SCERA Investment Summary Periods Ending 06/30/2017

Transcription

1 SCERA Investment Summary Periods Ending 06/30/2017 June Overall return of 0.3% / 7 basis points under the Plan Target Policy Index Equity returns (R %, EAFE -0.2%, EMG MKTS +1.0%) Real Estate (NCREIF ODCE) n/a BC Aggregate index -0.1% Most favorable performance vs. benchmark in basis points (Templeton Global +54, Guggenheim +25, Neuberger Berman +14) Most unfavorable performance vs. benchmark in basis points (Systematic -230, Hexavest -93, Jacobs Levy -32, Templeton Non-US -19, Arrowstreet -15) YTD Overall return of +7.8% / in line with the Plan Target Policy Index Equity returns (R %, EAFE +13.8%, EMG MKTS +18.4%) Real Estate (NCREIF ODCE) +3.9% BC Aggregate index +2.3% Most favorable performance vs. benchmark in basis points (Systematic +299, Dodge & Cox +242, Arrowstreet +188, PIMCO +134, UBS AgriVest +121, Neuberger +49, GMO +46) Most unfavorable performance vs. benchmark in basis points (Hexavest -375, Jacobs Levy -269, Templeton Non-US -132, UBS Trumbull -130, Templeton Global -55) 1 Year Overall return of +15.2% / 244 basis points over the Plan Target Policy Index Equity returns (R %, EAFE 20.3%, EMG MKTS +23.8%) Real Estate (NCREIF ODCE) +8.3% BC Aggregate index -0.3% 3 Years Overall return of +6.7% / 80 basis points over the Plan Target Policy Index Equity returns (R %, EAFE +1.2%, EMG MKTS +1.1%) Real Estate (NCREIF ODCE) +11.8% BC Aggregate index +2.5% 5 Years Overall return of +10.7% / 106 basis points over the Plan Target Policy Index Equity returns (R %, EAFE +8.7%, EMG MKTS +4.0%) Real Estate (NCREIF ODCE) +12.0% BC Aggregate index +2.2% 10 Years Overall return of +5.6% / 39 basis points over the Plan Target Policy Index 15 Years Overall return of +7.6% / 39 basis points over the Plan Target Policy Index 20 Years Overall return of +6.8% / 46 basis points over the Plan Target Policy Index 25 Years Overall return of +8.2% / 40 basis points over the Plan Target Policy Index Notes: 1) Stoplight colors indicate performance relative to the current assumed ROR at the Plan level and relative to Aon s long-term return expectations at the asset class level. 2) All returns are gross-of-fees unless otherwise indicated. 1 of 8

2 25 SCERA Investment Returns by Asset Class Periods Ending June 30, 2017 Month Quarter 1 Year 3 Year 5 Year 20 Returns (%) US Equities Non-US Global Fixed Income Real Assets Global Asset Total Plan Equities Equities Allocation 2 of 8

3 SCERA Asset Class Returns vs. Benchmarks Periods Ending June 30, 2017 Manager Returns vs. Benchmarks (Basis Points) Month Quarter 1 Year 3 Year 5 Year Avoidable Active Fee US Equities Non-US Equities Global Equities Fixed Income Real Assets Global Asset Allocation Total Plan 3 of 8

4 30% SCERA Plan Annual Returns 20% 10% 0% -10% -20% -30% YTD $3,000 SCERA Plan Market Values ($Millions) $2,500 $2,000 $1,500 $1,000 $500 $0 Note: The September 2010 market values includes the Sonoma County contribution of $289.3 million, following the issuance of a Pension Obligation Bond. 4 of 8

5 20 SCERA Plan Rolling Returns (Net-of-Fees) % Yrs 15 Yrs 5 Yrs SCERA Plan Quarterly Returns (Net-of-Fees) 10 5 % Source: Aon Hewitt 5 of 8

6 Sonoma County Employees' Retirement Association SUMMARY OF PERFORMANCE RATES OF RETURN (GROSS-OF-FEES) Periods Ending June 30, 2017 (All $ in thousands) U.S. EQUITY Market Value Month QTR YTD 1 Yr 3 Yrs 5 Yrs 10 Yrs 15 Yrs 20 Yrs ITD Inception Date TOTAL US EQUITY 753, /1/1982 BENCHMARK (RUSSELL 3000) JACOBS LEVY 130/30 197, /1/2007 RUSSELL DODGE & COX 210, /1/1997 RUSSELL 1000 VALUE SSGA RUSSELL 1000 GROWTH INDEX FUND 214, /1/2013 RUSSELL 1000 GROWTH SYSTEMATIC 130, /1/ RUSSELL 2000 BLENDED NON-U.S. EQUITY TOTAL NON-US EQUITY 431, /1/2001 BENCHMARK (BLEND) ARROWSTREET 128, /1/ MSCI INT'L EQUITY BLENDED II TEMPLETON 126, /1/ MSCI INT'L EQUITY BLENDED I SSGA ACWI EX-US IMI INDEX FUND 176, /1/2013 MSCI ACWI EX-US IMI (NET) GLOBAL EQUITY TOTAL GLOBAL EQUITY 260, /1/2005 BENCHMARK (BLEND) HEXAVEST 129, /1/ MSCI Global Equity Blended I TEMPLETON 130, /1/ MSCI Global Equity Blended I Russell 2000 Value Inception to 12/31/2016 ; Russell /1/2017 to Present 2 MSCI AC World ex US (Net) 2/1/2011 to 03/31/2011 ; MSCI AC World ex US IMI (Net) 4/1/2011 to Present 3 MSCI EAFE (Net) 5/1/2001 to 9/30/2007 ; MSCI AC World ex US (Net) 10/1/2007 to 1/31/2013 ; MSCI ACWI ex US IMI (Net) 2/1/2013 to Present 4 MSCI AC World (Net) 5/1/2008 to 6/30/2013 ; MSCI ACWI IMI (Net) 7/1/ /31/2015 ; MSCI ACWI IMI (Net) with USA Gross 1/1/2016 to Present 6 of 8

7 GAA REAL ASSETS* FIXED INCOME PERFORMANCE SUMMARY (GROSS-OF-FEES) Market Inception Periods Ending June 30, 2017 Value Month QTR YTD 1 Yr 3 Yrs 5 Yrs 10 Yrs 15 Yrs 20 Yrs ITD Date TOTAL FIXED INCOME 475, /1/1986 BENCHMARK (BB US AGGREGATE) REAMS CORE PLUS 118, /1/2001 BB US AGGREGATE DOUBLELINE CORE PLUS 116, /1/2014 BB US AGGREGATE BB US MORTGAGE BACKED SECURITIES INDEX PIMCO CORE PLUS 93, /1/2011 BB US AGGREGATE GUGGENHEIM BANK LOANS 74, /1/2013 CREDIT SUISSE LEV LOAN INDEX NEUBERGER BERMAN UNCONSTRAINED 71, /1/2015 LIBOR+4%/Year TOTAL REAL ASSETS 349, /1/2003 BENCHMARK (COMPOSITE) UBS TRUMBULL PROPERTY FUND 119, /1/2003 NCREIF ODCE 1 MONTH LAGGED JPMORGAN STRAT. PROPERTY FUND 116, /1/2011 NCREIF ODCE 1 MONTH LAGGED RREEF CASH RESIDUAL 514 5/1/2006 UBS AGRIVEST FARMLAND FUND 113, /1/2010 CORE FARMLAND INDEX 1 MO. LAG NCREIF FARMLAND INDEX 1 MO. LAG * Real Assets are reported quarterly and with a one month lag. GMO, GLOBAL ASSET ALLOCATION 204, /1/ BENCHMARK (COMPOSITE) STRATEGIC PLAN LEVEL CASH 21, /1/ DAY T-BILL TOTAL STRATEGIC PORT EXCL OVERLAYS 2,496, /1/ PARAMETRIC CASH OVERLAY IMPACT 21, /1/2013 PARAMETRIC EIRP OVERLAY IMPACT 15, /1/ PARAMETRIC EIRP RETURN ON NOTIONAL /1/2017 TOTAL STRATEGIC PORTFOLIO 2,532, /1/1979 TOTAL FUND TARGET POLICY TOTAL OPPORTUNISTIC (net and without GBP Hedge) 50, /1/ BENCHMARK TOTAL PLAN 2,583, /1/1979 TOTAL PLAN TARGET POLICY MSCI AC World (Net) 4/1/2005 to 03/31/2011 ; MSCI AC World IMI (Net) 4/1/2011 to 12/31/2012 ; Composite 65% MSCI ACWI IMI (Net) & 35% BB US Aggregate Bond Index 01/01/2013 to Present 6 Cash Overlay Impact includes the gains/losses from the GBP hedge for the investment in Davidson Kempner SOF III-A. 7 Returns are calculated on the notional exposure of the options which began at $25 million on March 1, 2017 and escalated to $75 million as of May 1, Returns expected to be in the range of 3% per year. 8 Opportunistic benchmark is the Total Plan Policy return lagged one month. Source: State Street Analytics 7 of 8

8 Sonoma County Employees' Retirement Association ASSET ALLOCATION vs. POLICY RANGES Period Ending: June 30, 2017 (All $ in thousands) Market Values % of Strategic Assets Trigger for Physical Rebalance Policy Targets Trigger for Physical Rebalance Derivatives Overlay Economic Exposure % of Total Plan assets Trigger for Derivative Rebalance Core Plus Fixed Income 328, % 12% 14% 16% 39,227 Bank Loans 74, % 3.0% Unconstrained Bonds 71, % 3.0% Total Alternative Fixed Income 146, % 4% 6.0% 8% Total Fixed Income 475, % 18% 20% 22% 39, , % 19% 20% 21% Core Real Estate 236, % 10% Farmland 113, % 5% Total Real Assets 349, % 12% 15% 18% 349, % 15% US Large Cap Broad 197, % 8% 6, , % 7.0% 8.0% 9% US Large Cap Value 210, % 8.5% US Large Cap Growth 214, % 8.5% US Large Cap 425, % 17% 10, , % 16.0% 17.0% 18% US Small Cap 130, % 5% (2,460) 127, % 4.5% 5.0% 5.5% Total US Equity 753, % 28% 30.0% 32% 14, , % 30.0% Non- US Equity 431, % 15% 17% 19% 5, , % 16% 17% 18.0% Global Equity 260, % 8% 10% 12% (3,805) 256, % 9% 10% 11% Total Equities 1,444, % 54% 57% 60% 16,100 1,460, % 55% 57% 59% Global Asset Allocation 204, % 6.0% 8.0% 10% 1, , % 7.0% 8.0% 9% Total Strategic Port. ex Cash 2,474, % Cash (Plan + Overlays) 58,512 (56,997) 1,515 0% Opportunistic 50,978 50,978 excluded from Cash Overlay but SOF III-A GBP exposure hedged Total Plan Assets 2,583,818 2,583, % Policy Targets Trigger for Derivative Rebalance Non-US as % of Total Equities - Physicals 39% 40.0% Non-US as % of Total Equities - Economic Exposure 39% Notes: 1) There is an additional $19.1 million of manager cash overlaid by Parametric/ Total cash overlaid is $76.1 million 2) The Total Cash contains $10 million of "On-Call" Cash set aside for the Davidson Kempner SOF III. 3) The Total Cash contains $36.7 million for the margin accounts supporting the Parametric Cash and EIRP Overlays 8 of 8