ANALYSIS OF INVESTMENT PERFORMANCE

Transcription

1 General Employees Retirement System ANALYSIS OF INVESTMENT PERFORMANCE March 2018 Rosemary Guillette Senior Consultant Copyright 2018 by The Segal Group, Inc. All rights reserved.

2 Table of Contents Financial Market Conditions 1 Section Total Plan 2 Investment Managers 3 This performance report ( Report ) is based upon information obtained by Segal Marco Advisors ( SMA ) from third parties over which SMA does not exercise any control. Although the information is collected by SMA is believed to be reliable, SMA cannot verify or guarantee the accuracy or validity of such information of the uniformity of the manner in which such information was prepared. The rates of return reflected herein are time weighted and geometrically link on a monthly basis using a modified Dietz method. Monthly valuations and returns are calculated based on the assumption that all transactions and prices are accurate from the custodian and / or investment manager. The client to whom Segal Marco Advisors delivers this Report ( Client ) agrees and acknowledges that this Report has been prepared solely for the benefit of Client. SMA disclaims any and all liability that may arise in connection with Client s conveyance (whether or not consented to by SMA) of this report (in whole or in part) to any third party. Client further agrees and acknowledges that SMA shall have no liability, whatsoever, resulting from, or with respect to, errors in, incompleteness of, the information obtained from third parties. Client understands that the prior performance of an investment and / or investment manager is not indicative of such investment's and / or investment manager s future performance. This Report does not constitute an offer or solicitation of an offer for the purchase of sale of any security nor is it an endorsement of any custodian, investment and / or investment manager.

3 Q In Review Summary of Investment Returns 30% 25% 20% 15% 10% 5% 0% -5% 13.6% 13.8% 14.8% -1.3% -0.6% -1.5% World Equities* U.S. Equities International Equities* 1.4% 24.9% EM Equities* -1.5% QTD 1.2% U.S. Fixed Income 1-Year 4.4% 12.9% International Fixed Income -0.4% 3.7% 2.2% 8.1% 4.8% 19.6% 0.3% 5.6% Commodities Real Estate Private Equity** Funds of Hedge Funds Quarterly Synopsis World equity markets fell amid concerns about the global trade outlook and the prospect of further U.S. interest rate hikes. U.S. equity declined in Q1. Fears about rising rates and global trade hurt performance despite continued strength in the U.S. economy. International equity registered a negative return in the first quarter. Worries about trade policies weighed on European stocks. Emerging market equity was positive, partly due to Brazil posting a double-digit gain in Q1 after some political uncertainty subsided. U.S. fixed income fell as expectations for interest rates and inflation shifted and volatility returned to markets. Non-U.S. fixed income posted a gain in Q1. French, Italian and Spanish yields all fell, though German bund yields rose. Hedge funds ended the quarter in positive territory, with multi-strategy and credit arbitrage funds performing well. * Net of Dividends ** Performance reported as of Q because Q performance data is not yet available. Returns recorded as of May 2, This data will continually change as more funds report to the Thomson One database. 1 Sources: Investment Metrics, Thomson One, FactSet

4 Q Index Returns Asset Class Indices QTD YTD 1-Year 3-Year 5-Year 10-Year World Equity MSCI World* U.S. Equity Russell Non-U.S. Equity MSCI EAFE* Emerging Market Equity MSCI EM* U.S. Fixed Income Non-U.S. Fixed Income Commodities Bloomberg Barclays U.S. Aggregate Citigroup Non-U.S. WGBI (Unhedged) Bloomberg Commodity Index Private Real Estate NFI-ODCE** Private Equity Hedge Funds Thomson Reuters Private Equity*** HFRI Fund of Funds Composite * Net of Dividends ** NCREIF Fund Index (NFI) Open End Diversified Core Equity (ODCE) *** Performance as of Q because Q performance data is not yet available. Returns recorded as of May 2, This data will continually change as more funds report to the Thomson One database. Sources: Investment Metrics, Thomson One, FactSet 2

5 U.S. Q Equity In Review: U.S. Equity Performance After an extended period of rising markets, U.S. equities experienced a return to more volatile times in Q Positive results in January were erased in February and March as the market reacted to daily news flow on both domestic and foreign issues. Contrary to expectations during a period of increased volatility, small cap stocks outperformed large caps, and growth beat value. Sector Returns Despite the uptick in volatility, IT and Consumer Discretionary continued to perform well during the quarter amid strong earnings growth. All other sectors fell in Q1, most notably Telecom, Consumer Staples and Utilities, which are traditionally considered to be more defensive in nature. Energy and Materials also posted substantial losses during the quarter, while Industrials, Healthcare and Financials fell more modestly. Performance vs. Volatility Volatility increased sharply in Q After hitting extreme lows in 2017, the Chicago Board Options Exchange (CBOE) Volatility Index (VIX)* spiked and peaked at 37.3 on February 5, well above the level of 30 which is generally considered the threshold for market instability. While the VIX fell to more normalized levels as the quarter progressed (a reading of around 20 represents a normal market environment), volatility remains higher than its trailing 2-year average. *The VIX is an index w idely used to measure ex pected future v olatility in the equity market. Its calculation is based on prices of options on the S&P 500 index. Sources this page: Inv estment Metrics, FactSet 3 Utilities Telecom Materials IT Industrials Healthcare Financials Energy Cons. Staples Cons. Disc. Total Return 4% 2% 0% -2% -4% % -0.7% S&P /29/2017 Russell % 1.4% -5.7% -6.1% -7.3% U.S. Equity Index Returns Russell 1000 Growth -2.8% Russell 1000 Value S&P 500 Sector Performance -3.6% -0.1% Russell % -1.4% -1.1% 2.3% Russell 2000 Growth -2.6% Russell 2000 Value -0.6% Russell % 3.0% -10% -8% -6% -4% -2% 0% 2% 4% 1/8/2018 VIX S&P 500 Russell 2000 Russell Midcap /18/2018 Performance vs. Volatility 1/28/2018 2/7/2018 2/17/2018 2/27/2018 3/9/2018 3/19/2018 3/29/2018 VIX Lev el

6 Q In Review: International Equity Performance After a strong start in January, international equity markets pulled back the rest of quarter, ending Q1 at -1.5% as measured by the MSCI EAFE index and -2.0% per the World ex U.S. index. Markets were negatively affected by geopolitical uncertainty and predictions of a rapid rise in inflation and interest rates, as well as fears of an international trade war following President Trump s tariff imposition. Many major currencies, including the euro, yen, and pound, strengthened against the U.S. dollar, which boosted returns in USD terms. The Canadian dollar and Swedish krona weakened slightly. In terms of style, growth outperformed value, and smaller cap companies performed better than their larger cap peers. 2% 0% -2% -4% -6% -8% -10% -2.0% -1.5% World except (ex) U.S. MSCI International Equity Index Returns EAFE -4.3% EAFE (Local Currency) -2.0% -1.3% Europe Europe ex U.K. -3.7% Pacific ex Japan -3.9% United Kingdom 0.8% Japan Country Returns Pacific ex Japan fell (-3.7%) amidst rising tensions over trade sanctions on commodities, such as iron ore and steel. Within the region, this was the biggest drag for Australia and New Zealand. While European markets were also challenged (-2.0%), with Ireland, Switzerland, and the UK leading the decline, there were some bright spots as Finland, Italy, and Portugal gained the most among all developed nations. The Italian election, bearing no majority winner, had little effect on European equities. Japan s stocks rose as that country logged its seventh straight quarter of growth, its longest expansion in more than 15 years. 10% 8% 6% 4% -2% 0% 2% -4% -10% -8% -6% -6.2% Australia Notable Country Returns -5.1% -4.3% -3.9% -5.9% 8.2% New Zealand Ireland Switzerland UK Finland 5.4% Italy 3.1% Portugal 0.8% Japan Sector Performance Sector returns were largely negative to neutral. Energy and Materials fell as commodity prices faced pressure. In an environment of possible rising interest rates, the more defensive sectors such as Consumer Staples, Healthcare, and Telecom also declined. In a still-relatively solid economic environment, Tech and Consumer Discretionary stocks rose. Source this page: Bloomberg 4 2% 0% -2% -4% -6% 0.2% Cons. Disc. MSCI EAFE Sector Returns 0.7% -3.4% -3.0% -2.9% -2.0% -2.0% -4.7% -4.3% Cons. Staples Energy Financials Healthcare Industrials IT Materials Telecom 0.7% Utilities

7 Q In Review: Emerging Market Equity Performance The MSCI Emerging Markets (EM) Index rose by 1.4% in Q1, the only major equity index to finish in positive territory this quarter. Despite a rise in market volatility stemming from tensions over global trade, emerging market stocks rose for the fifth consecutive quarter. They were helped by steady economic growth in China and other developing countries, as well as by higher oil prices and a weaker USD. The EM local currency index return was 0.7% below that of the USD-based index in Q1 amid continued USD weakness. 10% 8% 6% 4% 2% 0% -2% 1.4% EM MSCI Emerging Market Index Returns 0.7% 0.8% EM (Local Currency) 8.0% -0.9% Asia EMEA Latin America Country Returns Brazil and Russia were among the EM index s top performers, supported by climbing oil prices and signs of improving economic conditions. Russia rallied as its central bank cut interest rates and its credit rating was raised to investment grade by Standard & Poor s. Chinese equities overcame trade tensions with the U.S. and finished Q1 in positive territory amid stable macroeconomic data, strong export growth, and rising retail and home sales. India fell as asset quality issues at state-owned banks and relative valuations for Indian equities weighed on market sentiment. 15% 10% 5% 0% -5% -10% -15% Notable Country Returns 12.4% 9.4% 5.7% 1.8% -0.5% -7.0% -8.2% China S. Korea Taiwan India Brazil Russia Poland Sector Performance EM sector returns were mixed in Q1. Energy, Healthcare and Financials outperformed, while Consumer Discretionary and Telecom lagged. 10% 5% 0% -5% -10% -6.1% -0.8% 7.5% MSCI EM Sector Returns 4.2% 7.0% 2.1% 0.7% -0.8% -3.7% 3.0% Source this page: Bloomberg 5 Cons. Disc. Cons. Staples Energy Financials Healthcare Industrials IT Materials Telecom Utilities

8 Q In Review: U.S. Fixed Income Performance All sectors of the Bloomberg Barclays U.S. Aggregate Index were negative in Q1. Investment grade (IG) corporate bonds returned -2.3%, underperforming MBS at -1.2% and CMBS at -1.2%. High yield bonds outperformed IG corporates with a return of -0.9%. The Treasury component of the Aggregate Index was down -1.2% in Q1. The Federal Reserve hiked short-term interest rates again in March. 2% 0% -2% -4% -6% -1.5% -1.6% -1.0% -3.6% U.S. Aggregate Govt/Credit Intermediate Govt/Credit U.S. Fixed Income Index Returns* Long Govt/Credit -1.2% -2.1% -2.3% -1.2% -1.2% -0.9% Government Credit *Bloomberg Barclay s Indices, unless otherw ise noted. Inv Grade Corporate Inv Grade CMBS Mortgage U.S. Corporate High Yield 0.4% 0.5% Citi 3-Month T-Bill Hueler Stable Value Spreads Bloomberg Barclays Option-Adjusted Spreads All standard U.S. spread sectors were trading below historic medians at quarter end. High yield bond spreads ended Q1 at 354 bps over like-duration Treasuries versus 109 bps for IG corporates U.S. Aggregate U.S. High Yield - Corporate U.S. Aggregate Credit - Corporate - Investment Grade AAA corporates were the best performer in IG, while the CCC sector posted the strongest returns in the below-ig liquid corporate credit universe. % Mar-08 Nov-08 Jul-09 Mar-10 Nov-10 Jul-11 Mar-12 Nov-12 Jul-13 Mar-14 Nov-14 Jul-15 Mar-16 Nov-16 Jul-17 Mar-18 Yield Curve The yield curve steepened in the first half of Q1 due to increased confidence in economic growth, but flattened in the second half of the quarter as expectations of future rate hikes increased. Short-term yields rose more than long rates. The 30-year Treasury yield increased 16 bps to 2.97% in Q1. The 10-year yield rose 28 bps, ending Q1 at 2.74%. The 5-year yield rose 31 bps, ending Q1 at 2.56%. The 2-year nominal Treasury yield rose 35 bps to 2.27% by quarter end. Sources this page: Inv estment Metrics, Hueler Analy tics, FactSet 6 % Yield Curve 3/31/ /31/2017 3/31/2018 1M 3M 6M 1Y 2Y 3Y 4Y 5Y 7Y 10Y 30Y

9 Q In Review: International Fixed Income Global Treasuries The USD depreciated in Q1, which benefited most other developed currencies (e.g., the pound, euro and yen) and some select emerging markets currencies (e.g., the Mexican peso and Chinese renminbi). Developed sovereign yields rose modestly behind strengthening economic conditions and rising U.S. interest rates. % Global 10-Year Treasury Yields USA Japan UK Germany Canada Mar-08 Nov-08 Jul-09 Mar-10 Nov-10 Jul-11 Mar-12 Nov-12 Jul-13 Mar-14 Nov-14 Jul-15 Mar-16 Nov-16 Jul-17 Mar-18 Global Fixed Income Index Returns The Global Aggregate Index was up 1.4% in Q1 because of currency appreciation, while the USD-hedged version of that index was down -0.1%. The Non-U.S. World Government Bond Index returned 4.4%, while the hedged version was up 1.5%. 5% 4% 3% 2% 1% 0% -1% 1.4% Blmbg Bar Global Aggregate Global Fixed Income Index Performance -0.1% Blmbg Bar Global Aggregate (Hedged) 4.4% Citigroup Non-U.S. WGBI 1.5% Citigroup Non-U.S. WGBI (Hedged) Emerging Market Debt JPM GBI-EM Index (local currency) advanced by 4.4%, while hard currency bonds (JPM EMBI Global) returned -1.8%. 6% 4% JP Morgan EMD Index Returns 4.4% The USD-denominated corporate bond index (JPM CEMBI) also declined by -1.1%. 2% 0% -2% -4% -1.8% -1.1% EMBI Global CEMBI GBI-EM Sources this page: FactSet, Inv estment Metrics 7

10 Q In Review: Absolute Return Strategies Hedge Funds and Fund of Funds Q1 hedge fund performance, as represented by the HFRI Fund Weighted Composite Index, was flat. The index has posted trailing 1-, 3-, and 5-year returns of 5.9%, 3.5%, and 4.2%, respectively. The HFRI Fund of Funds Composite Index was positive for the eighth straight quarter and up 0.3% in Q1. The index s respective trailing 1-, 3-, and 5-year returns were 5.6%, 1.9%, and 3.4%. Hedge Fund Sub-Strategies Emerging markets, up 1.1%, led sub-strategy performance in Q1. The gain was driven largely by returns in Middle East/Africa and Russia/Eastern Europe. Equity Hedge gained 0.4% and benefited from sub-strategy performance in Technology, which saw a gain of 4.8% in Q1. Event Driven strategies were also positive, up 0.2% and aided by Credit Arbitrage and Distressed managers. Macro experienced a loss of -1.4% in Q1, led by declines in CTA strategies of -2.7% after a -6.2% loss in February, which was the worst month in the history of the CTA Index. Hedge Fund Industry Asset Flows Total hedge fund industry capital rose for the eighth consecutive quarter. Industry-wide assets totaled $3.22 trillion by the end of Q1. Assets increased by $4 billion in Q1 as investors continued to look to reduce equity beta through M&A, Activist, and Creditsensitive Event Driven strategy allocations. Over the trailing 12-month period, hedge fund industry capital has increased by 4.8%. Sources this page: Hedge Fund Research, Inc., evestment 8

11 Total Fund Composite 9

12 Total Fund Composite Asset Allocation by Segment Segments Market Value ($) Allocation Domestic Fixed Income 41,596, Domestic Equity 33,498, International Equity 18,939, Real Estate 17,178, Emerging Equity 15,948, GTAA 11,323, Hedge Fund 6,820, Cash 1,237, Private Equity 1,080, Performance Bar Chart Return Qtr YTD 1 Yr 3 Yrs 5 Yrs Total Fund Composite TF Policy Index Gain / Loss 1 Qtr YTD 1 Yr 3 Yrs 5 Yrs Total Fund Composite Beginning Market Value 146,563, ,563, ,206, ,854,542 99,814,562 Net Cash Flows 802, ,006 1,073,759 3,070,206 1,231,673 Income 313, ,434 2,037,808 4,353,145 5,942,974 Gain/Loss -55,916-55,916 11,304,242 19,344,847 40,633,531 Ending Market Value 147,622, ,622, ,622, ,622, ,622,740 10

13 Total Fund Composite Domestic Equity $34,141,744 International Equity $34,887, % 1.6% 2% 23.1% 22.0% 23.6% Fixed Income $41,596,618 Real Estate $18,258, % -0.1 % 12.5% 12.4% 28.2% 32.0% GTAA $11,323,491 Hedge Fund $6,820, % 0.9% 6.8% 7.7% 6.8% 4.6% Bank of New York STIF $79,590 % 0.1% 0.1% -2 % -1 % % 1% 2% 3% 4% 5% Target Allocation Actual Allocation Allocation Differences Asset Allocation ($) Asset Allocation Target Allocation Minimum Allocation Maximum Allocation Differences Total Fund Composite 147,622, N/A N/A Domestic Equity 34,141, International Equity 34,887, Fixed Income 41,596, Real Estate 18,258, GTAA 11,323, Hedge Fund 6,820, Bank of New York STIF 79,

14 Total Fund ($) % Total Fund Composite 147,622, Domestic Equity 34,141, Wedge Capital 11,596, Wellington 12,099, Segall Bryant & Hamill 10,445, International Equity 34,887, Templeton 18,939, Acadian 15,948, Fixed Income 41,596, Fidelity 22,142, DoubleLine 19,454, Real Estate 18,258, Penn 465, UBS Realty Investors 8,552, Long Wharf Real Estate Partners V 2,025, Colony 1,978, TownSquare Real Estate Alpha Fund 2,289, Westport Special Core Plus 1,866, Westport Special Core Plus II 1,080, GTAA 11,323, Wellington Opportunistic Investment 11,323, Hedge Fund 6,820, Aetos 6,820, Bank of New York STIF 79,590 5 Miscellaneous Cash Account 514, Asset Allocation 12

15 Asset Allocation Comparison Portfolio Value 3/31/18: $147,622,740 Target Allocations Current Managers & Allocations Difference Range Equity Large Cap Equity 14.00% $20,667,184 Wellington (LCG) 8.20% $12,099,693 Wedge Capital (LCV) 7.86% $11,596,939 Large Cap Equity 14.00% $20,667,184 Large Cap Equity 16.05% $23,696, % 4-24% Small Cap Equity 6.00% $8,857,364 SBH 7.08% $10,445,111 Small Cap Equity 6.00% $8,857,364 Small Cap Equity 7.08% $10,445, % 0-11% International Equity 12.00% $17,714,729 Templeton 12.83% $18,939, % Emerging Equity 10% $14,762,274 Acadian 10.80% $15,948, % International Equity 22.00% $32,477,003 International Equity 23.63% $34,887, % Equity Total 42.00% $62,001,551 Equity Total 46.76% $69,029, % Fixed Income Fixed Income 16.00% $23,619,638 Fidelity 15.00% $22,142, % $23,619,638 DoubleLine 13.18% $19,454,005 Fixed Income Total 32.00% $47,239,277 Fixed Income Total 28.18% $41,596, % 20-40% Real Estate Committed Contributed Distributed Equity 12.50% $18,452,843 UBS RESA Fund N/A N/A N/A 5.79% $8,552,043 Long Wharf Real Estate Partners Fund V $3,000,000 $1,527,591 $61, % $2,025,833 Penn Square* $2,000,000 $1,223,611 $1,732, % $465,404 Colony Realty Partners Fund IV* $2,100,000 $2,225,188 $944, % $1,978,974 TownSquare Real Estate Alpha Fund I* $3,000,000 $1,800,410 $483, % $2,289,867 Westport Special Core Plus* $2,000,000 $1,881,200 $601, % $1,866,253 Westport Special Core Plus II* $4,000,000 $1,080,000 N/A 0% $1,080,000 *Contributions/distributions are added/subtracted at cost through 3/31/18 * Real Estate Total 12.50% $18,452,843 Real Estate Total 11.64% $18,258, % 5-15% Alternatives Hedge Fund of Funds 6.75% $9,964,535 Aetos 4.62% $6,820,827 GTAA 6.75% $9,964,535 Wellington Opportunistic Investment 7.67% $11,323,491 Alternatives Total 13.50% $19,929,070 Alternatives Total 12.29% $18,144, % 5-15% Cash Internal Account 0% $0 Cash 0.40% $594,245 Cash 0% $0 Cash 0.40% $594,245 Total 100% $147,622, % $147,622,740 Total Funded Ratio (MVA/PVAB) $147,622,740/$228,752,141 = 64.5% Funded Ratio (MVA/AL) $147,622,740/228,069,583= 64.7% Note: Actuarial Liability provided by Foster & Foster as of October 1,

16 Comparative Performance Allocation Performance Market Value 1 Year To Since Inception ($000) % Quarter Date Year Years Years Years Years Inception Date Total Fund Composite 147, /01/2000 TF Policy Index Domestic Equity 34, /01/2000 International Equity 34, /01/2000 Fixed Income 41, /01/2000 GTAA 11, N/A N/A /01/2011 Hedge Fund 6, /01/

17 Oct-2016 To Sep-2017 Oct-2015 To Sep-2016 Oct-2014 To Sep-2015 Oct-2013 To Sep-2014 Oct-2012 To Sep-2013 Oct-2011 To Sep-2012 Oct-2010 To Sep-2011 Total Fund Composite TF Policy Index Comparative Performance Returns for periods greater than one year are annualized. Returns are expressed as percentages. 15

18 Oct-2009 To Sep-2010 Oct-2008 To Sep-2009 Oct-2007 To Sep-2008 Oct-2006 To Sep-2007 Oct-2005 To Sep-2006 Total Fund Composite TF Policy Index Comparative Performance Returns for periods greater than one year are annualized. Returns are expressed as percentages. 16

19 Comparative Performance Allocation Performance Market Value ($000) % Total Fund Composite 147, TF Policy Index Domestic Equity 34, International Equity 34, Fixed Income 41, GTAA 11, N/A N/A N/A N/A Hedge Fund 6, N/A 17

20 Allocation Market Value ($000) % 1 Quarter Year To Date 1 Year 3 Years Performance 5 Years 7 Years Comparative Performance 10 Years Since Inception Inception Date Total Fund Composite 147, /01/2000 TF Policy Index Wedge Capital 11, /01/2007 Russell 1000 Value Index Wellington 12, N/A N/A /01/2011 Russell 1000 Growth Index Segall Bryant & Hamill 10, N/A N/A /01/2011 Russell 2000 Index Templeton 18, /01/2000 MSCI EAFE (Net) MSCI AC World ex USA (Net) N/A Acadian 15, N/A N/A /01/2011 MSCI EM (net) Fidelity 22, /01/2008 Blmbg. Barc. U.S. Aggregate DoubleLine 19, N/A N/A N/A /01/2015 Blmbg. Barc. U.S. Aggregate UBS Realty Investors 8, /01/2005 NCREIF ODCE Equal Weighted Wellington Opportunistic Investment 11, N/A N/A N/A N/A /01/ % MSCI ACWI/40% WGBI Aetos 6, /01/ Day T-Bill + 5% HFN HFOF Multi Strategy Bank of New York STIF /01/ Day U.S. Treasury Bill Miscellaneous Cash Account N/A N/A N/A N/A 0 01/01/

21 Performance Total Fund Composite TF Policy Index Comparative Performance Wedge Capital Russell 1000 Value Index Wellington N/A N/A Russell 1000 Growth Index Segall Bryant & Hamill N/A N/A Russell 2000 Index Templeton MSCI EAFE (Net) MSCI AC World ex USA (Net) Acadian N/A N/A MSCI EM (net) Fidelity Blmbg. Barc. U.S. Aggregate DoubleLine N/A N/A N/A N/A N/A Blmbg. Barc. U.S. Aggregate UBS Realty Investors NCREIF ODCE Equal Weighted Wellington Opportunistic Investment N/A N/A N/A N/A N/A N/A N/A 60% MSCI ACWI/40% WGBI Aetos Day T-Bill + 5% HFN HFOF Multi Strategy Bank of New York STIF Day U.S. Treasury Bill

22 1 Quarter Year To Date 1 Year 3 Years 5 Years 7 Years Since Inception Inception Date Private Real Estate Composite /19/2008 Comparative Performance - IRR Penn /25/2010 Colony N/A N/A /03/2013 TownSquare Real Estate Alpha Fund N/A N/A /31/2014 Westport Special Core Plus N/A N/A N/A /15/2015 Long Wharf Real Estate Partners V N/A N/A N/A /28/2016 Westport Special Core Plus II N/A N/A N/A N/A N/A N/A 0 03/12/

23 Allocation Market Value ($000) % 1 Quarter Year To Date 1 Year 3 Years Performance 5 Years 7 Years Comparative Performance 10 Years Net of Fees Since Inception Inception Date Total Fund Composite 147, /01/2000 TF Policy Index Wedge Capital 11, /01/2006 Russell 1000 Value Index Wellington 12, N/A N/A /01/2011 Russell 1000 Growth Index Segall Bryant & Hamill 10, N/A N/A /01/2011 Russell 2000 Index Templeton 18, /01/2000 MSCI EAFE (Net) MSCI AC World ex USA (Net) N/A Acadian 15, N/A N/A /01/2011 MSCI EM (net) Fidelity 22, /01/2008 Blmbg. Barc. U.S. Aggregate DoubleLine 19, N/A N/A N/A /01/2015 Blmbg. Barc. U.S. Aggregate UBS Realty Investors 8, /01/2004 NCREIF ODCE Equal Weighted Wellington Opportunistic Investment 11, N/A N/A N/A N/A /01/ % MSCI ACWI/40% WGBI Aetos 6, /01/ Day T-Bill + 5% HFN HFOF Multi Strategy Bank of New York STIF /01/ Day U.S. Treasury Bill Miscellaneous Cash Account N/A N/A N/A N/A 0 01/01/

24 Performance Total Fund Composite TF Policy Index Comparative Performance Net of Fees Wedge Capital Russell 1000 Value Index Wellington N/A N/A Russell 1000 Growth Index Segall Bryant & Hamill N/A N/A Russell 2000 Index Templeton MSCI EAFE (Net) MSCI AC World ex USA (Net) Acadian N/A N/A MSCI EM (net) Fidelity Blmbg. Barc. U.S. Aggregate DoubleLine N/A N/A N/A N/A N/A Blmbg. Barc. U.S. Aggregate UBS Realty Investors NCREIF ODCE Equal Weighted Wellington Opportunistic Investment N/A N/A N/A N/A N/A N/A N/A 60% MSCI ACWI/40% WGBI Aetos Day T-Bill + 5% HFN HFOF Multi Strategy Bank of New York STIF Day U.S. Treasury Bill

25 All Public Plans < $1B-Total Fund Return Qtr YTD 1 Yr 3 Yrs 5 Yrs 7 Yrs 10 Yrs Total Fund Composite 0.21 (14) 0.21 (14) 14 (54) 6.25 (55) 8.13 (41) 7.68 (47) 6.60 (58) TF Policy Index (39) (39) 9.42 (69) 6.27 (54) 7.88 (50) 7.94 (34) 6.39 (73) 5th Percentile st Quartile Median rd Quartile th Percentile Parentheses contain percentile rankings. Calculation based on quarterly periodicity. 23

26 All Public Plans < $1B-Total Fund Return Total Fund Composite (69) 7.60 (41) (71) 4.86 (88) (8) (37) 0.25 (49) TF Policy Index (76) 6.79 (62) 1.13 (20) 5.33 (82) 22 (16) (32) 1.35 (26) 5th Percentile st Quartile Median rd Quartile th Percentile Parentheses contain percentile rankings. Calculation based on quarterly periodicity. 24

27 All Public Plans <= 50% Equity Return Qtr YTD 1 Yr 3 Yrs 5 Yrs 7 Yrs 10 Yrs Total Fund Composite 0.21 (19) 0.21 (19) 14 (41) 6.25 (49) 8.13 (25) 7.68 (33) 6.60 (28) TF Policy Index (47) (47) 9.42 (57) 6.27 (48) 7.88 (39) 7.94 (19) 6.39 (41) 5th Percentile st Quartile Median rd Quartile th Percentile Parentheses contain percentile rankings. Calculation based on quarterly periodicity. 25

28 All Public Plans <= 50% Equity Return Total Fund Composite (43) 7.60 (40) (64) 4.86 (85) (4) (29) 0.25 (57) TF Policy Index (48) 6.79 (64) 1.13 (20) 5.33 (80) 22 (9) (26) 1.35 (33) 5th Percentile st Quartile Median rd Quartile th Percentile Parentheses contain percentile rankings. Calculation based on quarterly periodicity. 26

29 Total Composite Risk & Return Plan Sponsor 3 Years 12.0 Risk & Return Plan Sponsor 5 Years 16.0 Return Risk (Standard Deviation %) Standard Return Deviation Total Fund Composite TF Policy Index ¾ Median Return Risk (Standard Deviation %) Standard Return Deviation Total Fund Composite TF Policy Index ¾ Median Rolling Return and Tracking Error Active Return /00 9/01 6/02 3/03 12/03 9/04 6/05 3/06 12/06 9/07 6/08 3/09 12/09 9/10 6/11 3/12 12/12 9/13 6/14 3/15 12/15 9/16 6/17 3/18 Rolling 3 Yrs Active Return Rolling Tracking Error Active Return 27

30 Policy Index Weight Jan-1976 S&P Blmbg. Barc. U.S. Aggregate MSCI EAFE (Net) Apr-2001 Russell 3000 Index Blmbg. Barc. U.S. Aggregate MSCI EAFE (Net) 10 Jan-2005 S&P Blmbg. Barc. U.S. Aggregate 30 MSCI EAFE (Net) 10 Russell 2000 Index NCREIF Property Index 5.00 Jan-2008 S&P Blmbg. Barc. U.S. Aggregate MSCI EAFE (Net) Russell 2000 Index NCREIF Property Index Day T-Bill + 5% 5.00 Jan-2009 S&P Blmbg. Barc. U.S. Aggregate MSCI EAFE (Net) Russell 2000 Index NCREIF Property Index Day T-Bill + 5% 5.00 NCREIF ODCE Equal Weighted 7.00 Policy Index Weight Jan-2012 Blmbg. Barc. U.S. Aggregate S&P Russell 2000 Index MSCI EAFE (Net) MSCI EM (net) 5.00 NCREIF ODCE Equal Weighted 7.00 NCREIF Property Index 3.00 CPI + 5% Day T-Bill + 5% 5.00 Oct-2014 Blmbg. Barc. U.S. Aggregate S&P Russell 2000 Index 6.00 MSCI EAFE (Net) MSCI EM (net) 10 NCREIF ODCE Equal Weighted 8.75 NCREIF Property Index 3.75 CPI + 5% Day T-Bill + 5% 6.75 Jun-2016 Blmbg. Barc. U.S. Aggregate S&P Russell 2000 Index 6.00 MSCI EAFE (Net) MSCI EM (net) 10 NCREIF ODCE Equal Weighted 8.75 NCREIF Property Index % MSCI ACWI/40% WGBI Day T-Bill + 5% 6.75 TF Policy Index 28

31 Beginning Market Value ($) Net Cash Flow ($) Gain/Loss Periods Ending ($) From 10/ ,943,478 3,568,764 1,562,635 54,074, ,074,877-3,714, ,525 49,671, ,671,056-1,475,350-4,094,405 44,101, ,101, ,965 8,594,114 51,759, ,759, ,827 6,218,054 57,585, ,585,676 31,665 5,020,518 62,637, ,637,858 1,326,717 8,635,477 72,600, ,600, ,622 6,657,774 79,649, ,649,448 7,176,132-23,968,044 62,857, ,857,536-5,158,237 12,403,521 70,102, ,102, ,158 11,119,080 81,610, ,610,059 1,932, ,169 83,721, ,721, ,208 10,964,164 94,502, ,502, ,657 20,219, ,398, ,398,585-1,022,801 5,402, ,778, ,778, , , ,748, ,748,189-44,991 8,406, ,109, ,109,942 1,931,611 18,521, ,563, To 03/ ,563, , , ,622, ,943,478 4,046,459 94,632, ,622, Schedule of Investable Assets Since Inception Ending March 31, 2018 Ending Market Value ($) %Return Gain/Loss includes income received and change in accrued income for the period. 29

32 Domestic Equity 30

33 Wedge Capital Gain / Loss 1 Qtr YTD 1 Yr 3 Yrs 5 Yrs Wedge Capital Beginning Market Value 11,758,565 11,758,565 10,059,313 8,701,283 16,080,002 Net Cash Flows ,907-12,907-13,191,990 Income 56,555 56, , ,273 1,108,923 Gain/Loss -218, ,180 1,350,707 2,392,291 7,600,005 Ending Market Value 11,596,939 11,596,939 11,596,939 11,596,939 11,596,939 Rolling Return and Tracking Error Active Return /07 9/07 3/08 9/08 3/09 9/09 3/10 9/10 3/11 9/11 3/12 9/12 3/13 9/13 3/14 9/14 3/15 9/15 3/16 9/16 3/17 9/17 3/18 Performance Rolling 3 Yrs Active Return Rolling Tracking Error Active Return 1 Qtr YTD 1 Yr 3 Yrs 5 Yrs 7 Yrs 10 Yrs Wedge Capital Russell 1000 Value Index Difference

34 IM U.S. Large Cap Value Equity (SA+CF) Return Qtr YTD 1 Yr 3 Yrs 5 Yrs 7 Yrs 10 Yrs Wedge Capital (32) (32) (9) 16 (22) (9) (29) 9.85 (26) Russell 1000 Value Index (77) (77) 6.95 (89) 7.88 (70) (76) (66) 7.78 (82) 5th Percentile st Quartile Median rd Quartile th Percentile Parentheses contain percentile rankings. Calculation based on quarterly periodicity. 32

35 IM U.S. Large Cap Value Equity (SA+CF) Return Wedge Capital (14) (56) 0.10 (26) (32) (39) (55) 1.82 (40) Russell 1000 Value Index (88) (25) (69) (35) (62) (29) 0.39 (52) 5th Percentile st Quartile Median rd Quartile th Percentile Parentheses contain percentile rankings. Calculation based on quarterly periodicity. 33

36 Wedge Capital 2 Return 14.0 Standard Deviation 12.0 Tracking Error Years Years Years Years Years Years Wedge Capital Russell 1000 Value Index Median Up Market Capture Years Down Market Capture Years Time Periods Time Periods 5 Years Years Capitalization Russell 1000 Value Index Russell 1000 Growth Index Russell 2000 Value Index Russell 2000 Growth Index Manager Style Style History Mar-2018 Average Style Exposure 34

37 Top Ten Equity Holdings Portfolio Weight Benchmark Weight Active Weight Quarterly Return Intel Corp Northrop Grumman Corp Burlington Stores Inc Raytheon Co Lockheed Martin Corp Apple Inc General Dynamics Corp Fiserv Inc F5 Networks Inc ANSYS Inc Portfolio Characteristics Wedge Capital Portfolio Benchmark Wtd. Avg. Mkt. Cap ($) 67,311,019, ,119,495,789 Median Mkt. Cap ($) 20,741,128,260 9,446,527,360 Price/Earnings ratio Price/Book ratio Yr. EPS Growth Rate Current Yield Beta (5 Years, Monthly) Number of Stocks % of Portfolio Distribution of Market Capitalization Sector Weights >100 Bil 75 Bil Bil Bil - 75 Bil Bil - 25 Bil Bil - 15 Bil 0-2 Bil 0.2 Consumer Discretionary Consumer Staples Energy Financials Health Care Industrials Information Technology Materials Real Estate 4.6 Telecommunication Services Utilities Wedge Capital Wedge Capital Russell 1000 Value Index Russell 1000 Value Index 35

38 Ten Best Performers Portfolio Weight Benchmark Weight Active Weight Quarterly Return Micron Technology Inc NVIDIA Corp Motorola Solutions Inc Raytheon Co Autoliv Inc Eastman Chemical Co Northrop Grumman Corp Intel Corp S&P Global Inc FirstEnergy Corp Wedge Capital % of Portfolio Ten Worst Performers Portfolio Weight Benchmark Weight Active Weight Quarterly Return Weatherford International plc United Therapeutics Corp Thor Industries Inc Southwestern Energy Co Cigna Corp Murphy Oil Corp Alaska Air Group Inc Biogen Inc Parker-Hannifin Corp D.R. Horton Inc % of Portfolio

39 Buy-and-Hold Portfolio Portfolio Trading 5 Actual Return Benchmark Return Actual Active Return 1.46 Wedge Capital 1 Quarter Ending March 31, 2018 Stock Selection 0.34 Sector Selection 1.25 Interaction Total Selection 1.40 Portfolio Trading 5 Benchmark Trading -1 Active Trading Impact 6 Buy & Hold Active Return 1.46 Allocation 01/01/2018 Portfolio Benchmark Performance 1 Quarter Ending March 31, 2018 Portfolio Benchmark Attribution Stock Sector Interaction Total Consumer Discretionary Consumer Staples Energy Financials Health Care Industrials Information Technology Materials Real Estate Telecommunication Services Utilities Total

40 Wellington Gain / Loss 1 Qtr YTD 1 Yr 3 Yrs 5 Yrs Wellington Beginning Market Value 11,757,623 11,757,623 10,037,251 8,498,659 16,180,750 Net Cash Flows ,928-4,928-12,918,928 Income 23,536 23,536 95, , ,867 Gain/Loss 318, ,535 1,971,766 3,345,726 8,428,004 Ending Market Value 12,099,693 12,099,693 12,099,693 12,099,693 12,099,693 Rolling Return and Tracking Error 6.0 Active Return /11 3/12 9/12 3/13 9/13 3/14 9/14 3/15 9/15 3/16 9/16 3/17 9/17 3/18 Performance Rolling 3 Yrs Active Return Rolling Tracking Error Active Return 1 Qtr YTD 1 Yr 3 Yrs 5 Yrs 7 Yrs 10 Yrs Wellington N/A N/A Russell 1000 Growth Index Difference N/A N/A 38

41 IM U.S. Large Cap Growth Equity (SA+CF) Return Qtr YTD 1 Yr 3 Yrs 5 Yrs 7 Yrs 10 Yrs Wellington 2.91 (39) 2.91 (39) (53) (35) (60) N/A N/A Russell 1000 Growth Index 1.42 (61) 1.42 (61) (46) (30) (39) (33) (41) 5th Percentile st Quartile Median rd Quartile th Percentile Parentheses contain percentile rankings. Calculation based on quarterly periodicity. 39

42 IM U.S. Large Cap Growth Equity (SA+CF) Return Wellington (57) 4.04 (56) 6.33 (39) (59) (67) (74) N/A Russell 1000 Growth Index (38) 7.08 (27) 5.67 (45) (39) (59) (50) 2.64 (27) 5th Percentile st Quartile Median rd Quartile th Percentile Parentheses contain percentile rankings. Calculation based on quarterly periodicity. 40

43 Wellington 25.0 Return 14.0 Standard Deviation 12.0 Tracking Error Years Years Years Years Years Years Wellington Russell 1000 Growth Index Median Up Market Capture Years Down Market Capture Years Time Periods Time Periods 5 Years Years Capitalization Russell 1000 Value Index Russell 1000 Growth Index Russell 2000 Value Index Russell 2000 Growth Index Manager Style Style History Mar-2018 Average Style Exposure 41

44 Top Ten Equity Holdings Portfolio Weight Benchmark Weight Active Weight Quarterly Return Microsoft Corp Alphabet Inc Apple Inc Amazon.com Inc Facebook Inc Visa Inc Home Depot Inc. (The) Mastercard Inc Oracle Corp Caterpillar Inc Portfolio Characteristics Wellington Portfolio Benchmark Wtd. Avg. Mkt. Cap ($) 232,284,618, ,882,072,017 Median Mkt. Cap ($) 43,359,435,400 11,781,694,980 Price/Earnings ratio Price/Book ratio Yr. EPS Growth Rate Current Yield Beta (5 Years, Monthly) Number of Stocks % of Portfolio Distribution of Market Capitalization Sector Weights Consumer Discretionary Consumer Staples Energy Financials Health Care Industrials Information Technology Materials Real Estate Telecommunication Services Utilities >100 Bil 75 Bil Bil 25 Bil - 75 Bil 15 Bil - 25 Bil 2 Bil - 15 Bil 0-2 Bil Wellington Wellington Russell 1000 Growth Index Russell 1000 Growth Index 42

45 Ten Best Performers Portfolio Weight Benchmark Weight Active Weight Quarterly Return Okta Inc SS&C Technologies Holdings Inc ServiceNow Inc Workday Inc Domino's Pizza Inc Edwards Lifesciences Corp Amazon.com Inc Adobe Systems Inc Yandex NV Autodesk Inc Wellington % of Portfolio Ten Worst Performers Portfolio Weight Benchmark Weight Active Weight Quarterly Return Parker-Hannifin Corp QUALCOMM Inc Baker Hughes a GE Co Rockwell Automation Inc McKesson Corp Facebook Inc Citigroup Inc Middleby Corp (The) Chevron Corp Cummins Inc % of Portfolio

46 Buy-and-Hold Portfolio 2.85 Portfolio Trading 5 Actual Return 2.91 Benchmark Return 1.42 Actual Active Return 1.49 Wellington 1 Quarter Ending March 31, 2018 Stock Selection 1.53 Sector Selection 0.78 Interaction Total Selection 1.43 Portfolio Trading 5 Benchmark Trading -1 Active Trading Impact 7 Buy & Hold Active Return 1.49 Allocation 01/01/2018 Portfolio Benchmark Performance 1 Quarter Ending March 31, 2018 Portfolio Benchmark Attribution Stock Sector Interaction Total Consumer Discretionary Consumer Staples Energy Financials Health Care Industrials Information Technology Materials Real Estate Telecommunication Services Utilities Total

47 Segall Bryant & Hamill Gain / Loss 1 Qtr YTD 1 Yr 3 Yrs 5 Yrs Segall Bryant & Hamill Beginning Market Value 10,471,861 10,471,861 9,340,140 9,517,160 16,222,190 Net Cash Flows -285, , ,000-1,385,000-12,985,000 Income 21,507 21,507 67, , ,615 Gain/Loss 236, ,743 1,321,985 2,054,188 6,599,307 Ending Market Value 10,445,111 10,445,111 10,445,111 10,445,111 10,445,111 Rolling Return and Tracking Error Active Return /11 3/12 9/12 3/13 9/13 3/14 9/14 3/15 9/15 3/16 9/16 3/17 9/17 3/18 Performance Rolling 3 Yrs Active Return Rolling Tracking Error Active Return 1 Qtr YTD 1 Yr 3 Yrs 5 Yrs 7 Yrs 10 Yrs Segall Bryant & Hamill N/A N/A Russell 2000 Index Difference N/A N/A 45

48 IM U.S. Small Cap Equity (SA+CF) Return Qtr YTD 1 Yr 3 Yrs 5 Yrs 7 Yrs 10 Yrs Segall Bryant & Hamill 2.50 (20) 2.50 (20) (32) 8.20 (66) (77) N/A N/A Russell 2000 Index -8 (49) -8 (49) (54) 8.39 (63) (72) (77) 9.84 (79) 5th Percentile st Quartile Median rd Quartile th Percentile Parentheses contain percentile rankings. Calculation based on monthly periodicity. 46