City of Jacksonville Police and Fire Pension Fund

Transcription

1 Investment Review August 20, 2018 City of Jacksonville Police and Fire Pension Fund Christopher J. Greco Partner, Institutional Marketing and Client Service (904) Martin E. LaPrade, CFA Partner, Equity Portfolio Manager (904) The Greens Way, Suite 20 Jacksonville Beach, FL

2 This Page Intentionally Left Blank 2

3 For Today s Meeting Account & Performance Review Market Review Current Portfolio Positioning Looking Forward STABILITY CONSISTENCY COMMITMENT 3

4 The Sawgrass Partnership with the Jacksonville Police & Fire Pension Fund Relationship Inception Date: October 10, 2013 Portfolio Managed: Diversified Large Growth Equity Benchmark: Russell 1000 Growth Investment Policy Goals & Objectives: Provide long-term benefits to the Fund s participants and their beneficiaries Preserve the purchasing power of the Fund s assets and earn a reasonable real rate of return (after inflation) over the long term while minimizing, to the extent reasonable, the short-term volatility of returns Prudently manage the inherent investment risks that are related to the achievement of the Fund s investment objectives. Primary investment objective of the Board is to maximize the probability of achieving an investment return that satisfies the Actuarial Rate of Return assumed for the Fund s investment portfolio, subject to risk considerations. Our Client Mission Statement: Sawgrass goal is to strengthen the financial security of our clients through active management of investment portfolios producing strong long term results. Our relationships are driven by our core values of integrity, respect, hard work, and ethical behavior. STABILITY CONSISTENCY COMMITMENT 4

5 Sawgrass Asset Management By the Numbers 100 Percent Employee-Owned 26 States in which Sawgrass Represents Clients 28 Average Years of Investment Experience for Our Team 20 Years Serving Our Institutional Clients 3.9 Billion in Assets Under Advisement 0 Equity Team Departures Since Inception (PM s/analysts) Sawgrass Mission Statement to Clients and Employees: To strengthen the financial security of our clients through active management of high quality portfolios producing strong long term investment results. Our relationships are driven by our core values of integrity, respect, hard work, and ethical behavior. *Information as of June 2018 STABILITY CONSISTENCY COMMITMENT 5

6 Sawgrass Asset Management Clients PROUDLY SERVING CLIENTS IN 27 STATES Sawgrass Clients WA MT ND ME CA OR NV ID UT WY CO SD NE KS MN IA MO WI IL IN M I OH KY WV PA VA NY DE VT NH MA RI CT NJ MD AZ NM OK AR TN NC SC TX LA MS AL GA AK FL HI STABILITY CONSISTENCY COMMITMENT 6

7 Experience Working with Municipal Plans in Florida STABILITY CONSISTENCY COMMITMENT 7

8 The Sawgrass Advantage Stability of Our People, Process and Investment Style Direct Access to Your Portfolio Manager Historical Outperformance with Less Risk * Strong Client Relationships Transparency/Communication Minimize Surprises *Since Inception. Please refer to Performance Disclosure Statement herein. STABILITY CONSISTENCY COMMITMENT 8

9 The Sawgrass Growth Equity Team Experience & Continuity Years of Investment Experience 34 Dean McQuiddy, CFA* : 2010 Sawgrass Inception 2017 Years with Sawgrass Marty LaPrade, CFA* Patrick Riley, CFA* 20 Marc Davis, CFA 37 Rusty Creighton, CFA* 12 Anthony Brooks 30 Tim Christiansen 28 YEAR AVERAGE Sawgrass has experienced zero equity team departures since inception (portfolio managers/analysts). *The core of our equity team has worked together for over 25 years, dating back to Barnett Capital Advisors. STABILITY CONSISTENCY COMMITMENT 9

10 The Sawgrass Growth Equity Alpha Thesis Risk is Often Mispriced Consistent Growth is Underappreciated Lower Volatility Rewarded Over Time Valuation Anomaly Persists STABILITY CONSISTENCY COMMITMENT 10

11 A Confirmation of Our Thesis Low Volatility Attributes Have Outperformed Over Time 10, , Lowest Price Volatility Quintile Benchmark Highest Price Volatility Quintile 5, , Cumulative Returns 12/31/84 12/31/16 Stable Earnings Have Been Rewarded Most Stable Sales, Earnings, Margin Quintile Benchmark Least Stable Sales, Earnings, Margin Quintile D-84 D-85 D-86 D-87 D-88 D-89 D-90 D-91 D-92 D-93 D-94 D-95 D-96 D-97 D-98 D-99 D-00 D-01 D-02 D-03 D-04 D-05 D-06 D-07 D-08 D-09 D-10 D-11 D-12 D-13 D-14 D J-99 J-00 J-01 J-02 J-03 J-04 J-05 J-06 J-07 J-08 J-09 J-10 J-11 J-12 J-13 J-14 J-15 J-16 5, Low P/E Stocks Have Outperformed Lowest P/E Quintile Benchmark Highest P/E Quintile 4, , D-84 D-85 D-86 D-87 D-88 D-89 D-90 D-91 D-92 D-93 D-94 D-95 D-96 D-97 D-98 D-99 D-00 D-01 D-02 D-03 D-04 D-05 D-06 D-07 D-08 D-09 D-10 D-11 D-12 D-13 D-14 D-15 *Source: FactSet, Axioma, Russell. Universe: Russell 3000 Growth, 3 Month Rebalance, Linked Returns. STABILITY CONSISTENCY COMMITMENT 11

12 Sawgrass Diversified Large Growth Equity 5 Year Peer Rankings Strong Risk-Adjusted Returns Some of the Best Risk Mitigation in Down Markets Very Low Standard Deviation Downside Protection Lower Volatility # of Observations STABILITY CONSISTENCY COMMITMENT 12

13 Diversified Large Growth Equity 2Q18 Portfolio Review & Outlook Market Review Following the volatility of the first quarter, the S&P 500 resumed its upward march to post a solid return of 3.4% for the second quarter. Growth generally continued to lead as the Russell 3000 Growth index bettered Russell 3000 Value 5.9% vs 1.7% while smaller stocks were the strongest as the Russell 2000 led the Russell % vs. 3.6%. Energy stocks posted the strongest returns for the quarter as oil prices rose, while Discretionary and Technology were again the largest contributors to the index return. Industrials were the weakest sector as concerns over a trade war impacted the group, and Financials also declined as the yield curve flattened. Staples were negative and have been the biggest drag on the index for the year. The tone of the market continues the risky theme that has been evident for the last 18 months. The FAANGs all posted new highs and strong double digit gains for the quarter. From a factor perspective price momentum continued to be the strongest while favorable valuation continued to be the weakest, providing another indication of investors appetite for risk. Portfolio Review Given the ongoing narrow returns in large growth, the portfolio lagged the strong 5.8% return of the Russell 1000 Growth Index for the quarter. This was the 6 th consecutive quarter that growth has led in the large cap space and has not only tripled large value returns for this period, 39.7% vs 11.7%, but has led the entire equity market. From a sector perspective most of our deficit occurred in Discretionary. While we had a number of strong stocks in the portfolio with TJX, Nike, Dunkin, Home Depot and Costco, they were not enough to offset a weak performance from Starbucks and the very strong performance from stocks not in the portfolio with Netflix and Amazon. Factor themes modestly worked against the portfolio as our positive exposure to favorable valuation and underexposure to stronger momentum hurt our returns. While the portfolio held six of the top ten contributors (Apple, Microsoft, United Health, Google, Home Depot and MasterCard), along with outsized performers in TJX, Nike, Dunkin and Expeditors, they were not enough to keep pace in this increasingly narrow market. STABILITY CONSISTENCY COMMITMENT 13

14 Diversified Large Growth Equity 2Q18 Portfolio Review & Outlook (Cont.) Outlook The FAANGs continue to lead this market higher. The tone of the market clearly feels like a chase for returns as strong price momentum has attracted investors. A momentum strategy works well until it doesn t. While stocks posted solid returns for the quarter, the broad market did not regain the highs made in January. With this in mind, it is hard to tell whether stocks are consolidating gains before another push higher or are in the early stages of a topping process. Overall the profile remains the same. Stocks have enjoyed a long strong bull run, valuations are above average and interest rates have begun to creep higher. With this setting we feel now is the time to be conscious of risk and beware of greed. Sawgrass Diversified Large Growth Composite Portfolio versus Russell 1000 Growth What Helped: What Hurt: Staples Selection (McCormick) Discretionary Selection (Starbucks, No Amazon, No Netflix) Industrials Selection (Expeditors) Technology Selection (No Facebook) Utilities Selection (Verizon) Lower risk profile (Underweight momentum) STABILITY CONSISTENCY COMMITMENT 14

15 Unprecedented Fed Liquidity Explosion of the Federal Reserve Balance Sheet Source: Bloomberg STABILITY CONSISTENCY COMMITMENT 15

16 What is Missing in This Market? A Normal Occurrence of Negative Periods 60% Russell 1000 Growth % Negative Quarters Rolling 5 Year Periods - As of 3/29/ % 50% 45% 40% Median 6 out of 20 negative quarters 35% 30% 25% 20% 15% 10% 1 out of 20 negative quarters 5% 0% 3/31/1984 3/31/1985 3/31/1986 3/31/1987 3/31/1988 3/31/1989 3/31/1990 3/31/1991 3/31/1992 3/31/1993 3/31/1994 3/31/1995 3/31/1996 3/31/1997 3/31/1998 3/31/1999 3/31/2000 3/31/2001 3/31/2002 3/31/2003 3/31/2004 3/31/2005 3/31/2006 3/31/2007 3/31/2008 3/31/2009 3/31/2010 3/31/2011 3/31/2012 3/31/2013 3/31/2014 3/31/2015 3/31/2016 3/31/2017 3/31/2018 Rolling Five Year Average Source: Intercontinental Exchange Inc. STABILITY CONSISTENCY COMMITMENT 16

17 Portfolio Summary City of Jacksonville Police and Fire Pension Fund As of 6/30/2018 Portfolio Market Values 1 Year Beginning Market Value on 6/30/2017 $97,771,851 Net Cash Flows 500,000 Investment Gain/Loss $15,609,225 Portfolio Summary Asset Class Market Value Percent of Assets Equity $110,332,442 97% Cash & Equivs. $3,548,633 3% TOTAL $113,881, % Ending Market Value on 06/30/2018 $113,881,076 Since Inception Beginning Market Value on 10/10/2013 $54,904,297 Asset Allocation Net Cash Flows $5,967,821 Investment Gain/Loss $53,008,958 Ending Market Value on 06/30/2018 $113,881,076 Cash & Equivs. 3% Equity 97% STABILITY CONSISTENCY COMMITMENT 17

18 Portfolio Performance City of Jacksonville Police and Fire Pension Fund As of 7/31/2018 TOTAL RETURNS GROSS FOR SELECT PERIODS City of Jacksonville Police and Fire Pension Fund 25% 20% 15% 10% 5% 0% QTD 1 Year 3 Year Since Inception Portfolio 3.87% 19.89% 11.86% 13.46% Russell 1000 Growth 2.94% 22.84% 14.81% 15.84% Returns for periods of one year or longer are annualized *Since Inception 10/10/13 STABILITY CONSISTENCY COMMITMENT 18

19 Top Holdings & Attributes City of Jacksonville Police and Fire Pension Fund 06/30/18 Top 10 Holdings Apple 5.6% Microsoft 5.4% Alphabet 5.1% Home Depot 3.5% Mastercard 2.9% TJX Companies 2.7% UnitedHealth Group 2.7% Ecolab 2.6% Walt Disney 2.5% Nike 2.5% Portfolio Attributes versus the Index Earnings Growth: Portfolio Russell 1000 Growth Miscellaneous: Portfolio Russell 1000 Growth EPS Growth - Forecast 1 Year (%) Number of Stocks Held Weighted Avg. Market Cap ($B) Valuation: P/E Next 12 Month s EPS (X) Price/Sales (X) Price/Book (X) Risk Measures: Five Year Standard Deviation (%) Five Year Realized Beta Five Year Realized Tracking Error (%) Source: Factset STABILITY CONSISTENCY COMMITMENT 19

20 Sector Breakdown City of Jacksonville Police and Fire Pension Fund 06/30/18 Sector Weights versus the Index Portfolio Russell 1000 Growth 40% 37% 35% 30% 27% 25% 20% 21% 20% 15% 10% 5% 0% Consumer Discretionary 6% 5% Consumer Staples 0% 1% 10% 9% 15% 14% 13% 12% Energy Financials Health Care Industrials Information Technology 3% 2% Materials 1% 0% Utilities Source: Factset STABILITY CONSISTENCY COMMITMENT 20

21 Portfolio Holdings City of Jacksonville Police and Fire Pension Fund 06/30/18 Consumer Discretionary 21% Home Depot 3.5 TJX Companies 2.7 Walt Disney 2.5 Nike 2.5 McDonald's 2.2 Comcast 2.1 Costco Wholesale 1.9 Starbucks 1.5 Dunkin' Brands Group 1.4 AutoZone 1.2 Consumer Staples 6% McCormick & Company 2.1 Coca-Cola 1.7 Clorox 1.1 Dr Pepper Snapple Group 0.8 Financials 10% Mastercard 2.9 Marsh & McLennan 2.1 Broadridge Financial Solutions 1.9 Fiserv 1.8 Berkshire Hathaway 1.6 Health Care 15% UnitedHealth Group 2.7 Laboratory Corporation of America 2.2 Amgen 2.0 Abbott Laboratories 1.4 AbbVie 1.4 Cooper Companies 1.4 Danaher 1.1 Johnson & Johnson 1.0 Varian Medical Systems 0.9 Cerner 0.5 Industrials 14% Honeywell 2.3 Expeditors 2.0 Lockheed Martin 1.7 Union Pacific 1.6 Paychex 1.3 Verisk Analytics 1.3 Illinois Tool Works 1.2 FedEx 1.1 Fortive 1.0 3M 0.9 Information Technology 27% Apple 5.6 Microsoft 5.4 Alphabet 5.1 Oracle 2.5 F5 Networks 2.2 Cognizant Technology Solutions 2.1 Citrix Systems 1.0 Intel 1.0 Vmware 1.0 Dell Technologies 0.8 Materials 3% Ecolab 2.6 Utilities 1% Verizon Communications 1.2 Total # of Securities 51 STABILITY CONSISTENCY COMMITMENT 21

22 Attribution Performance by Sector 1 Year Sawgrass Diversified Large Growth vs. Russell 1000 Growth 06/30/2017 to 06/29/2018 Sawgrass Diversified Large Growth Variation Russell 1000 Growth Attribution Analysis Port. Port. Port. Bench. Bench. Bench. Average Total Contrib. Average Total Contrib. Average Total Contrib. Weight Return To Return Allocation Selection + Total Sawgrass Russell Sector Weight Return To Return Weight Return To Return Difference Difference Difference Effect Interaction Effect Total (5.64) (5.64) (2.14) (3.50) (5.64) Consumer Discretionary (0.69) (15.93) (2.87) (0.09) (2.95) (3.04) Consumer Staples (1.95) (0.15) (0.20) Energy (0.84) (16.45) (0.14) Financials (0.99) (0.05) Health Care (6.80) (0.43) (0.47) (1.28) (1.75) Industrials (2.02) (0.15) (0.09) (0.29) (0.38) Information Technology (8.12) (1.82) (3.03) (0.73) (0.38) (1.11) Materials (1.62) (1.57) (0.31) 0.26 (0.05) 0.21 Utilities [Cash] (0.90) 0.00 (0.90) Tech and Discretionary Continue to have Outsized Returns and Contribution in this Strong One Year Return. Source: FactSet STABILITY CONSISTENCY COMMITMENT 22

23 Attribution Performance by Security 1 Year Sawgrass Diversified Large Growth vs. Russell 1000 Growth Favorable portfolio stocks 06/30/2017 to 06/29/2018 Unfavorable portfolio stocks Benchmark stocks not owned Sawgrass Diversified Large Growth Variation Russell 1000 Growth Port. Port. Port. Bench. Bench. Bench. Average Total Contrib. Average Total Contrib. Average Total Contrib. Weight Return To Return Benchmark Sawgrass Russell Sector Weight Return To Return Weight Return To Return Difference Difference Difference Not owned Total (5.64) (5.64) (5.66) Consumer Discretionary (0.69) (15.93) (2.87) TJX Companies Inc NIKE, Inc. Class B Home Depot, Inc Dunkin' Brands Group, Inc (11.03) 0.17 Costco Wholesale Corporation McDonald's Corporation AutoZone, Inc (2.19) (0.02) (0.10) (19.81) (0.04) Walt Disney Company (0.10) (0.01) (0.09) Omnicom Group Inc 0.12 (12.35) (0.13) 0.14 (5.04) (0.01) (0.01) (7.32) (0.11) Comcast Corporation Class A 2.33 (14.55) (0.35) 1.25 (11.94) (0.16) 1.08 (2.60) (0.19) Starbucks Corporation 2.19 (14.48) (0.42) 0.63 (14.48) (0.08) (0.33) Netflix, Inc (0.78) (161.98) (0.79) Amazon.com, Inc (3.97) (75.60) (2.31) (3.09) Consumer Staples (1.95) (0.15) McCormick & Company, Incorporated Dr Pepper Snapple Group, Inc Coca-Cola Company Clorox Company (0.02) (0.02) Energy (0.84) (16.45) (0.14) Financials (0.99) Mastercard Incorporated Class A Broadridge Financial Solutions, Inc Cboe Global Markets Inc Berkshire Hathaway Inc. Class B (1.20) (0.00) Fiserv, Inc (4.55) 0.17 Marsh & McLennan Companies, Inc STABILITY CONSISTENCY COMMITMENT 23

24 Attribution Performance by Security 1 Year (cont.) Sawgrass Diversified Large Growth vs. Russell 1000 Growth Favorable portfolio stocks 06/30/2017 to 06/29/2018 Unfavorable portfolio stocks Benchmark stocks not owned Sawgrass Diversified Large Growth Variation Russell 1000 Growth Port. Port. Port. Bench. Bench. Bench. Average Total Contrib. Average Total Contrib. Average Total Contrib. Weight Return To Return Benchmark Sawgrass Russell Sector Weight Return To Return Weight Return To Return Difference Difference Difference Not owned Health Care (6.80) (0.43) AbbVie, Inc UnitedHealth Group Incorporated Laboratory Corporation of America Holdings (5.08) (0.00) Abbott Laboratories Danaher Corporation Varian Medical Systems, Inc Amgen Inc (9.01) (0.01) Cooper Companies, Inc (1.63) (0.03) 0.07 (1.63) (0.00) (0.03) Johnson & Johnson 2.14 (5.85) (0.09) 0.44 (5.85) (0.02) (0.07) Cerner Corporation 1.54 (5.96) (0.15) 0.15 (10.05) (0.01) (0.14) Henry Schein, Inc (23.46) (0.26) 0.09 (20.62) (0.03) 0.26 (2.84) (0.23) Celgene Corporation 1.59 (31.69) (0.81) 0.66 (38.85) (0.32) (0.49) Industrials (2.02) (0.15) Expeditors International of Washington, Inc Verisk Analytics Inc Honeywell International Inc Union Pacific Corporation Fortive Corp FedEx Corporation Paychex, Inc (0.01) (17.69) 0.03 Lockheed Martin Corporation Illinois Tool Works Inc (1.27) (1.27) M Company 1.47 (3.27) (0.01) 1.00 (3.27) (0.01) (0.00) Boeing Company (1.29) (73.36) (0.74) (0.74) STABILITY CONSISTENCY COMMITMENT 24

25 Attribution Performance by Security 1 Year (cont.) Sawgrass Diversified Large Growth vs. Russell 1000 Growth Favorable portfolio stocks 06/30/2017 to 06/29/2018 Unfavorable portfolio stocks Benchmark stocks not owned Sawgrass Diversified Large Growth Variation Russell 1000 Growth Port. Port. Port. Bench. Bench. Bench. Average Total Contrib. Average Total Contrib. Average Total Contrib. Weight Return To Return Benchmark Sawgrass Russell Sector Weight Return To Return Weight Return To Return Difference Difference Difference Not owned Information Technology (8.12) (1.82) (3.03) Intel Corporation F5 Networks, Inc Alphabet Inc. Class A VMware, Inc. Class A (16.60) 0.46 Citrix Systems, Inc Dell Technologies Inc Class V Microsoft Corporation (0.05) 0.00 (0.07) Cognizant Technology Solutions Corporation (0.01) (18.43) (0.08) Oracle Corporation 2.20 (10.74) (0.25) 0.09 (10.74) (0.01) (0.24) Apple Inc (1.47) 0.00 (0.51) Adobe Systems Incorporated (0.73) (72.38) (0.43) NVIDIA Corporation (0.94) (64.33) (0.48) Facebook, Inc. Class A (3.25) (28.71) (0.92) (1.83) Materials (1.62) (1.57) (0.31) Ecolab Inc Fastenal Company 0.16 (7.50) (0.10) (21.24) (0.12) Utilities Verizon Communications Inc [Cash] Source: FactSet STABILITY CONSISTENCY COMMITMENT 25

26 Contribution to Return Top 10/Bottom 10 1 Year Sawgrass Diversified Large Growth 06/30/2017 to 06/29/2018 Port. Port. Price Beginning Ending Change Total Contribution Ticker Security Name Weight Weight (%) Return To Return MSFT Microsoft Corporation AAPL Apple Inc MA Mastercard GOOGL Alphabet Inc. Class A INTC Intel Corporation ABBV AbbVie, Inc UNH UnitedHealth Group TJX TJX Companies Inc NKE NIKE, Inc. Class B HD Home Depot, Inc JNJ Johnson & Johnson (8.28) (5.85) (0.09) DIS Walt Disney Company (1.36) 0.19 (0.10) FAST Fastenal Company (8.18) (7.50) (0.10) OMC Omnicom Group Inc (12.35) (12.35) (0.13) CERN Cerner Corporation (5.96) (5.96) (0.15) ORCL Oracle Corporation (12.13) (10.74) (0.25) HSIC Henry Schein, Inc (23.46) (23.46) (0.26) CMCSA Comcast Corporation (15.70) (14.55) (0.35) SBUX Starbucks Corporation (16.22) (14.48) (0.42) CELG Celgene Corporation (31.69) (31.69) (0.81) Source: FactSet STABILITY CONSISTENCY COMMITMENT 26

27 5 Year Performance Sawgrass Diversified Large Growth 5 Year as of 2Q11 5 Year as of 2Q16 We Have Survived Unfavorable Challenging Markets Before ( ) Sawgrass Diversified Large Growth Equity Russell 1000 Growth Index Source: evestment Alliance using monthly calculations, Large Cap Growth equity universe as of the quarter end dates stated above. Returns are gross of fees. STABILITY CONSISTENCY COMMITMENT 27

28 Can We Keep This Rally Going? Frequency of Decline Latest Every 1 yr > -10% Feb Every 3.9 yrs > -20%? Sept Yrs Every 8.1 yrs > -30% Mar Yrs? STABILITY CONSISTENCY COMMITMENT 28

29 The Recipe for Success The Importance of Down Market vs. Up Market Capture 100% OUTPERFORMING MANAGER AVERAGES 89% 96% 0% Down Market Capture Since 3/31/98 Up Market Capture Since 3/31/98 Since 3/31/98, 93 Active Large Cap Products Outperformed the Russell 1000 Growth Index; Outperforming Active Managers had an Average Up Market Capture of 96%; Outperforming Active Managers had an Average Down Market Capture of 89%. *Source: evestment Alliance as of 6/30/18 STABILITY CONSISTENCY COMMITMENT 29

30 Market Cycle Experience The Power of Downside Protection Past Periods of Large Cap Relative Underperformance And Subsequent Period Returns Last 2 Years of Tech Bubble 3/31/98 3/31/00 Next 5 Years 3/31/00 3/31/05 Sawgrass Large Cap (%) Russell 1000 Growth (%) Diff Sawgrass Large Cap (%) Russell 1000 Growth (%) Diff Cumulative Year Cumulative Return As of 3/31/05 $18,000,000 $14,000,000 7 Year Growth of $10M As of 3/31/05 $12,510,000 Sawgrass Large Cap (%) Russell 1000 Growth (%) Diff $10,000,000 Sawgrass Large Cap Growth - Gross of Fees $9,550, $6,000,000 Russell 1000 Growth - Gross of Fees Mar-98 Sep-98 Mar-99 Sep-99 Mar-00 Sep-00 Mar-01 Sep-01 Mar-02 Sep-02 Mar-03 Sep-03 Mar-04 Sep-04 Mar-05 Source: Advent Axys and evestment Alliance. STABILITY CONSISTENCY COMMITMENT 30

31 Performance: Three Phases of a Market Cycle Consistent Results Across Various Markets Negative Markets Positive Markets (0-15% Returns) Strong Positive Markets (>15% Returns) Number of Years Sawgrass Outperformed 4/ 4 6/ 8 1/ 8 Performance Across Various Markets As of Year-End 2017 Sawgrass R1000G Cumulative Return* % % Annualized Return* 7.23% 6.20% Standard Deviation* *Since March 31, 1998 Inception STABILITY CONSISTENCY COMMITMENT 31

32 Index Rankings in Negative Markets 0% Calendar Year Returns 25% Median 75% 100% Russell 1000 Growth 2000 Rank 2001 Rank Rank 71 Source: evestment Alliance using monthly calculations, Large Cap Growth equity universe as of the calendar year end dates stated above. STABILITY CONSISTENCY COMMITMENT 32

33 Follow the Money? Might History Repeat? STABILITY CONSISTENCY COMMITMENT 33

34 Large Cap Growth Index Performance Ranking Over Time Below Median Returns 70% of the Time! 5 Year Rolling Returns Ending December 2017 RUSSELL 1000 GROWTH INDEX The last time the index ranked this strongly, it was followed by 11 consecutive years of below median 5 year returns. *Source: evestment Alliance, Large Cap Growth Universe as of 12/31/17. STABILITY CONSISTENCY COMMITMENT 34

35 Consistent Outperformance in Negative Periods Periods of Consecutive Negative Monthly Returns R1000G Return Sawgrass Diversified Large Growth Return Down Capture 6/30/1998 to 8/31/1998 (15.67) (16.72) 106.7% 3/31/2000 to 5/31/2000 (9.79) (5.50) 56.2% 7/31/2000 to 12/31/2000 (32.09) (15.26) 47.6% 1/31/2001 to 3/31/2001 (27.86) (1.70) 6.1% 4/30/2001 to 9/30/2001 (24.46) (13.49) 55.2% 11/30/2001 to 2/28/2002 (6.11) (1.48) 24.2% 3/31/2002 to 7/31/2002 (25.33) (15.40) 60.8% 11/30/2002 to 2/28/2003 (9.80) (6.36) 64.9% 2/29/2004 to 4/30/2004 (3.02) (2.48) 82.1% 6/30/2004 to 8/31/2004 (6.14) (6.23) 101.5% 2/28/2005 to 4/30/2005 (3.72) (2.81) 75.5% 3/31/2006 to 7/31/2006 (5.83) (3.76) 64.5% 5/31/2007 to 7/31/2007 (3.04) (2.78) 91.4% 10/31/2007 to 3/31/2008 (14.44) (15.20) 105.3% 5/31/2008 to 7/31/2008 (9.10) (7.10) 78.0% 8/31/2008 to 11/30/2008 (37.13) (33.08) 89.1% 12/31/2008 to 2/28/2009 (12.33) (10.48) 85.0% 4/30/2010 to 6/30/2010 (13.14) (10.12) 77.0% 4/30/2011 to 9/30/2011 (16.17) (11.79) 72.9% 3/31/2012 to 5/31/2012 (6.56) (5.21) 79.4% 11/30/2014 to 1/31/2015 (2.57) (3.30) 128.4% 7/31/2015 to 9/30/2015 (8.54) (7.35) 86.1% 11/30/2015 to 2/29/2016 (7.09) (3.70) 52.2% 1/31/2018 to 3/29/2018 (5.29) (4.88) 92.2% Average (12.72) (8.59) 74.3% Sawgrass Outperformed 20/24 Periods Hit Rate 83% STABILITY CONSISTENCY COMMITMENT 35