Public Fund Universe Analysis

Transcription

1 Public Fund Universe Analysis Sample Fund Period Ending June 30, 17 Fund Number:

2 Firm Overview OVERVIEW RVK, Inc. ( RVK ) was founded in 1985 and is one of the largest independent and employeeowned investment consulting firms in the US, providing world-class investment advice to institutional investors. We serve over 400 plans, including pension plans, defined contribution plans, endowments & foundations, insurance pools, and special purpose funds. MISSION STATEMENT To provide best-in-class investment consulting services to a wide array of sophisticated investors. STRATEGIC INVESTMENT ADVICE WITH NO CONFLICTS OF INTEREST RVK built its investment consulting practice on the principles of integrity, investment knowledge, client service, and our no conflicts of interest policy. We are exclusively focused on strategic investment consulting services and solely owned by active employees, enabling us to offer advice that is not influenced by other business activities. As a privately-held firm, with no affiliates or parent company, we provide informed and unbiased investment advice to our clients. We offer an extensive slate of consulting services and produce deliverables fully customized to meet each client s needs. KEY TENETS OF OUR CULTURE Portland New York Chicago Page 2

3 RVK BY THE NUMBERS 30+ years of business 3 offices - Portland, Chicago, New York $800+ billion Full-Retainer AUA 90+ Investment Professionals 50+ Advanced Degrees and Certifications 0% Employee Ownership 0% Revenue Derived from Client Fees 0% Non-Discretionary Services GENERAL CONSULTING SERVICES Plan Evaluation Strategic Asset Allocation Investment Policy Development & Review Investment Manager Search & Selection Performance Analysis & Reporting Manager Structure Analysis Risk Monitoring and Management Client Education Special Projects SPECIALTY CONSULTING SERVICES Strategic Planning Reviews Custody, Record keeper, Third-Party Administrator Searches Asset/Liability Studies Endowment Spending Policy Studies Securities Lending Reviews Pacing Studies Outsourced CIO ( OCIO ) Searches, Evaluation, and Ongoing Monitoring Directed Consulting Services Fee Reviews Defined Contribution Solutions Services Investment Operations Solutions Board and Investment Program Operational Reviews FOR MORE INFORMATION ABOUT OUR SERVICES, PLEASE CONTACT: Business.Development@RVKInc.com Portland New York Chicago Page 3

4 Participants Alameda County Employees' Retirement Association Arlington County Employees' Retirement System City of Austin Employees' Retirement System City of Milwaukee Employes' Retirement System City of Plano Retirement Security Plan Colorado Public Employees' Retirement Association Contra Costa County Employees' Retirement Association District of Columbia Retirement Board Employees Retirement System of Texas Fire and Police Pension Association of Colorado Fort Worth Employees' Retirement Fund Georgia Division of Investment Services Illinois Municipal Retirement Fund Iowa Public Employees' Retirement System Kansas Public Employees' Retirement System Kentucky Teachers' Retirement System Los Angeles City Employees' Retirement System Los Angeles Fire and Police Pension System Marin County Employees' Retirement Association Merced County Employees' Retirement Association Montana Teachers' Retirement System Municipality of Anchorage Pre-Funding Program Nevada Public Employees' Retirement System Newport News Employees' Retirement Fund Ohio Public Employees' Retirement System Pennsylvania Public School Employees' Retirement System Police Retirement System of Kansas City, Missouri Public School and Education ERS of Missouri Sample Fund () Anchorage Police & Fire Retirement System California State Teachers' Retirement System City of Fresno Retirement Systems City of Plano Other Post-Employment Benefits Trust Civilian Employees' Retirement System of the Police Department of Kansas City, Missouri Confederated Tribes of the Warm Springs Tribal Council Pension Fund County Employees' Annuity & Benefit Fund of Cook County Educational Employees' Supplementary Retirement System of Fairfax County Fire & Police Employees' Retirement System of Baltimore Florida State Board of Administration Fresno County Employees' Retirement Association Gila River Indian Community Retirement Plan Imperial County Employees' Retirement System Kansas City, Missouri Employees' Retirement System Kentucky Retirement Systems Kern County Employees' Retirement Association Los Angeles County Employees Retirement Association Los Angeles Water & Power Employees Retirement Plan Mendocino County Employees' Retirement Association Montana Public Employees' Retirement System Municipal Employees' Annuity and Benefit Fund of Chicago Nebraska Investment Council New York State Common Retirement Fund North Carolina Retirement System Orange County Employees' Retirement System Pennsylvania State Employees' Retirement System Public Employees Retirement Association of New Mexico Sacramento County Employees' Retirement System Page 4

5 Participants San Diego City Employees' Retirement System San Diego Transit Corporation Employees Retirement San Mateo County Employees' Retirement Association Sonoma County Employees' Retirement Association Stanislaus County Employees' Retirement Association State Teachers Retirement System of Ohio Teachers' Retirement System of Louisiana Texas Municipal Retirement System Tulare County Employees' Retirement Association Virginia Retirement System Wyoming Retirement System San Bernardino County Employees' Retirement Association San Diego County Employees Retirement Association San Joaquin County Employees' Retirement Association Santa Barbara County Employees' Retirement System South Dakota Retirement System State of Michigan Retirement Systems State Universities Retirement System of Illinois Teachers' Retirement System of the State of Illinois The Navajo Nation Retirement Plan Ventura County Employees' Retirement Association West Virginia Investment Management Board Page 5

6 Capital Markets Review Second Quarter Economic Environment Key Economic Indicators Global risk assets continued to perform well during the second quarter of 17, with gains broadly supported by strengthening economic data related to global inflation, job growth, and corporate fundamentals. In contrast to prior run-ups in risk assets, the past quarter was marked by high levels of sector and market factor dispersion. This created significant opportunities for skilled active managers and generated tailwinds for strategies with heavy growth and cyclical biases. Geographically, emerging markets outperformed developed, while international markets generally outperformed US markets. Gains across most risk assets occurred despite persistent political divisiveness in the US, heightened geopolitical risks (most notably in North Korea), and a range of other international issues. Although positive economic fundamentals have thus far supported 17 market gains, it is possible that unanticipated global central bank policy and US political events could have a larger influence on markets through the remainder of the year Unemployment Rate (%) Since CPI Year-over- Year (% change) Since 1914 Key Economic Indicators US Govt Debt (% of GDP) Since VIX Index (Volatility) Since Consumer Confidence Since 1967 Economic Indicators Jun-17 Mar-17 Jun-16 Jun-14 Yr Federal Funds Rate (%) Breakeven Infl. - 1 Yr (%) N/A Breakeven Infl. - Yr (%) N/A CPI YoY (Headline) (%) Unemployment Rate (%) Real GDP YoY (%) PMI - Manufacturing USD Total Wtd Idx WTI Crude Oil per Barrel ($) Gold Spot per Oz ($) 1, , , , Market Performance (%) QTD CYTD 1 Yr 5 Yr Yr S&P 500 (Cap Wtd) Russell MSCI EAFE (Net) MSCI EAFE SC (Net) MSCI Emg Mkts (Net) Bloomberg US Agg Bond BofA ML 3 Mo US T-Bill NCREIF ODCE (Gross) Wilshire US REIT HFRI FOF Comp Bloomberg Cmdty (TR) Treasury Yield Curve (%) 3M 6M 1Y 3Y 5Y 7Y Y Y 30Y Jun-17 Mar-17 Jun-16 Jun-15 Jun-14 Treasury data courtesy of the US Department of the Treasury. Economic data courtesy of Bloomberg Professional Service. Breakeven Inflation does not have years of history; therefore, its -year average is shown as N/A. Page 6

7 US Equity Review Second Quarter Review Broad Market Domestic equity markets continued to rally during the second quarter, albeit at a slower rate and with less volatility. Expectations for fiscal stimulus were again supportive of markets during the quarter, as was the positive tone from the Federal Open Market Committee ( FOMC ) regarding near-term economic growth and inflation expectations. Equities provided positive returns across all market caps and styles, but with significant dispersion across sectors and market factors. Market Cap Large cap stocks continued to outpace small cap stocks, with the exception of micro cap. Style and Sector Growth continued its strong run in the second quarter of 17, with the Russell 3000 Growth Index posting returns of 4.7% for the quarter and 13.7% year-to-date, versus 1.3% and 4.3%, respectively, for its value counterpart. Style and Capitalization Market Performance (%) 3.02 R 3000 QTD Yr S&P R R R 00 Value R 00 Value R 00 Growth R 00 Growth Valuations S&P 500 Index Sector Performance (%) US Large-Cap Equity Shiller S&P Y P/E Since US Large-Cap Equity R00 12M P/E Since US Small-Cap Equity R00 12M P/E Since US Large-Cap Value Equity R00V 12M P/E Since US Large-Cap Growth Equity R00G 12M P/E Since Cons Discretion QTD 1.57 Cons Staples 1 Yr Energy Financials Health Care Industrials Information Tech Materials TeleCom Utilities Valuation data courtesy of Bloomberg Professional Service and Robert J. Shiller, Irrational Exuberance, Second Edition. P/E metrics shown represent the 5th through 95th percentiles to minimize the effect of outliers. Page 7

8 Non-US Equity Review Second Quarter Review Broad Market International equity markets continued to react positively to signs of strengthening economic growth across both developed and emerging markets, driving equity and sovereign debt yields higher. Region From a country perspective, political developments drove a generally risk-on repricing of assets. France and the Netherlands withstood the antiglobalization political forces, which reduced political uncertainty and supported higher asset prices. Market Cap & Style Developed small-cap equities outperformed large-cap equities, while emerging markets equities narrowly edged out developed markets equities. As would be expected during periods of growth leadership, healthcare and technology led performance from a sector standpoint, with materials, energy, and telecom lagging. MSCI Style and Capitalization Market Performance (%) 5.78 ACW Ex US.45 QTD 6.12 EAFE 1 Yr EAFE Value EAFE Growth EAFE SC Europe Pacific Emg Mkts Valuations MSCI Region Performance (%) Europe Ex UK United Kingdom Middle East Pacific ex Japan Japan QTD 1 Yr Canada Intl Equity MSCI ACW x US 12M P/E Since 1995 Developed Intl Equity MSCI EAFE 12M P/E Since 1995 Developed Intl Value Equity MSCI EAFE Val 12M P/E Since 1995 Developed Intl Growth Equity MSCI EAFE Grth 12M P/E Since 1995 Emerging Markets Equity MSCI EM 12M P/E Since Emg Mkts Valuation data courtesy of Bloomberg Professional Service. P/E metrics shown represent the 5th through 95th percentiles to minimize the effect of outliers. All returns are shown net of foreign taxes on dividends. Page 8

9 Fixed Income Review Second Quarter Review Broad Market The FOMC raised the Federal Funds rate by 0.25% during its June meeting, citing developments in labor markets and expectations for higher inflation over the near-term. As expected, given recent inflation data and the June increase in the targeted Federal Funds rate, the yield curve flattened considerably during the second quarter. Credit Market Unsurprisingly, given the general risk-on sentiment of the second quarter, credit spreads tightened for both the BofAML US Corporate Index and the BofAML US High Yield Index. International Emerging markets debt continued to be a top performer in 17. Hard currency EMD returned 2.2% for the quarter and 6.2% for the year-to-date, as measured by the JPM EMBI Global Diversified Index. Fixed Income Performance (%) Bloomberg US Agg Bloomberg US Trsy Bloomberg US Trsy: US TIPS Bloomberg US CMBS Inv Grade Bloomberg US Corp: Credit Bloomberg US Agcy Bloomberg US MBS QTD 1 Yr Valuations Bloomberg US ABS Bloomberg US Corp: Hi Yld CS Leveraged Loan Bloomberg Global Agg Bond Citi Wrld Gov't Bond JPM Emg Mkts Bond Global US Treasury Bonds -Yr US Treasury Yields Since 1953 US Aggregate Bonds Bloomberg US Agg Spreads Since 00 US Corporate Bonds Bloomberg US Corp Spreads Since 1989 US Credit Bonds Bloomberg US Credit Spreads Since 00 US High-Yield Bonds Bloomberg US Corp:HY Spreads Since 00 JPM GBI-EM Glbl Dvf'd (USD) (Unhedged) Valuation data courtesy of Bloomberg Professional Service. Valuations shown represent the 5th through 95th percentiles to minimize the effect of outliers. Page 9

10 Alternatives Review Second Quarter Review - Absolute Return General Market - Hedge Funds The hedge fund industry continued to produce positive returns for the quarter, though they cooled slightly from the pace set in the first quarter. As measured by the HFRI Fund Weighted Composite, the industry has now generated positive returns in 15 out of 16 months dating back to March 16. Macro strategies continued to lag other sectors, however, as systematic strategies were whipsawed by interest rate movements in 17. General Market - Global Tactical Asset Allocation (GTAA) Relative to an undiversified and static portfolio comprised of 60% US equity and 40% fixed income, performance across the GTAA manager universe was mixed in the second quarter. The stronger-performing tactical managers either avoided or de-emphasized US large cap equity exposure in favor of foreign developed equity, emerging market equity, and credit-sensitive fixed income. Managers with overweight positions in European and Japanese equity exposures fared particularly well. Second Quarter Review - Real Assets General Market - Diversified Inflation Strategies (DIS) Performance for Diversified Inflation Strategies in the second quarter varied widely, as commodities exposure (or lack thereof) served as the defining characteristic that separated strong manager returns from disappointing ones. General Market - Real Estate Core real estate returns mirrored those experienced in the first quarter. Gains were moderate with income comprising more than half of the quarter s total return. The core index, NCREIF-ODCE, returned 1.7% (on a preliminary basis) during the quarter, reinforcing investor expectations of lower returns going forward as we enter the later stages of the recovery. Real estate valuations remain at elevated levels. However, with the exception of a small cohort of high-end luxury properties in a few gateway cities, fundamentals remain intact. HFRI FOF Conv Arbitrage Equity Hedge Mkt Neutral Eq Short Bias Distressed Macro Relative Value Event Driven Merger Arb Credit Arb HFRI Hedge Fund Performance (%) QTD 1 Yr NCREIF ODCE (Gross) NCREIF Property Wilshire US REIT Bloomberg Cmdty (TR) S&P Glbl Nat. Res. (TR) Alerian MLP Bloomberg US Trsy: US TIPS Real Asset Performance (%) QTD 1 Yr Page

11 Annual Asset Class Performance YTD Best Worst S&P US Large Cap R 00 - US Small Cap MSCI EAFE (Net) - Int'l Dev. MSCI EAFE SC (Net) - Int'l SC MSCI EM (Net) - Int'l Emg Mkts Bloombrg US Agg Bond - FI Bloombrg US Corp: Hi Yield - FI Bloombrg US Trsy: US TIPS - FI Bloombrg US Gov/Credit: Lng - FI NCREIF ODCE (Gross) - Real Estate Wilshire US REIT - REITs HFRI FOF Comp Index - ARS Bloombrg BofA ML 3 Cmdty (TR) Mo T-Bill - - Commod. Cash Equiv NCREIF ODCE (Gross) performance is reported quarterly; performance is shown N/A in interim-quarter months. Page 11

12 Universe Characteristics Asset Size Geographical Distribution <$500mm 5 $500mm- $1B $1B-$5B $5B-$B $B-$B >$B Midwest Northeast South West Fund Classification Fund Type PERS Police/Fire Teachers/School Other 0 Local Gov Special District State Gov Universe: 79 funds Page 12

13 Portfolio Management Percentage Externally Managed & Percentage Actively Managed 0 External Management (%) External Average: Active Management (%) Active Average: Sample Fund Page 13

14 Portfolio Management Statistics Actively Managed (%) Passively Managed (%) Externally Managed (%) Internally Managed (%) Asset Range Over $B $B-$B $5B-$B $1B-$5B $500mm-$1B Under $500mm Sample Fund Active Management External Management Portfolio (%) Public Fund Universe Sample Fund Public Fund Universe Sample Fund 90 to to to Less than Total Funds Reporting Page 14

15 Asset Allocation Sample Fund vs. Average of All Funds Sample Fund All Funds Other 11.64% Cash 0.55% RE 8.09% US Eq.78% Int'l Eq 9.36% Other 3.31% Cash 1.90% RE 7.77% US Eq 27.% Alts 12.99% EM 7.70% Alts 19.56% Global FI 1.27% Int'l FI 1.09% Global Eq 11.% Int'l Eq 15.84% Global FI 0.05% US FI 21.08% US FI 21.37% EM 3.40% Global Eq 3.95% Variance (%) US Eq Int'l Eq EM Global Eq US FI Int'l FI Global FI Alts RE Cash Other Allocations shown may not sum up to 0% exactly due to rounding. Page 15

16 Asset Allocation Sample Fund vs. Average of Similar Size Funds Sample Fund Over $ Billion Other 11.64% Cash 0.55% RE 8.09% US Eq.78% Int'l Eq 9.36% Other 3.65% Cash 1.76% RE 9.16% US Eq 24.98% EM 7.70% Alts 15.92% Alts 19.56% Global Eq 11.% Global FI 0.81% Int'l FI 1.08% Int'l Eq 15.49% Global FI 0.05% US FI 21.08% US FI.65% EM 3.67% Global Eq 2.81% Variance (%) US Eq Int'l Eq EM Global Eq US FI Int'l FI Global FI Alts RE Cash Other Allocations shown may not sum up to 0% exactly due to rounding. Page 16

17 Equity Style Allocation Sample Fund vs. Average of All Funds Sample Fund All Funds Global Eq 8.93% Lg Value 5.91% Global Eq 28.69% Lg Core 23.47% EM 7.17% Lg Core 31.27% S/M Core 4.14% Int'l Eq 31.88% EM 19.72% Int'l Eq 23.98% S/M Grth 3.00% Lg Grth 4.67% S/M Value 3.43% S/M Core 3.74% Variance (%) Lg Value Lg Core Lg Grth S/M Value S/M Core S/M Grth Int'l Eq EM Global Eq Allocations shown may not sum up to 0% exactly due to rounding. Page 17

18 Equity Style Allocation Sample Fund vs. Average of Similar Size Funds Sample Fund Over $ Billion Global Eq 6.13% Lg Value 3.37% Global Eq 28.69% Lg Core 23.47% EM 8.06% Lg Core 35.59% S/M Core 4.14% Int'l Eq 34.12% EM 19.72% Int'l Eq 23.98% S/M Grth 1.81% Lg Grth 4.19% S/M Value 2.% S/M Core 4.52% Variance (%) Lg Value Lg Core Lg Grth S/M Value S/M Core S/M Grth Int'l Eq EM Global Eq Allocations shown may not sum up to 0% exactly due to rounding. Page 18

19 Alternatives Style Allocation Sample Fund vs. Average of All Funds Sample Fund All Funds Other Alts.91% HF 26.55% Other Alts 13.45% HF 26.78% Nat Res 7.53% Venture 3.15% Other PE.45% Distressed 4.11% Buyout 49.39% Venture 6.42% Buyout 21.25% Variance (%) HF Distressed Buyout Venture Other PE Nat Res Other Alts Allocations shown may not sum up to 0% exactly due to rounding. Page 19

20 Alternatives Style Allocation Sample Fund vs. Average of Similar Size Funds Sample Fund Over $ Billion Other Alts.91% HF 26.55% Other Alts.49% Nat Res 3.16% HF 26.32% Other PE 8.32% Venture 3.15% Venture 12.70% Distressed 4.16% Buyout 49.39% Buyout 34.85% Variance (%) HF Distressed Buyout Venture Other PE Nat Res Other Alts Allocations shown may not sum up to 0% exactly due to rounding. Page

21 Equity Style Allocation 79 of 79 funds invest in Equity (%) US Equity International Equity Emerging Markets Global Equity Universe Median: Page 21

22 Fixed Income Style Allocation 79 of 79 funds invest in Fixed Income (%) US Fixed Income Int'l Fixed Income Global Fixed Income Universe Median: Page 22

23 Real Estate Allocation 75 of 79 funds invest in Real Estate (%) Universe Median: 8.40 Page 23

24 Alternatives Style Allocation 72 of 79 funds invest in Alternatives (%) Hedge Funds Distressed Debt Buyout Venture Capital Other Private Equity Natural Res Other Alternative Universe Median: Page 24

25 1 Year Annualized Total Fund Returns of of funds provided Total Fund returns for for this this time period (%) (%) With a return of.26, Fund received a percentile rank of Universe Median: % R 3000/40% B US Agg Bond Index:.69 Funds with less history than the specified time period will not appear in the chart. Page 25

26 5 Year Annualized Total Fund Returns of of funds provided Total Fund returns for for this this time period (%) (%) With a return of 7.91, Fund received a percentile rank of Universe Median: % R 3000/40% B US Agg Bond Index: 9.62 Funds with less history than the specified time period will not appear in the chart. Page 26

27 Year Annualized Total Fund Returns of of funds provided Total Fund returns for for this time period (%) With a return of 4.38, Fund received a percentile rank of Universe Median: % R 3000/40% B US Agg Bond Index: 6.47 Funds with less history than the specified time period will not appear in the chart. Page 27

28 Total Return - Total Fund Sample Fund vs. 60% R 3000/40% B US Agg Bond Index Calendar Year Rates of Return (%) Cumulative Performance (Growth of $0) $160 $ $ $ $1 $ $0 Jun-12 Sep-12 Dec-12 Mar-13 Jun-13 Sep-13 Dec-13 Mar-14 Jun-14 Sep-14 Dec-14 Mar-15 Jun-15 Sep-15 Dec-15 Mar-16 Jun-16 Sep-16 Dec-16 Mar-17 Jun-17 Sample Fund 60% R 3000/40% B US Agg Bond Index Sample Fund: $146 60% R 3000/40% B US Agg Bond Index: $158 Sample Fund 60% R 3000/40% B US Agg Bond Index Variance 1 Year Annualized Returns (%) 3 Years 5 Years Page 28

29 Year Total Fund Beta 75 of 79 funds provided Total Fund returns for this time period With a beta of 0.62, Fund received a percentile rank of Universe Median: 0.64 Funds with less history than the specified time period will not appear in the chart. Benchmark used is the S&P 500 Index (Cap Wtd). Page 29

30 1 Year Annualized US Equity Returns of of funds provided US US Equity returns for for this this time period (%) (%) With a return of 18.65, Fund received a percentile rank of Universe Median: Russell 3000 Index: Funds with less history than the specified time period will not appear in the chart. Page 30

31 5 Year Annualized US Equity Returns of of funds provided US US Equity returns for for this this time period (%) (%) With a return of 14.47, Fund received a percentile rank of Universe Median: Russell 3000 Index: Funds with less history than the specified time period will not appear in the chart. Page 31

32 Year Annualized US Equity Returns of of funds provided US US Equity returns for for this time period (%) (%) With a return of 6.90, Fund received a percentile rank of Universe Median: 7.15 Russell 3000 Index: 7.26 Funds with less history than the specified time period will not appear in the chart. Page 32

33 Total Return - US Equity Sample Fund vs. Russell 3000 Index Calendar Year Rates of Return (%) Cumulative Performance (Growth of $0) $ $ $ $ $ $ $ $ $ Jun-12 Sep-12 Dec-12 Mar-13 Jun-13 Sep-13 Dec-13 Mar-14 Jun-14 Sep-14 Dec-14 Mar-15 Jun-15 Sep-15 Dec-15 Mar-16 Jun-16 Sep-16 Dec-16 Mar-17 Jun-17 Sample Fund Russell 3000 Index Sample Fund: $197 Russell 3000 Index: $198 Sample Fund Russell 3000 Index Variance 1 Year Annualized Returns (%) 3 Years 5 Years Page 33

34 1 Year Annualized International Equity Returns of of funds provided International Equity returns for for this this time time period (%) (%) With a return of 18.63, Fund received a percentile rank of Universe Median: MSCI ACW Ex US Index (USD) (Gross): Funds with less history than the specified time period will not appear in the chart. Page 34

35 5 Year Annualized International Equity Returns of of funds provided International Equity returns for for this this time time period (%) (%) With a return of 8.34, Fund received a percentile rank of Universe Median: 8.75 MSCI ACW Ex US Index (USD) (Gross): 7.70 Funds with less history than the specified time period will not appear in the chart. Page 35

36 Year Annualized International Equity Returns of of funds provided International Equity returns for for this this time period (%) (%) With a return of 1.74, Fund received a percentile rank of Universe Median: 1.89 MSCI ACW Ex US Index (USD) (Gross): 1.59 Funds with less history than the specified time period will not appear in the chart. Page 36

37 Total Return - International Equity Sample Fund vs. MSCI ACW Ex US Index (USD) (Gross) Calendar Year Rates of Return (%) Cumulative Performance (Growth of $0) $150 $140 $130 $ $1 $0 Jun-12 Sep-12 Dec-12 Mar-13 Jun-13 Sep-13 Dec-13 Mar-14 Jun-14 Sep-14 Dec-14 Mar-15 Jun-15 Sep-15 Dec-15 Mar-16 Jun-16 Sep-16 Dec-16 Mar-17 Jun-17 Sample Fund MSCI ACW Ex US Index (USD) (Gross) Sample Fund: $149 MSCI ACW Ex US Index (USD) (Gross): $145 Annualized Returns (%) 1 Year 3 Years 5 Years Sample Fund MSCI ACW Ex US Index (USD) (Gross) Variance Page 37

38 1 Year Annualized Global Equity Returns of of funds provided Global Equity returns for for this this time time period (%) (%) With a return of 17.03, Fund received a percentile rank of Universe Median:.33 MSCI ACW Index (USD) (Gross): Funds with less history than the specified time period will not appear in the chart. Page 38

39 5 Year Annualized Global Equity Returns of of funds provided Global Equity returns for for this this time time period (%) (%) With a return of 11.77, Fund received a percentile rank of Universe Median: MSCI ACW Index (USD) (Gross): Funds with less history than the specified time period will not appear in the chart. Page 39

40 Year Annualized Global Equity Returns 7.50 of of funds provided Global Equity returns for for this time period (%) With a return of 4.59, Fund received a percentile rank of Universe Median: 4.46 MSCI ACW Index (USD) (Gross): 4.27 Funds with less history than the specified time period will not appear in the chart. Page 40

41 Total Return - Global Equity Sample Fund vs. MSCI ACW Index (USD) (Gross) Calendar Year Rates of Return (%) Cumulative Performance (Growth of $0) $180 $170 $160 $150 $ $ $ $1 $ Jun-12 Sep-12 Dec-12 Mar-13 Jun-13 Sep-13 Dec-13 Mar-14 Jun-14 Sep-14 Dec-14 Mar-15 Jun-15 Sep-15 Dec-15 Mar-16 Jun-16 Sep-16 Dec-16 Mar-17 Jun-17 Sample Fund MSCI ACW Index (USD) (Gross) Sample Fund: $174 MSCI ACW Index (USD) (Gross): $170 Sample Fund MSCI ACW Index (USD) (Gross) Variance 1 Year Annualized Returns (%) 3 Years 5 Years Page 41

42 1 Year Annualized US Fixed Income Returns of of funds provided US US Fixed Income returns for for this this time period (%) (%) With a return of -2.27, Fund received a percentile rank of Universe Median: 2.19 Bloomberg US Agg Bond Index: Funds with less history than the specified time period will not appear in the chart. Page 42

43 5 Year Annualized US Fixed Income Returns of of funds provided US Fixed Income returns for this time period (%) With a return of 3.01, Fund received a percentile rank of Universe Median: 3. Bloomberg US Agg Bond Index: 2.21 Funds with less history than the specified time period will not appear in the chart. Page 43

44 Year Annualized US Fixed Income Returns of of funds provided US Fixed Income returns for this time period (%) Universe Median: 5.29 Bloomberg US Agg Bond Index: 4.48 Funds with less history than the specified time period will not appear in the chart. Page 44

45 Total Return - US Fixed Income Sample Fund vs. Bloomberg US Agg Bond Index Calendar Year Rates of Return (%) Cumulative Performance (Growth of $0) $ $115 $ $5 $ $95 Jun-12 Sep-12 Dec-12 Mar-13 Jun-13 Sep-13 Dec-13 Mar-14 Jun-14 Sep-14 Dec-14 Mar-15 Jun-15 Sep-15 Dec-15 Mar-16 Jun-16 Sep-16 Dec-16 Mar-17 Jun-17 Sample Fund Bloomberg US Agg Bond Index Sample Fund: $116 Bloomberg US Agg Bond Index: $112 Sample Fund Bloomberg US Agg Bond Index Variance 1 Year Annualized Returns (%) 3 Years 5 Years Page 45

46 1 Year Annualized Global Fixed Income Returns of of funds provided Global Fixed Income returns for for this this time period (%) (%) With a return of -0.83, Fund received a percentile rank of Universe Median: 5.24 Bloomberg Gbl Agg Bond Index: Funds with less history than the specified time period will not appear in the chart. Page 46

47 5 Year Annualized Global Fixed Income Returns of of funds provided Global Fixed Income returns for for this time period (%) With a return of 2.91, Fund received a percentile rank of Universe Median: 3.35 Bloomberg Gbl Agg Bond Index: 0.78 Funds with less history than the specified time period will not appear in the chart. Page 47

48 Year Annualized Global Fixed Income Returns of of funds provided Global Fixed Income returns for for this time period (%) Universe Median: 5.42 Bloomberg Gbl Agg Bond Index: 3.69 Funds with less history than the specified time period will not appear in the chart. Page 48

49 Total Return - Global Fixed Income Sample Fund vs. Bloomberg Gbl Agg Bond Index Calendar Year Rates of Return (%) Cumulative Performance (Growth of $0) $1 $115 $1 $5 $0 $95 Jun-12 Sep-12 Dec-12 Mar-13 Jun-13 Sep-13 Dec-13 Mar-14 Jun-14 Sep-14 Dec-14 Mar-15 Jun-15 Sep-15 Dec-15 Mar-16 Jun-16 Sep-16 Dec-16 Mar-17 Jun-17 Sample Fund Bloomberg Gbl Agg Bond Index Sample Fund: $115 Bloomberg Gbl Agg Bond Index: $4 Sample Fund Bloomberg Gbl Agg Bond Index Variance 1 Year Annualized Returns (%) 3 Years 5 Years Page 49

50 1 Year Annualized Real Estate Returns of of funds provided Real Estate returns for for this this time period (%) (%) With a return of 7.45, Fund received a percentile rank of Universe Median: 8.03 NCREIF ODCE Index (AWA) (Gross): 7.87 Funds with less history than the specified time period will not appear in the chart. Page 50

51 5 Year Annualized Real Estate Returns of of funds provided Real Estate returns for for this time period (%) (%) With a return of 11.73, Fund received a percentile rank of Universe Median: NCREIF ODCE Index (AWA) (Gross): Funds with less history than the specified time period will not appear in the chart. Page 51

52 Year Annualized Real Estate Returns of of funds provided Real Estate returns for for this time period (%) (%) With a return of 5.00, Fund received a percentile rank of Universe Median: 4.62 NCREIF ODCE Index (AWA) (Gross): 5.25 Funds with less history than the specified time period will not appear in the chart. Page 52

53 Total Return - Real Estate Sample Fund vs. NCREIF ODCE Index (AWA) (Gross) Calendar Year Rates of Return (%) Cumulative Performance (Growth of $0) $180 $170 $160 $150 $140 $ $ $ $ Jun-12 Sep-12 Dec-12 Mar-13 Jun-13 Sep-13 Dec-13 Mar-14 Jun-14 Sep-14 Dec-14 Mar-15 Jun-15 Sep-15 Dec-15 Mar-16 Jun-16 Sep-16 Dec-16 Mar-17 Jun-17 Sample Fund NCREIF ODCE Index (AWA) (Gross) Sample Fund: $174 NCREIF ODCE Index (AWA) (Gross): $175 Sample Fund NCREIF ODCE Index (AWA) (Gross) Variance 1 Year Annualized Returns (%) 3 Years 5 Years Page 53

54 Risk/Return Analysis 5 Year Annualized Total Fund Returns vs. Standard Deviation 78 of 79 funds provided Total Fund returns for this time period (%) Fund Sharpe Ratio: Annualized Return Standard Deviation (Risk) Universe Median Risk: 4.94 Median Return: 9.27 Median Sharpe Ratio: 1.79 Funds with less history than the specified time period will not appear in the chart. Page 54

55 Risk/Return Analysis Year Annualized Total Fund Returns vs. Standard Deviation 75 of 79 funds provided Total Fund returns for this time period (%) Fund Sharpe Ratio: Annualized Return Standard Deviation (Risk) Universe Median Risk:.82 Median Return: 5.43 Median Sharpe Ratio: 0.48 Funds with less history than the specified time period will not appear in the chart. Page 55

56 Risk/Return Analysis 5 Year Annualized US Equity Returns vs. Standard Deviation 74 of 79 funds provided US Equity returns for this time period (%) Fund Sharpe Ratio: Annualized Return Standard Deviation (Risk) Universe Median Risk: 7.91 Median Return: Median Sharpe Ratio: 1.77 Funds with less history than the specified time period will not appear in the chart. Page 56

57 Risk/Return Analysis Year Annualized US Equity Returns vs. Standard Deviation 69 of 79 funds provided US Equity returns for this time period (%) Fund Sharpe Ratio: Annualized Return Standard Deviation (Risk) Universe Median Risk: Median Return: 7.15 Median Sharpe Ratio: 0.46 Funds with less history than the specified time period will not appear in the chart. Page 57

58 Risk/Return Analysis 5 Year Annualized International Equity Returns vs. Standard Deviation 73 of 79 funds provided International Equity returns for this time period (%) Fund Sharpe Ratio: Annualized Return Standard Deviation (Risk) Universe Median Risk:.41 Median Return: 8.75 Median Sharpe Ratio: 0.85 Funds with less history than the specified time period will not appear in the chart. Page 58

59 Risk/Return Analysis Year Annualized International Equity Returns vs. Standard Deviation 67 of 79 funds provided International Equity returns for this time period (%) Fund Sharpe Ratio: Annualized Return Standard Deviation (Risk) Universe Median Risk: Median Return: 1.89 Median Sharpe Ratio: 0.17 Funds with less history than the specified time period will not appear in the chart. Page 59

60 Risk/Return Analysis 5 Year Annualized Global Equity Returns vs. Standard Deviation 24 of 79 funds provided Global Equity returns for this time period (%) Fund Sharpe Ratio: Annualized Return Standard Deviation (Risk) Universe Median Risk: 8.06 Median Return: Median Sharpe Ratio: 1.44 Funds with less history than the specified time period will not appear in the chart. Page 60

61 Risk/Return Analysis Year Annualized Global Equity Returns vs. Standard Deviation of 79 funds provided Global Equity returns for this time period (%) Fund Sharpe Ratio: Annualized Return Standard Deviation (Risk) Universe Median Risk: Median Return: 4.46 Median Sharpe Ratio: 0.31 Funds with less history than the specified time period will not appear in the chart. Page 61

62 Risk/Return Analysis 5 Year Annualized US Fixed Income Returns vs. Standard Deviation 68 of 79 funds provided US Fixed Income returns for this time period (%) Fund Sharpe Ratio: Annualized Return Standard Deviation (Risk) Universe Median Risk: 3.06 Median Return: 3. Median Sharpe Ratio: 0.96 Funds with less history than the specified time period will not appear in the chart. Page 62

63 Risk/Return Analysis Year Annualized US Fixed Income Returns vs. Standard Deviation 62 of 79 funds provided US Fixed Income returns for this time period (%) Annualized Return Standard Deviation (Risk) Universe Median Risk: 3.95 Median Return: 5.29 Median Sharpe Ratio: 1.15 Funds with less history than the specified time period will not appear in the chart. Page 63

64 Risk/Return Analysis 5 Year Annualized Global Fixed Income Returns vs. Standard Deviation 17 of 79 funds provided Global Fixed Income returns for this time period (%) Fund Sharpe Ratio: Annualized Return Standard Deviation (Risk) Universe Median Risk: 3.76 Median Return: 3.35 Median Sharpe Ratio: 0.80 Funds with less history than the specified time period will not appear in the chart. Page 64

65 Risk/Return Analysis Year Annualized Global Fixed Income Returns vs. Standard Deviation 11 of 79 funds provided Global Fixed Income returns for this time period (%) Annualized Return Standard Deviation (Risk) Universe Median Risk: 4.65 Median Return: 5.42 Median Sharpe Ratio: 0.87 Funds with less history than the specified time period will not appear in the chart. Page 65

66 Risk/Return Analysis 5 Year Annualized Real Estate Returns vs. Standard Deviation 72 of 79 funds provided Real Estate returns for this time period (%) Fund Sharpe Ratio: Annualized Return Standard Deviation (Risk) Universe Median Risk: 2.31 Median Return: Median Sharpe Ratio: 4.67 Funds with less history than the specified time period will not appear in the chart. Page 66

67 Risk/Return Analysis Year Annualized Real Estate Returns vs. Standard Deviation 66 of 79 funds provided Real Estate returns for this time period (%) Fund Sharpe Ratio: Annualized Return Standard Deviation (Risk) Universe Median Risk: 9.39 Median Return: 4.62 Median Sharpe Ratio: 0.45 Funds with less history than the specified time period will not appear in the chart. Page 67

68 Net Assets Available For Benefits Expressed as a Percentage of the Pension Benefit Obligation 54 of 79 funds provided Net Assets Available data (%) % of Net Assets Available for Benefits Funds that did not provide data will not appear in the chart. Page 68

69 Actuarial Assumption Rates Actuarial Rate Assumptions % Median 57 of 79 funds provided Actuarial Rate data Salary Growth Rate Assumptions (Inflation plus Merit) % Median 53 of 79 funds provided Salary Growth Rate data Real Rate of Assumed Investment Return (Interest Rate minus Inflation) % Median 53 of 79 funds provided Real Rate of Assumed Investment Return data Sample Fund Funds that did not provide data will not appear in the chart. Page 69

70 Total Administrative and Investment Fees Sample Fund vs. All Funds Sample Fund All Funds Inv Other 0.46% Real Es 9.35% Inv Div Staff 0.94% Admin 7.06% Custodian 0.33% Inv Cons 0.70% US Eq 2.56% Int'l Eq.11% Inv Other 1.60% Real Es 11.43% Inv Div Staff 2.25% Admin 14.89% Custodian 1.58% Inv Cons 2.33% Global Eq 4.28% US Eq 8.63% Fixed Inc 5.43% Alt Inv 34.55% Int'l Eq.87% Alt Inv 58.79% Global Eq 3.17% Fixed Inc 8.70% Variance (%) Inv Div Staff Admin Custodian Inv Cons US Eq Int'l Eq Global Eq Fixed Inc Alt Inv Real Es Inv Other Allocations shown may not sum up to 0% exactly due to rounding. Page 70

71 Total Fund Fee Summary in Basis Points Sample Fund vs. Average by Asset Range 56 of 79 funds provided fee data for this time period Administrative Expenses Sample Fund Under $500 Million $500mm - $1 Billion $1 - $5 Billion $5 - $ Billion $ - $ Billion Internal Inv. Div. Staff Actuary Legal Consultant Audit Other Professional General Administrative Total Administrative Expenses Investment Expenses Sample Fund Under $500 Million $500mm - $1 Billion $1 - $5 Billion $5 - $ Billion $ - $ Billion Custodial Investment Consulting US Equity International Equity Global Equity Fixed Income Real Estate Other Investment Management Total Investment Expenses (ex. Alt Inv) Alternative Investments Total Investment Expenses Total Expenses Over $ Billion Over $ Billion Expressed in basis points on total fund assets. Funds that did not provide fee data will not appear in the table. Page 71

72 GIPS Compliance Survey Summary Q1. Are you currently claiming compliance or considering compliance with the CFA Institute's Guidance Statement on the Application of the Global Investment Performance Standards (GIPS) to Asset Owners, effective January 1, 15? Of the 79 participants in the 17Q2 Public Fund Report, 51 participants provided a reply to the GIPS Compliance Survey. Of those participants, 6 answered "Yes, Currently Comply", 4 answered "Yes, Considering", and 41 answered "Not Considering". Q2. According to the GIPS standards, asset owner net of fees performance must reflect internal as well as external investment costs, and such net of all fee performance is required to be calculated and presented to fund oversight committees/boards. Please identify which, if any, of the following costs you are currently including or will consider including in net performance that is in compliance with the GIPS standards. Currently Include Considering Not Considering Unsure at this Time Internal investment department compensation/benefits Allocation of non-investment department expenses (human resources, communications, technology, performance measurement, and compliance to support internal management team) Investment research services (0% or pro-rata determination) Investment consulting fees (general investment consulting and project fees; 0% or pro-rata determination) Pro-rata data valuation fees Pro-rata overhead indirectly related to asset management (building and utilities fees to support internal management team) Page 72

73 Addendum and Glossary Miscellaneous Comments Performance shown is gross of fees, with the exception of the following: Funds 31, 49, 350, 351, and 355: Performance shown is net of fees. Funds 5 and : Performance shown is net of fees, except for Total Fund performance. Fund 85: Performance shown for Real Estate is net of fees. Performance shown is calculated using quarterly performance provided by participating public funds. Performance shown may differ from a fund's actual performance due to rounding. Net Assets Available for Benefit includes funding percentage valuation as of dates between June 16 and June 17. Allocations shown reflect dedicated managers/mandates rather than actual exposure, with the exception of the following: Fund 61: Performance shown for Global Equity includes US and Non-US exposure. Funds 1, 29, and 119: Performance shown for Global Fixed Income includes US and Non-US exposure. Funds 4, 42, and 64: Performance shown for US Fixed Income includes US and Non-US exposure. Glossary of Terms Beta - A measure of the sensitivity of a portfolio to the movements in the market. It is a measure of a portfolio's non-diversifiable or systematic risk. Return - Compounded rate of return for the period. % Return - The time-weighted rate of return of a portfolio for a given period. Sharpe Ratio - Represents the excess rate of return over the risk-free return (i.e., BofA ML 3 Mo US T-Bill Index unless specified otherwise), divided by the standard deviation of the excess return to the risk free asset. The result is the absolute rate of return per unit of risk. The higher the value, the better the product's historical risk-adjusted performance. Standard Deviation - A statistical measure of the range of a portfolio's performance. The variability of a return around its average return over a specified time period. Calculation is based on quarterly periodicity. Page 73

74 Disclaimer of Warranties and Limitation of Liability - This document was prepared by RVK, Inc. (RVK) and may include information and data from some or all of the following sources: client staff; custodian banks; investment managers; specialty investment consultants; actuaries; plan administrators/record-keepers; index providers; as well as other third-party sources as directed by the client or as we believe necessary or appropriate. RVK has taken reasonable care to ensure the accuracy of the information or data, but makes no warranties and disclaims responsibility for the accuracy or completeness of information or data provided or methodologies employed by any external source. This document is provided for the client s internal use only and does not constitute a recommendation by RVK or an offer of, or a solicitation for, any particular security and it is not intended to convey any guarantees as to the future performance of the investment products, asset classes, or capital markets.