SACRS Public Fund Universe Analysis. Period Ending June 30, 2016

Transcription

1 SACRS Public Fund Universe Analysis Period Ending June, 16

2 Report and Firm Summary The following report is a compilation of data provided to RVK, Inc. by 73 public funds throughout the United States. We are a registered investment advisor with the Securities Exchange Commission under the Investment Advisors Act of Our firm provides investment consulting services to nearly 0 clients across more than 450 plans with total assets under advisement in excess of $1 trillion. The confidentiality of participants is maintained by revealing the fund number only to each individual fund, with the exception of SACRS funds which have provided permission to share their respective fund numbers. For more information about services provided by RVK, please visit our website at

3 Participants Alameda County Employees' Retirement Association (17) California State Teachers' Retirement System City of Milwaukee Employes' Retirement System Colorado Public Employees' Retirement Association Contra Costa County Employees' Retirement Association (118) District of Columbia Retirement Board Employees Retirement System of Texas Fire and Police Pension Association of Colorado Arlington County Employees' Retirement System City of Fresno Retirement Systems Civilian Employees' Retirement System of the Police Department of Kansas City, Missouri Confederated Tribes of the Warm Springs Tribal Council Pension Fund County Employees' Annuity & Benefit Fund of Cook County Educational Employees' Supplementary Retirement System of Fairfax County Fire & Police Employees' Retirement System of Baltimore Florida State Board of Administration Fort Worth Employees' Retirement Fund Fresno County Employees' Retirement Association (80) Georgia Division of Investment Services Gila River Indian Community Retirement Plan Illinois Municipal Retirement Fund Imperial County Employees' Retirement System (55) Iowa Public Employees' Retirement System Kentucky Retirement Systems Kern County Employees' Retirement Association (119) Los Angeles County Employees Retirement Association (86) Kansas Public Employees' Retirement System Kentucky Teachers' Retirement System Los Angeles City Employees' Retirement System Los Angeles Fire and Police Pension System Los Angeles Water & Power Employees Retirement Plan Marin County Employees' Retirement Association (69) Mendocino County Employees' Retirement Association (49) Merced County Employees' Retirement Association (15) Montana Public Employees' Retirement System Municipality of Anchorage Pre-Funding Program Nevada Public Employees' Retirement System Newport News Employees' Retirement Fund Montana Teachers' Retirement System Municipality of Anchorage Trust Fund New York State Common Retirement Fund North Carolina Retirement System Ohio Public Employees' Retirement System Orange County Employees' Retirement System (71) Pennsylvania Public School Employees' Retirement System Police Retirement System of Kansas City, Missouri Pennsylvania State Employees' Retirement System Public School and Education ERS of Missouri Sacramento County Employees' Retirement System (75) San Bernardino County Employees' Retirement Association (1) San Diego County Employees Retirement Association (129) San Joaquin County Employees' Retirement Association (61) San Diego Transit Corporation Employees Retirement San Jose Federated City Employees' Retirement System San Jose Police and Fire Department Retirement Plan San Mateo County Employees' Retirement Association (73) Santa Barbara County Employees' Retirement System (99) Page 1

4 Participants Sonoma County Employees' Retirement Association (64) South Dakota Retirement System Stanislaus County Employees' Retirement Association (57) State of Michigan Retirement Systems State of New Jersey Pension Fund State Retirement and Pension System of Maryland State Teachers Retirement System of Ohio State Universities Retirement System of Illinois Teachers' Retirement System of the State of Illinois Texas Municipal Retirement System The Navajo Nation Retirement Plan Tulare County Employees' Retirement Association (94) Ventura County Employees' Retirement Association (52) Virginia Retirement System West Virginia Investment Management Board Wyoming Retirement System Page 2

5 Capital Markets Review Second Quarter Economic Environment Key Economic Indicators The second quarter of 16 was characterized by a broad based rally across commodities, a range bound US dollar, and a flight to safety on the back of the UK s referendum vote to leave the European Union. Uncertainty around Brexit dominated the news flow in late June and catalyzed a flight to safety across risk assets. Recent data show that 36% of outstanding global developed market government debt is now yielding less than 0%. However, investors continue to have an appetite for risk where yields remain positive. In developed markets, the surprise Brexit vote led to sharp initial declines in equities, though markets recovered quickly following a series of dovish statements from central banks. Long duration assets outperformed short duration, and gold rallied amid the flight to safety. In the US, probabilities for a June interest rate hike swung from as high as 35% in late May, down to 0% after disappointing May payroll numbers were released 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-16 Mar-16 Jun-15 Jun-13 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 ($) Gold Spot per Oz ($) 1,322 1,233 1,172 1, Market Performance (%) QTD CYTD 1 Yr 5 Yr Yr S&P 500 (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 5Y 7Y Y Y Y Jun-16 Mar-16 Jun-15 Jun-14 Jun-13 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

6 US Equity Review Second Quarter Review Broad Market US equity markets finished the quarter in positive territory across all market capitalization ranges and styles, with the Russell 00 Index rising 2.6%. Market Cap Small cap stocks outperformed larger-cap stocks this quarter, as the Russell 00 Index outperformed the Russell 00 Index by 125 basis points. Style and Sector Historically stable sectors such as utilities, consumer staples, and telecommunications continued to post strong gains as market volatility persisted and notably increased in the final week of the quarter amidst the uncertainty created by the UK s EU Referendum. Additionally, value stocks outperformed their growth counterparts over the quarter. Style and Capitalization Market Performance (%) 2.63 R 00 QTD Yr S&P R R R 00 Value R 00 Value R 00 Growth R 00 Growth Valuations S&P 500 Index Sector Performance (%) 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 3.78 QTD 4.63 Cons Staples 1 Yr Energy Financials Health Care Industrials Information Tech Materials TeleCom Utilities Valuation data courtesy of Bloomberg Professional Service and Robert J. Shiller, Irrational Exuberance, Second Edition. P/E metrics shown represent the 5th through 95th percentiles to minimize the effect of outliers. Page 4

7 Non-US Equity Review Second Quarter Review Developed Markets Developed international markets continue to struggle, detracting value for the quarter and underperforming domestic equities. The uncertainty created by the UK s EU referendum is expected to result in a near-term slow-down in the EU, particularly in the UK. The European Economic Union ( EMU ) was the worst performing developed region. Emerging Markets Emerging markets lagged domestic equities during the quarter, but performed better than developed international equity and have provided the highest returns among equity regions in 16. Value underperformed growth for the quarter, but is still ahead year-to-date. Market Cap & Style The style trend continued as growth outpaced value with the MSCI EAFE Growth Index ending the quarter relatively flat at -0.1%, while the MSCI EAFE Value Index returned -2.8%. Small caps were a weak spot, lagging large cap developed stocks. Valuations MSCI Style and Capitalization Market Performance (%) ACW Ex US -.24 QTD 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 QTD 1 Yr Canada Intl Equity MSCI ACW x US 12M P/E Since 1995 Developed Intl Equity MSCI EAFE 12M P/E Since 1995 Developed Intl Value Equity MSCI EAFE Val 12M P/E Since 1995 Developed Intl Growth Equity MSCI EAFE Gro 12M P/E Since 1995 Emerging Markets Equity MSCI EM 12M P/E Since Emg Mkts Valuation data courtesy of Bloomberg Professional Service. P/E metrics shown represent the 5th through 95th percentiles to minimize the effect of outliers. All returns are shown net of foreign taxes on dividends. Page 5

8 Fixed Income Review Second Quarter Review Broad Market Virtually all fixed income sectors posted positive performance as interest rates fell and credits improved during the quarter. The Barclays US Agg posted a strong quarter, returning 2.21%. Credit Market Utility and industrial bonds outperformed financial bonds as energy and commodity prices continued to rebound. Emerging Market Debt Both local currency and hard currency emerging markets debt posted strong returns for a second consecutive quarter. Emerging market debt outperformed both US and developed markets, as evidenced by the JPM Emg Mkts Bond Global Index returning 5.40% during the quarter. Barclays US Agg Barclays US Trsy Barclays US Trsy: US TIPS Barclays US CMBS Inv Grade Barclays US Corp: Credit Barclays US Agcy Fixed Income Performance (%) QTD 1 Yr Barclays US MBS Valuations Barclays US ABS 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 1953 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 00 JPM GBI-EM Glbl Dvf'd (USD) (Unhedged) Valuation data courtesy of Bloomberg Professional Service. Valuations shown represent the 5th through 95th percentiles to minimize the effect of outliers. Page 6

9 Alternatives Review Second Quarter Review - Absolute Return General Market - Hedge Funds After a poor first quarter, the hedge fund industry performed better during the second quarter of 16, though Fund of Hedge Fund ( FoHF ) portfolios are still down between 2.5% to 3.0% year-to-date based on available peer group based benchmarks. Most of the FoHF managers RVK follows closely have performed roughly in line with peers YTD, with any dispersion explained to a large degree by strategy allocation. On the direct side, multi-strategy managers as a group continued to outperform their FoHF counterparts. General Market - Global Tactical Asset Allocation (GTAA) GTAA funds provided a dispersion in results for the second quarter, with many significantly outperforming an undiversified static portfolio of 60% US large cap equity and 40% US fixed income. Those that outperformed by the widest margins tended to follow fundamental value-oriented processes that have led to higher allocations to emerging market fixed income, high yield fixed income, and REITs. Second Quarter Review - Real Assets General Market - Diversified Inflation Strategies (DIS) DIS provided strong performance with relatively narrow divergence for the second consecutive quarter. Most strategies significantly outperformed major world equity and fixed income indices, in addition to TIPS. Commodities, especially energy, provided strong performance over the quarter in a welcome reprieve from the longer-term trend of negative performance. General Market - Real Estate Due to the prolonged low-interest rate environment occurring globally and the economic uncertainty brought upon by the recent Brexit vote, the real estate sector proved to be an attractive option during the second quarter as investors sought the perceived safe-haven of property as well as the continued strong dividends yields relative to global treasury rates. The private real estate sector experienced themes similar to listed real estate as evidenced by a preliminary 2.1% return in the NCREIF-ODCE Index during Q2. HFN Hedge Fund Performance (%) 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 1 Yr NCREIF ODCE (Gross) NCREIF Property Wilshire US REIT Bloomberg Cmdty (TR) S&P Glbl Nat. Res. (TR) Alerian MLP Barclays US Trsy: US TIPS QTD 1 Yr Page 7

10 Annual Asset Class Performance YTD Best Worst S&P 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

11 Universe Characteristics Asset Size Geographical Distribution <$500mm 2 $500mm- $1B $1B-$5B $5B-$B $B-$B >$B Midwest Northeast South West Fund Classification Fund Type PERS Police/Fire Teachers/School Other Local Gov Special District State Gov Universe: 73 funds SACRS: funds Page 9

12 Portfolio Management Percentage Externally Managed & Percentage Actively Managed 0 External Management (%) External Average: SACRS Average: Active Management (%) Active Average: SACRS Average: SACRS Page

13 Portfolio Management Statistics Actively Managed (%) Passively Managed (%) Externally Managed (%) Internally Managed (%) Asset Range Over $B $B-$B $5B-$B $1B-$5B $500mm-$1B Under $500mm SACRS Active Management External Management Portfolio (%) Public Fund Universe SACRS Public Fund Universe SACRS 90 to to to Less than Total Funds Reporting Page 11

14 Asset Allocation SACRS vs. Average of All Funds SACRS All Funds Other 3.07% Cash 1.49% RE 8.76% US Eq 26.63% Other 3.41% Cash 1.82% RE 8.43% US Eq 26.27% Alts 12.90% Alts 14.21% Global FI 1.94% Int'l FI 1.81% Int'l Eq 14.87% Global FI 1.77% Int'l FI 1.% Int'l Eq 14.53% US FI 21.93% EM 3.39% Global Eq 3.19% US FI 21.72% EM 2.93% Global Eq 3.79% Variance (%) US Eq Int'l Eq EM Global Eq US FI Int'l FI Global FI Alts RE Cash Other Allocations shown may not sum up to 0% exactly due to rounding. Page 12

15 Equity Style Allocation SACRS vs. Average of All Funds SACRS All Funds Global Eq 6.26% EM 7.80% Lg Value 5.51% Global Eq 9.21% EM 6.63% Lg Value 6.18% Lg Core 34.23% Lg Core 31.75% Int'l Eq 31.26% Int'l Eq 31.01% S/M Growth 3.85% Lg Growth 5.26% S/M Value 3.93% S/M Core 1.88% S/M Growth 3.% Lg Growth 5.29% S/M Value 3.35% S/M Core 3.47% Variance (%) Lg Value Lg Core Lg Growth S/M Value S/M Core S/M Growth Int'l Eq EM Global Eq Allocations shown may not sum up to 0% exactly due to rounding. Page 13

16 Alternatives Style Allocation SACRS vs. Average of All Funds SACRS All Funds Other Alts 26.64% HF 23.11% Other Alts 15.61% HF 27.85% Nat Res 6.31% Distressed 3.% Nat Res 8.43% Other PE 15.53% Distressed 3.95% Buyout 15.64% Other PE 17.75% Venture 5.12% Venture 7.17% Buyout 23.57% Variance (%) HF Distressed Buyout Venture Other PE Nat Res Other Alts Allocations shown may not sum up to 0% exactly due to rounding. Page 14

17 Equity Style Allocation 73 of 73 funds invest in Equity (%) of SACRS funds invest in Equity (%) US Equity International Equity Emerging Markets Global Equity Universe Median: SACRS Median: Page 15

18 Fixed Income Style Allocation 73 of 73 funds invest in Fixed Income (%) of SACRS funds invest in Fixed Income (%) US Fixed Income Int'l Fixed Income Global Fixed Income Universe Median: SACRS Median: Page 16

19 Real Estate Allocation 70 of 73 funds invest in Real Estate (%) of SACRS funds invest in Real Estate (%) Universe Median: 9.04 SACRS Median: 8.87 Page 17

20 Alternatives Style Allocation 67 of 73 funds invest in Alternatives (%) 19 of SACRS funds invest in Alternatives (%) Hedge Funds Distressed Debt Buyout Venture Capital Other Private Equity Natural Res Other Alternative Universe Median: SACRS Median: Page 18

21 1 Year Annualized Total Fund Returns of of funds provided Total Fund returns for for this this time period (%) (%) of SACRS funds provided Total Fund returns Universe Median: 0.62 SACRS Median: % R 00/40% Barclays US Agg Bond Index: 3.92 Funds with less history than the specified time period will not appear in the chart. Page 19

22 5 Year Annualized Total Fund Returns of of funds provided Total Fund returns for for this time period (%) of SACRS funds provided Total Fund returns Universe Median: 6.70 SACRS Median: % R 00/40% Barclays US Agg Bond Index: 8.62 Funds with less history than the specified time period will not appear in the chart. Page

23 Year Annualized Total Fund Returns of of funds provided Total Fund returns for for this time period (%) of SACRS funds provided Total Fund returns Universe Median: 5.83 SACRS Median: % R 00/40% Barclays US Agg Bond Index: 6.82 Funds with less history than the specified time period will not appear in the chart. Page 21

24 1 Year Annualized US Equity Returns of of funds provided US US Equity returns for for this time period (%) (%) 19 of SACRS funds provided US Equity returns Universe Median: 0.84 SACRS Median: 0.99 Russell 00 Index: 2.14 Funds with less history than the specified time period will not appear in the chart. Page 22

25 5 Year Annualized US Equity Returns of of funds provided US US Equity returns for for this this time period (%) (%) 19 of SACRS funds provided US Equity returns Universe Median: SACRS Median: Russell 00 Index: Funds with less history than the specified time period will not appear in the chart. Page 23

26 Year Annualized US Equity Returns of of funds provided US US Equity returns for for this time period (%) (%) 17 of SACRS funds provided US Equity returns Universe Median: 7.18 SACRS Median: 7.16 Russell 00 Index: 7.40 Funds with less history than the specified time period will not appear in the chart. Page 24

27 1 Year Annualized International Equity Returns of of funds provided International Equity returns for for this this time time period (%) (%) 19 of SACRS funds provided International Equity returns Universe Median: SACRS Median: MSCI ACW Ex US Index (USD) (Gross): Funds with less history than the specified time period will not appear in the chart. Page 25

28 5 Year Annualized International Equity Returns of of funds provided International Equity returns for for this this time period (%) (%) 18 of SACRS funds provided International Equity returns Universe Median: 1.65 SACRS Median: 1.54 MSCI ACW Ex US Index (USD) (Gross): 0.56 Funds with less history than the specified time period will not appear in the chart. Page 26

29 Year Annualized International Equity Returns of of funds provided International Equity returns for for this time period (%) 17 of SACRS funds provided International Equity returns Universe Median: 2.64 SACRS Median: 2.87 MSCI ACW Ex US Index (USD) (Gross): 2.33 Funds with less history than the specified time period will not appear in the chart. Page 27

30 1 Year Annualized Global Equity Returns of of funds provided Global Equity returns for for this this time period (%) (%) 8 of SACRS funds provided Global Equity returns Universe Median: -3. SACRS Median: MSCI ACW Index (USD) (Gross): Funds with less history than the specified time period will not appear in the chart. Data shown on this page is not considered to be robust by RVK standards, due to the member total being under 35 funds. Page 28

31 5 Year Annualized Global Equity Returns.50 of of funds provided Global Equity returns for for this this time time period (%) (%) 7 of SACRS funds provided Global Equity returns Universe Median: 6.88 SACRS Median: 5.74 MSCI ACW Index (USD) (Gross): 5.95 Funds with less history than the specified time period will not appear in the chart. Data shown on this page is not considered to be robust by RVK standards, due to the member total being under 35 funds. Page 29

32 Year Annualized Global Equity Returns of of funds provided Global Equity returns for for this time period (%) 2 of SACRS funds provided Global Equity returns Universe Median: 4.87 SACRS Median: 4. MSCI ACW Index (USD) (Gross): 4.82 Funds with less history than the specified time period will not appear in the chart. Data shown on this page is not considered to be robust by RVK standards, due to the member total being under 35 funds. Page

33 1 Year Annualized US Fixed Income Returns of of funds provided US US Fixed Income returns for for this this time period (%) (%) 17 of SACRS funds provided US Fixed Income returns Universe Median: 5.07 SACRS Median: 4.92 Barclays US Agg Bond Index: 6.00 Funds with less history than the specified time period will not appear in the chart. Page 31

34 5 Year Annualized US Fixed Income Returns of of funds provided US Fixed Income returns for this time period (%) 17 of SACRS funds provided US Fixed Income returns Universe Median: 4.35 SACRS Median: 4.44 Barclays US Agg Bond Index: 3.76 Funds with less history than the specified time period will not appear in the chart. Page 32

35 Year Annualized US Fixed Income Returns of of funds provided US Fixed Income returns for this time period (%) 15 of SACRS funds provided US Fixed Income returns Universe Median: 5.84 SACRS Median: 6.14 Barclays US Agg Bond Index: 5.13 Funds with less history than the specified time period will not appear in the chart. Page 33

36 1 Year Annualized Global Fixed Income Returns of of funds provided Global Fixed Income returns for for this this time period (%) (%) 7 of SACRS funds provided Global Fixed Income returns Universe Median: 3.95 SACRS Median: 4.00 Barclays Gbl Agg Bond Index: 8.87 Funds with less history than the specified time period will not appear in the chart. Data shown on this page is not considered to be robust by RVK standards, due to the member total being under 35 funds. Page 34

37 5 Year Annualized Global Fixed Income Returns of of funds provided Global Fixed Income returns for for this time period (%) 4 of SACRS funds provided Global Fixed Income returns Universe Median: 4.32 SACRS Median: 3.33 Barclays Gbl Agg Bond Index: 1.77 Funds with less history than the specified time period will not appear in the chart. Data shown on this page is not considered to be robust by RVK standards, due to the member total being under 35 funds. Page 35

38 Year Annualized Global Fixed Income Returns of of funds provided Global Fixed Income returns for this time period (%) 3 of SACRS funds provided Global Fixed Income returns Universe Median: 5.63 SACRS Median: 5.36 Barclays Gbl Agg Bond Index: 4.40 Funds with less history than the specified time period will not appear in the chart. Data shown on this page is not considered to be robust by RVK standards, due to the member total being under 35 funds. Page 36

39 1 Year Annualized Real Estate Returns of of funds provided Real Estate returns for for this time period (%) (%) of SACRS funds provided Real Estate returns Universe Median: SACRS Median: NCREIF ODCE Index (AWA) (Gross): Funds with less history than the specified time period will not appear in the chart. Page 37

40 5 Year Annualized Real Estate Returns of of funds provided Real Estate returns for for this time period (%) (%) 18 of SACRS funds provided Real Estate returns Universe Median: SACRS Median: NCREIF ODCE Index (AWA) (Gross): Funds with less history than the specified time period will not appear in the chart. Page 38

41 Year Annualized Real Estate Returns of of 73 funds provided Real Estate returns for this time period (%) 15 of SACRS funds provided Real Estate returns Universe Median: 5.60 SACRS Median: 5.96 NCREIF ODCE Index (AWA) (Gross): 6.17 Funds with less history than the specified time period will not appear in the chart. Page 39

42 Risk/Return Analysis 5 Year Annualized Total Fund Returns vs. Standard Deviation Annualized Return of 73 funds provided Total Fund returns for this time period (%) of SACRS funds provided Total Fund returns for this time period (%) ID Risk (%) Return (%) Sharpe Standard Deviation (Risk) Universe Median Risk: 7.48 Median Return: 6.70 Median Sharpe Ratio: 0.89 SACRS Median Risk: 8.21 Median Return: 6.31 Median Sharpe Ratio: 0.82 Funds with less history than the specified time period will not appear in the chart. Page 40

43 Risk/Return Analysis Year Annualized Total Fund Returns vs. Standard Deviation Annualized Return of 73 funds provided Total Fund returns for this time period (%) of SACRS funds provided Total Fund returns for this time period (%) ID Risk (%) Return (%) Sharpe Standard Deviation (Risk) Universe Median Risk:.68 Median Return: 5.83 Median Sharpe Ratio: 0.48 SACRS Median Risk: Median Return: 5.69 Median Sharpe Ratio: 0.44 Funds with less history than the specified time period will not appear in the chart. Page 41

44 Risk/Return Analysis 5 Year Annualized US Equity Returns vs. Standard Deviation Annualized Return of 73 funds provided US Equity returns for this time period (%) 19 of SACRS funds provided US Equity returns for this time period (%) ID Risk (%) Return (%) Sharpe Standard Deviation (Risk) Universe Median Risk: Median Return: Median Sharpe Ratio: 0.85 SACRS Median Risk: Median Return: Median Sharpe Ratio: 0.85 Funds with less history than the specified time period will not appear in the chart. Page 42

45 Risk/Return Analysis Year Annualized US Equity Returns vs. Standard Deviation 65 of 73 funds provided US Equity returns for this time period (%) 17 of SACRS funds provided US Equity returns for this time period (%) Annualized Return ID Risk (%) Return (%) Sharpe Standard Deviation (Risk) Universe Median Risk: Median Return: 7.18 Median Sharpe Ratio: 0.43 SACRS Median Risk: Median Return: 7.16 Median Sharpe Ratio: 0.43 Funds with less history than the specified time period will not appear in the chart. Page 43

46 Risk/Return Analysis 5 Year Annualized International Equity Returns vs. Standard Deviation 68 of 73 funds provided International Equity returns for this time period (%) 18 of SACRS funds provided International Equity returns for this time period (%) Annualized Return ID Risk (%) Return (%) Sharpe Standard Deviation (Risk) Universe Median Risk: Median Return: 1.65 Median Sharpe Ratio: 0.18 SACRS Median Risk: Median Return: 1.54 Median Sharpe Ratio: 0.18 Funds with less history than the specified time period will not appear in the chart. Page 44

47 Risk/Return Analysis Year Annualized International Equity Returns vs. Standard Deviation Annualized Return of 73 funds provided International Equity returns for this time period (%) 17 of SACRS funds provided International Equity returns for this time period (%) ID Risk (%) Return (%) Sharpe Standard Deviation (Risk) Universe Median Risk: Median Return: 2.64 Median Sharpe Ratio: 0.18 SACRS Median Risk: Median Return: 2.87 Median Sharpe Ratio: 0.19 Funds with less history than the specified time period will not appear in the chart. Page 45

48 Risk/Return Analysis 5 Year Annualized Global Equity Returns vs. Standard Deviation of 73 funds provided Global Equity returns for this time period (%) 7 of SACRS funds provided Global Equity returns for this time period (%) ID Risk (%) Return (%) Sharpe Annualized Return Standard Deviation (Risk) Universe Median Risk: Median Return: 6.88 Median Sharpe Ratio: 0.58 SACRS Median Risk: Median Return: 5.74 Median Sharpe Ratio: 0.55 Funds with less history than the specified time period will not appear in the chart. Page 46

49 Risk/Return Analysis Year Annualized Global Equity Returns vs. Standard Deviation of 73 funds provided Global Equity returns for this time period (%) 2 of SACRS funds provided Global Equity returns for this time period (%) ID Risk (%) Return (%) Sharpe Annualized Return Standard Deviation (Risk) Universe Median Risk: Median Return: 4.87 Median Sharpe Ratio: 0. SACRS Median Risk: Median Return: 4. Median Sharpe Ratio: 0.28 Funds with less history than the specified time period will not appear in the chart. Page 47

50 Risk/Return Analysis 5 Year Annualized US Fixed Income Returns vs. Standard Deviation Annualized Return of 73 funds provided US Fixed Income returns for this time period (%) 17 of SACRS funds provided US Fixed Income returns for this time period (%) ID Risk (%) Return (%) Sharpe Standard Deviation (Risk) Universe Median Risk: 2.93 Median Return: 4.35 Median Sharpe Ratio: 1.39 SACRS Median Risk: 3.06 Median Return: 4.44 Median Sharpe Ratio: 1.50 Funds with less history than the specified time period will not appear in the chart. Page 48

51 Risk/Return Analysis Year Annualized US Fixed Income Returns vs. Standard Deviation Annualized Return of 73 funds provided US Fixed Income returns for this time period (%) 15 of SACRS funds provided US Fixed Income returns for this time period (%) ID Risk (%) Return (%) Sharpe Standard Deviation (Risk) Universe Median Risk: 3.99 Median Return: 5.84 Median Sharpe Ratio: 1.12 SACRS Median Risk: 4. Median Return: 6.14 Median Sharpe Ratio: 1.15 Funds with less history than the specified time period will not appear in the chart. Page 49

52 Risk/Return Analysis 5 Year Annualized Global Fixed Income Returns vs. Standard Deviation of 73 funds provided Global Fixed Income returns for this time period (%) 4 of SACRS funds provided Global Fixed Income returns for this time period (%) ID Risk (%) Return (%) Sharpe Annualized Return Standard Deviation (Risk) Universe Median Risk: 3.51 Median Return: 4.32 Median Sharpe Ratio: 1.35 SACRS Median Risk: 5.46 Median Return: 3.33 Median Sharpe Ratio: 0.53 Funds with less history than the specified time period will not appear in the chart. Page 50

53 Risk/Return Analysis Year Annualized Global Fixed Income Returns vs. Standard Deviation of 73 funds provided Global Fixed Income returns for this time period (%) 3 of SACRS funds provided Global Fixed Income returns for this time period (%) ID Risk (%) Return (%) Sharpe Annualized Return Standard Deviation (Risk) Universe Median Risk: 5.38 Median Return: 5.63 Median Sharpe Ratio: 0.82 SACRS Median Risk: 6. Median Return: 5.36 Median Sharpe Ratio: 0.64 Funds with less history than the specified time period will not appear in the chart. Page 51

54 Risk/Return Analysis 5 Year Annualized Real Estate Returns vs. Standard Deviation Annualized Return of 73 funds provided Real Estate returns for this time period (%) 18 of SACRS funds provided Real Estate returns for this time period (%) ID Risk (%) Return (%) Sharpe Standard Deviation (Risk) Universe Median Risk: 2.38 Median Return: Median Sharpe Ratio: 4.92 SACRS Median Risk: 2.46 Median Return: Median Sharpe Ratio: 4.70 Funds with less history than the specified time period will not appear in the chart. Page 52

55 Risk/Return Analysis Year Annualized Real Estate Returns vs. Standard Deviation Annualized Return of 73 funds provided Real Estate returns for this time period (%) 15 of SACRS funds provided Real Estate returns for this time period (%) ID Risk (%) Return (%) Sharpe Standard Deviation (Risk) Universe Median Risk: 9.81 Median Return: 5.60 Median Sharpe Ratio: 0.52 SACRS Median Risk: 8.89 Median Return: 5.96 Median Sharpe Ratio: 0.53 Funds with less history than the specified time period will not appear in the chart. Page 53

56 Net Assets Available For Benefits Expressed as a Percentage of the Pension Benefit Obligation 55 of 73 funds provided Net Assets Available data (%) 16 of SACRS 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 54

57 Actuarial Assumption Rates Actuarial Rate Assumptions % Median 57 of 73 funds provided Actuarial Rate data Salary Growth Rate Assumptions (Inflation plus Merit) % Median 55 of 73 funds provided Salary Growth Rate data Real Rate of Assumed Investment Return (Interest Rate minus Inflation) % Median 56 of 73 funds provided Real Rate of Assumed Investment Return data SACRS Median Funds that did not provide data will not appear in the chart. Page 55

58 Total Administrative and Investment Fees SACRS vs. All Funds SACRS All Funds Inv Other 1.49% Real Es 13.44% Inv Div Staff 1.32% Admin 21.75% Inv Other 1.70% Real Es 12.80% Inv Div Staff 2.85% Admin 13.39% Custodian 1.63% Inv Cons 2.18% Alt Inv 19.16% Custodian 2.13% Inv Cons 2.85% US Eq.21% Fixed Inc 9.34% US Eq.87% Global Eq 5.% Int'l Eq 12.45% Alt Inv 32.77% Int'l Eq 9.99% Global Eq 4.46% Fixed Inc 8.05% Variance (%) Inv Div Staff Admin Custodian Inv Cons US Eq Int'l Eq Global Eq Fixed Inc Alt Inv Real Es Inv Other Allocations shown may not sum up to 0% exactly due to rounding. Page 56

59 Total Fund Fee Summary in Basis Points SACRS vs. Average by Asset Range 57 of 73 funds provided fee data for this time period Administrative Expenses SACRS Under $500 Million $500mm - $1 Billion $1 - $5 Billion $5 - $ Billion $ - $ Billion Internal Inv. Div. Staff Actuary Legal Consultant Audit Other Professional General Administrative Total Administrative Expenses Investment Expenses SACRS Under $500 Million $500mm - $1 Billion $1 - $5 Billion $5 - $ Billion $ - $ Billion Custodial Investment Consulting US Equity International Equity Global 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 57

60 SACRS Returns 5 Yr Annualized SACRS Returns 12.00%.00% 8.00% 6.00% 4.00% 2.00% 0.00% P - Total Fund Portfolio I - Policy Index LT Bonds - Barclays US Trsy:Long Term Bond Index Page 58

61 SACRS Returns Yr Annualized SACRS Returns.00% 9.00% 8.00% 7.00% 6.00% 5.00% 4.00% 3.00% 2.00% 1.00% 0.00% P - Total Fund Portfolio I - Policy Index LT Bonds - Barclays US Trsy:Long Term Bond Index Page 59

62 SACRS Returns Yr Annualized SACRS Returns 9.00% 8.00% 7.00% 6.00% 5.00% 4.00% 3.00% 2.00% 1.00% 0.00% P - Total Fund Portfolio I - Policy Index LT Bonds - Barclays US Trsy:Long Term Bond Index Page 60

63 SACRS Growth of a $1.00 $ Yr SACRS Growth of a $1.00 $1.50 $1.00 $0.50 LT Bonds 15 P 17 P 49 P 52 P 55 P 57 P 61 P 64 P 69 P 71 P 73 P 75 P 80 P 86 P 94 P 99 P 1 P 118 P 119 P 129 P $0.00 Jun 11 Jun 12 Jun 13 Jun 14 Jun 15 Jun 16 LT Bonds - Barclays US Trsy:Long Term Bond Index Page 61

64 SACRS Growth of a $1.00 $2.50 Yr SACRS Growth of a $1.00 $2.00 $1.50 $1.00 $0.50 LT Bonds 15 P 17 P 49 P 52 P 55 P 57 P 61 P 64 P 69 P 71 P 73 P 75 P 80 P 86 P 94 P 99 P 1 P 118 P 119 P 129 P $0.00 Jun 06 Jun 07 Jun 08 Jun 09 Jun Jun 11 Jun 12 Jun 13 Jun 14 Jun 15 Jun 16 LT Bonds - Barclays US Trsy:Long Term Bond Index Page 62

65 SACRS Growth of a $1.00 $6.00 Yr SACRS Growth of a $1.00 $5.00 $4.00 $3.00 $2.00 LT Bonds 15 P 17 P 52 P 55 P 61 P 64 P 69 P 75 P 118 P 119 P 129 P $1.00 $0.00 Jun 1996 Jun 00 Jun 04 Jun 08 Jun 12 Jun 16 LT Bonds - Barclays US Trsy:Long Term Bond Index Page 63

66 SACRS Median Rolling Returns 16.00% SACRS Median 5 Yr Rolling Returns vs. Median Assumption Rates 12.00% 8.00% 4.00% 0.00% 6/06 12/06 6/07 12/07 6/08 12/08 6/09 12/09 6/ 12/ 6/11 12/11 6/12 12/12 6/13 12/13 6/14 12/14 6/15 12/15 6/16 SACRS 5 Yr Rolling PF Universe 5 Yr Rolling SACRS Assumption Rates Page 64

67 SACRS Median Rolling Returns 12.00% SACRS Median Yr Rolling Returns vs. Median Assumption Rates 8.00% 4.00% 0.00% 6/06 12/06 6/07 12/07 6/08 12/08 6/09 12/09 6/ 12/ 6/11 12/11 6/12 12/12 6/13 12/13 6/14 12/14 6/15 12/15 6/16 SACRS Yr Rolling PF Universe Yr Rolling SACRS Assumption Rates Page 65

68 SACRS Median Assumption vs. Treasury Yield Curve SACRS Median Assumption Rates vs. Treasury Yield Curve as of June, % 6.00% 3.00% 0.00% 3 Mth 1 Yr 3 Yr 5 Yr 7 Yr Yr Yr Yr Treasury Yield Curve SACRS Assumption Rates Page 66

69 Addendum and Glossary Miscellaneous Comments Performance shown is gross of fees, with the exception of the following: Funds 31, 49, 350, and 351: Performance shown is net of fees. Funds 5 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 15 and June 16. Allocations shown reflect dedicated managers/mandates rather than actual exposure, with the exception of the following: Funds 1, 29, and 119: Performance shown for Global Fixed Income includes US and Non-US exposure. Funds 4, 42, and 64: Performance shown for US Fixed Income includes US and Non-US 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 67

70 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.