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BOARD OF TRUSTEES
Investment Committee MEETING
March 22, 2016
MEETING DOCUMENTS
Table of Contents
Agenda ……………………………………………………….……….………………….…... 1
Item 2: Investment Consultant Monthly Report …………………………...………...…… 2-11
Item 3: Quarterly Real Estate Report …………………………………….….……..….... 12-46
Item 5: International Equity Portfolio Structure ………………………….…..……..….. 47-58
Item 6: Real Estate Broker RFP ………………………………………................……… 59-68
Item 8: Wellington Portfolio Manager Analysis ……………………………………...… 69-71
Item 9: Amendments to Investment Policy Statement .………...….…………...…...…. 72-95
Item 10: CIO Report: Manager Mix ……..……………………….……………....…....... 96-98
Item 10: CIO Report: Asset Class Correlation of Returns Triangle ………………....... 99-107
TEACHERS’ RETIREMENT SYSTEM OF OKLAHOMA Investment Committee Meeting
Tuesday, March 22, 2016 – 3:00 PM TRS Administration Board Room
2500 N. Lincoln Blvd., 5th Floor, Oklahoma City, OK
AGENDA
1. CALL TO ORDER
2. DISCUSSION AND POSSIBLE ACTION ON INVESTMENT CONSULTANT MONTHLY REPORT
3. DISCUSSION AND POSSIBLE ACTION ON QUARTERLY REAL ESTATE REPORT
4. DISCUSSION AND POSSIBLE ACTION ON MANAGER STATUS REPORT The Investment Committee may recommend through motion to the Board of Trustees to make any changes to the status of any manager(on watch, alert, remove them from that status, or terminate (and select transition manager and reallocate funds if necessary)) based on the information available at the meeting.
5. DISCUSSION AND POSSIBLE ACTION ON INTERNATIONAL EQUITY MANAGER SELECTION INCLUDING: A. Selection of International Equity Managers B. Negotiations of Contracts C. Structure Options D. Transition Manager
6. DISCUSSION ON REAL ESTATE BROKERAGE SERVICES RFP
7. PRESENTATION BY WELLINGTON MIDCAP PORTFOLIO MANAGEMENT
8. DISCUSSION AND POSSIBLE ACTION ON AMENDMENT TO WELLINGTON INVESTMENT MANAGEMENT AGREEMENT
9. DISCUSSION AND POSSIBLE ACTION TO ADOPT AMENDMENTS TO INVESTMENT POLICY STATEMENT
10. DISCUSSION ON CHIEF INVESTMENT OFFICER REPORT
11. QUESTIONS AND COMMENTS FROM TRUSTEES
12. ADJOURNMENT
ALL BOARD MEMBERS ARE ENCOURAGED TO ATTEND INVESTMENT COMMITTEE MEETINGS
INVESTMENT COMMITTEE:
Chair: Vernon Florence Members: Bill Peacher, Roger Gaddis, Jill Geiger, Gary Trennepohl
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6
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Thre
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and
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f Feb
ruar
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6
11
real
est
ate
portf
olio
exec
utiv
e su
mm
ary
repo
rt fo
urth
qua
rter,
2015
12
RERe
al E
stat
e
Real
Est
ate
Portf
olio
Ove
rvie
w
The
OTR
S re
al e
stat
e po
rtfol
io w
as in
itial
ly fu
nded
dur
ing
Apr
il/M
ay o
f 201
1. T
hree
man
ager
s wer
e se
lect
ed a
fter a
n ex
tens
ive
sear
ch p
roce
ss.
Each
was
initi
ally
fund
ed w
ith $
150
milli
on.
Th
e to
tal r
eal e
stat
e al
loca
tion
targ
et is
now
7%
of t
he to
tal f
und.
The
targ
et a
lloca
tion
is b
ased
on
the
net a
mou
nt
inve
sted
by
the
Syst
em in
real
est
ate
asse
ts.
The
targ
et a
lloca
tion
for r
eal e
stat
e w
as in
crea
sed
from
5%
to 7
%
dur
ing
2013
.
Th
e cu
rrent
por
tfolio
is fo
cuse
d o
n U.
S. b
ased
cor
e as
sets
. C
ore
rea
l est
ate
is g
ener
ally
def
ined
as h
igh-
qua
lity,
low
ris
k, d
iver
sifie
d p
ortfo
lio o
f sta
ble,
inco
me-
prod
ucin
g as
sets
. It h
as e
xpan
ded
bey
ond
cor
e to
hig
her r
isk/h
ighe
r re
turn
inve
stm
ents
.
Th
e in
vest
men
ts h
ave
been
succ
essf
ul.
We
are
in th
e se
cond
stag
e of
the
real
est
ate
inve
stm
ent p
rogr
am.
This
stag
e is
inte
nded
to p
rovi
de a
dd
ition
al d
iver
sific
atio
n an
d re
turn
pot
entia
l by
inve
stin
g in
non
-cor
e fu
nds.
A se
arch
w
as c
ompl
eted
in S
epte
mbe
r 201
4 to
inve
st in
val
ue-a
dd
ed a
nd o
ppor
tuni
stic
pro
perti
es. S
ix fi
rms w
ere
sele
cted
to
inve
st a
ppro
xim
atel
y $5
0 m
illion
eac
h. F
ollo
w-o
n se
arch
es w
ill be
requ
ired
to re
plen
ish fu
nds t
hat r
each
liqu
idat
ion.
M
any
of t
he n
on-c
ore
fund
s will
have
life
spa
ns b
etw
een
five
and
ten
yea
rs.
Th
e cu
rrent
per
form
ance
ben
chm
ark
is th
e N
CRE
IF F
und
Ind
ex –
Ope
n En
d D
iver
sifie
d C
ore
Equi
ty (N
FI-O
DC
E).
The
inde
x is
a fu
nd-le
vel c
apita
lizat
ion
wei
ghte
d, ti
me
wei
ghte
d in
dex
that
incl
udes
pro
perty
inve
stm
ents
at o
wne
rshi
p sh
are,
cas
h ba
lanc
e an
d le
vera
ge.
The
retu
rns r
efle
ct th
e fu
nds’
act
ual o
wne
rshi
p po
sitio
ns a
nd fi
nanc
ing
stra
tegy
. We
belie
ve th
e ne
w n
on-c
ore
man
ager
s sho
uld
be
com
pare
d to
the
NC
REIF
Clo
sed
End
Val
ue A
dd
In
dex
. Sum
ma
ries o
f bot
h a
ppea
r in
this
repo
rt’s a
ppen
dix
.
13
RERe
al E
stat
e
Real
Est
ate
Portf
olio
Tim
elin
e
2010
-Cor
e Re
al E
stat
e Ta
rget
A
lloca
tion
Esta
blish
ed:
5%
Late
201
0-
Cor
e Re
al
Esta
te
Man
ager
Se
arch
C
oncl
uded
. A
EW, H
eitm
an
and
L&
B se
lect
ed.
Early
/Mid
2011
–C
ore
Real
Esta
te
Man
ager
s Fu
nded
2013
–A
sset
A
lloca
tion
Revi
ew
Com
plet
ed.
Real
Est
ate
Allo
catio
n In
crea
sed
to
7%
Late
201
3–
Ad
diti
ona
l C
apita
l C
omm
itted
to
AEW
and
He
itman
2013
–L&
B Pr
opos
es
Spec
ial
Opp
ortu
nitie
s Po
rtfol
io.
Perm
issio
n gr
ante
d
durin
g ea
rly
2014
.
Late
201
4 –
Non
-Cor
e Po
rtfol
ios
sele
cted
. C
apita
l cal
ls be
gan
durin
g 4Q
2014
.
Late
201
5 –
All
Non
Cor
e M
anag
ers
callin
g ca
pita
l. G
old
en D
rille
r pr
ojec
ts
unde
rway
.
14
RERe
al E
stat
e
Real
Est
ate
Allo
catio
n Re
view
: By
Mar
ket V
alue
Tota
l Non
-Cor
e M
arke
t Val
ue: $
139,
360,
675
AEW 29
%
Heitm
an29
%
L&B
Cor
e26
%
Non
-Cor
e16
%
Com
posit
e Re
al E
stat
e A
lloca
tion
Ant
heus
19%
Dune
23%
Gre
enO
ak15
%
Gol
den
Drill
er
19%
Land
mar
k9%
Star
woo
d3%
Am
eric
an
Real
ty11
%
Non
-Cor
e Re
al E
stat
e
Tota
l Rea
l Est
ate
Mar
ket V
alue
: $86
0,64
9,97
0
15
RERe
al E
stat
e
OTR
S Re
al E
stat
e C
apita
l Con
tribu
ted
A
s of D
ecem
ber 3
1, 2
015
Cap
ital C
omm
itted
Cap
ital C
ontri
bute
d%
Cal
led
AEW
$165
,500
,000
$165
,000
,000
100%
L&B
Cor
e$1
50,0
00,0
00$1
50,0
00,0
0010
0%
Hei
tma
n$1
57,4
00,0
00$1
57,4
00,0
0010
0%
Am
eric
an
Rea
lty$5
3,75
0,00
0$1
3,74
5,10
026
%
Ant
heus
$53,
750,
000
$26,
875,
000
50%
Dun
e$5
3,75
0,00
0$2
1,43
5,61
240
%
Gol
den
Dril
ler
$60,
000,
000
$26,
790,
000
45%
Gre
enO
ak
$50,
000,
000
$20,
146,
308
40%
Land
ma
rk$3
5,00
0,00
0$1
2,32
2,60
335
%
Sta
rwoo
d$4
3,75
0,00
0$4
,837
,500
9%
$822
,900
,000
$598
,552
,123
73%
16
RERe
al E
stat
e
Allo
catio
n of
Rea
l Est
ate
Portf
olio
–N
et E
xpos
ure
As o
f Dec
embe
r 31,
201
5
AEW
29.3
%
Heitm
an28
.9%
L&B
25.7
%
Gol
den
Dril
ler
3.1%Ant
heus
Cap
ital
3.1%
Dun
e3.
7%Gre
enO
ak
2.4%
Land
mar
k 1.
5%A
mer
ican
Rea
lty1.
8%St
arw
ood
0.5%
Tota
l Mar
ket V
alue
: $86
0,64
9,97
0Th
is co
mpo
sed
6.5
%of
the
tota
l po
rtfol
io.
17
RERe
al E
stat
e
Allo
catio
n Hi
stor
y –
Mar
ket V
alue
s/Q
uarte
rly O
bser
vatio
ns
$95,
840,
228
$182
,265
,413
$251
,771
,779
$156
,309
,732
$192
,671
,534
$248
,436
,294
$124
,746
,993
$171
,267
,534
$221
,081
,223
$0
$100
,000
,000
$200
,000
,000
$300
,000
,000
$400
,000
,000
$500
,000
,000
$600
,000
,000
$700
,000
,000
$800
,000
,000
$900
,000
,000
$1,0
00,0
00,0
00 AEW
Hei
tma
nL&
B
Gol
den
Dril
ler (
$26,
742,
549)
Ant
heus
($26
,875
,000
)D
une
($31
,962
,173
)
Gre
enO
ak
($20
,537
,053
)La
ndm
ark
($13
,155
,244
)A
mer
ica
n Re
alty
($15
,367
,500
)
Sta
rwoo
d ($
4,72
1,15
6)
Non
Cor
e In
vest
men
ts
18
RERe
al E
stat
eC
ore
Real
Est
ate
Perfo
rman
ce C
ompa
rison
–N
et o
f Fee
sPe
riod
s End
ed D
ecem
ber 3
1, 2
015
Trai
ling
Year
Trai
ling
2 Ye
ars
AEW
12.7
%11
.6%
Heitm
an15
.6%
12.9
%L&
B15
.8%
14.2
%N
FI-O
DC
E14
.7%
14.4
%BC
Agg
rega
te0.
6%3.
2%
12.7
%11
.6%
15.6
%
12.9
%
15.8
%
14.2
%14
.7%
14.4
%
0.6%
3.2%
19
RERe
al E
stat
e
Allo
catio
n of
Cor
e Re
al E
stat
e Po
rtfol
io –
Net
vs.
Gro
ss E
xpos
ure
As o
f Dec
embe
r 31,
201
5
$252
$2
58
$233
$742
$399
$3
33
$307
$1,0
39
25%
23%
19%
22%
0%5%10%
15%
20%
25%
30%
35%
40%
45%
50%
$-
$20
0
$40
0
$60
0
$80
0
$1,
000
$1,
200
AEW
Heitm
anL&
BTo
tal C
ore
Loan to Value
ValueMillions
Net
Allo
catio
nG
ross
Exp
osur
eLe
vera
ge (L
oan
to V
alue
)
20
RERe
al E
stat
e
Prop
erty
Typ
e D
iver
sific
atio
n –
Net
Exp
osur
eA
s of D
ecem
ber 3
1, 2
015
Offi
ceA
partm
ents
Reta
ilIn
dus
trial
Self
Stor
age
Oth
erA
EW34
%27
%21
%15
%0%
3%H
eitm
an25
%30
%16
%11
%18
%0%
L&B
24%
35%
25%
7%0%
9%G
old
en D
rille
r0%
0%0%
0%0%
100%
Ant
heus
0%95
%5%
0%0%
0%D
une*
58%
17%
7%0%
0%18
%G
reen
Oak
29%
40%
14%
0%0%
17%
Am
eric
an
Rea
lty A
dviso
rs39
%21
%24
%17
%0%
0%La
ndm
ark
33%
19%
6%10
%0%
32%
Star
woo
d*
31%
18%
12%
8%1%
30%
Tota
l27
%31
%18
%10
%5%
8%N
FI O
DC
E38
%25
%19
%14
%0%
4%
0%10%
20%
30%
40%
50%
60%
70%
80%
90%
100%
*Pro
pert
y Ty
pe D
iver
sific
atio
n as
of
9/30
/201
5.
21
RERe
al E
stat
e
Geo
grap
hic
Div
ersif
icat
ion
–N
et E
xpos
ure
As o
f Dec
embe
r 31,
201
5
Mid
wes
tW
est
Sout
hEa
stO
ther
AEW
4%34
%30
%31
%0%
Hei
tman
22%
31%
28%
19%
0%L&
B35
%20
%30
%15
%0%
Gol
den
Dril
ler
0%0%
0%0%
0%A
nthe
us10
0%0%
0%0%
0%D
une*
5%27
%30
%33
%5%
Gre
enO
ak0%
40%
0%60
%0%
Am
eric
an
Rea
lty A
dviso
rs23
%41
%3%
33%
0%La
ndm
ark
8%24
%16
%29
%23
%St
arw
ood
*11
%13
%25
%13
%38
%To
tal
20%
27%
26%
22%
0%N
FI O
DC
E10
%39
%20
%32
%0%
0%20%
40%
60%
80%
100%
120%
*Geo
grap
hic
Div
ersi
ficat
ion
as o
f 9/
30/2
015.
22
Cor
e Re
al E
stat
eIn
vest
men
ts
23
RERe
al E
stat
e
AEW
Cap
ital M
anag
emen
t –C
ore
Real
Est
ate
Loca
tion:
Bos
ton,
Ma
ssa
chus
etts
OTR
S In
itial
Com
mitm
ent:
$150
milli
onO
TRS
Tota
l Com
mitm
ent:
$165
milli
onFu
nd N
ame:
AEW
Cor
e Pr
oper
ty T
rust
Fund
Type
: O
pen
End
ed P
rivat
e RE
ITFu
nd S
ize (N
et):
$5.
2 bi
llion
Fund
Size
(Gro
ss):
$8.2
billi
onN
umbe
r of I
nves
tmen
ts:6
4Fi
rm A
UM:
$30
billio
nIn
cept
ion
Date
: Fo
urth
Qua
rter,
2007
Fund
Man
ager
: D
an B
rad
ley
and
Jon
Mar
tinIn
vest
men
t Pro
cess
:Re
sear
ch d
riven
stra
tegy
that
co
mbi
nes l
ong-
term
eco
nom
ic fo
reca
sts w
ith o
n-th
e-gr
ound
mar
ket k
now
led
ge th
at b
uild
s div
ersif
ied
por
tfolio
s of
apa
rtmen
ts, r
etai
l, of
fice,
ind
ustri
al, a
nd to
a sm
alle
r ex
tent
, hot
el p
rope
rties
. Po
rtfol
ios w
ill be
div
ersif
ied
am
ong
maj
or g
row
ing
met
ropo
litan
mar
kets
with
bar
riers
to
new
supp
ly.
The
portf
olio
will
fea
ture
hig
h-qu
alit
y a
sset
s d
esig
ned
to p
rovi
de d
urab
le in
com
e an
d re
ason
able
ca
pita
l app
reci
atio
n. T
he fu
nd w
ill on
ly in
vest
in th
e U.
S.
No
singl
e in
vest
men
t ma
y ex
ceed
25%
of t
he fu
nd’s
net
as
set v
alue
. N
on-c
ore
asse
ts lim
ited
to 1
5% o
f net
ass
et
valu
e. 3
0% m
axi
mum
leve
rage
at t
he to
tal f
und
leve
l.St
atus
: In
Com
plia
nce
AEW
NFI
OD
CE
2015
YTD
Inco
me
Retu
rn5.
43%
4.76
%
2015
YTD
A
ppre
ciat
ion
Retu
rn7.
80%
9.88
%
Cur
rent
Occ
upan
cy96
.0%
-
OTR
S O
wne
rshi
pof
Fun
d4.
8%-
38%
28%
19%
15%
3%
Offi
ceA
partm
ents
Reta
ilIn
dus
trial
Oth
er
Prop
erty
Typ
e D
iver
sific
atio
n
*Oth
er in
clud
es m
ezza
nine
deb
t inv
estm
ents
and
land
par
cels.
2015
NO
I Gro
wth
: 4.1
%
24
RERe
al E
stat
e
Heitm
an C
apita
l Man
agem
ent –
Cor
e Re
al E
stat
e
Loca
tion:
Chi
cago
, Illin
ois
OTR
S In
itial
Com
mitm
ent:
$150
milli
onO
TRS
Tota
l Com
mitm
ent:
$15
7 m
illion
Fund
Nam
e: H
eitm
an
Ca
pita
l Ma
nage
men
t Fu
nd Ty
pe:
Ope
n En
ded
Par
tner
ship
Fund
Size
(Net
): $
5.8
billio
nFu
nd S
ize (G
ross
):$7
.6 b
illion
Num
ber o
f Inv
estm
ents
:78
Firm
AUM
: $3
5 bi
llion
Fund
Ince
ptio
n Da
te:
Seco
nd Q
uarte
r, 20
07Fu
nd M
anag
er:
Dav
id P
erish
oa
nd B
laise
Kea
neIn
vest
men
t Pro
cess
: Acq
uire
stro
ng p
rope
rties
on
a
dire
ct b
asis
to d
eliv
er re
turn
s 1.0
% o
ver t
he re
leva
nt
benc
hmar
k in
dex
ove
r a ro
lling
five
year
per
iod
. Th
e po
rtfol
io w
ill re
ma
in fl
exib
le a
s to
prop
erty
type
co
ncen
tratio
n b
ut w
ill b
e ad
equa
tely
div
ersif
ied.
H
eitm
an
will
buy
in m
ajo
r ma
rket
s. P
rope
rties
will
be w
ell-
cons
truct
ed a
nd h
ave
prox
imity
to a
men
ities
and
tra
nspo
rtatio
n ne
twor
ks.
The
fund
will
inve
st o
nly
in th
e U.
S. a
nd C
anad
a. N
o m
ore
than
10%
of t
he fu
nd w
ill be
in
vest
ed in
Can
ada.
Up
to 1
5% o
f the
fund
will
be
inve
sted
in v
alue
-ad
ded
pro
perti
es.
The
max
imum
in
vest
men
t in
a sin
gle
prop
erty
will
be 1
5%.
Leve
rage
is
capp
ed a
t 30%
of t
he fu
nd.
Stat
us: I
n co
mpl
ianc
e;N
onco
mpl
ianc
e fo
r Rea
l Est
ate
fund
s will
not c
once
ntra
te, i
n an
y sin
gle
prop
erty
, the
gre
ater
of $
100
milli
on o
r 25
% o
f the
tota
l Gro
ss A
sset
Val
ue (G
AV
) of t
he o
vera
ll inv
estm
ent
Fund
.
Heitm
anN
FI O
DC
E
2015
YTD
Inco
me
Retu
rn5.
07%
4.76
%
2015
YTD
A
ppre
ciat
ion
Retu
rn10
.95%
9.88
%
Cur
rent
Occ
upan
cy93
.4%
-
OTR
S O
wne
rshi
pof
Fun
d4.
4%-
25%
30%
16%
11%
18%
Offi
ceA
partm
ents
Reta
ilIn
dus
trial
Self
Stor
age
Prop
erty
Typ
e D
iver
sific
atio
n
2015
NO
I Gro
wth
: 6.6
%
25
RERe
al E
stat
e
L&B
Real
ty A
dvise
rs -
Cor
e Re
al E
stat
e
Loca
tion:
Da
llas,
Texa
sO
TRS
Initi
al C
omm
itmen
t:$1
50 m
illion
OTR
S To
tal C
omm
itmen
t:$1
50 m
illion
Fund
Nam
e: L
&B
Cor
e In
com
e Pa
rtner
s, L.
P.Fu
nd Ty
pe:
Ope
n En
ded
Par
tner
ship
Fund
Size
(Net
): $
506
milli
onFu
nd S
ize (G
ross
):$6
69 m
illion
Num
ber o
f Inv
estm
ents
:10
Firm
AUM
: $7
.6 b
illion
Ince
ptio
n Da
te:
Seco
nd Q
uarte
r, 20
11Fu
nd M
anag
er:
Chr
istia
n M
ette
nIn
vest
men
t Pro
cess
: Th
e fu
nd w
ill in
vest
in a
div
ersif
ied
po
rtfol
io o
f cor
e pr
oper
ties t
hat a
re w
ell-l
ease
d b
y cr
edit-
wor
thy
tena
nts.
The
prim
ary
obj
ectiv
e is
prot
ectio
n of
ca
pita
l and
lim
ited
dow
nsid
e ris
k. A
sset
s will
be
appr
opria
tely
pric
ed a
nd u
tilize
reas
onab
le le
vera
ge.
The
portf
olio
will
conc
entra
te o
n st
able
, end
urin
g as
sets
but
ca
n al
loca
te u
p to
15%
to n
on-c
ore
asse
ts.
All
inve
stm
ents
will
be in
the
U.S.
Ma
xim
um le
vera
ge a
t the
fu
nd le
vel is
35%
; max
imum
leve
rage
for i
ndiv
idua
l pr
oper
ties i
s 50%
. A
vera
ge in
vest
men
t is $
50 m
illion
in
equi
ty.
This
fund
was
rece
ntly
ad
ded
to th
e N
FI O
DC
E In
dex
.St
atus
: In
com
plia
nce
24%
35%
25%
7%9%
Offi
ceA
partm
ents
Reta
ilIn
dus
trial
Oth
er*
Prop
erty
Typ
e D
iver
sific
atio
n
L&B
NFI
OD
CE
2015
YTD
Inco
me
Retu
rn3.
03%
4.76
%
2015
YTD
A
ppre
ciat
ion
Retu
rn9.
61%
9.88
%
Cur
rent
Occ
upan
cy87
.7%
-
OTR
S O
wne
rshi
pof
Fun
d45
.9%
-
*60%
Offi
ce a
nd 4
0% R
eta
il.
2015
NO
I Gro
wth
: 8.2
%
26
Non
-Cor
e Re
al E
stat
eIn
vest
men
ts
27
RERe
al E
stat
e
Am
eric
an R
ealty
Adv
isors
Loca
tion:
Gle
nda
le, C
alif
orni
aO
TRS
Initi
al C
omm
itmen
t: $
54 m
illion
OTR
S To
tal C
omm
itmen
t: $
54 m
illion
Fund
Nam
e: A
mer
ican
Rea
lty S
trate
gic
Val
ue R
ealty
Fun
dFu
nd Ty
pe:
Ope
n En
ded
Div
ersif
ied
Val
ue A
dd
edFu
nd S
ize (N
et):
$280
milli
on
Fund
Size
(Gro
ss):
$562
milli
on
Num
ber o
f Inv
estm
ents
: 13
Firm
AUM
: $7
.4 b
illion
Ince
ptio
n Da
te:
Four
th Q
uarte
r, 20
14Fu
nd M
anag
er:
Kurt
Hel
gelso
na
nd D
ougl
as R
ush
Inve
stm
ent P
roce
ss:
Team
bas
ed p
roce
ss th
at v
iew
sea
ch a
cqui
sitio
n as
on
oper
atin
g as
set a
nd a
lso a
part
of th
e ov
era
ll por
tfolio
. Acq
uisit
ions
are
revi
ewed
by
Inve
stm
ent C
omm
ittee
. Na
med
portf
olio
ma
nage
r is C
hairm
an
of th
e In
vest
men
tC
omm
ittee
. Por
tfolio
cur
rent
ly h
as a
focu
s on
the
Wes
t and
Mid
wes
t (~8
0% o
f por
tfolio
). La
rges
t sec
tor
allo
catio
n is
Offi
ce w
hich
acc
ount
s for
49%
of t
hepo
rtfol
io. I
nves
tmen
t pro
cess
follo
ws t
hese
step
s:m
arke
t/su
bmar
ket r
esea
rch,
acq
uisit
ion
und
erw
ritin
ga
nd d
ue d
iligen
ce, a
ctiv
e op
era
tiona
l ma
nage
men
tan
d a
wel
l-def
ined
hol
d/e
xit s
trate
gy. R
isk o
f eac
has
set i
s con
tinuo
usly
eva
luat
ed a
nd m
anag
ed.
Purc
hase
s are
gen
eral
ly m
id to
low
er m
arke
t, or
bet
wee
n $1
0 -$
50 m
illion
. St
atus
: In
com
plia
nce
39%
21%
24%
17%
Offi
ceA
partm
ents
Reta
ilIn
dus
trial
Prop
erty
Typ
e D
iver
sific
atio
n
Cur
rent
Occ
upan
cy is
79%
. O
TRS
owns
4.5
% o
f the
fund
.
28
RERe
al E
stat
e
Ant
heus
Cap
ital,
LLC
Loca
tion:
Eng
lew
ood
, New
Jer
sey
OTR
S In
itial
Com
mitm
ent:
$54
milli
onO
TRS
Tota
l Com
mitm
ent:
$54
milli
onFu
nd N
ame:
Lyr
ical
-OTR
S Re
alty
Par
tner
s IV
, LP
Fund
Type
: C
lose
End
Val
ue A
dd
ed F
und
Fund
Size
(Gro
ss):
$168
milli
on
Num
ber o
f Inv
estm
ents
:18
Firm
AUM
: $1
.0 b
illion
Ince
ptio
n Da
te:
Four
th Q
uarte
r, 20
14Fu
nd M
anag
er: E
li Ung
aran
d D
avid
Gef
sky
Inve
stm
ent P
roce
ss:
Extre
mel
y ha
nds o
n in
vest
men
t pro
cess
th
at c
urre
ntly
man
ages
a d
iver
sifie
d p
ortfo
lioof
mul
ti-fa
mily
in
vest
men
ts in
two
sub-
ma
rket
s whe
re th
ey se
ek d
eep
prop
erty
by
pro
perty
kno
wle
dge
and
a d
omin
ant
ma
rket
sha
re.
Cur
rent
ly, t
heir
portf
olio
ow
ns o
ver 6
,000
apa
rtmen
t uni
ts in
C
hica
go, K
ansa
s City
, and
St.
Loui
s in
are
as th
at e
xhib
it st
rong
, st
ruct
ural
supp
ly/d
eman
d c
ond
ition
s tha
t can
not b
e ea
sily
reve
rsed
and
ulti
mat
ely
bene
fit a
partm
ent o
wne
rs. T
he te
am
seek
s are
as w
here
supp
ly/d
ema
nd re
mai
ns in
dise
quilib
rium
an
d fa
vora
ble
to lo
ng-te
rm g
row
th ra
tes o
f ren
tal in
com
e.
Ope
ratin
g ex
pens
es fo
r the
ir pr
oper
ties t
end
to re
mai
n fla
t afte
r in
itial
inve
stm
ent,
allo
win
g th
em to
com
poun
d a
grow
ing
leve
l of
net
ope
ratin
g ex
pens
es. T
he te
am fo
cuse
s on
year
ove
r yea
r op
erat
ing
succ
ess r
athe
r tha
n “t
rad
es”.
The
fund
exp
ects
to d
eplo
y eq
ually
bet
wee
n C
hica
go, K
ans
as
City
and
St.
Loui
s. Pr
oper
ty a
cqui
sitio
ns a
re m
ovin
g fo
rwar
d a
t a
delib
erat
e pa
ce. T
he lo
catio
n of
the
Bara
ck O
bam
a pr
esid
entia
l libr
ary
was
ann
ounc
ed to
be
at th
e So
uth
side
of
Chi
cago
. Thi
s sho
uld
be p
ositi
ve fo
r the
por
tfolio
’s h
oldi
ngs i
n th
e Hy
de
Park
nei
ghbo
rhoo
d.
Stat
us: I
n co
mpl
ianc
e
95%
5%
Apa
rtmen
tsRe
tail
Prop
erty
Typ
e D
iver
sific
atio
n
OTR
S ow
ns 1
00%
of L
yric
al-O
TRS
Real
ty P
artn
ers
IV, L
P.
OTR
S ow
ns 3
2% o
f LA
RP IV
-Blu
e Ho
ldin
gs, L
LC w
hich
con
sists
of
Lyric
al-A
nthe
usRe
alty
Par
tner
s IV
, LP
& sid
e ca
rs in
clud
ing
Lyric
al-O
TRs R
ealty
Par
tner
s IV
, LP.
29
RERe
al E
stat
e
Dune
Rea
l Est
ate
Partn
ers
Loca
tion:
New
Yor
k, N
ew Y
ork
OTR
S In
itial
Com
mitm
ent:
$54
milli
onO
TRS
Tota
l Com
mitm
ent:
$54
milli
onFu
nd N
ame:
Dun
e Re
al E
stat
e Fu
nd II
I, LP
Fund
Type
: C
lose
End
ed O
ppor
tuni
stic
Fund
Size
(Net
): $9
60 m
illion
N
umbe
r of I
nves
tmen
ts:1
4Fi
rm A
UM:
$4.1
billi
onIn
cept
ion
Date
: Fo
urth
Qua
rter,
2014
Fund
Man
ager
: Dan
Nei
dich
and
Cia
Buc
kley
Mar
akov
itsIn
vest
men
t Pro
cess
: Par
tner
driv
en m
odel
that
seek
sto
exp
loit
the
tale
nt a
nd e
xper
ienc
e of
a h
ighl
yex
perie
nced
gro
up o
f rea
l est
ate
prof
essio
nals.
The
fund
will
broa
dly
focu
s on
oppo
rtuni
ties r
esul
ting
from
the
unpr
eced
ente
d d
elev
era
ging
of t
he c
api
tal
ma
rket
. The
fund
will
seek
opp
ortu
nitie
s cre
ate
d b
yd
istre
ss a
nd d
isloc
atio
n th
roug
h th
ree
them
es:
Dist
ress
ed A
sset
s, D
eep
Val
ue-a
dd
, and
Con
traria
nIn
vest
men
ts. D
istre
ssed
ass
ets w
ill be
cre
ativ
ely
acqu
ired
, rec
apita
lized
and
/or r
estru
ctur
ed th
roug
hsu
b-or
non
-per
form
ing
com
mer
cial
mor
tgag
es o
rre
al e
sta
te lo
ans
. Dee
p va
lue-
add
pro
ject
s will
seek
to st
abiliz
e an
d re
posit
ion
und
erpe
rform
ing
asse
tsth
ough
reno
vatio
n, re
-leas
ing
and
cap
ital
inve
stm
ent.
Con
traria
n as
sets
will
be a
cqui
red
toex
ploi
t ove
rsol
d c
ond
ition
s thr
ough
dee
ply
disc
ount
ed p
urch
ased
of u
npop
ular
ass
ets.
Stat
us: I
n co
mpl
ianc
e
58%
17%
7%4%
14%
Ap
artm
ents
Offi
ceRe
tail
Indu
stria
lO
ther
Prop
erty
Typ
e D
iver
sific
atio
n
Oth
er in
clud
es S
enio
r Hou
sing
(5%
), Ho
tel (
5%)
and
Res
iden
tial L
and
(4%
).
OTR
S ow
ns 5
.6%
of t
he fu
nd.
Occ
upan
cy: N
/A
All
data
as o
f 9/3
0/20
15.
30
RERe
al E
stat
e
Gre
enO
akRe
al E
stat
e, LP
Loca
tion:
New
Yor
k, N
ew Y
ork
OTR
S In
itial
Com
mitm
ent:
$50
milli
onO
TRS
Tota
l Com
mitm
ent:
$50
milli
onFu
nd N
ame:
Gre
enO
akRe
al E
stat
e Pa
rtner
s US
Fund
IIFu
nd Ty
pe:
Clo
se E
nded
Opp
ortu
nist
icFu
nd S
ize (N
et):
$756
milli
on
Num
ber o
f Inv
estm
ents
:16
Firm
AUM
: $5
.6 b
illion
Ince
ptio
n Da
te: F
ourth
Qua
rter,
2014
Fu
nd M
anag
er:
Sonn
y Ka
lsi, C
hris
Nie
haus
, Joh
nC
arre
fiell,
Fred
Sch
mid
t, A
ndre
w Y
oon
Inve
stm
ent P
roce
ss:
Fund
will
focu
s on
high
bar
rier t
oen
try m
arke
ts th
at p
osse
ss si
ze, s
uppl
y co
nstra
ints
,sig
nific
ant d
eman
d gr
owth
and
liqu
idity
.Un
der
valu
ed p
rope
rties
will
be ta
rget
ed in
off
mar
ket
trans
actio
ns. A
sset
s will
be re
capi
taliz
ed –
the
fund
will
targ
et a
sset
s acq
uire
d o
r fin
ance
d d
urin
g th
e20
05-2
008
vint
age
s. M
id m
ark
et p
rope
rties
will
beta
rget
ed –
prop
ertie
s ow
ned
prim
arily
by
fam
ilies,
priv
ate
inve
stor
s or s
mal
ler i
nstit
utio
ns w
ho a
re n
otw
illing
to e
xpen
d ca
pita
l to
mai
ntai
n co
mp
etiv
enes
sor
pro
fess
iona
lly m
anag
e th
e as
set.
The
fund
will
also
allo
cate
to im
pro
vabl
e as
sets
with
goo
d lo
catio
ns.
Stat
us: I
n co
mpl
ianc
e
29%
40%
14%
17%
Offi
ceA
partm
ents
Reta
ilO
ther
(Hot
el)
Prop
erty
Typ
e D
iver
sific
atio
n
Cur
rent
Occ
upan
cy is
79%
. O
TRS
owns
7.2
% o
f the
fund
.
31
RERe
al E
stat
e
Land
mar
k Pa
rtner
s
Loca
tion:
Sim
sbur
y, C
onne
ctic
utO
TRS
Initi
al C
omm
itmen
t:$3
5 m
illion
OTR
S To
tal C
omm
itmen
t:$3
5 m
illion
Fund
Nam
e: L
and
mar
k Re
al E
stat
e Fu
nd V
IIFu
nd Ty
pe:
Clo
se E
nded
Rea
l Est
ate
Seco
ndar
ies
Fund
Size
(Net
): $1
.6 b
illion
Num
ber o
f Inv
estm
ents
:5Fi
rm A
UM:
$14.
9 bi
llion
Ince
ptio
n Da
te:
Four
th Q
uarte
r, 20
14Fu
nd M
anag
er:
Fra
ncisc
o Bo
rges
, Tim
othy
Ha
vila
nd,
Cha
d A
lfeld
, Rob
ert D
ombi
, Ra
ul M
ehlm
an,
Ja
mes
Sund
ay
Inve
stm
ent P
roce
ss:
Land
mar
k is
a pi
onee
r in
the
cons
truct
ion
of p
ortfo
lios t
hrou
gh se
cond
ary
mar
ket
trans
actio
ns. T
he fi
rm w
ill se
ek to
bui
ld a
por
tfolio
div
ersif
ied
acr
oss v
inta
ge y
ears
, geo
grap
hies
,m
anag
ers a
nd st
rate
gies
. Inv
estin
g in
seco
ndar
ies
gene
rally
allo
ws f
or fa
ster
dep
loym
ent o
f ca
pita
l as
selle
rs c
ome
to m
arke
t. Se
llers
gen
eral
ly a
re fo
rced
to se
ll the
ir in
tere
sts a
t a d
iscou
nt, b
enef
ittin
g an
esta
blish
ed b
uyer
such
as L
and
mar
k. S
econ
dar
yin
tere
sts a
re u
sual
ly se
ason
ed a
sset
s tha
t gen
erat
ein
com
e an
d d
istrib
utio
ns im
med
iate
ly. T
his p
rod
uces
curre
nt c
ash
flow
and
min
imize
s J-c
urve
impa
ct.
Inve
stm
ents
are
gen
era
lly h
eld
unt
il ful
l fun
d le
vel
dist
ribut
ion.
Stat
us: I
n co
mpl
ianc
e
33%
19%
6%10
%
32%
Offi
ceA
partm
ents
Reta
ilIn
dus
trial
Oth
er*
Prop
erty
Typ
e D
iver
sific
atio
n
* Incl
udes
Mix
ed-U
se (1
0%),
Land
(9%
), Lo
dgi
ng (6
%),
Oth
er (4
%),
and
Cas
h (3
%).
OTR
S ow
ns 3
.0%
of t
he fu
nd.
32
RERe
al E
stat
e
L&B
Real
ty A
dvise
rs –
Gol
den
Drill
er F
und
Loca
tion:
Da
llas,
Texa
sO
TRS
Initi
al C
omm
itmen
t:$6
0 m
illion
OTR
S To
tal C
omm
itmen
t:$6
0 m
illion
Fund
Nam
e: L
&B
Gol
den
Dril
ler
Fund
Type
: Se
para
te A
ccou
nt L
imite
d P
artn
ersh
ipN
umbe
r of W
orki
ng In
vest
men
ts:3
Firm
AUM
: $7
.6 b
illion
Ince
ptio
n Da
te:
Seco
nd Q
uarte
r, 20
14Fu
nd M
anag
er:
Chr
istia
n M
ette
nIn
vest
men
t Pro
cess
: Th
e fu
nd w
ill in
vest
in a
focu
sed
portf
olio
com
pose
d o
f up
to th
ree
prop
erty
type
s: Re
tirem
ent H
omes
/Mem
ory
Car
e fa
cilit
ies,
Build
to C
ore
Offi
ce, a
nd S
peci
al O
ppor
tuni
ties.
The
prim
ary
obje
ctiv
e is
prot
ectio
n of
ca
pita
l and
app
reci
atio
n. A
sset
s will
be
cons
erva
tivel
y un
der
writ
ten
and
util
ize re
ason
able
le
vera
ge (u
p to
65%
). T
he p
ortfo
lio w
ill in
vest
a
geog
raph
ical
ly d
iver
sifie
d p
ortfo
lio o
f non
-cor
e d
evel
opm
ent p
rope
rties
. Th
e Re
tirem
ent H
omes
/Mem
ory
Car
e w
ill fo
cus o
n d
emog
raph
ical
ly a
dva
ntag
ed a
reas
an
d co
nstru
ct n
ew fa
cilit
ies.
Bui
ld t
o C
ore
will
cons
truct
hi
gh q
ualit
y of
fice
build
ings
in a
ttra
ctiv
e in
fill a
reas
. Sp
ecia
l opp
ortu
nitie
s will
targ
et u
niqu
e pr
oper
ties w
ith a
fo
cus o
n lo
ng-te
rm in
com
e pr
oduc
tion.
Stat
us: I
n C
ompl
ianc
e
100%
Retir
emen
tHo
mes
/Mem
ory
Car
e
Build
to C
ore
Spec
ial
Opp
ortu
nitie
s
Prop
erty
Type
Div
ersif
icat
ion
PRO
GRE
SS U
PDA
TE:
The
fund
is c
urre
ntly
wor
king
on
thre
e re
tirem
ent h
ome/
mem
ory
care
faci
litie
s. T
wo
in F
lorid
a an
d on
e in
Tex
as.
The
Texa
s pr
oper
ty (D
alla
s) is
the
new
est a
nd la
rges
t pr
ojec
t. T
he tw
o Fl
orid
a pr
ojec
ts h
ave
capi
tal c
omm
itmen
ts o
f $1
5.9
and
$15.
9 m
illion
resp
ectiv
ely.
The
Tex
as p
roje
ct is
ex
pect
ed to
hav
e a
capi
tal c
omm
itmen
t of $
29.6
milli
on. T
otal
be
ds fo
r all t
hree
are
exp
ecte
d to
be
448
with
roug
hly
two
third
s as
siste
d liv
ing
and
one
third
mem
ory
care
. Pal
m B
each
Gar
dens
sit
e ha
s bee
n cl
eare
d, a
nd fo
unda
tion
is be
ing
pour
ed. L
and
clos
e fo
r Par
k C
ities
(Dal
las)
occ
urre
d o
n Se
ptem
ber 3
, 201
5. S
ite
wor
k w
ill be
gin
2016
. Dem
oliti
on o
f exi
stin
g st
ruct
ures
occ
urre
d in
N
ovem
ber,
and
form
al g
roun
dbre
akin
g fo
r the
pro
ject
is M
arch
30
.Wel
lingt
on si
te w
ork
will
begi
n in
Jun
e.
No
Build
to C
ore
or S
peci
al O
ppor
tuni
ties p
roje
cts
have
bee
n st
arte
d.
33
RERe
al E
stat
e
Gol
den
Dril
ler –
Proj
ect T
imel
ines
Harb
orC
hase
of P
alm
Be
ach
Gar
dens
Harb
orC
hase
of
Wel
lingt
on C
ross
ing
Harb
orC
hase
of P
ark
Citi
es
Gov
ernm
ent
App
rova
ls C
ompl
eted
Febr
uary
,201
5Ju
ne, 2
015
Apr
il,20
15
Land
Clo
sing
Mar
ch, 2
015
June
, 201
5Se
ptem
ber,
2015
Loa
n C
losin
gSe
ptem
ber,
2015
May
, 201
6A
pril,
2016
Com
men
ce
Con
stru
ctio
nSe
ptem
ber,
2015
June
, 201
6A
pril,
201
6
Site
wor
k/G
ara
ge
Com
plet
eJa
nuar
y, 2
016
July
,201
6O
ctob
er,2
016
Foun
da
tion
Com
plet
eM
arch
,201
6O
ctob
er, 2
016
Oct
ober
, 201
6
Ver
tica
l Con
stru
ctio
n C
ompl
ete
July
, 201
6Fe
brua
ry, 2
017
Mar
ch, 2
017
Ope
n Sa
les O
ffice
Sept
embe
r, 20
16M
arch
, 201
7A
pril,
201
7
Hire
/Tra
in S
taff
Febr
uary
, 201
7A
ugus
t, 20
17Se
ptem
ber,
2017
Con
stru
ctio
n C
ompl
ete
Mar
ch, 2
017
Sept
embe
r, 20
17O
ctob
er,2
017
34
RERe
al E
stat
e
Gol
den
Dril
ler –
Proj
ect E
cono
mic
sHa
rbor
Cha
seof
Pal
m B
each
G
arde
nsHa
rbor
Cha
seof
Wel
lingt
on
Cro
ssin
gHa
rbor
Cha
seof
Par
kC
ities
Units
/Bed
s12
0/14
013
6/15
413
4/15
4
Cos
t$3
8,03
1,83
2$3
9,80
6,51
8$7
2,52
2,34
6
Debt
$22,
175,
000
$23,
883,
911
$42,
913,
653
Equi
ty$1
5,85
6,83
2$1
5,92
2,60
7$2
9,60
8,78
3
Stab
ilize
d N
OI
$3,6
74,0
83$4
,130
,116
$7,1
96,4
70
Retu
rn o
n C
ost
9.7%
10.4
%9.
9%
Proj
ectI
RR23
.7%
27.1
%24
.5%
Estim
ated
Sal
es P
rice
(Yea
r 5)
$63,
544,
790
$71,
381,
403
$123
,936
,809
Debt
$21,
660,
174
$22,
698,
520
$42,
123,
901
Equi
ty$1
5,85
6,83
2$1
5,92
2,60
7$2
9,60
8,78
3
Tran
sact
ion
Cos
t$9
53,1
72$1
,070
,721
$1,8
59,0
52
Estim
ated
Prof
it$2
5,07
4,61
2$3
1,68
9,55
5$5
0,34
5,07
3
35
RERe
al E
stat
e
Star
woo
d
Loca
tion:
Sim
sbur
y, C
onne
ctic
utO
TRS
Initi
al C
omm
itmen
t:$4
4 m
illion
OTR
S To
tal C
omm
itmen
t:$5
4 m
illion
Fund
Nam
e: S
tarw
ood
Dist
ress
ed O
ppor
tuni
ty F
und
Fund
Type
: La
rge
Real
Est
ate
Spec
ialis
tFu
nd S
ize (N
et):
$5.6
billi
onN
umbe
r of I
nves
tmen
ts:3
6Fi
rm A
UM:
$44.
5 bi
llion
Ince
ptio
n Da
te: S
econ
d Q
uarte
r, 20
14
Fund
Man
ager
: Ba
rry S
tern
licht
Inve
stm
ent P
roce
ss:
The
fund
will
targ
et in
vest
men
tsw
ith a
vera
ge e
quity
of $
75 -
$100
milli
on. T
he fi
rmad
here
s to
an e
stab
lishe
d se
t of i
nves
tmen
tpr
inci
ples
: buy
bel
ow re
pla
cem
ent c
ost,
use
appr
opria
te le
vera
ge (a
mou
nt a
nd d
urat
ion)
, inv
est
whe
n su
pply
is lo
w, a
void
ove
rcon
cent
ratio
n by
div
ersif
ying
acr
oss r
isk sp
ectru
m, g
eogr
aphi
c ar
eas,
asse
t typ
e an
d c
apita
l stru
ctur
e; in
vest
alo
ngsid
e LP
s,a
nd a
ntic
ipa
te o
ppor
tuni
ties c
rea
ted
by
capi
tal
flow
s. Th
e fu
nd w
ill in
vest
in a
glo
bal p
ortfo
lio v
iapu
rcha
ses o
f non
-per
form
ing
loan
s, in
div
idua
l ass
ets
and
por
tfolio
s of a
sset
s or c
ompa
nies
. Pur
chas
es w
illfo
cus
on th
e US
and
Eur
ope
alth
ough
inve
stm
ent
oppo
rtuni
ties i
n ot
her r
egio
ns w
ill be
con
sider
ed.
Stat
us: I
n co
mpl
ianc
e; N
onco
mpl
ianc
e fo
r pur
chas
e pr
ivat
ely
plac
ed o
r oth
er n
on-m
arke
tabl
e de
bt, e
xcep
t sec
uriti
es is
sued
und
er
Rule
144
A.
31%
18%
12%
8%
30%
1%
Prop
erty
Typ
e D
iver
sific
atio
n
36
RERe
al E
stat
e
Ann
ual M
anag
emen
t Fee
Com
paris
on
0.81
%0.
73%
0.45
%0.
50%
1.50
%1.
50%
1.75
%
1.16
%
1.00
%
1.50
%
AEW
Heitm
anL&
BG
olde
nD
rille
rA
nthe
usD
une
Gre
enO
akA
mer
ican
Real
tyLa
ndm
ark
Star
woo
d
37
RERe
al E
stat
e
Qua
rterly
Per
form
ance
Hist
ory
(Net
of f
ees)
Cor
e Re
al E
stat
e Po
rtfol
ios
AEW
Heitm
anL&
BN
FI-O
DCE
4q20
113.
1%2.
2%1.
1%3.
0%
1q 2
012
2.2%
3.3%
1.2%
2.8%
2q 2
012
1.7%
2.3%
1.5%
2.6%
3q 2
012
2.8%
4.0%
1.4%
2.8%
4q20
122.
5%2.
5%2.
6%2.
4%
1q 2
013
2.0%
2.8%
2.3%
2.7%
2q 2
013
3.1%
4.6%
2.0%
3.9%
3q 2
013
3.5%
3.9%
2.4%
3.6%
4q20
133.
2%3.
4%3.
6%3.
2%
1q20
142.
3%2.
3%2.
6%3.
2%
2q 2
014
2.3%
3.3%
2.7%
2.9%
3q20
142.
8%3.
0%3.
8%3.
2%
4q 2
014
2.9%
1.6%
3.5%
3.0%
1q 2
015
2.0%
3.6%
2.6%
3.4%
2q 2
015
4.0%
4.1%
3.8%
3.8%
3q 2
015
2.9%
3.3%
3.6%
3.7%
4q 2
015
3.2%
3.8%
5.1%
3.3%
Trai
ling
Year
12.7
%15
.6%
15.8
%14
.7%
Trai
ling
2 Ye
ars
(ann
ualiz
ed)
11.6
%12
.9%
14.2
%14
.4%
38
RERe
al E
stat
eM
arke
t Val
ue H
istor
y:C
ore
Real
Est
ate
Portf
olio
s
AEW
Heitm
anL&
BTo
tal C
ore
Real
Est
ate
Allo
catio
n3q
2011
90,0
00,0
0010
3,80
5,31
110
1,88
0,90
529
5,68
6,21
6
4q20
1193
,120
,246
153,
469,
336
123,
615,
184
370,
204,
766
1q 2
012
155,
840,
225
156,
309,
732
124,
746,
993
436,
896,
950
2q 2
012
158,
158,
228
161,
159,
299
153,
000,
101
472,
317,
628
3q 2
012
160,
527,
947
164,
136,
057
154,
879,
803
479,
543,
807
4q 2
012
164,
777,
493
170,
260,
588
156,
919,
704
491,
957,
785
1q 2
013
168,
556,
340
173,
735,
967
160,
874,
997
503,
167,
304
2q 2
013
171,
755,
602
178,
076,
841
164,
376,
355
514,
208,
798
3q 2
013
176,
850,
639
185,
778,
492
167,
448,
015
530,
077,
146
4q 2
013
182,
265,
413
192,
671,
534
171,
267,
534
546,
204,
481
1q 2
014
187,
076,
961
198,
670,
499
177,
162,
997
562,
910,
457
2q 2
014
192,
034,
573
202,
938,
892
181,
572,
977
576,
546,
442
3q 2
014
211,
466,
008
209,
148,
481
186,
245,
204
606,
859,
693
4q 2
014
217,
202,
202
220,
910,
082
193,
249,
745
631,
362,
029
1Q20
1522
2,91
9,38
222
6,21
6,09
020
0,13
2,89
864
9,26
8,37
0
2Q20
1522
8,18
6,22
523
4,06
3,49
120
5,52
1,95
166
7,77
1,66
7
3Q20
1523
9,90
1,10
824
1,29
6,08
321
3,29
7,21
569
4,49
4,40
6
4Q20
1525
1,77
1,77
924
8,43
6,29
422
1,08
1,22
372
1,28
9,29
5
39
RERe
al E
stat
e
Mar
ket V
alue
Hist
ory:
Non
-Cor
e Re
al E
stat
e Po
rtfol
ios
Gol
den
Drill
erA
mer
ican
Re
alty
Ant
heus
Dune
Gre
enO
akLa
ndm
ark
Star
woo
d
Tota
l Non
-C
ore
Real
Es
tate
A
lloca
tion
3q 2
014
940,
000
940,
000
4q 2
014
1,34
1,97
46,
358,
900
10,7
50,0
0511
,662
,556
12,2
21,2
543,
323,
561
45,6
58,2
50
1Q20
156,
726,
614
13,7
50,2
3618
,812
,505
17,3
10,0
9012
,398
,914
2,33
6,00
271
,334
,361
2Q20
1513
,242
,860
14,2
49,4
3221
,500
,005
23,2
92,3
6517
,293
,761
2,87
5,73
992
,454
,162
3Q20
1526
,742
,860
14,7
51,8
2621
,500
,000
25,8
90,8
7216
,427
,624
2,35
7,99
210
7,67
1,17
4
4Q20
1526
,742
,549
15,3
67,5
0026
,875
,000
31,9
62,1
7320
,537
,053
13,1
55,2
444,
721,
156
139,
360,
675
40
Oth
er N
on-L
iqui
d A
sset
s
Opp
ortu
nist
ic In
vest
men
ts
41
RERe
al E
stat
e
PIM
CO
Bra
vo F
und
I
Portf
olio
Dat
a
Orig
inal
Com
mitm
ent:
$100
milli
on
Cap
ital C
alle
d: $
100
milli
on
Perc
ent o
f Cap
ital C
alle
d: 1
00%
M
arke
t Val
ue: $
30,5
64,9
51
Tota
l Dist
ribut
ions
: $15
1,88
2,48
5
Net
Sin
ce In
cept
ion
IRR:
23.
1%
Mul
tiple
on
Cal
led
Cap
ital:
1.83
x
Qua
rterly
Ret
urn:
-0.5
%
Impo
rtant
Dat
es
Fina
l Clo
se: 7
/13/
2011
In
vest
men
t Per
iod
End
Dat
e: 1
/13/
2014
En
d o
f Fun
d T
erm
(with
out e
xten
sions
): 7/
13/2
016
En
d o
f Fun
d T
erm
(ful
ly e
xten
ded
): 7/
13/2
018
Spec
ial
Situ
atio
ns8%
Com
mer
cial
12%
Resid
entia
l80
%
42
RERe
al E
stat
e
PIM
CO
Bra
vo II
Fun
d
Portf
olio
Dat
a
Orig
inal
Com
mitm
ent:
$150
milli
on
Cap
ital C
alle
d: $
120
milli
on
Perc
ent o
f Cap
ital C
alle
d: 8
0%M
arke
t Val
ue: $
134,
122,
094
N
et S
ince
Ince
ptio
n IR
R: 1
4.0%
M
ultip
le o
n C
alle
d C
apita
l: 1.
15x
Q
uarte
rly R
etur
n: 3
.7%
G
eogr
aphi
c Ex
posu
re:
63
% U
nite
d S
tate
s
37%
Eur
ope
Im
porta
nt D
ates
In
vest
men
t Per
iod
End
Dat
e: 3
/14/
2017
En
d o
f Fun
d T
erm
(with
out e
xten
sions
): 3/
14/2
019
En
d o
f Fun
d T
erm
(ful
ly e
xten
ded
): 3/
14/2
022
Spec
ial
Situ
atio
ns, 2
5%
Com
mer
cial
, 30
%
Resid
entia
l, 45
%
43
App
end
ix
Ind
ex D
efin
ition
s
44
RERe
al E
stat
e
Ind
ex D
efin
ition
: NFI
OD
CE
N
CRE
IF F
UND
IND
EX –
OPE
N E
ND
DIV
ERSI
FIED
CO
RE E
QUI
TY (N
FI‐O
DC
E) T
he N
FI‐O
DC
E is
a
capi
taliz
atio
n‐w
eigh
ted
, gro
ss o
f fee
, tim
e‐w
eigh
ted
retu
rn in
dex
with
an
ince
ptio
n d
ate
of D
ecem
ber
31, 1
977.
Sup
plem
enta
l da
ta is
also
pro
vid
ed, s
uch
as e
qua
l‐wei
ght a
nd n
et o
f fee
retu
rns,
for
info
rmat
iona
l pur
pose
s and
ad
diti
onal
ana
lysis
. Ope
n‐en
d F
und
s are
gen
eral
ly d
efin
ed a
s inf
inite‐li
fe
vehi
cles
con
sistin
g of
mul
tiple
inve
stor
s who
hav
e th
e ab
ility
to e
nter
or e
xit t
he fu
nd o
n a
perio
dic
basis
, su
bjec
t to
cont
ribut
ion
and
/or r
edem
ptio
n re
ques
ts, t
here
by p
rovi
ding
a d
egre
e of
pot
entia
l inv
estm
ent
liqui
dity
. The
term
Div
ersif
ied
Cor
e Eq
uity
styl
e ty
pica
lly re
flect
s low
er ri
sk in
vest
men
t stra
tegi
es u
tilizi
ng lo
w
leve
rage
and
gen
eral
ly re
pres
ente
d b
y eq
uity
ow
ners
hip
posit
ions
in st
abl
e U.
S. o
pera
ting
prop
ertie
s. Th
e N
FI‐O
DC
E, li
ke th
e N
CRE
IF P
rope
rty In
dex
(NPI
) and
oth
er st
ock
and
bon
d in
dic
es, i
s a
capi
taliz
atio
n‐w
eigh
ted
ind
ex b
ased
on
each
fund
’s N
et In
vest
ed C
apita
l, w
hich
is d
efin
ed a
s Beg
inni
ng
Mar
ket V
alue
Net
Ass
ets (
BMV
), ad
just
ed fo
r Wei
ghte
d C
ash
Flo
ws (
WC
F) d
urin
g th
e pe
riod
. To
the
exte
nt
WC
F ar
e no
t ava
ilabl
e; w
hich
may
be
the
case
for o
lder
liqu
idat
ed fu
nds,
BMV
is u
sed
. Ind
ices
are
ty
pica
lly c
apita
lizat
ion‐
wei
ghte
d, a
s the
y be
tter r
epre
sent
the
univ
erse
and
the
perfo
rman
ce o
f the
ov
eral
l mar
ketp
lace
. Tot
al R
etur
n of
any
ca
pita
liza
tion‐
wei
ghte
d In
dex
is, t
here
fore
, mor
e in
fluen
ced
by
the
larg
er fu
nds (
base
d o
n N
et In
vest
ed C
apita
l) in
clud
ed in
the
Ind
ex.
App
endi
x A
45
RERe
al E
stat
e
Ind
ex D
efin
ition
: NFI
CEV
N
FI-C
EV (C
lose
d-E
nd V
alue
-Fun
d In
dex
) is t
he la
test
per
form
ance
ben
chm
ark
for r
eal e
stat
e po
rtfol
ios.
It w
as fi
rst r
elea
sed
dur
ing
the
four
th q
uarte
r of 2
014
in p
relim
inar
y fo
rm w
hich
is su
bjec
t to
chan
ge.
The
benc
hmar
k tra
cks f
und
s bac
k to
the
1999
vin
tage
yea
r.Th
e cu
rrent
ind
ex is
com
prise
d o
f 38
clos
ed e
nd
valu
e ad
ded
fund
s tot
alin
g $2
2 bi
llion
in g
ross
real
est
ate
.A
ll fun
ds i
nclu
ded
are
still
act
ive
as o
f cur
rent
qu
arte
r end
dat
e.Th
e cu
rrent
repo
rt co
ntai
ns c
urre
nt q
uarte
r and
one
yea
r ret
urns
, int
erna
l ra
te o
f re
turn
sum
mar
y an
d b
alan
ce sh
eet i
nfor
mat
ion.
Futu
re re
ports
will
cont
ain
expa
nded
dat
a po
ints
.Th
e in
dex
dat
a is
expe
cted
to b
e re
leas
ed ro
ughl
y 65
day
s afte
r eac
h ca
lend
ar q
uarte
r end
.Th
e in
dex
will
be m
aint
aine
d in
pre
limin
ary
sta
tus f
or a
t lea
st o
ne y
ear.
For t
he y
ear e
nded
Dec
embe
r 31,
201
4, th
e in
dex
pro
duc
ed a
tota
l gro
ss o
f fee
retu
rn o
f 20.
14%
.6.
58%
of t
he re
turn
wa
s inc
ome
whi
le 1
2.93
% w
as
appr
ecia
tion.
Tota
l lev
erag
e w
as 4
6.4%
and
occ
upan
cy w
as 8
6.8%
.
App
endi
x B
46
International Equ
ity Portfo
lio
Structure An
alysis
Determ
ining the op
timal portfo
lio structure am
ong
existing international equ
ity m
anagers a
nd
international equ
ity se
arch finalists
Investmen
t Com
mittee
Meetin
g March 22, 201
6
47
Introd
uctio
n & M
odeling Ap
proach
The fin
al step
to com
plete the international equ
ity se
arch process begun
in M
ay of 2
015 is to
determ
ine the be
st way of com
bining
existing international equ
ity m
anagers w
ith finalist firm
sinterviewed
by the Bo
ard on
2/24/16
. The goal is to
find
the po
rtfolio
allocatio
n which is expected to
prod
uce the highest return at th
e level of risk
at w
hich th
e Bo
ard is comfortable.
The approp
riate m
odeling process to address this p
roblem
is m
ean‐varia
nce op
timiza
tion (M
VO),
othe
rwise
kno
wn as efficient frontier a
nalysis. (Efficient p
ortfo
lios a
re th
ose that exhibit the highest
returns p
er unit o
f risk
and
they collectively form
the efficient fron
tier.) M
VO re
quire
s three inpu
tsnamely, expected returns, expected risk and expe
cted
correlatio
ns. For p
ortfo
lio structure
optim
izatio
ns with
in an asset class whe
re correlatio
ns are high (>= 0.90
), MVO
analysis
can
be
extend
ed to
ben
chmark‐relative data. Co
rrelations are high am
ong the international equ
ity se
gmen
tsexam
ined
, so the be
nchm
ark‐relative approach was app
lied. The
inpu
ts fo
r the
MVO
analysis
are
therefore expe
cted
excess returns (alph
a*), expe
cted
excess risk (tracking error o
r TE) and
expected
excess re
turn correlatio
ns
The Investment C
ommittee
has re
view
ed M
VO analysis
based
upo
n prelim
inary estim
ates of alpha,
tracking
error and
excess return correlatio
ns, how
ever, the
following analysis is based up
on a th
orou
ghreview
and
refin
ement o
f the
se estim
ates and
is limite
d to only the fin
alist firm
s and it includ
es th
eexisting international equ
ity m
anagers. The
ben
chmark index to which th
e managers a
nd th
einternational small cap
allocatio
n are compared is the MSCI A
CWI x US IM
I ind
ex. This broad index
includ
es equ
ities from
all de
velope
d and em
erging
markets excluding
the US and includ
es large, m
idand sm
all cap
com
panies.
*Excess re
turns d
o no
t meet the
technical definition
of a
lpha
except in the case where Beta equa
ls on
e, how
ever, m
aking thissim
plifying
assumption for this a
nalysis
is not expected to m
aterially affe
ct th
e results.
48
Introd
uctio
n & M
odeling Ap
proach
The eight investm
ent m
anager produ
cts a
nd th
e compo
site exam
ined
are listed
below
:
The process for refining correlation estim
ates involved
examining historical patterns o
f excess return
correlations between compo
sites and
indices and the process for refining alph
a and tracking
error
estim
ates was to
examine historical ann
ualized
36 mon
th ro
lling
period alph
as and
tracking
errors.
Anothe
r refinem
ent relative to th
e previously re
view
ed analysis
has to
do with
con
straints app
lied to
potential allocatio
ns. MVO
, left u
ncon
strained
, can
produ
ce im
practical allocatio
ns (o
verly
small or
overly large allocatio
ns) to individu
al m
anagers so constraints a
re employed
and
practical allocatio
nsare evaluated for the
ir efficiency.
Usin
g the refin
ed m
odeling inpu
ts, two scen
arios w
ere exam
ined
: one
with
the SSGA Em
erging
Markets Small Cap
allocatio
n and on
e with
out. The
scen
ario with
SSG
A Em
erging
Markets Small Cap
constraine
d the SSGA allocatio
n to a m
axim
um of 7
.5%. The second
scen
ario con
strains the
SSG
Aallocatio
n to a m
axim
um of 0
%. In both scen
arios, th
e maxim
um fo
r the
remaining
individu
almanagers is 5
0 % and
the international small cap
allocatio
n is constraine
d to a m
inim
um of 2
0% and
amaxim
um of 3
5%.
Status
Prod
uct/Co
mpo
site sh
ort n
ame
Prod
uct/Co
mpo
site long
nam
eFrom
ToCu
rren
t
Intl Sm
all Cap
OK TRS Internaon
al Small Cap
Com
posite
1/31/2012
1/31/2016
Prospe
ctive
SSGA
Emg Sm
Cap
SSGA
Active Em
erging
Markets Small Cap
Strategy
10/31/2007
1/31/2016
Curren
tNT EA
FENorthern Trust EAF
E Inde
x10/31/2013
1/31/2016
Curren
tCausew
ayCausew
ay International O
pportunitie
s5/31/2003
1/31/2016
Prospe
ctive
Wellin
gton
Wellin
gton
International Q
uality Grow
th8/31/2009
1/31/2016
Prospe
ctive
Vontob
elVo
ntob
el Internatioal Equ
ities ‐ High
Quality Grow
th at Sen
sible Prices
2/29/2000
1/31/2016
Prospe
ctive
Tocque
ville
Tocque
ville
International M
ulti Cap Equity Strategy
7/31/2001
1/31/2016
Prospe
ctive
Allianz
Allianz Best Styles
4/30/2010
1/31/2016
Mon
thly Return History
49
Executive Summary
The MVO
mod
eling process iden
tified several efficient p
ortfo
lios that are su
perio
r to the existing structure in te
rms
of delivering higher expected returns (alph
a) per unit o
f risk
(tracking error).
After e
xcluding
Von
tobe
ldue
to professionals turnover and
review
ing po
tential solutions, add
ition
al m
odeling to
evaluate six sp
ecific practical portfo
lios was perform
ed. The characteristics o
f the
se portfo
lios are show
n in th
etable be
low.
Each portfo
lio has advantages relative to th
e curren
t portfo
lio, h
owever, the
portfo
lio with
the most a
ttractive set o
fcharacteristics is P
ortfolio 5with
a 67%
increase in
net IR
, a 53%
increase in
net alpha
and
an 8%
redu
ction in risk all
of which wou
ld be worth th
e 38
% increase in
fees.
Expe
cted
Return an
d Risk Estim
ates and
Cha
nge vs Current Portfolio
Portfolio
Nam
e
Gross
Excess
Return
(alpha
)
Excess
Risk
(Tracking
Error)
Gross In
fo.
Ratio
(alpha
/TE)
Fee Est in
BPs
Net Excess
Return
(alpha
)
Net In
fo.
Ratio
(alpha
/TE)
Curren
t Portfolio
2.21
%2.44
%0.91
36.3
1.85
%0.76
Portfolio
#1
3.26
%2.21
%1.48
49.0
2.77
%1.25
Portfolio
#2
3.14
%2.31
%1.36
47.4
2.67
%1.15
Portfolio
#3
3.19
%2.38
%1.34
48.1
2.71
%1.14
Portfolio
#4
3.29
%2.30
%1.43
49.8
2.80
%1.21
Portfolio
#5
3.34
%2.24
%1.49
50.0
2.84
%1.27
Portfolio
#6
3.34
%2.37
%1.41
50.5
2.83
%1.19
% Cha
nge vs Current
Portfolio
#1
47%
‐9%
63%
35%
50%
65%
Portfolio
#2
42%
‐5%
50%
30%
44%
52%
Portfolio
#3
44%
‐2%
48%
32%
46%
50%
Portfolio
#4
49%
‐6%
58%
37%
51%
60%
Portfolio
#5
51%
‐8%
64%
38%
53%
67%
Portfolio
#6
51%
‐3%
55%
39%
53%
57%
50
Executive Summary
Curren
t Portfolio
Portfolio
#1
Portfolio
#2
Portfolio
#3
Portfolio
#4
Portfolio
#5
Portfolio
#6
SSGA Em
g Sm
Cap
0.00
%5.00
%0.00
%0.00
%5.00
%7.50
%5.00
%
Intl Sm
all Cap
38.97%
30.00%
30.00%
30.00%
30.00%
30.00%
30.00%
Wellington
0.00
%15
.00%
17.50%
20.00%
17.50%
15.00%
20.00%
Causew
ay22
.97%
15.00%
17.50%
15.00%
17.50%
15.00%
15.00%
Allianz
0.00
%35
.00%
35.00%
35.00%
30.00%
32.50%
30.00%
NT EA
FE38
.06%
0.00
%0.00
%0.00
%0.00
%0.00
%0.00
%
0%10%
20%
30%
40%
50%
60%
70%
80%
90%
100%
Allocation %
Curren
t Portfolio vs Alternative Structures
As of M
arch 14, 2016 the International Large Cap
allocatio
n was at $
1,267 million and the International Small Cap
allocatio
nwas at $
809 million for a
total Internatio
nal Equ
ity allocatio
n of $2.076 billion
. The target allocatio
n of th
e international equ
itypo
rtfolio
is 17.5%
or $
2.307 billion
.
The curren
t and
propo
sed po
tential allocatio
ns of the
international equ
ity portfo
lios from th
e previous page are show
n in th
echart b
elow
. The prop
osed
poten
tial allocatio
ns of the
international equ
ity portfo
lio are sh
own in th
e chart b
elow
. Po
rtfolios
1, 4, 5
and
6 includ
e an
allocatio
n to th
e SSGA em
erging
markets sm
all cap
while Portfo
lios 2 and 3 do
not.
51
Executive Summary
Curren
t Portfolio
Portfolio
#1
Portfolio
#2
Portfolio
#3
Portfolio
#4
Portfolio
#5
Portfolio
#6
SSGA Em
g Sm
Cap
$0$1
15$0
$0$1
15$1
73$1
15
Intl Sm
all Cap
$902
$692
$692
$692
$692
$692
$692
Wellington
$0$3
46$4
04$4
61$4
04$3
46$4
61
Causew
ay$5
29$3
46$4
04$3
46$4
04$3
46$3
46
Allianz
$0$8
07$8
07$8
07$6
92$7
50$6
92
NT EA
FE$8
76$0
$0$0
$0$0
$0
0%10%
20%
30%
40%
50%
60%
70%
80%
90%
100%
Allocation %
Curren
t Portfolio vs Alternative Structures (tab
le below
in $millions)
The same prop
osed
potentia
l allocatio
ns of the
international equ
ity portfo
lio from
the previous
page are sh
own in th
e chart b
elow
, how
ever th
e table show
s dollar a
llocatio
ns in m
illions usin
g the
international equ
ity ta
rget allocatio
n of 17.5%
or $
2.30
7 billion
as o
f March 14, 201
6.
52
Efficient Frontier a
long
with
Portfolios 1
thru 6 and
Current
2.00
%
2.50
%
3.00
%
3.50
%
4.00
%
4.50
% 1.00
%1.50
%2.00
%2.50
%3.00
%3.50
%4.00
%4.50
%
Curren
t
P3
P2
P6
P4P1
P5
Expe
cted
ActiveRisk
Expected Alpha
53
Portfolio
Mod
eling Estim
ates
The estim
ates used in th
e po
rtfolio
mod
eling are show
n be
low. Alon
gside the alph
a and tracking
error estim
ates
are averages of historical 3 year rolling alph
a and tracking
error fo
r com
parative pu
rposes.
Estim
ate
Historical
Estim
ate
Historical
Portfolio
Descriptio
n
Gross
Excess
Return
(alpha)
Avg of 3Y
Rolling
alph
a
Excess
Risk
(Tracking
Error)
Avg of 3Y
Rolling
Tracking
Error
Gross Info.
Ratio
(alpha/TE)
Fee Est in
BPs
Net Excess
Return
(alpha)
Net Info.
Ratio
(alpha/TE)
Int'l Small Cap
4.50%
6.38%
4.75%
4.10%
0.95
0.80%
3.70%
0.78
SSGA
Emg Mkt Sm Cap
5.25%
7.75%
9.00%
9.33%
0.58
0.69%
4.56%
0.51
NT EA
FE Inde
x0.00%
‐1.01%
2.50%
2.52%
0.00
0.03%
‐0.03%
‐0.01
Causew
ay Lg
Val
2.00%
0.50%
4.00%
4.13%
0.50
0.36%
1.64%
0.41
Wellin
gton
Lg Gr
3.75%
9.48%
5.60%
5.55%
0.67
0.56%
3.19%
0.57
Vontob
el Lg
Gr
2.50%
2.38%
7.00%
6.76%
0.36
0.67%
1.83%
0.26
Tocque
ville
Val
2.50%
1.36%
5.50%
5.39%
0.45
0.65%
1.85%
0.34
Alliance Co
re2.25%
3.01%
2.00%
1.77%
1.13
0.30%
1.95%
0.98
Portfolio
Descriptio
n
Int'l
Small
Cap
SSGA
Emg Mkt
Sm Cap
NT EA
FE
Inde
xCausew
ay
Lg Val
Wellin
gton
Lg Gr
Vontob
el
Lg Gr
Tocque
ville
Va
lAlliance
Core
Int'l Small Cap
1SSGA
Emg Mkt Sm Cap
‐0.02
1NT EA
FE Inde
x0.04
‐0.39
1Causew
ay Lg
Val
0.04
‐0.11
0.28
1Wellin
gton
Lg Gr
0.38
0.00
0.27
0.05
1Vo
ntob
el Lg
Gr
0.06
0.01
0.25
‐0.22
0.60
1Tocque
ville
Val
0.40
‐0.25
0.30
0.19
0.44
0.22
1Alliance Co
re0.02
0.00
0.04
0.04
0.07
‐0.18
0.10
1
Correlation of Excess R
eturn Estim
ates
54
Appe
ndix A
Evaluatio
n of Fees at Various levels of Assets Und
er M
anagem
ent
•The following tw
o pages sho
w investmen
t managem
ent fees b
ymanager as w
ell as the
international small cap
equ
ity com
posite.
The analysis show
s fees a
t various percentages of the
total
international equ
ity allocatio
n which is se
t at the
roun
d nu
mbe
r of
$2 billion (it is currently at a
pproximately $1
.96 billion
). Allocatio
npe
rcentage ra
nges are cho
sen to be consistent w
ith ra
nges from
the
efficient fron
tier a
nalysis.
•The concep
t of a
“fair”
fee is evaluated by con
sidering the following
questio
n: “Ho
w m
uch of th
e total expected gross a
lpha
shou
ld th
einvestment m
anager get fo
r providing
active investment
managem
ent services a
nd how
much shou
ld th
e client keep for
putting capital at risk
with
the investmen
t manager?”. In th
eanalysis, a fee is de
emed
fair if the System
keeps at least 80%
of the
total expected alph
a and the investment m
anager keeps 20%
or
less. Fair fees are sh
own in green
and
less th
an fair are show
n in
red.
55
Appe
ndix B
Refin
emen
t of M
odeling Estim
ates fo
r Expected Excess Returns (a
lpha)
•The following page sh
ows rolling 3 year excess returns fo
rcompo
sites and
managers. For th
e analysis, m
onthly re
turn
histories g
oing
back as far a
s 200
0 were used
with
a m
inim
um of 5
years (60
mon
ths). The
international equ
ity com
posite was sh
ort o
fthe 60
mon
th m
inim
um by 11
mon
ths so the MSCI W
o rld Small Cap
Index returns w
ere used
for a
s proxies fo
r the
11 missing mon
ths.
Likewise
, the
Northern EA
FE Index fund
has only a 28
mon
ths o
f live
returns, how
ever, being
an index fund
, it w
as con
sidered
reason
able to
use th
e MSCI EAF
E index returns to complete the
serie
s in orde
r to have re
turns g
oing
back 15
years.
•For e
ach chart the
rolling
3 year h
istorical excess return is
represented by th
e varia
ble blue
line
and
the estim
ate used
in th
emod
eling is the green ho
rizon
tal line. The
com
parison
between the
two lines sh
ows h
ow well historical re
turns h
ave matched
the
mod
eling estim
ate.
56
Appe
ndix C
Refin
emen
t of M
odeling Estim
ates fo
r Expected Excess Risk
(Tracking Error)
•The following page sh
ows rolling 3 year tracking
errors for
compo
sites and
managers. The
same approach and
excess returns
data as d
escribed
in App
endix B were used
to produ
ce ann
ualized
tracking
error statistics.
•Similar to Ap
pend
ix B, for each chart the
rolling
3 year h
istorical
tracking
error is re
presented by th
e varia
ble blue
line
and
the
estim
ate used
in th
e mod
eling is the green ho
rizo n
tal line. The
comparison
between the tw
o lines sh
ows h
ow well historical
tracking
errors h
ave matched
the mod
eling estim
ate.
57
Appe
ndix D
Refin
emen
t of M
odeling Estim
ates fo
r Expected Excess Return Co
rrelations
•The following pages sho
w historical correlatio
ns of e
xcess returns
amon
g the eight return histories a
s described
in App
endices B
& C.
•For the
eight excess return histories e
xamined
there are 28
uniqu
epairs of correlatio
ns. The 28
correlatio
n triangles u
sed to re
fine the
correlation estim
ates are sh
own on
the following pages.
58
Teachers’ Retirement System of Oklahoma
Request for Proposals #715-16-______
Real Estate Broker Services for the Acquisition of Investment Property
The Board of Trustees of the Teachers’ Retirement System of Oklahoma (TRS) is seeking proposals from real estate brokers in the Oklahoma City metropolitan area, to assist the Board in finding a commercial office building for an investment and for the possible headquarters of TRS. The broker will serve as a “Buyer’s Agent” to help the Board evaluate the suitability of any prospective property and to negotiate on its behalf if necessary.
I. INSTRUCTIONS AND GUIDELINES FOR SUBMITTING PROPOSALS
A. Deadline and Number of Copies Needed – Proposals shall be delivered electronically or physically by 4:30 PM, Monday, April _____, 2016. Vendors submitting a proposal electronically must submit the document .pdf format capable of a word search in the document. As an alternative, Vendors may submit proposals in hard copy. If this option is chosen TRS requires the delivery of one (1) original and four (4) copies of the proposal. Both methods require delivery to the Business Manager of TRS. Electronic submissions should be sent to Donna Spurrier at [email protected]. Hard copy submission should be delivered to:
Donna Spurrier, Business Manager Teachers’ Retirement System of Oklahoma 2500 N. Lincoln Blvd., 5th Floor’ Oklahoma City, OK 73105
B. Requests for Additional Information from Vendor - TRS reserves the right to request additional information from any or all Vendors to assist in the evaluation process. However, no Vendor may contact any member of the TRS Board of Trustees or TRS staff during the solicitation process. Contacts should be limited to the TRS Business Manager. (See par. E below.)
C. Selection Period - The Vendor selection period begins on the date this RFP is issued and ends on the date the contract is awarded by TRS.
D. Proposals Become Property of the State - All materials submitted by Vendors become irrevocable and the sole property of TRS and will not be returned. All proposals submitted and the information contained therein shall be subject to the public disclosure provisions of the Oklahoma Open Records Act after they are opened and discussed by the Board. Title 51 Oklahoma Statutes, §24A.10.
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E. Questions and Clarification by Vendors - All questions and requests for clarification related to the RFP process, its provisions, meaning or interpretation, should be submitted to the TRS Business Manager. In an effort to clarify any issues in this RFP, TRS will respond only to questions presented through email. Questions should be submitted to Donna Spurrier at [email protected]. These questions will be consolidated into a single Q&A document which will be posted on the TRS website. No Vendor may contact the TRS Board of Trustees or TRS staff regarding this RFP during the solicitation process except through this Q&A process.
All questions must be received by TRS by 4:30 PM Central Time on Friday, April ___, 2016. The Q&A document will be posted on the TRS website at www.ok.gov/trs on or after Friday, May ___, 2016. This will be the only distribution method for the Q&A document.
F. Negotiations - TRS reserves the right to enter into a negotiation process for the top ranked proposal or proposals when it is considered in the best interests of TRS. This negotiation process will involve all parts of the proposal, including the fee proposal submitted by the prospective vendor.
G. Evaluation of Proposals – Proposals will be evaluated based on best value. Best value will include an analysis of: (1) Vendor’s understanding of the project, (2) soundness of the approach and quality of the work plan, (3) Vendor’s qualifications including its established record of success in similar transactions, (4) individual qualifications of Vendor’s assigned staff, and (5) the outcome of reference checks on the Vendor.
During the evaluation process, TRS may, at its sole discretion, request any or all Vendors to make oral presentations. If oral presentations are required, it is highly recommended that the lead staff person for the Vendor be present at the finalist’s presentation. All costs associated with such presentation are the responsibility of the Vendor. No costs will be reimbursed by TRS for finalist presentations.
H. RFP Amendments - TRS reserves the right to amend this Request for Proposal (RFP) before the due date. Vendors are responsible to check the TRS website for scheduling changes and other amendments to the RFP.
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II. PROPOSAL COVER SHEET(must be signed, notarized and returned)
Proposal Name Proposal # Proposal Deadline Real Estate Broker Services
for the Acquisition of Investment Property
16-____ must be received by April ___, 2016
Vendor Identification: Name of Firm: ________________________________________________________________ Address: ________________________________________________________________
________________________________________________________________ City/State/Zip Code: ________________________________________________________________
________________________________________________________________ Telephone Number: ________________________________________________________________ Facsimile Number: _____________________________________________________________
VENDOR’S AFFIDAVIT
STATE OF ________________________ ) ) SS:
COUNTY OF ______________________ )
________________________________ (Print Name), of lawful age, being first duly sworn, on oath says that:
1. (S)he is the duly authorized agent of __________________________________, the Vendor submitting thisproposal attached to this statement to certify the facts pertaining to the existence of collusion among vendors and between vendors and state officials or employees, and facts pertaining to the giving or offering of things of value to government personnel in return for special consideration in the letting of any contract under the proposal to which this statement is attached; 2. (S)he is fully aware of the facts and circumstances surrounding the making and submitting of this proposal andhas been personally and directly involved in the proceedings leading to the submission of such proposals; and 3. Neither the Vendor nor anyone subject to the Vendor’s direction or control has been a party: a) to any collusionamong Vendors in restraint of freedom of competition by agreement to propose a fixed price or to not submit a proposal; b) to any collusion with any state official or employee as to quantity, quality or price in the prospective contract, or as toany other term of such prospective contract; nor, c) in any discussions between Vendors and any state official concerning exchange of money or any other thing of value for special consideration in the award of this prospective contract; d) to paying, giving or donating or agreeing to pay, give or donate to any officer or employee of the State of Oklahoma, any money or other thing of value, either directly or indirectly, in procuring this prospective contract. 4. The information in this proposal is true, correct and accurate as presented.
Name/Title
Subscribed and sworn to before me this _______ day of _____________________, 20 ____.
Notary Public (seal)
My commission expires: ________________________
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III. BACKGROUND INFORMATION ON TRS
A. Retirement Plans Managed
TRS administers a defined benefit plan for education employees across the state. For more specific information about TRS, see the agency’s website at www.ok.gov/trs. The most recent Comprehensive Annual Financial Report for TRS is available on the TRS website at https://www.ok.gov/TRS/Publications/Annual_Report.html.
B. Board of Trustees
TRS is administered by a Board of Trustees composed of 13 voting members and one nonvoting member. The voting members are appointed by various state officials as well as ex officio members. The chief executive officer of the agency is the Executive Director. The Executive Director is appointed by and reports to the Board of Trustees.
All members of the Board of Trustees are fiduciaries of the plans. With the defined benefit assets, Trustees are subject to the “prudent investor” rule. 70 Oklahoma Statutes, §17-106.1(A)(2). The Board has adopted an Investment Policy Statement that governs many of the aspects of its investment program. An acquisition of an office building which may be used to house TRS is not directly covered under the current policy, but if the Board decides to acquire a commercial office building, it is the intent of the Board to amend its policy to include such an asset class.
The Board, its Investment Committee, its external investment consultant, and the TRS staff, share certain aspects of oversight of investment managers. The external Investment Consultant and the TRS Chief Investment Officer, monitor and report on the performance of external investment managers, actively participate in the search for new investment managers, and recommend termination of existing managers. Both the external consultant and the CIO analyze investment costs and recommend changes to the plans’ structures.
C. TRS Staff
TRS staff is headed by the Executive Director of TRS. TRS has approximately 35 full-time employees. The current location of the TRS office is the Hodge Building at 2500 N. Lincoln Blvd. in Oklahoma City. TRS currently occupies 18,412 net usable square feet on the 5th floor of the Hodge Building.
IV. OFFICE BUILDING LISTINGS
The office buildings TRS may be interested in are those that have at least 50,000 square feet of usable space, and no more than 300,000 square feet of usable space. The building must be within the city limits of Oklahoma City, and TRS’ preference is the building be located within a 15 mile radius of the State Capitol at 2300 N. Lincoln Blvd, Oklahoma City, OK.
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V. ACTING AS BUYER’S BROKER
A. TRS seeks a real estate broker to act as the Buyer’s Broker and agent for TRS as a potential purchaser of commercial real property in Oklahoma City. Vendor will identify and evaluate property for its suitability as an investment property for TRS and a potential property to house the TRS staff. The Vendor will prepare an adequate market study on the status of the Oklahoma City office market (including an environmental, legal, and economic perspective), research, evaluate, and analyze potential property to identify likely costs of repair or improvement of the property, and forecast net operating income and a capitalization rate TRS might expect to receive on the property.
B. The Vendor will assist in the preparation of any contract for purchase should TRS acquire any property identified by the Vendor. TRS will also have its own legal counsel engaged in the negotiation and review process of any such contract.
C. The Vendor will recommend any amenities or improvements to the property that would make the property more attractive to tenants to increase the return on investment.
VI. REQUEST FOR PROPOSAL CONTENT
The proposal must include the information listed below. The proposal should be formatted on consecutively numbered pages and include a table of contents. Proposals are to address all questions posed in the order in which they appear in this RFP.
A. RFP Cover Sheet (see part II)
The Vendor must fill out and submit the Cover Sheet set forth in Section II of this RFP with the proposal.
B. Cover Letter
The Vendor must include a cover letter, which will be an integral part of the proposal. The letter must be signed by an individual authorized to bind the Vendor contractually. It must include the following elements:
1. A statement regarding the Vendor’s legal structure (e.g., an Oklahomacorporation), federal tax identification number, and principal place of business.
2. Vendor’s primary contact person on this RFP who has authority to answerquestions regarding the proposal:
a. Contact’s Nameb. Contact’s Titlec. Contact’s Address
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d. Contact’s Phone and Facsimile numberse. Contact’s E-mail address
3. A statement that the Vendor’s proposal meets all the requirements of this RFP.
4. A statement that the Vendor acknowledges and agrees that all documentssubmitted under this request may be subject to disclosure under Oklahoma’s Open Records Act, that any resulting contract and services will be subject to and interpreted by Oklahoma law, and this RFP and the Vendor’s response will be incorporated by reference to any resulting contract.
5. Minimum Qualifications of Vendor
a. The successful vendor must have been in business in the Oklahoma City area for aminimum of five (5) years.
b. The individual assigned to the contract as the lead staff person must have aminimum of five (5) years of professional experience in commercial real estate.
c. The individual assigned to the contract as the lead staff person must be a licensedreal estate broker with the Oklahoma Real Estate Commission. This person cannot be under any disciplinary order by the Commission.
6. Commission or Fee – The Vendor shall disclose the commission or fee that theBroker will earn if the property is sold to TRS.
C. Questionnaire
Provide the following information:
1. Vendor’s office locations, identifying which location will be assigned this project.
2. Vendor’s organizational structure, including subsidiary and affiliated companies.
3. Has the Vendor undergone any material change in its organizational structure orownership within the last 18 months? If yes, describe the change. Is any material change in ownership or structure under review or being contemplated?
4. A description of the Vendor’s data and research capacity, and demonstratedexpertise of finding quality commercial property. Include comments regarding your company’s database of existing commercial property that may be attractive to TRS.
5. A description of any material litigation to which your company is currently aparty.
6. A list and description of litigation brought against your company by existing orformer clients over the last five (5) years.
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7. A list and description of any inquiries or enforcement actions by the OklahomaReal Estate Commission involving you or your firm over the last five (5) years.
8. Describe any professional relationship involving any member of the TRS Boardof Trustees or staff, for the past five (5) years, with a statement explaining why such relationships do not constitute a conflict of interest relating to performing the proposed review.
D. Understanding of Project
1. Describe in detail your organization’s understanding of the services requested byTRS under this engagement.
2. Describe areas or processes, not included in the scope of this engagement, whichyour company may examine in order to provide more complete services and consulting support on this project.
3. Provide a narrative that supports why your company believes it is qualified toundertake the proposed engagement.
E. Work Plan
The proposal should set forth a work plan including:
1. A detailed explanation of the process you would use from commencementthrough referral of a potential property. This should include how you identify and evaluate these properties.
2. A description of how the Vendor will consult with and make presentations to theExecutive Director, the Chief Investment Officer and designated board members during the project, and assist the TRS Board and staff in narrowing the number of possible properties to those that best meet TRS’ needs.
3. A proposed timetable for performing the services under this contract.
4. A complete list of methodologies, variables and assumptions in deriving the cashflow and financial analysis of the property.
F. Vendor Personnel
1. For each individual you propose to assign to this engagement, provide a narrativebiography including name, title, date of hire, experience in commercial property transactions, and education.
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2. Describe your firm’s procedures if a key person assigned to this engagementleaves your firm during the engagement.
G. References
Provide a statement describing similar work that your firm has performed over the last five (5) years related to this project with comparable organizations. The statement should include:
1. The name, address, and phone number of the client.
2. The name and phone number of a responsible official who may be contacted as ageneral reference.
3. A summary description of the project and significant work completed. Describecomparable projects not successfully completed and comment on the reasons they were unsuccessful.
4. The start and end date of the projects described in question 3 above.
H. Fee Proposal
1. Provide a proposal regarding the fee to be paid to your firm for the servicesidentified in this RFP. The fee should be expressed in a commission should there be a completed purchase, and be inclusive of all travel and other out-of-pocket expenses.
2. Payment of fees will be made when and if a property is purchased by TRS and thetransaction is closed. The successful vendor must present an invoice for services (i.e. the commission). TRS will not reimburse the Vendor for any costs associated with the procurement of property if the purchase of a suitable property is not undertaken by the Board and closed.
I. Additional Information
The Vendor should provide any other information it believes relevant to this assignment.
VI. SELECTION CRITERIA
Proposals will be evaluated by TRS, and the Board will make any final decision to award the contract.
During the evaluation process TRS may, at its discretion, request any or all Vendors to make oral presentations. Such presentations will provide Vendors with an opportunity to answer questions regarding the Vendor’s proposal. Not all Vendors may be asked to participate.
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There are no expressed or implied obligations by TRS to reimburse responding Vendors for any expenses incurred in preparing proposals in response to this RFP.
In the event none of the proposals are satisfactory to TRS, no selection will be made. The Board reserves the right to award all, part, or none of this contract.
VII. ADDITIONAL CONTRACT TERMS AND CONDITIONS FOR PART TWO
A. Modifications - Any modification to the contract shall be in writing and agreed to by both the Vendor and TRS prior to any change in services.
B. Termination - It is agreed by both parties this contract may be terminated by either party by written notice delivered by mail at least 30 days prior to the termination date.
C. Cancellation - In the event the Vendor fails to meet the terms and conditions of this contract or fails to provide services under the contract, TRS may cancel the contract upon written notice of default to the Vendor. Such cancellation shall not be an exclusive remedy but shall be in addition to any other rights and remedies provided by law.
D. Subcontracting - The services to be performed under this contract shall not be subcontracted in whole or in part to any other person or entity without the prior written consent of TRS.
E. Compliance with Law - Vendor shall be subject to all applicable state and federal laws, rules and regulations and all amendments thereto. It is the Vendor’s responsibility to comply with all applicable state and federal laws, rules, and regulations without reliance on or direction by TRS.
F. Contract Jurisdiction - The resulting contract shall be governed by the laws of the State of Oklahoma. In the event any litigation shall occur concerning the terms and conditions of this contract or the rights and duties of the parties, the parties agree that such suit shall be brought in the Courts of the State of Oklahoma.
G. Limitation of Liability - The Vendor agrees to indemnify TRS and the State of Oklahoma regarding all damages, expenses, fines, judgments and costs, including attorney fees, arising from negligence, acts or omissions of Vendor, Vendor’s agents, subcontractors and assigns with the performance of this contract. Without waiving any defense or immunity, and subject to the Oklahoma Governmental Tort Claims Acts, TRS agrees to bear all expenses, fines, judgments, and costs which may arise from any acts or omission of its officials or employees in connection with this contract.
H. Employment Relationship - This contract does not create an employment relationship. Individuals performing services required by this contract are not employees of TRS. Vendor’s employees shall not be considered employees of TRS for any purpose and as such shall not be eligible for benefits accruing to state employees.
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I. Force Majeure - Neither party shall be liable for any damages resulting from any delay in delivery or failure to give notice of delay, which directly or indirectly results from the elements, acts of God, delays in transportation, or delays in delivery by any cause beyond their reasonable control.
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M E M O R A N D U M TO: OTRS Board of Trustees FROM: Tom Spencer, Executive Director and Kirk Stebbins, Chief Investment Officer DATE: March 4, 2016 RE: Summary of Investment Policy Statement Draft Amendments in Section II ------------------------------------------------------------------------------------------------------------------------------------------ The staff is trying to follow a specific process for the Trustees to consider amendments to the Investment Policy Statement (IPS). The basic approach is to do this section by section. At each meeting the staff will provide a “discussion draft” of a section that will be considered at the next meeting. The discussion draft from the prior meeting the month before will be presented for discussion and possible adoption. Any trustee can move to amend or change the draft when that section is up for adoption. At the January board meeting, staff provided the Trustees with a discussion draft with Amendments to Section I of the IPS. At the February meeting Section I was up for adoption with an additional amendment that wasn’t in the original discussion draft. That additional amendment clarified the description of the various investment risks that are present and always need to be considered. Section I was adopted as amended. Also at the February meeting the Trustees were provided with a discussion draft of Section II of the IPS. This draft will be up for adoption at the March meeting. Here is a summary of those proposed amendments. Page 5 – All of the current Section II “Statement of Goals and Objectives” is being moved to a later Section of the IPS. Page 6 – This section used to be Section III. The title of new Section II refers to the “Duties” and “Responsibilities” of various groups and individuals related to the TRS investment program. Page 6 & 7 – The amendments to Section II (A) all apply to the duties and responsibilities of the Board of Trustees. These amendments make clear that the full Board has the final say on investment issues, and that the Investment Committee is the appropriate committee to make most recommendations on investment decisions and policy issues. Several specific duties and decisions are further set out in this paragraph. Page 7 & 8 – The amendments to Section II(B) set out the duties and responsibilities of the Staff. These duties include research, providing data, coordinating searches for providers, monitoring investment performance, carrying out decisions of the Board and ensuring liquidity to meet TRS’ obligations. Page 8 – Specific reporting requirements of the staff are moved to Section VI of the IPS. Page 9 & 10 – The amendments to Section II(C) set out the duties and responsibilities of the Investment Consultant. These include being a fiduciary to TRS, providing investment report and material so the Board can fulfill its duties, helping the Board to develop investment policy, monitoring compliance with
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policy, calculating investment performance, assisting with investment service provider searches, reviewing performance and changes with investment managers, performing due diligence on the performance of managers and to research and bring new investment ideas to the Board. Page 10 - Specific reporting requirements of the consultant are moved to Section VI of the IPS. Page 12 & 13 – The amendments to Section II(D) set out the duties and responsibilities of investment managers. These include acting as a fiduciary to TRS, providing reports and other information to the Board, following TRS investment policy and guidelines, selecting investments prudently, working with consultant and custodian on accounting and performance, following policy regarding the voting of shareholder proxies and always seeking best execution on securities trades. Page 13 - Specific reporting requirements of the managers are moved to Section VI of the IPS. Page 15 – The amendments to Section II(E) set out the duties and responsibilities of the custodian bank. These include acting as a fiduciary to TRS, providing reports and information to the Board and staff, notifying managers of corporate action affecting shares, safekeeping securities, collecting interest and dividends, recording investment transactions, working with the staff and consultant on accurate reporting, managing TRS’ directed brokerage program, monitoring compliance with the Investment Policy Statement, and providing the staff with reports and assistance to ensure compliance with requirements of GASB, the IRS, the SEC and FINRA, and monitoring and reporting on securities litigation action. Page 16 – The amendments to Section II(F) set out the duties and responsibilities of the securities lending agent. (Currently the securities lending agent is the custodian bank.) These duties include acting as a fiduciary, providing pertinent reports and information, handling terms and conditions of securities loans, monitoring the market value and the need for adequate collateral, directing investment of cash collateral according to policy, notifying the Board of regulatory changes, and notifying the staff of breaches of loan conditions. Page 17 – The amendments to Section II(G) set out the duties and responsibilities of the transition manager. Transition managers can be helpful when moving assets from one or more managers to others. The duties in this paragraph include acting as a fiduciary, providing a pre-trade analysis, a written plan of execution, post-trade analysis with detailed costs compared to estimates, and the duty to seek best execution. Please let us know if you have any comments or questions.
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TEACHERS’ RETIREMENTSYSTEM OF OKLAHOMA
INVESTMENT POLICY STATEMENT
REVISED JULY, 2015DRAFT REVISION STAGE 3 MARCH, 2016
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Table of Contents
I. INTRODUCTION AND STATEMENTS OF PURPOSE, PHILOSOPHY AND ETHICS ............................. 1
A. Legal Authority and System Description ....................................................................... 1
B. Statement of Purpose ...................................................................................................... 2
C. Statement of Investment Philosophy .............................................................................. 3
D. Statement of Ethical Standards....................................................................................... 4
II. STATEMENT OF DUTIES AND RESPONSIBILITIES ....................................................................... 5A. Board of Trustees ........................................................................................................... 5
B. Staff ................................................................................................................................ 6
C. Investment Consultant .................................................................................................... 8
D. Investment Managers ................................................................................................... 11
E. Custodian ...................................................................................................................... 14
F. Securities Lending Agent ............................................................................................. 15
G. Transition Manager ...................................................................................................... 16
III. PROCEDURES .......................................................................................................................... 17A. Investment Policy Review ............................................................................................ 17
B. Investment Manager Policy Exceptions ....................................................................... 17
C. Third Party Marketing and Referrals Disclosure Policy .............................................. 17
IV. INVESTMENT OBJECTIVES ...................................................................................................... 19V. INVESTMENT GUIDELINES AND CONSTRAINTS ....................................................................... 23
A. Ineligible Investments .................................................................................................. 23
B. Universal Cash Rule for all OTRS Accounts ............................................................... 23
C. Index Portfolios ............................................................................................................ 24
D. Domestic Equity Portfolios .......................................................................................... 24
E. International Equity ...................................................................................................... 24
F. Fixed Income ................................................................................................................ 25
G. Securities Lending ........................................................................................................ 26
H. Private Equity ............................................................................................................... 26
I. Real Estate .................................................................................................................... 27
J. Master Limited Partnership (Energy Infrastructure) .................................................... 28
K. Opportunistic Investments ............................................................................................ 28
L. Derivatives.................................................................................................................... 29
VI. EVALUATION AND REVIEW ..................................................................................................... 29A. Investment Staff Reporting Requirements ................................................................... 29
B. Investment Consultant Reporting Requirements .......................................................... 30
C. Investment Manager Reporting Requirements ............................................................. 31
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VII. APPENDIX A - STRATEGIC ASSET ALLOCATION ..................................................................... 34VIII. APPENDIX B - REBALANCING POLICY .................................................................................... 35
A. Overall Fund Allocation ............................................................................................... 35
B. Allocation among Equity Styles ................................................................................... 35
IX. APPENDIX C – INVESTMENT MANAGER EXCEPTIONS TO INVESTMENT GUIDELINES .............. 36X. APPENDIX D – INVESTMENT MANAGER PERFORMANCE BENCHMARKS ................................. 38
I. Introduction ............................................................................................................................. 1
A. Legal Authority .............................................................................................................. 1
B. Purpose ........................................................................................................................... 2
II. Statement of Goals and Objectives ......................................................................................... 3III. Roles and Responsibilities....................................................................................................... 4
A. Board of Trustees ........................................................................................................... 4
B. Staff ................................................................................................................................ 4
C. Investment Consultant .................................................................................................... 7
D. Investment Managers ..................................................................................................... 9
E. Custodian ...................................................................................................................... 12
F. Securities Lending Agent ............................................................................................. 13
G. Transition Manager ...................................................................................................... 13
IV. Asset Allocation .................................................................................................................... 15V. Rebalancing Policy ................................................................................................................ 17
A. Overall Fund Allocation ............................................................................................... 17
B. Allocation among Equity Styles ................................................................................... 17
VI. Securities Transactions .......................................................................................................... 18VII. Investment Guidelines ........................................................................................................... 19
A. Ineligible Investments .................................................................................................. 19
B. Manager Policy Exceptions .......................................................................................... 19
C. Universal Cash Rule for all OTRS Accounts ............................................................... 19
D. Index Portfolios ............................................................................................................ 20
E. Domestic Equity Portfolios .......................................................................................... 20
F. International Equity ...................................................................................................... 20
G. Fixed Income ................................................................................................................ 21
Core Plus Fixed Income ........................................................................................................ 21
High Yield Fixed Income ...................................................................................................... 21
H. Securities Lending ........................................................................................................ 22
I. Private Equity ............................................................................................................... 22
J. Real Estate .................................................................................................................... 23
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K. Master Limited Partnership (Energy Infrastructure) .................................................... 24
L. Opportunistic Investments ............................................................................................ 24
M. Derivatives.................................................................................................................... 25
VIII. Third Party Marketing and Referrals Disclosure Policy ....................................................... 25IX. Appendix A – Investment Manager Exceptions to Investment Guidelines .......................... 27X. Appendix B – Investment Manager Performance Benchmarks ............................................ 31
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I. INTRODUCTION AND STATEMENTS OF PURPOSE, PHILOSOPHY AND ETHICS
The Board of Trustees of the Teachers’ Retirement System of Oklahoma, as the governing body for the System, deems it prudent and necessary to maintain this Investment Policy Statement to act as the principal governing document for the investment of System assets.
A. Legal Authority and System Description
The System is established by statute; the legal authority and description of the System are detailed below.
Constitutional Authority Section 62 of Article 5 of the Oklahoma Constitution was added as a result of the passage of State Question 306 on July 14, 1942. This section reads:
“The Legislature may enact laws to provide for the retirement for meritorious service of teachers and other employees in the public schools, colleges and universities in this State supported wholly or in part by public funds, and may provide for payments to be made and accumulated from public funds, either of the State or of the several school districts. Payments from public funds shall be made in conformity to equality and uniformity within the same classifications according to duration of service and remuneration received during such service.”
Statutory Authority As a result of the passage of State Question 306, the Legislature enacted House Bill 297 in the 1943 legislative session that created the Oklahoma Teachers Retirement System (“System”). The legislation has been changed substantially in the years since its creation and is currently codified in Oklahoma Statutes Title 70, Sections 17-101 et. seq. (NOTE: In the remainder of this document, statutory references will follow the notation O.S. 70 § 17-101 to reference Oklahoma Statutes Title 70, Section 17-101.)
Purpose of System In O.S. 70 § 17-102, paragraph 1 creates the Oklahoma Teachers Retirement System and outlines the purpose of the System as follows:
“A retirement system is hereby established and placed under the management of the Board of Trustees for the purpose of providing retirement allowances and other benefits under the provisions of this act for teachers of the State of Oklahoma.”
Board of Trustees Powers The second paragraph of O.S. 70 § 17-102 provides the broad terms of the powers entrusted to the Board of Trustees (“Board”):
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“The Board of Trustees shall have the power and privileges of a corporation and shall be known as the "Board of Trustees of the Teachers' Retirement System of Oklahoma", and by such name all of its business shall be transacted, all of its funds invested, and all of its cash and securities and other property held in trust for the purpose for which received.”
Further powers vested upon the Board are set forth in O.S. 70 § 17-106, in part:
“(1) The general administration and responsibility for the proper operation of the retirement system and for making effective the provisions of the act are hereby vested in a Board of Trustees which shall be known as the Board of Trustees and shall be organized immediately after a majority of the trustees provided for in this section shall have qualified and taken the oath of office.”
and:
“(10) Subject to the limitations of this act, the Board of Trustees shall, from time to time, establish rules and regulations for the administration of the funds created by this act and for the transaction of its business.
Finally, O.S. 70 § 17-106.1, in part, defines the duties of the Board in relation to investment of fund assets:
“A. The Board of Trustees of the Teachers’ Retirement System of Oklahoma shall discharge their duties with respect to the System solely in the interest of the participants and beneficiaries and: 1. For the exclusive purpose of:a. providing benefits to participants and their beneficiaries, andb. defraying reasonable expenses of administering the System;2. With the care, skill, prudence, and diligence under thecircumstances then prevailing that a prudent person acting in a like capacity and familiar with such matters would use in the conduct of an enterprise of a like character and with like aims; 3. By diversifying the investments of the System so as to minimizethe risk of large losses, unless under the circumstances it is clearly prudent not to do so; and 4. In accordance with the laws, documents and instrumentsgoverning the System.”
B. Statement of Purpose
A primary purpose of this investment policy statement is to guide fiduciaries, including the Board of Trustees, System staff, investment managers, consultants and others responsible for overseeing and investing the assets of the Fund. This policy also communicates foundational tenets underlying its formulation. This policy provides
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specific guidance regarding investment objectives, asset allocation, risk management and the means by which investment objectives are intended to be achieved. Additional specific guidance is given in defining roles, delegated duties and accountabilities of System fiduciaries as well as setting forth logical, disciplined procedures for making decisions.
C. Statement of Investment Philosophy
Since this policy is a communication tool for System fiduciaries, interested stakeholders as well as other external parties, the Board recognizes that it is important to articulate the underlying beliefs that are foundational in its formulation. Key aspects of the Board’s investment philosophy are summarized in the following statements.
1. The Fund has an infinite time horizon and the assets should be invested andmanaged accordingly.
2. A central tenet in investing is the tradeoff between risk and return, meaning thatthe pursuit of higher expected returns is accompanied with higher expected risk.Bearing some degree of investment risk is necessary in the pursuit of investmentreturn objectives.
3. Investment risk comes in many forms. The most common risk is the volatility ofperiodic returns measured by the statistical term known as standard deviation.Additionally, there are a variety of other risks to be considered. A partial list ofthese risks would include the risk of permanent loss of capital, the risk of notmeeting objectives, illiquidity risk, credit risk, interest rate risk, inflation risk,leverage risk, concentration risk and manager risk. A primary focus of thisinvestment policy is to balance, manage and, to the extent possible, control thesevarious risks.
4. Funds with long term investment horizons are able to pursue higher expectedreturns associated with higher risk portfolios because they are able to remaininvested when periodic declines in market values occur.
5. The Fund will best contribute to the primary goal of providing benefits toparticipants and their beneficiaries by realizing high risk-adjusted net returns.
6. The Board acknowledges that while other institutions may make investmentdecisions to pursue various worthy causes that may be admirable in their ownright, the Board’s investment decisions are made to achieve the primary goal ofproviding benefits to participants and their beneficiaries and defraying reasonableexpenses.
7. Long-term investing success is best accomplished by adhering to a long-termstrategic asset allocation rather than engaging in short term tactical market timingamong asset classes.
8. Diversification among asset classes and securities is the primary means ofcontrolling the risk of an investment portfolio.
9. The primary factor determining portfolio risk and return is how the portfolio isallocated among asset classes.
80
10. The decision-making process for investments should be both disciplined andlogical deriving support from current academic theory and the application ofrigorous analysis.
11. In less efficient markets where the probabilities of achieving net-of-feeoutperformance relative to a passive market index are higher, active managementis preferred. In more efficient markets where the probabilities of achieving net-of-fee outperformance relative to a passive market index are lower, low-cost indexmanagement is preferred.
12. Certain asset classes are only accessible in the form of private market interestswhich have very limited liquidity and normally higher costs relative to publicmarket instruments. Investing a portion of the Fund in these illiquid asset classes isreasonable to the extent that they offer some desirable combination of thefollowing relative to available public market asset classes: higher expected netreturn and/or risk reduction through diversification.
D. Statement of Ethical Standards
The Board of Trustees is committed to maintaining and promoting the highest ethical standards among Board members and among all parties involved in the administration of fund assets.
The Board expects all parties involved in the administration of fund assets, including all System fiduciaries, to conduct their activities according to the highest ethical standards adhering likewise to the principles expressed in the Board of Trustee Policy Manual Chapter 6 – Ethical and Fiduciary Conduct. Given the nature of fund management and investing, particular attention will be given to conflicts of interest. All parties involved in the administration of fund assets should be free of conflicts of interest to avoid even the appearance of not acting in the sole interests of System participants and their beneficiaries. Where any involved party becomes aware of an actual or potential conflict of interest it is their duty to disclose the conflict so that the Board may assess its seriousness.
81
II. STATEMENT OF ROLES DUTIES AND RESPONSIBILITIES
A. Board of Trustees
The Board of Trustees has the final decision making authority for the System. The Investment Committee of the Board has the authority to make investment recommendations to the Board. The Board evaluates and decides whether or not to take action on recommendations from the Investment Committee. The Investment Committee’s authority and responsibilities are set forth in the Investment Committee Charter contained in the Board of Trustees Policy Manual.
Trustee duties and responsibilities are listed in summary as follows:
duties and responsibilities of the Board of Trustees include:
1. Adopt, and when deemed necessary, amend thisEstablish the Investment PolicyStatement.
2. Determine delegated duties to be performed by other qualified fiduciaries in orderto ensure that the Fund is properly administered and regularly evaluated to assess progress towards achieving established objectives.
1.3.Receive and evaluate reports, presentations and other materials provided by investment consultant(s), staff, investment managers, and other retained advisors to monitor the administration of Fund assets in accordance with policy objectives and to regularly assess progress towards achieving the goals and objectives defined herein., including the asset allocation, in accordance with the goals and objectives outlined above.
2. Review, at least annually, and modify, as necessary, policy objectives andguidelines, including the development of asset allocation strategies, recommendations on long-term asset allocation and the appropriate mix of investment manager styles and strategies.
3. Provide overall policy direction to staff, Investment Consultant(s), InvestmentManagers, Custodian, Securities Lending Agent and Transition Manager(s) in the execution of the investment policy.
4. Select and contract with qualified professional advisory organizations to performfunctions deemed necessary by the Board to manage the Fund in accordance withpolicy. Common professional advisory organizations would include and retainqualified Iinvestment Cconsultant(s), Iinvestment Mmanagers, global Ccustodiansand Ssecurities Llending Aagents. to advise and manage assets in furtherance ofthe goals and objectives outlined above.
5. Monitor and reviewEvaluating the performance of retained professional advisoryorganizations and staff Investment Managers, Custodian and Securities LendingAgent to determineassess fulfillment of duties, achievement of goals andcompliance with policy guidelines.
Comment [KS1]: Moved intact to Section IV
Comment [KS2]: Moved in substance to Section III.
Comment [KS3]: Seems redundant given Sect I B. regarding purpose
82
6. Annually conduct a formal review of the performance of Investment Consultant(s),normally to be performed in the month of April.
7. When necessary, terminateTerminating the contracts with any retainedprofessional advisory organization when deemed necessary. InvestmentConsultant(s), Investment Managers, Custodian or Securities Lending Agent.
Review and approve the Investment Staff Annual Work Plan.
Monitor investment activity for compliance with Board policies and adherence by Investment Managers to strategy and direction.
Review overall investment performance to determine whether it meets established benchmarks.
8. Monitor Review all costs of investment operations at least annually.
B. Staff
The A summary of the duties and responsibilities of the Investment Sstaff is as followsinclude:
1. Provide the Board and the Investment Committee with reports, presentations andany other materials to assist them in the fulfillment of their duties and responsibilities.
1.2.Serve as the primary liaison between the Board of Trustees and the Iinvestment cConsultant(s), Iinvestment Mmanagers, Ccustodian, Ssecurities Llending Aagent and Ttransition Mmanager(s).
2.3.Implement Board decisions regarding asset allocation, investment structure, portfolio rebalancing procedures and retention of Iinvestment Cconsultant(s), Iinvestment Mmanagers, Ccustodian and Ssecurities Llending Aagent.
3.4.Coordinate the search, selection, and evaluation and retention decisions ofprocesses for Iinvestment Cconsultant(s), Iinvestment Mmanagers, Ccustodian and Ssecurities Llending Aagent on behalf of the Board of Trustees.
4.5.Monitor and review the performance of the total fund, asset class composites, and Iinvestment Mmanagers, Custodian and Securities Lending Agent to evaluate performance, achievement of objectives and compliance with policy guidelines.
5.6.Monitor and review all costs of investment operations including, but not limited to, fees paid to Iinvestment Cconsultant(s), Iinvestment Mmanagers, and Ccustodian, Securities Lending Agent and Transition Manager(s); fees netted against System accounts paid to Investment Managers, Custodian, Securities Lending Agent and
Comment [KS4]: 9, 10 and 11 seem redundant to 3 above
83
Transition Manager(s); trading costs and foreign exchange as well as portfolio transactions costs.
6.7.Manage the liquidity in the Total Portfolio to ensure timely payment of Client benefit payments and plan expenses and the investment of contributions consistent with established asset allocation and portfolio rebalancing policies.
7.8.Conduct the search and selection of Ttransition Mmanager(s) in collaboration with the Iinvestment Cconsultant(s) as directed by the Board.
8.9.Conduct due diligence in collaboration with the Iinvestment Cconsultant(s) when Iinvestment Mmanagers fail to meet the expectations of the Board or are formally placed ‘On Alert’ or “‘On Notice’ on the Investment Consultant’s Monthly Manager Status Report.
9.10. Explore, rResearch, analyze and review new innovative investment ideas and managers concepts in collaboration with the Iinvestment Cconsultant(s) in an effort to keep the system current with investment optionsidentify potential modifications to improve the investment portfolio.
10.11. Review weekly with the Investment ConsultantMonitor the status and performance of current the total fund, asset class composites and Iinvestment Mmanagers and to determine if any issues need to be addressed by the Staff Investment Committee or the Board of Trustees.
INVESTMENT STAFF REPORTING REQUIREMENTS
As Necessary (based on occurrence and on a timely basis)
1. Review any material Investment Policy compliance violations.
2. Review pertinent information regarding due diligence on Managers that havefailed to meet the expectations of the Board or are placed ‘On Alert’ or “On Notice’ on the Investment Consultant’s Monthly Manager Status Report.
Monthly
a) Review presenting Investment Managers’ portfolio characteristics includingrelevant benchmark comparisons, portfolio performance, liquidity, holdings and holdings overlap between managers.
Quarterly
1. Review all costs of trading.
2. Certify to Board that Investment Consultant has certified their compliance withall requirements of this Investment Policy Statement. Report to the Board if any Investment Consultant(s) have failed to certify their compliance, and make recommendations as to any action Board should consider.
Comment [KS5]: Moved intact to Section VI. Evaluation and Review
84
3. Report to the Board if any Investment Managers have failed to certify theircompliance, and make recommendations as to any action Board should consider.
4. Other comments or information as required.
Annually
1. Present Investment Staff Annual Work Plan to Board of Trustees for Review.
2. Review of investment oversight process, total fund construction and evaluationof investment manager’s portfolio.
3. Review all costs of investment operations including, but not limited to, feesnetted against system accounts and fees paid to Investment Consultant(s), Investment Managers, Custodian, Securities Lending Agent and Transition Manager(s).
4. The General Counsel shall review the ADV filed with the SEC by theInvestment Consultant and advise of any material findings and/or changes.
Review all form ADV’s filed with the SEC on all Investment Managers and advise the board on any material changes and/or findings.
C. Investment Consultant
The A summary of the duties and responsibilities of the Iinvestment Cconsultant(s) retained by the Board is as followsinclude:
1. Be appointed, and act as, aAcknowledge status as a fiduciary for to the System andremain in compliance both with this investment policy and with the currentexecuted contract with the System.
1.2.Provide the Board and the Investment Committee with reports, presentations and any other materials to assist them in the fulfillment of their duties and responsibilities.
2.3.Assist the Board in developing and modifying policy objectives and guidelines, including the development of asset allocation strategies, recommendations on long-term asset allocation and the appropriate mix of investment manager styles and strategies.
3.4.Assist the Board by monitoring compliance with this Investment Policy.
4.5.Provide assistance in investment performance calculation, evaluation, and analysis.
5.6.Provide assistance in Iinvestment Mmanager searches and selection.
6.7.Provide assistance in Ccustodian, Ssecurities Llending Aagent, Ttransition Mmanager and Ccommission Rrecapture Aagent searches and selection.
85
7.8.Provide timely information, written and/or oral, on investment strategies, instruments, Mmanagers and other related issues, as requested by the Board.
8.9.Monitor the Board's investment managers and notify the Board and staff of any material changes in the Iinvestment Mmanagers' firmsorganizational structure, or their staffing personnel or if there are performance issues.
9.10. Certify on a quarterly basis, in writing to the Board, the Iinvestment Cconsultant’s compliance with this Statement as it currently exists or as modified in the future.
10.11. Reporting to the Board at their request. The Iinvestment Cconsultant shall report to the Board as outlined detailed in Section VI of this policybelow. Monthly All reports should be timely submitted. in writing within 15 days of the end of each month.
11.12. Review weekly with the Sstaff the status and performance of current Iinvestment Mmanagers and determine if any issues need to be addressed by the Sstaff or the Board of Trustees.
12.13. Provide assistanceCollaborate with Staff in the search and selection of Ttransition Mmanager(s) as directed by the Board.
13.14. Provide assistance Collaborate with Staff in the conduct of due diligence when Iinvestment Mmanagers fail to meet the expectations of the Board or are placed ‘On Alert’ or ‘“On Notice’. on the Investment Consultant’s Monthly Manager Status Report.
14.15. Explore, research, analyze and review new investment ideas and managers in collaboration with the Sstaff in an effort to keep the system current with investment options.
INVESTMENT CONSULTANT REPORTING REQUIREMENTS
As Necessary (based on occurrence and on a timely basis)
1. Review of Investment Consultant Organizational Structure
a. Organizational changes (i.e., ownership).
b. Any departures/additions to consulting staff.
c. Material changes in assets under advisement.
Monthly
a. Performance Review.
i.Present total fund, asset class and Investment Manager gross returns and net of fee returns for last month, last quarter, year-to-date, fiscal year-to-date, last
Comment [KS6]: Moved intact to Section VI. Evaluation and Review
86
year, last three years, last five years, last ten years, and since inception versus designated benchmarks.
ii.Compare actual asset allocation to target asset allocation and make recommendations for rebalancing.
iii.Present manager status summary, including any recommended changes.
b. Other comments or information as required.
Quarterly
a. Performance Review.
i.Present total fund, asset class and Investment Manager returns and peer group rankings for last calendar quarter, year-to-date, fiscal year-to-date, last year, last three years, last five years and since inception versus designated benchmarks.
ii.Review and analysis of any outstanding investment manager policy exceptions.
b. Other comments or information as required.
c. Certify to Board that Investment Consultant is in compliance with allrequirements of this Investment Policy Statement.
d. Certify to Board that Investment Managers have certified their compliancewith all requirements of this Investment Policy Statement. Report to the Board if any Investment Managers have failed to certify their compliance, and make recommendations as to any action Board should consider.
Annually
a. Review of investment oversight process, total fund construction andevaluation of investment manager’s portfolio.
a. Brief review of the Investment Consultant’s oversight process.
b. Critical analysis of the performance of the total fund, with particularattention paid to asset categories and Investment Managers that underperformed their relative benchmarks and the actuarially assumed rate of return.
c. Review of the asset allocation strategy used over the past year andunderlying rationale.
d. Evaluation of strategies success/disappointments.
e. Current asset allocation strategy and underlying rationale.
87
b. Review of revenue sources and conflict of interest disclosure.
a. Provide the board with financial information regarding annual brokeragerevenues, conference fees and sponsorships, and other monies received from money managers versus consulting revenues received directly from clients.
b. Disclose all brokerage and other compensation, including conferencefees, consulting fees and sponsorships, received by the consultant from the System’s managers.
c. Disclose any compensation received by the Investment Consultant fromany Investment Manager or other vendor it recommends hiring.
d. Disclose any affiliated Investment Management Firm.
c. Disclose any affiliated Investment Management firm. Summary of InvestmentGuidelines.
i.Discuss adherence to guidelines.
ii.Comments, concerns, or suggestions regarding the policy statement.
D. Investment Managers
A summary of theThe duties and responsibilities of each of the investment managers retained by the Board includeis as follows:
1. Acknowledge status as a fiduciary to the System and remain in compliance bothwith this investment policy and with the current executed contract with the System.Be appointed, and act as, a fiduciary for the System.
1.2.Provide the Board, the Investment Committee, the staff and the investment consultant(s) with reports, presentations and any other materials to assist them in the fulfillment of their duties and responsibilities.
2.3.Managing Manage the Fund’s assets in accordance with the policy guidelines and objectives expressed herein.
3.4.Prudently selecting investments based on thorough evaluation of all risks applicable to stated mandate.
4.5.Working with the Ccustodian and the Iinvestment Cconsultant to verify monthly accounting and performance reports.
5.6.Certify on a quarterly basis, in writing to the Board, the Investment Manager’s compliance with this Statement as it currently exists or as modified in the future.
6.7.Reporting to the Board at their request. Each manager shall report to the Board and the Investment Consultant as outlined below. Monthly reports should be
88
submitted in writing within 15 days of the end of each month.according to the reporting requirements set forth in Section VI of this policy.
8. It is the responsibility of each Investment Manager to aAct as a fiduciary inadopting and adhering to proxy voting policies, and the managercertifiesacknowledging that its proxy voting policies may affect the value of theirrespective portfolio.
7.9. Seek to obtain best execution in all securities transactions to minimize the costs of trading.
INVESTMENT MANAGER REPORTING REQUIREMENTS
As Necessary (based on occurrence and on a timely basis)
a. Review of Organizational Structure.
a. Organizational changes (i.e., ownership).
b. Discussion of any material changes to the investment process.
c. Any departures/additions to investment staff.
d. Material changes in assets under management.
Monthly
All Managers with at least monthly reconciliation and valuation will provide:
a. Performance Review.
i.Present total fund and asset class returns for last month, calendar quarter, year-to-date, last year, last three years, last five years and since inception versus designated benchmarks.
ii.Present total fund net-of-fees returns for last month, calendar quarter, year-to-date, last year, last three years, last five years and since inception,
iii.Discuss performance relative to benchmarks; provide attribution analysis that identifies returns due to allocation and selection decisions.
iv.Provide portfolio characteristics.
v.Risk and Return Attribution analysis of any granted exceptions to investmentpolicy analysis.
b. Provide Portfolio Holdings.
i.Present book value and current market value.
Comment [KS7]: Moved intact to Section VI. Evaluation and Review
89
ii.List individual securities by sector.
c. Other Comments or Information.
Quarterly
a. Summary of Investment Guidelines.
i.Discuss adherence to guidelines.
ii.Comments, concerns, or suggestions regarding the policy statement.
b. Certify to Board and the Investment Consultant that Manager is in compliancewith all requirements of this Investment Policy Statement. Said certification shall be in writing and shall be received by the Board and Investment Consultant no later than 30 days after the end of each calendar quarter.
c. Any Manager that manages a particular mandate that does not reconcile assetsand provide market value of assets on a monthly basis will provide monthly performance and holdings reporting on a quarterly basis.
Annually
a. Review of Investment Process and Evaluation of Portfolio ManagementProcess.
a. Brief review of investment process.
b. Investment strategy used over the past year and underlying rationale.
c. Evaluation of strategies success/disappointments.
d. Current investment strategy and underlying rationale.
b. Provide, in either printed form or electronic access to, Form ADV filed withthe Securities and Exchange Commission.
c. Each manager, as pertinent to their applicable mandate, will report at leastannually to the Board of Trustees their respective commissions recapture program on behalf of the Teachers' System. Each advisor shall provide:
a. A copy of its monitoring procedures.
b. A statement demonstrating compliance with Section 28(e) of the SecuritiesExchange Act of 1934, and/or other applicable laws.
c. Analysis of execution.
90
d. Each manager, as pertinent to their applicable mandate, will report annually tothe Board of Trustees a record of proxy policies, as well as voting record for the previous 12 month period.
E. Custodian
A summary of the The duties and responsibilities of the custodian bank(s) retained by the Systemwill be responsible for performing the following functions is as follows:
1. Acknowledge status as a fiduciary to the System and remain in compliance bothwith this investment policy and with the current executed contract with the System.Be appointed, and act as, a fiduciary for the System.
1.2.Provide the Board, the Investment Committee, the staff and the investment consultant(s) with reports, presentations and any other materials to assist them in the fulfillment of their duties and responsibilities.
2.3.Accept daily instructions from designated staff.
3.4.Notify Iinvestment Mmanagers of proxies, tenders, rights, fractional shares or other dispositions of holdings.
4.5.Safekeeping of securities.
5.6.Timely collection of interest and dividends.
6.7.Daily cash sweep of idle principal and income cash balances.
7.8.Processing of and maintain records of all investment manager transactions.
8.9.Collection of proceeds from maturing securities.
9.10. Disbursement of all income or principal cash balances as directed.
10. Providing monthly statements by investment account and a consolidated statementof all assets.
Provide monthly exchange traded funds and cash position by investment manager.
11. Provide written statements revealing monthlyPerform regular reconciliations ofholdings and transactions with the System’s retained custody and investmentmanagers on at least a monthly basis’ accounting statements.
12. Working with the System’s staff and the Iinvestment Cconsultant to ensureaccuracy in reporting.
12.13. Manage and administer the System’s directed brokerage program.
91
13.14. Monitor compliance with this Investment Policies Statement, provide applicable research to ensure the validity of suspected breaches, and submit appropriate commentary offering a recommendation to the reported breach.
14.15. Participate in an annual review of compliance with OTRS staff, to determine the effectiveness of investment policy testing. Providing required reports to assist the System’s staff and vendors with compliance with the Governmental Accounting Standards Board, the Internal Revenue Service, the Securities and Exchange Commission, the Financial Industry Regulatory Authority and other regulatory agencies.
15.16. Monitoring Monitor, file and reporting ofreport on securities class action lawsuitssuits related to securities fraud claimsand collect and record settlement and proceeds. and collection of subsequent proceeds.
16.17. Processing and filing fileof Foreign Tax Reclaims on behalf of the System.
F. Securities Lending Agent
A summary of the duties and responsibilities of Tthe securities lending agent will be responsible for managing the securities lending program including the following functionsretained by the System is as follows:
1. Acknowledge status as a fiduciary to the System and remain in compliance bothwith this investment policy and with the current executed contract with the System.
1.2.Provide the Board, the Investment Committee, the staff and the investment consultant(s) with reports, presentations and any other materials to assist them in the fulfillment of their duties and responsibilities.Be appointed, and act as, a fiduciary for the System.
2.3.Arrange terms and conditions of securities loans.
3.4.Monitor the market value of the securities lent and mark to market at least daily and ensure that any necessary calls for additional collateral are made and that such collateral is obtained on a timely basis.
4.5.Direct the investment of cash received as collateral in accordance with direction from the Board, provided that such investments are consistent with guidelines provided in this document.
5.6.Notify the Board of any changes to the investment guidelines in the Securities and Exchange Commission’s rule 2A7 for consideration by the Board.
6.7.Notify OTRS staff in the event that a recalled security has not been returned by a borrowing party within 10 days of the request.
92
G. Transition Manager
The Ttransition Mmanagers shall manage the transition of assets from one or more Iinvestment Mmanagers or asset categories to one or more other Iinvestment Mmanagers or asset categories. Transition Mmanagers shall be selected among those approved by the Board. Transition managers shall be utilized when such employment is likely to present significant opportunities for cost savings, technical efficiencies or other benefits to the System.
A summary of the duties and responsibilities of Transition Managers retained by the System is as follows:shall be responsible for managing transitions including the following functions:
1. Acknowledge status as a fiduciary to the System and remain in compliance bothwith this investment policy and with the current executed contract with theSystemBe appointed, and act as, a fiduciary for the System.
2. Provide a pre-trade analysis, which will include, among other things, a tradingliquidity analysis, portfolio sector analysis, volatility analysis, and estimatedtransaction costs.
3. Provide a detailed written plan of transition execution.
4. Provide a post-trade analysis, comparing the actual costs with the pre tradeestimates. The report will also include various trading statistics, benchmarkinginformation, and detailed trade reports.
5. In all securities transactions, transition managers shall seek to obtain bestexecution to minimize the costs of trading.
93
III. PROCEDURES
A. Investment Policy Review
In order to keep the Investment Policy current, the Board will at least annually, review and modify, as deemed necessary any portions of the policy. The annual review will consider, but not be limited to, the following: objectives and guidelines, the development of asset allocation strategies, recommendations on long-term asset allocation and the appropriate mix of investment manager styles and strategies.
The Board, both upon their own initiative and upon consideration of the advice and recommendations of staff, consultants, the investment managers and other fund professionals involved with the assets, may amend policy guidelines. Proposed modifications should be documented in writing to the Board.
B. Investment Manager Policy Exceptions
Requests for an exception to invest in securities precluded by section V. A. or the applicable mandate’s specific policies, should be submitted in writing to the Board of Trustees and include justification for such request, proposed process for providing quarterly reporting on attribution analysis of the contribution of the allowed exception, and a requested time period, up to three years. Exception requests will undergo a reevaluation and approval process at the end of each term.
C. Third Party Marketing and Referrals Disclosure Policy
The Teachers’ Retirement System of Oklahoma requires transparency and full disclosure of all relationships in proposed and committed investments with any third parties. A “third party marketer” is a person who represents an asset management firm or any other type of investment services provider, as an independent contractor rather than as an employee of the firm, for the purpose of making presentations or securing contracts with OTRS for the firm or provider. Any such third party marketer must disclose himself or herself as a third party marketer before at the same time as contacting any member of the Board of Trustees, employee of OTRS or the outside investment consultant for OTRS. In addition, firms submitting investment proposals for consideration by Teachers’ Retirement System of Oklahoma (including any sub-managers or consultants engaged by such firms) are hereby required to disclose the identity of all third-party marketers and/or individuals by whom the firm has been referred to Teachers’ Retirement System of Oklahoma and further indicate those so identified that stand to receive fees or other consideration in the event that a contract between the firm and the Teachers’ Retirement System of Oklahoma is secured. Any consideration paid or benefits received, or any relationship between such firm (including any sub-managers or consultants engaged by such firms) and third party marketing entities and/or individuals, shall be disclosed. The disclosure requirements established by this Policy apply throughout the term of any contractual relationship Teachers’ Retirement System of Oklahoma may have with any firm and represents a continuing obligation of disclosure. This Policy becomes effective immediately and applies to all firms currently managing Teachers’ Retirement System of Oklahoma assets. All firms submitting investment proposals must make the disclosures required by this
94
Policy prior to any action being taken on the firm's investment proposal by the Board, as well as comply with the continuing obligation of disclosure.
95
Accoun
tsMarket V
alue
Accrua
lsMarket V
alue
and
Accr
%Allocatio
nTarget Allo
catio
nMin % Allo
catio
nMax % Allo
catio
nCash and
Equ
ivalen
ts$4
8,35
6,55
2.83
$4,546
.99
$48,36
1,09
9.82
0.37
%0.0%
0.0%
0.0%
Core Plus F
ixed
Income
$2,160
,487
,543
.07
$20,27
7,47
4.51
$2,180
,765
,017
.58
16.54%
17.5%
15.8%
19.3%
Domestic
All Cap Equity
$484
,759
,914
.84
$1,170
,230
.48
$485
,930
,145
.32
3.69
%7.0%
6.3%
7.7%
Domestic
Large Cap
Equ
ity$1
,769
,273
,092
.26
$3,519
,572
.98
$1,772
,792
,665
.24
13.45%
10.0%
9.0%
11.0%
Domestic
Mid Cap
Equ
ity$1
,937
,504
,770
.29
$4,563
,912
.66
$1,942
,068
,682
.95
14.73%
13.0%
11.7%
14.3%
Domestic
Small Cap
Equ
ity$1
,403
,465
,495
.27
$1,200
,074
.06
$1,404
,665
,569
.33
10.65%
10.0%
9.0%
11.0%
High
‐Yield Fixed
Income
$749
,927
,753
.30
$14,45
6,37
7.98
$764
,384
,131
.28
5.80
%6.0%
5.4%
6.6%
International Lg Cap Equity
$1,259
,442
,472
.17
$8,020
,534
.74
$1,267
,463
,006
.91
9.61
%11
.5%
10.4%
12.7%
International Sm Cap
Equ
ity$8
06,953
,164
.59
$2,336
,087
.19
$809
,289
,251
.78
6.14
%6.0%
5.4%
6.6%
Master Lim
ited Partne
rships
$805
,557
,625
.79
$910
,204
.31
$806
,467
,830
.10
6.12
%7.0%
6.3%
7.7%
Opp
ortunistic
$160
,344
,498
.53
$0.56
$160
,344
,499
.09
1.22
%0.0%
0.0%
5.0%
Private Equity
$631
,916
,499
.00
$0.00
$631
,916
,499
.00
4.79
%5.0%
4.5%
5.5%
Real Estate
$909
,112
,794
.23
$0.00
$909
,112
,794
.23
6.90
%7.0%
6.3%
7.7%
Grand
Total
$13,12
7,10
2,17
6.17
$56,45
9,01
6.46
$13,18
3,56
1,19
2.63
100.00
%
Accoun
ts$V
ariance to Target
%Va
riance to Target
Target M
kt Value
$ Be
low M
in$ Ab
ove Max
Min $ Allo
catio
nMax $ Allo
catio
nCash and
Equ
ivalen
ts$4
8,36
1,09
9.82
0.37
%$0
.00
$48,36
1,09
9.82
$0.00
$0.00
Core Plus F
ixed
Income
‐$12
6,35
8,19
1.13
‐0.96%
$2,307
,123
,208
.71
$2,076
,410
,887
.84
$2,537
,835
,529
.58
Domestic
All Cap Equity
‐$43
6,91
9,13
8.16
‐3.31%
$922
,849
,283
.48
$344
,634
,209
.82
$830
,564
,355
.14
$1,015
,134
,211
.83
Domestic
Large Cap
Equ
ity$4
54,436
,545
.98
3.45
%$1
,318
,356
,119
.26
$322
,600
,934
.05
$1,186
,520
,507
.34
$1,450
,191
,731
.19
Domestic
Mid Cap
Equ
ity$2
28,205
,727
.91
1.73
%$1
,713
,862
,955
.04
$56,81
9,43
2.40
$1,542
,476
,659
.54
$1,885
,249
,250
.55
Domestic
Small Cap
Equ
ity$8
6,30
9,45
0.07
0.65
%$1
,318
,356
,119
.26
$1,186
,520
,507
.34
$1,450
,191
,731
.19
High
‐Yield Fixed
Income
‐$26
,629
,540
.28
‐0.20%
$791
,013
,671
.56
$711
,912
,304
.40
$870
,115
,038
.71
International Lg Cap Equity
‐$24
8,64
6,53
0.2 4
‐1.89%
$1,516
,109
,537
.15
$97,03
5,57
6.53
$1,364
,498
,583
.44
$1,667
,720
,490
.87
International Sm Cap
Equ
ity$1
8,27
5,58
0.22
0.14
%$7
91,013
,671
.56
$711
,912
,304
.40
$870
,115
,038
.71
Master Lim
ited Partne
rships
‐$11
6,38
1,45
3.38
‐0.88%
$922
,849
,283
.48
$24,09
6,52
5.04
$830
,564
,355
.14
$1,015
,134
,211
.83
Opp
ortunistic
$160
,344
,499
.09
1.22
%$0
.00
$0.00
$659
,178
,059
.63
Private Equity
‐$27
,261
,560
.63
‐0.21%
$659
,178
,059
.63
$593
,260
,253
.67
$725
,095
,865
.59
Real Estate
‐$13
,736
,489
.25
‐0.10%
$922
,849
,283
.48
$830
,564
,355
.14
$1,015
,134
,211
.83
Grand
Total
$0.00
0.00
%$1
3,18
3,56
1,19
2.63
Investmen
t Portfolio as o
f March 14, 2016
Asset a
llocatio
n vs Policy Targets
96
Accounts Market Value Accruals Market Value and Accruals %Allocation Accounts*OTRS‐CUSTOM CASH FLOW‐SL*OTRS‐CUSTOM CASH FLOW‐SL $48,356,552.83 $4,546.99 $48,361,099.82 0.37%
*OTRS‐CUSTOM CASH FLOW‐SL Total $48,356,552.83 $4,546.99 $48,361,099.82 0.37% 1Core Plus Fixed IncomeOTRS‐HOISINGTON INVESTMENT $338,278,697.78 $2,149,304.39 $340,428,002.17 2.58%OTRS‐LOOMIS SAYLES CORE PLUS $606,278,452.98 $6,123,116.35 $612,401,569.33 4.65%OTRS‐LORD ABBETT CORE PLUS $617,621,100.70 $5,100,813.84 $622,721,914.54 4.72%OTRS‐MACKAY SHIELDS CORE PLUS $598,309,291.61 $6,904,239.93 $605,213,531.54 4.59%
Core Plus Fixed Income Total $2,160,487,543.07 $20,277,474.51 $2,180,765,017.58 16.54% 4Domestic All Cap EquityOTRS‐ADVISORY RESEARCH ALL $299,756.48 $30,726.49 $330,482.97 0.00%OTRS‐EPOCH INVESTMENTS $484,460,158.36 $1,139,503.99 $485,599,662.35 3.68%
Domestic All Cap Equity Total $484,759,914.84 $1,170,230.48 $485,930,145.32 3.69% 2Domestic Large Cap EquityOTRS‐HOTCHKIS & WILEY LG CAP $540,288,362.76 $1,624,057.18 $541,912,419.94 4.11%OTRS‐NORTHERN TRUST S&P 500 $479,635,159.66 $845,984.71 $480,481,144.37 3.64%OTRS‐SAWGRASS LG CAP $545,668,050.70 $552,412.15 $546,220,462.85 4.14%OTRS‐SSGA S&P EQUAL WEIGHT $203,681,519.14 $497,118.94 $204,178,638.08 1.55%
Domestic Large Cap Equity Total $1,769,273,092.26 $3,519,572.98 $1,772,792,665.24 13.45% 4Domestic Mid Cap EquityOTRS‐ARONSON, JOHNSON & ORTIZ $539,654,745.44 $2,315,573.58 $541,970,319.02 4.11%OTRS‐FRONTIER MID CAP $490,254,301.42 $359,511.09 $490,613,812.51 3.72%OTRS‐HOTCHKIS & WILEY MID CAP $469,718,027.21 $1,553,630.64 $471,271,657.85 3.57%OTRS‐WELLINGTON MID CAP $437,877,696.22 $335,197.35 $438,212,893.57 3.32%
Domestic Mid Cap Equity Total $1,937,504,770.29 $4,563,912.66 $1,942,068,682.95 14.73% 4Domestic Small Cap EquityOTRS‐COVE STREET $106,288,741.28 $27,186.17 $106,315,927.45 0.81%OTRS‐FRONTIER CAP SMALL CAP $163,344,851.91 $184,945.62 $163,529,797.53 1.24%OTRS‐GENEVA CAPITAL $207,520,612.05 $101,564.85 $207,622,176.90 1.57%OTRS‐NEUMEIER POMA SMALL CAP $126,786,665.40 $92,690.27 $126,879,355.67 0.96%OTRS‐SHAPIRO CAP SMALL CAP $606,351,646.75 $701,322.77 $607,052,969.52 4.60%OTRS‐WASATCH ADV SMALL CAP $193,172,977.88 $92,364.38 $193,265,342.26 1.47%
Domestic Small Cap Equity Total $1,403,465,495.27 $1,200,074.06 $1,404,665,569.33 10.65% 6High‐Yield Fixed IncomeOTRS‐LOOMIS SAYLES HIGH YIELD $241,828,177.69 $4,342,143.92 $246,170,321.61 1.87%OTRS‐LORD ABBETT HIGH YIELD $255,987,517.54 $5,023,727.66 $261,011,245.20 1.98%OTRS‐MACKAY SHIELDS HIGH YIELD $252,112,058.07 $5,090,506.40 $257,202,564.47 1.95%
High‐Yield Fixed Income Total $749,927,753.30 $14,456,377.98 $764,384,131.28 5.80% 3International Lg Cap EquityOTRS‐CAUSEWAY CAPITAL $474,099,648.48 $2,883,810.08 $476,983,458.56 3.62%OTRS‐NORTHERN TRUST INTL $785,342,823.69 $5,136,724.66 $790,479,548.35 6.00%
International Lg Cap Equity Total $1,259,442,472.17 $8,020,534.74 $1,267,463,006.91 9.61% 2International Sm Cap EquityOTRS‐ADVISORY RESEARCH INTL $200,934,694.49 $922,827.89 $201,857,522.38 1.53%OTRS‐EPOCH INTL $195,337,335.27 $542,485.74 $195,879,821.01 1.49%OTRS‐WASATCH INTL $207,246,433.79 $348,180.07 $207,594,613.86 1.57%OTRS‐WELLINGTON INTL $203,434,701.04 $522,593.49 $203,957,294.53 1.55%
International Sm Cap Equity Total $806,953,164.59 $2,336,087.19 $809,289,251.78 6.14% 4Master Limited PartnershipsOTRS‐ADVISORY RESEARCH $192,406,279.64 $145,792.27 $192,552,071.91 1.46%OTRS‐CHICKASAW CAPITAL $313,190,227.36 $571,376.18 $313,761,603.54 2.38%OTRS‐CUSHING ASSET $299,961,118.79 $193,035.86 $300,154,154.65 2.28%
Master Limited Partnerships Total $805,557,625.79 $910,204.31 $806,467,830.10 6.12% 3Opportunistic*OTRS‐PIMCO BRAVO II‐SL $134,122,093.77 $0.00 $134,122,093.77 1.02%*OTRS‐PIMCO BRAVO‐SL $26,222,404.76 $0.56 $26,222,405.32 0.20%
Opportunistic Total $160,344,498.53 $0.56 $160,344,499.09 1.22% 2Private Equity*OTRS‐LEGACY LP‐SL $43,864,159.00 $0.00 $43,864,159.00 0.33%OTRS‐FRANKLIN PARK‐SL $588,052,340.00 $0.00 $588,052,340.00 4.46%
Private Equity Total $631,916,499.00 $0.00 $631,916,499.00 4.79% 2Real Estate*OTRS‐AEW REAL ESTATE‐SL $252,204,324.95 $0.00 $252,204,324.95 1.91%*OTRS‐AMERICAN REALTY ADV‐SL $12,398,858.05 $0.00 $12,398,858.05 0.09%*OTRS‐ANTHEUS CAPITAL‐SL $26,875,000.00 $0.00 $26,875,000.00 0.20%*OTRS‐DUNE REAL ESTATE‐SL $32,572,806.00 $0.00 $32,572,806.00 0.25%*OTRS‐GREENOAK REAL ESTATE‐SL $27,280,783.00 $0.00 $27,280,783.00 0.21%*OTRS‐HEITMAN REAL ESTATE‐SL $257,795,592.05 $0.00 $257,795,592.05 1.96%*OTRS‐L&B GOLDEN DRILLER‐SL $26,742,549.00 $0.00 $26,742,549.00 0.20%*OTRS‐L&B REAL ESTATE‐SL $232,531,182.18 $0.00 $232,531,182.18 1.76%*OTRS‐LANDMARK REALTY ADV‐SL $12,878,044.00 $0.00 $12,878,044.00 0.10%*OTRS‐STARWOOD CAPITAL‐SL $27,833,655.00 $0.00 $27,833,655.00 0.21%
Real Estate Total $909,112,794.23 $0.00 $909,112,794.23 6.90% 10Grand Total $13,127,102,176.17 $56,459,016.46 $13,183,561,192.63 100.00% 47
Investment Portfolio as of March 14, 2016Allocation by Investment Account and Asset Class
97
Firms Market Value and Accruals %Allocation # FirmsNORTHERN TRUST $1,319,321,792.54 10.01%HOTCHKIS & WILEY $1,013,184,077.79 7.69%LORD ABBETT $883,733,159.74 6.70%MACKAY SHIELDS $862,416,096.01 6.54%LOOMIS SAYLES $858,571,890.94 6.51%EPOCH INVESTMENTS $681,479,483.36 5.17%FRONTIER $654,143,610.04 4.96%WELLINGTON $642,170,188.10 4.87%FRANKLIN PARK $631,916,499.00 4.79%SHAPIRO CAP $607,052,969.52 4.60%SAWGRASS $546,220,462.85 4.14%ARONSON, JOHNSON & ORTIZ $541,970,319.02 4.11%CAUSEWAY CAPITAL $476,983,458.56 3.62%WASATCH $400,859,956.12 3.04%ADVISORY RESEARCH $394,740,077.26 2.99%HOISINGTON INVESTMENT $340,428,002.17 2.58%CHICKASAW CAPITAL $313,761,603.54 2.38%CUSHING ASSET $300,154,154.65 2.28%L&B REAL ESTATE $259,273,731.18 1.97%HEITMAN REAL ESTATE $257,795,592.05 1.96%AEW REAL ESTATE $252,204,324.95 1.91%GENEVA CAPITAL $207,622,176.90 1.57%SSGA $204,178,638.08 1.55%PIMCO $160,344,499.09 1.22%NEUMEIER POMA $126,879,355.67 0.96%COVE STREET $106,315,927.45 0.81%DUNE REAL ESTATE $32,572,806.00 0.25%STARWOOD CAPITAL $27,833,655.00 0.21%GREENOAK REAL ESTATE $27,280,783.00 0.21%ANTHEUS CAPITAL $26,875,000.00 0.20%LANDMARK REALTY ADV $12,878,044.00 0.10%AMERICAN REALTY ADV $12,398,858.05 0.09%Grand Total $13,183,561,192.63 100.00% 32
Investment Portfolio as of March 14, 2016Allocation by Investment Management Firm
98
Fr
om
Cor
rela
tions
AC
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to W
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0.33
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0.37
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0.47
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0.57
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1-00
0.38
0.49
0.51
0.53
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0.53
0.58
0.57
0.59
0.66
0.68
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1-01
0.38
0.49
0.50
0.52
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0.48
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0.54
0.52
0.53
0.56
0.55
0.42
0.41
1-02
0.42
0.52
0.53
0.55
0.52
0.53
0.55
0.58
0.57
0.57
0.60
0.59
0.53
0.54
0.66
1-03
0.46
0.55
0.56
0.58
0.55
0.56
0.57
0.59
0.59
0.58
0.60
0.59
0.57
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0.66
0.69
1-04
0.46
0.54
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0.56
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0.56
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0.58
0.57
0.57
0.59
0.64
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0.45
0.53
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0.53
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0.55
0.57
0.56
0.56
0.58
0.62
0.60
0.31
0.32
1-06
0.45
0.53
0.54
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0.53
0.54
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0.56
0.55
0.55
0.56
0.56
0.55
0.57
0.61
0.59
0.39
0.42
0.59
1-07
0.46
0.53
0.54
0.56
0.53
0.54
0.55
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0.56
0.55
0.57
0.56
0.56
0.58
0.62
0.59
0.42
0.48
0.62
0.83
1-08
0.46
0.53
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0.53
0.54
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0.56
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0.55
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0.60
0.57
0.46
0.48
0.54
0.54
0.41
1-09
0.49
0.55
0.55
0.56
0.55
0.55
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0.56
0.55
0.56
0.56
0.57
0.58
0.60
0.61
0.60
0.61
0.63
0.63
0.61
0.64
1-10
0.53
0.58
0.59
0.60
0.59
0.59
0.60
0.60
0.60
0.60
0.61
0.62
0.63
0.65
0.67
0.68
0.69
0.71
0.72
0.73
0.74
0.77
0.93
1-11
0.52
0.57
0.58
0.59
0.58
0.58
0.59
0.59
0.59
0.59
0.60
0.60
0.61
0.63
0.64
0.65
0.64
0.66
0.67
0.68
0.68
0.69
0.70
0.38
1-12
0.52
0.57
0.58
0.59
0.58
0.58
0.59
0.59
0.59
0.59
0.60
0.60
0.61
0.62
0.64
0.64
0.63
0.65
0.66
0.66
0.66
0.67
0.69
0.55
0.68
1-13
0.52
0.57
0.58
0.59
0.58
0.58
0.58
0.59
0.59
0.59
0.59
0.60
0.60
0.62
0.63
0.63
0.62
0.63
0.64
0.65
0.65
0.66
0.66
0.52
0.61
0.34
1-14
0.52
0.56
0.57
0.58
0.57
0.57
0.57
0.58
0.58
0.58
0.58
0.59
0.59
0.60
0.62
0.61
0.60
0.62
0.62
0.63
0.63
0.63
0.61
0.44
0.47
0.13
-0.0
11-
150.
510.
560.
560.
570.
560.
560.
560.
570.
570.
570.
570.
580.
580.
590.
600.
600.
590.
600.
610.
610.
610.
610.
580.
380.
380.
07-0
.05
-0.1
51-
160.
500.
550.
550.
560.
550.
550.
560.
560.
560.
560.
560.
560.
570.
580.
590.
580.
570.
580.
590.
590.
580.
590.
550.
370.
360.
200.
160.
140.
19
A 2
9 Y
ear H
isto
ry o
f Cor
rela
tions
102
Fro
m
Cor
rela
tions
Bof
AM
L H
Y In
dex
to B
C A
gg
To1-
871-
881-
891-
901-
911-
921-
931-
941-
951-
961-
971-
981-
991-
001-
011-
021-
031-
041-
051-
061-
071-
081-
091-
101-
111-
121-
131-
141-
151-
880.
751-
890.
590.
041-
900.
520.
310.
611-
910.
430.
300.
410.
381-
920.
380.
260.
300.
24-0
.02
1-93
0.38
0.26
0.29
0.24
0.12
0.37
1-94
0.36
0.24
0.26
0.22
0.12
0.17
-0.0
71-
950.
420.
340.
370.
390.
460.
610.
650.
801-
960.
430.
350.
380.
380.
440.
600.
640.
750.
291-
970.
430.
360.
390.
400.
470.
610.
640.
730.
600.
701-
980.
430.
370.
390.
400.
470.
600.
620.
690.
570.
610.
511-
990.
360.
300.
310.
310.
310.
350.
340.
370.
150.
04-0
.15
-0.7
01-
000.
380.
310.
330.
330.
350.
380.
370.
400.
250.
140.
03-0
.29
0.29
1-01
0.36
0.30
0.32
0.32
0.32
0.34
0.33
0.35
0.23
0.17
0.12
0.01
0.31
0.47
1-02
0.33
0.28
0.29
0.29
0.28
0.29
0.28
0.29
0.19
0.13
0.09
0.01
0.19
0.23
0.02
1-03
0.27
0.21
0.22
0.21
0.19
0.18
0.16
0.17
0.08
0.03
-0.0
1-0
.07
0.02
0.00
-0.1
3-0
.24
1-04
0.27
0.22
0.23
0.22
0.21
0.20
0.19
0.20
0.13
0.09
0.06
0.03
0.11
0.08
0.03
0.04
0.58
1-05
0.29
0.24
0.25
0.24
0.23
0.23
0.22
0.22
0.16
0.13
0.11
0.08
0.15
0.13
0.11
0.14
0.59
0.70
1-06
0.29
0.25
0.26
0.25
0.25
0.24
0.23
0.24
0.18
0.15
0.13
0.10
0.18
0.16
0.15
0.19
0.55
0.59
0.46
1-07
0.29
0.25
0.26
0.26
0.25
0.24
0.23
0.24
0.18
0.15
0.14
0.11
0.18
0.16
0.15
0.20
0.55
0.57
0.48
0.54
1-08
0.29
0.25
0.26
0.25
0.24
0.24
0.23
0.23
0.18
0.15
0.13
0.11
0.17
0.16
0.15
0.18
0.42
0.39
0.27
0.16
0.25
1-09
0.33
0.31
0.32
0.32
0.31
0.31
0.31
0.32
0.30
0.28
0.29
0.28
0.32
0.32
0.32
0.35
0.45
0.47
0.48
0.51
0.56
0.59
1-10
0.31
0.29
0.30
0.30
0.30
0.30
0.30
0.30
0.29
0.28
0.28
0.28
0.31
0.31
0.32
0.34
0.43
0.44
0.45
0.46
0.48
0.53
0.24
1-11
0.30
0.28
0.29
0.29
0.29
0.29
0.29
0.29
0.27
0.27
0.27
0.26
0.30
0.30
0.30
0.33
0.40
0.41
0.42
0.42
0.43
0.48
0.19
-0.1
21-
120.
290.
270.
280.
280.
270.
270.
270.
270.
250.
250.
250.
240.
280.
270.
280.
300.
370.
370.
370.
370.
380.
410.
03-0
.35
-0.5
01-
130.
290.
270.
270.
270.
270.
270.
270.
270.
250.
240.
240.
240.
270.
270.
270.
290.
360.
360.
360.
350.
360.
390.
06-0
.27
-0.3
50.
071-
140.
290.
270.
280.
280.
280.
270.
270.
280.
260.
250.
250.
240.
280.
270.
280.
300.
360.
360.
360.
360.
360.
390.
170.
020.
050.
500.
691-
150.
290.
270.
280.
280.
280.
270.
270.
280.
260.
250.
250.
240.
280.
270.
280.
300.
360.
360.
350.
350.
360.
380.
170.
060.
100.
380.
490.
421-
160.
300.
280.
280.
290.
280.
280.
280.
280.
260.
250.
250.
250.
280.
280.
280.
300.
360.
360.
350.
350.
350.
380.
200.
110.
140.
300.
350.
29-0
.11
A 2
9 Y
ear H
isto
ry o
f Cor
rela
tions
103
Fro
m
Cor
rela
tions
Bof
AM
L H
Y In
dex
to H
IMC
O
To1-
871-
881-
891-
901-
911-
921-
931-
941-
951-
961-
971-
981-
991-
001-
011-
021-
031-
041-
051-
061-
071-
081-
091-
101-
111-
121-
131-
141-
151-
880.
311-
890.
280.
121-
900.
240.
040.
281-
910.
230.
220.
280.
261-
920.
140.
090.
090.
070.
001-
930.
160.
120.
120.
110.
100.
481-
940.
130.
090.
090.
060.
010.
12-0
.13
1-95
0.26
0.25
0.25
0.28
0.38
0.57
0.58
0.76
1-96
0.25
0.25
0.25
0.26
0.34
0.52
0.53
0.65
0.12
1-97
0.26
0.27
0.27
0.29
0.38
0.53
0.54
0.63
0.52
0.67
1-98
0.27
0.27
0.27
0.28
0.37
0.51
0.51
0.58
0.45
0.52
0.36
1-99
0.18
0.17
0.17
0.17
0.20
0.25
0.24
0.26
0.07
-0.0
2-0
.20
-0.6
71-
000.
200.
190.
190.
200.
240.
280.
270.
290.
150.
06-0
.04
-0.3
50.
121-
010.
170.
160.
160.
170.
190.
220.
200.
210.
100.
03-0
.03
-0.1
80.
050.
021-
020.
170.
160.
160.
170.
180.
200.
190.
190.
110.
060.
02-0
.06
0.08
0.10
0.13
1-03
0.10
0.09
0.09
0.09
0.09
0.10
0.08
0.08
0.01
-0.0
3-0
.07
-0.1
3-0
.06
-0.0
7-0
.10
-0.2
61-
040.
130.
130.
130.
130.
140.
140.
140.
140.
080.
060.
030.
000.
070.
060.
070.
040.
551-
050.
150.
150.
150.
150.
160.
170.
160.
170.
120.
100.
080.
060.
130.
110.
130.
120.
520.
671-
060.
170.
160.
160.
170.
180.
190.
180.
180.
140.
120.
100.
080.
150.
140.
160.
160.
480.
540.
411-
070.
160.
160.
160.
170.
180.
180.
180.
180.
140.
120.
100.
080.
150.
140.
160.
170.
460.
470.
330.
321-
080.
160.
150.
160.
160.
170.
170.
170.
170.
130.
110.
100.
080.
140.
130.
150.
140.
360.
320.
180.
030.
071-
090.
150.
150.
150.
150.
150.
160.
150.
160.
130.
120.
120.
110.
140.
140.
140.
140.
200.
180.
150.
140.
180.
191-
100.
100.
100.
100.
100.
100.
100.
100.
100.
080.
070.
060.
050.
070.
070.
070.
070.
110.
080.
050.
030.
030.
04-0
.13
1-11
0.09
0.08
0.08
0.09
0.09
0.09
0.08
0.08
0.06
0.05
0.04
0.04
0.06
0.05
0.06
0.05
0.08
0.05
0.03
0.01
0.01
0.01
-0.1
7-0
.26
1-12
0.05
0.05
0.05
0.05
0.05
0.05
0.04
0.04
0.02
0.01
0.01
0.00
0.02
0.01
0.01
0.00
0.03
-0.0
1-0
.03
-0.0
5-0
.05
-0.0
6-0
.35
-0.5
1-0
.63
1-13
0.05
0.04
0.04
0.04
0.04
0.04
0.04
0.04
0.02
0.01
0.00
-0.0
10.
010.
000.
010.
000.
02-0
.01
-0.0
3-0
.05
-0.0
6-0
.06
-0.3
1-0
.44
-0.5
1-0
.15
1-14
0.06
0.06
0.06
0.06
0.06
0.06
0.05
0.05
0.03
0.02
0.02
0.01
0.03
0.02
0.02
0.02
0.04
0.01
-0.0
1-0
.02
-0.0
3-0
.03
-0.2
0-0
.23
-0.2
10.
310.
711-
150.
060.
060.
060.
060.
060.
060.
050.
050.
030.
030.
020.
010.
030.
020.
020.
020.
040.
01-0
.01
-0.0
2-0
.02
-0.0
2-0
.20
-0.1
9-0
.15
0.21
0.44
0.40
1-16
0.06
0.06
0.06
0.06
0.06
0.06
0.05
0.05
0.04
0.03
0.02
0.01
0.03
0.03
0.03
0.02
0.05
0.02
0.00
-0.0
1-0
.02
-0.0
2-0
.15
-0.1
2-0
.08
0.15
0.28
0.21
-0.3
3
A 2
9 Y
ear H
isto
ry o
f Cor
rela
tions
104
Fro
m
Cor
rela
tions
BC
Agg
to R
u 30
00
To1-
871-
881-
891-
901-
911-
921-
931-
941-
951-
961-
971-
981-
991-
001-
011-
021-
031-
041-
051-
061-
071-
081-
091-
101-
111-
121-
131-
141-
151-
88-0
.26
1-89
-0.0
40.
781-
900.
070.
530.
411-
910.
200.
590.
570.
761-
920.
240.
570.
550.
650.
511-
930.
240.
530.
500.
550.
390.
161-
940.
240.
520.
490.
530.
390.
240.
371-
950.
290.
550.
520.
560.
510.
510.
640.
711-
960.
300.
540.
510.
540.
490.
510.
610.
670.
101-
970.
290.
500.
480.
490.
450.
440.
500.
530.
300.
331-
980.
320.
520.
500.
520.
490.
490.
540.
560.
450.
510.
721-
990.
260.
410.
380.
380.
320.
290.
310.
310.
170.
180.
13-0
.39
1-00
0.26
0.40
0.37
0.37
0.32
0.29
0.31
0.32
0.22
0.22
0.20
-0.0
50.
321-
010.
250.
380.
350.
350.
300.
270.
280.
280.
200.
190.
180.
010.
200.
411-
020.
200.
300.
270.
260.
200.
160.
170.
160.
080.
050.
02-0
.15
-0.1
0-0
.12
-0.5
11-
030.
130.
200.
180.
160.
090.
050.
040.
03-0
.05
-0.0
9-0
.13
-0.2
9-0
.29
-0.3
4-0
.62
-0.7
21-
040.
110.
180.
150.
130.
070.
030.
020.
01-0
.06
-0.1
0-0
.13
-0.2
6-0
.25
-0.3
0-0
.45
-0.4
3-0
.12
1-05
0.11
0.17
0.14
0.12
0.07
0.03
0.02
0.01
-0.0
5-0
.09
-0.1
2-0
.23
-0.2
2-0
.27
-0.3
8-0
.34
-0.0
50.
031-
060.
100.
160.
140.
120.
060.
020.
020.
01-0
.05
-0.0
9-0
.12
-0.2
3-0
.22
-0.2
7-0
.37
-0.3
3-0
.06
-0.0
5-0
.14
1-07
0.11
0.16
0.14
0.12
0.06
0.02
0.02
0.01
-0.0
5-0
.08
-0.1
1-0
.21
-0.2
1-0
.25
-0.3
4-0
.29
-0.0
20.
010.
010.
241-
080.
090.
140.
120.
090.
040.
000.
00-0
.01
-0.0
7-0
.11
-0.1
4-0
.23
-0.2
3-0
.27
-0.3
6-0
.32
-0.1
5-0
.18
-0.2
7-0
.31
-0.5
41-
090.
130.
180.
160.
150.
110.
070.
070.
060.
030.
00-0
.02
-0.0
8-0
.07
-0.0
7-0
.12
-0.0
60.
110.
150.
170.
240.
280.
421-
100.
140.
190.
170.
160.
120.
090.
090.
080.
050.
030.
02-0
.04
-0.0
2-0
.03
-0.0
60.
010.
150.
200.
230.
280.
300.
410.
331-
110.
110.
160.
140.
130.
090.
060.
060.
050.
020.
00-0
.02
-0.0
7-0
.05
-0.0
7-0
.10
-0.0
40.
080.
110.
120.
150.
150.
23-0
.05
-0.5
51-
120.
100.
150.
130.
110.
070.
050.
050.
040.
01-0
.02
-0.0
3-0
.08
-0.0
7-0
.08
-0.1
1-0
.06
0.05
0.07
0.08
0.10
0.10
0.17
-0.1
3-0
.46
-0.3
11-
130.
090.
130.
110.
100.
060.
030.
030.
02-0
.01
-0.0
3-0
.05
-0.1
0-0
.09
-0.1
0-0
.13
-0.0
80.
020.
030.
040.
050.
050.
10-0
.18
-0.4
8-0
.43
-0.6
41-
140.
090.
130.
110.
090.
060.
030.
030.
02-0
.01
-0.0
3-0
.05
-0.1
0-0
.09
-0.1
0-0
.12
-0.0
80.
010.
030.
030.
040.
030.
08-0
.13
-0.3
4-0
.27
-0.2
20.
061-
150.
090.
130.
110.
090.
060.
030.
030.
02-0
.01
-0.0
3-0
.04
-0.0
9-0
.08
-0.0
9-0
.12
-0.0
70.
020.
030.
030.
040.
040.
09-0
.11
-0.2
8-0
.20
-0.1
30.
060.
171-
160.
080.
120.
100.
090.
050.
030.
020.
02-0
.01
-0.0
4-0
.05
-0.1
0-0
.09
-0.1
0-0
.12
-0.0
80.
010.
020.
020.
030.
020.
06-0
.11
-0.2
6-0
.19
-0.1
6-0
.05
-0.0
7-0
.36
A 2
9 Y
ear H
isto
ry o
f Cor
rela
tions
105
Fro
m
Cor
rela
tions
BC
Agg
to H
IMC
O
To1-
871-
881-
891-
901-
911-
921-
931-
941-
951-
961-
971-
981-
991-
001-
011-
021-
031-
041-
051-
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880.
910.
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94
A 2
9 Y
ear H
isto
ry o
f Cor
rela
tions
106
Fro
m
Cor
rela
tions
Ru3
000
to H
IMC
O
To1-
871-
881-
891-
901-
911-
921-
931-
941-
951-
961-
971-
981-
991-
001-
011-
021-
031-
041-
051-
061-
071-
081-
091-
101-
111-
121-
131-
141-
151-
88-0
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1-89
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90.
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90-0
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5-0
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1-91
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80.
200.
260.
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92-0
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0.34
0.37
0.45
0.55
1-93
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60.
320.
350.
420.
500.
441-
94-0
.01
0.30
0.33
0.39
0.45
0.43
0.42
1-95
0.08
0.35
0.37
0.43
0.50
0.52
0.54
0.54
1-96
0.10
0.33
0.35
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0.46
0.47
0.50
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71-
970.
110.
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320.
350.
400.
380.
380.
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180.
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090.
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220.
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100.
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0.22
0.22
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0.18
0.17
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40.
110.
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120.
130.
130.
130.
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01-0
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03-0
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0.02
0.02
0.01
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3-0
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6-0
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000.
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3-0
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9-0
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1-0
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0.02
1-08
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2-0
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6-0
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0-0
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41-
09-0
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5-0
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0-0
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10.
030.
131-
10-0
.05
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6-0
.08
-0.1
0-0
.11
-0.1
6-0
.14
-0.1
5-0
.18
-0.1
5-0
.06
-0.0
6-0
.07
-0.0
6-0
.05
-0.0
1-0
.04
1-11
-0.1
0-0
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-0.0
7-0
.07
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8-0
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1-0
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5-0
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-0.1
8-0
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-0.2
1-0
.22
-0.2
5-0
.24
-0.1
7-0
.19
-0.2
0-0
.20
-0.2
1-0
.19
-0.4
3-0
.79
1-12
-0.1
5-0
.13
-0.1
3-0
.13
-0.1
4-0
.16
-0.1
7-0
.18
-0.2
0-0
.22
-0.2
3-0
.28
-0.2
7-0
.28
-0.3
1-0
.30
-0.2
6-0
.28
-0.3
0-0
.30
-0.3
1-0
.29
-0.5
8-0
.81
-0.8
31-
13-0
.17
-0.1
5-0
.15
-0.1
5-0
.16
-0.1
9-0
.19
-0.2
0-0
.22
-0.2
4-0
.25
-0.3
0-0
.29
-0.3
0-0
.33
-0.3
3-0
.30
-0.3
2-0
.34
-0.3
4-0
.35
-0.3
4-0
.60
-0.8
0-0
.82
-0.8
61-
14-0
.17
-0.1
6-0
.16
-0.1
6-0
.17
-0.1
9-0
.20
-0.2
1-0
.23
-0.2
4-0
.26
-0.3
0-0
.30
-0.3
1-0
.34
-0.3
4-0
.30
-0.3
3-0
.34
-0.3
4-0
.35
-0.3
4-0
.57
-0.7
4-0
.72
-0.6
2-0
.31
1-15
-0.1
7-0
.15
-0.1
5-0
.16
-0.1
7-0
.19
-0.1
9-0
.20
-0.2
2-0
.24
-0.2
5-0
.29
-0.2
9-0
.30
-0.3
2-0
.32
-0.2
9-0
.31
-0.3
2-0
.33
-0.3
4-0
.33
-0.5
4-0
.68
-0.6
4-0
.49
-0.2
6-0
.09
1-16
-0.1
7-0
.16
-0.1
6-0
.16
-0.1
7-0
.19
-0.2
0-0
.21
-0.2
3-0
.24
-0.2
5-0
.30
-0.2
9-0
.30
-0.3
2-0
.32
-0.2
9-0
.31
-0.3
2-0
.33
-0.3
4-0
.33
-0.5
1-0
.61
-0.5
6-0
.42
-0.2
6-0
.20
-0.4
6
A 2
9 Y
ear H
isto
ry o
f Cor
rela
tions
107
