 Wilshire Associates.
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W i l s h i r e C o n s u l t i n g
NON-U.S. EQUITY MARKET
Data sources: Wilshire Compass
AS OF DECEMBER 31, 2017 QTR YTD 1 YR 3 YR 5 YR 10 YR
MSCI ACWI EX-US ($G) 5.1 27.8 27.8 8.3 7.3 2.3
MSCI EAFE ($G) 4.3 25.6 25.6 8.3 8.4 2.4
MSCI EMERGING MARKETS ($G) 7.5 37.7 37.7 9.5 4.7 2.0
MSCI FRONTIER MARKETS ($G) 5.6 32.3 32.3 5.5 9.7 -0.7
MSCI ACWI EX-US GROWTH ($G) 5.8 32.5 32.5 9.7 8.4 2.8
MSCI ACWI EX-US VALUE ($G) 4.3 23.4 23.4 6.9 6.2 1.8
MSCI ACWI EX-US SMALL ($G) 6.6 32.1 32.1 12.5 10.5 5.2
MSCI EAFE MINIMUM VOLATILITY 3.6 22.2 22.2 9.3 9.9 5.2
FTSE RAFI DEVELOPED EX-US 4.7 25.7 25.7 8.7 8.9 2.8
MSCI EAFE LC (G) 3.7 15.8 15.8 9.0 11.9 3.8
MSCI EMERGING MARKETS LC (G) 5.7 31.0 31.0 10.9 8.4 4.5
25.6
21.8
23.5
28.2
30.1
22.5
24.3
4.3
7.1
1.8
2.6
1.6
5.7
8.5
MSCI EAFE
Australia
Switzerland
Germany
France
United Kingdom
Japan
6.9%
8.0%
9.8%
10.7%
17.8%
24.0%
MSCI EAFE: LARGEST COUNTRIES & RETURN (USD)
4th Quarter Year to Date
37.7
24.7
36.9
38.7
28.5
47.3
54.3
7.5
-1.8
21.4
11.8
4.0
11.2
7.6
MSCI Emrg Mrkts
Brazil
South Africa
India
Taiwan
South Korea
China
6.8%
7.1%
8.8%
11.3%
15.4%
29.7%
MSCI EM: LARGEST COUNTRIES & RETURN (USD)
4th Quarter Year to Date
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©2017 Wilshire Associates.
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W i l s h i r e C o n s u l t i n g
U.S. FIXED INCOME
Data sources: Wilshire Compass, Bloomberg Barclays, U.S. Treasury
0
200
400
600
800
1,000
1,200
1,400
1,600
1,800
2,000
Option A
dju
ste
d S
pre
ad (
bps)
BLOOMBERG BARCLAYS FIXED INCOME INDEXES
Securitized IG Corporate Aa Corporate High Yield
0.00
0.50
1.00
1.50
2.00
2.50
3.00
3.50
0 5 10 15 20 25 30
Yie
ld (
%)
Maturity (yrs)
TREASURY YIELD CURVE
Current Quarter Previous Quarter One Year Ago
AS OF DECEMBER 31, 2017 YTM DURATION QTR YTD 1 YR 3 YR 5 YR 10 YR
BLOOMBERG BARCLAYS AGGREGATE 2.7 6.0 0.4 3.6 3.6 2.2 2.1 4.0
BLOOMBERG BARCLAYS TREASURY 2.2 6.2 0.1 2.3 2.3 1.4 1.3 3.3
BLOOMBERG BARCLAYS GOV'T-REL. 2.7 5.5 0.3 4.2 4.2 2.2 1.9 3.7
BLOOMBERG BARCLAYS SECURITIZED 2.9 4.4 0.2 2.5 2.5 1.9 2.0 3.8
BLOOMBERG BARCLAYS CORPORATE 3.3 7.6 1.2 6.4 6.4 3.9 3.5 5.7
BLOOMBERG BARCLAYS LT G/C 3.5 15.4 2.8 10.7 10.7 4.5 4.4 7.3
BLOOMBERG BARCLAYS LT TREASURY 2.7 17.6 2.4 8.5 8.5 2.8 3.5 6.6
BLOOMBERG BARCLAYS LT GOV't-REL. 4.0 12.6 2.1 11.9 11.9 4.5 4.1 7.0
BLOOMBERG BARCLAYS LT CORP. 4.0 14.3 3.3 12.1 12.1 5.9 5.3 7.8
BLOOMBERG BARCLAYS U.S. TIPS * 2.4 7.7 1.3 3.0 3.0 2.0 0.1 3.5
BLOOMBERG BARCLAYS HIGH YIELD 6.2 3.9 0.5 7.5 7.5 6.3 5.8 8.0
TREASURY BILLS 1.4 0.25 0.3 0.8 0.8 0.4 0.3 0.4
* Yield and Duration statistics are for a proxy index based on similar maturity, the Bloomberg Barclays U.S. Treasury 7-10 Year Index
11
©2017 Wilshire Associates.
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• Federal Reserve began their balance sheet normalization program during Q4; targeting $10B in
reductions per month with the goal of reaching $50B per month in Q4 2018
• Total reductions have equaled only $17B through mid-January 2018
W i l s h i r e C o n s u l t i n g
FEDERAL RESERVE
Data sources: Federal Reserve
$-
$0.5
$1.0
$1.5
$2.0
$2.5
$3.0
$3.5
$4.0
$4.5
$5.0
FEDERAL RESERVE: BALANCE SHEET FORECAST ($T)
U.S. Treasuries Mortgage-backed Securities Other Original Forecast
12
©2017 Wilshire Associates.
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• Shape of the curve had been steep since the global financial crisis; has recently flattened
• Current spread between 10-year and 2-year Treasury is well below average (0.56% vs. 0.96%)
• Tight spread present in 10-year forward curve as well (0.39%)
• Continued strong economic growth will put upward pressure on the long end of the curve
W i l s h i r e C o n s u l t i n g
U.S. YIELD CURVE
Data source: Federal Reserve
(3.00)
(2.00)
(1.00)
-
1.00
2.00
3.00
4.00
YIELD CURVE SLOPE: 10-YR MINUS 2-YR SPREAD (%)
10Yr - 2Yr 40 Year Average 10-Yr Fwd Curve Dec-17 13
©2017 Wilshire Associates.
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W i l s h i r e C o n s u l t i n g
NON-U.S. FIXED INCOME
Data sources: Wilshire Compass, Bloomberg Barclays, Federal Reserve Bank of St. Louis
AS OF DECEMBER 31, 2017 QTR YTD 1 YR 3 YR 5 YR 10 YR
DEVELOPED MARKETS
BLMBRG BRCLYS GLBL AGGREGATE xUS 1.6 10.5 10.5 1.8 -0.2 2.4
BLMBRG BRCLYS GLBL AGGREGATE xUS * 1.1 2.5 2.5 2.9 3.7 4.2
BLMBRG BRCLYS GLOBAL INF LNKD xUS 3.9 12.8 12.8 2.6 2.4 3.3
BLMBRG BRCLYS GLOBAL INF LNKD xUS * 3.4 3.3 3.3 5.7 5.8 5.8
EMERGING MARKETS (HARD CURRENCY)
BLMBRG BRCLYS EM USD AGGREGATE 0.6 8.2 8.2 6.4 3.9 7.0
EMERGING MARKETS (FOREIGN CURRENCY)
BLMBRG BRCLYS EM LOCAL CURR. GOV'T 2.2 14.3 14.3 2.7 0.3 n.a.
BLMBRG BRCLYS EM LOCAL CURR. GOV'T * 0.0 3.6 3.6 2.3 1.8 n.a.
EURO vs. DOLLAR 1.6 13.8 13.8 -0.3 -1.9 -2.0
YEN vs. DOLLAR -0.1 3.5 3.5 2.1 -5.2 -0.1
POUND vs. DOLLAR 0.8 9.5 9.5 -4.6 -3.6 -3.8
* Returns are reported in terms of local market investors, w hich removes currency effects.
0.00
2.00
4.00
6.00
8.00
10.00
12.00
Yie
ld t
o W
ors
t (%
)
BLOOMBERG BARCLAYS FIXED INCOME INDEXES
U.S. Treasury Global xUS Gov't EM USD Sovereign EM Foreign Gov't
-25%
-20%
-15%
-10%
-5%
0%
5%
10%
15%
20%
25%
0
10
20
30
40
50
60
70
80
90
100
Rollin
g 1
-Year
Retu
rn
Index L
evel
U.S. DOLLAR INDEX: MAJOR CURRENCIES
Index Level Rolling 1-Year Return
14
©2017 Wilshire Associates.
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• Yields on Portugal’s debt are down in the
midst of a strong economic recovery and
rating upgrades during the fourth quarter
• Yields on government bonds remain low
globally
W i l s h i r e C o n s u l t i n g
EUROPEAN DEBT
Data sources: Bloomberg Barclays, International Monetary Fund
0
500
1,000
1,500
2,000
2,500
Spre
ad o
n 5
-Yr
Bond (
bps)
GOVERNMENT BOND SPREADSVersus German Yield Curve
Ireland Portugal Spain Italy
Introduction ofthe Euro
-2.00
0.00
2.00
4.00
6.00
8.00
10.00
12.00
14.00
16.00
Annual Yie
ld (
%)
EUROPEAN GOVERNMENT BOND YIELDS
Germany France Spain Italy
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W i l s h i r e C o n s u l t i n g
HIGH YIELD BOND MARKET
Data sources: Wilshire Compass, Bloomberg Barclays
AS OF DECEMBER 31, 2017 QTR YTD 1 YR 3 YR 5 YR 10 YR
BLOOMBERG BARCLAYS HIGH YIELD 0.5 7.5 7.5 6.3 5.8 8.0
CREDIT SUISSE LEVERAGED LOAN 1.2 4.2 4.2 4.5 4.3 4.6
HIGH YIELD QUALITY DISTRIBUTION WEIGHT
Ba U.S. HIGH YIELD 44.1% 0.4 7.3 7.3 6.2 5.8 8.4
B U.S. HIGH YIELD 40.3% 0.4 6.5 6.5 5.5 5.1 6.5
Caa U.S. HIGH YIELD 14.4% 1.0 10.4 10.4 8.4 7.5 7.8
Ca to D U.S. HIGH YIELD 1.1% 0.8 13.8 13.8 -3.0 -10.1 -0.4
Non-Rated U.S. HIGH YIELD 0.2% -2.0 9.2 9.2 -2.5 0.9 1.3
0
500
1,000
1,500
2,000
2,500
3,000
Option A
dju
ste
d S
pre
ad (
bps)
BLOOMBERG BARCLAYS HIGH YIELD INDEXES
HY Index Ba B Caa
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©2017 Wilshire Associates.
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W i l s h i r e C o n s u l t i n g
REAL ASSETS
Data sources: Wilshire Compass, National Council of Real Estate Investment Fiduciaries
AS OF DECEMBER 31, 2017 QTR YTD 1 YR 3 YR 5 YR 10 YR
BLOOMBERG BARCLAYS U.S. TIPS 1.3 3.0 3.0 2.0 0.1 3.5
BLOOMBERG COMMODITY INDEX 4.7 1.7 1.7 -5.0 -8.5 -6.8
WILSHIRE GLOBAL RESI INDEX 3.2 10.0 10.0 5.8 8.0 5.4
NCREIF ODCE FUND INDEX 2.1 7.6 7.6 10.4 11.5 5.0
NCREIF TIMBERLAND INDEX 1.5 3.6 3.6 3.7 6.2 4.4
ALERIAN MLP INDEX (OIL & GAS) -1.0 -6.5 -6.5 -9.3 -0.1 6.0
0.00%
2.00%
4.00%
6.00%
8.00%
10.00%
12.00%
0.00%
2.00%
4.00%
6.00%
8.00%
10.00%
12.00%
Curr
ent
Yie
ld
Curr
ent
Cap R
ate
REAL ESTATE VALUATION
NPI Current Value Cap Rate Wilshire RESI Current Yield 10-Year Treasury Yield
-40.0
-30.0
-20.0
-10.0
0.0
10.0
20.0
30.0
Retu
rn (
%)
NCREIF ODCE FUND INDEX RETURN
Appreciation Income Total Return
17
TOTAL FUND TOTAL FUND
W i l s h i r e C o n s u l t i n g
MANAGER ALLOCATIONKRS Pension Plan CompositeAs of December 31, 2017
© 2017 Wilshire Associates Inc.
US Equity Composite$2,916,432,413 23.55%
Non-US Equity Composite$3,038,822,648 24.54%
Fixed Income Composite$2,399,577,709 19.38%
Absolute Return Composite$816,074,450 6.59%
Private Equity Composite$1,198,554,412 9.68%
Other Assets$7,300,000 0.06%
Cash Composite$396,504,667 3.20%
Real Estate Composite$562,036,609 4.54%
Real Return Composite$1,047,571,071 8.46%
$12,382,873,980
19
W i l s h i r e C o n s u l t i n g
ACTUAL ALLOCATION VS POLICY ALLOCATIONKERS Pension Plan CompositeAs of December 31, 2017
© 2017 Wilshire Associates Inc.
Fixed Income504,049,973 24.34%
Short Term100,868,781 4.87%
Intl Equity411,041,957 19.85%
Other Absolute Return149,158,636 7.20%
Other Real Return161,581,327 7.80%
Special Investments251,195,600 12.13%
Other1,879,904 0.09%
Real Estate90,933,010 4.39%
Domestic Equity399,920,846 19.31%
Total Fund
Fixed Income20.00%
Domestic Equity22.00%
Intl Equity20.00%
Other Absolute Return10.00%
Other Real Return10.00%
Special Inv.10.00%
Real Estate3.00%
Short Term5.00%
Policy Index
$2,070,630,034
20
W i l s h i r e C o n s u l t i n g
ACTUAL ALLOCATION VS POLICY ALLOCATIONKERS (H) Pension Plan CompositeAs of December 31, 2017
© 2017 Wilshire Associates Inc.
Fixed Income116,977,355 18.19%
Domestic Equity156,282,995 24.30%
Intl Equity163,269,232 25.39%
Other1,540,723 0.24%
Other Absolute Return39,003,935 6.06%
Special Investments60,718,907 9.44%
Other Real Return54,602,461 8.49%
Real Estate29,127,886 4.53%
Short Term21,647,415 3.37%
Total Fund
Fixed Income12.00%
Domestic Equity26.50%
Intl Equity26.50%
Other Absolute Return10.00%
Other Real Return8.00%
Special Inv.10.00%
Real Estate5.00%
Short Term2.00%
Policy Index
$643,170,908
21
W i l s h i r e C o n s u l t i n g
ACTUAL ALLOCATION VS POLICY ALLOCATIONCERS Pension Plan CompositeAs of December 31, 2017
© 2017 Wilshire Associates Inc.
Fixed Income1,291,523,810 18.29%
Domestic Equity1,731,391,223 24.52%
Intl Equity1,807,344,662 25.60%
Other1,682,460 0.02%
Other Absolute Return464,886,521 6.58%
Special Investments646,293,075 9.15%
Other Real Return604,011,533 8.55%
Real Estate326,801,177 4.63%
Short Term186,417,573 2.64%
Total Fund
Fixed Income12.00%
Domestic Equity26.50%
Intl Equity26.50%
Other Absolute Return10.00%
Other Real Return8.00%
Special Inv.10.00%
Real Estate5.00%
Short Term2.00%
Policy Index
$7,060,352,032
22
W i l s h i r e C o n s u l t i n g
ACTUAL ALLOCATION VS POLICY ALLOCATIONCERS (H) Pension Plan CompositeAs of December 31, 2017
© 2017 Wilshire Associates Inc.
Fixed Income428,227,117 18.22%
Domestic Equity574,378,156 24.44%
Intl Equity599,662,009 25.51%
Other1,831,701 0.08%
Other Absolute Return147,313,542 6.27%
Special Investments219,028,220 9.32%
Other Real Return205,371,735 8.74%
Real Estate103,075,145 4.39%
Short Term71,367,549 3.04%
Total Fund
Fixed Income12.00%
Domestic Equity26.50%
Intl Equity26.50%
Other Absolute Return10.00%
Other Real Return8.00%
Special Inv.10.00%
Real Estate5.00%
Short Term2.00%
Policy Index
$2,350,255,173
23
W i l s h i r e C o n s u l t i n g
ACTUAL ALLOCATION VS POLICY ALLOCATIONSPRS Pension Plan CompositeAs of December 31, 2017
© 2017 Wilshire Associates Inc.
Fixed Income58,799,454 22.75%
Short Term16,203,351 6.27%
Intl Equity57,504,798 22.25%
Other365,213 0.14%
Other Absolute Return15,711,818 6.08%
Special Investments21,318,610 8.25%
Other Real Return22,004,014 8.51%
Real Estate12,099,392 4.68%
Domestic Equity54,459,189 21.07%
Total Fund
Fixed Income18.00%
Domestic Equity23.00%
Intl Equity23.00%
Other Absolute Return10.00%
Other Real Return8.00%
Special Inv.10.00%
Real Estate5.00%
Short Term3.00%
Policy Index
$258,465,838
24
W i l s h i r e C o n s u l t i n g
PERFORMANCE COMPARISONKRS Pension Plan CompositePeriods Ended December 31, 2017
© 2018 Wilshire Associates Inc.
0%
2%
4%
6%
8%
10%
12%
14%
16%
18%
20%
Ω 12
Ω 1
2
Ω 1
Ω 1
Ω1
Ω 1Ω 1
Ω 1
Med75th
95th
25th 5th
Ω KRS Pension Plan 1 KRS Target Alloc 2 KRS IPS Benchmar 5th %tile25th %tileMedian75th %tile95th %tileNumber of Funds
1 Quarter 2 Quarters 3 Quarters 1 Year 2 Years 3 Years 5 Years 10 Years
3.52 (67)3.59 (62)2.75 (91)
4.474.053.733.361.93154
7.67 (34)7.47 (42)6.03 (87)
8.507.907.266.733.97154
11.33 (30)11.08 (34)
12.3311.4710.479.585.89154
16.16 (30)15.93 (36)
18.3316.3015.1713.938.56154
12.37 (21)11.88 (41)
13.4912.2811.6710.707.05149
8.36 (21)8.04 (31)
8.958.277.736.754.44145
8.65 (64)8.63 (64)
10.709.949.088.024.88144
5.75 (68)5.91 (62)
7.136.446.115.624.56119
*TUCS Total Ret of Master Trusts - Public Universe - Gross of Fees 25
W i l s h i r e C o n s u l t i n g
RISK / RETURN ANALYSISKRS Pension PlanFive Years Ending December 31, 2017
© 2018 Wilshire Associates Inc.
Annualiz
ed R
ate
of T
ota
l R
etu
rn
2.0 3.0 4.0 5.0 6.0 7.0 8.03.0
4.0
5.0
6.0
7.0
8.0
9.0
10.0
11.0
12.0
13.0
14.0
15.0
Ω 1
Media
n
Ris
k
Median
Return
Historical Standard Deviation of Total Return
Description
Legend
Gross Fee Ret
Value Rank
Standard Deviation
Value Rank
KRS Pension Plan
KRS Target Allocation Index
Median
Ω1
8.65
8.63
9.08
64
64
4.63
4.90
4.84
61
48
*TUCS Total Returns of Master Trusts - Public Universe - Gross of Fees 26
W i l s h i r e C o n s u l t i n g
PERFORMANCE COMPARISONTrailing ReturnsPeriods Ended December 31, 2017
© 2018 Wilshire Associates Inc.
Quarter 2 Quarters 3 Quarters 1 Year 3 Years 5 Years 10 Years Incept Date Incept Ret
KRS Pension Plan
Net of Fee Return
KRS Target Allocation Index
Value Added
KRS IPS Benchmark
KERS Pension Plan
Net of Fee Return
KERS Target Allocation Index
Value Added
KERS IPS Benchmark
Assumed Rate 5.25%
KERS (H) Pension Plan
Net of Fee Return
KERS (H) Target Allocation Index
Value Added
KERS (H) IPS Benchmark
Assumed Rate 6.25%
CERS Pension Plan
Net of Fee Return
CERS Target Allocation Index
Value Added
CERS IPS Benchmark
Assumed Rate 6.25%
3.38
3.59
-0.21
2.75
2.92
3.08
-0.16
2.70
1.29
3.44
3.71
-0.28
2.76
1.53
3.47
3.72
-0.25
2.77
1.53
7.28
7.47
-0.19
6.03
7.11
6.89
0.22
6.31
2.59
7.96
8.10
-0.14
6.45
3.08
7.99
8.11
-0.12
6.46
3.08
10.74
11.08
-0.34
10.39
10.12
0.27
11.47
11.80
-0.33
11.50
11.82
-0.31
15.72
15.93
-0.20
14.66
14.26
0.40
16.58
16.81
-0.23
16.69
16.83
-0.14
7.66
8.04
-0.38
7.10
7.13
-0.03
7.99
8.10
-0.11
8.00
8.11
-0.11
8.13
8.63
-0.50
7.87
8.06
-0.20
8.31
8.65
-0.34
8.32
8.65
-0.33
5.45
5.91
-0.46
5.32
5.63
-0.31
5.54
5.92
-0.38
5.55
5.92
-0.38
3/31/84
3/31/84
3/31/84
3/31/84
3/31/84
3/31/84
3/31/84
3/31/84
3/31/84
3/31/84
3/31/84
3/31/84
9.24
9.40
-0.16
9.20
9.32
-0.11
9.27
9.40
-0.13
9.27
9.40
-0.13
27
W i l s h i r e C o n s u l t i n g
PERFORMANCE COMPARISONTrailing ReturnsPeriods Ended December 31, 2017
© 2018 Wilshire Associates Inc.
Quarter 2 Quarters 3 Quarters 1 Year 3 Years 5 Years 10 Years Incept Date Incept Ret
CERS (H) Pension Plan
Net of Fee Return
CERS (H) Target Allocation Index
Value Added
CERS (H) IPS Benchmark
Assumed Rate 6.25%
SPRS Pension Plan
Net of Fee Return
SPRS Target Allocation Index
Value Added
SPRS IPS Benchmark
Assumed Rate 5.25%
3.45
3.72
-0.27
2.77
1.53
3.06
3.31
-0.25
2.73
1.29
7.98
8.12
-0.14
6.47
3.08
7.17
7.37
-0.20
6.33
2.59
11.49
11.82
-0.34
10.38
10.83
-0.44
16.64
16.83
-0.20
15.05
15.38
-0.33
8.03
8.11
-0.08
6.95
7.66
-0.71
8.33
8.65
-0.32
7.70
8.37
-0.67
5.55
5.92
-0.37
5.24
5.78
-0.54
3/31/84
3/31/84
3/31/84
3/31/84
3/31/84
3/31/84
9.27
9.40
-0.13
9.18
9.36
-0.18
28
W i l s h i r e C o n s u l t i n g
PERFORMANCE COMPARISONTrailing ReturnsPeriods Ended December 31, 2017
© 2018 Wilshire Associates Inc.
Quarter 2 Quarters 3 Quarters 1 Year 3 Years 5 Years 10 Years Incept Date Incept Ret
US Equity Composite
Net of Fee Return
Russell 3000
Value Added
Non-US Equity Composite
Net of Fee Return
Policy Index
Value Added
Fixed Income Composite
Net of Fee Return
Policy Index
Value Added
Bloomberg Global Aggregate
Real Return Composite
Net of Fee Return
Real Return Index (P)
Value Added
Real Estate Composite
Net of Fee Return
NCREIF ODCE NOF 1 Quarter Lag
Value Added
Absolute Return Composite
Net of Fee Return
HFRI FOF Div (1 Month Lag)
Value Added
5.99
6.34
-0.34
5.53
5.23
0.31
0.44
0.44
0.01
1.08
0.77
0.70
0.07
2.30
1.64
0.66
1.31
1.41
-0.11
10.61
11.20
-0.58
12.62
11.91
0.71
1.52
1.94
-0.42
2.86
2.31
1.13
1.17
4.94
3.13
1.80
3.33
3.27
0.06
13.54
14.55
-1.01
19.69
18.69
1.00
3.20
3.82
-0.62
5.54
2.95
1.02
1.93
7.29
4.72
2.56
3.79
4.20
-0.41
19.20
21.13
-1.93
29.24
28.30
0.94
4.85
5.79
-0.94
7.39
8.01
3.61
4.40
10.49
6.69
3.80
5.37
7.07
-1.70
10.44
11.12
-0.68
9.09
8.44
0.65
4.54
5.45
-0.91
2.02
3.91
2.14
1.77
9.61
9.84
-0.23
2.25
2.11
0.14
14.82
15.58
-0.76
8.05
7.35
0.70
3.78
4.08
-0.30
0.79
2.06
2.34
-0.28
9.37
10.57
-1.20
4.66
3.90
0.76
8.34
8.71
-0.36
3.02
2.48
0.53
5.07
5.10
-0.04
3.09
7.73
4.08
3.65
3/31/84
3/31/84
3/31/84
6/30/00
6/30/00
6/30/00
3/31/84
3/31/84
3/31/84
6/30/11
6/30/11
6/30/11
6/30/84
3/31/10
3/31/10
3/31/10
11.43
11.46
-0.03
3.61
3.86
-0.25
7.62
7.46
0.16
4.05
2.78
1.27
6.01
4.14
3.00
1.14
29
W i l s h i r e C o n s u l t i n g
PERFORMANCE COMPARISONTrailing ReturnsPeriods Ended December 31, 2017
© 2018 Wilshire Associates Inc.
Quarter 2 Quarters 3 Quarters 1 Year 3 Years 5 Years 10 Years Incept Date Incept Ret
Private Equity Composite
Net of Fee Return
KRS Short Term PE Index
Value Added
Russell 3000 +3% Qtr Lag
Cash Composite
Net of Fee Return
91-Day Treasury Bill
Value Added
Other Assets
Net of Fee Return
3.15
3.15
-0.00
5.35
0.65
0.28
0.37
0.00
8.03
8.03
-0.00
9.54
0.94
0.55
0.40
0.00
14.05
14.05
-0.00
16.77
1.18
0.75
0.43
0.00
17.17
17.17
-0.00
25.02
1.36
0.85
0.50
0.00
11.25
11.25
-0.00
15.14
0.83
0.41
0.42
0.00
12.99
12.99
-0.00
18.48
0.66
0.27
0.39
0.32
8.18
8.18
-0.00
11.30
0.88
0.39
0.49
0.20
6/30/02
6/30/02
6/30/02
6/30/02
12/31/87
12/31/87
12/31/87
3/31/99
11.13
11.13
-0.00
10.83
3.62
3.32
0.30
3.24
30
W i l s h i r e C o n s u l t i n g
CUSTOM BENCHMARK SPECIFICATIONKRS Pension PlanDecember 31, 2017
© 2018 Wilshire Associates Inc.
Quarter Start Quarter End Percent Description
KRS Target Allocation Index
KRS IPS Benchmark
6/84
9/17
12/17
9/17
6/17
9/17
12/17
9/17
100.00
2.20
10.00
10.00
5.00
8.00
7.00
7.00
25.60
25.20
2.20
10.00
10.00
5.00
8.00
7.00
7.00
25.60
25.20
2.20
10.00
10.00
5.00
10.00
5.10
22.70
17.50
17.50
KRS Target Allocation Index
91-Day Treasury Bill
KRS Short Term PE Benchmark
HFRI FOF Div (1 Month Lag)
NCREIF ODCE NOF 1 Quarter Lag
Real Return Index (P)
Bloomberg High Yield
Bloomberg Universal
Russell 3000
MSCI ACWI Ex USA IMI Index ($G)
91-Day Treasury Bill
KRS Short Term PE Benchmark
HFRI FOF Div (1 Month Lag)
NCREIF ODCE NOF 1 Quarter Lag
Real Return Index (P)
Bloomberg High Yield
Bloomberg Universal
Russell 3000
MSCI ACWI Ex USA IMI ($N)
91-Day Treasury Bill
KRS Short Term PE Benchmark
HFRI FOF Div (1 Month Lag)
NCREIF ODCE NOF 1 Quarter Lag
Real Return Index (P)
Bloomberg Universal
Bloomberg High Yield
MSCI ACWI Ex USA IMI Index ($G)
Russell 3000
31
W i l s h i r e C o n s u l t i n g
CUSTOM BENCHMARK SPECIFICATIONKRS Pension PlanDecember 31, 2017
© 2018 Wilshire Associates Inc.
Quarter Start
Quarter End
Percent
Description
KRS IPS Benchmark (cont.)
12/17
12/17
2.20
10.00
10.00
5.00
10.00
5.10
22.70
17.50
17.50
91-Day Treasury Bill
KRS Short Term PE Benchmark
HFRI FOF Div (1 Month Lag)
NCREIF ODCE NOF 1 Quarter Lag
Real Return Index (P)
Bloomberg Universal
Bloomberg High Yield
MSCI ACWI Ex USA IMI ($N)
Russell 3000
32
W i l s h i r e C o n s u l t i n g
CUSTOM BENCHMARK SPECIFICATIONKERS Pension PlanDecember 31, 2017
© 2018 Wilshire Associates Inc.
Quarter Start
Quarter End
Percent
Description
KERS Target Allocation Index
KERS IPS Benchmark
6/84
9/17
12/17
9/17
6/17
9/17
12/17
9/17
100.00
20.00
22.00
10.00
5.00
5.00
10.00
3.00
10.00
10.00
5.00
5.00
10.00
10.00
3.00
10.00
5.00
5.00
10.00
22.00
20.00
3.00
10.00
10.00
5.00
10.00
10.00
17.00
KERS Target Allocation Index
MSCI ACWI Ex USA IMI Index ($G)
Russell 3000
Bloomberg Aggregate
Bloomberg High Yield
Bloomberg Global Aggregate
Real Return Index (P)
NCREIF ODCE NOF 1 Quarter Lag
HFRI FOF Div (1 Month Lag)
KERS Short Term PE Benchmark
91-Day Treasury Bill
91-Day Treasury Bill
KERS Short Term PE Benchmark
HFRI FOF Div (1 Month Lag)
NCREIF ODCE NOF 1 Quarter Lag
Real Return Index (P)
Bloomberg Global Aggregate
Bloomberg High Yield
Bloomberg Aggregate
Russell 3000
MSCI ACWI Ex USA IMI ($N)
91-Day Treasury Bill
KERS Short Term PE Benchmark
HFRI FOF Div (1 Month Lag)
NCREIF ODCE NOF 1 Quarter Lag
Real Return Index (P)
Bloomberg Universal
Bloomberg High Yield
33
W i l s h i r e C o n s u l t i n g
CUSTOM BENCHMARK SPECIFICATIONKERS Pension PlanDecember 31, 2017
© 2018 Wilshire Associates Inc.
Quarter Start
Quarter End
Percent
Description
KERS IPS Benchmark (cont.)
Assumed Rate 5.25%
12/17
9/17
12/17
12/17
17.50
17.50
3.00
10.00
10.00
5.00
10.00
10.00
17.00
17.50
17.50
100.00
MSCI ACWI Ex USA IMI Index ($G)
Russell 3000
91-Day Treasury Bill
KERS Short Term PE Benchmark
HFRI FOF Div (1 Month Lag)
NCREIF ODCE NOF 1 Quarter Lag
Real Return Index (P)
Bloomberg Universal
Bloomberg High Yield
MSCI ACWI Ex USA IMI ($N)
Russell 3000
Assumed Rate 5.25%
34
W i l s h i r e C o n s u l t i n g
CUSTOM BENCHMARK SPECIFICATIONKERS (H) Pension PlanDecember 31, 2017
© 2018 Wilshire Associates Inc.
Quarter Start
Quarter End
Percent
Description
KERS (H) Target Allocation Index
KERS (H) IPS Benchmark
6/84
9/17
12/17
9/17
6/17
9/17
12/17
9/17
100.00
26.50
26.50
6.00
6.00
8.00
5.00
10.00
10.00
2.00
2.00
10.00
10.00
5.00
8.00
6.00
6.00
26.50
26.50
2.00
10.00
10.00
5.00
10.00
4.00
24.00
17.50
17.50
KERS (H) Target Allocation Index
MSCI ACWI Ex USA IMI Index ($G)
Russell 3000
Bloomberg Universal
Bloomberg High Yield
Real Return Index (P)
NCREIF ODCE NOF 1 Quarter Lag
HFRI FOF Div (1 Month Lag)
KERS (H) Short Term PE Benchmark
91-Day Treasury Bill
91-Day Treasury Bill
KERS (H) Short Term PE Benchmark
HFRI FOF Div (1 Month Lag)
NCREIF ODCE NOF 1 Quarter Lag
Real Return Index (P)
Bloomberg High Yield
Bloomberg Universal
Russell 3000
MSCI ACWI Ex USA IMI ($N)
91-Day Treasury Bill
KERS (H) Short Term PE Benchmark
HFRI FOF Div (1 Month Lag)
NCREIF ODCE NOF 1 Quarter Lag
Real Return Index (P)
Bloomberg Universal
Bloomberg High Yield
MSCI ACWI Ex USA IMI Index ($G)
Russell 3000
35
W i l s h i r e C o n s u l t i n g
CUSTOM BENCHMARK SPECIFICATIONKERS (H) Pension PlanDecember 31, 2017
© 2018 Wilshire Associates Inc.
Quarter Start
Quarter End
Percent
Description
KERS (H) IPS Benchmark (cont.)
Assumed Rate 6.25%
12/17
9/17
12/17
12/17
2.00
10.00
10.00
5.00
10.00
4.00
24.00
17.50
17.50
100.00
91-Day Treasury Bill
KERS (H) Short Term PE Benchmark
HFRI FOF Div (1 Month Lag)
NCREIF ODCE NOF 1 Quarter Lag
Real Return Index (P)
Bloomberg Universal
Bloomberg High Yield
MSCI ACWI Ex USA IMI ($N)
Russell 3000
Assumed Rate 6.25%
36
W i l s h i r e C o n s u l t i n g
CUSTOM BENCHMARK SPECIFICATIONCERS Pension PlanDecember 31, 2017
© 2018 Wilshire Associates Inc.
Quarter Start
Quarter End
Percent
Description
CERS Target Allocation Index
CERS IPS Benchmark
6/84
9/17
12/17
9/17
6/17
9/17
12/17
9/17
100.00
26.50
26.50
6.00
6.00
8.00
5.00
10.00
10.00
2.00
2.00
10.00
10.00
5.00
8.00
6.00
6.00
26.50
26.50
2.00
10.00
10.00
5.00
10.00
4.00
24.00
17.50
17.50
CERS Target Allocation Index
MSCI ACWI Ex USA IMI Index ($G)
Russell 3000
Bloomberg Universal
Bloomberg High Yield
Real Return Index (P)
NCREIF ODCE NOF 1 Quarter Lag
HFRI FOF Div (1 Month Lag)
CERS Short Term PE Benchmark
91-Day Treasury Bill
91-Day Treasury Bill
CERS Short Term PE Benchmark
HFRI FOF Div (1 Month Lag)
NCREIF ODCE NOF 1 Quarter Lag
Real Return Index (P)
Bloomberg High Yield
Bloomberg Universal
Russell 3000
MSCI ACWI Ex USA IMI ($N)
91-Day Treasury Bill
CERS Short Term PE Benchmark
HFRI FOF Div (1 Month Lag)
NCREIF ODCE NOF 1 Quarter Lag
Real Return Index (P)
Bloomberg Universal
Bloomberg High Yield
MSCI ACWI Ex USA IMI Index ($G)
Russell 3000
37
W i l s h i r e C o n s u l t i n g
CUSTOM BENCHMARK SPECIFICATIONCERS Pension PlanDecember 31, 2017
© 2018 Wilshire Associates Inc.
Quarter Start
Quarter End
Percent
Description
CERS IPS Benchmark (cont.)
Assumed Rate 6.25%
12/17
9/17
12/17
12/17
2.00
10.00
10.00
5.00
10.00
4.00
24.00
17.50
17.50
100.00
91-Day Treasury Bill
CERS Short Term PE Benchmark
HFRI FOF Div (1 Month Lag)
NCREIF ODCE NOF 1 Quarter Lag
Real Return Index (P)
Bloomberg Universal
Bloomberg High Yield
MSCI ACWI Ex USA IMI ($N)
Russell 3000
Assumed Rate 6.25%
38
W i l s h i r e C o n s u l t i n g
CUSTOM BENCHMARK SPECIFICATIONCERS (H) Pension PlanDecember 31, 2017
© 2018 Wilshire Associates Inc.
Quarter Start
Quarter End
Percent
Description
CERS (H) Target Allocation Index
CERS (H) IPS Benchmark
6/84
9/17
12/17
9/17
6/17
9/17
12/17
9/17
100.00
26.50
26.50
6.00
6.00
8.00
5.00
10.00
10.00
2.00
2.00
10.00
10.00
5.00
8.00
6.00
6.00
26.50
26.50
2.00
10.00
10.00
5.00
10.00
4.00
24.00
17.50
17.50
CERS (H) Target Allocation Index
MSCI ACWI Ex USA IMI Index ($G)
Russell 3000
Bloomberg Universal
Bloomberg High Yield
Real Return Index (P)
NCREIF ODCE NOF 1 Quarter Lag
HFRI FOF Div (1 Month Lag)
CERS (H) Short Term PE Benchmark
91-Day Treasury Bill
91-Day Treasury Bill
CERS (H) Short Term PE Benchmark
HFRI FOF Div (1 Month Lag)
NCREIF ODCE NOF 1 Quarter Lag
Real Return Index (P)
Bloomberg High Yield
Bloomberg Universal
Russell 3000
MSCI ACWI Ex USA IMI ($N)
91-Day Treasury Bill
CERS (H) Short Term PE Benchmark
HFRI FOF Div (1 Month Lag)
NCREIF ODCE NOF 1 Quarter Lag
Real Return Index (P)
Bloomberg Universal
Bloomberg High Yield
MSCI ACWI Ex USA IMI Index ($G)
Russell 3000
39
W i l s h i r e C o n s u l t i n g
CUSTOM BENCHMARK SPECIFICATIONCERS (H) Pension PlanDecember 31, 2017
© 2018 Wilshire Associates Inc.
Quarter Start
Quarter End
Percent
Description
CERS (H) IPS Benchmark (cont.)
Assumed Rate 6.25%
12/17
9/17
12/17
12/17
2.00
10.00
10.00
5.00
10.00
4.00
24.00
17.50
17.50
100.00
91-Day Treasury Bill
CERS (H) Short Term PE Benchmark
HFRI FOF Div (1 Month Lag)
NCREIF ODCE NOF 1 Quarter Lag
Real Return Index (P)
Bloomberg Universal
Bloomberg High Yield
MSCI ACWI Ex USA IMI ($N)
Russell 3000
Assumed Rate 6.25%
40
W i l s h i r e C o n s u l t i n g
CUSTOM BENCHMARK SPECIFICATIONSPRS Pension PlanDecember 31, 2017
© 2018 Wilshire Associates Inc.
Quarter Start
Quarter End
Percent
Description
SPRS Target Allocation Index
SPRS IPS Benchmark
6/84
9/17
12/17
9/17
6/17
9/17
12/17
9/17
100.00
23.00
23.00
9.00
9.00
8.00
5.00
10.00
10.00
3.00
3.00
10.00
10.00
5.00
8.00
9.00
9.00
23.00
23.00
3.00
10.00
10.00
5.00
10.00
10.00
17.00
17.50
17.50
SPRS Target Allocation Index
MSCI ACWI Ex USA IMI Index ($G)
Russell 3000
Bloomberg Universal
Bloomberg High Yield
Real Return Index (P)
NCREIF ODCE NOF 1 Quarter Lag
HFRI FOF Div (1 Month Lag)
SPRS Short Term PE Benchmark
91-Day Treasury Bill
91-Day Treasury Bill
SPRS Short Term PE Benchmark
HFRI FOF Div (1 Month Lag)
NCREIF ODCE NOF 1 Quarter Lag
Real Return Index (P)
Bloomberg High Yield
Bloomberg Universal
Russell 3000
MSCI ACWI Ex USA IMI ($N)
91-Day Treasury Bill
SPRS Short Term PE Benchmark
HFRI FOF Div (1 Month Lag)
NCREIF ODCE NOF 1 Quarter Lag
Real Return Index (P)
Bloomberg Universal
Bloomberg High Yield
MSCI ACWI Ex USA IMI Index ($G)
Russell 3000
41
W i l s h i r e C o n s u l t i n g
CUSTOM BENCHMARK SPECIFICATIONSPRS Pension PlanDecember 31, 2017
© 2018 Wilshire Associates Inc.
Quarter Start
Quarter End
Percent
Description
SPRS IPS Benchmark (cont.)
Assumed Rate 5.25%
12/17
9/17
12/17
12/17
3.00
10.00
10.00
5.00
10.00
10.00
17.00
17.50
17.50
100.00
91-Day Treasury Bill
SPRS Short Term PE Benchmark
HFRI FOF Div (1 Month Lag)
NCREIF ODCE NOF 1 Quarter Lag
Real Return Index (P)
Bloomberg Universal
Bloomberg High Yield
MSCI ACWI Ex USA IMI ($N)
Russell 3000
Assumed Rate 5.25%
42
US EQUITY US EQUITY
W i l s h i r e C o n s u l t i n g
MANAGER ALLOCATIONUS Equity CompositeAs of December 31, 2017
© 2018 Wilshire Associates Inc.
Internal US Mid Cap$309,447,277 10.61%
Invesco$198 0.00%
River Road Fav$136,933,123 4.70%
Systematic$292,362,321 10.02%
Scientific Beta$326,418,188 11.19%
S&P 500 Index$1,408,852,256 48.31%
Westfield Capital$165,643,167 5.68%
Transition Account$49,750 0.00%
River Road$35,519,106 1.22%
NTGI Structured$241,207,028 8.27%
44
W i l s h i r e C o n s u l t i n g
PERFORMANCE COMPARISONUS Equity CompositePeriods Ended December 31, 2017
© 2018 Wilshire Associates Inc.
2%
4%
6%
8%
10%
12%
14%
16%
18%
20%
22%
24%
26%
1
1
1
1
1
1
1
1
Med75th
95th
25th 5th
US Equity Composite1 Russell 3000
5th %tile25th %tileMedian75th %tile95th %tileNumber of Funds
1 Quarter 2 Quarters 3 Quarters 1 Year 2 Years 3 Years 5 Years 10 Years
6.00 (57)6.34 (33)
7.206.556.095.412.80128
10.65 (69)11.20 (39)
12.4911.4311.0910.476.60125
13.62 (70)14.55 (43)
16.5114.8514.4513.218.35122
19.32 (70)21.13 (43)
24.3921.7720.8918.6413.55
117
16.73 (42)16.86 (29)
18.5016.9616.6515.5111.84
115
10.55 (66)11.12 (31)
12.2211.2510.8210.096.96107
14.96 (58)15.58 (29)
16.5615.6515.2114.4011.73
103
8.43 (52)8.71 (28)
10.068.738.487.926.07
83
*TUCS Total Ret of US Equity Investment Pools Universe - Gross of Fees 45
W i l s h i r e C o n s u l t i n g
PERFORMANCE COMPARISONTrailing ReturnsPeriods Ended December 31, 2017
© 2018 Wilshire Associates Inc.
Quarter 2 Quarters 3 Quarters 1 Year 3 Years 5 Years 10 Years Incept Date Incept Ret
S&P 500 Index
Net of Fee Return
Standard & Poor’s 500
Value Added
Scientific Beta
Net of Fee Return
Standard & Poor’s 500
Value Added
River Road
Net of Fee Return
Russell 3000 Value
Value Added
River Road FAV Net of Fee Return
Russell 3000 Value
Value Added
Westfield Capital
Net of Fee Return
Russell 3000 Growth
Value Added
Systematic
Net of Fee Return
Russell Mid Cap Value
Value Added
6.60
6.64
-0.05
5.90
6.64
-0.74
4.11
5.08
-0.97
1.16
5.08
-3.91
5.10
7.61
-2.50
8.13
5.50
2.62
11.37
11.42
-0.05
9.12
11.42
-2.30
6.45
8.51
-2.06
4.73
8.51
-3.78
10.98
13.98
-3.00
14.42
7.76
6.66
14.72
14.86
-0.15
12.74
14.86
-2.13
6.67
9.91
-3.24
8.64
9.91
-1.27
17.00
19.29
-2.28
14.14
9.24
4.90
21.79
21.83
-0.04
18.98
21.83
-2.85
9.99
13.19
-3.20
11.52
13.19
-1.67
29.14
29.59
-0.45
15.68
13.34
2.33
11.31
11.41
-0.10
8.57
8.71
-0.14
8.82
13.51
-4.69
9.60
9.00
0.60
15.70
15.79
-0.09
13.25
13.95
-0.70
14.99
17.16
-2.17
13.31
14.68
-1.36
8.80
8.49
0.31
6/30/01
6/30/01
6/30/01
6/30/16
6/30/16
6/30/16
6/30/11
6/30/11
6/30/11
6/30/16
6/30/16
6/30/16
6/30/11
6/30/11
6/30/11
6/30/12
6/30/12
6/30/12
7.38
6.97
0.41
16.24
19.95
-3.70
11.66
12.37
-0.71
20.41
16.72
3.69
12.84
14.63
-1.79
13.79
15.23
-1.44
46
W i l s h i r e C o n s u l t i n g
PERFORMANCE COMPARISONTrailing ReturnsPeriods Ended December 31, 2017
© 2018 Wilshire Associates Inc.
Quarter 2 Quarters 3 Quarters 1 Year 3 Years 5 Years 10 Years Incept Date Incept Ret
Internal US Mid Cap
Net of Fee Return
S&P 400 Mid Cap
Value Added
NTGI Structured
Net of Fee Return
Russell 2000
Value Added
US Equity Composite
Net of Fee Return
Russell 3000
Value Added
6.39
6.25
0.14
3.33
3.34
-0.01
5.99
6.34
-0.34
9.84
9.68
0.16
9.24
9.20
0.05
10.61
11.20
-0.58
12.00
11.84
0.16
11.97
11.89
0.08
13.54
14.55
-1.01
16.39
16.24
0.14
14.97
14.65
0.32
19.20
21.13
-1.93
11.07
11.14
-0.07
10.46
9.96
0.51
10.44
11.12
-0.68
14.87
14.12
0.75
14.82
15.58
-0.76
10.01
8.71
1.30
8.34
8.71
-0.36
9/30/14
9/30/14
9/30/14
9/30/99
9/30/99
9/30/99
3/31/84
3/31/84
3/31/84
12.27
12.35
-0.08
10.41
8.70
1.72
11.43
11.46
-0.03
47
W i l s h i r e C o n s u l t i n g
INVESTMENT MANAGER ANALYSISS&P 500 IndexDecember 31, 2017
© 2018 Wilshire Associates Inc.
Cumulative Skill Analysis vs Benchmark
12/13 12/14 12/15 12/16 12/17
-0.30
-0.20
-0.10
-0.00
0.10
0.20
0.30
0.40
Quarterly NOF Value Added vs. Standard & Poor’s 500 80% Confidence Band
Excess Return:
Excess Risk:
-0.08
0.09
Information Ratio:
T-Stat:
-0.89
-1.99
Value-Added Analysis vs Benchmark
6/13 12/13 6/14 12/14 6/15 12/15 6/16 12/16 6/17 12/17
-0.6%
-0.5%
-0.4%
-0.3%
-0.2%
-0.1%
-0.0%
0.1%
0.2%
-0.02
0.00
-0.01-0.02-0.04
-0.06
-0.01
0.04
-0.03
0.00
0.05
-0.04
-0.1-0.06
-0.02-0.05
0.10
-0.08
-0.01-0.05
Cumulative Value Added
Quarterly NOF Value Added vs. Standard & Poor’s 500
Performance Comparison vs Peer Universe*
4%
6%
8%
10%
12%
14%
16%
18%
20%
22%
24%
26%
⊕ 1
⊕ 1
⊕ 1
⊕ 1
⊕ 1
⊕ 1
⊕ 1
⊕ 1 Med75th95th
25th 5th
⊕ S&P 500 Index 1 Standard & Poo MedianNumber of Funds
1 Quarter 2 Quarters 3 Quarters 1 Year 2 Years 3 Years 5 Years 10 Years
6.60 (55)6.64 (47)
6.62162
11.37 (58)11.42 (46)
11.40
161
14.72 (63)14.86 (48)
14.84
161
21.79 (50)21.83 (42)
21.79
160
16.64 (73)16.79 (59)
16.83
159
11.31 (47)11.41 (34)
11.28
156
15.70 (66)15.79 (51)
15.81
138
8.80 (39)8.49 (68)
8.58
75
Five Year Risk/Return Analysis vs Peer Universe*
5.0 6.0 7.0 8.0 9.0 10.0
11.0
12.0
13.0
14.0
15.0
16.0
17.0
18.0
19.0
20.0
⊕1
Media
n
Ris
k
Median
Return
Description
Legend
Gross Fee Ret
Value Rank
Standard Deviation
Value Rank
S&P 500 Index
Standard & Poor’s 500
Median
⊕1
15.70
15.79
15.81
66
51
7.48
7.49
7.64
64
64
*TUCS Total Returns of Large Neutral Equity Portfolios Universe - Gross of Fees 48
W i l s h i r e C o n s u l t i n g
INVESTMENT MANAGER ANALYSISScientific BetaDecember 31, 2017
© 2018 Wilshire Associates Inc.
Value-Added Analysis vs Benchmark
12/16 6/17 12/17
-5.5%
-5.0%
-4.5%
-4.0%
-3.5%
-3.0%
-2.5%
-2.0%
-1.5%
-1.0%
-0.5%
0.0%
0.5%
-1.34-1.07
-0.53
0.23
-1.44
-0.74
Cumulative Value Added
Quarterly NOF Value Added vs. Standard & Poor’s 500
Performance Comparison vs Peer Universe*
4%
6%
8%
10%
12%
14%
16%
18%
20%
22%
24%
26%
1
1
1
1
1
1
1
1
Med75th95th
25th 5th
Scientific Bet 1 Standard & Poo MedianNumber of Funds
1 Quarter 2 Quarters 3 Quarters 1 Year 2 Years 3 Years 5 Years 10 Years
5.90 (77)6.64 (47)
6.62162
9.12 (86)11.42 (46)
11.40
161
12.74 (88)14.86 (48)
14.84
161
18.98 (85)21.83 (42)
21.79
160
16.79 (59)
16.83
159
11.41 (34)
11.28
156
15.79 (51)
15.81
138
8.49 (68)
8.58
75
*TUCS Total Returns of Large Neutral Equity Portfolios Universe - Gross of Fees 49
W i l s h i r e C o n s u l t i n g
INVESTMENT MANAGER ANALYSISRiver RoadDecember 31, 2017
© 2018 Wilshire Associates Inc.
Cumulative Skill Analysis vs Benchmark
12/13 12/14 12/15 12/16 12/17
-14.00
-12.00
-10.00
-8.00
-6.00
-4.00
-2.00
0.00
2.00
4.00
6.00
8.00
10.00
12.00
14.00
Quarterly NOF Value Added vs. Russell 3000 Value 80% Confidence Band
Excess Return:
Excess Risk:
-0.62
3.98
Information Ratio:
T-Stat:
-0.15
-0.35
Value-Added Analysis vs Benchmark
6/13 12/13 6/14 12/14 6/15 12/15 6/16 12/16 6/17 12/17
-5.0%
-4.0%
-3.0%
-2.0%
-1.0%
0.0%
1.0%
2.0%
3.0%
4.0%
5.0%
6.0%
7.0%
1.59
-0.14
0.03
-1.55
-2.35
-0.45
0.52
-0.38
1.31
-2.78
2.48
-0.89
6.15
-3.03
-0.36-0.45
0.13
-1.08-1.02-0.97
Cumulative Value Added
Quarterly NOF Value Added vs. Russell 3000 Value
Performance Comparison vs Peer Universe*
2%
4%
6%
8%
10%
12%
14%
16%
18%
20%
22%
24%
1
1
1
1
1
1
1
Med
75th
95th
25th 5th
River Road 1 Russell 3000 V MedianNumber of Funds
1 Quarter 2 Quarters 3 Quarters 1 Year 2 Years 3 Years 5 Years 10 Years
4.28 (81)5.08 (73)
6.64147
6.83 (90)8.51 (78)
10.93
147
7.39 (94)9.91 (88)
12.79
147
10.86 (95)13.19 (92)
16.94
147
16.04 (55)15.77 (58)
16.35
141
9.21 (56)8.71 (70)
9.63136
13.92 (57)13.95 (56)
14.13
122
8.2966
Five Year Risk/Return Analysis vs Peer Universe*
-4.0 -2.0 0.0 2.0 4.0 6.0 8.0 10.0 12.0 14.0 16.0 18.0 20.0 22.0
4.0
6.0
8.0
10.0
12.0
14.0
16.0
18.0
20.0
22.0
24.0
1
Media
n
Ris
k
Median
Return
Description
Legend
Gross Fee Ret
Value Rank
Standard Deviation
Value Rank
River Road
Russell 3000 Value
Median
1
13.92
13.95
14.13
57
56
8.50
8.56
8.73
52
52
*TUCS Total Returns of Large Value Equity Portfolios Universe - Gross of Fees 50
W i l s h i r e C o n s u l t i n g
INVESTMENT MANAGER ANALYSISRiver Road FAVDecember 31, 2017
© 2018 Wilshire Associates Inc.
Value-Added Analysis vs Benchmark
12/16 6/17 12/17
-5.0%
-4.0%
-3.0%
-2.0%
-1.0%
0.0%
1.0%
2.0%
3.0%
4.0%
5.0%
6.0%
7.0%
8.0%
9.0%
10.0%
4.66
1.91
-0.34
2.45
0.26
-3.91
Cumulative Value Added
Quarterly NOF Value Added vs. Russell 3000 Value
Performance Comparison vs Peer Universe*
0%
2%
4%
6%
8%
10%
12%
14%
16%
18%
20%
22%
24%
1
1
1
1
Med
75th
95th
25th 5th
River Road FA 1 Russell 3000 V
MedianNumber of Funds
1 Quarter 2 Quarters 3 Quarters 1 Year 2 Years 3 Years 5 Years 10 Years
0.92 (95)5.08 (73)
6.64147
4.63 (95)8.51 (78)
10.93147
8.73 (93)9.91 (88)
12.79147
11.80 (94)13.19 (92)
16.94147
16.35141
9.63136
14.13122
8.2966
*TUCS Total Returns of Large Value Equity Portfolios Universe - Gross of Fees 51
W i l s h i r e C o n s u l t i n g
INVESTMENT MANAGER ANALYSISWestfield CapitalDecember 31, 2017
© 2018 Wilshire Associates Inc.
Cumulative Skill Analysis vs Benchmark
12/13 12/14 12/15 12/16 12/17
-12.00
-10.00
-8.00
-6.00
-4.00
-2.00
0.00
2.00
4.00
6.00
8.00
10.00
12.00
14.00
Quarterly NOF Value Added vs. Russell 3000 Growth 80% Confidence Band
Excess Return:
Excess Risk:
-1.85
3.49
Information Ratio:
T-Stat:
-0.53
-1.19
Value-Added Analysis vs Benchmark
6/13 12/13 6/14 12/14 6/15 12/15 6/16 12/16 6/17 12/17
-9.0%
-8.0%
-7.0%
-6.0%
-5.0%
-4.0%
-3.0%
-2.0%
-1.0%
0.0%
1.0%
2.0%
3.0%
4.0%
5.0%
1.39
-0.83
1.871.38
0.18
-0.26
-1.7
1.78
0.42
-2.16
-3.27
-1.09
-3.53
-2.36
1.63
-1.57
1.73
0.77
-0.33
-2.5
Cumulative Value Added
Quarterly NOF Value Added vs. Russell 3000 Growth
Performance Comparison vs Peer Universe*
0%
5%
10%
15%
20%
25%
30%
35%
40%
∞1
∞1
∞1
∞1
∞1
∞1
∞1
Med75th95th
25th 5th
∞ Westfield Capi 1 Russell 3000 G
MedianNumber of Funds
1 Quarter 2 Quarters 3 Quarters 1 Year 2 Years 3 Years 5 Years 10 Years
5.25 (80)7.61 (25)
6.58172
11.29 (71)13.98 (17)
12.22172
17.49 (56)19.29 (37)
18.25171
29.84 (48)29.59 (48)
28.59170
14.92 (70)17.97 (25)
16.41168
9.42 (80)13.51 (24)
11.92163
15.64 (71)17.16 (35)
16.71119
9.2861
Five Year Risk/Return Analysis vs Peer Universe*
0.0 2.0 4.0 6.0 8.0 10.0 12.0 14.0 16.0 18.0 20.0
11.0
12.0
13.0
14.0
15.0
16.0
17.0
18.0
19.0
20.0
21.0
22.0
∞
1
Media
n
Ris
k
Median
Return
Description Legend
Gross Fee Ret
Value Rank
Standard Deviation
Value Rank
Westfield Capital
Russell 3000 Growth
Median
∞1
15.64
17.16
16.71
71
35
10.90
8.07
9.37
21
82
*TUCS Total Returns of Large Growth Equity Portfolios Universe - Gross of Fees 52
W i l s h i r e C o n s u l t i n g
INVESTMENT MANAGER ANALYSISSystematicDecember 31, 2017
© 2018 Wilshire Associates Inc.
Cumulative Skill Analysis vs Benchmark
12/13 12/14 12/15 12/16 12/17
-20.00
-15.00
-10.00
-5.00
0.00
5.00
10.00
15.00
20.00
Quarterly NOF Value Added vs. Russell Mid Cap Value 80% Confidence Band
Excess Return:
Excess Risk:
-1.19
5.07
Information Ratio:
T-Stat:
-0.23
-0.52
Value-Added Analysis vs Benchmark
6/13 12/13 6/14 12/14 6/15 12/15 6/16 12/16 6/17 12/17
-16.0%
-14.0%
-12.0%
-10.0%
-8.0%
-6.0%
-4.0%
-2.0%
0.0%
2.0%
4.0%
6.0%
-0.7-1.77
3.84
-0.29
-2.63
-1.06-1.74
-3.35
0.80
-0.08
-3.33
2.63
-3.14-2.78
1.40
4.88
-2.42-1.61
3.682.62
Cumulative Value Added
Quarterly NOF Value Added vs. Russell Mid Cap Value
Performance Comparison vs Peer Universe*
-10%
-5%
0%
5%
10%
15%
20%
25%
⊗1
⊗
1
⊗
1
⊗1
⊗1
⊗1
⊗ 1
Med75th
95th
25th 5th
⊗ Systematic 1 Russell Mid Ca MedianNumber of Funds
1 Quarter 2 Quarters 3 Quarters 1 Year 2 Years 3 Years 5 Years 10 Years
8.22 ( 8)5.50 (35)
5.04
42
14.63 ( 8)7.76 (57)
7.99
42
14.46 ( 8)9.24 (35)
8.76
42
16.10 (22)13.34 (45)
13.18
41
18.30 (32)16.62 (55)
17.00
41
10.01 (30)9.00 (58)
9.14
39
13.75 (50)14.68 (29)
13.75
24
10.3212
Five Year Risk/Return Analysis vs Peer Universe*
4.0 5.0 6.0 7.0 8.0 9.0 10.0 11.0 12.0 13.0 14.0 15.0 16.0
8.0
9.0
10.0
11.0
12.0
13.0
14.0
15.0
16.0
17.0
18.0
19.0
⊗1
Media
n
Ris
k
Median
Return
Description
Legend
Gross Fee Ret
Value Rank
Standard Deviation
Value Rank
Systematic
Russell Mid Cap Value
Median
⊗1
13.75
14.68
13.75
50
29
11.28
8.97
9.70
10
66
*TUCS Total Returns of Mid Cap Value Equity Portfolios Universe - Gross of Fees 53
W i l s h i r e C o n s u l t i n g
INVESTMENT MANAGER ANALYSISInternal US Mid CapDecember 31, 2017
© 2018 Wilshire Associates Inc.
Cumulative Skill Analysis vs Benchmark
3/15 6/15 9/15 12/15 3/16 6/16 9/16 12/16 3/17 6/17 9/17 12/17
-0.50
-0.40
-0.30
-0.20
-0.10
-0.00
0.10
0.20
0.30
0.40
0.50
Quarterly NOF Value Added vs. S&P 400 Mid Cap 80% Confidence Band
Excess Return:
Excess Risk:
-0.06
0.13
Information Ratio:
T-Stat:
-0.50
-0.86
Value-Added Analysis vs Benchmark
12/14 6/15 12/15 6/16 12/16 6/17 12/17
-0.6%
-0.5%
-0.4%
-0.3%
-0.2%
-0.1%
-0.0%
0.1%
0.2%
-0.05-0.05-0.01
-0.07-0.07-0.05
0.03
-0.13
0.02
-0.02-0.01
0.02
0.14
Cumulative Value Added
Quarterly NOF Value Added vs. S&P 400 Mid Cap
Performance Comparison vs Peer Universe*
2%
4%
6%
8%
10%
12%
14%
16%
18%
20%
22%
24%
1
1
1
1
1
1
Med75th95th
25th 5th
Internal US Mi 1 S&P 400 Mid Ca MedianNumber of Funds
1 Quarter 2 Quarters 3 Quarters 1 Year 2 Years 3 Years 5 Years 10 Years
6.39 (20)6.25 (23)
5.61449
9.84 (31)9.68 (34)
9.28446
12.00 (30)11.84 (31)
10.60
440
16.39 (36)16.24 (36)
15.51
431
18.47 ( 9)18.47 ( 9)
15.53
378
11.07 (10)11.14 ( 8)
8.58344
13.47297
7.98206
Three Year Risk/Return Analysis vs Peer Universe*
4.0 5.0 6.0 7.0 8.0 9.0 10.0 11.0 12.0 13.0
4.0
5.0
6.0
7.0
8.0
9.0
10.0
11.0
12.0
13.0
14.0
1
Media
n
Ris
k
Median
Return
Description
Legend
Net Fee Ret
Value Rank
Standard Deviation
Value Rank
Internal US Mid Cap
S&P 400 Mid Cap
Median
1
11.07
11.14
8.58
10
8
8.32
8.28
8.33
51
52
*Lipper Total Returns of Mid Cap Core Mutual Funds Universe - Net of Fees 54
W i l s h i r e C o n s u l t i n g
INVESTMENT MANAGER ANALYSISNTGI StructuredDecember 31, 2017
© 2018 Wilshire Associates Inc.
Cumulative Skill Analysis vs Benchmark
12/13 12/14 12/15 12/16 12/17
-4.00
-3.00
-2.00
-1.00
0.00
1.00
2.00
3.00
4.00
5.00
Quarterly NOF Value Added vs. Russell 2000 80% Confidence Band
Excess Return:
Excess Risk:
0.66
1.16
Information Ratio:
T-Stat:
0.56
1.26
Value-Added Analysis vs Benchmark
6/13 12/13 6/14 12/14 6/15 12/15 6/16 12/16 6/17 12/17
-2.5%
-2.0%
-1.5%
-1.0%
-0.5%
0.0%
0.5%
1.0%
1.5%
2.0%
2.5%
3.0%
3.5%
4.0%
4.5%
5.0%
-0.02-0.21
0.460.13
0.500.27
0.600.180.22
0.03
0.77
0.17
1.49
-0.14
-1.81
0.130.220.030.06
-0.01
Cumulative Value Added
Quarterly NOF Value Added vs. Russell 2000
Performance Comparison vs Peer Universe*
0%
2%
4%
6%
8%
10%
12%
14%
16%
18%
20%
22%
24%
26%
1
1
1
1
1
1
1
1
Med75th95th
25th
5th
NTGI Structure 1 Russell 2000 MedianNumber of Funds
1 Quarter 2 Quarters 3 Quarters 1 Year 2 Years 3 Years 5 Years 10 Years
3.36 (64)3.34 (65)
3.80
79
9.31 (47)9.20 (50)
9.20
79
12.08 (23)11.89 (31)
10.60
79
15.16 (21)14.65 (28)
12.64
79
18.14 (52)17.93 (56)
18.39
77
10.61 (45)9.96 (72)
10.17
72
15.00 (33)14.12 (61)
14.63
60
10.09 (50)8.71 (91)
10.16
29
Five Year Risk/Return Analysis vs Peer Universe*
8.0 9.0 10.0 11.0 12.0 13.0 14.0
9.0
10.0
11.0
12.0
13.0
14.0
15.0
16.0
17.0
18.0
19.0
20.0
1
Media
n
Ris
k
Median
Return
Description
Legend
Gross Fee Ret
Value Rank
Standard Deviation
Value Rank
NTGI Structured
Russell 2000
Median
1
15.00
14.12
14.63
33
61
11.21
11.74
10.95
40
18
*TUCS Total Returns of Small Neutral Equity Portfolios Universe - Gross of Fees 55
W i l s h i r e C o n s u l t i n g
CUSTOM BENCHMARK SPECIFICATIONUS Equity CompositeDecember 31, 2017
© 2018 Wilshire Associates Inc.
Quarter Start
Quarter End
Percent
Description
Russell 3000
6/84
9/14
6/14
12/17
100.00
100.00
Blended US Equity Index
Russell 3000
56
NON-US EQUITYNON-US EQUITY
W i l s h i r e C o n s u l t i n g
MANAGER ALLOCATIONNon-US Equity CompositeAs of December 31, 2017
© 2018 Wilshire Associates Inc.
American Century$371,182,804 12.21%
Boston Company$759,171 0.02%
Lazard Asset Mgmt$518,137,842 17.05%
Pyramis Intl$2,186,153 0.07%
NTGI Int’l Small Cap$159,153,883 5.24%
BlackRock ACWI Ex US$1,234,337,408 40.62%
LSV Asset Mgmt$477,974,856 15.73%
Non-US Equity Transition$2,596,702 0.09%
Franklin Templeton$272,493,829 8.97%
58
W i l s h i r e C o n s u l t i n g
PERFORMANCE COMPARISONNon-US Equity CompositePeriods Ended December 31, 2017
© 2018 Wilshire Associates Inc.
0%
5%
10%
15%
20%
25%
30%
35%
40%
1
1
1
1
1
11
1
Med75th95th
25th 5th
Non-US Equity Composite 1 Policy Index 5th %tile25th %tileMedian75th %tile95th %tileNumber of Funds
1 Quarter 2 Quarters 3 Quarters 1 Year 2 Years 3 Years 5 Years 10 Years
5.58 (23)5.23 (35)
7.875.495.034.103.29115
12.75 (20)11.91 (39)
14.5312.4911.5610.268.28114
19.95 (28)18.69 (48)
23.9720.1018.6516.9414.63
112
29.53 (38)28.30 (53)
36.1331.0528.6425.8421.21
111
16.18 (38)16.02 (41)
20.3517.3715.6613.8710.53
109
9.35 (51)8.44 (69)
12.0310.649.358.336.36100
8.30 (46)7.35 (73)
14.398.988.267.304.85
95
2.96 (41)2.48 (65)
6.123.712.752.311.22
74
*TUCS Total Ret of Non-US Equity Investment Pools Universe - Gross of Fees 59
W i l s h i r e C o n s u l t i n g
PERFORMANCE COMPARISONTrailing ReturnsPeriods Ended December 31, 2017
© 2018 Wilshire Associates Inc.
Quarter 2 Quarters 3 Quarters 1 Year 3 Years 5 Years 10 Years Incept Date Incept Ret
BlackRock ACWI Ex US
Net of Fee Return
MSCI ACWI X US (N)
Value Added
American Century
Net of Fee Return
Policy Index
Value Added
Franklin Templeton
Net of Fee Return
Policy Index
Value Added
Lazard Asset Mgmt
Net of Fee Return
Policy Index
Value Added
LSV Asset Mgmt
Net of Fee Return
Policy Index
Value Added
NTGI Int’l Small Cap
Net of Fee Return
MSCI ACWI X US Small Cap (N)
Value Added
5.04
5.00
0.03
5.33
5.23
0.11
5.86
5.23
0.63
6.62
5.23
1.39
5.46
5.23
0.24
6.35
6.56
-0.22
11.55
11.47
0.07
16.73
11.80
4.93
16.77
11.80
4.97
12.59
11.80
0.78
10.12
11.80
-1.68
13.72
13.91
-0.20
18.11
17.92
0.19
26.31
18.50
7.80
23.68
18.50
5.18
20.69
18.50
2.19
15.95
18.50
-2.56
20.49
21.02
-0.52
27.60
27.19
0.41
34.70
27.96
6.74
38.38
27.96
10.42
28.31
27.96
0.35
25.60
27.96
-2.36
31.30
31.64
-0.34
8.15
7.83
0.32
8.53
8.38
0.14
12.29
8.38
3.91
8.57
8.38
0.18
8.14
8.38
-0.24
12.04
11.96
0.08
7.05
6.80
0.24
10.32
10.03
0.29
6/30/09
6/30/09
6/30/09
6/30/14
6/30/14
6/30/14
6/30/14
6/30/14
6/30/14
6/30/14
6/30/14
6/30/14
6/30/14
6/30/14
6/30/14
12/31/08
12/31/08
12/31/08
8.29
8.06
0.22
5.36
4.36
1.00
8.06
4.36
3.71
5.23
4.36
0.87
4.46
4.36
0.10
13.40
13.70
-0.31
60
W i l s h i r e C o n s u l t i n g
PERFORMANCE COMPARISONTrailing ReturnsPeriods Ended December 31, 2017
© 2018 Wilshire Associates Inc.
Quarter 2 Quarters 3 Quarters 1 Year 3 Years 5 Years 10 Years Incept Date Incept Ret
Non-US Equity Composite
Net of Fee Return
Policy Index
Value Added
5.53
5.23
0.31
12.62
11.91
0.71
19.69
18.69
1.00
29.24
28.30
0.94
9.09
8.44
0.65
8.05
7.35
0.70
3.02
2.48
0.53
6/30/00
6/30/00
6/30/00
3.61
3.86
-0.25
61
W i l s h i r e C o n s u l t i n g
INVESTMENT MANAGER ANALYSISBlackRock ACWI Ex USDecember 31, 2017
© 2018 Wilshire Associates Inc.
Cumulative Skill Analysis vs Benchmark
12/13 12/14 12/15 12/16 12/17
-0.50
-0.40
-0.30
-0.20
-0.10
-0.00
0.10
0.20
0.30
0.40
0.50
0.60
Quarterly NOF Value Added vs. MSCI ACWI X US (N) 80% Confidence Band
Excess Return:
Excess Risk:
0.23
0.15
Information Ratio:
T-Stat:
1.54
3.45
Value-Added Analysis vs Benchmark
6/13 12/13 6/14 12/14 6/15 12/15 6/16 12/16 6/17 12/17
-0.3%
-0.2%
-0.1%
0.0%
0.1%
0.2%
0.3%
0.4%
0.5%
0.6%
0.7%
0.8%
0.9%
1.0%
1.1%
1.2%
1.3%
0.01
0.18
-0.13
0.15
0.030.02
-0.04
0.010.06
0.110.07
0.010.09
0.16
0.040.02
0.170.10
0.040.03
Cumulative Value Added
Quarterly NOF Value Added vs. MSCI ACWI X US (N)
Performance Comparison vs Peer Universe*
-5%
0%
5%
10%
15%
20%
25%
30%
35%
40%
45%
50%
1
1
1
1
1
1 1 Med75th95th
25th 5th
BlackRock ACWI 1 MSCI ACWI X US MedianNumber of Funds
1 Quarter 2 Quarters 3 Quarters 1 Year 2 Years 3 Years 5 Years 10 Years
5.04 (48)5.00 (48)
4.912496
11.55 (50)11.47 (51)
11.592455
18.11 (53)17.92 (54)
18.492401
27.60 (57)27.19 (59)
29.092354
15.65 (47)15.29 (50)
15.362165
8.15 (54)7.83 (60)
8.40
1888
7.05 (49)6.80 (54)
7.00
1512
2.12885
Five Year Risk/Return Analysis vs Peer Universe*
2.0 4.0 6.0 8.0 10.0 12.0 14.0 16.0 18.0 20.0 22.0
-2.0
0.0
2.0
4.0
6.0
8.0
10.0
12.0
14.0
16.0
1
Media
n
Ris
k
Median
Return
Description
Legend
Net Fee Ret
Value Rank
Standard Deviation
Value Rank
BlackRock ACWI Ex US
MSCI ACWI X US (N)
Median
1
7.05
6.80
7.00
49
54
10.52
10.54
11.79
73
73
*Lipper Total Returns of International Equity Mutual Funds Universe - Net of Fees 62
W i l s h i r e C o n s u l t i n g
INVESTMENT MANAGER ANALYSISAmerican CenturyDecember 31, 2017
© 2018 Wilshire Associates Inc.
Cumulative Skill Analysis vs Benchmark
3/15 6/15 9/15 12/15 3/16 6/16 9/16 12/16 3/17 6/17 9/17 12/17
-20.00
-15.00
-10.00
-5.00
0.00
5.00
10.00
15.00
20.00
Quarterly NOF Value Added vs. Policy Index 80% Confidence Band
Excess Return:
Excess Risk:
0.13
5.24
Information Ratio:
T-Stat:
0.03
0.04
Value-Added Analysis vs Benchmark
12/14 6/15 12/15 6/16 12/16 6/17 12/17
-5.0%
-4.0%
-3.0%
-2.0%
-1.0%
0.0%
1.0%
2.0%
3.0%
4.0%
5.0%
6.0%
7.0%
8.0%
1.96
0.880.45
-1.49
2.23
3.23
-2.67-2.63
0.55
-4.22
-1.34
2.21
4.57
0.11
Cumulative Value Added
Quarterly NOF Value Added vs. Policy Index
Performance Comparison vs Peer Universe*
-5%
0%
5%
10%
15%
20%
25%
30%
35%
40%
1
1
1
1
1
1 Med75th95th
25th 5th
American Centu 1 Policy Index MedianNumber of Funds
1 Quarter 2 Quarters 3 Quarters 1 Year 2 Years 3 Years 5 Years 10 Years
5.43 (33)5.23 (37)
4.76414
16.97 ( 6)11.80 (36)
10.95
408
26.64 ( 5)18.50 (39)
17.54
400
35.25 (11)27.96 (38)
27.01
393
14.04 (58)15.92 (39)
15.06
376
8.96 (48)8.38 (61)
8.86355
8.99309
3.62161
Three Year Risk/Return Analysis vs Peer Universe*
0.0 4.0 8.0 12.0 16.0 20.0
-10.0
-5.0
0.0
5.0
10.0
15.0
20.0
25.0
1
Media
n
Ris
k
Median
Return
Description
Legend
Gross Fee Ret
Value Rank
Standard Deviation
Value Rank
American Century
Policy Index
Median
1
8.96
8.38
8.86
48
61
12.89
10.96
10.37
15
37
*TUCS Total Returns of Intl Equity Portfolios - Non-US Equity Universe - Gross of Fees 63
W i l s h i r e C o n s u l t i n g
INVESTMENT MANAGER ANALYSISFranklin TempletonDecember 31, 2017
© 2018 Wilshire Associates Inc.
Cumulative Skill Analysis vs Benchmark
3/15 6/15 9/15 12/15 3/16 6/16 9/16 12/16 3/17 6/17 9/17 12/17
-14.00
-12.00
-10.00
-8.00
-6.00
-4.00
-2.00
0.00
2.00
4.00
6.00
8.00
10.00
12.00
14.00
16.00
Quarterly NOF Value Added vs. Policy Index 80% Confidence Band
Excess Return:
Excess Risk:
3.61
4.07
Information Ratio:
T-Stat:
0.89
1.53
Value-Added Analysis vs Benchmark
12/14 6/15 12/15 6/16 12/16 6/17 12/17
-6.0%
-4.0%
-2.0%
0.0%
2.0%
4.0%
6.0%
8.0%
10.0%
12.0%
14.0%
16.0%
-1.69
3.30
0.500.992.04
2.76
0.77
-1.76
0.64
-3.08
3.90
-0.07
4.06
0.63
Cumulative Value Added
Quarterly NOF Value Added vs. Policy Index
Performance Comparison vs Peer Universe*
-5%
0%
5%
10%
15%
20%
25%
30%
35%
40%
1
1
1
1
1
1 Med75th95th
25th 5th
Franklin Templ 1 Policy Index MedianNumber of Funds
1 Quarter 2 Quarters 3 Quarters 1 Year 2 Years 3 Years 5 Years 10 Years
5.96 (20)5.23 (37)
4.76414
17.00 ( 6)11.80 (36)
10.95
408
24.35 ( 9)18.50 (39)
17.54
400
38.92 ( 5)27.96 (38)
27.01
393
18.90 (18)15.92 (39)
15.06
376
12.75 ( 9)8.38 (61)
8.86355
8.99309
3.62161
Three Year Risk/Return Analysis vs Peer Universe*
0.0 4.0 8.0 12.0 16.0 20.0
-10.0
-5.0
0.0
5.0
10.0
15.0
20.0
25.0
1
Media
n
Ris
k
Median
Return
Description
Legend
Gross Fee Ret
Value Rank
Standard Deviation
Value Rank
Franklin Templeton
Policy Index
Median
1
12.75
8.38
8.86
9
61
12.58
10.96
10.37
18
37
*TUCS Total Returns of Intl Equity Portfolios - Non-US Equity Universe - Gross of Fees 64
W i l s h i r e C o n s u l t i n g
INVESTMENT MANAGER ANALYSISLazard Asset MgmtDecember 31, 2017
© 2018 Wilshire Associates Inc.
Cumulative Skill Analysis vs Benchmark
3/15 6/15 9/15 12/15 3/16 6/16 9/16 12/16 3/17 6/17 9/17 12/17
-10.00
-8.00
-6.00
-4.00
-2.00
0.00
2.00
4.00
6.00
8.00
10.00
12.00
Quarterly NOF Value Added vs. Policy Index 80% Confidence Band
Excess Return:
Excess Risk:
0.17
2.96
Information Ratio:
T-Stat:
0.06
0.10
Value-Added Analysis vs Benchmark
12/14 6/15 12/15 6/16 12/16 6/17 12/17
-3.0%
-2.0%
-1.0%
0.0%
1.0%
2.0%
3.0%
4.0%
5.0%
6.0%
7.0%
8.0%
-0.11
2.45
0.56
1.921.33
0.860.29
-0.03
-2.37-2.5
-1.67
1.21
-0.65
1.39
Cumulative Value Added
Quarterly NOF Value Added vs. Policy Index
Performance Comparison vs Peer Universe*
-5%
0%
5%
10%
15%
20%
25%
30%
35%
40%
1
1
1
1
1
1 Med75th95th
25th 5th
Lazard Asset M 1 Policy Index MedianNumber of Funds
1 Quarter 2 Quarters 3 Quarters 1 Year 2 Years 3 Years 5 Years 10 Years
6.68 (14)5.23 (37)
4.76414
12.73 (27)11.80 (36)
10.95
408
20.93 (22)18.50 (39)
17.54
400
28.63 (35)27.96 (38)
27.01
393
13.76 (63)15.92 (39)
15.06
376
8.83 (51)8.38 (61)
8.86355
8.99309
3.62161
Three Year Risk/Return Analysis vs Peer Universe*
0.0 4.0 8.0 12.0 16.0 20.0
-10.0
-5.0
0.0
5.0
10.0
15.0
20.0
25.0
1
Media
n
Ris
k
Median
Return
Description
Legend
Gross Fee Ret
Value Rank
Standard Deviation
Value Rank
Lazard Asset Mgmt
Policy Index
Median
1
8.83
8.38
8.86
51
61
10.46
10.96
10.37
47
37
*TUCS Total Returns of Intl Equity Portfolios - Non-US Equity Universe - Gross of Fees 65
W i l s h i r e C o n s u l t i n g
INVESTMENT MANAGER ANALYSISLSV Asset MgmtDecember 31, 2017
© 2018 Wilshire Associates Inc.
Cumulative Skill Analysis vs Benchmark
3/15 6/15 9/15 12/15 3/16 6/16 9/16 12/16 3/17 6/17 9/17 12/17
-12.00
-10.00
-8.00
-6.00
-4.00
-2.00
0.00
2.00
4.00
6.00
8.00
10.00
12.00
14.00
Quarterly NOF Value Added vs. Policy Index 80% Confidence Band
Excess Return:
Excess Risk:
-0.22
3.48
Information Ratio:
T-Stat:
-0.06
-0.11
Value-Added Analysis vs Benchmark
12/14 6/15 12/15 6/16 12/16 6/17 12/17
-3.5%
-3.0%
-2.5%
-2.0%
-1.5%
-1.0%
-0.5%
0.0%
0.5%
1.0%
1.5%
2.0%
2.5%
3.0%
3.5%
-0.87
1.88
-0.08
0.55
1.23
-2.66
-0.3
-2.7
2.05
3.10
0.34
-0.7
-1.83
0.24
Cumulative Value Added
Quarterly NOF Value Added vs. Policy Index
Performance Comparison vs Peer Universe*
-5%
0%
5%
10%
15%
20%
25%
30%
35%
40%
⊕ 1
⊕ 1
⊕ 1
⊕ 1
⊕ 1
⊕ 1 Med75th95th
25th 5th
⊕ LSV Asset Mgmt 1 Policy Index MedianNumber of Funds
1 Quarter 2 Quarters 3 Quarters 1 Year 2 Years 3 Years 5 Years 10 Years
5.62 (27)5.23 (37)
4.76414
10.47 (55)11.80 (36)
10.95
408
16.60 (63)18.50 (39)
17.54
400
26.37 (54)27.96 (38)
27.01
393
16.64 (32)15.92 (39)
15.06
376
8.76 (53)8.38 (61)
8.86355
8.99309
3.62161
Three Year Risk/Return Analysis vs Peer Universe*
0.0 4.0 8.0 12.0 16.0 20.0
-10.0
-5.0
0.0
5.0
10.0
15.0
20.0
25.0
⊕1
Media
n
Ris
k
Median
Return
Description
Legend
Gross Fee Ret
Value Rank
Standard Deviation
Value Rank
LSV Asset Mgmt
Policy Index
Median
⊕1
8.76
8.38
8.86
53
61
10.80
10.96
10.37
40
37
*TUCS Total Returns of Intl Equity Portfolios - Non-US Equity Universe - Gross of Fees 66
W i l s h i r e C o n s u l t i n g
INVESTMENT MANAGER ANALYSISNTGI Int’l Small CapDecember 31, 2017
© 2018 Wilshire Associates Inc.
Cumulative Skill Analysis vs Benchmark
12/13 12/14 12/15 12/16 12/17
-2.00
-1.50
-1.00
-0.50
0.00
0.50
1.00
1.50
2.00
Quarterly NOF Value Added vs. MSCI ACWI X US Small Cap (N) 80% Confidence Band
Excess Return:
Excess Risk:
0.27
0.42
Information Ratio:
T-Stat:
0.63
1.42
Value-Added Analysis vs Benchmark
6/13 12/13 6/14 12/14 6/15 12/15 6/16 12/16 6/17 12/17
-0.4%
-0.2%
0.0%
0.2%
0.4%
0.6%
0.8%
1.0%
1.2%
1.4%
1.6%
1.8%
2.0%
-0.01
0.78
-0.02
0.05
-0.1
0.170.04
0.170.080.090.08
0.01
-0.05
0.130.01
0.120.19
-0.28
0.03
-0.22
Cumulative Value Added
Quarterly NOF Value Added vs. MSCI ACWI X US Small Cap (N)
Performance Comparison vs Peer Universe*
0%
5%
10%
15%
20%
25%
30%
35%
40%
⊗ 1
⊗ 1
⊗ 1
⊗ 1
⊗ 1
⊗ 1 ⊗ 1
Med75th95th
25th 5th
⊗ NTGI Int’l Sma 1 MSCI ACWI X US MedianNumber of Funds
1 Quarter 2 Quarters 3 Quarters 1 Year 2 Years 3 Years 5 Years 10 Years
6.35 (11)6.56 ( 8)
5.37
90
13.72 (25)13.91 (20)
12.51
89
20.49 (62)21.02 (52)
21.17
89
31.30 (57)31.64 (55)
32.15
88
16.93 (31)16.96 (31)
16.14
78
12.04 (29)11.96 (29)
10.66
66
10.32 (39)10.03 (42)
9.63
57
4.3435
Five Year Risk/Return Analysis vs Peer Universe*
7.0 8.0 9.0 10.0 11.0 12.0 13.0 14.0 15.0 16.0
4.0
5.0
6.0
7.0
8.0
9.0
10.0
11.0
12.0
13.0
14.0
15.0
16.0
⊗ 1
Media
n
Ris
k
Median
Return
Description
Legend
Net Fee Ret
Value Rank
Standard Deviation
Value Rank
NTGI Int’l Small Cap
MSCI ACWI X US Small Cap (N)
Median
⊗1
10.32
10.03
9.63
39
42
11.41
11.57
11.83
82
67
*Lipper Total Returns of Intl Equity Small/Mid Core Mutual Funds Universe - Net of Fees 67
W i l s h i r e C o n s u l t i n g
CUSTOM BENCHMARK SPECIFICATIONNon-US Equity CompositeDecember 31, 2017
© 2018 Wilshire Associates Inc.
Quarter Start
Quarter End
Percent
Description
Policy Index
9/00
9/17
12/17
6/17
9/17
12/17
100.00
100.00
100.00
Blended Non-US Benchmark
MSCI ACWI Ex USA IMI Index ($G)
MSCI ACWI Ex USA IMI ($N)
68
FIXED INCOME FIXED INCOME
W i l s h i r e C o n s u l t i n g
MANAGER ALLOCATIONFixed Income CompositeAs of December 31, 2017
© 2018 Wilshire Associates Inc.
Manulife Asset Mgmt$414,356,615 17.27%
Columbia$256,430,295 10.69%
Loomis$53,114 0.00%
Waterfall$160,318,521 6.68%
BNY IG Credit$199,588,413 8.32%
PIMCO$341,043 0.01%
NISA$296,867,075 12.37%
BlackRock IG Credit$501,398,925 20.90%
Shenkman Capital$179,471,594 7.48%
Marathon Bluegrass$308,426,140 12.85%
Cerberus Capital Mgmt$82,325,973 3.43%
70
W i l s h i r e C o n s u l t i n g
PERFORMANCE COMPARISONFixed Income CompositePeriods Ended December 31, 2017
© 2018 Wilshire Associates Inc.
-1%
0%
1%
2%
3%
4%
5%
6%
7%
8%
9%
10%
11%
12%
13%
1
1
1
1
1
1
1
1
Med75th95th
25th
5th
Fixed Income Composite 1 Policy Index 5th %tile25th %tileMedian75th %tile95th %tileNumber of Funds
1 Quarter 2 Quarters 3 Quarters 1 Year 2 Years 3 Years 5 Years 10 Years
0.47 (58)0.44 (63)
3.411.090.530.250.01137
1.66 (52)1.94 (45)
5.452.711.721.160.43127
3.48 (47)3.82 (43)
10.535.023.312.561.11124
5.36 (43)5.79 (38)
11.967.104.543.572.03115
7.33 (20)8.06 (15)
11.237.034.653.441.51111
5.14 (15)5.45 (10)
6.464.192.942.331.11106
4.31 (17)4.08 (19)
5.493.772.732.221.26
94
5.32 (33)5.10 (41)
8.545.534.914.083.02
61
*TUCS Total Ret of Fixed Income Investment Pools Universe - Gross of Fees 71
W i l s h i r e C o n s u l t i n g
PERFORMANCE COMPARISONTrailing ReturnsPeriods Ended December 31, 2017
© 2018 Wilshire Associates Inc.
Quarter 2 Quarters 3 Quarters 1 Year 3 Years 5 Years 10 Years Incept Date Incept Ret
NISA
Net of Fee Return
Bloomberg Aggregate
Value Added
BlackRock IG Credit
Net of Fee Return
Bloomberg Int Credit
Value Added
Columbia
Net of Fee Return
Bloomberg High Yield
Value Added
Marathon Bluegrass
Net of Fee Return
Bloomberg High Yield
Value Added
0.47
0.39
0.08
0.11
0.11
0.00
0.20
0.47
-0.27
0.80
0.47
0.33
1.42
1.24
0.18
1.12
1.10
0.02
2.32
2.45
-0.13
-0.06
2.45
-2.51
2.97
2.70
0.27
2.29
2.50
-0.20
4.83
4.68
0.15
0.42
4.68
-4.26
3.81
3.54
0.27
7.10
7.50
-0.40
1.06
7.50
-6.44
2.58
2.24
0.34
6.05
6.35
-0.30
2.33
2.10
0.23
5.79
5.78
0.02
3/31/09
3/31/09
3/31/09
3/31/17
3/31/17
3/31/17
12/31/11
12/31/11
12/31/11
12/31/15
12/31/15
12/31/15
4.15
3.97
0.18
2.29
2.50
-0.20
7.43
7.39
0.04
8.45
12.21
-3.76
72
Manulife Asset Mgmt
Net of Fee Return
Policy Index
Value Added
0.24
0.41
-0.17
1.26
1.42
-0.16
2.90
2.96
-0.06
4.39
4.09
0.30
3.13
1.51
1.62
2.98
0.55
2.43
12/31/11
12/31/11
12/31/11
4.40
1.26
3.15
W i l s h i r e C o n s u l t i n g
PERFORMANCE COMPARISONTrailing ReturnsPeriods Ended December 31, 2017
© 2018 Wilshire Associates Inc.
Quarter 2 Quarters 3 Quarters 1 Year 3 Years 5 Years 10 Years Incept Date Incept Ret
Shenkman Capital
Net of Fee Return
S&P LSTA Leverage Loan
Value Added
Cerberus Capital Mgmt
Net of Fee Return
S&P LSTA Leverage Loan
Value Added
Waterfall
Net of Fee Return
Policy Index
Value Added
Fixed Income Composite
Net of Fee Return
Policy Index
Value Added
Bloomberg Global Aggregate
0.71
1.12
-0.41
1.06
1.12
-0.06
1.72
0.67
1.05
0.44
0.44
0.01
1.08
1.16
2.17
-1.01
2.33
2.17
0.16
5.67
2.19
3.48
1.52
1.94
-0.42
2.86
2.22
2.95
-0.72
4.92
2.95
1.97
9.72
3.85
5.86
3.20
3.82
-0.62
5.54
3.06
4.12
-1.07
7.44
4.12
3.32
14.47
6.03
8.44
4.85
5.79
-0.94
7.39
3.72
4.44
-0.71
8.45
4.44
4.01
9.06
4.67
4.39
4.54
5.45
-0.91
2.02
3.69
4.54
-0.85
10.14
4.24
5.89
3.78
4.08
-0.30
0.79
5.07
5.10
-0.04
3.09
9/30/10
9/30/10
9/30/10
9/30/14
9/30/14
9/30/14
3/31/10
3/31/10
3/31/10
3/31/84
3/31/84
3/31/84
4.73
5.76
-1.04
8.16
3.93
4.23
11.94
5.29
6.66
7.62
7.46
0.16
73
W i l s h i r e C o n s u l t i n g
INVESTMENT MANAGER ANALYSISNISADecember 31, 2017
© 2018 Wilshire Associates Inc.
Cumulative Skill Analysis vs Benchmark
12/13 12/14 12/15 12/16 12/17
-0.60
-0.50
-0.40
-0.30
-0.20
-0.10
-0.00
0.10
0.20
0.30
0.40
0.50
0.60
Quarterly NOF Value Added vs. Bloomberg Aggregate 80% Confidence Band
Excess Return:
Excess Risk:
0.22
0.16
Information Ratio:
T-Stat:
1.43
3.19
Value-Added Analysis vs Benchmark
6/13 12/13 6/14 12/14 6/15 12/15 6/16 12/16 6/17 12/17
-0.3%
-0.2%
-0.1%
-0.0%
0.1%
0.2%
0.3%
0.4%
0.5%
0.6%
0.7%
0.8%
0.9%
1.0%
1.1%
1.2%
0.02
-0.09-0.06-0.03
0.110.040.070.07
0.030.020.08
0.200.26
0.080.030.06
0.000.080.100.08
Cumulative Value Added
Quarterly NOF Value Added vs. Bloomberg Aggregate
Performance Comparison vs Peer Universe*
0%
1%
2%
3%
4%
5%
6%
7%
8%
9%
10%
11%
12%
∞1
∞1
∞1
∞1 ∞
1 ∞1 ∞
1
Med75th95th
25th
5th
∞ NISA 1 Bloomberg Aggr
MedianNumber of Funds
1 Quarter 2 Quarters 3 Quarters 1 Year 2 Years 3 Years 5 Years 10 Years
0.50 (59)0.39 (79)
0.5474
1.50 (56)1.24 (83)
1.5873
3.09 (55)2.70 (82)
3.1670
3.97 (58)3.54 (86)
4.2970
3.66 (60)3.09 (82)
3.9369
2.75 (52)2.24 (84)
2.8168
2.50 (53)2.10 (79)
2.5953
4.6131
Five Year Risk/Return Analysis vs Peer Universe*
-6.0 -4.0 -2.0 0.0 2.0 4.0 6.0 8.0 10.0 12.0
-2.0
-1.0
0.0
1.0
2.0
3.0
4.0
5.0
6.0
7.0
∞1
Media
n
Ris
k
Median
Return
Description Legend
Gross Fee Ret
Value Rank
Standard Deviation
Value Rank
NISA
Bloomberg Aggregate
Median
∞1
2.50
2.10
2.59
53
79
3.17
3.08
3.32
59
71
*TUCS Total Returns of Fixed Income Portfolios - Core Universe - Gross of Fees 74
W i l s h i r e C o n s u l t i n g
INVESTMENT MANAGER ANALYSISManulife Asset MgmtDecember 31, 2017
© 2018 Wilshire Associates Inc.
Cumulative Skill Analysis vs Benchmark
12/13 12/14 12/15 12/16 12/17
-20.00
-15.00
-10.00
-5.00
0.00
5.00
10.00
15.00
20.00
Quarterly NOF Value Added vs. Policy Index 80% Confidence Band
Excess Return:
Excess Risk:
2.41
3.04
Information Ratio:
T-Stat:
0.79
1.77
Value-Added Analysis vs Benchmark
6/13 12/13 6/14 12/14 6/15 12/15 6/16 12/16 6/17 12/17
-4.0%
-2.0%
0.0%
2.0%
4.0%
6.0%
8.0%
10.0%
12.0%
14.0%
3.83
0.38
-2.33
1.86
0.16
-0.88
2.351.70
3.63
-0.25-0.54
1.09
-0.4-0.54
0.07
1.350.350.100.01
-0.17
Cumulative Value Added
Quarterly NOF Value Added vs. Policy Index
Performance Comparison vs Peer Universe*
-2%
0%
2%
4%
6%
8%
10%
12%
14%
16%
18%
⊕ 1⊕ 1
⊕ 1
⊕1
⊕1 ⊕
1
⊕
1 Med75th95th
25th 5th
⊕ Manulife Asset 1 Policy Index
MedianNumber of Funds
1 Quarter 2 Quarters 3 Quarters 1 Year 2 Years 3 Years 5 Years 10 Years
0.30 (80)0.41 (78)
0.8755
1.39 (95)1.42 (95)
3.0355
3.18 (93)2.96 (95)
6.1755
4.73 (95)4.09 (95)
9.1355
4.72 (80)4.00 (93)
6.6255
3.42 (30)1.51 (91)
2.9655
3.29 (21)0.55 (80)
1.6254
4.1429
Five Year Risk/Return Analysis vs Peer Universe*
-2.0 0.0 2.0 4.0 6.0 8.0 10.0 12.0 14.0
-4.0
-3.0
-2.0
-1.0
0.0
1.0
2.0
3.0
4.0
5.0
6.0
7.0
8.0
⊕
1
Media
n
Ris
k
Median
Return
Description Legend
Gross Fee Ret
Value Rank
Standard Deviation
Value Rank
Manulife Asset Mgmt
Policy Index
Median
⊕1
3.29
0.55
1.62
21
80
2.74
4.01
6.07
97
89
*TUCS Total Returns of Global Fixed Portfolios - Unhedged Universe - Gross of Fees 75
W i l s h i r e C o n s u l t i n g
INVESTMENT MANAGER ANALYSISBlackRock IG CreditDecember 31, 2017
© 2018 Wilshire Associates Inc.
Value-Added Analysis vs Benchmark
6/17 12/17
-0.4%
-0.3%
-0.2%
-0.1%
-0.0%
0.1%
-0.22
0.020.00
Cumulative Value Added
Quarterly NOF Value Added vs. Bloomberg Int Credit
Performance Comparison vs Peer Universe*
-0.5%
0.0%
0.5%
1.0%
1.5%
2.0%
2.5%
3.0%
3.5%
4.0%
4.5%
5.0%
5.5%
6.0%
6.5%
1
1
1
Med75th95th
25th
5th
BlackRock IG C 1 Bloomberg Int
MedianNumber of Funds
1 Quarter 2 Quarters 3 Quarters 1 Year 2 Years 3 Years 5 Years 10 Years
0.13 (42)0.11 (42)
0.05157
1.14 (36)1.10 (37)
0.77157
2.31 (39)2.50 (36)
1.83155
2.63154
2.44149
2.17142
1.97117
4.1159
*TUCS Total Returns of Fixed Income Portfolios - Intermediate Universe - Gross of Fees 76
W i l s h i r e C o n s u l t i n g
INVESTMENT MANAGER ANALYSISColumbiaDecember 31, 2017
© 2018 Wilshire Associates Inc.
Cumulative Skill Analysis vs Benchmark
12/13 12/14 12/15 12/16 12/17
-8.00
-6.00
-4.00
-2.00
0.00
2.00
4.00
6.00
8.00
Quarterly NOF Value Added vs. Bloomberg High Yield 80% Confidence Band
Excess Return:
Excess Risk:
0.02
2.06
Information Ratio:
T-Stat:
0.01
0.02
Value-Added Analysis vs Benchmark
6/13 12/13 6/14 12/14 6/15 12/15 6/16 12/16 6/17 12/17
-4.0%
-3.0%
-2.0%
-1.0%
0.0%
1.0%
2.0%
3.0%
4.0%
5.0%
6.0%
-0.28-0.03-0.17
-0.49
0.15
-0.06
0.00
1.77
0.54
-0.14
1.762.07
-0.52
-2.64
-0.86-0.94-0.53
0.280.14
-0.27
Cumulative Value Added
Quarterly NOF Value Added vs. Bloomberg High Yield
Performance Comparison vs Peer Universe*
-2%
0%
2%
4%
6%
8%
10%
12%
14%
16%
1
1
1
1
1
11
Med75th95th
25th
5th
Columbia 1 Bloomberg High MedianNumber of Funds
1 Quarter 2 Quarters 3 Quarters 1 Year 2 Years 3 Years 5 Years 10 Years
0.29 (70)0.47 (59)
0.66116
2.44 (42)2.45 (41)
2.32116
5.11 (31)4.68 (50)
4.69116
7.49 (56)7.50 (55)
7.89115
9.73 (47)12.21 (17)
9.36112
6.43 (41)6.35 (41)
5.86103
6.20 (31)5.78 (38)
5.62
79
8.3031
Five Year Risk/Return Analysis vs Peer Universe*
0.0 1.0 2.0 3.0 4.0 5.0 6.0 7.0 8.0 9.0 10.0 11.0
0.0
1.0
2.0
3.0
4.0
5.0
6.0
7.0
8.0
9.0
10.0
11.0
12.0
1
Media
n
Ris
k
Median
Return
Description
Legend
Gross Fee Ret
Value Rank
Standard Deviation
Value Rank
Columbia
Bloomberg High Yield
Median
1
6.20
5.78
5.62
31
38
3.95
5.27
5.18
78
46
*TUCS Total Returns of Fixed Income Portfolios - High Yield Universe - Gross of Fees 77
W i l s h i r e C o n s u l t i n g
INVESTMENT MANAGER ANALYSISMarathon BluegrassDecember 31, 2017
© 2018 Wilshire Associates Inc.
Value-Added Analysis vs Benchmark
6/16 12/16 6/17 12/17
-8.0%
-7.0%
-6.0%
-5.0%
-4.0%
-3.0%
-2.0%
-1.0%
0.0%
1.0%
2.0%
3.0%
4.0%
5.0%
6.0%
-3.35
-1.4
-0.43
4.57
-2.05-1.7
-2.83
0.33
Cumulative Value Added
Quarterly NOF Value Added vs. Bloomberg High Yield
Performance Comparison vs Peer Universe*
-2%
0%
2%
4%
6%
8%
10%
12%
14%
16%
⊗ 1 ⊗
1
⊗
1
⊗
1
⊗1
Med75th95th
25th
5th
⊗ Marathon Blueg 1 Bloomberg High MedianNumber of Funds
1 Quarter 2 Quarters 3 Quarters 1 Year 2 Years 3 Years 5 Years 10 Years
0.46 (59)0.47 (59)
0.66116
0.20 (98)2.45 (41)
2.32116
0.93 (99)4.68 (50)
4.69116
2.26 (99)7.50 (55)
7.89115
10.85 (35)12.21 (17)
9.36112
5.86103
5.6279
8.3031
*TUCS Total Returns of Fixed Income Portfolios - High Yield Universe - Gross of Fees 78
W i l s h i r e C o n s u l t i n g
INVESTMENT MANAGER ANALYSISCerberus Capital MgmtDecember 31, 2017
© 2018 Wilshire Associates Inc.
Cumulative Skill Analysis vs Benchmark
3/15 6/15 9/15 12/15 3/16 6/16 9/16 12/16 3/17 6/17 9/17 12/17
-12.00
-10.00
-8.00
-6.00
-4.00
-2.00
0.00
2.00
4.00
6.00
8.00
10.00
12.00
Quarterly NOF Value Added vs. S&P LSTA Leverage Loan 80% Confidence Band
Excess Return:
Excess Risk:
3.84
3.30
Information Ratio:
T-Stat:
1.16
2.02
Value-Added Analysis vs Benchmark
12/14 6/15 12/15 6/16 12/16 6/17 12/17
-4.0%
-2.0%
0.0%
2.0%
4.0%
6.0%
8.0%
10.0%
12.0%
14.0%
16.0%
1.68
0.04
2.22
3.553.81
0.84
-0.77-1.52
0.02
1.261.77
0.21
-0.06
Cumulative Value Added
Quarterly NOF Value Added vs. S&P LSTA Leverage Loan
79
W i l s h i r e C o n s u l t i n g
INVESTMENT MANAGER ANALYSISShenkman CapitalDecember 31, 2017
© 2018 Wilshire Associates Inc.
Cumulative Skill Analysis vs Benchmark
12/13 12/14 12/15 12/16 12/17
-3.50
-3.00
-2.50
-2.00
-1.50
-1.00
-0.50
0.00
0.50
1.00
1.50
2.00
2.50
3.00
3.50
Quarterly NOF Value Added vs. S&P LSTA Leverage Loan 80% Confidence Band
Excess Return:
Excess Risk:
-0.81
0.68
Information Ratio:
T-Stat:
-1.20
-2.67
Value-Added Analysis vs Benchmark
6/13 12/13 6/14 12/14 6/15 12/15 6/16 12/16 6/17 12/17
-4.5%
-4.0%
-3.5%
-3.0%
-2.5%
-2.0%
-1.5%
-1.0%
-0.5%
0.0%
0.5%
1.0%
-0.76
0.18
-0.31
0.16
-0.23-0.38
-0.14
-0.57
0.55
0.22
-0.22-0.44
-0.27-0.53
0.06
-0.38-0.33
0.29
-0.59-0.41
Cumulative Value Added
Quarterly NOF Value Added vs. S&P LSTA Leverage Loan
80
W i l s h i r e C o n s u l t i n g
INVESTMENT MANAGER ANALYSISWaterfallDecember 31, 2017
© 2018 Wilshire Associates Inc.
Cumulative Skill Analysis vs Benchmark
12/13 12/14 12/15 12/16 12/17
-12.00
-10.00
-8.00
-6.00
-4.00
-2.00
0.00
2.00
4.00
6.00
8.00
10.00
12.00
Quarterly NOF Value Added vs. Policy Index 80% Confidence Band
Excess Return:
Excess Risk:
5.66
3.40
Information Ratio:
T-Stat:
1.66
3.72
Value-Added Analysis vs Benchmark
6/13 12/13 6/14 12/14 6/15 12/15 6/16 12/16 6/17 12/17
-10.0%
-5.0%
0.0%
5.0%
10.0%
15.0%
20.0%
25.0%
30.0%
35.0%
-0.49
3.661.672.46
1.161.11
3.832.04
-0.13
1.20
3.94
0.85
-3.14-0.76
0.392.322.232.212.37
1.05
Cumulative Value Added
Quarterly NOF Value Added vs. Policy Index
Performance Comparison vs Peer Universe*
-2%
0%
2%
4%
6%
8%
10%
12%
14%
16%
χ1
χ
1
χ
1
χ
1
χ
1
χ
1
χ
1
Med75th95th
25th
5th
χ Waterfall 1 Policy Index MedianNumber of Funds
1 Quarter 2 Quarters 3 Quarters 1 Year 2 Years 3 Years 5 Years 10 Years
1.86 (11)0.67 (49)
0.66116
5.94 ( 3)2.19 (55)
2.32116
10.13 ( 9)3.85 (77)
4.69116
15.06 ( 3)6.03 (78)
7.89115
12.73 (17)8.59 (58)
9.36112
9.94 ( 3)4.67 (81)
5.86103
11.48 ( 2)4.24 (91)
5.62
79
8.3031
Five Year Risk/Return Analysis vs Peer Universe*
0.0 1.0 2.0 3.0 4.0 5.0 6.0 7.0 8.0 9.0 10.0 11.0
-4.0
-2.0
0.0
2.0
4.0
6.0
8.0
10.0
12.0
14.0
16.0
χ
1
Media
n
Ris
k
Median
Return
Description
Legend
Gross Fee Ret
Value Rank
Standard Deviation
Value Rank
Waterfall
Policy Index
Median
χ1
11.48
4.24
5.62
2
91
3.28
3.40
5.18
90
87
*TUCS Total Returns of Fixed Income Portfolios - High Yield Universe - Gross of Fees 81
W i l s h i r e C o n s u l t i n g
CUSTOM BENCHMARK SPECIFICATIONFixed Income CompositeDecember 31, 2017
© 2018 Wilshire Associates Inc.
Quarter Start
Quarter End
Percent
Description
Policy Index
Bloomberg Global Aggregate
6/84
9/17
6/84
6/17
12/17
12/17
100.00
50.00
50.00
100.00
Blended Fixed Benchmark
Bloomberg Universal
Bloomberg High Yield
Bloomberg Global Aggregate
82
REAL RETURN REAL RETURN
W i l s h i r e C o n s u l t i n g
MANAGER ALLOCATIONReal Return CompositeAs of December 31, 2017
© 2018 Wilshire Associates Inc.
Internal TIPS$225,840,830 21.56%
Nuveen Real Asset$221,706,756 21.16%
Amerra AGRI Fund II$24,799,571 2.37%
Amerra AGRI Holdings$47,795,473 4.56%
Magnetar MTP EOF II$23,568,416 2.25%
Oberland Capital$3,524,003 0.34%
TPF II$687,813 0.07%
Taurus Mine Finance$15,252,597 1.46%
Magnetar MTP$32,220,528 3.08%
BTG Pactual$18,141,643 1.73%
Tortoise Capital$75,506,633 7.21%
PIMCO All Asset$358,526,807 34.22%
84
W i l s h i r e C o n s u l t i n g
PERFORMANCE COMPARISONTrailing ReturnsPeriods Ended December 31, 2017
© 2018 Wilshire Associates Inc.
Quarter 2 Quarters 3 Quarters 1 Year 3 Years 5 Years 10 Years Incept Date Incept Ret
Internal TIPS
Net of Fee Return
Bloomberg U.S. TIPS
Value Added
PIMCO All Asset
Net of Fee Return
Bloomberg 1-10 Yrs TIPS
Value Added
Tortoise Capital
Net of Fee Return
Alerian MLP
Value Added
Nuveen Real Asset
Net of Fee Return
Policy Index
Value Added
Amerra AGRI Fund II
Net of Fee Return
Amerra AGRI Holdings
Net of Fee Return
BTG Pactual
Net of Fee Return
0.33
1.26
-0.93
1.00
0.53
0.47
-0.66
-0.95
0.29
1.37
1.04
0.34
-2.02
-1.23
2.94
1.05
2.14
-1.09
4.28
1.24
3.04
-2.59
-3.97
1.38
3.92
3.03
0.89
-1.67
-2.73
0.38
0.66
1.73
-1.07
6.22
0.83
5.39
-7.97
-10.07
2.10
7.18
6.93
0.25
-0.60
-4.48
4.60
1.69
2.80
-1.11
14.21
1.90
12.31
-3.30
-6.52
3.22
12.42
12.59
-0.18
-0.18
-2.07
5.60
2.14
2.08
0.06
5.90
1.78
4.12
-6.43
-9.33
2.89
6.05
-9.92
0.10
-0.05
0.15
3.26
0.09
3.17
5.29
-0.06
5.36
5.33
3.52
3.44
0.09
6/30/02
6/30/02
6/30/02
12/31/11
12/31/11
12/31/11
9/30/09
9/30/09
9/30/09
3/31/15
3/31/15
3/31/15
12/31/12
9/30/15
12/31/14
4.84
4.78
0.06
5.87
0.90
4.97
12.25
7.98
4.27
6.18
6.18
-0.00
5.33
-0.76
-9.92
85
W i l s h i r e C o n s u l t i n g
PERFORMANCE COMPARISONTrailing ReturnsPeriods Ended December 31, 2017
© 2018 Wilshire Associates Inc.
Quarter 2 Quarters 3 Quarters 1 Year 3 Years 5 Years 10 Years Incept Date Incept Ret
Magnetar MTP EOF II
Net of Fee Return
Oberland Capital
Net of Fee Return
Taurus Mine Finance
Net of Fee Return
TPF II
Net of Fee Return
Real Return Composite
Net of Fee Return
Real Return Index (P)
Value Added
5.03
8.17
-1.53
-0.22
0.77
0.70
0.07
0.86
38.40
0.24
0.19
2.31
1.13
1.17
4.68
45.35
2.55
3.30
2.95
1.02
1.93
5.45
50.60
8.88
3.30
8.01
3.61
4.40
18.82
-2.53
3.91
2.14
1.77
-5.19
2.06
2.34
-0.28
9/30/15
9/30/14
3/31/15
9/30/08
6/30/11
6/30/11
6/30/11
0.66
16.09
14.04
-3.74
4.05
2.78
1.27
86
W i l s h i r e C o n s u l t i n g
CUSTOM BENCHMARK SPECIFICATIONReal Return CompositeDecember 31, 2017
© 2018 Wilshire Associates Inc.
Quarter Start
Quarter End
Percent
Description
Real Return Index (P)
9/11
12/17
100.00
Real Return Index (P)
87
REAL ESTATE REAL ESTATE
W i l s h i r e C o n s u l t i n g
MANAGER ALLOCATIONReal Estate CompositeAs of December 31, 2017
© 2018 Wilshire Associates Inc.
Divcowest IV$5,745,747 1.02%
Greenfield Acq VI$9,479,904 1.69%
Lubert Adler VII$34,912,779 6.21%
Mesa West Core Lend$58,438,895 10.40%
Stockbridge Sm/Mkts$83,327,257 14.83%
Walton St RE VI$14,744,878 2.62%
Lubert Adler VII B$9,308,571 1.66%
Mesa West IV$11,134,100 1.98%
Patron Capital$9,432,760 1.68%
Fundamental Partners III$29,256,562 5.21%
Walton St RE VII$24,096,675 4.29%
Rubenstein PF II$15,817,528 2.81%
Prologis Targeted US$69,195,304 12.31%
Harrison Street$78,229,637 13.92%
H/2 Credit Partner$84,524,878 15.04%
Greenfield Acq VII$24,391,134 4.34%
89
W i l s h i r e C o n s u l t i n g
PERFORMANCE COMPARISONTrailing ReturnsPeriods Ended December 31, 2017
© 2018 Wilshire Associates Inc.
Quarter 2 Quarters 3 Quarters 1 Year 3 Years 5 Years 10 Years Incept Date Incept Ret
Divcowest IV
Net of Fee Return
Greenfield Acq VI
Net of Fee Return
Greenfield Acq VII
Net of Fee Return
H/2 Credit Partner
Net of Fee Return
Harrison Street
Net of Fee Return
Lubert Adler VII
Net of Fee Return
Mesa West Core Lend
Net of Fee Return
Prologis Targeted US
Net of Fee Return
Rubenstein PF II
Net of Fee Return
Stockbridge Sm/Mkts
Net of Fee Return
0.20
1.26
0.81
0.14
2.81
4.31
1.63
6.23
5.44
1.67
-0.62
5.64
8.46
2.74
5.25
6.07
3.33
9.85
8.34
3.82
9.36
5.58
9.06
4.82
7.83
7.38
5.23
14.27
12.33
5.62
16.06
10.73
14.91
7.89
10.29
9.19
7.25
20.61
13.59
8.35
27.39
9.90
14.32
6.39
10.00
4.28
7.67
16.20
8.57
10.05
11.50
6.05
9.96
3/31/14
12/31/12
6/30/14
6/30/11
6/30/12
6/30/14
6/30/13
9/30/14
6/30/13
6/30/14
22.83
11.50
11.45
6.48
9.11
-3.94
6.81
14.87
13.74
9.97
90
W i l s h i r e C o n s u l t i n g
PERFORMANCE COMPARISONTrailing ReturnsPeriods Ended December 31, 2017
© 2018 Wilshire Associates Inc.
Quarter 2 Quarters 3 Quarters 1 Year 3 Years 5 Years 10 Years Incept Date Incept Ret
Walton St RE VI
Net of Fee Return
Walton St RE VII
Net of Fee Return
Fundamental Partners III
Net of Fee Return
Lubert Adler VII B
Net of Fee Return
Mesa West IV
Net of Fee Return
Patron Capital
Net of Fee Return
Real Estate Composite
Net of Fee Return
NCREIF ODCE NOF 1 Quarter Lag
Value Added
2.57
2.12
1.91
-4.11
1.27
-0.90
2.30
1.64
0.66
4.62
6.14
1.87
-4.11
3.10
7.02
4.94
3.13
1.80
6.11
8.65
0.47
12.10
7.29
4.72
2.56
7.02
11.58
15.79
10.49
6.69
3.80
5.17
13.54
9.61
9.84
-0.23
9.31
9.37
10.57
-1.20
7.73
4.08
3.65
6/30/09
6/30/13
6/30/17
6/30/17
3/31/17
9/30/16
6/30/84
-19.92
13.68
1.87
-4.11
0.47
-15.55
6.01
91
W i l s h i r e C o n s u l t i n g
CUSTOM BENCHMARK SPECIFICATIONReal Estate CompositeDecember 31, 2017
© 2018 Wilshire Associates Inc.
Quarter Start
Quarter End
Percent
Description
NCREIF ODCE NOF 1 Quarter Lag
9/84
12/17
100.00
NCREIF ODCE NOF 1 Quarter Lag
92
ABSOLUTE RETURNABSOLUTE RETURN
W i l s h i r e C o n s u l t i n g
MANAGER ALLOCATIONAbsolute Return CompositeAs of December 31, 2017
© 2018 Wilshire Associates Inc.
Anchorage Capital$27,552,859 3.38%
BAAM$132,320 0.02%
Davidson Kempner LP$48,318,219 5.92%
DSAM Fund LP$598,854 0.07%
Governors Lane Onshore$21,996,168 2.70%
HBK II$45,875,823 5.62%
Karya Fund LLC$17,474,847 2.14%
Liquidalts H20 Force$16,061,760 1.97%
Myriad Opportunities$48,562,615 5.95%
Pershing Square$1,578,909 0.19%
PRISMA Capital$372,091,635 45.60%
Scopia$347,842 0.04%
SRS Partners US$7,826,313 0.96%
Tide Point Partners$17,257,468 2.11%
Tricadia Select$4,807,784 0.59%
Tourbillon Global Equity$15,763,468 1.93%
Systematica Blue Matrix$12,447,296 1.53%
Senator LP$16,012,396 1.96%
Prudential Fund I$15,980,571 1.96%
Pine River$1,399,249 0.17%
PAAMCO$870,903 0.11%
Luxor Capital$14,881,266 1.82%
Libremax Capital$199,383 0.02%
Knighthead$7,004,707 0.86%
Gotham Neutral Strategies$13,128,577 1.61%
Glenview Institution$376,514 0.05%
Credit Suisse$29,987,191 3.67%
Coatue Qualified Partners$20,817,230 2.55%
Blackstone Strat Opp$7,777,288 0.95%
BlackRock GAO$28,944,994 3.55%
94
W i l s h i r e C o n s u l t i n g
PERFORMANCE COMPARISONTrailing ReturnsPeriods Ended December 31, 2017
© 2018 Wilshire Associates Inc.
Quarter 2 Quarters 3 Quarters 1 Year 3 Years 5 Years 10 Years Incept Date Incept Ret
Anchorage Capital
Net of Fee Return
BAAM
Net of Fee Return
BlackRock GAO
Net of Fee Return
Blackstone Strat Opp
Net of Fee Return
Coatue Qualified Partners
Net of Fee Return
Credit Suisse
Net of Fee Return
Davidson Kempner LP
Net of Fee Return
DSAM Fund LP
Net of Fee Return
Glenview Institution
Net of Fee Return
Gotham Neutral Strategies
Net of Fee Return
3.15
0.00
-0.69
1.31
0.63
1.54
0.79
0.00
0.00
-0.10
4.75
0.08
1.37
7.08
3.54
2.25
0.00
0.00
-0.58
4.00
1.05
1.91
15.12
4.31
0.45
-0.06
-4.62
7.50
1.17
5.55
25.75
6.44
4.47
9.69
2.63 5.42
9/30/16
9/30/11
9/30/16
9/30/17
6/30/15
6/30/17
3/31/16
6/30/16
12/31/15
3/31/17
7.26
5.62
-0.19
1.31
14.01
3.54
7.84
1.76
3.01
-4.62
95
W i l s h i r e C o n s u l t i n g
PERFORMANCE COMPARISONTrailing ReturnsPeriods Ended December 31, 2017
© 2018 Wilshire Associates Inc.
Quarter 2 Quarters 3 Quarters 1 Year 3 Years 5 Years 10 Years Incept Date Incept Ret
Governors Lane Onshore
Net of Fee Return
HBK II
Net of Fee Return
Karya Fund LLC
Net of Fee Return
Knighthead
Net of Fee Return
Libremax Capital
Net of Fee Return
Liquidalts H20 Force
Net of Fee Return
Luxor Capital
Net of Fee Return
Myriad Opportunities
Net of Fee Return
PAAMCO
Net of Fee Return
Pershing Square
Net of Fee Return
-1.70
2.09
9.45
1.06
0.00
-1.80
5.38
3.52
-15.94
1.37
-0.29
2.54
12.10
2.45
0.00
0.50
10.17
8.65
-15.94
2.44
3.65
12.18
3.22
-0.04
3.53
13.27
13.73
-15.94
5.27
5.76
1.16
2.67
25.36
14.61
-15.94
3.02
1.00
1.17
1.74
-6.84 -0.69
3/31/17
12/31/13
3/31/17
12/31/13
9/30/14
9/30/16
3/31/14
6/30/16
9/30/11
9/30/17
2.44
3.24
12.18
2.13
1.41
7.69
-0.21
12.27
0.27
1.37
96
W i l s h i r e C o n s u l t i n g
PERFORMANCE COMPARISONTrailing ReturnsPeriods Ended December 31, 2017
© 2018 Wilshire Associates Inc.
Quarter 2 Quarters 3 Quarters 1 Year 3 Years 5 Years 10 Years Incept Date Incept Ret
Pine River
Net of Fee Return
PRISMA Capital
Net of Fee Return
Prudential Fund I
Net of Fee Return
Scopia
Net of Fee Return
SRS Partners US
Net of Fee Return
Senator LP
Net of Fee Return
Systematica Blue Matrix
Net of Fee Return
Tide Point Partners
Net of Fee Return
Tourbillon Global Equity
Net of Fee Return
Tricadia Select
Net of Fee Return
-0.51
1.20
-0.03
0.02
3.00
2.62
0.76
7.67
-9.11
-4.00
0.84
2.95
0.99
5.80
6.39
6.47
10.14
-10.20
0.11
3.14
4.26
3.90
9.93
5.28
1.15
-11.73
-0.36
4.20
3.00
13.62
-12.54
0.12
1.93
-0.23
3.73
6/30/14
9/30/11
3/31/17
12/31/14
9/30/17
9/30/16
3/31/17
3/31/17
12/31/15
9/30/17
0.58
3.74
4.26
-0.23
3.00
10.65
5.28
1.15
-11.16
-4.00
97
W i l s h i r e C o n s u l t i n g
PERFORMANCE COMPARISONTrailing ReturnsPeriods Ended December 31, 2017
© 2018 Wilshire Associates Inc.
Quarter 2 Quarters 3 Quarters 1 Year 3 Years 5 Years 10 Years Incept Date Incept Ret
Absolute Return Composite
Net of Fee Return
HFRI FOF Div (1 Month Lag)
Value Added
1.31
1.41
-0.11
3.33
3.27
0.06
3.79
4.20
-0.41
5.37
7.07
-1.70
2.25
2.11
0.14
4.66
3.90
0.76
3/31/10
3/31/10
3/31/10
4.14
3.00
1.14
98
W i l s h i r e C o n s u l t i n g
CUSTOM BENCHMARK SPECIFICATIONAbsolute Return CompositeDecember 31, 2017
© 2018 Wilshire Associates Inc.
Quarter Start Quarter End Percent Description
HFRI FOF Div (1 Month Lag) 6/10 12/17 100.00 HFRI FOF Div (1 Month Lag)
99