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Item No. 13: Annual Presentation by Jennison Associates – Domestic Large-Cap Growth Equity Manager (May 20, 2020, Special Retirement Board Meeting)
INVESTMENT MANAGER SUMMARY
MANAGEMENT Firm Name Jennison Associates Manager Tenure with Fund 1.2 Years Investment Strategy/Vehicle Large-Cap Growth Equity Contract Expiration 09/30/2021
ASSETS Total Firm AUM (12/31/2019) $173.2 Billion Total Firm Assets in Strategy (12/31/2019) $63.0 Billion Total Assets Managed for WPERP (02/29/2020) RP - $740.3 Million
HP - $126.4 Million
PERFORMANCE As of 02/29/2020 YTD 1 Year Inception
Jennison LCG (gross) -1.08% 13.83% 16.96% Jennison LCG (est. net) -1.12% 13.54% 16.67% Russell 1000 Growth Index -4.73% 15.11% 17.62% Difference (net of fees) 3.61% -1.57% -0.95%
Fees Schedule 25 basis points on all assets
WATCH STATUS N/A
Not for redistribution.
Water & Power Employees’
Retirement Plan
Large Cap Growth Equity (LCG)
April 15, 2020
The information in this presentation is confidential and is intended for use by the recipient only. Further distribution is prohibited without Jennison's prior consent. For your reference, many key
terms in this presentation are defined in the Appendix.
1
Table of Contents
1. Company Overview
2. Investment Process and Discipline
3. Market Overview
4. Performance Review
5. Portfolio Review and Characteristics
6. Fee Schedule
7. Additional Information and Disclosures
8. Glossary of Investment Terms
2
Company Overview
3
Focus Investment Culture Stability
Investment management is Jennison’s
only business and our goal is to generate
superior long-term investment
outperformance
Our skilled investment approach is based
on rigorous fundamental research and
manifests in conviction-based investing
Jennison is made up of deeply resourced,
dedicated investment teams in which
individual success is measured as
collective investment outperformance on
behalf of our clients
We believe meritocracy leads to best
outcomes for clients and an inclusive and
diverse workforce
Jennison applies a long-term perspective
to investing and business planning with
strategic investments made to meet
evolving client needs and not short-term
business targets
Jennison Associates
Our Defining Characteristics
At A Glance
Location - New York and Boston
Number of Employees: 349
Investment Professionals: 70
Firm Inception: 1969
As of 12/31/19.Blended portfolios are shown in their respective underlying capabilities. Due to rounding, individual product assets may not sum to total AUM shown.
• Large Cap Growth $63.0
• Concentrated Growth $13.5
• Health Care $2.4
• Large Cap Value $2.4
• Focused Value $3.5
• Income & Dividend $1.4
• Core $0.5
• Utilities/Infrastructure/ $5.2
Natural Resources
• Long Duration/LDI $39.1
• Intermediate $15.4
• Core $8.2
Growth Equity
$79.6
Fixed Income
$62.7
Assets Under Management
$173.2B
• Small Cap $2.4
• SMid Cap $2.2
• Mid Cap $2.6
Value/Core Equity
$13.3
Small/SMid/Mid Cap Equity
$7.5
• Global Growth $8.2
• International Growth $1.5
Global/International/EM Equity
$10.0
4
Jennison Organization
As of 3/1/20.
Information Governance
Pak(Reports to Vrdoljak)
Value Equity
Koontz
Esposito
Income &
Infrastructure
Hong
Edemeka
Natural
Resources
Brown
Saunders
Value
Koontz
Mid Cap Equity
Mullman
Prasad
Bryan
Small/Mid
Mullman
Small & SMid Cap Equity
SwiatekPrasad
SartoriusShapiro
Custom Solutions
McManus
Custom Solutions
Group
McManus
Equity Trading
Wilburn
Operations
Minkler
Systems
Batalitzky, Cahill
Alternative Investment
ServicesMohs
Investment Support Services
Miele
Legal
Hwang
Risk Mgmt.
Pelham
Compliance
Willis
Finance
Vrdoljak
COO
Moore
Global Equity
Baribeau, Davis
Growth Equity
Segalas
McCarragher
Del Balso
Boyer
Kuhlkin
Irwin
Health Sciences
Chan
Netschert
Growth
McCarragher
Fixed Income
Wolfe
Credit Team
Wolfe
Gaul
Zussman
Klemmer
Staudt
Fixed Trading
Schmidt
Rates Team
Lourie
Kaplan
Rabin
Investments
Human Resources
& Benefits
Brogle
Corporate Services
Graham
ProductDistributionBusiness Support
Becker - Chairman, Chief Executive Officer
Segalas - President, Chief Investment Officer
Product Mgmt &
Development
Product &
Strategy
Clark
Product
Specialists
Relationship Management
Consultant
Relations
Marketing &
Communications
Global
Distribution
McEvoy
Client Service
5
Portfolio ManagersAverage Experience: 37 years
Average Tenure with Jennison: 24 years
Industry Firm
Large Cap Growth
Spiros “Sig” Segalas 59 51
Kathleen A. McCarragher 40 22
Blair A. Boyer 36 27
Michael Del Balso 51 48
Rebecca Irwin 22 13
Natasha Kuhlkin, CFA 24 16
Global
Mark Baribeau, CFA 34 9
Thomas F. Davis 26 9
Experienced Large Cap Growth Investment TeamAverage 28 years of industry experience, 19 years with Jennison
Research AnalystsAverage Experience: 22 years
Average Tenure with Jennison: 15 years
Industry Firm
Consumer/Internet
Rebecca Irwin 22 13
Natasha Kuhlkin, CFA 24 16
Consumer
David A. Ravera 28 20
Health Care
David Chan, CFA 31 28
Debra Netschert 20 12
Steven M. Postal, CFA 19 3
Alison Yang, MD 12 5
Christina Zhang, RN 10 6
Technology
Nick Rubinstein 26 22
Erika Klauer 28 18
Financials
Andrew M. Tucker, CFA 28 22
Industrials
Owuraka Koney, CFA 15 12
Portfolio Specialists
Average Experience: 33 years
Average Tenure with Jennison: 17 years
Industry Firm
Richard K. Mastain 39 19
Daniel J. Nichols 27 15
6
Long-Standing Client RelationshipsGREATER THAN 40 YEARS 15 - 20 YEARS 5 YEARS AND LESS
Abbott Laboratories Dr. Scholl Foundation ACEC Retirement Trust
AbbVie Inc. John Hancock Investment Management Services, LLC Arconic Inc.
Harbor Capital Advisors, Inc. National Rural Electric Cooperative Association Board of Trustees of the Twin City Carpenters
Northrop Grumman Corporation Prudential Retirement Insurance & Annuity Company and Joiners Pension Plan
Shriners Hospital for Children Broadridge Financial Solutions, Inc.
30 - 40 YEARS University of San Francisco± Detroit Diesel Corporation Investment Committee
Baxter International Inc. Utah Retirement Systems*
E. Rhodes and Leona B. Carpenter Foundation
HP Inc. Investment Committee of Bridger Coal Company
Motorola, Inc. 10 - 15 YEARS Navajo Nation
Navistar, Inc. American Electric Power State Highway Patrol Retirement System±*
PPL Services Corporation Plumbers & Pipefitters National Pension Fund Stryker Corporation
PGIM, Inc. Siebert Lutheran Foundation, Inc.±
The Prudential Insurance Company of America State Board Administration of Florida±*
Verizon Investment Management Corp. The Vanguard Group, Inc.
20 - 30 YEARS 5 - 10 YEARS
Air Products and Chemicals, Inc. Ameren Services Company
Ann & Robert H. Lurie Children’s Hospital of Chicago The Boeing Company Employee Savings Plan
Carnegie Institute Master Trust
DeKalb County Employees Retirement System*
Daimler Trucks North America LLC
Dominion Resources, Inc. Ericsson Inc.
Hirtle, Callaghan & Co., Inc. KeyCorp 401(k) Savings Plan
Intermountain Health Care, Inc. Lexington-Fayette Urban County Government
Laborer’s District Council & Contractors’ Pension Policemen’s and Firefighters’ Pension Fund*
Fund of Ohio Mercer Trust Company
PGIM Investments Michigan Carpenters’ Pension Fund±
Pittsburgh Symphony, Inc. MultiCare Health System
Prudential Trust Company North Central States Regional Council
The Texas A&M University System of Carpenters Pension Fund
University of Southern California State of Michigan*
Jennison’s LCG client relationships average
16 years.
As of 12/31/19.This list includes all Jennison Large Cap Growth clients except for those that have restricted the use of their names. It is not known whether the listed clients approve or disapprove of Jennison or the advisory
services provided. Due to corporate restructurings, mergers, or acquisitions, client name listed may not necessarily be the entity that originally contracted with Jennison to provide services to such account.±Participant in a Jennison-managed commingled vehicle.
*Large Cap Growth Equity Public Plans
7
Key Contacts
Lisa BeachManaging Director, Director of Client Service212-833-0566 / [email protected]
Client Service
Blair A. Boyer
Managing Director, Co-Head of Large Cap Growth Equity
212-833-0479 / [email protected]
Portfolio Management
Relationship Manager
Peter H. Reinemann, CFA
Managing Director, Client Relationship Management
212-833-0471 / [email protected]
8
Investment Process and Discipline
9
What we believe:
Growth in earnings and cash flows drive share prices over the long term
Excess returns are generated by investing in market leading companies that create economic value
through long duration competitive advantages
How we build the portfolio:
A high conviction strategy with an agnostic view to the benchmark
Experienced, long-tenured research team drives bottom-up stock selection
Disciplined sell process reflecting fundamental and valuation measures
Integrated risk management embedded throughout the process
Results:
Strong excess return since inception
Long-term track record for five decades
Large Cap Growth Philosophy
Performance results are as of 2/29/20 and represent gross and net of fees. The views expressed herein are those of Jennison investment professionals at the time the comments were made. They may not be reflective of their current opinions, are subject to change without prior notice, and should not be considered investment advice. See Performance slide for additional performance information. See Portfolio Notes in the Additional Information and Disclosures section. Past performance does not guarantee future results.
Consistent philosophy and process for 50 years
10
Investment Process
There is no guarantee these objectives will be met. The views expressed herein are those of Jennison investment professionals at the time the comments were made. They may not be reflective of their current opinions, are subject to change without prior notice, and should not be considered investment advice. See Portfolio Notes in the Additional Information and Disclosures section.
Unique business models building sustainable competitive advantages
Proprietary technology/patent protection
Strong brand
Economies of scale/network effects
Speed to market/supply chain
Catalysts driving long-term growth rates well above that of the market
Disruptive technologies or services
New product cycles
Expanding addressable markets
Superior financial characteristics
Strong revenue growth
Strengthening market position
Typically healthy balance sheets with financial flexibility
Appropriate valuations
Buy Criteria
A fundamental approach to growth stock investing
Use a variety of valuation methodologies appropriate to
different industries
Understand the embedded growth rate in the company’s
current valuation
Constantly assess and re-evaluate fundamental characteristics
to reinforce valuation targets
Valuation
Analysis
11
Deep knowledge of company and industry dynamics,
competitive positioning, drivers of growth, etc.
Disciplined approach to valuation
Typical position limits
45% Sector
25% Industry
6% Security
Active review of portfolio characteristics
Investment Process
There is no guarantee these objectives will be met. The views expressed herein are those of Jennison investment professionals at the time the comments were made. They may not be reflective of their current opinions, are subject to change without prior notice, and should not be considered investment advice. See Portfolio Notes in the Additional Information and Disclosures section.
Risk
Management
Fundamentals change unfavorably
Weakening competitive position
Negative earnings revisions
Change in management
Governance issues
Stock approaches full valuation
Better risk/reward stock idea emerges
Sell Criteria
12
Risk Management
Report Frequency Who
Portfolio Matrix Price Report Daily Portfolio Managers
Performance-Strategy Level Daily Portfolio Managers
EPS, P/E, Price Changes,
Pairwise Correlation ReportsDaily Portfolio Managers
Barra Risk Reports Monthly Portfolio Managers
Factset Attribution MonthlyInvestment Team Heads &
Portfolio Managers
Portfolio Variation Report Quarterly Investment Team Heads
Compliance Guideline Monitoring Daily Compliance Team
Account Reconciliations Daily & Monthly
Operations Team
Performance Dispersion Monthly
Function
Stock
Selection
Portfolio
Management
Portfolio
Analysis
Compliance
Oversight
Operations
Oversight
All analyses are available on demand
13
Investment Guidelines
Objective:
To provide superior performance versus the Russell 1000® Growth Index over a complete investment
cycle
Water & Power Employee’s Retirement Plan Guidelines:
It is expected that the portfolio will be fully invested (<5% in cash) at all times
Equities must trade on US stock exchanges, be denominated in USD, and be domiciled and
incorporated in the US
No more than 5% shall be invested in any one issuer. If an issuer represents >5% of the Russell
1000® Growth Index, the maximum weight allowed is 125% of the benchmark weight
No derivatives without prior approval
No short sales or buying on margin
See Portfolio Notes in the Additional Information and Disclosures section for index definitions.
14
Market Overview
15
Market Update
• Before the COVID-19 outbreak, the period since the portfolios’ inception saw two
distinct environments. Early on, US equities markets were highly volatile, unsettled by
US-China trade discord; softening economic growth in the US, Europe, and China; and
geopolitical uncertainty. Companies across sectors cited trade tensions as the source of
heightened caution in planning and investing. The US political landscape was likewise
unsettled, as investigations of interference in the 2016 presidential election unfolded,
presidential impeachment hearings proceeded, and the 2020 election cycle ramped up.
• Midyear, markets responded favorably to reduced trade friction, the easing of US
monetary policy, and strong corporate earnings.
• The severe drop in equity and credit markets as the period closed reflected the
accelerating worldwide spread of COVID-19 and its massive effects on the global
economy. Global recession became almost certain with personal mobility and global
commercial activity curtailed on an unprecedented scale. Acting to mitigate the
disruption, central banks, including the Federal Reserve, and other government
authorities, announced significant emergency moves, programs, or intentions to lower
key interest rates, support liquidity, and provide fiscal stimulus.
As of 3/20.The views expressed herein are those of Jennison investment professionals at the time the comments were made. They may not be reflective of their current opinions, are subject to change without prior
notice, and should not be considered investment advice. See Portfolio Notes in the Additional Information and Disclosures section.
16
Outlook The effects of the COVID-19 outbreak and drop in energy prices are coursing through the global economy. In an already low-
growth environment, the broad slowdown, unprecedented in its suddenness and near-simultaneous onset worldwide, will
almost surely result in global recession. Rapid and aggressive fiscal and monetary action, already in process, should help
mitigate reduced economic activity. Yet the ultimate magnitude and scale of the pandemic - its human and economic tolls -
remain unknown. With testing frequency and other elements of government responsiveness varying widely from country to
country, infection and mortality rates, as well as the outbreak’s duration, are difficult to project. The experiences of China and
South Korea suggest that damage can be mitigated with rapid and comprehensive response strategies and that human and
economic activity can begin to normalize in a relatively short time. However, the experience of Italy suggests that the global
situation will get considerably worse before it gets better, and with many pandemic experts believing that the spread of the
virus in the US trails Italy by 2-3 weeks, we may be still in the early stages of the disease’s trajectory in America.
Although dire, the current situation is fundamentally different from the credit crisis of 2007-2008. Thirteen years ago,
structural economic deficiencies and a delay in addressing them made recovery protracted and painful. Today, economic
activity is being halted or curtailed to limit the spread of the virus and human suffering. Massive fiscal and monetary stimulus
measures are being implemented rapidly. Underlying economic conditions before the outbreak were largely solid, and when
the crisis subsides - when a vaccine is developed or the virus runs its seasonal course - fundamentally healthy economic
structures would be expected to help most economic activity resume fairly quickly. However, we do not expect recovery to be
uniform, and vulnerable businesses may not survive.
As fundamental investors, we examine company and industry prospects over short and long terms, working to understand
and anticipate how industries and businesses will change over time. Numerous factors, including company fundamentals,
macroeconomic conditions, market risk tolerance, and unforeseen disruptions like the current virus-related environment,
cause variability in the way equity markets price securities in the short term. We constantly assess if and how these factors
affect our investment thesis and company long-term value. We are in regular contact with our portfolio companies and will be
adjusting our estimates as warranted. We continue to have conviction in the long-term fundamental strength of portfolio
holdings.
As of 3/20.The views expressed herein are those of Jennison investment professionals at the time the comments were made. They may not be reflective of their current opinions, are subject to change without prior
notice, and should not be considered investment advice. See Portfolio Notes in the Additional Information and Disclosures section.
17
Performance Review
18
Atit Patel
Attestation
March 24, 2020
Jeremy Wolfson
Chief Investment Officer
Water & Power Employees’ Retirement Plan
111 North Hope Street, Suite 357
Los Angeles, California 90012
Re: Water and Power Employees’ Retirement Plan and the Retiree Health Benefits Fund
Dear Mr. Wolfson,
For the period from March 1st, 2019 through February 29th, 2020, to the best of our knowledge, the
Water and Power accounts managed by Jennison Associates LLC were in compliance with the
investment guidelines described in the current Statement of Investment Objectives, Goals, and
Guidelines.
Should you have questions or would like additional information, please do not hesitate to contact us at
212-421-1000 or [email protected].
Kind regards,
Atit Patel
Senior Compliance Analyst
19
Portfolio Investment Results
As of 2/29/20. Gross and Net of Fee.1Inception of Water & Power Employees’ Retirement Plan portfolio: 2/1/19. 2Inception of Water & Power Retiree Health Benefits Fund portfolio: 2/1/19. R1000G = Russell 1000® Growth Index. See PortfolioNotes in the Additional Information and Disclosures section for additional client performance information and term definitions. Past performance does not guarantee future results.
Water & Power Employees’
Retirement Plan1 R1000G Excess Returns
Gross Net Net
YTD to 2/29/20 -1.1% -1.1% -4.7% 3.6%
One Year 13.8% 13.5% 15.1% -1.6%
Inception (1.1 Years)
Cumulative 18.5% 18.2% 19.2% -1.1%
Annualized 17.0 16.7 17.7 -1.0
Water & Power Retiree Health Benefits Fund2 R1000G Excess Returns
Gross Net Net
YTD to 2/29/20 -1.1% -1.1% -4.7% 3.6%
One Year 13.8% 13.5% 15.1% -1.6%
Inception (1.1 Years)
Cumulative 18.5% 18.2% 19.2% -1.1%
Annualized 17.0 16.7 17.7 -1.0
Water & Power Employees’ Retirement Plan1
Water & Power Retiree Health Benefits Fund2
-1.1%
13.8%
18.5%17.0%
-1.1%
13.5%
18.2%
16.7%
-4.7%
15.1%
19.2%17.7%
-10%
-5%
0%
5%
10%
15%
20%
25%
YTD to 2/29/20 One Year Since Inception
Cumulative
Since Inception
Annualized
-1.1%
13.8%
18.5%17.0%
-1.1%
13.5%
18.2%
16.7%
-4.7%
15.1%
19.2%17.7%
-10%
-5%
0%
5%
10%
15%
20%
25%
YTD to 2/29/20 One Year Since Inception
Cumulative
Since Inception
Annualized
20
Superior Investment Results
As of 2/29/20. Net of Fee.Inception of Russell 1000® Growth Index (R1000G): 1/1/79. Inception of Large Cap Growth Equity Composite: 7/31/69. Source for line chart data: FactSet. Periods greater than 1 year are annualized unlessotherwise noted. Superior results and significant performance claims are based on a review of the strategy's long term cumulative performance history. See Large Cap Growth Equity Composite presentation andPortfolio Notes in the Additional Information and Disclosures section for additional performance information and term definitions. Past performance does not guarantee future results.
Half a century of significant outperformance
UnderperformanceOutperformance
64%
36%
Rolling 1 Year
86%
14%
Rolling 5 Years
3%
Rolling 10 Years
97%
13.5%
18,029%
11.4%
8,515%
Frequency of outperformance(since inception of R1000G)
Cumulative returns
LCG Equity Composite R1000G
Monthly Observations: 483 Monthly Observations: 435 Monthly Observations: 375
LCG Equity
Composite R1000G
Excess
-- Returns --
YTD to 2/29/20 -1.3% -4.7% 3.4%
One Year 14.6% 15.1% -0.6%
Three Years 18.2 15.7 2.6
Five Years 13.3 12.4 0.9
Ten Years 15.2 14.8 0.4
Twenty Years 5.8 4.9 0.8
Inception Composite
50.6 Years S&P 500®
Excess
-- Returns --
Annualized 11.6% 10.3% 1.3%
Cumulative 25,786.0 14,270.2 11,515.8
Inception R1000G
41.2 Years
LCG Equity
Composite R1000G
Excess
-- Returns --
Annualized 13.5% 11.4% 2.0%
Cumulative 18,029.1 8,514.6 9,514.5
0
2000
4000
6000
8000
10000
12000
14000
16000
18000
20000
12/78 12/81 12/84 12/87 12/90 12/93 12/96 12/99 12/02 12/05 12/08 12/11 12/14 12/17
21
Performance Attribution
Gross of Fee. Inception of Water & Power Employees’ Retirement Plan portfolio: 2/1/19. Source for data: FactSet. R1000G = Russell 1000® Growth Index. Due to attribution calculation methodology, contribution to return may
deviate from actual returns. See Portfolio Notes in the Additional Information and Disclosures section for additional performance information, GICS classification, and term definitions. Past performance does not
guarantee future results.
Inception to 2/29/20Water & Power Employees’
Retirement Plan R1000G Attribution
Average Weight
Total Return
Contributionto Return
Average Weight
Total Return
Contributionto Return
AllocationEffect
Stock Selection + Interaction
TotalEffect
Consumer Staples 7% 21% 1.31% 5% 15% 0.90% -0.07% 0.35% 28 bps
Consumer Discretionary 18 23 3.77 15 12 1.76 -0.16 1.77 161
Communication Services 13 14 1.86 12 15 1.73 0.03 -0.17 -15
Information Technology 37 30 10.32 36 34 10.84 0.14 -1.09 -96
Health Care 12 -2 0.10 14 3 0.51 0.02 -0.49 -48
Financials 4 18 0.70 4 16 0.69 -0.05 0.08 3
Real Estate 1 31 0.22 2 18 0.40 0.03 0.11 14
Industrials 5 -10 -0.47 10 3 0.74 0.68 -0.67 1
Energy 1 -32 -0.70 0 -21 -0.08 -0.27 -0.41 -68
Materials 0 -23 -0.21 2 12 0.27 0.12 -0.35 -22
Cash 2 2 0.05 -- -- -- -0.33 -- -33
Total 100% 17% 16.95% 100% 18% 17.69% 0.13% -0.88% -74 bps
22
Largest Absolute Impact - Since Inception to 2/29/20
Gross of Fee. Inception of Water & Power Employees’ Retirement Plan portfolio: 2/1/19. Source for data: FactSet. The holdings identified do not represent all of the securities purchased, sold or recommended by Jennison
during the time period shown. A complete list of holdings and how each contributed to the portfolio’s return is available upon request. See Portfolio Notes in the Additional Information and Disclosures section for
additional performance information, GICS classification, holdings information, and term definitions. Past performance does not guarantee future results.
Water & Power Employees’ Retirement Plan
Top Ten
Average
Weight
Total
Return
Contribution
to Return Business Description
Microsoft 4.4% 53% 189 bps A global leader in software, services, devices, and solutions
Apple 3.5 61 180 Computer, smart phone, and personal device maker; service business subscriptions
Tesla 1.7 105 150 Premier electric vehicle manufacturer
MasterCard 4.6 35 148 No. 2 payment system in the US
Visa 4.3 33 132 No. 1 payment system in the US
NVIDIA 1.8 80 108 Semiconductor maker for key growth markets: gaming, automotive, high-performance computing, cloud, enterprise
Alphabet 6.1 18 107 Globally dominant internet platforms (Search, YouTube, Maps)
Adobe 2.8 36 91Subscription-based provider of digital services in two of the fastest-growing markets in enterprise software - content creation
and digital marketing
Estee Lauder 1.9 33 63Makes skin care, makeup, fragrance, and hair care products, which it sells through high-end stores, specialty retailers, and
online in more than 150 countries
Costco 2.3 30 63 Warehouse club retailer
Bottom Ten
Boeing 2.3% -25% -57 bps World’s largest aerospace company and a leading manufacturer of commercial jetliners and defense, space, and security systems
Sage Therapeutics 0.5 -63 -49 Biotech company focused on treatment of depression, movement and other mood disorders
Concho 0.4 -42 -37 Independent oil and natural gas company, with core operations in the Permian Basin in West Texas and Southeast New Mexico
EOG 0.7 -24 -33 Exploration and production company with significant land positions in emerging US shale oil growth sites
UnitedHealth 0.3 -12 -22 One of the largest managed care providers in the United States
Albemarle 0.4 -23 -21 Top global producer of lithium
Exact Sciences 0.4 -17 -19 Makes a non-invasive molecular screening tool for colorectal cancer
Alexion 1.2 -15 -19 Develops drugs for treatment of rare autoimmune and inflammatory disease
Union Pacific 0.1 -13 -16 Leading rail freight carrier
BioMarin 0.9 -7 -14 Develops pharmaceuticals for rare, often genetic, diseases that affect small populations
23
Water & Power Employees’ Retirement Plan Portfolio
Performance Commentary
As of 2/29/20. Inception of Water & Power Employees’ Retirement Plan portfolio: 2/1/19. The holdings identified do not represent all of the securities purchased, sold or recommended by Jennison during the time period
shown. A complete list of holdings and how each contributed to the portfolio’s return is available upon request. See Portfolio Notes in the Additional Information and Disclosures section for additional
performance information, GICS classification, holdings information, index definitions, and term definitions. Past performance does not guarantee future results.
From the portfolio’s performance inception on February 1, 2019, through February
29, 2020, the Russell 1000® Growth Index rose 17.7%.
Among the benchmark’s major sectors, only information technology outperformed the overall
benchmark, while communication services, consumer discretionary, and health care underperformed.
Energy declined more than 20%.
The portfolio advanced 17.0% (gross of fee) in the period.
Stock selection contributed positively to absolute and relative performance in consumer discretionary,
consumer staples, real estate, and financials.
Information technology holdings posted a 30%-plus aggregate gain but lagged the benchmark sector.
Energy, health care, and materials positions detracted from absolute and relative performance.
Key contributors to positive return included Microsoft, Apple, and Tesla.
Key detractors included Boeing, Sage Therapeutics, and Concho Resources.
24
Transactions - YTD to 2/29/20
Five largest positions initiated, eliminated, increased or decreased during the period shown, based on each transaction’s value (net of costs) divided by the average market value of the portfolio. If the number of transactions equals less than five (per category) all transactions are shown. See Portfolio Notes in the Additional Information and Disclosures section for holdings information.
New
Union Pacific
ON Semiconductor
Eliminated
Abbott
Parker-Hannifin
Alexion
Walt Disney
Xilinx
Water & Power Employees’ Retirement Plan
Increased
Uber
Constellation
Netflix
Workday
NVIDIA
Decreased
MasterCard
FleetCor
JPMorgan Chase
ServiceNow
Qualcomm
25
Portfolio Review and Characteristics
26
Security
% of
Portfolio
3-Yr Earnings
Growth (E)
P/E
2020E
Water & Power
Employees’
Retirement Plan
Purchased
Jennison Large Cap
Growth Equity*
Purchased
Alphabet 6.3% 17% 24x 2019 2004
Amazon.com 5.7 25 75 2019 2007
Microsoft 5.1 13 27 2019 2015
Salesforce.com 4.8 20 27 2019 2009
Visa 4.2 18 33 2019 2011
Netflix 4.2 55 54 2019 2013
MasterCard 4.0 18 40 2019 2009
Apple 3.9 10 19 2019 2004
NIKE 3.5 15 28 2019 2018
Tesla 3.5 25 64 2019 2013
45.4%
Largest Equity Holdings
As of 2/29/20.*Information is supplemental to the Large Cap Growth Equity Composite presentation as provided in the Appendix. Purchased = The year in which the security was most recently purchased and consistently held. See Portfolio Notes in the Additional Information and Disclosures section for holdings information and term definitions.
Water & Power Employees’ Retirement Plan
27
As of 2/29/20.See Portfolio Notes in the Additional Information and Disclosures section for GICS classification, holdings information, and term definitions.
Portfolio HoldingsWater & Power Employees’ Retirement Plan
ESTIMATED 3-YEAR NORMALIZED EARNINGS GROWTH
WEIGHT IN PORTFOLIO (%) >20% 15-20% <15%
Consumer Staples 7.4
Costco 2.3
Constellation 1.9
Estee Lauder 1.8
Mondelez Int’l 1.4
Consumer Discretionary 19.6
Amazon.com 5.7 NIKE 3.5 Home Depot 2.6
Tesla 3.5 Lululemon 1.5 Marriott Int'l 1.7
Chipotle Mexican Grill 1.0
Communication Services 13.7
Netflix 4.2 Alphabet 6.3
Facebook 3.2
Information Technology 38.5
NVIDIA 2.8 Salesforce.com 4.8 Microsoft 5.1
Splunk 1.9 Visa 4.2 Apple 3.9
Workday 1.8 MasterCard 4.1 Qualcomm 0.9
ServiceNow 0.9 Adobe 2.9 ON Semiconductor 0.7
Twilio 0.8 PayPal 1.3
Square 0.6 FleetCor 1.2
Coupa Software 0.5
Health Care 9.9
Vertex 1.0 Intuitive Surgical 1.2 Eli Lilly 1.2
BioMarin 0.9 Illumina 1.1 Danaher 1.1
Exact Sciences 0.7 DexCom 0.9
Guardant Health 0.3 Edwards Lifesciences 0.7
Zoetis 0.6
Financials 3.1
S&P Global 1.4
Goldman Sachs 1.2
JPMorgan Chase 0.5
Real Estate 0.8
American Tower 0.8
Industrials 4.6
Uber 1.7 Boeing 1.8
Union Pacific 1.2
EQUITY 97.5
CASH 2.5
TOTAL 100.0
TOTAL MARKET VALUE $740.3MM 26.8 40.2 30.6
28
As of 2/29/20.See Portfolio Notes in the Additional Information and Disclosures section for GICS classification, holdings information, and term definitions.
Portfolio HoldingsWater & Power Retiree Health Benefits Fund
ESTIMATED 3-YEAR NORMALIZED EARNINGS GROWTH
WEIGHT IN PORTFOLIO (%) >20% 15-20% <15%
Consumer Staples 7.4
Costco 2.3
Constellation 1.9
Estee Lauder 1.8
Mondelez Int’l 1.4
Consumer Discretionary 19.6
Amazon.com 5.6 NIKE 3.5 Home Depot 2.6
Tesla 3.5 Lululemon 1.5 Marriott Int'l 1.7
Chipotle Mexican Grill 1.0
Communication Services 13.7
Netflix 4.2 Alphabet 6.4
Facebook 3.2
Information Technology 38.5
NVIDIA 2.8 Salesforce.com 4.8 Microsoft 5.1
Splunk 1.9 Visa 4.2 Apple 3.9
Workday 1.8 MasterCard 4.1 Qualcomm 0.9
ServiceNow 0.9 Adobe 2.9 ON Semiconductor 0.7
Twilio 0.8 PayPal 1.3
Square 0.6 FleetCor 1.2
Coupa Software 0.5
Health Care 9.9
Vertex 1.0 Intuitive Surgical 1.2 Eli Lilly 1.2
BioMarin 0.9 Illumina 1.1 Danaher 1.1
Exact Sciences 0.7 DexCom 0.9
Guardant Health 0.3 Edwards Lifesciences 0.7
Zoetis 0.7
Financials 3.1
S&P Global 1.4
Goldman Sachs 1.2
JPMorgan Chase 0.5
Real Estate 0.8
American Tower 0.8
Industrials 4.6
Uber 1.7 Boeing 1.8
Union Pacific 1.2
EQUITY 97.5
CASH 2.5
TOTAL 100.0
TOTAL MARKET VALUE $126.4MM 26.7 40.2 30.6
29
Summary of Our Highly Valued Relationship with
Water & Power Employees’ Retirement Plan
Account Strategy Inception Date
Initial Funding
Amount ($M)
Since Inception
Net Flows ($M)
Current AUM as
of 2/29/20 ($M)
Water & Power Employees’
Retirement Plan
Large Cap
Growth Equity1/16/19 $619.2 -$29.6 $740.3
Water & Power Retiree Health
Benefits Fund
Large Cap
Growth Equity1/16/19 $104.0 -$2.9 $126.4
Total $723.2 -$32.5 $866.6
As of 2/29/20, unless otherwise noted.Due to rounding, individual fund assets may not sum to total AUM shown. Past performance does not guarantee future results.
30
3
6
2
-1
-4
0
-2-4
0
-1
2
-10%
-5%
0%
5%
10%
Consumer
Staples
Consumer
Discretionary
Comm.
Services
Information
Technology
Health Care Financials Real Estate Industrials Energy Materials Cash
Sector Allocation
+Over/-Under Weight (Portfolio vs. R1000G)
As of 2/29/20.R1000G = Russell 1000® Growth Index. See Portfolio Notes in the Additional Information and Disclosures section for GICS classification and holdings information.
7
20
14
39
10
31
5
0 02
0%
10%
20%
30%
40%
50%
Consumer
Staples
Consumer
Discretionary
Comm.
Services
Information
Technology
Health Care Financials Real Estate Industrials Energy Materials Cash
Water & Power Employees’ Retirement Plan
31
Other Characteristics
Number of Holdings: 49
Cash: 2.5%
Dividend Yield: 0.6%
Portfolio Characteristics
As of 2/29/20.Dollar-Weighted Median EPS Growth shown. S&P 500® EPS are estimates determined by Jennison investment professionals based on qualitative and quantitative factors. R1000G = Russell 1000® Growth Index. See Portfolio Notes in the Additional Information and Disclosures section for term definitions.
Water & Power Employees’ Retirement Plan
R1000G
S&P 500®
14
19
1312
9 8
0%
5%
10%
15%
20%
2019E 2020E
EPS Growth
34
272522
18 17
0
5
10
15
20
25
30
35
40
2019E 2020E
P/E
136123
189
159
0%
25%
50%
75%
100%
125%
150%
175%
200%
2019E 2020E
Relative P/E
340
76
361
12
265
21
04080
120160200240280320360400
Weighted Average Median
Market Capitalization ($Billion)
32
Portfolio Characteristics & Risk Measures and Controls
As of 2/29/20.Source for data: FactSet. ^Data is for the last twelve months. ~Data is from 3/1/15-2/29/20. *Information is supplemental to the Large Cap Growth Equity Composite presentation as provided in the Appendix. R1000G = Russell 1000® Growth Index. See Large Cap Growth Equity Composite presentation and Portfolio Notes in the Additional Information and Disclosures section for index and term definitions. Past performance does not guarantee future results.
Holdings Based^ LCG Rep Account* R1000G
ROE 23.4% 30.8%
Price/Book 8.7 7.8
Price/Sales 5.1 3.3
Price/Cash Flow 23.8 17.7
Annualized Turnover 42% --
Risk Adjusted Returns~ LCG Composite R1000G
Annualized Standard Deviation 14.8% 13.0%
Tracking Error 4.36% --
Relative Volatility 1.14x --
R Squared 92% 100%
Correlation 0.96 --
Beta 1.09 1.00
Alpha 0.01 0.00
Sharpe Ratio 0.84 0.87
Information Ratio 0.27 --
Jensen Alpha 0.25 --
Treynor Ratio 11.45 11.31
Value at Risk -8.6 -8.6
60-month average cost per share as of 2/29/20: $0.032
33
Risk/Return
Data from 3/1/15 to 2/29/20. Gross of Fee.Source for data: FactSet. See Large Cap Growth Equity Composite presentation and Portfolio Notes in the Additional Information and Disclosures section for index and term definitions. Past performance does not guarantee future results.
Large Cap Growth Equity Composite Russell 1000® Growth Index
34
Fee Schedule
35
Water & Power Employees’ Retirement Plan
Fee Schedule
The above schedule is offered for separately managed accounts with Large Cap Growth clients. Minimum institutional separate account size is typically $50 million.Minimum institutional defined contribution separate account size is typically $100 million. The term assets managed includes all income receivables and incomeaccruals. Jennison reserves the right to waive minimum account sizes at our discretion.
If assets under management are greater than or equal to $500 million, the annual fee schedule
shall be as follows:
25bps on all assets
If assets under management fall under $500 million, the annual fee schedule shall be as follows:
75bps on first $10 million assets managed;
50bps on the next $30 million;
35bps on the next $25 million;
25bps on the next $335 million;
22bps on the balance.
36
Additional Information
and Disclosures
37
Additional Information
Significant Firm Changes
There were no significant firm changes.
Team Changes
Seth Ginns, who had been with the Large Cap Growth team since 2002, left the firm at the end of
2019 to join a small firm that manages cryptocurrency/block chain/fin tech assets. The energy,
diversified industrials, and select consumer companies Seth covered continue to be covered by other
Jennison analysts.
As of 2/29/20.See Portfolio Notes in the Additional Information and Disclosures section for GICS classification.
38
Blair A. Boyer, Managing Director, Co-Head of Large Cap Growth EquityBlair is the Co-Head of Large Cap Growth Equity and a large cap growth equity portfolio manager. He joined Jennison in 1993as an international equity analyst and portfolio manager. He joined the large cap growth team as a portfolio manager in2003. Prior to Jennison, Blair managed international equity portfolios for five years at Bleichroeder. Before that, he was aresearch analyst and then a senior portfolio manager at Verus Capital. Blair received a BA in economics from BucknellUniversity and an MBA from New York University's Stern School of Business.
Michael Del Balso, Managing DirectorMichael is a large cap growth equity portfolio manager. He joined Jennison in 1972 as a research analyst and became aportfolio manager in 1999. Previously, he was a vice president and portfolio manager for four years at White, Weld &Company. Michael received a BS in industrial administration from Yale University and an MBA from Columbia University.
Biographies - Large Cap Growth Equity Portfolio Management
Spiros Segalas, Founder, President & Chief Investment OfficerOne of the founders of Jennison in 1969, Spiros “Sig” Segalas has built the firm into an institutional investment manager witha range of equity and fixed income investment strategies and assets under management of more than $175 billion. He hasmanaged Jennison client portfolios over the past half century. Sig began his investment career at Bankers Trust as a researchanalyst, before managing client assets. Prior to Bankers Trust, he worked in the shipping and construction industries andserved as an officer in the US Navy. Sig received a BA in economics from Princeton University.
Kathleen A. McCarragher, Managing Director, Head of Growth EquityKathleen is the Head of Growth Equity and a large cap growth equity portfolio manager. She joined Jennison in 1998. Priorto Jennison, she spent six years with Weiss, Peck & Greer, where she was a managing director and the director of large capgrowth equities. Previously, she spent 10 years with State Street Research & Management. Kathleen received a BBA,summa cum laude, in finance and economics from the University of Wisconsin-Eau Claire and an MBA from HarvardBusiness School.
39
Rebecca Irwin, Managing DirectorRebecca is a large cap growth portfolio manager and research analyst. She joined Jennison in 2006. Previously, she worked asa health care analyst at Viking Global Investors. In the decade before Viking, she was with UBS and Salomon Smith Barney.Before that, she was a corporate associate at Fried, Frank, Harris, Shriver & Jacobson. Rebecca received a BA in economicsfrom Queen’s University at Kingston, an LLB from the University of Toronto, and an LLM from Harvard Law School.
Natasha Kuhlkin, CFA, Managing DirectorNatasha is a large cap growth equity portfolio manager and research analyst. She joined Jennison in 2004. Prior to Jennison,she was an equity research analyst for five years, first at Evergreen Investment Management then at Palisade CapitalManagement. Natasha received a BS, magna cum laude, in accounting from Binghamton University.
40
Biographies - Global Equity Investment Team
Thomas F. Davis, Managing DirectorTom joined Jennison in 2011 as a global equity portfolio manager. He was previously with Loomis Sayles for 11 years, mostrecently as a co-portfolio manager of global equity portfolios. He began his tenure at Loomis as a research analyst. Prior toLoomis, Tom was a global equity research analyst at Putnam Investments. Tom received a BA in economics from DartmouthCollege and an MBA from Duke University.
Mark B. Baribeau, CFA, Managing DirectorMark is the Head of Global Equity and a global equity portfolio manager. He joined Jennison in 2011. He was previously withLoomis Sayles for more than 21 years, where he was a global equity and large cap growth portfolio manager. Prior to Loomis,he was an economist at John Hancock Financial Services. Mark received a BA in economics from the University of Vermontand an MA in economics from the University of Maryland.
41
Biographies - Equity Research
David Chan, CFA, Managing DirectorDavid is a health sciences equity portfolio manager and research analyst. He joined Jennison in 1992. He was previously withthe Boston Consulting Group, where he was a team leader and consultant on projects in a wide variety of industries, but with aspecial focus in the health care area. David received a BA in biochemistry from Harvard University and an MBA from ColumbiaUniversity.
N. Owuraka Koney, CFA, Managing DirectorOwuraka is an equity research analyst. He joined Jennison in 2007. Prior to Jennison, he worked as an equity researchassociate covering the aerospace and defense sector at UBS. Owuraka received a BA in economics and political science fromWilliams College.
Erika Klauer, Managing DirectorErika is a technology equity portfolio manager and research analyst. She joined Jennison in 2001. Prior to Jennison, she wasdirector of global semiconductor research at Deutsche Bank Alex. Brown and a senior semiconductor equipment analyst atSalomon Brothers. She began her career at Paine Webber. Erika received a BA in English and philosophy from GeorgetownUniversity.
Debra Netschert, Managing DirectorDebra is a health sciences equity portfolio manager and research analyst. She joined Jennison in 2008. Prior to Jennison, sheworked at Magnetar Capital where she was a senior analyst responsible for health care coverage. Prior to Magnetar, sheworked at Amaranth Advisors and Lazard Capital Markets. She began her research career as an associate biotechnologyanalyst at UBS. She received a BS in health science and MS in physical therapy from Boston University.
42
Steven M. Postal, CFA, Managing DirectorSteven is an equity research analyst. He joined Jennison in 2016. Before Jennison, he worked as a research analyst atEverPoint Asset Management covering medical devices and health care services companies. Previously, he was a healthcareanalyst and portfolio manager at GE Asset Management. Prior to GE, he worked at Lehman Brothers as a healthcare supplychain analyst and began his career as an associate research analyst at Lehman. Steven received a BBA from GeorgeWashington University.
Nicolas Rubinstein, Managing DirectorNick is a technology equity portfolio manager and research analyst. He joined Jennison in 1997. He was previously an analystfor the technology corporate finance group at Morgan Stanley, where he focused on the financing needs and strategicpositioning of companies in high-technology industries. Prior to Morgan Stanley, Nick was an analyst for the technologycorporate finance group at Paine Webber. He received a BA with honors in international relations from Brown University.
Andrew M. Tucker, CFA, Managing DirectorAndrew is a financial services equity portfolio manager and research analyst. He joined Jennison in 1997. Prior to Jennison, hewas an equity analyst and portfolio manager at the Wachovia Bank of North Carolina. Prior to that, he was a corporate loancredit officer. He began his career as a financial analyst in Wachovia's mergers and acquisitions group. Andrew graduatedmagna cum laude with a BSBA from Washington and Lee University.
David A. Ravera, Managing DirectorDavid is an equity research analyst. He joined Jennison in 2000. Previously, he was an equity analyst at Putnam Investmentsand Paine Webber. He received a BA with honors in economics from Trinity College, graduating Phi Beta Kappa, and an MBAfrom the Tuck School of Business at Dartmouth College.
43
Christina Zhang, RN, Managing DirectorChristina is an equity research analyst. She joined Jennison in 2013. She was previously with Barclays Capital for three yearsas a biotechnology and life sciences tools and diagnostics analyst. She received a BS in economics with a concentration inhealth care management from the Wharton School of the University of Pennsylvania and a BS in nursing from the University ofPennsylvania School of Nursing.
Alison Yang, MD, Managing DirectorAlison is an equity research analyst. She joined Jennison in 2014. She was previously a senior analyst covering biotechnologyand pharmaceuticals at JP Morgan Asset Management and a team analyst at Barclays Capital. She began her career at OliverWyman Group’s health and life sciences practice. She received a BS in molecular biochemistry and biophysics from YaleUniversity and an MD from Harvard Medical School.
44
Biographies - Client Relationship Management
Richard K. Mastain, Managing DirectorRichard is a portfolio specialist and a client relationship manager for Jennison's large cap growth strategies. He joined Jennisonin 2000. Prior to Jennison, Richard spent seven years at Dreman Value Advisor/Zurich Investment Management, where he wasresponsible for client service and marketing. He received a BA in history from Bowdoin College.
Peter H. Reinemann, CFA, Managing DirectorPeter is a relationship manager. He joined Jennison in 1992. Prior to joining Jennison, Peter was a vice president at ParibasAsset Management where he was responsible for developing the firm's global asset allocation, global fixed income, and regionalequity asset management activities in North America. He graduated cum laude with a BA in philosophy from Boston University.
45
Notes
Unless otherwise noted, all non-performance portfolio data provided is based on a representative Jennison Large Cap Growth Equity portfolio. The representative portfolio
was selected because it is in the composite and we believe the holdings, characteristics and risk profile are representative of this strategy.
These materials may not take into account all individual client circumstances, objectives or needs. Jennison makes no representations regarding the suitability of any
securities, financial instruments or strategies described in these materials for particular clients or prospects.
These materials are not intended as an offer or solicitation with respect to the purchase or sale of any security or other financial instrument or any investment
management services. These materials do not constitute investment advice and should not be used as the basis for any investment decision. There is no assurance that
any securities discussed herein will remain in an account’s portfolio at the time you receive this report or that securities sold have not been repurchased. It should not be
assumed that any of the securities transactions or holdings discussed were or will prove to be profitable, or that the investment recommendations or decisions we make in
the future will be profitable or will equal the investment performance of the securities discussed herein.
These materials do not purport to provide any legal, tax or accounting advice.
For ERISA Clients and Prospects - These materials are for informational or educational purposes. In providing these materials, Jennison is not acting as your fiduciary and is
not giving advice in a fiduciary capacity.
Portfolio
Unless otherwise noted, source for Russell® Indices data: Mellon Analytical Solutions or FactSet. Source for S&P 500® Index data: Standard & Poor’s or FT Interactive Data Corporation.
Client Performance Information: Performance results are calculated in US dollars and reflect reinvestment of dividends and other earnings. Gross of fee performance is presented before
custodial and Jennison’s actual advisory fees but after transaction costs. Where provided, net of fee performance is presented net of Jennison’s actual advisory fees and transaction costs.
Certain third party information in this document has been obtained from sources that Jennison believes to be reliable as of the date presented; however, Jennison cannot guarantee the
accuracy of such information, assure its completeness, or warrant such information will not be changed. Jennison has no obligation to update any or all such third party information.
Due to rounding, calculations based on the returns provided may not result exactly in Excess Returns shown. Excess Return is the additional return generated by the portfolio or composite
relative to the market index.
Excess returns for the value add chart are calculated using the rolling 1-year, 5-year, and 10-year annualized composite return minus the rolling 1-year, 5-year, and 10-year annualized index
return.
Due to rounding, percentages may not sum to 100% or totals shown. If shown, the cash percentage represents trade date cash and cash equivalents.
The Russell 1000® Growth Index (R1000G) contains those securities in the Russell 1000 Index with a greater-than-average growth orientation. Companies in this index tend to exhibit higher
price-to-book and price-to-earnings ratios. The S&P 500® Index provides a broad indicator of stock price movements. The financial indices referenced herein are provided for informational
purposes only. When comparing the performance of a manager to its benchmark(s), please note that the manager's holdings and portfolio characteristics may differ from those of the
benchmark(s). Additional factors impacting the performance displayed herein may include portfolio-rebalancing, the timing of cash flows, and differences in volatility, none of which impact the
performance of the financial indices. Financial indices are unmanaged and assume reinvestment of dividends but do not reflect the impact of fees, applicable taxes or trading costs which may
also reduce the returns shown. All indices referenced in this presentation are registered trade names or trademark/service marks of third parties. References to such trade names or
trademark/service marks and data is proprietary and confidential and cannot be redistributed without Jennison's prior consent. Investors cannot directly invest in an index.
GICS Classification: The Global Industry Classification Standard (“GICS”) was developed by and is the exclusive property and a service mark of MSCI, Inc. (“MSCI”) and Standard & Poor’s
Financial Services LLC (“S&P”) and is licensed for use by Jennison Associates LLC “as is”. As of October 1, 2009, Jennison Associates LLC (“Jennison”) does not reclassify securities classified
by S&P/MSCI GICS. Only securities not classified by S&P/MSCI GICS will be classified by Jennison. Therefore, this report may include companies that have been classified by S&P/MSCI GICS or
classified by Jennison. Companies classified by Jennison are not sponsored by the S&P/MSCI GICS classification system. Jennison has excluded the Utilities sector from data charts as it
considers the sector’s small weighting within the Russell 1000® Growth Index non-material. Companies within the sector typically do not possess the fundamental attributes that meet the
strategy’s requirements for investment. The Portfolio does not hold securities in the sector.
46
Notes
Portfolio (continued)
Average Weight is the dollar value (price times the shares held) of the security or group, divided by the total dollar value of the entire portfolio displayed as a percentage. It is calculated as the
simple arithmetic average of daily values. Total Return is the price change of a security or group including dividends accrued over the report period or the "in-portfolio return" which includes
only the time period that each security was in the portfolio. Contribution to Return is the contribution of a security or group to the overall portfolio return. It is calculated as the security weight
multiplied by the daily security return linked daily across the reporting period. Allocation Effect is the portion of portfolio excess return that is attributable to taking different group bets from the
benchmark. (If either the portfolio or the benchmark has no position in a given group, allocation effect is the lone effect.) A group’s allocation effect equals the average percent capitalization of
the portfolio’s group minus the average percent cap of the benchmark’s group times the total return of the benchmark group minus the total return of the benchmark. Stock Selection is the
portion of portfolio excess return attributable to choosing different securities within groups from the benchmark. A group’s security selection effect equals the average weight of the
benchmark’s group times the total return of the portfolio’s group minus the total return of the benchmark’s group. It is calculated as the security weight multiplied by the daily security return
linked daily across the reporting period. Total Effect is the sum of Allocation Effect and Stock Selection. The total effect represents the opportunity cost of what was done in a group relative to
the overall portfolio. It is not just the difference between percent contribution in the portfolio and benchmark. At the overall portfolio level, the two numbers are equal. At the group level, they
can be different. This information should not be considered as a recommendation to purchase or sell a particular security and there is no assurance that certain securities will remain in or out
of the portfolio. These sectors, stock selections and holdings may change at any time and may not represent current or future sectors or stock selections.
Holdings Information: The securities discussed do not represent an account’s entire portfolio and in the aggregate may represent only a small percentage of an account’s portfolio holdings.
Please note that certain securities of foreign issuers may be held as ADRs. Additionally, different classes of securities from the same issuer may be combined for illustrative purposes. Please
see Portfolio Holdings page for a complete list of the securities held in the portfolio.
The Estimated 3 Yr Growth Rates are expected earnings based on long-term market trends, rather than short-term considerations. They are determined by Jennison investment professionals
and are subject to periodic change.
Portfolio EPS are estimates and are based on Jennison and I/B/E/S estimates. Russell 1000® Growth Index EPS are I/B/E/S data. Portfolio and Russell 1000® Growth Index earnings growth
rates are calculated using dollar weighted median methodology and P/Es are calculated using weighted harmonic average. S&P 500® EPS are estimates determined by Jennison investment
professionals based on quantitative and qualitative factors. Estimates are subject to change without prior notice. Although Jennison believes that the expectations reflected in such forward
looking statements are based on reasonable assumptions, actual results may differ materially from those projected.
Jennison’s calculations as noted above may include subjective factors and it is possible that each of these estimates may differ from data published elsewhere by these third parties. The EPS
and P/E illustrations are not sponsored by, endorsed by or prepared by Russell® or Standard & Poor’s.
GDP data are provided by the US Department of Commerce Bureau of Economic Analysis.
47
Glossary of Investment Terms
48
Glossary of Investment Terms
Alpha: A risk (beta-adjusted) return measurement. If two managers had the same return, but one had a lower beta, that manager would have a higher alpha.
Beta: Measures the volatility of the composite relative to the chosen risk market index.
Correlation: A statistical measure of the degree to which the movements of two variables are related.
Dividend Yield: The ratio of a security’s dividend payment relative to its share price.
Information Ratio: The excess return of the composite over the market index divided by the Tracking Error.
Jensen Alpha: A risk-adjusted performance measure that is the excess return of a portfolio over and above that predicted by the CAPM, given the portfolio's beta and the average market return.
Jensen Alpha measures the value added of an active strategy.
Price to Book Ratio: Price to Book Ratio is the ration of a stock’s price to its book value per share.
Price to Sales Ratio: Price to Sales Ratio is the ratio of a stock’s price to its per-share sales.
R Squared: Used in style analysis to determine how much information about the composite return series the style benchmark has been able to capture. The higher the R-squared, the better
the benchmark.
Relative Volatility: It's a measure of the volatility in comparison to another asset or index
ROE: The amount of net income returned as a percentage of shareholders equity. Return on equity measures a corporation's profitability by revealing how much profit a company generates
with the money shareholders have invested.
Sharpe Ratio: The measure of risk adjusted returns. It is a risk-adjusted measure developed by Professor William F. Sharpe, which measures reward per unit of risk. The higher the Sharpe
Ratio, the better. The numerator is the difference between the portfolio’s annualized return and the annualized return of the risk-free instrument (T-Bills). The denominator is the portfolio’s
annualized standard deviation. It is the performance of the Composite less the performance of the risk-free instrument divided by the standard deviation of the Composite.
Standard Deviation: A statistical measure of the degree to which an individual value in a probability distribution tends to vary from the mean of the distribution. The annualized standard
deviation shows how far away numbers on a list are from their averages and takes that number and multiplies it by the square root of the frequency. For example, monthly frequency would
multiply the standard deviation * the square root of 12 ( 3.4641). The greater degree of dispersion, the greater degree of risk.
Tracking Error: The standard deviation of the difference in monthly returns between the composite and the market index.
Treynor Ratio: Measures reward per unit of beta risk. The number of this ratio is the difference between the portfolio annualized return, and the annualized return of the risk-free instrument (T-
Bills). The denominator is the portfolio’s beta.
Turnover: The percentage of a portfolio that is sold in a particular month or year.
Value at risk (VaR): Quantifies the level of financial risk within a firm, portfolio or position over a specific time frame.
49
Large Cap Growth Equity CompositeDecember 31, 2009 to December 31, 2019
1. Jennison Associates LLC (Jennison or the Firm) claims compliance with the Global Investment Performance Standards (GIPS®) and has prepared and presented this report in
compliance with the GIPS standards. Jennison has been independently verified for the period from January 1, 1993 through December 31, 2018. A firm that claims compliance
with the GIPS standards must establish policies and procedure for complying with all applicable requirements of the GIPS standards. Verification provides assurance on whether
the firm’s policies and procedures related to composite and pooled fund maintenance, as well as the calculation, presentation, and distribution of performance, have been
designed in compliance with the GIPS standards and have been implemented on a firm-wide basis. The Large Cap Growth Equity Composite (Composite) has been examined for
the period from January 1, 1993 through December 31, 2018. The verification and performance examination reports are available upon request.
2. GIPS® is a registered trademark of CFA Institute. CFA Institute does not endorse or promote this organization, nor does it warrant the accuracy or quality of the content contained
herein.
3. Jennison Associates LLC is an investment adviser registered under the Investment Advisers Act of 1940, as amended, and an indirect wholly owned subsidiary of Prudential
Financial, Inc. (Parent). Registration does not imply a certain level of skill or training. Prudential Financial, Inc. of the United States is not affiliated in any manner with Prudential
plc, a company incorporated in the United Kingdom. On January 1, 2006, Jennison redefined the Firm to include JMA assets, for all periods after January 1, 2006.
4. The Composite inception date was July 31, 1969 and the creation date under the GIPS standards was January 1, 1993. The Large Cap Growth Equity strategy seeks long-term
growth of capital by investing primarily in stocks of large cap companies we believe, based on fundamental analysis, have sustainable above-average earnings growth. Valuations
of these companies may likewise be above the market average. Accounts in this Composite typically have approximately 50-70 holdings. Starting January 1, 2018, accounts that
cannot hold both foreign ordinary securities and unlisted ADRs, which were deemed a material part of the strategy, are not included in the composite. A list of Jennison’s
composite descriptions is available upon request. Policies for valuing portfolios, calculating performance, and preparing compliant presentations are available upon request.
5. Performance results are calculated in US dollars and reflect reinvestment of dividends and other earnings. Gross of fee performance is presented before custodial and
Jennison’s actual advisory fees but after transaction costs. Net of fee performance is presented net of Jennison’s actual advisory fees and transaction costs. Returns are gross of
reclaimable withholding taxes, if any, and net of non-reclaimable withholding taxes. For a large cap growth equity separate account the fee schedule offered to institutional
clients is as follows: 0.75% on first $10 million of assets managed; 0.50% on next $30 million; 0.35% on next $25 million; 0.25% on next $335 million; 0.22% on the balance.
Actual advisory fees charged and actual account minimum size may vary by account due to various conditions described in Jennison Associates LLC’s Form ADV.
6. The data presented represents past performance and does not guarantee future results. Performance results fluctuate, and there can be no assurances that objectives will be
achieved. Client’s principal may be at risk under certain market conditions.
7. The annual composite dispersion presented is an equal weighted standard deviation calculated for the accounts in the composite for the entire year. For annual periods with
less than 6 accounts included for the entire year, dispersion is not presented. The three-year annualized ex-post standard deviation is not required to be presented prior to 2011
or when 36 monthly composite returns are not available.
8. The Benchmark for the Strategy is the Russell 1000® Growth Index. Prior to April 1, 2018, the S&P 500® Index and Lipper Large Cap Growth Funds Index were presented as
secondary benchmarks. The benchmarks were removed as it was determined that the primary benchmark is considered most representative of the strategy.
Year Ended
Composite Gross of Fee Returns (%)
Composite Net of Fee
Returns (%)
Russell 1000® Growth Index Returns (%)
Composite Gross of Fee 3-Yr Std Dev
(%)
Russell 1000® Growth Index
3-Yr Std Dev (%)
Composite Assets
($ in Millions) # of
Accounts Internal Dispersion (Equal-Weighted)
Total Firm Assets
($ in Millions) 2010 12.51 12.20 16.71 20.97 22.11 36,625.9 97 0.52 123,901.0
2011 1.14 0.87 2.64 17.60 17.76 35,182.1 95 0.32 135,729.3
2012 16.79 16.49 15.26 17.03 15.66 41,370.1 90 1.28 156,514.8
2013 38.26 37.91 33.48 13.76 12.18 52,229.8 87 0.88 175,312.2
2014 10.60 10.33 13.05 11.90 9.59 55,316.8 88 0.53 184,048.8
2015 11.68 11.40 5.67 12.01 10.70 56,974.7 96 0.33 174,180.3
2016 -0.12 -0.37 7.08 13.36 11.15 50,325.6 90 0.63 159,780.6
2017 37.38 37.04 30.21 12.52 10.54 59,815.7 87 0.66 175,421.4
2018 -0.17 -0.41 -1.51 14.17 12.13 52,801.4 86 0.68 160,734.1
2019 33.81 33.49 36.39 14.79 13.07 60,391.3 79 0.67 173,202.0