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San Diego City Employees’ Retirement System
4Q 2016 Performance Summary
March 9, 2017
2
(This page left blank intentionally)
3
Market Update
4
Major Capital Markets Performance Summary
As of December 2016
Quarter FYTD 1 year 3 years 5 years 10 years
DJ U.S. Total Stock Market Index 4.1% 8.8% 12.6% 8.4% 14.6% 7.2%
S&P 500 Index 3.8 7.8 12.0 8.9 14.7 6.9
Russell 2000 Index 8.8 18.7 21.3 6.7 14.5 7.1
MSCI EAFE Index -0.7 5.7 1.0 -1.6 6.5 0.7
MSCI EAFE Index (Local Currency) 7.1 13.5 5.3 5.5 11.8 2.2
MSCI Emerging Markets Index -4.2 4.5 11.2 -2.6 1.3 1.8
MSCI Emerging Markets Index (Local Currency) -1.4 6.0 9.7 2.8 5.6 4.4
Bloomberg Barclays Aggregate Bond Index -3.0 -2.5 2.6 3.0 2.2 4.3
Bloomberg Barclays Intermediate Agg. Bond Index -2.0 -1.7 2.0 2.4 1.9 4.0
JPM GBI-EM Global Diversified Index -6.1 -3.6 9.9 -4.1 -1.3 3.8
JPM EMBI Global Index -4.2 -0.6 10.2 5.6 5.4 6.8
10 Year U.S. Treasury -6.8 -7.5 -0.2 3.7 1.4 4.9
CPI 0.0 0.2 2.1 1.2 1.4 1.8
5
SDCERS: Performance Summary
6
Change in Market Value
The Total Fund market value decreased by approximately $31 million during the fourth quarter due
to net withdrawals of approximately $118 million and investment gains of approximately $87
million
7
Historical Market Values
$0
$1,000
$2,000
$3,000
$4,000
$5,000
$6,000
$7,000
$8,000
Ju
n-9
9
Ja
n-0
0
Aug-0
0
Ma
r-0
1
Oct-
01
Ma
y-0
2
De
c-0
2
Ju
l-0
3
Feb
-04
Se
p-0
4
Ap
r-0
5
Nov-0
5
Ju
n-0
6
Ja
n-0
7
Au
g-0
7
Ma
r-0
8
Oct-
08
Ma
y-0
9
De
c-0
9
Ju
l-1
0
Feb-1
1
Se
p-1
1
Ap
r-1
2
No
v-1
2
Ju
n-1
3
Ja
n-1
4
Au
g-1
4
Ma
r-1
5
Oct-
15
Ma
y-1
6
De
c-1
6
Ma
rke
t V
alu
e (
in M
illio
ns)
Total Fund Market Value History Ending 12/31/2016
$7.2 Billion
8
Total Fund Returns
Note: Total Fund net returns are shown net of investment management fees beginning July 1, 2010. Net of fee returns are calculated as fees are actually
paid out of the Fund. Returns prior to July 1, 2010 are gross of investment management fees. Total Fund gross returns are shown gross of investment
management fees during all trailing periods. The Difference refers to the Total Fund Net performance relative to the Policy Benchmark.
Note: Real estate and private equity/infrastructure returns are included in performance on a one-quarter lagged basis.
Investment Results
As of 12/31/2016
1.2%
5.2%
8.5%
5.1%
9.3%
5.6%
8.9%
1.2%
5.1%
8.3%
4.9%
9.0%
5.4%
8.9%
0.6%
4.0%
7.9%
5.1%
8.7%
5.6%
8.4%
0.6% 1.1%
0.4%
-0.2%
0.3%
-0.2%
0.5%
-6.0%
-4.0%
-2.0%
0.0%
2.0%
4.0%
6.0%
8.0%
10.0%
12.0%
Quarter FYTD 1-Year 3-Years 5-Years 10-Years Since Inception(12/31/1988)
Total Fund - Gross Total Fund - Net Policy Benchmark Difference
9
Total Fund Risk vs. Return
10
Total Fund Peer Universe
*Total Fund net returns are shown net of investment management fees beginning July 1, 2010. Net of fee returns are calculated as fees are actually paid out of
the Fund. Returns prior to July 1, 2010 are gross of investment management fees.
**The universe shown above represents the All Public Fund Universe obtained from BNY Mellon and Investment Metrics.
11
Historical Fiscal Year Performance
*Total Fund returns are shown net of investment management fees beginning July 1, 2010. Returns prior to July 1, 2010 are gross of investment management fees. For full fiscal year periods, up-to-date (non-lagged) real estate, private equity and infrastructure returns are included in Total Fund performance.
**Represents the 2017 fiscal year-to-date period of 7/1/2016 – 12/31/2016. Note, real estate and private equity/infrastructure returns are included on a one-quarter lag.
9.5%
14.8%
-1.2% -2.4%
5.3%
20.3%
10.8% 12.8%
16.5%
-4.7%
-19.1%
13.4%
24.2%
0.9%
13.6%
16.8%
3.3%
1.1%
5.1%
-25.0%
-15.0%
-5.0%
5.0%
15.0%
25.0%
1999 2000 2001 2002 2003 2004 2005 2006 2007 2008 2009 2010 2011 2012 2013 2014 2015 2016 2017**
Fiscal Year Investment Results Periods Ending June 30th
12
Asset Allocation
Allocations shown above are based on the actual exposure to each asset class, which includes the impact of the cash
equitized by the Clifton Group
As of December 31, 2016, approximately $286 million was held in cash and equitized by the Clifton Group
– Approximately $28 million of cash was held in underlying manager accounts and equitized to its respective U.S. or non-U.S. equity mandate
– Approximately $258 million was held in cash at the custodian and equitized to maintain Fund’s asset allocation close to the 78/22 Policy allocation
24.3%
16.9%
4.8%
23.2%
4.4%
9.3%
14.0%
3.1%
23.9%
17.0%
5.0%
23.1%
5.0%
11.0% 12.0%
3.0%
0.4%
0.0% -0.2%
0.1%
-0.6% -1.7%
2.0% 0.1%
-5.0%
0.0%
5.0%
10.0%
15.0%
20.0%
25.0%
30.0%
35.0%
Total U.S.Equity
Total Non-U.S.Equity
Total GlobalEquity
Total U.S.Fixed Income
Total EmergingMarket Debt
Total RealEstate
Total PrivateEquity/
Infrastructure
TotalOpportunity
Fund
SDCERS - Asset Allocation vs. Policy Targets As of 12/31/2016 Actual Allocation Policy Target Difference
13
Asset Class Performance as of 12/31/2016
*Current period returns are shown net of investment management fees. Returns prior to July 1, 2010 are gross of investment management fees
** Real estate and private equity/infrastructure returns are shown on a one-quarter lag. Prior to 3Q 2014, only the returns for the private portion of the real estate portfolio and its benchmark are reported on a quarter lagged basis.
***Reflects the inception date for the calculation and reporting of the Private Equity/Infrastructure composite time-weighted returns. The Private Equity and Infrastructure programs began in 2009 and 2012, respectively, and the full history of Private Equity and Infrastructure returns are included in Total Fund performance. Greater private market performance detail is included in the longer quarterly performance reports.
Asset Class* Quarter FYTD 1-Year 3-Years 5-Years 10-Years Since
Inception Inception
Date
U.S. Equity 5.0% 11.0% 12.9% 7.5% 14.4% 7.2% 10.6% 1/1/1989
Performance Benchmark 4.1 8.8 12.6 8.4 14.6 7.6 10.1
Non-U.S. Equity -2.0 4.7 4.5 -1.2 5.8 0.3 7.2 4/1/1995
Performance Benchmark -1.7 5.3 4.8 -1.5 5.3 1.2 5.2
Global Equity -0.6 3.8 6.7 1.7 -- -- 8.6 6/1/2012
MSCI ACW Index 1.2 6.6 7.9 3.1 -- -- 10.1
U.S. Fixed Income -1.9 -1.3 2.2 2.1 2.3 4.9 6.7 4/1/1989
Performance Benchmark -2.0 -1.7 2.0 2.4 1.9 3.8 5.6
Emerging Market Debt -4.6 -1.4 10.1 0.3 2.0 -- 1.5 7/1/2011
Performance Benchmark -5.3 -2.2 10.1 0.1 1.8 -- 1.1
Real Estate** 1.5 4.6 13.6 11.6 11.8 4.5 9.1 1/1/1989
Performance Benchmark** 1.9 4.2 10.3 11.7 11.9 6.6 8.4
Private Equity/Infrastructure** 5.5 8.5 10.9 -- -- -- 12.7 10/1/2014***
Performance Benchmark 2.4 4.9 10.0 -- -- -- 10.0
Opportunity Fund 4.5 8.5 11.0 -- -- -- 7.0 6/1/2014
Opportunity Fund Benchmark 0.5 5.0 7.1 -- -- -- 2.2
14
Fourth Quarter 2016 Attribution – Total Fund
Attribution Analysis Quarter Ending 12/31/2016
Fourth Quarter 2016
Total Fund 1.19%
Policy Index 0.55%
Relative Performance +64 basis points
Total Fund, 64
Timing & Interaction Effect, -11
Selection Effect, 63
Allocation Effect, 11
-100 -75 -50 -25 0 25 50 75 100
15
Fourth Quarter 2016 Performance Attribution – Allocation Effect
*Actual % allocation represents the average allocation over the quarter.
The Allocation Effect represents the favorable or unfavorable impact due to being over or underweight an asset class and how that asset class performed versus the Total Fund Policy Benchmark
– The Allocation Effect shown above includes the impact of the cash equitized by the Clifton Group
– Generally expect to see minimal allocation effect as the Plan’s asset allocation is maintained closely in line with
Policy Targets at all times
Asset Class
Actual
(%)*
Policy
(%)
Policy
Return
Allocation
Effect
U.S. Equity 26.3% 23.9% 4.1% 6
Non-U.S. Equity 17.8 17.0 -1.7 -2
Global Equity 4.8 5.0 1.2 0
U.S. Fixed Income 20.8 23.1 -2.0 6
EMD 4.5 5.0 -5.3 2
Total Real Estate 9.4 11.0 1.9 -2
Private Equity /
Infrastructure 13.5 12.0 2.4 1
Opportunity
Fund 2.8 3.0 0.5 0
Total Fund
Allocation Effect 0.6% 11
Attribution Analysis – Allocation Effect
Quarter Ending 12/31/2016
Total Allocation Effect, 11
Opportunity Fund, 0
Private Equity/ Infrastructure, 1
Real Estate, -2
EMD, 2
U.S. Fixed Income, 6
Global Equity, 0
Non-U.S. Equity, -2
U.S. Equity, 6
-50 -25 0 25 50
16
Fourth Quarter 2016 Performance Attribution – Selection Effect
*Actual % allocation represents the average allocation over the quarter.
The Selection Effect represents the impact that active management has had on the Total Fund’s performance over the given time period
– Active management impact is rolled up to the asset class level and is based on each asset class’ weight in the portfolio and its performance relative to its specific asset class policy benchmark
Asset Class
Actual
(%)*
Policy
(%)
Actual
Return
Policy
Return
Selection
Effect
U.S. Equity 26.3% 23.9% 5.0% 4.1% 22
Non-U.S. Equity 17.8 17.0 -2.0 -1.7 -6
Global Equity 4.8 5.0 -0.6 1.2 -9
U.S. Fixed Income 20.8 23.1 -1.9 -2.0 3
EMD 4.5 5.0 -4.6 -5.3 3
Real Estate 9.4 11.0 1.4 1.9 -6
Private Equity /
Infrastructure 13.5 12.0 5.5 2.4 45
Opportunity
Fund 2.8 3.0 4.5 0.5 11
Total Fund
Selection Effect 1.2% 0.6% 63
Attribution Analysis – Selection Effect
Quarter Ending 12/31/2016
Total Selection Effect, 63
Opportunity Fund, 11
Private Equity/ Infrastructure,
45
Real Estate, -6
EMD, 3
U.S. Fixed Income, 3
Global Equity, -9
Non-U.S. Equity, -6
U.S. Equity, 22
-100 -75 -50 -25 0 25 50 75 100
17
Manager Value Added
*The opportunity fund investments are early in their investment lives and therefore the time-weighted relative performance shown above is not as meaningful.
Asset Class Manager Benchmark
Fourth
Quarter FYTD 1-Year 3-Years 5-Years 10-Years
Since
Inception
Inception
Date
BlackRock S&P 500 Index S&P 500 Index 0.0 0.0 0.0 0.0 0.0 -- 0.0 3/1/2011
BlackRock Russell 1000 Growth Index Russell 1000 Growth Index 0.0 0.0 0.0 0.0 0.0 -- 0.0 3/1/2011
Dodge & Cox Large Cap Value Russell 1000 Value Index 4.2 10.0 4.2 0.2 2.3 0.7 1.1 5/1/2003
BlackRock Russell 2000 Growth Index Russell 2000 Growth Index 0.2 0.3 0.5 0.4 -- -- 0.4 12/1/2012
DFA Small Cap Value Russell 2000 Value Index 1.2 0.4 -3.2 -0.5 1.7 1.8 2.8 10/1/1995
Fisher Small Cap Value Russell 2000 Value Index -3.7 -7.2 -11.3 -0.7 -0.2 -- 1.9 10/1/2008
Allianz Convertibles Convertibles Benchmark -1.0 -0.9 -4.4 -1.5 -1.4 1.6 2.5 10/1/1995
Allianz Structured Alpha S&P 500 Index -- -- -- -- -- -- 1.0 11/1/2016
BlackRock MSCI ACW ex-U.S. IMI MSCI All Country World ex-U.S. IMI 0.0 0.0 0.2 0.1 0.2 -- 0.2 3/1/2011
Brandes International Value MSCI All Country World ex-U.S. Index 2.8 2.6 1.4 2.2 1.9 -0.1 4.1 4/1/1995
GMO International Small Cap S&P Developed ex-U.S. Small Cap Index 0.7 0.8 -3.8 -3.6 -1.2 0.2 0.7 7/1/2002
Copper Rock International Small Cap S&P Developed ex-U.S. Small Cap Index -4.0 -5.7 -- -- -- -- -6.7 4/1/2016
Aberdeen MSCI Emerging Markets Index -1.3 -4.6 1.1 0.8 0.8 -- 3.0 1/1/2010
Neuberger Berman Emerging Markets MSCI Emerging Markets Equity Index -1.8 -2.2 -1.6 -- -- -- 0.8 3/1/2014
GMO Global Equity Allocation MSCI All Country World Index -1.2 -1.0 0.1 -2.9 -- -- -2.4 6/1/2012
Walter Scott Global Equity MSCI All Country World Index -2.4 -4.4 -2.3 0.0 -- -- -0.6 6/1/2012
Metropolitan West Barclays Intermediate Aggregate Bond Index 0.5 0.6 0.0 -0.4 0.5 1.2 0.8 7/1/2001
PIMCO Barclays Intermediate Aggregate Bond Index 0.1 1.1 0.6 -0.6 0.4 0.7 1.2 1/1/1989
BlackRock Intermediate Agg. Index Barclays Intermediate Aggregate Bond Index -0.1 -0.1 -0.2 0.0 -- -- -0.1 7/1/2011
Wellington JP Morgan EMBI Global Index 1.3 2.7 2.7 0.2 -- -- 0.2 7/1/2011
Stone Harbor Performance Benchmark 0.2 0.1 0.9 -1.1 -- -- -1.5 7/1/2011
Investec JP Morgan GBI-EM Global Diversified Index 0.1 -0.7 -3.6 -- -- -- -1.2 3/1/2014
Torchlight Debt Opportunity Fund IV NFI-ODCE Index 2.9 4.0 2.2 -- -- -- -2.9 2/1/2014
Grosvenor Credit Opportunities 50% CS HY / 50% CS Distressed Index 1.8 2.3 0.5 -- -- -- 2.8 6/1/2014
Mesa West NFI-ODCE Index 0.9 1.7 3.2 -- -- -- -3.1 12/1/2013
Torchlight Debt Opportunity Fund V NFI-ODCE Index 1.5 9.6 7.4 -- -- -- -168.3 6/1/2015
Davidson Kempner Opportunity Benchmark -2.3 -9.0 -- -- -- -- -17.2 6/1/2016
U.S. Equity
Non-U.S.
Equity
Global
Equity
U.S. Fixed
Income
Emerging
Market
Debt
Opportunity
Fund*
18
Torchlight IV
19%
Grosvenor 46%
Mesa West 8%
Torchlight V
8%
Davidson Kempner
19%
Commitment Allocation $260 Million
Opportunity Fund Overview
As of 12/31/2016* Market
Value ($M) Quarter FYTD 1-Year
Since
Inception Inception
Total Opportunity Fund
Opportunity Benchmark $221.9
4.5%
0.5
8.5%
5.0
11.0%
7.1
7.0%
2.2 6/1/2014
Torchlight Debt Opp. Fund IV
NCREIF ODCE Index (Net) 52.8
4.8
1.9
7.7
3.7
10.0
7.8
8.5
11.4 2/1/2014
Grosvenor Credit Opp.
50% CS HY / 50% CS Distressed Index
Opportunity Benchmark
133.2
4.9
3.1
0.5
9.7
7.4
5.0
12.5
12.0
7.1
4.2
1.4
2.2
6/1/2014
Mesa West
NCREIF ODCE Index (Net) 12.2
2.8
1.9
5.5
3.7
11.0
7.8
8.6
11.8 12/1/2013
Torchlight Debt Opp. Fund V
NCREIF ODCE Index (Net) 5.4
3.4
1.9
13.4
3.7
15.2
7.8
-156.6
11.7 6/1/2015
Davidson Kempner
Opportunity Benchmark 18.2
-1.8
0.5
-4.0
5.0 -
-12.5
4.7 6/1/2016
Fund Name
Total
Commitment
($M)
%
Funded
Torchlight IV $50 100%
Grosvenor $120 100%
Mesa West $20 70%
Torchlight V $20 25%
Davidson Kempner $50 37%
Total Commitment $260 80%
*Funds are early in their investment lives and therefore time-weighted performance can be misleading.
Torchlight IV
24%
Grosvenor 60%
Mesa West 6%
Torchlight V
2%
Davidson Kempner
8%
Asset Allocation $222 Million
19
SDCERS: Active Risk Analysis
20
Analysis of Total Fund Active Risk/Tracking Error
SDCERS’ Investment Policy Statement (IPS) specifies an active risk/tracking error budget of 1.75%
relative to the Fund’s Policy Benchmark
This section of the presentation provides an analysis of SDCERS’ active risk
An Illustration: Total Fund Active Risk = 1.0% What does an active risk of 1.0% mean?
In two out of every three years, the Fund’s
return can be expected to lie within +/- 1.0
percentage points (one standard deviation) of
its benchmark return
In nine out of every ten years, the Fund’s
return can be expected to lie within +/-2.0
percentage points (two standard deviations) of
its benchmark
- 5.0% - 3.0% - 1.0% 1.0% 3.0% 5.0%
Expected Return
0.0%
67% Probability
- 5.0% - 3.0% - 1.0% 1.0% 3.0% 5.0%
Expected Return
0.0%
67% Probability
21
SDCERS’ Active Risk: Background and Assumptions
Active risk analysis is forward-looking
– Based on current asset allocation and manager line-up
Analysis focuses on publicly-traded security asset classes; excludes illiquid private market asset
classes, such as real estate and private equity
– Policy Target weights are normalized to reflect exclusion of private market asset classes
Analyze sources that contribute to active risk
– Asset class level, including impact of biases (for instance, small cap overweight)
– Manager level
Utilize 60 months of historical return data for the managers for modeling purposes
– Use actual SDCERS’ return history where available
– For new managers/strategies or where sufficient history is not available, utilize relevant composite
return information
22
SDCERS: Total Fund Active Risk
Current active risk/tracking error of SDCERS’ portfolio is 0.4%, reflecting a slight decrease from the
previous quarter’s tracking error
– This is within the 1.75% limit set forth in the IPS
Figures below reflect SDCERS Policy as of December 2016
– New managers’ composite data was used for this analysis; SDCERS’ manger specific returns will
be utilized going forward as SDCERS’ return history grows with these mandates
Asset Class Allocation (%) Policy Target
(%)
Asset Class
Active Risk (%)
Contribution to
Total Fund
Active Risk (%)
U.S. Equities 33.5% 32.4 1.0% 53.1%
Non-U.S. Equities 23.0 22.9 0.9 8.2
Global Equity 6.8 6.8 2.1 1.6
U.S. Fixed Income 30.3 31.2 0.5 19.7
Emerging Market Debt 6.3 6.8 1.2 4.7
Allocation Effect - 12.7
Total Fund Active Risk 0.4% 100.0%
23
SDCERS: Decomposition of U.S. Equity Portfolio Active Risk
Manager Allocation(%) Manager Active
Risk (%)
Contribution to
U.S. Equity
Active Risk (%)
S&P 500 Index Fund 30.0% - -
Russell 1000 Growth Index Fund 15.6 - -
Dodge & Cox Large Cap Value 15.2 3.9% 47.5%
Russell 2000 Growth Index Fund 7.4 - -
DFA Small Cap Value 3.8 2.7 2.5
Fisher Small Cap Value 3.5 5.2 -0.1
Allianz Convertibles 11.8 1.9 11.3
Allianz Structured Alpha 12.7 2.5 3.9
Misfit Relative to Benchmark (Small Cap Bias) - 35.0
Total U.S. Equity Active Risk 1.0% 100.0%
Tracking error of the U.S. equity portfolio is 1.0%, reflecting no change from the previous quarter
Approximately 35% of the U.S. equity tracking error is explained by the small cap bias
The Allianz Structured Alpha strategy was funded during the fourth quarter
24
SDCERS: Decomposition of Non-U.S. Equity Portfolio Active Risk
Manager Allocation(%) Manager Active
Risk (%)
Contribution to
Non-U.S. Equity
Active Risk (%)
MSCI ACW ex-U.S. IMI Index Fund 60.2% - -
Brandes (EAFE) 14.2 3.8% 29.9%
GMO Intl Small Cap 5.2 3.5 9.2
Copper Rock Intl Small Cap 4.2 4.4 5.4
Aberdeen 10.6 5.1 41.3
Neuberger Berman 5.6 4.5 7.7
Misfit Relative to Benchmark - 6.6
Total Non-U.S. Equity Active Risk 0.9% 100.0%
Tracking error of the non-U.S. equity portfolio is 0.9%, reflecting no change from the previous quarter
25
SDCERS: Decomposition of Global Equity Portfolio Active Risk
Manager Allocation(%) Manager Active
Risk (%)
Contribution to
Global Equity
Active Risk (%)
GMO 49.0% 3.0% 50.0%
Walter Scott 51.0 2.9 50.0
Misfit Relative to Benchmark --
Total Global Equity Active Risk 2.1% 100.0%
Active risk/tracking error of the Global Equity portfolio is 2.1%, representing a decrease from the
previous quarter
26
SDCERS: Decomposition of U.S. Fixed Income Portfolio Active Risk
Manager Allocation(%) Manager Active
Risk (%)
Contribution to
U.S. Fixed
Income Active
Risk (%)
MetWest 30.1% 1.0% 52.9%
PIMCO 23.7 1.2 47.1
BC Intermediate Agg. Index Fund 46.2 - -
Total U.S. Fixed Income Active Risk 0.5% 100.0%
The active risk of the fixed income portfolio is 0.5%, representing no change from the previous
quarter’s tracking error
27
SDCERS: Decomposition of Emerging Market Debt Portfolio Active Risk
Manager Allocation(%) Manager Active
Risk (%)
Contribution to
EMD Active Risk
(%)
Wellington 32.3% 1.3% 4.0%
Stone Harbor 35.6 3.2 64.4
Investec 32.1 1.7 8.1
Misfit Relative to Benchmark 23.5
Total EMD Active Risk 1.2% 100.0%
Active risk of the EMD portfolio is 1.2%, representing a slight decrease from the previous quarter’s
tracking error
28
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San Diego City ERS | Fourth Quarter 2016
Quarterly Investment Review
(This Page Left Blank Intentionally)
Writeup
1 Market Environment 1
2 Total Fund 19
3 Universe Rank & Calendar Year Returns 33
4 Total U.S. Equity 41
5 U.S. Equity Managers 47
6 Total Non-U.S. Equity 63
7 Non-U.S. Equity Managers 69
8 Total Global Equity 81
9 Global Equity Managers 85
10 Total U.S. Fixed Income 89
11 U.S. Fixed Income Managers 95
12 Total Emerging Market Debt 103
13 EMD Managers 107
14 Total Opportunity Fund 113
15 Opportunity Fund Managers 117
16 Appendix 123
Table of Contents
(This Page Left Blank Intentionally)
Writeup
Market Environment
1
A (Re)Introduction to Responsible Investing
To clients of Aon Hewitt Investment Consulting:
In recent years and particularly in the last 12 months in the U.S. (thanks to more Responsible Investing-friendly regulatory stances), investors have
become increasingly interested in “doing good while doing well” when investing. Unfortunately, this relatively nascent area of investing still has more
than its share of linguistic anarchy and execution challenges, which can be trying for even the most committed individual or institutional investor. In
order to restore cosmos to the linguistic chaos, Aon has broken the universe of Responsible Investments down into four main types: Socially
Responsible Investing (“SRI”), Environmental, Social and Governance (“ESG”) Investing, Impact Investing and Mission-Related Investing.
Socially Responsible Investing tends to be the area with which most investors are familiar, as it is the oldest of the four broad Responsible Investment
categories. SRI uses a negative selection process to exclude certain sectors or investments from a portfolio. ESG (Environmental, Social &
Governance) Investing, Impact Investing and Mission Related Investing are newer to investor’s toolkits and typically focus more on positive investment
inclusion criteria rather than on negative screening.
In addition to using different screening techniques, the drivers of investment may differ as well. SRI, Mission Related Investing and Impact Investing
are generally dependent on an individual’s or institution’s values to determine suitable investments. ESG Investing, however, is fundamentally different,
as investment decisions are directed by the fundamentals of the company. Non-financial ESG factors are considered to the extent they are material to
the company’s future financial performance.
Regardless of where an investor or organization falls on the Responsible Investing spectrum, we expect the trend towards “doing good while doing well”
to continue to grow in the future, partly due to shifts in demographics and the generational wealth transfer, as well as to changes in regulations and
investor-led initiatives. We stand ready to help as this area continues to rapidly evolve.
Aon Hewitt Investment Consulting
Socially Responsible Investing (SRI) ESG Investing Impact Investing Mission Related Investing
Selection Process : Negative Selection Process: Positive or Negative Selection Process: Positive Selection Process: Positive
Attempts to screen out investments in
stocks, companies or industries based
on a set of ethical values.
(Anti-pornography, private prisons,
carbon, coal, Iran, Sudan, fossil fuel,
weapons manufacturing, etc.)
Integrates environmental, social and
governance criteria into fundamental
analysis to the extent they are material
to investment performance.
(May avoid or short companies with
poor ESG considerations in favor of
firms with strong ESG metrics.)
Looks for investments that have a
positive investment return as well
as desired social, economic, or
environmental outcome.
(Diversity initiatives, investing in
underserved communities,
alternate energy, micro-funding,
etc.)
Places investments with companies or
funds that complement the investor’s
mission.
(Healthcare, senior issues, child-
welfare issues, religious
considerations, etc.)
2
AHIC Thought Leadership Highlights
White Papers
All Investors: Global Invested Capital Market Link
All Investors ex-DC: Fallen Angels – Capitalizing Upon an Attractive Segment of the High Yield Market Link
All Investors ex-DC: Optimal Number of Managers in an Equity Portfolio Link
DB & DC: 2017 Hot Topics in Retirement and Financial Well-Being Link
Private DB: Pension Funding Strategy: Considerations for Prefunding a Pension Plan Link
DC: Target-Date Funds - Who is Using Them and How Are They Being Used? Link
DC: How Pension Benefits Affect the Optimal Target Date Fund Link
DC: Putting “Watch Lists” on Watch? Link
Healthcare: What's at Stake for Health Care Organizations with Church Pension Plans Link
Healthcare: Redefining Retirement in the Health Care Industry (Five Part Series) Link
Current Topics of Interest
Investment Program Assessment
A (Re)Introduction to Responsible Investing Link
PBGC Premium Reduction Strategies
Potential U.S. Corporate Tax Reform Presents Prefunding Opportunity in 2016 Link
Aon Hewitt Retirement and Investment Blog
https://retirementandinvestmentblog.aon.com/
Events
Aon Hewitt Retirement and Investment Client Conference: Exploring the Possibilities (May 17th-18th in Chicago)
Aon Hewitt | Retirement and Investment Proprietary and Confidential Investment advice and consulting services provided by Aon Hewitt Investment Consulting, Inc., an Aon Company.
3
Fourth Quarter 1-Year 3-Year1 5-Year1 10-Year1
Equity
MSCI All Country World IMI 1.27% 8.36% 3.25% 9.61% 3.84%
MSCI All Country World 1.19% 7.86% 3.13% 9.36% 3.56%
Dow Jones U.S. Total Stock Market 4.13% 12.62% 8.36% 14.60% 7.18%
Russell 3000 4.21% 12.74% 8.43% 14.67% 7.07%
S&P 500 3.82% 11.96% 8.87% 14.66% 6.95%
Russell 2000 8.83% 21.31% 6.74% 14.46% 7.07%
MSCI All Country World ex-U.S. IMI -1.57% 4.41% -1.44% 5.35% 1.22%
MSCI All Country World ex-U.S. -1.26% 4.50% -1.78% 5.00% 0.96%
MSCI EAFE -0.71% 1.00% -1.60% 6.53% 0.75%
MSCI EAFE (Local Currency) 7.07% 5.35% 5.53% 11.84% 2.20%
MSCI Emerging Markets -4.16% 11.19% -2.55% 1.28% 1.84%
Fixed Income
Bloomberg Barclays Global Aggregate -7.07% 2.09% -0.19% 0.21% 3.29%
Bloomberg Barclays Aggregate -2.98% 2.65% 3.03% 2.23% 4.35%
Bloomberg Barclays Long Gov't -11.50% 1.42% 7.71% 2.57% 6.60%
Bloomberg Barclays Long Credit -5.40% 10.22% 6.98% 5.20% 6.87%
Bloomberg Barclays Long Gov't/Credit -7.84% 6.67% 7.16% 4.06% 6.85%
Bloomberg Barclays US TIPS -2.41% 4.68% 2.26% 0.89% 4.36%
Bloomberg Barclays High Yield 1.75% 17.13% 4.66% 7.37% 7.46%
Citi Group Non-U.S. WGBI -10.84% 1.81% -2.18% -1.94% 2.54%
JP Morgan EMBI Global (Emerging Markets) -4.21% 10.19% 5.59% 5.44% 6.75%
Commodities
Bloomberg Commodity Index 2.66% 11.77% -11.26% -8.95% -5.58%
Goldman Sachs Commodity Index 5.76% 11.37% -20.60% -13.13% -8.10%
Hedge Funds
HFRI Fund-Weighted Composite2 1.31% 5.57% 2.44% 4.53% 3.37%
HFRI Fund of Funds2 0.83% 0.48% 1.18% 3.41% 1.31%
Real Estate
NAREIT U.S. Equity REITS -2.89% 8.52% 13.38% 12.01% 5.08%
NCREIF NFI - ODCE3 2.07% 8.72% 12.05% 12.20% 5.81%
Infrastructure
Macquarie Global Infrastructure - North America -2.80% 9.30% 2.95% 5.60% 3.08%
MSCI Indices show net returns.
All other indices show total returns.1 Periods are annualized.2 Latest 5 months of HFR data are estimated by HFR and may change in the future.3 Fourth quarter results are preliminary.4 Source: Burgiss Private iQ. Benchmark is as of 06/30/2016
Periods Ending 12/31/2016
Returns of the Major Capital Markets
Market Highlights
4
Market Highlights
5
Global equity markets rose against a backdrop of political uncertainty in the form of the US Presidential elections,
Italian constitutional referendum and ongoing Brexit discussions. Markets entered positive territory towards the end of
the quarter on the hopes of Trump’s fiscal reforms policies and rising crude oil prices.
Global equity markets returned 1.27% in Q4 2016 with only US and Canada regions generating positive returns. US
was the best performing market with a return of 3.84% over the quarter as strong Q3 2016 GDP data and growing
inflation expectations over promises of greater fiscal spending under Trump’s administration supported equities. The
US Federal Reserve (Fed) raised the federal fund rate target by 25bps to 0.50-0.75% and indicated a faster pace of
tightening in 2017.
Global Equity Markets
6
Global Equity Markets
The two exhibits on this slide illustrate the percentage that each country/region represents of the global equity market
as measured by the MSCI All Country World IMI Index and the MSCI All Country World ex-U.S. IMI Index.
7
U.S. Equity Markets
The Russell 3000 Index returned 4.21% during the fourth quarter and returned 12.74% over the one-year period.
During the fourth quarter, the financial services sector was the strongest performer, posting returns of 13.04%. The
healthcare and consumer staples sectors were the weakest performers, with returns of -4.22% and -1.57%
respectively.
Performance across the market capitalization spectrum was positive over the quarter. Small cap stocks outperformed
the other segments in Growth and Value stocks. Value stocks continued their outperformance relative to Growth stocks
over 2016 across the capitalizations.
8
U.S. Fixed Income Markets
The Bloomberg Barclays Aggregate Bond Index fell
2.98% in the fourth quarter. ABS bonds fell by the least
with a return of -0.70% whilst Government bonds fell by
the most, returning -3.72%.
High yield bonds outperformed all investment grade
corporate bonds, as high yield spreads fell by 71bps
(according to the Bloomberg Barclays Live indices).
Shortest duration bonds outperformed all other bonds in
different maturities. This particularly benefitted high yield
bonds which typically have low duration.
9
U.S. Fixed Income Markets
The Treasury yield curve shifted upwards over the fourth quarter with yields rising across the curve. The yield curve
also steepened over the quarter, driven by long maturity bonds rising faster than short maturity bonds.
The Fed’s decision to increase the target federal funds range by 25bps to 0.5-0.75% alongside higher breakeven
inflation drove yields higher.
The 10-year U.S. Treasury yield ended the quarter at 2.45%, 85 basis points higher than its level at the beginning of
the quarter.
The 10-year TIPS yield rose by 50 basis points over the quarter and ended the period at 0.50%.
10
European Fixed Income Markets
In the Eurozone, government bond yields rose across the region with the exception of Greece. Bond spreads widened
as the peripheral government bond yields rose at a faster pace than the core government bond yields. German bund
yields moved into positive territory after several months of negative yields, and ended the quarter at 0.11%.
Portuguese bond yields continued to rise due to concerns over the government’s finances (the European Commission
warned Portugal’s 2017 draft budget for non-compliance issues) and a weakening of the economy.
Italian government bond yields rose sharply as concerns over the rescue of the debt-heavy major bank Monte dei
Paschi di Siena and Italian referendum weighed heavily on the European bond market. However, the Italian
government’s intervention to rescue the struggling banking sector towards the end of the quarter failed to stop the bond
rout.
Greek bond yields fell on the hopes of debt relief measures. However, this was later put on hold by the country’s
creditors following the government’s decision to spend additional funds on pensions. 11
Spread (bps) 12/31/2016 9/30/2016 12/31/2015 Quarterly Change (bps) 1-Year Change (bps)
U.S. Aggregate 43 47 56 -4 -13
Long Gov't 3 3 4 0 -1
Long Credit 167 195 225 -28 -58
Long Gov't/Credit 104 118 138 -14 -34
MBS 15 14 24 1 -9
CMBS 75 84 121 -9 -46
ABS 59 55 72 4 -13
Corporate 123 138 165 -15 -42
High Yield 409 480 660 -71 -251
Global Emerging Markets 288 299 389 -11 -101
Source: Barclays Live
Credit Spreads
During the fourth quarter, credit spreads were mixed across all the areas of the bond market.
ABS bonds spreads (4 basis points) rose by the most over the quarter, followed by MBS bonds (1 basis point),
whereas high yield spreads (-71 basis points) and long-dated credit (-28 basis points) fell by the most over the quarter.
12
Commodities
The Bloomberg Commodity Index rose during the fourth quarter, returning 2.66%.
Over the quarter, the best performing segment was Livestock with a return 20.84%, followed by the Energy sector
which returned 10.58%.
Precious Metals was the worst performing sector during the quarter with a return of -14.05%.
13
Currency
As measured through the broad trade weighted U.S. dollar index, the U.S. dollar rose sharply over the quarter.
The US dollar appreciated sharply against all major currencies as expectations of greater fiscal spending and
increased number of future interest rate hikes led to significant US dollar inflows. The pound was dragged down by
worries over the possibility of a hard-Brexit. The yen depreciated sharply against the dollar owing to the divergent
monetary policy stances by the two central banks.
14
Hedge Fund
Hedge fund performance was positive across all strategies with the exception of Global Macro and Emerging Markets.
The HFRI Fund-Weighted Composite Index and the HFRI Fund of Funds Composite Index produced returns of 1.31%
and 0.83%, respectively, during the quarter.
Distressed-Restructuring was the best performer, with a return of 4.02% in the fourth quarter.
15
0
500
1,000
1,500
2,000
2,500
3,000
3,500
4,000
4,500
$0
$100
$200
$300
$400
$500
$600
2Q08 1Q09 4Q09 3Q10 2Q11 1Q12 4Q12 3Q13 2Q14 1Q15 4Q15 3Q16
# o
f Deals
Valu
e (
$ B
illi
on
s)
Deal Value ($ Billions)
Number of Deals 9.7 x9.1 x
7.7 x8.5 x 8.8 x 8.7x 8.8x
9.8x10.3x 10.5x
0.0 x
2.0 x
4.0 x
6.0 x
8.0 x
10.0 x
12.0 x
Senior Debt/EBITDA Sub Debt/EBITDA Equity/EBITDA
Private Equity Market Overview – Third Quarter 2016
Source: Preqin
Source: S&P
LTM Global Private Equity-Backed Buyout Deal Volume
Purchase Price Multiples
Sources: 1 Preqin 2 Standard & Poors 3 PWC / National Venture Capital Association (NVCA) MoneyTree Report 4 PitchBook 5 Fitch Ratings 6 Thomson Reuters 7 UBS
Notes: FY: Fiscal year ended 12/31; YTD: Year to date; LTM: Last twelve months (aka trailing twelve months); PPM: Purchase Pr ice Multiples: Total Purchase Price / EBITDA.
Fundraising: In 3Q 2016, $108.4 billion was raised by 243 funds, which was down 21.3% on a capital basis and 13.2% by number of deals from the prior quarter. On a YTD basis, private equity fundraising
totaled $357.2 billion, which was up 6.8% year on year 1. Dry powder was up roughly 4.5% compared to 2Q 2016’s peak of $1.2 trillion and remained well above the five year average level of $910.4 billion 1.
Buyout: Global private equity-backed buyout deals totaled $90.6 billion in the third quarter, which was down 9.2% from the prior quarter, but above the five year quarterly average of $82.7 billion 1. At the end of 3Q 2016, average purchase price multiples for all U.S. LBOs were 10.5x EBITDA, up from 10.1x as of the end of 2Q 2016. Both large cap and middle-market purchase price multiples increased on a YTD basis quarter over quarter. Middle-market purchase price multiples increased from 8.2x through 1H 2016 to 9.9x through 3Q 2016 2. The weighted average purchase price multiple across all European transaction sizes averaged 10.1x EBITDA through 3Q 2016. Purchase prices for transactions of €1.0 billion or more decreased slightly from 11.0x in 2Q 2016 to 10.9x in 3Q 2016. Transactions between €500.0 million and €1.0 billion were up 0.1x quarter over quarter, and stood at 10.6x 2. Globally, exit value totaled $87.9 billion on 448 deals in 3Q 2016, down 6.7% and 7.4%, respectively, from 2Q 2016 1.
Venture: $10.6 billion of capital was deployed across 891 deals in the third quarter compared to $15.6 billion across 999 deals in 2Q 2016 3. This was 36.4% lower than 3Q 2015 on a capital basis, but remains
flat with the five year quarterly average level. Total U.S. venture-backed exit activity slowed by 2.3% during the quarter, totaling $14.6 billion across 162 completed transactions. YTD U.S. exit value stood at
$38.6 billion compared to $49.0 billion in 2015 4.
Mezzanine: 15 funds closed on $4.7 billion during the quarter, up from 2Q 2016’s total of $2.5 billion raised by six funds. This was down compared to 3Q 2015’s total of $5.1 billion raised by nine funds, but was
31.1% higher than the five year quarterly average. Estimated dry powder was $50.7 billion at the end of 3Q 2016, up 9.9% from 2Q 2016 1. Fundraising remains competitive with an estimated 74 funds in market
targeting $32.9 billion of commitments in addition to continued market participation from private lending platforms and business development companies (BDCs) 1.
Distressed Debt: High-yield defaults slowed in 3Q to $10.1 billion compared to $34.7 billion a quarter ago. YTD defaults totaled $63.5 billion through 3Q 2016, significantly above 2015’s full year total of $48.3
billion. The LTM U.S. high-yield default rate was 4.9% as of August 2016, which was flat relative to 2Q 2016 5. Default rates are expected to decline due to the stabilization of crude oil prices and improved
conditions in the high yield market 5. Distressed debt and bankruptcy restructuring activity totaled $115.8 billion in 3Q 2016, bringing 3Q 2016 YTD activity to $168.4 billion, which was up 67.0% from the same
period a year ago. U.S. activity accounted for $97.4 billion on a YTD basis, representing a 200.5% increase from 3Q 2015 6.
Secondaries: Nine funds raised $3.3 billion during the third quarter, down from $13.0 billion by nine funds in 2Q 2016. On an LTM basis, secondary capital raised totaled $28.2 billion, up from the $21.0 billion
five year annual average 1. The average discount rate for all private equity sectors decreased quarter over quarter from 8.6% to 8.5% and remains very favorable for potential sellers 7.
Infrastructure: $22.9 billion of capital was raised by 17 funds in 3Q 2016 compared to $6.6 billion of capital closed on by 10 partnerships in 2Q 2016. At the end of the quarter, dry powder stood at $139.0
billion, down slightly from last quarter’s record total of $142.0 billion 1. Infrastructure managers completed 280 deals with an estimated aggregate deal value of $108.4 billion in 3Q 2016 compared to 313 deals
totaling $154.6 billion a quarter ago 1.
Natural Resources: During 3Q 2016, 10 funds closed on $9.7 billion compared to nine funds totaling $3.9 billion in 2Q 2016. Energy and utilities industry managers completed an estimated 143 deals totaling a
reported $18.0 billion through 3Q 2016, representing 77.2% of 2015’s full year deal value 1.
16
Demand Drivers Rebound
Net Absorption Turns Positive
Declining Vacancy
Growth in Rental Rates
Construction Reignites
YE 2011
YE 2010
YE 2012
YE 2013
YE 2015
YE 2014
YE 2016
U.S. Commercial Real Estate Markets
U.S. private market real estate performed well on a relative basis in 2016, despite its clear moderating trend following f ive years of above average performance. The NFI-ODCE is now performing
back in line with the sector’s long term average, registering 8.72%* for the calendar year. Income growth for the year (4.48%)* outpaced appreciation (4.09%)* as expected, illustrating that
income growth has become the larger driver of sector returns at this mature point in the real estate cycle. We expect these trends to continue in 2017.
The U.S. REIT sector posted similar gains for the year, up 8.5% (FTSE NAREIT Equity REIT Index), but it was a bumpy road with elevated volatility quarter to quarter. In the fourth quarter REITs
declined by 2.9%; this was led by interest rate concerns and mid-quarter jitters over the U.S. presidential election. Post-election enthusiasm for better economic growth appeared to buoy the
sector as it rallied ahead of the broader equity markets late in the quarter. U.S. REITs ended the year trading at an approximate 1.5% premium to NAVs, although excluding the healthcare and
net lease sectors, the REIT sector ended the year at an approximate 4% discount to private market valuations.
Capital flows were robust throughout 2016, exceeding $100bn in final closings for the fourth year in a row. Current signs indicate that the asset class should continue to attract significant levels of
new capital in 2017. Notable trends in 2016 included a significant increase in average Fund size, while the number of final closings fell. There was increased investment in Real Estate Debt
funds, while capital closed for Opportunistic funds fell significantly.
Dry powder for higher risk investments currently stands at an all time peak. While this should help support current sector pricing for a bit longer, moderating trends in underlying fundamentals (for
example rent growth), supply-demand balance, interest rates, and economic tailwinds raise investment risk levels at this mature point in the cycle. The outcome of the U.S. election and Brexit, as
well as other potential leadership changes in Europe, have also added further risk in relation to political uncertainty globally. To-date, U.S. real estate has not illustrated any fundamental
adjustments from these cumulative factors with the exception of a handful of firms with international exposure; if anything, the U.S. continues to benefit as a global safe(r) haven.
As we enter 2017, the U.S. real estate cycle is mature, and thus more susceptible to bumps along the road. While solid income returns are forecasted to continue to support attractive relative
returns against many other asset classes, portfolio construction consideration is essential. At this point in the cycle, appropriate risk mitigation measures should be a staple in all investment
portfolios as new investments will likely be required to ride out a cyclical downturn.
*Indicates preliminary NFI-ODCE data gross of fees
Stages of Fundamental Recovery in the Real Estate Market Cycle
SOURCE:AON HEWITT 12/30/2016
17
(This Page Left Blank Intentionally)
Writeup
18
Total Fund
19
Change in Market ValueFrom October 1, 2016 to December 31, 2016
Summary of Cash Flow
$0.0
$3,000.0
$6,000.0
$9,000.0
$12,000.0
($3,000.0)
Millio
ns
($)
Beginning Market Value Net Additions / Withdrawals Investment Earnings Ending Market Value
$7,219.4
($118.2)
$86.9
$7,188.2
1Quarter
Jul-2016To
Dec-2016
1Year
Total Fund
Beginning Market Value 7,219,400,785 6,768,253,446 6,773,560,453
+ Additions / Withdrawals -118,168,913 61,121,096 -146,195,486
+ Investment Earnings 86,920,681 358,778,011 560,787,586
= Ending Market Value 7,188,152,553 7,188,152,553 7,188,152,553
Total Fund
Total Plan Asset Summary
As of December 31, 2016
20
Return Summary
Quarterly Excess Performance Ratio of Cumulative Wealth - 10 Years
Total Fund Total Fund Policy Benchmark
0.0
4.0
8.0
12.0
16.0
Re
turn
1Quarter
FYTD 1Year
3Years
5Years
10Years
Inception1/1/89
0.6
4.0
7.9
5.1
8.7
5.6
8.4
1.2
5.1
8.3
4.9
9.0
5.4
8.9
Total Fund Benchmark
0.93
0.96
0.99
1.02
1.05
12/06 12/07 12/08 12/09 12/10 12/11 12/12 12/13 12/14 12/15 12/16
0.98
Quarterly Out Performance Quarterly Under Performance
0.0%
2.0%
4.0%
-2.0 %
-4.0 %
-6.0 %
3/07 3/08 3/09 3/10 3/11 3/12 3/13 3/14 3/15 12/16
Total Plan Performance Summary (Net)
As of December 31, 2016Total Fund
*Returns beginning July 1,2010 are shown on a net of fees basis. Prior periods are shown on a gross of fees basis.
21
Return Summary
Total Fund Total Fund Policy Benchmark
0.0
4.0
8.0
12.0
16.0
Re
turn
1Quarter
FYTD 1Year
3Years
5Years
10Years
Inception1/1/89
0.6
4.0
7.9
5.1
8.7
5.6
8.4
1.2
5.2
8.5
5.1
9.3
5.6
8.9
Total Fund
Total Plan Performance Summary (Gross)
As of December 31, 2016
All trailing periods are shown on a gross of fees basis.
22
Allocation
MarketValue ($)
%
Performance(%)
1Quarter
FYTD1
Year3
Years5
Years10
YearsSince
InceptionInception
Date
Total Fund 7,188,152,553 100.0 1.2 (25) 5.1 (18) 8.3 (15) 4.9 (19) 9.0 (18) 5.4 (24) 8.9 (5) 01/01/1989
Total Fund Policy Benchmark 0.6 (55) 4.0 (48) 7.9 (26) 5.1 (15) 8.7 (28) 5.6 (17) 8.4 (35)All Public Plans-Total Fund Median 0.6 3.9 6.9 4.2 8.1 5.0 8.1
Total U.S. Equity 1,688,385,642 23.5 5.0 (22) 11.0 (10) 12.9 (44) 7.5 (61) 14.4 (41) 7.2 (22) 10.6 01/01/1989
U.S. Equity Benchmark 4.1 (51) 8.8 (49) 12.6 (50) 8.4 (32) 14.6 (29) 7.6 (13) 10.1All Public Plans-US Equity Segment Median 4.1 8.7 12.6 7.9 14.1 6.9
Total Non-U.S. Equity 1,160,012,159 16.1 -2.0 (44) 4.7 (41) 4.5 (31) -1.2 (51) 5.8 (61) 0.3 (95) 7.2 04/01/1995
Non-U.S. Equity Benchmark -1.7 (37) 5.3 (24) 4.8 (25) -1.5 (64) 5.3 (72) 1.2 (66) 5.2All Public Plans-Intl. Equity Segment Median -2.3 4.4 3.4 -1.2 6.3 1.3
Total Global Equity 342,816,095 4.8 -0.6 3.8 6.7 1.7 8.6 06/01/2012
MSCI AC World Index (Net) 1.2 6.6 7.9 3.1 10.1
Total U.S. Fixed Income 1,525,892,337 21.2 -1.9 (41) -1.3 (55) 2.2 (86) 2.1 (88) 2.3 (69) 4.9 (32) 6.7 04/01/1989
U.S. Fixed Income Benchmark -2.0 (47) -1.7 (66) 2.0 (88) 2.4 (81) 1.9 (79) 3.8 (81) 5.6All Public Plans-US Fixed Income Segment Median -2.1 -1.0 4.3 3.2 2.9 4.6
Total Non-U.S. Fixed Income 14,757 0.0
Total Emerging Market Debt 316,508,235 4.4 -4.6 -1.4 10.1 0.3 2.0 1.5 07/01/2011
Emerging Market Debt Benchmark -5.3 -2.2 10.1 0.1 1.8 1.1
Total Real Estate 672,031,412 9.3 1.5 (61) 4.6 (24) 13.6 (2) 11.6 (29) 11.8 (51) 4.5 9.1 01/01/1989
Real Estate Benchmark 1.9 (32) 4.2 (32) 10.3 (22) 11.7 (27) 11.9 (42) 6.6 8.4All Public Plans-Real Estate Segment Median 1.7 3.4 8.7 11.0 11.9
Total Private Equity/Infrastructure 1,002,763,305 14.0 5.5 8.5 10.9 12.7 10/01/2014
Private Equity/Infrastructure Benchmark 2.4 4.9 10.0 10.0
Total Opportunity Fund 221,877,496 3.1 4.5 8.5 11.0 7.0 06/01/2014
Opportunity Benchmark 0.5 5.0 7.1 2.2
Total Cash 211,669,594 2.9 0.0 0.2 0.3 0.2 0.2 1.6 2.4 10/01/1999
iMoneyNet - All Taxable Money Funds Index 0.5 0.9 1.5 0.7 0.5 1.0 1.8
Total Overlay 46,181,522 0.6 -0.1 0.1 0.2 0.2 0.3 0.5 01/01/2009
AHIC U.S. T-Bill 0.0 0.1 0.1 0.0 0.0 0.0
*Real Estate and Private Equity/Infrastructure returns and market values are shown on a one-quarter lag. The market values have been adjusted for current quarter cash flows. Prior to3Q2014, the publicly-traded portion of the real estate portfolio (REITs) are reported in real time.*The returns shown for the Total Overlay represent the impact of the Clifton Overlay service on the Total Fund return.
Asset Allocation & Performance
As of December 31, 2016
23
Allocation
MarketValue ($)
%
Performance(%)
1Quarter
FYTD1
Year3
Years5
Years10
YearsSince
InceptionInception
Date
Total Fund 7,188,152,553 100.0 1.2 5.1 8.3 4.9 9.0 5.4 8.9 01/01/1989
Total Fund Policy Benchmark 0.6 4.0 7.9 5.1 8.7 5.6 8.4
Total U.S. Equity 1,688,385,642 23.5 5.0 11.0 12.9 7.5 14.4 7.2 10.6 01/01/1989
U.S. Equity Benchmark 4.1 8.8 12.6 8.4 14.6 7.6 10.1
BlackRock S&P 500 Index Fund 507,242,059 7.1 3.8 7.8 12.0 8.9 14.7 11.7 03/01/2011
S&P 500 Index 3.8 7.8 12.0 8.9 14.7 11.7
BlackRock Russell 1000 Growth 263,550,674 3.7 1.0 5.7 7.1 8.6 14.5 11.7 03/01/2011
Russell 1000 Growth Index 1.0 5.6 7.1 8.6 14.5 11.7
Dodge & Cox Large Cap Value 256,856,088 3.6 10.8 20.4 21.5 8.8 17.1 6.4 10.3 05/01/2003
Russell 1000 Value Index 6.7 10.4 17.3 8.6 14.8 5.7 9.2
BlackRock Russell 2000 Growth 124,865,361 1.7 3.7 13.4 11.8 5.4 14.4 12/01/2012
Russell 2000 Growth Index 3.6 13.1 11.3 5.1 14.0
DFA Small Cap Value 64,757,407 0.9 15.3 24.6 28.6 7.8 16.8 8.1 13.1 10/01/1995
Russell 2000 Value Index 14.1 24.2 31.7 8.3 15.1 6.3 10.3
Fisher Small Cap Value 58,694,528 0.8 10.4 16.9 20.5 7.6 14.8 11.7 10/01/2008
Russell 2000 Value Index 14.1 24.2 31.7 8.3 15.1 9.7
Allianz Convertibles 198,738,578 2.8 1.1 7.4 6.1 3.9 9.5 8.0 10.0 10/01/1995
Convertibles Benchmark 2.1 8.3 10.4 5.3 10.9 6.4 7.5
Allianz Strucutred Alpha 213,680,948 3.0 6.8 11/01/2016
S&P 500 Index 5.8
Total Non-U.S. Equity 1,160,012,159 16.1 -2.0 4.7 4.5 -1.2 5.8 0.3 7.2 04/01/1995
Non-U.S. Equity Benchmark -1.7 5.3 4.8 -1.5 5.3 1.2 5.2
BlackRock MSCI ACW ex-U.S. 698,764,062 9.7 -1.6 5.4 4.6 -1.3 5.5 1.4 03/01/2011
MSCI AC World ex USA IMI (Net) -1.6 5.4 4.4 -1.4 5.3 1.3
Brandes International Value 164,891,746 2.3 2.1 8.3 2.4 0.6 8.4 1.8 9.4 04/01/1995
Performance Benchmark -0.7 5.7 1.0 -1.6 6.5 1.9 5.3
GMO International Small Cap 60,108,512 0.8 -2.4 5.4 0.0 -1.6 8.4 3.2 10.0 07/01/2002
Non-U.S. Small Cap Benchmark -3.1 4.6 3.8 2.0 9.7 3.0 9.3
Copper Rock International Small Cap 48,181,782 0.7 -7.2 -1.1 -3.4 04/01/2016
Non-U.S. Small Cap Benchmark -3.1 4.6 3.2
Aberdeen 123,181,752 1.7 -5.4 -0.1 12.3 -1.7 2.1 3.5 01/01/2010
MSCI Emerging Markets Index (Net) -4.2 4.5 11.2 -2.6 1.3 0.5
Neuberger Berman 64,884,305 0.9 -5.9 2.3 9.6 -0.7 03/01/2014
MSCI Emerging Markets Index (Net) -4.2 4.5 11.2 -1.5
Asset Allocation & Performance
As of December 31, 2016
24
Asset Allocation & Performance
As of December 31, 2016
Allocation
MarketValue ($)
%
Performance(%)
1Quarter
FYTD1
Year3
Years5
Years10
YearsSince
InceptionInception
Date
Total Global Equity 342,816,095 4.8 -0.6 3.8 6.7 1.7 8.6 06/01/2012
MSCI AC World Index (Net) 1.2 6.6 7.9 3.1 10.1
GMO Global Equity Allocation 168,067,317 2.3 0.0 5.6 8.0 0.3 7.7 06/01/2012
MSCI AC World Index (Net) 1.2 6.6 7.9 3.1 10.1
Walter Scott Global Equity 174,748,777 2.4 -1.2 2.1 5.6 3.1 9.5 06/01/2012
MSCI AC World Index (Net) 1.2 6.6 7.9 3.1 10.1
Total U.S. Fixed Income 1,525,892,337 21.2 -1.9 -1.3 2.2 2.1 2.3 4.9 6.7 04/01/1989
U.S. Fixed Income Benchmark -2.0 -1.7 2.0 2.4 1.9 3.8 5.6
Metropolitan West 459,679,103 6.4 -1.6 -1.1 2.0 2.0 2.4 5.4 5.4 07/01/2001
Barclays Intermediate Aggregate Bond Index -2.0 -1.7 2.0 2.4 1.9 4.2 4.6
PIMCO 361,979,160 5.0 -1.9 -0.7 2.6 1.9 2.3 4.9 7.6 01/01/1989
Barclays Intermediate Aggregate Bond Index -2.0 -1.7 2.0 2.4 1.9 4.2 6.4
BlackRock Intermediate Aggregate 704,234,073 9.8 -2.1 -1.8 1.8 2.4 1.9 2.6 07/01/2011
Barclays Intermediate Aggregate Bond Index -2.0 -1.7 2.0 2.4 1.9 2.6
Total Emerging Market Debt 316,508,235 4.4 -4.6 -1.4 10.1 0.3 2.0 1.5 07/01/2011
Emerging Market Debt Benchmark -5.3 -2.2 10.1 0.1 1.8 1.1
Wellington 102,213,980 1.4 -2.9 2.0 12.8 5.8 6.2 5.7 07/01/2011
JPM EMBI Global -4.2 -0.6 10.2 5.6 5.4 5.5
Stone Harbor 112,632,736 1.6 -4.8 -1.8 11.1 -0.1 0.9 0.1 07/01/2011
Performance Benchmark -5.1 -1.9 10.2 1.0 2.3 1.6
Investec 101,661,520 1.4 -6.0 -4.3 6.4 -5.3 03/01/2014
JPM GBI-EM Global Diversified -6.1 -3.6 9.9 -4.0
Total Real Estate 672,031,412 9.3 1.5 4.6 13.6 11.6 11.8 4.5 9.1 01/01/1989
Real Estate Benchmark 1.9 4.2 10.3 11.7 11.9 6.6 8.4
Private Real Estate 672,031,412 9.3 1.4 4.4 13.5 12.4 12.1 4.3 8.6 10/01/1990
NCREIF ODCE Index + 50 bps 2.0 4.0 9.6 12.0 11.9 5.6 6.9
Total Private Equity/Infrastructure 1,002,763,305 14.0 5.5 8.5 10.9 12.7 10/01/2014
Private Equity/Infrastructure Benchmark 2.4 4.9 10.0 10.0
Total Private Equity 882,109,220 12.3 6.1 9.6 14.5 15.0 16.2 15.8 10/01/2011
Private Equity Benchmark 2.4 4.9 10.0 10.0 10.0 10.0
GCM - PE 418,648,756 5.8 4.6 8.6 16.4 15.6 17.2 16.9 10/01/2011
Private Equity Benchmark 2.4 4.9 10.0 10.0 10.0 10.0
Stepstone - Private Equity 463,460,464 6.4 7.5 10.4 12.4 14.4 15.2 14.6 10/01/2011
Private Equity Benchmark 2.4 4.9 10.0 10.0 10.0 10.0
25
Asset Allocation & Performance
As of December 31, 2016
Allocation
MarketValue ($)
%
Performance(%)
1Quarter
FYTD1
Year3
Years5
Years10
YearsSince
InceptionInception
Date
Total Infrastructure 120,654,085 1.7 1.6 1.5 -7.5 5.5 01/01/2015
Infrastructure Benchmark 2.4 4.9 10.0 10.0
GCM Infrastructure 69,636,100 1.0 3.0 5.0 3.0 15.4 01/01/2015
Infrastructure Benchmark 2.4 4.9 10.0 10.0
Stepstone Infrastructure 51,017,985 0.7 -0.6 -3.4 -21.5 -7.6 01/01/2015
Infrastructure Benchmark 2.4 4.9 10.0 10.0
Total Opportunity Fund 221,877,496 3.1 4.5 8.5 11.0 7.0 06/01/2014
Opportunity Benchmark 0.5 5.0 7.1 2.2
Torchlight Debt Opportunity Fund IV 52,768,876 0.7 4.8 7.7 10.0 8.5 02/01/2014
NCREIF ODCE Index (Net) 1.9 3.7 7.8 11.4
Grosvenor Credit Opportunities 133,246,182 1.9 4.9 9.7 12.5 4.2 06/01/2014
50%/50% Credit Suisse HY and Distressed 3.1 7.4 12.0 1.4
Opportunity Benchmark 0.5 5.0 7.1 2.2
Mesa West 12,207,187 0.2 2.8 5.5 11.0 10.9 8.6 12/01/2013
NCREIF ODCE Index (Net) 1.9 3.7 7.8 11.0 11.8
Torchlight Debt Opportunity Fund V 5,429,856 0.1 3.4 13.4 15.2 -156.6 06/01/2015
NCREIF ODCE Index (Net) 1.9 3.7 7.8 11.7
Davidson Kempner 18,225,395 0.3 -1.8 -4.0 -12.5 06/01/2016
Opportunity Benchmark 0.5 5.0 4.7
Total Cash 211,669,594 2.9 0.0 0.2 0.3 0.2 0.2 1.6 2.4 10/01/1999
iMoneyNet - All Taxable Money Funds Index 0.5 0.9 1.5 0.7 0.5 1.0 1.8
SDCERS Cash 182,088,132 2.5 0.0 0.2 0.2 0.2 0.2 1.8 2.5 10/01/1999
iMoneyNet - All Taxable Money Funds Index 0.5 0.9 1.5 0.7 0.5 1.0 1.8
Total Overlay 46,181,522 0.6 -0.1 0.1 0.2 0.2 0.3 0.5 01/01/2009
AHIC U.S. T-Bill 0.0 0.1 0.1 0.0 0.0 0.0
The Clifton Group - Overlay 46,181,522 0.6 -0.1 0.1 0.2 0.1 0.3 0.5 01/01/2009
AHIC U.S. T-Bill 0.0 0.1 0.1 0.0 0.0 0.0
The time-weighted returns shown for Total Private Equity and Total Infrastructure do not provide a very meaningful analysis, especially for newer investments. As of9/30/2016, the since inception IRRs reported by SDCERS’ private equity and infrastructure advisors are as follows:-GCM Private Equity (since 11/09): 17.1%, Stepstone Private Equity (Since 10/09): 15.6%-GCM Infrastructure (since 10/11): 10.0%, Stepstone Infrastructure (Since 3/12): 0.6%*Real Estate, Private Equity and Infrastructure returns and market values are shown on a one-quarter lag. The market values have been adjusted for current quarter cashflows. Prior to 3Q2014, the publicly-traded portion of the real estate portfolio (REITs) are reported in real time.*The returns shown for the Total Overlay represent the impact of the Clifton Overlay service on the Total Fund return.*The Torchlight IV, Mesa West, and Torchlight V investments are early in their investment periods and therefore the time weighted returns above are less meaningful. Time-weighted performance will become more meaningful over time and as the funds mature.*Beginning 1/1/16, Mesa West and Torchlight V moved from Real Estate to the Opportunity Fund, and Carlyle and LaSalle moved from the Opportunity Fund to Real Estate. Composite
performance will reflect the new categorizations effective 1/1/2016. Historical Real Estate and Opportunity Fund composite performance is unchanged.
26
-7.0
-4.0
-1.0
2.0
5.0
8.0
11.0
14.0
Re
turn
1Quarter
FYTD1
Year3
Years5
Years10
Years20 Years Since Inception
Total Fund 1.2 (25) 5.1 (18) 8.3 (15) 4.9 (19) 9.0 (18) 5.4 (24) 7.9 (5) 8.9 (5)¢
Total Fund Policy Benchmark 0.6 (55) 4.0 (48) 7.9 (26) 5.1 (15) 8.7 (28) 5.6 (17) 7.6 (9) 8.4 (35)�
5th Percentile 2.1 6.0 9.2 5.7 9.8 6.0 7.7 8.9
1st Quartile 1.2 4.8 7.9 4.8 8.8 5.4 7.1 8.5
Median 0.6 3.9 6.9 4.2 8.1 5.0 6.7 8.1
3rd Quartile 0.2 3.2 6.0 3.7 7.4 4.6 6.4 7.8
95th Percentile -0.7 1.6 4.1 2.5 6.1 3.8 5.6 7.3
Population 411 411 404 388 376 259 92 36
Total Fund
Plan Sponsor Peer Group Analysis
As of December 31, 2016
All Public Plans-Total Fund
Parentheses contain percentile rankings.*The plan sponsor universe shown above represents the All Public Fund Universe obtained from BNY Mellon and Investment Metrics
27
Annualized Return vs. Annualized Standard Deviation5 Years
Rolling 5 Years Standard Deviation
5 Years Historical Statistics
Total Fund
Total Fund Policy Benchmark
Citigroup 3 Month T-Bill
-6.0
-3.0
0.0
3.0
6.0
9.0
12.0
15.0
Re
turn
(%)
0.0 2.0 4.0 6.0 8.0 10.0Risk (Standard Deviation %)
Total Fund Total Fund Policy Benchmark
0.0
3.0
6.0
9.0
12.0
15.0
18.0
21.0
3/07 3/08 3/09 3/10 3/11 3/12 3/13 3/14 3/15 12/16
ActiveReturn
TrackingError
InformationRatio
R-SquaredSharpeRatio
Alpha Beta ReturnStandardDeviation
ActualCorrelation
Total Fund 0.29 0.72 0.41 0.99 1.49 -0.03 1.04 9.02 5.91 0.99
Total Fund Policy Benchmark 0.00 0.00 N/A 1.00 1.50 0.00 1.00 8.72 5.66 1.00
Citigroup 3 Month T-Bill -8.51 5.66 -1.50 0.01 N/A 0.10 0.00 0.09 0.05 -0.10
Total Fund Risk Profile
As of December 31, 2016Total Fund
28
Attribution
Total Fund
*The Attribution Chart shown above captures the impact of the Clifton Overlay Program’s performance in the respective asset classes that the cash was equitized to.
*The Allocation Effect represents the overweight or underweight positions relative to Policy based on the asset class exposure, which includes the cash that is overlaid by
the Clifton Group.
As of December 31, 2016
Total Fund, 64
Cash Flow Effect, -11
Allocation Effect, 11
Opportunity Fund, 11
Private Equity/ Infrastructure, 45
Real Estate, -6
EMD, 3
U.S. Fixed Income, 3
Global Equity, -9
Non-U.S. Equity, -6
U.S. Equity, 22
-75 -50 -25 0 25 50 75
Attribution Analysis 3 Months Ending 12/31/2016
29
Asset Allocation
*The Asset Allocation in the top chart includes the allocation of the cash overlaid by the Clifton Group.
Total Fund As of December 31, 2016
24.3%
16.9%
4.8%
23.2%
4.4%
9.3%
14.0%
3.1%
23.9%
17.0%
5.0%
23.1%
5.0%
11.0%12.0%
3.0%
0.4%
0.0% -0.2%
0.1%
-0.6%-1.7%
2.0%
0.1%
-5.0%
0.0%
5.0%
10.0%
15.0%
20.0%
25.0%
30.0%
35.0%
Total U.S.Equity
Total Non-U.S.Equity
Total GlobalEquity
Total U.S. FixedIncome
Total EmergingMarket Debt
Total RealEstate
Total PrivateEquity/
Infrastructure
TotalOpportunity
Fund
SDCERS - Asset Allocation vs. Policy TargetsAs of 12/31/2016
Actual Allocation Policy Target Difference
30
U.S. Equity Non-U.S. Equity Global Equity U.S. FIxed Income Emerging Market Debt
Non-U.S. Fixed Income Opportunity Fund Real Estate Private Equity Market Neutral
Cash Infrastructure Overlay Transition
0.0
10.0
20.0
30.0
40.0
50.0
60.0
70.0
80.0
90.0
100.0
Allo
ca
tio
n (%
)
12/06 6/07 12/07 6/08 12/08 6/09 12/09 6/10 12/10 6/11 12/11 6/12 12/12 6/13 12/13 6/14 12/14 6/15 12/15 6/16 12/16
Total Fund
Historical Asset Allocation by Segment
10 Years Ending December 31, 2016
Total Fund
31
(This Page Left Blank Intentionally)
Writeup
32
Universe Rank & Calendar Year Returns
33
Allocation
MarketValue ($)
%
Performance(%)
1Quarter
FYTD1
Year3
Years5
Years10
YearsSince
InceptionInception
Date
Total Fund 7,188,152,553 100.0 1.2 (25) 5.1 (18) 8.3 (15) 4.9 (19) 9.0 (18) 5.4 (24) 8.9 (5) 01/01/1989
Total Fund Policy Benchmark 0.6 (55) 4.0 (48) 7.9 (26) 5.1 (15) 8.7 (28) 5.6 (17) 8.4 (35)All Public Plans-Total Fund Median 0.6 3.9 6.9 4.2 8.1 5.0 8.1
Total U.S. Equity 1,688,385,642 23.5 5.0 (22) 11.0 (10) 12.9 (44) 7.5 (61) 14.4 (41) 7.2 (22) 10.6 01/01/1989
U.S. Equity Benchmark 4.1 (51) 8.8 (49) 12.6 (50) 8.4 (32) 14.6 (29) 7.6 (13) 10.1All Public Plans-US Equity Segment Median 4.1 8.7 12.6 7.9 14.1 6.9
BlackRock S&P 500 Index Fund 507,242,059 7.1 3.8 (48) 7.8 (46) 12.0 (34) 8.9 (18) 14.7 (26) 11.7 (23) 03/01/2011
S&P 500 Index 3.8 (48) 7.8 (46) 12.0 (34) 8.9 (18) 14.7 (26) 11.7 (23)IM U.S. Large Cap Equity (SA+CF) Median 3.7 7.6 10.3 7.7 13.9 6.7 10.9
BlackRock Russell 1000 Growth 263,550,674 3.7 1.0 (90) 5.7 (72) 7.1 (82) 8.6 (31) 14.5 (34) 11.7 (31) 03/01/2011
Russell 1000 Growth Index 1.0 (90) 5.6 (72) 7.1 (82) 8.6 (31) 14.5 (34) 11.7 (31)IM U.S. Large Cap Core Equity (SA+CF) Median 3.7 7.4 9.9 7.9 13.9 6.7 11.0
Dodge & Cox Large Cap Value 256,856,088 3.6 10.8 (5) 20.4 (3) 21.5 (6) 8.8 (21) 17.1 (3) 6.4 (44) 10.3 (17) 05/01/2003
Russell 1000 Value Index 6.7 (45) 10.4 (52) 17.3 (21) 8.6 (25) 14.8 (26) 5.7 (68) 9.2 (60)IM U.S. Large Cap Value Equity (SA+CF) Median 6.4 10.5 13.9 7.4 13.8 6.2 9.5
BlackRock Russell 2000 Growth 124,865,361 1.7 3.7 (10) 13.4 (2) 11.8 (5) 5.4 (72) 14.4 (12) 12/01/2012
Russell 2000 Growth Index 3.6 (12) 13.1 (2) 11.3 (6) 5.1 (76) 14.0 (16)IM U.S. Large Cap Growth Equity (SA+CF) Median 0.0 5.0 4.0 6.5 13.2 7.4 12.7
DFA Small Cap Value 64,757,407 0.9 15.3 (11) 24.6 (12) 28.6 (28) 7.8 (48) 16.8 (17) 8.1 (35) 13.1 (4) 10/01/1995
Russell 2000 Value Index 14.1 (24) 24.2 (15) 31.7 (10) 8.3 (37) 15.1 (46) 6.3 (81) 10.3 (91)IM U.S. Small Cap Value Equity (SA+CF) Median 11.9 20.3 24.9 7.7 14.8 7.5 11.3
Fisher Small Cap Value 58,694,528 0.8 10.4 (66) 16.9 (74) 20.5 (73) 7.6 (52) 14.8 (50) 11.7 (37) 10/01/2008
Russell 2000 Value Index 14.1 (24) 24.2 (15) 31.7 (10) 8.3 (37) 15.1 (46) 9.7 (78)IM U.S. Small Cap Value Equity (SA+CF) Median 11.9 20.3 24.9 7.7 14.8 7.5 11.1
Allianz Convertibles 198,738,578 2.8 1.1 (29) 7.4 (25) 6.1 (53) 3.9 (34) 9.5 (24) 8.0 10.0 10/01/1995
Convertibles Benchmark 2.1 (10) 8.3 (19) 10.4 (21) 5.3 (15) 10.9 (1) 6.4 7.5IM Convertible Bonds (MF) Median 0.7 5.8 6.2 3.1 8.7
Allianz Strucutred Alpha 213,680,948 3.0 6.8 11/01/2016
S&P 500 Index 5.8
Total Non-U.S. Equity 1,160,012,159 16.1 -2.0 (44) 4.7 (41) 4.5 (31) -1.2 (51) 5.8 (61) 0.3 (95) 7.2 04/01/1995
Non-U.S. Equity Benchmark -1.7 (37) 5.3 (24) 4.8 (25) -1.5 (64) 5.3 (72) 1.2 (66) 5.2All Public Plans-Intl. Equity Segment Median -2.3 4.4 3.4 -1.2 6.3 1.3
BlackRock MSCI ACW ex-U.S. 698,764,062 9.7 -1.6 (35) 5.4 (37) 4.6 (41) -1.3 (52) 5.5 (63) 1.4 (67) 03/01/2011
MSCI AC World ex USA IMI (Net) -1.6 (35) 5.4 (37) 4.4 (42) -1.4 (53) 5.3 (64) 1.3 (69)IM International Equity (SA+CF) Median -3.1 3.9 2.9 -1.2 6.3 1.9 2.4
Brandes International Value 164,891,746 2.3 2.1 (8) 8.3 (15) 2.4 (54) 0.6 (26) 8.4 (27) 1.8 (54) 9.4 (8) 04/01/1995
Performance Benchmark -0.7 (26) 5.7 (34) 1.0 (63) -1.6 (56) 6.5 (47) 1.9 (53) 5.3 (85)IM International Equity (SA+CF) Median -3.1 3.9 2.9 -1.2 6.3 1.9 6.5
GMO International Small Cap 60,108,512 0.8 -2.4 (31) 5.4 (37) 0.0 (52) -1.6 (90) 8.4 (80) 3.2 (62) 10.0 (39) 07/01/2002
Non-U.S. Small Cap Benchmark -3.1 (38) 4.6 (43) 3.8 (29) 2.0 (42) 9.7 (65) 3.0 (70) 9.3 (66)IM International Small Cap Equity (SA+CF) Median -4.0 4.0 0.1 1.4 10.5 3.8 9.9
Copper Rock International Small Cap 48,181,782 0.7 -7.2 (89) -1.1 (94) -3.4 (98) 04/01/2016
Non-U.S. Small Cap Benchmark -3.1 (40) 4.6 (47) 3.2 (47)IM International Small Cap Equity (SA+CF) Median -3.7 4.5 1.1 2.4 11.5 4.7 2.4
Aberdeen 123,181,752 1.7 -5.4 (62) -0.1 (78) 12.3 (27) -1.7 (36) 2.1 (56) 3.5 (18) 01/01/2010
MSCI Emerging Markets Index (Net) -4.2 (42) 4.5 (35) 11.2 (35) -2.6 (55) 1.3 (70) 0.5 (67)IM Emerging Markets Equity (SA+CF) Median -4.6 3.1 9.0 -2.4 2.3 2.0 1.2
Asset Allocation & Performance with Ranks
As of December 31, 2016
34
Asset Allocation & Performance with Ranks
As of December 31, 2016
Allocation
MarketValue ($)
%
Performance(%)
1Quarter
FYTD1
Year3
Years5
Years10
YearsSince
InceptionInception
Date
Neuberger Berman 64,884,305 0.9 -5.9 (67) 2.3 (57) 9.6 (47) -0.7 (37) 03/01/2014
MSCI Emerging Markets Index (Net) -4.2 (42) 4.5 (35) 11.2 (35) -1.5 (48)IM Emerging Markets Equity (SA+CF) Median -4.6 3.1 9.0 -2.4 2.3 2.0 -1.6
Total Global Equity 342,816,095 4.8 -0.6 (57) 3.8 (63) 6.7 (45) 1.7 (73) 8.6 (83) 06/01/2012
MSCI AC World Index (Net) 1.2 (40) 6.6 (39) 7.9 (36) 3.1 (49) 10.1 (64)IM Global Equity (SA+CF) Median 0.3 5.1 6.2 3.1 10.1 4.1 10.7
GMO Global Equity Allocation 168,067,317 2.3 0.0 (53) 5.6 (47) 8.0 (35) 0.3 (87) 7.7 (90) 06/01/2012
MSCI AC World Index (Net) 1.2 (40) 6.6 (39) 7.9 (36) 3.1 (49) 10.1 (64)IM Global Equity (SA+CF) Median 0.3 5.1 6.2 3.1 10.1 4.1 10.7
Walter Scott Global Equity 174,748,777 2.4 -1.2 (63) 2.1 (76) 5.6 (54) 3.1 (49) 9.5 (74) 06/01/2012
MSCI AC World Index (Net) 1.2 (40) 6.6 (39) 7.9 (36) 3.1 (49) 10.1 (64)IM Global Equity (SA+CF) Median 0.3 5.1 6.2 3.1 10.1 4.1 10.7
Total U.S. Fixed Income 1,525,892,337 21.2 -1.9 (41) -1.3 (55) 2.2 (86) 2.1 (88) 2.3 (69) 4.9 (32) 6.7 04/01/1989
U.S. Fixed Income Benchmark -2.0 (47) -1.7 (66) 2.0 (88) 2.4 (81) 1.9 (79) 3.8 (81) 5.6All Public Plans-US Fixed Income Segment Median -2.1 -1.0 4.3 3.2 2.9 4.6
Metropolitan West 459,679,103 6.4 -1.6 (46) -1.1 (52) 2.0 (70) 2.0 (74) 2.4 (58) 5.4 (28) 5.4 (31) 07/01/2001
Barclays Intermediate Aggregate Bond Index -2.0 (56) -1.7 (65) 2.0 (70) 2.4 (65) 1.9 (72) 4.2 (60) 4.6 (56)IM U.S. Fixed Income (SA+CF) Median -1.9 -1.1 3.3 3.0 2.9 4.4 4.8
PIMCO 361,979,160 5.0 -1.9 (52) -0.7 (44) 2.6 (59) 1.9 (77) 2.3 (61) 4.9 (37) 7.6 (12) 01/01/1989
Barclays Intermediate Aggregate Bond Index -2.0 (56) -1.7 (65) 2.0 (70) 2.4 (65) 1.9 (72) 4.2 (60) 6.4 (42)IM U.S. Fixed Income (SA+CF) Median -1.9 -1.1 3.3 3.0 2.9 4.4 6.2
BlackRock Intermediate Aggregate 704,234,073 9.8 -2.1 (57) -1.8 (67) 1.8 (73) 2.4 (66) 1.9 (73) 2.6 (66) 07/01/2011
Barclays Intermediate Aggregate Bond Index -2.0 (56) -1.7 (65) 2.0 (70) 2.4 (65) 1.9 (72) 2.6 (64)IM U.S. Fixed Income (SA+CF) Median -1.9 -1.1 3.3 3.0 2.9 4.4 3.4
Total Emerging Market Debt 316,508,235 4.4 -4.6 (68) -1.4 (66) 10.1 (55) 0.3 (63) 2.0 (61) 1.5 (60) 07/01/2011
Emerging Market Debt Benchmark -5.3 (78) -2.2 (74) 10.1 (55) 0.1 (63) 1.8 (62) 1.1 (61)IM Emerging Markets Debt (SA+CF) Median -3.7 -0.1 10.6 2.8 4.2 6.2 3.6
Wellington 102,213,980 1.4 -2.9 (36) 2.0 (19) 12.8 (22) 5.8 (11) 6.2 (16) 5.7 (12) 07/01/2011
JPM EMBI Global -4.2 (64) -0.6 (59) 10.2 (55) 5.6 (13) 5.4 (28) 5.5 (16)IM Emerging Markets Debt (SA+CF) Median -3.7 -0.1 10.6 2.8 4.2 6.2 3.6
Stone Harbor 112,632,736 1.6 -4.8 (71) -1.8 (69) 11.1 (40) -0.1 (64) 0.9 (66) 0.1 (65) 07/01/2011
Performance Benchmark -5.1 (76) -1.9 (70) 10.2 (55) 1.0 (58) 2.3 (59) 1.6 (60)IM Emerging Markets Debt (SA+CF) Median -3.7 -0.1 10.6 2.8 4.2 6.2 3.6
Investec 101,661,520 1.4 -6.0 (90) -4.3 (97) 6.4 (93) -5.3 (98) 03/01/2014
JPM GBI-EM Global Diversified -6.1 (92) -3.6 (87) 9.9 (58) -4.0 (86)IM Emerging Markets Debt (SA+CF) Median -3.7 -0.1 10.6 2.8 4.2 6.2 2.7
Total Real Estate 672,031,412 9.3 1.5 4.6 13.6 11.6 11.8 4.5 9.1 01/01/1989
Real Estate Benchmark 1.9 4.2 10.3 11.7 11.9 6.6 8.4
Private Real Estate 672,031,412 9.3 1.4 4.4 13.5 12.4 12.1 4.3 8.6 10/01/1990
NCREIF ODCE Index + 50 bps 2.0 4.0 9.6 12.0 11.9 5.6 6.9
35
Asset Allocation & Performance with Ranks
As of December 31, 2016
Allocation
MarketValue ($)
%
Performance(%)
1Quarter
FYTD1
Year3
Years5
Years10
YearsSince
InceptionInception
Date
Total Private Equity/Infrastructure 1,002,763,305 14.0 5.5 8.5 10.9 12.7 10/01/2014
Private Equity/Infrastructure Benchmark 2.4 4.9 10.0 10.0
Total Private Equity 882,109,220 12.3 6.1 9.6 14.5 15.0 16.2 15.8 10/01/2011
Private Equity Benchmark 2.4 4.9 10.0 10.0 10.0 10.0
GCM - PE 418,648,756 5.8 4.6 8.6 16.4 15.6 17.2 16.9 10/01/2011
Private Equity Benchmark 2.4 4.9 10.0 10.0 10.0 10.0
Stepstone - Private Equity 463,460,464 6.4 7.5 10.4 12.4 14.4 15.2 14.6 10/01/2011
Private Equity Benchmark 2.4 4.9 10.0 10.0 10.0 10.0
Total Infrastructure 120,654,085 1.7 1.6 1.5 -7.5 5.5 01/01/2015
Infrastructure Benchmark 2.4 4.9 10.0 10.0
GCM Infrastructure 69,636,100 1.0 3.0 5.0 3.0 15.4 01/01/2015
Infrastructure Benchmark 2.4 4.9 10.0 10.0
Stepstone Infrastructure 51,017,985 0.7 -0.6 -3.4 -21.5 -7.6 01/01/2015
Infrastructure Benchmark 2.4 4.9 10.0 10.0
Total Opportunity Fund 221,877,496 3.1 4.5 8.5 11.0 7.0 06/01/2014
Opportunity Benchmark 0.5 5.0 7.1 2.2
Torchlight Debt Opportunity Fund IV 52,768,876 0.7 4.8 7.7 10.0 8.5 02/01/2014
NCREIF ODCE Index (Net) 1.9 3.7 7.8 11.4
Grosvenor Credit Opportunities 133,246,182 1.9 4.9 9.7 12.5 4.2 06/01/2014
50%/50% Credit Suisse HY and Distressed 3.1 7.4 12.0 1.4
Mesa West 12,207,187 0.2 2.8 5.5 11.0 10.9 8.6 12/01/2013
NCREIF ODCE Index (Net) 1.9 3.7 7.8 11.0 11.8
Torchlight Debt Opportunity Fund V 5,429,856 0.1 3.4 13.4 15.2 -156.6 06/01/2015
NCREIF ODCE Index (Net) 1.9 3.7 7.8 11.7
Davidson Kempner 18,225,395 0.3 -1.8 -4.0 -12.5 06/01/2016
Opportunity Benchmark 0.5 5.0 4.7
Total Cash 211,669,594 2.9 0.0 0.2 0.3 0.2 0.2 1.6 2.4 10/01/1999
iMoneyNet - All Taxable Money Funds Index 0.5 0.9 1.5 0.7 0.5 1.0 1.8
SDCERS Cash 182,088,132 2.5 0.0 0.2 0.2 0.2 0.2 1.8 2.5 10/01/1999
iMoneyNet - All Taxable Money Funds Index 0.5 0.9 1.5 0.7 0.5 1.0 1.8
Total Overlay 46,181,522 0.6 -0.1 0.1 0.2 0.2 0.3 0.5 01/01/2009
AHIC U.S. T-Bill 0.0 0.1 0.1 0.0 0.0 0.0
The Clifton Group - Overlay 46,181,522 0.6 -0.1 0.1 0.2 0.1 0.3 0.5 01/01/2009
AHIC U.S. T-Bill 0.0 0.1 0.1 0.0 0.0 0.0
*Real Estate, Private Equity and Infrastructure returns and market values are shown on a one-quarter lag. The market values have been adjusted for currentquarter cash flows. Prior to 3Q2014, the publicly-traded portion of the real estate portfolio (REITs) are reported in real time.*The returns shown for the Total Overlay represent the impact of the Clifton Overlay service on the Total Fund return.*The Torchlight IV, Mesa West, and Torchlight V investments are early in their investment periods and therefore the time weighted returns above are less
meaningful.
36
Performance(%)
2015 2014 2013 2012 2011 2010 2009 2008 2007
Total Fund 1.4 (12) 5.1 (80) 17.2 (46) 13.9 (15) -0.4 (57) 15.9 (7) 21.7 (30) -27.6 (84) 8.3 (35)
Total Fund Policy Benchmark 1.5 (11) 6.0 (62) 15.7 (65) 13.2 (30) 0.4 (39) 14.1 (20) 20.7 (37) -23.6 (50) 7.7 (51)All Public Plans-Total Fund Median -0.2 6.4 16.8 12.3 -0.1 12.4 19.2 -23.7 7.8
Total U.S. Equity 0.1 (46) 9.8 (82) 35.7 (11) 16.1 (57) -1.8 (88) 21.0 (6) 34.4 (6) -39.4 (64) 6.2 (23)
U.S. Equity Benchmark 0.4 (34) 12.5 (20) 33.5 (50) 16.4 (47) 1.0 (38) 19.5 (28) 30.3 (32) -36.0 (23) 4.6 (44)All Public Plans-US Equity Segment Median -0.1 11.2 33.4 16.3 0.6 17.8 27.9 -37.6 4.4
BlackRock S&P 500 Index Fund 1.4 (39) 13.7 (27) 32.4 (56) 16.0 (38)
S&P 500 Index 1.4 (39) 13.7 (27) 32.4 (55) 16.0 (37)IM U.S. Large Cap Equity (SA+CF) Median 0.4 12.3 32.8 15.2 0.6 14.4 26.9 -37.0 6.4
BlackRock Russell 1000 Growth 5.6 (7) 13.1 (44) 33.4 (38) 15.3 (48)
Russell 1000 Growth Index 5.7 (7) 13.1 (45) 33.5 (38) 15.3 (48)IM U.S. Large Cap Core Equity (SA+CF) Median 0.7 12.8 32.2 15.1 1.5 14.2 25.8 -36.3 6.5
Dodge & Cox Large Cap Value -3.9 (64) 10.3 (70) 40.1 (12) 21.9 (3) -4.3 (79) 13.9 (51) 31.3 (23) -41.5 (89) 0.9 (67)
Russell 1000 Value Index -3.8 (62) 13.5 (25) 32.5 (57) 17.5 (25) 0.4 (46) 15.5 (34) 19.7 (79) -36.8 (60) -0.2 (73)IM U.S. Large Cap Value Equity (SA+CF) Median -2.9 11.6 33.6 15.0 0.0 14.0 24.5 -35.8 3.2
BlackRock Russell 2000 Growth -1.1 (91) 5.9 (93) 43.7 (5)
Russell 2000 Growth Index -1.4 (92) 5.6 (94) 43.3 (6)IM U.S. Large Cap Growth Equity (SA+CF) Median 4.4 11.3 33.7 14.5 -0.5 15.3 33.3 -38.9 12.6
DFA Small Cap Value -6.5 (66) 4.3 (52) 42.3 (18) 21.9 (14) -7.3 (75) 34.1 (9) 36.7 (38) -34.7 (58) -9.7 (80)
Russell 2000 Value Index -7.5 (72) 4.2 (55) 34.5 (72) 18.1 (38) -5.5 (62) 24.5 (61) 20.6 (86) -28.9 (24) -9.8 (80)IM U.S. Small Cap Value Equity (SA+CF) Median -5.3 4.7 36.7 16.3 -4.1 26.1 32.5 -33.5 -3.1
Fisher Small Cap Value -4.0 (37) 7.7 (17) 38.9 (36) 15.5 (57) -4.1 (51) 30.7 (21) 36.8 (38)
Russell 2000 Value Index -7.5 (72) 4.2 (55) 34.5 (72) 18.1 (38) -5.5 (62) 24.5 (61) 20.6 (86)IM U.S. Small Cap Value Equity (SA+CF) Median -5.3 4.7 36.7 16.3 -4.1 26.1 32.5 -33.5 -3.1
Allianz Convertibles -1.6 (55) 7.3 (36) 25.7 (13) 11.9 (43) -2.8 (22) 21.9 (1) 39.2 (47) -27.8 15.7
Convertibles Benchmark -3.2 (64) 9.4 (11) 24.9 (20) 15.0 (14) -5.2 (55) 16.8 (55) 49.1 (11) -35.7 4.5IM Convertible Bonds (MF) Median -1.4 6.2 20.9 10.9 -5.0 17.9 37.7
Allianz Strucutred Alpha
S&P 500 Index
Total Non-U.S. Equity -3.8 (69) -4.0 (67) 17.0 (72) 17.4 (74) -13.8 (69) 13.7 (33) 26.9 (100) -44.3 (33) 12.2 (100)
Non-U.S. Equity Benchmark -5.2 (85) -3.7 (64) 15.8 (79) 17.0 (81) -14.0 (74) 13.3 (37) 42.7 (1) -45.7 (64) 15.1 (56)All Public Plans-Intl. Equity Segment Median -3.0 -3.5 18.1 18.4 -13.1 11.8 35.8 -45.3 15.7
BlackRock MSCI ACW ex-U.S. -4.5 (61) -3.8 (55) 16.2 (59) 17.1 (65)
MSCI AC World ex USA IMI (Net) -4.6 (61) -3.9 (56) 15.8 (60) 17.0 (65)IM International Equity (SA+CF) Median -2.2 -3.4 19.2 18.9 -13.9 14.3 38.7 -45.2 13.9
Brandes International Value 3.6 (22) -3.9 (56) 31.6 (10) 11.8 (91) -10.8 (25) 6.1 (87) 23.7 (87) -37.5 (17) 8.9 (71)
Performance Benchmark -0.8 (44) -4.9 (66) 22.8 (37) 17.3 (64) -12.1 (37) 11.2 (64) 41.4 (45) -45.5 (52) 16.7 (42)IM International Equity (SA+CF) Median -2.2 -3.4 19.2 18.9 -13.9 14.3 38.7 -45.2 13.9
GMO International Small Cap 6.2 (66) -10.1 (94) 28.2 (61) 22.6 (42) -15.2 (57) 24.8 (33) 44.6 (50) -44.7 (25) 7.8 (54)
Non-U.S. Small Cap Benchmark 5.9 (66) -3.4 (38) 26.1 (75) 18.6 (87) -14.5 (50) 22.0 (59) 45.1 (50) -47.7 (51) 7.3 (58)IM International Small Cap Equity (SA+CF) Median 9.4 -4.3 29.9 22.3 -14.5 22.6 44.4 -47.7 8.5
Copper Rock International Small Cap
Non-U.S. Small Cap BenchmarkIM International Small Cap Equity (SA+CF) Median 9.4 -4.3 29.9 22.3 -14.5 22.6 44.4 -47.7 8.5
Calendar Year Performance
As of December 31, 2016
37
Calendar Year Performance
As of December 31, 2016
Performance(%)
2015 2014 2013 2012 2011 2010 2009 2008 2007
Aberdeen -13.8 (52) -1.9 (59) -6.7 (92) 25.4 (12) -11.1 (8) 28.5 (10)
MSCI Emerging Markets Index (Net) -14.9 (59) -2.2 (63) -2.6 (69) 18.2 (65) -18.4 (47) 18.9 (61)IM Emerging Markets Equity (SA+CF) Median -13.7 -1.2 -0.2 19.3 -19.1 20.7 78.6 -54.6 38.9
Neuberger Berman -11.3 (32)
MSCI Emerging Markets Index (Net) -14.9 (59)IM Emerging Markets Equity (SA+CF) Median -13.7 -1.2 -0.2 19.3 -19.1 20.7 78.6 -54.6 38.9
Total Global Equity -2.4 (66) 1.1 (73) 20.3 (79)
MSCI AC World Index (Net) -2.4 (66) 4.2 (43) 22.8 (70)IM Global Equity (SA+CF) Median -0.6 3.6 26.6 15.9 -7.0 13.2 32.8 -41.3 11.3
GMO Global Equity Allocation -5.8 (83) -0.9 (84) 21.0 (76)
MSCI AC World Index (Net) -2.4 (66) 4.2 (43) 22.8 (70)IM Global Equity (SA+CF) Median -0.6 3.6 26.6 15.9 -7.0 13.2 32.8 -41.3 11.3
Walter Scott Global Equity 1.1 (36) 2.8 (58) 19.7 (81)
MSCI AC World Index (Net) -2.4 (66) 4.2 (43) 22.8 (70)IM Global Equity (SA+CF) Median -0.6 3.6 26.6 15.9 -7.0 13.2 32.8 -41.3 11.3
Total U.S. Fixed Income 0.8 (20) 3.3 (92) -1.6 (50) 7.0 (57) 6.5 (82) 10.4 (18) 18.9 (20) -6.1 (62) 9.5 (8)
U.S. Fixed Income Benchmark 1.2 (7) 4.1 (85) -1.8 (64) 4.2 (96) 7.8 (48) 6.5 (88) 8.6 (66) -1.2 (23) 6.7 (48)All Public Plans-US Fixed Income Segment Median 0.1 5.8 -1.6 7.3 7.7 8.3 12.1 -4.7 6.2
Metropolitan West 0.7 (37) 3.3 (60) -0.4 (49) 6.9 (47) 8.1 (23) 13.4 (15) 23.1 (23) -7.2 (74) 7.4 (16)
Barclays Intermediate Aggregate Bond Index 1.2 (20) 4.1 (51) -1.8 (76) 4.2 (72) 7.8 (26) 6.5 (60) 5.9 (75) 5.2 (22) 7.0 (25)IM U.S. Fixed Income (SA+CF) Median 0.4 4.1 -0.5 6.5 6.1 7.3 10.3 0.9 5.9
PIMCO 0.2 (56) 2.8 (66) -2.2 (80) 8.4 (38) 4.8 (65) 8.4 (41) 12.3 (42) 3.5 (37) 9.4 (6)
Barclays Intermediate Aggregate Bond Index 1.2 (20) 4.1 (51) -1.8 (76) 4.2 (72) 7.8 (26) 6.5 (60) 5.9 (75) 5.2 (22) 7.0 (25)IM U.S. Fixed Income (SA+CF) Median 0.4 4.1 -0.5 6.5 6.1 7.3 10.3 0.9 5.9
BlackRock Intermediate Aggregate 1.1 (24) 4.3 (49) -2.0 (79) 4.3 (71)
Barclays Intermediate Aggregate Bond Index 1.2 (20) 4.1 (51) -1.8 (76) 4.2 (72)IM U.S. Fixed Income (SA+CF) Median 0.4 4.1 -0.5 6.5 6.1 7.3 10.3 0.9 5.9
Total Emerging Market Debt -8.6 (69) 0.2 (57) -7.3 (63) 18.0 (54)
Emerging Market Debt Benchmark -8.7 (69) -0.3 (59) -7.1 (62) 17.2 (64)IM Emerging Markets Debt (SA+CF) Median -3.6 0.6 -6.5 18.2 2.5 14.4 31.7 -15.5 6.9
Wellington -1.0 (30) 6.1 (11) -5.1 (36) 19.9 (24)
JPM EMBI Global 1.2 (8) 5.5 (17) -6.6 (52) 18.5 (44)IM Emerging Markets Debt (SA+CF) Median -3.6 0.6 -6.5 18.2 2.5 14.4 31.7 -15.5 6.9
Stone Harbor -8.1 (67) -2.3 (67) -9.6 (82) 16.0 (79)
Performance Benchmark -7.1 (63) 0.7 (50) -7.1 (62) 17.2 (64)IM Emerging Markets Debt (SA+CF) Median -3.6 0.6 -6.5 18.2 2.5 14.4 31.7 -15.5 6.9
Investec -15.4 (85)
JPM GBI-EM Global Diversified -14.9 (81)IM Emerging Markets Debt (SA+CF) Median -3.6 0.6 -6.5 18.2 2.5 14.4 31.7 -15.5 6.9
Total Real Estate 11.0 10.4 10.9 13.4 8.9 20.7 -13.3 -23.3 1.5
Real Estate Benchmark 13.4 11.5 11.8 12.7 6.5 15.7 -3.1 -17.9 10.4
Private Real Estate 12.5 11.3 11.9 11.5 11.5 21.4 -28.7 -19.1 10.1
NCREIF ODCE Index + 50 bps 14.4 11.9 12.5 11.0 17.8 6.5 -35.4 2.8 17.7
38
Calendar Year Performance
As of December 31, 2016
Performance(%)
2015 2014 2013 2012 2011 2010 2009 2008 2007
Total Private Equity/Infrastructure 14.4
Private Equity/Infrastructure Benchmark 10.0
Total Private Equity 13.2 17.5 22.0 14.2
Private Equity Benchmark 10.0 10.0 10.0 10.0
GCM - PE 11.4 19.0 27.5 12.2
Private Equity Benchmark 10.0 10.0 10.0 10.0
Stepstone - Private Equity 14.7 16.2 16.9 16.0
Private Equity Benchmark 10.0 10.0 10.0 10.0
Total Infrastructure 20.3
Infrastructure Benchmark 10.0
GCM Infrastructure 29.2
Infrastructure Benchmark 10.0
Stepstone Infrastructure 8.7
Infrastructure Benchmark 10.0
Total Opportunity Fund 4.7
Opportunity Benchmark -1.3
Torchlight Debt Opportunity Fund IV 11.4
NCREIF ODCE Index (Net) 14.0
Grosvenor Credit Opportunities -0.9
50%/50% Credit Suisse HY and Distressed -5.1
Mesa West 11.8 10.0
NCREIF ODCE Index (Net) 14.0 11.5
Torchlight Debt Opportunity Fund V
NCREIF ODCE Index (Net)
Davidson Kempner
Opportunity Benchmark
Total Cash 0.3 0.0 0.1 0.3 0.7 1.6 4.5 3.6 5.3
iMoneyNet - All Taxable Money Funds Index 0.3 0.2 0.2 0.3 0.3 0.4 0.2 2.0 4.7
SDCERS Cash 0.3 0.0 0.1 0.3 0.7 1.6 5.9 3.6 5.3
iMoneyNet - All Taxable Money Funds Index 0.3 0.2 0.2 0.3 0.3 0.4 0.2 2.0 4.7
Temporary Private Market Cash
Total Overlay -0.1 0.3 0.9 0.4 -0.1 1.3 1.2
AHIC U.S. T-Bill 0.0 0.0 0.0 0.0 0.0 0.1 0.1
The Clifton Group - Overlay -0.1 0.3 0.9 0.4 -0.1 1.3 1.2
AHIC U.S. T-Bill 0.0 0.0 0.0 0.0 0.0 0.1 0.1
39
(This Page Left Blank Intentionally)
Writeup
40
Total U.S. Equity
41
Return Summary
Quarterly Excess Performance Ratio of Cumulative Wealth - 10 Years
Current Allocation
Total U.S. Equity U.S. Equity Benchmark
0.0
6.0
12.0
18.0
24.0
Re
turn
1Quarter
Fiscal YTD
1Year
3Years
5Years
10Years
Inception1/1/89
4.1
8.8
12.6
8.4
14.6
7.6
10.1
5.0
11.0
12.9
7.5
14.4
7.2
10.6
December 31, 2016 : $1,688M
Fisher Small Cap Value:3.5%
BlackRock S&P 500 Index Fund:30.0%
DFA Small Cap Value:3.8%
Allianz Strucutred Alpha:12.7%
Allianz Convertibles:11.8%
Dodge & Cox Large Cap Value:15.2%
BlackRock Russell 2000 Growth:7.4% BlackRock Russell 1000 Growth:15.6%
Total U.S. Equity Benchmark
0.93
0.96
0.99
1.02
1.05
12/06 12/07 12/08 12/09 12/10 12/11 12/12 12/13 12/14 12/15 12/16
0.97
Quarterly Out Performance Quarterly Under Performance
0.0%
2.0%
4.0%
-2.0 %
-4.0 %
-6.0 %
3/07 3/08 3/09 3/10 3/11 3/12 3/13 3/14 3/15 12/16
Total U.S. Equity Portfolio Overview
As of December 31, 2016Total U.S. Equity
42
Style Map(36 Months)
Dodge & Cox Large Cap Value Total U.S. Equity Allianz Convertibles DFA Small Cap Value
Fisher Small Cap Value Wall Street Small Cap Growth U.S. Equity Benchmark
Ca
pit
aliza
tio
n
Manager Style
Russell 1000 Value Index
Russell 2000 Value Index Russell 2000 Growth Index
Russell 1000 Growth Index
U.S. Equity Benchmark
Fisher Small Cap Value
DFA Small Cap Value
Allianz Convertibles
Total U.S. EquityDodge & Cox Large Cap Value
Total U.S. Equity
Style Analysis
As of December 31, 2016
43
-20.0
-10.0
0.0
10.0
20.0
30.0
40.0
50.0
60.0
Re
turn
1Quarter
2016FiscalYTD
1Year
3Years
5Years
10Years
2015 2014 2013
Total U.S. Equity 5.0 (22) 12.9 (44) 11.0 (10) 12.9 (44) 7.5 (61) 14.4 (41) 7.2 (22) 0.1 (46) 9.8 (82) 35.7 (11)¢
U.S. Equity Benchmark 4.1 (51) 12.6 (50) 8.8 (49) 12.6 (50) 8.4 (32) 14.6 (29) 7.6 (13) 0.4 (34) 12.5 (20) 33.5 (50)�
5th Percentile 6.3 15.9 12.0 15.9 9.3 15.9 8.1 2.1 13.4 36.6
1st Quartile 4.8 13.9 9.8 13.9 8.5 14.6 7.1 0.8 12.0 34.9
Median 4.1 12.6 8.7 12.6 7.9 14.1 6.9 -0.1 11.2 33.4
3rd Quartile 3.6 11.4 7.8 11.4 6.9 13.5 6.3 -1.5 10.1 32.0
95th Percentile 2.0 8.6 5.4 8.6 5.1 11.4 4.1 -4.2 6.8 25.2
Population 107 101 106 101 94 80 39 92 50 48
Total U.S. Equity
Plan Sponsor Peer Group Analysis
As of December 31, 2016
All Public Plans-US Equity Segment
Parentheses contain percentile rankings.
44
Annualized Return vs. Annualized Standard Deviation5 Years
Rolling 5 Years Standard Deviation
5 Years Historical Statistics
Total U.S. Equity U.S. Equity Benchmark
Citigroup 3 Month T-Bill
-8.0
-4.0
0.0
4.0
8.0
12.0
16.0
20.0
24.0
Re
turn
(%)
0.0 2.0 4.0 6.0 8.0 10.0 12.0 14.0Risk (Standard Deviation %)
Total U.S. Equity U.S. Equity Benchmark
0.0
4.0
8.0
12.0
16.0
20.0
24.0
28.0
32.0
12/93 3/96 6/98 9/00 12/02 3/05 6/07 9/09 12/11 3/14 12/16
ActiveReturn
TrackingError
InformationRatio
R-SquaredSharpeRatio
Alpha Beta ReturnStandardDeviation
ActualCorrelation
Total U.S. Equity -0.18 1.40 -0.13 0.98 1.41 -0.70 1.04 14.35 9.90 0.99
U.S. Equity Benchmark 0.00 0.00 N/A 1.00 1.50 0.00 1.00 14.59 9.46 1.00
Citigroup 3 Month T-Bill -14.18 9.46 -1.50 0.01 N/A 0.10 0.00 0.09 0.05 -0.09
Total U.S. Equity Risk Profile
As of December 31, 2016Total U.S. Equity
45
1 Quarter
0 20 40 60 80 100 120 140-20-40-60
Allianz Strucutred Alpha
U.S. Equity Manager Cash Overlay
Allianz Convertibles
Fisher Small Cap Value
DFA Small Cap Value
BlackRock Russell 2000 Growth Index Fund
Dodge & Cox Large Cap Value
BlackRock Russell 1000 Growth Index Fund
BlackRock S&P 500 Index Fund
Benchmark Effect
Cash Flow Effect
Total Excess Return
12
3
-12
-15
5
1
65
0
0
30
-2
87
1 Year
0 20 40 60 80 100 120-20-40-60-80-100
Allianz Strucutred Alpha
U.S. Equity Manager Cash Overlay
Allianz Convertibles
Fisher Small Cap Value
DFA Small Cap Value
BlackRock Russell 2000 Growth Index Fund
Dodge & Cox Large Cap Value
BlackRock Russell 1000 Growth Index Fund
BlackRock S&P 500 Index Fund
Benchmark Effect
Cash Flow Effect
Total Excess Return
13
10
-54
-41
-11
4
66
1
1
65
-28
25
Total U.S. Equity
Asset Class Attribution
As of December 31, 2016
Note: The Attribution Chart shown above includes the impact of the cash held in the U.S. Equity managers' accounts that was overlaid by the CliftonGroup.
46
Return Summary
Quarterly Excess Performance Ratio of Cumulative Wealth - Since Inception
Account Information
BlackRock S&P 500 Index Fund
S&P 500 Index
0.0
6.0
12.0
18.0
24.0
Re
turn
1Quarter
2016 FiscalYTD
1Year
3Years
5Years
Inception3/1/11
3.8
12.0
7.8
12.0
8.9
14.7
11.7
3.8
12.0
7.8
12.0
8.9
14.7
11.7
Account Name: BlackRock S&P 500 Index Fund
Inception Date: 03/01/2011
Account Structure: Commingled Fund
Asset Class: US Equity
Benchmark: S&P 500 Index
Peer Group: IM U.S. Large Cap Equity (SA+CF)
Quarterly Out Performance Quarterly Under Performance
0.0%
0.1%
-0.1 %
-0.2 %
6/11 3/12 12/12 9/13 6/14 3/15 12/15 12/16 BlackRock S&P 500 Index Fund
Benchmark
0.99
1.00
1.01
2/11 11/11 8/12 5/13 2/14 11/14 8/15 5/16 12/16
1.00
BlackRock S&P 500 Index Fund Performance Summary
As of December 31, 2016BlackRock S&P 500 Index Fund
47
Return Summary
Quarterly Excess Performance Ratio of Cumulative Wealth - Since Inception
Account Information
BlackRock Russell 1000 Growth
Russell 1000 Growth Index
0.0
6.0
12.0
18.0
24.0
Re
turn
1Quarter
2016 FiscalYTD
1Year
3Years
5Years
Inception3/1/11
1.0
7.1
5.6
7.1
8.6
14.5
11.7
1.0
7.1
5.7
7.1
8.6
14.5
11.7
Account Name: BlackRock Russell 1000 Growth
Inception Date: 03/01/2011
Account Structure: Commingled Fund
Asset Class: US Equity
Benchmark: Russell 1000 Growth Index
Peer Group: IM U.S. Large Cap Growth Equity (SA+CF)
Quarterly Out Performance Quarterly Under Performance
0.0%
0.1%
-0.1 %
-0.2 %
3/12 9/12 3/13 9/13 3/14 9/14 3/15 9/15 3/16 12/16 BlackRock Russell 1000 Growth
Benchmark
0.99
1.00
1.01
2/11 11/11 8/12 5/13 2/14 11/14 8/15 5/16 12/16
1.00
BlackRock Russell 1000 Growth Performance Summary
As of December 31, 2016BlackRock Russell 1000 Growth
48
Return Summary
Quarterly Excess Performance Ratio of Cumulative Wealth - 10 Years
Account Information
Dodge & Cox Large Cap Value
Russell 1000 Value Index
0.0
8.0
16.0
24.0
32.0
Re
turn
1Quarter
FiscalYTD
1Year
3Years
5Years
10Years
Inception5/1/03
6.7
10.4
17.3
8.6
14.8
5.7
9.210.8
20.421.5
8.8
17.1
6.4
10.3
Account Name: Dodge & Cox Large Cap Value
Inception Date: 05/01/2003
Account Structure: Separate Account
Asset Class: US Equity
Benchmark: Russell 1000 Value Index
Peer Group: IM U.S. Large Cap Value Equity (SA+CF)
Quarterly Out Performance Quarterly Under Performance
0.0%
5.0%
10.0%
-5.0 %
-10.0 %
3/07 3/08 3/09 3/10 3/11 3/12 3/13 3/14 3/15 12/16 Dodge & Cox Large Cap Value
Benchmark
0.84
0.91
0.98
1.05
1.12
1.19
12/06 12/07 12/08 12/09 12/10 12/11 12/12 12/13 12/14 12/15 12/16
1.07
Dodge & Cox Large Cap Value Performance Summary
As of December 31, 2016Dodge & Cox Large Cap Value
49
-40.0
-25.0
-10.0
5.0
20.0
35.0
50.0
65.0
Re
turn
1Quarter
2016FiscalYTD
1Year
3Years
5Years
10Years
2015 2014 2013
Dodge & Cox Large Cap Value 10.8 (5) 21.5 (6) 20.4 (3) 21.5 (6) 8.8 (21) 17.1 (3) 6.4 (44) -3.9 (64) 10.3 (70) 40.1 (12)¢
Russell 1000 Value Index 6.7 (45) 17.3 (21) 10.4 (52) 17.3 (21) 8.6 (25) 14.8 (26) 5.7 (68) -3.8 (62) 13.5 (25) 32.5 (57)�
5th Percentile 10.8 21.8 18.6 21.8 10.3 16.6 8.4 3.7 16.1 42.9
1st Quartile 8.0 16.6 13.5 16.6 8.6 14.8 7.0 -0.5 13.4 37.0
Median 6.4 13.9 10.5 13.9 7.4 13.8 6.2 -2.9 11.6 33.6
3rd Quartile 4.3 10.5 7.5 10.5 6.2 12.5 5.5 -5.4 9.7 30.6
95th Percentile 1.9 6.0 3.7 6.0 3.3 10.2 3.7 -10.4 4.6 24.2
Population 333 331 333 331 326 311 254 368 395 399
Dodge & Cox Large Cap Value
Peer Group Analysis
As of December 31, 2016
IM U.S. Large Cap Value Equity (SA+CF)
Parentheses contain percentile rankings.
50
Annualized Return vs. Annualized Standard Deviation5 Years
Rolling 5 Years Standard Deviation
5 Years Historical Statistics
Dodge & Cox Large Cap Value
Russell 1000 Value Index
Citigroup 3 Month T-Bill
-12.0
-6.0
0.0
6.0
12.0
18.0
24.0
30.0
Re
turn
(%)
0.0 3.0 6.0 9.0 12.0 15.0 18.0Risk (Standard Deviation %)
Dodge & Cox Large Cap Value
Russell 1000 Value Index
0.0
5.0
10.0
15.0
20.0
25.0
30.0
35.0
6/08 6/09 6/10 6/11 6/12 6/13 6/14 6/15 12/16
ActiveReturn
TrackingError
InformationRatio
R-SquaredSharpeRatio
Alpha Beta ReturnStandardDeviation
ActualCorrelation
Dodge & Cox Large Cap Value 2.16 3.89 0.55 0.90 1.36 0.86 1.09 17.07 12.16 0.95
Russell 1000 Value Index 0.00 0.00 N/A 1.00 1.35 0.00 1.00 14.80 10.61 1.00
Citigroup 3 Month T-Bill -14.34 10.60 -1.35 0.01 N/A 0.09 0.00 0.09 0.03 0.09
Dodge & Cox Large Cap Value Risk Profile
As of December 31, 2016Dodge & Cox Large Cap Value
51
Return Summary
Quarterly Excess Performance Ratio of Cumulative Wealth - Since Inception
Account Information
BlackRock Russell 2000 Growth
Russell 2000 Growth Index
0.0
6.0
12.0
18.0
24.0
Re
turn
1Quarter
2016 FiscalYTD
1Year
3Years
Inception11/1/12
3.6
11.3
13.1
11.3
5.1
13.9
3.7
11.8
13.4
11.8
5.4
16.4
Account Name: BlackRock Russell 2000 Growth
Inception Date: 11/30/2012
Account Structure: Mutual Fund
Asset Class: US Equity
Benchmark: Russell 2000 Growth Index
Peer Group: IM U.S. Small Cap Growth Equity (SA+CF)
Quarterly Out Performance Quarterly Under Performance
0.0%
0.1%
0.2%
0.3%
0.4%
3/13 9/13 3/14 9/14 3/15 9/15 3/16 12/16 BlackRock Russell 2000 Growth
Benchmark
0.95
1.00
1.05
1.10
1.15
10/12 4/13 10/13 4/14 10/14 4/15 10/15 4/16 12/16
1.09
BlackRock Russell 2000 Growth Performance Summary
As of December 31, 2016BlackRock Russell 2000 Growth
52
Return Summary
Quarterly Excess Performance Ratio of Cumulative Wealth - 10 Years
Account Information
DFA Small Cap Value Russell 2000 Value Index
0.0
15.0
30.0
45.0
Re
turn
1Quarter
FiscalYTD
1Year
3Years
5Years
10Years
Inception10/1/95
14.1
24.2
31.7
8.3
15.1
6.3
10.3
15.3
24.6
28.6
7.8
16.8
8.1
13.1
Account Name: DFA Small Cap Value
Inception Date: 10/01/1995
Account Structure: Commingled Fund
Asset Class: US Equity
Benchmark: Russell 2000 Value Index
Peer Group: IM U.S. Small Cap Value Equity (SA+CF)
Quarterly Out Performance Quarterly Under Performance
0.0%
8.0%
16.0%
-8.0 %
-16.0 %
3/07 3/08 3/09 3/10 3/11 3/12 3/13 3/14 3/15 12/16
DFA Small Cap Value Benchmark
0.60
0.80
1.00
1.20
1.40
12/06 12/07 12/08 12/09 12/10 12/11 12/12 12/13 12/14 12/15 12/16
1.19
DFA Small Cap Value Performance Summary
As of December 31, 2016DFA Small Cap Value
53
-40.0
-25.0
-10.0
5.0
20.0
35.0
50.0
65.0
80.0
Re
turn
1Quarter
2016FiscalYTD
1Year
3Years
5Years
10Years
2015 2014 2013
DFA Small Cap Value 15.3 (11) 28.6 (28) 24.6 (12) 28.6 (28) 7.8 (48) 16.8 (17) 8.1 (35) -6.5 (66) 4.3 (52) 42.3 (18)¢
Russell 2000 Value Index 14.1 (24) 31.7 (10) 24.2 (15) 31.7 (10) 8.3 (37) 15.1 (46) 6.3 (81) -7.5 (72) 4.2 (55) 34.5 (71)�
5th Percentile 16.8 35.1 27.4 35.1 11.1 18.2 10.3 0.4 10.1 47.9
1st Quartile 13.9 29.0 22.7 29.0 9.2 15.9 8.5 -2.8 6.9 41.0
Median 11.9 24.9 20.3 24.9 7.7 14.8 7.5 -5.3 4.7 36.7
3rd Quartile 9.3 20.3 16.8 20.3 5.6 13.3 6.4 -8.0 1.4 33.4
95th Percentile 6.0 15.2 11.9 15.2 -0.2 10.3 4.9 -16.0 -7.2 26.3
Population 223 222 223 222 216 205 170 238 249 252
DFA Small Cap Value
Peer Group Analysis
As of December 31, 2016
IM U.S. Small Cap Value Equity (SA+CF)
Parentheses contain percentile rankings.
54
Annualized Return vs. Annualized Standard Deviation5 Years
Rolling 5 Years Standard Deviation
5 Years Historical Statistics
DFA Small Cap Value Russell 2000 Value Index
Citigroup 3 Month T-Bill
-10.0
-5.0
0.0
5.0
10.0
15.0
20.0
25.0
Re
turn
(%)
0.0 3.0 6.0 9.0 12.0 15.0 18.0 21.0Risk (Standard Deviation %)
DFA Small Cap Value Russell 2000 Value Index
0.0
5.0
10.0
15.0
20.0
25.0
30.0
35.0
40.0
9/00 3/02 9/03 3/05 9/06 3/08 9/09 3/11 9/12 3/14 9/15 12/16
ActiveReturn
TrackingError
InformationRatio
R-SquaredSharpeRatio
Alpha Beta ReturnStandardDeviation
ActualCorrelation
DFA Small Cap Value 1.61 2.67 0.60 0.97 1.12 1.19 1.03 16.82 14.87 0.98
Russell 2000 Value Index 0.00 0.00 N/A 1.00 1.06 0.00 1.00 15.07 14.22 1.00
Citigroup 3 Month T-Bill -15.01 14.22 -1.06 0.04 N/A 0.09 0.00 0.09 0.03 0.20
DFA Small Cap Value Risk Profile
As of December 31, 2016DFA Small Cap Value
55
Return Summary
Quarterly Excess Performance Ratio of Cumulative Wealth - Since Inception
Account Information
Fisher Small Cap Value Russell 2000 Value Index
0.0
15.0
30.0
45.0
Re
turn
1Quarter
2016 FiscalYTD
1Year
3Years
5Years
Inception10/1/08
14.1
31.7
24.2
31.7
8.3
15.1
9.710.4
20.5
16.9
20.5
7.6
14.8
11.7
Account Name: Fisher Small Cap Value
Inception Date: 10/01/2008
Account Structure: Separate Account
Asset Class: US Equity
Benchmark: Russell 2000 Value Index
Peer Group: IM U.S. Small Cap Value Equity (SA+CF)
Quarterly Out Performance Quarterly Under Performance
0.0%
5.0%
10.0%
15.0%
-5.0 %
-10.0 %
12/08 9/09 6/10 3/11 12/11 9/12 6/13 3/14 12/14 9/15 12/16
Fisher Small Cap Value Benchmark
0.80
1.00
1.20
1.40
9/08 9/09 9/10 9/11 9/12 9/13 9/14 9/15 12/16
1.16
Fisher Small Cap Value Performance Summary
As of December 31, 2016Fisher Small Cap Value
56
-40.0
-25.0
-10.0
5.0
20.0
35.0
50.0
65.0
80.0
Re
turn
1Quarter
2016FiscalYTD
1Year
3Years
5Years
2015 2014 2013
Fisher Small Cap Value 10.4 (66) 20.5 (73) 16.9 (74) 20.5 (73) 7.6 (52) 14.8 (50) -4.0 (37) 7.7 (17) 38.9 (36)¢
Russell 2000 Value Index 14.1 (24) 31.7 (10) 24.2 (15) 31.7 (10) 8.3 (37) 15.1 (46) -7.5 (72) 4.2 (55) 34.5 (71)�
5th Percentile 16.8 35.1 27.4 35.1 11.1 18.2 0.4 10.1 47.9
1st Quartile 13.9 29.0 22.7 29.0 9.2 15.9 -2.8 6.9 41.0
Median 11.9 24.9 20.3 24.9 7.7 14.8 -5.3 4.7 36.7
3rd Quartile 9.3 20.3 16.8 20.3 5.6 13.3 -8.0 1.4 33.4
95th Percentile 6.0 15.2 11.9 15.2 -0.2 10.3 -16.0 -7.2 26.3
Population 223 222 223 222 216 205 238 249 252
Fisher Small Cap Value
Peer Group Analysis
As of December 31, 2016
IM U.S. Small Cap Value Equity (SA+CF)
Parentheses contain percentile rankings.
57
Annualized Return vs. Annualized Standard Deviation5 Years
Rolling 4 Years Standard Deviation
5 Years Historical Statistics
Fisher Small Cap Value Russell 2000 Value Index
Citigroup 3 Month T-Bill
-8.0
-4.0
0.0
4.0
8.0
12.0
16.0
20.0
24.0
Re
turn
(%)
0.0 3.0 6.0 9.0 12.0 15.0 18.0 21.0Risk (Standard Deviation %)
Fisher Small Cap Value Russell 2000 Value Index
0.0
5.0
10.0
15.0
20.0
25.0
30.0
35.0
40.0
9/12 3/13 9/13 3/14 9/14 3/15 9/15 3/16 12/16
ActiveReturn
TrackingError
InformationRatio
R-SquaredSharpeRatio
Alpha Beta ReturnStandardDeviation
ActualCorrelation
Fisher Small Cap Value -0.31 5.27 -0.06 0.86 1.10 1.58 0.88 14.84 13.41 0.93
Russell 2000 Value Index 0.00 0.00 N/A 1.00 1.06 0.00 1.00 15.07 14.22 1.00
Citigroup 3 Month T-Bill -15.01 14.22 -1.06 0.04 N/A 0.09 0.00 0.09 0.03 0.20
Fisher Small Cap Value Risk Profile
As of December 31, 2016Fisher Small Cap Value
58
Return Summary
Quarterly Excess Performance Ratio of Cumulative Wealth - 10 Years
Account Information
Allianz Convertibles Convertibles Benchmark
0.0
4.0
8.0
12.0
16.0
Re
turn
1Quarter
FiscalYTD
1Year
3Years
5Years
10Years
Inception10/1/95
2.1
8.3
10.4
5.3
10.9
6.4
7.5
1.1
7.4
6.1
3.9
9.5
8.0
10.0
Account Name: Allianz Convertibles
Inception Date: 10/01/1995
Account Structure: Separate Account
Asset Class: US Equity
Benchmark: Convertibles Benchmark
Peer Group: IM U.S. Convertible Bonds (SA+CF)
Quarterly Out Performance Quarterly Under Performance
0.0%
6.0%
12.0%
-6.0 %
-12.0 %
3/07 3/08 3/09 3/10 3/11 3/12 3/13 3/14 3/15 12/16
Allianz Convertibles Benchmark
0.80
1.00
1.20
1.40
12/06 12/07 12/08 12/09 12/10 12/11 12/12 12/13 12/14 12/15 12/16
1.16
Allianz Convertibles Performance Summary
As of December 31, 2016Allianz Convertibles
59
-20.0
-12.0
-4.0
4.0
12.0
20.0
28.0
36.0
44.0
Re
turn
1Quarter
2016FiscalYTD
1Year
3Years
5Years
2015 2014 2013
Allianz Convertibles 1.1 (29) 6.1 (53) 7.4 (25) 6.1 (53) 3.9 (34) 9.5 (24) -1.6 (55) 7.3 (36) 25.7 (13)¢
Convertibles Benchmark 2.1 (10) 10.4 (21) 8.3 (19) 10.4 (21) 5.3 (15) 10.9 (1) -3.2 (64) 9.4 (11) 24.9 (20)�
5th Percentile 2.5 12.7 10.6 12.7 5.8 10.4 1.9 12.6 26.3
1st Quartile 1.5 9.8 7.4 9.8 4.8 9.3 -0.2 7.7 24.2
Median 0.7 6.2 5.8 6.2 3.1 8.7 -1.4 6.2 20.9
3rd Quartile 0.3 5.0 4.0 5.0 2.4 6.8 -5.0 4.4 18.7
95th Percentile -1.4 1.5 2.7 1.5 1.0 5.1 -7.9 1.7 14.4
Population 21 21 21 21 18 17 21 19 19
Allianz Convertibles
Peer Group Analysis
As of December 31, 2016
IM Convertible Bonds (MF)
Parentheses contain percentile rankings.
60
Annualized Return vs. Annualized Standard Deviation5 Years
Rolling 5 Years Standard Deviation
5 Years Historical Statistics
Allianz Convertibles Convertibles Benchmark
Citigroup 3 Month T-Bill
-6.0
-3.0
0.0
3.0
6.0
9.0
12.0
15.0
Re
turn
(%)
0.0 2.0 4.0 6.0 8.0 10.0 12.0 14.0Risk (Standard Deviation %)
Allianz Convertibles Convertibles Benchmark
0.0
4.0
8.0
12.0
16.0
20.0
24.0
28.0
9/00 3/02 9/03 3/05 9/06 3/08 9/09 3/11 9/12 3/14 9/15 12/16
ActiveReturn
TrackingError
InformationRatio
R-SquaredSharpeRatio
Alpha Beta ReturnStandardDeviation
ActualCorrelation
Allianz Convertibles -1.25 1.96 -0.64 0.95 1.05 -1.64 1.04 9.51 9.00 0.98
Convertibles Benchmark 0.00 0.00 N/A 1.00 1.26 0.00 1.00 10.92 8.47 1.00
Citigroup 3 Month T-Bill -10.67 8.47 -1.26 0.00 N/A 0.09 0.00 0.09 0.03 0.05
Allianz Convertibles Risk Profile
As of December 31, 2016Allianz Convertibles
61
(This Page Left Blank Intentionally)
Writeup
62
Total Non-U.S. Equity
63
Return Summary
Quarterly Excess Performance Ratio of Cumulative Wealth - 10 Years
Current Allocation
Total Non-U.S. Equity Non-U.S. Equity Benchmark
0.0
5.0
10.0
15.0
-5.0
-10.0
Re
turn
1Quarter
FiscalYTD
1Year
3Years
5Years
10Years
Inception4/1/95
-1.7
5.34.8
-1.5
5.3
1.2
5.2
-2.0
4.7 4.5
-1.2
5.8
0.3
7.2
December 31, 2016 : $1,160M
Copper Rock International Small Cap:4.2%Aberdeen:10.6%
Neuberger Berman:5.6%
Brandes International Value:14.2%
GMO International Small Cap:5.2%BlackRock MSCI ACW ex-U.S.:60.2%
Total Non-U.S. Equity Benchmark
0.84
0.90
0.96
1.02
1.08
12/06 12/07 12/08 12/09 12/10 12/11 12/12 12/13 12/14 12/15 12/16
0.91
Quarterly Out Performance Quarterly Under Performance
0.0%
5.0%
10.0%
-5.0 %
-10.0 %
-15.0 %
3/07 3/08 3/09 3/10 3/11 3/12 3/13 3/14 3/15 12/16
Total Non-U.S. Equity Portfolio Overview
As of December 31, 2016Total Non-U.S. Equity
64
-20.0
-12.0
-4.0
4.0
12.0
20.0
28.0
36.0
Re
turn
1Quarter
2016FiscalYTD
1Year
3Years
5Years
10Years
2015 2014 2013
Total Non-U.S. Equity -2.0 (44) 4.5 (31) 4.7 (41) 4.5 (31) -1.2 (51) 5.8 (61) 0.3 (95) -3.8 (69) -4.0 (67) 17.0 (72)¢
Non-U.S. Equity Benchmark -1.7 (37) 4.8 (25) 5.3 (24) 4.8 (25) -1.5 (64) 5.3 (72) 1.2 (66) -5.2 (85) -3.7 (64) 15.8 (79)�
5th Percentile 0.3 8.1 8.0 8.1 1.1 8.9 2.9 0.7 0.1 24.5
1st Quartile -1.4 4.8 5.2 4.8 -0.6 7.0 2.0 -1.4 -1.9 19.8
Median -2.3 3.4 4.4 3.4 -1.2 6.3 1.3 -3.0 -3.5 18.1
3rd Quartile -3.1 1.8 3.3 1.8 -1.8 5.2 0.9 -4.4 -4.3 16.7
95th Percentile -5.9 -1.3 0.6 -1.3 -2.6 4.2 0.3 -7.1 -5.4 12.1
Population 101 96 101 96 85 72 36 85 47 44
Total Non-U.S. Equity
Plan Sponsor Peer Group Analysis
As of December 31, 2016
All Public Plans-Intl. Equity Segment
Parentheses contain percentile rankings.
65
Annualized Return vs. Annualized Standard Deviation5 Years
Rolling 5 Years Standard Deviation
5 Years Historical Statistics
Total Non-U.S. Equity Non-U.S. Equity Benchmark
Citigroup 3 Month T-Bill
-4.0
-2.0
0.0
2.0
4.0
6.0
8.0
10.0
Re
turn
(%)
0.0 3.0 6.0 9.0 12.0 15.0 18.0Risk (Standard Deviation %)
Total Non-U.S. Equity Non-U.S. Equity Benchmark
0.0
5.0
10.0
15.0
20.0
25.0
30.0
35.0
3/00 12/01 9/03 6/05 3/07 12/08 9/10 6/12 3/14 12/16
ActiveReturn
TrackingError
InformationRatio
R-SquaredSharpeRatio
Alpha Beta ReturnStandardDeviation
ActualCorrelation
Total Non-U.S. Equity 0.42 0.90 0.47 0.99 0.53 0.54 0.98 5.80 11.87 1.00
Non-U.S. Equity Benchmark 0.00 0.00 N/A 1.00 0.48 0.00 1.00 5.33 12.07 1.00
Citigroup 3 Month T-Bill -5.83 12.07 -0.48 0.00 N/A 0.09 0.00 0.09 0.05 -0.04
Total Non-U.S. Equity Risk Profile
As of December 31, 2016Total Non-U.S. Equity
66
1 Quarter
0 15 30 45 60 75-15-30-45-60
Copper Rock International Small Cap
Non-U.S. Equity Manager Cash Overlay
Neuberger Berman
Aberdeen
GMO International Small Cap
Brandes International Value
BlackRock MSCI ACW ex-U.S. IMI Index Fund
Benchmark Effect
Cash Flow Effect
Total Excess Return
-17
-2
-10
-14
4
37
1
-29
1
-31
1 Year
0 10 20 30 40 50-10-20-30-40-50-60-70
Copper Rock International Small Cap
Non-U.S. Equity Manager Cash Overlay
Neuberger Berman
Aberdeen
GMO International Small Cap
Brandes International Value
BlackRock MSCI ACW ex-U.S. IMI Index Fund
Benchmark Effect
Cash Flow Effect
Total Excess Return
-29
2
-9
7
-39
20
9
9
-1
-31
Total Non-U.S. Equity
Asset Class Attribution
As of December 31, 2016
Note: The Attribution Chart shown above includes the impact of the cash held in the Non-U.S. Equity managers' accounts that was overlaid by the CliftonGroup.
67
(This Page Left Blank Intentionally)
Writeup
68
Return Summary
Quarterly Excess Performance Ratio of Cumulative Wealth - Since Inception
Account Information
BlackRock MSCI ACW ex-U.S.
MSCI AC World ex USA IMI (Net)
0.0
4.0
8.0
12.0
-4.0
-8.0
Re
turn
1Quarter
2016 FiscalYTD
1Year
3Years
5Years
Inception3/1/11
-1.6
4.45.4
4.4
-1.4
5.3
1.3
-1.6
4.65.4
4.6
-1.3
5.5
1.4
Account Name: BlackRock MSCI ACW ex-U.S.
Inception Date: 03/01/2011
Account Structure: Commingled Fund
Asset Class: International Equity
Benchmark: MSCI AC World ex USA IMI (Net)
Peer Group: IM International Equity (SA+CF)
Quarterly Out Performance Quarterly Under Performance
0.0%
0.2%
0.4%
-0.2 %
-0.4 %
6/11 3/12 12/12 9/13 6/14 3/15 12/15 12/16 BlackRock MSCI ACW ex-U.S.
Benchmark
0.99
1.00
1.01
1.02
2/11 11/11 8/12 5/13 2/14 11/14 8/15 5/16 12/16
1.01
BlackRock MSCI ACW ex-U.S. Performance Summary
As of December 31, 2016BlackRock MSCI ACW ex-U.S.
69
Return Summary
Quarterly Excess Performance Ratio of Cumulative Wealth - 10 Years
Account Information
Brandes International Value Performance Benchmark
0.0
5.0
10.0
15.0
-5.0
-10.0
Re
turn
1Quarter
FiscalYTD
1Year
3Years
5Years
10Years
Inception4/1/95
-0.7
5.7
1.0
-1.6
6.5
1.9
5.3
2.1
8.3
2.4
0.6
8.4
1.8
9.4
Account Name: Brandes International Value
Inception Date: 01/01/1991
Account Structure: Separate Account
Asset Class: International Equity
Benchmark: Performance Benchmark
Peer Group: IM International Equity (SA+CF)
Quarterly Out Performance Quarterly Under Performance
0.0%
8.0%
16.0%
-8.0 %
-16.0 %
3/07 3/08 3/09 3/10 3/11 3/12 3/13 3/14 3/15 12/16
Brandes International Value Benchmark
0.60
0.80
1.00
1.20
12/06 12/07 12/08 12/09 12/10 12/11 12/12 12/13 12/14 12/15 12/16
0.99
Brandes International Value Performance Summary
As of December 31, 2016Brandes International Value
70
-40.0
-25.0
-10.0
5.0
20.0
35.0
50.0
65.0
Re
turn
1Quarter
2016FiscalYTD
1Year
3Years
5Years
10Years
2015 2014 2013
Brandes International Value 2.1 (8) 2.4 (54) 8.3 (15) 2.4 (54) 0.6 (26) 8.4 (27) 1.8 (54) 3.6 (22) -3.9 (56) 31.6 (10)¢
Performance Benchmark -0.7 (26) 1.0 (63) 5.7 (34) 1.0 (63) -1.6 (56) 6.5 (47) 1.9 (53) -0.8 (44) -4.9 (66) 22.8 (37)�
5th Percentile 2.8 15.6 11.9 15.6 5.7 13.5 6.0 14.1 8.4 35.9
1st Quartile -0.7 7.8 6.7 7.8 0.6 8.5 3.4 2.7 0.2 25.7
Median -3.1 2.9 3.9 2.9 -1.2 6.3 1.9 -2.2 -3.4 19.2
3rd Quartile -5.3 -0.7 1.0 -0.7 -2.7 4.2 0.9 -9.9 -5.9 4.7
95th Percentile -8.4 -5.6 -2.8 -5.6 -4.8 0.6 -0.3 -17.6 -10.5 -4.8
Population 980 970 977 970 917 810 572 1,113 1,141 1,148
Brandes International Value
Peer Group Analysis
As of December 31, 2016
IM International Equity (SA+CF)
Parentheses contain percentile rankings.
71
Annualized Return vs. Annualized Standard Deviation5 Years
Rolling 4 Years Standard Deviation
5 Years Historical Statistics
Brandes International Value Performance Benchmark
Citigroup 3 Month T-Bill
-6.0
-3.0
0.0
3.0
6.0
9.0
12.0
15.0
Re
turn
(%)
0.0 3.0 6.0 9.0 12.0 15.0 18.0 21.0Risk (Standard Deviation %)
Brandes International Value Performance Benchmark
0.0
5.0
10.0
15.0
20.0
25.0
30.0
35.0
40.0
3/99 12/00 9/02 6/04 3/06 12/07 9/09 6/11 3/13 12/14 12/16
ActiveReturn
TrackingError
InformationRatio
R-SquaredSharpeRatio
Alpha Beta ReturnStandardDeviation
ActualCorrelation
Brandes International Value 1.81 3.81 0.47 0.92 0.65 1.94 0.98 8.43 13.84 0.96
Performance Benchmark 0.00 0.00 N/A 1.00 0.53 0.00 1.00 6.53 13.51 1.00
Citigroup 3 Month T-Bill -7.16 13.51 -0.53 0.00 N/A 0.09 0.00 0.09 0.03 0.02
Brandes International Value Risk Profile
As of December 31, 2016Brandes International Value
72
Return Summary
Quarterly Excess Performance Ratio of Cumulative Wealth - 10 Years
Account Information
GMO International Small Cap
Non-U.S. Small Cap Benchmark
0.0
6.0
12.0
18.0
-6.0
-12.0
Re
turn
1Quarter
FiscalYTD
1Year
3Years
5Years
10Years
Inception7/1/02
-3.1
4.63.8
2.0
9.7
3.0
9.3
-2.4
5.4
0.0-1.6
8.4
3.2
10.0
Account Name: GMO International Small Cap
Inception Date: 07/01/2002
Account Structure: Commingled Fund
Asset Class: International Equity
Benchmark: Non-U.S. Small Cap Benchmark
Peer Group: IM International Small Cap Equity (SA+CF)
Quarterly Out Performance Quarterly Under Performance
0.0%
3.0%
6.0%
-3.0 %
-6.0 %
3/07 3/08 3/09 3/10 3/11 3/12 3/13 3/14 3/15 12/16
GMO International Small Cap Benchmark
0.91
0.98
1.05
1.12
1.19
1.26
12/06 12/07 12/08 12/09 12/10 12/11 12/12 12/13 12/14 12/15 12/16
1.02
GMO International Small Cap Performance Summary
As of December 31, 2016GMO International Small Cap
73
-40.0
-25.0
-10.0
5.0
20.0
35.0
50.0
65.0
Re
turn
1Quarter
2016FiscalYTD
1Year
3Years
5Years
10Years
2015 2014 2013
GMO International Small Cap -2.4 (31) 0.0 (52) 5.4 (37) 0.0 (52) -1.6 (90) 8.4 (80) 3.2 (62) 6.2 (66) -10.1 (94) 28.2 (61)¢
Non-U.S. Small Cap Benchmark -3.1 (38) 3.8 (29) 4.6 (43) 3.8 (29) 2.0 (42) 9.7 (65) 3.0 (70) 5.9 (66) -3.4 (38) 26.1 (75)�
5th Percentile 1.7 9.7 12.0 9.7 6.0 14.1 6.5 19.8 1.6 39.9
1st Quartile -1.9 5.1 6.8 5.1 3.0 12.2 4.9 12.8 -2.4 34.1
Median -4.0 0.1 4.0 0.1 1.4 10.5 3.8 9.4 -4.3 29.9
3rd Quartile -5.7 -2.2 0.6 -2.2 -0.2 8.9 2.6 4.6 -6.9 25.1
95th Percentile -8.2 -5.6 -1.8 -5.6 -2.6 6.7 -0.2 -0.9 -11.1 20.1
Population 105 102 105 102 91 80 58 112 106 105
GMO International Small Cap
Peer Group Analysis
As of December 31, 2016
IM International Small Cap Equity (SA+CF)
Parentheses contain percentile rankings.
74
Annualized Return vs. Annualized Standard Deviation5 Years
Rolling 5 Years Standard Deviation
5 Years Historical Statistics
GMO International Small Cap
Non-U.S. Small Cap Benchmark
Citigroup 3 Month T-Bill
-6.0
-3.0
0.0
3.0
6.0
9.0
12.0
15.0
Re
turn
(%)
0.0 3.0 6.0 9.0 12.0 15.0 18.0 21.0Risk (Standard Deviation %)
GMO International Small Cap
Non-U.S. Small Cap Benchmark
0.0
6.0
12.0
18.0
24.0
30.0
36.0
6/07 6/08 6/09 6/10 6/11 6/12 6/13 6/14 6/15 12/16
ActiveReturn
TrackingError
InformationRatio
R-SquaredSharpeRatio
Alpha Beta ReturnStandardDeviation
ActualCorrelation
GMO International Small Cap -1.20 3.03 -0.40 0.95 0.69 -0.57 0.94 8.44 12.77 0.97
Non-U.S. Small Cap Benchmark 0.00 0.00 N/A 1.00 0.76 0.00 1.00 9.67 13.27 1.00
Citigroup 3 Month T-Bill -10.04 13.27 -0.76 0.00 N/A 0.09 0.00 0.09 0.03 -0.01
GMO International Small Cap Risk Profile
As of December 31, 2016GMO International Small Cap
75
Return Summary
Quarterly Excess Performance Ratio of Cumulative Wealth - Since Inception
Account Information
Copper Rock International Small Cap
Non-U.S. Small Cap Benchmark
0.0
6.0
12.0
-6.0
-12.0
Re
turn
1Quarter
FYTD Inception4/1/16
-3.1
4.63.2
-7.2
-1.1
-3.4
Account Name: Copper Rock International Small Cap
Inception Date: 04/01/2016
Account Structure: Separate Account
Asset Class: International Equity
Benchmark: Non-U.S. Small Cap Benchmark
Peer Group: IM International Small Cap Equity (SA+CF)
Monthly Out Performance Monthly Under Performance
-6.0 %
-4.0 %
-2.0 %
0.0%
6/16 9/16 12/16 Copper Rock International Small Cap
Benchmark
0.92
0.96
1.00
1.04
3/16 4/16 5/16 6/16 7/16 8/16 9/16 10/16 11/16 12/16
0.94
Copper Rock International Small Cap Performance Summary
As of December 31, 2016Copper Rock International Small Cap
76
Return Summary
Quarterly Excess Performance Ratio of Cumulative Wealth - Since Inception
Account Information
Aberdeen
MSCI Emerging Markets Index (Net)
0.0
8.0
16.0
24.0
-8.0
-16.0
Re
turn
1Quarter
FiscalYTD
2016 1Year
3Years
5Years
Inception1/1/10
-4.2
4.5
11.2 11.2
-2.6
1.30.5
-5.4
-0.1
12.3 12.3
-1.7
2.13.5
Account Name: Aberdeen
Inception Date: 01/01/2010
Account Structure: Commingled Fund
Asset Class: International Equity
Benchmark: MSCI Emerging Markets Index (Net)
Peer Group: IM Emerging Markets Equity (SA+CF)
Quarterly Out Performance Quarterly Under Performance
0.0%
4.0%
8.0%
12.0%
-4.0 %
-8.0 %
3/12 9/12 3/13 9/13 3/14 9/14 3/15 9/15 3/16 12/16
Aberdeen Benchmark
0.80
1.00
1.20
1.40
12/09 9/10 6/11 3/12 12/12 9/13 6/14 3/15 12/15 12/16
1.23
Aberdeen Performance Summary
As of December 31, 2016Aberdeen
77
-40.0
-30.0
-20.0
-10.0
0.0
10.0
20.0
30.0
40.0
Re
turn
1Quarter
2016FiscalYTD
1Year
3Years
5Years
2015 2014 2013
Aberdeen -5.4 (62) 12.3 (27) -0.1 (78) 12.3 (27) -1.7 (36) 2.1 (56) -13.8 (52) -1.9 (59) -6.7 (92)¢
MSCI Emerging Markets Index (Net) -4.2 (42) 11.2 (35) 4.5 (35) 11.2 (35) -2.6 (55) 1.3 (70) -14.9 (59) -2.2 (63) -2.6 (69)�
5th Percentile 0.5 21.6 9.4 21.6 1.8 9.7 -4.8 7.8 20.4
1st Quartile -2.9 12.5 5.6 12.5 -0.9 3.8 -10.3 2.1 4.3
Median -4.6 9.0 3.1 9.0 -2.4 2.3 -13.7 -1.2 -0.2
3rd Quartile -6.7 5.3 0.1 5.3 -3.5 1.0 -16.2 -3.5 -3.5
95th Percentile -9.8 -1.7 -5.0 -1.7 -5.5 -0.8 -19.7 -9.1 -8.2
Population 268 267 267 267 248 191 302 306 296
Aberdeen
Peer Group Analysis
As of December 31, 2016
IM Emerging Markets Equity (SA+CF)
Parentheses contain percentile rankings.
78
Return Summary
Quarterly Excess Performance Ratio of Cumulative Wealth - Since Inception
Account Information
Neuberger Berman
MSCI Emerging Markets Index (Net)
0.0
8.0
16.0
24.0
-8.0
-16.0
Re
turn
1Quarter
2016 FiscalYTD
1Year
Inception3/1/14
-4.2
11.2
4.5
11.2
-1.5
-5.9
9.6
2.3
9.6
-0.7
Account Name: Neuberger Berman
Inception Date: 03/01/2014
Account Structure: Mutual Fund
Asset Class: US Equity
Benchmark: MSCI Emerging Markets Index (Net)
Peer Group: IM Emerging Markets Equity (SA+CF)
Monthly Out Performance Monthly Under Performance
0.0%
4.0%
8.0%
-4.0 %
-8.0 %
3/14 9/14 3/15 9/15 3/16 9/16 12/16
Neuberger Berman Benchmark
0.90
0.95
1.00
1.05
1.10
2/14 8/14 2/15 8/15 2/16 8/16 12/16
1.02
Neuberger Berman Performance Summary
As of December 31, 2016Neuberger Berman
79
-40.0
-30.0
-20.0
-10.0
0.0
10.0
20.0
30.0
40.0
Re
turn
1Quarter
2016FiscalYTD
1Year
2015
Neuberger Berman -5.9 (67) 9.6 (47) 2.3 (57) 9.6 (47) -11.3 (32)¢
MSCI Emerging Markets Index (Net) -4.2 (42) 11.2 (35) 4.5 (35) 11.2 (35) -14.9 (59)�
5th Percentile 0.5 21.6 9.4 21.6 -4.8
1st Quartile -2.9 12.5 5.6 12.5 -10.3
Median -4.6 9.0 3.1 9.0 -13.7
3rd Quartile -6.7 5.3 0.1 5.3 -16.2
95th Percentile -9.8 -1.7 -5.0 -1.7 -19.7
Population 268 267 267 267 302
Neuberger Berman
Peer Group Analysis
As of December 31, 2016
IM Emerging Markets Equity (SA+CF)
Parentheses contain percentile rankings.
80
Total Global Equity
81
Return Summary
Quarterly Excess Performance Ratio of Cumulative Wealth - Since Inception
Current Allocation
Total Global Equity MSCI AC World Index (Net)
0.0
5.0
10.0
15.0
20.0
-5.0
Re
turn
1Quarter
2016 FiscalYTD
1Year
3Years
Inception6/1/12
1.2
7.9
6.6
7.9
3.1
10.1
-0.6
6.7
3.8
6.7
1.7
8.6
December 31, 2016 : $343M
GMO Global Equity Allocation:49.0%Walter Scott Global Equity:51.0%
Total Global Equity Benchmark
0.92
0.96
1.00
1.04
6/12 12/12 6/13 12/13 6/14 12/14 6/15 12/15 6/16 12/16
0.94
Quarterly Out Performance Quarterly Under Performance
0.0%
2.0%
4.0%
-2.0 %
-4.0 %
9/12 3/13 9/13 3/14 9/14 3/15 9/15 3/16 12/16
Total Global Equity Portfolio Overview
As of December 31, 2016Total Global Equity
82
1 Quarter
-260 -240 -220 -200 -180 -160 -140 -120 -100 -80 -60 -40 -20 0
Walter Scott Global Equity
GMO Global Equity Allocation
Benchmark Effect
Cash Flow Effect
Total Excess Return
-122
-57
0
0
-179
1 Year
0 20 40 60-20-40-60-80-100-120-140-160-180
Walter Scott Global Equity
GMO Global Equity Allocation
Benchmark Effect
Cash Flow Effect
Total Excess Return
-117
5
0
0
-112
Total Global Equity
Asset Class Attribution
As of December 31, 2016
83
(This Page Left Blank Intentionally)
Writeup
84
Return Summary
Quarterly Excess Performance Ratio of Cumulative Wealth - Since Inception
Account Information
GMO Global Equity Allocation
MSCI AC World Index (Net)
0.0
4.0
8.0
12.0
16.0
Re
turn
1Quarter
2016 FiscalYTD
1Year
3Years
Inception6/1/12
1.2
7.9
6.6
7.9
3.1
10.1
0.0
8.0
5.6
8.0
0.3
7.7
Account Name: GMO Global Equity Allocation
Inception Date: 06/01/2012
Account Structure: Commingled Fund
Asset Class: Global Equity
Benchmark: MSCI AC World Index (Net)
Peer Group: IM Global Equity (SA+CF)
Quarterly Out Performance Quarterly Under Performance
0.0%
3.0%
6.0%
-3.0 %
-6.0 %
9/12 3/13 9/13 3/14 9/14 3/15 9/15 3/16 12/16
GMO Global Equity Allocation Benchmark
0.85
0.90
0.95
1.00
1.05
5/12 11/12 5/13 11/13 5/14 11/14 5/15 11/15 5/16 12/16
0.90
GMO Global Equity Allocation Performance Summary
As of December 31, 2016GMO Global Equity Allocation
85
-40.0
-25.0
-10.0
5.0
20.0
35.0
50.0
65.0
Re
turn
1Quarter
2016FiscalYTD
1Year
3Years
2015 2014 2013
GMO Global Equity Allocation 0.0 (53) 8.0 (35) 5.6 (47) 8.0 (35) 0.3 (87) -5.8 (83) -0.9 (84) 21.0 (76)¢
MSCI AC World Index (Net) 1.2 (40) 7.9 (36) 6.6 (39) 7.9 (36) 3.1 (49) -2.4 (66) 4.2 (43) 22.8 (70)�
5th Percentile 6.0 19.7 13.9 19.7 7.9 9.7 13.2 40.6
1st Quartile 2.6 8.9 8.7 8.9 4.7 2.8 6.5 31.2
Median 0.3 6.2 5.1 6.2 3.1 -0.6 3.6 26.6
3rd Quartile -2.3 2.8 2.2 2.8 1.5 -4.0 0.9 21.1
95th Percentile -5.7 -2.3 -3.3 -2.3 -2.2 -16.0 -7.6 9.3
Population 471 466 470 466 429 523 530 542
GMO Global Equity Allocation
Peer Group Analysis
As of December 31, 2016
IM Global Equity (SA+CF)
Parentheses contain percentile rankings.
86
Return Summary
Quarterly Excess Performance Ratio of Cumulative Wealth - Since Inception
Account Information
Walter Scott Global Equity MSCI AC World Index (Net)
0.0
6.0
12.0
18.0
-6.0
Re
turn
1Quarter
2016 FiscalYTD
1Year
3Years
Inception6/1/12
1.2
7.9
6.6
7.9
3.1
10.1
-1.2
5.6
2.1
5.6
3.1
9.5
Account Name: Walter Scott Global Equity
Inception Date: 06/01/2012
Account Structure: Separate Account
Asset Class: Global Equity
Benchmark: MSCI AC World Index (Net)
Peer Group: IM Global Equity (SA+CF)
Quarterly Out Performance Quarterly Under Performance
0.0%
3.0%
6.0%
-3.0 %
-6.0 %
9/12 3/13 9/13 3/14 9/14 3/15 9/15 3/16 12/16
Walter Scott Global Equity Benchmark
0.96
1.00
1.04
1.08
5/12 11/12 5/13 11/13 5/14 11/14 5/15 11/15 5/16 12/16
0.98
Walter Scott Global Equity Performance Summary
As of December 31, 2016Walter Scott Global Equity
87
-40.0
-25.0
-10.0
5.0
20.0
35.0
50.0
65.0
Re
turn
1Quarter
2016FiscalYTD
1Year
3Years
2015 2014 2013
Walter Scott Global Equity -1.2 (63) 5.6 (54) 2.1 (76) 5.6 (54) 3.1 (49) 1.1 (36) 2.8 (58) 19.7 (81)¢
MSCI AC World Index (Net) 1.2 (40) 7.9 (36) 6.6 (39) 7.9 (36) 3.1 (49) -2.4 (66) 4.2 (43) 22.8 (70)�
5th Percentile 6.0 19.7 13.9 19.7 7.9 9.7 13.2 40.6
1st Quartile 2.6 8.9 8.7 8.9 4.7 2.8 6.5 31.2
Median 0.3 6.2 5.1 6.2 3.1 -0.6 3.6 26.6
3rd Quartile -2.3 2.8 2.2 2.8 1.5 -4.0 0.9 21.1
95th Percentile -5.7 -2.3 -3.3 -2.3 -2.2 -16.0 -7.6 9.3
Population 471 466 470 466 429 523 530 542
Walter Scott Global Equity
Peer Group Analysis
As of December 31, 2016
IM Global Equity (SA+CF)
Parentheses contain percentile rankings.
88
Total U.S. Fixed Income
89
Return Summary
Quarterly Excess Performance Ratio of Cumulative Wealth - 10 Years
Current Allocation
Total U.S. Fixed Income
U.S. Fixed Income Benchmark
0.0
4.0
8.0
12.0
-4.0
-8.0
Re
turn
1Quarter
FiscalYTD
1Year
3Years
5Years
10Years
Inception4/1/89
-2.0 -1.7
2.02.4
1.9
3.8
5.6
-1.9-1.3
2.2 2.1 2.3
4.9
6.7
December 31, 2016 : $1,526M
BlackRock Intermediate Aggregate:46.2%
PIMCO:23.7%
Metropolitan West:30.1%
Total U.S. Fixed Income Benchmark
0.96
1.04
1.12
1.20
12/06 12/07 12/08 12/09 12/10 12/11 12/12 12/13 12/14 12/15 12/16
1.11
Quarterly Out Performance Quarterly Under Performance
0.0%
3.0%
6.0%
9.0%
-3.0 %
-6.0 %
3/07 3/08 3/09 3/10 3/11 3/12 3/13 3/14 3/15 12/16
Total U.S. Fixed Income Portfolio Overview
As of December 31, 2016Total U.S. Fixed Income
90
-10.0
-7.0
-4.0
-1.0
2.0
5.0
8.0
11.0
14.0
Re
turn
1Quarter
2016FiscalYTD
1Year
3Years
5Years
10Years
2015 2014 2013
Total U.S. Fixed Income -1.9 (41) 2.2 (86) -1.3 (55) 2.2 (86) 2.1 (88) 2.3 (69) 4.9 (32) 0.8 (20) 3.3 (92) -1.6 (50)¢
U.S. Fixed Income Benchmark -2.0 (47) 2.0 (88) -1.7 (66) 2.0 (88) 2.4 (81) 1.9 (79) 3.8 (81) 1.2 (7) 4.1 (85) -1.8 (64)�
5th Percentile -0.3 8.2 2.0 8.2 5.4 6.5 6.8 1.4 8.8 2.1
1st Quartile -1.4 6.1 0.1 6.1 4.0 4.0 5.1 0.6 7.0 -0.2
Median -2.1 4.3 -1.0 4.3 3.2 2.9 4.6 0.1 5.8 -1.6
3rd Quartile -3.0 2.8 -2.1 2.8 2.5 2.0 4.1 -0.6 5.0 -2.3
95th Percentile -4.0 0.9 -4.2 0.9 1.3 1.2 3.0 -2.8 2.4 -4.1
Population 101 96 100 96 88 77 39 80 49 49
Total U.S. Fixed Income
Plan Sponsor Peer Group Analysis
As of December 31, 2016
All Public Plans-US Fixed Income Segment
Parentheses contain percentile rankings.
91
Annualized Return vs. Annualized Standard Deviation5 Years
Rolling 5 Years Standard Deviation
5 Years Historical Statistics
Total U.S. Fixed Income
U.S. Fixed Income Benchmark
Citigroup 3 Month T-Bill
-1.6
-0.8
0.0
0.8
1.6
2.4
3.2
Re
turn
(%)
0.0 0.5 1.0 1.5 2.0 2.5 3.0 3.5 4.0Risk (Standard Deviation %)
Total U.S. Fixed Income U.S. Fixed Income Benchmark
0.0
1.0
2.0
3.0
4.0
5.0
6.0
7.0
8.0
3/94 6/96 9/98 12/00 3/03 6/05 9/07 12/09 3/12 6/14 12/16
ActiveReturn
TrackingError
InformationRatio
R-SquaredSharpeRatio
Alpha Beta ReturnStandardDeviation
ActualCorrelation
Total U.S. Fixed Income 0.38 0.82 0.46 0.90 0.86 0.42 0.98 2.29 2.56 0.95
U.S. Fixed Income Benchmark 0.00 0.00 N/A 1.00 0.74 0.00 1.00 1.91 2.47 1.00
Citigroup 3 Month T-Bill -1.83 2.48 -0.74 0.01 N/A 0.10 0.00 0.09 0.05 -0.11
Total U.S. Fixed Income Risk Profile
As of December 31, 2016Total U.S. Fixed Income
92
1 Quarter
0 3 6 9 12 15 18 21 24-3-6-9-12
BlackRock Intermediate Aggregate
PIMCO
Metropolitan West
Benchmark Effect
Cash Flow Effect
Total Excess Return
-3
3
13
0
3
16
1 Year
0 4 8 12 16 20 24 28 32-4-8-12-16-20
BlackRock Intermediate Aggregate
PIMCO
Metropolitan West
Benchmark Effect
Cash Flow Effect
Total Excess Return
-8
18
-2
0
9
18
Total U.S. Fixed Income
Asset Class Attribution
As of December 31, 2016
93
(This Page Left Blank Intentionally)
Writeup
94
Return Summary
Quarterly Excess Performance Ratio of Cumulative Wealth - 10 Years
Account Information
Metropolitan West
Barclays Intermediate Aggregate Bond Index
0.0
4.0
8.0
12.0
-4.0
-8.0
Re
turn
1Quarter
FiscalYTD
1Year
3Years
5Years
10Years
Inception7/1/01
-2.0 -1.7
2.02.4
1.9
4.24.6
-1.6-1.1
2.0 2.02.4
5.4 5.4
Account Name: Metropolitan West
Inception Date: 07/01/2001
Account Structure: Separate Account
Asset Class: US Fixed Income
Benchmark: Barclays Intermediate Aggregate Bond Index
Peer Group: IM U.S. Fixed Income (SA+CF)
Quarterly Out Performance Quarterly Under Performance
0.0%
8.0%
16.0%
-8.0 %
-16.0 %
3/07 3/08 3/09 3/10 3/11 3/12 3/13 3/14 3/15 12/16
Metropolitan West Benchmark
0.60
0.80
1.00
1.20
1.40
12/06 12/07 12/08 12/09 12/10 12/11 12/12 12/13 12/14 12/15 12/16
1.13
Metropolitan West Performance Summary
As of December 31, 2016Metropolitan West
95
-22.0
-16.0
-10.0
-4.0
2.0
8.0
14.0
20.0
26.0
32.0
Re
turn
1Quarter
2016FiscalYTD
1Year
3Years
5Years
10Years
2015 2014 2013
Metropolitan West -1.6 (46) 2.0 (70) -1.1 (52) 2.0 (70) 2.0 (74) 2.4 (58) 5.4 (28) 0.7 (37) 3.3 (60) -0.4 (49)¢
Barclays Intermediate Aggregate Bond Index -2.0 (56) 2.0 (70) -1.7 (65) 2.0 (70) 2.4 (65) 1.9 (72) 4.2 (60) 1.2 (20) 4.1 (51) -1.8 (76)�
5th Percentile 2.3 14.9 7.3 14.9 7.2 7.8 7.6 2.7 17.3 9.2
1st Quartile 0.1 7.2 1.0 7.2 4.2 4.9 5.6 1.0 6.4 1.5
Median -1.9 3.3 -1.1 3.3 3.0 2.9 4.4 0.4 4.1 -0.5
3rd Quartile -2.8 1.7 -2.2 1.7 1.9 1.8 3.6 -1.2 1.9 -1.8
95th Percentile -6.5 0.2 -4.9 0.2 0.5 0.5 1.9 -4.6 0.3 -7.9
Population 1,343 1,336 1,339 1,336 1,297 1,238 970 1,438 1,505 1,547
Metropolitan West
Peer Group Analysis
As of December 31, 2016
IM U.S. Fixed Income (SA+CF)
Parentheses contain percentile rankings.
96
Annualized Return vs. Annualized Standard Deviation5 Years
Rolling 5 Years Standard Deviation
5 Years Historical Statistics
Metropolitan West
Barclays Intermediate Aggregate Bond Index
Citigroup 3 Month T-Bill
-1.6
-0.8
0.0
0.8
1.6
2.4
3.2
4.0
Re
turn
(%)
0.0 0.5 1.0 1.5 2.0 2.5 3.0 3.5Risk (Standard Deviation %)
Metropolitan West
Barclays Intermediate Aggregate Bond Index
0.0
2.0
4.0
6.0
8.0
10.0
6/06 6/07 6/08 6/09 6/10 6/11 6/12 6/13 6/14 6/15 12/16
ActiveReturn
TrackingError
InformationRatio
R-SquaredSharpeRatio
Alpha Beta ReturnStandardDeviation
ActualCorrelation
Metropolitan West 0.52 0.82 0.63 0.90 1.19 0.94 0.78 2.45 1.97 0.95
Barclays Intermediate Aggregate Bond Index 0.00 0.00 N/A 1.00 0.77 0.00 1.00 1.91 2.39 1.00
Citigroup 3 Month T-Bill -1.83 2.39 -0.77 0.00 N/A 0.09 0.00 0.09 0.03 -0.07
Metropolitan West Risk Profile
As of December 31, 2016Metropolitan West
97
Return Summary
Quarterly Excess Performance Ratio of Cumulative Wealth - 10 Years
Account Information
PIMCO
Barclays Intermediate Aggregate Bond Index
0.0
5.0
10.0
15.0
-5.0
-10.0
Re
turn
1Quarter
FiscalYTD
1Year
3Years
5Years
10Years
Inception1/1/89
-2.0 -1.7
2.0 2.41.9
4.2
6.4
-1.9-0.7
2.61.9 2.3
4.9
7.6
Account Name: PIMCO
Inception Date: 01/01/1989
Account Structure: Separate Account
Asset Class: US Fixed Income
Benchmark: Barclays Intermediate Aggregate Bond Index
Peer Group: IM U.S. Fixed Income (SA+CF)
Quarterly Out Performance Quarterly Under Performance
0.0%
4.0%
8.0%
-4.0 %
-8.0 %
3/07 3/08 3/09 3/10 3/11 3/12 3/13 3/14 3/15 12/16
PIMCO Benchmark
0.95
1.00
1.05
1.10
1.15
12/06 12/07 12/08 12/09 12/10 12/11 12/12 12/13 12/14 12/15 12/16
1.07
PIMCO Performance Summary
As of December 31, 2016PIMCO
98
-22.0
-16.0
-10.0
-4.0
2.0
8.0
14.0
20.0
26.0
32.0
Re
turn
1Quarter
2016FiscalYTD
1Year
3Years
5Years
10Years
2015 2014 2013
PIMCO -1.9 (52) 2.6 (59) -0.7 (44) 2.6 (59) 1.9 (77) 2.3 (61) 4.9 (37) 0.2 (56) 2.8 (66) -2.2 (80)¢
Barclays Intermediate Aggregate Bond Index -2.0 (56) 2.0 (70) -1.7 (65) 2.0 (70) 2.4 (65) 1.9 (72) 4.2 (60) 1.2 (20) 4.1 (51) -1.8 (76)�
5th Percentile 2.3 14.9 7.3 14.9 7.2 7.8 7.6 2.7 17.3 9.2
1st Quartile 0.1 7.2 1.0 7.2 4.2 4.9 5.6 1.0 6.4 1.5
Median -1.9 3.3 -1.1 3.3 3.0 2.9 4.4 0.4 4.1 -0.5
3rd Quartile -2.8 1.7 -2.2 1.7 1.9 1.8 3.6 -1.2 1.9 -1.8
95th Percentile -6.5 0.2 -4.9 0.2 0.5 0.5 1.9 -4.6 0.3 -7.9
Population 1,343 1,336 1,339 1,336 1,297 1,238 970 1,438 1,505 1,547
PIMCO
Peer Group Analysis
As of December 31, 2016
IM U.S. Fixed Income (SA+CF)
Parentheses contain percentile rankings.
99
Annualized Return vs. Annualized Standard Deviation5 Years
Rolling 5 Years Standard Deviation
5 Years Historical Statistics
PIMCO
Barclays Intermediate Aggregate Bond Index
Citigroup 3 Month T-Bill
-1.6
-0.8
0.0
0.8
1.6
2.4
3.2
4.0
Re
turn
(%)
0.0 0.6 1.2 1.8 2.4 3.0 3.6 4.2Risk (Standard Deviation %)
PIMCO
Barclays Intermediate Aggregate Bond Index
0.0
0.9
1.8
2.7
3.6
4.5
5.4
6.3
12/93 3/96 6/98 9/00 12/02 3/05 6/07 9/09 12/11 3/14 12/16
ActiveReturn
TrackingError
InformationRatio
R-SquaredSharpeRatio
Alpha Beta ReturnStandardDeviation
ActualCorrelation
PIMCO 0.40 1.23 0.33 0.81 0.80 0.30 1.05 2.31 2.79 0.90
Barclays Intermediate Aggregate Bond Index 0.00 0.00 N/A 1.00 0.77 0.00 1.00 1.91 2.39 1.00
Citigroup 3 Month T-Bill -1.83 2.39 -0.77 0.00 N/A 0.09 0.00 0.09 0.03 -0.07
PIMCO Risk Profile
As of December 31, 2016PIMCO
100
Return Summary
Quarterly Excess Performance Ratio of Cumulative Wealth - Since Inception
Account Information
BlackRock Intermediate Aggregate
Barclays Intermediate Aggregate Bond Index
0.0
3.0
6.0
-3.0
-6.0
Re
turn
1Quarter
2016 FiscalYTD
1Year
3Years
5Years
Inception7/1/11
-2.0
2.0
-1.7
2.02.4
1.9
2.6
-2.1
1.8
-1.8
1.82.4
1.9
2.6
Account Name: BlackRock Intermediate Aggregate
Inception Date: 07/01/2011
Account Structure: Commingled Fund
Asset Class: US Fixed Income
Benchmark: Barclays Intermediate Aggregate Bond Index
Peer Group: IM U.S. Fixed Income (SA+CF)
Quarterly Out Performance Quarterly Under Performance
0.0%
0.2%
0.4%
-0.2 %
-0.4 %
-0.6 %
9/11 3/12 9/12 3/13 9/13 3/14 9/14 3/15 9/15 3/16 12/16 BlackRock Intermediate Aggregate
Benchmark
0.99
1.00
1.01
6/11 3/12 12/12 9/13 6/14 3/15 12/15 12/16
1.00
BlackRock Intermediate Aggregate Performance Summary
As of December 31, 2016BlackRock Intermediate Aggregate
101
(This Page Left Blank Intentionally)
Writeup
102
Total Emerging Market Debt
103
Return Summary
Quarterly Excess Performance Ratio of Cumulative Wealth - Since Inception
Current Allocation
Total Emerging Market Debt
Emerging Market Debt Benchmark
0.0
8.0
16.0
24.0
-8.0
-16.0
Re
turn
1Quarter
2016 FiscalYTD
1Year
3Years
5Years
Inception7/1/11
-5.3
10.1
-2.2
10.1
0.11.8 1.1
-4.6
10.1
-1.4
10.1
0.32.0 1.5
December 31, 2016 : $317M
Stone Harbor:35.6%Investec:32.1%
Wellington:32.3%
Total Emerging Market Debt Benchmark
0.98
1.00
1.02
1.04
1.06
6/11 3/12 12/12 9/13 6/14 3/15 12/15 12/16
1.02
Quarterly Out Performance Quarterly Under Performance
0.0%
2.0%
4.0%
-2.0 %
-4.0 %
9/11 3/12 9/12 3/13 9/13 3/14 9/14 3/15 9/15 3/16 12/16
Total Emerging Market Debt Portfolio Overview
As of December 31, 2016Total Emerging Market Debt
104
-28.0
-20.0
-12.0
-4.0
4.0
12.0
20.0
28.0
Re
turn
1Quarter
2016FiscalYTD
1Year
3Years
5Years
2015 2014 2013
Total Emerging Market Debt -4.6 (68) 10.1 (55) -1.4 (66) 10.1 (55) 0.3 (63) 2.0 (61) -8.6 (69) 0.2 (57) -7.3 (63)¢
Emerging Market Debt Benchmark -5.3 (78) 10.1 (55) -2.2 (74) 10.1 (55) 0.1 (63) 1.8 (62) -8.7 (69) -0.3 (59) -7.1 (62)�
5th Percentile -0.1 15.6 3.9 15.6 6.2 7.2 1.4 7.2 0.9
1st Quartile -2.3 12.1 1.6 12.1 4.7 5.7 -0.6 4.7 -3.5
Median -3.7 10.6 -0.1 10.6 2.8 4.2 -3.6 0.6 -6.5
3rd Quartile -5.0 9.1 -2.3 9.1 -2.8 -0.5 -13.4 -4.3 -8.7
95th Percentile -6.3 5.9 -4.2 5.9 -5.1 -2.1 -16.4 -7.3 -10.8
Population 133 133 133 133 126 108 166 167 155
Total Emerging Market Debt
Peer Group Analysis
As of December 31, 2016
IM Emerging Markets Debt (SA+CF)
Parentheses contain percentile rankings.
105
1 Quarter
0 10 20 30 40 50 60 70 80 90 100-10-20-30
Investec
Stone Harbor
Wellington
Benchmark Effect
Cash Flow Effect
Total Excess Return
2
9
41
14
0
65
1 Year
0 50 100 150 200-50-100-150-200
Investec
Stone Harbor
Wellington
Benchmark Effect
Cash Flow Effect
Total Excess Return
-120
33
83
-1
0
-5
Total Emerging Market Debt
Asset Class Attribution
As of December 31, 2016
106
Return Summary
Quarterly Excess Performance Ratio of Cumulative Wealth - Since Inception
Account Information
Wellington JPM EMBI Global
0.0
8.0
16.0
24.0
-8.0
-16.0
Re
turn
1Quarter
2016 FiscalYTD
1Year
3Years
5Years
Inception7/1/11
-4.2
10.2
-0.6
10.2
5.6 5.4 5.5
-2.9
12.8
2.0
12.8
5.8 6.2 5.7
Account Name: Wellington
Inception Date: 07/01/2011
Account Structure: Commingled Fund
Asset Class: International Fixed Income
Benchmark: JPM EMBI Global
Peer Group: IM Emerging Markets Debt (SA+CF)
Quarterly Out Performance Quarterly Under Performance
0.0%
2.0%
4.0%
-2.0 %
-4.0 %
9/11 3/12 9/12 3/13 9/13 3/14 9/14 3/15 9/15 3/16 12/16
Wellington Benchmark
0.96
0.98
1.00
1.02
1.04
6/11 3/12 12/12 9/13 6/14 3/15 12/15 12/16
1.01
Wellington Performance Summary
As of December 31, 2016Wellington
107
-28.0
-20.0
-12.0
-4.0
4.0
12.0
20.0
28.0R
etu
rn
1Quarter
2016FiscalYTD
1Year
3Years
5Years
2015 2014 2013
Wellington -2.9 (36) 12.8 (22) 2.0 (19) 12.8 (22) 5.8 (11) 6.2 (16) -1.0 (30) 6.1 (11) -5.1 (36)¢
JPM EMBI Global -4.2 (64) 10.2 (55) -0.6 (59) 10.2 (55) 5.6 (13) 5.4 (28) 1.2 (8) 5.5 (17) -6.6 (52)�
5th Percentile -0.1 15.6 3.9 15.6 6.2 7.2 1.4 7.2 0.9
1st Quartile -2.3 12.1 1.6 12.1 4.7 5.7 -0.6 4.7 -3.5
Median -3.7 10.6 -0.1 10.6 2.8 4.2 -3.6 0.6 -6.5
3rd Quartile -5.0 9.1 -2.3 9.1 -2.8 -0.5 -13.4 -4.3 -8.7
95th Percentile -6.3 5.9 -4.2 5.9 -5.1 -2.1 -16.4 -7.3 -10.8
Population 133 133 133 133 126 108 166 167 155
Wellington
Peer Group Analysis
As of December 31, 2016
IM Emerging Markets Debt (SA+CF)
Parentheses contain percentile rankings.
108
Return Summary
Quarterly Excess Performance Ratio of Cumulative Wealth - Since Inception
Account Information
Stone Harbor Performance Benchmark
0.0
8.0
16.0
24.0
-8.0
-16.0
Re
turn
1Quarter
2016 FiscalYTD
1Year
3Years
5Years
Inception7/1/11
-5.1
10.2
-1.9
10.2
1.02.3
1.6
-4.8
11.1
-1.8
11.1
-0.1
0.90.1
Account Name: Stone Harbor
Inception Date: 07/01/2011
Account Structure: Commingled Fund
Asset Class: International Fixed Income
Benchmark: Performance Benchmark
Peer Group: IM Emerging Markets Debt (SA+CF)
Quarterly Out Performance Quarterly Under Performance
0.0%
2.0%
4.0%
-2.0 %
-4.0 %
9/11 3/12 9/12 3/13 9/13 3/14 9/14 3/15 9/15 3/16 12/16
Stone Harbor Benchmark
0.85
0.90
0.95
1.00
1.05
6/11 3/12 12/12 9/13 6/14 3/15 12/15 12/16
0.92
Stone Harbor Performance Summary
As of December 31, 2016Stone Harbor
109
-28.0
-20.0
-12.0
-4.0
4.0
12.0
20.0
28.0
Re
turn
1Quarter
2016FiscalYTD
1Year
3Years
5Years
2015 2014 2013
Stone Harbor -4.8 (71) 11.1 (40) -1.8 (69) 11.1 (40) -0.1 (64) 0.9 (66) -8.1 (67) -2.3 (67) -9.6 (82)¢
Performance Benchmark -5.1 (76) 10.2 (55) -1.9 (70) 10.2 (55) 1.0 (58) 2.3 (59) -7.1 (63) 0.7 (50) -7.1 (62)�
5th Percentile -0.1 15.6 3.9 15.6 6.2 7.2 1.4 7.2 0.9
1st Quartile -2.3 12.1 1.6 12.1 4.7 5.7 -0.6 4.7 -3.5
Median -3.7 10.6 -0.1 10.6 2.8 4.2 -3.6 0.6 -6.5
3rd Quartile -5.0 9.1 -2.3 9.1 -2.8 -0.5 -13.4 -4.3 -8.7
95th Percentile -6.3 5.9 -4.2 5.9 -5.1 -2.1 -16.4 -7.3 -10.8
Population 133 133 133 133 126 108 166 167 155
Stone Harbor
Peer Group Analysis
As of December 31, 2016
IM Emerging Markets Debt (SA+CF)
Parentheses contain percentile rankings.
110
Return Summary
Quarterly Excess Performance Ratio of Cumulative Wealth - Since Inception
Account Information
Investec
JPM GBI-EM Global Diversified
0.0
8.0
16.0
-8.0
-16.0
Re
turn
1Quarter
FiscalYTD
2016 1Year
Inception3/1/14
-6.1
-3.6
9.9 9.9
-4.0
-6.0
-4.3
6.4 6.4
-5.3
Account Name: Investec
Inception Date: 03/01/2014
Account Structure: Commingled Fund
Asset Class: International-Emerging Fixed Income
Benchmark: JPM GBI-EM Global Diversified
Peer Group: IM Emerging Markets Debt (SA+CF)
Monthly Out Performance Monthly Under Performance
0.0%
2.0%
4.0%
-2.0 %
-4.0 %
3/14 9/14 3/15 9/15 3/16 9/16 12/16
Investec Benchmark
0.93
0.96
0.99
1.02
1.05
2/14 8/14 2/15 8/15 2/16 8/16 12/16
0.96
Investec Performance Summary
As of December 31, 2016Investec
111
-28.0
-20.0
-12.0
-4.0
4.0
12.0
20.0
28.0
Re
turn
1Quarter
2016FiscalYTD
1Year
2015
Investec -6.0 (90) 6.4 (93) -4.3 (97) 6.4 (93) -15.4 (85)¢
JPM GBI-EM Global Diversified -6.1 (92) 9.9 (58) -3.6 (87) 9.9 (58) -14.9 (81)�
5th Percentile -0.1 15.6 3.9 15.6 1.4
1st Quartile -2.3 12.1 1.6 12.1 -0.6
Median -3.7 10.6 -0.1 10.6 -3.6
3rd Quartile -5.0 9.1 -2.3 9.1 -13.4
95th Percentile -6.3 5.9 -4.2 5.9 -16.4
Population 133 133 133 133 166
Investec
Peer Group Analysis
As of December 31, 2016
IM Emerging Markets Debt (SA+CF)
Parentheses contain percentile rankings.
112
Total Opportunity Fund
113
Return Summary
Quarterly Excess Performance Ratio of Cumulative Wealth - Since Inception
Current Allocation
Total Opportunity Fund Opportunity Benchmark
0.0
5.0
10.0
15.0
20.0
Re
turn
1Quarter
2016 FiscalYTD
1Year
Inception6/1/14
0.5
7.1
5.0
7.1
2.2
4.5
11.0
8.5
11.0
7.0
December 31, 2016 : $222M
Torchlight Debt Opportunity Fund V:2.4%Davidson Kempner:8.2%
Torchlight Debt Opportunity Fund IV:23.8%
Mesa West:5.5%
Grosvenor Credit Opportunities:60.1%
Total Opportunity Fund Benchmark
0.91
0.98
1.05
1.12
1.19
1.26
6/14 9/14 12/14 3/15 6/15 9/15 12/15 3/16 6/16 9/16 12/16
1.14
Quarterly Out Performance Quarterly Under Performance
0.0%
5.0%
10.0%
15.0%
-5.0 %
-10.0 %
6/14 9/14 12/14 3/15 6/15 9/15 12/15 3/16 6/16 9/16 12/16
Total Opportunity Fund Portfolio Overview
As of December 31, 2016Total Opportunity Fund
114
1 Quarter
0 100 200 300 400 500 600-100-200
Davidson Kempner
Torchlight Debt Opportunity Fund V
Mesa West
Grosvenor Credit Opportunities
Torchlight Debt Opportunity Fund IV
Benchmark Effect
Cash Flow Effect
Total Excess Return
-6
3
5
115
73
204
-2
392
1 Year
0 100 200 300 400 500 600-100-200
Davidson Kempner
Torchlight Debt Opportunity Fund V
Mesa West
Grosvenor Credit Opportunities
Torchlight Debt Opportunity Fund IV
Benchmark Effect
Cash Flow Effect
Total Excess Return
-38
12
23
25
56
331
-11
399
Total Opportunity Fund
Asset Class Attribution
As of December 31, 2016
115
(This Page Left Blank Intentionally)
Writeup
116
Return Summary
Quarterly Excess Performance Ratio of Cumulative Wealth - Since Inception
Account Information
Torchlight Debt Opportunity Fund IV
NCREIF ODCE Index (Net)
0.0
5.0
10.0
15.0
20.0
Re
turn
1Quarter
2016 FiscalYTD
1Year
Inception2/1/14
1.9
7.8
3.7
7.8
11.4
4.8
10.0
7.7
10.0
8.5
Account Name: Torchlight Debt Opportunity Fund IV
Inception Date: 02/01/2014
Account Structure: Commingled Fund
Asset Class: US Private Real Estate
Benchmark: NCREIF ODCE Index (Net)
Peer Group:
Quarterly Out Performance Quarterly Under Performance
0.0%
4.0%
8.0%
-4.0 %
-8.0 %
6/14 9/14 12/14 3/15 6/15 9/15 12/15 3/16 6/16 9/16 12/16 Torchlight Debt Opportunity Fund IV
Benchmark
0.85
0.90
0.95
1.00
1.05
1/14 7/14 1/15 7/15 1/16 7/16 12/16
0.93
Torchlight Debt Opportunity Fund IV Performance Summary
As of December 31, 2016Torchlight Debt Opportunity Fund IV
117
Return Summary
Quarterly Excess Performance Ratio of Cumulative Wealth - Since Inception
Account Information
Grosvenor Credit Opportunities
50%/50% Credit Suisse HY and Distressed
0.0
5.0
10.0
15.0
20.0
Re
turn
1Quarter
2016 FiscalYTD
1Year
Inception6/1/14
3.1
12.0
7.4
12.0
1.4
4.9
12.5
9.7
12.5
4.2
Account Name: Grosvenor Credit Opportunities
Inception Date: 06/01/2014
Account Structure: Commingled Fund
Asset Class: Global Mixed Assets
Benchmark: 50%/50% Credit Suisse HY and Distressed
Peer Group:
Quarterly Out Performance Quarterly Under Performance
0.0%
2.0%
4.0%
-2.0 %
-4.0 %
9/14 12/14 3/15 6/15 9/15 12/15 3/16 6/16 9/16 12/16 Grosvenor Credit Opportunities
Benchmark
0.96
1.00
1.04
1.08
1.12
5/14 8/14 11/14 2/15 5/15 8/15 11/15 2/16 5/16 8/16 12/16
1.07
Grosvenor Credit Opportunities Performance Summary
As of December 31, 2016Grosvenor Credit Opportunities
118
Return Summary
Quarterly Excess Performance Ratio of Cumulative Wealth - Since Inception
Account Information
Mesa West NCREIF ODCE Index (Net)
0.0
5.0
10.0
15.0
20.0
Re
turn
1Quarter
2016 FiscalYTD
1Year
Inception12/1/13
1.9
7.8
3.7
7.8
11.8
2.8
11.0
5.5
11.0
8.6
Account Name: Mesa West
Inception Date: 09/30/2013
Account Structure: Separate Account
Asset Class: US Private Real Estate
Benchmark: NCREIF ODCE Index (Net)
Peer Group:
Quarterly Out Performance Quarterly Under Performance
0.0%
0.9%
1.8%
-0.9 %
-1.8 %
-2.7 %
3/14 9/14 3/15 9/15 3/16 12/16
Mesa West Benchmark
0.84
0.90
0.96
1.02
1.08
11/13 5/14 11/14 5/15 11/15 5/16 12/16
0.92
Mesa West Performance Summary
As of December 31, 2016Mesa West
119
Return Summary
Quarterly Excess Performance Ratio of Cumulative Wealth - Since Inception
Account Information
Torchlight Debt Opportunity Fund V
NCREIF ODCE Index (Net)
0.0
100.0
-100.0
-200.0
-300.0
Re
turn
1Quarter
2016 FiscalYTD
Inception6/1/15
1.9 7.8 3.7 11.73.415.2 13.4
-156.6
Account Name: Torchlight Debt Opportunity Fund V
Inception Date: 06/01/2015
Account Structure: Commingled Fund
Asset Class: US Private Real Estate
Benchmark: NCREIF ODCE Index (Net)
Peer Group:
Quarterly Out Performance Quarterly Under Performance
0.0%
8.0%
16.0%
-8.0 %
-16.0 %
9/15 12/15 3/16 6/16 9/16 12/16 Torchlight Debt Opportunity Fund V
Benchmark
-1.20
-0.60
0.00
0.60
1.20
1.80
5/15 8/15 11/15 2/16 5/16 8/16 12/16
-0.34
Torchlight Debt Opportunity Fund V Performance Summary
As of December 31, 2016Torchlight Debt Opportunity Fund V
120
Return Summary
Monthly Excess Performance Ratio of Cumulative Wealth - Since Inception
Account Information
Davidson Kempner Opportunity Benchmark
0.0
8.0
16.0
-8.0
-16.0
-24.0
Re
turn
1Quarter
FiscalYTD
Inception6/1/16
0.5
5.0 4.7
-1.8
-4.0
-12.5
Account Name: Davidson Kempner
Inception Date: 06/01/2016
Account Structure: Separate Account
Asset Class: US Mixed Assets
Benchmark: Opportunity Benchmark
Peer Group:
Monthly Out Performance Monthly Under Performance
0.0%
5.0%
-5.0 %
-10.0 %
-15.0 %
6/16 7/16 8/16 9/16 10/16 11/16 12/16
Davidson Kempner Benchmark
0.72
0.80
0.88
0.96
1.04
1.12
5/16 6/16 7/16 8/16 9/16 10/16 11/16 12/16
0.84
Davidson Kempner Performance Summary
As of December 31, 2016Davidson Kempner
121
(This Page Left Blank Intentionally)
Writeup
122
Appendix
123
Description of Benchmarks and Universes
Total FundPerformance Benchmark: Currently a composite index consisting of 23.9% Dow Jones U.S. Total Stock Market Index, 17.0% Non-U.S. Equity Benchmark, 23.1%
Barclays Intermediate Aggregate Bond Index, 11.0% Custom Real Estate Benchmark, 5.0% MSCI All Country World Index, 5.0% Emerging Market Debt Benchmark,
12.0% Private Equity/Infrastructure Benchmark, and 3.0% Opportunity Benchmark. Prior to December 2016 a composite consisting of 24.2% Dow Jones U.S. Total
Stock Market Index, 17.1% Non-U.S. Equity Benchmark, 23.2% Barclays Intermediate Aggregate Bond Index, 11.0% Custom Real Estate Benchmark, 5.0% MSCI All
Country World Index, 5.0% Emerging Market Debt Benchmark, 12.0% Private Equity/Infrastructure Benchmark, and 2.5% Opportunity Benchmark. Prior to April 2016
a composite index consisting of 23.6% Dow Jones U.S. Total Stock Market Index, 17.6% Non-U.S. Equity Benchmark, 23.2% Barclays Intermediate Aggregate Bond
Index, 11.0% Custom Real Estate Benchmark, 5.0% MSCI All Country World Index, 5.0% Emerging Market Debt Benchmark, 12.0% Private Equity/Infrastructure
Benchmark, and 2.5% Opportunity Benchmark. Prior to January 2016 a composite index consisting of 24.5% Dow Jones U.S. Total Stock Market Index, 17.3% Non-
U.S. Equity Benchmark, 23.2% Barclays Intermediate Aggregate Bond Index, 11.0% Custom Real Estate Benchmark, 5.0% MSCI All Country World Index, 5.0%
Emerging Market Debt Benchmark, 11.5% Private Equity/Infrastructure Benchmark, and 2.5% Opportunity Benchmark. Prior to October 2015, a composite index
consisting of 25.4% Dow Jones U.S. Total Stock Market Index, 17.5% Non-U.S. Equity Benchmark, 23.2% Barclays Intermediate Aggregate Bond Index, 11.0%
Custom Real Estate Benchmark, 5.0% MSCI All Country World Index, 5.0% Emerging Market Debt Benchmark, 9.0% Private Equity Benchmark, 2.5% Opportunity
Benchmark and 1.5% Infrastructure Benchmark. Prior to June 2015, a composite index consisting of 25.6% Dow Jones U.S. Total Stock Market Index, 17.7% Non-
U.S. Equity Benchmark, 23.2% Barclays Intermediate Aggregate Bond Index, 11.0% Custom Real Estate Benchmark, 5.0% MSCI All Country World Index, 5.0%
Emerging Market Debt Benchmark, 8.5% Private Equity Benchmark, 2.5% Opportunity Benchmark and 1.5% Infrastructure Benchmark. Prior to March 2015, a
composite index consisting of 26.5% Dow Jones U.S. Total Stock Market Index, 18.3% Non-U.S. Equity Benchmark, 23.2% Barclays Intermediate Aggregate Bond
Index, 11.0% Custom Real Estate Benchmark, 5.0% MSCI All Country World Index, 5.0% Emerging Market Debt Benchmark, 7.0% Private Equity Benchmark, 2.5%
Opportunity Benchmark and 1.5% Infrastructure Benchmark. Prior to January 2015, a composite consisting of 29.0% Dow Jones U.S. Total Stock Market Index, 19.0%
Non-U.S. Equity Benchmark, 24.0% Barclays Intermediate Aggregate Bond Index, 11.0% Custom Real Estate Benchmark, 5.0% MSCI All Country World Index, 5.0%
Emerging Market Debt Benchmark, 5.0% Private Equity Benchmark, and 2.0% Opportunity Benchmark. Prior to June 2014, a composite consisting of 30.0% Dow
Jones U.S. Total Stock Market Index, 20.0% Non-U.S. Equity Benchmark, 24.0% Barclays Intermediate Aggregate Bond Index, 11.0% Custom Real Estate
Benchmark, 5.0% MSCI All Country World Index, 5.0% Emerging Market Debt Benchmark, and 5.0% Private Equity Benchmark. Prior to April 2014, a composite
consisting of 30.5% Dow Jones U.S. Total Stock Market Index, 20.0% Non-U.S. Equity Benchmark, 24.0% Barclays Intermediate Aggregate Bond Index, 11.0%
Custom Real Estate Benchmark, 5.0% MSCI All Country World Index, 5.0% Emerging Market Debt Benchmark, and 4.5% Private Equity Benchmark. Prior to March
2014, a composite consisting of 32.5% Dow Jones U.S. Total Stock Market Index, 20.0% MSCI All Country World ex-U.S. IMI Index, 24.0% Barclays Intermediate
Aggregate Bond Index, 11.0% Custom Real Estate Benchmark, 5% MSCI All Country World Index, 3.0% Emerging Market Debt Benchmark, and 4.5% Private Equity
Benchmark. As the Private Equity allocation grows, the Policy allocation to the Private Equity benchmark will increase in 50 basis point increments with a
corresponding decrease to the Dow Jones U.S. Total Stock Market Index. Prior to June 2012, a composite index consisting of 36.2% Dow Jones U.S. Total Stock
Market Index, 23.3% MSCI All Country World ex-U.S. IMI Index, 24.0% Barclays Capital Aggregate Bond Index, 11.0% Custom Real Estate Benchmark, 3% Emerging
Market Debt Benchmark, and 2.5% Private Equity Benchmark. Prior to January 2012, a composite index consisting of 36.7% Dow Jones U.S. Total Stock Market
Index, 23.3% MSCI All Country World ex-U.S. IMI Index, 24.0% Barclays Capital Aggregate Bond Index, 11.0% Custom Real Estate Benchmark, 3% Emerging Market
Debt Benchmark, and 2% Private Equity Benchmark. Prior to August 31, 2011, a composite index consisting of 38.0% Dow Jones U.S. Total Stock Market Index,
20.0% MSCI All Country World ex-U.S. IMI Index, 24.0% Barclays Capital Aggregate Bond Index, 11.0% Custom Real Estate Benchmark, 4.0% Citigroup WGBI Non-
US Index, and 3% Emerging Market Debt Benchmark. Prior to June 30, 2011, a composite index consisting of 41.0% Dow Jones U.S. Total Stock Market Index,
20.0% MSCI All Country World ex-U.S. IMI Index, 24.0% Barclays Capital Aggregate Bond Index, 11.0% Custom Real Estate Benchmark, and 4.0% Citigroup WGBI
Non-US Index. Prior to March 2011, a composite index consisting of 22.8% S&P 500 Index, 7.6% S&P 400 Mid Cap Index, 7.6% Russell 2000 Index, 18.0% Barclays
Aggregate Bond Index, 4.0% Citigroup WGBI Non-US Index, 9.0% Citigroup 90 day T-Bill Index + 3%, 3.4% S&P Developed ex-U.S. Small Cap Index, 13.6% MSCI
All Country World ex-U.S. Index, 3.0% Merrill Lynch All Convertibles All Quality Index, 8.25% NCREIF Property Index, and 2.75% FTSE EPRA NAREIT Developed
REIT Index.
Appendix
124
Description of Benchmarks and Universes
Universe: The rankings are based on a universe of public funds compiled by BNY Mellon Performance and Risk Analytics.
Total U.S. Equity
Performance Benchmark: Currently the Dow Jones U.S. Total Stock Market Index. Prior to March 2011, a composite index consisting of 55.6% S&P
500 Index, 18.54% S&P 400 Mid Cap Index, 18.54% Russell 2000 Index, and 7.32% Merrill Lynch All Convertibles All Quality Index
Universe: The rankings are based on a universe of public funds' U.S. equity component compiled by BNY Mellon Performance and Risk Analytics
BlackRock S&P 500 Index Fund
Performance Benchmark: The S&P 500 Index
Universe: Investor Metrics U.S. Large Cap Equity (SA+CF)
BlackRock Russell 1000 Growth Index
Performance Benchmark: The Russell 1000 Growth Index
Universe: Investor Metrics U.S. Large Cap Equity (SA+CF)
Dodge & Cox Large Cap Value
Performance Benchmark: The Russell 1000 Value Index
Universe: Investor Metrics U.S. Large Cap Value Equity (SA+CF)
BlackRock Russell 2000 Growth Index
Performance Benchmark: The Russell 2000 Growth Index
Universe: Investor Metrics U.S. Large Cap Growth Equity (SA+CF)
DFA Small Cap Value
Performance Benchmark: The Russell 2000 Value Index
Universe: Investor Metrics U.S. Small Cap Value Equity (SA+CF)
Fisher Small Cap Value
Performance Benchmark: The Russell 2000 Value Index
Universe: Investor Metrics U.S. Small Cap Value Equity (SA+CF)
Appendix
125
Description of Benchmarks and Universes
Allianz Convertibles
Performance Benchmark: The Convertibles Benchmark consisting of the Merrill Lynch All Convertibles All Quality index since January 1, 2005
Universe: Investor Metrics Convertible Bonds (MF)
Allianz Structured Alpha
Performance Benchmark: S&P 500 Index
Total Non-U.S. Equity
Performance Benchmark: Currently consisting of 95% MSCI All Country World ex-U.S. IMI Index and 5% MSCI Emerging Markets Index. Prior to April,
2014, the index consisted of the MSCI All Country World ex-U.S. IMI Index. Prior to March 2011, a composite index consisting of 80% MSCI All
Country World ex-U.S. Index, and 20% S&P Developed ex-U.S. Small Cap Index since January 1, 2004
Universe: The rankings are based on a universe of public funds' Non-U.S. equity component compiled by BNY Mellon Performance and Risk Analytics.
BlackRock MSCI ACW ex-U.S. IMI Index Fund
Performance Benchmark: The MSCI All Country World ex-U.S. IMI Index
Universe: Investor Metrics International Equity (SA+CF)
Brandes International Value
Performance Benchmark: The MSCI EAFE Index. Prior to April 2011, it was the MSCI All Country World ex-U.S. Index.
Universe: Investor Metrics International Equity (SA+CF)
GMO International Small Cap
Performance Benchmark: Non-US Small Cap Benchmark consisting of the S&P Developed ex-U.S. Small Cap Index since January 1, 2002.
Universe: Investor Metrics International Small Cap Equity (SA+CF)
Copper Rock International Small Cap
Performance Benchmark: Non-US Small Cap Benchmark consisting of the S&P Developed ex-U.S. Small Cap Index
Universe: Investor Metrics International Small Cap Equity (SA+CF)
Appendix
126
Description of Benchmarks and Universes
Aberdeen
Performance Benchmark: The MSCI All Country World ex-U.S. Index
Universe: Investor Metrics Emerging Markets Equity (SA+CF)
Neuberger Berman
Performance Benchmark: The MSCI Emerging Markets Index
Universe: Investor Metrics Emerging Markets Equity (SA+CF)
Total Global Equity
Performance Benchmark: The MSCI All Country World Index
Universe: Investor Metrics Global Equity (SA+CF)
GMO Global Equity Allocation
Performance Benchmark: The MSCI All Country World Index
Universe: Investor Metrics Global Equity (SA+CF)
Walter Scott Global Equity
Performance Benchmark: The MSCI All Country World Index
Universe: Investor Metrics Global Equity (SA+CF)
Total U.S. Fixed Income
Performance Benchmark: A composite index consisting of the Barclays Intermediate Aggregate Bond Index since July 1, 2013. From July 2009 to July
2013 it was the Barclays Aggregate Bond Index.
Universe: The rankings are based on a universe of public funds' U.S. fixed income component compiled by BNY Mellon Performance and Risk
Analytics
Metropolitan West
Performance Benchmark: A composite index consisting of the Barclays Intermediate Aggregate Bond Index since July 1, 2013. From July 2009 to July
2013 it was the Barclays Aggregate Bond Index.
Universe: Investor Metrics U.S. Fixed Income (SA+CF)
Appendix
127
Description of Benchmarks and Universes
PIMCO
Performance Benchmark: A composite index consisting of the Barclays Intermediate Aggregate Bond Index since July 1, 2013. From July 2009 to July
2013 it was the Barclays Aggregate Bond Index.
Universe: Investor Metrics U.S. Fixed Income (SA+CF)
BlackRock Intermediate Aggregate
Performance Benchmark: A composite index consisting of the Barclays Intermediate Aggregate Bond Index since July 1, 2013. From July 2009 to July
2013 it was the Barclays Aggregate Bond Index.
Universe: Investor Metrics U.S. Fixed Income (SA+CF)
Total Emerging Market Debt
Performance Benchmark: Currently consists of 40% JP Morgan Emerging Markets Bond Index (EMBI) Global Diversified and 60% JP Morgan
Government Bond Index Emerging Markets (GBI-EM) Global Diversified
Universe: Investor Metrics Emerging Markets Debt (SA+CF)
Wellington
Performance Benchmark: JP Morgan Emerging Markets Bond Index (EMBI) Global
Universe: Investor Metrics Emerging Markets Debt (SA+CF)
Stone Harbor
Performance Benchmark: Consists of 50% JP Morgan Emerging Markets Bond Index (EMBI) Global Diversified and 50% JP Morgan Government
Bond Index Emerging Markets (GBI-EM) Global Diversified
Universe: Investor Metrics Emerging Markets Debt (SA+CF)
Investec
Performance Benchmark: JP Morgan Government Bond Index Emerging Markets (GBI-EM) Global Diversified
Universe: Investor Metrics Emerging Markets Debt (SA+CF):
Appendix
128
Description of Benchmarks and Universes
Total Real Estate
Performance Benchmark: Consists of 90% NFI-ODCE Index plus 50 basis points annually and 10% the FTSE EPRA/NAREIT Global Index. Prior to
October 2011, it was 75% NCREIF Net Property Index plus 50 basis points annually and 25% the FTSE EPRA/NAREIT Global Index.
Private Real Estate
Performance Benchmark: NFI-ODCE Index plus 50 basis points annually. Prior to October 2011, the benchmark was the NCREIF Net Property Index
(NPI) plus 50 basis points annually.
Brookfield Global REIT
Performance Benchmark: FTSE EPRA/NAREIT Global Index, which includes all tax-qualified equity REITs meeting certain size and liquidity criteria
that are listed on the New York Stock Exchange, the American Stock Exchange, or the NASDAQ National Market List.
Total Opportunity Fund
Performance Benchmark: Consists of 78% MSCI All Country World IMI Index and 22% Barclays Intermediate Aggregate Bond Index
Grosvenor Credit Opportunities
Performance Benchmark: Consists of 50% Credit Suisse High Yield Index and 50% Credit Suisse Distressed Index
Davidson Kempner
Performance Benchmark: Consists of 78% MSCI All Country World IMI Index and 22% Barclays Intermediate Aggregate Bond Index
Torchlight Debt Opportunity Fund IV, Mesa West, and Torchlight Opportunity Fund V
Performance Benchmark: Consists of the NFI-ODCE Index
Total Private Equity/Infrastructure, Stepstone-Private Equity, GCM-Private Equity, Stepstone Infrastructure, and GCM Infrastructure
Performance Benchmark: Absolute annualized 10% return
Appendix
129
Description of Benchmarks and Universes
S&P 500 Index - Is an unmanaged capitalization-weighted index of 500 stocks designed to measure performance of the broad domestic economy
through changes in the aggregate market value of 500 stocks representing all major industries.
Russell 1000 Growth Index - Measures the performance of those Russell 1000 companies with higher price-to-book ratios and higher forecasted
growth values.
Russell 1000 Value Index - Measures the performance of those Russell 1000 companies with lower price-to-book ratios and lower forecasted growth
values.
Russell 2000 Growth Index - Measures the performance of those Russell 2000 companies with higher price-to-book ratios and higher forecasted
growth values.
Russell 2000 Value Index - Comprises securities in the Russell 2000 Index with a less-than average growth orientation. Companies in this index
generally have low price-to-book and price-to-earnings ratios. Indexes are unmanaged and cannot be invested in directly.
MSCI All Country World ex-U.S. IMI - Is an unmanaged index representing 44 developed and emerging markets around the world that collectively
comprise virtually all of the foreign equity stock markets.
MSCI EAFE Index - A capitalization-weighted index of 21 developed country markets in Europe, Australia, Asia and the Far East, excluding the U.S.
market.
S&P Developed ex-U.S. Small Cap Index - Is a market capitalization-weighted index measuring capital appreciation. It is defined as an unmanaged
world equity index representative of small capitalization securities, defined as the bottom 20% of any given country's available market capitalization
excluding the U.S. The Growth Index covers those companies in each country that exhibit the characteristics of growth.
Barclay's Aggregate Bond Index - Is an unmanaged index composed of securities from the Barclays Capital Government/Corporate Bond Index,
Mortgage-Backed Securities Index and the Asset-Backed Securities Index. Total return comprises price appreciation/depreciation and income as a
percentage of the original investment. Indices are rebalanced monthly by market capitalization.
Barclay's Intermediate Aggregate Bond Index - Is a market value-weighted index consisting of the Barclays Capital Corporate, Government and
Mortgage-Backed Securities Indices. The Index also includes credit card-, auto-, and home equity loan-backed securities. The Intermediate Aggregate
Bond Index is the broadest measure of the aggregate U.S. fixed-income market of bonds with maturities from one to ten years.
Appendix
130
Description of Benchmarks and Universes
JP Morgan EMBI Global Diversified - Comprised of dollar-denominated Brady bonds, traded loans and Eurobonds issued by emerging market
sovereign and quasi-sovereign entities. The Diversified version limits the weights of the index countries by only including a specified portion of those
countries' eligible current face amounts of debt outstanding, providing for a more even distribution of weights within the countries in the index.
JP Morgan GBI-EM Global Diversified - Designed to provide a comprehensive measure of local currency denominated, fixed-rate, government debt
issued in emerging markets.
MSCI All Country World Index - A capitalization-weighted index representing 24 developed and 21 emerging market countries around the world.
NFI-ODCE Index - NCREIF Fund Index Open-end Diversified Core Equity Index is an index of investment returns reporting on both a historical and
current basis the results of 28 open-end commingled funds pursuing a core investment strategy; underlying funds are leveraged with gross and net
returns available.
FTSE EPRA/NAREIT Global REIT - An unmanaged market-weighted total return index, which consists of many companies from Global markets
whose floats are larger than $100 million and derive more than half of their revenue from property-related activities.
Appendix
131
Description of Benchmarks and Universes
Rank - A representation of the percentile position of the performance of a given portfolio, relative to a universe of similar funds. For example, a rank of
25 for a given manager indicates outperformance by that manager of 75% of other funds in that same universe.
Universe - A distribution of the returns achieved by a group of funds with similar investment objectives.
Ratio of Cumulative Wealth Graph - An illustration of a portfolio's cumulative, unannualized performance relative to that of its benchmark. An upward
sloping line indicates superior fund performance. Conversely, a downward sloping line indicates underperformance by the fund. A flat line is indicative
of benchmark-like performance.
Risk/Return Graph - The horizontal axis, annualized standard deviation, is a statistical measure of risk, or the volatility of returns. The vertical axis is
the annualized rate of return. As most investors generally prefer less risk to more risk and always prefer greater returns, the upper left corner of the
graph is the most attractive place to be. The line on this exhibit represents the risk and return tradeoffs associated with market portfolios or index
funds.
Style Map - This illustration represents the manager's style compared to that of the broadest stock index (the Russell 3000). Any manager falling
above the axis is referred to as large-cap and any manager falling below the axis is considered to be medium- to small-cap.
Appendix
132
Allocation
MarketValue ($)
%
Performance(%)
1Quarter
FYTD1
Year3
Years5
Years10
YearsSince
InceptionInception
Date
Total Fund 7,188,152,553 100.0 1.2 5.2 8.5 5.1 9.3 5.6 8.9 01/01/1989
Total Fund Policy Benchmark 0.6 4.0 7.9 5.1 8.7 5.6 8.4
Total U.S. Equity 1,688,385,642 23.5 5.1 11.0 13.0 7.7 14.5 7.4 10.6 01/01/1989
U.S. Equity Benchmark 4.1 8.8 12.6 8.4 14.6 7.6 10.1
Total Non-U.S. Equity 1,160,012,159 16.1 -1.9 4.9 4.8 -0.9 6.1 0.5 7.3 04/01/1995
Non-U.S. Equity Benchmark -1.7 5.3 4.8 -1.5 5.3 1.2 5.2
Total Global Equity 342,816,095 4.8 -0.4 4.1 7.4 2.3 9.3 06/01/2012
MSCI AC World Index (Net) 1.2 6.6 7.9 3.1 10.1
Total U.S. Fixed Income 1,525,892,337 21.2 -1.8 -1.2 2.3 2.2 2.4 5.0 6.7 04/01/1989
U.S. Fixed Income Benchmark -2.0 -1.7 2.0 2.4 1.9 3.8 5.6
Total Non-U.S. Fixed Income 14,757 0.0
Total Emerging Market Debt 316,508,235 4.4 -4.5 -1.1 10.8 0.8 2.6 2.0 07/01/2011
Emerging Market Debt Benchmark -5.3 -2.2 10.1 0.1 1.8 1.1
Total Real Estate 672,031,412 9.3 1.5 4.6 14.5 12.2 12.2 4.8 9.2 01/01/1989
Real Estate Benchmark 1.9 4.2 10.3 11.7 11.9 6.6 8.4
Total Private Equity/Infrastructure 1,002,763,305 14.0 5.5 8.5 10.9 12.7 10/01/2014
Private Equity/Infrastructure Benchmark 2.4 4.9 10.0 10.0
Total Opportunity Fund 221,877,496 3.1 4.5 8.5 11.0 7.6 06/01/2014
Opportunity Benchmark 0.5 5.0 7.1 2.2
Total Cash 211,669,594 2.9 0.0 0.2 0.3 0.2 0.2 1.6 2.4 10/01/1999
iMoneyNet - All Taxable Money Funds Index 0.5 0.9 1.5 0.7 0.5 1.0 1.8
*Real Estate and Private Equity/Infrastructure returns and market values are shown on a one-quarter lag. The market values have been adjusted for current quarter cash flows. Prior to3Q2014, the publicly-traded portion of the real estate portfolio (REITs) are reported in real time.*The returns shown for the Total Overlay represent the impact of the Clifton Overlay service on the Total Fund return
Asset Allocation & Gross Performance
As of December 31, 2016
133
Disclaimers and Notes
134
Disclaimers:
§ Please review this report and notify Aon Hewitt Investment Consulting (AHIC) with any issues or questions you may have with respect to investment performance or any
other matter set forth herein.
§ The client portfolio market value data presented in this report has been obtained from the custodian. AHIC has compared this information to the investment managers’
reported returns and believes the information to be accurate. AHIC has not conducted additional audits and cannot warrant its accuracy or completeness.
§ The mutual fund information found in this report is provided by Lipper Inc. and AHIC cannot warrant its accuracy or timeliness.
§ Russell Investment Group is the source and owner of the trademarks, service marks and copyrights related to the Russell Indexes. Russell® is a trademark of Russell
Investment Group.
§ The Greenwich Quality Leaders Awards are based on quality ratings provided by clients of investment consultants and asset managers. Between July and October 2015,
Greenwich Associates conducted 1,341 interviews with senior professionals at corporate and union funds, public funds, endowments and foundations, insurance general
accounts, and healthcare organizations with either pension or investment pool assets greater than $150 million. Study participants were asked to provide quantitative and
qualitative evaluations of their investment consultants. Based on those responses, Greenwich Associates calculates a score on the Greenwich Quality Index for each
consultant named. Consultants with scores that top those awarded to competitors by a statistically significant margin are named Greenwich Quality Leaders. Visit the
Greenwich Associates website (https://www.greenwich.com/asset-management/leading-investment-consultants-form-deep-advisory-relationships) to read a copy of the full
report and to learn more about the methodology.
Notes:
§ The rates of return contained in this report are shown on an after-fees basis unless otherwise noted. They are geometric and time weighted. Returns for periods longer than
one year are annualized.
§ Universe percentiles are based upon an ordering system in which 1 is the best ranking and 100 is the worst ranking.
§ Due to rounding throughout the report, percentage totals displayed may not sum up to 100.0%. Additionally, individual fund totals in dollar terms may not sum up to the plan
totals.
Disclaimers and Notes
135
Recommended