16 Item No. 16: Annual Presentation by Wellington Management – Emerging Markets Equity Manager (May 20, 2020, Special Retirement Board Meeting) INVESTMENT MANAGER SUMMARY MANAGEMENT Firm Name Wellington Management Manager Tenure with Fund 3.5 Years Investment Strategy/Vehicle Emerging Markets Equity Contract Expiration 06/30/2022 ASSETS Total Firm AUM (03/31/2020) $1.00 Trillion Total Firm Assets in Strategy (03/31/2020) $2.03 Billion Total Assets Managed for WPERP (03/31/2020) RP - $264.8 Million HP - $44.0 Million PERFORMANCE As of 03/31/2020 YTD 1 Year 3 Year Inception Wellington Emerging Markets (gross) -24.17% -19.18% -2.42% 0.45% Wellington Emerging Markets (est. net) -24.27% -19.63% -2.97% -0.12% MSCI Emerging Markets IMI ND -24.40% -18.91% -2.53% -0.35% Difference (net of fees) 0.13% -0.72% -0.44% 0.23% FEES Schedule 57 bps on all assets WATCH STATUS N/A PREVIOUSLY DISCLOSED LITIGATION None
Transcript
16
Item No. 16: Annual Presentation by Wellington Management – Emerging Markets Equity Manager (May 20, 2020, Special Retirement Board Meeting)
INVESTMENT MANAGER SUMMARY
MANAGEMENT Firm Name Wellington Management Manager Tenure with Fund 3.5 Years Investment Strategy/Vehicle Emerging Markets Equity Contract Expiration 06/30/2022
ASSETS Total Firm AUM (03/31/2020) $1.00 Trillion Total Firm Assets in Strategy (03/31/2020) $2.03 Billion Total Assets Managed for WPERP (03/31/2020)
RP - $264.8 Million HP - $44.0 Million
PERFORMANCE As of 03/31/2020 YTD 1 Year 3 Year Inception
20 May 2020Michael P. McElroy, CFA Managing Director and Investment Director, Equity Product Management Charles C. Ruch, CFA Managing Director and Relationship Manager
Michael P. McElroy, CFAManaging Director and Investment Director, Equity Product Management
Mike works closely with investors to help ensure the integrity of their investment approach. This includes meeting with the team on a regular basis and providing oversight of portfolio positioning, performance, and risk exposures, as well as managing business issues such as capacity, fees, and guidelines.
Prior to joining Wellington Management in 2013, Mike worked at Batterymarch Financial Management, where he was senior portfolio manager and head of global equities.
Mike received both an MS in management and an MS in transportation planning from the Massachusetts Institute of Technology (1992), and a BS in applied mathematics from the Massachusetts Institute of Technology (1987). In addition, he holds the Chartered Financial Analyst designation.
Charles C. Ruch, CFAManaging Director and Relationship Manager
Charlie works with clients in the western US, including endowments, foundations, public funds, and corporate pension plans. Charlie is responsible for assisting clients with long-term investment strategy and policy issues, evaluating portfolio risks and performance, and meeting with clients to discuss investment- and business-related issues on a regular basis.
Charlie joined Wellington Management in 2006 as a portfolio communications manager, covering specific investment products and assisting with investment-related communications to clients. Prior to joining Wellington Management, he was a research associate at Oppenheimer & Co.
Charlie graduated from Harvard Business School with an MBA (2005). He earned his BA in history and science from Harvard University (1997) and was a DAAD fellow at the Technische Universität München in Germany (1998). Additionally, Charlie holds the Chartered Financial Analyst designation.
A Water and Power Employees’Retirement Plan A04 May 2020 A1 1
A Water and Power Employees’Retirement Plan A04 May 2020
Representative client listTitle Line 2
As of 31 March 2020 | Clients included on the list above were selected based on client type, account size, and/or other nonperformance-based criteria to show a list of representative clients. This list does not represent an endorsement of the firm or its services.
Corporate Retirement Plans
AbbVie Inc.American Electric Power SystemBT Pension SchemeCanadian PacificCanada Post Pension PlanCargill, Inc.CoINVEST LimitedDow ChemicalGraymont, Inc.Hallmark Cards, Inc.International Paper CompanyLaerernes PensionMedtronic, Inc.Merck & CompanyMKS InstrumentsNorthrop Grumman CorporationPG&E CorporationRoyal Bank of CanadaSiemens CorporationSPF BeheerTELUSTextron, Inc.Trans-Canada CapitalTransCanada PipeLinesUnited Technologies Corporation
Chicago Symphony OrchestraDiocese of PortlandJewish Foundation of Greater TorontoMassachusetts Institute of TechnologyMercy HealthRenaissance Charitable FoundationStanhope CapitalUniversity of KentuckyWespath Benefits and Investments
Public Sector, Sovereign, and Taft-Hartley
Alberta Teachers’ Retirement FundFlintshire County CouncilGovernment of BermudaHospital Authority Provident Fund SchemeMassachusetts Laborers’ Pension FundMississippi Public Employees Retirement SystemOhio Carpenters’ Pension FundOklahoma Teachers Retirement SystemOntario Teachers’ Pension Plan (OTPP)Oregon Laborers – Employers Pension Trust FundRetail Employees Superannuation TrustState of OregonTreasurer of the State of North Carolina
Title Line 1Title Line 2Emerging Markets Systematic Equity Investment team
David J. Elliott, CFA, FRMSenior Managing Director
Co-Director, Quantitative Investment Group BS, University of Massachusetts (Amherst)31 years of professional experience25 years with Wellington Management
Mark A. Yarger, CFAManaging Director
Quantitative AnalystMBA, Babson College31 years of professional experience20 years with Wellington Management
Michael P. McElroy, CFA Managing Director
Investment DirectorMS, Massachusetts Institute of Technology (Sloan)33 years of professional experience6 years with Wellington Management
- Water and Power Employees’Retirement Plan _04 May 2020 A1 6
Emerging Markets Systematic Equity (EMSE)What role can EMSE play and what is our competitive advantage?
PAST RESULTS ARE NOT NECESSARILY INDICATIVE OF FUTURE RESULTS AND AN INVESTMENT CAN LOSE VALUE. Based on the net performance of the Emerging Markets Systematic Equity Composite since inception
on 30 September 2009. The inception date of the Wellington Emerging Markets Systematic Equity Fund is 23 November 2015. See performance pages
enclosed for full details
Why should clients consider EMSE? Employs a systematic approach to investing in emerging markets equities
Systematic approaches have historically been effective in emerging markets
Low alpha correlation with other emerging markets approaches
Consistent historical performance across a range of market environments
What is our competitive advantage? Contextual alpha model
Uses a proprietary framework to weight factors at the stock level based on company-specific indicators
Risk management
A holistic approach based on EM-specific risk drivers, which considers both historical and forward-looking indicators; enables portfolio risk to be focused on stock-specific drivers and allows for more responsive risk adjustments
Transaction cost management
EM costs average about twice those of developed markets; model integrates cost considerations into every trading decision
- Water and Power Employees’Retirement Plan _04 May 2020 A1 8
Title Line 1Title Line 2Emerging Markets Systematic EquityInvestment philosophy, approach, and objective
Investment philosophy
We believe…
Certain stock-level factors are strongly associated with future relative performance
The use of multiple factors is important
Optimizing the opportunity set requires managing the returns, risks, and costs
Tools and techniques must constantly evolve to be successful
Approach and investment objective
We seek long-term results in excess of the MSCI Emerging Markets IMI Net Index. EMSE employs an integrated set of proprietary emerging markets alpha sources, a proprietary risk framework, and proprietary trading techniques which seek to minimize cost in pursuit of a consistent alpha orientation with attractive upside and downside capture.
- Water and Power Employees’Retirement Plan _04 May 2020 A1 9
Title Line 1Title Line 2Collaboration: Systematic process benefits from fundamental insightsEmerging Markets Systematic Equity
Outcomes/ Model enhancements
Quality factor signals reconfigured for REITs
Contextual model differentiates stocks based on issuer characteristics and importance of specific factors
New insight drives quant research
REITs tend to rely on issuing new shares to fund their growth
A tech company behaves more like a utility, with stable cash flow and dividends
“ Good ideas are the lifeblood of research. Having access to a deep team of experts at Wellington Management helps shape our research agenda and improve our systematic process.” – Don Tunnell
Conventional view
Companies that issue shares typically underperform those that buy them back
All companies in a sector generally respond to the same pricing and behavioral dynamics
For illustrative purposes only.
- Water and Power Employees’Retirement Plan _04 May 2020 A1 10
Title Line 1Title Line 2Emerging Markets Systematic EquityInvestment process
The characteristics presented are sought during the portfolio management process. Actual experience may not reflect all of these characteristics, or may be
outside of stated ranges. | QRM – proprietary quantitative risk model used in the process. | QE Model – proprietary quantitative equity model used in the
process.
3 proprietary models inform the optimizer
Optimizer maximizes return/risk subject to costs
Portfolio reflects optimal expected risk adjusted return after costs
Proprietary Quantitative Equity (QE) Models
Proprietary Risk Model (QRM)
Proprietary Transaction Cost Model
Alpha forecast
Risk forecast
Transaction cost prediction
Portfolio Optimization
EMSEportfolio
> 150 names, Sector/Country weights
±5% of index,Tracking risk 2 – 4%
- Water and Power Employees’Retirement Plan _04 May 2020 A1 11
Title Line 1Title Line 2Emerging Markets Systematic Equity Proprietary Quantitative Risk Model (QRM)
Specifically tuned to proprietary alpha engine
Sources: S&P, Wellington Management, third party risk model | For illustrative purposes only. | Market data represents the S&P 500 Index. | Chart data:
December 2000 – October 2017 | PAST RESULTS ARE NOT NECESSARILY INDICATIVE OF FUTURE RESULTS.
Benefits
Improved risk prediction accuracy
Faster response to changes in risk regimes
Potential outcomes
More efficient alpha transfer from alignment with alpha model
Crowd avoidance via differentiated portfolio holdings
0
20
40
60
80Realized risk
Predicted risk (3rd party generic model)
Predicted risk (QRM)
Total risk prediction: Market predicted vs realized risk comparison (3-month windows) Standard deviation of returns (%)
- Water and Power Employees’Retirement Plan _04 May 2020 A1 13
Title Line 1Title Line 2Emerging Markets Systematic EquityPortfolio construction and risk controls
The characteristics presented are sought during the portfolio management process. Actual experience may not reflect all of these characteristics, or may be
outside of stated ranges.
Benchmark: MSCI Emerging Markets Index
Position size Number of holdings
Relative weight ±3% Number of holdings Typically > 150
Sector weights Other
Typically within ±5% of the MSCI Emerging Markets Index sector weight
Cash Typically < 5%
Derivatives To equitize cash
Country weights
Typically within ±5% of the MSCI Emerging Markets Index country weight
Regular portfolio and risk reviews by Product Management and Investment Review Group
Market cap size limitations
Within the range of the benchmark
- Water and Power Employees’Retirement Plan _04 May 2020 A1 15
Water and Power Employees’ Retirement PlanTitle Line 2Summary of guidelines
The portfolios have been in compliance with investment guidelines since the inception of the accounts (September 2016)• Benchmark:MSCIEmergingMarketsIMIND• Permittedinvestments:securitiesofnon-UScompaniesdoingbusinessinemergingmarkets,includingREITsanddepositaryreceipts;ETF’salsopermitted.
Current market environment has been challenging for systematic techniques, but we continue to adhere to the models and science that we have relied on in the past
Momentum theme was the strongest contributor
Quality theme was flat for the period
Value theme detracted from performance
A Water and Power Employees’Retirement Plan A04 May 2020 A1 17
Emerging Markets Systematic Equity CompositeGross performance in various market environments
Sources: Wellington Management, FactSet | The charts show the average monthly return of the Emerging Markets Systematic Equity Composite
during positive and negative environments for each factor. The specific factors were selected because they were deemed to be relevant to this approach. Not all
factors that exist are shown. | Please refer to the notes page for market environments for additional
information | PAST RESULTS ARE NOT NECESSARILY INDICATIVE OF FUTURE RESULTS AND AN INVESTMENT CAN LOSE VALUE.Gross performance results are net of commissions and other direct expenses, but before (gross of) advisory fees, custody charges, withholding taxes, and other
indirect expenses, and include reinvestment of dividends and other earnings. If all expenses were reflected, the performance shown would be lower.
Actual fees will vary depending on, among other things, the applicable fee schedule and account size. Composite returns have the potential to be adjusted
until reviewed and finalized 30 days following each calendar quarter end period. For use in one-on-one presentations only. Please refer to the Important
Disclosures page for additional information.
-10.0
0.0
10.0
20.0
Smallup
Lowgrowth
Valuedown
Lowvol
Contrarian EMdown
Fallingoil
Fallinggold
Fallingcommodities
0.0
10.0
20.0
30.0
Largeup
Highgrowth
Valueup
Highvol
Momentum EMup
Risingoil
Risinggold
Risingcommodities
Average monthly active return (bps, USD), five years as of 31 December 2019
Average monthly active return (bps, USD), five years as of 31 December 2019
- Water and Power Employees’Retirement Plan _04 May 2020 A1 18
Title Line 1Title Line 2Emerging Markets Systematic Equity CompositeGross performance in various sector environments
Sources: Wellington Management, FactSet | Benchmark: MSCI Emerging Markets Index | The charts show the average monthly active return of the
Emerging Markets Systematic Equity Composite during leading and lagging environments for each
sector. | PAST RESULTS ARE NOT NECESSARILY INDICATIVE OF FUTURE RESULTS AND AN INVESTMENT CAN LOSE VALUE.Gross performance results are net of commissions and other direct expenses, but before (gross of) advisory fees, custody charges, withholding taxes, and other
indirect expenses, and include reinvestment of dividends and other earnings. If all expenses were reflected, the performance shown would be lower.
Actual fees will vary depending on, among other things, the applicable fee schedule and account size. Composite returns have the potential to be adjusted
until reviewed and finalized 30 days following each calendar quarter end period. For use in one-on-one presentations only. Please refer to the Important
Disclosures page for additional information.
% of months 50 53 47 57 60 70 33 53 60 67
% time O/P 50 47 54 50 58 55 65 47 58 55
% of months 50 47 53 43 40 30 67 47 40 33
% time O/P 60 64 56 52 50 56 50 64 50 55
-10.0
0.0
10.0
20.0
Consdiscretionary
Consstaples
Energy Financials Healthcare
Industrials Infotechnology
Materials Telecomsvcs
Utilities
-10.0
0.0
10.0
20.0
30.0
Consdiscretionary
Consstaples
Energy Financials Healthcare
Industrials Infotechnology
Materials Telecomsvcs
Utilities
Sectors leading the broad marketAverage monthly active return (bps, USD), five years as of 31 December 2019
Sectors lagging the broad marketAverage monthly active return (bps, USD), five years as of 31 December 2019
- Water and Power Employees’Retirement Plan _04 May 2020 A1 20
Title Line 1Title Line 2Water and Power Employees' Retirement PlanCountry weights
Benchmark: MSCI Emerging Markets IMI. | Other represents additional countries held by the portfolio or benchmark.| The country/region data includes ETF
holdings which are classified based upon their country of domicile and do not reflect classifications of underlying holdings. ETFs may be held for a variety of
reasons, including but not limited to providing exposure to a specific country or to equitize cash.
0
10
20
30
40
50
60
% of equity as of 31 March 2020
Overweight Underweight
Portfolio Benchmark
- Water and Power Employees’Retirement Plan _04 May 2020 A1 27
Title Line 1Title Line 2Water and Power Employees’ Retirement PlanPortfolio characteristics
Benchmark: MSCI Emerging Markets IMI | Sums may not total due to rounding. | If access products are held by the portfolio they may not be included in the
calculation of characteristic data. Access products are instruments used to gain access to equity markets not otherwise available and may include (but are not
limited to) instruments such as warrants, total return swaps, p-notes, or zero strike options. Please refer to the Important Disclosures page for additional
information.
As of 31 March 2020
Portfolio Benchmark
Size
Asset-weighted market cap (USD, bil) 79.9 105.4
Over USD 50 bil (%) 22 33
USD 20 – 50 bil (%) 16 16
USD 10 – 20 bil (%) 15 15
USD 2 – 10 bil (%) 33 25
Under USD 2 bil (%) 14 11
Valuation
Projected EPS growth (5-yr, %) 17.2 13.4
Projected P/E (x) 7.0 9.0
P/E trailing ex negatives – median (x) 7.6 10.0
Price/book (x) 1.0 1.3
Price to cash flow ratio 4.4 5.8
Yield (%) 3.5 3.0
ROE (1-yr, %) 18.0 16.3
Debt % of equity (%) 104.6 89.4
Risk
Projected beta – equity 1.01
Projected tracking risk (%) 2.61
Projected R² 0.97
- Water and Power Employees’Retirement Plan _04 May 2020 A1 30
Title Line 1Title Line 2Emerging Markets Systematic EquityKey considerations
Wellington Management uses quantitative investment models in the management of this investment strategy. All quantitative investment models have risks related to mistakes in coding software (e.g., software bugs) and inaccurate or stale data inputs. Because our quantitative investment models are complex, some of these issues may not be detected for a prolonged period before being corrected. In addition, quantitative investment models are susceptible to temporary disruptions due to technological failures (e.g., systems, communications or power outages). These risks may have a negative impact on the investment performance of this investment approach.
Wellington Management has adopted controls that we believe are reasonably designed to mitigate (but not eliminate) these risks. These controls include monitoring the quantitative investment model’s data inputs and results, the review and testing of systems changes made to the model, and the implementation of business continuity procedures.
- Water and Power Employees’Retirement Plan _04 May 2020 A1 32
Benchmark: MSCI Emerging Markets N/M: For years where there are less than six portfolios throughout the performance period, Internal Dispersion is not meaningful. Composite Description: Portfolios included in the Emerging Markets Systematic Equity Composite seek to achieve consistent, long-term total returns in excess of the MSCI Emerging Markets Index by using quantitative stock selection within a risk-managed portfolio construction approach. Composite Creation Date: The composite creation date is August 2009. Composite Membership: All fully discretionary, fee paying portfolios are eligible for inclusion in the composite. Fee Schedule: Effective October 2016 the institutional separate account fee schedule for this product is: Market Value Annual Fee On the first US$50 million 0.70% On the next US$50 million 0.65 Over US$100 million 0.60 Benchmark Definition: MSCI Emerging Markets is a free float-adjusted market capitalization index that captures large and mid cap representation across Emerging Markets countries. Firm: For purposes of GIPS® compliance, the Firm is defined as all portfolios managed by Wellington Management Company LLP, an independently owned, SEC-registered investment adviser, as well as its affiliates (collectively, Wellington Management). Wellington Management provides investment advisory services to institutions around the world. GIPS®: Wellington Management claims compliance with the Global Investment Performance Standards (GIPS®) and has prepared and presented this report in compliance with the GIPS® standards. Wellington Management has been independently verified for the periods 1 January 1993 to 31 December 2018. The verification reports are available upon request. Verification assesses whether (1) the firm has complied with all the composite construction requirements of the GIPS® standards on a firm-wide basis and (2) the firm's policies and procedures are designed to calculate and present performance in compliance with the GIPS® standards. Performance Calculation: Gross performance results are net of trading expenses. Returns are gross of withholding taxes on dividends, interest and capital gains. Returns, market values, and assets are reported in USD except when otherwise noted. Returns, market values and assets reported in currencies other than USD are calculated by converting the USD monthly return and assets using the appropriate exchange rate (official 4:00 p.m. London closing spot rates). Policies for valuing portfolios, calculating performance, and preparing compliant presentations are available upon request. Net of fees performance reflects the deduction of the highest tier investment management fee ("model fee") that would be charged based on the fee schedule appropriate to you for this mandate, without the benefit of breakpoints and is calculated by subtracting 1/12th of the model fee from monthly gross composite returns. In certain instances Wellington Management may charge certain clients a fee in excess of the standard model fee, such as to legacy clients or clients receiving additional investment services. Performance net of model fees is intended to provide the most appropriate example of the impact management fees would have for you. Pool investors will experience costs in excess of investment management fees, such as operating expenses and custodial fees. These indirect costs are not reflected in the model fee, or net of fees performance. Internal Dispersion: The dispersion measure presented is the asset-weighted standard deviation. The asset-weighted standard deviation measures the dispersion of individual portfolio returns relative to the asset-weighted composite return. Only portfolios that have been included in the composite for the full period are included in the standard deviation calculation. Limitations imposed by client guidelines or by law on a portfolio's ability to invest in certain securities or instruments, such as IPO securities, and/or implementation of the firm's Trade Allocation Policies and Procedures, may cause the portfolio's performance to differ from that of the composite. External Dispersion: The dispersion measure presented is the three-year annualized ex-post standard deviation. It measures the variability of the composite and the benchmark(s) over the preceding 36-month period. For periods prior to 1 January 2011, the Firm was not required to present the three-year annualized ex-post standard deviation.
Composite Listing: Wellington Management's list of composite descriptions is available upon request. Other Matters: This material contains summary information regarding the investment approach described herein and is not a complete description of the investment objectives, policies, guidelines, or portfolio management and research that supports this investment approach. Any decision to engage Wellington Management should be based upon a review of the terms of the investment management agreement and the specific investment objectives, policies, and guidelines that apply under the terms of such agreement. Past Performance: Past results are not necessarily indicative of future results and an investment can lose value.
Contextual alpha model – The model incorporates risk information, sentiment information and trading information to rank stocks on a “difficult-to-value” (DTV) spectrum, which then translates into the recipe that we use to form the alpha forecast at the stock level
Pure value – cyclical value factors such as P/E, P/B, etc.
Fair value – absolute value factors such as dividend discount models
Earnings quality – accrual growth compared to cashflows, operating cashflows compared to assets, etc
Management behavior – capital stewardship factors – changes in external financing, share issuance/repurchase, etc.
Short-term momentum – price momentum, sentiment, and momentum of other financial statement items (sales, earnings, dividends) – typically over 1-3 month period
Long-term momentum – price momentum – typically over 3-12 month period
A Water and Power Employees’Retirement Plan A04 May 2020 A1 35
9
Wellington Management Company LLP Page 1 of
Data last updated on: APR-30-2020
RMHLDETSCEQ 13
Cash and Cash Equivalents
Equities
Cash
Short-Term Cash Equivalents
Energy
Energy
50,976
1
*
*
-35
2,729,352
473,090
41,888,390
36
443,793
2,314,110
738,862
1,225,859
773,659
Security Shares orPar Value Unit Cost Unit Price Cost
Pct Asset Class YieldMarket Value
Water & Power Employees' Retirement Plan68H2USDQEM Emerging Markets QE
Holdings Detail by Sector-EquityMarch 31, 2020
0.193
0.231
0.141
0.056
0.001
0.162
1.000
100.000
1.251
2.231
1.536
100.000
0.773
1.904
1.049
9,828
-8
384,505
26,489
34,409
6
443,793
2,314,110
924,512
2,735,074
1,188,303
9,828
-8
385,056
26,489
34,409
5
443,793
2,320,026
571,003
2,334,397
811,499
0.31
*
11.96
0.82
1.07
*
13.78
72.06
0.22
0.90
0.31
3.43
0.93
0.37
3.30
2.70
2.27
5.52
0.75
8.75
0.05
1.33
2.92
9.33
9.59
Total Cash and Cash Equivalents 3,213,132
Total Cash
Total Short-Term Cash Equivalents
899,022
2,314,110
3,219,598
899,573
2,320,026
27.94
72.06
1.30
1.23
1.33
Pct Total
*
*
0.15
0.01
0.01
*
0.17
0.88
0.22
0.89
0.31
1.22
0.34
0.88
Account ID: Reporting Currency Code:
Portfolio Manager:
********
********
********
********
********
********
********
Brazilian Real
Chilean Peso
Forint
Indonesian Rupiah
Malaysian Ringgit
Offshore Chinese Ren
South African Rand
South Korean Won
Turkish Lira (New)
US Dollar
COLTV STIF 1.3284%
China Oilfield Serv
China Shenhua Energy
CNOOC Ltd
********
*************
*************
*************
*************
*************
100.00
Brazil
Chile
Hungary
Indonesia
Malaysia
China
South Africa
South Korea
Turkey
United States
United States
China
China
China
Country
Wellington Management Company LLP Page 2 of
Data last updated on: APR-30-2020
RMHLDETSCEQ 13
Materials
Materials
74,828
514,300
40,546
1,029,183
84,085
641,062
1,149,998
1,011,807
575,794
1,121,416
183,976
149,400
261,008
126,332
159,700
43,322
134,141
75,425
969,600
309,621
12,897
77,980
248,214
Security Shares orPar Value Unit Cost Unit Price Cost
Pct Asset Class YieldMarket Value
Water & Power Employees' Retirement Plan68H2USDQEM Emerging Markets QE
Holdings Detail by Sector-EquityMarch 31, 2020
12.366
0.681
74.862
4.244
11.791
3.923
1.188
1.018
0.831
1.163
5.729
1.783
3.247
3.263
3.548
29.892
24.598
15.488
0.582
1.030
69.838
12.097
9.636
10.365
0.266
60.000
2.057
5.643
6.948
1.303
1.093
0.257
1.193
4.750
1.865
2.180
1.270
3.283
15.681
24.920
17.105
0.457
1.264
52.162
8.333
3.560
925,349
350,168
3,035,345
4,367,488
991,462
2,514,984
1,366,452
1,030,253
478,632
1,304,141
1,053,912
266,322
847,478
412,174
566,601
1,294,998
3,299,630
1,168,200
563,944
318,934
900,701
943,312
2,391,675
775,605
136,909
2,432,760
2,116,854
474,473
4,453,830
1,498,270
1,105,679
147,832
1,338,309
873,886
278,558
568,997
160,442
524,282
679,326
3,342,794
1,290,160
443,202
391,274
672,740
649,808
883,642
0.30
0.05
0.94
0.82
0.18
1.72
0.58
0.43
0.06
0.52
0.34
0.11
0.22
0.06
0.20
0.26
1.29
0.50
0.17
0.15
0.26
0.25
0.34
1.86
0.00
7.81
8.89
13.89
4.06
7.61
4.52
9.55
6.43
1.69
0.00
2.51
1.31
3.53
16.70
12.03
4.15
3.08
0.00
1.34
0.00
5.39
Total Energy 13,526,240
Total Energy 13,526,240
9,179,026
9,179,026
3.53
3.53
7.68
7.68
Pct Total
0.30
0.05
0.93
0.81
0.18
1.69
0.57
0.42
0.06
0.51
0.33
0.11
0.22
0.06
0.20
0.26
1.27
0.49
0.17
0.15
0.26
0.25
0.34
3.49
3.49
Account ID: Reporting Currency Code:
Portfolio Manager:
********
********
********
********
********
Cosan SA Industria e
Dayang Enterprise Ho
Lukoil PJSC Spon ADR
PTT Explor & Prodtn
African Rainbow Mine
Anhui Conch Cement
Asia Cement
China Natl Bldgs-H
China Oriental Group
China Resources Ceme
Gold Fields Ltd ADR
Grupo Mexico SAB-B
Harmony Gld Mng ADR
Hindalco Industr GDR
Huaxin Cement Co A
Kumba Iron Ore Ltd
MMC Norilsk Nick-ADR
Polymetal Internatio
Shanxi Taigang Stain
Sibanye Stillwater
Soulbrain Co Ltd
Vale
Vedanta Ltd -ADR
*************
*************
Brazil
Malaysia
Russia
Thailand
South Africa
China
Taiwan
China
China
China
South Africa
Mexico
South Africa
India
China
South Africa
Russia
Russia
China
South Africa
South Korea
Brazil
India
Country
Wellington Management Company LLP Page 3 of
Data last updated on: APR-30-2020
RMHLDETSCEQ 13
Industrials
Capital Goods
Commercial & Professional Services
Transportation
395,100
3,668,782
18,554
20,894
3,647
522,264
154,622
2,361,023
363,858
78,000
338,568
470,800
696,724
7,907
Security Shares orPar Value Unit Cost Unit Price Cost
Pct Asset Class YieldMarket Value
Water & Power Employees' Retirement Plan68H2USDQEM Emerging Markets QE
Holdings Detail by Sector-EquityMarch 31, 2020
0.897
1.459
71.590
32.217
62.810
1.192
3.656
0.622
1.660
5.667
1.140
0.849
2.300
33.747
0.842
1.046
60.541
12.568
50.191
2.441
3.852
0.391
1.664
5.473
1.610
0.728
4.064
23.863
354,563
5,351,874
1,328,290
673,150
229,068
622,351
565,276
1,468,767
603,827
442,017
385,904
399,897
1,602,130
266,841
332,771
3,838,757
1,123,284
262,602
183,047
1,274,677
595,654
923,641
605,577
426,864
545,140
342,581
2,831,517
188,687
0.13
1.48
0.43
0.10
0.07
0.49
0.23
0.36
0.23
0.16
0.21
0.13
1.09
0.07
1.98
5.73
1.76
4.58
8.18
1.50
3.42
5.33
4.96
7.86
2.50
0.00
0.53
6.61
Total Materials 21,713,805
Total Materials
Total Capital Goods
Total Commercial & Professional Services
21,713,805
12,424,984
1,868,971
19,777,501
19,777,501
10,454,595
3,020,204
7.62
7.62
4.03
1.16
6.07
6.07
4.20
0.91
Pct Total
0.13
1.46
0.43
0.10
0.07
0.48
0.23
0.35
0.23
0.16
0.21
0.13
1.08
0.07
7.52
7.52
3.98
1.15
Account ID: Reporting Currency Code:
Portfolio Manager:
********
********
********
********
********
********
********
********
********
China National Chemi
Citic Ltd
Daelim Industrial Co
Han Wha Corporation
Hyosung Corp
Sany Heavy Industry
Shin Zu Shing Co Ltd
Sime Darby Bhd
Sinotruk Hong Kong
United Integration
Weichai Power Co Ltd
Zoomlion Heavy Ind-H
Cntry Garden Srvcs
KEPCO Plant Service
*************
*************
*************
*************
*************
*************
China
China
South Korea
South Korea
South Korea
China
Taiwan
Malaysia
China
Taiwan
China
China
China
South Korea
Country
Wellington Management Company LLP Page 4 of
Data last updated on: APR-30-2020
RMHLDETSCEQ 13
Consumer Discretionary
Automobiles & Components
Consumer Durables & Apparel
336,817
79,700
597,800
59,431
794,009
868,668
9,746
17,551
95,550
1,118,475
330,639
814,000
78,618
54,400
132,641
9,456
83,000
51,105
Security Shares orPar Value Unit Cost Unit Price Cost
Pct Asset Class YieldMarket Value
Water & Power Employees' Retirement Plan68H2USDQEM Emerging Markets QE
Holdings Detail by Sector-EquityMarch 31, 2020
5.938
12.844
1.982
9.994
0.562
0.595
199.799
106.749
30.944
1.081
6.442
0.369
5.997
7.542
2.528
89.293
4.026
5.200
3.417
5.430
1.722
5.189
0.397
0.306
139.237
72.863
21.358
0.744
7.348
0.235
3.976
2.724
1.178
76.067
2.774
5.142
2,000,074
1,023,642
1,184,683
593,972
446,001
516,512
1,947,243
1,873,553
2,956,696
1,208,674
2,130,085
300,507
471,506
410,285
335,283
844,355
334,165
265,761
1,151,044
432,792
1,029,544
308,416
315,518
265,426
1,357,003
1,278,822
2,040,744
832,626
2,429,381
191,137
312,556
148,203
156,256
719,288
230,270
262,779
0.44
0.17
0.40
0.12
0.12
0.10
0.52
0.49
0.79
0.32
0.94
0.07
0.12
0.06
0.06
0.28
0.09
0.10
5.07
7.85
4.03
0.00
6.03
0.00
2.36
4.51
4.42
6.76
1.18
4.95
2.90
9.18
2.34
1.08
6.56
5.79
Total Industrials 19,096,325
Total Transportation
Total Automobiles & Components
4,802,371
8,948,680
16,396,595
2,921,797
6,090,139
6.31
1.13
2.35
3.66
4.58
4.19
Pct Total
0.44
0.16
0.39
0.12
0.12
0.10
0.52
0.49
0.78
0.32
0.92
0.07
0.12
0.06
0.06
0.27
0.09
0.10
6.24
1.11
2.32
Account ID: Reporting Currency Code:
Portfolio Manager:
********
********
********
********
********
********
********
Grupo Aero Cen Norte
Grupo Aero Pacifico
MISC Bhd
Pegasus Hava Tasimac
BAIC Motor Corp Lt-H
DRB-Hicom Bhd
Hyundai Mobis Co Ltd
Hyundai Motor Co
Kia Motors Corp
Tianneng Power Inter
Anta Sports Products
Bosideng Intl Hldgs
Construtora Tenda SA
Cyrela Brazil Realty
Even Construtora Inc
F&F Co Ltd
Fulgent Sun Intl
Fusheng Precision Co
*************
*************
*************
*************
Mexico
Mexico
Malaysia
Turkey
China
Malaysia
South Korea
South Korea
South Korea
China
China
China
Brazil
Brazil
Brazil
South Korea
Taiwan
Taiwan
Country
Wellington Management Company LLP Page 5 of
Data last updated on: APR-30-2020
RMHLDETSCEQ 13
Consumer Services
Retailing
39,233
6,409
360,000
600,269
9,647
16,586
64,126
67,579
986,000
9,763
3,120
84,714
17,149
67,100
12,577
18,000
1,166,492
69,760
Security Shares orPar Value Unit Cost Unit Price Cost
Pct Asset Class YieldMarket Value
Water & Power Employees' Retirement Plan68H2USDQEM Emerging Markets QE
Holdings Detail by Sector-EquityMarch 31, 2020
8.059
63.363
0.752
2.071
41.466
135.271
5.623
147.418
0.844
88.895
113.948
31.404
20.701
12.556
155.912
14.217
0.653
13.589
7.364
39.594
0.741
0.868
42.360
108.240
2.917
194.480
0.475
48.302
47.398
40.500
13.518
12.082
142.985
14.186
0.296
15.580
316,180
406,092
270,822
1,243,039
400,018
2,243,611
360,596
9,962,351
832,468
867,883
355,519
2,660,371
355,000
842,540
1,960,900
255,898
761,331
947,970
288,926
253,759
266,601
521,067
408,647
1,795,269
187,064
13,142,764
468,701
471,569
147,882
3,430,917
231,825
810,734
1,798,321
255,344
344,785
1,086,861
0.11
0.10
0.10
0.20
0.16
0.69
0.07
5.06
0.18
0.18
0.06
1.32
0.09
0.31
0.69
0.10
0.13
0.42
4.02
1.56
2.33
5.87
0.00
0.00
14.83
0.00
3.85
1.70
3.47
0.00
2.79
0.00
0.28
3.99
5.16
0.00
Total Consumer Discretionary 39,083,217
Total Consumer Durables & Apparel
Total Consumer Services
Total Retailing
5,814,218
4,518,088
19,802,231
36,451,043
4,992,555
3,178,648
22,189,702
14.04
1.92
1.22
8.55
1.39
2.36
2.03
0.32
Pct Total
0.11
0.10
0.10
0.20
0.16
0.68
0.07
5.00
0.18
0.18
0.06
1.31
0.09
0.31
0.68
0.10
0.13
0.41
13.87
1.90
1.21
8.44
Account ID: Reporting Currency Code:
Portfolio Manager:
********
********
********
********
********
********
********
Gree Electric Applia
LG Electronics
China Yuhua Educatio
Genting Bhd
GSX Techedu ADR
New Oriental Edu ADR
Ser Educacional SA
Alibaba Grp Hldg-ADR
Com7 PCL
Hyundai Dept Store
Hyundai Home Shoppin
JD.com Inc -ADR
JUMBO SA
Meituan Dianping -B
Naspers Ltd-N Shs
Poya International C
PTG Energy PCL
Vipshop Holdings ADS
*************
*************
*************
*************
*************
China
South Korea
China
Malaysia
China
China
Brazil
China
Thailand
South Korea
South Korea
China
Greece
China
South Africa
Taiwan
Thailand
China
Country
Wellington Management Company LLP Page 6 of
Data last updated on: APR-30-2020
RMHLDETSCEQ 13
Consumer Staples
Food & Staples Retailing
Food Beverage & Tobacco
Household & Personal Products
166,943
309,000
181,500
2,012,900
17,911
416,372
197,000
377,571
12,170
88,984
441,900
12,286
2,293
682,000
280,134
56,305
124,000
242,556
Security Shares orPar Value Unit Cost Unit Price Cost
Pct Asset Class YieldMarket Value
Water & Power Employees' Retirement Plan68H2USDQEM Emerging Markets QE
Holdings Detail by Sector-EquityMarch 31, 2020
15.611
1.412
2.936
0.923
82.436
5.306
5.088
3.165
99.869
6.648
2.865
91.573
87.162
1.644
5.059
2.316
6.282
1.971
14.429
1.484
1.935
0.740
60.510
2.520
5.544
3.922
61.363
17.241
4.434
94.467
76.560
1.636
4.557
7.573
6.514
1.531
2,606,137
436,343
532,899
1,858,273
1,476,502
2,209,434
1,002,407
1,195,102
1,215,410
591,603
1,265,838
1,125,065
199,863
1,121,502
1,417,256
130,405
779,005
478,072
2,408,802
458,463
351,192
1,490,469
1,083,795
1,049,227
1,092,252
1,480,699
746,785
1,534,203
1,959,442
1,160,628
175,551
1,115,710
1,276,534
426,415
807,764
371,393
0.93
0.18
0.14
0.57
0.42
0.40
0.42
0.57
0.29
0.59
0.75
0.45
0.07
0.43
0.49
0.16
0.31
0.14
1.73
1.30
2.68
2.88
2.45
6.33
2.54
2.66
5.89
0.45
0.10
0.52
0.86
5.18
0.00
0.38
3.30
0.00
Total Food & Staples Retailing
Total Food Beverage & Tobacco
3,042,479
15,341,558
2,867,265
14,942,903
1.10
5.75
1.66
2.22
Pct Total
0.92
0.17
0.13
0.57
0.41
0.40
0.42
0.56
0.28
0.58
0.75
0.44
0.07
0.42
0.49
0.16
0.31
0.14
1.09
5.68
Account ID: Reporting Currency Code:
Portfolio Manager:
********
********
********
********
********
********
********
Clicks Group Ltd
Sun Art Retail Group
Carabao Group PCL
Charoen Pokphand Fds
FEMSA SA ADR
Gudang Garam Tbk Pt
Henan Shuanghui Inve
JBS SA
KT&G Corp
Muyuan Foodstuff Co
New Hope Liuhe Co-A
Orion Corp
Sam Yang Foods Co
Tingyi Holding Co
Wens Foodstuffs Grp
Yihai Intl Hldg Ltd
Grape King Industry
Kimberly Clark Mex A
*************
*************
*************
*************
*************
South Africa
China
Thailand
Thailand
Mexico
Indonesia
China
Brazil
South Korea
China
China
South Korea
South Korea
China
China
China
Taiwan
Mexico
Country
Wellington Management Company LLP Page 7 of
Data last updated on: APR-30-2020
RMHLDETSCEQ 13
Health Care
Financials
Health Care Equipment & Services
Pharma, Biotech & Life Sciences
136,000
125,700
191,840
119,729
1,228,300
25,900
896,396
335,103
99,243
2,280,467
788,539
175,690
Security Shares orPar Value Unit Cost Unit Price Cost
Pct Asset Class YieldMarket Value
Water & Power Employees' Retirement Plan68H2USDQEM Emerging Markets QE
Holdings Detail by Sector-EquityMarch 31, 2020
2.532
1.526
1.760
5.304
1.424
69.378
1.131
2.178
35.917
0.381
1.448
4.836
2.426
1.593
1.034
4.550
1.493
77.312
1.082
0.752
40.330
0.101
1.319
4.722
344,388
191,756
337,585
635,098
1,749,029
1,796,903
1,013,768
729,720
3,564,488
869,525
1,141,918
849,673
329,871
200,189
198,285
544,789
1,833,920
2,002,370
970,308
252,055
4,002,470
229,491
1,039,733
829,614
0.13
0.08
0.08
0.21
0.71
0.77
0.37
0.10
1.54
0.09
0.40
0.32
1.49
1.08
5.04
5.54
1.16
0.18
4.51
6.01
0.65
2.38
0.78
3.88
Total Consumer Staples
Total Health Care
19,985,502
12,879,463
Total Household & Personal Products
Total Health Care Equipment & Services
Total Pharma, Biotech & Life Sciences
1,601,465
2,913,468
9,965,995
19,319,197
12,103,225
1,509,029
2,777,183
9,326,042
7.44
4.66
0.58
1.07
3.59
2.13
1.64
2.09
2.29
1.44
Pct Total
0.13
0.08
0.08
0.21
0.70
0.76
0.37
0.10
1.52
0.09
0.40
0.32
7.35
4.60
0.57
1.06
3.55
Account ID: Reporting Currency Code:
Portfolio Manager:
********
********
********
********
********
********
********
********
********
********
********
Vinda International
Hartalega Holdings B
Life Healthcare Grp
Qualicorp Cons E
Top Glove Corp Bhd
Changchun High & New
China Medical System
China Shineway Pharm
Dr Reddys Labs ADR
Sihuan Pharmaceutica
Sino Biopharmaceutic
YiChang HEC ChangJia
*************
*************
*************
*************
*************
China
Malaysia
South Africa
Brazil
Malaysia
China
China
China
India
China
China
China
Country
Wellington Management Company LLP Page 8 of
Data last updated on: APR-30-2020
RMHLDETSCEQ 13
Banks
11,351,119
27,107
549,800
8,803,893
348,600
2,591,927
10,349,792
139,066
7,537,025
5,195,131
542,000
1,617,878
3,858,736
136,494
137,811
212,848
1,432,445
129,355
70,234
151,820
70,879
286,000
2,627,957
42,658
110,963
1,054,580
45,852
342,000
2,095,348
Security Shares orPar Value Unit Cost Unit Price Cost
Pct Asset Class YieldMarket Value
Water & Power Employees' Retirement Plan68H2USDQEM Emerging Markets QE
Holdings Detail by Sector-EquityMarch 31, 2020
0.439
38.454
2.847
0.475
1.289
0.798
0.188
8.008
0.044
0.673
0.811
0.469
0.804
3.930
1.278
3.343
1.586
12.872
28.263
11.449
36.205
0.943
0.593
3.255
33.004
1.270
39.901
0.404
1.250
0.401
16.980
3.108
0.383
1.162
0.613
0.131
3.643
0.027
0.494
0.818
0.383
0.743
3.734
0.980
1.968
0.543
7.050
18.976
6.161
28.381
0.937
0.347
2.627
28.899
1.086
23.494
0.365
1.013
4,986,837
1,042,373
1,565,179
4,181,898
449,510
2,067,689
1,946,712
1,113,682
328,888
3,497,772
439,500
758,994
3,103,296
536,460
176,109
711,452
2,271,413
1,665,027
1,985,040
1,738,256
2,566,205
269,832
1,557,745
138,871
3,662,213
1,339,441
1,829,562
138,088
2,618,262
4,554,565
460,277
1,708,832
3,373,487
405,246
1,588,416
1,351,628
506,640
202,404
2,567,102
443,340
619,941
2,867,579
509,641
135,067
418,957
777,818
911,953
1,332,735
935,351
2,011,640
268,112
912,888
112,070
3,206,677
1,144,903
1,077,231
124,964
2,122,963
1.75
0.18
0.66
1.30
0.16
0.61
0.52
0.20
0.08
0.99
0.17
0.24
1.10
0.20
0.05
0.16
0.30
0.35
0.51
0.36
0.77
0.10
0.35
0.04
1.23
0.44
0.41
0.05
0.82
6.36
12.85
6.86
7.03
4.20
7.25
0.00
8.12
10.41
8.25
5.52
7.87
7.02
2.13
9.72
5.53
3.01
4.27
9.09
8.93
6.40
5.29
0.00
7.67
2.61
6.61
6.47
6.34
9.02
Pct Total
1.73
0.18
0.65
1.28
0.15
0.60
0.51
0.19
0.08
0.98
0.17
0.24
1.09
0.19
0.05
0.16
0.30
0.35
0.51
0.36
0.77
0.10
0.35
0.04
1.22
0.44
0.41
0.05
0.81
Account ID: Reporting Currency Code:
Portfolio Manager:
********
Agricult Bk China-H
Banco Macro Bansud
Bangkok Bank PCL
Bank Of China Ltd -H
Bank of Shanghai Co
Bk of Communications
Bk Tabungan
BNK Financial Group
BPD Jawa Timur TBK P
China Citic Bank -H
China Construction
China Everbright Ban
China Minsheng Bank
Commercial Intl Bk
Dubai Islamic Bank P
Emirates NBD PJSC
Federal Bank Lt RgSS
Grupo Fin GaliciaADR
Hana Financial Group
Industrial Bk Korea
KB Financial Group
King-s Town Bank
Krung Thai Bank -For
Natl Bk Of Abu Dhabi
OTP Bank Plc
RHB Bank Bhd
Shinhan Financial
SinoPac Financial Ho
Thanachart Capital P
*************China
Argentina
Thailand
China
China
China
Indonesia
South Korea
Indonesia
China
China
China
China
Egypt
United Arab Emirates
United Arab Emirates
India
Argentina
South Korea
South Korea
South Korea
Taiwan
Thailand
United Arab Emirates
Hungary
Malaysia
South Korea
Taiwan
Thailand
Country
Wellington Management Company LLP Page 9 of
Data last updated on: APR-30-2020
RMHLDETSCEQ 13
Diversified Financials
Insurance
191,575
507,031
826,922
1,016,225
2,909,071
1,630,717
1,731,613
158,678
29,683
4,507,397
1,545,363
3,752,338
375,060
1,045,689
148,612
16,661
74,306
5,328,965
601,000
3,188,376
1,712,639
182,700
Security Shares orPar Value Unit Cost Unit Price Cost
Pct Asset Class YieldMarket Value
Water & Power Employees' Retirement Plan68H2USDQEM Emerging Markets QE
Holdings Detail by Sector-EquityMarch 31, 2020
2.787
1.825
0.987
0.996
0.194
0.800
1.261
11.507
11.051
0.353
0.659
0.186
1.459
1.285
4.520
59.507
3.685
0.513
1.495
0.414
1.142
3.702
2.125
1.234
0.762
0.716
0.143
0.704
0.825
6.284
6.922
0.190
0.485
0.126
1.137
0.915
1.903
40.867
1.923
0.514
1.242
0.330
0.968
2.597
533,946
925,286
816,071
1,011,666
563,941
1,304,421
2,183,169
1,825,933
328,019
1,590,266
1,018,414
699,795
547,303
1,343,768
671,711
991,443
273,810
2,734,589
898,791
1,319,778
1,955,817
676,335
407,172
625,494
629,892
727,830
414,935
1,148,140
1,428,581
997,155
205,456
854,852
749,663
474,434
426,266
956,526
282,829
680,893
142,912
2,740,122
746,244
1,053,070
1,657,200
474,521
0.16
0.24
0.24
0.28
0.16
0.44
0.55
0.38
0.08
0.33
0.29
0.18
0.16
0.37
0.11
0.26
0.06
1.06
0.29
0.41
0.64
0.18
11.11
0.00
0.00
0.00
0.00
0.00
3.05
9.15
0.00
7.63
4.65
1.35
4.41
0.00
13.59
5.83
0.00
4.18
5.33
4.95
6.72
1.15
Total Banks
Total Diversified Financials
57,850,739
10,199,119
43,031,624
7,513,953
16.57
2.89
5.71
4.23
Pct Total
0.15
0.24
0.24
0.28
0.16
0.44
0.54
0.38
0.08
0.33
0.29
0.18
0.16
0.36
0.11
0.26
0.05
1.04
0.28
0.40
0.63
0.18
16.37
2.86
Account ID: Reporting Currency Code:
Portfolio Manager:
********
********
********
********
********
Tisco Fincl Group
Turkiye Garanti Bk
Turkiye Halk Bankasi
Turkiye Is Bankasi C
Turkiye Sinai Kalkin
Turkiye Vakiflar Ban
VTB Group RgSS
Woori Fincl Grp Inc
B3 SA Brasil Bolsa
China Cinda Asset-H
China Galaxy Sec-H
China Huarong Asset
Haci Omer Sabanci
Haitong Securities-H
Investec Ltd
Korea Investments Ho
Ninety One Ltd
Yuanta Financial Hld
Fubon Financial Hldg
People's Insurance-H
PICC Property & C-H
Qualitas Controlador
*************
*************
*************
*************
*************
Thailand
Turkey
Turkey
Turkey
Turkey
Turkey
Russia
South Korea
Brazil
China
China
China
Turkey
China
South Africa
South Korea
South Africa
Taiwan
Taiwan
China
China
Mexico
Country
Wellington Management Company LLP Page 10 of
Data last updated on: APR-30-2020
RMHLDETSCEQ 13
Information Technology
Software & Services
Technology Hardware & Equipment
Semiconductors,Semiconductor Eqpmt
189,849
995,374
52,894
517,076
254,000
603,857
9,672
181,858
38,000
11,606
321,533
678,487
9,816
329,000
8,139
Security Shares orPar Value Unit Cost Unit Price Cost
Pct Asset Class YieldMarket Value
Water & Power Employees' Retirement Plan68H2USDQEM Emerging Markets QE
Holdings Detail by Sector-EquityMarch 31, 2020
7.936
3.768
54.538
1.308
3.688
2.425
123.434
1.558
10.634
32.332
35.484
0.755
23.375
1.005
25.677
8.210
3.100
42.980
1.033
3.155
1.637
93.646
1.366
9.093
21.481
39.225
1.058
23.213
0.880
17.785
1,506,681
3,751,013
2,884,713
676,170
936,665
1,464,202
1,193,853
283,275
404,098
375,245
11,409,214
512,213
229,445
330,535
208,985
1,558,660
3,085,659
2,273,384
534,320
801,270
988,407
905,744
248,359
345,552
249,309
12,611,986
717,940
227,860
289,384
144,748
0.60
1.19
0.88
0.21
0.31
0.38
0.35
0.10
0.13
0.10
4.86
0.28
0.09
0.11
0.06
2.97
0.45
0.00
3.84
2.62
6.47
0.26
7.75
3.82
1.91
2.97
3.44
0.48
6.77
1.62
Total Financials 72,900,580
Total Insurance
Total Software & Services
Total Technology Hardware & Equipment
4,850,722
8,142,407
17,484,378
54,476,613
3,931,036
6,917,704
17,630,747
20.98
1.51
2.66
6.79
5.48
5.31
0.87
3.09
Pct Total
0.59
1.17
0.86
0.20
0.30
0.38
0.34
0.09
0.13
0.09
4.80
0.27
0.09
0.11
0.06
20.72
1.50
2.63
6.71
Account ID: Reporting Currency Code:
Portfolio Manager:
********
********
********
********
********
********
********
********
********
Infosys Tech Ltd ADR
Wipro Ltd-ADR
WNS Hldgs Ltd ADR
Compeq Manufacturing
FLEXium Interconnect
Foxconn Technology
LG Innotek Co Ltd
Lite-On Technology
Lotes Co Ltd
Mcnex Co Ltd
Samsung Electronics
Unimicron Technology
Wiwynn Corp
ChipMOS Technologies
Dongbu HiTek Co Ltd
*************
*************
*************
*************
*************
India
India
India
Taiwan
Taiwan
Taiwan
South Korea
Taiwan
Taiwan
South Korea
South Korea
Taiwan
Taiwan
Taiwan
South Korea
Country
Wellington Management Company LLP Page 11 of
Data last updated on: APR-30-2020
RMHLDETSCEQ 13
Communication Services
Telecommunication Services
251,000
686,865
145,969
96,237
141,000
83,000
846,038
178,339
791,758
3,707,529
97,574
72,183
4,974,701
67,030
11,600
205,497
100,422
14,222
6,591
83,900
474,375
Security Shares orPar Value Unit Cost Unit Price Cost
Pct Asset Class YieldMarket Value
Water & Power Employees' Retirement Plan68H2USDQEM Emerging Markets QE
Holdings Detail by Sector-EquityMarch 31, 2020
3.044
0.913
10.041
6.188
4.910
3.767
2.528
5.107
6.369
0.499
9.156
7.227
0.759
14.339
13.499
7.228
8.108
22.209
139.191
12.982
2.897
2.774
1.000
10.829
5.688
4.646
2.840
2.612
7.225
9.060
0.451
8.713
6.125
0.577
12.048
7.780
7.600
7.049
22.198
145.398
9.534
2.398
764,113
627,297
1,465,605
595,505
692,376
312,621
2,139,197
910,805
5,042,638
1,848,425
893,411
521,651
3,775,613
961,164
156,593
1,485,378
814,223
315,854
917,406
1,089,174
1,374,447
696,358
687,058
1,580,770
547,353
655,077
235,759
2,210,109
1,288,530
7,173,642
1,673,454
850,181
442,105
2,868,946
807,573
90,248
1,561,777
707,923
315,703
958,317
799,918
1,137,783
0.27
0.26
0.61
0.21
0.25
0.09
0.85
0.50
2.76
0.64
0.33
0.17
1.10
0.31
0.03
0.60
0.27
0.12
0.37
0.31
0.44
7.75
5.29
2.75
5.12
3.75
5.24
8.86
3.20
3.47
5.50
2.66
3.65
3.62
4.23
5.12
9.56
4.95
6.64
5.65
0.00
0.00
Total Information Technology 41,458,300
Total Semiconductors,Semiconductor Eqpmt
Total Telecommunication Services
15,831,514
11,411,503
42,580,872
18,032,421
9,690,292
16.40
6.94
3.73
3.35
4.55
4.32
Pct Total
0.26
0.26
0.60
0.21
0.25
0.09
0.84
0.49
2.73
0.64
0.32
0.17
1.09
0.31
0.03
0.59
0.27
0.12
0.36
0.30
0.43
16.20
6.86
3.69
Account ID: Reporting Currency Code:
Portfolio Manager:
********
********
********
********
********
********
Elan Microelectronic
King Yuan Electronic
MediaTek Inc
Novatek Microelect
Pixart Imaging Inc
Powertech Technology
Radiant Opto-Electro
Realtek Semiconductr
Taiwan Semiconductor
United Micro Electrs
Win Semiconductors C
Advanced Info Frgn
China Unicom HK Ltd
Hellenic Telec
Kt Corp-Sp ADR
Mobile Telesys ADR
PLAY Communications
PLDT Inc
SK Telecom Co Ltd
Telefonica Brasil SA
Tim Participacoes SA
*************
*************
*************
Taiwan
Taiwan
Taiwan
Taiwan
Taiwan
Taiwan
Taiwan
Taiwan
Taiwan
Taiwan
Taiwan
Thailand
China
Greece
South Korea
Russia
Poland
Philippines
South Korea
Brazil
Brazil
Country
Wellington Management Company LLP Page 12 of
Data last updated on: APR-30-2020
RMHLDETSCEQ 13
Utilities
Media & Entertainment
Utilities
6,972
39,224
235,000
23,822
3,524,908
4,354
11,060
209,877
410,100
378,600
54,900
125,483
10,067,202
180,700
205,901
169,755
Security Shares orPar Value Unit Cost Unit Price Cost
Pct Asset Class YieldMarket Value
Water & Power Employees' Retirement Plan68H2USDQEM Emerging Markets QE
Holdings Detail by Sector-EquityMarch 31, 2020
131.313
69.016
0.772
9.273
0.089
565.558
282.484
32.506
3.988
5.173
17.422
10.483
0.198
5.855
7.728
7.219
100.790
69.604
0.597
18.253
0.055
535.590
320.960
49.052
4.608
3.658
10.315
7.039
0.123
3.393
6.080
4.980
915,512
2,707,076
181,310
220,904
315,293
2,462,440
3,124,277
6,822,328
1,635,581
1,958,425
956,492
1,315,386
1,992,371
1,057,965
1,591,153
1,225,458
702,708
2,730,145
140,377
434,824
195,588
2,331,957
3,549,818
10,294,964
1,889,600
1,384,730
566,296
883,266
1,235,486
613,180
1,251,878
845,404
0.27
1.05
0.05
0.17
0.08
0.90
1.37
3.96
0.73
0.53
0.22
0.34
0.48
0.24
0.48
0.33
0.00
0.36
6.61
4.53
1.66
0.80
2.14
0.32
0.92
0.00
5.32
2.81
1.32
1.08
9.47
0.00
Total Communication Services
Total Utilities
29,796,224
10,097,251
Total Media & Entertainment
Total Utilities
18,384,721
10,097,251
31,960,274
6,780,240
22,269,982
6,780,240
12.31
2.61
8.58
2.61
1.89
2.90
0.84
2.90
Pct Total
0.27
1.04
0.05
0.17
0.07
0.89
1.35
3.92
0.72
0.53
0.22
0.34
0.47
0.23
0.48
0.32
12.16
2.58
8.47
2.58
Account ID: Reporting Currency Code:
Portfolio Manager:
********
********
********
********
********
********
********
********
********
Baidu Inc - Spon ADR
CD Projekt SA
IGG Inc
International Games
Media Nusantara Citr
NCsoft Corp
Netease.com Inc ADR
Tencent Holdings Ltd
Wuhu Sanqi Interact
Cia Transmiss En-Pfd
COPEL Pref B
Electricity Gen Frgn
Enel Americas SA
Equatorial Energ-Ord
Gail India Limi RgSS
Transmissora Alianca
*************
*************
*************
*************
China
Poland
China
Taiwan
Indonesia
South Korea
China
China
China
Brazil
Brazil
Thailand
Chile
Brazil
India
Brazil
Country
Wellington Management Company LLP Page 13 13of
Data last updated on: APR-30-2020
RMHLDETSCEQ
Pooled Vehicle
Real Estate
Real Estate
128,473
174,800
296,900
477,200
869,437
227,054
2,603,203
728,196
187,890
5,190,941
Security Shares orPar Value Unit Cost Unit Price Cost
Pct Asset Class YieldMarket Value
Water & Power Employees' Retirement Plan68H2USDQEM Emerging Markets QE
Holdings Detail by Sector-EquityMarch 31, 2020
31.038
5.852
1.105
4.010
0.581
1.433
1.408
1.692
2.222
0.156
24.110
5.129
0.824
1.924
0.586
0.604
0.792
1.988
2.098
0.181
3,987,499
1,022,851
328,165
1,913,791
504,744
325,339
3,664,125
1,231,909
417,498
809,767
3,097,484
896,479
244,631
918,223
509,263
137,228
2,062,877
1,447,516
394,166
937,609
1.19
0.35
0.09
0.35
0.20
0.05
0.79
0.56
0.15
0.36
1.45
0.00
6.67
9.11
5.62
6.76
0.00
4.26
3.36
7.29
Total Equities 294,742,595
Total Pooled Vehicle
Total Real Estate
3,987,499
10,218,190
Total Real Estate 10,218,190
259,670,062
3,097,484
7,547,992
7,547,992
1.19
2.91
2.91
3.53
1.45
3.72
3.72
Total Assets 297,955,727 262,889,660
Pct Total
1.18
0.34
0.09
0.35
0.19
0.05
0.78
0.55
0.15
0.36
98.78
1.18
2.87
2.87
100.00 3.50
Account ID: Reporting Currency Code:
Portfolio Manager:
********
********
********
********
********
********
iShares MSCI India I
Aliansce Sonae Shop
Barwa Real Estate Co
BR Malls Participaco
China Overseas Grand
Emaar Properties pjs
Fibra Uno Administra
Gemdale Corp-A
Poly Dev and Hldgs
Yuexiu Property Co
********
*************
*************
*************
*************
Market Value for Fixed Income and Cash Equivalents includes estimated Accrued Interest.Yield number represents Dividend Yield for Equity Securities and Yield to Maturity for Fixed Income Securities.Yield totals are market value weighted averages.* Indicates a non-zero value that rounds to zero.The prices that are provided are indicative prices based on best available market information. All prices are provided in accordance with our Pricing Policy and should not be considered transactionprices to which a security could necessarily be entered into or liquidated. Clients and Custodian banks should independently price these securities and use WMC's recommended prices forinformational and/or reconciliation purposes only.This information is confidential and the recipient agrees to use this information solely for the lawful and appropriate purpose(s) intended by the parties.
Wellington Management Company LLP (WMC) is an independently owned investment adviser registered with the US Securities and Exchange Commission (SEC). WMC is also registered with the US Commodity Futures Trading Commission (CFTC) as a commodity trading advisor (CTA) and serves as a CTA to certain clients including registered commodity pools and their operators. WMC provides commodity trading advice to all other clients in reliance on exemptions from CTA registration. WMC, along with its affiliates (collectively, Wellington Management), provides investment management
and investment advisory services to institutions around the world. Located in Boston, Massachusetts, Wellington Management also has offices in Chicago, Illinois; Radnor, Pennsylvania; San Francisco, California; Beijing; Frankfurt; Hong Kong; London; Luxembourg; Singapore; Sydney; Tokyo; Toronto; and Zurich. This material is prepared for, and authorized for internal use by, designated institutional and professional investors and their consultants or for such other use as may be authorized by Wellington Management. This material and/or its contents are current at the time of writing
and may not be reproduced or distributed in whole or in part, for any purpose, without the express written consent of Wellington Management. This material is not intended to constitute investment advice or an offer to sell, or the solicitation of an offer to purchase shares or other securities. Investors should always obtain and read an up-to-date investment services description or prospectus before deciding whether to appoint an investment manager or to invest in a fund. Any views expressed herein are those of the author(s), are based on available information, and are subject to change without
notice. Individual portfolio management teams may hold different views and may make different investment decisions for different clients.
In Canada, this material is provided by Wellington Management Canada ULC, British Columbia unlimited liability company registered in the provinces of Alberta, British Columbia, Manitoba, New
Brunswick, Newfoundland and Labrador, Nova Scotia, Ontario, Prince Edward Island, Quebec, and Saskatchewan in the categories of Portfolio Manager and Exempt Market Dealer. In Europe (ex. Austria, Germany and Switzerland), this material is provided by Wellington Management International Limited (WMIL), a firm authorized and regulated by the Financial Conduct Authority (FCA in the UK). This material is directed only at persons (Relevant Persons) who are classified as eligible counterparties or professional clients under the rules of the FCA. This material must not be acted on or
relied on by persons who are not Relevant Persons. Any investment or investment service to which this material relates is available only to Relevant Persons and will be engaged in only with Relevant Persons. In Austria and Germany, this material is provided by Wellington Management Europe GmbH, which is authorized and regulated by the German Federal Financial Supervisory Authority (Bundesanstalt für Finanzdienstleistungsaufsicht - BaFin). This material is directed only at persons (Relevant Persons) who are classified as eligible counterparties or professional clients under the
German Securities Trading Act. This material does not constitute investment advice, a solicitation to invest in financial instruments or information recommending or suggesting an investment strategy within the meaning of Section 85 of the German Securities Trading Act (Wertpapierhandelsgesetz). In Hong Kong, this material is provided to you by Wellington Management Hong Kong Limited (WM Hong Kong), a corporation licensed by the Securities and Futures Commission to conduct Type 1 (dealing in securities), Type 2 (dealing in futures contracts), Type 4 (advising on securities), and Type 9
(asset management) regulated activities, on the basis that you are a Professional Investor as defined in the Securities and Futures Ordinance. By accepting this material you acknowledge and agree that this material is provided for your use only and that you will not distribute or otherwise make this material available to any person. In Singapore, this material is provided for your use only by Wellington Management Singapore Pte Ltd (WM Singapore) (Registration Number 201415544E). WM Singapore is regulated by the Monetary Authority of Singapore under a Capital Markets Services Licence to
conduct fund management activities and is an exempt financial adviser. By accepting this material you represent that you are a non-retail investor and that you will not copy, distribute or otherwise make this material available to any person. In Australia, Wellington Management Australia Pty Ltd (WM Australia) (ABN19 167 091 090) has authorized the issue of this material for use solely by wholesale clients (as defined in the Corporations Act 2001). By accepting this material, you acknowledge and agree that this material is provided for your use only and that you will not distribute or
otherwise make this material available to any person. Wellington Management Company LLP is exempt from the requirement to hold an Australian financial services licence (AFSL) under the Corporations Act 2001 in respect of financial services provided to wholesale clients in Australia, subject to certain conditions. Financial services provided by Wellington Management Company LLP are regulated by the SEC under the laws and regulatory requirements of the United States, which are different from the laws applying in Australia. In Japan, Wellington Management Japan Pte Ltd (WM
Japan) (Registration Number 199504987R) has been registered as a Financial Instruments Firm with registered number: Director General of Kanto Local Finance Bureau (Kin-Sho) Number 428. WM Japan is a member of the Japan Investment Advisers Association (JIAA), the Investment Trusts Association, Japan (ITA) and the Type II Financial Instruments Firms Association (T2FIFA). WMIL, WM Hong Kong, WM Japan, and WM Singapore are also registered as investment advisers with the SEC; however, they will comply with the substantive provisions of the US Investment Advisers Act only
Additional performance informationPAST RESULTS ARE NOT NECESSARILY INDICATIVE OF FUTURE RESULTS. There can be no assurance nor should it be assumed that future investment performance of any strategy will conform to
any performance examples set forth in this material or that the portfolio’s underlying investments will be able to avoid losses. The investment results and any portfolio compositions set forth in this
material are provided for illustrative purposes only and may not be indicative of the future investment results or future portfolio composition. The composition, size of, and risks associated with an
investment in the strategy may differ substantially from the examples set forth in this material. An investment can lose value.
Impact of feesIllustration of impact of fees: If USD100,000 was invested and experienced a 10% annual return compounded monthly for ten years, its ending value, without giving effect to the deduction of advisory
fees, would be USD270,704 with an annualized compounded return of 10.47%. If an advisory fee of 0.95% of average net assets per year were deducted monthly for the ten-year period, the annualized
compounded return would be 9.43% and the ending USD value would be USD246,355. Information regarding the firm's advisory fees is available upon request.
Selection of representative accountThe current representative account became effective on 1 January 2020 because it was the least restrictive account at the time of selection. For data shown prior to the current representative account
effective date, data of the representative account(s) deemed appropriate for the time period was used. Further information regarding former representative accounts can be provided upon request. Each
client account is individually managed; individual holdings will vary for each account and there is no guarantee that a particular account will have the same characteristics as described. Actual results may
vary for each client due to specific client guidelines, holdings, and other factors. In limited circumstances, the designated representative account may have changed over time, for reasons including, but
not limited to, account termination, imposition of significant investment restrictions, or material asset size fluctuations.
Access productsIf access products are held by the portfolio they may not be included in the calculation of characteristic data. Access products are instruments used to gain access to equity markets not otherwise
available and may include (but are not limited to) instruments such as warrants, total return swaps, p-notes, or zero strike options.
Global Industry Classification Standard (GICS) changes S&P Dow Jones Indices and MSCI have broadened and renamed the Telecommunication Services Sector as Communication Services to include companies that facilitate communication and offer related
content and information through various media. These changes to Global Industry Classification Standard (GICS) are effective as of 1 October 2018 in the data shown. The new sector name applies
retroactively and therefore Communication Services will replace Telecommunications Services for all periods. Wellington Management data reflects changes in line with the official GICS update; however,
MSCI and S&P have elected to update their official index structures with different timing. Therefore, index data shown may differ from data obtained directly from the index vendors.
- Water and Power Employees’Retirement Plan _04 May 2020 A1 50
