Upload
ngonguyet
View
217
Download
1
Embed Size (px)
Citation preview
Period Ending June 30, 2016
SACRSPublic Fund Universe Analysis
Report and Firm SummaryThe following report is a compilation of data provided to RVK, Inc. by 73 public fundsthroughout the United States. We are a registered investment advisor with the SecuritiesExchange Commission under the Investment Advisors Act of 1940. Our firm providesinvestment consulting services to nearly 200 clients across more than 450 plans with totalassets under advisement in excess of $1 trillion. The confidentiality of participants ismaintained by revealing the fund number only to each individual fund, with the exceptionof SACRS funds which have provided permission to share their respective fund numbers.For more information about services provided by RVK, please visit our website atwww.RVKInc.com.
Alameda County Employees' Retirement Association (17) Arlington County Employees' Retirement System
California State Teachers' Retirement System City of Fresno Retirement Systems
City of Milwaukee Employes' Retirement System Civilian Employees' Retirement System of the Police Department of Kansas City,Missouri
Colorado Public Employees' Retirement Association Confederated Tribes of the Warm Springs Tribal Council Pension Fund
Contra Costa County Employees' Retirement Association (118) County Employees' Annuity & Benefit Fund of Cook County
District of Columbia Retirement Board Educational Employees' Supplementary Retirement System of Fairfax County
Employees Retirement System of Texas Fire & Police Employees' Retirement System of Baltimore
Fire and Police Pension Association of Colorado Florida State Board of Administration
Fort Worth Employees' Retirement Fund Fresno County Employees' Retirement Association (80)
Georgia Division of Investment Services Gila River Indian Community Retirement Plan
Illinois Municipal Retirement Fund Imperial County Employees' Retirement System (55)
Iowa Public Employees' Retirement System Kansas Public Employees' Retirement System
Kentucky Retirement Systems Kentucky Teachers' Retirement System
Kern County Employees' Retirement Association (119) Los Angeles City Employees' Retirement System
Los Angeles County Employees Retirement Association (86) Los Angeles Fire and Police Pension System
Los Angeles Water & Power Employees Retirement Plan Marin County Employees' Retirement Association (69)
Mendocino County Employees' Retirement Association (49) Merced County Employees' Retirement Association (15)
Montana Public Employees' Retirement System Montana Teachers' Retirement System
Municipality of Anchorage Pre-Funding Program Municipality of Anchorage Trust Fund
Nevada Public Employees' Retirement System New York State Common Retirement Fund
Newport News Employees' Retirement Fund North Carolina Retirement System
Ohio Public Employees' Retirement System Orange County Employees' Retirement System (71)
Pennsylvania Public School Employees' Retirement System Pennsylvania State Employees' Retirement System
Police Retirement System of Kansas City, Missouri Public School and Education ERS of Missouri
Sacramento County Employees' Retirement System (75) San Bernardino County Employees' Retirement Association (101)
San Diego County Employees Retirement Association (129) San Diego Transit Corporation Employees Retirement
San Joaquin County Employees' Retirement Association (61) San Jose Federated City Employees' Retirement System
San Jose Police and Fire Department Retirement Plan San Mateo County Employees' Retirement Association (73)
Participants
As of June 30, 2016
Santa Barbara County Employees' Retirement System (99)
Page 1
Santa Barbara County Employees' Retirement System (99)
Sonoma County Employees' Retirement Association (64)
South Dakota Retirement System Stanislaus County Employees' Retirement Association (57)
State of Michigan Retirement Systems State of New Jersey Pension Fund
State Retirement and Pension System of Maryland State Teachers Retirement System of Ohio
State Universities Retirement System of Illinois Teachers' Retirement System of the State of Illinois
Texas Municipal Retirement System The Navajo Nation Retirement Plan
Tulare County Employees' Retirement Association (94) Ventura County Employees' Retirement Association (52)
Virginia Retirement System West Virginia Investment Management Board
Wyoming Retirement System
Participants
As of June 30, 2016
Page 2
Capital Markets Review As of June 30, 2016
Economic Indicators Jun-16 Mar-16 Jun-15 Jun-13 20 Yr0.30 ▲ 0.25 0.08 0.07 2.471.17 ▼ 2.10 0.73 0.74 N/A1.44 ▼ 1.63 1.89 1.99 N/A1.0 ▲ 0.9 0.1 1.8 2.24.9 ▼ 5.0 5.3 7.5 6.01.2 ▼ 1.6 3.0 1.0 2.4
53.20 ▲ 51.80 53.10 52.30 52.2090.64 ▲ 89.84 89.96 77.58 86.76
48 ▲ 38 59 97 551,322 ▲ 1,233 1,172 1,235 762
Market Performance (%) CYTD 1 Yr 5 Yr 10 Yr3.84 3.99 12.10 7.422.22 -6.73 8.35 6.20
-4.42 -10.16 1.68 1.58-3.18 -3.67 4.84 3.576.41 -12.05 -3.78 3.545.31 6.00 3.76 5.130.15 0.19 0.09 1.044.36 11.82 12.72 6.17
11.09 22.82 12.48 6.99-2.83 -6.48 1.46 1.2413.23 -13.34 -10.83 -5.59
QTD2.463.79
-1.46-2.600.662.210.072.135.600.36
12.76
BofA ML 3 Mo US T-BillNCREIF ODCE (Gross)Wilshire US REITHFN FOF Multi-StratBloomberg Cmdty (TR)
Real GDP YoY (%)
USD Total Wtd IdxWTI Crude Oil per Barrel ($)Gold Spot per Oz ($)
S&P 500 (Cap Wtd)
PMI - Manufacturing
Unemployment Rate (%)
Federal Funds Rate (%)Breakeven Infl. - 1 Yr (%)Breakeven Infl. - 10 Yr (%)CPI YoY (Headline) (%)
Key Economic Indicators
Treasury Yield Curve (%)
Key Economic IndicatorsThe second quarter of 2016 was characterized by a broad based rally across commodities, a range bound US dollar, and a flight to safety on the back of the UK’s referendum vote to leave the European Union. Uncertainty around Brexit dominated the news flow in late June and catalyzed a flight to safety across risk assets. Recent data show that 36% of outstanding global developed market government debt is now yielding less than 0%. However, investors continue to have an appetite for risk where yields remain positive. In developed markets, the surprise Brexit vote led to sharp initial declines in equities, though markets recovered quickly following a series of dovish statements from central banks. Long duration assets outperformed short duration, and gold rallied amid the flight to safety. In the US, probabilities for a June interest rate hike swung from as high as 35% in late May, down to 0% after disappointing May payroll numbers were released.
Second Quarter Economic Environment
UnemploymentRate (%)
Since 1948
CPI Year-over-Year (% change)
Since 1914
US Govt Debt (% of GDP)Since 1940
VIX Index(Volatility)Since 1990
Consumer ConfidenceSince 1967
Russell 2000MSCI EAFE (Net)MSCI EAFE SC (Net)MSCI Emg Mkts (Net)Barclays US Agg Bond
0.00
0.50
1.00
1.50
2.00
2.50
3.00
3.50
4.00
3M 6M 1Y 3Y 5Y 7Y 10Y 20Y 30Y
Jun-16 Mar-16 Jun-15 Jun-14 Jun-13
0
2
4
6
8
10
12
20
40
60
80
100
120
0
10
20
30
40
50
60
70
20
40
60
80
100
120
140
160
-20-15-10-505
1015202530
1.0
Treasury data courtesy of the US Department of the Treasury. Economic data courtesy of Bloomberg Professional Service.Breakeven Inflation does not have 20 years of history; therefore, its 20-year average is shown as N/A.
Page 3
US Equity Review As of June 30, 2016
US Large-Cap Equity
R1000 12M P/ESince 1995
US Small-Cap Equity
R2000 12M P/ESince 1995
US Large-Cap Value Equity
R1000V 12M P/ESince 1995
US Large-Cap Growth Equity
R1000G 12M P/ESince 1995
US Large-Cap Equity
Shiller S&P 10Y P/ESince 1900
Broad MarketUS equity markets finished the quarter in positive territory across all market capitalization ranges and styles, with the Russell 3000 Index rising 2.6%.
Market CapSmall cap stocks outperformed larger-cap stocks this quarter, as the Russell 2000 Index outperformed the Russell 1000 Index by 125 basis points.
Style and SectorHistorically stable sectors such as utilities, consumer staples, and telecommunications continued to post strong gains as market volatility persisted and notably increased in the final week of the quarter amidst the uncertainty created by the UK’s EU Referendum. Additionally, value stocks outperformed their growth counterparts over the quarter.
Style and Capitalization Market Performance (%)
S&P 500 Index Sector Performance (%)
Second Quarter Review
Valuations
-10.75
3.02
-2.58
2.86
-6.73
2.93
3.99
2.14
3.24
0.61
4.31
4.58
3.79
2.54
2.46
2.63
-20 -15 -10 -5 0 5 10 15
R 2000 Growth
R 1000 Growth
R 2000 Value
R 1000 Value
R 2000
R 1000
S&P 500
R 3000 QTD
1 Yr
31.47
25.14
-2.04
4.79
7.04
-2.02
-4.17
-3.92
18.66
3.78
6.79
7.06
3.71
-2.84
1.40
6.27
2.12
11.62
4.63
-0.91
-25 -15 -5 5 15 25 35
Utilities
TeleCom
Materials
Information Tech
Industrials
Health Care
Financials
Energy
Cons Staples
Cons Discretion QTD
1 Yr
0
5
10
15
20
25
30
10
15
20
25
30
20
40
60
80
100
10
15
20
25
10
20
30
40
50
Valuation data courtesy of Bloomberg Professional Service and Robert J. Shiller, Irrational Exuberance, Second Edition.P/E metrics shown represent the 5th through 95th percentiles to minimize the effect of outliers.
Page 4
Non-US Equity Review As of June 30, 2016
Developed IntlEquity
MSCI EAFE12M P/E
Since 1995
Intl EquityMSCI ACW x US
12M P/ESince 1995
MSCI Style and Capitalization Market Performance (%)
MSCI Region Performance (%)
EmergingMarkets Equity
MSCI EM12M P/E
Since 1995
Developed Intl Growth EquityMSCI EAFE Gro
12M P/ESince 1995
Developed Intl Value Equity
MSCI EAFE Val12M P/E
Since 1995
Second Quarter Review
Valuations
Developed MarketsDeveloped international markets continue to struggle, detracting value for the quarter and underperforming domestic equities. The uncertainty created by the UK’s EU referendum is expected to result in a near-term slow-down in the EU, particularly in the UK. The European Economic Union (“EMU”) was the worst performing developed region.
Emerging MarketsEmerging markets lagged domestic equities during the quarter, but performed better than developed international equity and have provided the highest returns among equity regions in 2016. Value underperformed growth for the quarter, but is still ahead year-to-date. Market Cap & Style The style trend continued as growth outpaced value with the MSCI EAFE Growth Index ending the quarter relatively flat at -0.1%, while the MSCI EAFE Value Index returned -2.8%. Small caps were a weak spot, lagging large cap developed stocks.
-12.05
-8.19
-11.22
-3.67
-4.80
-15.43
-10.16
-10.24
0.66
0.87
-2.69
-2.60
-0.15
-2.79
-1.46
-0.64
-20 -15 -10 -5 0 5 10
Emg Mkts
Pacific
Europe
EAFE SC
EAFE Growth
EAFE Value
EAFE
ACW Ex US QTD
1 Yr
-12.05
-6.26
-8.94
-6.75
-11.09
-12.14
-10.80
0.66
3.40
1.01
0.65
-3.80
-0.73
-3.53
-20 -10 0 10 20
Emg Mkts
Canada
Japan
Pacific ex Japan
Middle East
United Kingdom
Europe Ex UK QTD1 Yr
0
20
40
60
80
100
0
10
20
30
40
0
10
20
30
40
50
60
0
10
20
30
40
50
0
10
20
30
40
50
Valuation data courtesy of Bloomberg Professional Service.P/E metrics shown represent the 5th through 95th percentiles to minimize the effect of outliers.All returns are shown net of foreign taxes on dividends.
Page 5
Fixed Income Review As of June 30, 2016
US Aggregate Bonds
Barclays US Agg Spreads
Since 2000
US Corporate Bonds
Barclays US Corp Spreads
Since 1989
US CreditBonds
Barclays US Credit Spreads
Since 2000
US Treasury Bonds10-Yr US Treasury
YieldsSince 1953
US High-Yield Bonds
Barclays US Corp:HY Spreads
Since 2000
Fixed Income Performance (%)Broad MarketVirtually all fixed income sectors posted positive performance as interest rates fell and credits improved during the quarter. The Barclays US Agg posted a strong quarter, returning 2.21%.
Credit MarketUtility and industrial bonds outperformed financial bonds as energy and commodity prices continued to rebound. Emerging Market DebtBoth local currency and hard currency emerging markets debt posted strong returns for a second consecutive quarter. Emerging market debt outperformed both US and developed markets, as evidenced by the JPM Emg Mkts Bond Global Index returning 5.40% during the quarter.
Second Quarter Review
Valuations
1.99
10.32
11.26
8.87
0.93
1.62
2.72
4.34
3.71
7.94
6.10
4.35
6.22
6.00
2.71
5.40
3.41
2.89
2.86
5.52
1.17
1.11
1.22
3.57
2.22
1.71
2.10
2.21
-10 0 10
JPM GBI-EM Glbl Dvf'd (USD)(Unhedged)
JPM Emg Mkts Bond Global
Citi Wrld Gov't Bond
Barclays Global Agg Bond
CS Leveraged Loan
Barclays US Corp: Hi Yld
Barclays US ABS
Barclays US MBS
Barclays US Agcy
Barclays US Corp: Credit
Barclays US CMBS Inv Grade
Barclays US Trsy: US TIPS
Barclays US Trsy
Barclays US Agg QTD
1 Yr
0
2
4
6
8
10
12
14
0.0
0.2
0.4
0.6
0.8
1.0
1.2
0.0
0.5
1.0
1.5
2.0
2.5
3.0
0.0
0.5
1.0
1.5
2.0
2.5
3.0
3.5
0
2
4
6
8
10
12
Valuation data courtesy of Bloomberg Professional Service.Valuations shown represent the 5th through 95th percentiles to minimize the effect of outliers.
Page 6
Alternatives Review As of June 30, 2016
General Market - Diversified Inflation Strategies (DIS)DIS provided strong performance with relatively narrow divergence for the second consecutive quarter. Most strategies significantly outperformed major world equity and fixed income indices, in addition to TIPS. Commodities, especially energy, provided strong performance over the quarter in a welcome reprieve from the longer-term trend of negative performance. General Market - Real EstateDue to the prolonged low-interest rate environment occurring globally and the economic uncertainty brought upon by the recent Brexit vote, the real estate sector proved to be an attractive option during the second quarter as investors sought the perceived safe-haven of property as well as the continued strong dividends yields relative to global treasury rates. The private real estate sector experienced themes similar to listed real estate as evidenced by a preliminary 2.1% return in the NCREIF-ODCE Index during Q2.
General Market - Hedge FundsAfter a poor first quarter, the hedge fund industry performed better during the second quarter of 2016, though Fund of Hedge Fund (“FoHF”) portfolios are still down between 2.5% to 3.0% year-to-date based on available peer group based benchmarks. Most of the FoHF managers RVK follows closely have performed roughly in line with peers YTD, with any dispersion explained to a large degree by strategy allocation. On the direct side, multi-strategy managers as a group continued to outperform their FoHF counterparts.
General Market - Global Tactical Asset Allocation (GTAA)GTAA funds provided a dispersion in results for the second quarter, with many significantly outperforming an undiversified static portfolio of 60% US large cap equity and 40% US fixed income. Those that outperformed by the widest margins tended to follow fundamental value-oriented processes that have led to higher allocations to emerging market fixed income, high yield fixed income, and REITs.
Second Quarter Review - Absolute Return
HFN Hedge Fund Performance (%)
Second Quarter Review - Real Assets
Real Asset Performance (%)
-2.58
-3.64
-5.05
-0.57
1.42
-2.95
4.94
1.30
-3.30
-0.48
-6.48
1.57
-1.55
1.53
1.46
0.88
5.14
1.31
0.07
0.47
2.17
0.36
-10 -5 0 5 10
FI ArbitrageMerger/Risk Arb
Event DrivenRelative Value
MacroDistressedShort Bias
Mkt Neutral EqLong/Short EqConv ArbitrageFOF Multi-Strat QTD
1 Yr
4.35
-13.11
-8.86
-13.34
22.82
10.64
11.82
1.71
19.70
7.01
12.76
5.60
2.03
2.13
-40 -20 0 20 40
Barclays US Trsy: US TIPS
Alerian MLP
S&P Glbl Nat. Res. (TR)
Bloomberg Cmdty (TR)
Wilshire US REIT
NCREIF Property
NCREIF ODCE (Gross) QTD
1 Yr
Page 7
2002 2003 2004 2005 2006 2007 2008 2009 2010 2011 2012 2013 2014 2015 YTD
Best25.91 61.34 33.16 34.00 35.97 39.38 8.44 78.51 28.60 22.49 20.00 38.82 31.78 15.02 14.33
16.56 55.81 31.45 26.19 32.18 16.23 5.24 58.21 26.86 15.99 18.23 32.39 19.31 9.59 13.23
14.81 47.25 25.55 21.39 26.34 15.97 2.06 46.78 22.04 13.56 17.59 29.30 13.69 4.23 11.09
10.25 38.59 20.25 21.36 19.31 11.63 -2.35 31.78 18.88 9.24 17.32 22.78 12.50 1.38 9.06
5.54 36.18 18.33 13.82 18.37 11.17 -10.01 28.60 16.83 7.84 16.34 13.94 5.97 0.55 6.41
3.58 28.97 13.06 13.54 16.32 9.91 -20.47 27.18 16.36 4.98 16.00 9.10 4.89 0.05 6.24
3.12 28.68 11.13 6.75 15.79 6.97 -26.16 26.46 15.12 2.11 15.81 7.44 3.64 -0.81 5.31
1.78 23.93 10.88 5.33 11.85 6.60 -33.79 18.91 15.06 0.10 10.94 1.86 3.03 -1.24 4.36
-1.41 11.93 9.15 4.91 9.85 5.49 -35.65 11.41 10.16 -4.18 8.82 0.07 2.45 -1.44 3.84
-6.17 9.28 8.56 4.55 4.85 5.00 -37.00 9.72 7.75 -5.55 6.98 -2.02 0.04 -3.30 2.22
-7.83 8.39 8.46 3.07 4.33 1.87 -39.20 5.93 6.54 -12.14 4.80 -2.60 -2.19 -4.41 0.15
-15.94 5.87 6.79 2.84 2.71 1.45 -43.38 1.92 6.31 -13.32 4.21 -8.61 -4.90 -4.47 -2.83
-20.48 4.10 4.34 2.74 2.07 -1.57 -47.01 0.21 4.77 -15.94 0.11 -8.83 -4.95 -14.92 -3.18
Worst-22.10 1.15 1.33 2.43 0.41 -17.55 -53.33 -29.76 0.13 -18.42 -1.06 -9.52 -17.01 -24.66 -4.42
S&P 500 -US Large
Cap
R 2000 -US Small
Cap
MSCI EAFE(Net) - Int'l
Dev.
MSCI EAFESC (Net) -
Int'l SC
MSCI EM(Net) - Int'lEmg Mkts
BarclaysUS Agg
Bond - FI
BarclaysUS Corp:
Hi Yield - FI
BarclaysUS Trsy:US TIPS -
FI
BarclaysUS
Gov/Credit:Lng - FI
NCREIFODCE
(Gross) -Real Estate
WilshireUS REIT -
REITs
HFN FOFMulti-Strat(Net) - ARS
BloombrgCmdty (TR)- Commod.
BofA ML 3Mo T-Bill -
Cash Equiv
Annual Asset Class Performance As of June 30, 2016
Page 8
0
5
10
15
20
25
<$500mm $500mm-$1B
$1B-$5B $5B-$10B $10B-$20B >$20B
12
10
4
21
5 5
20
8
12
23
0
5
10
15
20
25
30
35
40
Midwest Northeast South West
0 0 0
20
14
7
13
39
0
10
20
30
40
50
60
PERS Police/Fire Teachers/School Other
20
0 0 0
51
57
10
0
5
10
15
20
25
30
35
40
Local Gov Special District State Gov
20
0 0
39
4
30
Universe: 73 funds SACRS: 20 funds
Asset Size Geographical Distribution
Fund Classification Fund Type
Universe Characteristics
As of June 30, 2016
Page 9
External Average: 88.47 SACRS Average: 99.99
0
20
40
60
80
100
41
01
51
71
81
92
93
63
73
84
25
25
55
76
06
16
26
46
56
97
17
27
37
57
98
08
38
58
69
09
19
49
59
69
91
01
10
31
05
11
61
18
11
91
20
12
91
63
16
81
98
20
22
09
24
03
48
34
93
50
35
14
92
75 1 5
20
28
23
11
91
15
74
41
80
17
23
22
62
74
13
0 82
96
31
2
Active Average: 75.84 SACRS Average: 75.69
0
20
40
60
80
100
11
82
96
19
14
94
13
48
79
29
65
11
66
2 81
03
35
01
19
95
72
17
16
37
53
13
01
98
15
71
80
94
15
57
64
44
28
29
01
05
73
20
27
11
02
63
63
12
96
19 4
61
34
92
09
69
24
01
01
85
80
42
27
52
0 59
9 13
23
88
61
72
16
89
13
71
20
27
60
35
15
21
29
55
83
18
SACRS
Active Management (%)
External Management (%)
Portfolio Management
Percentage Externally Managed & Percentage Actively Managed
As of June 30, 2016
Page 10
Actively Managed (%) Passively Managed (%) Externally Managed (%) Internally Managed (%)
Asset Range
Over $20B 75.54 24.46 75.18 24.82
$10B-$20B 73.18 26.82 81.24 18.76
$5B-$10B 72.44 27.56 97.26 2.74
$1B-$5B 76.78 23.22 98.91 1.09
$500mm-$1B 74.62 25.38 99.71 0.29
Under $500mm 86.49 13.51 99.96 0.04
SACRS 75.69 24.31 99.99 0.01
Public FundUniverse
SACRS SACRSPublic FundUniverse
Portfolio(%)
Active Management External Management
90 to 100 10 2 55 20
50 to 89 59 16 11 0
10 to 49 3 2 6 0
Less than 10 1 0 1 0
20 7373 20Total Funds Reporting
Portfolio Management Statistics
As of June 30, 2016
Page 11
US Eq 26.63%
Int'l Eq 14.87%
EM 3.39%Global Eq 3.19%
Other 3.07%Cash 1.49%
RE 8.76%
Alts 12.90%
Global FI 1.94%Int'l FI 1.81%
US FI 21.93%
US Eq 26.27%
Int'l Eq 14.53%
EM 2.93%Global Eq 3.79%
Other 3.41%Cash 1.82%
RE 8.43%
Alts 14.21%
Global FI 1.77%Int'l FI 1.10%
US FI 21.72%
0.00
0.50
-0.50
-1.00
US Eq Int'l Eq EM Global Eq US FI Int'l FI Global FI Alts RE Cash Other
0.36 0.340.46
-0.60
0.21
0.71
0.17
0.33
-0.33 -0.34
SACRS All Funds
Variance (%)
Asset Allocation
SACRS vs. Average of All Funds
As of June 30, 2016
Allocations shown may not sum up to 100% exactly due to rounding.
Page 12
Lg Value 5.51%
Lg Core 34.23%
Lg Growth 5.26%S/M Value 3.93%
Global Eq 6.26%
EM 7.80%
Int'l Eq 31.26%
S/M Growth 3.85%
S/M Core 1.88%
Lg Value 6.18%
Lg Core 31.75%
Lg Growth 5.29%S/M Value 3.35%
Global Eq 9.21%
EM 6.63%
Int'l Eq 31.01%
S/M Growth 3.10%S/M Core 3.47%
0.00
1.00
2.00
3.00
-1.00
-2.00
-3.00
-4.00
Lg Value Lg Core Lg Growth S/M Value S/M Core S/M Growth Int'l Eq EM Global Eq
-0.67
2.49
-0.03
0.58
-1.59
0.750.25
1.17
-2.94
SACRS All Funds
Variance (%)
Equity Style Allocation
SACRS vs. Average of All Funds
As of June 30, 2016
Allocations shown may not sum up to 100% exactly due to rounding.
Page 13
HF 23.11%
Distressed 3.30%
Buyout 15.64%
Venture 5.12%
Other Alts 26.64%
Nat Res 8.43%
Other PE 17.75%
HF 27.85%
Distressed 3.95%
Other Alts 15.61%
Nat Res 6.31%
Other PE 15.53%
Venture 7.17%Buyout 23.57%
0.00
3.00
6.00
9.00
-3.00
-6.00
-9.00
HF Distressed Buyout Venture Other PE Nat Res Other Alts
-4.74
-0.65
-7.93
-2.05
2.22 2.12
11.03
SACRS All Funds
Variance (%)
Alternatives Style Allocation
SACRS vs. Average of All Funds
As of June 30, 2016
Allocations shown may not sum up to 100% exactly due to rounding.
Page 14
US Equity International Equity Emerging Markets Global Equity
0.00
4.70
9.40
14.10
18.80
23.50
28.20
32.90
37.60
42.30
47.00
51.70
56.40
61.10
65.80
70.50
19
82
75
31
21
68
35
11
84
44
91
78
55
79
63
03
50
17
26
42
61
05
55
32
20
28
35
22
71
51
20 5
20
37
38
42
69 1
20
99
59
41
03
73
11
98
61
18
62
75
60
12
92
40 8
41 4
15
73
49
99
36
19
17
92
82
80
18
01
07
12
92
96
65
19
16
37
21
01
11
66
19
03
48
31
91
20 of 20 SACRS funds invest in Equity (%)
Universe Median: 50.04 SACRS Median: 48.56
73 of 73 funds invest in Equity (%)
Equity Style Allocation
As of June 30, 2016
Page 15
US Fixed Income Int'l Fixed Income Global Fixed Income
0.00
3.40
6.80
10.20
13.60
17.00
20.40
23.80
27.20
30.60
34.00
37.40
40.80
44.20
47.60
51.00
34
88
03
63
50
20
29
91
01
24
01
68
16
33
12
34
95
55
78
38
57
29
46
51
19
18
28
24
93
73
89
61
18
12
09
07
96
11
52
72
09
86
69
41
35
12
66
2 52
01
80
42
12
99
51
05
10
10
33
12
96
29
75
52
64
73
11
61
72 8
19
13
24
41
7 49
11
98
71
19
30
60 1
27
51
57
20 of 20 SACRS funds invest in Fixed Income (%)
Universe Median: 24.32 SACRS Median: 26.00
73 of 73 funds invest in Fixed Income (%)
Fixed Income Style Allocation
As of June 30, 2016
Page 16
Universe Median: 9.04 SACRS Median: 8.87
0.00
2.10
4.20
6.30
8.40
10.50
12.60
14.70
16.80
29
96
32
72
19
11
16
86
16
36
91
18
30
38
31
42
61
35
14
92
96
15
71
03
18
06
44
13
7 47
92
09
28
21
29
17
2 52
07
53
50
71
95
55
99
15
26
65
52
10
53
61
06
28
09
01
72
77
32
40
10
19
11
20
94 8
44
20
28
51
91
19
27
5 13
48
18
83
57
60
16
8
20 of 20 SACRS funds invest in Real Estate (%) 70 of 73 funds invest in Real Estate (%)
Real Estate Allocation
As of June 30, 2016
Page 17
Hedge Funds Distressed Debt Buyout Venture Capital
Other Private Equity Natural Res Other Alternative
0.00
3.50
7.00
10.50
14.00
17.50
21.00
24.50
28.00
31.50
35.00
38.50
42.00
45.50
49.00
52.50
91
19
60
15
77
1
31 1
11
6 41
01
90 8
79
62
28
22
91
01
80
12
9
75
11
99
57
21
03
16
39
94
12
96
17
61
17
23
04
2
36
20
99
46
97
3
27
12
0 52
08
3
65
15
80
26
24
0
37
27
53
21
05
86
11
81
91
52
34
9
20
25
74
46
45
5
38
18
85
16
83
12
19 of 20 SACRS funds invest in Alternatives (%)
Universe Median: 13.00 SACRS Median: 12.36
67 of 73 funds invest in Alternatives (%)
Alternatives Style Allocation
As of June 30, 2016
Page 18
Universe Median: 0.62 SACRS Median: 0.49
60% R 3000/40% Barclays US Agg Bond Index: 3.92
0.00
0.50
1.00
1.50
2.00
2.50
3.00
3.50
4.00
-0.50
-1.00
-1.50
-2.00
-2.50
-3.00
-3.50
34
8 52
03
61
86
91
91
62
24
03
21
80
27
99
10
36
11
57
28
23
12
10
72
31
11
85
22
02
16
34
28
67
31
72
10
53
09
61
29
29
38
55
29
67
91
91
51
20
37
26
64
16
82
09
34
99
5 4 18
01
19
11
64
13
51
91
90
71
65
10
17
58
5 83
50
44
27
59
46
05
78
31
74
91
98
73 of 73 funds provided Total Fund returns for this time period (%)
20 of 20 SACRS funds provided Total Fund returns
73 of 73 funds provided Total Fund returns for this time period (%)
1 Year Annualized Total Fund Returns
As of June 30, 2016
Funds with less history than the specified time period will not appear in the chart.
Page 19
Universe Median: 6.70 SACRS Median: 6.31
60% R 3000/40% Barclays US Agg Bond Index: 8.62
0.00
0.60
1.20
1.80
2.40
3.00
3.60
4.20
4.80
5.40
6.00
6.60
7.20
7.80
8.40
9.00
29
66
9 52
01
18
10
33
21
57
18
64
30
44
42
29
31
25
26
23
82
73
61
91
12
01
72
20
28
57
31
05
19
37
18
05
71
68
96
26
17
86 8
95 4
35
02
82
27
52
09
15
12
93
51
10
14
17
54
97
95
53
11
19
10
80 1
65
11
67
22
40
99
61
16
39
46
07
11
98
83
34
89
03
49
91
73 of 73 funds provided Total Fund returns for this time period (%)
20 of 20 SACRS funds provided Total Fund returns
73 of 73 funds provided Total Fund returns for this time period (%)
5 Year Annualized Total Fund Returns
As of June 30, 2016
Funds with less history than the specified time period will not appear in the chart.
Page 20
Universe Median: 5.83 SACRS Median: 5.69
60% R 3000/40% Barclays US Agg Bond Index: 6.82
0.00
0.50
1.00
1.50
2.00
2.50
3.00
3.50
4.00
4.50
5.00
5.50
6.00
6.50
7.00
7.50
29
62
40
11
83
68
5 52
03
12
69
44
18
37
16
83
85
21
72
30
42
20
22
92
82
86
80
95
49
55 8
26
57
27
17
12
01
91
18
03
26
24
16
41
97
99
61
98
10
51
03
35
0 47
12
75
65
20
91
29
73 1
34
81
57
51
07
23
19
91
01
60
16
31
19
11
63
51
83
90
94
34
99
16
1
72 of 73 funds provided Total Fund returns for this time period (%)
20 of 20 SACRS funds provided Total Fund returns
72 of 73 funds provided Total Fund returns for this time period (%)
10 Year Annualized Total Fund Returns
As of June 30, 2016
Funds with less history than the specified time period will not appear in the chart.
Page 21
Universe Median: 0.84 SACRS Median: 0.99 Russell 3000 Index: 2.14
0.00
0.60
1.20
1.80
2.40
3.00
3.60
4.20
4.80
-0.60
-1.20
-1.80
-2.40
-3.00
-3.60
-4.20
34
91
51
19
18
31
99
31
21
97
91
01
52
71
38
26
24
01
80 5
20
55
95
86
32
27 1
12
09
01
91
17
22
02
75
96
15
78
37
33
72
82
10
64
16
83
51
30
34
86
21
29 4
41
10
53
69
44
26
91
03
35
02
91
18
11
6 82
75
19
82
09
44
80
17
57
85
60
16
37
26
54
9
70 of 73 funds provided US Equity returns for this time period (%)
19 of 20 SACRS funds provided US Equity returns
70 of 73 funds provided US Equity returns for this time period (%)
1 Year Annualized US Equity Returns
As of June 30, 2016
Funds with less history than the specified time period will not appear in the chart.
Page 22
Universe Median: 11.17 SACRS Median: 11.00 Russell 3000 Index: 11.60
0.00
0.85
1.70
2.55
3.40
4.25
5.10
5.95
6.80
7.65
8.50
9.35
10.20
11.05
11.90
12.75
64
18
90
19
11
19
31
20
21
18
52
15
95
26
94
31
2 41
72
38
62
15
72
82
36
32
86
18
02
40 5
20
37
83
55
44
12
07
92
71
03
41
29
57
96
34
97
13
50
10
42
75
73
19
8 19
9 83
08
58
01
76
97
22
09
34
81
05
49
16
36
52
75
35
16
01
16
16
81
29
19
10
1
70 of 73 funds provided US Equity returns for this time period (%)
19 of 20 SACRS funds provided US Equity returns
70 of 73 funds provided US Equity returns for this time period (%)
5 Year Annualized US Equity Returns
As of June 30, 2016
Funds with less history than the specified time period will not appear in the chart.
Page 23
Universe Median: 7.18 SACRS Median: 7.16 Russell 3000 Index: 7.40
0.00
0.55
1.10
1.65
2.20
2.75
3.30
3.85
4.40
4.95
5.50
6.05
6.60
7.15
7.70
8.25
-0.55
64 8
20
2
11
81
8
26
15
55
19
1
42
94
95
28
26
2
31
2
17
27
9
11
9
37
90
15
7
86
44
32
96
12
0
31
49
85
18
0
83 1
38
52
27
72 5
20
41
80
29
35
0
10
71
27
5
17
35
1
34
8
16
33
0
10
3
75
99
34
9
65
60
19
36
73
69
10
5 4
16
8
11
61
01
65 of 73 funds provided US Equity returns for this time period (%)
17 of 20 SACRS funds provided US Equity returns
65 of 73 funds provided US Equity returns for this time period (%)
10 Year Annualized US Equity Returns
As of June 30, 2016
Funds with less history than the specified time period will not appear in the chart.
Page 24
Universe Median: -8.68 SACRS Median: -8.72 MSCI ACW Ex US Index (USD) (Gross): -9.80
0.00
0.85
-0.85
-1.70
-2.55
-3.40
-4.25
-5.10
-5.95
-6.80
-7.65
-8.50
-9.35
-10.20
-11.05
-11.90
-12.75
72
16
32
02
11
86
23
49
73
19
11
16
69
30
10
15
29
01
80
20
96
02
40
12
01
72
95
80
75
99 1
85
31
28
22
61
74
26
51
68
19
96
55
86
10
51
03 5
20
27
53
21
19
27
29
37
94
71
15
71
81
29
36
38
57 8 4
35
16
43
12
15
34
81
04
47
94
13
50
19
84
9
69 of 73 funds provided International Equity returns for this time period (%)
19 of 20 SACRS funds provided International Equity returns
69 of 73 funds provided International Equity returns for this time period (%)
1 Year Annualized International Equity Returns
As of June 30, 2016
Funds with less history than the specified time period will not appear in the chart.
Page 25
Universe Median: 1.65 SACRS Median: 1.54 MSCI ACW Ex US Index (USD) (Gross): 0.56
0.00
0.40
0.80
1.20
1.60
2.00
2.40
2.80
3.20
3.60
4.00
4.40
4.80
-0.40
-0.80
-1.20
69
10
53
13
03
48
27
59
01
18
62
19
11
01
95
86
85
16
37
22
09
19
80
11
91
72
20
26
59
61
81
16
12
01
71
68
38
35
17
91
80
26
73
19
84
41
57
10
52
71
60
64
37
42
57
28
23
49
29
35
0 4
24
01
03
75
15
27
36 1
32
41 5
20
31
24
95
59
99
4 8
68 of 73 funds provided International Equity returns for this time period (%)
18 of 20 SACRS funds provided International Equity returns
68 of 73 funds provided International Equity returns for this time period (%)
5 Year Annualized International Equity Returns
As of June 30, 2016
Funds with less history than the specified time period will not appear in the chart.
Page 26
Universe Median: 2.64 SACRS Median: 2.87 MSCI ACW Ex US Index (USD) (Gross): 2.33
0.00
0.35
0.70
1.05
1.40
1.75
2.10
2.45
2.80
3.15
3.50
3.85
4.20
4.55
4.90
95
31
79
34
8
19
1
69
80
11
6
35
1
10
1
17
2
30
16
8
10
5
17
49
86
27
5
11
9
62
90
12
0
85
35
0
26
55
75
44
15
20
2
18
0
10
38
71
29
32
96
52
28
2
64
16
3
72
36
37
42
27 1
41
73
31
2
11
8
99
15
7
18
60
10
3 4
65 5
20 8
34
9
94
63 of 73 funds provided International Equity returns for this time period (%)
17 of 20 SACRS funds provided International Equity returns
63 of 73 funds provided International Equity returns for this time period (%)
10 Year Annualized International Equity Returns
As of June 30, 2016
Funds with less history than the specified time period will not appear in the chart.
Page 27
Universe Median: -3.20 SACRS Median: -4.40 MSCI ACW Index (USD) (Gross): -3.17
0.00
0.90
1.80
2.70
3.60
4.50
-0.90
-1.80
-2.70
-3.60
-4.50
-5.40
-6.30
-7.20
-8.10
-9.00
4
62
94
17
2
11
8
90
10
5
37
12
9
19
16
8
41
72
95
16
3
10
26
28
2
64
52 8
57
61
27
31
2
19
8
71
27 of 73 funds provided Global Equity returns for this time period (%)
8 of 20 SACRS funds provided Global Equity returns
27 of 73 funds provided Global Equity returns for this time period (%)
1 Year Annualized Global Equity Returns
As of June 30, 2016
Funds with less history than the specified time period will not appear in the chart. Data shown on this page is not considered to be robust by RVK standards, due to the member total being under35 funds.
Page 28
Universe Median: 6.88 SACRS Median: 5.74 MSCI ACW Index (USD) (Gross): 5.95
0.00
0.70
1.40
2.10
2.80
3.50
4.20
4.90
5.60
6.30
7.00
7.70
8.40
9.10
9.80
10.50
28
2
62
57 4
16
8
27
95
19
8
10
17
2
12
9
37
19
11
8
26
10
5
52
64
71
61
20 of 73 funds provided Global Equity returns for this time period (%)
7 of 20 SACRS funds provided Global Equity returns
20 of 73 funds provided Global Equity returns for this time period (%)
5 Year Annualized Global Equity Returns
As of June 30, 2016
Funds with less history than the specified time period will not appear in the chart. Data shown on this page is not considered to be robust by RVK standards, due to the member total being under35 funds.
Page 29
Universe Median: 4.87 SACRS Median: 4.30 MSCI ACW Index (USD) (Gross): 4.82
0.00
0.45
0.90
1.35
1.80
2.25
2.70
3.15
3.60
4.05
4.50
4.95
5.40
5.85
6.309
5
10
64
37
17
2
61
27
7 of 73 funds provided Global Equity returns for this time period (%)
2 of 20 SACRS funds provided Global Equity returns
7 of 73 funds provided Global Equity returns for this time period (%)
10 Year Annualized Global Equity Returns
As of June 30, 2016
Funds with less history than the specified time period will not appear in the chart. Data shown on this page is not considered to be robust by RVK standards, due to the member total being under35 funds.
Page 30
Universe Median: 5.07 SACRS Median: 4.92 Barclays US Agg Bond Index: 6.00
0.00
0.90
1.80
2.70
3.60
4.50
5.40
6.30
7.20
8.10
9.00
9.90
10.80
11.70
-0.90
-1.80
-2.70
10
28
2
31
44
19
1
69
42
18
34
8
16
3
72
15
7
20 5
10
3
24
0
32
26
30
27
19
8
31
2
36
11
8
55
85
52
75
12
0
20
9
57 4
94
35
1 8
17
99
11
6
62
35
0
86
10
5
38
18
0
15
37
17
2
49
20
2
16
8
61
95
65
73
96
79
64
41
34
9
71
27
5
10
1
62 of 73 funds provided US Fixed Income returns for this time period (%)
17 of 20 SACRS funds provided US Fixed Income returns
62 of 73 funds provided US Fixed Income returns for this time period (%)
1 Year Annualized US Fixed Income Returns
As of June 30, 2016
Funds with less history than the specified time period will not appear in the chart.
Page 31
Universe Median: 4.35 SACRS Median: 4.44 Barclays US Agg Bond Index: 3.76
0.00
0.50
1.00
1.50
2.00
2.50
3.00
3.50
4.00
4.50
5.00
5.50
6.00
6.50
7.00
31 8
17
11
8
61
42
28
2
10
10
1
73
44
96
19
8
10
3
52
18
0
20 5
86
36
69
10
5
85
15
94
57
72
16
3
20
2
11
6
64
32
55
15
7
19
1
12
0
38
35
1
26
75
16
8
99
65
20
9
30 4
34
8
95
18
35
0
24
0
34
9
49
17
2
27
37
31
2
41
71
62
79
27
5
62 of 73 funds provided US Fixed Income returns for this time period (%)
17 of 20 SACRS funds provided US Fixed Income returns
62 of 73 funds provided US Fixed Income returns for this time period (%)
5 Year Annualized US Fixed Income Returns
As of June 30, 2016
Funds with less history than the specified time period will not appear in the chart.
Page 32
Universe Median: 5.84 SACRS Median: 6.14 Barclays US Agg Bond Index: 5.13
0.00
0.60
1.20
1.80
2.40
3.00
3.60
4.20
4.80
5.40
6.00
6.60
7.20
7.80
8.40
9.00
10
1
31 8
17
61
10
5
42
52
55
65
38
11
8
34
9
20
2
75
10
64
16
8
44
86 4
99
12
0
34
8
20 5
15
7
85
19
1
36
96
72
30
16
3
37
73
26
79
32
49
35
0
69
18
0
24
0
10
3
27
18
71
17
2
95
31
2
11
6
35
1
41
15
27
5
62
57 of 73 funds provided US Fixed Income returns for this time period (%)
15 of 20 SACRS funds provided US Fixed Income returns
57 of 73 funds provided US Fixed Income returns for this time period (%)
10 Year Annualized US Fixed Income Returns
As of June 30, 2016
Funds with less history than the specified time period will not appear in the chart.
Page 33
Universe Median: 3.95 SACRS Median: 4.00 Barclays Gbl Agg Bond Index: 8.87
0.00
0.85
1.70
2.55
3.40
4.25
5.10
5.95
6.80
7.65
8.50
9.35
-0.85
-1.70
-2.55
-3.40
-4.25
11
8
60
17
16
3
72 1
31
11
9
27
80
95
83
19
29
10
90
52
11
6
94
20
9
73
21 of 73 funds provided Global Fixed Income returns for this time period (%)
7 of 20 SACRS funds provided Global Fixed Income returns
21 of 73 funds provided Global Fixed Income returns for this time period (%)
1 Year Annualized Global Fixed Income Returns
As of June 30, 2016
Funds with less history than the specified time period will not appear in the chart. Data shown on this page is not considered to be robust by RVK standards, due to the member total being under35 funds.
Page 34
Universe Median: 4.32 SACRS Median: 3.33 Barclays Gbl Agg Bond Index: 1.77
0.00
0.45
0.90
1.35
1.80
2.25
2.70
3.15
3.60
4.05
4.50
4.95
5.40
5.85
6.30
11
6
29
60
90 1
10
17
95
11
9
19
83
73
11
8
13 of 73 funds provided Global Fixed Income returns for this time period (%)
4 of 20 SACRS funds provided Global Fixed Income returns
13 of 73 funds provided Global Fixed Income returns for this time period (%)
5 Year Annualized Global Fixed Income Returns
As of June 30, 2016
Funds with less history than the specified time period will not appear in the chart. Data shown on this page is not considered to be robust by RVK standards, due to the member total being under35 funds.
Page 35
Universe Median: 5.63 SACRS Median: 5.36 Barclays Gbl Agg Bond Index: 4.40
0.00
0.50
1.00
1.50
2.00
2.50
3.00
3.50
4.00
4.50
5.00
5.50
6.00
6.50
7.00
7.502
9
60
17
19 1
11
9
95
83
11
8
9 of 73 funds provided Global Fixed Income returns for this time period (%)
3 of 20 SACRS funds provided Global Fixed Income returns
9 of 73 funds provided Global Fixed Income returns for this time period (%)
10 Year Annualized Global Fixed Income Returns
As of June 30, 2016
Funds with less history than the specified time period will not appear in the chart. Data shown on this page is not considered to be robust by RVK standards, due to the member total being under35 funds.
Page 36
Universe Median: 12.63 SACRS Median: 12.83 NCREIF ODCE Index (AWA) (Gross): 11.82
0.00
1.95
3.90
5.85
7.80
9.75
11.70
13.65
15.60
17.55
19.50
-1.95
-3.90
-5.85
-7.80
-9.75
24
01
01
36
91
96
57
10
51
29
18
02
72
09
38
27
57
22
91
63
11
94
29
96
91
73
01
91
49
65
37
86
28
21
72
41
44
60
94
71
32
12
02
02
10
31
57
61
90
20 5
85
55
10
83
73
52 1
75
15
95
62
26
11
66
4 83
48
80
35
03
51
31
18
19
79 4
11
81
68
69 of 73 funds provided Real Estate returns for this time period (%)
20 of 20 SACRS funds provided Real Estate returns
69 of 73 funds provided Real Estate returns for this time period (%)
1 Year Annualized Real Estate Returns
As of June 30, 2016
Funds with less history than the specified time period will not appear in the chart.
Page 37
Universe Median: 12.24 SACRS Median: 12.24 NCREIF ODCE Index (AWA) (Gross): 12.72
0.00
1.05
2.10
3.15
4.20
5.25
6.30
7.35
8.40
9.45
10.50
11.55
12.60
13.65
14.70
15.75
61
71
69
18
07
2
16
3
91
19
27
51
05
20
2
27
17
2
38
17
29
19
19
6
30
10
31
19
28
21
18
32
20
92
6
75
64
79
42
36
55
15
77
3
62
10
60
52
10
1 88
5
94
11
69
9
20 5 4
65
31
44
12
03
7
49
80
41
86
90
18
95
83
15
35
0
35
1 13
48
65 of 73 funds provided Real Estate returns for this time period (%)
18 of 20 SACRS funds provided Real Estate returns
65 of 73 funds provided Real Estate returns for this time period (%)
5 Year Annualized Real Estate Returns
As of June 30, 2016
Funds with less history than the specified time period will not appear in the chart.
Page 38
Universe Median: 5.60 SACRS Median: 5.96 NCREIF ODCE Index (AWA) (Gross): 6.17
0.00
0.65
1.30
1.95
2.60
3.25
3.90
4.55
5.20
5.85
6.50
7.15
7.80
8.45
9.10
9.75
30
18
0
44
71
19
1
96
69
75
36
90
17
2
29
65
38
18 1
15
19
27
26
10
17
80
73
91
37
11
8
49
28
2
85
27
5
15
7
10
5
60 4
42
94
34
8
41
86
72
16
3
32
99
62
52
79
11
6
10
1 8
64 5
20
83
31
12
0
56 of 73 funds provided Real Estate returns for this time period (%)
15 of 20 SACRS funds provided Real Estate returns
56 of 73 funds provided Real Estate returns for this time period (%)
10 Year Annualized Real Estate Returns
As of June 30, 2016
Funds with less history than the specified time period will not appear in the chart.
Page 39
Universe Median Risk: 7.48 Median Return: 6.70 Median Sharpe Ratio: 0.89
SACRS Median Risk: 8.21 Median Return: 6.31 Median Sharpe Ratio: 0.82
2.75
3.30
3.85
4.40
4.95
5.50
6.05
6.60
7.15
7.70
8.25
8.80
9.35
9.90
An
nu
aliz
ed
Re
turn
4.00 4.50 5.00 5.50 6.00 6.50 7.00 7.50 8.00 8.50 9.00 9.50 10.00 10.50
Standard Deviation (Risk)
20 of 20 SACRS funds provided Total Fund returns for this time period (%)
73 of 73 funds provided Total Fund returns for this time period (%)
Risk(%) SharpeID
Return(%)
1.028.7469 8.58
1.088.07118 7.43
0.917.7364 8.53
0.877.3952 8.61
0.847.0673 8.52
0.786.8557 8.93
0.746.8017 9.43
0.986.7086 6.83
0.806.4215 8.20
1.116.40129 5.70
1.166.22101 5.31
0.776.1975 8.22
0.676.1849 9.55
0.746.0955 8.42
0.825.97119 7.34
0.735.8180 8.19
0.785.4699 7.08
0.905.4561 6.05
0.675.4294 8.32
0.825.3371 6.52
Risk/Return Analysis
5 Year Annualized Total Fund Returns vs. Standard Deviation
As of June 30, 2016
Funds with less history than the specified time period will not appear in the chart.
Page 40
Universe Median Risk: 10.68 Median Return: 5.83 Median Sharpe Ratio: 0.48
SACRS Median Risk: 11.38 Median Return: 5.69 Median Sharpe Ratio: 0.44
3.50
3.85
4.20
4.55
4.90
5.25
5.60
5.95
6.30
6.65
7.00
7.35
7.70
An
nu
aliz
ed
Re
turn
5.60 6.30 7.00 7.70 8.40 9.10 9.80 10.50 11.20 11.90 12.60 13.30 14.00
Standard Deviation (Risk)
20 of 20 SACRS funds provided Total Fund returns for this time period (%)
72 of 73 funds provided Total Fund returns for this time period (%)
Risk(%) SharpeID
Return(%)
0.556.56118 10.84
0.516.3369 11.31
0.466.1752 12.41
0.545.9986 9.78
0.505.9980 10.82
0.475.9749 11.76
0.475.9655 11.42
0.455.9557 12.33
0.435.9417 12.93
0.445.8264 12.28
0.555.5671 8.72
0.435.29129 11.22
0.415.2473 11.64
0.415.2015 11.59
0.415.1875 11.34
0.384.9299 11.59
0.464.87101 9.11
0.374.71119 11.51
0.354.4694 11.30
0.323.9961 10.94
Risk/Return Analysis
10 Year Annualized Total Fund Returns vs. Standard Deviation
As of June 30, 2016
Funds with less history than the specified time period will not appear in the chart.
Page 41
Universe Median Risk: 13.52 Median Return: 11.17 Median Sharpe Ratio: 0.85
SACRS Median Risk: 13.80 Median Return: 11.00 Median Sharpe Ratio: 0.85
0.00
1.10
2.20
3.30
4.40
5.50
6.60
7.70
8.80
9.90
11.00
12.10
13.20
14.30
An
nu
aliz
ed
Re
turn
7.00 8.00 9.00 10.00 11.00 12.00 13.00 14.00 15.00 16.00 17.00 18.00 19.00 20.00
Standard Deviation (Risk)
19 of 20 SACRS funds provided US Equity returns for this time period (%)
70 of 73 funds provided US Equity returns for this time period (%)
Risk(%) SharpeID
Return(%)
0.9012.1964 14.03
0.8911.87119 13.80
0.8511.72118 14.33
0.9211.7152 13.07
0.8511.6615 14.24
0.8811.6494 13.74
0.8911.4586 13.21
0.8811.3155 13.22
0.8411.1457 13.86
0.8611.0071 13.20
0.8410.8975 13.52
0.8210.8973 13.86
0.8710.8699 12.96
0.7910.6480 14.17
0.7910.6117 14.01
0.7810.5269 14.09
0.7710.1949 13.99
0.808.85129 11.51
0.231.67101 8.28
Risk/Return Analysis
5 Year Annualized US Equity Returns vs. Standard Deviation
As of June 30, 2016
Funds with less history than the specified time period will not appear in the chart.
Page 42
Universe Median Risk: 17.13 Median Return: 7.18 Median Sharpe Ratio: 0.43
SACRS Median Risk: 17.22 Median Return: 7.16 Median Sharpe Ratio: 0.43
0.00
0.85
1.70
2.55
3.40
4.25
5.10
5.95
6.80
7.65
8.50
9.35
-0.85
-1.70
An
nu
aliz
ed
Re
turn
11.90 12.60 13.30 14.00 14.70 15.40 16.10 16.80 17.50 18.20 18.90 19.60 20.30 21.00
Standard Deviation (Risk)
17 of 20 SACRS funds provided US Equity returns for this time period (%)
65 of 73 funds provided US Equity returns for this time period (%)
Risk(%) SharpeID
Return(%)
0.467.9764 18.31
0.467.76118 17.30
0.457.6915 18.11
0.467.6655 16.98
0.457.5694 17.13
0.447.48119 17.56
0.457.3486 16.90
0.437.2349 17.59
0.437.1652 17.22
0.437.0980 17.16
0.436.9671 16.76
0.416.9417 17.63
0.416.7675 16.93
0.416.7599 16.86
0.386.3773 17.61
0.376.3469 18.16
-0.03-0.26101 13.28
Risk/Return Analysis
10 Year Annualized US Equity Returns vs. Standard Deviation
As of June 30, 2016
Funds with less history than the specified time period will not appear in the chart.
Page 43
Universe Median Risk: 14.68 Median Return: 1.65 Median Sharpe Ratio: 0.18
SACRS Median Risk: 14.86 Median Return: 1.54 Median Sharpe Ratio: 0.18
0.00
0.55
1.10
1.65
2.20
2.75
3.30
3.85
4.40
4.95
5.50
-0.55
-1.10
-1.65
An
nu
aliz
ed
Re
turn
10.50 11.25 12.00 12.75 13.50 14.25 15.00 15.75 16.50 17.25 18.00 18.75 19.50 20.25
Standard Deviation (Risk)
18 of 20 SACRS funds provided International Equity returns for this time period (%)
68 of 73 funds provided International Equity returns for this time period (%)
Risk(%) SharpeID
Return(%)
0.374.4469 14.65
0.293.06118 13.73
0.242.71101 19.20
0.252.5586 13.89
0.232.3280 14.31
0.222.18119 15.22
0.201.9317 14.58
0.191.6573 13.58
0.181.5452 13.66
0.171.5371 15.16
0.171.4664 15.37
0.161.3757 14.93
0.151.1175 14.78
0.141.0415 14.98
0.100.3149 15.71
0.090.2555 15.60
0.080.1599 13.97
0.080.1194 14.95
Risk/Return Analysis
5 Year Annualized International Equity Returns vs. Standard Deviation
As of June 30, 2016
Funds with less history than the specified time period will not appear in the chart.
Page 44
Universe Median Risk: 19.82 Median Return: 2.64 Median Sharpe Ratio: 0.18
SACRS Median Risk: 19.95 Median Return: 2.87 Median Sharpe Ratio: 0.19
0.00
0.45
0.90
1.35
1.80
2.25
2.70
3.15
3.60
4.05
4.50
4.95
5.40
An
nu
aliz
ed
Re
turn
14.00 14.70 15.40 16.10 16.80 17.50 18.20 18.90 19.60 20.30 21.00 21.70 22.40 23.10
Standard Deviation (Risk)
17 of 20 SACRS funds provided International Equity returns for this time period (%)
63 of 73 funds provided International Equity returns for this time period (%)
Risk(%) SharpeID
Return(%)
0.254.0469 18.74
0.253.9480 18.95
0.243.77101 21.76
0.213.2817 19.17
0.203.1349 20.65
0.203.1286 20.07
0.203.04119 20.47
0.202.9255 21.30
0.192.8775 19.95
0.192.8215 19.75
0.182.5771 20.27
0.172.4452 18.40
0.172.3464 19.22
0.152.0173 18.58
0.141.82118 18.77
0.141.7699 20.10
0.090.4894 21.72
Risk/Return Analysis
10 Year Annualized International Equity Returns vs. Standard Deviation
As of June 30, 2016
Funds with less history than the specified time period will not appear in the chart.
Page 45
Universe Median Risk: 12.80 Median Return: 6.88 Median Sharpe Ratio: 0.58
SACRS Median Risk: 12.18 Median Return: 5.74 Median Sharpe Ratio: 0.55
4.40
4.95
5.50
6.05
6.60
7.15
7.70
8.25
8.80
9.35
9.90
10.45
11.00
An
nu
aliz
ed
Re
turn
10.80 11.25 11.70 12.15 12.60 13.05 13.50 13.95 14.40 14.85 15.30 15.75 16.20
Standard Deviation (Risk)
7 of 20 SACRS funds provided Global Equity returns for this time period (%)
20 of 73 funds provided Global Equity returns for this time period (%)
Risk(%) SharpeID
Return(%)
0.648.2957 13.91
0.606.80129 12.18
0.586.18118 11.46
0.555.7452 11.32
0.535.5464 11.25
0.475.5171 13.05
0.425.0261 13.83
Risk/Return Analysis
5 Year Annualized Global Equity Returns vs. Standard Deviation
As of June 30, 2016
Funds with less history than the specified time period will not appear in the chart.
Page 46
Universe Median Risk: 17.72 Median Return: 4.87 Median Sharpe Ratio: 0.30
SACRS Median Risk: 17.07 Median Return: 4.30 Median Sharpe Ratio: 0.28
2.80
3.15
3.50
3.85
4.20
4.55
4.90
5.25
5.60
5.95
6.30
6.65
An
nu
aliz
ed
Re
turn
15.50 15.75 16.00 16.25 16.50 16.75 17.00 17.25 17.50 17.75 18.00 18.25 18.50
Standard Deviation (Risk)
2 of 20 SACRS funds provided Global Equity returns for this time period (%)
7 of 73 funds provided Global Equity returns for this time period (%)
Risk(%) SharpeID
Return(%)
0.325.0164 15.96
0.233.5961 18.18
Risk/Return Analysis
10 Year Annualized Global Equity Returns vs. Standard Deviation
As of June 30, 2016
Funds with less history than the specified time period will not appear in the chart.
Page 47
Universe Median Risk: 2.93 Median Return: 4.35 Median Sharpe Ratio: 1.39
SACRS Median Risk: 3.06 Median Return: 4.44 Median Sharpe Ratio: 1.50
1.80
2.25
2.70
3.15
3.60
4.05
4.50
4.95
5.40
5.85
6.30
6.75
7.20
7.65
An
nu
aliz
ed
Re
turn
1.20 1.60 2.00 2.40 2.80 3.20 3.60 4.00 4.40 4.80 5.20 5.60 6.00
Standard Deviation (Risk)
17 of 20 SACRS funds provided US Fixed Income returns for this time period (%)
62 of 73 funds provided US Fixed Income returns for this time period (%)
Risk(%) SharpeID
Return(%)
1.605.8017 3.55
2.205.63118 2.49
3.135.6261 1.74
0.935.07101 5.43
1.504.9073 3.19
1.764.6652 2.58
1.614.5686 2.76
1.334.5069 3.33
1.604.4415 2.70
1.424.4494 3.06
1.794.4357 2.42
1.694.3564 2.50
1.294.3455 3.29
1.234.2475 3.38
1.274.2299 3.25
1.313.8549 2.87
0.672.6771 3.97
Risk/Return Analysis
5 Year Annualized US Fixed Income Returns vs. Standard Deviation
As of June 30, 2016
Funds with less history than the specified time period will not appear in the chart.
Page 48
Universe Median Risk: 3.99 Median Return: 5.84 Median Sharpe Ratio: 1.12
SACRS Median Risk: 4.20 Median Return: 6.14 Median Sharpe Ratio: 1.15
3.60
4.05
4.50
4.95
5.40
5.85
6.30
6.75
7.20
7.65
8.10
8.55
9.00
An
nu
aliz
ed
Re
turn
2.25 2.70 3.15 3.60 4.05 4.50 4.95 5.40 5.85 6.30 6.75 7.20 7.65 8.10
Standard Deviation (Risk)
15 of 20 SACRS funds provided US Fixed Income returns for this time period (%)
57 of 73 funds provided US Fixed Income returns for this time period (%)
Risk(%) SharpeID
Return(%)
1.368.55101 5.28
0.996.8417 5.67
1.396.6461 3.78
0.876.5452 6.23
1.526.4455 3.43
1.216.35118 4.20
1.286.2775 3.96
0.716.1464 7.27
1.236.0786 3.93
0.696.0299 7.30
0.975.7073 4.61
1.245.5949 3.55
1.155.5769 3.81
0.955.2671 4.46
0.884.4015 3.68
Risk/Return Analysis
10 Year Annualized US Fixed Income Returns vs. Standard Deviation
As of June 30, 2016
Funds with less history than the specified time period will not appear in the chart.
Page 49
Universe Median Risk: 3.51 Median Return: 4.32 Median Sharpe Ratio: 1.35
SACRS Median Risk: 5.46 Median Return: 3.33 Median Sharpe Ratio: 0.53
1.00
1.50
2.00
2.50
3.00
3.50
4.00
4.50
5.00
5.50
6.00
6.50
7.00
An
nu
aliz
ed
Re
turn
1.20 1.80 2.40 3.00 3.60 4.20 4.80 5.40 6.00 6.60 7.20 7.80 8.40 9.00
Standard Deviation (Risk)
4 of 20 SACRS funds provided Global Fixed Income returns for this time period (%)
13 of 73 funds provided Global Fixed Income returns for this time period (%)
Risk(%) SharpeID
Return(%)
0.694.3217 6.34
1.053.88119 3.66
0.372.7873 8.04
0.371.67118 4.57
Risk/Return Analysis
5 Year Annualized Global Fixed Income Returns vs. Standard Deviation
As of June 30, 2016
Funds with less history than the specified time period will not appear in the chart.
Page 50
Universe Median Risk: 5.38 Median Return: 5.63 Median Sharpe Ratio: 0.82
SACRS Median Risk: 6.30 Median Return: 5.36 Median Sharpe Ratio: 0.64
3.50
3.85
4.20
4.55
4.90
5.25
5.60
5.95
6.30
6.65
7.00
7.35
7.70
An
nu
aliz
ed
Re
turn
2.75 3.30 3.85 4.40 4.95 5.50 6.05 6.60 7.15 7.70 8.25 8.80 9.35
Standard Deviation (Risk)
3 of 20 SACRS funds provided Global Fixed Income returns for this time period (%)
9 of 73 funds provided Global Fixed Income returns for this time period (%)
Risk(%) SharpeID
Return(%)
0.646.3217 8.51
0.685.36119 6.30
0.493.95118 6.19
Risk/Return Analysis
10 Year Annualized Global Fixed Income Returns vs. Standard Deviation
As of June 30, 2016
Funds with less history than the specified time period will not appear in the chart.
Page 51
Universe Median Risk: 2.38 Median Return: 12.24 Median Sharpe Ratio: 4.92
SACRS Median Risk: 2.46 Median Return: 12.24 Median Sharpe Ratio: 4.70
7.50
8.25
9.00
9.75
10.50
11.25
12.00
12.75
13.50
14.25
15.00
15.75
16.50
An
nu
aliz
ed
Re
turn
0.00 1.25 2.50 3.75 5.00 6.25 7.50 8.75 10.00 11.25 12.50 13.75 15.00-1.25
Standard Deviation (Risk)
18 of 20 SACRS funds provided Real Estate returns for this time period (%)
65 of 73 funds provided Real Estate returns for this time period (%)
Risk(%) SharpeID
Return(%)
4.5515.6961 3.24
3.4515.2471 4.16
4.8715.2269 2.95
6.4313.7417 2.01
1.2212.99119 10.57
1.8212.94118 6.84
3.2612.5675 3.67
9.9412.5364 1.17
7.0912.2655 1.63
5.9512.2173 1.94
10.3211.8252 1.06
5.1211.77101 2.21
6.2611.6294 1.76
4.5911.4199 2.38
2.1210.8549 4.94
4.8010.8480 2.15
3.6710.6286 2.77
3.769.9315 2.53
Risk/Return Analysis
5 Year Annualized Real Estate Returns vs. Standard Deviation
As of June 30, 2016
Funds with less history than the specified time period will not appear in the chart.
Page 52
Universe Median Risk: 9.81 Median Return: 5.60 Median Sharpe Ratio: 0.52
SACRS Median Risk: 8.89 Median Return: 5.96 Median Sharpe Ratio: 0.53
0.75
1.50
2.25
3.00
3.75
4.50
5.25
6.00
6.75
7.50
8.25
9.00
9.75
10.50
An
nu
aliz
ed
Re
turn
0.00 2.25 4.50 6.75 9.00 11.25 13.50 15.75 18.00 20.25 22.50 24.75 27.00-2.25
Standard Deviation (Risk)
15 of 20 SACRS funds provided Real Estate returns for this time period (%)
56 of 73 funds provided Real Estate returns for this time period (%)
Risk(%) SharpeID
Return(%)
1.058.6371 7.29
0.837.5569 8.08
0.737.5375 9.29
0.776.4415 7.21
0.636.1817 8.52
0.636.0580 8.50
0.606.0273 8.89
0.395.96118 15.73
0.425.6249 12.60
0.535.2194 8.54
0.535.1286 8.39
0.414.7399 10.35
0.404.5552 10.19
0.323.96101 11.29
0.263.3864 11.50
Risk/Return Analysis
10 Year Annualized Real Estate Returns vs. Standard Deviation
As of June 30, 2016
Funds with less history than the specified time period will not appear in the chart.
Page 53
100% of Net Assets Available for Benefits
0
10
20
30
40
50
60
70
80
90
100
110
120
96
19
83
16
8
10
5
42
55
85
75
17
2
24
0
94
18
0
64
62
69
36
86
52
73
20
2
80
12
9
16
3
99
60
17
90
41
20
65
72
57
18
12
0
10
79
49
30
32
27
5
71
38 5 4
11
9
26
11
6
31
15
7 1
44
91
37
20
9
16 of 20 SACRS funds provided Net Assets Available data
55 of 73 funds provided Net Assets Available data (%)
Net Assets Available For Benefits
Expressed as a Percentage of the Pension Benefit Obligation
As of June 30, 2016
Funds that did not provide data will not appear in the chart.
Page 54
0
5
10
15
20
25
6.50 6.75 7.00 7.25 7.50 7.55 7.60 7.65 7.75 8.00 8.40
57 of 73 funds provided Actuarial Rate data
1 13
12
24
1 2 1
6 5
1
0
2
4
68
10
12
14
2.00 2.50 2.80 3.00 3.30 3.50 3.80 4.00 4.20 4.40 4.50 4.80 4.90 5.50 5.70 6.00 6.10 6.50 6.70 7.10 7.20 7.50
55 of 73 funds provided Salary Growth Rate data
21 1
4
2
10
12
5
21
21
21 1 1 1 1 1 1 1
2
SACRS Median
0
5
10
15
3.00 3.50 3.80 4.00 4.20 4.30 4.40 4.50 4.60 4.70 4.80 5.00 5.10 5.40 5.50 5.60 7.30 7.50
56 of 73 funds provided Real Rate of Assumed Investment Return data
1 24
7
1
12
1
14
1 1 24
1 1 1 1 1 1
Actuarial Rate Assumptions - 7.50% Median
Salary Growth Rate Assumptions (Inflation plus Merit) - 3.75% Median
Real Rate of Assumed Investment Return (Interest Rate minus Inflation) - 4.35% Median
Actuarial Assumption Rates
As of June 30, 2016
Funds that did not provide data will not appear in the chart.
Page 55
Inv Div Staff 1.32%
Admin 21.75%
Custodian 2.13%
Inv Cons 2.85%
US Eq 10.87%
Inv Other 1.49%Real Es 13.44%
Alt Inv 19.16%
Fixed Inc 9.34%
Global Eq 5.20% Int'l Eq 12.45%
Inv Div Staff 2.85%
Admin 13.39%
Custodian 1.63%Inv Cons 2.18%
US Eq 10.21%
Int'l Eq 9.99%
Global Eq 4.46%
Inv Other 1.70%Real Es 12.80%
Alt Inv 32.77%
Fixed Inc 8.05%
0.00
4.00
8.00
-4.00
-8.00
-12.00
-16.00
Inv Div Staff Admin Custodian Inv Cons US Eq Int'l Eq Global Eq Fixed Inc Alt Inv Real Es Inv Other
-1.53
8.36
0.50 0.67 0.662.47
0.74 1.29
-13.60
0.65
-0.21
Variance (%)
SACRS All Funds
Total Administrative and Investment Fees
SACRS vs. All Funds
As of June 30, 2016
Allocations shown may not sum up to 100% exactly due to rounding.
Page 56
Administrative Expenses SACRSUnder $500
Million$500mm -$1 Billion
$1 - $5 Billion $5 - $10 Billion$10 - $20
BillionOver $20
Billion
Internal Inv. Div. Staff 1.080.80 0.00 2.16 0.74 0.77 1.92
Actuary 2.590.65 0.87 0.59 0.24 0.12 0.12
Legal 1.020.95 0.77 0.84 0.27 0.25 0.15
Consultant 0.260.10 0.11 0.21 0.09 0.09 0.13
Audit 0.700.26 0.39 0.23 0.10 0.06 0.08
Other Professional 0.100.22 0.42 0.25 0.07 0.17 0.54
General Administrative 14.3110.95 7.30 7.84 4.78 4.69 3.20
Total Administrative Expenses 13.92 20.07 12.129.86 6.156.29 6.15
Investment Expenses SACRSUnder $500
Million$500mm -$1 Billion
$1 - $5 Billion $5 - $10 Billion$10 - $20
BillionOver $20
Billion
Custodial 1.801.29 3.02 1.31 0.49 0.52 0.31
Investment Consulting 2.631.72 1.95 2.07 0.60 0.74 0.45
US Equity 4.516.56 9.65 8.83 6.31 2.84 2.70
International Equity 1.937.51 5.70 6.37 6.31 5.54 4.09
Global Equity 5.773.13 3.68 1.76 5.73 1.73 1.40
Fixed Income 3.965.63 6.62 5.19 4.17 3.64 3.45
Real Estate 5.758.11 9.58 6.86 8.01 4.60 7.15
Other Investment Management 0.000.90 0.00 1.16 1.03 1.01 0.80
34.85Total Investment Expenses (ex. Alt Inv) 40.20 20.63 20.3626.36 32.6633.55
Alternative Investments 8.1111.56 7.59 16.34 14.34 17.45 22.29
Total Investment Expenses 46.41 34.46 49.8947.78 42.6547.00 38.07
Total Fund Fee Summary in Basis Points
SACRS vs. Average by Asset Range
As of June 30, 2016
57 of 73 funds provided fee data for this time period
Expressed in basis points on total fund assets. Funds that did not provide fee data will not appear in the table.
60.33Total Expenses 57.64 53.3062.01 48.8044.2254.53
Page 57
SACRS Returns As of June 30, 2016
P - Total Fund Portfolio I - Policy Index LT Bonds - Barclays US Trsy:Long Term Bond Index
0.00%
2.00%
4.00%
6.00%
8.00%
10.00%
12.00%
5 Yr Annualized SACRS Returns
Page 58
SACRS Returns As of June 30, 2016
P - Total Fund Portfolio I - Policy Index LT Bonds - Barclays US Trsy:Long Term Bond Index
0.00%
1.00%
2.00%
3.00%
4.00%
5.00%
6.00%
7.00%
8.00%
9.00%
10.00%
10 Yr Annualized SACRS Returns
Page 59
SACRS Returns As of June 30, 2016
P - Total Fund Portfolio I - Policy Index LT Bonds - Barclays US Trsy:Long Term Bond Index
0.00%
1.00%
2.00%
3.00%
4.00%
5.00%
6.00%
7.00%
8.00%
9.00%
20 Yr Annualized SACRS Returns
Page 60
SACRS Growth of a $1.00 As of June 30, 2016
LT Bonds - Barclays US Trsy:Long Term Bond Index
$0.00
$0.50
$1.00
$1.50
$2.00
Jun 2011 Jun 2012 Jun 2013 Jun 2014 Jun 2015 Jun 2016
5 Yr SACRS Growth of a $1.00
LT Bonds
15 P
17 P
49 P
52 P
55 P
57 P
61 P
64 P
69 P
71 P
73 P
75 P
80 P
86 P
94 P
99 P
101 P
118 P
119 P
129 P
Page 61
SACRS Growth of a $1.00 As of June 30, 2016
LT Bonds - Barclays US Trsy:Long Term Bond Index
$0.00
$0.50
$1.00
$1.50
$2.00
$2.50
Jun 2006 Jun 2007 Jun 2008 Jun 2009 Jun 2010 Jun 2011 Jun 2012 Jun 2013 Jun 2014 Jun 2015 Jun 2016
10 Yr SACRS Growth of a $1.00
LT Bonds
15 P
17 P
49 P
52 P
55 P
57 P
61 P
64 P
69 P
71 P
73 P
75 P
80 P
86 P
94 P
99 P
101 P
118 P
119 P
129 P
Page 62
SACRS Growth of a $1.00 As of June 30, 2016
LT Bonds - Barclays US Trsy:Long Term Bond Index
$0.00
$1.00
$2.00
$3.00
$4.00
$5.00
$6.00
Jun 1996 Jun 2000 Jun 2004 Jun 2008 Jun 2012 Jun 2016
20 Yr SACRS Growth of a $1.00
LT Bonds
15 P
17 P
52 P
55 P
61 P
64 P
69 P
75 P
118 P
119 P
129 P
Page 63
SACRS Median Rolling Returns As of June 30, 2016
0.00%
4.00%
8.00%
12.00%
16.00%
6/06 12/06 6/07 12/07 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
SACRS Median 5 Yr Rolling Returnsvs. Median Assumption Rates
SACRS 5 Yr Rolling PF Universe 5 Yr Rolling SACRS Assumption Rates
Page 64
SACRS Median Rolling Returns As of June 30, 2016
0.00%
4.00%
8.00%
12.00%
6/06 12/06 6/07 12/07 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
SACRS Median 10 Yr Rolling Returnsvs. Median Assumption Rates
SACRS 10 Yr Rolling PF Universe 10 Yr Rolling SACRS Assumption Rates
Page 65
SACRS Median Assumption vs. Treasury Yield Curve As of June 30, 2016
3 Mth 1 Yr 3 Yr 5 Yr 7 Yr 10 Yr 20 Yr 30 Yr0.00%
3.00%
6.00%
9.00%
SACRS Median Assumption Rates vs.Treasury Yield Curve as of June 30, 2016
Treasury Yield Curve SACRS Assumption Rates
Page 66
Miscellaneous Comments
Performance shown is gross of fees, with the exception of the following:
Funds 31, 49, 350, and 351: Performance shown is net of fees.
Funds 5 and 20: Performance shown is net of fees, except for Total Fund performance.
Performance shown is calculated using quarterly performance provided by participating public funds.
Performance shown may differ from a fund's actual performance due to rounding.
Net Assets Available for Benefit includes funding percentage valuation as of dates between June 2015 and June 2016.
Allocations shown reflect dedicated managers/mandates rather than actual exposure, with the exception of the following:
Funds 1, 29, and 119: Performance shown for Global Fixed Income includes US and Non-US exposure.
Funds 4, 42, and 64: Performance shown for US Fixed Income includes US and Non-US exposure.
Glossary of TermsBeta - A measure of the sensitivity of a portfolio to the movements in the market. It is a measure of a portfolio's non-diversifiable or systematic risk.
Return - Compounded rate of return for the period.
%Return - The time-weighted rate of return of a portfolio for a specified time period.
Sharpe Ratio - Represents the excess rate of return over the risk-free return (i.e., BofA ML 3 Mo US T-Bill Index), divided by the standard deviation of the excessreturn. The result is the absolute rate of return per unit of risk. The higher the value, the better the product's historical risk-adjusted performance.
Standard Deviation - A statistical measure of the range of a portfolio's performance. The variability of a return around its average return over a specified timeperiod. Calculation is based on quarterly periodicity.
Addendum and Glossary As of June 30, 2016
Page 67
Disclaimer of Warranties and Limitation of Liability - This document was prepared by RVK, Inc. (RVK) and may include information and data from some or all of the following sources: client staff; custodian banks; investment managers; specialty investment consultants; actuaries; plan administrators/record-keepers; index providers; as well as other third-party sources as directed by the client or as we believe necessary or appropriate. RVK has taken reasonable care to ensure the accuracy of the information or data, but makes no warranties and disclaims responsibility for the accuracy or completeness of information or data provided or methodologies employed by any external source. This document is provided for the client’s internal use only and does not constitute a recommendation by RVK or an offer of, or a solicitation for, any particular security and it is not intended to convey any guarantees as to the future performance of the investment products, asset classes, or capital markets.