October 2019 - coa.sba-inc.com

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October 2019Executive Summary

U.S. economy overview

2U.S. Economy

▪ GDP grew 1.9% in 3Q, driven mostly by personal consumption expenditures

▪ The unemployment rate rose slightly to 3.6% with 128K new jobs added

▪ CPI increased 1.7% over the trailing 12 months with core CPI at 2.4%

▪ Rumors continue to circulate on potentially lifting some of the tariffs against China, but no official agreement is in place

▪ Formal impeachment proceedings against Trump are set to go public

Odds of a recession spike

3

Based on the shape of the yield curve, the NY Fed is predicting nearly a 30% chance of a recession within the next 12 months

Source: NY Federal Reserve

0%

10%

20%

30%

40%

50%

Nov-95 Dec-97 Jan-00 Feb-02 Mar-04 Apr-06 May-08 Jun-10 Jul-12 Aug-14 Sep-16 Oct-18 Nov-20

U.S. Economy

Updated economic forecasts from the IMF

2019 Projections2019 Change in

Forecast2020 Projections

2020 Change in Forecast

United States 2.4% 0.1% 2.1% 0.2%

Euro Area 1.2% -0.1% 1.4% -0.1%

Emerging and Developing Economies

3.9% -0.5% 4.6% -0.2%

China 6.1% -0.2% 5.8% -0.3%

4

U.S. projections improve from April, while Euro area and emerging markets saw declines

Source: IMF

U.S. Economy

Month (%) Qtr (%) YTD (%) 1 Year (%) 3 Year (%) 5 Year (%) 10 Year (%)

Broad Market Indices

Blm BC Aggregate 0.3 2.4 8.8 11.5 3.3 3.2 3.7

Intermediate Indices

Blm BC Int. Gov./Credit 0.4 1.8 6.8 8.7 2.7 2.6 3.0

Government Only Indices

Blm BC Long Gov. -0.8 6.8 18.6 27.3 5.2 6.0 6.9

Blm BC Int. Gov. 0.3 1.6 5.5 7.8 2.1 2.1 2.3

Blm BC 1-3 Year Gov. 0.3 1.0 3.4 4.6 1.7 1.3 1.2

Blm BC U.S. TIPS 0.3 1.2 7.9 9.0 2.4 2.3 3.4

Credit Indices

Blm BC U.S. Long Credit 0.5 5.0 22.6 25.1 7.4 6.6 7.9

Blm BC High Yield 0.3 1.0 11.7 8.4 6.0 5.2 7.8

CS Leveraged Loan Index -0.5 -0.3 5.9 2.6 4.2 4.0 5.3

Securitized Bond Indices

Blm BC MBS 0.4 1.3 6.0 8.9 2.5 2.7 3.1

Blm BC ABS 0.3 1.2 4.4 5.6 2.3 2.2 2.7

Blm BC CMBS 0.3 2.0 9.0 11.3 3.7 3.7 5.9

Non-U.S. Indices

Blm BC Global Aggregate Hedged -0.2 1.6 8.6 10.7 3.9 3.9 4.1

JPM EMBI Global Diversified 0.3 0.6 13.3 14.3 5.1 5.4 6.9

JPM GBI-EM Global Diversified 0.9 3.0 11.6 15.0 7.4 7.2 7.8

Municipal Indices

Blm BC Municipal 5 Year 0.5 0.2 4.9 6.8 2.5 2.3 3.1

Blm BC HY Municipal 0.2 2.4 9.9 11.6 6.4 6.1 7.2

Fixed income: yield curve steepens further

5

First-phase trade agreement and Fed rate cut steepened the yield curve

Note: the local currency GBI index is unhedged and denominated in local currenciesSource: Bloomberg Barclays, Credit Suisse, JPMorgan as of October 31, 2019

Fixed Income

0%

1%

2%

3%

4%

5%

6%

7%

0 5 10 15 20 25 30

Yie

ld

Maturity (Year)

4/7/00 11/27/06 10/31/19

Yield curve inversion has largely abated

6

Previous inversions had full inversion between 2yr and 30yr

Yield Curve

Source: U.S. Treasury

Fixed Income

Peak inversion 4/7/00

Peak inversion 11/27/06

Still upward sloping

Long German yields turn positive

7

Easing trade tensions and global central bank stimulus have raised long German and Japanese yields

Global yield curves (%)

Source: Bloomberg as of October 31, 2019

Fixed Income

-1.5

-1

-0.5

0

0.5

1

1.5

2

2.5

0 5 10 15 20 25 30US Germany Japan UK SwitzerlandDenmark Australia Canada Korea Singapore

0%

2%

4%

6%

8%

10%

12%

Auto Loan Credit Card Mortgage HE Revolving Student Loan

Deteriorating consumer fundamentals?

8

Uptick in student loan, credit card, and auto loan delinquencies

Transition into Serious Delinquency (90+ Days) by Loan Type

Note: 4 Quarter Moving SumSource: NY Fed Consumer Credit Panel/Equifax, 2Q19 latest as of October 31, 2019

Fixed Income

EM growth rate projected to climb

9

Emerging countries are still growing faster than developed countries

Projected Growth of DM & EM Economies

Source: IMF as of October 2019 (updated twice a year, April and October)

Fixed Income

-4%

-2%

0%

2%

4%

6%

8%

10%

GDP Growth, DM GDP Growth, EM Curr Acc (% of GDP), DM Curr Acc (% of GDP), EM

Projected

Fixed income takeaways

Core Bonds▪ Yield curve inverted in 3Q in 2s/10s but is now upward sloping▪ Probability of another rate cut has declined, next one with over 50% chance is at 11/5/2020 meeting▪ Duration continues to provide principal protection in market corrections—growing deterioration in both consumer and

corporate fundamentals

Bank Loans & High Yield▪ Bank loan spreads slightly wider than long-term averages while high yield spreads tighter than long-term averages▪ Bank loan issuance use of proceeds towards acquisitions/LBOs still near 2007 levels, 2nd lien and CCC issuance still low▪ Leverage is still about average (a positive), offset by coverage still above average (a positive)

Emerging Markets Debt▪ Pro-business Macri’s loss to populist Fernandez in 10/27 Argentine election was largely priced in▪ Spreads have tightened in and valuations are now slightly higher than average▪ Primary fundamentals — current accounts, growth, leverage — remain favorable

Municipal Bonds▪ Muni yields are still more attractive than taxable yields for high net worth investors, as muni/Treasury ratio still above the long-

term average of 0.8▪ Pre-refunded bonds still providing best high-quality value in IG muni portfolios▪ Net negative issuance still expected for 2020, a tailwind for the asset class

10

Yield curve has steepened to mostly upward sloping due to U.S.-China first-phase trade deal and Fed rate cuts, but continued global economic slowdown concerns remain

Fixed Income

U.S. equities: The muddle along continues

11

U.S. equity index returns

Source: Morningstar Direct as of October 31, 2019

U.S. Equities

Month (%) 3-Month (%) YTD (%) 1 Year (%) 3 Year (%) 5 Year (%) 10 Year (%)

Broad Market Indices

Dow Jones 0.6 1.3 18.2 10.3 17.0 11.9 13.6

Wilshire 5000 2.2 1.9 22.7 13.5 14.5 10.5 13.6

Russell 3000 2.2 1.8 22.7 13.5 14.5 10.3 13.6

Large-Cap Market Indices

S&P 500 2.2 2.4 23.2 14.3 14.9 10.8 13.7

Russell 1000 2.1 2.0 23.1 14.2 14.7 10.5 13.7

Russell 1000 Value 1.4 1.9 19.5 11.2 10.5 7.6 12.0

Russell 1000 Growth 2.8 2.0 26.8 17.1 18.9 13.4 15.4

Mid-Cap Market Indices

Russell MidCap 1.1 0.1 23.2 13.7 12.3 8.7 13.7

Russell MidCap Value 0.5 0.9 20.1 10.1 8.9 6.9 12.9

Russell MidCap Growth 1.9 -1.1 27.6 18.9 16.8 10.9 14.8

Small-Cap Market Indices

Russell 2000 2.6 -0.4 17.2 4.9 11.0 7.4 12.3

Russell 2000 Value 2.4 1.7 15.5 3.2 8.6 6.2 11.1

Russell 2000 Growth 2.8 -2.4 18.6 6.4 13.2 8.4 13.4

Volatility has followed trade

12

Number of +/- 1% market days

Source: Bloomberg; data as of October 31, 2019

U.S. Equities

134

117

76

96

50

38 38

72

48

8

64

37

0

20

40

60

80

100

120

140

160

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

Num

ber

of

Daily 1

%+

Mo

ves

Value leads growth over the past three months

13

YTD factor performance


U.S. Equities

-0.5%

-0.9%

0.4%0.7% 0.6%

-1.1%-0.8%

0.1%0.5%

0.7%

0.1%0.4%

-3.0%

1.3%

0.2%

1.1%

-2.4%

3.7%

0.0%

-1.9%

-3.6%-4%

-3%

-2%

-1%

0%

1%

2%

3%

4%

5%

Momentum Low Vol Value Growth Quality Size Yield

Retu

rns

Rela

tive t

o t

he R

uss

ell 1

000

Month 3Q19 YTD

Value is beginning to close the gap with growth YTD

14

Performance by P/E quintile

Source: Factset; S&P 500 as of October 31, 2019. SPY ETF used as a proxy for the S&P 500

U.S. Equities

Most Expensive Least Expensive

0.0%

2.2%3.0% 3.6% 3.8%

21.2%

24.0% 23.8% 24.5%23.6%

-5%

0%

5%

10%

15%

20%

25%

30%

P/E Quintile 1 P/E Quintile 2 P/E Quintile 3 P/E Quintile 4 P/E Quintile 5

3 Mo. YTD

Defensives lead most sectors as growth slows

15

S&P 500 sector performance

Source: Morningstar Direct as of October 31, 2019

U.S. Equities

-10%

-5%

0%

5%

10%

15%

20%

25%

30%

35%

40%

Cons. Disc. Cons. Stap. Energy Financials HealthCare

Industrials Tech Materials Comm.Serv.

Real Estate Utilities

Retu

rns

Oct 3 Mo. YTD

Despite strong markets, negative returns are normal

16

S&P 500 maximum market drawdown


U.S. Equities

15.8%

6.2%

-37.4%

26.5%

15.1%

1.4%

14.8%

34.6%

13.7%

1.4%

12.0%

21.8%

-4.4%

23.2%

-7%-10%

-47%

-27%

-16%-19%

-10%-6% -7%

-12%-9%

-3%

-19%

-7%

-60%

-50%

-40%

-30%

-20%

-10%

0%

10%

20%

30%

40%

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

Retu

rns

Calendar Year Return Max. Drawdown

Equities are attractive as interest rates decline

17

Equity risk premium over time

Source: Bloomberg as of October 31, 2019; The equity risk premium is the earnings yield of the S&P 500 minus the yield on the 10-year treasury bond

U.S. Equities

-10%

-5%

0%

5%

10%

15%

20%

195

4

195

6

195

8

196

0

196

2

196

4

196

6

196

8

197

0

197

2

197

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6

197

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198

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199

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200

0

200

2

200

4

200

6

200

8

201

0

201

2

201

4

201

6

201

8

Equity Risk Premium S&P 500 Earnings Yield 10-Year Treasury Yield

U.S. equity takeaways

▪ Trade continued to keep a lid on equity returns, but markets are now looking forward to a resolution in “phases”

▪ A year of flat to negative earnings for the S&P 500 is all but certain

▪ Growth’s performance has started to moderate to the benefit of value-oriented investors. Only time will tell if this is the beginning of a new regime.

18U.S. Equities

Non-U.S. equities: Positive run continues

19

Gains seen in October across all non-U.S. equity indices


Non-U.S. Equities

Month (%) 3-Month (%) YTD (%) 1 Year (%) 3 Year (%) 5 Year (%) 10 Year (%)

MSCI ACWI 2.7 2.4 19.4 12.6 11.3 7.1 8.8

MSCI ACWI ex. U.S. 3.5 2.9 15.5 11.3 8.1 3.8 4.9

MSCI EAFE 3.6 3.8 16.9 11.0 8.5 4.3 5.4

MSCI EAFE Local 1.7 2.7 17.6 10.5 8.5 6.4 7.5

MSCI Emerging Markets 4.2 1.0 10.4 11.9 7.4 2.9 3.8

MSCI EM Local 3.0 1.9 11.0 11.4 8.5 5.8 6.3

MSCI EAFE Small-Cap 4.5 4.8 17.2 8.8 8.6 7.4 8.1

MSCI EM Small-Cap 3.8 0.6 5.7 9.7 3.1 1.0 3.5

MSCI Frontier 0.8 -2.7 11.6 10.6 7.5 -0.2 4.0

October 2019 EAFE sector performance

20

Positive October led by Industrials & Consumer Discretionary

Source: Bloomberg

Non-U.S. Equities

2.1%

5.5%

-0.3%

0.2%

3.5%5.0% 5.7%

4.6% 3.8% 4.1%2.2%

10.3% 10.7%

16.8%

4.3%

13.2%

22.7% 21.9%

28.2%

16.0% 15.2%16.4%

-15%

-10%

-5%

0%

5%

10%

15%

20%

25%

30%

35%

Com. Serv. Cons. Disc. Cons.Staples

Energy Financials Health Care Industrials IT Materials Real Estate Utilities

Oct 2019

October 2019 EM sector performance

21

Most sectors positive in October, led by Health Care

Source: Bloomberg

Non-U.S. Equities

-0.1%

5.7%

1.6%

7.0%

3.8%

12.3%

2.5%

7.0%

1.9%

5.6%3.5%

0.9%

21.2%

9.9%

17.5%

7.1%

1.6% 1.8%

28.1%

-3.6%

11.4%

6.9%

-15%

-10%

-5%

0%

5%

10%

15%

20%

25%

30%

35%

Com. Serv. Cons. Disc. Cons.Staples

Energy Financials Health Care Industrials IT Materials Real Estate Utilities

Oct 2019

Brexit: A case of déjà vu

22Non-U.S. Equities

Oct 17th

▪ Revised withdrawal deal reached between UK and EU. Backstop renegotiated –Northern Ireland will remain part of the EU's customs union after Brexit.

Oct 19th

▪ Parliament delayed approval of the new exit deal, which triggered the Benn Act and forced PM Johnson to request an extension from the EU.

Oct 28th – 29th

▪ 10/28 – EU granted Britain another flexible extension, to January 31st.

▪ 10/29 – Motions for an early general election were approved by MPs.

Up Next

▪ 12/12 – UK general election, outcome will shape future Brexit outcome.

▪ 01/31 – Will they finally Brexit? Deal or no-Deal?

40 42 44 46 48 50 52 54

Japan

U.K.

Germany

Eurozone

Oct-19

Sep-19

Aug-19

Jul-19

Jun-19

May-19

Contractionary signs in major developed markets

23

Manufacturing PMIs trending below 50 in Germany, Japan, and U.K.

Source: Bloomberg

Non-U.S. Equities

Contraction Expansion

European growth slipping

24

Major indicators sloping downwards

Source: Bloomberg

Non-U.S. Equities

30

35

40

45

50

55

60

65

75

80

85

90

95

100

105

110

115

120

2006 2008 2010 2012 2014 2016 2018

Euro

zone M

anufa

cturi

ng

PM

I (Ind

ex L

evel)

Ind

ex L

evel

Ifo Pan Germany Business Climate (L)

European Commission Economic SentiMent Indicator Eurozone (L)

Markit Eurozone Manufacturing PMI (R)

October 2019

GDP growth estimates down across the board

0%

1%

2%

3%

4%

5%

6%

7%

World UnitedStates

EuropeanUnion

UnitedKingdom

Germany Japan EM China SouthKorea

Brazil India

Annual G

DP

Gro

wth

Rate

2018 Actual 2019 Estimate 2020 Estimate

25

Global growth is forecast at 3.0% for 2019, lowest since 2008-2009, and only Japan is expected to see accretive GDP growth

Source: International Monetary Fund, World Economic Outlook Database, October 2019

Non-U.S. Equities

German growth projections revised downward

26

2019 estimates are well below 1.0% growth rate

Source: German Federal Statistics Office, European Commission (Nov 2019), IMF (Oct 2019), Bundesbank (Jun 2019), GCEE (Nov 2019)

Non-U.S. Equities

0.4%

1.0% 1.0%

0.5%

1.2%

1.4%

0.6%

1.2%

1.3%

0.5%

0.9%

1.5%

0.0%

0.2%

0.4%

0.6%

0.8%

1.0%

1.2%

1.4%

1.6%

2018 2019E 2020E 2021E

Annual G

DP

Gro

wth

Rate

European Commission IMF Bundesbank German Council of Economic Experts Reported GDP

34% 32%39%

-53%

79%

19%

-18%

18%

-3% -2%-15%

11%

37%

-15%

10%

-10%

-24%-18%

-63%

-22%-18%

-30%

-17% -17% -17%

-27%

-13%-5%

-25%

-11%

-70%

-50%

-30%

-10%

10%

30%

50%

70%

90%

2005 2006 2007 2008 2009 2010 2011 2012 2013 2014 2015 2016 2017 2018 2019

Calendar Year Return MSCI EM Max Drawdown Average Max Drawdown

EM equity max drawdown and calendar year returns

27

Historically a double-digit down year has been followed by a double-digit up year

Source: Bloomberg as of October 2019

Non-U.S. Equities

Non-U.S. equity takeaways

▪ Most non-U.S. equity benchmarks post double digit returns YTD

▪ Returns have been the result of multiple expansion rather than earnings growth

▪ Valuations have become more expensive across equities

▪ Earnings growth and economic growth have been revised downward

▪ Central banks move to a more dovish stance in 2019 in reaction to global growth slowdown

▪ For the rest of the year we are cautious on non-U.S. equities given the poor earnings momentum and uncertainty surrounding the Brexit and U.S.-China relations.

28Non-U.S. Equities

Real estate performance snapshot

29

Core real estate still positive in 3Q, but returns continue to moderate

Sources: NCREIF, as of September 30, 2019

Real Estate

3Q19 (%) YTD (%) 1 Year (%) 3 Year (%) 5 Year (%) 10 Year (%) 10 Yr Risk (%)

NPI 1.4 4.8 6.2 6.8 8.6 9.8 2.2

Income 1.1 3.4 4.5 4.6 4.7 5.3 0.4

Appreciation 0.3 1.4 1.6 2.1 3.7 4.3 2.1

NFI-ODCE 1.3 3.8 5.6 7.3 9.3 10.9 2.9

Income 1.1 3.1 4.2 4.3 4.4 5.0 0.4

Appreciation 0.3 0.7 1.4 2.9 4.7 5.6 2.9

FTSE NAREIT All Eq. REITs 7.7 28.5 20.7 8.9 11.0 13.5 13.5

Property Type

NPI Apartment 1.2 4.0 5.4 6.0 7.7 9.8 2.8

NPI Office 1.5 4.8 6.5 6.4 7.9 8.9 2.3

NPI Industrial 3.2 9.9 13.6 13.5 13.7 12.2 2.1

NPI Retail 0.2 1.9 1.4 3.8 7.3 9.6 2.7

NPI Hotel 1.8 3.3 4.6 5.5 7.6 7.7 2.8

Geographic Sectors

NPI East 0.9 3.5 4.7 5.0 6.7 8.5 2.5

NPI Midwest 0.9 2.6 3.1 4.6 6.9 8.4 2.0

NPI South 1.5 5.2 6.4 6.9 8.7 10.0 2.1

NPI West 1.9 6.1 8.2 8.7 10.5 11.2 2.3

Real estate takeaways

▪ Lower returns are here to stay; expect total returns in the mid single-digits with emphasis on NOI over appreciation

▪ Focus on industrial, multifamily and niche (life sciences, seniors housing, self-storage) sectors; away from office and retail

▪ Retail sector continues to deteriorate leading to write downs (depreciation)

▪ Rent controls in states such as New York and California impacting apartments

▪ Increasing construction and labor costs keeping supply in check

▪ Flat to falling interest rates in 2019 is positive for real estate pricing and the cap rate spread to U.S. Treasury bonds

30Real Estate

Performance Overview - COAG

COA General Employees’ YTD Performance (Net of Fees)

32

• Global Fixed Income, U.S. Large-Cap, U.S. Small-Cap, International Equity, Emerging Markets Equity and Real Estate composites added value to the Plan

• Fixed Income, U.S Mid-Cap and Global Equity composites detracted from the benchmark

* Year-to-date performance as of October 31, 2019

COA General Employees’ Manager Contribution – YTD Performance

33

Top PerformersAbsolute

PerformanceBenchmark

Performance Strategy

Channing Capital +17.0% +15.5% U.S. Equity

Earnest Partners SCC +23.5% +17.2% U.S. Equity

Hardman Johnston +23.5% +15.5% International Equity

Earnest Partners EM +16.2% +10.4% Emerging Markets Equity

Intercontinental U.S. RE +6.1% +3.1% Real Estate

Bottom PerformersAbsolute



Garcia Hamilton +7.3% +8.8% U.S. Fixed Income

MacKay Shields MCC +17.4% +23.2% U.S. Equity


COA General Employees’ Asset Allocation vs Target Allocation

34

* Year-to-date performance and allocation as of October 31, 2019

Current Allocation

Target Allocation

Fixed Income Composite $301,069,295 $350,400,477

U.S. Equity Composite $702,317,927 $708,418,356

International Equity Composite $270,415,430 $274,226,460

Global Equity Composite $119,836,557 $114,261,025

Real Estate Composite $42,966,878 $45,704,410

Alternative Composite $27,190,698 $30,469,607

Cash Composite $59,683,551 $0

Performance Overview - COAP

COA Police Officers’ YTD Performance (Net of Fees)

36

• International Equity composite added value to the Plan

• Fixed Income and U.S. Equity composites detracted from the benchmark


COA Police Officers’ Manager Contribution – YTD Performance

37




Macquarie SCC +19.0% +17.2% U.S. Equity


Intercontinental U.S. RE +5.8% +3.1% Real Estate




Garcia Hamilton +5.8% +6.8% Fixed Income

Consequent MidCapMoM +20.2% +23.2% U.S. Equity

LMCG Investments +12.8% +18.6% U.S. Equity


COA Police Officers’ Asset Allocation vs Target Allocation

38


Current Allocation

Target Allocation





Cash Composite $12,538,491 $11,682,538

Performance Overview - COAF

COA Firefighters’ YTD Performance (Net of Fees)

40

• International Equity composite added value to the Plan

• Fixed Income and U.S. Small-Cap composites detracted from the benchmark

• U.S. Large-Cap and U.S. Mid-Cap composites matched the benchmark


COA Firefighters’ Manager Contribution – YTD Performance

41





Intercontinental U.S RE +5.4% +3.1% Real Estate




Garcia Hamilton +7.2% +8.8% Fixed Income

LMCG Investments +12.8% +18.6% U.S. Equity

Ativo Capital +14.8% +15.5% International Equity


COA Firefighters’ Asset Allocation vs Target Allocation

42


Current Allocation

Target Allocation




Cash Composite $6,919,561 $0


Transition Update COAG

COAG - Asset Allocation Considerations

44

Broad Fixed Income17.2%

Global Fixed Income5.8%

U.S. Large-Cap Core

30.5%

U.S. Mid-Cap Core7.0%

U.S. Small-Cap Core9.0%

Non-U.S. Developed Large-Cap

14.4%

Non-U.S. Small-Cap0.0%

Emerging Markets

3.6%

Global Tactical Asset Allocation

7.5%

Real Estate3.0%

Private Equity2.0%

Avg. Annualized 10 Yr. Return 6.76%

Avg. Annualized 10 Yr. Volatility

11.80%

Current Portfolio



13.28%



U.S. Large-Cap Core

18.0%

U.S. Mid-Cap Core

12.0%

U.S. Small-Cap Core

12.0%


13.0%


Emerging Markets

8.0%

Global Tactical Asset

Allocation0.0%

Real Estate3.0%

Private Equity2.0%

Portfolio E

Source: Marquette Associates’ proprietary asset allocation software

COAG Transition: Terminate

45

Manager/Strategy Asset Class Action

Colchester Global Investors Non-U.S. Fixed Income Terminate

MacKay Shields U.S. Equity Mid-Cap Core Terminate

COAG Transition: Hire

46


BlackRock MidCap Equity

Index FundU.S. Equity Mid-Cap Core Hire

BlackRock Global Minimum

Volatility Index Fund Global Low Volatility Hire

BlackRock MSCI EAFE Small

Cap Index FundNon-U.S. Small-Cap Core Hire

COAG Transition: Retain

47


Mesirow1,4 Core Fixed Income Retain

Garcia Hamilton Core Fixed Income Retain

SSgA U.S. Aggregate Bond Index1 Core Fixed Income Retain

Morgan Stanley U.S. Equity Large-Cap Core Retain

BlackRock S&P 500 Equity Index Fund U.S. Equity Large-Cap Core Retain

Channing Capital Management2 U.S. Equity Small-Cap Value Retain

Earnest Partners U.S. Equity Small-Cap Core Retain

Legato U.S. Equity Small-Cap Growth Retain

Artisan Partners Non-U.S. Large-Cap Value Retain

Hardman Johnston Non-U.S. Large-Cap Core Retain

Earnest Partners Emerging Markets Retain

Globalt Tactical3 Global Balanced Retain

Intercontinental U.S Real Estate Real Estate Retain

JPMorgan U.S. Real Estate Real Estate Retain

Consequent Alternative Partners II Private Equity Retain

1Mesirow and SSgA U.S Aggregate Bond Index will receive an equal allocation following Colchester’s termination

3Globalt has proposed a favorable fee schedule from 0.50% on the first $50 million, 0.40% on the next $50 million and 0.35% on the balance to 0.50% on the first $50 million, 0.30% on the next $50 million and 0.25% on the balance

2Channing Capital has proposed a favorable fee schedule from 0.90% on the first $25MM, 0.80% on the next $25MM and 0.70% on the balance to 0.75% on the first $25MM, 0.65% on the next $25MM, 0.60% on the next $50MM and 0.55% on the balance

4Mesirow has proposed a favorable fee schedule of 0.35% on the first $10 million, 0.25% on the next $50 million, 0.20% on the next $150 million, 0.15% on the next $300 million, 0.125% on the next $500 million and 0.10% on the balance. Averaging a fee schedule of 0.18% versus 0.19%, representation a fee savings of ~$40,000

COAG - Outlining the transition Asset Class / Strategy Asset Class Cash Flows (+/-) Ending Market Value

Fixed Income Composite

Mesirow Core Fixed Income +$37,376,977 $114,236,683

Garcia Hamilton Core Fixed Income $77,120,841

SSgA U.S. Aggregate Bond Index Core Fixed Income +$37,376,977 $109,711,772

Global Fixed Income Composite

Colchester Non-U.S. Fixed Income -$74,753,953 $0

U.S. Equity Composite

Large Cap Composite

Morgan Stanley U.S. Equity Large-Cap Core $160,987,817

BlackRock S&P 500 Equity Index Fund U.S. Equity Large-Cap Core $-60,000,000 $233,102,976

Mid Cap Composite

MacKay Shields Mid Cap Core Fund U.S. Equity Mid-Cap Core -$108,029,159 $0

BlackRock MidCap Equity Index Fund U.S. Equity Mid-Cap Core +$108,029,159 $108,029,159

Small Cap Composite

Channing Capital Management U.S. Equity Small-Cap Value $28,048,975

Earnest Partners U.S. Equity Small-Cap Core $79,239,050

Legato U.S. Equity Small-Cap Growth $32,909,950

International Equity Composite

BlackRock Global Minimum Volatility Index Fund Global Low Volatility +$30,000,000 $30,000,000

Artisan Partners Non-U.S. Large-Cap Value $99,290,398

Hardman Johnston Non-U.S. Large-Cap Core $116,626,717

BlackRock MSCI EAFE Small Cap Index Fund Non-U.S. Small-Cap Core +$30,000,000 $30,000,000

Emerging Markets Equity Composite

Earnest Partners Emerging Markets $54,498,315

Global Equity Composite

Globalt Tactical Global Balanced $119,836,557

Real Estate Composite

Intercontinental U.S Real Estate Real Estate $25,367,897

JPMorgan U.S. Real Estate Real Estate $17,598,981

Private Equity Composite

Consequent Alternative Partners II Private Equity $27,190,698

Cash Composite $59,683,551

48

1Market values as of October 31, 2019

Transition Update COAP

COAP - Asset Allocation Considerations

50



12.67%

Current Portfolio



13.31%

Portfolio E


Broad Fixed Income19.0% Global Fixed

Income5.0%

Cash1.0%

Broad U.S. Equity (All-Cap Core)

61.0%

U.S. Large-Cap Core

0.0%

U.S. Mid-Cap Core0.0%

U.S. Small-Cap Core

0.0%


9.0%

Non-U.S. Small-Cap

0.0%

Emerging Markets

0.0%

Real Estate2.5% Private Equity

2.5%



Cash0.0%

Broad U.S. Equity (All-Cap Core)

0.0%

U.S. Large-Cap Core

19.0%

U.S. Mid-Cap Core

12.0%

U.S. Small-Cap Core

11.0%


14.0%

Non-U.S. Small-Cap

5.0%

Emerging Markets

9.0%

Real Estate2.5%

Private Equity2.5%

COAP Transition: Terminate

51


C.S. McKee Int. Govt. Fixed Income Terminate


Consequent FlexCap

Portfolio1All-Cap Core Terminate

Consequent MidCap

Manager of Managers1Mid-Cap Core Terminate

iShares Russell Mid Cap

Value ETF1Mid-Cap Value Terminate

1Marquette Associates has notified Consequent Capital Management of its termination

COAP Transition: Hire

52


BlackRock U.S. Aggregate

Bond Index FundCore Fixed Income Hire

BlackRock Russell 1000

Index FundU.S. Equity Large-Cap Core Hire

BlackRock MidCap Equity

Index FundU.S. Equity Mid-Cap Core Hire


Volatility Index FundGlobal Low Volatility Hire

BlackRock MSCI EAFE Small

Cap Index FundNon-U.S. Small-Cap Core Hire

BlackRock MSCI Emerging

Markets IndexEmerging Markets Hire

COAP Transition: Retain

53


Mesirow1 Core Fixed Income Retain

Garcia HamiltonInt. Govt. Fixed Income to Core

Fixed IncomeRetain (Switch Strategy)

BlackRock Russell 1000 Growth

Index Fund

U.S. Equity Large-Cap Growth to

U.S. Equity Large-Cap CoreRetain (Switch Strategy)

BlackRock Russell 1000 Value Index

Fund

U.S. Equity Large-Cap Value to

U.S. Equity Large-Cap CoreRetain (Switch Strategy)

Macquarie SCC U.S. Equity Small-Cap Core Retain

LMCG Investment SCG U.S. Equity Small-Cap Growth Retain

Artisan Partners Non-U.S. Large-Cap Value Retain




Pharos Capital Partners III Private Equity Retain

1Mesirow and BlackRock U.S. Aggregate Bond Index will receive an equal allocation following Colchester’s termination

COAP - Outlining the transition Asset Class / Strategy Asset Class Cash Flows (+/-) Ending Market Value




C.S. McKee Int. Govt. Fixed Income -$51,522,031 $0

BlackRock U.S. Aggregate Bond Index Core Fixed Income +$57,017,438 $57,017,438



Consequent FlexCap Portfolio All-Cap Core -$79,122,675 $0

BlackRock Russell 1000 Growth Index FundU.S. Equity Large-Cap

Growth-$176,225,184 $0

BlackRock Russell 1000 Value Index Fund U.S. Equity Large-Cap Value -$116,836,680 $0

BlackRock Russell 1000 Index Fund U.S. Equity Large-Cap Core +$297,184,539 $297,184,539

iShares Russell Mid Cap Value ETF U.S. Equity Mid-Cap Value -$40,649,442 $0

Consequent MidCap Manager of Managers

CompositeU.S. Equity Mid-Cap Core -$144,983,598 $0

BlackRock MidCap Equity Index Fund U.S. Equity Mid-Cap Core +$185,453,040 $185,453,040

Macquarie SCC U.S. Equity Small-Cap Core $95,695,782

LMCG Investments SCG U.S. Equity Small-Cap Growth $55,454,285



Artisan Partners Non-U.S. Large-Cap Value $72,065,618


BlackRock MSCI EAFE Small Cap Index Fund Non-U.S. Small-Cap Core +$15,000,000 $15,000,000

BlackRock MSCI Emerging Markets Emerging Markets +$30,000,000 $30,000,000

Alternative Composite



Pharos Capital Partners III Private Equity $4,228,683


54


Transition Update COAF

COAF - Asset Allocation Considerations

56



13.13%

Current Portfolio



13.30%

Portfolio E




Broad U.S. Equity (All-Cap

Core)7.0%

U.S. Large-Cap Core

18.0%

U.S. Mid-Cap Core

14.0%

U.S. Small-Cap Core

12.0%


10.0%


Emerging Markets

5.0%

Real Estate1.0%

Private Equity4.0%



Broad U.S. Equity (All-Cap

Core)0.0%

U.S. Large-Cap Core

19.0%

U.S. Mid-Cap Core

12.0%

U.S. Small-Cap Core

12.0%


15.0%


Emerging Markets

8.0%

Real Estate1.0%

Private Equity4.0%

COAF Transition: Terminate

57



Northern Trust Russell 3000

Index FundAll-Cap Core Terminate

COAF Transition: Hire

58


BlackRock U.S. Aggregate

Bond Index FundCore Fixed Income Hire


Volatility Index FundGlobal Low Volatility Hire

COAF Transition: Retain

59


Garcia Hamilton Core Fixed Income Retain

Mesirow Core Fixed Income Retain

BlackRock Russell 1000 Index Fund U.S. Equity Large-Cap Core Retain

BlackRock Russell MidCap Equity

Index FundU.S. Equity Mid-Cap Core Retain

LMCG Investment SCG U.S. Equity Small-Cap Growth Retain

Northern Trust Russell 2000 Index U.S. Equity Small-Cap Core Retain

Ativo Capital Non-U.S. Large-Cap Core Retain


BlackRock MSCI EAFE Small Cap

Index FundNon-U.S. Small-Cap Core Retain

BlackRock MSCI Emerging Markets

Index FundEmerging Markets Retain



ICV Partners III Private Equity Retain

Pharos Capital Partners III Private Equity Retain

COAF - Outlining the transition Asset Class / Strategy Asset Class Cash Flows (+/-) Ending Market Value




BlackRock U.S. Aggregate Bond Index Core Fixed Income +$20,837,571 $20,837,571



Northern Trust Russell 3000 Index Fund All-Cap Core -$53,780,980 $0

Large Cap Composite

BlackRock Russell 1000 Index Fund U.S. Equity Large-Cap Core $162,753,511

Mid Cap Composite

BlackRock MidCap Equity Index Fund U.S. Equity Mid-Cap Core $120,909,703

Small Cap Composite

LMCG Investments SCG U.S. Equity Small-Cap Growth $24,740,257

Northern Trust Russell 2000 Index Fund U.S. Equity Small-Cap Core +$26,890,490 $83,267,442



Ativo Capital Non-U.S. Large-Cap Core $31,626,619


BlackRock MSCI EAFE Small Cap Non-U.S. Small-Cap Core $14,111,046

BlackRock MSCI Emerging Markets Emerging Markets $17,004,967

Alternative Composite



ICV Partners III Private Equity $2,149,209

Pharos Capital Partners III Private Equity $2,115,255


60


The sources of information used in this report are believed to be reliable. Marquette Associates, Inc. has

not independently verified all of the information and its accuracy cannot be guaranteed. Opinions,

estimates, projections and comments on financial market trends constitute our judgment and are subject

to change without notice. References to specific securities are for illustrative purposes only and do not

constitute recommendations. Past performance does not guarantee future results.

Marquette is an independent investment adviser registered under the Investment Advisers Act of 1940,

as amended. Registration does not imply a certain level of skill or training. More information about

Marquette including our investment strategies, fees and objectives can be found in our ADV Part 2,

which is available upon request.

About Marquette Associates

Marquette Associates is an independent investment consulting firm that guides institutional investment

programs with a focused client service approach and careful research. For more than 30 years Marquette

has served this mission in close collaboration with clients – enabling institutions to be more effective

investment stewards. Marquette is a completely independent and 100% employee-owned consultancy

founded with the sole purpose of advising institutions. For more information, please visit

www.marquetteassociates.com.

61

(Preliminary, Subject to Change)

October 31, 2019

City of Atlanta Firefighters

Pension Fund

Executive Summary

Pension Fund

Total Fund CompositeMarket Value: $731.3 Million and 100.0% of Fund

Marquette Associates, Inc. 1

Return Summary YTD

TotalReturn

_

Total Fund Composite 16.3%

Fixed Income Composite 7.9%

U.S. Equity Composite 20.5%

International Equity Composite 17.9%

Alternative Composite 1.9%XXXXX

Summary of Cash Flows Last Three

Months Year-To-Date One Year_

Beginning Market Value $729,094,271 $644,379,905 $676,388,789

Net Cash Flow -$6,801,772 -$28,856,169 -$28,929,378

Net Investment Change $9,023,781 $115,792,544 $83,856,869

Ending Market Value $731,316,280 $731,316,280 $731,316,280_

Asset Allocation vs. TargetCurrent Current Policy Difference %

_

Fixed Income $171,688,699 23.5% 25.0% -$11,140,371 -1.5%

U.S. Equity $418,561,402 57.2% 51.0% $45,590,099 6.2%

Non-U.S. Equity $109,688,706 15.0% 19.0% -$29,261,387 -4.0%

Real Assets $5,647,485 0.8% 1.0% -$1,665,678 -0.2%

Private Equity $18,810,427 2.6% 4.0% -$10,442,225 -1.4%

Other $6,919,561 0.9% -- $6,919,561 0.9%

Total $731,316,280 100.0% 100.0%XXXXX

Ending October 31, 2019

Asset Class Market Value($)

3 Mo NetCash Flows ($) % of Portfolio Policy % Policy Difference

($)_

Total Fund Composite 731,316,280 -6,801,772 100.0 100.0 0

Fixed Income Composite 171,688,699 -47,194 23.5 25.0 -11,140,371

Garcia Hamilton Core Fixed Income 55,896,077 -225 7.6

Mesirow Core Fixed Income 74,117,480 -432 10.1

Colchester Global Investors Non-U.S. Fixed Income 41,675,142 -46,538 5.7

U.S. Equity Composite 418,561,402 -3,000,213 57.2 51.0 45,590,099

Northern Trust Russell 3000 Index Fund All-Cap Core 53,780,980 0 7.4 7.0 2,588,840

Large Cap Composite 162,753,511 -3,000,000 22.3 18.0 31,116,581

BlackRock 1000 Index Fund Large-Cap Core 162,753,511 -3,000,000 22.3

Mid Cap Composite 120,909,703 0 16.5 14.0 18,525,424

BlackRock Mid Cap Equity Index Fund Mid-Cap Core 120,909,703 0 16.5

Small Cap Composite 81,117,208 -213 11.1 12.0 -6,640,745

LMCG Investments SCG Small-Cap Growth 24,740,257 -213 3.4

Northern Trust Collective Russell 2000 Index Small-Cap Core 56,376,952 0 7.7

International Equity Composite 109,688,706 -537 15.0 19.0 -29,261,387

Ativo Capital Non-U.S. Large-CapCore 31,626,619 -537 4.3

Hardman Johnston Non-U.S. Large-CapCore 46,946,074 0 6.4

BlackRock MSCI EAFE Small Cap Non-U.S. Small-CapCore 14,111,046 0 1.9

BlackRock Emerging Markets Free Fund Emerging Markets 17,004,967 0 2.3

Cash Composite 6,919,561 -3,774,303 0.9 0.0 6,919,561

WF Checking Account Cash & Equivalents 5,869,714 -3,742,502 0.8

Cash Account Cash & Equivalents 936,650 -31,734 0.1

Transition Account Cash & Equivalents 113,197 -67 0.0

Alternative Composite 24,457,912 20,476 3.3 5.0 -12,107,902

Intercontinental U.S. Real Estate Core Real Estate 5,647,485 -52,251 0.8

Consequent Alternative Partners II, L.P. U.S. Private Equity FoF 14,545,963 0 2.0

ICV Partners III, L.P. LBO Private Equity 2,149,209 14,423 0.3

Pharos Capital Partners III LBO Private Equity 2,115,255 58,305 0.3 XXXXX

Total Fund CompositeMarket Value: $731.3 Million and 100.0% of Fund

2 Marquette Associates, Inc.


1 Mo 3 Mo YTD FiscalYTD 1 Yr 2 Yrs 3 Yrs 5 Yrs 7 Yrs 10 Yrs Inception Inception

Date_

Total Fund Composite 1.8% 1.2% 16.3% 1.8% 10.8% 5.9% 9.3% 5.9% 8.2% 9.2% 8.4% Jan-88Total Fund Policy Benchmark 1.8% 1.6% 16.8% 2.2% 11.1% 5.9% 9.4% 7.0% 9.3% 9.8% 9.1% Jan-88

Fixed Income Composite 0.5% 2.3% 7.9% 2.3% 10.1% 4.1% 3.1% 3.1% 2.5% 3.4% 5.9% Jan-88Fixed Income Composite CustomBenchmark 0.4% 2.2% 8.3% 2.3% 11.1% 4.3% 3.2% 3.2% 2.6% 3.6% 6.2% Jan-88

Garcia Hamilton 0.1% 2.2% 7.2% 2.4% 8.9% 4.3% -- -- -- -- 4.0% Dec-16BBgBarc US Aggregate TR 0.3% 2.4% 8.8% 2.6% 11.5% 4.5% 3.3% 3.2% 2.7% 3.7% 4.3% Dec-16

Mesirow 0.4% 2.3% 9.0% 2.6% 11.1% 4.3% 3.1% 3.1% 2.6% -- 3.5% May-10BBgBarc US Aggregate TR 0.3% 2.4% 8.8% 2.6% 11.5% 4.5% 3.3% 3.2% 2.7% 3.7% 3.6% May-10

Colchester Global Investors 1.5% 2.4% 7.0% 1.6% 9.9% 3.6% 2.8% -- -- -- 4.6% Jan-16FTSE WGBI TR 0.5% 1.9% 6.8% 1.4% 9.9% 3.7% 2.6% 2.0% 0.8% 1.7% 3.9% Jan-16

U.S. Equity Composite 1.9% 0.5% 20.5% 1.7% 10.6% 8.3% 12.8% 7.4% 11.2% 12.6% 11.1% Jan-88Russell 3000 2.2% 1.8% 22.7% 3.3% 13.5% 10.0% 14.5% 10.3% 13.6% 13.6% 10.6% Jan-88

Northern Trust Russell 3000 IndexFund 2.2% 1.8% 22.7% 3.3% 13.6% -- -- -- -- -- 5.9% Jan-18

Russell 3000 2.2% 1.8% 22.7% 3.3% 13.5% 10.0% 14.5% 10.3% 13.6% 13.6% 5.8% Jan-18

Large Cap Composite 2.1% 2.0% 23.1% 3.6% 14.2% 10.5% 14.3% 9.4% 12.3% 12.7% 10.7% Jan-88Russell 1000 2.1% 2.0% 23.1% 3.6% 14.2% 10.5% 14.7% 10.5% 13.8% 13.7% 10.7% Jan-88

BlackRock 1000 Index Fund 2.1% 2.0% 23.1% 3.6% 14.2% -- -- -- -- -- 9.1% Dec-17Russell 1000 2.1% 2.0% 23.1% 3.6% 14.2% 10.5% 14.7% 10.5% 13.8% 13.7% 9.0% Dec-17

Mid Cap Composite 1.1% -0.1% 19.2% 1.1% 9.1% 7.7% 11.6% 6.5% 11.4% 12.1% 7.9% Jun-98S&P 400 MidCap 1.1% -0.1% 19.2% 1.0% 9.0% 4.9% 10.8% 8.4% 12.1% 13.2% 9.7% Jun-98Russell MidCap 1.1% 0.1% 23.2% 1.5% 13.7% 8.1% 12.3% 8.7% 12.9% 13.7% 9.1% Jun-98

BlackRock Mid Cap Equity IndexFund 1.1% -0.1% 19.2% 1.1% 9.1% 5.0% -- -- -- -- 7.6% Aug-17

S&P 400 MidCap 1.1% -0.1% 19.2% 1.0% 9.0% 4.9% 10.8% 8.4% 12.1% 13.2% 7.5% Aug-17

Small Cap Composite 2.2% -2.4% 15.9% -2.0% 3.7% 4.1% 11.1% 3.2% 8.6% 13.5% 10.2% Oct-01Russell 2000 2.6% -0.4% 17.2% 0.2% 4.9% 3.4% 11.0% 7.4% 11.2% 12.3% 9.2% Oct-01

LMCG Investments SCG 1.3% -6.8% 12.8% -6.8% 0.9% 5.5% 11.9% -- -- -- 5.2% Dec-15Russell 2000 Growth 2.8% -2.4% 18.6% -1.4% 6.4% 5.3% 13.2% 8.4% 12.4% 13.4% 10.4% Dec-15

Northern Trust Collective Russell2000 Index 2.6% -0.4% 17.3% 0.2% 5.0% 3.5% -- -- -- -- 6.2% Feb-17

Russell 2000 2.6% -0.4% 17.2% 0.2% 4.9% 3.4% 11.0% 7.4% 11.2% 12.3% 6.0% Feb-17

Investment Manager Annualized Performance (Net of Fees)Market Value: $731.3 Million and 100.0% of Fund


Investment Manager Annualized Performance (Net of Fees)Market Value: $731.3 Million and 100.0% of Fund




Date_

International Equity Composite 4.0% 2.5% 17.9% 1.9% 15.2% 1.6% 8.9% 5.3% 6.4% -- 6.6% Jul-10International Equity CompositeCustom Benchmark 3.5% 2.9% 15.5% 1.6% 11.3% 1.0% 8.1% 4.4% 6.3% -- 6.8% Jul-10

Ativo Capital 2.0% 2.0% 14.8% 0.0% 11.1% 0.2% 5.3% -- -- -- 3.9% Jan-16MSCI ACWI ex USA 3.5% 2.9% 15.5% 1.6% 11.3% 1.0% 8.1% 3.8% 5.5% 4.9% 7.4% Jan-16

Hardman Johnston 5.2% 2.8% 23.4% 3.4% 21.6% 3.8% 12.6% 8.1% 8.9% -- 8.1% Jul-10MSCI EAFE 3.6% 3.8% 16.9% 2.5% 11.0% 1.7% 8.5% 4.3% 6.5% 5.4% 7.0% Jul-10

BlackRock MSCI EAFE Small Cap 4.5% 4.9% 17.6% 4.2% 9.4% -- -- -- -- -- -1.6% Dec-17MSCI EAFE Small Cap 4.5% 4.8% 17.1% 4.1% 8.8% 0.2% 8.6% 7.4% 9.2% 8.1% -2.1% Dec-17

BlackRock Emerging Markets FreeFund 4.2% 1.0% 10.2% -0.2% 11.7% -- -- -- -- -- -3.2% Dec-17

MSCI Emerging Markets 4.2% 1.0% 10.4% -0.2% 11.9% -1.1% 7.4% 2.9% 3.1% 3.8% -3.2% Dec-17

Alternative Composite 0.0% 0.5% 1.9% 0.5% 1.7% 6.5% 5.8% 4.4% -- -- 5.6% Dec-12

Intercontinental U.S. Real Estate 0.0% 2.3% 5.4% 2.3% 7.4% 8.9% 9.6% 10.3% -- -- 10.3% Aug-14NFI 0.0% 0.7% 3.1% 1.1% 4.1% 5.8% 6.1% 8.1% 9.2% 10.0% 8.3% Aug-14

XXXXX

Calendar Year2018 2017 2016 2015 2014 2013 2012 2011 2010 2009 2008

_

Total Fund Composite -6.4% 16.1% 8.6% -2.5% 3.8% 22.4% 13.0% 2.4% 17.1% 21.3% -21.4%Total Fund Policy Benchmark -6.5% 15.2% 9.7% -0.2% 8.7% 21.9% 13.1% 1.0% 17.3% 18.0% -18.2%

InvMetrics Public DB > $250mm NetRank 92 33 14 88 81 1 34 13 1 41 7

Fixed Income Composite -0.2% 4.4% 2.9% 0.4% 4.4% -1.9% 4.2% 6.0% 5.9% 9.8% 1.5%Fixed Income Composite CustomBenchmark -0.2% 4.4% 2.2% 0.8% 5.0% -2.0% 4.2% 7.8% 6.5% 5.9% 5.2%

InvMetrics Public DB Total Fix Inc NetRank 49 60 64 40 34 69 74 52 76 70 35

Garcia Hamilton 0.8% 3.5% -- -- -- -- -- -- -- -- --BBgBarc US Aggregate TR 0.0% 3.5% 2.6% 0.5% 6.0% -2.0% 4.2% 7.8% 6.5% 5.9% 5.2%

eV US Core Fixed Inc Net Rank 10 71 -- -- -- -- -- -- -- -- --

Mesirow -0.6% 3.4% 2.8% -0.1% 6.4% -2.3% 5.5% 7.2% -- -- --BBgBarc US Aggregate TR 0.0% 3.5% 2.6% 0.5% 6.0% -2.0% 4.2% 7.8% 6.5% 5.9% 5.2%

eV US Core Fixed Inc Net Rank 75 78 65 86 22 82 60 53 -- -- --

Colchester Global Investors -0.9% 8.2% 3.8% -- -- -- -- -- -- -- --FTSE WGBI TR -0.8% 7.5% 1.6% -3.6% -0.5% -4.0% 1.6% 6.4% 5.2% 2.6% 10.9%

eV Global Government Fixed IncNet Rank 57 30 23 -- -- -- -- -- -- -- --

U.S. Equity Composite -6.3% 18.9% 12.7% -4.9% 5.1% 34.8% 16.8% 2.7% 24.2% 32.6% -35.0%Russell 3000 -5.2% 21.1% 12.7% 0.5% 12.6% 33.6% 16.4% 1.0% 16.9% 28.3% -37.3%

InvMetrics Public DB US Eq Net Rank 58 79 50 97 98 36 21 9 1 18 13

Northern Trust Russell 3000 Index Fund -- -- -- -- -- -- -- -- -- -- --Russell 3000 -5.2% 21.1% 12.7% 0.5% 12.6% 33.6% 16.4% 1.0% 16.9% 28.3% -37.3%

eV US All Cap Core Equity NetRank -- -- -- -- -- -- -- -- -- -- --

Large Cap Composite -4.7% 20.7% 11.1% -0.3% 7.2% 32.0% 16.1% 2.2% 17.2% 31.4% -33.3%Russell 1000 -4.8% 21.7% 12.1% 0.9% 13.2% 33.1% 16.4% 1.5% 16.1% 28.4% -37.6%

eV US Large Cap Core Equity NetRank 34 59 26 58 96 49 29 26 8 18 37

BlackRock 1000 Index Fund -4.8% -- -- -- -- -- -- -- -- -- --Russell 1000 -4.8% 21.7% 12.1% 0.9% 13.2% 33.1% 16.4% 1.5% 16.1% 28.4% -37.6%

eV US Large Cap Core EquityNet Rank 37 -- -- -- -- -- -- -- -- -- --

Investment Manager Calendar Performance (Net of Fees)Market Value: $731.3 Million and 100.0% of Fund


Calendar Year2018 2017 2016 2015 2014 2013 2012 2011 2010 2009 2008

_

Mid Cap Composite -6.6% 15.7% 15.3% -9.1% 7.1% 40.1% 17.0% 0.3% 21.0% 37.5% -39.2%S&P 400 MidCap -11.1% 16.2% 20.7% -2.2% 9.8% 33.5% 17.9% -1.7% 26.6% 37.4% -36.2%Russell MidCap -9.1% 18.5% 13.8% -2.4% 13.2% 34.8% 17.3% -1.5% 25.5% 40.5% -41.5%

eV US Mid Cap Core Equity NetRank 24 74 30 94 66 15 32 25 67 19 57

BlackRock Mid Cap Equity IndexFund -11.0% -- -- -- -- -- -- -- -- -- --

S&P 400 MidCap -11.1% 16.2% 20.7% -2.2% 9.8% 33.5% 17.9% -1.7% 26.6% 37.4% -36.2%eV US Mid Cap Core Equity NetRank 51 -- -- -- -- -- -- -- -- -- --

Small Cap Composite -9.2% 19.1% 10.9% -13.6% -3.4% 43.6% 19.8% 5.7% 50.7% 29.9% -34.2%Russell 2000 -11.0% 14.6% 21.3% -4.4% 4.9% 38.8% 16.3% -4.2% 26.9% 27.2% -33.8%

eV US Small Cap Core Equity NetRank 36 17 93 99 97 21 11 8 1 41 43

LMCG Investments SCG -5.3% 19.4% -4.8% -- -- -- -- -- -- -- --Russell 2000 Growth -9.3% 22.2% 11.3% -1.4% 5.6% 43.3% 14.6% -2.9% 29.1% 34.5% -38.5%

eV US Small Cap Growth EquityNet Rank 56 74 99 -- -- -- -- -- -- -- --

Northern Trust Collective Russell2000 Index -10.9% -- -- -- -- -- -- -- -- -- --

Russell 2000 -11.0% 14.6% 21.3% -4.4% 4.9% 38.8% 16.3% -4.2% 26.9% 27.2% -33.8%eV US Small Cap Core EquityNet Rank 49 -- -- -- -- -- -- -- -- -- --





Calendar Year2018 2017 2016 2015 2014 2013 2012 2011 2010 2009 2008

_

International Equity Composite -14.4% 31.4% -1.1% -1.2% -2.7% 18.5% 15.6% -8.4% -- -- --International Equity Composite CustomBenchmark -14.2% 27.2% 4.5% -3.3% -4.4% 19.0% 17.1% -12.9% -- -- --

InvMetrics Public DB Dev Mkt ex-USEq Net Rank 48 11 84 37 19 82 99 1 -- -- --

Ativo Capital -13.6% 21.2% -3.6% -- -- -- -- -- -- -- --MSCI ACWI ex USA -14.2% 27.2% 4.5% -5.7% -3.9% 15.3% 16.8% -13.7% 11.2% 41.4% -45.5%

eV ACWI ex-US Large Cap EquityNet Rank 31 95 89 -- -- -- -- -- -- -- --

Hardman Johnston -13.9% 37.5% 1.2% -0.3% 0.4% 17.3% 15.6% -8.4% -- -- --MSCI EAFE -13.8% 25.0% 1.0% -0.8% -4.9% 22.8% 17.3% -12.1% 7.8% 31.8% -43.4%

eV EAFE Large Cap Core NetRank 45 1 29 50 5 91 92 9 -- -- --

BlackRock MSCI EAFE Small Cap -17.5% -- -- -- -- -- -- -- -- -- --MSCI EAFE Small Cap -17.9% 33.0% 2.2% 9.6% -4.9% 29.3% 20.0% -15.9% 22.0% 46.8% -47.0%

eV EAFE Small Cap Equity NetRank 26 -- -- -- -- -- -- -- -- -- --

BlackRock Emerging Markets Free Fund -14.6% -- -- -- -- -- -- -- -- -- --MSCI Emerging Markets -14.6% 37.3% 11.2% -14.9% -2.2% -2.6% 18.2% -18.4% 18.9% 78.5% -53.3%

eV Emg Mkts Large Cap EquityNet Rank 24 -- -- -- -- -- -- -- -- -- --

Alternative Composite 6.0% 7.7% 4.6% 4.4% 1.6% 4.8% -- -- -- -- --InvMetrics Public DB Alts Net Rank 36 43 74 47 86 92 -- -- -- -- --

Intercontinental U.S. Real Estate 9.8% 7.7% 12.1% 12.7% -- -- -- -- -- -- --NFI 7.4% 6.7% 7.8% 13.9% 11.5% 12.9% 9.8% 15.0% 15.3% -30.4% -10.7%

XXXXX

Private Equity Composite Performance Summary



MWDBE Composite Market Values

Total Fund Composite Fee ScheduleMarket Value: $731.3 Million and 100.0% of Fund


October 31, 2019

City of Atlanta General Employees

Pension Fund

Executive Summary

Pension Fund



Total Fund CompositeMarket Value: $1,523.5 Million and 100.0% of Fund

Return Summary YTD

TotalReturn

_



Global Fixed Income Composite 6.9%


Large Cap Composite 24.0%

Mid Cap Composite 17.4%

Small Cap Composite 21.4%


Emerging Markets EquityComposite 16.2%

Global Equity Composite 16.7%

Real Estate Composite 4.1%



_

Fixed Income $301,069,295 19.8% 23.0% -$49,331,183 -3.2%

U.S. Equity $702,317,927 46.1% 50.3% -$63,230,942 -4.2%

Non-U.S. Equity $390,251,988 25.6% 21.8% $58,895,015 3.9%

Real Assets $42,966,878 2.8% 3.0% -$2,737,532 -0.2%

Private Equity $27,190,698 1.8% 2.0% -$3,278,909 -0.2%

Other $59,683,551 3.9% -- $59,683,551 3.9%

Total $1,523,480,336 100.0% 100.0%XXXXX



Beginning Market Value $1,505,962,917 $1,333,862,539 $1,402,617,252Net Cash Flow -$13,727,855 -$26,886,463 -$39,216,172Net Investment Change $31,245,274 $216,504,260 $160,079,256Ending Market Value $1,523,480,336 $1,523,480,336 $1,523,480,336

_






($)_

Total Fund Composite 1,523,480,336 -13,727,855 100.0 100.0 0

Fixed Income Composite 226,315,342 0 14.9 17.2 -35,723,276

Mesirow Core Fixed Income 76,859,706 0 5.0

Garcia Hamilton Core Fixed Income 77,120,841 0 5.1

State Street U.S. Aggregate Bond Index SLFund Core Fixed Income 72,334,795 0 4.7

Global Fixed Income Composite 74,753,953 -90,601 4.9 5.8 -13,607,906

Colchester Global Investors Non-U.S. Fixed Income 74,753,953 -90,601 4.9

U.S. Equity Composite 702,317,927 0 46.1 46.5 -6,100,429

Large Cap Composite 454,090,793 0 29.8 30.5 -10,570,710

Morgan Stanley Large Cap Core Large-Cap Core 160,987,817 0 10.6

Blackrock S&P 500 Equity Index Fund Large-Cap Core 293,102,976 0 19.2

Mid Cap Composite 108,029,159 0 7.1 7.0 1,385,536

MacKay Shields Mid Cap Core Fund Mid-Cap Core 108,029,159 0 7.1

Small Cap Composite 140,197,975 0 9.2 9.0 3,084,744

Channing Capital Management Small-Cap Value 28,048,975 0 1.8

Earnest Partners SCC Small-Cap Core 79,239,050 0 5.2

Legato 32,909,950 0 2.2 -- 32,909,950

Essex Small-Cap Growth 11,017,343 0 0.7

Bridge City Small-Cap Growth 11,279,244 0 0.7

Lebenthal Lisanti Small-Cap Growth 10,613,363 0 0.7

International Equity Composite 215,917,115 0 14.2 14.4 -3,464,053

Artisan Partners International Value Fund(APHKX)

Non-U.S. Large-CapValue 99,290,398 0 6.5


Emerging Markets Equity Composite 54,498,315 0 3.6 3.6 -346,977

Earnest Partners EM Emerging Markets 54,498,315 0 3.6

Global Equity Composite 119,836,557 0 7.9 7.5 5,575,532

Globalt Tactical ETF Global Balanced 119,836,557 0 7.9

Real Estate Composite 42,966,878 -263,193 2.8 3.0 -2,737,532


JP Morgan U.S. Real Estate Core Plus Real Estate 17,598,981 -210,367 1.2

Alternative Composite 27,190,698 0 1.8 2.0 -3,278,909

Consequent Alternative Partners II, LP U.S. Private Equity FoF 27,190,698 0 1.8

Cash Composite 59,683,551 -13,374,061 3.9 -- 59,683,551

WF Checking Account Cash & Equivalents 35,790,404 32,736,758 2.3

Cash Cash & Equivalents 23,892,802 -15,539,544 1.6

SEC Lending Cash & Equivalents 345 0 0.0 XXXXX



Date_


Fixed Income Composite 0.2% 2.3% 8.4% 2.5% 10.5% 4.4% 3.3% 3.2% 2.7% 3.6% 5.9% Apr-88BBgBarc US Aggregate TR 0.3% 2.4% 8.8% 2.6% 11.5% 4.5% 3.3% 3.2% 2.7% 3.7% 6.2% Apr-88

Mesirow 0.3% 2.3% 9.1% 2.6% 11.3% 4.5% 3.3% 3.1% 2.7% 3.9% 4.8% Jun-06BBgBarc US Aggregate TR 0.3% 2.4% 8.8% 2.6% 11.5% 4.5% 3.3% 3.2% 2.7% 3.7% 4.6% Jun-06

Garcia Hamilton 0.1% 2.2% 7.3% 2.4% 8.9% 4.3% -- -- -- -- 4.0% Nov-16BBgBarc US Aggregate TR 0.3% 2.4% 8.8% 2.6% 11.5% 4.5% 3.3% 3.2% 2.7% 3.7% 4.2% Nov-16

State Street U.S. Aggregate BondIndex SL Fund 0.3% 2.4% 8.9% 2.6% 11.5% 4.5% 3.3% -- -- -- 3.5% Sep-15

BBgBarc US Aggregate TR 0.3% 2.4% 8.8% 2.6% 11.5% 4.5% 3.3% 3.2% 2.7% 3.7% 3.5% Sep-15

Global Fixed Income Composite 1.5% 2.4% 6.9% 1.6% 9.9% 3.6% 2.7% -- -- -- 4.0% Sep-15FTSE WGBI TR 0.5% 1.9% 6.8% 1.4% 9.9% 3.7% 2.6% 2.0% 0.8% 1.7% 3.3% Sep-15

Colchester Global Investors 1.5% 2.4% 6.9% 1.6% 9.9% 3.6% 2.7% -- -- -- 4.0% Sep-15FTSE WGBI TR 0.5% 1.9% 6.8% 1.4% 9.9% 3.7% 2.6% 2.0% 0.8% 1.7% 3.3% Sep-15

U.S. Equity Composite 1.7% 1.7% 22.4% 3.3% 13.0% 9.3% 14.5% 10.2% 14.2% 14.0% 8.6% Dec-99Russell 3000 2.2% 1.8% 22.7% 3.3% 13.5% 10.0% 14.5% 10.3% 13.6% 13.6% 6.1% Dec-99

Large Cap Composite 2.1% 2.7% 24.0% 4.2% 15.6% 11.8% 16.0% 11.6% 14.4% 14.0% 9.2% Jan-97S&P 500 2.2% 2.4% 23.2% 3.9% 14.3% 10.8% 14.9% 10.8% 13.9% 13.7% 8.1% Jan-97

Morgan Stanley Large Cap Core 1.9% 3.3% 25.5% 4.8% 18.2% 14.0% 18.4% 13.3% 15.4% 14.6% 11.3% Dec-94S&P 500 2.2% 2.4% 23.2% 3.9% 14.3% 10.8% 14.9% 10.8% 13.9% 13.7% 10.0% Dec-94

Blackrock S&P 500 Equity IndexFund 2.2% 2.4% 23.2% 3.9% 14.4% 10.8% 14.9% -- -- -- 14.2% Sep-15

S&P 500 2.2% 2.4% 23.2% 3.9% 14.3% 10.8% 14.9% 10.8% 13.9% 13.7% 14.2% Sep-15

Mid Cap Composite 0.4% -0.3% 17.4% 1.6% 5.2% 4.5% 10.0% 6.4% 11.6% 12.4% 7.9% Oct-95Russell MidCap 1.1% 0.1% 23.2% 1.5% 13.7% 8.1% 12.3% 8.7% 12.9% 13.7% 10.6% Oct-95

MacKay Shields Mid Cap CoreFund 0.4% -0.3% 17.4% 1.6% 5.2% 4.4% 9.9% 6.9% 12.6% 13.1% 8.0% Oct-06

Russell MidCap 1.1% 0.1% 23.2% 1.5% 13.7% 8.1% 12.3% 8.7% 12.9% 13.7% 8.6% Oct-06

Small Cap Composite 1.5% 0.2% 21.4% 1.9% 10.4% 4.6% 12.8% 8.9% 12.8% 13.0% 10.0% Oct-95Russell 2000 2.6% -0.4% 17.2% 0.2% 4.9% 3.4% 11.0% 7.4% 11.2% 12.3% 8.6% Oct-95

Channing Capital Management 1.0% -2.0% 17.0% -1.1% 4.5% -1.1% 6.8% 4.8% -- -- 8.3% Feb-13Russell 2000 Value 2.4% 1.7% 15.5% 1.8% 3.2% 1.3% 8.6% 6.2% 9.9% 11.1% 8.7% Feb-13

Earnest Partners SCC 1.4% 1.8% 23.5% 4.0% 13.8% 5.3% 13.9% 10.7% 14.7% 13.9% 10.8% Jul-99Russell 2000 2.6% -0.4% 17.2% 0.2% 4.9% 3.4% 11.0% 7.4% 11.2% 12.3% 7.6% Jul-99

Investment Manager Annualized Performance (Net of Fees)Market Value: $1,523.5 Million and 100.0% of Fund






Date_

Legato 2.0% -1.8% 19.7% -0.6% 7.0% 7.8% 15.0% -- -- -- 6.5% Mar-15Russell 2000 Growth 2.8% -2.4% 18.6% -1.4% 6.4% 5.3% 13.2% 8.4% 12.4% 13.4% 7.1% Mar-15

Essex 1.6% -1.2% 17.6% -1.1% 4.4% 5.2% -- -- -- -- 10.7% Mar-17Russell 2000 Growth 2.8% -2.4% 18.6% -1.4% 6.4% 5.3% 13.2% 8.4% 12.4% 13.4% 8.9% Mar-17

Bridge City 1.9% 1.2% 20.6% 3.1% 11.1% 11.7% 16.7% -- -- -- 14.0% Jul-16Russell 2000 Growth 2.8% -2.4% 18.6% -1.4% 6.4% 5.3% 13.2% 8.4% 12.4% 13.4% 10.8% Jul-16

Lebenthal Lisanti 2.6% -5.0% 22.8% -3.2% 7.6% 12.5% 19.8% -- -- -- 17.5% Jul-16Russell 2000 Growth 2.8% -2.4% 18.6% -1.4% 6.4% 5.3% 13.2% 8.4% 12.4% 13.4% 10.8% Jul-16

International Equity Composite 3.9% 3.1% 20.1% 2.6% 16.5% 1.9% 10.1% 6.5% 8.7% -- 7.7% Oct-10MSCI EAFE 3.6% 3.8% 16.9% 2.5% 11.0% 1.7% 8.5% 4.3% 6.5% 5.4% 5.4% Oct-10

Artisan Partners International ValueFund (APHKX) 2.3% 3.5% 16.4% 1.7% 11.0% -0.4% 7.5% 5.0% 8.5% -- 9.9% Jun-10

MSCI EAFE 3.6% 3.8% 16.9% 2.5% 11.0% 1.7% 8.5% 4.3% 6.5% 5.4% 7.0% Jun-10

Hardman Johnston 5.2% 2.8% 23.5% 3.4% 21.7% 3.9% 12.6% 8.1% 8.8% -- 7.2% Oct-10MSCI ACWI ex USA 3.5% 2.9% 15.5% 1.6% 11.3% 1.0% 8.1% 3.8% 5.5% 4.9% 4.5% Oct-10

Emerging Markets EquityComposite 4.9% 3.5% 16.2% 2.4% 15.4% 1.4% 8.1% -- -- -- 11.2% Sep-15

MSCI Emerging Markets 4.2% 1.0% 10.4% -0.2% 11.9% -1.1% 7.4% 2.9% 3.1% 3.8% 9.5% Sep-15

Earnest Partners EM 4.9% 3.5% 16.2% 2.4% 15.4% 1.4% 8.0% -- -- -- 11.2% Sep-15MSCI Emerging Markets 4.2% 1.0% 10.4% -0.2% 11.9% -1.1% 7.4% 2.9% 3.1% 3.8% 9.5% Sep-15

Global Equity Composite 1.7% 1.8% 16.7% 2.5% 12.5% 6.8% 10.2% 7.4% -- -- 8.4% Mar-13Globalt Benchmark 1.9% 2.0% 17.0% 2.5% 12.1% 6.3% 10.0% 7.0% -- -- 8.1% Mar-13

Globalt Tactical ETF 1.7% 1.8% 16.7% 2.5% 12.5% 6.6% 10.0% 7.2% -- -- 8.1% Mar-13Globalt Benchmark 1.9% 2.0% 17.0% 2.5% 12.1% 6.3% 10.0% 7.0% -- -- 8.1% Mar-13

Real Estate Composite 0.0% 1.7% 4.1% 1.7% 5.2% 6.7% 7.2% -- -- -- 8.4% Feb-15NFI 0.0% 0.7% 3.1% 1.1% 4.1% 5.8% 6.1% 8.1% 9.2% 10.0% 7.8% Feb-15

Intercontinental U.S. Real Estate 0.0% 2.5% 6.1% 2.5% 7.8% 9.0% 9.3% -- -- -- 9.8% Mar-15NFI 0.0% 0.7% 3.1% 1.1% 4.1% 5.8% 6.1% 8.1% 9.2% 10.0% 7.7% Mar-15

JP Morgan U.S. Real Estate 0.0% 0.5% 1.4% 0.5% 1.7% 4.0% 5.3% -- -- -- 5.5% Jul-16NFI 0.0% 0.7% 3.1% 1.1% 4.1% 5.8% 6.1% 8.1% 9.2% 10.0% 6.2% Jul-16

Alternative Composite 0.0% 0.0% 0.0% 0.0% -0.7% 2.9% 3.8% 1.4% 3.6% -- 3.6% Oct-12Custom Alternative TargetBenchmark 1.5% 1.0% 16.3% 2.1% 10.1% 7.2% 10.6% 7.7% 10.2% 10.1% 10.2% Oct-12


Investment Manager Calendar Performance (Net of Fees)Market Value: $1,523.5 Million and 100.0% of Fund

Calendar Year2018 2017 2016 2015 2014 2013 2012 2011 2010 2009 2008

_

Total Fund Composite -5.9% 18.6% 8.4% -0.6% 8.0% 23.0% 13.4% -0.3% 14.4% 17.3% -17.2%Total Fund Policy Benchmark -6.0% 17.3% 9.1% 0.2% 8.8% 20.4% 12.4% 2.2% 15.0% 19.5% -19.2%

InvMetrics Public DB > $1B Net Rank 86 6 29 56 4 1 26 79 10 77 2

Fixed Income Composite 0.2% 3.5% 2.7% 0.8% 4.9% -1.7% 4.8% 7.1% 6.5% 6.8% 6.2%BBgBarc US Aggregate TR 0.0% 3.5% 2.6% 0.5% 6.0% -2.0% 4.2% 7.8% 6.5% 5.9% 5.2%


Mesirow -0.3% 3.4% 3.1% -0.2% 6.2% -2.1% 6.1% 7.4% 7.3% 10.7% 3.8%BBgBarc US Aggregate TR 0.0% 3.5% 2.6% 0.5% 6.0% -2.0% 4.2% 7.8% 6.5% 5.9% 5.2%

eV US Core Fixed Inc Net Rank 61 77 51 89 27 75 44 40 43 34 45

Garcia Hamilton 0.8% 3.6% -- -- -- -- -- -- -- -- --BBgBarc US Aggregate TR 0.0% 3.5% 2.6% 0.5% 6.0% -2.0% 4.2% 7.8% 6.5% 5.9% 5.2%

eV US Core Fixed Inc Net Rank 10 64 -- -- -- -- -- -- -- -- --

State Street U.S. Aggregate Bond IndexSL Fund 0.0% 3.6% 2.7% -- -- -- -- -- -- -- --

BBgBarc US Aggregate TR 0.0% 3.5% 2.6% 0.5% 6.0% -2.0% 4.2% 7.8% 6.5% 5.9% 5.2%eV US Core Fixed Inc Net Rank 34 65 71 -- -- -- -- -- -- -- --

Global Fixed Income Composite -1.0% 8.1% 3.8% -- -- -- -- -- -- -- --FTSE WGBI TR -0.8% 7.5% 1.6% -3.6% -0.5% -4.0% 1.6% 6.4% 5.2% 2.6% 10.9%

eV Global Fixed Inc - All Duration NetRank 18 32 41 -- -- -- -- -- -- -- --

Colchester Global Investors -1.0% 8.1% 3.9% -- -- -- -- -- -- -- --FTSE WGBI TR -0.8% 7.5% 1.6% -3.6% -0.5% -4.0% 1.6% 6.4% 5.2% 2.6% 10.9%

eV Global Government Fixed IncNet Rank 58 30 22 -- -- -- -- -- -- -- --

U.S. Equity Composite -6.3% 22.3% 13.0% -0.2% 10.9% 38.1% 16.5% -0.6% 20.8% 32.7% -36.5%Russell 3000 -5.2% 21.1% 12.7% 0.5% 12.6% 33.6% 16.4% 1.0% 16.9% 28.3% -37.3%

InvMetrics Public DB US Eq Net Rank 58 13 45 51 51 6 24 71 17 18 31

Large Cap Composite -3.4% 23.5% 10.9% 2.7% 13.5% 32.7% 15.6% 1.1% 15.8% 31.0% -37.1%S&P 500 -4.4% 21.8% 12.0% 1.4% 13.7% 32.4% 16.0% 2.1% 15.1% 26.5% -37.0%

Morgan Stanley Large Cap Core -1.1% 28.0% 8.3% 5.5% 12.0% 32.8% 15.1% 2.2% 14.4% 20.0% -27.1%S&P 500 -4.4% 21.8% 12.0% 1.4% 13.7% 32.4% 16.0% 2.1% 15.1% 26.5% -37.0%

eV US Large Cap Core EquityNet Rank 9 4 62 5 59 39 46 25 33 81 7

Blackrock S&P 500 Equity Index Fund -4.4% 21.9% 12.0% -- -- -- -- -- -- -- --S&P 500 -4.4% 21.8% 12.0% 1.4% 13.7% 32.4% 16.0% 2.1% 15.1% 26.5% -37.0%

eV US Large Cap Core EquityNet Rank 31 46 20 -- -- -- -- -- -- -- --



Calendar Year2018 2017 2016 2015 2014 2013 2012 2011 2010 2009 2008

_

Mid Cap Composite -11.4% 19.9% 12.0% -5.8% 13.2% 37.4% 19.9% -5.6% 26.3% 34.5% -40.6%Russell MidCap -9.1% 18.5% 13.8% -2.4% 13.2% 34.8% 17.3% -1.5% 25.5% 40.5% -41.5%

MacKay Shields Mid Cap Core Fund -11.5% 19.9% 11.8% -3.7% 15.0% 42.9% 17.7% -2.8% 23.8% 37.0% -41.8%Russell MidCap -9.1% 18.5% 13.8% -2.4% 13.2% 34.8% 17.3% -1.5% 25.5% 40.5% -41.5%

eV US Mid Cap Core Equity NetRank 52 43 41 81 4 1 28 60 35 21 65

Small Cap Composite -12.2% 19.7% 21.1% -3.0% 6.7% 37.3% 14.0% -2.2% 25.4% 33.0% -35.6%Russell 2000 -11.0% 14.6% 21.3% -4.4% 4.9% 38.8% 16.3% -4.2% 26.9% 27.2% -33.8%

Channing Capital Management -17.2% 6.7% 28.1% -5.3% 4.5% -- -- -- -- -- --Russell 2000 Value -12.9% 7.8% 31.7% -7.5% 4.2% 34.5% 18.0% -5.5% 24.5% 20.6% -28.9%

eV US Small Cap Value EquityNet Rank 72 78 32 57 55 -- -- -- -- -- --

Earnest Partners SCC -13.1% 24.1% 25.0% -2.0% 9.4% 36.1% 15.8% -1.2% 19.7% 33.7% -34.7%Russell 2000 -11.0% 14.6% 21.3% -4.4% 4.9% 38.8% 16.3% -4.2% 26.9% 27.2% -33.8%

eV US Small Cap Equity NetRank 61 19 27 38 10 73 43 38 91 41 39

Legato -5.4% 21.5% 2.9% -- -- -- -- -- -- -- --Russell 2000 Growth -9.3% 22.2% 11.3% -1.4% 5.6% 43.3% 14.6% -2.9% 29.1% 34.5% -38.5%

Essex -6.4% -- -- -- -- -- -- -- -- -- --Russell 2000 Growth -9.3% 22.2% 11.3% -1.4% 5.6% 43.3% 14.6% -2.9% 29.1% 34.5% -38.5%

eV US Small Cap Equity NetRank 27 -- -- -- -- -- -- -- -- -- --

Bridge City 0.3% 16.0% -- -- -- -- -- -- -- -- --Russell 2000 Growth -9.3% 22.2% 11.3% -1.4% 5.6% 43.3% 14.6% -2.9% 29.1% 34.5% -38.5%

eV US Small Cap Equity NetRank 10 42 -- -- -- -- -- -- -- -- --

Lebenthal Lisanti -1.6% 28.9% -- -- -- -- -- -- -- -- --Russell 2000 Growth -9.3% 22.2% 11.3% -1.4% 5.6% 43.3% 14.6% -2.9% 29.1% 34.5% -38.5%

eV US Small Cap Equity NetRank 14 8 -- -- -- -- -- -- -- -- --

International Equity Composite -14.6% 30.4% 3.4% -1.0% 0.0% 24.0% 19.6% -9.0% -- -- --MSCI EAFE -13.8% 25.0% 1.0% -0.8% -4.9% 22.8% 17.3% -12.1% 7.8% 31.8% -43.4%

Artisan Partners International ValueFund (APHKX) -15.4% 24.1% 5.7% -1.5% -0.4% 30.7% 23.0% -7.0% -- -- --

MSCI EAFE -13.8% 25.0% 1.0% -0.8% -4.9% 22.8% 17.3% -12.1% 7.8% 31.8% -43.4%eV EAFE Large Cap Value NetRank 35 47 29 38 1 4 5 12 -- -- --

Hardman Johnston -13.8% 37.4% 1.1% -0.4% 0.4% 17.3% 15.6% -8.4% -- -- --MSCI ACWI ex USA -14.2% 27.2% 4.5% -5.7% -3.9% 15.3% 16.8% -13.7% 11.2% 41.4% -45.5%

eV ACWI ex-US Large Cap EquityNet Rank 34 8 51 30 5 60 81 14 -- -- --



Calendar Year2018 2017 2016 2015 2014 2013 2012 2011 2010 2009 2008

_

Emerging Markets Equity Composite -15.5% 36.0% 11.8% -- -- -- -- -- -- -- --MSCI Emerging Markets -14.6% 37.3% 11.2% -14.9% -2.2% -2.6% 18.2% -18.4% 18.9% 78.5% -53.3%

Earnest Partners EM -15.5% 36.0% 11.9% -- -- -- -- -- -- -- --MSCI Emerging Markets -14.6% 37.3% 11.2% -14.9% -2.2% -2.6% 18.2% -18.4% 18.9% 78.5% -53.3%

eV Emg Mkts Equity Net Rank 42 57 31 -- -- -- -- -- -- -- --

Global Equity Composite -4.8% 18.4% 7.6% -1.0% 8.9% -- -- -- -- -- --Globalt Benchmark -6.1% 17.3% 9.1% -1.1% 6.8% -- -- -- -- -- --

eV Global Core Equity Net Rank 13 88 22 66 11 -- -- -- -- -- --

Globalt Tactical ETF -5.1% 18.1% 7.3% -1.3% 8.6% -- -- -- -- -- --Globalt Benchmark -6.1% 17.3% 9.1% -1.1% 6.8% -- -- -- -- -- --

eV Global Balanced Net Rank 17 12 54 39 13 -- -- -- -- -- --

Real Estate Composite 8.1% 6.7% 9.7% -- -- -- -- -- -- -- --NFI 7.4% 6.7% 7.8% 13.9% 11.5% 12.9% 9.8% 15.0% 15.3% -30.4% -10.7%

InvMetrics Public DB Real Estate PrivNet Rank 16 61 6 -- -- -- -- -- -- -- --

Intercontinental U.S. Real Estate 9.5% 7.5% 11.1% -- -- -- -- -- -- -- --NFI 7.4% 6.7% 7.8% 13.9% 11.5% 12.9% 9.8% 15.0% 15.3% -30.4% -10.7%

JP Morgan U.S. Real Estate 5.5% 5.6% -- -- -- -- -- -- -- -- --NFI 7.4% 6.7% 7.8% 13.9% 11.5% 12.9% 9.8% 15.0% 15.3% -30.4% -10.7%

Alternative Composite 4.8% 7.0% 0.1% 0.5% 0.4% 5.8% -- -- -- -- --Custom Alternative Target Benchmark -4.1% 16.1% 8.7% 1.0% 9.6% 24.4% 12.5% -0.3% 13.6% 19.8% -31.2%

InvMetrics Public DB Alts Net Rank 44 52 96 74 89 90 -- -- -- -- --




Total Fund Composite Fee ScheduleMarket Value: $1,523.5 Million and 100.0% of Fund

Pension Fund

City of Atlanta Police Officers

Pension Fund

Executive Summary

October 31, 2019




Return Summary YTD

TotalReturn

_







_

Fixed Income $269,721,559 23.1% 24.0% -$10,659,347 -0.9%

U.S. Equity $699,583,221 59.9% 61.0% -$13,051,582 -1.1%

Non-U.S. Equity $156,169,989 13.4% 9.0% $51,027,149 4.4%

Real Assets $5,647,485 0.5% 1.0% -$6,035,053 -0.5%

Private Equity $24,593,031 2.1% 4.0% -$22,137,120 -1.9%

Other $12,538,491 1.1% 1.0% $855,953 0.1%

Total $1,168,253,775 100.0% 100.0%XXXXX



Beginning Market Value $1,167,269,588 $1,024,993,843 $1,085,406,809Net Cash Flow -$9,371,750 -$36,909,781 -$34,796,743Net Investment Change $10,355,937 $180,169,714 $117,643,710Ending Market Value $1,168,253,775 $1,168,253,775 $1,168,253,775

_






($)_

Total Fund Composite 1,168,253,775 -9,371,750 100.0 100.0 0

Fixed Income Composite 269,721,559 -71,299 23.1 24.0 -10,659,347

Mesirow Core Fixed Income 102,764,133 -571 8.8

Garcia Hamilton Int. Govt. Fixed Income 52,922,551 -366 4.5

C.S. McKee Int. Govt. Fixed Income 51,522,031 -555 4.4

Colchester Non-U.S. Fixed Income 62,512,844 -69,807 5.4

U.S. Equity Composite 699,583,221 -10,642,634 59.9 61.0 -13,051,582

BlackRock Russell 1000 Index Fund Large-Cap Core 362,800,113 363,061,864 31.1

iShares Russell Mid Cap Value ETF Mid-Cap Value 40,649,442 -216,016 3.5

Consequent MidCap Manager of ManagersPortfolio 144,983,599 -1,968 12.4 -- 144,983,599

Seizert Mid-Cap Core 69,180,295 -1,183 5.9

Fiera Smid-Cap Growth 75,803,303 -785 6.5

Macquarie SCC Small-Cap Core 95,695,782 -1,069 8.2

LMCG Investments SCG Small-Cap Growth 55,454,285 -478 4.7

International Equity Composite 156,169,989 0 13.4 9.0 51,027,149

Artisan International Large Cap Value (APHKX) Non-U.S. Large-CapValue 72,065,618 0 6.2


Alternative Composite 30,240,516 75,328 2.6 5.0 -28,172,173


Consequent Alternative Partners II, LP U.S. Private Equity FoF 20,364,348 0 1.7

Pharos Capital Partners III LBO Private Equity 4,228,683 116,609 0.4

Cash Composite 12,538,491 1,266,855 1.1 1.0 855,953

WF Checking Account Cash & Equivalents 7,220,391 -3,296,174 0.6

Cash Cash & Equivalents 4,723,099 4,347,156 0.4

Transition Cash Account Cash & Equivalents 595,000 215,873 0.1 XXXXX





Date_


Fixed Income Composite 0.6% 2.1% 7.5% 2.0% 9.4% 3.9% 2.8% 3.0% 2.4% 3.2% 3.8% Sep-07Fixed Income Composite BlendedBenchmark 0.4% 2.1% 7.7% 2.0% 10.2% 4.1% 2.9% 3.0% 2.5% 3.5% 4.1% Sep-07

Mesirow 0.4% 2.4% 9.1% 2.7% 11.2% 4.4% 3.2% 3.1% 2.6% -- 3.6% May-10BBgBarc US Aggregate TR 0.3% 2.4% 8.8% 2.6% 11.5% 4.5% 3.3% 3.2% 2.7% 3.7% 3.6% May-10

Garcia Hamilton 0.3% 1.5% 5.8% 1.7% 7.1% 3.5% 2.5% 2.7% -- -- 2.8% Apr-14BBgBarc US Govt/Credit Int TR 0.4% 1.8% 6.8% 1.8% 8.7% 3.7% 2.7% 2.6% 2.2% 3.0% 2.6% Apr-14

C.S. McKee 0.3% 1.6% 6.6% 1.7% 8.0% 3.5% 2.5% 2.5% -- -- 2.5% Apr-14BBgBarc US Govt/Credit Int TR 0.4% 1.8% 6.8% 1.8% 8.7% 3.7% 2.7% 2.6% 2.2% 3.0% 2.6% Apr-14

Colchester 1.5% 2.4% 7.0% 1.6% 9.9% 3.6% 2.8% -- -- -- 4.5% Jan-16FTSE WGBI TR 0.5% 1.9% 6.8% 1.4% 9.9% 3.7% 2.6% 2.0% 0.8% 1.7% 3.6% Jan-16

U.S. Equity Composite 1.4% -0.1% 20.2% 1.2% 10.3% 7.7% 12.4% 7.7% 11.2% 11.2% 6.9% Jan-08Domestic Equity CompositeBlended Benchmark 2.0% 1.0% 21.8% 2.3% 11.9% 8.3% 13.3% 9.5% 13.1% 13.7% 9.4% Jan-08

BlackRock Russell 1000 Index Fund -- -- -- -- -- -- -- -- -- -- -- Oct-19Russell 1000 2.1% 2.0% 23.1% 3.6% 14.2% 10.5% 14.7% 10.5% 13.8% 13.7% -- Oct-19

iShares Russell Mid Cap Value ETF 0.6% 0.9% 19.9% 1.7% 10.0% 4.8% -- -- -- -- 6.1% Dec-16Russell MidCap Value 0.5% 0.9% 20.1% 1.8% 10.1% 5.0% 8.9% 6.9% 11.7% 12.9% 6.5% Dec-16

Consequent MidCap Manager ofManagers Portfolio 2.7% -1.4% 20.2% 0.4% 9.5% 6.2% 11.0% 6.2% 11.8% -- 10.7% Feb-12

Russell MidCap 1.1% 0.1% 23.2% 1.5% 13.7% 8.1% 12.3% 8.7% 12.9% 13.7% 12.0% Feb-12

Seizert 1.6% 0.8% 18.6% 3.5% 8.1% 5.2% 8.5% 5.8% 12.0% -- 11.2% Feb-12Russell MidCap 1.1% 0.1% 23.2% 1.5% 13.7% 8.1% 12.3% 8.7% 12.9% 13.7% 12.0% Feb-12

Fiera 3.9% -3.1% 23.1% -1.8% 12.4% 8.7% 15.2% 8.2% 13.1% -- 11.8% Feb-12Russell 2500 Growth 2.6% -2.2% 23.1% -0.7% 11.8% 8.6% 15.3% 9.8% 13.5% 14.4% 12.2% Feb-12

Macquarie SCC 1.4% 0.2% 19.0% 0.3% 5.4% 3.6% -- -- -- -- 4.1% Sep-17Russell 2000 2.6% -0.4% 17.2% 0.2% 4.9% 3.4% 11.0% 7.4% 11.2% 12.3% 3.7% Sep-17

LMCG Investments SCG 1.3% -6.8% 12.8% -6.8% 0.9% 5.5% 11.8% -- -- -- 5.2% Dec-15Russell 2000 Growth 2.8% -2.4% 18.6% -1.4% 6.4% 5.3% 13.2% 8.4% 12.4% 13.4% 10.4% Dec-15





Date_

International Equity Composite 3.9% 3.1% 20.2% 2.6% 16.7% 2.0% 10.3% 6.7% 8.7% -- 9.1% Jun-10International Equity CompositeBlended Benchmark 3.5% 3.3% 16.2% 2.1% 11.2% 1.4% 8.3% 4.1% 6.0% -- 6.6% Jun-10

Artisan International Large CapValue (APHKX) 2.3% 3.5% 16.4% 1.7% 11.0% -0.4% 7.5% 5.0% 8.5% -- 9.9% Jun-10

MSCI EAFE 3.6% 3.8% 16.9% 2.5% 11.0% 1.7% 8.5% 4.3% 6.5% 5.4% 7.0% Jun-10

Hardman Johnston 5.2% 2.8% 23.8% 3.4% 22.1% 4.1% 12.9% 8.2% 9.0% -- 8.2% Jun-10MSCI ACWI ex USA 3.5% 2.9% 15.5% 1.6% 11.3% 1.0% 8.1% 3.8% 5.5% 4.9% 6.1% Jun-10

Alternative Composite 0.0% 0.5% 2.1% 0.5% 2.0% 4.9% 5.7% 3.8% -- -- 4.3% Dec-12S&P 500 + 3% 2.4% 3.2% 26.2% 4.9% 17.7% 14.1% 18.3% 14.1% 17.3% 17.1% 17.4% Dec-12

Intercontinental U.S. Real Estate 0.0% 2.3% 5.8% 2.3% 7.6% 8.9% 9.2% 10.0% -- -- 10.3% Aug-14NFI 0.0% 0.7% 3.1% 1.1% 4.1% 5.8% 6.1% 8.1% 9.2% 10.0% 8.3% Aug-14



Calendar Year2018 2017 2016 2015 2014 2013 2012 2011 2010 2009 2008

_

Total Fund Composite -6.2% 15.6% 9.2% -1.9% 5.0% 22.5% 12.8% 1.0% 14.7% 16.7% -20.8%Total Fund Policy Benchmark -5.4% 15.0% 9.9% -0.3% 8.3% 21.3% 12.9% 0.7% 17.4% 20.1% -20.3%

InvMetrics Public DB > $1B Net Rank 89 50 10 85 56 1 46 33 8 79 5

Fixed Income Composite -0.1% 3.9% 2.9% 0.5% 4.2% -1.8% 4.0% 6.1% 5.6% 9.0% 1.9%Fixed Income Composite BlendedBenchmark 0.2% 3.7% 2.3% 0.8% 5.0% -2.0% 4.2% 7.8% 6.5% 5.9% 5.2%


Mesirow -0.6% 3.2% 2.9% -0.1% 6.3% -2.2% 5.4% 7.3% -- -- --BBgBarc US Aggregate TR 0.0% 3.5% 2.6% 0.5% 6.0% -2.0% 4.2% 7.8% 6.5% 5.9% 5.2%

eV US Core Fixed Inc Net Rank 75 82 58 85 23 79 60 46 -- -- --

Garcia Hamilton 1.2% 2.0% 2.9% 1.2% -- -- -- -- -- -- --BBgBarc US Govt/Credit Int TR 0.9% 2.1% 2.1% 1.1% 3.1% -0.9% 3.9% 5.8% 5.9% 5.2% 5.1%

eV US Interm Duration Fixed IncNet Rank 9 82 20 27 -- -- -- -- -- -- --

C.S. McKee 0.6% 2.0% 1.7% 1.6% -- -- -- -- -- -- --BBgBarc US Govt/Credit Int TR 0.9% 2.1% 2.1% 1.1% 3.1% -0.9% 3.9% 5.8% 5.9% 5.2% 5.1%

eV US Interm Duration Fixed IncNet Rank 56 82 84 12 -- -- -- -- -- -- --

Colchester -0.9% 8.2% -- -- -- -- -- -- -- -- --FTSE WGBI TR -0.8% 7.5% 1.6% -3.6% -0.5% -4.0% 1.6% 6.4% 5.2% 2.6% 10.9%

eV Global Government Fixed IncNet Rank 57 30 -- -- -- -- -- -- -- -- --

U.S. Equity Composite -7.1% 18.8% 12.6% -3.2% 6.3% 33.6% 5.0% 1.6% 21.3% 26.8% --Domestic Equity Composite BlendedBenchmark -7.2% 19.3% 14.6% -0.7% 12.0% 34.4% 16.6% 0.1% 21.6% 31.5% -37.7%

InvMetrics Public DB US Eq Net Rank 71 80 53 90 96 68 99 20 14 76 --

BlackRock Russell 1000 Index Fund -- -- -- -- -- -- -- -- -- -- --Russell 1000 -4.8% 21.7% 12.1% 0.9% 13.2% 33.1% 16.4% 1.5% 16.1% 28.4% -37.6%

eV US Large Cap Core Equity NetRank -- -- -- -- -- -- -- -- -- -- --

iShares Russell Mid Cap Value ETF -12.5% 12.6% -- -- -- -- -- -- -- -- --Russell MidCap Value -12.3% 13.3% 20.0% -4.8% 14.7% 33.5% 18.5% -1.4% 24.8% 34.2% -38.4%

Mid-Cap Value MStar MF Rank 38 59 -- -- -- -- -- -- -- -- --



Calendar Year2018 2017 2016 2015 2014 2013 2012 2011 2010 2009 2008

_

Consequent MidCap Manager ofManagers Portfolio -9.8% 16.2% 13.8% -6.6% 6.9% 43.8% -- -- -- -- --

Russell MidCap -9.1% 18.5% 13.8% -2.4% 13.2% 34.8% 17.3% -1.5% 25.5% 40.5% -41.5%eV US Mid Cap Equity Net Rank 49 63 39 86 65 4 -- -- -- -- --

Seizert -9.7% 7.5% 25.5% -10.5% 6.4% 50.0% -- -- -- -- --Russell MidCap -9.1% 18.5% 13.8% -2.4% 13.2% 34.8% 17.3% -1.5% 25.5% 40.5% -41.5%

eV US Mid Cap Core Equity NetRank 44 98 1 95 72 1 -- -- -- -- --

Fiera -8.6% 27.9% 4.4% -1.2% 9.3% 39.5% -- -- -- -- --Russell 2500 Growth -7.5% 24.5% 9.7% -0.2% 7.1% 40.6% 16.1% -1.6% 28.9% 41.7% -41.5%

eV US Small-Mid Cap GrowthEquity Net Rank 83 24 76 46 21 53 -- -- -- -- --

Macquarie SCC -11.1% -- -- -- -- -- -- -- -- -- --Russell 2000 -11.0% 14.6% 21.3% -4.4% 4.9% 38.8% 16.3% -4.2% 26.9% 27.2% -33.8%

eV US Small Cap Core Equity NetRank 50 -- -- -- -- -- -- -- -- -- --

LMCG Investments SCG -5.4% 19.3% -4.7% -- -- -- -- -- -- -- --Russell 2000 Growth -9.3% 22.2% 11.3% -1.4% 5.6% 43.3% 14.6% -2.9% 29.1% 34.5% -38.5%

eV US Small Cap Growth EquityNet Rank 56 75 99 -- -- -- -- -- -- -- --

International Equity Composite -14.5% 30.9% 3.4% -1.0% -0.1% 23.7% 19.3% -7.8% -- -- --International Equity Composite BlendedBenchmark -14.0% 26.1% 2.7% -3.3% -4.4% 19.0% 17.1% -12.9% -- -- --

InvMetrics Public DB Dev Mkt ex-USEq Net Rank 54 14 21 36 1 7 26 1 -- -- --

Artisan International Large Cap Value(APHKX) -15.4% 24.1% 5.7% -1.5% -0.4% 30.7% 23.0% -7.1% -- -- --

MSCI EAFE -13.8% 25.0% 1.0% -0.8% -4.9% 22.8% 17.3% -12.1% 7.8% 31.8% -43.4%Foreign Large Blend MStar MFRank 54 81 9 62 9 2 9 4 -- -- --

Hardman Johnston -13.7% 37.7% 1.1% -0.4% 0.3% 17.4% 15.6% -8.4% -- -- --MSCI ACWI ex USA -14.2% 27.2% 4.5% -5.7% -3.9% 15.3% 16.8% -13.7% 11.2% 41.4% -45.5%

eV ACWI ex-US Large Cap EquityNet Rank 33 7 50 29 6 60 81 14 -- -- --

Alternative Composite 6.4% 8.0% 3.3% 2.3% 2.4% 4.8% -- -- -- -- --S&P 500 + 3% -1.5% 25.4% 15.3% 4.4% 17.1% 36.3% 19.4% 5.2% 18.5% 30.2% -35.0%

InvMetrics Public DB Alts Net Rank 35 41 85 64 84 92 -- -- -- -- --

Intercontinental U.S. Real Estate 9.5% 7.5% 11.1% 12.4% -- -- -- -- -- -- --NFI 7.4% 6.7% 7.8% 13.9% 11.5% 12.9% 9.8% 15.0% 15.3% -30.4% -10.7%




Total Fund Composite Fee ScheduleMarket Value: $1,168.3 Million and 100.0% of Fund

Documents

October 2019 - coa.sba-inc.com