ANALYSIS OF INVESTMENT...

Copyright © 2017 by The Segal Group, Inc. All rights reserved.

ANALYSIS OF INVESTMENT PERFORMANCE

Employees’ Retirement FundFirst Quarter 2017

City of Hollywood

J. Keith Reynolds Vice President & Senior Consultant

Ta b l e o f C o n t e n t s ANALYSIS OF INVESTMENT PERFORMANCE

Section

Financial Market Conditions .......................................................................................................................................... 1

Total Fund ..................................................................................................................................................................... 2

Investment Manager Performance ................................................................................................................................. 3

This performance report ("Report") is based upon information obtained by Segal Marco Advisors, Inc. ("SMA") from third parties over which SMA does not exercise any control. Although the information collected by SMA is believed to be reliable, SMA cannot verify or guarantee the accuracy or validity of such information or the uniformity of the manner in which such information was prepared. The rates of return reflected herein are time weighted and geometrically linked on a monthly basis using a modified Dietz method. Monthly valuations and returns are calculated based on the assumptions that all transactions and prices are accurate from the custodian and/or investment manager. The client to whom Segal Marco Advisors delivers this Report ("Client") agrees and acknowledges that this Report has been prepared solely for the benefit of Client. SMA disclaims any and all liability that may arise in connection with Client’s conveyance (whether or not consented to by SMA) of this Report (in whole or in part) to any third party. Client further agrees and acknowledges that SMA shall have no liability, whatsoever, resulting from, or with respect to, errors in, or incompleteness of, the information obtained from third parties. Client understands that the prior performance of an investment and/or investment manager is not indicative of such investment's and/or investment manager's future performance. This Report does not constitute an offer or a solicitation of an offer for the purchase or sale of any security nor is it an endorsement of any custodian, investment and/or investment manager.

Financial Market Conditions

Summary of Investment Returns

Q1 2017 In Review

6.4% 5.7%7.3%

11.5%

0.8%2.0%

-2.3%

1.6%3.8%

2.4%

14.8%

18.1%

11.7%

17.2%

0.4%

-4.8%

8.7%7.3%

9.1%

6.2%

-6%-4%-2%0%2%4%6%8%

10%12%14%16%18%20%

World Equities* U.S. Equities InternationalEquities*

EMEquities*

U.S. Fixed Income International FixedIncome

Commodities Real Estate Private Equity** Funds of HedgeFunds

QTD 1-Year

Quarterly Synopsis • World equity markets were positive due to continued optimism about the U.S. economy and signs of growth in Europe.• U.S. equity gained in Q1 with solid corporate earnings and optimism that economic growth will continue.• International equity rose as economic fundamentals in Europe improved and the dollar struggled.• Emerging market equity surged in Q1 with stronger Asian economic data and declining nervousness about U.S. trade policy.• U.S. fixed income was nearly flat as investors anticipate further U.S. interest rate hikes after March’s rate increase.• Non-U.S. fixed income was positive for the quarter with investors gravitating toward bonds amid political uncertainty.• Hedge funds benefited from rising stock markets, and particularly from gains in technology and healthcare.

* Net of Dividends** Performance reported as of Q3 2016 because Q4 2016 and Q1 2017 performance data is not yet available.Sources: eVestment Alliance, Hueler Analytics, Investment Metrics, Thomson One

1

* Net of Dividends** Performance reported as of Q3 2016 because Q4 2016 and Q1 2017 performance data is not yet available.Sources: eVestment Alliance, Hueler Analytics, Investment Metrics, Thomson One

Q1 2017 In Review: Index Returns

Asset Class Indices QTD YTD 1-Year 3-Year 5-Year 10-Year

World Equity MSCI World* 6.38 6.38 14.77 5.52 9.37 4.21

U.S. Equity Russell 3000 5.74 5.74 18.07 9.76 13.18 7.54

Non-U.S. Equity MSCI EAFE* 7.25 7.25 11.67 0.50 5.83 1.05

Emerging Market Equity MSCI EM* 11.45 11.45 17.22 1.18 0.81 2.72

U.S. Fixed Income Bloomberg Barclays U.S. Aggregate 0.82 0.82 0.44 2.68 2.34 4.27

Non-U.S. Fixed Income Citigroup Non-U.S. WGBI(Unhedged) 2.02 2.02 -4.79 -2.56 -1.50 2.64

Commodities Bloomberg Commodity Index -2.33 -2.33 8.69 -13.92 -9.54 -6.22

Private Real Estate NCREIF NPI 1.55 1.55 7.27 10.58 10.69 6.72

Private Equity Thomson Reuters Private Equity*** 3.80 6.84 9.08 12.24 13.41 10.37

Hedge Funds HFRI Fund of Funds Composite 2.39 2.39 6.23 1.80 3.22 1.24

2

GDP Growth• Real GDP grew at an annualized rate of 0.7% in Q1. • Positive contributors to GDP were nonresidential fixed

investment, residential fixed investment, exports and personal consumption expenditures.

• Private inventory investment, state and local government spending and federal government spending detracted from GDP growth, along with increased imports.

Employment Picture• The unemployment rate decreased from 4.7% in Q4 to 4.5% at

the end of Q1 2017.• Nonfarm payrolls increased by 533,000 jobs in Q1. • Employment in professional and business services increased,

and education and health services positions rose steadily. Retail jobs fell. Government employment rose in Q1.

Labor Force Participation• The labor force participation rate was 63.0% at the end of March,

the highest it has been since March 2016.• Labor force participation has bounced between 62% and 63%

since 2014.

Q1 2017 In Review: U.S. Economy

60.061.062.063.064.065.066.067.0

Apr-0

7

Nov-0

7

Jun-

08

Jan-

09

Aug-

09

Mar-1

0

Oct-1

0

May-1

1

Dec-1

1

Jul-1

2

Feb-

13

Sep-

13

Apr-1

4

Nov-1

4

Jun-

15

Jan-

16

Aug-

16

Mar-1

7

Rate

(%)

Labor Force Participation Rate

-10.0

-5.0

0.0

5.0

10.0

Q3 20

07Q1

2008

Q3 20

08Q1

2009

Q3 20

09Q1

2010

Q3 20

10Q1

2011

Q3 20

11Q1

2012

Q3 20

12Q1

2013

Q3 20

13Q1

2014

Q3 20

14Q1

2015

Q3 20

15Q1

2016

Q3 20

16Q1

2017

%

U.S. Real GDP GrowthReal GDP %Chg QoQ Real GDP %Chg YoY

0.02.04.06.08.010.012.0

-1,000.0-800.0-600.0-400.0-200.0

0.0200.0400.0600.0

Jul-0

8De

c-08

May-0

9Oc

t-09

Mar-1

0Au

g-10

Jan-

11Ju

n-11

Nov-1

1Ap

r-12

Sep-

12Fe

b-13

Jul-1

3De

c-13

May-1

4Oc

t-14

Mar-1

5Au

g-15

Jan-

16Ju

n-16

Nov-1

6

Rate (%)

Thou

sand

s of J

obs

U.S. Nonfarm Payrolls and Unemployment RateChg in Nonfarm Payroll (Left) Unemployment Rate (Right)

Source this page: FactSet

3

Consumer Confidence and Spending• Consumer confidence continued its post-Presidential election

surge in Q1, reaching a level of 126.• However, personal consumption expenditures fell a bit during

the quarter. • The election of President Donald Trump spurred optimism that

economic growth would continue, but people were less optimistic about their own financial situations.

Retail Sales• Retail sales rose in Q1 but weakened in March.• Retail sales ex motor vehicle sales slid late in the quarter.

Home Prices• Home prices rose 1.5 percent in the fourth quarter*. • Though interest rates rose in December, home prices are not

expected to decline any time soon.• Unusually low housing inventories continue to support home

price gains.

Q1 2017 In Review: U.S. Economy

*The most recent quarterly data available.Source this page: FactSet

-30.00-20.00-10.00

0.0010.0020.00

Apr-0

7Au

g-07

Dec-0

7Ap

r-08

Aug-

08De

c-08

Apr-0

9Au

g-09

Dec-0

9Ap

r-10

Aug-

10De

c-10

Apr-1

1Au

g-11

Dec-1

1Ap

r-12

Aug-

12De

c-12

Apr-1

3Au

g-13

Dec-1

3Ap

r-14

Aug-

14De

c-14

Apr-1

5Au

g-15

Dec-1

5Ap

r-16

Aug-

16De

c-16

S&P/Case-Shiller Composite 20 Home Price Index (% 1 Yr.)

-15.0-10.0

-5.00.05.0

10.0

Apr-0

7Se

p-07

Feb-

08Ju

l-08

Dec-0

8Ma

y-09

Oct-0

9Ma

r-10

Aug-

10Ja

n-11

Jun-

11No

v-11

Apr-1

2Se

p-12

Feb-

13Ju

l-13

Dec-1

3Ma

y-14

Oct-1

4Ma

r-15

Aug-

15Ja

n-16

Jun-

16No

v-16

U.S. Retail Sales(% 1YR) Retail Sales, Total, SA(% 1YR) Retail Sales, Ex. Motor Vehicle & Parts Dealers, SA

8,5009,0009,50010,00010,50011,00011,50012,000

0.020.040.060.080.0

100.0120.0140.0

Jul-0

7No

v-07

Mar-0

8Ju

l-08

Nov-0

8Ma

r-09

Jul-0

9No

v-09

Mar-1

0Ju

l-10

Nov-1

0Ma

r-11

Jul-1

1No

v-11

Mar-1

2Ju

l-12

Nov-1

2Ma

r-13

Jul-1

3No

v-13

Mar-1

4Ju

l-14

Nov-1

4Ma

r-15

Jul-1

5No

v-15

Mar-1

6Ju

l-16

Nov-1

6Ma

r-17

Consumer Confidence and SpendingConsumer Confidence Index (Left) Personal Consumption Expenditures (Right)

4

Monetary Policies/Global Interest Rates• Central bank deposit rates remain negative in most developed

markets.• The United States is the exception—the Federal Reserve raised

its policy rate in March and indicated that more hikes were likely in 2017.

World GDP Growth• Japan GDP growth was predicted to be higher in Q4, but was

relatively flat amid declining government investment.• Eurozone GDP growth rose only slightly. Household

consumption drove growth but net external demand was negative.

Global Employment Picture• Unemployment in developed countries was relatively flat in the

quarter.• Eurozone unemployment edged a bit lower in Q1. German

unemployment was at a post reunification low, though France’s was flat.

• Japan’s unemployment rate fell to 2.8% in February from 3.1% in December.

Q1 2017 In Review: Global Economy

0.0

5.0

10.0

15.0Ju

n-07

Sep-

07De

c-07

Mar-0

8Ju

n-08

Sep-

08De

c-08

Mar-0

9Ju

n-09

Sep-

09De

c-09

Mar-1

0Ju

n-10

Sep-

10De

c-10

Mar-1

1Ju

n-11

Sep-

11De

c-11

Mar-1

2Ju

n-12

Sep-

12De

c-12

Mar-1

3Ju

n-13

Sep-

13De

c-13

Mar-1

4Ju

n-14

Sep-

14De

c-14

Mar-1

5Ju

n-15

Sep-

15De

c-15

Mar-1

6Ju

n-16

Sep-

16De

c-16

Mar-1

7

Rate

%International Unemployment Rates

Eurozone Germany Japan UK USA

-10.0

-5.0

0.0

5.0

Sep-

07

Mar-0

8

Sep-

08

Mar-0

9

Sep-

09

Mar-1

0

Sep-

10

Mar-1

1

Sep-

11

Mar-1

2

Sep-

12

Mar-1

3

Sep-

13

Mar-1

4

Sep-

14

Mar-1

5

Sep-

15

Mar-1

6

Sep-

16

Mar-1

7

%

Real GDP (QoQ %)Eurozone Japan USA China*

*Quarter over quarter data calculations began in 2011Source this page: FactSet

-0.50.00.51.01.5

6/30/2

012

9/30/2

012

12/31

/2012

3/31/2

013

6/30/2

013

9/30/2

013

12/31

/2013

3/31/2

014

6/30/2

014

9/30/2

014

12/31

/2014

3/31/2

015

6/30/2

015

9/30/2

015

12/31

/2015

3/31/2

016

6/30/2

016

9/30/2

016

12/31

/2016

3/31/2

017

%

Central Bank Target RatesJapan Uncollateralized O/N Call Target Rate Eurozone Deposit Facility RateFed Fund Target Rate

5

U.S. Equity

Performance• U.S. equities rose to all-time highs during Q1 2017, with the Dow

Jones Industrial Average breaking 21,000 in March. Broad-based market indices such as the S&P 500 and Russell 1000 delivered returns in excess of long-term averages.

• In a reversal of the trends we saw in 2016, during Q1 2017 large cap stocks outperformed small cap stocks, growth beat value, and quality outperformed more cyclical issues.

Sector Returns• Energy was the most significant laggard in the S&P 500. Oil’s

decline helped lead commodities lower.• Information technology (IT) was Q1’s best performer at 12.5%.

Healthcare delivered strong returns of 8.2% even amid policy uncertainty around President Trump’s failed push to repeal the Affordable Care Act.

• Bond proxy sectors such as utilities and consumer staples rebounded somewhat from a difficult second half of 2016.

Performance vs. Volatility• The CBOE VIX index continues to be a poor indicator of the level

of volatility in equity markets.• The VIX remains well below 20, the level considered to be the

threshold for more stable markets. In contrast, a level above 30 is generally considered to be a measure of market instability.

• The unappreciated level of risk in both domestic and international equity markets has been challenging for many investors with respect to risk management and monitoring investment portfolios.

8.3%6.1%

-6.9%2.4%

8.2%4.4%

12.5%5.7%

-4.3%6.1%

-10% -5% 0% 5% 10% 15%

Cons. Disc.Cons. Staples

EnergyFinancials

HealthcareIndustrials

ITMaterialsTelecom

Utilities

S&P 500 Sector Performance

6.1% 6.0%

8.9%

3.3% 2.5%

5.4%

-0.1%

5.7%

-2%0%2%4%6%8%

10%

S&P 500® Russell1000

Russell1000

Growth

Russell1000Value

Russell2000

Russell2000

Growth

Russell2000Value

Russell3000

U.S. Equity Index Returns

10.0%

11.0%

12.0%

13.0%

14.0%

-2.0%

0.0%

2.0%

4.0%

6.0%

8.0%

1/3/17 1/17/17 1/31/17 2/14/17 2/28/17 3/14/17 3/28/17

VIX LevelTotal

Retu

rnPerformance vs. Volatility

VIX S&P 500 Russell 2000 Russell Midcap

Sources this page: Investment Metrics, FactSet

Q1 2017 In Review: U.S. Equity

6

Q1 2017 In Review: International Equity

Performance• Equity markets around the globe experienced one of the

strongest starts to a year since 2012. Investors remained optimistic that corporate profitability would be buoyed by the U.S. administration, despite its protectionist trade rhetoric.

• Encouraging economic growth from across the U.S., Europe and Asia, as well as improving employment data and strengthening manufacturing conditions globally, contributed to a robust 7.3% return for the MSCI EAFEindex.

Country Returns• Asian markets were some of the best performers as positive

earnings revisions and easing concerns over a potential U.S. trade war boosted returns.

• European equities delivered strong gains amid positive economic data points and fading political worries about further eurozone breakups after the center-right party win in the Dutch elections.

• At a stock level, Spanish banks Banco de Sabadell and CaixaBank, were among the best performers in European markets, contributing to Spain’s strong 14.8% return.

Sector Performance• The information technology (IT) sector was the top

performer, followed by industrials and consumer staples.• Energy was the only sector to post a negative return, as the

prospect of faster growth in U.S. oil production and rising U.S. stockpiles remained on investors’ minds.

6.4% 7.3%8.6%

11.8%

5.0%4.6%

0%2%4%6%8%

10%12%14%

World EAFE Europe exceptU.K.

Pacific exceptJapan

UnitedKingdom

Japan

MSCI International Equity Index Returns

14.8% 13.5% 13.4%

2.5% 1.9% 1.4%0%

5%

10%

15%

20%

Spain Singapore Hong Kong Canada New Zealand Norway

Notable Country Returns

4.6%8.5%

-2.9%

6.4% 7.1% 8.5%11.2%

6.7% 4.7%7.2%

-5%0%5%

10%15%

Cons

. Disc

.

Cons

. Stap

les

Ener

gy

Finan

cials

Healt

hcar

e

Indus

trials IT

Mater

ials

Telec

om

Utilit

ies

MSCI EAFE Sector Returns

Source this page: Bloomberg

7

Q1 2017 In Review: Emerging Market Equity

Performance• The MSCI Emerging Markets Index rose by 11.5% in Q1, posting

the best quarterly increase in five years. • An improvement in global growth prospects, higher prices for

industrial metals, and a weaker USD all provided a tailwind for returns.

• At the total index level, currency had a positive impact for U.S. investors, with local currency returns coming in 3.7% below the USD results.

Country Returns• China gained on robust industrial production figures and

continued strength in the property market. Korea and Taiwan rallied on strong exports of technology related components.

• India gained as its central bank forecasted strong economic growth for the year and kept interest rates unchanged. The ruling BJP’s success in state elections also provided a tailwind.

• Poland performed the best of all index constituents, as positive economic data increased expectations for growth in 2017. Russia lost the most, hurt by a decline in energy prices.

Sector Performance• All sector returns were positive in Q1.• The technology and industrials sectors were the best performers,

while the energy and healthcare sectors lagged.

11.5%13.4%

2.7%

12.1%

0%

4%

8%

12%

16%

Emerging Markets Asia EMEA Latin America

MSCI Emerging Market Index Returns

12.9%

7.6%4.4%

10.0%

5.5%

13.6%17.0%

12.1%

7.6%10.0%

0%

10%

20%Co

ns. D

isc.

Cons

. Stap

les

Ener

gy

Finan

cials

Healt

hcar

e

Indus

trials IT

Mater

ials

Telec

om

Utilit

ies

MSCI EM Sector Returns

12.9%17.1% 16.9%

11.8%

17.8%

-4.6%-10%

0%

10%

20%

China India Korea Taiwan Poland Russia

Notable Country Returns

Source this page: Bloomberg

8

Q1 2017 In Review: U.S. Fixed Income

Performance• Overall, credit outperformed Treasuries in Q1.• The Bloomberg Barclays U.S. High Yield Index extended its

2016 run, generating 2.7% in Q1. Lower quality names outperformed higher quality names.

• The Bloomberg Barclays U.S. Aggregate Index had strong performance from the investment-grade corporate sector constituent (1.2% for the quarter).

Spreads• All standard U.S. spread sectors were trading below historical

medians at quarter end.• High yield bond spreads ended Q1 below high yield bank loans

at 392 bps over like-duration Treasuries vs. 438 bps over Libor for loans.

Yield Curve• The yield curve flattened modestly in Q1, with the 30- and 10-

year tenors falling 6 bps each, yielding 3.01% and 2.39%, respectively, at quarter end.

• The 2-year nominal Treasury note rose 7 bps to yield 1.26% behind a 25 bps Fed policy hike and inflation repricing.

0.8% 1.0% 0.8%1.6%

0.7%1.3% 1.2%

0.9% 0.5%

2.7%

0.1% 0.4%

0%

1%

2%

3%

4%

U.S.

Aggr

egate

Govt/

Cred

it

Inter

media

teGo

vt/Cr

edit

Long

Govt/

Cred

it

Gove

rnme

nt

Cred

it

Inv G

rade

Corp

orate

Inv G

rade

CMB

S

Mortg

age

U.S.

Cor

pora

teHi

gh Y

ield

Citi 3

-Mon

thT-

Bill

Huele

rSt

able

Value

U.S. Fixed Income Index Returns*

*Bloomberg Barclays Indices, unless otherwise noted.Sources this page: eVestment, Hueler Analytics, Barclays Live, FactSet

0.0

2.0

4.0

1M 3M 6M 1Y 2Y 3Y 5Y 7Y 10Y 30Y

%

Yield Curve12/31/2016 Yield 12/31/2015 Yield 03/31/2017 Yield

0.0

5.0

10.0

15.0

20.0

7/31/2015 12/31/2015 5/31/2016 10/31/2016 3/31/2017

Bloomberg Barclays Option Adjusted SpreadsU.S. Aggregate - OASU.S. Aggregate Credit - Corporate - High Yield / Energy - SEC - OASU.S. High Yield - Corporate - OASU.S. Aggregate Credit - Corporate - Investment Grade - OAS

9

Q1 2017 In Review: International Fixed Income

Global Treasuries• The USD depreciated in Q1, which benefitted international and

global indices with the euro, yen, and other developed ex-U.S. currencies.

Global Fixed Income Index Returns• The Global Aggregate Index was up 1.8% in Q1, while the USD-

hedged version of that index was only up 0.4%. The USD’s weakness held back the hedged index’s performance.

• The Citigroup World Government Bond (1.6%) and Non-U.S.World Government Bond (2.0%) indices also outpaced their hedged counterparts.

Emerging Market Debt• The USD-denominated corporate bond index (CEMBI) fell. The

USD-denominated EMBI Global and the local currency GBI-EM Global Diversified indices gained.

• Commodity prices found a bid in Q1 and meaningful emerging market currency appreciation occurred in pockets of the universe where valuations aren’t supported by fundamentals.

• In Latin America, Brazil and Mexico currencies appreciated 4.3% and 10.7%, respectively, versus the USD.

• In Asia, the South Korean won, Taiwanese dollar, and Indian rupee all appreciated meaningfully by quarter end.

3.9%

-1.3%

6.5%

-4%

-2%

0%

2%

4%

6%

8%

EMBI CEMBI GBI-EM

JP Morgan EMD Index Returns

-1.0

0.0

1.0

2.0

3.0

5/31/2

015

6/30/2

015

7/31/2

015

8/31/2

015

9/30/2

015

10/31

/2015

11/30

/2015

12/31

/2015

1/31/2

016

2/29/2

016

3/31/2

016

4/30/2

016

5/31/2

016

6/30/2

016

7/31/2

016

8/31/2

016

9/30/2

016

10/31

/2016

11/30

/2016

12/31

/2016

1/31/2

017

2/28/2

017

3/31/2

017

Global 10-Year Treasury YieldsUSA Japan UK Germany Canada

1.8%

0.4%

1.6%

0.0%

2.0%

-0.4%-0.5%0.0%0.5%1.0%1.5%2.0%2.5%

Blmb

g Bar

Glob

alAg

greg

ate

Blmb

g Bar

Glob

alAg

greg

ate(H

edge

d)

Citig

roup

WGB

I

Citig

roup

WGB

I(H

edge

d)

Citig

roup

Non-

U.S.

WGB

I

Citig

roup

Non-

U.S.

WGB

I(H

edge

d)

Global Fixed Income Index Performance

Sources this page: FactSet, Investment Metrics, JP Morgan

10

Q1 2017 In Review: Mutual Fund Flows

Equity and Fixed Income Flows• Fixed income received net new inflows of approximately $45.3

billion in Q1 through February 28, 2017*.• Equity experienced net outflows of approximately $5.9 billion

during the same time period. Net inflows of around $2.6 billion in February were not significant enough to offset January’s net outflows of approximately $8.6 billion in the quarter-to-date (QTD) calculation.

Equity Flows• International equity experienced the greatest net inflows QTD

through February 28* with a total of approximately $10 billion.• U.S. large and mid caps were net negative QTD, while small

caps and emerging markets were net positive.

Fixed Income Flows• Investment grade bonds saw the greatest net inflows at

approximately $17 billion QTD through February 28*.• International, high yield and municipal bonds were also net

positive.• The only segment that experienced net outflows was

government (not shown in graph).

-50,000-40,000-30,000-20,000-10,000

010,00020,00030,000

Apr-1

4

Jun-

14

Aug-

14

Oct-1

4

Dec-1

4

Feb-

15

Apr-1

5

Jun-

15

Aug-

15

Oct-1

5

Dec-1

5

Feb-

16

Apr-1

6

Jun-

16

Aug-

16

Oct-1

6

Dec-1

6

Feb-

17

Net N

ew F

lows (

$ milli

ons)

Mutual Fund FlowsBonds Stocks

*The most recent data available.Source this page: FactSet

-25,000

-15,000

-5,000

5,000

15,000

25,000

Mar-1

4Ap

r-14

May-1

4Ju

n-14

Jul-1

4Au

g-14

Sep-

14Oc

t-14

Nov-1

4De

c-14

Jan-

15Fe

b-15

Mar-1

5Ap

r-15

May-1

5Ju

n-15

Jul-1

5Au

g-15

Sep-

15Oc

t-15

Nov-1

5De

c-15

Jan-

16Fe

b-16

Mar-1

6Ap

r-16

May-1

6Ju

n-16

Jul-1

6Au

g-16

Sep-

16Oc

t-16

Nov-1

6De

c-16

Jan-

17Fe

b-17

$ Milli

ons

Equity FlowsUS LC US MC US SC Emerging Markets International

11

Hedge Funds and Fund of Funds• Q1 hedge fund performance as represented by the HFRI Fund

Weighted Composite was positive at 2.4%. The index has gained for four consecutive quarters and has trailing 1-, 3-, and 5-year returns of 8.7%, 2.8%, and 4.0%, respectively.

• The HFRI Fund of Funds Composite Index was also positive for the fourth consecutive quarter and up 2.4% in Q1. The index now has trailing 1-, 3-, and 5-year returns of 6.2%, 1.8%, and 3.2%, respectively.

Hedge Fund Sub-Strategies• Emerging Markets led sub-strategy performance in Q1, up

6.1%, driven largely by India and Asia ex-Japan. • Equity Hedge also posted a solid gain of 3.6% and benefited

from technology and healthcare specific managers. • Macro was the weakest strategy, down -0.2%, driven by Active

Trading and Systematic managers.

Hedge Fund Industry Asset Flows• Total hedge fund industry capital rose for the fourth

consecutive quarter. Industry-wide assets totaled $3.07 trillion by the end of Q1.

• Assets increased by $47 billion as investors increased capital to Event Driven and Trend Following Systematic Macro strategies. Trailing 12-month industry capital increased 7.3%.

• 2016 saw the largest annual outflow since 2009; however, investor outflow slowed to $5.5 billion in Q1 2017, the lowest quarterly outflow since Q4 2015.

Q1 2017 In Review: Absolute Return Strategies

$1,162

$1,424

$1,406

$500

$1,000

$1,500

$2,000

'07 '08 '09 '10 '11 '12 '13 '14 '15 '16 '17

HFR Hedge Fund and Fund of Fund Weighted CompositeGrowth of $1000

FOF Composite Fund Weighted Composite S&P 500 Global Aggregate

-5%

0%

5%

10%

15%

20%

Fund ofFund

FundWeighted

EventDriven

EquityHedge

Macro Distressed EmergingMarkets

RelativeValue

Hedge Fund Sub-Strategy PerformanceQTR 1 YR 3 YR 5 YR

$3,066

-5.5

$1,000

$1,500

$2,000

$2,500

$3,000

-160-140-120-100

-80-60-40-20

0204060

Q1 07

Q1 08

Q1 09

Q1 10

Q1 11

Q1 12

Q1 13

Q1 14

Q1 15

Q1 16

Q1 17

Quarterly Asset Flows ($Billions)HF Industry Assets Net Flows

Sources this page: Hedge Fund Research, Inc., eVestment

12

Performance• The total return for private equity funds, comprising

performance across all regions and strategies, was 3.8% in Q3 2016* and 9.1 percent over the 1-year period ending Q3.

• Long-term performance was strong, with double-digit returns for the 5-, 10- and 20-year time periods ending Q3 2016 of 13.4 percent, 10.4 percent, and 12.2 percent, respectively.

• Performance for 2010 through 2014 vintage-year funds has been solid, with double-digit returns for each vintage year.

Fundraising• U.S. private equity funds raised approximately $118.2 billion

in Q4 2016*, resulting in a total of $312.2 billion in fund commitments across 872 fund closings in 2016, around 6% more money and 77 more closings than in 2015.

• Corporate finance strategies, including buyouts and other strategies attracted $213.6 billion across 334 funds in 2016. Buyout funds, especially big buyout vehicles, helped drive overall U.S. private equity fundraising. The $103.9 billion gathered by buyout funds in 2016 marked the largest amount raised since 2008.

Exit Activity• Exit activity declined sharply in Q4 2016*. Compared to Q3,

the number of private equity exits decreased by 10%, while the aggregate value of exits fell 44.3%. The number of exits in 2016 hit its lowest level since 2009, while the aggregate exit value fell to its lowest level since 2014.

• Macro concerns and geopolitical uncertainty weighed heavily on the global IPO and M&A markets, making it the quietest year for IPOs since 2012 and represented a 23% decline in value for M&As compared to the previous year.

050,000

100,000150,000200,000250,000300,000350,000400,000

2000

2001

2002

2003

2004

2005

2006

2007

2008

2009

2010

2011

2012

2013

2014

2015

2016

$ Milli

ons

Private Equity Commitments: United StatesOther (Includes fund of funds, mezzanine, and secondaries)VentureBuyout/Corporate Finance

Q1 2017 In Review: Private Equity

0%5%

10%15%20%25%30%

2014 2013 2012 2011 2010 1 Yr. 5 Yr. 10 Yr. 20 Yr.

Horiz

on R

eturn

s (P

ooled

IRRs

)

Vintage Year

Private Equity Performance by Vintage Year and Investment Horizon: All Regions

Total PE Venture Capital Buyouts

Investment Horizon

Sources this page: Thomson Reuters, Private Equity Analyst

-

1,000

2,000

3,000

0

100,000

200,000

300,000

400,000

500,00020

0020

0120

0220

0320

0420

0520

0620

0720

0820

0920

1020

1120

1220

1320

1420

1520

16

$ Milli

ons

Private Equity Exits: All RegionsM&A IPO Number of Deals

Number of Deals

* The most recent data available.

13

Q1 2017 In Review: Real EstateU.S. Private Real Estate• Among NPI property types, industrial continued its relative

outperformance (2.8%) with a 130 bps total return lead on the index's second best performing property type (retail).

• The West outperformed all other regions (2.0%).• Completed real estate deals in Q1 were significantly lower (-33%

QoQ), reflecting a $19bn decrease in aggregate deal value.• High quality U.S. assets have fully recovered in value and, on

average, are now valued 20% in excess of 2007 peak valuations. Despite the continued recovery, current valuations have U.S. assets trading at an overall slight premium to NAV.

Value Add Real Estate• Q1 2017 closed-end private real estate fundraising activity saw a

reversal in momentum from 2016: (42%) YoY; (53%) QoQ.• The number of closed-end funds reaching a final close declined

concomitantly, down from 72 in Q4 2016 to only 38 in Q1 2017.• Value-added funds represented the largest number of funds

closed and capital raised in Q1.• Dry powder increased 3% QoQ, setting a record high level of

$245bn at the end of Q1.

Public Real Estate• Global public real estate stocks saw modest gains in Q1.• The overall global investable property stock universe is trading at

a 2% discount, suggesting public markets may be pricing in a potential decline in asset values.

• Despite the relative value discounts, certain segments of the global listed property markets are trading at premiums, driven by investor demand for defensive exposure and for yield. -10%

-5%

0%

5%

10%

QTD 1-Year 3-Year 5-Year 10-Year

Regional Real Estate Securities PerformanceU.S. Europe Asia

Sources this page: Preqin, NCREIF, NAREIT

0%

5%

10%

15%

20%

25%


Closed End Value Add PerformanceIncome Appreciation

0.0%

5.0%

10.0%

15.0%

NPI ODCE NPI ODCE NPI ODCE NPI ODCE NPI ODCE


NCREIF NPI & Open-End Diversified Core Equity (ODCE)* Performance

Income Appreciation

* The NPI (NCREIF Property Index) is a U.S. direct investment real estate index based on gross, market value weighted returns of individual properties and the ODCE (Open-end Diversified Core Equity) is a fund-level cap-weighted, gross of fee, time-weighted return index.

14

Q1 2017 In Review: Infrastructure

Private Infrastructure Performance • Infrastructure has posted significant returns over the past 3 years

as private market investments have realized price appreciation that has been felt across capital markets.

• Double-digit annualized returns realized in the 3- and 5-year periods were not matched in the 1-year period. Private infrastructure is expected to continue to generate strong single-digit returns while avoiding equity correlation.

Dry Powder and Fundraising• Fundraising has been strong for infrastructure investors over the

past decade as institutional investors have become more active in the space.

• Dry powder has grown significantly as managers have been able to draw capital with a compelling growth and investment story.

• Infrastructure became a hot topic during the 2016 presidential election and Q1 2017 illustrated the sector’s popularity with a record quarterly fundraising total for unlisted infrastructure managers.

Public Infrastructure Performance• The talk of infrastructure during the presidential campaign not only

helped fundraising on the private side but it aided performance for public vehicles.

• Q1 2017 was a great quarter for global infrastructure, as many analysts expected a pickup in economic activity and higher infrastructure spending coming from Washington.

• The backdrop of strong global equities helped public infrastructure generate robust returns.

Sources this page: Preqin, Investment Metrics

8.2%

10.9%

7.2%

9.9% 10.4%

0.0%2.0%4.0%6.0%8.0%

10.0%12.0%

Q1 2017 1 Year 3 Years 5 Years 7 Years

FTSE Global Core Infrastructure 50/50 Index

8.9%11.8% 10.1%

7.7%

0.0%

5.0%

10.0%

15.0%

1 Year 3 Year 5 Year Since Inception(12/31/2007)

Preqin Infrastructure Annualized Return as of 6/30/2016*

$0

$50

$100

$150

$200

2005 2006 2007 2008 2009 2010 2011 2012 2013 2014 2015 2016 2017YTD

$USD

Billi

ons

Dry Powder and FundraisingDry Powder Capital Raised

* Most recent data available

15

Q1 2017 In Review: Commodities and Currencies

Quarterly Commodity Returns• Commodities (-2.3%) ended Q1 down after a strong 2016, when

the Bloomberg Commodity Index posted its first calendar-year gain since 2010.

• Energy and agriculture drove the decline, as natural gas, oil and sugar were negative.

• Industrial metals rose with disruptions at copper mines curbing supply. Prospective U.S. infrastructure investment and Chinese demand also boosted metals.

Sector Returns• The energy sector posted the largest decline in the index. Oil

prices fell due to questionable sustainability of the OPEC production cut and lukewarm prospects for growth in U.S. output.

• Precious metals outperformed, increasing 9.8% for the quarter. Expectations of rising inflation and volatility in other asset classes boosted gold prices.

Currencies • The USD retreated modestly in Q1 after a run up following the

U.S. election.• Higher interest rates and tax reform will be tailwinds for the USD

going forward.

$-

$50

$100

$150

Mar-07 Mar-09 Mar-11 Mar-13 Mar-15 Mar-17

Bloomberg Commodity Index: Growth of $100

Sources this page: Bloomberg, FactSet

-3.0%

9.8% 7.6%

0.1%

-11.4%-15%-10%-5%0%5%

10%15%

Agriculture Precious Metal IndustrialMetals

Livestock Energy

Bloomberg Commodity Index Sector Performance: QTD

-5.00-3.00-1.001.003.005.007.00

12/30/2016 1/30/2017 2/28/2017 3/31/2017

Major World Currencies Indexed to ZeroUS Trade-Weighted Dollar Exchange Rate Index USD per EuroUSD per Yen USD per YuanUSD per Canadian Dollar

16

Q1 2017 In Review: Noteworthy Developments

Financial Assets Outpace Economic Growth in the Current Expansion• As shown in the graph at left below, the current economic expansion is the third longest since 1950, as well as one of the slowest

in terms of economic growth.• Meanwhile, the current bull market in equities is the third strongest over that same time period, as illustrated in the graph at right

below.• This means the value of financial assets has far outpaced underlying economic growth, contributing to a few observations:

• The current state of the capital markets of overvaluation across virtually all asset classes.• The disconnect between the upper and middle classes, since the upper class typically benefits most from gains in financial

assets while slow growth has not benefitted the middle class to the same extent.

Source this page: FactSet

1953

19571960

1969

1973

1979

1981

1990

2001

2007 2017

0%

10%

20%

30%

40%

50%

60%

1 6 11 16 21 26 31 36 41

Cumu

lative

Rea

l GDP

Gro

wth (

%)

Number of Quarters of Economic Recovery

Economic Expansions Since 1950

19571960

19691979

1981

1990

2001

2007

2017

-100%

0%

100%

200%

300%

400%

500%

1 6 11 16 21 26 31 36 41

Number of Quarters of Economic Recovery

S&P 500 Total Return Cumulative Performance Since 1950

17


The Quiet Black Swan• Over the last 5 years the U.S. equity market has outperformed emerging market equities by 12% per annum.• In other words, going long $1.00 in U.S. equities and short $1.00 in emerging markets would have given you $1.75 in a year.• This has occurred even though these two assets classes had a correlation of 0.66 throughout the period.• Using the historical standard deviations and correlations, the probability of this occurring is 1%, or 1-in-99 years.*

* This is according to the Capital Asset Pricing Model, or CAPM, which is a formula that is widely used in finance for the pricing of risky securities.** Ex Ante CAPMSources this page: Investment Metrics, Segal Marco Advisors analytics

$1.75

$0.80

$1.00

$1.20

$1.40

$1.60

$1.80

$2.00

Dec-2

016

Aug-

2016

Apr-2

016

Dec-2

015

Aug-

2015

Apr-2

015

Dec-2

014

Aug-

2014

Apr-2

014

Dec-2

013

Aug-

2013

Apr-2

013

Dec-2

012

Aug-

2012

Apr-2

012

Dec-2

011

U.S. Equity Versus Emerging Market EquityTrailing 5 Years

US EQ / EM EQ US EQ EM EQ

Risk Premium**

Historical StandardDeviation

Historical Correlation

U.S. Equity 6% 11% 1.00 0.66

Emerging Market Equity

8% 16% 0.66 1.00

Long U.S. Equity/

Short EME-1% 12%

Z-Score 2

Probability 1%

18


High Yield in a Rising Rate Environment• Typically, rising interest rates are negative for the bond market. However, high yield bonds have historically performed well in a

rising rate environment. • During the six periods of rising rates over the last 30 years, the high yield market’s median return was 8.1%. Furthermore, in all six

periods, the high yield returns were positive.• Given that we may be headed into another period of rising interest rates, investors should consider high yield bonds as a potential

investment for their portfolio.

Sources this page: Bloomberg, Barclays, BofA Merrill Lynch

Date 10-Year Treasury Yield Annual Performance

Begin End Number of Months Begin End Change 10-Yr.

Treasury

BofAMerrill Lynch

U.S. High Yield

Aug-86 Sep-87 13 6.9% 9.6% 2.7% -8.9% 6.9%

Sep-93 Nov-94 14 5.4% 7.9% 2.5% -8.8% 6.9%

Sep-98 Jan-00 16 4.4% 6.7% 2.2% -7.7% 3.7%

May-03 May-06 37 3.4% 5.1% 1.7% -0.5% 9.3%

Dec-08 Dec-09 12 2.2% 3.8% 1.6% -9.8% 57.5%

Jul-12 Dec-13 17 1.5% 3.0% 1.6% -6.2% 9.5%

Median -8.3% 8.1%

0.0%

2.0%

4.0%

6.0%

8.0%

10.0%

12.0%

Aug-

86Oc

t-87

Dec-8

8Fe

b-90

Apr-9

1Ju

n-92

Aug-

93Oc

t-94

Dec-9

5Fe

b-97

Apr-9

8Ju

n-99

Aug-

00Oc

t-01

Dec-0

2Fe

b-04

Apr-0

5Ju

n-06

Aug-

07Oc

t-08

Dec-0

9Fe

b-11

Apr-1

2Ju

n-13

Aug-

14Oc

t-15

Dec-1

6

10-Year Treasury Yield

19

Total Fund Composite

20

Asset Allocation by Segment

SegmentsMarket Value

($)Allocation

(%)

Domestic Equity 125,269,499 40.35

Domestic Fixed Income 75,916,815 24.46

International Equity 63,985,188 20.61

Real Estate 33,612,640 10.83

Cash 6,762,303 2.18

Private Equity 4,877,064 1.57

Performance Bar Chart

Total Fund Composite Policy Index

0.00

5.00

10.00

15.00

20.00

Re

turn

1 Qtr YTD 1 Yr 3 Yrs 5 Yrs 2016 2015 2014

3.96 3.96

10.31

6.03

8.127.47

1.34

6.92

4.10 4.10

11.01

7.00

8.86 8.55

1.90

8.13

Gain / Loss

1 Qtr YTD 1 Yr 3 Yrs 5 Yrs

Total Fund Composite

Beginning Market Value 303,934,080 303,934,080 293,188,266 281,671,446 237,193,020

Net Cash Flows -5,963,169 -5,963,169 -14,026,357 -31,769,897 -40,465,205

Income 1,339,866 1,339,866 4,898,999 13,557,734 21,018,229

Gain/Loss 11,112,732 11,112,732 26,362,601 46,964,227 92,677,466

Ending Market Value 310,423,510 310,423,510 310,423,510 310,423,510 310,423,510

The City of Hollywood Total Fund Composite

As of March 31, 2017

21

Target Allocation Actual Allocation Allocation Differences

0.0% 10.0% 20.0% 30.0% 40.0% 50.0%-10.0 %-20.0 %

Private Equity Composite$4,877,064

Real Estate Composite$33,612,790

Fixed Income Composite$79,564,562

International Equity Composite$63,985,219

Small / SMID Cap Composite$44,916,448

Large Cap Composite$83,467,426

5.0%

10.0%

30.0%

20.0%

12.5%

22.5%

1.6%

10.8%

25.6%

20.6%

14.5%

26.9%

-3.4 %

0.8%

-4.4 %

0.6%

2.0%

4.4%

AssetAllocation

($)

AssetAllocation

(%)

InterimTarget

Allocation(%)

Differences(%)

MinimumAllocation

(%)

MaximumAllocation

(%)

Total Fund Composite 310,423,510 100.00 100.00 0.00 N/A N/A

Large Cap Composite 83,467,426 26.89 22.50 4.39 15.00 30.00

Small / SMID Cap Composite 44,916,448 14.47 12.50 1.97 7.00 15.50

International Equity Composite 63,985,219 20.61 20.00 0.61 15.00 25.00

Fixed Income Composite 79,564,562 25.63 30.00 -4.37 25.00 37.50

Real Estate Composite 33,612,790 10.83 10.00 0.83 7.00 14.00

Private Equity Composite 4,877,064 1.57 5.00 -3.43 0.00 15.00

The City of Hollywood Total Fund Composite


22

Total Fund

($) %

Total Fund Composite 310,423,510 100.00

Domestic Equity Composite 128,383,874 41.36

Large Cap Composite 83,467,426 26.89

Northern Trust S&P 500 83,467,426 26.89

Small / SMID Cap Composite 44,916,448 14.47

TSW - SMID Value 20,593,201 6.63

Frontier Capital 24,323,247 7.84

International Equity Composite 63,985,219 20.61

Brandes International Small Cap 17,731,962 5.71

Wellington International 46,253,258 14.90

Fixed Income Composite 79,564,562 25.63

Baird Advisors 53,568,081 17.26

Neuberger & Berman 25,996,481 8.37

Real Estate Composite 33,612,790 10.83

Morgan Stanley 24,221,866 7.80

Principal Enhanced Property Fund 9,390,924 3.03

Private Equity Composite 4,877,064 1.57

NB Crossroads Fund XXI 4,155,005 1.34

HarbourVest Dover Fund IX 722,059 0.23

Infrastructure Composite - 0.00

IFM Global Infrastructure - 0.00

The City of Hollywood Asset Allocation


23

Performance (%)

1Quarter

Oct-2016To

Mar-20171

Year3

Years5

Years7

Years10

YearsSince

InceptionInception

Date

Total Fund Composite 4.10 5.10 11.01 7.00 8.86 9.08 5.99 7.87 02/01/1991

Policy Index 3.96 4.93 10.31 6.03 8.12 8.57 5.75 7.96

Large Cap Composite 6.04 10.09 17.12 10.34 12.80 12.41 7.06 8.62 09/01/2002

S&P 500 6.07 10.12 17.17 10.37 13.30 12.94 7.51 8.92

Small / SMID Cap Composite 4.41 8.49 21.53 8.38 12.83 13.07 6.63 10.88 09/01/2002

Small / SMID Policy 3.76 10.11 21.53 7.43 12.58 12.43 7.23 10.61

International Equity Composite 7.13 6.48 11.85 4.29 N/A N/A N/A 5.66 05/01/2013

MSCI AC World ex USA (Net) 7.86 6.51 13.13 0.56 4.36 3.82 1.35 2.50

Fixed Income Composite 0.98 -1.50 1.16 2.56 2.26 3.26 3.89 7.51 02/01/1991

Bond Index 0.68 -1.38 0.35 2.25 1.95 2.94 3.91 5.45

Real Estate Composite 1.93 4.75 10.09 13.12 13.40 14.26 N/A 5.41 04/01/2008

Real Estate Policy 1.76 3.85 8.28 11.64 11.68 13.07 5.74 4.94

The City of Hollywood Comparative Performance


24

Performance (%)

1Quarter

Year ToDate

Oct-2016To

Mar-20171

Year3

Years5

Years7

Years10

YearsSince

InceptionInception

Date

Large Cap Composite 6.04 6.04 10.09 17.12 10.34 12.80 12.41 7.06 8.62 09/01/2002

S&P 500 6.07 6.07 10.12 17.17 10.37 13.30 12.94 7.51 8.92

Northern Trust S&P 500 6.04 6.04 10.09 17.12 10.34 N/A N/A N/A 14.76 11/01/2012

S&P 500 6.07 6.07 10.12 17.17 10.37 13.30 12.94 7.51 14.79

IM U.S. Large Cap Core Equity (SA+CF) Median 5.97 5.97 10.14 16.32 9.80 13.22 12.92 7.74 14.71

Northern Trust S&P 500 Rank 48 48 53 45 38 N/A N/A N/A 48

Small / SMID Cap Composite 4.41 4.41 8.49 21.53 8.38 12.83 13.07 6.63 10.88 09/01/2002

Small / SMID Policy 3.76 3.76 10.11 21.53 7.43 12.58 12.43 7.23 10.61

TSW - SMID Value 3.10 3.10 7.37 18.19 8.29 N/A N/A N/A 10.07 11/01/2013

Russell 2500 Value Index 1.62 1.62 11.12 23.13 7.55 12.92 12.31 6.79 9.10

IM U.S. SMID Cap Value Equity (SA+CF) Median 3.77 3.77 12.07 21.48 8.00 13.06 13.21 8.58 9.45

TSW - SMID Value Rank 61 61 92 73 47 N/A N/A N/A 39

Frontier Capital 5.54 5.54 9.46 24.70 8.01 N/A N/A N/A 11.20 08/01/2013

Russell 2500 Growth Index 6.25 6.25 9.01 19.77 7.23 12.17 13.13 8.47 9.79

IM U.S. SMID Cap Growth Equity (SA+CF) Median 7.35 7.35 9.06 19.27 7.01 11.85 13.56 9.71 9.54

Frontier Capital Rank 76 76 47 11 33 N/A N/A N/A 28

International Equity Composite 7.13 7.13 6.48 11.85 4.29 N/A N/A N/A 5.66 05/01/2013

MSCI AC World ex USA (Net) 7.86 7.86 6.51 13.13 0.56 4.36 3.82 1.35 2.50

Brandes International Small Cap 6.66 6.66 8.69 13.08 N/A N/A N/A N/A 8.79 05/01/2015

MSCI EAFE Small Cap (Net) 7.97 7.97 4.89 10.99 3.60 9.20 8.29 3.03 4.85

IM International Small Cap Equity (SA+CF) Median 8.71 8.71 5.19 11.47 4.35 10.53 10.02 5.05 4.74

Brandes International Small Cap Rank 88 88 10 37 N/A N/A N/A N/A 13

Wellington International 7.31 7.31 5.65 11.39 3.05 N/A N/A N/A 3.47 11/01/2013

MSCI AC World ex USA (Net) 7.86 7.86 6.51 13.13 0.56 4.36 3.82 1.35 0.95

IM International Core Equity (SA+CF) Median 8.04 8.04 5.96 11.64 1.92 7.19 6.32 2.48 2.84

Wellington International Rank 72 72 55 57 32 N/A N/A N/A 40



25


As of March 31, 2017Performance (%)

1Quarter

Year ToDate

Oct-2016To

Mar-20171

Year3

Years5

Years7

Years10

YearsSince

InceptionInception

Date

Fixed Income Composite 0.98 0.98 -1.50 1.16 2.56 2.26 3.26 3.89 7.51 02/01/1991

Bond Index 0.68 0.68 -1.38 0.35 2.25 1.95 2.94 3.91 5.45

Baird Advisors 1.11 1.11 -1.65 1.88 3.42 2.94 4.18 4.25 4.28 10/01/2005

Blmbg. Barc. U.S. Aggregate 0.82 0.82 -2.18 0.44 2.68 2.34 3.48 4.27 4.28

IM U.S. Broad Market Core Fixed Income (SA+CF) Median 0.92 0.92 -1.89 1.01 2.97 2.81 3.97 4.76 4.73

Baird Advisors Rank 26 26 30 24 20 38 34 90 90

Neuberger & Berman 0.72 0.72 -1.32 0.15 1.56 1.50 2.62 3.82 5.58 02/01/1991

Blmbg. Barc. Intermed. U.S. Government/Credit 0.78 0.78 -1.30 0.42 2.01 1.88 2.86 3.76 5.46

90 Day U.S. Treasury Bill 0.10 0.10 0.17 0.30 0.14 0.11 0.11 0.66 2.77

IM U.S. Intermediate Duration (SA+CF) Median 0.81 0.81 -1.04 0.94 2.31 2.23 3.16 4.22 5.90

Neuberger & Berman Rank 75 75 85 89 98 95 91 86 92

Real Estate Composite 1.93 1.93 4.75 10.09 13.12 13.40 14.26 N/A 5.41 04/01/2008

Real Estate Policy 1.76 1.76 3.85 8.28 11.64 11.68 13.07 5.74 4.94

Morgan Stanley 1.92 1.92 4.37 9.27 12.39 12.99 13.96 N/A 5.20 04/01/2008

NCREIF ODCE Equal Weighted 1.83 1.83 4.03 8.61 12.00 12.01 13.48 5.40 4.58

Principal Enhanced Property Fund 1.95 1.95 5.74 12.33 15.41 N/A N/A N/A 15.20 11/01/2013

NCREIF Property Index 1.55 1.55 3.30 7.27 10.58 10.69 11.82 6.72 10.64

26

Performance (%)

2016 2015 2014 2013 2012 2011 2010 2009 2008 2007 2006

Total Fund Composite 8.55 1.90 8.13 19.67 12.40 0.74 13.24 15.81 -23.73 7.47 11.23

Policy Index 7.47 1.34 6.92 17.92 11.54 2.70 13.36 16.85 -22.38 5.46 11.61

Large Cap Composite 11.89 1.41 13.67 32.45 17.06 -3.31 16.46 29.59 -40.76 8.58 15.25

S&P 500 11.96 1.38 13.69 32.39 16.00 2.11 15.06 26.46 -37.00 5.49 15.79

Small / SMID Cap Composite 19.57 -3.51 10.72 36.00 12.94 1.91 21.00 14.96 -36.71 6.03 15.33

Small / SMID Policy 17.59 -2.90 7.07 37.79 16.35 -4.18 26.85 27.17 -33.79 -1.57 18.37

International Equity Composite 4.08 3.39 -2.90 N/A N/A N/A N/A N/A N/A N/A N/A

MSCI AC World ex USA (Net) 4.50 -5.66 -3.87 15.29 16.83 -13.71 11.15 41.45 -45.53 16.65 26.65

Fixed Income Composite 3.08 0.68 4.57 -1.85 4.44 6.64 6.20 6.02 3.36 6.60 4.52

Bond Index 1.97 1.21 4.12 -1.02 3.56 5.97 6.15 6.46 4.86 7.02 4.57

Real Estate Composite 10.28 15.88 14.03 16.03 11.68 16.33 15.15 -33.00 N/A N/A N/A

Real Estate Policy 8.94 14.71 12.24 12.76 10.91 15.53 15.38 -27.37 -9.40 16.03 16.26



27

Performance (%)

2016 2015 2014 2013 2012 2011 2010 2009 2008 2007 2006

Large Cap Composite 11.89 1.41 13.67 32.45 17.06 -3.31 16.46 29.59 -40.76 8.58 15.25

S&P 500 11.96 1.38 13.69 32.39 16.00 2.11 15.06 26.46 -37.00 5.49 15.79

Northern Trust S&P 500 11.89 1.41 13.67 32.30 N/A N/A N/A N/A N/A N/A N/A

S&P 500 11.96 1.38 13.69 32.39 16.00 2.11 15.06 26.46 -37.00 5.49 15.79

IM U.S. Large Cap Core Equity (SA+CF) Median 10.52 1.28 13.41 32.96 15.70 2.03 14.80 26.50 -35.97 7.13 15.61

Northern Trust S&P 500 Rank 34 49 44 61 N/A N/A N/A N/A N/A N/A N/A

Small / SMID Cap Composite 19.57 -3.51 10.72 36.00 12.94 1.91 21.00 14.96 -36.71 6.03 15.33

Small / SMID Policy 17.59 -2.90 7.07 37.79 16.35 -4.18 26.85 27.17 -33.79 -1.57 18.37

TSW - SMID Value 19.19 -1.03 8.43 N/A N/A N/A N/A N/A N/A N/A N/A

Russell 2500 Value Index 25.20 -5.49 7.11 33.32 19.21 -3.36 24.82 27.68 -31.99 -7.27 20.18

IM U.S. SMID Cap Value Equity (SA+CF) Median 19.38 -2.92 7.21 35.68 16.96 -2.10 25.48 35.58 -35.76 3.30 17.51

TSW - SMID Value Rank 51 30 40 N/A N/A N/A N/A N/A N/A N/A N/A

Frontier Capital 19.96 -6.45 12.35 N/A N/A N/A N/A N/A N/A N/A N/A

Russell 2500 Growth Index 9.73 -0.19 7.05 40.65 16.13 -1.57 28.86 41.65 -41.50 9.69 12.26

IM U.S. SMID Cap Growth Equity (SA+CF) Median 8.43 0.14 5.65 40.05 15.46 -1.74 29.98 37.64 -41.43 14.70 11.06

Frontier Capital Rank 4 95 9 N/A N/A N/A N/A N/A N/A N/A N/A

International Equity Composite 4.08 3.39 -2.90 N/A N/A N/A N/A N/A N/A N/A N/A


Brandes International Small Cap 10.63 N/A N/A N/A N/A N/A N/A N/A N/A N/A N/A

MSCI EAFE Small Cap (Net) 2.18 9.59 -4.95 29.30 20.00 -15.94 22.04 46.78 -47.01 1.45 19.31

IM International Small Cap Equity (SA+CF) Median 1.19 10.39 -3.38 31.13 23.53 -13.62 23.75 45.67 -47.15 9.51 29.40

Brandes International Small Cap Rank 7 N/A N/A N/A N/A N/A N/A N/A N/A N/A N/A

Wellington International 1.76 1.86 -2.90 N/A N/A N/A N/A N/A N/A N/A N/A


IM International Core Equity (SA+CF) Median 1.39 1.13 -3.51 23.97 19.73 -12.34 11.84 33.79 -44.08 12.09 27.73

Wellington International Rank 46 46 39 N/A N/A N/A N/A N/A N/A N/A N/A



28



Performance (%)

2016 2015 2014 2013 2012 2011 2010 2009 2008 2007 2006

Fixed Income Composite 3.08 0.68 4.57 -1.85 4.44 6.64 6.20 6.02 3.36 6.60 4.52

Bond Index 1.97 1.21 4.12 -1.02 3.56 5.97 6.15 6.46 4.86 7.02 4.57

Baird Advisors 4.29 0.45 6.62 -2.50 5.35 8.85 7.74 5.76 0.85 6.11 4.44

Blmbg. Barc. U.S. Aggregate 2.65 0.55 5.97 -2.02 4.21 7.84 6.54 5.93 5.24 6.97 4.34

IM U.S. Broad Market Core Fixed Income (SA+CF) Median 3.10 0.82 6.14 -1.56 5.88 7.83 7.24 9.88 3.04 6.87 4.49

Baird Advisors Rank 14 83 29 95 64 9 38 90 59 72 57

Neuberger & Berman 1.50 0.94 2.43 -1.24 4.05 5.74 5.96 8.64 4.48 6.92 4.31

Blmbg. Barc. Intermed. U.S. Government/Credit 2.08 1.07 3.13 -0.86 3.89 5.80 5.89 5.24 5.08 7.39 4.07

IM U.S. Intermediate Duration (SA+CF) Median 2.39 1.31 3.56 -0.53 4.98 5.86 6.42 7.85 4.66 7.23 4.49

Neuberger & Berman Rank 95 83 92 87 72 57 74 41 52 63 72

Real Estate Composite 10.28 15.88 14.03 16.03 11.68 16.33 15.15 -33.00 N/A N/A N/A

Real Estate Policy 8.94 14.71 12.24 12.76 10.91 15.53 15.38 -27.37 -9.40 16.03 16.26

Morgan Stanley 9.23 14.59 14.15 16.20 11.68 16.33 15.15 -33.00 N/A N/A N/A

NCREIF ODCE Equal Weighted 9.27 15.17 12.38 13.36 11.03 15.96 16.14 -30.65 -10.37 16.09 16.15

Principal Enhanced Property Fund 13.34 20.25 13.64 N/A N/A N/A N/A N/A N/A N/A N/A

NCREIF Property Index 7.97 13.33 11.82 10.98 10.54 14.26 13.11 -16.85 -6.46 15.85 16.60

29

Allocation

Market Value($000)

Performance (%)

Oct-2004To

Sep-2005

Oct-2005To

Sep-2006

Oct-2006To

Sep-2007

Oct-2007To

Sep-2008

Oct-2008To

Sep-2009

Oct-2009To

Sep-2010

Oct-2010To

Sep-2011

Oct-2011To

Sep-2012

Oct-2012To

Sep-2013

Oct-2013To

Sep-2014

Oct-2014To

Sep-2015

Oct-2015To

Sep-2016

Oct-2016To

Mar-2017

Total Fund Composite 310,424 9.78 7.74 12.55 -12.77 -2.12 8.82 0.36 20.29 13.62 11.24 1.80 11.06 5.10

Policy Index 8.25 7.64 11.79 -11.28 -1.82 9.29 2.00 19.44 12.76 9.80 0.64 9.85 4.93



30

Total Fund Performance

0.0% 2.0% 4.0% 6.0%

Total Fund

Total Fund Benchmark

Total Value Added

4.1%

4.0%

0.1%

Total Value Added:0.1%

0.0% 0.1% 0.2%-0.1 %-0.2 %

Other

Manager Value Added

Asset Allocation

0.0%

0.0%

0.1%

Total Asset Allocation:0.1%

Average Active Weight

0.0% 4.0% 8.0%-4.0 %-8.0 %

Int'l Small Cap

Real Estate

Fixed Income Composite

Int'l Large Cap

Small / SMID Cap

Large Cap

We

igh

t

(%)

0.5%

1.2%

-4.7 %

-0.8 %

1.7%

0.7%

Asset Allocation Value Added

0.0% 0.2% 0.4%-0.2 %

0.0%

0.0%

0.2%

0.0%

0.0%

0.0%

Total Manager Value Added:0.0%

Manager Value Added

0.0% 0.2%-0.2 %-0.4 %

-0.1 %

0.0%

0.1%

-0.1 %

0.1%

0.0%

The City of Hollywood Total Fund Attribution

1 Quarter Ending March 31, 2017

31

0.0

2.0

4.0

6.0

8.0

10.0

12.0

14.0

16.0

18.0

Re

turn

1 Qtr YTD 1 Yr 3 Yrs 5 Yrs 7 Yrs 10 Yrs

Total Fund Composite 4.10 (76) 4.10 (76) 11.01 (46) 7.00 (3) 8.86 (11) 9.08 (8) 5.99 (34)¢£

Policy Index 3.96 (82) 3.96 (82) 10.31 (70) 6.03 (32) 8.12 (37) 8.57 (26) 5.75 (47)��

5th Percentile 5.44 5.44 13.24 6.92 9.26 9.24 6.72

1st Quartile 4.84 4.84 11.77 6.13 8.37 8.59 6.11

Median 4.49 4.49 10.82 5.63 7.87 8.12 5.68

3rd Quartile 4.11 4.11 9.93 5.00 7.25 7.58 5.40

95th Percentile 3.47 3.47 8.90 3.99 6.25 6.87 4.53

Population 236 236 232 222 213 205 130

The City of Hollywood Public Plans < $500 Million & 40-70% Equity


Parentheses contain percentile rankings.Calculation based on quarterly periodicity.

32

-16.0

-10.0

-4.0

2.0

8.0

14.0

20.0

26.0

32.0

38.0

44.0

Re

turn

2016 2015 2014 2013 2012 2011 2010 2009

Total Fund Composite 8.55 (17) 1.90 (9) 8.13 (19) 19.67 (13) 12.40 (58) 0.74 (34) 13.24 (36) 15.81 (88)¢£

Policy Index 7.47 (40) 1.34 (17) 6.92 (48) 17.92 (43) 11.54 (79) 2.70 (6) 13.36 (35) 16.85 (78)��

5th Percentile 9.70 2.27 9.15 21.26 15.27 2.90 16.30 27.79

1st Quartile 8.19 0.96 7.88 18.75 13.81 1.19 13.83 22.57

Median 7.11 0.11 6.82 17.56 12.75 0.05 12.70 19.39

3rd Quartile 6.23 -0.71 5.66 15.85 11.78 -1.23 11.80 17.00

95th Percentile 4.73 -2.29 3.63 12.54 9.99 -2.56 10.71 13.73

Population 378 366 278 245 259 234 218 183

The City of Hollywood Public Plans < $500 Million & 40-70% Equity



33

Risk & Return Plan Sponsor — 3 Years Risk & Return Plan Sponsor — 5 Years

Rolling Return and Tracking Error

0.0

2.5

5.0

7.5

10.0

Re

turn

(%)

2.1 2.8 3.5 4.2 4.9 5.6 6.3 7.0

Risk (Standard Deviation %)

ReturnStandardDeviation

Total Fund Composite 7.00 4.60¢£

Policy Index 6.03 4.47��

Median 5.63 5.09¾

0.0

5.0

10.0

15.0

Re

turn

(%)

3.2 4.0 4.8 5.6 6.4 7.2 8.0

Risk (Standard Deviation %)

ReturnStandardDeviation

Total Fund Composite 8.86 5.74¢£

Policy Index 8.12 4.95��

Median 7.87 5.46¾

Rolling 3 Yrs Active Return Rolling Tracking Error Active Return

0.0

3.0

6.0

-3.0

-6.0

-9.0

Ac

tive

Re

turn

(%)

6/91 9/92 12/93 3/95 6/96 9/97 12/98 3/00 6/01 9/02 12/03 3/05 6/06 9/07 12/08 3/10 6/11 9/12 12/13 3/15 6/16 3/17

The City of Hollywood Total CompositeAs of March 31, 2017

34

Policy Index Weight (%)

Jan-1973

Blmbg. Barc. Intermed. U.S. Government/Credit 45.00

Blmbg. Barc. U.S. Government: Intermediate 25.00

S&P 500 25.00

90 Day U.S. Treasury Bill 5.00

Jan-1995



S&P 500 55.00

Russell 2000 Index 5.00

Jan-2003



S&P 500 40.00


Oct-2004



S&P 500 40.00


Oct-2005

S&P 500 40.00


Blmbg. Barc. U.S. Intermediate Aggregate 45.00

Jul-2006

S&P 500 40.00



MSCI EAFE (Net) 5.00


Apr-2008

S&P 500 40.00



MSCI EAFE (Net) 5.00

NCREIF ODCE Equal Weighted 5.00

Sep-2010

S&P 500 40.00



90 Day U.S. Treasury Bill 5.00


Oct-2010

S&P 500 40.00



MSCI AC World ex USA (Net) 5.00


May-2013

S&P 500 32.50





Nov-2013

S&P 500 30.00





NCREIF Property Index 2.50

The City of Hollywood Policy Index


35

The City of Hollywood Policy Index



May-2015

S&P 500 25.00




MSCI EAFE Small Cap (Net) 5.00


NCREIF Property Index 2.50

36

Periods Ending

BeginningMarket Value

($)

NetCash Flow

($)Gain/Loss

($)

EndingMarket Value

($) %Return

From 02/1991 70,755,814 -989,948 12,022,401 81,788,267 17.12

1992 81,788,267 -1,336,854 5,335,405 85,786,818 6.61

1993 85,786,818 -1,701,361 6,296,512 90,381,969 7.40

1994 90,381,969 -2,167,186 -604,142 87,610,641 -0.65

1995 87,610,641 -7,369,636 28,373,068 108,614,073 26.80

1996 108,614,073 -3,018,593 12,427,929 118,023,409 11.61

1997 118,023,409 -3,547,921 18,037,393 132,512,881 15.53

1998 132,512,881 -3,098,858 18,542,125 147,956,148 14.15

1999 147,956,148 -3,767,247 19,605,945 163,794,846 13.48

2000 163,794,846 -3,956,267 8,750,636 168,589,215 5.40

2001 168,589,215 -4,286,260 -2,541,460 161,761,495 -1.45

2002 161,761,495 -3,046,457 -16,516,527 142,198,511 -10.18

2003 142,198,511 -2,782,412 28,678,451 168,094,550 20.38

2004 168,094,550 -3,400,914 15,868,038 180,561,674 9.61

2005 180,561,674 -2,378,899 6,433,750 184,616,525 3.61

2006 184,616,525 -1,930,035 20,325,723 203,012,213 11.23

2007 203,012,213 -1,809,758 15,134,283 216,336,738 7.47

2008 216,336,738 -518,994 -51,672,638 164,145,106 -23.73

2009 164,145,106 12,591,369 25,994,218 202,730,693 15.81

2010 202,730,693 -1,203,962 25,533,405 227,060,136 13.24

2011 227,060,136 -17,100,000 1,847,245 211,807,381 0.74

2012 211,807,381 5,708,540 26,036,403 243,552,324 12.40

2013 243,552,324 -19,856,941 45,832,555 269,527,938 19.67

2014 269,527,938 14,261,469 19,462,684 303,252,091 8.13

2015 303,252,091 -11,289,150 6,253,257 298,216,198 1.90

2016 298,216,198 -18,200,974 23,918,857 303,934,080 8.55

To 03/2017 303,934,080 -5,963,169 12,452,598 310,423,510 4.10

70,755,814 -92,160,417 331,828,113 310,423,510 626.09

The City of Hollywood Schedule of Investable Assets

Since Inception Ending March 31, 2017

Gain/Loss includes income received and change in accrued income for the period.

37

Investment Manager Performance

38

Domestic Equity

39


Performance

Gain / Loss


Large Cap Composite


Net Cash Flows 499,972 499,972 -1,000,864 -33,850,865 -71,850,336

Income 143 143 527 531 970,599

Gain/Loss 4,821,611 4,821,611 11,958,006 24,877,886 54,251,029



0.0

3.0

6.0

-3.0

-6.0

Ac

tive

Re

turn

(%)

12/02 9/03 6/04 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


Large Cap Composite 6.04 6.04 17.12 10.34 12.80 12.41 7.06

S&P 500 6.07 6.07 17.17 10.37 13.30 12.94 7.51

Difference -0.03 -0.03 -0.05 -0.03 -0.50 -0.53 -0.45

The City of Hollywood Large Cap CompositeAs of March 31, 2017

40

-5.0

0.0

5.0

10.0

15.0

20.0

25.0

30.0

35.0

Re

turn


Large Cap Composite 6.04 (49) 6.04 (49) 17.12 (50) 10.34 (35) 12.80 (58) 12.41 (64) 7.06 (73)¢£

S&P 500 6.07 (46) 6.07 (46) 17.17 (48) 10.37 (34) 13.30 (42) 12.94 (47) 7.51 (63)��

5th Percentile 10.46 10.46 24.22 12.68 15.57 15.15 10.29

1st Quartile 7.55 7.55 19.03 10.66 13.78 13.52 8.81

Median 5.96 5.96 17.04 9.59 13.16 12.87 7.77

3rd Quartile 4.39 4.39 14.65 8.16 11.99 11.79 6.93

95th Percentile 2.58 2.58 10.22 5.30 9.48 9.78 5.48

Population 1,025 1,025 1,020 996 950 906 811

The City of Hollywood IM U.S. Large Cap Equity (SA+CF)



41

-40.0

-25.0

-10.0

5.0

20.0

35.0

50.0

65.0

Re

turn

2016 2015 2014 2013 2012 2011 2010 2009

Large Cap Composite 11.89 (42) 1.41 (45) 13.67 (37) 32.45 (63) 17.06 (32) -3.31 (82) 16.46 (34) 29.59 (42)¢£

S&P 500 11.96 (41) 1.38 (46) 13.69 (37) 32.39 (65) 16.00 (48) 2.11 (41) 15.06 (52) 26.46 (57)��

5th Percentile 19.51 9.40 17.59 42.37 21.40 8.93 23.37 46.12

1st Quartile 14.08 3.92 14.48 36.63 17.69 3.75 17.40 34.57

Median 10.98 0.93 12.91 33.51 15.83 1.22 15.11 27.61

3rd Quartile 6.70 -2.18 10.70 31.26 13.43 -1.86 13.08 23.00

95th Percentile 0.60 -7.10 5.87 24.90 9.20 -7.13 9.58 15.42

Population 1,095 1,183 1,248 1,285 1,328 1,389 1,456 1,552

The City of Hollywood IM U.S. Large Cap Equity (SA+CF)



42


Performance

Gain / Loss


Northern Trust S&P 500

Beginning Market Value 78,145,700 78,145,700 72,509,757 92,439,874 -

Net Cash Flows 499,972 499,972 -1,000,864 -33,850,865 -

Income 143 143 527 531 -

Gain/Loss 4,821,611 4,821,611 11,958,006 24,877,886 -

Ending Market Value 83,467,426 83,467,426 83,467,426 83,467,426 -


0.0

0.1

-0.1

-0.2

-0.3

Ac

tive

Re

turn

(%)

3/13 6/13 9/13 12/13 3/14 6/14 9/14 12/14 3/15 6/15 9/15 12/15 3/16 6/16 9/16 12/16 3/17


Northern Trust S&P 500 6.04 6.04 17.12 10.34 N/A N/A N/A

S&P 500 6.07 6.07 17.17 10.37 13.30 12.94 7.51

Difference -0.03 -0.03 -0.05 -0.03 N/A N/A N/A

The City of Hollywood Northern Trust S&P 500As of March 31, 2017

43

-4.0

0.0

4.0

8.0

12.0

16.0

20.0

24.0

28.0

32.0

Re

turn


Northern Trust S&P 500 6.04 (48) 6.04 (48) 17.12 (45) 10.34 (38) N/A N/A N/A¢£

S&P 500 6.07 (45) 6.07 (45) 17.17 (44) 10.37 (37) 13.30 (45) 12.94 (49) 7.51 (64)��

5th Percentile 8.09 8.09 22.94 13.17 15.81 15.46 9.66

1st Quartile 6.78 6.78 18.63 10.84 14.00 13.49 8.47

Median 5.97 5.97 16.32 9.80 13.22 12.92 7.74

3rd Quartile 5.04 5.04 14.26 8.38 11.97 11.79 7.11

95th Percentile 3.52 3.52 9.15 5.50 8.90 9.61 6.16

Population 273 273 271 263 246 229 201

The City of Hollywood IM U.S. Large Cap Core Equity (SA+CF)



44

-30.0

-20.0

-10.0

0.0

10.0

20.0

30.0

40.0

50.0

60.0

Re

turn

2016 2015 2014 2013 2012 2011 2010 2009

Northern Trust S&P 500 11.89 (34) 1.41 (49) 13.67 (44) 32.30 (61) N/A N/A N/A N/A¢£

S&P 500 11.96 (33) 1.38 (50) 13.69 (44) 32.39 (59) 16.00 (46) 2.11 (50) 15.06 (44) 26.46 (51)��

5th Percentile 17.91 6.60 18.28 41.55 21.04 8.68 20.35 40.34

1st Quartile 12.56 3.19 15.17 35.74 17.76 4.12 16.63 31.50

Median 10.52 1.28 13.41 32.96 15.70 2.03 14.80 26.50

3rd Quartile 8.67 -0.96 11.33 30.60 13.47 -0.85 12.55 22.47

95th Percentile 4.08 -5.32 7.31 21.77 8.60 -6.24 8.68 15.48

Population 288 310 333 352 359 365 384 412

The City of Hollywood IM U.S. Large Cap Core Equity (SA+CF)



45


Performance

Gain / Loss


Small / SMID Cap Composite


Net Cash Flows -810 -810 -2,001,852 -5,117,819 -19,175,009

Income 96,189 96,189 454,280 973,807 1,731,447

Gain/Loss 1,800,283 1,800,283 7,691,794 8,933,266 21,891,737



0.0

5.0

10.0

15.0

-5.0

-10.0

-15.0

Ac

tive

Re

turn

(%)

12/02 9/03 6/04 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


Small / SMID Cap Composite 4.41 4.41 21.53 8.38 12.83 13.07 6.63

Small / SMID Policy 3.76 3.76 21.53 7.43 12.58 12.43 7.23

Difference 0.65 0.65 0.00 0.95 0.25 0.64 -0.60

The City of Hollywood Small / SMID Cap CompositeAs of March 31, 2017

46

-16.0

-10.0

-4.0

2.0

8.0

14.0

20.0

26.0

32.0

38.0

Re

turn


Small / SMID Cap Composite 4.41 (49) 4.41 (49) 21.53 (39) 8.38 (42) 12.83 (51) 13.07 (59) 6.63 (89)¢£

Small / SMID Policy 3.76 (66) 3.76 (66) 21.53 (39) 7.43 (54) 12.58 (59) 12.43 (75) 7.23 (86)��

5th Percentile 9.76 9.76 27.70 12.14 16.32 16.24 11.63

1st Quartile 6.49 6.49 23.10 9.97 14.15 14.55 9.90

Median 4.29 4.29 20.17 7.65 12.87 13.43 8.89

3rd Quartile 2.90 2.90 17.10 6.11 11.63 12.40 7.82

95th Percentile -0.23 -0.23 12.78 3.17 8.82 10.62 6.06

Population 196 196 196 189 177 160 137

The City of Hollywood IM U.S. SMID Cap Equity (SA+CF)



47

-40.0

-25.0

-10.0

5.0

20.0

35.0

50.0

65.0

80.0

95.0

Re

turn

2016 2015 2014 2013 2012 2011 2010 2009

Small / SMID Cap Composite 19.57 (29) -3.51 (74) 10.72 (20) 36.00 (62) 12.94 (78) 1.91 (23) 21.00 (91) 14.96 (98)¢£

Small / SMID Policy 17.59 (37) -2.90 (67) 7.07 (50) 37.79 (48) 16.35 (52) -4.18 (73) 26.85 (51) 27.17 (86)��

5th Percentile 29.11 5.42 14.05 47.67 27.01 6.67 38.26 62.36

1st Quartile 20.48 1.07 9.70 41.41 19.87 1.58 30.24 43.64

Median 16.43 -1.37 7.00 37.45 16.61 -1.74 26.93 35.92

3rd Quartile 10.56 -3.87 3.83 34.28 13.43 -4.49 23.59 30.85

95th Percentile 4.33 -10.16 -2.24 29.23 7.62 -10.35 18.79 20.58

Population 210 222 236 241 255 265 267 272

The City of Hollywood IM U.S. SMID Cap Equity (SA+CF)



48


Performance

Gain / Loss


TSW - SMID Value


Net Cash Flows -317 -317 -2,000,961 -5,002,044 -

Income 93,539 93,539 449,397 967,323 -

Gain/Loss 525,294 525,294 2,901,407 3,826,366 -



0.0

3.0

6.0

-3.0

-6.0

-9.0

Ac

tive

Re

turn

(%)

3/14 6/14 9/14 12/14 3/15 6/15 9/15 12/15 3/16 6/16 9/16 12/16 3/17


TSW - SMID Value 3.10 3.10 18.19 8.29 N/A N/A N/A

Russell 2500 Value Index 1.62 1.62 23.13 7.55 12.92 12.31 6.79

Difference 1.48 1.48 -4.94 0.74 N/A N/A N/A

The City of Hollywood TSW - SMID ValueAs of March 31, 2017

49

-16.0

-10.0

-4.0

2.0

8.0

14.0

20.0

26.0

32.0

38.0

44.0

Re

turn


TSW - SMID Value 3.10 (61) 3.10 (61) 18.19 (73) 8.29 (47) N/A N/A N/A¢£

Russell 2500 Value Index 1.62 (79) 1.62 (79) 23.13 (36) 7.55 (55) 12.92 (54) 12.31 (73) 6.79 (84)��

5th Percentile 7.40 7.40 28.80 11.82 16.61 15.55 11.08

1st Quartile 4.69 4.69 24.79 10.01 14.32 14.12 9.61

Median 3.77 3.77 21.48 8.00 13.06 13.21 8.58

3rd Quartile 2.06 2.06 17.90 6.08 11.87 12.09 7.61

95th Percentile -0.54 -0.54 12.83 3.07 8.80 10.57 6.21

Population 99 99 99 96 94 81 68

The City of Hollywood IM U.S. SMID Cap Value Equity (SA+CF)



50

-55.0

-40.0

-25.0

-10.0

5.0

20.0

35.0

50.0

65.0

80.0

95.0

Re

turn

2016 2015 2014 2013 2012 2011 2010 2009

TSW - SMID Value 19.19 (51) -1.03 (30) 8.43 (40) N/A N/A N/A N/A N/A¢£

Russell 2500 Value Index 25.20 (23) -5.49 (71) 7.11 (51) 33.32 (72) 19.21 (36) -3.36 (63) 24.82 (57) 27.68 (92)��

5th Percentile 32.15 2.37 14.41 45.36 28.15 5.52 34.06 64.34

1st Quartile 24.24 -0.61 10.15 39.05 20.72 1.20 28.35 43.33

Median 19.38 -2.92 7.21 35.68 16.96 -2.10 25.48 35.58

3rd Quartile 15.41 -5.94 3.84 32.97 14.09 -4.91 22.42 31.20

95th Percentile 11.16 -13.03 -1.52 24.44 10.14 -13.33 17.74 22.53

Population 102 108 115 118 124 124 122 124

The City of Hollywood IM U.S. SMID Cap Value Equity (SA+CF)



51

-4.0

2.0

8.0

14.0

20.0

26.0 Return

8.0

11.0

14.0

17.0

20.0

StandardDeviation

-4.0

0.0

4.0

8.0

12.0

Tracking

Error

3Years

5Years

3Years

5Years

3Years

5Years

TSW - SMID Value 8.29 N/A 11.05 N/A 4.00 N/A¢

Russell 2500 Value Index 7.55 12.92 12.84 12.16 0.00 0.00�

Median 8.00 13.06 13.09 12.46 4.57 4.32

Up Market Capture

0.0

50.0

100.0

150.0

3Years

Time Periods

88.4

Down Market Capture

0.0

50.0

100.0

150.0

3Years

Time Periods

78.0

Style History Mar-2017 Average Style Exposure

Manager Style

Barclays U.S. Government

Barclays U.S. Long Government/Credit

Barclays 1-3yr Gov/Credit

Barclays US Credit Index

The City of Hollywood TSW - SMID ValueAs of March 31, 2017

52


Performance

Gain / Loss


Frontier Capital


Net Cash Flows -493 -493 -891 -115,775 -

Income 2,650 2,650 4,884 6,484 -

Gain/Loss 1,274,989 1,274,989 4,790,387 5,106,899 -



0.0

4.0

8.0

12.0

-4.0

-8.0

Ac

tive

Re

turn

(%)

12/13 3/14 6/14 9/14 12/14 3/15 6/15 9/15 12/15 3/16 6/16 9/16 12/16 3/17


Frontier Capital 5.54 5.54 24.70 8.01 N/A N/A N/A

Russell 2500 Growth Index 6.25 6.25 19.77 7.23 12.17 13.13 8.47

Difference -0.71 -0.71 4.93 0.78 N/A N/A N/A

The City of Hollywood Frontier CapitalAs of March 31, 2017

53

-10.0

-5.0

0.0

5.0

10.0

15.0

20.0

25.0

30.0

35.0

40.0

Re

turn


Frontier Capital 5.54 (76) 5.54 (76) 24.70 (11) 8.01 (33) N/A N/A N/A¢£

Russell 2500 Growth Index 6.25 (67) 6.25 (67) 19.77 (42) 7.23 (46) 12.17 (40) 13.13 (61) 8.47 (65)��

5th Percentile 10.74 10.74 27.31 11.03 14.47 16.30 12.61

1st Quartile 9.13 9.13 21.55 8.51 13.00 14.67 10.61

Median 7.35 7.35 19.27 7.01 11.85 13.56 9.71

3rd Quartile 5.65 5.65 16.55 5.61 11.26 12.38 8.04

95th Percentile 2.55 2.55 11.01 3.49 8.43 10.83 5.59

Population 57 57 57 53 46 43 35

The City of Hollywood IM U.S. SMID Cap Growth Equity (SA+CF)



54

-40.0

-25.0

-10.0

5.0

20.0

35.0

50.0

65.0

80.0

95.0

Re

turn

2016 2015 2014 2013 2012 2011 2010 2009

Frontier Capital 19.96 (4) -6.45 (95) 12.35 (9) N/A N/A N/A N/A N/A¢£

Russell 2500 Growth Index 9.73 (34) -0.19 (55) 7.05 (33) 40.65 (48) 16.13 (45) -1.57 (49) 28.86 (59) 41.65 (39)��

5th Percentile 19.43 5.77 13.26 49.07 22.60 6.91 40.84 61.33

1st Quartile 11.97 1.88 8.43 44.74 18.84 2.89 34.72 47.08

Median 8.43 0.14 5.65 40.05 15.46 -1.74 29.98 37.64

3rd Quartile 5.33 -1.45 3.27 37.24 11.81 -4.17 25.66 31.16

95th Percentile 0.05 -6.57 -2.87 33.12 6.62 -9.96 22.34 20.58

Population 63 69 74 74 80 84 87 92

The City of Hollywood IM U.S. SMID Cap Growth Equity (SA+CF)



55

-5.0

0.0

5.0

10.0

15.0

20.0 Return

8.0

11.0

14.0

17.0

20.0

StandardDeviation

-4.0

-1.0

2.0

5.0

8.0

11.0

Tracking

Error

3Years

5Years

3Years

5Years

3Years

5Years

Frontier Capital 8.01 N/A 14.86 N/A 5.48 N/A¢

Russell 2500 Growth Index 7.23 12.17 14.37 13.52 0.00 0.00�

Median 7.01 11.85 13.36 12.79 4.79 4.37

Up Market Capture

0.0

50.0

100.0

150.0

3Years

Time Periods

102.6

Down Market Capture

0.0

50.0

100.0

150.0

3Years

Time Periods

98.9


Manager Style





The City of Hollywood Frontier CapitalAs of March 31, 2017

56

International Equity

57


Performance

Gain / Loss


International Equity Composite


Net Cash Flows - - - 14,999,957 -

Income 226,268 226,268 917,829 2,505,787 -

Gain/Loss 4,030,431 4,030,431 5,863,283 4,214,978 -



0.0

3.0

6.0

9.0

-3.0

-6.0

Ac

tive

Re

turn

(%)

9/13 12/13 3/14 6/14 9/14 12/14 3/15 6/15 9/15 12/15 3/16 6/16 9/16 12/16 3/17


International Equity Composite 7.13 7.13 11.85 4.29 N/A N/A N/A

MSCI AC World ex USA (Net) 7.86 7.86 13.13 0.56 4.36 3.82 1.35

Difference -0.73 -0.73 -1.28 3.73 N/A N/A N/A

The City of Hollywood International Equity CompositeAs of March 31, 2017

58

-8.0

-4.0

0.0

4.0

8.0

12.0

16.0

20.0

24.0

Re

turn


International Equity Composite 7.13 (74) 7.13 (74) 11.85 (48) 4.29 (18) N/A N/A N/A¢£

MSCI AC World ex USA (Net) 7.86 (55) 7.86 (55) 13.13 (33) 0.56 (80) 4.36 (95) 3.82 (98) 1.35 (90)��

5th Percentile 10.86 10.86 17.57 6.70 12.61 11.11 5.34

1st Quartile 8.73 8.73 13.74 3.58 9.04 7.57 3.76

Median 8.04 8.04 11.64 1.92 7.19 6.32 2.48

3rd Quartile 7.09 7.09 8.77 0.99 5.80 5.27 1.86

95th Percentile 5.75 5.75 5.77 -0.68 4.15 3.97 0.98

Population 167 167 167 152 140 131 104

The City of Hollywood IM International Core Equity (SA+CF)



59

-55.0

-40.0

-25.0

-10.0

5.0

20.0

35.0

50.0

65.0

80.0

Re

turn

2016 2015 2014 2013 2012 2011 2010 2009

International Equity Composite 4.08 (21) 3.39 (32) -2.90 (39) N/A N/A N/A N/A N/A¢£

MSCI AC World ex USA (Net) 4.50 (20) -5.66 (94) -3.87 (55) 15.29 (96) 16.83 (84) -13.71 (65) 11.15 (57) 41.45 (21)��

5th Percentile 7.84 13.17 2.63 35.74 24.60 -5.90 25.55 50.20

1st Quartile 3.41 4.50 -2.05 27.26 21.96 -10.29 15.14 39.91

Median 1.39 1.13 -3.51 23.97 19.73 -12.34 11.84 33.79

3rd Quartile -0.51 -1.85 -5.35 20.18 17.59 -14.79 9.67 29.21

95th Percentile -3.92 -6.07 -9.26 15.36 15.07 -17.52 6.68 21.46

Population 177 183 176 183 184 189 199 202




60


Performance

Gain / Loss


Brandes International Small Cap

Beginning Market Value 16,624,983 16,624,983 15,681,174 - -

Net Cash Flows - - - - -

Income - - - - -

Gain/Loss 1,106,979 1,106,979 2,050,787 - -

Ending Market Value 17,731,962 17,731,962 17,731,962 - -


0.0

2.0

4.0

6.0

8.0

-2.0

-4.0

Ac

tive

Re

turn

(%)

9/15 12/15 3/16 6/16 9/16 12/16 3/17


Brandes International Small Cap 6.66 6.66 13.08 N/A N/A N/A N/A

MSCI EAFE Small Cap (Net) 7.97 7.97 10.99 3.60 9.20 8.29 3.03

Difference -1.31 -1.31 2.09 N/A N/A N/A N/A

The City of Hollywood Brandes International Small CapAs of March 31, 2017

61

-8.0

-4.0

0.0

4.0

8.0

12.0

16.0

20.0

24.0

28.0

Re

turn

1 Qtr YTD 1 Yr 3 Yrs 5 Yrs 10 Yrs

Brandes International Small Cap 6.66 (88) 6.66 (88) 13.08 (37) N/A N/A N/A¢£

MSCI EAFE Small Cap (Net) 7.97 (72) 7.97 (72) 10.99 (56) 3.60 (62) 9.20 (74) 3.03 (90)��

5th Percentile 11.39 11.39 19.54 8.77 14.07 8.07

1st Quartile 9.84 9.84 14.73 5.67 12.17 6.21

Median 8.71 8.71 11.47 4.35 10.53 5.05

3rd Quartile 7.72 7.72 8.16 2.89 9.07 3.92

95th Percentile 6.06 6.06 5.34 0.34 6.59 1.40

Population 103 103 103 88 79 55

The City of Hollywood IM International Small Cap Equity (SA+CF)



62


Performance

Gain / Loss


Wellington International


Net Cash Flows - - - - -

Income 226,268 226,268 917,829 2,505,716 -

Gain/Loss 2,923,452 2,923,452 3,812,496 1,483,043 -



0.0

2.0

4.0

6.0

8.0

-2.0

-4.0

Ac

tive

Re

turn

(%)

3/14 6/14 9/14 12/14 3/15 6/15 9/15 12/15 3/16 6/16 9/16 12/16 3/17


Wellington International 7.31 7.31 11.39 3.05 N/A N/A N/A

MSCI AC World ex USA (Net) 7.86 7.86 13.13 0.56 4.36 3.82 1.35

Difference -0.55 -0.55 -1.74 2.49 N/A N/A N/A

The City of Hollywood Wellington InternationalAs of March 31, 2017

63

-8.0

-4.0

0.0

4.0

8.0

12.0

16.0

20.0

24.0

Re

turn


Wellington International 7.31 (72) 7.31 (72) 11.39 (57) 3.05 (32) N/A N/A N/A¢£

MSCI AC World ex USA (Net) 7.86 (55) 7.86 (55) 13.13 (33) 0.56 (80) 4.36 (95) 3.82 (98) 1.35 (90)��

5th Percentile 10.86 10.86 17.57 6.70 12.61 11.11 5.34

1st Quartile 8.73 8.73 13.74 3.58 9.04 7.57 3.76

Median 8.04 8.04 11.64 1.92 7.19 6.32 2.48

3rd Quartile 7.09 7.09 8.77 0.99 5.80 5.27 1.86

95th Percentile 5.75 5.75 5.77 -0.68 4.15 3.97 0.98

Population 167 167 167 152 140 131 104




64

-55.0

-40.0

-25.0

-10.0

5.0

20.0

35.0

50.0

65.0

80.0

Re

turn

2016 2015 2014 2013 2012 2011 2010 2009

Wellington International 1.76 (46) 1.86 (46) -2.90 (39) N/A N/A N/A N/A N/A¢£

MSCI AC World ex USA (Net) 4.50 (20) -5.66 (94) -3.87 (55) 15.29 (96) 16.83 (84) -13.71 (65) 11.15 (57) 41.45 (21)��

5th Percentile 7.84 13.17 2.63 35.74 24.60 -5.90 25.55 50.20

1st Quartile 3.41 4.50 -2.05 27.26 21.96 -10.29 15.14 39.91

Median 1.39 1.13 -3.51 23.97 19.73 -12.34 11.84 33.79

3rd Quartile -0.51 -1.85 -5.35 20.18 17.59 -14.79 9.67 29.21

95th Percentile -3.92 -6.07 -9.26 15.36 15.07 -17.52 6.68 21.46

Population 177 183 176 183 184 189 199 202




65

-10.0

-4.0

2.0

8.0

14.0

20.0 Return

8.0

10.0

12.0

14.0

16.0

StandardDeviation

-4.0

0.0

4.0

8.0

12.0

Tracking

Error

3Years

5Years

3Years

5Years

3Years

5Years

Wellington International 3.05 N/A 11.04 N/A 3.59 N/A¢

MSCI AC World ex USA (Net) 0.56 4.36 12.18 12.82 0.00 0.00�

Median 1.92 7.19 11.66 12.68 4.16 3.91

Up Market Capture

0.0

50.0

100.0

150.0

3Years

Time Periods

94.2

Down Market Capture

0.0

50.0

100.0

150.0

3Years

Time Periods

79.3


Manager Style





The City of Hollywood Wellington InternationalAs of March 31, 2017

66

Fixed Income

67


Performance

Gain / Loss


Fixed Income Composite


Net Cash Flows -5,850,639 -5,850,639 -10,001,839 -4,150,843 7,530,345

Income 783,098 783,098 2,525,865 7,022,459 10,951,209

Gain/Loss 25,236 25,236 -1,474,674 -726,981 -2,775,104



0.0

15.0

30.0

-15.0

-30.0

-45.0

Ac

tive

Re

turn

(%)

6/91 9/92 12/93 3/95 6/96 9/97 12/98 3/00 6/01 9/02 12/03 3/05 6/06 9/07 12/08 3/10 6/11 9/12 12/13 3/15 6/16 3/17


Fixed Income Composite 0.98 0.98 1.16 2.56 2.26 3.26 3.89

Bond Index 0.68 0.68 0.35 2.25 1.95 2.94 3.91

Difference 0.30 0.30 0.81 0.31 0.31 0.32 -0.02

The City of Hollywood Fixed Income CompositeAs of March 31, 2017

68

-2.0

-1.0

0.0

1.0

2.0

3.0

4.0

5.0

6.0

7.0

8.0

Re

turn


Fixed Income Composite 0.98 (19) 0.98 (19) 1.16 (37) 2.56 (30) 2.26 (49) 3.26 (44) 3.89 (84)¢£

Bond Index 0.68 (81) 0.68 (81) 0.35 (84) 2.25 (56) 1.95 (75) 2.94 (73) 3.91 (81)��

5th Percentile 1.54 1.54 3.19 3.27 3.51 4.50 5.20

1st Quartile 0.91 0.91 1.62 2.64 2.59 3.56 4.50

Median 0.81 0.81 0.94 2.31 2.23 3.16 4.22

3rd Quartile 0.72 0.72 0.54 2.06 1.95 2.92 4.00

95th Percentile 0.52 0.52 0.02 1.66 1.48 2.41 3.51

Population 157 157 157 152 149 139 124

The City of Hollywood IM U.S. Intermediate Duration (SA+CF)



69

-12.0

-8.0

-4.0

0.0

4.0

8.0

12.0

16.0

20.0

24.0

Re

turn

2016 2015 2014 2013 2012 2011 2010 2009

Fixed Income Composite 3.08 (26) 0.68 (90) 4.57 (18) -1.85 (96) 4.44 (64) 6.64 (13) 6.20 (64) 6.02 (72)¢£

Bond Index 1.97 (76) 1.21 (63) 4.12 (29) -1.02 (81) 3.56 (86) 5.97 (45) 6.15 (65) 6.46 (66)��

5th Percentile 4.58 2.10 6.53 1.83 8.82 7.57 9.61 17.27

1st Quartile 3.09 1.58 4.34 -0.05 6.16 6.38 7.08 10.86

Median 2.39 1.31 3.56 -0.53 4.98 5.86 6.42 7.85

3rd Quartile 2.01 1.07 3.13 -0.94 3.94 5.08 5.94 5.85

95th Percentile 1.45 0.35 1.90 -1.72 2.79 3.47 4.93 3.32

Population 168 167 174 182 187 186 187 194




70


Performance

Gain / Loss


Baird Advisors


Net Cash Flows -2,925,405 -2,925,405 1,698,894 10,533,095 9,824,763

Income 647,369 647,369 1,903,032 4,951,746 7,778,754

Gain/Loss -37,919 -37,919 -945,116 -483,966 -1,641,712



0.0

2.0

4.0

-2.0

-4.0

Ac

tive

Re

turn

(%)

12/05 6/06 12/06 6/07 12/07 6/08 12/08 6/09 12/09 6/10 12/10 6/11 12/11 6/12 12/12 6/13 12/13 6/14 12/14 6/15 12/15 6/16 3/17


Baird Advisors 1.11 1.11 1.88 3.42 2.94 4.18 4.25

Blmbg. Barc. U.S. Aggregate 0.82 0.82 0.44 2.68 2.34 3.48 4.27

Difference 0.29 0.29 1.44 0.74 0.60 0.70 -0.02

The City of Hollywood Baird AdvisorsAs of March 31, 2017

71

-2.0

0.0

2.0

4.0

6.0

8.0

Re

turn


Baird Advisors 1.11 (26) 1.11 (26) 1.88 (24) 3.42 (20) 2.94 (38) 4.18 (34) 4.25 (90)¢£

Blmbg. Barc. U.S. Aggregate 0.82 (77) 0.82 (77) 0.44 (78) 2.68 (83) 2.34 (90) 3.48 (89) 4.27 (90)��

5th Percentile 1.46 1.46 3.17 3.99 3.99 5.12 5.50

1st Quartile 1.11 1.11 1.85 3.32 3.22 4.32 5.09

Median 0.92 0.92 1.01 2.97 2.81 3.97 4.76

3rd Quartile 0.82 0.82 0.47 2.77 2.51 3.70 4.49

95th Percentile 0.67 0.67 0.01 2.48 2.27 3.42 4.01

Population 140 140 139 138 136 133 128

The City of Hollywood IM U.S. Broad Market Core Fixed Income (SA+CF)



72

-12.0

-8.0

-4.0

0.0

4.0

8.0

12.0

16.0

20.0

24.0

28.0

Re

turn

2016 2015 2014 2013 2012 2011 2010 2009

Baird Advisors 4.29 (14) 0.45 (83) 6.62 (29) -2.50 (95) 5.35 (64) 8.85 (9) 7.74 (38) 5.76 (90)¢£

Blmbg. Barc. U.S. Aggregate 2.65 (77) 0.55 (74) 5.97 (66) -2.02 (73) 4.21 (90) 7.84 (50) 6.54 (83) 5.93 (88)��

5th Percentile 5.16 1.65 7.67 0.10 8.69 9.01 10.53 18.41

1st Quartile 3.80 1.11 6.76 -1.03 6.87 8.18 8.10 12.85

Median 3.10 0.82 6.14 -1.56 5.88 7.83 7.24 9.88

3rd Quartile 2.66 0.54 5.79 -2.05 5.12 7.25 6.75 7.11

95th Percentile 2.25 -0.05 4.46 -2.56 3.85 5.86 6.04 4.85

Population 151 157 171 183 192 197 207 215

The City of Hollywood IM U.S. Broad Market Core Fixed Income (SA+CF)



73

1.6

2.4

3.2

4.0

4.8 Return

2.0

2.4

2.8

3.2

3.6

StandardDeviation

-1.0

-0.4

0.2

0.8

1.4

2.0

Tracking

Error

3Years

5Years

3Years

5Years

3Years

5Years

Baird Advisors 3.42 2.94 3.05 3.09 0.45 0.45¢

Blmbg. Barc. U.S. Aggregate 2.68 2.34 2.90 2.86 0.00 0.00�

Median 2.97 2.81 2.88 2.87 0.48 0.52

Up Market Capture

0.050.0

100.0150.0200.0

3Years

5Years

Time Periods

113.7 114.2

Down Market Capture

0.0

50.0

100.0

150.0

3Years

5Years

Time Periods

100.0 104.3


Manager Style





The City of Hollywood Baird AdvisorsAs of March 31, 2017

74


Performance

Gain / Loss


Neuberger & Berman


Net Cash Flows -2,925,234 -2,925,234 -11,700,733 -14,683,938 10,032,188

Income 135,730 135,730 622,833 2,070,713 3,128,934

Gain/Loss 63,156 63,156 -529,558 -243,015 -1,135,523



0.0

0.9

1.8

2.7

3.6

-0.9

-1.8

Ac

tive

Re

turn

(%)

6/91 9/92 12/93 3/95 6/96 9/97 12/98 3/00 6/01 9/02 12/03 3/05 6/06 9/07 12/08 3/10 6/11 9/12 12/13 3/15 6/16 3/17


Neuberger & Berman 0.72 0.72 0.15 1.56 1.50 2.62 3.82

Blmbg. Barc. Intermed. U.S. Government/Credit 0.78 0.78 0.42 2.01 1.88 2.86 3.76

Difference -0.06 -0.06 -0.27 -0.45 -0.38 -0.24 0.06

The City of Hollywood Neuberger & BermanAs of March 31, 2017

75

-2.0

-1.0

0.0

1.0

2.0

3.0

4.0

5.0

6.0

7.0

8.0

Re

turn


Neuberger & Berman 0.72 (75) 0.72 (75) 0.15 (89) 1.56 (98) 1.50 (95) 2.62 (91) 3.82 (86)¢£

Blmbg. Barc. Intermed. U.S. Government/Credit 0.78 (58) 0.78 (58) 0.42 (81) 2.01 (78) 1.88 (83) 2.86 (80) 3.76 (88)��

5th Percentile 1.54 1.54 3.19 3.27 3.51 4.50 5.20

1st Quartile 0.91 0.91 1.62 2.64 2.59 3.56 4.50

Median 0.81 0.81 0.94 2.31 2.23 3.16 4.22

3rd Quartile 0.72 0.72 0.54 2.06 1.95 2.92 4.00

95th Percentile 0.52 0.52 0.02 1.66 1.48 2.41 3.51

Population 157 157 157 152 149 139 124




76

-12.0

-8.0

-4.0

0.0

4.0

8.0

12.0

16.0

20.0

24.0

Re

turn

2016 2015 2014 2013 2012 2011 2010 2009

Neuberger & Berman 1.50 (95) 0.94 (83) 2.43 (92) -1.24 (87) 4.05 (72) 5.74 (57) 5.96 (74) 8.64 (41)¢£

Blmbg. Barc. Intermed. U.S. Government/Credit 2.08 (73) 1.07 (76) 3.13 (75) -0.86 (70) 3.89 (77) 5.80 (53) 5.89 (77) 5.24 (84)��

5th Percentile 4.58 2.10 6.53 1.83 8.82 7.57 9.61 17.27

1st Quartile 3.09 1.58 4.34 -0.05 6.16 6.38 7.08 10.86

Median 2.39 1.31 3.56 -0.53 4.98 5.86 6.42 7.85

3rd Quartile 2.01 1.07 3.13 -0.94 3.94 5.08 5.94 5.85

95th Percentile 1.45 0.35 1.90 -1.72 2.79 3.47 4.93 3.32

Population 168 167 174 182 187 186 187 194




77

-0.1

0.8

1.7

2.6

3.5

4.4 Return

0.8

1.4

2.0

2.6

3.2

StandardDeviation

-0.6

0.1

0.8

1.5

2.2

Tracking

Error

3Years

5Years

3Years

5Years

3Years

5Years

Neuberger & Berman 1.56 1.50 1.86 1.92 0.46 0.39¢

Blmbg. Barc. Intermed. U.S. Government/Credit 2.01 1.88 2.17 2.11 0.00 0.00�

Median 2.31 2.23 2.04 2.08 0.52 0.52

Up Market Capture

0.0

50.0

100.0

150.0

3Years

5Years

Time Periods

82.2 87.3

Down Market Capture

0.0

50.0

100.0

150.0

3Years

5Years

Time Periods

87.0 94.4


Manager Style





The City of Hollywood Neuberger & BermanAs of March 31, 2017

78

Real Estate

79


Performance

Gain / Loss


Real Estate Composite


Net Cash Flows -1,011,692 -1,011,692 -5,881,546 -8,510,071 -2,105,393

Income 234,168 234,168 1,000,497 3,055,151 4,587,398

Gain/Loss 435,171 435,171 2,306,872 9,647,758 13,660,925



0.0

3.0

6.0

9.0

-3.0

-6.0

-9.0

Ac

tive

Re

turn

(%)

6/08 12/08 6/09 12/09 6/10 12/10 6/11 12/11 6/12 12/12 6/13 12/13 6/14 12/14 6/15 12/15 6/16 12/16 3/17


Real Estate Composite 1.93 1.93 10.09 13.12 13.40 14.26 N/A

Real Estate Policy 1.76 1.76 8.28 11.64 11.68 13.07 5.74

Difference 0.17 0.17 1.81 1.48 1.72 1.19 N/A

The City of Hollywood Real Estate CompositeAs of March 31, 2017

80


Performance

Gain / Loss


Morgan Stanley


Net Cash Flows - - -5,000,000 -7,500,000 -7,500,000

Income 234,168 234,168 1,000,497 3,055,151 4,587,398

Gain/Loss 223,278 223,278 1,281,123 6,005,705 9,664,607



0.0

3.0

6.0

9.0

-3.0

-6.0

Ac

tive

Re

turn

(%)

6/08 12/08 6/09 12/09 6/10 12/10 6/11 12/11 6/12 12/12 6/13 12/13 6/14 12/14 6/15 12/15 6/16 12/16 3/17


Morgan Stanley 1.92 1.92 9.27 12.39 12.99 13.96 N/A

NCREIF ODCE Equal Weighted 1.83 1.83 8.61 12.00 12.01 13.48 5.40

Difference 0.09 0.09 0.66 0.39 0.98 0.48 N/A

The City of Hollywood Morgan StanleyAs of March 31, 2017

81


Performance

Gain / Loss


Principal Enhanced Property Fund


Net Cash Flows -1,011,692 -1,011,692 -881,545 -1,010,071 -

Income - - - - -

Gain/Loss 211,893 211,893 1,025,749 3,642,054 -



0.0

2.0

4.0

6.0

-2.0

Ac

tive

Re

turn

(%)

3/14 6/14 9/14 12/14 3/15 6/15 9/15 12/15 3/16 6/16 9/16 12/16 3/17


Principal Enhanced Property Fund 1.95 1.95 12.33 15.41 N/A N/A N/A

NCREIF Property Index 1.55 1.55 7.27 10.58 10.69 11.82 6.72

Difference 0.40 0.40 5.06 4.83 N/A N/A N/A

The City of Hollywood Principal Enhanced Property FundAs of March 31, 2017

82

Private Equity

83

PartnershipsInvestment

TypeInvestment

Strategy

CapitalCommitted

($000)

TotalContribution

($000)

TotalDistribution

($000)

MarketValue($000)

IRR(%)

TVPIMultiple

NB Crossroads Fund XXI Fund Of Funds Other 20,000 4,200 - 4,155 -1.23 0.99

HarbourVest Dover Fund IX Fund Of Funds Secondaries 10,000 800 140 722 13.22 1.08

Private Equity Composite Total Fund Hybrid 30,000 5,000 140 4,877 0.45 1.00

The City of Hollywood Private Equity Composite Overview

March 31, 2017

84

Fund Information

Type of Fund: Fund Of Funds Vintage Year: 2015

Strategy Type: Other Management Fee: Based on Commitments: Year 1: 20bps, Years 2-4: 40bps, Years 5-8: 40 bps, Years 9-10: 5 bps, Years 11-12:0 bps

Size of Fund: 650,000,000 Preferred Return: 8.0%

Inception: 04/15/2015 General Partner: Neuberger Berman Group LLC

Final Close: 10/15/2016

Investment Strategy: NB Crossroads Fund XXI (“Crossroads Fund XXI”) is an investment fund formed by affiliates of Neuberger Berman Group LLC(“Neuberger Berman” or the “Firm”) that seeks to achieve attractive risk-adjusted returns on capital (primarily through long-term capitalgains) by investing in a diversified global portfolio of high-performing private equity funds. Crossroads Fund XXI will also seek to purchaselimited partner interests in more mature private equity funds in the secondary market and to co-invest directly in transactions alongsidehigh-performing private equity firms. Crossroads Fund XXI will be diversified across four strategic asset classes: (i) small and mid-capbuyout; (ii) large-cap buyout; (iii) special situations (primarily distressed debt, turnaround and restructuring strategies); and (iv) ventureand growth capital. While each fund has a target allocation, clients are able to customize their commitment’s allocation betweeninvestment types, even at a <$1m commitment level.

Cash Flow Summary

Capital Committed: $20,000,000

Total Contributions: $4,200,000

Remaining Capital Commitment: $15,800,000

Total Distributions: -

Market Value: $4,155,005

Inception Date: 06/23/2016

Inception IRR: -1.23

TVPI: 0.99

Cash Flow Analysis

Net Asset Value Distribution

Contributions

$0.0

$1,785,000.0

$3,570,000.0

$5,355,000.0

$7,140,000.0

($1,785,000.0)

6/16 9/16 12/16 3/17

Due to the inconsistencies in reporting methodologies among managers, we do not report on Capital Invested, Management Fees,Expenses and Interest. However, the Market Value is net of all fees and expenses, and Total Contributions reflects interest paid.

The City of Hollywood NB Crossroads Fund XXI


85

Fund Information

Type of Fund: Fund Of Funds Vintage Year: 2016

Strategy Type: Secondaries Management Fee: The average annual management fee is 0.75% oncommitted capital. Year 1: 0.25%, Year 2: 0.50%, Year 3:0.85%, Years 4-7: 1.25%, Year 8: 1.20%, Year 9: 1.15%,Year 10: 1.10%. (0.70% of capital commitments -average annual management fee)

Preferred Return: 8% compounded annually Inception: 06/01/2016

General Partner: HarbourVest Partners

Investment Strategy: The Dover Street Fund IX will seek to be diversified across transaction type, geography, stage, vintage year and industry and is expectedto have approximately 25 - 40 transactions with an average size expected to be between $100 - $150 million. The team has the ability tocommit 10% to primary funds, however this option has seldom been utilized in predecessor funds and the expectation is that it will not beused in Dover Street IX. HarbourVest anticipates that there will not be co-investment opportunities for Limited Partners. HarbourVest hasthe ability to commit up to 30% of proceeds received in new transactions, which may result in more than 100% of the limited partner’scommitment being called over the life of the Fund. HarbourVest may also invest up to 5% in secondary transactions of real estate andinfrastructure assets and debt.

Cash Flow Summary

Capital Committed: $10,000,000

Total Contributions: $800,000

Remaining Capital Commitment: $9,200,000

Total Distributions: $140,256

Market Value: $722,059

Inception Date: 12/16/2016

Inception IRR: 13.22

TVPI: 1.08

Cash Flow Analysis

Net Asset Value Distribution

Contributions

$0.0

$360,000.0

$720,000.0

$1,080,000.0

($360,000.0)

12/16 3/17

Due to the inconsistencies in reporting methodologies among managers, we do not report on Capital Invested, Management Fees,Expenses and Interest. However, the Market Value is net of all fees and expenses, and Total Contributions reflects interest paid.

The City of Hollywood HarbourVest Dover Fund IX


86

Infrastructure

87

PartnershipsInvestment

TypeInvestment

Strategy

CapitalCommitted

($000)

TotalContribution

($000)

TotalDistribution

($000)

MarketValue($000)

IRR(%)

TVPIMultiple

IFM Global Infrastructure 10,000 - - - - 0.00

Infrastructure Composite Total Fund Hybrid 10,000 - - - - 0.00

The City of Hollywood Infrastructure Composite Overview

March 31, 2017

88

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