ANALYSIS OF INVESTMENT PERFORMANCE - Granicus

Copyright © 2020 by The Segal Group, Inc. All rights reserved.

Sacramento City Employees' Retirement System

Craig Chaikin, CFA Vice President

ANALYSIS OF INVESTMENT PERFORMANCE

June 2020

This performance report ("Report") is based upon information obtained by Segal Marco Advisors from third parties over which SMA does not exercise any control. Although the information collected by SMA is believed to be reliable, SMA cannot verify or guarantee the accuracy or validity of such information or the uniformity of the manner in which such information was prepared. The rates of return reflected herein are time weighted and geometrically linked on a monthly basis using a modified Dietz method. Monthly valuations and returns are calculated based on the assumptions that all transactions and prices are accurate from the custodian and /or investment manager. The client to whom Segal Marco Advisors delivers this Report ("Client") agrees and acknowledges that this Report has been prepared solely for the benefit of Client. SMA disclaims any and all liability that may arise in connection with Client’s conveyance (whether or not consented to by SMA) of the this Report (in whole or in part) to any third party. Client further agrees and acknowledges that SMA shall have no liability, whatsoever, resulting from, or with respect to, errors in, or incompleteness of, the information obtained from third parties. Client understands that the prior performance of an investment and /or investment manager is not indicative of such investment 's and/or investment manager's future performance. This Report does not constitute an offer or a solicitation of an offer for the purchase or sale of any security nor is it an endorsement of any custodian , investment and/or investment manager.

ANALYSIS OF INVESTMENT PERFORMANCE

Section Market Summary............................................................................................................................................................ ..................1

Executive Summary......................................................................................................................................................................... 2

Appendix.......................................................................................................................................................................................... 4 Total Plan Review ........................................................................................................................................................................... 3

Market Summary

1

• World equity markets surged in Q2. A number of global economies emerged from COVID-19 lockdown, boosting stocks.• U.S. equity was positive. Economic activity returned, as did investor optimism, after the initial virus-related lockdown.• International equities also rose. Much of the virus outbreak in the Eurozone was contained and countries reopened.• Emerging market equity gained. China’s post-outbreak resurgence powered EM equities, though other EM countries still struggled.• U.S. fixed income was positive, but lagged stocks. While Federal Reserve support bolstered bonds, investors favored riskier assets in

the quarter.• Non-U.S. fixed income also rose. A weaker USD helped unhedged non-US debt.• Hedge funds gained, with equity hedge strategies notching the highest return among sub-strategies.

Summary of Investment Returns

Q2 2020 In Review

19.4%22.0%

14.9%18.1%

2.9% 3.0% 5.1%

-1.6%-7.5%

7.5%2.8%

6.5%

-5.1%-3.4%

8.7%

0.9%

-17.4%

2.2%5.8%

0.1%

-20%-15%-10%-5%0%5%

10%15%20%25%

World Equities* U.S. Equities InternationalEquities*

EMEquities*

U.S. FixedIncome

InternationalFixed Income

Commodities Real Estate Private Equity** Funds of HedgeFunds

QTD 1-Year

Quarterly Synopsis

* Net Dividends Reinvested** Performance as of Q1 2020 because Q2 2020 performance data is not yet available.Sources: Investment Metrics, Thomson One, FactSet

2

1 Net Dividends Reinvested2 Formerly Citigroup Non-U.S. WGBI. Citigroup’s fixed income indices were purchased by London Stock Exchange Group (LSEG) and were all rebranded to FTSE by July 31, 2018. FTSE Russell is a unit of LSEG’s Information Services Division and a wholly owned subsidiary of LSEG.3 NCREIF Fund Index (NFI) – Open End Diversified Core Equity (ODCE)4 Performance as of Q1 2020 because Q2 2020 performance data is not yet available.Sources: Investment Metrics, Thomson One, FactSet

Q2 2020 Index Returns

Asset Class Indices QTD YTD 1-Year 3-Year 5-Year 10-Year

World Equity MSCI World1 19.36 -5.77 2.84 6.70 6.90 9.95

U.S. Equity Russell 3000 22.03 -3.48 6.53 10.04 10.03 13.72

Non-U.S. Equity MSCI EAFE1 14.88 -11.34 -5.13 0.81 2.05 5.73

Emerging Market Equity MSCI EM1 18.08 -9.78 -3.39 1.90 2.86 3.27

U.S. Fixed Income Bloomberg Barclays U.S. Aggregate 2.90 6.14 8.74 5.32 4.30 3.82

Non-U.S. Fixed Income FTSE2 Non-U.S. WGBI(Unhedged) 2.98 1.04 0.86 2.87 3.32 1.81

Commodities Bloomberg Commodity Index 5.08 -19.40 -17.38 -6.14 -7.69 -5.82

Real Estate NFI-ODCE3 -1.55 -0.59 2.23 5.66 7.31 10.80

Private Equity Thomson Reuters US Private Equity4 -7.50 -7.50 5.80 13.50 12.20 14.60

Hedge Funds HFRI Fund of Funds Composite 7.48 -1.97 0.09 2.12 1.41 2.75

3

Q2 2020 Index ReturnsEquity Indices QTD YTD 1-Year 3-Year 5-Year 10-YearS&P 500® 20.54 -3.08 7.51 10.73 10.73 13.99Russell 1000 21.82 -2.81 7.48 10.64 10.47 13.97Russell 1000 Growth 27.84 9.81 23.28 18.99 15.89 17.23Russell 1000 Value 14.29 -16.26 -8.84 1.82 4.64 10.41Russell 2000 25.42 -12.98 -6.63 2.01 4.29 10.50Russell 2000 Growth 30.58 -3.06 3.48 7.86 6.86 12.92Russell 2000 Value 18.91 -23.50 -17.48 -4.35 1.26 7.82Russell 3000 22.03 -3.48 6.53 10.04 10.03 13.72MSCI EAFE* 14.88 -11.34 -5.13 0.81 2.05 5.73MSCI World* 19.36 -5.77 2.84 6.70 6.90 9.95MSCI EM* 18.08 -9.78 -3.39 1.90 2.86 3.27

Fixed-Income Indices QTD YTD 1-Year 3-Year 5-Year 10-YearBlbg Bar U.S. Aggregate 2.90 6.14 8.74 5.32 4.30 3.82Blbg Bar U.S. Govt/Credit 3.71 7.21 10.02 5.87 4.74 4.13Blbg Bar U.S. Intermediate Govt/Credit 2.81 5.28 7.12 4.43 3.46 3.13Blbg Bar U.S. L/T Govt/Credit 6.23 12.82 18.91 10.32 8.98 7.84Blbg Bar U.S. Government 0.49 8.61 10.34 5.54 4.05 3.34Blbg Bar U.S. Credit 8.22 4.82 9.07 6.14 5.54 5.24Blbg Bar U.S. Mortgage-Backed Securities 0.67 3.50 5.67 3.97 3.23 3.07Blbg Bar U.S. Corporate High Yield 10.18 -3.80 0.03 3.33 4.79 6.68FTSE Non-U.S. WGBI (Unhedged)*** 2.98 1.04 0.86 2.87 3.32 1.81FTSE 3-Month T-Bill*** 0.14 0.52 1.56 1.72 1.15 0.61

Other Indices QTD YTD 1-Year 3-Year 5-Year 10-YearHueler Stable Value 0.57 1.18 2.46 2.33 2.11 2.15Bloomberg Commodity 5.08 -19.40 -17.38 -6.14 -7.69 -5.82HFRI Fund of Funds Composite 7.48 -1.97 0.09 2.12 1.41 2.75NCREIF NFI-ODCE -1.55 -0.59 2.23 5.66 7.31 10.80Thomson Reuters Private Equity** -7.50 -7.50 5.80 13.50 12.20 14.60

* Net Dividends Reinvested** Performance reported as of Q1 2020 because Q2 2020 performance data is not yet available.***Formerly Citigroup Non-U.S. WGBI. Citigroup’s fixed income indices were purchased by London Stock Exchange Group (LSEG) and were all rebranded to FTSE by July 31, 2018. FTSE Russell is a unit of LSEG’s Information Services Division and a wholly owned subsidiary of LSEGSources: eVestment Alliance, Hueler Analytics, Investment Metrics, Thomson One, FactSet

4

GDP Growth• U.S. GDP growth fell by -32.9% in Q2 2020, the steepest drop

since 1947, when records began. The COVID-19 relatedlockdowns in the country led to the historic economiccontraction.

• Personal consumption, exports, inventories, investment andspending by state and local governments all declined sharply.

• Spending on health care and clothing also dropped.• However, personal income rose dramatically, as the federal

government’s stimulus program took effect.

Employment Picture• The unemployment rate was 11.1% in June, down from its April

peak but still well above its February low. Nonfarm payrolls fellby 13.2 million over the quarter.

• The employment and leisure sector gained 2.1 million jobs inJune, and food and drinking establishments rose by 1.5 million.

• Retail gained 740,000 jobs in June.• Most sectors gained in June, though mining lost 10,000 jobs in

the month.

Q2 2020 In Review: U.S. Economy

Source this page: FactSet

5

Consumer Confidence and Spending• Sentiment plummeted in Q2. The Conference Board’s

Consumer Confidence Index decreased from 120 at the end ofMarch to 98 at the end of June.

• Personal consumption expenditures rose in June.• The global pandemic and its effects on the economy and

employment levels stung sentiment in the quarter.

Retail Sales• Retail sales ended June up 4.98% from one year ago.• Sales increased 5% in June over a year ago. Spending surged

in autos, clothing, furniture and electronics.• While economic reopening has boosted sales, economists warn

that sales could fall once again if a resurgence of the virusforces the US to close the economy once again.

Q2 2020 In Review: U.S. Economy


6

World GDP Growth• Eurozone GDP fell -12.1% quarter over quarter (QoQ), below

market expectations. The Eurozone’s annual growth ratedropped 40.3%, the sharpest decline since records began in1995.

• China’s GDP rate rose 11.5% in Q2. Industrial production andretail sales rose in China as that country emerged fromlockdown.

• Japan’s GDP shrank -0.6% QOQ in Q1**. That figure wasbetter than the expected -0.9% decline, though Japancontinues to struggle with economic fallout from the outbreak.

• U.S. GDP fell -32.9% in Q2.

Global Employment Picture• Eurozone unemployment rose to 7.8% in June 2020**.

Germany’s unemployment rate was on the low end of the EUat 6.2%, while Italy’s rate was 8.8%.

• The fallout from the COVID-19 pandemic causedunemployment to rise in the Eurozone, even at a time whencountries are reopening after lockdown.

• Japan’s unemployment rate rose to 2.8% in June.

Q2 2020 In Review: Global Economy

*Quarter over quarter data calculations began in 2011.**Most recent data available.Source this page: FactSet

Note that the figures in the graph above represent the percent change in real GDP from the previous quarter, not the annual growth rate of these economies.

7

Global Equity Performance and Valuations• All global markets experienced strong recoveries in Q2, as several

major economies began phased re-openings. The US continued tooutperform both International Developed and Emerging Markets,as large US tech names drove returns during Q2.

• Technology was the top performing sector in the MSCI ACWI,returning just under 13% YTD as remote working arrangementshave benefited several industries within the sector, and investorsflocked to mega cap stocks such as Amazon, Apple, and Microsoftin search of companies that could weather the COVID-19 storm.

• Oil prices have rebounded, as major oil producers reduced theiroutput and global re-openings increased demand. Improvingglobal PMI numbers and discussions within several major centralbanks around continued stimulus have led to an increase ininvestor confidence.

• The sudden market rebound drove valuations to 20-year highs inseveral categories, including US mid cap and Emerging Markets,while most major markets are now above their 20-year medians.

Q2 2020 In Review: Global Equity Overview


Equity Indices QTD YTD 1-Year 3-Year 5-Year 10-Year

S&P 500 20.54 -3.08 7.51 10.73 10.73 13.99

MSCI Europe, Australasia and Far East (EAFE)* 14.88 -11.34 -5.13 0.81 2.05 5.73

MSCI Emerging Markets (EM)* 18.08 -9.78 -3.39 1.90 2.86 3.27

Data range is from 3/31/00-3/31/20. P/E ratios are forward 12 months.

All data in the table are percentages.* Net dividends reinvested

10Y AVG 15.4 15.6 15.6 13.3 11.3 14.5 12.7 13.6 14.3

8

U.S. Equity

Performance• The government’s multi-trillion dollar stimulus package took effect

during the quarter, which, combined with a strong job andeconomic recovery due to state re-openings, boosted US marketsduring the second quarter.

• Fears surrounding the COVID-19 outbreak continue to be an issue,with an uptick in cases in large parts of the United States duringthe month of June.

• Growth significantly outperformed value in Q2 with the Russell1000 Growth index returning nearly 10% YTD despite COVID-19’simpact. Small cap companies led mid cap and large cap as theRussell 2000 outperformed the Russell 1000 by almost 4%.

• Increasing retail sales drove a strong quarter for consumerdiscretionary, while a rise in oil prices benefitted the energy sector.More defensive sectors, such as consumer staples and utilitiesstruggled, due to the risk on environment.

Q2 2020 In Review: U.S. Equity

Sources this page: Investment Metrics, FactSet

S&P 500 Sector Returns QTD 1-Year

Cons. Disc. 32.86 12.59

Cons. Staples 8.12 3.62Energy 30.51 -36.09

Financials 12.20 -13.92

Healthcare 13.59 10.90Industrials 17.01 -9.02IT 30.53 35.90Materials 26.01 -1.11Telecom 20.04 11.08Real Estate 13.22 -2.01Utilities 2.73 -2.11

All data in the tables are percentages.

U.S. Equity Indices QTD YTD 1-Year 3-Year 5-Year 10-Year

S&P 500 20.54 -3.08 7.51 10.73 10.73 13.99Russell 1000 21.82 -2.81 7.48 10.64 10.47 13.97Russell 1000 Growth 27.84 9.81 23.28 18.99 15.89 17.23Russell 1000 Value 14.29 -16.26 -8.84 1.82 4.64 10.41Russell 2000 25.42 -12.98 -6.63 2.01 4.29 10.50Russell 2000 Growth 30.58 -3.06 3.48 7.86 6.86 12.92Russell 2000 Value 18.91 -23.50 -17.48 -4.35 1.26 7.82

Russell Midcap 24.61 -9.13 -2.24 5.79 6.76 12.35Russell 3000 22.03 -3.48 6.53 10.04 10.03 13.72

9

U.S. Equity

Performance• Following a significantly negative first quarter, the markets quickly

recovered and the second quarter was one of the strongest in the past20 years. Both the MSCI World ex US and MSCI EAFE indices rose by15%.

• European economies have cautiously started to reopen as they emergefrom the first wave of COVID-19 and are supported by governmentstimulus measures. Eurozone equities have rebounded as theselockdown restrictions have begun to ease. The U.K., however, despiteits rise of roughly 8%, is still lagging behind some of the majoreconomies in the Euro area as it struggles to contain the virus.

• Japan rose by almost 12%. This rebound was partly a result of goodnews surrounding the country’s containment of COVID-19. Also, theJapanese government approved a stimulus package equaling roughly40% of GDP to prevent any further economic decline.

• All MSCI EAFE sectors were positive, with the exception of energy,though this only experienced a fraction of a loss.

Q2 2020 In Review: International Equity


MSCI EAFE Sector Returns QTD 1-Year

Consumer Disc. 17.78 -5.47Cons. Staples 9.41 -1.74Energy -0.03 -38.10Financials 13.44 -18.04Healthcare 14.23 19.86Industrials 17.94 -6.44IT 23.41 13.81Materials 23.76 -5.32Telecom 13.44 -3.45Utilities 12.50 5.22Real Estate 8.79 -18.93

All data in the tables are percentages and net dividends reinvested.

MSCI International Equity Indices QTD YTD 1-Year 3-Year 5-Year 10-Year

World ex. U.S. 15.34 -11.49 -5.42 0.84 2.01 5.43EAFE 14.88 -11.34 -5.13 0.81 2.05 5.73EAFE Local Currency 12.60 -10.53 -4.24 1.26 2.63 6.86Europe 15.26 -12.78 -6.78 0.00 1.46 5.65Europe ex U.K. 17.66 -9.12 -2.95 1.27 2.87 6.22U.K. 7.79 -23.26 -17.73 -3.93 -2.46 3.90Japan 11.61 -7.12 3.10 2.97 3.45 6.09Pacific Asia ex Japan 20.19 -12.98 -12.74 0.82 2.68 5.65

10

U.S. Equity

Performance• Despite an acceleration in the number of daily cases of COVID-19,

Emerging Markets were able to recover in Q2 by outperforming Q1returns by 41%. This strong recovery helped Emerging Marketsoutperform Developed International Equity. However, EM is stillunderperforming US Equity for the quarter and YTD.

• The Latin America region posted the highest returns, led byArgentina (43%), Brazil (22%) and Chile (13%). This can beattributed to the weakening of the US dollar and countries’monetary easing and stimulus packages. Though Chinese equitiestrailed most of its regional peers in Q2. China is the only EMcountry with a positive YTD return (2%).

• All EM sectors posted positive absolute returns in Q2. Thehealthcare sector was the best performer (37%), while real estateand financials were the only two sectors that posted single digitreturns. Due to the recovery, IT, telecom, healthcare and consumerdiscretionary are the four sectors showing a positive return for thetrailing one year.

Q2 2020 In Review: Emerging Market Equity


MSCI EM Equity Indices QTD YTD 1-Year 3-Year 5-Year 10-Year

Emerging Markets 18.08 -9.78 -3.39 1.90 2.86 3.27

EM Local Currency 16.74 -5.50 1.37 4.48 5.09 6.01

Asia 17.82 -3.50 4.88 4.10 4.84 5.81

EMEA 18.95 -21.40 -19.69 -3.28 -2.60 -0.47

Latin America 19.10 -35.23 -32.46 -7.22 -3.22 -3.80

MSCI EM Sector Returns QTD 1-Year

Cons. Disc. 22.27 13.40Cons. Staples 13.33 -7.50Energy 22.97 -22.02Financials 7.61 -25.08

Healthcare 37.44 34.71Industrials 16.88 -14.07IT 20.47 24.37Materials 24.24 -13.62Telecom 23.35 16.04Utilities 10.61 -17.68Real Estate 5.99 -16.67

All data in the tables are percentages and net dividends reinvested.

11

Yield Curve• Yields rose across the front end of the curve and the tail end of

the curve, while they fell across the midsection.• Shorter-maturity yields less than 1-year rose, resulting in a

return of liquidity in the Treasury market. The 1-month Treasuryended the quarter yielding 0.13%, which was up 8 basis pointsfrom the prior quarter.

• Treasury yields with maturities between 1- and 10-years fell. The10-year yield remained relatively stable, as unemployment dataimproved but GDP data and virus fears led to continued investorconcern.

• Longer-maturity yields rose slightly as well, with the 30-yr yieldending the quarter at 1.41%, a 6 basis point increase over theprior quarter.

Monetary Policies/Global Interest Rates• Central bank deposit rates remained negative in Japan and

Europe.• Despite rate cuts in the prior quarter, the U.S. continues to be a

global outlier with its positive policy rate at 0.25%. Policy rates inthe Eurozone and Japan remain negative.

• The policy rate in the U.S. remained unchanged from the priorquarter despite the Fed injecting billions of dollars into theeconomy through various COVID-19 economic relief programs.

Q2 2020 In Review: Fixed Income Overview


Interest Rates Fed Funds Rate EZ Deposit Facility Rate

Average 5.14% (1971-2020) 0.93% (1999-2020)

Max 20.00% (Mar. 1980) 3.75% (Oct. 2000)

Min 0.25% (March 2020) -0.50% (Mar. 2016)

Yiel

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Q2 2020 In Review: U.S. Fixed Income

Performance and Spreads• The U.S. Aggregate Index was positive in Q2. All sectors

gained, with high yield and investment grade deliveringthe strongest performance (10.18% and 8.98%respectively).

• Despite the significant rebound in U.S. corporate creditrelative to Q1, performance of the U.S. Aggregate endedthe quarter down 25 basis points from Q1. The Agg’ssizable weight in Treasuries stung in the quarter. T-Billsended the quarter at 0.14%, representing a 25 basis pointdecrease from Q1.

• Domestic fixed income spreads tightened across allsectors but MBS over Q1, with ABS showing the largestdecrease over the prior quarter. High yield spreadscontinue to be significantly wide, but to a lesser degreethan in Q1.

Sources this page: Investment Metrics, Hueler Analytics, FactSet

* Bloomberg Barclays Indices, unless otherwise noted.** Formerly Citigroup. Citigroup’s fixed income indices were purchased by London Stock Exchange Group (LSEG) and were rebranded to FTSE by July 31, 2018. FTSE Russell is a unit of LSEG’s Information Services Division and a wholly owned subsidiary of LSEG.All data in the table are percentages.

U.S. Fixed Income Indices* QTD YTD 1-Year 3-Year 5-Year 10-Year

U.S. Aggregate 2.90 6.14 8.74 5.32 4.30 3.82Government/Credit 3.71 7.21 10.02 5.87 4.74 4.13Government 0.49 8.61 10.34 5.54 4.05 3.34Investment Grade Corporate 8.98 5.02 9.50 6.34 5.83 5.47Investment Grade CMBS 3.82 4.30 5.94 4.90 4.14 4.98U.S. Corporate High Yield 10.18 -3.80 0.03 3.33 4.79 6.68FTSE** 3-Month T-Bill 0.14 0.52 1.56 1.72 1.15 0.61Hueler Stable Value 0.57 1.18 2.46 2.33 2.11 2.15

Data range is from 12/31/19-6/30/20

13

Q2 2020 In Review: International Fixed Income

Global Performance and Yields• Government yields fell in Q2 across the U.S., Canada, and the

UK. Government yields were flat in Japan and slightly decreased in Germany.

• Central bank policies globally have implemented more stimulusmeasures with the global economic shutdowns and asunemployment claims continued to rise in the U.S.

• The British pound, euro, and JPY depreciated relative to the U.S.Dollar.

• Emerging market debt ended the quarter with strong returns. Afterturning negative in April, oil prices recovered later in Q2, resultingin appreciation for oil-sensitive currencies.

Sources this page: FactSet, Investment Metrics

Global Fixed Income Indices QTD YTD 1-Year 3-Year 5-Year 10-Year

Bloomberg Barclays Global Aggregate 3.32 2.98 4.22 3.79 3.56 2.81

Bloomberg Barclays Global Aggregate (Hgd) 2.42 3.90 6.07 5.14 4.44 4.07

FTSE Non-U.S. WGBI* 2.98 1.04 0.86 2.87 3.32 1.81

FTSE Non-U.S. WGBI (Hgd) 1.39 2.71 4.33 5.34 4.79 4.32

JPM EMBI Global Diversified** 12.26 -2.76 0.49 3.60 5.30 6.03

JPM GBI-EM Global Diversified*** 9.82 -6.89 -2.82 1.14 2.34 1.64All data in the table are percentages.* Formerly Citigroup. The FTSE Non-U.S. World Government Bond Index (WGBI) measures the performance of fixed-rate, local currency, investment grade sovereign bonds excluding the U.S.** The JP Morgan Emerging Market Bond Index (EMBI) Global Diversified index measures government bonds in hard currencies.*** The JP Morgan Government Bond Index – Emerging Markets (GBI-EM) Global Diversified index measures government bonds in local currencies.

10/18 1/19 4/19 7/19 10/19 1/20 4/20 7/20-1.5%-1.5%

-1.0%-1.0%

-0.5%-0.5%

0.0%0.0%

0.5%0.5%

1.0%1.0%

1.5%1.5%

2.0%2.0%

2.5%2.5%

3.0%3.0%

3.5%3.5%

GY: -0.48%

JP: 0.02%UK: 0.15%CA: 0.52%US: 0.65%

Global 10Y Treasury YieldsUSA Japan UK Germany Canada

14

Q2 2020 In Review: Absolute Return Strategies

Sources this page: FactSet, eVestment

Hedge Fund Performance

• The HFRI Fund Weighted Composite gained 9.08% in Q2.Equity Hedge – up 13.33% -- was the leading strategy, whileGlobal Macro – up 0.76% -- was the laggard.

• Equity Hedge performance was led by Fundamental Growthand Fundamental Value sub-strategies, which were partiallyoffset by Market Neutral approaches amid the long-only marketrebound. Global Macro hedge funds generated rather mutedperformance amid rising uncertainties and dramatic actionstaken by governments globally.

• The Fund of Funds Composite gained 7.48% in Q2. The peergroup underperformed the 60% MSCI ACWI / 40% BloombergBarclays Global Aggregate blended index, which gained12.80%.

HFRI Indices QTD YTD 1-Year 3-Year 5-Year 10-Year

Fund of Funds Composite 7.48 -1.97 0.09 2.12 1.41 2.75

Fund Weighted Composite 9.08 -3.43 -0.54 2.13 2.33 3.72

Event Driven 9.69 -6.68 -4.89 0.52 1.92 3.95

Equity Hedge 13.33 -3.19 0.78 3.03 3.10 4.56

Macro 0.76 -0.87 0.65 1.41 0.71 1.28

Emerging Markets 12.73 -4.44 -1.65 1.22 2.32 2.62

Relative Value 6.41 -4.19 -2.37 1.61 2.42 4.37

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HFR Fund Weighted and Fund of Funds CompositeGrowth of $100 | January 2008 – June 202060% MSCI ACWI-GD/40% Bloomberg Barclays Global Agg

FOF Composite

Fund Weighted Composite

15

Performance• The total return for US private equity funds was -7.5% in Q1 2020*

and 5.8% over the 1-year period ending Q1.• The 3-, 5-, 10-, 15-, and 20-year returns for US private equity

funds were 13.5%, 12.2%, 14.6%, 12.4%, 8.7%, respectively, atthe end of Q1 2020.

• While not entirely immune from the market selloff in March, privateequity returns did not suffer the same drawdown as publicmarkets. However, Q2 2020 performance will be more telling ofthe broader impact to private equity returns.

• Buyout strategies were the driving force behind the Q1 results,down -9.7% with Venture (-2.8%), and Growth (-8.4%) lower forthe quarter.

Fundraising• Globally, private equity funds raised approximately $115.7 billion

across 225 funds in 2Q 2020. This was the lowest number of fund closings in a quarter in the past 5 years.

• As of July 2020, there were currently 3,754 private equity fundsraising capital targeting an aggregate $884 billion.

Exit Activity• Buyout activity and value saw dramatic decreases in 2Q 2020

while Venture Capital experienced increases in exit activity (19%) and relatively flat exit value (3%)

• YoY Buyout exit value (-77%) and exit activity (-43%) weretempered, with Venture Capital exit value slightly down (-13%) with an uptick in exit activity (15%)

Vintage Year

Q2 2020 In Review: Private Equity

Sources this page: Thomson Reuters, Preqin

*Most recent data available from Burgiss PrivateI as of 1Q 2020. Preliminary returns.**Dry powder is capital raised that hasn’t yet been invested.

“Vintage year” refers to the first year that capital was committed in a particular fund. Vintage-year performance is calculated as the median percentile returns of all funds reporting as pooled IRRs.

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1Q17 2Q17 3Q17 4Q17 1Q18 2Q18 3Q18 4Q18 1Q19 2Q19 3Q19 4Q19 1Q20 2Q20

Aggr

egat

e D

eal V

alue

($bn

)

No.

of E

xits

Global Private Equity Exit

Buyout Exit Value VC Exit Value No. of Buyout Exits No. of VC Exits

0.0%

5.0%

10.0%

15.0%

20.0%

1 Yr. 3 Yr. 5 Yr. 10 Yr. 15 Yr. 2018 2017 2016 2015 2014Investment Horizon

Private Equity Performance by Investment Horizon and Vintage YearUS PE Venture Capital Buyouts

0

50

100

150

200

250

300

0

200

400

600

800

1000

Q1 Q2 Q3 Q4 Q1 Q2 Q3 Q4 Q1 Q2 Q3 Q4 Q1 Q2 Q3 Q4 Q1 Q2 Q3 Q4 Q1 Q2

2015 2016 2017 2018 2019 2020

Aggregate Capital R

aised ($bn)

No.

of F

unds

Clo

sed

Global Quarterly Private Equity Fundraising, Q1 2015 - Q2 2020No. of Funds Closed Aggregate Capital Raised ($bn)

16

Q2 2020 In Review: Real EstateReal Estate Performance• NFI ODCE was down 155 Gross and 174 bps Net for the quarter,

while the NCREIF NPI lost 99 bps and NAREIT Equity REIT Indexgained 13.25% for Q1 2020.

• Income for the NFI-ODCE was 91 bps for the quarter, 11 bps downQoQ. Appreciation of assets was negative (246 bps for Q2 2020)due to the continued impact of COVID-19 and economic slowdown.

• Operating property rent diversification at the end of Q2 2020 wasApartment (25.3%), Industrial (16.6%), Office (38.3%), Retail(17.2%), Other (2.5%).

• For Q2, rent collection rates across property types was 86.1% value-weighted and 87.3% equal –weighted. In the U.S., retail sectorappreciation was -3.2% for the first quarter of 2020 and hotel sectorappreciation was -4.75%. More write-downs are expected in thesecond quarter of 2020 as retail and hotel sectors experience tenantdefaults and historically low occupancy.

• Specifically to COVID-19, sectors such as multi-family and industrialsare viewed as defensive as people stay home. These sectors alsobenefited from continued growth of e-commerce.

Real Estate Capitalization Rates* vs. Treasuries• Equal weighted cap rates edged up slightly for the quarter from 4.7 to

4.8%, with the value weighted cap rate rising from 4.31% to 4.37%and driving Q2 2020 returns down QoQ.

• The 10-year Treasury rate continued its downward trajectory, albeitnowhere near the extent experienced in Q1 2020. T-bills ended Q22020 T 66 bps (-5.7% QoQ) and are down 65.6% YTD.

*A cap rate is the potential rate of return on a real estate investment. Assuming no change in net operating income, real estate valuations rise when cap rates fall. Comparing cap rates to the10-year U.S. Treasury provides investors with an estimated spread for expected returns from real estate (higher risk) vs. fixed rate bond (lower risk) investments. Sources this page: NCREIF, Bloomberg

The NFI-ODCE (Open-end Diversified Core Equity) is defined by NCREIF as a fund-level cap-weighted, gross of fee, time-weighted return index with an inception date of December 31, 1977.

0.0%1.0%2.0%3.0%4.0%5.0%6.0%7.0%8.0%9.0%

10.0%

1993

1994

1995

1996

1997

1998

1999

2000

2001

2002

2003

2004

2005

2006

2007

2008

2009

2010

2011

2012

2013

2014

2015

2016

2017

2018

2019

2Q 2

020

Capitalization Rates & 10-Year U.S. Treasury Rates

NCREIF NPI Cap Rates 10-Year Treasury

-5.00%

0.00%

5.00%

10.00%

15.00%

ODCE ODCE ODCE ODCE ODCE

QTD 1-Year 3-Year 5-Year 10-Year

NCREIF Fund Index (NFI) Open-End Diversified Core (ODCE) Real Estate Performance

Income Appreciation

17

Performance• The total return for US private infrastructure funds was -9.1% in Q1

2020* and -7.3% over the 1-year period ending Q1.• The 3-, 5-, 10-, 15-, and 20-year returns for US private

infrastructure funds were 2.3%, 3.3%, 6.2%, 5.9%, 6.0%,respectively, at the end of Q1 2020.

• On a relative basis, US private infrastructure funds experiencedthe greatest drawdown in Q1 (-9.1%) while European funds postedpositive 1.6% and the global composite reporting only a -5.9%return for the quarter.

• Public infrastructure registered a 10.5% return in Q2 2020 and -13.0% YTD, as per the FTSE Global Core Infrastructure 50/50Index. Trailing 1-, 3-, 5-year returns are -7.3%, 3.8% and 6.3%,respectively, with trailing volatility of 29.0%, 16.5%, and 13.3%.

Fundraising• Infrastructure fundraising continued to slow in Q2, with only $11.83

billion raised across 15 closed funds, a 69.4% and 37.5%decrease relative to Q1, respectively. YoY, Q2 capital raised andnumber of funds closed are down 49.7% and 42.3%, respectively.

• Dry powder remained virtually flat for Q2, at $230.6 billion relativeto $230.8 billion for Q1 2020. As of July 2020, there are 246infrastructure funds in market targeting an total aggregate capitalcommitments of $186 billion

Deal Activity• Activity continued to decline for both number of deals and

aggregate deal value. Q2 2020 experienced a 51% declinein number of deals closed (313) and 42% reduction inaggregate deal value, relative to Q1 2020 activity

• European deal activity continued to outpace the rest of theworld, with 45% of all new investments (177 deals) closedon European assets. Renewable energy deals represent59% of all deals closed in Q2 2020.

Q2 2020 In Review: Infrastructure

Sources this page: Thomson Reuters, Preqin

*Most recent data available from Burgiss PrivateI as of 1Q 2020. Preliminary returns.**Dry powder is capital raised that hasn’t yet been invested.

-10.0%

-5.0%

0.0%

5.0%

10.0%

15.0%

1Q 2020 1 Yr. 3 Yr. 5 Yr. 10 Yr. 15 Yr. 20 Yr.

Burgiss Infrastructure Performance by Investment Horizon and Region

Global U.S. Europe

0

50

100

150

200

250

0

200

400

600

800

1,000

1,200


2015 2016 2017 2018 2019 2020

Aggregate Deal Value ($bn)

No.

of D

eals

Global Quarterly Infrastructure Deals, Q1 2015 - Q2 2020

No. of Deals

25

32

22

32

1720

28

42

23

3430

37

2127 28 26

2327 26

38

26

15

0

10

20

30

40

50

60

-5

5

15

25

35

45


2015 2016 2017 2018 2019 2020

Aggregate Capital R

aised ($bn)

No.

of F

unds

Clo

sed

Global Quarterly Unlisted Infrastructure Fundraising, Q1 2015 - Q2 2020

No. of Funds Closed

18

Q2 2020 In Review: Commodities and Currencies

Commodity and Currency Highlights• The Bloomberg Commodity Index gained in Q2. Performance

rebounded after Q1’s loss. Global demand rose as economiesemerged from COVID-related lockdowns.

• Precious metals posted the biggest gain (15%) among subsectors.Demand for both precious and industrial metals picked up aseconomies reopened.

• Energy rose (9.8%). Global demand accelerated and OPEC andRussia agreed to production cuts.

• Agriculture fell (-4.85%) with coffee and wheat prices going lower.• The US dollar was lower in Q2 with the US economy expected to

take a bigger virus-relate hit later in the year. The Japanese yenwas higher. The Canadian dollar the euro both reboundedsomewhat from Q1 lows.


BCOM Indices QTD YTD 1-Year 3-Year 5-Year 10-Year

Bloomberg Commodity Index (BCOM) 5.08 -19.40 -17.38 -6.14 -7.69 -5.82

Energy 9.84 -46.29 -45.74 -14.42 -18.94 -15.76

Agriculture -4.85 -14.23 -13.78 -10.52 -9.59 -4.03

Industrial Metals 12.32 -8.41 -6.40 -1.36 -0.04 -2.93

Precious Metals 15.04 13.77 24.23 9.87 6.72 2.17

Livestock -8.62 -34.33 -33.73 -16.62 -11.06 -6.11

19

2006 2007 2008 2009 2010 2011 2012 2013 2014 2015 2016 2017 2018 2019 YTD

Best34.40 39.78 5.24 79.02 29.09 10.70 19.46 43.30 27.94 5.67 31.74 37.75 1.87 36.39 9.81

532.59 11.81 2.10 58.21 27.27 7.84 18.64 38.82 13.45 3.30 21.31 30.21 1.28 31.43 6.14

26.86 11.63 -2.47 37.21 26.85 6.60 18.05 34.52 13.24 2.38 17.34 25.62 0.01 28.48 2.08

23.48 10.25 -21.37 34.47 24.50 4.98 17.90 33.48 13.05 0.92 17.13 22.17 -1.51 28.03 0.60

22.25 7.05 -26.16 32.46 19.20 2.64 17.51 33.11 9.05 0.55 12.05 21.69 -2.08 26.54 -1.97

18.37 6.97 -28.92 28.43 16.71 1.50 16.42 32.53 5.97 0.03 11.60 14.65 -3.52 25.53 -2.81

15.46 5.77 -33.79 28.40 16.10 0.39 16.35 23.29 5.60 -0.27 11.32 13.66 -4.02 22.66 -3.06

13.35 4.91 -36.85 27.17 15.51 0.08 15.81 8.96 4.89 -0.39 8.44 9.41 -4.78 22.39 -3.80

11.86 3.36 -37.60 20.58 15.12 -2.91 15.26 7.44 4.22 -1.38 7.08 7.84 -8.27 18.90 -9.67

10.39 1.87 -38.07 19.69 8.21 -4.18 14.59 1.15 3.37 -3.83 2.65 7.77 -9.31 14.32 -11.07

9.07 -0.17 -38.44 12.91 6.54 -5.50 6.78 0.05 2.45 -4.41 1.51 7.50 -11.01 8.72 -12.98

4.84 -1.57 -38.54 11.47 5.70 -5.72 4.79 -2.02 0.04 -4.47 0.51 5.45 -12.86 8.39 -13.85

64.76 -9.78 -43.06 5.93 2.38 -11.73 4.21 -2.27 -1.82 -7.47 0.25 3.54 -13.36 7.54 -16.26

Worst4.34 -17.70 -53.18 0.17 0.13 -18.17 0.08 -2.55 -4.48 -14.60 0.25 0.86 -14.25 2.28 -23.50

R1000 R1000V R1000G R2000 R2000V R2000G MSCI EAFEMSCI

EmergingMarkets

Blmbg.Barc.

MunicipalBond

BarclaysAgg.

Blmbg.Barc. U.S.Corp: High

Yield

HFRI Fundof Funds

Comp

Dow JonesWilshire

REIT

90 Day U.S.Treasury Bill

Segal Marco Advisors Benchmark Report As of June 30, 2020

20

Executive Summary

21

June 30, 2020 : $265,647,745 March 31, 2020 : $239,419,190

Market Value($)

Allocation(%)

Large Cap Growth 99,994,132 37.64¢£

Fixed Portfolio 74,728,817 28.13¢£

SCERS Equity Income 68,113,838 25.64¢£

International 17,271,423 6.50¢£

Operating Cash 5,539,535 2.09¢£

Market Value($)

Allocation(%)

Large Cap Growth 84,994,225 35.50¢£

Fixed Portfolio 75,146,135 31.39¢£

SCERS Equity Income 59,042,341 24.66¢£

International 15,033,372 6.28¢£

Operating Cash 5,203,117 2.17¢£

CITY OF SACRAMENTO

Asset Allocation Chart As of June 30, 2020

22

Jun-2020

SegmentsMarket Value

($)Allocation

(%)

Domestic Equity 167,194,338 62.94

International Equity 17,222,517 6.48

Domestic Fixed Income 72,744,238 27.38

Mortgage 1,776,946 0.67

Cash Equivalent 6,709,706 2.53

Mar-2020


($)Allocation

(%)




Mortgage 1,870,478 0.78


CITY OF SACRAMENTO

Total Plan As of June 30, 2020

23

Jun-2020

Allocation Differences

0.0% 2.0% 4.0% 6.0%-2.0 %-4.0 %

Operating Cash

Fixed Income Composite

International

SCERS Equity Income

Large Cap Growth

2.1%

-1.9 %

-1.0 %

-1.9 %

2.6%

Mar-2020

Allocation Differences

0.0% 2.0% 4.0%-2.0 %-4.0 %-6.0 %

Operating Cash


International

SCERS Equity Income

Large Cap Growth

2.2%

1.4%

-1.2 %

-2.8 %

0.5%

Jun-2020Market Value

($)Allocation

(%)Target

(%)

Large Cap Growth 99,994,132 37.64 35.00

SCERS Equity Income 68,113,838 25.64 27.50

International 17,271,423 6.50 7.50

Fixed Income Composite 74,728,817 28.13 30.00

Operating Cash 5,539,535 2.09 0.00

Total Fund 265,647,745 100.00 100.00

Mar-2020Market Value

($)Allocation

(%)Target

(%)

Large Cap Growth 84,994,225 35.50 35.00

SCERS Equity Income 59,042,341 24.66 27.50

International 15,033,372 6.28 7.50

Fixed Income Composite 75,146,135 31.39 30.00

Operating Cash 5,203,117 2.17 0.00

Total Fund 239,419,190 100.00 100.00

CITY OF SACRAMENTO

Asset Allocation vs. Target Allocation As of June 30, 2020

24

Domestic Equity International Equity Domestic Fixed Income Mortgage Cash Equivalent

0.0

10.0

20.0

30.0

40.0

50.0

60.0

70.0

80.0

90.0

100.0

Allo

cati

on

(%)

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 6/17 12/17 6/18 12/18 6/19 12/19 6/20

CITY OF SACRAMENTO

Historical Asset Allocation by Segment 10 Years Ending June 30, 2020CITY OF SACRAMENTO

25

Allocation

Market Value($000) %

Performance (%)

1Quarter

Jul-2019To

Jun-20201

Year3

Years5

Years7

Years10

Years

1Year

EndingJun-2019

1Year

EndingJun-2018

1Year

EndingJun-2017

SinceInception

InceptionDate

Total Plan* 265,648 100.00 13.95 3.25 3.25 6.10 6.31 7.23 8.10 7.27 7.83 10.23 8.36 01/01/1979

Actuarial Assumption 1.59 6.50 6.50 6.50 6.50 6.50 6.50 6.50 6.50 6.50 7.16

Difference 12.36 -3.25 -3.25 -0.40 -0.19 0.73 1.60 0.77 1.33 3.73 1.20

Custom Index - Target 12.62 1.11 1.11 4.41 5.14 5.72 6.76 7.06 5.15 8.53 8.68

Difference 1.33 2.14 2.14 1.69 1.17 1.51 1.34 0.21 2.68 1.70 -0.32

Domestic Equity Composite 168,108 63.28 18.81 1.83 1.83 6.84 7.61 9.26 11.08 7.39 11.52 15.61 7.57 01/01/1983

Domestic Equity Index 21.46 4.53 4.53 7.99 7.92 9.54 11.52 6.91 12.68 16.19 8.61

Difference -2.65 -2.70 -2.70 -1.15 -0.31 -0.28 -0.44 0.48 -1.16 -0.58 -1.04

Large Cap Growth 99,994 37.64 21.37 7.51 7.51 9.45 9.07 10.76 11.95 6.88 14.11 17.97 6.28 12/01/1992

Large Cap Index 19.95 5.39 5.39 8.56 8.49 9.85 11.64 8.22 12.17 15.46 6.56

Difference 1.42 2.12 2.12 0.89 0.58 0.91 0.31 -1.34 1.94 2.51 -0.28

SCERS Equity Income 68,114 25.64 15.16 -5.71 -5.71 3.27 5.83 7.03 10.07 8.05 8.11 11.65 8.64 04/01/1986

SCERS Equity Income Index 13.46 -11.33 -11.33 -0.80 4.52 5.58 8.23 5.66 4.18 12.66 7.29

Difference 1.70 5.62 5.62 4.07 1.31 1.45 1.84 2.39 3.93 -1.01 1.35

International 17,271 6.50 16.34 -5.45 -5.45 0.74 1.06 2.19 2.01 1.19 6.87 18.78 0.27 03/01/2006

International Index 15.38 -7.05 -7.05 -1.45 -0.36 1.07 2.22 -1.52 4.58 17.47 -0.15

Difference 0.96 1.60 1.60 2.19 1.42 1.12 -0.21 2.71 2.29 1.31 0.42

Fixed Income Composite 74,729 28.13 4.64 7.54 7.54 6.06 5.44 5.50 6.02 8.49 2.24 1.43 8.43 01/01/1979

Fixed Portfolio Index 2.90 8.74 8.74 5.32 4.30 3.96 3.82 7.87 -0.40 -0.31 7.36

Difference 1.74 -1.20 -1.20 0.74 1.14 1.54 2.20 0.62 2.64 1.74 1.07

Fixed Portfolio 74,729 28.13 4.64 7.54 7.54 6.06 5.44 5.50 6.02 8.49 2.24 1.43 8.24 01/01/1979

Fixed Portfolio Index 2.90 8.74 8.74 5.32 4.30 3.96 3.82 7.87 -0.40 -0.31 7.36

Difference 1.74 -1.20 -1.20 0.74 1.14 1.54 2.20 0.62 2.64 1.74 0.88

-Segal Marco's calculation of the Fixed Portfolio's return includes accrued income starting 12/1/07. This will differ from SCERS' return calculation due to our inability to retroactively include accrued income into past market values.

CITY OF SACRAMENTO

As of June 30, 2020 CITY OF SACRAMENTO

*Please note that the percentage allocation does not include the Operating Cash segment. Therefore, the Total Plan will always add up to 100% less the Operating Cash.**Please see Appendix for Custom Policy Index historical allocations.

26

1Quarter

Jul-2019To

Jun-20201

YearSince

InceptionInception

Date

Large Cap Growth 21.37 7.51 7.51 8.82 07/01/2014

Large Cap Growth (without options) 21.92 8.16 8.16 9.13

Difference -0.55 -0.65 -0.65 -0.31

CITY OF SACRAMENTO Large Cap Portfolio Options Performance

Comparative Performance As of June 30, 2020

Returns for periods greater than one year are annualized.Returns are expressed as percentages.

27

Current Quarter Financial Reconciliation ($000)

Fiscal Year-To-Date Financial Reconciliation ($000)

Market ValueAs of

04/01/2020Net

Transfers Contributions Distributions Fees Expenses Income Capital Apprec./Deprec.

Market ValueAs of

06/30/2020

Domestic Equity Composite 144,036,566 -2,939,725 - - - - 844,513 27,011,129 168,107,970

Large Cap Growth 84,994,225 -3,070,811 - - - - 407,790 18,070,718 99,994,132

SCERS Equity Income 59,042,341 131,086 - - - - 436,723 8,940,411 68,113,838

International 15,033,372 -217,793 - - - - 200,722 2,455,844 17,271,423

Fixed Income Composite 75,146,135 -3,803,772 - - - - 811,984 3,386,454 74,728,817

Fixed Portfolio 75,146,135 -3,803,772 - - - - 811,984 3,386,454 74,728,817

Operating Cash 5,203,117 318,353 - - - - 251,897 18,065 5,539,535

Total Plan 239,419,190 -6,642,937 - - - - 2,109,116 32,871,492 265,647,745

Market ValueAs of

07/01/2019Net


Market ValueAs of

06/30/2020

Domestic Equity Composite 178,709,968 -14,452,672 - - - - 4,025,209 3,850,674 168,107,970

Large Cap Growth 102,402,054 -10,020,737 - - - - 1,980,003 7,612,815 99,994,132

SCERS Equity Income 76,307,914 -4,431,935 - - - - 2,045,206 -3,762,141 68,113,838

International 22,320,990 -4,081,334 - - - - 534,431 -968,233 17,271,423

Fixed Income Composite 79,975,273 -10,921,933 - - - - 3,601,413 5,675,477 74,728,817

Fixed Portfolio 79,975,273 -10,921,933 - - - - 3,601,413 5,675,477 74,728,817

Operating Cash 3,088,992 2,359,959 - - - - 751,362 90,584 5,539,535

Total Plan 284,095,223 -27,095,980 - - - - 8,912,415 8,648,502 265,647,745

Financial Reconciliation Multi Report

As of June 30, 2020

CITY OF SACRAMENTO

28

1-Year Financial Reconciliation ($000)


Market ValueAs of

07/01/2019Net


Market ValueAs of

06/30/2020


Large Cap Growth 102,402,054 -10,020,737 - - - - 1,980,003 7,612,815 99,994,132

SCERS Equity Income 76,307,914 -4,431,935 - - - - 2,045,206 -3,762,141 68,113,838

International 22,320,990 -4,081,334 - - - - 534,431 -968,233 17,271,423


Fixed Portfolio 79,975,273 -10,921,933 - - - - 3,601,413 5,675,477 74,728,817

Operating Cash 3,088,992 2,359,959 - - - - 751,362 90,584 5,539,535

Total Plan 284,095,223 -27,095,980 - - - - 8,912,415 8,648,502 265,647,745

Market ValueAs of

07/01/2017Net


Market ValueAs of

06/30/2020


Large Cap Growth 104,676,262 -32,807,301 - - - - 5,437,439 28,125,171 99,994,132

SCERS Equity Income 71,827,231 -11,600,463 - - - - 6,369,590 7,887,070 68,113,838

International 10,547,803 6,821,289 - - - - 1,705,617 -97,669 17,271,423


Fixed Portfolio 94,558,435 -33,983,080 - - - - 12,113,618 14,153,462 74,728,817

Operating Cash 7,923,749 -2,679,634 - - - - 1,319,848 295,420 5,539,535

Total Plan 289,533,480 -74,249,189 - - - - 26,946,112 50,363,454 265,647,745


As of June 30, 2020

CITY OF SACRAMENTO

29



Market ValueAs of

07/01/2015Net


Market ValueAs of

06/30/2020


Large Cap Growth 111,164,949 -57,168,790 - - - - 10,660,029 45,997,973 99,994,132

SCERS Equity Income 49,509,549 -573,787 - - - - 9,315,909 19,178,076 68,113,838

International 25,686,023 -6,258,067 - - - - 2,798,804 -2,156,533 17,271,423


Fixed Portfolio 116,755,605 -65,920,304 - - - - 24,189,613 23,893,516 74,728,817

Operating Cash 953,153 4,244,392 - - - - 1,360,152 341,990 5,539,535

Total Plan 304,069,279 -125,676,556 - - - - 48,324,507 87,255,022 265,647,745

Market ValueAs of

07/01/2010Net


Market ValueAs of

06/30/2020


Large Cap Growth 82,912,635 -98,070,353 - - - - 17,149,918 115,151,850 99,994,132

SCERS Equity Income 27,520,087 -5,441,870 - - - - 16,178,572 46,035,621 68,113,838

International 27,544,548 -12,181,320 - - - - 5,361,963 1,908,195 17,271,423


Fixed Portfolio 138,297,039 -130,023,717 - - - - 48,799,416 66,455,495 74,728,817

Operating Cash 5,912,853 -893,688 - - - - 1,575,130 520,370 5,539,535

Total Plan 282,187,162 -246,610,948 - - - - 89,064,999 230,071,531 265,647,745


As of June 30, 2020

CITY OF SACRAMENTO

30

Total Plan Review

31

Rolling 3 Yrs Active Return Rolling Tracking Error Active Return

0.0

8.0

16.0

24.0

32.0

40.0

-8.0

-16.0

-24.0

-32.0

Act

ive

R

etur

n (%

)

3/79 12/80 9/82 6/84 3/86 12/87 9/89 6/91 3/93 12/94 9/96 6/98 3/00 12/01 9/03 6/05 3/07 12/08 9/10 6/12 3/14 12/15 9/17 6/20

1 Qtr

Jul-2019To

Jun-2020 1 Yr 2 Yrs 3 Yrs 4 Yrs 5 Yrs 7 Yrs 10 YrsSince

InceptionInception

Date

Total Plan 13.95 3.25 3.25 5.24 6.10 7.11 6.31 7.23 8.10 8.36 01/01/1979

Actuarial Assumption 1.59 6.50 6.50 6.50 6.50 6.50 6.50 6.50 6.50 7.16

Difference 12.36 -3.25 -3.25 -1.26 -0.40 0.61 -0.19 0.73 1.60 1.20

Comparative Performance & 3-Year Rolling Return

Comparative Performance & Rolling Return As of June 30, 2020

Gross Of Fees

32


0.0

8.0

16.0

24.0

32.0

40.0

-8.0

-16.0

-24.0

-32.0

Act

ive

R

etur

n (%

)

3/79 12/80 9/82 6/84 3/86 12/87 9/89 6/91 3/93 12/94 9/96 6/98 3/00 12/01 9/03 6/05 3/07 12/08 9/10 6/12 3/14 12/15 9/17 6/20

1Year

EndingJun-2020

1Year

EndingJun-2019

1Year

EndingJun-2018

1Year

EndingJun-2017

1Year

EndingJun-2016

1Year

EndingJun-2015

1Year

EndingJun-2014

1Year

EndingJun-2013

1Year

EndingJun-2012

1Year

EndingJun-2011

1Year

EndingJun-2010

1Year

EndingJun-2009

1 Year

EndingJun-2008

1 Year

EndingJun-2007

Total Plan 3.25 7.27 7.83 10.23 3.16 4.81 14.55 8.13 5.42 17.25 12.20 -14.93 1.34 12.25

Actuarial Assumption 6.50 6.50 6.50 6.50 6.50 6.50 6.50 6.50 6.50 6.50 6.50 6.50 6.50 6.50

Difference -3.25 0.77 1.33 3.73 -3.34 -1.69 8.05 1.63 -1.08 10.75 5.70 -21.43 -5.16 5.75



Gross Of Fees

33


0.0

4.0

8.0

12.0

16.0

20.0

-4.0

-8.0

-12.0

-16.0

-20.0

Act

ive

R

etur

n (%

)

3/79 12/80 9/82 6/84 3/86 12/87 9/89 6/91 3/93 12/94 9/96 6/98 3/00 12/01 9/03 6/05 3/07 12/08 9/10 6/12 3/14 12/15 9/17 6/20

1 Qtr

Jul-2019To

Jun-2020 1 Yr 2 Yrs 3 Yrs 4 Yrs 5 Yrs 7 Yrs 10 YrsSince

InceptionInception

Date

Total Plan 13.95 3.25 3.25 5.24 6.10 7.11 6.31 7.23 8.10 8.36 01/01/1979

Custom Index - Target* 12.62 1.11 1.11 4.04 4.41 5.42 5.14 5.72 6.76 8.68

Difference 1.33 2.14 2.14 1.20 1.69 1.69 1.17 1.51 1.34 -0.32



*Please see Appendix for Custom Policy Index historical allocations.

34


0.0

4.0

8.0

12.0

16.0

-4.0

-8.0

-12.0

-16.0

-20.0

Act

ive

R

etur

n (%

)

3/79 12/80 9/82 6/84 3/86 12/87 9/89 6/91 3/93 12/94 9/96 6/98 3/00 12/01 9/03 6/05 3/07 12/08 9/10 6/12 3/14 12/15 9/17 6/20

1Year

EndingJun-2020

1Year

EndingJun-2019

1Year

EndingJun-2018

1Year

EndingJun-2017

1Year

EndingJun-2016

1Year

EndingJun-2015

1Year

EndingJun-2014

1Year

EndingJun-2013

1Year

EndingJun-2012

1Year

EndingJun-2011

1Year

EndingJun-2010

1Year

EndingJun-2009

1 Year

EndingJun-2008

1 Year

EndingJun-2007

Total Plan 3.25 7.27 7.83 10.23 3.16 4.81 14.55 8.13 5.42 17.25 12.20 -14.93 1.34 12.25

Custom Index - Target* 1.11 7.06 5.15 8.53 4.01 1.38 13.32 8.00 4.26 15.72 12.03 -11.80 -6.72 12.87

Difference 2.14 0.21 2.68 1.70 -0.85 3.43 1.23 0.13 1.16 1.53 0.17 -3.13 8.06 -0.62




35

3-Year Risk and Return Up Market Capture Ratio vs. Domestic Equity Index

5-Year Risk and Return Down Market Capture Ratio vs. Domestic Equity Index

Domestic Equity Composite Domestic Equity Index

S&P 500 (Price)

5.6

6.4

7.2

8.0

8.8

9.6

Ret

urn

(%)

16.2 16.4 16.6 16.8 17.0 17.2 17.4 17.6 17.8

Risk (Standard Deviation %)

S&P 500 (Price)

Domestic Equity Index

Domestic Equity Composite


0.0

50.0

100.0

150.0

3Years

5Years

Time Periods

100.0 100.096.0 96.0


S&P 500 (Price)

7.0

7.5

8.0

8.5

9.0

Ret

urn

(%)

14.2 14.4 14.6 14.8 15.0 15.2 15.4 15.6


S&P 500 (Price)

Domestic Equity Index

Domestic Equity Composite


0.0

50.0

100.0

150.0

3Years

5Years

Time Periods

100.0 100.0100.2 96.2

CITY OF SACRAMENTO

As of June 30, 2020

Risk & Return/Market Capture Multi Report

Gross of fees


36

Buy-and-Hold Portfolio 19.53

Portfolio Trading -0.72

Actual Return 18.81

Benchmark Return 22.03

Actual Active Return -3.22

Stock Selection -0.96

Sector Selection -2.57

Interaction 0.88

Total Selection -2.65


Benchmark Trading -0.15

Active Trading Impact -0.57

Buy & Hold Active Return -3.22

Allocation — 04/01/2020

Portfolio Benchmark

Performance — 1 Quarter Ending June 30, 2020

Portfolio Benchmark

Attribution

Stock Sector Interaction Total

Energy 0.60 2.46 24.86 32.31 -0.18 -0.19 0.14 -0.23

Materials 0.00 2.60 0.00 26.10 0.00 -0.10 0.00 -0.10

Industrials 2.05 9.04 32.22 20.68 1.04 0.10 -0.81 0.34

Consumer Discretionary 3.85 10.02 32.97 37.47 -0.45 -0.94 0.28 -1.12

Consumer Staples 1.36 7.06 10.35 8.88 0.10 0.76 -0.08 0.78

Health Care 1.49 15.64 9.41 16.42 -1.10 0.81 0.99 0.71

Financials 1.24 11.44 7.68 12.67 -0.57 0.97 0.51 0.91

Information Technology 4.40 24.50 31.49 31.64 -0.04 -1.90 0.03 -1.91

Communication Services 2.28 9.84 23.40 21.04 0.23 0.09 -0.18 0.14

Utilities 0.00 3.52 0.00 2.37 0.00 0.70 0.00 0.70

Real Estate 0.00 3.87 0.00 13.58 0.00 0.33 0.00 0.33

Other 81.40 0.00 18.62 0.00 0.00 -2.90 0.00 -2.90

Cash 1.34 0.00 0.00 0.00 0.00 -0.30 0.00 -0.30

Total 100.00 100.00 19.53 22.18 -0.96 -2.57 0.88 -2.65

CITY OF SACRAMENTO

Domestic Equity Composite 1 Quarter Ending June 30, 2020

37

Portfolio CharacteristicsPortfolio Benchmark

Wtd. Avg. Mkt. Cap ($) 112,400,597,580 324,318,076,775

Median Mkt. Cap ($) 36,661,239,000 1,460,493,900

Price/Earnings ratio 23.03 22.81

Price/Book ratio 4.22 3.93

5 Yr. EPS Growth Rate (%) 10.10 12.15

Current Yield (%) 2.20 1.74

Beta (5 Years, Monthly) 0.95 1.00

Number of Stocks 46 3,009

Distribution of Market Capitalization (%)

Domestic Equity Composite Russell 3000 Index

0.0

20.0

40.0

60.0

80.0

>100 Bil 75 Bil - 100 Bil

25 Bil - 75 Bil

15 Bil - 25 Bil

2 Bil - 15 Bil

0 - 2 Bil

Cash

50.4

3.6

19.8

7.7

15.4

3.10.0

24.0

1.3

31.8

12.4

23.2

6.7

0.5

CITY OF SACRAMENTO

Domestic Equity Composite As of June 30, 2020CITY OF SACRAMENTO

*Number of stocks includes underlying ETF holdings. Actual number of stocks & ETF's = 80

38

3-Year Risk and Return Up Market Capture Ratio vs. Fixed Portfolio Index

5-Year Risk and Return Down Market Capture Ratio vs. Fixed Portfolio Index

Fixed Income Composite Fixed Portfolio Index

5.2

5.6

6.0

6.4

Ret

urn

(%)

2.8 3.0 3.2 3.4 3.6 3.8 4.0 4.2


Fixed Portfolio Index



0.0

50.0

100.0

150.0

3Years

5Years

Time Periods

100.0 100.0

113.3 114.2


3.6

4.2

4.8

5.4

6.0

6.6

Ret

urn

(%)

2.9 3.0 3.1 3.2 3.3 3.4 3.5 3.6





0.0

50.0

100.0

150.0

200.0

3Years

5Years

Time Periods

100.0 100.0112.2

90.9

CITY OF SACRAMENTO

As of June 30, 2020


Gross of fees

39

Large Cap Growth

40

Jun-2020


($)Allocation

(%)


Cash Equivalent 294,153 0.29

Mar-2020


($)Allocation

(%)



CITY OF SACRAMENTO

Large Cap Growth As of June 30, 2020

41


0.0

6.0

12.0

18.0

24.0

-6.0

-12.0

-18.0

-24.0

-30.0

Act

ive

R

etu

rn (%

)

3/93 6/94 9/95 12/96 3/98 6/99 9/00 12/01 3/03 6/04 9/05 12/06 3/08 6/09 9/10 12/11 3/13 6/14 9/15 12/16 3/18 6/19 6/20

1 Qtr 1 Yr 2 Yrs 3 Yrs 4 Yrs 5 Yrs 7 Yrs 10 YrsSince

InceptionInception

Date

Large Cap Growth 21.37 7.51 7.19 9.45 11.52 9.07 10.76 11.95 6.28 12/01/1992

Large Cap Index* 19.95 5.39 6.79 8.56 10.24 8.49 9.85 11.64 6.56

Difference 1.42 2.12 0.40 0.89 1.28 0.58 0.91 0.31 -0.28




42


0.0

6.0

12.0

18.0

24.0

-6.0

-12.0

-18.0

-24.0

-30.0

Act

ive

R

etur

n (%

)

3/93 6/94 9/95 12/96 3/98 6/99 9/00 12/01 3/03 6/04 9/05 12/06 3/08 6/09 9/10 12/11 3/13 6/14 9/15 12/16 3/18 6/19 6/20

1Year

EndingJun-2020

1Year

EndingJun-2019

1Year

EndingJun-2018

1Year

EndingJun-2017

1Year

EndingJun-2016

1Year

EndingJun-2015

1Year

EndingJun-2014

1Year

EndingJun-2013

1Year

EndingJun-2012

1Year

EndingJun-2011

1Year

EndingJun-2010

1Year

EndingJun-2009

1 Year

EndingJun-2008

1 Year

EndingJun-2007

Large Cap Growth 7.51 6.88 14.11 17.97 -0.19 7.55 23.18 14.74 2.91 28.04 7.71 -39.57 -1.31 13.10

Large Cap Index* 5.39 8.22 12.17 15.46 1.73 5.25 22.04 17.92 3.14 28.13 12.12 -28.18 -14.86 17.66

Difference 2.12 -1.34 1.94 2.51 -1.92 2.30 1.14 -3.18 -0.23 -0.09 -4.41 -11.39 13.55 -4.56




43

3-Year Risk and Return Up Market Capture Ratio vs. Large Cap Index

5-Year Risk and Return Down Market Capture Ratio vs. Large Cap Index

Large Cap Growth Large Cap Index

8.0

8.5

9.0

9.5

10.0

Ret

urn

(%)

16.4 16.6 16.8 17.0 17.2 17.4


Large Cap Index

Large Cap Growth


0.0

50.0

100.0

150.0

3Years

5Years

Time Periods

100.0 100.0103.9 102.2


8.1

8.4

8.7

9.0

9.3

9.6

Ret

urn

(%)

14.6 14.7


Large Cap Index

Large Cap Growth


0.0

50.0

100.0

150.0

3Years

5Years

Time Periods

100.0 100.0100.9 99.8

CITY OF SACRAMENTO

As of June 30, 2020


Gross of fees

44



Actual Return 21.37


Actual Active Return 0.83

Stock Selection 4.11

Sector Selection 0.48

Interaction -3.45

Total Selection 1.14




Buy & Hold Active Return 0.83


Portfolio Benchmark


Portfolio Benchmark

Attribution


Energy 0.00 2.65 0.00 30.52 0.00 -0.26 0.00 -0.26

Materials 0.00 2.43 0.00 26.02 0.00 -0.13 0.00 -0.13

Industrials 0.00 8.22 0.00 19.98 0.00 0.06 0.00 0.06

Consumer Discretionary 4.98 9.80 32.35 32.90 -0.05 -0.59 0.03 -0.61

Consumer Staples 0.56 7.79 22.60 8.12 1.13 0.91 -1.05 0.99

Health Care 1.17 15.38 18.78 13.26 0.85 1.06 -0.78 1.13

Financials 0.00 10.93 0.00 12.17 0.00 0.94 0.00 0.94

Information Technology 5.76 25.48 37.72 30.51 1.83 -1.93 -1.42 -1.51

Communication Services 3.86 10.74 23.40 20.10 0.35 0.04 -0.23 0.17

Utilities 0.00 3.57 0.00 2.72 0.00 0.64 0.00 0.64

Real Estate 0.00 3.01 0.00 13.25 0.00 0.23 0.00 0.23

Other 82.40 0.00 20.44 0.00 0.00 -0.24 0.00 -0.24

Cash 1.26 0.00 0.00 0.00 0.00 -0.26 0.00 -0.26

Total 100.00 100.00 21.88 20.74 4.11 0.48 -3.45 1.14

CITY OF SACRAMENTO

Large Cap Growth 1 Quarter Ending June 30, 2020

45



Actual Return 21.37




Style Selection -0.84

Interaction -5.85






Allocation-04/01/2020

Portfolio Benchmark

Performance-1 Quarter Ending June 30,2020

Portfolio Benchmark

Attribution

Stock Style Interaction Total

Cash 1.26 0.00 0.00 0.00 0.00 -0.26 0.00 -0.26

Large Growth 5.64 32.59 36.47 27.82 2.82 -1.91 -2.33 -1.42

Large Neutral 6.60 29.47 31.83 16.43 4.54 0.99 -3.52 2.00

Large Value 1.41 17.83 15.43 12.91 0.45 1.29 -0.42 1.32

Mid Growth 0.00 2.58 0.00 26.42 0.00 -0.15 0.00 -0.15

Mid Neutral 0.00 5.07 0.00 22.47 0.00 -0.09 0.00 -0.09

Mid Value 0.00 7.47 0.00 22.55 0.00 -0.14 0.00 -0.14

Small Neutral 0.00 0.01 0.00 0.98 0.00 0.00 0.00 0.00

Small Value 0.00 0.06 0.00 64.24 0.00 -0.03 0.00 -0.03

Unclassified 85.09 4.92 20.57 20.05 0.03 -0.55 0.42 -0.11

Total 100.00 100.00 21.88 20.74 7.83 -0.84 -5.85 1.14

CITY OF SACRAMENTO

Buy and Hold Style Attribution 1 Quarter Ending June 30, 2020

46


Wtd. Avg. Mkt. Cap ($) 150,680,636,547 383,281,861,830

Median Mkt. Cap ($) 23,357,839,050 21,806,110,000






Number of Stocks 32 505


Large Cap Growth S&P 500*

0.0

25.0

50.0

75.0

100.0

>100 Bil 75 Bil - 100 Bil

25 Bil - 75 Bil

15 Bil - 25 Bil

2 Bil - 15 Bil

0 - 2 Bil

Cash

59.5

4.4

22.0

7.8 6.3

0.0 0.0

28.1

1.2

18.115.9

28.4

8.0

0.3

CITY OF SACRAMENTO

Large Cap Growth As of June 30, 2020CITY OF SACRAMENTO

*ETF investments and their underlying holdings are represented as one stock position in the Funds Portfolio Charactersitics, "Number of Stocks".

47

SCERS Equity Income

48

Jun-2020


($)Allocation

(%)



Mar-2020


($)Allocation

(%)



CITY OF SACRAMENTO

SCERS Equity Income As of June 30, 2020

49


0.0

10.0

20.0

30.0

40.0

50.0

-10.0

-20.0

-30.0

-40.0

-50.0

Act

ive

R

etu

rn (%

)

6/86 12/87 6/89 12/90 6/92 12/93 6/95 12/96 6/98 12/99 6/01 12/02 6/04 12/05 6/07 12/08 6/10 12/11 6/13 12/14 6/16 12/17 6/19 6/20


InceptionInception

Date

SCERS Equity Income 15.16 -5.71 0.93 3.27 5.30 5.83 7.03 10.07 8.64 04/01/1986

SCERS Equity Income Index* 13.46 -11.33 -3.21 -0.80 2.40 4.52 5.58 8.23 7.29

Difference 1.70 5.62 4.14 4.07 2.90 1.31 1.45 1.84 1.35




50


0.0

15.0

30.0

45.0

60.0

-15.0

-30.0

-45.0

Act

ive

R

etur

n (%

)

6/86 12/87 6/89 12/90 6/92 12/93 6/95 12/96 6/98 12/99 6/01 12/02 6/04 12/05 6/07 12/08 6/10 12/11 6/13 12/14 6/16 12/17 6/19 6/20

1Year

EndingJun-2020

1Year

EndingJun-2019

1Year

EndingJun-2018

1Year

EndingJun-2017

1Year

EndingJun-2016

1Year

EndingJun-2015

1Year

EndingJun-2014

1Year

EndingJun-2013

1Year

EndingJun-2012

1Year

EndingJun-2011

1Year

EndingJun-2010

1Year

EndingJun-2009

1 Year

EndingJun-2008

1 Year

EndingJun-2007

SCERS Equity Income -5.71 8.05 8.11 11.65 7.98 7.80 12.39 11.95 12.62 28.68 17.79 -29.29 3.52 25.07

SCERS Equity Income Index* -11.33 5.66 4.18 12.66 13.42 -2.33 20.08 13.91 6.05 24.81 20.17 -27.11 -31.37 14.57

Difference 5.62 2.39 3.93 -1.01 -5.44 10.13 -7.69 -1.96 6.57 3.87 -2.38 -2.18 34.89 10.50




51

3-Year Risk and Return Up Market Capture Ratio vs. SCERS Equity Income Index

5-Year Risk and Return Down Market Capture Ratio vs. SCERS Equity Income Index

SCERS Equity Income SCERS Equity Income Index

-4.0

-2.0

0.0

2.0

4.0

6.0

Ret

urn

(%)

16.8 17.0 17.2 17.4 17.6 17.8 18.0 18.2


SCERS Equity Income Index

SCERS Equity Income


0.0

50.0

100.0

150.0

3Years

5Years

Time Periods

100.0 100.0108.2

102.9


3.5

4.2

4.9

5.6

6.3

7.0

Ret

urn

(%)

14.5 14.6 14.7 14.8 14.9 15.0 15.1 15.2


SCERS Equity Income Index

SCERS Equity Income


0.0

50.0

100.0

150.0

3Years

5Years

Time Periods

100.0 100.090.2

96.1

CITY OF SACRAMENTO

As of June 30, 2020

Peer Group Scattergram/Market Capture Multi Report

Gross of fees

52



Actual Return 15.16



Stock Selection -2.14

Sector Selection 1.56

Interaction 2.09







Portfolio Benchmark


Portfolio Benchmark

Attribution


Energy 1.47 5.44 24.86 32.31 -0.41 -0.70 0.30 -0.81

Materials 0.00 4.18 0.00 27.54 0.00 -0.54 0.00 -0.54

Industrials 4.99 9.46 32.22 22.40 0.93 -0.35 -0.44 0.14

Consumer Discretionary 2.21 5.17 34.97 30.06 0.25 -0.46 -0.14 -0.35

Consumer Staples 2.50 10.59 6.36 7.86 -0.16 0.55 0.12 0.51

Health Care 1.95 15.53 1.31 10.37 -1.41 0.58 1.23 0.40

Financials 3.03 21.33 7.68 11.08 -0.73 0.65 0.62 0.55

Information Technology 2.44 6.81 10.33 19.49 -0.62 -0.21 0.40 -0.44

Communication Services 0.00 8.63 0.00 12.10 0.00 0.22 0.00 0.22

Utilities 0.00 7.78 0.00 2.84 0.00 0.92 0.00 0.92

Real Estate 0.00 5.08 0.00 12.74 0.00 0.10 0.00 0.10

Other 79.95 0.00 15.91 0.00 0.00 1.03 0.00 1.03

Cash 1.44 0.00 0.00 0.00 0.00 -0.21 0.00 -0.21

Total 100.00 100.00 16.14 14.63 -2.14 1.56 2.09 1.51

CITY OF SACRAMENTO

SCERS Equity Income 1 Quarter Ending June 30, 2020

53



Actual Return 15.16




Style Selection -0.57

Interaction -4.41






Allocation-04/01/2020

Portfolio Benchmark

Performance-1 Quarter Ending June 30,2020

Portfolio Benchmark

Attribution

Stock Style Interaction Total

Cash 1.44 0.00 0.00 0.00 0.00 -0.21 0.00 -0.21

Large Growth 5.36 2.14 5.22 7.82 -0.06 -0.22 -0.08 -0.36

Large Neutral 5.41 30.69 13.72 9.44 1.31 1.31 -1.08 1.54

Large Value 5.62 33.27 28.83 13.26 5.18 0.38 -4.30 1.25

Mid Growth 0.00 0.63 0.00 22.94 0.00 -0.05 0.00 -0.05

Mid Neutral 0.00 7.52 0.00 20.68 0.00 -0.46 0.00 -0.46

Mid Value 0.00 19.78 0.00 21.17 0.00 -1.29 0.00 -1.29

Small Neutral 0.00 0.11 0.00 55.57 0.00 -0.04 0.00 -0.04

Small Value 0.00 1.45 0.00 37.10 0.00 -0.32 0.00 -0.32

Unclassified 82.17 4.40 16.42 15.07 0.06 0.34 1.06 1.46

Total 100.00 100.00 16.14 14.63 6.50 -0.57 -4.41 1.51

CITY OF SACRAMENTO

Buy and Hold Style Attribution 1 Quarter Ending June 30, 2020

54


Wtd. Avg. Mkt. Cap ($) 56,203,805,172 113,862,376,829

Median Mkt. Cap ($) 23,357,839,050 8,979,116,300






Number of Stocks 28 839


SCERS Equity Income Russell 1000 Value Index

0.0

20.0

40.0

60.0

80.0

>100 Bil 75 Bil - 100 Bil

25 Bil - 75 Bil

15 Bil - 25 Bil

2 Bil - 15 Bil

0 - 2 Bil

Cash

38.7

4.8

25.9

10.9

19.5

0.2 0.0

17.8

1.4

52.0

7.3

15.6

4.9

0.9

CITY OF SACRAMENTO

SCERS Equity Income As of June 30, 2020

*ETF investments and their underlying holdings are represented as one stock position in the Funds Portfolio Charactersitics, "Number of Stocks".

55

International

56

Jun-2020


($)Allocation

(%)



Mar-2020


($)Allocation

(%)



CITY OF SACRAMENTO

International As of June 30, 2020

57

Rolling 1 Yr Active Return Rolling Tracking Error Active Return

0.0

8.0

16.0

24.0

32.0

40.0

-8.0

-16.0

-24.0

-32.0

Act

ive

R

etu

rn (%

)

6/06 3/07 12/07 9/08 6/09 3/10 12/10 9/11 6/12 3/13 12/13 9/14 6/15 3/16 12/16 9/17 6/18 3/19 12/19 6/20


InceptionInception

Date

International 16.34 -5.45 -2.19 0.74 4.98 1.06 2.19 2.01 0.27 03/01/2006

International Index* 15.38 -7.05 -4.33 -1.45 2.98 -0.36 1.07 2.22 -0.15

Difference 0.96 1.60 2.14 2.19 2.00 1.42 1.12 -0.21 0.42

CITY OF SACRAMENTO



58

Rolling 1 Yr Active Return Rolling Tracking Error Active Return

0.0

3.0

6.0

9.0

12.0

-3.0

-6.0

-9.0

-12.0

Act

ive

R

etur

n (%

)

3/06 12/06 9/07 6/08 3/09 12/09 9/10 6/11 3/12 12/12 9/13 6/14 3/15 12/15 9/16 6/17 3/18 12/18 9/19 6/20

1Year

EndingJun-2020

1Year

EndingJun-2019

1Year

EndingJun-2018

1Year

EndingJune-2017

1Year

EndingJun-2016

1Year

EndingJun-2015

1Year

EndingJun-2014

1Year

EndingJun-2013

1Year

EndingJun-2012

1Year

EndingJun-2011

1Year

EndingJun-2010

1Year

EndingJun-2009

1Year

EndingJun-2008

1Year

EndingJun-2007

International -5.45 1.19 6.87 18.78 -13.21 -5.77 17.18 -1.90 -16.43 27.89 15.93 -42.98 11.85 15.32

International Index* -7.05 -1.52 4.58 17.47 -12.68 -7.56 18.69 10.48 -17.17 26.35 7.72 -33.01 -8.97 18.85

Difference 1.60 2.71 2.29 1.31 -0.53 1.79 -1.51 -12.38 0.74 1.54 8.21 -9.97 20.82 -3.53

CITY OF SACRAMENTO



59

3-Year Risk and Return Up Market Capture Ratio vs. International Index

5-Year Risk and Return Down Market Capture Ratio vs. International Index

International International Index

-4.0

-2.0

0.0

2.0

Ret

urn

(%)

15.5 15.6 15.7 15.8 15.9 16.0


International Index

International


0.0

50.0

100.0

150.0

3Years

5Years

Time Periods

100.0 100.0104.6 100.5


-1.4

-0.7

0.0

0.7

1.4

2.1

Ret

urn

(%)

13.8 14.0 14.2 14.4 14.6 14.8 15.0


International Index

International


0.0

50.0

100.0

150.0

3Years

5Years

Time Periods

100.0 100.094.3 93.7

CITY OF SACRAMENTO

As of June 30, 2020

Peer Group Scattergram/Market Capture Multi Report

Gross of fees

60

Fixed Income Portfolio

61

Jun-2020


($)Allocation

(%)


Mortgage 1,776,946 2.38


Mar-2020


($)Allocation

(%)


Mortgage 1,870,478 2.49


CITY OF SACRAMENTO

Fixed Portfolio As of June 30, 2020

62


0.0

3.0

6.0

9.0

12.0

15.0

18.0

-3.0

-6.0

-9.0

-12.0

-15.0

Act

ive

R

etu

rn (%

)

3/79 12/80 9/82 6/84 3/86 12/87 9/89 6/91 3/93 12/94 9/96 6/98 3/00 12/01 9/03 6/05 3/07 12/08 9/10 6/12 3/14 12/15 9/17 6/20


InceptionInception

Date

Fixed Portfolio 4.64 7.54 8.02 6.06 4.88 5.44 5.50 6.02 8.24 01/01/1979

Fixed Portfolio Index* 2.90 8.74 8.30 5.32 3.88 4.30 3.96 3.82 7.36

Difference 1.74 -1.20 -0.28 0.74 1.00 1.14 1.54 2.20 0.88




63


0.0

3.0

6.0

9.0

12.0

15.0

-3.0

-6.0

-9.0

-12.0

Act

ive

R

etur

n (%

)

3/79 12/80 9/82 6/84 3/86 12/87 9/89 6/91 3/93 12/94 9/96 6/98 3/00 12/01 9/03 6/05 3/07 12/08 9/10 6/12 3/14 12/15 9/17 6/20

1Year

EndingJun-2020

1Year

EndingJun-2019

1Year

EndingJun-2018

1Year

EndingJun-2017

1Year

EndingJun-2016

1Year

EndingJun-2015

1Year

EndingJun-2014

1Year

EndingJun-2013

1Year

EndingJun-2012

1Year

EndingJun-2011

1Year

EndingJun-2010

1Year

EndingJun-2009

1 Year

EndingJun-2008

1 Year

EndingJun-2007

Fixed Portfolio 7.54 8.49 2.24 1.43 7.69 3.44 7.93 4.14 11.05 6.68 14.22 6.40 5.44 6.94

Fixed Portfolio Index* 8.74 7.87 -0.40 -0.31 6.00 1.86 4.37 -0.69 7.47 3.90 9.50 6.05 7.06 5.99

Difference -1.20 0.62 2.64 1.74 1.69 1.58 3.56 4.83 3.58 2.78 4.72 0.35 -1.62 0.95




64

3-Year Risk and Return Up Market Capture Ratio vs. Fixed Portfolio Index

5-Year Risk and Return Down Market Capture Ratio vs. Fixed Portfolio Index


5.2

5.6

6.0

6.4

Ret

urn

(%)

2.8 3.0 3.2 3.4 3.6 3.8 4.0 4.2




Fixed Portfolio Fixed Portfolio Index

0.0

50.0

100.0

150.0

3Years

5Years

Time Periods

100.0 100.0

113.3 114.2


3.6

4.2

4.8

5.4

6.0

6.6

Ret

urn

(%)

2.9 3.0 3.1 3.2 3.3 3.4 3.5 3.6




Fixed Portfolio Fixed Portfolio Index

0.0

50.0

100.0

150.0

200.0

3Years

5Years

Time Periods

100.0 100.0112.2

90.9

CITY OF SACRAMENTO

As of June 30, 2020


Gross of fees

65

Investment Style Exposure

Fixed Portfolio

0.0% 50.0% 100.0%

Bloomberg Barclays Aggregate Index

Bloomberg Barclays Intermediate Aggregate

90 Day Treasury Bills

ICE BofA Merrill Lynch 1-3 Year Treasury

Style Map(ppp)

Style History Jun-2020

Average Style Exposure

Ca

pita

lizat

ion

Manager Style


Bloomberg Barclays Intermediate AggregateICE BofA Merrill Lynch 1-3 Year Treasury

ML 1-3 Year Treasury Bills

Style History(ppp)


Bloomberg Barclays Intermediate Aggregate

90 Day Treasury Bills

ICE BofA Merrill Lynch 1-3 Year Treasury

0.0

25.0

50.0

75.0

100.0

9/81 6/85 3/89 12/92 9/96 6/00 3/04 12/07 9/11 6/15 6/20

Return Variance

Selection11.3%

Style88.7%

CITY OF SACRAMENTO

Style Analysis Ending June 30, 2020CITY OF SACRAMENTO

66


Effective Duration 8.11 5.95

Avg. Maturity 11.36 8.14

Maturity Distribution (%)

Fixed Portfolio Blmbg. Barc. U.S. Aggregate

0.0

25.0

50.0

75.0

100.0

0 -1 yr

s

1 -3 yr

s

3 -5 yr

s

5 -7 yr

s

7-10

yrs

10 yrs

+

Duration Distribution (%)

Fixed Portfolio Blmbg. Barc. U.S. Aggregate

0.0

15.0

30.0

45.0

60.0

Unde r

1 yr

1 -3 yr

s

3 -5 yr

s

5 -7 yr

s

7-10

yrs

10+ yr

s

CITY OF SACRAMENTO

Fixed Portfolio As of June 30, 2020

67

Appendix

68

All equity benchmarks reflect price only returns. Benchmarks are as follows:

Portfolio Benchmark

Total Portfolio Actuarial Assumption

Domestic Equity Portfolio Russell 3000 Index (Price)

Fixed Income Portfolio Bloomberg Barclays Capital Aggregate Index

Large Cap Growth Portfolio S&P 500 Index (Price)

International Portfolio MSCI ACWI ex-US (Price)

SCERS Equity Income Portfolio Russell 1000 Value (Price)

69

Custom Index Historical AllocationsCustom Index - TargetJuly 18 - Present =30% Bloomberg Barclays Capital Aggregate Index; 35% S&P 500 (Price); 27.5% Russell 1000 Value (Price), 7.5 % InternationalIndex.July 17 - June 18 =35% Bloomberg Barclays Capital Aggregate Index; 35% S&P 500 (Price); 25% Russell 1000 Value (Price), 5 % International Index.July 16 - June 17 = 40% Bloomberg Barclays Capital Aggregate Index; 35% S&P 500 (Price); 20% Russell 1000 Value (Price), 5 % International Index.August 12 - June 16 = 45% Bloomberg Barclays Capital Aggregate Index; 30% S&P 500 (Price); 15% Dow Jones Select Dividend Index (Price), 10 %InternationalIndex.April 09 - July 12 = 50% Bloomberg Barclays Capital Aggregate Index; 30% S&P 500 (Price); 10% Dow Jones Select Dividend Index (Price), 10 %InternationalIndex.March 08 - March 09 = 50% Bloomberg Barclays Capital Aggregate Index; 10% S&P/Citi Value Index; 20% S&P 500 (Price); 10% Dow Jones SelectDividend Index (Price), 10 % International Index.Oct 07 - Feb 08 = 45% Bloomberg Barclays Capital Intermediate Aggregate Index, 12.5% S&P/Citi Value Index; 20% S&P 500 (Price); 15% Dow JonesSelect Dividend Index (Price); 7.5% International Index.Mar 07 - Sep 07 = 45% Bloomberg Barclays Capital Intermediate Aggregate Index; 12.5% S&P/Citi Value Index; 20% Russell 1000 Growth Index(Price); 15% Dow Jones Select Dividend Index (Price); 7.5% International Index.Feb 06 - Feb 07 = 45% Bloomberg Barclays Capital Intermediate Aggregate Index; 10% S&P/Citi Value; 20% Russell 1000 Growth Index (Price); 15%Dow Jones Select Dividend Index (Price); 5% Russell 2000 Index (Price); 5% International Index.Prior to Feb 06 = Allocations to passive benchmarks are in-line with the Plan’s historical asset allocation targets as determined by the AIFM Board.(Detailed information is available upon request).

Domestic Equity IndexFeb 06 - Present = 100% Russell 3000 Index (Price); Jan 83 - Jan 06 = 100% S&P 500 (Price).

Large Cap IndexJul 07 - Present = 100% S&P 500 (Price); Dec 92 - Jun 07 = 100% Russell 1000 Growth (Price).

SCERS Equity Income IndexJuly 16 - Present = Russell 1000 Value (Price); Mar 92 - June 16 = 100% Dow Jones Select Dividend Index (Price); Apr 86 - Feb 92 = 100% FixedPortfolio.

International IndexJul 07 - Present = 100% MSCI ACWI ex US (Price); Feb 06 - Jun 07 = 33% Nikkei 225 (Price), 67% MSCI EAFE (Price).

Fixed Portfolio IndexMarch 08 - Present = 100% Bloomberg Barclays Capital Aggregate IndexPrior to March 08 = 100% Bloomberg Barclays Intermediate Aggregate Index

70

Documents

ANALYSIS OF INVESTMENT PERFORMANCE - Granicus