Sample Fund Public Fund Universe Analysis

Transcription

1 Sample Fund Public Fund Universe Analysis Period Ending June, Fund Number: 116

2 Celebrating Years! Trust Client Service Professional Expertise RVK Overview Established in 198, RVK provides clients with worldclass investment advice and is one of the nation s largest and most trusted institutional investment consulting firms. National firm with headquarters in Portland, Oregon and offices in New York City (celebrating its th year in!) and Chicago, serving nearly 0 clients across the U.S. Since its inception, RVK has maintained a strict, no conflicts of interest policy, ensuring a direct alignment of interests between RVK and its clients. RVK by the Numbers $700+ billion - Full Retainer Assets Under Advisement 99 - Investment Professionals - Advanced Degrees and Certifications 0% - Revenue Derived from Client Fees 0% - Employee Ownership 0% - Non-Discretionary Investment Consulting Core Services Strategic Asset Allocation Investment Manager Research Investment Policy Development Proprietary Public Fund Research Performance Analytics Client Education & Training Specialty Services Governance & Regulatory Research Customized Defined Contribution Solutions Asset/Liability Studies Custody & Recordkeeper Searches Outsourced CIO Search & Monitoring Dedicated Real Estate Consulting

3 Table of Contents PAGE PAGE Introduction Performance (Cont'd) Annualized US Equity Returns Summary US Equity vs. R 00 Index List of Participants 1-2 Annualized International Equity Returns Market Environment 3-8 International Equity vs. MSCI ACW Ex US Index 34 Universe Characteristics 9 Annualized US Fixed Income Returns 3-37 US Fixed Income vs. Barclays US Agg Bond Index 38 Annualized Real Estate Returns Style Characteristics Real Estate vs. NCREIF ODCE Index (AWA) 42 External vs. Internal / Active vs. Passive Portfolio Management Statistics 11 Risk/Return Analyses Total Fund Asset Allocation US Equity 4-46 Asset Allocation vs. Average Allocation 12 International Equity Asset Allocation vs. Average Allocation by Size 13 US Fixed Income 49-0 Equity Allocation vs. Average Allocation 14 Real Estate 1-2 Equity Allocation vs. Average Allocation by Size Alternatives Allocation vs. Average Allocation 16 Actuarial Statistics Alternatives Allocation vs. Average Allocation by Size 17 Net Assets Available for Benefits 3 Equity Style Allocation 18 Actuarial Assumption Rates 4 Fixed Income Style Allocation 19 Real Estate Allocation Administrative and Investment Fees Alternatives Style Allocation 21 Total Fund Fee Allocation vs. Average Allocation Total Fund Fee Summary in Basis Points 6 Performance Annualized Total Fund Returns Addendum and Glossary 7 Total Fund vs. % R 00/40% Barclays US Agg Bond Index 2 Year Total Fund Beta 26

4 Participants Alameda County Employees' Retirement Association California Public Employees' Retirement System Chicago Teachers' Pension Fund City of Milwaukee Employes' Retirement System Civilian Employees' Retirement System of the Police Department of Kansas City, Missouri Contra Costa County Employees' Retirement Association District of Columbia Retirement Board Employees Retirement System of Texas Fire and Police Pension Association of Colorado Florida State Board of Administration Ft. Lauderdale General Employees' Retirement System Gila River Indian Community Retirement Plan Illinois State Board of Investment Iowa Public Employees' Retirement System Kentucky Retirement Systems Kern County Employees' Retirement Association Los Angeles County Employees Retirement Association Los Angeles Water & Power Employees Retirement Plan Mendocino County Employees' Retirement Association Minnesota State Board of Investment Montana Teachers' Retirement System New York State Common Retirement Fund Ohio Public Employees' Retirement System Pennsylvania Public School Employees' Retirement System Police Retirement System of Kansas City, Missouri Public School and Education ERS of Missouri Sample Fund (116) San Diego City Employees' Retirement System San Joaquin County Employees' Retirement Association Arlington County Employees' Retirement System California State Teachers' Retirement System City of Fresno Retirement Systems City of Phoenix Employees' Retirement System Colorado Public Employees' Retirement Association County Employees' Annuity & Benefit Fund of Cook County Educational Employees' Supplementary Retirement System of Fairfax County Fire & Police Employees' Retirement System of Baltimore Fire and Police Pension Fund, San Antonio Fresno County Employees' Retirement Association Georgia Division of Investment Services Illinois Municipal Retirement Fund Imperial County Employees' Retirement System Kansas Public Employees' Retirement System Kentucky Teachers' Retirement System Los Angeles City Employees' Retirement System Los Angeles Fire and Police Pension System Marin County Employees' Retirement Association Merced County Employees' Retirement Association Montana Public Employees' Retirement System Nevada Public Employees' Retirement System North Carolina Retirement System Orange County Employees' Retirement System Pennsylvania State Employees' Retirement System Public Employees Retirement Association of New Mexico Sacramento County Employees' Retirement System San Bernardino County Employees' Retirement Association San Diego County Employees Retirement Association Page 1

5 Participants San Jose Police and Fire Department Retirement Plan Santa Barbara County Employees' Retirement System South Dakota Retirement System State of Michigan Retirement Systems State Retirement and Pension System of Maryland State Universities Retirement System of Illinois Teachers' Retirement System of the State of Illinois The Navajo Nation Retirement Plan Utah Retirement Systems Virginia Retirement System Wyoming Retirement System San Jose Federated City Employees' Retirement System San Mateo County Employees' Retirement Association Sonoma County Employees' Retirement Association Stanislaus County Employees' Retirement Association State of New Jersey Pension Fund State Teachers Retirement System of Ohio Teachers' Retirement System of Louisiana Texas Municipal Retirement System Tulare County Employees' Retirement Association Ventura County Employees' Retirement Association West Virginia Investment Management Board Page 2

6 Capital Markets Review Second Quarter Economic Environment Key Economic Indicators Market activity in the second quarter of saw the reversal of several major trends. First, US Dollar strength dissipated to a degree, as it sold off almost 3% relative to other developed currencies. Second, developed market interest rates, which had been trending lower and were negative in some markets, reversed sharply. Finally, oil prices, in part helped by weakness in the US Dollar, bounced off the Q1 lows and finished the second quarter higher. Relatively benign equity volatility in April and May gave way to heightened volatility in the second half of June, with investors fixated on Greece s debt situation and government intervention in China. Still, global equity markets generally finished the quarter with small gains. Uninspiring first half economic data across a number of categories was enough to convince the Federal Reserve to maintain interest rates at 0%. The Board cited below target inflation, softer GDP growth, and lower labor productivity as reasons to be wary of increasing rates. Economic data released during the second quarter was largely consistent with that view Unemployment Rate (%) Since CPI Year-over- Year (% change) Since 1914 Key Economic Indicators US Govt Debt (% of GDP) Since VIX Index (Volatility) Since Consumer Confidence Since 1967 Economic Indicators Jun- Mar- Jun-14 Jun-12 Yr Federal Funds Rate (%) Breakeven Infl. - 1 Yr (%) N/A Breakeven Infl. - Yr (%) N/A CPI YoY (Headline) (%) Unemployment Rate (%) Real GDP YoY (%) PMI - Manufacturing USD Total Wtd Idx WTI Crude Oil per Barrel ($) Gold Spot per Oz ($) 1,172 1,184 1,327 1, Market Performance (%) QTD CYTD 1 Yr Yr Yr S&P 00 (Cap Wtd) Russell MSCI EAFE (Net) MSCI EAFE SC (Net) MSCI Emg Mkts (Net) Barclays US Agg Bond BofA ML 3 Mo US T-Bill NCREIF ODCE (Gross) Wilshire US REIT HFN FOF Multi-Strat Bloomberg Cmdty (TR) Treasury Yield Curve (%) 3M 6M 1Y 3Y Y 7Y Y Y Y Jun- Mar- Jun-14 Jun-13 Jun-12 Treasury data courtesy of the US Department of the Treasury. Economic data courtesy of Bloomberg Professional Service. Breakeven Inflation does not have years of history; therefore, its -year average is shown as N/A. Page 3

7 US Equity Review Second Quarter Review Broad Market The US equity market ended the quarter relatively flat as market turmoil overseas impacted domestic markets in June and erased otherwise positive April and May performance. Market Cap Large-cap stocks experienced mainly flat performance, while mid-cap stocks faced strong headwinds and ended in negative territory. Micro- and small-cap stocks were the top performers during the quarter. Style The Russell 00 Index finished the quarter returning 0.14%, with growth moderately outperforming value. Within the micro- and small-cap segments, growth outperformed value by 414 and 318 basis points, respectively. Sector Investors with exposure to the consumer discretionary and health care sectors benefited from gains in those segments. The energy, industrials, REIT and utilities sectors posted notably negative performance. R 00 S&P 00 R 00 R 00 R 00 Value R 00 Value R 00 Growth R 00 Growth Style and Capitalization Market Performance (%) QTD 1 Yr - 0 Valuations S&P 00 Index Sector Performance (%) 2 0 US Large-Cap Equity Shiller S&P Y P/E Since US Large-Cap Equity R00 12M P/E Since US Small-Cap Equity R00 12M P/E Since US Large-Cap Value Equity R00V 12M P/E Since US Large-Cap Growth Equity R00G 12M P/E Since Cons Discretion Cons Staples Energy Financials Health Care Industrials Information Tech Materials TeleCom 1.89 QTD -.80 Utilities 1 Yr Valuation data courtesy of Bloomberg Professional Service and Robert J. Shiller, Irrational Exuberance, Second Edition. P/E metrics shown represent the th through 9th percentiles to minimize the effect of outliers. Page 4

8 Non-US Equity Review Second Quarter Review Broad Market During the second quarter of, international markets, both developed and emerging, outperformed the US markets by 48 and bps, respectively. Market Cap & Style Within the developed markets, growth stocks continued to outperform value stocks; while within emerging markets, value stocks outperformed growth stocks. On average, small-cap stocks tended to outperform their larger-cap counterparts. Developed Markets The strongest contributor to performance for the quarter, as measured by the MSCI EAFE Index, was Japan. Japan reported 2.4% GDP growth for the previous quarter, giving some confidence that Abenomics has started to work. Emerging Markets The emerging markets slightly outperformed their developed counterparts. Greece s debt crisis dominated the headlines yet its equity markets actually saw positive performance for the quarter. Over the past year, the Shanghai composite has risen over 0%, partially fueled by government intervention. Valuations MSCI Style and Capitalization Market Performance (%) 0.3 ACW Ex US -.26 QTD 0.62 EAFE 1 Yr EAFE Value EAFE Growth EAFE SC Europe Pacific Emg Mkts MSCI Region Performance (%) Europe Ex UK United Kingdom Middle East Pacific ex Japan Japan Intl Equity MSCI ACW x US 12M P/E Since Developed Intl Equity MSCI EAFE 12M P/E Since Developed Intl Value Equity MSCI EAFE Val 12M P/E Since Developed Intl Growth Equity MSCI EAFE Gro 12M P/E Since Emerging Markets Equity MSCI EM 12M P/E Since Canada -.32 QTD 0.69 Emerging Markets Yr Valuation data courtesy of Bloomberg Professional Service. P/E metrics shown represent the th through 9th percentiles to minimize the effect of outliers. All returns are shown net of foreign taxes on dividends. Page

9 Fixed Income Review Second Quarter Review Broad Market Fixed income markets were down as rates rose and credit spreads widened. The Barclays US Aggregate Bond Index was down 1.68% posting negative returns for all three months of Q2 the first 3-month negative run since 08. Reduced liquidity in fixed income markets has led to higher market price volatility and increased trading costs. US Treasury Market The - and -year Treasury yields rose by 40 and 7 basis points, respectively, in anticipation of a Fed funds rate hike. Long duration bonds suffered accordingly. Foreign Currency Government bond yields for many of the larger European countries bottomed out in April and climbed through the month of May and June as questions arose about whether Greece would be able to service its debt. Hard currency emerging market debt outperformed local currency for the ninth consecutive quarter. Valuations Fixed Income Performance (%) Barclays US Agg Barclays US Trsy -1.8 Barclays US Trsy: US TIPS Barclays US CMBS Inv Grade Barclays US Corp: Credit Barclays US Agcy -0.6 Barclays US MBS Barclays US ABS QTD 1 Yr Barclays US Corp: Hi Yld CS Leveraged Loan Barclays Global Agg Bond Citi Wrld Gov't Bond JPM Emg Mkts Bond Global US Treasury Bonds -Yr US Treasury Yields Since 193 US Aggregate Bonds Barclays US Agg Spreads Since 00 US Corporate Bonds Barclays US Corp Spreads Since 1989 US Credit Bonds Barclays US Credit Spreads Since 00 US High-Yield Bonds Barclays US Corp:HY Spreads Since JPM GBI-EM Glbl Dvf'd Valuation data courtesy of Bloomberg Professional Service. Valuations shown represent the th through 9th percentiles to minimize the effect of outliers. Page 6

10 Alternatives Review Second Quarter Review - Absolute Return General Market - Hedge Funds Most hedge fund strategies generated positive returns in the second quarter, adding to gains realized in Q1. Long/Short equity funds in particular are having a strong. Top tier managers have added alpha on both their long and short positions as they were able to capture the majority of equity market upside during the months of April and May, and protected capital well toward the end of June as markets sold off. General Market - Global Tactical Asset Allocation (GTAA) In April and May, most GTAA managers posted gains and outperformed a relatively-undiversified, US-centric /40 allocation; however, the majority posted losses for the quarter due to the volatility that occurred in June. In a break from performance characteristics of the past two quarters, valuation driven managers outperformed growth-oriented equity strategies. Thematic and/or secular focuses on yield-oriented holdings, however, were a key determinant in the underperformance of several managers as yield-sensitive equities, especially REITs, lagged. HFN Hedge Fund Performance (%) Second Quarter Review - Real Assets General Market - Diversified Inflation Strategies (DIS) Even with low short-term inflation expectations, disparate measures of inflation, a difficult quarter for equities and rising real yields, most diversified inflation strategies outperformed a moderate duration TIPS allocation. Managers with larger energy and agricultural commodities exposures saw a key reversal of their underperformance from earlier in the year. Managers with larger US REIT equity allocations underperformed. Managers with larger TIPS exposures, especially those in longer duration securities, underperformed the broader group. General Market - Real Estate While real estate securities returns were hampered by rising long-term interest rates in Q2, as evidenced by a -8.93% return in the FTSE NAREIT All REITS Index, private real estate continued its run of strong, positive returns. Preliminary reports from the NCREIF ODCE Index show that US Core Real Estate returned 3.82% for the quarter and 14.43% for the trailing year, marking the 21st consecutive quarter of positive returns in this sector. Real Asset Performance (%) FOF Multi-Strat Conv Arbitrage Long/Short Eq Mkt Neutral Eq Short Bias Distressed Macro Relative Value Event Driven Merger/Risk Arb FI Arbitrage QTD Yr NCREIF ODCE (Gross) QTD NCREIF Property 1 Yr Wilshire US REIT Bloomberg Cmdty (TR) S&P Glbl Nat. Res. (TR) Alerian MLP Barclays US Trsy: US TIPS Page 7

11 Annual Asset Class Performance YTD Best Worst S&P 00 - US Large Cap R 00 - US Small Cap MSCI EAFE (Net) - Int'l Dev. MSCI EAFE SC (Net) - Int'l SC MSCI EM (Net) - Int'l Emg Mkts Barclays US Agg Bond - FI Barclays US Corp: Hi Yield - FI Barclays US Trsy: US TIPS - FI Barclays US Gov/Credit: Lng - FI NCREIF ODCE (Gross) - Real Estate Wilshire US REIT - REITs HFN FOF Multi-Strat (Net) - ARS Bloombrg Cmdty (TR) - Commod. BofA ML 3 Mo T-Bill - Cash Equiv Page 8

12 Universe Characteristics Asset Size Geographical Distribution <$00mm $00mm- $1B $1B-$B $B-$B $B-$B >$B 0 Midwest Northeast South West Fund Classification Fund Type PERS Police/Fire Teachers/School Other 0 Local Gov Special District State Gov Universe: 79 funds Page 9

13 Portfolio Management Percentage Externally Managed & Percentage Actively Managed 0 External Management (%) External Average: 88.6 Active Management (%) Active Average: Sample Fund Page

14 Portfolio Management Statistics Actively Managed (%) Passively Managed (%) Externally Managed (%) Internally Managed (%) Asset Range Over $B $B-$B $B-$B $1B-$B $00mm-$1B Under $00mm Sample Fund Active Management External Management Portfolio (%) Public Fund Universe Sample Fund Public Fund Universe Sample Fund 90 to to to Less than Total Funds Reporting Page 11

15 Asset Allocation Sample Fund vs. Average of All Funds Sample Fund All Funds Other 8.41% Cash 2.02% Real Estate 11.86% US Eq % Int'l Eq % Other 3.09% Cash 1.64% Real Estate 7.86% Alternatives 14.4% US Eq % Alternatives 28.77% Emerging 1.8% US Fixed 11.9% Int'l Fixed 3.3% Global Fixed 2.% Global Fixed 1.84% Int'l Fixed 1.43% US Fixed.08% Int'l Eq..0% Emerging 3.28% Global Eq. 3.88% Variance (%) US Eq. Int'l Eq. Emerging Global Eq. US Fixed Int'l Fixed Global Fixed Alternatives Real Estate Cash Other Allocations shown may not sum up to 0% exactly due to rounding. Page 12

16 Asset Allocation Sample Fund vs. Average of Similar Size Funds Sample Fund $1-$ Billion Other 8.41% Cash 2.02% Real Estate 11.86% US Eq % Other.0% Cash 1.31% Real Estate 7.78% US Eq. 2.2% Int'l Eq % Alternatives 14.87% Alternatives 28.77% Emerging 1.8% US Fixed 11.9% Int'l Fixed 3.3% Global Fixed 2.% Global Fixed 3.33% Int'l Fixed 1.71% US Fixed 19.0% Int'l Eq % Emerging 3.24% Global Eq. 3.9% Variance (%) US Eq. Int'l Eq. Emerging Global Eq. US Fixed Int'l Fixed Global Fixed Alternatives Real Estate Cash Other Allocations shown may not sum up to 0% exactly due to rounding. Page 13

17 Equity Style Allocation Sample Fund vs. Average of All Funds Sample Fund All Funds Emerging.04% Global Eq. 9.39% Large Value 6.% Large Core 34.3% Emerging 7.% Large Core 29.19% Int'l Eq % Int'l Eq % S/Mid Value 8.% S/Mid Growth 9.8% S/Mid Growth 3.41% Large Growth 6.3% S/Mid Value 3.81% S/Mid Core 3.13% Variance (%) Large Value Large Core Large Growth S/Mid Value S/Mid Core S/Mid Growth Int'l Eq. Emerging Global Eq. Allocations shown may not sum up to 0% exactly due to rounding. Page 14

18 Equity Style Allocation Sample Fund vs. Average of Similar Size Funds Sample Fund $1-$ Billion Emerging.04% Global Eq. 8.38% Emerging 8.% Large Value 8.01% Large Core 34.3% Large Core 26.2% Int'l Eq % Int'l Eq % S/Mid Value 8.% S/Mid Growth 9.8% S/Mid Growth 4.42% Large Growth 6.47% S/Mid Value.3% S/Mid Core 1.1% Variance (%) Large Value Large Core Large Growth S/Mid Value S/Mid Core S/Mid Growth Int'l Eq. Emerging Global Eq. Allocations shown may not sum up to 0% exactly due to rounding. Page

19 Alternatives Style Allocation Sample Fund vs. Average of All Funds Sample Fund All Funds Other P.E % Other Alts 12.% Natural Res. 6.86% Hedge Funds 27.7% Hedge Funds 61.06% Other P.E % Distressed 4.46% Venture 6.42% Buyout 22.62% Variance (%) Hedge Funds Distressed Buyout Venture Other P.E. Natural Res. Other Alts Allocations shown may not sum up to 0% exactly due to rounding. Page 16

20 Alternatives Style Allocation Sample Fund vs. Average of Similar Size Funds Sample Fund $1-$ Billion Other Alts 13.48% Other P.E % Natural Res. 9.1% Hedge Funds 29.86% Hedge Funds 61.06% Distressed 2.29% Other P.E % Buyout 8.99% Venture 3.44% Variance (%) Hedge Funds Distressed Buyout Venture Other P.E. Natural Res. Other Alts Allocations shown may not sum up to 0% exactly due to rounding. Page 17

21 Equity Style Allocation 79 of 79 funds invest in Equity (%) US Equity International Equity Emerging Markets Global Equity Universe Median: 1.12 Page 18

22 Fixed Income Style Allocation 79 of 79 funds invest in Fixed Income (%) US Fixed Income Int'l Fixed Income Global Fixed Income Universe Median: Page 19

23 Real Estate Allocation 77 of 79 funds invest in Real Estate (%) Universe Median: 8.09 Page

24 Alternatives Style Allocation 77 of 79 funds invest in Alternatives (%) Hedge Funds Distressed Debt Buyout Venture Capital Other Private Equity Natural Res. Other Alternative Universe Median: Page 21

25 1 Year Annualized Total Fund Returns of of funds funds provided Total Total Fund Fund returns for for this this time time period (%) (%) With a return of 2.29, Fund 116 received a percentile rank of Universe Median: 3.28 % R 00/40% Barclays US Agg Bond Index:. Funds with less history than the specified time period will not appear in the chart. Page 22

26 Year Annualized Total Fund Returns of of funds funds provided Total Total Fund Fund returns for for this this time time period period (%) (%) With a return of 9.07, Fund 116 received a percentile rank of Universe Median:.9 % R 00/40% Barclays US Agg Bond Index: Funds with less history than the specified time period will not appear in the chart. Page 23

27 Year Annualized Total Fund Returns of of funds provided Total Total Fund Fund returns for for this this time time period (%) (%) With a return of.77, Fund 116 received a percentile rank of Universe Median: 6.87 % R 00/40% Barclays US Agg Bond Index: 6.97 Funds with less history than the specified time period will not appear in the chart. Page 24

28 Total Return - Total Fund Sample Fund vs. % R 00/40% Barclays US Agg Bond Index Calendar Year Rates of Return (%) Cumulative Performance (Growth of $0) $180 $ $1 $ $140 $ $ $ $0 Jun- Sep- Dec- Mar-11 Jun-11 Sep-11 Dec-11 Mar-12 Jun-12 Sep-12 Dec-12 Mar-13 Jun-13 Sep-13 Dec-13 Mar-14 Jun-14 Sep-14 Dec-14 Mar- Jun- Sample Fund % R 00/40% Barclays US Agg Bond Index Sample Fund : $4 % R 00/40% Barclays US Agg Bond Index: $17 Sample Fund % R 00/40% Barclays US Agg Bond Index Variance 1 Year Annualized Returns (%) 3 Years Years Page 2

29 Year Total Fund Beta of 79 funds provided Total Fund returns for this time period With a beta of 0.9, Fund 116 received a percentile rank of Universe Median: 0.62 Funds with less history than the specified time period will not appear in the chart. Benchmark used is the S&P 00 Index (Cap Wtd). Page 26

30 1 Year Annualized US Equity Returns of of funds funds provided US US Equity Equity returns for for this this time time period period (%) (%) With a return of 3.68, Fund 116 received a percentile rank of Universe Median: 7.43 R 00 Index: 7.29 Funds with less history than the specified time period will not appear in the chart. Page 27

31 Year Annualized US Equity Returns of of funds funds provided US US Equity Equity returns for for this this time time period period (%) (%) With a return of 16., Fund 116 received a percentile rank of Universe Median: 17.6 R 00 Index: 17.3 Funds with less history than the specified time period will not appear in the chart. Page 28

32 Year Annualized US Equity Returns of of funds provided US US Equity returns for for this this time time period (%) (%) With a return of 6.91, Fund 116 received a percentile rank of Universe Median: 8.16 R 00 Index: 8. Funds with less history than the specified time period will not appear in the chart. Page 29

33 Total Return - US Equity Sample Fund vs. R 00 Index Calendar Year Rates of Return (%) Cumulative Performance (Growth of $0) $240 $ $ $180 $1 $ $1 $ Jun- Sep- Dec- Mar-11 Jun-11 Sep-11 Dec-11 Mar-12 Jun-12 Sep-12 Dec-12 Mar-13 Jun-13 Sep-13 Dec-13 Mar-14 Jun-14 Sep-14 Dec-14 Mar- Jun- Sample Fund R 00 Index Sample Fund : $211 R 00 Index: $224 Sample Fund R 00 Index Variance 1 Year Annualized Returns (%) 3 Years Years Page

34 1 Year Annualized International Equity Returns of of funds funds provided International Equity Equity returns for for this this time time period period (%) (%) With a return of -3.21, Fund 116 received a percentile rank of Universe Median: MSCI ACW Ex US Index (Gross): -4.8 Funds with less history than the specified time period will not appear in the chart. Page 31

35 Year Annualized International Equity Returns of of funds funds provided International Equity Equity returns for for this this time time period period (%) (%) With a return of 9.23, Fund 116 received a percentile rank of Universe Median: 9.14 MSCI ACW Ex US Index (Gross): 8.23 Funds with less history than the specified time period will not appear in the chart. Page 32

36 Year Annualized International Equity Returns of of funds provided International Equity returns for for this this time time period (%) (%) With a return of 6.67, Fund 116 received a percentile rank of Universe Median: 6.08 MSCI ACW Ex US Index (Gross): 6.01 Funds with less history than the specified time period will not appear in the chart. Page 33

37 Total Return - International Equity Sample Fund vs. MSCI ACW Ex US Index (Gross) Calendar Year Rates of Return (%) Cumulative Performance (Growth of $0) $170 $ $ $ $ $ $ $0 Jun- Sep- Dec- Mar-11 Jun-11 Sep-11 Dec-11 Mar-12 Jun-12 Sep-12 Dec-12 Mar-13 Jun-13 Sep-13 Dec-13 Mar-14 Jun-14 Sep-14 Dec-14 Mar- Jun- Sample Fund MSCI ACW Ex US Index (Gross) Sample Fund : $ MSCI ACW Ex US Index (Gross): $149 Sample Fund MSCI ACW Ex US Index (Gross) Variance 1 Year Annualized Returns (%) 3 Years Years Page 34

38 1 Year Annualized US Fixed Income Returns of of funds funds provided US US Fixed Fixed Income returns for for this this time time period period (%) (%) With a return of 1.33, Fund 116 received a percentile rank of Universe Median: 1.67 Barclays US Agg Bond Index: 1.86 Funds with less history than the specified time period will not appear in the chart. Page 3

39 Year Annualized US Fixed Income Returns of of funds funds provided US US Fixed Fixed Income returns for for this this time time period (%) (%) With a return of 4.92, Fund 116 received a percentile rank of Universe Median: 4.67 Barclays US Agg Bond Index: 3.3 Funds with less history than the specified time period will not appear in the chart. Page 36

40 Year Annualized US Fixed Income Returns of of funds funds provided US US Fixed Fixed Income returns for for this this time time period (%) (%) With a return of.28, Fund 116 received a percentile rank of Universe Median:.29 Barclays US Agg Bond Index: 4.44 Funds with less history than the specified time period will not appear in the chart. Page 37

41 Total Return - US Fixed Income Sample Fund vs. Barclays US Agg Bond Index Calendar Year Rates of Return (%) Cumulative Performance (Growth of $0) $ $12 $1 $1 $ $ $0 Jun- Sep- Dec- Mar-11 Jun-11 Sep-11 Dec-11 Mar-12 Jun-12 Sep-12 Dec-12 Mar-13 Jun-13 Sep-13 Dec-13 Mar-14 Jun-14 Sep-14 Dec-14 Mar- Jun- Sample Fund Barclays US Agg Bond Index Sample Fund : $127 Barclays US Agg Bond Index: $118 Sample Fund Barclays US Agg Bond Index Variance 1 Year Annualized Returns (%) 3 Years Years Page 38

42 1 Year Annualized Real Estate Returns of of funds funds provided Real Real Estate Estate returns for for this this time time period period (%) (%) With a return of 14.31, Fund 116 received a percentile rank of Universe Median: NCREIF ODCE Index (Gross) (Asset Wtd Avg): Funds with less history than the specified time period will not appear in the chart. Page 39

43 Year Annualized Real Estate Returns of of funds funds provided Real Real Estate Estate returns for for this this time time period period (%) (%) With a return of 11.3, Fund 116 received a percentile rank of Universe Median: NCREIF ODCE Index (Gross) (Asset Wtd Avg): Funds with less history than the specified time period will not appear in the chart. Page 40

44 Year Annualized Real Estate Returns 9 9 of of funds funds provided Real Real Estate Estate returns for for this this time time period period (%) (%) With a return of.64, Fund 116 received a percentile rank of Universe Median: 6.8 NCREIF ODCE Index (Gross) (Asset Wtd Avg): 6.8 Funds with less history than the specified time period will not appear in the chart. Page 41

45 Total Return - Real Estate Sample Fund vs. NCREIF ODCE Index (Gross) (Asset Wtd Avg) Calendar Year Rates of Return (%) Cumulative Performance (Growth of $0) $ $ $180 $16.00 $ $13 $ $ 2.00 $ Jun- Sep- Dec- Mar-11 Jun-11 Sep-11 Dec-11 Mar-12 Jun-12 Sep-12 Dec-12 Mar-13 Jun-13 Sep-13 Dec-13 Mar-14 Jun-14 Sep-14 Dec-14 Mar- Jun- Sample Fund NCREIF ODCE Index (Gross) (Asset Wtd Avg) Sample Fund : $173 NCREIF ODCE Index (Gross) (Asset Wtd Avg): $196 Sample Fund NCREIF ODCE Index (Gross) (Asset Wtd Avg) Variance 1 Year Annualized Returns (%) 3 Years Years Page 42

46 Risk/Return Analysis Year Annualized Total Fund Returns vs. Standard Deviation of 79 funds provided Total Fund returns for this time period (%) Fund Sharpe Ratio: Annualized Return Standard Deviation (Risk) Universe Median Risk: 7.63 Median Return:.9 Median Sharpe Ratio: 1.40 Funds with less history than the specified time period will not appear in the chart. Page 43

47 Risk/Return Analysis Year Annualized Total Fund Returns vs. Standard Deviation of 79 funds provided Total Fund returns for this time period (%) Fund Sharpe Ratio: Annualized Return Standard Deviation (Risk) Universe Median Risk:.2 Median Return: 6.87 Median Sharpe Ratio: 0. Funds with less history than the specified time period will not appear in the chart. Page 44

48 Risk/Return Analysis Year Annualized US Equity Returns vs. Standard Deviation 76 of 79 funds provided US Equity returns for this time period (%) Fund Sharpe Ratio: Annualized Return Standard Deviation (Risk) Universe Median Risk: Median Return: 17.6 Median Sharpe Ratio: 1.28 Funds with less history than the specified time period will not appear in the chart. Page 4

49 Risk/Return Analysis Year Annualized US Equity Returns vs. Standard Deviation 72 of 79 funds provided US Equity returns for this time period (%) Fund Sharpe Ratio: Annualized Return Standard Deviation (Risk) Universe Median Risk: Median Return: 8.16 Median Sharpe Ratio: 0.47 Funds with less history than the specified time period will not appear in the chart. Page 46

50 Risk/Return Analysis Year Annualized International Equity Returns vs. Standard Deviation of 79 funds provided International Equity returns for this time period (%) Fund Sharpe Ratio: Annualized Return Standard Deviation (Risk) Universe Median Risk:.00 Median Return: 9.14 Median Sharpe Ratio: 0.66 Funds with less history than the specified time period will not appear in the chart. Page 47

51 Risk/Return Analysis Year Annualized International Equity Returns vs. Standard Deviation 68 of 79 funds provided International Equity returns for this time period (%) Fund Sharpe Ratio: Annualized Return Standard Deviation (Risk) Universe Median Risk: Median Return: 6.08 Median Sharpe Ratio: 0.33 Funds with less history than the specified time period will not appear in the chart. Page 48

52 Risk/Return Analysis Year Annualized US Fixed Income Returns vs. Standard Deviation 72 of 77 funds provided US Fixed Income returns for this time period (%) Fund Sharpe Ratio: Annualized Return Standard Deviation (Risk) Universe Median Risk: 3.02 Median Return: 4.67 Median Sharpe Ratio: 1.1 Funds with less history than the specified time period will not appear in the chart. Page 49

53 Risk/Return Analysis Year Annualized US Fixed Income Returns vs. Standard Deviation 68 of 77 funds provided US Fixed Income returns for this time period (%) Fund Sharpe Ratio: Annualized Return Standard Deviation (Risk) Universe Median Risk: 3.98 Median Return:.29 Median Sharpe Ratio: 0.90 Funds with less history than the specified time period will not appear in the chart. Page 0

54 Risk/Return Analysis Year Annualized Real Estate Returns vs. Standard Deviation 69 of 79 funds provided Real Estate returns for this time period (%) Fund Sharpe Ratio: Annualized Return Standard Deviation (Risk) Universe Median Risk: 3.24 Median Return: Median Sharpe Ratio: 4.21 Funds with less history than the specified time period will not appear in the chart. Page 1

55 Risk/Return Analysis Year Annualized Real Estate Returns vs. Standard Deviation of 79 funds provided Real Estate returns for this time period (%) Fund Sharpe Ratio: Annualized Return Standard Deviation (Risk) Universe Median Risk:.17 Median Return: 6.8 Median Sharpe Ratio: 0. Funds with less history than the specified time period will not appear in the chart. Page 2

56 Net Assets Available For Benefits Expressed as a Percentage of the Pension Benefit Obligation 62 of 79 funds provided Net Assets Available data (%) % of Net Assets Available for Benefits Funds that did not provide data will not appear in the chart. Page 3

57 Actuarial Assumption Rates Actuarial Rate Assumptions - 7.0% Median 62 of 79 funds provided Actuarial Rate data Salary Growth Rate Assumptions (Inflation plus Merit) % Median 9 of 79 funds provided Salary Growth Rate data Real Rate of Assumed Investment Return (Interest Rate minus Inflation) - 4.3% Median of 79 funds provided Real Rate of Assumed Investment Return data Sample Fund Funds that did not provide data will not appear in the chart. Page 4

58 Total Administrative and Investment Fees Sample Fund vs. All Funds Sample Fund All Funds Inv Other 1.77% Real Es 6.% Alt Inv 12.46% Admin 27.63% Inv Other 11.26% Real Es 12.40% Inv Div Staff 2.4% Admin 14.01% Custodian 2.01% Inv Cons 2.48% Fixed.47% Custodian 3.42% Inv Cons 2.80% Int'l Eq. 18.% US Eq % Alt Inv 23.99% US Eq..43% Int'l Eq. 12.8% Fixed 8.12% Variance (%) Inv Div Staff Admin Custodian Inv Cons US Eq. Int'l Eq. Fixed Alt Inv Real Es Inv Other Allocations shown may not sum up to 0% exactly due to rounding. Page

59 Total Fund Fee Summary in Basis Points Sample Fund vs. Average by Asset Range 62 of 79 funds provided fee data for this time period Administrative Expenses Sample Fund Under $00 Million $00mm - $1 Billion $1 - $ Billion $ - $ Billion $ - $ Billion Internal Inv. Div. Staff Actuary Legal Consultant Audit Other Professional General Administrative Total Administrative Expenses Investment Expenses Sample Fund Under $00 Million $00mm - $1 Billion $1 - $ Billion $ - $ Billion $ - $ Billion Custodial Investment Consulting Domestic Equity International Equity Fixed Income Real Estate Other Investment Management Total Investment Expenses (ex. Alt Inv) Alternative Investments Total Investment Expenses Total Expenses Over $ Billion Over $ Billion Expressed in basis points on total fund assets. Funds that did not provide fee data will not appear in the table. Page 6

60 Addendum and Glossary Miscellaneous Comments Performance shown is gross of fees, with the exception of the following: Funds 31 and 49: Performance shown is net of fees. Funds and : Performance shown is net of fees, except for Total Fund performance. Performance shown is calculated using quarterly performance provided by participating public funds. Performance shown may differ from a fund's actual performance due to rounding. Net Assets Available for Benefit includes funding percentage valuation as of dates between June 14 and June. Allocations shown reflect dedicated managers/mandates rather than actual exposure. Glossary of Terms Beta - A measure of the sensitivity of a portfolio to the movements in the market. It is a measure of a portfolio's non-diversifiable or systematic risk. Return - Compounded rate of return for the period. %Return - The time-weighted rate of return of a portfolio for a specified time period. Sharpe Ratio - Represents the excess rate of return over the risk-free return (i.e., BofA ML 3 Mo US T-Bill Index), divided by the standard deviation of the excess return. The result is the absolute rate of return per unit of risk. The higher the value, the better the product's historical risk-adjusted performance. Standard Deviation - A statistical measure of the range of a portfolio's performance. The variability of a return around its average return over a specified time period. Calculation is based on quarterly periodicity. Page 7

61 Disclaimer of Warranties and Limitation of Liability - This document was prepared by RVK, Inc. (RVK) and may include information and data from some or all of the following sources: client staff; custodian banks; investment managers; specialty investment consultants; actuaries; plan administrators/record-keepers; index providers; as well as other third-party sources as directed by the client or as we believe necessary or appropriate. RVK has taken reasonable care to ensure the accuracy of the information or data, but makes no warranties and disclaims responsibility for the accuracy or completeness of information or data provided or methodologies employed by any external source. This document is provided for the client s internal use only and does not constitute a recommendation by RVK or an offer of, or a solicitation for, any particular security and it is not intended to convey any guarantees as to the future performance of the investment products, asset classes, or capital markets.