s Missouri Department of Transportation Overview March 28th, 2017 Don Stracke, Senior Consultant, CFA, CAIA
CFRS Q4 2016 Executive IPA - Total Fund Performance Summary-Gross of Fees
CFRS Q4 2016 Executive IPA - Total Fund Asset Allocation vs. Policy Targets
Total Fund/Risk Return
2016 4Q MoDOT Quarterly Board Report Total Fund Asset Allocation vs. Current Allocation
2016 4Q MoDOT Quarterly Board Report - Total Fund Performance Summary
2016 4Q MoDOT Quarterly Board Report - Total Fund Attribution Analysis
2016 4Q MoDOT Quarterly Board Report - Total Fund Risk Return-10 Years As of December 31, 2016
2016 4Q MoDOT Quarterly Board Report Total Composite Total Composite Policy % % of Portfolio Market Value ($) 3 Mo Total Composite 100.00 100.00 2,058,050,303 1.76 9 6.76 70 6.90 1 9.65 3 5.37 26 Policy Index 0.77 46 7.53 47 5.64 3 8.51 26 5.24 33 Global Equity Composite 30.00 28.32 582,878,170 10.61 15 4.67 21 11.08 27 4.52 37 MSCI ACWI 7.86 31 3.13 39 9.36 62 3.56 58 Fixed Income Composite 25.00 22.85 470,274,610 6.37 34 7.16 1 6.84 11 6.22 14 BBgBarc US Universal TR 3.91 62 3.28 34 2.78 57 4.57 49 Real Assets Composite 5.00 8.05 165,689,992 1.69 -- 3.43 -- -- -- -- -- CPI + 4% (Unadjusted) 6.15 -- 5.23 -- 5.41 -- 5.88 -- Real Estate Composite 10.00 11.97 246,306,924 7.92 -- 12.15 -- 13.50 -- 5.27 -- NFI-ODCE Eq Wtd Net Non Lag 8.35 -- 11.29 -- 11.23 -- 4.70 -- Private Equity Composite 15.00 16.84 346,530,132 6.21 -- 12.38 -- 13.14 -- 6.41 -- MO Hwy Priv. Equ. Index - Lagged 18.85 -- 14.47 -- 19.82 -- 10.81 -- Hedge Fund Composite 15.00 7.60 156,346,269 1.99 -- 1.66 -- 4.30 -- -- -- HFRI Fund of Funds Composite Index 0.53 -- 1.20 -- 3.42 -- 1.31 -- Cash Composite 0.00 4.37 90,024,206 0.24 -- 0.14 -- 0.11 -- 0.82 -- 91 Day T-Bills 0.3 -- 0.12 -- 0.10 -- 0.65 -- Rank 1 Yr Rank 3 Yrs Rank 5 Yrs Rank 10 Yrs Rank Total Composite is ranked in the IFx Public DB (peer) Net + Universe Global Equity Composite is ranked in the ea Global All Cap Equity Net Universe Fixed Income Composite is ranked in the ea All Global Fixed Inc Net Universe As of December 31, 2016
2016 4Q MoDOT Quarterly Board Report Total Fund Performance Detail Total Composite Policy Index Market Value ($) % of Portfolio Policy % 2,058,050,303 100 100 Global Equity Composite 582,878,170 28.32 30.00 MSCI ACWI Tortoise 70,179,118 3.41 Alerian MLP Index Domestic Equity Composite 345,043,629 16.77 -- Russell 3000 Large Cap Composite 280,150,756 13.61 -- Cash/S&P Futures 280,150,756 13.61 S&P 500 Small/Mid Cap Composite 64,892,873 3.15 -- Kennedy Capital 26,738,246 1.30 Pinnacle 38,154,627 1.85 Russell 2500 International Equity Composite 167,655,423 8.15 -- MSCI ACWI ex USA Silchester 114,992,877 5.59 Acadian Int'l Small Cap 32,766,906 1.59 MSCI EAFE GMO EM 19,486,897 0.95 MSCI Emerging Markets Transition Account 408,743 0.02 3 Mo 1 Yr 3 Yrs 5 Yrs 10 Yrs 1.76 6.76 6.90 9.65 5.37 0.77 7.53 5.64 8.51 5.24 2.75 10.61 4.67 11.08 4.52 1.19 7.86 3.13 9.36 3.56 2.84 13.90-1.18 7.04 -- 2.04 18.31-5.80 2.25 8.05 4.05 12.50 8.17 14.79 6.82 4.21 12.73 8.43 14.67 7.07 3.33 11.96 8.93 14.10 7.39 3.34 13.07 7.89 -- -- 3.82 11.96 8.87 14.66 6.95 7.25 16.35 6.77 15.34 8.14 13.55 25.30 -- -- -- 3.24 4.90 4.04 14.06 8.23 6.12 17.59 6.93 14.54 7.69 0.14 6.30 0.98 7.33 1.95-1.25 4.50-1.78 5.00 0.96 2.38 7.49 2.47 10.11 6.33-2.86 2.76 3.06 -- -- -0.71 1.00-1.60 6.53 0.75-7.00 4.04-1.83 -- -- -4.16 11.19-2.55 1.28 1.84 As of December 31, 2016
2016 4Q MoDOT Quarterly Board Report Total Fund Performance Detail Market Value ($) % of Portfolio Policy % 3 Mo Fixed Income Composite 470,274,610 22.85 25-0.41 6.37 7.16 6.84 6.22 BBgBarc US Universal TR -2.61 3.91 3.28 2.78 4.57 Core Fixed Income Composite 155,304,845 7.55 10.00-0.30 2.16 4.21 3.83 3.83 Aberdeen 20,208,888 0.98 1.36 4.59 5.18 6.07 5.32 BBgBarc US Aggregate TR -2.98 2.65 3.03 2.23 4.34 Internal Fixed - Core 91,694,977 4.46-1.03-0.24 3.70 3.03 -- BBgBarc US Govt/Credit TR -3.39 3.05 3.04 2.29 4.40 Octagon Senior Debt 26,360,723 1.28 1.03 5.73 -- -- -- BBgBarc US Aggregate TR -2.98 2.65 3.03 2.23 4.34 Principal CMBS Fixed 17,040,257 0.83-0.46 4.84 4.19 -- -- BBgBarc US CMBS ERISA Eligible TR -3.03 3.32 2.71 3.56 5.06 Long Duration Composite 110,714,107 5.38 5.00-7.70 2.65 6.93 4.61 -- Internal Fixed - Long Duration 110,714,107 5.38-7.70 2.64 6.93 4.65 -- BBgBarc US Govt/Credit Long TR -7.84 6.67 7.16 4.07 6.85 Opportunistic Debt Composite 178,863,275 8.69 5.00 4.72 13.84 12.57 15.82 -- BBgBarc US High Yield TR 1.75 17.13 4.66 7.36 7.45 ABRY ASF 141,707 0.01 3.60 8.99 22.25 27.96 -- Anchorage Capital II 151,800 0.01-7.96-10.33 9.07 12.25 -- Anchorage Capital III 5,166,266 0.25-3.41-4.05 8.30 -- -- Anchorage Illiquid Opps V 3,701,883 0.18 3.44 15.06 -- -- -- Audax Mezzanine II 323,092 0.02 6.26-8.80 7.94 8.05 6.91 CVI Credit Value 7,177,769 0.35 3.42 16.00 19.03 24.97 -- CVI Credit Value Fund III 8,641,782 0.42 4.41 16.63 -- -- -- CVI Global Value 4,121,489 0.20 0.73 2.90 6.38 11.74 -- GOLUB Capital 27,059,967 1.31 3.14 11.41 7.44 6.94 -- GSO Capital Opp II 5,445,111 0.26 5.36-0.06 10.03 14.58 -- GSO COF III 943,751 0.05-1.13 -- -- -- -- GSO Credit Alpha Fund 19,186,044 0.93 7.50 19.07 -- -- -- GSO Energy Select Opps 1,183,932 0.06 7.62 35.39 -- -- -- GSO Opp I 934,628 0.05-1.12-6.14 5.47 14.23 -- Internal Fixed - Nonrated 2,088,088 0.10-0.87 6.56 -- -- -- M&G III 6,262,898 0.30-3.24-10.27-21.21 -- -- Northern Shipping II 12,134,378 0.59-2.05 4.65 -- -- -- Northern Shipping III 3,061,074 0.15 4.78 -- -- -- -- Och-Ziff Struct Products II 3,153,619 0.15 20.70 30.34 15.16 -- -- 1 Yr 3 Yrs 5 Yrs As of December 31, 2016 10 Yrs
2016 4Q MoDOT Quarterly Board Report Total Fund Performance Detail Market Value ($) % of Porfolio Policy % 3 Mo 1 Yr 3 Yrs 5 Yrs 10 Yrs OCP Asia 15,084,272 0.73 4.66 16.33 15.59 -- -- Octagon Opportunistic 34,855,844 1.69 5.92 22.03 -- -- -- Owl Rock 3,526,356 0.17 -- -- -- -- -- Riverstone Credit Partners 10,981,085 0.53 2.97 15.47 -- -- -- Siguler Guff Sec Opps 3,536,440 0.17 37.74 -- -- -- -- BBgBarc US High Yield TR 1.75 17.13 4.66 7.36 7.45 Inflation Protection Securities Composite 25,392,383 1.23 5.00-1.66 4.64 2.76 1.29 -- Internal US TIPS 25,392,383 1.23-1.66 4.63 2.76 1.29 -- BBgBarc US TIPS TR -2.41 4.68 2.26 0.89 4.36 Real Assets Composite 165,689,992 8.05 5.00 4.81 1.69 3.43 -- -- CPI + 4% (Unadjusted) 0.99 6.15 5.23 5.41 5.88 American Infrastructure I MLP 17,153,916 0.83 1.65 2.99-0.12 2.70 -- American Infrastructure II MLP 9,137,736 0.44-2.59-0.02-15.02 -- -- Apollo Aviation III 4,038,633 0.20-2.29-8.12 -- -- -- Blue Road 4,437,925 0.22-9.08 2.45 -- -- -- EIF - US Power III 10,439,187 0.51 10.27 13.40 16.81 12.69 -- EMG Fund IV 12,782,995 0.62 13.42 11.94 -- -- -- Energy & Mineral Group III 13,765,988 0.67-10.78-21.32 -- -- -- Energy & Mineral Group II 12,556,713 0.61 1.75-3.87 19.63 -- -- Midstream & Resources I 8,087,700 0.39 6.29-11.83-5.27 12.95 -- Grey Rock Energy Fund II 2,950,718 0.14-7.40 -- -- -- -- Newquest Fund 247,590 0.01-3.55 -- -- -- -- NGP IX 1,343,995 0.07-5.00-16.92-5.23-0.62 -- NGP X 5,609,591 0.27 14.15 17.98 2.92 -- -- NGP XI 6,219,074 0.30 18.90 24.53 -- -- -- Orion Mine Finance Fund I 12,367,923 0.60 11.06 21.27 -- -- -- Ridgewood Energy 8,927,374 0.43 11.50 8.98-9.03 -- -- Ridgewood III 877,449 0.04 23.00-52.40 -- -- -- Sciens Marine Investments 2,262,347 0.11 0.06-54.54 -- -- -- CPI + 4% (Unadjusted) 0.99 6.15 5.23 5.41 5.88 RMK - Timberland 3,178,804 0.15 23.73 20.13 6.97 11.96 3.66 MP Timber 29,304,334 1.42 7.92 -- -- -- -- NCREIF Timberland 1 Qtr Lag 0.67 3.39 7.64 6.94 6.38 As of December 31, 2016
2016 4Q MoDOT Quarterly Board Report Total Fund Performance Detail Market Value ($) % of Portfolio Policy % 3 Mo 1 Yr 3 Yrs 5 Yrs 10 Yrs Real Estate Composite 246,306,925 11.97 1.05 9.66 13.96 15.12 5.18 10 NFI-ODCE Eq Wtd Net Non Lag 1.95 8.35 11.29 11.23 4.70 Core Real Estate Composite 159,237,680 7.74 -- 1.05 9.66 13.96 15.12 5.18 NCREIF Property Index 1.73 7.97 11.01 10.91 6.93 CBRE Capital Partners 85,254 0.00-12.24-7.89 3.77 7.64 -- Clarion Partners Lion Prop Fd 66,848,840 3.25 1.23 8.10 12.23 11.00 3.74 Principal CMBS 19,500,842 0.95 1.43 14.87 14.24 22.09 -- Principal Enhanced Property 48,618,860 2.36 0.00 9.61 15.18 15.21 3.39 NCREIF Property Index 1.73 7.97 11.01 10.91 6.93 Principal U.S. Property Fund 24,183,884 1.18 2.50 8.95 11.73 12.06 4.84 NCREIF ODCE 2.11 8.76 12.06 12.21 5.81 Non-Core Real Estate Composite 72,172,749 3.51 -- -0.87 6.53 10.10 10.87 3.51 AEW Partners V 90,189 0.00 4.78 49.76 59.89 43.86 13.89 Apollo European III 1,593,088 0.08-5.91-0.85 0.93 2.11 -- Apollo Real Estate 6,080,302 0.30-1.96 11.96 16.00 15.48 1.04 Centersquare III 11,958,857 0.58-0.39 -- -- -- -- Clarion Part Lion Mexico Fund 2,195,678 0.11-3.23-27.20-13.59-10.50 -- Colony Capital VIII 1,626,713 0.08 5.46-4.94-3.73 5.74 -- M&G II 7,719,371 0.38-2.75-8.94-3.21 -- -- Och Ziff RE Credit FD LP 3,277,630 0.16-1.35 -- -- -- -- Och-Ziff 2,908,687 0.14 2.63 52.59 27.72 33.61 25.82 Och-Ziff RE III 3,409,132 0.17 1.75 7.01 -- -- -- Torchlight Debt Opp II 8,916,521 0.43 1.57 11.37 -- -- -- Torchlight Debt Opp III 3,537,404 0.17 5.40 6.91 -- -- -- Torchlight Debt Opps V 3,973,435 0.19 6.74 7.91 -- -- -- Tristan EPISO 4,683,720 0.23-1.98 7.70 9.81 9.82 -- Tristan EPISO 3 7,011,956 0.34-6.64-3.21 -- -- -- Tristan EPISO 4 2,509,770 0.12-6.20-3.99 -- -- -- Urdang Value Added Fund II 680,296 0.03-0.56-5.36 2.28 8.37 -- NCREIF Property Index 1.73 7.97 11.01 10.91 6.93 REITS Composite 14,896,495 0.72 -- -6.95-1.38 2.56 6.92 -- CBRE Investors 14,896,495 0.72-6.95-1.39 2.56 6.91 -- FTSE EPRA/NAREIT Developed -5.59 4.06 5.90 9.48 1.48 As of December 31, 2016
2016 4Q MoDOT Quarterly Board Report Total Fund Performance Detail 5 Yrs 10 Yrs Market Value ($) % of Portfolio Policy % 3 Mo 1 Yr 3 Yrs Private Equity Composite 346,530,132 16.84% 15.00 2.73 6.21 12.38 13.14 6.41 MO Hwy Priv. Equ. Index - Lagged 4.61 18.85 14.47 19.82 10.81 Abry Partners VI 2,815,166 0.14 16.75 56.61 37.05 34.25 -- Abry Partners VII 3,944,234 0.19 1.85 6.90 13.74 14.22 -- Capital Partners II 8,715,973 0.42 1.01 6.85 19.37 -- -- DC Capital Partners 663,130 0.03-9.71 -- -- -- -- Grove Street - MP Ventures 118,080,770 5.74 1.43 4.08 9.63 12.02 5.72 Grove Street - MP Ventures II 176,468,608 8.57 3.75 6.00 14.80 12.47 -- KPS IV 1 0.00-29.40 2.08 4.84 -- -- Longford II 1,504,541 0.07 -- -- -- -- -- Opengate Capital Partners 1,903,830 0.09 4.58 -- -- -- -- Ospraie 1,798,879 0.09-5.18 26.53 9.68 9.65 -- Pfingsten Fund V 1,11,19 0.05 Shore Capital Partners GP I LP 1,798,125 0.09-1.24 17.97 -- -- -- Shoreline China Valu III 8,186,606 0.40 4.36 6.61 -- -- -- Turnbridge Capital Partners I 3,308,641 0.16-3.72-9.63 -- -- -- Vectis H & L II 12,030,195 0.58 0.81 23.64 17.69 15.30 -- Aisling 4,300,413 0.21 15.38 -- -- -- -- Long Ridge II 1 0.00 0.00 -- -- -- -- As of December 31, 2016
2016 4Q MoDOT Quarterly Board Report Total Composite 3 Mo 3 Yrs 5 Yrs Market Value ($) % of Portfolio Policy % 1 Yr Hedge Fund Composite 156,346,269 7.60% 15.00 3.12 1.99 1.66 4.30 HFRI Fund of Funds Composite Index 0.88 0.53 1.20 3.42 1.31 Alyeska Fund 15,058,299 0.73 2.94-3.20 -- -- -- BlueTrend 9,403,255 0.46-4.17-10.97 1.24 -- -- Bridgewater Pure Alpha 18,200,369 0.88 14.21 2.58 3.70 3.47 10.25 Cevian 13,395,124 0.65 5.62 17.69 5.33 10.71 -- Indus Pacific Opp. Fund 11,652,436 0.57-1.49 1.00 -- -- -- Koppenburg Commodity Fund 10,604,710 0.52 6.93 11.63 -- -- -- Luxor Capital 2,273,517 0.11-7.72-26.59-16.20-7.13 -- Metacapital 11,318,551 0.55 0.10 5.35 5.06 -- -- Millenium USA LP 18,232,890 0.89 0.76 4.66 -- -- -- Pentwater 10,239,553 0.50 2.12 9.50 -- -- -- PFM 11,839,986 0.58-2.35-7.39 0.90 6.37 -- RK Tessera 11,099,860 0.54 4.64 3.65 -- -- -- Shepherd International Fund 480,500 0.02-0.59-6.33-3.19-4.81 -- Taconic Capital 3,145 0.00 1.77 9.95 3.13 7.33 -- ValueAct 12,544,074 0.61 6.18 3.39 4.46 12.55 -- HFRI Fund of Funds Composite Index 0.88 0.53 1.20 3.42 1.31 Cash Composite 90,024,206 4.37 0.00 0.05 0.24 0.14 0.11 0.82 91 Day T-Bills 0.10 0.30 0.12 0.10 0.65 10 Yrs As of December 31, 2016
2011 4Q MoDOT Quarterly Board Report - Actual Allocation vs. Policy Allocation Actual Allocation vs. Policy Allocation Actual Asset Allocation Cash, 0.3% Global Equity Fixed Income Hedge Funds Real Estate -2.3% -2.9% -0.9% 2.8% Real Estate, 17.8% Hedge Funds, 12.1% Private Equity, 17.9% Global Equity, 27.7% Fixed Income, 24.1% Private Equity 2.9% Policy Asset Allocation Cash 0.3% -5% -3% -1% 1% 3% 5% Market Values ($) Allocation Target Global Equity $410,601 27.7% 30.0% Fixed Income $357,357 24.1% 25.0% Hedge Funds $178,534 12.1% 15.0% Real Estate $263,530 17.8% 15.0% Private Equity $265,381 17.9% 15.0% Cash $5,073 0.3% 0.0% Total Fund $1,480,475 100.0% 100.0% Private Equity, 15.0% Real Estate, 15.0% Hedge Funds, 15.0% Global Equity, 30.0% Fixed Income, 25.0% As of December 31, 2016
2011 4Q MoDOT Quarterly Board Report *- Total Plan & Asset Class Performance Total Plan Composite is ranked in the ICC Total Public Fund Universe Total Equity Composite is ranked in the ICC Global Equity Funds Active Universe Total Fixed Income Composite is ranked in the ICC Global Fixed Income Active Universe Total Real Estate Composite is ranked in the ICC Real Estate Universe Total Private Equity Composite is ranked in the ICC Private Equity Funds Universe Total Hedge Fund Composite is ranked in the ICC Hedge Fund Universe *As of 12/31/2011
2011 4Q MoDOT Quarterly Board Report*- Total Plan 10 Year Risk & Return MoDOT & Patrol ERS Total Fund Universe: Public Funds (DB) Period Ending December 31, 2011