Quarterly Investment Review - SDCERA · 2020. 6. 18. · Burgiss Private iQ Global Private Equity3...
Transcript of Quarterly Investment Review - SDCERA · 2020. 6. 18. · Burgiss Private iQ Global Private Equity3...
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San Diego County Employees' Retirement Association | First Quarter 2020
Quarterly Investment Review
1 Executive Summary 1
2 Total Public Equity 15
3 Total Fixed Income 51
4 Opportunistic 81
5 Total Private Assets 92
6 Market Environment 99
7 Appendix 113
Table of Contents
Executive Summary
1
Aon Proprietary & Confidential Investment advice and consulting services provided by Aon Investments USA Inc.
Market Highlights
6.7%
-0.2% -0.6% -0.4%
3.4%
7.3%
4.7%2.8%
-7.8%
10.5%
6.9%
2.7%0.7%
3.9%
8.9%7.3%
5.6%
-6.7%-10.0%
-5.0%
0.0%
5.0%
10.0%
15.0%
S&P 500 Russell 2000 MSCI EAFE MSCI EmergingMarkets
BloombergBarclays U.S.
Aggregate
BloombergBarclays U.S.
Long Gov't
BloombergBarclays U.S.Long Credit
BloombergBarclays U.S.
High Yield
BloombergCommodity Index
LONG TERM ANNUALIZED RETURNSAS OF 03/31/2020
Five-Year Ten-Year
Source: Russell, MSCI, Bloomberg Barclays, Bloomberg
-19.6%
-30.6%
-22.8% -23.6%
3.1%
20.6%
-4.7%
-12.7%
-23.3%
-7.0%
-24.0%
-14.4%-17.7%
8.9%
32.3%
9.0%
-6.9%
-22.3%
-40.0%
-30.0%
-20.0%
-10.0%
0.0%
10.0%
20.0%
30.0%
40.0%
S&P 500 Russell 2000 MSCI EAFE MSCI EmergingMarkets
BloombergBarclays U.S.
Aggregate
BloombergBarclays U.S.
Long Gov't
BloombergBarclays U.S.Long Credit
BloombergBarclays U.S.
High Yield
BloombergCommodity Index
SHORT TERM RETURNSAS OF 03/31/2020
First Quarter 2020 One-Year
Source: Russell, MSCI, Bloomberg Barclays, BloombergMSCI Indices show net total returns throughout this report. All other indices show gross total returns..
2
Aon Proprietary & Confidential Investment advice and consulting services provided by Aon Investments USA Inc.
Market Highlights
First Quarter 1-Year 3-Year1
5-Year1
10-Year1
Equity
MSCI All Country World IMI -22.44% -12.73% 0.76% 2.45% 5.80%
MSCI All Country World -21.37% -11.26% 1.50% 2.85% 5.88%
Dow Jones U.S. Total Stock Market -20.96% -9.28% 3.92% 5.70% 10.13%
Russell 3000 -20.90% -9.13% 4.00% 5.77% 10.15%
S&P 500 -19.60% -6.98% 5.10% 6.73% 10.53%
Russell 2000 -30.61% -23.99% -4.64% -0.25% 6.90%
MSCI All Country World ex-U.S. IMI -24.11% -16.32% -2.34% -0.66% 2.14%
MSCI All Country World ex-U.S. -23.36% -15.57% -1.96% -0.64% 2.05%
MSCI EAFE -22.83% -14.38% -1.82% -0.62% 2.72%
MSCI EAFE (Local Currency) -20.55% -12.58% -1.80% -0.15% 4.36%
MSCI Emerging Markets -23.60% -17.69% -1.62% -0.37% 0.68%
Fixed Income
Bloomberg Barclays Global Aggregate -0.33% 4.20% 3.55% 2.64% 2.47%
Bloomberg Barclays U.S. Aggregate 3.15% 8.93% 4.82% 3.36% 3.88%
Bloomberg Barclays U.S. Long Gov't 20.63% 32.28% 13.30% 7.32% 8.89%
Bloomberg Barclays U.S. Long Credit -4.65% 9.05% 6.58% 4.67% 7.26%
Bloomberg Barclays U.S. Long Gov't/Credit 6.21% 19.32% 9.68% 5.99% 8.07%
Bloomberg Barclays U.S. TIPS 1.69% 6.85% 3.46% 2.67% 3.48%
Bloomberg Barclays U.S. High Yield -12.68% -6.94% 0.77% 2.78% 5.64%
Bloomberg Barclays Global Treasury ex U.S. -1.53% 2.02% 2.96% 2.44% 1.50%
JP Morgan EMBI Global (Emerging Markets) -11.76% -5.28% 0.44% 2.85% 4.82%
Commodities
Bloomberg Commodity Index -23.29% -22.31% -8.61% -7.76% -6.74%
Goldman Sachs Commodity Index -42.34% -41.01% -13.33% -12.82% -10.43%
Hedge Funds
HFRI Fund-Weighted Composite2
-9.39% -5.11% 0.32% 1.09% 2.78%
HFRI Fund of Funds2
-7.30% -3.94% 0.50% 0.33% 1.91%
Real Estate
NAREIT U.S. Equity REITS -27.30% -21.26% -3.14% -0.35% 7.40%
NCREIF NFI - ODCE 0.97% 4.87% 6.81% 8.46% 11.45%
FTSE Global Core Infrastructure Index -17.89% -9.29% 3.94% 4.52% 8.30%
Private Equity
Burgiss Private iQ Global Private Equity3
11.61% 14.89% 11.58% 13.92%
MSCI Indices show net total returns throughout this report. All other indices show gross total returns.1 Periods are annualized.
2 Latest 5 months of HFR data are estimated by HFR and may change in the future.
3 Burgiss Private iQ Global Private Equity data is as at June 30, 2019
Returns of the Major Capital Markets
Period Ending 03/31/2020
3
Change in Market ValueFrom January 1, 2020 to March 31, 2020
Summary of Cash Flow
$0.0
$6,000.0
$12,000.0
$18,000.0
$24,000.0
($6,000.0)
($12,000.0)
Mill
ion
s ($
)
Beginning Market Value Net Additions / Withdrawals Investment Earnings Ending Market Value
$13,873.0
($160.2)($1,777.5)
$11,935.3
1Quarter
FiscalYTD
1Year
Trust Fund
Beginning Market Value 13,872,981,193 12,893,288,629 12,689,738,908
+ Additions / Withdrawals -160,228,599 79,505,902 -73,261,729
+ Investment Earnings -1,777,494,031 -1,037,535,969 -681,218,617
= Ending Market Value 11,935,258,563 11,935,258,563 11,935,258,563
Trust Fund
Trust Fund Asset Summary
As of March 31, 2020
4
Return Summary
Quarterly Relative Performance - 5 Years Ratio of Cumulative Wealth - 5 Years
Trust Fund SDCERA Policy Benchmark
0.0
10.0
20.0
-10.0
-20.0
-30.0
Re
turn
1Quarter
FiscalYTD
1Year
3Years
5Years
10Years
-15.4
-9.8
-7.0
2.0 3.15.7
-12.9
-8.0-5.4
2.6 3.1
6.0
0.96
0.98
1.00
1.02
3/15 9/15 3/16 9/16 3/17 9/17 3/18 9/18 3/19 9/19 3/20
1.00
0.0%
3.0%
6.0%
-3.0 %
-6.0 %
6/15 12/15 6/16 12/16 6/17 12/17 6/18 12/18 6/19 3/20
Trust Fund Performance Summary
As of March 31, 2020Trust Fund
5
Actual vs. Target Allocation (%)
Performance(%)
1Quarter
FiscalYTD
1Year
3Years
5Years
10Years
SinceInception
InceptionDate
Trust Fund -12.9 -8.0 -5.4 2.6 3.1 6.0 9.2 Sep-80
SDCERA Policy Benchmark -15.4 -9.8 -7.0 2.0 3.1 5.7 -
Balanced Benchmark -15.4 -9.6 -6.8 2.0 2.8 5.4 -
Total Public Assets -16.0 -11.1 -8.4 1.1 1.5 8.5 7.0 Jan-06
SDCERA Public Benchmark -15.5 -9.9 -7.0 1.7 2.6 5.0 4.8
Balanced Benchmark -15.4 -9.6 -6.8 2.0 2.8 5.4 4.9
Total Public Equity -22.8 -16.1 -13.2 0.5 1.6 10.3 9.9 Jan-06
MSCI AC World IMI (Net) -22.4 -15.6 -12.7 0.8 2.4 5.8 4.7
Total Fixed Income -1.9 0.0 2.1 2.7 2.6 2.5 2.5 Jan-06
Fixed Income Benchmark -1.5 0.8 3.3 3.0 2.3 3.0 3.8
Opportunistic -20.4 -17.6 -15.4 -4.3 -1.7 - 3.1 Jun-10
Balanced Benchmark -15.4 -9.6 -6.8 2.0 2.8 - 6.1
Total Private Assets 1.8 6.0 8.2 9.5 - - 9.0 Sep-15
SDCERA Private Assets Benchmark -15.1 -9.4 -7.0 2.8 - - 5.8
Target Allocation Actual Allocation Allocation Differences
0.0% 6.0% 12.0% 18.0% 24.0% 30.0%-6.0 %-12.0 %
Private Real Assets
Private Equity
Real Estate
Opportunistic
Return-Seeking Fixed Income
Risk-Reducing Fixed Income
Emerging Market Equity
International Equity
Global Equity
U.S. Equity
6.0%
8.0%
9.0%
8.0%
6.0%
18.0%
7.0%
15.0%
3.0%
20.0%
5.3%
6.0%
9.5%
8.3%
6.6%
19.2%
5.6%
14.8%
3.7%
20.8%
-0.7 %
-2.0 %
0.5%
0.3%
0.6%
1.2%
-1.4 %
-0.2 %
0.7%
0.8%
Trust Fund Executive Summary
As of March 31, 2020
SDCERA Policy Benchmark: 45% MSCI ACWI IMI, 18% Bloomberg Barclays US Intermediate Aggregate, 6% ICE BofAML US High Yield Index, 8% Balanced Benchmark, 23% SDCERA Private Asset Benchmark. SDCERA PrivateAsset Benchmark: 1/3 NCREIF-ODCE and 2/3 MSCI ACWI IMI. Balanced Benchmark: 70% MSCI ACWI IMI and 30% Bloomberg Barclay's US Intermediate Aggregate. Fixed Income Benchmark: 75% Bloomberg Barclays US
Intermediate Aggregate, 25% ICE BofAML US High Yield Index. Composite since inception returns are from the beginning of the first full month after inception.
6
Trust Fund Performance
0.00% 10.00%-10.00 %-20.00 %-30.00 %
Trust Fund
Trust Fund Benchmark
Total Value Added
-12.90 %
-15.37 %
2.47%
Total Value Added:2.47%
0.00% 1.50% 3.00% 4.50%-1.50 %
Other
Manager Value Added
Asset Allocation
-0.09 %
2.26%
0.30%
Total Asset Allocation:0.30%
Average Active Weight
0.00% 5.00% 10.00%-5.00 %-10.00 %
Opportunistic
Total Private Assets
Total Fixed Income
Total Public Equity
We
igh
t
(%)
0.24%
-4.88 %
2.85%
1.79%
Asset Allocation Value Added
0.00% 0.30% 0.60%-0.30 %
0.00%
-0.01 %
0.41%
-0.09 %
Total Manager Value Added:2.26%
Manager Value Added
0.00% 2.00% 4.00% 6.00%-2.00 %
-0.42 %
2.97%
-0.10 %
-0.19 %
Trust Fund
Trust Fund Attribution
1 Quarter Ending March 31, 2020
7
Trust Fund Performance
0.00% 5.00% 10.00%-5.00 %-10.00 %-15.00 %
Trust Fund
Trust Fund Benchmark
Total Value Added
-5.44 %
-7.04 %
1.60%
Total Value Added:1.60%
0.00% 1.00% 2.00% 3.00%-1.00 %
Other
Manager Value Added
Asset Allocation
-0.09 %
1.50%
0.20%
Total Asset Allocation:0.20%
Average Active Weight
0.00% 4.00% 8.00%-4.00 %-8.00 %
Opportunistic
Total Private Assets
Total Fixed Income
Total Public Equity
We
igh
t
(%)
-0.23 %
-3.49 %
2.60%
1.12%
Asset Allocation Value Added
0.00% 0.30% 0.60%-0.30 %
0.00%
-0.01 %
0.31%
-0.11 %
Total Manager Value Added:1.50%
Manager Value Added
0.00% 3.00% 6.00%-3.00 %
-0.75 %
2.76%
-0.30 %
-0.21 %
Trust Fund
Trust Fund Attribution
1 Year Ending March 31, 2020
8
Allocation
MarketValue
($)%
Performance(%)
1Quarter
FiscalYTD
1Year
3Years
5Years
10Years
2019 2018 2017 2016 2015Since
InceptionInception
Date
Trust Fund 11,935,258,563 100.0 -12.9 -8.0 -5.4 2.6 3.1 6.0 15.9 -3.9 16.0 6.9 -1.0 9.2 Sep-80
SDCERA Policy Benchmark -15.4 -9.8 -7.0 2.0 3.1 5.7 19.8 -6.0 16.3 7.0 -0.4 -
Balanced Benchmark -15.4 -9.6 -6.8 2.0 2.8 5.4 20.3 -6.7 17.3 6.8 -1.2 -
Total Public Assets 9,446,393,910 79.1 -16.0 -11.1 -8.4 1.1 1.5 8.5 18.4 -7.2 18.5 7.5 -6.3 7.0 Jan-06
SDCERA Public Benchmark -15.5 -9.9 -7.0 1.7 2.6 5.0 20.1 -6.5 15.6 6.2 -0.2 4.8
Balanced Benchmark -15.4 -9.6 -6.8 2.0 2.8 5.4 20.3 -6.7 17.3 6.8 -1.2 4.9
Total Public Equity 5,378,169,422 45.1 -22.8 -16.1 -13.2 0.5 1.6 10.3 26.1 -10.7 25.7 8.0 -5.7 9.9 Jan-06
MSCI AC World IMI (Net) -22.4 -15.6 -12.7 0.8 2.4 5.8 26.4 -10.1 23.9 8.4 -2.2 4.7
U.S. Equity 2,488,377,363 20.8 -21.7 -13.5 -9.9 3.4 5.2 8.7 31.4 -5.8 20.7 12.0 1.8 8.3 Jan-06
MSCI USA IMI (Net) -21.1 -13.1 -9.7 3.4 5.2 9.6 30.4 -5.7 20.6 12.0 0.0 6.8
Global Equity 446,997,763 3.7 -23.0 -16.2 -13.5 0.0 2.3 - 24.4 -10.7 25.2 8.3 -1.4 8.5 Jul-10
MSCI AC World IMI (Net) -22.4 -15.6 -12.7 0.8 2.4 - 26.4 -10.1 23.9 8.4 -2.2 7.3
International Equity 1,770,176,347 14.8 -23.2 -17.6 -14.3 -1.8 -0.5 - 23.3 -14.4 25.3 1.5 -0.7 -1.2 Jun-14
MSCI EAFE IMI (Net) -23.5 -17.7 -14.9 -2.0 -0.4 - 22.4 -14.4 26.2 1.2 0.5 -1.0
Emerging Market Equity 672,617,948 5.6 -25.7 -21.2 -20.7 -3.2 -0.5 0.9 17.3 -14.6 35.9 12.8 -14.5 4.4 Jan-06
Emerging Markets Benchmark -23.6 -18.2 -17.7 -1.8 -0.4 0.7 18.4 -14.6 36.9 9.9 -13.9 3.8
Total Fixed Income 3,079,571,939 25.8 -1.9 0.0 2.1 2.7 2.6 2.5 7.3 0.1 4.0 5.2 -0.9 2.5 Jan-06
Fixed Income Benchmark -1.5 0.8 3.3 3.0 2.3 3.0 8.6 0.1 2.7 2.0 1.2 3.8
Risk-Reducing Fixed Income 2,292,575,858 19.2 2.0 3.6 5.9 3.8 - - 5.9 1.1 3.0 2.3 - 3.4 Jan-16
Blmbg. Barc. U.S. Intermediate Aggregate 2.5 4.4 6.9 3.9 - - 6.7 0.9 2.3 2.0 - 3.4
Return-Seeking Fixed Income 786,996,081 6.6 -14.3 -11.8 -10.2 -1.1 - - 11.5 -3.3 7.1 15.4 - 3.2 Jan-16
ICE BofAML US High Yield Index -13.1 -9.8 -7.5 0.5 - - 14.4 -2.3 7.5 17.5 - 4.9
Opportunistic 988,652,549 8.3 -20.4 -17.6 -15.4 -4.3 -1.7 - 12.8 -10.4 11.3 0.9 7.3 3.1 Jun-10
Balanced Benchmark -15.4 -9.6 -6.8 2.0 2.8 - 20.3 -6.7 17.3 6.8 -1.2 6.1
Total Private Assets 2,488,864,653 20.9 1.8 6.0 8.2 9.5 8.6 - 7.1 9.1 12.0 9.2 5.5 8.5 Jan-15
SDCERA Private Assets Benchmark -15.1 -9.4 -7.0 2.8 5.0 - 18.8 -4.4 18.8 9.9 4.7 5.4
Real Estate 1,136,420,626 9.5 2.8 9.1 11.7 10.2 10.8 11.8 11.9 8.1 8.1 11.7 14.2 7.7 Jan-84
NCREIF ODCE Index (Net) 0.8 3.1 3.9 5.9 7.5 10.4 4.4 7.4 6.7 7.8 14.0 6.4
Private Equity 721,115,788 6.0 1.4 5.8 10.2 12.8 10.7 12.3 7.2 15.6 18.2 9.6 3.0 9.3 Jan-06
MSCI AC World IMI (Net) -22.4 -15.6 -12.7 0.8 2.4 5.8 26.4 -10.1 23.9 8.4 -2.2 4.7
Private Real Assets 631,328,239 5.3 0.5 1.1 0.8 4.8 3.0 6.9 0.0 3.7 11.0 5.5 -4.6 3.8 Feb-08
MSCI AC World IMI (Net) -22.4 -15.6 -12.7 0.8 2.4 5.8 26.4 -10.1 23.9 8.4 -2.2 3.7
Asset Allocation & Performance
As of March 31, 2020
9
-36.0
-28.0
-20.0
-12.0
-4.0
4.0
12.0
20.0
28.0
36.0
Re
turn
1Quarter
FiscalYTD
1Year
3Years
5Years
10Years
2019 2018 2017
Trust Fund -12.9 (61) -8.0 (59) -5.4 (63) 2.6 (52) 3.1 (57) 6.0 (53) 15.9 (65) -3.9 (60) 16.0 (39)¢
SDCERA Policy Benchmark -15.4 (86) -9.8 (81) -7.0 (81) 2.0 (69) 3.1 (58) 5.7 (67) 19.8 (12) -6.0 (90) 16.3 (27)�
Balanced Benchmark -15.4 (86) -9.6 (79) -6.8 (77) 2.0 (69) 2.8 (69) 5.4 (77) 20.3 (7) -6.7 (96) 17.3 (7)p
5th Percentile -5.5 0.0 1.7 5.0 5.0 7.4 20.5 0.5 17.7
1st Quartile -10.0 -5.5 -2.4 3.8 4.1 6.6 18.3 -1.9 16.4
Median -12.2 -7.4 -4.4 2.8 3.3 6.0 16.9 -3.5 15.6
3rd Quartile -14.3 -9.4 -6.6 1.8 2.6 5.4 15.3 -4.6 14.2
95th Percentile -16.1 -11.5 -8.8 0.2 1.0 3.4 12.1 -6.5 10.3
Population 141 141 141 137 137 133 164 126 101
Trust Fund
Plan Sponsor Peer Group Analysis
As of March 31, 2020
All Public Plans > $1B-Total Fund
Parentheses contain percentile rankings.
10
Universe: All Public Plans > $1 Billion
StandardDeviation
Beta R-SquaredUp
MarketCapture
DownMarket
Capture
InformationRatio
TrackingError
SharpeRatio
SortinoRatio
Trust Fund 7.43 0.80 0.97 83.66 78.94 -0.05 2.19 0.30 0.38
SDCERA Policy Benchmark 9.16 1.00 1.00 100.00 100.00 - 0.00 0.25 0.33
FTSE 3 Month T-Bill 0.25 0.00 0.00 6.08 -3.46 -0.25 9.17 - 0.00
Annualized Return vs. Annualized Standard Deviation5 Years
-1.5
0.0
1.5
3.0
4.5
6.0
7.5
Re
turn
(%)
2.0 4.0 6.0 8.0 10.0 12.0
Risk (Standard Deviation %)
Trust Fund
SDCERA Policy Benchmark
ReturnStandardDeviation
Trust Fund 3.09 7.43¢£
SDCERA Policy Benchmark 3.06 9.16��
Median 3.33 7.71¾
20.0
40.0
60.0
80.0
100.0
120.0
140.0
Up MarketCapture
0.0
20.0
40.0
60.0
80.0
100.0
120.0
140.0
Down MarketCapture
5Years
5Years
Trust Fund 83.66 (65) 78.94 (48)¢
5th Percentile 106.62 105.96
1st Quartile 96.14 90.74
Median 88.27 77.07
3rd Quartile 79.22 66.98
95th Percentile 52.71 36.02
<ReportMemberName>
Trust Fund Risk Analysis
5 Years As of March 31, 2020
11
Rolling Information Ratio3 Year
-0.8
-0.4
0.0
0.4
0.8
Info
Ra
tio
Ap
r-1
7
Oct
-17
Ap
r-1
8
Oct
-18
Ap
r-1
9
Oct
-19
Ma
r-2
0
0.2
Rolling Information Ratio5 Year
-0.8
-0.4
0.0
0.4
0.8
Info
Ra
tio
Ap
r-1
5
Jan
-16
Oct
-16
Jul-
17
Ap
r-1
8
Jan
-19
Ma
r-2
0
-0.1
Rolling Tracking Error3 Year
0.8
1.2
1.6
2.0
2.4
2.8
Tra
ck
ing
Err
or
Ap
r-1
7
Oct
-17
Ap
r-1
8
Oct
-18
Ap
r-1
9
Oct
-19
Ma
r-2
0
2.3
Rolling Tracking Error5 Year
0.5
1.0
1.5
2.0
2.5
Tra
ck
ing
Err
or
Ap
r-1
5
Jan
-16
Oct
-16
Jul-
17
Ap
r-1
8
Jan
-19
Ma
r-2
0
2.2
<ReportMemberName>
Trust Fund Rolling Risk Statistics
As of March 31, 2020
12
Rolling Up Market Capture Ratio (%)3 Year
80.0
84.0
88.0
92.0
96.0
Up
Mk
t
Ca
p R
ati
o
Ap
r-1
7
Oct
-17
Ap
r-1
8
Oct
-18
Ap
r-1
9
Oct
-19
Ma
r-2
0
83.6
Rolling Up Market Capture Ratio (%)5 Year
72.0
80.0
88.0
96.0
104.0
112.0
Up
Mk
t
Ca
p R
ati
o
Ap
r-1
5
Jan
-16
Oct
-16
Jul-
17
Ap
r-1
8
Jan
-19
Ma
r-2
0
83.7
Rolling Down Market Capture Ratio (%)3 Year
64.0
72.0
80.0
88.0
96.0
Do
wn
Mk
t
Ca
p R
ati
o
Ap
r-1
7
Oct
-17
Ap
r-1
8
Oct
-18
Ap
r-1
9
Oct
-19
Ma
r-2
0
76.4
Rolling Down Market Capture Ratio (%)5 Year
60.0
75.0
90.0
105.0
120.0
Do
wn
Mk
t
Ca
p R
ati
o
Ap
r-1
5
Jan
-16
Oct
-16
Jul-
17
Ap
r-1
8
Jan
-19
Ma
r-2
0
78.9
<ReportMemberName>
Trust Fund Rolling Risk Statistics
As of March 31, 2020
13
This Page Left Blank Intentionally
Writeup
14
Total Public Equity
15
Total Public Equity Current Allocation
Allocation
MarketValue
($)
Performance(%)
1Quarter
FiscalYTD
1Year
3Years
5Years
10Years
2019 2018 2017 2016 2015
Total Public Equity 5,378,169,422 -22.8 -16.1 -13.2 0.5 1.6 10.3 26.1 -10.7 25.7 8.0 -5.7
MSCI AC World IMI (Net) -22.4 -15.6 -12.7 0.8 2.4 5.8 26.4 -10.1 23.9 8.4 -2.2
U.S. Equity 2,488,377,363 -21.7 -13.5 -9.9 3.4 5.2 8.7 31.4 -5.8 20.7 12.0 1.8
MSCI USA IMI (Net) -21.1 -13.1 -9.7 3.4 5.2 9.6 30.4 -5.7 20.6 12.0 0.0
Global Equity 446,997,763 -23.0 -16.2 -13.5 0.0 2.3 - 24.4 -10.7 25.2 8.3 -1.4
MSCI AC World IMI (Net) -22.4 -15.6 -12.7 0.8 2.4 - 26.4 -10.1 23.9 8.4 -2.2
International Equity 1,770,176,347 -23.2 -17.6 -14.3 -1.8 -0.5 - 23.3 -14.4 25.3 1.5 -0.7
MSCI EAFE IMI (Net) -23.5 -17.7 -14.9 -2.0 -0.4 - 22.4 -14.4 26.2 1.2 0.5
Emerging Market Equity 672,617,948 -25.7 -21.2 -20.7 -3.2 -0.5 0.9 17.3 -14.6 35.9 12.8 -14.5
Emerging Markets Benchmark -23.6 -18.2 -17.7 -1.8 -0.4 0.7 18.4 -14.6 36.9 9.9 -13.9
U.S. Equity46.3%
Emerging Market Equity12.5%
International Equity32.9%
Global Equity8.3%
Total Public Equity Performance Summary
As of March 31, 2020
16
Allocation
MarketValue
($)%
Performance(%)
1Quarter
FiscalYTD
1Year
3Years
5Years
10Years
2019 2018 2017 2016 2015
Trust Fund 11,935,258,563 100.0 -12.9 -8.0 -5.4 2.6 3.1 6.0 15.9 -3.9 16.0 6.9 -1.0
U.S. Equity 2,488,377,363 20.8 -21.7 -13.5 -9.9 3.4 5.2 8.7 31.4 -5.8 20.7 12.0 1.8
MSCI USA IMI (Net) -21.1 -13.1 -9.7 3.4 5.2 9.6 30.4 -5.7 20.6 12.0 0.0
BlackRock MSCI US Equity Index 1,019,061,566 8.5 -19.6 (26) -10.9 (20) -7.1 (21) - - - 31.6 (24) -4.5 (28) - - -
MSCI USA (Net) -19.8 (28) -11.3 (22) -7.7 (24) - - - 30.9 (29) -5.0 (31) - - -IM U.S. Equity (SA+CF) Median -24.6 -18.9 -15.5 - - - 27.6 -7.8 - - -
BlackRock MSCI US Small Cap Index 140,684,275 1.2 -31.2 (51) -26.2 (49) -24.5 (47) - - - 27.3 (30) -10.3 (43) - - -
MSCI USA Small Cap Index (Net) -31.4 (51) -26.5 (51) -24.9 (51) - - - 26.7 (35) -10.4 (44) - - -IM U.S. Small Cap Equity (SA+CF) Median -31.1 -26.4 -24.7 - - - 24.7 -11.4 - - -
PIMCO Russell 2000 Passive Plus 151,956,425 1.3 -32.0 (79) -26.9 (79) -25.2 (79) -5.1 (74) - - 26.9 (56) -11.7 (72) 14.9 (69) 22.8 (14) -
Russell 2000 Index -30.6 (74) -25.5 (74) -24.0 (75) -4.6 (71) - - 25.5 (64) -11.0 (69) 14.6 (70) 21.3 (17) -IM U.S. Equity (SA+CF) Median -24.6 -18.9 -15.5 0.0 - - 27.6 -7.8 18.3 12.2 -
PIMCO S&P Passive Plus 1,176,675,098 9.9 -21.0 (36) -12.3 (26) -8.3 (27) 4.3 (27) - - 32.6 (20) -5.4 (35) 21.6 (32) 13.2 (47) -
S&P 500 Index -19.6 (26) -10.8 (19) -7.0 (21) 5.1 (23) - - 31.5 (25) -4.4 (27) 21.8 (31) 12.0 (51) -IM U.S. Equity (SA+CF) Median -24.6 -18.9 -15.5 0.0 - - 27.6 -7.8 18.3 12.2 -
Global Equity 446,997,763 3.7 -23.0 -16.2 -13.5 0.0 2.3 - 24.4 -10.7 25.2 8.3 -1.4
MSCI AC World IMI (Net) -22.4 -15.6 -12.7 0.8 2.4 - 26.4 -10.1 23.9 8.4 -2.2
Allianz Global Equity 324,913,405 2.7 -23.7 (71) -17.0 (66) -14.5 (67) - - - 23.9 (65) -11.3 (66) - - -
MSCI AC World IMI (Net) -22.4 (63) -15.6 (57) -12.7 (57) - - - 26.4 (47) -10.1 (56) - - -IM Global Equity (SA+CF) Median -21.1 -14.6 -11.7 - - - 25.8 -9.5 - - -
BlackRock ACWI IMI Index 122,084,358 1.0 -22.3 (35) -15.3 (29) -12.3 (28) - - - 26.9 (22) - - - -
MSCI AC World IMI (Net) -22.4 (35) -15.6 (30) -12.7 (30) - - - 26.4 (25) - - - -IM International Equity (SA+CF) Median -24.0 -18.4 -16.5 - - - 21.6 - - - -
International Equity 1,770,176,347 14.8 -23.2 -17.6 -14.3 -1.8 -0.5 - 23.3 -14.4 25.3 1.5 -0.7
MSCI EAFE IMI (Net) -23.5 -17.7 -14.9 -2.0 -0.4 - 22.4 -14.4 26.2 1.2 0.5
BlackRock MSCI EAFE IMI Index 514,921,041 4.3 -23.5 (46) -17.6 (44) -14.6 (39) - - - 22.9 (43) -14.1 (33) - - -
MSCI EAFE IMI (Net) -23.5 (46) -17.7 (44) -14.9 (41) - - - 22.4 (46) -14.4 (38) - - -IM International Equity (SA+CF) Median -24.0 -18.4 -16.5 - - - 21.6 -15.5 - - -
PIMCO EAFE Passive Plus 1,255,255,306 10.5 -24.1 (52) -18.7 (53) -15.4 (44) -2.3 (46) - - 23.5 (39) -14.4 (38) 25.2 (73) 1.5 (61) -
MSCI EAFE Index (Net) -22.8 (39) -17.4 (42) -14.4 (38) -1.8 (42) - - 22.0 (49) -13.8 (30) 25.0 (74) 1.0 (64) -IM International Equity (SA+CF) Median -24.0 -18.4 -16.5 -2.5 - - 21.6 -15.5 29.6 3.2 -
Emerging Market Equity 672,617,948 5.6 -25.7 -21.2 -20.7 -3.2 -0.5 0.9 17.3 -14.6 35.9 12.8 -14.5
Emerging Markets Benchmark -23.6 -18.2 -17.7 -1.8 -0.4 0.7 18.4 -14.6 36.9 9.9 -13.9
BlackRock EM Index 335,060,193 2.8 -23.6 (35) -18.3 (38) -17.8 (42) -1.7 (33) - - 18.2 (52) -14.6 (32) 37.1 (39) 11.0 (37) -
MSCI Emerging Markets Index (Net) -23.6 (35) -18.2 (37) -17.7 (41) -1.6 (32) - - 18.4 (51) -14.6 (32) 37.3 (38) 11.2 (36) -IM Emerging Markets Equity (SA+CF) Median -25.2 -20.1 -18.9 -3.5 - - 18.5 -16.1 35.5 9.3 -
DFA Emerging Markets Value I 118,056,626 1.0 -31.9 (87) -30.5 (88) -30.3 (92) -8.3 (87) -3.0 (76) - 9.6 (88) -11.9 (16) 33.8 (56) 19.8 (8) -18.8 (83)
MSCI Emerging Markets Index (Net) -23.6 (30) -18.2 (36) -17.7 (41) -1.6 (27) -0.4 (33) - 18.4 (58) -14.6 (34) 37.3 (38) 11.2 (37) -14.9 (59)IM Emerging Markets Equity (MF) Median -25.7 -20.4 -19.1 -3.7 -1.2 - 19.4 -16.0 35.0 9.3 -13.8
PIMCO EM Passive Plus 219,501,129 1.8 -25.1 (50) -19.6 (48) -18.9 (51) -2.4 (36) - - 19.6 (47) -15.5 (44) 37.0 (40) 11.9 (31) -
MSCI Emerging Markets Index (Net) -23.6 (35) -18.2 (37) -17.7 (41) -1.6 (32) - - 18.4 (51) -14.6 (32) 37.3 (38) 11.2 (36) -IM Emerging Markets Equity (SA+CF) Median -25.2 -20.1 -18.9 -3.5 - - 18.5 -16.1 35.5 9.3 -
Total Public Equity Performance Summary
As of March 31, 2020
17
Return Summary
Quarterly Relative Performance Ratio of Cumulative Wealth - Since Inception
Current Allocation
Total Public Equity MSCI AC World IMI (Net)
0.0
15.0
30.0
-15.0
-30.0
-45.0
Re
turn
1Quarter
1Year
3Years
5Years
10Years
Inception1/1/06
-22.4
-12.7
0.8 2.45.8 4.7
-22.8
-13.2
0.5 1.6
10.3 9.9
March 31, 2020 : $5,378M
DFA Emerging Markets Value I:2.2%
PIMCO EAFE Passive Plus:23.3%
BlackRock ACWI IMI Index:2.3%
PIMCO S&P Passive Plus:21.9%
Allianz Global Equity:6.0%
BlackRock EM Index:6.2%
PIMCO EM Passive Plus:4.1%
BlackRock MSCI EAFE IMI Index:9.6%
PIMCO Russell 2000 Passive Plus:2.8%
BlackRock MSCI US Equity Index:18.9%
BlackRock MSCI US Small Cap Index:2.6%
0.00
0.80
1.60
2.40
3.20
12/05 6/07 12/08 6/10 12/11 6/13 12/14 6/16 12/17 3/20
1.99
0.0%
3.0%
-3.0 %
-6.0 %
6/15 12/15 6/16 12/16 6/17 12/17 6/18 12/18 6/19 3/20
Total Public Equity Portfolio Overview
As of March 31, 2020Total Public Equity
18
Annualized Return vs. Annualized Standard Deviation5 Years
Rolling 5 Years Standard Deviation
5 Years Historical Statistics
Total Public Equity MSCI AC World IMI (Net)
FTSE 3 Month T-Bill
0.4
0.8
1.2
1.6
2.0
2.4
2.8
3.2
Re
turn
(%)
0.0 3.0 6.0 9.0 12.0 15.0 18.0 21.0Risk (Standard Deviation %)
Total Public Equity MSCI AC World IMI (Net)
0.0
10.0
20.0
30.0
40.0
50.0
60.0
70.0
80.0
12/10 12/11 12/12 12/13 12/14 12/15 12/16 12/17 12/18 3/20
ActiveReturn
TrackingError
InformationRatio
R-SquaredSharpeRatio
Alpha Beta ReturnStandardDeviation
ActualCorrelation
Total Public Equity -0.70 2.52 -0.28 0.97 0.11 -0.79 1.03 1.65 14.53 0.99
MSCI AC World IMI (Net) 0.00 0.00 N/A 1.00 0.16 0.00 1.00 2.45 13.94 1.00
FTSE 3 Month T-Bill -2.28 13.95 -0.16 0.00 N/A 1.13 0.00 1.12 0.25 -0.03
Total Public Equity Risk Profile
As of March 31, 2020Total Public Equity
19
1 Quarter
0 15 30 45 60 75-15-30-45-60-75
PIMCO EM Passive Plus
DFA Emerging Markets Value I
BlackRock EM Index
PIMCO EAFE Passive Plus
BlackRock MSCI EAFE IMI Index
BlackRock ACWI IMI Index
Allianz Global Equity
PIMCO S&P Passive Plus
PIMCO Russell 2000 Passive Plus
BlackRock MSCI US Small Cap Index
BlackRock MSCI US Equity Index
Benchmark Effect
Cash Flow Effect
Total Excess Return
-7
-22
0
-33
0
0
-8
-31
-5
0
3
28
36
-37
Total Public Equity
Asset Class Attribution
1 Quarter Ending March 31, 2020
20
Allocation
MarketValue
($)%
Performance(%)
1Quarter
FiscalYTD
1Year
3Years
5Years
10Years
2019 2018 2017 2016 2015
U.S. Equity 2,488,377,363 100.0 -21.7 -13.5 -9.9 3.4 5.2 8.7 31.4 -5.8 20.7 12.0 1.8
MSCI USA IMI (Net) -21.1 -13.1 -9.7 3.4 5.2 9.6 30.4 -5.7 20.6 12.0 0.0
BlackRock MSCI US Equity Index 1,019,061,566 41.0 -19.6 -10.9 -7.1 - - - 31.6 -4.5 - - -
MSCI USA (Net) -19.8 -11.3 -7.7 - - - 30.9 -5.0 - - -
BlackRock MSCI US Small Cap Index 140,684,275 5.7 -31.2 -26.2 -24.5 - - - 27.3 -10.3 - - -
MSCI USA Small Cap Index (Net) -31.4 -26.5 -24.9 - - - 26.7 -10.4 - - -
PIMCO Russell 2000 Passive Plus 151,956,425 6.1 -32.0 -26.9 -25.2 -5.1 - - 26.9 -11.7 14.9 22.8 -
Russell 2000 Index -30.6 -25.5 -24.0 -4.6 - - 25.5 -11.0 14.6 21.3 -
PIMCO S&P Passive Plus 1,176,675,098 47.3 -21.0 -12.3 -8.3 4.3 - - 32.6 -5.4 21.6 13.2 -
S&P 500 Index -19.6 -10.8 -7.0 5.1 - - 31.5 -4.4 21.8 12.0 -
<ReportMemberName>
U.S. Equity Asset Class Overview
As of March 31, 2020
21
Return Summary
Quarterly Relative Performance Ratio of Cumulative Wealth - Since Inception
Current Allocation
U.S. Equity MSCI USA IMI (Net)
0.0
15.0
30.0
-15.0
-30.0
-45.0
Re
turn
1Quarter
1Year
3Years
5Years
10Years
Inception1/1/06
-21.1
-9.7
3.45.2
9.66.8
-21.7
-9.9
3.45.2
8.7 8.3
March 31, 2020 : $2,488M
BlackRock MSCI US Small Cap Index:5.7%
BlackRock MSCI US Equity Index:41.0%
PIMCO Russell 2000 Passive Plus:6.1%
PIMCO S&P Passive Plus:47.3%
0.60
0.90
1.20
1.50
1.80
12/05 6/07 12/08 6/10 12/11 6/13 12/14 6/16 12/17 3/20
1.220.0%
2.0%
4.0%
-2.0 %
-4.0 %
6/15 12/15 6/16 12/16 6/17 12/17 6/18 12/18 6/19 3/20
U.S. Equity Portfolio Overview
As of March 31, 2020U.S. Equity
22
Annualized Return vs. Annualized Standard Deviation5 Years
Rolling 5 Years Standard Deviation
5 Years Historical Statistics
U.S. Equity MSCI USA IMI (Net)
FTSE 3 Month T-Bill
-1.5
0.0
1.5
3.0
4.5
6.0
7.5
Re
turn
(%)
0.0 3.0 6.0 9.0 12.0 15.0 18.0 21.0Risk (Standard Deviation %)
U.S. Equity MSCI USA IMI (Net)
0.0
4.0
8.0
12.0
16.0
20.0
24.0
28.0
12/10 12/11 12/12 12/13 12/14 12/15 12/16 12/17 12/18 3/20
ActiveReturn
TrackingError
InformationRatio
R-SquaredSharpeRatio
Alpha Beta ReturnStandardDeviation
ActualCorrelation
U.S. Equity 0.00 1.19 0.00 0.99 0.35 0.03 1.00 5.20 14.16 1.00
MSCI USA IMI (Net) 0.00 0.00 N/A 1.00 0.35 0.00 1.00 5.20 14.17 1.00
FTSE 3 Month T-Bill -4.97 14.17 -0.35 0.00 N/A 1.13 0.00 1.12 0.25 -0.01
U.S. Equity Risk Profile
As of March 31, 2020U.S. Equity
23
1 Quarter
0 15 30 45 60-15-30-45-60-75-90-105
PIMCO S&P Passive Plus
PIMCO Russell 2000 Passive Plus
BlackRock MSCI US Small Cap Index
BlackRock MSCI US Equity Index
Benchmark Effect
Cash Flow Effect
Total Excess Return
-67
-10
1
6
-5
14
-62
U.S. Equity
Asset Class Attribution
1 Quarter Ending March 31, 2020
24
Return Summary
Quarterly Relative Performance Ratio of Cumulative Wealth - Since Inception
Account Information
BlackRock MSCI US Equity Index
MSCI USA (Net)
0.0
15.0
-15.0
-30.0
Re
turn
1Quarter
1Year
Inception8/1/17
-19.8
-7.7
3.1
-19.6
-7.1
3.7
Account Name: BlackRock MSCI US Equity Index
Inception Date: 07/07/2017
Account Structure: Commingled Fund
Asset Class: US Equity
Benchmark: MSCI USA (Net)
Peer Group: IM U.S. Equity (SA+CF)
12/17 3/18 6/18 9/18 12/18 3/19 6/19 9/19 12/19 3/20 0.0%
0.1%
0.2%
0.3%
0.4%
0.99
1.00
1.01
1.02
1.03
7/17 10/17 1/18 4/18 7/18 10/18 1/19 4/19 7/19 10/19 3/20
1.02
BlackRock MSCI US Equity Index Performance Summary
As of March 31, 2020BlackRock MSCI US Equity Index
25
Return Summary
Quarterly Relative Performance Ratio of Cumulative Wealth - Since Inception
Account Information
BlackRock MSCI US Small Cap Index
MSCI USA Small Cap Index (Net)
-45.0
-30.0
-15.0
0.0
Re
turn
1Quarter
1Year
Inception8/1/17
-31.4
-24.9
-5.9
-31.2
-24.5
-5.6
Account Name: BlackRock MSCI US Small Cap Index
Inception Date: 07/07/2017
Account Structure: Commingled Fund
Asset Class: US Equity
Benchmark: MSCI USA Small Cap Index (Net)
Peer Group: IM U.S. Small Cap Equity (SA+CF)
9/17 12/17 3/18 6/18 9/18 12/18 3/19 6/19 9/19 12/19 3/20
0.0%
0.3%
0.6%
-0.3 %
-0.6 %
0.99
1.00
1.01
1.02
7/17 10/17 1/18 4/18 7/18 10/18 1/19 4/19 7/19 10/19 3/20
1.01
BlackRock MSCI US Small Cap Index Performance Summary
As of March 31, 2020BlackRock MSCI US Small Cap Index
26
Return Summary
Quarterly Relative Performance Ratio of Cumulative Wealth - Since Inception
Account Information
PIMCO Russell 2000 Passive Plus
Russell 2000 Index
0.0
15.0
-15.0
-30.0
-45.0
Re
turn
1Quarter
1Year
3Years
Inception9/1/15
-30.6
-24.0
-4.6
1.3
-32.0
-25.2
-5.1
1.3
Account Name: PIMCO Russell 2000 Passive Plus
Inception Date: 08/10/2015
Account Structure: Separate Account
Asset Class: US Equity
Benchmark: Russell 2000 Index
Peer Group: IM U.S. Equity (SA+CF)
0.0%
1.0%
2.0%
-1.0 %
-2.0 %
-3.0 %
12/15 6/16 12/16 6/17 12/17 6/18 12/18 6/19 3/20
0.98
1.00
1.02
1.04
8/15 2/16 8/16 2/17 8/17 2/18 8/18 2/19 8/19 3/20
1.00
PIMCO Russell 2000 Passive Plus Performance Summary
As of March 31, 2020PIMCO Russell 2000 Passive Plus
27
Return Summary
Quarterly Relative Performance Ratio of Cumulative Wealth - Since Inception
Account Information
PIMCO S&P Passive Plus S&P 500 Index
0.0
15.0
30.0
-15.0
-30.0
-45.0
Re
turn
1Quarter
1Year
3Years
Inception9/1/15
-19.6
-7.0
5.18.3
-21.0
-8.3
4.3
8.2
Account Name: PIMCO S&P Passive Plus
Inception Date: 08/10/2015
Account Structure: Separate Account
Asset Class: US Equity
Benchmark: S&P 500 Index
Peer Group: IM U.S. Equity (SA+CF)
0.0%
2.0%
4.0%
-2.0 %
-4.0 %
12/15 6/16 12/16 6/17 12/17 6/18 12/18 6/19 3/20
0.98
1.00
1.02
1.04
8/15 2/16 8/16 2/17 8/17 2/18 8/18 2/19 8/19 3/20
1.00
PIMCO S&P Passive Plus Performance Summary
As of March 31, 2020PIMCO S&P Passive Plus
28
Allocation
MarketValue
($)%
Performance(%)
1Quarter
FiscalYTD
1Year
3Years
5Years
2019 2018 2017 2016 2015
Global Equity 446,997,763 100.0 -23.0 -16.2 -13.5 0.0 2.3 24.4 -10.7 25.2 8.3 -1.4
MSCI AC World IMI (Net) -22.4 -15.6 -12.7 0.8 2.4 26.4 -10.1 23.9 8.4 -2.2
Allianz Global Equity 324,913,405 72.7 -23.7 -17.0 -14.5 - - 23.9 -11.3 - - -
MSCI AC World IMI (Net) -22.4 -15.6 -12.7 - - 26.4 -10.1 - - -
BlackRock ACWI IMI Index 122,084,358 27.3 -22.3 -15.3 -12.3 - - 26.9 - - - -
MSCI AC World IMI (Net) -22.4 -15.6 -12.7 - - 26.4 - - - -
Global Equity Performance Summary
As of March 31, 2020
29
Return Summary
Quarterly Relative Performance Ratio of Cumulative Wealth - Since Inception
Current Allocation
Global Equity MSCI AC World IMI (Net)
0.0
15.0
30.0
-15.0
-30.0
-45.0
Re
turn
1Quarter
1Year
3Years
5Years
Inception7/1/10
-22.4
-12.7
0.8 2.4
7.3
-23.0
-13.5
0.02.3
8.5
March 31, 2020 : $447M
BlackRock ACWI IMI Index:27.3%
Allianz Global Equity:72.7%
0.96
1.04
1.12
1.20
1.28
6/10 6/11 6/12 6/13 6/14 6/15 6/16 6/17 6/18 6/19 3/20
1.110.0%
2.0%
4.0%
-2.0 %
-4.0 %
6/15 12/15 6/16 12/16 6/17 12/17 6/18 12/18 6/19 3/20
Global Equity Portfolio Overview
As of March 31, 2020Global Equity
30
Annualized Return vs. Annualized Standard Deviation5 Years
Rolling 5 Years Standard Deviation
5 Years Historical Statistics
Global Equity MSCI AC World IMI (Net)
FTSE 3 Month T-Bill
0.4
0.8
1.2
1.6
2.0
2.4
2.8
3.2
Re
turn
(%)
0.0 3.0 6.0 9.0 12.0 15.0 18.0 21.0Risk (Standard Deviation %)
Global Equity MSCI AC World IMI (Net)
0.0
3.0
6.0
9.0
12.0
15.0
18.0
21.0
6/15 12/15 6/16 12/16 6/17 12/17 6/18 12/18 6/19 3/20
ActiveReturn
TrackingError
InformationRatio
R-SquaredSharpeRatio
Alpha Beta ReturnStandardDeviation
ActualCorrelation
Global Equity -0.21 1.51 -0.14 0.99 0.15 -0.17 0.99 2.25 13.85 0.99
MSCI AC World IMI (Net) 0.00 0.00 N/A 1.00 0.16 0.00 1.00 2.45 13.94 1.00
FTSE 3 Month T-Bill -2.28 13.95 -0.16 0.00 N/A 1.13 0.00 1.12 0.25 -0.03
Global Equity Risk Profile
As of March 31, 2020Global Equity
31
1 Quarter
0 25 50 75 100 125-25-50-75-100-125-150-175
BlackRock ACWI IMI Index
Allianz Global Equity
Benchmark Effect
Cash Flow Effect
Total Excess Return
2
-100
0
41
-57
Global Equity
Asset Class Attribution
1 Quarter Ending March 31, 2020
32
Return Summary
Quarterly Relative Performance Ratio of Cumulative Wealth - Since Inception
Account Information
Allianz Global Equity MSCI AC World IMI (Net)
-40.0
-30.0
-20.0
-10.0
0.0
Re
turn
1Quarter
1Year
Inception7/1/17
-22.4
-12.7
-0.7
-23.7
-14.5
-1.9Account Name: Allianz Global Equity
Inception Date: 06/21/2017
Account Structure: Separate Account
Asset Class: Global Equity
Benchmark: MSCI AC World IMI (Net)
Peer Group: IM Global Equity (SA+CF)
9/17 12/17 3/18 6/18 9/18 12/18 3/19 6/19 9/19 12/19 3/20
0.0%
2.0%
4.0%
-2.0 %
-4.0 %
12/17 0.93
0.96
0.99
1.02
1.05
1.08
6/17 6/18 12/18 6/19 12/19 3/20
0.97
Allianz Global Equity Performance Summary
As of March 31, 2020Allianz Global Equity
33
Return Summary
Quarterly Relative Performance Ratio of Cumulative Wealth - Since Inception
Account Information
BlackRock ACWI IMI Index MSCI AC World IMI (Net)
-32.0
-24.0
-16.0
-8.0
0.0
Re
turn
1Quarter
1Year
Inception1/1/19
-22.4
-12.7
-1.6
-22.3
-12.3
-1.2Account Name: BlackRock ACWI IMI Index
Inception Date: 01/01/2019
Account Structure: Commingled Fund
Asset Class: Global Equity
Benchmark: MSCI AC World IMI (Net)
Peer Group: IM Global Equity (SA+CF)
3/19 6/19 0.0%
0.1%
0.2%
0.3%
0.4%
9/19 12/19 3/20 12/18 3/19 6/19 0.99
1.00
1.01
9/19 12/19 3/20
1.01
BlackRock ACWI IMI Index Performance Summary
As of March 31, 2020BlackRock ACWI IMI Index
34
Allocation
MarketValue
($)%
Performance(%)
1Quarter
FiscalYTD
1Year
3Years
2019 2018
International Equity 1,770,176,347 100.0 -23.2 -17.6 -14.3 -1.8 23.3 -14.4
MSCI EAFE IMI (Net) -23.5 -17.7 -14.9 -2.0 22.4 -14.4
BlackRock MSCI EAFE IMI Index 514,921,041 29.1 -23.5 -17.6 -14.6 - 22.9 -14.1
MSCI EAFE IMI (Net) -23.5 -17.7 -14.9 - 22.4 -14.4
PIMCO EAFE Passive Plus 1,255,255,306 70.9 -24.1 -18.7 -15.4 -2.3 23.5 -14.4
MSCI EAFE Index (Net) -22.8 -17.4 -14.4 -1.8 22.0 -13.8
International Equity Performance Summary
As of March 31, 2020
35
Return Summary
Quarterly Relative Performance Ratio of Cumulative Wealth - Since Inception
Current Allocation
International Equity MSCI EAFE IMI (Net)
-32.0
-24.0
-16.0
-8.0
0.0
Re
turn
1Quarter
1Year
3Years
5Years
Inception6/1/14
-23.5
-14.9
-2.0-0.4 -1.0
-23.2
-14.3
-1.8-0.5
-1.2
March 31, 2020 : $1,770M
BlackRock MSCI EAFE IMI Index:29.1%
PIMCO EAFE Passive Plus:70.9%
2/15 11/15 0.94
0.96
0.98
1.00
1.02
5/14 8/16 5/17 2/18 11/18 8/19 3/20
0.990.0%
0.7%
1.4%
-0.7 %
-1.4 %
-2.1 %
6/15 12/15 6/16 12/16 6/17 12/17 6/18 12/18 6/19 3/20
International Equity Portfolio Overview
As of March 31, 2020International Equity
36
1 Quarter
0 50 100 150 200-50-100-150-200
PIMCO EAFE Passive Plus
BlackRock MSCI EAFE IMI Index
Benchmark Effect
Cash Flow Effect
Total Excess Return
-103
1
53
82
34
International Equity
Asset Class Attribution
1 Quarter Ending March 31, 2020
37
Return Summary
Quarterly Relative Performance Ratio of Cumulative Wealth - Since Inception
Account Information
BlackRock MSCI EAFE IMI Index
MSCI EAFE IMI (Net)
-32.0
-24.0
-16.0
-8.0
0.0
Re
turn
1Quarter
1Year
Inception8/1/17
-23.5
-14.9
-5.5
-23.5
-14.6
-5.2
Account Name: BlackRock MSCI EAFE IMI Index
Inception Date: 07/07/2017
Account Structure: Commingled Fund
Asset Class: International Equity
Benchmark: MSCI EAFE IMI (Net)
Peer Group: IM International Equity (SA+CF)
12/17 3/18 6/18 9/18 12/18 3/19 6/19 9/19 12/19 3/20
0.0%
0.3%
0.6%
-0.3 %
-0.6 %
0.99
1.00
1.01
1.02
7/17 10/17 1/18 4/18 7/18 10/18 1/19 4/19 7/19 10/19 3/20
1.01
BlackRock MSCI EAFE IMI Index Performance Summary
As of March 31, 2020BlackRock MSCI EAFE IMI Index
38
Return Summary
Quarterly Relative Performance Ratio of Cumulative Wealth - Since Inception
Account Information
PIMCO EAFE Passive Plus MSCI EAFE Index (Net)
0.0
15.0
-15.0
-30.0
-45.0
Re
turn
1Quarter
1Year
3Years
Inception9/1/15
-22.8
-14.4
-1.8
0.4
-24.1
-15.4
-2.3
0.6
Account Name: PIMCO EAFE Passive Plus
Inception Date: 08/10/2015
Account Structure: Separate Account
Asset Class: International Equity
Benchmark: MSCI EAFE Index (Net)
Peer Group: IM International Equity (SA+CF)
0.0%
2.0%
-2.0 %
-4.0 %
12/15 6/16 12/16 6/17 12/17 6/18 12/18 6/19 3/20
0.98
1.00
1.02
1.04
1.06
8/15 2/16 8/16 2/17 8/17 2/18 8/18 2/19 8/19 3/20
1.01
PIMCO EAFE Passive Plus Performance Summary
As of March 31, 2020PIMCO EAFE Passive Plus
39
Emerging Markets Effective Style Map3 Years
Emerging Markets Effective Style Map5 Years
Allocation
MarketValue
($)%
Performance(%)
1Quarter
FiscalYTD
1Year
3Years
5Years
10Years
2019 2018 2017 2016 2015
Emerging Market Equity 672,617,948 100.0 -25.7 -21.2 -20.7 -3.2 -0.5 0.9 17.3 -14.6 35.9 12.8 -14.5
Emerging Markets Benchmark -23.6 -18.2 -17.7 -1.8 -0.4 0.7 18.4 -14.6 36.9 9.9 -13.9
BlackRock EM Index 335,060,193 49.8 -23.6 -18.3 -17.8 -1.7 - - 18.2 -14.6 37.1 11.0 -
MSCI Emerging Markets Index (Net) -23.6 -18.2 -17.7 -1.6 - - 18.4 -14.6 37.3 11.2 -
DFA Emerging Markets Value I 118,056,626 17.6 -31.9 -30.5 -30.3 -8.3 -3.0 - 9.6 -11.9 33.8 19.8 -18.8
MSCI Emerging Markets Index (Net) -23.6 -18.2 -17.7 -1.6 -0.4 - 18.4 -14.6 37.3 11.2 -14.9
PIMCO EM Passive Plus 219,501,129 32.6 -25.1 -19.6 -18.9 -2.4 - - 19.6 -15.5 37.0 11.9 -
MSCI Emerging Markets Index (Net) -23.6 -18.2 -17.7 -1.6 - - 18.4 -14.6 37.3 11.2 -
Style Map(36 Months)
Ca
pit
aliz
ati
on
Manager Style
EM Large Value
EM Small Value EM Small Growth
EM Large Growth
DFA EM Value
Style Map(60 Months)
Ca
pit
aliz
ati
on
Manager Style
EM Large Value
EM Small Value EM Small Growth
EM Large Growth
DFA EM Value
<ReportMemberName>
Emerging Market Equity Asset Class Overview
As of March 31, 2020
40
Return Summary
Quarterly Relative Performance Ratio of Cumulative Wealth - Since Inception
Current Allocation
Emerging Market Equity
Emerging Markets Benchmark
0.0
15.0
30.0
-15.0
-30.0
-45.0
Re
turn
1Quarter
1Year
3Years
5Years
10Years
Inception1/1/06
-23.6
-17.7
-1.8 -0.4
0.73.8
-25.7
-20.7
-3.2-0.5
0.94.4
March 31, 2020 : $673M
BlackRock EM Index:49.8%
PIMCO EM Passive Plus:32.6%
DFA Emerging Markets Value I:17.6%
0.91
0.98
1.05
1.12
1.19
12/05 6/07 12/08 6/10 12/11 6/13 12/14 6/16 12/17 3/20
1.080.0%
2.0%
4.0%
-2.0 %
-4.0 %
6/15 12/15 6/16 12/16 6/17 12/17 6/18 12/18 6/19 3/20
Emerging Market Equity Portfolio Overview
As of March 31, 2020Emerging Market Equity
41
Annualized Return vs. Annualized Standard Deviation5 Years
Rolling 5 Years Standard Deviation
5 Years Historical Statistics
Emerging Market Equity
Emerging Markets Benchmark
FTSE 3 Month T-Bill
-1.5
-1.0
-0.5
0.0
0.5
1.0
1.5
2.0
Re
turn
(%)
0.0 4.0 8.0 12.0 16.0 20.0 24.0 28.0Risk (Standard Deviation %)
Emerging Market Equity Emerging Markets Benchmark
0.0
6.0
12.0
18.0
24.0
30.0
36.0
42.0
12/10 12/11 12/12 12/13 12/14 12/15 12/16 12/17 12/18 3/20
ActiveReturn
TrackingError
InformationRatio
R-SquaredSharpeRatio
Alpha Beta ReturnStandardDeviation
ActualCorrelation
Emerging Market Equity -0.04 1.68 -0.02 0.99 0.00 -0.04 1.00 -0.50 17.55 1.00
Emerging Markets Benchmark 0.00 0.00 N/A 1.00 0.00 0.00 1.00 -0.44 17.47 1.00
FTSE 3 Month T-Bill 0.04 17.48 0.00 0.00 N/A 1.13 0.00 1.12 0.25 -0.04
Emerging Market Equity Risk Profile
As of March 31, 2020Emerging Market Equity
42
1 Quarter
0 50 100-50-100-150-200-250-300
PIMCO EM Passive Plus
DFA Emerging Markets Value I
BlackRock EM Index
Benchmark Effect
Cash Flow Effect
Total Excess Return
-48
-159
0
0
0
-207
Emerging Market Equity
Asset Class Attribution
1 Quarter Ending March 31, 2020
43
Return Summary
Quarterly Relative Performance Ratio of Cumulative Wealth - Since Inception
Account Information
BlackRock EM Index
MSCI Emerging Markets Index (Net)
0.0
15.0
-15.0
-30.0
-45.0
Re
turn
1Quarter
1Year
3Years
Inception9/1/15
-23.6
-17.7
-1.6
3.1
-23.6
-17.8
-1.7
3.0
Account Name: BlackRock EM Index
Inception Date: 08/04/2015
Account Structure: Commingled Fund
Asset Class: International-Emerging Equity
Benchmark: MSCI Emerging Markets Index (Net)
Peer Group: IM Emerging Markets Equity (SA+CF)
0.0%
0.1%
0.2%
-0.1 %
-0.2 %
-0.3 %
12/15 6/16 12/16 6/17 12/17 6/18 12/18 6/19 3/20
0.99
1.00
1.01
8/15 2/16 8/16 2/17 8/17 2/18 8/18 2/19 8/19 3/20
1.00
BlackRock EM Index Performance Summary
As of March 31, 2020BlackRock EM Index
44
Return Summary
Quarterly Relative Performance Ratio of Cumulative Wealth - Since Inception
Account Information
As of March 31, 2020
DFA Emerging Markets Value I Performance Summary
DFA Emerging Markets Value I
DFA Emerging Markets Value I
MSCI Emerging Markets Index (Net)
0.0
15.0
-15.0
-30.0
-45.0
Re
turn
1Quarter
1Year
3Years
5Years
Inception12/1/11
-23.6
-17.7
-1.6 -0.4
1.3
-31.9-30.3
-8.3
-3.0-1.2
Product Name : DFA Emg Mkts Value;I (DFEVX)
Fund Family : Dimensional Fund Advisors LP
Ticker : DFEVX
Peer Group : IM Emerging Markets Equity (MF)
Benchmark : MSCI Emerging Markets Index (Net)
Fund Inception : 04/01/1998
Portfolio Manager : Fogdall/Singh/Phillips
Total Assets : $17,937.00 Million
Total Assets Date : 12/31/2019
Gross Expense : 0.64%
Net Expense : 0.54%
Turnover : 13%
0.0%
6.0%
12.0%
-6.0 %
-12.0 %
-18.0 %
6/15 12/15 6/16 12/16 6/17 12/17 6/18 12/18 6/19 3/20
0.72
0.81
0.90
0.99
1.08
1.17
11/11 11/12 11/13 11/14 11/15 11/16 11/17 11/18 3/20
0.81
45
-80.0
-60.0
-40.0
-20.0
0.0
20.0
40.0
60.0
80.0
Re
turn
1Quarter
1Year
3Years
5Years
2019 2018 2017
DFA Emerging Markets Value I -31.9 (87) -30.3 (92) -8.3 (87) -3.0 (76) 9.6 (88) -11.9 (16) 33.8 (56)¢
MSCI Emerging Markets Index (Net) -23.6 (30) -17.7 (41) -1.6 (27) -0.4 (33) 18.4 (58) -14.6 (34) 37.3 (38)�
5th Percentile -18.5 -9.6 2.5 2.7 31.2 -8.6 46.6
1st Quartile -23.2 -15.3 -1.3 0.3 24.5 -13.5 39.6
Median -25.7 -19.1 -3.7 -1.2 19.4 -16.0 35.0
3rd Quartile -29.1 -23.2 -6.1 -3.0 15.2 -18.7 28.4
95th Percentile -36.4 -34.9 -11.8 -8.0 6.1 -23.1 19.7
Population 214 214 214 214 220 233 240
DFA Emerging Markets Value I
Peer Group Analysis
As of March 31, 2020
IM Emerging Markets Equity (MF)
Parentheses contain percentile rankings.
46
Annualized Return vs. Annualized Standard Deviation5 Years
Rolling 5 Years Standard Deviation
5 Years Historical Statistics
DFA Emerging Markets Value I
MSCI Emerging Markets Index (Net)
FTSE 3 Month T-Bill
-6.0
-4.0
-2.0
0.0
2.0
4.0
Re
turn
(%)
0.0 4.0 8.0 12.0 16.0 20.0 24.0 28.0Risk (Standard Deviation %)
DFA Emerging Markets Value I
MSCI Emerging Markets Index (Net)
0.0
4.0
8.0
12.0
16.0
20.0
24.0
28.0
11/16 5/17 11/17 5/18 11/18 5/19 11/19 3/20
ActiveReturn
TrackingError
InformationRatio
R-SquaredSharpeRatio
Alpha Beta ReturnStandardDeviation
ActualCorrelation
DFA Emerging Markets Value I -2.27 4.97 -0.46 0.94 -0.11 -2.34 1.09 -3.02 19.67 0.97
MSCI Emerging Markets Index (Net) 0.00 0.00 N/A 1.00 0.00 0.00 1.00 -0.37 17.57 1.00
FTSE 3 Month T-Bill -0.05 17.59 0.00 0.00 N/A 1.13 0.00 1.12 0.25 -0.04
DFA Emerging Markets Value I Risk Profile
As of March 31, 2020DFA Emerging Markets Value I
47
Asset Allocation As of 07/31/2019
0.0% 50.0% 100.0% 150.0%
Fixed Income
Convertibles
Cash
Other
Equities
0.0%
0.0%
0.0%
0.5%
99.5%
Fund Characteristics As of 07/31/2019
Total Securities 2,484
Avg. Market Cap $33,036.10 Million
P/E 15.35
P/B 1.16
Div. Yield 3.82%
Annual EPS 13.99
5Yr EPS 8.52
3Yr EPS Growth 11.72
Top Ten Securities As of 07/31/2019
Reliance Industries Ltd ORD 3.25 %
China Construction Bank Corp ORD 2.05 %
Vale SA ORD 2.01 %
China Mobile Ltd ORD 1.65 %
NK Lukoil PAO DR 1.25 %
Hon Hai Precision Industry Co Ltd 1.17 %
Industrial and Commercial Bank 1.16 %
Petroleo Brasileiro SA Petrobras 1.13 %
Standard Bank Group Ltd ORD 1.09 %
Petroleo Brasileiro SA Petrobras 1.02 %
Regional Allocation As of 07/31/2019
0.0% 50.0% 100.0%
North America
Europe
Other
Pacific Basin
Emg. MidEast, Africa, Europe
Emerging Latin America
Emerging Asia
0.0%
0.2%
0.4%
3.5%
12.2%
14.2%
69.5%
DFA Emerging Markets Value I
Mutual Fund Attributes
As of March 31, 2020
48
Return Summary
Quarterly Relative Performance Ratio of Cumulative Wealth - Since Inception
Account Information
PIMCO EM Passive Plus
MSCI Emerging Markets Index (Net)
0.0
15.0
-15.0
-30.0
-45.0
Re
turn
1Quarter
1Year
3Years
Inception9/1/15
-23.6
-17.7
-1.6
3.1
-25.1
-18.9
-2.4
2.8
Account Name: PIMCO EM Passive Plus
Inception Date: 08/10/2015
Account Structure: Separate Account
Asset Class: International-Emerging Equity
Benchmark: MSCI Emerging Markets Index (Net)
Peer Group: IM Emerging Markets Equity (SA+CF)
0.0%
1.0%
2.0%
-1.0 %
-2.0 %
-3.0 %
12/15 6/16 12/16 6/17 12/17 6/18 12/18 6/19 3/20
0.96
0.98
1.00
1.02
8/15 2/16 8/16 2/17 8/17 2/18 8/18 2/19 8/19 3/20
0.98
PIMCO EM Passive Plus Performance Summary
As of March 31, 2020PIMCO EM Passive Plus
49
This Page Left Blank Intentionally
50
Total Fixed Income
51
Total Fixed Income Current Allocation
Allocation
MarketValue
($)
Performance(%)
1Quarter
FiscalYTD
1Year
3Years
5Years
10Years
2019 2018 2017 2016 2015
Risk-Reducing Fixed Income 2,292,575,858 2.0 3.6 5.9 3.8 - - 5.9 1.1 3.0 2.3 -
Blmbg. Barc. U.S. Intermediate Aggregate 2.5 4.4 6.9 3.9 - - 6.7 0.9 2.3 2.0 -
U.S. Fixed Income 2,009,409,862 2.2 4.0 6.3 3.9 - - 6.2 1.0 3.3 2.5 -
Blmbg. Barc. U.S. Intermediate Aggregate 2.5 4.4 6.9 3.9 - - 6.7 0.9 2.3 2.0 -
Cash 283,165,996
Return-Seeking Fixed Income 786,996,081 -14.3 -11.8 -10.2 -1.1 - - 11.5 -3.3 7.1 15.4 -
ICE BofAML US High Yield Index -13.1 -9.8 -7.5 0.5 - - 14.4 -2.3 7.5 17.5 -
High Yield Credit 728,074,146 -13.6 -11.1 -9.3 -0.8 1.5 4.7 12.2 -3.6 7.1 15.6 -4.2
ICE BofAML US High Yield Index -13.1 -9.8 -7.5 0.5 2.7 5.5 14.4 -2.3 7.5 17.5 -4.6
Loans 58,921,934 -21.4 -18.8 -18.8 - - - 7.3 0.9 - - -
S&P Leveraged Loan Index -13.0 -10.7 -9.2 - - - 8.6 0.4 - - -
Loans1.9%
High Yield Credit23.6%
Cash9.2% U.S. Fixed Income
65.2%
Total Fixed Income Performance Summary
As of March 31, 2020
52
Allocation
MarketValue
($)
Performance(%)
1Quarter
FiscalYTD
1Year
3Years
5Years
10Years
2019 2018 2017 2016 2015
U.S. Fixed Income 2,009,409,862 2.2 4.0 6.3 3.9 - - 6.2 1.0 3.3 2.5 -
Blmbg. Barc. U.S. Intermediate Aggregate 2.5 4.4 6.9 3.9 - - 6.7 0.9 2.3 2.0 -
BlackRock U.S. Intermediate Aggregate Index 889,081,420 2.5 (19) 4.3 (13) 6.9 (12) 3.9 (7) - - 6.7 (42) 0.9 (23) - - -
Blmbg. Barc. U.S. Intermediate Aggregate 2.5 (19) 4.4 (13) 6.9 (12) 3.9 (7) - - 6.7 (44) 0.9 (27) - - -
Ryan Labs Core Fixed 249,918,543 0.4 (78) 2.9 (78) 6.3 (76) 4.3 (63) - - 9.4 (26) -0.1 (37) - - -
Blmbg. Barc. U.S. Aggregate 3.1 (17) 5.7 (15) 8.9 (16) 4.8 (18) - - 8.7 (59) 0.0 (29) - - -
Hoisington 393,565,185 12.3 (2) 14.2 (2) 18.8 (3) 8.9 (4) 3.8 (13) - 9.1 (42) 0.2 (50) 7.6 (17) 1.5 (79) -3.7 (91)
Blmbg. Barc. U.S. Treasury: 7-10 Year 10.1 (2) 11.8 (3) 16.2 (4) 7.0 (6) 4.4 (10) - 8.5 (50) 0.9 (33) 2.6 (72) 1.1 (87) 1.6 (14)
PIMCO Short Term Fixed 476,844,714 -2.4 (88) -1.4 (90) -0.7 (92) 1.3 (91) 1.2 (94) - 2.5 (100) 2.1 (4) 2.3 (9) 1.2 (62) 0.7 (46)
LIBOR (3 month) 0.4 (48) 1.4 (54) 2.1 (72) 2.0 (68) 1.5 (84) - 2.4 (100) 2.3 (2) 1.3 (47) 0.7 (94) 0.3 (92)
Cash 283,165,996
High Yield Credit 728,074,146 -13.6 -11.1 -9.3 -0.8 1.5 4.7 12.2 -3.6 7.1 15.6 -4.2
ICE BofAML US High Yield Index -13.1 -9.8 -7.5 0.5 2.7 5.5 14.4 -2.3 7.5 17.5 -4.6
Hotchkis & Wiley Cap 262,658,951 -17.2 (99) -15.4 (99) -14.1 (99) -2.2 (99) 1.0 (96) - 10.3 (29) -3.2 (89) 9.2 (11) 17.4 (2) -4.5 (95)
ICE BofAML US High Yield Index -13.1 (93) -9.8 (93) -7.5 (93) 0.5 (89) 2.7 (48) - 14.4 (17) -2.3 (83) 7.5 (18) 17.5 (2) -4.6 (95)
Oaktree High Yield 465,415,195 -12.3 (90) -9.3 (91) -7.0 (91) -0.3 (95) 1.5 (86) 4.7 (32) 13.7 (20) -4.0 (92) 5.4 (32) 14.0 (7) -3.9 (91)
ICE BofAML US High Yield Index -13.1 (93) -9.8 (93) -7.5 (93) 0.5 (89) 2.7 (48) 5.5 (19) 14.4 (17) -2.3 (83) 7.5 (18) 17.5 (2) -4.6 (95)
Loans 58,921,934 -21.4 -18.8 -18.8 - - - 7.3 0.9 - - -
S&P Leveraged Loan Index -13.0 -10.7 -9.2 - - - 8.6 0.4 - - -
Allianz Loan Port 58,921,934 -21.4 (100) -18.8 (100) -18.8 (100) -4.0 (100) - - 7.3 (60) 0.9 (34) 5.0 (35) - -
S&P Leveraged Loan Index -13.0 (93) -10.7 (95) -9.2 (96) -0.8 (96) - - 8.6 (48) 0.4 (45) 4.1 (46) - -
Total Fixed Income Performance Summary
As of March 31, 2020
53
Return Summary
Quarterly Relative Performance Ratio of Cumulative Wealth - Since Inception
Current Allocation
Risk-Reducing Fixed Income
Blmbg. Barc. U.S. Intermediate Aggregate
0.0
3.0
6.0
9.0
12.0
Re
turn
1Quarter
1Year
3Years
Inception1/1/16
2.5
6.9
3.93.4
2.0
5.9
3.83.4
March 31, 2020 : $2,293M
BlackRock U.S. Intermediate Aggregate Index:38.8%
Ryan Labs Core Fixed:10.9%
Hoisington:17.2%
PIMCO Short Term Fixed:20.8%
0.98
1.00
1.02
1.04
12/15 6/16 12/16 6/17 12/17 6/18 12/18 6/19 3/20
1.00
0.0%
2.0%
4.0%
-2.0 %
-4.0 %
3/16 9/16 3/17 9/17 3/18 9/18 3/19 9/19 3/20
Risk-Reducing Fixed Income Portfolio Overview
As of March 31, 2020Risk-Reducing Fixed Income
54
Operational Cash:12.2%
Risk-Reducing Fixed Income
1 Quarter
Hoisington
BlackRock U.S.
Int. Agg. Index
PIMCO
Short Term Fixed
Asset Class Attribution
Excess Return
Cash Flow Effect
Benchmark Effect
Cash
Ryan Labs
Core Fixed
1 Quarter Ending March 31, 2020
-1
25
-56
-22
4
29
-26
-47
-70 -60 -50 -40 -30 -20 -10 0 10 20 30 40
Attribution Analysis 3 Months Ending 3/31/2020
55
Allocation
MarketValue
($)
Performance(%)
1Quarter
FiscalYTD
1Year
3Years
5Years
10Years
2019 2018 2017 2016 2015
U.S. Fixed Income 2,009,409,862 2.2 4.0 6.3 3.9 - - 6.2 1.0 3.3 2.5 -
Blmbg. Barc. U.S. Intermediate Aggregate 2.5 4.4 6.9 3.9 - - 6.7 0.9 2.3 2.0 -
BlackRock U.S. Intermediate Aggregate Index 889,081,420 2.5 4.3 6.9 3.9 - - 6.7 0.9 - - -
Blmbg. Barc. U.S. Intermediate Aggregate 2.5 4.4 6.9 3.9 - - 6.7 0.9 - - -
Ryan Labs Core Fixed 249,918,543 0.4 2.9 6.3 4.3 - - 9.4 -0.1 - - -
Blmbg. Barc. U.S. Aggregate 3.1 5.7 8.9 4.8 - - 8.7 0.0 - - -
Hoisington 393,565,185 12.3 14.2 18.8 8.9 3.8 - 9.1 0.2 7.6 1.5 -3.7
Blmbg. Barc. U.S. Treasury: 7-10 Year 10.1 11.8 16.2 7.0 4.4 - 8.5 0.9 2.6 1.1 1.6
PIMCO Short Term Fixed 476,844,714 -2.4 -1.4 -0.7 1.3 1.2 - 2.5 2.1 2.3 1.2 0.7
LIBOR (3 month) 0.4 1.4 2.1 2.0 1.5 - 2.4 2.3 1.3 0.7 0.3
U.S. Fixed Income Performance Summary
As of March 31, 2020
56
Return Summary
Quarterly Relative Performance Ratio of Cumulative Wealth - Since Inception
Current Allocation
U.S. Fixed Income
Blmbg. Barc. U.S. Intermediate Aggregate
0.0
3.0
6.0
9.0
12.0
Re
turn
1Quarter
1Year
3Years
Inception8/1/15
2.5
6.9
3.9
3.1
2.2
6.3
3.93.2
March 31, 2020 : $2,009M
Ryan Labs Core Fixed:12.4%
PIMCO Short Term Fixed:23.7%
Hoisington:19.6% BlackRock U.S. Intermediate Aggregate Index:44.2%
0.99
1.00
1.01
1.02
1.03
7/15 1/16 7/16 1/17 7/17 1/18 7/18 1/19 7/19 3/20
1.01
0.0%
0.8%
1.6%
-0.8 %
-1.6 %
-2.4 %
12/15 6/16 12/16 6/17 12/17 6/18 12/18 6/19 3/20
U.S. Fixed Income Portfolio Overview
As of March 31, 2020U.S. Fixed Income
57
1 Quarter
0 25 50 75 100 125-25-50-75-100-125
Ryan Labs Core Fixed
PIMCO Short Term Fixed
Hoisington
BlackRock U.S. Intermediate Aggregate Index
Benchmark Effect
Cash Flow Effect
Total Excess Return
-25
-63
29
-1
63
-28
-26
U.S. Fixed Income
Asset Class Attribution
1 Quarter Ending March 31, 2020
58
Return Summary
Quarterly Relative Performance Ratio of Cumulative Wealth - Since Inception
Account Information
BlackRock U.S. Intermediate Aggregate Index
Blmbg. Barc. U.S. Intermediate Aggregate
0.0
3.0
6.0
9.0
12.0
Re
turn
1Quarter
1Year
3Years
Inception2/1/17
2.5
6.9
3.9 3.8
2.5
6.9
3.9 3.9
Account Name: BlackRock U.S. Intermediate Aggregate Index
Inception Date: 01/24/2017
Account Structure: Commingled Fund
Asset Class: US Fixed Income
Benchmark: Blmbg. Barc. U.S. Intermediate Aggregate
Peer Group: IM U.S. Intermediate Duration (SA+CF)
0.0%
0.1%
-0.1 %
-0.2 %
6/17 12/17 6/18 12/18 6/19 12/19 3/20
7/17 1/18 7/18 1/19 0.99
1.00
1.01
1/17 7/19 3/20
1.00
BlackRock U.S. Intermediate Aggregate Index Performance Summary
As of March 31, 2020BlackRock U.S. Intermediate Aggregate Index
59
Return Summary
Quarterly Relative Performance Ratio of Cumulative Wealth - Since Inception
Account Information
Ryan Labs Core Fixed Blmbg. Barc. U.S. Aggregate
0.0
4.0
8.0
12.0
16.0
Re
turn
1Quarter
1Year
3Years
Inception2/1/17
3.1
8.9
4.8 4.8
0.4
6.3
4.3 4.2
Account Name: Ryan Labs Core Fixed
Inception Date: 01/31/2017
Account Structure: Separate Account
Asset Class: US Fixed Income
Benchmark: Blmbg. Barc. U.S. Aggregate
Peer Group: IM U.S. Broad Market Core Fixed Income (SA+CF)
0.0%
2.0%
-2.0 %
-4.0 %
6/17 12/17 6/18 12/18 6/19 12/19 3/20 7/17 1/18 0.96
0.98
1.00
1.02
1.04
1/17 7/18 1/19 7/19 3/20
0.98
Ryan Labs Core Fixed Performance Summary
As of March 31, 2020Ryan Labs Core Fixed
60
Return Summary
Quarterly Relative Performance Ratio of Cumulative Wealth - Since Inception
Account Information
Hoisington
Blmbg. Barc. U.S. Treasury: 7-10 Year
0.0
8.0
16.0
24.0
32.0
Re
turn
1Quarter
1Year
3Years
5Years
Inception9/1/10
10.1
16.2
7.0
4.4 4.3
12.3
18.8
8.9
3.8
7.9
Account Name: Hoisington
Inception Date: 08/31/2010
Account Structure: Separate Account
Asset Class: US Fixed Income
Benchmark: Blmbg. Barc. U.S. Treasury: 7-10 Year
Peer Group: IM U.S. Fixed Income (SA+CF)
0.0%
10.0%
20.0%
-10.0 %
-20.0 %
-30.0 %
6/15 12/15 6/16 12/16 6/17 12/17 6/18 12/18 6/19 3/20
0.40
0.80
1.20
1.60
2.00
8/10 8/11 8/12 8/13 8/14 8/15 8/16 8/17 8/18 3/20
1.38
Hoisington Performance Summary
As of March 31, 2020Hoisington
61
-28.0
-20.0
-12.0
-4.0
4.0
12.0
20.0
28.0
36.0
Re
turn
1Quarter
1Year
3Years
5Years
2019 2018 2017
Hoisington 12.3 (2) 18.8 (3) 8.9 (4) 3.8 (13) 9.1 (42) 0.2 (50) 7.6 (17)¢
Blmbg. Barc. U.S. Treasury: 7-10 Year 10.1 (2) 16.2 (4) 7.0 (6) 4.4 (10) 8.5 (50) 0.9 (33) 2.6 (72)�
5th Percentile 4.5 12.3 7.4 5.5 20.6 1.9 11.7
1st Quartile 1.4 6.7 4.2 3.3 11.5 1.2 6.5
Median -0.2 3.9 3.1 2.6 8.4 0.1 3.9
3rd Quartile -5.3 -0.2 1.7 1.9 5.7 -1.5 2.3
95th Percentile -13.8 -8.8 -0.5 1.1 2.5 -5.3 0.9
Population 1,299 1,294 1,267 1,215 1,378 1,487 1,519
Hoisington
Peer Group Analysis
As of March 31, 2020
IM U.S. Fixed Income (SA+CF)
Parentheses contain percentile rankings.
62
Annualized Return vs. Annualized Standard Deviation5 Years
Rolling 5 Years Standard Deviation
5 Years Historical Statistics
Hoisington
Blmbg. Barc. U.S. Treasury: 7-10 Year
FTSE 3 Month T-Bill
-1.0
0.0
1.0
2.0
3.0
4.0
5.0
6.0
Re
turn
(%)
0.0 3.0 6.0 9.0 12.0 15.0 18.0Risk (Standard Deviation %)
Hoisington
Blmbg. Barc. U.S. Treasury: 7-10 Year
0.0
5.0
10.0
15.0
20.0
25.0
30.0
35.0
9/15 3/16 9/16 3/17 9/17 3/18 9/18 3/19 9/19 3/20
ActiveReturn
TrackingError
InformationRatio
R-SquaredSharpeRatio
Alpha Beta ReturnStandardDeviation
ActualCorrelation
Hoisington 0.00 7.54 0.00 0.70 0.29 -3.49 1.80 3.85 11.37 0.84
Blmbg. Barc. U.S. Treasury: 7-10 Year 0.00 0.00 N/A 1.00 0.63 0.00 1.00 4.37 5.28 1.00
FTSE 3 Month T-Bill -3.31 5.23 -0.63 0.05 N/A 1.08 0.01 1.12 0.25 0.23
Hoisington Risk Profile
As of March 31, 2020Hoisington
63
Return Summary
Quarterly Relative Performance Ratio of Cumulative Wealth - Since Inception
Account Information
PIMCO Short Term Fixed ICE Libor (3 month)
0.0
2.0
4.0
-2.0
-4.0
-6.0
Re
turn
1Quarter
1Year
3Years
5Years
Inception9/1/10
0.4
2.1 2.0
1.5
0.9
-2.4
-0.7
1.3 1.2 1.1
Account Name: PIMCO Short Term Fixed
Inception Date: 09/01/2010
Account Structure: Separate Account
Asset Class: US Fixed Income
Benchmark: ICE Libor (3 month)
Peer Group: IM U.S. Short Duration Fixed Income (SA+CF)
0.0%
2.0%
-2.0 %
-4.0 %
6/15 12/15 6/16 12/16 6/17 12/17 6/18 12/18 6/19 3/20
0.96
0.99
1.02
1.05
1.08
1.11
8/10 8/11 8/12 8/13 8/14 8/15 8/16 8/17 8/18 3/20
1.02
PIMCO Short Term Fixed Performance Summary
As of March 31, 2020PIMCO Short Term Fixed
64
Return Seeking Fixed Income Current Allocation
Allocation
MarketValue
($)
Performance(%)
1Quarter
FiscalYTD
1Year
3Years
5Years
10Years
2019 2018 2017 2016 2015
High Yield Credit 728,074,146 -13.6 -11.1 -9.3 -0.8 1.5 4.7 12.2 -3.6 7.1 15.6 -4.2
ICE BofAML US High Yield Index -13.1 -9.8 -7.5 0.5 2.7 5.5 14.4 -2.3 7.5 17.5 -4.6
Hotchkis & Wiley Cap 262,658,951 -17.2 -15.4 -14.1 -2.2 1.0 - 10.3 -3.2 9.2 17.4 -4.5
ICE BofAML US High Yield Index -13.1 -9.8 -7.5 0.5 2.7 - 14.4 -2.3 7.5 17.5 -4.6
Oaktree High Yield 465,415,195 -12.3 -9.3 -7.0 -0.3 1.5 4.7 13.7 -4.0 5.4 14.0 -3.9
ICE BofAML US High Yield Index -13.1 -9.8 -7.5 0.5 2.7 5.5 14.4 -2.3 7.5 17.5 -4.6
Loans 58,921,934 -21.4 -18.8 -18.8 - - - 7.3 0.9 - - -
S&P Leveraged Loan Index -13.0 -10.7 -9.2 - - - 8.6 0.4 - - -
Allianz Loan Port 58,921,934 -21.4 -18.8 -18.8 -4.0 - - 7.3 0.9 5.0 - -
S&P Leveraged Loan Index -13.0 -10.7 -9.2 -0.8 - - 8.6 0.4 4.1 - -
Loans7.5%
High Yield Credit92.5%
Return Seeking Fixed Income Performance Summary
As of March 31, 2020
65
Return Summary
Quarterly Relative Performance Ratio of Cumulative Wealth - Since Inception
Current Allocation
Return-Seeking Fixed Income
ICE BofAML US High Yield Index
0.0
10.0
20.0
-10.0
-20.0
-30.0
Re
turn
1Quarter
1Year
3Years
Inception1/1/16
-13.1
-7.5
0.5
4.9
-14.3
-10.2
-1.1
3.2
March 31, 2020 : $787M
Hotchkis & Wiley Cap:33.4%
Allianz Loan Port:7.5%
Oaktree High Yield:59.1%
0.92
0.96
1.00
1.04
12/15 6/16 12/16 6/17 12/17 6/18 12/18 6/19 3/20
0.93
0.0%
0.8%
1.6%
-0.8 %
-1.6 %
-2.4 %
3/16 9/16 3/17 9/17 3/18 9/18 3/19 9/19 3/20
Return-Seeking Fixed Income Portfolio Overview
As of March 31, 2020Return-Seeking Fixed Income
66
1 Quarter
0 50 100 150 200-50-100-150-200-250-300
Allianz Loan Port
Oaktree High Yield
Hotchkis & Wiley Cap
Benchmark Effect
Cash Flow Effect
Total Excess Return
-79
42
-161
2
77
-118
Return-Seeking Fixed Income
Asset Class Attribution
1 Quarter Ending March 31, 2020
67
Allocation
MarketValue
($)
Performance(%)
1Quarter
FiscalYTD
1Year
3Years
5Years
10Years
2019 2018 2017 2016 2015
High Yield Credit 728,074,146 -13.6 -11.1 -9.3 -0.8 1.5 4.7 12.2 -3.6 7.1 15.6 -4.2
ICE BofAML US High Yield Index -13.1 -9.8 -7.5 0.5 2.7 5.5 14.4 -2.3 7.5 17.5 -4.6
Hotchkis & Wiley Cap 262,658,951 -17.2 -15.4 -14.1 -2.2 1.0 - 10.3 -3.2 9.2 17.4 -4.5
ICE BofAML US High Yield Index -13.1 -9.8 -7.5 0.5 2.7 - 14.4 -2.3 7.5 17.5 -4.6
Oaktree High Yield 465,415,195 -12.3 -9.3 -7.0 -0.3 1.5 4.7 13.7 -4.0 5.4 14.0 -3.9
ICE BofAML US High Yield Index -13.1 -9.8 -7.5 0.5 2.7 5.5 14.4 -2.3 7.5 17.5 -4.6
U.S. High Yield Performance Summary
As of March 31, 2020
68
Return Summary
Quarterly Relative Performance Ratio of Cumulative Wealth - Since Inception
Current Allocation
High Yield Credit
ICE BofAML US High Yield Index
0.0
10.0
20.0
-10.0
-20.0
-30.0
Re
turn
1Quarter
1Year
3Years
5Years
10Years
Inception1/1/06
-13.1
-7.5
0.52.7
5.5 6.2
-13.6
-9.3
-0.8
1.5
4.7 5.4
March 31, 2020 : $728M
Hotchkis & Wiley Cap:36.1%
Oaktree High Yield:63.9%
0.80
0.88
0.96
1.04
1.12
1.20
12/05 6/07 12/08 6/10 12/11 6/13 12/14 6/16 12/17 3/20
0.89
0.0%
0.6%
1.2%
-0.6 %
-1.2 %
-1.8 %
6/15 12/15 6/16 12/16 6/17 12/17 6/18 12/18 6/19 3/20
High Yield Credit Portfolio Overview
As of March 31, 2020High Yield Credit
69
Annualized Return vs. Annualized Standard Deviation5 Years
Rolling 5 Years Standard Deviation
5 Years Historical Statistics
High Yield Credit
ICE BofAML US High Yield Index
FTSE 3 Month T-Bill
0.5
1.0
1.5
2.0
2.5
3.0
3.5
Re
turn
(%)
0.0 2.0 4.0 6.0 8.0 10.0 12.0Risk (Standard Deviation %)
High Yield Credit
ICE BofAML US High Yield Index
0.0
3.0
6.0
9.0
12.0
15.0
18.0
21.0
12/10 12/11 12/12 12/13 12/14 12/15 12/16 12/17 12/18 3/20
ActiveReturn
TrackingError
InformationRatio
R-SquaredSharpeRatio
Alpha Beta ReturnStandardDeviation
ActualCorrelation
High Yield Credit -1.16 0.97 -1.19 0.98 0.09 -1.07 0.97 1.50 7.50 0.99
ICE BofAML US High Yield Index 0.00 0.00 N/A 1.00 0.24 0.00 1.00 2.67 7.64 1.00
FTSE 3 Month T-Bill -1.82 7.65 -0.24 0.00 N/A 1.13 0.00 1.12 0.25 -0.02
High Yield Credit Risk Profile
As of March 31, 2020High Yield Credit
70
1 Quarter
0 50 100 150 200-50-100-150-200-250-300
Oaktree High Yield
Hotchkis & Wiley Cap
Benchmark Effect
Cash Flow Effect
Total Excess Return
46
-178
0
80
-52
High Yield Credit
Asset Class Attribution
1 Quarter Ending March 31, 2020
71
Return Summary
Quarterly Relative Performance Ratio of Cumulative Wealth - Since Inception
Account Information
Hotchkis & Wiley Cap
ICE BofAML US High Yield Index
0.0
10.0
20.0
-10.0
-20.0
-30.0
Re
turn
1Quarter
1Year
3Years
5Years
Inception9/1/10
-13.1
-7.5
0.52.7
5.4
-17.2-14.1
-2.2
1.0
4.9
Account Name: Hotchkis & Wiley Cap
Inception Date: 08/31/2010
Account Structure: Separate Account
Asset Class: US Fixed Income
Benchmark: ICE BofAML US High Yield Index
Peer Group: IM U.S. Fixed Income (SA+CF)
0.0%
3.0%
-3.0 %
-6.0 %
-9.0 %
6/15 12/15 6/16 12/16 6/17 12/17 6/18 12/18 6/19 3/20
0.90
0.95
1.00
1.05
1.10
1.15
8/10 8/11 8/12 8/13 8/14 8/15 8/16 8/17 8/18 3/20
0.96
Hotchkis & Wiley Cap Performance Summary
As of March 31, 2020Hotchkis & Wiley Cap
72
-40.0
-30.0
-20.0
-10.0
0.0
10.0
20.0
30.0
40.0
Re
turn
1Quarter
1Year
3Years
5Years
2019 2018 2017
Hotchkis & Wiley Cap -17.2 (99) -14.1 (99) -2.2 (99) 1.0 (96) 10.3 (29) -3.2 (89) 9.2 (11)¢
ICE BofAML US High Yield Index -13.1 (93) -7.5 (93) 0.5 (89) 2.7 (48) 14.4 (17) -2.3 (83) 7.5 (18)�
5th Percentile 4.5 12.3 7.4 5.5 20.6 1.9 11.7
1st Quartile 1.4 6.7 4.2 3.3 11.5 1.2 6.5
Median -0.2 3.9 3.1 2.6 8.4 0.1 3.9
3rd Quartile -5.3 -0.2 1.7 1.9 5.7 -1.5 2.3
95th Percentile -13.8 -8.8 -0.5 1.1 2.5 -5.3 0.9
Population 1,299 1,294 1,267 1,215 1,378 1,487 1,519
Hotchkis & Wiley Cap
Peer Group Analysis
As of March 31, 2020
IM U.S. Fixed Income (SA+CF)
Parentheses contain percentile rankings.
73
Annualized Return vs. Annualized Standard Deviation5 Years
Rolling 5 Years Standard Deviation
5 Years Historical Statistics
Hotchkis & Wiley Cap
ICE BofAML US High Yield Index
FTSE 3 Month T-Bill
0.0
0.5
1.0
1.5
2.0
2.5
3.0
3.5
Re
turn
(%)
0.0 2.0 4.0 6.0 8.0 10.0 12.0 14.0Risk (Standard Deviation %)
Hotchkis & Wiley Cap
ICE BofAML US High Yield Index
0.0
2.0
4.0
6.0
8.0
10.0
12.0
14.0
9/15 3/16 9/16 3/17 9/17 3/18 9/18 3/19 9/19 3/20
ActiveReturn
TrackingError
InformationRatio
R-SquaredSharpeRatio
Alpha Beta ReturnStandardDeviation
ActualCorrelation
Hotchkis & Wiley Cap -1.52 2.49 -0.61 0.93 0.03 -1.89 1.13 1.00 8.94 0.97
ICE BofAML US High Yield Index 0.00 0.00 N/A 1.00 0.24 0.00 1.00 2.67 7.64 1.00
FTSE 3 Month T-Bill -1.82 7.65 -0.24 0.00 N/A 1.13 0.00 1.12 0.25 -0.02
Hotchkis & Wiley Cap Risk Profile
As of March 31, 2020Hotchkis & Wiley Cap
74
Return Summary
Quarterly Relative Performance Ratio of Cumulative Wealth - Since Inception
Account Information
Oaktree High Yield
ICE BofAML US High Yield Index
0.0
10.0
20.0
-10.0
-20.0
-30.0
Re
turn
1Quarter
1Year
3Years
5Years
10Years
Inception5/1/1995
-13.1
-7.5
0.52.7
5.5
-12.3
-7.0
-0.3
1.5
4.76.5
Account Name: Oaktree High Yield
Inception Date: 05/01/1995
Account Structure: Separate Account
Asset Class: US Fixed Income
Benchmark: ICE BofAML US High Yield Index
Peer Group: IM U.S. Fixed Income (SA+CF)
0.0%
2.0%
-2.0 %
-4.0 %
6/15 12/15 6/16 12/16 6/17 12/17 6/18 12/18 6/19 3/20
0.80
1.00
1.20
1.40
12/96 3/99 6/01 9/03 12/05 3/08 6/10 9/12 12/14 3/17 3/20
0.97
Oaktree High Yield Performance Summary
As of March 31, 2020Oaktree High Yield
*The ICE BofAML US High Yield Index inception date is 1/1/1997.
75
-28.0
-20.0
-12.0
-4.0
4.0
12.0
20.0
28.0
36.0
Re
turn
1Quarter
1Year
3Years
5Years
10Years
2019 2018 2017
Oaktree High Yield -12.3 (90) -7.0 (91) -0.3 (95) 1.5 (86) 4.7 (32) 13.7 (20) -4.0 (92) 5.4 (32)¢
ICE BofAML US High Yield Index -13.1 (93) -7.5 (93) 0.5 (89) 2.7 (48) 5.5 (19) 14.4 (17) -2.3 (83) 7.5 (18)�
5th Percentile 4.5 12.3 7.4 5.5 8.0 20.6 1.9 11.7
1st Quartile 1.4 6.7 4.2 3.3 5.1 11.5 1.2 6.5
Median -0.2 3.9 3.1 2.6 3.8 8.4 0.1 3.9
3rd Quartile -5.3 -0.2 1.7 1.9 2.8 5.7 -1.5 2.3
95th Percentile -13.8 -8.8 -0.5 1.1 1.3 2.5 -5.3 0.9
Population 1,299 1,294 1,267 1,215 1,043 1,378 1,487 1,519
Oaktree High Yield
Peer Group Analysis
As of March 31, 2020
IM U.S. Fixed Income (SA+CF)
Parentheses contain percentile rankings.
76
Annualized Return vs. Annualized Standard Deviation5 Years
Rolling 5 Years Standard Deviation
5 Years Historical Statistics
Oaktree High Yield
ICE BofAML US High Yield Index
FTSE 3 Month T-Bill
0.5
1.0
1.5
2.0
2.5
3.0
3.5
Re
turn
(%)
0.0 2.0 4.0 6.0 8.0 10.0 12.0Risk (Standard Deviation %)
Oaktree High Yield
ICE BofAML US High Yield Index
0.0
3.0
6.0
9.0
12.0
15.0
18.0
21.0
12/01 9/03 6/05 3/07 12/08 9/10 6/12 3/14 12/15 9/17 3/20
ActiveReturn
TrackingError
InformationRatio
R-SquaredSharpeRatio
Alpha Beta ReturnStandardDeviation
ActualCorrelation
Oaktree High Yield -1.17 1.03 -1.14 0.99 0.09 -0.91 0.91 1.53 7.02 0.99
ICE BofAML US High Yield Index 0.00 0.00 N/A 1.00 0.24 0.00 1.00 2.67 7.64 1.00
FTSE 3 Month T-Bill -1.82 7.65 -0.24 0.00 N/A 1.13 0.00 1.12 0.25 -0.02
Oaktree High Yield Risk Profile
As of March 31, 2020Oaktree High Yield
77
Return Summary
Quarterly Relative Performance Ratio of Cumulative Wealth - Since Inception
Account Information
Allianz Loan Port S&P Leveraged Loan Index
0.0
10.0
20.0
-10.0
-20.0
-30.0
Re
turn
1Quarter
1Year
3Years
Inception5/1/16
-13.0
-9.2
-0.8
1.3
-21.4-18.8
-4.0
-1.1
Account Name: Allianz Loan Port
Inception Date: 04/13/2016
Account Structure: Separate Account
Asset Class: US Fixed Income
Benchmark: S&P Leveraged Loan Index
Peer Group: IM U.S. Fixed Income (SA+CF)
0.0%
5.0%
10.0%
-5.0 %
-10.0 %
-15.0 %
6/16 12/16 6/17 12/17 6/18 12/18 6/19 3/20
0.90
0.96
1.02
1.08
1.14
4/16 10/16 4/17 10/17 4/18 10/18 4/19 10/19 3/20
0.91
Allianz Loan Port Performance Summary
As of March 31, 2020Allianz Loan Port
78
-40.0
-30.0
-20.0
-10.0
0.0
10.0
20.0
30.0
40.0
Re
turn
1Quarter
1Year
3Years
2019
Allianz Loan Port -21.4 (100) -18.8 (100) -4.0 (100) 7.3 (60)¢
S&P Leveraged Loan Index -13.0 (93) -9.2 (96) -0.8 (96) 8.6 (48)�
5th Percentile 4.5 12.3 7.4 20.6
1st Quartile 1.4 6.7 4.2 11.5
Median -0.2 3.9 3.1 8.4
3rd Quartile -5.3 -0.2 1.7 5.7
95th Percentile -13.8 -8.8 -0.5 2.5
Population 1,299 1,294 1,267 1,378
Allianz Loan Port
Peer Group Analysis
As of March 31, 2020
IM U.S. Fixed Income (SA+CF)
Parentheses contain percentile rankings.
79
This Page Left Blank Intentionally
Writeup
80
Opportunistic
81
Allocation
MarketValue
($)
Performance(%)
1Quarter
FiscalYTD
1Year
3Years
5Years
10Years
2019 2018 2017 2016 2015
Opportunistic 988,652,549 -20.4 -17.6 -15.4 -4.3 -1.7 - 12.8 -10.4 11.3 0.9 7.3
Balanced Benchmark -15.4 -9.6 -6.8 2.0 2.8 - 20.3 -6.7 17.3 6.8 -1.2
AQR Global Alt Premia Offshore Fund 94,848,955 -17.8 - - - - - - - - - -
Balanced Benchmark -15.4 - - - - - - - - - -
BlackRock Global Allocation 463,956,968 -15.9 -10.1 -7.4 - - - 21.5 -6.6 - - -
Balanced Benchmark -15.4 -9.6 -6.8 - - - 20.3 -6.7 - - -
Cantab 199,025,992 -5.4 -1.8 4.5 5.6 1.2 - 23.2 -12.9 18.8 0.1 -0.8
Balanced Benchmark -15.4 -9.6 -6.8 2.0 2.8 - 20.3 -6.7 17.3 6.8 -1.2
Allianz Multi Asset Long Short 114,667,788 -6.4 -8.1 -6.0 - - - -0.4 - - - -
Balanced Benchmark -15.4 -9.6 -6.8 - - - 20.3 - - - -
PIMCO Opp I 16,727,434 - - - - - - - - - - -
Balanced Benchmark - - - - - - - - - - -
PIMCO Opp II 21,194,594 - - - - - - - - - - -
Balanced Benchmark - - - - - - - - - - -
PIMCO Opp III 78,230,818 - - - - - - - - - - -
Balanced Benchmark - - - - - - - - - - -
Opportunistic Performance Summary
As of March 31, 2020
82
Return Summary
Quarterly Relative Performance Ratio of Cumulative Wealth - Since Inception
Current Allocation
Opportunistic Balanced Benchmark
0.0
15.0
30.0
-15.0
-30.0
-45.0
Re
turn
1Quarter
1Year
3Years
5Years
Inception6/1/10
-15.4
-6.8
2.0 2.86.1
-20.4
-15.4
-4.3-1.7
3.1
March 31, 2020 : $989M
PIMCO Opp I:1.7%
BlackRock Global Allocation:46.9%
AQR Global Alt Premia Offshore Fund:9.6%
Allianz Multi Asset Long Short:11.6%
PIMCO Opp III:7.9%
Cantab:20.1%
PIMCO Opp II:2.1%
0.60
0.80
1.00
1.20
5/10 5/11 5/12 5/13 5/14 5/15 5/16 5/17 5/18 5/19 3/20
0.76
0.0%
8.0%
16.0%
24.0%
-8.0 %
-16.0 %
6/15 12/15 6/16 12/16 6/17 12/17 6/18 12/18 6/19 3/20
Opportunistic Portfolio Overview
As of March 31, 2020Opportunistic
83
Annualized Return vs. Annualized Standard Deviation5 Years
Rolling 5 Years Standard Deviation
5 Years Historical Statistics
Opportunistic Balanced Benchmark
FTSE 3 Month T-Bill
-4.0
-2.0
0.0
2.0
4.0
6.0
Re
turn
(%)
0.0 2.0 4.0 6.0 8.0 10.0 12.0 14.0Risk (Standard Deviation %)
Opportunistic Balanced Benchmark
0.0
2.0
4.0
6.0
8.0
10.0
12.0
14.0
6/15 12/15 6/16 12/16 6/17 12/17 6/18 12/18 6/19 3/20
ActiveReturn
TrackingError
InformationRatio
R-SquaredSharpeRatio
Alpha Beta ReturnStandardDeviation
ActualCorrelation
Opportunistic -4.46 7.78 -0.57 0.47 -0.23 -3.44 0.70 -1.72 9.95 0.69
Balanced Benchmark 0.00 0.00 N/A 1.00 0.22 0.00 1.00 2.81 9.71 1.00
FTSE 3 Month T-Bill -2.13 9.72 -0.22 0.00 N/A 1.13 0.00 1.12 0.25 -0.01
Opportunistic Risk Profile
As of March 31, 2020Opportunistic
84
1 Quarter
0 200 400 600-200-400-600-800-1,000-1,200
PIMCO Opp III
PIMCO Opp II
PIMCO Opp I
Martlet Alternative Beta
Cantab
BlackRock Global Allocation
AQR Global Alt Premia Offshore Fund
Allianz Multi Asset Long Short
Benchmark Effect
Cash Flow Effect
Total Excess Return
85
-10
-15
-702
170
-26
-24
90
0
-72
-504
Opportunistic
Asset Class Attribution
1 Quarter Ending March 31, 2020
85
Return Summary
Quarterly Relative Performance Ratio of Cumulative Wealth - Since Inception
Account Information
BlackRock Global Allocation Balanced Benchmark
0.0
8.0
-8.0
-16.0
-24.0
Re
turn
1Quarter
1Year
Inception8/1/17
-15.4
-6.8
0.2
-15.9
-7.4
0.8
Account Name: BlackRock Global Allocation
Inception Date: 07/31/2017
Account Structure: Separate Account
Asset Class: Global Mixed Assets
Benchmark: Balanced Benchmark
Peer Group: IM Global Equity (SA+CF)
9/17 12/17 3/18 6/18 9/18 12/18 3/19 6/19 9/19 12/19 3/20
0.0%
2.0%
-2.0 %
-4.0 % 0.98
1.00
1.02
1.04
7/17 10/17 1/18 4/18 7/18 10/18 1/19 4/19 7/19 10/19 3/20
1.02
BlackRock Global Allocation Performance Summary
As of March 31, 2020BlackRock Global Allocation
86
Return Summary
Quarterly Relative Performance Ratio of Cumulative Wealth - Since Inception
Account Information
Cantab Balanced Benchmark
0.0
10.0
20.0
-10.0
-20.0
-30.0
Re
turn
1Quarter
1Year
3Years
5Years
Inception10/1/13
-15.4
-6.8
2.0 2.84.0
-5.4
4.5 5.6
1.2
6.9
Account Name: Cantab
Inception Date: 10/01/2013
Account Structure: Commingled Fund
Asset Class: Global Mixed Assets
Benchmark: Balanced Benchmark
Peer Group:
0.0%
10.0%
20.0%
-10.0 %
-20.0 %
6/15 12/15 6/16 12/16 6/17 12/17 6/18 12/18 6/19 3/20
0.80
1.00
1.20
1.40
1.60
9/13 6/14 3/15 12/15 9/16 6/17 3/18 12/18 9/19 3/20
1.19
Cantab Performance Summary
As of March 31, 2020Cantab
87
Annualized Return vs. Annualized Standard Deviation3 Years
Rolling 3 Years Standard Deviation
3 Years Historical Statistics
Cantab Balanced Benchmark
FTSE 3 Month T-Bill
0.0
1.0
2.0
3.0
4.0
5.0
6.0
7.0
8.0
Re
turn
(%)
0.0 3.0 6.0 9.0 12.0 15.0 18.0Risk (Standard Deviation %)
Cantab Balanced Benchmark
0.0
3.0
6.0
9.0
12.0
15.0
18.0
21.0
9/16 3/17 9/17 3/18 9/18 3/19 9/19 3/20
ActiveReturn
TrackingError
InformationRatio
R-SquaredSharpeRatio
Alpha Beta ReturnStandardDeviation
ActualCorrelation
Cantab 3.65 11.28 0.32 0.27 0.36 4.76 0.61 5.60 12.29 0.52
Balanced Benchmark 0.00 0.00 N/A 1.00 0.08 0.00 1.00 2.01 10.60 1.00
FTSE 3 Month T-Bill -0.83 10.60 -0.08 0.00 N/A 1.74 0.00 1.74 0.16 -0.02
Cantab Risk Profile
As of March 31, 2020Cantab
88
Return Summary
Quarterly Relative Performance Ratio of Cumulative Wealth - Since Inception
Account Information
Allianz Multi Asset Long Short
Balanced Benchmark
-24.0
-18.0
-12.0
-6.0
0.0
Re
turn
1Quarter
1Year
Inception4/1/18
-15.4
-6.8
-2.1
-6.4 -6.0
-3.8
Account Name: Allianz Multi Asset Long Short
Inception Date: 03/05/2018
Account Structure: Commingled Fund
Asset Class: Global Mixed Assets
Benchmark: Balanced Benchmark
Peer Group:
0.0%
10.0%
20.0%
-10.0 %
-20.0 %
6/18 9/18 12/18 3/19 6/19 9/19 12/19 3/20
0.72
0.81
0.90
0.99
1.08
1.17
3/18 6/18 9/18 12/18 3/19 6/19 9/19 12/19 3/20
0.97
Allianz Multi Asset Long Short Performance Summary
As of March 31, 2020Allianz Multi Asset Long Short
89
Real Estate
90
Return Summary
Quarterly Relative Performance Ratio of Cumulative Wealth - Since Inception
Account Information
AACA REIT
Dow Jones U.S. Real Estate Total Return Index
0.0
15.0
-15.0
-30.0
-45.0
Re
turn
1Quarter
1Year
Inception12/1/17
-24.4
-16.7
-2.9
-14.5
0.32.4
Account Name: AACA REIT
Inception Date: 12/01/2017
Account Structure: Separate Account
Asset Class: US REIT (Real-Estate Funds)
Benchmark: Dow Jones U.S. Real Estate Total Return Index
Peer Group:
0.0%
8.0%
16.0%
24.0%
-8.0 %
-16.0 %
3/18 6/18 9/18 12/18 3/19 6/19 9/19 12/19 3/200.80
1.00
1.20
1.40
11/17 2/18 5/18 8/18 11/18 2/19 5/19 8/19 11/19 3/20
1.13
AACA REIT Performance Summary
As of March 31, 2020AACA REIT
91
Total Private Assets
92
Total Private Assets Current Allocation
Allocation
MarketValue
($)
Performance(%)
1Quarter
FiscalYTD
1Year
3Years
5Years
10Years
2019 2018 2017 2016 2015
Total Private Assets 2,488,864,653 1.8 6.0 8.2 9.5 8.6 - 7.1 9.1 12.0 9.2 5.5
SDCERA Private Assets Benchmark -15.1 -9.4 -7.0 2.8 5.0 - 18.8 -4.4 18.8 9.9 4.7
Real Estate 1,136,420,626 2.8 9.1 11.7 10.2 10.8 11.8 11.9 8.1 8.1 11.7 14.2
NCREIF ODCE Index (Net) 0.8 3.1 3.9 5.9 7.5 10.4 4.4 7.4 6.7 7.8 14.0
Private Equity 721,115,788 1.4 5.8 10.2 12.8 10.7 12.3 7.2 15.6 18.2 9.6 3.0
MSCI AC World IMI (Net) -22.4 -15.6 -12.7 0.8 2.4 5.8 26.4 -10.1 23.9 8.4 -2.2
Private Real Assets 631,328,239 0.5 1.1 0.8 4.8 3.0 6.9 0.0 3.7 11.0 5.5 -4.6
MSCI AC World IMI (Net) -22.4 -15.6 -12.7 0.8 2.4 5.8 26.4 -10.1 23.9 8.4 -2.2
Private Equity29.0%
Real Estate45.7%
Private Real Assets25.4%
Total Private Assets Performance Summary
As of March 31, 2020
*SDCERA Private Assets Benchmark: 1/3 NCREIF-ODCE and 2/3 MSCI ACWI IMI.
93
This Page Left Blank Intentionally
Writeup
94
Unfunded
Manager/Fund Commitment³
Private Credit
2013 Oaktree European Dislocation Fund (US) LP $2,705,648 $90,000,000 $51,516,000 57% $38,484,000 $54,869,129 $38,484,000 106.5% 111.8% 8.6% 12/31/2019
2014 Apollo Credit Opportunities Fund III LP $23,209,716 $100,000,000 $199,590,074 200% -$99,590,074 $177,461,723 $20,261,207 88.9% 100.5% -0.3% 12/31/2019
2014 D.E. Shaw Alkali Fund II LP $11,357,981 $45,000,000 $52,878,255 118% -$7,878,255 $57,708,868 $0 109.1% 130.6% 8.5% 12/31/2019
Total Private Credit Managers $37,273,345 $235,000,000 $303,984,329 129% -$68,984,329 $290,039,720 $58,745,207 95.4% 107.7%
% of Portfolio (Market Value) 0.31%
Buy Out & Growth
1997 HarbourVest Int'l Priv Eq Prtnrs III - Prtnrship $69,347 $34,700,000 $34,179,500 99% $520,500 $53,997,454 $520,500 158.0% 158.2% 9.0% 12/31/2019
1998 Oak Hill Capital Partners (Bermuda) $0 $10,000,000 $11,069,477 111% -$1,069,477 $18,881,788 $0 170.6% 170.6% 10.6% 7/27/2018
2001 Blackstone Capital Partners IV, L.P. $371,327 $15,000,000 $18,154,587 121% -$3,154,587 $46,453,415 $392,673 255.9% 257.9% 54.2% 12/31/2019
2003 TPG Partners IV, L.P. $277,995 $10,000,000 $11,158,085 112% -$1,158,085 $22,877,784 $42,969 205.0% 207.5% 20.7% 12/31/2019
2004 Graham Partners II, L.P. $262,805 $7,500,000 $7,682,126 102% -$182,126 $14,065,456 $49,554 183.1% 186.5% 11.7% 12/31/2019
2004 Providence Equity Partners V, L.P. $139,293 $10,000,000 $12,414,814 124% -$2,414,814 $14,605,332 $879,492 117.6% 118.8% 3.0% 12/31/2019
2005 Northgate Private Equity Partners II, L.P. $938,373 $15,000,000 $14,250,000 95% $750,000 $19,949,574 $750,000 140.0% 146.6% 7.3% 12/31/2019
2006 Bain Capital Fund IX Coinvestment Fund, L.P. $83,933 $1,500,000 $1,821,000 121% -$321,000 $2,651,529 $18,000 145.6% 150.2% 7.2% 12/31/2019
2006 Bain Capital Fund IX, L.P. $377,021 $7,000,000 $7,350,000 105% -$350,000 $11,112,727 $175,000 151.2% 156.3% 7.4% 12/31/2019
2006 Blackstone Capital Partners V, L.P. $671,386 $15,000,000 $15,444,774 103% -$444,774 $25,949,932 $725,674 168.0% 172.4% 8.7% 12/31/2019
2006 Charterhouse Capital Partners VIII, L.P. $2,775 $11,225,000 $12,057,898 107% -$832,898 $11,776,306 $0 97.7% 97.7% -0.7% 12/31/2019
2006 Hellman & Friedman Capital Partners VI, L.P. $755,146 $15,000,000 $15,060,795 100% -$60,795 $29,051,240 $434,290 192.9% 197.9% 13.7% 12/31/2019
2006 Northgate Private Equity Partners III, L.P. $2,940,232 $15,000,000 $13,950,000 93% $1,050,000 $17,759,504 $1,050,000 127.3% 148.4% 6.8% 12/31/2019
2006 TA X, L.P. $5,355 $13,000,000 $12,545,000 97% $455,000 $16,523,000 $455,000 131.7% 131.8% 5.2% 12/31/2019
2006 TA Subordinated Debt Fund II, L.P. $231,121 $8,000,000 $6,960,000 87% $1,040,000 $9,330,635 $1,040,000 134.1% 137.4% 8.5% 12/31/2019
2007 Capital International Private Equity Fund V, L.P. $210,622 $10,000,000 $10,809,812 108% -$809,812 $9,993,854 $1,592,943 92.5% 94.4% -2.8% 12/31/2019
2007 Greenbriar Equity Fund II, L.P. $0 $10,000,000 $8,106,480 81% $1,893,520 $12,311,262 $0 151.9% 151.9% 8.0% 11/30/2019
2008 BAIN Capital Fund X, L.P. $2,642,969 $15,000,000 $15,225,521 102% -$225,521 $23,230,392 $457,500 152.6% 169.9% 10.6% 12/31/2019
2008 Emerging Europe Growth Fund II $5,021,144 $10,000,000 $9,343,143 93% $656,857 $7,116,228 $114,369 76.2% 129.9% 3.5% 12/31/2019
2009 Hellman & Friedman Capital Partners VII, L.P. $22,540,151 $15,000,000 $13,287,671 89% $1,712,329 $20,218,037 $695,470 152.2% 321.8% 25.1% 12/31/2019
2010 Blackstone Capital Partners VI, L.P. $75,390,225 $100,000,000 $99,854,268 100% $145,732 $94,931,671 $12,389,607 95.1% 170.6% 12.1% 12/31/2019
2010 Baring Asia Private Equity Fund V $49,990,535 $50,000,000 $62,597,686 125% -$12,597,686 $40,307,114 $5,920,232 64.4% 144.3% 8.0% 12/31/2019
2010 Capital International Private Equity Fund VI, L.P. $43,090,964 $50,000,000 $55,238,020 110% -$5,238,020 $16,901,937 $6,420,032 30.6% 108.6% 0.4% 12/31/2019
2011 EQT VI $17,339,621 $44,900,000 $52,309,035 117% -$7,409,035 $75,680,139 $3,243,785 144.7% 177.8% 13.8% 9/30/2019
2012 TPG Asia VI, L.P. $61,951,341 $75,000,000 $77,258,667 103% -$2,258,667 $39,678,392 $13,868,588 51.4% 131.5% 9.1% 9/30/2019
2012 FountainVest China Growth capital Fund II $31,441,705 $50,000,000 $48,755,452 98% $1,244,548 $51,468,390 $5,818,528 105.6% 170.1% 16.1% 12/31/2019
2013 New Mountain Partners IV, L.P. $69,405,343 $90,000,000 $77,741,243 86% $12,258,757 $79,375,447 $9,775,086 102.1% 191.4% 22.9% 12/31/2019
2015 EQT VII (No.2) Limited Partnership $57,794,591 $56,125,000 $58,984,456 105% -$2,859,456 $29,490,604 $7,261,654 50.0% 148.0% 20.7% 12/31/2019
2016 Blackstone Capital Partners VII LP $79,901,171 $100,000,000 $66,237,304 66% $33,762,696 $8,054,425 $29,610,922 12.2% 132.8% 20.1% 12/31/2019
2017 SDCERA Public Pension Capital LLC $34,220,347 $100,000,000 $30,786,046 31% $69,213,954 $6,741,599 $75,671,821 21.9% 133.1% 26.8% 12/31/2019
Total Buy Out & Growth Managers $558,066,838 $963,950,000 $880,632,860 91% $83,317,140 $830,485,167 $179,373,689 94.3% 157.7%
% of Portfolio (Market Value) 4.68%
Private Equity
Illiquid Alternative Investments
As of December 31, 2019
Vintage
Year3 Total Commitment3
IRR Analysis as of Valuation Date
Distrib./
Paid-In
(DPI)1
Tot. Value/
Paid-In
(TVPI)2
Reported IRR
Since
Inception3
Valuation
Date3
Market Value as of
Valuation Date3
Capital
Called3,4 % Called
Remaining
Commitment3
Capital
Returned3
95
Unfunded
Manager/Fund Commitment³
Distress & Special Situations
2001 Lexington Capital Partners V, L.P. $58,122 $10,000,000 $11,026,975 110% -$1,026,975 $17,752,792 $48,681 161.0% 161.5% 18.1% 9/30/2019
2004 Paul Capital Partners VIII-B $1,057,087 $15,000,000 $15,040,667 100% -$40,667 $20,355,521 $225,950 135.3% 142.4% 9.0% 9/30/2019
2005 Lexington Capital partners VI-B, L.P. $791,334 $10,000,000 $10,774,432 108% -$774,432 $14,158,557 $163,471 131.4% 138.8% 6.9% 12/31/2019
2005 OCM Opportunities Fund VI, L.P. $461 $5,000,000 $5,000,000 100% $0 $7,852,326 $0 157.0% 157.1% 8.7% 12/31/2019
2006 Coller International Partners V-A, L.P. $760,576 $10,000,000 $7,820,000 78% $2,180,000 $11,209,264 $2,180,000 143.3% 153.1% 8.0% 12/31/2019
2006 Cerberus Institutional Partners, L.P. Series Four $2,319,046 $15,000,000 $13,851,643 92% $1,148,357 $22,661,878 $1,148,357 163.6% 180.3% 9.1% 12/31/2019
2006 Paul Capital Partners IX, L.P. $4,200,726 $20,000,000 $17,699,666 88% $2,300,334 $17,573,905 $4,971,108 99.3% 123.0% 3.9% 9/30/2019
2007 OCM Opportunities Fund VII, L.P. $279,726 $7,500,000 $7,500,000 100% $0 $10,064,316 $0 134.2% 137.9% 7.4% 12/31/2019
2007 OCM Opportunities Fund VIIb, L.P. $226,788 $12,500,000 $11,250,000 90% $1,250,000 $19,259,573 $0 171.2% 173.2% 16.5% 12/31/2019
2008 Onex Partners III, L.P. $5,522,599 $15,000,000 $15,643,853 104% -$643,853 $23,858,830 $1,208,190 152.5% 187.8% 12.3% 12/31/2019
2009 GSO Capital Solutions Fund $2,102,725 $50,000,000 $71,729,838 143% -$21,729,838 $92,305,143 $5,108,694 128.7% 131.6% 9.5% 12/31/2019
2010 Gores Capital Partners III, L.P. $6,151,551 $75,000,000 $79,256,488 106% -$4,256,488 $82,307,913 $7,766,201 103.9% 111.6% 2.8% 12/31/2019
2010 OCM European Principal Fund III, L.P. $52,282,304 $67,350,000 $64,898,091 96% $2,451,909 $52,899,145 $20,256,068 81.5% 162.1% 9.9% 12/31/2019
2011 Gores Small Capital Partners $9,214,834 $30,000,000 $30,591,929 102% -$591,929 $33,681,476 $4,894,579 110.1% 140.2% 15.1% 12/31/2019
2012 GSO Capital Solutions Fund II, LP $13,408,573 $90,000,000 $70,380,604 78% $19,619,396 $60,280,826 $37,466,247 85.6% 104.7% 1.7% 12/31/2019
2014 SSG III $36,214,201 $60,000,000 $99,000,907 165% -$39,000,907 $84,059,850 $20,862,398 84.9% 121.5% 10.7% 12/31/2019
Total Distress & Special Situations Managers $134,590,653 $492,350,000 $531,465,093 108% -$39,115,093 $570,281,315 $106,299,944 107.3% 132.6%
% of Portfolio (Market Value) 1.13%
Niche and Other
2010 RMF 2 Co-Investment Fund, L.P. $3,518,768 $25,000,000 $8,974,920 36% $16,025,080 $15,600,246 $0 173.8% 213.0% 18.1% 12/31/2019
2012 Drug Royalty III LP $6,391,079 $41,488,181 $26,710,089 64% $14,778,092 $28,119,968 $14,021,896 105.3% 129.2% 8.2% 12/31/2019
Total Niche and Other Managers $9,909,847 $66,488,181 $35,685,009 54% $30,803,172 $43,720,214 $14,021,896 122.5% 150.3%
% of Portfolio (Market Value) 0.08%
IRR Analysis as of Valuation Date
Market Value as of
Valuation Date3
Distrib./
Paid-In
(DPI)1
Tot. Value/
Paid-In
(TVPI)2
Reported IRR
Since
Inception3
Vintage
Year3 Total Commitment3Capital
Called3,4 % Called
Remaining
Commitment3
Capital
Returned3
Valuation
Date3
96
Unfunded
Manager/Fund Commitment³
Private Real Assets
Agriculture
2011 Brookfield Brazil Agriland $53,611,000 $75,000,000 $69,652,604 93% $5,347,396 $0 $2,097,704 0.0% 77.0% -4.4% 12/31/2019
2012 Amerra Agri Fund II $30,431,866 $50,000,000 $50,934,555 102% -$934,555 $36,112,003 $12,440,928 70.9% 130.6% 6.4% 12/31/2019
2012 Hancock Agricultural Investment Group-Separate Account $47,238,115 $100,000,000 $39,650,000 40% $60,350,000 $4,700,000 $60,450,000 11.9% 131.0% 4.6% 12/31/2019
Total Agriculture Managers $131,280,981 $225,000,000 $160,237,159 71% $64,762,841 $40,812,003 $74,988,632 25.5% 107.4%
% of Portfolio (Market Value) 1.10%
Energy
2005 EnerVest Energy Institutional Fund X-B, L.P. $8,623 $10,000,000 $10,043,273 100% -$43,273 $10,272,571 $0 102.3% 102.4% 0.6% 12/31/2019
2005 Merit Energy Partners F, L.P. $1,207,424 $8,000,000 $4,761,830 60% $3,238,170 $2,375,180 $0 49.9% 75.2% -4.4% 12/31/2019
2006 EnCap Energy Capital Fund VI, L.P. $118,795 $9,000,000 $9,931,900 110% -$931,900 $17,836,642 $0 179.6% 180.8% 26.7% 12/31/2019
2007 EnCap Energy Capital Fund VII, L.P. $548,899 $10,000,000 $10,678,022 107% -$678,022 $14,788,562 $0 138.5% 143.6% 16.6% 12/31/2019
2007 EnerVest Energy Institutional Fund XI-B, L.P. -$99,585 $15,000,000 $14,306,417 95% $693,583 $13,890,415 $245,837 97.1% 96.4% -2.0% 9/30/2019
2008 Kayne Anderson Energy Fund V, L.P. $2,553,817 $15,000,000 $19,453,116 130% -$4,453,116 $20,405,637 $0 104.9% 118.0% 8.3% 12/31/2019
2010 Falcon E&P $19,255,282 $75,000,000 $80,914,567 108% -$5,914,567 $56,014,254 $7,769,994 69.2% 93.0% -5.3% 9/30/2019
2011 Denham Commodity Partners Fund VI, L.P. $29,678,889 $50,000,000 $51,283,744 103% -$1,283,744 $30,285,510 $5,464,386 59.1% 116.9% 3.1% 12/31/2019
Total Energy Managers $53,272,144 $192,000,000 $201,372,869 105% -$9,372,869 $165,868,771 $13,480,217 82.4% 108.8%
% of Portfolio (Market Value) 0.45%
Infrastructure
2008 Global Infrastructure Partners A, L.P. $3,785,236 $75,000,000 $82,284,377 110% -$7,284,377 $195,281,767 $9,056,076 237.3% 241.9% 18.8% 12/31/2019
2008 Macquarie Infrastructure Partners II $38,908,468 $75,000,000 $85,408,350 114% -$10,408,350 $108,644,877 $3,798,718 127.2% 172.8% 9.5% 12/31/2019
2010 Brookfield Americas Infrastructure Fund, L.P. $89,341,816 $75,000,000 $77,219,379 103% -$2,219,379 $58,868,811 $3,854,120 76.2% 191.9% 10.4% 12/31/2019
2010 J.P.M. Global Maritime Investment Fund $45,520,501 $75,000,000 $75,257,810 100% -$257,810 $7,503,454 $2,048,912 10.0% 70.5% -7.3% 12/31/2019
2013 Actis Energy 3 $23,608,000 $50,000,000 $47,745,980 95% $2,254,020 $37,421,300 $13,120,213 78.4% 127.8% 9.6% 12/31/2019
2013 Actis Energy 3 Co-Investment, LP $7,828,000 $13,750,000 $13,986,438 102% -$236,438 $11,163,092 $1,764,409 79.8% 135.8% 11.2% 12/31/2019
2014 Energy & Minerals Group Fund III LP $46,866,725 $75,000,000 $71,302,052 95% $3,697,948 $7,905,284 $481,704 11.1% 76.8% -7.3% 12/31/2019
2014 EMG AENO Co-Investment LP $5,497,235 $4,342,137 $4,342,137 100% $0 $0 $0 0.0% 126.6% 4.7% 12/31/2019
2014 EMG AEPB Co-Investment $0 $6,000,000 $6,000,000 100% $0 $2,513,364 $0 41.9% 41.9% -25.6% 12/31/2019
Total Infrastructure Managers $261,355,981 $449,092,137 $463,546,523 103% -$14,454,386 $429,301,949 $34,124,152 92.6% 149.0%
% of Portfolio (Market Value) 2.19%
Metals & Mining
2011 Red Kite Mine Finance Fund $89,013,740 $50,000,000 $50,000,000 100% $0 $0 $0 0.0% 178.0% 8.9% 12/31/2019
2011 Taurus Resources Fund II Ltd. $69,239,941 $75,000,000 $89,832,724 120% -$14,832,724 $48,684,593 $934,641 54.2% 131.3% 4.9% 12/31/2019
Total Metals & Mining Managers $158,253,681 $125,000,000 $139,832,724 112% -$14,832,724 $48,684,593 $934,641 34.8% 148.0%
% of Portfolio (Market Value) 1.33%
Timber
2011 Molpus Woodlands Fund III $42,382,759 $50,000,000 $47,250,000 95% $2,750,000 $17,209,235 $0 36.4% 126.1% 3.7% 12/31/2019
Total Timber Managers $42,382,759 $50,000,000 $47,250,000 95% $2,750,000 $17,209,235 $0 36.4% 126.1%
% of Portfolio (Market Value) 0.36%
Valuation
Date3
Vintage
Year3 Total Commitment3Capital
Called3,4 % Called
Market Value as of
Valuation Date3
Remaining
Commitment3
Distrib./
Paid-In
(DPI)1
Tot. Value/
Paid-In
(TVPI)2
Reported IRR
Since
Inception3
Capital
Returned3
IRR Analysis as of Valuation Date
97
Unfunded
Manager/Fund Commitment³
1999 Hearthstone MSII Homebuilding Investors, L.L.C. $1,056 $10,000,000 $7,973,058 80% $2,026,942 $13,884,971 $1,008,131 174.1% 174.2% 44.2% 12/31/2019
2000 RREEF I.M.A. $436,622,454 $255,126,000 $548,397,800 215% -$293,271,800 $528,080,931 $0 96.3% 175.9% 9.9% 12/31/2019
2004 Southern California Smart Growth Fund $100,048 $25,000,000 $36,721,206 147% -$11,721,206 $40,044,587 $768,807 109.1% 109.3% 0.4% 12/31/2019
2005 Canyon-Johnson Urban Fund II, L.P. $99,875 $30,000,000 $26,966,111 90% $3,033,889 $11,923,957 $0 44.2% 44.6% -10.7% 12/31/2019
2005 RREEF Rio San Diego Plaza II $26,598,122 $25,925,218 $27,050,000 104% -$1,124,782 $16,750,000 $0 61.9% 160.3% 4.4% 12/31/2019
2005 LaSalle Asia Opportunity Fund II, L.P. $236,458 $25,000,000 $24,013,609 96% $986,391 $25,752,817 $0 107.2% 108.2% 1.7% 12/31/2019
2006 California Smart Growth Fund IV $2,444,121 $25,000,000 $23,370,715 93% $1,629,285 $28,514,447 $27,627 122.0% 132.5% 2.6% 12/31/2019
2007 Allegis Value Trust $182,420 $25,000,000 $25,550,296 102% -$550,296 $31,209,296 $0 122.1% 122.9% 2.5% 9/30/2019
2007 Blackstone Real Estate Partners VI $3,829,376 $50,000,000 $49,688,041 99% $311,959 $108,045,844 $2,453,949 217.4% 225.2% 14.4% 12/31/2019
2008 Trophy Property Development, L.P. $50,903 $15,000,000 $14,259,190 95% $740,810 $10,907,159 $740,810 76.5% 76.8% -3.6% 12/31/2019
2011 JPMCB Strategic Property Fund $231,146,052 $200,000,000 $205,152,298 103% -$5,152,298 $181,575,129 $0 88.5% 201.2% 10.1% 12/31/2019
2017 Ascentris SD Partners LP $286,401,017 $300,000,000 $515,511,717 172% -$215,511,717 $459,936,515 $79,419,194 89.2% 144.8% 18.0% 12/31/2019
2018 Brookfield Senior Mezzanine Real Estate Finance Fund LP $99,641,842 $100,000,000 $100,000,000 100% $0 $7,537,156 $0 7.5% 107.2% 4.8% 12/31/2019
2019 Ascentris Value Add Fund III LP $3,007,711 $50,000,000 $5,108,847 10% $44,891,153 $1,412,268 $46,303,421 27.6% 86.5% -23.4% 12/31/2019
Total Real Estate Managers $1,090,361,455 $1,136,051,218 $1,609,762,888 142% -$473,711,670 $1,465,575,077 $130,721,939 91.0% 158.8%
% of Portfolio (Market Value) 9.14%
Total Private Managers $2,476,747,684 $3,934,931,536 $4,373,769,454 111% -$438,837,918 $3,901,978,044 $612,690,317 89.2% 145.8%
% of Portfolio (Market Value) 20.75%
1(DPI) is equal to (capital returned / capital called)2(TVPI) is equal to (market value + capital returned) / capital called3Data source: The Burgiss Group Private I Module4Capital called may include recallable distributions
Valuation
Date3
Distrib./
Paid-In
(DPI)1
Tot. Value/
Paid-In
(TVPI)2
Reported IRR
Since
Inception3
Vintage
Year3 Total Commitment3Capital
Called3,4 % Called
Remaining
Commitment3
Capital
Returned3
Total Private Markets Portfolio
IRR Analysis as of Valuation Date
Market Value as of
Valuation Date3
Real Estate
98
Market Environment
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Global Equity Markets
-22.4%-24.1%
-21.1%
-30.0%
-17.4%
-28.9%
-20.9%-23.3%
-28.4%
-24.4%
-12.7%
-16.3%
-9.7%
-23.3%
-7.5%
-21.0%
-13.8% -13.3%
-24.5%
-18.9%
-40%
-30%
-20%
-10%
0%
ACWI IMI 44.2%ACWI ex-U.S.
IMI
55.8%USA IMI
4.5%UK IMI
8.1%Japan IMI
2.8%Canada IMI
0.2%Israel IMI
13.5%Europe ex-UK
IMI
3.3%Pacific ex-Japan
IMI
11.8%Emerging
Markets IMI
GLOBAL MSCI IMI INDEX RETURNS (USD)AS OF 03/31/2020
First Quarter 2020 One-Year
Source: MSCI
A decade-long bull market came to an abrupt halt as the Covid-19 outbreak in China turned into a global pandemic. After reaching all-time highs in mid-February, global equities sold off sharply as infection numbers grew and governments worldwide ramped up virus containment measures. With much of the economy shuttered, a deep global recession appears to be inevitable despite unprecedented fiscal and monetary stimulus measures. In local currency terms, the MSCI AC World Investable Market Index fell by 21.0%. Appreciation of the U.S. dollar further dragged down the returns to -22.4% in USD terms in Q1 2020.
UK equities were the worst performers (-30.0%) over the quarter where its sizeable resource sector (Oil & Gas and Basic Materials) underperformed due to sharp drop in crude oil prices amidst the coronavirus outbreak. Brexit negotiations ran into difficulties as the UK and the European Union (EU) clashed on “level playing field” requirements. The UK Prime Minister Boris Johnson stated that Britain would be prepared to leave the EU on the World Trade Organization’s (WTO) terms if progress is not made by June 2020.
100
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Global Equity Markets
USA55.8%
UK4.5%
Canada2.8%
Pacif ic ex-Japan3.3% Japan
8.1%
Europe ex-UK13.5%
Israel0.2%
Latin America
1.0%
Asia9.3%
Eastern Europe, Middle East & Africa1.5%
Emerging Markets11.8%
MSCI ALL COUNTRY WORLD IMI INDEX GEOGRAPHIC ALLOCATION AS OF 03/31/2020
Source: MSCI
UK10.2%
Canada6.3%
Pacif ic ex-Japan7.5%
Japan18.3%
Europe ex-UK30.6%
Israel0.5%
Latin America2.2%
Asia21.0%
Eastern Europe, Middle East & Africa3.5%
Emerging Markets26.7%
MSCI ALL COUNTRY WORLD EX-U.S. IMI INDEX GEOGRAPHIC ALLOCATION AS OF 03/31/2020
Source: MSCI
The two exhibits on this slide illustrate the percentage that each country/region represents of the global and international equity markets as measured by the MSCI All Country World IMI Index and the MSCI All Country World ex-U.S. IMI Index, respectively.
101
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U.S. Equity Markets
-20.9%
-12.1% -12.9%
-20.5%
-15.1%
-51.6%
-28.3% -27.8% -28.6%
-15.1%-9.1%
8.0%
-2.1%
-10.6%
-4.2%
-54.5%
-19.2% -19.7%-15.6%
-3.2%
-60.0%
-50.0%
-40.0%
-30.0%
-20.0%
-10.0%
0.0%
10.0%
20.0%
Russell3000
25.1%Te chnology
15.1%Healthcare
14.5%Cons. Disc
6.2%Cons.
Staples
2.5%Energ y
3.0%Materials &Processing
9.1%Produ cerDurables
18.9%FinancialServices
5.5%Utilities
RUSSELL SECTOR RETURNS AS OF 03/31/2020
First Quarter 2020
One-Year
Source: Russell Indexes
-20.9%-24.2%
-12.5%
-31.7%
-20.0%
-35.7%
-25.8%
-9.1%
-13.6%
3.7%
-24.1%
-9.4%
-29.6%
-18.6%
-40.0%
-35.0%
-30.0%
-25.0%
-20.0%
-15.0%
-10.0%
-5.0%
0.0%
5.0%
10.0%
Russell3000
28.8%LargeValue
42.1%Large
Growth
13.1%MediumValue
10.2%MediumGrowth
2.6%SmallValue
3.2%Small
Growth
RUSSELL STYLE RETURNS AS OF 03/31/2020
First Quarter 2020
One-Year
Source: Russell Indexes
Three major U.S. equity indices (S&P 500, Dow Jones Industrial Average and Nasdaq Composite) entered bear market territory as the indices fell more than 20% below their mid-February peaks in the fastest bear market on record ending the 11-year bull market, the longest on record. Returns were on pace to be much worse before stock markets rallied to end the quarter. Large fiscal stimulus packages were credited as the major reason for improving risk sentiment. For the quarter, the Dow Jones US Total Stock Market Index returned -21.0%. The Russell 3000 Index fell 20.9% during the first quarter and 9.1% over the one-year period.
The CBOE Volatility Index (VIX), Wall Street’s “fear gauge”, set a new record peak of 82.7 in mid-March before ending the quarter slightly lower at 53.5 after having averaged 19.0 over the previous 12 months.
All sectors generated negative returns over the quarter. In particular, Energy (-51.6%) and Financial Services (-28.6%) were the worst performing sectors in Q1 2020.
Performance was negative across the market capitalization spectrum over the quarter. Small cap stocks underperformed both large and medium cap stocks over the quarter. Value stocks underperformed their Growth counterparts in Q1 2020 and over the last year.
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U.S. Fixed Income Markets
3.1%
8.1%
-3.6%
2.8%
-0.2%
1.2%
8.9%
13.1%
5.0%
7.0%
2.8%
6.1%
-6.0%
-4.0%
-2.0%
0.0%
2.0%
4.0%
6.0%
8.0%
10.0%
12.0%
14.0%
Barclays Agg.Bond
44.2%Govt
25.2%Corp.
27.9%MBS
0.4%ABS
2.2%CMBS
BLOOMBERG BARCLAYS AGGREGATE RETURNS BY SECTOR AS OF 03/31/2020
First Quarter 2020 One-YearSource: FactSet
1.8%2.8% 2.7% 2.1%
6.2%4.6%
7.0% 7.4%8.8%
19.3%
0.0%
5.0%
10.0%
15.0%
20.0%
25.0%
1-3 Yr. 3-5 Yr. 5-7 Yr. 7-10 Yr. >10 Yr.
BLOOMBERG BARCLAYS AGGREGATE RETURNS BY MATURITY AS OF 03/31/2020
First Quarter 2020 One-YearSource: FactSet
5.8%
1.5%
-0.6%
-7.4%
-12.7%
10.5%
7.5% 7.4%
1.9%
-6.9%
-15.0%
-10.0%
-5.0%
0.0%
5.0%
10.0%
15.0%
Aaa Aa A Baa High Yield
BLOOMBERG BARCLAYS AGGREGATE RETURNS BY QUALITY AND HIGH YIELD RETURNS AS OF 03/31/2020
First Quarter 2020 One-YearSource: FactSet
The Bloomberg Barclays U.S. Aggregate Bond Index rose by 3.1% over the quarter, supported by Government bond’s return of 8.1%. The risk asset sell-off which tormented equity markets were also evident in the corporate bonds space, as concerns over corporate leverage that were disregarded in more benign times resurfaced. Corporate bonds underperformed with a return of -3.6%.
Performance was mixed across all credit grades. High yield bonds fell by 12.7%. Within investment grade bonds, Aaa bonds outperformed with a return of 5.8%.
Long-maturity bonds outperformed intermediate and short-maturity bonds over the quarter. Long-maturity bonds returned 6.2% while short-maturity bonds returned only 1.8% in Q1 2020.
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U.S. Fixed Income Markets
-2.0%
-1.0%
0.0%
1.0%
2.0%
3.0%
4.0%
5.0%
Mar 10 Mar 12 Mar 14 Mar 16 Mar 18 Mar 20
U.S. 10-YEAR TREASURY AND TIPS YIELDS10Y TIPS Yield
10Y Treasury Yield
Source: U.S. Department of Treasury
-0.5%
0.0%
0.5%
1.0%
1.5%
2.0%
2.5%
3.0%
0 5 10 15 20 25 30
Maturity (Years)
U.S. TREASURY YIELD CURVE
3/31/2019
12/31/2019
3/31/2020
Source: U.S. Department of Treasury
The U.S. nominal yield curve shifted downwards over the quarter as the combination of economic damage caused by the Pandemic and the response of easing monetary policy caused yields to fall across the curve.
The rate cuts, along with decreases in global output, caused 10-year US treasury yields to decrease by over 122 basis points to 0.70%, the first time in history it fell below 1.0%, and it remained there at the end of the quarter. The 30-year yield began the quarter at 2.39% and ended the quarter at 1.27%, a decline of 1.12%. The 30-year yield briefly closed below 1% on March 9, 2020, a sign of how stressed the outlook had become
The 10-year TIPS yield fell by 32bps over the quarter to -0.17%.
The US Federal Reserve (Fed) announced two emergency rate cuts over the quarter, lowering the Fed Funds Rate target by a total of 150bps to 0.00%-0.25%. The Federal Reserve also launch unlimited QE, and an expansion of QE into other markets, such as corporate bonds and municipal bonds. In addition to this, Congress passed a $2.2tn stimulus package, the largest bailout in US history.
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European Fixed Income Markets
0%
5%
10%
15%
20%
25%
30%
2012 2013 2014 2015 2016 2017 2018 2019 2020
EUROZONE PERIPHERAL BOND SPREADS(10-YEAR SPREADS OVER GERMAN BUNDS)
Spain ItalyPortugal GreeceIreland
Source: FactSet
European government bond spreads over 10-year German bunds rose across the Euro Area with core yields falling and peripheral yields rising (except Ireland). The European Central Bank (ECB) expanded its asset purchase programme and removed a self-imposed limit to buy no more than a third of any country’s eligible bond, restoring some stability to the Euro Area’s government bond market.
German government bund yields fell in line with other developed market government bond yields, falling by 30bps to -0.49% over the quarter. Germany’s annual economic growth slowed to its lowest rate in six years at 0.6% whilst it posted zero growth in Q4, hit by falling household and government consumption while capital investment in machinery and equipment fell.
Italian government bond yields rose by 6bps to 1.48% over the quarter, retracting from a nine-month high of 2.3% after it spiked by 130bps mid-March and Spanish government bond yields rose by 18bps to 0.64%. Both the countries were the worst affected by novel coronavirus in Europe and were the first to impose quarantine measures.
Greek government bond yields rose by 18bps to 1.61% over the quarter which saw the country’s 10-year yield drop below 1% mid-Feb for the first time.
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Credit Spreads
Spread (bps) 03/31/2020 12/31/2019 03/31/2019 Quarterly Change (bps)One-Year Change
(bps)
U.S. Aggregate 95 39 44 56 51
Long Gov't 4 0 1 4 3
Long Credit 279 139 172 140 107
Long Gov't/Credit 151 79 99 72 52
MBS 60 39 35 21 25
CMBS 188 72 69 116 119
ABS 213 44 39 169 174
Corporate 272 93 119 179 153
High Yield 880 336 391 544 489
Global Emerging Markets 619 287 283 332 336
Source: FactSet, B loomberg Barclays
The rapid reassessment of the economic outlook took a dramatic toll on credit assets during the quarter. Credit spreads over U.S. Treasuries widened over the quarter.
Riskier areas of credit, such as US high yield bonds and emerging market debt, saw double digit losses due to a decrease in investors’ risk appetite. High Yield bond spreads widened significantly in Q1 2020, increasing by 544bps. This was followed by Global Emerging Markets bonds spreads, which widened by 332bps.
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Currency
80
90
100
110
120
130
140
Mar 14 Mar 15 Mar 16 Mar 17 Mar 18 Mar 19 Mar 20
U.S. DOLLAR RELATIVE TO EUR, GBP AND JPY REBASED TO 100 AT 03/31/2014
EUR/USD
GBP/USD
JPY/USD
Source: FactSet
Stronger Dollar
Weaker Dollar
80
85
90
95
100
105
110
115
120
125
Mar 14 Mar 15 Mar 16 Mar 17 Mar 18 Mar 19 Mar 20
TRADE WEIGHTED U.S. DOLLAR INDEX(1973 = 100)
Source: Federal Reserve
The U.S. dollar generally strengthened against major currencies over the quarter as it rose 7.1% on a trade-weighted basis. U.S. dollar appreciated against euro and sterling but marginally depreciated against Japanese yen.
Sterling fell sharply over the quarter amidst “risk-off” trade flows as the coronavirus outbreak escalated. The UK’s current account deficit and its status as a relatively small open economy means that sterling is particularly exposed to international fund flows. As investor concerns over economic growth and financial market stability grew, capital flows started to dry up from the UK as investors seek “safe haven” assets such as the US dollar. Sterling depreciated by 6.4% against the U.S. dollar.
Alongside a more dovish ECB and a weaker economic outlook, the euro fell against both the US dollar and the Japanese yen, depreciating by 2.2% and 2.9% respectively. However, it rose by 4.2% against sterling.
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Commodities
-23.3%
-11.5%
-51.1%
-18.5%
-1.1%
-9.9%
-16.8%
-7.2%
-28.1%
-22.3%
-8.3%
-52.9%
-22.7%
15.7%
-5.3%
-13.7%
-2.6%
-35.5%
-60.0% -50.0% -40.0% -30.0% -20.0% -10.0% 0.0% 10.0% 20.0%
Bloomberg Commodity Index
Ex-Energy
Energy
Industrial Metals
Prec. Metals
Agric.
Softs
Grains
Livestock
COMMODITY RETURNS AS OF 03/31/2020
First Quarter 2020
One-Year
Source: BloombergNote: Softs and Grains are part of the wider Agriculture sector
Amidst Covid-19 pandemic, commodities fell sharply over the quarter which saw the Bloomberg Commodity Index tumble by 23.3%.
Energy was the worst performing sector over the quarter with a return of -51.1% as crude oil prices fell sharply following Saudi Arabia’s plans to raise production and offer deep discounts to key markets in a bid to gain market share after Russia rejected a proposal by OPEC to cut oil production. The price of Brent crude oil fell by 65.5% to $23/bbl. and WTI crude oil spot prices fell by 66.5% to $20/bbl.
Livestock (-28.1%) was the second worst performing sector in Q1 2020.
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Aon Proprietary & Confidential Investment advice and consulting services provided by Aon Investments USA Inc.
Hedge Fund Markets Overview
-3.4%
0.1%
-12.9%
-13.9%
-15.3%
-12.2%
-7.0%
-9.4%
-7.3%
1.4%
4.2%
-8.0%
-10.4%
-12.6%
-12.4%
-3.8%
-5.1%
-3.9%
-20.0% -15.0% -10.0% -5.0% 0.0% 5.0% 10.0%
Fixed Income/Convertible Arb.
Global Macro
Equity Hedge
Emerging Markets
Event-Driven
Distressed-Restructuring
Relative Value
Fund-Weighted Composite Index
Fund of Funds Composite Index
HEDGE FUND PERFORMANCE AS OF 03/31/2020
First Quarter 2020
One-Year
Note: Latest 5 months of HFR data are estimated by HFR and may change in the future.Source: HFR
Hedge fund performance was generally negative across all strategies in the first quarter.
Over the quarter, Global Macro was the only strategy to generate marginal positive return of 0.1%. Conversely, Event-Driven and Emerging Markets were the worst performers, falling 15.3% and 13.9% respectively.
HFRI Fund-Weighted Composite Index and the HFRI Fund of Funds Composite Index produced returns of -9.4% and -7.3% respectively.
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Private Equity Market Overview – Q4 2019 Slide 1 of 2
Fundraising: In 2019, $787.2 billion was raised by 1,725 funds, which was a decrease of 3.4% on a capital basis and a decrease of 19.2% by number of funds from the prior year. Dry powder stood at $2.2 trillion at the end of the year, an increase of 5.4% and 39.7% compared to year-end 2018 and the five year average, respectively.1
Buyout: Global private equity-backed buyout deals totaled $405.7 billion in 2019, which was down 19.9% and 5.6% from 2018 and the five year average, respectively.1 At the end of 2019, the average purchase price multiple for all U.S. LBOs was 11.5x EBITDA, up from year-end 2018’s average of 10.6x and up from the five-year average (10.6x).2 Large cap purchase price multiples stood at 11.4x, up compared to the full-year 2018 level of 10.6x.2 The weighted average purchase price multiple across all European transaction sizes averaged 11.1x EBITDA for year-end 2019, down slightly from the 11.3x multiple seen at year-end 2018. Purchase prices for transactions of €1.0 billion or more decreased from 11.7x in 2018 to 11.2x in 2019. Globally, exit value totaled $336.5 billion on 1,804 deals during the year, significantly lower than the $412.0 billion in exits from 2,369 deals during 2018.
Venture: During the year, 5,906 venture-backed transactions totaling $108.0 billion were completed, which was a decrease on a capital andnumber of deals basis over the prior year’s total of $118.4 billion across 6,452 deals. This was 34.7% higher than the five-year average of $80.2 billion.3 Total U.S. venture-backed exit activity totaled approximately $256.4 billion across 882 completed transactions in 2019, up notably from $130.2 billion across 1,015 exits in 2018.4
Mezzanine: 25 funds closed on $6.1 billion during the year. This was a significant decrease from the prior year’s total of $27.3 billion raised by 56 funds and represented a decrease of 71.5% from the five-year average of $21.1 billion. Estimated dry powder was $44.6 billion at the end of 2019, down by $18.5 billion from the prior year.
Source: Preqin
LTM Global Private Equity-Backed Buyout Deal Volume
0
1,000
2,000
3,000
4,000
5,000
6,000
7,000
$0
$100
$200
$300
$400
$500
$600
3Q11 2Q12 1Q13 4Q13 3Q14 2Q15 1Q16 4Q16 3Q17 2Q18 1Q19 4Q19
# of D
eals
Val
ue ($
Bill
ions
)
Deal Value ($ Billions)
Number of Deals
Sources: 1 Preqin 2 Standard & Poor’s 3 PwC/CB Insights MoneyTree Report 4 PitchBook/NVCA Venture Monitor 5 Fitch Ratings 6 Thomson Reuters 7 UBS
Notes: FY=Fiscal year ended 12/31; YTD=Year to date; LTM=Last 12 months (aka trailing 12 months); PPM=Purchase Price Multiples: Total Purchase Price ÷ EBITDA.
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Private Equity Market Overview – Q4 2019 Slide 2 of 2
Distressed Debt: The LTM U.S. high-yield default rate was 3.3% as of December 2018, which was up from December 2018’s LTM rate of 2.4%.5 This was the highest level seen since 2016. During the year, $52.6 billion was raised by 66 funds, higher than the $41.8 billion raised by 72 funds during 2018.1 Dry powder was estimated at $117.2 billion at the end of 2019, which was down 1.0% from year-end 2018. This remained above the five-year annual average level of $101.8 billion.1
Secondaries: 30 funds raised $23.2 billion during the year, down slightly from the $23.6 billion raised by 49 funds in 2018 and down significantly from the $43.1 billion raised by 61 funds in 2017.1 The average discount rate for all private equity sectors finished the year at 8.1%, lower than the 8.9% discount at the end of 2018.6
Infrastructure: $104.5 billion of capital was raised by 107 funds in 2019 compared to $91.8 billion of capital raised by 99 partnerships in 2018. At the end of the year, dry powder stood at $212.1 billion, up from last year’s record of $177.9 billion. Infrastructure managers completed 2,608 deals for an aggregate deal value of $469.1 billion in 2019 compared to 2,749 deals totaling $406.1 billion in 2018.1
Natural Resources: During 2019, 27 funds closed on $12.1 billion compared to 51 funds totaling $22.2 billion in 2018. Energy and utilities industry managers completed 156 deals totaling $17.0 billion in 2019, compared to $34.4 billion across 155 deals in 2018.1
Source: S&P
Sources: 1 Preqin 2 Standard & Poor’s 3 PwC/CB Insights MoneyTree Report 4 PitchBook/NVCA Venture Monitor 5 Fitch Ratings 6 Thomson Reuters 7 UBS
Notes: FY=Fiscal year ended 12/31; YTD=Year to date; LTM=Last 12 months (aka trailing 12 months); PPM=Purchase Price Multiples: Total Purchase Price ÷ EBITDA.
U.S. LBO Purchase Price Multiples – All Transactions Sizes
8.5 x 8.8 x 8.7x 8.8x
9.8x10.3x 10.0x
10.6x 10.6x
11.5x
0.0 x
2.0 x
4.0 x
6.0 x
8.0 x
10.0 x
12.0 x
Senior Debt/EBITDA Sub Debt/EBITDA Equity/EBITDA Others
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Aon Proprietary & Confidential Investment advice and consulting services provided by Aon Investments USA Inc.
U.S. Commercial Real Estate Markets
U.S. Core Real Estate returned 0.97%* over the first quarter, equating to a 4.9% total gross return year-over-year, including a 4.2% income return. Theindustrial sector was once again the best performing sector, while retail continues perform poorly relative to other major property types. E-commercecontinues to be the primary force driving the bifurcation of performance between the industrial and retail sectors.
Global property markets, as measured by the FTSE EPRA/NAREIT Developed Real Estate Index, returned -28.3% (USD) in aggregate during the firstquarter. REIT market performance was driven by Asia Pacific (-29.1% USD), North America (-29.2% USD) and Europe (-35.0% USD). The U.S. REITmarkets (FTSE NAREIT Equity REITs Index) declined -27.3% in the first quarter. The U.S. 10-year treasury bond yield decreased 122bps to 0.70%.
The coronavirus fueled market volatility and decline in the stock and bond markets has created a situation of uncertainty for private real estate pricing.Public markets are searching for the right pricing level in light of the global pandemic, and how it will affect the regional and global economies. Newinformation and the current assessments change literally daily and often in a material amount. Considering this situation, we are recommending thatinvestments with pre-specified assets be postponed. Private market transactions based on appraisal valuations lag the most current information, and theydo not fully reflect the current market conditions..
We are proactively evolving our strategy to seek such investments. In the post-coronavirus world, supply chains may move back to North America whichwill require corresponding real estate infrastructure. Demand for last mile logistics, already a key investment theme, will accelerate. Live and workpreference changes will create opportunities. Interest rates are likely to remain lower for even longer, making real estate a very compelling alternative tofixed income investments.
Blind pool funds offer a potential to have capital available when the new opportunity set presents itself. Those strategies need careful review in light of thechanging market dynamics. Strategies that worked previously in a growth-oriented market may not be appropriate for what may be more opportunistic styleinvesting. Regions, countries and property types all need to be reevaluated.
*Indicates preliminary NFI-ODCE data gross of fees
4.0%
5.0%
6.0%
7.0%
8.0%
9.0%
10.0%
'08 '09 '10 '11 '12 '13 '14 '15 '16 '17 '18 '19 '20
Office Industrial Retail Apartment
1.0%4.9% 6.8% 8.5% 11.5%
-27.3%-21.3%
-3.1%-0.3%
7.4%
-30.0%-25.0%-20.0%-15.0%-10.0%-5.0%0.0%5.0%
10.0%15.0%
Q1 2020 1-Year 3-Years 5-Years 10-Years
PRIVATE VS. PUBLIC REAL ESTATE RETURNSAS OF 03/31/2020
Private (NFI-ODCEGross)*Public (NAREITGross)
*First quarter returns are preliminarySources: NCREIF, FactSet
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Appendix
113
Fee ScheduleMarket Value
$
EstimatedAnnual Fee
$
EstimatedAnnual Fee
(%)
BlackRock MSCI US Equity Index 0.02 % of Assets 1,019,061,566 152,859 0.02
BlackRock MSCI US Small Cap Index 0.02 % of Assets 140,684,275 21,103 0.02
PIMCO Russell 2000 Passive Plus 0.02 % of Assets 151,956,425 22,793 0.02
PIMCO S&P Passive Plus 0.02 % of Assets 1,176,675,098 176,501 0.02
Allianz Global Equity 0.05 % of Assets 324,913,405 162,457 0.05
BlackRock ACWI IMI Index 0.05 % of First $250 M0.04 % Thereafter
122,084,358 61,042 0.05
BlackRock MSCI EAFE IMI Index 0.04 % of Assets 514,921,041 205,968 0.04
PIMCO EAFE Passive Plus 0.04 % of Assets 1,255,255,306 502,102 0.04
BlackRock EM Index 0.07 % of Assets 335,060,193 234,542 0.07
DFA Emerging Markets Value I 0.54 % of Assets 118,056,626 637,506 0.54
PIMCO EM Passive Plus 0.07 % of Assets 219,501,129 153,651 0.07
BlackRock MSCI US Equity Index
Total Fund Investment Fund Fee Analysis
As of March 31, 2020
114
BlackRock MSCI US Equity Index
Total Fund Investment Fund Fee Analysis
As of March 31, 2020
Fee ScheduleMarket Value
$
EstimatedAnnual Fee
$
EstimatedAnnual Fee
(%)
BlackRock U.S. Intermediate Aggregate Index 0.02 % of Assets 889,081,420 177,816 0.02
Hoisington 0.20 % of First $100 M0.05 % Thereafter
393,565,185 346,783 0.09
PIMCO Short Term Fixed 0.20 % of First $200 M0.15 % of Next $200 M0.13 % of Next $200 M0.09 % of Next $800 M0.09 % Thereafter
476,844,714 796,056 0.17
Ryan Labs Core Fixed 0.25 % of Assets 249,918,543 624,796 0.25
Hotchkis & Wiley Cap 0.10 % of Assets 262,658,951 262,659 0.10
Oaktree High Yield 0.50 % of Assets 465,415,195 2,327,076 0.50
Allianz Loan Port 0.50 % of Assets 58,921,934 294,610 0.50
Allianz Multi Asset Long Short 0.27 % of Assets 114,667,788 309,603 0.27
AQR Global Alt Premia Offshore Fund 0.50 % of Assets 94,848,955 474,245 0.50
BlackRock Global Allocation 0.04 % of Assets 463,956,968 185,583 0.04
Cantab 0.60 % of Assets 199,025,992 1,194,156 0.60
PIMCO Opp I 0.50 % of Assets 16,727,434 83,637 0.50
PIMCO Opp II 0.50 % of Assets 21,194,594 105,973 0.50
PIMCO Opp III 0.50 % of Assets 78,230,818 391,154 0.50
- In addition to the base management fee of 0.05%, Allianz Global Equity charges a 27% performance fee calculated annually. The performance fee issubject to a high water mark on alpha only, and the performance fee is capped at 0.60% annually.- In addition to the base management fee of 0.04%, BlackRock Global Allocation charges a 27% performance fee calculated annually. The performance fee issubject to a high water mark on alpha only, and the performance fee is capped at 0.60% annually.- In addition to the base management fee of 0.60%, Cantab charges a 20% performance fee over a 6% net return calculated annually. The performance feeis subject to a high water mark on alpha only.- In addition to the base management fee of 0.50%, Allianz Loan Portfolio charges a 20% performance fee over an IRR of 7.5%.
- In addition to the base management fee of 0.50%, AQR GAP charges a 30% net performance fee over an index of 90-day T-Bills + 5.0%.
- In addition to the base management fee of 0.015%, PIMCO S&P 500 charges a 50% performance fee calculated annually. The performance fee is subject
to a high water mark on alpha only, and the performance fee is capped at 0.60% annually.
- In addition to the base management fee of 0.015%, PIMCO R2000 charges a 50% performance fee calculated annually. The performance fee is subject to
a high water mark on alpha only, and the performance fee is capped at 0.60% annually.
- In addition to the base management fee of 0.04%, PIMCO EAFE charges a 50% performance fee calculated annually. The performance fee is subject to a
high water mark on alpha only, and the performance fee is capped at 0.60% annually.
- In addition to the base management fee of 0.07%, PIMCO EM charges a 50% performance fee calculated annually. The performance fee is subject to a
high water mark on alpha only, and the performance fee is capped at 0.60% annually.- In addition to the base management fee of 0.50%, PIMCO Opps I, II, & III charges a 23% performance fee over a 7.25% hurdle, 3 year performanceperiod.- In addition to the investment management fee of 0.27%, the Allianz Multi Asset Long Short fund charges operating expenses which are capped at 0.20%
annually.
115
Performance Return Calculations
Returns calculated in the performance summary tables are time-weighted rates of return (TWRR). TWRR are calculated from the changes in monthly market values, adjusted forweighted cash flows between months. Returns are linked geometrically and annualized for period longer than one year.
Data Source
Aon Investments USA Inc. (Aon) is an independent third party consulting firm and calculates returns from best source book of record data. Returns calculated by Aon may deviatefrom those shown by the manager in part, but not limited to, differences in prices and market values reported by the custodian and manager. It is the responsibility of the managerand custodian to provide insight into the pricing and methodologies and any difference in valuation.
Illiquid Alternatives
Closed end funds including but not limited to Real Estate, Hedge Funds, Private Equity, and Private Credit may lag performance and market value data due to delayed reporting.Aon will show market values for closed end funds as of the most recent reported performance adjusted for capital calls and distributions. Closed end fund managers reportperformance using an internal rate of return (IRR), which differs from the TWRR calculation done by Aon. It is inappropriate to compare IRR and TWRR to each other. IRR figuresreported in the illiquid alternative pages are provided by the respective managers, and Aon has not made any attempts to verify these returns. Until a partnership is liquidated(typically over 10-12 years), the IRR is only an interim estimated return. The actual IRR performance of any LP is not known until the final liquidation.
Manager Line Up
Manager Inception Date Data Source Manager Inception Date Data SourceCantab 10/01/2013 BNY Mellon BlackRock MSCI EAFE IMI Index 07/07/2017 BNY MellonPIMCO S&P Passive Plus 08/10/2015 BNY Mellon PIMCO Russell 2000 Passive Plus 08/10/2015 BNY MellonPIMCO EAFE Passive Plus 08/10/2015 BNY Mellon BlackRock EM Index 08/04/2015 BNY MellonPIMCO EM Passive Plus 08/10/2015 BNY Mellon PIMCO Short Term Fixed 09/01/2010 BNY MellonBlackRock ACWI IMI Index 12/01/2018 BNY Mellon AQR Global Alt Premia Offshore 10/11/2019 BNY MellonBlackRock US Int. Aggregate Index 01/24/2017 BNY Mellon Ryan Labs Core Fixed Income 01/31/2017 BNY MellonHotchkis & Wiley Cap 08/01/2010 BNY Mellon Oaktree High Yield 05/01/1995 BNY MellonHoisington 09/01/2010 BNY Mellon Allianz Global Equity 06/21/2017 BNY MellonBlackRock MSCI US Equity Index 07/07/2017 BNY Mellon BlackRock MSCI US Small Cap 07/07/2017 BNY MellonBlackRock Global Allocation 07/31/2017 BNY Mellon Allianz Loan Port 04/13/2016 BNY MellonAllianz Multi-Asset Long Short 03/05/2018 BNY Mellon DFA Emerging Markets Value I 12/01/2011 BNY MellonPIMCO Opp I 02/04/2020 BNY Mellon PIMCO Opp II 03/16/2020 BNY MellonPIMCO Opp III 03/25/2020 BNY Mellon
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As of March 31, 2020
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Data Sources and Methodology
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Policy & Custom Index Composition
SDCERA Policy Benchmark 45% MSCI ACWI IMI, 18% Bloomberg Barclays US Intermediate Aggregate, 6% ICE BofAML US High Yield Index, 8% Balancedbenchmark, 23% SDCERA Private Asset Benchmark.
SDCERA Private Asset Benchmark 1/3 NCREIF-ODCE and 2/3 MSCI ACWI IMI. Prior to July 1, 2017, the benchmark was comprised of 1/3 NCREIF-ODCE +50bps, and2/3 MSCI ACWI IMI + 200bps.
SDCERA Public Benchmark 58.4% MSCI ACWI IMI, 23.4% Bloomberg Barclays US Intermediate Aggregate, 7.8% ICE BofAML US High Yield Index, 10.4%Balanced Benchmark.
Balanced Benchmark Currently 70% MSCI ACWI IMI and 30% Bloomberg Barclays US Intermediate Aggregate. Prior to July 1, 2017 the benchmark wascomprised of 70% MSCI ACWI IMI and 30% Bloomberg Barclays US Aggregate.
Emerging Markets Benchmark Currently, the MSCI Emerging Markets Index (Net). Prior to July 1, 2017, the benchmark was the MSCI Emerging Markets IMI Index(Net).
Fixed Income Benchmark Currently 75% Bloomberg Barclays U.S. Intermediate Aggregate Index and 25% ICE BofAML US High Yield Index. Prior to July 1,2017 the benchmark was comprised of the Bloomberg Barclays U.S. Intermediate Aggregate Index.
Other Disclosures
All data prior to 3/31/2016 was provided by BNY Mellon, Salient Partners, and Verus.
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Total Public Equity:Benchmark: MSCI AC World IMI (Net)
U.S. Equity:Benchmark: MSCI USA IMI (Net)
BlackRock MSCI U.S. Equity Index:Benchmark: MSCI USA (Net)Universe: Rankings are based on a universe of U.S. stock funds compiled by Investment Metrics
BlackRock MSCI U.S. Small Cap Index:Benchmark: MSCI USA Small Cap (Net)Universe: Rankings are based on a universe of U.S. stock funds compiled by Investment Metrics
PIMCO S&P Passive Plus:Benchmark: S&P 500 IndexUniverse: Rankings are based on a universe of U.S. stock funds compiled by Investment Metrics
PIMCO Russell 2000 Passive Plus:Benchmark: Russell 2000 IndexUniverse: Rankings are based on a universe of U.S. stock funds compiled by Investment Metrics
Global Equity:Benchmark: MSCI AC World IMI (Net)
Allianz Global Equity:Benchmark: MSCI AC World IMI Index (Net)Universe: Rankings are based on a universe of global stock funds compiled by Investment Metrics
BlackRock ACWI IMI Index:Benchmark: MSCI AC World IMI Index (Net)Universe: Rankings are based on a universe of global stock funds compiled by Investment Metrics
International Equity:Benchmark: MSCI EAFE IMI (Net)
BlackRock MSCI EAFE IMI Index:Benchmark: MASI EAFE IMI (Net)Universe: Rankings are based on a universe of non-U.S. stock funds compiled by Investment Metrics
PIMCO EAFE Passive Plus:Benchmark: MSCI EAFE Index (Net)Universe: Rankings are based on a universe of non-U.S. stock funds compiled by Investment Metrics
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As of March 31, 2020
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Benchmark and Universe Descriptions
As of March 31, 2020
Emerging Market Equity:Benchmark: Emerging Markets Benchmark
BlackRock EM Index:Benchmark: MSCI Emerging Markets Index (Net)Universe: Rankings are based on a universe of emerging market stock funds compiled by Investment Metrics
PIMCO EM Passive Plus:Benchmark: MSCI Emerging Markets Index (Net)Universe: Rankings are based on a universe of emerging market stock funds compiled by Investment Metrics
DFA Emerging Markets Value I:Benchmark: MSCI Emerging Markets Index (Net)Universe: Rankings are based on a universe of emerging market stock funds compiled by Lipper
Risk Reducing Fixed Income:Benchmark: Bloomberg Barclays U.S. Intermediate Aggregate Index
U.S. Fixed Income:Benchmark: Bloomberg Barclays U.S Intermediate Aggregate Index
BlackRock U.S. Intermediate Aggregate Index:Benchmark: Bloomberg Barclays U.S. Intermediate Aggregate IndexUniverse: Rankings are based on a universe of U.S. bond funds compiled by Investment Metrics
Ryan Labs Core Fixed Income:Benchmark: Bloomberg Barclays Aggregate IndexUniverse: Rankings are based on a universe of U.S. bond funds compiled by Investment Metrics
PIMCO Short Term Fixed:Benchmark: 3 Month LIBORUniverse: Rankings are based on a universe of U.S. short term duration funds compiled by Investment Metrics
Hoisington:Benchmark: Bloomberg Barclays U.S. Treasury 7-10 YearUniverse: Rankings are based on a universe of U.S. bond funds compiled by Investment Metrics
Return Seeking Fixed Income:Benchmark: ICE BofAML US High Yield Index
High Yield Credit:Benchmark: ICE BofAML US High Yield Index
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As of March 31, 2020
Hotchkis & Wiley Cap:Benchmark: ICE BofAML US High Yield IndexUniverse: Rankings are based on a universe of U.S. bond funds compiled by Investment Metrics
Oaktree High Yield:Benchmark: ICE BofAML US High Yield IndexUniverse: Rankings are based on a universe of U.S. bond funds compiled by Investment Metrics
Loans:Benchmark: S&P Leveraged Loan Index
Allianz Loan Portfolio:Benchmark: S&P Leveraged Loan IndexUniverse: Rankings are based on a universe of U.S. bond funds compiled by Investment Metrics
Opportunistic:Benchmark: Balanced Benchmark
Allianz Multi Asset Long Short:Benchmark: Balanced BenchmarkUniverse: No suitable universe is available
AQR Global Alt Premia Offshore:Benchmark: Balanced BenchmarkUniverse: No suitable universe is available
BlackRock Global Allocation:Benchmark: Balanced BenchmarkUniverse: No suitable universe is available
Cantab:Benchmark: Balanced BenchmarkUniverse: No suitable universe is available
PIMCO Opp I, II, & IIIBenchmark: Balanced BenchmarkUniverse: No suitable universe is available
Total Private AssetsBenchmark: SDCERA Private Assets Benchmark
Real EstateBenchmark: NCREIF ODCE
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Private EquityBenchmark: MSCI AC World IMI (Net)
Private Real AssetsBenchmark: MSCI AC World IMI (Net)
Manager Benchmark DescriptionsMSCI AC World IMI (Net): A capitalization-weighted stock index that captures large, mid and small cap representation across 23 Developed Markets (DM) and 24 EmergingMarkets (EM) countries. With 8,870 constituents, the index is comprehensive, covering approximately 99% of the global equity investment opportunity set.
MSCI USA IMI (Net): A capitalization-weighted stock index designed to measure the performance of the large, mid and small cap segments of the US market. With 2,414constituents, the index covers approximately 99% of the free float-adjusted market capitalization in the US.
S&P 500 Index: A capitalization-weighted stock index consisting of 500 of the largest publicly traded U.S. stocks by capitalization. The index covers approximately 80% of availablemarket capitalization.
Russell 2000 Index: A capitalization-weighted stock index that measures the performance of approximately 2000 small capitalization U.S. stocks.
MSCI AC World ex USA Index (Net): A capitalization-weighted index that captures large and mid-cap representation across 22 of 23 Developed Markets (DM) countries (excludingthe US) and 24 Emerging Markets (EM) countries. With 2,166 constituents, the index covers approximately 85% of the global equity opportunity set outside the US.
MSCI EAFE IMI (Net): A capitalization-weighted index of stocks that captures large, mid and small cap representation across Developed Markets countries around the world,excluding the US and Canada. With 3,268 constituents, the index is comprehensive, covering approximately 99% of the free float-adjusted market capitalization in each country.
MSCI EAFE Index (Net): A capitalization-weighted index of stocks that captures large and mid-cap representation across 21 Developed Markets countries around the world,excluding the US and Canada. With 924 constituents, the index covers approximately 85% of the free float-adjusted market capitalization in each country.
MSCI Emerging Markets IMI (Net): A capitalization-weighted index of stocks that captures large, mid and small cap representation across 24 Emerging Markets (EM) countries.With 2,882 constituents, the index covers approximately 99% of the free float-adjusted market capitalization in each country.
MSCI Emerging Markets Index (Net): A capitalization-weighted index of stocks that captures large and mid-cap representation across 24 Emerging Markets (EM) countries. With1,151 constituents, the index covers approximately 85% of the free float-adjusted market capitalization in each country.
Bloomberg Barclays U.S. Intermediate Aggregate: A market value-weighted index consisting of U.S. Treasury securities, corporate bonds and mortgage-related and asset-backedsecurities with one to ten years to maturity and an outstanding par value of $250 million or greater.
Bloomberg Barclays Aggregate Index: A market value-weighted index consisting of government bonds, SEC-registered corporate bonds and mortgage-related and asset-backedsecurities with at least one year to maturity and an outstanding par value of $250 million or greater. This index is a broad measure of the performance of the investment grade U.S.fixed income market.
Bloomberg Barclays U.S. Treasury: 7-10 Year: A market value-weighted index consisting of U.S. Treasury bonds with seven to ten years to maturity and an outstanding par valueof $250 million or greater.
Bloomberg Barclays Long Government Index: An unmanaged index considered representative of long-term fixed-income obligations issued by the U.S. treasury, government
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agencies and quasi-federal corporations.
Bloomberg Barclays Intermediate Government Index: An unmanaged index considered representative of intermediate-term fixed-income obligations issued by the U.S. treasury,government agencies and quasi-federal corporations.
ICE BofAML US High Yield Index: A market capitalization-weighted index that tracks the performance of U.S. dollar-denominated, below investment grade corporate debt publiclyissued in the U.S. domestic market.
Citi 3-Month T-bill: An index that measures the average return of the last three-month U.S. Treasury Bill issues.
HFRI Macro (Total) Index: Tracks investment managers which trade a broad range of strategies in which the investment process is predicated on movements in underlyingeconomic variables and the impact these have on equity, fixed income, hard currency and commodity markets. Managers employ a variety of techniques, both discretionary andsystematic analysis, combinations of top down and bottom up theses, quantitative and fundamental approaches and long and short term holding periods. Although some strategiesemploy RV techniques, Macro strategies are distinct from RV strategies in that the primary investment thesis is predicated on predicted or future movements in the underlyinginstruments, rather than realization of a valuation discrepancy between securities. In a similar way, while both Macro and equity hedge managers may hold equity securities, theoverriding investment thesis is predicated on the impact movements in underlying macroeconomic variables may have on security prices, as opposes to EH, in which thefundamental characteristics on the company are the most significant are integral to investment thesis.
NCREIF ODCE (Net) Monthilized: A capitalization weighted index comprised of open-end, Core funds investing in commercial real estate properties. The funds that constitute theindex are subject to certain geographic and property type diversification requirements as well as leverage restrictions. The index reflects the impact of leverage on investmentresults. The returns shown in this report are net of management fees of the respective funds included in the index.
3 Month LIBOR: An index that serves as the benchmark reference rate for debt instruments. The index serves as the rate of interest at which banks offer to lend money to one
another in the wholesale money market.
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CountrySDCERA Public Equity
AllocationMSCI All Country World IMI Index
Difference
United States 51.1% 55.8% -4.8%U.S. Equity 51.1% 55.8% -4.8%Australia 2.0% 1.8% 0.3%Austria 0.1% 0.1% 0.0%Belgium 0.3% 0.3% 0.0%Canada 0.2% 2.8% -2.6%Denmark 0.7% 0.6% 0.1%Finland 0.3% 0.3% 0.0%France 3.8% 2.9% 0.9%Germany 2.8% 2.4% 0.5%Hong Kong 1.3% 1.0% 0.3%Ireland 0.2% 0.2% 0.1%Israel 0.2% 0.2% 0.0%Italy 0.9% 0.7% 0.2%Japan 9.5% 8.1% 1.4%Netherlands 1.4% 1.1% 0.3%New Zealand 0.1% 0.1% 0.0%Norway 0.3% 0.2% 0.0%Portugal 0.1% 0.1% 0.0%Singapore 0.4% 0.4% 0.0%Spain 0.9% 0.7% 0.2%Sweden 1.0% 1.0% 0.0%Switzerland 3.6% 3.0% 0.7%United Kingdom 5.2% 4.5% 0.7%Non-U.S. Equity: Developed 35.5% 32.3% 3.2%Brazil 0.7% 0.6% 0.1%Chile 0.1% 0.1% 0.0%China 5.2% 4.5% 0.7%Czech Republic 0.0% 0.0% 0.0%Egypt 0.0% 0.0% 0.0%Greece 0.0% 0.0% 0.0%Hungary 0.0% 0.0% 0.0%India 0.0% 0.0% 0.0%Indonesia 1.1% 1.0% 0.1%Korea 0.2% 0.2% 0.0%Malaysia 1.6% 1.5% 0.1%Mexico 0.3% 0.2% 0.0%Pakistan 0.3% 0.2% 0.0%Peru 0.0% 0.0% 0.0%Philippines 0.0% 0.0% 0.0%Poland 0.1% 0.1% 0.0%Qatar 0.1% 0.1% 0.0%Russia 0.1% 0.1% 0.0%Saudi Arabia 0.2% 0.4% -0.2%South Africa 0.5% 0.4% 0.1%Taiwan 1.8% 1.6% 0.2%Thailand 0.3% 0.3% 0.0%Turkey 0.1% 0.1% 0.0%United Arab Emirates 0.1% 0.1% 0.0%Other Countries 0.7% 0.3% 0.4%Non-U.S. Equity: Emerging Markets 13.4% 11.8% 1.6%Total Public Equity 100% 100% --
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Allocation Effect: An attribution effect that describes the amount attributable to the managers' asset allocation decisions, relative to the benchmark.
Alpha: The excess return of a portfolio after adjusting for market risk. This excess return is attributable to the selection skill of the portfolio manager. Alpha is calculated as: PortfolioReturn - [Risk-free Rate + Portfolio Beta x (Market Return - Risk-free Rate)].
Benchmark R-squared: Measures how well the Benchmark return series fits the manager's return series. The higher the Benchmark R-squared, the more appropriate thebenchmark is for the manager.
Beta: A measure of systematic, or market risk; the part of risk in a portfolio or security that is attributable to general market movements. Beta is calculated by dividing thecovariance of a security by the variance of the market.
Book-to-Market: The ratio of book value per share to market price per share. Growth managers typically have low book-to-market ratios while value managers typically have highbook-to-market ratios.
Capture Ratio: A statistical measure of an investment manager's overall performance in up or down markets. The capture ratio is used to evaluate how well an investmentmanager performed relative to an index during periods when that index has risen (up market) or fallen (down market). The capture ratio is calculated by dividing the manager'sreturns by the returns of the index during the up/down market, and multiplying that factor by 100.
Correlation: A measure of the relative movement of returns of one security or asset class relative to another over time. A correlation of 1 means the returns of two securities movein lock step, a correlation of -1 means the returns of two securities move in the exact opposite direction over time. Correlation is used as a measure to help maximize the benefits ofdiversification when constructing an investment portfolio.
Excess Return: A measure of the difference in appreciation or depreciation in the price of an investment compared to its benchmark, over a given time period. This is usuallyexpressed as a percentage and may be annualized over a number of years or represent a single period.
Information Ratio: A measure of a manager's ability to earn excess return without incurring additional risk. Information ratio is calculated as: excess return divided by trackingerror.
Interaction Effect: An attribution effect that describes the portion of active management that is contributable to the cross interaction between the allocation and selection effect.This can also be explained as an effect that cannot be easily traced to a source.
Portfolio Turnover: The percentage of a portfolio that is sold and replaced (turned over) during a given time period. Low portfolio turnover is indicative of a buy and hold strategywhile high portfolio turnover implies a more active form of management.
Price-to-Earnings Ratio (P/E): Also called the earnings multiplier, it is calculated by dividing the price of a company's stock into earnings per share. Growth managers typicallyhold stocks with highprice-to-earnings ratios whereas value managers hold stocks with low price-to-earnings ratios.
R-Squared: Also called the coefficient of determination, it measures the amount of variation in one variable explained by variations in another, i.e., the goodness of fit to abenchmark. In the case of investments, the term is used to explain the amount of variation in a security or portfolio explained by movements in the market or the portfolio'sbenchmark.
Selection Effect: An attribution effect that describes the amount attributable to the managers' stock selection decisions, relative to the benchmark.
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Sharpe Ratio: A measure of portfolio efficiency. The Sharpe Ratio indicates excess portfolio return for each unit of risk associated with achieving the excess return. The higher theSharpe Ratio, the more efficient the portfolio. Sharpe ratio is calculated as: Portfolio Excess Return / Portfolio Standard Deviation.
Sortino Ratio: Measures the risk-adjusted return of an investment, portfolio, or strategy. It is a modification of the Sharpe Ratio, but penalizes only those returns falling below aspecified benchmark. The Sortino Ratio uses downside deviation in the denominator rather than standard deviation, like the Sharpe Ratio.
Standard Deviation: A measure of volatility, or risk, inherent in a security or portfolio. The standard deviation of a series is a measure of the extent to which observations in theseries differ from the arithmetic mean of the series. For example, if a security has an average annual rate of return of 10% and a standard deviation of 5%, then two-thirds of thetime, one would expect to receive an annual rate of return between 5% and 15%.
Style Analysis: A return based analysis designed to identify combinations of passive investments to closely replicate the performance of funds
Style Map: A specialized form or scatter plot chart typically used to show where a Manager lies in relation to a set of style indices on a two-dimensional plane. This is simply a wayof viewing the asset loadings in a different context. The coordinates are calculated by rescaling the asset loadings to range from -1 to 1 on each axis and are dependent on theStyle Indices comprising the Map.
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Benchmark Descriptions
Bloomberg Barclays Corporate High Yield Bond Index - An index that covers the U.S.D-dominated, non- investment grade, fixed rate, taxable corporate bond market. Debt issues from emerging market countries are excluded. Securities are classified as high-yield if the middle rating is Ba1/BB+ or below.
Bloomberg Barclays Emerging Markets Index - An unmanaged index that tracks total returns for external-currency-denominated debt instruments of the emerging markets.
Bloomberg Barclays Global Aggregate - Provides a broad-based measure of the global investment-grade fixed income markets. The three major components of this index are the U.S. Aggregate, the Pan-European Aggregate, and the Asian-Pacific Aggregate Indices. The index also includes Eurodollar and Euro-Yen corporate bonds, Canadian government, agency and corporate securities, and U.S.D investment grade 144A securities.
Bloomberg Barclays Global Treasury Ex-U.S. - The Barclays Global Treasury ex U.S. Index is a subset of the flagship Global Treasury Index that does not have any exposure to U.S. debt. This multi-currency benchmark includes investment grade, fixed-rate bonds issued by governments in their native currencies.
Bloomberg Barclays Inflation Index - Measures the performance of the U.S. Treasury Inflation Protected Securities ("TIPS") market.
Bloomberg Barclays Universal Index - A market value-weighted index which is the union of the U.S. Aggregate Index, U.S. High Yield Corporate Index, Eurodollar Index, U.S. Emerging Markets Index and the CMBS High Yield Index. The Index is appropriate for core plus fixed income mandates.
Bloomberg Barclays U.S. Aggregate Bond Index - A market value-weighted index consisting of government bonds, SEC-registered corporate bonds and mortgage-related and asset-backed securities with at least one year to maturity and an outstanding par value of $250 M or greater. This index is a broad measure of the performance of the investment grade U.S. fixed income market.
Bloomberg Barclays U.S. Government/Credit Index - A subcomponent of the Barclays Capital Aggregate Index, this benchmark includes treasury securities, government related issues, and high quality corporate bonds with an outstanding par value of $250 M or greater and at least one year of maturity remaining.
Bloomberg Barclays U.S. Government Index - A market value weighted index of U.S. government and government agency securities (other than mortgage securities) with maturities of one year or more.
Bloomberg Barclays U.S. High Yield Index - An index composed of non-investment grade corporate debt denominated in U.S. dollars. The issues have to have an outstanding par value of $150 M or greater and at least one year of maturity remaining.
Bloomberg Barclays U.S. Intermediate Aggregate Bond Index - A market value-weighted index consisting of U.S. Treasury securities, corporate bonds and mortgage-related and asset-backed securities with one to ten years to maturity and an outstanding par value of $250 M or greater.
Bloomberg Barclays U.S. Intermediate Government Bond Index - An unmanaged index considered representative of intermediate- term fixed-income obligations issued by the U.S. Treasury, government agencies and quasi-federal corporations.
Bloomberg Barclays U.S. Intermediate Government/Credit Index - A market-value weighted index consisting of U.S. government bonds and SEC-registered corporate bonds with one to ten years to maturity and an outstanding par value of $150 M or greater.
Bloomberg Barclays U.S. Intermediate Treasury - An unmanaged index considered representative of intermediate-term fixed- income obligations issued by the U.S. Treasury.
Bloomberg Barclays U.S. Long Credit Bond Index - An unmanaged index considered representative of long-term fixed-income obligations issued by U.S. corporate, specified foreign debentures, and secured notes that meet the specified maturity, liquidity, and quality requirements. To qualify, bonds must be SEC-registered.
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Benchmark Descriptions
Bloomberg Barclays U.S. Long Gov’t/Credit Index - The Barclays Capital U.S. Government/ Credit Bond Index measures performance of U.S. dollar denominated U.S. treasuries, government-related, and investment grade U.S. corporate securities that have a remaining maturity of greater than or equal to 1 year. In addition, the securities have $250 M or more of outstanding face value, and must be fixed rate and non-convertible.
Bloomberg Barclays U.S. Long Government Bond Index - An unmanaged index considered representative of long-term fixed- income obligations issued by the U.S. Treasury, government agencies and quasi-federal corporations.
Bloomberg Barclays U.S. TIPS - A market value-weighted index consisting of U.S. Treasury Inflation Protected Securities with one or more years remaining until maturity with total outstanding issue size of $500m or more.
Bloomberg Barclays U.S. Treasury 20-30 Year STRIPS Index - A subcomponent of the Barclays Aggregate Index, this benchmark includes long-term treasury STRIPS.
Bloomberg Commodity Index - Consists of 22 exchange-traded futures on physical commodities, which are weighted to account for economic significance and market liquidity. Performance is calculated on an excess return basis and reflects commodity future price movements.
BofA Merrill Lynch 3 Month Treasury Bill - An index that measures the average return of the last three-month U.S. Treasury Bill issues.
BofA Merrill Lynch High Yield Master - A market-capitalization weighted index that tracks the performance of U.S. dollar- denominated, below investment grade corporate debt publicly issued in the U.S. domestic market.
Citigroup 90-Day T-Bill Index - An index that measures the average return of the last three-month U.S. Treasury Bill issues.
Credit Suisse Leveraged Loan Index - Designed to mirror the investable universe of the U.S. dollar denominated leveraged loan market.
CRSP U.S. Large Cap Index - an index comprised of nearly 640 U.S. large cap companies and includes securities traded on NYSE, NYSE Market, NASDAQ, or ARCA, representing nearly 85% of the U.S. investable equity market. The index is reconstituted quarterly after the market close on the third Fridays of March, June, September, and December.
CRSP U.S. Total Market Index - an index comprised of nearly 4,000 constituents across mega, large, small, and micro capitalizations and includes securities traded on NYSE, NYSE Market, NASDAQ, or ARCA, representing nearly 100% of the U.S. investable equity market. The index is reconstituted quarterly after the market close on the third Fridays of March, June, September, and December.
DJ U.S. Completion Total Stock Market Index - A capitalization-weighted index that consists of the stocks in the Dow Jones U.S. Total Stock Market Index less the stocks in the S&P 500 Stock Index.
DJ U.S. Total Stock Market Index - A capitalization-weighted stock index representing all domestic common stocks traded regularly on the organized exchanges. The index is the broadest measure of the aggregate domestic stock market and includes approximately 5,000 stocks.
FTSE 4Good U.S. Select Index - a socially responsible investment (SRI) index of U.S. stocks that excludes companies with certain business activities such as weapons, tobacco, gambling, alcohol, nuclear power, and adult entertainment.
FTSE All-World ex-U.S. Index - A capitalization-weighted stock index representing 46 developed market countries and emerging market countries excluding the U.S.
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Benchmark Descriptions
FTSE EPRA NAREIT Global ex-U.S. Index - Designed to represent general trends in eligible real estate equities worldwide. Relevant real estate activities are defined as the ownership, disposure and development of income-producing real estate.
FTSE Global All Cap ex U.S. Index - a market-capitalization weighted index representing the performance of roughly 5350 large, mid and small cap companies in 46 Developed and Emerging markets worldwide, excluding the USA.
FTSE Global Core Infrastructure Index - Represents the performance of infrastructure and infrastructure-related securities companies in a set of industries that FTSE defines as being involved in infrastructure. The series is based on the FTSE Global Equity Index Series and both developed and emerging markets are included.
FTSE NAREIT U.S. Equity REITS - Free float adjusted, market capitalization weighted index of U.S. based equity real estate investment trusts (REITs).
Goldman Sachs Commodity Index - A composite index of commodity sector returns which represents a broadly diversified, unleveraged, long-only position in commodity futures.
HFRI Fund-of-Fund Index - This index is equal-weighted including 800 constituents. It includes both domestic and offshore accounts and is valued in U.S. dollars. Only fund-of-fund products are included in the index that have at least $50 M under managements and have been actively trading for at least one year. All funds report net monthly returns.
HFRI Fund Weighted Composite Index - The HFRI Fund Weighted Composite Index is a global, equal-weighted index of over 2,000 single-manager funds that report to HFRDatabase. Constituent funds report monthly net of all fees performance in U.S. Dollar and have a minimum of $50 M under management or a twelve (12) month track record of active performance. The HFRI Fund Weighted Composite Index does not include Funds of Hedge Funds.
Hueler Stable Value Index - The Hueler Analytics Stable Value Pooled Fund Comparative Universe represents investment strategies of $96 billion in stable value assets, across 24 pooled funds, invested in contracts universe across a universe of 16 general account issuers and 14 synthetic wrap providers. The allocation of pooled fund assets is dominated by synthetic contracts issued by insurance companies and banks.
iMoneyNet All Taxable Money Funds Index - An index made up of the entire universe of money market mutual funds. The index currently represents over 1,300 funds, or approximately 99 percent of all money fund assets.
iMoneyNet Money Fund Average - An index made up of the entire universe of money market mutual funds. The index currently represents over 1,300 funds, or approximately 99 percent of all money fund assets.
J.P. Morgan EMBI Global Diversified - Comprised of dollar-denominated Brady bonds, traded loans and Eurobonds issued by emerging market sovereign and quasi-sovereign entities. The Diversified version limits the weights of the index countries by only including a specified portion of those countries' eligible current face amounts of debt outstanding, providing for a more even distribution of weights within the countries in the index.
MSCI All Country World ex-U.S. Index - A capitalization-weighted index of stocks representing 44 stock markets in Europe, Australia, the Far East, the Middle East, Latin America and North America. Index consists of 23 developed and 21 emerging countries, but excludes the U.S.
MSCI All Country World ex-U.S. Index IMI- A capitalization-weighted index of large, mid and small cap stocks representing 22 developed (excluding the United States) and 24 emerging market countries. The index is the broadest measure of the aggregate non-U.S. stock market, covering approximately 99% of the global equity investment opportunity set outside of the United States.
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Benchmark Descriptions
MSCI All Country World ex-U.S. Small Cap Index - Covers all investable small cap securities with a market capitalization below that of the companies in the MSCI Standard Indices (excluding U.S.), and target approximately 14% of each market’s free-float adjusted market capitalization.
MSCI All Country World Index - A capitalization-weighted index of stocks representing 46 stock markets in Europe, Australia, the Far East, the Middle East, Latin America and North America.
MSCI All Country World Index IMI - A capitalization-weighted index of large, mid and small cap stocks representing 23 developed and 24 emerging market countries. The index is the broadest measure of the aggregate global stock market, covering approximately 99% of the global equity investment opportunity set.
MSCI EAFE Growth Index - A capitalization-weighted index of 21 stock markets in Europe, Australia, Asia and the Far East designed to capture the growth-oriented companies.
MSCI EAFE Index - A capitalization-weighted index of stocks representing 22 developed countries in Europe, Australia, Asia, and the Far East.
MSCI EAFE Small Cap Index - A capitalization-weighted index of small cap stocks representing 23 developed country markets in Europe, Australia, Asia, and the Far East.
MSCI EAFE Value Index - A capitalization-weighted index of 21 stock markets in Europe, Australia, Asia and the Far East designed to capture the value-oriented companies.
MSCI Emerging Markets Index - A capitalization-weighted index of stocks representing 22 emerging country markets.
MSCI Emerging Markets Value Index - A capitalization-weighted index considered representative of value stocks across 46 stock markets in Europe, Australia, the Far East, the Middle East, Latin America and North America.
MSCI U.S. Broad Market Index - A capitalization-weighted stock index that aggregates the MSCI U.S. Large Cap 300, Mid Cap 450, Small Cap 1,750 and Micro Cap Indices. This index represents approximately 99.5% of the capitalization of the U.S. Equity market and includes approximately 3,562 companies.
MSCI U.S. REIT Index - A broad index that fairly represents the equity REIT opportunity set with proper investability screens to ensure that the index is investable and replicable. The index represents approximately 85% of the U.S. REIT universe.
MSCI World Index - A free float-adjusted market capitalization weighted index that is designed to measure the equity market performance of developed markets, representing 24 developed market country indices.
NCREIF Property Index - A capitalization-weighted index of privately owned investment grade income-producing properties representing approximately $269 billion in assets.
NFI ODCE Index - A capitalization weighted index comprised of open-end, Core funds investing in commercial real estate properties. The funds that constitute the index are subject to certain geographic and property type diversification requirements as well as leverage restrictions. The index reflects the impact of leverage on investment results. The returns shown in this report are net of management fees of the respective funds included in the index.
Rolling 3-year Constant Maturity Treasury Index - An index published by the Federal Reserve Board based on the monthly average yield of a range of Treasury securities, all adjusted to the equivalent of a three-year maturity.
Russell 1000 Growth Index - An index that measures the performance of those Russell 1000 companies with higher price-to- book ratios and higher I/B/E/S growth forecasts.
Russell 1000 Index - A capitalization-weighted index of the 1,000 largest publicly traded U.S. stocks by capitalization.
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Benchmark Descriptions
Russell 1000 Value Index - An index that measures the performance of those stocks included in the Russell 1000 Index with lower price-to-book ratios and lower I/B/E/S earnings growth forecasts.
Russell 2000 Growth Index - A capitalization-weighted index of those stocks in the Russell 2000 Index with higher price-to-book ratios and higher I/B/E/S earnings growth forecasts.
Russell 2000 Index - A capitalization-weighted index of the smallest 2,000 stocks in the Russell 3000 Index. The index excludes the largest- and smallest-capitalization issues in the domestic stock market.
Russell 2000 Value Index - An index that measures the performance of those stocks included in the Russell 2000 Index with lower price-to-book ratios and lower I/B/E/S earnings growth forecasts.
Russell 2500 Growth Index - A capitalization-weighted index representing those companies within the Russell 2500 Index with higher price-to-book ratios and higher I/B/E/S earnings growth forecasts.
Russell 2500 Index - The Index is constructed by first identifying the 3,000 largest-capitalization U.S. stocks and ranking them by market capitalizations, choosing the bottom 2,500 names on the list.
Russell 2500 Value Index - An index that measures the performance of those stocks included in the Russell 2500 Index with lower price-to-book ratios and lower I/B/E/S earnings growth forecasts.
Russell 3000 Growth Index - A capitalization-weighted index consisting of those Russell 3000 Index stocks that have higher price-to-book ratios and higher I/B/E/S earnings growth forecasts.
Russell 3000 Index - A capitalization-weighted index consisting of the 3,000 largest publicly traded U.S. stocks by capitalization. This index is a broad measure of the performance of the aggregate domestic equity market.
Russell 3000 Value Index - A capitalization-weighted index consisting of those Russell 3000 Index stocks that have lower price-to-book ratios and lower I/B/E/S earnings growth forecasts.
Russell Mid Cap Growth Index - A capitalization-weighted index representing those stocks in the Russell MidCap Index with higher price-to-book ratios and higher I/B/E/S earnings growth forecasts.
Russell Mid Cap Index - A capitalization-weighted index of the 800 smallest stocks in the Russell 1000 Index. This index is a broad measure of mid-capitalization stocks.
Russell Mid Cap Value Index - A capitalization-weighted index consisting of those Russell MidCap Index stocks that have lower price-to-book ratios and lower I/B/E/S earnings growth forecasts.
S&P 500 Index - A capitalization-weighted index representing stocks chosen by Standard & Poor's, Inc. for their size, liquidity, stability and industry group representation. The companies in the S&P 500 Index are generally among the largest in their industries.
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Benchmark Descriptions
S&P Completion Index -The S&P Completion Index is a sub-index of the S&P Total Market Index, including all stocks eligible for the S&P TMI and excluding all current constituents of the S&P 500. The index covers approximately 4,000 constituents, offering investors broad exposure to mid, small, and micro cap companies.
S&P Leverage Loan Index - A daily total return index that uses LSTA/LPC Mark-to-Market Pricing to calculate market value change.
S&P MidCap 400 Index - A market-capitalization-weighted index of stocks in all major industries in the mid-range of the U.S. stock market.
Wilshire REIT - A measure of the types of U.S. real estate securities that represent the ownership and operation of commercial or residential real estate. To be included in the index, a company must have a market capitalization of $200 M and have at least 75% of the total revenue derived from the ownership and operation of the real estate assets.
Indices cannot be invested in directly. Unmanaged index returns assume reinvestment of any and all distributions and do not reflect our fees or expenses.
Past performance is no guarantee of future results.
Please feel free to contact us at [email protected] for more index information.
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· The rates of return contained in this report are shown on an after-fees basis unless otherwise noted. They are geometric and time-weighted.Returns for periods longer than one year are annualized.
· Universe percentiles are based upon an ordering system in which 1 is the best ranking and 100 is the worst ranking.
· Due to rounding throughout the report, percentage totals displayed may not sum to 100%. Additionally, individual fund totals in dollar termsmay not sum to the plan total.
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Past performance is not necessarily indicative of future results.
Unless otherwise noted, performance returns presented reflect the respective fund’s performance as indicated. Returns may be presented on a before-fees basis (gross) or after-fees basis (net). After-fee performance is net of each respective sub-advisors’ investment management fees and include the reinvestment of dividends and interest as indicated onthe notes page within this report or on the asset allocation and performance summary pages. Actual returns may be reduced by Aon Investments’ investment advisory fees or othertrust payable expenses you may incur as a client. Aon Investments’ advisory fees are described in Form ADV Part 2A. Portfolio performance, characteristics and volatility also maydiffer from the benchmark(s) shown.
The information contained herein is confidential and proprietary and provided for informational purposes only. It is not complete and does not contain certain material informationabout making investments in securities including important disclosures and risk factors. All securities transactions involve substantial risk of loss. Under no circumstances does theinformation in this report represent a recommendation to buy or sell stocks, limited partnership interests, or other investment instruments.
The data contained in these reports is compiled from statements provided by custodian(s), record-keeper(s), and/or other third-party data provider(s). This document is not intendedto provide, and shall not be relied upon for, accounting and legal or tax advice. Aon Investments has not conducted additional audits and cannot warrant its accuracy orcompleteness. We urge you to carefully review all custodial statements and notify Aon Investments with any issues or questions you may have with respect to investmentperformance or any other matter set forth herein.
The mutual fund information found in this report is provided by Thomson Reuters Lipper and Aon Investments cannot warrant its accuracy or timeliness. Thomson Reuters LipperGlobal Data Feed provides comprehensive coverage of mutual fund information directly to Investment Metrics, Aon Investments’ performance reporting vendor, via the PARisperformance reporting platform. Thomson Reuters Lipper is the data provider chosen by Investment Metrics, and as such, Aon Investments has no direct relationship with ThomsonReuters Lipper.
Refer to Hedge Fund Research, Inc. www.hedgefundresearch.com for information on HFR indices.
FTSE International Limited (“FTSE”) © FTSE 2017. “FTSE®” and “FTSE4Good®” are trademarks of the London Stock Exchange Group companies and are used by FTSEInternational Limited under license. The FTSE indices are calculated by FTSE International Limited in conjunction with Indonesia Stock Exchange, Bursa Malaysia Berhad, ThePhilippine Stock Exchange, Inc., Singapore Exchange Securities Trading Limited and the Stock Exchange of Thailand (the "Exchanges"). All intellectual property rights in theFTSE/ASEAN Index vest in FTSE and the Exchanges. Neither FTSE nor its licensors accept any liability for any errors or omissions in the FTSE indices and / or FTSE ratings orunderlying data. No further distribution of FTSE Data is permitted without FTSE’s express written consent.
Aon Investments USA Inc. (“Aon Investments”) is a federally registered investment advisor with the U.S. Securities and Exchange Commission (“SEC”). Aon Investments is alsoregistered with the Commodity Futures Trade Commission as a commodity pool operator and a commodity trading advisor, and is a member of the National Futures Association.The Aon Investments ADV Form Part 2A disclosure statement is available upon written request to:
Aon Investments USA Inc.200 East Randolph StreetSuite 700Chicago, IL 60601ATTN: Aon Investments Compliance Officer
Disclaimer
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