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HomeMy WebLinkAbout2014 02 11 Regular 603 Alternative Investments - Part I Winter Springs General Employees General Plan and Trust Asset Allocation Funds Dave West, CFA 1st Quarter 2014 \ THE BOGDAHN GROUP vii'W W.B O G D A H r G R O U P.C O M simplifying your investment and fiduciary decisions Table of Contents Introduction to Global Tactical Allocation Strategies 2 Introduction to Evaluation 4 Investment Option Comparison 5 Investment Option Allocations 6 Fund Prospectus Narratives 7 Performance Evaluation 12 I Introduction to Global Tactical Asset Allocation Definition: ■ Global Tactical Asset Allocation (GTAA) is an investment strategy that attempts to exploit short- term market inefficiencies or long-term market trends by establishing positions in relatively attractive areas of the global investable universe. GTAA is a satellite investment strategy that can quickly implement investment ideas to help tilt a portfolio for near-term opportunities or to preserve capital during market declines. Objective: ■ Absolute return focus or combination of absolute return and target volatility Background: ■ Investors have attempted to time the market as long as they have been buying and selling securities; however, strong academic interest in stock market predictability only began in the 1970s as investors sought to understand whether it made sense to try to time the market. Benefits: ■ Quick implementation of investment ideas. ■ Broad diversification ■ Can fund without large minimum investments 2 Investments in Global Tactical Asset Allocation Global Tactical Asset Allocation Traditional Non Traditional Global Equities Shorting CUS Equities e Futures Depending on strategy, CIntEquities a� Forwards investment approaches may C Markets G diversify across asset C REITs Options classes, sectors, countries, Global Fixed 1 Swaps Income J currencies, commodities, Mutual Funds instruments and capital C US Core CInternatire ona ETFs structure. Co CHigh Yield G Alpha Overlay C Emi Markets Markey Neutral Currencies , Multi St ate FunP Hedge Commodities Capital Structure Arbitrage 3 Introduction to Evaluation Purpose for the Evaluation: ■ Adds diversification and improves the opportunity for an attractive total return while dampening volatility. ■ Increased opportunity for capital appreciation relative to bond-only strategies. ■ Flexibility adjusting asset allocations as market conditions change, an approach allowing for a liquid, diversified, low fee structure. ■ Balances risk, return, and income. Investment Options: ■ BlackRock Multi-Asset Income Fund (BIICX) ■ John Hancock Alternative Asset Allocation Fund (JAAIX) ■ PIMCO All Asset Fund (PAAIX) ■ Westwood Income Opportunity Fund (WHGIX) 4 Investment Option Comparison BlackRock John Hancock PIMCO Westwood Strategy Inception: 4/7/2008 1/2/2009 7/31/2002 1/1/2003 Strategy Vehicle: Mutual Fund Mutual Fund Mutual Fund Mutual Fund Liquidity: Daily Daily Daily Daily Ticker Symbol: BIICX JAAIX PAAIX WHGIX Net Expense Ratio: 0.55% 1.36% 0.88% 0.86% Total Assets($M): $5,900 $885 $33,100 $1,700 Implementation: Direct Investment Fund of Funds Fund of Funds Direct Investment Management Team: Michael Fredericks Robert Boyda Rob Arnott Mark Freeman, CFA Peter Wilke Steven Medina, CFA Todd Williams, CFA Philip Brides Marcelle Daher, CFA Justin Christofel Nathan Thooft,CFA Benchmark: 50%MSCI World 100%MSCI WORLD 100%Barclays 1-10 25%S&P 500 50%Barclays US Agg Yr.TIPS 25%NAREIT 25%90 Day T-Bill 25%10 Yr.Treasury Target Return: Outperform 6%Above 90 Day 5%Above CPI Outperform Benchmark T-Bill Benchmark Yield TTM 4.61% 2.06% 4.9% 1.27% 5 ■\'Y, Investment Option Allocations BlackRock John Hancock PIMCO Westwood Cash: 1.47 29.86 -24.72 22.82 US Stock: 7.99 21.04 1.03 53.27 Non US Stock: 17.10 10.43 1.29 2.45 Bond: 53.36 26.91 95.11 13.8 Other: 20.08 11.76 27.30 7.67 100% 80% 60% 40% 20% 0% -20% BlackRock John Hancock PIMCO Westwood •Cash US Stock •Non US Stock Bond •Other }}}��� 6 �l`._, Blackrock Multi-Asset Income Fund Principal Investment Strategy of the Fund: The Fund may invest up to 80%of its assets in equity securities and up to 100%of its assets in fixed income securities.The Fund may also invest significantly in BlackRock equity and/or fixed income mutual funds ("underlying funds") and affiliated and unaffiliated exchange traded funds("ETFs"). With respect to the Fund's equity investments, the Fund, underlying funds and ETFs may invest in common stock, preferred stock, securities convertible into common and preferred stock and non-convertible preferred stock. The Fund generally intends to invest in dividend paying stocks. From time to time,the Fund may invest in shares of companies through initial public offerings("IPOs").The Fund may invest in securities of both U.S. or non-U.S. issuers without limit,which can be U.S. dollar based or non-U.S. dollar based and may be currency hedged or unhedged.The Fund may invest in securities of companies of any market capitalization. With respect to the Fund's fixed income investments,the Fund may invest in underlying funds,ETFs or individual fixed income securities to an unlimited extent.The Fund, underlying funds and ETFs may invest in a portfolio of fixed income securities such as corporate bonds and notes, mortgage-backed securities, asset-backed securities, convertible securities, preferred securities and government obligations. The Fund, underlying funds and ETFs may also invest significantly in non-investment grade bonds (high yield, junk bonds or distressed securities), non-investment grade bank loans, non-dollar denominated bonds and bonds of emerging market issuers. The Fund's, underlying funds'and ETFs'investment in non-dollar denominated bonds may be on a currency hedged or unhedged basis.Non-investment grade bonds acquired by the Fund, underlying funds or ETFs will generally be in the lower categories of the major rating agencies at the time of purchase(BB or lower by Standard &Poor's,a division of the McGraw Hill Companies("S&P")or Ba or lower by Moody's Investors Services, Inc.("Moody's"))or will be determined by the management team to be of similar quality.Split rated bonds will be considered to have the higher credit rating. The average portfolio duration of the Fund will vary based on the management team's forecast of interest rates and there are no limits regarding portfolio duration or average maturity Blackrock Multi-Asset Income Fund Cont. Principal Investment Strategy of the Fund Cont.: The Fund may,when consistent with its investment objective, buy or sell options or futures on a security or an index of securities,or enter into total return swaps and foreign currency transactions(collectively,commonly known as derivatives).The Fund typically uses derivatives as a substitute for taking a position in the underlying asset and/or as part of a strategy designed to reduce exposure to other risks,such as currency risk. The Fund may also use derivatives to enhance return (for example, by enhancing yield to the Fund in the form of distributions), in which case their use may involve leveraging risk.The Fund may seek to obtain market exposure to the securities in which it primarily invests by entering into a series of purchase and sale contracts or by using other investment techniques (such as reverse repurchase agreements or dollar rolls). The underlying funds and ETFs may, to varying degrees, also invest in derivatives. The Fund may also engage in option writing to generate additional income in the portfolio. The Fund may invest in master limited partnerships("MLPs")that are generally in energy-related industries and in U.S. and non-U.S. real estate investment trusts("REITs"),structured products and floating rate securities(such as bank loans). The Fund may incorporate a proprietary volatility control process that seeks to reduce risk when market volatility is expected to exceed normal ranges. The Fund may allocate assets without limitation into cash or short-term fixed income securities, and away from riskier assets such as equity and high yield fixed income securities.When volatility decreases,the Fund may move assets out of cash and back into riskier securities.The Fund may,at times,invest significantly in cash. The Fund may engage in active and frequent trading of portfolio securities to achieve its primary investment strategies. The Fund is a non-diversified portfolio under the Investment Company Act of 1940,as amended(the"Investment Company Act"). 8 John Hancock Alternative Asset Allocation Fund Principal Investment Strategy of the Fund: The fund seeks to achieve its objective by investing in "alternative asset classes."The fund invests in other funds as well as other types of investments as described below. The fund allocates its assets among other funds in the John Hancock Funds complex and other investment companies, including exchange- traded funds(ETFs)(collectively,underlying funds),that emphasize alternative or nontraditional asset categories or investment strategies such as international small-cap stocks, emerging-market equity, commodities, market neutral (long/short), global real estate, natural resources, TIPS (Treasury Inflation-Protected Securities), global bonds, high yield, bank loans, foreign currency trading strategies, absolute return strategies, managed futures, arbitrage strategies,tactical investment strategies, and emerging-market debt. In addition, the fund may also directly invest in exchange-traded notes(ETNs). The fund may use a portion of its assets to employ a market neutral (long/short) strategy by simultaneously purchasing a security and entering into a short sale on the security. The fund operates as a fund of funds and may invest in underlying funds and in other types of investments as described below.The fund may purchase any underlying funds except other funds of funds.When purchasing shares of other John Hancock funds,the fund only purchases NAV shares(which are not subject to Rule 12b-1 fees). 9 PIMCO All Asset Fund Principal Investment Strategy of the Fund: The Fund seeks to achieve its investment objective by investing under normal circumstances substantially all of its assets in Institutional Class or Class M shares of any funds of the Trust or PIMCO Equity Series,an affiliated open-end investment company,except other funds of funds,or shares of any actively-managed funds of the PIMCO ETF Trust,an affiliated investment company(collectively, "Underlying PIMCO Funds").The Fund invests its assets in shares of the Underlying PIMCO Funds and does not invest directly in stocks or bonds of other issuers. Research Affiliates, LLC, the Fund's asset allocation sub-adviser, determines how the Fund allocates and reallocates its assets among the Underlying PIMCO Funds.In doing so,the asset allocation sub-adviser seeks concurrent exposure to a broad spectrum of asset classes. The Fund may invest in any or all of the Underlying PIMCO Funds, but will not normally invest in every Underlying PIMCO Fund at any particular time.The Fund's investment in a particular Underlying PIMCO Fund normally will not exceed 50%of its total assets.The Fund will not invest in the Short Strategy Underlying PIMCO Funds, which seek to gain a negative exposure to an asset class such as equities or commodities. The Fund's combined investments in the Equity-Related Underlying PIMCO Funds will not exceed 50% of its total assets. In addition, the Fund's combined investments in Inflation-Related Underlying PIMCO Funds, which seek to gain exposure to an asset class such as U.S. Treasury Inflation-Protected Securities("TIPS"),commodities,or real estate,normally will not exceed 75%of its total assets. The Fund's assets are not allocated according to a predetermined blend of shares of the Underlying PIMCO Funds. Instead, when making allocation decisions among the Underlying PIMCO Funds,the Fund's asset allocation sub-adviser considers various quantitative and qualitative data relating to the U.S. and foreign economies and securities markets. Such data includes projected growth trends in the U.S. and foreign economies, forecasts for interest rates and the relationship between short-and long-term interest rates (yield curve), current and projected trends in inflation,relative valuation levels in the equity and fixed income markets and various segments within those markets,the outlook and projected growth of various industrial sectors, information relating to business cycles, borrowing needs and the cost of capital, political trends, data relating to trade balances and labor information.The Fund's asset allocation sub-adviser has the flexibility to reallocate the Fund's assets among any or all of the asset class exposures represented by the Underlying PIMCO Funds based on its ongoing analyses of the equity,fixed income and commodity markets.While these analyses are performed daily, material shifts in asset class exposures typically take place over longer periods of time.The Fund is non-diversified,which means that it may invest its assets in a smaller number of issuers than a diversified fund. The Fund is a"fund of funds,"which is a term used to describe mutual funds that pursue their investment objective by investing in other mutual funds.In addition to investing in the Underlying PIMCO Funds,at the discretion of Pacific Investment Management Company LLC("PIMCO")and without shareholder approval,the Fund may invest in additional Underlying PIMCO Funds created in the future. 10 �-\ Westwood Income Opportunity Fund Principal Investment Strategy of the Fund: Under normal circumstances, the Fund seeks to meet its investment objective by investing generally more than 80% of its assets in dividend-paying and/or interest-bearing securities.The Fund seeks to invest in securities of companies with strong and improving cash flow sufficient to support a sustainable or rising income stream for investors. In selecting securities for the Fund,the Adviser chooses among a diversified group of income-producing asset classes. Equity securities may include dividend-paying common stocks, preferred stocks, and convertible securities. Fixed income securities may include bonds and other debt securities, and money market instruments. Other types of income-producing securities may include interests in royalty trusts and master limited partnerships ("MLPs"),securities of real estate investment trusts("REITs"),and shares of exchange-traded funds("ETFs").The Fund generally invests in securities of domestic companies, but may also invest in securities of foreign companies and American Depositary Receipts("ADRs").In the event the Fund invests in foreign securities and ADRs, the Adviser expects that the Fund's investments in such securities would normally represent less than 25% of the Fund's assets. The Fund is permitted to invest in companies of any capitalization range. The Fund's fixed income investments are, in the aggregate, of investment grade (i.e., those rated in one of the three highest rating categories by a rating agency), but may at times include securities rated below investment grade(high yield or"junk"bonds). In addition,the Fund's fixed income securities may include unrated securities, if deemed by the Adviser to be of comparable quality to investment grade. The Fund seeks to provide a higher level of current income than that offered by traditional fixed income products such as U.S.government bonds and money market securities.The Adviser's investment process incorporates relative value analysis among capital instruments, as well as among asset classes,to determine where downside potential can be limited to achieve the goal of generating an attractive level of current income. Key metrics for evaluating the risk/return profile of an investment may include strong free cash flow,an improving return on equity,a strengthening balance sheet and,in the case of common equities,positive earnings surprises without a corresponding change in the stock price.The Adviser has disciplines in place that serve as sell signals,such as a security reaching a predetermined price target,a change to a company's fundamentals that make the risk/return profile unattractive,or a need to improve the overall risk/return profile of the Fund. 11 , 13 Trailing Returns&Peer Group Analysis Investment Strategy Review As of December 31,2013 Peer Group Analysis 38.0 35.0••• 32.0 29.0••• 26.0 23.0••• 20.0 17.0 E 14.0... • 0 • re 11.0 • • • • • Eli 8.0... • 5.0... • • • 2.0 O III IM 1.0... 7.0 -10.0 QTR 1 YR 3 YR 4 YR 5 YR • PIMCO:AlI Asset;lnst(PAAIX) 1.30 (65) 0.77 (66) 6.02 (50) 7.89 (57) 10.75 (62) • WW Income Oppty;Inst(WHGIX) 4.32 (34) 14.49 (30) 9.80 (17) 10.78 (27) 11.06 (58) • BlackRock:MIt-A Inc;I(BIICX) 4.17 (34) 9.45 (34) 9.26 (21) 10.05 (34) 12.93 (46) • J Hancock II:AIt AII;A(JAAAX) 1.53 (64) 3.98 (54) 3.41 (74) 5.49 (80) N/A • 60 MSC!World/40 Citigroup World 4.37 (33) 13.90 (30) 7.88 (33) 8.36 (51) 10.44 (66) 5th Percentile 9.58 32.98 11.78 13.92 17.68 1st Quartile 5.18 17.08 8.79 10.87 14.80 Median 2.11 4.56 6.02 8.51 12.22 3rd Quartile 0.67 -1.12 3.36 6.08 9.34 95th Percentile -1.02 -6.80 -0.83 2.22 2.50 12 1j Calendar Returns&Peer Group Analysis Investment Strategy Review As of December 31,2013 Peer Group Analysis 59.7 50.0 40.0 30.0 0 O 20.0 O • C000 10.0 • Immo iiio Of 11 0.0 emilM MI. • -10.0 • -20.0 • -30.0 -40.0 -50.0 2013 2012 2011 2010 2009 2008 • PIMCO:AII Asset;lnst(PAAIX) 0.77 (66) 15.44 (19) 2.44 (25) 13.68 (41) 22.99 (62) -15.48 (12) • WW Income Oppty;Inst(WHGIX) 14.49 (30) 7.95 (69) 7.10 (4) 13.77 (39) 12.18 (95) -4.58 (3) • BlackRock:Mlt-A Inc;l(BIICX) 9.45 (34) 13.43 (32) 5.07 (10) 12.46 (59) 25.23 (55) N/A • J Hancock I I:AIt AII;A(JAAAX) 3.98 (54) 8.91 (61) -2.36 (71) 11.98 (67) N/A N/A • 60 MSCI World/40 Citigroup World 13.90 (30) 10.56 (50) -0.31 (51) 9.83 (79) 19.16 (78) -22.70 (36) 5th Percentile 32.98 21.89 6.37 19.18 46.73 -8.08 1st Quartile 17.08 14.40 2.35 15.55 36.12 -20.85 Median 4.56 10.52 -0.30 12.99 27.57 -27.50 3rd Quartile -1.12 6.42 -3.38 10.41 19.34 -33.89 95th Percentile -6.80 1.27 -9.80 3.52 11.17 -39.67 13 l Growth of$1 Investment Strategy Review Since Inception Ending December 31,2013 PIMCD:AII Asset;lnst(PAAIX) $2.06 $2.00 $1.90 $tss $1.81 $1.80 $1.77 $1.72 $1.70 $iss $1.60 \ / � $1.50 ii000111101,1111111111IP\VVV $1.40 $1.30 $1.20 $1.10 $1.00 $0.90 $0.80 1/09 4/09 7/09 10/09 1/10 4/10 7/10 10/10 1/11 4/11 7/11 10/11 1/12 4/12 7/12 10/12 1/13 4/13 7/13 10/1312/13 — PIMCO:AII Asset;Inst(PAAIX) —WW Income Oppty;Inst(WHGIX) — BlackRock:MIt-A Inc;I(BIICX) —J Hancock II:AIt AII;A(JAAAX) —60 MSCI World/40 Citigroup World 14 Up/Down Markets Investment Strategy Review 4 Years Ending December 31,2013 Up/Down Markets Full Period Return Quarters Benchmark Up(12) Quarters Benchmark Down(4) Portfolio Ahead Portfolio Behind Portfolio Ahead Portfolio Behind Portfolio Benchmark No.Quarters Avg Ahead No.Quarters Avg Behind No.Quarters Avg Ahead No.Quarters Avg Behind PIMCO:AII Asset;lnst(PAAIX) 7.89 8.36 4 1.07 8 -2.27 3 4.84 1 -3.51 WW Income Oppty;Inst(WHGIX) 10.78 8.36 3 3.39 9 -1.99 4 3.91 0 0.00 BlackRock:Mlt-A Inc;l(BIICX) 10.05 8.36 6 1.14 6 -1.72 3 3.02 1 -0.28 J Hancock II:AIt AII;A(JAAAX) 5.49 8.36 3 0.73 9 -2.32 3 2.27 1 0.00 60 MSCI World/40 Citigroup World 8.36 8.36 12 0.00 0 0.00 4 0.00 0 0.00 Up/Down Markets - 105.1 e 100.0 . re • N 90.0 • .. �j 80.0 d • Y A 70.0 G • 10.0 15.0 20.0 25.0 30.0 35.0 40.0 45.0 50.0 55.0 60.0 65.0 70.0 75.0 80.0 85.0 90.0 95.0 100.0 105.0 110.0 Down Market Capture Ratio eh) • PIMCO:All Asset;lnst(PAAIX) • WW Income Oppty;lnst(WHGIX) 0 BlackRock:Mlt-A Inc;l(BIICX) • J Hancock II:Alt All;A(JAAAX) • 60 MSCI World/40 Citigroup World Up Down Market Bar Chart 6.0 • 4.0- c � 2.0.. a tr 0.0 a MMMMM= d Q -4.0... -6.0 12 Up Quarters 4 Down Quarters • PIMCO:All Asset;lnst(PAAIX) • WW Income Oppty;Inst(WHGIX) • BlackRock:Mlt-A Inc;l(BIICX) • J Hancock II:Alt All;A(JAAAX) • 60 MSCI World/40 Citigroup World • 60 MSCI World/40 Citigroup World 15 1.414 Historical Statistics Investment Strategy Review As of December 31,2013 Risk/Reward Historical Statistics 4 Years Ending December 31,2013 II 7.0 6.0 5.0 4.0 2.0 1.0... IR A____=. I._ D.0 -1.0... PIMCO:All Asset;lnst(PAAIX) WW Income Oppty;lnst(WHGIX) BlackRock:Mit-A Inc;l(BIICX) J Hancock II:Alt All;A(JAAAX) 60 MSCI World/40 Citigroup • Alpha 3.63 6.27 4.20 -0.41 0.00 • Beta 0.50 0.52 0.68 0.70 1.00 • Sharpe Ratio 1.14 1.50 1.35 0.73 0.84 • Treynor 0.16 0.20 0.15 0.08 0.09 Risk/Reward Historical Statistics 3 Years Ending December 31,2013 Benchmark Relative Historical Statistics 3 Years Ending December 31,2013 5.9 7.1 I .,_ L r . 6.D 4.0 4.0 2.0 2.0 0.0 0.0 jiliML -2.0... . -2.0 _ - - - 60 MSCI PIMCO:All WW Income BlackRock: J Hancock 60 MSCI PIMCO:All WW Income BlackRock: J Hancock World/40 World/40 Asset;lnst Oppty;lnst Mit-A Inc;l II:Alt All;A Asset;Inst Oppty;Inst Mlt-AInc;I II:AltAII;A Citigroup (PAAIX) (WHGIX) (BIICX) (JAAAX) Citigroup (PAAIX) (WHGIX) (BIICX) (JAAAX) World World • Alpha 0.20 4.78 3.66 -1.29 0.00 • Actual 0.87 0.73 0.91 0.90 1.00 • Beta 0.74 0.63 0.69 0.60 1.00 • Information Ratio -0.44 0.28 0.30 -1.06 N/A • Sharpe Ratio 0.83 1.31 1.40 0.60 0.93 • R-Squared 0.76 0.53 0.84 0.81 1.00 • Treynor 0.08 0.15 0.13 0.06 0.08 • Tracking Error 4.22 5.96 3.74 4.26 0.00 16 1. Correlation Investment Strategy Review As of December 31,2013 Actual Correlation 12 Quarters Rolling Periods As of December 31,2013 1.0 1.0 J / \ ------------/ . ‘441111111 0.8 0.7 3/10 6/10 9/10 12/10 3/11 6/11 9/11 12/11 3/12 6/12 9/12 12/12 3/13 6/13 9/13 12/13 — PIMCO:AII Asset;Inst(PAAIX) —WW Income Oppty;Inst(WHGIX) — BlackRock:Mlt-A Inc;I(BIICX) —J Hancock II:AIt AII;A(JAAAX) — 60 MSCI World/40 Citigroup World Actual Correlation Matrix 4 Years Ending December 31,2013 PIMCO:All Asset;Inst(PAAIX) WW Income Oppty;Inst BlackRock:Mlt-A Inc;I(BIICX) J Hancock II:Alt All;A(JAAAX) 60 MSCI World/40 Citigroup ......_.-.. World PIMCO:AII Asset;Inst(PAAIX) 1.00 WW Income Oppty;Inst(WHGIX) 0.63 1.00 BlackRock:MIt-A Inc;I(BIICX) 0.76 0.84 1.00 J Hancock II:AIt AII;A(JAAAX) 0.74 0.69 0.91 1.00 60 MSCI World/40 Citigroup World 0.74 0.75 0.94 0.93 1.00 17 02-06-2014 Page 1 of 1 BlackRock Multi-Asset Income Instl BIICX Morningstar Analyst Rating Neutral NAV$ NAV Day Change% Yield TTM% Total Assets$Bil Status Min.Inv. Load Expenses Morningstar Rating'm Category Investment Style 11.11 4.-0.01 1-0.09 4.72 6.1 Open $2 None 0.55% ##### Tactical Allocation id Large Blend Growth of 10,000 04-07-2008-02-05-2014 3 Year Averaglitires 15 -Blackfock Multi-Asset Risk vs.Category -Avg ■ Income Instl:$14,321.47 (170) 10 -TacticalAllocation: Return vs.Category +Avg $11,675.16 (170) Low Avg High 2004 2005 2006 2007 2008 2009 2010 2011 2012 2013 YID 5 Pillars Process 0 Positive t Strategy Performance 0 Neutral The investment seeks to maximize current income with consideration for capital appreciation.The fund may invest up to 80%of People 0 Neutral its assets in equity securities and up to 100%of its assets in fixed income securities.It may also invest significantly in Black- Parent 0 Neutral Rock equity and/or fixed income mutual funds("underlying funds")and affiliated and unaffiliated exchange traded funds Price 0 Positive ("ETFs"(.The fund may invest in securities of both U.S.or non-U.S.issuers without limit,which can be U.S.dollar based or non- Rating Neutral U.S.dollar based and may be currency hedged or unhedged.It may invest in securities of companies of any market capitaliza- tion.The fund is non-diversified. Style Map AIIM Giant 0 Weighted Average Performance 02-05-2014 , of holdings ,.�■r Large YTD 1 Mo 1 Yr 3Yr Ann 5Yr Ann 10Yr Ann •of h ldings's stock =al Mid holdings Growth of 10,000 9,858 9,898 10,594 12,601 18,598 Fund -1.42 -1.02 5.94 8.01 13.21 Small +/-— Micro +/-Category 1.31 1.05 3.12 4.48 3.51 To Rank in Cat 31 34 33 10 14 Del Va Va l Core Core High Val Grw Grw #of Funds in Cat 270 270 252 173 97 40 Currency is displayed in USD Asset Allocation Top Holdings 12-31-2013 % % % Bench Cat Weight% Last Price Day Chg% 52 Week Range Net Short Long mark Avg • iShares iBoxx$High Yield Corporate 2.10 92.95 USD 0.36 T 88.27-96.30 Cash 1.47 0.86 2.34 0.01 9.12 Bd • US Stock 7.99 0.00 7.99 49.19 28.38 iShares US Preferred Stock 0.87 37.75 USD 0.03 T 36.63-41.09 • Non US Stock 17.10 0.00 17.10 26.27 12.88 Verizon Comms 6.55% 0.71 • Bond 53.36 0.00 53.36 20.42 43.37 0 Imperial Tobacco Group PLC 0.69 USD 0.50 T 2,053.70-2,455.00 Other 20.08 0.00 20.08 4.11 6.25 •0 GlaxoSmithKline PLC 0.60 USD 1.17 T 1,430.00-1,816.00 %Assets in Top 5 Holdings 4.96 Management Start Date O+Increase (9 Decrease 0 New to Portfolio Justin Christofel 2011-11-28 Michael Fredericks 2011-11-28 Top Sectors 12-31-2013 - Lutz-Peter Wilke 2011-11-28 Fund 3 Yr High 3 Yr Low Cat Avg •Fund •Cat Avg ® Consumer Defensive 22.17 22.17 20.11 8.96 ■■ • 0 Healthcare 14.22 14.22 8.73 12.36 ■ A Energy 13.96 26.03 13.96 9.44 ® Financial Services 12.09 12.09 5.50 17.25 • * Industrials 9.95 9.95 5.47 11.58 �• 0 10 20 30 40 Dividend and Capital Gains Distributions Distribution Distribution Long-Term Long-Term Return of Dividend Distribution Date NAV Capital Gain Short Gain Capital Income Total 2014-01-31 11.18 0.0000 0.0000 0.0000 0.0400 0.0400 2013-12-31 11.32 0.0000 0.0000 0.0000 0.0400 0.0400 2013-12-20 11.22 0.0000 0.0200 0.0000 0.0000 0.0200 2013-11-29 11.26 0.0000 0.0000 0.0000 0.0500 0.0500 2013-10-31 11.26 0.0000 0.0000 0.0000 0.0400 0.0400 ©2014 Morningstar.All Rights Reserved.Unless otherwise provided in a separate agreement,you may use this report only in the country in which its original distributor is based.Data as originally reported.The ^n nn7 n information contained herein is not represented or warranted to he accurate,correct,complete,or timely.This report is for information purposes only,and should not he considered a solicitation to buy or sell any security. M/ ,{LNINGSTA C Redistribution is prohibited without written permission.To order reprints,call+1312-696-6100.To license the research,call+1312-696-6869. ` ,III1 I1lllJJJ lll111 II 02-06-2014 Page 1 of 1 JHancock Alternative Asset Allocation I JAAIX Morningstar Analyst Rating NAV$ NAV Day Change% Yield TTM% Total Assets$Mil Status Min.Inv. Load Expenses Morningstar Rating1M Category Investment Style 14.72 4.0.00 10.00 2.05 928.4 Open $250,000 None 1.36% #### Multialternative ::: Large Growth 0,00012-31-2008-02-05-2014 3 Year Averagasures 25 -JHancock Alternative Asset Risk vs.Category Avg i 20 Allocation I:$17,641.71 (142) I 15 -S&P 500 TA USD: Return vs.Category +Avg Il $21,962.72 (142) �, 10 -Multialternative:$12,477.45 Low Avg High 2004 2005 2006 2007 2008 2009 2010 2011 2012 2013 YTD 5 Pillars Process Performance 02-05-2014 Performance YTD 1 Mo 1 Yr 3YrAnn 5YrAnn 10Yr Ann People Growth of 10,000 9,993 10,014 10,303 10,897 18,150 Parent Fund -0.07 0.14 3.03 2.91 12.66 Price +/-S&P 500 TR USD 5.03 4.37 -15.36 -9.65 -5.54 Rating - +/-Category 1.59 1.45 1.87 1.66 6.63 %Rank in Cat 16 17 33 35 #of Funds in Cat 384 384 269 142 92 5 Style Map Currency is displayed in USD Giant *Weighted Average of holdings Top Holdings 11-30-2013 �^ Large %Weight Last Price Day Chg% 52 Week Range ��J\ Mid •75%of fund's stock holdings 0 JHancock Absolute Return Currency 13.68 9.64 USD 0.00 4. 9.32-10.39 Small NAV 0 JHancock Global Absolute Ret Strats 13.47 11.03 USD 0.00 4. 10.68-11.26 Micro NAV 0 JHFunds2 Redwood NAV 11.40 11.20 USD 0.00 4. 10.87-11.47 Deep Core Core Core High 0 JHancock Short Duration Credit Opps 11.23 10.10 USD 0.00 4. 10.09-10.57 Val Val Grw Grw NAV 0 JHancock Global Income NAV 9.17 9.82 USD 0.00 4. 9.77-10.82 Asset Allocation %Assets in Top 5 Holdings 58.94 % % % Bench Cat 0Increase e Decrease stX New to Portfolio Net Short Long mark Avg Cash 29.86 6.64 36.50 3.53 32.20 • US Stock 21.04 6.97 28.01 38.25 18.36 Top Sectors 11-30-2013 liPir • Non US Stock 10.43 0.38 10.81 17.70 8.23 Fund 3 Yr High 3 Yr Low Cat Avg •Fund •Cat Avg • Bond 26.91 16.74 43.65 37.07 26.25 ■ Healthcare 18.37 18.37 7.18 10.22 • • Other 11.76 0.52 12.28 3.45 14.96 2 Technology 15.39 15.39 10.03 13.98 ■ • 0 Consumer Cyclical 13.72 13.96 11.29 13.82 ■ Iv Management ® Financial Services 12.05 12.05 8.35 14.25 ■ Start Date • A Energy 9.25 15.18 9.25 10.65 ■ Robert"Bob"Boyda 2010-01-01 0 10 15 20 Steve E.Medina 2010-01-01 Marcelle Daher 2013-05-15 Fund BMark Cat Avg •Fund •Cat Avg Nathan Thooft 2013-05-15 • Cash&Equivalents 45.05 8.65 19.52 ■ Government 23.89 68.60 21.49 ■ • Corporate 22.92 22.58 11.23 ■ ■ Securitized 4.37 0.18 2.22 ■ Other 3.75 0.00 45.54 ■ 0 15 30 45 60 Dividend and Capital Gains Distributions Distribution Distribution Long-Term Long-Term Return of Dividend Distribution Date NAV Capital Gain Short Gain Capital Income Total 2013-12-27 14.73 0.0700 0.0000 0.0000 0.3000 0.3700 2012-12-27 14.44 0.0200 0.0200 0.0000 0.2400 0.2800 2011-12-29 13.50 0.1300 0.0100 0.0000 0.3200 0.4600 ©2014 Morningstar.All Rights Reserved.Unless otherwise provided in a separate agreement,you may use this report only in the country in which its original distributor is based.Data as originally reported.The ^n nn7 n information contained herein is not represented or warranted to he accurate,correct,complete,or timely.This report is for information purposes only,and should not he considered a solicitation to buy or sell any security. I/ ,RN INOSTAR Redistribution is prohibited without written permission.To order reprints,call+1312-696-6100.To license the research,call+1312-696-6869. ` ,III1 I1lllJJJ lll111 II 02-06-2014 Page 1 of 2 PIMCO All Asset Instl PAAIX Morningstar Analyst Rating ©Gold NAV$ NAV Day Change% Yield TTM% Total Assets$Bil Status Min.Inv. Load Expenses Morningstar Rating'm Category Investment Style 11.91 4.0.01 1 0.08 4.96 32.8 Open $1 None 0.88% ,t,t,t World Allocation id Large Blend 1.10,000 02-05-2004-02-05-2014 3 Year Averag Mligasures 20 -PIMCO All Asset Instl: Risk vs.Category -Avg ■ 15 $18,642.22 (297) -Morningstar Moderate Return vs.Category Avg ■ 10 Target Risk:$19,337.90 (297) - WorldAllocation: Low Avg High $16,804.93 2004 2005 2006 2007 2008 2009 2010 2011 2012 2013 YID 5 Pillars Process 0 Positive Performance 02-05-2014 Performance 0 Positive YTD 1 Mo 1 Yr 3YrAnn 5YrAnn 10Yr Ann People 0 Positive Growth of 10,000 9,859 9,908 9,849 11,691 17,036 18,688 Parent 0 Positive Fund -1.41 -0.92 -1.51 5.35 11.24 6.45 Price 0 Positive +/-Morningstar Moderate 1.08 1.03 -9.66 -1.88 -1.13 -0.35 Rating ©Gold Target Risk +/-Category 1.48 1.32 -5.64 0.27 -0.85 -0.09 %Rank in Cat 21 18 81 48 65 41 Investment Strategy Al #of Funds in Cat 554 554 478 314 213 127 The investment seeks maximum real return,consistent with Currency is displayed in USD preservation of real capital and prudent investment manage- ment.The fund normally invests substantially all of its as- Top Holdings 09-30-2013 sets in Institutional Class or Class M shares of any funds of Weight% Last Price Day Chg% 52 Week Range the Trust or PIMCO Equity Series,an affiliated open-end in- 0 PIMCO Income Instl 10.47 12.39 USD 0.00 4. 12.02-12.83 vestment company,except other funds of funds,or shares of 0 PIMCO EM Fdmtl IndexPLUS AR Strat 9.96 8.79 USD 0.00 4. 8.30-10.44 any actively-managed funds of the PIMCO ETF Trust,an af- Instl filiated investment company.The fund's investment in a par- 0 PIMCO Emerging Local Bond Instl 7.34 8.97 USD 0.00 4. 8.86-11.24 ticular Underlying PIMCO Fund normally will not exceed 50% 0 PIMCO Emerging Markets Currency 7.21 9.96 USD 0.00 4. 9.86-10.76 Instl of its total assets.It is non diversified. 0 PIMCO Intl Fdmtl IdxPLUS AR Strat 6.27 11.66 USD 0.00 4. 10.69-13.46 Instl Styles Assets in Top 5 Holdings 41.24 Giant 0 Weighted Average 0+Increase O Decrease 0 New to Portfolio of holdings Large • •75%of fund's stock Mid holdings Top Sectors 09-30-2013 Small Fund 3 Yr High 3 Yr Low Cat Avg •Fund •Cat Avg ® Consumer Defensive 26.29 26.76 24.70 10.62 • Micro • ® Financial Services 25.03 30.12 21.14 16.54 ■ Deep Core Core Core High • Industrials 11.64 11.64 9.43 9.20 ■ Val Val Grw Grw • Technology 10.21 13.43 10.21 13.07 ■ • • A Energy 8.47 8.47 6.38 10.57 ■ Asset Allocation 0 10 20 30 40 % % % Bench Cat Net Short Long mark Avg Fund BMark Cat Avg •Fund •Cat Avg • Cash -24.72 69.04 44.32 4.04 17.78 Government 15.60 64.51 18.50 • • US Stock 1.03 0.35 1.37 27.67 25.40 Government Related 15.15 1.92 5.71 • • Non US Stock 1.29 0.06 1.35 31.11 31.73 Agency Mortgage-Backed 7.08 0.04 0.70 ■ • Bond 95.11 11.24 106.34 36.47 18.56 Non-Agency Residential MBS 3.46 0.01 2.75 " • Other 27.30 6.15 33.45 0.72 6.54 Asset-Backed 2.38 0.01 2.89 0 5 10 15 20 Management Start Date Robert D.Arnott 2002-07-31 ©2014 Morningstar.All Rights Reserved.Unless otherwise provided in a separate agreement,you may use this report only in the country in which its original distributor is based.Data as originally reported.The ^n nn7 n information contained herein is not represented or warranted to he accurate,correct,complete,or timely.This report is for information purposes only,and should not he considered a solicitation to buy or sell any security. M/ ,{LNINGSTA C Redistribution is prohibited without written permission.To order reprints,call+1312-696-6100.To license the research,call+1312-696-6869. ` ,III1 I1lllJJJ lll111 II 02-06-2014 Page 1 of 1 Westwood Income Opportunity Instl WHGIX Morningstar Analyst Rating p p Y Bronze NAV$ NAV Day Change°A Yield TTM°A Total Assets$Bil Status Min.Inv. Load Expenses Morningstar Rating'm Category Investment Style 13.58 4.-0.01 1-0.07 1.28 1.7 Open $100,000 None 0.86% ### Moderate Allocation;;; Large Blend 0,00012-19-2005-02-05-2014 3 Year Average_tgasures 20 -Westwood Income Risk vs.Category Low 15 Opportunity Instl: (739) $17.773.57 Return vs.Category Avg 10 -Morningstar Moderate (739) Target Risk:$16,357.26 Low Avg High Moderate Allocation: $14,751.48 2004 2005 2006 2007 2008 2009 2010 2011 2012 2013 YTD 5 Pillars Process 0 Positive Performance 02-05-2014 Performance 0 Positive YTD 1 Mo 1 Yr 3YrAnn 5YrAnn 10Yr Ann People 0 Positive Growth of 10,000 9,812 9,862 10,811 12,803 16,703 Parent 0 Neutral Fund -1.88 -1.38 8.11 8.59 10.81 Price 0 Neutral +/-Morningstar Moderate 0.61 0.57 -0.04 1.35 -1.56 Rating E,Bronze Target Risk +/-Category 0.89 0.84 -1.24 1.28 -2.10 %Rank in Cat 8 6 71 26 90 Style Map #of Funds in Cat 933 933 875 739 671 430 Currency is displayed in USD Large Giant *Weighted Average ,■a.' of holdings !Top Holdings 12-31-2013 •75%offund's stock Weight% Last Price Day Chg% 52 Week Range ,=� Mid holdings 0 General Electric Co 2.46 24.95 USD 1.75 T 21.11 -28.09 ■■■ Small 0 Novartis AG ADR 2.45 79.22 USD 0.85 T 66.65-82.02 Micro 0 Johnson&Johnson 2.43 88.75 USD 1.68 T 74.52-95.99 0 General Mills,Inc. 2.26 47.66 USD 41.96-53.07 Deep Core Core Core High 0.63 T Val Val Grw Grw 0 Jpmorgan Chase Pfd 2.20 21.32 USD 0.28 T 19.94-26.49 Assets in Top 5 Holdings 11.79 Asset Allocation III O+Increase (9 Decrease 0 New to Portfolio Asset Class %Net CA • Cash 22.82 7 Top Sectors 12-31-2013 T • US Stock 53.27 Fund 3 Yr High 3 Yr Low Cat Avg •Fund •Cat Avg • Non US Stock 2.45 ■ A Energy 27.32 30.80 27.32 9.88 ■ • Bond 13.80 • 0 Healthcare 13.11 13.11 10.51 12.37 ■ • Other 7.67 • ® Financial Services 11.24 11.24 2.24 16.34 ■ 0 Industrials 10.90 10.90 6.45 12.29 ■• ® Consumer Defensive 9.97 10.47 9.97 9.05 ■ 0 10 20 30 40 Management Start Date Fund BMark Cat Avg •Fund •Cat Avg Mark R.Freeman 2005-12-19 Government-Related 8.82 2.91 7.25 Todd L.Williams 2005-12-19 Government 3.74 71.91 19.52 Agency Mortgage-Backed 0.42 0.09 13.16 • Non-Agency Residential MBS 0.00 0.01 2.43 • Commercial MBS 0.00 0.02 1.39 0 5 10 15 20 Dividend and Capital Gains Distributions -N Distribution Distribution Long-Term Long-Term Return of Dividend Distribution Date NAV Capital Gain Short Gain Capital Income Total 2013-12-30 13.83 0.0000 0.0000 0.0000 0.0200 0.0200 2013-12-12 13.50 0.0200 0.0000 0.0000 0.0000 0.0200 2013-09-27 13.34 0.0000 0.0000 0.0000 0.0500 0.0500 2013-06-27 13.32 0.0000 0.0000 0.0000 0.0500 0.0500 2013-03-27 13.20 0.0000 0.0000 0.0000 0.0600 0.0600 ©2014 Morningstar.All Rights Reserved.Unless otherwise provided in a separate agreement,you may use this report only in the country in which its original distributor is based.Data as originally reported.The ^n nn7 n information contained herein is not represented or warranted to he accurate,correct,complete,or timely.This report is for information purposes only,and should not he considered a solicitation to buy or sell any security. I/ ,RN INOSTAR Redistribution is prohibited without written permission.To order reprints,call+1312-696-6100.To license the research,call+1312-696-6869. ` ,III1 I1lllJJJ lll111 II P I M C 0 Tactical Opportunities Fund ("Tac OppsII) Your Global Investment Authority PIMCO Funds ALTERNATIVES AS OF: 31 DECEMBER 2013 Fund profile Fund AUM $307 million Long exposure' $480 million Fund description Short exposure $200 million An opportunistic credit strategy seeking to capitalize on dislocations across global credit markets, Net exposure' $280 million with a current focus on opportunities within the structured credit markets. PIMCO believes that the structured credit markets(and, in particular, mortgage-related credit assets)are uniquely Portfolio composition(gross) attractive due to global deleveraging, re-regulation, ratings dysfunction, U.S. housing policy and bifurcated policy responses among global central banks.•Other, 10% Performance(net of fees) Agency, RMBS,31% 1 month 3 months 6 months YTD SI 14% Tactical Opportunities Fund(%)2 0.10 1.99 3.65 14.77 14.77 Euro, 16% U.S. Market commentary Commercial, 29% Global structured credit market prices ended the month of December modestly higher, capping off Portfolio attribution a strong year of performance for the sector. During the month the Federal Reserve announced its MTD YTD intent to begin tapering its purchase program, a policy that has contributed to the multi-year rally Sector (bps) (bps) in global risk assets. Market reaction to the announcement was subdued, as the move was U.S.Residential: 21 821 RMBS 41 895 already largely p riced in. Market activity was largely muted during December, particularly in the Collateral Themes 15 188 last two weeks of the year. Early in the month the Dutch State Treasury auctioned $3 billion in Housing Recovery 9 414 U.S. Residential Mortgage Backed Securities(RMBS),which traded aggressively given strong ABS Reps DOWarranties 10 7 173 120 investor demand. Prospectively, PIMCO believes further institutional deleveraging will create Agency 2 43 ongoing attractive opportunities. Strategy Level Hedges -22 -117 U.S.Commercial: -2 267 CMBS -11 162 RMBS prices were flat to modestly higher during the month amidst muted trading volumes,which CRE CDO 13 123 slowed to less than 10%of the year-to-date weekly average during the last week of the year. Whole Strategy Level Hedges -8 -26 Collateral performance was mixed, as default rates remained low while delinquencies and European Structured Credit3 -11 179 severities rose. Severities in subprime collateral reached an 18-month high due to fewer short Other-Corporates 2 102 Other o 108 sales,which typically have lower losses than REOs, and a higher percentage of judicial state Total 10 1477 liquidations,which often have longer liquidation timelines and thus higher costs. House prices continued their upward trend, rising 1.1% in October(reported on a two month lag)and 13.6% Fund information over the previous twelve months, as measured by the Case Shiller 20-city composite.While the Inception date 1 February 2013 outlook for housing remains positive as the macroeconomic recovery continues,the pace of home Category Hybrid opportunistic fund price appreciation(HPA)is likely to slow.As such, PIMCO forecasts cumulative HPA over the next Lead Portfolio managers Dan Ivascyn two years to be approximately 7.5%. Alfred Murata Josh Anderson U.S.Commercial Mortgage Backed Securities(CMBS) prices were also modestly higher in Management fee/ 1.25%/20% ncentive allocation December. CMBS collateral performance finished the year on a positive note, as evidenced by a Subscription/withdrawal Monthly/ declining delinquency rate for all multi-borrower transactions and the lowest balance of newly Semi-annually delinquent loans since September 2008.Commercial real estate(CRE) prices were flat during after 18 month December,as the rise in interest rates and corresponding borrowing costs began to weigh on soft lock,subject to investor-level limits valuations. Finally, new issuance activity during the month totaled $5.5 billion, bringing 2013 High watermark Yes issuance to $76.5 billion,an increase of over 75%compared to 2012.While the return of the Administrator/custodian Brown Brothers CMBS new issuance market is positive for the sector,volumes remain at just a fraction of pre- Harriman&Co. Classes of interests Standard(Class A) crisis highs. PIMCO estimates issuance of$60-80 billion in 2014, in-line with 2013 levels. or Income classes available ' Excludes cash 2 Performance reflects an investment in Class A Interests 3 Includes strategy level hedges A company of AlHanz la For qualified investor use only—not for public use Tactical Opportunities Fund ("Tac Opps") Market commentary(continued) European structured credit prices were largely unchanged in December. Market activity early on was strong,with heavy secondary supply from legacy sellers across RMBS,CMBS and CLOs.Similar to most credit markets,volume declined later in the month in anticipation of the holiday break. While primary issuance was considered light overall, investor appetite for deals backed by peripheral collateral continued to grow,with a Portuguese consumer ABS transaction pricing in December.Total public issuance for the year was€54 billion,down 12.5%from 2012. U.K. RMBS saw the steepest decline among major sectors,with€5 billion of issuance in 2013 compared to€23 billion in 2012,driven mainly by the Bank of England's Funding for Lending scheme. Partially offsetting this decline was new issuance activity in both CMBS, particularly German multi-family, and in deals backed by peripheral collateral. Portfolio Highlights During December,the following were representative themes and investments in the Fund and drivers of performance: • U.S. Residential Credit — Added short duration RMBS exposure collateralized by subprime and Alt-A mortgages.The positions have a low double digit levered yield as well as additional potential upside from representation and warranty claims — Purchased an interest only strip collateralized by a pool of pay option ARMs.The position seeks to benefit from reduced prepayment speeds, as lower quality borrowers have limited ability to refinance, as well as low liquidations due to the lengthy judicial state foreclosure process — Purchased an RMBS collateralized by non-performing loans with attractive financing, less than two years WAL and a low double digit levered yield — Exposure to subprime and pay-option ARMs was the largest contributor to returns during the month, as prices were up modestly • U.S.Commercial Credit — Purchased a seasoned CMBS collateralized by property leased by a national retailer.To mitigate corporate credit risk,the Fund bought protection on the national retailer via credit default swaps — Added exposure to a subordinate seasoned CMBS Re-REMIC with a high-teens unlevered yield.The position is expected to benefit from improving fundamentals of the underlying collateral — Exposure to U.S.commercial credit was neutral for performance • European Structured Credit — Purchased low dollar price, small balance U.K.CMBS positions with attractive convexity profiles collateralized by assets in secondary U.K. markets.The positions are expected to benefit from a substantial yield pick-up relative to bonds collateralized by assets in core markets — Exposure to European structured credit detracted modestly from performance Investment outlook Financial institution deleveraging, global regulatory reform and unprecedented U.S. housing policy initiatives are expected to create continued dislocations in relative value, as well as unique sourcing opportunities. Important investment themes the Fund is currently focused on include: • Seek to capitalize on asset sales by financial institutions through PIMCO's relationships with these financial institutions,with a targeted focus on mortgage credit asset sales. European financial institutions as well as the U.S.GSEs have been the primary sellers of structured credit assets in advance of re-regulation and in conjunction with mandates to reduce credit exposure. • Target less crowded areas of the structured credit market where securities continue to trade at discounts to fair value due to ratings weakness or structural complexity. In addition, seek to invest in assets where PIMCO can utilize insight and experience from investing in niche markets. For example, in the U.S.CMBS market,the composition of asset sales from financial institutions is shifting from plain vanilla securitized debt,to more idiosyncratic, higher yielding assets,which requires extensive loan level credit analysis. • Access PIMCO's global macroeconomic and policy expertise to strategically target specific European structured credit markets where opportunities offer compelling risk-reward profiles.While European structured credit assets have rallied from their lows,opportunities remain given further regulatory tightening by the ECB leading to additional forced sales. One area of focus has been U.K. small balance CMBS,where limited supply and servicing complexity has led to mispricing in securities. P I M C O For qualified investor use only—not for public use Tactical Opportunities Fund ("Tac Opps") I. Performance summary A.Monthly Returns for the PIMCO Tactical Opportunities Fund(Net)1 Year Jan Feb Mar Apr May Jun Jul Aug Sep Oct Nov Dec YTD SI 2013 N/A 1.47% 2.09% 4.06% 4.68% -1.88% 0.42% 1.39% -0.19% 1.57% 0.32% 0.10% 14.77% 14.77% B. Index Returns2 Index December YTD3 Barclays US Agg Corporate4 -0.16% -0.65% Barclays US Corporate High Yields 0.54% 6.02% ABX AAA 06-026 1.71% 10.99% CMBX AM 47 1.27% 4.83% S&P 500 Total Return8 2.53% 25.87% HFRX Global Hedge Fund Index9 0.56% 4.67% H. Portfolio Composition/Attribution summary Notional exposure Attribution Sector Lon, Short Net MTD(bps) YTD(bps) U.S. Residential: 72.0% -32.5% 39.5% 21 821 RMBS 59.1% 0.0% 59.1% 41 895 Collateral Themes 9.2% 0.0% 9.2% 15 188 Housing Recovery 27.2% 0.0% 27.2% 9 414 Reps&Warranties 18.4% 0.0% 18.4% 7 173 ABS CDO 4.2% 0.0% 4.2% 10 120 Agency 12.9% -18.6% -5.7% 2 43 Strategy Level Hedges 0.0% -13.9% -13.9% -22 -117 U.S. Commercial: 49.7% -14.3% 35.4% -2 267 CMBS 24.0% 0.0% 24.0% -11 162 CRE CDO 8.2% 0.0% 8.2% 13 123 Whole Loan 6.7% 0.0% 6.7% 4 8 Strategy Level Hedges 10.8% -14.3% -3.5% -8 -26 European Structured Creditl0 19.3% -15.4% 3.9% -11 179 Other-Corporates 3.9% -2.5% 1.3% 2 102 Other 11.6% -0.4% 11.2% 0 108 Total 156.4% -65.0% 91.3% 10 1477 ' Performance reflects an investment in Class A Interests.The inception date of Tac Opps is 1 February,2013 2 References to the Barclays U.S.Aggregate Corporate,the Barclays U.S.Corporate High Yield,the ABX AAA 06-02, the CMBX A4,the S&P 500 Total Return,the HFRX Global Hedge Fund Index and any other benchmark(s)referred to herein are for illustrative purposes only.Any such benchmarks are included merely to show general trends in the markets in the periods indicated and are not intended to imply that the Fund's portfolio is similar to any such benchmarks either in composition or element of risk.The Fund does not attempt to track a benchmark and there is no guarantee that the Fund will meet or exceed any benchmark. 3 Year-to-date since inception of Tac Opps on 1 February 2013. 4 An index of publicly issued U.S.investment grade corporate bonds. 5 An index of publicly issued U.S.high yield corporate bonds. 6 A synthetic tradeable index referencing a basket of 20 subprime mortgage-backed securities. A synthetic tradeable index referencing a basket of 25 mezzanine tranche CMBS. 8 An index of 500 large cap U.S.equities. 9 An index composed of multiple hedge fund strategies. 10 Includes strategy level hedges. P I M C 0 For qualified investor use only-not for public use THE BOGDAHN GROUP. sintplifiiag your iuvestinent and fiduciary decisions Orlando 4901 Vineland Road, Suite 600 Orlando, Florida 32811 866.240.7932 Chicago Milwaukee Cleveland Dallas