North Carolina Supplemental Retirement Plans. Performance Review First Quarter 2017

Transcription

1 North Carolina Supplemental Retirement Plans Performance Review First Quarter 2017

2 Asset Allocation Summary Current Asset Allocation As of March 31, 2017 Prior Period Asset Allocation As of December 31, 2016 Balanced Fund 4.5% Loan Fund 0.7% Stable Value 12.2% Domestic Equity 30.0% Domestic Fixed 36.8% Domestic Equity 46.0% Balanced Fund 1.0% Target-Date 37.1% International Equity 5.5% International Equity 12.7% Domestic Fixed 13.4% Current Allocation As of March 31, 2017 Prior Period Allocation As of December 31, 2016 Active Core 45.8% Tier III - Active Core 32.8% Tier IV - Specialty 0.7% Passive Core 54.2% Tier II - Passive Core 29.4% Tier I - Target Date 37.1% Source: Prudential 2

3 Asset Allocation Asset Allocation as of March 31, 2017 Total Market Value % of Portfolio Passive Core Active Core Passive Core Vanguard Short-Term Bond Index Adm 1,878, % 1,878,882 Vanguard Total Bond Market Index Adm 847, % 847,837 Vanguard 500 Index Fund Admiral 1,998, % 1,998,356 Vanguard Extended Market Idx Adm 733, % 733,170 Vanguard Total International Stock Index Fund Adm 114, % 114,933 Active Core Metropolitan West Total Return Bd Plan 1,063, % 1,063,893 PIMCO Inflation Response Multi-Asset Fund Inst 461, % 461,581 Vanguard Windsor II Fund Adm 735, % 735,922 T. Rowe Price Blue Chip Growth I 622, % 622,993 DFA US Small Cap I 637, % 637,314 MFS Instl International Equity 1,192, % 1,192,141 Total $ 10,287, % 5,573,178 4,713,844 Source: Prudential 3

4 Performance Summary (returns are reported net of fees and are annualized for time periods over a year) Market Value ($) % of Portfolio 3 Mo (%) Peer Rank (%) 1 Yr (%) Peer Rank (%) 3 Yrs (%) Peer Rank (%) 5 Yrs (%) Peer Rank (%) Passive Core Vanguard Short-Term Bond Index Adm 1,878, % Bloomberg Barclays US 1-5Y GovCredit FlAdj TR USD Morningstar Institutional Category = Short/Intermediate Inv. Grade (2.5-4) Vanguard Total Bond Market Index Adm 847, % Bloomberg Barclays US Agg Bond TR USD Morningstar Institutional Category = Intermediate Government (4-6) Index 0.6 (1.6) Vanguard 500 Index Fund Admiral 1,998, % S&P 500 TR USD Morningstar Institutional Category = S&P 500 Tracking Vanguard Extended Market Idx Adm 733, % S&P Completion TR USD Morningstar Institutional Category = SMID Core Index Vanguard Total International Stock Index Fund Adm 114, % FTSE Global All Cap ex US (USA) NR USD Morningstar Institutional Category = Foreign Large Core Active Core Metropolitan West Total Return Bd Plan 1,063, % Bloomberg Barclays US Agg Bond TR USD Morningstar Institutional Category = A-Rated PIMCO Inflation Response Multi-Asset Fund Inst 461, % PIMCO Inflation Response Index** (0.1) 79 (0.2) 51 Morningstar Institutional Category = Inflation-Protected Bond (0.2) Vanguard Windsor II Fund Adm 735, % Russell 1000 Value TR USD Morningstar Institutional Category = Large Core Value T. Rowe Price Blue Chip Growth I 622, % Russell 1000 Growth TR USD Morningstar Institutional Category = Large Core Growth DFA US Small Cap I 637, % Russell 2000 TR USD Morningstar Institutional Category = Small Core MFS Instl International Equity 1,192, % MSCI EAFE GR USD Morningstar Institutional Category = Foreign Large Growth Total $ 10,287, % Ending March 31, 2017 Indicates fund was added to program on 2/22/2017 Indicates fund currently on Watch List or Recommended for Removal All performance data taken from Morningstar database Fund benchmarks match those defined within fund prospectus documents unless otherwise footnoted Fund universe categories are defined by the respective Morningstar Institutional Mutual Fund Universe (except for PIMCO Inflation Response Multi-Asset Fund for which the Inflation-Protected Bond universe was deemed a better fit) *Morningstar Stable Value Universe unavailable **PIMCO Inflation Response Index deemed most appropriate benchmark for PIMCO Inflation Response Index Multi-Asset Fund Source: Morningstar Direct 4

5 Performance Summary Funds in Program Through 2/22/2017 Ending March 31, Mo (%) Peer Rank (%) 1 Yr (%) Peer Rank (%) 3 Yrs (%) Peer Rank (%) 5 Yrs (%) Peer Rank (%) Funds in Program Through 2/22/2017 Wells Fargo Advantage Dow Jones Tgt Today Fund R DJ Target Today TR USD Morningstar Institutional Category = Retirement Income Conservative Wells Fargo Advantage Dow Jones Tgt 2020 Fund R DJ Target 2020 TR USD Morningstar Institutional Category = Target Date Conservative Wells Fargo Advantage Dow Jones Tgt 2030 Fund R DJ Target 2030 TR USD Morningstar Institutional Category = Target Date Conservative Wells Fargo Advantage Dow Jones Tgt 2040 Fund R DJ Target 2040 TR USD Morningstar Institutional Category = Target Date Conservative Wells Fargo Advantage Dow Jones Tgt 2050 Fund R DJ Target 2050 TR USD Morningstar Institutional Category = Target Date Moderate TIAA Stable Value* BofA Merrill Lynch 91 Day T-Bill JPMorgan Core Bond Fund R Bloomberg Barclays US Agg Bond TR USD Morningstar Institutional Category = A-Rated Source: Morningstar Direct; TIAA Indicates fund was added to program on 2/22/2017 Indicates fund currently on Watch List or Recommended for Removal All performance data taken from Morningstar database Fund benchmarks match those defined within fund prospectus documents unless otherwise footnoted Fund universe categories are defined by the respective Morningstar Institutional Mutual Fund Universe (except for PIMCO Inflation Response Multi-Asset Fund for which the Inflation-Protected Bond universe was deemed a better fit) *Morningstar Stable Value Universe unavailable **PIMCO Inflation Response Index deemed most appropriate benchmark for PIMCO Inflation Response Index Multi-Asset Fund 5

6 First Quarter 2017 Performance Watch List Vanguard Windsor II Admiral Fund Since 2Q15 This fund was recommended to be placed on watch by Mercer in the 2 nd quarter of 2015 due to four consecutive quarters of underperformance as measured by trailing 3-year returns. The fund outperformed the Russell 1000 Value in the 1 st quarter by 1.50% and placed in the 18 th percentile relative to their peer group. As high dividend yielding stocks outperformed over the past year, managers focused on pure value, like the Vanguard Windsor II Fund, tended to underperform the benchmark. The fund underperformed the benchmark for the 3 and 5-year trailing time periods while placing in the 27 th and 28 th percentiles relative to their peer group over those same time periods. 6

7 Fund Expenses Expense Ratios do not include plan recordkeeping costs. Median Net Expense Ratios based off of Morningstar defined universes unless otherwise specified. Fund Style Fund Balance Estimated Annual Fund Expense Fund Gross Expense Ratio Fund Net Expense Ratio Median Net Expense Ratio* Net Expense Diff. Vanguard Short-Term Bond Index Adm US Fixed 1,878,882 1, % 0.09% 0.07% 0.02% Vanguard Total Bond Market Index Adm US Fixed 847, % 0.06% 0.20% -0.14% Vanguard 500 Index Fund Admiral US Large Cap Equity 1,998, % 0.05% 0.42% -0.37% Vanguard Extended Market Index Fund Admiral US SMID Cap Equity 733, % 0.09% 0.07% 0.02% Vanguard Total International Stock Index Fund Adm International Equity 114, % 0.11% 0.40% -0.29% Metropolitan West Total Return Bd Plan US Fixed 1,063,893 4, % 0.38% 0.70% -0.32% PIMCO Inflation Response Multi-Asset Fund Inst** Balanced 461,581 3, % 0.70% 0.64% 0.06% Vanguard Windsor II Fund Adm US Large Cap Equity 735,922 1, % 0.26% 1.00% -0.74% T Rowe Price Blue Chip Growth*** US Large Cap Equity 622,993 3, % 0.62% 1.00% -0.38% DFA US Small Cap Inst US Small Cap Equity 637,314 2, % 0.37% 1.10% -0.73% MFS Instl International Equity International Equity 1,192,141 8, % 0.71% 1.06% -0.35% Total $ 10,287,022 $ 27, % 0.27% 0.54% -0.27% Source: Morningstar Direct *Median institutional share class net expense ratio as defined by the respective Morningstar Institutional Mutual Fund Universe (passive mutual fund peer universes only include funds which are categorized as Index Fund ) **PIMCO Gross Expense Ratio: As noted in the prospectus, the total expenses paid by investors in the PIMCO Inflation Response Multi-Asset Institutional fund are currently 0.86%, reflecting a fee waiver/expense reimbursement of 0.28% from the gross expense ratio of 1.14%. PIMCO Net Expense Ratio: Net operating expenses ex-interest: 0.70% ***T Rowe Price Gross Expense Ratio: T Rowe Price has agreed to a fee waiver of 0.01% through April 30,