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Fire & Police Employees’ Retirement System ofthe City of BaltimoreFlash Report-Preliminary
May 31, 2017
Allocation Differences
0.00% 3.00% 6.00% 9.00%-3.00 %-6.00 %
Reserves
Energy/Natural Resources
Real Estate
Hedge Funds
Private Equity
Fixed Income
International Equity
US Equity
0.97%
-3.99 %
-0.80 %
4.90%
-3.31 %
3.87%
-2.03 %
0.40%
Allocation Differences
0.00% 3.00% 6.00% 9.00%-3.00 %-6.00 %-9.00 %
Reserves
Energy/Natural Resources
Real Estate
Hedge Funds
Private Equity
Fixed Income
International Equity
US Equity
-0.08 %
-5.16 %
-0.96 %
-0.51 %
1.89%
4.81%
-1.58 %
1.59%
May 31, 2017
Market Value($)
Allocation(%)
Target(%)
US Equity 586,545,834 22.90 22.50
International Equity 524,485,999 20.47 22.50
Fixed Income 534,661,908 20.87 17.00
Private Equity 171,296,231 6.69 10.00
Hedge Funds 253,483,386 9.90 5.00
Real Estate 235,577,958 9.20 10.00
Energy/Natural Resources 205,176,676 8.01 12.00
Reserves 50,490,542 1.97 1.00
Total Fund 2,561,718,534 100.00 100.00
December 31, 2016
Market Value($)
Allocation(%)
Target(%)
US Equity 537,097,993 21.59 20.00
International Equity 458,178,712 18.42 20.00
Fixed Income 666,905,441 26.81 22.00
Private Equity 171,334,054 6.89 5.00
Hedge Funds 236,054,159 9.49 10.00
Real Estate 224,922,877 9.04 10.00
Energy/Natural Resources 170,137,576 6.84 12.00
Reserves 22,881,911 0.92 1.00
Total Fund 2,487,512,724 100.00 100.00
Fire & Police Employees' Retirement System of the City of BaltimoreAsset Allocation vs. Target Allocation
May 31, 2017
2
Asset $ Asset % 1 Month 3 Month CYTD FYTD 1 Year 3 Year 5 Year 7 Year
Since
Inception
Inception
Date
Total Fund Composite with VB & CR Assets 2,561,718,534 100.00 1.24 3.52 7.06 10.97 11.49 5.13 7.89 8.56 6.45 Jan-1998
Total Fund Composite 2,561,718,534 100.00 1.24 3.52 7.06 10.97 11.49 4.81 8.91 9.25 7.90 Jan-1992
Total Policy* 0.71 2.29 5.67 10.22 10.99 4.50 8.55 8.76 7.77
Excess Return 0.53 1.23 1.39 0.75 0.50 0.31 0.36 0.49 0.13
US Equity Composite 586,545,834 22.90 1.36 2.63 9.26 16.91 16.82 9.55 14.93 14.28 9.20 Jan-1992
Russell 3000 Index 1.02 2.16 7.96 17.45 17.69 9.68 15.26 14.22 9.46
Excess Return 0.34 0.47 1.30 -0.54 -0.87 -0.13 -0.33 0.06 -0.26
Large Cap Composite 469,644,498 18.33 1.83 3.13 10.23 15.08 15.77 10.01 14.61 14.10 8.06 Jun-2008
Russell 1000 Index 1.28 2.41 8.51 17.21 17.48 9.83 15.37 14.37 8.59
Excess Return 0.55 0.72 1.72 -2.13 -1.71 0.18 -0.76 -0.27 -0.53
Non Large Cap Equity 116,901,336 4.56 -0.48 0.71 5.55 25.09 21.26 7.75 15.85 14.85 10.61 Jun-2008
Russell 2500 Index -1.12 -0.43 3.39 16.92 16.87 7.72 14.29 13.17 8.81
Excess Return 0.64 1.14 2.16 8.17 4.39 0.03 1.56 1.68 1.80
International Equity Composite 524,485,999 20.47 3.13 9.36 14.50 19.22 16.32 1.52 8.43 8.17 8.88 Jan-1993
MSCI AC World ex USA (Net) 3.25 8.13 13.74 20.08 18.24 1.26 8.39 6.42 -
Excess Return -0.12 1.23 0.76 -0.86 -1.92 0.26 0.04 1.75 -
Total Fixed Income Composite 534,661,908 20.87 0.87 2.00 3.82 3.51 5.55 1.68 2.50 3.93 6.35 Jan-1992
Total Fixed Income Policy 0.77 1.57 2.72 1.00 2.78 2.84 2.80 4.25 6.27
Excess Return 0.10 0.43 1.10 2.51 2.77 -1.16 -0.30 -0.32 0.08
Private Equity Composite** 171,296,231 6.69 0.40 3.20 4.61 10.13 9.62 10.99 12.50 12.55 - Jun-2002
Hedge Fund Composite *** 253,483,386 9.90 0.78 2.39 4.94 9.58 10.71 5.86 6.84 5.28 4.60 Mar-2005
HFRI Fund of Funds Composite Index -0.17 0.82 2.78 6.04 5.55 1.75 3.71 2.83 2.61
Excess Return 0.95 1.57 2.16 3.54 5.16 4.11 3.13 2.45 1.99
Direct Hedge Funds 253,483,386 9.90 0.78 2.39 4.95 9.61 10.77 - - - 5.75 Jul-2015
Real Estate Composite 235,577,958 9.20 1.35 4.66 4.98 9.05 8.53 12.04 11.90 12.84 6.95 Oct-1986
NCREIF Property Index 0.00 1.55 1.55 5.13 7.27 10.58 10.69 11.82 7.86
Excess Return 1.35 3.11 3.43 3.92 1.26 1.46 1.21 1.02 -0.91
Energy Limited Partnership 141,877,849 5.54 -5.20 -7.13 -2.13 3.70 9.07 -5.86 8.29 - 9.24 Dec-2010
S&P MLP Index -4.66 -6.96 -2.69 3.47 8.92 -9.22 3.19 - 4.28
Excess Return -0.54 -0.17 0.56 0.23 0.15 3.36 5.10 - 4.96
Natural Resources/Private Energy 63,298,827 2.47 - - - - - - - - - Jul-2012
Cash Reserve Accounts 50,490,542 1.97 - - - - - - - - - Jan-2016
Performance(%)
Fire & Police Employees' Retirement System of the City of BaltimorePerformance Gross of Fees
May 31, 2017
* Total Policy Return uses the Real Estate Composite returns until the NCREIF Property index is published. **Time-Weighted Rates of Return.*
** Returns and Market Values based on Custodial data.
3
Asset $ Asset % 1 Month 3 Month CYTD FYTD 1 Year 3 Year 5 Year 7 Year
Since
Inception
Inception
Date
US Equity
Mellon Dynamic US Equity Enhanced Passive Fund 131,212,171 5.12 2.09 3.65 11.91 17.81 20.16 - - - 19.42 Jan-2016
S&P 500 1.41 2.57 8.66 17.16 17.47 - - - 14.84
Excess Return 0.68 1.08 3.25 0.65 2.69 - - - 4.58
Mellon Capital Mgmt S&P 500 74,967,708 2.93 1.41 2.58 8.67 17.19 17.50 10.16 15.44 14.46 11.19 Oct-2008
S&P 500 1.41 2.57 8.66 17.16 17.47 10.14 15.42 14.43 11.14
Excess Return 0.00 0.01 0.01 0.03 0.03 0.02 0.02 0.03 0.05
The Edgar Lomax Company 128,057,525 5.00 0.60 -0.29 4.44 12.12 14.54 8.69 14.36 14.20 9.58 Jul-1995
S&P 500/Citigroup Value -0.32 -1.58 2.89 13.70 14.71 7.85 14.44 12.83 8.53
Excess Return 0.91 1.29 1.55 -1.58 -0.17 0.84 -0.08 1.37 1.05
Brown Advisory 72,536,363 2.83 2.85 7.25 16.68 15.58 12.99 9.85 - - 13.42 Aug-2012
Russell 1000 Growth Index 2.60 6.16 14.30 20.74 20.27 11.92 - - 15.61
Excess Return 0.25 1.09 2.38 -5.16 -7.28 -2.07 - - -2.19
Rhumbline Advisors 62,856,379 2.45 2.61 - - - - - - - 4.96 Apr-2017
Russell 1000 Growth Index 2.60 - - - - - - - 4.95
Excess Return 0.01 - - - - - - - 0.01
Rothschild Asset Mgmt 55,450,934 2.16 -2.80 -3.48 -2.92 18.32 17.70 8.90 15.01 13.84 12.00 Oct-1996
Rothschild Policy* -3.11 -3.56 -2.86 20.64 21.00 7.34 13.67 11.48 10.28
Excess Return 0.31 0.08 -0.06 -2.32 -3.30 1.56 1.34 2.36 1.72
Pinnacle Associates 61,405,461 2.40 1.72 4.80 14.59 30.64 26.25 9.35 16.87 15.56 11.82 Oct-2004
Russell 2500 Growth Index 0.05 2.56 8.17 18.73 17.85 8.69 14.54 14.01 9.97
Excess Return 1.67 2.24 6.42 11.91 8.40 0.66 2.33 1.55 1.85
International Equity
Thomas White International, Ltd. 65,984,727 2.58 1.61 6.42 12.70 11.93 13.74 - - - -0.87 Mar-2015
MSCI Emerging Markets (Net) 2.96 7.87 17.25 22.51 27.41 - - - 3.03
Excess Return -1.35 -1.45 -4.55 -10.58 -13.67 - - - -3.90
Lee Munder Capital Group, LLC 64,629,586 2.52 2.72 7.15 16.83 20.72 24.88 - - - 0.11 Oct-2014
MSCI Emerging Markets (Net) 2.96 7.87 17.25 22.51 27.41 - - - 2.18
Excess Return -0.24 -0.72 -0.42 -1.79 -2.53 - - - -2.07
Causeway Capital Mgmt 232,212,348 9.06 2.77 10.07 13.81 22.50 16.46 1.69 11.34 9.77 8.29 Nov-2003
S&P EPAC BMI Value 2.95 7.95 12.47 24.86 19.85 2.15 11.53 8.78 7.82
Excess Return -0.18 2.12 1.34 -2.36 -3.39 -0.46 -0.19 0.99 0.47
William Blair & Company International Growth 161,659,339 6.31 4.45 10.49 15.35 17.45 14.74 3.75 10.24 9.41 7.92 Oct-2004
S&P EPAC BMI Growth 4.97 11.62 17.91 18.77 15.84 3.74 10.90 8.96 6.71
Excess Return -0.52 -1.13 -2.56 -1.32 -1.10 0.01 -0.66 0.45 1.21
* Rothschild Policy consists of R2000 inception through
6/30/00; Since then, R2000 Value.
Performance(%)
Fire & Police Employees' Retirement System of the City of BaltimoreAsset Allocation & Performance Gross of Fees
May 31, 2017
4
Asset $ Asset % 1 Month 3 Month CYTD FYTD 1 Year 3 Year 5 Year 7 Year
Since
Inception
Inception
Date
Performance(%)
Fire & Police Employees' Retirement System of the City of BaltimoreAsset Allocation & Performance Gross of Fees
May 31, 2017
Fixed Income
C.S. McKee 64,174,218 2.51 0.63 1.32 2.14 0.00 1.50 2.91 2.62 - 2.62 Jun-2012
Blmbg. Barc. U.S. Aggregate 0.77 1.49 2.38 -0.21 1.58 2.53 2.24 - 2.24
Excess Return -0.14 -0.17 -0.24 0.21 -0.08 0.38 0.38 - 0.38
Mellon Capital Mgmt Agg Bond 13,597,196 0.53 0.78 1.50 2.40 -0.22 1.60 2.54 2.23 3.44 4.22 Mar-2003
Blmbg. Barc. U.S. Aggregate 0.77 1.49 2.38 -0.21 1.58 2.53 2.24 3.43 4.18
Excess Return 0.01 0.01 0.02 -0.01 0.02 0.01 -0.01 0.01 0.04
Pugh Capital Management 65,911,825 2.57 0.86 1.55 2.50 -0.05 1.72 2.67 2.51 - 2.62 May-2012
Blmbg. Barc. U.S. Aggregate 0.77 1.49 2.38 -0.21 1.58 2.53 2.24 - 2.39
Excess Return 0.09 0.06 0.12 0.16 0.14 0.14 0.27 - 0.23
Loomis Sayles 140,462,847 5.48 0.62 1.53 3.21 3.00 5.14 - - - 7.47 Feb-2016
Blmbg. Barc. U.S. Aggregate 0.77 1.49 2.38 -0.21 1.58 - - - 2.73
Excess Return -0.15 0.04 0.83 3.21 3.56 - - - 4.74
MacKay Shields 64,820,228 2.53 0.85 1.72 4.73 11.86 12.63 4.14 7.16 7.85 8.22 Oct-2004
BofA Merrill Lynch High Yield Master II 0.89 1.82 4.80 12.63 13.85 4.74 7.32 8.21 7.69
Excess Return -0.04 -0.10 -0.07 -0.77 -1.22 -0.60 -0.16 -0.36 0.53
Western Emerging Market Debt LCC 129,684,569 5.06 1.55 5.32 10.42 6.64 13.27 -2.41 - - -0.84 Jul-2012
JPM GBI-EM Global Diversified 1.96 5.54 9.86 5.93 12.17 -2.63 - - -0.78
Excess Return -0.41 -0.22 0.56 0.71 1.10 0.22 - - -0.06
Variable Benefit - Loomis 56,011,026 2.19 0.34 0.85 1.46 1.56 2.31 - - - 2.90 Jan-2016
Blmbg. Barc. 1-3 Year Gov/Credit 0.17 0.40 0.76 0.39 0.99 - - - 1.44
Excess Return 0.17 0.45 0.70 1.17 1.32 - - - 1.46
Private Equity
Aberdeen(Flag) Private Equity VI 6,434,837 0.25 - - - - - - - - - Sep-2015
Adams Street 2007 Direct 1,744,857 0.07 - - - - - - - - - Jan-2007
Adams Street Non US 2007 6,160,417 0.24 - - - - - - - - - Jan-2007
Adams Street US 2007 10,570,314 0.41 - - - - - - - - - Jan-2007
Capital Dynamics (HRJ) 7,450,567 0.29 - - - - - - - - - Dec-2007
Centana Growth Partners 1,851,638 0.07 - - - - - - - - - Dec-2016
DC Capital 666,030 0.03 - - - - - - - - - Jan-2017
Drum Special Situations III 2,603,466 0.10 - - - - - - - - - Apr-2010
Drum Special Situations IV 1,229,210 0.05 - - - - - - - - - Mar-2016
Greenspring Secondaries Fund II 7,310,154 0.29 - - - - - - - - - Jun-2016
Greenspring Global Partners V-B 29,608,591 1.16 - - - - - - - - - Jan-2012
Greenspring Global Partners VI-B 6,512,477 0.25 - - - - - - - - - Jul-2014
5
Asset $ Asset % 1 Month 3 Month CYTD FYTD 1 Year 3 Year 5 Year 7 Year
Since
Inception
Inception
Date
Performance(%)
Fire & Police Employees' Retirement System of the City of BaltimoreAsset Allocation & Performance Gross of Fees
May 31, 2017
Private Equity (continued)
Greenspring Secondaries Fund I 8,737,261 0.34 - - - - - - - - - May-2014
LGT Capital Crown Asia-Pacific II PLC 17,137,498 0.67 - - - - - - - - - Jan-2012
LGT Capital Crown Europe Middle Mkt II 6,565,211 0.26 - - - - - - - - - Jul-2008
LGT Capital Crown Global Secondaries III 14,575,713 0.57 - - - - - - - - - Jan-2012
Pantheon USA Fund VI 13,558,043 0.53 - - - - - - - - - Aug-2005
Siguler Guff Dist Opps Fnd III 3,911,101 0.15 - - - - - - - - - Dec-2008
Siguler Guff BRIC 5,419,819 0.21 - - - - - - - - - Feb-2012
Flag (Squadron) 4,092,147 0.16 - - - - - - - - - Mar-2008
Vesey Street Fund IV LP (Blackrock) 15,156,879 0.59 - - - - - - - - - Feb-2008
Hedge Funds
Direct Hedge Funds 253,483,386 9.90 0.78 2.39 4.95 9.61 10.77 - - - 5.75 Jul-2015
HFRI Fund of Funds Composite Index -0.17 0.82 2.78 6.04 5.55 - - - 0.16
Excess Return 0.95 1.57 2.17 3.57 5.22 - - - 5.59
Core Real Estate
Principal U.S. Account Property 66,227,636 2.59 0.65 2.20 3.24 8.52 9.60 12.42 12.70 14.27 8.21 Jan-2004
NCREIF Fund Index-ODCE (VW) - - - - - - - - -
Excess Return - - - - - - - - -
Clarion Lion 65,785,712 2.57 0.00 2.61 2.61 6.30 8.41 12.91 12.31 14.33 7.09 Jan-2004
NCREIF Fund Index-ODCE (VW) - - - - - - - - -
Excess Return - - - - - - - - -
Value Added/Specialty Real Estate
Ares Management (Apollo) VEF V 3,641,661 0.14 - - - - - - - - - Dec-2002
Alex Brown Chesapeake III 4,154,008 0.16 - - - - - - - - - Aug-2005
Alex Brown Chesapeake VB 5,821,343 0.23 - - - - - - - - - Jul-2016
LaSalle V 67,529 0.00 - - - - - - - - - Aug-2008
Angelo Gordon Realty VII 1,208,190 0.05 - - - - - - - - - Dec-2007
Angelo Gordon Realty Fund IX 10,883,320 0.42 - - - - - - - - - Oct-2015
DLJ RECP IV 10,545,580 0.41 - - - - - - - - - Mar-2008
Alex Brown Chesapeake IV 19,850,566 0.77 - - - - - - - - - Jun-2012
Equus BPG Investment Fund IX 17,989,978 0.70 - - - - - - - - - Dec-2013
Equus BPG Investment Fund X 11,478,342 0.45 - - - - - - - - - Dec-2015
Ares European Real Estate IV 11,174,108 0.44 - - - - - - - - - Jan-2015
Meridian Realty II 6,749,985 0.26 - - - - - - - - - Feb-2016
6
Asset $ Asset % 1 Month 3 Month CYTD FYTD 1 Year 3 Year 5 Year 7 Year
Since
Inception
Inception
Date
Performance(%)
Fire & Police Employees' Retirement System of the City of BaltimoreAsset Allocation & Performance Gross of Fees
May 31, 2017
Energy Master Limited Partnerships
Harvest Energy MLP 70,712,437 2.76 -4.91 -6.63 -2.56 3.48 8.82 -5.44 8.15 - 9.55 Dec-2010
S&P MLP Index -4.66 -6.96 -2.69 3.47 8.92 -9.22 3.19 - 4.28
Excess Return -0.25 0.33 0.13 0.01 -0.10 3.78 4.96 - 5.27
Tortoise Energy MLP 71,165,412 2.78 -4.72 -6.87 -0.89 4.78 10.22 -6.02 8.58 - 9.21 Dec-2010
S&P MLP Index -4.66 -6.96 -2.69 3.47 8.92 -9.22 3.19 - 4.28
Excess Return -0.05 0.09 1.80 1.31 1.30 3.20 5.39 - 4.93
Natural Resources
Aether Real Assets II LP 15,949,360 0.62 -3.38 -3.38 -3.38 3.77 13.77 0.37 - - 3.46 Aug-2012
Aether Real Assets III LP 16,649,387 0.65 17.52 17.52 17.52 24.64 48.83 - - - 22.67 Dec-2015
Aether Real Assets Coinvest I 2,713,267 0.11 0.00 0.00 -5.72 - - - - - -5.72 Jan-2017
Park Street Capital 14,677,997 0.57 0.00 0.00 0.00 13.92 16.28 -2.52 - - -7.42 Aug-2012
Aberdeen(Flag) Energy & Resources III 13,308,816 0.52 12.39 12.39 20.63 28.42 41.60 0.48 - - -6.13 Jul-2013
Reserve Accounts
Cash Reserve 50,490,539 1.97 0.47 0.58 0.71 1.26 1.29 0.71 0.69 0.77 4.07 Jul-1987
7
Asset $ Asset % 1 Month 3 Month CYTD FYTD 1 Year 3 Year 5 Year 7 Year
Since
Inception
Inception
Date
Total Fund Composite with VB & CR Assets 2,561,718,534 100.00 1.20 3.42 6.87 10.57 11.06 4.80 7.55 8.20 6.20 Jan-1998
Total Fund Composite 2,561,718,534 100.00 1.20 3.42 6.87 10.57 11.06 4.44 8.52 8.84 7.66 Jan-1992
Total Policy* 0.71 2.29 5.67 10.22 10.99 4.50 8.55 8.76 7.77
Excess Return 0.49 1.13 1.20 0.35 0.07 -0.06 -0.03 0.08 -0.11
US Equity Composite 586,545,834 22.90 1.31 2.54 9.09 16.54 16.44 9.16 14.51 13.88 8.98 Jan-1992
Russell 3000 Index 1.02 2.16 7.96 17.45 17.69 9.68 15.26 14.22 9.46
Excess Return 0.29 0.38 1.13 -0.91 -1.25 -0.52 -0.75 -0.34 -0.48
Large Cap Composite 469,644,498 18.33 1.79 3.06 10.09 14.76 15.44 9.68 14.25 13.77 7.74 Jun-2008
Russell 1000 Index 1.28 2.41 8.51 17.21 17.48 9.83 15.37 14.37 8.59
Excess Return 0.51 0.65 1.58 -2.45 -2.04 -0.15 -1.12 -0.60 -0.85
Non Large Cap Equity 116,901,336 4.56 -0.54 0.50 5.31 24.50 20.65 7.11 15.19 14.24 10.03 Jun-2008
Russell 2500 Index -1.12 -0.43 3.39 16.92 16.87 7.72 14.29 13.17 8.81
Excess Return 0.58 0.93 1.92 7.58 3.78 -0.61 0.90 1.07 1.22
International Equity Composite 524,485,999 20.47 3.04 9.25 14.27 18.70 15.80 1.08 7.87 7.57 8.54 Jan-1993
MSCI AC World ex USA (Net) 3.25 8.13 13.74 20.08 18.24 1.26 8.39 6.42 -
Excess Return -0.21 1.12 0.53 -1.38 -2.44 -0.18 -0.52 1.15 -
Total Fixed Income Composite 534,661,908 20.87 0.86 1.94 3.72 3.30 5.32 1.49 2.29 3.61 6.21 Jan-1992
Total Fixed Income Policy 0.77 1.57 2.72 1.00 2.78 2.84 2.80 4.25 6.27
Excess Return 0.09 0.37 1.00 2.30 2.54 -1.35 -0.51 -0.64 -0.06
Private Equity Composite** 171,296,231 6.69 0.38 3.06 4.27 9.46 8.92 10.58 12.24 12.36 - Jun-2002
Hedge Fund Composite *** 253,483,386 9.90 0.78 2.39 4.94 9.58 10.71 5.86 6.84 5.28 4.60 Mar-2005
HFRI Fund of Funds Composite Index -0.17 0.82 2.78 6.04 5.55 1.75 3.71 2.83 2.61
Excess Return 0.95 1.57 2.16 3.54 5.16 4.11 3.13 2.45 1.99
Direct Hedge Funds 253,483,386 9.90 0.78 2.39 4.94 9.58 10.73 - - - 5.72 Jul-2015
Real Estate Composite 235,577,958 9.20 1.26 4.38 4.62 8.29 7.63 11.27 11.12 12.09 6.56 Oct-1986
NCREIF Property Index 0.00 1.55 1.55 5.13 7.27 10.58 10.69 11.82 7.86
Excess Return 1.26 2.83 3.07 3.16 0.36 0.69 0.43 0.27 -1.30
Energy Limited Partnership 141,877,849 5.54 -5.29 -7.31 -2.49 2.93 8.27 -6.55 7.48 - 8.47 Dec-2010
S&P MLP Index -4.66 -6.96 -2.69 3.47 8.92 -9.22 3.19 - 4.28
Excess Return -0.63 -0.35 0.20 -0.54 -0.65 2.67 4.29 - 4.19
Natural Resources/Private Energy 63,298,827 2.47 - - - - - - - - - Jul-2012
Cash Reserve Accounts 50,490,542 1.97 - - - - - - - - - Jan-2016
Performance(%)
Fire & Police Employees' Retirement System of the City of BaltimorePerformance Net of Fees
May 31, 2017
* Total Policy Return uses the Real Estate Composite returns until the NCREIF Property index is published. **Time-Weighted Rates of Return.*
** Returns and Market Values based on Custodial data.
8
Asset $ Asset % 1 Month 3 Month CYTD FYTD 1 Year 3 Year 5 Year 7 Year
Since
Inception
Inception
Date
US Equity
Mellon Dynamic US Equity Enhanced Passive Fund 131,212,171 5.12 2.09 3.65 11.83 17.61 19.93 - - - 19.26 Jan-2016
S&P 500 1.41 2.57 8.66 17.16 17.47 - - - 14.84
Excess Return 0.68 1.08 3.17 0.45 2.46 - - - 4.42
Mellon Capital Mgmt S&P 500 74,967,708 2.93 1.41 2.58 8.67 17.17 17.44 10.14 15.42 14.44 11.17 Oct-2008
S&P 500 1.41 2.57 8.66 17.16 17.47 10.14 15.42 14.43 11.14
Excess Return 0.00 0.01 0.01 0.01 -0.03 0.00 0.00 0.01 0.03
The Edgar Lomax Company 128,057,525 5.00 0.60 -0.37 4.30 11.81 14.22 8.43 14.05 13.88 9.37 Jul-1995
S&P 500/Citigroup Value -0.32 -1.58 2.89 13.70 14.71 7.85 14.44 12.83 8.53
Excess Return 0.91 1.21 1.41 -1.89 -0.49 0.58 -0.39 1.05 0.84
Brown Advisory 72,536,363 2.83 2.73 7.14 16.39 15.04 12.46 9.33 - - 12.93 Aug-2012
Russell 1000 Growth Index 2.60 6.16 14.30 20.74 20.27 11.92 - - 15.61
Excess Return 0.13 0.98 2.09 -5.70 -7.81 -2.59 - - -2.68
Rhumbline Advisors 62,856,379 2.45 2.61 - - - - - - - 4.96 Apr-2017
Russell 1000 Growth Index 2.60 - - - - - - - 4.95
Excess Return 0.01 - - - - - - - 0.01
Rothschild Asset Mgmt 55,450,934 2.16 -2.80 -3.60 -3.09 17.97 17.20 8.28 14.34 13.28 11.54 Oct-1996
Rothschild Policy* -3.11 -3.56 -2.86 20.64 21.00 7.34 13.67 11.48 10.28
Excess Return 0.31 -0.04 -0.23 -2.67 -3.80 0.94 0.67 1.80 1.26
Pinnacle Associates 61,405,461 2.40 1.60 4.56 14.33 30.04 25.67 8.84 16.34 15.05 11.32 Oct-2004
Russell 2500 Growth Index 0.05 2.56 8.17 18.73 17.85 8.69 14.54 14.01 9.97
Excess Return 1.55 2.00 6.16 11.31 7.82 0.15 1.80 1.04 1.35
International Equity
Thomas White International, Ltd. 65,984,727 2.58 1.61 6.31 12.46 11.27 13.00 - - - -1.47 Mar-2015
MSCI Emerging Markets (Net) 2.96 7.87 17.25 22.51 27.41 - - - 3.03
Excess Return -1.35 -1.56 -4.79 -11.24 -14.41 - - - -4.50
Lee Munder Capital Group, LLC 64,629,586 2.52 2.72 7.15 16.83 20.72 24.88 - - - 0.11 Oct-2014
MSCI Emerging Markets (Net) 2.96 7.87 17.25 22.51 27.41 - - - 2.18
Excess Return -0.24 -0.72 -0.42 -1.79 -2.53 - - - -2.07
Causeway Capital Mgmt 232,212,348 9.06 2.66 9.95 13.56 21.96 15.95 1.26 10.83 9.27 7.76 Nov-2003
S&P EPAC BMI Value 2.95 7.95 12.47 24.86 19.85 2.15 11.53 8.78 7.82
Excess Return -0.29 2.00 1.09 -2.90 -3.90 -0.89 -0.70 0.49 -0.06
William Blair & Company International Growth 161,659,339 6.31 4.31 10.35 15.05 16.82 14.12 3.21 9.64 8.83 7.30 Oct-2004
S&P EPAC BMI Growth 4.97 11.62 17.91 18.77 15.84 3.74 10.90 8.96 6.71
Excess Return -0.66 -1.27 -2.86 -1.95 -1.72 -0.53 -1.26 -0.13 0.59
* Rothschild Policy consists of R2000 inception through
6/30/00; Since then, R2000 Value.
Performance(%)
Fire & Police Employees' Retirement System of the City of BaltimoreAsset Allocation & Performance Net of Fees
May 31, 2017
9
Asset $ Asset % 1 Month 3 Month CYTD FYTD 1 Year 3 Year 5 Year 7 Year
Since
Inception
Inception
Date
Performance(%)
Fire & Police Employees' Retirement System of the City of BaltimoreAsset Allocation & Performance Net of Fees
May 31, 2017
Fixed Income
C.S. McKee 64,174,218 2.51 0.63 1.26 2.03 -0.21 1.28 2.69 2.40 - 2.40 Jun-2012
Blmbg. Barc. U.S. Aggregate 0.77 1.49 2.38 -0.21 1.58 2.53 2.24 - 2.24
Excess Return -0.14 -0.23 -0.35 0.00 -0.30 0.16 0.16 - 0.16
Mellon Capital Mgmt Agg Bond 13,597,196 0.53 0.78 1.50 2.40 -0.24 1.54 2.51 2.20 3.41 4.19 Mar-2003
Blmbg. Barc. U.S. Aggregate 0.77 1.49 2.38 -0.21 1.58 2.53 2.24 3.43 4.18
Excess Return 0.01 0.01 0.02 -0.03 -0.04 -0.02 -0.04 -0.02 0.01
Pugh Capital Management 65,911,825 2.57 0.86 1.49 2.37 -0.30 1.47 2.43 2.28 - 2.39 May-2012
Blmbg. Barc. U.S. Aggregate 0.77 1.49 2.38 -0.21 1.58 2.53 2.24 - 2.39
Excess Return 0.09 0.00 -0.01 -0.09 -0.11 -0.10 0.04 - 0.00
Loomis Sayles 140,462,847 5.48 0.55 1.46 3.05 2.68 4.82 - - - 7.15 Feb-2016
Blmbg. Barc. U.S. Aggregate 0.77 1.49 2.38 -0.21 1.58 - - - 2.73
Excess Return -0.22 -0.03 0.67 2.89 3.24 - - - 4.42
MacKay Shields 64,820,228 2.53 0.85 1.66 4.66 11.66 12.36 3.92 6.91 7.49 7.86 Oct-2004
BofA Merrill Lynch High Yield Master II 0.89 1.82 4.80 12.63 13.85 4.74 7.32 8.21 7.69
Excess Return -0.04 -0.16 -0.14 -0.97 -1.49 -0.82 -0.41 -0.72 0.17
Western Emerging Market Debt LCC 129,684,569 5.06 1.55 5.21 10.20 6.21 12.82 -2.77 - - -1.21 Jul-2012
JPM GBI-EM Global Diversified 1.96 5.54 9.86 5.93 12.17 -2.63 - - -0.78
Excess Return -0.41 -0.33 0.34 0.28 0.65 -0.14 - - -0.43
Variable Benefit - Loomis 56,011,026 2.19 0.32 0.83 1.44 1.52 2.27 - - - 2.88 Jan-2016
Blmbg. Barc. 1-3 Year Gov/Credit 0.17 0.40 0.76 0.39 0.99 - - - 1.44
Excess Return 0.15 0.43 0.68 1.13 1.28 - - - 1.44
Private Equity
Aberdeen(Flag) Private Equity VI 6,434,837 0.25 - - - - - - - - - Sep-2015
Adams Street 2007 Direct 1,744,857 0.07 - - - - - - - - - Jan-2007
Adams Street Non US 2007 6,160,417 0.24 - - - - - - - - - Jan-2007
Adams Street US 2007 10,570,314 0.41 - - - - - - - - - Jan-2007
Capital Dynamics (HRJ) 7,450,567 0.29 - - - - - - - - - Dec-2007
Centana Growth Partners 1,851,638 0.07 - - - - - - - - - Dec-2016
DC Capital 666,030 0.03 - - - - - - - - - Jan-2017
Drum Special Situations III 2,603,466 0.10 - - - - - - - - - Apr-2010
Drum Special Situations IV 1,229,210 0.05 - - - - - - - - - Mar-2016
Greenspring Secondaries Fund II 7,310,154 0.29 - - - - - - - - - Jun-2016
Greenspring Global Partners V-B 29,608,591 1.16 - - - - - - - - - Jan-2012
Greenspring Global Partners VI-B 6,512,477 0.25 - - - - - - - - - Jul-2014
10
Asset $ Asset % 1 Month 3 Month CYTD FYTD 1 Year 3 Year 5 Year 7 Year
Since
Inception
Inception
Date
Performance(%)
Fire & Police Employees' Retirement System of the City of BaltimoreAsset Allocation & Performance Net of Fees
May 31, 2017
Private Equity (continued)
Greenspring Secondaries Fund I 8,737,261 0.34 - - - - - - - - - May-2014
LGT Capital Crown Asia-Pacific II PLC 17,137,498 0.67 - - - - - - - - - Jan-2012
LGT Capital Crown Europe Middle Mkt II 6,565,211 0.26 - - - - - - - - - Jul-2008
LGT Capital Crown Global Secondaries III 14,575,713 0.57 - - - - - - - - - Jan-2012
Pantheon USA Fund VI 13,558,043 0.53 - - - - - - - - - Aug-2005
Siguler Guff Dist Opps Fnd III 3,911,101 0.15 - - - - - - - - - Dec-2008
Siguler Guff BRIC 5,419,819 0.21 - - - - - - - - - Feb-2012
Flag (Squadron) 4,092,147 0.16 - - - - - - - - - Mar-2008
Vesey Street Fund IV LP (Blackrock) 15,156,879 0.59 - - - - - - - - - Feb-2008
Hedge Funds
Direct Hedge Funds 253,483,386 9.90 0.78 2.39 4.94 9.58 10.73 - - - 5.72 Jul-2015
HFRI Fund of Funds Composite Index -0.17 0.82 2.78 6.04 5.55 - - - 0.16
Excess Return 0.95 1.57 2.16 3.54 5.18 - - - 5.56
Core Real Estate
Principal U.S. Account Property 66,227,636 2.59 0.58 1.97 2.85 7.59 8.58 11.43 11.70 13.32 7.23 Jan-2004
NCREIF Fund Index-ODCE (VW) - - - - - - - - -
Excess Return - - - - - - - - -
Clarion Lion 65,785,712 2.57 0.00 2.40 2.40 5.59 7.44 11.90 11.32 13.30 6.14 Jan-2004
NCREIF Fund Index-ODCE (VW) - - - - - - - - -
Excess Return - - - - - - - - -
Value Added/Specialty Real Estate
Ares Management (Apollo) VEF V 3,641,661 0.14 - - - - - - - - - Dec-2002
Alex Brown Chesapeake III 4,154,008 0.16 - - - - - - - - - Aug-2005
Alex Brown Chesapeake VB 5,821,343 0.23 - - - - - - - - - Jul-2016
LaSalle V 67,529 0.00 - - - - - - - - - Aug-2008
Angelo Gordon Realty VII 1,208,190 0.05 - - - - - - - - - Dec-2007
Angelo Gordon Realty Fund IX 10,883,320 0.42 - - - - - - - - - Oct-2015
DLJ RECP IV 10,545,580 0.41 - - - - - - - - - Mar-2008
Alex Brown Chesapeake IV 19,850,566 0.77 - - - - - - - - - Jun-2012
Equus BPG Investment Fund IX 17,989,978 0.70 - - - - - - - - - Dec-2013
Equus BPG Investment Fund X 11,478,342 0.45 - - - - - - - - - Dec-2015
Ares European Real Estate IV 11,174,108 0.44 - - - - - - - - - Jan-2015
Meridian Realty II 6,749,985 0.26 - - - - - - - - - Feb-2016
11
Asset $ Asset % 1 Month 3 Month CYTD FYTD 1 Year 3 Year 5 Year 7 Year
Since
Inception
Inception
Date
Performance(%)
Fire & Police Employees' Retirement System of the City of BaltimoreAsset Allocation & Performance Net of Fees
May 31, 2017
Energy Master Limited Partnerships
Harvest Energy MLP 70,712,437 2.76 -5.10 -6.81 -2.92 2.70 8.01 -6.16 7.37 - 8.75 Dec-2010
S&P MLP Index -4.66 -6.96 -2.69 3.47 8.92 -9.22 3.19 - 4.28
Excess Return -0.43 0.15 -0.23 -0.77 -0.91 3.06 4.18 - 4.47
Tortoise Energy MLP 71,165,412 2.78 -4.72 -7.05 -1.25 4.00 9.41 -6.69 7.77 - 8.48 Dec-2010
S&P MLP Index -4.66 -6.96 -2.69 3.47 8.92 -9.22 3.19 - 4.28
Excess Return -0.05 -0.09 1.44 0.53 0.49 2.53 4.58 - 4.20
Natural Resources
Aether Real Assets II LP 15,949,360 0.62 -3.38 -3.38 -3.38 2.37 11.60 -0.50 - - 2.90 Aug-2012
Aether Real Assets III LP 16,649,387 0.65 17.52 17.52 17.52 24.16 48.25 - - - 4.85 Dec-2015
Aether Real Assets Coinvest I 2,713,267 0.11 0.00 0.00 -5.72 - - - - - -5.72 Jan-2017
Park Street Capital 14,677,997 0.57 0.00 0.00 0.00 13.92 16.28 -2.52 - - -7.42 Aug-2012
Aberdeen(Flag) Energy & Resources III 13,308,816 0.52 12.09 12.09 19.93 27.68 40.26 -0.35 - - -6.73 Jul-2013
Reserve Accounts
Cash Reserve 50,490,539 1.97 0.47 0.58 0.71 1.26 1.29 0.71 -0.20 0.05 3.84 Jul-1987
12
PartnershipsVintage
YearInvestment
Strategy
CapitalCommitment
($)
DrawnDown
($)
Distributed($)
MarketValue
($)
IRR(%)(1)
PME(Russell 3000)
(2)
TVPIMultiple
ValuationDate(1)
Private Equity
Aberdeen(Flag) Private Equity VI 2014 Buyout - Small (FOF) 15,000,000 5,692,603 943,552 6,434,837 33.91 -100.00 1.30 05/31/2017
Adams Street 2007 Direct 2007 Venture Capital (COI) 3,000,000 2,927,387 3,759,707 1,744,857 10.12 4.48 1.88 05/31/2017
Adams Street Non US 2007 2007 Diversified (FOF) 10,500,000 6,793,509 4,293,071 6,160,417 6.78 -8.18 1.54 05/31/2017
Adams Street US 2007 2007 Diversified (FOF) 16,500,000 10,062,807 8,928,075 10,570,314 10.27 -2.18 1.94 05/31/2017
Capital Dynamics (HRJ) 2006 Distressed Debt (FOF) 20,000,000 17,482,004 11,911,227 7,450,567 1.47 -6.32 1.11 05/31/2017
Centana Growth Partners 2015 Growth Equity - 1,865,011 241,639 1,851,638 13.72 -97.73 1.12 05/31/2017
DC Capital 2016 Buyout - Mid - 896,041 122,977 666,030 -14.07 -100.00 0.88 05/31/2017
Drum Special Situations III 2010 Special Situations (FOF) 5,000,000 4,288,069 3,791,317 2,603,466 13.36 -5.47 1.49 05/31/2017
Drum Special Situations IV 2015 Special Situations (FOF) 20,000,000 2,300,000 1,110,026 1,229,210 4.50 -100.00 1.02 05/31/2017
Greenspring Secondaries Fund I 2014 Secondaries 7,500,000 7,047,289 1,456,241 8,737,261 24.28 -100.00 1.45 05/31/2017
Greenspring Secondaries Fund II 2016 Venture Capital (FOF) 20,000,000 6,600,000 - 7,310,154 19.52 -100.00 1.11 05/31/2017
Greenspring Global Partners V-B 2011 Venture Capital (FOF) 25,000,000 19,352,840 6,000,000 29,608,591 19.47 -43.16 1.84 05/31/2017
Greenspring Global Partners VI-B 2014 Venture Capital (FOF) 7,500,000 7,375,000 168,750 6,512,477 -4.88 -100.00 0.91 05/31/2017
Flag (Squadron) 2006 Hybrid (FOF) 15,000,000 8,747,343 13,291,859 4,092,147 12.26 8.08 1.99 05/31/2017
LGT Capital Crown Asia-Pacific II PLC 2011 International Private Equity (FOF) 17,500,000 12,368,242 1,076,250 17,137,498 12.76 -100.00 1.47 05/31/2017
LGT Capital Crown Europe Middle Mkt II 2008 Buyout - Mid (FOF) 20,000,000 8,265,835 5,624,757 6,565,211 8.11 -10.40 1.48 05/31/2017
LGT Capital Crown Global Secondaries III 2012 Secondaries (FOF) 25,000,000 11,274,952 1,568,282 14,575,713 14.71 -93.79 1.43 05/31/2017
Pantheon USA Fund VI 2004 Diversified (FOF) 35,000,000 26,213,182 29,680,013 13,558,043 6.90 1.90 1.65 05/31/2017
Siguler Guff Dist Opps Fnd III 2007 Distressed Debt (FOF) 15,000,000 14,065,689 17,971,868 3,911,101 10.33 6.36 1.56 05/31/2017
Siguler Guff BRIC 2011 Hybrid (FOF) 7,500,000 6,487,500 4,573,229 5,419,819 14.95 -14.26 1.54 05/31/2017
Vesey Street Fund IV LP (Blackrock) 2007 Hybrid (FOF) 25,000,000 18,638,199 14,598,827 15,156,879 7.77 -4.50 1.60 05/31/2017
Private Equity Composite 310,000,000 202,419,659 134,999,655 171,296,231 8.85 -14.91 1.51 05/31/2017
Fire & Police Employees' Retirement System of the City of BaltimorePrivate Equity Summary of Partnership
May 31, 2017
Note: Castlelake Aviation III commitment of $16 million to be added.1) IRR calculated using custodial data and are Net of Fees. Custodial pricing may be lagged; not priced as of the report date.2) The public market equivalent (PME) calculates benchmark performance by using identical cash flows in a public index. PME cannot compute a value when the final comparable index value is negative. PME+, a variation of PME, resolves this issue by scalingeach distribution across the life of the fund.
13
PartnershipsVintage
YearInvestment
Strategy
CapitalCommitment
($)
DrawnDown
($)
Distributed
($)
MarketValue($,1)
IRR(%)(1)
TVPIMultiple
(1,2)
DPIMultiple
(2)
ValuationDate(1)
Private Real Estate
Ares Management (Apollo) VEF V 2001 Real Estate - ValueAdded
30,000,000 30,139,656 31,677,503 3,641,661 5.64 1.17 1.05 05/31/2017
Alex Brown Chesapeake III 2005 Real Estate - ValueAdded
20,000,000 20,000,110 21,699,438 4,154,008 3.60 1.29 1.09 05/31/2017
LaSalle V 2007 Real Estate - ValueAdded
25,000,000 23,219,265 41,111,856 67,529 14.77 1.77 1.77 05/31/2017
Angelo Gordon Realty VII 2007 Real Estate -Opportunistic
12,500,000 9,409,059 14,594,652 1,208,190 13.22 1.68 1.55 05/31/2017
Angelo Gordon Realty Fund IX 2015 Real Estate -Opportunistic
20,000,000 10,074,439 - 10,883,320 8.01 1.08 - 05/31/2017
DLJ RECP IV 2007 Real Estate -Opportunistic
12,500,000 12,854,654 4,615,005 10,545,580 3.13 1.18 0.36 05/31/2017
Alex Brown Chesapeake IV 2010 Real Estate - ValueAdded
25,000,000 25,000,000 13,910,218 19,850,566 11.69 1.35 0.56 05/31/2017
Equus BPG Partnernship IX 2013 Real Estate - ValueAdded
25,000,000 27,450,978 14,462,786 17,989,978 9.68 1.18 0.53 05/31/2017
Equus BPG Investment Fund X 2015 Real Estate - ValueAdded
20,000,000 13,814,021 5,332,228 11,478,342 32.59 1.22 0.39 05/31/2017
Ares European Real Estate IV 1999 Real Estate - ValueAdded
20,000,000 12,406,313 2,707,992 11,174,108 10.15 1.12 0.22 05/31/2017
Meridian Realty II 2015 Real Estate - ValueAdded
20,000,000 10,261,546 3,363,709 6,749,985 -1.81 0.99 0.33 05/31/2017
Alex Brown Chesapeake VB 2016 Real Estate - ValueAdded
20,000,000 5,024,863 37,466 5,821,343 34.97 1.17 0.01 05/31/2017
Real Estate Partnerships (3) 250,000,000 238,884,202 182,308,185 103,564,610 4.67 1.20 0.76 05/31/2017
Private Natural Resources
Park Street Capital 2011 Natural Resources -Diversified (FOF)
20,000,000 17,670,868 1,749,777 14,677,997 -2.56 0.93 0.10 05/31/2017
Aether Real Assets II LP 2012 Natural Resources -Diversified (FOF)
20,000,000 24,224,105 8,951,841 15,949,360 1.28 1.03 0.37 05/31/2017
Aether Real Assets III LP 2013 Natural Resources -Diversified (FOF)
20,000,000 12,722,543 - 16,649,387 26.28 1.31 - 05/31/2017
Aether Real Assets Coinvest I 2009 Natural Resources -Diversified (FOF)
8,750,000 2,780,529 - 2,713,267 -3.22 1.00 - 05/31/2017
Aberdeen(Flag) Energy & Resources III 2013 Natural Resources -Diversified (FOF)
20,000,000 13,232,500 1,954,172 13,308,816 8.72 1.15 0.15 05/31/2017
Natural Resources/Energy Partnerships 88,750,000 70,630,545 12,655,790 63,298,827 3.67 1.08 0.18 05/31/2017
Total Illiquid Real Assets (3) 338,750,000 309,514,747 194,963,975 166,863,437 4.22 1.17 0.63 05/31/2017
Fire & Police Employees' Retirement System of the City of BaltimoreReal Assets Portfolio Summary*
May 31, 2017
Note: Encap Investments XI commitment of $20 million to be added
1) Valuations are typically reported on one quarter lag. Market values provided by the Custodian will be lagged when compared to the market values supplied by the manager on a quarterly basis.
2) Total Value to Paid In (TVPI) reflects total realized and unrealized performance. Distributed to Paid In (DPI) reflects realized performance only.
3) Totals may include fully realized partnerships.
*The Custodial Bank is the source of performance data.14
% Current
Working Target
%
Actual
%
Difference
$ Current
Working Target
$
Actual
$
Difference
A. Total Public Equity 45.00% 43.37% (1.63%) 1,152,773,341 1,111,031,833 -41,741,5071. Large Cap (50% active/50% passive)* 18.00% 18.33% 0.33% 461,109,336 469,644,498 8,535,162
Mellon Dynamic US Equity Enhanced Passive Fund 3.00% 5.12% 2.12% 76,851,556 131,212,171 54,360,615Mellon S&P 500 Index Fund - for liquidity 9.00% 2.93% (6.07%) 230,554,668 74,967,708 -155,586,960Edgar Lomax (Value) 3.00% 5.00% 2.00% 76,851,556 128,057,525 51,205,969Brown Advisory(Growth) 1.50% 2.83% 1.33% 38,425,778 72,536,363 34,110,585Rhumbline (Growth) 1.50% 2.45% 0.95% 38,425,778 62,856,379 24,430,601
2. Small/Mid Cap (50% value/50% growth)* 4.50% 4.56% 0.06% 115,277,334 116,901,336 1,624,002Rothschild (Small - Value) 2.25% 2.16% (0.09%) 57,638,667 55,450,934 -2,187,733Pinnacle (SMID - Growth) 2.25% 2.40% 0.15% 57,638,667 61,405,461 3,766,794
3. International (Developed: 50% value/50% growth) 22.50% 20.47% (2.03%) 576,386,670 524,485,999 -51,900,671Thomas White International 3.25% 2.58% (0.67%) 83,255,852 65,984,727 -17,271,125Lee Munder 3.25% 2.52% (0.73%) 83,255,852 64,629,586 -18,626,267Causeway Capital (Value) 8.00% 9.06% 1.06% 204,937,483 232,212,348 27,274,865William Blair (Growth) 8.00% 6.31% (1.69%) 204,937,483 161,659,339 -43,278,144
B. Total Public Fixed Income 17.00% 20.87% 3.87% 435,492,151 534,661,908 99,169,7571. Core 4.50% 5.61% 1.11% 115,277,334 143,683,238 28,405,904
CS McKee 2.25% 2.51% 0.26% 57,638,667 64,174,218 6,535,551Mellon Bond Index Fund (Core) - for liquidity 0.00% 0.53% 0.53% 0 13,597,196 13,597,196Pugh Capital 2.25% 2.57% 0.32% 57,638,667 65,911,825 8,273,158
2. Core Plus - Loomis 5.50% 5.48% (0.02%) 140,894,519 140,462,847 -431,673
3. High Yield - Mackay Shields 0.00% 2.53% 2.53% 0 64,820,228 64,820,228
4. Emerging Markets Debt - Western 5.00% 5.06% 0.06% 128,085,927 129,684,569 1,598,642
5. Variable Benefit - Loomis 2.00% 2.19% 0.19% 51,234,371 56,011,026 4,776,655
Fire & Police Employees’ Retirement System of the City of BaltimoreAsset Allocation as of May 31, 2017
15
% Current
Working Target
%
Actual
%
Difference
$ Current
Working Target
$
Actual
$
Difference
Fire & Police Employees’ Retirement System of the City of BaltimoreAsset Allocation as of May 31, 2017
C. Total Alternative Strategies 37.00% 33.79% (3.21%) 947,835,858 865,534,251 -82,301,607
a. Total Private Equity 10.00% 6.69% (3.31%) 256,171,853 171,296,231 -84,875,6231. Private Equity Composite 10.00% 6.69% (3.31%) 256,171,853 171,296,231 -84,875,623
b. Total Hedge Funds 5.00% 9.90% 4.90% 128,085,927 253,483,386 125,397,459
1. Direct Hedge Funds 5.00% 9.90% 4.90% 128,085,927 253,483,386 125,397,459
c. Total Real Assets 22.00% 17.21% (4.79%) 563,578,078 440,754,634 -122,823,4431. Real Estate - Core 5.00% 5.15% 0.15% 128,085,927 132,013,348 3,927,421
Clarion 2.50% 2.57% 0.07% 64,042,963 65,785,712 1,742,749Principal 2.50% 2.59% 0.09% 64,042,963 66,227,636 2,184,673
2. Real Estate - Value Added/Specialty 5.00% 4.04% (0.96%) 128,085,927 103,564,610 -24,521,316
3. Energy/Natural Resources 12.00% 8.01% (3.99%) 307,406,224 205,176,676 -102,229,548Public Energy (MLP's) 7.00% 5.54% (1.46%) 179,320,297 141,877,849 -37,442,448MLP - Harvest Energy 3.50% 2.76% (0.74%) 89,660,149 70,712,437 -18,947,712MLP - Tortoise Energy 3.50% 2.78% (0.72%) 89,660,149 71,165,412 -18,494,736
Private Energy/Natural Resources 5.00% 2.47% (2.53%) 128,085,927 63,298,827 -64,787,100Aether Real Assets II LP (20,000,000) 0.62% 0.62% 0 15,949,360 15,949,360Aether Real Assets III LP (20,000,000) 0.65% 0.65% 0 16,649,387 16,649,387Aether Real Assets Coinvest I 0.11% 0.11% 0 2,713,267 2,713,267Flag Energy & Resources III (20,000,000) 0.52% 0.52% 0 13,308,816 13,308,816Park Street Capital (20,000,000) 0.57% 0.57% 0 14,677,997 14,677,997
D. Reserve/Cash/Securities Lending 1.00% 1.97% 0.97% 25,617,185 50,490,543 24,873,358
F. TOTAL FUND 100.00% 100.00% 2,561,718,534* Domestic Equity Targets amended 11/15/16.
16
(%)
Total Policy : Apr-2017
Russell 3000 Index 22.50
MSCI AC World ex USA (Net) 22.50
Blmbg. Barc. U.S. Universal Index 17.00
Private Equity Composite 10.00
HFRI Fund of Funds Composite Index 5.00
NCREIF Property Index 10.00
Energy Public and Private 5.00
S&P MLP Index 7.00
Citigroup 3 Month T-Bill 1.00
(%)
Total Fixed Income Policy : Jul-2012
Blmbg. Barc. U.S. Universal Index 100.00
Fire & Police Employees' Retirement System of the City of BaltimoreTotal Policy & Fixed Income PolicyMay 31, 2017
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