Full Investment Report - Idaho...have signaled that supportive central bank policies will remain in...
Transcript of Full Investment Report - Idaho...have signaled that supportive central bank policies will remain in...
![Page 1: Full Investment Report - Idaho...have signaled that supportive central bank policies will remain in place for the foreseeable future. As a result, so far in January US equities (R3000)](https://reader033.fdocuments.net/reader033/viewer/2022041806/5e547891e691e8713a634852/html5/thumbnails/1.jpg)
PERSI INVESTMENT REPORTMonth to Date Report
CURRENT VALUE OF THE FUNDFISCAL YEAR NET CHANGE IN ASSETSFISCAL YEAR TO DATE RETURNS 9.1%MONTH TO DATE RETURNS 2.7%
Month Returns Fiscal Year Returns 25 Year Returns
2.7% 9.1% 8.6%3.1% 11.1% 8.4%
3.9% 12.2% 10.1%5.2% 16.0% 10.2%
4.0% 11.1% 9.5%3.9% 13.0% 8.0%
2.8% 6.7% 7.0%1.3% 6.3% 5.7%
0.0% 4.9% 6.1%0.1% 4.5% 5.5%
Global EquityGlobal EquityMSCI World
Foreign Equity
Fixed Income
MSCI EAFE
Aggregate AggregateFixed Income
Aggregate
MSCI World
Foreign EquityMSCI EAFE
Fixed Income
Total Fund55-15-30
MSCI World
MSCI EAFE
Global Equity
Foreign Equity
February 19, 2020
20,016,035,083$
Total Fund
1,496,627,029$
Total Fund
U.S EquityR3000
U.S EquityR3000
55-15-30 55-15-30
U.S EquityR3000
R3000 26%
REITs4%
PR5%
PE6%Glbl
17%
EAFE7%
Em. Mkt8%
Agg14%
Id M4%
TIPS9%
Benchmark Allocations
16.0%
11.6%
4.4% 5.1%
11.1%
6.3% 7.0%
4.5% 4.7% 4.4%
0%2%4%6%8%
10%12%14%16%18%
Fund Returns - Fiscal Year To Date
-2.0%
0.2%
-0.7%
0.1%
0.0%
0.0%
-0.2%-0.5% -0.6%
-0.1% 0.0%
0.1% 0.3%
-2.5%-2.0%-1.5%-1.0%-0.5%0.0%0.5%
Portfolio Impact vs 55-15-30 Policy - FYTD
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Page 2INVESTMENT REPORTFebruary 19, 2020
5.1%
4.4%
4.9%
4.7%
3.1%
4.4%
5.2%
7.0%
5.4%
6.0%
5.3%
10.5%
6.2%
6.2%
12.6%
13.0%
8.7%
6.8%
13.3%
10.7%
9.5%
12.6%
8.4%
11.3%
22.8%
17.2%
0% 10% 20% 30%
Private Equity
Private Real Estate
Idaho Mortgages
Clearwater
DBF MBS
State Street TIPS
State StreetGov/Corp
Western
IR+M
Mellon Emg
Bernstein Emg.
Genesis
Mondrian
Country Index
Walter Scott
Longview
Bernstein
Brandes
Fiera
BLS
Mellon REIT
Adelante
D. Smith
Mountain Pacific
Peregrine
Mellon R3000
Fiscal Year to Date Returns
-10.9%
0.3%
1.9%
0.2%
0.1%
0.3%
0.1%
2.5%
0.3%
-0.4%
-1.0%
4.2%
-0.1%
-0.1%
-0.4%
-0.1%
-4.3%
-6.2%
0.3%
-2.3%
0.0%
3.1%
-1.6%
1.3%
4.1%
1.2%
-15% -10% -5% 0% 5%
Private Equity
Private Real Estate
Idaho Mortgages
Clearwater
DBF MBS
State Street TIPS
State Street Gov/Corp
Western
IR+M
Mellon Emg
Bernstein Emg.
Genesis
Mondrian
Country Index
Walter Scott
Longview
Bernstein
Brandes
Fiera
BLS
Mellon REIT
Adelante
D. Smith
Mountain Pacific
Peregrine
Mellon R3000
FYTD Returns vs. Benchmarks
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Page 3February 19, 2020 INVESTMENT REPORTCIOComment
Although the capital markets are still uncertain about the ultimate impact of the coronavirus, February so far has seen the return of the capital markets’ advance and new PERSI highs. For the month to date PERSI has gained +2.7% which has increased the fiscal year gain to +9.1% at $20.016 billion. The sick leave fund is up +11.4% for the fiscal year to date at $635 million.
This was driven in large part by signs of an improving global economy, better corporate earnings, the trade war with China entered a period of truce with a “Phase 1” accord signed on January 15, a new North American trade pact, Brexit heading toward a resolution, and central banks signaling that supportive central bank policies will remain in place for the foreseeable future (which the uncertainty surrounding the potential pandemic reinforcing those sentiments). Traditionally market drops from pandemic fears in the past have been relatively short‐lived (weeks not months). On the other hand, the mood of an improving global economy and corporate earnings still remains largely one of expectations, with China struggling with quarantines and Europe (and particularly Germany) fighting off recession. The US equity market continues to be, by far, the best performing capital market in the world.
As a result, in February so far US equities (R3000) are up +5.2% for a fiscal year to date return of +16.0%, international developed markets (MSCI EAFE) have risen +1.3% for a FYTD gain of +6.3%, global developed market equities (MSCI World) have advanced +3.9% for a +13.0% fiscal year gain, and investment grade bonds (BB Aggregate) are up +0.1% to raise the fiscal year gain to +4.5%. Emerging markets (MSCI Emerging) have recovered +3.9% for a FYTD gain of +6.3%, REITs (DJ Select REIT) reversed recent losses to add +3.3% for a fiscal year gain of +9.5%, while TIPS are down ‐0.2% for a gain of +4.1% for the fiscal year. Private real estate is up +4.4% and private equity is up +5.1% for the fiscal year.
For the fiscal year to date Peregrine has the best absolute return at +22.8% and Genesis has the best relative return to benchmark at +10.5%, which is +4.2% above their emerging market benchmark. Bernstein Emerging has the lowest equity return thus far at +5.3%, while Brandes has the worst relative return at +6.8%, which is ‐6.2% behind their global equity benchmark. The fund as a whole is behind the 55% US equity, 15% EAFE, and 30% US Bond reference benchmark by ‐2.0%, due primarily to the relative outperformance of the Russell 3000 compared to other assets.
4.1%5.3%
3.0%
6.8%
3.9%5.1% 4.5%
6.3%
4.7%
7.2%6.3%
13.0%
9.5%
5.6%
12.2%
9.0%
7.3%
14.9%
11.7%
10.0%
14.1%
18.7%
16.5%16.0%
0%
2%
4%
6%
8%
10%
12%
14%
16%
18%
20%
FYTD Benchmark Returns
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Current Month One Year Three Years %TOTAL FUND 2.7% 14.6% 10.3% 20,016,035,083$
US EQUITY 3.9% 18.5% 14.0% 8,194,868,291$ 40.9%Mellon SP500 5.1% 25.0% 15.8% 2,613,391,023$ 13.1%
Mellon Mid/Small 5.7% 10.4% 7.3% 497,997,084$ 2.5%Peregrine 7.6% 35.0% 28.3% 853,152,517$ 4.3%Mtn. Pac. 3.9% 18.8% 13.1% 719,507,010$ 3.6%D. Smith 6.2% 12.6% 7.6% 493,649,133$ 2.5%Adelante 3.7% 19.4% 11.3% 632,257,227$ 3.2%
Mellon REIT 3.3% 13.6% 268,560,293$ 1.3%Private Realty 0.0% 7.4% 10.6% 944,760,257$ 4.7%Private Equity 0.8% 10.6% 14.6% 1,171,593,747$ 5.9%
GLOBAL EQUITY 4.0% 16.5% 13.6% 3,464,857,629$ 17.3%BLS 5.7% 19.7% 682,461,325$ 3.4%
Fiera 3.7% 24.2% 644,292,171$ 3.2%Bernstein 2.7% 8.8% 4.4% 456,795,107$ 2.3%
Brandes 2.9% 6.1% 6.1% 473,941,868$ 2.4%Longview 3.5% 15.0% 12.9% 570,122,033$ 2.8%
Walter Scott 4.5% 22.0% 637,245,125$ 3.2%
INT. EQUITY 2.8% 9.7% 8.1% 2,916,765,698$ 14.6%Mellon EAFE 1.3% 11.1% 7.9% 793,987,116$ 4.0%
Mondrian 1.8% 8.4% 7.3% 516,036,305$ 2.6%Mellon Emerging 3.9% 7.5% 777,733,709$ 3.9%
Bernstein Emg 4.2% 7.6% 5.1% 386,174,787$ 1.9%Genesis 3.7% 14.7% 12.2% 442,833,782$ 2.2%
FIXED INCOME 0.0% 10.5% 4.6% 5,439,543,465$ 27.2%SSGA Gov/Credit 0.0% 11.3% 4.9% 1,963,299,070$ 9.8%
IR+M 0.1% 230,834,224$ 1.2%Western 0.6% 13.0% 6.5% 323,112,617$ 1.6%
DBF MBS 0.1% 6.4% 3.3% 97,014,953$ 0.5%Clearwater 0.1% 10.1% 4.6% 228,049,625$ 1.1%Idaho Mort 0.0% 10.9% 5.8% 851,517,255$ 4.3%SSGA TIPS -0.2% 9.5% 3.7% 1,704,053,454$ 8.5%
Cash and Other 41,662,267$ 0.2%
STRATEGIC SHIFTS FROM 55-15-30 POLICY BENCHMARK Global vs R3000 -0.22% -0.9% -0.2% 3,464,857,629$ 17.3%REITS vs R3000 -0.08% -0.2% -0.2% 900,817,520$ 4.5%Emg. Mkts. Vs EAFE 0.20% -0.1% 0.1% 1,606,742,277$ 8.0%TIPS vs Leh Agg -0.02% 0.0% -0.1% 1,704,053,454$ 8.5%Idaho Mort. vs Agg 0.00% 0.0% 0.1% 851,517,255$ 4.3%Private Equity vs R3000 -0.26% -0.7% 0.0% 1,171,593,747$ 5.9%Private Realty vs R3000 -0.25% -0.7% -0.2% 944,760,257$ 4.7%Currency Overlay 0.00% 0.0% 0.0% 655,011,710$ 3.3%Active US Only 0.07% 0.1% 0.2% 2,066,308,660$ 10.3%Active EAFE 0.01% 0.0% 0.0% 516,036,305$ 2.6%Other Bond 0.01% 0.2% 0.0% 2,842,310,489$ 14.2%
Total -0.42% -2.4% -0.3% 16,068,997,593$ 80.3%
February 19, 2020 INVESTMENT REPORT
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Month 3 MO FYTD 1 Yr 2 Yr 3 Yr 4 Yr 5 Yr
Total Fund 2.7% 4.3% 9.1% 14.6% 9.1% 10.3% 11.6% 8.0%No rebalancing 3.1% 5.4% 11.1% 16.9% 9.7% 10.4% 12.1% 8.1%Benchmark (55-15-30) 3.1% 5.4% 11.1% 17.0% 9.8% 10.5% 12.1% 8.3%
PERSI rebalancing 3.2% 5.6% 11.3% 17.1% 9.7% 10.6% 12.3% 8.4%
U.S. Equity 3.9% 5.2% 12.2% 18.5% 13.9% 14.0% 15.5% 11.5%
R3000 Index 5.2% 8.1% 16.0% 22.5% 13.4% 14.4% 17.2% 11.7%
Global Equity 4.0% 5.3% 11.1% 16.5% 9.5% 13.6% 15.8% 9.7%
3.9% 6.4% 13.0% 19.0% 9.4% 12.2% 14.5% 9.0%
Int. Equity 2.8% 4.4% 6.7% 9.7% 0.8% 8.1% 11.8% 4.8%1.3% 2.5% 6.3% 10.6% 2.2% 8.0% 10.0% 4.6%
Fixed Income 0.0% 2.3% 4.9% 10.5% 6.7% 4.6% 4.1% 3.5%
0.1% 1.9% 4.5% 9.8% 6.4% 4.4% 3.7% 3.2%
Ending Value
BB Agg
$20,016,035,083
World Index
MSCI EAFE
$20,016,035,083
Investment Gain
Net Contributions
February 19, 2020
Fiscal Year to Date
$521,461,668
Beginning Value
Latest Month
$1,676,075,231
$13,944,566 ($179,448,201)
$19,480,628,849 $18,519,408,054
2.7%
4.3%
2.2%
9.1%
14.6%
9.1%
10.3%
11.6%
8.0% 8.2%8.7% 8.8%
7.4%
6.5%
8.6% 8.4% 8.7%
0%
2%
4%
6%
8%
10%
12%
14%
16%CUMULATIVE RETURNS
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Month 3 MO FYTD 1 Yr 2 Yr 3 Yr 4 Yr 5 Yr
U.S./Global Equity Managers
Mellon S&P 500 Fund 5.1% 8.3% 17.5% 25.0% 14.8% 15.8% 18.1% 13.0%Mellon Mid and Small 5.7% 6.2% 8.1% 10.4% 6.5% 7.3% 12.0% 5.2%
Peregrine 7.6% 12.3% 22.8% 35.0% 25.1% 28.3% 28.2% 21.4%
S&P 500 Growth 6.4% 12.0% 18.7% 27.5% 16.5% 19.2% 19.8% 14.5%
S&P 500 5.1% 8.3% 16.5% 24.0% 13.9% 15.0% 17.4% 12.2%
Mtn. Pacific 3.9% 6.3% 11.3% 18.8% 12.3% 13.1% 16.5% 12.4%
D. Smith 6.2% -0.1% 8.4% 12.6% 3.5% 7.6% 12.4% 6.0%
Russell 2500 4.8% 4.8% 10.0% 12.3% 9.3% 9.9% 15.0% 8.7%
BLS 5.7% 7.6% 10.7% 19.7% 14.1%
Fiera 3.7% 6.4% 13.3% 24.2% 15.4%Bernstein Global 2.7% 3.1% 8.7% 8.8% -1.5% 4.4% 9.4% 3.8%
Brandes 2.9% 2.7% 6.8% 6.1% 1.6% 6.1% 10.0% 4.5%
Longview 3.5% 3.2% 13.0% 15.0% 10.1% 12.9% 14.7% 10.2%
Walter Scott 4.5% 7.1% 12.6% 22.0% 15.2%
R3000 5.2% 8.1% 16.0% 22.5% 13.4% 14.4% 17.2% 11.7%World Index 3.9% 6.4% 13.0% 19.0% 9.4% 12.2% 14.5% 9.0%
Private Equity 0.8% -0.1% 5.1% 10.6% 14.3% 14.6% 11.9% 10.6%
R3000 5.2% 8.1% 16.0% 22.5% 13.4% 14.4% 17.2% 11.7%
Adelante 3.7% 3.4% 12.6% 19.4% 19.2% 11.3% 12.0% 9.2%Mellon REIT 3.3% 2.8% 9.5% 13.6% 17.2% 7.1% 8.9% 6.3%Real Estate 1.7% 2.2% 7.9% 12.3% 13.9% 9.9% 10.6% 9.6%
NCREIF 0.5% 1.5% 4.1% 6.4% 6.6% 6.7% 7.2% 8.4%
DJ Select REIT 3.3% 2.8% 9.5% 13.5% 17.2% 7.3% 9.2% 6.6%
International Equity Managers
Index Fund 1.3% 2.5% 6.2% 11.1% 2.4% 7.9% 10.0% 4.5%
Mondrian 1.8% 2.4% 6.2% 8.4% 2.2% 7.3% 9.3% 4.1%
International Index 1.3% 2.5% 6.3% 10.6% 2.2% 8.0% 10.0% 4.6%
Bernstein Em. Mkt 4.2% 5.3% 5.3% 7.6% -3.1% 5.1% 11.8% 4.0%
Genesis Em. Mkts 3.7% 6.2% 10.5% 14.7% 4.0% 12.2% 15.8% 7.2%
Mellon Emerging 3.9% 6.4% 6.0% 7.5% -1.4% 8.1% 13.1% 4.6%
Emerging Mkts 3.9% 6.5% 6.3% 7.9% -1.3% 8.5% 13.5% 5.0%
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Month 3 MO FYTD 1 Yr 2 Yr 3 Yr 4 Yr 5 Yr
Fixed Income Managers
IR+M 0.1% 2.4% 5.4% 11.6% 7.3%Western 0.6% 3.2% 7.0% 13.0% 7.8% 6.5% 6.3% 5.2%
Clearwater (12/13) 0.1% 2.1% 4.7% 10.1% 6.6% 4.6% 4.2% 3.5%Aggregate Index 0.1% 1.9% 4.5% 9.8% 6.4% 4.4% 3.7% 3.2%
DBF MBS 0.1% 1.2% 3.1% 6.4% 5.0% 3.3% 2.5% 2.4%
Mortgage Index 0.2% 1.1% 3.0% 6.5% 5.0% 3.4% 2.7% 2.6%
Idaho Mort. 0.0% 2.2% 4.9% 10.9% 8.4% 5.8% 4.4% 4.7%
Gov/Credit Fund 0.0% 2.3% 5.2% 11.3% 7.1% 4.9% 4.1% 3.5%
Gov/Credit Index 0.0% 2.2% 5.1% 11.1% 7.0% 4.8% 4.1% 3.5%
TIPS -0.2% 2.5% 4.4% 9.5% 5.6% 3.7% 3.6% 2.7%
TIPS Index -0.2% 2.3% 4.1% 9.1% 5.4% 3.5% 3.5% 2.6%
PRIVATE EQUITYMonth 3 MO FYTD 1 Yr 2 Yr 3 Yr 4 Yr 5 Yr
Private Real Estate 0.0% 1.3% 4.4% 7.4% 9.0% 10.6% 10.5% 11.6%
NCREIF 0.5% 1.5% 4.1% 6.4% 6.6% 6.7% 7.2% 8.4%
Private Equity 0.8% -0.1% 5.1% 10.6% 14.3% 14.6% 11.9% 10.6%
Russell 3000 5.2% 8.1% 16.0% 22.5% 13.4% 14.4% 17.2% 11.7%
IMPACT OF POLICIES AND ACTIVE MANAGEMENT ON TOTAL FUND RETURNSMonth FYTD 1 Yr 2 Yr 3 Yr 5 Yr 7 Yr 10 Yr
Base 55-15-30 Return 3.10% 11.1% 17.0% 9.8% 10.5% 8.3% 9.7% 10.0%
PERSI vs 55-15-30 ( + / - ) -0.42% -2.0% -2.4% -0.7% -0.3% -0.3% -1.0% -1.2%
Actual Rebalance 0.13% 0.2% 0.1% 0.0% 0.0% 0.1% 0.3% 0.1%
Global vs R3000 -0.22% -0.7% -0.9% -0.6% -0.2% -0.3% -0.5% -0.6%
REITS vs R3000 -0.08% -0.2% -0.2% 0.2% -0.2% -0.2% -0.1% 0.0%
Emerging Mkts vs EAFE 0.20% 0.1% -0.1% -0.2% 0.1% 0.0% -0.2% -0.1%
TIPS vs Leh Agg -0.02% 0.0% 0.0% -0.1% -0.1% -0.1% -0.2% 0.1%
Idaho Mortgages vs Agg 0.00% 0.0% 0.0% 0.1% 0.1% 0.0% 0.0% 0.0%
Private Equity vs. R3000 -0.26% -0.6% -0.7% 0.0% 0.0% -0.1% -0.2% -0.2%
Private Realty vs R3000 -0.25% -0.5% -0.7% -0.2% -0.2% -0.1% -0.2% -0.5%
Currency Overlay 0.00% 0.0% 0.0% 0.0% 0.0% 0.0% 0.0% 0.0%
Active US Only 0.07% -0.1% 0.1% 0.1% 0.2% 0.2% 0.1% 0.0%
Active EAFE 0.01% 0.0% 0.0% 0.0% 0.0% 0.0% 0.0% -0.1%
Other Bond 0.01% 0.1% 0.2% 0.1% 0.0% 0.0% 0.0% 0.0%
Interactive and Other 0.00% -0.2% -0.3% 0.0% 0.0% 0.0% 0.1% 0.1%
MJ Managers 0.09% -0.07% -0.14% -0.08% -0.11% -0.07% 0.00% -0.10%
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ACCOUNT AMOUNT ALLOCATION
U.S./GLOBAL EQUITY 11,659,725,920$ 58.3%
LARGE CAP $3,466,543,540 17.3%
Mellon S&P 500 $2,613,391,023 13.1%
Peregrine $853,152,517 4.3%
SMALL CAP $1,711,153,227 8.5%
Mellon Midcap $301,275,761 1.5%
Mellon R2000 $196,721,323 1.0%
Mountain Pacific $719,507,010 3.6%
D. Smith $493,649,133 2.5%
GLOBAL $3,464,857,629 17.3%
Bernstein Gl. $456,795,107 2.3%
BLS $682,461,325 3.4%
Brandes $473,941,868 2.4%
Fiera $644,292,171 3.2%
Longview $570,122,033 2.8%
Walter Scott $637,245,125 3.2%
PRIVATE EQUITY 1,171,593,747$ 5.9%
REAL ESTATE $1,845,577,776 9.2%
Private Real Estate $944,760,257 4.7%
Adelante $632,257,227 3.2%
Mellon REIT $268,560,293 1.3%
INTERNATIONAL EQUITY $2,916,765,698 14.6%Mellon EAFE $793,987,116 4.0%
Mondrian $516,036,305 2.6%
Genesis $442,833,782 2.2%
Bernstein Emg. $386,174,787 1.9%
Mellon Emerging $777,733,709 3.9%
FIXED INCOME $5,397,881,198 27.0%
State Street $1,963,299,070 9.8%
IR+M $230,834,224 1.2%
Western $323,112,617 1.6%
DBF MBS $97,014,953 0.5%
Idaho Mortgage $851,517,255 4.3%
Clearwater $228,049,625 1.1%
TIPS $1,704,053,454 8.5%
CASH AND OTHER 41,662,267$ 0.2%
TOTAL 20,016,035,083$
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US Public Equity25.9%
REITs4.5%
Private Real Estate4.7%
Private Equity5.9%
Global Equity17.3%
EAFE6.5%
Emerging8.0%
Id. Mort4.3%
TIPS8.5%
Fixed14.2%
Cash0.2%
TOTAL FUND ALLOCATIONSBy Manager Benchmark
US Public Equity32.2%
REITS4.5%
Private Real Estate4.8%
Private Equity5.8%
EAFE16.1%
Emerging7.9%
Id. Mort4.3%
TIPS8.6%
Fixed Income14.5%
Cash1.3%
PERSI ALLOCATIONSAs Invested
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s
$9.08
$13.28
$4.21
$5.50
$0.90
$2.90
$4.90
$6.90
$8.90
$10.90
$12.90
$14.90
D-9
2J-9
3D
-93
J-9
4D
-94
J-9
5D
-95
J-9
6D
-96
J-9
7D
-97
J-9
8D
-98
J-9
9D
-99
J-0
0D
-00
J-0
1D
-01
J-0
2D
-02
J-0
3D
-03
J-0
4D
-04
J-0
5D
-05
J-0
6D
-06
J-0
7D
-07
J-0
8D
-08
J-0
9D
-09
J-1
0D
-10
J-1
1D
-11
J-1
2D
-12
J-1
3D
-13
J-1
4D
-14
J-1
5D
-15
J-1
6D
-16
J-1
7D
-17
J-1
8D
-18
J-1
9D
-19
CUMULATIVE PERSI RETURN VS. BENCHMARKSGrowth of $1 starting January 1993
PERSI R3000 U.S. Bonds Int. Equities
2.2%
0.4%
-2.5%
-2.0%
-1.5%
-1.0%
-0.5%
0.0%
0.5%
1.0%
1.5%
2.0%
2.5%
-8%
-6%
-4%
-2%
0%
2%
4%
6%
Excess R
etu
rn
PE
RS
I
Recent Cumulative Returns and Excess Return to Benchmark
PERSI Excess
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9.1%8.4%8.7%
12.7%
1.8%3.0%
17.2%
9.1%
1.6%
20.7%
12.4%
-16.0%
-4.3%
20.0%
12.3%10.9%
18.1%
3.7%
-7.1%-6.1%
13.2%11.6%
17.6%19.6%
-20%
-15%
-10%
-5%
0%
5%
10%
15%
20%
25%
FY
2020
FY
2019
FY
2018
FY
2017
FY
2016
FY
2015
FY
2014
FY
2013
FY
2012
FY
2011
FY
2010
FY
2009
FY
2008
FY
2007
FY
2006
FY
2005
FY
2004
FY
2003
FY
2002
FY
2001
FY
2000
FY
1999
FY
1998
FY
1997
FISCAL YEAR RETURNS
2.7%
4.3%
2.2%
9.1%
14.6%
9.1%
10.3%
11.6%
8.0% 8.2%8.7% 8.8%
7.4%6.5%
8.6% 8.4% 8.7%
0%
2%
4%
6%
8%
10%
12%
14%
16%CUMULATIVE RETURNS
-0.5%
20.4%
-3.0%
17.1%
7.9%
0.3%
7.4%
12.8%12.5%
0.2%
10.8%
23.1%
-25.3%
10.4%
15.9%
9.0%
12.7%
25.6%
-9.5%-6.6%
-0.3%
19.7%
14.7%
-30%
-20%
-10%
0%
10%
20%
30%
2020
2019
2018
2017
2016
2015
2014
2013
2012
2011
2010
2009
2008
2007
2006
2005
2004
2003
2002
2001
2000
1999
1998
Calendar Year Returns
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Peregrine4.1%22.8%
Mtn Pac1.3%
11.3%
Longview-0.1%13.0%
DSmith-7.6%8.4%
BLS-2.3%10.7%
Bern Gl-4.3%8.7%
Mondrian-0.1%6.2%
Genesis4.2%10.5%
Bern Emg-1.0%5.3%
Priv Eq-10.9%5.1% Priv Real
0.3%4.4%
Adelante3.1%12.6%
IR&M0.9%5.4%
Western2.5%7.0%
DBF MBS0.1%3.1%
Clear1.7%4.7%
PERSI-2.0%9.1%
Fiera0.3%
13.3%
TIPS0.3%4.4%
Brandes-6.2%6.8%
-5.0%
0.0%
5.0%
10.0%
15.0%
20.0%
25.0%
-12.0% -10.0% -8.0% -6.0% -4.0% -2.0% 0.0% 2.0% 4.0% 6.0%
Retu
rn
Excess Return to Benchmark
Fiscal Year to Date ReturnsBubble Size related to Portfolio Size
Excess Return is first numberTotal Return is second number
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WS4.9
$176,313
Peregrine8.9
$259,194
Mtn Pac3.5
$24,346
Longview2.4
$68,794
DSmith0.8
$17,222
BLS4.9
$75,567
Bern Gl1.7
$73,800
Mondrian1.2
$59,277
Genesis2.8
$88,276
Bern Emg1.1
$62,968
R30003.4
$264,828
Weighted2.7
$184,844
EAFE1.7
$67,060
PERSI2.4
$136,890
Fiera7.4
$155,126
Brandes1.2
$89,243
Emerging1.6
$95,159
-$50,000
$0
$50,000
$100,000
$150,000
$200,000
$250,000
$300,000
0.0 1.0 2.0 3.0 4.0 5.0 6.0 7.0 8.0 9.0 10.0
Ma
rke
t C
ap
ita
liza
tio
n
Price Book
Equity Characteristics (Median)Bubble Size related to Portfolio Size
Price Book Ratio is first numberMkt Cap is second number
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Total Top 40 35.8% 7,100,567,526$
TOTAL FUNDISSUE NAME %
US TREAS-CPI INFLAT 8.6% 1,706,281,133$
U S TREASURY NOTE 4.7% 929,506,521$
IDAHO MORTGAGES-FSB 4.3% 850,177,387$
U S TREASURY BOND 1.5% 299,624,448$
PERSI STIF 1.3% 259,426,280$
MICROSOFT CORP 0.9% 169,126,356$
AMAZON.COM INC 0.8% 150,121,398$
KOLL-PERS LLC 0.7% 138,270,986$
APPLE INC 0.7% 137,660,260$
MASTERCARD INC 0.7% 131,210,401$
IDA INVESTPORT- SPRING STREET 0.6% 119,233,228$
TAIWAN SEMICONDUCTOR MANUFACTU 0.5% 106,187,099$
SAMSUNG ELECTRONICS CO LTD 0.5% 103,951,493$
WELLS FARGO & CO 0.5% 100,507,617$
ALPHABET INC-CL A 0.5% 96,529,914$
NOVO NORDISK A/S 0.5% 96,442,873$
VISA INC 0.5% 92,356,859$
ALIBABA GROUP HOLDING LTD 0.5% 91,343,545$
PROLOGIS INC 0.4% 86,842,368$
FACEBOOK INC 0.4% 86,641,849$
ADOBE INC 0.4% 85,594,991$
ALPHABET INC-CL C 0.4% 82,547,829$
CITIGROUP INC 0.4% 80,214,054$
ORACLE CORP 0.4% 77,198,138$
JOHNSON & JOHNSON 0.4% 73,371,369$
PRUDENTIAL CONTRACT 9586 PRISA 0.4% 71,944,738$
BANK OF AMERICA CORP 0.4% 71,934,994$
MOODY'S CORP 0.4% 70,097,703$
INTERCONTINENTAL HOTELS GROUP 0.3% 65,926,691$
VERITAS CAPITAL FUND VI 0.3% 64,857,080$
NIKE INC 0.3% 63,348,604$
IDA INVESTPORT-SOLERO PLN 0.3% 62,703,516$
FIDELITY NATIONAL INFORMATION 0.3% 62,597,559$
AMERICAN INTERNATIONAL GROUP I 0.3% 60,284,495$
VERITAS CAPITAL FUND V 0.3% 60,283,209$
SANOFI 0.3% 60,156,355$
GALAXY ENTERTAINMENT GROUP LTD 0.3% 59,513,152$
ROCHE HOLDING AG 0.3% 59,083,982$
JPMORGAN CHASE & CO 0.3% 58,922,184$
EQUITY RESIDENTIAL 0.3% 58,544,866$
LARGEST HOLDINGS
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Domestic Equity Characteristics (Wgt Median)P/E P/B Yield Mkt Cap 5Y Earn G ROE 5 yr
PERSI 26.3 3.2 1.7% 177,226$ 12.1% 16.7%R3000 25.2 3.4 1.8% 264,828$ 11.6% 18.3%
US Only Active 26.3 2.9 1.4% 207,238$ 12.8% 16.9%
Peregrine 56.1 8.9 0.3% 259,194$ 26.9% 15.0%
Mtn Pacific 25.9 3.5 1.2% 24,346$ 9.2% 19.6%
Donald Smith 14.9 0.8 1.2% 17,222$ 7.7% 5.9%
Adelante 41.6 2.7 3.1% 26,973$ 11.7% 10.5%
Mellon REIT 29.9 2.5 3.7% 20,839$ 10.8% 11.6%
Global Managers US 22.3 3.8 1.6% 142,505$ 10.1% 19.2%
BLS 21.8 5.7 1.6% 108,451$ 12.4% 26.7%
Bernstein 19.6 2.2 2.4% 88,117$ 11.0% 15.0%
Brandes 15.8 1.7 2.5% 136,124$ 6.3% 11.4%
Fiera 27.5 8.1 1.1% 171,322$ 7.2% 18.2%
Longview 18.4 2.8 1.7% 75,534$ 10.2% 19.4%
Walter Scott 31.0 7.8 1.2% 238,332$ 13.3% 22.1%
P/E P/B Dividend Yield Mkt Cap Ern gwth 5Y ROE 5 yr
PERSI 22.3 2.4 2.2% 136,890$ 10.8% 16.3%
World Weighted 22.2 2.7 2.4% 184,844$ 10.4% 16.8%
Global Equity Managers 22.3 2.8 2.2% 109,805$ 8.2% 18.5%
Weighted Indices 21.4 2.5 2.5% 162,615$ 10.1% 16.4%
BLS 21.8 4.9 2.2% 75,567$ 7.8% 21.9%W.I. 20.6 2.3 2.7% 141,207$ 9.8% 16.0%
Bernstein 16.6 1.7 3.0% 73,800$ 10.2% 14.8%W.I. 20.7 2.4 2.7% 144,181$ 9.8% 16.0%
Brandes 16.4 1.2 3.7% 89,243$ 1.4% 9.4%
W.I. 20.7 2.3 2.7% 143,603$ 9.8% 16.0%
Fiera 27.8 7.4 1.4% 155,126$ 8.4% 21.9%
W.I. 22.3 2.7 2.4% 186,906$ 10.5% 16.8%
Longview 24.0 2.4 2.0% 68,794$ 8.8% 17.4%
W.I. 22.3 2.7 2.4% 186,599$ 10.5% 16.8%
Walter Scott 29.5 5.6 1.6% 176,313$ 10.7% 23.3%
W.I. 21.5 2.5 2.5% 166,430$ 10.2% 16.4%
P/E P/B Dividend Yield Mkt Cap Ern gwth 5Y ROE 5 yr
Mellon EAFE 17.8 1.7 3.2% 67,060$ 8.7% 14.6%
Mondrian 17.3 1.2 4.3% 59,277$ 5.6% 10.0%
Genesis 22.1 2.8 1.7% 88,276$ 12.9% 18.9%
Bernstein Emg. 9.9 1.1 3.7% 62,968$ 17.0% 14.1%
Mellon Emerging 14.5 1.6 3.0% 95,159$ 11.9% 16.6%
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Mean Characteristics
SSGA G/C Fx X Mtg,TIPS Western IR+M Clearwater
Coupon Rate 3.16 3.18 4.10 3.48 3.50
Years to Maturity 9.48 10.26 17.76 13.06 7.75
Average Price 109.5 109.2 93.7 110.6 101.4
Moody Qual Code 5 5 7 6 6
Moody Qual Rating Aa2 Aa2 A1 Aa3 Aa3
S&P Qual Code 8 7 7 8 8
S&P Qual Rating A A A A A
DBRS Qual Code 1 1 5 1 1
DBRS Qual Rating AAA AAA A(HIGH) AA(HIGH) AA(HIGH)
Current Yield 3.01 3.03 4.81 3.08 3.23
Yield to Maturity 1.98 1.99 2.93 2.12 2.44
Option Adjusted Duration 6.99 6.79 5.57 6.85 5.55
Modified Duration 7.06 6.90 6.90 6.97 5.73
Option Adjusted Convexity 1.03 0.91 0.44 1.07 0.37
Number of Holdings 3451 3507 1328 175 115
Market Value 1,947,663,404$ 2,041,858,934$ 319,294,845$ 229,063,656$ 226,482,333$
Total Fixed Inc Mgrs SSGA-TIPS DBF MBS PERSI-STIF
Coupon Rate 2.02 0.94 3.57 0.69
Years to Maturity 10.31 8.82 26.30 0.32
Average Price 108.6 108.6 103.7 85.3
Moody Qual Code 4 3 3 6
Moody Qual Rating Aa2 Aaa Aaa A1
S&P Qual Code 7 4 4 7
S&P Qual Rating A AA+ AA+ A
DBRS Qual Code 1 1 2
DBRS Qual Rating AAA AAA - AA
Current Yield 2.30 0.80 3.40 1.37
Yield to Maturity 1.88 1.50 2.21 1.68
Option Adjusted Duration 7.19 8.09 2.62 0.20
Modified Duration 7.36 8.10 3.64 0.22
Option Adjusted Convexity 1.00 1.25 -1.70 0.00
Number of Holdings 5096 43 56 27
Market Value 5,358,583,557$ 1,704,018,831$ 94,195,530$ 341,164,601$
FIXED INCOME PORTFOLIO
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Mean Characteristics
TOTAL CASH 267,848,679$ 1.3%
FIXED INCOME PORTFOLIO
1.4%
0.9%
2.2%
2.8%
0.1%
0.4%
6.7%
2.2%
4.7%
1.5%
0.7%
1.6%
4.7%
0% 1% 2% 3% 4% 5% 6% 7% 8%
Peregrine
Don Smith
Mtn Pac
Adelante
BLS
Fiera
Brandes
Bernstein
Longview
Walter Scott
Mondrian
Genesis
Bern Emg
Active Equity Managers% of Account in Cash
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Private Equity and Real Estate Time Weighted ReturnsMonth 3 MO FYTD 1 Yr 2 Yr 3 Yr 4 Yr 5 Yr
Private Equity 0.8% -0.1% 5.1% 10.6% 14.3% 14.6% 11.9% 10.6%R3000 5.2% 8.1% 16.0% 22.5% 13.4% 14.4% 17.2% 11.7%
IdaWest 26.3% 26.3% 26.3% 12.4% 15.1% 11.1% 8.8%Providence 0.0% 5.7% 10.1% 8.1% 13.9% 11.6% 12.7%
Apollo -0.6% 3.9% -4.9% 0.7% 6.3% 4.3% 3.4%
TPG -0.1% -1.1% -3.4% 2.8% 5.1% 5.5% 7.0% 10.0%
Hwy 12 -12.9% -8.2% 26.2% 19.8% 15.7% 11.8%
Green 0.0% -4.9% 1.4% 22.7% 23.8% 21.3% 18.5%
Frazier 0.0% 0.0% 85.6% 61.3% 41.4% 39.3%
HL Secondary 3.8% 4.0% 6.6% 6.2% 11.1% 11.2% 10.6% 9.3%
Kohlberg -0.5% 13.0% 25.6% 22.5% 20.4% 16.7% 17.8%
HL Coinvest -0.1% 1.4% 1.3% 3.8% 5.8% 8.2% 8.8% 5.4%Blackstone -0.9% -1.1% 0.1% 2.6% 10.4% 11.9% 10.9% 9.2%
Bridgepoint 7.6% 8.1% 7.4% 3.0% 5.5% 13.4% 10.3% 8.7%
CVC 2.1% 2.6% 10.6% 28.7% 18.0% 23.2% 27.2% 26.3%
KKR 5.7% 5.7% 11.0% 24.1% 13.3% 18.6% 17.2% 17.9%
Cerberus 0.5% 0.5% -7.9% -2.7% 4.5% 22.5% 23.1% 20.3%EPIC -0.7% -0.1% -0.6% 15.9% 13.0% 10.1% 15.4%
Advent 0.0% -0.4% 1.3% -3.6% 5.9% 11.0% 12.4% 12.4%
Am. Sec -0.3% -9.4% -15.0% -12.0% -1.4% 1.6% 1.6%
Veritas 0.0% -0.1% 40.2% 73.5% 51.1% 38.1% 33.4% 26.0%
Endeavor 0.0% 13.9% 28.2% 24.3% 15.9% 13.3% 13.9%Lindsay -0.1% -3.4% -3.5% -4.5% 8.2% 11.8% 10.2% 8.5%
Month 3 MO FYTD 1 Yr 2 Yr 3 Yr 4 Yr 5 Yr
Private Real Estate 0.0% 1.3% 4.4% 7.4% 9.0% 10.6% 10.5% 11.6%
NCREIF 0.5% 1.5% 4.1% 6.4% 6.6% 6.7% 7.2% 8.4%
Prudential 0.0% 1.2% 4.1% 5.9% 7.0% 7.0% 7.4% 8.9%
AEW 0.0% 1.3% 4.2% 7.8% 9.4% 9.8% 10.0% 12.9%
Olympic 1.0% 12.5% 5.3% 7.7% 17.3% 16.5% 13.5%
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US EQUITY Index 17.2%
25.9% 15.5% 0.19%
US/Global EQUITY 16.3% Active 15.0%
EQUITY (55%) 0.11% 10.3% -0.08%
(70%) REAL ESTATE REITS 11.6%
11,659,725,920$ US ONLY 9.2% 4.5% -0.18%
14,576,491,618$ 58.3% 40.9% 7.9% Private 4.4%
72.8% -0.71% 4.7% -0.53%
11.8% 12.2% PRIVATE EQUITY
9.2% -1.96% -1.21% 5.9%
-1.88% 5.1%R3000/EAFE R3000 -0.61%
13.9% 16.0% GLOBAL
17.3% Active
11.1%
TOTAL -0.75%
20,016,035,083$ INTERNATIONAL EAFE EAFE Index 6.2%
(15%) 6.3% 6.5% 4.0% 0.00%
9.1% 6.2% Active 6.2%
-1.98% 2,916,765,698$ -0.01% 2.6% 0.00%
55-15-30 14.6% Hedge 0.00%
11.1% EMERGING Index 6.0%
6.7% 8.0% 3.9% -0.01%
0.07% 7.0% Active 8.1%
0.08% 4.1% 0.09%
US FIXED Aggregate AGGREGATE G/C Index 5.2%
FIXED (30%) 4.5% 14.4% 10.0% 0.07%
(30%) 5.2% Active 5.9%
5,439,543,465$ 0.10% 3.9% 0.04%
5,439,543,465$ 27.2% MBS 3.1%
27.2% 0.5% -0.01%
4.9% TIPS Index 4.4%
4.9% 0.10% 8.5% 8.5% -0.01%
0.10% 4.4% Active 0.0%
Aggregate -0.01% 0.00%
4.5% ID MORT
% of portfolio 4.3%
Rebalance FYTD Return 4.9%
0.19% Impact on excess rtn 0.02%
Interactive to general benchmark CASH
-0.19% 0.2%
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70/30 US Bias Policy Drift Actual Active
Return 10.65% 11.27% 8.56% 9.12% 9.10%
Impact -1.55% 0.63% -2.72% 0.56% -0.02% 0.28%
World70%
Agg30%
R25008.3%
SP50039.2%
EAFE7.5%
World15.0%
Agg30.0%
U.S. BIAS (55/15/30)- 55% World+ 7.5% EAFE+ 8.3% R2500
BASE70% World Equities
30% U.S. Bonds
4.1%
4.9%
5.1%
13.0%
6.3%
6.3%
9.5%
4.4%
5.1%
16.5%
10.0%
0% 5% 10% 15% 20%
TIPS
Id. Mtg
Agg
World
EAFE
Emg Mkt
REITS
PR
PE
S&P 500
R2500
-0.50%
-0.25%
1.38%
0.63%
-0.02%
0.56%
-2.72%
0.63%
-1.55%
-3.0% -2.0% -1.0% 0.0% 1.0% 2.0%
+ 7.5% EAFE
+ 8.3% R2500
+39.2% S&P
-55% World
US Bias
Actual
Drift
Diversify
U.S. Bias
Total
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R25008.3%
SP50039.2%
EAFE7.5%
World15.0%
Agg30.0%
R25008.3%
SP50014.2%
REIT4.0%
PRE4.0%
PE8.0%
Emerging9.0%EAFE
7.5%
World15.0%
Agg15.0%
Id Mort5.0%
TIPS10.0%
U.S. BIAS(55-15-30)
POLICYDIVERSIFICATION-25% S&P 500+ 9% Emerging+ 8% Private Equity+ 8% Real Estate
+4% Private+4% REITs
-15% Aggregate+10% TIPS+ 5% Id Mtg
4.1%
4.9%
5.1%
13.0%
6.3%
6.3%
9.5%
4.4%
5.1%
16.5%
10.0%
0% 5% 10% 15% 20%
TIPS
Id. Mtg
Agg
World
EAFE
Emg Mkt
REITS
PR
PE
S&P 500
R2500
-0.01%
-0.10%
-0.11%
-0.28%
-0.49%
-0.92%
-0.92%
-2.60%
-2.72%
-0.02%
0.56%
-2.72%
0.63%
-1.55%
-3.0% -2.0% -1.0% 0.0% 1.0%
+ 5% Mort
+10% TIPS
-15% Agg
+4% REIT
+4%PRE
+8%PE
+9% Emg
-25% S&P
Diversify
Actual
Drift
Diversify
U.S. Bias
Total
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Drift 0.56%
R25008.3%
SP50014.2%
REIT4.0%PRE4.0%
PE8.0%
Emerging9.0%EAFE
7.5%
World15.0%
Agg15.0%
Id Mort5.0%
TIPS10.0%
R25008.5%
SP50017.3%
REIT4.5%
PRE4.7%
PE5.9%
Emerging8.0%
EAFE6.5%
World17.3%
Agg14.4%
Id Mort4.3%
TIPS8.5%
POLICY
DRIFT
4.1%
4.9%
5.1%
13.0%
6.3%
6.3%
9.5%
4.4%
5.1%
16.5%
10.0%
0% 5% 10% 15% 20%
TIPS
Id. Mtg
Agg
World
EAFE
Emg Mkt
REITS
PR
PE
S&P 500
R2500
Return
-1.5%
-0.7%
-0.6%
2.3%
-1.0%
-1.0%
0.5%
0.7%
-2.1%
3.1%
0.2%
-4% -2% 0% 2% 4%
TIPS
Id. Mtg
Agg
World
EAFE
Emg Mkt
REITS
PR
PE
S&P 500
R2500
Drift
-0.06%
-0.04%
-0.03%
0.30%
-0.06%
-0.06%
0.05%
0.03%
-0.11%
0.52%
0.02%
-0.2%0.0%0.2%0.4%0.6%
TIPS
Id. Mtg
Agg
World
EAFE
Emg Mkt
REITS
PR
PE
S&P 500
R2500
IMPACT
![Page 23: Full Investment Report - Idaho...have signaled that supportive central bank policies will remain in place for the foreseeable future. As a result, so far in January US equities (R3000)](https://reader033.fdocuments.net/reader033/viewer/2022041806/5e547891e691e8713a634852/html5/thumbnails/23.jpg)
0.28%
0.27%
-0.04%
0.05%
0.10%
-0.08%
-0.10%
-0.15%
0.01%
0.00%
-0.01%
0.00%
-0.02%
0.09%
0.00%
0.04%
0.00%
0.02%
0.08%
0.02%
-0.20% -0.15% -0.10% -0.05% 0.00% 0.05% 0.10% 0.15% 0.20% 0.25% 0.30% 0.35%
Total
Peregrine
D. Smith
Mountain Pacific
Adelante
BLS
Bernstein Gl..
Brandes
Fiera
Longview
Walt. Scott
Mondrian
Bernstein Emg.
Genesis
IR+M
Western
DBF MBS
Clearwater
Idaho Mtg
SS TIPS
FYTD Active Management Impact on Total Fund vs Indices
R25008.5%
SP50017.3%
REIT4.5%
PRE4.7%
PE5.9%
Emerging8.0%
EAFE6.5%
World17.3%
Agg14.4%
Id Mort4.3%
TIPS8.5%
D Smith2.5%
Mtn Pac3.6%
SPX13.1%
Pereg4.3%
Adel3.2%
Bern1.9%Genesis
2.2%Emg3.9%
EAFE4.0%
Mondrian2.6%
Bernstein Gl.2.3%
BLS3.4%
Brandes2.4%
Fiera3.2%
Longview2.8%
Walter Scott3.2%
G/C9.8%
TIPS8.5%
Managers
ManagerBenchmarks
![Page 24: Full Investment Report - Idaho...have signaled that supportive central bank policies will remain in place for the foreseeable future. As a result, so far in January US equities (R3000)](https://reader033.fdocuments.net/reader033/viewer/2022041806/5e547891e691e8713a634852/html5/thumbnails/24.jpg)
-22.8%
1.1%
7.9%5.8% 4.7% 4.5%
-9.8%
8.6%
-25%
-20%
-15%
-10%
-5%
0%
5%
10%
15%
PERSI ALLOCATIONS (as invested at start of month) vs 55-15-30
16.0%
6.3% 6.3%5.1%
4.4%
9.5%
4.5% 4.4%
0%
2%
4%
6%
8%
10%
12%
14%
16%
18%
FYTD Returns (Public Index)
-2.25%
-0.10%
-0.76%-0.63% -0.55%
-0.29%-0.01%
-2.5%
-2.0%
-1.5%
-1.0%
-0.5%
0.0%
Allocation EAFE Emg PE PR REIT TIPS
Approximate Impact (Assumes Consistent Allocation)
S&P 50027%
S&P 50018%
R25006%
R250014%
0%
5%
10%
15%
20%
25%
30%
If Index PERSI
US Equity Cap Weightings
16.54%
10.00%
-0.55%-2%
0%
2%
4%
6%
8%
10%
12%
14%
16%
18%
S&P 500 R2500 Impact
FYTD Returns and Impact
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70/30 55-15-30 44-11-15-30Policy Drift Actual Total 55-15-30 Active Mng Other
Return 9.53% 11.08% 10.86% 8.04% 8.09% 9.10%
Impact 1.55% -0.22% -2.82% 0.05% 1.01% -0.43% -1.98% 0.28% 0.73%
SP50035%
EAFE35%
Agg30%
R250011%
SP50044%
EAFE15%
Agg30%
Base 70/30
35% S&P 50035% EAFE30% Agg
PERSI BASE55-15-30
44% S&P 50011% R250015% EAFE
30% Aggregate
4.1%
4.9%
5.1%
6.3%
6.3%
9.5%
4.4%
5.1%
16.5%
10.0%
0% 5% 10% 15% 20%
TIPS
Id. Mtg
Agg
EAFE
Emg Mkt
REITS
PR
PE
S&P 500
R2500
0.41%
0.92%
1.33%
0.73%
0.28%
0.05%
-2.82%
1.33%
-0.43%
-4.0% -3.0% -2.0% -1.0% 0.0% 1.0% 2.0%
+11% R2500
+ 9% S&P 500
Home Bias
Other
Managers
Drift
Policy
Home
Total
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Return Policy R^2 SE Beta Alpha
Past 200 Days -0.20% -1.50% 97.70% 0.07% 101% 0.007%
R250011%
SP50044%
EAFE15%
Agg30%
R250011%
SP50018%
PE8%
PR4%
REITS4%Emg
10%
EAFE15%
Agg15%
Id Mtg5%
TIPS10%
PERSI Policy Biases
-26% S&P 500+10% Emg Mktis+ 8% Priv. Equity+ 4% REITs+ 4% Priv RE
-15% Aggregate+10% TIPS+ 5% Emg Mkts
Inflation Protection+10% TIPS+ 4% REITS+ 4% Private RE
Added Return+10% Emg Mkts+ 8% Private Equity+ 5% Id Mort.
PERSI BASE55-15-30
44% S&P 50011% R250015% EAFE
30% Aggregate
4.1%
4.9%
5.1%
6.3%
6.3%
9.5%
4.4%
5.1%
16.5%
10.0%
0% 5% 10% 15% 20%
TIPS
Id. Mtg
Agg
EAFE
Emg Mkt
REITS
PR
PE
S&P 500
R2500
-0.01%
-0.10%
-0.11%
-0.28%
-0.49%
-0.92%
-1.02%
-2.71%
-2.82%
-3.0% -2.5% -2.0% -1.5% -1.0% -0.5% 0.0%
Id Mtg
10% TIPS
-15% Agg
4% REITS
4% P RE
8% PE
10% Emg
-26% S&P
Policy
![Page 27: Full Investment Report - Idaho...have signaled that supportive central bank policies will remain in place for the foreseeable future. As a result, so far in January US equities (R3000)](https://reader033.fdocuments.net/reader033/viewer/2022041806/5e547891e691e8713a634852/html5/thumbnails/27.jpg)
ALLOCATIONS
Return Policy Drift +/-
Middle Outside
R2500 10.0% 11.0% 13.4% 2.4%
S&P 500 16.5% 18.0% 17.2% -0.8%
PE 5.1% 8.0% 5.9% -2.1%
PR 4.4% 4.0% 4.7% 0.7%
REITS 9.5% 4.0% 4.5% 0.5%
EAFE 6.3% 15.0% 16.1% 1.1%
Emerging 6.3% 10.0% 7.9% -2.1%
Agg 5.1% 15.0% 17.5% 2.5%
Id Mtg 4.9% 5.0% 4.3% -0.7%
TIPS 4.1% 10.0% 8.5% -1.5%
70/30 44/11/15/30 Policy Drift Actual
9.53% 10.86% 8.04% 8.09% 9.10%
1.33% -2.82% 0.05% 1.01%
-0.06%
-0.04%
0.13%
-0.13%
0.07%
0.05%
0.03%
-0.11%
-0.12%
0.24%
0.05%
0% 0% 0% 0% 0% 0%
TIPS
Id Mtg
Agg
Emerging
EAFE
REITS
PR
PE
S&P 500
R2500
TotalDrift Impact
Major Differences between "As Invested" allocation and "by Manager Benchmark" allocation are:
1.equity mandates
2. Addition of "World" Active Equity Managers, who have EAFE, Emerging, R2500, and S&P 500 Holdings
Both "As Invested" and "By Manager Benchmark" are positions as of the beginning of the month. Attribution, therefore, assumes this latest allocation was in place at start of fiscal year, and thus doesn't account for the drift during the year. That impact is part of the "actual" impact, along with active manager impact.
R250011%
SP50018%
PE8%
PR4%REITS
4%Emg10%
EAFE15%
Agg15%
Id Mtg5%
TIPS10%
R250013.4%
SP50017.2%
PE5.9%
PR4.7%
REITS4.5%Emg
7.9%
EAFE16.1%
Agg17.5%
Id Mtg4.3%
TIPS8.5%
Policy to Actual Allocation
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70/30 44/11/15/30 Policy Drift Actual Other Managers
9.53% 10.86% 8.04% 8.09% 9.10%
1.33% -2.82% 0.05% 1.01% 0.73% 0.28%
R250013.4%
SP50017.2%
PE5.9%
PR4.7%
REITS4.5%Emg
7.9%
EAFE16.1%
Agg17.5%
Id Mtg4.3%
TIPS8.5%
R25008.5%
SP50017.3%
PE5.9%
PR4.7%
REITS4.5%
Emg8.0%
EAFE6.5%
Global17.3%
Agg14.4%
Id Mtg4.3%
TIPS8.5%
As Invested To By
Manager Benchmark
Major Differences between "As Invested" allocation and "by Manager Benchmark" allocation are:
1. Manager Cash is moved from "Aggregate" in "as invested" allocations to active equity mandates
2. Addition of "World" Active Equity Managers, who have EAFE, Emerging, R2500, and S&P 500 Holdings
Both "As Invested" and "By Manager Benchmark" are positions as of the beginning of the month. Attribution, therefore, assumes this latest allocation was in place at start of fiscal year, and thus doesn't account for the drift during the year. That impact is part of the "actual" impact, along with active manager impact.
![Page 29: Full Investment Report - Idaho...have signaled that supportive central bank policies will remain in place for the foreseeable future. As a result, so far in January US equities (R3000)](https://reader033.fdocuments.net/reader033/viewer/2022041806/5e547891e691e8713a634852/html5/thumbnails/29.jpg)
0.28%
0.27%
-0.04%
0.05%
0.10%
-0.08%
-0.10%
-0.15%
0.01%
0.00%
-0.01%
0.00%
-0.02%
0.09%
0.00%
0.04%
0.00%
0.02%
0.08%
0.02%
-0.20% -0.15% -0.10% -0.05% 0.00% 0.05% 0.10% 0.15% 0.20% 0.25% 0.30% 0.35%
Total
PeregrineD. Smith
Mountain PacificAdelante
BLSBernstein Gl..
BrandesFiera
LongviewWalt. Scott
MondrianBernstein Emg.
Genesis
IR+MWestern
DBF MBSClearwaterIdaho Mtg
SS TIPS
FYTD Active Management Impact on Total Fund vs Indices
R25008.5%
SP50017.3%
REIT4.5%
PRE4.7%
PE5.9%
Emerging8.0%
EAFE6.5%
World17.3%
Agg14.4%
Id Mort4.3%
TIPS8.5%
D Smith2.5%
Mtn Pac3.6%
SPX13.1%
Pereg4.3%
Adel3.2%
Bern1.9%Genesis
2.2%Emg3.9%
EAFE4.0%
BLS3.4%
Brandes2.4%
Fiera3.2%
Longview2.8%
Walter Scott3.2%
G/C9.8%
TIPS8.5%
Managers
ManagerBenchmarks
![Page 30: Full Investment Report - Idaho...have signaled that supportive central bank policies will remain in place for the foreseeable future. As a result, so far in January US equities (R3000)](https://reader033.fdocuments.net/reader033/viewer/2022041806/5e547891e691e8713a634852/html5/thumbnails/30.jpg)
Transfers In Transfers Out Current Value Gain/Loss
Private Equity & RE 5,391,027,766$ 5,073,531,186$ 2,969,367,285$ $2,651,870,705 49%Real Estate 2,504,956,568$ 2,058,144,634$ 1,845,577,776$ $1,398,765,843 56%
REITs 687,768,298$ 795,954,133$ 900,817,520$ $1,009,003,354 147%
Private Realty 1,817,188,270$ 1,262,190,502$ 944,760,257$ $389,762,489 21%KOC 1,743,508,323$ 1,141,686,171$ 872,815,518$ $270,993,366 16%
Prudential 73,679,947$ 120,504,331$ 71,944,738$ $118,769,122 161%
Koll 1,285,031,937$ 513,329,739$ 851,127,250$ $79,425,053 6%
Olympic 263,930,770$ 434,206,366$ 21,688,268$ $191,963,864 73%
Cascade 171,690,305$ 180,751,036$ -$ $9,060,732 5%
Transfers In Transfers Out Current Value Gain/Loss
Private Equity 2,707,191,016$ 2,883,196,920$ 1,114,151,226$ $1,290,157,130 48%
Advent (2008) 97,707,001$ 85,910,134$ 72,981,606$ $61,184,739 63%
Am Sec (2010) 59,885,165$ 49,854,145$ 19,348,211$ $9,317,191 16%
Apollo (2001) 91,482,471$ 211,558,322$ 46,916,440$ $166,992,290 183%
Blackstone (2006) 194,307,740$ 140,468,101$ 138,443,970$ $84,604,330 44%
Bridgepoint (2006) 77,665,623$ 41,577,563$ 54,346,690$ $18,258,630 24%
Cerburus (2007) 36,966,187$ 60,431,484$ 6,184,118$ $29,649,415 80%
CVC (2005) 142,235,527$ 159,527,366$ 58,781,472$ $76,073,311 53%
EPIC (2008) 23,209,312$ 19,855,408$ 15,857,081$ $12,503,178 54%
Frazier (2004) 13,132,500$ 58,769,940$ -$ $45,637,440 348%
Green (2003) 66,979,723$ 124,987,152$ 15,182,377$ $73,189,805 109%
HL Coinv (2005) 138,859,157$ 114,779,742$ 74,746,104$ $50,666,689 36%
HL 2nd (2005) 79,549,405$ 60,879,999$ 46,952,566$ $28,283,159 36%
Hwy 12 (2001) 60,193,423$ 110,865,734$ 11,057,990$ $61,730,301 103%
IdaWest (1996) 5,712,902$ 18,547,230$ 3,275,000$ $16,109,328 282%
KKR (2006) 112,156,984$ 104,720,129$ 72,655,175$ $65,218,320 58%
Kohlberg (2005) 131,000,631$ 140,405,436$ 53,966,575$ $63,371,380 48%
Lindsay (2006) 102,246,807$ 109,155,154$ 32,816,523$ $39,724,870 39%
Providence (1999) 218,760,013$ 273,822,994$ 48,231,673$ $103,294,654 47%
TPG (2001) 323,511,196$ 347,931,716$ 144,545,463$ $168,965,984 52%
Veritas (2010) 95,960,080$ 57,300,993$ 135,246,289$ $96,587,202 101%
Endeavor (2012) 49,116,678$ 25,663,474$ 47,804,239$ $24,351,035 50%
SilverLake (2018) 25,755,268$ -$ 27,502,279$ $1,747,011 7%
Inactive Funds 559,145,913$ 565,361,717$ 35,113,625$ $41,329,429 7%
Fiscal Year In Out Value Change Gain/Loss
Total 248,123,072$ 174,515,921$ 162,014,353$ $88,407,201 4.5%
KOC 120,616,573$ 62,815,981$ 93,472,776$ $35,672,183 6.3%
Koll 120,616,573$ 34,494,110$ 118,825,676$ $32,703,212 5.8%
PE 127,506,499$ 111,699,940$ 65,967,497$ $50,160,938 5.1%
KOC since 3/31/13 812,558,069$ 951,947,877$ 328,558,973$ $467,948,781 83.0%
Month
Total 11,719,317$ 4,722,622$ 16,230,789$ $9,234,095 0.5%
KOC 845,637$ -$ 845,637$ $0 0.0%
Koll 845,637$ -$ 845,637$ $0 0.0%
PE 10,873,680$ 4,722,622$ 15,385,152$ $9,234,095 0.5%
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Growth Value Momentum Size High Vol Profit Leverage Trading Earn Var Div
1 M 13.5% ‐19.1% 9.2% 16.5% ‐7.2% 0.1% 1.4% 7.8% ‐3.5% ‐8.9%
3M 8.8% ‐13.8% 0.0% 5.8% ‐1.5% ‐0.1% 1.5% 5.2% ‐1.6% ‐4.9%
6M 5.3% ‐3.3% ‐9.0% 4.7% 0.7% ‐1.9% 4.3% 1.7% 0.0% ‐3.1%
1Y 2.2% ‐7.1% ‐0.9% 4.1% ‐3.7% 0.5% 1.6% ‐1.4% ‐0.7% ‐1.3%
2Y 2.0% ‐6.0% ‐1.7% 1.3% ‐1.9% 0.7% 0.4% ‐0.2% ‐0.9% 0.0%
3Y 1.6% ‐5.2% 0.3% 1.5% ‐1.5% 1.3% ‐0.8% 0.6% 0.0% ‐0.1%
4Y 0.6% ‐3.3% ‐1.2% 0.7% 0.0% ‐0.3% 0.1% 0.5% 0.9% ‐0.4%
5Y 0.4% ‐2.8% ‐0.2% 0.7% ‐1.2% 0.6% ‐1.1% ‐0.6% 0.0% 0.1%
7Y 1.0% ‐1.6% 0.9% 1.0% ‐1.3% 0.0% ‐0.9% ‐0.7% ‐0.3% ‐0.5%
10Y 0.5% ‐0.8% 0.4% 0.5% ‐0.7% 0.0% ‐0.5% ‐0.4% ‐0.2% ‐0.2%
15Y 0.2% 1.4% ‐0.6% ‐0.8% 0.3% ‐0.1% ‐0.4% ‐0.3% ‐0.3% ‐0.2%
Cum ‐0.7% 115.2% 0.1% ‐25.2% 5.0% 12.5% ‐1.5% ‐11.7% ‐8.2% ‐7.0%
Net Long‐Short of 1st Qquintile ‐ 5th Quintile (Inception 2000)
Growth
Value
Momentum
Size
Low Volatility
‐10%
‐5%
0%
5%
10%
15%
20%
25%
F‐10
J‐10
O‐10
F‐11
J‐11
O‐11
F‐12
J‐12
O‐12
F‐13
J‐13
O‐13
F‐14
J‐14
O‐14
F‐15
J‐15
O‐15
F‐16
J‐16
O‐16
F‐17
J‐17
O‐17
F‐18
J‐18
O‐18
F‐19
J‐19
O‐19
F‐20
R3000 FACTORS [Bloomberg]1st Quartile ‐ 5th Quartile
Growth Value Momentum Size Low Volatility
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Universe Sector Return CalculatReturn
Western EuropAll Sectors Geometric Net Long‐Short (Q1‐Q5)%
Style Factor/Driver Name (16) 1D Ret 1W Retrior Month YTD Ret 1Y Ret 7Y Ret 10Y Ret
Technicals 14D RSI 0.44 % 0.66 % 0.95 % (0.07)% (8.31)% (22.16)% (33.66)%
Dispersion Rev Est Dispersion (FY1) 0.34 % 0.10 % 0.67 % 0.18 % (2.20)% (23.31)% (44.27)%
Momentum PORT EU Momentum 0.28 % 1.10 % 4.55 % 6.33 % 16.18 % 117.04 % 200.71 %
Revisions 3M Target Price Change % 0.24 % 1.79 % 3.16 % 5.33 % 11.83 % 109.88 % 214.79 %
Growth 1Y Fwd EPS Growth (FY) % 0.24 % 0.22 % 1.02 % 0.78 % 7.78 % 23.06 % 34.44 %
Profitability PORT EU Profit 0.17 % 0.40 % 3.08 % 2.70 % 13.68 % 49.78 % 107.07 %
Dividends Dividend Yield (Indicated) 0.09 % (0.43)% (1.75)% (2.84)% 2.11 % 15.72 % 39.69 %
Growth 5Y Actual Sales Growth 0.02 % 0.19 % 2.38 % 2.39 % 9.34 % 9.54 % 2.38 %
Size PORT EU Size 0.02 % (0.74)% (1.89)% (0.78)% (1.40)% (18.40)% (23.34)%
Share Buybacks1Y Share Buyback 0.02 % (0.79)% (0.18)% (0.68)% 2.55 %
Surprises EPS Surprise % (Last) (0.06)% 0.09 % 0.84 % 0.90 % 0.04 % 15.17 % 39.03 %
Leverage PORT EU Leverage (0.07)% (0.55)% 0.68 % 0.26 % (3.30)% (16.94)% (31.38)%
Revisions 3M EPS Revision % (FY1) (0.12)% 1.09 % 3.10 % 4.00 % 10.73 % 89.91 % 196.56 %
Value PORT EU Value (0.17)% (0.84)% (5.10)% (5.51)% (10.57)% (5.79)% 8.51 %
Volatility 1M Volatility (0.28)% 0.16 % (4.29)% (2.04)% (4.54)% (20.18)% (34.13)%
Sentiment Sell Side Expected Return (0.59)% (0.33)% (3.54)% (3.12)% (1.55)% 4.53 % 28.88 %
Universe Sector Return CalculatReturn
Asia Pacific All Sectors Geometric Net Long‐Short (Q1‐Q5)%
Style Factor/Driver Name (16) 1D Ret 1W Retrior Month YTD Ret 1Y Ret 7Y Ret 10Y Ret
Momentum PORT GL Momentum 0.60 % 2.68 % 3.37 % 7.59 % 8.45 % 38.82 % 100.96 %
Surprises EPS Surprise % (Last) 0.29 % 0.25 % 1.61 % 1.64 % 8.21 % 43.50 % 89.67 %
Growth 5Y Actual Sales Growth 0.22 % 1.54 % 1.46 % 4.27 % 9.44 % (11.80)% (6.63)%
Growth 1Y Fwd EPS Growth (FY) % 0.19 % 0.97 % 1.90 % 3.25 % (2.91)% (3.36)% (0.98)%
Technicals 14D RSI 0.15 % 0.78 % (2.87)% (3.10)% (2.79)% 18.59 % 14.47 %
Revisions 3M EPS Revision % (FY1) 0.14 % 0.77 % 1.37 % 1.97 % 9.34 % 107.10 % 245.92 %
Dispersion Rev Est Dispersion (FY1) 0.13 % 0.79 % (1.83)% (1.65)% (4.73)% (34.49)% (38.78)%
Sentiment Sell Side Expected Return 0.08 % (0.14)% (4.86)% (2.88)% (3.52)% 3.16 % 17.65 %
Revisions 3M Target Price Change % (0.04)% 1.54 % 4.61 % 7.34 % 9.48 % 52.44 % 131.37 %
Dividends Dividend Yield (Indicated) (0.10)% (0.78)% (2.86)% (4.11)% 6.30 % 64.15 % 167.94 %
Leverage PORT GL Leverage (0.21)% (0.98)% (4.53)% (6.01)% (9.28)% (26.84)% (33.36)%
Volatility 1M Volatility (0.23)% 1.35 % (2.28)% 2.31 % (3.41)% (25.11)% (38.75)%
Profitability PORT GL Profit (0.33)% 1.10 % 1.80 % 3.48 % 14.61 % 54.14 % 107.47 %
Value PORT GL Value (0.65)% (2.16)% (4.06)% (7.04)% (5.33)% 44.17 % 94.33 %
Size PORT GL Size (0.81)% (2.13)% (1.66)% (4.78)% (1.78)% 25.19 % 41.26 %
Share Buybacks1Y Share Buyback (1.03)% (0.89)% (0.05)% (0.05)% 3.96 % 57.89 % 62.57 %
Cumulative, not annualized, returns
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0.60%
0.1%
0.3%
0.5%
0.7%
0.9%
1.1%
1.3%
1.5%
1.7%
1.9%
2.1%
-45%
-25%
-5%
15%
35%
55%
75%
95%
115%
PERSI TOTAL FUND DAILY RETURNS STARTING FY 2008 June 30, 2007 through February 13, 2020
Cumlative Return (left) Three Month Volatility Av SD (10.0% Annualized)
Recession BeginsDec 2007
RecessionEnds
June 2009
Lehman Bankruptcy
Europe Crisis IApril/May 2010
Greece
Europe Crisis IIMay 2011
Spain/Greece
Europe Crisis IIIMay 2012
Italy/Spain/Greece
US DebtDowngradeAugust 2011
"Taper Tantrum"May 2013
QE III EndsOct 2014
Europe Crisis IVJune 2015
Greece Defaults
ZIRP EndsDec 2015
Europe Crisis VBREXIT6/24/16
Earnings Recession
Volmaggedon2/5/18Trade Fears3/18
GoldilocksJan 2018
Xmas CrashDec 2018
Tariff TantrumsMay/Aug 2019
‐4%
‐3%
‐2%
‐1%
0%
1%
2%
3%
30‐Jun‐07
6‐Dec‐07
18‐M
ay‐08
6‐Nov‐08
21‐M
ar‐09
24‐Aug‐09
18‐Dec‐09
16‐Apr‐10
9‐Aug‐10
1‐Dec‐10
28‐M
ar‐11
21‐Jul‐11
14‐Nov‐11
9‐M
ar‐12
2‐Jul‐12
24‐Oct‐12
20‐Feb
‐13
13‐Jun‐13
7‐O
ct‐13
31‐Jan‐14
28‐M
ay‐14
19‐Sep
‐14
15‐Jan‐15
12‐M
ay‐15
3‐Sep‐15
28‐Dec‐15
25‐Apr‐16
17‐Aug‐16
9‐Dec‐16
6‐Apr‐17
1‐Aug‐17
22‐Nov‐17
21‐M
ar‐18
16‐Jul‐18
6‐Nov‐18
6‐M
ar‐19
28‐Jun‐19
21‐Oct‐19
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$10.06
2.4%
0%
1%
2%
3%
4%
5%
6%
7%
-$1
$1
$3
$5
$7
$9
$11
PERSI TOTAL FUND MONTHLY RETURNS STARTING JULY 1992(Growth of $1)
Cumulative Return Rolling 12M Volatility Average Month Vol
Asia FinancialCrisis 7/97
Long Term Capital10/98Russia Default
7/98
Greenspan"irrational Exhuberance"
10/96
"TechWreck"2/01‐1/03
Lehman Bankruptcy9/08
Europe Crisis IGreece5/10
Europe Crisis IISpain/Greece
5/11
US DebtDowngrade
8/11
Europe Crisis IIIIItaly /Spain/Greece
5/12
Earning Recession2/15‐12/16
Great BondMassacre1/94‐9/94
Volmageddon2/18
Trade Fears3/18
Xmas CrashDec 2018
GoldilocksJan 2018
‐13%
‐8%
‐3%
2%
7%
Jul‐92
Jul‐93
Jul‐94
Jul‐95
Jul‐96
Jul‐97
Jul‐98
Jul‐99
Jul‐00
Jul‐01
Jul‐02
Jul‐03
Jul‐04
Jul‐05
Jul‐06
Jul‐07
Jul‐08
Jul‐09
Jul‐10
Jul‐11
Jul‐12
Jul‐13
Jul‐14
Jul‐15
Jul‐16
Jul‐17
Jul‐18
Jul‐19
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0.18
0.72
‐0.27
0.28
‐0.08
‐0.23
0.37
‐0.37
0.50 0.50
‐0.6
‐0.4
‐0.2
0.0
0.2
0.4
0.6
0.8
US Housing Industrial Labor Household Retail Survey Europe UK China
‐0.8
‐0.6
‐0.4
‐0.2
0
0.2
0.4
31‐Jan 28‐Feb 31‐Mar 30‐Apr 31‐May 30‐Jun 31‐Jul 31‐Aug 30‐Sep 31‐Oct 30‐Nov 31‐Dec 31‐Jan
Bloomberg Economic Surprise
Europe US
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124
0
50
100
150
200
250
300
350
400
Aug‐09
Dec‐09
Apr‐10
Aug‐10
Dec‐10
Apr‐11
Aug‐11
Dec‐11
Apr‐12
Aug‐12
Dec‐12
Apr‐13
Aug‐13
Dec‐13
Apr‐14
Aug‐14
Dec‐14
Apr‐15
Aug‐15
Dec‐15
Apr‐16
Aug‐16
Dec‐16
Apr‐17
Aug‐17
Dec‐17
Apr‐18
Aug‐18
Dec‐18
Apr‐19
Aug‐19
Dec‐19
US Economic Policy Uncertainity
206
0
50
100
150
200
250
300
350
Aug‐09
Dec‐09
Apr‐10
Aug‐10
Dec‐10
Apr‐11
Aug‐11
Dec‐11
Apr‐12
Aug‐12
Dec‐12
Apr‐13
Aug‐13
Dec‐13
Apr‐14
Aug‐14
Dec‐14
Apr‐15
Aug‐15
Dec‐15
Apr‐16
Aug‐16
Dec‐16
Apr‐17
Aug‐17
Dec‐17
Apr‐18
Aug‐18
Dec‐18
Apr‐19
Aug‐19
Dec‐19
Global Economic Policy Uncertainity
396
192
0
100
200
300
400
500
600
700
Aug‐09
Dec‐09
Apr‐10
Aug‐10
Dec‐10
Apr‐11
Aug‐11
Dec‐11
Apr‐12
Aug‐12
Dec‐12
Apr‐13
Aug‐13
Dec‐13
Apr‐14
Aug‐14
Dec‐14
Apr‐15
Aug‐15
Dec‐15
Apr‐16
Aug‐16
Dec‐16
Apr‐17
Aug‐17
Dec‐17
Apr‐18
Aug‐18
Dec‐18
Apr‐19
Aug‐19
Dec‐19
China and Europe Economic Policy Uncertainity
China Europe
Long Term Average = 100 Series starts in 1997 China last entry has three month delay
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1.8
2.52.9
1.6
2.42.9
2.31.8 1.9 1.9
0.0
0.5
1.0
1.5
2.0
2.5
3.0
3.5
2013 2014 2015 2016 2017 2018 2019 2020 2021 2022
Pe
r C
ent
US Real GDP
Gov17%
Consumer66%
Investment17%
Export11%
Import14%
SIZE OF SECTORS RELATIVE TO GDPUnited States
1.5 1.6
0.1
1.3
2.12.5
1.8 2.0 2.1 2.2
0.0
0.5
1.0
1.5
2.0
2.5
3.0
2013 2014 2015 2016 2017 2018 2019 2020 2021 2022
Pe
r C
ent
CPI
1.5
3.0
3.7
2.7 2.63.0
2.62.4
2.0 2.0
0.00.51.01.52.02.53.03.54.0
2013 2014 2015 2016 2017 2018 2019 2020 2021 2022
Pe
r C
ent
Consumer Spending
-2.4
-0.9
1.9 1.8
0.71.7
2.3 2.01.2 1.1
-3.0
-2.0
-1.0
0.0
1.0
2.0
3.0
2013 2014 2015 2016 2017 2018 2019 2020 2021 2022
Pe
r C
ent
Government Spending
6.95.6
4.9
-1.3
4.45.1
2.2
0.5
3.0 3.6
-2.0
0.0
2.0
4.0
6.0
8.0
2013 2014 2015 2016 2017 2018 2019 2020 2021 2022
Pe
r C
ent
Private Investment
3.64.2
0.50.0
3.53.0
-0.1
1.2
2.4 2.7
-2.0
-1.0
0.0
1.0
2.0
3.0
4.0
5.0
2013 2014 2015 2016 2017 2018 2019 2020 2021 2022
Pe
r C
ent
Exports
1.5
5.0 5.3
2.0
4.7 4.4
1.4 1.1
2.93.4
0.0
1.0
2.0
3.0
4.0
5.0
6.0
2013 2014 2015 2016 2017 2018 2019 2020 2021 2022
Pe
r C
ent
Imports
7.46.2
5.3 4.94.3 3.9 3.7 3.5 3.6 3.8
0.01.02.03.04.05.06.07.08.0
2013 2014 2015 2016 2017 2018 2019 2020 2021 2022
Pe
r C
ent
Unemployment
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0
2,000,000
4,000,000
6,000,000
8,000,000
10,000,000
12,000,000
14,000,000
0%
5%
10%
15%
20%
25%
30%
% $NegativeYieldingDebtWorldwide
7.8%
10.7%
5.0%
10.1%
12.9%
1.9%
1.6%
3.5%
3.2%
2.7%
0%
2%
4%
6%
8%
10%
12%
14%
16%
18%
SPX R2500 REITS EAFE Emerging
ANALYST EARNINGS ESTIMATES AND DIVIDENDS
3‐5Y Earn Growth (Bloomberg) Dividend
0
5
10
15
20
25
30
35
40
45
Jan‐18
Feb‐18
Mar‐18
Apr‐18
May‐18
Jun‐18
Jul‐18
Aug‐18
Sep‐18
Oct‐18
Nov‐18
Dec‐18
Jan‐19
Feb‐19
Mar‐19
Apr‐19
May‐19
Jun‐19
Jul‐19
Aug‐19
Sep‐19
Oct‐19
Nov‐19
Dec‐19
Jan‐20
Feb‐20
Mar‐20
Apr‐20
May‐20
Jun‐20
Jul‐20
Aug‐20
Sep‐20
Oct‐20
Nov‐20
Dec‐20
Percent Probability of Recession in 1 Year (Bloomberg and NY Fed)
NYFed US Europe China Japan
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3M 6M 1Y 2Y 3Y 4Y 5Y 7Y 8Y 9Y 10Y 15Y 20Y 25Y 30Y
Inflation 1.4% 1.5% 1.6% 1.6% 1.7% 1.7% 1.8% 1.8% 1.8% 1.9% 1.9% 1.9% 1.9%
Treasury 1.6% 1.6% 1.6% 1.4% 1.4% 1.4% 1.5% 1.5% 1.6% 1.6% 1.6% 1.8% 1.9% 2.1% 2.1%
A 1.7% 1.7% 1.7% 1.7% 1.7% 1.8% 1.8% 2.0% 2.1% 2.2% 2.3% 2.7% 3.0% 3.1% 3.1%
BBB 1.9% 1.9% 1.9% 1.9% 1.9% 2.0% 2.2% 2.4% 2.6% 2.7% 2.8% 3.2% 3.6% 3.6% 3.6%
1.0%
1.5%
2.0%
2.5%
3.0%
3.5%
4.0%Expected Inflation and Current Yield Curves
US 1.51
UK 0.52
Germany -0.43France -0.18
Italy 0.94
Swiss -0.73
Japan -0.07
-1.00
0.00
1.00
2.00
3.00
4.00
5.00
6.00
7.00M
ay-0
3
May
-04
May
-05
May
-06
May
-07
May
-08
May
-09
May
-10
May
-11
May
-12
May
-13
May
-14
May
-15
May
-16
May
-17
May
-18
May
-19
10YR Bond Yields
US UK Germany France Italy Swiss Japan
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1Y 2Y 3Y 4Y 5Y 7Y 8Y 9Y 10Y 20Y 30Y
Current TIPS 0.0% -0.1% -0.1% -0.2% -0.2% -0.1% -0.1% -0.1% -0.1% 0.3% 0.3%
Current Treasury 1.6% 1.4% 1.4% 1.4% 1.5% 1.5% 1.6% 1.6% 1.6% 1.9% 2.1%
TIPS in 5 0.2% 0.1% 0.1% 0.1% 0.1% 0.2% 0.3% 0.3% 0.3% 0.4% 0.5%
Treasury in 5 1.5% 1.6% 1.6% 1.6% 1.7% 1.7% 1.7% 1.7% 1.8% 1.8% 1.7%
Current Breakever 1.6% 1.5% 1.6% 1.6% 1.7% 1.6% 1.6% 1.7% 1.7% 1.7% 1.7%
Breakeven in 5 1.3% 1.5% 1.5% 1.5% 1.6% 1.5% 1.5% 1.5% 1.4% 1.4% 1.3%
-0.5%
0.0%
0.5%
1.0%
1.5%
2.0%
2.5%
Current and Expected Yield Curves in 5 Yrs
3M 6M 1Y 2Y 3Y 4Y 5Y 7Y 8Y 9Y 10Y 20Y 30Y
Current 1.6% 1.6% 1.6% 1.4% 1.4% 1.4% 1.5% 1.5% 1.6% 1.6% 1.6% 1.9% 2.1%
- 1YR 2.5% 2.5% 2.5% 2.5% 2.5% 2.5% 2.5% 2.6% 2.6% 2.6% 2.7% 2.8% 3.0%
-2 YR 1.6% 1.8% 1.9% 2.2% 2.3% 2.4% 2.6% 2.7% 2.8% 2.8% 2.9% 3.1% 3.2%
+ 5YR 1.5% 1.5% 1.5% 1.6% 1.6% 1.6% 1.7% 1.7% 1.7% 1.7% 1.8% 1.8% 1.7%
+2YR 1.3% 1.3% 1.3% 1.3% 1.4% 1.4% 1.5% 1.5% 1.6% 1.6% 1.6% 1.7% 1.7%
0.0%
0.5%
1.0%
1.5%
2.0%
2.5%
3.0%
3.5%
Past, Current, and Predicted Treasury Yield Curves
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3M 6M 1Y 2Y 3Y 4Y 5Y 7Y 8Y 9Y 10Y 20Y 30Y
Mar‐19 2.37 2.40 2.40 2.43 2.47 2.51 2.55 2.61 2.63 2.64 2.66 2.68 2.65
Jun‐19 1.98 1.99 1.99 2.04 2.09 2.14 2.18 2.25 2.27 2.29 2.31 2.35 2.31
Sep‐19 1.52 1.50 1.51 1.53 1.57 1.60 1.63 1.68 1.70 1.71 1.72 1.77 1.75
Dec‐19 1.88 1.91 1.94 1.98 2.01 2.05 2.08 2.13 2.14 2.16 2.17 2.20 2.16
Feb‐20 1.49 1.52 1.53 1.56 1.60 1.63 1.66 1.71 1.73 1.75 1.76 1.80 1.75
1.20
1.70
2.20
2.70
3.20
Change in Expected 5 Year Forward Yield Curves
1Y 2Y 3Y 4Y 5Y 7Y 8Y 9Y 10Y 15Y 20Y 30Y 40Y
Mar‐19 1.88 1.86 1.87 1.90 1.94 2.00 2.03 2.06 2.08 2.15 2.16 2.17 2.18
Jun‐19 1.40 1.61 1.68 1.73 1.77 1.83 1.85 1.88 1.91 1.97 1.97 1.97 1.96
Sep‐19 1.39 1.47 1.49 1.56 1.59 1.65 1.68 1.71 1.74 1.79 1.79 1.79 1.81
Dec‐19 1.72 1.73 1.76 1.80 1.84 1.88 1.91 1.94 1.98 2.02 2.01 2.01 2.00
Feb‐20 1.37 1.50 1.59 1.64 1.70 1.76 1.78 1.82 1.87 1.91 1.92 1.94 1.95
0.50
0.70
0.90
1.10
1.30
1.50
1.70
1.90
2.10
2.30
2.50 Change in Expected Inflation
1Y 2Y 3Y 4Y 5Y 7Y 10Y 20Y 30Y
Mar‐19 0.38 0.43 0.59 0.66 0.83 0.66 0.83 0.89 1.01
Jun‐19 0.17 0.26 0.39 0.45 0.67 0.45 0.67 0.74 0.93
Sep‐19 ‐0.18 ‐0.09 0.13 0.13 0.35 0.13 0.35 0.43 0.62
Dec‐19 ‐0.01 0.20 0.30 0.35 0.55 0.35 0.55 0.62 0.71
Feb‐20 0.22 0.20 0.09 0.07 0.26 0.07 0.26 0.32 0.46
‐0.40‐0.200.000.200.400.600.801.001.20
Change in TIPS Rate 5Y Forward
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Inflation 1M 10Y TIPS 10Y Treasury
Today 1.5% 1.7% 0.0% 1.6%
5Y 1.9% 1.4% 0.3% 1.8%
0%
0%
0%
1%
1%
1%
1%
1%
2%
2%
2%Market Asset Levels
1.7%1.3%
1.0% 1.3%
8.0%
6.0%
0%
1%
2%
3%
4%
5%
6%
7%
8%
9%
Inflation Cash 10 Year TIPS 10 Year Treasuries S&P 500 Base 70/30
5 Year Expected Returns to Assets (Annualized)
8.0%
10.1%
11.0%
12.9%
8.4%
7.0%
1.7%1.0%
3.0%
7.2%
0%
2%
4%
6%
8%
10%
12%
14%
SPX R2500 EAFE Emerging PE Real Estate Agg TIPS ID Mort PERSI
5 Year Expected Returns to Assets (Annualized)
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50
60
70
80
90
100
110
120
130
-50
-40
-30
-20
-10
0
10
20
30
HISTORIC DOLLAR PPP (L) DXY (R)
0.80
0.90
1.00
1.10
1.20
1.30
1.40
1.50
1.60
1.70
-4.00
-3.00
-2.00
-1.00
0.00
1.00
2.00
3.00
Inte
rest
Rat
e D
iffe
ren
cve
(%)
EURO / DOLLARHigher Interest Rate Differential Supports Higher Euro
INT DIF (Euro - $) (L) Euro/$ (R)
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1.9%2.6%
1.8% 1.7%
8.0%
-4.8%-5.6%
-2.5%
-8%
-6%
-4%
-2%
0%
2%
4%
6%
8%
10%
Dividend Buy Back Real GDP Inflation Total Av PE (16.6) Av Earn(5.5%)
Average
Expected 5 Year Stock (S&P 500) Return and Sources(Return % = Div Yield + Earnings Growth % + P/E % Change)
21.3
1.50
5
10
15
20
25
30
S&P 500 Trailing PE, and 10Y Yield (Average 16.4, 6.3)(Start of Month)
4.7
1.5
-3.2
-10
-5
0
5
10
15
20
S&P 500 Earn Yield, 10Y Yield, and Yield Spread (Average 6.7, 6.3, -0.3)SPX Earn Yield 10Y Spread
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3.9%
11.1%
-50%
-40%
-30%
-20%
-10%
0%
10%
20%
30%
40%
50%
Mar
-02
Sep
-02
Mar
-03
Sep
-03
Mar
-04
Sep
-04
Mar
-05
Sep
-05
Mar
-06
Sep
-06
Mar
-07
Sep
-07
Mar
-08
Sep
-08
Mar
-09
Sep
-09
Mar
-10
Sep
-10
Mar
-11
Sep
-11
Mar
-12
Sep
-12
Mar
-13
Sep
-13
Mar
-14
Sep
-14
Mar
-15
Sep
-15
Mar
-16
Sep
-16
Mar
-17
Sep
-17
Mar
-18
Sep
-18
Mar
-19
Sep
-19
S&P 500 Earnings Per ShareActual Estimated 1Y
7.5%
-20%
-10%
0%
10%
20%
30%
40%
50%
60%
70%
Mar
-03
Sep
-03
Mar
-04
Sep
-04
Mar
-05
Sep
-05
Mar
-06
Sep
-06
Mar
-07
Sep
-07
Mar
-08
Sep
-08
Mar
-09
Sep
-09
Mar
-10
Sep
-10
Mar
-11
Sep
-11
Mar
-12
Sep
-12
Mar
-13
Sep
-13
Mar
-14
Sep
-14
Mar
-15
Sep
-15
Mar
-16
Sep
-16
Mar
-17
Sep
-17
Mar
-18
Sep
-18
Mar
-19
Sep
-19
FORECAST SPX EPS ACCURACYOverestimation of EPS growth
22.4
19.4
17.5
10
14
18
22
26
30
PE RATIOS since 1989 Trailing (Av. 19.7) Current (Av. 17.0) Forecast (Av. 14.8)
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9.6%9.1%
7.0%
5.2%
2%
4%
6%
8%
10%
12%
14%
Dec
-57
Dec
-60
Dec
-63
Dec
-66
Dec
-69
Dec
-72
Dec
-75
Dec
-78
Dec
-81
Dec
-84
Dec
-87
Dec
-90
Dec
-93
Dec
-96
Dec
-99
Dec
-02
Dec
-05
Dec
-08
Dec
-11
Dec
-14
Dec
-17
Corp Profits and SPX Earnings as % of GDPProfit Average -1 SD +1 SD SPX Earnings Av +1 -1
15.3%13.6%
0%
5%
10%
15%
20%
Sep-93 Sep-96 Sep-99 Sep-02 Sep-05 Sep-08 Sep-11 Sep-14 Sep-17
SPX Return on Common EquityROE Average -1SD +1SD
Consumer15%
Energy4%
Finance/RE23%
Health Care15%
Industrials10%
Info Tech19%
Utilities/Tele13%
Materials/Ag2%
Consumer25%
Energy2%
Finance/RE19%
Health Care11%
Industrials11%
Info Tech5%
Utilities/Tele1%
Materials/Ag5%
Other/Gov/Ed22%
S&P 500 OperatingEarnings
S&P 500 OperatingEarnings
US GDP
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SML/SPX 111%
MID/SPX 99%
EAFE/SPX 83%
EMG/SPX 69%
20%
40%
60%
80%
100%
120%
140%
160%
180%
200%
S‐98
S‐99
S‐00
S‐01
S‐02
S‐03
S‐04
S‐05
S‐06
S‐07
S‐08
S‐09
S‐10
S‐11
S‐12
S‐13
S‐14
S‐15
S‐16
S‐17
S‐18
S‐19
TRAILING PE RATIO RATIOS (First is more overpriced the higher the ratio)
SML/SPX MID/SPX EAFE/SPX EMG/SPX
18.619.4
22.8
15.914.9
13.4
15.0 14.9
13.012.3
17.1 17.418.4
10.6
19.0
13.0
10.9
14.8
13.7
7.0
22.8
10.7
0
5
10
15
20
25
Current P/EU.S. Europe Asia
Emerging
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TECH
HOME
GOLD
OIL
CRB
BAA10Y
-2.0
-1.0
0.0
1.0
2.0
3.0
4.0
5.0
ZSCORES VS US GDP OR SPREAD SINCE 1990
TECH HOME GOLD OIL CRB BAA10Y
Gold
SPX
Oil
REITs
Cmdty
EAFE
EMG
A/10Y
10YFood
Metals
Dollar
Euro
Yen
Nat Gas
EY/10Y
EY
-2.0
-1.5
-1.0
-0.5
0.0
0.5
1.0
1.5
2.0
2.5
-4.0 -3.0 -2.0 -1.0 0.0 1.0 2.0 3.0 4.0
LE
VE
L (
SIN
CE
19
90
)
LOW and FALLING TREND (200 Days) LOW but RISING
High but Falling High and Rising
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Financial Conditions Indices are meant to track the overall level of financial stress in the money market, bond, andequity markets to help assess the availability and cost of credit. A positive value indicates accomadative financial conditions, while a negative value indicates tighter financial conditions. The conditions are beingcompared to "pre-crisis" norms, generally from 1994 - mid 2008.
LIBOR OIS SPREAD IS MEASURE OF PERCEIVED BANK CREDIT RISK AND THEREFORE LIQUIDITY
LIBOR IS A LOAN OF FULL AMOUNT, WITH CREDIT AND LIQUIDITY RISK
OIS TRANSFERS ONLY DIFFERENCE BETWEEN FIXED AND FLOATING RATES -- SO MINIMAL CREDIT RISK (NO MONEY UP FRONT, ETC).
OIS STANDS FOR OVERNIGHT INDEXED SWAPS.
REACHED PEAK OF 364 IN OCTOBER OF 2008
US
Europe
Asia X Japan
‐2.5
‐2.0
‐1.5
‐1.0
‐0.5
0.0
0.5
1.0
1.5
Mar‐15
Jun‐15
Sep‐15
Dec‐15
Mar‐16
Jun‐16
Sep‐16
Dec‐16
Mar‐17
Jun‐17
Sep‐17
Dec‐17
Mar‐18
Jun‐18
Sep‐18
Dec‐18
Mar‐19
Jun‐19
Sep‐19
Dec‐19
Z Scores
BLOOMBERG FINANCIAL CONDITIONS INDEX US Europe Asia X Japan
13
50
20
40
60
80
100
120
D-1
1
J-12
D-1
2
J-13
D-1
3
J-14
D-1
4
J-15
D-1
5
J-16
D-1
6
J-17
D-1
7
J-18
D-1
8
J-19
D-1
9
HISTORIC LIBOR/OIS SPREAD
LIBOR/OIS EURIBOR/OIS
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26
0.03%532
0.21%547
21
0
100
200
300
400
500
600
-… -… -… -… -… -… -… -… -… -…
0.0%
0.2%
0.4%
0.6%
0.7%
0.9%
1.1%
1.3%
1.5%
1.6%
1.8%
DAILY RETURN HISTOGRAM (Since 2007)(Annualized)Average Return: 0.026% (7.0% Geo) SD: 0.60% (10.2%)
1.53%50
2.32%47
4
0
10
20
30
40
50
60
-7.2
%
-6.5
%
-5.7
%
-4.9
%
-4.1
%
-3.3
%
-2.5
%
-1.7
%
-0.9
%
-0.1
%
0.7%
1.5%
2.3%
3.1%
3.9%
4.7%
5.5%
6.3%
7.1%
7.9%
8.7%
MONTHLY RETURN HISTOGRAM (Since 1992)(Annualized)PERSI Average: 0.73% (8.6% Geo) SD: 2.66% ( 10.0%)
55-15-30 Average: 0.75% (8.8% Geo) SD: 2.89% (10.9%)
PERSI
Expected
55-15-30
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Performance Summary blue = outperform by 50 bp; red = underperform by 50 bp (* Annualized)
Last
Month
Last
3 Months
Last
1 Year
Last
5 Years*
Total Fund ‐0.5% 3.4% 13.7% 8.0%
Strategic Policy ‐0.2% 3.2% 12.9% 7.2%
Policy (55‐15‐30) 0.2% 4.6% 16.1% 8.3%
Total Domestic Equity (Russell 3000) ‐0.9% 4.2% 16.6% 11.2%
Russell 3000 ‐0.1% 6.7% 20.5% 11.9%
U.S. Equity (Russell 3000) ‐0.3% 6.3% 20.3% 12.5%Real Estate (NCREIF) 0.3% 0.3% 13.0% 9.7%Private Equity (Russell 3000*1.35) ‐0.9% 1.7% 9.3% 10.5%Global Equity (Russell 3000) ‐2.5% 4.1% 16.1% 10.2%
Total International Equity (MSCI EAFE) ‐3.9% 2.3% 8.3% 5.1%
MSCI EAFE ‐2.1% 2.3% 12.7% 5.6%
Total Fixed Income (BB Aggregate) 2.3% 2.3% 10.6% 3.2%
BB Aggregate 1.9% 1.8% 9.6% 3.0%
Asset Allocation blue = over allowable target range; red = under allowable target range
Current %U.S. Equity 4,909$ 25.2 %Real Estate 1,814$ 9.3 %Private Equity 1,156$ 5.9 %Global Equity 3,333$ 17.1 %
Total Domestic Equity 11,212$ 57.6 %
Emerging Markets Equity 1,546$ 7.9 %
Total International Equity 2,837$ 14.6 %
Total Fixed Income 5,398$ 27.7 %
Cash 34$ 0.2 %
Total Fund 19,481$ 100.0 %
Performance Commentary:
Strategic Policy Benchmark = 8% R2500, 14% S&P500, 4% REIT, 4% PRE, 8% PE, 9% EM, 8% EAFE, 15% World, 15% Agg, 5% ID Mtg, 10% TIPS
Month‐End MV
Total Fund Summary
55.0%
15.0%
4.9%
4.6%
Target %
29.0%
100.0%
Jan 2020
Last
3 Years*
10.1%
9.3%
13.5%
13.8%
During the month, the Total Fund underperformed the Strategic Policy benchmark by 30 basis points
and the Broad Policy benchmark by 70 basis points. The Real Estate and Fixed Income portions of the
portfolio contributed positively while the US, Private Equity, Global Equity, and International Equity
portions of the portfolio detracted from performance. Over the last five year time period, the Total
Fund remains ahead of the Strategic Policy, but trails the Broad Policy benchmark by roughly 30 basis
points.
10.2%
14.5%10.4%14.7%13.3%
7.9%
1.0%
8.3%
0% 20% 40% 60% 80% 100%
Current %
Target %
Dom Eq
RE
PE
Global
EM
Intl Eq
FX
Cash
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Total Fund
Manager (Style Benchmark) blue = outperform by 50 bp; red = underperform by 50 bp (* Annualized)
Last
Month
Last
3 Months
Last
1 Year
Last
5 Years*
Total Fund ‐0.5% 3.4% 13.7% 8.0%
Strategic Policy ‐0.2% 3.2% 12.9% 7.2%
Policy (55‐15‐30) 0.2% 4.6% 16.1% 8.3%
Total Domestic Equity (Russell 3000) ‐0.9% 4.2% 16.6% 11.2%(Includes U.S. Eq, Glbl Eq, RE, PE)
U.S. Equity ex RE, PE (Russell 3000) ‐0.3% 6.3% 20.3% 12.5%
Russell 3000 ‐0.1% 6.7% 20.5% 11.9%
MCM Index Fund (Russell 3000) ‐0.1% 6.7% 20.4% 11.8%
MCM S&P 500 (S&P 500) 0.0% 6.7% 21.7% 12.4%
S&P 500 Index 0.0% 6.7% 21.7% 12.4%
MCM Mid Cap (Russell Midcap) 1.2% 8.0% 17.8% 10.2%
Russell Midcap ‐0.8% 5.1% 16.9% 9.5%
MCM Russell 2000 (Russell 2000) ‐3.2% 3.6% 9.3% 8.3%
Russell 2000 ‐3.2% 3.7% ‐3.2% 8.2%
Donald Smith & Co. (Russell 3000) ‐7.8% ‐4.6% 5.4% 5.7%
Russell 3000 ‐0.1% 6.7% 20.5% 11.9%
Peregrine (Russell 1000 Growth) 4.4% 13.0% 30.5% 21.2%
Russell 1000 Growth 2.2% 10.0% 27.9% 15.5%
Mountain Pacific (Russell 2500) ‐0.6% 5.8% 20.7% 12.9%
Russell 2500 ‐2.0% 4.3% 12.3% 8.9%
Global Equity (Russell 3000) ‐2.5% 4.1% 16.1% 10.2%
Russell 3000 ‐0.1% 6.7% 20.5% 11.9%
Wilshire 5000 ‐0.1% 6.6% 20.4% 11.8%
MSCI World ‐0.6% 5.3% 18.4% 9.6%
MSCI World net div ‐0.6% 5.2% 17.7% 9.0%
MSCI AC World ‐1.1% 5.0% 16.7% 9.1%
BLS (MSCI ACWI) ‐4.0% 4.4% 20.1% n/a
Bernstein (MSCI ACWI) ‐3.0% 1.5% 7.5% 4.7%
Brandes (Russell 3000) ‐4.2% 2.4% 4.2% 5.1%
Fiera Capital (MSCI World) ‐0.4% 6.0% 25.6% n/a
Longview (MSCI ACWI) ‐2.9% 3.9% 14.1% 11.0%
Walter Scott (MSCI World net div) ‐0.9% 5.2% 22.1% n/a
Private Equity (Russell 3000) ‐0.9% 1.7% 9.3% 10.5%
Russell 3000 ‐0.1% 6.7% 20.5% 11.9%
13.3%
14.7%
10.9%
7.4%
7.3%
13.1%
13.0%
13.7%
n/a
n/a
9.1%
Last
3 Years*
10.1%
10.2%
13.5%
14.5%
13.8%
13.8%
14.5%
14.5%
12.4%
13.8%
9.3%
5.5%
13.8%
26.8%
20.0%
12.1%
11.6%
11.5%
n/a
Jan 2020Month‐End Performance
4.5%
13.8%
5.9%
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Total Fund
Manager (Style Benchmark) blue = outperform by 50 bp; red = underperform by 50 bp (* Annualized)
Last
Month
Last
3 Months
Last
1 Year
Last
5 Years*
Real Estate (NCREIF) 0.3% 0.3% 13.0% 9.7%
MCM REIT (DJ US Select REIT) 0.4% ‐1.9% 10.9% 4.9%
Dow Jones U.S. Select REIT 0.4% ‐1.9% 11.0% 5.1%
Adelante REITs (Wilshire REIT) 0.5% ‐1.4% 17.3% 8.2%
Wilshire REIT 0.8% ‐1.4% 13.7% 5.7%
Prudential (NCREIF) 1.2% 1.2% 5.9% 9.0%
Private Real Estate 0.1% 2.2% 10.9% 13.3%
NCREIF Prop 1Q Arrears 0.5% 1.5% 6.3% 8.5%
Int'l Equity (MSCI EAFE) ‐3.9% 2.3% 8.3% 5.1%
MSCI EAFE ‐2.1% 2.3% 12.7% 5.6%
MCM International (MSCI EAFE) ‐2.1% 2.3% 12.4% 5.5%
Mondrian (MSCI EAFE) ‐3.6% 1.4% 8.8% 4.7%
MCM Emerging Markets (MSCI EMF) ‐4.6% 2.2% 3.7% 4.5%
Genesis (MSCI EMF) ‐3.8% 3.2% 13.1% 7.1%
Bernstein (MSCI EMF) ‐6.9% 2.5% 4.0% 3.7%
MSCI EMF ‐4.7% 2.4% 4.2% 4.9%
Total Fixed Income (BC Aggregate) 2.3% 2.3% 10.6% 3.2%
BB Aggregate 1.9% 1.8% 9.6% 3.0%
Western (BB Aggregate) 1.8% 2.3% 12.2% 5.0%
Clearwater (BB Aggregate) ‐ 1/2014 2.0% 2.1% 10.0% 3.3%
SSgA Gov/Corp (BB G/C) 2.4% 2.1% 11.2% 3.3%
IR+M (BB G/C) 2.6% 2.3% 11.7% n/a
BB Gov/Credit 2.4% 2.1% 11.0% 3.2%
DBF Idaho Mortgages (BB Mortgage) 2.4% 1.9% 10.9% 4.4%
BB Treasury 2.4% 1.6% 9.0% 2.3%
DBF MBS (BB Mortgage) 0.7% 1.1% 6.2% 2.3%
BB Mortgage 0.7% 1.1% 6.3% 2.6%
SSgA TIPS (BB TIPS) 2.3% 2.8% 9.7% 2.5%
BB US TIPS 2.1% 2.6% 9.2% 2.4%
Cash
Clearwater: PERSI STIF (90‐day LIBOR) 0.2% 0.5% 2.4% 1.4%
90‐day LIBOR 0.1% 0.4% 2.2% 1.1%
Mellon EB Temp Inv Fund 0.2% 0.5% 2.3% 1.3%
3.5%
3.5%
4.8%
6.4%
5.1%
5.1%
6.1%
4.1%
n/a
1.9%
3.9%
3.7%
Jan 2020
4.9%
1.7%
1.9%
4.6%
7.3%
11.8%
4.5%
8.3%
7.9%
Last
3 Years*
10.4%
11.6%
6.7%
7.4%
Month‐End Performance
7.4%
7.9%
11.8%
8.3%
8.2%
8.2%
7.0%
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Performance Calculations blue = outperform by 50 bp; red = underperform by 50 bp (* Annualized)
Last
Month
Last
3 Months
Last
1 Year
Last
3 Years*
Last
5 Years*
Total U.S. Equity ex RE and PE ‐0.3% 6.3% 20.3% 14.5% 12.5%
Russell 3000 ‐0.1% 6.7% 20.5% 13.8% 11.9%
MCM Index (RU 3000) ‐0.1% 6.7% 20.4% 13.8% 11.8%
Donald Smith & Co. (RU 3000) ‐7.8% ‐4.6% 5.4% 5.5% 5.7%
S&P 500 0.0% 6.7% 21.7% 14.5% 12.4%
Peregrine (RU 1000 Growth) 4.4% 13.0% 30.5% 26.8% 21.2%
Russell 1000 Growth 2.2% 10.0% 27.9% 20.0% 15.5%
Mountain Pacific (RU 2500) ‐0.6% 5.8% 20.7% 13.1% 12.9%
Russell 2500 ‐2.0% 4.3% 12.3% 9.1% 8.9%
Total U.S. Equity incl RE and PE ‐0.2% 4.2% 16.8% 13.6% 11.5%
MCM REIT Index (DJ US Select REIT) 0.4% ‐1.9% 10.9% 7.4% 4.9%
Dow Jones U.S. Select REIT 0.4% ‐1.9% 11.0% 7.4% 5.1%
Adelante REITs (Wilshire US REIT) 0.5% ‐1.4% 17.3% 11.6% 8.2%
Wilshire US REIT 0.8% ‐1.4% 13.7% 8.2% 5.7%
Private Real Estate 0.1% 2.2% 10.9% 11.8% 13.3%
NCREIF 0.5% 1.5% 6.3% 6.7% 8.5%
Total RE (Russell 3000) 0.3% 0.3% 13.0% 10.4% 9.7%
Russell 3000 ‐0.1% 6.7% 20.5% 13.8% 11.9%
Private Equity ‐0.9% 1.7% 9.3% 14.7% 10.5%
Russell 3000 ‐0.1% 6.7% 20.5% 13.8% 11.9%
Performance Commentary:
Total U.S. Equity
Russell 3000 Benchmark
The Total U.S. Equity portion of the portfolio, excluding Real Estate and Private Equity,
underperformed the Russell 3000 benchmark by 20 basis points during the month. Peregrine was
the best performing manager, outperforming their Russell 1000 Growth benchmark by
approximately 220 basis points. Mountain Pacific outperformed their Russell 2500 benchmark but
underperformed relative to the Russell 3000 index. Donald Smith underperformed the S&P 500 and
Russell 3000 indexes. Both Adelante and Private Real Estate trailed their respective benchmarks,
but both contributed positive returns. Private Equity underperformed for the month. For the last
five‐year period, the Total U.S. Equity portion of the portfolio continues to outperform the Russell
3000 index.
Jan 2020
‐8.0%‐6.0%‐4.0%‐2.0%0.0%2.0%4.0%
US Eq
uity
R 3000
Excess
MCM R3000
R 3000
Excess
Mtn Pac
R 2500
Excess
Peregrine
R 1000G
Excess
DSC
O
R 3000
Excess
MCM REIT
REIT
Excess
Adelan
te
REIT
Excess
Last Month Returns
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Total U.S. Equity
Portfolio Analysis
Portfolio Characteristics
U.S. Eq Dom Eq RU 3000 U.S. Eq Dom Eq RU 3000
Wtd Cap ($ b) 198.9$ 177.6$ 271.4$ Beta 1.05 0.99 1.02
P/Earnings 25.16 26.22 24.99 Dividend Yield (%) 1.48 1.70 1.80
P/E ex Neg 22.74 23.85 22.51 5 Yr DPS Growth 11.77 10.71 10.93
P/Book Value 3.33 3.23 3.44 ROE 20.90 19.60 21.51
EPS 5Yr Growth 12.16 12.07 11.86 ROA 7.48 6.95 7.42
Debt/Equity 1.32 1.32 1.39
Sector Allocations
Sectors
Prod Drbls 14.9% 9.8% 5.1% ‐1.2% ‐0.06%
Financial 23.0% 20.8% 2.2% ‐0.5% ‐0.01%
Mat & Proc 4.3% 3.2% 1.1% ‐5.9% ‐0.07%
Cons Discr 15.4% 14.5% 0.9% 0.6% 0.01%
Health Care 14.1% 13.3% 0.8% ‐2.4% ‐0.02%
Cons Staples 5.4% 5.7% ‐0.3% ‐0.3% 0.00%
Oth Energy 2.7% 3.6% ‐0.9% ‐11.5% 0.10%
Utilities 3.1% 5.3% ‐2.2% 3.2% ‐0.07%
Technology 17.0% 23.7% ‐6.7% 3.9% ‐0.26%
U.S. Eq
Alloc
R3000
Alloc
Relative
Weight
R3000
Return
Return
Impact
MCM Russell 3000 Index Fund Characteristics used as Russell 3000 Index Data (RU3000)
"U.S. Equity (U.S. Eq)" does not include RE or PE; "Domestic Equity (Dom Eq)" includes U.S. allocation of Global Equity Managers
Jan 2020
‐12.0%
‐9.0%
‐6.0%
‐3.0%
0.0%
3.0%
6.0%
Prod Drbls
Finan
cial
Mat & Proc
Cons Discr
Health Care
Cons Stap
les
Oth Energy
Utilities
Technology
Relative Weight R3000 Return Return Impact
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Performance Calculations blue = outperform by 50 bp; red = underperform by 50 bp (* Annualized)
Last
Month
Last
3 Months
Last
1 Year
Last
3 Years*
Last
5 Years*
Total Global Equity ‐2.5% 4.1% 16.1% 13.3% 10.2%
Russell 3000 ‐0.1% 6.7% 20.5% 13.8% 11.9%
Wilshire 5000 ‐0.1% 6.6% 20.4% 13.7% 11.8%
MSCI World ‐0.6% 5.3% 18.4% 12.1% 9.6%
MSCI World net div ‐0.6% 5.2% 17.7% 11.5% 9.0%
MSCI AC World (ACWI) ‐1.1% 5.0% 16.7% 11.6% 9.1%
BLS (MSCI ACWI) ‐4.0% 4.4% 20.1% n/a n/a
Bernstein (MSCI ACWI) ‐3.0% 1.5% 7.5% 4.5% 4.7%
Brandes (Wil 5000) ‐4.2% 2.4% 4.2% 5.9% 5.1%
Fiera (MSCI World) ‐0.4% 6.0% 25.6% n/a n/a
Longview (MSCI ACWI) ‐2.9% 3.9% 14.1% 13.0% 11.0%
Walter Scott (MSCI World net div) ‐0.9% 5.2% 22.1% n/a n/a
Country Allocation Summary
Overweight
Countries
Total
Global
MSCI
ACWI
Total
Global
MSCI
ACWI
United Kingdom 12.8% 4.8% 49.7% 55.6%
Denmark 3.7% 0.5% 0.2% 4.2%
Ireland 3.2% 0.2% 4.3% 7.2%
Performance Commentary:
United States
China
Japan
Total Global Equity
Jan 2020Russell 3000 Benchmark & MSCI AC World Index
During the month, the Global Equity portfolio underperformed the Russell 3000, MSCI World, and
MSCI ACWI indexes by 240, 190, and 140 basis points, respectively. Fiera was the best performing
manager for the month, just 30 basis points short of the Russell 3000 index, while ahead of the MSCI
World and ACWI indexes. Walter Scott followed, underperforming the Russell 3000 and MSCI World
indexes, while ahead of the MSCI ACWI index. Longview, Bernstein, BLS, and Brandes underperformed
all indexes during the month.
Underweight
Countries
40% 41% 43%
60% 63% 63%50% 50%
60%51%
45%35% 37% 35%
45%39%
0%9% 12%
5% 0% 2% 4%12%
0%
20%
40%
60%
80%
100%
BLS Bernstein Brandes Fiera Longview Walter Scott Total Global MSCI AC World
Global managers: U.S., Non‐U.S., and EM Exposure
U.S. Non‐U.S. EM
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Total Global Equity
Country Allocations versus MSCI AC World Index Jan 2020
8.0%
3.2%
3.0%
2.6%
2.6%
2.4%
1.0%
0.2%
0.2%
0.2%
5.2%
4.7%
4.5%
4.0%
4.4%
3.0%
0.0%
5.1%
0.0%
0.0%
0.0% 2.0% 4.0% 6.0% 8.0%
United Kingdom
Denmark
Ireland
Hong Kong
Switzerland
France
Macau
Finland
Bermuda
Curacao
Top 10 Relative Country OverWeights & Benchmark Returns
Relative Weight MSCI AC World Return (%)
‐0.17%
0.41%
0.07% 0.11%
‐0.06%
0.15% 0.10% 0.14%
0.00% ‐0.03%‐0.3%
‐0.1%
0.1%
0.3%
0.5%
United
States
United
Kingd
om
Fran
ce
Switzerlan
d
Japan
Den
mark
Hong Kong
Irelan
d
Netherlan
ds
South Korea
Top 10 Allocations ‐ Excess Returns
‐5.9%
‐4.0%
‐2.9%
‐2.4%
‐1.7%
‐1.4%
‐0.8%
‐0.6%
‐0.6%
‐0.4%
2.9%
8.3%
2.1%
2.7%
1.9%
1.5%
5.0%
9.7%
1.5%
8.4%
‐7.0% ‐4.0% ‐1.0% 2.0% 5.0% 8.0%
United States
China
Japan
Canada
Germany
Australia
Sweden
South Africa
India
Russia
Top 10 Relative Country UnderWeights & Benchmark Returns
Relative Weight MSCI AC World Return (%)
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Performance Calculations blue = outperform by 50 bp; red = underperform by 50 bp (* Annualized)
Last
Month
Last
3 Months
Last
1 Year
Last
3 Years*
Last
5 Years*
Total International Equity ‐3.9% 2.3% 8.3% 7.9% 5.1%
MSCI EAFE ‐2.1% 2.3% 12.7% 8.3% 5.6%
MSCI ACWI ex US ‐2.7% 2.5% 10.5% 8.1% 5.5%
MCM EAFE Index (MSCI EAFE) ‐2.1% 2.3% 12.4% 8.2% 5.5%
Mondrian (MSCI EAFE) ‐3.6% 1.4% 8.8% 7.3% 4.7%
MCM Emg Mkts Index (MSCI EMF) ‐4.6% 2.2% 3.7% 7.9% 4.5%
MSCI EMF ‐4.7% 2.4% 4.2% 8.3% 4.9%
Bernstein (MSCI EMF) ‐6.9% 2.5% 4.0% 4.5% 3.7%
MSCI EMF Value ‐6.7% ‐0.8% ‐2.9% 5.0% 2.9%
Genesis (MSCI EMF) ‐3.8% 3.2% 13.1% 11.8% 7.1%
MSCI EMF Growth ‐2.6% 5.5% 11.6% 11.4% 6.8%
Emerging Markets Exposures
MV
EM
Exposure
EM
Return
Total Intl Eq 2,836.6$ 23% ‐4.1%
Total Global 3,333.4$ 4% ‐6.7%
Total Equity 14,048.6$ 6% ‐4.8%
Performance Commentary:
Total International Equity
Jan 2020MSCI EAFE Benchmark & MSCI ACWI xUS Index
The Total International Equity portfolio underperformed the MSCI EAFE index by approximately 180
basis points during the month. Mondrian, our only active developed markets manager,
underperformed the MSCI EAFE benchmark by 150 basis points. The Emerging Markets had a poor
month, with the MSCI EMF index trailing the MSCI EAFE index by roughly 260 basis points. Genesis
outperformed the MSCI EMF index by roughly 90 basis points, but underperformed the MSCI EMF
Growth index by 120 basis points. Bernstein underperformed the MSCI EMF index by roughly 220
basis points, and 20 basis points short of the MSCI EMF Value index.
North America55%
Emerging Markets
6%
Non‐US39%
Total Equity Exposure
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Jan 2020
Country
Mkt
Return
PERSI
Return
Return
Impact
PERSI
Weight
Index
Weight
Over/Under
Weight
Index
Weight
Over/Under
Weight
Japan ‐1.36% 10.08% 11.44% 11.30% 24.37% ‐13.07% 16.35% ‐5.05%
UK ‐3.79% 9.09% 12.88% 7.80% 11.14% ‐3.34% 10.72% ‐2.92%
France ‐3.36% 3.90% 7.26% 4.30% 11.86% ‐7.56% 7.45% ‐3.15%
Germany ‐3.07% 3.99% 7.06% 4.10% 7.64% ‐3.54% 5.67% ‐1.57%
Switzerland 0.79% 3.91% 3.12% 4.10% 13.32% ‐9.22% 6.36% ‐2.26%
Hong Kong ‐4.46% 4.26% 8.72% 3.10% 3.43% ‐0.33% 2.26% 0.84%
Netherlands ‐2.97% 1.89% 4.86% 2.60% 6.19% ‐3.59% 2.61% ‐0.01%
Australia 0.09% 2.12% 2.03% 2.20% 6.99% ‐4.79% 4.60% ‐2.40%
Cayman Isles n/a 0.00% 0.00% 1.90% ‐ 1.90% 0.00% 1.90%
S. Korea ‐5.31% 4.05% 9.36% 1.60% ‐ 1.60% 3.14% ‐1.54%
Country Allocations vs MSCI EAFE Benchmark & MSCI ACWI xUS Index
Top 10 Country Allocations by $ Invested
EAFE
Total International Equity
ACWI xUS
‐1.4%
‐3.8%
‐3.4%
‐3.1%
0.8%
‐4.5%
‐3.0%
0.1%
0.0%
10.1%
9.1%
3.9%
4.0%
3.9%
4.3%
1.9%
2.1%
0.0%
11.4%
12.9%
7.3%
7.1%
3.1%
8.7%
4.9%
2.0%
0.0%
‐5.0% ‐2.0% 1.0% 4.0% 7.0% 10.0% 13.0%
Japan
UK
France
Germany
Switzerland
Hong Kong
Netherlands
Australia
Cayman Isles
Top 10 Allocations ‐ Return Impact
Market Returns PERSI Returns Return Impact
11.3%
7.8%
4.3%
4.1%
4.1%
3.1%
2.6%
2.2%
1.9%
24.4%
11.1%
11.9%
7.6%
13.3%
3.4%
6.2%
7.0%
0.0%
16.4%
10.7%
7.4%
5.7%
6.4%
2.3%
2.6%
4.6%
0.0%
0.0% 6.0% 12.0% 18.0% 24.0%
Japan
UK
France
Germany
Switzerland
Hong Kong
Netherlands
Australia
Cayman Isles
Top 10 Allocations v. EAFE & ACWI xUS
PERSI EAFE ACWI xUS
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Performance Calculations blue = outperform by 10 bp; red = underperform by 10 bp (* Annualized)
Last
Month
Last
3 Months
Last
1 Year
Last
3 Years*
Last
5 Years*
Total Fixed Income 2.3% 2.3% 10.6% 4.9% 3.2%
BB Aggregate 1.9% 1.8% 9.6% 4.6% 3.0%
SSGA G/C (BB G/C) 2.4% 2.1% 11.2% 5.1% 3.3%
IR+M 2.6% 2.3% 11.7% n/a n/a
BB Govt/Credit Bond 2.4% 2.1% 11.0% 5.1% 3.2%
DBF MBS (BB Mortgage) 0.7% 1.1% 6.2% 3.5% 2.3%
BB MBS 0.7% 1.1% 6.3% 3.5% 2.6%
DBF Mortgages (BB Mortgage) 2.4% 1.9% 10.9% 6.1% 4.4%
BB Treasury 2.4% 1.6% 9.0% 4.1% 2.3%
SSGA TIPS (BB TIPS) 2.3% 2.8% 9.7% 3.9% 2.5%
BB US TIPS 2.1% 2.6% 9.2% 3.7% 2.4%
Western Core Full + (BB Aggregate) 1.8% 2.3% 12.2% 6.4% 5.0%
Clearwater Agg (BB Aggregate)** 2.0% 2.1% 10.0% 4.8% 3.3%
BB Aggregate 1.9% 1.8% 9.6% 4.6% 3.0%
** Clearwater Agg performance begins 1/2014; previous period returns reflect Clearwater TBA portfolio
Portfolio Attributes*** (as reported by Russell/Mellon) *** excludes ID Mortgages
Coupon
Moody
Quality
Current
Yield
Yield to
Maturity
Option Adj
Duration
Modified
Duration
Effective
Convexity
# of
Holdings
Total Fixed 2.05% Aa2 2.33% 1.90% 7.13 7.29 0.99 5,169
SSGA G/C 3.16% Aa2 3.01% 1.98% 6.99 7.06 1.03 3,451
IR+M 3.48% Aa3 3.08% 2.12% 6.85 6.97 1.07 175
DBF MBS 3.57% Aaa 3.40% 2.21% 2.62 3.64 (1.70) 56
SSGA TIPS 0.94% Aaa 0.80% 1.50% 8.09 8.10 1.25 43
Clearwater TBA 3.50% Aa3 3.23% 2.44% 5.55 5.73 n/a 115
Western 4.10% A1 4.81% 2.93% 5.57 6.90 0.44 1,328
Performance Commentary:
During the month, the Total Fixed Income portion of the portfolio added value, about 40 basis points
ahead of the BB Aggregate benchmark. The SSgA G/C portfolio kept pace with the BB Gov/Credit index
while the IR+M portfolio added 20 basis points; the DBF MBS portfolio was in line with the BB MBS
benchmark; the DBF Mortgage portfolio kept pace with the BB Treasury index; the SSgA TIPS portfolio
added 20 basis points over the BB US TIPS index; and the Clearwater Agg portfolio edged ahead of the BB
Aggregate by 10 basis points while the Western Core Full + portfolio fell short by 10 basis points. Over
the last five‐year period, the Total Fixed Income portion of the portolio remains ahead of the BB
Aggregate index by roughly 20 basis points.
Jan 2020
Total Fixed Income
Bloomberg Barclays Aggregate Benchmark
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2020
* Annualized returnsLast
MonthLast
3 MonthsLast
1 YearLast
3 Years*Last
5 Years*0.49% -1.39% 17.32% 11.40% 8.08%0.76% -1.38% 13.69% 8.15% 5.68%
Adelante (formerly Lend Lease Rosen) manages the public real estate portfolio, comprised of publicly-traded real estatecompanies, primarily real estate investment trusts (REITs). Investments will generally fall into one of three categories asdescribed in the Portfolio Attributes section: Core holdings, Takeover/Privatization candidates, and TradingOpportunities. Typical portfolio characteristics include current pricing at a discount relative to the underlying real estatevalue, attractive dividend prospects, low multiple valuations (P/FFO), and expert management.
Performance Attribution & Strategy Comments
Manager Style Summary
Adelante (Public RE - REITs)Domestic Equity: Wilshire REIT Benchmark
Adelante Total ReturnWilshire REIT Index
Manager Performance Calculations
For the month of: January
For the month ended January 31, 2020 – The Account underperformed the Wilshire US REITIndex by 27 basis points, gross of fees, as the REIT market advanced 0.76%.• Contributors: security selection within Healthcare, Apartments and the sector allocation to
Single Family Homes (overweight).• Detractors: security selection within Industrial, Local Retail and the sector allocation to Storage
(underweight)• Best performing holding: Sun Communities, Inc., 8.0%.• Worst performing holding: DiamondRock Hospitality, -12.7%.
For the trailing quarter ended January 31, 2020 – The Account underperformed the Wilshire USREIT Index by 1 basis points, gross of fees, as the REIT market declined 1.38%.• Contributors: security selection within Healthcare, Industrial and the sector allocation to Office
(overweight).• Detractors: security selection within Industrial Mixed, Apartments and Local Retail.• Best performing holding: American Tower Corp., 7.0%.• Worst performing holding: Americold Realty Trust, -14.9%.
Comments – While the REIT market advanced 0.76% in January, regional mall, hotel and shopping center sectors were punished, down 11.2%, 9.6%, and 5.8%, respectively, as the rebound in value over growth and momentum has thus far been short-lived. Retail has suffered with evolving shopping patterns resulting in persistent store closings. A strong dollar and now a global health risk have impaired in-bound tourism – DiamondRock Hospitality noted above. Travel Economics estimated that China visits could drop 25% in 2020 costing the US Travel industry 4 million room nights and nearly $6 billion in visitor spending. Conversely, last month we noted that Prologis, Inc’s, a portfolio logistics company, expanded its China Development Venture to $3.5 billion and announced the formation of a $1.7 billion China open end fund; the shares rose 4.2% in January.
During the month we exited our position in Ventas Inc., a health care REIT. At month-end the portfolio’s dividend yield and cash position stood at 3.0% and 2.9%, respectively.
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2020
Portfolio Guideline: Adelante Wilshire REIT Calc Min Max Complianceok
$250 okok
22.34 20.21 1.11 1.30 ok0.95 1.00 0.95 0.70 1.30 ok3.04 3.56 0.85 0.80 2.00 ok
20.94 19.87 105% 80% 120% ok
Portfolio Guidelines section B5
Actual: 96% ok
Actual: 1% ok
Actual: 0% ok
Gained: 0 -$ Lost: 0 -$
Reason(s):
Total Market Value ($m):Total Market Value ($m):
Number of Accounts:Number of Accounts:
Focuses on smaller companies which may be attractive merger candidates or lack the resources to grow the company in the longer-term. Also focuses on companies which may have interest in returning to the private market due to higher private market valuations.
Portfolio Attributes Core Holdings (40% - 100%)
Takeover/Privatization Candidates (0% - 15%)
Consists of investments with the following characteristics: premier asset portfolios and management teams, attractive dividend yields, low multiple valuations, real estate property types or regions that are less prone to experinece the impact of an economic slowdown.
The portfolio is in compliance with all other aspects of the Portfolio Guidelines
Account Turnover
None
Trading Arbitrage (0% - 20%)
Organizational/Personnel Changes
Focuses on high quality companies which may become over-sold as investors seek liquidity.
Manager Explanations for Deviations from Portfolio GuidelinesThere were no deviations.
Adelante (Public RE - REITs)Domestic Equity: Wilshire REIT Benchmark
Portfolio Guideline Compliance January
B2. All securities are publicly-traded real estate companies, primarily real estate investment trusts
B4. Single Security Positions <= 30% @ purchaseB3. Mkt Cap of Issuers of Securities in the Account
E2. Commissions not to exceed $0.06/shareB6d. Expected FFO Growth
B6a. P/FFO (12-mo trail)B6b. BetaB6c. Dividend Yield
Yes No
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2020
* Annualized returnsLast
MonthLast
3 MonthsLast
1 YearLast
3 Years*Last
5 Years*Bernstein EMV -6.95% 2.53% 5.78% 4.98% 3.85%MSCI EMF -4.66% 2.31% 3.81% 7.88% 4.48%
Over-weight Bernstein EMF Under-weight Bernstein EMFKorea 20.04% 11.63% Taiwan 11.69%Russia 7.04% 3.98% China 30.16% 34.22%Turkey 2.76% 0.52% Saudi Arabia 0.00% 2.62%
Bernstein a value-oriented, "bottom-up" manager, focusing on individual security selection, where country and sectorallocations are an outgrowth of stock selection. As with their global product, they seek companies which are undervaluedrelative to their long-term earnings prospects due overreaction by the market. Although country selection is a by-productof the stock selection process, Bernstein seeks to reduce risk and enhance returns by limiting country concentration andmaintaining stable country weights, as compared to the historical volatility of country weightings in the MSCI Em Index.
Bernstein Emerging Markets ValueEmerging Markets Equity: MSCI EM Benchmark
Manager Style Summary
Manager Performance Calculations
Performance Attribution & Strategy Comments
Country Allocation Comparison
JanuaryFor the month of:
PORTFOLIO PERFORMANCE: During January, the portfolio decreased in absolute terms, underperforming its benchmark, before fees. Both stock selection and sector selection dragged on relative returns. Selection within consumer discretionary and materials, as well as an underweight to communication services, detracted. The real estate sector had a nulling effect on performance as an overweight to the sector detracted; however, selection within the sector contributed. Selection within energy and overweights to technology and utilities contributed, offsetting losses. The portfolio’s relative underperformance was primarily the result of stock selection within China. The onset and spread of the coronavirus quickly lead to investor anxiety about economic activity in the region, as well as its potential to spark a more far-reaching slowdown. Leading detractors impacted by the economic fallout from the virus included auto-sale companies Guangzhou Automobile Group Co. (GAC) and Geely Automobile, real estate sales company CIFI Holdings and heavy truck company Weichai Power. Shares of chemical company Kumho Petrochemical also declined after the company reported disappointing 4Q:19 earnings and were driven lower by the economic drag caused by the virus. Many non-Asian stocks took a less direct hit from the effects of the coronavirus and contributed during the period. Shares of multinational energy corporation LUKOIL continued to perform well after indications of a higher dividend payout ratio came to light during the last quarter. Samsung Electronics benefited as DRAM prices started to show signs of improvement, while Brazilian private education company YDUQS moved higher on the back of positive enrollment trends. Russian food retailer X5 Retail contributed on signs of a stabilizing pricing environment as its main competitor’s discounting fell short of the sustained market share improvement previously anticipated. Turkey-based GarantiBank contributed after reporting strong earnings with signs of loan acceleration. OUTLOOK: Spreads remain wide in emerging markets, and cyclically sensitive stocks have more room to appreciate as governments look to stimulate growth. Our portfolio continues to offer a highly attractive blend of traits, trading at a material discount to overall emerging and developed markets with similar profitability. We remain confident that this combination can drive outperformance on any improvement in risk appetites.
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2020Portfolio Guideline: Index Bernstein Calc Min Max Compliance
ok96 70 100 ok
Latin America * 11% 13% 15% 15% ok Asia * 74% 68% 15% 15% ok EMEA * 15% 15% 15% 15% ok Other 5% 0% 20% ok
100%
77,331 44,636 58% 25% 100% ok1.7 1.1 65% 30% 100% ok
12.3 8.3 67% 30% 100% ok9.2 5.4 59% 30% 100% ok2.7 3.8 139% 75% 200% ok
okokok
35% 30% 40% ok
Gained: Number of Accounts: 0Lost: Number of Accounts: 0
Reason(s):
Investment decisions for Emerging Markets Value are made by the Chief Investment Officer and Director ofResearch. For the month of January 2020, there were no personnel changes for the EMV portfolio.
Total Market Value ($m)Total Market Value ($m)
Organizational/Personnel Changes
Account Turnover
Manager Explanations for Deviations from Portfolio GuidelinesThere were no deviations.
Bernstein Emerging Markets ValueEmerging Markets Equity: MSCI EM Benchmark
JanuaryPortfolio Guideline Compliance
F3. Annual turnoverThe portfolio is in compliance with all other aspects of the Portfolio Guidelines
B3. Security position <= 8% of the account @ purchaseB4. Number of issuesB5. Normal Regional Exposures (* benchmark -/+ min/max):
Total B6. Normal Portfolio Characteristics (MSCI EM)
Capitalization
C2. Max forward w/ counterparty <= 30% of total mv of account
Price/Book ValuePrice/Earnings (Next 12 mo)Price/Cash FlowDividend Yield
C1. Currency or cross-currency position <= value of hedged securities No executed forward w/o a corresponding securities position.
NoYes
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2020
* Annualized returnsLast
MonthLast
3 MonthsLast
1 YearLast
3 Years*Last
5 Years*-2.96% 1.49% 7.53% 4.47% 5.00%-1.10% 4.88% 16.04% 11.03% 8.51%-0.11% 6.68% 20.53% 13.82% 11.85%
Gained: - -$ Lost: - -$
Reason(s):
Bernstein Global Strategic ValueGlobal Equity: MSCI ACWI Benchmark
Manager Performance Calculations
Performance Attribution & Strategy Comments
For the month of: January
Bernstein GSV
Russell 3000
Organizational/Personnel Changes
Total Market Value ($m):
MSCI ACWI
Account Turnover
Investment decisions for Global Strategic Value are made by the cross border team of Chief Investment Officers andDirectors of Research. There were no changes to the key personnel responsible for GSV in January 2020.
Bernstein is a research-driven, value-based, "bottom-up" manager, whose process is driven by individual securityselection. Country allocations are a by-product of the stock selection process, which drives the portfolio country over andunder weights. They invest in companies with long-term earnings power, which are undervalued due to an overreaction bythe market. This value bias will result in a portfolio which will tend to have lower P/E and P/B ratios and higher dividendyields, relative to the market. The Global Strategic Value product is a concentrated global equity portfolio, and as such,may experience more volatility relative to the market.
Number of Accounts:Number of Accounts:
Manager Style Summary
Total Market Value ($m):
PORTFOLIO PERFORMANCE: In January, the Global Strategic Value Portfolio declined in absolute terms, underperforming its benchmark, the MSCI ACWI, before fees. Both stock and sector selection dragged on relative returns. Stock selection within technology, finance and capital equipment detracted most, though contributions from utilities, medical and construction & housing somewhat offset the impact. From a sector standpoint, the portoflio’s overweight to the energy sector also negatively impacted returns while its overweight to utilities added.Financial services company Wells Fargo detracted as 4Q:19 earnings fell short of expectations due to costs related to its efforts to recover from the fake-account scandal. The company continues to invest to improve its regulatory standing which has put upward pressure on expenses. However, we believe that the stock offers outperformance potential as the company moves on from the scandal and expenses decline. Shares of Royal Dutch Shell and Repsol fell, along with other energy-related stocks, as oil prices and refining margins weakened on fears of lower demand stemming from the impact of the coronavirus crisis. Energias de Portugal (EDP) contributed after announcing the divestment of some Portuguese hydro plants at attractive valuations, which will permit significant deleveraging and has allowed the market to focus on EDP’s attractive renewable assets. Multinational electricity and natural gas supplier Enel contributed as shares rose on a strong earnings outlook. Defensive utilities such as EDP and Enel also performed well given growing macroeconomic concerns.Danish jewelry maker PANDORA contributed as shares rose following the pre-announcement of 4Q:19 sales growth figures that showed same-store sales growth and organic sales growth modestly above expectations. Pandora also expects earnings before interest and taxes (EBIT) margin to be at the high end of its guided range, which was also above market expectations. OUTLOOK: Since 2009, the MSCI ACWI Growth has returned 273.7%, trouncing the 153.8% return of the MSCI ACWI Value. Naturally, this unusually long and pronounced period of value performance has led manyinvestors to question the continued relevancy of value investing. As long-term market observers can attest, history may not repeat, but it does often rhyme and things always seem darkest before dawn. While we cannot predict precisely when the market environment will shift back in favor of undervalued stocks, we do confidently believe that the magnitude of the disconnect between value and growth stocks that now exists cannot persist, and that a tremendous opportunity exists among value stocks today. Investors have grown more skeptical about companies with potentially significant long-term growth but little to show in near-term cash flows. Many traditional value sectors have begun to show signs of improvement, and there are some indications the global growth slowdown may be bottoming.
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2020
Portfolio Guideline: Index Bernstein Calc Min Max Complianceok
72.0 25 75 ok
United States * 56% 40% 25% 25% ok Europe ex U.K. * 14% 26% 15% 15% ok UK * 5% 6% 10% 10% ok Japan * 7% 7% 10% 10% ok Emerging Markets 12% 0% 20% ok Other 10% 0% 20% ok
100%
184,731 65,797 36% 50% 100% check2.4 1.7 70% 50% 100% ok
16.3 12.2 75% 50% 100% ok12.0 6.9 58% 50% 100% ok2.4 3.0 124% 75% 200% ok
okokok
Forwards executed with Custodian <= 100% of the total mv of account, given credit check okok
43% 30% 40% check
B6. Capitalization:
Dividend Yield Price/Cash Flow Price/Earnings (Next 12 mo)
C2. Max forward w/ counterparty <= 30% of total mv of account
F3. Annual turnoverF2. Brokerage commissions not to exceed $0.05/share for U.S. equities
Our portfolio average capitalisation weight relative to the benchmark is driven by two factors. We find some smaller cap ideas very attractive.
The portfolio is in compliance with all other aspects of the Portfolio Guidelines
Manager Explanations for Deviations from Portfolio Guidelines
F3. Annual Turnover:
C1. Currency or cross-currency position <= value of hedged securities No executed forward w/o a corresponding securities position.
Turnover will vary throughout market cycles based on the level of volatility in markets and the changing nature of the value opportunity.
B5. Normal Regional Exposures (* benchmark -/+ min/max):
Total
Capitalization
B4. Number of issues
B6. Normal Global Portfolio Characteristics (MSCI ACWI)
Price/Book Value
Bernstein Global Strategic ValueGlobal Equity: MSCI ACWI Benchmark
JanuaryPortfolio Guideline Compliance
B3. Security position <= 10% of the account @ purchase
NoYes
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2020
* Annualized returnsLast
MonthLast
3 MonthsLast
1 YearLast
3 Years*Last
5 Years*-3.96% 4.38% 20.01% n.a. n.a.-1.10% 4.88% 16.04% n.a. n.a.
Gained: 1 75.0$ Lost: 0
Reason(s):
BLS is a "bottom-up" manager, whose process is driven by individual security selection. They invest in quality companies whichhave the best possibility of creating sustainable value and generating attractive risk adjusted returns to investors in the longterm. Country and sector exposures are by-products of the security selection process and are unconstrained by index weights.The portfolio consists of roughly 25-30 securities at a time. It is a concentrated global equity portfolio, and as such, mayexperience more volatility relative to the market.
Number of Accounts:Number of Accounts:
Manager Style Summary
Total Market Value ($m):Total Market Value ($m):
Account Turnover
BLSMSCI ACWI
BLS CapitalGlobal Equity: MSCI ACWI Benchmark
Manager Performance Calculations
Performance Attribution & Strategy Comments
For the month of: January
The portfolio had a gross return of -3.96 pct. in January, whereas MSCI AC World returned -1.10 pct. resulting in an underperformance of 2.86 pct. The underperformance was strongly impacted by the portfolio’s indirect exposure to China. The three largest relative contributors were Novo Nordisk (5.4 pct. total return in USD), Moody’s (8.2 pct.) and American Express (4.7 pct.), while Samsonite (-20.4 pct.), Galaxy Entertainment (-10.0 pct.) and IHG (-10.5 pct.) were the largest relative detractors.The portfolio’s exposure to the US remains low at 37 pct. compared to a historic level of around 50 pct. which is due to a combination of absolute valuation attractiveness as well as valuation relative to our remaining holdings. We own no FAANG or BAT companies and our exposure to technology is close to all-time low. The portfolio has a significant indirectly exposure to China due to the long-term growth in both size and purchasing power of a growing Chinese middle class. Until the Coronavirus outbreak our companies had not shown any signs of slowing growth rates and had progressed according to our expectations, but as the ramifications of the spread of the virus grew especially our casinos were directly impacted through the closure of casino activities in Macau. Closing down the casinos for two weeks will obviously impact results and also the Chinese New Year gambling season didn’t turn out to be as good as were in the cards following the first two strong weeks in January where bookings looked high-quality strong.Freight forwarders are a sizable combined exposure in the portfolio, and the US-based forwarders have experienced a tough environment with regards to transported volumes in the fourth quarter, which will likely continue in the first quarter of calendar 2020. We see no changes of the strength of the forwarding business model, nor to the competitive position or value creation in the portfolio’s forwarders.We have added to the positions in IHG, Galaxy and Wells Fargo during January.We continue to find reasonable cash flow-based valuation support. While we see slower growth in revenue and earnings of the market generally, we do not see the same development amongst the portfolio’s names. We expect cash flows to grow by around 10 percent in 2020, with some downside risk in the first half of the year due to the direct and indirect effects from the coronavirus in China. We expect to see bumps during the coming quarterly reports from this outbreak but see no reason for longer-term impairment of the cash-flow generation of the companies in the portfolio. Based on our companies’ strong balance sheets with little to no debt, highly resilient and predictable business models, we see them as strongly positioned to maintain predictable and strong free cash flow generation in periods with turbulence in the global economy. With the uncertainties around the coronavirus and potential impact on an economic slowdown interest rates could be lowered again. All in all we do not see a change in the fundamentals of our portfolio companies, but no doubt that quite a few companies might feel an operational effect during H1 and most likely also beyond the obvious China suspects. Instead we are tempted to add further to certain portfolio companies, and they have become even more compelling from a valuation standpoint despite the potential bumps they might face operationally in the next quarter or two.
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2020Portfolio Guideline: Index BLS Calc Min Max Compliance
YesYes
25 25 30 ok
North America 38% 35% 50% ok Japan 0% 0% 0% ok Europe ex UK 19% 15% 35% ok UK 21% 5% 13% check Pacific ex Japan 0% 0% 0% ok Emerging Markets 23% 10% 30% ok Non-Index Countries 0% 0% 0% ok
100%
77 45 75 check7.6 5 9 ok
20.1 17 23 ok21.3 19 24 ok2.6% 1.8% 2.8% ok39% 31% 37% check50% 42% 50% ok4.7% 3.8% ok
Yes35% 40% ok
There have been no changes in the team during the period.
ROIC
Total
Capitalization (45%-75%)
Price/Earnings (current)
B7. Normal Global Portfolio Characteristics
Price/Book Value
FCF Yield
B6. Regional Exposures:
F3. Annual turnover
The exposure to UK has been increased as we have found valuation of the portfolio's UK based companies increasingly attractive.
The portfolio is in compliance with all other aspects of the Portfolio Guidelines
B6. Normal Regional Exposures (* benchmark -/+ min/max):
B3. No more than 10% of the account shall be invested in any one security @ purchase
B5. Number of issuesB4. No more than 2 companies headquartered in Denmark
Organizational/Personnel Changes
Price/Cash Flow (current) Dividend Yield ROE
F2. Brokerage commissions not to exceed $0.03/share for U.S. equities
BLS CapitalGlobal Equity: MSCI ACWI Benchmark
JanuaryPortfolio Guideline Compliance
Manager Explanations for Deviations from Portfolio Guidelines
B7. Capitalization:
B7. ROE:
We have found increasingly attractive opportunities with companies of higher market capsWe have found increasingly attractive opportunities within companies with higher RoE.
NoYes
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2020
* Annualized returns
Last
Month
Last
3 Months
Last
1 Year
Last
3 Years*
Last
5 Years*
-4.14% 2.43% 4.44% 5.89% 5.09%
-0.11% 6.68% 20.53% 13.82% 11.84%
Gained: 0 -$
Lost: 0 -$
Reason(s):
Account Turnover
Organizational/Personnel Changes
None
January
Brandes Investment Partners, L.P.
Global Equity: Russell 3000 Benchmark
Manager Performance Calculations
Performance Attribution & Strategy Comments
For the month of:
Brandes
Russell 3000
Brandes is a classic "bottom-up" manager, focusing primarily on individual security selection (while country allocation
is a secondary consideration), with a "value" bias, purchasing stocks primarily on the perceived undervaluation of their
existing assets or current earnings. Consequently, the securities in the portfolio will tend to have a higher dividend yield
and lower P/E and P/Book ratios compared to the market. Brandes' classic Graham and Dodd value investment style
combined with the relatively low number of stocks in the portfolio results in large gains or losses on the portfolio. What
has been encouraging is that Brandes has turned in good returns when the markets generally have rewarded growth,
rather than value, styles.
Number of Accounts:
Number of Accounts:
Total Market Value ($m):
Manager Style Summary
Total Market Value ($m):
In January 2020 the portfolio declined and trailed global markets. Just as market concerns began to ease over trade tensions, global markets were upset by the coronavirus outbreak. Being a global value manager has proven challenging over the last decade as international markets underperformed the U.S. and value stocks significantly lagged growth. This trend continued into 2020. Global value stocks continue to trade among their largest discount levels (e.g. P/E, P/B) to the overall market in 20 years, thus improving the prospects, in our view, that any valuation change should tilt in favor of value. The largest industry detractors were in the Financial sector, with weakness in select U.S. Bank stocks and global Capital Market holdings. Following a period of strong performance, Pharmaceuticals also saw a pullback. The largest industry contributors came from a rise in a French Utility holding and a Finnish Communication Equipment company. The largest performance detractor on a country basis was the U.S., where portfolio holdings significantly lagged the index on a relative basis, followed by holdings in the U.K., where the portfolio is overweight and stock selection underperformed relative to the index. Mexico was the largest positive contributor on a relative basis, with a Mexican REIT holding rising as markets appreciated the attractive yield amid falling global rates. As of 1/31/20, the largest absolute country weightings were in the U.S. - although the portfolio is significantly underweight relative to the index - the United Kingdom and France; the largest industry weightings were Banks, Pharmaceuticals and Health Care Providers. During the month the Global Investment Committee made few portfolio changes with one full sell of a Swiss Insurance company and no new buys. Unaffected by short-term market fluctuations, our allocation decisions are anchored on a fundamental, bottom-up investment approach focused on seeking the most attractive value around the globe. Amid the constant stream of macroeconomic and geopolitical news, Brandes continues to pursue attractive businesses with stock prices below our estimates of their intrinsic value. We believe uncertainties help drive prices of fundamentally sound companies below what they are truly worth, and we remain committed to building and holding a value portfolio in all market conditions. We are enthusiastic about the potentially undervalued companies we hold within the asset class, and believe the portfolio remains well positioned for the long term.
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2020
Portfolio Guideline: Index Brandes Calc Min Max Complianceok
59 40 70 ok
36% 30% 100% ok4% 0% 40% ok
17% 0% 25% ok25% 0% 50% ok2% 0% 45% ok8% 0% 40% ok0% 0% 20% ok7%
100%
$72,453 $58,033 80% 30% 125% ok1.7 1.0 60% 50% 100% ok
15.7 14.5 92% 50% 100% ok9.1 6.1 67% 50% 100% ok3.1 4.4 142% 90% 150% ok
$240,753 $135,578 56% 30% 125% ok3.2 1.7 52% 50% 100% ok
22.2 13.2 60% 50% 100% ok13.6 9.6 70% 50% 100% ok1.7 2.4 139% 90% 150% ok
okokokok
7% 100% ok
C1. Currency or cross-currency position <= value of hedged securities
Dividend Yield
Price/Book Value Price/Earnings Price/Cash Flow
No executed forward w/o a corresponding securities position.
Price/Earnings
B6. Normal International Portfolio Characteristics (FTSE All World ex U.S. "Large")
Dividend Yield
B7. Normal U.S. Portfolio Characteristics (Russell 3000) Capitalization
Price/Cash Flow
F2. Brokerage commissions not to exceed $0.05/share or 50% of principal (non-U.S.)C2. Max forward w/ counterpart <= 30% of total mv of account
Total Cash & Hedges
Capitalization Price/Book Value
Non-Index Countries
B5. Normal Country Exposures:
Brandes Investment Partners, L.P.Global Equity: Russell 3000 Benchmark
JanuaryPortfolio Guideline Compliance
B3. Security position <= 5% of the account @ purchaseB4. Number of issues
Americas ex U.S. United Kingdom
Pacific ex Japan
Europe ex U.K. Japan
United States & Canada
The portfolio is in compliance with all other aspects of the Portfolio Guidelines
Manager Explanations for Deviations from Portfolio Guidelines
F2. Annual turnover
There were no deviations.
NoYes
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2020
* Annualized returnsLast
MonthLast
3 MonthsLast
1 YearLast
3 Years*Last
5 Years*1.95% 2.05% 10.05% 4.78% 3.30%1.92% 1.80% 9.65% 4.62% 3.01%
Clearwater manages a core Aggregate portfolio which is not expected to deviate significantly from the benchmark,although issuer concentration is expected to be much larger. They seek to add value through sector allocation andsecurity selection rather than duration bets. Prior to January 2014, Clearwater managed a TBA mortgage portfolio.The historical returns through December 2013 reflects the performance of the TBA portfolio while performancebeginning January 2014 reflects the Aggregate portfolio.
Barclays Aggregate
Performance Attribution & Strategy CommentsPortfolio performance exceeded the benchmark by 3 bps last month. After closing the year on a highnote, news of a coronavirus outbreak in China sparked a major risk-off sentiment across global markets.The virus added a new, uncertain, downside risk for markets just as there were signals that globaleconomic activity was stabilizing. Safe haven assets benefited with Treasury yields rallying 20-40 basispoints and gold posting a 4.7% gain on the month. The yield curve inverted as the front-end wasanchored by Fed policy (on hold for now) and longer maturity yields declined.
Duration and high-quality sector exposure contributed to the small portfolio excess performance.Credit performance was mixed. Energy and metals & mining suffered as oil prices plummeted. BBB-rated issuers underperformed their higher-rated counterparts.
Monetary policy has regained prominence globally as developed central bank policy shifted from a shortpause to accommodative over the first half of 2019 broadly supporting markets. Domestic growthslowed but seems to have stabilized. The Fed has paused after cutting three times and the path forfuture rate cuts will be determined by macro risks and incoming economic data. China’s ability tocontain the coronavirus will greatly impact market sentiment and the country’s impact on global growth.Further, politics will dominate headlines leading up to November.
Organizational/Personnel Changesnone
Manager Style Summary
Clearwater Advisors, LLCCore Fixed: Barclays Capital Aggregate Benchmark
For the month of: January
Manager Performance Calculations
Clearwater Agg
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2020
Portfolio Guideline: Clearwater BC Agg Min Max Complianceok
5.7 5.9 5.4 6.4 ok
28% 40% 25% 55% ok4% 2% -13% 17% ok1% 3% -7% 13% ok
33% 25% 5% 45% okIndustrial 17% 15% 0% 30% okFinancial 13% 8% -7% 23% okUtility 3% 2% -8% 12% ok
29% 27% 12% 42% ok1% 0% -5% 5% ok
Q 5% 2% -3% 7% okB4. Issuer Concentration: <=5% all corporate issuers 5% ok
117 100 200 ok0% 10% ok
B7. Out of index sector alloc 0% 10% okB7. TIPS allocation 3% 20% ok
38% 80% 120% check
Gained: Number of Accounts: 0 -$ Lost: Number of Accounts: 0Reason(s) for loss:
E2. Annual Turnover (ex TBA rolls)
Portfolio Guideline Compliance
N/ATotal Mkt Value ($m):Total Mkt Value ($m):
Account Turnover
Manager Explanations for Deviations from Portfolio Guidelines
The portfolio is in compliance with all other aspects of the Portfolio Guidelines
E2. Annual Turnover (ex TBA rolls) Portfolio turnover has been below expectations. We don't expect it to shift materially higher in the near-term.
CMBS
A1. The account shall consist of dollar denominated fixed income securities
MBSABS
B5. Number of positions
TreasuriesAgencies
B6. Non-Investment Grade alloc
January
Supra/Sovereign
Clearwater Advisors, LLCCore Fixed: Barclays Capital Aggregate Benchmark
Corporates
B3. Sector Diversification:B2. Duration:
Yes No
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2020
* Annualized returnsLast
MonthLast
3 MonthsLast
1 YearLast
3 Years*Last
5 Years*0.17% 0.46% 2.36% 1.86% 1.36%0.13% 0.40% 2.15% 1.65% 1.05%
Portfolio Guideline: Clearwater Min Max Compliance100%10% 0% 100% ok4% 0% 100% ok
19% 0% 100% ok0% 0% 60% ok5% 0% 40% ok
15% 0% 100% ok47% 0% 100% ok
okB2c. Effective Duration <=18 months 3 18 ok
25 10 50 okB3a. Allocation of corporate securities to one issuer 4% 5% ok
Clearwater CashCash: Merrill Lynch 0-3 Month Treasury Bill Benchmark
Portfolio Guideline Compliance
B2a. Sector Allocations:
Cash
B2b. Quality: Securities must be rated investment grade by S&P or Moody's at time of purchaseCommercial Paper
Mortgage Backed Securities (MBSs)
TreasuriesAgenciesCorporates
Asset Backed Securities (ABSs)
B3a. Corporate Issuer:Manager Explanations for Deviations from Portfolio Guidelines
B2d. Number of securities
The portfolio is in compliance with all other aspects of the Portfolio Guidelines
The enhanced cash portfolio was created with the expectation that the portfolio will generate returns similar to, or inslight excess of, the Mellon Short-Term Investment Fund (STIF), while providing PERSI with an increased level oftransparency into the cash portfolio.
For the month of: January
Manager Performance Calculations
Clearwater - PERSI STIFML 0-3 Month T-bill
Performance Attribution & Strategy CommentsDuring January we saw the outbreak of a new Coronavirus in China which caused a flight to quality thatcaused most US Treasury Yields to fall despite the Federal Reserve holding interest rates steady.
Within the month of January the Coronavirus infected over 14,300 people, spreading throughout China and toother countries, disrupting many market and business operations. However, despite the Coronavirus, theFederal Reserve left rates at its current range of 1.5%-1.75%, stating that the labor market remains strong andeconomic activity has been rising at a moderate rate. This follows three 25 basis points (bps) cuts in 2019.
The 1 month treasury yield increased 8bps to 1.56% with the 2 year decreasing 25bps to 1.33%. TheBloomberg All Cash Bond Index, which measures credit spreads, increased 12bps rounding out January at 109.3 Month LIBOR decreased by 15bps to 1.75% and SOFR increased 5bps to 1.60%.
Manager Style Summary
Money was drawn out of the account, making existing holdings tick slightly above the 5% threshold. As of 1/6/20 all holdings are in compliance.
Yes No
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2020
* Annualized returnsLast
MonthLast
3 MonthsLast
1 YearLast
3 Years*Last
5 Years*0.68% 1.08% 6.14% 3.37% 2.28%0.70% 1.06% 6.25% 3.50% 2.55%
DBF BC Mtg$94.47 N/A
2.5 2.62.3% 2.3%3.6% 3.6%
D.B. Fitzpatrick & Co., Inc. - MBS PortfolioDomestic Fixed: Bloomberg Barclays Mortgage Benchmark
For the month of: January
Manager Performance Calculations
Performance Attribution & Strategy Comments
DBF MBSBC Mortgage
Portfolio Attributes
Characteristics
DBF's MBS (Mortgage Backed Security) portfolio is a "core" holding which attempts to generally track the returns of theBarclays Capital Mortgage Index. Excess returns are added through security selection and interest rate bets, although suchbets are expected to be limited and relatively low-risk. DBF also manages the Idaho Mortgage Program in conjunction withthis portfolio -- the MBS portfolio serves as a "cash reserve" of sorts, to fund mortgages managed through the IdahoMortgage Program. Consequently, we expect this portfolio to hold traditional MBS instruments and to maintain areasonably healthy status, with no significant bets which could go significantly awry.
Market Value ($ m)Weighted Average Effective Duration (in years)Weighted Average Yield (in %)Weighted Average Coupon (in %)
Manager Style Summary
Interest rates declined meaningfully in January as the coronavirus outbreak in China continued and investor expectations for inflation and growth slowed. The 10-year U.S. Treasury bond yield ended the month at 1.51%, down 41 basis points. Agency mortgage backed-security spreads widened 9 basis points during the month, due to risk-off investor sentiment, elevated prepayment risk, and heightened interest rate volatility. The PERSI MBS portfolio underperformed the Bloomberg Barclays U.S. MBS Index by 2 basis points in January.
We continue to see relative value in MBS today, with the current coupon 30-year 3% trading at higher yields than similar duration high quality corporates. The MBS sector should benefit if interest rate volatility declines, and even more so if rates move higher as prepayment concerns would abate. We continue to maintain an underweight position to Ginnie Mae MBS, as prepayment speeds on recently issued Ginnie Maes remain higher than conventional MBS, and we expect them to underperform over the longer run.
Given the uncertain outcome of the coronavirus and its impact on growth, we have positioned the portfolio’s duration and convexity attributes to be closely aligned to the Bloomberg Barclays U.S. MBS Index. We retain ample flexibility to adjust coupon exposure, should market conditions change.
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2020
Portfolio Guideline: DBF Min Max Compliance$94 $50 ok
100% 80% 100% ok100% 75% 100% ok13.7%86.2%0.0%0.0% 0% 25% ok0.0% 0% 20% ok0.0% 0% 20% ok
Agencies 0.0% 0% 20% ok0.0% 0% 10% ok
BB MtgDuration 2.6 2.5 0.6 4.6 okCoupon 3.6% 3.6% 2.6% 4.6% okQuality AAA AAA AAA ok
0% 5% check56 25 50 check
101% 0% 25% check
Gained: 0 -$ Lost: 0 -$
Reason(s):
Cash
B3. Individual security excl Treasuries as a % of portfolio
Manager Explanations for Deviations from Portfolio Guidelines
The portfolio is in compliance with all other aspects of the Portfolio Guidelines
Attributes:
B3. Security Size: Two positions exceed the 5% maximum guideline at 5.08% and 5.14%, due to significant cash flows during recent months.
E2. Annual Turnover
Organizational/Personnel Changes
B2. Minimum portfolio size
MORTGAGE RELATED
NON-MORTGAGE RELATED
FHLMCsCMOs
B2a. Security Type:
Treasuries
N/A
Number of Accounts:Total Market Value ($m):Number of Accounts:Total Market Value ($m):
There were no organizational or personnel changes in January.
JanuaryPortfolio Guideline Compliance
D.B. Fitzpatrick & Co., Inc. - MBS PortfolioDomestic Fixed: Bloomberg Barclays Mortgage Benchmark
Generic MBSs GNMAs FNMAs
B4. Number of securities
Account Turnover
The number of securities is greater than 50 due to significant cash flows occurring in recent months.
B4. Number of Securities:
Annual turnover has been elevated due to commercial mortgage funding requirements.
E2. Annual Turnover:
Yes No
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2020
* Annualized returnsLast
MonthLast
3 MonthsLast
1 YearLast
3 Years*Last
5 Years*2.48% 1.93% 10.90% 6.15% 4.41%0.70% 1.06% 6.25% 3.50% 2.55%
Market Value: Delinquencies/REOs$ Amt
Originations/Payoffs 30 days -$ Month: 60 days -$ Year to Date: 90 days -$
120+ days -$ Payoffs: REOs -$
D.B. Fitzpatrick & Co., Inc. - Idaho Commercial Mortgage PortfolioDomestic Fixed: Barclays Capital Mortgage Benchmark
For the month of: January
Manager Performance Calculations
Idaho Commercial Mortgages
The Idaho Commercial Mortgage portfolio is managed by DBF and consists of directly owned Idaho commercial mortgages.DBF oversees the origination process, the monitoring of the portfolio, and services 50% of the portfolio.
Manager Style Summary
% of Portfolio0.00%
0.00%
0.00%0.00%0.00%
11,004,509$
859,945$
Performance Attribution & Strategy Comments
BC Mortgage
Portfolio Summary
11,004,509$
854,896,314$
The Idaho Commercial Mortgage Portfolio outperformed the Barclays US MBS Index by 178 basis points in January, as Treasury yields fell and mortgage-backed security option-adjusted spreads widened. The Commercial Mortgage Portfolio has outperformed its benchmark by 265 basis points (annualized) during the last three years, and 186 basis points (annualized) during the last five years. This outperformance has been driven fundamentally by the portfolio’s low delinquency rate, which today is 0.0%.
January was a good month for loan originations, with gross production of $11m. The majority of these loans are on properties in north and east Idaho, further increasing our diversification throughout the state. We have worked hard in recent years to expand our presence in these regions, and have experienced especially positive results in east Idaho. The loan pipeline is strong, with an additional $65m in originations already scheduled for funding in 2020.
The fundamentals driving commercial real estate in Idaho during the last several years remain intact: solid population growth, a strong local economy, low interest rates, limited supply of new properties, and increased interest in Idaho from outside investors. We have remained diligent and conservative with our underwriting, however, knowing that we will lose some deals in this part of the cycle.
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2020
* Annualized returnsLast
MonthLast
3 MonthsLast
1 YearLast
3 Years*Last
5 Years*-7.73% -4.58% 5.44% 5.51% 5.72%-0.11% 6.68% 20.53% 13.82% 11.85%
Characteristics DSCO RU 3000Mkt Value ($m) 465.19 N/A Over-weight DSCO RU 3000Wtd Cap ($b) 17.84 268.54 Industrials 41.23% 9.98%P/E 8.13 21.81 Materials 14.12% 3.22%Beta 0.87 N/A Financials 25.84% 20.78%Yield (%) 1.20 1.80Earnings Growth Under-weight DSCO RU 3000
Info Technology 1.80% 23.43%Health Care 0.00% 13.60%Cons. Staples 0.00% 5.63%
Portfolio Attributes
Manager Style Summary
The account’s decline of 7.7% lagged all three indices which were down less (Russell 3000 Value -2.4%; Russell3000 -0.1%; S&P 500 -0.04%). Concerns about the world economy due to the Coronavirus epidemicdominated the market. Most of the stocks in the portfolio fell except for some homebuilders (Taylor Morrison+18.4%; M/I Homes +12.8%) which rose as mortgage rates fell significantly. Despite gold being up for themonth, gold miners were a mixed bag while some names rose (Leagold +12.7%; Yamana +3.0%) while othersdeclined (IAMGOLD -20.6%; Gold Fields -3.0%). In particular, IAMGOLD fell sharply after reporting earningsand a lackluster guidance. The top detractors were the shipping names (Diamond S Shipping -33.8%;International Seaways -25.2%; Flex LNG -23.3%) and energy (Bonanza Creek -22.1%) as energy prices wereunder pressure. More economically sensitive holdings in the airlines, aircraft leasing, and hotel industries alsofell (Air France -16.2%; Corepoint Lodging -14.3%; FLY Leasing -12.9%; AerCap -7.9%). Other detractorsincluded the technology (Sanmina -7.0%) and some of the insurance names (Unum -8.5%; American National -6.4%; AIG -2.1%; Loews -2.0%). We added to Bonanza Creek, Diamond S, FLY Leasing, and Tutor Perini, whiletrimming JetBlue. There were no new names added. Airlines / aircraft leasing, insurance, metals, metals,building / real estate, and shipping are the largest industry weightings. The portfolio trades at 70% of tangiblebook value, 7.3x 2020 EPS, and 5.6x 2-4 year normalized EPS.
Sector Analysis
Donald Smith & Co manages an all-cap portfolio, employing a bottom-up, deep value investment strategy. They invest instocks with low P/B ratios and which are undervalued given their long-term earnings potential. Consequently, theportfolio will consist of securities wtih higher dividend yield and lower P/B and P/E ratios relative to the market. This is aconcentrated portfolio, consisting of approximately 15-35 issues, and as a result, may experience more volatility than themarket.
Performance Attribution & Strategy Comments
Donald Smith & Co., Inc.Domestic Equity: Russell 3000 Benchmark
Donald Smith & Co.Russell 3000
Manager Performance Calculations
For the month of: January
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2020
Portfolio Guideline: DSCO RU 3000 Calc Min Max Complianceokok
29 15 35 ok
0.70 3.45 20% 30% 100% check8.13 21.81 37% 50% 100% check1.20 1.80 67% 50% 150% ok
okF3. Annual Turnover 28% 20% 40% ok
Gained: 0 -$ Lost: 0 -$
Reason(s):Total Market Value ($m):
Number of Accounts:Number of Accounts:
Total Market Value ($m):
Organizational/Personnel Changes
Account Turnover
In 4Q of 2019, with the passing of our firm founder Donald Smith, we had announced new title changes for Richard Greenberg (CEO / Co-CIO) and Jon Hartsel (Co-CIO / Director of Research). Effective 1Q 2020, Ann Cianfrone became COO in addition to keeping the previous CCO (Chief Compliance officer) role. There was also a significant sale of the firm to existing equity holders, and two new owners were added.
B5. P/B: Our primary approach is to buy low P/B stocks selling at discounts to tangible book value.
The portfolio is in compliance with all other aspects of the Portfolio Guidelines
Manager Explanations for Deviations from Portfolio GuidelinesB5. P/E (1 Yr Forward):
B4. Number of issues
P/B P/E (1 Year Forward) Dividend YieldF2. Commissions not to exceed $0.05/share; explanation required for commissions >$0.07/share
We focus on normalized EPS looking out 2-4 years. On this basis, we are significantly below the market.
B5. Portfolio Characteristics
B3. Security Positions <= 15% @ purchase
Donald Smith & Co., Inc.Domestic Equity: Russell 3000 Benchmark
Portfolio Guideline Compliance January
B2. Security Market Cap (in $m) > $100 m @ purchase
Yes No
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2020
* Annualized returns
LastMonth
Last3 Months
Last1 Year
Last 3 Years*
Last 5 Years*
-0.37% 5.95% 25.16% N/A N/A-0.61% 5.22% 7.42% N/A N/A
Gained: 0 -$ Lost: 0 -$
Reason(s):
Fiera is a "bottom-up" manager, whose process is driven by individual security selection. They invest in quality companiesand seek to consistently compound shareholder wealth at attractive rates of return over the long term while preservingcapital. Country and sector exposures are by-products of the security selection process. The portfolio consists of roughly30-50 securities at a time. It is a concentrated global equity portfolio, and as such, may experience more volatility relativeto the market.
Number of Accounts:Number of Accounts:
Manager Style Summary
Total Market Value ($m):Total Market Value ($m):
Fiera CapitalGlobal Equity: MSCI World Benchmark
Manager Performance Calculations
Performance Attribution & Strategy Comments
For the month of: January
Account Turnover
FieraMSCI World
Organizational/Personnel Changesnone
Just as one source of investor angst faded at the beginning of 2020, another intensified. After simmering trade tensions fueled a blockbuster start to the year, sentiment took a turn for the worse after the outbreak of the Wuhan coronavirus threatened to derail an already-fragile global growth backdrop. The epidemic, and efforts to contain it has forced investors to reassess the outlook for the world’s second-largest economy and by extension, global growth prospects. Importantly, Chinese policymakers responded swiftly with new measures to stem the damage to both financial markets and the economy – though uncertainty is surely to prevail in the near-term until the virus has been contained.
Month to date through January, while the Global Equity strategy underperformed in absolute performance, it outperformed relative to the MSCI World Index. Our realtive absolute underperformance was driven mostly by our security selection within the Information Technology and Consumer Discretionary sectors. Offsetting these negatives was our selection within the Financials sector. From an individual name perspective, some of the top contributors over the month of January were Moody's Corporation, MSCI Inc., and Mastercard, while the top detractors were AutoZone, Inc., InterContinental Hotels Group, and HDFC Bank.
In terms of sectors, we remain overweight Consumer Staples, Industrials, and Information Technology. We are underweight Financials, Communication Services, Materials, Real Estate, Utilities, and Energy. We maintain our underweight position in Energy due to our perception that many firms in this sector lack competitive pricing power.
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2020
Portfolio Guideline: Index Fiera Calc Min Max ComplianceYes
34 30 50 okYes
North America 60% 30% 80% ok Japan 6% 0% 30% ok Europe ex UK 17% 10% 50% ok UK 10% 0% 50% ok Pacific ex Japan 0% 0% 30% ok Emerging Markets 6% 0% 20% ok Non-Index Countries 1% 0% 20% ok
100%
11.3 30.8 273% 100% ok7.2 17.7 247% 100% ok
21.9 28.7 131% 50% ok2.3 6.6 285% 50% ok
12.8 21.7 169% 50% ok2.6 1.4 56% 25% ok
212,999 153,637 72% 25% okC2. Max value of forwards w/single counterparty 0% 30% okC3. Cash/cash equiv in non-USD currencies 0% 10% ok
Yes10% 10% 20% ok
B3. No more than 10% of the account shall be invested in any one security @ purchase
ROE
B4. Number of issuesB5. Issuer market capitalization: above $1 billion @ purchase
Fiera CapitalGlobal Equity: MSCI World Benchmark
JanuaryPortfolio Guideline Compliance
B7. Normal Global Portfolio Characteristics Total
B6. Normal Regional Exposures (* benchmark -/+ min/max):
F2. Brokerage commissions not to exceed $0.05/share for U.S. equitiesF3. Annual turnover
Price/Book Value
ROIC
Dividend Yield Market Capitalization
Price/Earnings
Price/Cash Flow
The portfolio is in compliance with all other aspects of the Portfolio Guidelines
Manager Explanations for Deviations from Portfolio GuidelinesThere were no deviations.
NoYes
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2020
* Annualized returnsLast
MonthLast
3 MonthsLast
1 YearLast
3 Years*Last
5 Years*Genesis -3.71% 3.25% 13.06% 11.82% 7.10%MSCI EM -4.66% 2.38% 4.21% 8.28% 4.87%
Over-weight Genesis EM Under-weight Genesis EMRussia 7.20% 3.98% China 23.00% 34.22%Mexico 4.82% 2.42% Taiwan 4.32% 11.69%Thailand 4.77% 2.45% Brazil 3.91% 7.27%
Genesis utilizes a "bottom-up" investment approach, whereby security selection is primarily based on individual stocksrather than country or regional prospects. An unusual aspect of their style is that they will limit the countries within theirselection set to the World Bank list of emerging markets (based on per capita GDP), rather than the standard emergingmarkets indices. Thus, some of the countries within the emering markets indices (i.e. Israel), are not a major focus ofGenesis. Their unique style tends to keep Genesis out of fast-growing countries included in the emerging markets indicesor country or regional successes rather than individual companies (i.e. Asia). Consequently, they can have periods ofunderperformance when these types of countries perform well.
Genesis Investment Management, LLPEmerging Markets Equity: MSCI EM Benchmark
Manager Style Summary
Manager Performance Calculations
Performance Attribution & Strategy Comments
Country Allocation Comparison
JanuaryFor the month of:
Over the month the portfolio outperformed the MSCI EM Index by 0.9%. Indian holding Infosys gained 6% and Turkish names Coca-Cola İçecek and MLP contributed too (up 19% and 8% respectively). A Chinese stock that benefitted from the virus scare was the online gaming company NetEase, which rose 5% as people were encouraged to stay at home. However, leading the detractors this month was 58.com (China, down 14%) which felt the effect of concerns over the coronavirus. Notable losses were also seen in South Korea where Samsung Fire & Marine and Amorepacific lost 15% each and Kangwon Land fell 9%. Other detractors were OTP Bank (Hungary, -12%), Mediclinic (South Africa, -12%) plus Caribbean telco LiLAC (-13%).In relative terms, most value was added in China as a result of stock performance, as Netease was supported by New Oriental Education (flat). Gains were also made in Russia, chiefly from the large non-index position of Yandex (+3%) and in South Africa and Turkey. The largest detractor was India due to stock performance as HDFC Bank fell by 10%. Losses in communication services and healthcare were offset by gains made in financials, consumer staples and energy. Over the last three months the portfolio outperformed the MSCI EM Index by 0.9%. Two of the top five largest contributors to the portfolio’s return came from Russia: Yandex (+34%) and Sberbank (+9%). The other three largest contributors were from Asia as Alibaba and Tencent both rose 17% and Samsung Electronics gained 12%, but despite these excellent returns they added no relative value due to their index weightings. Detractors were smaller in comparison but were headed by the Chinese pharmaceutical companies 3SBio (-31%) and CSPC (-19%), which fell on foreign competition concerns. In Thailand the 7-Eleven operator CP All and Thai Beverage fell by 12% and 13% respectively, while Kangwon Land and WH Group (China) also made double-digit losses. In relative terms, there were gains from stock selection in Russia from the previously mentioned stocks. Gains also came in Turkey, chiefly through Anadolu Efes (up 23%) and Coca Cola Icecek (up 41%), and also in Greece from the position in OPAP (up 25%). On the flip side a number of portfolio holdings in China underperformed, and despite outperforming the local country benchmark, the large overweight position in Thailand was also a drag on performance. In sector terms, there were substantial gains from energy and financials, but these were partially offset by losses in the health care and materials sectors.
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2020
Genesis Complianceokokok
82 okokokok
35% ok
Gained: 0 -$ Lost: 0 -$
Reason(s):
C1. Currency or cross-currency position <= value of hedged securities No executed forward w/o corresponding securities positionC2. Maximum forward with counterpart <= 30% of total mv of account
B5. Number of Issues > 75
B3. EAFE securities <=10% of value at cost
Please provide.
Arindam Bhattacharjee, Partner and Portfolio Manager since 2008, has been appointed as a Managing Partner, effectiveJune 2020. Arindam will take over Andrew Elder’s responsibilities when Andrew’s three-year term ends in June. Andrew,
who had taken on this role in July 2017, will remain a Partner and continue his leadership responsibilities as the Chair ofthe Genesis Operating Board.
Number of Accounts:
B4. Security position <=4% of the account at purchase
Genesis Investment Management, LLPEmerging Markets Equity: MSCI EM Benchmark
There were no deviations.
January
The portfolio is in compliance with all other aspects of the Portfolio Guidelines
F2. Annual Turnover <= 100%
Portfolio Guideline Compliance
Portfolio Guideline:B2. Country allocations <=15% of value at cost
Total Market Value ($m):
Manager Explanations for Deviations from Portfolio Guidelines
Organizational/Personnel Changes
Account Turnover
Number of Accounts:
Total Market Value ($m):
Yes No
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2020
* Annualized returnsLast
MonthLast
3 MonthsLast
1 YearLast
3 Years*Last
5 Years*2.60% 2.26% 11.74% N/A N/A2.38% 2.09% 11.02% N/A N/A
Income Research & Management (IR+M)Core Fixed: Bloomberg Barclays Gov/Credit Bond Index
Manager Style Summary
Manager Performance Calculations
Performance Attribution & Strategy Comments
IR+MBB Gov/Credit
Organizational/Personnel Changes
JanuaryFor the month of:
IR+M’s investment philosophy is based on the belief that careful security selection and active portfolio risk management providesuperior returns over the long term. Utilizing a disciplined, bottom-up investment approach, IR+M adds value through securityselection by seeking attractive, overlooked, and inefficiently priced issues.
N/A
The PERSI portfolio outpaced the Bloomberg Barclays G/C Index, returning 2.60% versus 2.38%. Relativereturns were driven by security selection. Selection within the SBA, industrial, CMBS, and ABS sectorscontributed. From an asset allocation perspective, the portfolio’s out of benchmark allocation tosecuritized sectors contributed. The underweight to Treasuries detracted.Risk assets underperformedin January amid concerns of slowing global growth, as economic data was mixed and the progressivespread of the coronavirus dominated headlines. The Federal Reserve (Fed) left the fed funds targetrange unchanged at 1.5-1.75%, as expected, and commented that further cuts are unlikely in 2020 giventhe current health of the US economy. Investors believe the Fed will likely cut rates this year with analmost 91% market-implied probability of at least one rate cut. Treasury yields steadily fell and the curveflattened as concerns surrounding coronavirus deepened; the curve closed the month inverted, withyield of 3-month Treasury Bill closing 4bps higher than the yield of the 10-year Treasury Note. The 30-year Treasury rate closed at 2%, the lowest level since September 2019. Negative headlines were aheadwind for investment-grade corporate spreads which widened 9bps from 93bps to 102bps withEnergy and Communication subsectors being impacted the most. Despite weaker sentiment, demandfor newly issued bonds was solid; order books were 3.4 times oversubscribed, on average, andborrowers priced bonds with less than 3bps of concession to outstanding issues. Investment-gradecorporate borrowers took advantage of primary market strength and issued over $133 billion, thesecond largest issuance total for the month of January on record and ahead of expectations of $120billion. Equity market weakness and falling oil prices impacted high-yield corporate spreads, whichwidened 54bps to 390bps. Asset-backed securities (ABS) and commercial mortgage-backed securities(CMBS) benefited from borrowers staying on the sidelines most of the month, providing a supportivetechnical which helped insulate the sectors from broader weakness. Longer-duration municipalsunderperformed Treasuries, with the 10-year muni/Treasury ratio increasing 1% to 78%.
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2020
Portfolio Guideline: IR+M BB G/C Min Max Compliance7.0 7.1 6.6 7.6 ok
Government 36% 58% 28% 88% okTreasuries 33% 56% 26% 86% okAgencies 0% 2% -3% 7% okGovt Guaranteed 3% 0% -10% 10% ok
Credit 42% 41% 21% 61% okFinancial 14% 11% -4% 26% okIndustrial 22% 22% 7% 37% okUtility 5% 3% -7% 13% okNon-Corporate 1% 6% -4% 16% ok
SecuritizedRMBS 2% 0% -10% 10% okABS 9% 0% -10% 10% okCMBS 7% 0% -10% 10% okAgency CMBS 1% 0% -5% 5% ok
Municipals 3% 1% -9% 11% okB4. Issuer Concentration: <=5% all corporate issuers 5% ok
174 100 175 ok0% 5% ok33% 25% 75% ok
Gained: Number of Accounts: 0 -$ Lost: Number of Accounts: 0 -$ Reason(s) for loss:
The portfolio is in compliance with all other aspects of the Portfolio Guidelines
B6. Non-Investment Grade allocE2. Annual Turnover
Income Research & Management (IR+M)Core Fixed: Bloomberg Barclays Gov/Credit Bond Index
B3. Sector Diversification:B2. Effective Duration:
B5. Number of positions
JanuaryPortfolio Guideline Compliance
IRM did not gain or lose any accounts in the G/C strategy during the month.Total Mkt Value ($m):Total Mkt Value ($m):
Account Turnover
Manager Explanations for Deviations from Portfolio GuidelinesThere were no deviations.
Yes No
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2020
* Annualized returns
LastMonth
Last3 Months
Last1 Year
Last 3 Years*
Last 5 Years*
-2.86% 3.90% 14.07% 12.94% 10.99%-1.10% 4.88% 16.04% 11.03% 8.51%
Gained: 0 -$ Lost: 0 -$
Reason(s):
Performance Attribution & Strategy CommentsAt a stock level, Charter Communications, AON and Willis Towers Watson were among the best performingstocks in the portfolio. US cable company Charter Communications and advisory, broking and solutionscompany AON both released results that beat estimates. In addition, AON issued positive guidance for2020. Though Willis Towers Watson, a direct competitor of AON, did not release results until February, themarket optimism around AON’s 2020 outlook likely raised Willis’s stock price.
On the negative side, Wells Fargo, W.W. Grainger and Bank of New York were the largest detractors fromportfolio performance. US bank Wells Fargo missed earnings estimates due to a weak net interest marginsand inflated expenses. Lower interest rate expectations puts downwards pressure on net interest marginsand the bank has had increased costs relating to its efforts to boost its compliance function following its mis-selling scandal in 2016. Whilst we expect increased costs to a certain extent, we will continue to monitor toensure these are not getting out of hand. Industrial distributor W.W. Grainger released earnings that werein line but a weaker outlook for 2020 than was built into consensus forecasts. Global custody bank Bank ofNew York released earnings that beat expectations but advised that expenses would likely increase by up to2% in 2020 due to more investment in technology.
Longview is a "bottom-up" manager, whose process is driven by individual security selection. Country allocations are a by-product of the stock selection process, which drives the portfolio country over and under weights, and is unconstrained by theindex weights. The portfolio holds 30-35 securities at a time, and stocks are equally weighted. It is a concentrated global equityportfolio, and as such, may experience more volatility relative to the market.
Number of Accounts: Total Market Value ($m):Number of Accounts: Total Market Value ($m):
Manager Style Summary
Organizational/Personnel ChangesThere were no changes to the Investment team in January 2020.
Account Turnover
Longview PartnersGlobal Equity: MSCI ACWI Benchmark
For the month of: January
Manager Performance Calculations
LongviewMSCI ACWI
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2020
Longview Min Max ComplianceYes
31.0 30 35 ok
78% 35% 70% check20% 20% 50% check2% 0% 20% ok0% 0% 15% ok0% 0% 10% ok
100%
43,634 $10 ok19.2 10 17 check2% 0.5% 2.0% check
13.7 10 14 okYesYesYes
19% 25% 50% check
Longview PartnersGlobal Equity: MSCI ACWI Benchmark
Portfolio Guideline Compliance January
Europe incl U.K.
Portfolio Guideline:
B4. Number of issuesB3. Security position <= 5% of the account @ purchase
Japan Emerging Markets Non-Index Countries
B5. Normal Regional Exposures (* benchmark -/+ min/max): United States & Canada
B5. Regional Exposures: The output of our investment process is a concentrated, yet diversified, portfolio
Total B6. Normal Global Portfolio Characteristics
C1. No executed forward w/o a corresponding securities position.
B6. Dividend Yield:
Dividend Yield Price/Cash Flow (Trailing)
Median Mkt Cap (in billions) Price/Earnings (Trailing)
F3. Annual turnover
C2. Foreign Currency (cash or cash equiv) <= 8% of Account valueF2. Brokerage commissions not to exceed $0.06/share for U.S. equities
Manager Explanations for Deviations from Portfolio Guidelines
The portfolio is in compliance with all other aspects of the Portfolio Guidelines
F3. Annual Turnover:
of typically 35 names, unconstrained by geography or sector. P/E ratio is not targeted and stands at 19.16 in January.
Dividend yield is not targeted and stands at 2.22% in January.
Activity level is driven by the bottom-up stock selection process and is affected by both stocks in the portfolio hitting their predetermined price targets and new
B6. Price/Earnings :
NoYes
opportunities we find in the market. We do not target a specific level of turnover. Annual turnover is calculated on rolling 12 month period and includes client flows.
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2020
* Annualized returnsLast
MonthLast
3 MonthsLast
1 YearLast
3 Years*Last
5 Years*-3.56% 1.35% 8.82% 7.33% 4.70%-2.09% 2.23% 12.10% 7.76% 5.12%
Over-weight Mondrian EAFE Under-weight Mondrian EAFEUK 23.81% 16.19% Australia 1.26% 6.95%Singapore 4.46% 1.26% France 7.19% 11.25%Italy 4.69% 2.33% Switzerland 5.36% 9.61%
Mondrian (formerly Delaware International) employs a top-down/bottom-up approach, with focus on security selection.The firm identifies attractive investments based on their fundamental, long-term flow of income. Dividend yield and futuregrowth prospects are critical to the decision making process. The portfolio is expected to be fairly concentrated (40-60securities), with a value bias. As such, we can expect the portfolio characteristics to exhibit low P/B, low P/E and highdividend yield ratios relative to the market.
January
Country Allocation Comparison
Mondrian Investment PartnersInternational Equity: MSCI EAFE Benchmark
Manager Style Summary
Manager Performance Calculations
Performance Attribution & Strategy Comments
For the month of:
MondrianMSCI EAFE
In a challenging month for value investors, portfolio returns lagged the broader index but were broadly in line with the value sub-index. Country allocation held back relative returnsThe underweight position in the strong Australian market, though somewhat offset by the weak currency, and the overweight position in the weak Hong Kong market held back relative returns. It is likely that the Hong Kong market was unduly sold off: with the Chinese markets on an extended holiday, investors may have sold Hong Kong listed securities to hedge Chinese exposure.Stock selection held back relative investment returnsStrong stock selection in Japan was more than offset by stock selection in Germany. Auto-related stocks in particular were weak in January mostly due to their Chinese exposure; we believe that there are now some compelling value opportunities in this area even after factoring the cyclical and structural challenges facing the sector into valuations.Sector allocation was broadly neutral for relative returnsThe positive impact of the overweight position in the strong utilities sector was broadly offset by the overweight position in the weak energy sector. Stock selection within sectors held back relative returns as strong stock selection in the IT and utilities sectors was more than offset by stock selection in the consumer discretionary sector.Currency allocation slightly added to relative returnsThe portfolio benefitted from the underweight position in the weak Australian dollar.
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2020
Portfolio Guideline: Index Mondrian Calc Min Max Complianceok
52 40 60 okok
24% 0% 45% ok35% 0% 75% ok25% 0% 45% ok11% 0% 40% ok4% 0% 20% ok1% 0% 5% ok
100%
62,876.28 55,460.51 88% 25% 100% ok1.66 1.2 73% 50% 125% ok16.1 13.9 86% 50% 100% ok9.2 6.1 66% 50% 100% ok
3.24 4.3 134% 100% 200% okokokok
14% 40% ok
Gained: Number of Accounts: 0 -$ Lost: Number of Accounts: 1 585.0$
Reason(s):
B3. Security position <= 5% of the account @ purchase
Organizational/Personnel Changesn/a
None given
Account TurnoverTotal Market Value ($m):Total Market Value ($m):
Dividend Yield
B5. Normal Regional Exposures:B4. Number of issues
Total Cash Non-Index Countries
United Kingdom
Mondrian Investment PartnersInternational Equity: MSCI EAFE Benchmark
JanuaryPortfolio Guideline Compliance
Europe ex U.K. Japan Pacific ex Japan
Price/Earnings (Trailing)
B6. Normal Portfolio Characteristics
Price/Cash Flow
Capitalization Price/Book Value
C1. Currency or cross-currency position <= value of hedged securities No executed forward w/o a corresponding securities position.C2. Max forward w/ counterpart <= 30% of total mv of accountF2. Annual turnover
Manager Explanations for Deviations from Portfolio Guidelines
The portfolio is in compliance with all other aspects of the Portfolio Guidelines
There were no deviations.
Yes No
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2020
* Annualized returnsLast
MonthLast
3 MonthsLast
1 YearLast
3 Years*Last
5 Years*-0.61% 5.77% 20.70% 13.11% 12.95%-2.03% 4.33% 12.25% 9.09% 8.93%
Characteristics Mtn Pac RU 2500Mkt Value ($m) 692.79 N/A Over-weight Mtn Pac RU 2500Wtd Cap ($b) 24.32 5.67 Capital Goods 36.52% 14.20%P/E 20.65 22.13 Technology 19.10% 13.73%Beta 0.98 1.00Yield (%) 1.23 1.62 Under-weight Mtn Pac RU 2500Earnings Growth 10.35 11.74 Financial 15.95% 27.91%
Cons. Cyclical 3.57% 14.44%Basic Material 3.68% 6.80%
Mountain Pacific Investment AdvisersDomestic Equity: Russell 2500 Benchmark
Mountain PacificRussell 2500
Manager Performance Calculations
For the month of: January
Portfolio Attributes
Manager Style Summary
Sector Analysis
Mountain Pacific manages a mid-to small-cap portfolio, employing a "GARP" (Growth At a Reasonable Price)investment strategy. Their portfolio holdings and characteristics will wander around the average stock in theirbenchmark, and they tend to favor companies which do not sell directly to the public and therefore, depend onsales to other businesses. Mountain Pacific runs a more concentrated portfolio than most, and as a result, theirreturns will diverge more dramatically from their benchmark, and sometimes for sustained periods.
Performance Attribution & Strategy Comments
The portfolio declined 0.6% in January, outperforming our index, the RU 2500, by 142 bps. During the month, our technology, healthcare, consumer, industrial, and financial holdings outpaced the index. Our results were led by Verisk Analytics, a data analytics provider, that rose 9% during the month. The company has demonstrated strong growth providing valuable data and analytics to the property and casualty insurance industry, energy producers, and the financial services sector. The company has consistently generated mid-single digit organic revenue growth based primarily on a subscription-based model. Roper Technologies advanced 8 % after the diversified technology company reported earnings that exceeded analysts’ expectations. The company reported solid free cash flow and significant margin improvement in the quarter. Our results suffered from declines in our regional banks. Great Western, Wintrust, and Pinnacle Financial Partners were down 15%, 11%, and 8%, respectively. Sentiment in the group has cooled because the deteriorating interest rate environment has made their net margin outlook more challenging. Over the past three months, our portfolio outperformed the index by 144 bps. Investors are concerned that China’s coronavirus may slow global economic growth. The situation continues to develop but we believe the market impact will be short-lived. So far, fourth quarter earnings growth give us confidence that companies can deliver mid-to-high single-digit earnings growth and support stock prices in 2020.
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2020
Portfolio Guideline: Mtn Pac RU 2500 Calc Min Max Compliance$100.0 $7,500.0 ok
B3. Wtd Avg Cap 24317 5666 429% 80% 120% check42 35 55 ok
ok23.74 30.03 79% 80% 120% check0.98 1.00 0.98 0.80 1.20 ok1.23 1.62 76% 80% 120% check
10.35 11.74 88% 80% 120% okok
E3. Annual Turnover 12% 60% ok
Gained: 0 -$ Lost: 0 -$
Reason(s):
B2. Security Market Cap (in $m)
B6d. Expected Earnings Growth
Mountain Pacific Investment AdvisersDomestic Equity: Russell 2500 Benchmark
Portfolio Guideline Compliance January
The portfolio is in compliance with all other aspects of the Portfolio Guidelines
Manager Explanations for Deviations from Portfolio GuidelinesB3. Wtd Avg Cap:
B4. Number of issuesB5. Security Positions <= 4% @ purchaseB6a. P/E (12-mo trail)B6b. BetaB6c. Yield
E2. Commissions not to exceed $0.06/share
Wtd Avg Cap exceeds due to price appreciation of securities purchased. The median cap of the portfolio is $8.9 BN.
B6c. Yield: Most of our companies pay little in dividends, and instead reinvest earnings for growth.
B6a. P/E: Recently we have added lower P/E stock positions.
Organizational/Personnel ChangesNo organizational/personnel changes.
Total Market Value ($mTotal Market Value ($m
N/A
Number of Accounts:Number of Accounts:
Account Turnover
Yes No
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2020
* Annualized returns
LastMonth
Last3 Months
Last1 Year
Last 3 Years*
Last 5 Years*
4.35% 12.95% 30.47% 26.78% 21.23%2.24% 9.99% 27.94% 20.04% 15.49%
Characteristics Peregrine RU 1000GMkt Value ($m) N/A Over-weight Peregrine RU 1000GWtd Cap ($b) 264.16 429.47 Health Care 22.10% 13.65%P/E 34.20 23.27 Financial Servic 18.47% 12.37%Beta 1.12 1.00Yield (%) 0.74 0.93Earnings Growth 14.00 10.00 Under-weight Peregrine RU 1000G
Producer Durab 4.02% 10.03%Cons Disc 12.62% 17.73%Cons Stpls -- 3.53%
Peregrine manages a large cap growth equity portfolio, utilizing a "bottom up" strategy, and focusing more on the futuregrowth prospects of a firm rather than current earnings. We can expect the P/E and P/B ratios to be slightly higher thanthat of the market, stock volatility to be slightly higher than the market, and dividend yield to be lower than average.Their style encourages overweight positions in traditional growth sectors such as technology, retail, business services, andfinancial services. Due to the concentrated nature of the portfolio, it will tend to be more volatile than more diversifiedportfolios.
Manager Style Summary
Portfolio Attributes
Sector Analysis
Performance Attribution & Strategy Comments
Peregrine Capital ManagementDomestic Equity: Russell 1000 Growth Benchmark
PeregrineRussell 1000 Growth
For the month of: January
Manager Performance Calculations
The broad equity market experienced a modest decline to start the new year in January. Growth outperformed value with Peregrine’s Large Cap Growth strategy beating its benchmark and the broader market to start the year. Market returns started strongly with de-escalation of trade tensions between the US & China, renewed central bank balance sheet expansion, hints of global economic stabilization, US economic resilience, and expectations for rebounding earnings in 2020. Even a Middle East flare-up didn’t seem to phase the market. This changed in the last two weeks as coronavirus reports from within China raised concerns for its impact on the improving economic environment. As has been the case for the last several months, portfolio returns are benefiting from the strong absolute and relative underlying free cash flow growth characteristics versus the average corporations. ServiceNow was the strongest contributor to the strategy's outperformance for the month following a dynamic earnings report and fundamental outlook. Other notable contributors included Adobe, CoStar Group, Envestnet, and Teladoc Health. The most significant detractors were Illumina and Intuitive Surgical. There was no trading during the month.While the Coronavirus will have a significant impact on the individuals and communities where the outbreak is most intense, similar past incidents have had only a modest global economic impact. Economic and profit growth in the U.S. and globally are still expected to accelerate modestly in 2020. While there could be short-term economic or style fluctuations, we continue to invest with a long-term mindset and expect our companies to produce higher and more consistent secular earnings growth than the benchmark, allowing the portfolio’s strong cash flow growth rate to translate into attractive long-term returns.
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2020
Portfolio Guideline: S&P 500 Peregrine Calc Min Max Complianceokok
29 25 35 ok3.50 8.70 2.5 1.2 2.0 check
18.31 34.20 1.9 1.0 2.0 ok1.08 0.74 0.7 0.1 0.8 ok
B5. Beta 1.00 1.12 1.1 1.10 1.35 ok14% 11% 22% ok
ok19% 15% 30% ok
Gained: 3 1.3$ Lost: 0 -$
Reason(s):
Total Market Value ($m):Total Market Value ($m):
n/a
Number of Accounts:Number of Accounts:
Organizational/Personnel Changes
Account Turnover
There are no organizational/personnel changes.
B5. P/B: This measure typically is at a premium for faster growing companies earlier in their life-cycle than the more mature mix of companies in the S&P 500. The RU 1000G is at a similar premium of 8.4x. We don’t expect this measure to come down to below 2x the S&P 500 in the near-term.
F2. Commissions not to exceed $0.05/shareF3. Annual TurnoverThe portfolio is in compliance with all other aspects of the Portfolio Guidelines
Manager Explanations for Deviations from Portfolio Guidelines
B5. P/E (Projected)B5. Dividend Yield
B5. Earnings Growth (5-year)
B4. Number of issues
B2. Security Market Cap > $1 billionB3. Security position <=5% @ purchase, excluding contributions
B5. P/B
Peregrine Capital ManagementDomestic Equity: Russell 1000 Growth Benchmark
Portfolio Guideline Compliance January
Yes No
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2020
* Annualized returns
LastMonth
Last3 Months
Last1 Year
Last 3 Years*
Last 5 Years*
-0.89% 5.22% 21.94% n/a n/a-0.61% 5.22% 17.73% n/a n/a
Gained: 3 1,074.0$ Lost: 1 1,038.6$
Reason(s):
Walter Scott is a "bottom-up" manager whose process is driven by individual security selection. They invest in companieswith high rates of internal wealth generation (IRR > 20%) which translates into total return to the investor over time (realreturn = 7-10%). Country and sector exposures are by-products of the security selection process. The portfolio consists ofroughly 40-60 securities at a time. It is a concentrated global equity portfolio, and as such, may experience more volatilityrelative to the market.
Number of Accounts:Number of Accounts:
The one resulted from a client spliting their portfolio into two separate porfolios.
Manager Style Summary
Total Market Value ($m):Total Market Value ($m):
Walter Scott & Partners LimitedGlobal Equity: MSCI World Benchmark
Manager Performance Calculations
Performance Attribution & Strategy Comments
For the month of: January
Account Turnover
Walter ScottMSCI World
Organizational/Personnel ChangesRichard Barry joined as Head of Executive Initiatives on 6 January. Sasha Thompson joined as an InvestmentAnalyst on 13 January. Richard Clark, Balance Sheet Analyst, left the firm on 31 January. There were noorganisational changes during the period.
At a sector level, energy stocks were notably weak for the portfolio and the benchmark; Schlumberger and EOG Resources were the portfolio’s worst performers. Consumer discretionary stocks, particularly Booking Holdings, were weak in absolute and relative terms. Technology stocks lagged their sector index and detracted the most from relative return, with Cognex and Amphenol the portfolio’s worst performers from the sector. Materials and healthcare holdings outperformed and were the noteworthy relative contributors.
From a regional viewpoint, US stocks were the biggest absolute detractors and, lagging their index, detracted the most from relative return. Europe ex-UK stocks outperformed and were the largest relative contributors; SGS, Dassault Systemes and Novozymes were amongst the portfolio’s top performers.
We cannot predict how long-lasting or damaging the Coronavirus outbreak will be, but in the context of our long-term investment horizon, it is likely its ramifications will be negligible. Nonetheless, we are monitoring developments to assess any impact on the long-term investment rationale of companies held in the portfolios. The short-term outlook remains patently uncertain, although the underlying environment is broadly supportive, notwithstanding high levels of valuation in some sectors. Granted that earnings growth is muted, but the monetary environment remains benign, and economic growth continues to grind on. Whatever the next turn of the market cycle, we will remain constant in our approach, investing in financially strong companies that we believe can deliver long-term profit growth irrespective of short-term turbulence.
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2020
WS Min Max Compliance2% 5% ok
Yes53 40 60 ok
Yes
54% 46% 58% ok8% 2% 15% ok
24% 18% 30% ok4% 0% 12% ok7% 0% 12% ok2% 0% 12% ok
98%
19% 10% 20% ok24% 20% 30% ok16% 15% 25% ok0% 0% 20% ok1.4 1.0 1.4 ok6 3 5 check
28 22 34 ok20 13 21 ok2% 1% 3% ok
No trades 4 13 check2% 30% ok
A2. Cash balance <= 5% of portfolio market value
CROCE Operating Margin Portfolio turnover Relative P/E
B6. Normal Regional Exposures (* benchmark -/+ min/max):
B3. No more than 5% of the account shall be invested in any one security @ purchaseB4. Number of issuesB5. No shares of investment companies or pooled funds sponsored/managed by manager or affiliates
Emerging Markets
ROE
North America Japan Europe ex UK UK Pacific ex Japan
Dividend Yield
Price Earnings
Total B7. Normal Global Portfolio Characteristics
Price/Book Value
Walter Scott & Partners LimitedGlobal Equity: MSCI World Benchmark
JanuaryPortfolio Guideline Compliance
Portfolio Guideline:
E2. Brokerage commissions in bps
Price/Cash Flow
B7. Price/Book:
E3. Annual turnover
Strong stock pice appreciation over recent months has outpaced the growth of book value, increasing the oveall price to book for the portfolio.
The portfolio is in compliance with all other aspects of the Portfolio Guidelines
Manager Explanations for Deviations from Portfolio Guidelines
E2. Brokerage Commissions: No trades
NoYes
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2020
* Annualized returnsLast
MonthLast
3 MonthsLast
1 YearLast
3 Years*Last
5 Years*1.66% 2.21% 12.02% 6.41% 4.98%1.92% 1.80% 9.64% 4.62% 3.01%BC Aggregate
JanuaryFor the month of:
Western manages a customized portfolio for PERSI, which falls outside of their traditional product offerings. While theproduct is called, "Core Full Discretion" (one of their traditional products), Western has the flexibility to invest in globalinflation-linked bonds and to take bigger bets where they see the opportunity. As such, this portfolio is more volatile thanthe traditional underlying product. This global mandate allows Western to hold foreign, non-dollar denominatedsecurities, take currency positions, and enter into futures, options and swaps contracts.
Western Asset Management- Core Full DiscretionGlobal Fixed: Barclays Aggregate Benchmark
Manager Style Summary
Manager Performance Calculations
Performance Attribution & Strategy Comments
Western
Performance Review: The portfolio underperformed its benchmark in January by 27 bps. The portfolio returned 1.66% while its benchmark, the Bloomberg Barclays U.S. Aggregate Bond Index, returned 1.92%.Outlook Summary: We project 2020 growth for the US to be only slightly slower than in 2019, say right around 2%. Regarding the Fed, we maintain the view that Chair Jerome Powell’s focus on below-target inflation, as evidenced by his statement in the most recent Federal Open Market Committee (FOMC) meeting, leaves the door open to future rate cuts to further support inflation. While Powell did not signal that any such action is particularly imminent, nor is it in the FOMC’s current base case, the meeting’s dovish tilt implied openness to such future action.For 2020, we continue to see a moderate growth rebound in the eurozone overall (around 1.2%), mainly driven by somewhat better outcomes in Germany and Italy. While this is largely unchanged from last quarter, our views have developed somewhat on the political and monetary policy front. In Italy, a fractious coalition will face existential risks during regional elections in 1Q20, creating downside risks to our growth rebound assumption, while in Germany, political uncertainty could lead to policy inertia at the national level. However, on the European level, Germany assumes the EU presidency in the latter half of 2020, so we expect substantial negotiations—and possibly progress—on a number of outstanding issues in the run-up (e.g., capital markets union, common market for services, deposit reinsurance scheme).In the UK, financial markets will continue to remain volatile and react to trade deal headlines; we believe that the domestic macro outlook for 2020 looks somewhat rosier. Having ground to a virtual standstill in the second half of 2019, growth is set to rebound to around 1.5%, boosted by extra government spending and a partial resumption in business investment. Using the playbook from the last three and a half years, we are fully expecting continued investor angst in the run up to what could be yet another last minute Brexit deal with inevitable compromises from both sides. Despite this uncertainty, Western Asset remains constructive on UK corporate bonds and the pound.EM growth is poised to accelerate to a three-year high of 4.6% in 2020, based on the latest IMF forecasts. With the exception of China, most core EM economies are expected to stage a rebound, thanks to aggressive policy easing by EM central banks as well as reduced US-China trade tensions. Of note is the abatement of inflation risk across EM countries. Indeed, valuation wise, real yields in EM remain compelling, currently averaging roughly 170 basis points (bps) above those in DM. From a technical perspective, we do not view EM as excessively over- owned, as compared with the period heading into the taper tantrum. Our EM convictions center on select EM countries with strong fundamentals and institutions, where structural reforms and policy flexibility should pave the way for a growth bounce.
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2020
Western Min Max ComplianceC. Weighted average duration including futures positions 5.78 -30.00 30.00 ok
a. Non-dollar denominated securities 0% 40% ok Un-hedged non-dollar denominated securities 0% 20% ok b. U.S. securities rated below investment grade (BIG) 0% 40% ok c. Non-dollar, Non-U.S. securities rated BIG 0% 20% ok d. Non-dollar denominated+emerging mkt+high yield 0% 50% ok
a. Guaranteed by US gov, agencies, gov-sponsored corp or G-7 0% 100% ok b. Other national governments - limit per issuer 0% 10% ok c. Private MBS/ABS - limit per issuer 0% 10% ok If collateral is credit-independent of issuer & security's credit enhancement is generated internally - limit per issuer d. Obligations of other issuers subject to per issuer limit 0% 5% ok
No more than 40% of portfolio below Baa3 or BBB-/A2 or P2 0% 40% ok
Original futures margin and options premiums, exclusive of any in-the-money portion of the premiums
97% 100% 200% check
Gained: Number of Accounts: 17 Total Market Value ($m):Lost: Number of Accounts: 34 Total Market Value ($m):
Reason(s):
Western Asset Management- Core Full DiscretionGlobal Fixed: Barclays Aggregate Benchmark
Portfolio Guideline Compliance January
Portfolio Guideline:
C4 (2): Sector Allocation
C4 (3): Issuer
0% 25% ok
C4 (5): Credit
C4 (7): Derivatives
0% 5% okF2. Annual TurnoverThe portfolio is in compliance with all other aspects of the Portfolio Guidelines
Manager Explanations for Deviations from Portfolio GuidelinesF2. Annual Turnover The transactions were the intent of the portfolio manager and the account is in line with
strategy’s expected turnover
10,145.0 $ 9,707.7 $
As of 4Q'19
Organizational/Personnel ChangesN/A
Account Turnover
Yes No
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PERSI Choice Plan Summary
Performance ‐ Net of fees blue = outperform by 50 bp; red = underperform by 50 bp (*Annualized)
Last
Month
Last
3 Months
Last
1 Year
Last
3 Years*
Last
5 Years*
PERSI Total Return Fund n/a ‐0.5% 3.3% 13.3% 9.8% 7.7%
Strategic Policy ‐0.2% 3.2% 12.9% 9.3% 7.2%
Policy (55% R3000, 15% MSCI EAFE, 30% BCAgg) 0.2% 4.6% 16.1% 10.2% 8.3%
Calvert Balanced Fund 1 CBAIX 1.2% 5.1% 19.2% 10.7% 8.0%
Custom Bench (60% R1000, 40% BCAgg) 0.8% 4.9% 16.7% 10.4% 8.5%
PERSI Short‐Term Investment Portfolio 2 n/a 0.7% 1.0% 2.8% 1.9% 1.4%
ML 91‐day T‐bills 0.1% 0.4% 2.2% 1.7% 1.1%
US Bond Index Fund n/a 1.9% 1.8% 9.5% 4.5% 2.9%
BC Aggregate 1.9% 1.8% 9.6% 4.6% 3.0%
US TIPS Index Fund n/a 2.1% 2.6% 9.2% 3.7% n/a
BC US TIPS Index 2.1% 2.6% 9.2% 3.7% n/a
Dodge and Cox Fixed Income Fund 7 DODIX 1.6% 2.0% 9.8% 4.9% 3.8%
U.S. Broad Market Equity Index Fund 3 n/a ‐0.1% 6.7% 20.0% 13.6% 11.7%
Russell 3000 ‐0.1% 6.7% 20.5% 13.8% 11.9%
Large Cap
U.S. Large Cap Equity Index Fund n/a ‐0.1% 6.7% 20.0% 13.6% 11.7%
Vanguard Growth & Income Fund 4 VGIAX ‐0.3% 6.3% 20.1% 13.7% 11.8%
S&P 500 0.0% 6.7% 21.7% 14.5% 12.4%
Small/Mid Cap
U.S. Small/Mid Cap Equity Index Fund 5 n/a ‐0.6% 6.2% 13.8% 9.9% 9.1%
Dow Jones U.S. Completion Total Stock Market Index ‐0.6% 6.3% 14.0% 10.0% 9.1%
Small Cap
T. Rowe Price Small Cap Stock Fund 6, 7 TRSSX ‐1.6% 4.0% 19.1% 13.3% 11.8%
Russell 2000 ‐3.2% 3.7% 9.2% 7.3% 8.2%Specialty
US REIT Index Fund n/a 0.4% ‐1.8% 10.9% 7.4% n/a
Dow Jones U.S. Select REIT 0.4% ‐1.9% 11.0% 7.4% n/a
International Equity Index Fund n/a ‐2.7% 1.6% 11.1% 7.7% n/a
Emerging Markets Equity Index Fund n/a ‐4.7% 2.2% 3.5% 7.8% n/a
Brandes Institutional Int'l Equity Fund 8BIERX ‐5.1% 0.9% 0.5% 3.4% 3.8%
MSCI EAFE net dividend ‐2.1% 2.2% 12.1% 7.8% 5.1%
MSCI EMF ‐4.7% 2.4% 4.2% 8.3% n/a
Strategic Policy Benchmark = 8% R2500, 13% S&P500, 4% REIT, 4% PRE, 8% PE, 9% EM, 6% EAFE, 18% World, 15% Agg, 5% ID Mtg, 10% TIPS
4 Vanguard Growth & Income Admiral Shares (VGIAX) performance begins 08/01/03; previous periods reflect Vanguard Growth & Income Investor Shares (VQNPX)5 US Small/Mid Cap Equity Index Fund managed by MCM performance begins 10/12/07; previous periods reflect Dreyfus Premier Midcap Stock R Fund (DDMRX)6 T. Rowe Price Small Cap Stock Fund (TRSSX) begins 04/01/2017; (OTCFX) performance begins 8/01/2003; previous periods reflect ING Small Company Fund (AESGX)7 The Dodge and Cox Income Fund offers revenue sharing which is reflected in credits to participants8 The Brandes Institutional International Equity Fund (BIERX) begins 04/01/2017; previous periods refelct a different share class (BIIEX)
Jan 2020
* Performance reported by Custodian; mutual funds identified by corresponding tickers
1 Calvert Balanced Social Investment (Sudan‐Free) Fund performance begins 10/12/072 PERSI Short‐Term Investment Portfolio performance begins 11/01/10
Fund performance begins 05/01/15: US TiPS Index fund, US REIT Index Fund, Emerging Markets Equity Index Fund
Capital Preservation
Bond
Fund returns reflect fees beginning 05/01/15
U.S. Equity
International Equity
3 US Broad Market Equity Index Fund benchmark changed to R3000 effective 05/01/15
Balanced
![Page 102: Full Investment Report - Idaho...have signaled that supportive central bank policies will remain in place for the foreseeable future. As a result, so far in January US equities (R3000)](https://reader033.fdocuments.net/reader033/viewer/2022041806/5e547891e691e8713a634852/html5/thumbnails/102.jpg)
Jan 2020
Performance ‐ Net of fees
Alloc by
Fund
Alloc by
Asset Class
Balanced 79.0%
PERSI Total Return Fund 884,560,082$ 78.6 %
Calvert Balanced Fund 3,708,662$ 0.3 %
Capital Preservation 2.5%
PERSI Short‐Term Investment Portfolio (ML 91‐day T‐bills) 27,952,981$ 2.5 %
Bonds 2.9%
U.S. Bond Index Fund (BC Aggregate) 14,051,774$ 1.2 %
U.S. TIPS Index Fund (BC US TIPS) 2,458,449$ 0.2 %
Dodge and Cox Fixed Income Fund (BC Aggregate) 16,174,516$ 1.4 %
U.S. Equity 13.2 %
U.S. Broad Market Equity Index Fund (R3000) 15,173,457$ 1.3 %Large Cap
U.S. Large Cap Equity Index Fund (S&P 500) 39,608,837$ 3.5 %
Vanguard Growth & Income Fund (S&P 500) 36,453,872$ 3.2 %Small/Mid Cap
U.S. Small/Mid Cap Equity Index Fund (DJ USTSMI) 22,133,538$ 2.0 %Small Cap
T. Rowe Price Small Cap Stock Fund (R2000) 30,866,021$ 2.7 %Specialty
U.S. REIT Index Fund (DJ US Select REIT) 4,455,213$ 0.4 %
International Equity 1.5 %
International Equity Index Fund (MSCI EAFE) 8,169,933$ 0.7 %
Emerging Markets Equity Index Fund (MSCI EMF) 2,413,627$ 0.2 %
Brandes International Equity Fund ( MSCI EAFE) 6,517,261$ 0.6 %
Other
Loans 10,360,306$ 0.9 % 0.9 %
Total DC Plan 1,125,058,528$ 100% 100.0 %
* Performance reported by Custodian; mutual funds identified by corresponding tickers
PERSI Choice Plan Summary
PERSI TRF 78.6 %
Calvert 0.3 %
PERSI STIP 2.5 %
US Bonds 1.2 %
US TIPS 0.2 %
Dodge & Cox 1.4 %
US Broad Eq 1.3 %
US Large Eq 3.5 %
Vanguard G&I 3.2 %
US Sm/Mid Eq 2.0 %
T.Rowe Price 2.7 %
US REIT 0.4 % Intl Eq 0.7 %
Emg Mkts Eq 0.2 %
Brandes 0.6 %
Loans 0.9 %