CTF of the Missionary Society of
Connecticut - Total Return Fund
Quarterly Investment Review - First Quarter 2020
One Hundred Northfield Drive, Windsor, CT 06095 Toll Free:866.466.9412 www.fiallc.com
the ded ction of transaction and/or c stodial charges the ded ction of an
Important Disclosure Information: Past performance may not be indicative of future results. Account information has been compiled solely by Fiduciary Investment Advisors, LLC, has not been independently verified, and does not reflect the impact of taxes on non‐qualified accounts. In preparing this report, Fiduciary Investment Advisors, LLC has relied upon information provided by third party sources. A copy of our current written disclosure statement discussing our advisory services and fees continues to remain available for your review upon request. Historical performance results for investment indices and/or categories have been provided for general comparison purposes only, and generally do not reflect the deduction of transaction and/or custodial charges, the deduction of an investment management fee, nor the impact of taxes, the incurrence of which would have the effect of decreasing historical performance results. It should not be assumed that your account holdings correspond directly to any comparative indices.
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1Q 20204Q 20193Q 20192Q 2019
1Q 2019
4Q 2018
3Q 2018
2Q 2018
1Q 2018
No notable portfolio activity
Total Return FundRecent Notable Portfolio ActivityAs of March 31, 2020
Transferred portfolio assets from Bank of America to Union Bank- Sold out of temporary ETF holdings to fund new separate account managers- Assets transferred in kind from US Trust Fixed Income Separate Account to Breckinridge Fixed Income Separate Account- Columbia Large Cap Value resumed tradingTransitioned portfolio to the newly approved target allocation:- Equal weight domestic and international equity- Funding for increased international weighting was sourced from Columbia Large Cap Value, reduced to a 10.5% allocation from 18%- Increased allocation to DFA International Social Core and MFS International Equity
CTUCC Total Return Fund - Recent Notable Portfolio Activity
Share class Exchange - Hartford Schroders Emerging Markets Fund from I shares into SDR shares for a fee savings of 13 bps
Portfolio ReallocationEquity:- Removed MFS International Equity due to the large exposure to the exclusion list- Increased allocation and converted the Parametric All Cap Equity strategy into a Global Equity strategy with a 25.5% allocation- Increased allocation of DFA International Social Core from 12.25% to 14.5%- Maintained equal weight targets to domestic and international equityReal Assets:- Increased real assets allocation from 5% to 7.5% sourced from the overall equity allocation- Terminated Vanguard Real Estate Index- Made initial investment into T. Rowe Price New Era Fund at a 5% allocation
No notable portfolio activity
Portfolio Reallocation:- Shifted allocation from a 50/50 domestic/international split to a 55/45 split.
No notable portfolio activityNo notable portfolio activityNo notable portfolio activity
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4Q 2017
Transferred portfolio to phase one of the newly approved interim portfolio and prepared for asset transfer to Union Bank.Fixed Income:- Sold all shares of SPDR Barclays TIPS ETF, Aberdeen Global High Income I, Goldman Sachs Strategic Income- Purchased temporary holding of Vanguard Total Bond ETF- Purchased long term holding of BlackRock Strategic Income Opportunities K- Purchased additional shares of PIMCO Income Fund I- Halted trading on US Trust Taxable Fixed Income Separate AccountDomestic Equity:- Liquidated holdings within The Boston Company Large Cap Growth, Columbia Large Cap Growth, Hillcrest Small Cap Value accounts- Purchased temporary holding of Vanguard Russell 3000 ETF- Purchased long term holding of Walden Small Cap- Halted trading in Columbia Large Cap Value in preparation for asset transfer to Union BankInternational Equity:- Liquidated holdings within MFS Research International account and sold all shares of Neuberger Berman Emerging Markets I- Purchased long term holding of Hartford Schroders Emerging Markets, DFA International Social Core I, MFS International EquityReal Estate:- Sold a portion of shares of the Vanguard REIT Index Fund- Purchased long term holding in Cohen& Steers Inst'l Global Real EstateInflation Protected:- Sold all shares of Credit Suisse Commodity Return I
Total Return FundRecent Notable Portfolio ActivityAs of March 31, 2020
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AssetAllocation
($)
AssetAllocation
(%)
TargetAllocation
(%)
Differences(%)
Total Return Fund 85,590,402 100.00 100.00 0.00
Short Term Liquidity 58,356 0.07 0.00 0.07
Fidelity Instl Cash Portfolio 58,356 0.07 0.00 0.07
Fixed Income 28,844,525 33.70 30.00 3.70
Breckinridge Fixed Income 19,733,043 23.06 20.00 3.06
PIMCO Income Fund Instl 4,517,698 5.28 5.00 0.28
BlackRock Strategic Income Opportunities K 4,593,784 5.37 5.00 0.37
Equities 56,687,521 66.23 70.00 -3.77
Domestic Equity 13,704,240 16.01 16.25 -0.24
Columbia Large Cap Value 9,412,965 11.00 11.00 0.00
Walden Small Cap Innovation 4,291,274 5.01 5.25 -0.24
Global Equity 21,783,214 25.45 26.25 -0.80
Parametric Global Equity 21,783,214 25.45 26.25 -0.80
International Equity 15,697,440 18.34 20.00 -1.66
DFA International Social Core Inst 10,027,881 11.72 13.00 -1.28
Hartford Schroders Emerging Market Equity SDR 5,669,558 6.62 7.00 -0.38
Real Assets 5,502,628 6.43 7.50 -1.07
T Rowe Price New Era I 3,580,427 4.18 5.00 -0.82
Cohen & Steers Global Realty I 1,922,201 2.25 2.50 -0.25
Asset Allocation - Total Return FundAs of March 31, 2020
Investments with a zero balance were held in the portfolio during the reporting period and will be removed once they no longer impact portfolio performance.Asset Allocation weightings may not add up to 100% due to rounding.
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Asset Allocation by Mandate Type Asset Allocation by Asset Class
Fund NameFixed Income and
CashDomestic
EquityInternational
DevelopedEmerging Markets
Commodities & Natl Resource
EquityReal Estate Alternatives
Parametric Global Equity 67.5% 28.7% 0.2% 3.7%Columbia Large Cap Value 99.1% 0.9%Walden Small Cap 93.2% 6.8%DFA International Social Core Inst 95.0% 1.5% 3.5%Hartford Schroders Emering Markets Equity 99.1% 0.9%
Total Return Fund Asset AllocationAs of March 31, 2020
DISCLAIMER: The "look through" information provided above has been gathered from sources deemed to be reliable, including Morningstar and the managers. The asset class look through on the right is designed to give a general representation of how portfolio assets are allocated among various asset classes. However, the information may include discrepancies, based on how managers classify certain holdings. Please note, percentages may not sum to 100 due to rounding.
Money Market, 0.1%
Fixed Income, 33.7%
Domestic Equity, 16.0%
International Equity, 18.3%
Global equity, 25.5%
Real Assets, 6.4% Money Market, 0.1%
Fixed Income, 33.7%
Domestic Equity, 32.7%
Natural Resource Equity, 4.2%
Real Estate, 4.1%
International Developed, 18.4%
International Emerging, 6.8%
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Additional Manager Information - Total Return Fund
Exclusionary Screen
Integrated ESG Approach
Active Passive
Breckinridge Fixed Income 20.0% 0.9% 0.13%PIMCO Income Fund I 5.0% N/A 1.05%BlackRock Strategic Income Opportunities K 5.0% N/A 0.74%Parametric Global Equity 26.25% 0.6% Available 0.18%Columbia Large Cap Value 11.0% 1.8% 0.65%Walden Small Cap 5.25% 1.3% 1.00%DFA International Social Core I 13.0% 0.4% 0.33%Hartford Schroders Emerging Markets SDR 7.0% 2.1% 1.06%T. Rowe Price New Era 5.0% 1.3% 0.56%Cohen & Steers Global Realty I 2.5% 2.0% 0.90%
70.25% 32.25%
Source: Union Bank, Morningstar, FactSetTotals are based off target allocations
Cash Exposure Portfolio Target Allocation (%)
Manager/Fund Name Fee Schedule
DISCLOSURE: The figures on this page have been obtained from sources we deem to be reliable, including the managers and FactSet. FIA has not independently verified this information.
Total 73.75% 26.25% 0.45%
SRI Review
82.5%
Active vs Passive Breakdown
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Account Reconciliation Missionary Society Benchmark Composition
Calendar Year Performance Summary
Trailing Performance Summary
QTRSince
InceptionInception
Date
Total Return Fund 07/01/1975
Beginning Market Value 101,964,050 6,594,700
Net Contributions 1,664,411 -18,321,014
Total Gain/Loss -18,038,059 97,316,716
Ending Market Value 85,590,402 85,590,402
Allocation Mandate Weight (%)
Mar-2019
Blmbg. Barc. U.S. Aggregate Index 30.00
Russell 3000 Index 34.50
MSCI AC World ex USA (Net) 28.00
FTSE EPRA/NAREIT Developed Index (Net) 2.50
Lipper Glbl Nat Res IX 5.00
QTR1
Year3
Years5
Years7
Years10
YearsSince
InceptionInception
Date
Total Return Fund -17.6 -9.3 0.8 1.7 3.6 5.1 9.2 07/01/1975
Missionary Society Benchmark -16.0 -7.7 1.3 2.4 4.1 5.5 N/A
Difference -1.6 -1.6 -0.5 -0.7 -0.5 -0.4 N/A
2019 2018 2017 2016 2015 2014 2013 2012
Total Return Fund 19.8 -6.9 16.2 5.9 -2.2 4.9 16.4 11.4
Missionary Society Benchmark 20.4 -7.2 15.2 9.3 -2.5 5.9 14.4 12.7
Difference -0.6 0.3 1.0 -3.4 0.3 -1.0 2.0 -1.3
Total Portfolio Performance Summary - Total Return FundAs of March 31, 2020
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QTD1
Year3
Years5
Years10
YearsSince
InceptionInception
Date
Total Return Fund -17.6 -9.3 0.8 1.7 5.1 9.2 07/01/1975
Missionary Society Benchmark -16.0 -7.7 1.3 2.4 5.5 N/A
Short Term Liquidity 0.3 1.8 1.5 1.0 0.6 4.9 07/01/1975
90 Day U.S. Treasury Bill 0.6 2.3 1.8 1.2 0.6 4.8
Fidelity Instl Cash Portfolio 0.3 1.8 N/A N/A N/A 1.8 01/01/2018
90 Day U.S. Treasury Bill 0.6 2.3 N/A N/A N/A 2.1
Fixed Income -0.8 3.8 3.2 2.6 3.8 7.2 07/01/1975
Blmbg. Barc. U.S. Aggregate Index 3.1 8.9 4.8 3.4 3.9 N/A
Breckinridge Fixed Income 2.1 (46) 6.5 (30) N/A N/A N/A 5.0 (23) 02/01/2018
Bloomberg Barclays Intermediate US Govt/Credit Idx 2.4 6.9 N/A N/A N/A 5.1
IM U.S. Intermediate Duration Fixed Income (MF) Median 0.5 4.2 N/A N/A N/A 3.3
PIMCO Income Fund Instl -7.7 (51) -3.2 (54) N/A N/A N/A 1.8 (25) 05/01/2017
Blmbg. Barc. U.S. Aggregate Index 3.1 8.9 N/A N/A N/A 4.7
IM Multi-Sector General Bond (MF) Median -7.7 -2.4 N/A N/A N/A 0.7
BlackRock Strategic Income Opportunities K -5.8 (32) -0.9 (23) N/A N/A N/A 0.5 (22) 01/01/2018
Libor (3 month) 0.5 2.4 N/A N/A N/A 2.3
Blmbg. Barc. U.S. Aggregate Index 3.1 8.9 N/A N/A N/A 5.2
IM Alternative Credit Focus (MF) Median -9.0 -5.1 N/A N/A N/A -1.8
Manager Performance Overview - Total Return FundAs of March 31, 2020
Returns for periods less than one year are not annualized. Returns are net of fees unless otherwise noted.
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Manager Performance Overview - Total Return FundAs of March 31, 2020
QTD1
Year3
Years5
Years10
YearsSince
InceptionInception
Date
Equities -24.2 -15.0 -0.1 1.9 6.3 10.9 07/01/1975
MSCI AC World Index (Net) -21.4 -11.3 1.5 2.8 5.9 N/A
Domestic Equity -22.1 -10.9 N/A N/A N/A -1.5 01/01/2018
Russell 3000 * -20.9 -9.1 N/A N/A N/A -1.1
Columbia Large Cap Value -19.9 (2) -7.8 (1) 4.8 (1) 6.6 (1) 9.9 (1) 8.2 (2) 04/01/1999
Russell 1000 Value Index -26.7 -17.2 -2.2 1.9 7.7 5.4
IM U.S. Large Cap Value Equity (MF) Median -26.6 -17.1 -1.9 1.5 6.8 4.9
Walden Small Cap Innovation -26.2 (8) -17.0 (6) N/A N/A N/A -4.8 (2) 01/01/2018
Russell 2000 Index -30.6 -24.0 N/A N/A N/A -10.7
IM U.S. Small Cap Core Equity (MF) Median -32.7 -26.1 N/A N/A N/A -13.0
Global Equity -21.3 -10.2 N/A N/A N/A -8.1 09/01/2018
Parametric Global Benchmark (69.5/30.5) -21.5 -10.7 N/A N/A N/A -8.3
Parametric Global Equity -21.3 (52) -10.2 (43) N/A N/A N/A -8.1 (49) 09/01/2018
Parametric Global Benchmark (69.5/30.5) -21.5 -10.7 N/A N/A N/A -8.3
IM Global Equity (MF) Median -21.2 -11.6 N/A N/A N/A -8.3
International Equity -26.9 -19.3 N/A N/A N/A -11.9 01/01/2018
MSCI ACWI Ex U.S.(net) * -23.4 -15.6 N/A N/A N/A -9.1
DFA International Social Core Inst -28.8 (87) -21.5 (85) N/A N/A N/A -14.0 (84) 01/01/2018
MSCI EAFE (Net) Index -22.8 -14.4 N/A N/A N/A -8.9
IM International Large Cap Core Equity (MF) Median -24.5 -17.2 N/A N/A N/A -10.7
Hartford Schroders Emerging Market Equity SDR -23.2 (31) -15.0 (28) N/A N/A N/A -2.1 (23) 06/01/2017
MSCI Emerging Markets (Net) Index -23.6 -17.7 N/A N/A N/A -3.5
IM Emerging Markets Equity (MF) Median -24.8 -18.3 N/A N/A N/A -4.8
Returns for periods less than one year are not annualized. Returns are net of fees unless otherwise noted.
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Manager Performance Overview - Total Return FundAs of March 31, 2020
QTD1
Year3
Years5
Years10
YearsSince
InceptionInception
Date
Real Assets -32.3 -28.5 N/A N/A N/A -14.4 01/01/2018
Real Assets Benchmark -35.5 -34.3 N/A N/A N/A -19.9
T Rowe Price New Era I -35.8 (51) -33.3 (44) N/A N/A N/A -26.2 (40) 09/01/2018
Lipper Glbl Nat Res IX -38.9 -39.4 N/A N/A N/A -31.6
IM Global Natural Resources (MF) Median -35.6 -38.4 N/A N/A N/A -30.9
Cohen & Steers Global Realty I -24.5 (39) -18.0 (36) N/A N/A N/A -4.4 (28) 01/01/2018
FTSE EPRA/NAREIT Developed Index (Net) -28.5 -24.0 N/A N/A N/A -8.3
IM Global Real Estate (MF) Median -25.6 -19.4 N/A N/A N/A -5.6
- The inception date expressed on the Manager Performance Overview page(s) represents the first day of the first full month following the purchase of the investment. Performance figures shownat the fund level begin on this inception date. Inception dates for asset class composites reflect the start date at which these returns could be calculated using historical and existing systemcapabilities and may vary from the inception dates of underlying component strategies. Composite performance includes all funds held in the composite since inception.- Returns are net of fees unless otherwise stated. Mutual fund performance stated above may differ slightly from the current share class' historical performance due to share class exchanges.
* Domestic Equity Benchmark is Russell 3000 since March 2018
* International Equity Benchmark is MSCI ACWI Ex U.S. (net) since March 2018
Returns for periods less than one year are not annualized. Returns are net of fees unless otherwise noted.
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Manager Manager Status Comments
Fixed Income
Breckinridge Fixed Income Maintain 1Q 2020 – The Breckinridge portfolio produced a positive total return during the first quarter but trailed itsbenchmark. The fixed income market experienced significant volatility in the wake of the coronavirus pandemicas investors grappled with the uncertainty as to the impact the economic shutdown would have on companiesaround the world. Riskier segments of the fixed income market, such as corporate bonds, municipal bonds, andsecuritized assets underperformed “safe-haven” U.S. Treasuries. Interest rates declined during the period onthe back of the Federal Reserve’s decision to lower their target rate and expectations for a subdued inflationoutlook. Against this backdrop, the strategy’s overweight allocation to corporate bonds and underweightallocation to Treasuries detracted from relative performance. However, issue selection within the corporatespace helped to offset the negative impact of sector allocation. The team’s decision to have a higher qualitybias and an underweight to BBB rated corporates was beneficial. The portfolio ended the quarter with aduration profile of approximately 3.9 years, essentially in-line with the benchmark.
PIMCO Income Fund Instl Maintain 1Q 2020 – The PIMCO Income Fund produced a negative absolute return during the first quarter,underperforming the Bloomberg Barclays U.S. Aggregate Bond Index. It was a difficult environment fordiversified fixed income investments with most sectors declining as investors grappled with the uncertainty asto the impact the coronavirus would have on economies and companies around the world. Interest rates fell asthe Federal Reserve cut interest rates and investors moved into “safe-haven” Treasuries, one of the few areasthat produced a positive return. The portfolio’s allocations to securitized, high yield corporates, and emergingmarkets were among the top detractors for the quarter. Additionally, a shorter than benchmark durationweighed on relative returns in the declining interest rate environment. The team at PIMCO was able to takeadvantage of attractively valued securities amid elevated market volatility, adding modestly to high yield andemerging markets. The portfolio ended the quarter with a duration of approximately 0.8 years.
BlackRock Strategic Income Opportunities K Maintain 1Q 2020 – The BlackRock Strategic Income Opportunities strategy produced a negative absolute return duringthe first quarter, underperforming the broader fixed income market. It has been a period of heightenedvolatility in the wake of the coronavirus pandemic as investors grapple with the impact the economicshutdown will have on company financials. As a result, spread sectors generally sold off and underperformedU.S. Treasuries, the traditional “safe-haven” asset. Interest rates also moved lower on the back of the Fed’sdecision to cut its target rate to 0-0.25% and expectations for subdued inflation. The team at BlackRock hadbeen reducing risk in the portfolio early in the year, but a lingering preference for spread sectors overTreasuries proved to be a headwind. Notable detractors included exposures to structured products, Europeanand Asian credit, and emerging markets. The team has begun to take advantage of recent dislocations in themarket, adding to areas such as investment grade credit, high quality securitized, and U.S. TIPS, while reducingexposure to select areas of emerging markets and high yield. The movements have been beneficial thus far asthe portfolio has outpaced the broader fixed income in the late March market rebound. Duration in theportfolio is just under three years as of the quarter end.
Domestic Equity
Columbia Large Cap Value Maintain 1Q 2020 - Commentary not available at time of report production.
Manager Scorecard - Total Return FundAs of March 31, 2020
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Manager Scorecard - Total Return FundAs of March 31, 2020Manager Manager Status Comments
Walden Small Cap Innovation Maintain 1Q 2020 - Commentary not available at time of report production.
Global Equity
Parametric Global Equity Maintain 1Q 2020 - Commentary not available at time of report production.
International Equity
DFA International Social Core Inst Maintain 1Q 2020 – The DFA International Social Core Equity Portfolio declined during the first quarter andunderperformed its benchmark, the MSCI EAFE Index. Global equities endured a historic selloff in the periodamid fears surrounding the COVID-19 pandemic and the potential for a global recession. In this marketenvironment, large-cap stocks outperformed their small-cap counterparts by a sizeable margin as investorssought the perceived safety of larger cap companies. In addition, growth stocks significantly outperformedvalue stocks as investors moved away from more economically sensitive companies. As a result, the portfolio’sinclusion of and emphasis on small-cap companies and value stocks had a negative impact on performancerelative to the index. This led to negative stock selection across most sectors. In addition, the fund’s socialscreens limited exposure to some healthcare stocks, which was a headwind for the fund this quarter as thehealthcare sector outperformed.
Hartford Schroders Emerging Market EquitySDR
Maintain 1Q 2020 – The Hartford Schroders Emerging Markets fund produced negative absolute returns butoutperformed the MSCI Emerging Markets Index during the first quarter. Coronavirus fears caused a virtualshutdown of the non-essential economy and drove weak returns during the period. Dollar strength was aheadwind for emerging market equities as investors gravitated towards the dollars perceived safety.Additionally, a breakdown in OPEC+ talks between Russia and Saudi Arabia caused oil prices to plunge to 18-year lows, adversely impacting oil exporting regions. The fund benefitted from its modest (~4%) cash positionamidst the sharp sell-off. Country allocation and security selection decisions had a mixed impact on theportfolio during the quarter. An underweight to South Africa and stock selection within Brazil were a boost torelative performance, while an overweight to Brazil and stock selection within the financials sector detracted.As the team did during the Global Financial Crisis, they are employing an additional resource to the countrymodel– in this case a stress test for countries’ susceptibility to Covid-19. The team’s country model rankscountries based on numerous factors, including valuations, growth potential, currency risk, and momentummetrics. The model is used a guide for relative country positioning versus the index.
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Manager Scorecard - Total Return FundAs of March 31, 2020Manager Manager Status Comments
Real Assets
T Rowe Price New Era I Maintain 1Q 2020 - Commentary not available at time of report production.
Cohen & Steers Global Realty I Maintain 1Q 2020 – The Cohen & Steers Global Realty Fund declined during the first quarter but outpaced the FTSEEPRA Nareit Developed Index. Real estate stocks were hard hit during the period, as social distancing measuresand shutdowns of non-essential businesses brought on by the COVID-19 pandemic had an outsized negativeimpact on REITs. Investors grew cautious of the effect this could have on property fundamentals, with notableconcerns around rent collections, rising vacancies, and weakening demand. There was a noticeable divide insector performance, as those segments most impacted by the shutdown, including retail, leisure, hotels,gaming, among others, underperformed, while those areas less impacted, such as industrial, towers, and datacenters, relatively outperformed. Against this backdrop, the portfolio benefited from both positive securityselection as well as allocation choices. An overweight to data centers proved favorable as did an overweight toself-storage, a typically defensive segment. Regionally, the portfolio benefited from an out of index allocationto China, which has shown signs of economic recovery from the virus, and from an underweight to the U.S.,which underperformed international markets. The portfolio has added exposure to China with economicactivity picking back up within Asia. Management continues to focus on companies with the strongest balancesheets and that have exposure to high-quality tenants.
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Cash Flow Summary - Total Return Fund
Jan-20 Feb-20 Mar-20 Total 1Q20
Short Term LiquidityFidelity Instl Cash Portfolio (41,709) 33,602 2,125 (5,982)
Total Short Term Liquidity (41,709) 33,602 2,125 (5,982)Fixed IncomeBreckinridge Fixed IncomePIMCO Income Fund InstlBlackRock Strategic Income Opportunities K
Total Fixed Income 0 0 0 0Domestic EquityColumbia Large Cap Value (250,000) 460,000 210,000Walden Small Cap Innovation 375,000 375,000
Total Domestic Equity 0 (250,000) 835,000 585,000Global EquityParametric Global Equity (265,000) 450,392 185,392
Total Global Equity 0 (265,000) 450,392 185,392International EquityDFA International Social Core Inst 480,000 480,000Hartford Schroders Emerging Market Equity SDR (55,000) (55,000)
Total International Equity (55,000) 0 480,000 425,000Real AssetsT Rowe Price New Era I 400,000 400,000Cohen & Steers Global Realty I 75,000 75,000
Total Real Assets 0 0 475,000 475,000Total (96,709) (481,398) 2,242,517 1,664,411
ManagerNet Cash Flows
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Allocation Summary - Total Return Fund
Manager
Strategic Target End
of Prior Year
Asset Allocation
End of Prior Year
Strategic Target End
of Q1
Asset Allocation End of Q1
Short Term LiquidityFidelity Instl Cash Portfolio 0.0% 0.1% 0.0% 0.1%
Total Short Term Liquidity 0.0% 0.1% 0.0% 0.1%Fixed IncomeBreckinridge Fixed Income 20.0% 18.9% 20.0% 23.1%PIMCO Income Fund Instl 5.0% 4.8% 5.0% 5.3%BlackRock Strategic Income Opportunities K 5.0% 4.8% 5.0% 5.4%
Total Fixed Income 30.0% 28.5% 30.0% 33.7%Domestic EquityColumbia Large Cap Value 11.0% 11.3% 11.0% 11.0%Walden Small Cap Innovation 5.25% 5.3% 5.25% 5.0%
Total Domestic Equity 14.75% 16.6% 16.3% 16.0%Global EquityParametric Global Equity 26.25% 26.9% 26.25% 25.5%
Total Global Equity 25.5% 26.9% 26.3% 25.5%International EquityDFA International Social Core Inst 13.0% 13.3% 13.0% 11.7%Hartford Schroders Emerging Market Equity SDR 7.00% 7.3% 7.0% 6.6%
Total International Equity 22.25% 20.6% 20.0% 18.3%
Total Domestic and International Equity 62.5% 64.0% 62.5% 59.8%Real AssetsT Rowe Price New Era I 5.0% 5.0% 5.0% 4.2%Cohen & Steers Global Realty I 2.5% 2.4% 2.5% 2.2%
Total Real Assets 7.5% 7.4% 7.5% 6.4%Total 100.0% 100.0% 100.0% 100.0%
*Parametric Global Equity was initially directed to run a 65% domestic / 35% international mandate atinitiation. In February 2019 they were directed to run a 69.5% domestic / 30.5% international mandate.
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3 Year Risk and Return 5 Year Risk and Return
7 Year Risk and Return Since Inception Risk and Return
Total Return Fund
Missionary Society Benchmark
0.60
0.90
1.20
1.50
Ret
urn
(%)
0.00 3.00 6.00 9.00 12.00 15.00
Risk (Standard Deviation %)
Total Return Fund
Missionary Society Benchmark
1.24
1.55
1.86
2.17
2.48
2.79
Ret
urn
(%)
0.00 3.00 6.00 9.00 12.00 15.00
Risk (Standard Deviation %)
Total Return Fund
Missionary Society Benchmark
3.30
3.60
3.90
4.20
4.50
Ret
urn
(%)
0.00 3.00 6.00 9.00 12.00 15.00
Risk (Standard Deviation %)
Total Return Fund
Missionary Society Benchmark
4.50
4.80
5.10
5.40
Ret
urn
(%)
0.00 3.00 6.00 9.00 12.00 15.00
Risk (Standard Deviation %)
Risk vs. Return - Total Return FundAs of March 31, 2020
17
3 Year Historical MPT Statistics
5 Year Historical MPT Statistics
7 Year Historical MPT Statistics
Since Inception Historical MPT Statistics
ReturnStandardDeviation
DownsideRisk
SharpeRatio
InformationRatio
TrackingError
R-Squared Beta Alpha
Total Return Fund 0.79 10.94 9.04 -0.04 -0.50 0.92 0.99 1.03 -0.52
Missionary Society Benchmark 1.30 10.56 8.60 0.01 N/A 0.00 1.00 1.00 0.00
90 Day U.S. Treasury Bill 1.83 0.18 0.00 N/A -0.01 10.61 0.09 -0.01 1.84
ReturnStandardDeviation
DownsideRisk
SharpeRatio
InformationRatio
TrackingError
R-Squared Beta Alpha
Total Return Fund 1.73 10.01 7.82 0.11 -0.56 1.16 0.99 1.03 -0.74
Missionary Society Benchmark 2.43 9.62 7.35 0.18 N/A 0.00 1.00 1.00 0.00
90 Day U.S. Treasury Bill 1.17 0.27 0.01 N/A -0.18 9.66 0.02 0.00 1.18
ReturnStandardDeviation
DownsideRisk
SharpeRatio
InformationRatio
TrackingError
R-Squared Beta Alpha
Total Return Fund 3.62 9.34 6.92 0.34 -0.39 1.17 0.99 1.05 -0.66
Missionary Society Benchmark 4.14 8.86 6.47 0.41 N/A 0.00 1.00 1.00 0.00
90 Day U.S. Treasury Bill 0.85 0.27 0.01 N/A -0.41 8.91 0.02 0.00 0.87
ReturnStandardDeviation
DownsideRisk
SharpeRatio
InformationRatio
TrackingError
R-Squared Beta AlphaInception
Date
Total Return Fund 9.23 9.24 5.80 0.50 N/A N/A N/A N/A N/A 07/01/1975
Missionary Society Benchmark N/A N/A N/A N/A N/A N/A N/A N/A N/A 07/01/1975
90 Day U.S. Treasury Bill 4.78 1.12 0.01 N/A N/A N/A N/A N/A N/A 07/01/1975
MPT Statistics - Total Return FundAs of March 31, 2020
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Up/Down Markets - 3 Years Up/Down Markets - 5 Years
Up Market Capture Ratio Down Market Capture Ratio
Total Return Fund
Missionary Society Benchmark
0.0
3.0
6.0
-3.0
-6.0
Ave
rage
Ret
urn
(%)
26 Up Months 10 Down Months
1.6
-3.6
1.6
-3.8
Total Return Fund
Missionary Society Benchmark
0.0
3.0
6.0
-3.0
-6.0
Ave
rage
Ret
urn
(%)
41 Up Months 19 Down Months
1.6
-2.7
1.6
-2.9
Total Return Fund
0.0
50.0
100.0
150.0
Up
Mar
ket
Ca
ptur
e R
atio
(%)
3Years
5Years
Time Periods
101.2 100.0
Total Return Fund
0.0
50.0
100.0
150.0
Dow
n M
arke
t
Capt
ure
Rat
io (%
)
3Years
5Years
Time Periods
105.3 106.2
Market Capture - Total Return FundAs of March 31, 2020
19
Allocation Mandate Weight (%)
Mar-2019
Blmbg. Barc. U.S. Aggregate Index 30.0
Russell 3000 Index 34.5
MSCI AC World ex USA (Net) 28.0
FTSE EPRA/NAREIT Developed Index (Net) 2.5
Lipper Glbl Nat Res IX 5.0
Sep-2018
Blmbg. Barc. U.S. Aggregate Index 30.0
Russell 3000 Index 31.3
MSCI AC World ex USA (Net) 31.3
FTSE EPRA/NAREIT Developed Index (Net) 2.5
Lipper Glbl Nat Res IX 5.0
Mar-2018
Blmbg. Barc. U.S. Aggregate Index 30.0
Russell 3000 Index 32.5
MSCI AC World ex USA (Net) 32.5
FTSE EPRA/NAREIT Developed Index (Net) 5.0
Feb-2018
Russell 1000 Value Index 15.0
Russell 1000 Growth Index 15.0
Russell 2000 Index 10.0
MSCI EAFE (Net) Index 12.0
MSCI Emerging Markets (Net) Index 8.0
Blmbg. Barc. U.S. Gov't/Credit 24.0
ICE BofAML Global High Yield Constrained (USD) 3.0
JP Morgan Non-U.S. Global Government Bond Index (H 3.0
Bloomberg Commodity Index Total Return 5.0
Vanguard Spliced REIT Index 5.0
Allocation Mandate Weight (%)
Nov-2013
Russell 1000 Value Index 15.0
Russell 1000 Growth Index 15.0
Russell 2000 Index 10.0
MSCI EAFE (Net) Index 12.0
MSCI Emerging Markets (Net) Index 8.0
Blmbg. Barc. U.S. Gov't/Credit 24.0
ICE BofAML Global High Yield Constrained (USD) 3.0
JP Morgan Non-U.S. Global Government Bond Index (H 3.0
Bloomberg Commodity Index Total Return 5.0
MSCI U.S. REIT Index (Net) 5.0
Jan-2011
Russell 1000 Value Index 15.0
Russell 1000 Growth Index 15.0
Russell 2000 Index 10.0
MSCI EAFE (Net) Index 12.0
MSCI Emerging Markets (Net) Index 8.0
Blmbg. Barc. U.S. Gov't/Credit 32.0
ICE BofAML Global High Yield Constrained (USD) 3.0
Bloomberg Commodity Index Total Return 3.0
MSCI U.S. REIT Index (Net) 2.0
Apr-2010
Russell 1000 Value Index 20.5
Russell 1000 Growth Index 20.5
Russell 2000 Index 7.0
MSCI EAFE (Net) Index 9.0
Bloomberg Commodity Index Total Return 3.0
Blmbg. Barc. U.S. Gov't/Credit 40.0
Benchmark CompositionMissionary Society BenchmarkAs of March 31, 2020
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Benchmark CompositionMissionary Society BenchmarkAs of March 31, 2020
Allocation Mandate Weight (%)
May-1999
Russell 1000 Value Index 22.0
Russell 1000 Growth Index 22.0
Russell 2000 Index 7.0
MSCI EAFE (Net) Index 9.0
Blmbg. Barc. U.S. Gov't/Credit 40.0
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FUND FAMILY WEB SITEBlackRock www.blackrock.com
Cohen & Steers* www.cohenandsteers.comDimensional Fund Advisors www.dimensional.com
Hartford Schroders www.hartfordfunds.comPIMCO www.pimco.com
Vanguard www.vanguard.comT. Rowe Price www.troweprice.com
Walden www.waldenassetmgmt.com
Prospectus LinksAs of March 31, 2020
*FIA has been engaged as a plan consultant by retirement plans sponsored by various investment management companies, including Cohen & SteersCapital. All fees paid to FIA are for investment consulting services only. Use of this investment manager by an FIA client is based solely on merit; FIA does
not receive any additional compensation.
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Investment Statistics – Descriptions
Statistic Description
Active Return Arithmetic difference between the manager’s return and the benchmark return over a specified period. Excess Return Arithmetic difference between the manager’s return and the risk-free return over a specified period.
Standard Deviation Represents the degree of variation, or dispersion, of a portfolio’s return in relation to its mean return. It is a measure of volatility or investment risk. Downside Risk A measure of the standard deviation, or volatility, of a portfolio's negative returns in relation to the mean of the negative returns over a specified
period. The higher the figure, the riskier the portfolio in negative performance environments. Sharpe Ratio Represents the excess return over the risk-free return divided by the standard deviation of the portfolio’s return. The ratio shows how well a portfolio
performs versus a risk-free investment. The higher the value, the better the portfolio’s historical risk-adjusted performance. Tracking Error A measure of the standard deviation of a portfolio's excess return over the return of appropriate market benchmark. Tracking error measures how
closely a portfolio follows or tracks the index to which it is benchmarked. Information Ratio A measure of a portfolio’s active return over its benchmark divided by the tracking error. A higher ratio indicates a manager’s ability to consistently
add active return relative to a benchmark. 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. A beta
of 1.0 implies a portfolio is perfectly correlated to the market. Alpha A measure of the portfolio’s value added relative to a benchmark, given its level of systematic 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. Consistency Also known as batting average, the percentage of quarters that a portfolio 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 portfolio’s active performance. R-Squared Also known as the coefficient of determination, R-Squared (R2) represents the percentage of a portfolio's performance explained by the behavior of
the appropriate benchmark. A high R2 means a higher correlation of the portfolio's performance to that of the appropriate benchmark. Up Market Capture The ratio of a portfolio’s average return over the benchmark during periods of positive benchmark return. Higher values indicate better performance
in positive markets compared to the benchmark. Down Market Capture The ratio of a portfolio’s average return over the benchmark during periods of negative benchmark return. Lower values indicate better performance
(and better protection of capital) in down markets compared to the benchmark. Style Map Using returns-based style analysis, the style map gauges the adherence of a portfolio to its style mandate. The trend of the style plots identifies style
drift, or lack thereof. Private Equity Investments Internal Rate of Return (IRR)
An annualized money weighted return used primarily to measure performance of private equity investments. It represents the discount rate that makes the present value of the since inception paid-in capital and distributions associated with an investment equal to zero.
Investment Multiple (TVPI)
Also known as the total value paid-in capital. Multiple is calculated by dividing the fund’s cumulative distributions and net asset value by the paid-in capital. The TVPI shows an investor the fund’s total value as a multiple of its cost basis since inception.
Realization Multiple (DPI)
Also known as the distributions to paid-in capital (DPI) multiple. This is calculated by dividing the cumulative distributions by paid-in capital. It represents how much of an investor’s invested capital has been returned to investors. A fund has broken even when multiple is greater than 1.0.
RVPI Multiple (RVPI) Calculated by dividing residual value, or net asset value, by paid-in capital including fees paid and other expenses incurred. It measures how much of the fund’s return is unrealized and dependent on the market value of its investments.
PIC Multiple (PIC) Calculated by dividing paid-in capital by committed capital. This ratio allows a potential investor to see the percentage of a fund’s committed capital that has been drawn down to date.
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Data Source Acknowledgements, Links and Disclaimers
Bloomberg Barclays Global Indices, BLOOMBERG is a trademark and service mark of Bloomberg Finance L.P. and its affiliates (collectively “Bloomberg”). BARCLAYS is a trademark and service mark of Barclays Bank Plc (collectively with its affiliates, “Barclays”), used under license. Bloomberg Finance L.P. and its affiliates (collectively, “Bloomberg”) or Bloomberg’s licensors own all proprietary rights in the BLOOMBERG BARCLAYS INDICES. For more information please visit https://www.bloomberg.com/professional/product/indices/bloomberg-barclays-indices/#/
ICE®BofAML® Bond Indices, © Copyright 2018 Intercontinental Exchange, Inc. ICE® and ICE® BofAML® are registered trademarks owned by Intercontinental Exchange, Inc. For additional information please visit https://www.theice.com/market-data/indices
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FTSE Russell & FTSE Nareit Indices, © Copyright FTSE Russell 2018; “FTSE Russell” is a trading name of FTSE International Limited (“FTSE”) and Frank Russell Company (“Russell”) and their respective subsidiary undertakings, which are members of the London Stock Exchange Group plc group. Nareit is the exclusive registered trademark of the National Association of Real Estate Investment Trusts. All rights in the Indexes vest in FTSE and Nareit. For more information please visit https://www.ftserussell.com/index-series/index-spotlights
S&P Dow Jones Indices, Copyright © 2018 S&P Dow Jones Indices LLC, a division of S&P Global. All rights reserved. For more information please visit https://us.spindices.com/index-literacy/
MSCI Indices, © Copyright 2018 by MSCI Inc. All rights reserved. MSCI Inc. and all other service marks referred to herein are the exclusive property of MSCI and its affiliates. All MSCI indices are the exclusive property of MSCI and may not be used in any way without express written permission of MSCI. For more information please visit https://www.msci.com/index-methodology
NCREIF, Copyright © 2018 National Council of Real Estate Investment Fiduciaries. Redistribution of any NCREIF data is not permitted without express written from NCREIF. For more information please visit https://www.ncreif.org/data-products/
HFRI® Indices, © 2018 Hedge Fund Research, Inc – All rights reserved. All data and content on HFR Database products are for your informational and personal use only. For more information please visit https://www.hedgefundresearch.com/hfri-index-methodology
Disclaimer: The analysis in this report was prepared by Fiduciary Investment Advisors, LLC, utilizing data from third parties and other sources including but not limited to FIA computer software and selected information in the FIA database. Reasonable care has been taken to assure the accuracy of the data contained herein, and comments are objectively stated and are based on facts gathered in good faith. These reports do not constitute investment advice with respect to the purchase, sale or disposition of individual securities. FIA disclaims responsibility, financial or otherwise, for the accuracy or completeness of this report. This report and the information contained herein was prepared solely for the internal business use of our clients. This report is confidential and cannot be reproduced or redistributed to any party other than the intended recipients without the expressed consent of FIA. FIA does not intend to benefit any third-party recipient of its work product or create any legal duty from FIA consents to the release of its work product to such third party. FIA provides a copy of its SEC Form ADV Part II to clients without charge upon request.
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