Sample Fund - RVK, Inc · Sample Fund Public Fund Universe Analysis. ... Sample Fund (Fund No. 168) San Bernardino County Employees' Retirement Association ... as supportive financial

Period Ending December 31, 2019Fund Number: 168

Sample Fund

Public Fund Universe Analysis

www.RVKInc.com 503-221-4200 Portland New York Chicago

Firm Overview

OVERVIEW

RVK, Inc. (RVK) was founded in 1985 and is one of the largest independent and employee-owned investment consulting firms in the US, providing world-class investment advice to institutional investors. We serve over 400 plans, including pension plans, defined contribution plans, endowments & foundations, insurance pools, and special purpose funds. Notably, in April 2019, RVK received a Greenwich Quality Leader Award for a second consecutive year.

MISSION STATEMENT

To provide best-in-class investment consulting services to a wide array of sophisticated investors.

STRATEGIC INVESTMENT ADVICE AND AN EXPLICIT NO CONFLICTS OF INTEREST POLICY

RVK built its investment consulting practice on the principles of integrity, investment knowledge, client service, and our no conflicts of interest policy. We are exclusively focused on strategic investment consulting services and solely owned by active employees, enabling us to offer advice that is not influenced by other business activities. As a privately-held firm with no affiliates or parent company, we are in control of our business policy, providing firm stability for clients. We offer an extensive slate of consulting services and produce deliverables fully customized to meet each client’s needs.

KEY TENETS OF OUR CULTURE

Boise

Page 2

www.RVKInc.com 503-221-4200 Portland New York Chicago

GENERAL CONSULTING SERVICES

Plan Evaluation

Strategic Asset Allocation

Investment Policy Development & Review

Investment Manager Search & Selection

Performance Analysis & Reporting

Manager Structure Analysis

Risk Monitoring and Management

Client Education

Special Projects

SPECIALTY CONSULTING SERVICES

Custody, Record keeper, Third-PartyAdministrator Searches

Asset/Liability Studies

Endowment Spending Policy Studies

Securities Lending Reviews

Pacing Studies

Strategic Planning Reviews

Outsourced CIO (OCIO) Searches,Evaluation, and Ongoing Monitoring

Directed Consulting Services

Fee Reviews

Defined Contribution Solutions Services

Investment Operations Solutions

Board and Investment Program OperationalReviews

RVK BY THE NUMBERS 30+ Years of Business 4 offices - Portland, Boise, Chicago, New York $1+ trillion Full-Retainer AUA 80+ Investment Professionals 50+ Advanced Degrees and Certifications 100% Employee Ownership 100% Revenue Derived from Client Fees 100% Non-Discretionary Services

FOR MORE INFORMATION ABOUT OUR SERVICES, PLEASE CONTACT:

[email protected] 503-221-4200

Boise

Page 3

Alameda County Employees' Retirement Association Anchorage Police & Fire Retirement System

Baltimore City Employees' Retirement Systems California State Teachers' Retirement System

Chicago Teachers' Pension Fund City of Austin Employees' Retirement System

City of Fresno Employees Retirement Systems City of Fresno Fire & Police Retirement System

City of Jacksonville Retirement System City of Milwaukee Employes' Retirement System

City of Plano Other Post-Employment Benefits Trust City of Plano Retirement Security Plan

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 County Employees' Annuity & Benefit Fund of Cook County

Employees Retirement System of Texas Fire and Police Pension Association of Colorado

Fort Worth Employees' Retirement Fund Fresno County Employees' Retirement Association

Gila River Indian Community Retirement Plan Illinois Municipal Retirement Fund

Imperial County Employees' Retirement System Iowa Public Employees' Retirement System

Kansas City, Missouri Employees' Retirement System Kansas Public Employees' Retirement System

Kern County Employees' Retirement Association Los Angeles County Employees Retirement Association

Los Angeles Fire and Police Pension System Los Angeles Water & Power Employees Retirement Plan

Marin County Employees' Retirement Association Maryland State Retirement and Pension System

Mendocino County Employees' Retirement Association Merced County Employees' Retirement Association

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

Pennsylvania Public School Employees' Retirement System Pennsylvania State Employees' Retirement System

Police Retirement System of Kansas City, Missouri Public Employees Retirement Association of New Mexico

Public School and Education ERS of Missouri Sacramento County Employees' Retirement System

Sample Fund (Fund No. 168) San Bernardino County Employees' Retirement Association

San Diego City Employees' Retirement System San Diego County Employees Retirement Association

San Diego Transit Corporation Employees Retirement San Mateo County Employees' Retirement Association

Participants As of December 31, 2019

Santa Barbara County Employees' Retirement System

Page 4

Santa Barbara County Employees' Retirement System

Sonoma County Employees' Retirement Association

South Dakota Retirement System Stanislaus County Employees' Retirement Association

State of Michigan Retirement Systems State of New Jersey Pension Fund

State of Utah, School and Institutional Trust Funds State Teachers Retirement System of Ohio

State Universities Retirement System of Illinois Teachers' Retirement System of Louisiana

Teachers' Retirement System of the State of Illinois Teachers’ Retirement System of Kentucky

Texas Municipal Retirement System The Navajo Nation Retirement Plan

Tulare County Employees' Retirement Association Ventura County Employees' Retirement Association

Virginia Retirement System West Virginia Investment Management Board

Wyoming Retirement System

Participants As of December 31, 2019

Page 5

Capital Markets Review As of December 31, 2019

Economic Indicators Dec-19 Sep-19 Dec-18 Dec-16 20 Yr1.55 ▼ 1.90 2.40 0.55 1.791.70 ▲ 1.35 1.49 1.86 1.851.79 ▲ 1.52 1.71 1.97 2.032.3 ▲ 1.7 1.9 2.1 2.23.5 ─ 3.5 3.9 4.7 5.92.3 ▲ 2.1 2.5 2.0 2.1

47.8 ▼ 48.2 55.0 54.4 52.790.82 ▼ 93.25 91.79 95.72 86.0761.1 ▲ 54.1 45.4 53.7 61.9

1,517 ▲ 1,472 1,282 1,148 935Market Performance (%) CYTD 1 Yr 5 Yr 10 Yr

31.49 31.49 11.70 13.5625.53 25.53 8.23 11.8322.01 22.01 5.67 5.5024.96 24.96 8.85 8.7418.44 18.44 5.61 3.688.72 8.72 3.05 3.752.28 2.28 1.07 0.585.34 5.34 8.97 11.42

26.00 26.00 7.21 11.948.40 8.40 2.37 2.837.69 7.69 -3.92 -4.73

Russell 2000MSCI EAFE (Net)MSCI EAFE SC (Net)MSCI Emg Mkts (Net)Bloomberg US Agg Bond

Key Economic Indicators

Treasury Yield Curve (%)

Key Economic IndicatorsThe fourth quarter of 2019 was a strong quarter for global equity markets, with representative US, developed non-US, and emerging market indices each substantially adding to gains realized earlier in the year. Credit markets also finished in positive territory, as supportive financial conditions and a general risk-on market sentiment drove spreads to tighten across the quality spectrum. Falling discount rates drove valuations and performance for US equities during the first half of the year, but increases in Q4 appeared more directly tied to optimism around international trade. Bilateral negotiations between the US and China finally resulted in an announced “Phase One” trade agreement, including a partial rollback of tariffs, which de-escalated trade tensions to a degree. US economic data released during Q4 was generally positive—although softness remains in some key sectors, such as manufacturing. The ISM PMI value was below 50 in Q4, indicating contraction in the manufacturing sector. Global central banks remain accommodative, though the market expects little additional help from the Federal Reserve in 2020. During its most recent meeting, the FOMC did not forecast any additional rate cuts in 2020.

Fourth 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

Unemployment Rate (%)

Federal Funds Rate (%)Breakeven Infl. - 5 Yr (%)Breakeven Infl. - 10 Yr (%)CPI YoY (Headline) (%)

Real GDP YoY (%)

USD Total Wtd IdxWTI Crude Oil per Barrel ($)Gold Spot per Oz ($)

S&P 500 (Cap Wtd)

PMI - Manufacturing

3.094.42

ICE BofAML 3 Mo US T-BillNCREIF ODCE (Gross)FTSE NAREIT Eq REIT (TR)HFRI FOF CompBloomberg Cmdty (TR)

11.840.180.461.51

-0.76

QTD9.079.948.17

11.52

0.00

0.50

1.00

1.50

2.00

2.50

3.00

3.50

3M 6M 1Y 2Y 5Y 7Y 10Y 20Y 30Y

Dec-19 Sep-19 Dec-18 Dec-17 Dec-16

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

2.3

Treasury data courtesy of the US Department of the Treasury. Economic data courtesy of Bloomberg Professional Service.

Page 6

US Equity Review As of December 31, 2019

US Large-Cap

Equity

R1000 12M P/E

Since 1995

US Large-Cap

Growth Equity

R1000G 12M P/E

Since 1995

US Large-Cap

Value Equity

R1000V 12M P/E

Since 1995

US Small-Cap

Equity

R2000 12M P/E

Since 1995

US Large-Cap

Equity

Shiller S&P 10Y P/E

Since 1900

Broad Market

US markets enjoyed a strong finish to the year amid de-escalation of the US-

China trade war and stimulative monetary policy from the Fed. The quarter

saw high single and low double digit returns for major indexes across all size

segments and styles. The strong quarter pushed the S&P 500 Index to a

31.5% return on the year.

Market Cap

Large and mid-cap stocks lagged slightly behind small-cap stocks in Q4, with

the Russell 2000 Index returning 9.9% and the S&P 500 and Russell MidCap

Indexes returning 9.1% and 7.1%, respectively.

Style and Sector

Active managers struggled to keep up with strong benchmark returns in Q4.

In addition, value-tilted managers performed notably better than growth and

core managers in the quarter.

Style and Capitalization Market Performance (%)

S&P 500 Index Sector Performance (%)

Fourth Quarter Review

Valuations

22.43

28.48

22.39

25.53

30.54

36.39

26.54

31.43

31.75

31.02

31.49

13.45

11.39

8.49

9.94

7.06

10.62

7.41

9.04

9.79

9.10

9.07

-5 5 15 25 35 45

R Micro Cap

R 2000 Growth

R 2000 Value

R 2000

R Mid Cap

R 1000 Growth

R 1000 Value

R 1000

R Top 200

R 3000

S&P 500 QTD

1 Yr

26.35

32.69

24.58

50.29

29.37

20.82

29.01

32.13

11.81

27.61

27.94

0.75

9.00

6.38

14.40

5.53

14.37

-0.54

10.47

5.49

3.51

4.47

-20 -5 10 25 40 55 70

Utilities

Comm Services

Materials

Information Tech

Industrials

Health Care

Real Estate

Financials

Energy

Cons Staples

Cons Discretion QTD

1 Yr

0

5

10

15

20

25

30

35

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 7

Non-US Equity Review As of December 31, 2019

Developed Intl

Equity

MSCI EAFE

12M P/E

Since 1995

Intl Equity

MSCI ACW x US

12M P/E

Since 1995

MSCI Style and Capitalization Market Performance (%)

MSCI Region Performance (%)

Emerging

Markets Equity

MSCI EM

12M P/E

Since 1995

Developed Intl

Growth Equity

MSCI EAFE Grth

12M P/E

Since 1995

Developed Intl

Value Equity

MSCI EAFE Val

12M P/E

Since 1995


Valuations

Developed Markets

Developed international markets delivered strong absolute returns in Q4, but

they still lagged both domestic and emerging markets. By country, returns for

the quarter were positive almost across the board, with only Belgium ending

in slightly negative territory. However, Q4 returns were largely driven by

multiple expansion, as growth continues to be weak in developed

international markets.

Emerging Markets

Emerging markets outperformed all other equity markets in Q4. Returns were

largely lifted by the announcement of the initial phase of a trade deal between

China and US, potentially indicating de-escalation in the ongoing trade war.

Market Cap & Style

In developed international markets, value stocks continued to underperform

growth, while small-cap stocks outperformed large-cap for the quarter. In

emerging markets, growth stocks outperformed value and large-cap

outperformed small-cap.

18.44

19.25

23.77

24.96

27.90

16.09

22.01

21.51

11.84

7.03

8.84

11.52

8.45

7.82

8.17

8.92

0 5 10 15 20 25 30 35

Emg Mkts

Pacific

Europe

EAFE SC

EAFE Growth

EAFE Value

EAFE

ACW Ex US QTD

1 Yr

18.44

27.50

19.61

18.36

9.59

21.05

24.81

11.84

4.89

7.64

5.78

7.23

9.95

8.46

0 5 10 15 20 25 30 35

Emg Mkts

Canada

Japan

Pacific ex Japan

Middle East

United Kingdom

Europe Ex UK QTD

1 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 8

Fixed Income Review As of December 31, 2019

Fixed Income Performance (%)

Broad Market

After a solid first three quarters supported by declining rates, the Bloomberg

US Aggregate Index finished the year more subdued, returning just 0.2% for

the final quarter. The Bloomberg US Government Long Duration Index fell

sharply, finishing the quarter with a -4.1% return, but the index still ended the

year in positive territory with a return of 14.7%.

Credit Market

Corporate credit fared better than the broader index for the quarter, as

strong economic data signaled optimism for the sector. Spreads tightened

over the quarter, and the Bloomberg US Corporate Index returned 1.2%,

contributing to an already-impressive annual return of 14.5%.

Emerging Market Debt

Hard currency emerging markets debt also added to a strong year. The JPM

EMBI Global Diversified Index posted 1.8% in the final quarter to finish the

year up 15.0%.


Valuations

US Aggregate

Bonds

Bloomberg US

Agg Spreads

Since 2000

US Corporate

Bonds

Bloomberg US

Corp Spreads

Since 1989

US Credit

Bonds

Bloomberg US

Credit Spreads

Since 2000

US Treasury

Bonds

10-Yr US Treasury

Yields

Since 1953

US High-Yield

Bonds

Bloomberg US

Corp:HY Spreads

Since 2000

13.47

14.42

5.90

6.84

8.17

14.32

4.53

6.35

5.89

14.54

8.27

8.43

6.86

8.72

5.20

2.09

-0.35

0.49

1.68

2.61

0.39

0.71

-0.09

1.18

-0.31

0.79

-0.79

0.18

-5 0 5 10 15 20

JPM GBI-EM Glbl Dvf'd (USD)(Unhedged)

JPM Emg Mkts Bond Global

FTSE Wrld Gov't Bond

Bloomberg Global Agg Bond

CS Leveraged Loan

Bloomberg US Corp Hi Yld

Bloomberg US ABS

Bloomberg US MBS

Bloomberg US Agcy

Bloomberg US Corp Credit

Bloomberg US CMBS Inv Grade

Bloomberg US Trsy US TIPS

Bloomberg US Trsy

Bloomberg US Agg QTD

1 Yr

0

2

4

6

8

10

12

14

0.0

0.1

0.2

0.3

0.4

0.5

0.6

0.7

0.8

0.9

1.0

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

1

2

3

4

5

6

7

8

9

10

Valuation data courtesy of Bloomberg Professional Service.

Valuations shown represent the 5th through 95th percentiles to minimize the effect of outliers.

Page 9

Alternatives Review As of December 31, 2019

General Market - Diversified Inflation Strategies (DIS)

Performance of DIS managers ranged widely throughout both Q4 and

the calendar year, though nearly all managers provided significantly

stronger than typical positive absolute returns. Managers with larger

TIPS allocations tended to underperform peers for the year, despite still

achieving their own real return expectations. DIS managers that

outperformed peers by the widest margins emphasized allocations to

REITs, global listed infrastructure, and/or global natural resource

equities.

General Market - Real Estate

Core private real estate returned 1.5% during the quarter, as reported by

the NCREIF-ODCE Index, with the total return comprised of 1.0%

income and 0.5% price appreciation. While the income component

stayed in-line with historical levels, price appreciation experienced a

modest increase of 0.2% compared to the relatively flat Q3 return.

Investments in publicly traded real estate trailed their private market

counterparts during Q4.

General Market - Hedge Funds

Hedge funds finished the year on a positive note, as the vast majority of

strategies in the space added to gains realized earlier in the year. The HFRI

Equity Hedge Index return for 2019, at 13.7%, was the best returning year

for the index since 2013. Fund of Hedge Funds that maintained significant

strategic exposure to Long/Short Equity and Long/Short Credit outperformed

funds that rotated towards diversifying, market neutral strategies.

General Market - Global Tactical Asset Allocation (GTAA)

Most GTAA managers showed positive absolute performance in 2019,

though they generally underperformed a static and less diversified blend of

60% US equity and 40% US fixed income. Nearly all GTAA managers

underperformed this measure due to the extraordinarily strong 2019

performance of US large-cap equities compared to most of the other

diversifying global asset classes included within GTAA strategies. Generally,

those with the strongest returns in 2019 held higher relative allocations to

US equities as opposed to developed international or emerging market

equities.

Fourth Quarter Review - Absolute Return

HFRI Hedge Fund Performance (%)

Fourth Quarter Review - Real Assets

Real Asset Performance (%)

12.76

6.81

7.49

7.42

6.50

2.94

2.33

13.71

10.35

8.40

3.44

2.41

2.84

1.84

-0.19

-0.08

0.39

5.68

2.33

3.09

-5 0 5 10 15 20

Credit Arb

Merger Arb

Event Driven

Relative Value

Macro

Distressed

Mkt Neutral Eq

Equity Hedge

Conv Arbitrage

HFRI FOF QTD

1 Yr

8.43

6.56

17.20

7.69

26.00

6.42

5.34

0.79

-4.08

9.55

4.42

-0.76

1.55

1.51

-15 -5 5 15 25 35

Bloomberg US Trsy: US TIPS

Alerian MLP

S&P Glbl Nat. Res. (TR)

Bloomberg Cmdty (TR)

FTSE NAREIT Eq REITs (TR)

NCREIF Property

NCREIF ODCE (Gross) QTD

1 Yr

Page 10

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

Best34.00 35.03 39.38 8.44 78.51 27.94 22.49 20.00 38.82 30.14 15.02 21.31 37.28 8.35 31.49

26.19 32.18 16.23 5.24 58.21 26.85 15.99 18.23 32.39 19.31 9.59 17.13 33.01 1.87 26.00

21.39 26.34 15.97 2.06 46.78 22.04 13.56 18.06 29.30 13.69 3.20 11.96 25.03 0.01 25.53

21.36 19.31 11.63 -2.35 31.78 18.88 8.29 17.32 22.78 12.50 1.38 11.77 21.83 -1.26 24.96

13.54 18.37 11.17 -10.01 28.01 16.83 7.84 16.35 13.94 5.97 0.55 11.19 14.65 -2.08 22.01

12.17 16.32 10.25 -21.37 27.17 16.36 4.98 16.00 8.96 4.89 0.05 8.77 10.71 -4.02 19.59

7.49 15.79 6.97 -26.16 26.46 15.12 2.11 15.81 7.44 3.64 -0.27 8.52 7.77 -4.38 18.44

5.34 11.86 6.60 -33.79 18.91 15.06 0.10 10.94 2.47 3.37 -0.81 6.67 7.62 -4.62 14.32

4.91 10.39 5.49 -35.65 11.47 10.16 -4.18 8.78 0.07 2.45 -1.44 4.68 7.50 -4.68 8.72

4.55 4.85 5.00 -37.00 11.41 7.75 -5.72 6.98 -2.02 0.04 -3.30 2.65 5.23 -11.01 8.43

3.07 4.34 1.87 -37.74 5.93 6.54 -12.14 4.79 -2.60 -2.19 -4.41 2.18 3.54 -11.25 8.40

2.84 2.72 1.45 -43.38 1.92 6.31 -13.32 4.21 -8.61 -4.90 -4.47 1.00 3.01 -13.79 7.69

2.74 2.07 -1.57 -47.01 0.21 5.70 -15.94 0.11 -8.83 -4.95 -14.92 0.51 1.70 -14.58 5.34

Worst2.43 0.49 -15.70 -53.33 -29.76 0.13 -18.42 -1.06 -9.52 -17.01 -24.66 0.33 0.86 -17.89 2.28

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

BloombrgUS Agg

Bond - FI

BloombrgUS Corp Hi

Yield - FI

BloombrgUS Trsy US

TIPS - FI

BloombrgUS Gov

Credit Lng- FI

NCREIFODCE

(Gross) -Real Estate

FTSENAREIT Eq

REITsIndex (TR)

HFRI FOFCompIndex -

ARS

BloombrgCmdty (TR)- Commod.

ICEBofAML 3Mo T-Bill -

Cash Equiv

Annual Asset Class Performance As of December 31, 2019

NCREIF ODCE (Gross) performance is reported quarterly; performance is shown N/A in interim-quarter months.

Page 11

0

5

10

15

20

25

<$500MM $500MM-$1B

$1B-$5B $5B-$10B $10B-$20B >$20B

10

6

17

8

10

24

0

5

10

15

20

25

30

35

40

Midwest Northeast South West

16

6

14

39

0

10

20

30

40

50

60

PERS Police/Fire Teachers/School Other

50

5

10 10

0

10

20

30

40

50

Local Gov Special District State Gov

41

4

30

Universe: 75 funds

Asset Size Geographical Distribution

Fund Classification Fund Type

Universe Characteristics As of December 31, 2019

Page 12

External Average: 90.34

0

25

50

75

100

41

51

71

81

92

93

63

73

84

24

95

25

55

76

06

26

46

97

17

27

37

58

08

68

89

49

59

61

01

10

31

05

116

119

12

11

26

12

81

29

16

31

68

19

82

02

20

82

09

24

02

75

34

53

48

34

93

50

35

13

53

35

44

63

49

14

92

49

39

91

87

85

10 5

20

44

15

71

91

31

18

03

22

82

27

41

26

30

29

6 8

Active Average: 73.43

0

25

50

75

100

41

19

11

28

34

82

96

18

71

05

49

21

01

95

62

29

30

94

15

74

97

57

21

63

44

10

32

02

46

31

98

64

31

34

52

82

20

82

65

79

91

911

66

91

01

511

97

36

01

80

17

96

49

38

02

0 58

51

21

24

03

49

32

36

42

37

16

83

54

71

20

91

26

35

04

91

27

38

35

12

75

86

88 4

55

35

31

29

52 8

18

Fund No. 168

Active Management (%)

External Management (%)

Active External

72

77

81

85

89

94

Dec-10 Dec-11 Dec-12 Dec-13 Dec-14 Dec-15 Dec-16 Dec-17 Dec-18 Dec-19

Public Fund Universe Historical Average (%)

Portfolio Management

Percentage Externally Managed & Percentage Actively Managed

As of December 31, 2019

Page 13

Actively Managed (%) Passively Managed (%) Externally Managed (%) Internally Managed (%)

Asset Range

Over $20B 73.68 26.32 78.07 21.93

$10B-$20B 75.90 24.10 92.63 7.37

$5B-$10B 70.98 29.02 96.95 3.05

$1B-$5B 76.18 23.82 98.57 1.43

$500MM-$1B 72.98 27.02 100.00 0.00

Under $500MM 67.91 32.09 92.44 7.56

Fund No. 168 65.35 34.65 100.00 0.00

Percentages shown for asset ranges are representative of the average allocation.

Public FundUniverse

Fund No. 168 Fund No. 168Public FundUniverse

Portfolio(%)

Active Management External Management

90 to 100 8 0 60 1

50 to 89 61 1 8 0

10 to 49 6 0 7 0

Less than 10 0 0 0 0

1 7575 1Total Funds Reporting

Portfolio Management Statistics As of December 31, 2019

Page 14

US Eq 34.33%

Int'l Eq 8.22%

Cash 3.66%RE 0.04%

Alts 4.33%Global FI 5.11%

US FI 26.66%

Global Eq 17.65%

US Eq 25.73%

Int'l Eq 15.32%

EM 3.53%Global Eq 3.93%

Other 2.12%Cash 2.31%

RE 8.19%

Alts 15.79%

Global FI 1.34%Int'l FI 1.21%

US FI 20.53%

0.00

5.05

10.10

15.15

-5.05

-10.10

-15.15

US Eq Int'l Eq EM Global Eq US FI Int'l FI Global FI Alts RE Cash Other

8.61

-7.10

-3.53

13.71

6.13

-1.21

3.76

-11.46-8.14

1.35

-2.12

Fund No. 168 All Funds

Variance (%)

Asset Allocation

Fund No. 168 vs. Average of All Funds


Allocations shown may not sum up to 100% exactly due to rounding.

Page 15

US Eq 34.33%

Int'l Eq 8.22%

Cash 3.66%RE 0.04%

Alts 4.33%Global FI 5.11%

US FI 26.66%

Global Eq 17.65%

US Eq 24.97%

Int'l Eq 16.13%

EM 4.02%Global Eq 4.14%

Other 1.97%Cash 1.54%

RE 8.79%

Alts 15.75%

Global FI 1.34%Int'l FI 1.77%

US FI 19.57%

0.00

5.00

10.00

15.00

-5.00

-10.00

-15.00

US Eq Int'l Eq EM Global Eq US FI Int'l FI Global FI Alts RE Cash Other

9.36

-7.91

-4.02

13.50

7.09

-1.77

3.76

-11.42-8.75

2.12

-1.97

Fund No. 168 $1-$5 Billion

Variance (%)

Asset Allocation

Fund No. 168 vs. Average of Similar Size Funds



Page 16

Lg Value 14.01%

Lg Core 28.31%

Global Eq 29.31%

Int'l Eq 13.65%

Lg Grth 14.71%

Lg Value 4.42%

Lg Core 32.21%

Lg Grth 4.59%S/M Value 2.75%S/M Core 4.26%

Global Eq 9.80%

EM 8.01%

Int'l Eq 31.33%

S/M Grth 2.63%

0.00

7.45

14.90

22.35

-7.45

-14.90

-22.35

Lg Value Lg Core Lg Grth S/M Value S/M Core S/M Grth Int'l Eq EM Global Eq

9.59

-3.90

10.12

-2.75 -4.26 -2.63

-17.67

-8.01

19.52


Variance (%)

Equity Style Allocation




Page 17

Lg Value 14.01%

Lg Core 28.31%

Global Eq 29.31%

Int'l Eq 13.65%

Lg Grth 14.71%

Lg Value 6.22%

Lg Core 28.73%

Lg Grth 3.73%

S/M Value 4.75%S/M Core 2.72%

Global Eq 8.44%

EM 8.50%

Int'l Eq 32.84%

S/M Grth 4.07%

0.00

8.05

16.10

24.15

-8.05

-16.10

-24.15

Lg Value Lg Core Lg Grth S/M Value S/M Core S/M Grth Int'l Eq EM Global Eq

7.79

-0.42

10.98

-4.75 -2.72 -4.07

-19.19

-8.50

20.88


Variance (%)

Equity Style Allocation




Page 18

Buyout 100.00%

HF 20.98%

Distressed 3.68%

Buyout 23.29%

Prvt Crdt 6.36%

Other Alts 17.35%

Nat Res 8.00%

Other PE 13.71%

Venture 6.62%

0.00

19.55

39.10

58.65

78.20

-19.55

-39.10

HF Distressed Buyout Venture Other PE Nat Res Other Alts Prvt Crdt

-20.98

-3.68

76.71

-6.62-13.71 -8.00

-17.35-6.36


Variance (%)

Alternatives Style Allocation




Page 19

Buyout 100.00%

HF 13.61%

Distressed 2.21%

Buyout 13.08%

Venture 2.70%

Other PE 11.75%

Prvt Crdt 14.44%

Other Alts 27.04%

Nat Res 15.18%

0.00

22.80

45.60

68.40

91.20

-22.80

-45.60

HF Distressed Buyout Venture Other PE Nat Res Other Alts Prvt Crdt

-13.61-2.21

86.92

-2.70-11.75 -15.18

-27.04-14.44


Variance (%)

Alternatives Style Allocation




Page 20

US Equity International Equity Emerging Markets Global Equity

0.00

4.90

9.80

14.70

19.60

24.50

29.40

34.30

39.20

44.10

49.00

53.90

58.80

63.70

68.60

73.50

19

82

75

49

35

33

54

34

53

51

44

35

08

81

82

08

64

16

84

92

10

32

68

52

09

96

49

35

21

72

02 4

55

27

69

95

60

42

30

32

38

15

57 8 5

18

72

01

29

10

51

28

46

33

49

37

94

62

12

18

07

53

611

61

80

73

119

15

79

97

14

18

61

63

72

10

24

02

94

91

28

21

01

19

12

61

91

29

63

48

31

Universe Median: 48.13

75 of 75 funds invest in Equity (%)

Equity Style Allocation As of December 31, 2019

Page 21

US Fixed Income Int'l Fixed Income Global Fixed Income

0.00

3.25

6.50

9.75

13.00

16.25

19.50

22.75

26.00

29.25

32.50

35.75

39.00

42.25

45.50

48.75

34

811

93

61

28

16

83

50

34

91

63

24

01

01

28

23

77

21

88

63

19

43

54

41

55

85

80

20

2 52

01

26

10

18

01

21

99

12

91

05

15

20

82

09

35

13

82

76

92

611

66

23

53

46

31

94

47

3 84

98

82

93

05

74

23

45

49

27

15

21

03

64

29

67

56

04

93

96

18

73

21

91 4

17

27

51

57

95

19

84

91


75 of 75 funds invest in Fixed Income (%)

Fixed Income Style Allocation As of December 31, 2019

Page 22

Universe Median: 8.46 Fund No. 168

0.00

2.30

4.60

6.90

9.20

11.50

13.80

16.10

18.40

49

22

93

23

45

72

16

34

63

19

13

84

99

54

16

95

53

51

57

12

19

64

93

86

94

64

88

10

33

53

30

18

02

96

15

73

12

69

92

82

18

711

66

22

40

10

75

42

20

8 52

01

29

73

20

91

05

71

27

35

01

28

52

36

12

61

72

02 4

85 8

15

37

44

119

35

48

01

83

48

19

27

56

01

01

49

11

68

73 of 75 funds invest in Real Estate (%)

Real Estate Allocation As of December 31, 2019

Page 23

Hedge Funds Distressed Debt Buyout Venture Capital

Other Private Equity Natural Res Other Alternative Private Credit

0.00

3.35

6.70

10.05

13.40

16.75

20.10

23.45

26.80

30.15

33.50

36.85

40.20

43.55

46.90

50.25

49

11

91

57

31

75

71

10

10

12

99

91

87

12

66

09

511

66

21

91

34

98

67

21

78

01

57

31

63

119

28

21

05

41 8

37

30 4

36

18

05

23

29

64

93

29

6 52

04

21

03

46

31

98

69

94

12

11

28

27

20

92

40

26

20

21

29

38

44

88

64

55

49

21

88

52

75

16

85

72

08


68 of 75 funds invest in Alternatives (%)

Alternatives Style Allocation As of December 31, 2019

Page 24

Universe Median: 17.53 60% R 3000/40% B US Agg Bond Index: 21.94

Fund No. 168

0.00

1.65

3.30

4.95

6.60

8.25

9.90

11.55

13.20

14.85

16.50

18.15

19.80

21.45

23.10

24.75

26.40

35

44

41

98

88

18

34

53

53

49

10

32

08

16

88

52

63

51

20

9 49

64

93

42

52

27

10

53

26

02

75

17

30

49

23

73

50

69

95

55

20

21

28

36

18

03

85

7 52

01

57

58

01

87

46

36

49

91

29

73 8

62

34

91

21

19

19

411

91

98

611

61

63

15

71

26

28

21

07

22

40

34

87

14

12

93

12

96

10

14

91

75 of 75 funds provided Total Fund returns for this time period (%)

With a return of 20.13, Fund 168 received a percentile rank of 14


1 Year Annualized Total Fund Returns As of December 31, 2019

Funds with less history than the specified time period will not appear in the chart.

Page 25

Universe Median: 7.59 60% R 3000/40% B US Agg Bond Index: 8.12 Fund No. 168

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

9.60

18

71

57

95

35

46

93

01

03

26

32

10

54

41

91

83

45

64

27

12

13

64

21

72

0 54

93

96

19

11

98

75

20

22

09

46

36

28

62

08

52

27

51

80

85

29

38 4

35

34

92

88

35

14

91

52

96

37

55

16

8 84

17

11

01

99

73

28

21

28

72

12

96

03

50

16

31

05

711

63

12

40

12

611

99

48

03

48

34

94

91






Page 26

Universe Median: 8.76 60% R 3000/40% B US Agg Bond Index: 9.70 Fund No. 168

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

11.20

29

61

87

15

76

93

24

92 5

20

10

34

43

09

56

45

21

71

05

18

12

12

71

93

45

29

42

26

36

20

86

28

53

84

93

96

46

31

91

16

83

72

75

35

4 41

80

57

75

20

24

92

09

88

73

15

86

10

11

28 8

12

93

51

35

01

98

55

28

28

01

26

31

49

14

19

96

01

07

19

47

211

611

91

63

24

03

48

34

9






Page 27

Fund No. 168

60% R 3000/40% B US Agg Bond Index

0.00

3.00

6.00

9.00

12.00

15.00

18.00

21.00

-3.00

-6.00

2015 2016 2017 2018 2019

0.73

8.79

13.81

-2.87

21.94

-1.67

8.88

15.24

-4.31

20.13

Fund No. 168: $142

60% R 3000/40% B US Agg Bond Index: $148

$90

$100

$110

$120

$130

$140

$150

De

c-1

4

Ma

r-1

5

Ju

n-1

5

Se

p-1

5

De

c-1

5

Ma

r-1

6

Ju

n-1

6

Se

p-1

6

De

c-1

6

Ma

r-1

7

Ju

n-1

7

Se

p-1

7

De

c-1

7

Ma

r-1

8

Ju

n-1

8

Se

p-1

8

De

c-1

8

Ma

r-1

9

Ju

n-1

9

Se

p-1

9

De

c-1

9

5 Years

7.24

8.12

-0.88

3 Years

10.47

9.82

-0.65

1 Year

21.94

20.13

-1.81

Annualized Returns (%)

60% R 3000/40% B US Agg Bond Index

Fund No. 168

Variance

Calendar Year Rates of Return (%) Cumulative Performance (Growth of $100)

Total Return - Total Fund

Fund No. 168 vs. 60% R 3000/40% B US Agg Bond Index


Page 28

Universe Median: 0.56 Fund No. 168

0.00

0.05

0.10

0.15

0.20

0.25

0.30

0.35

0.40

0.45

0.50

0.55

0.60

0.65

0.70

0.75

31

10

12

40 4

15

72

82

36

71

12

91

91

116

16

37

21

9 81

06

22

98

69

92

96

41

34

82

79

53

22

0 511

91

84

63

18

01

26

34

98

02

02

30

75

20

91

87

94

42

12

12

61

28

15

49

13

86

07

33

50

55

37

10

38

85

71

68

64

69

10

55

22

08

27

58

54

92

44

49

39

63

45

35

11

74

93

54

19

8

With a beta of 0.63, Fund 168 received a percentile rank of 77

74 of 75 funds provided Total Fund returns for this time period

10 Year Total Fund Beta As of December 31, 2019

Funds with less history than the specified time period will not appear in the chart. Benchmark used is the S&P 500 Index (Cap Wtd).

Page 29

Universe Median: 30.50 Russell 3000 Index: 31.02 Fund No. 168

0.00

2.30

4.60

6.90

9.20

11.50

13.80

16.10

18.40

20.70

23.00

25.30

27.60

29.90

32.20

34.50

36.80

39.10

16

37

23

54

15

49

24

43

011

92

62

82

12

81

71

21

15

76

05

23

50

12

91

89

53

63

15

57

52

7 83

83

51

99

18

0 52

02

08

35

33

22

09

41 4

94

10

33

74

26

43

48

24

01

07

15

72

02

46

33

45

49

88

19

14

93

96

10

58

511

67

36

91

26

18

72

75

62

16

88

03

49

29

49

11

98

19

10

1

73 of 75 funds provided US Equity returns for this time period (%)



1 Year Annualized US Equity Returns As of December 31, 2019


Page 30


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

12.60

13.50

14.40

64

119

26

15

20

27

21

63

10

31

81

21

35

45

22

82

17

15

73

48

12

93

13

63

09

49

93

45

55

38

18

02

73

27

17

53

51

49

23

53

12

85

73

71

05

73

19

19

54

94

63

96

49

31

03

50

42

20

86

92

40

44

20

94

11

98

60

18

7 52

01

92

98

52

75

80

62

88 8 4

49

11

26

34

91

68

116

10

1






Page 31


0.00

1.00

2.00

3.00

4.00

5.00

6.00

7.00

8.00

9.00

10.00

11.00

12.00

13.00

14.00

15.00

16.00

64

119

26

15

28

25

22

02

10

31

91

94

12

19

51

71

83

63

17

24

92

38

37

96

49

31

57

32

55

57

16

36

28

04

41

80

75

27

49

30

46

39

91

98

42

20

83

50 4

29

85

49

12

40

69

73

34

83

45

10

10

54

11

97

12

75

20 5

18

78

82

09 8

12

83

54

60

35

11

29

12

63

49

116

16

8






Page 32

Fund No. 168 Russell 3000 Index

0.00

4.00

8.00

12.00

16.00

20.00

24.00

28.00

-4.00

-8.00

2015 2016 2017 2018 2019

0.48

12.74

21.13

-5.24

31.02

-4.44

13.54

16.60

-4.60

28.34

Fund No. 168: $155 Russell 3000 Index: $170

$90

$100

$110

$120

$130

$140

$150

$160

$170

$180

De

c-1

4

Ma

r-1

5

Ju

n-1

5

Se

p-1

5

De

c-1

5

Ma

r-1

6

Ju

n-1

6

Se

p-1

6

De

c-1

6

Ma

r-1

7

Ju

n-1

7

Se

p-1

7

De

c-1

7

Ma

r-1

8

Ju

n-1

8

Se

p-1

8

De

c-1

8

Ma

r-1

9

Ju

n-1

9

Se

p-1

9

De

c-1

9

5 Years

9.15

11.24

-2.09

3 Years

14.57

12.60

-1.97

1 Year

31.02

28.34

-2.68


Russell 3000 Index

Fund No. 168

Variance


Total Return - US Equity

Fund No. 168 vs. Russell 3000 Index


Page 33

Universe Median: 23.21 MSCI ACW Ex US Index (USD) (Gross): 22.13 Fund No. 168

0.00

2.00

4.00

6.00

8.00

10.00

12.00

14.00

16.00

18.00

20.00

22.00

24.00

26.00

28.00

30.00

32.00

19

44

35

43

48

31

34

59

64

93

116

15

46

31

87

80

75

10

17

10

32

08

69

28

22

63

87

13

51

32

35

38

57

34

2 48

86

26

02

74

11

57

18

09

44

92

0 51

28

18

12

64

92

20

92

92

02

34

92

40

57

19

81

29

37

10

5 83

05

23

65

59

51

21

119

27

56

43

50

10

11

91

99

16

81

63

72

49

1

73 of 75 funds provided International Equity returns for this time period (%)



1 Year Annualized International Equity Returns As of December 31, 2019


Page 34


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

10.40

27

53

14

63

18

71

28

19

72

34

94

92

62

75

34

54

93

96

44

17

30

95

88

28

21

80

42

20

91

91

71

69

20

211

61

57

16

38

51

03

32

26

73

52 4

20

81

05

29

27

15

19

83

811

92

40

35

15

5 52

03

78

06

01

85

79

41

21

35

36

44

13

69

93

54

12

91

03

48 8

10

11

68

35

04

91

26

49

1






Page 35


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

8.80

49

21

26

31

95

18

76

98

81

05

20

86

23

04

93

96

34

84

42

09

80

19

18

53

45

15

17

38

71

18

0

46

311

611

91

98

34

97

51

57

27

52

9

28

2 45

24

25

72

61

82

02

37

32

35

46

41

21

10

27

35

11

03

72

41

36

73

24

06

0 52

0

16

85

53

50

49

99

16

39

44

91 8






Page 36

Fund No. 168

MSCI ACW Ex US Index (USD) (Gross)

0.00

5.00

10.00

15.00

20.00

25.00

30.00

-5.00

-10.00

-15.00

-20.00

2015 2016 2017 2018 2019

-5.25

5.01

27.77

-13.78

22.13

-1.97

6.35

26.16

-15.73

16.98

Fund No. 168: $130

MSCI ACW Ex US Index (USD) (Gross): $134

$90

$100

$110

$120

$130

$140

De

c-1

4

Ma

r-1

5

Ju

n-1

5

Se

p-1

5

De

c-1

5

Ma

r-1

6

Ju

n-1

6

Se

p-1

6

De

c-1

6

Ma

r-1

7

Ju

n-1

7

Se

p-1

7

De

c-1

7

Ma

r-1

8

Ju

n-1

8

Se

p-1

8

De

c-1

8

Ma

r-1

9

Ju

n-1

9

Se

p-1

9

De

c-1

9

5 Years

5.33

6.01

-0.68

3 Years

10.40

7.54

-2.86

1 Year

22.13

16.98

-5.15


MSCI ACW Ex US Index (USD) (Gross)

Fund No. 168

Variance


Total Return - International Equity

Fund No. 168 vs. MSCI ACW Ex US Index (USD) (Gross)


Page 37

Universe Median: 27.13 MSCI ACW Index (USD) (Gross): 27.30 Fund No. 168

0.00

2.30

4.60

6.90

9.20

11.50

13.80

16.10

18.40

20.70

23.00

25.30

27.60

29.90

32.20

34.50

36.80

26 4

20

9

12

8

10

5

37

16

8

119

16

3

72 8

30

19

52

27

12

1

12

6

95

19

8

94

116

19

1

12

9

18

7

10

62

64

41

28 of 75 funds provided Global Equity returns for this time period (%)



1 Year Annualized Global Equity Returns As of December 31, 2019


Page 38


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

12.60

13.50

14.40

4

16

8

37

26

10

5

62

19

1

27

72

16

3

30

12

8

19

12

1

19

8

95

41

52

12

6 8

12

9

10

94

64






Page 39


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

13.601

68 4

30

95

26

37

19

8

19

1

27

12

6

10

64






Page 40

Fund No. 168

MSCI ACW Index (USD) (Gross)

0.00

5.00

10.00

15.00

20.00

25.00

30.00

35.00

-5.00

-10.00

-15.00

2015 2016 2017 2018 2019

-1.84

8.49

24.62

-8.93

27.30

5.19 5.71

34.49

-7.67

29.98

Fund No. 168: $179

MSCI ACW Index (USD) (Gross): $154

$90

$105

$120

$135

$150

$165

$180

De

c-1

4

Ma

r-1

5

Ju

n-1

5

Se

p-1

5

De

c-1

5

Ma

r-1

6

Ju

n-1

6

Se

p-1

6

De

c-1

6

Ma

r-1

7

Ju

n-1

7

Se

p-1

7

De

c-1

7

Ma

r-1

8

Ju

n-1

8

Se

p-1

8

De

c-1

8

Ma

r-1

9

Ju

n-1

9

Se

p-1

9

De

c-1

9

5 Years

12.41

9.00

3.41

3 Years

13.05

17.30

4.25

1 Year

27.30

29.98

2.68


MSCI ACW Index (USD) (Gross)

Fund No. 168

Variance


Total Return - Global Equity

Fund No. 168 vs. MSCI ACW Index (USD) (Gross)


Page 41

Universe Median: 9.27 Bloomberg US Agg Bond Index: 8.72 Fund No. 168

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

16.25

17.50

18.75

20.00

49

11

01

05

12

83

61

98

42

28

23

83

45

34

89

98

82

08

55

95

17

10

33

11

57

72

16

32

02

46

32

78

53

24

49

64

93

19

111

69

41

80

35

1 81

26

37

20

91

87

26

75

49

71

69

35

03

49

52

19 4

10

13

02

40

73

49

21

68

60

15 5

20

57

64

18

35

41

21

62

35

31

29

27

5

69 of 75 funds provided US Fixed Income returns for this time period (%)



1 Year Annualized US Fixed Income Returns As of December 31, 2019


Page 42


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

6.75

7.20

10

13

1 81

0

15

77

3

19

81

7

95

10

5

42

34

8

24

03

6

72

20

2

34

5

49

39

6

16

33

8

10

33

50

75

71

85

52

27

94

32

55

46

31

5

44

57

116

64

19

19

9

18

01

87

69

30

35

42

08

12

82

82

88

49

37

26

49

2

12

62

09

19 4 5

20

35

11

68

34

93

53

12

11

8

62

27

5






Page 43


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

8.80

10

1

31 8

17

73

42

10

5

19

8

38

18

0

52

36

28

2

116

15

7

10

3

20

2 4

71

64

10

55

75

15

95

85

12

8

34

8

35

0

57

44

69

49

2

99

18

7 5

20

19

1

49

3

96

72

32

16

3

20

8

46

3

24

0

26

34

5

19

30

27

49

35

1

37

12

6

20

9

34

9

88

12

1

35

4

18

27

5

62

63 of 75 funds provided US Fixed Income returns for this time period (%)63 of 75 funds provided US Fixed Income returns for this time period (%)



Page 44

Fund No. 168

Bloomberg US Agg Bond Index

0.00

1.00

2.00

3.00

4.00

5.00

6.00

7.00

8.00

9.00

-1.00

2015 2016 2017 2018 2019

0.55

2.65

3.54

0.01

8.72

0.52

3.043.32

-0.49

8.35

Fund No. 168: $115

Bloomberg US Agg Bond Index: $116

$95

$100

$105

$110

$115

$120

De

c-1

4

Ma

r-1

5

Ju

n-1

5

Se

p-1

5

De

c-1

5

Ma

r-1

6

Ju

n-1

6

Se

p-1

6

De

c-1

6

Ma

r-1

7

Ju

n-1

7

Se

p-1

7

De

c-1

7

Ma

r-1

8

Ju

n-1

8

Se

p-1

8

De

c-1

8

Ma

r-1

9

Ju

n-1

9

Se

p-1

9

De

c-1

9

5 Years

2.90

3.05

-0.15

3 Years

4.03

3.66

-0.37

1 Year

8.72

8.35

-0.37


Bloomberg US Agg Bond Index

Fund No. 168

Variance


Total Return - US Fixed Income

Fund No. 168 vs. Bloomberg US Agg Bond Index


Page 45

Universe Median: 9.66 Bloomberg Gbl Agg Bond Index: 6.84 Fund No. 168

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

16.80

37

12

1

18

0

49

1

16

8

80

18

7

119

95

31

86

60

15

7

17

29

41

12

6

49

2

20

9

94

20 of 75 funds provided Global Fixed Income returns for this time period (%)



1 Year Annualized Global Fixed Income Returns As of December 31, 2019


Page 46


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

5.25

5.60

29

16

8

18

0

95

86

12

1

119

80

31

60

41

18

7

12

6

15

7

17

20

9

94

49

2






Page 47


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

6.75

7.20

29

18

0

17

86

80

60

119

95

18

7

49

2

41

15

7

12 of 75 funds provided Global Fixed Income returns for this time period (%)12 of 75 funds provided Global Fixed Income returns for this time period (%)



Page 48

Fund No. 168

Bloomberg Gbl Agg Bond Index

0.00

2.00

4.00

6.00

8.00

10.00

12.00

14.00

-2.00

-4.00

-6.00

2015 2016 2017 2018 2019

-3.15

2.09

7.39

-1.19

6.84

-3.52

10.87

7.70

-2.08

12.49

Fund No. 168: $127

Bloomberg Gbl Agg Bond Index: $112

$95

$100

$105

$110

$115

$120

$125

$130

De

c-1

4

Ma

r-1

5

Ju

n-1

5

Se

p-1

5

De

c-1

5

Ma

r-1

6

Ju

n-1

6

Se

p-1

6

De

c-1

6

Ma

r-1

7

Ju

n-1

7

Se

p-1

7

De

c-1

7

Ma

r-1

8

Ju

n-1

8

Se

p-1

8

De

c-1

8

Ma

r-1

9

Ju

n-1

9

Se

p-1

9

De

c-1

9

5 Years

4.88

2.31

2.57

3 Years

4.27

5.86

1.59

1 Year

6.84

12.49

5.65


Bloomberg Gbl Agg Bond Index

Fund No. 168

Variance


Total Return - Global Fixed Income

Fund No. 168 vs. Bloomberg Gbl Agg Bond Index


Page 49

Universe Median: 7.19 NCREIF ODCE Index (AWA) (Gross): 5.34 Fund No. 168

0.00

4.50

9.00

13.50

18.00

22.50

27.00

31.50

36.00

40.50

-4.50

-9.00

-13.50

-18.00

-22.50

-27.00

-31.50

-36.00

-40.50

35

43

48

12

65

76

04

21

29 8

96

49

34

12

82

31

75

20

9 43

01

91

32

37

85

18

08

811

69

93

62

02

18

95

16

37

21

92

40

10

37

16

91

07

31

57

10

51

01

27

5 52

02

71

87

44

46

31

74

96

28

03

53

49

13

85

52

62

08

94

12

14

92

119

29

86

12

83

45

64

52

15

35

03

51

16

8

72 of 75 funds provided Real Estate returns for this time period (%)

With a return of -35.72, Fund 168 received a percentile rank of 100


1 Year Annualized Real Estate Returns As of December 31, 2019


Page 50


0.00

2.90

5.80

8.70

11.60

14.50

17.40

-2.90

-5.80

-8.70

-11.60

-14.50

-17.40

-20.30

-23.20

-26.10

-29.00

-31.90

28

21

29

24

07

53

23

81

05

36

99

19

17

12

66

04

47

21

63 8

88

18

74

11

21

20

21

03

27

53

11

80

85

17

73

19

20 5

29

15

72

74

63

80

62

86

20

83

54

95

30

96

49

34

21

81

06

99

41

28

49

25

511

91

01

20

911

64

96

44

91

37

34

85

21

26

15

34

55

73

51

35

0 41

68


With a return of -30.89, Fund 168 received a percentile rank of 100




Page 51


0.00

0.95

1.90

2.85

3.80

4.75

5.70

6.65

7.60

8.55

9.50

10.45

11.40

12.35

13.30

14.25

15.20

16

37

2

75

27

51

9

88

18

7

35

41

91

10

3

26

20

2

18

09

64

93

38

73

28

21

05

30

12

11

7

27

60

12

87

13

2 83

6

41

62

55

29

20

9

10

49

14

9

12

69

9

46

38

03

7

85

31

15

75

2

44

34

51

8

34

86

4

69

42

95

49

25

7

20 5

10

1

15

94

86

35

13

50

116 4

66 of 75 funds provided Real Estate returns for this time period (%)66 of 75 funds provided Real Estate returns for this time period (%)



Page 52

Fund No. 168

NCREIF ODCE Index (AWA) (Gross)

0.00

6.00

12.00

18.00

-6.00

-12.00

-18.00

-24.00

-30.00

-36.00

-42.00

-48.00

-54.00

-60.00

2015 2016 2017 2018 2019

15.02

8.77 7.62 8.355.34

-3.36

-15.65

-35.02

-53.69

-35.72

Fund No. 168: $16

NCREIF ODCE Index (AWA) (Gross): $154

$0

$20

$40

$60

$80

$100

$120

$140

$160

De

c-1

4

Ma

r-1

5

Ju

n-1

5

Se

p-1

5

De

c-1

5

Ma

r-1

6

Ju

n-1

6

Se

p-1

6

De

c-1

6

Ma

r-1

7

Ju

n-1

7

Se

p-1

7

De

c-1

7

Ma

r-1

8

Ju

n-1

8

Se

p-1

8

De

c-1

8

Ma

r-1

9

Ju

n-1

9

Se

p-1

9

De

c-1

9

5 Years

-30.89

8.97

-39.86

3 Years

7.09

-42.17

-49.26

1 Year

5.34

-35.72

-41.06


NCREIF ODCE Index (AWA) (Gross)

Fund No. 168

Variance


Total Return - Real Estate

Fund No. 168 vs. NCREIF ODCE Index (AWA) (Gross)


Page 53

Universe Median Risk: 6.24 Median Return: 7.59 Median Sharpe Ratio: 1.03

Fund No. 168

4.40

4.80

5.20

5.60

6.00

6.40

6.80

7.20

7.60

8.00

8.40

8.80

9.20

9.60

An

nu

alize

d R

etu

rn

3.85 4.40 4.95 5.50 6.05 6.60 7.15 7.70 8.25 8.80 9.35 9.90 10.45

Standard Deviation (Risk)

Fund Sharpe Ratio: 0.8775 of 75 funds provided Total Fund returns for this time period (%)

Risk/Return Analysis

5 Year Annualized Total Fund Returns vs. Standard Deviation



Page 54


Fund No. 168

5.60

6.00

6.40

6.80

7.20

7.60

8.00

8.40

8.80

9.20

9.60

10.00

10.40

10.80

An

nu

alize

d R

etu

rn

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


Fund Sharpe Ratio: 0.9974 of 75 funds provided Total Fund returns for this time period (%)


10 Year Annualized Total Fund Returns vs. Standard Deviation



Page 55


Fund No. 168

7.15

7.70

8.25

8.80

9.35

9.90

10.45

11.00

11.55

12.10

12.65

13.20

13.75

An

nu

alize

d R

etu

rn

9.00 9.60 10.20 10.80 11.40 12.00 12.60 13.20 13.80 14.40 15.00 15.60


Fund Sharpe Ratio: 0.8173 of 75 funds provided US Equity returns for this time period (%)


5 Year Annualized US Equity Returns vs. Standard Deviation



Page 56


Fund No. 168

10.85

11.20

11.55

11.90

12.25

12.60

12.95

13.30

13.65

14.00

14.35

14.70

15.05

15.40

An

nu

alize

d R

etu

rn

11.50 12.00 12.50 13.00 13.50 14.00 14.50 15.00 15.50 16.00 16.50 17.00 17.50


Fund Sharpe Ratio: 0.9171 of 75 funds provided US Equity returns for this time period (%)


10 Year Annualized US Equity Returns vs. Standard Deviation



Page 57


Fund No. 168

3.85

4.40

4.95

5.50

6.05

6.60

7.15

7.70

8.25

8.80

9.35

9.90

10.45

An

nu

alize

d R

etu

rn

10.00 10.40 10.80 11.20 11.60 12.00 12.40 12.80 13.20 13.60 14.00 14.40 14.80


Fund Sharpe Ratio: 0.4173 of 75 funds provided International Equity returns for this time period (%)


5 Year Annualized International Equity Returns vs. Standard Deviation



Page 58


Fund No. 168

3.15

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

alize

d R

etu

rn

11.90 12.25 12.60 12.95 13.30 13.65 14.00 14.35 14.70 15.05 15.40 15.75 16.10 16.45


Fund Sharpe Ratio: 0.4268 of 75 funds provided International Equity returns for this time period (%)


10 Year Annualized International Equity Returns vs. Standard Deviation



Page 59


Fund No. 168

5.85

6.50

7.15

7.80

8.45

9.10

9.75

10.40

11.05

11.70

12.35

13.00

13.65

An

nu

alize

d R

etu

rn

7.70 8.25 8.80 9.35 9.90 10.45 11.00 11.55 12.10 12.65 13.20 13.75 14.30 14.85


Fund Sharpe Ratio: 0.8424 of 75 funds provided Global Equity returns for this time period (%)


5 Year Annualized Global Equity Returns vs. Standard Deviation



Page 60


Fund No. 168

7.20

7.65

8.10

8.55

9.00

9.45

9.90

10.35

10.80

11.25

11.70

12.15

12.60

13.05

An

nu

alize

d R

etu

rn

11.20 11.60 12.00 12.40 12.80 13.20 13.60 14.00 14.40 14.80 15.20 15.60 16.00 16.40


Fund Sharpe Ratio: 0.7912 of 75 funds provided Global Equity returns for this time period (%)


10 Year Annualized Global Equity Returns vs. Standard Deviation



Page 61


Fund No. 168

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

An

nu

alize

d R

etu

rn

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


Fund Sharpe Ratio: 0.7366 of 75 funds provided US Fixed Income returns for this time period (%)


5 Year Annualized US Fixed Income Returns vs. Standard Deviation



Page 62


Fund No. 168

2.20

2.75

3.30

3.85

4.40

4.95

5.50

6.05

6.60

7.15

7.70

8.25

8.80

An

nu

alize

d R

etu

rn

1.40 1.75 2.10 2.45 2.80 3.15 3.50 3.85 4.20 4.55 4.90 5.25 5.60




10 Year Annualized US Fixed Income Returns vs. Standard Deviation



Page 63


Fund No. 168

1.40

1.75

2.10

2.45

2.80

3.15

3.50

3.85

4.20

4.55

4.90

5.25

5.60

An

nu

alize

d R

etu

rn

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


Fund Sharpe Ratio: 0.8818 of 75 funds provided Global Fixed Income returns for this time period (%)


5 Year Annualized Global Fixed Income Returns vs. Standard Deviation



Page 64


Fund No. 168

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

alize

d R

etu

rn

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




10 Year Annualized Global Fixed Income Returns vs. Standard Deviation



Page 65


Fund No. 168

0.00

4.35

8.70

13.05

17.40

-4.35

-8.70

-13.05

-17.40

-21.75

-26.10

-30.45

-34.80

-39.15

An

nu

alize

d R

etu

rn

0.00 2.70 5.40 8.10 10.80 13.50 16.20 18.90 21.60 24.30 27.00 29.70 32.40-2.70


Fund Sharpe Ratio: -1.1071 of 75 funds provided Real Estate returns for this time period (%)


5 Year Annualized Real Estate Returns vs. Standard Deviation



Page 66


Fund No. 168

6.00

6.75

7.50

8.25

9.00

9.75

10.50

11.25

12.00

12.75

13.50

14.25

15.00

An

nu

alize

d R

etu

rn

0.00 1.35 2.70 4.05 5.40 6.75 8.10 9.45 10.80 12.15 13.50 14.85 16.20-1.35




10 Year Annualized Real Estate Returns vs. Standard Deviation



Page 67

100% of Net Assets Available for Benefits Fund No. 168

0

10

20

30

40

50

60

70

80

90

100

110

49

3

96

16

8

19

27

34

5

20

2

42

35

3

94

85

73

55

28

2

24

0

69

62

64

36

75

80

86

35

4

10

1

99

16

3

10

5

30

17

19

1

18

12

9

18

0

72

10

49

41

27

5

12

6

46

3

60

38

18

7

32

119

15

49

2

15

7

88

20

9

26

44 4

31

20

8

37

29 8

Fund Net Assets Available for Benefits: 104.40%

58 of 75 funds provided Net Assets Available data (%)

Net Assets Available For Benefits

Expressed as a Percentage of the Pension Benefit Obligation


Funds that did not provide data will not appear in the chart.

Page 68

0

10

20

30

6.50 6.60 6.67 6.75 6.80 7.00 7.20 7.25 7.30 7.35 7.40 7.45 7.50 7.53 7.55 7.75

60 of 75 funds provided Actuarial Rate data

1 1 15

2

21

1

14

1 1 1 3 51 1 1

0

5

10

15

2.50 2.55 2.60 2.75 3.00 3.25 3.30 3.50 3.60 4.00 4.50 4.60 4.75 4.88 5.00 5.50 5.75 5.90 5.93 5.95 6.00 6.50 7.25 7.30

58 of 75 funds provided Salary Growth Rate data

2 1 13

10

6

2

8

1

5

1 1 2 1 1

5

1 1 1 1 1 1 1 1

Fund No. 168

05

101520

3.40 3.50 3.60 3.75 3.95 4.00 4.17 4.20 4.25 4.30 4.40 4.45 4.50 4.53 4.55 4.65 4.75 4.80 4.85 4.95 5.00 5.25 5.55

57 of 75 funds provided Real Rate of Assumed Investment Return data

1 1 1 1 15

1 1

15

1 1 1

8

1 1 15

1 1 3 41 1

Actuarial Rate Assumptions - 7.00% Median

Salary Growth Rate Assumptions (Inflation plus Merit) - 3.50% Median

Real Rate of Assumed Investment Return (Interest Rate minus Inflation) - 4.40% Median

Public Funds Universe Historical Actuarial Rate Assumptions (%)

Average Median

7

8

9

Dec-10 Dec-11 Dec-12 Dec-13 Dec-14 Dec-15 Dec-16 Dec-17 Dec-18 Dec-19

Actuarial Assumption Rates As of December 31, 2019

Funds that did not provide data will not appear in the chart.

Page 69

Overlay Survey Summary

Q1. Of the 75 participants in the 2019 Q4 Public Fund Report, 56 participants provided a response to the Overlay Survey. Of those participants, 26 are currently using a form ofoverlay, 6 are considering evaluating a form of overlay, and 24 are not currently using or considering evaluating any form of overlay.

Q2. Of the 26 participants that provided a response to the Overlay Survey and have exposure to an overlay manager or managers, the purposes of the overlay programs aredistributed as follows:

35 %

27 %

0 %

4 %

0 %

15 %

58 %

65 %

27 % Transition management

Rebalancing management

Cash equitization

Tactical asset allocation

Manage market risk within an LDI construct

Express a view on US Dollar

Match Plan liabilities more closely (either as part of an explicit or conceptual framework)

Generate alpha

Manage foreign currency risk

Q3. Of the 10 participants that provided a response to the Overlay Survey and have exposure to a currency manager or managers, the program structures are distributed asfollows:

50 %

40 %

20 % Alpha generating currency manager focused on absolute return

Dynamic hedging program where manager varies the hedge ratio

Static hedge ratio

Q4. Of the 6 participants that provided a response to the Overlay Survey and indicated use of a hedge ratio on a currency program, the responses are distributed as follows:

4 % Other

1 response indicated 25 % hedge on All Equities

5 responses indicated 50 % hedge on Developed Equity exposure

1 response indicated 75 % hedge on Developed Equity exposure

Overlay Survey Summary As of December 31, 2019

Page 70

Supplemental Questions

Q1. Of the 51 respondents, the methods of Private Equity reporting are distributed as follows:

35 %

11 %

55 %

Q2. Of the 55 respondents, the methods of Private Real Estate reporting are distributed as follows:

Reported on a 1 quarter lag to account for most all valuations and cash flow activity

Reported on a 1 month lag to account for additional valuations and cash flow activity

Valuations and cash flows are updated and reflected as received by custodian

27 %

73 % Answered 'No' - valuations are not restated

Answered 'Yes' - valuations are restated

Q3. Of the 52 respondents, the responses to whether or not Private Equity and/or Private Real Estate valuations are restated once final valuations are received from the managersare distributed as follows:

31 %

8 %

61 % Reported on a 1 quarter lag to account for most all valuations and cash flow activity

Reported on a 1 month lag to account for additional valuations and cash flow activity

Valuations and cash flows are updated and reflected as received by custodian

29 %

71 % Answered 'No'

Answered 'Yes'

Q4. Of the 49 respondents, the responses to whether or not a third party risk software provider is used are distributed as follows:

Supplemental Questions As of December 31, 2019

Page 71

Miscellaneous Comments

• Performance shown is gross of fees, with the exception of the following:

• Funds 8, 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.

• Funds 4, 55, 75, and 85: Performance shown for Real Estate is net of fees.

• 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 Benefits includes funding percentage valuation as of dates between December 2018 and December 2019.

• Fund 96: Net Assets Available for Benefits shown is the higher funded ratio for one of two commingled systems reported by the fund.

• Allocations shown reflect dedicated managers/mandates rather than actual exposure, with the exception of the following:

• Funds 29, 86, and 119: Performance shown for Global Fixed Income includes US and Non-US Fixed Income funds.

• Fund 121: Performance shown for Global Fixed Income includes Non-US Fixed Income funds.

• Funds 4, 42, 64, 99, 202, and 240: Performance shown for US Fixed Income includes US and Non-US Fixed Income funds.

Glossary of Terms

Beta - 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 given period.

Sharpe Ratio - Represents the excess rate of return over the risk-free return (i.e., ICE BofAML 3 Mo US T-Bill Index unless specified otherwise), divided by the

standard deviation of the excess return to the risk free asset. 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 time

period. Calculation is based on quarterly periodicity.

As of December 31, 2019Addendum and Glossary

Page 72

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.

Documents

Sample Fund - RVK, Inc · Sample Fund Public Fund Universe Analysis. ... Sample Fund (Fund No. 168) San Bernardino County Employees' Retirement Association ... as supportive financial