LOS ANGELES WATER AND POWER EMPLOYEES RETIREMENT PLAN AND RETIREE HEALTH BENEFITS FUND TOTAL PLAN ASSETS. April 30, 2018
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1 LOS ANGELES WATER AND POWER EMPLOYEES RETIREMENT PLAN AND RETIREE HEALTH BENEFITS FUND TOTAL PLAN ASSETS Market Value Retirement Fund.. $12,128,463,152 Retiree Health Benefits Fund.. $2,072,086,248 Disability Fund. $37,344,915 Death Benefit Fund.... $28,771,035 TOTAL PLAN ASSETS $14,266,665,349 23a.1
2 LADWP Retirement Plan Investment Hierarchy Account / Group Name Vintage Commitment Market Value Portfolio Weight (Time Weighted Returns) Target Weight 1 Month 3 Months YTD FYTD 1 Year 3 Years 5 Years LADWP Retirement Plan Total (GOF) 12,128,463, % 100.0% LADWP Retirement Plan Total (NOF) LADWP Retirement Plan Index NOF Excess Return LADWP Retirement ex Sec Len (GOF) 12,128,463, % LADWP Retirement ex Sec Len (NOF) LADWP Retirement Plan Index NOF Excess Return Total Domestic Equity (GOF) 4,264,585, % 33.0% Total Domestic Equity (NOF) Russell NOF Excess Return Large Cap Equity (GOF) 3,930,788, % 30.8% Large Cap Equity (NOF) Russell NOF Excess Return Large Cap Value (GOF) 1,171,867, % 9.0% Large Cap Value (NOF) Russell 1000 Value NOF Excess Return MFS LC Val (GOF) 579,425, % Feb-04 MFS LC Val (NOF) Russell 1000 Value NOF Excess Return T Rowe Price LC Val (GOF) 592,442, % Sep-04 T Rowe Price LC Val (NOF) Russell 1000 Value NOF Excess Return Large Cap Growth (GOF) 1,308,354, % 9.0% Large Cap Growth (NOF) Russell 1000 Growth NOF Excess Return Fred Alger LC Grw (GOF) 616,330, % Feb-04 Fred Alger LC Grw (NOF) Russell 1000 Growth NOF Excess Return T Rowe LC Grw (GOF) 692,023, % Mar-10 T Rowe LC Grw (NOF) Russell 1000 Growth NOF Excess Return Large Cap Core (GOF) 1,450,567, % 12.8% Large Cap Core (NOF) Russell NOF Excess Return Blackrock/Russell 1000 (GOF) 1,450,567, % Aug-03 Blackrock/Russell 1000 (NOF) Russell NOF Excess Return Small Cap Equity (GOF) 333,796, % 2.3% Small Cap Equity (NOF) Russell NOF Excess Return Small Cap Value (GOF) 171,220, % 1.1% Small Cap Value (NOF) Russell 2000 Value NOF Excess Return Earnest Partners SC Val (GOF) 171,220, % Nov-04 Earnest Partners SC Val (NOF) Russell 2000 Value NOF Excess Return ITD=IRR 1 ITD Inception Date 23a.2 2 of 12 The Northern Trust Company ¹ Alternative investments ITD is an Internal Rate of Return as of 12/31/2017; for all other investments, it is an annualized Time Weighted Return.
3 LADWP Retirement Plan Investment Hierarchy Account / Group Name Vintage Commitment Market Value Portfolio Weight (Time Weighted Returns) Target Weight 1 Month 3 Months YTD FYTD 1 Year 3 Years 5 Years Small Cap Growth (GOF) 162,576, % 1.1% Small Cap Growth (NOF) Russell 2000 Growth NOF Excess Return Emerald Sm. Cap Growth (GOF) 162,576, % Nov-15 Emerald Sm. Cap Growth (NOF) Russell 2000 Growth NOF Excess Return Total International Equity (GOF) 2,509,097, % 19.0% Total International Equity (NOF) MSCI ACWI ex US-IMI ND Index NOF Excess Return Developed Market Equity (GOF) 1,819,577, % 14.5% Developed Market Equity (NOF) MSCI World ex U.S. IMI ND Index NOF Excess Return Blackrock/MSCI World (GOF) 601,211, % Sep-12 Blackrock/MSCI World (NOF) MSCI World ex U.S. IMI ND Index NOF Excess Return MFS Dev Val (GOF) 612,768, % Jul-12 MFS Dev Val (NOF) MSCI World ex U.S. IMI ND Index NOF Excess Return Fidelity Asset Management (GOF) 605,596, % Nov-04 Fidelity Asset Management (NOF) MSCI World ex U.S. IMI ND Index NOF Excess Return Emerging Market Equity (GOF) 689,520, % 4.5% Emerging Market Equity (NOF) MSCI Emerging Markets IMI NOF Excess Return LA Capital EM (GOF) 333,358, % Sep-12 LA Capital EM (NOF) MSCI Emerging Markets IMI NOF Excess Return Wellington EM (GOF) 356,162, % Sep-16 Wellington EM (NOF) MSCI Emerging Markets IMI NOF Excess Return Total Fixed (GOF) 2,901,096, % 26.0% Total Fixed (NOF) Total Fixed Income Index NOF Excess Return Principal Protection (GOF) 1,470,160, % 13.5% Principal Protection (NOF) BC US Intermediate Agg x Credit Bond NOF Excess Return JPM Principal Protection (GOF) 735,289, % Aug-15 JPM Principal Protection (NOF) BC US Intermediate Agg x Credit Bond NOF Excess Return Wells Cap Principal Protection (GOF) 734,870, % Aug-15 Wells Cap Principal Protection (NOF) BC US Intermediate Agg x Credit Bond NOF Excess Return ITD=IRR 1 ITD Inception Date 23a.3 3 of 12 The Northern Trust Company ¹ Alternative investments ITD is an Internal Rate of Return as of 12/31/2017; for all other investments, it is an annualized Time Weighted Return.
4 LADWP Retirement Plan Investment Hierarchy Account / Group Name Vintage Commitment Market Value Portfolio Weight (Time Weighted Returns) Target Weight 1 Month 3 Months YTD FYTD 1 Year 3 Years 5 Years Extended Credit (GOF) 1,282,064, % 11.3% Extended Credit (NOF) % BC Credit/33%BC High Yield NOF Excess Return Macquarie Group (formerly Delaware) (GOF) 630,050, % Aug-15 Macquarie Group (formerly Delaware) (NOF) % BC Credit/33%BC High Yield NOF Excess Return Neuberger GC FI (GOF) 652,013, % Aug-15 Neuberger GC FI (NOF) % BC Credit/33%BC High Yield NOF Excess Return US Bank Loans (GOF) 148,872, % 1.3% US Bank Loans (NOF) Credit Suisse Leveraged Loan NOF Excess Return Pacific Asset BL FL (GOF) 148,872, % Aug-15 Pacific Asset BL FL (NOF) Credit Suisse Leveraged Loan NOF Excess Return Total Hedge Funds (NOF) 1-Month Lag 592,703, % 5.0% LADWP T-Bill+3% 1-Month Lag NOF Excess Return Blackstone Hope St. (NOF) 1-Month Lag ** 586,291, % Aug-17 LADWP T-Bill+3% 1-Month Lag NOF Excess Return Morgan Stanley AIP (NOF) 1-Month Lag ** 6,412, % Feb-14 LADWP T-Bill+3% 1-Month Lag NOF Excess Return Total Real Estate (NOF)¹ as of 12/31/ ,695, ,141, % 6.0% LADWP NCREIF (RT) + 50 bps NOF Excess Return AG Core Plus III (NOF)¹ ,000,000 4,590, % Jan-12 LADWP NCREIF (RT) + 50 bps NOF Excess Return Almanac VI (NOF)¹ ,000,000 6,221, % Jun-12 LADWP NCREIF (RT) + 50 bps NOF Excess Return Almanac VII (NOF)¹ ,000,000 14,542, % Mar-15 LADWP NCREIF (RT) + 50 bps NOF Excess Return BREP Europe IV (NOF)¹ ,000,000 12,705, % Dec-13 LADWP NCREIF (RT) + 50 bps NOF Excess Return BREP VII (NOF)¹ ,000,000 16,804, % Jun-12 LADWP NCREIF (RT) + 50 bps NOF Excess Return Bristol Value II (NOF)¹ ,000,000 11,775, % Nov-12 LADWP NCREIF (RT) + 50 bps NOF Excess Return DRA VII (NOF)¹ ,000,000 8,511, % Oct-11 LADWP NCREIF (RT) + 50 bps NOF Excess Return DRA G&I VIII (NOF)¹ ,000,000 17,292, % Jun-14 LADWP NCREIF (RT) + 50 bps NOF Excess Return ** Market value and performance reflect the current month's cash flows due to redemptions from Morgan Stanley to fund Blackstone Hope St. 1 ITD=IRR 1 ITD Inception Date 23a.4 4 of 12 The Northern Trust Company ¹ Alternative investments ITD is an Internal Rate of Return as of 12/31/2017; for all other investments, it is an annualized Time Weighted Return.
5 LADWP Retirement Plan Investment Hierarchy Account / Group Name Vintage Commitment Market Value (Time Weighted Returns) Target Weight 1 Month 3 Months YTD FYTD 1 Year 3 Years 5 Years 5 of 12 The Northern Trust Company ¹ Alternative investments ITD is an Internal Rate of Return as of 12/31/2017; for all other investments, it is an annualized Time Weighted Return. Portfolio Weight DRA G&I IX (NOF)¹ ,000,000 16,260, % Dec-16 LADWP NCREIF (RT) + 50 bps NOF Excess Return FPA Core Plus III (NOF)¹ ,000,000 37,596,56 0.3% Dec-16 LADWP NCREIF (RT) + 50 bps NOF Excess Return Harrison Street Core (NOF)¹ ,000,000 60,506, % Dec-15 LADWP NCREIF (RT) + 50 bps NOF Excess Return Invesco Core Realty (NOF)¹ ,000,000 56,933, % Jun-11 LADWP NCREIF (RT) + 50 bps NOF Excess Return Jamestown Premier (NOF)¹ ,000,000 43,563, % Jan-16 LADWP NCREIF (RT) + 50 bps NOF Excess Return JPM Strategic (NOF)¹ ,000,000 82,511, % Sep-07 LADWP NCREIF (RT) + 50 bps NOF Excess Return LaSalle Asia V (NOF)¹ ,000,000 2,341, % Nov-17 LADWP NCREIF (RT) + 50 bps NOF Excess Return Lone Star RE II (NOF)¹ ,000, , % May-11 LADWP NCREIF (RT) + 50 bps NOF Excess Return Lone Star RE IV (NOF)¹ ,434,694 24,385, % Sep-15 LADWP NCREIF (RT) + 50 bps NOF Excess Return Lone Star RE V (NOF)¹ ,760,695 6,389, % Aug-17 LADWP NCREIF (RT) + 50 bps NOF Excess Return Lone Star VII (NOF)¹ ,000, , % May-11 LADWP NCREIF (RT) + 50 bps NOF Excess Return Mesa West III (NOF)¹ ,000,000 6,855, % Aug-13 LADWP NCREIF (RT) + 50 bps NOF Excess Return Mesa West IV (NOF)¹ ,000,000 15,363, % Feb-17 LADWP NCREIF (RT) + 50 bps NOF Excess Return PCCP First Mtg II (NOF)¹ ,000,000 33, % Jun-12 LADWP NCREIF (RT) + 50 bps NOF Excess Return PRISA I (NOF)¹ ,000,000 89,038, % Nov-06 LADWP NCREIF (RT) + 50 bps NOF Excess Return PRISA II (NOF)¹ ,500,000 40,790, % May-07 LADWP NCREIF (RT) + 50 bps NOF Excess Return Prologis USLH (NOF)¹ ,000,000 31,835, % Mar-15 LADWP NCREIF (RT) + 50 bps NOF Excess Return Torchlight IV (NOF)¹ ,000,000 13,782, % Aug-13 LADWP NCREIF (RT) + 50 bps NOF Excess Return Torchlight V (NOF)¹ ,000,000 15,582, % May-15 LADWP NCREIF (RT) + 50 bps NOF Excess Return Torchlight VI (NOF)¹ ,000,000 3,848, % Jan-18 LADWP NCREIF (RT) + 50 bps NOF Excess Return Westbrook X (NOF)¹ ,000,000 16,058, % Jul-16 LADWP NCREIF (RT) + 50 bps NOF Excess Return a.5 1 ITD=IRR 1 ITD Inception Date
6 LADWP Retirement Plan Investment Hierarchy Account / Group Name Vintage Commitment Market Value Portfolio Weight (Time Weighted Returns) Target Weight 1 Month 3 Months YTD FYTD 1 Year 3 Years 5 Years Dimensional Global REIT (NOF)as of 04/30/ ,000,000 23,884, % Mar-13 FTSE EPRA/NAREIT DEV INDEX NOF Excess Return Heitman REIT (NOF) as of 04/30/ ,000,000 23,418, % Oct-13 FTSE EPRA/NAREIT DEV INDEX NOF Excess Return Total Real Return (GOF)¹ as of 04/30/ ,360, % 5.0% LADWP CPI+3% 1-Month Lag NOF Excess Return Hancock XII (NOF)¹ 1-Quarter Lag ,000,000 13,651, % Mar-14 NCREIF Timberland Non-Lagged I NOF Excess Return Molpus IV - SL (NOF)¹ 1-Quarter Lag ,000,000 18,480, % Aug-15 NCREIF Timberland Non-Lagged I NOF Excess Return Invesco CMDTY (GOF)¹ as of 04/30/ ,443, % Aug-13 Invesco CMDTY (NOF) Bloombg Futures Commod. TR USD NOF Excess Return Wamco GILS (GOF)¹ as of 04/30/ ,784, % Apr-10 Wamco GILS (NOF) BC WGILB Index NOF Excess Return Total Private Equity (NOF)¹ as of 12/31/2017 1,011,500, ,275, % 5.0% LADWP Russell % NOF Excess Return Adams Street SMB I (NOF)¹ ,000,000 13,315, % Jan-17 LADWP Russell % NOF Excess Return Audax Mezz III (NOF)¹ ,000,000 5,346, % Jan-11 LADWP Russell % NOF Excess Return Apollo VIII (NOF)¹ ,000,000 30,388,00 0.3% Jan-14 LADWP Russell % NOF Excess Return ARES IV (NOF)¹ ,000,000 22,661, % Nov-12 LADWP Russell % NOF Excess Return ARES V (NOF)¹ ,000,000 17,072, % May-17 LADWP Russell % NOF Excess Return ARES Special Situation IV (NOF)¹ ,000,000 24,769, % Jan-15 LADWP Russell % NOF Excess Return Blackstone Tactical Opps (NOF)¹ ,000,000 33,476, % Apr-15 LADWP Russell % NOF Excess Return Capital Dynamics HRJ SO-II (NOF)¹ ,000,000 6,636, % *** Feb-08 LADWP Russell % NOF Excess Return CDR IX (NOF)¹ ,000,000 18,092, % Apr-14 LADWP Russell % NOF Excess Return Crestview Partners III (NOF)¹ ,000,000 21,982, % Feb-15 LADWP Russell % NOF Excess Return EnCap VIII (NOF)¹ ,500,000 4,004, % Jan-11 LADWP Russell % NOF Excess Return ITD=IRR 1 ITD Inception Date 23a.6 6 of 12 The Northern Trust Company ¹ Alternative investments ITD is an Internal Rate of Return as of 12/31/2017; for all other investments, it is an annualized Time Weighted Return.
7 LADWP Retirement Plan Investment Hierarchy Account / Group Name Vintage Commitment Market Value Portfolio Weight (Time Weighted Returns) Target Weight 1 Month 3 Months YTD FYTD 1 Year 3 Years 5 Years EnCap IX (NOF)¹ ,000,000 12,439, % Jan-13 LADWP Russell % NOF Excess Return EnCAP X (NOF)¹ ,000,000 25,765, % Feb-15 LADWP Russell % NOF Excess Return Encap XI (NOF)¹ ,000,000 2,897, % Jun-17 LADWP Russell % NOF Excess Return Fisher Lynch II (NOF)¹ ,000,000 14,957, % *** Mar-08 LADWP Russell % NOF Excess Return Harvest VII (NOF)¹ ,000,000 11,922,91 0.1% Aug-16 LADWP Russell % NOF Excess Return Industry Ventures VIII (NOF)¹ ,500,000 4,115, % Feb-17 LADWP Russell % NOF Excess Return Landmark XIV (NOF)¹ ,000,000 8,132,70 0.1% *** Aug-08 LADWP Russell % NOF Excess Return Landmark XIII (NOF)¹ ,000,000 7,008, % Oct-06 LADWP Russell % NOF Excess Return Landmark XV (NOF)¹ ,000,000 15,961, % *** Feb-14 LADWP Russell % NOF Excess Return Lexington VI (NOF)¹ ,000,000 3,669,52 0.0% *** May-06 LADWP Russell % NOF Excess Return Lexington VII (NOF)¹ ,000,000 9,670, % Aug-09 LADWP Russell % NOF Excess Return Oaktree V (NOF)¹ ,000,000 7,390,91 0.1% Jan-09 LADWP Russell % NOF Excess Return Silver Lake IV (NOF)¹ ,000,000 19,681, % Sep-13 LADWP Russell % NOF Excess Return Vista IV (NOF)¹ ,000,000 19,164, % Sep-11 LADWP Russell % NOF Excess Return Vista V (NOF)¹ ,000,000 56,644, % Apr-14 LADWP Russell % NOF Excess Return Vista VI (NOF)¹ ,000,000 45,223,25 0.4% May-16 LADWP Russell % NOF Excess Return Cash (GOF) 129,171, % 1.0% Cash (NOF) ML 3 Month Treasury Bill NOF Excess Return *** Pending year-end (Dec. 31, 2017) data from underlying investment managers. 1 ITD=IRR 1 ITD Inception Date 23a.7 7 of 12 The Northern Trust Company ¹ Alternative investments ITD is an Internal Rate of Return as of 12/31/2017; for all other investments, it is an annualized Time Weighted Return.
8 LADWP Retirement Plan SCHEDULE OF RELATIVE RETURN - NET OF MANAGEMENT FEES Portfolio Return YTD 1 Year 3 Year 5 Year 10 Year LADWP Retirement Plan Total (GOF) Less: Estimated Management Fees LADWP Retirement Plan Total (NOF) LADWP Retirement Plan Index ICE ML 3m US Treas Bill Total Fixed Income Index MS AC WldxUS IMI Nt Russell LADWP NCREIF + 50bps (1Q Lag) LADWP T-Bill+3% 1-Month Lag LADWP Russell %(1Q Lag) LADWP CPI+3% (1-Month Lag) Relativ e Return - Net of Fees Total Fixed Income Index is comprised of BC US Universal from Inception to 08/31/15, then the following components from 09/1/15-present : BC US Intermediate Agg x Credit 50%, BC Global Agg Credit USD Hdg 30%, BC Global High Yield USD Hdg 15 %, and Credit Suisse Lev. Loan 5% 23a.8 8 of 12 The Northern Trust Company ¹ Alternative investments ITD is an Internal Rate of Return as of 06/30/2015; for all other investments, it is an annualized Time Weighted Return.
9 LADWP Retirement Plan Notes Watch Status: "P" due to Performance "O" due to Organizational Change "T" for Terminated account "R" for Rehired Return Notation: "N/A" - Recently funded accounts and/or no performance available for this period. "--" - Recently funded accounts and/or no performance available for this period. 23a.9 9 of 12 The Northern Trust Company ¹ Alternative investments ITD is an Internal Rate of Return as of 06/30/2015; for all other investments, it is an annualized Time Weighted Return.
10 LADWP Retirement Plan Plan Level Attribution - 1 Month ACTIVE WEIGHT (%) EXCESS RETURN (%) STOCK SELECTION (%) ASSET ALLOCATION (%) TOTAL EFFECT (%) LADWP Retirement Plan Total (0.13) (0.10) (0.03) (0.13) Total Equity Total Domestic Equity (0.01) 0.10 Total International Equity 1.69 (0.42) (0.09) 0.01 (0.07) Total Fixed (2.08) Total Alternatives (0.13) (0.05) (0.18) Total Real Estate (0.19) Total Private Equity (1.15) (5.54) (0.21) (0.06) (0.27) Total Real Return (0.38) (0.21) (0.01) (0.01) Total Hedge Funds (0.11) (0.39) (0.02) (0.02) Cash () () Transition Accounts () () (3.0) (2.0) (1.0) (10.0) (5.0) (0.4) (0.2) (0.1) (0.1) (0.4) (0.2) Account Benchmark Account Benchmark Active Account Benchmark Excess Asset Selection Total Attribution Name Name End Weight End Weight Weight RoR RoR RoR Allocation Effect Effect Residual LADWP Retirement Plan Total LADWP Retirement Plan Index (0.13) (0.03) (0.10) (0.13) Total Equity Total Domestic Equity Russell (0.01) Total International Equity MS AC WldxUS IMI Nt (0.42) 0.01 (0.09) (0.07) -- Total Fixed Total Fixed Income Index (2.08) (0.30) (0.34) Total Alternatives (0.05) (0.13) (0.18) -- Total Real Estate LADWP NCREIF + 50bps (1Q Lag (0.19) Total Private Equity LADWP Russell %(1Q Lag) (1.15) (0.02) 5.52 (5.54) (0.06) (0.21) (0.27) -- Total Real Return LADWP CPI+3% (1-Month Lag) (0.38) (0.03) 0.18 (0.21) (0.01) (0.01) -- Total Hedge Funds LADWP T-Bill+3% 1-Month Lag (0.11) () 0.39 (0.39) (0.02) (0.02) -- Cash ML 3 Month Treasury Bill () () -- Transition Accounts () () -- 23a of 12 The Northern Trust Company ¹ Alternative investments ITD is an Internal Rate of Return as of 06/30/2015; for all other investments, it is an annualized Time Weighted Return.
11 LADWP Retirement Plan Asset Allocation Policy Weight and Equivalent Market Value Gap to Policy in Percent Weight and Market Value Total Domestic Equity 4,002.4M ; 33.00% Total Domestic Equity 262.2M 2.16% Total International Equity 2,304.4M ; 19.00% Total International Equity 204.7M 1.69% 5.00% 5.00% 1.00% 33.00% Total Fixed 3,153.4M ; 26.00% 6.00% Total Fixed M -2.08% Total Hedge Funds 606.4M ; 5.00% 5.00% Total Hedge Funds M -0.11% Total Real Estate 727.7M ; 6.00% Total Real Estate -23.6M -0.19% Total Private Equity 606.4M ; 5.00% 26.00% Total Private Equity M -1.15% 19.00% Total Real Return 606.4M ; 5.00% Total Real Return -46.1M -0.38% Cash 121.3M ; 1.00% Cash 7.9M 0.07% 23a of 12 The Northern Trust Company ¹ Alternative investments ITD is an Internal Rate of Return as of 06/30/2015; for all other investments, it is an annualized Time Weighted Return.
12 LADWP Retirement Plan Disclaimer(s) The Global Industry Classification Standard ("GICS") was developed by and is the exclusive property and a service mark of Morgan Stanley Capital International Inc. ("MSCI") and Standard & Poor's, a division of The McGraw-Hill Companies, Inc.("S&P") and is licensed for use by The Northern Trust Corporation and its wholly owned subsidiaries. Neither MSCI, S&P, nor any other party involved in making or compiling the GICS or any GICS classifications makes any express or implied warranties or representations with respect to such standard or classification (or the results to be obtained by the use thereof), and all such parties hereby expressly disclaim all warranties of originality, accuracy, completeness, merchantability and fitness for a particular purpose with respect to any of such standard or classification. Without limiting any of the foregoing, inno event shall MSCI, S&P, any of their affiliates or any third party involved in making or compiling the GICS or any GICS classifications have any liability for any direct, indirect, special, punitive, consequential or any other damages (including lost profits) even if notified of the possibility of such damages. The Dow Jones Wilshire IndexesSM are calculated, distributed and marketed by Dow Jones & Company, Inc. pursuant to an agreement between Dow Jones and Wilshire and have been licensed for use. All content of the Dow Jones Wilshire IndexesSM 2005 Dow Jones & Company, Inc. & Wilshire Associates Incorporated. Standard and Poor's including its subsidiary corporations ("S&P") is a division of the McGraw-Hill Companies, Inc. Reproduction of S&P Index Alerts in any form is prohibited except with the prior written permission of S&P. Because of the possibility of human or mechanical error by S&P sources, S&P or others, S&P does not guarantee the accuracy, adequacy, completeness or availability of any information and is not responsible for any errors or omissions or for the results obtained from the use of such information. S&P gives not express or implied warranties, including, but not limited to, any warranties or merchantability or fitness for a particular purpose or use. In no event shall S&P be liable for any indirect, special or consequential damages in connection with subscriber's or others' use of S&P Index Alerts. All MSCI equity characteristic results except for Dividend Yield, Price to Book Value, Price to Cash Earnings and Price Earnings Ratio were calculated by The Northern Trust Company. FTSE is a trade mark of London Stock Exchange Plc and The Financial Times Limited and is used by FTSE under license. All rights in the FTSE Indices vest in FTSE and/or its licensors. Neither FTSE nor its licensors accept any liability for any errors or omissions in the FTSE Indices or underlying data. The Merrill Lynch Indices are used with permission. Copyright 2007, Merrill Lynch, Pierce, Fenner & Smith Incorporated. All rights reserved. The Merrill Lynch Indices may not be copied, used, or distributed without Merrill Lynch's prior written approval. Please note that this report has been prepared using best available data. This report may also contain information provided by third parties, derived by third parties or derived from third party data and/or data that may have been categorized or otherwise reported based upon client direction - Northern Trust assumes no responsibility for the accuracy, timeliness or completeness of any such information. If you have questions regarding third party data or direction as it relates to this report, please contact your Northern Trust relationship team. 23a of 12 The Northern Trust Company ¹ Alternative investments ITD is an Internal Rate of Return as of 06/30/2015; for all other investments, it is an annualized Time Weighted Return.
13 LADWP Health Plan Investment Hierarchy Account / Group Name Vintage Commitment Market Value Portfolio Weight (Time Weighted Returns) Target Weight 1 Month 3 Months YTD FYTD 1 Year 3 Years 5 Years LADWP Health Plan Total (GOF) 2,072,086, % 100.0% Dec-06 LADWP Health Plan Total (NOF) LADWP Health Plan Index NOF Excess Return LADWP Health ex Sec Len (GOF) 2,072,086, % LADWP Health ex Sec Len (NOF) LADWP Health Plan Index NOF Excess Return Total Domestic Equity (GOF) 748,530, % 33.0% Total Domestic Equity (NOF) Russell NOF Excess Return Large Cap Equity (GOF) 693,687, % 30.8% Large Cap Equity (NOF) Russell NOF Excess Return Large Cap Value (GOF) 196,732, % 9.0% Large Cap Value (NOF) Russell 1000 Value NOF Excess Return MFS LC Val (GOF) 97,455, % Sep-09 MFS LC Val (NOF) Russell 1000 Value NOF Excess Return T Rowe Price LC Val (GOF) 99,277, % Sep-09 T Rowe Price LC Val (NOF) Russell 1000 Value NOF Excess Return Large Cap Growth (GOF) 220,051, % 9.0% Large Cap Growth (NOF) Russell 1000 Growth NOF Excess Return Fred Alger LC Grw (GOF) 103,537, % Sep-09 Fred Alger LC Grw (NOF) Russell 1000 Growth NOF Excess Return T Rowe LC Grw (GOF) 116,513, % Mar-10 T Rowe LC Grw (NOF) Russell 1000 Growth NOF Excess Return Large Cap Core (GOF) 276,903, % 12.8% Large Cap Core (NOF) Russell NOF Excess Return Blackrock/Russell 1000 (GOF) 276,903, % Dec-06 Blackrock/Russell 1000 (NOF) Russell NOF Excess Return Small Cap Equity (GOF) 54,842, % 2.3% Small Cap Equity (NOF) Russell NOF Excess Return Small Cap Value (GOF) 28,431, % 1.1% Small Cap Value (NOF) Russell 2000 Value NOF Excess Return ITD Inception Date 23a.13 1 of 12 The Northern Trust Company ¹ Alternative investments ITD is an Internal Rate of Return as of 12/31/2017; for all other investments, it is an annualized Time Weighted Return.
14 LADWP Health Plan Investment Hierarchy Account / Group Name Vintage Commitment Market Value Portfolio Weight (Time Weighted Returns) Target Weight 1 Month 3 Months YTD FYTD 1 Year 3 Years 5 Years Earnest Partners SC Val (GOF) 28,431, % Sep-09 Earnest Partners SC Val (NOF) Russell 2000 Value NOF Excess Return Small Cap Growth (GOF) 26,411, % 1.1% Small Cap Growth (NOF) Russell 2000 Growth NOF Excess Return Emerald Sm. Cap Growth (GOF) 26,411, % Nov-15 Emerald Sm. Cap Growth (NOF) Russell 2000 Growth NOF Excess Return Total International Equity (GOF) 420,935, % 19.0% Total International Equity (NOF) MSCI ACWI ex US-IMI ND Index NOF Excess Return Developed Market Equity (GOF) 306,262, % 14.5% Developed Market Equity (NOF) MSCI World ex U.S. IMI ND Index NOF Excess Return Blackrock/MSCI World (GOF) 101,191, % Sep-12 Blackrock/MSCI World (NOF) MSCI World ex U.S. IMI ND Index NOF Excess Return MFS Dev Val (GOF) 103,118, % Jul-12 MFS Dev Val (NOF) MSCI World ex U.S. IMI ND Index NOF Excess Return Fidelity Institutional Dev Grw (GOF) 101,952, % Sep-09 Fidelity Institutional Dev Grw (NOF) MSCI World ex U.S. IMI ND Index NOF Excess Return Emerging Market Equity (GOF) 114,672, % 4.5% Emerging Market Equity (NOF) MSCI Emerging Markets IMI NOF Excess Return LA Capital EM (GOF) 55,374, % Sep-12 LA Capital EM (NOF) MSCI Emerging Markets IMI NOF Excess Return Wellington EM (GOF) 59,298, % Sep-16 Wellington EM (NOF) MSCI Emerging Markets IMI NOF Excess Return Total Fixed (GOF) 493,831, % 26.0% Total Fixed (NOF) Total Fixed Income Index NOF Excess Return Principal Protection (GOF) 254,493, % 13.5% Principal Protection (NOF) BC US Intermediate Agg x Credit Bond NOF Excess Return JPM Principal Protection (GOF) 127,245, % Aug-15 JPM Principal Protection (NOF) BC US Intermediate Agg x Credit Bond NOF Excess Return ITD Inception Date 23a.14 2 of 12 The Northern Trust Company ¹ Alternative investments ITD is an Internal Rate of Return as of 12/31/2017; for all other investments, it is an annualized Time Weighted Return.
15 LADWP Health Plan Investment Hierarchy Account / Group Name Vintage Commitment Market Value Portfolio Weight (Time Weighted Returns) Target Weight 1 Month 3 Months YTD FYTD 1 Year 3 Years 5 Years Wells Cap Principal Protection (GOF) 127,248, % Aug-15 Wells Cap Principal Protection (NOF) BC US Intermediate Agg x Credit Bond NOF Excess Return Extended Credit (GOF) 215,270, % 11.3% Extended Credit (NOF) % BC Credit/33%BC High Yield NOF Excess Return Macquarie Group (formerly Delaware) (GOF) 105,780, % Aug-15 Macquarie Group (formerly Delaware) (NOF) % BC Credit/33%BC High Yield NOF Excess Return Neuberger GC FI (GOF) 109,489, % Aug-15 Neuberger GC FI (NOF) % BC Credit/33%BC High Yield NOF Excess Return US Bank Loans (GOF) 24,067, % 1.3% US Bank Loans (NOF) Credit Suisse Leveraged Loan NOF Excess Return Pacific Asset BL FL (GOF) 24,067, % Aug-15 Pacific Asset BL FL (NOF) Credit Suisse Leveraged Loan NOF Excess Return Total Hedge Funds (NOF) 1-Month Lag 100,959, % 5.0% LADWP T-Bill+3% 1-Month Lag NOF Excess Return Blackstone Hope St. (NOF) 1-Month Lag ** 99,917, % Aug-17 LADWP T-Bill+3% 1-Month Lag NOF Excess Return Morgan Stanley AIP (NOF) 1-Month Lag ** 1,041, % Feb-14 LADWP T-Bill+3% 1-Month Lag NOF Excess Return Total Real Estate (NOF)¹ as of 12/31/ ,085, ,018, % 6.0% LADWP NCREIF (RT) + 50 bps NOF Excess Return AG Core Plus III (NOF)¹ ,000, , % Jan-12 LADWP NCREIF (RT) + 50 bps NOF Excess Return Almanac VI (NOF)¹ ,000, , % Jun-12 LADWP NCREIF (RT) + 50 bps NOF Excess Return Almanac VII (NOF)¹ ,000,000 3,635, % Mar-15 LADWP NCREIF (RT) + 50 bps NOF Excess Return BREP Europe IV (NOF)¹ ,000,000 3,176, % Dec-13 LADWP NCREIF (RT) + 50 bps NOF Excess Return BREP VII (NOF)¹ ,000,000 4,201, % Jun-12 LADWP NCREIF (RT) + 50 bps NOF Excess Return Bristol Value II (NOF)¹ ,000,000 2,944, % Nov-12 LADWP NCREIF (RT) + 50 bps NOF Excess Return DRA VII (NOF)¹ ,100,000 2,029, % Oct-11 LADWP NCREIF (RT) + 50 bps NOF Excess Return ** Market value and performance reflect the current month's cash flows due to redemptions from Morgan Stanley to fund Blackstone Hope St. 1 ITD Inception Date 23a.15 3 of 12 The Northern Trust Company ¹ Alternative investments ITD is an Internal Rate of Return as of 12/31/2017; for all other investments, it is an annualized Time Weighted Return.
16 LADWP Health Plan Investment Hierarchy Account / Group Name Vintage Commitment Market Value Portfolio Weight (Time Weighted Returns) Target Weight 1 Month 3 Months YTD FYTD 1 Year 3 Years 5 Years DRA G&I VIII (NOF)¹ ,000,000 4,323, % Jun-14 LADWP NCREIF (RT) + 50 bps NOF Excess Return DRA G&I IX (NOF)¹ ,000,000 3,252, % Dec-16 LADWP NCREIF (RT) + 50 bps NOF Excess Return FPA Core Plus III (NOF)¹ ,000,000 7,519, % Dec-16 LADWP NCREIF (RT) + 50 bps NOF Excess Return Harrison Street Core (NOF)¹ ,000,000 12,101, % Dec-15 LADWP NCREIF (RT) + 50 bps NOF Excess Return Invesco Core Realty (NOF)¹ ,000,000 9,488, % Jun-11 LADWP NCREIF (RT) + 50 bps NOF Excess Return Jamestown Premier (NOF)¹ ,000,000 8,712, % Jan-16 LADWP NCREIF (RT) + 50 bps NOF Excess Return LaSalle Asia V (NOF)¹ ,000, , % Nov-17 LADWP NCREIF (RT) + 50 bps NOF Excess Return Lone Star RE II (NOF)¹ ,000,000 65,57 0.0% May-11 LADWP NCREIF (RT) + 50 bps NOF Excess Return Lone Star RE IV (NOF)¹ ,086,939 4,877, % Sep-15 LADWP NCREIF (RT) + 50 bps NOF Excess Return Lone Star RE V (NOF)¹ ,898,946 1,127, % Aug-17 LADWP NCREIF (RT) + 50 bps NOF Excess Return Lone Star VII (NOF)¹ ,000,000 14, % May-11 LADWP NCREIF (RT) + 50 bps NOF Excess Return Mesa West III (NOF)¹ ,000,000 1,713, % Aug-13 LADWP NCREIF (RT) + 50 bps NOF Excess Return Mesa West IV (NOF)¹ ,000,000 3,072, % Feb-17 LADWP NCREIF (RT) + 50 bps NOF Excess Return PCCP First Mtg II (NOF)¹ ,000,000 8, % Jun-12 LADWP NCREIF (RT) + 50 bps NOF Excess Return Prologis USLH (NOF)¹ ,000,000 7,958, % Mar-15 LADWP NCREIF (RT) + 50 bps NOF Excess Return Torchlight IV (NOF)¹ ,000,000 3,445,59 0.2% Aug-13 LADWP NCREIF (RT) + 50 bps NOF Excess Return Torchlight V (NOF)¹ ,000,000 3,895, % May-15 LADWP NCREIF (RT) + 50 bps NOF Excess Return Torchlight VI (NOF)¹ ,000, , % Jan-18 LADWP NCREIF (RT) + 50 bps NOF Excess Return Westbrook X (NOF)¹ ,000,000 3,211, % Jul-16 LADWP NCREIF (RT) + 50 bps NOF Excess Return Dimensional Global REIT (NOF) as of 04/30/ ,000,000 5,980, % Mar-13 FTSE EPRA/NAREIT DEV INDEX NOF Excess Return Heitman REIT (NOF) as of 04/30/ ,000,000 5,823, % Oct-13 FTSE EPRA/NAREIT DEV INDEX NOF Excess Return ITD Inception Date 23a.16 4 of 12 The Northern Trust Company ¹ Alternative investments ITD is an Internal Rate of Return as of 12/31/2017; for all other investments, it is an annualized Time Weighted Return.
17 LADWP Health Plan Investment Hierarchy Account / Group Name Vintage Commitment Market Value Portfolio Weight (Time Weighted Returns) Target Weight 1 Month 3 Months YTD FYTD 1 Year 3 Years 5 Years Total Real Return (GOF)¹ as of 04/30/ ,335, % 5.0% Total Real Return (NOF) LADWP CPI+3% 1-Month Lag NOF Excess Return Hancock XII (NOF)¹ 1-Quarter Lag ,000,000 3,412, % Mar-14 NCREIF Timberland Non-Lagged I NOF Excess Return Molpus IV - SL (NOF)¹ 1-Quarter Lag ,000,000 4,620, % Aug-15 NCREIF Timberland Non-Lagged I NOF Excess Return Invesco CMDTY (GOF)¹ as of 04/30/ ,653, % Aug-13 Invesco CMDTY (NOF) Bloombg Futures Commod. TR USD NOF Excess Return Wamco GILS (GOF)¹ as of 04/30/ ,649, % Apr-10 Wamco GILS (NOF) BC WGILB Index NOF Excess Return Total Private Equity (NOF)¹ as of 12/31/ ,000,000 83,634, % 5.0% LADWP Russell % NOF Excess Return Adams Street SMB I (NOF)¹ ,000,000 2,663, % Jan-17 LADWP Russell % NOF Excess Return Apollo VIII (NOF)¹ ,000,000 5,362, % Jan-14 LADWP Russell % NOF Excess Return ARES IV (NOF)¹ ,000,000 4,532, % Nov-12 LADWP Russell % NOF Excess Return ARES V (NOF)¹ ,000,000 3,414, % May-17 LADWP Russell % NOF Excess Return ARES Special Situation IV (NOF)¹ ,000,000 4,953, % Jan-15 LADWP Russell % NOF Excess Return Audax Mezz III (NOF)¹ ,000, , % Jan-11 LADWP Russell % NOF Excess Return Blackstone Tactical Opps (NOF)¹ ,000,000 6,695, % Apr-15 LADWP Russell % NOF Excess Return CDR IX (NOF)¹ ,000,000 3,618, % Apr-14 LADWP Russell % NOF Excess Return CDR X (NOF)¹ ,000, , % Mar-18 LADWP Russell % NOF Excess Return Crestview Partners III (NOF)¹ ,000,000 4,396,42 0.2% Feb-15 LADWP Russell % NOF Excess Return EnCAP X (NOF)¹ ,000,000 4,874, % Feb-15 LADWP Russell % NOF Excess Return EnCAP IX (NOF)¹ ,000,000 2,195,19 0.1% Jan-13 LADWP Russell % NOF Excess Return EnCap VIII (NOF)¹ ,500, , % Jan-11 LADWP Russell % NOF Excess Return Encap XI (NOF)¹ ,000, , % Jun-17 LADWP Russell % NOF Excess Return ITD Inception Date 23a.17 5 of 12 The Northern Trust Company ¹ Alternative investments ITD is an Internal Rate of Return as of 12/31/2017; for all other investments, it is an annualized Time Weighted Return.
18 LADWP Health Plan Investment Hierarchy Account / Group Name Vintage Commitment Market Value Portfolio Weight (Time Weighted Returns) Target Weight 1 Month 3 Months YTD FYTD 1 Year 3 Years 5 Years Harvest VII (NOF)¹ ,000,000 2,384, % Aug-16 LADWP Russell % NOF Excess Return Industry Ventures VIII (NOF)¹ ,500, , % Feb-17 LADWP Russell % NOF Excess Return Landmark XIV (NOF)¹ ,000,000 1,355, % *** Aug-08 LADWP Russell % NOF Excess Return Landmark XV (NOF)¹ ,000,000 2,793,21 0.1% *** Feb-14 LADWP Russell % NOF Excess Return Lexington VII (NOF)¹ ,000,000 1,611, % Aug-09 LADWP Russell % NOF Excess Return Oaktree V (NOF)¹ ,500,000 1,154, % Jan-09 LADWP Russell % NOF Excess Return Silver Lake IV (NOF)¹ ,000,000 3,280, % Sep-13 LADWP Russell % NOF Excess Return Vista IV (NOF)¹ ,000,000 3,832, % Sep-11 LADWP Russell % NOF Excess Return Vista V (NOF)¹ ,000,000 11,328, % Apr-14 LADWP Russell % NOF Excess Return Vista VI (NOF)¹ ,000,000 9,044, % May-16 LADWP Russell % NOF Excess Return Cash (GOF) 23,841, % 1.0% Cash (NOF) ICE ML 3 month US Trsy Bill NOF Excess Return *** Pending year-end (Dec. 31, 2017) data from underlying investment managers. 1 ITD Inception Date 23a.18 6 of 12 The Northern Trust Company ¹ Alternative investments ITD is an Internal Rate of Return as of 12/31/2017; for all other investments, it is an annualized Time Weighted Return.
19 LADWP Health Plan SCHEDULE OF RELATIVE RETURN - NET OF MANAGEMENT FEES Portfolio Return YTD 1 Year 3 Year 5 Year 10 Year LADWP Health Plan Total (GOF) Less: Estimated Management Fees LADWP Health Plan Total (NOF) LADWP Health Plan Index ICE ML 3m US Treas Bill Total Fixed Income Index MS AC WldxUS IMI Nt Russell LADWP NCREIF + 50bps (1Q Lag) LADWP T-Bill+3% 1-Month Lag LADWP Russell %(1Q Lag) LADWP CPI+3% (1-Month Lag) Relativ e Return - Net of Fees Total Fixed Income Index is comprised of BC US Universal from Inception to 08/31/15, then the following components from 09/1/15-present : BC US Intermediate Agg x Credit 50%, BC Global Agg Credit USD Hdg 30%, BC Global High Yield USD Hdg 15 %, and Credit Suisse Lev. Loan 5% 23a.19 7 of 12 The Northern Trust Company ¹ Alternative investments ITD is an Internal Rate of Return as of 06/30/2015; for all other investments, it is an annualized Time Weighted Return.
20 LADWP Health Plan Notes Watch Status: "P" due to Performance "O" due to Organizational Change "T" for Terminated account "R" for Rehired Return Notation: "N/A" - Recently funded accounts and/or no performance available for this period. "--" - Recently funded accounts and/or no performance available for this period. 23a.20 8 of 12 The Northern Trust Company ¹ Alternative investments ITD is an Internal Rate of Return as of 06/30/2015; for all other investments, it is an annualized Time Weighted Return.
21 LADWP Health Plan Plan Level Attribution - 1 Month ACTIVE WEIGHT (%) EXCESS RETURN (%) STOCK SELECTION (%) ASSET ALLOCATION (%) TOTAL EFFECT (%) LADWP Health Plan Total (0.14) (0.13) (0.02) (0.14) Total Equity Total Domestic Equity (0.01) 0.09 Total International Equity 1.31 (0.42) (0.09) 0.01 (0.07) Total Fixed (2.17) Total Alternatives (0.15) (0.04) (0.19) Total Real Estate (0.93) Total Real Return (0.40) (0.22) (0.01) (0.01) Total Private Equity (0.96) (5.51) (0.22) (0.05) (0.27) Total Hedge Funds (0.13) (0.39) (0.02) (0.02) Cash () () Transition Accounts (4.0) (2.0) (10.0) (5.0) (0.4) (0.2) (0.1) (0.1) (0.4) (0.2) Account Benchmark Account Benchmark Active Account Benchmark Excess Asset Stock Total Attribution Name Name End Weight End Weight Weight RoR RoR RoR Allocation Selection Effect Residual LADWP Health Plan Total LADWP Health Plan Index (0.14) (0.02) (0.13) (0.14) Total Equity Total Domestic Equity Russell (0.01) Total International Equity MS AC WldxUS IMI Nt (0.42) 0.01 (0.09) (0.07) -- Total Fixed Total Fixed Income Index (2.17) (0.30) (0.34) Total Alternatives (0.04) (0.15) (0.19) -- Total Real Estate LADWP NCREIF + 50bps (1Q Lag) (0.93) Total Real Return LADWP CPI+3% (1-Month Lag) (0.40) (0.04) 0.18 (0.22) (0.01) (0.01) -- Total Private Equity LADWP Russell %(1Q Lag) (0.96) 5.52 (5.51) (0.05) (0.22) (0.27) -- Total Hedge Funds LADWP T-Bill+3% 1-Month Lag (0.13) () 0.39 (0.39) (0.02) (0.02) -- Cash ML 3 Month Treasury Bill () () -- Transition Accounts a.21 9 of 12 The Northern Trust Company ¹ Alternative investments ITD is an Internal Rate of Return as of 06/30/2015; for all other investments, it is an annualized Time Weighted Return.
22 LADWP Health Plan Asset Allocation Policy Weight and Equivalent Market Value Gap to Policy in Percent Weight and Market Value Total Domestic Equity 683.8M ; 33.00% Total Domestic Equity 64.7M 3.12% Total International Equity 393.7M ; 19.00% Total International Equity 27.2M 1.31% 5.00% 1.00% Total Fixed 538.7M ; 26.00% 6.00% 5.00% 33.00% Total Fixed -44.9M -2.17% Total Hedge Funds 103.6M ; 5.00% 5.00% Total Hedge Funds -23.4M -0.13% Total Real Estate 124.3M ; 6.00% Total Real Estate -19.3M -0.93% Total Private Equity 103.6M ; 5.00% 26.00% Total Private Equity -20.0M -0.96% 19.00% Total Real Return 103.6M ; 5.00% Total Real Return -8.3M -0.40% Cash 20.7M ; 1.00% Cash 3.1M 0.15% 23a of 12 The Northern Trust Company ¹ Alternative investments ITD is an Internal Rate of Return as of 06/30/2015; for all other investments, it is an annualized Time Weighted Return.
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