PRESENTATION FOR LOS ANGELES DEPARTMENT OF WATER & … · 6/26/2019 · •Montgomery County ERS...

PRESENTATION FOR LOS ANGELES DEPARTMENT OF WATER & POWEREMPLOYEES’ RETIREMENT PLAN AND RETIREE HEALTH BENEFITS FUND

LACM Emerging Markets Fund L.P.May 2019

LEGAL DISCLOSURES

This publication is for general information purposes only and does not constitute an offer to sell any security. The investment processes described herein are illustrativeonly and are subject to change. This document is intended for sophisticated institutional and professional investors only and is delivered on an individual basis to therecipient and should not be passed on, used by any person or entity in any jurisdiction or country where such distribution or use would be contrary to local law orregulation, or otherwise distributed by the recipient to any other person or organization.

The Firm. Los Angeles Capital Management and Equity Research, Inc. (“Los Angeles Capital”) is an independent, employee owned investment advisory firm founded in2002, and registered with the SEC. Los Angeles Capital is an institutional adviser that offers global equity active management in both developed and emerging markets. LosAngeles Capital has a wholly-owned affiliate, LACM Global, Ltd., that is authorized and regulated by the Financial Conduct Authority in the UK.

Past Performance. Past performance is no guarantee of future results and diversification does not guarantee investment returns or eliminate the risk of loss. Moreover,wherever there is the potential for profit there is also the possibility of loss.

Risks. The strategies described herein have not been recommended by any securities or regulatory authority. Such authorities have not confirmed the accuracy ordetermined the adequacy of this presentation. Before embarking on any investment program, an investor should carefully consider the risks (including the risk of losingsome or all of the invested capital) and suitability of a strategy based on their own investment objectives and financial position. Equity investments entail equity risk andprice volatility risk. The value of stock and other equity securities will change based on changes in a company’s financial condition and on overall market and economicconditions.

Opinions and Statements. Any opinions expressed in this publication are current only as of the time made and are subject to change without notice. The Firm assumes noduty to update any such statements. There is no assurance that the investment objectives and/or trends will come to pass or be maintained. While information andstatistical data in this publication are based on sources believed to be reliable, Los Angeles Capital and its affiliates (collectively, the “Firm”), does not represent that it isaccurate or complete and should not be relied on as such or be the basis for an investment decision.

Client should compare this statement prepared by the Adviser to the account statement provided to the Client by their qualified custodian.

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TABLE OF CONTENTS

I. FIRM OVERVIEW

II. INVESTMENT PHILOSOPHY AND PROCESS

III. MARKET OVERVIEW

IV. PORTFOLIO AND PERFORMANCE

• PERFORMANCE REVIEW AND ATTRIBUTION• PORTFOLIO CHARACTERISTICS

V. APPENDIX

• HOLDINGS/ADDITIONAL ATTRIBUTIONS• BIOGRAPHIES

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| INTRODUCTION |

LOS ANGELES CAPITAL MANAGEMENT

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STRUCTURE

Founded in 2002, 100% employee

owned

Collaborative corporate culture,

celebrating diverse backgrounds and

perspectives

Long-term stability of professionals

BUSINESS

Global quantitative manager serving

institutional investors

Full range of equity capabilities across

style, size and regions

Strategic equity solutions tailored for

clients

INVESTMENTS

Dynamically adapts portfolios to

changing market conditions

Innovative research & enhancements

to the investment process

Utilizes team approach to promote

diversity of thought

FIRM OVERVIEW

| FIRM OVERVIEW |

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ASSETS UNDER MANAGEMENTMarch 31, 2019

15.1%

4.5%

28.4%5.0%

7.0%

40.0%

Emerging Markets$3.8 BN

U.S. All Cap$1.8 BNCoreDeep Value, Managed Volatility

U.S. Small/Mid Cap$1.1 BNCore, Growth, Value

U.S. Large Cap$10.1 BNCore, Growth, Value

Long/Short Active Extension$1.3 BNU.S., U.S. Value, EAFE, Developed World

Global$7.2 BNWorld, ACWI, ACWI ex U.S., EAFE, EuropeManaged Volatility

$25.3 BN

As of 3/31/2019; Global Assets include ACWI and Global Developed strategies. Active Extension includes U.S. & EAFE applications.* Total market value of the fund includes April 1st, 2019 fund withdrawal.

| FIRM OVERVIEW |

*LACM Emerging Markets Fund L.P Fund: $784.2mDWP Retirement Plan: $306.2m, 39%DWP Health Benefits Fund: $50.8m, 6.5%

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* Institutional Investors include: government and corporate pension plans, foundations, religious organizations, endowments, advised private funds, Taft-Hartley plans, proprietary accounts, and related private funds. Sub-advised funds includes sub-advised U.S. and non-U.S. mutual funds, UCITS and CITs. Diversified business and clients based on AUM. 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.As of 3/31/2019

REPRESENTATIVE CLIENT LIST

• State of Michigan Retirement Board• Oregon Public Employees Retirement Fund• Los Angeles Fire and Police Pension• North Dakota State Investment Board• Montgomery County ERS• Police and Fire Retirement System of the

City of Detroit• Florida State Board of Administration

PENSION FUNDS

• Vanguard• UBS• Principal• Wilshire• Christian Brothers• SEI• HSBC• Columbia Threadneedle• ICMA-RC• New Ireland Assurance

SUB-ADVISORY FUNDS

59% 41%

Institutional Investors* Sub-Advised Funds

71% 28%

U.S. Non-U.S.

Diversified ClientsDiversified Business

DEFINED CONTRIBUTION

ENDOWMENT & FOUNDATION

MULTI-EMPLOYER

DEFINED BENEFIT

| FIRM OVERVIEW |

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Thomas D. Stevens, CFAChairman & CEOPortfolio ManagementMBA, Univ. of Wisconsin43 Years Experience/17 With Firm

Hal W. Reynolds, CFAChief Investment OfficerPortfolio ManagementMBA, Univ. of Pittsburgh37 Years Experience/17 With Firm• Investment Committee Chair

Daniel E. Allen, CFAPresident Portfolio ManagementMBA, Univ. of Chicago 36 Years Experience/10 With Firm

Stuart K. MatsudaChief Trading OfficerTradingMBA, Cal State University Northridge 32 Years Experience/17 With Firm

Daniel Arche, CFAPortfolio ManagerBA, Univ. of Southern California13 Years Experience/12 With Firm

Christine KuglerDirector of ImplementationBA, Univ. of California at Santa Barbara26 Years Experience/17 With Firm

Laina Draeger, CFA Portfolio ManagerMBA, Univ. of San Francisco12 Years Experience/12 With Firm

Kristin Ceglar, CFA Portfolio ManagerBA, Harvard University14 Years Experience/14 With Firm

Charles Fann, CFADirector of Investment TechnologyBA, Univ. of California at Los Angeles16 Years Experience/15 With Firm

Edward Rackham, Ph.D.Co-Director of ResearchPhD, Oxford University14 Years Experience/8 With Firm

Bradford Rowe, CFACo-Director of ResearchMBA, Univ. of Wisconsin18 Years Experience/12 With Firm

BOARD OF DIRECTORS

RESEARCH TRADING

PORTFOLIO MANAGEMENT

INVESTMENT COMMITTEE

Extensive Experience and Diverse Perspectives

Consensus Driven

Oversees Model Enhancements

As of 3/31/2019. All Investment Committee members listed above are principals of Los Angeles Capital.

| FIRM OVERVIEW |

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BOARD OF DIRECTORS (4)

MANAGEMENT COMMITTEE (14)

ORGANIZATIONAL CHART

Relationship Management count includes two LACM Global employees

INVESTMENT COMMITTEE (11)

ADMINISTRATION (4)

RELATIONSHIP MANAGEMENT (8)

89 EmployeesMARCH 2019

PORTFOLIO MANAGEMENT (13)

RESEARCH (17)COMPLIANCE & LEGAL (7)

INFORMATIONTECHNOLOGY (22)

OPERATIONS (10) TRADING (8)

| FIRM OVERVIEW |

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Investor Preference Theory® states that investors seek stocks with:

INVESTMENT PHILOSOPHY

Improving fundamentals

We believe the key to generating consistent excess returns is constructing risk-controlled portfolios that

maintain exposures to all three attributes

Appropriate valuations

Characteristics favored in the current market environment

| INVESTMENT PHILOSOPHY AND PROCESS |

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Gather Inputs

Forecast Factors

Develop Alphas

Construct Portfolio

Execute Trades

Identify fundamental factors driving equity returns

Dynamic Alpha Stock Selection Technology

Proprietary attribution technology identifies and isolates recent factor prices

Forecast factor returns based on their level and stability2

3

Optimize portfolio to maximize returns subject to client guidelines, incorporating risk, uncertainty and cost

Rebalancing incrementally shifts positioning toward optimal portfolio resulting in repeatable buy/sell discipline

Portfolio Management and Trading

4

Proprietary trading process seeks best execution

5

Systematically develop individual stock “alphas” (expected excess return) reflecting most recent market information

1

INVESTMENT PROCESS OVERVIEW

Objective – Identify stocks with favorable characteristics in the current market environment

Objective – Construct portfolios that align holdings with model views and risk parameters


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INVESTOR PREFERENCESEmerging Markets Factor Inputs

Sectors Regions/CountriesBasic Materials Health Care Brazil Eastern Europe

Communication Services Industrials China Russia

Consumer Discretionary Real Estate South Korea South Africa

Consumer Staples Technology Taiwan Latin AmericaEnergy Utilities India AsiaFinance Mexico Middle East/Africa

FundamentalsValuation Earnings Market Financial Management

Earnings Yield Analyst Insight Market Cap Distress Earnings Quality

Book to Price Profitability News-Adjusted Residual Leverage Transcript Quality

Yield Torpedo One-Year Momentum *SuccessAppraisal Long-Term Growth Three-Year Momentum

*DDR Peer Momentum

Volatility

Market InsightsForward-looking factor returns

provide unique insights

Proprietary ResearchDesigned to identify factors valued by equity investors

This is representative of the EM Factor Inputs as of 3/31/2019; Factor lists may vary slightly by region and by market segment. Region composition - Asia: Indonesia, Malaysia, Philippines, Thailand.Eastern Europe: Czech Republic, Hungary, Poland. Latin America: Chile, Colombia, Peru. Middle East & Africa: Egypt , Greece, Turkey, UAE, Qatar*New factors.


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DYNAMIC RISK BUDGETING

PORTFOLIO CONSTRUCTION

RISK MANAGEMENT

Portfolio Optimized to Maximize Return &

Minimize Risk

Dynamic Alpha Stock Selection Model

Transaction Cost

Estimates

Uncertainty Estimates

Volatility and Correlation

Uncertainty TransactionCosts

Alpha InvestmentRisk


INVESTMENT GUIDELINES FOR WPERPPerformance Objective: 3% Risk Budget: 5%Country: +/-3% versus benchmark Sector: +/-3% versus benchmarkSecurity: +/-1.5% versus benchmark Region: +/-2% versus benchmarkMax 400 names No ex-benchmarkApprox. 60-85% annual turnover

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2019 RESEARCH GOALS

“Cloud-Based” Research Platform

Expand Machine Learning tools

Establish NoSQL databases

Incorporate DDRs in the DA model

Refine forecasting methods

Management “Success Factor”

ESG Enhanced Governance

Factors Sustainability Metric

INVESTMENT TECHNOLOGY

DYNAMIC ALPHA MODEL ENHANCEMENTS

Forward-looking estimates of: Idiosyncratic risk Systematic risk

Trading enhancement Refinement of proprietary

trading algorithms

RISK MANAGEMENT

These goals and enhancements are stated in good faith and are believed by the Firm to have a reasonable basis, but there can be no assurance that these goals or enhancements will be achieved or accomplished.


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*Factors shown are common across developed market models; U.S. regions represented by the US Large Cap Model and others by MSCI standard regional indices. The rows and columns represent the correlation between each factor and region.

GLOBAL FACTOR ANALYSIS – ALPHA DRIVERSCorrelation Between Factors and Expected Returns*

March 31, 2019

+

_

LEGEND

U.S. Europe Japan

Pacific ex

Japan

Emerging

Markets

Analyst Insight 0.15 0.48 0.39 0.52 0.33

Profitability 0.16 0.30 0.48 0.42 0.22

Torpedo -0.20 0.03 -0.28 -0.07 -0.06

Long Term Growth 0.07 -0.01 -0.20 -0.19 0.15

Market Cap 0.11 0.27 0.32 0.43 0.23

News Adjusted Residual -0.04 0.04 0.03 -0.06 -0.02

One Year Momentum 0.38 0.62 0.35 0.51 -0.09

Three Year Momentum 0.49 0.63 0.53 0.68 0.45

Peer Momentum 0.51 0.30 0.22 0.37 0.41

Volatility -0.07 -0.18 0.05 0.01 0.43

Distress -0.24 -0.26 -0.17 -0.37 -0.14

Leverage -0.64 -0.59 -0.53 -0.49 -0.25

Foreign Revenue 0.38 0.21

Pension Risk -0.40 -0.50

Earnings Yield -0.49 -0.11 -0.22 0.08 -0.07

Book to Price -0.29 -0.41 -0.68 -0.05 -0.48

Yield -0.29 -0.52 -0.49 -0.21 -0.13

Appraisal -0.61 -0.51 -0.46 -0.19 -0.20

Change in Shares 0.02 -0.04 -0.07 -0.17

Earnings Quality 0.42 0.57 0.51 0.41 0.39

Insider Buying -0.08

Short Sentiment -0.08 -0.15 -0.02 -0.21

Transcript Quality 0.20 0.18 0.21 0.22

Earn

ings

Mar

ket

Fin

anci

alV

alu

atio

nM

gmt

| MARKET OVERVIEW |

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MARKET REVIEWMarch 31, 2019

Data Source: Wilshire CompassIndex returns in USD

After a weak end to 2018, global equity markets gained in the first quarter of 2019, supported by optimism around trade talks between the U.S. and China and more accommodative behavior from central banks. The Russell 1000 Index rose 14% (in USD) for the quarter, with January being the more bullish month.

Growth stocks outperformed value stocks globally, and U.S. small cap growth was the top performer. All developed market sectors posted positive returns for the quarter and Industrials, Real Estate, Energy and Technology were the stronger performers while Financials and Health Care were weaker performers.

European equities were positive, supported by a moderate loosening of central bank monetary policy that has the potential to improve the Italian banking crisis. Although Japanese equities were positive in USD terms for the quarter they were modest in comparison to other regions, and the yen weakened against the U.S. dollar.

The MSCI Emerging Markets Index posted positive returns for the quarter, led by China, but was outperformed by the MSCI World Index. Asia ex Japan equities extended their year-to-date gains with all markets in the region ending higher, benefitting from the easing of U.S. – China trade tensions.

Government and corporate bond yields were up over the quarter while U.S. 10-year Treasury yields fell, and the VIX index ended the quarter below 14, significantly lower than from where it began the period at 25. The Goldman Sachs Commodity Index posted robust first quarter returns and its strong performance was supported by rising oil prices driven by cuts in OPEC production and U.S. sanctions on Venezuela.

March 1Q19 2018 2017 2016 2015One Year

Three Years

Five Years

Ten Years

U.S. Equities

Russell - 1000 Index 1.74 14.00 -4.78 21.69 12.05 0.92 9.30 13.52 10.63 16.05

Russell - 1000 Growth Index 2.85 16.10 -1.51 30.21 7.08 5.67 12.75 16.53 13.50 17.52

Russell - 1000 Value Index 0.64 11.93 -8.27 13.66 17.34 -3.83 5.67 10.45 7.72 14.52

Russell - Midcap Index 0.86 16.54 -9.06 18.52 13.80 -2.44 6.47 11.82 8.81 16.88

Russell - 2000 Index -2.09 14.58 -11.01 14.65 21.31 -4.41 2.05 12.92 7.05 15.36

Russell - 2000 Growth Index -1.35 17.14 -9.31 22.17 11.32 -1.38 3.85 14.87 8.41 16.52

Russell - 2000 Value Index -2.88 11.93 -12.86 7.84 31.74 -7.47 0.17 10.86 5.59 14.11

Russell - 3000 Index 1.46 14.04 -5.24 21.13 12.74 0.48 8.77 13.48 10.36 16.00

Russell - MicroCap Index -2.95 13.10 -13.08 13.17 20.37 -5.16 -2.36 12.29 5.03 14.97

Global Equities

MSCI - AC World Index ($Net) 1.26 12.18 -9.42 23.97 7.86 -2.36 2.60 10.67 6.45 11.98

MSCI - ACWI Minimum Volatility Index ($Net) 2.01 9.96 -1.56 17.93 7.43 2.76 9.04 9.01 9.02 12.47

MSCI - Emerging Markets Index ($ Net) 0.84 9.93 -14.58 37.28 11.18 -14.92 -7.41 10.68 3.68 8.94

MSCI - Emerging Markets Min Vol Index ($Net) 0.18 6.24 -5.78 26.73 3.90 -12.05 -1.84 7.82 3.40 10.87

MSCI - Emerging Markets Growth Index ($Net) 1.55 12.05 -18.26 46.79 7.60 -11.34 -9.52 11.75 5.04 9.98

MSCI - Emerging Markets Value Index ($Net) 0.12 7.85 -10.74 28.06 14.90 -18.57 -5.27 9.53 2.21 7.83

MSCI - World Index ($Net) 1.31 12.48 -8.71 22.39 7.51 -0.87 4.01 10.68 6.78 12.38

MSCI - World Min Vol Index ($Net) 2.07 10.59 -2.03 17.32 7.47 5.16 9.71 8.80 9.38 12.62

MSCI - World Growth Index ($Net) 2.40 14.81 -6.74 28.00 2.80 3.11 6.43 12.38 8.94 13.53

MSCI - World Value Index ($Net) 0.21 10.18 -10.78 17.09 12.33 -4.82 1.54 8.93 4.57 11.21

MSCI - World Ex USA Index ($Net) 0.51 10.45 -14.09 24.20 2.75 -3.04 -3.14 7.29 2.20 8.82

MSCI - EAFE Index ($Net) 0.63 9.98 -13.79 25.03 1.00 -0.81 -3.71 7.27 2.33 8.96

MSCI - Europe Index ($Net) 0.61 10.84 -14.86 25.50 -0.40 -2.84 -3.72 6.56 1.04 8.95

MSCI - Japan Index ($Net) 0.56 6.66 -12.88 23.98 2.38 9.57 -7.84 8.06 5.61 7.96

MSCI - Pacific Ex-Japan Index ($Net) 0.91 12.24 -10.30 25.88 7.85 -8.47 4.59 10.32 3.87 11.42

Global Fixed Income

Bloomberg Barclays - Global Agg. Bond Index 1.25 2.20 -1.20 7.39 2.09 -3.15 -0.38 1.49 1.04 3.05

Bloomberg Barclays - U.S. Aggregate Index 1.92 2.94 0.01 3.54 2.65 0.55 4.48 2.03 2.74 3.77

Bloomberg Barclays - U.S. High Yield Index 0.94 7.26 -2.08 7.50 17.13 -4.47 5.93 8.56 4.68 11.26

J.P. Morgan - EMBI + Index 1.10 6.15 -5.32 8.29 9.61 1.82 2.59 4.04 4.50 7.66

T-Bill 0.22 0.60 1.88 0.85 0.33 0.05 2.13 1.19 0.74 0.43

Currency

Euro Currency Return -1.39 -1.78 -4.80 13.84 -2.90 -10.23 -8.70 -0.49 -4.02 -1.68

Japanese Yen 0.57 -0.88 2.67 3.54 3.14 -0.33 -3.92 0.51 -1.43 -1.13

Pound Sterling -2.03 2.32 -5.85 9.47 -16.16 -5.48 -7.11 -3.21 -4.81 -0.95

MSCI - Emerging Markets Currency (USD) Index -0.42 1.62 -3.75 11.35 3.48 -7.06 -4.78 2.72 -0.02 2.40

Hedge Funds, Commodities & Real Estate

HFRX - Global Hedge Fund Index -0.17 2.60 -6.72 5.99 2.50 -3.64 -3.32 1.95 -0.30 1.74

S&P - GSCI Total Index 1.61 14.97 -13.82 5.77 11.37 -32.86 -3.04 6.18 -12.61 -3.38

Wilshire - Real Estate Securities Index 3.20 16.01 -4.80 4.84 7.62 4.81 19.29 5.77 9.33 18.90

ESG

ACWI ESG (Net) 1.17 11.79 -8.63 23.07 7.85 -2.25 3.00 10.33 6.49 12.38

Emerging Markets ESG (Net) 1.06 9.96 -14.99 40.37 13.39 -12.30 -7.40 11.51 6.11 12.62

MSCI - World ESG Index ($Net) 1.18 12.04 -7.77 20.98 7.25 -1.10 4.47 10.17 6.50 12.34

| MARKET OVERVIEW |

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RECENT MARKET ENVIRONMENTMSCI EMERGING MARKETS GROWTH VS VALUE RETURNS

-10%

-5%

0%

5%

10%

15%

20%

2009 2010 2011 2012 2013 2014 2015 2016 2017 2018 1Q19

Significant value/growth reversals.

| MARKET OVERVIEW |

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1.18

(0.79)(1.08)

(0.58)

0.63

(0.95) (0.92)

(1.87)

0.65

(0.57)

0.99

(0.65)

1.64 1.66

0.52

(2.50)

(2.00)

(1.50)

(1.00)

(0.50)

0.00

0.50

1.00

1.50

2.00

2.50

Fundamental Factor Return: VolatilityLA Capital EM Attribution Model -Monthly Factor Returns*

RECENT MARKET ENVIRONMENTVOLATILITY AND MOMENTUM PERFORMANCE

(0.12)(0.28)

0.47

(0.43)

0.63

(0.49)(0.76)

0.90 0.57

(0.96)(0.45)

(0.16)

(0.91)

(2.32)

(0.68)

(3.50)

(2.50)

(1.50)

(0.50)

0.50

1.50

2.50

Fundamental Factor Return: One Year MomentumLA Capital EM Attribution Model -Monthly Factor Returns*

Risk-on/risk-off trades

Notable Momentum unwind

| MARKET OVERVIEW |

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Attribution is daily linked returns.

RECENT MARKET ENVIRONMENTHIGHER CONCENTRATION AND THIN MARKET LEADERSHIP

| MARKET OVERVIEW |

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Portfolio is in compliance with the investment guidelines

Performance Objective: 3% & Risk Budget: 5%

Fee schedule: 65 bps

Investment in 24 EM countries (+-3% versus benchmark)

Broadly diversified by sector (+-3%) and security (+-1.5%)

Exposure to China A shares in advance of index inclusion

EMERGING MARKETS PORTFOLIO

Dynamic Alpha Model forecasts alpha for all MSCI EM stocks

Transaction cost advantage versus larger funds

Low turnover (60-85% per year)

Low correlation versus other managers

Primary driver of alpha is stock selection through

fundamental factors

| PORTFOLIO AND PERFORMANCE - DWP: LACM EMERGING MARKETS FUND |

Retirement Plan Health Benefits

Initial Contribution - (9/10/2012) $93,767,089.65 $32,626,860.00

Contribution - (10/1/2012) $102,342,121.47

Contribution - (9/30/2013) $13,621,790.54 $2,498,971.00

Contribution - (7/31/2015) $28,000,000.00 $4,000,000.00

Contribution - (1/12/2016) $2,000,000.00

Total Contributions $145,963,912.01 $6,498,971.00

Withdrawals $ - $ -

Total Withdrawals $ - $ -

Change in Market Value $66,439,900.94 $11,732,247.40

Market Value (3/31/2019) $306,170,902.60 $50,858,078.40

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PERFORMANCE SUMMARYMarch 31, 2019

9.6%

-8.4%

6.5%

9.9%

4.1%3.7%

9.4%

-8.7%

6.1%

9.4%

3.6% 3.2%

9.9%

-7.4%

7.6%

10.7%

3.7% 3.2%

-10.0%

-5.0%

0.0%

5.0%

10.0%

15.0%

1st Qtr. 2019 1 Year 2 Year 3 Year 5 Year Since Inception†

Portfolio (Gross) Portfolio (Net) MSCI Emerging Markets Index

† Performance since inception dateSee important Performance and Risk Disclosures at the end of this presentation. See important index disclosures at the end of this presentation.


EM Fund (Gross)

EM Fund (Net)

Composite(Net)

MSCI EM Index(Net)

EM Fund Excess Return (Net)

1Q18 9.6 9.4 9.0 9.9 -0.5

One Year -8.4 -8.7 -9.2 -7.4 -1.3

Two Year 6.5 6.1 5.7 7.6 -1.5

Three Year 9.9 9.4 9.1 10.7 -1.3

Five Year 4.1 3.6 3.2 3.7 -0.1

Since Inception * 3.7 3.2 3.6 3.2 0.1

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PERFORMANCE SUMMARYMarch 31, 2019

-15.67%

37.13%

12.11%

-15.10%

0.23%

-1.69%

6.52%

-14.57%

37.28%

11.19%

-14.92%

-2.19%-2.60%

5.58%

-20.0%

-10.0%

0.0%

10.0%

20.0%

30.0%

40.0%

50.0%

2018 2017 2016 2015 2014 2013 2012*

Portfolio Gross MSCI EM Index - Net Divs

NameParticipant

Market Value % of FundTotal Fund

Market ValuePerformance

Currency Inception Date†

LAEM – Emerging Markets Fund $357,028,981 37.4% $ 953,549,715 USD 9/30/2012

† Performance since inception dateSee important Performance and Risk Disclosures at the end of this presentation.


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FACTOR BASED ATTRIBUTION: FUNDAMENTALS3/30/2018 - 3/29/2019 (ANNUALIZED)*

Fundamental Factors:PortfolioExposure

BenchmarkExposure

NetExposure

FactorReturn

Mgmt.Cont.

ValuationAppraisal (0.08) (0.11) 0.03 3.26 0.15Book To Price 0.00 0.01 (0.02) (1.82) 0.00Yield 0.13 (0.02) 0.14 (1.50) (0.08)Earnings Yield 0.35 0.16 0.20 (2.69) (0.61)

(0.54)MarketOne Year Momentum 0.41 0.28 0.14 (3.75) 0.00News Adj Residual (0.14) 0.06 (0.20) 0.59 (0.01)Market Cap 1.53 1.51 0.02 2.02 (0.03)Peer Momentum (0.04) (0.04) 0.01 (3.60) (0.12)Volatility (0.24) (0.10) (0.14) 1.30 (0.46)Three Year Momentum 0.56 0.50 0.05 (2.33) (0.55)

(1.18)EarningsLong Term Growth (0.14) 0.19 (0.32) (1.44) 0.40Profitability 0.66 0.54 0.11 2.25 0.33Analyst Insight 0.18 (0.01) 0.19 (0.31) 0.11Torpedo (0.03) 0.05 (0.09) 1.38 (0.14)

0.70FinancialFinancial Risk (0.22) (0.20) (0.01) (0.15) 0.08

0.08ManagementEarnings Quality 0.52 0.17 0.35 1.08 0.30Transcript Quality (0.14) (0.20) 0.06 0.41 0.00

0.31

Total (0.64)

* Attribution versus MSCI Emerging Markets Index using d14EMSr2. Linked monthly; USD. Transaction costs not included in the calculation.See important index disclosures at the end of this presentation.


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FACTOR BASED ATTRIBUTION: SECTORS3/30/2018 - 3/29/2019 (ANNUALIZED)*

Sector Factors:Portfolio

(%)Benchmark

(%)Net(%)

FactorReturn

Mgmt.Cont.

Energy 10.08 7.75 2.33 17.37 0.42Consumer Discretionary 8.28 10.93 (2.65) (10.64) 0.26Health Care 2.59 2.93 (0.34) (18.39) 0.12Materials 9.69 7.60 2.09 6.90 0.12Communication Services 12.41 14.35 (1.95) (9.53) 0.09Industrials 5.81 5.34 0.46 (0.11) 0.08Utilities 3.17 2.51 0.65 5.86 0.00Information Technology 15.30 15.18 0.13 (4.86) (0.04)Consumer Staples 6.78 6.56 0.22 (0.32) (0.10)Real Estate 1.52 2.95 (1.43) 10.43 (0.19)Financials 24.38 23.89 0.49 4.70 (0.22)

Total 0.53



29

CONFIDENTIAL

Average Net

MSCI Company Name SEDOL Average Return Contrib Average Return Contrib Weight Contrib

Country Weight (%) Weight (%) Diff.

Top 10

TAIWN Hon Hai Precision Indus 643856 0.75 (37.67) (0.33) (0.75) 0.33

RUSSI Sberbank Of Russia 476798 0.68 (21.61) (0.19) (0.68) 0.19

CHINA Jd Com Inc BMM27D 0.04 28.19 0.05 0.41 (25.54) (0.13) (0.37) 0.17

RUSSI Tatneft Pjsc B59BXN 1.10 17.75 0.19 0.33 17.75 0.05 0.77 0.14

TAIWN Yageo Corp 698438 0.05 69.63 0.11 0.08 (28.84) (0.02) (0.04) 0.13

INDIA Hindustan Unilever Ltd 626167 0.65 22.12 0.18 0.30 22.12 0.05 0.36 0.13

BRAZL Bb Seguridade Participa B9N3SQ 0.49 16.28 0.11 0.10 (13.92) (0.02) 0.40 0.13

KOREA Posco 669323 0.40 (24.22) (0.10) (0.40) 0.10

RUSSI Mmc Norilsk Nickel Pjsc B5B1TX 0.70 25.99 0.14 0.22 25.99 0.05 0.47 0.09

RUSSI Severstal Public Joint B5B9C5 0.62 20.13 0.10 0.06 20.13 0.01 0.56 0.09

Bottom 10

CHINA Great Wall Motor Compan 671825 0.11 (39.31) (0.12) 0.04 (23.18) (0.01) 0.07 (0.11)

INDIA Axis Bank BPFJHC 0.30 43.34 0.11 (0.30) (0.11)

BRAZL Hypera Sa B2QY96 0.19 (17.07) (0.14) 0.05 (36.88) (0.03) 0.14 (0.11)

INDIA Tata Consultancy Servic B01NPJ 0.38 7.82 (0.00) 0.48 34.23 0.12 (0.10) (0.13)

TAIWN Hiwin Technologies Corp B1YMYT 0.20 (42.21) (0.15) 0.04 (38.11) (0.02) 0.16 (0.13)

TAIWN Catcher Technology 618666 0.53 (34.64) (0.21) 0.13 (34.64) (0.05) 0.40 (0.17)

CHINA Tencent Holdings Limite BMMV2K 5.03 (11.69) (0.79) 4.86 (11.69) (0.62) 0.17 (0.18)

BRAZL Ambev Sa BG7ZWY 1.08 (38.52) (0.43) 0.45 (38.52) (0.24) 0.63 (0.20)

RUSSI Oil Company Lukoil Pjsc B59SNS 0.64 36.77 0.20 (0.64) (0.20)

SAFR Aspen Pharmacare Hldgs B09C0Z 0.38 (49.05) (0.31) 0.11 (70.00) (0.10) 0.26 (0.21)

EM Portfolio MSCI EM Index

STOCK LEVEL CONTRIBUTION

* Attribution versus MSCI Emerging Markets Index. Linked monthly; USD.

3/30/2018 - 3/29/2019*


30

CONFIDENTIAL

FACTOR BASED ATTRIBUTION: FUNDAMENTALS9/28/2012 - 3/29/2019 (ANNUALIZED)*

Fundamental Factors:PortfolioExposure

BenchmarkExposure

NetExposure

FactorReturn

Mgmt.Cont.

ValuationBook To Price 0.14 0.09 0.05 1.21 (0.01)Yield 0.26 0.13 0.14 (0.06) (0.10)Earnings Yield 0.55 0.28 0.27 (0.56) (0.18)Appraisal 0.11 (0.03) 0.13 (1.10) (0.21)

(0.49)MarketOne Year Momentum 0.47 0.22 0.25 0.09 0.21Three Year Momentum 0.40 0.26 0.14 (0.27) 0.13Market Cap 1.23 1.36 (0.13) 0.23 0.06Peer Momentum 0.22 0.16 0.05 0.46 0.00Volatility (0.27) (0.20) (0.07) (1.29) 0.00News Adj Residual 0.01 0.07 (0.06) (0.68) (0.02)

0.38EarningsAnalyst Insight 0.38 0.12 0.25 3.25 0.87Profitability 0.52 0.44 0.08 1.07 0.15Long Term Growth (0.16) 0.11 (0.27) 0.17 0.02Torpedo 0.04 0.02 0.02 0.36 (0.06)

0.98FinancialFinancial Risk (0.14) (0.19) 0.05 2.24 0.20

0.20ManagementEarnings Quality 0.45 0.18 0.26 1.56 0.45Transcript Quality (0.05) (0.07) 0.02 (0.82) 0.01

0.46

Total 1.53



31

CONFIDENTIAL

FACTOR BASED ATTRIBUTION: SECTORS9/28/2012 - 3/29/2019 (ANNUALIZED)*

Sector Factors:Portfolio

(%)Benchmark

(%)Net(%)

FactorReturn

Mgmt.Cont.

Energy 8.74 8.85 (0.11) (0.58) 0.15Health Care 2.93 2.29 0.64 2.16 0.13Materials 7.89 8.03 (0.13) (0.99) 0.07Consumer Staples 6.74 7.81 (1.06) (2.12) 0.06Consumer Discretionary 8.46 9.69 (1.23) 0.12 0.05Industrials 6.36 6.18 0.18 (2.73) 0.01Real Estate 2.69 2.60 0.08 2.28 0.01Information Technology 19.26 18.52 0.74 7.14 0.00Communication Services 7.41 8.38 (0.97) (5.48) 0.00Utilities 4.22 3.07 1.15 (2.55) (0.05)Financials 25.30 24.58 0.72 0.11 (0.13)

Total 0.31



32

CONFIDENTIAL

Average Net

MSCI Company Name SEDOL Average Return Contrib Average Return Contrib Weight Contrib

Country Weight (%) Weight (%) Diff.

Top 10

CHINA China Evergrande Group BD3DS6 0.12 324.32 1.60 0.10 1260.08 0.34 0.01 1.26

KOREA Hana Financial Group In B0RNRF 0.62 62.39 0.72 0.22 25.06 0.05 0.39 0.67

INDIA Hcl Technologies 629489 0.55 207.39 0.79 0.15 223.35 0.13 0.40 0.66

RUSSI Tatneft Pjsc B59BXN 0.72 152.87 0.93 0.23 152.87 0.28 0.49 0.65

BRAZL Petroleo Brasileiro Sa 268453 0.49 (31.93) 0.21 0.55 (24.71) (0.39) (0.07) 0.60

INDIA Sun Pharmaceuticals Ind 658248 0.29 125.68 0.55 0.21 7.03 (0.03) 0.08 0.59

CHINA Longfor Group Hldgs Ltd B56KLY 0.20 170.54 0.62 0.06 180.50 0.09 0.14 0.54

INDIA Vedanta Limited 613604 0.12 27.41 0.55 0.08 11.37 0.01 0.04 0.54

CHINA China Construction Bank B0LMTQ 1.89 64.60 1.21 1.54 64.60 0.68 0.36 0.53

CHINA Bank Of China Ltd B15456 1.15 37.60 1.02 0.90 68.68 0.50 0.25 0.52

Bottom 10

INDIA Reliance Industries 609962 0.23 75.02 0.32 0.59 159.03 0.79 (0.36) (0.46)

BRAZL Banco Do Brasil Sa 232859 0.15 (27.73) (0.38) 0.17 55.49 0.09 (0.02) (0.47)

CHINA China Petroleum & Chemi 629181 0.25 (2.27) (0.28) 0.49 50.88 0.21 (0.24) (0.49)

RUSSI Sberbank Of Russia 476798 0.10 (44.33) (0.36) 0.65 34.19 0.20 (0.54) (0.56)

INDIA Housing Development Fin 617190 0.03 (5.91) (0.02) 0.71 108.75 0.58 (0.68) (0.60)

KOREA Sk Hynix Inc 645026 0.68 90.04 0.00 0.57 243.38 0.69 0.11 (0.69)

RUSSI Oil Company Lukoil Pjsc B59SNS 0.76 23.03 (0.24) 0.63 110.90 0.47 0.13 (0.71)

BRAZL Banco Bradesco Sa B00FM5 0.70 (28.57) (0.42) 0.66 58.69 0.30 0.04 (0.72)

CHINA Ping An Insurance(Group B01FLR 0.36 90.96 0.23 0.67 228.76 1.01 (0.31) (0.79)

BRAZL Itau Unibanco Holdings B037HR 0.52 20.38 (0.30) 0.86 79.90 0.52 (0.34) (0.82)

EM Portfolio MSCI EM Index

STOCK LEVEL CONTRIBUTION

* Attribution versus MSCI Emerging Markets Index. Linked monthly; USD.

9/28/2012 - 3/29/2019*


33

CONFIDENTIAL

FUNDAMENTAL CHARACTERISTICSMarch 31, 2019

Holdings P/E P/B Yield% Beta5yr. EPS

Growth%Mkt Cap (millions)

1 yr. Momentum Leverage

Portfolio 378 13.64 1.68 2.89 1.01 13.43 $83,658 -0.41 43.03

MSCI Emerging Markets Index 1135 14.27 1.60 2.44 1.00 12.05 $85,113 2.54 53.69

See important index disclosures at the end of this presentation.


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4.0%

8.0%

12.0%

16.0%

20.0%

24.0%

28.0%

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Portfolio MSCI Emerging Markets Index

-3.0%-2.0%-1.0%0.0%1.0%2.0%3.0%

34

CONFIDENTIAL

ACTIVE FACTOR EXPOSURES*March 31, 2019

VALUATION

-0.4

-0.2

0.0

0.2

0.4

Appraisal Book To Price Earnings Yield Yield

MARKET

Market Cap News AdjResidual

One YearMomentum

PeerMomentum

Three YearMomentum

Volatility

3/31/2019 12/31/2018

EARNINGS

-0.6

-0.4

-0.2

0.0

0.2

0.4

0.6

AnalystInsight

Long TermGrowth

Profitability Torpedo

FINANCIAL

Distress Leverage

MANAGEMENT

Earnings Quality Transcript Quality

* Selected fundamental factors normalized, relative to MSCI Emerging Markets IndexSee important index disclosures at the end of this presentation.


35

CONFIDENTIAL

RISK CHARACTERISTICSMarch 31, 2019

TOP OVERWEIGHTS

COMPANY MCAP YIELD BETA %PORT %BENCH %OVER SECTOR COUNTRY

Fosun International $13,920 2.78 1.32 0.85 0.08 0.77 Industrials China

Ambev Sa $67,689 0.00 1.07 1.08 0.38 0.70 Consumer Staples Brazil

Formosa Petrochemical C $35,080 5.45 0.98 0.77 0.09 0.69 Energy Taiwan

Gas Authority Of India $11,664 2.06 0.82 0.75 0.07 0.67 Utilities India

Standard Bank Group Lim $19,840 5.24 0.97 0.96 0.31 0.64 Financials South Africa

Bb Seguridade Participa $13,493 5.55 1.05 0.72 0.09 0.63 Financials Brazil

Tatneft Pjsc $25,431 5.62 0.62 0.95 0.33 0.62 Energy Russia

Taiwan Semiconductor Ma $203,603 3.26 0.97 4.30 3.70 0.60 Information Technology Taiwan

China Merchants Port Hl $6,974 5.68 1.23 0.56 0.05 0.51 Industrials China

Picc Property & Casualt $24,878 3.07 1.09 0.64 0.15 0.49 Financials China

Portfolio versus MSCI Emerging Markets Index* Predicted Risk based on LA Capital Augmented model against MSCI Emerging Markets IndexPerformance is reported in USD. Realized Risk is based on portfolio returns of LAEM - Water and Power Employees' Retirement Plan (Retirement Plan) - 9/30/12 Gross and benchmark returns of MSCI EM Index - Net Divs.†Inception Date is 09/30/2012 . See important Performance and Risk Disclosures at the end of this presentation. See important index disclosures at the end of this presentation.See important index disclosures at the end of this presentation.


Predicted Risk*

1.09%

0.54% 0.35%

0.26%0.10%

0.83%

0.0%

0.5%

1.0%

1.5%

Realized Risk

1.78%1.56%

1.88% 1.88%

0.0%

0.5%

1.0%

1.5%

2.0%

2.5%

Realized 1 Yr TE Realized 3 Yr TE Realized 5 Yr TE Realized SI TE†

36

CONFIDENTIAL

| APPENDIX - HOLDINGS |

37

CONFIDENTIAL


38

CONFIDENTIAL


39

CONFIDENTIAL


40

CONFIDENTIAL


41

CONFIDENTIAL


42

CONFIDENTIAL


43

CONFIDENTIAL


44

CONFIDENTIAL


45

CONFIDENTIAL


46

CONFIDENTIAL


47

CONFIDENTIAL

FACTOR BASED ATTRIBUTION: COUNTRIES/CURRENCIES3/30/2018 - 3/29/2019 (ANNUALIZED)*

Country Factors:

Portfolio

(%)

Benchmark(%)

Net(%)

FactorReturn

Mgmt.Cont.

Greece 0.00 0.30 (0.30) (20.12) 0.10

China 30.85 31.22 (0.38) 1.15 0.06

Taiwan 12.52 11.55 0.97 6.04 0.05

Turkey 0.68 0.70 (0.02) (27.51) 0.05

Hungary 0.45 0.30 0.15 22.02 0.05

Thailand 2.96 2.39 0.57 (3.47) 0.02

Pakistan 0.00 0.06 (0.06) (24.36) 0.02

South Korea 13.86 14.41 (0.55) (4.69) 0.01

Egypt 0.00 0.13 (0.13) (10.76) 0.01

Poland 1.40 1.19 0.21 6.74 0.01

Russia 3.82 3.62 0.19 4.10 0.00

Czech Republic 0.35 0.18 0.17 4.80 0.00

India 8.34 8.70 (0.36) 3.22 (0.01)

Philippines 0.91 1.02 (0.12) (0.75) (0.02)

Chile 1.37 1.12 0.25 (3.56) (0.02)

Peru 0.64 0.42 0.23 1.81 (0.02)

Malaysia 2.89 2.40 0.50 (4.79) (0.03)

South Africa 6.10 6.35 (0.25) (2.92) (0.03)

United Arab Emirates 0.14 0.68 (0.54) 4.92 (0.03)

Colombia 0.32 0.44 (0.12) 21.00 (0.04)

Indonesia 1.91 2.07 (0.16) 0.89 (0.08)

Mexico 2.72 2.88 (0.15) (10.77) (0.12)

Brazil 7.63 6.95 0.68 4.55 (0.14)

Qatar 0.12 0.90 (0.78) 23.01 (0.15)

Total (0.31)


Currency Factors:

Portfolio

(%)

Benchmark(%)

Net(%)

FactorReturn

Mgmt.Cont.

Thailand 2.96 2.39 0.57 (1.47) 0.04

South Africa 6.10 6.35 (0.25) (17.88) 0.03

Euro 0.00 0.30 (0.30) (8.72) 0.03

Colombia 0.32 0.44 (0.12) (12.35) 0.01

Pakistan 0.00 0.06 (0.06) (18.06) 0.01

China 0.51 0.52 (0.01) (4.76) 0.01

South Korea 13.86 14.41 (0.55) (6.11) 0.01

Philippines 0.91 1.02 (0.12) (0.63) 0.00

Mexico 2.72 2.88 (0.15) (5.91) 0.00

United Arab Emirates 0.12 0.61 (0.50) 0.00 0.00

United States 6.91 8.71 (1.80) 0.00 0.00

Qatar 0.12 0.90 (0.78) 0.03 0.00

Hong Kong 24.27 22.98 1.29 (0.02) 0.00

Egypt 0.00 0.13 (0.13) 1.74 0.00

Russia 3.63 3.12 0.51 (12.51) (0.01)

Hungary 0.45 0.30 0.15 (11.41) (0.01)

Poland 1.40 1.19 0.21 (10.68) (0.01)

Czech Republic 0.35 0.18 0.17 (10.30) (0.01)

Malaysia 2.89 2.40 0.50 (5.27) (0.03)

Indonesia 1.91 2.07 (0.16) (3.33) (0.03)

Chile 1.37 1.12 0.25 (11.33) (0.06)

Taiwan 12.52 11.55 0.97 (5.41) (0.06)

India 8.34 8.70 (0.36) (5.87) (0.08)

Turkey 0.68 0.70 (0.02) (29.95) (0.08)

Brazil 7.63 6.95 0.68 (14.63) (0.22)

Total (0.46)

| APPENDIX - ATTRIBUTION|

48

CONFIDENTIAL

FACTOR BASED ATTRIBUTION: COUNTRIES/CURRENCIES9/28/2012 - 3/29/2019 (ANNUALIZED)*

Country Factors:

Portfolio

(%)

Benchmark(%)

Net(%)

FactorReturn

Mgmt.Cont.

Greece 0.05 0.32 (0.27) (18.23) 0.06

Peru 0.39 0.43 (0.04) 3.20 0.06

China 24.58 24.47 0.11 3.68 0.04

Hungary 0.34 0.26 0.08 6.45 0.03

Colombia 0.36 0.70 (0.34) (0.13) 0.03

Russia 4.23 4.31 (0.08) 1.21 0.01

South Korea 15.06 15.03 0.03 (2.22) 0.01

Turkey 1.76 1.37 0.39 (6.74) 0.01

Thailand 2.42 2.33 0.09 1.49 0.00

Pakistan 0.00 0.02 (0.02) (5.28) 0.00

South Africa 7.32 7.16 0.16 0.51 0.00

Taiwan 12.47 11.86 0.60 (0.53) 0.00

Morocco 0.01 0.01 0.00 (0.43) 0.00

Hong Kong 0.00 0.00 0.00 0.00 0.00

Czech Republic 0.24 0.21 0.03 (0.03) 0.00

United Arab Emirates 0.08 0.54 (0.46) (0.19) (0.01)

Malaysia 3.19 3.11 0.08 (1.70) (0.01)

Philippines 1.25 1.15 0.10 (1.81) (0.01)

Poland 1.78 1.41 0.38 (1.30) (0.01)

Chile 0.91 1.38 (0.46) 1.66 (0.01)

Egypt 0.08 0.19 (0.11) 8.53 (0.01)

Qatar 0.08 0.61 (0.53) 1.87 (0.01)

Mexico 4.29 4.26 0.03 (3.78) (0.02)

India 7.64 7.79 (0.15) 1.43 (0.02)

Brazil 9.18 8.59 0.59 (0.73) (0.03)

Indonesia 2.29 2.49 (0.19) (1.67) (0.06)

Total 0.05


Currency Factors:

Portfolio

(%)

Benchmark(%)

Net(%)

FactorReturn

Mgmt.Cont.

Colombia 0.36 0.70 (0.34) (8.40) 0.04Chile 0.91 1.38 (0.46) (5.39) 0.04Egypt 0.08 0.19 (0.11) (14.84) 0.02Malaysia 3.19 3.11 0.08 (4.35) 0.01Euro 0.05 0.32 (0.27) (2.92) 0.01Hungary 0.34 0.26 0.08 (3.87) 0.01Thailand 2.42 2.33 0.09 (0.47) 0.01Pakistan 0.00 0.02 (0.02) (4.43) 0.00Philippines 1.25 1.15 0.10 (3.48) 0.00China 0.08 0.08 0.00 (0.60) 0.00Qatar 0.08 0.61 (0.53) 0.00 0.00United Arab Emirates 0.06 0.48 (0.43) 0.00 0.00United States 3.27 4.58 (1.32) 0.00 0.00Peru 0.00 0.00 0.00 0.09 0.00Morocco 0.01 0.01 0.00 0.68 0.00South Korea 15.06 15.03 0.03 (0.32) 0.00Czech Republic 0.24 0.21 0.03 (2.44) 0.00Poland 1.78 1.41 0.38 (2.72) (0.01)Hong Kong 22.03 21.08 0.94 (0.19) (0.01)India 7.64 7.79 (0.15) (4.11) (0.01)Taiwan 12.47 11.86 0.60 (0.77) (0.02)Indonesia 2.29 2.49 (0.19) (5.93) (0.03)Mexico 4.29 4.26 0.03 (6.13) (0.03)Turkey 1.76 1.37 0.39 (16.16) (0.05)South Africa 7.32 7.16 0.16 (8.23) (0.06)Russia 3.85 3.52 0.33 (10.82) (0.09)Brazil 9.18 8.59 0.59 (9.53) (0.14)

Total (0.33)

| APPENDIX - ATTRIBUTION|

49

CONFIDENTIAL

THOMAS D. STEVENS, CFALos Angeles Capital – Chairman and CEO, Senior Portfolio Manager and PrincipalLACM Global, Ltd. – Chairman, CEO and Director

BBA University of Wisconsin, 1974 1986 - 2002 Wilshire Asset ManagementMBA University of Wisconsin, 1976 1980 - 1986 Wilshire Associates

1976 - 1980 National Bank of Detroit

Thomas Stevens is the Chairman, CEO, and Director of Los Angeles Capital and LACM Global, Ltd. Mr. Stevens is one of the firm’s founders and plays a key role in setting the firm’s strategic goals and overseeing all departments at Los Angeles Capital. As a senior portfolio manager, he is involved with the investment process and client servicing. He is a voting member of the Investment Committee and also serves on a number of the firm’s functioning committees.

Prior to the founding of Los Angeles Capital in 2002, Mr. Stevens was a Senior Managing Director and Principal at Wilshire Associates. Early in his 22 year career at Wilshire, he oversaw the Equity Services Division providing quantitative tools and services to over 120 investment management firms. For 16 years he ran Wilshire Asset Management, a division of the firm, delivering custom asset management solutions to large institutional investment organizations. Before joining Wilshire, Mr. Stevens worked for the National Bank of Detroit as a research analyst and later as a portfolio manager responsible for select major pension fund client relationships.

Mr. Stevens also serves on the Board of Directors for Los Angeles Capital Global Funds plc, a UCITS fund registered in Ireland. Additionally, he is on the Board for Special Olympics Southern California and serves on the Board for Proxy Parent Foundation providing financial services and personal support assistance to people with mental illness.

| APPENDIX - BIOGRAPHIES |

50

CONFIDENTIAL

HAL W. REYNOLDS, CFALos Angeles Capital - Chief Investment Officer, Senior Portfolio Manager and PrincipalLACM Global, Ltd.- Chief Investment Officer

BA University of Virginia, 1980 1998 - 2002 Wilshire Asset ManagementMBA University of Pittsburgh, 1982 1989 - 1998 Wilshire Associates

1982 - 1989 Mellon Bank

Hal Reynolds is the Chief Investment Officer of Los Angeles Capital and LACM Global, Ltd. As Chief Investment Officer and Chairman of Los Angeles Capital’s Investment Committee, Mr. Reynolds oversees the firm’s investment process. Since co-founding Los Angeles Capital in 2002, Mr. Reynolds has worked closely with the Research team to develop Investor Preference Theory®, the Dynamic Alpha Stock Selection Model®, and the Forward Attribution® process for developing forwarding looking expected factor returns. Working with the Research Directors, he develops the firm’s research goals and provides guidance on key projects to enhance the stock selection, portfolio construction, and trading processes. As a member of the Portfolio Review Committee, he works with senior members of the portfolio management team to establish key portfolio parameters for portfolio construction and rebalancing and developing procedures for monitoring and controlling portfolio risk.

Prior to Los Angeles Capital, Mr. Reynolds was a managing director and principal at Wilshire Associates. Mr. Reynolds joined the consulting division of Wilshire Associates in 1989 where he served as a senior consultant to large ERISA plans. He also designed Wilshire Compass, Wilshire’s asset allocation and manager optimization technology for plan sponsors. In 1996, Mr. Reynolds began consulting for Wilshire Asset Management where he helped develop the Dynamic Alpha Model, which developed into Los Angeles Capital’s Dynamic Alpha Stock Selection Model®, and other quantitative long/short applications for Wilshire Asset Management. In 1998, he joined Wilshire Asset Management as Chief Investment Officer.

Prior to joining Wilshire, Mr. Reynolds was a vice president at Mellon Bank where he was responsible for the design and management of Mellon’s portfolio analysis product for plan sponsors.

| APPENDIX - BIOGRAPHIES |

51

CONFIDENTIAL

DISCLOSURES•Los Angeles Capital Management and Equity Research, Inc. ("Los Angeles Capital") is an independent, employee owned investment advisory firm founded in 2002, and registered under the Investment Advisers Act of 1940. Los Angeles Capital is an institutional adviser that offers global equity active management in both developed and emerging markets. Total firm assets as of 03/31/2019: $25.2 billion USD.•EARLY TRACK RECORD - Prior to the establishment of the Firm, all investment decision makers were employed by Wilshire Associates, Incorporated, in the Wilshire Asset Management division. Therefore, allperformance results prior to April 2002 are from Wilshire Asset Management and have been linked to the current performance record of Los Angeles Capital.•Valuations are computed and performance is reported in US Dollars unless indicated otherwise.•PERFORMANCE-Performance may be presented both gross and net of fees. Net returns for strategies are net of the highest applicable investment management fee, non-reclaimable withholding taxes andtrading expenses, but gross of custodial fees. Net returns for representative accounts are net of the actual investment management fee for such account, non-reclaimable withholding taxes and trading expenses,but gross of custodial fees. Gross returns are gross of investment management and custodial fees but net of non-reclaimable withholding taxes and trading expenses except that, commencing January 1, 2011,the gross returns for Limited Partnerships managed by the Firm, are net of custodial expenses. For UCITS funds managed by the Firm in the strategy, net returns are net of the total expense ratio which includesmanagement and custodial expenses ("TER"). The gross returns on UCITS funds are calculated using daily net asset values and adding back the UCITS TER.•Performance and Risk Disclosures•The Fund(s) is valued daily based on trade date positions, accrued dividends, cash, and cash equivalents. Returns are calculated using a daily time-weighted rate of return that adjust for external cashflows. Daily returns are geometrically linked to calculate a portfolio return for the period. Returns reflect the reinvestment of dividends and other earnings.•The Fund(s) is benchmarked against an index but the extent to which the Fund's risk profile differs from the index may vary over time. The index presented is unmanaged. Information about the Index has beenobtained from published sources believed to be reliable but the Firm does not guarantee its completeness or accuracy.•Returns are impacted by economic conditions which may or may not persist into the future. The potential for profit is accompanied by the possibility of loss.•Additional information regarding the Firm's policies and procedures for valuing portfolios, calculating and reporting performance results is available upon request.•Unless otherwise noted, performance for periods greater than 1 year is annualized.•Trading expenses are the actual costs of buying and selling instruments.•Performance may be presented gross and/or net of fees as indicated. Fund returns were prepared by Brown Brothers Harriman. Gross Fund and investor level returns are gross of investment management feesbut net of non-reclaimable withholding taxes, trading expenses and custodial expenses. Net investor level returns were prepared by Los Angeles Capital and are net of the actual investment management fee,non-reclaimable withholding taxes, trading expenses and custodial fees. Annualized returns prepared by Los Angeles Capital may differ slightly from the annualized returns presented by the Fund's administrator,BBH on account of system methodologies used in annualizing returns. BBH's annualized returns are the official annualized returns.•MSCI-The MSCI information may only be used for your internal use, may not be reproduced or re-disseminated in any form and may not be used as a basis for or a component of any financial instruments orproducts or indices. None of the MSCI information is intended to constitute investment advice or a recommendation to make (or refrain from making) any kind of investment decision and may not be relied on assuch. Historical data and analysis should not be taken as an indication or guarantee of any future performance analysis, forecast or prediction. The MSCI information is provided on an “as is” basis and the user ofthis information assumes the entire risk of any use made of this information. MSCI, each of its affiliates and each other person involved in or related to compiling, computing or creating any MSCI information(collectively, the “MSCI Parties”) expressly disclaims all warranties (including, without limitation, any warranties of originality, accuracy, completeness, timeliness, non-infringement, merchantability and fitnessfor a particular purpose) with respect to this information. Without limiting any of the foregoing, in no event shall any MSCI Party have any liability for any direct, indirect, special, incidental, punitive,consequential (including, without limitation, lost profits) or any other damages. (www.msci.com)•RUSSELL/FTSE-London Stock Exchange Group plc and its group undertakings (collectively, the “LSE Group”). © LSE Group 2019. FTSE Russell is a trading name of certain of the LSE Group companies. “FTSE®” and“Russell®”, are trade marks of the relevant LSE Group companies and is/are used by any other LSE Group company under license. All rights in the FTSE Russell indexes or data vest in the relevant LSE Groupcompany which owns the index or the data. Neither LSE Group nor its licensors accept any liability for any errors or omissions in the indexes or data and no party may rely on any indexes or data contained in thiscommunication. No further distribution of data from the LSE Group is permitted without the relevant LSE Group company’s express written consent. The LSE Group does not promote, sponsor or endorse thecontent of this communication.•S&P-All S&P ® Indices are products of S&P Dow Jones Indices LLC or its affiliates (“SPDJI”) and has been licensed for use by Los Angeles Capital. SPDJI and its third party information providers make norepresentation regarding the information and the context from which it was drawn. Los Angeles Capital strategies and products are not sponsored, endorsed, sold or promoted by SPDJI.

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PRESENTATION FOR LOS ANGELES DEPARTMENT OF WATER & … · 6/26/2019 · •Montgomery County ERS...

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