18
18. Presentation by RVK, Inc. – 2019 Fourth Quarter Portfolio Performance Report
Water and Power Employees' Retirement Plan
Period Ended: December 31, 2019
Water and Power Employees’ Retirement Plan As of December 31, 2019
Table of Contents
Executive Summary Tab 1
Watch List Tab 2
Capital Markets Review Tab 3
Total Fund – Retirement Tab 4
Total Fund – Health Tab 5
Total Fund – Death and Disability Tab 6
Composite and Manager Reviews Tab 7
Appendix Tab 8
Page 3
Performance shown is gross of fees, except for the hedge fund composite/managers which are net of fees.
Capital Markets Review The fourth quarter of 2019 was a strong period for global equity markets, with representative US, developed non-US, and emerging market indexes each substantially adding to gains realized earlier in the year. Emerging markets led with returns of 11.8%, while US markets added 9.1% to calendar year returns. Credit markets also finished in positive territory, as supportive financial conditions and a general risk-on market sentiment drove spreads to tighten across the quality spectrum. The only major asset class to struggle in Q4 was long duration government bonds, although the losses sustained were minimal in the context of a very strong year that saw yields fall considerably on longer maturity debt. Full-year gains for the S&P 500 Index finished at 31.5%, though performance did not appear to derive meaningfully from earnings growth. Rather, valuations, defined by the 12-month forward P/E ratio, climbed throughout 2019. Forward P/E ratios began the year roughly in line with their 10-year average of 14.9, but finished at 18.3, while year-over-year earnings growth estimates were roughly flat. Valuations in this range are among the highest seen during the post-crisis economic expansion, only historically surpassed to a significant degree during the early 2000s tech bubble. Falling discount rates drove valuations and performance for US equities during the first half of the year, but increases in Q4 appeared more directly tied to optimism around international trade. Bilateral negotiations between the US and China resulted in an announced “Phase One” trade agreement, including a partial rollback of tariffs, which de-escalated trade tensions to a degree. Markets reacted positively to speculation around the prospects of this agreement throughout the quarter with much tied to its successful implementation. The most recent World Bank Global Economic Prospects report cited weakness in global trade and investment as key factors contributing to the global growth slowdown realized in 2019—much of it directly related to trade tensions between the US and China. The report found that 2019 global GDP growth forecasts fell by 0.2% from June’s estimate to 2.4%. Emerging market economies, the traditional engine for global growth, saw 2019 growth estimates fall 0.5% over the prior period, to 3.5%. US economic data released during Q4 was generally positive—although softness remains in some key sectors, such as manufacturing. By December, the Institute for Supply Management (ISM) Purchasing Managers Index (PMI) was below 50 for the 5th straight month, indicating contraction in the manufacturing sector. However, job growth in the US continues to be positive, with monthly non-farm payrolls expanding by an average of 184,000 per month during Q4 and the unemployment rate finishing the year at 3.5%. The US remains a bright spot for growth in developed economies, while much of Europe and Japan continue to struggle. Global central banks remain accommodative, though the market expects little additional help from the Federal Reserve in 2020. During its most recent meeting, the Federal Reserve Open Market Committee (FOMC) did not forecast any additional rate cuts in 2020.
Executive Summary
Page 4
Performance shown is gross of fees, except for the hedge fund composite/managers which are net of fees.
Total Fund During the fourth quarter, the Retirement Plan underperformed its policy benchmark by 10 basis points and ranked in the 50th percentile among peers. The Health Plan underperformed its policy benchmark by 8 basis points and ranked in the 49th percentile among peers. Over the one-year trailing period, the Retirement Plan outperformed its policy benchmark by 11 basis points, and ranked in the 57th percentile among peers. The Health Plan outperformed the policy benchmark by 37 basis points, and ranked in the 54th percentile among peers.
Domestic Equity The Domestic Equity Composite underperformed the Russell 3000 Index for the quarter, returning 8.93% versus 9.10% for the index. This performance ranked the composite in the 47th percentile among peers. Emerald Small Cap Growth posted the highest absolute performance for the quarter, returning 11.32%, while underperforming the Russell 2000 Growth Index by 7 basis points. MFS Large Cap Value posted the lowest absolute performance, returning 7.35% for the quarter and underperforming the Russell 1000 Value Index by 6 basis points.
International Equity The International Equity Composite slightly underperformed the MSCI ACW Ex US IM Index for the quarter, returning 9.19% versus 9.20% for the index. This performance ranked the composite in the 61st percentile among peers. LA Capital Emerging posted the highest absolute returns, returning 11.74% and outperforming the MSCI Emerging Markets IM Index by 15 basis points. MFS Developed Int'l posted the lowest absolute performance, returning 8.09% for the quarter and underperforming the MSCI World Ex US IM Index by 27 basis points.
Fixed Income The Fixed Income Composite modestly outperformed the Fixed Income Custom Index for the quarter, returning 0.98% versus 0.97%, respectively. This performance ranked the composite in the 17th percentile among peers. Neuberger Unconstrained posted the highest absolute and relative performance for the quarter, outperforming the 67% Bloomberg Global Credit/33% Bloomberg Global High Yield Index by 16 basis points and ranking 49th among peers. JP Morgan Principal Protection posted the lowest absolute performance, returning 0.17% for the quarter and underperforming the Bloomberg US Int Agg Ex Credit Index by 14 basis points.
Page 5
Performance shown is gross of fees, except for the hedge fund composite/managers which are net of fees.
Alternative Asset Classes
REAL RETURN The Real Return Composite underperformed the Consumer Price Index+3% by 116 basis points during the fourth quarter. Invesco Commodity and Molpus IV drove absolute composite performance, returning 4.85% gross of fees and 0.68% net of fees, respectively. Hancock Timberland and WAMCO detracted from composite performance, returning -0.65% net of fees and -1.16% gross of fees, respectively.
HEDGE FUNDS The Hedge Funds Composite posted positive absolute returns, underperforming the ICE BofAML 3 Month US T-Bill Index+3% (1 Month Lag) by 119 basis points during the fourth quarter with Blackstone Hope St. returning 0.05%.
Page 6
Page 7
Water and Power Employees' Retirement PlanWatch List Summary
As of December 31, 2019
MTD YTD 1 Year 3 Year 5 Year
Continue On Watch
Fidelity Developed Int'l (SA) 3.38 25.29 25.29 9.85 5.74International Developed Blend 3.40 22.91 22.91 9.49 5.79
LA Capital Emerging (CF) 7.29 17.34 17.34 10.24 4.72MSCI Emg Mkts IM Index (USD) (Net) 7.32 17.65 17.65 11.00 5.30
Macquarie Unconstrained (SA) 0.97 13.21 13.21 5.78 N/A67% B Global Credit/33% B Global High Yield 1.10 12.53 12.53 5.78 5.36
Neuberger Unconstrained (SA) 1.18 13.66 13.66 6.87 N/A67% B Global Credit/33% B Global High Yield 1.10 12.53 12.53 5.78 5.36
WAMCO (SA) 0.13 7.84 7.84 3.42 3.76Bloomberg Wrld Gov't Infl Lnkd Index (Hedged) -0.44 8.38 8.38 3.88 4.08
Performance and management are continuously being monitored. The manager
last provided an update to the Board on 06/26/2019.
Recommendation
Performance and management are continuously being monitored. The manager
last provided an update to the Board on 10/02/2019.
2/13/2019
Organization concerns.
Performance and management are continuously being monitored. The manager
last provided an update to the Board on 05/23/2018.
Watch List Managers
3/31/2019 4/10/2019
Date Qualified for Watch
Organization concerns and failure to meet performance criteria.
Reasons on Watch
Recent PerformanceDate Board Approved
Manager for Watch
12/31/2018
4/12/2017
Failure to meet performance criteria.
12/31/2018 1/23/2019 Portfolio manager turnover.
9/30/2016 11/9/2016
3/31/2017 Failure to meet performance criteria.
On 03/13/2019 the Board approved a new Real Return structure which included the
elimination of GILS going forward. Performance and management are
continuously being monitored. The manager last provided an update to the Board on
12/18/2019.
Performance and management are continuously being monitored. The manager
last provided an update to the Board on 06/26/2019. The Board voted to remove
Neuberger Berman from the watch list during the 01/22/2020 Regular Board Meeting.
Performance shown is net of fees.
Page 8
Page 9
Capital Markets Review As of December 31, 2019
Economic Indicators Dec-19 Sep-19 Dec-18 Dec-16 20 Yr1.55 ▼ 1.90 2.40 0.55 1.791.70 ▲ 1.35 1.49 1.86 1.851.79 ▲ 1.52 1.71 1.97 2.032.3 ▲ 1.7 1.9 2.1 2.23.5 ─ 3.5 3.9 4.7 5.9N/A 2.1 2.5 2.0 2.147.2 ▼ 47.8 54.3 54.3 52.7
90.82 ▼ 93.25 91.79 95.72 86.0761.1 ▲ 54.1 45.4 53.7 61.9
1,517 ▲ 1,472 1,282 1,148 935Market Performance (%) CYTD 1 Yr 5 Yr 10 Yr
31.49 31.49 11.70 13.5625.53 25.53 8.23 11.8322.01 22.01 5.67 5.5024.96 24.96 8.85 8.7418.44 18.44 5.61 3.688.72 8.72 3.05 3.752.28 2.28 1.07 0.585.34 5.34 8.97 11.42
26.00 26.00 7.21 11.948.33 8.33 2.35 2.827.69 7.69 -3.92 -4.73
Russell 2000MSCI EAFE (Net)MSCI EAFE SC (Net)MSCI Emg Mkts (Net)Bloomberg US Agg Bond
Key Economic Indicators
Treasury Yield Curve (%)
Key Economic IndicatorsThe fourth quarter of 2019 was a strong quarter for global equity markets, with representative US, developed non-US, and emerging market indices each substantially adding to gains realized earlier in the year. Credit markets also finished in positive territory, as supportive financial conditions and a general risk-on market sentiment drove spreads to tighten across the quality spectrum. Falling discount rates drove valuations and performance for US equities during the first half of the year, but increases in Q4 appeared more directly tied to optimism around international trade. Bilateral negotiations between the US and China finally resulted in an announced “Phase One” trade agreement, including a partial rollback of tariffs, which de-escalated trade tensions to a degree. US economic data released during Q4 was generally positive—although softness remains in some key sectors, such as manufacturing. The ISM PMI value was below 50 in Q4, indicating contraction in the manufacturing sector. Global central banks remain accommodative, though the market expects little additional help from the Federal Reserve in 2020. During its most recent meeting, the FOMC did not forecast any additional rate cuts in 2020.
Fourth Quarter Economic Environment
UnemploymentRate (%)
Since 1948
CPI Year-over-Year (% change)
Since 1914
US Govt Debt (% of GDP)Since 1940
VIX Index(Volatility)Since 1990
Consumer ConfidenceSince 1967
Unemployment Rate (%)
Federal Funds Rate (%)Breakeven Infl. - 5 Yr (%)Breakeven Infl. - 10 Yr (%)CPI YoY (Headline) (%)
Real GDP YoY (%)
USD Total Wtd IdxWTI Crude Oil per Barrel ($)Gold Spot per Oz ($)
S&P 500 (Cap Wtd)
PMI - Manufacturing
3.034.42
ICE BofAML 3 Mo US T-BillNCREIF ODCE (Gross)FTSE NAREIT Eq REIT (TR)HFRI FOF CompBloomberg Cmdty (TR)
11.840.180.461.51
-0.76
QTD9.079.948.17
11.52
0.00
0.50
1.00
1.50
2.00
2.50
3.00
3.50
3M 6M 1Y 2Y 5Y 7Y 10Y 20Y 30Y
Dec-19 Sep-19 Dec-18 Dec-17 Dec-16
0
2
4
6
8
10
12
20
40
60
80
100
120
0
10
20
30
40
50
60
70
20
40
60
80
100
120
140
160
-20-15-10-505
1015202530
2.3
Treasury data courtesy of the US Department of the Treasury. Economic data courtesy of Bloomberg Professional Service.Page 10
US Equity Review As of December 31, 2019
Broad MarketUS markets enjoyed a strong finish to the year amid de-escalation of the US-China trade war and stimulative monetary policy from the Fed. The quarter saw high single and low double digit returns for major indexes across all size segments and styles. The strong quarter pushed the S&P 500 Index to a 31.5% return on the year.
Market CapLarge and mid-cap stocks lagged slightly behind small-cap stocks in Q4, with the Russell 2000 Index returning 9.9% and the S&P 500 and Russell MidCap Indexes returning 9.1% and 7.1%, respectively.
Style and SectorActive managers struggled to keep up with strong benchmark returns in Q4. In addition, value-tilted managers performed notably better than growth and core managers in the quarter.
Style and Capitalization Market Performance (%)
S&P 500 Index Sector Performance (%)
Fourth Quarter Review
Valuations
US Large-Cap Equity
R1000 12M P/ESince 1995
US Large-Cap Growth Equity
R1000G 12M P/ESince 1995
US Large-Cap Value Equity
R1000V 12M P/ESince 1995
US Small-Cap Equity
R2000 12M P/ESince 1995
US Large-Cap Equity
Shiller S&P 10Y P/ESince 1900
22.43
28.48
22.39
25.53
30.54
36.39
26.54
31.43
31.75
31.02
31.49
13.45
11.39
8.49
9.94
7.06
10.62
7.41
9.04
9.79
9.10
9.07
-5 5 15 25 35 45
R Micro CapR 2000 Growth
R 2000 ValueR 2000
R Mid CapR 1000 Growth
R 1000 ValueR 1000
R Top 200R 3000
S&P 500 QTD
1 Yr
26.35
32.69
24.58
50.29
29.37
20.82
29.01
32.13
11.81
27.61
27.94
0.75
9.00
6.38
14.40
5.53
14.37
-0.54
10.47
5.49
3.51
4.47
-20 -5 10 25 40 55 70
UtilitiesComm Services
Materials
Information TechIndustrials
Health Care
Real EstateFinancials
Energy
Cons Staples
Cons Discretion QTD
1 Yr
0
5
10
15
20
25
30
35
10
15
20
25
30
20
40
60
80
100
10
15
20
25
10
20
30
40
50
Valuation data courtesy of Bloomberg Professional Service and Robert J. Shiller, Irrational Exuberance, Second Edition.P/E metrics shown represent the 5th through 95th percentiles to minimize the effect of outliers.
Page 11
Non-US Equity Review As of December 31, 2019
Developed MarketsDeveloped international markets delivered strong absolute returns in Q4, but they still lagged both domestic and emerging markets. By country, returns for the quarter were positive almost across the board, with only Belgium ending in slightly negative territory. However, Q4 returns were largely driven by multiple expansion, as growth continues to be weak in developed international markets.
Emerging MarketsEmerging markets outperformed all other equity markets in Q4. Returns were largely lifted by the announcement of the initial phase of a trade deal between China and US, potentially indicating de-escalation in the ongoing trade war.
Market Cap & StyleIn developed international markets, value stocks continued to underperform growth, while small-cap stocks outperformed large-cap for the quarter. In emerging markets, growth stocks outperformed value and large-cap outperformed small-cap.
Developed IntlEquity
MSCI EAFE12M P/E
Since 1995
Intl EquityMSCI ACW x US
12M P/ESince 1995
MSCI Style and Capitalization Market Performance (%)
MSCI Region Performance (%)
EmergingMarkets Equity
MSCI EM12M P/E
Since 1995
Developed Intl Growth Equity
MSCI EAFE Grth12M P/E
Since 1995
Developed Intl Value Equity
MSCI EAFE Val12M P/E
Since 1995
Fourth Quarter Review
Valuations
18.44
19.25
23.77
24.96
27.90
16.09
22.01
21.51
11.84
7.03
8.84
11.52
8.45
7.82
8.17
8.92
0 5 10 15 20 25 30 35
Emg Mkts
Pacific
Europe
EAFE SC
EAFE Growth
EAFE Value
EAFE
ACW Ex US QTD
1 Yr
18.44
27.50
19.61
18.36
9.59
21.05
24.81
11.84
4.89
7.64
5.78
7.23
9.95
8.46
0 5 10 15 20 25 30 35
Emg Mkts
Canada
Japan
Pacific ex Japan
Middle East
United Kingdom
Europe Ex UK QTD1 Yr
0
20
40
60
80
100
0
10
20
30
40
0
10
20
30
40
50
60
0
10
20
30
40
50
0
10
20
30
40
50
Valuation data courtesy of Bloomberg Professional Service.P/E metrics shown represent the 5th through 95th percentiles to minimize the effect of outliers.All returns are shown net of foreign taxes on dividends.
Page 12
Fixed Income Review As of December 31, 2019
US Aggregate Bonds
Bloomberg US Agg SpreadsSince 2000
US Corporate Bonds
Bloomberg US Corp Spreads
Since 1989
US CreditBonds
Bloomberg US Credit Spreads
Since 2000
US Treasury Bonds10-Yr US Treasury
YieldsSince 1953
US High-Yield Bonds
Bloomberg US Corp:HY Spreads
Since 2000
Fixed Income Performance (%)Broad MarketAfter a solid first three quarters supported by declining rates, the Bloomberg US Aggregate Index finished the year more subdued, returning just 0.2% for the final quarter. The Bloomberg US Government Long Duration Index fell sharply, finishing the quarter with a -4.1% return, but the index still ended the year in positive territory with a return of 14.7%. Credit MarketCorporate credit fared better than the broader index for the quarter, as strong economic data signaled optimism for the sector. Spreads tightened over the quarter, and the Bloomberg US Corporate Index returned 1.2%, contributing to an already-impressive annual return of 14.5%. Emerging Market Debt Hard currency emerging markets debt also added to a strong year. The JPM EMBI Global Diversified Index posted 1.8% in the final quarter to finish the year up 15.0%.
Fourth Quarter Review
Valuations
13.47
14.42
5.90
6.84
8.17
14.32
4.53
6.35
5.89
14.54
8.27
8.43
6.86
8.72
5.20
2.09
-0.35
0.49
1.68
2.61
0.39
0.71
-0.09
1.18
-0.31
0.79
-0.79
0.18
-5 0 5 10 15 20
JPM GBI-EM Glbl Dvf'd (USD)(Unhedged)
JPM Emg Mkts Bond Global
FTSE Wrld Gov't Bond
Bloomberg Global Agg Bond
CS Leveraged Loan
Bloomberg US Corp Hi Yld
Bloomberg US ABS
Bloomberg US MBS
Bloomberg US Agcy
Bloomberg US Corp Credit
Bloomberg US CMBS Inv Grade
Bloomberg US Trsy US TIPS
Bloomberg US Trsy
Bloomberg US Agg QTD
1 Yr
0
2
4
6
8
10
12
14
0.00.10.20.30.40.50.60.70.80.91.0
0.0
0.5
1.0
1.5
2.0
2.5
3.0
0.0
0.5
1.0
1.5
2.0
2.5
3.0
3.5
0123456789
10
Valuation data courtesy of Bloomberg Professional Service.Valuations shown represent the 5th through 95th percentiles to minimize the effect of outliers.
Page 13
Alternatives Review As of December 31, 2019
General Market - Diversified Inflation Strategies (DIS)Performance of DIS managers ranged widely throughout both Q4 and the calendar year, though nearly all managers provided significantly stronger than typical positive absolute returns. Managers with larger TIPS allocations tended to underperform peers for the year, despite still achieving their own real return expectations. DIS managers that outperformed peers by the widest margins emphasized allocations to REITs, global listed infrastructure, and/or global natural resource equities.
General Market - Real EstateCore private real estate returned 1.5% during the quarter (on a preliminary basis), as reported by the NCREIF-ODCE Index, with the total return comprised of 1.0% income and 0.5% price appreciation. While the income component stayed in-line with historical levels, price appreciation experienced a modest increase of 0.2% compared to the relatively flat Q3 return. Investments in publicly traded real estate trailed their private market counterparts during Q4.
General Market - Hedge FundsHedge funds finished the year on a positive note, as the vast majority of strategies in the space added to gains realized earlier in the year. The HFRI Equity Hedge Index return for 2019, at 13.7%, was the best returning year for the index since 2013. Fund of Hedge Funds that maintained significant strategic exposure to Long/Short Equity and Long/Short Credit outperformed funds that rotated towards diversifying, market neutral strategies.
General Market - Global Tactical Asset Allocation (GTAA)Most GTAA managers showed positive absolute performance in 2019, though they generally underperformed a static and less diversified blend of 60% US equity and 40% US fixed income. Nearly all GTAA managers underperformed this measure due to the extraordinarily strong 2019 performance of US large-cap equities compared to most of the other diversifying global asset classes included within GTAA strategies. Generally, those with the strongest returns in 2019 held higher relative allocations to US equities as opposed to developed international or emerging market equities.
Fourth Quarter Review - Absolute Return
HFRI Hedge Fund Performance (%)
Fourth Quarter Review - Real Assets
Real Asset Performance (%)
12.76
6.78
7.53
7.46
6.46
2.92
2.29
13.74
10.35
8.33
3.44
2.38
2.88
1.88
-0.23
-0.11
0.35
5.72
2.34
3.03
-5 0 5 10 15 20
Credit Arb
Merger Arb
Event Driven
Relative Value
Macro
Distressed
Mkt Neutral Eq
Equity Hedge
Conv Arbitrage
HFRI FOF QTD
1 Yr
8.43
6.56
17.20
7.69
26.00
6.42
5.34
0.79
-4.08
9.55
4.42
-0.76
1.55
1.51
-15 -5 5 15 25 35
Bloomberg US Trsy: US TIPS
Alerian MLP
S&P Glbl Nat. Res. (TR)
Bloomberg Cmdty (TR)
FTSE NAREIT Eq REITs (TR)
NCREIF Property
NCREIF ODCE (Gross) QTD
1 Yr
Page 14
2005 2006 2007 2008 2009 2010 2011 2012 2013 2014 2015 2016 2017 2018 CYTD
Best34.00 35.03 39.38 8.44 78.51 27.94 22.49 20.00 38.82 30.14 15.02 21.31 37.28 8.35 31.49
26.19 32.18 16.23 5.24 58.21 26.85 15.99 18.23 32.39 19.31 9.59 17.13 33.01 1.87 26.00
21.39 26.34 15.97 2.06 46.78 22.04 13.56 18.06 29.30 13.69 3.20 11.96 25.03 0.01 25.53
21.36 19.31 11.63 -2.35 31.78 18.88 8.29 17.32 22.78 12.50 1.38 11.77 21.83 -1.26 24.96
13.54 18.37 11.17 -10.01 28.01 16.83 7.84 16.35 13.94 5.97 0.55 11.19 14.65 -2.08 22.01
12.17 16.32 10.25 -21.37 27.17 16.36 4.98 16.00 8.96 4.89 0.05 8.77 10.71 -4.02 19.59
7.49 15.79 6.97 -26.16 26.46 15.12 2.11 15.81 7.44 3.64 -0.27 8.52 7.77 -4.38 18.44
5.34 11.86 6.60 -33.79 18.91 15.06 0.10 10.94 2.47 3.37 -0.81 6.67 7.62 -4.62 14.32
4.91 10.39 5.49 -35.65 11.47 10.16 -4.18 8.78 0.07 2.45 -1.44 4.68 7.50 -4.68 8.72
4.55 4.85 5.00 -37.00 11.41 7.75 -5.72 6.98 -2.02 0.04 -3.30 2.65 5.23 -11.01 8.43
3.07 4.34 1.87 -37.74 5.93 6.54 -12.14 4.79 -2.60 -2.19 -4.41 2.18 3.54 -11.25 8.33
2.84 2.72 1.45 -43.38 1.92 6.31 -13.32 4.21 -8.61 -4.90 -4.47 1.00 3.01 -13.79 7.69
2.74 2.07 -1.57 -47.01 0.21 5.70 -15.94 0.11 -8.83 -4.95 -14.92 0.51 1.70 -14.58 5.34
Worst2.43 0.49 -15.70 -53.33 -29.76 0.13 -18.42 -1.06 -9.52 -17.01 -24.66 0.33 0.86 -17.89 2.28
S&P 500 -US Large
Cap
R 2000 -US Small
Cap
MSCI EAFE(Net) - Int'l
Dev.
MSCI EAFESC (Net) -
Int'l SC
MSCI EM(Net) - Int'lEmg Mkts
BloombrgUS Agg
Bond - FI
BloombrgUS Corp Hi
Yield - FI
BloombrgUS Trsy US
TIPS - FI
BloombrgUS Gov
Credit Lng- FI
NCREIFODCE
(Gross) -Real Estate
FTSENAREIT Eq
REITsIndex (TR)
HFRI FOFCompIndex -
ARS
BloombrgCmdty (TR)- Commod.
ICEBofAML 3Mo T-Bill -
Cash Equiv
Annual Asset Class Performance As of December 31, 2019
NCREIF ODCE (Gross) performance is reported quarterly; performance is shown N/A in interim-quarter months.
Page 15
Page 16
Asset Allocation by Manager
Schedule of Investable Assets - FYTD
December 31, 2019 : $13,624,336,422 Market Value($)
Allocation(%)
BlackRock Russell 1000 Index (CF) 1,473,819,293 10.82
Real Estate 926,493,885 6.80
T. Rowe Price Large Cap Growth (SA) 867,071,016 6.36
Jennison Large Cap Growth (SA) 778,255,250 5.71
JP Morgan Principal Protection (SA) 765,029,730 5.62
Wells Principal Protection (SA) 761,132,722 5.59
Neuberger Unconstrained (SA) 739,580,211 5.43
Private Equity 717,538,631 5.27
MFS Large Cap Value (SA) 712,399,936 5.23
Macquarie Unconstrained (SA) 708,654,466 5.20
T. Rowe Price Large Cap Value (SA) 708,097,385 5.20
MFS Developed Int'l (SA) 695,159,122 5.10
Fidelity Developed Int'l (SA) 640,959,284 4.70
BlackRock Developed Int'l - Passive (CF) 632,595,754 4.64
Blackstone Hope St. LP (CF) (Lagged-1 Mo) - Net 619,044,652 4.54
WAMCO (SA) 417,019,459 3.06
Wellington Emerging (SA) 349,182,740 2.56
LA Capital Emerging (CF) 330,093,532 2.42
Earnest Partners Small Cap Value (SA) 194,886,282 1.43
Emerald Small Cap Growth (SA) 192,166,556 1.41
Pacific Asset Bank Loans (SA) 156,547,639 1.15
Invesco Commodity (CF) 132,239,557 0.97
Cash Equivalents 78,118,949 0.57
Molpus IV (CF) (Lagged-1 Qtr) 17,190,271 0.13
Hancock Timberland (CF) (Lagged-1 Qtr) 11,032,450 0.08
Fred Alger Large Cap Growth (SA) 27,650 0.00
MS Convergent (CF) (Lagged-1 Mo) 1 0.00
Periods EndingBeginning
Market Value ($)Gain/Loss ($)
EndingMarket Value ($)
% Return Unit Value
FYTD 12,934,712,863 689,623,559 13,624,336,422 5.88 105.88
Water and Power Employees' Retirement PlanAsset Allocation by Manager and Schedule of Investable Assets - Retirement
As of December 31, 2019
Allocations shown may not sum up to 100% exactly due to rounding. Performance shown is gross of fees. Fiscal year ends 06/30. During 03/2019, Fred Alger Large Cap Growth (SA) was liquidated and market value shown represents residual assets from residual income. Market value shown for MS Convergent (CF) represents residual assets after the holdback was received on 10/11/2019.
Page 17
Asset Allocation vs. Target Allocation Asset Allocation vs. Target Allocation Differences
Asset Allocation vs. All Public Plans-Total Fund
Market Value($)
Allocation(%)
Target(%)
Domestic Equity 4,926,723,367 36.16 32.50
International Equity 2,647,990,432 19.44 19.00
Fixed Income 3,130,944,768 22.98 25.50
Real Return 577,481,737 4.24 5.00
Hedge Funds 619,044,653 4.54 5.00
Real Estate 926,493,885 6.80 7.00
Private Equity 717,538,631 5.27 5.00
Cash Equivalents 78,118,949 0.57 1.00
Total Fund 13,624,336,422 100.00 100.00
US Equity Intl. Equity US Fixed Income Intl. Fixed Income Alternative Inv. Real Estate Cash
Total Fund (Retirement) 36.16 (60) 19.44 (28) 22.98 (60) 0.00 14.05 (45) 6.80 (63) 0.57 (77)
Median 40.64 15.18 25.69 3.94 11.28 8.46 1.38
Population 578 535 524 185 162 283 374
Water and Power Employees' Retirement PlanTotal Fund (Retirement) vs. All Public Plans-Total FundAsset Allocation vs. Target and Plan Sponsor Peer Group - Retirement
As of December 31, 2019
Parentheses contain percentile ranks. Allocations shown may not sum up to 100% exactly due to rounding. At the 12/18/2019 Board Meeting, new interim targets were approved.
Page 18
QTD FYTD 1 Year3
Years5
Years7
Years10
Years2018 2017 2016
SinceIncep.
InceptionDate
Total Fund (Retirement) 5.19 5.88 17.93 10.12 7.74 8.99 8.65 -2.84 16.53 6.94 6.93 01/01/2005
Retirement Policy Benchmark 5.29 6.27 17.82 9.78 7.63 8.66 8.64 -2.52 15.21 8.37 6.77
Difference -0.10 -0.39 0.11 0.34 0.11 0.33 0.01 -0.32 1.32 -1.43 0.16
All Public Plans-Total Fund Median 5.19 6.02 18.46 9.37 7.03 7.97 8.18 -4.13 15.21 7.42 6.57
Rank 50 56 57 23 16 19 33 23 25 60 28
Domestic Equity 8.93 9.37 29.96 15.48 11.89 15.16 13.72 -3.99 23.44 11.68 8.44 04/01/2001
Russell 3000 (Blended) (R) 9.10 10.37 31.02 14.57 11.24 14.38 13.42 -5.24 21.13 12.74 7.92
Difference -0.17 -1.00 -1.06 0.91 0.65 0.78 0.30 1.25 2.31 -1.06 0.52
All Public Plans-US Equity Segment Median 8.75 9.49 30.04 13.83 10.57 13.88 13.24 -5.88 20.32 12.87 N/A
Rank 47 58 51 4 7 5 21 8 7 77 N/A
MFS Large Cap Value (SA) 7.35 10.10 30.57 11.59 9.97 13.68 12.51 -9.67 17.82 15.80 9.69 03/01/2004
Russell 1000 Val Index 7.41 8.86 26.54 9.68 8.29 12.20 11.80 -8.27 13.66 17.34 7.99
Difference -0.06 1.24 4.03 1.91 1.68 1.48 0.71 -1.40 4.16 -1.54 1.70
IM U.S. Large Cap Value Equity (SA+CF) Median 7.92 9.54 27.32 10.76 8.94 12.78 12.15 -8.35 17.24 14.52 8.81
Rank 64 41 21 39 27 28 40 63 44 39 24
MFS Large Cap Value (SA) - Net 7.28 9.94 30.19 11.26 9.63 13.34 12.16 -9.94 17.46 15.45 9.33 03/01/2004
Russell 1000 Val Index 7.41 8.86 26.54 9.68 8.29 12.20 11.80 -8.27 13.66 17.34 7.99
Difference -0.13 1.08 3.65 1.58 1.34 1.14 0.36 -1.67 3.80 -1.89 1.34
T. Rowe Price Large Cap Value (SA) 7.54 9.67 26.98 11.04 9.49 13.42 12.67 -7.63 16.74 17.14 9.45 10/01/2004
Russell 1000 Val Index 7.41 8.86 26.54 9.68 8.29 12.20 11.80 -8.27 13.66 17.34 8.20
Difference 0.13 0.81 0.44 1.36 1.20 1.22 0.87 0.64 3.08 -0.20 1.25
IM U.S. Large Cap Value Equity (SA+CF) Median 7.92 9.54 27.32 10.76 8.94 12.78 12.15 -8.35 17.24 14.52 9.11
Rank 58 47 53 47 39 35 35 42 59 27 39
T. Rowe Price Large Cap Value (SA) - Net 7.46 9.51 26.60 10.72 9.17 13.09 12.33 -7.90 16.40 16.80 9.10 10/01/2004
Russell 1000 Val Index 7.41 8.86 26.54 9.68 8.29 12.20 11.80 -8.27 13.66 17.34 8.20
Difference 0.05 0.65 0.06 1.04 0.88 0.89 0.53 0.37 2.74 -0.54 0.90
Water and Power Employees' Retirement PlanComparative Performance - Retirement
As of December 31, 2019
Performance shown is gross of fees, except where noted. Performance is annualized for periods greater than one year. Inception dates shown represent the first full month following initial funding. Fiscal year ends 06/30. Please see the Addendum for custom index descriptions.
Page 19
Water and Power Employees' Retirement PlanComparative Performance - Retirement
As of December 31, 2019
QTD FYTD 1 Year3
Years5
Years7
Years10
Years2018 2017 2016
SinceIncep.
InceptionDate
BlackRock Russell 1000 Index (CF) 9.04 10.60 31.28 15.02 11.48 14.61 13.55 -4.74 21.70 12.09 9.82 09/01/2003
Russell 1000 Index 9.04 10.59 31.43 15.05 11.48 14.60 13.54 -4.78 21.69 12.05 9.77
Difference 0.00 0.01 -0.15 -0.03 0.00 0.01 0.01 0.04 0.01 0.04 0.05
IM U.S. Large Cap Core Equity (SA+CF) Median 8.20 10.05 29.96 14.32 11.17 14.59 13.39 -5.17 21.83 10.52 9.97
Rank 33 33 37 39 40 50 43 43 53 32 62
BlackRock Russell 1000 Index (CF) - Net 9.04 10.60 31.28 15.02 11.48 14.60 13.54 -4.74 21.70 12.09 9.76 09/01/2003
Russell 1000 Index 9.04 10.59 31.43 15.05 11.48 14.60 13.54 -4.78 21.69 12.05 9.77
Difference 0.00 0.01 -0.15 -0.03 0.00 0.00 0.00 0.04 0.01 0.04 -0.01
T. Rowe Price Large Cap Growth (SA) 9.46 8.66 28.29 22.46 16.92 19.37 N/A 4.79 36.61 5.78 16.04 04/01/2010
Russell 1000 Grth Index 10.62 12.27 36.39 20.49 14.63 16.92 15.22 -1.51 30.21 7.08 15.10
Difference -1.16 -3.61 -8.10 1.97 2.29 2.45 N/A 6.30 6.40 -1.30 0.94
IM U.S. Large Cap Growth Equity (SA+CF) Median 9.62 10.20 33.81 19.44 13.57 16.46 14.76 -0.90 28.16 4.68 14.60
Rank 56 75 89 24 6 5 N/A 9 6 41 14
T. Rowe Price Large Cap Growth (SA) - Net 9.37 8.48 27.88 22.07 16.54 18.99 N/A 4.46 36.17 5.42 15.66 04/01/2010
Russell 1000 Grth Index 10.62 12.27 36.39 20.49 14.63 16.92 15.22 -1.51 30.21 7.08 15.10
Difference -1.25 -3.79 -8.51 1.58 1.91 2.07 N/A 5.97 5.96 -1.66 0.56
Jennison Large Cap Growth (SA) 10.65 8.64 N/A N/A N/A N/A N/A N/A N/A N/A 19.79 02/01/2019
Russell 1000 Grth Index 10.62 12.27 36.39 20.49 14.63 16.92 15.22 -1.51 30.21 7.08 25.14
Difference 0.03 -3.63 N/A N/A N/A N/A N/A N/A N/A N/A -5.35
IM U.S. Large Cap Growth Equity (SA+CF) Median 9.62 10.20 33.81 19.44 13.57 16.46 14.76 -0.90 28.16 4.68 23.01
Rank 26 76 N/A N/A N/A N/A N/A N/A N/A N/A 79
Jennison Large Cap Growth (SA) - Net 10.59 8.50 N/A N/A N/A N/A N/A N/A N/A N/A 19.52 02/01/2019
Russell 1000 Grth Index 10.62 12.27 36.39 20.49 14.63 16.92 15.22 -1.51 30.21 7.08 25.14
Difference -0.03 -3.77 N/A N/A N/A N/A N/A N/A N/A N/A -5.62
Earnest Partners Small Cap Value (SA) 7.59 8.52 30.76 11.12 10.85 14.11 13.72 -14.73 23.07 24.79 9.45 12/01/2004
Russell 2000 Val Index 8.49 7.87 22.39 4.77 6.99 10.13 10.56 -12.86 7.84 31.74 7.05
Difference -0.90 0.65 8.37 6.35 3.86 3.98 3.16 -1.87 15.23 -6.95 2.40
IM U.S. Small Cap Value Equity (SA+CF) Median 7.96 7.59 25.07 5.48 7.66 11.49 12.08 -14.30 11.58 26.11 9.21
Rank 57 36 9 9 10 6 13 55 4 59 42
Earnest Partners Small Cap Value (SA) - Net 7.45 8.22 30.04 10.51 10.23 13.47 13.07 -15.20 22.39 24.08 8.77 12/01/2004
Russell 2000 Val Index 8.49 7.87 22.39 4.77 6.99 10.13 10.56 -12.86 7.84 31.74 7.05
Difference -1.04 0.35 7.65 5.74 3.24 3.34 2.51 -2.34 14.55 -7.66 1.72
Performance shown is gross of fees, except where noted. Performance is annualized for periods greater than one year. Inception dates shown represent the first full month following initial funding. Fiscal year ends 06/30. Please see the Addendum for custom index descriptions.
Page 20
Water and Power Employees' Retirement PlanComparative Performance - Retirement
As of December 31, 2019
QTD FYTD 1 Year3
Years5
Years7
Years10
Years2018 2017 2016
SinceIncep.
InceptionDate
Emerald Small Cap Growth (SA) 11.32 3.60 30.34 14.74 N/A N/A N/A -10.54 29.53 10.02 11.74 12/01/2015
Russell 2000 Grth Index 11.39 6.75 28.48 12.49 9.34 13.08 13.01 -9.31 22.17 11.32 10.60
Difference -0.07 -3.15 1.86 2.25 N/A N/A N/A -1.23 7.36 -1.30 1.14
IM U.S. Small Cap Growth Equity (SA+CF) Median 9.36 4.89 28.42 15.80 11.48 14.67 14.43 -4.24 23.81 11.40 13.17
Rank 29 65 44 56 N/A N/A N/A 84 21 59 64
Emerald Small Cap Growth (SA) - Net 11.16 3.29 29.57 14.06 N/A N/A N/A -11.06 28.77 9.37 11.08 12/01/2015
Russell 2000 Grth Index 11.39 6.75 28.48 12.49 9.34 13.08 13.01 -9.31 22.17 11.32 10.60
Difference -0.23 -3.46 1.09 1.57 N/A N/A N/A -1.75 6.60 -1.95 0.48
International Equity 9.19 7.12 22.69 11.15 6.90 7.36 5.84 -13.46 29.34 3.09 6.36 07/01/2004
MSCI ACW Ex US IM Index (Blended) 9.20 7.33 21.63 9.84 5.71 5.65 5.21 -14.76 27.81 4.41 6.38
Difference -0.01 -0.21 1.06 1.31 1.19 1.71 0.63 1.30 1.53 -1.32 -0.02
All Public Plans-Intl. Equity Segment Median 9.64 8.12 23.77 11.03 6.68 6.90 6.52 -13.67 28.75 4.00 7.01
Rank 61 88 71 47 42 26 86 43 38 71 84
BlackRock Developed Int'l - Passive (CF) 8.43 7.58 23.46 9.97 6.24 6.77 N/A -14.30 25.71 3.45 7.37 10/01/2012
MSCI Wrld Ex US IM Index (USD) (Net) 8.36 7.45 22.91 9.49 5.79 6.35 5.66 -14.68 25.17 2.95 6.95
Difference 0.07 0.13 0.55 0.48 0.45 0.42 N/A 0.38 0.54 0.50 0.42
IM All EAFE (SA+CF) Median 8.97 7.73 23.00 9.74 6.25 7.02 6.89 -14.40 26.34 1.07 7.79
Rank 70 57 46 48 51 61 N/A 49 59 22 64
BlackRock Developed Int'l - Passive (CF) - Net 8.43 7.58 23.46 9.97 6.24 6.76 N/A -14.30 25.71 3.45 7.35 10/01/2012
MSCI Wrld Ex US IM Index (USD) (Net) 8.36 7.45 22.91 9.49 5.79 6.35 5.66 -14.68 25.17 2.95 6.95
Difference 0.07 0.13 0.55 0.48 0.45 0.41 N/A 0.38 0.54 0.50 0.40
MFS Developed Int'l (SA) 8.09 7.48 24.40 13.00 9.06 10.84 N/A -8.75 27.13 -0.22 11.34 08/01/2012
MSCI Wrld Ex US IM Index (USD) (Net) 8.36 7.45 22.91 9.49 5.79 6.35 5.66 -14.68 25.17 2.95 7.66
Difference -0.27 0.03 1.49 3.51 3.27 4.49 N/A 5.93 1.96 -3.17 3.68
IM All EAFE (SA+CF) Median 8.97 7.73 23.00 9.74 6.25 7.02 6.89 -14.40 26.34 1.07 8.37
Rank 76 59 39 19 7 4 N/A 5 42 68 6
MFS Developed Int'l (SA) - Net 8.00 7.30 23.98 12.63 8.70 10.48 N/A -9.05 26.70 -0.56 10.97 08/01/2012
MSCI Wrld Ex US IM Index (USD) (Net) 8.36 7.45 22.91 9.49 5.79 6.35 5.66 -14.68 25.17 2.95 7.66
Difference -0.36 -0.15 1.07 3.14 2.91 4.13 N/A 5.63 1.53 -3.51 3.31
Performance shown is gross of fees, except where noted. Performance is annualized for periods greater than one year. Inception dates shown represent the first full month following initial funding. Fiscal year ends 06/30. Please see the Addendum for custom index descriptions.
Page 21
Water and Power Employees' Retirement PlanComparative Performance - Retirement
As of December 31, 2019
QTD FYTD 1 Year3
Years5
Years7
Years10
Years2018 2017 2016
SinceIncep.
InceptionDate
Fidelity Developed Int'l (SA) 9.06 7.49 25.64 10.16 6.04 6.84 6.46 -14.99 25.16 -0.70 6.13 12/01/2004
International Developed Blend 8.36 7.45 22.91 9.49 5.79 6.35 5.66 -14.68 25.17 2.95 5.18
Difference 0.70 0.04 2.73 0.67 0.25 0.49 0.80 -0.31 -0.01 -3.65 0.95
IM All EAFE (SA+CF) Median 8.97 7.73 23.00 9.74 6.25 7.02 6.89 -14.40 26.34 1.07 6.29
Rank 50 59 30 42 56 60 61 59 66 73 57
Fidelity Developed Int'l (SA) - Net 8.98 7.34 25.29 9.85 5.74 6.54 6.15 -15.23 24.81 -0.98 5.78 12/01/2004
International Developed Blend 8.36 7.45 22.91 9.49 5.79 6.35 5.66 -14.68 25.17 2.95 5.18
Difference 0.62 -0.11 2.38 0.36 -0.05 0.19 0.49 -0.55 -0.36 -3.93 0.60
LA Capital Emerging (CF) 11.74 6.97 18.11 10.95 5.40 3.61 N/A -15.67 37.13 12.18 4.39 10/01/2012
MSCI Emg Mkts IM Index (USD) (Net) 11.59 6.81 17.65 11.00 5.30 3.16 3.60 -15.05 36.83 9.90 3.82
Difference 0.15 0.16 0.46 -0.05 0.10 0.45 N/A -0.62 0.30 2.28 0.57
IM Emerging Markets Equity (SA+CF) Median 11.36 7.27 19.49 11.39 6.22 4.82 5.32 -15.23 36.81 10.36 5.56
Rank 42 55 63 55 65 75 N/A 55 47 37 73
LA Capital Emerging (CF) - Net 11.56 6.62 17.34 10.23 4.72 2.95 N/A -16.21 36.24 11.46 3.72 10/01/2012
MSCI Emg Mkts IM Index (USD) (Net) 11.59 6.81 17.65 11.00 5.30 3.16 3.60 -15.05 36.83 9.90 3.82
Difference -0.03 -0.19 -0.31 -0.77 -0.58 -0.21 N/A -1.16 -0.59 1.56 -0.10
Wellington Emerging (SA) 10.72 5.12 17.42 11.82 N/A N/A N/A -15.55 41.01 N/A 9.41 10/01/2016
MSCI Emg Mkts IM Index (USD) (Net) 11.59 6.81 17.65 11.00 5.30 3.16 3.60 -15.05 36.83 9.90 8.58
Difference -0.87 -1.69 -0.23 0.82 N/A N/A N/A -0.50 4.18 N/A 0.83
IM Emerging Markets Equity (SA+CF) Median 11.36 7.27 19.49 11.39 6.22 4.82 5.32 -15.23 36.81 10.36 9.05
Rank 60 72 67 44 N/A N/A N/A 54 28 N/A 45
Wellington Emerging (SA) - Net 10.56 4.82 16.76 11.19 N/A N/A N/A -16.03 40.21 N/A 8.79 10/01/2016
MSCI Emg Mkts IM Index (USD) (Net) 11.59 6.81 17.65 11.00 5.30 3.16 3.60 -15.05 36.83 9.90 8.58
Difference -1.03 -1.99 -0.89 0.19 N/A N/A N/A -0.98 3.38 N/A 0.21
Performance shown is gross of fees, except where noted. Performance is annualized for periods greater than one year. Inception dates shown represent the first full month following initial funding. Fiscal year ends 06/30. Please see the Addendum for custom index descriptions.
Page 22
Water and Power Employees' Retirement PlanComparative Performance - Retirement
As of December 31, 2019
QTD FYTD 1 Year3
Years5
Years7
Years10
Years2018 2017 2016
SinceIncep.
InceptionDate
Fixed Income 0.98 2.66 9.54 4.65 3.93 3.56 4.90 -0.23 4.88 5.00 5.33 04/01/2001
Fixed Income Custom Index (R) 0.97 2.41 8.91 4.29 3.71 3.23 4.26 0.02 4.12 5.65 4.96
Difference 0.01 0.25 0.63 0.36 0.22 0.33 0.64 -0.25 0.76 -0.65 0.37
All Public Plans-US Fixed Income Segment Median 0.51 2.49 9.15 4.44 3.58 3.04 4.55 -0.25 4.49 4.54 N/A
Rank 17 39 38 39 36 38 39 49 42 41 N/A
JP Morgan Principal Protection (SA) 0.17 1.72 5.91 3.03 N/A N/A N/A 1.37 1.86 2.02 2.59 09/01/2015
Bloomberg US Int Agg Ex Crdt Index 0.31 1.59 5.79 2.91 2.29 2.03 2.83 1.21 1.80 1.40 2.37
Difference -0.14 0.13 0.12 0.12 N/A N/A N/A 0.16 0.06 0.62 0.22
IM U.S. Broad Market Core Fixed Income (SA+CF) Median 0.22 2.56 9.20 4.40 3.46 3.07 4.27 0.07 4.04 3.10 3.85
Rank 62 99 99 99 N/A N/A N/A 5 100 97 100
JP Morgan Principal Protection (SA) - Net 0.14 1.67 5.81 2.92 N/A N/A N/A 1.27 1.76 1.92 2.49 09/01/2015
Bloomberg US Int Agg Ex Crdt Index 0.31 1.59 5.79 2.91 2.29 2.03 2.83 1.21 1.80 1.40 2.37
Difference -0.17 0.08 0.02 0.01 N/A N/A N/A 0.06 -0.04 0.52 0.12
Wells Principal Protection (SA) 0.45 1.83 6.06 3.07 N/A N/A N/A 1.27 1.94 1.86 2.58 09/01/2015
Bloomberg US Int Agg Ex Crdt Index 0.31 1.59 5.79 2.91 2.29 2.03 2.83 1.21 1.80 1.40 2.37
Difference 0.14 0.24 0.27 0.16 N/A N/A N/A 0.06 0.14 0.46 0.21
IM U.S. Broad Market Core Fixed Income (SA+CF) Median 0.22 2.56 9.20 4.40 3.46 3.07 4.27 0.07 4.04 3.10 3.85
Rank 16 98 99 99 N/A N/A N/A 6 100 97 100
Wells Principal Protection (SA) - Net 0.42 1.77 5.94 2.95 N/A N/A N/A 1.16 1.83 1.73 2.46 09/01/2015
Bloomberg US Int Agg Ex Crdt Index 0.31 1.59 5.79 2.91 2.29 2.03 2.83 1.21 1.80 1.40 2.37
Difference 0.11 0.18 0.15 0.04 N/A N/A N/A -0.05 0.03 0.33 0.09
Macquarie Unconstrained (SA) 1.59 3.43 13.40 5.96 N/A N/A N/A -2.73 7.86 8.37 5.62 09/01/2015
67% B Global Credit/33% B Global High Yield 1.63 3.29 12.53 5.78 5.36 4.94 6.32 -1.44 6.73 10.04 6.05
Difference -0.04 0.14 0.87 0.18 N/A N/A N/A -1.29 1.13 -1.67 -0.43
IM Global Fixed Income (SA+CF) Median 1.62 2.80 9.46 5.30 3.67 3.23 4.11 -1.76 7.57 5.85 4.50
Rank 52 36 24 32 N/A N/A N/A 67 45 35 31
Macquarie Unconstrained (SA) - Net 1.55 3.34 13.21 5.78 N/A N/A N/A -2.90 7.67 8.19 5.44 09/01/2015
67% B Global Credit/33% B Global High Yield 1.63 3.29 12.53 5.78 5.36 4.94 6.32 -1.44 6.73 10.04 6.05
Difference -0.08 0.05 0.68 0.00 N/A N/A N/A -1.46 0.94 -1.85 -0.61
Performance shown is gross of fees, except where noted. Performance is annualized for periods greater than one year. Inception dates shown represent the first full month following initial funding. Fiscal year ends 06/30. Please see the Addendum for custom index descriptions.
Page 23
Water and Power Employees' Retirement PlanComparative Performance - Retirement
As of December 31, 2019
QTD FYTD 1 Year3
Years5
Years7
Years10
Years2018 2017 2016
SinceIncep.
InceptionDate
Neuberger Unconstrained (SA) 1.79 3.51 13.92 7.11 N/A N/A N/A -1.27 9.26 9.65 7.04 09/01/2015
67% B Global Credit/33% B Global High Yield 1.63 3.29 12.53 5.78 5.36 4.94 6.32 -1.44 6.73 10.04 6.05
Difference 0.16 0.22 1.39 1.33 N/A N/A N/A 0.17 2.53 -0.39 0.99
IM Global Fixed Income (SA+CF) Median 1.62 2.80 9.46 5.30 3.67 3.23 4.11 -1.76 7.57 5.85 4.50
Rank 49 32 20 9 N/A N/A N/A 41 25 31 13
Neuberger Unconstrained (SA) - Net 1.73 3.39 13.66 6.87 N/A N/A N/A -1.49 9.01 9.40 6.79 09/01/2015
67% B Global Credit/33% B Global High Yield 1.63 3.29 12.53 5.78 5.36 4.94 6.32 -1.44 6.73 10.04 6.05
Difference 0.10 0.10 1.13 1.09 N/A N/A N/A -0.05 2.28 -0.64 0.74
Pacific Asset Bank Loans (SA) 1.05 4.08 9.26 4.80 N/A N/A N/A -0.13 5.48 9.18 5.25 09/01/2015
CS Lvg'd Loan Index 1.68 2.61 8.17 4.48 4.54 4.41 5.18 1.14 4.25 9.88 4.70
Difference -0.63 1.47 1.09 0.32 N/A N/A N/A -1.27 1.23 -0.70 0.55
IM U.S. Bank Loans (SA+CF) Median 1.79 3.05 8.69 4.48 4.64 4.49 5.44 0.80 4.46 9.52 4.65
Rank 91 1 31 27 N/A N/A N/A 96 7 60 15
Pacific Asset Bank Loans (SA) - Net 0.97 3.91 8.91 4.46 N/A N/A N/A -0.45 5.14 8.83 4.91 09/01/2015
CS Lvg'd Loan Index 1.68 2.61 8.17 4.48 4.54 4.41 5.18 1.14 4.25 9.88 4.70
Difference -0.71 1.30 0.74 -0.02 N/A N/A N/A -1.59 0.89 -1.05 0.21
Real Return 0.22 2.51 7.13 2.65 2.98 1.71 3.19 -2.96 4.05 9.90 2.71 02/01/2007
CPI+3% (Blended) 1.38 2.59 5.11 5.21 4.76 4.58 4.14 5.26 5.26 4.74 4.42
Difference -1.16 -0.08 2.02 -2.56 -1.78 -2.87 -0.95 -8.22 -1.21 5.16 -1.71
Invesco Commodity (CF) 4.85 2.75 6.23 0.10 -0.63 N/A N/A -10.99 6.09 14.61 -4.03 09/01/2013
Bloomberg Cmdty Index (TR) 4.42 2.50 7.69 -0.94 -3.92 -6.72 -4.73 -11.25 1.70 11.77 -6.46
Difference 0.43 0.25 -1.46 1.04 3.29 N/A N/A 0.26 4.39 2.84 2.43
Invesco Commodity (CF) - Net 4.69 2.42 5.55 -0.54 -1.28 N/A N/A -11.56 5.40 13.87 -4.64 09/01/2013
Bloomberg Cmdty Index (TR) 4.42 2.50 7.69 -0.94 -3.92 -6.72 -4.73 -11.25 1.70 11.77 -6.46
Difference 0.27 -0.08 -2.14 0.40 2.64 N/A N/A -0.31 3.70 2.10 1.82
Hancock Timberland (CF) (Lagged-1 Qtr) - Net -0.65 -1.37 0.30 1.68 1.89 N/A N/A 0.15 4.65 4.81 1.31 04/01/2014
NCREIF Timberland Index (Lagged-1 Qtr) 0.18 1.23 2.10 3.12 4.36 5.95 3.97 4.00 3.28 3.28 4.52
Difference -0.83 -2.60 -1.80 -1.44 -2.47 N/A N/A -3.85 1.37 1.53 -3.21
Molpus IV (CF) (Lagged-1 Qtr) - Net 0.68 1.57 -0.87 1.79 N/A N/A N/A 1.78 4.52 -1.91 -3.05 09/01/2015
NCREIF Timberland Index (Lagged-1 Qtr) 0.18 1.23 2.10 3.12 4.36 5.95 3.97 4.00 3.28 3.28 3.22
Difference 0.50 0.34 -2.97 -1.33 N/A N/A N/A -2.22 1.24 -5.19 -6.27
Performance shown is gross of fees, except where noted. Performance is annualized for periods greater than one year. Inception dates shown represent the first full month following initial funding. Fiscal year ends 06/30. Please see the Addendum for custom index descriptions.
Page 24
Water and Power Employees' Retirement PlanComparative Performance - Retirement
As of December 31, 2019
QTD FYTD 1 Year3
Years5
Years7
Years10
Years2018 2017 2016
SinceIncep.
InceptionDate
WAMCO (SA) -1.16 2.60 8.03 3.60 3.95 3.18 N/A -0.38 3.33 9.37 4.14 05/01/2010
Bloomberg Wrld Gov't Infl Lnkd Index (Hedged) -2.55 1.34 8.38 3.88 4.08 3.34 4.52 0.10 3.32 10.22 4.42
Difference 1.39 1.26 -0.35 -0.28 -0.13 -0.16 N/A -0.48 0.01 -0.85 -0.28
WAMCO (SA) - Net -1.21 2.51 7.84 3.42 3.76 3.01 N/A -0.56 3.15 9.18 3.95 05/01/2010
Bloomberg Wrld Gov't Infl Lnkd Index (Hedged) -2.55 1.34 8.38 3.88 4.08 3.34 4.52 0.10 3.32 10.22 4.42
Difference 1.34 1.17 -0.54 -0.46 -0.32 -0.33 N/A -0.66 -0.17 -1.04 -0.47
Hedge Funds - Net 0.05 1.17 3.23 2.77 1.43 2.73 3.13 1.18 3.92 -2.30 2.68 03/01/2007
ICE BofAML 3 Mo US T-Bill Index+3% (1 Mo Lag) 1.24 2.61 5.39 4.68 4.08 3.79 3.58 4.85 3.81 3.33 4.00
Difference -1.19 -1.44 -2.16 -1.91 -2.65 -1.06 -0.45 -3.67 0.11 -5.63 -1.32
Blackstone Hope St. LP (CF) (Lagged-1 Mo) - Net 0.05 1.17 3.23 N/A N/A N/A N/A 1.03 N/A N/A 2.33 10/01/2017
ICE BofAML 3 Mo US T-Bill Index+3% (1 Mo Lag) 1.24 2.61 5.39 4.68 4.08 3.79 3.58 4.85 3.81 3.33 5.00
Difference -1.19 -1.44 -2.16 N/A N/A N/A N/A -3.82 N/A N/A -2.67
Performance shown is gross of fees, except where noted. Performance is annualized for periods greater than one year. Inception dates shown represent the first full month following initial funding. Fiscal year ends 06/30. Please see the Addendum for custom index descriptions.
Page 25
Water and Power Employees' Retirement PlanAlternative Investment Fund Performance Listing - Retirement
As of September 30, 2019
Market Value ($) % ofAlt. Inv. Group
% ofTotal Fund
InceptionIRR
InceptionDate
Private Equity 706,145,839 43.89% 5.43% 12.86% May-06Adams Street SMB I 47,278,831 2.94% 0.36% 2.29% Jan-17Apollo IX 4,133,080 0.26% 0.03% 11.37% Mar-19Apollo VIII 29,509,768 1.83% 0.23% 13.74% Jan-14Ares IV 24,677,854 1.53% 0.19% 14.63% Nov-12Ares Special Situation IV 44,505,384 2.77% 0.34% -2.78% Jan-15Ares V 47,452,637 2.95% 0.37% 16.35% Jan-15Audax III V 2,555,863 0.16% 0.02% 12.94% Jan-11Blackstone Tactical Opps II 31,158,440 1.94% 0.24% 17.30% Apr-15Clayton, Dubilier & Rice IX 23,344,177 1.45% 0.18% 20.13% Apr-14Clayton, Dubilier & Rice X 23,152,339 1.44% 0.18% 29.34% Mar-18Crestview Partners III 37,891,020 2.36% 0.29% 20.32% Feb-15EnCap IX 10,745,389 0.67% 0.08% 12.14% Jan-11EnCap VIII 3,699,904 0.23% 0.03% -3.40% Jan-13EnCap X 32,819,622 2.04% 0.25% 13.18% Feb-15EnCap XI 8,698,343 0.54% 0.07% -3.74% Jun-17Fisher Lynch II 12,568,912 0.78% 0.10% 10.24% Mar-08Genstar IX 4,752,820 0.30% 0.04% -13.93% Jul-19Genstar Opp IX 3,226,000 0.20% 0.02% -0.29% Jul-19Harvest VII 26,235,259 1.63% 0.20% 15.10% Nov-15HRJ Special Opp II 3,914,096 0.24% 0.03% 7.71% Feb-08Industry Ven SP Opp III-A 2,335,935 0.15% 0.02% 76.91% May-19Industry Ventures VIII 22,526,400 1.40% 0.17% 53.27% May-16Landmark XIII 6,335,048 0.39% 0.05% 6.89% Oct-06Landmark XIV 4,873,076 0.30% 0.04% 12.23% Aug-08Landmark XV 15,669,844 0.97% 0.12% 14.88% Feb-14Lexington VI 2,513,552 0.16% 0.02% 8.21% May-06Lexington VII 7,326,679 0.46% 0.06% 16.82% Aug-09Oaktree PF V 7,111,485 0.44% 0.05% 3.61% Jan-09Silver Lake IV 23,220,099 1.44% 0.18% 30.44% Sep-13Silver Lake V 25,194,935 1.57% 0.19% 15.51% Feb-17Vista IV 17,717,340 1.10% 0.14% 19.05% Sep-11Vista V 64,914,896 4.03% 0.50% 25.99% Apr-14Vista VI 71,891,844 4.47% 0.55% 19.59% Jun-16Vista VII 12,194,968 0.76% 0.09% 7.66% Feb-19
Real Estate 902,742,996 56.11% 6.95% 9.01% Nov-06AG Core Plus III 3,141,369 0.20% 0.02% 23.13% Jan-12Almanac VI 4,843,118 0.30% 0.04% 14.75% Jun-12Almanac VII 10,093,374 0.63% 0.08% 15.80% Mar-15Almanac VIII 2,588,295 0.16% 0.02% -20.44% Dec-18BREP Europe IV 9,991,245 0.62% 0.08% 16.14% Dec-13BREP VII 11,195,212 0.70% 0.09% 18.35% Jun-12Brookfield Premier 63,542,734 3.95% 0.49% 8.07% Oct-18Bristol Value II 16,208,953 1.01% 0.12% 10.25% Nov-12Dimensional Global REIT 29,670,129 1.84% 0.23% 8.44% Mar-13DRA G&I IX 43,365,701 2.70% 0.33% 18.40% Sep-16DRA G&I VIII 14,751,394 0.92% 0.11% 12.32% Jun-14DRA VII 2,473,151 0.15% 0.02% 12.32% Oct-11FPA Core Plus III 47,584,879 2.96% 0.37% 7.63% Jan-17Harrison Street Core 65,155,895 4.05% 0.50% 8.29% Aug-15Heitman REIT 27,874,275 1.73% 0.21% #N/A Sep-13Invesco Core Realty 61,507,605 3.82% 0.47% 10.45% Jun-11Jamestown Premier 46,093,968 2.86% 0.35% 8.90% Mar-15JPM Strategic 87,401,436 5.43% 0.67% 5.69% Sep-07LaSalle Asia V 14,687,391 0.91% 0.11% 16.17% Nov-17Lone Star RE II 338,146 0.02% 0.00% 28.29% May-11Lone Star RE IV 16,472,729 1.02% 0.13% 16.99% Jun-15Lone Star V 6,783,409 0.42% 0.05% 4.04% Aug-17Lone Star VII 90,641 0.01% 0.00% 49.67% May-11Mesa West III 1,652,439 0.10% 0.01% 10.25% Aug-13Mesa West IV 22,495,661 1.40% 0.17% 7.98% Feb-16PRISA I 96,592,832 6.00% 0.74% 5.73% Nov-06PRISA II 44,146,520 2.74% 0.34% 7.10% May-07Prologis USLH 38,256,431 2.38% 0.29% 17.06% Mar-15Torchlight IV 4,860,399 0.30% 0.04% 12.09% Aug-13Torchlight V 12,773,270 0.79% 0.10% 11.62% Mar-15Torchlight VI 13,565,642 0.84% 0.10% 6.64% Feb-18USAA Eagle 48,208,808 3.00% 0.37% 4.69% Oct-18Westbrook X 34,335,943 2.13% 0.26% 19.68% Feb-16
Market values and performance were provided by Northern Trust. Page 26
Performance Attribution
SAA: 5.29% TAA: 0.18% SS: -0.09 % MS: -0.18 %
Water and Power Employees' Retirement PlanTotal Fund Attribution - IDP
1 Quarter Ending December 31, 2019
Performance shown is gross of fees. Calculation is based on monthly periodicity.
Page 27
Performance Attribution
SAA: 17.82% TAA: 0.23% SS: 0.15% MS: -0.26 %
Water and Power Employees' Retirement PlanTotal Fund Attribution - IDP
1 Year Ending December 31, 2019
Performance shown is gross of fees. Calculation is based on monthly periodicity.
Page 28
Total Fund (Retirement) Retirement Policy Benchmark
$50
$75
$100
$125
$150
$175
$200
$225
$250
$275
$300
$325
12/04 9/05 6/06 3/07 12/07 9/08 6/09 3/10 12/10 9/11 6/12 3/13 12/13 9/14 6/15 3/16 12/16 9/17 6/18 3/19 12/19
$267
$273
Water and Power Employees' Retirement PlanGrowth of $100 - Retirement
Since Inception Ending December 31, 2019
Performance shown is gross of fees. Calculation is based on monthly periodicity.
Page 29
Trailing Years
Calendar Years
QTD FYTD 1 Year3
Years5
Years7
Years10
Years
Total Fund (Retirement) 5.19 (50) 5.88 (56) 17.93 (57) 10.12 (23) 7.74 (16) 8.99 (19) 8.65 (33)
Retirement Policy Benchmark 5.29 (45) 6.27 (40) 17.82 (59) 9.78 (36) 7.63 (20) 8.66 (32) 8.64 (33)
Median 5.19 6.02 18.46 9.37 7.03 7.97 8.18
Population 507 504 494 470 456 437 398
CYTD 2018 2017 2016 2015 2014 2013 2012
Total Fund (Retirement) 17.93 (57) -2.84 (23) 16.53 (25) 6.94 (60) 1.68 (9) 6.86 (46) 17.72 (35) 12.01 (64)
Retirement Policy Benchmark 17.82 (59) -2.52 (20) 15.21 (50) 8.37 (26) 0.70 (30) 6.78 (49) 16.00 (53) 12.06 (64)
Median 18.46 -4.13 15.21 7.42 -0.08 6.74 16.27 12.73
Population 494 490 562 616 601 580 579 567
Water and Power Employees' Retirement PlanPlan Sponsor Peer Group Analysis - Retirement
As of December 31, 2019
All Public Plans-Total Fund
Performance shown is gross of fees. Parenthesis contain percentile ranks.
Page 30
QTD FYTD 1 Year3
Years5
Years7
Years10
Years2018 2017 2016 2015 2014
Total Fund (Retirement) 5.19 5.88 17.93 10.12 7.74 8.99 8.65 -2.84 16.53 6.94 1.68 6.86
Retirement Policy Benchmark 5.29 6.27 17.82 9.78 7.63 8.66 8.64 -2.52 15.21 8.37 0.70 6.78
Difference -0.10 -0.39 0.11 0.34 0.11 0.33 0.01 -0.32 1.32 -1.43 0.98 0.08
Rolling 3 Years Active Return Rolling 3 Years Tracking Error Quarterly Excess Return vs. Market
0.00
0.41
0.82
1.23
1.64
2.05
2.46
-0.41
-0.82
-1.23
-1.64
-2.05
-2.46
3/05 12/05 9/06 6/07 3/08 12/08 9/09 6/10 3/11 12/11 9/12 6/13 3/14 12/14 9/15 6/16 3/17 12/17 9/18 12/19
Water and Power Employees' Retirement PlanTotal Fund (Retirement) vs. Retirement Policy BenchmarkComparative Performance & Rolling Return - Retirement
As of December 31, 2019
Performance shown is gross of fees. Calculation is based on quarterly periodicity. Fiscal year ends 06/30.
Page 31
Plan Sponsor Scattergram - 10 Years Up/Down Markets - 10 Years
Plan Sponsor Peer Group Analysis - Multi Statistics (Beta vs. S&P 500)
ReturnStandardDeviation
Total Fund (Retirement) 8.65 7.37
Retirement Policy Benchmark 8.64 7.04
Median 8.18 7.53
10Years
10Years
10Years
10Years
10Years
Total Fund (Retirement) 7.37 (56) 1.09 (26) 8.02 (34) 4.36 (58) 0.57 (52)
Retirement Policy Benchmark 7.04 (66) 1.13 (18) 7.98 (35) 4.03 (73) 0.55 (61)
Median 7.53 1.01 7.58 4.49 0.57
Population 398 398 398 398 398
Water and Power Employees' Retirement PlanTotal Fund (Retirement) vs. All Public Plans-Total Fund
As of December 31, 2019
Performance shown is gross of fees. Calculation is based on monthly periodicity. Parentheses contain percentile ranks.
Page 32
Equity Beta
1Year
3Years
5Years
7Years
10Years
SinceIncep.
InceptionDate
Total Fund (Retirement) 0.51 0.52 0.55 0.56 0.57 0.59 01/01/2005
3 Year Rolling Equity Beta
Total Fund (Retirement) Retirement Policy Benchmark
0.40
0.44
0.48
0.52
0.56
0.60
0.64
0.68
0.72
0.76
12/07 9/08 6/09 3/10 12/10 9/11 6/12 3/13 12/13 9/14 6/15 3/16 12/16 9/17 6/18 3/19 12/19
Water and Power Employees' Retirement PlanEquity Beta Analysis - Retirement
As of December 31, 2019
Performance shown is gross of fees. The objective of the Total Fund Beta is to measure the aggregate level of non-diversifiable or systematic equity risk exposure of the Water and Power Employees' Retirement Plan - Retirement. The Total Fund Beta is calculated using the S&P 500 Index (Cap Wtd) as the benchmark and is based on monthly periodicity. It represents a measure of the sensitivity of the Total Fund to movements of the S&P 500 Index (Cap Wtd) over the preceding three year period.
Page 33
Page 34
Asset Allocation by Manager
Schedule of Investable Assets - FYTD
December 31, 2019 : $2,356,310,465 Market Value($)
Allocation(%)
BlackRock Russell 1000 Index (CF) 289,875,080 12.30
Real Estate 151,676,806 6.44
T. Rowe Price Large Cap Growth (SA) 146,019,722 6.20
Private Equity 134,743,658 5.72
JP Morgan Principal Protection (SA) 132,468,007 5.62
Wells Principal Protection (SA) 131,798,831 5.59
Jennison Large Cap Growth (SA) 130,724,147 5.55
Neuberger Unconstrained (SA) 123,982,689 5.26
MFS Large Cap Value (SA) 119,884,381 5.09
Macquarie Unconstrained (SA) 119,135,356 5.06
T. Rowe Price Large Cap Value (SA) 118,654,299 5.04
MFS Developed Int'l (SA) 116,970,241 4.96
Fidelity Developed Int'l (SA) 107,911,219 4.58
BlackRock Developed Int'l - Passive (CF) 106,473,626 4.52
Blackstone Hope St. LP (CF) (Lagged-1 Mo) - Net 100,772,921 4.28
WAMCO (SA) 69,753,631 2.96
Wellington Emerging (SA) 58,079,053 2.46
LA Capital Emerging (CF) 54,831,869 2.33
Earnest Partners Small Cap Value (SA) 32,367,733 1.37
Emerald Small Cap Growth (SA) 31,387,539 1.33
Pacific Asset Bank Loans (SA) 25,667,643 1.09
Cash Equivalents 25,031,826 1.06
Invesco Commodity (CF) 21,039,732 0.89
Molpus IV (CF) (Lagged-1 Qtr) 4,297,568 0.18
Hancock Timberland (CF) (Lagged-1 Qtr) 2,758,112 0.12
Fred Alger Large Cap Growth (SA) 4,776 0.00
Periods EndingBeginning
Market Value ($)Gain/Loss ($)
EndingMarket Value ($)
% Return Unit Value
FYTD 2,223,435,863 132,874,602 2,356,310,465 5.97 105.97
Water and Power Employees' Retirement PlanAsset Allocation by Manager and Schedule of Investable Assets - Health
As of December 31, 2019
Allocations shown may not sum up to 100% exactly due to rounding. Performance shown is gross of fees. Fiscal year ends 06/30. During 03/2019, Fred Alger Large Cap Growth (SA) was liquidated and market value shown represents residual assets from residual income. During 10/2019, holdback was received for MS Convergent (CF).
Page 35
Asset Allocation vs. Target Allocation Asset Allocation vs. Target Allocation Differences
Asset Allocation vs. All Public Plans-Total Fund
Market Value($)
Allocation(%)
Target(%)
Domestic Equity 868,917,677 36.88 32.50
International Equity 444,266,009 18.85 19.00
Fixed Income 533,052,527 22.62 25.50
Real Return 97,849,042 4.15 5.00
Hedge Funds 100,772,921 4.28 5.00
Real Estate 151,676,806 6.44 7.00
Private Equity 134,743,658 5.72 5.00
Cash Equivalents 25,031,826 1.06 1.00
Total Fund 2,356,310,465 100.00 100.00
US Equity Intl. Equity US Fixed Income Intl. Fixed Income Alternative Inv. Real Estate Cash
Total Fund (Health) 36.88 (58) 18.85 (31) 22.62 (61) 0.00 14.15 (45) 6.44 (66) 1.06 (60)
Median 40.64 15.18 25.69 3.94 11.28 8.46 1.38
Population 578 535 524 185 162 283 374
Water and Power Employees' Retirement PlanTotal Fund (Health) vs. All Public Plans-Total FundAsset Allocation vs. Target and Plan Sponsor Peer Group - Health
As of December 31, 2019
Parentheses contain percentile ranks. Allocations shown may not sum up to 100% exactly due to rounding. At the 12/18/2019 Board Meeting, new interim targets were approved.
Page 36
QTD FYTD 1 Year3
Years5
Years7
Years10
Years2018 2017 2016
SinceIncep.
InceptionDate
Total Fund (Health) 5.21 5.97 18.19 10.29 7.79 9.01 8.67 -2.77 16.75 6.93 6.76 01/01/2007
Health Policy Benchmark 5.29 6.27 17.82 9.78 7.63 8.66 8.58 -2.52 15.21 8.37 6.32
Difference -0.08 -0.30 0.37 0.51 0.16 0.35 0.09 -0.25 1.54 -1.44 0.44
All Public Plans-Total Fund Median 5.19 6.02 18.46 9.37 7.03 7.97 8.18 -4.13 15.21 7.42 6.14
Rank 49 53 54 18 14 18 32 22 21 61 16
Domestic Equity 8.94 9.44 30.05 15.49 11.90 15.16 13.83 -3.99 23.37 11.67 9.10 01/01/2007
Russell 3000 (Blended) (H) 9.10 10.37 31.02 14.57 11.24 14.38 13.42 -5.24 21.13 12.74 8.76
Difference -0.16 -0.93 -0.97 0.92 0.66 0.78 0.41 1.25 2.24 -1.07 0.34
All Public Plans-US Equity Segment Median 8.75 9.49 30.04 13.83 10.57 13.88 13.24 -5.88 20.32 12.87 8.48
Rank 47 54 50 4 7 5 13 8 8 77 13
MFS Large Cap Value (SA) 7.36 10.10 30.56 11.62 9.98 13.69 12.49 -9.58 17.80 15.76 12.68 10/01/2009
Russell 1000 Val Index 7.41 8.86 26.54 9.68 8.29 12.20 11.80 -8.27 13.66 17.34 11.94
Difference -0.05 1.24 4.02 1.94 1.69 1.49 0.69 -1.31 4.14 -1.58 0.74
IM U.S. Large Cap Value Equity (SA+CF) Median 7.92 9.54 27.32 10.76 8.94 12.78 12.15 -8.35 17.24 14.52 12.42
Rank 64 41 21 38 27 28 40 62 44 39 42
MFS Large Cap Value (SA) - Net 7.28 9.95 30.18 11.29 9.65 13.35 12.15 -9.85 17.45 15.41 12.33 10/01/2009
Russell 1000 Val Index 7.41 8.86 26.54 9.68 8.29 12.20 11.80 -8.27 13.66 17.34 11.94
Difference -0.13 1.09 3.64 1.61 1.36 1.15 0.35 -1.58 3.79 -1.93 0.39
T. Rowe Price Large Cap Value (SA) 7.54 9.66 27.00 11.03 9.51 13.46 12.68 -7.66 16.73 17.11 12.93 10/01/2009
Russell 1000 Val Index 7.41 8.86 26.54 9.68 8.29 12.20 11.80 -8.27 13.66 17.34 11.94
Difference 0.13 0.80 0.46 1.35 1.22 1.26 0.88 0.61 3.07 -0.23 0.99
IM U.S. Large Cap Value Equity (SA+CF) Median 7.92 9.54 27.32 10.76 8.94 12.78 12.15 -8.35 17.24 14.52 12.42
Rank 58 47 53 47 38 34 35 42 59 27 36
T. Rowe Price Large Cap Value (SA) - Net 7.46 9.50 26.63 10.71 9.19 13.13 12.34 -7.93 16.38 16.77 12.59 10/01/2009
Russell 1000 Val Index 7.41 8.86 26.54 9.68 8.29 12.20 11.80 -8.27 13.66 17.34 11.94
Difference 0.05 0.64 0.09 1.03 0.90 0.93 0.54 0.34 2.72 -0.57 0.65
Water and Power Employees' Retirement PlanComparative Performance - Health
As of December 31, 2019
Performance shown is gross of fees, except where noted. Performance is annualized for periods greater than one year. Inception dates shown represent the first full month following initial funding. Fiscal year ends 06/30. Please see the Addendum for custom index descriptions.
Page 37
Water and Power Employees' Retirement PlanComparative Performance - Health
As of December 31, 2019
QTD FYTD 1 Year3
Years5
Years7
Years10
Years2018 2017 2016
SinceIncep.
InceptionDate
BlackRock Russell 1000 Index (CF) 9.04 10.60 31.30 15.03 11.48 14.61 13.58 -4.75 21.70 12.12 8.96 01/01/2007
Russell 1000 Index 9.04 10.59 31.43 15.05 11.48 14.60 13.54 -4.78 21.69 12.05 8.87
Difference 0.00 0.01 -0.13 -0.02 0.00 0.01 0.04 0.03 0.01 0.07 0.09
IM U.S. Large Cap Core Equity (SA+CF) Median 8.20 10.05 29.96 14.32 11.17 14.59 13.39 -5.17 21.83 10.52 8.89
Rank 33 33 36 38 40 50 41 43 53 31 45
BlackRock Russell 1000 Index (CF) - Net 9.04 10.60 31.30 15.03 11.48 14.60 13.57 -4.75 21.70 12.12 8.92 01/01/2007
Russell 1000 Index 9.04 10.59 31.43 15.05 11.48 14.60 13.54 -4.78 21.69 12.05 8.87
Difference 0.00 0.01 -0.13 -0.02 0.00 0.00 0.03 0.03 0.01 0.07 0.05
T. Rowe Price Large Cap Growth (SA) 9.49 8.68 28.31 22.48 16.92 19.38 N/A 4.82 36.61 5.70 16.41 05/01/2010
Russell 1000 Grth Index 10.62 12.27 36.39 20.49 14.63 16.92 15.22 -1.51 30.21 7.08 15.11
Difference -1.13 -3.59 -8.08 1.99 2.29 2.46 N/A 6.33 6.40 -1.38 1.30
IM U.S. Large Cap Growth Equity (SA+CF) Median 9.62 10.20 33.81 19.44 13.57 16.46 14.76 -0.90 28.16 4.68 14.59
Rank 55 75 89 23 6 5 N/A 9 6 41 10
T. Rowe Price Large Cap Growth (SA) - Net 9.40 8.50 27.91 22.09 16.55 19.00 N/A 4.49 36.17 5.35 16.03 05/01/2010
Russell 1000 Grth Index 10.62 12.27 36.39 20.49 14.63 16.92 15.22 -1.51 30.21 7.08 15.11
Difference -1.22 -3.77 -8.48 1.60 1.92 2.08 N/A 6.00 5.96 -1.73 0.92
Jennison Large Cap Growth (SA) 10.64 8.63 N/A N/A N/A N/A N/A N/A N/A N/A 19.78 02/01/2019
Russell 1000 Grth Index 10.62 12.27 36.39 20.49 14.63 16.92 15.22 -1.51 30.21 7.08 25.14
Difference 0.02 -3.64 N/A N/A N/A N/A N/A N/A N/A N/A -5.36
IM U.S. Large Cap Growth Equity (SA+CF) Median 9.62 10.20 33.81 19.44 13.57 16.46 14.76 -0.90 28.16 4.68 23.01
Rank 26 76 N/A N/A N/A N/A N/A N/A N/A N/A 80
Jennison Large Cap Growth (SA) - Net 10.57 8.49 N/A N/A N/A N/A N/A N/A N/A N/A 19.48 02/01/2019
Russell 1000 Grth Index 10.62 12.27 36.39 20.49 14.63 16.92 15.22 -1.51 30.21 7.08 25.14
Difference -0.05 -3.78 N/A N/A N/A N/A N/A N/A N/A N/A -5.66
Earnest Partners Small Cap Value (SA) 7.60 8.53 30.79 11.14 10.86 14.11 13.69 -14.73 23.09 24.78 14.05 10/01/2009
Russell 2000 Val Index 8.49 7.87 22.39 4.77 6.99 10.13 10.56 -12.86 7.84 31.74 10.68
Difference -0.89 0.66 8.40 6.37 3.87 3.98 3.13 -1.87 15.25 -6.96 3.37
IM U.S. Small Cap Value Equity (SA+CF) Median 7.96 7.59 25.07 5.48 7.66 11.49 12.08 -14.30 11.58 26.11 12.26
Rank 57 36 9 9 10 6 13 55 4 59 9
Earnest Partners Small Cap Value (SA) - Net 7.45 8.23 30.07 10.53 10.24 13.48 13.04 -15.20 22.41 24.07 13.39 10/01/2009
Russell 2000 Val Index 8.49 7.87 22.39 4.77 6.99 10.13 10.56 -12.86 7.84 31.74 10.68
Difference -1.04 0.36 7.68 5.76 3.25 3.35 2.48 -2.34 14.57 -7.67 2.71
Performance shown is gross of fees, except where noted. Performance is annualized for periods greater than one year. Inception dates shown represent the first full month following initial funding. Fiscal year ends 06/30. Please see the Addendum for custom index descriptions.
Page 38
Water and Power Employees' Retirement PlanComparative Performance - Health
As of December 31, 2019
QTD FYTD 1 Year3
Years5
Years7
Years10
Years2018 2017 2016
SinceIncep.
InceptionDate
Emerald Small Cap Growth (SA) 11.36 3.68 30.59 14.94 N/A N/A N/A -10.25 29.57 10.14 11.92 12/01/2015
Russell 2000 Grth Index 11.39 6.75 28.48 12.49 9.34 13.08 13.01 -9.31 22.17 11.32 10.60
Difference -0.03 -3.07 2.11 2.45 N/A N/A N/A -0.94 7.40 -1.18 1.32
IM U.S. Small Cap Growth Equity (SA+CF) Median 9.36 4.89 28.42 15.80 11.48 14.67 14.43 -4.24 23.81 11.40 13.17
Rank 27 65 43 56 N/A N/A N/A 83 21 56 62
Emerald Small Cap Growth (SA) - Net 11.20 3.37 29.82 14.26 N/A N/A N/A -10.78 28.81 9.49 11.26 12/01/2015
Russell 2000 Grth Index 11.39 6.75 28.48 12.49 9.34 13.08 13.01 -9.31 22.17 11.32 10.60
Difference -0.19 -3.38 1.34 1.77 N/A N/A N/A -1.47 6.64 -1.83 0.66
International Equity 9.19 7.14 22.71 11.15 6.89 7.31 5.73 -13.44 29.29 3.06 6.08 09/01/2009
MSCI ACW Ex US IM Index (Net) 9.20 7.33 21.63 9.84 5.71 5.65 5.21 -14.76 27.81 4.41 5.92
Difference -0.01 -0.19 1.08 1.31 1.18 1.66 0.52 1.32 1.48 -1.35 0.16
All Public Plans-Intl. Equity Segment Median 9.64 8.12 23.77 11.03 6.68 6.90 6.52 -13.67 28.75 4.00 7.27
Rank 61 88 71 47 42 27 88 42 40 72 90
BlackRock Developed Int'l - Passive (CF) 8.43 7.58 23.46 9.97 6.24 6.80 N/A -14.30 25.71 3.45 7.39 10/01/2012
MSCI Wrld Ex US IM Index (USD) (Net) 8.36 7.45 22.91 9.49 5.79 6.35 5.66 -14.68 25.17 2.95 6.95
Difference 0.07 0.13 0.55 0.48 0.45 0.45 N/A 0.38 0.54 0.50 0.44
IM All EAFE (SA+CF) Median 8.97 7.73 23.00 9.74 6.25 7.02 6.89 -14.40 26.34 1.07 7.79
Rank 70 57 46 48 52 61 N/A 49 59 22 63
BlackRock Developed Int'l - Passive (CF) - Net 8.43 7.58 23.46 9.97 6.24 6.79 N/A -14.30 25.71 3.45 7.38 10/01/2012
MSCI Wrld Ex US IM Index (USD) (Net) 8.36 7.45 22.91 9.49 5.79 6.35 5.66 -14.68 25.17 2.95 6.95
Difference 0.07 0.13 0.55 0.48 0.45 0.44 N/A 0.38 0.54 0.50 0.43
MFS Developed Int'l (SA) 8.09 7.50 24.38 13.02 9.05 10.84 N/A -8.70 27.12 -0.29 11.34 08/01/2012
MSCI Wrld Ex US IM Index (USD) (Net) 8.36 7.45 22.91 9.49 5.79 6.35 5.66 -14.68 25.17 2.95 7.66
Difference -0.27 0.05 1.47 3.53 3.26 4.49 N/A 5.98 1.95 -3.24 3.68
IM All EAFE (SA+CF) Median 8.97 7.73 23.00 9.74 6.25 7.02 6.89 -14.40 26.34 1.07 8.37
Rank 76 59 40 19 7 4 N/A 5 42 70 6
MFS Developed Int'l (SA) - Net 8.00 7.32 23.97 12.64 8.68 10.48 N/A -9.00 26.69 -0.64 10.97 08/01/2012
MSCI Wrld Ex US IM Index (USD) (Net) 8.36 7.45 22.91 9.49 5.79 6.35 5.66 -14.68 25.17 2.95 7.66
Difference -0.36 -0.13 1.06 3.15 2.89 4.13 N/A 5.68 1.52 -3.59 3.31
Performance shown is gross of fees, except where noted. Performance is annualized for periods greater than one year. Inception dates shown represent the first full month following initial funding. Fiscal year ends 06/30. Please see the Addendum for custom index descriptions.
Page 39
Water and Power Employees' Retirement PlanComparative Performance - Health
As of December 31, 2019
QTD FYTD 1 Year3
Years5
Years7
Years10
Years2018 2017 2016
SinceIncep.
InceptionDate
Fidelity Developed Int'l (SA) 9.05 7.49 25.66 10.16 6.04 6.78 6.44 -15.01 25.16 -0.67 6.58 10/01/2009
International Developed Blend 8.36 7.45 22.91 9.49 5.79 6.35 5.66 -14.68 25.17 2.95 5.74
Difference 0.69 0.04 2.75 0.67 0.25 0.43 0.78 -0.33 -0.01 -3.62 0.84
IM All EAFE (SA+CF) Median 8.97 7.73 23.00 9.74 6.25 7.02 6.89 -14.40 26.34 1.07 7.02
Rank 50 59 29 42 56 61 63 59 66 72 64
Fidelity Developed Int'l (SA) - Net 8.98 7.34 25.32 9.85 5.75 6.48 6.13 -15.24 24.81 -0.94 6.27 10/01/2009
International Developed Blend 8.36 7.45 22.91 9.49 5.79 6.35 5.66 -14.68 25.17 2.95 5.74
Difference 0.62 -0.11 2.41 0.36 -0.04 0.13 0.47 -0.56 -0.36 -3.89 0.53
LA Capital Emerging (CF) 11.74 6.97 18.11 10.95 5.39 3.61 N/A -15.67 37.13 12.11 4.38 10/01/2012
MSCI Emg Mkts IM Index (USD) (Net) 11.59 6.81 17.65 11.00 5.30 3.16 3.60 -15.05 36.83 9.90 3.82
Difference 0.15 0.16 0.46 -0.05 0.09 0.45 N/A -0.62 0.30 2.21 0.56
IM Emerging Markets Equity (SA+CF) Median 11.36 7.27 19.49 11.39 6.22 4.82 5.32 -15.23 36.81 10.36 5.56
Rank 42 55 63 55 65 75 N/A 55 47 37 74
LA Capital Emerging (CF) - Net 11.56 6.62 17.34 10.23 4.71 2.94 N/A -16.21 36.24 11.39 3.72 10/01/2012
MSCI Emg Mkts IM Index (USD) (Net) 11.59 6.81 17.65 11.00 5.30 3.16 3.60 -15.05 36.83 9.90 3.82
Difference -0.03 -0.19 -0.31 -0.77 -0.59 -0.22 N/A -1.16 -0.59 1.49 -0.10
Wellington Emerging (SA) 10.75 5.15 17.45 11.81 N/A N/A N/A -15.52 40.87 N/A 9.39 10/01/2016
MSCI Emg Mkts IM Index (USD) (Net) 11.59 6.81 17.65 11.00 5.30 3.16 3.60 -15.05 36.83 9.90 8.58
Difference -0.84 -1.66 -0.20 0.81 N/A N/A N/A -0.47 4.04 N/A 0.81
IM Emerging Markets Equity (SA+CF) Median 11.36 7.27 19.49 11.39 6.22 4.82 5.32 -15.23 36.81 10.36 9.05
Rank 59 72 67 44 N/A N/A N/A 54 28 N/A 46
Wellington Emerging (SA) - Net 10.60 4.85 16.78 11.18 N/A N/A N/A -15.99 40.07 N/A 8.77 10/01/2016
MSCI Emg Mkts IM Index (USD) (Net) 11.59 6.81 17.65 11.00 5.30 3.16 3.60 -15.05 36.83 9.90 8.58
Difference -0.99 -1.96 -0.87 0.18 N/A N/A N/A -0.94 3.24 N/A 0.19
Performance shown is gross of fees, except where noted. Performance is annualized for periods greater than one year. Inception dates shown represent the first full month following initial funding. Fiscal year ends 06/30. Please see the Addendum for custom index descriptions.
Page 40
Water and Power Employees' Retirement PlanComparative Performance - Health
As of December 31, 2019
QTD FYTD 1 Year3
Years5
Years7
Years10
Years2018 2017 2016
SinceIncep.
InceptionDate
Fixed Income 0.98 2.67 9.51 4.65 3.91 3.52 4.76 -0.24 4.89 4.85 5.48 01/01/2007
Fixed Income Custom Index (H) 0.97 2.41 8.91 4.29 3.71 3.23 4.26 0.02 4.12 5.65 4.69
Difference 0.01 0.26 0.60 0.36 0.20 0.29 0.50 -0.26 0.77 -0.80 0.79
All Public Plans-US Fixed Income Segment Median 0.51 2.49 9.15 4.44 3.58 3.04 4.55 -0.25 4.49 4.54 4.78
Rank 17 39 38 39 37 38 47 49 42 42 25
JP Morgan Principal Protection (SA) 0.15 1.75 5.94 3.03 N/A N/A N/A 1.35 1.87 1.92 2.58 09/01/2015
Bloomberg US Int Agg Ex Crdt Index 0.31 1.59 5.79 2.91 2.29 2.03 2.83 1.21 1.80 1.40 2.37
Difference -0.16 0.16 0.15 0.12 N/A N/A N/A 0.14 0.07 0.52 0.21
IM U.S. Broad Market Core Fixed Income (SA+CF) Median 0.22 2.56 9.20 4.40 3.46 3.07 4.27 0.07 4.04 3.10 3.85
Rank 64 99 99 99 N/A N/A N/A 5 100 97 100
JP Morgan Principal Protection (SA) - Net 0.13 1.70 5.84 2.93 N/A N/A N/A 1.25 1.77 1.81 2.48 09/01/2015
Bloomberg US Int Agg Ex Crdt Index 0.31 1.59 5.79 2.91 2.29 2.03 2.83 1.21 1.80 1.40 2.37
Difference -0.18 0.11 0.05 0.02 N/A N/A N/A 0.04 -0.03 0.41 0.11
Wells Principal Protection (SA) 0.45 1.83 6.06 3.07 N/A N/A N/A 1.27 1.94 1.85 2.58 09/01/2015
Bloomberg US Int Agg Ex Crdt Index 0.31 1.59 5.79 2.91 2.29 2.03 2.83 1.21 1.80 1.40 2.37
Difference 0.14 0.24 0.27 0.16 N/A N/A N/A 0.06 0.14 0.45 0.21
IM U.S. Broad Market Core Fixed Income (SA+CF) Median 0.22 2.56 9.20 4.40 3.46 3.07 4.27 0.07 4.04 3.10 3.85
Rank 16 98 99 99 N/A N/A N/A 6 100 97 100
Wells Principal Protection (SA) - Net 0.42 1.77 5.95 2.96 N/A N/A N/A 1.16 1.83 1.72 2.46 09/01/2015
Bloomberg US Int Agg Ex Crdt Index 0.31 1.59 5.79 2.91 2.29 2.03 2.83 1.21 1.80 1.40 2.37
Difference 0.11 0.18 0.16 0.05 N/A N/A N/A -0.05 0.03 0.32 0.09
Macquarie Unconstrained (SA) 1.64 3.53 13.60 6.05 N/A N/A N/A -2.78 7.99 8.35 5.69 09/01/2015
67% B Global Credit/33% B Global High Yield 1.63 3.29 12.53 5.78 5.36 4.94 6.32 -1.44 6.73 10.04 6.05
Difference 0.01 0.24 1.07 0.27 N/A N/A N/A -1.34 1.26 -1.69 -0.36
IM Global Fixed Income (SA+CF) Median 1.62 2.80 9.46 5.30 3.67 3.23 4.11 -1.76 7.57 5.85 4.50
Rank 50 31 22 31 N/A N/A N/A 68 43 35 30
Macquarie Unconstrained (SA) - Net 1.60 3.44 13.41 5.87 N/A N/A N/A -2.95 7.81 8.17 5.51 09/01/2015
67% B Global Credit/33% B Global High Yield 1.63 3.29 12.53 5.78 5.36 4.94 6.32 -1.44 6.73 10.04 6.05
Difference -0.03 0.15 0.88 0.09 N/A N/A N/A -1.51 1.08 -1.87 -0.54
Performance shown is gross of fees, except where noted. Performance is annualized for periods greater than one year. Inception dates shown represent the first full month following initial funding. Fiscal year ends 06/30. Please see the Addendum for custom index descriptions.
Page 41
Water and Power Employees' Retirement PlanComparative Performance - Health
As of December 31, 2019
QTD FYTD 1 Year3
Years5
Years7
Years10
Years2018 2017 2016
SinceIncep.
InceptionDate
Neuberger Unconstrained (SA) 1.77 3.42 13.84 7.13 N/A N/A N/A -1.29 9.42 9.48 7.05 09/01/2015
67% B Global Credit/33% B Global High Yield 1.63 3.29 12.53 5.78 5.36 4.94 6.32 -1.44 6.73 10.04 6.05
Difference 0.14 0.13 1.31 1.35 N/A N/A N/A 0.15 2.69 -0.56 1.00
IM Global Fixed Income (SA+CF) Median 1.62 2.80 9.46 5.30 3.67 3.23 4.11 -1.76 7.57 5.85 4.50
Rank 49 36 20 9 N/A N/A N/A 41 23 32 13
Neuberger Unconstrained (SA) - Net 1.71 3.30 13.58 6.89 N/A N/A N/A -1.51 9.17 9.23 6.80 09/01/2015
67% B Global Credit/33% B Global High Yield 1.63 3.29 12.53 5.78 5.36 4.94 6.32 -1.44 6.73 10.04 6.05
Difference 0.08 0.01 1.05 1.11 N/A N/A N/A -0.07 2.44 -0.81 0.75
Pacific Asset Bank Loans (SA) 1.16 4.25 9.04 4.66 N/A N/A N/A -0.26 5.40 9.37 5.19 09/01/2015
CS Lvg'd Loan Index 1.68 2.61 8.17 4.48 4.54 4.41 5.18 1.14 4.25 9.88 4.70
Difference -0.52 1.64 0.87 0.18 N/A N/A N/A -1.40 1.15 -0.51 0.49
IM U.S. Bank Loans (SA+CF) Median 1.79 3.05 8.69 4.48 4.64 4.49 5.44 0.80 4.46 9.52 4.65
Rank 90 1 39 32 N/A N/A N/A 98 7 56 18
Pacific Asset Bank Loans (SA) - Net 1.08 4.08 8.69 4.32 N/A N/A N/A -0.58 5.06 9.02 4.86 09/01/2015
CS Lvg'd Loan Index 1.68 2.61 8.17 4.48 4.54 4.41 5.18 1.14 4.25 9.88 4.70
Difference -0.60 1.47 0.52 -0.16 N/A N/A N/A -1.72 0.81 -0.86 0.16
Real Return 0.16 2.43 6.85 2.60 2.88 1.71 N/A -2.79 3.97 9.56 3.23 04/01/2010
CPI+3% (Blended) 1.38 2.59 5.11 5.21 4.76 4.58 4.14 5.26 5.26 4.74 4.17
Difference -1.22 -0.16 1.74 -2.61 -1.88 -2.87 N/A -8.05 -1.29 4.82 -0.94
Invesco Commodity (CF) 4.64 2.79 6.30 0.08 -0.77 N/A N/A -10.99 5.95 14.05 -4.16 09/01/2013
Bloomberg Cmdty Index (TR) 4.42 2.50 7.69 -0.94 -3.92 -6.72 -4.73 -11.25 1.70 11.77 -6.46
Difference 0.22 0.29 -1.39 1.02 3.15 N/A N/A 0.26 4.25 2.28 2.30
Invesco Commodity (CF) - Net 4.47 2.46 5.62 -0.56 -1.41 N/A N/A -11.56 5.26 13.30 -4.77 09/01/2013
Bloomberg Cmdty Index (TR) 4.42 2.50 7.69 -0.94 -3.92 -6.72 -4.73 -11.25 1.70 11.77 -6.46
Difference 0.05 -0.04 -2.07 0.38 2.51 N/A N/A -0.31 3.56 1.53 1.69
Hancock Timberland (CF) (Lagged-1 Qtr) - Net -0.65 -1.37 0.30 1.68 1.89 N/A N/A 0.15 4.65 4.81 1.31 04/01/2014
NCREIF Timberland Index (Lagged-1 Qtr) 0.18 1.23 2.10 3.12 4.36 5.95 3.97 4.00 3.28 3.28 4.52
Difference -0.83 -2.60 -1.80 -1.44 -2.47 N/A N/A -3.85 1.37 1.53 -3.21
Molpus IV (CF) (Lagged-1 Qtr) - Net 0.68 1.57 -0.88 1.79 N/A N/A N/A 1.78 4.52 -1.91 -3.05 09/01/2015
NCREIF Timberland Index (Lagged-1 Qtr) 0.18 1.23 2.10 3.12 4.36 5.95 3.97 4.00 3.28 3.28 3.22
Difference 0.50 0.34 -2.98 -1.33 N/A N/A N/A -2.22 1.24 -5.19 -6.27
Performance shown is gross of fees, except where noted. Performance is annualized for periods greater than one year. Inception dates shown represent the first full month following initial funding. Fiscal year ends 06/30. Please see the Addendum for custom index descriptions.
Page 42
Water and Power Employees' Retirement PlanComparative Performance - Health
As of December 31, 2019
QTD FYTD 1 Year3
Years5
Years7
Years10
Years2018 2017 2016
SinceIncep.
InceptionDate
WAMCO (SA) -1.12 2.56 7.89 3.53 3.91 3.19 N/A -0.43 3.29 9.36 4.13 05/01/2010
Bloomberg Wrld Gov't Infl Lnkd Index (Hedged) -2.55 1.34 8.38 3.88 4.08 3.34 4.52 0.10 3.32 10.22 4.42
Difference 1.43 1.22 -0.49 -0.35 -0.17 -0.15 N/A -0.53 -0.03 -0.86 -0.29
WAMCO (SA) - Net -1.16 2.47 7.70 3.35 3.73 3.02 N/A -0.61 3.11 9.17 3.94 05/01/2010
Bloomberg Wrld Gov't Infl Lnkd Index (Hedged) -2.55 1.34 8.38 3.88 4.08 3.34 4.52 0.10 3.32 10.22 4.42
Difference 1.39 1.13 -0.68 -0.53 -0.35 -0.32 N/A -0.71 -0.21 -1.05 -0.48
Hedge Funds - Net 0.06 1.18 3.23 2.77 1.43 2.76 N/A 1.19 3.91 -2.30 3.06 09/01/2010
ICE BofAML 3 Mo US T-Bill Index+3% (1 Mo Lag) 1.24 2.61 5.39 4.68 4.08 3.79 3.58 4.85 3.81 3.33 3.62
Difference -1.18 -1.43 -2.16 -1.91 -2.65 -1.03 N/A -3.66 0.10 -5.63 -0.56
Blackstone Hope St. LP (CF) (Lagged-1 Mo) - Net 0.06 1.18 3.23 N/A N/A N/A N/A 1.04 N/A N/A 2.33 10/01/2017
ICE BofAML 3 Mo US T-Bill Index+3% (1 Mo Lag) 1.24 2.61 5.39 4.68 4.08 3.79 3.58 4.85 3.81 3.33 5.00
Difference -1.18 -1.43 -2.16 N/A N/A N/A N/A -3.81 N/A N/A -2.67
Performance shown is gross of fees, except where noted. Performance is annualized for periods greater than one year. Inception dates shown represent the first full month following initial funding. Fiscal year ends 06/30. Please see the Addendum for custom index descriptions.
Page 43
Water and Power Employees' Retirement PlanAlternative Investment Fund Performance Listing - Health
As of September 30, 2019
Market Value ($) % ofAlt. Inv. Group
% ofTotal Fund
InceptionIRR
InceptionDate
Private Equity 132,673,440 47.40% 5.92% 15.72% Aug-09Adams Street SMB I 9,455,766 3.38% 0.42% 2.29% Jan-17Apollo IX 831,191 0.30% 0.04% 11.37% Mar-19Apollo VIII 5,207,606 1.86% 0.23% 13.74% Jan-14Ares IV 4,935,606 1.76% 0.22% 14.64% Nov-12Ares Special Situation IV 8,901,077 3.18% 0.40% -2.78% Jan-15Ares V 9,490,528 3.39% 0.42% 16.35% Jan-15Audax Mezz III 451,032 0.16% 0.02% 12.82% Jan-11Blackstone Tactical Opps 6,231,524 2.23% 0.28% 17.42% Apr-15CDR IX 4,668,830 1.67% 0.21% 20.13% Apr-14CDR X 4,716,211 1.68% 0.21% 29.34% Mar-18Crestview Partners III 7,578,202 2.71% 0.34% 20.32% Feb-15EnCap VIII 739,981 0.26% 0.03% -3.40% Jan-11EnCap IX 1,896,245 0.68% 0.08% 12.14% Jan-13EnCap X 6,209,117 2.22% 0.28% 13.18% Feb-15EnCap XI 1,739,669 0.62% 0.08% -3.74% Jun-17Genstar IX 648,113 0.23% 0.03% -13.93% Jul-19Genstar Opp IX 439,909 0.16% 0.02% -0.29% Jul-19Harvest VII 5,247,051 1.87% 0.23% 15.09% Nov-15Industry Ven SP Opp III-A 467,187 0.17% 0.02% 76.91% May-19Industry Ventures VIII 4,505,280 1.61% 0.20% 53.27% Aug-16Landmark XIV 812,175 0.29% 0.04% 12.24% Aug-08Landmark XV 2,742,224 0.98% 0.12% 14.88% Feb-14Lexington VII 1,221,158 0.44% 0.05% 16.82% Aug-09Oaktree V 1,111,175 0.40% 0.05% 3.69% Jan-09Silver Lake IV 3,870,042 1.38% 0.17% 30.14% Sep-13Silver Lake V 5,212,734 1.86% 0.23% 15.51% Feb-17Vista IV 3,543,464 1.27% 0.16% 19.05% Sep-11Vista V 12,982,984 4.64% 0.58% 25.99% Apr-14Vista VI 14,378,368 5.14% 0.64% 19.59% Jun-16Vista VII 2,438,991 0.87% 0.11% 7.66% Feb-19
Real Estate 147,247,575 52.60% 6.57% 12.50% Jan-10AG Core Plus III 349,042 0.12% 0.02% 23.13% Jan-12Almanac VI 538,138 0.19% 0.02% 14.75% Jun-12Almanac VII 2,523,330 0.90% 0.11% 15.80% Mar-15Almanac VIII 647,073 0.23% 0.03% -20.28% Dec-18BREP Europe IV 2,497,819 0.89% 0.11% 16.14% Dec-13BREP VII 2,798,812 1.00% 0.12% 18.35% Jun-12Brookfield Premier 15,885,684 5.68% 0.71% 8.07% Oct-18Bristol Value II 4,052,255 1.45% 0.18% 10.25% Nov-12Dimensional Global REIT 7,429,657 2.65% 0.33% 8.44% Mar-13DRA G&I IX 8,673,140 3.10% 0.39% 18.63% Sep-16DRA G&I VIII 589,751 0.21% 0.03% 12.54% Jun-14DRA VII 3,687,848 1.32% 0.16% 22.95% Oct-11FPA Core Plus III 9,516,977 3.40% 0.42% 7.63% Jan-17Harrison Street Core 13,031,179 4.66% 0.58% 8.29% Aug-15Heitman REIT 6,910,889 2.47% 0.31% #N/A Sep-13Invesco Core Realty 10,249,697 3.66% 0.46% 10.45% Jun-11Jamestown Premier 9,218,794 3.29% 0.41% 8.90% Mar-15LaSalle Asia V 2,937,479 1.05% 0.13% 16.17% Nov-17Lone Star RE II 37,575 0.01% 0.00% 16.17% May-11Lone Star RE IV 3,294,544 1.18% 0.15% 28.29% Jun-15Lone Star VII 10,070 0.00% 0.00% 4.04% May-11Lone Star RE V 1,197,072 0.43% 0.05% 16.99% Aug-17Mesa West III 411,077 0.15% 0.02% 8.87% Aug-13Mesa West IV 4,499,132 1.61% 0.20% 7.98% Feb-16Prologis USLH 9,564,108 3.42% 0.43% 17.06% Mar-15Torchlight IV 1,215,102 0.43% 0.05% 12.04% Aug-13Torchlight V 3,193,306 1.14% 0.14% 11.62% Mar-15Torchlight VI 3,368,630 1.20% 0.15% 6.46% Feb-18USAA Eagle 12,052,203 4.31% 0.54% 4.69% Oct-18Westbrook X 6,867,192 2.45% 0.31% 19.68% Feb-16
Market values and performance were provided by Northern Trust. Page 44
Performance Attribution
SAA: 5.29% TAA: 0.20% SS: -0.09 % MS: -0.19 %
Water and Power Employees' Retirement PlanTotal Fund Attribution - IDP
1 Quarter Ending December 31, 2019
Performance shown is gross of fees. Calculation is based on monthly periodicity. See Glossary for additional information regarding the Total Fund Attribution - IDP calculation.
Page 45
Performance Attribution
SAA: 17.82% TAA: 0.36% SS: 0.16% MS: -0.15 %
Water and Power Employees' Retirement PlanTotal Fund Attribution - IDP
1 Year Ending December 31, 2019
Performance shown is gross of fees. Calculation is based on monthly periodicity. See Glossary for additional information regarding the Total Fund Attribution - IDP calculation.
Page 46
Total Fund (Health) Health Policy Benchmark
$40
$60
$80
$100
$120
$140
$160
$180
$200
$220
$240
$260
$280
12/06 9/07 6/08 3/09 12/09 9/10 6/11 3/12 12/12 9/13 6/14 3/15 12/15 9/16 6/17 3/18 12/18 12/19
$222
$234
Water and Power Employees' Retirement PlanGrowth of $100 - Health
Since Inception Ending December 31, 2019
Performance shown is gross of fees. Calculation is based on monthly periodicity.
Page 47
Trailing Years
Calendar Years
QTD FYTD 1 Year3
Years5
Years7
Years10
Years
Total Fund (Health) 5.21 (49) 5.97 (53) 18.19 (54) 10.29 (18) 7.79 (14) 9.01 (18) 8.67 (32)
Health Policy Benchmark 5.29 (45) 6.27 (40) 17.82 (59) 9.78 (36) 7.63 (20) 8.66 (32) 8.58 (35)
Median 5.19 6.02 18.46 9.37 7.03 7.97 8.18
Population 507 504 494 470 456 437 398
CYTD 2018 2017 2016 2015 2014 2013 2012
Total Fund (Health) 18.19 (54) -2.77 (22) 16.75 (21) 6.93 (61) 1.46 (13) 6.74 (51) 17.76 (35) 11.44 (76)
Health Policy Benchmark 17.82 (59) -2.52 (20) 15.21 (50) 8.37 (26) 0.70 (30) 6.78 (49) 15.96 (53) 11.74 (71)
Median 18.46 -4.13 15.21 7.42 -0.08 6.74 16.27 12.73
Population 494 490 562 616 601 580 579 567
Water and Power Employees' Retirement PlanPlan Sponsor Peer Group Analysis - Health
As of December 31, 2019
All Public Plans-Total Fund
Performance shown is gross of fees. Parenthesis contain percentile ranks.
Page 48
QTD FYTD 1 Year3
Years5
Years7
Years10
Years2018 2017 2016 2015 2014
Total Fund (Health) 5.21 5.97 18.19 10.29 7.79 9.01 8.67 -2.77 16.75 6.93 1.46 6.74
Health Policy Benchmark 5.29 6.27 17.82 9.78 7.63 8.66 8.58 -2.52 15.21 8.37 0.70 6.78
Difference -0.08 -0.30 0.37 0.51 0.16 0.35 0.09 -0.25 1.54 -1.44 0.76 -0.04
Rolling 3 Years Active Return Rolling 3 Years Tracking Error Quarterly Excess Return vs. Market
0.00
0.71
1.42
2.13
2.84
3.55
4.26
-0.71
-1.42
-2.13
-2.84
-3.55
3/07 12/07 9/08 6/09 3/10 12/10 9/11 6/12 3/13 12/13 9/14 6/15 3/16 12/16 9/17 6/18 3/19 12/19
Water and Power Employees' Retirement PlanTotal Fund (Health) vs. Health Policy BenchmarkComparative Performance & Rolling Return - Health
As of December 31, 2019
Performance shown is gross of fees. Calculation is based on quarterly periodicity. Fiscal year ends 06/30.
Page 49
Plan Sponsor Scattergram - 10 Years Up/Down Markets - 10 Years
Plan Sponsor Peer Group Analysis - Multi Statistics (Beta vs. S&P 500)
ReturnStandardDeviation
Total Fund (Health) 8.67 7.33
Health Policy Benchmark 8.58 7.04
Median 8.18 7.53
10Years
10Years
10Years
10Years
10Years
Total Fund (Health) 7.33 (57) 1.09 (25) 8.03 (34) 4.35 (58) 0.57 (52)
Health Policy Benchmark 7.04 (66) 1.13 (19) 7.93 (37) 4.03 (73) 0.55 (61)
Median 7.53 1.01 7.58 4.49 0.57
Population 398 398 398 398 398
Water and Power Employees' Retirement PlanTotal Fund (Health) vs. All Public Plans-Total Fund
As of December 31, 2019
Performance shown is gross of fees. Calculation is based on monthly periodicity. Parentheses contain percentile ranks.
Page 50
Equity Beta
1Year
3Years
5Years
7Years
10Years
SinceIncep.
InceptionDate
Total Fund (Health) 0.51 0.53 0.55 0.57 0.57 0.57 01/01/2007
3 Year Rolling Equity Beta
Water and Power Employees' Retirement PlanEquity Beta Analysis - Health
As of December 31, 2019
Performance shown is gross of fees. The objective of the Total Fund Beta is to measure the aggregate level of non-diversifiable or systematic equity risk exposure of the Water and Power Employees' Retirement Plan - Health. The Total Fund Beta is calculated using the S&P 500 Index (Cap Wtd) as the benchmark and is based on monthly periodicity. It represents a measure of the sensitivity of the total fund to movements of the S&P 500 Index (Cap Wtd) over the preceding three year period.
Page 51
Page 52
Asset Allocation by Manager
Comparative Performance
December 31, 2019 : $31,683,569 Market Value($)
Allocation(%)
Wells Core (CF) 31,425,765 99.19
Cash (Death) 257,804 0.81
QTD FYTD 1 Year3
Years5
Years7
Years10
Years2018 2017 2016
SinceIncep.
InceptionDate
Total Fund (Death) 0.25 2.60 8.97 4.07 3.23 2.92 4.19 0.03 3.41 2.92 5.32 12/01/1995
Death Policy Benchmark 0.19 2.40 8.45 3.93 2.97 2.64 3.62 0.09 3.43 2.55 4.99
Difference 0.06 0.20 0.52 0.14 0.26 0.28 0.57 -0.06 -0.02 0.37 0.33
Wells Core (CF) 0.25 2.62 9.03 4.10 3.26 2.94 4.46 0.01 3.46 2.98 5.05 07/01/2004
Bloomberg US Agg Bond Index 0.18 2.45 8.72 4.03 3.05 2.72 3.75 0.01 3.54 2.65 4.29
Difference 0.07 0.17 0.31 0.07 0.21 0.22 0.71 0.00 -0.08 0.33 0.76
IM U.S. Broad Market Core Fixed Income (SA+CF) Median 0.22 2.56 9.20 4.40 3.46 3.07 4.27 0.07 4.04 3.10 4.72
Rank 44 40 60 78 66 64 32 61 89 57 22
Wells Core (CF) - Net 0.25 2.62 9.03 4.10 3.26 2.94 4.46 0.01 3.46 2.98 4.83 07/01/2004
Bloomberg US Agg Bond Index 0.18 2.45 8.72 4.03 3.05 2.72 3.75 0.01 3.54 2.65 4.29
Difference 0.07 0.17 0.31 0.07 0.21 0.22 0.71 0.00 -0.08 0.33 0.54
Water and Power Employees' Retirement PlanAsset Allocation by Manager and Comparative Performance - Death
As of December 31, 2019
Allocations shown may not sum up to 100% exactly due to rounding. Performance shown is gross of fees, except where noted. Performance is annualized for periods greater than one year. Fiscal year ends 06/30. Please see the Addendum for custom index descriptions.
Page 53
Asset Allocation by Manager
Comparative Performance
December 31, 2019 : $38,527,443 Market Value($)
Allocation(%)
Wells Core (CF) 37,972,300 98.56
Cash (Disability) 555,143 1.44
QTD FYTD 1 Year3
Years5
Years7
Years10
Years2018 2017 2016
SinceIncep.
InceptionDate
Total Fund (Disability) 0.25 2.57 8.93 4.08 3.25 2.94 4.35 0.06 3.44 2.97 5.64 12/01/1995
Disability Policy Benchmark 0.19 2.38 8.39 3.91 2.95 2.62 3.59 0.11 3.41 2.53 4.96
Difference 0.06 0.19 0.54 0.17 0.30 0.32 0.76 -0.05 0.03 0.44 0.68
Wells Core (CF) 0.25 2.58 8.98 4.10 3.26 2.94 4.47 0.05 3.46 2.98 5.05 07/01/2004
Bloomberg US Agg Bond Index 0.18 2.45 8.72 4.03 3.05 2.72 3.75 0.01 3.54 2.65 4.29
Difference 0.07 0.13 0.26 0.07 0.21 0.22 0.72 0.04 -0.08 0.33 0.76
IM U.S. Broad Market Core Fixed Income (SA+CF) Median 0.22 2.56 9.20 4.40 3.46 3.07 4.27 0.07 4.04 3.10 4.72
Rank 44 45 64 78 66 64 32 53 89 57 23
Wells Core (CF) - Net 0.25 2.58 8.98 4.10 3.26 2.94 4.47 0.05 3.46 2.98 4.78 07/01/2004
Bloomberg US Agg Bond Index 0.18 2.45 8.72 4.03 3.05 2.72 3.75 0.01 3.54 2.65 4.29
Difference 0.07 0.13 0.26 0.07 0.21 0.22 0.72 0.04 -0.08 0.33 0.49
Water and Power Employees' Retirement PlanAsset Allocation by Manager and Comparative Performance - Disability
As of December 31, 2019
Allocations shown may not sum up to 100% exactly due to rounding. Performance shown is gross of fees, except where noted. Performance is annualized for periods greater than one year. Fiscal year ends 06/30. Please see the Addendum for custom index descriptions.
Page 54
Page 55
Peer Group Scattergram - 10 Years Up/Down Markets - 10 Years
Peer Group Analysis - Multi Statistics - 10 Years (Excess Return vs. Risk Free)
Sector Weights (%)
Performance
Portfolio Characteristics and Dist. of Market Cap (%)
QTD1
Year3
Years5
Years7
Years10
Years2018 2017 2016 2015 2014
Manager 8.93 29.96 15.48 11.89 15.16 13.72 -3.99 23.44 11.68 1.96 11.82
Benchmark 9.10 31.02 14.57 11.24 14.38 13.42 -5.24 21.13 12.74 0.48 12.56
Difference -0.17 -1.06 0.91 0.65 0.78 0.30 1.25 2.31 -1.06 1.48 -0.74
Peer Group Median 8.75 30.04 13.83 10.57 13.88 13.24 -5.88 20.32 12.87 0.28 11.41
Rank 47 51 4 7 5 21 8 7 77 8 33
Population 73 67 63 61 50 42 68 89 92 85 47
ReturnStandardDeviation
Manager 13.72 13.20
Benchmark 13.42 12.81
Median 13.24 12.79
6.82
7.31
7.80
8.29
8.78
9.27
DownsideRisk
Manager 13.22 (14) 1.29 (76) 0.25 (19) 1.00 (45) 8.03 (26)
Benchmark 12.90 (39) 0.00 (100) N/A 1.01 (39) 7.80 (44)
Median 12.78 1.85 -0.05 0.99 7.75
Portfolio Benchmark
Wtd. Avg. Mkt. Cap ($M) 217,200 245,926
Median Mkt. Cap ($M) 9,068 1,775
Price/Earnings Ratio 22.24 22.63
Price/Book Ratio 3.34 3.50
5 Yr. EPS Growth Rate (%) 13.64 14.19
Current Yield (%) 1.79 1.79
Beta (5 Years, Monthly) 1.02 1.00
Number of Securities 1,144 2,991
Active Share 34.94 N/A
Domestic Equity - Retirement
All Public Plans-US Equity Segment
As of December 31, 2019
Peer Group:Benchmark: Russell 3000 (Blended) (R)Manager:
Performance shown is gross of fees. Calculation is based on monthly periodicity. Parenthesis contain percentile ranks.
Page 56
Peer Group Scattergram - 10 Years Up/Down Markets - 10 Years
Peer Group Analysis - Multi Statistics - 10 Years (Excess Return vs. Risk Free)
Sector Weights (%)
Performance
Portfolio Characteristics and Dist. of Market Cap (%)
QTD1
Year3
Years5
Years7
Years10
Years2018 2017 2016 2015 2014
Manager 8.94 30.05 15.49 11.90 15.16 13.83 -3.99 23.37 11.67 1.99 11.88
Benchmark 9.10 31.02 14.57 11.24 14.38 13.42 -5.24 21.13 12.74 0.48 12.56
Difference -0.16 -0.97 0.92 0.66 0.78 0.41 1.25 2.24 -1.07 1.51 -0.68
Peer Group Median 8.75 30.04 13.83 10.57 13.88 13.24 -5.88 20.32 12.87 0.28 11.41
Rank 47 50 4 7 5 13 8 8 77 8 33
Population 73 67 63 61 50 42 68 89 92 85 47
ReturnStandardDeviation
Manager 13.83 13.17
Benchmark 13.42 12.81
Median 13.24 12.79
6.82
7.31
7.80
8.29
8.78
9.27
DownsideRisk
Manager 13.31 (12) 1.24 (83) 0.33 (13) 1.01 (38) 7.99 (28)
Benchmark 12.90 (39) 0.00 (100) N/A 1.01 (39) 7.80 (44)
Median 12.78 1.85 -0.05 0.99 7.75
Portfolio Benchmark
Wtd. Avg. Mkt. Cap ($M) 222,534 245,926
Median Mkt. Cap ($M) 9,068 1,775
Price/Earnings Ratio 22.35 22.63
Price/Book Ratio 3.37 3.50
5 Yr. EPS Growth Rate (%) 13.85 14.19
Current Yield (%) 1.78 1.79
Beta (5 Years, Monthly) 1.02 1.00
Number of Securities 1,144 2,991
Active Share 32.96 N/A
Domestic Equity - Health
All Public Plans-US Equity Segment
As of December 31, 2019
Peer Group:Benchmark: Russell 3000 (Blended) (H)Manager:
Performance shown is gross of fees. Calculation is based on monthly periodicity. Parentheses contain percentile ranks.
Page 57
Peer Group Scattergram - 10 Years Up/Down Markets - 10 Years
Peer Group Analysis - Multi Statistics - 10 Years (Excess Return vs. Risk Free)
Sector Weights (%)
Performance
Portfolio Characteristics and Dist. of Market Cap (%)
QTD1
Year3
Years5
Years7
Years10
Years2018 2017 2016 2015 2014
Manager 7.35 30.57 11.59 9.97 13.68 12.51 -9.67 17.82 15.80 -0.06 11.86
Benchmark 7.41 26.54 9.68 8.29 12.20 11.80 -8.27 13.66 17.34 -3.83 13.45
Difference -0.06 4.03 1.91 1.68 1.48 0.71 -1.40 4.16 -1.54 3.77 -1.59
Peer Group Median 7.92 27.32 10.76 8.94 12.78 12.15 -8.35 17.24 14.52 -2.25 12.14
Rank 64 21 39 27 28 40 63 44 39 29 55
Population 296 296 295 285 276 250 326 348 375 391 414
ReturnStandardDeviation
Manager 12.51 12.53
Benchmark 11.80 12.66
Median 12.14 13.04
4.00
6.00
8.00
10.00
12.00
DownsideRisk
Manager 12.05 (43) 2.20 (93) 0.28 (29) 0.96 (34) 7.62 (68)
Benchmark 11.43 (66) 0.00 (100) N/A 0.90 (53) 7.79 (63)
Median 11.84 3.63 0.13 0.91 8.01
Portfolio Benchmark
Wtd. Avg. Mkt. Cap ($M) 129,879 131,913
Median Mkt. Cap ($M) 67,946 9,882
Price/Earnings Ratio 19.72 18.40
Price/Book Ratio 2.75 2.26
5 Yr. EPS Growth Rate (%) 6.58 6.25
Current Yield (%) 2.30 2.50
Beta (5 Years, Monthly) 0.99 1.00
Number of Securities 73 764
Active Share 71.85 N/A
MFS Large Cap Value (SA)
IM U.S. Large Cap Value Equity (SA+CF)
As of December 31, 2019
Peer Group:Benchmark: Russell 1000 Val IndexManager:
Performance shown is gross of fees and representative of the Retirement Plan. Calculation is based on monthly periodicity. Parenthesis contain percentile ranks.
Page 58
Peer Group Scattergram - 10 Years Up/Down Markets - 10 Years
Peer Group Analysis - Multi Statistics - 10 Years (Excess Return vs. Risk Free)
Sector Weights (%)
Performance
Portfolio Characteristics and Dist. of Market Cap (%)
QTD1
Year3
Years5
Years7
Years10
Years2018 2017 2016 2015 2014
Manager 7.54 26.98 11.04 9.49 13.42 12.67 -7.63 16.74 17.14 -1.90 13.43
Benchmark 7.41 26.54 9.68 8.29 12.20 11.80 -8.27 13.66 17.34 -3.83 13.45
Difference 0.13 0.44 1.36 1.20 1.22 0.87 0.64 3.08 -0.20 1.93 -0.02
Peer Group Median 7.92 27.32 10.76 8.94 12.78 12.15 -8.35 17.24 14.52 -2.25 12.14
Rank 58 53 47 39 35 35 42 59 27 47 35
Population 296 296 295 285 276 250 326 348 375 391 414
ReturnStandardDeviation
Manager 12.67 12.87
Benchmark 11.80 12.66
Median 12.14 13.04
4.00
6.00
8.00
10.00
12.00
DownsideRisk
Manager 12.24 (36) 1.82 (99) 0.45 (12) 0.95 (38) 8.02 (50)
Benchmark 11.43 (66) 0.00 (100) N/A 0.90 (53) 7.79 (63)
Median 11.84 3.63 0.13 0.91 8.01
Portfolio Benchmark
Wtd. Avg. Mkt. Cap ($M) 141,095 131,913
Median Mkt. Cap ($M) 47,153 9,882
Price/Earnings Ratio 17.78 18.40
Price/Book Ratio 2.48 2.26
5 Yr. EPS Growth Rate (%) 5.83 6.25
Current Yield (%) 2.79 2.50
Beta (5 Years, Monthly) 1.03 1.00
Number of Securities 90 764
Active Share 67.87 N/A
T. Rowe Price Large Cap Value (SA)
IM U.S. Large Cap Value Equity (SA+CF)
As of December 31, 2019
Peer Group:Benchmark: Russell 1000 Val IndexManager:
Performance shown is gross of fees and representative of the Retirement Plan. Calculation is based on monthly periodicity. Parenthesis contain percentile ranks.
Page 59
Peer Group Scattergram - 10 Years Up/Down Markets - 10 Years
Peer Group Analysis - Multi Statistics - 10 Years (Excess Return vs. Risk Free)
Sector Weights (%)
Performance
Portfolio Characteristics and Dist. of Market Cap (%)
QTD1
Year3
Years5
Years7
Years10
Years2018 2017 2016 2015 2014
Manager 9.04 31.28 15.02 11.48 14.61 13.55 -4.74 21.70 12.09 0.94 13.27
Benchmark 9.04 31.43 15.05 11.48 14.60 13.54 -4.78 21.69 12.05 0.92 13.24
Difference 0.00 -0.15 -0.03 0.00 0.01 0.01 0.04 0.01 0.04 0.02 0.03
Peer Group Median 8.20 29.96 14.32 11.17 14.59 13.39 -5.17 21.83 10.52 1.43 13.42
Rank 33 37 39 40 50 43 43 53 32 57 52
Population 223 222 219 211 200 177 265 290 311 327 349
ReturnStandardDeviation
Manager 13.55 12.59
Benchmark 13.54 12.59
Median 13.39 12.79
4.00
6.00
8.00
10.00
DownsideRisk
Manager 12.99 (43) 0.08 (100) 0.06 (37) 1.03 (43) 7.61 (58)
Benchmark 12.98 (43) 0.00 (100) N/A 1.03 (43) 7.61 (58)
Median 12.91 2.78 -0.04 1.01 7.74
Portfolio Benchmark
Wtd. Avg. Mkt. Cap ($M) 263,106 263,063
Median Mkt. Cap ($M) 10,861 10,858
Price/Earnings Ratio 22.86 22.86
Price/Book Ratio 3.61 3.61
5 Yr. EPS Growth Rate (%) 14.34 14.34
Current Yield (%) 1.81 1.81
Beta (5 Years, Monthly) 1.00 1.00
Number of Securities 996 997
Active Share 0.07 N/A
BlackRock Russell 1000 Index (CF)
IM U.S. Large Cap Core Equity (SA+CF)
As of December 31, 2019
Peer Group:Benchmark: Russell 1000 IndexManager:
Performance shown is gross of fees and representative of the Retirement Plan. Calculation is based on monthly periodicity. Parenthesis contain percentile ranks.
Page 60
Peer Group Scattergram - 7 Years Up/Down Markets - 7 Years
Peer Group Analysis - Multi Statistics - 7 Years (Excess Return vs. Risk Free)
Sector Weights (%)
Performance
Portfolio Characteristics and Dist. of Market Cap (%)
QTD1
Year3
Years5
Years7
Years10
Years2018 2017 2016 2015 2014
Manager 9.46 28.29 22.46 16.92 19.37 N/A 4.79 36.61 5.78 12.48 9.31
Benchmark 10.62 36.39 20.49 14.63 16.92 15.22 -1.51 30.21 7.08 5.67 13.05
Difference -1.16 -8.10 1.97 2.29 2.45 N/A 6.30 6.40 -1.30 6.81 -3.74
Peer Group Median 9.62 33.81 19.44 13.57 16.46 14.76 -0.90 28.16 4.68 4.93 12.05
Rank 56 89 24 6 5 N/A 9 6 41 7 80
Population 241 241 236 227 215 201 274 288 308 338 349
ReturnStandardDeviation
Manager 19.37 12.90
Benchmark 16.92 11.81
Median 16.45 12.10
4.50
5.45
6.40
7.35
8.30
9.25
DownsideRisk
Manager 17.88 (4) 4.64 (24) 0.48 (5) 1.39 (13) 7.07 (45)
Benchmark 15.65 (36) 0.00 (100) N/A 1.32 (26) 6.76 (59)
Median 15.24 3.65 -0.15 1.26 6.95
Portfolio Benchmark
Wtd. Avg. Mkt. Cap ($M) 388,502 386,597
Median Mkt. Cap ($M) 52,281 13,375
Price/Earnings Ratio 30.69 29.36
Price/Book Ratio 6.07 7.87
5 Yr. EPS Growth Rate (%) 26.27 21.83
Current Yield (%) 0.76 1.17
Beta (5 Years, Monthly) 1.00 1.00
Number of Securities 60 530
Active Share 58.53 N/A
T. Rowe Price Large Cap Growth (SA)
IM U.S. Large Cap Growth Equity (SA+CF)
As of December 31, 2019
Peer Group:Benchmark: Russell 1000 Grth IndexManager:
Performance shown is gross of fees and representative of the Retirement Plan. Calculation is based on monthly periodicity. Parenthesis contain percentile ranks.
Page 61
Peer Group Scattergram - QTD Up/Down Markets - QTD
Peer Group Analysis - Multi Statistics - QTD (Excess Return vs. Risk Free)
Sector Weights (%)
Performance
Portfolio Characteristics and Dist. of Market Cap (%)
QTD1
Year3
Years5
Years7
Years10
Years2018 2017 2016 2015 2014
Manager 10.65 N/A N/A N/A N/A N/A N/A N/A N/A N/A N/A
Benchmark 10.62 36.39 20.49 14.63 16.92 15.22 -1.51 30.21 7.08 5.67 13.05
Difference 0.03 N/A N/A N/A N/A N/A N/A N/A N/A N/A N/A
Peer Group Median 9.62 33.81 19.44 13.57 16.46 14.76 -0.90 28.16 4.68 4.93 12.05
Rank 26 N/A N/A N/A N/A N/A N/A N/A N/A N/A N/A
Population 241 241 236 227 215 201 274 288 308 338 349
ReturnStandardDeviation
Manager 10.65 1.57
Benchmark 10.62 0.72
Median 9.62 0.99
-8.00
-4.00
0.00
4.00
8.00
DownsideRisk
Manager 3.29 (25) 0.86 (22) 0.02 (26) 2.07 (77) 0.00 (4)
Benchmark 3.27 (26) 0.00 (100) N/A 4.40 (18) 0.00 (4)
Median 2.96 0.54 -0.57 2.79 0.00
Portfolio Benchmark
Wtd. Avg. Mkt. Cap ($M) 338,637 386,597
Median Mkt. Cap ($M) 84,005 13,375
Price/Earnings Ratio 35.74 29.36
Price/Book Ratio 7.55 7.87
5 Yr. EPS Growth Rate (%) 24.89 21.83
Current Yield (%) 0.66 1.17
Beta N/A 1.00
Number of Securities 49 530
Active Share 57.75 N/A
Jennison Large Cap Growth (SA)
IM U.S. Large Cap Growth Equity (SA+CF)
As of December 31, 2019
Peer Group:Benchmark: Russell 1000 Grth IndexManager:
Performance shown is gross of fees and representative of the Retirement Plan. Calculation is based on monthly periodicity. Parenthesis contain percentile ranks.
Page 62
Peer Group Scattergram - 10 Years Up/Down Markets - 10 Years
Peer Group Analysis - Multi Statistics - 10 Years (Excess Return vs. Risk Free)
Sector Weights (%)
Performance
Portfolio Characteristics and Dist. of Market Cap (%)
QTD1
Year3
Years5
Years7
Years10
Years2018 2017 2016 2015 2014
Manager 7.59 30.76 11.12 10.85 14.11 13.72 -14.73 23.07 24.79 -2.28 11.11
Benchmark 8.49 22.39 4.77 6.99 10.13 10.56 -12.86 7.84 31.74 -7.47 4.22
Difference -0.90 8.37 6.35 3.86 3.98 3.16 -1.87 15.23 -6.95 5.19 6.89
Peer Group Median 7.96 25.07 5.48 7.66 11.49 12.08 -14.30 11.58 26.11 -4.30 5.71
Rank 57 9 9 10 6 13 55 4 59 30 6
Population 191 190 185 182 175 161 215 224 231 241 252
ReturnStandardDeviation
Manager 13.72 16.34
Benchmark 10.56 16.71
Median 12.08 16.75
6.00
8.00
10.00
12.00
14.00
DownsideRisk
Manager 13.68 (14) 4.71 (49) 0.59 (15) 0.84 (14) 10.27 (54)
Benchmark 10.90 (86) 0.00 (100) N/A 0.65 (84) 10.61 (40)
Median 12.18 4.68 0.33 0.74 10.36
Portfolio Benchmark
Wtd. Avg. Mkt. Cap ($M) 4,258 2,198
Median Mkt. Cap ($M) 2,847 718
Price/Earnings Ratio 20.78 15.28
Price/Book Ratio 2.38 1.65
5 Yr. EPS Growth Rate (%) 13.80 9.16
Current Yield (%) 1.43 2.11
Beta (5 Years, Monthly) 0.97 1.00
Number of Securities 54 1,402
Active Share 94.09 N/A
Earnest Partners Small Cap Value (SA)
IM U.S. Small Cap Value Equity (SA+CF)
As of December 31, 2019
Peer Group:Benchmark: Russell 2000 Val IndexManager:
Performance shown is gross of fees and representative of the Retirement Plan. Calculation is based on monthly periodicity. Parentheses contain percentile ranks.
Page 63
Peer Group Scattergram - 3 Years Up/Down Markets - 3 Years
Peer Group Analysis - Multi Statistics - 3 Years (Excess Return vs. Risk Free)
Sector Weights (%)
Performance
Portfolio Characteristics and Dist. of Market Cap (%)
QTD1
Year3
Years5
Years7
Years10
Years2018 2017 2016 2015 2014
Manager 11.32 30.34 14.74 N/A N/A N/A -10.54 29.53 10.02 N/A N/A
Benchmark 11.39 28.48 12.49 9.34 13.08 13.01 -9.31 22.17 11.32 -1.38 5.60
Difference -0.07 1.86 2.25 N/A N/A N/A -1.23 7.36 -1.30 N/A N/A
Peer Group Median 9.36 28.42 15.80 11.48 14.67 14.43 -4.24 23.81 11.40 -0.77 4.27
Rank 29 44 56 N/A N/A N/A 84 21 59 N/A N/A
Population 158 158 153 146 143 137 178 180 187 204 214
ReturnStandardDeviation
Manager 14.74 17.02
Benchmark 12.49 16.37
Median 15.80 16.59
8.00
10.00
12.00
14.00
DownsideRisk
Manager 13.63 (57) 4.83 (63) 0.43 (56) 0.80 (59) 10.95 (48)
Benchmark 11.54 (70) 0.00 (100) N/A 0.70 (70) 11.36 (32)
Median 14.31 5.32 0.58 0.87 10.92
Portfolio Benchmark
Wtd. Avg. Mkt. Cap ($M) 2,922 2,738
Median Mkt. Cap ($M) 2,087 928
Price/Earnings Ratio 27.07 26.69
Price/Book Ratio 3.86 4.18
5 Yr. EPS Growth Rate (%) 15.38 13.54
Current Yield (%) 0.54 0.73
Beta (3 Years, Monthly) 1.00 1.00
Number of Securities 119 1,171
Active Share 85.98 N/A
Emerald Small Cap Growth (SA)
IM U.S. Small Cap Growth Equity (SA+CF)
As of December 31, 2019
Peer Group:Benchmark: Russell 2000 Grth IndexManager:
Performance shown is gross of fees and product specific. Calculation is based on monthly periodicity. Parentheses contain percentile ranks.
Page 64
Peer Group Scattergram - 10 Years Up/Down Markets - 10 Years
Peer Group Analysis - Multi Statistics - 10 Years (Excess Return vs. Risk Free)
Region Weights (%)
Performance
Portfolio Characteristics and Dist. of Market Cap (%)
QTD1
Year3
Years5
Years7
Years10
Years2018 2017 2016 2015 2014
Manager 9.19 22.69 11.15 6.90 7.36 5.84 -13.46 29.34 3.09 -1.39 -1.15
Benchmark 9.20 21.63 9.84 5.71 5.65 5.21 -14.76 27.81 4.41 -4.60 -3.89
Difference -0.01 1.06 1.31 1.19 1.71 0.63 1.30 1.53 -1.32 3.21 2.74
Peer Group Median 9.64 23.77 11.03 6.68 6.90 6.52 -13.67 28.75 4.00 -2.60 -2.97
Rank 61 71 47 42 26 86 43 38 71 28 21
Population 70 66 64 61 49 41 70 84 88 79 45
ReturnStandardDeviation
Manager 5.84 13.80
Benchmark 5.21 14.51
Median 6.52 14.28
8.12
8.63
9.14
9.65
10.16
10.67
DownsideRisk
Manager 6.07 (88) 1.91 (64) 0.26 (88) 0.44 (78) 9.25 (65)
Benchmark 5.57 (91) 0.00 (100) N/A 0.38 (92) 9.67 (20)
Median 6.76 2.29 0.51 0.47 9.32
Portfolio Benchmark
Wtd. Avg. Mkt. Cap ($M) 62,764 65,744
Median Mkt. Cap ($M) 2,135 1,557
Price/Earnings Ratio 17.61 16.06
Price/Book Ratio 2.68 2.32
5 Yr. EPS Growth Rate (%) 9.38 8.30
Current Yield (%) 2.68 3.12
Beta (5 Years, Monthly) 0.92 1.00
Number of Securities 4,107 6,622
Active Share 49.05 N/A
International Equity - Retirement
All Public Plans-Intl. Equity Segment
As of December 31, 2019
Peer Group:Benchmark: MSCI ACW Ex US IM Index (Blended)Manager:
Performance shown is gross of fees. Calculation is based on monthly periodicity. Parenthesis contain percentile ranks.
Page 65
Peer Group Scattergram - 10 Years Up/Down Markets - 10 Years
Peer Group Analysis - Multi Statistics - 10 Years (Excess Return vs. Risk Free)
Region Weights (%)
Performance
Portfolio Characteristics and Dist. of Market Cap (%)
QTD1
Year3
Years5
Years7
Years10
Years2018 2017 2016 2015 2014
Manager 9.19 22.71 11.15 6.89 7.31 5.73 -13.44 29.29 3.06 -1.40 -1.14
Benchmark 9.20 21.63 9.84 5.71 5.65 5.21 -14.76 27.81 4.41 -4.60 -3.89
Difference -0.01 1.08 1.31 1.18 1.66 0.52 1.32 1.48 -1.35 3.20 2.75
Peer Group Median 9.64 23.77 11.03 6.68 6.90 6.52 -13.67 28.75 4.00 -2.60 -2.97
Rank 61 71 47 42 27 88 42 40 72 29 21
Population 70 66 64 61 49 41 70 84 88 79 45
ReturnStandardDeviation
Manager 5.73 13.72
Benchmark 5.21 14.51
Median 6.52 14.28
8.12
8.63
9.14
9.65
10.16
10.67
DownsideRisk
Manager 5.95 (89) 2.39 (50) 0.16 (89) 0.43 (85) 9.21 (69)
Benchmark 5.57 (91) 0.00 (100) N/A 0.38 (92) 9.67 (20)
Median 6.76 2.29 0.51 0.47 9.32
Portfolio Benchmark
Wtd. Avg. Mkt. Cap ($M) 62,702 65,744
Median Mkt. Cap ($M) 2,135 1,557
Price/Earnings Ratio 17.65 16.06
Price/Book Ratio 2.68 2.32
5 Yr. EPS Growth Rate (%) 9.37 8.30
Current Yield (%) 2.68 3.12
Beta (5 Years, Monthly) 0.92 1.00
Number of Securities 4,107 6,622
Active Share 49.06 N/A
International Equity - Health
All Public Plans-Intl. Equity Segment
As of December 31, 2019
Peer Group:Benchmark: MSCI ACW Ex US IM Index (Net)Manager:
Performance shown is gross of fees. Calculation is based on monthly periodicity. Parenthesis contain percentile ranks.
Page 66
Peer Group Scattergram - 7 Years Up/Down Markets - 7 Years
Peer Group Analysis - Multi Statistics - 7 Years (Excess Return vs. Risk Free)
Region Weights (%)
Performance
Portfolio Characteristics and Dist. of Market Cap (%)
QTD1
Year3
Years5
Years7
Years10
Years2018 2017 2016 2015 2014
Manager 8.43 23.46 9.97 6.24 6.77 N/A -14.30 25.71 3.45 -1.62 -4.13
Benchmark 8.36 22.91 9.49 5.79 6.35 5.66 -14.68 25.17 2.95 -1.95 -4.45
Difference 0.07 0.55 0.48 0.45 0.42 N/A 0.38 0.54 0.50 0.33 0.32
Peer Group Median 8.97 23.00 9.74 6.25 7.02 6.89 -14.40 26.34 1.07 1.22 -4.28
Rank 70 46 48 51 61 N/A 49 59 22 75 50
Population 159 159 158 157 150 141 170 183 192 208 206
ReturnStandardDeviation
Manager 6.77 11.74
Benchmark 6.35 11.72
Median 7.02 11.90
5.82
6.56
7.30
8.04
8.78
9.52
DownsideRisk
Manager 6.48 (65) 0.15 (100) 2.61 (1) 0.55 (56) 7.35 (69)
Benchmark 6.08 (81) 0.00 (100) N/A 0.52 (73) 7.39 (67)
Median 6.75 3.40 0.21 0.57 7.50
Portfolio Benchmark
Wtd. Avg. Mkt. Cap ($M) 55,486 55,737
Median Mkt. Cap ($M) 1,821 1,810
Price/Earnings Ratio 16.84 16.84
Price/Book Ratio 2.28 2.28
5 Yr. EPS Growth Rate (%) 6.70 6.70
Current Yield (%) 3.26 3.26
Beta (5 Years, Monthly) 1.00 1.00
Number of Securities 3,570 3,565
Active Share 0.84 N/A
BlackRock Developed Int'l - Passive (CF)
IM All EAFE (SA+CF)
As of December 31, 2019
Peer Group:Benchmark: MSCI Wrld Ex US IM Index (USD) (Net)Manager:
Performance shown is gross of fees and representative of the Retirement Plan. Calculation is based on monthly periodicity. Parenthesis contain percentile ranks.
Page 67
Peer Group Scattergram - 7 Years Up/Down Markets - 7 Years
Peer Group Analysis - Multi Statistics - 7 Years (Excess Return vs. Risk Free)
Region Weights (%)
Performance
Portfolio Characteristics and Dist. of Market Cap (%)
QTD1
Year3
Years5
Years7
Years10
Years2018 2017 2016 2015 2014
Manager 8.09 24.40 13.00 9.06 10.84 N/A -8.75 27.13 -0.22 7.17 1.31
Benchmark 8.36 22.91 9.49 5.79 6.35 5.66 -14.68 25.17 2.95 -1.95 -4.45
Difference -0.27 1.49 3.51 3.27 4.49 N/A 5.93 1.96 -3.17 9.12 5.76
Peer Group Median 8.97 23.00 9.74 6.25 7.02 6.89 -14.40 26.34 1.07 1.22 -4.28
Rank 76 39 19 7 4 N/A 5 42 68 7 6
Population 159 159 158 157 150 141 170 183 192 208 206
ReturnStandardDeviation
Manager 10.84 10.45
Benchmark 6.35 11.72
Median 7.02 11.90
5.30
6.11
6.92
7.73
8.54
9.35
DownsideRisk
Manager 10.11 (5) 5.07 (6) 0.79 (8) 0.97 (1) 6.19 (98)
Benchmark 6.08 (81) 0.00 (100) N/A 0.52 (73) 7.39 (67)
Median 6.75 3.40 0.21 0.57 7.50
Portfolio Benchmark
Wtd. Avg. Mkt. Cap ($M) 50,146 55,737
Median Mkt. Cap ($M) 12,325 1,810
Price/Earnings Ratio 25.23 16.84
Price/Book Ratio 3.42 2.28
5 Yr. EPS Growth Rate (%) 8.24 6.70
Current Yield (%) 1.87 3.26
Beta (5 Years, Monthly) 0.77 1.00
Number of Securities 89 3,565
Active Share 89.93 N/A
MFS Developed Int'l (SA)
IM All EAFE (SA+CF)
As of December 31, 2019
Peer Group:Benchmark: MSCI Wrld Ex US IM Index (USD) (Net)Manager:
Performance shown is gross of fees and representative of the Retirement Plan. Calculation is based on monthly periodicity. Parenthesis contain percentile ranks.
Page 68
Peer Group Scattergram - 10 Years Up/Down Markets - 10 Years
Peer Group Analysis - Multi Statistics - 10 Years (Excess Return vs. Risk Free)
Region Weights (%)
Performance
Portfolio Characteristics and Dist. of Market Cap (%)
QTD1
Year3
Years5
Years7
Years10
Years2018 2017 2016 2015 2014
Manager 9.06 25.64 10.16 6.04 6.84 6.46 -14.99 25.16 -0.70 0.99 -5.94
Benchmark 8.36 22.91 9.49 5.79 6.35 5.66 -14.68 25.17 2.95 -1.95 -4.45
Difference 0.70 2.73 0.67 0.25 0.49 0.80 -0.31 -0.01 -3.65 2.94 -1.49
Peer Group Median 8.97 23.00 9.74 6.25 7.02 6.89 -14.40 26.34 1.07 1.22 -4.28
Rank 50 30 42 56 60 61 59 66 73 54 80
Population 159 159 158 157 150 141 170 183 192 208 206
ReturnStandardDeviation
Manager 6.46 14.25
Benchmark 5.66 14.33
Median 6.89 14.42
6.70
7.67
8.64
9.61
10.58
11.55
DownsideRisk
Manager 6.72 (65) 1.77 (100) 0.42 (45) 0.47 (60) 9.47 (52)
Benchmark 5.97 (83) 0.00 (100) N/A 0.42 (84) 9.50 (49)
Median 7.17 3.46 0.38 0.49 9.48
Portfolio Benchmark
Wtd. Avg. Mkt. Cap ($M) 65,819 55,737
Median Mkt. Cap ($M) 23,702 1,810
Price/Earnings Ratio 20.43 16.84
Price/Book Ratio 2.50 2.28
5 Yr. EPS Growth Rate (%) 9.54 6.70
Current Yield (%) 2.63 3.26
Beta (5 Years, Monthly) 0.98 1.00
Number of Securities 163 3,565
Active Share 75.03 N/A
Fidelity Developed Int'l (SA)
IM All EAFE (SA+CF)
As of December 31, 2019
Peer Group:Benchmark: International Developed BlendManager:
Performance shown is gross of fees and representative of the Retirement Plan. Calculation is based on monthly periodicity. Parenthesis contain percentile ranks.
Page 69
Peer Group Scattergram - 7 Years Up/Down Markets - 7 Years
Peer Group Analysis - Multi Statistics - 7 Years (Excess Return vs. Risk Free)
Region Weights (%)
Performance
Portfolio Characteristics and Dist. of Market Cap (%)
QTD1
Year3
Years5
Years7
Years10
Years2018 2017 2016 2015 2014
Manager 11.74 18.11 10.95 5.40 3.61 N/A -15.67 37.13 12.18 -15.10 0.24
Benchmark 11.59 17.65 11.00 5.30 3.16 3.60 -15.05 36.83 9.90 -13.86 -1.79
Difference 0.15 0.46 -0.05 0.10 0.45 N/A -0.62 0.30 2.28 -1.24 2.03
Peer Group Median 11.36 19.49 11.39 6.22 4.82 5.32 -15.23 36.81 10.36 -12.66 -0.09
Rank 42 63 55 65 75 N/A 55 47 37 72 47
Population 283 282 271 242 202 137 311 326 336 340 334
ReturnStandardDeviation
Manager 3.61 14.51
Benchmark 3.16 14.53
Median 4.82 14.42
6.72
7.64
8.56
9.48
10.40
11.32
DownsideRisk
Manager 3.82 (75) 1.92 (96) 0.23 (62) 0.26 (74) 9.44 (50)
Benchmark 3.39 (83) 0.00 (100) N/A 0.23 (80) 9.63 (36)
Median 4.95 4.36 0.33 0.34 9.43
Portfolio Benchmark
Wtd. Avg. Mkt. Cap ($M) 95,523 93,278
Median Mkt. Cap ($M) 8,770 1,228
Price/Earnings Ratio 14.80 14.19
Price/Book Ratio 2.71 2.45
5 Yr. EPS Growth Rate (%) 12.17 12.80
Current Yield (%) 2.75 2.76
Beta (5 Years, Monthly) 0.99 1.00
Number of Securities 387 3,057
Active Share 51.57 N/A
LA Capital Emerging (CF)
IM Emerging Markets Equity (SA+CF)
As of December 31, 2019
Peer Group:Benchmark: MSCI Emg Mkts IM Index (USD) (Net)Manager:
Performance shown is gross of fees and representative of the Retirement Plan. Calculation is based on monthly periodicity. Parenthesis contain percentile ranks.
Page 70
Peer Group Scattergram - 3 Years Up/Down Markets - 3 Years
Peer Group Analysis - Multi Statistics - 3 Years (Excess Return vs. Risk Free)
Region Weights (%)
Performance
Portfolio Characteristics and Dist. of Market Cap (%)
QTD1
Year3
Years5
Years7
Years10
Years2018 2017 2016 2015 2014
Manager 10.72 17.42 11.82 N/A N/A N/A -15.55 41.01 N/A N/A N/A
Benchmark 11.59 17.65 11.00 5.30 3.16 3.60 -15.05 36.83 9.90 -13.86 -1.79
Difference -0.87 -0.23 0.82 N/A N/A N/A -0.50 4.18 N/A N/A N/A
Peer Group Median 11.36 19.49 11.39 6.22 4.82 5.32 -15.23 36.81 10.36 -12.66 -0.09
Rank 60 67 44 N/A N/A N/A 54 28 N/A N/A N/A
Population 283 282 271 242 202 137 311 326 336 340 334
ReturnStandardDeviation
Manager 11.82 14.17
Benchmark 11.00 13.94
Median 11.39 13.84
5.73
6.70
7.67
8.64
9.61
10.58
DownsideRisk
Manager 10.57 (44) 2.06 (96) 0.38 (37) 0.74 (49) 8.37 (49)
Benchmark 9.80 (55) 0.00 (100) N/A 0.70 (60) 8.63 (35)
Median 10.16 4.14 0.11 0.73 8.33
Portfolio Benchmark
Wtd. Avg. Mkt. Cap ($M) 63,697 93,278
Median Mkt. Cap ($M) 4,313 1,228
Price/Earnings Ratio 10.53 14.19
Price/Book Ratio 2.45 2.45
5 Yr. EPS Growth Rate (%) 14.53 12.80
Current Yield (%) 3.24 2.76
Beta (3 Years, Monthly) 1.01 1.00
Number of Securities 228 3,057
Active Share 75.17 N/A
Wellington Emerging (SA)
IM Emerging Markets Equity (SA+CF)
As of December 31, 2019
Peer Group:Benchmark: MSCI Emg Mkts IM Index (USD) (Net)Manager:
Performance shown is gross of fees and representative of the Retirement Plan. Calculation is based on monthly periodicity. Parenthesis contain percentile ranks.
Page 71
Peer Group Scattergram - 10 Years Up/Down Markets - 10 Years
Peer Group Analysis - Multi Statistics - 10 Years (Excess Return vs. Risk Free)
Sector Distribution (%)
Performance
Portfolio Characteristics
QTD1
Year3
Years5
Years7
Years10
Years2018 2017 2016 2015 2014
Manager 0.98 9.54 4.65 3.93 3.56 4.90 -0.23 4.88 5.00 0.78 6.05
Benchmark 0.97 8.91 4.29 3.71 3.23 4.26 0.02 4.12 5.65 0.11 5.56
Difference 0.01 0.63 0.36 0.22 0.33 0.64 -0.25 0.76 -0.65 0.67 0.49
Peer Group Median 0.51 9.15 4.44 3.58 3.04 4.55 -0.25 4.49 4.54 0.21 6.01
Rank 17 38 39 36 38 39 49 42 41 29 48
Population 74 70 68 67 58 45 74 85 92 79 48
ReturnStandardDeviation
Manager 4.90 2.37
Benchmark 4.26 2.47
Median 4.55 3.13
0.17
0.80
1.43
2.06
2.69
3.32
DownsideRisk
Manager 4.24 (41) 0.50 (100) 1.22 (7) 1.79 (5) 1.11 (92)
Benchmark 3.63 (60) 0.00 (100) N/A 1.47 (25) 1.24 (89)
Median 3.92 1.61 0.22 1.30 1.63
Portfolio Benchmark
Effective Duration 4.50 N/A
Spread Duration N/A N/A
Avg. Maturity 6.46 6.30
Avg. Quality A2 A2
Yield To Maturity (%) 3.16 3.31
Coupon Rate (%) 3.97 3.74
Current Yield (%) 3.87 3.92
Holdings Count N/A N/A
Fixed Income - Retirement
All Public Plans-US Fixed Income Segment
As of December 31, 2019
Peer Group:Benchmark: Fixed Income Custom Index (R)Manager:
Performance shown is gross of fees. Calculation is based on monthly periodicity. Parentheses contain percentile ranks. Composite allocation to Non-Inv Grade Corp may include some Inv Grade Corp and allocation to Agency MBS may include some Non-Agency MBS. Allocation to "Other" consists of CRTs.
Page 72
Peer Group Scattergram - 10 Years Up/Down Markets - 10 Years
Peer Group Analysis - Multi Statistics - 10 Years (Excess Return vs. Risk Free)
Sector Distribution (%)
Performance
Portfolio Characteristics
QTD1
Year3
Years5
Years7
Years10
Years2018 2017 2016 2015 2014
Manager 0.98 9.51 4.65 3.91 3.52 4.76 -0.24 4.89 4.85 0.83 6.05
Benchmark 0.97 8.91 4.29 3.71 3.23 4.26 0.02 4.12 5.65 0.11 5.56
Difference 0.01 0.60 0.36 0.20 0.29 0.50 -0.26 0.77 -0.80 0.72 0.49
Peer Group Median 0.51 9.15 4.44 3.58 3.04 4.55 -0.25 4.49 4.54 0.21 6.01
Rank 17 38 39 37 38 47 49 42 42 27 48
Population 74 70 68 67 58 45 74 85 92 79 48
ReturnStandardDeviation
Manager 4.76 2.33
Benchmark 4.26 2.47
Median 4.55 3.13
0.17
0.80
1.43
2.06
2.69
3.32
DownsideRisk
Manager 4.11 (48) 0.45 (100) 1.06 (9) 1.76 (5) 1.10 (92)
Benchmark 3.63 (60) 0.00 (100) N/A 1.47 (25) 1.24 (89)
Median 3.92 1.61 0.22 1.30 1.63
Portfolio Benchmark
Effective Duration 4.46 N/A
Spread Duration N/A N/A
Avg. Maturity 6.36 6.30
Avg. Quality A2 A2
Yield To Maturity (%) 3.15 3.31
Coupon Rate (%) 3.95 3.74
Current Yield (%) 3.84 3.92
Holdings Count N/A N/A
Fixed Income - Health
All Public Plans-US Fixed Income Segment
As of December 31, 2019
Peer Group:Benchmark: Fixed Income Custom Index (H)Manager:
Performance shown is gross of fees. Calculation is based on monthly periodicity. Parentheses contain percentile ranks. Composite allocation to Non-Inv Grade Corp may include some Inv Grade Corp and allocation to Agency MBS may include some Non-Agency MBS. Allocation to "Other" consists of CRTs.
Page 73
Peer Group Scattergram - 3 Years Up/Down Markets - 3 Years
Peer Group Analysis - Multi Statistics - 3 Years (Excess Return vs. Risk Free)
Sector Distribution (%)
Performance
Portfolio Characteristics
QTD1
Year3
Years5
Years7
Years10
Years2018 2017 2016 2015 2014
Manager 0.17 5.91 3.03 N/A N/A N/A 1.37 1.86 2.02 N/A N/A
Benchmark 0.31 5.79 2.91 2.29 2.03 2.83 1.21 1.80 1.40 1.32 4.11
Difference -0.14 0.12 0.12 N/A N/A N/A 0.16 0.06 0.62 N/A N/A
Peer Group Median 0.22 9.20 4.40 3.46 3.07 4.27 0.07 4.04 3.10 0.82 6.16
Rank 62 99 99 N/A N/A N/A 5 100 97 N/A N/A
Population 143 143 142 138 133 129 154 159 167 172 185
ReturnStandardDeviation
Manager 3.03 1.79
Benchmark 2.91 2.08
Median 4.40 2.85
0.50
0.80
1.10
1.40
1.70
DownsideRisk
Manager 1.35 (99) 0.40 (100) 0.27 (98) 0.79 (93) 0.65 (99)
Benchmark 1.24 (99) 0.00 (100) N/A 0.62 (100) 0.90 (95)
Median 2.70 1.11 1.26 0.97 1.14
Portfolio Benchmark
Effective Duration 3.50 3.53
Spread Duration 2.27 2.08
Avg. Maturity 4.31 4.48
Avg. Quality Aaa Aaa
Yield To Maturity (%) 2.22 2.08
Coupon Rate (%) 3.60 2.81
Current Yield (%) 3.63 3.30
Holdings Count 394 4,137
JP Morgan Principal Protection (SA)
IM U.S. Broad Market Core Fixed Income (SA+CF)
As of December 31, 2019
Peer Group:Benchmark: Bloomberg US Int Agg Ex Crdt IndexManager:
Performance shown is gross of fees and representative of the Retirement Plan. Calculation is based on monthly periodicity. Parentheses contain percentile ranks.
Page 74
Peer Group Scattergram - 3 Years Up/Down Markets - 3 Years
Peer Group Analysis - Multi Statistics - 3 Years (Excess Return vs. Risk Free)
Sector Distribution (%)
Performance
Portfolio Characteristics
QTD1
Year3
Years5
Years7
Years10
Years2018 2017 2016 2015 2014
Manager 0.45 6.06 3.07 N/A N/A N/A 1.27 1.94 1.86 N/A N/A
Benchmark 0.31 5.79 2.91 2.29 2.03 2.83 1.21 1.80 1.40 1.32 4.11
Difference 0.14 0.27 0.16 N/A N/A N/A 0.06 0.14 0.46 N/A N/A
Peer Group Median 0.22 9.20 4.40 3.46 3.07 4.27 0.07 4.04 3.10 0.82 6.16
Rank 16 99 99 N/A N/A N/A 6 100 97 N/A N/A
Population 143 143 142 138 133 129 154 159 167 172 185
ReturnStandardDeviation
Manager 3.07 1.96
Benchmark 2.91 2.08
Median 4.40 2.85
0.60
0.80
1.00
1.20
1.40
1.60
DownsideRisk
Manager 1.39 (99) 0.19 (100) 0.79 (92) 0.73 (96) 0.84 (96)
Benchmark 1.24 (99) 0.00 (100) N/A 0.62 (100) 0.90 (95)
Median 2.70 1.11 1.26 0.97 1.14
Portfolio Benchmark
Effective Duration 3.57 3.53
Spread Duration 4.23 2.08
Avg. Maturity 4.64 4.48
Avg. Quality Aaa Aaa
Yield To Maturity (%) 2.28 2.08
Coupon Rate (%) 3.14 2.81
Current Yield (%) 3.00 3.30
Holdings Count 355 4,137
Wells Principal Protection (SA)
IM U.S. Broad Market Core Fixed Income (SA+CF)
As of December 31, 2019
Peer Group:Benchmark: Bloomberg US Int Agg Ex Crdt IndexManager:
Performance shown is gross of fees and representative of the Retirement Plan. Calculation is based on monthly periodicity. Parentheses contain percentile ranks.
Page 75
Peer Group Scattergram - 3 Years Up/Down Markets - 3 Years
Peer Group Analysis - Multi Statistics - 3 Years (Excess Return vs. Risk Free)
Sector Distribution (%)
Performance
Portfolio Characteristics
QTD1
Year3
Years5
Years7
Years10
Years2018 2017 2016 2015 2014
Manager 1.59 13.40 5.96 N/A N/A N/A -2.73 7.86 8.37 N/A N/A
Benchmark 1.63 12.53 5.78 5.36 4.94 6.32 -1.44 6.73 10.04 -0.34 5.28
Difference -0.04 0.87 0.18 N/A N/A N/A -1.29 1.13 -1.67 N/A N/A
Peer Group Median 1.62 9.46 5.30 3.67 3.23 4.11 -1.76 7.57 5.85 -2.30 2.83
Rank 52 24 32 N/A N/A N/A 67 45 35 N/A N/A
Population 209 207 203 192 168 118 242 251 265 275 275
ReturnStandardDeviation
Manager 5.96 2.97
Benchmark 5.78 2.71
Median 5.30 3.86
-2.00
0.00
2.00
4.00
6.00
DownsideRisk
Manager 4.19 (34) 0.63 (100) 0.28 (20) 1.42 (22) 1.02 (80)
Benchmark 4.02 (38) 0.00 (100) N/A 1.50 (18) 0.87 (85)
Median 3.61 2.78 -0.14 0.99 1.88
Portfolio Benchmark
Effective Duration 6.48 5.57
Spread Duration N/A 5.49
Avg. Maturity 8.75 8.48
Avg. Quality Baa2 Baa3
Yield To Maturity (%) 3.70 4.33
Coupon Rate (%) 4.50 4.58
Current Yield (%) 4.30 4.40
Holdings Count 552 18,766
Macquarie Unconstrained (SA)
IM Global Fixed Income (SA+CF)
As of December 31, 2019
Peer Group:Benchmark: 67% B Global Credit/33% B Global High YieldManager:
Performance shown is gross of fees and representative of the Retirement Plan. Calculation is based on monthly periodicity. Parentheses contain percentile ranks. Manager allocation to Non-Inv Grade Corp may include some Inv Grade Corp and allocation to Agency MBS may include some Non-Agency MBS. On March 31, 2017, Delaware Investments adopted the name of its parent company, Macquarie Investment Management.
Page 76
Peer Group Scattergram - 3 Years Up/Down Markets - 3 Years
Peer Group Analysis - Multi Statistics - 3 Years (Excess Return vs. Risk Free)
Sector Distribution (%)
Performance
Portfolio Characteristics
QTD1
Year3
Years5
Years7
Years10
Years2018 2017 2016 2015 2014
Manager 1.79 13.92 7.11 N/A N/A N/A -1.27 9.26 9.65 N/A N/A
Benchmark 1.63 12.53 5.78 5.36 4.94 6.32 -1.44 6.73 10.04 -0.34 5.28
Difference 0.16 1.39 1.33 N/A N/A N/A 0.17 2.53 -0.39 N/A N/A
Peer Group Median 1.62 9.46 5.30 3.67 3.23 4.11 -1.76 7.57 5.85 -2.30 2.83
Rank 49 20 9 N/A N/A N/A 41 25 31 N/A N/A
Population 209 207 203 192 168 118 242 251 265 275 275
ReturnStandardDeviation
Manager 7.11 3.23
Benchmark 5.78 2.71
Median 5.30 3.86
-2.00
0.00
2.00
4.00
6.00
DownsideRisk
Manager 5.29 (9) 0.97 (100) 1.31 (1) 1.64 (13) 0.99 (80)
Benchmark 4.02 (38) 0.00 (100) N/A 1.50 (18) 0.87 (85)
Median 3.61 2.78 -0.14 0.99 1.88
Portfolio Benchmark
Effective Duration 5.48 5.57
Spread Duration 5.44 5.49
Avg. Maturity 8.74 8.48
Avg. Quality Baa3 Baa3
Yield To Maturity (%) 4.11 4.33
Coupon Rate (%) 4.47 4.58
Current Yield (%) 4.32 4.40
Holdings Count 728 18,766
Neuberger Unconstrained (SA)
IM Global Fixed Income (SA+CF)
As of December 31, 2019
Peer Group:Benchmark: 67% B Global Credit/33% B Global High YieldManager:
Performance shown is gross of fees and representative of the Retirement Plan. Calculation is based on monthly periodicity. Parentheses contain percentile ranks. Allocation to "Other" consists of CRTs.
Page 77
Peer Group Scattergram - 3 Years Up/Down Markets - 3 Years
Peer Group Analysis - Multi Statistics - 3 Years (Excess Return vs. Risk Free)
Quality Distribution (%)
Performance
Portfolio Characteristics
QTD1
Year3
Years5
Years7
Years10
Years2018 2017 2016 2015 2014
Manager 1.05 9.26 4.80 N/A N/A N/A -0.13 5.48 9.18 N/A N/A
Benchmark 1.68 8.17 4.48 4.54 4.41 5.18 1.14 4.25 9.88 -0.38 2.06
Difference -0.63 1.09 0.32 N/A N/A N/A -1.27 1.23 -0.70 N/A N/A
Peer Group Median 1.79 8.69 4.48 4.64 4.49 5.44 0.80 4.46 9.52 0.65 2.00
Rank 91 31 27 N/A N/A N/A 96 7 60 N/A N/A
Population 45 45 44 44 40 31 63 65 66 69 72
ReturnStandardDeviation
Manager 4.80 3.40
Benchmark 4.48 2.63
Median 4.48 2.73
1.00
1.20
1.40
1.60
1.80
2.00
DownsideRisk
Manager 3.10 (26) 1.58 (1) 0.21 (35) 0.90 (79) 1.89 (2)
Benchmark 2.77 (51) 0.00 (100) N/A 1.05 (41) 1.45 (64)
Median 2.78 0.55 0.01 1.00 1.51
Portfolio Benchmark
Effective Duration 0.25 N/A
Spread Duration 4.29 N/A
Avg. Maturity 4.71 4.83
Avg. Quality B1 Ba2
Yield To Maturity (%) 5.18 6.43
Coupon Rate (%) 5.06 5.51
Current Yield (%) 5.13 5.74
Holdings Count 121 1,688
Pacific Asset Bank Loans (SA)
IM U.S. Bank Loans (SA+CF)
As of December 31, 2019
Peer Group:Benchmark: CS Lvg'd Loan IndexManager:
Performance shown is gross of fees and product specific. Calculation is based on monthly periodicity. Parentheses contain percentile ranks.
Page 78
Performance
Historical Statistics - 10 Years Actual Correlation - 10 Years
Relative Performance - Since Inception
QTD1
Year3
Years5
Years7
Years10
Years2018 2017 2016 2015 2014
Manager 0.22 7.13 2.65 2.98 1.71 3.19 -2.96 4.05 9.90 -2.56 2.21
Benchmark 1.38 5.11 5.21 4.76 4.58 4.14 5.26 5.26 4.74 3.45 4.27
Difference -1.16 2.02 -2.56 -1.78 -2.87 -0.95 -8.22 -1.21 5.16 -6.01 -2.06
Real Return
Russell3000
(Blended)(R)
MSCI ACWEx US IMI(Blended)
FixedIncomeCustom
Index (R)
Standard Deviation 3.55 12.81 14.51 2.47
Sharpe Ratio 0.74 1.01 0.38 1.47
Downside Risk 2.17 7.80 9.67 1.24
Excess Return 2.63 12.90 5.57 3.63
ActualCorrelation
Composite Benchmark -0.01
S&P 500 Index (Cap Wtd) -0.01
Russell 2000 Index -0.04
MSCI EAFE Index (USD) (Net) 0.05
MSCI Emg Mkts Index (USD) (Net) 0.21
Bloomberg US Agg Bond Index 0.63
Bloomberg US Trsy US TIPS Index 0.72
Wilshire US REIT Index 0.24
HFRI FOF Comp Index 0.12
Bloomberg Cmdty Index (TR) 0.21
ICE BofAML 3 Mo US T-Bill Index 0.03
Cons Price Index (Unadjusted) 0.09
Cumulative Annualized Over/Under Relative Performance
Over/Under Performance
0.00
3.00
6.00
-3.00
-6.00
-9.00
-12.00
-15.00
Retu
rn (
%)
2/07 2/08 2/09 2/10 2/11 2/12 2/13 2/14 2/15 2/16 2/17 2/18 2/19 12/19
Real Return - Retirement As of December 31, 2019Benchmark: CPI+3% (Blended)Manager:
Performance shown is gross of fees. Calculation is based on monthly periodicity.
Page 79
Performance
Historical Statistics - 7 Years Actual Correlation - 7 Years
Relative Performance - Since Inception
QTD1
Year3
Years5
Years7
Years10
Years2018 2017 2016 2015 2014
Manager 0.16 6.85 2.60 2.88 1.71 N/A -2.79 3.97 9.56 -2.58 2.26
Benchmark 1.38 5.11 5.21 4.76 4.58 4.14 5.26 5.26 4.74 3.45 4.27
Difference -1.22 1.74 -2.61 -1.88 -2.87 N/A -8.05 -1.29 4.82 -6.03 -2.01
Real Return
Russell3000
(Blended)(H)
MSCI ACWEx US IMI
(Net)
FixedIncomeCustom
Index (H)
Standard Deviation 3.71 11.33 11.89 2.51
Sharpe Ratio 0.27 1.18 0.46 0.98
Downside Risk 2.45 6.86 7.60 1.41
Excess Return 0.99 13.37 5.44 2.44
ActualCorrelation
Composite Benchmark 0.06
S&P 500 Index (Cap Wtd) 0.14
Russell 2000 Index 0.06
MSCI EAFE Index (USD) (Net) 0.27
MSCI Emg Mkts Index (USD) (Net) 0.45
Bloomberg US Agg Bond Index 0.65
Bloomberg US Trsy US TIPS Index 0.78
Wilshire US REIT Index 0.40
HFRI FOF Comp Index 0.24
Bloomberg Cmdty Index (TR) 0.45
ICE BofAML 3 Mo US T-Bill Index 0.12
Cons Price Index (Unadjusted) 0.15
Cumulative Annualized Over/Under Relative Performance
Over/Under Performance
0.00
2.00
4.00
6.00
8.00
-2.00
-4.00
-6.00
Retu
rn (
%)
4/10 1/11 10/11 7/12 4/13 1/14 10/14 7/15 4/16 1/17 10/17 7/18 4/19 12/19
Real Return - Health As of December 31, 2019Benchmark: CPI+3% (Blended)Manager:
Performance shown is gross of fees. Calculation is based on monthly periodicity.
Page 80
Performance
Historical Statistics - 5 Years Actual Correlation - 5 Years
Relative Performance - Since Inception
QTD1
Year3
Years5
Years7
Years10
Years2018 2017 2016 2015 2014
Manager 4.85 6.23 0.10 -0.63 N/A N/A -10.99 6.09 14.61 -15.75 -15.29
Benchmark 4.42 7.69 -0.94 -3.92 -6.72 -4.73 -11.25 1.70 11.77 -24.66 -17.01
Difference 0.43 -1.46 1.04 3.29 N/A N/A 0.26 4.39 2.84 8.91 1.72
InvescoCommodity
(CF)
Russell3000
(Blended)(R)
MSCI ACWEx US IMI(Blended)
FixedIncomeCustom
Index (R)
Standard Deviation 10.65 12.13 12.36 2.30
Sharpe Ratio -0.11 0.86 0.43 1.15
Downside Risk 7.12 7.77 8.01 1.11
Excess Return -1.14 10.37 5.26 2.60
ActualCorrelation
Manager Benchmark 0.89
S&P 500 Index (Cap Wtd) 0.34
Russell 2000 Index 0.31
MSCI EAFE Index (USD) (Net) 0.37
MSCI Emg Mkts Index (USD) (Net) 0.51
Bloomberg US Agg Bond Index -0.09
Bloomberg US Trsy US TIPS Index 0.12
Wilshire US REIT Index -0.02
HFRI FOF Comp Index 0.34
ICE BofAML 3 Mo US T-Bill Index 0.02
Cons Price Index (Unadjusted) 0.27
Cumulative Annualized Over/Under Relative Performance
Over/Under Performance
0.00
3.00
6.00
9.00
-3.00
-6.00
-9.00
-12.00
-15.00
Retu
rn (
%)
8/13 2/14 8/14 2/15 8/15 2/16 8/16 2/17 8/17 2/18 8/18 2/19 12/19
Invesco Commodity (CF) As of December 31, 2019Benchmark: Bloomberg Cmdty Index (TR)Manager:
Performance shown is gross of fees and representative of the Retirement Plan. Calculation is based on monthly periodicity.
Page 81
Performance
Historical Statistics - 7 Years Actual Correlation - 7 Years
Sector Distribution (%)
QTD1
Year3
Years5
Years7
Years10
Years2018 2017 2016 2015 2014
Manager -1.16 8.03 3.60 3.95 3.18 N/A -0.38 3.33 9.37 -0.22 8.75
Benchmark -2.55 8.38 3.88 4.08 3.34 4.52 0.10 3.32 10.22 -1.12 9.04
Difference 1.39 -0.35 -0.28 -0.13 -0.16 N/A -0.48 0.01 -0.85 0.90 -0.29
WAMCO(SA)
Russell3000
(Blended)(R)
MSCI ACWEx US IMI(Blended)
FixedIncomeCustom
Index (R)
Standard Deviation 4.60 11.33 11.89 2.51
Sharpe Ratio 0.54 1.18 0.46 0.98
Downside Risk 2.91 6.86 7.60 1.41
Excess Return 2.46 13.37 5.44 2.44
ActualCorrelation
Manager Benchmark 0.97
S&P 500 Index (Cap Wtd) 0.00
Russell 2000 Index -0.10
MSCI EAFE Index (USD) (Net) 0.12
MSCI Emg Mkts Index (USD) (Net) 0.23
Bloomberg US Agg Bond Index 0.81
Bloomberg US Trsy US TIPS Index 0.83
Wilshire US REIT Index 0.48
HFRI FOF Comp Index 0.09
Bloomberg Cmdty Index (TR) -0.05
ICE BofAML 3 Mo US T-Bill Index 0.09
Cons Price Index (Unadjusted) -0.04
Portfolio Characteristics
Portfolio Benchmark
Effective Duration 11.56 N/A
Spread Duration 1.38 N/A
Avg. Maturity 12.64 10.81
Avg. Quality Aa1 Aaa
Yield To Maturity (%) 2.22 N/A
Coupon Rate (%) 1.30 N/A
Yield To Worst (%) 0.49 -0.93
Current Yield (%) 0.76 N/A
Holdings Count 60 140
WAMCO (SA) As of December 31, 2019Benchmark: Bloomberg Wrld Gov't Infl Lnkd Index (Hedged)Manager:
Performance shown is gross of fees and representative of the Retirement Plan. Calculation is based on monthly periodicity.
Page 82
Performance
Historical Statistics - 1 Year Actual Correlation - 1 Year
Relative Performance - Since Inception
QTD1
Year3
Years5
Years7
Years10
Years2018 2017 2016 2015 2014
Manager 0.05 3.23 N/A N/A N/A N/A 1.03 N/A N/A N/A N/A
Benchmark 1.24 5.39 4.68 4.08 3.79 3.58 4.85 3.81 3.33 3.02 3.05
Difference -1.19 -2.16 N/A N/A N/A N/A -3.82 N/A N/A N/A N/A
BlackstoneHope St. LP
(CF)(Lagged-1
Mo)
Russell3000
(Blended)(R)
MSCI ACWEx US IMI(Blended)
FixedIncomeCustom
Index (R)
Standard Deviation 2.53 12.89 12.09 1.89
Sharpe Ratio 0.38 2.00 1.50 3.46
Downside Risk 1.45 6.78 6.26 0.10
Excess Return 0.96 25.90 18.22 6.33
ActualCorrelation
Manager Benchmark 0.23
S&P 500 Index (Cap Wtd) -0.25
Russell 2000 Index -0.25
MSCI EAFE Index (USD) (Net) -0.29
MSCI Emg Mkts Index (USD) (Net) -0.39
Bloomberg US Agg Bond Index -0.23
Wilshire US REIT Index -0.62
HFRI FOF Comp Index -0.27
Bloomberg Cmdty Index (TR) -0.32
ICE BofAML 3 Mo US T-Bill Index -0.05
Cons Price Index (Unadjusted) 0.30
Cumulative Annualized Over/Under Relative Performance
Over/Under Performance
0.00
1.00
2.00
3.00
-1.00
-2.00
-3.00
-4.00
-5.00
-6.00
Retu
rn (
%)
9/17 12/17 3/18 6/18 9/18 12/18 3/19 6/19 9/19 12/19
Blackstone Hope St. LP (CF) (Lagged-1 Mo) - Net As of December 31, 2019Benchmark: ICE BofAML 3 Mo US T-Bill Index+3% (1 Mo Lag)Manager:
Performance shown is net of fees and representative of the Retirement Plan. Calculation is based on monthly periodicity.
Page 83
Blackstone Hope Street Fund LP (CF)
Hedge Funds Statistics
As of December 31, 2019
Year Firm Established 1990Firm AUM ($M) $81,436Percentage Employee Owned 47%
Fund Inception 2017Fund Size ($M) $718Number of Underlying Managers 30Max Weighting of an Underlying Manager 6.20%Current Leverage (Assets/Equity) 3.88Annual Manager Turnover N/AAnnual Management Fee % 0.6Performance Fee % 12%Hurdle % 4.40%Initial Lock-Up Period NoRedemption Frequency DailyNotification Period 60 Days
Allocation to "Other" consists of global allocations.
Geographic Allocation (%)
Strategy Allocation to "Other" includes cash, hedging, and other expenses. Geographic Allocation to "Other" consists of Canada. Investment profile data shown is provided by the investment manager and is as of the most recently available quarter end. While California Govt. Code sec. 7514.7 requires certain fund information be disclosed to the public, sec. 6254.26(a) exempts from public disclosure certain contract terms, such as management fees expressed as a percentage, unless the fund manager consents to release such information. In this case, BlackStone has consented to release this information to the public.
Fund statistics shown are provided by the investment manager and are as of the most recently available quarter end.
Strategy Allocation (%)
Investment Strategy Firm Statistics
Fund Statistics
BAAM manages a custom discretionary Hope Street fund on behalf of LADWP. Hope Street is a broadly diversified portfolio designed to provide downside capital protection and achieve the portfolio objective over a full market cycle. The portfolio is designed to maintain low volatility vs. the global equity markets.
25.74
3.13
11.3312.87
15.7913.99 14.85
2.30
0.00
5.00
10.00
15.00
20.00
25.00
30.00
L/S Equity Trading Distressed Macro Lg Sh Credit Multi-Strat Rel Val Other
52.66
22.56 20.64
3.70 0.440.00
20.00
40.00
60.00
80.00
100.00
US Dvl'd Europe Dvl'd Asia Emerging Mkt Other
Actual management and performance fees or other terms may vary based on the invested assets or other manager concessions.
Page 84
Water and Power Employees' Retirement Plan
Blackstone Hope St. Fund LP (CF) Underlying Manager AllocationsAs of December 31, 2019
Equities 26.3Equity Manager 1 3.6
Equity Manager 2 3.4
Equity Manager 3 2.2
Equity Manager 4 3.3
Equity Manager 5 4.1
Equity Manager 6 4.0
Equity Manager 7 2.8
Equity Manager 8 2.1
Equity Manager 9 0.9
Credit 39.8Credit Manager 1 4.5
Credit Manager 2 0.8
Credit Manager 3 5.4
Credit Manager 4 2.7
Credit Manager 5 2.6
Credit Manager 6 7.4
Credit Manager 7 3.8
Credit Manager 8 3.7
Credit Manager 9 3.7
Credit Manager 10 1.4
Credit Manager 11 2.2
Credit Manager 12 1.7
Multi-Strategies 11.5Multi-Strategies Manager 1 5.3
Multi-Strategies Manager 2 4.0
Multi-Strategies Manager 3 2.2
Macro 7.9Macro Manager 1 7.9
Special Situations 7.0Special Situations Manager 1 6.6
Special Situations Manager 2 0.4
Reinsurance 1.5Reinsurance Manager 1 1.2
Reinsurance Manager 2 0.3
Arbitrage 2.5Aribtrage Manager 1 2.5
Cash and Other 3.6
Strategy New Terms/Trans
Equities 0 1Credit 1 0Multi-Strategies 1 0Macro 0 0Event Driven/Opportunistic 0 0Special Situations 0 0Reinsurance 0 0Arbitrage 0 0Cash and Other 0 1
Allocation by Strategy
Strategy Allocation (%)
Quarterly Turnover
Total Quarterly Turnover 2 2
Page 85
Page 86
As stated in Section IV of the Investment Policy:The purpose of a watch list is to focus attention and discussion on the managers that need it - due to difficulties or changes. However, being placed on the watch list does not suggest termination is imminent, as all managers, even topperformers, experience some periods of underperformance. An investment manager/portfolio attains watch status if atleast one of two events occurs:
(i) the portfolio’s rolling 60 month net return is less than the benchmark’s return at two consecutive calendar quarter end dates, or
(ii) after the Portfolio Review is conducted, Investment Staff and/or the investment consultant recommends tothe Board that an investment manager is a candidate for watch status.
However, a manager with less than 60 months of performance with the Plan may be placed on watch for materialunderperformance relative to the benchmark. An investment manager/portfolio may also be placed on watch at any timeas a result of qualitative factors, including but not limited to:
Violation of investment guidelinesDeviation from stated investment style and/ or shifts in the firm’s philosophy or process
Turnover of one or more key personnelChange in firm ownership or structure
Significant loss of clients and/or assets under managementSignificant and persistent lack of responsiveness to client requestsLitigation
Failure to disclose significant information, including potential conflicts of interestChronic violations of the Plan’s Investment Policy
Any other issue or situation of which the Investment Staff, the Advisory Consultant and/or Board become aware that is deemed material.
Water and Power Employees' Retirement PlanManager Watch Criteria
As of December 31, 2019
Page 87
Water and Power Employees' Retirement Plan
Historical Policy Benchmark - RetirementAs of December 31, 2019
Time Period Asset Class Target Change Policy Benchmarks
Domestic Equity 33% -1.25% Russell 3000
International Equity 19% - MSCI ACWI ex US IM
Fixed Income 26% -2.75% Fixed Income Custom Index (R)
Real Return 5% - CPI+3% (Blended)
Hedge Funds 5% +3% ICE BofAML 3Mo US T-Bill+3% Lag
Real Estate 6% +1% NCREIF +0.5% Lag
Private Equity 5% - Russell 3000 +3% Lag
Cash 1% - ICE BofAML 3Mo US T-Bill
Domestic Equity 34.25% +1.25% Russell 3000
International Equity 19% -2% MSCI ACWI ex US IM
Fixed Income 28.75% +4.75% Fixed Income Custom Index (R)
Real Return 5% -1% CPI+3% (Blended)
Hedge Funds 2% +2% ICE BofAML 3Mo US T-Bill+3% Lag
Real Estate 5% - NCREIF +0.5% Lag
Private Equity 5% - Russell 3000 +3% Lag
Cash 1% - ICE BofAML 3Mo US T-Bill
Domestic Equity 33% - Russell 3000
International Equity 21% - MSCI ACWI ex US IM
Fixed Income 24% - Fixed Income Custom Index (R)
Real Return 6% - CPI+3% (Blended)
Real Estate 5% - NCREIF +0.5% Lag
Private Equity 5% - Russell 3000 +3% Lag
Covered Calls 5% - CBOE BXM
Cash 1% - ICE BofAML 3Mo US T-Bill
Domestic Equity 33% - Russell 3000
International Equity 21% - MSCI ACWI ex US IM
Fixed Income 24% - B Universal
Covered Calls 5% - CBOE BXM
Real Estate 5% - NCREIF +0.5% Lag
Private Equity 5% - Russell 3000 +3% Lag
Real Return 6% - CPI+3% (Blended)
Cash 1% - ICE BofAML 3Mo US T-Bill
Domestic Equity 33% -1% Russell 3000
International Equity 21% - MSCI ACWI ex US IM
Fixed Income 24% -1% B Universal
Covered Calls 5% - CBOE BXM
Real Estate 5% +1% NCREIF +0.5% Lag
Private Equity 5% +1% Russell 3000 +3% Lag
Real Return 6% - CPI+3% (Blended)
Cash 1% - ICE BofAML 3Mo US T-Bill
12/1/2017 - Present
(Updated Interim
Targets)
10/1/2014 - 8/31/2015
7/1/2013 - 9/30/2014
2/1/2016 - 11/31/2017
9/1/2015 - 1/31/2016
Please see the Addendum for custom index definitions.
Page 88
Water and Power Employees' Retirement Plan
Historical Policy Benchmark - RetirementAs of December 31, 2019
Time Period Asset Class Target Change Policy Benchmarks
Domestic Equity 34% -1% Russell 3000
International Equity 21% -1% MSCI ACWI ex US IM
Fixed Income 25% -8% B Universal
Covered Calls 5% +5% CBOE BXM
Real Estate 4% +2% NCREIF +0.5% Lag
Private Equity 4% +2% Russell 3000 +3% Lag
Real Return 6% +1% ICE BofAML 3Mo US T-Bill+3% Lag
Cash 1% - ICE BofAML 3Mo US T-Bill
Domestic Equity 35% +1% Russell 3000
International Equity 22% +2% MSCI ACWI ex US IM
Fixed Income 33% - B Universal
Real Estate 2% -2% NCREIF +0.5% Lag
Private Equity 2% -1% Russell 3000 +3% Lag
Real Return 5% - ICE BofAML 3Mo US T-Bill+3% Lag
Cash 1% - ICE BofAML 3Mo US T-Bill
Domestic Equity 34% +1% Russell 3000
International Equity 20% +3% MSCI ACWI ex US IM
Fixed Income 33% -7% B Universal
Real Estate 4% +1% NCREIF + 0.5% Lag
Private Equity 3% +1% 85% Cambridge U.S. Private Equity Lag /
15% Cambridge U.S. Venture Capital Lag
Real Return 5% +2% ICE BofAML 3Mo US T-Bill+3% Lag
Cash 1% -1% ICE BofAML 3Mo US T-Bill
Domestic Equity 33% -7% Russell 3000
International Equity 17% -7% MSCI ACWI ex US IM
Fixed Income 40% +10% B Universal
Real Estate 3% +1% NCREIF + 0.5% Lag
Private Equity 2% +1% 85% Cambridge U.S. Private Equity Lag /
15% Cambridge U.S. Venture Capital Lag
Real Return 3% +1% ICE BofAML 3Mo US T-Bill+3% Lag
Cash 2% +1% ICE BofAML 3Mo US T-Bill
Domestic Equity 40% - Russell 3000
International Equity 24% - MSCI ACWI ex US IM
Fixed Income 30% - B Universal
Real Estate 2% - NCREIF + 0.5% Lag
Private Equity 1% - 85% Cambridge U.S. Private Equity Lag /
15% Cambridge U.S. Venture Capital Lag
Real Return 2% - ICE BofAML 3Mo US T-Bill+3% Lag
Cash 1% - ICE BofAML 3Mo US T-Bill
10/1/2010-9/30/2011
4/1/2012-6/30/2013
10/1/2011-3/31/2012
7/1/2009-9/30/2010
1/1/2009-6/30/2009
Please see the Addendum for custom index definitions.
Page 89
Water and Power Employees' Retirement Plan
Historical Policy Benchmark - RetirementAs of December 31, 2019
Time Period Asset Class Target Change Policy Benchmarks
Domestic Equity 40% - Russell 3000
International Equity 24% +9% MSCI ACWI ex US
Fixed Income 30% -5% B Universal
Real Estate 2% -2% NCREIF + 0.5% Lag
Private Equity 1% -3% 85% Cambridge U.S. Private Equity Lag /
15% Cambridge U.S. Venture Capital Lag
Real Return 2% +1% ICE BofAML 3Mo US T-Bill+3% Lag
Cash 1% - ICE BofAML 3Mo US T-Bill
Domestic Equity 40% - Russell 3000
International Equity 15% - MSCI ACWI ex US
Fixed Income 35% - B Universal
Real Estate 4% - NCREIF + 0.5% Lag
Private Equity 4% -1% 85% Cambridge U.S. Private Equity Lag /
15% Cambridge U.S. Venture Capital Lag
Real Return 1% +1% ICE BofAML 3Mo US T-Bill+3% Lag
Cash 1% - ICE BofAML 3Mo US T-Bill
Domestic Equity 40% - Russell 3000
International Equity 15% - MSCI ACWI ex US
Fixed Income 35% - B Universal
Real Estate 4% - NCREIF + 0.5% Lag
Private Equity 5% - 85% Cambridge U.S. Private Equity Lag /
15% Cambridge U.S. Venture Capital Lag
Cash 1% - ICE BofAML 3Mo US T-Bill
Domestic Equity 40% -20% Russell 3000
International Equity 15% +15% MSCI ACWI ex US
Fixed Income 35% +5% B Universal
Cash 1% -9% T-Bill
Real Estate 4% +4%
Alternatives 5% +5%
Domestic Equity 60% - S&P 500
Fixed Income 30% - Citigroup BIG
Cash 10% - Citigroup T-Bill
The Plan had allocated 5% to Alternatives
and 4% to Real Estate asset classes.
4/1/2003-12/31/2006
Thru 3/31/2003
7/1/2008-12/31/2008
3/1/2007-6/30/2008
1/1/2007-2/28/2007
Please see the Addendum for custom index definitions.
Page 90
Water and Power Employees' Retirement Plan
Historical Policy Benchmark - HealthAs of December 31, 2019
Time Period Asset Class Target Change Policy Benchmarks
Domestic Equity 33.00% -1.25% Russell 3000
International Equity 19% - MSCI ACWI ex US IM
Fixed Income 26.00% -2.75% Fixed Income Custom Index (H)
Real Return 5% - CPI+3% (Blended)
Hedge Funds 5% +3% ICE BofAML 3Mo US T-Bill+3% Lag
Real Estate 6% +1% NCREIF +0.5% Lag
Private Equity 5% - Russell 3000 +3% Lag
Cash 1% - ICE BofAML 3Mo US T-Bill
Domestic Equity 34.25% +1.25% Russell 3000
International Equity 19% -2% MSCI ACWI ex US IM
Fixed Income 28.75% +4.75% Fixed Income Custom Index (H)
Real Return 5% -1% CPI+3% (Blended)
Hedge Funds 2% +2% ICE BofAML 3Mo US T-Bill+3% Lag
Real Estate 5% - NCREIF +0.5% Lag
Private Equity 5% - Russell 3000 +3% Lag
Cash 1% - ICE BofAML 3Mo US T-Bill
Domestic Equity 33% - Russell 3000
International Equity 21% - MSCI ACWI ex US IM
Fixed Income 24% - Fixed Income Custom Index (H)
Covered Calls 5% - CBOE BXM
Real Estate 5% - NCREIF +0.5% Lag
Private Equity 5% - Russell 3000 +3% Lag
Real Return 6% - CPI+3% (Blended)
Cash 1% - ICE BofAML 3Mo US T-Bill
Domestic Equity 33% - Russell 3000
International Equity 21% - MSCI ACWI ex US IM
Fixed Income 24% - B Universal
Covered Calls 5% - CBOE BXM
Real Estate 5% - NCREIF +0.5% Lag
Private Equity 5% - Russell 3000 +3% Lag
Real Return 6% - CPI+3% (Blended)
Cash 1% - ICE BofAML 3Mo US T-Bill
Domestic Equity 33% -2% Russell 3000
International Equity 21% - MSCI ACWI ex US IM
Fixed Income 24% -2% B Universal
Covered Calls 5% - CBOE BXM
Real Estate 5% +2% NCREIF +0.5% Lag
Private Equity 5% +2% Russell 3000 +3% Lag
Real Return 6% - CPI+3% (Blended)
Cash 1% - ICE BofAML 3Mo US T-Bill
Domestic Equity 35% -1% Russell 3000
International Equity 21% +1% MSCI ACWI ex US IM
Fixed Income 26% -10% B Universal
Covered Calls 5% +5% CBOE BXM
Real Estate 3% +2% NCREIF +0.5% Lag
Private Equity 3% +2% Russell 3000 +3% Lag
Real Return 6% +1% ICE BofAML 3Mo US T-Bill+3% Lag
Cash 1% - ICE BofAML 3Mo US T-Bill
Domestic Equity 36% +2% Russell 3000
International Equity 20% +2% MSCI ACWI ex US IM
Fixed Income 36% -6% B Universal
Real Estate 1% +1% NCREIF +0.5% Lag
Private Equity 1% - Russell 3000 +3% Lag
Real Return 5% +2% ICE BofAML 3Mo US T-Bill+3% Lag
Cash 1% -1% ICE BofAML 3Mo US T-Bill
12/1/2017 - Present
(Updated Interim
Targets)
2/1/2016 - 11/31/2017
9/1/2015 - 1/31/2016
10/1/2014 - 8/31/2015
7/1/2013 - 9/30/2014
10/1/2011-3/31/2012
4/1/2012-6/30/2013
Please see the Addendum for custom index definitions.
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Water and Power Employees' Retirement Plan
Historical Policy Benchmark - HealthAs of December 31, 2019
Time Period Asset Class Target Change Policy Benchmarks
Domestic Equity 34% -3% Russell 3000
International Equity 18% +3% MSCI ACWI ex US IM
Fixed Income 42% -3% B Universal
Private Equity 1% - 85% Cambridge U.S. Private Equity Lag /
15% Cambridge U.S. Venture Capital Lag
Real Return 3% +3% ICE BofAML 3Mo US T-Bill+3% Lag
Cash 2% - ICE BofAML 3Mo US T-Bill
Domestic Equity 37% -23% Russell 3000
International Equity 15% +15% MSCI ACWI ex US IM
Fixed Income 45% +5% B Universal
Private Equity 1% +1% 85% Cambridge U.S. Private Equity Lag /
15% Cambridge U.S. Venture Capital Lag
Cash 2% +2% ICE BofAML 3Mo US T-Bill
Domestic Equity 60% - Russell 3000
Fixed Income 40% - B Universal
Thru 9/30/2009
10/1/09-6/30/10
7/1/2010-9/30/2011
Please see the Addendum for custom index definitions.
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Water and Power Employees' Retirement Plan
Summary of Retirement Plan TransitionsAs of December 31, 2019
Manager Mandate Funded Terminated
Platinum Equity Fund V Private Equity 4Q 2019
Lexington IX Private Equity 4Q 2019
Harvest VIII Private Equity 4Q 2019
Genstar Opp IX Private Equity 3Q 2019
Genstar IX Private Equity 3Q 2019
Apollo IX Private Equity 1Q 2019
Jennison Large Cap Growth (SA) Large Cap Growth 1Q 2019
Vista VII Private Equity 1Q 2019
Almanac VIII Real Estate 4Q 2018
Brookfield Premier Real Estate 4Q 2018
USAA Eagle Real Estate 4Q 2018
Torchlight Debt Opp VI Real Estate 1Q 2018
LaSalle Asia V Real Estate 4Q 2017
Blackstone Hope St. LP Hedge Fund 3Q 2017
EnCap XI Private Equity 3Q 2017
Silver Lake V Private Equity 1Q 2017
CD&R X Private Equity 1Q 2017
FPA Core Plus III Real Estate 4Q 2016
Adams Street SMB I Private Equity 4Q 2016
Wellington Emerging Emerging Markets 3Q 2016
DRA G&I IX Real Estate 3Q 2016
Industry Ventures VIII Private Equity 2Q 2016
Industry Ven SP Opp III-A Private Equity 2Q 2016
Lone Star V Real Estate 2Q 2016
Mesa West IV Real Estate 1Q 2016
Westbrook X Real Estate 1Q 2016
Vista VI Private Equity 1Q 2016
Emerald Small Cap Growth (SA) Small Cap Growth 4Q 2015
Ares V Private Equity 4Q 2015
Harvest VII Private Equity 4Q 2015
JP Morgan Principal Protection (SA) Principal Protection 3Q 2015
Wells Principal Protection (SA) Principal Protection 3Q 2015
Macquarie Unconstrained (SA) Extended Credit 3Q 2015 4Q2019
Neuberger Unconstrained (SA) Extended Credit 3Q 2015
Pacific Asset Bank Loans (SA) Bank Loans 3Q 2015
Harrison Street Core Real Estate 3Q 2015
Jamestown Premier Real Estate 2Q 2015
Lone Star IV Real Estate 2Q 2015
Blackstone Tactical Opps Private Equity 2Q 2015
EnCap X Private Equity 1Q 2015
2014
Torchlight Debt Opp V Real Estate 4Q 2014
Ares Special Situation IV Private Equity 4Q 2014
Almanac VII Real Estate 4Q 2014
2019
2018
2017
2016
2015
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Water and Power Employees' Retirement Plan
Summary of Retirement Plan TransitionsAs of December 31, 2019
Manager Mandate Funded Terminated
2014
Crestview Partners III Private Equity 3Q 2014
Prologis USLH Real Estate 3Q 2014
DRA G&I VIII Real Estate 3Q 2014
Molpus IV Real Return 3Q 2014
Hancock Timber 2Q 2014
Vista Equity V Private Equity 2Q 2014
CD&R IX Private Equity 2Q 2014
Landmark XV Private Equity 1Q 2014
Apollo VIII Private Equity 1Q 2014
Morgan Stanley Hedge Fund 1Q 2014
Brep Europe IV Real Estate 1Q 2014
GAM Hedge Fund 4Q 2013 2Q 2018
Silver Lake IV Private Equity 4Q 2013
Heitman Real Estate 4Q 2013
Invesco Commodity Commodities 3Q 2013
Mesa West Fund III Real Estate 3Q 2013
Torchlight Debt Opp IV Real Estate 3Q 2013
DFA Real Estate 1Q 2013
EnergyCap IX Private Equity 1Q 2013
Vontobel Emerging Markets 4Q 2012 3Q 2016
AresCorp. Opp. IV Private Equity 4Q 2012
Bristol Value II Real Estate 4Q 2012
ARS VI Real Estate 3Q 2012
Blackstone Real Estate 3Q 2012
PCCP Real Estate 3Q 2012 4Q 2018
L.A. Capital Emerging Markets 3Q 2012
MFS Developed International 3Q 2012
BlackRock Developed International 3Q 2012
Gateway (non-replication) Covered Calls 2Q 2012 1Q 2016
Gateway (replication) Covered Calls 2Q 2012 1Q 2016
AG Core Real Estate 1Q 2012
DRA Real Estate 4Q 2011
Vista Equity Partners IV Private Equity 4Q 2011
Invesco Real Estate 3Q 2011
Lone Star VII Real Estate 2Q 2011
Lone Star II Real Estate 2Q 2011
Audax Mezz III Private Equity 1Q 2011
EnergyCap VIII Private Equity 1Q 2011
WAMCO GILS 2Q 2010
JP Morgan Core Fixed Income 2Q 2010 3Q 2015
Frontier Small Cap Growth 2Q 2010 4Q 2015
T. Rowe Price Large Cap Growth 2Q 2010
Lexington VIII Private Equity 1Q 2010
Mesa West Real Estate 1Q 2010
2012
2011
2010
2013
Page 94
Water and Power Employees' Retirement Plan
Summary of Retirement Plan TransitionsAs of December 31, 2019
Manager Mandate Funded Terminated
Oaktree V Private Equity 1Q 2009
Landmark XIV Private Equity 3Q 2008
CB Richard Ellis Private Equity 2Q 2008 Q3 2016
Fisher Lynch Real Estate 2Q 2008
HRJ Private Equity 1Q 2008
JPM Strategic Real Estate 3Q 2007
Prisa II Real Estate 2Q 2007
PAAMCO Hedge Fund 1Q 2007 4Q 2010
Aetos Hedge Fund 1Q 2007 2Q 2013
Prisa Real Estate 4Q 2006
Landmark XIII Private Equity 4Q 2006
Paradigm Small Cap Growth 3Q 2006 1Q 2010
Northpointe Small Cap Growth 3Q 2006 2Q 2009
Lexington VI Private Equity 3Q 2006
Boston Company Large Cap Active 1Q 2005
T. Rowe Price Emerging Markets 1Q 2005 3Q 2011
Boston Company Emerging Markets 1Q 2005 4Q 2011
Loomis Sayles High Yield 1Q 2005 3Q 2015
Boston Company International 1Q 2005 4Q 2011
Wells Capital High Yield 4Q 2004 3Q 2015
Pyramis (formerly Fidelity) International 4Q 2004
Earnest Partners Small Cap Value 4Q 2004
Bank of New York Small Cap Growth 4Q 2004 1Q 2006
Wells Capital Core Fixed Income 3Q 2004 3Q 2015
ING/Aeltus Core Fixed Income 3Q 2004 4Q 2009
T. Rowe Price Large Cap Value 3Q 2004
Invesco International 2Q 2004 4Q 2011
MFS Large Cap Value 1Q 2004
Intech Large Cap Growth 1Q 2004 3Q 2009
Fred Alger Large Cap Growth 1Q 2004 1Q 2019
Northern Trust Passive Core 3Q 2003 1Q 2005
BlackRock (formerly Merrill Lynch) Passive Core 3Q 2003
2004
2003
2009
2008
2007
2006
2005
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Water and Power Employees' Retirement PlanHedge Funds Characteristics and Terms
StrategyRelative Value
Convertible Arbitrage
Fixed Income/Credit
Arbitrage
Equity Market Neutral
Event Driven
Risk/Merger Arbitrage
Distressed Securities
Opportunistic
Global Macro
Short Selling
Emerging Markets
Long/Short Equity
Definition
Seeks to profit from pricing anomalies between a company’s convertible securities and its equity. A manager buys the convertible instrument (often a bond) and sells short the common stock.
Exploits pricing inefficiencies between fixed income securities with similar characteristics, such as corporate vs. Treasury yield spreads. Offsetting long and short positions typically neutralize exposure to interest rate risk, isolating the pricing discrepancy.
Exploits relative pricing inefficiencies between equity securities while neutralizing market exposure. Typically the net (total long and short) portfolio exposure is balanced so that there is no directional bias to equity sectors or styles.
Generally long-biased equity or debt positions that seek to capitalize on the undervaluation of companies in developing countries, which tend to have higher inflation and volatile growth.
Core holding of long equities hedged to varying degrees with short positions in stocks or derivatives.
Invests in the shares of companies involved in mergers, acquisitions, and LBOs. A common merger arbitrage strategy is to buy the equity of the “target” and sell short the equity of the “acquirer,” making a profit if the deal outcome (and timing) is in line with the manager’s positioning. Managers pursuing this strategy invest in bank debt, corporate debt, trade claims, common stock, and warrants of companies either in bankruptcy or having financial or operational issues. The goal is to anticipate how corporate events (such as bankruptcies, reorganizations, distressed sales, and restructurings to reverse negative trends) will impact the underlying securities.
Employs a “top down” approach to invest across a wide range of global asset classes based on forecasted changes in global economies, political fortunes, or global supply and demand for resources.
Taking short positions in stocks in anticipation of a price decline, based on a view that the stock is overvalued, company earnings will disappoint, or there is a market selloff approaching.
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Performance Related Comments
Performance shown is gross of fees, except where noted.Performance and data are provided by Northern Trust.
RVK began monitoring the assets of Water and Power Employees' Retirement Plan as of 12/31/2014.
Custom Index Comments
The Retirement Policy Benchmark returns shown prior to 6/30/2013 were provided by Northern Trust. The passive index iscalculated monthly and currently consists of 33% Russell 3000 (Blended) (R), 19% MSCI ACWI Ex US IM Index (Blended), 26%Fixed Income Custom Index (R), 5% CPI+3% (Blended), 5% ICE BofAML 3 Mo US T-Bill Index+3% (Lagged-1 Mo), 6% NCREIFProperty Index+0.5% (Lagged-1 Qtr), 5% Russell 3000+3% (Blended), and 1% ICE BofAML 3 Mo US T-Bill Index.
The Russell 3000 (Blended) (R) consists of the S&P 500 Index (Cap Wtd) through 03/31/2003 and the Russell 3000 Index thereafter.The MSCI ACWI Ex US IM Index (Blended) consists of the MSCI ACW Ex US Index (USD) (Net) through 12/31/2008 and the MSCIACW Ex US IM Index (Net) thereafter.The Fixed Income Custom Index (R) is calculated monthly and consists of the Bloomberg US Universal Bond Index through08/31/2015 and 50% Bloomberg US Intermediate Aggregate Bond Ex Credit Index, 45% 67% Bloomberg Global Credit/33%Bloomberg Global High Yield, and 5% Credit Suisse Leveraged Loan Index thereafter.
The International Developed Blend consists of the MSCI EAFE Index (USD) (Price Return) (Hedged) through 12/31/2008 and theMSCI World Ex US IM Index Index (Net) thereafter.
The CPI+3% (Blended) consists of the ICE BofAML 3 Mo US T-Bill Index+3% through 06/30/2013 and the CPI (Seasonally Adjusted)+3% 1 Month Lag thereafter.
The Russell 3000+3% (Blended) consists of 50% Cambridge US Private Equity Index (Lagged-1 Qtr) (Monthly) and 50% CambridgeUS Venture Capital Index (Lagged-1Qtr) (Monthly) through 09/30/2011 and the Russell 3000+3% (Lagged-1 Qtr) thereafter.
The Health Policy Benchmark returns shown prior to 6/30/2013 were provided by Northern Trust. The passive index is calculatedmonthly and currently consists of 33% Russell 3000 (Blended) (H), 19% MSCI ACWI Ex US IM Index, 26% Fixed Income CustomIndex (H), 5% CPI+3% (Blended), 5% ICE BofAML 3 Mo US T-Bill Index+3% (Lagged-1 Mo), 6% NCREIF Property Index+0.5%(Lagged-1 Qtr), 5% Russell 3000+3% (Blended), and 1% ICE BofAML 3 Mo US Treasury Bill Index.
The Russell 3000 (Blended) (H) consists of the Russell 1000 Index through 09/30/2009, and the Russell 3000 Index thereafter.
The Fixed Income Custom Index (H) is calculated monthly and consists of the Bloomberg US Aggregate Bond Index through10/31/2009, the Bloomberg US Universal Bond Index through 08/31/2015, and 50% Bloomberg US Intermediate Aggregate Bond ExCredit Index, 45% 67% Bloomberg Global Credit/33% Bloomberg Global High Yield, and 5% Credit Suisse Leveraged Loan Indexthereafter.
The Death Policy Benchmark is a passive index calculated monthly and currently consists of 96% Bloomberg US Aggregate BondIndex and 4% FTSE 3 Mo Treasury Bill Index.
The Disability Policy Benchmark is a passive index calculated monthly and currently consists of 95% Bloomberg US Aggregate BondIndex and 5% FTSE 3 Mo Treasury Bill Index.
Miscellaneous Comments
In 09/2015, the Board approved a change in the Plan's target allocation that will begin implementation in early 2016. The new targetsare as follows:
29% Domestic Equity
19% International Equity
25% Fixed Income
8% Real Estate
8% Private Equity
5% Real Return
5% Hedge Funds
1% Cash Equivalents
Interim targets were approved as the plan moves towards the long-term strategic targets.
Water and Power Employees' Retirement PlanAddendum
As of December 31, 2019
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Glossary Active Return - The difference between the investment manager/composite performance relative to the performance of an appropriate market benchmark. Active Share - Measures the degree to which the holdings of a fund differ from the holdings of the benchmark. Active share is calculated by taking the sum of the absolute value of the differences of the weight of each holding in the fund versus the weight of each holding in the benchmark and dividing by two. Alpha - A measure of the difference between a portfolio's actual returns and its expected performance, given its level of risk as measured by beta. It is a measure of the portfolio's historical performance not explained by movements of the market or a portfolio's non-systematic return. Alpha Ratio - A measure of a portfolio's non-systematic return per unit of downside risk. It is measured by dividing the alpha of a portfolio by the downside risk. The non-systematic return is a measure of a portfolio's historical performance not explained by movements of the market. Average Quality - Bond quality ratings are reported using the investment managers' and the index providers' preferred rating agency. Average Quality for managers unable to provide this statistic is instead provided by Morningstar; if unavailable on Morningstar, it has been estimated using a credit quality distribution provided by the manager. There are two primary rating agencies in the US. Moody's assigns ratings on a system that employs up to four symbols (consisting of letters and numbers) such as, Aaa, Aa2, etc., with Aaa being the highest or safest rating. Standard & Poor's (S&P) employs a system that uses + and - along with letters such as AAA, AA+, etc. The two rating agencies' systems are summarized below:
S&P
Moody’s Explanation S&P Moody’s Explanation
Higher Credit Quality – Investment Grade Lower Credit Quality – Below Investment Grade AAA Aaa Prime/Highest credit quality BB+ Ba1 Speculative/Low credit quality AA+ Aa1 High credit quality BB Ba2 AA Aa2 BB- Ba3 AA- Aa3 B+ B1 Highly speculative A+ A1 Upper-medium credit quality B B2 A A2 B- B3 A- A3 CCC+ Caa1 Substantial credit/default risk BBB+ Baa1 Lower-medium credit quality CCC Caa2 Extremely speculative BBB Baa2 CCC- Caa3 BBB- Baa3 CC Ca Vulnerable to default C Ca D C In default
Benchmark Effect - The difference between the blended return of each respective managers’ benchmark within a composite and the composite’s benchmark return. Beta - A measure of the sensitivity of a portfolio to the movements in the market. It is a measure of a portfolio's non-diversifiable or systematic risk. Box Plots - A graphical representation of the distribution of observations. From top to bottom, the four boxes represent the spread between the maximum value and the minimum value in each quartile. A quartile represents the values that divide the observations into four quarters (i.e., 1st quartile, 2nd quartile, 3rd quartile, and 4th quartile). The median observation is where the 2nd quartile and 3rd quartile meet. Buy and Hold Attribution - At the beginning of the time period under analysis, the manager and benchmark portfolios are broken down into segments (i.e., styles, sectors, countries, and regions) based on the desired type of attribution. The formula assumes zero turn-over to the manager and benchmark portfolios throughout the period and calculates the segment returns ("buy and hold returns") to arrive at performance attribution. Due to portfolio turnover, buy and hold attribution may not accurately represent quarterly performance relative to the benchmark. Country, region, sector, and style allocations are as of the date one quarter prior to the reporting date, and the returns shown are for those segments throughout the quarter reported. Due to disclosure guidelines set by each investment manager, equity characteristics shown are as of the most recent date available. The following is the methodology for segment classification:
Sector - Attribution is calculated using the Global Industry Classification Standard (GICS) which is a detailed and comprehensive structure for sector and industry analysis. Stocks are classified by their primary sector, as defined by S&P Capital IQ data. Country/Region - Attribution is calculated using the Morgan Stanley Capital International (MSCI) region standards. Stocks are classified by their domicile country/region, as defined by S&P Capital IQ data. Style - Stocks are classified into the following style boxes: large/mid/small vs. growth/neutral/value. Stocks are classified along large/mid/small categories at the time of the Russell index rebalancing, using the index market cap boundaries as cutoff points. Stocks are classified along growth/neutral/value categories at the time of the Russell index rebalancing, using the price/book ratio as supplied by S&P Capital IQ. Stocks in the Russell 3000 Index portfolio are sorted by price/book ratio; names with the highest price/book ratio that make up 1/3 of the total market capitalization are assigned to the growth category, names that make up the subsequent 1/3 of the total market capitalization are assigned to the neutral category, while the balance of the names are assigned to the value category.
Portfolio Characteristics and Buy and Hold Attribution reports utilize product-specific data for all mutual funds and commingled funds. Capital Markets Review -
Breakeven Inflation - Measures the expected inflation rate at each stated maturity by taking the difference between the real yield of the inflation-linked maturity curve and the yield of the closest nominal Treasury maturity. Consumer Confidence - Measures domestic consumer confidence as defined by the degree of optimism on the state of the economy that consumers express through saving and spending. Consumer Price Index (CPI) - Measures the change in the price level of consumer goods and services. Federal Funds Rate - The interest rate at which a depository institution lends funds maintained at the Federal Reserve to another depository institution overnight. It is one of the most influential interest rates in the US economy, since it affects monetary and financial conditions, which in turn have a bearing on key aspects of the broad economy including employment, growth and inflation. Option-Adjusted Spread - Measures the flat spread of an index or bond to the Treasury yield curve after removing the effect of any embedded options.
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Glossary
Purchasing Managers Index (PMI) - Measures economic activity by surveying purchasing managers on a monthly basis as to whether business conditions have improved, worsened, or stayed the same. Real Gross Domestic Product (Real GDP) - An inflation-adjusted measure that reflects the value of all goods and services produced by an economy in a given year. US Dollar Total Weighted Index - Measures the value of the US Dollar relative to a basket of other world currencies. It is calculated as the weighted geometric mean of the dollar's value versus the EUR, GBP, CAD, SEK, CHF, and JPY. Unemployment Rate - The percentage of the total labor force that is unemployed but actively seeking employment. VIX - Measures the implied volatility of S&P 500 Index options by looking at the market's expectation of the S&P 500 Index volatility over the next 30 day period. Commonly referred to as the "fear index" or the "fear gauge."
Cash Flow Effect – The composite’s active return minus the sum of each managers’ active return minus the benchmark effect. Consistency - The percentage of quarters that a product achieved a rate of return higher than that of its benchmark. The higher the consistency figure, the more value a manager has contributed to the product's performance. Convexity - A measure of the shape of the curve that describes the relationship between bond prices and bond yields. Correlation - A statistical measure of the relationship between asset class returns. A value of 1.00 is a perfect correlation; that is, the asset classes always move in the same direction. A value of -1.00 indicates a perfect negative correlation, in which the asset classes always move in opposite directions of each other. A value of 0 indicates there is no relationship between the direction of returns of the two asset classes. Correlation calculations only consider the direction of changes relative to two variables and not the magnitude of those changes. Coupon Rate - The percentage rate of interest paid on a bond or fixed income security; it is typically paid twice per year. Current Yield - The annual income of a security divided by the security's current price. Down Market Capture - Down market by definition is negative benchmark return and down market capture represents the ratio in % terms of the average portfolios return over the benchmark during the down market period. The lower the value of the down market capture the better the product's performance. Downside Risk - A measure similar to standard deviation, but focuses only on the negative movements of the return series. It is calculated by taking the standard deviation of the negative monthly returns. The higher the factor, the riskier the product. Earnings Per Share - It is backward looking, calculated using the one year current EPS divided by the one year EPS five years ago. Effective Duration - The approximate percentage change in a bond's price for a 100 basis point change in yield. Excess Return vs. Market - Average of the monthly arithmetic difference between the manager's return and the benchmark return over a specified time period, shown on an annualized basis. Excess Return vs. Risk Free - Average of the monthly arithmetic difference between the manager's return and the risk-free return (i.e., ICE BofAML 3 Mo US T-Bill Index unless specified otherwise) over a specified time period, shown on an annualized basis. Excess Risk - A measure of the standard deviation of a portfolio's performance relative to the risk free return. Expense Ratios - Morningstar is the source for mutual fund expense ratios. Gain/Loss - The net increase or decrease in the market value of a portfolio excluding its Net Cash Flow for a given period. Indices - All indices and related information are considered intellectual property and are licensed by each index provider. The indices may not be copied, used or distributed without the index provider's prior written approval. Index providers make no warranties and bear no liability with respect to the indices, any related data, their quality, accuracy, suitability and/or completeness. Information Ratio - Measured by dividing the active rate of return by the tracking error. The higher the information ratio, the more value-added contribution by the manager. Liability Driven Investing (LDI) - A method to optimally structure asset investments relative to liabilities. The change in liabilities is estimated by the Ryan Labs Generic PPA Index of appropriate duration for that Plan. This benchmark is based on generic data and is therefore an approximation. RVK is not an actuarial firm, and does not have actuarial expertise.
Estimated Funded Status - The estimated ratio of a Plan's assets relative to its future liabilities. This is calculated by dividing the Plan's asset market value by the estimated present value of its liabilities. The higher the estimated funded status, the better the Plan's ability to cover its projected benefit obligations. An estimated funded status of 100% indicates a Plan that is fully funded. Estimated PV of Liabilities - An estimate of a Plan's future liabilities in present value terms. The beginning of the period liability is provided by the Plan's actuary. The period-end present value liability estimate provided in this report is derived by applying the estimated percentage change generated using the Ryan Labs Generic PPA Index with duration similar to that reported on the most recent actuarial valuation report. Duration of Liabilities - The sensitivity of the value of a Plan's liabilities to changes in interest rates, as calculated by the Plan's actuary. Duration of Assets - The dollar-weighted average duration of all the individual Plan assets. Estimated Plan Hedge Ratio - The estimate of how well a Plan's investment portfolio is hedged against changes in interest rates - a primary driver of funded status movements. This is calculated by dividing the dollar-weighted values of both the Plan asset duration by the liability duration and multiplying by the estimated funded status. An estimated plan hedge ratio of zero indicates that the Plan's liabilities have not been hedged, whereas a value of one indicates fully hedged.
Modified Duration - The approximate percentage change in a bond's price for a 100 basis point change in yield, assuming the bonds’ expected cash flows do not change.
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Glossary Mutual Fund Performance - Whenever possible, manager performance is extended for any share class that does not have 10 years of history. Using Morningstar’s methodology, a single ticker within the same fund family (often the oldest share class) is chosen to append historical performance. Net Cash Flow - The sum, in dollars, of a portfolio's contributions and withdrawals. This includes all management fees and expenses only when performance shown is gross of fees. Peer Groups -
Plan Sponsor Peer Groups - RVK utilizes the Mellon Analytical Solutions Trust Universe along with the Investment Metrics Plan Sponsor Universe. The combined Mellon Analytical Solutions Trust Universe and Investment Metrics Plan Sponsor Universe is used for comparison of total fund composite results and utilizes actual client performance compiled from consultant and custodian data. The Plan Sponsor Peer Group database includes performance and other quantitative data for over 2,100 plans which include corporate, endowment, foundation, public, and Taft Hartley plans. Plan Sponsor Peer Groups are gross of fees. Investment Manager Peer Groups - RVK utilizes Investment Metrics’ Peer Groups for investment manager peer comparison and ranking. The Investment Metrics Peer Group database includes performance and other quantitative data for over 840 investment management firms and 29,000 investments products, across more than 160 standard peer groups. Mutual Fund Peer Groups are net of fees.
Percentile Rankings - Percentile rank compares an individual fund's performance with those of other funds within a defined peer group of managers possessing a similar investment style. Percentile rank identifies the percentage of a fund's peer group that has a higher return (or other comparative measurement) than the fund being ranked. Conversely, 100 minus the individual fund's ranking will identify the percentage of funds within the peer group that have a lower return than the fund being ranked. 1 - Highest Statistical Value 100 - Lowest Statistical Value Example: American Funds AMCP;R-4 (RAFEX) is ranked in the 4th percentile within the IM US Equity Large-Cap Growth Funds (MF) Peer Group for the Sharpe Ratio. Within the IM US Equity Large-Cap Growth Funds peer group, 4% of the other funds performed better than American Funds AMCP;R-4 (RAFEX), while 96% of the funds performed worse. Performance Methodology - RVK calculates performance for investment managers and composites using different methodologies.
Investment Managers - Performance is calculated for interim periods between all large external cash flows for a given month and geometrically linked to calculate period returns. An external cash flow is defined as cash, securities, or assets that enter or exit a portfolio. RVK defines a "large cash flow" as a net aggregate cash flow of ≥10% of the beginning-period portfolio market value or any cash flow that causes RVK calculated performance to deviate from manager/custodian reported performance in excess of 5 basis points for a given month. Composites - The Modified Dietz methodology is utilized to calculate asset class, sub-asset class, and total fund composite performance. The Modified Dietz method calculates a time-weighted total rate of return that considers the timing of external cash flows; however, it does not utilize interim period performance to mitigate the impact of significant cash in- and outflows to the composite.
RVK calculates performance beginning with the first full month following inception. Since inception performance may vary from manager reported performance due to RVK using the first full month of returns as the inception date. Performance for both managers and composites is annualized for periods greater than one year. Portfolio Characteristics - Due to disclosure guidelines set by each investment manager, portfolio characteristics shown are as of the most recent date available. Price to Earnings Ratio - The ratio of a company’s share price to its per-share earnings Private Equity Quartile Ranks - Private Equity quartile ranks are generated using vintage year peer group data provided by Thomson Reuters, and are based on each fund’s annualized, since inception internal rate of return (IRR). Three Private Equity peer groups are available via Thomson Reuters: Buyout, Venture, and All Private Equity. Ranks are available quarterly, at a one-quarter lag. Return - Compounded rate of return for the period. % Return - The time-weighted rate of return of a portfolio for a given period. R-Squared - The percentage of a portfolio's performance explained by the behavior of the appropriate benchmark. High R-Squared means a higher correlation of the portfolio's performance to the appropriate benchmark. Risk Free Benchmark – ICE BofAML 3 Mo US T-Bill Index unless specified otherwise.
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Glossary RVK Liquidity Rating - A qualitative method for determining the relative amount of liquidity in a portfolio. The characteristics considered when determining relative liquidity include trading volume, gates for redemption, leverage, nature of transactions, and pricing mechanisms. The RVK Liquidity Rating is calculated using beginning of month investment weights applied to each corresponding asset class liquidity rating.
Asset Class RVK Liquidity Rating Asset Class RVK Liquidity Rating
Liquid Investments Less Liquid Investments
T-Bills and Treasurys 100 Fixed Income Plus Sector 50 Cash Equivalents 98 Bank Loans 50 TIPS 95 Stable Value (Plan Sponsor Directed) 50 US Large Cap Equity 95 Absolute Return Strategies 35 Diversified Real Return 93 Stable Value (Participant Directed) 91 Non-US Large Cap Equity 90 Not Liquid Investments Global Tactical Asset Allocation 88 Core Real Estate 25 US Small Cap Equity 85 Core Plus Real Estate 15 REITS 85 Non-Core Real Estate 5 Non-US Small Cap Equity 85 Private Equity Funds of Funds 5 Emerging Markets Equity 85 Core Fixed Income 85 Core Plus Fixed Income 80
Sector Allocation - Negative fixed income sector allocation reflects manager’s use of derivatives, short selling, or interest rate swaps. Sharpe Ratio - Represents the excess rate of return over the risk-free return (i.e., ICE BofAML 3 Mo US T-Bill Index unless specified otherwise), divided by the standard deviation of the excess return to the risk free asset. The result is the absolute rate of return per unit of risk. The higher the value, the better the product's historical risk-adjusted performance. Simple Alpha - The difference between the manager's return and the benchmark's return. Spread Duration - The approximate percentage change in a bond's price for a 100 basis point change in its spread over a Treasury of the same maturity. Standard Deviation - A statistical measure of the range of a portfolio's performance. The variability of a return around its average return over a specified time period. Time Period Abbreviations - QTD - Quarter-to-Date. CYTD - Calendar Year-to-Date. FYTD - Fiscal Year-to-Date. YOY - Year Over Year. Thematic Classification - Represents dedicated manager allocations; as such, thematic allocations are approximations. RVK categorizes the following asset classes as Alpha, Capital Appreciation, Capital Preservation, and Inflation: Alpha Capital Appreciation Capital Preservation Inflation Absolute Return Strategies Public Equity Core Fixed Income TIPS Currency Overlay Private Equity CMBS Fixed Income Bank Loans Preferred Securities Asset Backed Fixed Income Core Real Estate High Yield Domestic Core Plus Fixed Income Real Return Convertible Fixed Income Mortgage Backed Fixed Income Inflation Hedges TALF Funds International Developed Fixed Income REITS Distressed Debt Cash Equivalents Commodities Emerging Market Fixed Income Stable Value Value Added Real Estate Opportunistic Real Estate Total Fund Attribution – The Investment Decision Process (IDP) model provides an approach to evaluating investment performance that applies to all asset classes and investment styles. The IDP model is based on a top-down hierarchy framework of investment decisions, with each decision contributing to the overall profit or loss. The IDP approach starts from the strategic asset allocation and follows the flow of the investments down to the manager’s skill.
Strategic Asset Allocation (SAA) – The percentage return gained or lost from the long-term strategic asset allocation decision, the most significant determinant of long-term performance. SAA is the product of the target asset allocation multiplied by the corresponding benchmark returns. Tactical Asset Allocation (TAA) – The percentage return gained or lost from not having been precisely allocated at the target asset allocation mix, whether by deviations that are tactical in nature or a by-product of moving towards the target mix. TAA is the product of the actual asset allocation multiplied by the broad asset class benchmarks, less the SAA. Style Selection (SS) – The percentage return gained or lost from intentional style biases within each asset class (e.g. value rather than core or overweight to emerging markets relative to benchmark). SS is the product of the actual manager allocation within each asset class multiplied by their specific benchmark, less TAA. Manager’s Skill (MS) – The percentage return gained or lost from manager value added relative to their specific benchmark. MS is the product of the actual manager allocation multiplied by their achieved excess return.
Total Fund Beta - Total Fund Beta is calculated using the S&P 500 as the benchmark. It represents a measure of the sensitivity of the total fund to movements in the S&P 500 and is a measure of the Total Fund's non-diversifiable or systematic risk. Tracking Error - A measure of the standard deviation of a portfolio's performance relative to the performance of an appropriate market benchmark.
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Glossary Treynor Ratio - Similar to Sharpe ratio, but focuses on beta rather than excess risk (standard deviation). Treynor ratio represents the excess rate of return over the risk-free rate (i.e., ICE BofAML 3 Mo US T-Bill Index unless specified otherwise) divided by the beta. The result is the absolute rate of return per unit of risk. The higher the value, the better historical risk-adjusted performance. Unit Value - The dollar value of a portfolio, assuming an initial nominal investment of $100, growing at the compounded rate of %Return for a given period. Up Market Capture - Up market by definition is positive benchmark return and up market capture represents the ratio in % terms of the average portfolios return over the benchmark during the up market period. The higher the value of the up market capture the better the product's performance. Yield to Maturity - The rate of return achieved on a bond or other fixed income security assuming the security is bought and held to maturity and that the coupon interest paid over the life of the bond will be reinvested at the same rate of return. The 30-Day SEC Yield is similar to the Yield to Maturity and is reported for mutual funds. Yield to Worst - The bond yield calculated by using the worst possible yield taking into consideration all call, put, and optional sink dates.
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Disclaimer of Warranties and Limitation of Liability - This document was prepared by RVK, Inc. (RVK) and may include information and data from some or all of the following sources: client staff; custodian banks; investment managers; specialty investment consultants; actuaries; plan administrators/record-keepers; index providers; as well as other third-party sources as directed by the client or as we believe necessary or appropriate. RVK has taken reasonable care to ensure the accuracy of the information or data, but makes no warranties and disclaims responsibility for the accuracy or completeness of information or data provided or methodologies employed by any external source. This document is provided for the client’s internal use only and does not constitute a recommendation by RVK or an offer of, or a solicitation for, any particular security and it is not intended to convey any guarantees as to the future performance of the investment products, asset classes, or capital markets.