HomeMy WebLinkAbout2020 05 14 Board of Trustees Regular Meeting Agenda
BOARD OF TRUSTEES | REGULAR MEETING | THURSDAY, MAY 14, 2020 | PAGE 1 OF 2
BOARD OF TRUSTEES
REGULAR MEETING AGENDA
THURSDAY, MAY 14, 2020 AT 5:30 PM
CITY HALL - COMMISSION CHAMBERS
1126 EAST STATE ROAD 434, WINTER SPRINGS, FLORIDA
CALL TO ORDER
Roll Call
Invocation
Pledge Of Allegiance
Approval Of The Agenda
AWARDS AND PRESENTATIONS
100. Not Used
INFORMATIONAL AGENDA
200. Not Used
PUBLIC INPUT
Anyone who wishes to speak during Public Input on any Agenda Item or subject matter will need to fill out a
“Public Input” form. Individuals will limit their comments to three (3) minutes, and representatives of groups
or homeowners' associations shall limit their comments to five (5) minutes, unless otherwise determined by
the City Commission.
CONSENT AGENDA
300. Approval of Minutes from the Thursday, February 13, 2020 Board Of Trustees
Regular Meeting
Attachments: Minutes
301. Approval of Minutes from the Thursday, April 23, 2020 Board Of Trustees
Special Meeting
Attachments: Minutes
PUBLIC HEARINGS AGENDA
400. Not Used
BOARD OF TRUSTEES | REGULAR MEETING | THURSDAY, MAY 14, 2020 | PAGE 2 OF 2
REGULAR AGENDA
500. Quarterly Investment Return Report From AndCo Consulting
Attachments: March Quarterly Report (Final)
501. Discussion on Capital Market Assumptions and Observations
Attachments Capital Market Assumptions and Observations
502. Discussion on Private Debt Review
Attachments Private Debt Review
503. Manager Review Discussion
Attachments Manager Review: Domestic Value
REPORTS
PUBLIC INPUT
Anyone who wishes to speak during Public Input on any Agenda Item or subject matter will need to fill out a
“Public Input” form. Individuals will limit their comments to three (3) minutes, and representatives of groups
or homeowners' associations shall limit their comments to five (5) minutes, unless otherwise determined by
the City Commission.
ADJOURNMENT
PUBLIC NOTICE
This is a Public Meeting, and the public is invited to attend and this Agenda is subject to change.
Please be advised that one (1) or more Members of any of the City's Advisory Boards and Committees
may be in attendance at this Meeting, and may participate in discussions.
Persons with disabilities needing assistance to participate in any of these proceedings should
contact the City of Winter Springs at (407) 327-1800 "at least 48 hours prior to meeting, a written
request by a physically handicapped person to attend the meeting, directed to the chairperson or
director of such board, commission, agency, or authority" - per Section 286.26 Florida Statutes.
“If a person decides to appeal any decision made by the board, agency, or commission with respect
to any matter considered at such meeting or hearing, he or she will need a record of the
proceedings, and that, for such purpose, he or she may need to ensure that a verbatim record of
the proceedings is made, which record includes the testimony and evidence upon which the appeal
is to be based” - per Section 286.0105 Florida Statutes.
CITY OF WINTER SPRINGS, FLORIDA
MINUTES
BOARD OF TRUSTEES
REGULAR MEETING
FEBRUARY 13, 2020
CALL TO ORDER
Chairperson David Withee called the Regular Meeting of Thursday, February 13, 2020
of the Board of Trustees to order at 5:44 pm in the Commission Chambers (City Hall,
1126 East State Road 434, Winter Springs, Florida 32708).
Roll Call:
Chairperson David Withee, present
Vice-Chairperson Barbara Watkins, present
Board Member Michael Blake, present
Board Member Stephen Krohn, absent
Assistant to the City Clerk, Tristin Motter, present
A moment of silence was followed by the Pledge of Allegiance.
No changes were made to the agenda.
REGULAR AGENDA – PART I
500. Election for Chairperson of the Board of Trustees for Calendar Year 2020
“I MAKE A MOTION TO HAVE DAVE [WITHEE] CONTINUE TO DO IT.” NOMINATION
BY VICE-CHAIRPERSON WATKINS. SECONDED BY BOARD MEMBER BLAKE. DISCUSSION.
VOTE: VICE-CHAIRPERSON WATKINS: AYE
CHAIRPERSON WITHEE: AYE
BOARD MEMBER BLAKE: AYE
MOTION CARRIED.
DAVID WITHEE WAS ELECTED CHAIRPERSON.
CITY OF WINTER SPRINGS, FLORIDA
MINUTES BOARD OF TRUSTEES REGULAR MEETING – FEBRUARY 13, 2020
PAGE 2 OF 4
PLANNING AND ZONING BOARD/LOCAL PLANNING AGENCY
REGULAR MEETING | WEDNESDAY, JUNE 5, 2019 | PAGE 2 OF 4
501. Election for Vice-Chairperson of the Board of Trustees for Calendar Year
2020
“I NOMINATE BARBARA WATKINS.” NOMINATION BY CHAIRPERON WITHEE. SECONDED BY BOARD MEMBER BLAKE. DISCUSSION.
VOTE: BOARD MEMBER BLAKE: AYE
CHAIRPERSON WITHEE: AYE VICE-CHAIRPERSON WATKINS: AYE
MOTION CARRIED.
BARBARA WATKINS WAS ELECTED VICE-CHAIRPERSON.
AWARDS AND PRESENTATIONS
100. Not Used
INFORMATIONAL AGENDA
200. Not Used
PUBLIC INPUT
Chairperson Withee opened “Public Input”.
No one spoke.
Chairperson Withee closed “Public Input”.
CONSENT AGENDA
300. Minutes from the Thursday, November 14, 2019 Board of Trustees Regular
Meeting
Chairperson Withee asked for a motion to approve the November 14, 2019 Meeting
Minutes.
CITY OF WINTER SPRINGS, FLORIDA
MINUTES BOARD OF TRUSTEES REGULAR MEETING – FEBRUARY 13, 2020
PAGE 3 OF 4
PLANNING AND ZONING BOARD/LOCAL PLANNING AGENCY
REGULAR MEETING | WEDNESDAY, JUNE 5, 2019 | PAGE 3 OF 4
“I MAKE A MOTION TO APPROVE THE MINUTES.” MOTION BY VICE-CHAIRPERSON WATKINS. SECONDED BY BOARD MEMBER BLAKE. DISCUSSION.
VOTE: CHAIRPERSON WITHEE: AYE
VICE-CHAIRPERSON WATKINS: AYE
BOARD MEMBER BLAKE: AYE
MOTION CARRIED.
PUBLIC HEARINGS AGENDA
400. Not Used
REGULAR AGENDA – Part II
502. Quarterly Investment Return Report from AndCo Consulting
Mr. Dave West, Senior Consultant, AndCo Consulting, 4901 Vineland Road, Suite 600,
Orlando, Florida discussed the investment environment over the last quarter and
expanded on numbers for various funds, cash flow, and asset allocation. Mr. West’s
recommendation was approval of the report with no changes.
“MOVE THE ACCEPTANCE OF THE REPORT WITH THE RECOMMENDATION OF NO
ACTION.” MOTION BY BOARD MEMBER BLAKE. SECONDED BY CHAIRPERSON
WITHEE. DISCUSSION.
VOTE:
BOARD MEMBER BLAKE: AYE CHAIRPERSON WITHEE: AYE
VICE-CHAIRPERSON WATKINS: AYE MOTION CARRIED.
600. REPORTS
No reports were given.
CITY OF WINTER SPRINGS, FLORIDA
MINUTES BOARD OF TRUSTEES REGULAR MEETING – FEBRUARY 13, 2020
PAGE 4 OF 4
PLANNING AND ZONING BOARD/LOCAL PLANNING AGENCY
REGULAR MEETING | WEDNESDAY, JUNE 5, 2019 | PAGE 4 OF 4
PUBLIC INPUT
Chairperson Withee opened “Public Input”.
No one spoke.
Chairperson Withee closed “Public Input”.
ADJOURNMENT
Chairperson Withee adjourned the Regular Meeting at 6:36 p.m.
RESPECTFULLY SUBMITTED:
_____________________________________
TRISTIN MOTTER
ASSISTANT TO THE CITY CLERK
NOTE: These Minutes were approved at the ____________________, 2020 Board of Trustees Regular Meeting.
CITY OF WINTER SPRINGS, FLORIDA
MINUTES
BOARD OF TRUSTEES
SPECIAL MEETING
APRIL 23, 2020
CALL TO ORDER
Chairperson David Withee called the Special Meeting of Thursday, April 23, 2020 of
the Board of Trustees to order at 5:31 pm in the Commission Chambers (City Hall, 1126
East State Road 434, Winter Springs, Florida 32708).
Roll Call:
Chairperson David Withee, present
Vice-Chairperson Barbara Watkins, present via telephone
Board Member Michael Blake, present
Board Member Stephen Krohn, present
Interim City Clerk Christian Gowan, present
A moment of silence was followed by the Pledge of Allegiance.
No changes were made to the agenda.
AWARDS AND PRESENTATIONS
100. Not Used
INFORMATIONAL AGENDA
200. Not Used
PUBLIC INPUT
Chairperson Withee opened “Public Input”.
No one spoke.
Chairperson Withee closed “Public Input”.
CITY OF WINTER SPRINGS, FLORIDA
MINUTES BOARD OF TRUSTEES SPECIAL MEETING – APRIL 23, 2020
PAGE 2 OF 3
PLANNING AND ZONING BOARD/LOCAL PLANNING AGENCY
REGULAR MEETING | WEDNESDAY, JUNE 5, 2019 | PAGE 2 OF 3
CONSENT AGENDA
300. Not Used
PUBLIC HEARINGS AGENDA
400. Not Used
REGULAR AGENDA
500. COVID-19/Pension Position Discussion
Mr. Shawn Boyle, City Manager discussed the current state of the pension plan and
projected general fund impacts.
Mr. Dave West, Senior Consultant, AndCo Consulting, 4901 Vineland Road, Suite 600,
Orlando, Florida discussed impacts of coronavirus related to other bear markets
since 2000 and then presented the expedited quarterly report.
Discussion followed on asset allocation, asset protection, and recommendations for
going forward.
“MOTION TO FOLLOW RECOMMENDATION FROM DAVID WEST AND ANDCO FOR
THE REDEMPTION COMING FROM AMERICAN CORE REALTY TO BRING OUR REAL
ESTATE ALLOCATION ABCK IN LINE WITH THE LONG-TERM TARGETS THAT AMOUNT TO ROUGHLY ONE MILLION DOLLARS” MOTION BY BOARD MEMBER
KROHN. SECONDED BY VICE-CHAIRPERSON WATKINS. DISCUSSION.
VOTE:
BOARD MEMBER KROHN: AYE
CHAIRPERSON WITHEE: AYE
VICE-CHAIRPERSON WATKINS: AYE
BOARD MEMBER BLAKE: AYE MOTION CARRIED.
Board Member Krohn asked that the Board look closely at the manager RBC at
the next meeting and that asset allocation be discussed. The Board was in
agreement.
CITY OF WINTER SPRINGS, FLORIDA
MINUTES BOARD OF TRUSTEES SPECIAL MEETING – APRIL 23, 2020
PAGE 3 OF 3
PLANNING AND ZONING BOARD/LOCAL PLANNING AGENCY
REGULAR MEETING | WEDNESDAY, JUNE 5, 2019 | PAGE 3 OF 3
600. REPORTS
No reports were given. PUBLIC INPUT
Chairperson Withee opened “Public Input”.
Mr. Kevin Cannon, P.O. Box 195698, Winter Springs, Florida thanked Board Members
for their service.
Chairperson Withee closed “Public Input”.
ADJOURNMENT
Chairperson Withee adjourned the Special Meeting at 7:36 p.m.
RESPECTFULLY SUBMITTED:
_____________________________________ CHRISTIAN GOWAN
INTERIM CITY CLERK
NOTE: These Minutes were approved at the ____________________, 2020 Board of Trustees Regular Meeting.
<CBDoc TenantId="2" EntityTypeId="3100" EntityId=”190" DocumentTypeId="1" EffectiveDate="03/31/2020" Interval="3" Description="Quarterly Report" />
Investment Performance Review
Period Ending March 31, 2020
Winter Springs General
Employees Plan and Trust
1st Quarter 2020 Market EnvironmentPage 1
Global risk asset class returns declined significantly during the 1st quarter of2020 due primarily to the COVID-19 (Coronavirus) pandemic. Both domesticand international equities experienced significant drawdowns as investorsmoved into perceived haven assets such as US Treasury bonds. Equitymarket volatility, as measured by the VIXIndex, reached its highest level sincethe Financial Crisis in 2008. Through the quarter, global economic growthturned negative as countries responded to the pandemic by shuttering theireconomies. In the US, as a result of the decision to institute social distancingand shelter-in-place orders, labor markets suffered significant losses asbusinesses closed or furloughed employees. Rising economic concernsresulted in swift action by the Federal Reserve (Fed) which cut its overnightlending rate to between 0% to 0.25%. Importantly, the US governmentresponded with a stimulus package consisting of forgivable loans and othershort-term benefits, that is designed to act as a bridge for the economy untilbusinesses can reopen. Within domestic equity markets, large cap stocksoutperformed small cap equities during the quarter with the S&P 500 Indexreturning -19.6% versus a -30.6% return for the small cap Russell 2000 Index.US equity returns over the 1-year period turned negative as a result of thedrawdown with large and mid-cap stocks returning -7.0% and -18.3%respectively, while small cap stocks fell -24.0%.International markets also posted negative returns for the 1st quarter. Similarto US markets, international returns were impacted by the Coronavirus anddeteriorating economic fundamentals. International returns also facedheadwinds from a strengthening US dollar (USD) which appreciated againstmost major currencies during the period. Developed markets outpacedemerging markets during the period with the MSCI EAFE Index falling -22.8%versus a -23.6% decline for the MSCI Emerging Markets Index. Bothdeveloping and emerging markets posted losses over the 1-year period,returning -14.4% and -17.7% respectively.As expected during periods of risingvolatility, high quality fixed incomeoutperformed equities during the 1st quarter as investors looked for relativesafety amid the equity market drawdown. The broad market BloombergBarclays Aggregate Index gained 3.1% as interest rates fell following risingconcerns related to the Coronavirus and central bank stimulus from the Fedand other global central banks. US Government bonds were the bestperforming securities for the 1st quarter returning 8.1%. Investment gradecorporate bonds suffered negative returns on concerns about economicgrowth prospects in the future. The bond market has meaningfullyoutperformed the equity market overthe trailing 1-year period with theBloomberg Barclays Aggregate posting a solid 8.9% return.Source: Investment MetricsThe Market EnvironmentMajor Market Index PerformanceAs of March 31, 20200.6%-3.6%2.8%1.7%8.1%3.1%-30.6%-27.1%-20.2%-20.9%-19.6%-23.6%-22.8%-23.4%-35.0% -25.0% -15.0% -5.0% 5.0%3-Month T-BillBbg Barclays Corp IGBbg Barclays MBSBbg Barclays US TIPSBbg Barclays US GovtBbg Barclays US AggRussell 2000Russell MidCapRussell 1000Russell 3000S&P 500MSCI Emerg MktsMSCI EAFEMSCI ACWxUSQuarter Performance2.3%5.0%7.0%6.8%13.1%8.9%-24.0%-18.3%-8.0%-9.1%-7.0%-17.7%-14.4%-15.6%-30.0% -20.0% -10.0% 0.0% 10.0% 20.0%3-Month T-BillBbg Barclays Corp IGBbg Barclays MBSBbg Barclays US TIPSBbg Barclays US GovtBbg Barclays US AggRussell 2000Russell MidCapRussell 1000Russell 3000S&P 500MSCI Emerg MktsMSCI EAFEMSCI ACWxUS1-Year PerformancePage 2
Source: Investment MetricsThe Market EnvironmentDomestic Equity Style Index PerformanceAs of March 31, 2020US equity returns were significantly lower during the 1st quarter with variedresults across both style and market capitalization. Concerns related to theCoronavirus, in combination with signs that the US economy could be enteringinto recession weighed on equities. Labor markets came under significantpressure during the quarter as companies began laying off employees inresponse to the government’s decision to mandate a shelter-in-place approachto dealing with the pandemic. In response to the deteriorating economicconditions, the Fed took unprecedented action on March 15th and lowered theFed Fund’s rate to between 0% to 0.25%. The Fed also announced that itwould be purchasing up to $500 billion in US Treasury bonds and $200 billionin mortgage-backed bonds. Subsequently, the Fed announced on March 23rdthat it would begin purchasing unlimited amounts of US Treasury andmortgage-backed bonds. This announcement was well received by investorsand marked the recent low in equity markets.During the quarter, higher market capitalization stocks were down less thanlower market capitalization stocks across the style spectrum. The large capRussell 1000 Index lost -20.2% during the period versus a -30.6% return forthe small cap Russell 2000 Index. Investors preferred large cap stocks relativeto small cap stocks as they are typically viewed as less risky during periods ofrising market volatility given the size of their balance sheets and ability togenerate cash flow. When viewed over the most recent 1-year period, largecap stocks significantly outpaced small cap stocks with the Russell 1000posting a -8.0% loss compared to the -24.0% drawdown in the Russell 2000.In general, value stocks underperformed growth stocks across marketcapitalizations during the 1st quarter despite value stocks trading near all-timelows based on valuation metrics. Importantly, value indexes contain largeexposures to such sectors as energy, consumer durables and financials, all ofwhich came under pressure during the quarter. Large cap growth stocks heldup better than large cap value stocks due to larger weightings in thetechnology and industrials sectors as well as a smaller exposure to theunderperforming energy sector. The Russell 1000 Growth Index was the leastnegative style index for the period, returning -14.1%. The small cap valueindex posted the weakest relative return for the quarter with a loss of -35.7%.Results over the 1-year period were mixed with value stocks underperformingacross market capitalizations while large cap stocks outpaced both mid andsmall cap stocks due in large part to the exposure to technology stocks andrelative underweights to both energy and financial stocks.-25.8%-30.6%-35.7%-20.0%-27.1%-31.7%-14.1%-20.2%-26.7%-14.9%-20.9%-27.3%-40.0% -30.0% -20.0% -10.0% 0.0%2000 Growth2000 Index2000 ValueMidCap GrowthMidCap IndexMidCap Value1000 Growth1000 Index1000 Value3000 Growth3000 Index3000 ValueQuarter Performance - Russell Style Series-18.6%-24.0%-29.6%-9.4%-18.3%-24.1%0.9%-8.0%-17.2%-0.4%-9.1%-18.0%-35.0% -25.0% -15.0% -5.0% 5.0%2000 Growth2000 Index2000 ValueMidCap GrowthMidCap IndexMidCap Value1000 Growth1000 Index1000 Value3000 Growth3000 Index3000 Value1-Year Performance - Russell Style SeriesPage 3
Generally, sector performance was negative across large cap sectors for the1st quarter. The outlier during the period was the energy sector which sawsignificant losses due primarily to the drop in oil prices as a result of demanddestruction related to the Coronavirus and the inability of OPEC to agree onproduction cuts. Health care and technology were the two of the leastnegative during the quarter returning -12.4% and -12.5%. Energy stocks fell astaggering -51.3% during the quarter as crude oil prices fell as globaleconomic growth receded during the period. Financial stocks also lagged,declining -32.6%, as interest rates fell and a flat yield curve, in combinationwith fewer borrowers, increased pressure on financial stocks. Returns overthe 1-year period were also generally negative with only the technologysector showing a positive return (+8.5%). Similar to the quarter’s results,energy stocks underperformed by a considerable margin relative to othersectors. Industrials, materials, and financials also lagged for the yearreturning -19.3%, -19.2% and -18.4% respectively.Quarterly results for small capitalization sectors were generally worse thantheir large capitalization counterparts with only utilities outperforming duringthe period. All eleven economic sectors saw substantial losses during theperiod with only three of eleven sectors outpacing the Russell 2000 Indexreturn for the quarter. Similar to large capitalization sectors, defensive sectorswere less negative as investors gravitated toward their relative safety andhigher yields. Utilities was the least negative sector, returning -12.8%, whilehealthcare and consumer staples returned -19.2% and -21.5%, respectively.The cyclically oriented energy sector was the largest detractor for the period,posting a disconcerting loss of --62.4% as global energy prices collapsed.Consumer discretionary stocks also fell substantially during the quarterreturning -44.3% as consumer activity fell sharply following the decision toimpose shelter-in-place orders. Financial stocks, which were down -34.7% forthe quarter, were negatively impacted by the Fed’s decision to lower interestrates and the significant decline in lending activity. Similar to quarterlyperformance, the trailing 1-year period returns were broadly negative.Utilities, technology and health care sectors were the down the least,returning -4.9%, -9.7% and -10.5%, respectively.The Market EnvironmentGICS Sector Performance & (Sector Weight)As of March 31, 2020Source: Morningstar DirectAs a result of the GICS classification changes on 9/28/2018 and certain associated reporting limitations, sector performance represents backward looking performance for the prior year of each sector’s current constituency, post creation of the Communication Services sector. -3.4%-15.2%-19.2%8.5%-19.3%-1.1%-18.4%-53.8%-1.5%-10.6%-3.8%-14.2%-22.9%-26.9%-12.5%-27.3%-12.4%-32.6%-51.3%-13.2%-19.8%-17.4%-60.0% -50.0% -40.0% -30.0% -20.0% -10.0% 0.0% 10.0%Utilities (3.3%)Real Estate (3.8%)Materials (2.7%)Info Technology (23.8%)Industrials (9.4%)Health Care (13.7%)Financials (12.8%)Energy (3.7%)Consumer Staples (6.7%)Consumer Disc (10.1%)Comm Services (10.0%)Russell 1000Quarter1-Year-4.9%-26.4%-36.1%-9.7%-21.9%-10.5%-26.7%-70.7%-15.1%-40.0%-35.7%-12.8%-33.0%-39.1%-22.2%-32.7%-19.2%-34.7%-62.4%-21.5%-44.3%-31.2%-75.0% -65.0% -55.0% -45.0% -35.0% -25.0% -15.0% -5.0%Utilities (3.8%)Real Estate (8.0%)Materials (3.7%)Info Technology (13.9%)Industrials (15.9%)Health Care (18.1%)Financials (17.7%)Energy (2.7%)Consumer Staples (2.9%)Consumer Disc (11.0%)Comm Services (2.3%)Russell 2000Quarter1-YearPage 4
The Market EnvironmentTop 10 Index Weights & Quarterly Performance for the Russell 1000 & 2000As of March 31, 2020Source: Morningstar DirectTop 10 Weighted StocksTop 10 Weighted StocksRussell 1000 Weight1-Qtr Return1-Year ReturnSector Russell 2000 Weight1-Qtr Return1-Year ReturnSectorMicrosoft Corp 5.09% 0.3% 35.5% Information Technology Teladoc Health Inc 0.77% 85.2% 178.8% Health CareApple Inc 4.47% -13.2% 35.6% Information Technology NovoCure Ltd 0.40% -20.1% 39.8% Health CareAmazon.com Inc 3.48% 5.5% 9.5% Consumer Discretionary Amedisys Inc 0.40% 10.0% 48.9% Health CareFacebook Inc A 1.70% -18.7% 0.1% Communication Services Generac Holdings Inc 0.39% -7.4% 81.9% IndustrialsBerkshire Hathaway Inc B 1.53% -19.3% -9.0% Financials Lumentum Holdings Inc 0.38% -7.1% 30.4% Information TechnologyAlphabet Inc Class C 1.49% -13.0% -0.9% Communication Services Repligen Corp 0.35% 4.4% 63.4% Health CareJohnson & Johnson 1.49% -9.5% -3.6% Health Care Haemonetics Corp 0.35% -13.3% 13.9% Health CareAlphabet Inc A 1.48% -13.2% -1.3% Communication Services ACADIA Pharmaceuticals Inc 0.33% -1.2% 57.4% Health CareJPMorgan Chase & Co 1.20% -35.0% -8.4% Financials Trex Co Inc 0.32% -10.8% 30.3% IndustrialsVisa Inc Class A 1.18% -14.1% 3.8% Information Technology Rexford Industrial Realty Inc 0.32% -9.7% 16.6% Real EstateTop 10 Performing Stocks (by Quarter)Top 10 Performing Stocks (by Quarter)Russell 1000 Weight1-Qtr Return1-Year ReturnSector Russell 2000 Weight1-Qtr Return1-Year ReturnSectorModerna Inc 0.03% 53.1% 47.2% Health Care Waitr Holdings Inc Class A 0.00% 282.0% -90.0% Consumer DiscretionaryLegg Mason Inc 0.02% 37.2% 86.1% Financials Novavax Inc 0.03% 241.2% 23.3% Health CareTaubman Centers Inc 0.01% 36.6% -15.3% Real Estate Vir Biotechnology Inc 0.02% 172.5% N/A Health CareVirtu Financial Inc A 0.00% 31.9% -7.8% Financials Athersys Inc 0.03% 143.9% 100.0% Health CareZscaler Inc 0.02% 30.9% -14.2% Information Technology Forty Seven Inc 0.17% 142.4% 490.5% Health CareRegeneron Pharmaceuticals Inc 0.17% 30.0% 18.9% Health CareKala Pharmaceuticals Inc 0.01% 138.2% 6.3% Health CareCitrix Systems Inc 0.07% 28.0% 44.0% Information Technology Aduro Biotech Inc 0.01% 132.2% -31.2% Health CareRingCentral Inc Class A 0.07% 25.6% 96.6% Information Technology Tocagen Inc 0.00% 128.8% -88.8% Health CareNortonLifeLock Inc 0.04% 25.4% 40.9% Information Technology Inovio Pharmaceuticals Inc 0.05% 125.5% 99.5% Health CareTesla Inc 0.32% 25.3% 87.2% Consumer Discretionary Neon Therapeutics Inc 0.00% 123.7% -59.1% Health CareBottom 10 Performing Stocks (by Quarter)Bottom 10 Performing Stocks (by Quarter)Russell 1000 Weight1-Qtr Return1-Year ReturnSector Russell 2000 Weight1-Qtr Return1-Year ReturnSectorCentennial Resource Dev. Inc A 0.00% -94.3% -97.0% Energy Independence Contract Drilling Inc 0.00% -93.0% -97.5% EnergyKosmos Energy Ltd 0.00% -84.0% -85.0% EnergyQEP Resources Inc 0.01% -92.5% -95.6% EnergyApache Corp 0.01% -83.5% -87.5% Energy Whiting Petroleum Corp 0.00% -90.9% -97.4% EnergyTransocean Ltd 0.00% -83.1% -86.7% Energy Amplify Energy Corp 0.00% -90.4% -93.0% EnergyApergy Corp 0.00% -83.0% -86.0% Energy Penn Virginia Corp 0.00% -89.8% -93.0% EnergyTarga Resources Corp 0.01% -82.7% -81.7% Energy Pacific Drilling SA 0.00% -89.8% -97.1% EnergyNorwegian Cruise Line Holdings Ltd 0.01% -81.2% -80.1% Consumer Discretionary Nine Energy Service Inc 0.00% -89.7% -96.4% EnergyMFA Financial Inc 0.00% -79.7% -76.9% Financials Forum Energy Technologies Inc 0.00% -89.4% -96.5% EnergyChesapeake Energy Corp 0.00% -79.1% -94.4% EnergyOasis Petroleum Inc 0.01% -89.3% -94.2% EnergyMacerich Co 0.00% -78.4% -85.6% Real Estate SM Energy Co 0.01% -89.1% -93.0% EnergyPage 5
Source: MSCI Global Index Monitor (Returns are Net)International equity returns were negative in USD terms for the 1st quarter asmarkets were negatively impacted by the Coronavirus. In local currency terms,developed and emerging markets performed slightly better due to US dollar(USD) strength against most major currencies which created a significantheadwind for US investors. The MSCI ACWI ex US Index lost -20.1% in localcurrency terms while a USD investor experienced a loss of -23.4% due to theaforementioned currency effect. Similar to US markets, international equitymarkets were severely impacted by concerns regarding headwinds fromslowing economic data. Global central banks reacted by providing additionalstimulus measures which are designed to provide the market with liquidity andrestore confidence. The European Central Bank (ECB) and the JapaneseCentral Bank (JCB) announced new programs to purchase securities in aneffort to boost markets while the Bank of England (BOE) cut its policy rate to0.1% and announced additional quantitative easing in an effort to counteract adeterioration in the economy.Results for developed market international indices were negative in both localcurrency terms and USD terms for the 1st quarter. Prior to the onset of theCoronavirus, there were notable developments within the political sphere. TheUK formally withdrew from the EU in January. While there remains muchuncertainty surrounding what the relationship between the UK and the EU willlook like, both sides are continuing to negotiate for a final withdrawal later thisyear. In Europe, Italy and Spain were hard hit by the Coronavirus. Alreadybeset by relatively low GDP growth in historical terms, the region is expectedto experience recession. In Japan, the economy was already under pressureas a result of declining trade with China prior to the onset of the Coronavirus.The Olympics were also rescheduled to 2021 in an effort to reduce the numberof potential infections.Emerging markets continued their trend from 2019, underperforming relative todeveloped markets during the 1st quarter. The MSCI Emerging Markets Indexfell -23.6% and -19.1% in USD and local currency terms, respectively. The USand China made headway in resolving their trade war by signing the PhaseOne trade deal in January. Countries with greater sensitivities to commodityprices or a strong USD tended to underperform during the period. Regionally,Asian countries outperformed both EMEAand Latin America, primarily due totheir aggressive response to the Coronavirus. Within Latin America, Brazil andMexico were hard hit as a result of the selloff in oil prices. Argentinaunderperformed as the country considered delaying the payment of interest onits sovereign debt.The Market EnvironmentInternational and Regional Market Index Performance (Country Count)As March 31, 2020-24.0%-10.4%-18.5%-13.0%-11.3%-13.3%-12.6%-12.8%-12.8%-40.8%-12.1%-27.7%-17.7%-12.4%-15.5%-14.4%-14.9%-15.6%-50.0% -40.0% -30.0% -20.0% -10.0% 0.0%EM Latin Amer (6)EM Asia (9)EM EMEA (11)Emerging Mkt (26)Pacific (5)Europe & ME (16)EAFE (21)WORLD x US (22)AC World x US (48)1-Year PerformanceUSDLocal Currency-31.8%-16.2%-24.1%-19.1%-18.4%-21.8%-20.6%-20.5%-20.1%-45.6%-18.1%-33.9%-23.6%-20.3%-24.3%-22.8%-23.3%-23.4%-50.0% -40.0% -30.0% -20.0% -10.0% 0.0%EM Latin Amer (6)EM Asia (9)EM EMEA (11)Emerging Mkt (26)Pacific (5)Europe & ME (16)EAFE (21)WORLD x US (22)AC World x US (48)Quarter PerformanceUSDLocal CurrencyPage 6
The Market EnvironmentUS Dollar International Index Attribution & Country DetailAs of March 31, 2020Source: Morningstar Direct, MSCI Global Index Monitor (Returns are Net in USD)As a result of the GICS classification changes on 9/28/2018 and certain associated reporting limitations, sector performance represents backward looking performance for the prior year of each sector’s current constituency, post creation of the Communication Services sector. MSCI - EAFE Sector Weight Quarter Return 1-Year ReturnCommunication Services 5.5% -18.0% -11.5%Consumer Discretionary 11.1% -26.8% -15.0%Consumer Staples 12.6% -13.5% -8.5%Energy 4.0% -36.2% -37.9%Financials 16.5% -31.6% -24.7%Health Care 14.3% -8.9% 7.1%Industrials 14.2% -26.4% -16.0%Information Technology 7.6% -17.7% -1.7%Materials 6.7% -26.8% -20.5%Real Estate 3.3% -27.6% -27.1%Utilities 4.2% -13.2% -5.1%Total 100.0% -22.8% -14.4%MSCI - ACWIxUS Sector Weight Quarter Return 1-Year ReturnCommunication Services 7.5% -14.1% -9.9%Consumer Discretionary 11.8% -24.1% -12.9%Consumer Staples 10.5% -14.7% -9.9%Energy 5.2% -38.5% -37.1%Financials 19.2% -31.0% -24.9%Health Care 10.5% -9.2% 4.6%Industrials 11.4% -26.2% -17.1%Information Technology 10.2% -17.5% 1.3%Materials 7.0% -27.5% -22.8%Real Estate 3.0% -27.6% -25.9%Utilities 3.7% -15.9% -8.7%Total 100.0% -23.4% -15.6%MSCI - Emerging Mkt Sector Weight Quarter Return 1-Year ReturnCommunication Services 13.1% -9.6% -8.2%Consumer Discretionary 15.4% -18.1% -8.3%Consumer Staples 6.6% -19.8% -15.7%Energy 5.9% -39.9% -35.8%Financials 21.6% -31.1% -27.6%Health Care 3.6% -8.5% -8.5%Industrials 4.9% -28.0% -26.5%Information Technology 16.9% -17.8% 3.2%Materials 6.7% -30.7% -31.3%Real Estate 2.9% -26.7% -21.5%Utilities 2.5% -26.0% -23.4%Total 100.0% -23.6% -17.7%MSCI-EAFE MSCI-ACWIxUS Quarter 1- YearCountry Weight Weight Return ReturnJapan 26.3% 17.4% -16.8% -6.7%United Kingdom 15.1% 10.0% -28.8% -23.0%France 10.8% 7.1% -27.6% -17.7%Switzerland 10.7% 7.1% -11.5% 3.5%Germany 8.3% 5.5% -27.0% -17.5%Australia 5.9% 3.9% -33.3% -26.3%Netherlands 4.2% 2.7% -20.7% -7.7%Hong Kong 3.8% 2.5% -17.3% -21.1%Sweden 2.8% 1.8% -21.4% -11.2%Spain 2.6% 1.7% -29.8% -26.5%Denmark 2.2% 1.4% -8.0% 4.5%Italy 2.2% 1.4% -29.3% -21.4%Singapore 1.2% 0.8% -28.2% -22.3%Finland 1.0% 0.7% -19.1% -18.0%Belgium 0.9% 0.6% -32.6% -30.2%Israel 0.6% 0.4% -18.1% -18.4%Ireland 0.6% 0.4% -25.7% -8.3%Norway 0.5% 0.4% -33.4% -31.3%New Zealand 0.3% 0.2% -16.4% -1.0%Portugal 0.2% 0.1% -13.1% -2.5%Austria 0.2% 0.1% -42.9% -39.7%Total EAFE Countries 100.0% 66.0% -22.8% -14.4%Canada 6.3% -27.5% -19.9%Total Developed Countries 72.3% -23.3% -14.9%China 11.3% -10.2% -5.8%Taiwan 3.4% -19.1% 1.3%Korea 3.3% -22.5% -16.8%India 2.1% -31.1% -30.9%Brazil 1.4% -50.2% -41.9%South Africa 1.0% -40.3% -37.1%Russia 0.9% -36.4% -14.4%Saudi Arabia 0.7% -24.0% -28.9%Thailand 0.6% -33.8% -32.5%Mexico 0.5% -35.5% -31.9%Malaysia 0.5% -19.2% -21.1%Indonesia 0.4% -39.6% -36.8%Qatar 0.3% -17.3% -15.1%Philippines 0.2% -32.2% -30.5%Poland 0.2% -36.5% -39.9%Chile 0.2% -33.6% -47.1%United Arab Emirates 0.2% -27.1% -30.3%Turkey 0.1% -30.1% -19.8%Peru 0.1% -35.8% -39.4%Colombia 0.1% -49.7% -47.3%Hungary 0.1% -39.0% -31.3%Greece 0.1% -45.2% -30.4%Argentina 0.0% -39.3% -51.0%Egypt 0.0% -27.1% -10.8%Czech Republic 0.0% -38.5% -38.3%Pakistan 0.0% -39.7% -39.0%Total Emerging Countries 27.7% -23.6% -17.7%Total ACWIxUS Countries 100.0% -23.4% -15.6%Page 7
Source: BloombergThe Market EnvironmentDomestic Bond Sector & Broad/Global Bond Market Performance (Duration)As of March 31, 2020Fixed income market returns during the 1st quarter were bifurcated betweenhigh- and low-quality bonds. Interest rates fell across the US Treasury YieldCurve through the quarter as investors sought safety and lower volatilityassets. As a result of the deterioration of the US economy, the Fed tookunprecedented action and lowered interest rates to between 0% to 0.25%. Asa result, short term interest rates fell dramatically. The benchmark USTreasury 10-Year bond yield fell by more than 120 basis points during thequarter ending the period at a yield of 0.70%. In addition to lowering interestrates, the Fed committed to purchasing near unlimited US Treasury bonds andAgency mortgage bonds while implementing additional programs that allow forthe purchase of corporate bonds. The bellwether Bloomberg Barclays USAggregate Index posted positive returns for both the 1st quarter and the 1-yearperiod, returning 3.1% and 8.9%, respectively.Within investment grade credit, higher quality issues outperformed lowerquality issues during the quarter. More specifically, investors rotated out oflower quality issues due to the expectation for deterioration in the economy asa result of shelter-in-place protection measures. On an absolute basis, withoutnegating the duration differences in the sub-indices, high yield credit was theworst performing sector returning -12.7% for the quarter, while AAA was thebest performing, returning 5.8%. High yield spreads relative to comparable USTreasury issues widened to their highest levels since the 2008 Financial Crisisat nearly 1,100 basis points. Within investment grade bonds, Baa alsounderperformed, returning -7.4%. Much has been made in recent years aboutthe growth of Baa bond issues outstanding and the potential for downgradesshould a recession ensue. Returns over the 1-year period show generallypositive returns with only high yield bonds posting a negative result. Withininvestment grade bonds, AAA bonds outperformed returning 10.5% comparedto 7.5%, 7.4% and 1.9%, respectively, for AA, A and Baa rated issues.Within the Bloomberg Barclays US Aggregate Bond Index, defensive USTreasury, government agency and mortgage backed sectors outperformedinvestment grade corporate issues over the 1-year period. The defensivesectors benefited from the flight to quality as investors preferred lower volatilityissues despite their lower relative yields. Over the 1-year period, US Treasurybonds returned 13.2% while US mortgage backed and investment gradecorporate issues returned 7.0% versus a 5.0%, respectively. High yield bondswere the only negative performer for the year in the chart primarily due to thequarter’s dramatic spread widening and resulting weak performance.Additionally, commodity-related lower quality issues were negatively impactedwith the significant decline in oil prices.-1.1%-2.7%2.5%3.1%1.7%-3.6%2.8%8.2%-12.7%-7.4%-0.6%1.5%5.8%-15.0% -10.0% -5.0% 0.0% 5.0% 10.0%Multiverse (6.9)Global Agg x US (8.1)Intermediate Agg (3.2)Aggregate (5.7)U.S. TIPS (6.7)U.S. Corporate IG (8.0)U.S. Mortgage (1.7)U.S. Treasury (7.0)U.S. High Yield (4.1)Baa (7.9)A (8.0)AA (7.2)AAA (4.9)Quarter Performance 3.5%0.7%6.9%8.9%6.8%5.0%7.0%13.2%-6.9%1.9%7.4%7.5%10.5%-10.0% -5.0% 0.0% 5.0% 10.0% 15.0%Multiverse (6.9)Global Agg x US (8.1)Intermediate Agg (3.2)Aggregate (5.7)U.S. TIPS (6.7)U.S. Corporate IG (8.0)U.S. Mortgage (1.7)U.S. Treasury (7.0)U.S. High Yield (4.1)Baa (7.9)A (8.0)AA (7.2)AAA (4.9)1-Year PerformancePage 8
Source: US Department of Treasury, FRED (Federal Reserve of St. Louis)The Market EnvironmentMarket Rate & Yield Curve ComparisonAs of March 31, 2020Global fixed income returns continuedtheir relative underperformance whencompared to their domestic counterparts during the 1st quarter. Yields acrossdeveloped markets fell in the first quarter following the onset of theCoronavirus. While the number of negative yielding bonds has recentlysubsided, countries such as Germany, Sweden and Switzerland continue tohave lower, or in some cases negative yields. As mentioned, the USDappreciated against most developed currencies during the quarter, acting as aheadwind to global bond index performance. The return on global bonds, asrepresented by the Bloomberg Barclays Global Aggregate ex US Index, was -2.7% for the period. Global bonds also trailed over the 1-year period with theGlobal Aggregate ex US Index returning 0.7% versus 8.9% return for thedomestic Bloomberg Barclays Aggregate Index. Global growth is expected toslow considerably in the 1st and 2nd quarters as countries continue to managethrough the Coronavirus pandemic. Importantly, global central banks areacting in coordination to provide sufficient liquidity in an effort to calm markets.As a result, interest rates, and bond returns, are expected to remain low untileconomic activity resumes.Much of the index performance detailed in the bar graphs on the previouspage is visible on a time series basis by reviewing the line graphs to the right.The ‘1-Year Trailing Market Rates’ chart illustrates that over the last year, the10-year Treasury yield (green line) has fallen from roughly 2.5% to roughly0.7%. The blue line illustrates changes in the BAA OAS (Option AdjustedSpread). This measure quantifies the additional yield premium that investorsrequire to purchase and hold non-Treasury issues. This line illustrates anabrupt increase in credit spreads during the 1st quarter of 2020 as investorsmoved to higher quality assets during the quarter’s risk-off environment. Priorto that, spreads had remained relatively range bound over the previous threequarters as investors sought out higher relative yields in corporate bonds. Theorange line illustrates US Treasury TIPS which reflect investor expectations offuture inflation. Over the trailing year, TIPS yields had already been trendinggenerally lower due to concerns about the sustainability of global economicgrowth. Following the drawdown in the 1st quarter, TIPS yields were negativeas investors believed that the US economy would enter a recession.The lower graph provides a snapshot of the US Treasury yield curve at the endof each of the last four calendar quarters. The downward shift in US interestrates is clearly visible over the last quarter. The primary driver of this change inthe curve was due to the supportive actions taken by the Fed, which reversedrecent interest rate increases, and a broad flight to the perceived safety of USTreasury securities.-1.00-0.500.000.501.001.502.002.503.003.504.004.505.00Mar-19 Apr-19 May-19 Jun-19 Jul-19 Aug-19 Sep-19 Oct-19 Nov-19 Dec-19 Jan-20 Feb-20 Mar-201-Year Trailing Market RatesFed Funds RateTED Spread3-Month LiborBAA OAS10yr Treasury10yr TIPS0.000.501.001.502.002.503.003.504.001 mo 3 mo 6 mo 1 yr 2 yr 3 yr 5 yr 7 yr 10 yr 20 yr 30 yrTreasury Yield Curve6/30/20199/30/201912/31/20193/31/2020Page 9
Asset Allocation By Segment as of
December 31, 2019 : $57,843,545
Asset Allocation By Segment as of
March 31, 2020 : $48,306,169
Allocation
Segments Market Value Allocation
Domestic Equity 30,401,569 52.6¢
International Equity 9,282,631 16.0¢
Domestic Fixed Income 7,489,193 12.9¢
Global Fixed Income 1,870,457 3.2¢
Other Fixed Income 2,530,999 4.4¢
Real Estate 5,691,654 9.8¢
Cash Equivalent 577,043 1.0¢
Allocation
Segments Market Value Allocation
Domestic Equity 24,058,669 49.8¢
International Equity 6,233,473 12.9¢
Domestic Fixed Income 7,556,875 15.6¢
Global Fixed Income 1,712,768 3.5¢
Other Fixed Income 2,567,537 5.3¢
Real Estate 5,707,154 11.8¢
Cash Equivalent 469,692 1.0¢
Asset Allocation Summary
Total Fund
As of March 31, 2020
NONE
Page 10
Asset Allocation By Manager as ofDecember 31, 2019 : $57,843,545 Asset Allocation By Manager as ofMarch 31, 2020 : $48,306,169
Allocation
Market Value Allocation
Vanguard Total Stock Market (VITSX)30,401,569 52.6¢
RBC Global (Voyageur)9,282,631 16.0¢
Galliard Core Fixed Income 5,112,961 8.8¢
Intercontinental 3,637,406 6.3¢
American Core Realty Fund 2,079,340 3.6¢
PIMCO Diversified Income Fund Instl (PDIIX)1,876,496 3.2¢
Crescent Direct Lending II Fund 1,438,312 2.5¢
Galliard TIPS 1,295,284 2.2¢
Crescent Direct Lending Fund 1,092,687 1.9¢
Vanguard Inflation-Protected Secs (VAIPX)1,065,451 1.8¢
Receipt & Disbursement 543,313 0.9¢
Vanguard Short Term Bond Index (VSCSX)18,096 0.0¢
Allocation
Market Value Allocation
Vanguard Total Stock Market (VITSX)24,058,669 49.8¢
RBC Global (Voyageur)6,233,473 12.9¢
Galliard Core Fixed Income 5,167,678 10.7¢
Intercontinental 3,641,742 7.5¢
American Core Realty Fund 2,080,218 4.3¢
PIMCO Diversified Income Fund Instl (PDIIX)1,712,768 3.5¢
Crescent Direct Lending II Fund 1,532,035 3.2¢
Galliard TIPS 1,301,057 2.7¢
Vanguard Inflation-Protected Secs (VAIPX)1,083,977 2.2¢
Crescent Direct Lending Fund 1,035,502 2.1¢
Receipt & Disbursement 441,430 0.9¢
Vanguard Short Term Bond Index (VSCSX)17,620 0.0¢
Asset Allocation Summary
Total Fund
As of March 31, 2020
NONE
Page 11
Asset Allocation vs. Target Allocation
Allocation Differences
0.0%0.8%1.6%2.4%3.2%4.0%-0.8 %-1.6 %-2.4 %-3.2 %-4.0 %
Receipt & Disbursement
Total Other Fixed Income
Total Real Estate
Total Global FI
Total Domestic Fixed Income
Total International Equity
Total Domestic Equity
0.9%
0.3%
1.8%
-1.5 %
0.7%
-2.1 %
-0.2 %
Asset Allocation vs. Target Allocation
Market Value
$Allocation (%)Target (%)
Total Domestic Equity 24,058,669 49.8 50.0
Total International Equity 6,233,473 12.9 15.0
Total Domestic Fixed Income 7,570,332 15.7 15.0
Total Global FI 1,712,768 3.5 5.0
Total Real Estate 5,721,960 11.8 10.0
Total Other Fixed Income 2,567,537 5.3 5.0
Receipt & Disbursement 441,430 0.9 0.0
Total Fund 48,306,169 100.0 100.0
Asset Allocation vs. Target Allocation
Total Fund
As of March 31, 2020
Page 12
Historical Asset Allocation by Portfolio
Mar-2020 Dec-2019 Sep-2019 Jun-2019 Mar-2019
($)%($)%($)%($)%($)%
Total Equity 30,292,142 62.71 39,684,200 68.61 36,308,421 67.09 36,223,113 67.19 34,932,094 66.67
Total Domestic Equity 24,058,669 49.80 30,401,569 52.56 27,889,255 51.53 27,588,328 51.18 26,503,976 50.58
Vanguard Total Stock Market (VITSX)24,058,669 49.80 30,401,569 52.56 27,889,255 51.53 27,588,328 51.18 26,503,976 50.58
Total International Equity 6,233,473 12.90 9,282,631 16.05 8,419,165 15.56 8,634,785 16.02 8,428,118 16.09
RBC Global (Voyageur)6,233,473 12.90 9,282,631 16.05 8,419,165 15.56 8,634,785 16.02 8,428,118 16.09
Total Fixed Income 11,850,637 24.53 11,899,287 20.57 11,671,112 21.56 11,482,636 21.30 11,111,072 21.21
Total Domestic Fixed Income 7,570,332 15.67 7,491,792 12.95 7,455,856 13.78 7,362,930 13.66 7,173,941 13.69
Galliard Core Fixed Income 5,167,678 10.70 5,112,961 8.84 5,095,727 9.42 5,025,853 9.32 4,896,369 9.34
Galliard TIPS 1,301,057 2.69 1,295,284 2.24 1,282,666 2.37 1,274,609 2.36 1,243,747 2.37
Vanguard Short Term Bond Index (VSCSX)17,620 0.04 18,096 0.03 17,900 0.03 17,691 0.03 17,386 0.03
Vanguard Inflation-Protected Secs (VAIPX)1,083,977 2.24 1,065,451 1.84 1,059,563 1.96 1,044,777 1.94 1,016,439 1.94
Total Global FI 1,712,768 3.55 1,876,496 3.24 1,875,993 3.47 1,872,973 3.47 1,828,686 3.49
PIMCO Diversified Income Fund Instl (PDIIX)1,712,768 3.55 1,876,496 3.24 1,875,993 3.47 1,872,973 3.47 1,828,686 3.49
Total Other Fixed Income 2,567,537 5.32 2,530,999 4.38 2,339,264 4.32 2,246,733 4.17 2,108,445 4.02
Crescent Direct Lending Fund 1,035,502 2.14 1,092,687 1.89 1,191,186 2.20 1,255,176 2.33 1,354,747 2.59
Crescent Direct Lending II Fund 1,532,035 3.17 1,438,312 2.49 1,148,078 2.12 991,557 1.84 753,698 1.44
Total Real Estate 5,721,960 11.85 5,716,746 9.88 5,621,339 10.39 5,541,229 10.28 5,496,273 10.49
American Core Realty Fund 2,080,218 4.31 2,079,340 3.59 2,080,151 3.84 2,081,376 3.86 2,080,769 3.97
Intercontinental 3,641,742 7.54 3,637,406 6.29 3,541,188 6.54 3,459,853 6.42 3,415,504 6.52
Receipt & Disbursement 441,430 0.91 543,313 0.94 519,926 0.96 661,720 1.23 856,414 1.63
Total Fund Portfolio 48,306,169 100.00 57,843,545 100.00 54,120,798 100.00 53,908,698 100.00 52,395,852 100.00
Asset Allocation
Asset Allocation History By Portfolio
As of March 31, 2020
Page 13
Historical Asset Allocation by Segment
Domestic Equity International Equity Domestic Fixed Income Global Fixed Income
Other Fixed Income Real Estate Cash Equivalent
0.0
10.0
20.0
30.0
40.0
50.0
60.0
70.0
80.0
90.0
100.0
Allocation (%)9/07 3/08 9/08 3/09 9/09 3/10 9/10 3/11 9/11 3/12 9/12 3/13 9/13 3/14 9/14 3/15 9/15 3/16 9/16 3/17 9/17 3/18 9/18 3/19 9/19 3/20
Historical Asset Allocation by Segment
Total Fund
October 1, 2007 To March 31, 2020
Page 14
-12.0
-4.0
4.0
12.0
20.0
28.0
36.0
44.0
52.0
60.0
68.0
Allocation (%)US Equity Intl. Equity US Fixed Income Intl. Fixed Income Alternative Inv.Real Estate Cash
Total Fund Portfolio 49.80 (15)12.90 (59)15.67 (93)3.55 (66)5.32 (75)11.85 (22)0.91 (61)
5th Percentile 56.55 24.10 55.86 9.57 41.36 15.61 9.32
1st Quartile 46.85 17.93 37.56 5.26 21.80 11.56 2.85
Median 37.71 13.75 29.14 4.33 12.26 9.72 1.29
3rd Quartile 27.43 10.48 21.86 2.61 5.22 5.87 0.50
95th Percentile 13.44 6.31 13.52 0.09 1.92 2.45 0.06
Plan Sponsor TF Asset Allocation
Total Fund Portfolio Vs. All Public Plans-Total Fund
As of March 31, 2020
Page 15
Financial Reconciliation Quarter to Date
Market Value
01/01/2020
Net
Transfers Contributions Distributions Management
Fees
Other
Expenses Income Apprec./
Deprec.
Market Value
03/31/2020
Total Equity 39,684,200 21,181 ---21,181 -1,501 166,102 -9,556,659 30,292,142
Total Domestic Equity 30,401,569 -----113,977 -6,456,878 24,058,669
Vanguard Total Stock Market (VITSX)30,401,569 -----113,977 -6,456,878 24,058,669
Total International Equity 9,282,631 21,181 ---21,181 -1,501 52,125 -3,099,782 6,233,473
RBC Global (Voyageur)9,282,631 21,181 ---21,181 -1,501 52,125 -3,099,782 6,233,473
Total Fixed Income 11,899,287 18,651 ---3,681 -163 13,103 -76,559 11,850,637
Total Domestic Fixed Income 7,491,792 ----3,681 -163 1,255 81,130 7,570,332
Galliard Core Fixed Income 5,112,961 ----3,681 --58,398 5,167,678
Galliard TIPS 1,295,284 -----163 1,177 4,759 1,301,057
Vanguard Short Term Bond Index (VSCSX)18,096 -----77 -553 17,620
Vanguard Inflation-Protected Secs (VAIPX)1,065,451 ------18,526 1,083,977
Total Global FI 1,876,496 -17,887 ----11,848 -157,689 1,712,768
PIMCO Diversified Income Fund Instl (PDIIX)1,876,496 -17,887 ----11,848 -157,689 1,712,768
Total Other Fixed Income 2,530,999 36,538 ------2,567,537
Crescent Direct Lending Fund 1,092,687 -57,185 ------1,035,502
Crescent Direct Lending II Fund 1,438,312 93,723 ------1,532,035
Total Real Estate 5,716,746 -25,092 ---11,176 -43,101 -1,619 5,721,960
American Core Realty Fund 2,079,340 -25,092 ---5,736 -20,542 11,164 2,080,218
Intercontinental 3,637,406 ----5,440 -22,559 -12,783 3,641,742
Receipt & Disbursement 543,313 -14,740 888,984 -956,316 --20,960 1,150 -441,430
Total Fund Portfolio 57,843,545 -888,984 -956,316 -36,039 -22,624 223,456 -9,634,837 48,306,169
Financial Reconciliation Quarter to Date
Total Fund
1 Quarter Ending March 31, 2020
Page 16
Financial Reconciliation Fiscal Year to Date
Market Value
10/01/2019
Net
Transfers Contributions Distributions Management
Fees
Other
Expenses Income Apprec./
Deprec.
Market Value
03/31/2020
Total Equity 36,308,421 40,924 ---40,924 -2,937 415,358 -6,428,699 30,292,142
Total Domestic Equity 27,889,255 -----277,534 -4,108,120 24,058,669
Vanguard Total Stock Market (VITSX)27,889,255 -----277,534 -4,108,120 24,058,669
Total International Equity 8,419,165 40,924 ---40,924 -2,937 137,824 -2,320,579 6,233,473
RBC Global (Voyageur)8,419,165 40,924 ---40,924 -2,937 137,824 -2,320,579 6,233,473
Total Fixed Income 11,671,112 129,595 ---10,894 -2,517 57,657 5,684 11,850,637
Total Domestic Fixed Income 7,455,856 ----7,347 -323 14,854 107,292 7,570,332
Galliard Core Fixed Income 5,095,727 ----7,347 --79,298 5,167,678
Galliard TIPS 1,282,666 -----323 2,212 16,503 1,301,057
Vanguard Short Term Bond Index (VSCSX)17,900 -----248 -529 17,620
Vanguard Inflation-Protected Secs (VAIPX)1,059,563 -----12,394 12,020 1,083,977
Total Global FI 1,875,993 -48,339 ----42,803 -157,689 1,712,768
PIMCO Diversified Income Fund Instl (PDIIX)1,875,993 -48,339 ----42,803 -157,689 1,712,768
Total Other Fixed Income 2,339,264 177,934 ---3,547 -2,194 -56,080 2,567,537
Crescent Direct Lending Fund 1,191,186 -178,005 ---3,547 -1,171 -27,039 1,035,502
Crescent Direct Lending II Fund 1,148,078 355,939 ----1,023 -29,041 1,532,035
Total Real Estate 5,621,339 -50,200 ---34,726 -104,709 80,838 5,721,960
American Core Realty Fund 2,080,151 -50,200 ---11,470 -51,368 10,369 2,080,218
Intercontinental 3,541,188 ----23,256 -53,341 70,469 3,641,742
Receipt & Disbursement 519,926 -120,320 1,922,004 -1,851,105 --32,082 3,006 -441,430
Total Fund Portfolio 54,120,798 -1,922,004 -1,851,105 -86,545 -37,536 580,730 -6,342,178 48,306,169
Financial Reconciliation Fiscal Year to Date
Total Fund
October 1, 2019 To March 31, 2020
Page 17
Comparative Performance Trailling Returns
QTR FYTD 1 YR 3 YR 5 YR 7 YR 10 YR Inception Inception
Date
Total Fund (Net)-16.36 -10.80 -7.40 2.84 4.39 6.40 7.33 5.29 11/01/2000
Total Fund Policy -13.18 -7.92 -3.92 3.92 4.76 6.66 7.80 5.19
Difference -3.18 -2.88 -3.48 -1.08 -0.37 -0.26 -0.47 0.10
Total Fund (New Mgrs) (Net)-16.36 -10.80 -7.40 2.84 4.39 6.40 7.33 4.96 10/01/2007
Total Fund Policy -13.18 -7.92 -3.92 3.92 4.76 6.66 7.80 5.71
Difference -3.18 -2.88 -3.48 -1.08 -0.37 -0.26 -0.47 -0.75
Total Fund (Gross)-16.31 (93)-10.66 (87)-7.11 (84)3.17 (39)4.73 (9)6.74 (5)7.81 (5)5.88 (13)11/01/2000
Total Fund Policy -13.18 (52)-7.92 (37)-3.92 (37)3.92 (19)4.76 (8)6.66 (6)7.80 (5)5.19 (53)
Difference -3.13 -2.74 -3.19 -0.75 -0.03 0.08 0.01 0.69
All Public Plans-Total Fund Median -13.10 -8.54 -4.73 2.85 3.54 5.19 6.34 5.27
Total Fund (New Mgrs) (Gross)-16.31 (93)-10.66 (87)-7.11 (84)3.17 (39)4.73 (9)6.74 (5)7.81 (5)5.45 (8)10/01/2007
Total Fund Policy -13.18 (52)-7.92 (37)-3.92 (37)3.92 (19)4.76 (8)6.66 (6)7.80 (5)5.71 (4)
Difference -3.13 -2.74 -3.19 -0.75 -0.03 0.08 0.01 -0.26
All Public Plans-Total Fund Median -13.10 -8.54 -4.73 2.85 3.54 5.19 6.34 4.54
Total Equity -23.66 -16.56 -13.27 1.75 4.08 7.34 8.65 5.73 01/01/2001
Total Equity Policy -21.32 -14.31 -10.23 2.79 4.43 7.43 8.57 4.82
Difference -2.34 -2.25 -3.04 -1.04 -0.35 -0.09 0.08 0.91
Total Domestic Equity -20.86 (64)-13.73 (50)-9.23 (60)4.07 (51)5.83 (47)8.98 (57)9.83 (69)6.14 (42)11/01/2000
Total Domestic Equity Policy -20.90 (64)-13.70 (49)-9.13 (59)4.00 (53)5.77 (49)8.96 (58)10.15 (58)4.99 (91)
Difference 0.04 -0.03 -0.10 0.07 0.06 0.02 -0.32 1.15
IM U.S. Large Cap Core Equity (SA+CF) Median -20.02 -13.76 -8.37 4.08 5.73 9.23 10.30 5.92
Total International Equity -32.83 (93)-25.93 (94)-25.99 (92)-5.38 (73)-1.46 (53)2.31 (33)4.99 (18)4.36 (69)11/01/2000
MSCI EAFE Index -22.72 (22)-16.37 (28)-13.92 (21)-1.33 (25)-0.13 (31)2.24 (36)3.20 (49)3.29 (94)
Difference -10.11 -9.56 -12.07 -4.05 -1.33 0.07 1.79 1.07
IM International Large Cap Value Equity (SA+CF) Median -26.03 -19.02 -18.53 -4.04 -1.37 1.27 3.01 5.32
Comparative Performance Trailing Returns
Total Fund
As of March 31, 2020
Returns for periods greater than one year are annualized. Returns are expressed as percentages.
10/1/2007 inception date represents the date new managers were hired. Total Fund Policy represents new policy beginning 10/1/2009. Old policy geometrically linked to new policy. See benchmark history for details.
Parenthesized number represents pertinent peer group ranking: 1-100, best to worst. Crescent presented on IRR page.
Page 18
Comparative Performance Trailing Returns
Total Fund
As of March 31, 2020
QTR FYTD 1 YR 3 YR 5 YR 7 YR 10 YR Inception Inception
Date
Total Fixed Income -0.49 0.59 5.02 4.53 3.96 3.22 4.04 4.97 11/01/2000
Total Fixed Policy 2.49 2.96 6.88 3.87 2.82 2.62 3.22 4.61
Difference -2.98 -2.37 -1.86 0.66 1.14 0.60 0.82 0.36
Total Domestic Fixed Income 1.10 (55)1.64 (52)5.74 (52)3.47 (68)2.81 (52)2.38 (84)3.33 (57)4.60 (68)11/01/2000
Total Domestic Fixed Policy 2.49 (22)2.96 (18)6.88 (21)3.87 (34)2.82 (52)2.62 (52)3.22 (71)4.61 (66)
Difference -1.39 -1.32 -1.14 -0.40 -0.01 -0.24 0.11 -0.01
IM U.S. Intermediate Duration (SA+CF) Median 1.30 1.72 5.76 3.72 2.83 2.62 3.38 4.72
Total Global FI -7.49 (83)-5.96 (81)-1.41 (77)N/A N/A N/A N/A 2.05 (25)04/01/2018
Blmbg. Barc. Global Credit (Hedged)-4.95 (62)-4.06 (59)1.74 (38)3.30 (12)3.23 (1)3.59 (1)4.68 (1)3.39 (8)
Difference -2.54 -1.90 -3.15 N/A N/A N/A N/A -1.34
IM Global Fixed Income (MF) Median -3.20 -3.28 0.97 2.28 1.79 1.29 2.50 0.76
Total Real Estate 0.73 (63)3.32 (28)7.06 (20)8.46 (22)10.02 (29)11.21 (32)12.35 (46)6.34 (29)10/01/2007
NCREIF Fund Index-ODCE (VW)0.97 (61)2.49 (59)4.87 (70)6.81 (62)8.46 (62)9.90 (60)11.45 (64)5.37 (65)
Difference -0.24 0.83 2.19 1.65 1.56 1.31 0.90 0.97
IM U.S. Open End Private Real Estate (SA+CF) Median 1.23 2.87 5.88 7.56 9.10 10.75 12.31 5.73
Returns for periods greater than one year are annualized. Returns are expressed as percentages.
10/1/2007 inception date represents the date new managers were hired. Total Fund Policy represents new policy beginning 10/1/2009. Old policy geometrically linked to new policy. See benchmark history for details.
Parenthesized number represents pertinent peer group ranking: 1-100, best to worst. Crescent presented on IRR page.
Page 19
Comparative Performance Trailing Returns
Total Fund
As of March 31, 2020
QTR FYTD 1 YR 3 YR 5 YR 7 YR 10 YR Inception Inception
Date
Vanguard Total Stock Market (VITSX)-20.86 (38)-13.73 (30)-9.23 (32)3.99 (22)5.74 (14)8.94 (13)N/A 9.42 (13)03/01/2013
Vanguard Total Stock Market Index Hybrid -20.88 (39)-13.76 (30)-9.24 (32)3.99 (22)5.74 (14)8.96 (13)10.18 (8)9.44 (13)
Difference 0.02 0.03 0.01 0.00 0.00 -0.02 N/A -0.02
IM U.S. Multi-Cap Core Equity (MF) Median -21.69 -16.07 -11.73 1.79 3.30 6.99 8.29 7.53
RBC Global (Voyageur)-32.83 (93)-25.93 (94)-25.99 (92)-5.38 (73)-1.46 (53)2.31 (33)4.99 (18)1.30 (29)11/01/2007
MSCI EAFE Index -22.72 (22)-16.37 (28)-13.92 (21)-1.33 (25)-0.13 (31)2.24 (36)3.20 (49)-0.11 (63)
Difference -10.11 -9.56 -12.07 -4.05 -1.33 0.07 1.79 1.41
IM International Large Cap Value Equity (SA+CF) Median -26.03 -19.02 -18.53 -4.04 -1.37 1.27 3.01 0.26
Galliard Core Fixed Income 1.14 (54)1.56 (54)5.84 (50)3.76 (46)2.92 (41)2.71 (38)3.52 (37)3.92 (73)10/01/2007
Bloomberg Barclays Intermed Aggregate Index 2.49 (22)2.96 (18)6.88 (21)3.87 (34)2.82 (52)2.62 (52)3.22 (71)3.86 (78)
Difference -1.35 -1.40 -1.04 -0.11 0.10 0.09 0.30 0.06
IM U.S. Intermediate Duration (SA+CF) Median 1.30 1.72 5.76 3.72 2.83 2.62 3.38 4.11
Galliard TIPS 0.46 (72)1.46 (72)4.66 (79)2.58 (90)2.18 (96)1.05 (83)2.50 (100)3.17 (100)10/01/2007
Blmbg. Barc. U.S. TIPS 1-10 Year 0.31 (77)1.31 (75)4.50 (86)2.54 (96)2.18 (97)0.98 (97)2.52 (100)3.20 (100)
Difference 0.15 0.15 0.16 0.04 0.00 0.07 -0.02 -0.03
IM U.S. TIPS (SA+CF) Median 1.53 2.27 6.55 3.47 2.68 1.38 3.49 3.93
Vanguard Inflation-Protected Secs (VAIPX)1.78 (14)2.34 (17)6.69 (17)3.26 (17)N/A N/A N/A 3.45 (15)01/01/2017
Bloomberg Barclays U.S. TIPS Index 1.69 (17)2.50 (13)6.85 (14)3.46 (12)2.67 (10)1.37 (5)3.48 (5)3.59 (11)
Difference 0.09 -0.16 -0.16 -0.20 N/A N/A N/A -0.14
IM U.S. TIPS (MF) Median -0.10 0.64 4.28 2.18 1.66 0.59 2.53 2.36
Vanguard Short Term Bond Index (VSCSX)-2.63 (76)-1.57 (69)1.34 (67)2.13 (47)2.03 (23)N/A N/A 2.13 (24)01/01/2015
Blmbg. Barc. U.S. Corporate 1-5 Year Index -2.19 (69)-1.26 (64)1.98 (59)2.39 (31)2.19 (10)2.17 (8)2.88 (17)2.33 (10)
Difference -0.44 -0.31 -0.64 -0.26 -0.16 N/A N/A -0.20
IM U.S. Intermediate Investment Grade (MF) Median -0.68 -0.30 2.38 2.06 1.65 1.53 2.28 1.78
PIMCO Diversified Income Fund Instl (PDIIX)-7.49 (83)-5.95 (81)-1.41 (77)N/A N/A N/A N/A 2.05 (25)04/01/2018
Blmbg. Barc. Global Credit (Hedged)-4.95 (62)-4.06 (59)1.74 (38)3.30 (12)3.23 (1)3.59 (1)4.68 (1)3.39 (8)
Difference -2.54 -1.89 -3.15 N/A N/A N/A N/A -1.34
IM Global Fixed Income (MF) Median -3.20 -3.28 0.97 2.28 1.79 1.29 2.50 0.76
American Core Realty Fund 1.54 (27)3.03 (32)6.11 (42)7.44 (58)8.45 (62)9.75 (62)10.91 (83)5.26 (69)10/01/2007
American Core Realty Policy 0.92 (61)2.46 (60)5.27 (64)7.05 (60)8.74 (58)10.01 (59)11.23 (69)7.05 (18)
Difference 0.62 0.57 0.84 0.39 -0.29 -0.26 -0.32 -1.79
IM U.S. Open End Private Real Estate (SA+CF) Median 1.23 2.87 5.88 7.56 9.10 10.75 12.31 5.73
Intercontinental 0.27 (79)3.50 (17)7.62 (11)9.11 (11)11.14 (17)12.11 (22)N/A 12.99 (34)10/01/2010
NCREIF Fund Index-ODCE 0.97 (61)2.49 (59)4.87 (70)6.81 (62)8.46 (62)9.90 (60)11.45 (64)10.96 (66)
Difference -0.70 1.01 2.75 2.30 2.68 2.21 N/A 2.03
IM U.S. Open End Private Real Estate (SA+CF) Median 1.23 2.87 5.88 7.56 9.10 10.75 12.31 11.83
Returns for periods greater than one year are annualized. Returns are expressed as percentages.
10/1/2007 inception date represents the date new managers were hired. Total Fund Policy represents new policy beginning 10/1/2009. Old policy geometrically linked to new policy. See benchmark history for details.
Parenthesized number represents pertinent peer group ranking: 1-100, best to worst. Crescent presented on IRR page.
Page 20
Comparative Performance - IRR
QTR 1 YR 3 YR 5 YR 7 YR Inception Inception
Date
Crescent Direct Lending Fund 0.00 5.74 1.29 8.30 N/A 7.74 10/14/2014
Crescent Direct Lending II Fund 0.00 6.89 N/A N/A N/A 8.71 03/13/2018
Comparative Performance - IRR
As of March 31, 2020
Page 21
Comparative Performance Fiscal Year Returns
FYTD
Oct-2018
To
Sep-2019
Oct-2017
To
Sep-2018
Oct-2016
To
Sep-2017
Oct-2015
To
Sep-2016
Oct-2014
To
Sep-2015
Oct-2013
To
Sep-2014
Oct-2012
To
Sep-2013
Oct-2011
To
Sep-2012
Oct-2010
To
Sep-2011
Oct-2009
To
Sep-2010
Total Fund (Net)-10.80 (89)2.78 (85)11.28 (3)14.16 (11)11.15 (17)0.33 (25)11.85 (15)15.72 (7)18.95 (25)-1.17 (85)10.67 (32)
Total Fund Policy -7.92 (36)4.35 (50)9.81 (10)12.89 (30)10.64 (25)0.55 (21)11.38 (23)15.00 (10)19.61 (16)2.51 (19)9.13 (69)
Difference -2.88 -1.57 1.47 1.27 0.51 -0.22 0.47 0.72 -0.66 -3.68 1.54
All Public Plans-Total Fund Median -8.56 4.32 7.13 11.82 9.74 -0.78 9.93 12.02 17.55 0.68 9.90
Total Fund (New Mgrs) (Net)-10.80 (89)2.78 (85)11.28 (3)14.16 (11)11.15 (17)0.33 (25)11.85 (15)15.72 (7)18.95 (25)-1.17 (85)10.66 (32)
Total Fund Policy -7.92 (36)4.35 (50)9.81 (10)12.89 (30)10.64 (25)0.55 (21)11.38 (23)15.00 (10)19.61 (16)2.51 (19)9.13 (69)
Difference -2.88 -1.57 1.47 1.27 0.51 -0.22 0.47 0.72 -0.66 -3.68 1.53
All Public Plans-Total Fund Median -8.56 4.32 7.13 11.82 9.74 -0.78 9.93 12.02 17.55 0.68 9.90
Total Fund (Gross)-10.66 (86)3.16 (79)11.63 (2)14.52 (8)11.51 (13)0.63 (20)12.21 (11)16.33 (5)19.81 (13)-0.45 (74)11.40 (18)
Total Fund Policy -7.92 (36)4.35 (50)9.81 (10)12.89 (30)10.64 (25)0.55 (21)11.38 (23)15.00 (10)19.61 (16)2.51 (19)9.13 (69)
Difference -2.74 -1.19 1.82 1.63 0.87 0.08 0.83 1.33 0.20 -2.96 2.27
All Public Plans-Total Fund Median -8.56 4.32 7.13 11.82 9.74 -0.78 9.93 12.02 17.55 0.68 9.90
Total Fund (New Mgrs) (Gross)-10.66 (86)3.16 (79)11.63 (2)14.52 (8)11.51 (13)0.63 (20)12.21 (11)16.33 (5)19.81 (13)-0.45 (74)11.40 (18)
Total Fund Policy -7.92 (36)4.35 (50)9.81 (10)12.89 (30)10.64 (25)0.55 (21)11.38 (23)15.00 (10)19.61 (16)2.51 (19)9.13 (69)
Difference -2.74 -1.19 1.82 1.63 0.87 0.08 0.83 1.33 0.20 -2.96 2.27
All Public Plans-Total Fund Median -8.56 4.32 7.13 11.82 9.74 -0.78 9.93 12.02 17.55 0.68 9.90
Total Equity -16.56 0.85 15.01 19.50 14.20 -1.52 15.46 23.09 27.08 -4.58 13.61
Total Equity Policy -14.31 2.09 14.18 19.00 13.13 -2.28 14.65 22.30 26.46 -1.66 9.34
Difference -2.25 -1.24 0.83 0.50 1.07 0.76 0.81 0.79 0.62 -2.92 4.27
Total Domestic Equity -13.73 (50)2.89 (52)17.88 (40)18.64 (52)15.21 (25)-0.59 (62)17.58 (69)21.85 (34)27.76 (61)-3.30 (90)14.19 (9)
Total Domestic Equity Policy -13.70 (49)2.92 (51)17.58 (46)18.71 (51)14.96 (29)-0.49 (61)17.76 (67)21.60 (37)30.20 (44)0.55 (58)10.96 (32)
Difference -0.03 -0.03 0.30 -0.07 0.25 -0.10 -0.18 0.25 -2.44 -3.85 3.23
IM U.S. Large Cap Core Equity (SA+CF) Median -13.76 3.09 17.24 18.74 13.34 0.11 19.19 20.61 29.63 1.17 9.57
Total International Equity -25.93 (94)-5.36 (69)6.76 (6)22.69 (37)10.74 (28)-4.36 (21)10.08 (8)27.54 (18)24.74 (3)-8.75 (53)11.69 (16)
MSCI EAFE Index -16.37 (28)-0.82 (31)3.25 (29)19.65 (56)7.06 (61)-8.27 (43)4.70 (63)24.29 (41)14.33 (57)-8.94 (55)3.71 (66)
Difference -9.56 -4.54 3.51 3.04 3.68 3.91 5.38 3.25 10.41 0.19 7.98
IM International Large Cap Value Equity (SA+CF) Median -19.02 -3.18 1.45 20.95 8.39 -9.40 5.74 22.94 15.46 -8.61 5.00
Total Fixed Income 0.59 8.69 2.41 3.59 4.93 1.40 3.23 -0.59 6.34 4.67 9.27
Total Fixed Policy 2.96 8.08 -0.93 0.25 3.57 2.95 2.74 -0.71 4.31 4.22 7.52
Difference -2.37 0.61 3.34 3.34 1.36 -1.55 0.49 0.12 2.03 0.45 1.75
Comparative Performance Fiscal Year Returns
Total Fund
As of March 31, 2020
Returns for periods greater than one year are annualized. Returns are expressed as percentages.
10/1/2007 inception date represents the date new managers were hired. Total Fund Policy represents new policy beginning 10/1/2009. Old policy geometrically linked to new policy. See benchmark history for details. Intercontinental Returns are preliminary
Parenthesized number represents pertinent peer group ranking: 1-100, best to worst
Page 22
Comparative Performance Fiscal Year Returns
Total Fund
As of March 31, 2020
FYTD
Oct-2018
To
Sep-2019
Oct-2017
To
Sep-2018
Oct-2016
To
Sep-2017
Oct-2015
To
Sep-2016
Oct-2014
To
Sep-2015
Oct-2013
To
Sep-2014
Oct-2012
To
Sep-2013
Oct-2011
To
Sep-2012
Oct-2010
To
Sep-2011
Oct-2009
To
Sep-2010
Total Domestic Fixed Income 1.64 (52)7.81 (66)-0.21 (35)0.61 (60)4.21 (30)2.31 (73)2.61 (63)-1.30 (95)5.88 (43)4.67 (13)9.27 (21)
Total Domestic Fixed Policy 2.96 (18)8.08 (44)-0.93 (95)0.25 (86)3.57 (73)2.95 (31)2.74 (58)-0.71 (77)4.31 (84)4.22 (23)7.52 (77)
Difference -1.32 -0.27 0.72 0.36 0.64 -0.64 -0.13 -0.59 1.57 0.45 1.75
IM U.S. Intermediate Duration (SA+CF) Median 1.72 7.98 -0.39 0.69 3.90 2.70 2.88 -0.27 5.56 3.61 8.25
Total Global Fixed Income N/A N/A N/A N/A 0.81 (100)-7.63 (93)6.31 (12)3.53 (2)N/A N/A N/A
Total Global Fixed Income Policy 1.64 (1)8.13 (39)-1.54 (55)-2.69 (94)9.71 (20)-3.83 (50)-0.07 (96)-4.60 (82)N/A N/A N/A
Difference N/A N/A N/A N/A -8.90 -3.80 6.38 8.13 N/A N/A N/A
IM Global Fixed Income (MF) Median -3.28 7.65 -1.29 1.02 7.42 -3.85 3.37 -1.81 7.17 1.74 7.68
Total Global FI -5.96 (81)9.53 (19)N/A N/A N/A N/A N/A N/A N/A N/A N/A
Blmbg. Barc. Global Credit (Hedged)-4.06 (59)10.83 (12)0.39 (17)3.04 (27)9.19 (25)0.86 (18)6.83 (9)1.46 (8)11.61 (5)1.69 (53)11.05 (28)
Difference -1.90 -1.30 N/A N/A N/A N/A N/A N/A N/A N/A N/A
IM Global Fixed Income (MF) Median -3.28 7.65 -1.29 1.02 7.42 -3.85 3.37 -1.81 7.17 1.74 7.68
Total Real Estate 3.32 (28)7.75 (30)10.25 (24)10.01 (18)11.44 (46)14.27 (63)13.47 (35)16.42 (18)12.81 (52)15.82 (70)2.71 (75)
NCREIF Fund Index-ODCE 2.49 (59)5.59 (77)8.68 (59)7.66 (59)10.08 (78)14.93 (57)12.40 (64)13.04 (53)11.61 (65)18.27 (42)6.97 (42)
Difference 0.83 2.16 1.57 2.35 1.36 -0.66 1.07 3.38 1.20 -2.45 -4.26
IM U.S. Open End Private Real Estate (SA+CF) Median 2.87 6.89 8.98 8.05 11.02 15.32 12.63 13.18 12.89 16.62 6.41
Returns for periods greater than one year are annualized. Returns are expressed as percentages.
10/1/2007 inception date represents the date new managers were hired. Total Fund Policy represents new policy beginning 10/1/2009. Old policy geometrically linked to new policy. See benchmark history for details. Intercontinental Returns are preliminary
Parenthesized number represents pertinent peer group ranking: 1-100, best to worst
Page 23
Comparative Performance Fiscal Year Returns
Total Fund
As of March 31, 2020
FYTD
Oct-2018
To
Sep-2019
Oct-2017
To
Sep-2018
Oct-2016
To
Sep-2017
Oct-2015
To
Sep-2016
Oct-2014
To
Sep-2015
Oct-2013
To
Sep-2014
Oct-2012
To
Sep-2013
Oct-2011
To
Sep-2012
Oct-2010
To
Sep-2011
Oct-2009
To
Sep-2010
Lateef Asset Mgmt.Equity N/A N/A N/A N/A N/A N/A N/A N/A 33.21 (9)-1.17 (76)11.93 (44)
Russell 1000 Growth Index -4.98 (37)3.71 (52)26.30 (37)21.94 (38)13.76 (23)3.17 (54)19.15 (40)19.27 (64)29.19 (39)3.78 (30)12.65 (36)
Difference N/A N/A N/A N/A N/A N/A N/A N/A 4.02 -4.95 -0.72
IM U.S. Large Cap Growth Equity (SA+CF) Median -6.14 3.82 24.44 20.83 11.60 3.53 18.19 20.25 27.69 1.38 11.29
RBC Global (Voyageur)-25.93 (94)-5.36 (69)6.76 (6)22.69 (37)10.74 (28)-4.36 (21)10.08 (8)27.54 (18)24.74 (3)-8.75 (53)11.69 (16)
MSCI EAFE Index -16.37 (28)-0.82 (31)3.25 (29)19.65 (56)7.06 (61)-8.27 (43)4.70 (63)24.29 (41)14.33 (57)-8.94 (55)3.71 (66)
Difference -9.56 -4.54 3.51 3.04 3.68 3.91 5.38 3.25 10.41 0.19 7.98
IM International Large Cap Value Equity (SA+CF) Median -19.02 -3.18 1.45 20.95 8.39 -9.40 5.74 22.94 15.46 -8.61 5.00
Vanguard Total Stock Market (VITSX)-13.73 (30)2.89 (38)17.62 (18)18.64 (38)15.00 (16)-0.59 (35)17.77 (32)N/A N/A N/A N/A
Vanguard Total Stock Market Index Hybrid -13.76 (30)2.92 (37)17.62 (18)18.64 (37)14.99 (16)-0.55 (34)17.77 (32)21.60 (59)30.28 (16)0.71 (26)11.16 (26)
Difference 0.03 -0.03 0.00 0.00 0.01 -0.04 0.00 N/A N/A N/A N/A
IM U.S. Multi-Cap Core Equity (MF) Median -16.07 1.47 14.71 17.56 11.62 -1.81 16.35 22.62 27.03 -1.53 9.25
Galliard Core Fixed Income 1.56 (54)8.50 (16)-0.43 (57)0.44 (72)4.36 (25)3.04 (26)3.15 (37)-0.64 (74)5.82 (44)4.16 (28)9.63 (17)
Bloomberg Barclays Intermed Aggregate Index 2.96 (18)8.08 (44)-0.93 (95)0.25 (86)3.57 (73)2.95 (31)2.74 (58)-0.71 (77)4.31 (84)4.22 (23)7.52 (77)
Difference -1.40 0.42 0.50 0.19 0.79 0.09 0.41 0.07 1.51 -0.06 2.11
IM U.S. Intermediate Duration (SA+CF) Median 1.72 7.98 -0.39 0.69 3.90 2.70 2.88 -0.27 5.56 3.61 8.25
Galliard TIPS 1.46 5.76 0.39 -0.23 4.75 -0.38 0.59 -3.71 6.01 6.73 7.28
Blmbg. Barc. U.S. TIPS 1-10 Year 1.31 5.75 0.33 -0.14 4.83 -0.82 0.61 -3.90 6.32 7.19 7.40
Difference 0.15 0.01 0.06 -0.09 -0.08 0.44 -0.02 0.19 -0.31 -0.46 -0.12
Templeton Global Bond Fund (FBNRX)N/A N/A N/A N/A 0.83 -7.63 6.33 3.54 N/A N/A N/A
FTSE World Government Bond Index 1.64 8.13 -1.54 -2.69 9.71 -3.83 -0.07 -4.60 3.29 4.61 4.99
Difference N/A N/A N/A N/A -8.88 -3.80 6.40 8.14 N/A N/A N/A
PIMCO Diversified Income Fund Instl (PDIIX)-5.95 (81)9.52 (19)N/A N/A N/A N/A N/A N/A N/A N/A N/A
Blmbg. Barc. Global Credit (Hedged)-4.06 (59)10.83 (12)0.39 (17)3.04 (27)9.19 (25)0.86 (18)6.83 (9)1.46 (8)11.61 (5)1.69 (53)11.05 (28)
Difference -1.89 -1.31 N/A N/A N/A N/A N/A N/A N/A N/A N/A
IM Global Fixed Income (MF) Median -3.28 7.65 -1.29 1.02 7.42 -3.85 3.37 -1.81 7.17 1.74 7.68
Vanguard Inflation-Protected Secs (VAIPX)2.34 (17)7.03 (13)0.23 (55)N/A N/A N/A N/A N/A N/A N/A N/A
Bloomberg Barclays U.S. TIPS Index 2.50 (13)7.13 (9)0.41 (41)-0.73 (61)6.58 (27)-0.83 (7)1.59 (19)-6.10 (46)9.10 (19)9.87 (6)8.89 (43)
Difference -0.16 -0.10 -0.18 N/A N/A N/A N/A N/A N/A N/A N/A
IM U.S. TIPS (MF) Median 0.64 5.71 0.29 -0.41 5.77 -1.90 0.95 -6.17 8.21 8.10 8.72
Vanguard Short Term Bond Index (VSCSX)-1.57 (69)6.71 (12)-0.14 (41)1.55 (27)3.40 (20)N/A N/A N/A N/A N/A N/A
Blmbg. Barc. U.S. Corporate 1-5 Year Index -1.26 (64)6.78 (11)0.11 (28)1.82 (20)3.33 (21)1.98 (8)2.46 (25)1.47 (16)6.29 (29)1.83 (58)8.25 (37)
Difference -0.31 -0.07 -0.25 -0.27 0.07 N/A N/A N/A N/A N/A N/A
IM U.S. Intermediate Investment Grade (MF) Median -0.30 5.40 -0.38 0.85 2.56 1.21 1.64 -0.52 4.93 1.99 7.52
Returns for periods greater than one year are annualized. Returns are expressed as percentages.
10/1/2007 inception date represents the date new managers were hired. Total Fund Policy represents new policy beginning 10/1/2009. Old policy geometrically linked to new policy. See benchmark history for details. Intercontinental Returns are preliminary
Parenthesized number represents pertinent peer group ranking: 1-100, best to worst
Page 24
Comparative Performance Fiscal Year Returns
Total Fund
As of March 31, 2020
FYTD
Oct-2018
To
Sep-2019
Oct-2017
To
Sep-2018
Oct-2016
To
Sep-2017
Oct-2015
To
Sep-2016
Oct-2014
To
Sep-2015
Oct-2013
To
Sep-2014
Oct-2012
To
Sep-2013
Oct-2011
To
Sep-2012
Oct-2010
To
Sep-2011
Oct-2009
To
Sep-2010
American Core Realty Fund 3.03 (32)6.81 (52)8.50 (61)7.52 (63)9.04 (91)13.98 (65)12.49 (60)12.27 (69)11.56 (66)16.11 (64)2.71 (75)
American Core Realty Policy 2.46 (60)6.17 (72)8.82 (55)7.81 (56)10.62 (65)14.71 (58)12.39 (64)12.47 (66)11.77 (64)18.03 (43)5.84 (55)
Difference 0.57 0.64 -0.32 -0.29 -1.58 -0.73 0.10 -0.20 -0.21 -1.92 -3.13
IM U.S. Open End Private Real Estate (SA+CF) Median 2.87 6.89 8.98 8.05 11.02 15.32 12.63 13.18 12.89 16.62 6.41
Intercontinental 3.50 (17)8.32 (23)11.40 (7)11.82 (6)13.30 (22)13.96 (65)14.10 (28)18.21 (9)13.38 (42)15.68 (71)N/A
NCREIF Fund Index-ODCE 2.49 (59)5.59 (77)8.68 (59)7.66 (59)10.08 (78)14.93 (57)12.40 (64)13.04 (53)11.61 (65)18.27 (42)6.97 (42)
Difference 1.01 2.73 2.72 4.16 3.22 -0.97 1.70 5.17 1.77 -2.59 N/A
IM U.S. Open End Private Real Estate (SA+CF) Median 2.87 6.89 8.98 8.05 11.02 15.32 12.63 13.18 12.89 16.62 6.41
Returns for periods greater than one year are annualized. Returns are expressed as percentages.
10/1/2007 inception date represents the date new managers were hired. Total Fund Policy represents new policy beginning 10/1/2009. Old policy geometrically linked to new policy. See benchmark history for details. Intercontinental Returns are preliminary
Parenthesized number represents pertinent peer group ranking: 1-100, best to worst
Page 25
Plan Sponsor Peer Group Analysis - All Public Plans-Total Fund
Comparative Performance
-24.00
-20.00
-16.00
-12.00
-8.00
-4.00
0.00
4.00
8.00
12.00
ReturnQTR FYTD 1 YR 2 YR 3 YR 4 YR 5 YR
Total Fund Portfolio -16.31 (93)-10.66 (86)-7.11 (84)-0.73 (58)3.17 (39)5.61 (19)4.73 (9)
Total Fund Policy -13.18 (52)-7.92 (36)-3.92 (36)0.98 (19)3.92 (19)5.83 (13)4.76 (8)
Median -13.12 -8.56 -4.77 -0.43 2.84 4.84 3.53
-10.00
-7.00
-4.00
-1.00
2.00
5.00
8.00
11.00
14.00
17.00
20.00
ReturnOct-2018
To
Sep-2019
Oct-2017
To
Sep-2018
Oct-2016
To
Sep-2017
Oct-2015
To
Sep-2016
Oct-2014
To
Sep-2015
Oct-2013
To
Sep-2014
Total Fund Portfolio 3.16 (79)11.63 (2)14.52 (8)11.51 (13)0.63 (20)12.21 (11)
Total Fund Policy 4.35 (50)9.81 (10)12.89 (30)10.64 (25)0.55 (21)11.38 (23)
Median 4.32 7.13 11.82 9.74 -0.78 9.93
1 QtrEndingDec-2019
1 QtrEndingSep-2019
1 QtrEndingJun-2019
1 QtrEndingMar-2019
1 QtrEndingDec-2018
1 QtrEndingSep-2018
Total Fund Portfolio 6.75 (6)0.72 (61)3.24 (53)9.36 (21)-9.28 (89)4.26 (4)
Total Fund Policy 6.07 (16)0.91 (44)3.40 (33)9.33 (22)-8.53 (75)3.96 (7)
All Public Plans-Total Fund Median 5.23 0.84 3.26 8.45 -7.55 2.58
As of March 31, 2020
Performance Review
Total Fund Portfolio
NONE
Page 26
Peer Group Scattergram - 3 Years
3 Yr Rolling Under/Over Performance - 5 Years
Peer Group Scattergram - 5 Years
3 Yr Rolling Percentile Ranking - 5 Years
Historical Statistics - 3 Years
Historical Statistics - 5 Years
Over Performance Earliest Date Latest Date
0.0
4.0
8.0
12.0
16.0
Total Fund Portfolio (%)0.0 4.0 8.0 12.0 16.0
Total Fund Policy (%)
Over
Performance
Under
Performance
0.0
25.0
50.0
75.0
100.0Return Percentile Rank6/15 12/15 6/16 12/16 6/17 12/17 6/18 12/18 6/19 3/20
Total Period 5-25
Count
25-Median
Count
Median-75
Count
75-95
Count
Total Fund Portfolio 20 19 (95%)1 (5%)0 (0%)0 (0%)
Total Fund Policy 20 20 (100%)0 (0%)0 (0%)0 (0%)
2.52
2.88
3.24
3.60
3.96
4.32
Return (%)10.80 11.34 11.88 12.42 12.96 13.50 14.04
Risk (Standard Deviation %)
Return StandardDeviation
Total Fund Portfolio 3.17 13.56
Total Fund Policy 3.92 11.88
Median 2.84 11.20¾
3.28
3.69
4.10
4.51
4.92
5.33
Return (%)8.8 9.2 9.6 10.0 10.4 10.8 11.2 11.6
Risk (Standard Deviation %)
Return StandardDeviation
Total Fund Portfolio 4.73 11.12
Total Fund Policy 4.76 9.82
Median 3.53 9.40¾
TrackingError
UpMarketCapture
DownMarketCapture Alpha InformationRatio SharpeRatio Beta DownsideRisk
Total Fund Portfolio 1.96 105.44 115.50 -1.12 -0.25 0.17 1.14 10.83
Total Fund Policy 0.00 100.00 100.00 0.00 N/A 0.23 1.00 9.07
90 Day U.S. Treasury Bill 11.95 10.96 -6.70 1.85 -0.23 N/A -0.01 0.00
Tracking
Error
Up
Market
Capture
Down
Market
Capture
Alpha Information
Ratio
Sharpe
Ratio Beta Downside
Risk
Total Fund Portfolio 1.67 107.76 112.99 -0.54 0.07 0.37 1.13 8.65
Total Fund Policy 0.00 100.00 100.00 0.00 N/A 0.41 1.00 7.33
90 Day U.S. Treasury Bill 9.88 8.17 -5.61 1.20 -0.41 N/A -0.01 0.00
As of March 31, 2020
Performance Review
Total Fund Portfolio
NONE
Page 27
Peer Group Analysis - IM U.S. Multi-Cap Core Equity (MF)
Comparative Performance
-44.00
-36.00
-28.00
-20.00
-12.00
-4.00
4.00
12.00
20.00
ReturnQTR FYTD 1 YR 2 YR 3 YR 4 YR 5 YR
Vanguard Total Stk Mkt (VITSX)-20.86 (38)-13.73 (30)-9.23 (32)-0.62 (23)3.99 (22)7.35 (16)5.74 (14)
Vanguard Total Stk Mkt Index Hyb -20.88 (39)-13.76 (30)-9.24 (32)-0.62 (23)3.99 (22)7.35 (15)5.74 (14)
Median -21.69 -16.07 -11.73 -3.56 1.79 5.09 3.30
-15.00
-10.00
-5.00
0.00
5.00
10.00
15.00
20.00
25.00
30.00
ReturnOct-2018
To
Sep-
2019
Oct-2017
To
Sep-
2018
Oct-2016
To
Sep-
2017
Oct-2015
To
Sep-
2016
Oct-2014
To
Sep-
2015
Oct-2013
To
Sep-
2014
Vanguard Total Stk Mkt (VITSX)2.89 (38)17.62 (18)18.64 (38)15.00 (16)-0.59 (35)17.77 (32)
Vanguard Total Stk Mkt Index Hyb 2.92 (37)17.62 (18)18.64 (37)14.99 (16)-0.55 (34)17.77 (32)
Median 1.47 14.71 17.56 11.62 -1.81 16.35
1 QtrEndingDec-2019
1 QtrEndingSep-2019
1 QtrEndingJun-2019
1 QtrEndingMar-2019
1 QtrEndingDec-2018
1 QtrEndingSep-2018
Vanguard Total Stk Mkt (VITSX)9.01 (29)1.09 (47)4.09 (41)14.04 (31)-14.26 (47)7.09 (23)
Vanguard Total Stock Market Index Hybrid 9.00 (30)1.11 (45)4.08 (43)14.06 (31)-14.26 (47)7.08 (24)
IM U.S. Multi-Cap Core Equity (MF) Median 8.07 1.00 3.87 13.29 -14.37 5.84
Performance Review
As of March 31, 2020
Vanguard Total Stk Mkt (VITSX)
NONE
Page 28
Peer Group Scattergram - 3 Years
3 Yr Rolling Under/Over Performance - 5 Years
Peer Group Scattergram - 5 Years
3 Yr Rolling Percentile Ranking - 5 Years
Historical Statistics - 3 Years
Historical Statistics - 5 Years
Under Performance Earliest Date Latest Date
0.0
5.0
10.0
15.0
20.0
Vanguard Total Stk Mkt (VITSX) (%)0.0 5.0 10.0 15.0 20.0
Vanguard Total Stock Market Index Hybrid (%)
Over
Performance
Under
Performance
0.0
25.0
50.0
75.0
100.0Return Percentile Rank6/15 12/15 6/16 12/16 6/17 12/17 6/18 12/18 6/19 3/20
Total Period 5-25
Count
25-Median
Count
Median-75
Count
75-95
Count
Vanguard Total Stk Mkt (VITSX)17 16 (94%)1 (6%)0 (0%)0 (0%)
Vanguard Total Stk Mkt Index Hyb 20 16 (80%)4 (20%)0 (0%)0 (0%)
1.44
2.16
2.88
3.60
4.32
5.04
Return (%)15.60 15.64 15.68 15.72 15.76
Risk (Standard Deviation %)
Return StandardDeviation
Vanguard Total Stk Mkt (VITSX)3.99 15.61
Vanguard Total Stk Mkt Index Hyb 3.99 15.61
Median 1.79 15.73¾
3.20
4.00
4.80
5.60
6.40
Return (%)13.90 14.00 14.10 14.20 14.30 14.40 14.50
Risk (Standard Deviation %)
Return StandardDeviation
Vanguard Total Stk Mkt (VITSX)5.74 14.04
Vanguard Total Stk Mkt Index Hyb 5.74 14.04
Median 3.30 14.43¾
TrackingError
UpMarketCapture
DownMarketCapture Alpha InformationRatio SharpeRatio Beta DownsideRisk
Vanguard Total Stk Mkt (VITSX)0.03 99.94 99.94 0.00 -0.10 0.22 1.00 12.39
Vanguard Total Stock Market Index Hybrid 0.00 100.00 100.00 0.00 N/A 0.22 1.00 12.40
90 Day U.S. Treasury Bill 15.67 5.61 -3.02 1.84 -0.22 N/A 0.00 0.00
Tracking
Error
Up
Market
Capture
Down
Market
Capture
Alpha Information
Ratio
Sharpe
Ratio Beta Downside
Risk
Vanguard Total Stk Mkt (VITSX)0.03 99.98 99.97 0.00 -0.04 0.39 1.00 10.48
Vanguard Total Stock Market Index Hybrid 0.00 100.00 100.00 0.00 N/A 0.39 1.00 10.48
90 Day U.S. Treasury Bill 14.08 3.88 -2.29 1.19 -0.39 N/A 0.00 0.01
Performance Review
As of March 31, 2020
Vanguard Total Stk Mkt (VITSX)
NONE
Page 29
Peer Group Analysis - IM International Large Cap Value Equity (SA+CF)
Comparative Performance
-46.00
-40.00
-34.00
-28.00
-22.00
-16.00
-10.00
-4.00
2.00
8.00
14.00
ReturnQTR FYTD 1 YR 2 YR 3 YR 4 YR 5 YR
RBC Global (Voyageur)-32.83 (93)-25.93 (94)-25.99 (92)-15.07 (81)-5.38 (73)-0.52 (64)-1.46 (53)
MSCI EAFE Index -22.72 (22)-16.37 (28)-13.92 (21)-8.73 (18)-1.33 (25)1.90 (26)-0.13 (31)
Median -26.03 -19.02 -18.53 -12.30 -4.04 -0.20 -1.37
-28.00
-20.00
-12.00
-4.00
4.00
12.00
20.00
28.00
36.00
44.00
ReturnOct-2018
To
Sep-2019
Oct-2017
To
Sep-2018
Oct-2016
To
Sep-2017
Oct-2015
To
Sep-2016
Oct-2014
To
Sep-2015
Oct-2013
To
Sep-2014
RBC Global (Voyageur)-5.36 (69)6.76 (6)22.69 (37)10.74 (28)-4.36 (21)10.08 (8)
MSCI EAFE Index -0.82 (31)3.25 (29)19.65 (56)7.06 (61)-8.27 (43)4.70 (63)
Median -3.18 1.45 20.95 8.39 -9.40 5.74
1 QtrEndingDec-2019
1 QtrEndingSep-2019
1 QtrEndingJun-2019
1 QtrEndingMar-2019
1 QtrEndingDec-2018
1 QtrEndingSep-2018
RBC Global (Voyageur)10.27 (37)-2.48 (78)2.47 (51)10.23 (34)-14.08 (71)1.54 (31)
MSCI EAFE Index 8.21 (81)-1.00 (36)3.97 (17)10.13 (37)-12.50 (43)1.42 (34)
IM International Large Cap Value Equity (SA+CF) Median 9.71 -1.44 2.47 9.58 -12.99 0.88
Performance Review
As of March 31, 2020
RBC Global (Voyageur)
NONE
Page 30
Peer Group Scattergram - 3 Years
3 Yr Rolling Under/Over Performance - 5 Years
Peer Group Scattergram - 5 Years
3 Yr Rolling Percentile Ranking - 5 Years
Historical Statistics - 3 Years
Historical Statistics - 5 Years
Over Performance Earliest Date Latest Date
-10.0
0.0
10.0
20.0
30.0
RBC Global (Voyageur) (%)-10.0 0.0 10.0 20.0 30.0
MSCI EAFE Index (%)
Over
Performance
Under
Performance
0.0
25.0
50.0
75.0
100.0Return Percentile Rank6/15 12/15 6/16 12/16 6/17 12/17 6/18 12/18 6/19 3/20
Total Period 5-25
Count
25-Median
Count
Median-75
Count
75-95
Count
RBC Global (Voyageur)20 16 (80%)3 (15%)1 (5%)0 (0%)
MSCI EAFE Index 20 1 (5%)9 (45%)10 (50%)0 (0%)
-7.50
-6.00
-4.50
-3.00
-1.50
0.00
1.50
Return (%)12.00 14.00 16.00 18.00 20.00
Risk (Standard Deviation %)
Return StandardDeviation
RBC Global (Voyageur)-5.38 19.06
MSCI EAFE Index -1.33 14.36
Median -4.04 16.37¾
-2.00
-1.50
-1.00
-0.50
0.00
0.50
Return (%)13.32 14.06 14.80 15.54 16.28 17.02 17.76
Risk (Standard Deviation %)
Return StandardDeviation
RBC Global (Voyageur)-1.46 17.18
MSCI EAFE Index -0.13 13.99
Median -1.37 15.19¾
TrackingError
UpMarketCapture
DownMarketCapture Alpha InformationRatio SharpeRatio Beta DownsideRisk
RBC Global (Voyageur)6.28 112.02 129.09 -3.17 -0.52 -0.28 1.28 16.27
MSCI EAFE Index 0.00 100.00 100.00 0.00 N/A -0.14 1.00 11.70
90 Day U.S. Treasury Bill 14.42 4.91 -4.65 1.83 0.14 N/A 0.00 0.00
Tracking
Error
Up
Market
Capture
Down
Market
Capture
Alpha Information
Ratio
Sharpe
Ratio Beta Downside
Risk
RBC Global (Voyageur)6.02 109.25 113.89 -0.92 -0.13 -0.06 1.16 13.92
MSCI EAFE Index 0.00 100.00 100.00 0.00 N/A -0.02 1.00 10.74
90 Day U.S. Treasury Bill 14.03 3.11 -3.00 1.17 0.02 N/A 0.00 0.01
Performance Review
As of March 31, 2020
RBC Global (Voyageur)
NONE
Page 31
Peer Group Analysis - IM U.S. Intermediate Duration (SA+CF)
Comparative Performance
-6.00
-4.00
-2.00
0.00
2.00
4.00
6.00
8.00
10.00
ReturnQTR FYTD 1 YR 2 YR 3 YR 4 YR 5 YR
Galliard Core Fixed Inc 1.14 (54)1.56 (54)5.84 (50)5.16 (49)3.76 (46)2.98 (53)2.92 (41)
Barclays Int Agg Index 2.49 (22)2.96 (18)6.88 (21)5.60 (24)3.87 (34)2.98 (54)2.82 (52)
Median 1.30 1.72 5.76 5.06 3.72 3.01 2.83
-4.00
-2.00
0.00
2.00
4.00
6.00
8.00
10.00
12.00
ReturnOct-2018
To
Sep-2019
Oct-2017
To
Sep-2018
Oct-2016
To
Sep-2017
Oct-2015
To
Sep-2016
Oct-2014
To
Sep-2015
Oct-2013
To
Sep-2014
Galliard Core Fixed Inc 8.50 (16)-0.43 (57)0.44 (72)4.36 (25)3.04 (26)3.15 (37)
Barclays Int Agg Index 8.08 (44)-0.93 (95)0.25 (86)3.57 (73)2.95 (31)2.74 (58)
Median 7.98 -0.39 0.69 3.90 2.70 2.88
1 QtrEndingDec-2019
1 QtrEndingSep-2019
1 QtrEndingJun-2019
1 QtrEndingMar-2019
1 QtrEndingDec-2018
1 QtrEndingSep-2018
Galliard Core Fixed Inc 0.41 (58)1.46 (36)2.72 (13)2.56 (35)1.51 (34)0.30 (67)
Barclays Int Agg Index 0.47 (47)1.38 (58)2.39 (67)2.28 (71)1.80 (9)0.11 (96)
IM U.S. Intermediate Duration (SA+CF) Median 0.44 1.42 2.51 2.45 1.38 0.37
Performance Review
As of March 31, 2020
Galliard Core Fixed Inc
NONE
Page 32
Peer Group Scattergram - 3 Years
3 Yr Rolling Under/Over Performance - 5 Years
Peer Group Scattergram - 5 Years
3 Yr Rolling Percentile Ranking - 5 Years
Historical Statistics - 3 Years
Historical Statistics - 5 Years
Over Performance Earliest Date Latest Date
0.0
1.0
2.0
3.0
4.0
5.0
Galliard Core Fixed Inc (%)0.0 1.0 2.0 3.0 4.0 5.0
Barclays Int Agg Index (%)
Over
Performance
Under
Performance
0.0
25.0
50.0
75.0
100.0Return Percentile Rank6/15 12/15 6/16 12/16 6/17 12/17 6/18 12/18 6/19 3/20
Total Period 5-25
Count
25-Median
Count
Median-75
Count
75-95
Count
Galliard Core Fixed Inc 20 2 (10%)17 (85%)1 (5%)0 (0%)
Barclays Int Agg Index 20 0 (0%)2 (10%)9 (45%)9 (45%)
3.72
3.78
3.84
3.90
3.96
Return (%)2.08 2.16 2.24 2.32 2.40 2.48 2.56 2.64 2.72
Risk (Standard Deviation %)
Return StandardDeviation
Galliard Core Fixed Inc 3.76 2.60
Barclays Int Agg Index 3.87 2.18
Median 3.72 2.27¾
2.76
2.80
2.84
2.88
2.92
2.96
Return (%)2.04 2.10 2.16 2.22 2.28 2.34 2.40 2.46 2.52
Risk (Standard Deviation %)
Return StandardDeviation
Galliard Core Fixed Inc 2.92 2.43
Barclays Int Agg Index 2.82 2.14
Median 2.83 2.20¾
TrackingError
UpMarketCapture
DownMarketCapture Alpha InformationRatio SharpeRatio Beta DownsideRisk
Galliard Core Fixed Inc 1.16 107.12 134.12 -0.35 -0.08 0.74 1.07 1.34
Barclays Int Agg Index 0.00 100.00 100.00 0.00 N/A 0.95 1.00 0.85
90 Day U.S. Treasury Bill 2.13 22.51 -47.16 1.72 -0.95 N/A 0.03 0.00
Tracking
Error
Up
Market
Capture
Down
Market
Capture
Alpha Information
Ratio
Sharpe
Ratio Beta Downside
Risk
Galliard Core Fixed Inc 0.92 108.22 117.02 -0.03 0.11 0.73 1.05 1.34
Barclays Int Agg Index 0.00 100.00 100.00 0.00 N/A 0.79 1.00 1.08
90 Day U.S. Treasury Bill 2.08 17.75 -26.25 1.06 -0.79 N/A 0.04 0.01
Performance Review
As of March 31, 2020
Galliard Core Fixed Inc
NONE
Page 33
Peer Group Analysis - IM U.S. TIPS (SA+CF)
Comparative Performance
-4.00
-2.00
0.00
2.00
4.00
6.00
8.00
10.00
ReturnQTR FYTD 1 YR 2 YR 3 YR 4 YR 5 YR
Galliard TIPS 0.46 (72)1.46 (72)4.66 (79)3.70 (76)2.58 (90)2.32 (86)2.18 (96)
Barclays US TIPS 1-10 Yr 0.31 (77)1.31 (75)4.50 (86)3.60 (86)2.54 (96)2.26 (97)2.18 (97)
Median 1.53 2.27 6.55 4.69 3.47 2.97 2.68
-6.00
-4.00
-2.00
0.00
2.00
4.00
6.00
8.00
10.00
12.00
ReturnOct-2018
To
Sep-2019
Oct-2017
To
Sep-2018
Oct-2016
To
Sep-2017
Oct-2015
To
Sep-2016
Oct-2014
To
Sep-2015
Oct-2013
To
Sep-2014
Galliard TIPS 5.76 (85)0.39 (78)-0.23 (36)4.75 (95)-0.38 (18)0.59 (86)
Barclays US TIPS 1-10 Yr 5.75 (87)0.33 (92)-0.14 (33)4.83 (95)-0.82 (53)0.61 (82)
Median 7.09 0.42 -0.55 6.56 -0.80 1.57
1 QtrEndingDec-2019
1 QtrEndingSep-2019
1 QtrEndingJun-2019
1 QtrEndingMar-2019
1 QtrEndingDec-2018
1 QtrEndingSep-2018
Galliard TIPS 1.00 (25)0.64 (84)2.49 (87)2.61 (85)-0.08 (21)-0.40 (18)
Barclays US TIPS 1-10 Yr 1.00 (25)0.60 (90)2.53 (77)2.57 (98)-0.05 (6)-0.42 (22)
IM U.S. TIPS (SA+CF) Median 0.80 1.30 2.86 3.20 -0.42 -0.80
Performance Review
As of March 31, 2020
Galliard TIPS
NONE
Page 34
Peer Group Scattergram - 3 Years
3 Yr Rolling Under/Over Performance - 5 Years
Peer Group Scattergram - 5 Years
3 Yr Rolling Percentile Ranking - 5 Years
Historical Statistics - 3 Years
Historical Statistics - 5 Years
Over Performance Under Performance
Earliest Date Latest Date
-4.0
-2.0
0.0
2.0
4.0
Galliard TIPS (%)-4.0 -2.0 0.0 2.0 4.0
Barclays US TIPS 1-10 Yr (%)
Over
Performance
Under
Performance
0.0
25.0
50.0
75.0
100.0Return Percentile Rank6/15 12/15 6/16 12/16 6/17 12/17 6/18 12/18 6/19 3/20
Total Period 5-25
Count
25-Median
Count
Median-75
Count
75-95
Count
Galliard TIPS 20 3 (15%)1 (5%)3 (15%)13 (65%)
Barclays US TIPS 1-10 Yr 20 2 (10%)0 (0%)2 (10%)16 (80%)
2.17
2.48
2.79
3.10
3.41
3.72
Return (%)2.34 2.52 2.70 2.88 3.06 3.24 3.42 3.60
Risk (Standard Deviation %)
Return StandardDeviation
Galliard TIPS 2.58 2.47
Barclays US TIPS 1-10 Yr 2.54 2.47
Median 3.47 3.40¾
2.00
2.20
2.40
2.60
2.80
Return (%)2.21 2.38 2.55 2.72 2.89 3.06 3.23 3.40 3.57
Risk (Standard Deviation %)
Return StandardDeviation
Galliard TIPS 2.18 2.55
Barclays US TIPS 1-10 Yr 2.18 2.49
Median 2.68 3.36¾
TrackingError
UpMarketCapture
DownMarketCapture Alpha InformationRatio SharpeRatio Beta DownsideRisk
Galliard TIPS 0.19 100.09 98.57 0.04 0.20 0.31 1.00 1.51
Barclays US TIPS 1-10 Yr 0.00 100.00 100.00 0.00 N/A 0.29 1.00 1.52
90 Day U.S. Treasury Bill 2.45 25.76 -21.95 1.81 -0.29 N/A 0.01 0.00
Tracking
Error
Up
Market
Capture
Down
Market
Capture
Alpha Information
Ratio
Sharpe
Ratio Beta Downside
Risk
Galliard TIPS 0.38 99.70 99.20 -0.02 0.02 0.41 1.01 1.48
Barclays US TIPS 1-10 Yr 0.00 100.00 100.00 0.00 N/A 0.41 1.00 1.48
90 Day U.S. Treasury Bill 2.47 17.63 -13.32 1.14 -0.41 N/A 0.01 0.01
Performance Review
As of March 31, 2020
Galliard TIPS
NONE
Page 35
Peer Group Analysis - IM U.S. Intermediate Investment Grade (MF)
Comparative Performance
-8.00
-6.00
-4.00
-2.00
0.00
2.00
4.00
6.00
8.00
10.00
ReturnQTR FYTD 1 YR 2 YR 3 YR 4 YR 5 YR
VG ST Bond Index (VSCSX)-2.63 (76)-1.57 (69)1.34 (67)2.97 (50)2.13 (47)2.05 (37)2.03 (23)
Barclays US Corp 1-5 Yr Index -2.19 (69)-1.26 (64)1.98 (59)3.19 (40)2.39 (31)2.30 (18)2.19 (10)
Median -0.68 -0.30 2.38 2.95 2.06 1.88 1.65
-4.00
-2.00
0.00
2.00
4.00
6.00
8.00
10.00
ReturnOct-2018
To
Sep-2019
Oct-2017
To
Sep-2018
Oct-2016
To
Sep-2017
Oct-2015
To
Sep-2016
Oct-2014
To
Sep-2015
Oct-2013
To
Sep-2014
VG ST Bond Index (VSCSX)6.71 (12)-0.14 (41)1.55 (27)3.40 (20)N/A N/A
Barclays US Corp 1-5 Yr Index 6.78 (11)0.11 (28)1.82 (20)3.33 (21)1.98 (8)2.46 (25)
Median 5.40 -0.38 0.85 2.56 1.21 1.64
1 QtrEndingDec-2019
1 QtrEndingSep-2019
1 QtrEndingJun-2019
1 QtrEndingMar-2019
1 QtrEndingDec-2018
1 QtrEndingSep-2018
VG ST Bond Index (VSCSX)1.09 (6)1.19 (12)1.75 (57)2.66 (13)0.97 (44)0.67 (15)
Barclays US Corp 1-5 Yr Index 0.95 (9)1.17 (14)2.09 (20)2.61 (17)0.76 (54)0.71 (8)
IM U.S. Intermediate Investment Grade (MF) Median 0.49 0.87 1.79 1.88 0.80 0.34
Performance Review
As of March 31, 2020
VG ST Bond Index (VSCSX)
NONE
Page 36
Peer Group Analysis - IM U.S. TIPS (MF)
Comparative Performance
-20.00
-16.00
-12.00
-8.00
-4.00
0.00
4.00
8.00
12.00
16.00
ReturnQTR FYTD 1 YR 2 YR 3 YR 4 YR 5 YR
Vanguard Infl-Protected Secs (VAIPX)1.78 (14)2.34 (17)6.69 (17)4.68 (15)3.26 (17)N/A N/A
Bloomberg Barclays U.S. TIPS Index 1.69 (17)2.50 (13)6.85 (14)4.76 (13)3.46 (12)2.96 (13)2.67 (10)
Median -0.10 0.64 4.28 3.11 2.18 1.94 1.66
-13.00
-10.00
-7.00
-4.00
-1.00
2.00
5.00
8.00
11.00
14.00
ReturnOct-
2018
To
Sep-
2019
Oct-
2017
To
Sep-
2018
Oct-
2016
To
Sep-
2017
Oct-
2015
To
Sep-
2016
Oct-
2014
To
Sep-
2015
Oct-
2013
To
Sep-
2014
Vanguard Infl-Protected Secs (VAIPX)7.03 (13)0.23 (55)N/A N/A N/A N/A
Bloomberg Barclays U.S. TIPS Index 7.13 (9)0.41 (41)-0.73 (61)6.58 (27)-0.83 (7)1.59 (19)
Median 5.71 0.29 -0.41 5.77 -1.90 0.95
1 QtrEndingDec-2019
1 QtrEndingSep-2019
1 QtrEndingJun-2019
1 QtrEndingMar-2019
1 QtrEndingDec-2018
1 QtrEndingSep-2018
Vanguard Infl-Protected Secs (VAIPX)0.56 (86)1.42 (14)2.79 (17)3.19 (45)-0.50 (30)-0.79 (59)
Bloomberg Barclays U.S. TIPS Index 0.79 (64)1.35 (19)2.86 (11)3.19 (44)-0.42 (24)-0.82 (61)
IM U.S. TIPS (MF) Median 0.97 0.80 2.50 3.16 -0.84 -0.72
Performance Review
As of March 31, 2020
Vanguard Infl-Protected Secs (VAIPX)
NONE
Page 37
Peer Group Scattergram - 3 Years
3 Yr Rolling Under/Over Performance - 5 Years
Peer Group Scattergram - 5 Years
3 Yr Rolling Percentile Ranking - 5 Years
Historical Statistics - 3 Years
Historical Statistics - 5 Years
Earliest Date Latest Date
3.0
3.2
3.4
3.6
Vanguard Infl-Protected Secs (VAIPX) (%)3.0 3.2 3.4 3.6
Bloomberg Barclays U.S. TIPS Index (%)
Over
Performance
Under
Performance
0.0
25.0
50.0
75.0
100.0Return Percentile Rank6/15 12/15 6/16 12/16 6/17 12/17 6/18 12/18 6/19 3/20
Total
Period
5-25
Count
25-Median
Count
Median-75
Count
75-95
Count
Vanguard Infl-Protected Secs (VAIPX)2 1 (50%)1 (50%)0 (0%)0 (0%)
Bloomberg Barclays U.S. TIPS Index 20 16 (80%)4 (20%)0 (0%)0 (0%)
1.72
2.15
2.58
3.01
3.44
3.87
Return (%)3.16 3.20 3.24 3.28 3.32 3.36 3.40 3.44
Risk (Standard Deviation %)
Return StandardDeviation
Vanguard Infl-Protected Secs (VAIPX)3.26 3.21
Bloomberg Barclays U.S. TIPS Index 3.46 3.39
Median 2.18 3.38¾
1.36
1.70
2.04
2.38
2.72
3.06
Return (%)3.34 3.35
Risk (Standard Deviation %)
Return StandardDeviation
Vanguard Infl-Protected Secs (VAIPX)N/A N/A
Bloomberg Barclays U.S. TIPS Index 2.67 3.35
Median 1.66 3.34¾
TrackingError
UpMarketCapture
DownMarketCapture Alpha InformationRatio SharpeRatio Beta DownsideRisk
Vanguard Infl-Protected Secs (VAIPX)0.49 93.96 93.60 0.02 -0.40 0.46 0.94 1.76
Bloomberg Barclays U.S. TIPS Index 0.00 100.00 100.00 0.00 N/A 0.49 1.00 1.94
90 Day U.S. Treasury Bill 3.37 18.71 -17.62 1.80 -0.49 N/A 0.01 0.00
Tracking
Error
Up
Market
Capture
Down
Market
Capture
Alpha Information
Ratio
Sharpe
Ratio Beta Downside
Risk
Vanguard Infl-Protected Secs (VAIPX)N/A N/A N/A N/A N/A N/A N/A N/A
Bloomberg Barclays U.S. TIPS Index 0.00 100.00 100.00 0.00 N/A 0.46 1.00 1.95
90 Day U.S. Treasury Bill 3.32 12.95 -10.61 1.14 -0.46 N/A 0.01 0.01
Performance Review
As of March 31, 2020
Vanguard Infl-Protected Secs (VAIPX)
NONE
Page 38
Peer Group Analysis - IM Global Fixed Income (MF)
Comparative Performance
-16.00
-13.00
-10.00
-7.00
-4.00
-1.00
2.00
5.00
8.00
11.00
ReturnQTR FYTD 1 YR 2 YR 3 YR 4 YR 5 YR
PIMCO Diversified Inc Fd Instl (PDIIX)-7.49 (83)-5.95 (81)-1.41 (77)2.05 (25)N/A N/A N/A
Blmbg. Barc. Global Credit (Hedged)-4.95 (62)-4.06 (59)1.74 (38)3.39 (8)3.30 (12)3.83 (1)3.23 (1)
Median -3.20 -3.28 0.97 0.76 2.28 2.03 1.79
-16.00
-12.00
-8.00
-4.00
0.00
4.00
8.00
12.00
16.00
20.00
ReturnOct-
2018
To
Sep-
2019
Oct-
2017
To
Sep-
2018
Oct-
2016
To
Sep-
2017
Oct-
2015
To
Sep-
2016
Oct-
2014
To
Sep-
2015
Oct-
2013
To
Sep-
2014
PIMCO Diversified Inc Fd Instl (PDIIX)9.52 (19)N/A N/A N/A N/A N/A
Blmbg. Barc. Global Credit (Hedged)10.83 (12)0.39 (17)3.04 (27)9.19 (25)0.86 (18)6.83 (9)
Median 7.65 -1.29 1.02 7.42 -3.85 3.37
1 QtrEndingDec-2019
1 QtrEndingSep-2019
1 QtrEndingJun-2019
1 QtrEndingMar-2019
1 QtrEndingDec-2018
1 QtrEndingSep-2018
PIMCO Diversified Inc Fd Instl (PDIIX)1.66 (10)1.20 (46)3.59 (37)5.81 (1)-1.26 (91)2.03 (1)
Blmbg. Barc. Global Credit (Hedged)0.93 (33)2.36 (10)3.60 (36)4.71 (6)-0.19 (66)0.98 (8)
IM Global Fixed Income (MF) Median 0.74 1.01 3.37 3.10 0.35 -0.39
Performance Review
As of March 31, 2020
PIMCO Diversified Inc Fd Instl (PDIIX)
NONE
Page 39
Peer Group Scattergram - 3 Years
3 Yr Rolling Under/Over Performance - 5 Years
Peer Group Scattergram - 5 Years
3 Yr Rolling Percentile Ranking - 5 Years
Historical Statistics - 3 Years
Historical Statistics - 5 Years
No data found.0.0
25.0
50.0
75.0
100.0Return Percentile Rank6/15 12/15 6/16 12/16 6/17 12/17 6/18 12/18 6/19 3/20
Total
Period
5-25
Count
25-Median
Count
Median-75
Count
75-95
Count
PIMCO Diversified Inc Fd Instl (PDIIX)0 0 0 0 0
Blmbg. Barc. Global Credit (Hedged)20 19 (95%)1 (5%)0 (0%)0 (0%)
2.04
2.38
2.72
3.06
3.40
3.74
Return (%)4.20 4.40 4.60 4.80 5.00 5.20
Risk (Standard Deviation %)
Return StandardDeviation
PIMCO Diversified Inc Fd Instl (PDIIX)N/A N/A
Blmbg. Barc. Global Credit (Hedged)3.30 5.06
Median 2.28 4.46¾
1.44
1.92
2.40
2.88
3.36
3.84
Return (%)4.41 4.50 4.59 4.68 4.77 4.86 4.95 5.04
Risk (Standard Deviation %)
Return StandardDeviation
PIMCO Diversified Inc Fd Instl (PDIIX)N/A N/A
Blmbg. Barc. Global Credit (Hedged)3.23 4.50
Median 1.79 4.94¾
TrackingError
UpMarketCapture
DownMarketCapture Alpha InformationRatio SharpeRatio Beta DownsideRisk
PIMCO Diversified Inc Fd Instl (PDIIX)N/A N/A N/A N/A N/A N/A N/A N/A
Blmbg. Barc. Global Credit (Hedged)0.00 100.00 100.00 0.00 N/A 0.31 1.00 4.19
90 Day U.S. Treasury Bill 5.11 17.61 -16.46 1.86 -0.31 N/A -0.01 0.00
Tracking
Error
Up
Market
Capture
Down
Market
Capture
Alpha Information
Ratio
Sharpe
Ratio Beta Downside
Risk
PIMCO Diversified Inc Fd Instl (PDIIX)N/A N/A N/A N/A N/A N/A N/A N/A
Blmbg. Barc. Global Credit (Hedged)0.00 100.00 100.00 0.00 N/A 0.47 1.00 3.49
90 Day U.S. Treasury Bill 4.53 11.58 -10.88 1.18 -0.47 N/A 0.00 0.01
Performance Review
As of March 31, 2020
PIMCO Diversified Inc Fd Instl (PDIIX)
NONE
Page 40
Peer Group Analysis - IM U.S. Open End Private Real Estate (SA+CF)
Comparative Performance
-10.00
-7.00
-4.00
-1.00
2.00
5.00
8.00
11.00
14.00
17.00
20.00
ReturnQTR FYTD 1 YR 2 YR 3 YR 4 YR 5 YR
American Core RE 1.54 (27)3.03 (32)6.11 (42)7.15 (53)7.44 (58)7.26 (62)8.45 (62)
American Core RE Policy 0.92 (61)2.46 (60)5.27 (64)6.50 (62)7.05 (60)7.44 (59)8.74 (58)
Median 1.23 2.87 5.88 7.18 7.56 7.86 9.10
-4.00
0.00
4.00
8.00
12.00
16.00
20.00
24.00
28.00
ReturnOct-2018
To
Sep-2019
Oct-2017
To
Sep-2018
Oct-2016
To
Sep-2017
Oct-2015
To
Sep-2016
Oct-2014
To
Sep-2015
Oct-2013
To
Sep-2014
American Core RE 6.81 (52)8.50 (61)7.52 (63)9.04 (91)13.98 (65)12.49 (60)
American Core RE Policy 6.17 (72)8.82 (55)7.81 (56)10.62 (65)14.71 (58)12.39 (64)
Median 6.89 8.98 8.05 11.02 15.32 12.63
1 QtrEndingDec-2019
1 QtrEndingSep-2019
1 QtrEndingJun-2019
1 QtrEndingMar-2019
1 QtrEndingDec-2018
1 QtrEndingSep-2018
American Core RE 1.46 (71)1.44 (71)1.53 (26)1.74 (72)1.94 (25)2.19 (43)
American Core RE Policy 1.53 (63)1.39 (75)1.34 (57)1.69 (76)1.62 (58)2.09 (51)
IM U.S. Open End Private Real Estate (SA+CF) Median 1.65 1.75 1.41 1.99 1.73 2.09
Performance Review
As of March 31, 2020
American Core RE
NONE
Page 41
Peer Group Scattergram - 3 Years
3 Yr Rolling Under/Over Performance - 5 Years
Peer Group Scattergram - 5 Years
3 Yr Rolling Percentile Ranking - 5 Years
Historical Statistics - 3 Years
Historical Statistics - 5 Years
Over Performance Under Performance
Earliest Date Latest Date
3.0
6.0
9.0
12.0
15.0
18.0
American Core RE (%)3.0 6.0 9.0 12.0 15.0 18.0
American Core RE Policy (%)
Over
Performance
Under
Performance
0.0
25.0
50.0
75.0
100.0Return Percentile Rank6/15 12/15 6/16 12/16 6/17 12/17 6/18 12/18 6/19 3/20
Total Period 5-25
Count
25-Median
Count
Median-75
Count
75-95
Count
American Core RE 20 0 (0%)0 (0%)13 (65%)7 (35%)
American Core RE Policy 20 0 (0%)1 (5%)19 (95%)0 (0%)
6.80
7.00
7.20
7.40
7.60
7.80
Return (%)0.40 0.50 0.60 0.70 0.80 0.90 1.00 1.10 1.20
Risk (Standard Deviation %)
Return StandardDeviation
American Core RE 7.44 0.54
American Core RE Policy 7.05 0.75
Median 7.56 1.05¾
8.10
8.40
8.70
9.00
9.30
Return (%)1.26 1.32 1.38 1.44 1.50 1.56 1.62 1.68
Risk (Standard Deviation %)
Return StandardDeviation
American Core RE 8.45 1.33
American Core RE Policy 8.74 1.49
Median 9.10 1.61¾
TrackingError
UpMarketCapture
DownMarketCapture Alpha InformationRatio SharpeRatio Beta DownsideRisk
American Core RE 0.48 105.41 N/A 3.50 0.77 7.71 0.55 0.00
American Core RE Policy 0.00 100.00 N/A 0.00 N/A 5.41 1.00 0.00
90 Day U.S. Treasury Bill 0.93 26.42 N/A 3.32 -5.41 N/A -0.21 0.00
Tracking
Error
Up
Market
Capture
Down
Market
Capture
Alpha Information
Ratio
Sharpe
Ratio Beta Downside
Risk
American Core RE 0.79 96.80 N/A 1.80 -0.34 4.38 0.76 0.00
American Core RE Policy 0.00 100.00 N/A 0.00 N/A 3.96 1.00 0.00
90 Day U.S. Treasury Bill 1.85 13.74 N/A 3.13 -3.96 N/A -0.23 0.00
Performance Review
As of March 31, 2020
American Core RE
NONE
Page 42
Peer Group Analysis - IM U.S. Open End Private Real Estate (SA+CF)
Comparative Performance
-10.00
-7.00
-4.00
-1.00
2.00
5.00
8.00
11.00
14.00
17.00
20.00
ReturnQTR FYTD 1 YR 2 YR 3 YR 4 YR 5 YR
Intercontinental 0.27 (79)3.50 (17)7.62 (11)8.74 (11)9.11 (11)10.26 (11)11.14 (17)
NCREIF Fund Index 0.98 (61)2.50 (59)4.88 (70)6.19 (69)6.81 (62)7.19 (63)8.46 (61)
Median 1.23 2.87 5.88 7.18 7.56 7.86 9.10
-4.00
0.00
4.00
8.00
12.00
16.00
20.00
24.00
28.00
ReturnOct-2018
To
Sep-2019
Oct-2017
To
Sep-2018
Oct-2016
To
Sep-2017
Oct-2015
To
Sep-2016
Oct-2014
To
Sep-2015
Oct-2013
To
Sep-2014
Intercontinental 8.32 (23)11.40 (7)11.82 (6)13.30 (22)13.96 (65)14.10 (28)
NCREIF Fund Index 5.59 (77)8.68 (59)7.66 (59)10.08 (78)14.93 (57)12.40 (64)
Median 6.89 8.98 8.05 11.02 15.32 12.63
1 QtrEndingDec-2019
1 QtrEndingSep-2019
1 QtrEndingJun-2019
1 QtrEndingMar-2019
1 QtrEndingDec-2018
1 QtrEndingSep-2018
Intercontinental 3.22 (9)2.50 (19)1.45 (45)1.98 (52)2.14 (18)2.52 (22)
NCREIF Fund Index 1.51 (66)1.31 (77)1.00 (84)1.42 (78)1.76 (47)2.09 (50)
IM U.S. Open End Private Real Estate (SA+CF) Median 1.65 1.75 1.41 1.99 1.73 2.09
Performance Review
As of March 31, 2020
Intercontinental
NONE
Page 43
Peer Group Scattergram - 3 Years
3 Yr Rolling Under/Over Performance - 5 Years
Peer Group Scattergram - 5 Years
3 Yr Rolling Percentile Ranking - 5 Years
Historical Statistics - 3 Years
Historical Statistics - 5 Years
Over Performance Earliest Date Latest Date
3.0
6.0
9.0
12.0
15.0
18.0
Intercontinental (%)3.0 6.0 9.0 12.0 15.0 18.0
NCREIF Fund Index (%)
Over
Performance
Under
Performance
0.0
25.0
50.0
75.0
100.0Return Percentile Rank6/15 12/15 6/16 12/16 6/17 12/17 6/18 12/18 6/19 3/20
Total Period 5-25
Count
25-Median
Count
Median-75
Count
75-95
Count
Intercontinental 20 14 (70%)6 (30%)0 (0%)0 (0%)
NCREIF Fund Index 20 0 (0%)0 (0%)20 (100%)0 (0%)
6.24
7.02
7.80
8.58
9.36
10.14
Return (%)0.60 0.80 1.00 1.20 1.40 1.60 1.80
Risk (Standard Deviation %)
Return StandardDeviation
Intercontinental 9.11 1.57
NCREIF Fund Index 6.81 0.81
Median 7.56 1.05¾
7.36
8.28
9.20
10.12
11.04
11.96
Return (%)1.15 1.38 1.61 1.84 2.07 2.30 2.53 2.76 2.99
Risk (Standard Deviation %)
Return StandardDeviation
Intercontinental 11.14 2.69
NCREIF Fund Index 8.46 1.51
Median 9.10 1.61¾
TrackingError
UpMarketCapture
DownMarketCapture Alpha InformationRatio SharpeRatio Beta DownsideRisk
Intercontinental 1.18 132.73 N/A 0.04 1.84 4.19 1.32 0.00
NCREIF Fund Index 0.00 100.00 N/A 0.00 N/A 4.80 1.00 0.00
90 Day U.S. Treasury Bill 1.01 27.31 N/A 3.30 -4.80 N/A -0.22 0.00
Tracking
Error
Up
Market
Capture
Down
Market
Capture
Alpha Information
Ratio
Sharpe
Ratio Beta Downside
Risk
Intercontinental 2.17 130.73 N/A 2.11 1.16 3.26 1.05 0.00
NCREIF Fund Index 0.00 100.00 N/A 0.00 N/A 3.77 1.00 0.00
90 Day U.S. Treasury Bill 1.87 14.19 N/A 3.03 -3.77 N/A -0.22 0.00
Performance Review
As of March 31, 2020
Intercontinental
NONE
Page 44
Fund Information
Type of Fund:Direct Vintage Year:2014
Strategy Type:Other Management Fee:1.35% of invested equity capital
Size of Fund:-Preferred Return:7.00%
Inception:09/05/2014 General Partner:CDL Levered General Partner, Ltd.
Final Close:9/5/2015 expected Number of Funds:
Investment Strategy:High Current income while focusing on preservation of capital through investment primarily in senior secured loans of private U.S. lower-middle-market companies. The Fund will seek to
enhance returns on its investments through the use of leverage. Fund size is $250 million/ $500 million with leverage.
Cash Flow Summary
Capital Committed:$2,000,000
Capital Invested:$2,955,307
Management Fees:$54,240
Expenses:$196,371
Interest:-
Total Contributions:$2,955,307
Remaining Capital Commitment:$282,673
Total Distributions:$2,408,510
Market Value:$1,035,502
Inception Date:10/14/2014
Inception IRR:7.7
TVPI:1.2
Cash Flow Analysis
Net Asset Value Distribution Contributions
$0.0
$780,000.0
$1,560,000.0
$2,340,000.0
$3,120,000.0
$3,900,000.0
($780,000.0)
10/14 4/15 10/15 4/16 10/16 4/17 10/17 4/18 10/18 4/19 10/19 3/20
Private Equity Fund Overview
Crescent Direct Lending Fund
As of March 31, 2020
Page 45
Fund Information
Type of Fund:Direct Vintage Year:2017
Strategy Type:Other Management Fee:75.% of invested equity capital
Size of Fund:1,500,000,000 Preferred Return:7.00%
Inception:09/27/2017 General Partner:Crescent Direct Lending II GP, LLC
Final Close:Number of Funds:
Investment Strategy:Crescent Direct Lending Levered Fund II intends to invest in directly originated senior secured loans (including primarily first lien and unitranche loans and to a lesser extent second lien
loans) of private U.S. lower-middle-market companies, primarily in conjunction with private equity investment firms.
Cash Flow Summary
Capital Committed:$2,000,000
Capital Invested:$1,703,556
Management Fees:$11,301
Expenses:$12,484
Interest:-
Total Contributions:$1,703,556
Remaining Capital Commitment:$489,213
Total Distributions:$315,217
Market Value:$1,532,035
Inception Date:03/13/2018
Inception IRR:8.7
TVPI:1.1
Cash Flow Analysis
Net Asset Value Distribution Contributions
$0.0
$468,000.0
$936,000.0
$1,404,000.0
$1,872,000.0
$2,340,000.0
($468,000.0)
3/18 6/18 9/18 12/18 3/19 6/19 9/19 12/19 3/20
Private Equity Fund Overview
Crescent Direct Lending II Fund
As of March 31, 2020
Page 46
Total Fund Policy
Allocation Mandate Weight (%)
Jan-1976
S&P 500 Index 65.00
Blmbg. Barc. U.S. Aggregate Index 30.00
MSCI EAFE Index 5.00
Oct-2003
S&P 500 Index 60.00
Blmbg. Barc. U.S. Aggregate Index 30.00
MSCI EAFE Index 10.00
Sep-2006
S&P 500 Index 60.00
Bloomberg Barclays Intermed Aggregate Index 40.00
Oct-2009
Russell 3000 Index 50.00
Bloomberg Barclays Intermed Aggregate Index 25.00
MSCI EAFE Index 15.00
Bloomberg Barclays U.S. TIPS Index 5.00
NCREIF Property Index 5.00
Oct-2010
Russell 3000 Index 50.00
Bloomberg Barclays Intermed Aggregate Index 20.00
MSCI EAFE Index 15.00
Bloomberg Barclays U.S. TIPS Index 5.00
NCREIF Fund Index-Open End Diversified Core (EW)10.00
Total Equity Policy
Allocation Mandate Weight (%)
Jan-1970
S&P 500 Index 90.00
MSCI EAFE Index 10.00
Oct-2003
S&P 500 Index 85.00
MSCI EAFE Index 15.00
Sep-2006
S&P 500 Index 100.00
Oct-2009
Russell 3000 Index 77.00
MSCI EAFE Index 23.00
Total Domestic Equity Policy
Allocation Mandate Weight (%)
Jan-1926
S&P 500 Index 100.00
Oct-2009
Russell 3000 Index 100.00
Total Fixed Income Policy
Allocation Mandate Weight (%)
Nov-2000
Blmbg. Barc. U.S. Aggregate Index 100.00
Sep-2006
Bloomberg Barclays Intermed Aggregate Index 100.00Vanguard Total Stock Market Policy
Allocation Mandate Weight (%)
Jun-2003
MSCI US Broad Market Index 100.00
Feb-2013
CRSP U.S. Total Market TR Index 100.00
American Realty Policy
Allocation Mandate Weight (%)
Oct-2007
NCREIF Property Index 100.00
Oct-2010
NCREIF Fund Index-Open End Diversified Core (EW)100.00
Benchmark Historical Hybrid Compositions
Total Fund
As of March 31, 2020
Page 47
Compliance ChecklistTotal FundAs of March 31, 2020Winter Springs GETotal Fund Compliance:Yes No N/A1. The Total Plan return equaled or exceeded the 7.75% actuarial earnings assumption over the trailing three and five year periods.2. The Total Plan return equaled or exceeded the total plan benchmark over the trailing three and five year periods.3. The Total Plan return ranked within the top 40th percentile of its peer group over the trailing three and five year periods.Equity Compliance:Yes No N/A1. Total domestic equity returns meet or exceed the benchmark over the trailing three and five year periods.2. Total foreign equity returns meet or exceed the benchmark over the trailing three and five year periods.3. Total domestic equity returns ranked within the top 40th percentile of its peer group over the trailing three year period.4. Total domestic equity returns ranked within the top 40th percentile of its peer group over the trailing five year period.5. The total equity allocation was less than 75% of the total plan assets at market.6. Total foreign equity was less than 25% of the total plan assets at cost.Fixed Income Compliance:Yes No N/A1. Total fixed income returns meet or exceed the benchmark over the trailing three and five year periods.2. Total fixed income returns ranked within the top 40th percentile of its peer group over the trailing three and five year periods.3. All separately managed fixed income investments have a minimum rating of investment grade or higher.~~ 0.45 of bonds is rated BB, since this is below the threshold of #3. marked in complianceYes No N/A Yes No N/A Yes No N/A Yes No N/A1. Manager outperformed the index over the trailing three year period. 2. Manager outperformed the index over the trailing five year period. 3. Manager ranked within the top 40th percentile over the trailing three year period. 4. Manager ranked within the top 40th percentile over the trailing five year period. 5. Less than four consecutive quarters of under performance relative to the benchmark. 6. Three year down-market capture ratio less than the index. Yes No N/A Yes No N/A Yes No N/A Yes No N/A1. Manager outperformed the index over the trailing three year period. 2. Manager outperformed the index over the trailing five year period. 3. Manager ranked within the top 40th percentile over the trailing three year period. 4. Manager ranked within the top 40th percentile over the trailing five year period. 5. Less than four consecutive quarters of under performance relative to the benchmark. 6. Three year down-market capture ratio less than the index.Intercontinental PIMCOManager Compliance:Vanguard Infl-prot.American REManager Compliance:Vanguard Total Galliard TIPS VG Short BDRBC GlobalPage 48
Estimated
Annual Fee
(%)
Market Value
($)
Estimated
Annual Fee
($)
Fee Schedule
Vanguard Total Stock Market (VITSX)0.04 24,058,669 9,623 0.04 % of Assets
Total Domestic Equity 0.04 24,058,669 9,623
RBC Global (Voyageur)0.95 6,233,473 59,218 0.95 % of Assets
Total International Equity 0.95 6,233,473 59,218
Galliard Core Fixed Income 0.25 5,167,678 12,919 0.25 % of Assets
Galliard TIPS 0.15 1,301,057 1,952 0.15 % of Assets
Vanguard Inflation-Protected Secs (VAIPX)0.10 1,083,977 1,084 0.10 % of Assets
Vanguard Short Term Bond Index (VSCSX)0.12 17,620 21 0.12 % of Assets
Total Domestic Fixed Income 0.21 7,570,332 15,976
PIMCO Diversified Income Fund Instl (PDIIX)0.75 1,712,768 12,846 0.75 % of Assets
Total Global FI 0.75 1,712,768 12,846
Crescent Direct Lending Fund 1.35 1,035,502 13,979 1.35 % of Assets
Crescent Direct Lending II Fund 0.75 1,532,035 11,490 0.75 % of Assets
Total Other Fixed Income 0.99 2,567,537 25,470
Intercontinental 1.10 3,641,742 40,059 1.10 % of Assets
American Core Realty Fund 1.10 2,080,218 22,882 1.10 % of Assets
Total Real Estate 1.10 5,721,960 62,942
Receipt & Disbursement 441,430 -
Total Fund 0.39 48,306,169 186,074
Winter Springs General Employees General Plan and Trust
Fee Analysis
As of March 31, 2020
Page 49
Disclosures
Neither AndCo, nor any covered associates have made political contributions to any official associated with the Winter Springs General Employees General Plan and
Trust, in excess of the permitted amount.
Disclosures
Total Fund
As of March 31, 2020
Page 50
Report Statistics Definitions and Descriptions Active Return - Arithmetic difference between the manager’s performance and the designated benchmark return over a specified time period. Alpha - A measure of the difference between a portfolio's actual performance and its expected return based on its level of risk as determined by beta. It determines the portfolio's non-systemic return, or its historical performance not explained by movements of the market. Beta - A measure of the sensitivity of a portfolio to the movements in the market. It is a measure of the portfolio's systematic risk. Consistency - The percentage of quarters that a product achieved a rate of return higher than that of its benchmark. Higher consistency indicates the manager has contributed more to the product’s performance. Distributed to Paid In (DPI) - The ratio of money distributed to Limited Partners by the fund, relative to contributions. It is calculated by dividing cumulative distributions by paid in capital. This multiple shows the investor how much money they got back. It is a good measure for evaluating a fund later in its life because there are more distributions to measure against. Down Market Capture - The ratio of average portfolio performance over the designated benchmark during periods of negative returns. A lower value indicates better product performance Downside Risk - A measure similar to standard deviation that utilizes only the negative movements of the return series. It is calculated by taking the standard deviation of the negative quarterly set of returns. A higher factor is indicative of a riskier product. Excess Return - Arithmetic difference between the manager’s performance and the risk-free return over a specified time period. Excess Risk - A measure of the standard deviation of a portfolio's performance relative to the risk free return. Information Ratio - This calculates the value-added contribution of the manager and is derived by dividing the active rate of return of the portfolio by the tracking error. The higher the Information Ratio, the more the manager has added value to the portfolio. Public Market Equivalent (PME) - Designs a set of analyses used in the Private Equity Industry to evaluate the performance of a Private Equity Fund against a public benchmark or index. R-Squared - The percentage of a portfolio's performance that can be explained by the behavior of the appropriate benchmark. A high R-Squared means the portfolio's performance has historically moved in the same direction as the appropriate benchmark. Return - Compounded rate of return for the period. Sharpe Ratio - Represents the excess rate of return over the risk free return divided by the standard deviation of the excess return. The result is an absolute rate of return per unit of risk. A higher value demonstrates better historical risk-adjusted performance. Standard Deviation - A statistical measure of the range of a portfolio's performance. It represents the variability of returns around the average return over a specified time period. Total Value to Paid In (TVPI) - The ratio of the current value of remaining investments within a fund, plus the total value of all distributions to date, relative to the total amount of capital paid into the fund to date. It is a good measure of performance before the end of a fund’s life Tracking Error - This is a measure of the standard deviation of a portfolio's returns in relation to the performance of its designated market benchmark. Treynor Ratio - Similar to Sharpe ratio but utilizes beta rather than excess risk as determined by standard deviation. It is calculated by taking the excess rate of return above the risk free rate divided by beta to derive the absolute rate of return per unit of risk. A higher value indicates a product has achieved better historical risk-adjusted performance. Up Market Capture - The ratio of average portfolio performance over the designated benchmark during periods of positive returns. A higher value indicates better product performance. Page 51
Disclosures AndCo compiled this report for the sole use of the client for which it was prepared. AndCo is responsible for evaluating the performance results of the Total Fund along with the investment advisors by comparing their performance with indices and other related peer universe data that is deemed appropriate. AndCo uses the results from this evaluation to make observations and recommendations to the client. AndCo uses time-weighted calculations which are founded on standards recommended by the CFA Institute. The calculations and values shown are based on information that is received from custodians. AndCo analyzes transactions as indicated on the custodian statements and reviews the custodial market values of the portfolio. As a result, this provides AndCo with a reasonable basis that the investment information presented is free from material misstatement. This methodology of evaluating and measuring performance provides AndCo with a practical foundation for our observations and recommendations. Nothing came to our attention that would cause AndCo to believe that the information presented is significantly misstated. This performance report is based on data obtained by the client’s custodian(s), investment fund administrator, or other sources believed to be reliable. While these sources are believed to be reliable, the data providers are responsible for the accuracy and completeness of their statements. Clients are encouraged to compare the records of their custodian(s) to ensure this report fairly and accurately reflects their various asset positions. The strategies listed may not be suitable for all investors. We believe the information provided here is reliable, but do not warrant its accuracy or completeness. Past performance is not an indication of future performance. Any information contained in this report is for informational purposes only and should not be construed to be an offer to buy or sell any securities, investment consulting, or investment management services. Additional information included in this document may contain data provided by from index databases, public economic sources and the managers themselves. This document may contain data provided by Bloomberg Barclays. Bloomberg Barclays Index data provided by way of Barclays Live. This document may contain data provided by Standard and Poor’s. Nothing contained within any document, advertisement or presentation from S&P Indices constitutes an offer of services in jurisdictions where S&P Indices does not have the necessary licenses. All information provided by S&P Indices is impersonal and is not tailored to the needs of any person, entity or group of persons. Any returns or performance provided within any document is provided for illustrative purposes only and does not demonstrate actual performance. Past performance is not a guarantee of future investment results. This document may contain data provided by MSCI, Inc. Copyright MSCI, 2017. Unpublished. All Rights Reserved. This information may only be used for your internal use, may not be reproduced or redisseminated in any form and may not be used to create any financial instruments or products or any indices. This information is provided on an “as is” basis and the user of this information assumes the entire risk of any use it may make or permit to be made of this information. Neither MSCI, any of its affiliates or any other person involved in or related to compiling, computing or creating this information makes any express or implied warranties or representations with respect to such information or the results to be obtained by the use thereof, and MSCI, its affiliates and each such other person hereby expressly disclaim all warranties (including, without limitation, all warranties of originality, accuracy, completeness, timeliness, non-infringement, merchantability and fitness for a particular purpose) with respect to this information. Without limiting any of the foregoing, in no event shall MSCI, any of its affiliates or any other person involved in or related to compiling, computing or creating this information have any liability for any direct, indirect, special, incidental, punitive, consequential or any other damages (including, without limitation, lost profits) even if notified of, or if it might otherwise have anticipated, the possibility of such damages. This document may contain data provided by Russell Investment Group. Russell Investment Group is the source owner of the data contained or reflected in this material and all trademarks and copyrights related thereto. The material may contain confidential information and unauthorized use, disclosure, copying, dissemination or redistribution is strictly prohibited. This is a user presentation of the data. Russell Investment Group is not responsible for the formatting or configuration of this material or for any inaccuracy in presentation thereof. This document may contain data provided by Morningstar. All rights reserved. Use of this content requires expert knowledge. It is to be used by specialist institutions only. The information contained herein: (1) is proprietary to Morningstar and/or its content providers; (2) may not be copied, adapted or distributed; and (3) is not warranted to be accurate, complete or timely. Neither Morningstar nor its content providers are responsible for any damages or losses arising from any use of this information, except where such damages or losses cannot be limited or excluded by law in your jurisdiction. Past financial performance is not guarantee of future results. Page 52
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Capital Market Assumptions
and
Observations
-60%
-50%
-40%
-30%
-20%
-10%
0%
0 25 50 75 100 125 150 175 200 225 250 275 300 325 350 375 400 425 450 475 500 525
251 Days 264 Days
-55.25% (Cumulative)
-43.32% (Annualized)
355 Trading Day Drawdown (1.42 Years)
10/10/2007 – 3/9/2009
S&P 500 Total Return Index
Bear Markets Since 2000 - Comparing Crises
Trading Day Declines from Peak-To-Trough
S&P 500 Total Return Index
Trading Days
-33.79% (Cumulative)
23 Trading Day Drawdown
2/20/2020 – 3/23/2020
2008 Financial Crisis
Coronavirus
2000 Tech Wreck
-47.41% (Cumulative)
-26.32% (Annualized)
529 Trading Day Drawdown (2.10 Years)
9/5/2000 – 10/9/2002
Source: AndCo Consulting, using data and information derived from Bloomberg.
Forward-Looking Annualized Returns after Index Bottom
1-Year Later 3-Years Later 5-Years Later 7-Years Later 10-Years Later
2000 Tech Wreck 36.16% 17.26% 16.96%6.60%8.54%
2008 Financial Crisis 72.29% 29.08% 25.29% 19.27% 17.49%
11March 2020 Public DebtMarket Index Behavior Bloomberg Barclays Duration Adjusted Excess ReturnsSectorMarch YTDCorporate -10.4% -13.5%Intermediate - 7.7% - 8.9%Long -15.1% -21.9%Industrial -11.9% -14.8%Utility -12.3% -15.4%Financials - 8.4% -10.5%A - 7.8% -10.3%BBB -13.7% -17.4%Source: Bloomberg
Long Term Asset Allocation Model Inputs
Note that not all asset classes are appropriate for every client portfolio.
Correlation Matrix
Expected
Return Std Dev 1 2 3 4 5 6 7 8 9 10 11 12 13 14 15 16 17 18 19
1. US Cash 1.60%0.46%1.00
2. US Aggregate 2.86%3.42%0.10 1.00
3. US High Yield 7.21%8.22%-0.11 0.17 1.00
4. US Leveraged Loan 5.57%7.55%-0.14 -0.11 0.78 1.00
5. WGBI ex US 2.91%8.00%0.08 0.61 0.21 -0.11 1.00
6.Emg Mkt Sov Debt 7.03%8.36%-0.02 0.55 0.71 0.40 0.49 1.00
7. US Large Cap 8.14%14.34%-0.06 0.00 0.69 0.55 0.19 0.50 1.00
8. US Mid Cap 7.91%16.30%-0.07 0.00 0.74 0.59 0.16 0.51 0.96 1.00
9. US Small Cap 8.81%18.95%-0.08 -0.07 0.65 0.50 0.10 0.41 0.91 0.95 1.00
10. EAFE Equity 10.46%16.81%-0.02 0.10 0.74 0.55 0.37 0.64 0.88 0.86 0.77 1.00
11. Emerging Markets 12.43%21.12%0.05 0.13 0.72 0.54 0.38 0.67 0.76 0.77 0.67 0.87 1.00
12. Private Equity 11.58%20.17%0.04 -0.23 0.67 0.63 0.04 0.49 0.73 0.75 0.69 0.77 0.80 1.00
13. US Core RE 7.17%11.07%-0.08 -0.19 0.51 0.60 -0.14 0.30 0.53 0.54 0.51 0.45 0.42 0.49 1.00
14. US Value Add RE 10.02%17.18%-0.08 -0.19 0.51 0.60 -0.14 0.30 0.53 0.54 0.51 0.45 0.42 0.49 1.00 1.00
15. US REITs 9.07%15.42%-0.05 0.27 0.61 0.36 0.28 0.55 0.72 0.75 0.73 0.65 0.55 0.43 0.61 0.61 1.00
16. Infrastructure 7.21%10.46%-0.04 -0.03 0.55 0.55 0.25 0.50 0.47 0.45 0.38 0.55 0.60 0.62 0.47 0.47 0.34 1.00
17. HF Diversified 5.26%7.37%0.06 -0.10 0.60 0.65 -0.01 0.39 0.67 0.69 0.59 0.71 0.69 0.77 0.46 0.46 0.34 0.41 1.00
18. Direct Lending 9.37%13.87%-0.11 -0.22 0.67 0.72 -0.19 0.39 0.54 0.61 0.53 0.48 0.54 0.65 0.54 0.54 0.31 0.39 0.63 1.00
19. Commodities 5.71%16.13%0.07 0.02 0.46 0.39 0.33 0.39 0.45 0.47 0.38 0.54 0.60 0.58 0.38 0.38 0.26 0.47 0.55 0.51 1.00
Source: JP Morgan Long-Term Capital Market Assumptions from 1998 – 2020.
JP Morgan Long-Term Capital Market Assumptions
Arithmetic Mean Expected Returns
1998-2020 Plus Interim Update
8.14%
8.81%
10.46%
12.43%
2.86%
7.21%
2.01%
0%
2%
4%
6%
8%
10%
12%
14%
16%
1998 1999 2000 2001 2002 2003 2004 2005 2006 2007 2008 2009 2010 2011 2012 2013 2014 2015 2016 2017 2018 2019 2020 2021
Large Cap Small Cap Dev Mkt Eq
Emg Mkt Eq US Aggregate US High Yield
Inflation
Arithmetic Return
Source: AndCo Consulting, using data derived from year-over JP Morgan Long-Term Capital Market Assumptions from 1998 –2020.
March 2020
(Interim Update)
Important Disclosure Information
This presentation is provided for informational purposes only and should not be regarded as investment advice or as a recommendation
regarding any particular course of action.
Information is based on sources and data believed to be reliable, but AndCo cannot guarantee the accuracy, adequacy or completeness of
the information. The material provided herein is valid as of the date of distribution and not as of any future date and will not be updated or
otherwise revised to reflect information that subsequently becomes available, or circumstances existing or changes occurring after such
date.
This document demonstrates historical data for illustrative purposes only. Any return data represents past performance and does not
represent expected future performance or outcomes. This document may also contain forward-looking statements, estimates and
projections which are inherently speculative and subject to various uncertainties whereby the actual outcomes or results could differ
materially from those indicated.
AndCo Consulting is an investment adviser registered with the U.S. Securities and Exchange Commission (“SEC”). Registration as an
investment adviser does not constitute an endorsement of the firm by securities regulators nor does it indicate that the adviser has attained
a particular level of skill or ability.
This document was created on May 7, 2020.
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Introduction to Private DebtA Primer for Institutional ClientsDecember 2019
2DisclosureThis document is the proprietary and confidential work product of AndCo Consulting and is not intended for distribution to the public. It is provided for educational and informational purposes only and should not be regarded as investment advice or as a recommendation regarding any particular course of action.The primer uses assumptions and statements of future expectations, estimates, projections, and other forward-looking statements that are based on available information and views as of the time of those statements. Such forward-looking statements are inherently speculative as they are based on assumptions which may involve known and unknown risks and uncertainties. Actual results, performance or events may differ materially from those expressed or implied in such statements.Past performance is no guarantee of future results.The source of all data, charts and graphs is AndCo Consulting unless otherwise stated. Certain information is based on sources and data believed to be reliable, but their accuracy and completeness cannot be guaranteed.Opinions expressed reflect prevailing market conditions at the time this material was completed and are subject to change. Moreover, the material provided is valid as of the date indicated on the cover and not as of any future date, and will not be updated or otherwise revised to reflect information that subsequently becomes available, or circumstances existing or changes occurring after such date.AndCo Consulting is an investment adviser registered with the U.S. Securities and Exchange Commission (“SEC”). Registration as an investment adviser does not constitute an endorsement of the firm by securities regulators nor does it indicate that the adviser has attained a particular level of skill or ability.
3Category Expected Return1,2Expected Volatility1,3Return/Risk Ratio4U.S. Large Cap Equity5.6%14.3% 0.4U.S. Small Cap Equity6.5%19.0% 0.3International Equity57.8% 17.5% 0.4U.S. Core Fixed Income3.1%3.4% 0.9U.S. Bank Loans65.0%7.6% 0.7U.S. High Yield Bonds5.2%8.2% 0.6The Investment ChallengePublic markets will struggle to meet return targets of 7.0% or more……and private markets with higher expected returns have high expected volatility.Private Equity 8.8%20.2%0.4U.S. Core Real Estate 5.8% 11.1% 0.5U.S. Value-Added Real Estate 7.7%17.2%0.41 Expected returns and volatility are from the “2020 JPMorgan Long-Term Capital Market Assumptions” (LTCMAs) and rounded to the nearest 0.1%.2Expected return is shown on a compound, annualized basis.3Volatility is defined as annualized standard deviation of total return.4Return/risk ratio was calculated by AndCo Consulting and is defined as expected return divided by expected volatility.5AndCo Consulting combined JPMorgan’s developed- and emerging-market equity assumptions using their approximate weightings in the MSCI All Country World ex-U.S. Index.6In JPMorgan’s LTCMAs, bank loans are called “Leveraged Loans.”
4Addressing the Investment ChallengePrivate Debt has the potential to complement a diversified institutional portfolio by providing a higher expected return than public U.S. asset classes, with lower expected volatility than private equity or value-add real estate.Private Debt can provide higher yields than public high-yield fixed-income.1Senior Direct Lending yields may be 1.0-1.5% higher than traded bank loans of similar quality.Mezzanine Debt yields are generally 11.0-14.0%, about twice the yield of high-yield bonds.It also has lower expected volatility than private equity or value-added real estate.2Private Debt strategies are exposed to changes in the value of the assets in which they invest, but risk is reduced by equity investors who absorb losses first.These benefits can improve the expected risk-return characteristics of a traditional institutional portfolio, potentially resulting in a more optimal asset allocation.1 Yield observations are based on AndCo’s experience reviewing investment strategies in these categories.2 Source: “2020 JPMorgan Long-Term Capital Market Assumptions.”
5Defining Private DebtPrivate Debt strategies invest in directly negotiated debt instruments that do not have an established secondary market.Private Debt can take multiple forms such as loans, bonds, warrants and preferred equity. Common equity is generally limited.Expected return typically comes from contractual terms such as interest and lending fees, rather than capital appreciation.Usually held to call or maturity. Liquidity at fair market value is not expected to be available.There is no market index for private debt. Policy benchmarks may be based on a public index, such as a bank loan index plus 1.0-2.0%.Performance is generally compared to that of funds following similar strategies that began investing at about the same time.Most private debt strategies are organized as closed-end limited partnerships, which had over $600.0 billion in AUM as of December 31, 2018.11 Source: Preqin. Assets under management (AUM) includes unrealized valuations plus dry powder as of December 31, 2018.Direct Lending, $200.9, 31.3%Mezzanine, $141.0, 22.0%Distressed Debt, $190.3, 29.7%Special Situations, $96.7, 15.1%Other, $12.8, 2.0%Private DebtAssets Under Management($ Billions)1
6Defining Private DebtPrivate Debt contains several categories with varying underlying assets and risks. The three main categories are Direct Lending – Senior, Direct Lending – Mezzanine and Distressed Debt.Direct Lending – Seniorstrategies originate senior loans to corporate borrowers. The debt is normally floating-rate and secured by first- or second-lien claims on general corporate assets.Direct Lending – Mezzaninestrategies originate subordinated loans to corporate borrowers. The debt is normally fixed-rate and not secured by liens on specific corporate assets. Strategies often invest in equity, which may be acquired directly or through warrants, in addition to debt.Distressed Debt strategies primarily purchase discounted debt on the secondary market. Performance tends to be cyclical, based on opportunities created by the default cycle. Subcategories include trading, restructuring (seeking to add value through out-of-court or bankruptcy negotiations) and strategies that seek equity control through reorganization.Niche strategies are generally classified as Asset-Based Lending or Special Situations.Asset-Based Lendingincludes several subcategories wherein the claim on an asset is the primary basis for making the loan. Loans may be collateralized by a variety of assets such as inventory, receivables, intellectual property, real estate, transportation assets, litigation claims and portfolios of other loans.Special Situationsstrategies invest flexibly in companies that are in complex, less understood and/or troubled circumstances.
7History of Private Debt0.020.040.060.080.0100.0120.0140.0Capital Raised ($ Billions)YearPrivate Debt FundraisingAnnual Commitments1Direct LendingMezzanineDistressed DebtOther Private Debt1 Preqin. In the chart, year-to-date fundraising is as of July 15, 2019.2 Nesbitt, Stephen L. (2019). Private Debt: Opportunities in Corporate Direct Lending (1st ed.). Hoboken, NJ: John Wiley & Sons, Inc.Private Debt funds historically focused on Mezzanine and Distressed Debt strategies. Fundraising for senior “Direct Lending” has risen materially since 2012.1Traditional banks served a larger role in the Direct Lending category prior to the financial crisis. An increase in bank regulation has been attributed to their declining participation in this market. Declining lending by banks has corresponded with a rise in non-bank lending.2
8History of Private Debt – U.S. Public Plan AllocationsPrivate Debt was traditionallyconsidered part of institutional investors’ private equity allocations but is increasingly being considered a distinct, standalone asset class.Source: Preqin. Target allocations are from news items published from January 1 through September 15, 2019, wherein a U.S. public pension plan’s target allocation to privatedebt was quantified. News items in that period included 23 such plans. Amounts are rounded to the nearest percentage point.0.0%5.0%10.0%15.0%20.0%25.0%<3%3%4%5%6%7%8%9%10%>10%Percentage of PlansTarget AllocationPublic Plans' Target Allocations to Private Debt
9Benefits of Implementing an Allocation to Private DebtCategory Expected Return1,3Expected Volatility1,4Return/Risk Ratio5U.S. Large Cap Equity5.6%14.3% 0.4U.S. Small Cap Equity6.5%19.0% 0.3International Equity67.8% 17.5%0.4U.S. Core Fixed Income3.1%3.4% 0.9U.S. Bank Loans75.0%7.6% 0.7U.S. High Yield Bonds5.2%8.2% 0.6Private Equity 8.8% 20.2%0.4U.S. Core Real Estate5.8%11.1% 0.5U.S. Value-Added Real Estate 7.7% 17.2%0.4Direct Lending – Senior77.0%13.9%0.5Private Debt is expected to outperform U.S. equity, core real estate and fixed income, with a higher return per unit of risk than international equity, private equity and value-added real estate.1,2PublicPrivate1 Expected returns and volatility are from the “2020 JPMorgan Long-Term Capital Market Assumptions” (LTCMAs) and rounded to the nearest 0.1%.2 The senior direct lending category’s return and risk expectations were used as a surrogate for the Private Debt asset class.3Expected return is shown on a compound, annualized basis.4Volatility is defined as annualized standard deviation of total return.5Return/risk ratio was calculated by AndCo Consulting and is defined as expected return divided by expected volatility.6AndCo blended JPMorgan’s developed- and emerging-market equity assumptions using the categories’ approximate weightings in the MSCI All Country World ex-U.S. Index.7In JPMorgan’s LTCMAs, bank loans are called “Leveraged Loans” and Direct Lending – Senior is “Senior Direct Lending.”
10Implementation Considerations – Corporate ValuationsCredit LossesPrivate Debt strategies’ risk and return are significantly affected by corporate valuations and seniority in the capital structure. In this section, we break down those primary risk factors.Hypothetical AssumptionsCompany with $50.0M EBITDATrades at 9.0x EBITDAEnterprise Value = $50.0M * 9.0EBITDA is a measure of cash flow equal to a corporate borrower’s annual Earnings Before Interest, Taxes, Depreciation and Amortization.Enterprise ValueThe above represents a hypothetical scenario and is intended for illustrative purposes only, reflective of a sample capital structure for a mid-sized company. Private companies are normally valued by multiplying their annual cash flow by a market-based multiple.Cash flow is defined as EBITDA, or the company’s annual Earnings Before Interest, Taxes, Depreciation and Amortization.Multiples are affected by the perceived risk of the borrower’s business. They are influenced by general market risk and more specific factors like the company’s industry, size, assets, and customer concentration.The product of EBITDA and the multiple equals the company’s enterprise value, an estimate of the price a buyer would pay to acquire the whole company.
11Implementation Considerations – SenioritySenior Loan4.0x EBITDA$200.0M Loan ($50.0M x 4)5-Year Stated TermOften Repaid After ~3 YearsMezzanine Loan1.0x EBITDA$50.0M Loan ($50.0M x 1)5.0-7.0 Year TermEquityEnterprise Value of CompanyMinus More Senior ObligationsRemainder is 4.0x EBITDA ($200.0M)Credit LossesCapital StructureThe enterprise value can be financed using debt or equity. Seniority in the capital structure assigns expected risk and return to investors with diverse risk tolerances.The above represents a hypothetical scenario and is intended for illustrative purposes only, reflective of a sample capital structure for a mid-sized company. The chart at right illustrates seniority.In a borrower’s capital structure, Senior Loans have a higher priority claim on borrower assets and cash flow than Mezzanine Loans, which have a higher claim than Equity.Having more debt above or on the same level as the investor’s position increases the investor’s risk.The thickness of the pieces of the capital structure matters. A larger loan above the investor’s position increases the investor’s risk more than a smaller loan above the investor’s position.Building the Capital StructureAfter investment, the enterprise value will change as EBITDA and the multiple change.Changes in enterprise value affect the bottom of the capital structure first.If the enterprise value falls so much that it is less than the company’s total debt, the equity is worthless. Debt investors absorb losses next, starting from the bottom of the capital structure.Assigning Gains and Losses
12Implementation Considerations – Expected ReturnLIBOR + 6.0-8.0%+ 1.0-2.5% One-Time Fees111.0-14.0% Fixed Rate2+ 1.0-2.5% One-Time Fees1+ Equity participation>25.0% Target IRRCredit LossesYieldFor accepting different levels of risk, investors demand different levels of return.1One-time fees include items like origination fees and original issue discounts. Borrowers may also pay other types of fees for items like early repayment and loan amendments.2 Mezzanine coupons often comprise cash and payment-in-kind (PIK) interest. PIK represents increases in the principal balance owed. Receiving PIK in lieu of cash increases the investor’s risk but may also increase return multiples due to compounding.The above represents a hypothetical scenario and is intended for illustrative purposes only, reflective of a sample capital structure for a mid-sized company. Senior Loan investors earn lower expected returns than Mezzanine or Equity investors. Expected return may also be influenced by the perceived quality of its ownership and management, with a higher rate demanded for non-private equity-sponsored companies.Mezzanine Loan investors earn a level of expected return between the Senior Loan and Equity investors.Equity investors keep the part of the company’s enterprise value that remains after debt investors and other liabilities are paid in full.
13Implementation Considerations – Risk and Return TogetherSenior Loan4.0x EBITDA$200.0M Loan ($50.0M x 4)5-Year Stated TermOften Repaid After ~3 YearsMezzanine Loan1.0x EBITDA$50.0M Loan ($50.0M x 1)5.0-7.0 Year TermEquityEnterprise Value of CompanyMinus More Senior ObligationsRemainder is 4.0x EBITDA ($200.0M)LIBOR + 6.0-8.0%+ 1.0-2.5% One-Time Fees111.0-14.0% Fixed Rate2+ 1.0-2.5% One-Time Fees1+ Equity participation>25.0% Target IRRCredit LossesCapital Structure YieldTo recap, risk of corporate investments is affected by borrower risk and seniority. Investments in the more senior (junior) part of the capital structure have lower (higher) expected returns and risk.Higher-Risk and Expected Return- LowerAssumptionsCompany with $50.0M EBITDATrades at 9.0x EBITDAEnterprise Value = $50.0M * 9.0EBITDA is a measure of cash flow equal to a corporate borrower’s annual Earnings Before Interest, Taxes, Depreciation and Amortization.Enterprise ValueIllustrative Liabilities + Equity=1One-time fees include items like origination fees and original issue discounts. Borrowers may also pay other types of fees for items like early repayment and loan amendments.2 Mezzanine coupons often comprise cash and payment-in-kind (PIK) interest. PIK represents increases in the principal balance owed. Receiving PIK in lieu of cash increases the investor’s risk but may also increase return multiples due to compounding.The above represents a hypothetical scenario and is intended for illustrative purposes only, reflective of a sample capital structure for a mid-sized company.
14Implementation Considerations – Direct Lending Risk Premia1While considered illustrative, the yield premia shown are not expected to be precise. Each loan represents the outcome of a negotiation that involves many other important factors, such as the risk and operating history of the borrower’s business, which will cause portfolios of loans also to have divergent specific yields. The study was conducted using yields of business development companies’ loans due to their transparency, but their holdings may differ from the loans made by private limited partnerships. Some terms also have different meanings among market participants, such as the EBITDA, revenue or capitalization ranges that define the “lower middle market.”2In the source material, the “Subordination” factor is called “Second-Lien, Subordinated Debt.” Its name was changed and the risk factors were reordered for clarity.Source: Nesbitt, Stephen L. (2019). Private Debt: Opportunities in Corporate Direct Lending (1st ed.). Hoboken, NJ: John Wiley & Sons, Inc.A higher expected return associated with a pervasive type of risk (factor) is called a risk premium. Investors wanting more return, less risk or to diversify other holdings may prefer taking different risks.Broadly Syndicated Loan (BSL) Yields–the yield of tradeable bank loans.Direct Origination – illiquidity premium for non-traded loans of similar capitalization.Lower Middle Market – size premium for lending to smaller borrowers.Non-Sponsor Borrowers – value premium for lending to companies not owned by a private equity firm.Subordination2– credit premium for lending junior debt, pronounced factor in mezzanine.
15Implementation Considerations – Category SelectionFit with portfolio objectives is central to building a successful private debt portfolio. Investors with more conservative risk and return preferences (6.0-8.0% net IRR targets) may preferstrategies with low leverage and high-quality collateral, such as:Direct Lending – Senior strategies with low or no fund-level leverageLending to private equity-sponsored companiesFocusing on managers with low loan loss ratesWe think these characteristics may lead to more consistent performance and greater diversificationbenefits relative to other risk assets in the portfolio.Investors with higher risk and return preferences may prefer more aggressive strategies like:Direct Lending – Senior strategies with higher fund-level leverageLending to smaller companies in the lower middle marketLending to companies not owned by private equity sponsorsDirect Lending – MezzanineDistressed DebtWe think these characteristics may increase return, at the cost of lower performance in adverse creditenvironments (for lending-based strategies) or if default opportunities over the subsequent 1.0-3.0years are limited (for Distressed Debt).
16Implementation Considerations – Illiquid Limited PartnershipsAsset managers cannot readily buy or sell illiquid assets to invest contributions or pay redemptions, so investors primarily invest in Private Debt through closed-end limited partnerships.Limited partnerships are generally not registered with the SEC.Partnerships are managed by “General Partners (GPs).” Investors are “Limited Partners (LPs).”Limited partnerships are offered using a private placement memorandum (PPM) and governed by a Limited Partnership Agreement (LPA).Management fees are usually assessed on the portfolio’s fair value, including any assets purchased using leverage. Some charge fees on committed capital, but this is no longer common.Unaudited March, June and September financial statements are typically available 45 days after quarter-end. Audited financial statements are typically available 90 days after year-end.Closed-end limited partnerships have limited terms, often 8.0-10.0 years plus extensions.Investors join by submitting Subscription Agreements (SAs) at closings held during the fundraising period, which is often 12-24 months.Each LP commits to invest up to a maximum amount. When the money is needed, the GP sends capital calls to LPs requesting contributions to pay for investments and expenses, up to their maximum commitments. LPs who do not contribute capital on time are in default at high cost.The GP makes investments during the investment period, which is usually 3.0 years. While most partnerships reinvest cash flow during the investment period, many Direct Lending strategies distribute borrowers’ interest payments.When reinvestment ends, the partnership enters the harvest period and distributions accelerate. While many strategies sell their holdings in the harvest period, most Direct Lending strategies exit their investments through maturity.
17Implementation Considerations – Evergreen VehiclesSome Private Debt strategies are also offered in non-term-limited, evergreen vehicles. This was historically limited to Distressed Debt strategies that focus on trading larger cap debt, but some Direct Lending – Senior managers have begun offering them as well. Vehicles that hold illiquid assets still need to be illiquid, so redemptions from evergreen vehicles may take several years. Vehicle Term Benefits ConsiderationsClosed-EndPortfolio may be invested almost entirely in illiquid assets, reducing return drag from liquid holdings.Limits the risk that investors will be negatively affected by other investors’ contributions or redemptions, which can dilute illiquid holdings or force asset sales at unfavorable prices.Cash flows occur at the asset manager’s discretion.Capital calls need to be made on a timely basis to avoid default charges.New commitments are required to maintain the allocation, which makes keeping a strategic allocation more challenging.EvergreenInvestors can keep a strategic allocation to the vehicle more easily.Investor commitments may be called more quickly.Investors may be able to invest in a larger, established portfolio.Redemptions are normally delayed until assets mature, which can be several years.Faster redemptions may introduce conflicts of interest, such as when the buyers are the manager’s other clients.Manager needs to hold liquid assets or borrow to make new investments, which dilutes the illiquidity premium or adds the risk of a cash shortage.Limited to certain Direct Lending -Senior and Distressed Debt strategies.
18Implementation Considerations – Fund-Level LeverageThe above is considered representative based on AndCo Consulting’s research. The cost and availability of leverage may differ for specific strategies.Many Direct Lending – Senior strategies use fund-level leverage to enhance returns. These funds may be standalone offerings or marketed alongside an unlevered fund in the same strategy.When a partnership is levered, we typically see managers target leverage of 1.0-2.5x the partnership’s equity. We generally expect each 1.0x of fund-level leverage to increase net expected return by 2-3% for a representative strategy that we would consider well-managed.Expected return does not rise one-to-one with fund-level leverage due to the cost of financing, which we expect to be 2-3% over LIBOR at current interest rates. We also tend to see higher incentive fees for levered funds than unlevered funds.The availability of leverage is affected by the portfolio’s quality and diversification. Distressed Debt and Mezzanine strategies are normally unlevered due to the higher credit risk of those strategies. AndCo expects more-levered funds to have lower returns per unit of risk than less-levered funds, all else held equal. We expect investors to be fully exposed to the risks of assets purchased with leverage, but for returns on these assets to be reduced by financing costs.However, levered options can be a better fit for investors with higher return objectives or those who prefer to make smaller commitments in order to have more total portfolio liquidity.
19Implementation Considerations – Vintage-Year DiversificationSource: Preqin data as of the most recent date available for each constituent fund. Accessed July 3, 2019.Preqin does not report net IRRs for funds that are in their first three years because they consider them to early to be meaningful.Preqin did not report median net IRRs for 2006, 2007 and 2009 Direct Lending funds due to low constituent data. The median net IRR for 2008 Direct Lending funds was 12.7%. That data point is not shown due to the lack of a 2009 data point to connect it.0.02.04.06.08.010.012.014.016.0Median Net IRR (%)Vintage YearCategories by Vintage YearDirect LendingMezzanineDistressed DebtMedian performance across vintage years has been relatively consistent in Direct Lending and Mezzanine, but more variable in Distressed Debt. Dispersion within vintage years has been wider for funds incepted in less stable market environments, such as 2007-2009 and 2011.Steady commitment pacing helps avoid picking bad and missing good vintage years, raising diversification. 0.05.010.015.020.025.030.0Net IRR (%)Vintage YearDispersion by Vintage Year75th PercentileMedian25th Percentile
20Implementation Considerations – Manager RiskDirect Lending MezzanineDistressed Debt & Special SituationsTop Quartile Boundary(75thPercentile)11.3% 13.5% 18.4%Median 9.1% 10.0% 12.5%Bottom Quartile Boundary(25thPercentile)6.3% 7.5% 8.0%Spread between 75th& 25th Percentiles5.0% 6.0% 10.4%Dispersion is wide in each major category, particularly the riskier segments. Proper manager selection and access are critical to successful performance.Source: Preqin data as of December 31, 2018. The table includes performance on all Preqin Private Debt Funds tracked since 1985.
21Implementation Considerations – Manager SelectionQualities to consider and evaluate when reviewing Private Debt managers:ExperienceA long history as a reliable partner helps to drive deal flow by increasing the manager’s reputation withprospective borrowers and intermediaries, allowing for greater selectivity.Track RecordPast success relative to strategies taking similar risks, including in adverse environments, increasesconfidence that the strategy will be successful in the future.Institutional Investment ProcessTeams with established investment processes that do notoverly rely on any individual, in order to increaseconfidence that past success may be repeatable.Differentiated SourcingDifferentiated approaches to originating deal flow mayallow the manager to find opportunities that are lesscompetitively priced.Strong Underwriting (forDirect Lending strategies)The ability to protect investor capital, as reflected in low historical annualized credit loss rates.Credit Workout CapabilitiesResources and experience working through troubled loans and restructurings.Relative ValueCompetitive net expected returns in the context of the risks being taken.Illiquidity PremiumA well-grounded rationale for the strategy to outperform public investments of similar risk in the future.
22The Private Debt OpportunityWhen deemed appropriate for a diversified portfolio’s risk tolerance, liquidity requirements and return objectives, clients should understand and consider:An allocation of 5.0% to 10.0% as part of a diversified institutional portfolio.Maintaining exposure to high-quality fixed income. Private Debt is expected to provide less of a diversification benefit relative to equities than high-quality fixed income is.Consistent pacing in order to maintain a strategic allocation while limiting vintage-year concentration.A long-term, strategic allocation to Senior Direct Lending.Opportunistic allocations to Mezzanine and Distressed Debt.Being skeptical about listed products promising Private Debt exposure. Since the underlying asset class is illiquid, liquid vehicles seeking to invest in it may have different risks and characteristics.
23Alternative Investments: Broadly, investments in assets or funds whose returns are generated through something other than long positions in public equity or debt. Generally includes private equity, private debt, real estate, and hedge funds.Bankruptcy: One of several federal court procedures that debtors may invoke to protect them from their creditors.Broadly Syndicated Loans (BSLs): Senior term loans that are held by a large or potentially large group of investors. BSLs are originated by an agent bank who assigns participations in the loan to a group of investors (a “syndicate”) in a manner similar to the initial public offering for a stock. There is an established secondary market for BSLs, which allows them to be held in more liquid vehicles such as mutual funds. BSLs are also commonly called “bank loans.”Buyouts: Investments made to acquire majority or control positions in businesses purchased from or spun out of public or private companies, or purchased from existing management/shareholders public equity shareholders in “going private” transactions, private equity funds or other investors seeking liquidity for their privately –held investments. Buyouts are generally achieved with both equity and debt. Examples of various types of buyouts include: small, middle market, large cap, and growth.Carried Interest: Also known as “carry” or “promote.” A performance bonus for the GP based on profits generated by the fund. Typically, a fund must return a portion of the capital contributed by LPs plus any preferred return before the GP can share in the profits of the fund. The GP will then receive a percentage of the profits of the fund (typically 15.0-20.0%). For tax purposes, both carried interest and profit distributions to LPs are typically categorized as a capital gain rather than ordinary income.Capital Commitment: The total out-of-pocket amount of capital an investor commits to invest over the life of the fund. This commitment is generally set forth on an investor’s subscription agreement during fundraising and is accepted by the GP as part of the “closing” of the fund.Catch–up: A clause in the agreement between the GP and the LPs of a fund. Once the LPs have received a certain portion of their expected return, often up to the level of the preferred return, the GP is entitled to receive a majority of the profits (typically 50.0%-100.0%) until the GP reaches the carried interest split previously agreed.Co-investments: Investment made directly into a company alongside a General Partner’s investment, rather than indirectly through a fund.Covenant: A condition in a corporate loan agreement that requires the borrower to fulfill certain conditions (“maintenance covenant”) or prohibits the borrower from undertaking certain actions (“incurrence covenant”).Covenant-Lite:A loan that does not have any maintenance covenants. The term’s spelling is by industry convention.Creditor: The lender of a loan, who gives one or more debtors money in advance in exchange for later payments of principal and/or interest.Debtor:The borrower of a loan, who receives money from one or more creditors in advance in exchange for later payments of principal and/or interest.Default:This occurs when the borrower does not meet the terms to which it committed in a loan agreement. Default can occur from failingto meet covenant conditions as well as failing to make principal or interest payments.Glossary
24Distressed Debt:Strategies that purchase the debt of companies that are troubled, have defaulted, are on the verge of default, or are seekingbankruptcy protection. Investors have been referred to as “vultures” as they pick the bones of troubled companies. Investment structures of focus include subordinated debt, junk bonds, bank loans, and obligations to suppliers.Distribution: When an investment by a fund is fully or partially realized, the proceeds of the realizations may be distributed to the investors. These proceeds may consist of cash, or, to a lesser extent, securities.Dry Powder: Capital that has been committed to a limited partnership and has not yet been called or may be called again (“recycled”).EBITDA: A measure of annual corporate cash flow defined as earnings before interest, taxes, depreciation and amortization. This measure of annual cash flow is intended to make comparisons between different industries more relevant. Multiples of EBITDA are a generally accepted method for valuing private companies and describing the amount of leverage in direct lending.Efficient Frontier:The set of portfolios that maximizes the expected rate of return at each level of portfolio risk.Fair Value: An estimate of the price at which an unrelated buyer and seller would exchange an asset in an arms-length transaction. For a publicly traded asset, fair value may be observed based on recent trades in the market. For assets that are traded less frequently or not at all, the value of an asset is often estimated by forecasting its future cash flows and discounting them based on assumed discount rates.General Partner (GP):A class of partner in a partnership. The GP makes the decisions on behalf of the partnership and retains liability for the actions of the partnership. In the private equity industry, the GP is solely responsible for the management and operations of the investment fund while the LPs are passive investors, typically consisting of institutions and high net worth individuals. The GP earns a percentage of profits.Gross Assets:The fair value of all the partnership’s holdings, including those funded using limited-partner equity and leverage.Insolvency: The state of not being able to pay amounts owed. This can result from not having enough assets to meet the borrower’s commitments or not having enough liquidity.Internal Rate of Return (IRR): The compound interest rate at which a certain amount of capital today would have to accrete to grow to a specific value at a specific time in the future. Basically, it is the average return on capital over the lifetime of the investment. This is the most common standard by which GPs and LPs measure the performance of their private debt portfolios and portfolio companies over the life of the investment. IRRs are calculated on either a net (i.e., including fees and carry) or gross (i.e., not including fees and carry) basis. J-Curve:The IRR of a private investment plotted versus time. The J-curve refers to the fact that net IRRs in the early years of a fund are generally negative, dominated by drawdowns for fees and investments. As investments accrete in values and are gradually liquidated, returning capital and profits, the fund works through the J-curve and begins to show positive IRRs and multiples of investors’ capital.Leverage:The use of debt to acquire assets, build operations and increase revenues. By using debt (in either the original acquisition ofthe company or subsequent add-on acquisitions), investors attempt to achieve investment returns beyond which they could achieve using equity capital alone. Increasing leverage on a company also increases the risk that assets and revenues will not increase sufficiently to generate enough net income and cash flow to service the increased debt load.Glossary
25Leveraged Buyout (LBO):The purchase of a company or a business unit of a company by an outside investor using mostly borrowed capital.Limited Partner (LP):A passive investor in a Limited Partnership. The General Partner (GP) is liable for the actions of the partnership, while theLPs are generally protected from legal actions and any losses beyond their original investment. The LPs receive income, capital gains and tax benefits.Loan-to-Value (LTV): The ratio of a loan’s balance to the value of the collateral that secures it. This is often used in asset-based lending.Management Fee:A fee paid to the Investment Manager for its services. For a senior direct lending strategy, the fee is generally assessed ongross assets, including assets purchased using leverage. Other types of private debt tend to have more variation in the denominator against which they assess fees, such as assessments based on the partnership’s aggregate committed capital.Mezzanine: An unsecured debt instrument that is subordinated to the senior debt in a company but ranking senior to any equity claims. The instrument may include equity features such as warrants or options.Middle-Market: Companies with $10.0-100.0 million in annual cash flow (EBITDA), which are generally considered established but not large enough to issue publicly traded debt. The middle market is segmented into lower, core and upper capitalization ranges. We typically see the lower middle-market defined as companies with $10.0-25.0 million in EBITDA, the core middle market defined as companies with $25.0-75.0 million in EBITDA and the upper middle-market defined as companies with more than $75.0 million in EBITDA.Multiple of Invested Capital (MOIC):The total return on an investment as measured by (Total Money Out)/(Total Money In). Multiple of cost and IRR are the two most common measures of performance in private equity-style Limited Partnerships.Net Asset Value (NAV):The value given by deducting an entity’s liabilities from its assets. This can refer to the estimated value available to all investors in a pooled vehicle or the value of a specific limited partner’s investment in it. The amount is different from gross assets because it includes an estimate for what it would cost to pay off the fund’s debt. This distinction is particularly meaningful for levered investments.Payment-in-Kind (PIK):Interest assessed as increases in the principal owed, rather than in cash. When the debtor has the option of paying in cash or PIK, this is called a “PIK toggle.”Preferred Return:The minimum return that the GP needs to achieve in order to receive carried interest. After the cost basis of an investment is returned to the LPs, they will also receive additional proceeds from the investment equal to a stated percentage, often 6.0-8.0%. Once the preferred return is paid, then the GP will be entitled to its carried interest on all profits realized from the investment in excess of zero (i.e. not limited to the portion above the preferred return).Private Equity: May refer to the non-exchange-listed common equity of a corporation or a set of investment strategies that generally invest in that type of asset. Since such investments are illiquid, investors must be prepared for investment horizons from 5.0 to 10.0 years.S&P/LSTA U.S. Leveraged Loan Index:A market-weighted index intended to track the performance of tradeable U.S. broadly syndicated loans (“bank loans”). The index represents a partnership of Standard & Poor’s (S&P) and the Loan Syndications and Trading Association (LSTA).Glossary
26Senior: Higher priority than other claims on the borrower’s assets. All else held equal, senior claims should receive higher recoveries in restructurings than subordinated claims.Special Situations: Strategies that flexibly invest in companies that are in complex, less understood and/or troubled circumstances. Subordination: Lower in priority than a more senior claim on the borrower’s assets. All else held equal, subordinated claims should receive lower recoveries in restructurings than more senior claims.Vintage Year:The year in which a private fund had its final closing.Glossary
CHICAGO | CLEVELAND | DALLAS | DETROIT | ORLANDO | PITTSBURGH | RENO
Winter Springs General
Employees Plan and Trust
Large Cap Value Equity Manager Analysis
March 31, 2020
Introduction
As of 3/31/2020
Purpose for this Manager Evaluation Report
Investment Options for this Manager Evaluation Report
Strategy Name
American Beacon Bridgeway Large Cap Value R6** (BWLRX)
Brandywine Dynamic Large Cap Value IS* (LMBGX)
JP Morgan Equity Income R6 (OIEJX)***
MFS Value R6 (MEIKX)
Vehicle Management Fee Investment Minimum
MF 0.70%None
MF
MF
MF
0.49%$15,000,000 (Waived)
0.47%None
0.65%$5,000,000Brandywine Global Investment Management, LLC
Firm Name
American Beacon Advisors, Inc
Subadvisor: Bridgeway Capital Management, Inc
J.P. Morgan Investment Management, Inc.
Massachusetts Financial Services Company
The purpose of this search is to evaluate options for an active large cap value allocation.
*Brandywine Dynamic LCV separate account composite will be used as a proxy for Brandywine Dynamic LCV IS (LMBGX) due to its longer performance/data history.
**Bridgeway LCV separate account composite will be used as a proxy for Bridgeway LCV R6 (BWLRX) due to its longer performance/data history.
***JP Morgan Equity Income I will be used as a proxy for JP Morgan Equity Income R6 (OIEJX) due to its longer performance/data history.
Noted funds being used as proxies are strictly for illustrative purposes. Please see additional important disclosure information at the end of this presentation.
As of 3/31/2020
Asset Class Overview
Benchmark and Peer Group
This US Large Cap Value search report will use the following benchmark and peer group:
Index – Russell 1000 Value:Consists of the stocks in the Russell 1000 Index with lower than average forecasted growth rates and lower price-to-book and price-to-earnings ratios.
Morningstar Category - Large Value:Large Value portfolios invest primarily in big US companies that are less expensive or growing more slowly than other Large Cap stocks. Stocks in the top 70% of the capitalization of the US
equity market are defined as Large Cap. Value is defined based on low valuations (low price ratios and high dividend yields) and slow growth (low growth rates for earnings, sales, book value, and cash flow).
The primary role of a US Large Cap Value strategy is to provide diversified exposure to the US stock market with a style tilt toward those names with attractive valuations. The value style factor has historically shown to perform well
over long periods. Stocks in the value space often demonstrate lower price volatility and higher dividend rates. Active managers in the space typically look for mispricing in a stock’s valuation relative to its future business prospects.
Within the portfolio, a Large Cap Value strategy is usually paired with a Large Cap Growth strategy to provide additional diversification across different economic environments.
US Large Cap Value is typically defined as US-based companies with a market capitalization over $5 billion that have lower price-to-book and price-to-earnings ratios and lower forecasted growth rates. The primary benchmark for
strategies in this space is the Russell 1000 Value Index. The index contains those stocks with lower than average price-to-book and price-to-earnings ratios and lower 3-yr forecasted growth rates within the Russell 1000 on Russell’s
annual reconstitution day, typically calculated at the end of May. The Financials sector dominates the index, accounting for over 25% of the weight by market cap. The Energy, Healthcare, Industrials, Consumer Staples, and Technology sectors also all have meaningful weights. The index contains approximately 700 individual names, but the largest companies by market cap dominate the index. The weighted average market cap of the index typically
exceeds $100 billion, while the median market cap is less than $10 billion. The five largest names account for almost 15% of the index.
Role within a Portfolio
Definition and Characteristics
Investment Option Comparison
Firm and Investment Option Information
Firm Information
Year Founded
US Headquarters Location
Number of Major Global Offices
Year Began Managing Ext. Funds
Firm AUM ($ M)
Ownership Type
Largest Owner (Name)
Employee Ownership (%)
Qualify as Emerging Manager?
1/1/1993
Houston, TX
1
1/1/1994
7,300
Independent
John Montgomery
80
No
1/1/1986
Philadelphia, PA
6
1/1/1986
74,817
Subsidiary
Legg Mason
0
No
1/1/1900
New York, NY
18
1/1/1900
1,815,994
Publicly Traded
The Vanguard Group, Inc
3
No
1/1/1924
Boston, MA
9
1/1/1924
435,000
Subsidiary
SunLife Financial
6
No
Bridgeway
LargeCap
Value
BrandywineDynamic
Large
CapValue
JPMorgan
Equity
Income I
MFS
Value
R6
Strategy Information
Inception Date
Open/Closed
Primary Benchmark
Secondary Benchmark
Peer Universe
Outperformance Estimate (%)
Tracking Error Estimate (%)
Strategy AUM ($ M)
Strategy AUM as % Firm Assets
Estimated Capacity ($ M)
Investment Approach -Primary
Investment Approach -Secondary
7/1/2002
Open
Russell 1000 Value
None
US Large Cap Value
1-2
2-4
4,400
60
20,000
Bottom-up
Quantitative
1/1/2007
Open
Russell 1000 Value
S&P 500
US Large Cap Value
2-4
4-6
641
1
25,000
Top-Down
Quantitative
11/30/2002
Open
Russell 1000 Value
None
US Large Cap Value
1-2
3-5
42,884
2
45,000
Bottom-up
Fundamental
2/1/1989
Open
Russell 1000 Value
None
US Large Cap Value
1-2
2-4
78,114
17
Approaching Capacity
Bottom-up
Fundamental
The source of data and figures provided is generally the respective managers. Certain data represents AndCo's view and could differ from the manager's interpretation. The most current AUM of each
strategy may therefore differ from what is currently stated.
Firm and Investment Option Information
Team Information
Decision Making Structure
Number of Decision Makers
Names of Decision Makers
Date Began Managing Strategy
Date Began with Firm
Number of Products Managed by Team
Number of Investment Analysts
Investment Analyst Team Structure
Team
3
J. Montgomery, E. Khoziaeva, M. Whipple
2002, 2005, 2005
1993, 1998, 2002
13
5
Generalists
PM-Led
3
M. Fleisher, H. Otto, S. Tonkovich
2007, 2007, 2007
1997, 1988, 1989
9
5
Generalists
PM-Led
1
C. Hart
2002
1999
2
29
Combination
PM-Led
3
S. Gorham, N. Chitkara, K. Cannan
2002, 2006, 2019
1989, 1997, 2013
3
64
Sector/Industry Specialists
Bridgeway
LargeCap
Value
BrandywineDynamic
Large
Cap
Value
JPMorgan
Equity
Income I
MFS
Value
R6
Portfolio Construction Information
Broad Style Category
Style Bias
Sector Constraint Type
Sector Constraints (%)
Typical Sector/s Overweight
Typical Sector/s Underweight
Typical Number of Holdings
Average Full Position Size (%)
Maximum Position Size (%)
Annual Typical Asset Turnover (%)
Annual Typical Name Turnover (%)
Maximum Cash Allocation (%)
Maximum Foreign Exposure (%)
Value
Deep Value
Benchmark Relative
+/- 10
None
None
90-110
1
5
30-50
40-60
5
0
Value
Relative Value
Benchmark Relative
+/-15
Consumer Discretionary
Real Estate, Utilities
75-150
1-3
5
80-100
80-100
5
0
Value
Relative Value, Dividend-Oriented
Benchmark Relative
+/-10
None
None
85-100
1-3
5
20-40
20-40
5
5
Value
Relative Value
None
None
Industrials
Energy, Real Estate
80-100
1
5, 1.5x
20-40
10-20
2
10
The source of data and figures provided is generally the respective managers. Certain data represents AndCo's view and could differ from the manager's interpretation. The most current AUM of each
strategy may therefore differ from what is currently stated.
Current Portfolio Comparison
As of 3/31/2020
GICS SECTORS %
Energy %
Materials %
Industrials %
Consumer Discretionary %
Consumer Staples %
Healthcare %
Financials %
Information Technology %
Communication Services %
Utilities %
Real Estate %
6.69
4.56
11.84
8.92
8.31
10.83
26.47
7.71
8.31
1.69
4.67
1.88
3.18
21.75
12.68
6.29
12.78
13.28
21.64
2.85
3.66
0.00
4.06
2.88
10.33
6.65
11.10
16.75
23.54
11.16
4.19
6.58
2.77
2.54
3.55
16.11
1.03
8.36
20.89
26.10
9.76
3.63
7.61
0.42
6.42
4.37
9.22
5.53
10.16
15.82
20.94
6.84
8.44
7.25
5.01
MARKET CAPITALIZATION
Market Cap Giant %
Market Cap Large %
Market Cap Mid %
Market Cap Small %
Market Cap Micro %
17.35
45.55
36.34
0.00
0.00
38.37
38.46
19.89
0.90
0.00
40.42
41.55
12.17
0.22
0.00
32.40
58.38
5.91
0.00
0.00
36.95
36.74
23.29
3.02
0.01
CHARACTERISTICS
Average Market Cap (mil)
P/E Ratio (TTM)
P/B Ratio (TTM)
LT Earn Growth
Dividend Yield
ROE % (TTM)
35,706.28
14.97
1.83
8.08
2.49
16.73
64,445.71
11.81
2.70
8.01
3.47
35.82
72,938.88
14.21
1.94
8.31
3.64
21.48
67,619.96
14.97
2.01
8.72
3.07
21.70
54,208.31
14.40
1.65
6.63
3.31
14.56
COMPOSITION
# of Holdings
% Asset in Top 10 Holdings
Asset Alloc Cash %
Asset Alloc Equity %
Asset Alloc Bond %
Asset Alloc Other %
99
15.04
0.76
99.24
0.00
0.00
104
35.37
2.37
97.63
0.00
0.00
95
22.82
4.34
95.66
0.00
0.00
79
29.61
2.13
97.87
0.00
0.00
766
22.38
0.00
100.00
0.00
0.00
Bridgeway
Large
Cap
Value
Brandywine
Dynamic
LargeCap
Value
JPMorgan
EquityIncome I
MFS
ValueR6
Russell
1000
Value
TR USD
Historical Portfolio Characteristics Comparison
As of 3/31/2020
Historical Cash Allocation
2010 2012 2014 2016 2018 2020
0.0
2.0
4.0
6.0
8.0
10.0
12.0
Asset Alloc Cash % (Long)Historical Portfolio Turnover
2013 2015 2017 2019
0.0
20.0
40.0
60.0
80.0
100.0
120.0
Turnover Ratio %Historical Number of Holdings
2010 2012 2014 2016 2018 2020
60.0
67.5
75.0
82.5
90.0
97.5
105.0
112.5
120.0
127.5
# of HoldingsHistorical Percentage of Assets in Top 10 Holdings
2010 2012 2014 2016 2018 2020
10.0
15.0
20.0
25.0
30.0
35.0
40.0
45.0
% Asset in Top 10 HoldingsBridgeway Large Cap Value Brandywine Dynamic Large Cap Value JPMorgan Equity Income I
MFS Value R6
Historical Portfolio Characteristics Comparison
As of 3/31/2020
Historical Earnings Growth
2010 2012 2014 2016 2018 2020
6.8
7.5
8.3
9.0
9.8
10.5
11.3
12.0
12.8
LT Earn GrowthHistorical Dividend Yield
2010 2012 2014 2016 2018 2020
1.5
2.0
2.5
3.0
3.5
4.0
Div YldHistorical P/E Ratio
2010 2012 2014 2016 2018 2020
8.0
10.0
12.0
14.0
16.0
18.0
20.0
22.0
24.0
P/E RatioHistorical P/B Ratio
2010 2012 2014 2016 2018 2020
1.0
1.5
2.0
2.5
3.0
3.5
4.0
P/B RatioBridgeway Large Cap Value Brandywine Dynamic Large Cap Value JPMorgan Equity Income I
MFS Value R6 Russell 1000 Value TR USD
Current and Historical Portfolio Region Exposure
As of 12/31/2019
Historical Non-US Portfolio Exposure
2010 2011 2012 2013 2014 2015 2016 2017 2018 2019
-2.5
0.0
2.5
5.0
7.5
10.0
12.5
15.0
Equity Country Non-US % (Long)Current Portfolio Region Allocation
Bridgeway
Large
Cap
Value
Brandywine
Dynamic
Large
Cap
Value
JPMorgan
Equity
Income I
MFS
Value
R6
Russell
1000
Value
TR USD
Equity Country United States %
Equity Region North America %
Equity Region Latin America %
Equity Region United Kingdom %
Equity Region Europe dev %
Equity Region Europe emrg %
Equity Region Japan %
Equity Region Australasia %
Equity Region Asia dev %
Equity Region Asia emrg %
Equity Region Africa/Middle East %
Equity Region Developed %
Equity Region Emerging %
98.89
98.89
0.00
1.11
0.00
0.00
0.00
0.00
0.00
0.00
0.00
100.00
0.00
100.00
100.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
100.00
0.00
99.21
99.21
0.00
0.00
0.79
0.00
0.00
0.00
0.00
0.00
0.00
100.00
0.00
91.35
92.73
0.00
1.87
4.94
0.00
0.00
0.00
0.00
0.46
0.00
99.54
0.46
98.30
98.30
0.04
0.89
0.59
0.00
0.00
0.00
0.00
0.17
0.01
99.81
0.19
Bridgeway Large Cap Value Brandywine Dynamic Large Cap Value JPMorgan Equity Income I
MFS Value R6 Russell 1000 Value TR USD
Current and Historical Portfolio Style Comparison
As of 12/31/2019
Historical Value - Growth Score
2011 2013 2015 2017 2019
0.0
20.0
40.0
60.0
80.0
100.0
120.0
140.0
Value-Growth Score (Long)Historical Average Market Capitalization
2011 2013 2015 2017 2019
10,000.0
20,000.0
30,000.0
40,000.0
50,000.0
60,000.0
70,000.0
80,000.0
90,000.0
100,000.0
Average Market Cap (mil)Style Allocation
Bridgeway
LargeCap
Value
BrandywineDynamic
Large
CapValue
JPMorgan
Equity
Income I
MFS
Value
R6
Russell
1000Value
TR USD
Equity Style Large Value %
Equity Style Large Core %
Equity Style Large Growth %
Equity Style Mid Value %
Equity Style Mid Core %
Equity Style Mid Growth %
Equity Style Small Value %
Equity Style Small Core %
Equity Style Small Growth %
33.76
27.13
2.01
29.03
5.47
1.84
0.00
0.00
0.00
37.17
39.91
4.50
10.47
4.32
1.87
0.00
0.00
0.00
44.38
40.03
4.90
1.75
6.33
0.00
0.00
0.00
0.00
45.40
41.08
9.88
0.83
2.02
0.00
0.00
0.00
0.00
45.63
27.58
3.13
10.40
8.60
2.60
0.94
0.57
0.22
Bridgeway Large Cap Value Brandywine Dynamic Large Cap Value JPMorgan Equity Income I
MFS Value R6 Russell 1000 Value TR USD
Current and Historical Holdings Based Style Analysis
As of 3/31/2020
Current Portfolio Holdings-Style Map
Micro Small MidLarge GiantDeep-Val Core-Val Core Core-Grth High-Grth
Historical Holdings-Based Style Trail
Time Period: 4/30/2010 to 3/31/2020
Micro Small MidLarge GiantDeep-Val Core-Val Core Core-Grth High-Grth
Bridgeway Large Cap Value Brandywine Dynamic Large Cap Value JPMorgan Equity Income I
MFS Value R6 Russell 1000 Value TR USD
Quantitative Review
Returns are Gross of Fees.
Performance data shown prior to fund's inception date represents extended performance of an older share class of the same strategy.
Trailing Performance
As of 3/31/2020
Peer Group (5-95%): Funds - U.S. - Large Value
-25.0
-22.5
-20.0
-17.5
-15.0
1 Year 2 Years 3 Years 4 Years 5 Years 6 Years 7 Years 8 Years 9 Years 10 Years
-12.5
-10.0
-7.5
-5.0
-2.5
0.0
2.5
5.0
7.5
10.0
12.5
ReturnBridgeway Large Cap Value Brandywine Dynamic Large Cap Value JPMorgan Equity Income I
MFS Value R6 Russell 1000 Value TR USD
1 Year Rank 2 Years Rank 3 Years Rank 4 Years Rank 5 Years Rank 6 Years Rank 7 Years Rank 8 Years Rank 9 Years Rank 10 Years Rank
Bridgeway Large Cap Value
Brandywine Dynamic Large Cap Value
JPMorgan Equity Income I
MFS Value R6
Russell 1000 Value TR USD
-22.63 -12.81 -5.05 0.11 -0.01 2.15 5.26 7.42 7.12 8.16
-15.39 -5.38 1.41 4.17 2.38 4.10 7.52 9.07 9.42 10.00
-12.86 -2.52 2.06 5.62 4.65 5.81 8.05 8.99 9.31 10.41
-17.17 -6.44 -2.18
-11.60
2.78
-3.45
1.90
0.72
3.11
4.72
5.56
4.07
7.13
5.14
6.87
7.58
7.67
8.72 8.51 9.05
89 94 91 93 89 81 70 47 48 41
40 40 16 32 50 37 14 6 3 4
20 14 12 11 12 9 6 7 3 3
11 22 23 23 19 18 13 11 16 20
55 49 66 64 60 58 61 55 56 61
Calendar Year Performance
As of 3/31/2020
Peer Group (5-95%): Funds - U.S. - Large Value
YTD 2019 2018 2017 2016 2015 2014 2013 2012 2011 2010-35.0
-30.0
-25.0
-20.0
-15.0
-10.0
-5.0
0.0
5.0
10.0
15.0
20.0
25.0
30.0
35.0
40.0
45.0
50.0
ReturnBridgeway Large Cap Value Brandywine Dynamic Large Cap Value JPMorgan Equity Income I
MFS Value R6 Russell 1000 Value TR USD
YTD Rank 2019 Rank 2018 Rank 2017 Rank 2016 Rank 2015 Rank 2014 Rank 2013 Rank 2012 Rank 2011 Rank 2010 Rank
Bridgeway Large Cap Value
Brandywine Dynamic Large Cap Value
JPMorgan Equity Income I
MFS Value R6
Russell 1000 Value TR USD
-31.60 25.70 -12.52 16.70 17.23 -1.02 15.56 39.61 19.03 3.18 15.48
-23.94 27.21 -3.76
-25.70
18.44
28.13 -8.48
15.75
22.74
-1.54
10.95
14.66
-2.93
32.64
11.80
14.32
47.51 17.58
8.44
8.84
19.91
13.36
-23.66 30.79 -9.35 18.43 14.82 0.08 11.25 36.70 17.38 0.73 12.45
-26.73 26.54 -8.27 13.66 17.34 -3.83 13.45 32.53 17.51 0.39 15.51
89 61 91 60 28 29 7 6 18 32 41
42 30 60 5 92 58 59 1 32 9 76
24 40 12 34 47 37 13 53 70 10 12
20 9 72 34 60 15 65 19 36 51 87
55 47 56 87 27 73 26 56 33 54 41
Rolling Excess Return Analysis
As of 3/31/2020
Rolling Excess Returns
Time Period: 4/1/2010 to 3/31/2020
Rolling Window: 3 Years 3 Months shift Calculation Benchmark: Russell 1000 Value TR USD
06 09 12
2014
03 06 09 12
2015
03 06 09 12
2016
03 06 09 12
2017
03 06 09 12
2018
03 06 09 12
2019
03 06 09 12
2020
03
-4.0
-2.0
0.0
2.0
4.0
6.0
8.0
Excess ReturnRolling Excess Return Rankings
Time Period: 4/1/2010 to 3/31/2020
Rolling Window: 3 Years 3 Months shift Calculation Benchmark: Russell 1000 Value TR USD
1st to 25th Percentile 26th to Median 51st to 75th Percentile 76th to 100th Percentile
06 09 12
2014
03 06 09 12
2015
03 06 09 12
2016
03 06 09 12
2017
03 06 09 12
2018
03 06 09 12
2019
03 06 09 12
2020
03
100.0
75.0
50.0
25.0
0.0
Bridgeway Large Cap Value Brandywine Dynamic Large Cap Value JPMorgan Equity Income I
MFS Value R6 Russell 1000 Value TR USDExcess Return
Rolling Risk Analysis
As of 3/31/2020
Rolling Standard Deviation
Time Period: 4/1/2010 to 3/31/2020
Rolling Window: 3 Years 3 Months shift
06 09 12
2014
03 06 09 12
2015
03 06 09 12
2016
03 06 09 12
2017
03 06 09 12
2018
03 06 09 12
2019
03 06 09 12
2020
03
8.0
10.0
12.0
14.0
16.0
18.0
20.0
Std DevRolling Standard Deviation Rankings
Time Period: 4/1/2010 to 3/31/2020
Rolling Window: 3 Years 3 Months shift
1st to 25th Percentile 26th to Median 51st to 75th Percentile 76th to 100th Percentile
06 09 12
2014
03 06 09 12
2015
03 06 09 12
2016
03 06 09 12
2017
03 06 09 12
2018
03 06 09 12
2019
03 06 09 12
2020
03
100.0
75.0
50.0
25.0
0.0
Bridgeway Large Cap Value Brandywine Dynamic Large Cap Value JPMorgan Equity Income I
MFS Value R6 Russell 1000 Value TR USDStd Dev
Correlation Matrix
As of 3/31/2020
Correlation Matrix (Excess Returns vs. Russell 1000 Value TR USD)
Time Period: 4/1/2013 to 3/31/2020
Calculation Benchmark: Russell 1000 Value TR USD
1 2 3 4 5
1.00
0.38 1.00
-0.18 -0.02 1.00
-0.16 0.21 0.56 1.00
1.00
1 Bridgeway Large Cap Value
2 Brandywine Dynamic Large Cap Value
3 JPMorgan Equity Income I
4 MFS Value R6
5 Russell 1000 Value TR USD
Russell 1000 Value TR USD
Russell 1000 Value TR USD
Russell 1000 Value TR USD
Russell 1000 Value TR USD
Russell 1000 Value TR USD
Correlation Matrix
Time Period: 4/1/2013 to 3/31/2020
1 2 3 4 5
1.00
0.96 1.00
0.97 0.95 1.00
0.96 0.96 0.99 1.00
0.98 0.96 0.99 0.98 1.00
1 Bridgeway Large Cap Value
2 Brandywine Dynamic Large Cap Value
3 JPMorgan Equity Income I
4 MFS Value R6
5 Russell 1000 Value TR USD
Rolling Risk Analysis
As of 3/31/2020
Rolling Correlation
Time Period: 4/1/2010 to 3/31/2020
Rolling Window: 5 Years 3 Months shift
04 05 06 07 08 09 10 11 12
2016
01 02 03 04 05 06 07 08 09 10 11 12
2017
01 02 03 04 05 06 07 08 09 10 11 12
2018
01 02 03 04 05 06 07 08 09 10 11 12
2019
01 02 03 04 05 06 07 08 09 10 11 12
2020
01 02 03
0.9
0.9
1.0
1.0
1.0
1.0
1.0
1.0
Bridgeway Large Cap Value Brandywine Dynamic Large Cap Value JPMorgan Equity Income I
MFS Value R6 Russell 1000 Value TR USDCorrelationRolling Correlation
Time Period: 4/1/2010 to 3/31/2020
Rolling Window: 3 Years 3 Months shift
06 09 12
2014
03 06 09 12
2015
03 06 09 12
2016
03 06 09 12
2017
03 06 09 12
2018
03 06 09 12
2019
03 06 09 12
2020
03
0.9
0.9
0.9
1.0
1.0
1.0
Correlation
Risk and Reward
As of 3/31/2020
Risk-Reward: 5-Year
Time Period: 4/1/2015 to 3/31/2020
Calculation Benchmark: Russell 1000 Value TR USD
Std Dev
0.0 3.0 6.0 9.0 12.0 15.0 18.0 21.0
-1.0
0.0
1.0
2.0
3.0
4.0
5.0
6.0
ReturnRisk-Reward: 10-Year
Time Period: 4/1/2010 to 3/31/2020
Calculation Benchmark: Russell 1000 Value TR USD
Std Dev
0.0 3.0 6.0 9.0 12.0 15.0 18.0
0.0
2.0
4.0
6.0
8.0
10.0
12.0
ReturnRisk-Reward: 3-Year
Time Period: 4/1/2017 to 3/31/2020
Calculation Benchmark: Russell 1000 Value TR USD
Std Dev
0.0 4.0 8.0 12.0 16.0 20.0 24.0
-7.0
-5.0
-3.0
-1.0
1.0
3.0
5.0
ReturnRisk-Reward: 7-Year
Time Period: 4/1/2013 to 3/31/2020
Calculation Benchmark: Russell 1000 Value TR USD
Std Dev
0.0 3.0 6.0 9.0 12.0 15.0 18.0
0.0
2.0
4.0
6.0
8.0
10.0
ReturnBridgeway Large Cap Value Brandywine Dynamic Large Cap Value JPMorgan Equity Income I
MFS Value R6 Russell 1000 Value TR USD
Up and Down Market Capture
As of 3/31/2020
Up and Down Market Capture: 5-Year
Time Period: 4/1/2015 to 3/31/2020
Calculation Benchmark: Russell 1000 Value TR USD
Down Capture Ratio
0.0 20.0 40.0 60.0 80.0 100.0 120.0 140.0
0.0
20.0
40.0
60.0
80.0
100.0
120.0
Up Capture RatioUp and Down Market Capture: 10-Year
Time Period: 4/1/2010 to 3/31/2020
Calculation Benchmark: Russell 1000 Value TR USD
Down Capture Ratio
0.0 20.0 40.0 60.0 80.0 100.0 120.0
0.0
20.0
40.0
60.0
80.0
100.0
120.0
Up Capture RatioUp and Down Market Capture: 3-Year
Time Period: 4/1/2017 to 3/31/2020
Calculation Benchmark: Russell 1000 Value TR USD
Down Capture Ratio
0.0 20.0 40.0 60.0 80.0 100.0 120.0 140.0
0.0
20.0
40.0
60.0
80.0
100.0
120.0
140.0
Up Capture RatioUp and Down Market Capture: 7-Year
Time Period: 4/1/2013 to 3/31/2020
Calculation Benchmark: Russell 1000 Value TR USD
Down Capture Ratio
0.0 20.0 40.0 60.0 80.0 100.0 120.0
0.0
20.0
40.0
60.0
80.0
100.0
120.0
140.0
Up Capture RatioBridgeway Large Cap Value Brandywine Dynamic Large Cap Value JPMorgan Equity Income I
MFS Value R6 Russell 1000 Value TR USD
Multi Statistic Analysis
As of 3/31/2020
Information Ratio 3 Yr-1.0
-0.8
-0.6
-0.4
-0.2
-0.0
0.2
0.4
0.6
0.8
1.0
1.2
1.4
1.6
1.8
Tracking Error 3 Yr1.5
2.0
2.5
3.0
3.5
4.0
4.5
5.0
5.5
6.0
6.5
7.0
7.5
Tracking Error
Alpha 3 Yr-3.5
-3.0
-2.5
-2.0
-1.5
-1.0
-0.5
0.0
0.5
1.0
1.5
2.0
2.5
3.0
3.5
4.0
4.5
5.0
Sharpe Ratio 3 Yr-0.4
-0.4
-0.3
-0.3
-0.2
-0.2
-0.1
-0.1
-0.0
0.0
0.1
0.2
Sharpe Ratio (arith)
Bridgeway Large Cap Value
Brandywine Dynamic Large Cap Value
JPMorgan Equity Income I
MFS Value R6
Russell 1000 Value TR USD
Std Dev 3 Yr13.0
13.5
14.0
14.5
15.0
15.5
16.0
16.5
17.0
17.5
18.0
18.5
19.0
19.5
20.0
20.5
Time Period: 4/1/2017 to 3/31/2020
Std Dev Rank Sharpe
Ratio Rank Alpha Rank
Information
Ratio Rank Tracking
Error Rank
Bridgeway Large Cap Value
Brandywine Dynamic Large Cap Value
JPMorgan Equity Income I
MFS Value R6
Russell 1000 Value TR USD
19.33 -0.35 -2.12 -0.79 3.65
17.88 -0.02 3.87 0.93 3.87
15.33 0.02 3.75 1.68 2.52
15.98 -0.06 2.61 1.04 2.79
16.79 -0.23 0.00 0.00
13 90 91 93 43
28 15 10 22 37
80 12 12 3 75
70 23 22 18 66
51 67 67 100
Multi Statistic Analysis
As of 3/31/2020
Information Ratio 5 Yr-0.7
-0.6
-0.5
-0.4
-0.3
-0.2
-0.1
-0.0
0.1
0.2
0.3
0.4
0.5
0.6
0.7
0.8
0.9
1.0
1.1
1.2
Tracking Error 5 Yr1.5
2.0
2.5
3.0
3.5
4.0
4.5
5.0
5.5
6.0
6.5
7.0
7.5
Tracking Error
Alpha 5 Yr-3.0
-2.5
-2.0
-1.5
-1.0
-0.5
0.0
0.5
1.0
1.5
2.0
2.5
3.0
3.5
4.0
Sharpe Ratio 5 Yr-0.2
-0.1
-0.1
-0.0
0.1
0.1
0.2
0.2
0.3
0.3
0.4
0.4
Sharpe Ratio (arith)
Bridgeway Large Cap Value
Brandywine Dynamic Large Cap Value
JPMorgan Equity Income I
MFS Value R6
Russell 1000 Value TR USD
Std Dev 5 Yr11.5
12.0
12.5
13.0
13.5
14.0
14.5
15.0
15.5
16.0
16.5
17.0
17.5
18.0
18.5
Time Period: 4/1/2015 to 3/31/2020
Std Dev Rank Sharpe
Ratio Rank Alpha Rank
Information
Ratio Rank Tracking
Error Rank
Bridgeway Large Cap Value
Brandywine Dynamic Large Cap Value
JPMorgan Equity Income I
MFS Value R6
Russell 1000 Value TR USD
16.52 -0.07 -1.78 -0.58 3.33
13.50 0.26 2.65 1.12 2.44
16.06 0.08 0.56 0.11 4.38
14.19 0.20 2.11 0.84 2.59
14.84 0.05 0.00 0.00
18 88 89 92 50
23 52 49 52 29
82 12 13 4 82
70 20 19 12 76
54 60 61 100
Multi Statistic Analysis
As of 3/31/2020
Information Ratio 7 Yr-0.5
-0.4
-0.3
-0.2
-0.1
-0.0
0.1
0.2
0.3
0.4
0.5
0.6
0.7
0.8
0.9
1.0
1.1
Tracking Error 7 Yr1.5
2.0
2.5
3.0
3.5
4.0
4.5
5.0
5.5
6.0
6.5
7.0
Tracking Error
Sharpe Ratio 7 Yr0.1
0.2
0.2
0.3
0.3
0.4
0.4
0.5
0.5
0.6
0.6
0.7
Sharpe Ratio (arith)
Alpha 7 Yr-3.0
-2.5
-2.0
-1.5
-1.0
-0.5
0.0
0.5
1.0
1.5
2.0
2.5
3.0
3.5
Bridgeway Large Cap Value
Brandywine Dynamic Large Cap Value
JPMorgan Equity Income I
MFS Value R6
Russell 1000 Value TR USD
Std Dev 7 Yr11.0
11.5
12.0
12.5
13.0
13.5
14.0
14.5
15.0
15.5
16.0
16.5
Time Period: 4/1/2013 to 3/31/2020
Std Dev Rank Sharpe
Ratio Rank Alpha Rank
Information
Ratio Rank Tracking
Error Rank
Bridgeway Large Cap Value
Brandywine Dynamic Large Cap Value
JPMorgan Equity Income I
MFS Value R6
Russell 1000 Value TR USD
15.00 0.29 -0.54 -0.10 3.01
14.92 0.45 1.72 0.47 4.18
13.18 0.51 2.09 0.81 2.49
12.48 0.58 2.70 1.08 2.31
13.57 0.35 0.00 0.00
19 76 76 69 52
20 31 23 24 26
80 9 9 2 82
64 15 15 7 74
55 58 62 100
Multi Statistic Analysis
As of 3/31/2020
Information Ratio 10 Yr-0.6
-0.5
-0.4
-0.3
-0.2
-0.1
-0.0
0.1
0.2
0.3
0.4
0.5
0.6
0.7
0.8
0.9
1.0
Tracking Error 10 Yr1.5
2.0
2.5
3.0
3.5
4.0
4.5
5.0
5.5
6.0
6.5
7.0
Tracking Error
Alpha 10 Yr-3.0
-2.5
-2.0
-1.5
-1.0
-0.5
0.0
0.5
1.0
1.5
2.0
2.5
3.0
3.5
Sharpe Ratio 10 Yr0.3
0.3
0.4
0.4
0.5
0.5
0.6
0.6
0.7
0.7
0.8
0.8
0.9
Sharpe Ratio (arith)
Bridgeway Large Cap Value
Brandywine Dynamic Large Cap Value
JPMorgan Equity Income I
MFS Value R6
Russell 1000 Value TR USD
Std Dev 10 Yr10.5
11.0
11.5
12.0
12.5
13.0
13.5
14.0
14.5
15.0
15.5
16.0
16.5
17.0
Time Period: 4/1/2010 to 3/31/2020
Std Dev Rank Sharpe
Ratio Rank Alpha Rank
Information
Ratio Rank Tracking
Error Rank
Bridgeway Large Cap Value
Brandywine Dynamic Large Cap Value
JPMorgan Equity Income I
MFS Value R6
Russell 1000 Value TR USD
12.68 0.77 3.26 0.95 2.89
14.91 0.51 0.32 0.17 2.82
15.17 0.62 2.06 0.57 4.11
13.79 0.61 1.54 0.58 2.37
14.18 0.50 0.00 0.00
34 50 49 40 65
27 25 20 13 26
84 7 6 1 61
65 27 28 9 81
57 53 58 100
Batting Average and Drawdown
As of 3/31/2020
Bridgeway Large Cap Value Brandywine Dynamic Large Cap Value JPMorgan Equity Income I
MFS Value R6 Russell 1000 Value TR USD
Drawdown
Time Period: 4/1/2010 to 3/31/2020
Source Data: Monthly Return
2010 2011 2012 2013 2014 2015 2016 2017 2018 2019-35.0
-30.0
-25.0
-20.0
-15.0
-10.0
-5.0
0.0
Batting Average
Source Data: Monthly Return Calculation Benchmark: Russell 1000 Value TR USD
3 Years 5 Years 7 Years 10 Years0.0
7.5
15.0
22.5
30.0
37.5
45.0
52.5
60.0
67.5
75.0
82.5
Batting Average
MPT Statistics
As of 3/31/2020
MPT Statistics: 3-Year
Time Period: 4/1/2017 to 3/31/2020 Calculation Benchmark: Russell 1000 Value TR USD
BridgewayLarge
Cap
Value
Brandywine
Dynamic
LargeCap
Value
JPMorgan
EquityIncome I
MFS
ValueR6
Russell1000
Value
TR USD
Return
Excess Return
Std Dev
Beta
Tracking Error
Sharpe Ratio
Alpha
Information Ratio
Batting Average
Up Capture Ratio
Down Capture Ratio
-5.05
-2.87
19.33
1.14
3.65
-0.35
-2.12
-0.79
50.00
102.82
115.91
1.41
3.59
17.88
1.04
3.87
-0.02
3.87
0.93
66.67
123.04
103.46
2.06
4.23
15.33
0.91
2.52
0.02
3.75
1.68
75.00
104.52
84.58
0.72
2.90
15.98
0.94
2.79
-0.06
2.61
1.04
66.67
101.20
87.73
-2.18
0.00
16.79
1.00
0.00
-0.23
0.00
100.00
100.00
100.00
MPT Statistics: 5-Year
Time Period: 4/1/2015 to 3/31/2020 Calculation Benchmark: Russell 1000 Value TR USD
Return
Excess Return
Std Dev
Beta
Tracking Error
Sharpe Ratio
Alpha
Information Ratio
Batting Average
Up Capture Ratio
Down Capture Ratio
-0.01
-1.92
16.52
1.10
3.33
-0.07
-1.78
-0.58
48.33
97.75
108.41
4.65
2.74
13.50
0.90
2.44
0.26
2.65
1.12
66.67
99.66
84.41
2.38
0.48
16.06
1.04
4.38
0.08
0.56
0.11
58.33
105.90
103.66
4.07
2.16
14.19
0.94
2.59
0.20
2.11
0.84
61.67
101.40
89.48
1.90
0.00
14.84
1.00
0.00
0.05
0.00
100.00
100.00
100.00
MPT Statistics
As of 3/31/2020
MPT Statistics: 7-Year
Time Period: 4/1/2013 to 3/31/2020 Calculation Benchmark: Russell 1000 Value TR USD
BridgewayLarge
Cap
Value
Brandywine
Dynamic
LargeCap
Value
JPMorgan
EquityIncome I
MFS
ValueR6
Russell1000
Value
TR USD
Return
Excess Return
Std Dev
Beta
Tracking Error
Sharpe Ratio
Alpha
Information Ratio
Batting Average
Up Capture Ratio
Down Capture Ratio
5.26
-0.30
15.00
1.09
3.01
0.29
-0.54
-0.10
55.95
102.07
104.60
7.52
1.96
14.92
1.06
4.18
0.45
1.72
0.47
60.71
110.57
101.76
8.05
2.49
12.48
0.91
2.31
0.58
2.70
1.08
64.29
100.64
85.32
5.56
0.00
13.57
1.00
0.00
0.35
0.00
100.00
100.00
100.00
7.58
2.02
13.18
0.96
2.49
0.51
2.09
0.81
60.71
102.66
90.89
MPT Statistics: 10-Year
Time Period: 4/1/2010 to 3/31/2020 Calculation Benchmark: Russell 1000 Value TR USD
Return
Excess Return
Std Dev
Beta
Tracking Error
Sharpe Ratio
Alpha
Information Ratio
Batting Average
Up Capture Ratio
Down Capture Ratio
8.16
0.49
14.91
1.03
2.82
0.51
0.32
0.17
59.17
101.22
98.80
10.00
2.34
15.17
1.03
4.11
0.62
2.06
0.57
60.83
107.49
96.87
10.41
2.74
12.68
0.88
2.89
0.77
3.26
0.95
64.17
97.15
79.55
9.05
1.38
13.79
0.96
2.37
0.61
1.54
0.58
60.83
100.29
92.14
7.67
0.00
14.18
1.00
0.00
0.50
0.00
100.00
100.00
100.00
Investment Option Narratives
As of 3/31/2020
Bridgeway Large Cap Value
Strategy Overview Recommendation Summary
Bridgeway’s investment process is data-driven, based on the belief that factors shape returns and strong factor
exposure and diversification improves portfolios. The firm’s quantitative models are rooted in academic and
financial theory themes, which are back tested over multiple periods and expected to generate persistence over
time. LCV captures three primary investment themes: Valuation (70%), Company Financial Health (25%) and Momentum (5%) through nine distinct multi-factor models. Instead of building portfolios through a weighted
average stock ranking across these investment themes, a stock only needs to rank highly in one of the nine
factor models to be included in the portfolio. The team believes that the historical cost of investing in a model with deep single factor exposure is significant volatility. The portfolio is constructed from the bottom-up through
distinct factor models to fully capture the diversification benefits that each theme brings.
The initial investment universe for LCV is the Russell 1000 Value Index. Each model will invest in the highest
ranking 5-20 stocks depending on anticipated level of alpha decay and diversification benefit. There are four value models, three financial health models, and two price momentum models. The models are run regularly (at
least monthly but often more frequently based on rebalancing needs) with each model having a predetermined
holding period (e.g. a momentum model typically has three-month holding period, while stocks ranking in the value model may be held for 12 months or longer). Notably, sell triggers are never driven by price targets or
percentage gains or losses in any stock. However, stocks ranking high in the financial health models will be sold
if fundamental company data deteriorates.
The final portfolio will hold about 100 stocks with sector weights typically kept within 5% of their representations in the Russell 1000 Value Index. Annual turnover is typically 50% and the portfolio is rebalanced back to target
weights as certain models outperform.
We recommend Bridgeway LCV as a sole option in the large cap value category, or as a complement to a large
value option that follows a relative value approach or is overweight mega caps. The portfolio construction
process, which emphasizes diversified and pure factor exposure across three major themes (Value, Financial
Health, and Momentum) is differentiating relative to most of its quantitative peers. Instead of buying stocks based on a weighted average model score, Bridgeway LCV will purchase stocks if they rank highly in just one of
the strategy’s nine multi-factor models. The strategy is diversified across approximately 100 stocks with sector
weights typically kept within 5% of the benchmark, which limits tracking error. However, a notable size underweight, due to stock weights not being influenced by a stock’s market cap, contributes to above average
(>70%) active share. The overweight to mid cap stocks may work particularly well for clients with no dedicated
mid cap value allocation.
Bridgeway’s culture is also noteworthy. The firm donates 50% of company profits to charity, which tends to attract investment professionals who are not motivated solely by financial compensation. This has contributed to
very low employee turnover over time with two investment management team departures in the firm’s history.
We consider Bridgeway LCV’s separate account fees, which start at 0.50% on the first $50M, to be competitive. We also support the American Beacon Bridgeway Large Cap Value mutual fund for clients unable to meet the
strategy’s $10M separate account minimum.
Bridgeway staffs a 10-person investment management (IM) team led by co-founder and CIO John Montgomery. The portfolio managers for LCV include Montgomery, Head of U.S. Equity Elena Khoziaeva (joined Bridgeway in
1998), and Michael Whipple (2002). Head of Research Andy Berkin joined the firm in 2013 and Sri Lakshmanan
(2009) serves as Director of Investment Systems and Research Analyst. PMs do not make individual buy/sell
decisions, but rather follow a process of constructing portfolios of stocks developed by the investment
management team. All members of the IM team have research responsibilities and PMs and research analysts have relatively equal stature at the firm.
Composite assets for LCV were under $30 million through the end of 2012. During that year, American Beacon adopted the Bridgeway Large Cap Value fund, which has been the single biggest driver of strategy assets since
that time. The mutual fund represented the lion’s share (>90%) of strategy’s $5.1B in assets at the end of 2018.
While we will not fully dismiss the strategy’s strong record of outperformance prior to 2012, we do believe the
portfolio’s track record since that time is more relevant, given the rise in assets, the expansion in the number of holdings from an average of 70 to approximately 100 in 2012 following the addition of the volatility model the
prior year, as well as the rising importance of the Value Models, whose strategic weight increased from 55% in
2011 to 68% that year. Over the trailing seven-year period ending December 31, 2018, LCV outperformed by 1.4% annualized gross of fees.
Bridgeway gives away 50% of its profits every year to charity, which may impact the firm’s ability to attract
investment talent. However, this also been a contributor to the firm’s culture and strong employee retention. The
firm has only experienced two investment management team departures in its more than 25-year history.
Team Overview Points to Consider
Founded in 1993 and based in Houston, Texas, Bridgeway Capital Management (Bridgeway) is a quantitative
investment boutique that employs several multi-factor models to construct its investment portfolios. The firm was
founded by Chief Investment Officer John Montgomery, who owns approximately 68% of the firm. Approximately 13% is held by more than 30 Bridgeway partners, and the remainder is held by Montgomery’s family and friends,
who provided startup capital for the firm. Bridgeway offers 11 U.S. equity strategies across the market cap
spectrum, including the firm’s flagship, Large Cap Value (LCV). In 2018, Bridgeway hired two investment staff
members to begin building out its non-U.S. equity capabilities.
The portfolio’s factor tilts will impact performance expectations. The portfolio maintains an overweight to value
and medium-term momentum. As such, it may struggle during market environments where both factors are not
working, such as 2018. The strategy is also meaningfully underweight the size factor as position sizes are not influenced by a company’s market cap. As such, it may lag when mega caps are in favor, but this should be a
tailwind when mid and small cap stocks are leading the market.
Bridgeway LCV is diversified across approximately 100 stocks with sector weightings kept relatively close to the
Russell 1000 Value Index. As such, we expect tracking error to be modest, in the 2-4% range over time. Over a
full market cycle, we believe LCV has the potential to generate 1-2% annualized outperformance gross of fees.
Firm Overview Expectations
For strategy narratives presented, all data represents AndCo's view and may differ from the manager's interpretation.
As of 3/31/2020
Brandywine Dynamic Large Cap Value
BGIM believes they have identified enduring anomalies that arise from investor behavioral biases, which lead to pricing opportunities within the market. Their quantitative research confirms the historical long-term viability of
these anomalies and helps them understand how each factor will perform over the short term in different
environments, and provides information on interaction between factors. The process starts by identifying stocks
with low valuations (based on P/E or P/B). The team performs security selection through quantitative multi-factor
models that rely on factors from three core areas: Value, Sentiment and Quality.
The strategy implements a quantitative Dynamic Timing tool to evaluate valuation spreads within the U.S. equity
market to identify which environment BGIM expects going forward. The Dynamic Timing tool seeks to identify broad, long-term trends in the market and therefore, shifts between the models occur on an infrequent basis,
every two-to-seven years on average. BGIM ranks its value universe (constructed from the top 1,000 U.S.
companies by market cap) using the environment appropriate multi-factor scoring model. The model portfolios
consist of the highest-ranking companies held on a market capitalization-weighted basis and comprise between
75 and 150 stocks. Portfolios will be more diversified in deep value environments when compared to broad value
periods. Both sector and industry weights will be maintained at +/- 15% relative to the representative sector/
industry weight within the index (at purchase). Individual positions are capped at a maximum of 5%. Portfolio
cash is a residual of the investment process, but the goal is to remain fully invested at all times, defined as approximately 1-2% frictional cash. The strategy will not invest in non-US domiciled companies, but will equitize
cash via ETF investments in order to transition new accounts and reduce the cash impact of large cash flows.
We recommend Brandywine Dynamic Large Cap Value as a core or complementary offering in the large cap value category. Mike Fleisher, chief architect of the strategy, has served as lead PM since its 2007 inception and
has been a member of Brandywine’s experienced and stable quantitative equity team since 1997. The strategy’s
dynamic triggering tool, which responds to current market conditions by shifting the portfolio between its deep
value and broad value model, is its true differentiator. In the later stages of a bull market, when stocks separate
themselves and valuation spreads begin to widen, the portfolio will be invested in its broad value model. During
spread narrowing environments, the portfolio’s deep value model is utilized. Regardless of the model, the
strategy will possess a quality tilt throughout. The portfolio is broadly diversified, yet typically maintains an above
average active share. We believe clients willing to tolerate Dynamic Large Cap Value’s higher tracking error may benefit from higher excess returns over a full market cycle.
Mike Fleisher, Steve Tonkovich and Henry Otto oversee Brandywine Dynamic Large Cap Value. Fleisher, as the
lead PM, is responsible for managing and monitoring the portfolios on a day-to-day basis as well as coordinating
the activities of other team members. He joined BGIM in 1997 and is the architect of Dynamic Large Cap Value.
Otto and Tonkovich joined BGIM in 1998 and 1999, respectively and co-lead the firm’s Diversified Value equity strategies in addition to supporting this strategy. The trio is joined by two additional portfolio managers, one
associate portfolio manager, and two quantitative equity analysts.
Clients considering Dynamic Large Cap Value should be prepared to be patient during periods of
underperformance when multiple factor tilts are out of favor. For example, in 2016, the strategy lagged by 6.4%
gross of fees due largely to quality being out of favor, but also the portfolio’s avoidance of companies with lower
price-to-book ratios, which are emphasized in the strategy’s deep value model, but not its broad value model. Prior to this time, the portfolio had never experienced such significant underperformance. Despite the potential
for these outlier periods, we remain confident in the strategy, which not only rebounded strongly in 2017, but
also possesses one of the higher batting averages in the category.
Founded in 1986, Brandywine Global Investment Management (BGIM) is an SEC-registered investment
manager headquartered in Philadelphia, PA. Shortly after its founding, BGIM was acquired by Legg Mason, Inc.
(ticker: LM) and became a wholly-owned, but independent subsidiary. Since the acquisition, the firm has maintained complete control over investments, hiring and compensation. The majority of the firm’s assets under
management are managed within fixed income and all strategies, whether equity or fixed income, are managed
in a value style. The firm also maintains office locations in San Francisco, Singapore and an operating unit in
London. It was announced in February 2020 that Franklin Templeton will acquire Legg Mason. The transaction is
expected to close in the third quarter of 2020.
Brandywine Dynamic Large Cap Value will maintain a quality bias relative to the Russell 1000 Value Index
regardless of whether the portfolio is invested in the deep value or broad value model. Notably, we expect it to
remain overweight companies with higher returns on equity. In markets where quality lags, such as 2016, performance will typically struggle. From a sector standpoint, Dynamic Large Cap Value does not invest in Real
Estate, and has typically underweight Utilities, which contributes to a modest yield underweight. It is also
historically maintained an overweight to Consumer Discretionary.
Despite its broad diversification, the portfolio will possess some concentration among its largest positions with
30% or more of the portfolio invested in the top 10 positions. This, in combination with sector weights which may
vary meaningfully occasionally, contributes to above average tracking error, which we expect to remain in the
4-6% range. Over a full market cycle, we believe the portfolio has the potential to outperform the benchmark by 2-4% on annualized basis gross of fees.
Firm Overview Expectations
For strategy narratives presented, all data represents AndCo's view and may differ from the manager's interpretation.
As of 3/31/2020
JPMorgan Equity Income I
Strategy Overview Recommendation Summary
JPMorgan Equity Income employs a bottom-up investment approach that targets high-quality companies with
attractive valuations and healthy dividend yields. Quality companies are defined as those that possess durable franchises, consistent earnings patterns, high returns-on-invested-capital, conservative financials and strong
management teams. The strategy attempts to avoid highly cyclical names and/or those that are commodity
dependent. The approach will only invest in stocks that possess at least a 2% dividend yield.
The investment universe comprises U.S. equity stocks with market caps greater than $1 billion. The universe is
narrowed based on information gathered via analyst research, company meetings and industry conferences. Ms.
Hart focuses on quality first when identifying portfolio candidates, targeting companies with sustainable free cash
flows that can support the current dividend yield even in difficult market environments, while also having ample cash to reinvest in future business growth. The team prefers companies with both healthy yields and lower
payout ratios. Valuation metrics will be customized for a stock’s industry with a tendency to place more weight on
free cash flow yield, price-to-earnings and enterprise value to EBITDA.
The portfolio will typically hold 85-100 stocks. Industry group weights are kept to within 10% of their
representations in the benchmark. The portfolio has historically overweight consumer stocks, but that overweight
has come down in recent years in favor of financial services companies. Turnover typically averages 20-40%.
We recommend JPMorgan Equity Income as a core, lower volatility large cap value option. The strategy’s lead
manager, Clare Hart has managed the strategy since 2002. She is supported by the firm’s robust centralized research effort. The fund’s high-quality approach, that emphasizes dividend-paying companies with durable
cash flows and management teams that are good stewards of capital, was adapted from the firm’s successful
Mid Cap Value that dates back to 1988. JPMorgan Equity Income has generated consistent long-term results
having outperformed the benchmark and most of its peers over the past decade. The fund’s expense ratio is
competitive relative to institutionally priced large cap value peers. Given the strategy’s lower up-market capture,
clients may benefit from pairing this strategy with a U.S. large cap equity option possessing greater cyclicality.
Clare Hart has served as lead portfolio manager of the JPMorgan Equity Income since its 2002 composite inception and the JPMorgan Equity Income fund since 2004. Ms. Hart began her career as a public accountant
at Arthur Andersen. She spent two years researching REITs at Salomon Smith Barney before joining JPMorgan
in 1999 as a research analyst on the firm’s Mid Cap Value strategy.
Ms. Hart is supported by co-portfolio managers Andrew Brandon and Dave Silberman, who joined the firm in
2000 and 1989, respectively. Both co-PMs were promoted to the role in late 2019 at the same time former
backup PM Jonathan Simon moved off of the strategy. The portfolio management team is further supporter by
dedicated Equity Income generalists Shilpee Raina and Tony Lee, who have been dedicated to the Equity Income strategy since 2008 and 2018, respectively. Brandon tends to focus on opportunities in the energy/
materials/industrials sectors, while Raina typically looks at consumer and information technology stocks and
Lee's background is in healthcare and insurance. Hart possesses expertise in financials and REITs. The equity
income team also leverages the firm’s more than 25 U.S. equity research analysts that are organized by sector.
Clare Hart represents key person risk. While Andrew Brandon and David Silberman were added as co-portfolio managers in late 2019, she has been the sole decision-maker on JPMorgan Equity Income since composite
inception. Their addition may mitigate some key person risk over the long term, but not until they have spent
meaningful time making decisions for the strategy.
Ms. Hart also manages the firm’s Growth & Income strategy, which does not possess the same quality
requirements. The portfolios have approximately 60% commonality and Growth & Income has occasionally
provided a source of ideas for Equity Income as companies improve the quality of their operations. Growth &
Income’s asset base is meaningfully lower than Equity Income, however it is worth monitoring growth of both strategies.
Team Overview Points to Consider
J.P. Morgan was founded in 1861 and has offered asset management services for over a century, most recently
through J.P. Morgan Asset Management Inc. (JPMAM), a wholly owned subsidiary of JPMorgan Chase & Co.
Over its history, the parent company grew through a multitude of mergers and acquisitions with the latest in 2000 combining J.P. Morgan and Chase Manhattan Bank. The firm also purchased Bear Stearns in 2008, which
broadened its capabilities in prime brokerage and energy trading. JPMAM was founded and registered with the
SEC in 1984. The firm offers a diverse array of investment products across all asset classes. The firm is
headquartered in New York and has offices across the globe including London, Frankfurt, Columbus (OH), Tokyo,
Hong Kong, and Singapore. The parent firm is a publicly traded company on the NYSE (Ticker: JPM).
JPMorgan Equity Income’s higher quality, lower volatility approach will tend to outperform in stable or declining
market environments, as well as those that reward dividend-paying stocks. It generated strong results during the
2008 downturn, as well as 2011, 2014 and 2015. The strategy’s down-market capture has fallen in the 80% range over the past decade.
The portfolio will typically lag during low quality market rallies, such as the second and third quarters of 2009, or
those markets that favor companies with highly levered balance sheets, such as the second half of 2016. Given
the portfolio’s tendency to avoid stocks with less stable earnings streams, JPMorgan Equity Income will struggle
to keep pace with the benchmark in markets led by deeply cyclical or commodity dependent companies.
Firm Overview Expectations
For strategy narratives presented, all data represents AndCo's view and may differ from the manager's interpretation.
As of 3/31/2020
MFS Value R6
Strategy Overview Recommendation Summary
The MFS Value team believes that stock prices often overreact to short-term events, thus providing opportunities
for long-term investors. Their ideal holding is a high-quality company with above-average rates of free cash flow
growth that is trading below intrinsic value. The portfolio managers employ a bottom-up, fundamental research
process that seeks to invest in undervalued companies that possess sustainable, durable franchises, generate
significant free cash flow, have strong balance sheets and management teams that are good stewards of capital.
The investment universe for MFS Value comprises those stocks in the Russell 1000 Index in addition to their
global multi-national peers. Of that universe, approximately 250-350 companies meet the team’s quality metrics,
which mostly comprises U.S.-based companies with market capitalizations greater than $5 billion. The portfolio
managers work closely with MFS’s global industry analysts throughout the research process, including
accompanying them on company visits, working through their financial models and valuation framework.
Research analysts generate a large majority of ideas that make their way into the fund. The portfolio managers
consider current valuations relative to a company’s history, its peers and overall market in constructing a portfolio of 80-100 stocks. A change to relative valuations or a breakdown in a company’s quality dimensions are the
primary reasons stocks are sold. Annual turnover ranges from 10-30%. Sector allocations are driven by the firm’s
bottom-up process with a 25% cap at the industry level. The fund has tended to be overweight consumer staples
and industrials stocks, and underweight energy and utility companies, relative to the Russell 1000 Value Index.
We recommend MFS Value as a core large cap value option for AndCo clients. The strategy’s portfolio
managers have worked together on the strategy for more than decade. They are supported by robust, integrated
global research platform that fosters a culture of collaboration. The 0.47% expense ratio for the R6 share is
competitive relative other institutionally priced large cap value options. The strategy is ideal for clients seeking
high-quality, diversified large cap value strategy with modest tracking error and high performance consistency over rolling three-year periods. Over the long-term, the approach has outperformed the Russell 1000 Value
Index while exhibiting below average volatility. Given the strategy will tend to lag during low-quality rallies, clients
may benefit pairing the strategy with an approach that exhibits greater cyclicality and up-market capture.
Steve Gorham, Nevin Chitkara and Katherine Cannan have managed MFS Value since 2002, 2006 and 2019,
respectively. They are jointly responsible for portfolio decisions. Gorham joined MFS in 1989 and previously
covered the electrical equipment, food, beverage & tobacco, business services, transportation, and
telecommunications services industries as a research analyst. Chitkara joined MFS as a research analyst in
1997 and previously covered U.S. media, cellular telephone, and paper & packaging industries, as well as
Northern European stocks and Pan-European media and utility companies. Cannan possesses over 10 years of
research experience and joined MFS in 2013. She has covered multiple industries during her tenure with MFS,
including energy, technology and telecommunications.
MFS’ global equity research platform consists of more than 60 fundamental equity analysts organized into eight
global sector teams and located around the world. More than 25 analysts are dedicated to U.S. equity research.
Each analyst is a specialist, covering approximately two different industries on average in a particular region.
The platform also comprises more than 40 fixed income and quantitative research analysts.
The MFS Value team managed more than $70 billion in large cap value assets at the end of 2018 including the
equity sleeve of the firm’s Total Return strategy. While the mutual fund remains open to new investors, MFS soft-
closed this strategy to new separate accounts in the third quarter of 2013. MFS has not pointed to an AUM level
where the mutual fund will close, however, a material acceleration of inflows from current levels would raise
questions regarding capacity.
Steve Gorham, who has been a PM on MFS Value since 2002, will be stepping off of the strategy at the end of
2020. Katherine Cannan, previously a research analyst on the strategy, was added as a PM effective December 31, 2019, giving her a full year to get up to speed with Gorham still involved. Chitkara will remain on the strategy,
and will move to being completely focused on MFS Value. He will be transitioning off of two MFS balanced
portfolios at the end of 2020. The announcement exemplifies the firm's proactive approach to succession
planning and we remain confident in the strategy.
Team Overview Points to Consider
MFS’ investment management history dates back to 1924. MFS began managing tax-exempt capital in 1970.
Headquartered in Boston, MFS has been a majority-owned subsidiary of Sun Life of Canada since 1982. The
firm maintains considerable autonomy in managing its day-to-day business. Up to 22% of MFS’ common stock is available for ownership by senior management, investment professionals and other key employees. MFS has
nine offices around the world. Total firm assets under management (AUM) are over $500 billion across a plethora
of equity, fixed income and balanced/blended strategies. The client mix is about 50/50 institutional/retail.
MFS Value’s quality bias contributes to its outperformance during periods of risk-aversion, as measured by high
yield spreads widening. The strategy performed well through the 2008 downturn, as well as during the market
sell-off from the third quarter of 2014 through the first quarter of 2016.
The strategy typically lags during lower quality rallies, led by companies with low profitability or those with highly
levered balance sheets, such as the market rebound in 2009, or the second half of 2016. Additionally, MFS
Value tends to be underweight mid and small cap stocks relative to the benchmark, which hurt relative
performance in 2010.
Firm Overview Expectations
For strategy narratives presented, all data represents AndCo's view and may differ from the manager's interpretation.
Glossary of Terms
Alpha - A measure of the difference between a portfolio’s actual returns and its expected performance,
given its level of risk as measured by beta.
Batting Average –A measure of a manager's ability to consistently beat the market. It is calculated by
dividing the number of months in which the manager beat or matched an index by the total number of
months in the period.
Best Quarter-This is the highest quarterly (3 month) return of the investment since its inception.
Beta - A measure of the sensitivity of a portfolio to the movements in the market. It is a measure of the
portfolio's systematic risk.
Down Period Percent -Number of months below 0 divided by the total number of months.
Downmarket Capture Ratio - The ratio of average portfolio performance over the designated
benchmark during periods of negative returns. A lower value indicates better product performance.
Downside Std Dev - This measures only deviations below a specified benchmark.
Excess Return- This is a measure of an investment's return in excess of a benchmark.
Information Ratio - This calculates the value-added contribution of the manager and is derived by
dividing the excess rate of return of the portfolio by the tracking error. The higher the Information Ratio,
the more the manager has added value to the portfolio.
Longest Down-Streak Return - Return for the longest series of negative monthly returns.
Longest Down-Streak # of Periods - Longest series of negative monthly returns.
Longest Up-Streak Return - Return for the longest series of positive monthly returns.
Longest Up-Streak - Longest series of positive monthly returns.
Kurtosis - Kurtosis indicates the peakedness of a distribution. For normal distribution, Kurtosis is 3.
Max Drawdown - The peak to trough decline during a specific record period of an investment or fund. It
is usually quoted as the percentage between the peak to the trough.
Max Drawndown # of Periods - This is the number of months that encompasses the max drawdown
for an investment.
R-Squared - The percentage of a portfolio's performance that can be explained by the behavior of the
appropriate benchmark. A high R-Squared means the portfolio's performance has historically moved in
the same direction as the appropriate benchmark.
Return - Compounded rate of return for the period.
Sharpe Ratio - Represents the excess rate of return over the risk free return divided by the standard
deviation of the excess return. The result is an absolute rate of return per unit of risk. A higher value
demonstrates better historical risk-adjusted performance.
Skewness - Skewness reflects the degree of asymmetry of a distribution. If the distribution has a longer
left tail, the function has negative skewness. Otherwise, it has positive skewness. A normal distribution
is symmetric with skewness 0.
Sortino Ratio - The Sortino Ratio is similar to Sharpe Ratio except it uses downside risk (Downside
Deviation) in the denominator. It was developed in early 1980's by Frank Sortino. Since upside
variability is not necessarily a bad thing, Sortino ratio is sometimes more preferable than Sharpe ratio.
Standard Deviation - A statistical measure of the range of a portfolio's performance. It represents the
variability of returns around the average return over a specified time period.
Tracking Error - This is a measure of the standard deviation of a portfolio's excess returns versus its
designated market benchmark.
Treynor Ratio -Similar to Sharpe Ratio, Treynor Ratio is a measurement of efficiency utilizing the
relationship between annualized risk-adjusted return and risk. Unlike Sharpe Ratio, Treynor Ratio
utilizes "market" risk (beta) instead of total risk (standard deviation). Good performance efficiency is
measured by a high ratio.
Up period Percent -Number of months above 0 divided by the total number of months.
Upmarket Capture Ratio - The ratio of average portfolio performance over the designated benchmark
during periods of positive returns. A higher value indicates better product performance.
Value-Growth Score -Morningstar assigns an Overall Value score and an Overall Growth score to
each stock within a fund. Morningstar then calculates a net value-core-growth score for each stock by
subtracting the stock's Overall Value score from its Overall Growth score. Once this is done, these raw
scores are rescaled to range between -100 to 400 in order to fit within the Morningstar Style Box.
Scores below 67 are classified as value, scores above 233 are classified as growth, and scores
between 67 and 233 fit within the core boundaries.
Worst Quarter - This is the lowest quarterly (3 month) return of the investment since its inception.
Important Disclosures
IMPORTANT DISCLOSURE INFORMATION
This material is confidential and not intended for distribution to the public. AndCo Consulting (“AndCo”) compiled this report for the sole use of the client for which it was prepared. AndCo uses the material contained in this
evaluation to make observations and recommendations to the client, however the strategies listed may not be suitable for all investors and there is no guarantee that the strategies listed will be successful. Any information
contained in this report is for informational purposes only and should not be construed to be an offer to buy or sell any securities for investment consulting, or investment management analysis services. Additionally, the analysis
provided, while generally comprehensive, is not intended to provide complete information on each of the management organizations or their underlying strategies. Please refer to their respective prospectus for complete terms,
including risks and expenses.
Performance data is provided for historical and informational purposes only. Where applicable, results shown represent past performance and do not represent expected future performance or experience. Past performance
does not guarantee future results. Returns are typically stated net of fees, which may include: investment advisory fees, taxes and other expenses. There may be instances where certain returns are shown gross of fees (i.e.,
before the aforementioned fees are deducted) and would be noted as such. Generally, there are two instances where returns may be shown as gross figures. In the case of separate accounts, typically returns are demonstrated
as gross of fees due to the fact that the fee structure would generally vary widely depending on the client’s size and circumstances. Additionally, there are instances where a strategy vehicle is relatively new and does not have a
sufficiently long track record to represent a viable comparison relative to other strategies. Accordingly, the returns for the separate account version of such a strategy could be used as demonstrative of the performance for a
similar vehicle; separate account returns are generally shown as gross of fees. It is important to note that any such separate accounts being used as a “proxy” are strictly for illustrative purposes. An investor should not expect
the same results from the actual strategy(ies) under consideration. When client-specific performance is shown, AndCo uses time-weighted calculations, which are founded on standards recommended by the CFA Institute. In
these cases, the performance-related data shown are based on information that is received from custodians. As a result, this provides AndCo with a reasonable basis that the investment information presented is free from
material misstatement.
RISK FACTORS
THE RISK DISCLOSURES HEREIN DO NOT PURPORT TO COVER ALL RISKS, PLEASE REFER TO THE RESPECTIVE PROSPECTUSES FOR COMPLETE INFORMATION.
As presented in this report, although investing in equities can be beneficial, it is also important to consider the associated risks. Investing in such funds may not be suitable for all investors. Equity markets can be volatile and can decline significantly in response to, or investor perceptions of, issuer, market, economic, industry, political, regulatory, geopolitical, and other conditions. These conditions can affect a single issuer or type of security, issuers
within a broad market sector, industry or geographic region, or the equity markets in general. The primary risk factors to consider include, but are not limited to: stock market risk, manager risk, investment style risk, sector-focus
risk, issuer risk and liquidity risk. The securities markets are volatile and the market prices of the funds’ securities may decline generally. Securities fluctuate in price based on changes in a company’s financial condition and
overall market and economic conditions. If the market prices of the securities owned by the fund fall, the value of your investment in the fund will decline. Depending on the specific strategy, there many additional considerations
such as the risks associated with equity investing.
SOURCING
Information is based on sources and data believed to be reliable, but AndCo cannot guarantee the accuracy, adequacy or completeness. The information provided is valid as of the date of distribution or the as-of date indicated
and not as of any future date, and will not be updated or otherwise revised to reflect information that subsequently becomes available, or circumstances existing or changes occurring after such date.
This document may contain data provided by Morningstar. All rights reserved. Use of this content requires expert knowledge. It is to be used by specialist institutions only. The information contained herein: (1) is proprietary to
Morningstar and/or its content providers; (2) may not be copied, adapted or distributed; and (3) is not warranted to be accurate, complete or timely. Neither Morningstar nor its content providers are responsible for any damages
or losses arising from any use of this information, except where such damages or losses cannot be limited or excluded by law in your jurisdiction. Past financial performance is not guarantee of future results.
This document may contain data provided by Bloomberg. Bloomberg Barclays Index Data provided by way of Barclays Live.
This document may contain data provided by Standard and Poor’s. Nothing contained within any document, advertisement or presentation from S&P Indices constitutes an offer of services in jurisdictions where S&P Indices
does not have the necessary licenses. All information provided by S&P Indices is impersonal and is not tailored to the needs of any person, entity or group of persons. Any returns or performance provided within any document is
provided for illustrative purposes only and does not demonstrate actual performance.
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to such information or the results to be obtained by the use thereof, and MSCI, its affiliates and each such other person hereby expressly disclaim all warranties (including, without limitation, all warranties of originality, accuracy,
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