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<CBDoc TenantId="2" EntityTypeId="3100" EntityId="241" DocumentTypeId="1" EffectiveDate="09/30/2019" Interval="3" Description="Quarterly Report" />
Investment Performance Review
Period Ending September 30, 2019
Coral Gables Retirement System
3rd Quarter 2019 Market Environment
1
Broad asset class returns were mixed during the 3rd quarter of 2019 with both
US large cap equity and fixed income indices extending their year-to-date
gains while US small cap and international indices declined. Volatility was high
during the period as investors weighed the effects of ongoing trade disruption
and slowing global economic data against the announcement of several new
central bank stimulus measures. US stocks continued their year-to-date
outperformance relative to international stocks during the period. US markets
faced headwinds from continued escalation in the ongoing trade dispute with
China, slowing economic data, particularly with regards to manufacturing, and
political uncertainty following a late quarter impeachment inquiry against
President Donald Trump. However, markets were supported by easing
monetary policy from the Federal Reserve (Fed) which cut interest rates twice
during the period. In general, lower risk assets performed better through the
period as investors weighed the increased risk of a recession. Within domestic
equity markets, large cap stocks outperformed small cap equities during the
quarter with the S&P 500 Index returning 1.7% versus a -2.4% return on the
small cap Russell 2000 Index. US equity returns over the 1-year period were
positive for large and mid-cap stocks, returning 4.3% and 3.2% respectively,
but small cap stocks posted a loss, falling -8.9%.
International markets posted negative returns for the 3rd quarter. Similar to US
markets, international returns were impacted by continued weakness in
economic data, heightened geopolitical uncertainly around global trade and
Brexit and newly announced stimulus measures from global central banks
including the European Central Bank (ECB) and Peoples Bank of China
(PBoC). International returns also faced headwinds from a strengthening US
dollar (USD) which appreciated against most major currencies during the
period. Developed markets continued their outperformance relative to
emerging markets during the period with the MSCI EAFE Index falling -1.1%
versus a -4.2% decline for the MSCI Emerging Markets Index. Both developing
and emerging markets posted slight losses over the 1-year period, returning
-1.3% and -2.0% respectively.
Fixed income returns outperformed equities during the 3rd quarter as investors
looked for relative safety amid the equity market volatility. The broad market
Bloomberg Barclays Aggregate Index gained 2.3% as interest rates fell
following central bank stimulus from the Fed and other global central banks.
The US Treasury Yield Curve also inverted in August, contributing to growing
concern around the potential for an upcoming recession. Investment grade
corporate issues were the best performing securities for the third quarter in a
row, returning 3.0%, outperforming Treasury and securitized issues. Corporate
issues benefitted from their relatively high duration and yield. The bond market
has meaningfully outperformed the equity market over the trailing 1-year
period with the Bloomberg Barclays Aggregate posting a solid 10.3% return.
Source: Investment Metrics
The Market EnvironmentMajor Market Index Performance
As of September 30, 2019
0.6%
3.0%
1.4%
1.3%
2.4%
2.3%
-2.4%
0.5%
1.4%
1.2%
1.7%
-4.2%
-1.1%
-1.8%
-5.0% -4.0% -3.0% -2.0% -1.0% 0.0% 1.0% 2.0% 3.0% 4.0%
3-Month T-Bill
Bbg Barclays Corp IG
Bbg Barclays MBS
Bbg Barclays US TIPS
Bbg Barclays US Govt
Bbg Barclays US Agg
Russell 2000
Russell MidCap
Russell 1000
Russell 3000
S&P 500
MSCI Emerg Mkts
MSCI EAFE
MSCI ACWxUS
Quarter Performance
2.4%
13.0%
7.8%
7.1%
10.4%
10.3%
-8.9%
3.2%
3.9%
2.9%
4.3%
-2.0%
-1.3%
-1.2%
-10.0% -5.0% 0.0% 5.0% 10.0% 15.0%
3-Month T-Bill
Bbg Barclays Corp IG
Bbg Barclays MBS
Bbg Barclays US TIPS
Bbg Barclays US Govt
Bbg Barclays US Agg
Russell 2000
Russell MidCap
Russell 1000
Russell 3000
S&P 500
MSCI Emerg Mkts
MSCI EAFE
MSCI ACWxUS
1-Year Performance
2
Source: Investment Metrics
The Market EnvironmentDomestic Equity Style Index Performance
As of September 30, 2019
US equity returns were modestly positive during the 3rd quarter, but results
varied considerably across the style and capitalization spectrum. Data
released during the quarter showed signs that the US economy could be
slowing down. Weakening metrics around manufacturing and sentiment were
particularly concerning and employment, typically a bright spot for the US
economy, missed expectations for the pace of new jobs and hours worked. A
likely contributor to the softening economic data is the ongoing trade war
between the US and China. Despite last quarter’s agreement to cease
escalations following a meeting between President Trump and President
Jinping at the G20 summit, the 3rd quarter saw the announcement and
implementation of a series of new tariffs from both the US and China.
Additionally, in response to new tariffs, the PBoC allowed the yuan to
depreciate to its lowest level since 2008 leading US Treasury officials to
accuse China of currency manipulation. Even with the apparent breakdown in
relations between the two sides, both China and the US agreed to continue
negotiations set to take place in October. Markets also reacted to the late
quarter announcement of a formal impeachment inquiry against President
Trump following a whistle blower report alleging that President Trump
pressured the government of Ukraine to investigate the son of political
opponent Joe Biden. Despite these substantial headwinds, the US equity
market found support from Fed easing of monetary policy in the form of two
separate interest rate cuts and ended the period with a gain. The Russell 3000
Index returned 1.2% and 2.9% for the quarter and 1-year period respectively.
During the quarter, higher market cap stocks outperformed lower market cap
stocks across the style spectrum. The large cap Russell 1000 Index gained
1.4% during the period versus a -2.4% return for the small cap Russell 2000
Index. Investors may have been attracted to large cap names as a result of the
quarter’s volatility as large cap stocks are typically viewed as less risky than
their small cap counterparts. When viewed over the most recent 1-year period,
large cap stocks significantly outperformed small cap stocks with the Russell
1000 posting a 3.9% gain while the while the Russell 2000 had considerable
losses, declining -8.9%.
In general, value stocks outperformed growth stocks during the 3rd quarter as
investors gravitated toward the relative safety these securities typically provide.
However, large cap growth stocks slightly outperformed large cap value stocks
due to favorable holdings in the technology and industrials sectors as well as a
large underweight to the underperforming energy sector. The Russell 1000
Growth Index was the best performing style index for the period, returning
1.5%, with the small cap growth index posting the lowest relative return, a loss
of -4.2%. Results over the 1-year period are mixed with value stocks
outperforming in large and small cap and growth stocks outperforming in mid-
cap.
-4.2%
-2.4%
-0.6%
-0.7%
0.5%
1.2%
1.5%
1.4%
1.4%
1.1%
1.2%
1.2%
-5.0% -4.0% -3.0% -2.0% -1.0% 0.0% 1.0% 2.0%
2000 Growth
2000 Index
2000 Value
MidCap Growth
MidCap Index
MidCap Value
1000 Growth
1000 Index
1000 Value
3000 Growth
3000 Index
3000 Value
Quarter Performance - Russell Style Series
-9.6%
-8.9%
-8.2%
5.2%
3.2%
1.6%
3.7%
3.9%
4.0%
2.7%
2.9%
3.1%
-12.0% -10.0% -8.0% -6.0% -4.0% -2.0% 0.0% 2.0% 4.0% 6.0%
2000 Growth
2000 Index
2000 Value
MidCap Growth
MidCap Index
MidCap Value
1000 Growth
1000 Index
1000 Value
3000 Growth
3000 Index
3000 Value
1-Year Performance - Russell Style Series
3
Sector performance was mixed across large cap sectors for the 3rd quarter.
There were gains for eight out of eleven sectors within the Russell 1000
Index during the period with six sectors outpacing the return of the index.
Defensive sectors such as utilities, real estate and consumer staples were
the best performers through the quarter returning 8.3%, 7.8% and 5.9%
respectively as investors looked toward these sectors for their higher yields
and lower historical volatility. Energy, health care and materials stocks were
the worst performers during the period. Energy stocks fell -6.9% as crude oil
prices fell during the period despite a sharp upward spike in September
following a terrorist attack in Saudi Arabia that temporarily reduced the
country’s oil production, causing a large disruption in supply. Health care
stocks also lagged, declining -2.8%, as discussions in Washington around
the potential for increased regulation on drug pricing acted as a headwind.
Health care reform has also been a major topic of discussion among
candidates for the 2020 US Presidential election, creating additional
uncertainty within the sector. Materials returned -0.2% as demand concerns
weighed on the economically sensitive sector. Returns over the 1-year period
were also generally positive with eight out of eleven sectors posting gains.
Similar to the quarter’s results, defensive sectors outperformed by a
considerable margin. Utilities, real estate and consumer staples performed
well returning 26.3%, 22.1% and 16.0% respectively. Technology returns
were also strong gaining 8.2%. Energy, health care and materials were the
only sectors to post negative results over the 1-year period with energy falling
-21.4%, health care dropping -4.0% and materials returning -0.2%.
Quarterly results for small cap sectors were worse than their large
capitalization counterparts with all eleven sectors trailing their corresponding
large cap equivalents. Five of eleven economic sectors produced gains
during the period with seven of eleven sectors outpacing the Russell 2000
Index return for the quarter. Similar to large caps, defensive sectors
performed well as investors gravitated toward their relative safety and higher
yields. Utilities were the best performers, returning 5.4% followed closely by
REITs and consumer staples which returned 5.1% and 4.3% respectively.
The cyclically oriented energy sector was the largest detractor for the period,
posting a loss of -20.6%. Health care and communication services stocks
also experienced notable declines, falling -9.2% and -8.2% respectively. Over
the trailing 1-year period, returns were broadly negative. Utilities, real estate
and technology were the only sectors to post gains returning 20.1% 7.3% and
6.1%. The energy sector was an outlier in terms of negative returns dropping
-48.8% during the period. There were also notable losses in health care,
communication services and materials which declined -21.4%, -19.4% and -
18.7% respectively.
The Market EnvironmentGICS Sector Performance & (Sector Weight)
As of September 30, 2019
Source: Morningstar DirectAs a result of the GICS classification changes on 9/28/2018 and certain associated reporting limitations, sector performance represents backward looking performance for the prior year of each sector’s current constituency, post creation of the Communication Services sector.
26.3%
22.1%
-0.2%
8.2%
1.1%
-4.0%
4.1%
-21.4%
16.0%
1.8%
5.6%
8.3%
7.8%
-0.2%
2.6%
0.8%
-2.8%
2.1%
-6.9%
5.9%
0.5%
2.0%
-25.0% -20.0% -15.0% -10.0% -5.0% 0.0% 5.0% 10.0% 15.0% 20.0% 25.0% 30.0%
Utilities (3.2%)
Real Estate (3.8%)
Materials (2.9%)
Info Technology (22.0%)
Industrials (9.7%)
Health Care (13.7%)
Financials (13.2%)
Energy (4.5%)
Consumer Staples (6.8%)
Consumer Disc (10.4%)
Comm Services (9.8%)
Russell 1000 Quarter 1-Year
20.1%
7.3%
-18.7%
6.1%
-5.3%
-21.4%
-5.2%
-48.8%
-6.0%
-9.8%
-19.4%
5.4%
5.1%
-5.5%
1.0%
-0.4%
-9.2%
-0.5%
-20.6%
4.3%
0.5%
-8.2%
-50.0% -40.0% -30.0% -20.0% -10.0% 0.0% 10.0% 20.0% 30.0%
Utilities (4.0%)
Real Estate (7.7%)
Materials (3.8%)
Info Technology (14.2%)
Industrials (15.7%)
Health Care (16.3%)
Financials (17.9%)
Energy (3.4%)
Consumer Staples (2.9%)
Consumer Disc (11.3%)
Comm Services (2.7%)
Russell 2000 Quarter 1-Year
4
The Market EnvironmentTop 10 Index Weights & Quarterly Performance for the Russell 1000 & 2000
As of September 30, 2019
Source: Morningstar Direct
Top 10 Weighted Stocks Top 10 Weighted Stocks
Russell 1000 Weight1-Qtr
Return1-Year Return
Sector Russell 2000 Weight1-Qtr
Return1-Year Return
Sector
Microsoft Corp 3.82% 4.1% 22.9% Information Technology NovoCure Ltd 0.34% 18.3% 42.7% Health Care
Apple Inc 3.68% 13.6% 0.8% Information Technology Haemonetics Corp 0.33% 4.8% 10.1% Health Care
Amazon.com Inc 2.61% -8.3% -13.3% Consumer Discretionary Trex Co Inc 0.28% 26.8% 18.1% Industrials
Facebook Inc A 1.55% -7.7% 8.3% Communication Services Science Applications International 0.27% 1.3% 10.4% Information Technology
Berkshire Hathaway Inc B 1.48% -2.4% -2.8% Financials Portland General Electric Co 0.26% 4.8% 27.2% Utilities
JPMorgan Chase & Co 1.36% 6.0% 7.4% Financials ONE Gas Inc 0.26% 7.0% 19.5% Utilities
Alphabet Inc Class C 1.35% 12.8% 2.1% Communication Services First Industrial Realty Trust Inc 0.26% 8.3% 29.3% Real Estate
Alphabet Inc A 1.33% 12.8% 1.2% Communication Services Southwest Gas Holdings Inc 0.26% 2.2% 18.2% Utilities
Johnson & Johnson 1.25% -6.4% -3.8% Health Care Maximus Inc 0.25% 6.9% 20.4% Information Technology
Procter & Gamble Co 1.12% 14.2% 54.0% Consumer Staples Teladoc Health Inc 0.25% 2.0% -21.6% Health Care
Top 10 Performing Stocks (by Quarter) Top 10 Performing Stocks (by Quarter)
Russell 1000 Weight1-Qtr
Return1-Year Return
Sector Russell 2000 Weight1-Qtr
Return1-Year Return
Sector
Insulet Corp 0.04% 38.2% 55.7% Health Care NextCure Inc 0.00% 105.9% N/A Health Care
CyrusOne Inc 0.03% 37.9% 28.8% Real Estate Dova Pharmaceuticals Inc 0.01% 98.2% 33.3% Health Care
KLA Corp 0.09% 35.7% 61.1% Information Technology WW International Inc 0.09% 98.0% -47.5% Consumer Discretionary
New York Community Bancorp Inc 0.02% 27.6% 28.7% Financials R.R.Donnelley & Sons Co 0.01% 94.7% -27.6% Industrials
Entegris Inc 0.02% 26.3% 63.9% Information Technology Infinera Corp 0.05% 87.3% -25.3% Information Technology
Pilgrims Pride Corp 0.01% 26.2% 77.1% Consumer Staples Lannett Co Inc 0.02% 84.8% 135.8% Health Care
Western Digital Corp 0.06% 25.4% 5.6% Information Technology Owens & Minor Inc 0.02% 81.6% -64.4% Health Care
DocuSign Inc 0.03% 24.6% 17.8% Information Technology Allakos Inc 0.08% 81.5% 74.8% Health Care
Target Corp 0.19% 24.4% 24.3% Consumer Discretionary Solid Biosciences Inc 0.01% 79.8% -78.1% Health Care
XPO Logistics Inc 0.02% 23.8% -37.3% Industrials Ardelyx Inc 0.01% 74.7% 8.0% Health Care
Bottom 10 Performing Stocks (by Quarter) Bottom 10 Performing Stocks (by Quarter)
Russell 1000 Weight1-Qtr
Return1-Year Return
Sector Russell 2000 Weight1-Qtr
Return1-Year Return
Sector
2U Inc 0.00% -56.7% -78.3% Information Technology Tocagen Inc 0.00% -90.1% -95.8% Health Care
PG&E Corp 0.02% -56.4% -78.3% Utilities Waitr Holdings Inc Class A 0.00% -79.6% -88.1% Consumer Discretionary
Covetrus Inc 0.00% -51.4% N/A Health Care McDermott International Inc 0.02% -79.1% -89.0% Energy
Sarepta Therapeutics Inc 0.02% -50.4% -53.4% Health Care Sonim Technologies Inc 0.00% -77.0% N/A Information Technology
Nektar Therapeutics Inc 0.01% -48.8% -70.1% Health Care Synlogic Inc 0.00% -74.8% -83.9% Health Care
DXC Technology Co 0.03% -46.2% -67.9% Information Technology Mallinckrodt PLC 0.01% -73.7% -91.8% Health Care
Antero Resources Corp 0.00% -45.4% -82.9% Energy Clovis Oncology Inc 0.01% -73.6% -86.6% Health Care
Range Resources Corp 0.00% -45.0% -77.3% Energy Bloom Energy Corp Class A 0.01% -73.5% -90.5% Industrials
Pluralsight Inc Class A 0.00% -44.6% -47.5% Information Technology Chaparral Energy Inc Class A 0.00% -71.5% -92.4% Energy
Fluor Corp 0.01% -42.5% -66.1% Industrials Pacific Drilling SA 0.01% -69.3% -99.7% Energy
5
Source: MSCI Global Index Monitor (Returns are Net)
Broad international equity returns were negative in USD terms for the 3rd
quarter as US investors in international markets faced a meaningful headwind
from a USD that strengthened against most major currencies. In local currency
terms, developed markets were generally positive while emerging markets
posted losses. The MSCI ACWI ex US Index gained 0.7% in local currency
terms, but a USD investor experienced a loss of -1.8% due to the currency
effect. Similar to US markets, international equity markets balanced headwinds
from slowing economic data and concerns around global trade with tailwinds
from central bank shifts toward more accommodative policies. Among others,
the ECB and PBoC announced new stimulus measures during the quarter.
The ECB cut its policy rate and committed to a new quantitative easing
program and the PBoC announced new stimulus measures designed to
encourage bank lending and reduce borrowing costs as it tries to counteract a
cooling economy and the effects of its ongoing trade war with the US. The
recent USD strength can also be seen over the 1-year period with USD returns
trailing most local currency returns. Returns for the MSCI ACWI ex US Index
were 1.3% in local currency terms and -1.2% in USD terms for the trailing
year.
Results for developed market international indices were generally positive in
local currency terms, but negative in USD terms for the 3rd quarter, with the
MSCI EAFE Index returning 1.8% and -0.9% respectively. Outside of central
bank policy and trade, there were notable developments within the political
sphere. In Europe, Christine Lagarde was nominated to succeed Mario Draghi
as the head of the ECB. Japanese stocks rose as election results appeared to
support continuity for Prime Minister Abe’s ongoing policy efforts. In the UK,
pro-Brexit Boris Johnson was appointed to prime minister, replacing Theresa
May. The UK continues to face uncertainty around Brexit as its late October
deadline to agree to a withdrawal agreement with the European Union (EU)
quickly approaches. Stocks in Hong Kong fell as the government dealt with
major pro-democracy protests throughout the quarter. The MSCI EAFE Index
returned 1.6% and -1.3% for the last twelve months in local currency and USD
terms respectively.
Emerging markets continued their trend of 2019 underperformance relative to
developed markets during the 3rd quarter, posting negative returns in both
local currency and USD terms. The MSCI Emerging Markets Index fell -2.1%
and -4.2% respectively. As expected, geopolitical tensions around trade
continued to put pressure on emerging market stocks. Countries with greater
sensitivities to commodity prices or a strong USD tended to underperform
during the period. Argentina’s stock market fell -46.8% as primary elections in
the country saw the defeat of the country’s current market friendly president.
One year returns for the MSCI Emerging Market Index were -0.2% in local
currency terms and -2.0% in USD terms.
The Market EnvironmentInternational and Regional Market Index Performance (Country Count)
As September 30, 2019
12.9%
-2.9%
3.9%
-0.2%
-4.0%
4.9%
1.6%
1.9%
1.3%
6.7%
-3.9%
0.9%
-2.0%
-2.2%
-0.9%
-1.3%
-1.0%
-1.2%
-6.0% -4.0% -2.0% 0.0% 2.0% 4.0% 6.0% 8.0% 10.0% 12.0% 14.0%
EM Latin Amer (6)
EM Asia (9)
EM EMEA (11)
Emerging Mkt (26)
Pacific (5)
Europe & ME (16)
EAFE (21)
WORLD x US (22)
AC World x US (48)
1-Year Performance USD Local Currency
0.9%
-2.3%
-3.3%
-2.1%
1.4%
2.0%
1.8%
1.8%
0.7%
-5.6%
-3.4%
-7.0%
-4.2%
0.2%
-1.8%
-1.1%
-0.9%
-1.8%
-8.0% -6.0% -4.0% -2.0% 0.0% 2.0% 4.0%
EM Latin Amer (6)
EM Asia (9)
EM EMEA (11)
Emerging Mkt (26)
Pacific (5)
Europe & ME (16)
EAFE (21)
WORLD x US (22)
AC World x US (48)
Quarter Performance USD Local Currency
6
The Market EnvironmentUS Dollar International Index Attribution & Country Detail
As of September 30, 2019
Source: Morningstar Direct, MSCI Global Index Monitor (Returns are Net in USD)As a result of the GICS classification changes on 9/28/2018 and certain associated reporting limitations, sector performance represents backward looking performance for the prior year of each sector’s current constituency, post creation of the Communication Services sector.
MSCI - EAFE Sector Weight Quarter Return 1-Year Return
Communication Services 5.4% -0.9% -0.7%
Consumer Discretionary 11.5% 0.3% -2.0%
Consumer Staples 12.0% 1.9% 6.9%
Energy 5.1% -6.5% -14.5%
Financials 18.6% -2.6% -6.3%
Health Care 11.6% 2.4% 4.3%
Industrials 14.7% -2.0% -2.1%
Information Technology 6.7% -0.5% 1.8%
Materials 7.0% -5.4% -5.7%
Real Estate 3.6% -1.3% 4.3%
Utilities 3.8% 2.4% 13.2%
Total 100.0% -1.1% -1.3%
MSCI - ACWIxUS Sector Weight Quarter Return 1-Year Return
Communication Services 6.8% -2.9% -1.0%
Consumer Discretionary 11.4% -0.7% -1.6%
Consumer Staples 10.2% 1.5% 6.8%
Energy 6.7% -4.6% -9.8%
Financials 21.6% -3.6% -3.2%
Health Care 8.5% 1.1% 0.9%
Industrials 11.9% -2.5% -2.4%
Information Technology 8.9% 2.2% 4.1%
Materials 7.3% -6.5% -7.2%
Real Estate 3.2% -3.1% 5.0%
Utilities 3.5% 1.3% 12.6%
Total 100.0% -1.8% -1.2%
MSCI - Emerging Mkt Sector Weight Quarter Return 1-Year Return
Communication Services 11.6% -5.2% -2.5%
Consumer Discretionary 13.1% -3.1% 0.1%
Consumer Staples 6.9% -0.8% 3.0%
Energy 7.7% -4.0% -2.3%
Financials 24.7% -8.0% 1.6%
Health Care 2.6% -6.6% -24.2%
Industrials 5.4% -5.2% -4.4%
Information Technology 15.1% 5.6% 3.9%
Materials 7.3% -10.7% -15.9%
Real Estate 2.9% -8.8% 6.8%
Utilities 2.8% -3.6% 7.2%
Total 100.0% -4.2% -2.0%
MSCI-EAFE MSCI-ACWIxUS Quarter 1- Year
Country Weight Weight Return Return
Japan 24.6% 16.5% 3.1% -4.7%
United Kingdom 16.4% 11.0% -2.5% -2.9%
France 11.4% 7.6% -1.7% -1.6%
Switzerland 9.4% 6.3% 0.3% 12.0%
Germany 8.5% 5.7% -4.0% -7.1%
Australia 7.0% 4.7% -1.4% 6.1%
Netherlands 4.0% 2.7% 2.4% 9.5%
Hong Kong 3.5% 2.4% -11.9% -1.8%
Spain 2.9% 2.0% -3.8% -3.5%
Sweden 2.6% 1.7% -4.8% -8.0%
Italy 2.3% 1.6% -0.1% 3.9%
Denmark 1.8% 1.2% -1.0% 2.3%
Singapore 1.3% 0.9% -5.8% -0.2%
Belgium 1.0% 0.7% 3.4% -0.8%
Finland 1.0% 0.7% -1.8% -9.3%
Norway 0.7% 0.4% -3.4% -13.4%
Israel 0.6% 0.4% -3.7% -12.5%
Ireland 0.5% 0.4% -0.6% -4.6%
New Zealand 0.2% 0.2% -2.9% 10.0%
Austria 0.2% 0.2% -3.1% -16.0%
Portugal 0.2% 0.1% 1.6% -2.5%
Total EAFE Countries 100.0% 67.0% -1.1% -1.3%
Canada 7.0% 0.5% 3.0%
Total Developed Countries 74.0% -0.9% -1.0%
China 8.3% -4.7% -3.9%
Korea 3.2% -4.5% -13.8%
Taiwan 3.0% 5.2% -0.2%
India 2.3% -5.2% 4.7%
Brazil 2.0% -4.6% 25.4%
South Africa 1.2% -12.6% -6.4%
Russia 1.0% -1.4% 18.0%
Thailand 0.8% -6.0% -0.9%
Saudi Arabia 0.7% -9.5% 4.0%
Mexico 0.7% -1.7% -14.8%
Indonesia 0.5% -5.2% 11.9%
Malaysia 0.5% -6.3% -10.4%
Philippines 0.3% -4.6% 13.1%
Poland 0.3% -12.1% -12.2%
Qatar 0.3% -0.2% 5.0%
Chile 0.3% -7.3% -16.8%
United Arab Emirates 0.2% -0.2% -0.3%
Turkey 0.2% 11.7% 16.5%
Colombia 0.1% -6.1% -7.3%
Peru 0.1% -9.3% -4.0%
Greece 0.1% -3.1% 6.8%
Hungary 0.1% -3.9% 3.4%
Argentina 0.1% -46.8% -32.3%
Czech Republic 0.0% -10.1% -12.6%
Egypt 0.0% 7.4% 21.5%
Pakistan 0.0% 1.1% -32.7%
Total Emerging Countries 26.0% -4.2% -2.0%
Total ACWIxUS Countries 100.0% -1.8% -1.2%
7
Source: Bloomberg
The Market EnvironmentDomestic Bond Sector & Broad/Global Bond Market Performance (Duration)
As of September 30, 2019
Broad fixed income benchmarks continued their trend of 2019 gains during the
3rd quarter. Interest rates fell across the US Treasury Yield Curve through the
quarter as the Fed continued to shift toward an easing of monetary policy in an
attempt to combat slowing economic data. The Fed cut short-term interest
rates twice during the period following their July and September meetings. In
addition, it ended its balance sheet reduction plan in September which
represents a further easing of monetary policy. After its September meeting,
the Fed issued a statement commenting that future changes to monetary
policy are not on a preset course and will be evaluated as the Fed receives
new information on the state of the economy, but that Fed officials “will
continue to monitor the implications of incoming information for the economic
outlook and will act as appropriate to sustain the expansion.” The Fed
response provided market support in a quarter where we saw the formal
inversion of the yield curve. Treasury yields on 2-year issues briefly surpassed
the yield on 10-year issues in August. This inversion of the yield curve has
historically preceded a recession within the next 6-24 months. However, the
magnitude of the inversion was mild and short in duration with rates on the 10-
year Treasury rising above the yield of the 2-year by early September. The
bellwether Bloomberg Barclays US Aggregate Index posted positive returns for
both the 3rd quarter and the 1-year period, returning 2.3% and 10.3%
respectively.
Within investment grade credit, lower quality issues outperformed higher
quality issues during the quarter. Lower quality issues benefitted from their
higher durations as interest rates fell during the quarter. On an absolute basis,
without negating the duration differences in the sub-indices, Baa rated credit
was the best performing investment grade credit quality segment returning
3.3% for the quarter, while AAA was the worst performing, returning 2.0%.
High yield issues returned 1.3% for the quarter as these issues did not
commensurately benefit from the drop in interest rates due to their relatively
low durations. Returns over the 1-year period show lower quality securities
outperforming higher quality issues with Baa rated issues returning 13.5%
versus a 9.3% return for AAA securities.
Investment grade corporates outperformed the more defensive Treasury and
mortgage backed sectors of the Bloomberg Barclays US Aggregate Index’s
three broad sectors during the 3rd quarter. Investment grade corporate credit
returned 3.0%, as they benefitted from their higher sensitivity to interest rates,
low credit spreads and high investor demand for yield. When viewed over the
1-year period, corporate credit outperformed both Treasuries and mortgage
backed securities. Corporate issues returned 13.0% versus a 7.8% return for
mortgages and 10.5% gain on Treasury securities.
0.6%
-0.6%
1.4%
2.3%
1.3%
3.0%
1.4%
2.4%
1.3%
3.3%
2.9%
2.6%
2.0%
-1.0% 0.0% 1.0% 2.0% 3.0% 4.0%
Multiverse (7.0)
Global Agg x US (8.4)
Intermediate Agg (3.6)
Aggregate (5.8)
U.S. TIPS (4.9)
U.S. Corporate IG (7.8)
U.S. Mortgage (2.7)
U.S. Treasury (6.6)
U.S. High Yield (3.1)
Baa (7.9)
A (7.8)
AA (6.6)
AAA (5.0)
Quarter Performance
7.5%
5.3%
8.1%
10.3%
7.1%
13.0%
7.8%
10.5%
6.4%13.5%
12.6%
11.0%
9.3%
0.0% 2.0% 4.0% 6.0% 8.0% 10.0% 12.0% 14.0%
Multiverse (7.0)
Global Agg x US (8.4)
Intermediate Agg (3.6)
Aggregate (5.8)
U.S. TIPS (4.9)
U.S. Corporate IG (7.8)
U.S. Mortgage (2.7)
U.S. Treasury (6.6)
U.S. High Yield (3.1)
Baa (7.9)
A (7.8)
AA (6.6)
AAA (5.0)
1-Year Performance
8
Source: US Department of Treasury, FRED (Federal Reserve of St. Louis)
The Market EnvironmentMarket Rate & Yield Curve Comparison
As of September 30, 2019
Global fixed income returns underperformed their domestic counterparts
during the 3rd quarter. These indices have lower, or in some cases (Germany,
Japan), negative yields, but have higher durations. Given their higher
durations, these issues would be expected to perform relatively well during
periods of falling rates, however, the returns of these indices are also
significantly influenced by fluctuations in their currency denomination relative
to the USD. As mentioned, the USD appreciated against most other developed
currencies during the quarter, acting as a headwind to global bond indices.
The return on global bonds, as represented by the Bloomberg Barclays Global
Aggregate ex US Index, was -0.6%. Global bonds also trailed over the 1-year
period with the Global Aggregate ex US Index returning 5.3% versus a 10.3%
return on the domestically focused Bloomberg Barclays Aggregate Index. As
global growth has shown signs of stalling, several international central banks
have started to step back from more restrictive postures. The ECB and the
PBoC have moved toward an easing of monetary policy and implemented
various stimulus programs designed to support their respective economies.
The Bank of England and the Bank of Japan made no major policy changes
during the quarter as they continue to review macroeconomic data within their
respective countries.
Much of the index performance detailed in the bar graphs on the previous
page is visible on a time series basis by reviewing the line graphs to the right.
The ‘1-Year Trailing Market Rates’ chart illustrates that over the last year, the
10-year Treasury yield (green line) fell from high’s greater than 3.0%, to yields
below 1.5% before ending the quarter at 1.68%. The blue line illustrates
changes in the BAA OAS (Option Adjusted Spread). This measure quantifies
the additional yield premium that investors require to purchase and hold non-
Treasury issues. This line illustrates an abrupt increase in credit spreads
during the 4th quarter of 2018 as investors moved to higher quality assets
during the quarter’s risk-off environment. Subsequently, spreads declined
steadily, remaining somewhat range bound with increases in May and August.
There was little change through the quarter with spreads tightening by about 1
basis point. Spread tightening is equivalent to an interest rate decrease on
corporate bonds, which produces an additional tailwind for corporate bond
index returns. The green band across the graph illustrates the decrease in the
Federal Funds Rate due to the recent easing in US monetary policy. The rate
cuts in July and September have pushed the Fed Funds Rate to 1-year lows.
The lower graph provides a snapshot of the US Treasury yield curve at the end
of each of the last four calendar quarters. The downward shift in interest rates
as well as a general flattening of the yield curve are clearly visible over the last
quarter. As mentioned, the yield curve continues to invert as yields on shorter-
and middle-term maturities fell less than interest rates at the long-end of the
curve.
0.00
0.50
1.00
1.50
2.00
2.50
3.00
3.50
1 mo 3 mo 6 mo 1 yr 2 yr 3 yr 5 yr 7 yr 10 yr 20 yr 30 yr
Treasury Yield Curve
12/31/2018 3/31/2019 6/30/2019 9/30/2019
0.00
0.50
1.00
1.50
2.00
2.50
3.00
3.50
4.00
Sep-18 Oct-18 Nov-18 Dec-18 Jan-19 Feb-19 Mar-19 Apr-19 May-19 Jun-19 Jul-19 Aug-19 Sep-19
1-Year Trailing Market Rates
Fed Funds Rate TED Spread 3-Month Libor
BAA OAS 10yr Treasury 10yr TIPS
9
Compliance ChecklistTotal Fund
As of September 30, 2019
Total Fund Compliance: Yes No N/A1. The Total Plan Gross return equaled or exceeded the actuarial earnings assumption 7.5% over the trailing three and five year periods. 2. The Total Plan Gross return equaled or exceeded the total plan benchmark over the trailing three and five year periods. 3. The Total Plan Gross return ranked within the top 50th percentile of its peer groups over the trailing three and five year periods. 4. Total foreign securities were less than 25% of the total plan assets at market. 5. Total real estate investments were less than 15% of the total plan assets at market.
Equity Compliance: Yes No N/A1. Total equity returns equaled or exceeded the benchmark over the trailing three and five year periods. 2. The total equity allocation was less than 70% of the total plan assets at market.
Fixed Income Compliance: Yes No N/A1. Total fixed income returns equaled or exceeded the benchmark over the trailing three and five year periods. 2. No more than 15% of the fixed income portfolio was rated below BBB/Baa. 3. The weighted average quality of the portfolio was A or better. 4. The duration of the fixed income portfolio was less than 135% of the index.
Yes No N/A Yes No N/A Yes No N/A Yes No N/A Yes No N/A1. Manager outperformed the index over the trailing three and five year periods. 2. Manager ranked within the top 50th percentile over trailing three and five year periods. 3. Less than four consecutive quarters of under performance relative to the benchmark. 4. Three and five-year downside capture ratios less than 100%
Yes No N/A Yes No N/A Yes No N/A Yes No N/A Yes No N/A1. Manager outperformed the index over the trailing three and five year periods. 2. Manager ranked within the top 50th percentile over trailing three and five year periods. 3. Less than four consecutive quarters of under performance relative to the benchmark. 4. Three and five-year downside capture ratios less than 100%
Yes No N/A Yes No N/A Yes No N/A Yes No N/A Yes No N/A1. Manager outperformed the index over the trailing three and five year periods. 2. Manager ranked within the top 50th percentile over trailing three and five year periods. 3. Less than four consecutive quarters of under performance relative to the benchmark. 4. Three and five-year downside capture ratios less than 100%
JPM SPF
TortoiseManager Compliance:
JPM SSPF BlackRock MAI TitanPIMCO TO
WCM FIG Garcia Hamilton PIMCO DiSCOManager Compliance:
Richmond
Manager Compliance:Eagle Wells Capital Winslow RBC GAMBrandywine
10
June 30, 2019 : $403,165,619
Domestic Equity
Receipt &Disbursement
Other Assets
Real Estate
OpportunisticFixed Income
Domestic Fixed Income
International Equity
September 30, 2019 : $389,413,238
Domestic Equity
Receipt &Disbursement
Other Assets
Real Estate
OpportunisticFixed Income
Domestic Fixed Income
International Equity
Allocation
Market Value Allocation
Domestic Equity 167,996,863 41.7¢£
International Equity 85,471,719 21.2¢£
Domestic Fixed Income 41,647,919 10.3¢£
Opportunistic Fixed Income 12,002,091 3.0¢£
Real Estate 52,714,988 13.1¢£
Other Assets 40,333,624 10.0¢£
Receipt and Disbursement 2,998,416 0.7¢£
Allocation
Market Value Allocation
Domestic Equity 164,868,100 42.3¢£
International Equity 73,234,447 18.8¢£
Domestic Fixed Income 42,179,378 10.8¢£
Opportunistic Fixed Income 12,099,938 3.1¢£
Real Estate 53,513,578 13.7¢£
Other Assets 40,432,894 10.4¢£
Receipt and Disbursement 3,084,903 0.8¢£
Asset Allocation by Asset Class
Total Fund
As of September 30, 2019
11
August 31, 2019 : $389,892,951
Eagle
Brandywine Dynamic LCV
NT S&P 500
Winslow
Wells Capital
NT S&P 400NT ACWI ex USA
R&DTortoise MLP
BlackRock MAI
JPM SSPF
JPM SPF
PIMCO DISCO
JKMilne
Garcial Hamilton
Richmond
NT Agg Bond
WCM FIG
RBC GAM
September 30, 2019 : $389,413,238
Eagle
Brandywine Dynamic LCV
NT S&P 500
Winslow
Wells Capital
NT S&P 400NT ACWI ex USA
R&DTortoise MLP
BlackRock MAI
JPM SSPF
JPM SPF
PIMCO DISCO
JKMilne
Garcial Hamilton
Richmond
NT Agg Bond
WCM FIG
RBC GAM
Allocation
Market Value Allocation
Eagle 26,887,985 6.9¢£
MD Sass - 0.0¢£
Brandywine Dynamic LCV 32,487,193 8.3¢£
NT S&P 500 27,276,663 7.0¢£
Winslow 38,360,691 9.8¢£
Wells Capital 40,238,354 10.3¢£
NT S&P 400 1,520,957 0.4¢£
NT ACWI ex USA 12,545,554 3.2¢£
RBC GAM 23,828,946 6.1¢£
WCM FIG 35,955,436 9.2¢£
NT Agg Bond 1,996,715 0.5¢£
Richmond 29,940,784 7.7¢£
Garcial Hamilton 10,266,973 2.6¢£
JKMilne 30,710 0.0¢£
PIMCO DISCO 12,089,126 3.1¢£
JPM SPF 19,332,783 5.0¢£
JPM SSPF 33,502,280 8.6¢£
BlackRock MAI 4,417,683 1.1¢
PIMCO TacOpps 23,712,735 6.1¢
Titan MIF 8,729,797 2.2¢
Tortoise Direct Opportunities Fund, LP 3,678,125 0.9¢
Receipt and Disbursement 3,093,462 0.8¢
Allocation
Market Value Allocation
Eagle 27,265,361 7.0¢£
MD Sass - 0.0¢£
Brandywine Dynamic LCV 33,734,771 8.7¢£
NT S&P 500 24,944,722 6.4¢£
Winslow 37,851,918 9.7¢£
Wells Capital 39,503,716 10.1¢£
NT S&P 400 1,567,612 0.4¢£
NT ACWI ex USA 12,883,959 3.3¢£
RBC GAM 24,745,133 6.4¢£
WCM FIG 35,605,355 9.1¢£
NT Agg Bond 1,985,756 0.5¢£
Richmond 29,914,698 7.7¢£
Garcial Hamilton 10,250,305 2.6¢£
JKMilne 28,619 0.0¢£
PIMCO DISCO 12,099,938 3.1¢£
JPM SPF 19,346,596 5.0¢£
JPM SSPF 34,166,982 8.8¢£
BlackRock MAI 4,434,277 1.1¢
PIMCO TacOpps 23,636,876 6.1¢
Titan MIF 8,637,556 2.2¢
Tortoise Direct Opportunities Fund, LP 3,724,185 1.0¢
Receipt and Disbursement 3,084,903 0.8¢
Asset Allocation By Manager
Total Fund
As of September 30, 2019
12
Asset Allocation vs. Target Allocation
Allocation Differences
0.0% 3.0% 6.0% 9.0% 10.0%-3.0 %-6.0 %-9.0 %
Total Receipt and Disbursement
Total Other Assets
Total Real Estate
Total Opportunistic Fixed Income
Total Domestic Fixed Income
Total International Equity
Total Domestic Equity
0.8%
0.4%
3.7%
0.6%
-6.7 %
-1.2 %
2.3%
Market Value ($) Allocation (%) Target (%)
Total Domestic Equity 164,868,100 42.3 40.0
Total International Equity 73,234,447 18.8 20.0
Total Domestic Fixed Income 42,179,378 10.8 17.5
Total Opportunistic Fixed Income 12,099,938 3.1 2.5
Total Real Estate 53,513,578 13.7 10.0
Total Other Assets 40,432,894 10.4 10.0
Total Receipt and Disbursement 3,084,903 0.8 0.0
Total Fund 389,413,238 100.0 100.0
Asset Allocation vs. Target Allocation
Total Fund
As of September 30, 2019
Please see disclosures in back of the report for market value and return availability.
13
Asset Allocation by Manager
DomesticEquity
InternationalEquity
DomesticFixed Income
Other Assets Real EstateAlternativeInvestment
Hedge Fund Private EquityCash
EquivalentTotal Fund
($) % ($) % ($) % ($) % ($) % ($) % ($) % ($) % ($) % ($) %
Total Equity 163.19 68.5 73.23 30.8 - - - - - - - - - - - - 1.68 0.7 238.10 61.1
Total Domestic Equity 163.19 99.0 - - - - - - - - - - - - - - 1.68 1.0 164.87 42.3
Eagle Capital Large Cap Value 26.49 97.2 - - - - - - - - - - - - - - 0.78 2.8 27.27 7.0
MD Sass Large Cap Value - - - - - - - - - - - - - - - - - - - 0.0
Brandywine Dynamic LCV 33.05 98.0 - - - - - - - - - - - - - - 0.68 2.0 33.73 8.7
NT S&P 500 Index Fund 24.94 100.0 - - - - - - - - - - - - - - - - 24.94 6.4
Winslow Large Cap Growth 37.61 99.4 - - - - - - - - - - - - - - 0.25 0.6 37.85 9.7
Wells Capital Heritage AllCap Growth 39.53 100.1 - - - - - - - - - - - - - - -0.02 -0.1 39.50 10.1
NT S&P 400 Index Fund 1.57 100.0 - - - - - - - - - - - - - - - - 1.57 0.4
Total Int'l Equity - - 73.23 100.0 - - - - - - - - - - - - - - 73.23 18.8
NT ACWI ex USA Index Fund - - 12.88 100.0 - - - - - - - - - - - - - - 12.88 3.3
RBC GAM International Fund - - 24.75 100.0 - - - - - - - - - - - - - - 24.75 6.4
WCM Focused Intl Growth (WCMIX) - - 35.61 100.0 - - - - - - - - - - - - - - 35.61 9.1
Total Fixed Income - - - - 40.73 75.0 12.10 22.3 - - - - - - - - 1.45 2.7 54.28 13.9
Total Dom Fixed Inc - - - - 40.73 96.6 - - - - - - - - - - 1.45 3.4 42.18 10.8
NT Aggregate Bond Index Fund - - - - 1.99 100.0 - - - - - - - - - - - - 1.99 0.5
Richmond Capital Fixed Income - - - - 29.05 97.1 - - - - - - - - - - 0.87 2.9 29.91 7.7
Garcial Hamilton - - - - 9.70 94.6 - - - - - - - - - - 0.55 5.4 10.25 2.6
JKMilne Fixed Income - - - - - - - - - - - - - - - - 0.03 100.0 0.03 0.0
Total Opportunistic Fixed Inc - - - - - - 12.10 100.0 - - - - - - - - - - 12.10 3.1
PIMCO DISCO II - - - - - - 12.10 100.0 - - - - - - - - - - 12.10 3.1
Total Real Estate - - - - - - - - 53.51 100.0 - - - - - - - - 53.51 13.7
JP Morgan Strategic Property Fund - - - - - - - - 19.35 100.0 - - - - - - - - 19.35 5.0
JP Morgan Special Situation Property Fund - - - - - - - - 34.17 100.0 - - - - - - - - 34.17 8.8
Total Other Assets - - - - - - 23.64 58.5 - - 4.42 10.9 8.64 21.4 3.72 9.2 0.02 0.0 40.43 10.4
BlackRock Multi-Asset Income Fund (BIICX) - - - - - - - - - - 4.42 99.6 - - - - 0.02 0.4 4.43 1.1
PIMCO Tactical Opportunities - - - - - - 23.64 100.0 - - - - - - - - - - 23.64 6.1
Titan Masters International Fund - - - - - - - - - - - - 8.64 100.0 - - - - 8.64 2.2
Tortoise Direct Opportunities Fund, LP - - - - - - - - - - - - - - 3.72 100.0 - - 3.72 1.0
Receipt and Disbursement - - - - - - - - - - - - - - - - 3.08 100.0 3.08 0.8
Total Fund 163.19 41.9 73.23 18.8 40.73 10.5 35.74 9.2 53.51 13.7 4.42 1.1 8.64 2.2 3.72 1.0 6.24 1.6 389.41 100.0
Asset Allocation
Total Fund
As of September 30, 2019
Please see disclosures in back of the report for market value and return availability.
14
-12.0
-4.0
4.0
12.0
20.0
28.0
36.0
44.0
52.0
60.0
68.0
76.0
All
oc
ati
on
(%)
US Equity Intl. Equity US Fixed Income Intl. Fixed Income Alternative Inv. Real Estate Cash
Total Fund 42.34 (49) 18.81 (25) 20.01 (79) 0.00 4.31 (82) 13.74 (8) 0.80 (68)��
5th Percentile 60.22 26.03 49.89 8.60 36.45 14.40 9.03
1st Quartile 49.58 18.68 34.25 4.81 18.99 10.25 2.53
Median 42.08 14.42 27.60 4.07 9.15 8.55 1.38
3rd Quartile 31.52 11.70 20.80 2.48 4.79 5.12 0.62
95th Percentile 17.63 6.42 13.79 0.05 1.33 2.40 0.07
Plan Sponsor TF Asset Allocation
Total Fund Vs. All Public Plans-Total Fund
As of September 30, 2019
PIMCO DiSCO II and PIMCO Tactical Opportunities Funds included in US Fixed Income classification in order to produce and utilize plan sponsor allocation chart.
15
Historical Asset Allocation by Segment
Domestic Equity International Equity Domestic Fixed Income Global Fixed Income Other Assets
Real Estate Alternative Investment Hedge Fund Private Equity Cash
0.0
10.0
20.0
30.0
40.0
50.0
60.0
70.0
80.0
90.0
100.0
All
oc
ati
on
(%)
6/08 12/08 6/09 12/09 6/10 12/10 6/11 12/11 6/12 12/12 6/13 12/13 6/14 12/14 6/15 12/15 6/16 12/16 6/17 12/17 6/18 12/18 9/19
Historical Asset Allocation by Segment
Coral Gables Retirement SystemTotal Fund
July 1, 2008 To September 30, 2019
16
Schedule of Investable Assets
Total Fund Net Cash Flow
$0.0
$42,000,000.0
$84,000,000.0
$126,000,000.0
$168,000,000.0
$210,000,000.0
$252,000,000.0
$294,000,000.0
$336,000,000.0
$378,000,000.0
$420,000,000.0
$462,000,000.0
$504,000,000.0
($42,000,000.0)
Ma
rke
t
Va
lue
9/03 6/04 3/05 12/05 9/06 6/07 3/08 12/08 9/09 6/10 3/11 12/11 9/12 6/13 3/14 12/14 9/15 6/16 3/17 12/17 9/18 9/19
$43,174,540.2
$389,413,237.7
Schedule of Investable Assets
Periods EndingBeginning
Market Value$
NetCash Flow
$
Gain/Loss$
EndingMarket Value
$
Inception 181,388,550 -138,214,010 346,238,698 389,413,238
Schedule of Investable Assets
Total Fund
Since Inception Ending September 30, 2019
17
Financial Reconciliation Quarter to Date
Market Value07/01/2019
NetTransfers
Contributions DistributionsManagement
FeesOther
ExpensesIncome
Apprec./Deprec.
Market Value09/30/2019
Total Equity 253,468,582 -13,701,930 - - -220,479 -28,822 571,469 -1,986,273 238,102,547
Total Domestic Equity 167,996,863 -2,848,418 - - -161,090 -24,355 430,023 -524,924 164,868,100
Eagle Capital Large Cap Value 27,681,090 - - - -55,024 -3,125 84,197 -441,776 27,265,361
MD Sass Large Cap Value - 1,582 - - - -1,582 - - -
Brandywine Dynamic LCV 33,256,629 - - - - - 209,091 269,051 33,734,771
NT S&P 500 Index Fund 27,322,484 -2,850,000 - - - - - 472,238 24,944,722
Wells Capital Heritage AllCap Growth 40,135,758 - - - -51,025 -12,003 57,486 -626,500 39,503,716
Winslow Large Cap Growth 38,032,153 - - - -55,040 -7,644 79,249 -196,800 37,851,918
NT S&P 400 Index Fund 1,568,750 - - - - - - -1,137 1,567,612
Total International Equity 85,471,719 -10,853,512 - - -59,390 -4,467 141,446 -1,461,349 73,234,447
NT ACWI ex USA Index Fund 24,220,601 -10,850,000 - - - - - -486,642 12,883,959
RBC GAM International Fund 25,439,833 - - - -59,390 -4,467 137,934 -768,777 24,745,133
WCM Focused Intl Growth (WCMIX) 35,811,285 -3,512 - - - - 3,512 -205,930 35,605,355
Total Fixed Income 53,650,010 - - - -59,632 -8,815 660,941 36,811 54,279,316
Total Domestic Fixed Income 41,647,919 - - - -31,401 -8,815 295,699 275,975 42,179,378
NT Aggregate Bond Index Fund 1,941,476 - - - - - - 44,280 1,985,756
Richmond Capital Fixed Income 29,554,713 - - - -25,853 -4,826 230,058 160,606 29,914,698
JKMilne Fixed Income 38,488 - - - -5,548 -3,989 -332 - 28,619
Garcial Hamilton 10,113,242 - - - - - 65,973 71,090 10,250,305
Total Opportunistic Fixed Income 12,002,091 - - - -28,231 - 365,242 -239,164 12,099,938
PIMCO DISCO II 12,002,091 - - - -28,231 - 365,242 -239,164 12,099,938
Total Real Estate 52,714,988 -103 - - -181,460 - 358,806 621,347 53,513,578
JP Morgan Strategic Property Fund 19,308,084 -27 - - -47,841 - 182,426 -96,047 19,346,596
JP Morgan Special Situation Property Fund 33,406,904 -76 - - -133,619 - 176,380 717,393 34,166,982
Total Other Assets 40,333,624 -78,050 - - -89,827 - 606,862 -339,715 40,432,894
BlackRock Multi-Asset Income Fund (BIICX) 4,378,604 -219 - - - - 55,689 203 4,434,277
PIMCO Tactical Opportunities 23,421,366 - - - -89,827 - 489,686 -184,350 23,636,876
Titan Masters International Fund 8,777,699 - - - - - - -140,142 8,637,556
Tortoise Direct Opportunities Fund, LP 3,755,955 -77,830 - - - - 61,486 -15,426 3,724,185
Receipt and Disbursement 2,998,416 13,780,082 - -13,700,000 - -27,388 33,797 -4 3,084,903
Total Fund 403,165,619 - - -13,700,000 -551,398 -65,025 2,231,875 -1,667,834 389,413,238
Financial Reconciliation
Total Fund
1 Quarter Ending September 30, 2019
18
Page Intentionally Left Blank
19
Comparative Performance Trailing Returns
QTR FYTD 1 YR 3 YR 5 YR 7 YR InceptionInception
Date
Total Fund (Net) 0.00 4.16 4.16 9.75 7.89 8.82 6.84 10/01/2003
Total Fund Policy 0.65 3.70 3.70 8.31 6.88 8.31 6.92
Total Fund (Gross) 0.14 (89) 4.74 (36) 4.74 (36) 10.37 (1) 8.57 (1) 9.50 (3) 7.41 (30) 10/01/2003
Total Fund Policy 0.65 (65) 3.70 (67) 3.70 (67) 8.31 (31) 6.88 (28) 8.31 (27) 6.92 (61)
All Public Plans-Total Fund Median 0.84 4.29 4.29 8.02 6.48 7.79 7.07
Population 369 359 359 348 339 324 224
Total International Equity -1.52 (40) 1.13 (28) 1.13 (28) 8.82 (12) 6.16 (13) 6.54 (30) 6.71 (63) 10/01/2003
MSCI EAFE Index -1.00 (27) -0.82 (41) -0.82 (41) 7.01 (28) 3.77 (39) 6.62 (29) 6.76 (62)
IM International Equity (SA+CF+MF) Median -1.88 -1.81 -1.81 5.70 3.12 5.45 7.27
Population 4,121 3,970 3,970 3,484 2,922 2,455 988
Total Domestic Fixed Income 1.37 (97) 8.21 (97) 8.21 (97) 2.53 (98) 2.86 (100) 2.38 (100) 3.79 (100) 10/01/2003
Total Domestic Fixed Income Policy 1.38 (97) 8.08 (97) 8.08 (97) 2.39 (99) 2.74 (100) 2.11 (100) 3.71 (100)
IM U.S. Broad Market Core Fixed Income (SA+CF) Median 2.33 10.47 10.47 3.35 3.72 3.13 4.65
Population 118 118 118 116 112 107 91
Total Equity -0.57 3.10 3.10 12.58 9.19 11.10 7.68 04/01/2008
Total Equity Policy 0.21 1.74 1.74 10.88 8.11 10.79 7.46
Total Domestic Equity -0.06 (63) 4.17 (21) 4.17 (21) 14.66 (5) 10.73 (12) 13.37 (10) 9.25 (38) 10/01/2003
Total Domestic Equity Policy 1.16 (38) 2.92 (29) 2.92 (29) 12.83 (18) 10.44 (16) 13.00 (16) 9.42 (32)
IM U.S. Core Equity (SA+CF+MF) Median 0.62 -0.30 -0.30 10.04 8.43 11.35 8.86
Total International Equity -1.52 (40) 1.13 (28) 1.13 (28) 8.82 (12) 6.16 (13) 6.54 (30) 6.71 (63) 10/01/2003
Total International Equity Policy -1.70 (45) -0.72 (41) -0.72 (41) 6.85 (30) 3.39 (45) 6.35 (34) 6.64 (65)
IM International Equity (SA+CF+MF) Median -1.88 -1.81 -1.81 5.70 3.12 5.45 7.27
Total Fixed Income 1.30 7.79 7.79 4.65 4.31 3.59 4.41 10/01/2003
Total Fixed Income Policy 1.36 7.89 7.89 2.86 2.61 1.90 3.67
Total Domestic Fixed Income 1.37 (62) 8.21 (32) 8.21 (32) 2.53 (71) 2.86 (59) 2.38 (60) 3.79 (72) 10/01/2003
Total Domestic Fixed Income Policy 1.38 (60) 8.08 (45) 8.08 (45) 2.39 (87) 2.74 (75) 2.11 (86) 3.71 (83)
IM U.S. Intermediate Duration (SA+CF) Median 1.42 8.04 8.04 2.63 2.92 2.42 4.00
Total Opportunistic Fixed Income (Net) 0.82 4.99 4.99 9.70 N/A N/A 8.80 05/01/2015
ICE BofAML High Yield Master II 1.22 6.30 6.30 6.07 5.36 5.87 5.46
Total Real Estate 1.87 (32) 6.25 (88) 6.25 (88) 8.35 (52) 10.66 (32) 11.93 (33) 8.30 (1) 04/01/2006
Total Real Estate Policy 1.38 (85) 6.16 (89) 6.16 (89) 7.59 (84) 9.59 (71) 10.30 (72) 7.94 (10)
IM U.S. Open End Private Real Estate (SA+CF) Median 1.75 6.88 6.88 8.42 9.92 11.22 6.68
Total Other Assets (Net) 0.44 2.11 2.11 5.57 5.16 7.46 10.90 01/01/2012
Total Other Assets Policy 0.31 1.59 1.59 3.73 4.00 6.60 7.62
Comparative Performance
Total Fund
As of September 30, 2019
20
QTR FYTD 1 YR 3 YR 5 YR InceptionInception
Date
Domestic Equity
Eagle Capital Large Cap Value -1.30 (96) 2.88 (46) 2.88 (46) 14.72 (6) 10.63 (13) 10.14 (2) 07/01/2007
Russell 3000 Value Index 1.23 (62) 3.10 (44) 3.10 (44) 9.24 (74) 7.76 (62) 5.85 (84)
IM U.S. Large Cap Value Equity (SA+CF) Median 1.66 2.21 2.21 10.45 8.11 6.96
Brandywine Dynamic LCV 1.44 (57) N/A N/A N/A N/A 9.82 (23) 06/01/2019
Russell 1000 Value Index 1.36 (59) 4.00 (37) 4.00 (37) 9.43 (69) 7.79 (61) 8.63 (50)
IM U.S. Large Cap Value Equity (SA+CF) Median 1.66 2.21 2.21 10.45 8.11 8.61
NT S&P 500 Index Fund 1.70 (8) 4.34 (6) 4.34 (6) 13.44 (1) 10.69 (20) 8.22 (13) 08/01/2007
S&P 500 Index 1.70 (8) 4.25 (10) 4.25 (10) 13.39 (1) 10.84 (1) 8.35 (1)
IM S&P 500 Index (MF) Median 1.62 3.94 3.94 13.03 10.42 7.89
Wells Capital Heritage AllCap Growth -1.42 (63) 5.26 (32) 5.26 (32) 18.79 (17) 13.40 (24) 12.62 (37) 05/01/2011
Russell 3000 Growth Index 1.10 (14) 2.70 (58) 2.70 (58) 16.37 (38) 13.07 (31) 13.21 (15)
IM U.S. All Cap Growth Equity -0.71 3.68 3.68 15.34 12.44 12.11
Winslow Large Cap Growth -0.31 (71) 3.69 (56) 3.69 (56) 18.41 (23) 13.85 (29) 11.48 (30) 02/01/2008
Russell 1000 Growth Index 1.49 (32) 3.71 (56) 3.71 (56) 16.89 (39) 13.39 (39) 11.10 (39)
IM U.S. Large Cap Growth Equity (SA+CF) Median 0.83 4.30 4.30 16.23 12.83 10.96
NT S&P 400 Index Fund -0.07 (27) -2.44 (16) -2.44 (16) 9.44 (17) 9.48 (8) 8.77 (3) 01/01/2014
S&P MidCap 400 Index -0.09 (28) -2.49 (16) -2.49 (16) 9.38 (17) 8.88 (15) 8.27 (6)
IM U.S. SMID Cap Core Equity (MF) Median -1.03 -6.80 -6.80 7.41 7.22 5.69
International Equity
RBC GAM International Fund -2.48 (76) -5.36 (69) -5.36 (69) 7.43 (19) 5.59 (16) 4.64 (16) 09/01/2014
MSCI AC World ex USA -1.70 (52) -0.72 (25) -0.72 (25) 6.85 (30) 3.39 (42) 2.34 (50)
IM International Large Cap Value Equity (SA+CF) Median -1.56 -3.42 -3.42 5.84 3.05 2.29
WCM Focused Intl Growth (WCMIX) -0.57 (24) 8.10 (2) 8.10 (2) 11.79 (1) 9.83 (1) 8.65 (1) 04/01/2014
MSCI AC World ex USA -1.70 (64) -0.72 (67) -0.72 (67) 6.85 (48) 3.39 (62) 3.04 (55)
IM International Large Cap Growth Equity (MF) Median -1.46 0.81 0.81 6.73 3.78 3.15
NT ACWI ex USA Index Fund -1.66 (57) -0.80 (26) -0.80 (26) 6.67 (20) 3.23 (15) 3.80 (27) 05/01/2013
MSCI AC World ex USA -1.70 (59) -0.72 (25) -0.72 (25) 6.85 (19) 3.39 (6) 3.94 (22)
IM International Large Cap Core Equity (MF) Median -1.28 -3.16 -3.16 5.23 1.45 2.86
Comparative Performance
Total Fund
As of September 30, 2019
Returns for periods greater than one year are annualized. Returns are expressed as percentages.
21
Comparative Performance
Total Fund
As of September 30, 2019
QTR FYTD 1 YR 3 YR 5 YR InceptionInception
Date
Domestic Fixed Income
NT Aggregate Bond Index Fund 2.28 (31) 10.37 (20) 10.37 (20) 2.93 (45) N/A 2.71 (48) 08/01/2016
Blmbg. Barc. U.S. Aggregate Index 2.27 (33) 10.30 (24) 10.30 (24) 2.92 (45) 3.38 (27) 2.71 (49)
IM U.S. Broad Market Core Fixed Income (MF) Median 2.16 9.81 9.81 2.86 3.11 2.69
Richmond Capital Fixed Income 1.32 (76) 8.34 (22) 8.34 (22) 2.83 (30) 3.08 (30) 4.25 (23) 10/01/2003
Richmond Policy 1.38 (60) 8.08 (45) 8.08 (45) 2.39 (87) 2.74 (75) 3.77 (75)
IM U.S. Intermediate Duration (SA+CF) Median 1.42 8.04 8.04 2.63 2.92 4.00
Garcial Hamilton 1.36 (69) N/A N/A N/A N/A N/A 05/01/2019
Bloomberg Barclays Intermed Aggregate Index 1.38 (60) 8.08 (45) 8.08 (45) 2.39 (87) 2.74 (75) 3.69 (59)
IM U.S. Intermediate Duration (SA+CF) Median 1.42 8.04 8.04 2.63 2.92 3.75
Opportunistic Fixed Income
PIMCO DISCO II (Net) 0.82 4.99 4.99 9.76 8.14 12.86 12/01/2011
PIMCO DiSCO Policy 1.22 6.30 6.30 6.07 6.45 9.18
ICE BofAML High Yield Master II 1.22 6.30 6.30 6.07 5.36 7.10
Real Estate
JP Morgan Strategic Property Fund 0.45 (100) 4.01 (95) 4.01 (95) 6.49 (92) 8.68 (87) 7.00 (38) 04/01/2006
NCREIF Fund Index-Open End Diversified Core (EW) 1.38 (85) 6.16 (89) 6.16 (89) 7.59 (84) 9.59 (71) 6.54 (56)
IM U.S. Open End Private Real Estate (SA+CF) Median 1.75 6.88 6.88 8.42 9.92 6.68
JP Morgan Special Situation Property Fund 2.69 (6) 7.57 (33) 7.57 (33) 9.47 (20) 12.20 (14) 15.10 (24) 10/01/2010
NCREIF Fund Index-Open End Diversified Core (EW) 1.38 (85) 6.16 (89) 6.16 (89) 7.59 (84) 9.59 (71) 11.37 (73)
IM U.S. Open End Private Real Estate (SA+CF) Median 1.75 6.88 6.88 8.42 9.92 12.21
Other Assets
BlackRock Multi-Asset Income Fund (BIICX) 1.28 (34) 6.78 (16) 6.78 (16) 5.74 (35) N/A 5.64 (38) 11/01/2015
50% MSCI World/50% BC Agg 1.43 (31) 6.40 (18) 6.40 (18) 6.70 (19) 5.46 (19) 6.24 (25)
IM Flexible Portfolio (MF) Median 0.72 2.58 2.58 5.02 3.91 5.10
PIMCO Tactical Opportunities (Net) 0.92 4.12 4.12 7.67 7.21 7.65 08/01/2013
HFRX Global Hedge Fund Index 1.61 0.01 0.01 1.93 0.32 0.84
Titan Masters International Fund -1.60 0.01 0.01 4.49 N/A 1.98 11/01/2015
HFRI Fund of Funds Composite Index -0.90 0.01 0.01 3.16 1.95 2.28
Returns for periods greater than one year are annualized. Returns are expressed as percentages.
22
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23
Comparative Performance Fiscal Year Returns
FYTD FY2017 FY2016 FY2015 FY2014 FY2013 FY2012 FY2011 FY2010 FY2009 FY2008 FY2007 FY2006
Total Fund (Net) 4.16 14.82 8.57 1.84 9.16 13.22 17.36 2.43 9.18 -2.15 -15.96 12.29 7.59
Total Fund Policy 3.70 13.07 10.46 -0.60 10.49 13.45 17.93 2.15 8.86 -1.07 -14.46 14.74 9.68
Total Fund (Gross) 4.74 (36) 15.48 (3) 9.39 (61) 2.55(2) 9.96 (50) 13.82(22) 18.04 (42) 2.90(15) 9.66 (57) -1.64(79) -15.63(80) 12.77 (69) 8.05 (65)
Total Fund Policy 3.70 (67) 13.07 (26) 10.46 (29) -0.60(46) 10.49 (42) 13.45(29) 17.93 (45) 2.15(24) 8.86 (74) -1.07(77) -14.46(65) 14.74 (39) 9.68 (31)
All Public Plans-Total Fund Median 4.29 11.82 9.74 -0.78 9.93 12.00 17.58 0.67 9.90 1.43 -13.34 13.93 8.72
Population 359 611 605 584 538 534 519 498 485 457 406 362 329
Total Equity 3.10 20.47 10.34 -1.42 10.66 21.61 24.24 -1.13 10.19 -3.47 N/A N/A N/A
Total Equity Policy 1.74 19.28 13.26 -4.32 13.25 22.51 24.84 -2.33 9.17 -3.65 -23.41 18.75 13.04
Total Domestic Equity 4.17 (21) 20.94 (18) 9.51 (81) 0.84(35) 15.43 (44) 25.25(46) 29.75 (35) 1.31(22) 11.77 (41) -3.53(32) -21.95(59) 12.58 (78) 6.45 (75)
Russell 3000 Index 2.92 (29) 18.71 (43) 14.96 (28) -0.49(49) 17.76 (26) 21.60(64) 30.20 (30) 0.55(29) 10.96 (48) -6.42(56) -21.52(55) 16.52 (46) 10.22 (32)
IM U.S. Core Equity (SA+CF+MF) Median -0.30 18.26 12.82 -0.64 14.37 24.27 28.19 -1.75 10.71 -5.73 -20.97 16.07 8.83
Population 3,264 3,311 3,118 2,948 3,352 3,269 3,327 3,421 3,500 3,533 3,697 3,576 3,417
Total International Equity 1.13 (28) 19.38 (54) 11.71 (41) -6.35(37) 1.74 (80) 13.63(65) 13.14 (77) -6.60(19) 6.73 (61) -3.50(88) -28.25(29) 23.53 (76) 18.44 (58)
Total International Equity Policy -0.72 (41) 20.15 (47) 9.80 (51) -11.78(64) 5.22 (44) 23.78(26) 14.33 (68) -8.94(31) 3.71 (76) 3.80(56) -30.13(42) 25.38 (64) 19.65 (46)
IM International Equity (SA+CF+MF) Median -1.81 19.76 9.93 -8.65 4.66 18.40 16.59 -11.31 8.88 5.18 -31.11 28.16 19.15
Population 3,970 4,046 3,849 3,549 3,912 3,758 3,635 3,439 3,329 3,228 3,031 2,803 2,559
Total Fixed Income 7.79 4.53 5.75 1.88 4.41 -0.73 7.46 3.61 9.08 12.35 -1.63 5.11 3.99
Total Fixed Income Policy 7.89 1.32 5.03 -0.48 1.86 -1.52 4.88 4.82 8.54 8.60 3.65 5.14 3.67
Total Domestic Fixed Income 8.21 (73) 0.28 (79) 3.76 (93) 2.95(17) 3.87 (76) -1.44(66) 5.92 (82) 4.61(43) 8.24 (84) 12.35(54) -1.63(56) 5.11 (41) 3.99 (29)
Total Domestic Fixed Income Policy 8.08 (74) 0.25 (80) 3.57 (94) 2.95(17) 2.74 (93) -1.57(70) 4.82 (94) 4.96(34) 7.49 (93) 8.60(86) 3.65(15) 5.14 (39) 3.67 (49)
IM U.S. Broad Market Fixed Income (SA+CF+MF) Median 9.62 1.29 5.72 1.84 4.74 -0.97 7.75 4.40 9.99 12.55 -0.88 4.92 3.64
Population 1,435 1,442 1,365 1,285 1,402 1,356 1,338 1,319 1,290 1,282 1,280 1,252 1,265
Total Global Fixed Income N/A N/A N/A -4.14(56) 6.03 (16) 2.12(4) 14.77 (3) -0.83(91) N/A N/A N/A N/A N/A
Total Global Fixed Income Policy 5.34 (85) -2.42 (94) 11.67 (3) -7.67(93) -0.81 (98) -1.80(49) 5.10 (85) 4.18(8) N/A N/A N/A N/A N/A
IM Global Fixed Income (MF) Median 7.65 1.02 7.42 -3.85 3.37 -1.81 7.17 1.74 7.68 13.54 -1.34 7.71 2.49
Population 205 187 176 170 216 191 162 148 138 122 105 103 93
Total Real Estate 6.25 (88) 9.03 (35) 10.86 (57) 17.65(22) 14.13 (28) 16.26(20) 14.68 (34) 21.01(23) 5.69 (60) -31.65(28) 4.32(39) 18.32 (48) N/A
Total Real Estate Policy 6.16 (89) 7.81 (60) 10.62 (69) 14.71(62) 12.39 (68) 11.84(79) 11.00 (75) 16.10(69) 5.84 (56) -22.09(5) 5.27(25) 17.31 (68) N/A
IM U.S. Open End Private Real Estate (SA+CF) Median 6.88 8.29 11.32 15.45 12.78 13.18 12.87 16.96 6.43 -35.32 2.98 17.85 18.08
Population 14 31 32 33 32 32 37 38 35 36 33 35 33
Total Equity 3.10 20.47 10.34 -1.42 10.66 21.61 24.24 -1.13 10.19 -3.47 N/A N/A N/A
Total Equity Policy 1.74 19.28 13.26 -4.32 13.25 22.51 24.84 -2.33 9.17 -3.65 -23.41 18.75 13.04
Total Domestic Equity 4.17 (21) 20.94 (18) 9.51 (81) 0.84(35) 15.43 (44) 25.25 (46) 29.75 (35) 1.31(22) 11.77 (41) -3.53(32) -21.95(59) 12.58 (78) 6.45 (75)
Total Domestic Equity Policy 2.92 (29) 18.71 (43) 14.96 (28) -0.49(49) 17.76 (26) 21.60 (64) 30.20 (30) 0.55(29) 10.96 (48) -6.42(56) -21.52(55) 16.52 (46) 10.22 (32)
IM U.S. Core Equity (SA+CF+MF) Median -0.30 18.26 12.82 -0.64 14.37 24.27 28.19 -1.75 10.71 -5.73 -20.97 16.07 8.83
Total International Equity 1.13 (28) 19.38 (54) 11.71 (41) -6.35(37) 1.74 (80) 13.63 (65) 13.14 (77) -6.60(19) 6.73 (61) -3.50(88) -28.25(29) 23.53 (76) 18.44 (58)
Total International Equity Policy -0.72 (41) 20.15 (47) 9.80 (51) -11.78(64) 5.22 (44) 23.78 (26) 14.33 (68) -8.94(31) 3.71 (76) 3.80(56) -30.13(42) 25.38 (64) 19.65 (46)
IM International Equity (SA+CF+MF) Median -1.81 19.76 9.93 -8.65 4.66 18.40 16.59 -11.31 8.88 5.18 -31.11 28.16 19.15
Total Fixed Income 7.79 4.53 5.75 1.88 4.41 -0.73 7.46 3.61 9.08 12.35 -1.63 5.11 3.99
Total Fixed Income Policy 7.89 1.32 5.03 -0.48 1.86 -1.52 4.88 4.82 8.54 8.60 3.65 5.14 3.67
Total Domestic Fixed Income 8.21 (32) 0.28 (83) 3.76 (65) 2.95(32) 3.87 (19) -1.44 (96) 5.92 (42) 4.61(15) 8.24 (51) 12.35(36) -1.63(95) 5.11 (85) 3.99 (39)
Total Domestic Fixed Income Policy 8.08 (45) 0.25 (87) 3.57 (73) 2.95(32) 2.74 (58) -1.57 (98) 4.82 (72) 4.96(9) 7.49 (79) 8.60(87) 3.65(43) 5.14 (85) 3.67 (82)
IM U.S. Intermediate Duration (SA+CF) Median 8.04 0.69 3.90 2.70 2.88 -0.27 5.57 3.61 8.25 11.53 3.26 5.49 3.91
Total Opportunistic Fixed Income (Net) 4.99 17.16 8.32 N/A N/A N/A N/A N/A N/A N/A N/A N/A N/A
ICE BofAML High Yield Master II 6.30 9.06 12.82 -3.56 7.23 7.09 18.94 1.32 18.51 22.36 -11.68 7.75 7.96
Total Real Estate 6.25 (88) 9.03 (35) 10.86 (57) 17.65(22) 14.13 (28) 16.26 (20) 14.68 (34) 21.01(23) 5.69 (60) -31.65(28) 4.32(39) 18.32 (48) N/A
Total Real Estate Policy 6.16 (89) 7.81 (60) 10.62 (69) 14.71(62) 12.39 (68) 11.84 (79) 11.00 (75) 16.10(69) 5.84 (56) -22.09(5) 5.27(25) 17.31 (68) N/A
IM U.S. Open End Private Real Estate (SA+CF) Median 6.88 8.29 11.32 15.45 12.78 13.18 12.87 16.96 6.43 -35.32 2.98 17.85 18.08
Total Other Assets 2.99 10.66 5.53 8.68 13.92 17.07 N/A N/A N/A N/A N/A N/A N/A
Total Other Assets Policy 1.59 6.86 4.93 3.88 11.35 15.48 N/A N/A N/A N/A N/A N/A N/A
Comparative Performance
Total Fund
As of September 30, 2019
24
FYTD FY2017 FY2016 FY2015 FY2014 FY2013 FY2012 FY2011 FY2010 FY2009 FY2008 FY2007 FY2006
Domestic Equity
Eagle Capital Large Cap Value 2.88 (46) 23.60 (8) 9.31 (83) 0.40(17) 18.69 (46) 26.33 (27) 27.50 (58) 4.52(14) 18.28 (5) -1.46(19) -15.27(16) N/A N/A
Russell 3000 Value Index 3.10 (44) 15.53 (73) 16.38 (24) -4.22(63) 17.66 (58) 22.67 (57) 31.05 (25) -2.22(64) 9.15 (52) -10.79(86) -22.70(69) 13.73 (73) 14.55 (24)
IM U.S. Large Cap Value Equity (SA+CF) Median 2.21 17.89 13.33 -3.29 18.40 23.73 28.15 -0.98 9.32 -5.90 -20.46 16.12 12.61
Brandywine Dynamic LCV N/A N/A N/A N/A N/A N/A N/A N/A N/A N/A N/A N/A N/A
Russell 1000 Value Index 4.00 (37) 15.12 (75) 16.19 (26) -4.42(65) 18.89 (42) 22.30 (60) 30.92 (26) -1.89(62) 8.90 (56) -10.62(84) -23.56(74) 14.45 (68) 14.62 (23)
IM U.S. Large Cap Value Equity (SA+CF) Median 2.21 17.89 13.33 -3.29 18.40 23.73 28.15 -0.98 9.32 -5.90 -20.46 16.12 12.61
NT S&P 500 Index Fund 4.34 (6) 18.63 (1) 15.52 (1) -1.48(83) 19.43 (28) 19.47 (1) 30.46 (1) 0.91(25) 10.26 (1) -6.80(10) -22.58(75) N/A N/A
S&P 500 Index 4.25 (10) 18.61 (2) 15.43 (4) -0.61(2) 19.73 (1) 19.34 (1) 30.20 (1) 1.14(2) 10.16 (4) -6.91(21) -21.98(11) 16.44 (2) 10.79 (4)
IM S&P 500 Index (MF) Median 3.94 18.17 14.99 -1.05 19.21 18.80 29.59 0.69 9.69 -7.24 -22.31 15.92 10.29
Wells Capital Heritage AllCap Growth 5.26 (32) 22.04 (28) 9.44 (62) 2.20(55) 6.56 (89) 22.20 (58) 34.25 (6) N/A N/A N/A N/A N/A N/A
Russell 3000 Growth Index 2.70 (58) 21.87 (32) 13.64 (16) 3.21(50) 17.87 (21) 20.30 (72) 29.35 (27) 3.39(45) 12.81 (59) -2.19(56) -20.60(48) 19.31 (84) 6.05 (46)
IM U.S. All Cap Growth Equity 3.68 20.40 11.08 3.10 13.16 23.68 26.17 2.61 14.96 -1.01 -21.09 26.26 5.11
Winslow Large Cap Growth 3.69 (56) 21.68 (38) 10.77 (61) 4.02(43) 16.83 (65) 22.40 (30) 26.17 (67) 2.30(43) 13.78 (26) 0.51(23) N/A N/A N/A
Russell 1000 Growth Index 3.71 (56) 21.94 (37) 13.76 (23) 3.17(54) 19.15 (40) 19.27 (64) 29.19 (39) 3.78(30) 12.65 (36) -1.85(37) -20.88(55) 19.35 (56) 6.04 (59)
IM U.S. Large Cap Growth Equity (SA+CF) Median 4.30 20.81 11.62 3.55 18.18 20.25 27.68 1.38 11.29 -3.00 -20.13 20.16 6.83
NT S&P 400 Index Fund -2.44 (16) 17.57 (61) 15.41 (31) 3.95(13) N/A N/A N/A N/A N/A N/A N/A N/A N/A
S&P MidCap 400 Index -2.49 (16) 17.52 (61) 15.33 (32) 1.40(37) 11.82 (4) 27.68 (64) 28.54 (52) -1.28(25) 17.78 (12) -3.11(28) -16.68(45) 18.76 (19) 6.56 (68)
IM U.S. SMID Cap Core Equity (MF) Median -6.80 18.49 13.72 0.72 6.78 29.26 28.62 -3.59 14.14 -6.23 -17.10 14.91 8.18
International Equity
RBC GAM International Fund -5.36 (69) 22.69 (36) 10.70 (30) -4.36(20) N/A N/A N/A N/A N/A N/A N/A N/A N/A
MSCI AC World ex USA -0.72 (25) 20.15 (53) 9.80 (33) -11.78(78) 5.22 (57) 16.98 (84) 15.04 (53) -10.42(69) 8.00 (38) 6.43(51) -29.97(70) 31.06 (14) 19.36 (72)
IM International Large Cap Value Equity (SA+CF) Median -3.42 20.82 8.39 -9.46 5.75 22.93 15.45 -8.62 5.00 6.49 -27.37 23.87 20.81
WCM Focused Intl Growth (WCMIX) 8.10 (2) 16.16 (69) 14.84 (7) -0.39(8) N/A N/A N/A N/A N/A N/A N/A N/A N/A
MSCI AC World ex USA -0.72 (67) 20.15 (19) 9.80 (27) -11.78(89) 5.22 (29) 16.98 (58) 15.04 (76) -10.42(46) 8.00 (47) 6.43(17) -29.97(70) 31.06 (30) 19.36 (30)
IM International Large Cap Growth Equity (MF) Median 0.81 17.85 7.77 -5.68 4.23 17.85 17.92 -10.80 7.32 1.85 -27.79 27.71 18.28
NT ACWI ex USA Index Fund -0.80 (26) 19.96 (24) 9.60 (5) -11.87(69) 5.12 (28) N/A N/A N/A N/A N/A N/A N/A N/A
MSCI AC World ex USA -0.72 (25) 20.15 (23) 9.80 (4) -11.78(69) 5.22 (28) 16.98 (70) 15.04 (51) -10.42(28) 8.00 (8) 6.43(12) -29.97(69) 31.06 (9) 19.36 (24)
IM International Large Cap Core Equity (MF) Median -3.16 18.41 4.85 -8.36 4.07 21.59 15.06 -11.21 3.50 1.45 -28.73 24.86 17.77
Comparative Performance
Total Fund
As of September 30, 2019
Returns for periods greater than one year are annualized. Returns are expressed as percentages.
25
Comparative Performance
Total Fund
As of September 30, 2019
FYTD FY2017 FY2016 FY2015 FY2014 FY2013 FY2012 FY2011 FY2010 FY2009 FY2008 FY2007 FY2006
Domestic Fixed Income
NT Aggregate Bond Index Fund 10.37 (20) 0.00 (69) N/A N/A N/A N/A N/A N/A N/A N/A N/A N/A N/A
Blmbg. Barc. U.S. Aggregate Index 10.30 (24) 0.07 (64) 5.19 (52) 2.94(9) 3.96 (59) -1.68 (53) 5.16 (81) 5.26(14) 8.16 (76) 10.56(59) 3.65(10) 5.14 (15) 3.67 (16)
IM U.S. Broad Market Core Fixed Income (MF) Median 9.81 0.48 5.21 1.98 4.19 -1.62 6.79 4.30 9.34 11.36 -1.58 4.40 3.13
Richmond Capital Fixed Income 8.34 (22) 0.92 (37) 3.87 (56) 3.04(26) 3.01 (44) -0.38 (62) 6.05 (36) 4.16(28) 8.73 (31) 15.38(9) 1.41(74) 4.96 (90) 4.10 (27)
Richmond Policy 8.08 (45) 0.25 (87) 3.57 (73) 2.95(32) 2.74 (58) -0.71 (77) 4.31 (84) 4.22(23) 7.52 (77) 10.01(78) 3.65(43) 5.14 (85) 3.67 (82)
IM U.S. Intermediate Duration (SA+CF) Median 8.04 0.69 3.90 2.70 2.88 -0.27 5.57 3.61 8.25 11.53 3.26 5.49 3.91
Garcial Hamilton N/A N/A N/A N/A N/A N/A N/A N/A N/A N/A N/A N/A N/A
Bloomberg Barclays Intermed Aggregate Index 8.08 (45) 0.25 (87) 3.57 (73) 2.95(32) 2.74 (58) -0.71 (77) 4.31 (84) 4.22(23) 7.52 (77) 9.69(81) 4.16(36) 5.33 (69) 3.84 (59)
IM U.S. Intermediate Duration (SA+CF) Median 8.04 0.69 3.90 2.70 2.88 -0.27 5.57 3.61 8.25 11.53 3.26 5.49 3.91
Opportunisitic Fixed Income
PIMCO DISCO II (Net) 4.99 17.18 8.32 3.25 11.65 15.93 N/A N/A N/A N/A N/A N/A N/A
PIMCO DiSCO Policy 6.30 9.06 12.82 1.55 11.35 15.48 N/A N/A N/A N/A N/A N/A N/A
ICE BofAML High Yield Master II 6.30 9.06 12.82 -3.56 7.23 7.09 18.94 1.32 18.51 22.36 -11.68 7.75 7.96
Real Estate
JP Morgan Strategic Property Fund 4.01 (95) 7.58 (64) 9.65 (88) 14.53(63) 12.24 (71) 14.93 (33) 12.40 (53) 18.07(44) 5.69 (60) -31.65(28) 4.32(39) 18.32 (48) N/A
NCREIF Fund Index-Open End Diversified Core (EW) 6.16 (89) 7.81 (60) 10.62 (69) 14.71(62) 12.39 (68) 12.47 (67) 11.77 (63) 18.03(44) 6.14 (55) -36.09(54) 3.73(44) 17.84 (52) 17.49 (55)
IM U.S. Open End Private Real Estate (SA+CF) Median 6.88 8.29 11.32 15.45 12.78 13.18 12.87 16.96 6.43 -35.32 2.98 17.85 18.08
JP Morgan Special Situation Property Fund 7.57 (33) 9.93 (20) 12.09 (36) 20.92(7) 16.17 (11) 17.73 (13) 17.27 (20) 24.37(14) N/A N/A N/A N/A N/A
NCREIF Fund Index-Open End Diversified Core (EW) 6.16 (89) 7.81 (60) 10.62 (69) 14.71(62) 12.39 (68) 12.47 (67) 11.77 (63) 18.03(44) 6.14 (55) -36.09(54) 3.73(44) 17.84 (52) 17.49 (55)
IM U.S. Open End Private Real Estate (SA+CF) Median 6.88 8.29 11.32 15.45 12.78 13.18 12.87 16.96 6.43 -35.32 2.98 17.85 18.08
Others Assets
BlackRock Multi-Asset Income Fund (BIICX) 6.78 (16) 7.87 (63) N/A N/A N/A N/A N/A N/A N/A N/A N/A N/A N/A
50% MSCI World/50% BC Agg 6.40 (18) 8.80 (53) 8.47 (51) -0.98(19) 8.10 (49) 8.84 (46) 13.48 (64) 0.72(35) 7.98 (72) 5.09(41) -12.03(22) 12.94 (51) 8.89 (38)
IM Flexible Portfolio (MF) Median 2.58 9.02 8.55 -4.22 7.99 8.17 15.66 -0.87 9.52 3.22 -17.26 13.01 8.14
PIMCO Tactical Opportunities (Net) 4.12 11.40 6.65 6.39 10.11 N/A N/A N/A N/A N/A N/A N/A N/A
HFRX Global Hedge Fund Index 0.01 5.64 0.72 -4.74 3.54 5.13 2.20 -5.47 4.10 -3.63 -11.43 9.46 5.16
Titan Masters International Fund 0.01 4.72 N/A N/A N/A N/A N/A N/A N/A N/A N/A N/A N/A
HFRI Fund of Funds Composite Index 0.01 6.50 0.38 -0.05 6.16 6.48 2.93 -1.85 3.51 -1.19 -10.86 13.96 7.04
Returns for periods greater than one year are annualized. Returns are expressed as percentages.
26
Historical Statistics 3 Years
ReturnStandardDeviation
SharpeRatio
UpMarket
Capture
UpQuarters
DownMarketCapture
DownQuarters
Investment 10.37 7.57 1.14 111.29 11 95.73 1
Index 8.31 7.27 0.93 100.00 10 100.00 2
90 Day U.S. Treasury Bill 1.54 0.22 N/A 8.04 12 -5.43 N/A
Historical Statistics 5 Years
ReturnStandardDeviation
SharpeRatio
UpMarketCapture
UpQuarters
DownMarketCapture
DownQuarters
Investment 8.57 7.50 1.01 108.44 17 93.49 3
Index 6.88 7.39 0.81 100.00 17 100.00 3
90 Day U.S. Treasury Bill 0.96 0.27 N/A 5.43 19 -3.30 1
Risk and Return 3 Years
Investment Index
7.5
8.0
8.5
9.0
9.5
10.0
10.5
11.0
Ret
urn
(%)
7.2 7.3 7.4 7.5 7.6 7.7Risk (Standard Deviation %)
Risk and Return 5 Years
Investment Index
6.5
7.0
7.5
8.0
8.5
9.0
Ret
urn
(%)
7.3 7.4 7.5 7.6Risk (Standard Deviation %)
3 Year Rolling Percentile Rank All Public Plans-Total Fund
0.0
25.0
50.0
75.0
100.0
Ret
urn
Per
cen
tile
Ran
k
12/14 6/15 12/15 6/16 12/16 6/17 12/17 6/18 12/18 6/19 9/19
Total Period5-25
Count25-Median
CountMedian-75
Count75-95Count
Investment 20 20 (100%) 0 (0%) 0 (0%) 0 (0%)¾
Index 20 9 (45%) 11 (55%) 0 (0%) 0 (0%)¾
5 Year Rolling Percentile Rank All Public Plans-Total Fund
0.0
25.0
50.0
75.0
100.0
Ret
urn
Per
cen
tile
Ran
k
12/14 6/15 12/15 6/16 12/16 6/17 12/17 6/18 12/18 6/19 9/19
Total Period5-25
Count25-Median
CountMedian-75
Count75-95Count
Investment 20 20 (100%) 0 (0%) 0 (0%) 0 (0%)¾
Index 20 13 (65%) 7 (35%) 0 (0%) 0 (0%)¾
Strategy Review
Total Fund | Total Fund Policy
As of September 30, 2019
27
Plan Sponsor Peer Group Analysis vs. All Public Plans-Total Fund
-2.0
-1.0
0.0
1.0
2.0
3.0
4.0
5.0
6.0
7.0
8.0
9.0
10.0
11.0
12.0
Ret
urn
QTR FYTD 1 YR 2 YR 3 YR 4 YR 5 YR
Investment 0.14 (89) 4.74 (36) 4.74 (36) 7.90 (4) 10.37 (1) 10.13 (3) 8.57 (1)��
Index 0.65 (65) 3.70 (67) 3.70 (67) 6.00 (48) 8.31 (31) 8.84 (25) 6.88 (28)��
Median 0.84 4.29 4.29 5.92 8.02 8.37 6.48
Plan Sponsor Peer Group Analysis vs. All Public Plans-Total Fund
-8.0
-6.0
-4.0
-2.0
0.0
2.0
4.0
6.0
8.0
10.0
12.0
14.0
16.0
18.0
20.0
Ret
urn
Oct-2018To
Sep-2019
Oct-2017To
Sep-2018
Oct-2016To
Sep-2017
Oct-2015To
Sep-2016
Oct-2014To
Sep-2015
Oct-2013To
Sep-2014
Investment 4.74 (36) 11.16 (4) 15.48 (3) 9.39 (61) 2.55 (2) 9.96 (50)��
Index 3.70 (67) 8.35 (26) 13.07 (26) 10.46 (29) -0.60 (46) 10.49 (42)��
Median 4.29 7.09 11.82 9.74 -0.78 9.93
Comparative Performance
1 QtrEnding
Jun-2019
1 QtrEnding
Mar-2019
1 QtrEnding
Dec-2018
1 QtrEnding
Sep-2018
1 QtrEnding
Jun-2018
1 QtrEnding
Mar-2018
Investment 4.27 (2) 9.77 (12) -8.62 (78) 3.63 (11) 2.57 (4) 0.84 (4)
Index 3.20 (55) 8.85 (37) -8.28 (69) 3.34 (17) 1.37 (35) -0.49 (60)
Median 3.24 8.40 -7.54 2.58 1.03 -0.32
Strategy Review
Total Fund | Total Fund Policy
As of September 30, 2019
28
Page Intentionally Left Blank
29
Historical Statistics 3 Years
ReturnStandardDeviation
SharpeRatio
UpMarket
Capture
UpQuarters
DownMarketCapture
DownQuarters
Investment 14.72 13.63 0.97 115.29 10 84.87 2
Index 9.24 12.42 0.65 100.00 10 100.00 2
90 Day U.S. Treasury Bill 1.54 0.22 N/A 4.88 12 -3.99 N/A
Historical Statistics 5 Years
ReturnStandardDeviation
SharpeRatio
UpMarketCapture
UpQuarters
DownMarketCapture
DownQuarters
Investment 10.63 13.48 0.75 112.21 16 96.79 4
Index 7.76 11.98 0.61 100.00 16 100.00 4
90 Day U.S. Treasury Bill 0.96 0.27 N/A 3.27 19 -2.54 1
Risk and Return 3 Years
Investment Index
8.0
10.0
12.0
14.0
16.0
Ret
urn
(%)
12.0 12.2 12.4 12.6 12.8 13.0 13.2 13.4 13.6 13.8 14.0Risk (Standard Deviation %)
Risk and Return 5 Years
Investment Index
7.0
7.7
8.4
9.1
9.8
10.5
11.2
Ret
urn
(%)
11.8 12.0 12.2 12.4 12.6 12.8 13.0 13.2 13.4 13.6 13.8Risk (Standard Deviation %)
3 Year Rolling Percentile Rank IM U.S. Large Cap Value Equity (SA+CF)
0.0
25.0
50.0
75.0
100.0
Ret
urn
Per
cen
tile
Ran
k
12/14 6/15 12/15 6/16 12/16 6/17 12/17 6/18 12/18 6/19 9/19
Total Period5-25
Count25-Median
CountMedian-75
Count75-95Count
Investment 20 13 (65%) 7 (35%) 0 (0%) 0 (0%)¾
Index 20 0 (0%) 5 (25%) 15 (75%) 0 (0%)¾
5 Year Rolling Percentile Rank IM U.S. Large Cap Value Equity (SA+CF)
0.0
25.0
50.0
75.0
100.0
Ret
urn
Per
cen
tile
Ran
k
12/14 6/15 12/15 6/16 12/16 6/17 12/17 6/18 12/18 6/19 9/19
Total Period5-25
Count25-Median
CountMedian-75
Count75-95Count
Investment 20 17 (85%) 3 (15%) 0 (0%) 0 (0%)¾
Index 20 0 (0%) 5 (25%) 15 (75%) 0 (0%)¾
Strategy Review
Eagle Capital Large Cap Value | Russell 3000 Value Index
As of September 30, 2019
30
Peer Group Analysis - IM U.S. Large Cap Value Equity (SA+CF)
-10.0
-7.0
-4.0
-1.0
2.0
5.0
8.0
11.0
14.0
17.0
20.0
Re
turn
QTRFYTD
1 YR 2 YR 3 YR 4 YR 5 YR
Investment -1.30 (96) 2.88 (46) 2.88 (46) 10.52 (17) 14.72 (6) 13.34 (17) 10.63 (13)��
Index 1.23 (62) 3.10 (44) 3.10 (44) 6.23 (58) 9.24 (74) 10.98 (53) 7.76 (62)��
Median 1.66 2.21 2.21 6.79 10.45 11.14 8.11
Peer Group Analysis - IM U.S. Large Cap Value Equity (SA+CF)
-20.0
-15.0
-10.0
-5.0
0.0
5.0
10.0
15.0
20.0
25.0
30.0
Re
turn
Oct-2018To
Sep-2019
Oct-2017To
Sep-2018
Oct-2016To
Sep-2017
Oct-2015To
Sep-2016
Oct-2014To
Sep-2015
Oct-2013To
Sep-2014
Investment 2.88 (46) 18.73 (5) 23.60 (8) 9.31 (83) 0.40 (17) 18.69 (46)��
Index 3.10 (44) 9.46 (77) 15.53 (73) 16.38 (24) -4.22 (63) 17.66 (58)��
Median 2.21 11.72 17.89 13.33 -3.29 18.40
Comparative Performance
1 QtrEnding
Jun-2019
1 QtrEnding
Mar-2019
1 QtrEnding
Dec-2018
1 QtrEnding
Sep-2018
1 QtrEnding
Jun-2018
1 QtrEnding
Mar-2018
Investment 6.98 (5) 12.98 (23) -13.76 (56) 6.60 (31) 3.25 (17) 0.59 (5)
Index 3.68 (57) 11.93 (45) -12.24 (36) 5.39 (57) 1.71 (51) -2.82 (74)
Median 3.95 11.74 -13.51 5.70 1.74 -1.97
Strategy Review
Eagle Capital Large Cap Value | Russell 3000 Value Index
As of September 30, 2019
31
Relative Performance
Cumulative Annualized Over/Under Relative Performance Over/Under Performance
0.0
4.0
8.0
10.0
-4.0
-8.0
-10.0
Re
turn
(%)
7/07 1/08 7/08 1/09 7/09 1/10 7/10 1/11 7/11 1/12 7/12 1/13 7/13 1/14 7/14 1/15 7/15 1/16 7/16 1/17 7/17 1/18 7/18 1/19 9/19
Distribution of Active Returns
0
6
12
18
24
30
36
42
48
54
Fre
qu
en
cy
< -6 -6 To -5 -5 To -4 -4 To -3 -3 To -2 -2 To -1 -1 To 0 0 To 1 1 To 2 2 To 3 3 To 4 4 To 5 5 To 6 > 6
Returns (%)
Distribution of Returns
0
3
6
9
12
15
18
21
24
Fre
qu
en
cy
< -6 -6 To -5 -5 To -4 -4 To -3 -3 To -2 -2 To -1 -1 To 0 0 To 1 1 To 2 2 To 3 3 To 4 4 To 5 5 To 6 > 6
Returns (%)
Performance Distribution and Relative Performance
Eagle Capital
As of September 30, 2019
32
Portfolio Characteristics (Benchmark: R3000 V)
Portfolio Benchmark
Wtd. Avg. Mkt. Cap ($) 316,974,804,174 114,224,961,345
Median Mkt. Cap ($) 70,393,755,780 1,524,992,000
Price/Earnings ratio 16.7 16.5
Price/Book ratio 2.8 2.1
5 Yr. EPS Growth Rate (%) 21.2 7.6
Current Yield (%) 1.3 2.6
Beta (5 Years, Monthly) 1.04 1.00
Number of Stocks 32 2,168
Top Ten Equity Holdings (Benchmark: R3000 V)
Portfolio Wt Benchmark Wt Active Wt Qtr Rtrn
Microsoft Corp 8.9 0.0 8.9 4.1
Alphabet Inc 8.7 0.0 8.7 12.8
Berkshire Hathaway Inc 6.9 2.8 4.1 -2.4
Citigroup Inc 6.2 1.1 5.1 -0.6
Amazon.com Inc 5.3 0.0 5.3 -8.3
Goldman Sachs Group Inc 5.3 0.5 4.8 1.9
Comcast Corp 5.0 0.7 4.3 7.1
Liberty Broadband Corp 4.8 0.1 4.7 0.4
Wells Fargo & Co 4.8 1.4 3.4 7.8
Marriott International Inc 4.1 0.0 4.1 -11.0
% of Portfolio 60.0 6.6 53.4Ten Best Performers (Benchmark: R3000 V)
Portfolio Wt Benchmark Wt Active Wt Quarterly Rtrn
Fiserv Inc. 1.3 0.0 1.3 13.6
Alphabet Inc 0.1 0.0 0.1 12.8
Alphabet Inc 8.7 0.0 8.7 12.8
Wells Fargo & Co 4.8 1.4 3.4 7.8
Comcast Corp 5.0 0.7 4.3 7.1
AerCap Holdings NV 1.6 0.0 1.6 5.3
Microsoft Corp 8.9 0.0 8.9 4.1
Goldman Sachs Group Inc 5.3 0.5 4.8 1.9
Ecolab Inc. 1.2 0.0 1.2 0.5
Aon plc 3.3 0.0 3.3 0.5
% of Portfolio 40.2 2.6 37.6
Ten Worst Performers (Benchmark: R3000 V)
Portfolio Wt Benchmark Wt Active Wt Quarterly Rtrn
Liberty TripAdvisor Holdings Inc 0.2 0.0 0.2 -24.1
TripAdvisor Inc 1.0 0.0 1.0 -16.4
Mohawk Industries Inc. 1.9 0.1 1.8 -15.9
General Electric Co 4.0 0.5 3.5 -14.8
Fox Corp 1.0 0.0 1.0 -13.0
DISH Network Corp 1.7 0.1 1.6 -11.3
Marriott International Inc 4.1 0.0 4.1 -11.0
Unitedhealth Group Inc 2.6 0.0 2.6 -10.5
Liberty Global Plc 3.2 0.0 3.2 -10.3
Amazon.com Inc 5.3 0.0 5.3 -8.3
% of Portfolio 25.0 0.7 24.3Buy and Hold Sector Attribution (Benchmark: R3000 V)
Allocation
Portfolio Benchmark
Performance
Portfolio Benchmark
Attribution
Stock Sector Total
Communication Services 28.4 7.5 0.23 3.26 -0.86 0.42 -0.44
Consumer Discretionary 15.8 6.0 -8.78 3.09 -1.90 0.17 -1.73
Consumer Staples 0.0 8.2 0.00 6.32 0.00 -0.40 -0.40
Energy 0.5 8.6 7.42 -7.33 0.11 0.69 0.80
Financials 29.4 23.7 0.64 2.12 -0.44 0.08 -0.36
Health Care 2.9 12.9 -10.53 -3.04 -0.22 0.45 0.23
Industrials 5.5 9.2 -7.00 -1.79 -0.22 0.13 -0.09
Information Technology 13.2 7.5 3.06 1.21 0.21 -0.04 0.18
Materials 1.2 4.2 0.54 -1.81 0.02 0.09 0.12
Real Estate 0.0 5.6 0.00 7.63 0.00 -0.35 -0.35
Utilities 0.0 6.6 0.00 8.07 0.00 -0.44 -0.44
Other 0.0 0.0 0.00 20.55 0.00 0.00 0.00
Cash 3.2 0.0 0.56 0.00 0.00 0.01 0.01
Total 100.0 100.0 -1.28 1.19 -3.30 0.83 -2.47
Portfolio Comparison
Eagle Capital R3000 V
Market Capitalization (%)
Greater than 25000M 80.7 66.8
16000M To 25000M 9.0 7.8
12000M To 16000M 1.0 4.8
8000M To 12000M 3.6 5.7
5000M To 8000M 1.6 5.0
3000M To 5000M 1.0 4.1
1000M To 3000M 0.0 4.1
500M To 1000M 0.2 1.0
200M To 500M 0.0 0.6
Less than 200M 0.0 0.1
Cash 2.8 0.0
Holdings Based Analysis
Eagle Capital
As of September 30, 2019
33
Historical Statistics 3 Years
ReturnStandardDeviation
SharpeRatio
UpMarket
Capture
UpQuarters
DownMarketCapture
DownQuarters
Investment N/A N/A N/A N/A N/A N/A N/A
Index 9.43 12.17 0.68 100.00 10 100.00 2
90 Day U.S. Treasury Bill 1.54 0.22 N/A 5.16 12 -3.65 N/A
Historical Statistics 5 Years
ReturnStandardDeviation
SharpeRatio
UpMarketCapture
UpQuarters
DownMarketCapture
DownQuarters
Investment N/A N/A N/A N/A N/A N/A N/A
Index 7.79 11.82 0.61 100.00 16 100.00 4
90 Day U.S. Treasury Bill 0.96 0.27 N/A 3.42 19 -2.36 1
Risk and Return 3 Years
Investment Index
8.7
9.0
9.3
9.6
9.9
10.2
Ret
urn
(%)
12.1 12.2Risk (Standard Deviation %)
Risk and Return 5 Years
Investment Index
7.7
7.8
Ret
urn
(%)
11.8 11.9Risk (Standard Deviation %)
3 Year Rolling Percentile Rank IM U.S. Large Cap Value Equity (SA+CF)
0.0
25.0
50.0
75.0
100.0
Ret
urn
Per
cen
tile
Ran
k
12/14 6/15 12/15 6/16 12/16 6/17 12/17 6/18 12/18 6/19 9/19
Total Period5-25
Count25-Median
CountMedian-75
Count75-95Count
Investment 0 0 0 0 0¾
Index 0 0 0 0 0¾
5 Year Rolling Percentile Rank IM U.S. Large Cap Value Equity (SA+CF)
0.0
25.0
50.0
75.0
100.0
Ret
urn
Per
cen
tile
Ran
k
12/14 6/15 12/15 6/16 12/16 6/17 12/17 6/18 12/18 6/19 9/19
Total Period5-25
Count25-Median
CountMedian-75
Count75-95Count
Investment 0 0 0 0 0¾
Index 0 0 0 0 0¾
Strategy Review
Brandywine Dynamic LCV | Russell 1000 Value Index
As of September 30, 2019
34
Peer Group Analysis - IM U.S. Large Cap Value Equity (SA+CF)
-10.0
-7.0
-4.0
-1.0
2.0
5.0
8.0
11.0
14.0
17.0
20.0
Re
turn
QTRFYTD
1 YR 2 YR 3 YR 4 YR 5 YR
Investment 1.44 (57) N/A N/A N/A N/A N/A N/A��
Index 1.36 (59) 4.00 (37) 4.00 (37) 6.69 (52) 9.43 (69) 11.08 (52) 7.79 (61)��
Median 1.66 2.21 2.21 6.79 10.45 11.14 8.11
Peer Group Analysis - IM U.S. Large Cap Value Equity (SA+CF)
-20.0
-15.0
-10.0
-5.0
0.0
5.0
10.0
15.0
20.0
25.0
30.0
Re
turn
Oct-2018To
Sep-2019
Oct-2017To
Sep-2018
Oct-2016To
Sep-2017
Oct-2015To
Sep-2016
Oct-2014To
Sep-2015
Oct-2013To
Sep-2014
Investment N/A N/A N/A N/A N/A N/A��
Index 4.00 (37) 9.45 (77) 15.12 (75) 16.19 (26) -4.42 (65) 18.89 (42)��
Median 2.21 11.72 17.89 13.33 -3.29 18.40
Comparative Performance
1 QtrEnding
Jun-2019
1 QtrEnding
Mar-2019
1 QtrEnding
Dec-2018
1 QtrEnding
Sep-2018
1 QtrEnding
Jun-2018
1 QtrEnding
Mar-2018
Investment N/A N/A N/A N/A N/A N/A
Index 3.84 (53) 11.93 (45) -11.72 (30) 5.70 (50) 1.18 (66) -2.83 (75)
Median 3.95 11.74 -13.51 5.70 1.74 -1.97
Strategy Review
Brandywine Dynamic LCV | Russell 1000 Value Index
As of September 30, 2019
35
Relative Performance
Cumulative Annualized Over/Under Relative Performance Over/Under Performance
0.0
4.0
8.0
10.0
-4.0
-8.0
-10.0
Re
turn
(%)
6/19 7/19 8/19 9/19
Distribution of Active Returns
0
1
2
3
Fre
qu
en
cy
< -6 -6 To -5 -5 To -4 -4 To -3 -3 To -2 -2 To -1 -1 To 0 0 To 1 1 To 2 2 To 3 3 To 4 4 To 5 5 To 6 > 6
Returns (%)
Distribution of Returns
0
1
2
Fre
qu
en
cy
< -6 -6 To -5 -5 To -4 -4 To -3 -3 To -2 -2 To -1 -1 To 0 0 To 1 1 To 2 2 To 3 3 To 4 4 To 5 5 To 6 > 6
Returns (%)
Performance Distribution and Relative Performance
Brandywine Dynamic LCV
As of September 30, 2019
36
Portfolio Characteristics (Benchmark: Russell 1000 Value Index)
Portfolio Benchmark
Wtd. Avg. Mkt. Cap ($) 136,615,991,692 122,160,989,755
Median Mkt. Cap ($) 16,666,723,560 9,460,342,920
Price/Earnings ratio 14.6 16.7
Price/Book ratio 3.5 2.2
5 Yr. EPS Growth Rate (%) 11.3 7.5
Current Yield (%) 2.6 2.6
Beta N/A 1.00
Number of Stocks 107 766
Top Ten Equity Holdings (Benchmark: Russell 1000 Value Index)
Portfolio Wt Benchmark Wt Active Wt Qtr Rtrn
Intel Corp 4.2 1.7 2.5 8.4
Apple Inc 4.1 0.0 4.1 13.6
Wells Fargo & Co 3.9 1.5 2.4 7.8
Amgen Inc 3.3 0.1 3.2 5.8
Booking Holdings Inc 3.2 0.0 3.2 4.7
Bank of America Corp 3.1 1.8 1.3 1.2
Walgreens Boots Alliance Inc 2.7 0.3 2.4 2.1
Union Pacific Corp 2.6 0.0 2.6 -3.6
Cisco Systems Inc 2.6 0.0 2.6 -9.2
Illinois Tool Works Inc. 2.5 0.0 2.5 4.5
% of Portfolio 32.2 5.4 26.8Ten Best Performers (Benchmark: Russell 1000 Value Index)
Portfolio Wt Benchmark Wt Active Wt Quarterly Rtrn
Lam Research Corp 0.7 0.0 0.7 23.6
Teradyne Inc. 0.3 0.0 0.3 21.1
NewMarket Corp 0.2 0.0 0.2 18.2
NextEra Energy Inc 0.8 0.8 0.0 14.4
Procter & Gamble Co (The) 1.1 2.1 -1.0 14.2
Celanese Corp 1.0 0.1 0.9 14.1
Apple Inc 4.1 0.0 4.1 13.6
Brown-Forman Corp 0.9 0.0 0.9 13.6
Texas Instruments Inc 1.7 0.0 1.7 13.3
Toll Brothers Inc. 0.2 0.0 0.2 12.4
% of Portfolio 11.0 3.0 8.0
Ten Worst Performers (Benchmark: Russell 1000 Value Index)
Portfolio Wt Benchmark Wt Active Wt Quarterly Rtrn
Molina Healthcare Inc. 0.1 0.0 0.1 -23.3
Cabot Oil & Gas Corp 0.3 0.0 0.3 -23.1
Franklin Resources Inc 0.3 0.1 0.2 -16.3
Pfizer Inc 2.0 1.5 0.5 -16.3
Ralph Lauren Corp 0.1 0.0 0.1 -15.3
Xerox Holdings Corp 0.1 0.0 0.1 -14.8
CIT Group Inc 0.2 0.0 0.2 -13.1
ManpowerGroup Inc 0.1 0.0 0.1 -12.8
BorgWarner Inc 0.1 0.1 0.0 -12.2
Altria Group Inc 2.0 0.3 1.7 -11.9
% of Portfolio 5.3 2.0 3.3Buy and Hold Sector Attribution (Benchmark: Russell 1000 Value Index)
Allocation
Portfolio Benchmark
Performance
Portfolio Benchmark
Attribution
Stock Sector Total
Communication Services 1.7 7.8 0.61 3.47 -0.04 -0.13 -0.17
Consumer Discretionary 13.8 5.8 5.11 2.79 0.28 0.12 0.40
Consumer Staples 6.4 8.6 0.13 6.39 -0.39 -0.11 -0.50
Energy 2.9 8.8 -3.70 -6.62 0.07 0.51 0.58
Financials 16.5 23.2 0.04 2.27 -0.40 -0.11 -0.51
Health Care 10.1 13.5 1.56 -2.96 0.44 0.16 0.59
Industrials 20.5 9.0 -1.04 -1.99 0.20 -0.36 -0.16
Information Technology 20.0 7.3 4.43 0.84 0.75 -0.07 0.68
Materials 3.6 4.2 2.03 -1.62 0.12 0.01 0.14
Real Estate 0.0 5.2 0.00 7.99 0.00 -0.35 -0.35
Utilities 2.5 6.6 8.33 8.27 0.01 -0.28 -0.28
Other 0.0 0.0 0.00 20.55 0.00 0.00 0.00
Cash 1.9 0.0 0.56 0.00 0.00 -0.02 -0.02
Total 100.0 100.0 1.67 1.26 1.03 -0.63 0.41
Portfolio Comparison
Brandywine DynamicLCV
Russell 1000 ValueIndex
Market Capitalization (%)
Greater than 25000M 76.4 71.5
16000M To 25000M 8.2 8.4
12000M To 16000M 4.0 5.1
8000M To 12000M 3.8 6.1
5000M To 8000M 4.5 5.1
3000M To 5000M 1.1 3.0
1000M To 3000M 0.0 0.7
500M To 1000M 0.0 0.0
200M To 500M 0.0 0.0
Cash 2.0 0.0
Holdings Based Analysis
Brandywine Dynamic LCV
As of September 30, 2019
37
Historical Statistics 3 Years
ReturnStandardDeviation
SharpeRatio
UpMarket
Capture
UpQuarters
DownMarketCapture
DownQuarters
Investment 13.44 12.02 0.99 100.18 10 100.02 2
Index 13.39 12.01 0.98 100.00 10 100.00 2
90 Day U.S. Treasury Bill 1.54 0.22 N/A 4.91 12 -3.26 N/A
Historical Statistics 5 Years
ReturnStandardDeviation
SharpeRatio
UpMarketCapture
UpQuarters
DownMarketCapture
DownQuarters
Investment 10.69 11.89 0.84 100.22 17 101.64 3
Index 10.84 11.83 0.85 100.00 17 100.00 3
90 Day U.S. Treasury Bill 0.96 0.27 N/A 3.37 19 -2.07 1
Risk and Return 3 Years
Investment Index
13.3
13.4
13.5
Ret
urn
(%)
12.0 12.1Risk (Standard Deviation %)
Risk and Return 5 Years
Investment Index
10.6
10.7
10.8
10.9
Ret
urn
(%)
11.8 11.9 12.0Risk (Standard Deviation %)
3 Year Rolling Percentile Rank IM S&P 500 Index (MF)
0.0
25.0
50.0
75.0
100.0
Ret
urn
Per
cen
tile
Ran
k
12/14 6/15 12/15 6/16 12/16 6/17 12/17 6/18 12/18 6/19 9/19
Total Period5-25
Count25-Median
CountMedian-75
Count75-95Count
Investment 20 8 (40%) 12 (60%) 0 (0%) 0 (0%)¾
Index 20 20 (100%) 0 (0%) 0 (0%) 0 (0%)¾
5 Year Rolling Percentile Rank IM S&P 500 Index (MF)
0.0
25.0
50.0
75.0
100.0
Ret
urn
Per
cen
tile
Ran
k
12/14 6/15 12/15 6/16 12/16 6/17 12/17 6/18 12/18 6/19 9/19
Total Period5-25
Count25-Median
CountMedian-75
Count75-95Count
Investment 20 14 (70%) 6 (30%) 0 (0%) 0 (0%)¾
Index 20 20 (100%) 0 (0%) 0 (0%) 0 (0%)¾
Strategy Review
NT S&P 500 Index Fund | S&P 500 Index
As of September 30, 2019
38
Peer Group Analysis - IM S&P 500 Index (MF)
-2.0
0.0
2.0
4.0
6.0
8.0
10.0
12.0
14.0
16.0
Re
turn
QTRFYTD
1 YR 2 YR 3 YR 4 YR 5 YR
Investment 1.70 (8) 4.34 (6) 4.34 (6) 10.93 (2) 13.44 (1) 13.96 (1) 10.69 (20)��
Index 1.70 (8) 4.25 (10) 4.25 (10) 10.87 (4) 13.39 (1) 13.90 (2) 10.84 (1)��
Median 1.62 3.94 3.94 10.53 13.03 13.48 10.42
Peer Group Analysis - IM S&P 500 Index (MF)
-7.0
-4.0
-1.0
2.0
5.0
8.0
11.0
14.0
17.0
20.0
23.0
Re
turn
Oct-2018To
Sep-2019
Oct-2017To
Sep-2018
Oct-2016To
Sep-2017
Oct-2015To
Sep-2016
Oct-2014To
Sep-2015
Oct-2013To
Sep-2014
Investment 4.34 (6) 17.93 (1) 18.63 (1) 15.52 (1) -1.48 (83) 19.43 (28)��
Index 4.25 (10) 17.91 (2) 18.61 (2) 15.43 (4) -0.61 (2) 19.73 (1)��
Median 3.94 17.51 18.17 14.99 -1.05 19.21
Comparative Performance
1 QtrEnding
Jun-2019
1 QtrEnding
Mar-2019
1 QtrEnding
Dec-2018
1 QtrEnding
Sep-2018
1 QtrEnding
Jun-2018
1 QtrEnding
Mar-2018
Investment 4.31 (6) 13.69 (1) -13.48 (8) 7.72 (2) 3.43 (6) -0.76 (5)
Index 4.30 (6) 13.65 (7) -13.52 (15) 7.71 (4) 3.43 (5) -0.76 (5)
Median 4.21 13.56 -13.58 7.62 3.35 -0.84
Strategy Review
NT S&P 500 Index Fund | S&P 500 Index
As of September 30, 2019
39
Page Intentionally Left Blank
40
Historical Statistics 3 Years
ReturnStandardDeviation
SharpeRatio
UpMarket
Capture
UpQuarters
DownMarketCapture
DownQuarters
Investment 18.79 14.85 1.14 108.32 9 99.59 3
Index 16.37 13.26 1.10 100.00 11 100.00 1
90 Day U.S. Treasury Bill 1.54 0.22 N/A 4.11 12 -3.66 N/A
Historical Statistics 5 Years
ReturnStandardDeviation
SharpeRatio
UpMarketCapture
UpQuarters
DownMarketCapture
DownQuarters
Investment 13.40 14.59 0.88 103.14 15 102.10 5
Index 13.07 12.90 0.95 100.00 18 100.00 2
90 Day U.S. Treasury Bill 0.96 0.27 N/A 2.81 19 -2.42 1
Risk and Return 3 Years
Investment Index
15.6
16.2
16.8
17.4
18.0
18.6
19.2
Ret
urn
(%)
12.9 13.2 13.5 13.8 14.1 14.4 14.7 15.0 15.3Risk (Standard Deviation %)
Risk and Return 5 Years
Investment Index
13.0
13.1
13.2
13.3
13.4
13.5
Ret
urn
(%)
12.3 12.6 12.9 13.2 13.5 13.8 14.1 14.4 14.7 15.0Risk (Standard Deviation %)
3 Year Rolling Percentile Rank IM U.S. All Cap Growth Equity (SA+CF)
0.0
25.0
50.0
75.0
100.0
Ret
urn
Per
cen
tile
Ran
k
12/14 6/15 12/15 6/16 12/16 6/17 12/17 6/18 12/18 6/19 9/19
Total Period5-25
Count25-Median
CountMedian-75
Count75-95Count
Investment 20 4 (20%) 5 (25%) 4 (20%) 7 (35%)¾
Index 20 10 (50%) 10 (50%) 0 (0%) 0 (0%)¾
5 Year Rolling Percentile Rank IM U.S. All Cap Growth Equity (SA+CF)
0.0
25.0
50.0
75.0
100.0
Ret
urn
Per
cen
tile
Ran
k
12/14 6/15 12/15 6/16 12/16 6/17 12/17 6/18 12/18 6/19 9/19
Total Period5-25
Count25-Median
CountMedian-75
Count75-95Count
Investment 14 2 (14%) 3 (21%) 6 (43%) 3 (21%)¾
Index 20 12 (60%) 8 (40%) 0 (0%) 0 (0%)¾
Strategy Review
Wells Capital Heritage AllCap Growth | Russell 3000 Growth Index
As of September 30, 2019
41
Peer Group Analysis - IM U.S. All Cap Growth Equity (SA+CF)
-12.0
-8.0
-4.0
0.0
4.0
8.0
12.0
16.0
20.0
24.0
28.0
Re
turn
QTRFYTD
1 YR 2 YR 3 YR 4 YR 5 YR
Investment -1.42 (63) 5.26 (32) 5.26 (32) 17.20 (26) 18.79 (17) 16.38 (23) 13.40 (24)��
Index 1.10 (14) 2.70 (58) 2.70 (58) 13.70 (47) 16.37 (38) 15.68 (35) 13.07 (31)��
Median -0.71 3.68 3.68 13.57 15.34 14.63 12.44
Peer Group Analysis - IM U.S. All Cap Growth Equity (SA+CF)
-16.0
-10.0
-4.0
2.0
8.0
14.0
20.0
26.0
32.0
38.0
44.0
Re
turn
Oct-2018To
Sep-2019
Oct-2017To
Sep-2018
Oct-2016To
Sep-2017
Oct-2015To
Sep-2016
Oct-2014To
Sep-2015
Oct-2013To
Sep-2014
Investment 5.26 (32) 30.49 (26) 22.04 (28) 9.44 (62) 2.20 (55) 6.56 (89)��
Index 2.70 (58) 25.89 (44) 21.87 (32) 13.64 (16) 3.21 (50) 17.87 (21)��
Median 3.68 25.26 20.40 11.08 3.10 13.16
Comparative Performance
1 QtrEnding
Jun-2019
1 QtrEnding
Mar-2019
1 QtrEnding
Dec-2018
1 QtrEnding
Sep-2018
1 QtrEnding
Jun-2018
1 QtrEnding
Mar-2018
Investment 7.45 (21) 20.16 (14) -17.30 (70) 7.79 (47) 6.21 (36) 6.82 (8)
Index 4.50 (63) 16.18 (51) -16.33 (63) 8.88 (28) 5.87 (38) 1.48 (78)
Median 5.75 16.28 -15.45 7.74 4.90 2.47
Strategy Review
Wells Capital Heritage AllCap Growth | Russell 3000 Growth Index
As of September 30, 2019
42
Relative Performance
Cumulative Annualized Over/Under Relative Performance Over/Under Performance
0.0
4.0
8.0
10.0
-4.0
-8.0
-10.0
Re
turn
(%)
5/11 11/11 5/12 11/12 5/13 11/13 5/14 11/14 5/15 11/15 5/16 11/16 5/17 11/17 5/18 11/18 5/19 9/19
Distribution of Active Returns
0
4
8
12
16
20
24
28
32
Fre
qu
en
cy
< -6 -6 To -5 -5 To -4 -4 To -3 -3 To -2 -2 To -1 -1 To 0 0 To 1 1 To 2 2 To 3 3 To 4 4 To 5 5 To 6 > 6
Returns (%)
Distribution of Returns
0
2
4
6
8
10
12
14
16
18
Fre
qu
en
cy
< -6 -6 To -5 -5 To -4 -4 To -3 -3 To -2 -2 To -1 -1 To 0 0 To 1 1 To 2 2 To 3 3 To 4 4 To 5 5 To 6 > 6
Returns (%)
Performance Distribution and Relative Performance
Wells Capital
As of September 30, 2019
43
Portfolio Characteristics (Benchmark: R3000 G)
Portfolio Benchmark
Wtd. Avg. Mkt. Cap ($) 209,404,490,790 302,401,793,902
Median Mkt. Cap ($) 13,486,623,500 1,675,935,360
Price/Earnings ratio 31.5 26.5
Price/Book ratio 6.4 7.1
5 Yr. EPS Growth Rate (%) 29.8 23.6
Current Yield (%) 0.6 1.2
Beta (5 Years, Monthly) 1.07 1.00
Number of Stocks 95 1,695
Top Ten Equity Holdings (Benchmark: R3000 G)
Portfolio Wt Benchmark Wt Active Wt Qtr Rtrn
Amazon.com Inc 6.3 4.8 1.5 -8.3
Alphabet Inc 3.6 2.5 1.1 12.8
Microchip Technology Inc 3.4 0.0 3.4 7.6
Microsoft Corp 3.4 7.0 -3.6 4.1
Mastercard Inc 3.2 1.6 1.6 2.8
Visa Inc 3.1 2.0 1.1 -0.7
Monolithic Power Systems Inc 2.7 0.0 2.7 14.9
Burlington Stores Inc 2.3 0.1 2.2 17.4
Apple Inc 2.2 6.8 -4.6 13.6
Envestnet Inc 2.1 0.0 2.1 -17.1
% of Portfolio 32.3 24.8 7.5Ten Best Performers (Benchmark: R3000 G)
Portfolio Wt Benchmark Wt Active Wt Quarterly Rtrn
Insulet Corp 1.3 0.1 1.2 38.2
Milacron Holdings Corp 0.3 0.0 0.3 20.8
Edwards Lifesciences Corp 0.6 0.3 0.3 19.0
Natera Inc 0.5 0.0 0.5 18.9
NovoCure Ltd 1.3 0.0 1.3 18.3
Twitter Inc 0.6 0.2 0.4 18.1
Burlington Stores Inc 2.3 0.1 2.2 17.4
Monolithic Power Systems Inc 2.7 0.0 2.7 14.9
Apple Inc 2.2 6.8 -4.6 13.6
Texas Instruments Inc 1.7 0.8 0.9 13.3
% of Portfolio 13.5 8.3 5.2
Ten Worst Performers (Benchmark: R3000 G)
Portfolio Wt Benchmark Wt Active Wt Quarterly Rtrn
PagerDuty Inc 0.1 0.0 0.1 -40.0
Adaptive Biotechnologies Corp 0.0 0.0 0.0 -36.0
Ollie's Bargin Outlet Holdings 0.8 0.0 0.8 -32.7
New Relic Inc 0.4 0.0 0.4 -29.0
Ulta Salon Cosmetics 1.3 0.1 1.2 -27.7
Netflix Inc 0.1 0.8 -0.7 -27.1
LendingTree Inc 0.8 0.0 0.8 -26.1
Alexion Pharmaceuticals 1.0 0.1 0.9 -25.2
Mimecast Ltd 1.1 0.0 1.1 -23.6
Sage Therapeutics Inc 0.4 0.0 0.4 -23.4
% of Portfolio 6.0 1.0 5.0Buy and Hold Sector Attribution (Benchmark: R3000 G)
Allocation
Portfolio Benchmark
Performance
Portfolio Benchmark
Attribution
Stock Sector Total
Communication Services 8.2 11.1 4.10 0.58 0.29 0.01 0.30
Consumer Discretionary 20.0 14.7 -4.03 -0.57 -0.70 -0.09 -0.79
Consumer Staples 2.8 5.0 7.74 5.46 0.06 -0.07 -0.01
Energy 0.2 0.5 -34.08 -7.98 -0.07 0.03 -0.04
Financials 4.5 3.8 -3.75 0.18 -0.20 -0.01 -0.21
Health Care 10.7 14.7 -2.27 -3.45 0.14 0.16 0.30
Industrials 13.0 10.9 -1.12 2.66 -0.49 0.05 -0.43
Information Technology 37.5 35.0 -1.46 2.91 -1.63 0.08 -1.55
Materials 2.3 1.7 0.88 2.09 -0.03 0.01 -0.02
Real Estate 0.0 2.6 0.00 7.14 0.00 -0.15 -0.15
Utilities 0.0 0.1 0.00 10.25 0.00 -0.01 -0.01
Other 0.0 0.0 3.33 20.55 -0.02 0.01 0.00
Cash 0.6 0.0 0.56 0.00 0.00 0.01 0.01
Total 100.0 100.0 -1.44 1.18 -2.65 0.03 -2.62
Portfolio Comparison
Wells Capital R3000 G
Market Capitalization (%)
Greater than 25000M 49.5 78.0
16000M To 25000M 12.5 5.5
12000M To 16000M 7.3 3.3
8000M To 12000M 5.2 3.2
5000M To 8000M 11.6 3.1
3000M To 5000M 3.8 2.5
1000M To 3000M 8.8 3.5
500M To 1000M 1.1 0.6
200M To 500M 0.0 0.3
Less than 200M 0.0 0.1
Cash 0.2 0.0
Holdings Based Analysis
Wells Capital
As of September 30, 2019
44
Historical Statistics 3 Years
ReturnStandardDeviation
SharpeRatio
UpMarket
Capture
UpQuarters
DownMarketCapture
DownQuarters
Investment 18.41 14.19 1.16 103.63 9 95.86 3
Index 16.89 13.11 1.15 100.00 11 100.00 1
90 Day U.S. Treasury Bill 1.54 0.22 N/A 4.19 12 -3.45 N/A
Historical Statistics 5 Years
ReturnStandardDeviation
SharpeRatio
UpMarketCapture
UpQuarters
DownMarketCapture
DownQuarters
Investment 13.85 14.04 0.93 104.79 15 105.39 5
Index 13.39 12.77 0.98 100.00 18 100.00 2
90 Day U.S. Treasury Bill 0.96 0.27 N/A 2.87 19 -2.29 1
Risk and Return 3 Years
Investment Index
16.4
16.8
17.2
17.6
18.0
18.4
18.8
Ret
urn
(%)
12.8 13.0 13.2 13.4 13.6 13.8 14.0 14.2 14.4Risk (Standard Deviation %)
Risk and Return 5 Years
Investment Index
13.2
13.4
13.6
13.8
14.0
Ret
urn
(%)
12.4 12.6 12.8 13.0 13.2 13.4 13.6 13.8 14.0 14.2 14.4Risk (Standard Deviation %)
3 Year Rolling Percentile Rank IM U.S. Large Cap Growth Equity (SA+CF)
0.0
25.0
50.0
75.0
100.0
Ret
urn
Per
cen
tile
Ran
k
12/14 6/15 12/15 6/16 12/16 6/17 12/17 6/18 12/18 6/19 9/19
Total Period5-25
Count25-Median
CountMedian-75
Count75-95Count
Investment 20 5 (25%) 7 (35%) 7 (35%) 1 (5%)¾
Index 20 3 (15%) 14 (70%) 3 (15%) 0 (0%)¾
5 Year Rolling Percentile Rank IM U.S. Large Cap Growth Equity (SA+CF)
0.0
25.0
50.0
75.0
100.0
Ret
urn
Per
cen
tile
Ran
k
12/14 6/15 12/15 6/16 12/16 6/17 12/17 6/18 12/18 6/19 9/19
Total Period5-25
Count25-Median
CountMedian-75
Count75-95Count
Investment 20 2 (10%) 12 (60%) 5 (25%) 1 (5%)¾
Index 20 0 (0%) 20 (100%) 0 (0%) 0 (0%)¾
Strategy Review
Winslow Large Cap Growth | Russell 1000 Growth Index
As of September 30, 2019
45
Peer Group Analysis - IM U.S. Large Cap Growth Equity (SA+CF)
-12.0
-8.0
-4.0
0.0
4.0
8.0
12.0
16.0
20.0
24.0
28.0
Re
turn
QTRFYTD
1 YR 2 YR 3 YR 4 YR 5 YR
Investment -0.31 (71) 3.69 (56) 3.69 (56) 16.80 (20) 18.41 (23) 16.45 (24) 13.85 (28)��
Index 1.49 (31) 3.71 (56) 3.71 (56) 14.45 (44) 16.89 (39) 16.10 (30) 13.39 (38)��
Median 0.83 4.30 4.30 14.06 16.16 15.10 12.82
Peer Group Analysis - IM U.S. Large Cap Growth Equity (SA+CF)
-16.0
-10.0
-4.0
2.0
8.0
14.0
20.0
26.0
32.0
38.0
44.0
Re
turn
Oct-2018To
Sep-2019
Oct-2017To
Sep-2018
Oct-2016To
Sep-2017
Oct-2015To
Sep-2016
Oct-2014To
Sep-2015
Oct-2013To
Sep-2014
Investment 3.69 (56) 31.57 (12) 21.68 (38) 10.77 (61) 4.02 (43) 16.83 (65)��
Index 3.71 (56) 26.30 (36) 21.94 (37) 13.76 (23) 3.17 (54) 19.15 (40)��
Median 4.30 24.41 20.81 11.62 3.55 18.18
Comparative Performance
1 QtrEnding
Jun-2019
1 QtrEnding
Mar-2019
1 QtrEnding
Dec-2018
1 QtrEnding
Sep-2018
1 QtrEnding
Jun-2018
1 QtrEnding
Mar-2018
Investment 4.80 (57) 17.81 (20) -15.75 (58) 8.40 (43) 7.68 (10) 6.30 (7)
Index 4.64 (59) 16.10 (47) -15.89 (61) 9.17 (23) 5.76 (42) 1.42 (60)
Median 5.10 15.99 -15.29 8.14 5.36 2.07
Strategy Review
Winslow Large Cap Growth | Russell 1000 Growth Index
As of September 30, 2019
46
Relative Performance
Cumulative Annualized Over/Under Relative Performance Over/Under Performance
0.0
4.0
8.0
10.0
-4.0
-8.0
-10.0
Re
turn
(%)
2/08 8/08 2/09 8/09 2/10 8/10 2/11 8/11 2/12 8/12 2/13 8/13 2/14 8/14 2/15 8/15 2/16 8/16 2/17 8/17 2/18 8/18 2/19 9/19
Distribution of Active Returns
0
8
16
24
32
40
48
56
64
Fre
qu
en
cy
< -6 -6 To -5 -5 To -4 -4 To -3 -3 To -2 -2 To -1 -1 To 0 0 To 1 1 To 2 2 To 3 3 To 4 4 To 5 5 To 6 > 6
Returns (%)
Distribution of Returns
0
3
6
9
12
15
18
21
Fre
qu
en
cy
< -6 -6 To -5 -5 To -4 -4 To -3 -3 To -2 -2 To -1 -1 To 0 0 To 1 1 To 2 2 To 3 3 To 4 4 To 5 5 To 6 > 6
Returns (%)
Performance Distribution and Relative Performance
Winslow
As of September 30, 2019
47
Portfolio Characteristics (Benchmark: R1000 G)
Portfolio Benchmark
Wtd. Avg. Mkt. Cap ($) 328,848,651,317 323,014,230,411
Median Mkt. Cap ($) 84,867,018,040 12,429,806,360
Price/Earnings ratio 34.9 26.6
Price/Book ratio 8.5 7.6
5 Yr. EPS Growth Rate (%) 27.1 24.0
Current Yield (%) 0.8 1.2
Beta (5 Years, Monthly) 1.06 1.00
Number of Stocks 50 531
Top Ten Equity Holdings (Benchmark: R1000 G)
Portfolio Wt Benchmark Wt Active Wt Qtr Rtrn
Microsoft Corp 7.6 7.5 0.1 4.1
Amazon.com Inc 6.5 5.1 1.4 -8.3
Visa Inc 4.7 2.1 2.6 -0.7
Apple Inc 4.6 7.3 -2.7 13.6
Facebook Inc 4.4 3.0 1.4 -7.7
salesforce.com Inc 3.8 0.9 2.9 -2.2
Mastercard Inc 3.4 1.7 1.7 2.8
Nike Inc 2.9 0.8 2.1 12.2
Alphabet Inc 2.8 2.7 0.1 12.8
Adobe Inc 2.8 1.0 1.8 -6.2
% of Portfolio 43.5 32.1 11.4Ten Best Performers (Benchmark: R1000 G)
Portfolio Wt Benchmark Wt Active Wt Quarterly Rtrn
Sherwin-Williams Co (The) 1.3 0.3 1.0 20.2
PagSeguro Digital Ltd 0.9 0.0 0.9 18.8
Northrop Grumman Corp 1.4 0.4 1.0 16.4
Equinix Inc 1.4 0.3 1.1 14.9
Fiserv Inc. 2.0 0.4 1.6 13.6
Apple Inc 4.6 7.3 -2.7 13.6
Texas Instruments Inc 1.1 0.9 0.2 13.3
Alphabet Inc 2.8 2.6 0.2 12.8
Alphabet Inc 2.8 2.7 0.1 12.8
Nike Inc 2.9 0.8 2.1 12.2
% of Portfolio 21.2 15.7 5.5
Ten Worst Performers (Benchmark: R1000 G)
Portfolio Wt Benchmark Wt Active Wt Quarterly Rtrn
EXACT Sciences Corp 1.3 0.1 1.2 -23.4
Xilinx Inc. 0.9 0.2 0.7 -18.4
Workday Inc 1.2 0.2 1.0 -17.3
Fortive Corp 0.9 0.0 0.9 -15.8
Unitedhealth Group Inc 1.5 1.5 0.0 -10.5
MercadoLibre Inc 1.0 0.0 1.0 -9.9
PayPal Holdings Inc 2.1 0.9 1.2 -9.5
Amazon.com Inc 6.5 5.1 1.4 -8.3
Facebook Inc 4.4 3.0 1.4 -7.7
Adobe Inc 2.8 1.0 1.8 -6.2
% of Portfolio 22.6 12.0 10.6Buy and Hold Sector Attribution (Benchmark: R1000 G)
Allocation
Portfolio Benchmark
Performance
Portfolio Benchmark
Attribution
Stock Sector Total
Communication Services 12.8 11.7 -1.10 0.77 -0.26 0.01 -0.25
Consumer Discretionary 17.5 14.8 -1.05 -0.41 -0.10 -0.05 -0.15
Consumer Staples 0.3 5.1 -2.26 5.49 -0.02 -0.18 -0.20
Energy 0.0 0.4 0.00 -6.74 0.00 0.05 0.05
Financials 2.0 3.6 3.22 0.83 0.09 0.01 0.10
Health Care 15.7 13.8 -4.31 -2.62 -0.29 -0.16 -0.45
Industrials 8.1 10.3 1.87 3.08 -0.08 -0.03 -0.12
Information Technology 39.9 36.2 0.91 3.05 -0.85 0.06 -0.79
Materials 2.4 1.6 7.35 3.53 0.09 0.02 0.11
Real Estate 0.6 2.5 15.39 7.44 0.10 -0.13 -0.03
Other 0.0 0.0 0.00 20.55 0.00 -0.01 -0.01
Cash 0.6 0.0 0.56 0.00 0.00 -0.01 -0.01
Total 100.0 100.0 -0.19 1.55 -1.33 -0.41 -1.74
Portfolio Comparison
Winslow R1000 G
Market Capitalization (%)
Greater than 25000M 88.8 83.3
16000M To 25000M 5.5 5.9
12000M To 16000M 0.0 3.5
8000M To 12000M 2.7 3.4
5000M To 8000M 2.1 3.1
3000M To 5000M 0.0 0.7
1000M To 3000M 0.2 0.1
Cash 0.6 0.0
Holdings Based Analysis
Winslow
As of September 30, 2019
48
Historical Statistics 3 Years
ReturnStandardDeviation
SharpeRatio
UpMarket
Capture
UpQuarters
DownMarketCapture
DownQuarters
Investment 9.44 15.11 0.57 100.17 9 99.90 3
Index 9.38 15.10 0.57 100.00 9 100.00 3
90 Day U.S. Treasury Bill 1.54 0.22 N/A 4.01 12 -3.53 N/A
Historical Statistics 5 Years
ReturnStandardDeviation
SharpeRatio
UpMarketCapture
UpQuarters
DownMarketCapture
DownQuarters
Investment 9.48 13.70 0.66 100.19 15 96.36 5
Index 8.88 13.79 0.62 100.00 15 100.00 5
90 Day U.S. Treasury Bill 0.96 0.27 N/A 2.72 19 -2.46 1
Risk and Return 3 Years
Investment Index
9.3
9.4
9.5
Ret
urn
(%)
15.1 15.2Risk (Standard Deviation %)
Risk and Return 5 Years
Investment Index
8.6
8.8
9.0
9.2
9.4
9.6
Ret
urn
(%)
13.6 13.7 13.8 13.9Risk (Standard Deviation %)
3 Year Rolling Percentile Rank IM U.S. SMID Cap Core Equity (MF)
0.0
25.0
50.0
75.0
100.0
Ret
urn
Per
cen
tile
Ran
k
12/14 6/15 12/15 6/16 12/16 6/17 12/17 6/18 12/18 6/19 9/19
Total Period5-25
Count25-Median
CountMedian-75
Count75-95Count
Investment 12 9 (75%) 3 (25%) 0 (0%) 0 (0%)¾
Index 20 14 (70%) 6 (30%) 0 (0%) 0 (0%)¾
5 Year Rolling Percentile Rank IM U.S. SMID Cap Core Equity (MF)
0.0
25.0
50.0
75.0
100.0
Ret
urn
Per
cen
tile
Ran
k
12/14 6/15 12/15 6/16 12/16 6/17 12/17 6/18 12/18 6/19 9/19
Total Period5-25
Count25-Median
CountMedian-75
Count75-95Count
Investment 4 4 (100%) 0 (0%) 0 (0%) 0 (0%)¾
Index 20 20 (100%) 0 (0%) 0 (0%) 0 (0%)¾
Strategy Review
NT S&P 400 Index Fund | S&P MidCap 400 Index
As of September 30, 2019
49
Peer Group Analysis - IM U.S. SMID Cap Core Equity (MF)
-20.0
-16.0
-12.0
-8.0
-4.0
0.0
4.0
8.0
12.0
16.0
20.0
Re
turn
QTRFYTD
1 YR 2 YR 3 YR 4 YR 5 YR
Investment -0.07 (27) -2.44 (16) -2.44 (16) 5.59 (12) 9.44 (17) 10.91 (15) 9.48 (8)��
Index -0.09 (28) -2.49 (16) -2.49 (16) 5.53 (12) 9.38 (17) 10.84 (16) 8.88 (15)��
Median -1.03 -6.80 -6.80 2.41 7.41 8.89 7.22
Peer Group Analysis - IM U.S. SMID Cap Core Equity (MF)
-22.0
-16.0
-10.0
-4.0
2.0
8.0
14.0
20.0
26.0
32.0
Re
turn
Oct-2018To
Sep-2019
Oct-2017To
Sep-2018
Oct-2016To
Sep-2017
Oct-2015To
Sep-2016
Oct-2014To
Sep-2015
Oct-2013To
Sep-2014
Investment -2.44 (16) 14.28 (34) 17.57 (61) 15.41 (31) 3.95 (13) N/A��
Index -2.49 (16) 14.21 (34) 17.52 (61) 15.33 (32) 1.40 (37) 11.82 (4)��
Median -6.80 12.12 18.49 13.72 0.72 6.78
Comparative Performance
1 QtrEnding
Jun-2019
1 QtrEnding
Mar-2019
1 QtrEnding
Dec-2018
1 QtrEnding
Sep-2018
1 QtrEnding
Jun-2018
1 QtrEnding
Mar-2018
Investment 3.06 (34) 14.51 (37) -17.27 (16) 3.88 (32) 4.31 (70) -0.75 (39)
Index 3.05 (34) 14.49 (37) -17.28 (16) 3.86 (33) 4.29 (70) -0.77 (40)
Median 2.59 13.98 -19.09 3.21 5.64 -1.09
Strategy Review
NT S&P 400 Index Fund | S&P MidCap 400 Index
As of September 30, 2019
50
Historical Statistics 3 Years
ReturnStandardDeviation
SharpeRatio
UpMarket
Capture
UpQuarters
DownMarketCapture
DownQuarters
Investment 7.43 12.78 0.51 104.14 9 100.77 3
Index 6.85 11.29 0.51 100.00 7 100.00 5
90 Day U.S. Treasury Bill 1.54 0.22 N/A 4.72 12 -4.53 N/A
Historical Statistics 5 Years
ReturnStandardDeviation
SharpeRatio
UpMarketCapture
UpQuarters
DownMarketCapture
DownQuarters
Investment 5.59 13.38 0.40 107.02 13 94.14 7
Index 3.39 12.38 0.25 100.00 11 100.00 9
90 Day U.S. Treasury Bill 0.96 0.27 N/A 3.06 19 -2.40 1
Risk and Return 3 Years
Investment Index
6.6
6.8
7.0
7.2
7.4
7.6
Ret
urn
(%)
10.8 11.0 11.2 11.4 11.6 11.8 12.0 12.2 12.4 12.6 12.8 13.0 13.2Risk (Standard Deviation %)
Risk and Return 5 Years
Investment Index
2.4
3.0
3.6
4.2
4.8
5.4
6.0
6.6
Ret
urn
(%)
12.0 12.2 12.4 12.6 12.8 13.0 13.2 13.4 13.6Risk (Standard Deviation %)
3 Year Rolling Percentile Rank IM International Large Cap Value Equity (SA+CF)
0.0
25.0
50.0
75.0
100.0
Ret
urn
Per
cen
tile
Ran
k
12/14 6/15 12/15 6/16 12/16 6/17 12/17 6/18 12/18 6/19 9/19
Total Period5-25
Count25-Median
CountMedian-75
Count75-95Count
Investment 9 9 (100%) 0 (0%) 0 (0%) 0 (0%)¾
Index 20 0 (0%) 6 (30%) 8 (40%) 6 (30%)¾
5 Year Rolling Percentile Rank IM International Large Cap Value Equity (SA+CF)
0.0
25.0
50.0
75.0
100.0
Ret
urn
Per
cen
tile
Ran
k
12/14 6/15 12/15 6/16 12/16 6/17 12/17 6/18 12/18 6/19 9/19
Total Period5-25
Count25-Median
CountMedian-75
Count75-95Count
Investment 1 1 (100%) 0 (0%) 0 (0%) 0 (0%)¾
Index 20 0 (0%) 4 (20%) 3 (15%) 13 (65%)¾
Strategy Review
RBC GAM International Fund | MSCI AC World ex USA
As of September 30, 2019
51
Peer Group Analysis - IM International Large Cap Value Equity (SA+CF)
-13.0
-10.0
-7.0
-4.0
-1.0
2.0
5.0
8.0
11.0
14.0
Re
turn
QTRFYTD
1 YR 2 YR 3 YR 4 YR 5 YR
Investment -2.48 (76) -5.36 (69) -5.36 (69) 0.53 (28) 7.43 (19) 8.24 (21) 5.59 (16)��
Index -1.70 (52) -0.72 (25) -0.72 (25) 0.76 (25) 6.85 (30) 7.58 (31) 3.39 (42)��
Median -1.56 -3.42 -3.42 -0.70 5.84 6.21 3.05
Peer Group Analysis - IM International Large Cap Value Equity (SA+CF)
-28.0
-22.0
-16.0
-10.0
-4.0
2.0
8.0
14.0
20.0
26.0
32.0
38.0
Re
turn
Oct-2018To
Sep-2019
Oct-2017To
Sep-2018
Oct-2016To
Sep-2017
Oct-2015To
Sep-2016
Oct-2014To
Sep-2015
Oct-2013To
Sep-2014
Investment -5.36 (69) 6.78 (6) 22.69 (36) 10.70 (30) -4.36 (20) N/A��
Index -0.72 (25) 2.25 (36) 20.15 (53) 9.80 (33) -11.78 (78) 5.22 (57)��
Median -3.42 1.45 20.82 8.39 -9.46 5.75
Comparative Performance
1 QtrEnding
Jun-2019
1 QtrEnding
Mar-2019
1 QtrEnding
Dec-2018
1 QtrEnding
Sep-2018
1 QtrEnding
Jun-2018
1 QtrEnding
Mar-2018
Investment 2.47 (49) 10.23 (34) -14.08 (72) 1.54 (31) 1.35 (4) -1.41 (58)
Index 3.22 (33) 10.44 (29) -11.41 (36) 0.80 (57) -2.39 (55) -1.08 (44)
Median 2.41 9.55 -12.88 0.88 -2.16 -1.26
Strategy Review
RBC GAM International Fund | MSCI AC World ex USA
As of September 30, 2019
52
Historical Statistics 3 Years
ReturnStandardDeviation
SharpeRatio
UpMarket
Capture
UpQuarters
DownMarketCapture
DownQuarters
Investment 11.79 11.38 0.91 97.84 9 60.81 3
Index 6.85 11.29 0.51 100.00 7 100.00 5
90 Day U.S. Treasury Bill 1.54 0.22 N/A 4.72 12 -4.53 N/A
Historical Statistics 5 Years
ReturnStandardDeviation
SharpeRatio
UpMarketCapture
UpQuarters
DownMarketCapture
DownQuarters
Investment 9.83 11.68 0.78 91.79 15 50.21 5
Index 3.39 12.38 0.25 100.00 11 100.00 9
90 Day U.S. Treasury Bill 0.96 0.27 N/A 3.06 19 -2.40 1
Risk and Return 3 Years
Investment Index
6.0
8.0
10.0
12.0
14.0
Ret
urn
(%)
11.2 11.3 11.4Risk (Standard Deviation %)
Risk and Return 5 Years
Investment Index
0.0
2.0
4.0
6.0
8.0
10.0
12.0
Ret
urn
(%)
11.4 11.5 11.6 11.7 11.8 11.9 12.0 12.1 12.2 12.3 12.4 12.5Risk (Standard Deviation %)
3 Year Rolling Percentile Rank IM International Large Cap Growth Equity (MF)
0.0
25.0
50.0
75.0
100.0
Ret
urn
Per
cen
tile
Ran
k
12/14 6/15 12/15 6/16 12/16 6/17 12/17 6/18 12/18 6/19 9/19
Total Period5-25
Count25-Median
CountMedian-75
Count75-95Count
Investment 11 11 (100%) 0 (0%) 0 (0%) 0 (0%)¾
Index 20 2 (10%) 7 (35%) 8 (40%) 3 (15%)¾
5 Year Rolling Percentile Rank IM International Large Cap Growth Equity (MF)
0.0
25.0
50.0
75.0
100.0
Ret
urn
Per
cen
tile
Ran
k
12/14 6/15 12/15 6/16 12/16 6/17 12/17 6/18 12/18 6/19 9/19
Total Period5-25
Count25-Median
CountMedian-75
Count75-95Count
Investment 3 3 (100%) 0 (0%) 0 (0%) 0 (0%)¾
Index 20 0 (0%) 6 (30%) 8 (40%) 6 (30%)¾
Strategy Review
WCM Focused Intl Growth (WCMIX) | MSCI AC World ex USA
As of September 30, 2019
53
Peer Group Analysis - IM International Large Cap Growth Equity (MF)
-7.0
-4.0
-1.0
2.0
5.0
8.0
11.0
14.0
17.0
Re
turn
QTRFYTD
1 YR 2 YR 3 YR 4 YR 5 YR
Investment -0.57 (24) 8.10 (2) 8.10 (2) 9.67 (1) 11.79 (1) 12.55 (1) 9.83 (1)��
Index -1.70 (64) -0.72 (67) -0.72 (67) 0.76 (63) 6.85 (48) 7.58 (35) 3.39 (62)��
Median -1.46 0.81 0.81 1.22 6.73 6.82 3.78
Peer Group Analysis - IM International Large Cap Growth Equity (MF)
-34.0
-28.0
-22.0
-16.0
-10.0
-4.0
2.0
8.0
14.0
20.0
26.0
32.0
Re
turn
Oct-2018To
Sep-2019
Oct-2017To
Sep-2018
Oct-2016To
Sep-2017
Oct-2015To
Sep-2016
Oct-2014To
Sep-2015
Oct-2013To
Sep-2014
Investment 8.10 (2) 11.26 (1) 16.16 (69) 14.84 (7) -0.39 (8) N/A��
Index -0.72 (67) 2.25 (50) 20.15 (19) 9.80 (27) -11.78 (89) 5.22 (29)��
Median 0.81 2.20 17.85 7.77 -5.68 4.23
Comparative Performance
1 QtrEnding
Jun-2019
1 QtrEnding
Mar-2019
1 QtrEnding
Dec-2018
1 QtrEnding
Sep-2018
1 QtrEnding
Jun-2018
1 QtrEnding
Mar-2018
Investment 9.93 (1) 12.85 (43) -12.36 (38) 3.04 (4) 0.88 (10) 1.79 (11)
Index 3.22 (86) 10.44 (94) -11.41 (25) 0.80 (39) -2.39 (52) -1.08 (64)
Median 4.44 12.52 -12.70 0.36 -2.31 -0.60
Strategy Review
WCM Focused Intl Growth (WCMIX) | MSCI AC World ex USA
As of September 30, 2019
54
Historical Statistics 3 Years
ReturnStandardDeviation
SharpeRatio
UpMarket
Capture
UpQuarters
DownMarketCapture
DownQuarters
Investment 6.67 11.30 0.49 98.57 7 99.04 5
Index 6.85 11.29 0.51 100.00 7 100.00 5
90 Day U.S. Treasury Bill 1.54 0.22 N/A 4.72 12 -4.53 N/A
Historical Statistics 5 Years
ReturnStandardDeviation
SharpeRatio
UpMarketCapture
UpQuarters
DownMarketCapture
DownQuarters
Investment 3.23 12.38 0.24 99.04 11 99.80 9
Index 3.39 12.38 0.25 100.00 11 100.00 9
90 Day U.S. Treasury Bill 0.96 0.27 N/A 3.06 19 -2.40 1
Risk and Return 3 Years
Investment Index
6.6
6.7
6.8
6.9
Ret
urn
(%)
11.2 11.3 11.4Risk (Standard Deviation %)
Risk and Return 5 Years
Investment Index
3.2
3.3
3.4
3.5
Ret
urn
(%)
12.3 12.4Risk (Standard Deviation %)
3 Year Rolling Percentile Rank IM International Large Cap Core Equity (MF)
0.0
25.0
50.0
75.0
100.0
Ret
urn
Per
cen
tile
Ran
k
12/14 6/15 12/15 6/16 12/16 6/17 12/17 6/18 12/18 6/19 9/19
Total Period5-25
Count25-Median
CountMedian-75
Count75-95Count
Investment 14 8 (57%) 6 (43%) 0 (0%) 0 (0%)¾
Index 20 9 (45%) 5 (25%) 4 (20%) 2 (10%)¾
5 Year Rolling Percentile Rank IM International Large Cap Core Equity (MF)
0.0
25.0
50.0
75.0
100.0
Ret
urn
Per
cen
tile
Ran
k
12/14 6/15 12/15 6/16 12/16 6/17 12/17 6/18 12/18 6/19 9/19
Total Period5-25
Count25-Median
CountMedian-75
Count75-95Count
Investment 6 6 (100%) 0 (0%) 0 (0%) 0 (0%)¾
Index 20 6 (30%) 4 (20%) 10 (50%) 0 (0%)¾
Strategy Review
NT ACWI ex USA Index Fund | MSCI AC World ex USA
As of September 30, 2019
55
Peer Group Analysis - IM International Large Cap Core Equity (MF)
-10.0
-7.0
-4.0
-1.0
2.0
5.0
8.0
11.0
14.0
Re
turn
QTRFYTD
1 YR 2 YR 3 YR 4 YR 5 YR
Investment -1.66 (57) -0.80 (26) -0.80 (26) 0.59 (19) 6.67 (20) 7.39 (2) 3.23 (15)��
Index -1.70 (59) -0.72 (25) -0.72 (25) 0.76 (18) 6.85 (19) 7.58 (2) 3.39 (6)��
Median -1.28 -3.16 -3.16 -1.05 5.23 4.56 1.45
Peer Group Analysis - IM International Large Cap Core Equity (MF)
-28.0
-22.0
-16.0
-10.0
-4.0
2.0
8.0
14.0
20.0
26.0
32.0
Re
turn
Oct-2018To
Sep-2019
Oct-2017To
Sep-2018
Oct-2016To
Sep-2017
Oct-2015To
Sep-2016
Oct-2014To
Sep-2015
Oct-2013To
Sep-2014
Investment -0.80 (26) 1.99 (19) 19.96 (24) 9.60 (5) -11.87 (69) 5.12 (28)��
Index -0.72 (25) 2.25 (15) 20.15 (23) 9.80 (4) -11.78 (69) 5.22 (28)��
Median -3.16 1.18 18.41 4.85 -8.36 4.07
Comparative Performance
1 QtrEnding
Jun-2019
1 QtrEnding
Mar-2019
1 QtrEnding
Dec-2018
1 QtrEnding
Sep-2018
1 QtrEnding
Jun-2018
1 QtrEnding
Mar-2018
Investment 3.13 (42) 10.33 (42) -11.34 (5) 0.68 (44) -2.84 (80) -0.47 (15)
Index 3.22 (38) 10.44 (40) -11.41 (5) 0.80 (40) -2.39 (77) -1.08 (48)
Median 2.81 10.12 -13.65 0.53 -1.86 -1.13
Strategy Review
NT ACWI ex USA Index Fund | MSCI AC World ex USA
As of September 30, 2019
56
Historical Statistics 3 Years
ReturnStandardDeviation
SharpeRatio
UpMarket
Capture
UpQuarters
DownMarketCapture
DownQuarters
Investment 2.93 3.32 0.44 100.47 9 100.83 3
Index 2.92 3.30 0.44 100.00 9 100.00 3
90 Day U.S. Treasury Bill 1.54 0.22 N/A 17.41 12 -16.80 N/A
Historical Statistics 5 Years
ReturnStandardDeviation
SharpeRatio
UpMarketCapture
UpQuarters
DownMarketCapture
DownQuarters
Investment N/A N/A N/A N/A N/A N/A N/A
Index 3.38 3.05 0.81 100.00 15 100.00 5
90 Day U.S. Treasury Bill 0.96 0.27 N/A 11.01 19 -12.64 1
Risk and Return 3 Years
Investment Index
2.9
3.0
Ret
urn
(%)
3.1 3.2 3.3 3.4Risk (Standard Deviation %)
Risk and Return 5 Years
Investment Index
3.3
3.4
Ret
urn
(%)
3.0 3.1Risk (Standard Deviation %)
3 Year Rolling Percentile Rank IM U.S. Broad Market Core Fixed Income (MF)
0.0
25.0
50.0
75.0
100.0
Ret
urn
Per
cen
tile
Ran
k
12/14 6/15 12/15 6/16 12/16 6/17 12/17 6/18 12/18 6/19 9/19
Total Period5-25
Count25-Median
CountMedian-75
Count75-95Count
Investment 1 0 (0%) 1 (100%) 0 (0%) 0 (0%)¾
Index 20 2 (10%) 12 (60%) 6 (30%) 0 (0%)¾
5 Year Rolling Percentile Rank IM U.S. Broad Market Core Fixed Income (MF)
0.0
25.0
50.0
75.0
100.0
Ret
urn
Per
cen
tile
Ran
k
12/14 6/15 12/15 6/16 12/16 6/17 12/17 6/18 12/18 6/19 9/19
Total Period5-25
Count25-Median
CountMedian-75
Count75-95Count
Investment 0 0 0 0 0¾
Index 20 0 (0%) 13 (65%) 7 (35%) 0 (0%)¾
Strategy Review
NT Aggregate Bond Index Fund | Blmbg. Barc. U.S. Aggregate Index
As of September 30, 2019
57
Peer Group Analysis - IM U.S. Broad Market Core Fixed Income (MF)
-2.0
0.0
2.0
4.0
6.0
8.0
10.0
12.0
14.0
Re
turn
QTRFYTD
1 YR 2 YR 3 YR 4 YR 5 YR
Investment 2.28 (31) 10.37 (20) 10.37 (20) 4.42 (23) 2.93 (45) N/A N/A��
Index 2.27 (33) 10.30 (24) 10.30 (24) 4.38 (27) 2.92 (45) 3.49 (48) 3.38 (27)��
Median 2.16 9.81 9.81 4.10 2.86 3.46 3.11
Peer Group Analysis - IM U.S. Broad Market Core Fixed Income (MF)
-6.0
-4.0
-2.0
0.0
2.0
4.0
6.0
8.0
10.0
12.0
14.0
Re
turn
Oct-2018To
Sep-2019
Oct-2017To
Sep-2018
Oct-2016To
Sep-2017
Oct-2015To
Sep-2016
Oct-2014To
Sep-2015
Oct-2013To
Sep-2014
Investment 10.37 (20) -1.20 (39) 0.00 (69) N/A N/A N/A��
Index 10.30 (24) -1.22 (41) 0.07 (64) 5.19 (52) 2.94 (9) 3.96 (59)��
Median 9.81 -1.35 0.48 5.21 1.98 4.19
Comparative Performance
1 QtrEnding
Jun-2019
1 QtrEnding
Mar-2019
1 QtrEnding
Dec-2018
1 QtrEnding
Sep-2018
1 QtrEnding
Jun-2018
1 QtrEnding
Mar-2018
Investment 3.10 (39) 2.98 (66) 1.63 (11) 0.03 (62) -0.15 (28) -1.45 (45)
Index 3.08 (42) 2.94 (72) 1.64 (11) 0.02 (65) -0.16 (30) -1.46 (47)
Median 3.04 3.23 0.99 0.09 -0.25 -1.48
Strategy Review
NT Aggregate Bond Index Fund | Blmbg. Barc. U.S. Aggregate Index
As of September 30, 2019
58
Historical Statistics 3 Years
ReturnStandardDeviation
SharpeRatio
UpMarket
Capture
UpQuarters
DownMarketCapture
DownQuarters
Investment 2.83 2.16 0.63 99.96 9 79.07 3
Index 2.39 2.35 0.39 100.00 9 100.00 3
90 Day U.S. Treasury Bill 1.54 0.22 N/A 22.89 12 -25.42 N/A
Historical Statistics 5 Years
ReturnStandardDeviation
SharpeRatio
UpMarketCapture
UpQuarters
DownMarketCapture
DownQuarters
Investment 3.08 1.97 1.10 99.02 15 77.17 5
Index 2.74 2.16 0.84 100.00 15 100.00 5
90 Day U.S. Treasury Bill 0.96 0.27 N/A 14.84 19 -19.31 1
Risk and Return 3 Years
Investment Index
2.3
2.4
2.5
2.6
2.7
2.8
2.9
Ret
urn
(%)
2.1 2.2 2.3 2.4Risk (Standard Deviation %)
Risk and Return 5 Years
Investment Index
2.6
2.7
2.8
2.9
3.0
3.1
3.2
Ret
urn
(%)
1.9 2.0 2.1 2.2Risk (Standard Deviation %)
3 Year Rolling Percentile Rank IM U.S. Broad Market Core Fixed Income (SA+CF)
0.0
25.0
50.0
75.0
100.0
Ret
urn
Per
cen
tile
Ran
k
12/14 6/15 12/15 6/16 12/16 6/17 12/17 6/18 12/18 6/19 9/19
Total Period5-25
Count25-Median
CountMedian-75
Count75-95Count
Investment 20 0 (0%) 0 (0%) 6 (30%) 14 (70%)¾
Index 20 0 (0%) 0 (0%) 0 (0%) 20 (100%)¾
5 Year Rolling Percentile Rank IM U.S. Broad Market Core Fixed Income (SA+CF)
0.0
25.0
50.0
75.0
100.0
Ret
urn
Per
cen
tile
Ran
k
12/14 6/15 12/15 6/16 12/16 6/17 12/17 6/18 12/18 6/19 9/19
Total Period5-25
Count25-Median
CountMedian-75
Count75-95Count
Investment 20 0 (0%) 0 (0%) 1 (5%) 19 (95%)¾
Index 20 0 (0%) 0 (0%) 0 (0%) 20 (100%)¾
Strategy Review
Richmond Capital Fixed Income | Richmond Policy
As of September 30, 2019
59
Peer Group Analysis - IM U.S. Broad Market Core Fixed Income (SA+CF)
-2.0
0.0
2.0
4.0
6.0
8.0
10.0
12.0
14.0
Re
turn
QTRFYTD
1 YR 2 YR 3 YR 4 YR 5 YR
Investment 1.32 (98) 8.34 (97) 8.34 (97) 3.80 (97) 2.83 (94) 3.09 (98) 3.08 (99)��
Index 1.38 (97) 8.08 (97) 8.08 (97) 3.48 (98) 2.39 (99) 2.68 (100) 2.74 (100)��
Median 2.33 10.47 10.47 4.69 3.35 3.97 3.72
Peer Group Analysis - IM U.S. Broad Market Core Fixed Income (SA+CF)
-4.0
-2.0
0.0
2.0
4.0
6.0
8.0
10.0
12.0
14.0
Re
turn
Oct-2018To
Sep-2019
Oct-2017To
Sep-2018
Oct-2016To
Sep-2017
Oct-2015To
Sep-2016
Oct-2014To
Sep-2015
Oct-2013To
Sep-2014
Investment 8.34 (97) -0.56 (33) 0.92 (37) 3.87 (100) 3.04 (49) 3.01 (98)��
Index 8.08 (97) -0.93 (64) 0.25 (71) 3.57 (100) 2.95 (60) 2.74 (99)��
Median 10.47 -0.73 0.63 5.67 3.02 4.51
Comparative Performance
1 QtrEnding
Jun-2019
1 QtrEnding
Mar-2019
1 QtrEnding
Dec-2018
1 QtrEnding
Sep-2018
1 QtrEnding
Jun-2018
1 QtrEnding
Mar-2018
Investment 2.36 (98) 2.52 (96) 1.90 (10) 0.24 (36) 0.16 (11) -0.95 (13)
Index 2.39 (97) 2.28 (98) 1.80 (14) 0.11 (63) 0.09 (14) -1.05 (16)
Median 3.14 3.22 1.39 0.18 -0.09 -1.37
Strategy Review
Richmond Capital Fixed Income | Richmond Policy
As of September 30, 2019
60
Relative Performance
Cumulative Annualized Over/Under Relative Performance Over/Under Performance
0.0
4.0
8.0
10.0
-4.0
-8.0
-10.0
Re
turn
(%)
10/03 7/04 4/05 1/06 10/06 7/07 4/08 1/09 10/09 7/10 4/11 1/12 10/12 7/13 4/14 1/15 10/15 7/16 4/17 1/18 10/18 9/19
Distribution of Active Returns
0
15
30
45
60
75
90
105
120
135
Fre
qu
en
cy
< -6 -6 To -5 -5 To -4 -4 To -3 -3 To -2 -2 To -1 -1 To 0 0 To 1 1 To 2 2 To 3 3 To 4 4 To 5 5 To 6 > 6
Returns (%)
Distribution of Returns
0
15
30
45
60
75
90
105
120
Fre
qu
en
cy
< -6 -6 To -5 -5 To -4 -4 To -3 -3 To -2 -2 To -1 -1 To 0 0 To 1 1 To 2 2 To 3 3 To 4 4 To 5 5 To 6 > 6
Returns (%)
Performance Distribution and Relative Performance
Richmond
As of September 30, 2019
61
Portfolio Characteristics
Portfolio Benchmark
Avg. Maturity 3.49 4.61
Avg. Quality AA AA1/AA2
Convexity N/A N/A
Coupon Rate (%) 3.23 3.00
Current Yield 3.10 2.89
Effective Duration 2.83 3.63
Yield To Maturity (%) 2.21 2.12
Yield To Worst N/A N/A
Credit Quality Distribution (%)
0.0
15.0
30.0
45.0
60.0
Treasu
ry
Agenc
yAAA AA A
BBB BB B
Below
BNR
39.3
1.2 2.8
36.3
8.110.6
0.1 0.0 0.0 1.6
16.3
29.4
3.6 3.2
31.0
16.5
0.0 0.0 0.0 0.0
Maturity Distribution (%)
0.0
15.0
30.0
45.0
60.0
< 1 ye
ar
1-3 ye
ars
3-5 ye
ars
5-10
year
s
10-2
0 ye
ars
> 20
year
s
0.0
27.1 27.3
45.6
0.1 0.0
17.1
28.225.8
28.9
0.0 0.0
Sector Distribution (%)
0.0
15.0
30.0
45.0
60.0
Trea
sury
/Age
ncy
Mtg
/Ass
et-B
acke
d
Cor
porat
e
Non
-$/E
mg M
kt
Cas
h
Oth
er
40.5
36.1
23.4
0.0 0.0 0.0
16.3
30.6
50.7
0.02.4
0.0
Duration Distribution (%)
Richmond BC Int Agg
0.0
15.0
30.0
45.0
60.0
< 1 ye
ar
1-3 ye
ars
3-5 ye
ars
5-10
year
s
10-2
0 ye
ars
> 20
year
s
3.1
39.636.7
20.6
0.0 0.0
19.6
39.1
29.5
11.8
0.0 0.0
Fixed Income Portfolio Analysis
As of September 30, 2019
Richmond
62
Historical Statistics 3 Years
ReturnStandardDeviation
SharpeRatio
UpMarket
Capture
UpQuarters
DownMarketCapture
DownQuarters
Investment N/A N/A N/A N/A N/A N/A N/A
Index 2.39 2.35 0.39 100.00 9 100.00 3
90 Day U.S. Treasury Bill 1.54 0.22 N/A 22.89 12 -25.42 N/A
Historical Statistics 5 Years
ReturnStandardDeviation
SharpeRatio
UpMarketCapture
UpQuarters
DownMarketCapture
DownQuarters
Investment N/A N/A N/A N/A N/A N/A N/A
Index 2.74 2.16 0.84 100.00 15 100.00 5
90 Day U.S. Treasury Bill 0.96 0.27 N/A 14.84 19 -19.31 1
Risk and Return 3 Years
Investment Index
2.3
2.4
Ret
urn
(%)
2.1 2.2 2.3 2.4 2.5 2.6Risk (Standard Deviation %)
Risk and Return 5 Years
Investment Index
2.5
2.6
2.7
2.8
2.9
3.0
Ret
urn
(%)
2.1 2.2Risk (Standard Deviation %)
3 Year Rolling Percentile Rank IM U.S. Intermediate Duration (SA+CF)
0.0
25.0
50.0
75.0
100.0
Ret
urn
Per
cen
tile
Ran
k
12/14 6/15 12/15 6/16 12/16 6/17 12/17 6/18 12/18 6/19 9/19
Total Period5-25
Count25-Median
CountMedian-75
Count75-95Count
Investment 0 0 0 0 0¾
Index 0 0 0 0 0¾
5 Year Rolling Percentile Rank IM U.S. Intermediate Duration (SA+CF)
0.0
25.0
50.0
75.0
100.0
Ret
urn
Per
cen
tile
Ran
k
12/14 6/15 12/15 6/16 12/16 6/17 12/17 6/18 12/18 6/19 9/19
Total Period5-25
Count25-Median
CountMedian-75
Count75-95Count
Investment 0 0 0 0 0¾
Index 0 0 0 0 0¾
Strategy Review
Garcial Hamilton | Bloomberg Barclays Intermed Aggregate Index
As of September 30, 2019
63
Peer Group Analysis - IM U.S. Intermediate Duration (SA+CF)
-2.0
0.0
2.0
4.0
6.0
8.0
10.0
12.0
Re
turn
QTRFYTD
1 YR 2 YR 3 YR 4 YR 5 YR
Investment 1.36 (69) N/A N/A N/A N/A N/A N/A��
Index 1.38 (60) 8.08 (45) 8.08 (45) 3.48 (78) 2.39 (87) 2.68 (83) 2.74 (75)��
Median 1.42 8.04 8.04 3.67 2.63 2.94 2.92
Peer Group Analysis - IM U.S. Intermediate Duration (SA+CF)
-4.0
-2.0
0.0
2.0
4.0
6.0
8.0
10.0
12.0
Re
turn
Oct-2018To
Sep-2019
Oct-2017To
Sep-2018
Oct-2016To
Sep-2017
Oct-2015To
Sep-2016
Oct-2014To
Sep-2015
Oct-2013To
Sep-2014
Investment N/A N/A N/A N/A N/A N/A��
Index 8.08 (45) -0.93 (95) 0.25 (87) 3.57 (73) 2.95 (32) 2.74 (58)��
Median 8.04 -0.39 0.69 3.90 2.70 2.88
Comparative Performance
1 QtrEnding
Jun-2019
1 QtrEnding
Mar-2019
1 QtrEnding
Dec-2018
1 QtrEnding
Sep-2018
1 QtrEnding
Jun-2018
1 QtrEnding
Mar-2018
Investment N/A N/A N/A N/A N/A N/A
Index 2.39 (67) 2.28 (71) 1.80 (10) 0.11 (95) 0.09 (61) -1.05 (82)
Median 2.51 2.45 1.38 0.37 0.12 -0.90
Strategy Review
Garcial Hamilton | Bloomberg Barclays Intermed Aggregate Index
As of September 30, 2019
64
Relative Performance
No data found.
Distribution of Active Returns
0
1
2
3
Fre
qu
en
cy
< -6 -6 To -5 -5 To -4 -4 To -3 -3 To -2 -2 To -1 -1 To 0 0 To 1 1 To 2 2 To 3 3 To 4 4 To 5 5 To 6 > 6
Returns (%)
Distribution of Returns
0
1
2
3
Fre
qu
en
cy
< -6 -6 To -5 -5 To -4 -4 To -3 -3 To -2 -2 To -1 -1 To 0 0 To 1 1 To 2 2 To 3 3 To 4 4 To 5 5 To 6 > 6
Returns (%)
Performance Distribution and Relative Performance
Garcial Hamilton
As of September 30, 2019
65
Portfolio Characteristics
Portfolio Benchmark
Avg. Maturity 4.60 4.61
Avg. Quality AA AA1/AA2
Convexity N/A N/A
Coupon Rate (%) 2.65 3.00
Current Yield 2.46 2.89
Effective Duration 2.50 3.63
Yield To Maturity (%) 2.40 2.12
Yield To Worst N/A N/A
Credit Quality Distribution (%)
0.0
15.0
30.0
45.0
60.0
Treasu
ry
Agenc
yAAA AA A
BBB BB B
Below
BNR
39.3
1.2 2.8
36.3
8.110.6
0.1 0.0 0.0 1.6
27.8
35.9
0.0 0.0
36.3
0.0 0.0 0.0 0.0 0.0
Maturity Distribution (%)
0.0
15.0
30.0
45.0
60.0
< 1 ye
ar
1-3 ye
ars
3-5 ye
ars
5-10
year
s
10-2
0 ye
ars
> 20
year
s
0.0
27.1 27.3
45.6
0.1 0.0
10.2
26.4
31.329.4
1.7 1.0
Sector Distribution (%)
0.0
20.0
40.0
60.0
80.0
Trea
sury
/Age
ncy
Mtg
/Ass
et-B
acke
d
Cor
porat
e
Non
-$/E
mg M
kt
Cas
h
40.536.1
23.4
0.0 0.0
57.9
2.6
34.5
0.04.9
Duration Distribution (%)
Garcial Hamilton
Bloomberg Barclays Intermed Aggregate Index
0.0
25.0
50.0
75.0
100.0
< 1 ye
ar
1-3 ye
ars
3-5 ye
ars
5-10
year
s
10-2
0 ye
ars
> 20
year
s
3.1
39.6 36.7
20.6
0.0 0.0
64.8
0.04.1
31.1
0.0 0.0
Fixed Income Portfolio Analysis
As of September 30, 2019
Garcial Hamilton
66
Historical Statistics 3 Years
ReturnStandardDeviation
SharpeRatio
UpMarket
Capture
UpQuarters
DownMarketCapture
DownQuarters
Investment 6.49 1.14 3.43 85.89 12 N/A N/A
Index 7.59 0.58 6.90 100.00 12 N/A N/A
90 Day U.S. Treasury Bill 1.54 0.38 N/A 20.67 12 N/A N/A
Historical Statistics 5 Years
ReturnStandardDeviation
SharpeRatio
UpMarketCapture
UpQuarters
DownMarketCapture
DownQuarters
Investment 8.68 1.84 3.39 90.95 20 N/A N/A
Index 9.59 1.48 4.52 100.00 20 N/A N/A
90 Day U.S. Treasury Bill 0.96 0.46 N/A 10.35 19 N/A 1
Risk and Return 3 Years
Investment Index
6.0
6.3
6.6
6.9
7.2
7.5
7.8
8.1
Ret
urn
(%)
0.4 0.5 0.6 0.7 0.8 0.9 1.0 1.1 1.2 1.3Risk (Standard Deviation %)
Risk and Return 5 Years
Investment Index
8.7
9.0
9.3
9.6
9.9
Ret
urn
(%)
1.4 1.5 1.6 1.7 1.8 1.9Risk (Standard Deviation %)
3 Year Rolling Percentile Rank IM U.S. Open End Private Real Estate (SA+CF)
0.0
25.0
50.0
75.0
100.0
Ret
urn
Per
cen
tile
Ran
k
12/14 6/15 12/15 6/16 12/16 6/17 12/17 6/18 12/18 6/19 9/19
Total Period5-25
Count25-Median
CountMedian-75
Count75-95Count
Investment 20 0 (0%) 2 (10%) 9 (45%) 9 (45%)¾
Index 20 0 (0%) 1 (5%) 17 (85%) 2 (10%)¾
5 Year Rolling Percentile Rank IM U.S. Open End Private Real Estate (SA+CF)
0.0
25.0
50.0
75.0
100.0
Ret
urn
Per
cen
tile
Ran
k
12/14 6/15 12/15 6/16 12/16 6/17 12/17 6/18 12/18 6/19 9/19
Total Period5-25
Count25-Median
CountMedian-75
Count75-95Count
Investment 20 0 (0%) 0 (0%) 16 (80%) 4 (20%)¾
Index 20 0 (0%) 0 (0%) 20 (100%) 0 (0%)¾
Strategy Review
JP Morgan Strategic Property Fund | NCREIF Fund Index-Open End Diversified Core (EW)
As of September 30, 2019
67
Peer Group Analysis - IM U.S. Open End Private Real Estate (SA+CF)
-2.0
0.0
2.0
4.0
6.0
8.0
10.0
12.0
14.0
16.0
Re
turn
QTRFYTD
1 YR 2 YR 3 YR 4 YR 5 YR
Investment 0.45 (100) 4.01 (95) 4.01 (95) 5.95 (95) 6.49 (92) 7.27 (93) 8.68 (88)��
Index 1.38 (86) 6.16 (90) 6.16 (90) 7.48 (75) 7.59 (85) 8.34 (75) 9.59 (73)��
Median 1.79 6.96 6.96 8.35 8.49 9.20 9.97
Peer Group Analysis - IM U.S. Open End Private Real Estate (SA+CF)
-1.0
2.0
5.0
8.0
11.0
14.0
17.0
20.0
23.0
26.0
Re
turn
Oct-2018To
Sep-2019
Oct-2017To
Sep-2018
Oct-2016To
Sep-2017
Oct-2015To
Sep-2016
Oct-2014To
Sep-2015
Oct-2013To
Sep-2014
Investment 4.01 (95) 7.92 (77) 7.58 (64) 9.65 (88) 14.53 (63) 12.24 (71)��
Index 6.16 (90) 8.82 (59) 7.81 (60) 10.62 (69) 14.71 (62) 12.39 (68)��
Median 6.96 9.04 8.29 11.32 15.45 12.78
Comparative Performance
1 QtrEnding
Jun-2019
1 QtrEnding
Mar-2019
1 QtrEnding
Dec-2018
1 QtrEnding
Sep-2018
1 QtrEnding
Jun-2018
1 QtrEnding
Mar-2018
Investment 1.15 (79) 0.45 (100) 1.90 (30) 1.75 (78) 1.95 (73) 2.20 (52)
Index 1.34 (66) 1.69 (81) 1.62 (62) 2.09 (54) 2.13 (61) 2.17 (55)
Median 1.46 1.99 1.76 2.10 2.22 2.21
Strategy Review
JP Morgan Strategic Property Fund | NCREIF Fund Index-Open End Diversified Core (EW)
As of September 30, 2019
68
Historical Statistics 3 Years
ReturnStandardDeviation
SharpeRatio
UpMarket
Capture
UpQuarters
DownMarketCapture
DownQuarters
Investment 9.47 1.40 4.99 124.01 12 N/A N/A
Index 7.59 0.58 6.90 100.00 12 N/A N/A
90 Day U.S. Treasury Bill 1.54 0.38 N/A 20.67 12 N/A N/A
Historical Statistics 5 Years
ReturnStandardDeviation
SharpeRatio
UpMarketCapture
UpQuarters
DownMarketCapture
DownQuarters
Investment 12.20 2.49 3.87 126.30 20 N/A N/A
Index 9.59 1.48 4.52 100.00 20 N/A N/A
90 Day U.S. Treasury Bill 0.96 0.46 N/A 10.35 19 N/A 1
Risk and Return 3 Years
Investment Index
7.0
7.5
8.0
8.5
9.0
9.5
10.0
Ret
urn
(%)
0.4 0.5 0.6 0.7 0.8 0.9 1.0 1.1 1.2 1.3 1.4 1.5 1.6Risk (Standard Deviation %)
Risk and Return 5 Years
Investment Index
9.0
9.6
10.2
10.8
11.4
12.0
12.6
13.2
Ret
urn
(%)
1.4 1.6 1.8 2.0 2.2 2.4 2.6 2.8Risk (Standard Deviation %)
3 Year Rolling Percentile Rank IM U.S. Open End Private Real Estate (SA+CF)
0.0
25.0
50.0
75.0
100.0
Ret
urn
Per
cen
tile
Ran
k
12/14 6/15 12/15 6/16 12/16 6/17 12/17 6/18 12/18 6/19 9/19
Total Period5-25
Count25-Median
CountMedian-75
Count75-95Count
Investment 20 19 (95%) 1 (5%) 0 (0%) 0 (0%)¾
Index 20 0 (0%) 1 (5%) 17 (85%) 2 (10%)¾
5 Year Rolling Percentile Rank IM U.S. Open End Private Real Estate (SA+CF)
0.0
25.0
50.0
75.0
100.0
Ret
urn
Per
cen
tile
Ran
k
12/14 6/15 12/15 6/16 12/16 6/17 12/17 6/18 12/18 6/19 9/19
Total Period5-25
Count25-Median
CountMedian-75
Count75-95Count
Investment 17 17 (100%) 0 (0%) 0 (0%) 0 (0%)¾
Index 20 0 (0%) 0 (0%) 20 (100%) 0 (0%)¾
Strategy Review
JP Morgan Special Situation Property Fund | NCREIF Fund Index-Open End Diversified Core (EW)
As of September 30, 2019
69
Peer Group Analysis - IM U.S. Open End Private Real Estate (SA+CF)
-2.0
0.0
2.0
4.0
6.0
8.0
10.0
12.0
14.0
16.0
Re
turn
QTRFYTD
1 YR 2 YR 3 YR 4 YR 5 YR
Investment 2.69 (8) 7.57 (36) 7.57 (36) 9.24 (29) 9.47 (24) 10.12 (24) 12.20 (16)��
Index 1.38 (86) 6.16 (90) 6.16 (90) 7.48 (75) 7.59 (85) 8.34 (75) 9.59 (73)��
Median 1.79 6.96 6.96 8.35 8.49 9.20 9.97
Peer Group Analysis - IM U.S. Open End Private Real Estate (SA+CF)
-1.0
2.0
5.0
8.0
11.0
14.0
17.0
20.0
23.0
26.0
Re
turn
Oct-2018To
Sep-2019
Oct-2017To
Sep-2018
Oct-2016To
Sep-2017
Oct-2015To
Sep-2016
Oct-2014To
Sep-2015
Oct-2013To
Sep-2014
Investment 7.57 (36) 10.94 (20) 9.93 (20) 12.09 (36) 20.92 (7) 16.17 (11)��
Index 6.16 (90) 8.82 (59) 7.81 (60) 10.62 (69) 14.71 (62) 12.39 (68)��
Median 6.96 9.04 8.29 11.32 15.45 12.78
Comparative Performance
1 QtrEnding
Jun-2019
1 QtrEnding
Mar-2019
1 QtrEnding
Dec-2018
1 QtrEnding
Sep-2018
1 QtrEnding
Jun-2018
1 QtrEnding
Mar-2018
Investment 0.40 (96) 1.99 (53) 2.30 (8) 2.71 (16) 3.23 (24) 2.66 (18)
Index 1.34 (66) 1.69 (81) 1.62 (62) 2.09 (54) 2.13 (61) 2.17 (55)
Median 1.46 1.99 1.76 2.10 2.22 2.21
Strategy Review
JP Morgan Special Situation Property Fund | NCREIF Fund Index-Open End Diversified Core (EW)
As of September 30, 2019
70
Historical Statistics 3 Years
ReturnStandardDeviation
SharpeRatio
UpMarket
Capture
UpQuarters
DownMarketCapture
DownQuarters
Investment 5.74 4.21 0.99 75.51 10 61.66 2
Index 6.70 5.63 0.91 100.00 9 100.00 3
90 Day U.S. Treasury Bill 1.54 0.22 N/A 9.95 12 -8.24 N/A
Historical Statistics 5 Years
ReturnStandardDeviation
SharpeRatio
UpMarketCapture
UpQuarters
DownMarketCapture
DownQuarters
Investment N/A N/A N/A N/A N/A N/A N/A
Index 5.46 5.77 0.79 100.00 15 100.00 5
90 Day U.S. Treasury Bill 0.96 0.27 N/A 6.66 19 -4.78 1
Risk and Return 3 Years
Investment Index
5.4
5.7
6.0
6.3
6.6
6.9
Ret
urn
(%)
3.8 4.0 4.2 4.4 4.6 4.8 5.0 5.2 5.4 5.6 5.8 6.0Risk (Standard Deviation %)
Risk and Return 5 Years
Investment Index
5.4
5.5
Ret
urn
(%)
5.7 5.8Risk (Standard Deviation %)
3 Year Rolling Percentile Rank IM Flexible Portfolio (MF)
0.0
25.0
50.0
75.0
100.0
Ret
urn
Per
cen
tile
Ran
k
12/14 6/15 12/15 6/16 12/16 6/17 12/17 6/18 12/18 6/19 9/19
Total Period5-25
Count25-Median
CountMedian-75
Count75-95Count
Investment 4 0 (0%) 4 (100%) 0 (0%) 0 (0%)¾
Index 20 4 (20%) 15 (75%) 1 (5%) 0 (0%)¾
5 Year Rolling Percentile Rank IM Flexible Portfolio (MF)
0.0
25.0
50.0
75.0
100.0
Ret
urn
Per
cen
tile
Ran
k
12/14 6/15 12/15 6/16 12/16 6/17 12/17 6/18 12/18 6/19 9/19
Total Period5-25
Count25-Median
CountMedian-75
Count75-95Count
Investment 0 0 0 0 0¾
Index 20 4 (20%) 14 (70%) 2 (10%) 0 (0%)¾
Strategy Review
BlackRock Multi-Asset Income Fund (BIICX) | 50% MSCI World/50% BC Agg
As of September 30, 2019
71
Peer Group Analysis - IM Flexible Portfolio (MF)
-10.0
-7.0
-4.0
-1.0
2.0
5.0
8.0
11.0
14.0
Re
turn
QTRFYTD
1 YR 2 YR 3 YR 4 YR 5 YR
Investment 1.28 (34) 6.78 (16) 6.78 (16) 4.70 (21) 5.74 (35) N/A N/A��
Index 1.43 (31) 6.40 (18) 6.40 (18) 5.66 (11) 6.70 (19) 7.14 (25) 5.46 (19)��
Median 0.72 2.58 2.58 3.14 5.02 5.98 3.91
Peer Group Analysis - IM Flexible Portfolio (MF)
-20.0
-16.0
-12.0
-8.0
-4.0
0.0
4.0
8.0
12.0
16.0
20.0
24.0
Re
turn
Oct-2018To
Sep-2019
Oct-2017To
Sep-2018
Oct-2016To
Sep-2017
Oct-2015To
Sep-2016
Oct-2014To
Sep-2015
Oct-2013To
Sep-2014
Investment 6.78 (16) 2.66 (58) 7.87 (63) N/A N/A N/A��
Index 6.40 (18) 4.93 (36) 8.80 (53) 8.47 (51) -0.98 (19) 8.10 (49)��
Median 2.58 3.38 9.02 8.55 -4.22 7.99
Comparative Performance
1 QtrEnding
Jun-2019
1 QtrEnding
Mar-2019
1 QtrEnding
Dec-2018
1 QtrEnding
Sep-2018
1 QtrEnding
Jun-2018
1 QtrEnding
Mar-2018
Investment 2.65 (46) 7.45 (56) -4.40 (18) 2.19 (39) 0.11 (54) -1.30 (62)
Index 3.67 (11) 7.67 (53) -6.03 (31) 2.48 (35) 0.79 (39) -1.30 (62)
Median 2.53 7.78 -7.63 1.74 0.27 -1.06
Strategy Review
BlackRock Multi-Asset Income Fund (BIICX) | 50% MSCI World/50% BC Agg
As of September 30, 2019
72
Fund Information
Type of Fund: Partnership Vintage Year: 2017
Strategy Type: Energy & Natural Resources Management Fee: 0.75% on first close, 1.00% on second close*
Size of Fund: 192 Preferred Return: 7.00% hurdle, then 5.00% carry.*
Inception: 03/01/2017 General Partner: Tortoise Direct Opportunities GP LLC
Final Close: 9/15/2016 Number of Funds:
Investment Strategy: The Fund seeks to generate attractive total returns by pursuing investment opportunities that are expected to be comprised principally of private investments in public equities (“PIPEs”) andother directly placed equity securities of North American energy companies, with a primary focus in the midstream energy sector (e.g., MLPs, affiliates thereof and corporations).
*Following LP reaching preferred return of 7%, GP receives distributions until cumulative distributions of Carried Interest to the GP with respect to such Limited Partner equal the ApplicableGP Percentage (10% with respect to each Limited Partner (other than an Initial Closing Limited Partner) and (ii) 5% with respect to each Initial Closing Limited Partner) of the total amountsdistributed in respect of such Limited Partner, excluding those that represent a return of Contributed Capital and including distributions of Carried Interest to the GP in respect of suchLimited Partner.
** please refer to individual clients fee schedule and or fee schedule disclosure page for most current fee**
Cash Flow Summary
Capital Committed: $8,000,000
Capital Invested: $8,207,058
Management Fees: -
Expenses: -
Interest: -
Total Contributions: $8,207,058
Remaining Capital Commitment: -
Total Distributions: $4,545,654
Market Value: $3,724,185
Inception Date: 09/28/2016
Inception IRR: 0.4
TVPI: 1.0
Cash Flow Analysis
Net Asset Value Distribution Contributions
$0.0
$2,340,000.0
$4,680,000.0
$7,020,000.0
$9,360,000.0
$11,700,000.0
($2,340,000.0)
9/16 12/16 3/17 6/17 9/17 12/17 3/18 6/18 9/18 12/18 3/19 6/19 9/19
Private Equity Fund Overview
Tortoise Direct Opportunities Fund, LP
As of September 30, 2019
73
Page Intentionally Left Blank
74
EstimatedAnnual Fee
(%)
Market Value($)
EstimatedAnnual Fee
($)Fee Schedule
Total Domestic Equity 0.43 164,868,100 714,602
Eagle Capital Large Cap Value 0.80 27,265,361 216,990 1.00 % of First $5 M0.75 % Thereafter
MD Sass Large Cap Value 0.55 % of Assets
Brandywine Dynamic LCV 33,734,771
NT S&P 500 Index Fund 0.05 24,944,722 12,472 0.05 % of First $100 M0.02 % Thereafter
Wells Capital Heritage AllCap Growth 0.65 39,503,716 256,774 0.65 % of Assets
Winslow Large Cap Growth 0.60 37,851,918 227,112 0.60 % of First $50 M0.55 % Thereafter
NT S&P 400 Index Fund 0.08 1,567,612 1,254 0.08 % of First $50 M0.06 % of Next $100 M0.04 % Thereafter
Total International Equity 0.87 73,234,447 636,061
NT ACWI ex USA Index Fund 0.10 12,883,959 12,884 0.10 % of First $100 M0.06 % Thereafter
RBC GAM International Fund 0.95 24,745,133 235,079 0.95 % of Assets
WCM Focused Intl Growth (WCMIX) 1.09 35,605,355 388,098 1.09 % of Assets
Total Domestic Fixed Income 0.31 42,179,378 131,590
NT Aggregate Bond Index Fund 0.06 1,985,756 1,191 0.06 % of Assets
JKMilne Fixed Income 0.25 28,619 72 0.25 % of Assets
Garcial Hamilton 0.25 10,250,305 25,626 0.25 % of First $25 M0.20 % of Next $25 M0.16 % of Next $50 M0.14 % of Next $100 M0.10 % Thereafter
Richmond Capital Fixed Income 0.35 29,914,698 104,701 0.35 % of First $40 M0.15 % Thereafter
Total Opportunistic Fixed Income 0.92 12,099,938 111,319
PIMCO DISCO II 0.92 12,099,938 111,319 0.92 % of Assets
Total Real Estate 1.38 53,513,578 740,138
JP Morgan Strategic Property Fund 1.00 19,346,596 193,466 1.00 % of Assets
JP Morgan Special Situation Property Fund 1.60 34,166,982 546,672 1.60 % of Assets
Total Other Assets 1.01 40,432,894 408,244
BlackRock Multi-Asset Income Fund (BIICX) 0.55 4,434,277 24,389 0.55 % of Assets
PIMCO Tactical Opportunities 1.25 23,636,876 295,461 1.25 % of Assets
Titan Masters International Fund 0.70 8,637,556 60,463 0.70 % of Assets
Fee Analysis
Total Fund
As of September 30, 2019
*Management fees associated with cash accounts are not tracked.
75
Fee Analysis
Total Fund
As of September 30, 2019
EstimatedAnnual Fee
(%)
Market Value($)
EstimatedAnnual Fee
($)Fee Schedule
Tortoise Direct Opportunities Fund, LP 0.75 3,724,185 27,931 0.75 % of Assets
Total Receipt & Disbursement 3,084,903
Total Fund 0.70 389,413,238 2,741,954
*Management fees associated with cash accounts are not tracked.
76
Total Fund Policy
Allocation Mandate Weight (%)
Oct-1990
Coral Gables Total (Pre 4/08) 100.00
Sep-2007
Russell 1000 Index 40.00
Russell 2000 Index 10.00
MSCI EAFE Index 15.00
NCREIF Property Index 10.00
Blmbg. Barc. U.S. Aggregate Index 25.00
Apr-2008
Russell 1000 Index 35.00
Russell 2000 Index 10.00
MSCI EAFE Index 20.00
NCREIF Property Index 10.00
Blmbg. Barc. U.S. Aggregate Index 25.00
Oct-2008
Russell 3000 Index 45.00
MSCI EAFE Index 20.00
NCREIF Property Index 10.00
Bloomberg Barclays Intermed Aggregate Index 20.00
Blmbg. Barc. U.S. TIPS 1-10 Year 5.00
Jul-2010
Russell 3000 Index 45.00
MSCI EAFE Index 20.00
NCREIF Property Index 10.00
Bloomberg Barclays Intermed Aggregate Index 15.00
Blmbg. Barc. U.S. TIPS 1-10 Year 5.00
ICE BofAML Global Broad Market Index 5.00
Mar-2011
Russell 3000 Index 40.00
MSCI EAFE Index 20.00
NCREIF Property Index 10.00
Bloomberg Barclays Intermed Aggregate Index 15.00
Blmbg. Barc. U.S. TIPS 1-10 Year 5.00
ICE BofAML Global Broad Market Index 5.00
Barclay BTOP 50 5.00
Allocation Mandate Weight (%)
Jan-2012
Russell 3000 Index 35.00
MSCI EAFE Index 20.00
NCREIF Property Index 10.00
Bloomberg Barclays Intermed Aggregate Index 15.00
Blmbg. Barc. U.S. TIPS 1-10 Year 5.00
ICE BofAML Global Broad Market Index 5.00
Barclay BTOP 50 5.00
PIMCO DISCO II 5.00
Sep-2013
Russell 3000 Index 35.00
MSCI AC World ex USA 20.00
Bloomberg Barclays Intermed Aggregate Index 15.00
Bloomberg Barclays Global Aggregate Ex USD 5.00
NCREIF Fund Index-Open End Diversified Core (EW) 10.00
Barclay BTOP 50 5.00
10% Annual Rate of Return 10.00
Feb-2014
Russell 3000 Index 40.00
MSCI AC World ex USA 20.00
Bloomberg Barclays Intermed Aggregate Index 15.00
Bloomberg Barclays Global Aggregate Ex USD 5.00
NCREIF Fund Index-Open End Diversified Core (EW) 10.00
TPNR + 2% 10.00
Jun-2015
Russell 3000 Index 40.00
MSCI AC World ex USA 20.00
Bloomberg Barclays Intermed Aggregate Index 17.50
Bloomberg Barclays Global Aggregate Ex USD 5.00
ICE BofAML High Yield Master II 2.50
NCREIF Fund Index-Open End Diversified Core (EW) 10.00
TPNR + 2% 5.00
Benchmark History
Investment Policy Benchmarks
As of September 30, 2019
77
Benchmark History
Investment Policy Benchmarks
As of September 30, 2019
Allocation Mandate Weight (%)
Nov-2015
Russell 3000 Index 40.00
MSCI AC World ex USA 20.00
Bloomberg Barclays Intermed Aggregate Index 12.50
Bloomberg Barclays Global Aggregate Ex USD 5.00
ICE BofAML High Yield Master II 2.50
NCREIF Fund Index-Open End Diversified Core (EW) 10.00
HFRI Fund of Funds Composite Index 5.00
50% MSCI World/50% BC Agg 2.50
HFRX Global Hedge Fund Index 2.50
Mar-2016
Russell 3000 Index 40.00
MSCI AC World ex USA 20.00
Bloomberg Barclays Intermed Aggregate Index 17.50
ICE BofAML High Yield Master II 2.50
NCREIF Fund Index-Open End Diversified Core (EW) 10.00
HFRI Fund of Funds Composite Index 2.50
50% MSCI World/50% BC Agg 2.50
HFRX Global Hedge Fund Index 5.00
78
Total Fixed Income Policy
Allocation Mandate Weight (%)
Dec-1990
Blmbg. Barc. U.S. Aggregate Index 100.00
Oct-2008
Bloomberg Barclays Intermed Aggregate Index 80.00
Blmbg. Barc. U.S. TIPS 1-10 Year 20.00
Jul-2010
Bloomberg Barclays Intermed Aggregate Index 60.00
Blmbg. Barc. U.S. TIPS 1-10 Year 20.00
ICE BofAML Global Broad Market Index 20.00
Sep-2013
Bloomberg Barclays Intermed Aggregate Index 75.00
Bloomberg Barclays Global Aggregate Ex USD 25.00
Jun-2015
Bloomberg Barclays Intermed Aggregate Index 70.00
Bloomberg Barclays Global Aggregate Ex USD 20.00
ICE BofAML High Yield Master II 10.00
Nov-2015
Bloomberg Barclays Intermed Aggregate Index 62.50
Bloomberg Barclays Global Aggregate Ex USD 25.00
ICE BofAML High Yield Master II 12.50
Mar-2016
Bloomberg Barclays Intermed Aggregate Index 87.50
ICE BofAML High Yield Master II 12.50
Total Equity Policy
Allocation Mandate Weight (%)
Jan-1979
Russell 1000 Index 55.00
Russell 2000 Index 15.00
MSCI EAFE Index 30.00
Jul-2010
Russell 3000 Index 70.00
MSCI EAFE Index 30.00
Mar-2012
Russell 3000 Index 64.00
MSCI EAFE Index 36.00
Sep-2013
Russell 3000 Index 63.60
MSCI AC World ex USA 36.40
Feb-2014
Russell 3000 Index 66.70
MSCI AC World ex USA 33.30
Benchmark History
Investment Policy Benchmarks
As of September 30, 2019
79
Total Domestic Equity Policy
Allocation Mandate Weight (%)
Dec-1990
Russell 3000 Index 100.00
Total PIMCO DiSCO II Policy
Allocation Mandate Weight (%)
Dec-2011
TPNR + 2% 100.00
May-2015
ICE BofAML High Yield Master II 100.00Total International Equity Policy
Allocation Mandate Weight (%)
Dec-1990
MSCI EAFE Index 100.00
Sep-2013
MSCI AC World ex USA 100.00
Total Other Assets Policy
Allocation Mandate Weight (%)
Jan-2012
TPNR + 2% 100.00
Nov-2015
HFRI Fund of Funds Composite Index 50.00
50% MSCI World/50% BC Agg 25.00
HFRX Global Hedge Fund Index 25.00
Total Domestic Fixed Income Policy
Allocation Mandate Weight (%)
Jan-1976
Blmbg. Barc. U.S. Aggregate Index 100.00
Oct-2008
Bloomberg Barclays Intermed Aggregate Index 80.00
Blmbg. Barc. U.S. TIPS 1-10 Year 20.00
Jul-2010
Bloomberg Barclays Intermed Aggregate Index 75.00
Blmbg. Barc. U.S. TIPS 1-10 Year 25.00
Sep-2013
Bloomberg Barclays Intermed Aggregate Index 100.00
Richmond Policy
Allocation Mandate Weight (%)
Jan-1976
Blmbg. Barc. U.S. Aggregate Index 100.00
Feb-2009
Bloomberg Barclays Intermed Aggregate Index 100.00
Total Real Estate Policy
Allocation Mandate Weight (%)
Mar-2006
NCREIF Property Index 100.00
Sep-2013
NCREIF Fund Index-Open End Diversified Core (EW) 100.00
Benchmark History
Investment Policy Benchmarks
As of September 30, 2019
80
Report Statistics Definitions and Descriptions
Active Return - Arithmetic difference between the manager’s performance and the designated benchmark return over a specified time period. Alpha - A measure of the difference between a portfolio's actual performance and its expected return based on its level of risk as determined by beta. It determines the portfolio's
non-systemic return, or its historical performance not explained by movements of the market. Beta - A measure of the sensitivity of a portfolio to the movements in the market. It is a measure of the portfolio's systematic risk. Consistency - The percentage of quarters that a product achieved a rate of return higher than that of its benchmark. Higher consistency indicates the manager has contributed more to the
product’s performance. Distributed to Paid In (DPI) - The ratio of money distributed to Limited Partners by the fund, relative to contributions. It is calculated by dividing cumulative distributions by paid in capital. This multiple
shows the investor how much money they got back. It is a good measure for evaluating a fund later in its life because there are more distributions to measure against. Down Market Capture - The ratio of average portfolio performance over the designated benchmark during periods of negative returns. A lower value indicates better product performance Downside Risk - A measure similar to standard deviation that utilizes only the negative movements of the return series. It is calculated by taking the standard deviation of the negative
quarterly set of returns. A higher factor is indicative of a riskier product. Excess Return - Arithmetic difference between the manager’s performance and the risk-free return over a specified time period. Excess Risk - A measure of the standard deviation of a portfolio's performance relative to the risk free return. Information Ratio - This calculates the value-added contribution of the manager and is derived by dividing the active rate of return of the portfolio by the tracking error. The higher the
Information Ratio, the more the manager has added value to the portfolio. Public Market Equivalent (PME) - Designs a set of analyses used in the Private Equity Industry to evaluate the performance of a Private Equity Fund against a public benchmark or index. R-Squared - The percentage of a portfolio's performance that can be explained by the behavior of the appropriate benchmark. A high R-Squared means the portfolio's performance has
historically moved in the same direction as the appropriate benchmark. Return - Compounded rate of return for the period. Sharpe Ratio - Represents the excess rate of return over the risk free return divided by the standard deviation of the excess return. The result is an absolute rate of return per unit of risk. A
higher value demonstrates better historical risk-adjusted performance. Standard Deviation - A statistical measure of the range of a portfolio's performance. It represents the variability of returns around the average return over a specified time period. Total Value to Paid In (TVPI) - The ratio of the current value of remaining investments within a fund, plus the total value of all distributions to date, relative to the total amount of capital paid into the fund
to date. It is a good measure of performance before the end of a fund’s life Tracking Error - This is a measure of the standard deviation of a portfolio's returns in relation to the performance of its designated market benchmark. Treynor Ratio - Similar to Sharpe ratio but utilizes beta rather than excess risk as determined by standard deviation. It is calculated by taking the excess rate of return above the risk free
rate divided by beta to derive the absolute rate of return per unit of risk. A higher value indicates a product has achieved better historical risk-adjusted performance. Up Market Capture - The ratio of average portfolio performance over the designated benchmark during periods of positive returns. A higher value indicates better product performance.
81
Disclosures
AndCo compiled this report for the sole use of the client for which it was prepared. AndCo is responsible for evaluating the performance results of the Total Fund along with the investment advisors by comparing their performance with indices and other related peer universe data that is deemed appropriate. AndCo uses the results from this evaluation to make observations and recommendations to the client. AndCo uses time-weighted calculations which are founded on standards recommended by the CFA Institute. The calculations and values shown are based on information that is received from custodians. AndCo analyzes transactions as indicated on the custodian statements and reviews the custodial market values of the portfolio. As a result, this provides AndCo with a reasonable basis that the investment information presented is free from material misstatement. This methodology of evaluating and measuring performance provides AndCo with a practical foundation for our observations and recommendations. Nothing came to our attention that would cause AndCo to believe that the information presented is significantly misstated. This performance report is based on data obtained by the client’s custodian(s), investment fund administrator, or other sources believed to be reliable. While these sources are believed to be reliable, the data providers are responsible for the accuracy and completeness of their statements. Clients are encouraged to compare the records of their custodian(s) to ensure this report fairly and accurately reflects their various asset positions. The strategies listed may not be suitable for all investors. We believe the information provided here is reliable, but do not warrant its accuracy or completeness. Past performance is not an indication of future performance. Any information contained in this report is for informational purposes only and should not be construed to be an offer to buy or sell any securities, investment consulting, or investment management services. Additional information included in this document may contain data provided by from index databases, public economic sources and the managers themselves. This document may contain data provided by Bloomberg Barclays. Bloomberg Barclays Index data provided by way of Barclays Live. This document may contain data provided by Standard and Poor’s. Nothing contained within any document, advertisement or presentation from S&P Indices constitutes an offer of services in jurisdictions where S&P Indices does not have the necessary licenses. All information provided by S&P Indices is impersonal and is not tailored to the needs of any person, entity or group of persons. Any returns or performance provided within any document is provided for illustrative purposes only and does not demonstrate actual performance. Past performance is not a guarantee of future investment results. This document may contain data provided by MSCI, Inc. Copyright MSCI, 2017. Unpublished. All Rights Reserved. This information may only be used for your internal use, may not be reproduced or redisseminated in any form and may not be used to create any financial instruments or products or any indices. This information is provided on an “as is” basis and the user of this information assumes the entire risk of any use it may make or permit to be made of this information. Neither MSCI, any of its affiliates or any other person involved in or related to compiling, computing or creating this information makes any express or implied warranties or representations with respect to such information or the results to be obtained by the use thereof, and MSCI, its affiliates and each such other person hereby expressly disclaim all warranties (including, without limitation, all warranties of originality, accuracy, completeness, timeliness, non-infringement, merchantability and fitness for a particular purpose) with respect to this information. Without limiting any of the foregoing, in no event shall MSCI, any of its affiliates or any other person involved in or related to compiling, computing or creating this information have any liability for any direct, indirect, special, incidental, punitive, consequential or any other damages (including, without limitation, lost profits) even if notified of, or if it might otherwise have anticipated, the possibility of such damages. This document may contain data provided by Russell Investment Group. Russell Investment Group is the source owner of the data contained or reflected in this material and all trademarks and copyrights related thereto. The material may contain confidential information and unauthorized use, disclosure, copying, dissemination or redistribution is strictly prohibited. This is a user presentation of the data. Russell Investment Group is not responsible for the formatting or configuration of this material or for any inaccuracy in presentation thereof. This document may contain data provided by Morningstar. All rights reserved. Use of this content requires expert knowledge. It is to be used by specialist institutions only. The information contained herein: (1) is proprietary to Morningstar and/or its content providers; (2) may not be copied, adapted or distributed; and (3) is not warranted to be accurate, complete or timely. Neither Morningstar nor its content providers are responsible for any damages or losses arising from any use of this information, except where such damages or losses cannot be limited or excluded by law in your jurisdiction. Past financial performance is not guarantee of future results.
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