HomeMy WebLinkAbout2020-09-30 Winter Springs General Employees' Retirement System (Quarterly Report)<CBDoc TenantId="2" EntityTypeId="3100" EntityId=”190" DocumentTypeId="1" EffectiveDate="09/30/2020" Interval="3" Description="Quarterly Report" />
Investment Performance Review
Period Ending September 30, 2020
Winter Springs General
Employees Plan and Trust
3rd Quarter 2020 Market EnvironmentPage 1
Source: Investment MetricsThe Market EnvironmentMajor Market Index PerformanceAs of September 30, 2020Broad asset class returns were positive in the 3rd quarter continuing theirrebound from the 2nd quarter. In general, US monetary policy remainssupportive as the Federal Reserve Bank (Fed) continues to hold interest ratesnear zero with the goal of providing the markets with liquidity. Importantly, theFed indicated that interest rates in the US would remain low for an extendedperiod as GDP growth and business activity remains subdued as the COVID-19 pandemic lingers. The Fed also commented that it was comfortableallowing inflation to exceed its 2% target in the near-term with the goal ofaveraging its target over the long-term. The final reading of US GDP growth inthe 2nd quarter showed the economy contracted by -31.4%. Whileexpectations for growth in the 3rd quarter vary widely, the general outlook isfor a strong positive reading. Within domestic equity markets, we saw areversal during the quarter with large cap stocks outperforming small capstocks with the S&P 500 returning 8.9% compared to 4.9% for the Russell2000 Index. Over the trailing 1-year period, large cap stocks significantlyoutperformed both small and mid-cap stocks with the S&P 500 returning15.1% while small and mid-cap stocks returned 0.4% and 4.6%, respectively.Similar to US markets, international markets posted strong returns for theperiod despite concerns about a potential “second wave” of the pandemicflowing through Europe. While neither the European Central Bank nor theBank of England changed their policies, global central banks remainaccommodative and prepared to provide additional support if required.International investors also benefited from a weakening USD which declinedagainst most major currencies during the period. Emerging market economiescontinued to outperform relative to developed markets during the period withChina showing signs of improvement. For the quarter, the MSCI EmergingMarket Index returned 9.6% compared to 4.8% for the MSCI EAFE Index.Following the strong quarter, both developed and emerging market indicesturned positive over the 1-year trailing period with the developed market indexreturning 0.5% and the emerging market index returning 10.5%.Fixed income returns were mixed during the 3rd quarter as interest ratesremained relatively stable. For the quarter, the BB US Aggregate Indexreturned 0.6% while the BB Corporate Investment Grade Index returned 1.5%.TIPS were an area of strength during the quarter, benefiting from higherinflation expectations. For the trailing 1-year period, fixed income returns weresolid with the BB US Aggregate Index returning 7.0%, while corporate bondsreturned 7.9%. TIPS outperformed nominal bonds by posting a respectable10.1% return over the trailing 1-year period as investors’ inflation expectationsrose.1.1%7.9%4.4%10.1%8.0%7.0%0.4%4.6%16.0%15.0%15.1%10.5%0.5%3.0%0.0% 5.0% 10.0% 15.0% 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 Performance0.0%1.5%0.1%3.0%0.2%0.6%4.9%7.5%9.5%9.2%8.9%9.6%4.8%6.3%0.0% 2.0% 4.0% 6.0% 8.0% 10.0% 12.0%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 PerformancePage 2
Source: Investment MetricsThe Market EnvironmentDomestic Equity Style Index PerformanceAs of September 30, 2020Continuing their recent trend, US equitiesposted their second straight quarterof positive returns across the style and market capitalization spectrum. Duringthe quarter, large cap stocks resumed their leadership, outpacing both mid andsmall-cap stocks as investors gravitated toward large companies for theirrelatively attractive profitability profile, lower leverage, and diversified businessmodels. The Russell 1000 Index returned 9.5% compared with 7.5% and 4.9%for the Russell MidCap and Russell 2000 indices, respectively. While small capstocks have historically performed well in periods following a recession, therelative uncertainty surrounding the path of global economic growth and theupcoming US Presidential election pushed investors toward the relative safetyof large cap stocks.Growth stocks maintained their dominance relative to value-oriented stocksacross all market capitalizations for the 3rd quarter. The Russell 1000 GrowthIndex returned 13.2% and was the best performing index across style andmarket capitalization for the period. The index benefitted from favorablerelative weightings to consumer discretionary, materials and technology-related companies, which powered large cap returns during the period. Smallcap value stocks trailed their index peers during the quarter with the Russell2000 Value Index returning 2.6%. Exposures to financial-related companiesand real estate acted as a headwind as those sectors lagged during the period.When viewed over the trailing 1-year period, the performance dispersionbetween large cap and small cap stocks across styles is glaring. While some ofthe difference in relative performance between market capitalizations can beattributed to the drawdown experienced during the 1st quarter, large capstocks have benefited from investors favoring companies with healthierfinancial profiles that can weather a protracted period of weak growth due tothe pandemic. Additionally, the sector weights within the respective indices anda tilt towards growth-oriented, higher P/E companies in large caps has actedas a tailwind for growth index performance.Results over the trailing 1-year reflect the continued strength of growthcompared to value benchmarks with each growth index earning double digitgains while each value index posted negative results for the period. The widestperformance gap was in the large cap space with the Russell 1000 GrowthIndex returning 37.5%, which outpacedthe large cap value benchmark bymore than 40% for the year. The dispersion between both mid and small capgrowth benchmarks was also substantial relative to their value counterpartswith each growth index outpacing its respective value benchmark by more than30% for the year.7.2%4.9%2.6%9.4%7.5%6.4%13.2%9.5%5.6%12.9%9.2%5.4%0.0% 5.0% 10.0% 15.0%2000 Growth2000 Index2000 ValueMidCap GrowthMidCap IndexMidCap Value1000 Growth1000 Index1000 Value3000 Growth3000 Index3000 ValueQuarter Performance - Russell Style Series15.7%0.4%-14.9%23.2%4.6%-7.3%37.5%16.0%-5.0%36.1%15.0%-5.7%-20.0% -10.0% 0.0% 10.0% 20.0% 30.0% 40.0%2000 Growth2000 Index2000 ValueMidCap GrowthMidCap IndexMidCap Value1000 Growth1000 Index1000 Value3000 Growth3000 Index3000 Value1-Year Performance - Russell Style SeriesPage 3
Ten of eleven economic sectors within the large cap Russell 1000 Index werepositive for the 3rd quarter with only the energy sector posting a negativereturn. Five sectors outpaced the return of the broad index during the period.Growth-oriented sectors such as consumer discretionary, materials andtechnology were some of the best performers for the quarter returning 19.0%,12.4%, and 12.1%, respectively. The energy sector continues to lag due toreduced consumption and the threat of bankruptcies resulting from stubbornlylow oil prices. While the sectors were positive, financials and real estate werelaggards relative to the broad index results, posting returns of 4.0% and 1.5%respectively. With the Fed indicating that interest rates will remain lower forlonger, both sectors faced headwinds due to their sensitivity to US interestrates.Over the trailing 1-year period, technology-related and consumer discretionarystocks were the best performers returning 47.8% and 37.4% respectively. Forthe full-year, five sectors exceeded the return of the broad benchmark:technology, consumer discretionary, health care, communication services, andmaterials. In contrast, traditional value sectors such as energy, financials, realestate and utilities posted returnsof -45.0%, -13.1%, -11.1%, and -6.1%,respectively, for the trailing 1-year period. This sector performance shows astaggering dispersion of more than 90%from best to worst performing sectorin the large cap benchmark.Five of eleven small cap sectors posted returns greater than the Russell 2000Index for the 3rd quarter. Similar to large cap stocks, sectors sensitive to theconsumer and improving economic conditions were the primary drivers ofreturn during the quarter. That said, only the consumer discretionary sectoroutpaced its large cap counterpart during the period, returning 19.2%compared to 19.0%.As previously noted, small cap stocks have significantly trailed large caps overthe previous 1-year period. Specifically, energy-related companies have facedsignificant headwinds due primarily to low oil prices while interest ratesensitive sectors such as financials and real estate have failed to producegains as a result of historically low US interest rates. The lone bright spot hasbeen health care stocks which outperformed their large cap equivalents bymore than 14% over the period (37.5% versus 22.9%).The Market EnvironmentGICS Sector Performance & (Sector Weight)As of September 30, 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. -6.1%-11.1%10.1%47.8%1.3%22.9%-13.1%-45.0%7.6%37.4%19.3%5.8%1.5%12.4%12.1%12.0%6.3%4.0%-19.3%10.3%19.0%9.3%-50.0% -30.0% -10.0% 10.0% 30.0% 50.0%Utilities (2.9%)Real Estate (3.3%)Materials (2.6%)Info Technology (27.7%)Industrials (8.3%)Health Care (14.3%)Financials (9.9%)Energy (2.4%)Consumer Staples (6.4%)Consumer Disc (11.8%)Comm Services (10.4%)Russell 1000Quarter1-Year-20.6%-20.5%-7.1%11.7%1.0%37.5%-23.9%-50.9%9.0%13.3%-15.6%-3.9%0.0%6.4%2.4%10.8%5.0%-2.7%-6.1%8.4%19.2%-1.3%-60.0% -40.0% -20.0% 0.0% 20.0% 40.0%Utilities (3.4%)Real Estate (6.9%)Materials (4.1%)Info Technology (14.0%)Industrials (14.9%)Health Care (20.2%)Financials (15.8%)Energy (2.2%)Consumer Staples (3.4%)Consumer Disc (12.6%)Comm Services (2.6%)Russell 2000Quarter1-YearPage 4
The Market EnvironmentTop 10 Index Weights & Quarterly Performance for the Russell 1000 & 2000As of September 30, 2020Source: Morningstar DirectTop 10 Weighted StocksTop 10 Weighted StocksRussell 1000 Weight1-Qtr Return1-Year ReturnSector Russell 2000 Weight1-Qtr Return1-Year ReturnSectorApple Inc 6.04% 27.2% 108.9% Information Technology Penn National Gaming Inc 0.59% 138.0% 290.3% Consumer DiscretionaryMicrosoft Corp 5.02% 3.6% 53.0% Information Technology Sunrun Inc 0.49%290.8% 361.4% IndustrialsAmazon.com Inc 4.25% 14.1%81.4% Consumer Discretionary Caesars Entertainment Inc 0.41% 39.9% 40.6% Consumer DiscretionaryFacebook Inc A 2.00% 15.3% 47.1% Communication Services MyoKardia Inc 0.37% 41.1% 161.4% Health CareAlphabet Inc A 1.40% 3.4% 20.0% Communication Services Novavax Inc 0.35% 30.0% 2058.4% Health CareAlphabet Inc Class C 1.39% 4.0% 20.6% Communication Services iRhythm Technologies Inc 0.35% 105.5% 221.3% Health CareBerkshire Hathaway Inc Class B 1.32% 19.3% 2.4%Financials LHC Group Inc 0.34% 21.9% 87.2% Health CareJohnson & Johnson 1.25%6.6% 18.2% Health Care Mirati Therapeutics Inc 0.33% 45.4% 113.1% Health CareProcter & Gamble Co 1.08% 17.0% 14.6% Consumer Staples Churchill Downs Inc 0.33% 23.0% 33.3% Consumer DiscretionaryVisa Inc Class A 1.08% 3.7% 17.0% Information Technology Momenta Pharmaceuticals Inc 0.33% 57.7% 304.9% Health CareTop 10 Performing Stocks (by Quarter)Top 10 Performing Stocks (by Quarter)Russell 1000 Weight1-Qtr Return1-Year ReturnSector Russell 2000 Weight1-Qtr Return1-Year ReturnSectorImmunomedics Inc 0.06% 139.9% 541.3% Health Care Whiting Petroleum Corp 0.00% 1430.1% 115.3% EnergyL Brands Inc 0.02% 112.5% 67.3% Consumer Discretionary Seres Therapeutics Inc 0.08% 494.7% 606.0% Health CareTesla Inc 1.01% 98.7% 790.5% Consumer Discretionary Vivint Solar Inc 0.11% 327.8% 547.6% IndustrialsNovoCure Ltd 0.04% 87.7% 48.8% Health Care Tupperware Brands Corp 0.05% 324.4% 27.0%Consumer DiscretionaryPinterest Inc 0.05% 87.2% 56.9% Communication Services Eastman Kodak Co 0.01% 295.5% 234.1% Information TechnologyLivongo Health Inc 0.02% 86.3% 703.0% Health Care Sunrun Inc 0.49% 290.8% 361.4% IndustrialsCarvana Co Class A 0.04% 85.6% 238.0% Consumer Discretionary Cassava Sciences Inc 0.01% 273.7% 859.2% Health CareZoom Video Communications Inc 0.25% 85.4% 516.9% Information Technology Owens & Minor Inc 0.08% 229.6% 332.8% Health CareFedEx Corp 0.19% 79.9% 75.8% Industrials Gogo Inc 0.03% 192.4%53.2% Communication ServicesZillow Group Inc A 0.02% 76.7% 243.7% Communication Services Pacific Biosciences of California Inc 0.09% 186.1% 91.3% 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 ReturnSectorOccidental Petroleum Corp 0.03% -45.2% -75.5% Energy Satsuma Pharmaceuticals Inc Ord. Shr. 0.00% -86.5% -74.1% Health CareCoty Inc Class A 0.00% -39.6% -73.8%Consumer Staples Akebia Therapeutics Inc 0.02% -81.5% -36.0% Health CareBiomarin Pharmaceutical Inc 0.04% -38.3% 12.9% Health Care Corbus Pharmaceuticals Holdings Inc 0.01% -78.5% -63.0% Health CareReata Pharmaceuticals Inc A 0.01% -37.6% 21.3% Health Care Odonate Therapeutics Inc 0.01% -68.3% -48.4% Health CareMurphy Oil Corp 0.00% -34.8% -58.0% Energy Tricida Inc 0.01% -67.0% -70.7% Health CareAgios Pharmaceuticals Inc 0.01% -34.6% 8.0% Health Care Abeona Therapeutics Inc 0.00% -65.0% -54.9% Health CareMarathon Oil Corp 0.01% -33.2% -66.4% Energy Mallinckrodt PLC 0.00% -63.7% -59.6% Health CareKirby Corp 0.01% -32.5% -56.0% Industrials Nemaura Medical Inc 0.00% -61.6% -51.4% Health CareHollyFrontier Corp 0.01% -31.6% -61.8% Energy Express, Inc. 0.00% -60.4% -82.3% Consumer DiscretionaryAlteryx Inc Class A 0.02% -30.9% 5.7% Information Technology Unity Biotechnology Inc 0.01% -60.1% -43.3% Health CarePage 5
Source: MSCI Global Index Monitor (Returns are Net)Nearly all broad international equity indices posted positive returns in bothUSD and local currency terms for the 3rd quarter. Similar to US markets,international markets continued tobenefit from sustained monetary and fiscalstimulus in addition to economic recovery following the onset of the pandemic.Importantly, US investors benefitedfrom the foreign exchange element ofinvesting internationally as the USD declined relative to most developedmarket currencies during the quarter.For the 3rd quarter, emerging markets outperformed developed markets bynearly 5%. The MSCI Emerging Markets Index gained 9.6% in USD and 8.7%in local currency terms for the period. Emerging markets were led higher byChina (12.5% for the quarter) which showed signs of accelerating economicgrowth during the quarter and represents more than 10% of 26 countryemerging market benchmark. Developed international markets also deliveredsolid returns during the period with the MSCI EAFE Index rising by 4.8% inUSD and 1.2% in local currency returns.Trailing 1-year returns for international developed markets were mixed both interms of USD and local currency returns. In contrast, emerging market returnswere broadly positive during the period despite both EMEA and Latin Americaposting negative returns in both USD and local currency terms. For the year,the MSCI EAFE Index returned 0.5% in USD and -4.7% in local currencyreturns while the MSCI Emerging Markets Index returned 10.5% and 12.5%,respectively.During the trailing 1-year period, the USD weakened against most majorinternational developed and emerging market currencies which positivelycontributed to returns in USD terms. Despite this, emerging markets in LatinAmerica were adversely affected as a result of the decisions by Argentina andEcuador to restructure their sovereign debt which resulted in local currencyweakness and declining asset values.The Market EnvironmentInternational and Regional Market Index Performance (Country Count)As September 30, 2020-0.9%10.6%2.5%8.7%2.9%0.3%1.2%1.5%3.5%-1.3%11.9%1.8%9.6%5.4%4.5%4.8%4.9%6.3%-5.0% 0.0% 5.0% 10.0% 15.0%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 Currency-11.6%19.7%-5.4%12.5%-0.2%-7.2%-4.7%-4.5%0.0%-29.4%21.5%-12.1%10.5%2.6%-0.8%0.5%0.2%3.0%-30.0% -20.0% -10.0% 0.0% 10.0% 20.0%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 CurrencyPage 6
The Market EnvironmentUS Dollar International Index Attribution & Country DetailAs of September 30, 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% 4.1% 1.4%Consumer Discretionary 11.9% 9.7% 3.4%Consumer Staples 11.9% 4.5% 0.7%Energy 2.8% -13.4% -42.7%Financials 15.1% -1.3% -16.9%Health Care 14.4% 2.9% 20.4%Industrials 15.2% 10.3% 5.3%Information Technology 8.6% 8.1% 23.7%Materials 7.6% 10.8% 10.9%Real Estate 3.1% 2.9% -15.5%Utilities 4.0% 3.0% 5.9%Total 100.0% 4.8% 0.5%MSCI - ACWIxUS Sector Weight Quarter Return 1-Year ReturnCommunication Services 7.5% 3.3% 11.8%Consumer Discretionary 13.8% 16.5% 18.1%Consumer Staples 9.7% 4.6% 0.2%Energy 4.2% -7.6% -33.5%Financials 16.9% -0.2% -17.2%Health Care 10.5% 2.6% 22.2%Industrials 11.7% 9.9% 4.5%Information Technology 11.7% 13.4% 34.6%Materials 7.9% 11.1% 12.0%Real Estate 2.7% 2.3% -14.1%Utilities 3.4% 2.0% 0.2%Total 100.0% 6.3% 3.0%MSCI - Emerging Mkt Sector Weight Quarter Return 1-Year ReturnCommunication Services 12.7% 2.5% 25.4%Consumer Discretionary 20.2% 26.8% 48.4%Consumer Staples 6.1% 4.3% -2.7%Energy 5.4% -0.5% -19.2%Financials 17.2% -0.5% -19.0%Health Care 4.3% 1.9% 47.0%Industrials 4.4% 2.9% -6.7%Information Technology 18.5% 20.5% 41.9%Materials 6.9% 11.6% 8.0%Real Estate 2.4% 0.9% -7.8%Utilities 2.0% -4.4% -18.4%Total 100.0% 9.6% 10.5%MSCI-EAFE MSCI-ACWIxUS Quarter 1- YearCountry Weight Weight Return ReturnJapan 25.8% 16.5% 6.9% 6.9%United Kingdom 13.3% 8.5% -0.2% -15.8%France 10.7% 6.8% 2.8% -6.2%Switzerland 10.4% 6.6% 5.1% 11.0%Germany 9.6% 6.2% 8.3% 10.0%Australia 6.6% 4.2% 2.8% -7.7%Netherlands 4.4% 2.8% 5.9% 12.6%Sweden 3.3% 2.1% 14.6% 22.4%Hong Kong 3.3% 2.1% 1.6% -1.6%Denmark 2.5% 1.6% 15.3% 42.5%Spain 2.3% 1.4% -3.8% -21.0%Italy 2.2% 1.4% 1.3% -10.1%Finland 1.1% 0.7% 11.9% 12.7%Singapore 1.0% 0.7% -1.0% -16.4%Belgium 1.0% 0.6% 2.0% -23.2%Ireland 0.7% 0.5% 14.5% 20.7%Israel 0.6% 0.4% -2.0% 3.5%Norway 0.6% 0.4% 8.2% -13.8%New Zealand 0.3% 0.2% -1.0% 24.4%Portugal 0.2% 0.1% -3.4% 2.3%Austria 0.2% 0.1% -4.8% -29.1%Total EAFE Countries 100.0% 63.8% 4.8% 0.5%Canada6.5% 6.2% -3.0%Total Developed Countries 70.3% 4.9% 0.2%China12.5% 12.5% 33.6%Taiwan3.8% 16.5% 35.0%Korea3.6% 12.8% 18.6%India2.5% 15.0% 0.5%Brazil1.4% -3.3% -32.5%South Africa 1.1% 3.7% -11.1%Russia0.9% -4.7% -16.0%Saudi Arabia 0.8% 9.3% -2.9%Thailand0.5% -14.1% -30.2%Malaysia0.5% 2.6% -2.9%Mexico0.5% 4.6% -20.5%Indonesia 0.4% -6.9% -25.4%Qatar0.2% 7.5% -2.6%Philippines 0.2% -2.7% -18.7%Poland0.2% -0.9% -20.9%United Arab Emirates 0.2% 6.2% -11.8%Chile0.2% -4.2% -33.0%Turkey0.1% -15.7% -30.0%Peru0.1% 3.5% -22.2%Hungary0.1% -8.9% -22.5%Colombia 0.1% -1.3% -37.6%Argentina 0.0% 6.7% 7.3%Greece0.0% 3.3% -29.3%Czech Republic 0.0% -6.2% -22.1%Egypt0.0% 4.6% -13.8%Pakistan0.0% 12.4% -2.6%Total Emerging Countries 29.7% 9.6% 10.5%Total ACWIxUS Countries 100.0% 6.3% 3.0%Page 7
Source: BloombergThe Market EnvironmentDomestic Bond Sector & Broad/Global Bond Market Performance (Duration)As of September 30, 2020During the 3rd quarter, each fixed income benchmark posted positive resultsand returns were led by lower quality high yield bonds, international bondsand TIPS. During the period, US interest rates were roughly unchanged asinvestors vacillated between concerns related to the pandemic and apositive outlook on future economic growth. Despite declining during themonth of September, US high yield bonds delivered strong returns for thequarter with the Bloomberg Barclays (BB) US High Yield Index returning4.6%. High quality global bonds outperformed US bonds during the periodlargely due to a declining USD.During the quarter, the broad Bloomberg Barclays (BB) US Aggregate Indexreturned 0.6%. The primary contributorof performance to the index duringthe period were US Corporate IG bonds which delivered 1.5%. Despite near-record issuance, investors continue to gravitate towards corporate credit forits higher return potential as US interest rates look to remain low for sometime. US TIPS also performed well during the quarter with the BB US TIPSIndex returning 3.0% as investors remained concerned about the potentialfor rising US inflation as a result of the fiscal and monetary stimulus providedto combat the pandemic.Over the trailing 1-year period, each of the domestic and international fixedincome indices delivered positive absolute returns. Longer duration, higherquality investment grade bonds outperformed lower quality, shorter durationhigh yield bonds as global interest rates fell while investors looked for lessvolatile assets. US TIPS were the best performing bonds with the BB USTIPS Index returning 10.1% followed by US Treasury bonds which returned8.0%. High Yield bonds performed worst, returning 3.3% during the periodas they continued to recover from the spread-widening drawdown during the1st quarter.For the full year, both domestic and global bonds performed well. The USBB Aggregate Bond Index returned 7.0% compared to 5.5% for the BBGlobal Aggregate ex-US Index. Despite lower interest rates in both Europeand Japan, global bonds delivered solid returns primarily due to a decline inthe USD compared to most major developed currencies.2.7%4.1%0.5%0.6%3.0%1.5%0.1%0.2%4.6%2.1%1.2%0.9%0.2%0.0% 1.0% 2.0% 3.0% 4.0% 5.0%Multiverse (7.2)Global Agg x US (8.3)Intermediate Agg (3.5)Aggregate (6.1)U.S. TIPS (5.2)U.S. Corporate IG (8.7)U.S. Mortgage (2.1)U.S. Treasury (7.2)U.S. High Yield (3.7)Baa (8.6)A (8.5)AA (8.4)AAA (5.1)Quarter Performance 6.0%5.5%5.7%7.0%10.1%7.9%4.4%8.0%3.3%7.0%8.4%6.9%6.6%0.0% 2.0% 4.0% 6.0% 8.0% 10.0% 12.0%Multiverse (7.2)Global Agg x US (8.3)Intermediate Agg (3.5)Aggregate (6.1)U.S. TIPS (5.2)U.S. Corporate IG (8.7)U.S. Mortgage (2.1)U.S. Treasury (7.2)U.S. High Yield (3.7)Baa (8.6)A (8.5)AA (8.4)AAA (5.1)1-Year PerformancePage 8
Source: US Department of Treasury, FRED (Federal Reserve of St. Louis)The Market EnvironmentMarket Rate & Yield Curve ComparisonAs of September 30, 2020Much of the index performance detailed in the bar graphs on the previouspage is visible on a time series basis by reviewing the yield graph to theright. The ‘1-Year Trailing Market Rates’ chart illustrates that over the lastyear, the 10-year Treasury yield (green line) fell from yields of greater than1.5%, to a low of roughly 0.5% before ending the quarter at roughly 0.7%. Adecline in yields acts as a tailwind for bond performance. The blue lineillustrates changes in the BAA OAS (Option Adjusted Spread). This measurequantifies the additional yield premium that investors require to purchaseand hold non-Treasury investment grade issues. This line illustrates thedramatic increase in credit spreads in early 2020 as investors requiredadditional compensation to hold riskier credit assets following the onset ofthe pandemic. Since that time, spreads have steadily declined as marketshave largely normalized following the aggressive actions taken by theTreasury and Fed. During the quarter, the BB US High Yield OAS spread fellby roughly 1.1% but is still widen than pre-pandemic levels. Similar toTreasury yield declines, spread tightening in corporate bonds is equivalent toan interest rate decrease, which causes bond prices to rise. The green bandacross the graph illustrates the Fed Funds Rate. Following the onset of thepandemic, the Fed began aggressively cutting interest rates during the 1stquarter to between 0.0% to 0.25%, where it has remained since then.The lower graph provides a snapshot of the US Treasury yield curve at theend of each of the last four calendar quarters. US interest rates were broadlyhigher at the end of 2019. Following the onset of the pandemic, interestrates fell dramatically as the Fed took unprecedented action to stimulate theeconomy. While short-term interest rates have remained anchored near0.0%, intermediate-term interest rates between 2-years and 7-years declinedas concerns over future US economic growth increased. Additionally, theFed has indicated that US interest rates will remain low for the foreseeablefuture in an effort to provide the market with liquidity. Longer-term USTreasury interest rates moved slightlyhigher during the most recent quarteras investors balanced the Fed’s statements with the need to increase theamount of US Treasury bond issuance to fund both the annual budget deficitand additional stimulus.0.000.501.001.502.002.503.001 mo 3 mo 6 mo 1 yr 2 yr 3 yr 5 yr 7 yr 10 yr 20 yr 30 yrTreasury Yield Curve12/31/20193/31/20206/30/20209/30/2020-1.50-0.500.501.502.503.504.505.506.50Sep-19 Oct-19 Nov-19 Dec-19 Jan-20 Feb-20 Mar-20 Apr-20 May-20 Jun-20 Jul-20 Aug-20 Sep-201-Year Trailing Market RatesFed Funds RateTED Spread3-Month LiborBAA OAS10yr Treasury10yr TIPSPage 9
Executive Summary
Policy Target In Policy Outside Policy
0.0%10.0%20.0%30.0%40.0%50.0%60.0%70.0%-10.0 %
Receipt & Disbursement
$515,203.9 (0.9%)
Direct Real Estate
$5,588,363.7 (9.7%)
Non-Core Fixed Income$7,591,968.2 (13.1%)
Broad Mkt Fixed Income
$5,429,323.1 (9.4%)
Foreign Equity Securities
$7,640,240.0 (13.2%)
Domestic Equity Securities
$31,063,563.0 (53.7%)
Asset Allocation Compliance
Asset
Allocation
$
Current
Allocation (%)
Minimum
Allocation (%)
Maximum
Allocation (%)
Target
Allocation (%)
Total Fund Portfolio 57,828,662 100.0 N/A N/A 100.0
Domestic Equity Securities 31,063,563 53.7 45.0 55.0 50.0
Foreign Equity Securities 7,640,240 13.2 10.0 20.0 15.0
Broad Mkt Fixed Income 5,429,323 9.4 10.0 30.0 15.0
Non-Core Fixed Income 7,591,968 13.1 0.0 20.0 10.0
Direct Real Estate 5,588,364 9.7 0.0 15.0 10.0
Receipt & Disbursement 515,204 0.9 0.0 5.0 0.0
Asset Allocation Compliance
Total Fund Portfolio
As of September 30, 2020
Page 10
Asset Allocation By Segment as of
June 30, 2020 : $54,625,687
Asset Allocation By Segment as of
September 30, 2020 : $57,828,662
Allocation
Segments Market Value Allocation
Domestic Equity 29,374,470 53.8¢
Foreign Equity 7,388,660 13.5¢
Broad Mkt Fixed Income 6,712,148 12.3¢
Non-Core Fixed Income 5,122,969 9.4¢
Real Estate 5,569,183 10.2¢
Cash Equivalent 458,257 0.8¢
Allocation
Segments Market Value Allocation
Domestic Equity 31,063,563 53.7¢
Foreign Equity 7,640,240 13.2¢
Broad Mkt Fixed Income 5,429,323 9.4¢
Non-Core Fixed Income 7,591,968 13.1¢
Real Estate 5,482,914 9.5¢
Cash Equivalent 620,654 1.1¢
Asset Allocation Summary
Total Fund
As of September 30, 2020
NONE
Page 11
Asset Allocation By Manager as ofJune 30, 2020 : $54,625,687 Asset Allocation By Manager as ofSeptember 30, 2020 : $57,828,662
Allocation
Market Value Allocation
Vanguard Total Stock Market (VITSX)29,374,470 53.8¢
RBC Global (Voyageur)7,388,660 13.5¢
Galliard Core Fixed Income 5,374,168 9.8¢
Intercontinental 3,635,615 6.7¢
American Core Realty Fund 2,034,371 3.7¢
PIMCO Diversified Income Fund Instl (PDIIX)1,830,780 3.4¢
Crescent Direct Lending II Fund 1,702,265 3.1¢
Galliard TIPS 1,348,971 2.5¢
Crescent Direct Lending Fund 1,120,876 2.1¢
Vanguard Inflation-Protected Secs (VAIPX)450,437 0.8¢
Receipt & Disbursement 346,463 0.6¢
Vanguard Short Term Bond Index (VSCSX)18,611 0.0¢
Brandywine GLBL Dynamic (LMBGX)-0.0¢
Vanguard Value Index Fund (VIVIX)-0.0¢
Allocation
Market Value Allocation
Vanguard Total Stock Market (VITSX)16,427,142 28.4¢
RBC Global (Voyageur)7,640,240 13.2¢
Vanguard Value Index Fund (VIVIX)7,333,455 12.7¢
Brandywine GLBL Dynamic (LMBGX)7,302,966 12.6¢
Galliard Core Fixed Income 5,429,323 9.4¢
Intercontinental 3,662,764 6.3¢
Vanguard Inflation-Protected Secs (VAIPX)2,870,558 5.0¢
American Core Realty Fund 1,925,600 3.3¢
PIMCO Diversified Income Fund Instl (PDIIX)1,879,490 3.3¢
Crescent Direct Lending II Fund 1,702,265 2.9¢
Crescent Direct Lending Fund 1,120,876 1.9¢
Receipt & Disbursement 515,204 0.9¢
Vanguard Short Term Bond Index (VSCSX)18,779 0.0¢
Galliard TIPS -0.0¢
Asset Allocation Summary
Total Fund
As of September 30, 2020
NONE
Page 12
Historical Asset Allocation by Segment
Domestic Equity Foreign Equity Broad Mkt Fixed Income Global Fixed Income
Non-Core 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 6/08 3/09 12/09 9/10 6/11 3/12 12/12 9/13 6/14 3/15 12/15 9/16 6/17 3/18 12/18 9/19 9/20
Historical Asset Allocation by Segment
Total Fund
October 1, 2007 To September 30, 2020
Page 13
-12.0
-4.0
4.0
12.0
20.0
28.0
36.0
44.0
52.0
60.0
68.0
76.0
Allocation (%)US Equity Intl. Equity US Fixed Income Intl. Fixed Income Alternative Inv.Real Estate Cash
Total Fund Portfolio 53.72 (15)13.21 (67)14.39 (94)3.25 (59)4.88 (73)9.66 (25)0.89 (61)
5th Percentile 61.07 26.25 57.91 9.40 40.35 13.48 7.39
1st Quartile 50.14 18.99 33.13 4.71 20.31 9.65 2.41
Median 41.43 15.02 26.74 3.63 10.26 8.20 1.20
3rd Quartile 31.04 11.74 20.24 2.22 4.79 5.45 0.59
95th Percentile 14.33 6.50 13.31 0.08 1.27 2.85 0.06
Plan Sponsor TF Asset Allocation
Total Fund Portfolio Vs. All Public Plans-Total Fund
As of September 30, 2020
Page 14
Historical Asset Allocation by Portfolio
Sep-2020 Jun-2020 Mar-2020 Dec-2019 Sep-2019
($)%($)%($)%($)%($)%
Total Equity 38,703,803 66.93 36,763,130 67.30 30,292,142 62.83 39,684,200 68.60 36,308,421 67.09
Domestic Equity Securities 31,063,563 53.72 29,374,470 53.77 24,058,669 49.90 30,401,569 52.56 27,889,255 51.53
Vanguard Total Stock Market (VITSX)16,427,142 28.41 29,374,470 53.77 24,058,669 49.90 30,401,569 52.56 27,889,255 51.53
Brandywine GLBL Dynamic (LMBGX)7,302,966 12.63 -0.00 -0.00 -0.00 -0.00
Vanguard Value Index Fund (VIVIX)7,333,455 12.68 -0.00 -0.00 -0.00 -0.00
Foreign Equity Securities 7,640,240 13.21 7,388,660 13.53 6,233,473 12.93 9,282,631 16.05 8,419,165 15.56
RBC Global (Voyageur)7,640,240 13.21 7,388,660 13.53 6,233,473 12.93 9,282,631 16.05 8,419,165 15.56
Total Fixed Income 13,021,291 22.52 11,846,108 21.69 11,759,354 24.39 11,899,287 20.57 11,671,112 21.56
Galliard Core Fixed Income 5,429,323 9.39 5,374,168 9.84 5,167,678 10.72 5,112,961 8.84 5,095,727 9.42
Galliard TIPS -0.00 1,348,971 2.47 1,301,057 2.70 1,295,284 2.24 1,282,666 2.37
Vanguard Short Term Bond Index (VSCSX)18,779 0.03 18,611 0.03 17,620 0.04 18,096 0.03 17,900 0.03
Vanguard Inflation-Protected Secs (VAIPX)2,870,558 4.96 450,437 0.82 1,083,977 2.25 1,065,451 1.84 1,059,563 1.96
PIMCO Diversified Income Fund Instl (PDIIX)1,879,490 3.25 1,830,780 3.35 1,712,768 3.55 1,876,496 3.24 1,875,993 3.47
Crescent Direct Lending Fund 1,120,876 1.94 1,120,876 2.05 996,256 2.07 1,092,687 1.89 1,191,186 2.20
Crescent Direct Lending II Fund 1,702,265 2.94 1,702,265 3.12 1,479,998 3.07 1,438,312 2.49 1,148,078 2.12
Direct Real Estate 5,588,364 9.66 5,669,986 10.38 5,721,960 11.87 5,716,746 9.88 5,621,339 10.39
American Core Realty Fund 1,925,600 3.33 2,034,371 3.72 2,080,218 4.31 2,079,340 3.59 2,080,151 3.84
Intercontinental 3,662,764 6.33 3,635,615 6.66 3,641,742 7.55 3,637,406 6.29 3,541,188 6.54
Receipt & Disbursement 515,204 0.89 346,463 0.63 442,462 0.92 544,342 0.94 519,926 0.96
Total Fund Portfolio 57,828,662 100.00 54,625,687 100.00 48,215,918 100.00 57,844,574 100.00 54,120,798 100.00
Asset Allocation
Asset Allocation History By Portfolio
As of September 30, 2020
Page 15
Historical Asset Allocation by Portfolio
Domestic Equity Foreign Equity Broad Mkt Fixed
Income
Non-Core Fixed
Income Real Estate Cash Equivalent Total Fund
($)%($)%($)%($)%($)%($)%($)%
Total Equity 31,063,563 80.26 7,640,240 19.74 --------38,703,803 66.93
Domestic Equity Securities 31,063,563 100.00 ----------31,063,563 53.72
Vanguard Total Stock Market (VITSX)16,427,142 100.00 ----------16,427,142 28.41
Brandywine GLBL Dynamic (LMBGX)7,302,966 100.00 ----------7,302,966 12.63
Vanguard Value Index Fund (VIVIX)7,333,455 100.00 ----------7,333,455 12.68
Foreign Equity Securities --7,640,240 100.00 --------7,640,240 13.21
RBC Global (Voyageur)--7,640,240 100.00 --------7,640,240 13.21
Total Fixed Income ----5,429,323 41.70 7,591,968 58.30 ----13,021,291 22.52
Galliard Core Fixed Income ----5,429,323 100.00 ------5,429,323 9.39
Vanguard Short Term Bond Index (VSCSX)------18,779 100.00 ----18,779 0.03
Vanguard Inflation-Protected Secs (VAIPX)------2,870,558 100.00 ----2,870,558 4.96
PIMCO Diversified Income Fund Instl (PDIIX)------1,879,490 100.00 ----1,879,490 3.25
Crescent Direct Lending Fund ------1,120,876 100.00 ----1,120,876 1.94
Crescent Direct Lending II Fund ------1,702,265 100.00 ----1,702,265 2.94
Direct Real Estate --------5,482,914 98.11 105,450 1.89 5,588,364 9.66
American Core Realty Fund --------1,820,150 94.52 105,450 5.48 1,925,600 3.33
Intercontinental --------3,662,764 100.00 --3,662,764 6.33
Receipt & Disbursement ----------515,204 100.00 515,204 0.89
Total Fund Portfolio 31,063,563 53.72 7,640,240 13.21 5,429,323 9.39 7,591,968 13.13 5,482,914 9.48 620,654 1.07 57,828,662 100.00
Asset Allocation
Asset Allocation History By Portfolio
As of September 30, 2020
Page 16
Schedule of Investable Assets
Total Fund Portfolio Total Fund Policy Net Cash Flow
$0.0
$6,100,000.0
$12,200,000.0
$18,300,000.0
$24,400,000.0
$30,500,000.0
$36,600,000.0
$42,700,000.0
$48,800,000.0
$54,900,000.0
$61,000,000.0
$67,100,000.0
$73,200,000.0
($6,100,000.0)Market Value7/07 4/08 1/09 10/09 7/10 4/11 1/12 10/12 7/13 4/14 1/15 10/15 7/16 4/17 1/18 10/18 7/19 4/20 9/20
$23,07 3,28 0.9
$57,828,661.9$58,389,950.6
Schedule of Investable Assets
Periods Ending
Beginning
Market Value
$
Net
Cash Flow
$
Gain/Loss
$
Ending
Market Value
$
Aug-2007 To Sep-2020 16,259,673 6,813,608 34,755,381 57,828,662
Schedule of Investable Assets
Total Fund Portfolio
August 1, 2007 To September 30, 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)5.90 (19)7.92 (44)7.92 (44)7.27 (23)9.39 (9)8.39 (6)9.11 (7)6.17 (33)11/01/2000
Total Fund Policy 5.72 (24)10.06 (16)10.06 (16)8.04 (9)9.54 (7)8.48 (5)9.53 (3)6.00 (46)
Difference 0.18 -2.14 -2.14 -0.77 -0.15 -0.09 -0.42 0.17
All Public Plans-Total Fund Median 5.06 7.49 7.49 6.30 8.07 6.93 7.69 5.95
Total Fund (Gross)5.93 8.16 8.16 7.59 9.73 8.73 9.56 6.75 11/01/2000
Total Fund Policy 5.72 10.06 10.06 8.04 9.54 8.48 9.53 6.00
Difference 0.21 -1.90 -1.90 -0.45 0.19 0.25 0.03 0.75
Total Equity 8.28 9.65 9.65 8.34 11.66 10.20 11.41 7.05 01/01/2001
Total Equity Policy 8.24 11.69 11.69 9.20 11.88 10.12 11.56 6.11
Difference 0.04 -2.04 -2.04 -0.86 -0.22 0.08 -0.15 0.94
Domestic Equity Securities 9.52 (23)15.35 (35)15.35 (35)11.85 (38)13.85 (37)12.18 (50)12.90 (71)7.54 (38)11/01/2000
Domestic Equity Securities Policy 9.21 (29)15.00 (38)15.00 (38)11.65 (41)13.69 (41)12.11 (54)13.48 (54)6.39 (92)
Difference 0.31 0.35 0.35 0.20 0.16 0.07 -0.58 1.15
IM U.S. Large Cap Core Equity (SA+CF) Median 8.06 12.87 12.87 10.68 13.14 12.16 13.55 7.29
Foreign Equity Securities 3.42 (66)-9.19 (89)-9.19 (89)-2.83 (61)4.51 (49)3.96 (34)6.66 (22)5.32 (62)11/01/2000
Foreign Equity Securities Policy 4.98 (42)1.03 (36)1.03 (36)1.14 (33)5.79 (36)3.51 (41)5.12 (46)4.19 (95)
Difference -1.56 -10.22 -10.22 -3.97 -1.28 0.45 1.54 1.13
IM International Large Cap Value Equity (SA+CF) Median 4.40 -3.89 -3.89 -1.87 4.41 2.42 4.83 5.93
Total Fixed Income 1.31 5.44 5.44 5.48 4.99 4.22 3.98 5.09 11/01/2000
Total Fixed Policy 0.53 5.71 5.71 4.22 3.28 3.16 2.98 4.63
Difference 0.78 -0.27 -0.27 1.26 1.71 1.06 1.00 0.46
Broad Mkt Fixed Income 1.68 (13)7.53 (52)7.53 (52)4.98 (97)3.94 (98)3.51 (100)3.37 (100)4.78 (99)11/01/2000
Broad Mkt Fixed Income Policy 0.48 (97)5.66 (97)5.66 (97)4.20 (99)3.27 (100)3.15 (100)2.98 (100)4.62 (100)
Difference 1.20 1.87 1.87 0.78 0.67 0.36 0.39 0.16
IM U.S. Broad Market Core Fixed Income (SA+CF) Median 1.11 7.55 7.55 5.67 4.73 4.44 4.17 5.42
Non-Core Fixed Income -0.43 0.92 0.92 8.49 10.45 N/A N/A 10.15 10/01/2014
Non-Core Fixed Policy 3.04 4.45 4.45 4.67 4.68 N/A N/A 4.11
Difference -3.47 -3.53 -3.53 3.82 5.77 N/A N/A 6.04
Direct Real Estate 0.54 (51)3.40 (18)3.40 (18)7.10 (15)8.53 (26)10.03 (32)11.50 (41)6.10 (21)10/01/2007
NCREIF Fund Index-OEDC (EW)0.57 (50)1.73 (50)1.73 (50)5.53 (54)6.99 (56)8.82 (58)10.37 (58)5.00 (72)
Difference -0.03 1.67 1.67 1.57 1.54 1.21 1.13 1.10
IM U.S. Open End Private Real Estate (SA+CF) Median 0.55 1.73 1.73 5.75 7.07 9.36 11.12 5.44
Comparative Performance Trailing Returns
Total Fund
As of September 30, 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 September 30, 2020
QTR FYTD 1 YR 3 YR 5 YR 7 YR 10 YR Inception Inception
Date
Vanguard Total Stock Market (VITSX)9.19 (30)15.01 (22)15.01 (22)11.65 (18)13.68 (12)12.09 (10)N/A 12.98 (13)03/01/2013
Vanguard Total Stock Market Index Hybrid 9.20 (29)14.99 (23)14.99 (23)11.65 (18)13.69 (12)12.10 (10)13.50 (8)13.00 (12)
Difference -0.01 0.02 0.02 0.00 -0.01 -0.01 N/A -0.02
IM U.S. Multi-Cap Core Equity (MF) Median 7.96 10.21 10.21 8.64 10.86 9.76 11.48 10.96
Brandywine GLBL Dynamic (LMBGX)N/A N/A N/A N/A N/A N/A N/A -2.13 (14)09/01/2020
Russell 1000 Value Index 5.59 (34)-5.03 (54)-5.03 (54)2.63 (50)7.66 (41)7.35 (35)9.95 (26)-2.46 (35)
Difference N/A N/A N/A N/A N/A N/A N/A 0.33
IM U.S. Large Cap Value Equity (MF) Median 4.82 -4.55 -4.55 2.63 7.15 6.82 9.13 -2.75
Vanguard Value Index Fund (VIVIX)N/A N/A N/A N/A N/A N/A N/A -2.20 (16)09/01/2020
Russell 1000 Value Index 5.59 (34)-5.03 (54)-5.03 (54)2.63 (50)7.66 (41)7.35 (35)9.95 (26)-2.46 (35)
Difference N/A N/A N/A N/A N/A N/A N/A 0.26
IM U.S. Large Cap Value Equity (MF) Median 4.82 -4.55 -4.55 2.63 7.15 6.82 9.13 -2.75
RBC Global (Voyageur)3.42 (66)-9.19 (89)-9.19 (89)-2.83 (61)4.51 (49)3.96 (34)6.66 (22)2.86 (34)11/01/2007
MSCI EAFE Index 4.88 (43)0.93 (36)0.93 (36)1.11 (33)5.77 (36)3.49 (41)5.11 (46)1.36 (61)
Difference -1.46 -10.12 -10.12 -3.94 -1.26 0.47 1.55 1.50
MSCI EAFE Value 1.30 (98)-11.45 (94)-11.45 (94)-5.30 (89)1.74 (92)0.24 (94)2.68 (92)-0.73 (94)
Difference 2.12 2.26 2.26 2.47 2.77 3.72 3.98 3.59
IM International Large Cap Value Equity (SA+CF) Median 4.40 -3.89 -3.89 -1.87 4.41 2.42 4.83 1.91
Galliard Core Fixed Income 1.10 (30)6.85 (30)6.85 (30)4.90 (20)3.89 (29)3.66 (27)3.48 (32)4.17 (60)10/01/2007
Bloomberg Barclays Intermed Aggregate Index 0.48 (88)5.66 (84)5.66 (84)4.20 (86)3.27 (88)3.15 (81)2.98 (78)3.92 (84)
Difference 0.62 1.19 1.19 0.70 0.62 0.51 0.50 0.25
IM U.S. Intermediate Duration (SA+CF) Median 0.83 6.47 6.47 4.61 3.67 3.44 3.28 4.25
Vanguard Inflation-Protected Secs (VAIPX)3.02 (49)9.84 (26)9.84 (26)5.62 (22)N/A N/A N/A 4.94 (23)01/01/2017
Bloomberg Barclays U.S. TIPS Index 3.03 (48)10.08 (20)10.08 (20)5.79 (15)4.61 (14)3.38 (7)3.57 (4)5.09 (16)
Difference -0.01 -0.24 -0.24 -0.17 N/A N/A N/A -0.15
IM U.S. TIPS (MF) Median 3.01 8.47 8.47 4.75 3.84 2.42 2.77 4.24
Vanguard Short Term Bond Index (VSCSX)0.90 (39)4.91 (48)4.91 (48)3.79 (27)3.26 (17)N/A N/A 3.08 (15)01/01/2015
Blmbg. Barc. U.S. Corporate 1-5 Year Index 0.92 (38)5.21 (39)5.21 (39)4.00 (19)3.42 (10)3.08 (8)3.11 (15)3.26 (8)
Difference -0.02 -0.30 -0.30 -0.21 -0.16 N/A N/A -0.18
IM U.S. Intermediate Investment Grade (MF) Median 0.81 4.84 4.84 3.25 2.63 2.32 2.35 2.44
PIMCO Diversified Income Fund Instl (PDIIX)2.73 (41)3.63 (72)3.63 (72)N/A N/A N/A N/A 5.66 (12)04/01/2018
Blmbg. Barc. Global Credit (Hedged)1.97 (68)5.26 (53)5.26 (53)5.40 (7)5.67 (3)5.13 (1)5.04 (1)6.58 (7)
Difference 0.76 -1.63 -1.63 N/A N/A N/A N/A -0.92
IM Global Fixed Income (MF) Median 2.41 5.39 5.39 3.74 3.94 2.77 2.67 3.95
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 September 30, 2020
QTR FYTD 1 YR 3 YR 5 YR 7 YR 10 YR Inception Inception
Date
American Core Realty Fund -0.14 (81)1.62 (57)1.62 (57)5.60 (53)6.66 (65)8.50 (65)9.92 (79)4.94 (77)10/01/2007
American Core Realty Policy 0.57 (50)1.73 (50)1.73 (50)5.53 (54)6.99 (56)8.82 (58)10.37 (58)6.71 (11)
Difference -0.71 -0.11 -0.11 0.07 -0.33 -0.32 -0.45 -1.77
IM U.S. Open End Private Real Estate (SA+CF) Median 0.55 1.73 1.73 5.75 7.07 9.36 11.12 5.44
Intercontinental 0.90 (24)4.41 (11)4.41 (11)8.00 (10)9.80 (15)10.99 (24)12.40 (30)12.40 (30)10/01/2010
NCREIF Fund Index-OEDC (EW)0.57 (50)1.73 (50)1.73 (50)5.53 (54)6.99 (56)8.82 (58)10.37 (58)10.37 (58)
Difference 0.33 2.68 2.68 2.47 2.81 2.17 2.03 2.03
IM U.S. Open End Private Real Estate (SA+CF) Median 0.55 1.73 1.73 5.75 7.07 9.36 11.12 11.12
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 0.73 5.86 7.37 N/A 7.04 10/14/2014
Crescent Direct Lending II Fund 0.00 1.29 N/A N/A N/A 5.53 03/13/2018
Comparative Performance - IRR
As of September 30, 2020
Page 21
Financial Reconciliation Quarter to Date
Market Value
07/01/2020
Net
Transfers Contributions Distributions Management
Fees
Other
Expenses Income Apprec./
Deprec.
Market Value
09/30/2020
Total Equity 36,763,130 -1,100,000 ----1,352 152,680 2,889,345 38,703,803
Domestic Equity Securities 29,374,470 -1,100,000 ----114,526 2,674,567 31,063,563
Vanguard Total Stock Market (VITSX)29,374,470 -16,100,000 ----64,710 3,087,961 16,427,142
Foreign Equity Securities 7,388,660 -----1,352 38,154 214,778 7,640,240
RBC Global (Voyageur)7,388,660 -----1,352 38,154 214,778 7,640,240
Total Fixed Income 11,846,108 1,024,700 ---3,865 -112 17,446 137,014 13,021,291
Galliard Core Fixed Income 5,374,168 ----3,865 --59,020 5,429,323
Galliard TIPS 1,348,971 -1,375,300 ----112 701 25,740 -
Vanguard Short Term Bond Index (VSCSX)18,611 -----102 66 18,779
Vanguard Inflation-Protected Secs (VAIPX)450,437 2,400,000 -----20,121 2,870,558
PIMCO Diversified Income Fund Instl (PDIIX)1,830,780 -----16,643 32,067 1,879,490
Crescent Direct Lending Fund 1,120,876 -------1,120,876
Crescent Direct Lending II Fund 1,702,265 -------1,702,265
Direct Real Estate 5,669,986 -100,803 ---10,795 -45,837 -15,862 5,588,364
American Core Realty Fund 2,034,371 -100,803 ---5,310 -19,336 -21,994 1,925,600
Intercontinental 3,635,615 ----5,485 -26,502 6,132 3,662,764
Receipt & Disbursement 346,463 176,103 1,024,220 -994,253 --37,390 61 -515,204
Total Fund Portfolio 54,625,687 -1,024,220 -994,253 -14,659 -38,855 216,024 3,010,497 57,828,662
Financial Reconciliation Quarter to Date
Total Fund
1 Quarter Ending September 30, 2020
Page 22
Financial Reconciliation Fiscal Year to Date
Market Value
10/01/2019
Net
Transfers Contributions Distributions Management
Fees
Other
Expenses Income Apprec./
Deprec.
Market Value
09/30/2020
Total Equity 36,308,421 -1,059,076 ---40,924 -5,493 764,610 2,736,266 38,703,803
Domestic Equity Securities 27,889,255 -1,100,000 ----522,627 3,751,681 31,063,563
Vanguard Total Stock Market (VITSX)27,889,255 -16,100,000 ----472,811 4,165,075 16,427,142
Foreign Equity Securities 8,419,165 40,924 ---40,924 -5,493 241,983 -1,015,415 7,640,240
RBC Global (Voyageur)8,419,165 40,924 ---40,924 -5,493 241,983 -1,015,415 7,640,240
Total Fixed Income 11,671,112 751,888 ---22,762 -7,325 94,669 533,708 13,021,291
Galliard Core Fixed Income 5,095,727 ----14,930 --348,526 5,429,323
Galliard TIPS 1,282,666 -1,375,300 ----597 3,904 89,328 -
Vanguard Short Term Bond Index (VSCSX)17,900 -----472 407 18,779
Vanguard Inflation-Protected Secs (VAIPX)1,059,563 1,725,000 ----12,822 73,173 2,870,558
PIMCO Diversified Income Fund Instl (PDIIX)1,875,993 -54,346 ----77,472 -19,628 1,879,490
Crescent Direct Lending Fund 1,191,186 -78,262 ---7,832 -3,469 -19,253 1,120,876
Crescent Direct Lending II Fund 1,148,078 534,796 ----3,259 -22,650 1,702,265
Direct Real Estate 5,621,339 -165,809 ---56,544 -202,764 -13,386 5,588,364
American Core Realty Fund 2,080,151 -165,809 ---22,390 -91,358 -57,710 1,925,600
Intercontinental 3,541,188 ----34,154 -111,407 44,323 3,662,764
Receipt & Disbursement 519,926 472,997 3,421,941 -3,820,271 --82,520 3,131 -515,204
Total Fund Portfolio 54,120,798 -3,421,941 -3,820,271 -120,230 -95,339 1,065,175 3,256,588 57,828,662
Financial Reconciliation Fiscal Year to Date
Total Fund
October 1, 2019 To September 30, 2020
Page 23
Comparative Performance Fiscal Year Returns
Oct-2019
To
Sep-2020
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
Total Fund (Net)7.92 (44)2.78 (85)11.28 (3)14.16 (11)11.15 (17)0.33 (25)11.85 (15)15.72 (7)18.95 (24)-1.17 (85)
Total Fund Policy 10.06 (16)4.31 (50)9.85 (10)12.90 (30)10.79 (22)0.59 (21)11.39 (23)14.95 (10)19.64 (16)2.20 (23)
Difference -2.14 -1.53 1.43 1.26 0.36 -0.26 0.46 0.77 -0.69 -3.37
All Public Plans-Total Fund Median 7.49 4.30 7.20 11.82 9.74 -0.78 9.93 12.02 17.50 0.69
Total Fund (Gross)8.16 3.16 11.63 14.52 11.51 0.63 12.21 16.33 19.81 -0.45
Total Fund Policy 10.06 4.31 9.85 12.90 10.79 0.59 11.39 14.95 19.64 2.20
Difference -1.90 -1.15 1.78 1.62 0.72 0.04 0.82 1.38 0.17 -2.65
Total Equity 9.65 0.85 15.01 19.50 14.20 -1.52 15.46 23.09 27.08 -4.58
Total Equity Policy 11.69 2.09 14.18 19.00 13.13 -2.28 14.65 22.30 26.46 -1.66
Difference -2.04 -1.24 0.83 0.50 1.07 0.76 0.81 0.79 0.62 -2.92
Domestic Equity Securities 15.35 (35)2.89 (53)17.88 (40)18.64 (52)15.21 (25)-0.59 (62)17.58 (69)21.85 (34)27.76 (61)-3.30 (90)
Domestic Equity Securities Policy 15.00 (38)2.92 (53)17.58 (46)18.71 (51)14.96 (29)-0.49 (61)17.76 (67)21.60 (37)30.20 (44)0.55 (58)
Difference 0.35 -0.03 0.30 -0.07 0.25 -0.10 -0.18 0.25 -2.44 -3.85
IM U.S. Large Cap Core Equity (SA+CF) Median 12.87 3.20 17.24 18.74 13.34 0.11 19.19 20.55 29.63 1.17
Foreign Equity Securities -9.19 (89)-5.36 (70)6.76 (5)22.69 (38)10.74 (29)-4.36 (21)10.08 (8)27.54 (18)24.74 (3)-8.75 (53)
Foreign Equity Securities Policy 1.03 (36)-0.82 (32)3.25 (30)19.65 (56)7.06 (62)-8.27 (42)4.70 (63)24.29 (41)14.33 (57)-8.94 (56)
Difference -10.22 -4.54 3.51 3.04 3.68 3.91 5.38 3.25 10.41 0.19
IM International Large Cap Value Equity (SA+CF) Median -3.89 -3.18 1.49 21.07 8.43 -9.45 5.75 22.93 15.46 -8.51
Total Fixed Income 5.44 8.69 2.41 3.59 4.93 1.40 3.23 -0.59 6.34 4.67
Total Fixed Policy 5.71 8.08 -0.93 0.25 3.57 2.95 2.74 -0.71 4.31 4.22
Difference -0.27 0.61 3.34 3.34 1.36 -1.55 0.49 0.12 2.03 0.45
Broad Mkt Fixed Income 7.53 (52)7.81 (97)-0.21 (16)0.61 (52)4.21 (98)2.31 (86)2.61 (99)-1.30 (53)5.88 (77)4.67 (76)
Broad Mkt Fixed Income Policy 5.66 (97)8.08 (97)-0.93 (62)0.25 (69)3.57 (100)2.95 (61)2.74 (99)-0.71 (25)4.31 (99)4.22 (90)
Difference 1.87 -0.27 0.72 0.36 0.64 -0.64 -0.13 -0.59 1.57 0.45
IM U.S. Broad Market Core Fixed Income (SA+CF) Median 7.55 10.44 -0.74 0.63 5.66 3.02 4.47 -1.26 6.61 5.26
Non-Core Fixed Income 0.92 10.83 14.15 13.06 13.88 8.65 N/A N/A N/A N/A
Non-Core Fixed Policy 4.45 6.91 2.69 4.05 5.34 1.34 N/A N/A N/A N/A
Difference -3.53 3.92 11.46 9.01 8.54 7.31 N/A N/A N/A N/A
Direct Real Estate 3.40 (18)7.75 (30)10.25 (28)10.01 (18)11.44 (49)14.27 (66)13.47 (38)16.42 (21)12.81 (52)15.82 (70)
NCREIF Fund Index-OEDC (EW)1.73 (50)6.17 (72)8.82 (59)7.81 (56)10.62 (68)14.71 (61)12.39 (67)12.47 (69)11.77 (64)18.03 (43)
Difference 1.67 1.58 1.43 2.20 0.82 -0.44 1.08 3.95 1.04 -2.21
IM U.S. Open End Private Real Estate (SA+CF) Median 1.73 6.89 9.04 8.05 11.32 15.45 12.78 13.28 12.89 16.62
Comparative Performance Fiscal Year Returns
Total Fund
As of September 30, 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 24
Comparative Performance Fiscal Year Returns
Total Fund
As of September 30, 2020
Oct-2019
To
Sep-2020
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
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)
Russell 1000 Growth Index 37.53 (28)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)
Difference N/A N/A N/A N/A N/A N/A N/A N/A 4.02 -4.95
IM U.S. Large Cap Growth Equity (SA+CF) Median 33.27 3.82 24.44 20.85 11.66 3.55 18.19 20.25 27.71 1.40
RBC Global (Voyageur)-9.19 (89)-5.36 (70)6.76 (5)22.69 (38)10.74 (29)-4.36 (21)10.08 (8)27.54 (18)24.74 (3)-8.75 (53)
MSCI EAFE Index 0.93 (36)-0.82 (32)3.25 (30)19.65 (56)7.06 (62)-8.27 (42)4.70 (63)24.29 (41)14.33 (57)-8.94 (56)
Difference -10.12 -4.54 3.51 3.04 3.68 3.91 5.38 3.25 10.41 0.19
MSCI EAFE Value -11.45 (94)-4.31 (61)0.24 (74)23.22 (34)4.16 (88)-12.18 (79)6.18 (43)24.91 (39)13.34 (65)-9.46 (64)
Difference 2.26 -1.05 6.52 -0.53 6.58 7.82 3.90 2.63 11.40 0.71
IM International Large Cap Value Equity (SA+CF) Median -3.89 -3.18 1.49 21.07 8.43 -9.45 5.75 22.93 15.46 -8.51
Vanguard Total Stock Market (VITSX)15.01 (22)2.89 (38)17.62 (18)18.64 (38)15.00 (16)-0.59 (35)17.77 (32)N/A N/A N/A
Vanguard Total Stock Market Index Hybrid 14.99 (23)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)
Difference 0.02 -0.03 0.00 0.00 0.01 -0.04 0.00 N/A N/A N/A
IM U.S. Multi-Cap Core Equity (MF) Median 10.21 1.47 14.71 17.56 11.62 -1.80 16.35 22.62 27.03 -1.53
Brandywine GLBL Dynamic (LMBGX)N/A N/A N/A N/A N/A N/A N/A N/A N/A N/A
Russell 1000 Value Index -5.03 (54)4.00 (30)9.45 (61)15.12 (72)16.19 (18)-4.42 (41)18.89 (19)22.30 (52)30.92 (15)-1.89 (30)
Difference N/A N/A N/A N/A N/A N/A N/A N/A N/A N/A
IM U.S. Large Cap Value Equity (MF) Median -4.55 1.87 10.42 16.74 12.49 -4.90 17.21 22.35 28.44 -3.39
Vanguard Value Index Fund (VIVIX)N/A N/A N/A N/A N/A N/A N/A N/A N/A N/A
Russell 1000 Value Index -5.03 (54)4.00 (30)9.45 (61)15.12 (72)16.19 (18)-4.42 (41)18.89 (19)22.30 (52)30.92 (15)-1.89 (30)
Difference N/A N/A N/A N/A N/A N/A N/A N/A N/A N/A
IM U.S. Large Cap Value Equity (MF) Median -4.55 1.87 10.42 16.74 12.49 -4.90 17.21 22.35 28.44 -3.39
Galliard Core Fixed Income 6.85 (30)8.50 (17)-0.43 (56)0.44 (71)4.36 (25)3.04 (26)3.15 (37)-0.64 (74)5.82 (44)4.16 (27)
Bloomberg Barclays Intermed Aggregate Index 5.66 (84)8.08 (45)-0.93 (94)0.25 (86)3.57 (73)2.95 (31)2.74 (57)-0.71 (77)4.31 (84)4.22 (23)
Difference 1.19 0.42 0.50 0.19 0.79 0.09 0.41 0.07 1.51 -0.06
IM U.S. Intermediate Duration (SA+CF) Median 6.47 8.01 -0.39 0.69 3.90 2.70 2.87 -0.27 5.57 3.60
Galliard TIPS 7.46 5.76 0.39 -0.23 4.75 -0.38 0.59 -3.71 6.01 6.73
Blmbg. Barc. U.S. TIPS 1-10 Year 7.75 5.75 0.33 -0.14 4.83 -0.82 0.61 -3.90 6.32 7.19
Difference -0.29 0.01 0.06 -0.09 -0.08 0.44 -0.02 0.19 -0.31 -0.46
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
FTSE World Government Bond Index 6.77 8.13 -1.54 -2.69 9.71 -3.83 -0.07 -4.60 3.29 4.61
Difference N/A N/A N/A N/A -8.88 -3.80 6.40 8.14 N/A N/A
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
Comparative Performance Fiscal Year Returns
Total Fund
As of September 30, 2020
Oct-2019
To
Sep-2020
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
PIMCO Diversified Income Fund Instl (PDIIX)3.63 (72)9.52 (19)N/A N/A N/A N/A N/A N/A N/A N/A
Blmbg. Barc. Global Credit (Hedged)5.26 (53)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)
Difference -1.63 -1.31 N/A N/A N/A N/A N/A N/A N/A N/A
IM Global Fixed Income (MF) Median 5.39 7.65 -1.29 1.02 7.42 -3.85 3.37 -1.81 7.17 1.74
Vanguard Inflation-Protected Secs (VAIPX)9.84 (26)7.03 (13)0.23 (55)N/A N/A N/A N/A N/A N/A N/A
Bloomberg Barclays U.S. TIPS Index 10.08 (20)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)
Difference -0.24 -0.10 -0.18 N/A N/A N/A N/A N/A N/A N/A
IM U.S. TIPS (MF) Median 8.47 5.72 0.29 -0.43 5.77 -1.90 0.95 -6.17 8.21 8.10
Vanguard Short Term Bond Index (VSCSX)4.91 (48)6.71 (12)-0.14 (41)1.55 (27)3.40 (20)N/A N/A N/A N/A N/A
Blmbg. Barc. U.S. Corporate 1-5 Year Index 5.21 (39)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)
Difference -0.30 -0.07 -0.25 -0.27 0.07 N/A N/A N/A N/A N/A
IM U.S. Intermediate Investment Grade (MF) Median 4.84 5.40 -0.38 0.85 2.56 1.21 1.64 -0.52 4.93 1.99
American Core Realty Fund 1.62 (57)6.81 (52)8.50 (65)7.52 (63)9.04 (94)13.98 (68)12.49 (64)12.27 (72)11.56 (66)16.11 (64)
American Core Realty Policy 1.73 (50)6.17 (72)8.82 (59)7.81 (56)10.62 (68)14.71 (61)12.39 (67)12.47 (69)11.77 (64)18.03 (43)
Difference -0.11 0.64 -0.32 -0.29 -1.58 -0.73 0.10 -0.20 -0.21 -1.92
IM U.S. Open End Private Real Estate (SA+CF) Median 1.73 6.89 9.04 8.05 11.32 15.45 12.78 13.28 12.89 16.62
Intercontinental 4.41 (11)8.32 (23)11.40 (11)11.82 (6)13.30 (22)13.96 (68)14.10 (31)18.21 (12)13.38 (42)15.68 (71)
NCREIF Fund Index-OEDC (EW)1.73 (50)6.17 (72)8.82 (59)7.81 (56)10.62 (68)14.71 (61)12.39 (67)12.47 (69)11.77 (64)18.03 (43)
Difference 2.68 2.15 2.58 4.01 2.68 -0.75 1.71 5.74 1.61 -2.35
IM U.S. Open End Private Real Estate (SA+CF) Median 1.73 6.89 9.04 8.05 11.32 15.45 12.78 13.28 12.89 16.62
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 26
Plan Sponsor Peer Group Analysis - All Public Plans-Total Fund
Comparative Performance
0.00
2.00
4.00
6.00
8.00
10.00
12.00
14.00
16.00
ReturnQTR FYTD 1 YR 2 YR 3 YR 4 YR 5 YR
Total Fund Portfolio 5.90 (23)7.92 (53)7.92 (53)5.32 (70)7.27 (35)8.95 (22)9.39 (13)
Total Fund Policy 5.72 (30)10.06 (28)10.06 (28)7.15 (27)8.04 (18)9.23 (15)9.54 (10)
Median 5.27 8.20 8.20 6.11 6.74 7.96 8.15
-10.00
-7.00
-4.00
-1.00
2.00
5.00
8.00
11.00
14.00
17.00
20.00
ReturnOct-2019
To
Sep-2020
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
Total Fund Portfolio 7.92 (53)2.78 (84)11.28 (7)14.16 (8)11.15 (6)0.33 (25)
Total Fund Policy 10.06 (28)4.31 (41)9.85 (17)12.90 (22)10.79 (11)0.59 (21)
Median 8.20 4.05 7.88 11.60 9.25 -0.60
1 QtrEndingJun-2020
1 QtrEndingMar-2020
1 QtrEndingDec-2019
1 QtrEndingSep-2019
1 QtrEndingJun-2019
1 QtrEndingMar-2019
Total Fund Portfolio 14.45 (25)-16.52 (94)6.65 (5)0.60 (74)3.19 (69)9.27 (37)
Total Fund Policy 13.58 (46)-13.55 (54)6.02 (21)0.94 (42)3.51 (29)9.27 (37)
All Public Plans-Total Fund Median 13.30 -13.33 5.48 0.84 3.34 8.89
As of September 30, 2020
Performance Review (Net)
Total Fund Portfolio
NONE
Page 27
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
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 Rank12/15 6/16 12/16 6/17 12/17 6/18 12/18 6/19 12/19 9/20
Total Period 5-25
Count
25-Median
Count
Median-75
Count
75-95
Count
Total Fund Portfolio 20 17 (85%)2 (10%)1 (5%)0 (0%)
Total Fund Policy 20 20 (100%)0 (0%)0 (0%)0 (0%)
6.45
6.88
7.31
7.74
8.17
8.60
Return (%)10.54 10.88 11.22 11.56 11.90 12.24 12.58 12.92
Risk (Standard Deviation %)
Return StandardDeviation
Total Fund Portfolio 7.27 12.48
Total Fund Policy 8.04 11.21
Median 6.74 10.99¾
7.82
8.28
8.74
9.20
9.66
10.12
Return (%)9.0 9.3 9.6 9.9 10.2 10.5 10.8
Risk (Standard Deviation %)
Return StandardDeviation
Total Fund Portfolio 9.39 10.40
Total Fund Policy 9.54 9.52
Median 8.15 9.24¾
TrackingError
UpMarketCapture
DownMarketCapture Alpha InformationRatio SharpeRatio Beta DownsideRisk
Total Fund Portfolio 1.61 105.96 115.27 -1.47 -0.35 0.49 1.11 8.98
Total Fund Policy 0.00 100.00 100.00 0.00 N/A 0.59 1.00 7.75
90 Day U.S. Treasury Bill 11.32 5.77 -4.71 1.77 -0.59 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 1.35 104.85 111.25 -0.88 -0.04 0.80 1.09 7.17
Total Fund Policy 0.00 100.00 100.00 0.00 N/A 0.88 1.00 6.26
90 Day U.S. Treasury Bill 9.60 4.76 -4.09 1.25 -0.88 N/A -0.01 0.01
As of September 30, 2020
Performance Review (Net)
Total Fund Portfolio
NONE
Page 28
Peer Group Analysis - IM U.S. Multi-Cap Core Equity (MF)
Comparative Performance
-15.00
-10.00
-5.00
0.00
5.00
10.00
15.00
20.00
25.00
30.00
ReturnQTR FYTD 1 YR 2 YR 3 YR 4 YR 5 YR
Vanguard Total Stk Mkt (VITSX)9.19 (30)15.01 (22)15.01 (22)8.78 (22)11.65 (18)13.36 (18)13.68 (12)
Vanguard Total Stk Mkt Index Hyb 9.20 (29)14.99 (23)14.99 (23)8.78 (22)11.65 (18)13.36 (17)13.69 (12)
Median 7.96 10.21 10.21 5.83 8.64 10.80 10.86
-15.00
-10.00
-5.00
0.00
5.00
10.00
15.00
20.00
25.00
30.00
ReturnOct-2019
To
Sep-
2020
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
Vanguard Total Stk Mkt (VITSX)15.01 (22)2.89 (38)17.62 (18)18.64 (38)15.00 (16)-0.59 (35)
Vanguard Total Stk Mkt Index Hyb 14.99 (23)2.92 (37)17.62 (18)18.64 (37)14.99 (16)-0.55 (34)
Median 10.21 1.47 14.71 17.56 11.62 -1.80
1 QtrEndingJun-2020
1 QtrEndingMar-2020
1 QtrEndingDec-2019
1 QtrEndingSep-2019
1 QtrEndingJun-2019
1 QtrEndingMar-2019
Vanguard Total Stk Mkt (VITSX)22.10 (38)-20.86 (38)9.01 (29)1.09 (47)4.09 (41)14.04 (31)
Vanguard Total Stock Market Index Hybrid 22.09 (38)-20.88 (39)9.00 (30)1.11 (45)4.08 (43)14.06 (31)
IM U.S. Multi-Cap Core Equity (MF) Median 21.51 -21.69 8.07 1.00 3.87 13.29
Performance Review
As of September 30, 2020
Vanguard Total Stk Mkt (VITSX)
NONE
Page 29
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
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 Rank12/15 6/16 12/16 6/17 12/17 6/18 12/18 6/19 12/19 9/20
Total Period 5-25
Count
25-Median
Count
Median-75
Count
75-95
Count
Vanguard Total Stk Mkt (VITSX)19 18 (95%)1 (5%)0 (0%)0 (0%)
Vanguard Total Stk Mkt Index Hyb 20 18 (90%)2 (10%)0 (0%)0 (0%)
7.92
8.91
9.90
10.89
11.88
12.87
Return (%)18.16 18.17 18.18 18.19
Risk (Standard Deviation %)
Return StandardDeviation
Vanguard Total Stk Mkt (VITSX)11.65 18.17
Vanguard Total Stk Mkt Index Hyb 11.65 18.18
Median 8.64 18.18¾
10.12
11.04
11.96
12.88
13.80
14.72
Return (%)15.25 15.30 15.35 15.40 15.45 15.50 15.55 15.60
Risk (Standard Deviation %)
Return StandardDeviation
Vanguard Total Stk Mkt (VITSX)13.68 15.33
Vanguard Total Stk Mkt Index Hyb 13.69 15.33
Median 10.86 15.52¾
TrackingError
UpMarketCapture
DownMarketCapture Alpha InformationRatio SharpeRatio Beta DownsideRisk
Vanguard Total Stk Mkt (VITSX)0.03 99.96 99.95 0.00 -0.10 0.61 1.00 12.56
Vanguard Total Stock Market Index Hybrid 0.00 100.00 100.00 0.00 N/A 0.61 1.00 12.56
90 Day U.S. Treasury Bill 18.28 3.62 -2.86 1.77 -0.61 N/A -0.01 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 99.97 99.96 0.00 -0.06 0.84 1.00 10.14
Vanguard Total Stock Market Index Hybrid 0.00 100.00 100.00 0.00 N/A 0.84 1.00 10.15
90 Day U.S. Treasury Bill 15.41 3.06 -2.51 1.25 -0.84 N/A -0.01 0.01
Performance Review
As of September 30, 2020
Vanguard Total Stk Mkt (VITSX)
NONE
Page 30
Peer Group Analysis - IM U.S. Large Cap Value Equity (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
Brandywine GLBL Dynamic (LMBGX)N/A N/A N/A N/A N/A N/A N/A
Russell 1000 Value Index 5.59 (34)-5.03 (54)-5.03 (54)-0.61 (47)2.63 (50)5.62 (57)7.66 (41)
Median 4.82 -4.55 -4.55 -0.92 2.63 5.96 7.15
-22.00
-16.00
-10.00
-4.00
2.00
8.00
14.00
20.00
26.00
32.00
ReturnOct-
2019
To
Sep-
2020
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
Brandywine GLBL Dynamic (LMBGX)N/A N/A N/A N/A N/A N/A
Russell 1000 Value Index -5.03 (54)4.00 (30)9.45 (61)15.12 (72)16.19 (18)-4.42 (41)
Median -4.55 1.87 10.42 16.74 12.49 -4.90
1 QtrEndingJun-2020
1 QtrEndingMar-2020
1 QtrEndingDec-2019
1 QtrEndingSep-2019
1 QtrEndingJun-2019
1 QtrEndingMar-2019
Brandywine GLBL Dynamic (LMBGX)N/A N/A N/A N/A N/A N/A
Russell 1000 Value Index 14.29 (68)-26.73 (53)7.41 (54)1.36 (53)3.84 (39)11.93 (40)
IM U.S. Large Cap Value Equity (MF) Median 15.47 -26.62 7.54 1.41 3.49 11.58
Performance Review (Fiscal Years)
As of September 30, 2020
Brandywine GLBL Dynamic (LMBGX)
NONE
Page 31
Peer Group Analysis - IM U.S. Large Cap Value Equity (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 Value Index Fund (VIVIX)N/A N/A N/A N/A N/A N/A N/A
Russell 1000 Value Index 5.59 (34)-5.03 (54)-5.03 (54)-0.61 (47)2.63 (50)5.62 (57)7.66 (41)
Median 4.82 -4.55 -4.55 -0.92 2.63 5.96 7.15
-22.00
-16.00
-10.00
-4.00
2.00
8.00
14.00
20.00
26.00
32.00
ReturnOct-
2019
To
Sep-
2020
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
Vanguard Value Index Fund (VIVIX)N/A N/A N/A N/A N/A N/A
Russell 1000 Value Index -5.03 (54)4.00 (30)9.45 (61)15.12 (72)16.19 (18)-4.42 (41)
Median -4.55 1.87 10.42 16.74 12.49 -4.90
1 QtrEndingJun-2020
1 QtrEndingMar-2020
1 QtrEndingDec-2019
1 QtrEndingSep-2019
1 QtrEndingJun-2019
1 QtrEndingMar-2019
Vanguard Value Index Fund (VIVIX)N/A N/A N/A N/A N/A N/A
Russell 1000 Value Index 14.29 (68)-26.73 (53)7.41 (54)1.36 (53)3.84 (39)11.93 (40)
IM U.S. Large Cap Value Equity (MF) Median 15.47 -26.62 7.54 1.41 3.49 11.58
Performance Review (Fiscal Years)
As of September 30, 2020
Vanguard Value Index Fund (VIVIX)
NONE
Page 32
Peer Group Analysis - IM International Large Cap Value Equity (SA+CF)
Comparative Performance
-20.00
-15.00
-10.00
-5.00
0.00
5.00
10.00
15.00
20.00
25.00
ReturnQTR FYTD 1 YR 2 YR 3 YR 4 YR 5 YR
RBC Global (Voyageur)3.42 (66)-9.19 (89)-9.19 (89)-7.29 (85)-2.83 (61)3.01 (51)4.51 (49)
MSCI EAFE Index 4.88 (44)0.93 (36)0.93 (36)0.05 (34)1.11 (33)5.46 (28)5.77 (36)
Median 4.40 -3.89 -3.89 -3.30 -1.89 3.05 4.44
-28.00
-20.00
-12.00
-4.00
4.00
12.00
20.00
28.00
36.00
44.00
ReturnOct-2019
To
Sep-2020
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
RBC Global (Voyageur)-9.19 (89)-5.36 (70)6.76 (5)22.69 (38)10.74 (29)-4.36 (21)
MSCI EAFE Index 0.93 (36)-0.82 (32)3.25 (30)19.65 (56)7.06 (62)-8.27 (42)
Median -3.89 -3.18 1.49 21.07 8.43 -9.45
1 QtrEndingJun-2020
1 QtrEndingMar-2020
1 QtrEndingDec-2019
1 QtrEndingSep-2019
1 QtrEndingJun-2019
1 QtrEndingMar-2019
RBC Global (Voyageur)18.55 (20)-32.83 (94)10.27 (36)-2.48 (78)2.47 (52)10.23 (34)
MSCI EAFE Index 15.08 (55)-22.72 (25)8.21 (81)-1.00 (36)3.97 (18)10.13 (36)
IM International Large Cap Value Equity (SA+CF) Median 15.42 -25.91 9.61 -1.44 2.52 9.58
Performance Review
As of September 30, 2020
RBC Global (Voyageur)
NONE
Page 33
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
-16.0
-8.0
0.0
8.0
16.0
24.0
RBC Global (Voyageur) (%)-16.0 -8.0 0.0 8.0 16.0 24.0
MSCI EAFE Index (%)
Over
Performance
Under
Performance
0.0
25.0
50.0
75.0
100.0Return Percentile Rank12/15 6/16 12/16 6/17 12/17 6/18 12/18 6/19 12/19 9/20
Total Period 5-25
Count
25-Median
Count
Median-75
Count
75-95
Count
RBC Global (Voyageur)20 13 (65%)4 (20%)3 (15%)0 (0%)
MSCI EAFE Index 20 0 (0%)10 (50%)10 (50%)0 (0%)
-4.00
-2.00
0.00
2.00
Return (%)14.00 16.00 18.00 20.00 22.00
Risk (Standard Deviation %)
Return StandardDeviation
RBC Global (Voyageur)-2.83 20.29
MSCI EAFE Index 1.11 15.21
Median -1.89 17.14¾
4.05
4.50
4.95
5.40
5.85
6.30
Return (%)12.46 13.35 14.24 15.13 16.02 16.91 17.80 18.69
Risk (Standard Deviation %)
Return StandardDeviation
RBC Global (Voyageur)4.51 17.73
MSCI EAFE Index 5.77 13.89
Median 4.44 15.23¾
TrackingError
UpMarketCapture
DownMarketCapture Alpha InformationRatio SharpeRatio Beta DownsideRisk
RBC Global (Voyageur)6.66 114.61 131.22 -3.58 -0.45 -0.12 1.29 16.48
MSCI EAFE Index 0.00 100.00 100.00 0.00 N/A 0.04 1.00 11.79
90 Day U.S. Treasury Bill 15.31 3.81 -4.18 1.71 -0.04 N/A -0.01 0.00
Tracking
Error
Up
Market
Capture
Down
Market
Capture
Alpha Information
Ratio
Sharpe
Ratio Beta Downside
Risk
RBC Global (Voyageur)6.11 113.28 122.13 -1.96 -0.09 0.28 1.22 13.64
MSCI EAFE Index 0.00 100.00 100.00 0.00 N/A 0.39 1.00 9.96
90 Day U.S. Treasury Bill 13.96 2.73 -3.47 1.21 -0.39 N/A -0.01 0.01
Performance Review
As of September 30, 2020
RBC Global (Voyageur)
NONE
Page 34
Peer Group Analysis - IM U.S. Intermediate Duration (SA+CF)
Comparative Performance
-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 1.10 (30)6.85 (30)6.85 (30)7.67 (20)4.90 (20)3.77 (34)3.89 (29)
Barclays Int Agg Index 0.48 (88)5.66 (84)5.66 (84)6.86 (76)4.20 (86)3.20 (89)3.27 (88)
Median 0.83 6.47 6.47 7.25 4.61 3.62 3.67
-4.00
-2.00
0.00
2.00
4.00
6.00
8.00
10.00
12.00
ReturnOct-2019
To
Sep-2020
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
Galliard Core Fixed Inc 6.85 (30)8.50 (17)-0.43 (56)0.44 (71)4.36 (25)3.04 (26)
Barclays Int Agg Index 5.66 (84)8.08 (45)-0.93 (94)0.25 (86)3.57 (73)2.95 (31)
Median 6.47 8.01 -0.39 0.69 3.90 2.70
1 QtrEndingJun-2020
1 QtrEndingMar-2020
1 QtrEndingDec-2019
1 QtrEndingSep-2019
1 QtrEndingJun-2019
1 QtrEndingMar-2019
Galliard Core Fixed Inc 4.07 (38)1.14 (54)0.41 (59)1.46 (36)2.72 (14)2.56 (35)
Barclays Int Agg Index 2.13 (95)2.49 (19)0.47 (48)1.38 (59)2.39 (69)2.28 (71)
IM U.S. Intermediate Duration (SA+CF) Median 3.74 1.30 0.44 1.42 2.50 2.45
Performance Review
As of September 30, 2020
Galliard Core Fixed Inc
NONE
Page 35
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
0.0
1.5
3.0
4.5
6.0
Galliard Core Fixed Inc (%)0.0 1.5 3.0 4.5 6.0
Barclays Int Agg Index (%)
Over
Performance
Under
Performance
0.0
25.0
50.0
75.0
100.0Return Percentile Rank12/15 6/16 12/16 6/17 12/17 6/18 12/18 6/19 12/19 9/20
Total Period 5-25
Count
25-Median
Count
Median-75
Count
75-95
Count
Galliard Core Fixed Inc 20 4 (20%)15 (75%)1 (5%)0 (0%)
Barclays Int Agg Index 20 0 (0%)2 (10%)7 (35%)11 (55%)
3.90
4.20
4.50
4.80
5.10
Return (%)2.00 2.20 2.40 2.60 2.80 3.00
Risk (Standard Deviation %)
Return StandardDeviation
Galliard Core Fixed Inc 4.90 2.77
Barclays Int Agg Index 4.20 2.18
Median 4.61 2.43¾
3.00
3.30
3.60
3.90
4.20
Return (%)2.00 2.08 2.16 2.24 2.32 2.40 2.48 2.56 2.64
Risk (Standard Deviation %)
Return StandardDeviation
Galliard Core Fixed Inc 3.89 2.55
Barclays Int Agg Index 3.27 2.14
Median 3.67 2.30¾
TrackingError
UpMarketCapture
DownMarketCapture Alpha InformationRatio SharpeRatio Beta DownsideRisk
Galliard Core Fixed Inc 1.34 120.69 135.09 0.19 0.51 1.12 1.12 1.31
Barclays Int Agg Index 0.00 100.00 100.00 0.00 N/A 1.15 1.00 0.81
90 Day U.S. Treasury Bill 2.14 20.37 -50.25 1.60 -1.15 N/A 0.02 0.00
Tracking
Error
Up
Market
Capture
Down
Market
Capture
Alpha Information
Ratio
Sharpe
Ratio Beta Downside
Risk
Galliard Core Fixed Inc 1.05 117.41 114.62 0.33 0.57 1.05 1.09 1.31
Barclays Int Agg Index 0.00 100.00 100.00 0.00 N/A 0.99 1.00 1.04
90 Day U.S. Treasury Bill 2.10 16.68 -28.66 1.08 -0.99 N/A 0.03 0.01
Performance Review
As of September 30, 2020
Galliard Core Fixed Inc
NONE
Page 36
Peer Group Analysis - IM U.S. Intermediate Investment Grade (MF)
Comparative Performance
-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)0.90 (39)4.91 (48)4.91 (48)5.81 (29)3.79 (27)3.22 (18)3.26 (17)
Barclays US Corp 1-5 Yr Index 0.92 (38)5.21 (39)5.21 (39)6.00 (22)4.00 (19)3.45 (9)3.42 (10)
Median 0.81 4.84 4.84 5.29 3.25 2.64 2.63
-4.00
-2.00
0.00
2.00
4.00
6.00
8.00
10.00
ReturnOct-2019
To
Sep-2020
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
VG ST Bond Index (VSCSX)4.91 (48)6.71 (12)-0.14 (41)1.55 (27)3.40 (20)N/A
Barclays US Corp 1-5 Yr Index 5.21 (39)6.78 (11)0.11 (28)1.82 (20)3.33 (21)1.98 (8)
Median 4.84 5.40 -0.38 0.85 2.56 1.21
1 QtrEndingJun-2020
1 QtrEndingMar-2020
1 QtrEndingDec-2019
1 QtrEndingSep-2019
1 QtrEndingJun-2019
1 QtrEndingMar-2019
VG ST Bond Index (VSCSX)5.63 (20)-2.63 (76)1.09 (6)1.19 (12)1.75 (57)2.66 (13)
Barclays US Corp 1-5 Yr Index 5.59 (20)-2.19 (69)0.95 (9)1.17 (14)2.09 (20)2.61 (17)
IM U.S. Intermediate Investment Grade (MF) Median 3.60 -0.68 0.49 0.87 1.79 1.88
Performance Review
As of September 30, 2020
VG ST Bond Index (VSCSX)
NONE
Page 37
Peer Group Analysis - IM U.S. TIPS (MF)
Comparative Performance
-2.00
0.00
2.00
4.00
6.00
8.00
10.00
12.00
14.00
16.00
18.00
ReturnQTR FYTD 1 YR 2 YR 3 YR 4 YR 5 YR
Vanguard Infl-Protected Secs (VAIPX)3.02 (49)9.84 (26)9.84 (26)8.43 (21)5.62 (22)N/A N/A
Bloomberg Barclays U.S. TIPS Index 3.03 (48)10.08 (20)10.08 (20)8.59 (17)5.79 (15)4.13 (16)4.61 (14)
Median 3.01 8.47 8.47 7.20 4.75 3.42 3.84
-12.00
-8.00
-4.00
0.00
4.00
8.00
12.00
16.00
20.00
ReturnOct-
2019
To
Sep-
2020
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
Vanguard Infl-Protected Secs (VAIPX)9.84 (26)7.03 (13)0.23 (55)N/A N/A N/A
Bloomberg Barclays U.S. TIPS Index 10.08 (20)7.13 (9)0.41 (41)-0.73 (61)6.58 (27)-0.83 (7)
Median 8.47 5.72 0.29 -0.43 5.77 -1.90
1 QtrEndingJun-2020
1 QtrEndingMar-2020
1 QtrEndingDec-2019
1 QtrEndingSep-2019
1 QtrEndingJun-2019
1 QtrEndingMar-2019
Vanguard Infl-Protected Secs (VAIPX)4.18 (69)1.78 (14)0.56 (86)1.42 (14)2.79 (17)3.19 (45)
Bloomberg Barclays U.S. TIPS Index 4.24 (67)1.69 (17)0.79 (64)1.35 (19)2.86 (11)3.19 (44)
IM U.S. TIPS (MF) Median 4.97 -0.10 0.97 0.81 2.50 3.16
Performance Review
As of September 30, 2020
Vanguard Infl-Protected Secs (VAIPX)
NONE
Page 38
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
2.0
3.0
4.0
5.0
6.0
7.0
Vanguard Infl-Protected Secs (VAIPX) (%)2.0 3.0 4.0 5.0 6.0 7.0
Bloomberg Barclays U.S. TIPS Index (%)
Over
Performance
Under
Performance
0.0
25.0
50.0
75.0
100.0Return Percentile Rank12/15 6/16 12/16 6/17 12/17 6/18 12/18 6/19 12/19 9/20
Total
Period
5-25
Count
25-Median
Count
Median-75
Count
75-95
Count
Vanguard Infl-Protected Secs (VAIPX)4 3 (75%)1 (25%)0 (0%)0 (0%)
Bloomberg Barclays U.S. TIPS Index 20 17 (85%)3 (15%)0 (0%)0 (0%)
4.55
4.90
5.25
5.60
5.95
6.30
Return (%)3.43 3.50 3.57 3.64 3.71 3.78 3.85 3.92 3.99
Risk (Standard Deviation %)
Return StandardDeviation
Vanguard Infl-Protected Secs (VAIPX)5.62 3.54
Bloomberg Barclays U.S. TIPS Index 5.79 3.74
Median 4.75 3.87¾
3.64
3.90
4.16
4.42
4.68
4.94
Return (%)3.54 3.55 3.56 3.57 3.58
Risk (Standard Deviation %)
Return StandardDeviation
Vanguard Infl-Protected Secs (VAIPX)N/A N/A
Bloomberg Barclays U.S. TIPS Index 4.61 3.54
Median 3.84 3.57¾
TrackingError
UpMarketCapture
DownMarketCapture Alpha InformationRatio SharpeRatio Beta DownsideRisk
Vanguard Infl-Protected Secs (VAIPX)0.52 95.41 92.15 0.19 -0.33 1.08 0.94 1.64
Bloomberg Barclays U.S. TIPS Index 0.00 100.00 100.00 0.00 N/A 1.06 1.00 1.84
90 Day U.S. Treasury Bill 3.80 13.92 -17.79 1.77 -1.06 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 0.96 1.00 1.83
90 Day U.S. Treasury Bill 3.56 10.80 -12.52 1.19 -0.96 N/A 0.00 0.01
Performance Review
As of September 30, 2020
Vanguard Infl-Protected Secs (VAIPX)
NONE
Page 39
Peer Group Analysis - IM Global Fixed Income (MF)
Comparative Performance
-2.00
0.00
2.00
4.00
6.00
8.00
10.00
12.00
ReturnQTR FYTD 1 YR 2 YR 3 YR 4 YR 5 YR
PIMCO Diversified Inc Fd Instl (PDIIX)2.73 (41)3.63 (72)3.63 (72)6.54 (44)N/A N/A N/A
Blmbg. Barc. Global Credit (Hedged)1.97 (68)5.26 (53)5.26 (53)8.01 (16)5.40 (7)4.81 (4)5.67 (3)
Median 2.41 5.39 5.39 6.13 3.74 3.10 3.94
-16.00
-12.00
-8.00
-4.00
0.00
4.00
8.00
12.00
16.00
20.00
ReturnOct-
2019
To
Sep-
2020
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
PIMCO Diversified Inc Fd Instl (PDIIX)3.63 (72)9.52 (19)N/A N/A N/A N/A
Blmbg. Barc. Global Credit (Hedged)5.26 (53)10.83 (12)0.39 (17)3.04 (27)9.19 (25)0.86 (18)
Median 5.39 7.65 -1.29 1.02 7.42 -3.85
1 QtrEndingJun-2020
1 QtrEndingMar-2020
1 QtrEndingDec-2019
1 QtrEndingSep-2019
1 QtrEndingJun-2019
1 QtrEndingMar-2019
PIMCO Diversified Inc Fd Instl (PDIIX)7.26 (30)-7.49 (83)1.66 (11)1.20 (46)3.59 (37)5.81 (1)
Blmbg. Barc. Global Credit (Hedged)7.60 (26)-4.95 (62)0.93 (33)2.36 (10)3.60 (36)4.71 (6)
IM Global Fixed Income (MF) Median 5.53 -3.19 0.73 1.04 3.37 3.10
Performance Review
As of September 30, 2020
PIMCO Diversified Inc Fd Instl (PDIIX)
NONE
Page 40
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 Rank12/15 6/16 12/16 6/17 12/17 6/18 12/18 6/19 12/19 9/20
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%)
3.30
3.85
4.40
4.95
5.50
6.05
Return (%)4.64 4.80 4.96 5.12 5.28 5.44 5.60 5.76 5.92
Risk (Standard Deviation %)
Return StandardDeviation
PIMCO Diversified Inc Fd Instl (PDIIX)N/A N/A
Blmbg. Barc. Global Credit (Hedged)5.40 5.72
Median 3.74 4.86¾
3.42
3.99
4.56
5.13
5.70
6.27
Return (%)4.80 4.85 4.90 4.95 5.00 5.05 5.10 5.15
Risk (Standard Deviation %)
Return StandardDeviation
PIMCO Diversified Inc Fd Instl (PDIIX)N/A N/A
Blmbg. Barc. Global Credit (Hedged)5.67 4.84
Median 3.94 5.09¾
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 0.65 1.00 4.20
90 Day U.S. Treasury Bill 5.81 12.43 -14.43 1.78 -0.65 N/A -0.02 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 0.91 1.00 3.40
90 Day U.S. Treasury Bill 4.91 9.19 -12.52 1.25 -0.91 N/A -0.01 0.01
Performance Review
As of September 30, 2020
PIMCO Diversified Inc Fd Instl (PDIIX)
NONE
Page 41
Peer Group Analysis - IM U.S. Open End Private Real Estate (SA+CF)
Comparative Performance
-7.00
-4.00
-1.00
2.00
5.00
8.00
11.00
14.00
ReturnQTR FYTD 1 YR 2 YR 3 YR 4 YR 5 YR
American Core RE -0.14 (81)1.62 (57)1.62 (57)4.18 (57)5.60 (53)6.08 (60)6.66 (65)
American Core RE Policy 0.57 (50)1.73 (50)1.73 (50)3.93 (68)5.53 (54)6.10 (58)6.99 (56)
Median 0.55 1.73 1.73 4.27 5.75 6.46 7.07
-8.00
-4.00
0.00
4.00
8.00
12.00
16.00
20.00
24.00
28.00
ReturnOct-2019
To
Sep-2020
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
American Core RE 1.62 (57)6.81 (52)8.50 (65)7.52 (63)9.04 (94)13.98 (68)
American Core RE Policy 1.73 (50)6.17 (72)8.82 (59)7.81 (56)10.62 (68)14.71 (61)
Median 1.73 6.89 9.04 8.05 11.32 15.45
1 QtrEndingJun-2020
1 QtrEndingMar-2020
1 QtrEndingDec-2019
1 QtrEndingSep-2019
1 QtrEndingJun-2019
1 QtrEndingMar-2019
American Core RE -1.23 (55)1.54 (31)1.46 (66)1.44 (71)1.53 (30)1.74 (72)
American Core RE Policy -1.27 (59)0.92 (67)1.53 (58)1.39 (75)1.34 (61)1.69 (76)
IM U.S. Open End Private Real Estate (SA+CF) Median -1.22 1.31 1.61 1.75 1.44 1.99
Performance Review
As of September 30, 2020
American Core RE
NONE
Page 42
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
American Core RE (%)3.0 6.0 9.0 12.0 15.0
American Core RE Policy (%)
Over
Performance
Under
Performance
0.0
25.0
50.0
75.0
100.0Return Percentile Rank12/15 6/16 12/16 6/17 12/17 6/18 12/18 6/19 12/19 9/20
Total Period 5-25
Count
25-Median
Count
Median-75
Count
75-95
Count
American Core RE 20 0 (0%)0 (0%)10 (50%)10 (50%)
American Core RE Policy 20 0 (0%)1 (5%)19 (95%)0 (0%)
5.44
5.52
5.60
5.68
5.76
5.84
Return (%)1.70 1.80 1.90 2.00 2.10 2.20 2.30 2.40 2.50
Risk (Standard Deviation %)
Return StandardDeviation
American Core RE 5.60 1.97
American Core RE Policy 5.53 1.86
Median 5.75 2.34¾
6.40
6.60
6.80
7.00
7.20
Return (%)1.60 1.80 2.00 2.20 2.40 2.60
Risk (Standard Deviation %)
Return StandardDeviation
American Core RE 6.66 1.81
American Core RE Policy 6.99 1.79
Median 7.07 2.40¾
TrackingError
UpMarketCapture
DownMarketCapture Alpha InformationRatio SharpeRatio Beta DownsideRisk
American Core RE 0.64 100.88 96.65 0.06 0.10 2.27 1.00 0.72
American Core RE Policy 0.00 100.00 100.00 0.00 N/A 2.26 1.00 0.74
90 Day U.S. Treasury Bill 1.66 28.54 -1.81 1.01 -2.26 N/A 0.12 0.00
Tracking
Error
Up
Market
Capture
Down
Market
Capture
Alpha Information
Ratio
Sharpe
Ratio Beta Downside
Risk
American Core RE 0.83 95.51 96.65 0.37 -0.37 3.00 0.90 0.55
American Core RE Policy 0.00 100.00 100.00 0.00 N/A 3.02 1.00 0.57
90 Day U.S. Treasury Bill 1.87 16.49 -1.81 1.29 -3.02 N/A -0.02 0.00
Performance Review
As of September 30, 2020
American Core RE
NONE
Page 43
Peer Group Analysis - IM U.S. Open End Private Real Estate (SA+CF)
Comparative Performance
-7.00
-4.00
-1.00
2.00
5.00
8.00
11.00
14.00
ReturnQTR FYTD 1 YR 2 YR 3 YR 4 YR 5 YR
Intercontinental 0.90 (24)4.41 (11)4.41 (11)6.34 (10)8.00 (10)8.95 (10)9.80 (15)
NCREIF Fund Index-OEDC (EW)0.57 (50)1.73 (50)1.73 (50)3.93 (68)5.53 (54)6.10 (58)6.99 (56)
Median 0.55 1.73 1.73 4.27 5.75 6.46 7.07
-8.00
-4.00
0.00
4.00
8.00
12.00
16.00
20.00
24.00
28.00
ReturnOct-2019
To
Sep-2020
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
Intercontinental 4.41 (11)8.32 (23)11.40 (11)11.82 (6)13.30 (22)13.96 (68)
NCREIF Fund Index-OEDC (EW)1.73 (50)6.17 (72)8.82 (59)7.81 (56)10.62 (68)14.71 (61)
Median 1.73 6.89 9.04 8.05 11.32 15.45
1 QtrEndingJun-2020
1 QtrEndingMar-2020
1 QtrEndingDec-2019
1 QtrEndingSep-2019
1 QtrEndingJun-2019
1 QtrEndingMar-2019
Intercontinental -0.02 (30)0.27 (81)3.22 (8)2.50 (19)1.45 (49)1.98 (52)
NCREIF Fund Index-OEDC (EW)-1.27 (59)0.92 (67)1.53 (58)1.39 (75)1.34 (61)1.69 (76)
IM U.S. Open End Private Real Estate (SA+CF) Median -1.22 1.31 1.61 1.75 1.44 1.99
Performance Review
As of September 30, 2020
Intercontinental
NONE
Page 44
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
4.0
8.0
12.0
16.0
20.0
Intercontinental (%)4.0 8.0 12.0 16.0 20.0
NCREIF Fund Index-OEDC (EW) (%)
Over
Performance
Under
Performance
0.0
25.0
50.0
75.0
100.0Return Percentile Rank12/15 6/16 12/16 6/17 12/17 6/18 12/18 6/19 12/19 9/20
Total Period 5-25
Count
25-Median
Count
Median-75
Count
75-95
Count
Intercontinental 20 11 (55%)9 (45%)0 (0%)0 (0%)
NCREIF Fund Index-OEDC (EW)20 0 (0%)1 (5%)19 (95%)0 (0%)
5.10
5.95
6.80
7.65
8.50
Return (%)1.70 1.80 1.90 2.00 2.10 2.20 2.30 2.40 2.50
Risk (Standard Deviation %)
Return StandardDeviation
Intercontinental 8.00 2.05
NCREIF Fund Index-OEDC (EW)5.53 1.86
Median 5.75 2.34¾
5.88
6.86
7.84
8.82
9.80
10.78
Return (%)1.54 1.76 1.98 2.20 2.42 2.64 2.86 3.08 3.30
Risk (Standard Deviation %)
Return StandardDeviation
Intercontinental 9.80 2.94
NCREIF Fund Index-OEDC (EW)6.99 1.79
Median 7.07 2.40¾
TrackingError
UpMarketCapture
DownMarketCapture Alpha InformationRatio SharpeRatio Beta DownsideRisk
Intercontinental 1.14 133.02 1.54 2.84 2.06 3.15 0.92 0.01
NCREIF Fund Index-OEDC (EW)0.00 100.00 100.00 0.00 N/A 2.26 1.00 0.74
90 Day U.S. Treasury Bill 1.66 28.54 -1.81 1.01 -2.26 N/A 0.12 0.00
Tracking
Error
Up
Market
Capture
Down
Market
Capture
Alpha Information
Ratio
Sharpe
Ratio Beta Downside
Risk
Intercontinental 2.13 134.25 1.54 1.72 1.26 2.72 1.14 0.01
NCREIF Fund Index-OEDC (EW)0.00 100.00 100.00 0.00 N/A 3.02 1.00 0.57
90 Day U.S. Treasury Bill 1.87 16.49 -1.81 1.29 -3.02 N/A -0.02 0.00
Performance Review
As of September 30, 2020
Intercontinental
NONE
Page 45
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:$3,055,050
Management Fees:$58,525
Expenses:$198,669
Interest:-
Total Contributions:$3,055,050
Remaining Capital Commitment:$182,930
Total Distributions:$2,408,510
Market Value:$1,120,876
Inception Date:10/14/2014
Inception IRR:7.0
TVPI:1.2
Cash Flow Analysis
Net Asset Value Distribution Contributions
$0.0
$806,000.0
$1,612,000.0
$2,418,000.0
$3,224,000.0
$4,030,000.0
($806,000.0)
10/14 4/15 10/15 4/16 10/16 4/17 10/17 4/18 10/18 4/19 10/19 4/20 9/20
Private Equity Fund Overview
Crescent Direct Lending Fund
As of September 30, 2020
Page 46
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:$1,882,413
Management Fees:$11,301
Expenses:$14,720
Interest:-
Total Contributions:$1,882,413
Remaining Capital Commitment:$310,356
Total Distributions:$315,217
Market Value:$1,702,265
Inception Date:03/13/2018
Inception IRR:5.5
TVPI:1.1
Cash Flow Analysis
Net Asset Value Distribution Contributions
$0.0
$520,000.0
$1,040,000.0
$1,560,000.0
$2,080,000.0
$2,600,000.0
($520,000.0)
3/18 6/18 9/18 12/18 3/19 6/19 9/19 12/19 3/20 6/20 9/20
Private Equity Fund Overview
Crescent Direct Lending II Fund
As of September 30, 2020
Page 47
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
Sep-2020
Russell 3000 Index 50.00
MSCI AC World ex USA (Net)15.00
Bloomberg Barclays Intermed Aggregate Index 15.00
Credit Suisse Leveraged Loan Index 4.00
Blmbg. Barc. U.S. TIPS 1-5 Year 3.00
Blmbg. Barc. Global Credit (Hedged)3.00
NCREIF Fund Index-Open End Diversified Core (EW)10.00
American Core Realty Policy
Allocation Mandate Weight (%)
Oct-2007
NCREIF Property Index 100.00
Oct-2010
NCREIF Fund Index-Open End Diversified Core (EW)100.00
Vanguard 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
Benchmark History
Investment Policy Benchmarks
As of September 30, 2020
Page 48
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
Sep-2020
Russell 3000 Index 77.00
MSCI AC World ex USA (Net)23.00
Domestic Equity Securities Policy
Allocation Mandate Weight (%)
Jan-1926
S&P 500 Index 100.00
Oct-2009
Russell 3000 Index 100.00
Foreign Equity Policy
Allocation Mandate Weight (%)
Nov-2000
MSCI EAFE Index 100.00
Sep-2020
MSCI AC World ex USA (Net)100.00
Benchmark History
Investment Policy Benchmarks
As of September 30, 2020
Page 49
Total Fixed Policy
Allocation Mandate Weight (%)
Nov-2000
Blmbg. Barc. U.S. Aggregate Index 100.00
Sep-2006
Bloomberg Barclays Intermed Aggregate Index 100.00
Sep-2020
Bloomberg Barclays Intermed Aggregate Index 60.00
Credit Suisse Leveraged Loan Index 16.00
Bloomberg Barclays U.S. TIPS Index 12.00
Blmbg. Barc. Global Credit (Hedged)12.00
Broad Mkt Fixed Income
Allocation Mandate Weight (%)
Nov-2000
Blmbg. Barc. U.S. Aggregate Index 100.00
Sep-2006
Bloomberg Barclays Intermed Aggregate Index 100.00
Non-Core Fixed Policy
Allocation Mandate Weight (%)
Oct-2014
Credit Suisse Leveraged Loan Index 100.00
Dec-2016
Credit Suisse Leveraged Loan Index 50.00
Bloomberg Barclays U.S. TIPS Index 50.00
Mar-2018
Credit Suisse Leveraged Loan Index 41.00
Bloomberg Barclays U.S. TIPS Index 20.00
Blmbg. Barc. Global Credit (Hedged)39.00
Sep-2020
Credit Suisse Leveraged Loan Index 40.00
Bloomberg Barclays U.S. TIPS Index 30.00
Blmbg. Barc. Global Credit (Hedged)30.00
Benchmark History
Investment Policy Benchmarks
As of September 30, 2020
Page 50
Compliance ChecklistTotal FundAs of September 30, 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 market.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/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 and five year down-market capture ratio less than the index.Yes No N/A 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 and five year down-market capture ratio less than the index.VG Short BDIntercontinental PIMCOManager Compliance:Vanguard Infl-prot.American REManager Compliance:Vanguard Total VG Value RBC Global GalliardBrandywinePage 51
Estimated
Annual Fee
(%)
Market Value
($)
Estimated
Annual Fee
($)
Fee Schedule
Vanguard Total Stock Market (VITSX)0.03 16,427,142 4,928 0.03 % of Assets
Brandywine GLBL Dynamic (LMBGX)0.65 7,302,966 47,469 0.65 % of Assets
Vanguard Value Index Fund (VIVIX)0.04 7,333,455 2,933 0.04 % of Assets
Domestic Equity Securities 0.18 31,063,563 55,331
RBC Global (Voyageur)0.95 7,640,240 72,582 0.95 % of Assets
Foreign Equity Securities 0.95 7,640,240 72,582
Galliard Core Fixed Income 0.25 5,429,323 13,573 0.25 % of Assets
Vanguard Inflation-Protected Secs (VAIPX)0.10 2,870,558 2,871 0.10 % of Assets
Vanguard Short Term Bond Index (VSCSX)0.07 18,779 13 0.07 % of Assets
PIMCO Diversified Income Fund Instl (PDIIX)0.79 1,879,490 14,848 0.79 % of Assets
Crescent Direct Lending Fund 1.35 1,120,876 15,132 1.35 % of Assets
Crescent Direct Lending II Fund 0.75 1,702,265 12,767 0.75 % of Assets
Total Fixed Income 0.45 13,021,291 59,204
Intercontinental 1.10 3,662,764 40,290 1.10 % of Assets
American Core Realty Fund 1.10 1,925,600 21,182 1.10 % of Assets
Direct Real Estate 1.10 5,588,364 61,472
Receipt & Disbursement 515,204 -
Total Fund 0.43 57,828,662 248,589
Winter Springs General Employees General Plan and Trust
Fee Analysis
As of September 30, 2020
Page 52
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 September 30, 2020
Page 53
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 54
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 55
CHICAGO | CLEVELAND | DALLAS | DETROIT | ORLANDO | PITTSBURGH | RENOClients first.