San Francisco Retiree Health Care Trust Fund Education Materials on Public Equity

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2 M E K E T A I N V E S T M E N T G R O U P 5796 ARMADA DRIVE SUITE 110 CARLSBAD CA fax

3 The Global Equity Opportunity Set MSCI All Country World 1 Index Regional Weights as of June 2017 Almost half of the world s public companies, as proxied by the MSCI All Country World Index, are based outside the U.S. Hence, overseas investing significantly enhances an investor s opportunity set. 1 Source: MSCI. MSCI All Country World Index ( ACWI ) index is a diversified index of 23 developed market and 23 emerging market large and mid-cap stocks. See MSCI country classifications on the following page. Page 2 of 14

4 MSCI Country Classifications Non-U.S. Developed Markets Americas Europe & Middle East Pacific Americas Emerging Markets Europe, Middle East & Africa Canada Austria Australia Brazil Czech Republic China Belgium Hong Kong Chile Egypt India Pacific Denmark Japan Colombia Greece Indonesia Finland New Zealand Mexico Hungary Korea France Singapore Peru Poland Malaysia Germany Qatar Pakistan Ireland Russia Philippines Israel South Africa Taiwan Italy Turkey Thailand Netherlands Norway Portugal Spain Sweden Switzerland United Kingdom United Arab Emirates Page 3 of 14

5 Potential Diversification Benefits: Non-U.S. Developed Markets Five-Year Rolling Correlation MSCI EAFE 1 Index vs S&P 500 S&P 500 vs MSCI EAFE Common Period Average 10-Year Average Though the correlation between U.S. stocks and international stocks has increased significantly over the past 20 years, 10-year average correlations remain below 0.90, suggesting that international stocks do offer some potential diversification benefits. 1 Source: MSCI. The MSCI EAFE Index includes international developed market large and mid-cap stocks. Page 4 of 14

6 Potential Diversification Benefits: Emerging Markets Five-Year Rolling Correlation MSCI Emerging Markets Index vs S&P 500 S&P 500 vs MSCI Emerging Markets Common Period Average 10-Year Average Emerging market stocks offer clear diversification benefits relative to U.S. stocks with an average rolling five-year correlation of 0.78 over the past ten years. Page 5 of 14

7 Historical Returns Though international and emerging market equities have experienced significant drawdowns relative to U.S. equities over the past several years, relative returns have been lumpy over time, suggesting that non-u.s. stocks may serve as effective diversifiers. 1 Rolling 5-Year Returns As of June 30, % S&P 500 MSCI EAFE MSCI Emerging Markets 40.0% 30.0% 20.0% 10.0% 0.0% -10.0% -20.0% Source: MSCI, Standard & Poors. Page 6 of 14

8 Trailing Period and Calendar Year Returns As of June 30, 2017 S&P 500 MSCI EAFE MSCI Emerging Markets 1 Year Year Year Year Year Year Common Period Common period runs from the inception of the MSCI Emerging Markets Index in January Page 7 of 14

9 Common Period Risk-Risk Statistics 1 As of June 30, 2017 S&P 500 MSCI EAFE MSCI Emerging Markets Common Period Return (USD) Standard Deviation (%) Currency Standard Deviation (%) NA Local Market Standard Deviation (%) Downside Deviation (%) Max Drawdown (%) Best Three-Month Return (%) Worst Three-Month Return (%) Sharpe Ratio Risk statistics indicate that international developed and emerging market stocks have generated reasonable risk-adjusted returns over the common period. The MSCI Emerging Markets index has actually outperformed the S&P 500 over the common period on a Sharpe ratio basis; an industry standard measure for calculating risk-adjusted returns. 1 Common period runs from the January 2001 inception of the MSCI Emerging Markets Local Currency Index. Page 8 of 14

10 U.S. Equity Cyclically Adjusted P/E 1 As of July 4, the 10-year cyclically adjusted P/E ratio for the S&P 500 was 26.7x, which is well above its post-wwii average of 20.7x. Historically, a P/E ratio at this level has led to below average future returns over a 10 year horizon. 1 Source: Standard & Poor s. Earnings figures represent the average of monthly as reported earnings over the previous ten years. Data is from January 31, 1946 to July 4, Page 9 of 14

11 Developed International Equity Cyclically Adjusted P/E 1 As of July 4, the CAPE ratio for the MSCI EAFE (ex-japan) is well below the historical average. Sovereign debt concerns and the slow pace of economic growth in Europe likely account for the low valuation levels. 1 Source: MSCI and Bloomberg. Earnings figures represent the average of monthly as reported earnings over the previous ten years. Data is as of July 4, Page 10 of 14

12 Emerging Market Equity Cyclically Adjusted P/E 1 Emerging market equities (MSCI Emerging Markets) are priced well below their (brief) historical average. By this metric, emerging market equities are trading at a much lower valuation than U.S. equities (26.7), and at a slightly lower valuation than non U.S. developed market equities (18.4). 1 Source: MSCI and Bloomberg. Earnings figures represent the average of monthly as reported earnings over the previous ten years. Data is as of July 4, Page 11 of 14

13 Long-Term Outlook 1 12% 10% 8% 7% 6% 4% 2% 0% Based on Meketa Investment Group s long-term expectations, a relatively small number of asset classes are priced to produce returns above 7% per year. Emerging market equities and EAFE equities are among them. 1 Twenty-year expected returns based upon Meketa Investment Group s 2017 Annual Asset Study. Page 12 of 14

14 Risks International stocks domiciled in non-u.s. markets may subject investors to increased volatility due to non-u.s. dollar currency exposure. In a market where the U.S. dollar is strengthening (weakening) relative to other global currencies, international stocks will underperform (outperform) U.S. stocks. However, return volatility associated with currency movements generally normalizes over long periods of time. Page 13 of 14

15 Summary While the performance of international equities has lagged U.S. equities in recent years, there are several time periods historically when international equities have outperformed. International equities (both in developed markets and emerging markets) have exhibited higher volatility than U.S. equities, primarily due to currency volatility. Despite this volatility, adding exposure to international equities can improve the fund s long-term risk-reward relationship. Page 14 of 14

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