agenda investment committee el camino hospital …...the open session meeting of the investment...
TRANSCRIPT
A copy of the agenda for the Regular Committee Meeting will be posted and distributed at least seventy-two (72) hours prior to the
meeting. In observance of the Americans with Disabilities Act, please notify us at 650-988-7504 prior to the meeting so that we
may provide the agenda in alternative formats or make disability-related modifications and accommodations.
AGENDA Investment Committee
El Camino Hospital Board
Monday, November 10, 2014, 5:30 p.m.
Conference Room A, Ground Floor
2500 Grant Road, Mountain View, California
MISSION: The purpose of the Investment Committee is to develop and recommend to the El Camino Hospital Board of Directors the organization's investment policies, maintain current knowledge of the management and investment of the invested funds of the hospital and its pension plan(s), provide guidance to management in its investment management role, and provide oversight of the allocation of the investment assets.
AGENDA ITEM PRESENTED BY
1. CALL TO ORDER/ROLL CALL John Zoglin, Chair 5:30 – 5:31
2. POTENTIAL CONFLICT OF INTEREST
DISCLOSURES
John Zoglin, Chair 5:31 – 5:32
3. PUBLIC COMMUNICATION John Zoglin, Chair 5:32 – 5:33
4. CONSENT CALENDAR:
Any committee member may remove an item for
discussion before a motion is made.
John Zoglin, Chair public
comment
Motion for
recommendation
required
5:33 – 5:35
Approval:
August 11, 2014 Minutes
Information:
Updated Pacing Plan
Article of Interest
ATTACHMENT 4
5. EL CAMINO HOSPITAL FINANCIAL
PERFORMANCE
ATTACHMENT 5
Iftikhar Hussain, CFO
Information
5:35 – 5:45
6. INVESTMENT COMMITTEE SCORECARD
and PERFORMANCE REVIEW
a. Investment Committee Scorecard
b. Third Quarter Performance Review
c. Hedge Fund Review
ATTACHMENT 6
Antonio DiCosola,
Pavilion Advisory Group
public
comment
Motion(s) for
recommendation
required 5:45 – 6:30
7. ASSET ALLOCATION REVISION
ATTACHMENT 7
Iftikhar Hussain, CFO public
comment
Motion for
recommendation
required 6:30 – 6:45
El Camino Hospital Board Investment Committee November 10, 2014 Page 2
AGENDA ITEM PRESENTED BY
8. ADJOURN TO CLOSED SESSION 6:45 9. CONSENT CALENDAR: Any committee member may remove an item for discussion before a motion is made. Approval: August 11, 2014 Closed Session Minutes. Gov’t code Section 54957.2
John Zoglin, Chair Motion for recommendation
required 6:45 – 6:46
10. Health and Safety Code Section 32106(b) for a report involving health care facility trade secret. - Long Term Financial Plan
Iftikhar Hussain, CFO Information 6:46 – 7:05
11. RECONVENE OPEN SESSION
7:05 – 7:06
To report any required disclosures regarding permissible actions taken during Closed Session.
John Zoglin, Chair
12. ADJOURNMENT
John Zoglin, Chair 7:06 p.m.
FY2015 Investment Committee Meetings: December 1, 2014 Joint Finance Committee and Investment Committee Meeting February 9, 2015 May 11, 2015
Tentative (upon approval by the Board): August 10, 2015 November 9, 2015
Separator Page
4.1 INVEST COMM 8-11-14 OPEN MINUTES v3.docx
Minutes of the Open Session Meeting
Investment Committee of the Board of Directors
Of El Camino Hospital
Monday, August 11, 2014
El Camino Hospital, 2500 Grant Road, Mountain View, California
Conference Room A
1. Call to Order. The Open Session meeting of the Investment Committee Meeting
of El Camino Hospital (the “Committee”) was called to order by Committee Chair John Zoglin
at 5:30 p.m. on Monday, August 11, 2014 in Conference Room A at El Camino Hospital, 2500
Grant Road, Mountain View, California.
2. Roll Call. Committee members present were John Zoglin, Nicki Boone, Ethan
Cohen-Cole, Jeffrey Davis, MD, and Brooks Nelson.
3. Potential Conflict of Interests Disclosures. Committee Chair Zoglin asked if
any committee member or anyone in the audience believes that a committee member may have a
conflict of interest on any of the items on the agenda. No conflict of interest was reported.
4. Consent Calendar. The committee reviewed the item on the Consent Calendar.
Motion: To approve Consent Calendar, May 12, 2014 minutes.
Movant: Boone
Second: Brooks
Ayes: Boone, Cohen-Cole, Davis, Nelson and Zoglin
Noes: None
Abstentions: None
Absent: None
Recused: None
5. Agenda Item 5 – Asset Allocation Revision for Recommendation. Chair
Zoglin reviewed the recommendations on possible changes to our asset allocation. He stated that
before a final decision is made that feedback on risk profile is needed from the Board.
Discussion followed on two options: 1) recommend the ‘growth’ strategy (moving 10% from
bonds to stocks) because it could increase expected returns by 0.5% ($3M) per year without
significantly increasing volatility or risk; and 2) recommend ‘growth plus private equity’ strategy
(moving 10% from bonds to stocks and moving 5% from hedge funds to private equity) because
it would increase expected returns by 0.2% ($1M) per year. If it does not make that
recommendation, it may be over concern that private equity would make $30M of our assets very
illiquid.
Ms. Boone suggested that private equities is the appropriate asset class for an organization of our
size and the pool of assets of this size will always have equities in the investment space. She
stated it is fine to have some amount of illiquid exposure to equities and that having it in the
private market rather than just in the public market is a nice diversification and nice source of
return. She is onboard with the idea of taking some of our equity exposure in that form.
DRAFT
Minutes: Investment Committee of the Board
August 11, 2014
Page 2
Mr. Nelson questioned how long of a horizon could illiquidity be tolerated. Iftikhar Hussain,
Chief Financial Officer, responded that the seven year forecast has a capital spending plan of
$900M. The plan is to go to the debt market in early 2016. If we go to the debt market our cash
remains $600M or above; if we don't go to the debt market it falls to as low as $100M.
Dr. Jeffrey Davis stated he does not have a problem with private equity from a diversification
perspective as it is a small percentage given the volume of our investments. He referred to the
Pavilion Asset Classes presentation in the Finance Committee packet. From the private equity
side, he was concerned with return and volatility as a reflection of risk. With 30% volatility on
private equity investment, given the two choices, he recommended to not go into the increased
equity side and to stay where we are. If he felt more comfortable with information on what the
10% move in a bond equity would mean, he may be more supportive of long term investment
return on equity.
Mr. Cohen-Cole stated that he does not yet have a strong perspective on which direction to go.
He questioned how disastrous would it be to our financial operations or our business planning if
we need to scale back our investment plans in the event we would be unable to go to the bond
market. Dr. Davis stated that he believes our margins will be depressed given the reimbursement
scenario in terms of new payment mechanisms, the move from fee for service to value based
contracting, and providers taking on more risk. Mr. Cohen-Cole asked if we were to plug in
those assumptions into the business model, will we make it to the bond issuance with the bond
agency. Mr. Hussain explained that if the bond market can’t issue bonds, but everything else is
ok, then we are fine. But if margins drop and if we can’t go to the bond market, with the
compounding effect we are exposed and will need the investment portfolio to cover. He stated
that one option would be to defer the capital projects, adding that in key markets it is important
that we make investments to keep ourselves competitive.
Ms. Boone asked if this portfolio can be used as a source of collateral for borrowing. Mr.
Hussain answered no, that we want to keep the equity ratio of 30% to maintain the rating, the
equity ratio is currently low. It was questioned whether we can get liquidity without issuing
bonds and are we comfortable where we are today if we think the worst case is if we were to
bring it down to $100M because public debt market is not available to us.
Chair Zoglin stated that we are in an extremely strong position in regards to debt to equity at
under 15%. He asked if our current debt to equity ratio is comparatively strong to others in the
industry. Mr. Hussain stated it is a healthy 12.6%. Chair Zoglin indicated that we are coming
from a position of extreme strength and a fair amount of conservatism in terms of our current
portfolio.
Dr. Davis emphasized that our investments are extremely important and very thoughtfully
invested, and that he didn’t want to jeopardize them. He believes our reimbursements will be
compressed significantly, that we haven’t completed our strategy of partnership and we don’t
know where we’re going relative to where we’ll be as part of a larger system. Without that
visibility he would like to keep the investments protected.
Minutes: Investment Committee of the Board
August 11, 2014
Page 3
In terms of reimbursement rates and margins, Mr. Cohen-Cole asked what it would do to our
cash position at the time we issue the bonds. Dr. Davis responded that it depends on timing and
that the projection is unknown.
Mr. Cohen-Cole would like to know from the Board how much are they willing to risk with the
investments. He indicated that a 5% shift in equity makes almost no difference but the Board
should make the decision of whether they perceive it to be a significant risk.
Ms. Boone asked what cash flow would be needed in the next two to three years and whether we
should think about the asset allocation for the $600M or will some of that be needed. Mr.
Hussain indicated that the needs are very low for the next couple of years and the spend down is
slow. He suggested that we do something now and revisit the portfolio right after we issue debt
and perhaps time it with the cash flow and be more aggressive at that time.
Mr. Cohen-Cole pointed out that the uncertainly in the decision is whether we will be able to
access the capital when it is needed. He asked what the interest costs are projected to be for the
debt, and based on portfolio returns that have been generated, the costs may be offset. Mr.
Hussain will look into the option of going into the debt market early.
Chair Zoglin polled the Committee’s preference on taking a vote and making a recommendation
now, or request more on projections for the capital. He suggested that the Committee share
insights and concerns with the Board while at the same time educate them on what they should
be thinking about in response to what the Committee might recommend.
Mr. Cohen-Cole indicated his preference would be to proceed and make a recommendation but
to put on the near term agenda a better understanding of the capital plan and how it affects the
finances. To make long term portfolio decisions the Committee would need a better
understanding of what the Board’s strategic plans are and how it affects the cash flow.
Committee members agreed it would be beneficial to request feedback from the Board regarding
its overall risk tolerance. Prior to making a specific recommendation the Committee would like
information about the Hospital’s long term capital planning and analysis of timing of debt
issuance as well as input on the Hospital’s long term strategic plan and the funding required to
support that plan.
Chair Zoglin summarized the two main proposals. Mr. Cohen-Cole moved to adopt neither
proposal and do nothing suggesting that if we move to adopt the incrementally and slightly more
aggressive stance, it could be perceived as a signal that we believe a move aggressive stance is
more appropriate. He added that if the Board believes that we’re able to issue the bond because
all the financial projections are positive, then he would have no problem recommending either of
the stated options. Without the feedback he does not want to send the signal that we should be
more aggressive. Ms. Boone agreed. Dr. Davis agreed with the rationale but at the same time
believes we should take advantage of the short term market which is moving up and that it makes
sense to move the 10% to equities. Mr. Nelson is in favor of doing nothing if it is a step towards
getting additional answers and spending more time investigating cash flow needs.
Minutes: Investment Committee of the Board
August 11, 2014
Page 4
Motion: To recommend that the Board take no action to change El Camino Hospital’s investment
allocations at this time.
Movant: Cohen-Cole
Second: Nelson
Ayes: Boone, Brooks, and Cohen-Cole
Noes: Davis and Zoglin
Abstentions: None
Absent: None
Recused: None
A brief discussion followed regarding thoughts and information to be presented to the Board at
the Joint Board and Investment Committee meeting scheduled for August 13, 2014. Chair Zoglin
will begin the meeting by providing a brief introduction and committee report to the Board.
6. Agenda Item 6 – El Camino Hospital Financial Performance. Iftikhar Hussain,
CFO, stated that key points are highlighted in the memo that is included in the Investment
Committee packet.
7. Agenda Item 7 – Investment Committee Scorecard and Performance Review.
Tom Dodd, Pavilion Advisory Group, gave a brief overview of the investment markets during
the second quarter. He commented that the prospect of increasing interest rates led to an unusual
situation during the second quarter where positive economic data had been met with equity
market volatility as the positive data increased the likelihood of interest rates being moved
upward.
Lucas Mansberger, Pavilion Advisory Group, reviewed investment performance during the
second quarter and over the trailing fiscal year. Both the Surplus Cash and Cash Balance Plan
pools experienced positive returns during the quarter, but trailed their benchmark returns by 60
and 50 basis points, respectively. The underperformance of the pools was attributable primarily
to poor relative returns in the domestic equity segment of the portfolios. The various asset
segment composites of the two El Camino pools remained favorable as of the end of the quarter.
A contribution of $15 million was made to the Surplus Cash pool during June. Additionally, the
Surplus Cash pool’s real estate managers Oaktree and Walton Street each called $1.4 million
during the quarter. Meanwhile, an employer contribution of $3.6 million was made to the Cash
Balance Plan, and Oaktree and Walton Street each called $0.8 million within the Cash Balance
Plan.
Mr. Mansberger discussed the Direct Hedge Fund Portfolio within the Surplus Cash pool. The
Portfolio outperformed its benchmark by ten basis points during the quarter.
The question was raised when an investment manager would be put on “yellow” status for
underperformance. Mr. Mansberger indicated that much of the decision to place a manager on
“yellow” status depended on the quantitative measures detailed in the performance evaluation
report given to the Investment Committee. There are also important qualitative components to
consider. Mr. Dodd stated the key qualitative measures include an assessment of the relative
Minutes: Investment Committee of the Board
August 11, 2014
Page 5
severity of the underperformance and whether the performance of the manager was attributable
to explainable characteristics of the manager’s investment process and style.
8. Agenda Item 8 – Committee Charter and 403(b) Plan. Iftikhar Hussain stated
the Committee’s responsibility is to be sure a fair portfolio of options are provided to employees.
He noted that it is proposed that the Committee Charter be amended so that the Investment
Committee will have limited oversight responsibility and also review actions of the management
committee (RPAC) over the 403(b) Plan. Responsibility of the RPAC committee is to be sure
options given to employees are sound. Mr. Hussain referred to the draft revised Committee
Charter included in the Investment Committee packet which distinguishes the duties and
responsibilities with respect to the cash balance retirement plan and the 403(b) plan. Regarding
risk issues, Mary Rotunno, Associate General Counsel, explained that insurance coverage has
been increased and extended to include the full advisory committee members.
Motion: To approve changes to the Investment Committee Charter.
Movant: Boone
Second: Davis
Ayes: Boone, Brooks, Cohen-Cole, Davis and Zoglin
Noes: None
Abstentions: None
Absent: None
Recused: None
9. Agenda Item 9 – Goals and Pacing Plan. Chair Zoglin reviewed the 2015
Goals.The Committee thought a joint Finance Committee and Investment Committee meeting
would be beneficial and suggested that one be scheduled before the end of the year to discuss
strategic projections, review capital spending and scenarios, timing, implications for debt, etc.
Cindy Murphy, Board Liaison, added that based on feedback, the Governance Committee will
recommend that Board and Committee educational gatherings be scheduled for November 2014
and March 2015.
10. Agenda Item 10 – Adjourn to Closed Session.
Motion: To adjourn to closed session at 7:05 pm.
Movant: Davis
Second: Nelson
Ayes: Boone, Brooks, Cohen-Cole, Davis and Zoglin
Noes: None
Abstentions: None
Absent: None
Recused: None
11. Agenda Item 11 – Reconvene to Open Session. Open Session reconvened at
7:05 pm. Committee Chair Zoglin reported that the May 12, 2014 Closed Session minutes were
approved.
Minutes: Investment Committee of the Board
August 11, 2014
Page 6
12. Adjournment - There being no further business of the Investment Committee, the
meeting was adjourned at 7:06 pm.
Minutes prepared by: Lily Wong, Executive Assistant
______________________________ ______________________________
John Zoglin, Chair Patricia A. Einarson, MD, Secretary
ECH Investment Committee El Camino Hospital Board of Directors
Separator Page
4.2. FY2014_15_Investment_Pacing Plan.docx
1
INVESTMENT COMMITTEE
FY 2014/2015 PACING PLAN (Nov. 10, 2014 DRAFT) IC_20130806
FY2015: Q1
JULY AUGUST 11, 2014 Meeting AUGUST 13, 2014
n/a Review hospital financial performance Review proposed changes in charter to
accommodate review of 403(b) investment vehicles
Prepare for discussion with Board on risk and asset allocation
Review investment performance Review manager selection as needed
Meeting with the Board to discuss risk and asset allocation
FY2015: Q2
NOVEMBER 10, 2014 Meeting NOVEMBER 19, 2014 DECEMBER 1, 2014
Review hospital financial performance Update investment policy in light of March
asset allocation discussion and Board’s risk discussion
Review investment performance Review manager selection as needed
Board and Committee Educational Gathering
Joint Finance Committee and Investment Committee meeting.
FY2015: Q3
JANUARY FEBRUARY 9, 2015 Meeting MARCH
n/a
Review hospital financial performance Review investment performance Review manager selection as needed Set goals for next Fiscal Year Review committee charter Members complete online assessment Propose FY2015 meeting dates 403(b) Investment Performance
FY2015: Q4
APRIL MAY 11, 2015 Meeting JUNE
Board/committee educational gathering
Review investment performance Review manager selection as needed Review performance of investment advisor Review self-assessment results
n/a
2
Separator Page
4.3 NYT CalPers Hedge Fund Exit.pdf
11/1/14, 9:47 AMHedge Funds Lose Calpers, and More - NYTimes.com
Page 1 of 4http://www.nytimes.com/2014/09/27/business/in-calperss-departure-a-watershed-moment-for-hedge-funds.html?_r=0
http://nyti.ms/YiWCD7
BUSINESS DAY
Hedge Funds Lose Calpers, and More
SEPT. 26, 2014
Common Sense
By JAMES B. STEWART
Assets at hedge funds, once a niche investment vehicle for ultra-wealthyinvestors, hit a record $2.8 trillion this year. There are now more than 10,000hedge funds and counting. Their steep fees have minted scores of billionairemanagers and spawned not a few criminals in what has turned into a gold rush ofthe 21st century.
Their high-water mark may turn out to be Sept. 15, 2014.That’s the day Calpers, the California Public Employees’ Retirement System,
announced that it was terminating its $4.5 billion hedge fund portfolio to“reduce complexity and costs.”
As the biggest public pension to publicly turn its back on hedge funds —Calpers had over $300 billion in total assets at the end of its most recent fiscalyear — “this is a watershed moment,” said Timothy Keating, president of KeatingInvestments in Greenwood Village, Colo., an investment adviser and author ofseveral studies on asset class performance.
The decision startled the investment world, but it was hardly spur of themoment. Under the direction of Ted Eliopoulos, who was confirmed as Calpers’schief investment officer last week, the pension fund has been examining hedgefunds since February, when it revised its broad asset allocations and demotedhedge funds to a “program” rather than a separate asset class with a specifiedallocation target. Since hedge funds cover a wide swath of investment strategies,
11/1/14, 9:47 AMHedge Funds Lose Calpers, and More - NYTimes.com
Page 2 of 4http://www.nytimes.com/2014/09/27/business/in-calperss-departure-a-watershed-moment-for-hedge-funds.html?_r=0
be it investing in and betting against stocks or fixed income and arbitragestrategies, they were hard for the fund to classify. Once the official reassessmentwas underway, some troubling conclusions emerged.
Foremost were fees. It’s no secret that hedge funds rank among the mostexpensive investment vehicles. They typically collect a performance fee,frequently 20 percent, and also take a percentage of assets under management,often 2 percent but sometimes more, even if their investments lose money.Calpers said it spent $135 million in hedge fund fees in its last fiscal year and$115 million the year before.
That’s actually a bargain by hedge fund standards, since it’s less than 4percent of the total amount Calpers invested in hedge funds. But compared withlow-cost index funds, it’s exorbitant. Vanguard, the biggest mutual fundcompany that pioneered low-cost index funds, said the average expense ratio forits funds is just 0.19 percent.
One of Calpers’s “core beliefs,” listed on its website, is, “Costs matter andneed to be effectively managed.” Mr. Eliopoulos was at pains to say that weakperformance by the hedge funds wasn’t the issue, perhaps to avoid the anger ofthe hedge fund industry and its bevy of consultants. But clearly, costs andperformance are related.
Joe DeAnda, a Calpers spokesman, told me this week that the returns thehedge fund program generated — last fiscal year it was 7.1 percent, far below the24.8 percent return on global equities — didn’t justify the high costs. He saidCalpers had been trying to better understand the relationship between costs andperformance, and evidence had been mounting that high costs correlatednegatively with high returns.
While hedge funds aren’t expected to outperform stock indexes in goodyears, their allure is their claim to protect investors in down markets, and overtime will produce higher risk-adjusted returns. But because hedge funds wereonly 1.5 percent of Calpers’s total portfolio, their performance had little impacton the fund’s total returns, good or bad. “It really didn’t move the needle one wayor the other,” Mr. DeAnda said. To have an impact, the hedge fund programwould have to be scaled up to the $30 billion to $40 billion range, he said.
11/1/14, 9:47 AMHedge Funds Lose Calpers, and More - NYTimes.com
Page 3 of 4http://www.nytimes.com/2014/09/27/business/in-calperss-departure-a-watershed-moment-for-hedge-funds.html?_r=0
At $40 billion, the fees Calpers paid would have soared to $1.35 billion,assuming it paid the same percentage, and Calpers’s investment committeebalked at the prospect. While Mr. DeAnda said it wasn’t a determining factor,widely publicized tales of hedge fund managers’ excess, like the $147 millionHamptons estate of Barry Rosenstein of Jana Partners or Daniel Loeb’s $46million Rothko painting, don’t exactly resonate with Calpers members, who areretired civil servants.
“The fees are obscene,” Mr. Keating said. “The conclusion that there’s a highcorrelation between high costs and poor performance is unassailable over longerperiods.”
With total assets now approaching $3 trillion, the sheer size of hedge fundsis also likely to lower returns. “I have long argued that the industry isovercapitalized. It seems so obvious from the data,” Simon Lack, author of “TheHedge Fund Mirage,” told me this week.
As the industry has grown, so has the number of hedge fund managers,which makes choosing the successful ones more difficult than ever. Even apension fund as large as Calpers had only mixed success. Over the last threefiscal years, its best-performing hedge fund was Deephaven Global Multi-Strategy Fund, with an annualized return of 31 percent. (Last year, it had stellarreturns of 136 percent.) But its worst fund, SuttonBrook Eureka Fund, hadannualized losses of 36 percent, and last year, it returned a dismal negative 67percent. Over periods longer than three years, Calpers’s set of hedge funds failedto meet Calpers’s target rate of return.
Calpers had stakes in over 20 individual funds, which in Mr. Lack’s view, istoo many. “You have to have incredible skill at manager selection,” he said. “Noteveryone can pick hedge funds, but if you have that skill, you don’t want toomany. The more funds you have, the closer you’ll be to the average return, whichis terrible.”
Mr. DeAnda of Calpers agreed. “It’s been a constant struggle to identify andselect the right managers, which is another reason the committee decided not toramp up the program.”
Ultimately, he said, “We’re willing to take risk when we have a strong belief
11/1/14, 9:47 AMHedge Funds Lose Calpers, and More - NYTimes.com
Page 4 of 4http://www.nytimes.com/2014/09/27/business/in-calperss-departure-a-watershed-moment-for-hedge-funds.html?_r=0
we’ll be rewarded. With hedge funds, we couldn’t get there. They’re expensiveand they weren’t materially impacting the portfolio.”
Mr. DeAnda said about two-thirds of Calpers’s equity portfolio would nowbe passively managed in low-cost index funds, and “most of what we have will bepassively managed.”
Other huge investors may or may not follow Calpers’s decision to go coldturkey. But Calpers is closely watched if for no other reason than its huge size.
“It may take years of mediocre returns delivered at great expense topersuade investors to reconsider hedge funds,” Mr. Lack said. “Calpers merelyseems to have arrived there earlier than others, perhaps because they beganearlier than many public pension funds.”
Mr. Keating said it will be hard for pension funds and endowments to ignorethat “Calpers just voted with their feet.” Big investors, he said, are “going to haveto ask some very uncomfortable questions: How do returns on a simple 60-40stock and bond allocation, using low-cost index funds, compare to what they’redoing now?” The answer, he said, “is not going to be pretty.”
A version of this article appears in print on September 27, 2014, on page B1 of the New York edition with the
headline: Hedge Funds Lose Calpers, and More.
© 2014 The New York Times Company
Separator Page
5. Board and Finance Committee FY15 Period 3 MM
Final.pptx
Summary of Financial Operations
Fiscal Year 2015 – Period 3
7/1/2014 to 9/30/2014
Date Issue: October 20 , 2014
2 2 Hospital entity only, excludes controlled affiliates (1)
3 Hospital entity only, excludes controlled affiliates (1)
CMI Adjusted Discharges Gross revenues were 2.1% higher than budget for services delivered in the month of September, 1.3% higher than budget for year to date. Inpatient discharges were 2.7% above budget but the case mix index was lower than budget. CMI adjusted discharges were 8.2% below budget for the month, 2.8% below budget for year to date. Operating Margin Net patient revenues were $3,004,000 unfavorable to budget (-5.1%) for the month, $567,000 unfavorable year to date. Labor costs were $890,000 favorable to budget and non-labor costs were $738,000 favorable. The operating margin was unfavorable by $1.5M for the month, $3.7 million favorable year to date. Net Days in AR Net outstanding receivables decreased by $4.9M between August and September. Net days in A/R were 54.2 days. This is unfavorable to the targeted A/R of 48.3 days. Non Operating Income Non operating income was unfavorable to budget by $6.6 million, primarily due to $6.5 million unfavorable variance on unrealized gains on investments, for the month, $7.7 million unfavorable year to date.
4
ECH Operating Margin
Run rate is booked operating income adjusted for material non-recurring transactions
(1)
Hospital entity only, excludes controlled affiliates
(2) Run rate exclusions of cost report settlements, EPIC expenses, and pay for performance bonuses
(1)
5 5 Hospital entity only, excludes controlled affiliates (1)
6
Summary of Financial Results $ in Thousands
Actual to Budget Variance for hospital affiliates primarily due to lower operating expenses and
unrealized gain.
7
Worked Hours per Adjusted Patient Day: Favorable to Budget
8
Year to date Labor Variance: $1,544,000 Favorable to Fixed Budget
- -
-1,500,000
-1,000,000
-500,000
0
500,000
1,000,000
1,500,000
2,000,000
Sitter variance – ($202,340) (58%)
RN variance - $806,458
All other wages – $512,312
Health insurance – $732,665
Incentive – ($1,305,000) - not budgeted
All other benefits – $789,490
Social Security-$210,800
* Positive number = Favorable to budget
9
Revenue and expense per CMI adjusted discharge were higher than budget.
Hospital entity only, excludes controlled affiliates (1)
10
ECH Volume Statistics (1)
Hospital entity only, excludes controlled affiliates (1)
Excludes normal newborns, includes discharges from L&D (2)
11
El Camino Hospital Volume Trends
Prior and Current Fiscal Years
12 12
BAL _ SHEET
El Camino Hospital Financial Metrics Trend
Prof I t _ Loss
Operating EBITDA
lower than FYE 2014
(1)
Represents cash of $671
million
Hospital entity only, excludes controlled affiliates (1)
13
APPENDIX
14 14
YTD: 0.2% over budget YTD: 7.8% over budget
Supply Cost per CMI Adjusted Discharges
Mountain View Los Gatos
11
(1)
Hospital entity only, excludes controlled affiliates (1)
• Medicare: Due to DRG reimbursement, financial results usually improve with decreased LOS and increased CMI • Non-Medicare: Reimbursement varies; financial results usually improve when both LOS & CMI increase
15 15
Mountain View LOS & CMI Trend
(1)
Hospital entity only, excludes controlled affiliates (1)
All data excludes normal newborns (MS-DRG=795), Medicare data excludes Medicare HMOs and PPOs
• Medicare: Due to DRG reimbursement, financial results usually improve with decreased LOS and increased CMI • Non-Medicare: Reimbursement varies; financial results usually improve when both LOS & CMI increase
16 16
Los Gatos LOS & CMI Trend
(1)
Hospital entity only, excludes controlled affiliates (1)
All data excludes normal newborns (MS-DRG=795), Medicare data excludes Medicare HMOs and PPOs
El Camino Hospital Results from Operations vs. Prior Year
3 months ending 9/30/2014
17
(1)
Hospital entity only, excludes controlled affiliates (1)
El Camino Hospital – Mountain View Results from Operations vs. Prior Year
3 months ending 9/30/2014
18
(1)
Hospital entity only, excludes controlled affiliates (1)
El Camino Hospital – Los Gatos Results from Operations vs. Prior Year
3 months ending 9/30/2014
19
1(1)
Hospital entity only, excludes controlled affiliates (1)
El Camino Hospital Results from Operations vs. Budget
3 months ending 9/30/2014
20
1
(1)
Hospital entity only, excludes controlled affiliates (1)
El Camino Hospital – Mountain View Results from Operations vs. Budget
3 months ending 9/30/2014
21
(1)
Hospital entity only, excludes controlled affiliates (1)
El Camino Hospital – Los Gatos Results from Operations vs. Budget
3 months ending 9/30/2014
22
(1)
Hospital entity only, excludes controlled affiliates (1)
23
El Camino Hospital Balance Sheet ($ Thousands)
1
(1)
Hospital entity only, excludes controlled affiliates (1)
24
El Camino Hospital Capital Spending (in millions)
1
Hospital entity only, excludes controlled affiliates (1)
Separator Page
6a. Invest Comm Scorecard Draft September 2014.xlsx
El Camino Hospital
Investment Committee Scorecard
September 30, 2014
Key Performance Indicator Status El Camino Benchmark El Camino Benchmark El Camino Benchmark
FY15
Year-end
Budget
Expectation
Per Asset
Allocation
Investment Performance Mar 2014/2012
Surplus cash balance & op. cash (millions) $691.5 -- -- -- -- -- $621.5 --
Surplus cash return -0.5% -0.5% -0.5% -0.5% 6.7% 6.3% 4.0% 5.0%
Cash balance plan balance (millions) $206.9 -- -- -- -- -- $217.3 --
Cash balance plan return -0.9% -0.9% -0.9% -0.9% 11.0% 10.1% 6.0% 6.7%
403(b) plan balance (millions) $288.3 -- -- -- -- -- -- --
Risk vs. Return Mar 2014/2012
Surplus cash Sharpe ratio 2.33 2.10 -- -- 1.98 1.75 -- 0.66
Net of fee return 6.9% 6.6% -- -- 6.8% 6.3% -- 5.0%
Standard deviation 2.9% 3.0% -- -- 3.3% 3.5% -- 7.2%
Cash balance Sharpe ratio 1.92 2.00 -- -- 2.09 1.95 -- 0.54
Net of fee return 14.8% 13.0% -- -- 11.1% 10.1% -- 6.7%
Standard deviation 7.3% 6.2% -- -- 5.1% 5.0% -- 10.6%
Asset Allocation
Surplus cash absolute variances to target 10.2% < 10% -- -- -- -- -- --
Cash balance absolute variances to target 8.0% < 10% -- -- -- -- -- --
Manager Compliance
Surplus cash manager flags 13 < 16 -- -- -- -- -- --
Cash balance plan manager flags 13 < 18 -- -- -- -- -- --
Since Inception (annualized)3-year
3Q 2014
3Q 2014
3Q 2014
Since Inception (annualized)Fiscal Year-to-date
El Camino Hospital
Investment Committee Scorecard
June 30, 2014
Key Performance Indicator Definition / Explanation
Investment Performance
Surplus cash balance (millions)
Surplus cash return
Cash balance plan balance (millions)
Cash balance plan return
403(b) plan balance (millions)
Risk vs. Return
Surplus cash 3-year Sharpe ratio
3-year return
3-year standard deviation
Cash balance 3-year Sharpe ratio
3-year return
3-year standard deviation
Asset Allocation
Surplus cash absolute variances to target
Cash balance absolute variances to target
Manager Compliance
Surplus cash manager flags
Cash balance plan manager flags
The Sharpe ratio is the excess return of an investment over the risk free rate (US Treasuries) generated per unit of risk (standard deviation) taken to obtain that return. The higher the value,
the better the risk-adjusted return. It is important to view returns in this context because it takes into account the risk associated with a particular return rather than simply focusing on the
absolute level of return.
Sharpe ratio = (actual return - risk free rate) / standard deviation
The Surplus Cash portfolio's 3-year Sharpe ratio was above that of its benchmark and well above the expected Sharpe ratio modeled. This was due to very strong investment returns with very
little volatility over the period. The Cash Balance Plan's 3-year Sharpe ratio exceeded modeling expectations but lagged its benchmark as the Plan took on more risk (standard deviation) with
less excess return than the benchmark. Both accounts have demonstrated strong risk-adjusted returns since inception.
Investment performance for the Surplus Cash portfolio lagged the benchmark for the quarter, but finished the fiscal year ahead and has outpaced the benchmark since inception, which
represents when the portfolio changes were implemented (November 1, 2012). The assets within the Surplus Cash account ended the fiscal year $56.9 million ahead of the budgeted amount.
The Cash Balance Plan's performance also trailed its benchmark for the quarter but again finished the fiscal year well ahead of its benchmark. The Plan has also outgained its benchmark since
inception by a healthy margin. The assets within Cash Balance Plan ended the fiscal year $6.0 million above budget.
This represents the sum of the absolute differences between the portfolio's allocations to various asset classes and the target benchmark's allocations to those asset classes. The higher the
number, the greater the portfolio's allocations deviate from the target benchmark's allocations, indicating a higher possibility for the portfolio's risk and return characteristics to differ from the
Board's expectations.
The threshold for an alert "yellow" status is set at 10% and the threshold for more severe "red" status is set at 20%. The Surplus Cash portfolio is just within the green status, while the Cash
Balance Plan is slightly above it at 10.3%. These variations are currently inflated as both portfolios private real estate investments have been committed but are still in the initial stages of
funding. This has decreased and we should continue to see this decrease over the next couple of quarters as the funds have begun calling capital at an increased pace.
This section represents how individual investment managers have fared and draws attention to elevated concerns regarding performance, organizational stability, investment personnel,
accounting and regulatory issues, and portfolio characteristics all at the individual manager level. The number of flags are aggregated and a percentage of the total is used to highlight an alert
"yellow" status (40% of the performance flags) and a more severe "red" status (50%). In total there are 90 potential flags for the Surplus Cash account (40 performance based) and 108 for the
Cash Balance Plan (48 performance based).
Currently, both portfolios are within the threshold.
Separator Page
6b. 3Q14 El Camino Hospital PE Report - Updated.pdf
PerformanceReview
El Camino Hospital
3rd Quarter 2014
Pavilion Advisory Group Inc.227 W. Monroe Street, Suite 2020Chicago, IL 60606Phone: 312-798-3200Fax: 312-902-1984www.pavilioncorp.com
1 Executive Summary 1
2 Surplus Cash - Performance Summary 12
3 Surplus Cash - Asset Class Diversification 21
4 Cash Balance Plan - Performance Summary 28
5 Cash Balance Plan - Asset Class Diversification 37
6 Manager Evaluation 44
7 Capital Markets Review 77
8 Appendix 85
Table of Contents
Executive Summary
1
Performance: Most Recent Quarter Asset Allocation
Manager
Total
Assets
($, mil.)
Percent
of Total
Target
Allocation
Variance
to Target
Target
Range
Within
Policy
Range
Domestic Equi ty $132.3 20.6% 20.0% + 0.6% 17-23% Yes
Internationa l Equi ty $ 58.5 9.1% 10.0% - 0.9% 8-12% Yes
Short-Duration Fixed $ 92.7 14.5% 10.0% + 4.5% 8-12% No
Market-Duration Fixed $249.3 38.9% 40.0% - 1.1% 35-45% Yes
Alternatives $108.1 16.9% 20.0% - 3.1% 17-23% No
Total (X District) $640.9 100.0%
Surplus Cash Executive SummaryDashboardAs of September 30, 2014
-0.5% -0.6%
-5.5%
-0.1%
0.2%0.5%
-0.5%
-1.2%
-5.3%
0.0% 0.2%
0.8%
-6.0%
-5.0%
-4.0%
-3.0%
-2.0%
-1.0%
0.0%
1.0%
2.0%
El Camino Hospital
Benchmark
______________________________1 Reflects the date Pavilion’s recommended portfolio was implemented (November 1, 2012).
Manager News/Issues• Domestic equity managers Sands and Barrow Hanley performed particularly well during the quarter
relative to their respective benchmarks and peers, ranking in the top quintile of active managers. Bothmanagers were positively impacted by strong stock selection.
• Small-cap growth manager Cortina, trailed its benchmark by 3.9% for the quarter and ranked near thebottom of their peer group. Poor stock selection, particularly within information technology and healthcare, hindered performance. Notable laggards within the two sectors included AtriCure (-19.9%) andWebmd (-13.4%).
• The Direct Hedge Fund Portfolio outperformed the HFRI Fund of Funds Composite Index by 30 basispoints during the quarter and 240 basis points over the trailing one-year period.
Funding News/Issues• A total of $8.0 million was transferred from the District assets into the Surplus Cash account during the
third quarter.• On October 1, 2014, an additional contribution of $2.6 million was made to hedge fund manager
Davidson Kempner.• The underweight to alternatives is temporary as commitments to private real estate have yet to be fully
called. The corresponding offset is an overweight to short-duration fixed income.
Portfolio Updates
6.7%
21.2%
8.6%
0.5%2.1%
6.6%6.3%
21.0%
10.7%
0.7% 1.0%
5.6%
0.0%
5.0%
10.0%
15.0%
20.0%
25.0% El Camino Hospital
Benchmark
Performance: Since Inception1
2
Performance: Most Recent Quarter Asset Allocation
-0.9%
0.1%
-5.5%
0.0% 0.2% 0.3%
-0.9%-0.4%
-5.3%
0.0%0.2%
1.0%
-6.0%
-5.0%
-4.0%
-3.0%
-2.0%
-1.0%
0.0%
1.0%
2.0%
El Camino
Benchmark
Manager
Total
Assets
($, mil.)
Percent
of Total
Target
Allocation
Variance
to Target
Target
Range
Within
Policy
Range
Domestic Equi ty $ 68.2 33.0% 32.0% + 1.0% 27-37% Yes
Internationa l Equi ty $ 35.5 17.2% 18.0% - 0.8% 15-21% Yes
Short-Duration Fixed $ 15.8 7.6% 5.0% + 2.6% 0-8% Yes
Market-Duration Fixed $ 52.6 25.4% 25.0% + 0.4% 20-30% Yes
Alternatives $ 34.7 16.8% 20.0% - 3.2% 17-23% No
Total $206.9 100.0%
Cash Balance Plan Executive SummaryDashboardAs of September 30, 2014
______________________________1 Reflects the date Pavilion’s recommended portfolio was implemented (November 1, 2012).
Manager News/Issues• Domestic equity managers Sands and Barrow Hanley performed particularly well during the quarter
relative to their respective benchmarks and peers, ranking in the top quintile of active managers. Bothmanagers were positively impacted by strong stock selection.
• Small-cap growth manager Cortina, trailed its benchmark by 3.9% for the quarter and ranked near thebottom of their peer group. Poor stock selection, particularly within information technology and healthcare, hindered performance. Notable laggards within the two sectors included AtriCure (-19.9%) andWebmd (-13.4%).
Funding News/Issues• On August 1, 2014 a contribution of $1.6 million was made to the Lighthouse Diversified Fund.• On October 1, 2014, a contribution of $2.0 million was made to the Pointer Offshore Fund.• The underweight to alternatives is temporary as commitments to private real estate have yet to be fully
called. The corresponding offset is an overweight to short-duration fixed income.
Performance: Since Inception1 Portfolio Updates
11.0%
21.8%
8.8%
0.6%
2.8%
10.7%10.1%
21.3%
10.7%
0.7% 1.0%
8.2%
0.0%
5.0%
10.0%
15.0%
20.0%
25.0% El Camino
Benchmark
3
Portfolio Update - September 2014
The Surplus Cash portfolio excluding District assets returned -0.5% for the quarter, performing in line with its benchmark. Strong relativeperformance from domestic equity managers more than offset poor relative performance from international equity managers in aggregate. Despitedeclining on an absolute basis, the domestic equity composite outperformed its benchmark by 50 basis points. Large-cap managers performed betterthan their small-cap counterparts on both an absolute and relative basis. Sands and Barrow Hanley both outperformed their respective benchmarksand ranked in the top quintile of their peers. Both managers were positively impacted by strong stock selection. Sands added the most value fromthe health care and information technology sectors, while Barrow Hanley’s selection of stocks within industrials and consumer discretionary addedsignificant value. Small-cap growth manager Cortina, however, performed poorly during the period as poor stock selection within many sectorshindered performance. Specifically, the information technology and health care sectors detracted most as large positions in Webmd (-13.4%) andAtriCure (-19.9%) lagged. International equity manager performance was mixed as Walter Scott rebounded and performed in the top decile ofinternational equity managers, but was unable to offset poor results from Northern Cross. The alternatives composite trailed its benchmark as realestate fund performance has yet to be updated. The direct hedge fund composite added 30 basis points of excess return.
Investment Activity
A total of $8.0 million was transferred from the District assets into the Surplus Cash Account during the third quarter. After quarter-end, on October1, 2014, an additional contribution of $2.6 million was made to credit hedge fund manager, Davidson Kempner.
Recommendations or Action Items
Pavilion does not recommend any changes to the current portfolio.
Surplus Cash Executive Summary
4
Portfolio Update - September 2014
The Cash Balance Plan returned -0.9% during the quarter, performing in line with its benchmark. Both overall manager performance and assetallocation differences relative to the benchmark had negligible impacts on the Plan’s relative return. Strong relative performance from domesticequity managers offset poor relative performance from international equity managers in aggregate. Despite experiencing only marginally positivereturns, the domestic equity composite outperformed its benchmark by 50 basis points. Large-cap managers performed better than their small-capcounterparts on both an absolute and relative basis. Sands and Barrow Hanley both outperformed their respective benchmarks and ranked in the topquintile of their peers. Both managers were positively impacted by strong stock selection. Sands added the most value from the health care andinformation technology sectors, while Barrow Hanley’s selection of stocks within industrials and consumer discretionary added significant value.Small-cap growth manager Cortina, however, performed poorly during the period as poor stock selection within many sectors hindered performance.Specifically, the information technology and health care sectors detracted most as large positions in Webmd (-13.4%) and AtriCure (-19.9%) lagged.International equity manager performance was mixed as Walter Scott rebounded and performed in the top decile of international equity managers,but was unable to offset poor results from Northern Cross. The alternatives composite trailed its benchmark as real estate fund performance has yetto be updated. The hedge fund-of-funds composite added 10 basis points of excess return.
Investment Activity
A $3.6 million employer contribution was made on July 14, 2014. In August, a $1.6 million contribution was made to the Lighthouse DiversifiedFund. After quarter-end, a $2.0 million contribution was made to the Pointer Offshore Fund.
Recommendations or Action Items
Pavilion does not recommend any changes to the current portfolio.
Cash Balance Plan Executive Summary
5
Surplus Cash Executive SummaryManager Compliance ChecklistAs of September 30, 2014
Managers
Vanguard
S&P 500
Index
Sands Large
Cap Growth
(Touchstone)
Barrow
Hanley LCV
Cortina Small
Cap Growth
Wellington
Small Cap
Value
Walter Scott
Int'l (Dreyfus)
Northern
Cross
(Harbor Int'l)
Organizational/Product Issues
No changes to investment team + + + + + + +
No organizational changes + + + + + + +
No accounting or regulatory concerns + + + + + + +
Currently in adherence to guidelines + + + + + + +
Characteristics meet stylistic expectations + + + + + + +
Relative Performance 1, 2
Three-year return > benchmark In Line + + -560 bps -30 bps -160 bps +
Three-year ranking > peer group median + + + 88th 57th 92nd +
Five year return > benchmark In Line + + -90 bps + + +
Five year ranking > peer group median + + + 53rd + 55th +
Performance Status + + + - + + +
Date performance status changed 3Q14
Summary Status + + + + + + +
Date summary status changed
____________________________1 Manager performance is evaluated net of investment management fees.2 For each manager that underperformed its benchmark and/or peer group, the magnitude of underperformance and/or peer group ranking is shown.
6
Surplus Cash Executive SummaryManager Compliance ChecklistAs of September 30, 2014
Managers
Barrow
Hanley Short
Fixed
Dodge & Cox
Fixed
MetWest
Fixed
Organizational/Product Issues
No changes to investment team + + +
No organizational changes + + +
No accounting or regulatory concerns + + +
Currently in adherence to guidelines + + +
Characteristics meet stylistic expectations + + +
Relative Performance 1, 2
Three-year return > benchmark -20 bps + +
Three-year ranking > peer group median 87th + +
____________________________1 Manager performance is evaluated net of investment management fees.2 For each manager that underperformed its benchmark and/or peer group, the magnitude of underperformance and/or peer group ranking is shown.
Five year return > benchmark -20 bps + +
Five year ranking > peer group median 83rd + +
Performance Status + + +
Date performance status changed
Summary Status + + +
Date summary status changed
7
Managers
Vanguard
S&P 500
Index
Sands Large
Cap Growth
(Touchstone)
Barrow
Hanley LCV
Cortina Small
Cap Growth
Wellington
Small Cap
Value
Walter Scott
Int'l (Dreyfus)
Northern
Cross
(Harbor Int'l)
Organizational/Product Issues
No changes to investment team + + + + + + +
No organizational changes + + + + + + +
No accounting or regulatory concerns + + + + + + +
Currently in adherence to guidelines + + + + + + +
Characteristics meet stylistic expectations + + + + + + +
Relative Performance 1, 2
Three-year return > benchmark In Line + + -560 bps -30 bps -160 bps +
Cash Balance Plan Executive SummaryManager Compliance ChecklistAs of September 30, 2014
Three-year ranking > peer group median + + + 88th 58th 92nd +
Five year return > benchmark In Line + + -90 bps + + +
Five year ranking > peer group median + + + 53rd + 55th +
Performance Status + + + - + + +
Date performance status changed 3Q14
Summary Status + + + + + + +
Date summary status changed
____________________________1 Manager performance is evaluated net of investment management fees.2 For each manager that underperformed its benchmark and/or peer group, the magnitude of underperformance and/or peer group ranking is shown.
8
Cash Balance Plan Executive SummaryManager Compliance ChecklistAs of September 30, 2014
Managers
Barrow
Hanley Short
Fixed
Dodge & Cox
Fixed
MetWest
Fixed Lighthouse Pointer
Organizational/Product Issues
No changes to investment team + + + + +
No organizational changes + + + + +
No accounting or regulatory concerns + + + + +
Currently in adherence to guidelines + + + + +
Characteristics meet stylistic expectations + + + + +
Relative Performance 1, 2
Three-year return > benchmark -20 bps + + + +
Three-year ranking > peer group median 86th + + N/A N/A
Five year return > benchmark -20 bps + + + +
Five year ranking > peer group median 82nd + + N/A N/A
Performance Status + + + + +
Date performance status changed
Summary Status + + + + +
Date summary status changed
____________________________1 Manager performance is evaluated net of investment management fees.2 For each manager that underperformed its benchmark and/or peer group, the magnitude of underperformance and/or peer group ranking is shown.
9
700
Surplus Cash Executive SummaryMarket Value ReconciliationAs of September 30, 2014
$ in Millions 2008 2009 2010 2011 20121 20131st Quarter
2014
2nd Quarter
2014
3rd Quarter
2014
Beginning Market Value $395.6 $374.4 $313.5 $322.6 $396.7 $493.8 $596.3 $606.0 $635.2
Net Cash Flow ($16.3) ($91.8) ($10.5) $55.6 $67.8 $55.3 $1.8 $16.2 $8.7
Income n/a n/a n/a n/a n/a n/a $2.9 $2.7 $2.8
Realized Gain/(Loss) n/a n/a n/a n/a n/a n/a $5.6 $1.2 $0.4
Unrealized Gain/(Loss) n/a n/a n/a n/a n/a n/a ($0.6) $9.1 ($6.2)
Capital App/(Dep) ($5.0) $30.9 $19.6 $18.5 $29.3 $47.2 $7.9 $13.0 ($3.0)
End of Period Market Value $374.4 $313.5 $322.6 $396.7 $493.8 $596.3 $606.0 $635.2 $640.9
Return Net of Fees -1.2% 11.3% 6.4% 5.1% 6.6% 8.8% 1.2% 2.1% -0.5%
0
100
200
300
400
500
600
$,
Mil
lio
ns
___________________________________1 Beginning 8/1/2012, market values represent the Surplus Cash portfolio excluding District assets, with $13.9 million of District assets shown as a cash outflow in the third quarter of 2012.
10
225
Cash Balance Plan Executive SummaryMarket Value ReconciliationAs of September 30, 2014
$ in Millions 2008 2009 2010 2011 2012 20131st Quarter
2014
2nd Quarter
2014
3rd Quarter
2014
Beginning Market Value $104.0 $80.5 $116.1 $129.2 $130.9 $168.8 $198.3 $200.2 $207.2
Net Cash Flow $4.3 $11.8 ($0.8) $2.3 $14.7 $2.4 ($0.8) $1.0 $1.4
Income n/a n/a n/a n/a n/a n/a $0.8 $0.7 $0.6
Realized Gain/(Loss) n/a n/a n/a n/a n/a n/a $2.9 $0.1 $0.2
Unrealized Gain/(Loss) n/a n/a n/a n/a n/a n/a ($1.1) $5.1 ($2.6)
Capital App/(Dep) ($27.8) $23.8 $13.9 ($0.6) $23.2 $27.2 $2.7 $5.9 ($1.8)
End of Period Market Value $80.5 $116.1 $129.2 $130.9 $168.8 $198.3 $200.2 $207.2 $206.9
Return Net of Fees -25.9% 28.2% 11.7% -0.9% 17.0% 15.8% 1.1% 2.8% -0.9%
0
25
50
75
100
125
150
175
200
$,
Mil
lio
ns
11
Surplus Cash - PerformanceSummary
12
Total Surplus Cash X District Total Surplus Cash Benchmark Total Surplus Cash Composite Peergroup
0.0
2.0
4.0
6.0
8.0
10.0
12.0
-2.0
-4.0
-6.0
Re
turn
(%)
Quarter YearTo
Date
1Year
3Years
5Years
10Years
SinceInception
-1.0
2.9
6.1
7.26.8
5.1
-0.5
3.4
6.36.6
6.1
4.8
6.3
-0.5
2.8
6.1
6.96.3
5.4
6.7
Quarter
YearTo
Date1
Year3
Years5
Years10
YearsSince
InceptionInception
Period
Total Surplus Cash X District -0.5 2.8 6.1 6.9 6.3 5.4 6.7 1y 11m
Total Surplus Cash Benchmark -0.5 3.4 6.3 6.6 6.1 4.8 6.3
Total Surplus Cash Composite Peergroup -1.0 2.9 6.1 7.2 6.8 5.1 N/A
Total Surplus Cash X District Rank 15 53 47 60 63 35 N/A
Performance SummaryTotal Surplus Cash X District vs. Total Surplus Cash Benchmark*As of September 30, 2014
________________________________________* Returns prior to August 1, 2012 include District assets. All returns are net of investment management fees.* Since inception returns reflect the date Pavilion's recommended portfolio was implemented (11/1/2012).
13
3 Years 5 Years
0.0
2.0
4.0
6.0
8.0
10.0
Retu
rn (%
)
0.0 2.0 4.0 6.0 8.0 10.0
Risk (Standard Deviation %)
Total Surplus Cash Benchmark(2.9, 6.1)
Total Surplus Cash X District(2.8, 6.3)
0.0
2.0
4.0
6.0
8.0
10.0
Retu
rn (%
)
0.0 2.0 4.0 6.0 8.0 10.0
Risk (Standard Deviation %)
Total Surplus Cash Benchmark(3.0, 6.6)
Total Surplus Cash X District(2.9, 6.9)
Performance SummaryRisk and Return Summary (Net of Fees)As of September 30, 2014
14
Total Value Added:0.00%
0.00% 0.03% 0.06%-0.03 %-0.06 %
Other
Manager Value Added
Asset Allocation
0.01%
0.02%
-0.03 %
Total Fund Performance
0.00% 0.30%-0.30 %-0.60 %-0.90 %
Total Fund
Total Fund Benchmark
Total Value Added
-0.51 %
-0.52 %
0.00%
Total Manager Value Added:0.02%
Manager Value Added
0.00% 0.20% 0.40%-0.20 %
-0.06 %
0.00%
-0.01 %
-0.04 %
0.13%
Asset Allocation Value Added
0.00% 0.05% 0.10%-0.05 %-0.10 %
-0.04 %
-0.01 %
0.02%
0.03%
-0.02 %
Total Asset Allocation:-0.03 %
Average Active Weight
0.00% 5.00% 10.00%-5.00 %-10.00 %
Total Alternatives Composite
Market Duration Fixed Income Composite
Short Duration Fixed Income Composite
International Equity Composite
Domestic Equity Composite
We
igh
t
(%)
-3.18 %
-1.16 %
4.07%
-0.48 %
0.75%
Performance SummaryTotal Surplus Cash X District Attribution1 Quarter Ending September 30, 2014
_________________________“Other” includes the effects of all other factors on the Fund’s relative return, including rebalancing and other trading activity.
15
Total Value Added:-0.12 %
0.00% 0.20%-0.20 %-0.40 %
Other
Manager Value Added
Asset Allocation
0.02%
-0.19 %
0.06%
Total Fund Performance
0.00% 3.00% 6.00% 9.00%-3.00 %
Total Fund
Total Fund Benchmark
Total Value Added
6.14%
6.26%
-0.12 %
Total Manager Value Added:-0.19 %
Manager Value Added
0.00% 0.50% 1.00%-0.50 %-1.00 %
0.16%
0.48%
0.00%
-0.42 %
-0.41 %
Asset Allocation Value Added
0.00% 0.09% 0.18%-0.09 %-0.18 %
-0.03 %
0.02%
-0.06 %
0.03%
0.09%
Total Asset Allocation:0.06%
Average Active Weight
0.00% 2.00% 4.00%-2.00 %-4.00 %
Total Alternatives Composite
Market Duration Fixed Income Composite
Short Duration Fixed Income Composite
International Equity Composite
Domestic Equity Composite
We
igh
t
(%)
-1.05 %
-1.36 %
1.46%
-0.30 %
1.26%
Performance SummaryTotal Surplus Cash X District Attribution1 Year Ending September 30, 2014
_________________________“Other” includes the effects of all other factors on the Fund’s relative return, including rebalancing and other trading activity.
16
Allocation
MarketValue
($) %
Performance(%)
Quarter
YearTo
Date1
Year3
Years5
Years10
YearsSince
InceptionInception
Period
Total Surplus Cash X District 640,936,920 100.0 -0.5 (15) 2.8 (53) 6.1 (47) 6.9 (60) 6.3 (63) 5.4 (35) 6.7 (N/A) 1y 11m
Surplus Cash Total Benchmark -0.5 (15) 3.4 (27) 6.3 (42) 6.6 (69) 6.1 (69) 4.8 (58) 6.3 (N/A)
Pre-Pavilion Surplus Cash Total Benchmark -0.3 (10) 2.7 (60) 4.0 (95) 4.7 (99) 4.9 (88) 4.3 (76) 3.3 (N/A)
Total Surplus Cash Composite Peer Group Median -1.0 2.9 6.1 7.2 6.8 5.1 N/A
Total Surplus Cash X District X Privates 625,035,396 97.5 -0.5 (24) 2.7 (57) 6.1 (47) 6.9 (58) 6.3 (63) 5.4 (36) 6.7 (N/A) 1y 11m
Surplus Cash Total Benchmark x Privates -0.6 (28) 3.4 (26) 6.2 (40) 6.6 (68) 6.0 (68) 4.8 (59) 6.2 (N/A)
Total Surplus Cash x Privates Peer Group Median -0.9 2.9 6.0 7.2 6.8 5.1 N/A
Total Equity Composite 190,772,973 29.8 -2.1 (22) 1.7 (60) 9.3 (73) 20.4 (38) 13.9 (41) 7.1 (67) 17.2 (N/A) 1y 11m
Total Equity Benchmark - Surplus -2.6 (37) 3.3 (18) 11.8 (26) 21.1 (25) 13.7 (45) 7.1 (66) 17.6 (N/A)
Broad Equity Peer Group Median -2.9 2.0 10.6 19.8 13.4 7.7 N/A
Domestic Equity Composite 132,296,605 20.6 -0.6 (23) 3.4 (58) 13.2 (55) 23.0 (18) 15.3 (24) 7.8 (60) 21.2 (N/A) 1y 11m
Domestic Equity Benchmark - Surplus -1.2 (43) 5.0 (25) 15.4 (22) 23.4 (13) 14.9 (33) 7.7 (63) 21.0 (N/A)
Domestic Equity Peer Group Median -1.4 3.7 13.5 21.1 14.3 8.0 N/A
Large Cap Equity Composite 104,415,379 16.3 1.6 (17) 7.5 (26) 18.3 (28) 24.2 (15) 16.0 (19) 8.1 (43) 23.2 (N/A) 1y 11m
Large Cap Equity Benchmark 0.9 (30) 8.2 (17) 19.4 (19) 23.9 (19) 15.2 (31) 7.8 (50) 21.8 (N/A)
Large-Cap Equity Peer Group Median 0.1 6.0 16.4 21.5 14.3 7.8 N/A
Small Cap Equity Composite 27,881,226 4.4 -7.8 (73) -9.2 (91) -2.2 (92) N/A N/A N/A 14.4 (N/A) 1y 11m
Small Cap Equity Benchmark -7.4 (65) -4.4 (49) 4.0 (53) 21.3 (47) 14.3 (51) 8.2 (44) 18.4 (N/A)
Small-Cap Equity Peer Group Median -6.6 -4.4 4.2 20.8 14.3 8.0 N/A
International Equity Composite 58,476,368 9.1 -5.5 (45) -2.2 (59) 0.7 (87) N/A N/A N/A 8.6 (N/A) 1y 11m
MSCI AC World ex USA (Net) -5.3 (35) 0.0 (24) 4.8 (42) 11.8 (79) 6.0 (68) 7.1 (40) 10.7 (N/A)
International Equity Peer Group Median -5.8 -1.7 4.3 13.6 6.8 6.6 N/A
Performance SummaryComposite Asset Allocation & PerformanceAs of September 30, 2014
___________________________Returns are expressed as percentages. Returns for periods greater than one year are annualized.Peer group percentile ranks are shown in parentheses.
17
Performance SummaryComposite Asset Allocation & PerformanceAs of September 30, 2014
Allocation
MarketValue
($) %
Performance(%)
Quarter
YearTo
Date1
Year3
Years5
Years10
YearsSince
InceptionInception
Period
Total Fixed Income Composite 342,007,245 53.4 0.1 (20) 3.2 (18) 3.8 (19) 2.8 (29) 3.9 (18) 4.5 (7) 1.6 (N/A) 1y 11m
Total Fixed Income Benchmark - Surplus 0.1 (20) 2.6 (68) 2.6 (79) 1.9 (81) 3.3 (48) 4.1 (13) 0.9 (N/A)
Total Fixed Income Peer Group Median 0.0 2.8 3.1 2.4 3.3 3.5 N/A
Short Duration Fixed Income Composite 92,710,258 14.5 -0.1 (53) 0.5 (76) 0.7 (81) 1.7 (47) 2.9 (25) 3.8 (8) 0.5 (N/A) 1y 11m
Short Duration Fixed Income Benchmark - Surplus 0.0 (26) 0.6 (71) 0.8 (79) 1.5 (55) 2.7 (32) 3.7 (10) 0.7 (N/A)
Short Duration Fixed Peer Group Median -0.1 0.8 1.2 1.6 2.1 2.9 N/A
Market Duration Fixed Income Composite 249,296,987 38.9 0.2 (29) 4.4 (40) 5.2 (29) 4.0 (34) 5.6 (27) N/A 2.1 (N/A) 1y 11m
Barclays U.S. Aggregate 0.2 (30) 4.1 (60) 4.0 (70) 2.4 (84) 4.1 (80) 4.6 (60) 1.0 (N/A)
Market Duration Fixed Peer Group Median 0.0 4.2 4.6 3.6 4.9 4.8 N/A
Total Alternatives Composite 108,156,702 16.9 0.5 4.2 8.7 N/A N/A N/A 6.6 1y 5m
Total Alternatives Benchmark - Surplus 0.8 3.3 7.1 N/A N/A N/A 5.6
Real Estate Composite 15,901,524 2.5 0.0 8.9 8.7 N/A N/A N/A 7.5 1y 1m
NCREIF Property Index 2.6 8.5 11.3 11.1 11.0 8.6 11.2
Hedge Fund Composite 92,255,178 14.4 0.6 3.4 8.5 N/A N/A N/A 6.5 1y 5m
HFRI Fund of Funds Composite Index 0.3 2.4 6.1 5.2 3.4 3.4 4.9
___________________________Returns are expressed as percentages. Returns for periods greater than one year are annualized.Peer group percentile ranks are shown in parentheses.
18
Allocation
MarketValue
($) %
Performance(%)
Quarter
YearTo
Date1
Year3
Years5
Years10
YearsSince
InceptionInception
Period
Large-Cap Equity
Vanguard S&P 500 Index 50,903,578 7.9 1.1 (25) 8.3 (15) 19.7 (17) 23.0 (30) 15.7 (24) 8.1 (42) 21.6 (N/A) 1y 11m
S&P 500 1.1 (25) 8.3 (15) 19.7 (16) 23.0 (29) 15.7 (24) 8.1 (42) 21.6 (N/A)
Large-Cap Equity Peer Group Median 0.1 6.0 16.4 21.5 14.3 7.8 N/A
Sands Large Cap Growth (Touchstone) 26,873,727 4.2 2.9 (9) 4.3 (69) 14.4 (73) 25.6 (8) 21.1 (2) N/A 25.7 (N/A) 1y 11m
Russell 1000 Growth Index 1.5 (38) 7.9 (21) 19.1 (24) 22.4 (36) 16.5 (24) 8.9 (42) 22.0 (N/A)
Large-Cap Growth Peer Group Median 1.1 5.5 16.7 21.5 15.1 8.5 N/A
Barrow Hanley Large Cap Value 26,638,074 4.2 1.1 (14) 8.4 (13) 19.2 (20) 24.0 (21) 15.9 (15) 8.0 (36) 9.4 (N/A) 14y 2m
Russell 1000 Value Index -0.2 (47) 8.1 (17) 18.9 (22) 23.9 (22) 15.3 (24) 7.8 (42) 6.9 (N/A)
Large-Cap Value Peer Group Median -0.3 6.1 16.2 21.8 14.0 7.5 N/A
Small-Cap Equity
Cortina Small Cap Growth 13,310,537 2.1 -10.0 (100) -14.5 (100) -8.6 (100) 16.3 (88) 14.6 (53) 9.3 (24) 11.9 (N/A) 1y 11m
Russell 2000 Growth Index -6.1 (56) -4.0 (33) 3.8 (30) 21.9 (38) 15.5 (34) 9.0 (30) 20.3 (N/A)
Small-Cap Growth Peer Group Median -5.8 -5.5 1.9 20.1 14.7 8.0 N/A
Wellington Small Cap Value 14,570,689 2.3 -5.7 (20) -4.2 (54) 4.0 (65) 20.3 (57) 14.9 (33) 10.2 (1) 16.6 (N/A) 1y 11m
Russell 2000 Value Index -8.6 (80) -4.7 (65) 4.1 (64) 20.6 (54) 13.0 (71) 7.3 (75) 16.5 (N/A)
Small-Cap Value Peer Group Median -6.9 -4.1 5.2 21.2 14.2 7.9 N/A
International Equity
Walter Scott Int'l (Dreyfus) 29,511,445 4.6 -4.1 (10) -1.5 (46) -0.3 (92) 10.2 (92) 6.6 (55) N/A 6.8 (N/A) 1y 11m
MSCI AC World ex USA (Net) -5.3 (35) 0.0 (24) 4.8 (42) 11.8 (79) 6.0 (68) 7.1 (40) 10.7 (N/A)
International Equity Peer Group Median -5.8 -1.7 4.3 13.6 6.8 6.6 N/A
Northern Cross Int'l (Harbor) 28,964,923 4.5 -7.0 (80) -2.9 (70) 1.8 (79) 13.8 (46) 7.6 (35) 9.0 (13) 10.8 (N/A) 1y 11m
MSCI AC World ex USA (Net) -5.3 (35) 0.0 (24) 4.8 (42) 11.8 (79) 6.0 (68) 7.1 (40) 10.7 (N/A)
International Equity Peer Group Median -5.8 -1.7 4.3 13.6 6.8 6.6 N/A
Performance SummaryManager Asset Allocation & PerformanceAs of September 30, 2014
___________________________Returns are expressed as percentages. Returns for periods greater than one year are annualized.Peer group percentile ranks are shown in parentheses.
19
Performance SummaryManager Asset Allocation & PerformanceAs of September 30, 2014
Allocation
MarketValue
($) %
Performance(%)
Quarter
YearTo
Date1
Year3
Years5
Years10
YearsSince
InceptionInception
Period
Short Duration Fixed Income
Barrow Hanley Short Fixed 92,374,847 14.4 -0.1 (53) 0.5 (76) 0.7 (80) 0.7 (87) 1.3 (83) 2.8 (58) 5.2 (N/A) 23y 6m
Barclays 1-3yr Gov/Credit 0.0 (26) 0.6 (71) 0.8 (79) 0.9 (78) 1.5 (77) 2.8 (54) 4.7 (N/A)
Short Duration Fixed Peer Group Median -0.1 0.8 1.2 1.6 2.1 2.9 N/A
Cash Composite 335,411 0.1 0.0 (3) 0.1 (1) 0.1 (1) N/A N/A N/A -0.5 (N/A) 1y 11m
90 Day U.S. Treasury Bill 0.0 (10) 0.0 (8) 0.0 (10) 0.1 (16) 0.1 (13) 1.5 (37) 0.1 (N/A)
Money Market Funds Peer Group Median 0.0 0.0 0.0 0.0 0.0 1.5 N/A
Market Duration Fixed Income
Dodge & Cox Fixed 123,808,437 19.3 0.0 (58) 4.7 (28) 5.9 (17) 4.8 (20) 5.3 (37) 5.3 (24) 2.7 (N/A) 1y 11m
Barclays U.S. Aggregate 0.2 (30) 4.1 (60) 4.0 (70) 2.4 (84) 4.1 (80) 4.6 (60) 1.0 (N/A)
Market Duration Fixed Peer Group Median 0.0 4.2 4.6 3.6 4.9 4.8 N/A
MetWest Fixed 125,488,550 19.6 0.4 (9) 4.1 (57) 4.5 (53) 4.8 (20) 6.7 (9) 6.5 (1) 1.6 (N/A) 1y 11m
Barclays U.S. Aggregate 0.2 (30) 4.1 (60) 4.0 (70) 2.4 (84) 4.1 (80) 4.6 (60) 1.0 (N/A)
Market Duration Fixed Peer Group Median 0.0 4.2 4.6 3.6 4.9 4.8 N/A
Real Estate
Oaktree Real Estate Opportunities Fund VI 10,342,501 1.6 0.0 7.0 6.1 N/A N/A N/A 5.4 1y 1m
NCREIF Property Index 2.6 8.5 11.3 11.1 11.0 8.6 11.2
Walton Street Real Estate Fund VII, L.P. 5,559,023 0.9 0.0 16.9 N/A N/A N/A N/A 20.8 0y 11m
NCREIF Property Index 2.6 8.5 11.3 11.1 11.0 8.6 10.3
Hedge Funds
Hedge Fund Composite 92,255,178 14.4 0.6 3.4 8.5 N/A N/A N/A 6.5 1y 5m
HFRI Fund of Funds Composite Index 0.3 2.4 6.1 5.2 3.4 3.4 4.9
Total Plan
Total Surplus Cash X District 640,936,920 100.0 -0.5 (15) 2.8 (53) 6.1 (47) 6.9 (60) 6.3 (63) 5.4 (35) 6.7 (N/A) 1y 11m
Total Surplus Cash Benchmark -0.5 (15) 3.4 (27) 6.3 (42) 6.6 (69) 6.1 (69) 4.8 (58) 6.3 (N/A)
Pre-Pavilion Total Surplus Cash Benchmark -0.3 (10) 2.7 (60) 4.0 (95) 4.7 (99) 4.9 (88) 4.3 (76) 3.3 (N/A)
Total Surplus Cash Composite Peer Group Median -1.0 2.9 6.1 7.2 6.8 5.1 N/A
___________________________Returns are expressed as percentages. Returns for periods greater than one year are annualized.Peer group percentile ranks are shown in parentheses.
20
Surplus Cash - Asset ClassDiversification
21
September 30, 2014 : $640,936,920
Target Allocation Actual Allocation Allocation Differences
0.0% 8.0% 16.0% 24.0% 32.0% 40.0% 48.0%-8.0 %-16.0 %
Total Alternatives Composite$108,156,702
Market Duration Fixed Income Composite$249,296,987
Short Duration Fixed Income Composite$92,710,258
International Equity Composite$58,476,368
Domestic Equity Composite$132,296,605
20.0%
40.0%
10.0%
10.0%
20.0%
16.9%
38.9%
14.5%
9.1%
20.6%
-3.1 %
-1.1 %
4.5%
-0.9 %
0.6%
Asset Class DiversificationTotal Surplus Cash X District vs. Surplus Cash Target AllocationAs of September 30, 2014
______________________________* The Target Allocation was changed as of March 31, 2014 to reflect the allocation of the Investment Policy Statement. The underweight to alternatives is a result of unfunded capital commitments to private real estate.
22
Manager Asset Class/Type
Total Assets
($, mil.)
Percent of
Total
Target
Allocation1
Weighting
Relative to
Target
Target
Range1
Large-Cap Domestic Equity $104.4 16.2% 15.0% + 1.2%
Vanguard S&P 500 Index Large-Cap Index $ 50.9 7.9% 7.5% + 0.4%
Sands Large-Cap Growth $ 26.9 4.2% 3.8% + 0.4%
Barrow Hanley Large-Cap Value $ 26.6 4.2% 3.8% + 0.4%
Small-Cap Domestic Equity $ 27.9 4.4% 5.0% - 0.6%
Cortina Small-Cap Growth $ 13.3 2.1% 2.5% - 0.4%
Wellington Small-Cap Value $ 14.6 2.3% 2.5% - 0.2%
International Equity $ 58.5 9.1% 10.0% - 0.9% 8-12%
Walter Scott Developed and Emerging $ 29.5 4.6% 5.0% - 0.4%
Harbor Developed and Emerging $ 29.0 4.5% 5.0% - 0.5%
Short-Duration Fixed Income $ 92.7 14.5% 10.0% + 4.5% 8-12%
17-23%
Asset Class DiversificationSurplus Cash Investment Program StructureAs of September 30, 2014
Short-Duration Fixed Income $ 92.7 14.5% 10.0% + 4.5% 8-12%
Barrow Hanley Short Duration $ 92.4 14.4% 10.0% + 4.4%
Cash Money Market $ 0.3 0.1% 0.0% + 0.1%
Market-Duration Fixed Income $249.3 38.9% 40.0% - 1.1% 35-45%
Dodge & Cox Market Duration $123.8 19.3% 20.0% - 0.7%
MetWest Market Duration $125.5 19.6% 20.0% - 0.4%
Alternatives $108.1 16.9% 20.0% - 3.1% 17-23%
Oaktree RE Opportunities Real Estate $ 10.3 1.6% 2.5% - 0.9%
Walton Street Real Estate $ 5.6 0.9% 2.5% - 1.6%
Direct Hedge Fund Composite Hedge Fund $ 92.2 14.4% 15.0% - 0.6%
Total (X District) $640.9 100.0%
District Assets Short Duration $ 16.2
Total Surplus Cash $657.1
______________________________*Totals may not add due to rounding.1 The Target Allocation was changed as of March 31, 2014 to reflect the allocation of the Investment Policy Statement. The underweight to alternatives is a result of unfunded capital commitments to private real estate.
23
Top Ten Equity Holdings
PortfolioWeight
(%)
BenchmarkWeight
(%)
ActiveWeight
(%)
QuarterlyReturn
(%)
Visa Inc 1.2 0.3 0.9 1.5
Microsoft Corp 1.0 0.9 0.2 11.9
Amazon.com Inc 1.0 0.3 0.7 -0.7
Apple Inc 0.9 1.4 -0.5 9.0
Facebook Inc 0.9 0.4 0.5 17.5
Wells Fargo & Co 0.8 0.6 0.2 -0.6
Johnson & Johnson 0.8 0.7 0.1 2.6
Novo Nordisk A/S 0.8 0.2 0.6 4.0
JPMorgan Chase & Co 0.8 0.5 0.2 5.3
Novartis AG 0.8 0.5 0.2 4.2
% of Portfolio 9.0 5.8
Portfolio Characteristics
Portfolio Benchmark
Wtd. Avg. Mkt. Cap ($M) 81,529 78,388
Median Mkt. Cap ($M) 13,884 1,393
Price/Earnings ratio 19.1 16.7
Price/Book ratio 2.7 2.5
5 Yr. EPS Growth Rate (%) 14.2 14.4
Current Yield (%) 1.9 2.5
Debt to Equity 0.9 1.0
Number of Stocks 808 8,511
Beta (5 Years, Monthly) 0.89 1.00
Consistency (5 Years, Monthly) 51.67 1.00
Sharpe Ratio (5 Years, Monthly) 1.00 0.77
Information Ratio (5 Years, Monthly) 0.52 -
Up Market Capture (5 Years, Monthly) 98.83 -
Down Market Capture (5 Years, Monthly) 80.65 -
Sector Weights (%)
Total Equity Composite MSCI AC World IMI
0.0 5.0 10.0 15.0 20.0 25.0 30.0
Cash
Utilities
Telecommunication Services
Materials
Information Technology
Industrials
Health Care
Financials
Energy
Consumer Staples
Consumer Discretionary
2.3
1.7
1.8
4.7
16.1
10.5
16.2
15.8
9.1
8.2
13.5
0.0
3.2
3.5
6.1
13.4
11.4
11.0
21.6
8.9
8.9
12.0
Distribution of Market Capitalization (%)
Total Equity Composite MSCI AC World IMI
0.0
15.0
30.0
45.0
60.0
>$75 Bil $20 Bil - $75 Bil
$5 Bil - $20 Bil
$0 - $5 Bil
Cash
31.1 31.3
22.8
14.8
0.0
32.3
40.1
10.4
14.9
2.3
Equity Portfolio - CharacteristicsSurplus Cash Equity Composite vs. MSCI AC World IMIAs of September 30, 2014
24
Total EquityComposite MSCI AC World IMI
Australia 1.1 2.6
Hong Kong 2.1 1.8
Japan 4.3 7.6
New Zealand 0.0 0.1
Singapore 0.6 0.6
Pacific 8.0 12.7
Austria 0.1 0.1
Belgium 0.4 0.5
Finland 0.3 0.3
France 4.3 3.0
Germany 2.2 2.9
Ireland 0.5 0.5
Italy 0.2 0.9
Netherlands 0.9 1.2
Portugal 0.0 0.1
Spain 1.0 1.2
EMU 10.0 10.7
Denmark 0.8 0.6
Norway 0.0 0.4
Sweden 1.1 1.1
Switzerland 4.3 3.3
United Kingdom 6.3 7.5
Europe ex EMU 12.5 12.8
Canada 0.5 3.9
United States 64.1 49.6
Israel 0.6 0.2
Middle East 0.6 0.2
Developed Markets 95.7 89.9
Total EquityComposite MSCI AC World IMI
Brazil 0.2 1.0
Cayman Islands 0.0 0.0
Chile 0.0 0.2
Colombia 0.0 0.1
Mexico 0.0 0.5
Peru 0.0 0.0
Virgin Islands 0.0 0.0
EM Latin America 0.2 1.9
China 0.9 1.3
India 0.0 0.8
Indonesia 0.0 0.3
Korea 0.0 1.6
Malaysia 0.3 0.4
Philippines 0.0 0.1
Taiwan 0.3 1.4
Thailand 0.0 0.3
EM Asia 1.5 6.2
Czech Republic 0.0 0.0
Egypt 0.0 0.0
Greece 0.1 0.1
Hungary 0.0 0.0
Poland 0.0 0.2
Qatar 0.0 0.1
Russia 0.0 0.4
South Africa 0.0 0.8
Turkey 0.0 0.2
United Arab Emirates 0.0 0.1
EM Europe + Middle East + Africa 0.1 1.9
Emerging Markets 1.8 9.9
Frontier Markets 0.0 0.0
Cash 2.3 0.0
Other 0.2 0.1
Total 100.0 100.0
Equity Portfolio - Country/Region AllocationSurplus Cash Equity Composite vs. MSCI AC World IMIAs of September 30, 2014
25
Portfolio Characteristics
Maturity Distribution (%)
Credit Quality Distribution (%)
Risk Characteristics - 5 Years
Sector Distribution (%)
Total Fixed Income Composite Total Fixed Income Bmk - Surplus
0.0
25.0
50.0
75.0
100.0
AAA AA ABBB BB B
73.4
5.6
10.8 10.2
0.0 0.0
51.8
5.3
20.616.5
5.00.8
Portfolio Benchmark
Effective Duration 3.8 4.0
Avg. Maturity 5.7 5.3
Avg. Quality AA- AA+
Yield To Maturity (%) 2.1 1.6
ConsistencySharpeRatio
InformationRatio
UpMarket
Capture
DownMarket
Capture
Total Fixed Income Composite 65.0 2.0 1.0 103.7 74.4
Total Fixed Income Bmk - Surplus 0.0 1.6 N/A 100.0 100.0
90 Day U.S. Treasury Bill 30.0 N/A -1.6 1.4 -1.3
Total Fixed Income Composite Total Fixed Income Bmk - Surplus
0.0
25.0
50.0
75.0
-25.0
Treasu
ries
TIPS
Agenc
ies
Credi
t
Hig
h Yie
ldM
BSABS
Non-U
S
Emer
ging
Munic
ipal
s
Cas
h
Oth
er
CMBS
47.7
0.0
6.1
17.6
0.0
16.5
0.3
8.8
1.8 0.0 0.0 0.0 1.2
20.0
0.5 1.4
28.1
5.5
23.9
6.64.0
0.1 1.8
-0.7
6.32.5
Total Fixed Income Composite Total Fixed Income Bmk - Surplus
0.0
25.0
50.0
75.0
100.0
< 1 Yr
1 < 3 Yrs
3 < 5 Yrs
5 <
10 Yrs
10 <
20 Yrs
> 20
Yrs
0.0
57.0
11.5
23.8
1.85.94.9
36.8
18.7
31.3
3.0 5.3
Fixed Income Portfolio - CharacteristicsSurplus Cash Fixed Income Composite vs. Total Fixed Income Bmk - SurplusAs of September 30, 2014
26
Performance SummarySurplus Cash Private Real Estate InvestmentAs of June 30, 2014* ($ in Millions)
Partnership
Vintage
Year Fund Type
Committed
Capital
Paid-in
Capital
Outstanding
Commitment
Market
Value1
Distributions
Total
Value
Net
IRR2
TV / PI
Oaktree RE Opportunities VI 2012 Private RE $14.0 $10.8 $4.2 $10.3 $1.0 $11.3 2.8% 1.0
Walton Street RE Fund VII 2012 Private RE $14.0 $5.1 $8.9 $5.6 $0.3 $5.8 17.0% 1.2
* Data as of September 30, 2014 was unavailable at time of report production.1 If a market value has not yet been released for a particular fund, the previous quarter’s value is adjusted according to subsequent contributions and distributions.2 Net IRR is through the previous quarter end.
27
Cash Balance Plan -Performance Summary
28
Total Cash Balance Plan Total Cash Balance Plan Benchmark Total Cash Balance Plan Composite Peer Group
0.0
4.0
8.0
12.0
16.0
20.0
24.0
-4.0
-8.0
Re
turn
(%)
Quarter YearTo
Date
1Year
3Years
5Years
10Years
SinceInception
-1.6
3.0
7.6
12.8
9.4
6.1
-0.9
3.8
8.5
13.0
9.8
6.3
10.1
-0.9
3.3
8.3
14.7
9.9
6.8
11.0
Quarter
YearTo
Date1
Year3
Years5
Years10
YearsSince
InceptionInception
Period
Total Cash Balance Plan -0.9 3.3 8.3 14.7 9.9 6.8 11.0 1y 11m
Total Cash Balance Plan Benchmark -0.9 3.8 8.5 13.0 9.8 6.3 10.1
Total Cash Balance Plan Composite Peer Group -1.6 3.0 7.6 12.8 9.4 6.1 N/A
Total Cash Balance Plan Rank 10 32 27 12 34 24 N/A
Performance SummaryTotal Cash Balance Plan vs. Total Cash Balance Plan Benchmark*As of September 30, 2014
_______________________________________* Returns are net of investment management fees.* Since inception returns reflect the date Pavilion's recommended portfolio was implemented (11/1/2012).
29
3 Years 5 Years
0.0
4.0
8.0
12.0
16.0
20.0
Retu
rn (%
)
0.0 3.0 6.0 9.0 12.0 15.0
Risk (Standard Deviation %)
Total Cash Balance Plan Benchmark(7.7, 9.8)
Total Cash Balance Plan(9.7, 9.9)
0.0
4.0
8.0
12.0
16.0
20.0
Retu
rn (%
)
0.0 3.0 6.0 9.0 12.0 15.0
Risk (Standard Deviation %)
Total Cash Balance Plan Benchmark(6.2, 13.0)
Total Cash Balance Plan(7.3, 14.7)
Performance SummaryRisk and Return Summary (Net of Fees)As of September 30, 2014
30
Total Value Added:0.00%
0.00% 0.02%-0.02 %-0.04 %
Other
Manager Value Added
Asset Allocation
0.01%
-0.01 %
0.00%
Total Fund Performance
-1.24 % -0.93 % -0.62 % -0.31 % 0.00%
Total Fund
Total Fund Benchmark
Total Value Added
-0.87 %
-0.87 %
0.00%
Total Manager Value Added:-0.01 %
Manager Value Added
0.00% 0.20% 0.40%-0.20 %-0.40 %
-0.11 %
0.00%
-0.01 %
-0.07 %
0.18%
Asset Allocation Value Added
0.00% 0.03% 0.06%-0.03 %-0.06 %
0.00%
0.00%
-0.02 %
0.02%
-0.01 %
Total Asset Allocation:0.00%
Average Active Weight
0.00% 2.00%-2.00 %
Alternatives Composite
Market Duration Fixed Income Composite
Short Duration Fixed Income Composite
International Equity Composite
Domestic Equity Composite
We
igh
t
(%)
0.39%
0.26%
-1.13 %
-0.24 %
0.71%
Performance SummaryTotal Cash Balance Plan Attribution1 Quarter Ending September 30, 2014
_________________________“Other” includes the effects of all other factors on the Fund’s relative return, including rebalancing and other trading activity.
31
Total Value Added:-0.18 %
0.00% 0.30% 0.60%-0.30 %-0.60 %-0.90 %
Other
Manager Value Added
Asset Allocation
0.11%
-0.42 %
0.13%
Total Fund Performance
0.00% 5.00% 10.00% 15.00%-5.00 %
Total Fund
Total Fund Benchmark
Total Value Added
8.30%
8.48%
-0.18 %
Total Manager Value Added:-0.42 %
Manager Value Added
0.00% 0.74% 1.48%-0.74 %-1.48 %
0.58%
0.35%
-0.02 %
-0.78 %
-0.55 %
Asset Allocation Value Added
0.00% 0.20% 0.40%-0.20 %
0.03%
0.00%
-0.07 %
0.00%
0.16%
Total Asset Allocation:0.13%
Average Active Weight
0.00% 3.00% 6.00%-3.00 %
Alternatives Composite
Market Duration Fixed Income Composite
Short Duration Fixed Income Composite
International Equity Composite
Domestic Equity Composite
We
igh
t
(%)
-1.57 %
-0.31 %
-0.25 %
0.03%
2.10%
Performance SummaryTotal Cash Balance Plan Attribution1 Year Ending September 30, 2014
_________________________“Other” includes the effects of all other factors on the Fund’s relative return, including rebalancing and other trading activity.
32
Allocation
MarketValue
($) %
Performance(%)
Quarter
YearTo
Date1
Year3
Years5
Years10
YearsSince
InceptionInception
Period
Total Cash Balance Plan 206,857,289 100.0 -0.9 (10) 3.3 (32) 8.3 (27) 14.7 (12) 9.9 (34) 6.8 (24) 11.0 (N/A) 1y 11m
Total Cash Balance Plan Benchmark -0.9 (10) 3.8 (16) 8.5 (22) 13.0 (45) 9.8 (39) 6.3 (44) 10.1 (N/A)
Pre-Pavilion Total Cash Balance Plan Benchmark 0.0 (4) 6.5 (2) 12.8 (1) 15.1 (10) 11.0 (13) 6.9 (20) 13.2 (N/A)
Total Cash Balance Plan Composite Peer Group Median -1.6 3.0 7.6 12.8 9.4 6.1 N/A
Total Cash Balance Plan X Private Structures 197,318,854 95.4 -0.9 (11) 3.1 (22) 8.1 (26) 14.7 (12) 9.9 (34) 6.8 (24) 11.0 (N/A) 1y 11m
Cash Balance Plan Total X Privates Benchmark -1.1 (16) 3.5 (11) 8.3 (22) 12.9 (47) 9.7 (41) 6.3 (46) 10.0 (N/A)
Total Cash Balance Plan X Privates Peer Group Median -1.6 2.4 7.4 12.8 9.5 6.2 N/A
Total Equity Composite 103,711,668 50.1 -1.9 (13) 2.4 (38) 10.0 (56) 21.7 (16) 13.0 (56) 7.2 (64) 17.2 (N/A) 1y 11m
Total Equity Benchmark -2.2 (19) 3.9 (10) 12.4 (14) 21.1 (23) 13.6 (44) 7.1 (66) 17.5 (N/A)
Total Equity Peer Group Median -3.0 1.9 10.2 19.6 13.3 7.6 N/A
Domestic Equity Composite 68,182,171 33.0 0.1 (10) 4.8 (27) 15.0 (28) 24.7 (8) 14.7 (38) 7.9 (54) 21.8 (N/A) 1y 11m
Domestic Equity Benchmark -0.4 (19) 6.2 (10) 16.9 (10) 23.6 (12) 15.1 (30) 7.7 (61) 21.3 (N/A)
Domestic Equity Peer Group Median -1.4 3.7 13.5 21.1 14.3 8.0 N/A
Large Cap Equity Composite 58,707,701 28.4 1.5 (17) 7.5 (26) 18.4 (27) 25.6 (8) 15.2 (32) 8.2 (41) 23.2 (N/A) 1y 11m
Large Cap Equity Benchmark 0.9 (30) 8.2 (17) 19.4 (19) 23.9 (19) 15.2 (31) 7.8 (50) 21.8 (N/A)
Large-Cap Equity Peer Group Median 0.1 6.0 16.4 21.5 14.3 7.8 N/A
Small Cap Equity Composite 9,474,470 4.6 -7.7 (71) -9.2 (91) -2.2 (92) N/A N/A N/A 14.3 (N/A) 1y 11m
Small Cap Equity Benchmark -7.4 (65) -4.4 (49) 4.0 (53) 21.3 (47) 14.3 (51) 8.2 (44) 18.4 (N/A)
Small-Cap Equity Peer Group Median -6.6 -4.4 4.2 20.8 14.3 8.0 N/A
International Equity Composite 35,529,497 17.2 -5.5 (45) -2.2 (58) 0.8 (86) N/A N/A N/A 8.8 (N/A) 1y 11m
MSCI AC World ex USA (Net) -5.3 (35) 0.0 (24) 4.8 (42) 11.8 (79) 6.0 (68) 7.1 (40) 10.7 (N/A)
International Equity Peer Group Median -5.8 -1.7 4.3 13.6 6.8 6.6 N/A
Performance SummaryComposite Asset Allocation & PerformanceAs of September 30, 2014
___________________________Returns are expressed as percentages. Returns for periods greater than one year are annualized.Peer group percentile ranks are shown in parentheses.
33
Performance SummaryComposite Asset Allocation & PerformanceAs of September 30, 2014
Allocation
MarketValue
($) %
Performance(%)
Quarter
YearTo
Date1
Year3
Years5
Years10
YearsSince
InceptionInception
Period
Total Fixed Income Composite 68,428,688 33.1 0.1 (28) 3.3 (50) 4.0 (33) 4.0 (25) 5.4 (24) 5.5 (15) 2.2 (N/A) 1y 11m
Total Fixed Income Benchmark 0.1 (23) 3.1 (65) 3.0 (76) 2.4 (93) 4.1 (87) 4.6 (56) 1.0 (N/A)
Total Fixed Income Peer Group Median 0.0 3.3 3.6 3.4 4.8 4.7 N/A
Short Duration Fixed Income Composite 15,795,932 7.6 0.0 (43) 0.4 (84) 0.6 (84) 0.4 (94) N/A N/A 0.6 (N/A) 1y 11m
Short Duration Fixed Income Benchmark 0.0 (26) 0.6 (71) 0.8 (79) 0.5 (91) 0.3 (100) 1.7 (100) 0.7 (N/A)
Short Duration Fixed Peer Group Median -0.1 0.8 1.2 1.6 2.1 2.9 N/A
Market Duration Fixed Income Composite 52,632,756 25.4 0.2 (32) 4.4 (38) 5.4 (25) 4.8 (19) 5.7 (25) 5.6 (17) 2.8 (N/A) 1y 11m
Barclays U.S. Aggregate 0.2 (30) 4.1 (60) 4.0 (70) 2.4 (84) 4.1 (80) 4.6 (60) 1.0 (N/A)
Market Duration Fixed Peer Group Median 0.0 4.2 4.6 3.6 4.9 4.8 N/A
Total Alternatives Composite 34,716,933 16.8 0.3 7.9 12.4 N/A N/A N/A 10.7 1y 11m
Total Alternatives Benchmark 1.0 4.4 7.8 N/A N/A N/A 8.2
Hedge Fund of Fund Composite 25,178,498 12.2 0.4 7.2 12.5 N/A N/A N/A 11.3 1y 11m
HFRI Fund of Funds Composite Index 0.3 2.4 6.1 5.2 3.4 3.4 6.7
Real Estate Composite 9,538,435 4.6 0.0 9.8 10.8 N/A N/A N/A 8.5 1y 9m
NCREIF Property Index 2.6 8.5 11.3 11.1 11.0 8.6 11.2
___________________________Returns are expressed as percentages. Returns for periods greater than one year are annualized.Peer group percentile ranks are shown in parentheses.
34
Allocation
MarketValue
($) %
Performance(%)
Quarter
YearTo
Date1
Year3
Years5
Years10
YearsSince
InceptionInception
Period
Large-Cap Equity
Vanguard Institutional Index Fund 29,438,095 14.2 1.1 (25) 8.3 (15) 19.7 (17) 23.0 (30) 15.7 (24) 8.1 (42) 21.6 (N/A) 1y 11m
S&P 500 1.1 (25) 8.3 (15) 19.7 (16) 23.0 (29) 15.7 (24) 8.1 (42) 21.6 (N/A)
Large-Cap Equity Peer Group Median 0.1 6.0 16.4 21.5 14.3 7.8 N/A
Sands Large Cap Growth (Touchstone) 14,408,677 7.0 2.9 (9) 4.3 (69) 14.4 (73) 25.6 (8) 21.1 (2) N/A 25.7 (N/A) 1y 11m
Russell 1000 Growth Index 1.5 (38) 7.9 (21) 19.1 (24) 22.4 (36) 16.5 (24) 8.9 (42) 22.0 (N/A)
Large-Cap Growth Peer Group Median 1.1 5.5 16.7 21.5 15.1 8.5 N/A
Barrow Hanley Large Cap Value 14,860,929 7.2 1.0 (15) 8.5 (13) 19.4 (17) 24.2 (19) 16.0 (14) 8.1 (35) 23.1 (N/A) 1y 11m
Russell 1000 Value Index -0.2 (47) 8.1 (17) 18.9 (22) 23.9 (22) 15.3 (24) 7.8 (42) 21.9 (N/A)
Large-Cap Value Peer Group Median -0.3 6.1 16.2 21.8 14.0 7.5 N/A
Small-Cap Equity
Cortina Small Cap Growth 4,551,479 2.2 -10.0 (100) -14.4 (100) -8.6 (100) 16.3 (88) 14.6 (53) 9.3 (24) 12.0 (N/A) 1y 11m
Russell 2000 Growth Index -6.1 (56) -4.0 (33) 3.8 (30) 21.9 (38) 15.5 (34) 9.0 (30) 20.3 (N/A)
Small-Cap Growth Peer Group Median -5.8 -5.5 1.9 20.1 14.7 8.0 N/A
Wellington Small Cap Value 4,922,991 2.4 -5.5 (18) -4.1 (51) 4.2 (64) 20.3 (58) 14.8 (34) 10.2 (1) 16.5 (N/A) 1y 11m
Russell 2000 Value Index -8.6 (80) -4.7 (65) 4.1 (64) 20.6 (54) 13.0 (71) 7.3 (75) 16.5 (N/A)
Small-Cap Value Peer Group Median -6.9 -4.1 5.2 21.2 14.2 7.9 N/A
International Equity
Walter Scott Int'l (Dreyfus) 17,930,801 8.7 -4.1 (10) -1.5 (46) -0.3 (92) 10.2 (92) 6.6 (55) N/A 6.8 (N/A) 1y 11m
MSCI AC World ex USA (Net) -5.3 (35) 0.0 (24) 4.8 (42) 11.8 (79) 6.0 (68) 7.1 (40) 10.7 (N/A)
International Equity Peer Group Median -5.8 -1.7 4.3 13.6 6.8 6.6 N/A
Northern Cross Int'l (Harbor) 17,598,696 8.5 -7.0 (80) -2.9 (70) 1.8 (79) 13.8 (46) 7.6 (35) 9.0 (13) 10.8 (N/A) 1y 11m
MSCI AC World ex USA (Net) -5.3 (35) 0.0 (24) 4.8 (42) 11.8 (79) 6.0 (68) 7.1 (40) 10.7 (N/A)
International Equity Peer Group Median -5.8 -1.7 4.3 13.6 6.8 6.6 N/A
Performance SummaryManager Asset Allocation & PerformanceAs of September 30, 2014
___________________________Returns are expressed as percentages. Returns for periods greater than one year are annualized.Peer group percentile ranks are shown in parentheses.
35
Performance SummaryManager Asset Allocation & PerformanceAs of September 30, 2014
Allocation
MarketValue
($) %
Performance(%)
Quarter
YearTo
Date1
Year3
Years5
Years10
YearsSince
InceptionInception
Period
Short Duration Fixed Income
Barrow Hanley Short Fixed 15,356,095 7.4 0.0 (46) 0.4 (84) 0.6 (84) 0.7 (86) 1.3 (82) 2.8 (57) 0.6 (N/A) 1y 11m
Barclays 1-3yr Gov/Credit 0.0 (26) 0.6 (71) 0.8 (79) 0.9 (78) 1.5 (77) 2.8 (54) 0.7 (N/A)
Short Duration Fixed Peer Group Median -0.1 0.8 1.2 1.6 2.1 2.9 N/A
Cash Composite 439,837 0.2 0.2 (1) 0.4 (1) 0.5 (1) 0.3 (1) N/A N/A 0.4 (N/A) 1y 11m
90 Day U.S. Treasury Bill 0.0 (10) 0.0 (8) 0.0 (10) 0.1 (16) 0.1 (13) 1.5 (37) 0.1 (N/A)
Money Market Funds Peer Group Median 0.0 0.0 0.0 0.0 0.0 1.5 N/A
Market Duration Fixed Income
Dodge & Cox Income Fund 26,344,631 12.7 0.0 (53) 4.6 (31) 5.8 (19) 4.8 (19) 5.3 (36) 5.3 (24) 7.3 (N/A) 25y 9m
Barclays U.S. Aggregate 0.2 (30) 4.1 (60) 4.0 (70) 2.4 (84) 4.1 (80) 4.6 (60) 6.8 (N/A)
Market Duration Fixed Peer Group Median 0.0 4.2 4.6 3.6 4.9 4.8 N/A
Met West Total Return Fund I 26,288,125 12.7 0.3 (13) 4.3 (43) 4.9 (37) 5.7 (9) 7.3 (4) 6.8 (1) 3.0 (N/A) 1y 11m
Barclays U.S. Aggregate 0.2 (30) 4.1 (60) 4.0 (70) 2.4 (84) 4.1 (80) 4.6 (60) 1.0 (N/A)
Market Duration Fixed Peer Group Median 0.0 4.2 4.6 3.6 4.9 4.8 N/A
Hedge Fund of Funds
Lighthouse Diversified 12,702,347 6.1 1.2 6.2 11.8 7.9 6.2 5.3 9.8 1y 11m
HFRI Fund of Funds Composite Index 0.3 2.4 6.1 5.2 3.4 3.4 6.7
Pointer Offshore LTD 12,476,151 6.0 -0.5 8.4 13.4 10.7 10.1 9.6 13.5 1y 9m
HFRI Fund of Funds Composite Index 0.3 2.4 6.1 5.2 3.4 3.4 6.4
Real Estate
Oaktree RE Opportunities Fund V 6,205,501 3.0 0.0 8.5 9.1 N/A N/A N/A 8.1 1y 8m
NCREIF Property Index 2.6 8.5 11.3 11.1 11.0 8.6 11.2
Walton Street Real Estate Fund VII, L.P. 3,332,934 1.6 0.0 16.1 18.6 N/A N/A N/A 17.1 1y 3m
NCREIF Property Index 2.6 8.5 11.3 11.1 11.0 8.6 11.2
Total Plan
Total Cash Balance Plan 206,857,289 100.0 -0.9 (10) 3.3 (32) 8.3 (27) 14.7 (12) 9.9 (34) 6.8 (24) 11.0 (N/A) 1y 11m
Total Cash Balance Plan Benchmark -0.9 (10) 3.8 (16) 8.5 (22) 13.0 (45) 9.8 (39) 6.3 (44) 10.1 (N/A)
Pre-Pavilion Total Cash Balance Plan Benchmark 0.0 (4) 6.5 (2) 12.8 (1) 15.1 (10) 11.0 (13) 6.9 (20) 13.2 (N/A)
Total Cash Balance Plan Peer Group Median -1.6 3.0 7.6 12.8 9.4 6.1 N/A
___________________________Returns are expressed as percentages. Returns for periods greater than one year are annualized.Peer group percentile ranks are shown in parentheses.
36
Cash Balance Plan - AssetClass Diversification
37
September 30, 2014 : $207,245,600
Target Allocation Actual Allocation Allocation Differences
0.0% 6.0% 12.0% 18.0% 24.0% 30.0% 36.0% 42.0%-6.0 %-12.0 %
Alternatives Composite$35,105,244
Market Duration Fixed Income Composite$52,632,756
Short Duration Fixed Income Composite$15,795,932
International Equity Composite$35,529,497
Domestic Equity Composite$68,182,171
20.0%
25.0%
5.0%
18.0%
32.0%
16.9%
25.4%
7.6%
17.1%
32.9%
-3.1 %
0.4%
2.6%
-0.9 %
0.9%
Asset Class DiversificationTotal Cash Balance Plan vs. Cash Balance Plan Target AllocationAs of September 30, 2014
_________________________* The Target Allocation was changed as of March 31, 2014 to reflect the allocation of the Investment Policy Statement. The underweight to alternatives is a result of unfunded capital commitments to private real estate.
38
Manager Asset Class/Type
Total Assets
($, mil.)
Large-Cap Domestic Equity $ 58.7
Vanguard S&P 500 Index Large-Cap Index $ 29.4
Sands Large-Cap Growth $ 14.4
Barrow Hanley Large-Cap Value $ 14.9
Asset Class DiversificationCash Balance Plan Investment Program StructureAs of September 30, 2014
Barrow Hanley Large-Cap Value $ 14.9
Small-Cap Domestic Equity $ 9.5
Cortina Small-Cap Growth $ 4.6
Wellington Small-Cap Value $ 4.9
International Equity $ 35.5
Walter Scott Developed and Emerging $ 17.9
Harbor Developed and Emerging $ 17.6
Short-Duration Fixed Income $ 15.8
Barrow Hanley Short Duration $ 15.4
Cash Money Market $ 0.4
Market-Duration Fixed Income $ 52.6
Dodge & Cox Market Duration $ 26.3
MetWest Market Duration $ 26.3MetWest Market Duration $ 26.3
Alternatives $ 34.7
Lighthouse HFOF $ 12.7
Pointer HFOF $ 12.5
Oaktree RE Opportunities Real Estate $ 6.2
Walton Street Real Estate $ 3.3
Total $206.9______________________________*Totals may not add due to rounding.1 The Target Allocation was changed as of March 31, 2014 to reflect the allocation of the Investment Policy Statement. The undto private real estate.
Total Assets
($, mil.)
Percent of
Total
Target
Allocation1
Weighting
Relative to
Target
Target
Range1
28.4% 27.0% + 1.4%
14.2% 13.5% + 0.7%
7.0% 6.8% + 0.2%
7.2% 6.8% + 0.4% 27-37%7.2% 6.8% + 0.4%
4.6% 5.0% - 0.4%
2.2% 2.5% - 0.3%
2.4% 2.5% - 0.1%
17.2% 18.0% - 0.8% 15-21%
8.7% 9.0% - 0.3%
8.5% 9.0% - 0.5%
7.6% 5.0% + 2.6% 0-8%
7.4% 5.0% + 2.4%
0.2% 0.0% + 0.2%
25.4% 25.0% + 0.4% 20-30%
12.7% 12.5% + 0.2%
12.7% 12.5% + 0.2%
27-37%
12.7% 12.5% + 0.2%
16.8% 20.0% - 3.2% 17-23%
6.1% 5.0% + 1.1%
6.0% 5.0% + 1.0%
3.0% 5.0% - 2.0%
1.6% 5.0% - 3.4%
$206.9 100.0%
The Target Allocation was changed as of March 31, 2014 to reflect the allocation of the Investment Policy Statement. The underweight to alternatives is a result of unfunded capital commitments
39
Top Ten Equity Holdings
PortfolioWeight
(%)
BenchmarkWeight
(%)
ActiveWeight
(%)
QuarterlyReturn
(%)
Visa Inc 1.1 0.3 0.9 1.5
Microsoft Corp 1.0 0.9 0.2 11.9
Apple Inc 1.0 1.4 -0.5 9.0
Amazon.com Inc 1.0 0.3 0.7 -0.7
Novo Nordisk A/S 0.9 0.2 0.7 4.0
Wells Fargo & Co 0.9 0.6 0.3 -0.6
Facebook Inc 0.9 0.4 0.5 17.5
Johnson & Johnson 0.9 0.7 0.1 2.6
Novartis AG 0.8 0.5 0.3 4.2
Roche Holding AG 0.8 0.5 0.4 -0.7
% of Portfolio 9.3 5.8
Portfolio Characteristics
Portfolio Benchmark
Wtd. Avg. Mkt. Cap ($M) 85,921 78,388
Median Mkt. Cap ($M) 13,884 1,393
Price/Earnings ratio 18.9 16.7
Price/Book ratio 2.7 2.5
5 Yr. EPS Growth Rate (%) 14.3 14.4
Current Yield (%) 2.0 2.5
Debt to Equity 0.9 1.0
Number of Stocks 808 8,511
Beta (5 Years, Monthly) 0.99 1.00
Consistency (5 Years, Monthly) 56.67 1.00
Sharpe Ratio (5 Years, Monthly) 0.90 0.77
Information Ratio (5 Years, Monthly) 0.58 -
Up Market Capture (5 Years, Monthly) 105.36 -
Down Market Capture (5 Years, Monthly) 96.08 -
Sector Weights (%)
Total Equity Composite MSCI AC World IMI
0.0 5.0 10.0 15.0 20.0 25.0 30.0
Cash
Utilities
Telecommunication Services
Materials
Information Technology
Industrials
Health Care
Financials
Energy
Consumer Staples
Consumer Discretionary
2.3
1.8
1.8
4.8
15.5
10.4
15.9
16.1
9.3
8.8
13.5
0.0
3.2
3.5
6.1
13.4
11.4
11.0
21.6
8.9
8.9
12.0
Distribution of Market Capitalization (%)
Total Equity Composite MSCI AC World IMI
0.0
15.0
30.0
45.0
60.0
>$75 Bil $20 Bil - $75 Bil
$5 Bil - $20 Bil
$0 - $5 Bil
Cash
31.1 31.3
22.8
14.8
0.0
34.0
42.8
11.29.7
2.3
Equity Portfolio - CharacteristicsCash Balance Plan Equity Composite vs. MSCI AC World IMIAs of September 30, 2014
40
Total EquityComposite MSCI AC World IMI
Australia 1.2 2.6
Hong Kong 2.3 1.8
Japan 4.8 7.6
New Zealand 0.0 0.1
Singapore 0.6 0.6
Pacific 9.0 12.7
Austria 0.1 0.1
Belgium 0.4 0.5
Finland 0.3 0.3
France 4.7 3.0
Germany 2.5 2.9
Ireland 0.5 0.5
Italy 0.3 0.9
Netherlands 1.0 1.2
Portugal 0.0 0.1
Spain 1.1 1.2
EMU 10.9 10.7
Denmark 0.9 0.6
Norway 0.0 0.4
Sweden 1.2 1.1
Switzerland 4.8 3.3
United Kingdom 6.8 7.5
Europe ex EMU 13.8 12.8
Canada 0.6 3.9
United States 60.9 49.6
Israel 0.5 0.2
Middle East 0.5 0.2
Developed Markets 95.6 89.9
Total EquityComposite MSCI AC World IMI
Brazil 0.2 1.0
Cayman Islands 0.0 0.0
Chile 0.0 0.2
Colombia 0.0 0.1
Mexico 0.0 0.5
Peru 0.0 0.0
Virgin Islands 0.0 0.0
EM Latin America 0.2 1.9
China 0.9 1.3
India 0.0 0.8
Indonesia 0.0 0.3
Korea 0.0 1.6
Malaysia 0.3 0.4
Philippines 0.0 0.1
Taiwan 0.4 1.4
Thailand 0.0 0.3
EM Asia 1.6 6.2
Czech Republic 0.0 0.0
Egypt 0.0 0.0
Greece 0.0 0.1
Hungary 0.0 0.0
Poland 0.0 0.2
Qatar 0.0 0.1
Russia 0.0 0.4
South Africa 0.0 0.8
Turkey 0.0 0.2
United Arab Emirates 0.0 0.1
EM Europe + Middle East + Africa 0.0 1.9
Emerging Markets 1.9 9.9
Frontier Markets 0.0 0.0
Cash 2.3 0.0
Other 0.2 0.1
Total 100.0 100.0
Equity Portfolio - Country/Region AllocationCash Balance Plan Equity Composite vs. MSCI AC World IMIAs of September 30, 2014
41
Portfolio Characteristics
Maturity Distribution (%)
Credit Quality Distribution (%)
Risk Characteristics - 5 Years
Sector Distribution (%)
Total Fixed Income Composite Total Fixed Income Benchmark
0.0
25.0
50.0
75.0
100.0
AAA AA ABBB BB B
Below
B
Not Rat
ed
72.9
5.311.0 10.8
0.0 0.0 0.0 0.0
56.4
5.8
13.416.3
4.41.1 2.5
0.1
Portfolio Benchmark
Effective Duration 3.8 4.5
Avg. Maturity 6.5 6.1
Avg. Quality AA- AA+
Yield To Maturity (%) 2.2 1.8
ConsistencySharpeRatio
InformationRatio
UpMarket
Capture
DownMarket
Capture
Total Fixed Income Composite 61.7 2.4 0.7 101.3 35.1
Total Fixed Income Benchmark 0.0 1.6 N/A 100.0 100.0
90 Day U.S. Treasury Bill 30.0 N/A -1.6 1.1 -1.1
Total Fixed Income Composite Total Fixed Income Benchmark
0.0
15.0
30.0
45.0
60.0
Treasu
ries
TIPS
Agenc
ies
Credi
t
Hig
h Yie
ldM
BSABS
Non-U
S
Emer
ging
Munic
ipal
s
Cas
h
Oth
er
CMBS
43.6
0.0
5.6
18.2
0.0
20.7
0.4
8.1
2.00.0 0.0 0.0 1.4
23.9
0.53.0
29.9
0.8
23.7
7.3
2.90.1 0.6 1.5 0.2
5.6
Total Fixed Income Composite Total Fixed Income Benchmark
0.0
20.0
40.0
60.0
80.0
< 1 Yr
1 < 3 Yrs
3 < 5 Yrs
5 <
10 Yrs
10 <
20 Yrs
> 20
Yrs
0.0
46.4
14.3
29.8
2.2
7.34.1
36.1
18.3
29.4
4.57.6
Fixed Income Portfolio - CharacteristicsCash Balance Plan Fixed Income Composite vs. Total Fixed Income BenchmarkAs of September 30, 2014
42
Performance SummaryCash Balance Plan Private Real Estate InvestmentAs of June 30, 2014* ($ in Millions)
Partnership
Vintage
Year Fund Type
Committed
Capital
Paid-in
Capital
Outstanding
Commitment
Market
Value1
Distributions
Total
Value
Net
IRR2
TV / PI
Oaktree RE Opportunities VI 2012 Private RE $8.4 $8.4 $2.5 $6.2 $2.8 $9.0 4.8% 1.1
Walton Street RE Fund VII 2012 Private RE $8.4 $3.0 $5.4 $3.3 $0.3 $3.7 12.5% 1.2
* Data as of September 30, 2014 was unavailable at time of report production.1 If a market value has not yet been released for a particular fund, the previous quarter’s value is adjusted according to subsequent contributions and distributions.2 Net IRR is through the previous quarter end.
43
Manager Evaluation
44
Historical Performance
Three Year Rolling Percentile Ranking Relative Performance
Historical Statistics (Oct-2009 - Sep-2014)
Quarter
YearTo
Date1
Year3
Years5
Years10
Years 2013 2012 2011 2010 2009 2008 2007 2006 2005 2004
Vanguard S&P 500 Index 1.1 8.3 19.7 23.0 15.7 8.1 32.3 16.0 2.1 15.0 26.6 -37.0 5.5 15.8 4.9 10.9
S&P 500 1.1 8.3 19.7 23.0 15.7 8.1 32.4 16.0 2.1 15.1 26.5 -37.0 5.5 15.8 4.9 10.9
Large-Cap Equity Peer Group Median 0.1 6.0 16.4 21.5 14.3 7.8 32.4 14.6 -1.0 14.0 27.8 -37.5 6.2 13.3 5.9 10.2
Vanguard S&P 500 Index Rank 25 15 17 30 24 42 51 36 22 38 56 45 55 32 62 44
Cumulative Annualized Over/Under Relative Performance
Over/Under Performance
0.0
0.1
0.2
-0.1
-0.2
Re
turn
(%)
12/04 12/05 12/06 12/07 12/08 12/09 12/10 12/11 12/12 9/14
Vanguard S&P 500 Index S&P 500
0
25
50
75
100
Re
turn
Pe
rce
nti
le R
an
k
12/04 12/05 12/06 12/07 12/08 12/09 12/10 12/11 12/12 9/14
ReturnStandardDeviation
ExcessReturn Alpha Beta
SharpeRatio
TrackingError
InformationRatio
DownsideRisk Consistency
InceptionDate
Vanguard S&P 500 Index 15.7 14.1 15.8 0.0 1.0 1.1 0.0 -1.3 8.1 20.0 24y 2m
S&P 500 15.7 14.1 15.8 0.0 1.0 1.1 0.0 N/A 8.1 0.0 24y 2m
90 Day U.S. Treasury Bill 0.1 0.0 0.0 0.1 0.0 N/A 14.1 -1.1 0.0 20.0 24y 2m
Manager EvaluationVanguard S&P 500 Index vs. S&P 500As of September 30, 2014
45
Top Ten Equity Holdings
PortfolioWeight
(%)
BenchmarkWeight
(%)
ActiveWeight
(%)
QuarterlyReturn
(%)
Apple Inc 3.4 3.4 0.0 9.0
Exxon Mobil Corp 2.3 2.3 0.0 -5.9
Microsoft Corp 2.2 2.2 0.0 11.9
Johnson & Johnson 1.7 1.7 0.0 2.6
General Electric Co 1.5 1.5 0.0 -1.7
Berkshire Hathaway Inc 1.4 1.4 0.0 9.1
Wells Fargo & Co 1.4 1.4 0.0 -0.6
Procter & Gamble Co (The) 1.3 1.3 0.0 7.4
Chevron Corp 1.3 1.3 0.0 -7.8
JPMorgan Chase & Co 1.3 1.3 0.0 5.3
% of Portfolio 17.8 17.8
Portfolio Characteristics
Portfolio Benchmark
Wtd. Avg. Mkt. Cap ($M) 129,536 129,536
Median Mkt. Cap ($M) 17,148 17,148
Price/Earnings ratio 18.6 18.6
Price/Book ratio 2.9 2.9
5 Yr. EPS Growth Rate (%) 14.5 14.5
Current Yield (%) 2.0 2.0
Debt to Equity 1.2 1.2
Number of Stocks 502 502
Beta (5 Years, Monthly) 1.00 1.00
Consistency (5 Years, Monthly) 26.67 1.00
Sharpe Ratio (5 Years, Monthly) 1.18 1.18
Information Ratio (5 Years, Monthly) -1.14 -
Up Market Capture (5 Years, Monthly) 99.95 -
Down Market Capture (5 Years, Monthly) 100.05 -
Sector Weights (%)
Vanguard S&P 500 Index S&P 500
0.0 5.0 10.0 15.0 20.0 25.0
Utilities
Telecommunication Services
Materials
Information Technology
Industrials
Health Care
Financials
Energy
Consumer Staples
Consumer Discretionary
3.0
2.4
3.5
19.7
10.3
13.9
16.3
9.7
9.5
11.7
3.0
2.4
3.5
19.7
10.3
13.9
16.3
9.7
9.5
11.7
Distribution of Market Capitalization (%)
Vanguard S&P 500 Index S&P 500
0.0
15.0
30.0
45.0
60.0
>$75 Bil $20 Bil - $75 Bil
$5 Bil - $20 Bil
$0 - $5 Bil
48.7
34.7
16.1
0.5
48.7
34.7
16.1
0.5
Manager EvaluationVanguard S&P 500 Index vs. S&P 500As of September 30, 2014
46
Historical Performance
Buy and Hold Attribution
Risk and Return (Oct - 2009 - Sep - 2014)Three Year Rolling Percentile Ranking
Quarter
YearTo
Date1
Year3
Years5
Years10
Years 2013 2012 2011 2010 2009 2008 2007 2006 2005 2004
Sands LCG (Touchstone) 2.9 4.3 14.4 25.6 21.1 N/A 41.3 23.8 2.3 26.3 71.1 -48.5 18.7 -5.9 N/A N/A
Russell 1000 Growth Index 1.5 7.9 19.1 22.4 16.5 8.9 33.5 15.3 2.6 16.7 37.2 -38.4 11.8 9.1 5.3 6.3
Large Cap Growth Peer Group Median 1.1 5.5 16.7 21.5 15.1 8.5 34.6 14.6 -0.8 15.3 33.4 -38.3 13.8 7.1 6.2 7.7
Sands LCG (Touchstone) Rank 9 69 73 8 2 N/A 13 1 21 1 1 98 24 100 N/A N/A
8.0
12.0
16.0
20.0
24.0
28.0
Re
turn
(%)
12.0 14.0 16.0 18.0 20.0Risk (Standard Deviation %)
Russell 1000 Growth Index
Sands LCG (Touchstone)
Sands LCG (Touchstone) Russell 1000 Growth Index
0
25
50
75
100
Re
turn
Pe
rce
nti
le R
an
k
12/04 12/05 12/06 12/07 12/08 12/09 12/10 12/11 12/12 9/14
Average Active Weight
0.0 15.0 30.0-15.0-30.0
Utilities
Telecommunication ServicesMaterials
Information Technology
Industrials
Health CareFinancials
Energy
Consumer StaplesConsumer Discretionary
Cash
-0.1
-2.3-0.5
8.0
-12.3
4.7-2.7
6.9
-10.0
5.72.5
Allocation(Total: 0.1)
0.0 0.8 1.6-0.8-1.6
0.0
-0.10.0
0.2
0.4
0.30.1
-0.8
0.1
-0.10.0
Stock(Total: 1.5)
0.0 0.8 1.6-0.8-1.6
0.0
0.0-0.4
0.8
0.0
0.90.3
-0.5
0.0
0.40.0
Sands LCG (Touchstone)
0.0 0.9 1.8 2.7-0.9-1.8-2.7
0.0
-0.1-0.3
1.0
0.4
1.20.4
-1.3
0.1
0.30.0
Manager EvaluationSands Large Cap Growth (Touchstone) vs. Russell 1000 Growth IndexAs of September 30, 2014
Differences between the manager return and the attribution return are due primarily to the effects of fees and portfolio trading.
47
Top Ten Equity Holdings
PortfolioWeight
(%)
BenchmarkWeight
(%)
ActiveWeight
(%)
QuarterlyReturn
(%)
Visa Inc 7.0 1.1 5.9 1.5
Amazon.com Inc 5.6 1.2 4.4 -0.7
Baidu Inc 5.3 0.0 5.3 16.8
Chipotle Mexican Grill Inc 5.0 0.2 4.8 12.5
Regeneron Pharmaceuticals Inc 4.5 0.3 4.2 27.6
LinkedIn Corp 4.5 0.2 4.3 21.2
Facebook Inc 4.4 1.5 2.9 17.5
Biogen Idec Inc 3.9 0.8 3.1 4.9
Salesforce.com Inc. 3.8 0.4 3.5 -0.9
Nike Inc 3.7 0.6 3.1 15.4
% of Portfolio 47.6 6.2
Portfolio Characteristics
Portfolio Benchmark
Wtd. Avg. Mkt. Cap ($M) 74,368 116,514
Median Mkt. Cap ($M) 41,644 8,528
Price/Earnings ratio 33.7 21.9
Price/Book ratio 6.0 4.9
5 Yr. EPS Growth Rate (%) 24.7 17.8
Current Yield (%) 0.5 1.5
Debt to Equity 0.2 1.4
Number of Stocks 31 674
Beta (5 Years, Monthly) 1.13 1.00
Consistency (5 Years, Monthly) 55.00 1.00
Sharpe Ratio (5 Years, Monthly) 1.24 1.20
Information Ratio (5 Years, Monthly) 0.66 -
Up Market Capture (5 Years, Monthly) 116.70 -
Down Market Capture (5 Years, Monthly) 102.78 -
Sector Weights (%)
Sands Large Cap Growth (Touchstone)
Russell 1000 Growth Index
0.0 10.0 20.0 30.0 40.0 50.0
Cash
Utilities
Telecommunication Services
Materials
Information Technology
Industrials
Health Care
Financials
Energy
Consumer Staples
Consumer Discretionary
2.2
0.0
0.0
3.3
37.9
0.0
17.8
2.7
10.5
1.9
23.6
0.0
0.1
2.4
4.2
28.4
11.9
13.6
5.1
5.7
10.3
18.2
Distribution of Market Capitalization (%)
Sands Large Cap Growth (Touchstone)
Russell 1000 Growth Index
0.0
20.0
40.0
60.0
80.0
>$75 Bil $20 Bil - $75 Bil
$5 Bil - $20 Bil
$0 - $5 Bil
Cash
43.0
31.4
21.3
4.20.0
29.6
55.4
10.9
2.0 2.2
Manager EvaluationSands Large Cap Growth (Touchstone) vs. Russell 1000 Growth IndexAs of September 30, 2014
__________________Holdings are as of August 31, 2014. Holdings as of September 30, 2014 were unavailable at time of report production.
48
Historical Performance
Buy and Hold Attribution
Risk and Return (Oct - 2009 - Sep - 2014)Three Year Rolling Percentile Ranking
Quarter
YearTo
Date1
Year3
Years5
Years10
Years 2013 2012 2011 2010 2009 2008 2007 2006 2005 2004
Barrow Hanley Large Cap Value 1.1 8.4 19.2 24.0 15.9 8.0 34.7 15.3 2.3 10.8 23.7 -35.3 1.9 14.6 10.0 20.5
Russell 1000 Value Index -0.2 8.1 18.9 23.9 15.3 7.8 32.5 17.5 0.4 15.5 19.7 -36.8 -0.2 22.2 7.1 16.5
Large Cap Value Peer Group Median -0.3 6.1 16.2 21.8 14.0 7.5 31.7 15.0 -1.5 13.5 25.4 -37.3 2.9 16.6 6.1 12.5
Barrow Hanley Large Cap Value Rank 14 13 20 21 15 36 27 47 19 85 62 28 58 71 15 1
14.4
15.0
15.6
16.2
16.8
Re
turn
(%)
13.6 14.0 14.4 14.8 15.2 15.6 16.0 16.4Risk (Standard Deviation %)
Russell 1000 Value Index
Barrow Hanley Large Cap Value
Barrow Hanley Large Cap Value Russell 1000 Value Index
0
25
50
75
100
Re
turn
Pe
rce
nti
le R
an
k
12/04 12/05 12/06 12/07 12/08 12/09 12/10 12/11 12/12 9/14
Average Active Weight
0.0 10.0 20.0-10.0-20.0
Utilities
Telecommunication ServicesMaterials
Information Technology
Industrials
Health CareFinancials
Energy
Consumer StaplesConsumer Discretionary
Cash
-5.3
2.6-3.4
3.3
-1.4
10.5-2.6
-0.2
-3.0
-1.71.2
Allocation(Total: 0.7)
0.0 0.3 0.6-0.3-0.6
0.2
0.00.1
0.2
0.0
0.3-0.1
0.0
-0.1
0.00.0
Stock(Total: 0.9)
0.0 0.6 1.2-0.6-1.2
0.0
0.00.0
0.0
0.6
0.30.0
-0.1
-0.4
0.40.0
Barrow Hanley Large Cap Value
0.0 0.5 1.0 1.5-0.5-1.0-1.5
0.2
0.10.1
0.2
0.7
0.60.0
-0.1
-0.5
0.50.0
Manager EvaluationBarrow Hanley Large Cap Value vs. Russell 1000 Value IndexAs of September 30, 2014
Differences between the manager return and the attribution return are due primarily to the effects of fees and portfolio trading.
49
Top Ten Equity Holdings
PortfolioWeight
(%)
BenchmarkWeight
(%)
ActiveWeight
(%)
QuarterlyReturn
(%)
Unitedhealth Group Inc 3.4 0.9 2.6 6.0
Wells Fargo & Co 3.3 2.5 0.8 -0.6
Microsoft Corp 3.3 1.4 1.9 11.9
Sanofi 3.2 0.0 3.2 6.1
JPMorgan Chase & Co 3.1 2.3 0.8 5.3
American Express Co 3.0 0.0 3.0 -7.5
Raytheon Co. 2.9 0.3 2.6 10.8
Medtronic Inc 2.9 0.6 2.3 -2.4
State Street Corp 2.9 0.3 2.6 9.9
Oracle Corp 2.9 0.0 2.9 -5.3
% of Portfolio 30.8 8.3
Portfolio Characteristics
Portfolio Benchmark
Wtd. Avg. Mkt. Cap ($M) 116,842 112,109
Median Mkt. Cap ($M) 66,776 6,878
Price/Earnings ratio 15.5 16.5
Price/Book ratio 2.1 2.0
5 Yr. EPS Growth Rate (%) 14.1 11.2
Current Yield (%) 2.9 2.4
Debt to Equity 1.4 0.9
Number of Stocks 45 690
Beta (5 Years, Monthly) 0.99 1.00
Consistency (5 Years, Monthly) 46.67 1.00
Sharpe Ratio (5 Years, Monthly) 1.14 1.11
Information Ratio (5 Years, Monthly) 0.18 -
Up Market Capture (5 Years, Monthly) 98.43 -
Down Market Capture (5 Years, Monthly) 91.94 -
Sector Weights (%)
Barrow Hanley Large Cap Value Russell 1000 Value Index
0.0 8.0 16.0 24.0 32.0 40.0
Cash
Utilities
Telecommunication Services
Materials
Information Technology
Industrials
Health Care
Financials
Energy
Consumer Staples
Consumer Discretionary
2.5
1.0
4.9
1.0
10.7
9.3
23.6
25.8
12.2
2.9
6.2
0.0
6.0
2.3
3.3
9.4
10.2
13.5
29.2
12.9
7.1
6.2
Distribution of Market Capitalization (%)
Barrow Hanley Large Cap Value Russell 1000 Value Index
0.0
15.0
30.0
45.0
60.0
>$75 Bil $20 Bil - $75 Bil
$5 Bil - $20 Bil
$0 - $5 Bil
Cash
42.4
31.3
20.1
6.2
0.0
50.9
42.7
3.40.5
2.5
Manager EvaluationBarrow Hanley Large Cap Value vs. Russell 1000 Value IndexAs of September 30, 2014
50
Historical Performance
Buy and Hold Attribution
Risk and Return (Oct - 2009 - Sep - 2014)Three Year Rolling Percentile Ranking
Quarter
YearTo
Date1
Year3
Years5
Years10
Years 2013 2012 2011 2010 2009 2008 2007 2006 2005 2004
Cortina Small Cap Growth -10.0 -14.5 -8.6 16.3 14.6 9.3 49.2 6.5 2.2 36.1 50.8 -45.4 11.5 11.4 5.0 N/A
Russell 2000 Growth Index -6.1 -4.0 3.8 21.9 15.5 9.0 43.3 14.6 -2.9 29.1 34.5 -38.5 7.0 13.3 4.2 14.3
Small Cap Growth Peer Group Median -5.8 -5.5 1.9 20.1 14.7 8.0 44.7 12.7 -2.7 27.7 34.5 -40.6 9.9 9.9 5.8 11.3
Cortina Small Cap Growth Rank 100 100 100 88 53 24 22 92 15 5 9 82 39 42 59 N/A
12.8
13.6
14.4
15.2
16.0
16.8
Re
turn
(%)
16.0 18.0 20.0 22.0 24.0 26.0Risk (Standard Deviation %)
Russell 2000 Growth Index
Cortina Small Cap Growth
Cortina Small Cap Growth Russell 2000 Growth Index
0
25
50
75
100
Re
turn
Pe
rce
nti
le R
an
k
12/04 12/05 12/06 12/07 12/08 12/09 12/10 12/11 12/12 9/14
Average Active Weight
0.0 5.0 10.0-5.0-10.0
Utilities
Telecommunication ServicesMaterials
Information Technology
Industrials
Health CareFinancials
Energy
Consumer StaplesConsumer Discretionary
Cash
-0.2
1.7-5.5
2.9
-5.3
4.8-1.1
4.2
-1.9
-1.01.5
Allocation(Total: -0.1)
0.0 0.4 0.8-0.4-0.8
0.0
0.00.1
0.0
0.1
0.20.0
-0.5
-0.1
0.00.1
Stock(Total: -4.0)
0.0 2.0-2.0-4.0
0.0
-0.10.0
-1.8
-0.4
-1.6-0.5
-0.4
0.1
0.80.0
Cortina Small Cap Growth
0.0 1.0 2.0-1.0-2.0-3.0
0.0
-0.10.1
-1.8
-0.3
-1.4-0.5
-0.9
0.0
0.80.1
Manager EvaluationCortina Small Cap Growth vs. Russell 2000 Growth IndexAs of September 30, 2014
Differences between the manager return and the attribution return are due primarily to the effects of fees and portfolio trading.
51
Top Ten Equity Holdings
PortfolioWeight
(%)
BenchmarkWeight
(%)
ActiveWeight
(%)
QuarterlyReturn
(%)
Spectranetics Corp(The) 1.9 0.1 1.8 16.1
inContact Inc 1.8 0.1 1.7 -5.4
Fiesta Restaurant Group Inc 1.7 0.2 1.5 7.0
Motorcar Parts of America Inc 1.7 0.1 1.6 11.7
AtriCure Inc 1.6 0.0 1.6 -19.9
Boulder Brands Inc 1.6 0.1 1.5 -3.9
Neogenomics Inc 1.5 0.0 1.5 56.9
NxStage Medical Inc 1.5 0.1 1.4 -8.6
Inphi Corp 1.5 0.1 1.4 -2.0
Five Below Inc 1.4 0.3 1.1 -0.8
% of Portfolio 16.2 1.0
Portfolio Characteristics
Portfolio Benchmark
Wtd. Avg. Mkt. Cap ($M) 761 1,847
Median Mkt. Cap ($M) 471 785
Price/Earnings ratio 35.4 24.2
Price/Book ratio 3.1 3.7
5 Yr. EPS Growth Rate (%) 22.6 17.4
Current Yield (%) 0.1 0.6
Debt to Equity 0.3 -5.5
Number of Stocks 107 1,151
Beta (5 Years, Monthly) 1.03 1.00
Consistency (5 Years, Monthly) 46.67 1.00
Sharpe Ratio (5 Years, Monthly) 0.77 0.86
Information Ratio (5 Years, Monthly) -0.07 -
Up Market Capture (5 Years, Monthly) 99.45 -
Down Market Capture (5 Years, Monthly) 101.42 -
Sector Weights (%)
Cortina Small Cap Growth Russell 2000 Growth Index
0.0 8.0 16.0 24.0 32.0 40.0
Cash
Utilities
Telecommunication Services
Materials
Information Technology
Industrials
Health Care
Financials
Energy
Consumer Staples
Consumer Discretionary
2.0
0.0
2.6
0.0
26.9
8.2
27.5
6.5
9.4
2.3
14.8
0.0
0.2
0.8
5.4
25.9
14.7
21.7
7.6
4.7
3.9
15.2
Distribution of Market Capitalization (%)
Cortina Small Cap Growth Russell 2000 Growth Index
0.0
50.0
100.0
150.0
$5 Bil - $20 Bil
$0 - $5 Bil
Cash
0.7
99.3
0.00.0
98.0
2.0
Manager EvaluationCortina Small Cap Growth vs. Russell 2000 Growth IndexAs of September 30, 2014
52
Historical Performance
Buy and Hold Attribution
Risk and Return (Oct - 2009 - Sep - 2014)Three Year Rolling Percentile Ranking
Quarter
YearTo
Date1
Year3
Years5
Years10
Years 2013 2012 2011 2010 2009 2008 2007 2006 2005 2004
Wellington Small Cap Value -5.7 -4.2 4.0 20.3 14.9 10.2 33.7 15.6 1.2 26.4 31.2 -26.5 -3.0 19.9 10.4 20.8
Russell 2000 Value Index -8.6 -4.7 4.1 20.6 13.0 7.3 34.5 18.1 -5.5 24.5 20.6 -28.9 -9.8 23.5 4.7 22.2
Small Cap Value Peer Group Median -6.9 -4.1 5.2 21.2 14.2 7.9 37.0 16.2 -3.5 25.9 29.7 -35.9 -4.5 15.9 6.7 19.8
Wellington Small Cap Value Rank 20 54 65 57 33 1 72 55 9 44 44 10 40 20 16 40
10.0
12.0
14.0
16.0
18.0
Re
turn
(%)
16.0 16.5 17.0 17.5 18.0 18.5 19.0Risk (Standard Deviation %)
Russell 2000 Value Index
Wellington Small Cap Value
Wellington Small Cap Value Russell 2000 Value Index
0
25
50
75
100
Re
turn
Pe
rce
nti
le R
an
k
12/04 12/05 12/06 12/07 12/08 12/09 12/10 12/11 12/12 9/14
Average Active Weight
0.0 15.0 30.0-15.0-30.0
UtilitiesTelecommunication Services
OtherMaterials
Information TechnologyIndustrials
Health CareFinancials
EnergyConsumer Staples
Consumer DiscretionaryCash
-2.7-0.8
0.02.62.4
5.37.2
-18.0-1.0
0.8-0.1
4.3
Allocation(Total: -0.1)
0.0 0.6 1.2-0.6-1.2
0.00.0
0.00.0
0.0-0.1
0.1-0.6
0.10.00.0
0.4
Stock(Total: 3.1)
0.0 1.0 2.0-1.0
0.20.00.0
-0.1-0.2
1.41.2
-0.10.4
0.00.4
0.0
Wellington Small Cap Value
0.0 0.8 1.6 2.4-0.8-1.6
0.30.0
0.0-0.2-0.2
1.21.3
-0.70.5
0.00.40.4
Manager EvaluationWellington Small Cap Value vs. Russell 2000 Value IndexAs of September 30, 2014
Differences between the manager return and the attribution return are due primarily to the effects of fees and portfolio trading.
53
Top Ten Equity Holdings
PortfolioWeight
(%)
BenchmarkWeight
(%)
ActiveWeight
(%)
QuarterlyReturn
(%)
Belden Inc 3.2 0.0 3.2 -18.0
Charles River Laboratories International Inc 2.5 0.0 2.5 11.6
Mueller Industries Inc. 2.4 0.1 2.4 -2.7
Helen of Troy Ltd 2.4 0.1 2.3 -13.4
G&K Services Inc 2.2 0.1 2.0 6.9
Cato Corp (The) 2.2 0.1 2.1 12.5
ICU Medical Inc 2.1 0.1 2.0 5.5
GATX Corp. 2.0 0.0 2.0 -12.3
United Stationers Inc 2.0 0.2 1.8 -9.1
Cubic Corp 2.0 0.1 1.9 5.4
% of Portfolio 22.9 0.8
Portfolio Characteristics
Portfolio Benchmark
Wtd. Avg. Mkt. Cap ($M) 1,555 1,557
Median Mkt. Cap ($M) 1,435 601
Price/Earnings ratio 19.7 17.4
Price/Book ratio 1.8 1.6
5 Yr. EPS Growth Rate (%) 5.3 9.9
Current Yield (%) 1.6 2.1
Debt to Equity 0.9 -2.4
Number of Stocks 76 1,307
Beta (5 Years, Monthly) 0.87 1.00
Consistency (5 Years, Monthly) 53.33 1.00
Sharpe Ratio (5 Years, Monthly) 0.95 0.77
Information Ratio (5 Years, Monthly) 0.33 -
Up Market Capture (5 Years, Monthly) 93.18 -
Down Market Capture (5 Years, Monthly) 81.53 -
Sector Weights (%)
Wellington Small Cap Value Russell 2000 Value Index
0.0 10.0 20.0 30.0 40.0 50.0
Cash
Utilities
Telecommunication Services
Materials
Information Technology
Industrials
Health Care
Financials
Energy
Consumer Staples
Consumer Discretionary
4.9
2.7
0.0
7.5
11.9
22.2
13.4
19.9
5.3
3.7
8.7
0.0
6.2
0.8
4.6
10.1
13.1
4.9
40.1
6.3
2.6
11.2
Distribution of Market Capitalization (%)
Wellington Small Cap Value Russell 2000 Value Index
0.0
50.0
100.0
150.0
$0 - $5 Bil
Cash
100.0
0.0
95.1
4.9
Manager EvaluationWellington Small Cap Value vs. Russell 2000 Value IndexAs of September 30, 2014
54
Historical Performance
Buy and Hold Attribution
Risk and Return (Oct - 2009 - Sep - 2014)Three Year Rolling Percentile Ranking
Quarter
YearTo
Date1
Year3
Years5
Years10
Years 2013 2012 2011 2010 2009 2008 2007 2006 2005 2004
Walter Scott Int'l (Dreyfus) -4.1 -1.5 -0.3 10.2 6.6 N/A 9.0 21.0 -9.9 14.0 34.9 -31.6 8.5 N/A N/A N/A
MSCI AC World ex USA (Net) -5.3 0.0 4.8 11.8 6.0 7.1 15.3 16.8 -13.7 11.2 41.4 -45.5 16.7 26.7 16.6 20.9
International Equity Peer Group Median -5.8 -1.7 4.3 13.6 6.8 6.6 20.8 18.4 -13.7 11.6 33.5 -44.4 11.9 25.2 15.0 18.5
Walter Scott Int'l (Dreyfus) Rank 10 46 92 92 55 N/A 100 25 19 34 45 1 76 N/A N/A N/A
5.0
5.5
6.0
6.5
7.0
7.5
Re
turn
(%)
11.7 12.6 13.5 14.4 15.3 16.2 17.1 18.0Risk (Standard Deviation %)
MSCI AC World ex USA (Net)
Walter Scott Int'l (Dreyfus)
Walter Scott Int'l (Dreyfus) MSCI AC World ex USA (Net)
0
25
50
75
100
Re
turn
Pe
rce
nti
le R
an
k
12/04 12/05 12/06 12/07 12/08 12/09 12/10 12/11 12/12 9/14
Average Active Weight
0.0 15.0-15.0-30.0
Utilities
Telecommunication ServicesMaterials
Information Technology
Industrials
Health CareFinancials
Energy
Consumer StaplesConsumer Discretionary
Cash
1.1
-3.6-2.5
-1.0
-3.3
4.8-12.5
3.1
5.0
5.13.8
Allocation(Total: 0.0)
0.0 0.3 0.6-0.3-0.6
0.0
-0.10.1
0.0
0.0
0.3-0.2
-0.2
0.0
-0.10.2
Stock(Total: 1.6)
0.0 0.4 0.8-0.4-0.8
0.2
0.40.3
0.0
0.3
0.20.2
0.3
0.0
-0.20.0
Walter Scott Int'l (Dreyfus)
0.0 0.3 0.6 0.9-0.3-0.6-0.9
0.2
0.20.4
0.0
0.3
0.50.0
0.2
0.0
-0.30.2
Manager EvaluationWalter Scott Int'l (Dreyfus) vs. MSCI AC World ex USA (Net)As of September 30, 2014
Differences between the manager return and the attribution return are due primarily to the effects of fees and portfolio trading.
55
Total Attribution
0.0 0.3 0.6 0.9 1.2 1.5 1.8 2.1 2.4-0.3-0.6-0.9-1.2
Pacific
Other
North America
Middle East
Europe ex EMU
EMU
EM Latin America
EM Europe + Middle East + Africa
EM Asia
Cash
1.5
0.0
-0.3
0.0
0.3
0.0
0.0
0.1
-0.3
0.2
Performance Attribution
Average Active Weight
0.0 10.0 20.0 30.0-10.0-20.0
Pacific
Other
North America
Middle East
Europe ex EMU
EMU
EM Latin America
EM Europe + Middle East + Africa
EM Asia
Cash
14.8
0.3
-5.1
-0.4
7.5
-4.3
-4.0
-4.0
-8.7
3.8
Allocation(Total: 0.4)
0.0 0.3 0.6-0.3-0.6
0.3
0.0
0.0
0.0
0.0
0.1
0.0
0.1
-0.3
0.2
Stock(Total: 1.2)
0.0 0.6 1.2 1.8 2.4-0.6-1.2
1.2
0.0
-0.3
0.0
0.3
-0.2
0.0
0.0
0.0
0.0
Manager EvaluationWalter Scott Int'l (Dreyfus) vs. MSCI AC World ex USA (Net)1 Quarter Ending September 30, 2014
56
Top Ten Equity Holdings
PortfolioWeight
(%)
BenchmarkWeight
(%)
ActiveWeight
(%)
QuarterlyReturn
(%)
Novo Nordisk A/S 2.6 0.5 2.1 4.0
Novartis AG 2.3 1.2 1.2 4.2
Sabmiller PLC 2.3 0.3 2.0 -2.6
Hong Kong & China Gas Co Ltd 2.3 0.1 2.2 -0.2
Reckitt Benckiser Group PLC 2.3 0.3 2.0 0.6
Daito Trust Construction Co Ltd 2.3 0.1 2.2 1.9
CSL Ltd 2.2 0.2 2.1 4.3
Cnooc Ltd 2.2 0.2 2.1 -2.8
Shin-Etsu Chemical Co Ltd 2.2 0.2 2.0 8.3
Fanuc Corp 2.2 0.2 2.0 5.4
% of Portfolio 23.0 3.1
Portfolio Characteristics
Portfolio Benchmark
Wtd. Avg. Mkt. Cap ($M) 61,930 57,117
Median Mkt. Cap ($M) 30,804 7,225
Price/Earnings ratio 18.3 14.7
Price/Book ratio 2.7 2.1
5 Yr. EPS Growth Rate (%) 10.8 13.8
Current Yield (%) 2.7 3.1
Debt to Equity 0.5 1.2
Number of Stocks 58 1,829
Beta (5 Years, Monthly) 0.81 1.00
Consistency (5 Years, Monthly) 50.00 1.00
Sharpe Ratio (5 Years, Monthly) 0.53 0.44
Information Ratio (5 Years, Monthly) 0.03 -
Up Market Capture (5 Years, Monthly) 85.39 -
Down Market Capture (5 Years, Monthly) 78.70 -
Sector Weights (%)
Walter Scott Int'l (Dreyfus) MSCI AC World ex USA (Net)
0.0 6.0 12.0 18.0 24.0 30.0 36.0
Cash
Utilities
Telecommunication Services
Materials
Information Technology
Industrials
Health Care
Financials
Energy
Consumer Staples
Consumer Discretionary
3.2
3.8
1.9
5.8
6.0
10.0
12.7
14.4
11.9
14.1
16.3
0.0
3.6
5.3
8.0
7.0
10.9
8.7
27.0
9.0
9.8
10.6
Distribution of Market Capitalization (%)
Walter Scott Int'l (Dreyfus) MSCI AC World ex USA (Net)
0.0
20.0
40.0
60.0
80.0
>$75 Bil $20 Bil - $75 Bil
$5 Bil - $20 Bil
$0 - $5 Bil
Cash
25.5
38.4
29.3
6.8
0.0
26.2
53.6
15.0
2.1 3.2
Manager EvaluationWalter Scott Int'l (Dreyfus) vs. MSCI AC World ex USA (Net)As of September 30, 2014
57
Walter Scott Int'l(Dreyfus)
MSCI AC World exUSA (Net)
Australia 6.8 5.3
Hong Kong 12.0 3.5
Japan 19.5 14.8
New Zealand 0.0 0.1
Singapore 2.2 1.1
Pacific 40.4 24.8
Austria 0.0 0.2
Belgium 0.0 0.9
Finland 2.0 0.6
France 8.2 6.6
Germany 3.9 6.2
Ireland 0.0 0.2
Italy 0.0 1.7
Netherlands 0.0 2.1
Portugal 0.0 0.1
Spain 1.9 2.5
EMU 16.0 21.2
Denmark 2.6 1.1
Norway 0.0 0.6
Sweden 2.1 2.2
Switzerland 10.8 6.5
United Kingdom 19.0 15.1
Europe ex EMU 34.5 25.5
Canada 2.1 7.6
United States 0.0 0.0
Israel 0.0 0.4
Middle East 0.0 0.4
Developed Markets 93.0 79.5
Walter Scott Int'l(Dreyfus)
MSCI AC World exUSA (Net)
Brazil 0.0 2.2
Cayman Islands 0.0 0.0
Chile 0.0 0.3
Colombia 0.0 0.2
Mexico 0.0 1.2
Peru 0.0 0.1
Virgin Islands 0.0 0.0
EM Latin America 0.0 4.0
China 1.1 2.8
India 0.0 1.5
Indonesia 0.0 0.6
Korea 0.0 3.3
Malaysia 0.0 0.9
Philippines 0.0 0.3
Taiwan 2.2 2.6
Thailand 0.0 0.5
EM Asia 3.3 12.3
Czech Republic 0.0 0.1
Egypt 0.0 0.1
Greece 0.0 0.1
Hungary 0.0 0.0
Poland 0.0 0.4
Qatar 0.0 0.1
Russia 0.0 1.0
South Africa 0.0 1.6
Turkey 0.0 0.3
United Arab Emirates 0.0 0.1
EM Europe + Middle East + Africa 0.0 3.9
Emerging Markets 3.3 20.2
Frontier Markets 0.0 0.0
Cash 3.2 0.0
Other 0.5 0.2
Total 100.0 100.0
Manager EvaluationWalter Scott Int'l (Dreyfus) vs. MSCI AC World ex USA (Net) - Country/Region AllocationAs of September 30, 2014
58
Historical Performance
Buy and Hold Attribution
Risk and Return (Oct - 2009 - Sep - 2014)Three Year Rolling Percentile Ranking
Quarter
YearTo
Date1
Year3
Years5
Years10
Years 2013 2012 2011 2010 2009 2008 2007 2006 2005 2004
Northern Cross Int'l (Harbor) -7.0 -2.9 1.8 13.8 7.6 9.0 16.8 20.9 -11.1 12.0 38.6 -42.7 21.8 32.7 20.8 18.0
MSCI AC World ex USA (Net) -5.3 0.0 4.8 11.8 6.0 7.1 15.3 16.8 -13.7 11.2 41.4 -45.5 16.7 26.7 16.6 20.9
International Equity Peer Group Median -5.8 -1.7 4.3 13.6 6.8 6.6 20.8 18.4 -13.7 11.6 33.5 -44.4 11.9 25.2 15.0 18.5
Northern Cross Int'l (Harbor) Rank 80 70 79 46 35 13 79 26 26 48 33 35 8 6 15 55
4.0
6.0
8.0
10.0
Re
turn
(%)
15.0 15.6 16.2 16.8 17.4 18.0 18.6 19.2Risk (Standard Deviation %)
MSCI AC World ex USA (Net)
Northern Cross Int'l (Harbor)
Northern Cross Int'l (Harbor) MSCI AC World ex USA (Net)
0
25
50
75
100
Re
turn
Pe
rce
nti
le R
an
k
12/04 12/05 12/06 12/07 12/08 12/09 12/10 12/11 12/12 9/14
Average Active Weight
0.0 8.0 16.0-8.0-16.0
Utilities
Telecommunication ServicesMaterials
Information Technology
Industrials
Health CareFinancials
Energy
Consumer StaplesConsumer Discretionary
Cash
-3.6
-5.23.1
-3.8
6.9
2.5-5.3
-6.2
5.8
0.94.8
Allocation(Total: 0.2)
0.0 0.3 0.6-0.3-0.6
0.0
-0.2-0.1
-0.1
0.0
0.2-0.1
0.3
0.0
0.00.3
Stock(Total: -1.2)
0.0 0.5-0.5-1.0-1.5
0.0
0.0-0.1
-0.1
-0.7
0.2-0.2
0.0
0.1
-0.50.0
Northern Cross Int'l (Harbor)
0.0 0.4 0.8-0.4-0.8-1.2
0.0
-0.2-0.2
-0.1
-0.7
0.3-0.3
0.3
0.1
-0.60.3
Manager EvaluationNorthern Cross Int'l (Harbor) vs. MSCI AC World ex USA (Net)As of September 30, 2014
Differences between the manager return and the attribution return are due primarily to the effects of fees and portfolio trading.
59
Total Attribution
0.0 0.2 0.4 0.6-0.2-0.4-0.6-0.8
Pacific
Other
North America
Middle East
Europe ex EMU
EMU
EM Latin America
EM Europe + Middle East + Africa
EM Asia
Cash
-0.1
0.0
-0.2
0.0
-0.4
-0.3
0.0
0.1
-0.4
0.3
Performance Attribution
Average Active Weight
0.0 15.0 30.0 45.0-15.0-30.0
Pacific
Other
North America
Middle East
Europe ex EMU
EMU
EM Latin America
EM Europe + Middle East + Africa
EM Asia
Cash
-12.0
-0.2
-4.7
-0.4
11.8
17.8
-2.6
-4.0
-10.4
4.8
Allocation(Total: -0.9)
0.0 0.4 0.8-0.4-0.8-1.2
-0.2
0.0
0.0
0.0
0.0
-0.6
0.0
0.1
-0.3
0.3
Stock(Total: -0.2)
0.0 0.3 0.6-0.3-0.6-0.9
0.1
0.0
-0.2
0.0
-0.4
0.3
0.0
0.0
-0.1
0.0
Manager EvaluationNorthern Cross Int'l (Harbor) vs. MSCI AC World ex USA (Net)1 Quarter Ending September 30, 2014
60
Top Ten Equity Holdings
PortfolioWeight
(%)
BenchmarkWeight
(%)
ActiveWeight
(%)
QuarterlyReturn
(%)
Banco Bilbao Vizcaya Argentaria SA Bbva 2.9 0.4 2.5 -3.7
Roche Holding AG 2.8 1.1 1.7 -0.7
Novo Nordisk A/S 2.8 0.5 2.2 4.0
Lloyds Banking Group PLC 2.7 0.4 2.3 -1.8
Anheuser-Busch InBev SA/NV 2.6 0.5 2.1 -3.1
Novartis AG 2.6 1.2 1.4 4.2
Schneider Electric SA 2.6 0.2 2.3 -18.4
Axa, Paris 2.5 0.3 2.3 3.1
Fanuc Corp 2.4 0.2 2.2 5.4
Rolls Royce Holdings PLC 2.3 0.2 2.1 -14.5
% of Portfolio 26.0 5.0
Portfolio Characteristics
Portfolio Benchmark
Wtd. Avg. Mkt. Cap ($M) 68,519 57,117
Median Mkt. Cap ($M) 34,085 7,225
Price/Earnings ratio 16.1 14.7
Price/Book ratio 2.2 2.1
5 Yr. EPS Growth Rate (%) 11.6 13.8
Current Yield (%) 2.4 3.1
Debt to Equity 1.0 1.2
Number of Stocks 73 1,829
Beta (5 Years, Monthly) 1.06 1.00
Consistency (5 Years, Monthly) 51.67 1.00
Sharpe Ratio (5 Years, Monthly) 0.50 0.44
Information Ratio (5 Years, Monthly) 0.43 -
Up Market Capture (5 Years, Monthly) 108.61 -
Down Market Capture (5 Years, Monthly) 102.74 -
Sector Weights (%)
Northern Cross Int'l (Harbor) MSCI AC World ex USA (Net)
0.0 6.0 12.0 18.0 24.0 30.0 36.0
Cash
Utilities
Telecommunication Services
Materials
Information Technology
Industrials
Health Care
Financials
Energy
Consumer Staples
Consumer Discretionary
4.3
0.0
0.0
11.1
2.3
17.8
11.5
21.5
3.2
15.7
12.6
0.0
3.6
5.3
8.0
7.0
10.9
8.7
27.0
9.0
9.8
10.6
Distribution of Market Capitalization (%)
Northern Cross Int'l (Harbor) MSCI AC World ex USA (Net)
0.0
20.0
40.0
60.0
80.0
>$75 Bil $20 Bil - $75 Bil
$5 Bil - $20 Bil
$0 - $5 Bil
Cash
25.5
38.4
29.3
6.8
0.0
25.8
57.9
12.0
0.0
4.3
Manager EvaluationNorthern Cross Int'l (Harbor) vs. MSCI AC World ex USA (Net)As of September 30, 2014
61
Harbor InternationalFund
MSCI AC World exUSA
Australia 0.0 5.3
Hong Kong 1.3 3.5
Japan 8.7 14.8
New Zealand 0.0 0.1
Singapore 1.4 1.1
Pacific 11.4 24.8
Austria 0.8 0.2
Belgium 2.6 0.9
Finland 0.0 0.6
France 16.9 6.6
Germany 10.5 6.2
Ireland 0.0 0.2
Italy 1.6 1.7
Netherlands 3.0 2.1
Portugal 0.0 0.1
Spain 4.5 2.5
EMU 39.9 21.2
Denmark 2.8 1.1
Norway 0.0 0.6
Sweden 5.1 2.2
Switzerland 16.3 6.5
United Kingdom 14.6 15.1
Europe ex EMU 38.7 25.5
Canada 1.0 7.6
United States 1.7 0.0
Israel 0.0 0.4
Middle East 0.0 0.4
Developed Markets 92.7 79.5
Harbor InternationalFund
MSCI AC World exUSA
Brazil 1.4 2.2
Cayman Islands 0.0 0.0
Chile 0.0 0.3
Colombia 0.0 0.2
Mexico 0.0 1.2
Peru 0.0 0.1
Virgin Islands 0.0 0.0
EM Latin America 1.4 4.0
China 0.0 2.8
India 0.0 1.5
Indonesia 0.0 0.6
Korea 0.0 3.3
Malaysia 1.7 0.9
Philippines 0.0 0.3
Taiwan 0.0 2.6
Thailand 0.0 0.5
EM Asia 1.7 12.3
Czech Republic 0.0 0.1
Egypt 0.0 0.1
Greece 0.0 0.1
Hungary 0.0 0.0
Poland 0.0 0.4
Qatar 0.0 0.1
Russia 0.0 1.0
South Africa 0.0 1.6
Turkey 0.0 0.3
United Arab Emirates 0.0 0.1
EM Europe + Middle East + Africa 0.0 3.9
Emerging Markets 3.1 20.2
Frontier Markets 0.0 0.0
Cash 4.3 0.0
Other 0.0 0.2
Total 100.0 100.0
Manager EvaluationNorthern Cross (Harbor Int'l) vs. MSCI AC World ex USA (Net) - Country/Region AllocationAs of September 30, 2014
62
Historical Performance
Three Year Rolling Percentile Ranking Risk and Return (Oct-2009 - Sep-2014)
Historical Statistics (Oct-2009 - Sep-2014)
Quarter
YearTo
Date1
Year3
Years5
Years10
Years 2013 2012 2011 2010 2009 2008 2007 2006 2005 2004
Barrow Hanley Short Fixed -0.1 0.5 0.7 0.7 1.3 2.8 0.4 1.0 1.5 2.4 4.0 4.9 6.8 4.3 1.8 2.2
Barclays 1-3yr Gov/Credit 0.0 0.6 0.8 0.9 1.5 2.8 0.6 1.3 1.6 2.8 3.8 5.0 6.8 4.3 1.8 1.3
Short Duration Short Duration Peer Group Median -0.1 0.8 1.2 1.6 2.1 2.9 0.3 2.7 1.4 3.4 6.7 -0.1 5.4 4.2 1.6 1.8
Barrow Hanley Short Fixed Rank 53 76 80 87 83 58 46 86 46 83 76 26 12 44 33 25
1.0
1.2
1.4
1.6
1.8
Re
turn
(%)
0.6 0.7Risk (Standard Deviation %)
Barclays 1-3yr Gov/Credit
Barrow Hanley Short Fixed
Barrow Hanley Short Fixed Barclays 1-3yr Gov/Credit
0
25
50
75
100
Re
turn
Pe
rce
nti
le R
an
k
12/04 12/05 12/06 12/07 12/08 12/09 12/10 12/11 12/12 9/14
ReturnStandardDeviation
ExcessReturn Alpha Beta
SharpeRatio
TrackingError
InformationRatio
DownsideRisk Consistency
InceptionDate
Barrow Hanley Short Fixed 1.3 0.7 1.2 -0.2 1.0 1.8 0.2 -1.1 0.2 25.0 23y 6m
Barclays 1-3yr Gov/Credit 1.5 0.6 1.4 0.0 1.0 2.1 0.0 N/A 0.1 0.0 23y 6m
90 Day U.S. Treasury Bill 0.1 0.0 0.0 0.1 0.0 N/A 0.6 -2.1 0.0 10.0 23y 6m
Manager EvaluationBarrow Hanley Short Fixed vs. Barclays 1-3yr Gov/CreditAs of September 30, 2014
63
Credit Quality Distribution (%)
Barrow Hanley Short Fixed Barclays 1-3yr Gov/Credit
0.0
25.0
50.0
75.0
100.0
AAA AA ABBB
75.5
6.79.9
7.9
26.5
11.0
41.9
20.6
Portfolio Characteristics
Portfolio Benchmark
Effective Duration 1.9 1.9
Avg. Maturity 2.0 2.0
Avg. Quality A+ AA+
Yield To Maturity (%) 1.0 0.8
Sector Distribution (%)
Barrow Hanley Short Fixed Barclays 1-3yr Gov/Credit
0.0
25.0
50.0
75.0
100.0
Treasu
ries
Agenc
ies
Credi
tABS
Non-U
S
Emer
ging
Cas
h
Oth
er
63.9
8.3
15.3
0.0
11.4
1.1 0.0 0.0
12.9
0.0
56.3
11.614.9
0.5 1.1 2.7
Maturity Distribution (%)
Barrow Hanley Short Fixed Barclays 1-3yr Gov/Credit
0.0
50.0
100.0
150.0
< 1 Yr
1 < 3 Yrs
3 < 5 Yrs
0.0
100.0
0.08.0
77.1
14.9
Manager EvaluationBarrow Hanley Short Fixed vs. Barclays 1-3yr Gov/CreditAs of September 30, 2014
64
Historical Performance
Three Year Rolling Percentile Ranking Risk and Return (Oct-2009 - Sep-2014)
Historical Statistics (Oct-2009 - Sep-2014)
Quarter
YearTo
Date1
Year3
Years5
Years10
Years 2013 2012 2011 2010 2009 2008 2007 2006 2005 2004
Dodge & Cox Fixed Income 0.0 4.7 5.9 4.8 5.3 5.3 0.3 8.1 4.8 7.2 16.1 -0.3 4.7 5.3 2.0 3.6
Barclays U.S. Aggregate 0.2 4.1 4.0 2.4 4.1 4.6 -2.0 4.2 7.8 6.5 5.9 5.2 7.0 4.3 2.4 4.3
Market Duration Peer Group Median 0.0 4.2 4.6 3.6 4.9 4.8 -1.8 7.0 6.7 7.5 12.5 -1.7 5.7 4.2 2.1 4.3
Dodge & Cox Fixed Income Rank 58 28 17 20 37 24 8 31 89 62 25 44 69 13 65 78
2.0
4.0
6.0
8.0
Re
turn
(%)
1.8 2.0 2.2 2.4 2.6 2.8 3.0 3.2 3.4Risk (Standard Deviation %)
Barclays U.S. Aggregate
Dodge & Cox Fixed Income
Dodge & Cox Fixed Income Barclays U.S. Aggregate
0
25
50
75
100
Re
turn
Pe
rce
nti
le R
an
k
12/04 12/05 12/06 12/07 12/08 12/09 12/10 12/11 12/12 9/14
ReturnStandardDeviation
ExcessReturn Alpha Beta
SharpeRatio
TrackingError
InformationRatio
DownsideRisk Consistency
InceptionDate
Dodge & Cox Fixed Income 5.3 2.3 5.2 3.5 0.4 2.2 2.5 0.5 0.9 75.0 25y 9m
Barclays U.S. Aggregate 4.1 3.0 4.0 0.0 1.0 1.4 0.0 N/A 1.2 0.0 25y 9m
90 Day U.S. Treasury Bill 0.1 0.0 0.0 0.1 0.0 N/A 3.0 -1.4 0.0 20.0 25y 9m
Manager EvaluationDodge & Cox Fixed Income vs. Barclays U.S. AggregateAs of September 30, 2014
65
Credit Quality Distribution (%)
Dodge & Cox Fixed Barclays U.S. Aggregate
0.0
25.0
50.0
75.0
100.0
AAA AA ABBB BB B
Below
B
Not Rat
ed
71.7
4.8
11.5 12.0
0.0 0.0 0.0 0.0
54.1
0.1
10.7
24.4
8.6
2.20.0 0.0
Portfolio Characteristics
Portfolio Benchmark
Effective Duration 4.3 5.6
Yield To Maturity (%) 2.5 2.4
Avg. Maturity 7.0 7.7
Avg. Quality A+ AA+
Sector Distribution (%)
Dodge & Cox Fixed Barclays U.S. Aggregate
0.0
15.0
30.0
45.0
60.0
Treasu
ries
Agenc
ies
Credi
t
Hig
h Yie
ldM
BSABS
Non-U
S
Emer
ging
Munic
ipal
s
Cas
h
Oth
er
CMBS
35.5
4.5
19.3
0.0
28.9
0.5
6.8
2.30.0 0.0 0.0
2.0
16.5
2.2
22.7
10.8
32.8
4.4
0.0 0.0
3.70.7
6.3
0.0
Maturity Distribution (%)
Dodge & Cox Fixed Barclays U.S. Aggregate
0.0
15.0
30.0
45.0
60.0
< 1 Yr
1 < 3 Yrs
3 < 5 Yrs
5 <
10 Yrs
10 <
20 Yrs
> 20
Yrs
0.0
24.9
20.1
41.7
3.1
10.3
6.0
17.2
28.1
35.6
4.2
9.0
Manager EvaluationDodge & Cox Fixed vs. Barclays U.S. AggregateAs of September 30, 2014
66
Historical Performance
Three Year Rolling Percentile Ranking Risk and Return (Oct-2009 - Sep-2014)
Historical Statistics (Oct-2009 - Sep-2014)
Quarter
YearTo
Date1
Year3
Years5
Years10
Years 2013 2012 2011 2010 2009 2008 2007 2006 2005 2004
MetWest Fixed 0.4 4.1 4.5 4.8 6.7 6.5 -1.5 11.0 5.5 11.7 17.3 -1.3 6.5 7.2 3.3 5.4
Barclays U.S. Aggregate 0.2 4.1 4.0 2.4 4.1 4.6 -2.0 4.2 7.8 6.5 5.9 5.2 7.0 4.3 2.4 4.3
Market Duration Peer Group Median 0.0 4.2 4.6 3.6 4.9 4.8 -1.8 7.0 6.7 7.5 12.5 -1.7 5.7 4.2 2.1 4.3
MetWest Fixed Rank 9 57 53 20 9 1 40 4 80 4 19 48 27 1 1 19
0.0
3.0
6.0
9.0
12.0
Re
turn
(%)
2.8 2.9 3.0 3.1 3.2 3.3 3.4Risk (Standard Deviation %)
Barclays U.S. Aggregate
MetWest Fixed
MetWest Fixed Barclays U.S. Aggregate
0
25
50
75
100
Re
turn
Pe
rce
nti
le R
an
k
12/04 12/05 12/06 12/07 12/08 12/09 12/10 12/11 12/12 9/14
ReturnStandardDeviation
ExcessReturn Alpha Beta
SharpeRatio
TrackingError
InformationRatio
DownsideRisk Consistency
InceptionDate
MetWest Fixed 6.7 3.2 6.5 3.6 0.7 2.0 2.5 1.0 0.9 65.0 17y 6m
Barclays U.S. Aggregate 4.1 3.0 4.0 0.0 1.0 1.4 0.0 N/A 1.2 0.0 17y 6m
90 Day U.S. Treasury Bill 0.1 0.0 0.0 0.1 0.0 N/A 3.0 -1.4 0.0 20.0 17y 6m
Manager EvaluationMetWest Fixed vs. Barclays U.S. AggregateAs of September 30, 2014
67
Credit Quality Distribution (%)
MetWest Fixed Barclays U.S. Aggregate
0.0
25.0
50.0
75.0
100.0
AAA AA ABBB BB B
Below
B
Not Rat
ed
71.7
4.8
11.5 12.0
0.0 0.0 0.0 0.0
68.0
6.3
14.8
5.7 5.20.0 0.0 0.0
Portfolio Characteristics
Portfolio Benchmark
Effective Duration 4.7 5.6
Yield To Maturity (%) 2.6 2.4
Avg. Maturity 7.3 7.7
Avg. Quality AA+ AA+
Sector Distribution (%)
MetWest Fixed Barclays U.S. Aggregate
0.0
20.0
40.0
60.0
-20.0
Treasu
ries
TIPS
Agenc
ies
Credi
t
Hig
h Yie
ldM
BSABS
Non-U
S
Emer
ging
Munic
ipal
s
Cas
h
Oth
er
CMBS
35.5
0.04.5
19.3
0.0
28.9
0.5
6.82.3
0.0 0.0 0.02.0
28.7
1.3 1.7
12.7
4.4
32.7
5.0
0.0 0.0 1.4
-3.8
8.96.9
Maturity Distribution (%)
MetWest Fixed Barclays U.S. Aggregate
0.0
20.0
40.0
60.0
80.0
< 1 Yr
1 < 3 Yrs
3 < 5 Yrs
5 <
10 Yrs
10 <
20 Yrs
> 20
Yrs
0.0
24.9
20.1
41.7
3.1
10.3
1.2
26.8
12.2
50.2
4.0 5.6
Manager EvaluationMetWest Fixed vs. Barclays U.S. AggregateAs of September 30, 2014
68
Historical Performance
Comparative Performance and Rolling Return Risk and Return (Oct-2009 - Sep-2014)
Historical Statistics (Oct-2009 - Sep-2014)
Quarter
YearTo
Date1
Year3
Years5
Years10
Years 2013 2012 2011 2010 2009 2008 2007 2006 2005 2004
Lighthouse Diversified 1.2 6.2 11.8 7.9 6.2 5.3 11.4 6.4 -1.2 6.0 18.0 -22.6 10.4 12.5 8.4 6.4
HFRI Fund of Funds Composite Index 0.3 2.4 6.1 5.2 3.4 3.4 9.0 4.8 -5.7 5.7 11.5 -21.4 10.3 10.4 7.5 6.9
0.0
2.5
5.0
7.5
10.0
Re
turn
(%)
4.2 4.3 4.4 4.5 4.6 4.7Risk (Standard Deviation %)
HFRI Fund of Funds Composite Index
Lighthouse Diversified
Rolling 3 Years Active Return Quarterly Active Return
0.0
6.0
12.0
-6.0
-12.0
Ac
tive
Re
turn
(%)
12/96 6/98 12/99 6/01 12/02 6/04 12/05 6/07 12/08 6/10 12/11 9/14
ReturnStandardDeviation
ExcessReturn Alpha Beta
SharpeRatio
TrackingError
InformationRatio
DownsideRisk Consistency
InceptionDate
Lighthouse Diversified 6.2 4.3 6.0 3.1 0.9 1.4 1.7 1.5 2.0 75.0 18y 2m
HFRI Fund of Funds Composite Index 3.4 4.5 3.4 0.0 1.0 0.8 0.0 N/A 2.8 0.0 18y 2m
90 Day U.S. Treasury Bill 0.1 0.0 0.0 0.1 0.0 N/A 4.5 -0.8 0.0 25.0 18y 2m
Manager EvaluationLighthouse Diversified vs. HFRI Fund of Funds Composite IndexAs of September 30, 2014
69
Region Allocation
Asia12.0%
Europe16.0%
Latin America1.0%
United States71.0%
Portfolio Characteristics
Portfolio
Net Exposure % 35.0
Leverage 1.8
Manager Count 32
# Managers Funded 0
# Managers Redeemed 0
Asset Breakdown
Relative Value Arbitrage21.3%
Market Neutral Equity15.3%
Cash0.3%Credit
17.4%
Fixed Income10.3%
Global Trading5.3%
Long/Short30.1%
Manager EvaluationLighthouse DiversifiedAs of September 30, 2014
70
Historical Performance
Comparative Performance and Rolling Return Risk and Return (Oct-2009 - Sep-2014)
Historical Statistics (Oct-2009 - Sep-2014)
Quarter
YearTo
Date1
Year3
Years5
Years10
Years 2013 2012 2011 2010 2009 2008 2007 2006 2005 2004
Pointer Offshore LTD -0.5 8.4 13.4 10.7 10.1 9.6 15.1 7.0 4.3 11.2 14.8 -16.5 30.4 11.1 10.5 8.6
HFRI Fund of Funds Composite Index 0.3 2.4 6.1 5.2 3.4 3.4 9.0 4.8 -5.7 5.7 11.5 -21.4 10.3 10.4 7.5 6.9
-6.0
0.0
6.0
12.0
18.0
Re
turn
(%)
3.5 4.0 4.5 5.0 5.5 6.0 6.5 7.0 7.5Risk (Standard Deviation %)
HFRI Fund of Funds Composite Index
Pointer Offshore LTD
Rolling 3 Years Active Return Quarterly Active Return
0.0
8.0
16.0
-8.0
-16.0
Ac
tive
Re
turn
(%)
9/90 12/92 3/95 6/97 9/99 12/01 3/04 6/06 9/08 12/10 9/14
ReturnStandardDeviation
ExcessReturn Alpha Beta
SharpeRatio
TrackingError
InformationRatio
DownsideRisk Consistency
InceptionDate
Pointer Offshore LTD 10.1 6.2 9.8 6.0 1.2 1.6 3.3 2.0 2.6 85.0 24y 3m
HFRI Fund of Funds Composite Index 3.4 4.5 3.4 0.0 1.0 0.8 0.0 N/A 2.8 0.0 24y 3m
90 Day U.S. Treasury Bill 0.1 0.0 0.0 0.1 0.0 N/A 4.5 -0.8 0.0 25.0 24y 3m
Manager EvaluationPointer Offshore LTD vs. HFRI Fund of Funds Composite IndexAs of September 30, 2014
71
Region Allocation
Other12.5%
Asia12.7%
Europe12.5%
North America62.3%
Portfolio Characteristics
Portfolio
Net Exposure % 53.0
Gross Exposure % 155.0
Gross Long % 104.0
Gross Short % 51.0
Leverage 1.6
Manager Count 29
# Managers Funded 1
# Managers Redeemed 0
Strategy Allocation
Special Situations, 9.5%
Healthcare, 5.2%
Asia, 3.5%Cash, 1.8%
Distressed/Credit, 19.7%
Domestic, 3.8%
Financials, 3.0%
Global, 53.5%
Manager EvaluationPointer Offshore LTDAs of September 30, 2014
72
Manager EvaluationOaktree Real Estate Opportunities Fund VIAs of June 30, 2014*
Commencement of Operations 9/20/2012
Final Closing Date 9/20/2013
Investment Period End Date 9/20/2016
Fund Closing Date19/20/2022
Fund Type Closed-end
Total Committed Capital $2,677
% Drawn 70%
% Distributed 0%
GP and Affiliates % of the Fund 3.0%
Administrative Facts Historical Investment Profile
Investment Category # of Investments Total ($) % of Total
Commercial 35 968.1 52.3%
Non-US 11 369.0 19.9%
Residential 23 319.6 17.3%
Corporate 1 100.0 5.4%
Commercial NPLs 10 94.8 5.1%
Total 80 1851.5 100%
Net Invested Capital
27.0%
8.1%
15.9%20.9%
9.0%
5.9%4.0%
1.9% 7.3%Multi-Regional
Mountain
Pacific
Non-US
Southeast
Northeast
West North Central
Mideast
East North Central
Geographic Exposure
_____________________________* Characteristics as of September 30, 2014 were unavailable at time of report production.1 Fund Closing Date is subject to two possible one-year add-ons after September 20, 2022.
Asset TypeMarket
Value%
Cincinatti Office Portfolio Equity $136.4 6.8%
Anglesea Logistic Equity $127.6 6.3%
STORE Platform Equity $112.5 5.6%
Wells Fargo Master Lease Portfolio Equity $100.6 5.0%
Philadelphia Marriott Equity $93.6 4.7%
Lenexa CW Portfolio Equity $82.6 4.1%
10 Tenth Street Equity $82.5 4.1%
Bacchus Equity $51.7 2.6%
Marblehead Equity $46.8 2.3%
Watchmoor Park Equity $44.1 2.2%
Total $878.4 43.7%
Investment Category
Non-US
Commercial
Commercial
Non-US
Non-US
Residential
Commercial
Non-US
Corporate
Commercial
Top Ten Holdings
73
Geographic Exposure2
Manager EvaluationWalton Street Real Estate Fund VIIAs of June 30, 2014*
Commencement of Operations 5/2/2013
Final Closing Date 12/31/2013
Investment Period End Date 11/2/2017
Fund Closing Date 1 11/2/2023
Fund Type Closed-end
Total Committed Capital $1,278
% Drawn 36.1%
% Distributed 0%
GP and Affiliates % of the Fund 7.7%
Administrative Facts Historical Investment Profile
Committed
Equity
Investment Category # of Investments Total ($) % of Total Total ($)
Office 10 258.7 41.7% 316.8
Residential 13 157.6 25.4% 184.1
Hotel 5 79.7 12.9% 124.1
NPLs 1 23.4 3.8% 23.4
Industrial Land 2 56.1 9.1% 67.2
Retail 4 37.2 6.0% 55.1
Parking Garage 1 7.2 1.2% 7.2
Total 36 620.0 100% 777.7
Invested Capital
Top Ten Holdings
_____________________________* Characteristics as of September 30, 2014 were unavailable at time of report production.1 Fund Closing Date is subject to two possible one-year add-ons after November 2, 2023.2 Reflects only those holdings with invested equity.
42.4%
10.1%18.8%
24.9%
3.8%
West
Midwest
South
East
Various, U.S.
Investment
Date
Invested
Equity
% of
Total
237 Park Avenue Oct-13 $78.0 15.4%
Milestone Business Park Dec-13 $33.6 6.6%
Torrey Ridge Science Center Aug-12 $31.5 6.2%
West Kapolei Business Park I May-14 $31.4 6.2%
Hilton Alexandria Jun-14 $30.4 6.0%
Continental Towers May-13 $27.3 5.4%
Uptown Station Jun-14 $25.7 5.1%
West Kapolei Business Park II Apr-14 $24.8 4.9%
Ambassador Waikiki Apr-14 $24.1 4.8%
NPL Platform Various $23.4 4.6%
Total $330.1 65.1%
Office
Office
Office
NPLs
Office
Office
Industrial Land
Hotel
Hotel
Investment Category
Industrial Land
74
Historical Performance
Three Year Rolling Percentile Ranking Risk and Return (Oct-2009 - Sep-2014)
Historical Statistics (Oct-2009 - Sep-2014)
Quarter
YearTo
Date1
Year3
Years5
Years10
Years 2013 2012 2011 2010 2009 2008 2007 2006 2005 2004
District - Barrow Hanley -0.1 0.3 0.4 0.5 1.2 2.7 0.3 0.9 1.5 2.4 4.0 4.9 6.8 4.3 1.8 2.2
Barclays 1-3 Govt 0.0 0.4 0.5 0.5 1.1 2.6 0.4 0.5 1.6 2.4 1.4 6.7 7.1 4.1 1.7 1.1
Short Duration Fixed Peer Group Median -0.1 0.8 1.2 1.6 2.1 2.9 0.3 2.7 1.4 3.4 6.7 -0.1 5.4 4.2 1.6 1.8
District - Barrow Hanley Rank 57 91 92 90 86 60 54 87 46 83 76 26 12 44 33 25
0.8
1.0
1.2
1.4
1.6
Re
turn
(%)
0.6 0.7Risk (Standard Deviation %)
Barclays 1-3 Govt
District - Barrow Hanley
District - Barrow Hanley Barclays 1-3 Govt
0
25
50
75
100
Re
turn
Pe
rce
nti
le R
an
k
12/04 12/05 12/06 12/07 12/08 12/09 12/10 12/11 12/12 9/14
ReturnStandardDeviation
ExcessReturn Alpha Beta
SharpeRatio
TrackingError
InformationRatio
DownsideRisk Consistency
InceptionDate
District - Barrow Hanley 1.2 0.6 1.1 0.2 0.9 1.7 0.3 0.4 0.1 45.0 23y 6m
Barclays 1-3 Govt 1.1 0.6 1.0 0.0 1.0 1.5 0.0 N/A 0.1 0.0 23y 6m
90 Day U.S. Treasury Bill 0.1 0.0 0.0 0.1 0.0 N/A 0.6 -1.5 0.0 15.0 23y 6m
Manager EvaluationDistrict - Barrow Hanley vs. Barclays 1-3 GovtAs of September 30, 2014
75
Credit Quality Distribution (%)
District - Barrow Hanley Barclays 1-3 Govt
0.0
50.0
100.0
150.0
AAA AA A
96.9
3.10.0
77.7
6.7
15.6
Portfolio Characteristics
Portfolio Benchmark
Effective Duration 1.8 1.9
Avg. Maturity 1.9 2.0
Avg. Quality AA+ AAA
Yield To Maturity (%) 0.7 0.6
Sector Distribution (%)
District - Barrow Hanley Barclays 1-3 Govt
0.0
50.0
100.0
150.0
Treasu
ries
Agenc
ies
Credi
t
MBS
ABS
Non-U
SC
ash
88.6
11.4
0.0 0.0 0.0 0.0 0.0
67.3
0.0
21.7
1.67.0
0.6 1.8
Maturity Distribution (%)
District - Barrow Hanley Barclays 1-3 Govt
0.0
50.0
100.0
150.0
< 1 Yr
1 < 3 Yrs
3 < 5 Yrs
0.0
100.0
0.0
15.8
75.2
9.0
Manager EvaluationDistrict - Barrow Hanley vs. Barclays 1-3 GovtAs of September 30, 2014
76
Capital Markets Review
77
-16
-14
-12
-10
-8
-6
-4
-2
0
2
4
Perc
en
t
Yen Yuan Real Ruble Euro
Capital Markets ReviewEconomy
Currencies Fall vs. U.S. Dollar Retail Sales and Unemployment
Source: BloombergSource: Trading Economics
-10
-5
0
5
10
15
Perc
en
t
Retail Sales, QuarterlyRate of Change
Unemployment Rate
Source: Economy.com
Foreign Growth Weakens, U.S. Dollar Becomes Safe Haven
• An expansion of Russia’s invasion of Ukraine, Israel’s military actions to clear
Gaza of missiles and tunnels used by attackers, and ISIS conquering territory
across Iraq caused investors to pull monies out of Europe and Asia for the
perceived safety of the U.S. dollar and Treasury bonds. The rapid ascent of the
U.S. dollar sent foreign investment values sharply lower versus their local-currency
returns.
• A wave of economic weakness enveloped Europe, Japan, Brazil, China and many
smaller countries. The European Central Bank (ECB) inched closer toward
purchasing asset-backed bonds, while further lowering its deposit rate to -0.2%.
With the German economy near a zero-growth rate and countries such as Greece
and Spain pleading for an end to austerity, the Eurozone economy offered little
near-term outlook for growth. Hopes turned to the ECB to offer a Federal Reserve-
style bailout and inflate the flagging economy, though the bank has been reluctant
to put plans into action based on German leaders’ protests. The impending
culmination of the Federal Reserve’s asset purchases was a late-quarter headwind
for stocks.
• The U.S. economy faced a perplexing mix of economic readings. The
unemployment rate fell to 5.9%, though the number of workers leaving the
workforce remained dauntingly high. Retail sales were choppy, yet on an upward
trend. A steep drop in oil prices, brought on by increased U.S. production, will be a
negative for upcoming energy spending, due to falling gasoline prices, but will be a
broader benefit for the economy.
Central Bank Interest Rates
Source: Bloomberg
-1
0
1
2
3
4
5
6
Perc
en
t
Central Bank Interest Rates
ECB Deposit Rate
Federal Reserve Target Rate
China 1-Year Deposit Rate
78
Third Quarter and YTD 2014 Sector Returns
Capital Markets ReviewEquities
Third Quarter 2014 World Equity Returns (USD)
3.6%
12.3%
1.0%
6.6%
0.3%
7.0%
6.1%
6.9%
6.6%
11.8%
15.2%
-9.1%
-4.9%
-2.9%
-1.6%
-0.7%
0.0%
0.8%
1.5%
2.2%
3.6%
4.5%
-12.0% -7.0% -2.0% 3.0% 8.0% 13.0% 18.0%
Energy
Utilities
Industrials
Materials
Cons. Disc.
Russell 3000
Financials
Cons. Staples
Telecom
Info Tech
Health Care 3Q14
YTD
-16.0%
-12.0%
-8.0%
-4.0%
0.0%
4.0%
8.0%
12.0%
-5.3%
1.1%
-3.6%-4.5%
-5.9%-7.0%
-8.7%
-1.6%-3.5%
-5.5%
-8.0%
-12.4%
Developed Markets Emerging Markets
Russell 1000 Index vs. Russell 2000 Index Equity Markets Cool Off as Strengthening USD Impact Felt
• The Russell 3000 Index advanced for a seventh consecutive quarter, albeit a
very modest gain in comparison to recent quarters. After setting a number of
new all-time highs during the quarter, major domestic equity indices retreated in
the latter half of September as a result of heightened geopolitical worries and
disappointing economic data internationally. Sector performance varied widely
during the quarter. Health care and information technology were the best
performing sectors, boosted by M&A activity, while the energy and utilities
sectors struggled as the price of oil and other commodities plummeted.
• Small-cap stocks severely underperformed their large-cap counterparts and
experienced their worst quarterly decline since September 2011. The quarterly
underperformance versus large-caps was the largest since March 1999.
Increased geopolitical tensions and concerns over future interest rate hikes
decreased investor risk appetite for small-cap companies.
• Emerging markets, though outperforming developed international markets,
declined 3.5% due to falling commodity prices, currency weakness, and poor
Chinese economic data. Developed international markets fell 5.9%. Economic
data out of Europe was particularly poor, calling into question the region’s future
growth prospects. Additionally, the strengthening U.S. dollar negatively impacted
developed markets as the dollar appreciated versus all major currencies.
0.7%
-7.4%
-0.2%
-8.6%
1.5%
-6.1%
8.0%
-4.4%
8.1%
-4.7%
7.9%
-4.0%
-10.0%
-8.0%
-6.0%
-4.0%
-2.0%
0.0%
2.0%
4.0%
6.0%
8.0%
10.0%
Russell1000Index
Russell2000Index
Russell1000Value
Russell2000Value
Russell1000
Growth
Russell2000
Growth
3Q14
YTD
Broad Value Growth
79
-1.0%
0.0%
1.0%
2.0%
3.0%
4.0%
5.0%
6.0%
7.0%
8.0%
9.0%
10.0%
YT
D T
ota
l Re
turn
Date
US Agg US Credit High Yield
Global Agg EMD MBS
Source: Barclays
Source: Barclays
Duration-adjusted Excess Returns to Treasuries (bps) Cumulative Year-to-Date Total Returns
Capital Markets ReviewFixed Income
Best Period Second Best Period Worst Period Second Worst Period
2007 2008 2009 2010 2011 2012 2013 1Q14 2Q14 3Q14
Aggregate -206 -710 746 171 -114 226 93 16 52 -28
Agency -56 -110 288 77 -25 166 1 30 50 -11
MBS -177 -232 495 225 -106 91 98 -24 90 -27
ABS -634 -2223 2496 169 52 246 24 19 30 -5
CMBS -435 -3274 2960 1501 47 841 97 65 55 -36
Credit -464 -1786 1990 192 -322 693 226 75 81 -67
High Yield -777 -3832 5955 974 -240 1394 923 199 137 -205
Emerging -457 -2842 3797 508 -537 1503 -32 127 282 -112
Source: Barclays
US Treasury Yield Curve Change by Maturity
Source: US Dept of The Treasury
Spreads Reverse Course in Q3
• Bond market volatility picked up during the third quarter, highlighted by a flight-
to-quality in long term rates and wider spreads across corporate and
securitized credit markets. TIPS produced negative total returns as inflationary
pressures eased amid plunging commodity prices and a strengthening dollar.
• The yield curve flattened during the quarter. Ongoing geopolitical tensions and
a rally in European government rates contributed to strong demand for longer
term U.S. Treasuries, while continued tapering and a more hawkish tone from
the Fed caused shorter maturity yields to rise. The spreads between five- and
30-year Treasuries continued to decrease and reached the lowest level since
January 2009.
• Corporate credit returns suffered during the quarter as safe-haven demand
increased and supportive technical factors faded. High yield credit was
particularly vulnerable during the quarter due to heavy new issuance coupled
with asset outflows. Despite selling pressure in the third quarter, spread sector
total returns remain positive year-to-date.
-1.0%
-0.8%
-0.6%
-0.4%
-0.2%
0.0%
0.2%
0.4%
Ch
an
ge
in
Yie
ld
Maturity (Years)
3Q14
YTD Ending 3Q14
80
Capital Markets ReviewHedge Funds
HFRI Index Performance – Third Quarter and YTD 2014
Growth of Assets in Hedge Funds
Hedge Fund Return Capture RatioAll Funds Median Net Return/MSCI AC World, %
4.1%
3.7%
2.4%
3.1%
1.7%
3.8%
2.8%
2.1%
1.9%
2.4%
2.2%
0.2%
-2.3%
0.3%
-0.1%
-0.2%
2.7%
-1.5%
0.4%
-1.3%
-2.9%
-1.2%
-4% -2% 0% 2% 4% 6%
BC Aggregate Bond Index
MSCI All-Country World Index
Fund of Funds
Hedge Fund Composite
Merger Arbitrage
Global Macro
EventDriven
Equity Market Neutral
Equity Hedge
Distressed Securities
Convertible Arbitrage
Q3
YTD
27%
46%
62%
33%
44% 45%
31%
52%
0%
10%
20%
30%
40%
50%
60%
70%
80%
2008 2009 2010 2011 2012 2013 Aug '14 YTD
Sep '14 YTD
% Downside in Down Years % Upside in Up YearsSource: Morgan Stanley Prime Brokerage
-$500,000
$0
$500,000
$1,000,000
$1,500,000
$2,000,000
$2,500,000
$3,000,000
1990
1991
1992
1993
1994
1995
1996
1997
1998
1999
2000
2001
2002
2003
2004
2005
2006
2007
2008
2009
2010
2011
2012
2013
Q12014
Q2014
Q32014
Assets
($M
M)
Net Asset Flow Estimated Assets
Source: HFR Inc.
Largest U.S. Public Pension Plan Exits Hedge Funds
• Hedge fund manager performance was generally negative across strategies during the
third quarter. With the exception of distressed securities managers, however, hedge funds
generally outpaced the MSCI All-Country World Index during the quarter. Global macro
was the top performing strategy for the quarter (+2.7%) and consequently one of the best
performing strategies year-to-date.
• The median hedge fund manager tends to lag global equities during strong up markets,
but fares better during down months such as September. The median hedge fund trailed
equities significantly year-to-date through August. Following September's decline, the
median hedge fund manager has captured just over half of this year’s equity market
return, according to Morgan Stanley Prime Brokerage.
• California Public Employees’ Retirement System (CalPERS), the largest public pension
plan in the U.S., announced that it will exit its $4 billion hedge fund program over the next
year, in an effort simplify its strategy and reduce costs. The Plan’s large asset size ($298
billion in total assets) and desire to hire managers willing to provide fee concessions
limited the universe of managers from which it could select, and likely inhibited the
performance of its hedge fund allocation.
• The hedge-fund industry saw inflows of $15.8 billion during the third quarter according to
Hedge Fund Research. Event driven and relative value managers attracted $11.4 and
$11.1 billion, respectively, while macro hedge funds saw a withdrawal of $11.1 billion
during the quarter.
Hedge Fund Assets and Flows
81
-11.8%
-5.6%-6.6%
-5.3%
-1.4% -1.0%
14%
12%
10%
-8%
-6%
-4%
-2%
0%
QTD YTD 1 Year 3 Years 5 Years 10 Years
Capital Markets ReviewReal Assets
Returns as of September 30, 2014
Source: Bloomberg
Bloomberg Commodity Index Returns for Periods Ended
September 30, 2014
NCREIF 3 Mon. YTD 1 Yr. 3 Yrs. 5 Yrs. 10 Yrs.
NCREIF 2.9% 5.7% 11.2% 11.3% 9.7% 8.6%
Apartments 2.4% 4.7% 9.9% 11.3% 10.8% 8.3%
Industrials 3.3% 6.1% 12.6% 11.9% 9.1% 8.2%
Office 2.9% 5.2% 10.3% 10.1% 8.6% 8.3%
Retail 3.2% 7.7% 13.5% 13.2% 10.8% 10.0%
Hotel 2.6% 3.4% 8.0% 7.9% 6.2% 6.8%
East 2.3% 4.4% 9.0% 9.7% 9.3% 8.5%
Midwest 2.8% 5.4% 10.5% 10.7% 8.7% 7.2%
South 3.2% 6.7% 13.1% 12.4% 10.0% 8.7%
West 3.4% 6.5% 12.5% 12.5% 10.2% 9.3%Source: NACREIF
Equity REIT Yields Are Low, Although They Provide A
Premium to Treasuries; Mortgage REIT Yields Remain Elevated
Real Estate Fundamentals Remain Strong; Commodities Tank
• Equity REITs declined 2.5% during the third quarter, bringing the year-to-date return
to 13.4%. Strong property fundamentals and a continued search for yield were offset
by the possibility of rising U.S. interest rates. Since quarter end, concerns have
shifted to slower economic growth and interest rates have fallen, making the 3.8%
yield on U.S. equity REITs look fairly attractive. Foreign REITs have underperformed
the U.S. market with Asia Pacific and Europe returning 0.0% and 5.6%, year to date.
• Private real estate continued to perform well, returning 2.9% during the second
quarter and 5.7% for the first half of 2014. Strong fundamentals (net operating
income growth and transaction volume), along with low interest rates, contributed to a
further decline in capitalization rates, now at 6.8% according to Real Capital
Analytics. The cap rate remains well below the long term trend rate, but relative to
Treasuries, cap rates remain around average levels since the 1990s. Income returns
are averaging around 5.0%, also below historical levels but favorable relative to
Treasury yields.
• Commodity prices declined dramatically during the third quarter, bringing year-to-date
and returns out to ten years into negative territory. The IEA’s forecast of weaker
demand growth for oil, along with favorable supply dynamics, and a strengthening
U.S. dollar, drove oil prices lower. An abundant harvest led to lower grain prices,
while industrial metals prices suffered from weaker global demand, especially out of
China. A strong U.S. dollar with little sign of inflation led to weaker gold demand and
prices.Source: NAREIT
0
5
10
15
20
25
30
Se
p-1
97
4
Se
p-1
97
6
Se
p-1
97
8
Se
p-1
98
0
Se
p-1
98
2
Se
p-1
98
4
Se
p-1
98
6
Se
p-1
98
8
Se
p-1
99
0
Se
p-1
99
2
Se
p-1
99
4
Se
p-1
99
6
Se
p-1
99
8
Se
p-2
00
0
Se
p-2
00
2
Se
p-2
00
4
Se
p-2
00
6
Se
p-2
00
8
Se
p-2
01
0
Se
p-2
01
2
Se
p-2
01
4
Perc
ent
Equity REITs
Mortgage REITs
10-Year Treasury
82
0
2
4
6
8
10
12
14
16
18
20
0
5
10
15
20
25
30
35
40
Agg. V
alu
e ($
,Billio
ns
)
# o
f D
ea
ls
Venture-Backed IPOs # Venture-Backed IPOs $ Value
Venture-Backed IPO ActivityInvestment Horizon Pooled IRR as of 03/31/14
Fund Type 3 Months 1 Year 3 Years 5 Years 10 Years 20 Years
Early Stage VC 5.3% 31.5% 15.7% 14.6% 9.2% 44.1%
Late/Expansion Stage VC 3.5% 32.6% 14.4% 18.6% 12.3% 11.0%
Multi-Stage VC 5.3% 28.3% 13.4% 12.2% 10.2% 12.3%
All Venture Capital 5.1% 30.5% 14.8% 14.2% 9.8% 26.1%
Small Buyouts 1.8% 12.3% 11.6% 16.8% 19.6% 14.5%
Medium Buyouts 1.9% 15.3% 10.2% 14.3% 17.1% 15.8%
Large Buyouts 3.2% 18.8% 11.9% 16.7% 15.5% 16.1%
Mega Buyouts 3.4% 22.2% 13.9% 18.8% 12.3% 10.9%
All Buyouts 3.1% 19.9% 12.7% 17.4% 14.3% 13.4%
Mezzanine/Sub Debt 2.6% 11.8% 11.4% 12.9% 9.8% 9.7%
Distressed 2.8% 16.2% 10.9% 20.0% 11.6% 11.9%
All Private Equity 3.3% 19.9% 12.4% 16.8% 13.1% 14.6%
S&P 500 1.8% 21.8% 14.4% 20.6% 8.5% 8.7%
Capital Markets ReviewPrivate Equity
Venture-Backed IPOs # Venture-Backed IPOs $ Value
$0
$20
$40
$60
$80
$100
$120
$,B
illions
VC Buyout Real Assets Secondary Funds Distressed/SS
Fundraising, IPO Activity Remain Strong Despite Modest Declines
• Private equity market performance data through June 30, 2014 was not yet
available at the time of report production. During 1Q14, private equity funds
outperformed their public market counterparts with venture capital and buyout
funds producing pooled quarterly IRRs of 5.1% and 3.1%, respectively,
compared to a 1.8% return for the S&P 500. Early stage venture funds were the
strongest performers while small- and mid-cap buyout funds lagged.
• During 3Q14, private equity fundraising saw a modest decline from the post-
crisis high seen in 2Q14. However, the $97 billion raised by private equity funds
in 3Q14 was in line with the quarterly average seen since early 2013 when the
pace of fundraising picked up considerably. Venture capital and secondary
funds saw the biggest percentage declines during the third quarter while
distressed/special situations funds saw an increase in commitments.
• Venture-backed IPO activity slowed during 3Q14 as 23 venture-backed IPOs
raised an aggregate $2.6 billion compared to 2Q14 when 28 IPOs raised $4.9
billion. However, it was the sixth consecutive quarter with more than 20
venture-backed IPOs after that mark was exceeded in only one other quarter
since the beginning of 2008. Biotechnology companies dominated IPO activity
during 3Q14, representing 18 of the 23 IPOs that occurred during the quarter.
Source: ThomsonOne/Cambridge Associates database, October 2014.Note: Data is continuously updated and is therefore subject to change.
S&P 500 1.8% 21.8% 14.4% 20.6% 8.5% 8.7%
Source: Thomson Reuters, ThomsonOne database, October 2014.
Source: Thomson Reuters, ThomsonOne database, October 2014.
Global Fundraising
83
Quarter
YearTo
Date1
Year2
Years3
Years5
Years7
Years10
Years
Domestic Equity Indices
Dow Jones Wilshire 5000 0.0 6.9 17.7 19.8 23.0 15.9 6.5 8.7
S&P 500 1.1 8.3 19.7 19.5 23.0 15.7 6.0 8.1
Russell 1000 Index 0.7 8.0 19.0 20.0 23.2 15.9 6.3 8.5
Russell 1000 Growth Index 1.5 7.9 19.1 19.2 22.4 16.5 7.6 8.9
Russell 1000 Value Index -0.2 8.1 18.9 20.6 23.9 15.3 4.8 7.8
Russell Midcap Index -1.7 6.9 15.8 21.7 23.8 17.2 7.5 10.3
Russell Midcap Growth Index -0.7 5.7 14.4 20.8 22.7 17.1 7.5 10.2
Russell Midcap Value Index -2.6 8.2 17.5 22.5 24.7 17.2 7.3 10.2
Russell 2000 Index -7.4 -4.4 3.9 16.3 21.3 14.3 6.0 8.2
Russell 2000 Growth Index -6.1 -4.0 3.8 17.5 21.9 15.5 6.9 9.0
Russell 2000 Value Index -8.6 -4.7 4.1 15.0 20.6 13.0 5.1 7.3
International Equity Indices
MSCI EAFE -5.9 -1.4 4.3 13.6 13.6 6.6 -0.2 6.3
MSCI EAFE Growth Index -5.5 -2.2 2.9 12.6 13.3 7.6 0.3 6.6
MSCI EAFE Value Index -6.2 -0.6 5.7 14.6 13.9 5.5 -0.8 5.9
MSCI EAFE Small Cap -7.8 -2.7 3.0 15.5 14.5 8.9 2.0 8.1
MSCI AC World Index -2.3 3.7 11.3 14.5 16.6 10.1 2.4 7.3
MSCI AC World ex US -5.3 0.0 4.8 10.5 11.8 6.0 -0.2 7.1
MSCI Emerging Markets Index -3.4 2.7 4.7 3.0 7.6 4.8 0.1 11.0
Fixed Income Indices
Barclays U.S. Aggregate 0.2 4.1 4.0 1.1 2.4 4.1 4.9 4.6
Barcap Intermediate U.S. Government/Credit 0.0 2.2 2.2 0.8 2.0 3.4 4.3 4.0
Barclays U.S. Long Government/Credit 1.0 13.0 12.9 1.7 4.7 8.0 8.2 7.0
Barclays US Corp: High Yield -1.9 3.5 7.2 7.2 11.1 10.6 8.7 8.3
BofA Merrill Lynch 3 Month U.S. T-Bill 0.0 0.0 0.0 0.1 0.1 0.1 0.5 1.6
Barclays U.S. Treasury: U.S. TIPS -2.0 3.7 1.6 -2.3 1.3 4.5 4.9 4.6
Citigroup Non-U.S. World Government Bond -5.4 0.2 -1.0 -3.3 -1.1 1.0 3.6 4.0
JPM EMBI Global Diversified (external currency) -0.6 8.0 9.7 2.6 8.0 8.0 7.9 8.3
JPM GBI-EM Global Diversified (local currency) -5.7 0.0 -1.5 -2.6 2.2 4.4 5.4 8.8
Real Asset Indices
Dow Jones - UBS Commodity -11.8 -5.6 -6.6 -10.5 -5.3 -1.4 -5.2 -1.0
Dow Jones Wilshire REIT -3.1 14.5 13.5 9.3 16.5 16.0 3.8 8.3
Capital Markets ReviewIndex ReturnsAs of September 30, 2014
(Percentage Return)
_________________________Returns for periods greater than one year are annualized.
84
Appendix
85
Date Decision
July 2011 El Camino retained Stratford Advisory Group, Inc. (Stratford) as investment consultant for its Surplus Cash Plan.
May 2012 Stratford and El Camino management and Investment Committee recommended and the Board approved the following asset allocation:
Asset Class Target Allocation Range
Domestic Equity 20% 17% to 23%
International Equity 10% 8% to 12%
Alternatives 20% 17% to 23%
Broad Fixed Income 40% 35% to 45%
Short Fixed Income 10% 8% to 12%
Total Fund 100% ---
September 2012 Stratford changed its name to Pavilion Advisory Group, Inc. (Pavilion).
Pavilion recommended, the Investment Committee reviewed, and management approved the following investment lineup:
AppendixSurplus Cash Summary of Investment Decisions
Pavilion recommended, the Investment Committee reviewed, and management approved the following investment lineup:
Manager Asset Class Target Allocation
Vanguard S&P 500 Index Domestic Equity 7.5%
Sands Large Cap Growth (Touchstone) Domestic Equity 3.75%
Barrow Hanley Large Cap Value Domestic Equity 3.75%
Cortina Small Cap Growth Domestic Equity 2.5%
Wellington Small Cap Value Domestic Equity 2.5%
Walter Scott Int'l (Dreyfus) International Equity 5.0%
Northern Cross Int'l (Harbor) International Equity 5.0%
Barrow Hanley Short Fixed Short Fixed Income 30%*
Dodge & Cox Fixed Broad Fixed Income 20.0%
MetWest Fixed Broad Fixed Income 20.0%
Total 100.0%
*20% of the allocation is an interim election until the alternatives portfolio construction methodology is determined.
October 2012 Management hired Citigroup to transition assets from Barrow Hanley Large Cap Value to Wellington Small Cap Value and Cortina Small Cap Growth.
Barrow Hanley Intermediate Duration Fixed Income and the Wells Capital Montgomery Fund were fully redeemed.
86
Date Decision
October 2012 The Citigroup equity transition was completed.
The following managers were funded:
Manager Amount Funded (millions)
Vanguard S&P 500 Index $37.3
Sands Large Cap Growth (Touchstone) $17.1
Cortina Small Cap Growth $11.4
Wellington Small Cap Value $11.4
Walter Scott Int'l (Dreyfus) $22.8
Northern Cross Int'l (Harbor) $23.0
Dodge & Cox Fixed $90.4
MetWest Fixed $91.1
November 2012 The following additional contributions were funded:
AppendixSurplus Cash Summary of Investment Decisions
Manager Amount Funded (millions)
Vanguard S&P 500 Index $3.0
Dodge & Cox Fixed $5.0
MetWest Fixed $5.0
Walter Scott Int'l (Dreyfus) $1.0
Northern Cross Int'l (Harbor) $1.0
Barrow Hanley Short Duration Fixed $5.0
December 2012 The following additional contributions were funded:
Manager Amount Funded (millions)
MetWest Fixed $2.8
Barrow Hanley Short Duration Fixed $5.1
87
Date Decision
January 2013 The following additional contributions were funded:
Manager Amount Funded (millions)
Sands Large Cap Growth (Touchstone) $1.0
Barrow Hanley Large Cap Value $1.0
Cortina Small Cap Growth $1.3
Dodge & Cox Fixed $5.5
MetWest Fixed $2.4
February 2013 The Investment Committee recommended El Camino retain Pavilion for direct hedge fund advisory services.
The following additional contribution was funded:
Manager Amount Funded (millions)
Wellington Small Cap Value $1.2
AppendixSurplus Cash Summary of Investment Decisions
March 2013 The following additional contribution was funded:
Manager Amount Funded (millions)
MetWest Fixed $1.6
May 2013 Eight hedge funds ($5 million each) were funded on May 1, 2013 for a total of $40 million.
July 2013 The remaining two hedge fund strategies ($5 million each) were funded on July 1, 2013 and August 1, 2013, respectively.
The Direct Hedge Fund portfolio became fully invested.
September 2013 $14.0 million was committed to the Oaktree Real Estate Opportunities Fund VI and $6.6 million was called in September.
$14.0 million was committed to the Walton Street Real Estate Fund VII.
October 2013 The following additional contributions were funded:
Manager Amount Funded (millions)
MetWest Fixed $7.6
Dodge & Cox Fixed $5.5
Barrow Hanley Short Term Fixed - Non-District $3.0
88
Date Decision
November 2013 $1.1 million of the capital committed to the Walton Street Real Estate Fund VII was called in November.
December 2013 The Indus Japan Fund was funded with an initial contribution of $5.0 million.
An additional contribution of $1.5 million was made to the York Credit Opportunities Unit Trust.
An additional contribution of $1.5 million was made to the Fir Tree International Value Fund.
An additional contribution of $3.5 million was made to Barrow Hanley Short Term Fixed - District.
January 2014 The portfolio was rebalanced back towards target allocation with $16.0 million transferred out of domestic equity
and into a combination of international equity ($2.5 million) and short term fixed income ($13.5 million).
$1.4 million of the capital committed to the Oaktree Real Estate Opportunities Fund VI was called in January.
February 2014 $2.5 million was transferred from the Wellington Small Cap Value Fund to the Cash Account.
AppendixSurplus Cash Summary of Investment Decisions
February 2014 $2.5 million was transferred from the Wellington Small Cap Value Fund to the Cash Account.
March 2014 $1.4 million of the capital committed to the Oaktree Real Estate Opportunities Fund VI was called in March.
$2.8 million of the capital committed to the Walton Street Real Estate Fund VII was called in March.
A distribution payment of $0.2 million was made by the Walton Street Real Estate Fund VII in March.
April 2014 $1.4 million of the capital committed to the Oaktree Real Estate Opportunities Fund VI was called in April.
$1.6 million was contributed to the Barrow Hanley - District Assets.
The following hedge funds were funded on April 1, 2014:
Manager Amount Funded (millions)
Marathon Special Opportunity Fund $5.5
Bloom Tree Offshore Fund $4.5
Tiger Eye Fund $4.5
Moore Macro Managers Fund $6.0
Pine River Fund $6.0
Additional contributions of $1.0 million were made to both Brevan Howard Multi-Strategy Fund and Robeco Transtrend Diversified Fund.
89
Date Decision
May 2014 $1.4 million of the capital committed to the Walton Street Real Estate Fund VII was called in May.
June 2014 The following additional contributions were funded:
Manager Amount Funded (millions)
Vanguard Institutional Index $2.0
Touchstone Sands $3.0
Barrow Hanley LCV $2.0
Dodge & Cox $5.0
MetWest $3.0
July 2014 $8.0 million was transferred from the Barrow Hanley - District account into the Surplus Cash Account.
October 2014 An additional contribution of $2.6 million was made to the Davidson Kempner Distressed Opportunities International Fund.
AppendixSurplus Cash Summary of Investment Decisions
October 2014 An additional contribution of $2.6 million was made to the Davidson Kempner Distressed Opportunities International Fund.
90
Date Decision
July 2011 El Camino retained Stratford Advisory Group, Inc. (Stratford) as investment consultant for its Cash Balance Plan.
May 2012 Stratford and El Camino management and Investment Committee recommended and the Board approved the following asset allocation:
Asset Class Target Allocation Range
Domestic Equity 32% 27% to 37%
International Equity 18% 15% to 21%
Alternatives 20% 17% to 23%
Broad Fixed Income 25% 20% to 30%
Short Fixed Income 5% 0% to 8%
Total Fund 100% ---
September 2012 Stratford changed its name to Pavilion Advisory Group, Inc. (Pavilion).
$5.6 million and $7.0 million employer contributions for Plan Year 2012 were made on September 13th and 14th, 2012, respectively.
AppendixCash Balance Plan Summary of Investment Decisions
$5.6 million and $7.0 million employer contributions for Plan Year 2012 were made on September 13th and 14th, 2012, respectively.
Pavilion recommended, the Investment Committee reviewed, and management approved the following investment lineup:
Manager Asset Class Target Allocation
Vanguard S&P 500 Index Domestic Equity 13.5%
Sands Large Cap Growth (Touchstone) Domestic Equity 6.75%
Barrow Hanley Large Cap Value Domestic Equity 6.75%
Cortina Small Cap Growth Domestic Equity 2.5%
Wellington Small Cap Value Domestic Equity 2.5%
Walter Scott Int'l (Dreyfus) International Equity 9.0%
Northern Cross Int'l (Harbor) International Equity 9.0%
Barrow Hanley Short Fixed Short Fixed Income 5.0%
Dodge & Cox Fixed Broad Fixed Income 12.5%
MetWest Fixed Broad Fixed Income 12.5%
Pointer* Hedge Fund of Funds 5.0%
Lighthouse Diversified Hedge Fund of Funds 5.0%
Oaktree Real Estate* Real Estate 5.0%
Walton Street* Real Estate 5.0%
Total 100.0%
*Barrow Hanley Short Fixed will be utilized as the interim holding for alternatives holdings that have not yet funded.
91
Date Decision
October 2012 A $2.7 million employer contribution for Plan Year 2012 was made on October 12, 2012.
Management hired Citigroup to transition assets from Dodge & Cox Large Cap Value to Barrow Hanley Large Cap Value and Cortina Small Cap Growth.
The Citigroup equity transition was completed.
The following managers were funded:
Manager Amount Funded (millions)
Vanguard S&P 500 Index $22.7
Sands Large Cap Growth (Touchstone) $11.3
Barrow Hanley Large Cap Value $11.3
Cortina Small Cap Growth $4.2
Wellington Small Cap Value $4.2
Walter Scott Int'l (Dreyfus) $15.1
Northern Cross Int'l (Harbor) $15.1
AppendixCash Balance Plan Summary of Investment Decisions
Northern Cross Int'l (Harbor)
Barrow Hanley Short Fixed $19.4
MetWest Fixed $21.0
Lighthouse Diversified $8.4
December 2012 The following commitments were made:
Manager Amount Committed (millions)
Oaktree Real Estate Opps Fund VI $8.4
Walton Street Real Estate Fund VII $8.4
January 2013 The following managers were funded:
Manager Amount Funded (millions)
Pointer $8.4
Oaktree Real Estate Opps Fund VI $5.9
92
Date Decision
January 2013 A $2.7 million employer contribution for Plan Year 2012 was made on January 14, 2013.
April 2013 A $3.0 million employer contribution for Plan Year 2012 was made on April 12, 2013 to the following managers:
Manager Amount Contributed (millions)
Dodge & Cox Fixed $1.5
MetWest Fixed $1.5
June 2013 Walton Street Real Estate was funded with an initial contribution of $0.8 million
July 2013 A $3.0 million employer contribution and $4.3 million transfer from the cash account was made to the Barrow Hanley Short-Term Fixed Fund.
October 2013 A $3.0 million employer contribution was made to Dodge & Cox ($1.5 million) and MetWest ($1.5 million).
January 2014 The portfolio was rebalanced, reducing equity exposure and distributing proceeds to fixed income and hedge fund of funds managers.
AppendixCash Balance Plan Summary of Investment Decisions
January 2014 The portfolio was rebalanced, reducing equity exposure and distributing proceeds to fixed income and hedge fund of funds managers.
$0.8 million of the capital committed to the Oaktree Real Estate Opportunities Fund VI was called in March.
February 2014 $0.8 million was transferred from the Wellington Small Cap Value Fund to the Cash Account.
March 2014 Distribution payments of $0.1 million were made by the Walton Street Real Estate Fund VII.
$1.7 million of the capital committed to the Walton Street Real Estate Fund VII was called in March.
$0.8 million of the capital committed to the Oaktree Real Estate Opportunities Fund VI was called in March.
April 2014 A $3.6 million employer contribution was made to the Barrow Hanley Short-Term Fixed account.
$0.8 million of the capital committed to the Oaktree Real Estate Opportunities Fund VI was called in April.
May 2014 $0.8 million of the capital committed to the Walton Street Real Estate Fund VII was called in May.
July 2014 A $3.6 million employer contribution was made on July 14, 2014.
August 2014 A $1.6 million contribution was made to the Lighthouse Diversified Fund.
93
Date Decision
October 2014 A $2 million contribution was made to the Pointer Offshore Fund.
AppendixCash Balance Plan Summary of Investment Decisions
94
Surplus Cash
Surplus Cash Total Benchmark
Beginning April 2014, the Surplus Cash Total Benchmark consists of 30% Total Equity Benchmark - Surplus, 40% Barclays Capital Aggregate, 10% Short Duration Fixed Income Benchmark - Surplus, and 20% Total
Alternatives Benchmark - Surplus. From August 2013 to March 2014, the Surplus Cash Total Benchmark consisted of 30% Total Equity Benchmark - Surplus, 40% Barclays Capital Aggregate, 20% Short Duration Fixed
Income Benchmark - Surplus, and 10% Total Alternatives Benchmark - Surplus. During July 2013, the Surplus Cash Total Benchmark consisted of 30% Total Equity Benchmark - Surplus, 40% Barclays Capital Aggregate,
21% Short Duration Fixed Income Benchmark - Surplus, and 9% Total Alternatives Benchmark - Surplus. From May 2013 to June 2013, the Surplus Cash Total Benchmark consisted of 30% Total Equity Benchmark -
Surplus, 40% Barclays Capital Aggregate, 22% Short Duration Fixed Income Benchmark - Surplus, and 8% HFRI Fund of Funds Composite Index. From November 2012 to April 2013, the Surplus Cash Total Benchmark
consists of 30% Total Equity Benchmark - Surplus and 70% Total Fixed Income Benchmark - Surplus. From January 2007 to October 2012, the Surplus Cash Total Benchmark consisted of 15% Total Equity Benchmark -
Surplus and 85% Total Fixed Income Benchmark - Surplus. From August 2000 to December 2006, the Surplus Cash Total Benchmark consisted of 2% Total Equity Benchmark - Surplus and 98% Total Fixed Income
Benchmark - Surplus. From April 1991 to July 2000, the Surplus Cash Total Benchmark consisted of 100% Total Fixed Income Benchmark - Surplus.
Surplus Cash Total Benchmark X Privates
Beginning April 2014 the Surplus Cash Total Benchmark consists of 31.6% Total Equity Benchmark - Surplus, 42.1% Barclays Capital Aggregate, 10.5% Short Duration Fixed Income Benchmark - Surplus, and 15.8%
Total Alternatives Benchmark - Surplus. From August 2013 to March 2014, the Surplus Cash Total Benchmark consisted of 30% Total Equity Benchmark - Surplus, 40% Barclays Capital Aggregate, 20% Short Duration
Fixed Income Benchmark - Surplus, and 10% Total Alternatives Benchmark - Surplus. During July 2013, the Surplus Cash Total Benchmark consisted of 30% Total Equity Benchmark - Surplus, 40% Barclays Capital
Aggregate, 21% Short Duration Fixed Income Benchmark - Surplus, and 9% Total Alternatives Benchmark - Surplus. From May 2013 to June 2013, the Surplus Cash Total Benchmark consisted of 30% Total Equity
Benchmark - Surplus, 40% Barclays Capital Aggregate, 22% Short Duration Fixed Income Benchmark - Surplus, and 8% HFRI Fund of Funds Composite Index. From November 2012 to April 2013, the Surplus Cash Total
Benchmark consists of 30% Total Equity Benchmark - Surplus and 70% Total Fixed Income Benchmark - Surplus. From January 2007 to October 2012, the Surplus Cash Total Benchmark consisted of 15% Total Equity
Benchmark - Surplus and 85% Total Fixed Income Benchmark - Surplus. From August 2000 to December 2006, the Surplus Cash Total Benchmark consisted of 2% Total Equity Benchmark - Surplus and 98% Total Fixed
Income Benchmark - Surplus. From April 1991 to July 2000, the Surplus Cash Total Benchmark consisted of 100% Total Fixed Income Benchmark - Surplus.
Pre-Pavilion Surplus Cash Total Benchmark
Beginning January 2007, the Pre-Pavilion Surplus Cash Total Benchmark consists of 15% Total Equity Benchmark - Surplus and 85% Total Fixed Income Benchmark - Surplus. From August 2000 to December 2006, the
Pre-Pavilion Surplus Cash Total Benchmark consisted of 2% Total Equity Benchmark - Surplus and 98% Total Fixed Income Benchmark - Surplus. From April 1991 to July 2000, the Pre-Pavilion Surplus Cash Total
Benchmark consisted of 100% Total Fixed Income Benchmark - Surplus.
Total Equity Benchmark - Surplus
Beginning November 2012, the Total Equity Benchmark - Surplus consists of 50% Large Cap Equity Benchmark, 16.67% Small Cap Equity Benchmark, and 33.33% MSCI AC World ex USA (Net). From April 1991 to
October 2012, the Total Equity Benchmark - Surplus consisted of 100% Large Cap Equity Benchmark.
Domestic Equity Benchmark - Surplus
Beginning November 2012, the Domestic Equity Benchmark - Surplus consists of 75% Large Cap Equity Benchmark and 25% Small Cap Equity Benchmark. From April 1991 to October 2012, the Domestic Equity
Benchmark - Surplus consisted of 100% Large Cap Equity Benchmark.
Large Cap Equity Benchmark
Beginning November 2012, the Large Cap Equity Benchmark consists of 25% Russell 1000 Value Index, 25% Russell 1000 Growth Index, and 50% S&P 500 Index. From April 1991 to October 2012, the Large Cap Equity
Benchmark consisted of 100% Russell 1000 Value Index.
AppendixBenchmark DescriptionsAs of September 30, 2014
95
AppendixBenchmark DescriptionsAs of September 30, 2014
Small Cap Equity Benchmark
Beginning November 2012, the Small Cap Equity Benchmark consists of 50% Russell 2000 Growth Index and 50% Russell 2000 Value Index.
Total Fixed Income Benchmark - Surplus
Beginning November 2012, the Total Fixed Income Benchmark - Surplus consists of 57.14% Barclays Capital Aggregate and 42.86% Short Duration Fixed Income Benchmark - Surplus. From January 2007 to October
2012, the Total Fixed Income Benchmark - Surplus consisted of 40% Barclays Capital Aggregate and 60% Short Duration Fixed Income Benchmark - Surplus. From April 1991 to December 2006, the Total Fixed Income
Benchmark - Surplus consisted of 100% Short Duration Fixed Income Benchmark - Surplus.
Short Duration Fixed Income Benchmark - Surplus
Beginning in November 2012, the Short Duration Fixed Income Benchmark - Surplus consists of 100% Barclays Capital 1-3 Year Gov’t/Credit. From January 2007 to October 2012, the Short Duration Fixed Income
Benchmark - Surplus consisted of 66.67% Barclays Capital Intermediate Aggregate and 33.33% Barclays Capital Gov’t 1-3 Year. From May 2001 to December 2006, the Short Duration Fixed Income Benchmark - Surplus
consisted of 84.69% Barclays Capital Intermediate Aggregate and 15.31% Barclays Capital Gov’t 1-3 Year. From April 1991 to April 2001, the Short Duration Fixed Income Benchmark - Surplus consisted of 100%
Barclays Capital Gov’t 1-3 Year.
Total Alternatives Benchmark - Surplus
Beginning April 2014 the Total Alternatives Benchmark - Surplus consists of 75% HFRI Fund of Funds Composite Index and 25% NCREIF Property Index. From May 2013 to March 2014, the Total Alternatives
Benchmark - Surplus consisted of 100% HFRI Fund of Funds Composite Index.
Cash Balance Plan
96
AppendixBenchmark DescriptionsAs of September 30, 2014
Cash Balance Plan
Cash Balance Plan Total Benchmark
Beginning January 2013, the Cash Balance Plan Total Benchmark consists of 50% Total Equity Benchmark, 35% Total Fixed Income Benchmark, and 15% Alternatives Benchmark. From November 2012 to December
2012, the Cash Balance Plan Total Benchmark consisted of 50% Total Equity Benchmark, 45% Total Fixed Income Benchmark, and 5% Alternatives Benchmark. From October 1990 to October 2012, the Cash Balance
Plan Total Benchmark consisted of 60% Russell 1000 Value Index and 40% Barclays Capital Aggregate.
Cash Balance Plan Total X Privates Benchmark
Beginning January 2013, the Cash Balance Plan Total Benchmark consists of 52.63% Total Equity Benchmark, 36.84% Total Fixed Income Benchmark, and 10.53% Alternatives Benchmark. From November 2012 to
December 2012, the Cash Balance Plan Total Benchmark consisted of 50% Total Equity Benchmark, 45% Total Fixed Income Benchmark, and 5% Alternatives Benchmark. From October 1990 to October 2012
Pre-Pavilion Cash Balance Plan Total Benchmark
Beginning October 1990, the Cash Balance Plan Total Benchmark consists of 60% Russell 1000 Value Index and 40% Barclays Capital Aggregate.
Total Equity Benchmark
Beginning November 2012, the Total Equity Benchmark consists of 54% Large Cap Equity Benchmark, 10% Small Cap Equity Benchmark, and 36% MSCI AC World ex USA (Net). From October 1990 to October 2012,
the Total Equity Benchmark consisted of 100% Large Cap Equity Benchmark.
Domestic Equity Benchmark
Beginning November 2012, the Domestic Equity Benchmark consists of 84.38% Large Cap Equity Benchmark and 15.62% Small Cap Equity Benchmark. From October 1990 to October 2012, the Domestic Equity
Benchmark consisted of 100% Large Cap Equity Benchmark.
Large Cap Equity Benchmark
Beginning November 2012, the Large Cap Equity Benchmark consists of 25% Russell 1000 Value Index, 25% Russell 1000 Growth Index, and 50% S&P 500 Index. From October 1990 to October 2012, the Large Cap
Equity Benchmark consisted of 100% Russell 1000 Value Index.
Small Cap Equity Benchmark
Beginning November 2012, the Small Cap Equity Benchmark consists of 50% Russell 2000 Growth Index and 50% Russell 2000 Value Index.
Total Fixed Income Benchmark
Beginning January 2013, the Total Fixed Income Benchmark consists of 71.43% Barclays Capital Aggregate and 28.57% Short Duration Fixed Income Benchmark. From November 2012 to December 2012, the Total Fixed
Income Benchmark consists of 55.56% Barclays Capital Aggregate and 44.44% Short Duration Fixed Income Benchmark. From October 1990 to October 2012, the Total Fixed Income Benchmark consisted of 100%
Barclays Aggregate.
Short Duration Fixed Income Benchmark
Beginning November 2012, the Short Duration Fixed Income Benchmark consists of 100% Barclays Capital 1-3 Year Gov’t/Credit. From October 1990 to October 2012, the Short Duration Fixed Income Benchmark
consisted of 100% 90 Day U.S. Treasury Bills.
97
AppendixBenchmark DescriptionsAs of September 30, 2014
Total Alternatives Benchmark
Beginning January 2013, the Alternatives Benchmark consists of 66.67% HFRI Fund of Funds Composite Index and 33.33% NCREIF Property Index. From November 2012 to December 2012, the Alternatives Benchmark
consisted of 100% HFRI Fund of Funds Composite Index.
98
Performance(%)
2013 2012 2011 2010 2009 2008 2007 2006 2005 2004
Total Surplus Cash X District 8.8 (32) 6.6 (61) 5.1 (49) 6.4 (72) 11.3 (56) -1.2 (30) 6.3 (49) 6.0 (1) 1.5 (67) 3.8 (1)
Total Surplus Cash Benchmark 7.5 (73) 6.0 (70) 5.2 (48) 7.3 (61) 7.7 (78) -2.0 (35) 6.0 (58) 4.8 (16) 2.1 (22) 3.6 (1)
Pre-Pavilion Total Surplus Cash Benchmark 3.0 (100) 5.5 (79) 5.2 (48) 7.3 (61) 7.7 (78) -2.0 (35) 6.0 (58) 4.8 (16) 2.1 (22) 3.6 (1)
Total Surplus Cash Composite Peer Group Median 8.3 7.3 5.0 7.9 12.1 -5.4 6.3 4.4 1.7 1.9
Total Surplus Cash X District X Privates 8.8 (31) 6.6 (61) 5.1 (49) 6.4 (72) 11.3 (56) -1.2 (30) 6.3 (49) 6.0 (1) 1.5 (67) 3.8 (1)
Surplus Cash Total Benchmark x Privates 7.5 (73) 6.0 (70) 5.2 (48) 7.3 (61) 7.7 (78) -2.0 (35) 6.0 (58) 4.8 (16) 2.1 (22) 3.6 (1)
Total Surplus Cash x Privates Peer Group Median 8.3 7.3 5.0 7.9 12.1 -5.4 6.3 4.4 1.7 1.9
Total Equity Composite 28.8 (58) 17.7 (50) 2.3 (24) 10.8 (87) 23.7 (72) -35.3 (34) 1.9 (79) 14.6 (44) 10.0 (20) 20.5 (1)
Total Equity Benchmark - Surplus 27.7 (70) 19.0 (37) 0.4 (40) 15.5 (38) 19.7 (86) -36.8 (49) -0.2 (87) 22.2 (2) 7.1 (44) 16.5 (9)
Total Equity Peer Group Median 29.3 17.6 -0.5 14.5 28.3 -37.0 6.7 13.8 6.5 10.8
Domestic Equity Composite 36.7 (20) 16.3 (28) 2.3 (12) 10.8 (94) 23.7 (85) -35.3 (22) 1.9 (81) 14.6 (34) 10.0 (14) 20.5 (2)
Domestic Equity Benchmark - Surplus 34.3 (43) 17.8 (13) 0.4 (26) 15.5 (72) 19.7 (93) -36.8 (37) -0.2 (89) 22.2 (2) 7.1 (40) 16.5 (9)
Domestic Equity Peer Group Median 33.6 14.6 -1.7 16.9 29.6 -38.1 5.9 13.0 6.4 11.8
Large Cap Equity Composite 35.1 (30) 16.5 (29) 2.3 (21) 10.8 (85) 23.7 (70) -35.3 (30) 1.9 (77) 14.6 (40) 10.0 (17) 20.5 (1)
Large Cap Equity Benchmark 32.7 (48) 17.1 (24) 0.4 (35) 15.5 (33) 19.7 (84) -36.8 (44) -0.2 (86) 22.2 (1) 7.1 (38) 16.5 (8)
Large-Cap Equity Peer Group Median 32.4 14.6 -1.0 14.0 27.8 -37.5 6.2 13.3 5.9 10.2
Small Cap Equity Composite 41.2 (41) N/A N/A N/A N/A N/A N/A N/A N/A N/A
Small Cap Equity Benchmark 38.9 (51) 16.3 (37) -4.2 (58) 26.8 (47) 27.5 (70) -33.8 (30) -1.7 (59) 18.4 (21) 4.4 (69) 18.3 (40)
Small-Cap Equity Peer Group Median 39.0 14.6 -3.4 26.4 31.8 -38.2 0.3 13.5 6.3 16.3
International Equity Composite 13.0 (92) N/A N/A N/A N/A N/A N/A N/A N/A N/A
MSCI AC World ex USA (Net) 15.3 (84) 16.8 (69) -13.7 (51) 11.2 (53) 41.4 (23) -45.5 (59) 16.7 (25) 26.7 (37) 16.6 (37) 20.9 (30)
International Equity Peer Group Median 20.8 18.4 -13.7 11.6 33.5 -44.4 11.9 25.2 15.0 18.5
AppendixSurplus Cash Calendar Year Composite PerformanceAs of September 30, 2014
___________________________Returns are expressed as percentages. Returns for periods greater than one year are annualized.Peer group percentile ranks are shown in parentheses.
99
AppendixSurplus Cash Calendar Year Composite PerformanceAs of September 30, 2014
Performance(%)
2013 2012 2011 2010 2009 2008 2007 2006 2005 2004
Total Fixed Income Composite -0.3 (20) 4.4 (52) 5.5 (5) 5.8 (24) 7.6 (68) 4.1 (15) 6.8 (9) 5.6 (1) 1.7 (38) 3.5 (1)
Total Fixed Income Benchmark - Surplus -0.9 (52) 3.2 (89) 5.8 (3) 5.5 (30) 5.2 (90) 5.4 (9) 7.0 (8) 4.5 (22) 2.0 (22) 3.3 (1)
Total Fixed Income Peer Group Median -0.9 4.4 3.5 5.1 9.0 -1.0 5.2 4.2 1.6 1.8
Short Duration Fixed Income Composite 0.5 (46) 3.5 (25) 4.3 (2) 4.8 (10) 5.3 (62) 4.5 (27) 6.8 (10) 5.6 (1) 1.7 (38) 3.5 (1)
Short Duration Fixed Income Benchmark - Surplus 0.6 (30) 2.5 (53) 4.5 (1) 4.9 (10) 4.8 (67) 5.5 (19) 7.0 (7) 4.5 (22) 2.0 (22) 3.3 (1)
Short Duration Fixed Peer Group Median 0.3 2.7 1.4 3.4 6.7 -0.1 5.4 4.2 1.6 1.8
Market Duration Fixed Income Composite -0.6 (17) 6.9 (52) 8.8 (1) 8.1 (36) 12.6 (50) 2.5 (30) 6.9 (18) N/A N/A N/A
Barclays U.S. Aggregate -2.0 (63) 4.2 (90) 7.8 (11) 6.5 (76) 5.9 (93) 5.2 (11) 7.0 (17) 4.3 (38) 2.4 (29) 4.3 (51)
Market Duration Fixed Peer Group Median -1.8 7.0 6.7 7.5 12.5 -1.7 5.7 4.2 2.1 4.3
Alternatives Composite N/A N/A N/A N/A N/A N/A N/A N/A N/A N/A
Total Alternatives Benchmark -Surplus 9.6 N/A N/A N/A N/A N/A N/A N/A N/A N/A
Real Estate Composite N/A N/A N/A N/A N/A N/A N/A N/A N/A N/A
NCREIF Property Index 11.0 10.5 14.3 13.1 -16.8 -6.5 15.8 16.6 20.1 14.5
Hedge Fund Composite N/A N/A N/A N/A N/A N/A N/A N/A N/A N/A
HFRI Fund of Funds Composite Index 9.0 4.8 -5.7 5.7 11.5 -21.4 10.3 10.4 7.5 6.9
___________________________Returns are expressed as percentages. Returns for periods greater than one year are annualized.Peer group percentile ranks are shown in parentheses.
100
Performance(%)
2013 2012 2011 2010 2009 2008 2007 2006 2005 2004
Total Cash Balance Plan 15.8 (34) 17.0 (8) -0.9 (88) 11.7 (48) 28.2 (10) -25.9 (71) 2.4 (74) 12.6 (40) 6.0 (27) 12.2 (12)
Total Cash Balance Plan Benchmark 13.8 (79) 12.7 (54) 3.7 (26) 12.4 (33) 14.8 (90) -22.0 (37) 2.8 (70) 14.8 (10) 5.3 (39) 11.5 (17)
Pre-Pavilion Total Cash Balance Plan Benchmark 17.7 (10) 12.2 (63) 3.7 (26) 12.4 (33) 14.8 (90) -22.0 (37) 2.8 (70) 14.8 (10) 5.3 (39) 11.5 (17)
Total Cash Balance Plan Peer Group Median 15.2 12.9 2.0 11.6 20.6 -23.4 4.1 12.0 4.8 9.6
Total Cash Balance Plan X Private Structures 16.2 (45) 17.0 (8) -0.9 (88) 11.7 (48) 28.2 (10) -25.9 (71) 2.4 (74) 12.6 (40) 6.0 (27) 12.2 (12)
Cash Balance Plan Total X Privates Benchmark 14.0 (84) 12.7 (54) 3.7 (26) 12.4 (33) 14.8 (90) -22.0 (37) 2.8 (70) 14.8 (10) 5.3 (39) 11.5 (17)
Total Cash Balance Plan X Privates Peer Group Median 16.0 12.9 2.0 11.6 20.6 -23.4 4.1 12.0 4.8 9.6
Total Equity Composite 27.7 (67) 23.3 (9) -3.9 (78) 14.2 (54) 33.0 (30) -43.0 (87) 0.3 (86) 19.5 (14) 9.7 (22) 21.1 (1)
Total Equity Benchmark 26.9 (74) 18.9 (40) 0.4 (40) 15.5 (38) 19.7 (86) -36.8 (49) -0.2 (87) 22.2 (2) 7.1 (44) 16.5 (9)
Total Equity Peer Group Median 29.1 17.9 -0.5 14.5 28.3 -37.0 6.7 13.8 6.5 10.8
Domestic Equity Composite 36.3 (23) 21.5 (4) -3.9 (76) 14.2 (85) 33.0 (30) -43.0 (89) 0.3 (88) 19.5 (7) 9.7 (15) 21.1 (1)
Domestic Equity Benchmark 33.7 (49) 17.5 (14) 0.4 (26) 15.5 (72) 19.7 (93) -36.8 (37) -0.2 (89) 22.2 (2) 7.1 (40) 16.5 (9)
Domestic Equity Peer Group Median 33.6 14.6 -1.7 16.9 29.6 -38.1 5.9 13.0 6.4 11.8
Large Cap Equity Composite 35.4 (27) 21.8 (3) -3.9 (75) 14.2 (48) 33.0 (28) -43.0 (86) 0.3 (84) 19.5 (12) 9.7 (18) 21.1 (1)
Large Cap Equity Benchmark 32.7 (48) 17.1 (24) 0.4 (35) 15.5 (33) 19.7 (84) -36.8 (44) -0.2 (86) 22.2 (1) 7.1 (38) 16.5 (8)
Large-Cap Equity Peer Group Median 32.4 14.6 -1.0 14.0 27.8 -37.5 6.2 13.3 5.9 10.2
Small Cap Equity Composite 41.1 (42) N/A N/A N/A N/A N/A N/A N/A N/A N/A
Small Cap Equity Benchmark 38.9 (51) 16.3 (37) -4.2 (58) 26.8 (47) 27.5 (70) -33.8 (30) -1.7 (59) 18.4 (21) 4.4 (69) 18.3 (40)
Small-Cap Equity Peer Group Median 39.0 14.6 -3.4 26.4 31.8 -38.2 0.3 13.5 6.3 16.3
International Equity Composite 13.0 (92) N/A N/A N/A N/A N/A N/A N/A N/A N/A
MSCI AC World ex USA (Net) 15.3 (84) 16.8 (69) -13.7 (51) 11.2 (53) 41.4 (23) -45.5 (59) 16.7 (25) 26.7 (37) 16.6 (37) 20.9 (30)
International Equity Peer Group Median 20.8 18.4 -13.7 11.6 33.5 -44.4 11.9 25.2 15.0 18.5
AppendixCash Balance Plan Calendar Year Composite PerformanceAs of September 30, 2014
___________________________Returns are expressed as percentages. Returns for periods greater than one year are annualized.Peer group percentile ranks are shown in parentheses.
101
AppendixCash Balance Plan Calendar Year Composite PerformanceAs of September 30, 2014
Performance(%)
2013 2012 2011 2010 2009 2008 2007 2006 2005 2004
Total Fixed Income Composite 0.6 (7) 7.0 (43) 6.4 (60) 7.8 (44) 17.6 (18) -0.3 (44) 4.9 (66) 5.4 (11) 2.3 (43) 4.5 (44)
Total Fixed Income Benchmark -1.3 (56) 4.3 (94) 7.8 (11) 6.5 (76) 5.9 (93) 5.2 (11) 7.0 (17) 4.3 (38) 2.4 (29) 4.3 (51)
Total Fixed Income Peer Group Median -1.2 6.7 6.7 7.5 12.5 -1.7 5.7 4.2 2.1 4.3
Short Duration Fixed Income Composite 0.6 (35) 0.2 (95) N/A N/A N/A N/A N/A N/A N/A N/A
Short Duration Fixed Income Benchmark 0.6 (30) 0.2 (95) 0.1 (100) 0.1 (100) 0.2 (100) 2.1 (41) 4.9 (59) 4.8 (13) 2.9 (2) 1.1 (84)
Short Duration Fixed Peer Group Median 0.3 2.7 1.4 3.4 6.7 -0.1 5.4 4.2 1.6 1.8
Market Duration Fixed Income Composite 0.6 (4) 8.0 (32) 5.4 (82) 7.8 (44) 17.6 (18) -0.3 (44) 4.9 (66) 5.4 (11) 2.3 (43) 4.5 (44)
Barclays U.S. Aggregate -2.0 (63) 4.2 (90) 7.8 (11) 6.5 (76) 5.9 (93) 5.2 (11) 7.0 (17) 4.3 (38) 2.4 (29) 4.3 (51)
Market Duration Fixed Peer Group Median -1.8 7.0 6.7 7.5 12.5 -1.7 5.7 4.2 2.1 4.3
Total Alternatives Composite 11.4 N/A N/A N/A N/A N/A N/A N/A N/A N/A
Total Alternatives Benchmark 9.6 N/A N/A N/A N/A N/A N/A N/A N/A N/A
Hedge Fund of Fund Composite 13.3 N/A N/A N/A N/A N/A N/A N/A N/A N/A
HFRI Fund of Funds Composite Index 9.0 4.8 -5.7 5.7 11.5 -21.4 10.3 10.4 7.5 6.9
Real Estate Composite 5.0 N/A N/A N/A N/A N/A N/A N/A N/A N/A
NCREIF Property Index 11.0 10.5 14.3 13.1 -16.8 -6.5 15.8 16.6 20.1 14.5
___________________________Returns are expressed as percentages. Returns for periods greater than one year are annualized.Peer group percentile ranks are shown in parentheses.
102
Separator Page
6c. 3Q14 El Camino Hospital Direct Hedge Fund
Report.pdf
Surplus CashHedge FundPortfolio
El Camino Hospital
3rd Quarter 2014
Pavilion Advisory Group Inc.227 W. Monroe Street, Suite 2020Chicago, IL 60606Phone: 312-798-3200Fax: 312-902-1984www.pavilioncorp.com
Portfolio Update - Third Quarter 2014The Hedge Fund Portfolio returned +0.6% during the third quarter, outperforming the HFRI Fund of Funds Composite Index by 30 basis points.Since its initial funding the Portfolio has returned +6.5% compared to +4.9% for its benchmark on an annualized basis, led by outperformance fromthe Portfolio's credit and relative value managers. All of the portfolio’s composites outperformed their respective benchmarks during the quarter.The Portfolio's equity and macro strategies drove results as the composites returned +0.8% and +3.2%, respectively. The Portfolio’s equitymanagers posted positive results, with the exception of Luxor (-0.4%) and ESG (-3.9%), led by strong results from Capeview 1x (+3.4%), Capeview2x (+7.1%) and Indus Japan (+3.3%). Capeview benefited from strong stock selection in both the long and short book as both books providedpositive attribution during the quarter. The Portfolio's macro composite was the best performing strategy and outpaced its benchmark by 40 basispoints. Transtrend, the Portfolio’s CTA manager, was the top performing Fund in the strategy returning +5.9%. The Fund benefited from trading incommodities and interest rates programs. Brevan Howard (+2.4%) also contributed to results within the segment as the manager benefited from itsdiscretionary macro and systematic strategies.
Carlson Double Black Diamond (+1.4%) and Pine River (+2.8%) were the top performing relative value managers as both funds benefited fromtheir mortgage backed security and equity related strategies. Fir Tree declined during the quarter with top holdings, Hertz and Argentineansovereign debt, performing poorly.
The Fund’s credit composite (-2.3%) outperformed its benchmark (-2.9%) on a relative basis but was the worst performing segment in the Portfolio.York (-3.0%) was the worst performing manager in the strategy as some of the Fund's liquidation claims traded down. Lehman Brothers tradeclaims, the Fund’s largest holding, declined as the courts ruled that an additional $2.5 billion in bankruptcy claims would have to be paid.
Investment ActivityOn October 1st, El Camino invested an additional $2.6 million to Davidson Kempner.
Recommendations or Action ItemsNone at this time.
Hedge Fund Portfolio Executive Summary
1
Allocation
MarketValue
($) %
Performance(%)
Quarter
YearTo
Date1
Year3
Years5
YearsSince
InvestedInception
Period
Hedge Fund Composite 92,260,050 100.0 0.6 3.5 8.5 N/A N/A 6.5 1y 5m
HFRI Fund of Funds Composite Index 0.3 2.4 6.1 5.2 3.4 4.9
Credit HF Composite 19,122,001 20.7 -2.3 8.3 13.7 N/A N/A 13.0 1y 5m
HFRI ED: Distressed/Restructuring Index -2.9 2.4 6.9 9.6 8.4 7.3
Equity HF Composite 36,014,091 39.0 0.8 1.2 6.5 N/A N/A 6.8 1y 5m
HFRI Equity Hedge (Total) Index -1.3 1.9 6.7 8.4 5.4 7.4
Macro HF Composite 18,524,165 20.1 3.2 4.3 8.4 N/A N/A 0.3 1y 5m
HFRI Macro (Total) Index 2.7 3.8 5.7 0.5 1.4 1.0
Relative Value HF Composite 18,599,793 20.2 0.6 1.8 6.6 N/A N/A 6.8 1y 5m
HFRI RV: Multi-Strategy Index 0.3 3.5 5.8 6.1 6.6 4.5
Asset Allocation & PerformanceEl Camino Hedge Fund PortfolioAs of September 30, 2014
2
-2.0
0.0
2.0
4.0
6.0
8.0
10.0
12.0
14.0
16.0
Retu
rn (%
)
0.0 2.0 4.0 6.0 8.0 10.0 12.0 14.0 16.0
Risk (Standard Deviation %)
HFRI RV: Multi-Strategy Index
HFRI Macro (Total) Index
HFRI ED: Distressed/Restructuring Index
HFRI Equity Hedge (Total) Index
HFRI Fund of Funds Composite Index
El Camino Relative Value HF Composite
El Camino Macro HF Composite
El Camino Equity HF Composite
El Camino Credit HF Composite
Hedge Fund Composite
Performance SummaryHedge Fund Composite Risk and Return Summary (Net of Fees)3 Years Ending September 30, 2014
After May 1, 2013, results are actual El Camino Hedge Fund Portfolio returns.
3
-2.0
0.0
2.0
4.0
6.0
8.0
10.0
12.0
14.0
16.0
Retu
rn (%
)
0.0 2.0 4.0 6.0 8.0 10.0 12.0 14.0 16.0
Risk (Standard Deviation %)
HFRI RV: Multi-Strategy Index
HFRI Macro (Total) Index
HFRI Fund of Funds Composite Index
HFRI Equity Hedge (Total) Index
HFRI ED: Distressed/Restructuring Index
El Camino Relative Value HF Composite
El Camino Macro HF Composite
El Camino Equity HF Composite
El Camino Credit HF Composite
Hedge Fund Composite
Performance SummaryHedge Fund Composite Risk and Return Summary (Net of Fees)5 Years Ending September 30, 2014
4
-4.0
-1.0
2.0
5.0
8.0
11.0
14.0
17.0
20.0
Retu
rn (%
)
0.0 2.0 4.0 6.0 8.0 10.0 12.0 14.0 16.0 18.0
Risk (Standard Deviation %)
HFRI Equity Hedge (Total) Index
HFRI RV: Multi-Strategy Index
HFRI Macro: Systematic Diversified Index
HFRI Macro (Total) Index
HFRI Equity Hedge (Total) Index
HFRI ED: Distressed/Restructuring Index
Fir Tree
Pine River Fund Ltd.
Carlson
Brevan Howard
Moore Macro Managers Fund
Robeco Transtrend
Indus Japan Fund Ltd.
Tiger Eye Fund, Ltd.
Bloom Tree Offshore Fund Ltd.
ESG
Capeview 1x
Capeview 2x
Passport 1x
Luxor
York
Marathon Special Opportunity Fund Ltd.
Davidson Kempner
Risk and ReturnHedge Fund Managers Risk Return (Net of Fees)3 Years Ending September 30, 2014
After May 1, 2013, results are actual El Camino Hedge Fund Portfolio returns.
5
-4.0
-1.0
2.0
5.0
8.0
11.0
14.0
17.0
20.0
Retu
rn (%
)
0.0 2.0 4.0 6.0 8.0 10.0 12.0 14.0
Risk (Standard Deviation %)
HFRI Equity Hedge (Total) IndexHFRI RV: Multi-Strategy Index
HFRI Macro: Systematic Diversified Index
HFRI Macro (Total) Index
HFRI Equity Hedge (Total) Index
HFRI ED: Distressed/Restructuring Index
Fir Tree Pine River Fund Ltd.
Carlson
Brevan Howard
Moore Macro Managers Fund
Robeco Transtrend
Indus Japan Fund Ltd.
Tiger Eye Fund, Ltd.
Bloom Tree Offshore Fund Ltd.
ESG Capeview 1x
Capeview 2x
Luxor
York
Marathon Special Opportunity Fund Ltd.
Davidson Kempner
Risk and ReturnHedge Fund Managers Risk Return (Net of Fees)5 Years Ending September 30, 2014
After May 1, 2013, results are actual El Camino Hedge Fund Portfolio returns.
6
5YearsReturn
5Years
StandardDeviation
5Years
MaximumDrawdown
5YearsBest
Quarter
5YearsWorst
Quarter
5Years
SharpeRatio
5Years
SortinoRatio
Total Portfolio
Hedge Fund Composite 8.0 4.5 -6.3 6.0 -4.6 1.7 1.9
HFRI Fund of Funds Composite Index 3.4 4.0 -7.7 4.0 -5.0 0.8 0.8
Equity Long/Short
El Camino Equity HF Composite 8.5 4.6 -3.1 9.1 -2.7 1.8 2.6
HFRI Equity Hedge (Total) Index 5.4 7.6 -13.2 7.9 -10.9 0.7 0.7
Credit
El Camino Credit HF Composite 11.7 7.1 -12.4 9.6 -10.4 1.6 1.1
HFRI ED: Distressed/Restructuring Index 8.4 5.1 -8.7 6.0 -7.8 1.6 1.3
Macro
El Camino Macro HF Composite 2.4 6.7 -7.4 7.8 -5.4 0.4 0.4
HFRI Macro (Total) Index 1.4 4.5 -8.0 6.8 -3.1 0.3 0.4
Relative Value
El Camino Relative Value HF Composite 9.2 5.8 -8.7 6.9 -7.4 1.6 1.5
HFRI RV: Multi-Strategy Index 6.6 3.3 -4.6 5.4 -3.0 1.9 2.0
El Camino Hedge Fund Portfolio Risk Statistics
As of September 30, 2014
After May 1, 2013, results are actual El Camino Hedge Fund Portfolio returns.
7
Manager Asset Class/Type
Equity Hedge Funds
ESG Emerging Market Equity
Luxor Event Driven Equity
CapeView 1x European Equity
CapeView 2x European Equity
Asset Class DiversificationHedge Fund PortfolioAs of September 30, 2014
CapeView 2x European Equity
Passport 1x US Equity
Passport 2x US Equity
Bloom Tree Global Equity
Tiger Eye US Equity
Indus Japan Japanese Equity
Credit Hedge Funds
Davidson Kempner Distressed Credit
York Multi-Strategy Credit
Marathon Multi-Strategy Credit
Macro Hedge Funds
Brevan Howard Discretionary Macro
Moore Discretionary Macro
Transtrend Systematic Macro
Relative Value Hedge Funds
Carlson Multi-Strategy
Fir Tree Multi-Strategy
Pine River Multi-Strategy
Total Hedge Fund Portfolio
Totals may not add up due to rounding.
Total Assets
($, mil.)
Percent of
Total
Target
Allocation
Weighting
Relative to
Target
$ 36.0 39.0% 40.0% - 1.0%
$ 5.1 5.5%
$ 5.5 6.0%
$ 2.7 2.9%
$ 2.9 3.2%$ 2.9 3.2%
$ 2.6 2.8%
$ 2.7 2.9%
$ 4.7 5.1%
$ 4.6 5.0%
$ 5.3 5.7%
$ 19.1 20.7% 20.0% + 0.7%
$ 6.0 6.5%
$ 7.6 8.2%
$ 5.5 6.0%
$ 18.5 20.1% 20.0% + 0.1%
$ 5.9 6.4%
$ 6.1 6.6%
$ 6.5 7.0%
$ 18.6 20.2% 20.0% + 0.2%
$ 5.6 6.0%
$ 6.9 7.5%
$ 6.1 6.6%
$ 92.3 100.0%
8
Quarter
YearTo
Date1
Year3
Years5
YearsSince
Invested 2013 2012 2011 2010 2009 2008Inception
Period
Total Portfolio
Hedge Fund Composite 0.6 3.5 8.5 9.6 8.0 6.5 14.0 9.9 -0.9 11.4 19.7 -10.0 1y 5m
HFRI Fund of Funds Composite Index 0.3 2.4 6.1 5.2 3.4 4.9 9.0 4.8 -5.7 5.7 11.5 -21.4
Equity Long/Short
El Camino Equity HF Composite 0.8 1.2 6.5 9.5 8.5 6.8 20.6 7.7 0.0 11.3 16.8 -12.7 1y 5m
HFRI Equity Hedge (Total) Index -1.3 1.9 6.7 8.4 5.4 7.4 14.3 7.4 -8.4 10.5 24.6 -26.7
ESG Cross Border Equity Offshore Fund, Ltd. -3.9 -3.5 -0.7 4.7 8.0 1.6 13.4 6.7 9.3 11.0 7.9 -21.2 1y 5m
Luxor Capital Partners Offshore, Ltd. -0.4 1.1 6.9 5.5 5.2 7.6 16.1 1.7 -3.2 4.6 43.9 -29.0 1y 5m
Capeview Azri Fund 3.4 2.2 6.1 7.1 7.1 6.0 11.4 5.8 1.3 12.8 8.7 10.5 1y 3m
Capeview Azri 2X Fund 7.1 4.7 13.0 15.2 15.2 12.8 24.4 12.7 4.3 26.9 18.0 21.8 1y 3m
Passport Long Short Fund, Ltd. 0.5 0.4 4.0 10.2 N/A 2.7 19.8 12.1 -7.2 N/A N/A N/A 1y 2m
Passport Long Short Fund, Ltd. 2x 1.2 0.7 8.2 21.0 N/A 5.2 43.4 24.4 -14.5 N/A N/A N/A 1y 2m
Bloom Tree Offshore Fund Ltd. 0.1 2.3 8.6 13.4 12.4 4.1 12.8 13.7 23.7 5.8 9.1 N/A 0y 6m
Tiger Eye Fund, Ltd. 0.6 1.3 10.6 17.3 15.2 2.0 37.7 17.7 5.6 10.1 N/A N/A 0y 6m
Indus Japan Fund Ltd. 3.3 1.4 10.7 16.5 10.6 5.0 45.0 8.1 -1.6 8.1 8.6 -9.1 0y 10m
Credit
El Camino Credit HF Composite -2.3 8.3 13.7 15.4 11.7 13.0 18.6 16.2 -2.1 10.8 42.6 -18.7 1y 5m
HFRI ED: Distressed/Restructuring Index -2.9 2.4 6.9 9.6 8.4 7.3 14.0 10.1 -1.8 12.1 28.1 -25.2
DK Distressed Opportunities International, Ltd. -1.6 8.0 13.5 14.9 11.3 14.0 21.7 13.5 -2.4 10.2 46.2 -22.8 1y 5m
Marathon Special Opportunity Fund Ltd. -2.1 2.8 9.7 12.0 10.7 0.5 19.6 16.5 -4.8 9.1 43.8 -30.1 0y 6m
York Credit Opportunities Unit Trust -3.0 9.5 14.8 16.2 12.2 12.6 15.6 18.9 -1.8 11.4 38.8 -14.6 1y 5m
Pro Forma Performance Summary
As of September 30, 2014
_________________________Returns are expressed as percentages. Returns for periods greater than one year are annualized.Peer group percentile ranks are shown in parenthesis.After May 1, 2013, results are actual El Camino Hedge Fund Portfolio returns.Returns for Passport Long Short Fund, Ltd. 2x prior to January 2013 represent Passport Long Short Fund, Ltd., returns for CapeView Azri 2x Fund prior toOctober 2010 represent CapeView Azri Fund, and returns for Robeco Transtrend Diversified Fund, LLC prior to April 2008 represent Transtrend DiversifiedTrend Program Enhanced Risk (USD) Fund.
9
Pro Forma Performance Summary
As of September 30, 2014
Quarter
YearTo
Date1
Year3
Years5
YearsSince
Invested 2013 2012 2011 2010 2009 2008Inception
Period
Macro
El Camino Macro HF Composite 3.2 4.3 8.4 2.7 2.4 0.3 0.7 3.4 -2.9 10.4 0.6 12.0 1y 5m
HFRI Macro (Total) Index 2.7 3.8 5.7 0.5 1.4 1.0 -0.4 -0.1 -4.2 8.1 4.3 4.8
Brevan Howard Multi-Strategy Fund Limited 2.4 1.4 3.0 2.3 3.4 -1.2 0.8 5.3 6.0 2.3 17.4 N/A 1y 5m
Moore Macro Managers Fund 1.2 3.0 5.9 7.8 6.9 2.0 13.4 8.9 -2.6 11.6 17.1 0.4 0y 6m
Robeco Transtrend Diversified Fund LLC 5.9 11.4 18.8 4.3 1.8 4.5 0.6 1.2 -11.3 18.6 -14.1 25.3 1y 5m
Relative Value
El Camino Relative Value HF Composite 0.6 1.8 6.6 11.4 9.2 6.8 12.7 14.3 0.2 13.1 24.9 -16.0 1y 5m
HFRI RV: Multi-Strategy Index 0.3 3.5 5.8 6.1 6.6 4.5 7.9 8.2 -2.4 13.2 24.7 -20.3
Double Black Diamond, Ltd. Series E 1.4 5.9 10.2 8.9 7.3 7.8 8.1 11.6 -2.2 9.5 28.3 -13.4 1y 5m
Fir Tree International Value Fund (Non-US), L.P. -1.9 -1.9 3.1 14.0 11.1 5.8 17.2 16.9 2.4 16.7 21.1 -19.4 1y 5m
Pine River Fund Ltd. 2.8 4.2 4.5 10.6 11.6 1.8 9.7 21.7 5.7 13.9 91.0 -26.7 0y 6m
_________________________Returns are expressed as percentages. Returns for periods greater than one year are annualized.Peer group percentile ranks are shown in parenthesis.After May 1, 2013, results are actual El Camino Hedge Fund Portfolio returns.Returns for Passport Long Short Fund, Ltd. 2x prior to January 2013 represent Passport Long Short Fund, Ltd., returns for CapeView Azri 2x Fund prior toOctober 2010 represent CapeView Azri Fund, and returns for Robeco Transtrend Diversified Fund, LLC prior to April 2008 represent Transtrend DiversifiedTrend Program Enhanced Risk (USD) Fund.
10
Hedge Fund ManagerPerformance
11
Historical Performance
Comparative Performance and Rolling Return Risk and Return (Jan-2004 - Sep-2014)
Historical Statistics (Jan-2004 - Sep-2014)
Quarter
YearTo
Date1
Year3
Years5
Years10
Years 2013 2012 2011 2010 2009 2008 2007 2006 2005 2004
ESG Cross Border Equity Offshore Fund, Ltd. -3.9 -3.5 -0.7 4.7 8.0 10.1 13.4 6.7 9.3 11.0 7.9 -21.2 21.0 14.8 35.1 31.4
HFRI Equity Hedge (Total) Index -1.3 1.9 6.7 8.4 5.4 5.3 14.3 7.4 -8.4 10.5 24.6 -26.7 10.5 11.7 10.6 7.7
MSCI Emerging Markets Index -3.4 2.7 4.7 7.6 4.8 11.0 -2.3 18.6 -18.2 19.2 79.0 -53.2 39.8 32.6 34.5 26.0
-5.0
0.0
5.0
10.0
15.0
20.0
Re
turn
(%)
8.2 8.4 8.6 8.8 9.0 9.2Risk (Standard Deviation %)
HFRI Equity Hedge (Total) Index
ESG Cross Border Equity Offshore Fund, Ltd.
Rolling 3 Years Active Return Quarterly Active Return
0.0
10.0
20.0
30.0
-10.0
-20.0
Ac
tive
Re
turn
(%)
3/04 3/05 3/06 3/07 3/08 3/09 3/10 3/11 3/12 3/13 9/14
ReturnStandardDeviation
ExcessReturn Alpha Beta
SharpeRatio
TrackingError
InformationRatio
DownsideRisk Consistency
InceptionDate
ESG Cross Border Equity Offshore Fund, Ltd. 10.7 8.9 9.1 8.1 0.5 1.0 8.8 0.6 5.1 55.0 10y 9m
HFRI Equity Hedge (Total) Index 5.1 8.5 3.8 0.0 1.0 0.4 0.0 N/A 6.0 0.0 10y 9m
90 Day U.S. Treasury Bill 1.5 0.5 0.0 1.5 0.0 N/A 8.5 -0.4 0.0 38.0 10y 9m
Manager EvaluationESG Cross Border Equity Offshore Fund, Ltd. vs. HFRI Equity Hedge (Total) IndexAs of September 30, 2014
12
Historical Performance
Comparative Performance and Rolling Return Risk and Return (Apr-2002 - Sep-2014)
Historical Statistics (Apr-2002 - Sep-2014)
Quarter
YearTo
Date1
Year3
Years5
Years10
Years 2013 2012 2011 2010 2009 2008 2007 2006 2005 2004
Luxor Capital Partners Offshore, Ltd. -0.4 1.1 6.9 5.5 5.2 9.7 16.1 1.7 -3.2 4.6 43.9 -29.0 79.3 -1.4 6.9 28.9
HFRI Equity Hedge (Total) Index -1.3 1.9 6.7 8.4 5.4 5.3 14.3 7.4 -8.4 10.5 24.6 -26.7 10.5 11.7 10.6 7.7
DJ Credit Suisse Event Driven Index -1.8 3.8 8.8 10.1 7.3 7.5 15.5 10.6 -9.1 12.6 20.4 -17.7 13.2 15.7 8.9 14.5
-8.0
0.0
8.0
16.0
24.0
Re
turn
(%)
6.0 8.0 10.0 12.0 14.0 16.0Risk (Standard Deviation %)
HFRI Equity Hedge (Total) Index
Luxor Capital Partners Offshore, Ltd.
Rolling 3 Years Active Return Quarterly Active Return
0.0
15.0
30.0
45.0
-15.0
-30.0
Ac
tive
Re
turn
(%)
6/02 9/03 12/04 3/06 6/07 9/08 12/09 3/11 6/12 9/13 9/14
ReturnStandardDeviation
ExcessReturn Alpha Beta
SharpeRatio
TrackingError
InformationRatio
DownsideRisk Consistency
InceptionDate
Luxor Capital Partners Offshore, Ltd. 12.7 12.2 11.3 8.8 0.8 0.9 10.5 0.7 7.5 56.7 12y 6m
HFRI Equity Hedge (Total) Index 5.4 8.3 4.1 0.0 1.0 0.5 0.0 N/A 5.7 0.0 12y 6m
90 Day U.S. Treasury Bill 1.5 0.5 0.0 1.5 0.0 N/A 8.3 -0.5 0.0 38.0 12y 6m
Manager EvaluationLuxor Capital Partners Offshore, Ltd. vs. HFRI Equity Hedge (Total) IndexAs of September 30, 2014
13
Historical Performance
Comparative Performance and Rolling Return Risk and Return (Nov-2007 - Sep-2014)
Historical Statistics (Nov-2007 - Sep-2014)
Quarter
YearTo
Date1
Year3
Years5
Years10
Years 2013 2012 2011 2010 2009 2008 2007 2006 2005 2004
Capeview Azri Fund 3.4 2.2 6.1 7.1 7.1 N/A 11.4 5.8 1.3 12.8 8.7 10.5 N/A N/A N/A N/A
HFRI Equity Hedge (Total) Index -1.3 1.9 6.7 8.4 5.4 5.3 14.3 7.4 -8.4 10.5 24.6 -26.7 10.5 11.7 10.6 7.7
MSCI Europe Index -7.0 -1.4 6.4 16.2 7.5 7.2 26.0 19.9 -10.5 4.5 36.8 -46.1 14.4 34.4 9.9 21.4
-12.0
-6.0
0.0
6.0
12.0
18.0
Re
turn
(%)
0.0 2.0 4.0 6.0 8.0 10.0 12.0 14.0Risk (Standard Deviation %)
HFRI Equity Hedge (Total) Index
Capeview Azri Fund
Rolling 3 Years Active Return Quarterly Active Return
0.0
10.0
20.0
30.0
-10.0
-20.0
Ac
tive
Re
turn
(%)
3/08 12/08 9/09 6/10 3/11 12/11 9/12 6/13 3/14 9/14
ReturnStandardDeviation
ExcessReturn Alpha Beta
SharpeRatio
TrackingError
InformationRatio
DownsideRisk Consistency
InceptionDate
Capeview Azri Fund 8.4 3.6 7.6 8.2 0.1 2.2 9.6 0.6 1.3 47.0 6y 11m
HFRI Equity Hedge (Total) Index 1.8 9.6 1.7 0.0 1.0 0.2 0.0 N/A 7.2 0.0 6y 11m
90 Day U.S. Treasury Bill 0.5 0.3 0.0 0.5 0.0 N/A 9.8 -0.2 0.0 41.0 6y 11m
Manager EvaluationCapeview Azri Fund vs. HFRI Equity Hedge (Total) IndexAs of September 30, 2014
14
Historical Performance
Comparative Performance and Rolling Return Risk and Return (Jul-2010 - Sep-2014)
Historical Statistics (Jul-2010 - Sep-2014)
Quarter
YearTo
Date1
Year3
Years5
Years10
Years 2013 2012 2011 2010 2009 2008 2007 2006 2005 2004
Capeview Azri 2X Fund 7.1 4.7 13.0 15.2 15.2 N/A 24.4 12.7 4.3 26.9 18.0 21.8 N/A N/A N/A N/A
HFRI Equity Hedge (Total) Index -1.3 1.9 6.7 8.4 5.4 5.3 14.3 7.4 -8.4 10.5 24.6 -26.7 10.5 11.7 10.6 7.7
MSCI Europe Index -7.0 -1.4 6.4 16.2 7.5 7.2 26.0 19.9 -10.5 4.5 36.8 -46.1 14.4 34.4 9.9 21.4
-8.0
0.0
8.0
16.0
24.0
32.0
Re
turn
(%)
6.3 6.6 6.9 7.2 7.5 7.8 8.1Risk (Standard Deviation %)
HFRI Equity Hedge (Total) Index
Capeview Azri 2X Fund
Rolling 3 Years Active Return Quarterly Active Return
0.0
8.0
16.0
-8.0
-16.0
Ac
tive
Re
turn
(%)
9/10 3/11 9/11 3/12 9/12 3/13 9/13 3/14 9/14
ReturnStandardDeviation
ExcessReturn Alpha Beta
SharpeRatio
TrackingError
InformationRatio
DownsideRisk Consistency
InceptionDate
Capeview Azri 2X Fund 14.8 6.8 14.1 13.0 0.3 2.1 8.3 0.9 2.8 62.7 4y 3m
HFRI Equity Hedge (Total) Index 6.2 7.6 6.3 0.0 1.0 0.8 0.0 N/A 4.9 0.0 4y 3m
90 Day U.S. Treasury Bill 0.1 0.0 0.0 0.1 0.0 N/A 7.6 -0.8 0.0 37.3 4y 3m
Manager EvaluationCapeview Azri 2X Fund vs. HFRI Equity Hedge (Total) IndexAs of September 30, 2014
Prior to October 2010, returns respresent CapeView Azri Fund, Ltd. multiplied by 2.
15
Historical Performance
Comparative Performance and Rolling Return Risk and Return (Jun-2010 - Sep-2014)
Historical Statistics (Jun-2010 - Sep-2014)
Quarter
YearTo
Date1
Year3
Years5
Years10
Years 2013 2012 2011 2010 2009 2008 2007 2006 2005 2004
Passport Long Short Fund, Ltd. 0.5 0.4 4.0 10.2 N/A N/A 19.8 12.1 -7.2 N/A N/A N/A N/A N/A N/A N/A
HFRI Equity Hedge (Total) Index -1.3 1.9 6.7 8.4 5.4 5.3 14.3 7.4 -8.4 10.5 24.6 -26.7 10.5 11.7 10.6 7.7
MSCI AC World Index -2.2 4.2 11.9 17.2 10.6 7.8 23.4 16.8 -6.9 13.2 35.4 -41.8 12.2 21.5 11.4 15.8
0.0
3.0
6.0
9.0
12.0
15.0
Re
turn
(%)
7.2 7.4 7.6 7.8 8.0 8.2 8.4Risk (Standard Deviation %)
HFRI Equity Hedge (Total) Index
Passport Long Short Fund, Ltd.
Rolling 3 Years Active Return Quarterly Active Return
0.0
4.0
8.0
-4.0
-8.0
Ac
tive
Re
turn
(%)
9/10 3/11 9/11 3/12 9/12 3/13 9/13 3/14 9/14
ReturnStandardDeviation
ExcessReturn Alpha Beta
SharpeRatio
TrackingError
InformationRatio
DownsideRisk Consistency
InceptionDate
Passport Long Short Fund, Ltd. 8.6 8.0 8.5 5.9 0.5 1.1 8.2 0.3 4.6 48.1 4y 4m
HFRI Equity Hedge (Total) Index 5.6 7.6 5.7 0.0 1.0 0.8 0.0 N/A 5.0 0.0 4y 4m
90 Day U.S. Treasury Bill 0.1 0.0 0.0 0.1 0.0 N/A 7.6 -0.8 0.0 38.5 4y 4m
Manager EvaluationPassport Long Short Fund, Ltd. vs. HFRI Equity Hedge (Total) IndexAs of September 30, 2014
16
Historical Performance
Comparative Performance and Rolling Return Risk and Return (Jan-2013 - Sep-2014)
Historical Statistics (Jan-2013 - Sep-2014)
Quarter
YearTo
Date1
Year3
Years5
Years10
Years 2013 2012 2011 2010 2009 2008 2007 2006 2005 2004
Passport Long Short Fund, Ltd. 2x 1.2 0.7 8.2 21.0 N/A N/A 43.4 24.4 -14.5 N/A N/A N/A N/A N/A N/A N/A
HFRI Equity Hedge (Total) Index -1.3 1.9 6.7 8.4 5.4 5.3 14.3 7.4 -8.4 10.5 24.6 -26.7 10.5 11.7 10.6 7.7
MSCI AC World Index -2.2 4.2 11.9 17.2 10.6 7.8 23.4 16.8 -6.9 13.2 35.4 -41.8 12.2 21.5 11.4 15.8
-15.0
0.0
15.0
30.0
45.0
Re
turn
(%)
0.0 2.0 4.0 6.0 8.0 10.0 12.0 14.0 16.0Risk (Standard Deviation %)
HFRI Equity Hedge (Total) Index
Passport Long Short Fund, Ltd. 2x
Rolling 3 Years Active Return Quarterly Active Return
0.0
8.0
16.0
24.0
-8.0
Ac
tive
Re
turn
(%)
3/13 6/13 9/13 12/13 3/14 6/14 9/14
ReturnStandardDeviation
ExcessReturn Alpha Beta
SharpeRatio
TrackingError
InformationRatio
DownsideRisk Consistency
InceptionDate
Passport Long Short Fund, Ltd. 2x 23.4 11.5 21.8 19.8 0.4 1.9 11.7 1.1 4.9 66.7 1y 9m
HFRI Equity Hedge (Total) Index 9.1 5.1 8.8 0.0 1.0 1.7 0.0 N/A 2.3 0.0 1y 9m
90 Day U.S. Treasury Bill 0.1 0.0 0.0 0.1 0.0 N/A 5.1 -1.7 0.0 33.3 1y 9m
Manager EvaluationPassport Long Short Fund, Ltd. 2x vs. HFRI Equity Hedge (Total) IndexAs of September 30, 2014
Prior to January 2013, returns represent Passport Long Short Fund, Ltd. multiplied by 2.
17
Historical Performance
Comparative Performance and Rolling Return Risk and Return (May-2008 - Sep-2014)
Historical Statistics (May-2008 - Sep-2014)
Quarter
YearTo
Date1
Year3
Years5
Years10
Years 2013 2012 2011 2010 2009 2008 2007 2006 2005 2004
Bloom Tree Offshore Fund Ltd. 0.1 2.3 8.6 13.4 12.4 N/A 12.8 13.7 23.7 5.8 9.1 N/A N/A N/A N/A N/A
HFRI Equity Hedge (Total) Index -1.3 1.9 6.7 8.4 5.4 5.3 14.3 7.4 -8.4 10.5 24.6 -26.7 10.5 11.7 10.6 7.7
MSCI AC World Index -2.2 4.2 11.9 17.2 10.6 7.8 23.4 16.8 -6.9 13.2 35.4 -41.8 12.2 21.5 11.4 15.8
-6.0
0.0
6.0
12.0
18.0
Re
turn
(%)
9.2 9.4 9.6 9.8 10.0 10.2 10.4 10.6 10.8Risk (Standard Deviation %)
HFRI Equity Hedge (Total) Index
Bloom Tree Offshore Fund Ltd.
Rolling 3 Years Active Return Quarterly Active Return
0.0
15.0
30.0
-15.0
-30.0
Ac
tive
Re
turn
(%)
9/08 6/09 3/10 12/10 9/11 6/12 3/13 12/13 9/14
ReturnStandardDeviation
ExcessReturn Alpha Beta
SharpeRatio
TrackingError
InformationRatio
DownsideRisk Consistency
InceptionDate
Bloom Tree Offshore Fund Ltd. 9.8 10.3 9.7 9.8 0.2 0.9 13.0 0.5 6.0 58.4 6y 5m
HFRI Equity Hedge (Total) Index 2.9 9.6 3.1 0.0 1.0 0.3 0.0 N/A 7.1 0.0 6y 5m
90 Day U.S. Treasury Bill 0.2 0.2 0.0 0.3 0.0 N/A 9.7 -0.3 0.0 40.3 6y 5m
Manager EvaluationBloom Tree Offshore Fund Ltd. vs. HFRI Equity Hedge (Total) IndexAs of September 30, 2014
18
Historical Performance
Comparative Performance and Rolling Return Risk and Return (Apr-2009 - Sep-2014)
Historical Statistics (Apr-2009 - Sep-2014)
Quarter
YearTo
Date1
Year3
Years5
Years10
Years 2013 2012 2011 2010 2009 2008 2007 2006 2005 2004
Tiger Eye Fund, Ltd. 0.6 1.3 10.6 17.3 15.2 N/A 37.7 17.7 5.6 10.1 N/A N/A N/A N/A N/A N/A
HFRI Equity Hedge (Total) Index -1.3 1.9 6.7 8.4 5.4 5.3 14.3 7.4 -8.4 10.5 24.6 -26.7 10.5 11.7 10.6 7.7
Russell 3000 Index 0.0 7.0 17.8 23.1 15.8 8.4 33.6 16.4 1.0 16.9 28.3 -37.3 5.1 15.7 6.1 11.9
0.0
6.0
12.0
18.0
24.0
Re
turn
(%)
6.8 7.0 7.2 7.4 7.6 7.8 8.0 8.2 8.4 8.6Risk (Standard Deviation %)
HFRI Equity Hedge (Total) Index
Tiger Eye Fund, Ltd.
Rolling 3 Years Active Return Quarterly Active Return
0.0
10.0
20.0
30.0
-10.0
-20.0
Ac
tive
Re
turn
(%)
6/09 12/09 6/10 12/10 6/11 12/11 6/12 12/12 6/13 12/13 9/14
ReturnStandardDeviation
ExcessReturn Alpha Beta
SharpeRatio
TrackingError
InformationRatio
DownsideRisk Consistency
InceptionDate
Tiger Eye Fund, Ltd. 15.0 7.4 14.2 10.3 0.5 1.9 7.3 0.8 2.9 60.6 5y 6m
HFRI Equity Hedge (Total) Index 8.7 8.0 8.6 0.0 1.0 1.1 0.0 N/A 4.8 0.0 5y 6m
90 Day U.S. Treasury Bill 0.1 0.0 0.0 0.1 0.0 N/A 8.0 -1.1 0.0 34.8 5y 6m
Manager EvaluationTiger Eye Fund, Ltd. vs. HFRI Equity Hedge (Total) IndexAs of September 30, 2014
19
Historical Performance
Comparative Performance and Rolling Return Risk and Return (Dec-2000 - Sep-2014)
Historical Statistics (Dec-2000 - Sep-2014)
Quarter
YearTo
Date1
Year3
Years5
Years10
Years 2013 2012 2011 2010 2009 2008 2007 2006 2005 2004
Indus Japan Fund Ltd. 3.3 1.4 10.7 16.5 10.6 8.2 45.0 8.1 -1.6 8.1 8.6 -9.1 -6.5 3.8 30.8 14.1
HFRI Equity Hedge (Total) Index -1.3 1.9 6.7 8.4 5.4 5.3 14.3 7.4 -8.4 10.5 24.6 -26.7 10.5 11.7 10.6 7.7
MSCI Japan Index -2.2 -1.4 0.9 9.4 5.6 4.0 27.3 8.4 -14.2 15.6 6.4 -29.1 -4.1 6.3 25.6 15.9
0.0
3.0
6.0
9.0
12.0
15.0
Re
turn
(%)
6.6 7.2 7.8 8.4 9.0 9.6 10.2 10.8 11.4Risk (Standard Deviation %)
HFRI Equity Hedge (Total) Index
Indus Japan Fund Ltd.
Rolling 3 Years Active Return Quarterly Active Return
0.0
8.0
16.0
24.0
-8.0
-16.0
Ac
tive
Re
turn
(%)
3/01 6/02 9/03 12/04 3/06 6/07 9/08 12/09 3/11 6/12 9/13 9/14
ReturnStandardDeviation
ExcessReturn Alpha Beta
SharpeRatio
TrackingError
InformationRatio
DownsideRisk Consistency
InceptionDate
Indus Japan Fund Ltd. 8.5 10.2 7.0 5.5 0.6 0.7 9.4 0.4 5.9 53.0 13y 10m
HFRI Equity Hedge (Total) Index 5.2 8.2 3.7 0.0 1.0 0.5 0.0 N/A 5.6 0.0 13y 10m
90 Day U.S. Treasury Bill 1.7 0.6 0.0 1.8 0.0 N/A 8.2 -0.5 0.0 38.6 13y 10m
Manager EvaluationIndus Japan Fund Ltd. vs. HFRI Equity Hedge (Total) IndexAs of September 30, 2014
20
Historical Performance
Comparative Performance and Rolling Return Risk and Return (Apr-2005 - Sep-2014)
Historical Statistics (Apr-2005 - Sep-2014)
Quarter
YearTo
Date1
Year3
Years5
Years10
Years 2013 2012 2011 2010 2009 2008 2007 2006 2005 2004
DK Distressed Opportunities International, Ltd. -1.6 8.0 13.5 14.9 11.3 N/A 21.7 13.5 -2.4 10.2 46.2 -22.8 6.0 29.1 N/A N/A
HFRI ED: Distressed/Restructuring Index -2.9 2.4 6.9 9.6 8.4 6.8 14.0 10.1 -1.8 12.1 28.1 -25.2 5.1 15.9 8.3 18.9
Barclays Global High Yield Index -3.3 2.6 6.5 11.6 10.4 8.9 7.3 19.6 3.1 14.8 59.4 -26.9 3.2 13.7 3.6 13.2
0.0
5.0
10.0
15.0
20.0
Re
turn
(%)
4.5 5.4 6.3 7.2 8.1 9.0 9.9 10.8 11.7Risk (Standard Deviation %)
HFRI ED: Distressed/Restructuring Index
DK Distressed Opportunities International, Ltd.
Rolling 3 Years Active Return Quarterly Active Return
0.0
6.0
12.0
18.0
-6.0
-12.0
Ac
tive
Re
turn
(%)
6/05 6/06 6/07 6/08 6/09 6/10 6/11 6/12 6/13 9/14
ReturnStandardDeviation
ExcessReturn Alpha Beta
SharpeRatio
TrackingError
InformationRatio
DownsideRisk Consistency
InceptionDate
DK Distressed Opportunities International, Ltd. 11.4 9.8 9.8 3.9 1.2 1.0 5.8 0.9 5.6 60.5 9y 6m
HFRI ED: Distressed/Restructuring Index 6.1 6.6 4.7 0.0 1.0 0.7 0.0 N/A 4.7 0.0 9y 6m
90 Day U.S. Treasury Bill 1.5 0.6 0.0 1.6 0.0 N/A 6.7 -0.7 0.0 32.5 9y 6m
Manager EvaluationDK Distressed Opportunities International, Ltd. vs. HFRI ED: Distressed/Restructuring IndexAs of September 30, 2014
21
Historical Performance
Comparative Performance and Rolling Return Risk and Return (Feb-2001 - Sep-2014)
Historical Statistics (Feb-2001 - Sep-2014)
Quarter
YearTo
Date1
Year3
Years5
Years10
Years 2013 2012 2011 2010 2009 2008 2007 2006 2005 2004
York Credit Opportunities Unit Trust -3.0 9.5 14.8 16.2 12.2 13.9 15.6 18.9 -1.8 11.4 38.8 -14.6 25.8 19.0 8.5 38.6
HFRI ED: Distressed/Restructuring Index -2.9 2.4 6.9 9.6 8.4 6.8 14.0 10.1 -1.8 12.1 28.1 -25.2 5.1 15.9 8.3 18.9
Barclays Global High Yield Index -3.3 2.6 6.5 11.6 10.4 8.9 7.3 19.6 3.1 14.8 59.4 -26.9 3.2 13.7 3.6 13.2
-10.0
0.0
10.0
20.0
30.0
Re
turn
(%)
4.0 4.8 5.6 6.4 7.2 8.0 8.8 9.6 10.4Risk (Standard Deviation %)
HFRI ED: Distressed/Restructuring Index
York Credit Opportunities Unit Trust
Rolling 3 Years Active Return Quarterly Active Return
0.0
8.0
16.0
24.0
-8.0
-16.0
Ac
tive
Re
turn
(%)
6/01 9/02 12/03 3/05 6/06 9/07 12/08 3/10 6/11 9/12 9/14
ReturnStandardDeviation
ExcessReturn Alpha Beta
SharpeRatio
TrackingError
InformationRatio
DownsideRisk Consistency
InceptionDate
York Credit Opportunities Unit Trust 17.1 8.7 14.6 6.7 1.1 1.7 5.3 1.4 4.4 68.3 13y 8m
HFRI ED: Distressed/Restructuring Index 8.9 6.2 7.1 0.0 1.0 1.1 0.0 N/A 4.0 0.0 13y 8m
90 Day U.S. Treasury Bill 1.7 0.5 0.0 1.7 0.0 N/A 6.3 -1.1 0.0 29.3 13y 8m
Manager EvaluationYork Credit Opportunities Unit Trust vs. HFRI ED: Distressed/Restructuring IndexAs of September 30, 2014
22
Historical Performance
Comparative Performance and Rolling Return Risk and Return (May-1999 - Sep-2014)
Historical Statistics (May-1999 - Sep-2014)
Quarter
YearTo
Date1
Year3
Years5
Years10
Years 2013 2012 2011 2010 2009 2008 2007 2006 2005 2004
Marathon Special Opportunity Fund Ltd. -2.1 2.8 9.7 12.0 10.7 8.3 19.6 16.5 -4.8 9.1 43.8 -30.1 4.0 13.3 14.1 28.8
HFRI ED: Distressed/Restructuring Index -2.9 2.4 6.9 9.6 8.4 6.8 14.0 10.1 -1.8 12.1 28.1 -25.2 5.1 15.9 8.3 18.9
Barclays Global High Yield Index -3.3 2.6 6.5 11.6 10.4 8.9 7.3 19.6 3.1 14.8 59.4 -26.9 3.2 13.7 3.6 13.2
0.0
6.0
12.0
18.0
24.0
Re
turn
(%)
2.0 4.0 6.0 8.0 10.0 12.0 14.0Risk (Standard Deviation %)
HFRI ED: Distressed/Restructuring Index
Marathon Special Opportunity Fund Ltd.
Rolling 3 Years Active Return Quarterly Active Return
0.0
10.0
20.0
30.0
-10.0
-20.0
Ac
tive
Re
turn
(%)
9/99 3/01 9/02 3/04 9/05 3/07 9/08 3/10 9/11 3/13 9/14
ReturnStandardDeviation
ExcessReturn Alpha Beta
SharpeRatio
TrackingError
InformationRatio
DownsideRisk Consistency
InceptionDate
Marathon Special Opportunity Fund Ltd. 15.0 10.1 12.4 5.5 1.1 1.2 7.7 0.8 5.1 60.5 15y 5m
HFRI ED: Distressed/Restructuring Index 8.7 6.1 6.5 0.0 1.0 1.1 0.0 N/A 3.9 0.0 15y 5m
90 Day U.S. Treasury Bill 2.1 0.6 0.0 2.2 0.0 N/A 6.2 -1.1 0.0 31.4 15y 5m
Manager EvaluationMarathon Special Opportunity Fund Ltd. vs. HFRI ED: Distressed/Restructuring IndexAs of September 30, 2014
23
Historical Performance
Comparative Performance and Rolling Return Risk and Return (Mar-2008 - Sep-2014)
Historical Statistics (Mar-2008 - Sep-2014)
Quarter
YearTo
Date1
Year3
Years5
Years10
Years 2013 2012 2011 2010 2009 2008 2007 2006 2005 2004
Brevan Howard Multi-Strategy Fund Limited 2.4 1.4 3.0 2.3 3.4 N/A 0.8 5.3 6.0 2.3 17.4 N/A N/A N/A N/A N/A
HFRI Macro (Total) Index 2.7 3.8 5.7 0.5 1.4 4.6 -0.4 -0.1 -4.2 8.1 4.3 4.8 11.1 8.2 6.8 4.6
DJ Credit Suisse Global Macro Index 1.7 2.6 5.5 4.0 6.7 8.1 4.3 4.6 6.4 13.5 11.5 -4.6 17.4 13.5 9.2 8.5
-3.0
0.0
3.0
6.0
9.0
Re
turn
(%)
4.4 4.5 4.6 4.7Risk (Standard Deviation %)
HFRI Macro (Total) Index
Brevan Howard Multi-Strategy Fund Limited
Rolling 3 Years Active Return Quarterly Active Return
0.0
5.0
10.0
15.0
-5.0
-10.0
Ac
tive
Re
turn
(%)
6/08 3/09 12/09 9/10 6/11 3/12 12/12 9/13 9/14
ReturnStandardDeviation
ExcessReturn Alpha Beta
SharpeRatio
TrackingError
InformationRatio
DownsideRisk Consistency
InceptionDate
Brevan Howard Multi-Strategy Fund Limited 4.4 4.6 4.1 3.7 0.5 0.9 4.7 0.6 2.7 59.5 6y 7m
HFRI Macro (Total) Index 1.6 4.5 1.4 0.0 1.0 0.3 0.0 N/A 2.8 0.0 6y 7m
90 Day U.S. Treasury Bill 0.3 0.2 0.0 0.3 0.0 N/A 4.6 -0.3 0.0 53.2 6y 7m
Manager EvaluationBrevan Howard Multi-Strategy Fund Limited vs. HFRI Macro (Total) IndexAs of September 30, 2014
24
Historical Performance
Comparative Performance and Rolling Return Risk and Return (Apr-2008 - Sep-2014)
Historical Statistics (Apr-2008 - Sep-2014)
Quarter
YearTo
Date1
Year3
Years5
Years10
Years 2013 2012 2011 2010 2009 2008 2007 2006 2005 2004
Robeco Transtrend Diversified Fund LLC 5.9 11.4 18.8 4.3 1.8 9.0 0.6 1.2 -11.3 18.6 -14.1 25.3 27.9 16.3 12.1 22.8
HFRI Macro: Systematic Diversified Index 4.6 4.8 7.9 -0.8 1.2 7.0 -0.9 -2.5 -3.5 9.8 -1.7 18.1 10.3 16.8 14.4 6.4
DJ Credit Suisse Managed Futures Index 5.7 6.4 11.9 -1.2 1.1 4.3 -2.6 -2.9 -4.2 12.2 -6.6 18.3 6.0 8.1 -0.1 6.0
0.0
1.5
3.0
4.5
6.0
Re
turn
(%)
4.0 6.0 8.0 10.0 12.0 14.0 16.0Risk (Standard Deviation %)
HFRI Macro: Systematic Diversified Index
Robeco Transtrend Diversified Fund LLC
Rolling 3 Years Active Return Quarterly Active Return
0.0
6.0
12.0
-6.0
-12.0
Ac
tive
Re
turn
(%)
6/08 3/09 12/09 9/10 6/11 3/12 12/12 9/13 9/14
ReturnStandardDeviation
ExcessReturn Alpha Beta
SharpeRatio
TrackingError
InformationRatio
DownsideRisk Consistency
InceptionDate
Robeco Transtrend Diversified Fund LLC 3.7 12.2 4.1 1.2 1.4 0.3 7.6 0.3 7.9 52.6 6y 6m
HFRI Macro: Systematic Diversified Index 2.1 7.3 2.1 0.0 1.0 0.3 0.0 N/A 4.6 0.0 6y 6m
90 Day U.S. Treasury Bill 0.3 0.2 0.0 0.3 0.0 N/A 7.3 -0.3 0.0 50.0 6y 6m
Manager EvaluationRobeco Transtrend Diversified Fund LLC vs. HFRI Macro: Systematic Diversified IndexAs of September 30, 2014
Prior to April 2008, returns represent Transtrend Diversified Trend Program Enhanced Risk (USD) Fund.
25
Historical Performance
Comparative Performance and Rolling Return Risk and Return (Aug-1993 - Sep-2014)
Historical Statistics (Aug-1993 - Sep-2014)
Quarter
YearTo
Date1
Year3
Years5
Years10
Years 2013 2012 2011 2010 2009 2008 2007 2006 2005 2004
Moore Macro Managers Fund 1.2 3.0 5.9 7.8 6.9 9.6 13.4 8.9 -2.6 11.6 17.1 0.4 14.4 6.2 15.5 12.5
HFRI Macro (Total) Index 2.7 3.8 5.7 0.5 1.4 4.6 -0.4 -0.1 -4.2 8.1 4.3 4.8 11.1 8.2 6.8 4.6
DJ Credit Suisse Global Macro Index 1.7 2.6 5.5 4.0 6.7 8.1 4.3 4.6 6.4 13.5 11.5 -4.6 17.4 13.5 9.2 8.5
0.0
5.0
10.0
15.0
20.0
Re
turn
(%)
5.5 6.0 6.5 7.0 7.5 8.0 8.5 9.0 9.5Risk (Standard Deviation %)
HFRI Macro (Total) Index
Moore Macro Managers Fund
Rolling 3 Years Active Return Quarterly Active Return
0.0
10.0
20.0
30.0
-10.0
-20.0
Ac
tive
Re
turn
(%)
12/93 9/95 6/97 3/99 12/00 9/02 6/04 3/06 12/07 9/09 6/11 9/14
ReturnStandardDeviation
ExcessReturn Alpha Beta
SharpeRatio
TrackingError
InformationRatio
DownsideRisk Consistency
InceptionDate
Moore Macro Managers Fund 13.5 8.2 10.2 8.0 0.7 1.3 7.2 0.7 4.2 57.9 21y 2m
HFRI Macro (Total) Index 8.1 6.6 5.2 0.0 1.0 0.8 0.0 N/A 3.2 0.0 21y 2m
90 Day U.S. Treasury Bill 2.9 0.7 0.0 2.8 0.0 N/A 6.6 -0.8 0.0 44.5 21y 2m
Manager EvaluationMoore Macro Managers Fund vs. HFRI Macro (Total) IndexAs of September 30, 2014
26
Historical Performance
Comparative Performance and Rolling Return Risk and Return (Apr-1998 - Sep-2014)
Historical Statistics (Apr-1998 - Sep-2014)
Quarter
YearTo
Date1
Year3
Years5
Years10
Years 2013 2012 2011 2010 2009 2008 2007 2006 2005 2004
Double Black Diamond, Ltd. Series E 1.4 5.9 10.2 8.9 7.3 8.6 8.1 11.6 -2.2 9.5 28.3 -13.4 15.7 20.9 5.1 4.7
HFRI RV: Multi-Strategy Index 0.3 3.5 5.8 6.1 6.6 4.8 7.9 8.2 -2.4 13.2 24.7 -20.3 1.8 9.0 5.7 8.2
DJ Credit Suisse Multi-Strategy Index 2.0 4.9 9.4 8.5 8.2 6.8 11.2 8.1 4.2 9.3 24.6 -23.6 10.1 14.5 7.5 7.5
0.0
5.0
10.0
15.0
Re
turn
(%)
4.0 4.2 4.4 4.6 4.8 5.0 5.2 5.4 5.6 5.8Risk (Standard Deviation %)
HFRI RV: Multi-Strategy Index
Double Black Diamond, Ltd. Series E
Rolling 3 Years Active Return Quarterly Active Return
0.0
6.0
12.0
18.0
-6.0
-12.0
Ac
tive
Re
turn
(%)
6/98 12/99 6/01 12/02 6/04 12/05 6/07 12/08 6/10 12/11 6/13 9/14
ReturnStandardDeviation
ExcessReturn Alpha Beta
SharpeRatio
TrackingError
InformationRatio
DownsideRisk Consistency
InceptionDate
Double Black Diamond, Ltd. Series E 9.4 5.3 6.9 5.3 0.7 1.3 4.3 0.9 3.2 56.6 16y 6m
HFRI RV: Multi-Strategy Index 5.4 4.6 3.1 0.0 1.0 0.7 0.0 N/A 3.3 0.0 16y 6m
90 Day U.S. Treasury Bill 2.3 0.6 0.0 2.4 0.0 N/A 4.7 -0.7 0.0 34.3 16y 6m
Manager EvaluationDouble Black Diamond, Ltd. Series E vs. HFRI RV: Multi-Strategy IndexAs of September 30, 2014
27
Historical Performance
Comparative Performance and Rolling Return Risk and Return (Jan-1994 - Sep-2014)
Historical Statistics (Jan-1994 - Sep-2014)
Quarter
YearTo
Date1
Year3
Years5
Years10
Years 2013 2012 2011 2010 2009 2008 2007 2006 2005 2004
Fir Tree International Value Fund (Non-US), L.P. -1.9 -1.9 3.1 14.0 11.1 9.5 17.2 16.9 2.4 16.7 21.1 -19.4 19.4 14.6 5.7 11.7
HFRI RV: Multi-Strategy Index 0.3 3.5 5.8 6.1 6.6 4.8 7.9 8.2 -2.4 13.2 24.7 -20.3 1.8 9.0 5.7 8.2
DJ Credit Suisse Multi-Strategy Index 2.0 4.9 9.4 8.5 8.2 6.8 11.2 8.1 4.2 9.3 24.6 -23.6 10.1 14.5 7.5 7.5
0.0
5.0
10.0
15.0
20.0
Re
turn
(%)
-5.0 0.0 5.0 10.0 15.0 20.0Risk (Standard Deviation %)
HFRI RV: Multi-Strategy Index
Fir Tree International Value Fund (Non-US), L.P.
Rolling 3 Years Active Return Quarterly Active Return
0.0
15.0
30.0
45.0
-15.0
-30.0
Ac
tive
Re
turn
(%)
3/94 12/95 9/97 6/99 3/01 12/02 9/04 6/06 3/08 12/09 9/11 9/14
ReturnStandardDeviation
ExcessReturn Alpha Beta
SharpeRatio
TrackingError
InformationRatio
DownsideRisk Consistency
InceptionDate
Fir Tree International Value Fund (Non-US), L.P. 12.0 12.5 9.4 3.7 1.3 0.7 11.3 0.5 7.6 57.4 20y 9m
HFRI RV: Multi-Strategy Index 6.7 4.2 3.8 0.0 1.0 0.9 0.0 N/A 2.9 0.0 20y 9m
90 Day U.S. Treasury Bill 2.9 0.7 0.0 2.9 0.0 N/A 4.3 -0.9 0.0 31.7 20y 9m
Manager EvaluationFir Tree International Value Fund (Non-US), L.P. vs. HFRI RV: Multi-Strategy IndexAs of September 30, 2014
28
Historical Performance
Comparative Performance and Rolling Return Risk and Return (Jun-2002 - Sep-2014)
Historical Statistics (Jun-2002 - Sep-2014)
Quarter
YearTo
Date1
Year3
Years5
Years10
Years 2013 2012 2011 2010 2009 2008 2007 2006 2005 2004
Pine River Fund Ltd. 2.8 4.2 4.5 10.6 11.6 14.1 9.7 21.7 5.7 13.9 91.0 -26.7 21.6 25.2 5.4 -9.4
HFRI RV: Multi-Strategy Index 0.3 3.5 5.8 6.1 6.6 4.8 7.9 8.2 -2.4 13.2 24.7 -20.3 1.8 9.0 5.7 8.2
DJ Credit Suisse Multi-Strategy Index 2.0 4.9 9.4 8.5 8.2 6.8 11.2 8.1 4.2 9.3 24.6 -23.6 10.1 14.5 7.5 7.5
-5.0
0.0
5.0
10.0
15.0
20.0
Re
turn
(%)
0.0 2.0 4.0 6.0 8.0 10.0 12.0 14.0Risk (Standard Deviation %)
HFRI RV: Multi-Strategy Index
Pine River Fund Ltd.
Rolling 3 Years Active Return Quarterly Active Return
0.0
15.0
30.0
-15.0
-30.0
Ac
tive
Re
turn
(%)
9/02 12/03 3/05 6/06 9/07 12/08 3/10 6/11 9/12 9/14
ReturnStandardDeviation
ExcessReturn Alpha Beta
SharpeRatio
TrackingError
InformationRatio
DownsideRisk Consistency
InceptionDate
Pine River Fund Ltd. 11.2 10.2 9.7 3.4 1.5 0.9 7.9 0.7 6.2 57.4 12y 4m
HFRI RV: Multi-Strategy Index 5.4 4.7 3.9 0.0 1.0 0.8 0.0 N/A 3.5 0.0 12y 4m
90 Day U.S. Treasury Bill 1.5 0.5 0.0 1.6 0.0 N/A 4.8 -0.8 0.0 29.1 12y 4m
Manager EvaluationPine River Fund Ltd. vs. HFRI RV: Multi-Strategy IndexAs of September 30, 2014
29
Hedge Fund ManagerPortfolio Characteristics
30
Portfolio Characteristics
Firm Assets $5.3 billion
Fund Assets $3.6 billion
Gross Exposure 175.4%
Net Exposure 17.4%
Long Exposure 96.4%
Short Exposure -79.0%
Manager EvaluationESG Cross Border Equity Offshore Fund, Ltd. As of September 30, 2014
Short Exposure -79.0%
3Q Gross
Attribution
YTD Gross
Attribution
Basic Materials -0.5% 0.7%
Business Services 0.1% -0.6%
Consumer 0.3% 1.4%
Financials -0.7% 0.1%
Gaming and Leisure -1.0% -0.7%
Healthcare 0.2% 0.0%
Industrial -0.1% -0.6%
Real Estate 0.0% 0.0%
Retail 0.7% 4.0%
TMT -2.0% -2.3%
Index -0.1% -2.2%
Performance Attribution by Industry
Regional Exposure
Longs Shorts Gross Net
Global 26.2% -33.7% 60.9% -7.5%
Latam 7.4% -3.0% 10.4% 4.4%
EMEA 7.8% -1.8% 9.6% 6.0%
Asia 31.5% -23.3% 54.8% 8.2%
Pan EM 23.6% -17.1% 40.7% 6.5%
Regional Exposure
Longs Shorts Gross Net
Basic Materials 2.4% -1.8% 4.2% 0.6%
Business Services 5.5% -2.2% 7.7% 3.3%
Consumer 26.5% -9.9% 36.4% 16.6%
Financials 17.8% -8.1% 25.9% 9.7%
Gaming and Leisure 4.5% 0.0% 4.5% 4.5%
Healthcare 3.7% -0.8% 4.5% 2.9%
Industry Exposure
Healthcare 3.7% -0.8% 4.5% 2.9%
Industrial 5.1% -4.7% 9.8% 0.4%
Real Estate 0.0% 0.0% 0.0% 0.0%
Retail 16.8% -10.9% 27.7% 5.9%
TMT 14.0% -9.8% 23.8% 4.2%
Index 0.0% -30.8% 30.8% -30.8%
31
Portfolio Characteristics
Firm Assets $6.8 billion
Fund Assets $3.0 billion
Gross Exposure 294.6%
Net Exposure -35.8%
Long Exposure 129.4%
Short Exposure1 -165.2%
Manager EvaluationLuxor Capital Partners Offshore, Ltd. As of September 30, 2014
Short Exposure -165.2%
3Q Gross
Attribution
YTD Gross
Attribution
Equity -1.6% -3.3%
Credit
Bank Debt and Loans 0.1% 0.6%
Investment Grade -0.1% -1.7%
High Yield 0.8% 1.5%
Convertible Bonds -0.1% 3.6%
Mortgage Backed Securities 0.0% 0.0%
Other 0.0% 0.0%
Commodity and FX Hedges 0.2% -0.1%
Performance Attribution by Strategy
Regional Exposure
Longs Shorts Gross Net
North America 101.2% -53.3% 155.5% 47.9%
Europe 21.4% -59.1% 80.5% -37.7%
Asia 5.2% -50.5% 55.7% -45.3%
South America 0.0% 0.0% 0.0% 0.0%
Other 1.5% -2.3% 3.8% -0.8%
Regional Exposure
1 Short exposure includes short derivatives positions
Longs Shorts Gross Net
Financial Services 37.1% -0.5% 37.6% 36.6%
Media 21.7% -3.0% 24.7% 18.7%
Internet 17.6% 3.8% 13.8% 21.4%
Real Estate/REITS 9.1% -2.1% 11.2% 7.0%
Utilities 0.2% 0.0% 0.2% 0.2%
Consumer Products 12.3% -3.9% 16.2% 8.4%
Industry Exposure
Consumer Products 12.3% -3.9% 16.2% 8.4%
Oil and Gas Services 3.9% -1.4% 5.3% 2.5%
Retail 6.4% -1.2% 7.6% 5.2%
Software and Technology 7.4% -1.6% 9.0% 5.8%
Lodging and Gaming 0.6% -0.9% 1.5% -0.3%
Transportation 2.1% -5.7% 7.8% -3.6%
Exploration and Production 5.3% 0.0% 5.3% 5.3%
Engineering and Construction 0.1% 0.0% 0.1% 0.1%
Mortgage Backed Securities 0.0% 0.0% 0.0% 0.0%
Insurance 0.0% -1.1% 1.1% -1.1%
Chemicals 0.0% -3.8% 3.8% -3.8%
Commodity 1.5% -2.3% 3.8% -0.8%
Basic Materials 0.0% -0.5% 0.5% -0.5%
Industrial 0.0% -8.1% 8.1% -8.1%
Mining 1.3% -4.2% 5.5% -2.9%
Communications 0.2% -4.1% 4.3% -3.9%
0.0% -5.3%Health and BioTech 0.0% -5.3% 5.3% -5.3%
Sovereign 0.6% -15.2% 15.8% -14.6%
Index1 1.1% -96.7% 97.8% -95.6%
32
Portfolio Characteristics
Firm Assets $1.4 billion
Fund Assets $0.9 billion
Gross Exposure 155.4%
Net Exposure 35.8%
Long Exposure 95.6%
Short Exposure -59.8%
Manager EvaluationCapeView Azri Fund, Ltd.As of September 30, 2014
Short Exposure -59.8%
Longs Shorts Gross Net
UK 53.0% -28.5% 82.5% 24.5%
Continental Europe 41.7% -28.8% 70.5% 12.9%
Europe (Index) 0.9% -2.5% 3.4% -1.6%
Other 0.0% 0.0% 0.0% 0.0%
Regional Exposure
Longs Shorts Gross Net
Basic Materials 3.3% -5.3% 8.6% -2.0%
Commodity 0.0% 0.0% 0.0% 0.0%
Communications 13.2% -1.0% 14.2% 12.2%
Consumer, Cyclical 21.1% -11.8% 32.9% 9.3%
Consumer, Non-cyclical 20.4% -12.2% 32.6% 8.2%
Currency 0.0% 0.0% 0.0% 0.0%
Industry Exposure
Currency 0.0% 0.0% 0.0% 0.0%
Diversified 1.8% 0.0% 1.8% 1.8%
Energy 7.2% -2.6% 9.8% 4.6%
Financial 11.0% -7.5% 18.5% 3.5%
Government 0.0% 0.0% 0.0% 0.0%
Index 5.1% -11.1% 16.2% -6.0%
Industrial 4.2% -3.9% 8.1% 0.3%
Technology 3.2% -2.2% 5.4% 1.0%
Utilities 5.2% -2.2% 7.4% 3.0%
33
Portfolio Characteristics
Firm Assets $4.1 billion
Fund Assets $1.6 billion
Gross Exposure 152.0%
Net Exposure 36.0%
Long Exposure 94.0%
Short Exposure -58.0%
Manager EvaluationPassport Long Short Fund, Ltd. As of September 30, 2014
Short Exposure -58.0%
3Q Gross
Attribution
YTD Gross
Attribution
Internet / Technology 0.5% -4.5%
Basic Materials -1.3% -1.6%
Consumer 0.2% 6.1%
Energy 0.9% 1.8%
Diversified 1.6% 0.1%
Industrials -0.1% 0.5%
Healthcare -0.2% 0.0%
Utilities -0.1% 0.8%
MENA 0.7% 1.4%
Financials -0.5% -1.7%
Performance Attribution by Industry
Regional Exposure
Longs Shorts Gross Net
US 84.0% -46.0% 131.0% 38.0%
EM 0.0% -8.0% 8.0% -8.0%
MENA 7.0% 0.0% 7.0% 7.0%
Europe 1.0% -1.0% 2.0% 0.0%
Asia 1.0% 0.0% 1.0% 1.0%
Canada 1.0% -3.0% 4.0% -2.0%
Regional Exposure
Longs Shorts Gross Net
Internet / Technology 13.0% -10.0% 23.0% 3.0%
Basic Materials 14.0% -3.0% 17.0% 11.0%
Consumer 17.0% -14.0% 31.0% 3.0%
Energy 25.0% -1.0% 26.0% 24.0%
Diversified 0.0% -18.0% 18.0% -18.0%
Industrials 10.0% -6.0% 16.0% 4.0%
Industry Exposure
Industrials 10.0% -6.0% 16.0% 4.0%
Healthcare 0.0% -4.0% 4.0% -4.0%
Utilities 1.0% 0.0% 1.0% 1.0%
MENA 7.0% 0.0% 7.0% 7.0%
Financial 7.0% -2.0% 9.0% 5.0%
34
Portfolio Characteristics
Firm Assets $983 million
Fund Assets $423 million
Gross Exposure 159.3%
Net Exposure 26.9%
Long Exposure 93.1%
Short Exposure -66.2%
Manager EvaluationBloom Tree Offshore Fund, Ltd.As of September 30, 2014
Short Exposure -66.2%
3Q Gross
Attribution
YTD Gross
Attribution
Business Services -0.9% -1.3%
Consumer Discretionary -0.1% 1.9%
Consumer Staples 0.0% -0.5%
Energy 0.4% 3.9%
Financials -0.5% -0.8%
Health Care 0.9% 0.2%
Industrials 0.5% 0.8%
Information Technology 0.6% 2.2%
LED 0.0% -0.1%
Materials 0.4% 1.2%
REIT 0.1% -0.2%
Performance Attribution by Industry
Solar 0.2% 0.4%
Telecommunication Services -0.6% -1.0%
Utilities 0.0% 0.0%
Other Assets -0.1% 0.1%
Credit/Risk Arb/Other 0.2% 0.1%
Longs Shorts Gross Net
Business Services 0.0% 0.0% 0.0% 0.0%
Consumer Discretionary 17.6% -14.4% 32.0% 3.2%
Consumer Staples 1.0% -2.9% 3.9% -1.9%
Energy 14.2% -3.7% 17.9% 10.5%
Financials 27.0% -3.7% 30.7% 23.3%
Health Care 6.9% -4.8% 11.7% 2.1%
Industry Exposure
Health Care 6.9% -4.8% 11.7% 2.1%
Industrials 7.9% -8.5% 16.4% -0.6%
Information Technology 15.2% -16.1% 31.3% -0.9%
LED 0.0% 0.0% 0.0% 0.0%
Materials 0.0% -7.8% 7.8% -7.8%
REIT 0.0% 0.0% 0.0% 0.0%
Solar 0.0% 0.0% 0.0% 0.0%
Telecommunication Services 4.3% -1.8% 6.1% 2.5%
Utilities 0.0% 0.0% 0.0% 0.0%
Other Assets 0.0% -1.1% 1.1% -1.1%
Credit/Risk Arb/Other 0.0% 0.0% 0.0% 0.0%
Longs Shorts Gross Net
North America 66.9% -44.2% 111.1% 22.7%
Europe 9.5% -11.1% 20.6% -1.6%
Regional Exposure
Europe 9.5% -11.1% 20.6% -1.6%
Asia 15.2% -10.9% 26.1% 4.3%
Emerging Markets 1.5% 0.0% 1.5% 1.5%
35
Portfolio Characteristics
Firm Assets $1.6 billion
Fund Assets $1.6 billion
Gross Exposure 114.7%
Net Exposure 38.9%
Long Exposure 76.8%
Short Exposure -37.9%
Manager EvaluationTiger Eye Fund, Ltd. As of September 30, 2014
Short Exposure -37.9%
3Q Gross
Attribution
YTD Gross
Attribution
Consumer 0.1% -0.8%
Energy 1.4% 5.1%
Financials 0.0% -0.4%
Healthcare -0.2% 0.4%
Industrials -0.1% 1.2%
Materials 0.0% 0.3%
Real Estate & Lodging 0.0% -1.7%
TMT -0.2% 1.0%
Other -0.2% -1.3%
Performance Attribution by Industry
Regional Exposure
Longs Shorts Gross Net
US 65.6% -28.1% 94.7% 37.5%
Europe 1.3% -4.4% 5.7% -3.1%
Asia 0.1% 0.0% 0.1% 0.1%
Canada 9.8% -4.2% 14.0% 5.6%
South America 0.0% 0.0% 0.0% 0.0%
Other 0.0% -1.2% 1.2% -1.2%
Regional Exposure
Longs Shorts Gross Net
Consumer 1.0% -1.2% 2.2% -0.2%
Energy 22.6% -23.3% 45.9% -0.7%
Financials 0.1% -2.5% 2.6% -2.4%
Healthcare 1.4% -0.3% 1.7% 1.1%
Industrials 19.0% -3.3% 22.3% 15.7%
Materials 4.8% -1.0% 5.8% 3.8%
Industry Exposure
Materials 4.8% -1.0% 5.8% 3.8%
Real Estate & Lodging 10.2% -2.5% 12.7% 7.7%
TMT 17.7% -4.0% 21.7% 13.7%
Other 0.0% 0.0% 0.0% 0.0%
36
Portfolio Characteristics
Firm Assets $6.0 billion
Fund Assets $1.4 billion
Gross Exposure 147.0%
Net Exposure 61.0%
Long Exposure 104.0%
Short Exposure -43.0%
Manager EvaluationIndus Japan Fund, Ltd. As of September 30, 2014
Short Exposure -43.0%
Longs Shorts Gross Net
Japan 99.2% -42.7% 142.9% 56.5%
North America 3.2% 0.0% 3.2% 3.2%
Hong Kong/China 1.4% 0.0% 1.4% 1.4%
India 0.1% 0.0% 0.1% 0.1%
Europe 0.0% 0.0% 0.0% 0.0%
Philippines 0.1% 0.0% 0.1% 0.1%
Korea 0.0% -0.4% 0.4% -0.4%
Regional Exposure
Longs Shorts Gross Net
Technology 22.5% -5.0% 27.5% 17.5%
Cyclicals 26.3% -6.4% 32.7% 19.9%
Real Estate & Construction 12.2% 0.0% 12.2% 12.2%
Autos & Auto Parts 11.9% -2.5% 14.4% 9.4%
Banks 7.8% 0.0% 7.8% 7.8%
Finance 9.1% -1.2% 10.3% 7.9%
Industry Exposure
Finance 9.1% -1.2% 10.3% 7.9%
Telecoms/Media 2.4% -1.6% 4.0% 0.8%
Pharmaceuticals/Healthcare 1.9% 0.0% 1.9% 1.9%
Utilities 0.6% 0.0% 0.6% 0.6%
Transportation 2.3% -3.4% 5.7% -1.1%
Consumer 2.0% -7.9% 9.9% -5.9%
Energy 3.2% -1.2% 4.4% 2.0%
Diversified 1.7% -14.0% 15.7% -12.3%
37
Portfolio Characteristics
Firm Assets $24.7 billion
Fund Assets $1.4 billion
Gross Exposure 92.2%
Net Exposure 88.8%
Long Exposure 90.5%
Short Exposure -1.7%
Manager EvaluationDK Distressed Opportunities International, Ltd.As of September 30, 2014
Short Exposure -1.7%
Longs Shorts Gross Net
North America 48.3% -1.3% 50.6% 47.0%
Europe 30.8% -0.1% 30.9% 30.7%
Other 11.4% -0.3% 11.7% 11.1%
Regional Exposure
Lehman Brother 7.4% US Real Estate #2 -0.9%
MGM Studios 4.8% Transportation #1 -0.2%
Building Materials 3.5% US Energy #2 -0.2%
Litigation Play #1 2.9% European Financial #8 -0.1%
Top Positions
Top Longs Top Shorts
Longs Shorts Gross Net
Common Stock 21.8% -0.5% 22.3% 21.3%
Corporate Bonds 39.1% -1.2% 40.3% 37.9%
Bank Debt 22.9% 0.0% 22.9% 22.9%
Trade Claims 6.7% 0.0% 6.7% 6.7%
Other 0.0% 0.0% 0.0% 0.0%
Asset Class Exposure
Icelandic Banks - Glitnir 2.7% Marterials #1 -0.1%
Top 5 Total 21.3% Top 5 Total -1.5%
Number of Longs 152 Number of Shorts 10
38
Portfolio Characteristics
Firm Assets $25.4 billion
Fund Assets $4.0 billion
Gross Exposure 108.7%
Net Exposure 73.3%
Long Exposure 91.0%
Short Exposure -17.7%
Manager EvaluationYork Credit Opportunities Unit TrustAs of September 30, 2014
Short Exposure -17.7%
Longs Shorts Gross Net
North America 41.7% -10.8% 53.5% 30.9%
Europe 35.6% -6.2% 41.8% 29.4%
Asia 7.4% -0.2% 7.6% 7.2%
Other 6.8% -0.5% 7.3% 6.3%
Regional Exposure
Lehman Brothers 5.2% Financials-CDS -0.6%
Indiana Toll Road 5.0% Industrials - CDS -0.3%
TXU 4.1% Materials - CDS -0.1%
WR Grace 3.5% Materials - CDS -0.1%
Top Positions
Top Longs Top Shorts
Longs Shorts Gross Net
Public Equity 28.2% -4.1% 32.3% 24.1%
Options & Futures 2.9% -3.7% 6.6% -0.8%
Bank Debt 12.3% 0.0% 12.3% 12.3%
Bonds 31.7% -1.3% 33.0% 30.4%
CDS 1.5% -8.6% 10.1% -7.1%
Asset Banked 0.9% 0.0% 0.9% 0.9%
Non-Public Equity 13.6% 0.0% 13.6% 13.6%
Strategy Exposure
Banca Monte dei Paschi 3.3%
Top 5 Total 21.1% Top 5 Total -1.1%
Number of Longs 79 Number of Shorts 11
Non-Public Equity 13.6% 0.0% 13.6% 13.6%
39
Asset Class Exposure
Portfolio Characteristics
Firm Assets $12.5 billion
Fund Assets $1.3 billion
Gross Exposure 128.3%
Net Exposure 41.5%
Long Exposure 84.9%
Short Exposure -43.4%
Regional Exposure
Texas Comp Electric 5.1% MARKIT CDX.HY Index -6.8%
CMBS 4.8% Liz Claiborne -1.8%
Commonwealth of PR 3.5% Target Corp -1.0%
Indiana Toll Road 3.1% Diamond Offshore Drilling -0.9%
Freddie Mac 2.9% Kohl's Corp -0.6%
Top 5 Total 19.4% Top 5 Total -11.1%
Top Positions
Top Longs Top Shorts
Manager EvaluationMarathon Special Opportunities Fund, Ltd.As of September 30, 2014
Longs Shorts Gross Net
ABS 8.6% 0.0% 8.6% 8.6%
Credit Derivatives 2.7% -10.3% 13.0% -7.6%
Equity 25.5% -0.4% 25.9% 25.1%
Fixed 44.3% -32.2% 76.5% 12.1%
Fund 2.1% 0.0% 2.1% 2.1%
Futures 0.0% -0.5% 0.5% -0.5%
FX 0.0% -0.1% 0.1% -0.1%
Options 1.3% 0.0% 1.3% 1.3%
Structured Product 0.4% 0.0% 0.4% 0.4%
Swaps 0.0% 0.0% 0.0% 0.0%
Asset Class Exposure
Longs Shorts Gross Net
North America 64.8% -41.8% 107.6% 23.0%
Europe 13.5% -0.7% 14.2% 12.8%
Asia 1.4% -0.2% 1.6% 1.2%
Other 5.2% -0.7% 5.9% 4.5%
Regional Exposure
40
Portfolio Characteristics
Firm Assets $35.3 billion
Fund Assets $3.8 billion
VaR
Brevan Howard Multi-Strategy Fund 0.37%
Master Fund 0.53%
Credit Catalyst Master Fund 0.39%
Systematic Trading Master Fund 1.14%
Manager EvaluationBrevan Howard Multi-Strategy Fund LimitedAs of September 30, 2014
Regional Exposure
Systematic Trading Master Fund 1.14%
Commodities Strategies Master Fund 1.90%
Asia Master Fund 0.48%
Emerging Markets Local Fixed Income Leveraged Master Fund 0.68%
Direct Investment Portfolio 0.55%
Europe26.0%
Asia26.0%
Americas24.0%
Oceania1.0%
Multi-Region13.0%
Africa0.0%
Information provided is as of August 31, 2014 as September 30, 2014 data is not available at this time.
% NAV Q2 % NAV Q3
Master Fund 44.7% 41.3%
Credit Catalyst Master Fund 16.1% 15.5%
Systematic Trading Master Fund 6.7% 5.8%
Commodities Strategies Master Fund 5.1% 6.0%
Asia Master Fund 5.3% 4.9%
Emerging Markets Local Fixed Income Leveraged Master Fund 2.6% 2.9%
Underlying Fund Allocation
Strategy Exposure
Emerging Markets Local Fixed Income Leveraged Master Fund 2.6% 2.9%
Direct Investment Portfolio 19.6% 23.6%
Vega13.0%
FX30.0%
Interest Rates27.0%
Equity13.0%
Commodity11.0%
Credit6.0%
41
Portfolio Characteristics
Firm Assets $6.2 billion
Fund Assets $438.6 million
Margin/ Net Assets 21.5%
VaR 5.5%
Manager EvaluationRobeco Transtrend Diversified Fund LLCAs of September 30, 2014
Regional Exposure
Americas51.9%
Europe19.6%
Asia4.6%
Currencies23.6%
Other0.3%
Commodities
Currencies
Interest Rates
Equity Related
3Q Gross YTD Gross
1.2%
1.1%
Attribution by Strategy
VaR by Strategy
1.3%
VaR
1.9%
3Q Gross
Attribution
YTD Gross
Attribution
Commodities 5.6% 6.3%
Currencies 0.1% 0.5%
Interest Rates 3.4% 9.3%
Equity Related -2.1% -0.5%
Strategy Exposure
Equity20.3%
Commodity35.0%
Interest Rates
21.2%
20.3%
Currencies23.5%
42
Portfolio Characteristics
Firm Assets $12.8 billion
Fund Assets $4.5 billion
Gross Exposure 393.0%
Net Exposure -71.0%
Long Exposure 161.0%
Short Exposure -232.0%
Global Opportunistic
Relative Value
Credit/Event
Commodities
Other
0.1%
0.0%
0.0%
Attribution by Strategy - Q3
Gross Attribution
2.1%
-0.2%
Regional Exposure Strategy Exposure
Manager EvaluationMoore Macro Managers Fund, Ltd.As of September 30, 2014
Regional Exposure Strategy Exposure
US & Canada38.9%
Developed Europe36.4%
Latin America1.5%
Developed Asia11.1%
Emerging Asia9.3%
Eastern Europe2.3%
Other0.5%
Global Opportunistic
74.0%
Relative Value7.0%
Credit/Event16.0%
Commodities4.0%
Other0.0%
43
Portfolio Characteristics
Firm Assets $9.1 billion
Fund Assets $3.5 billion
Gross Exposure 378.0%
Net Exposure 22.8%
Long Exposure 200.4%
Short Exposure -177.6%
Manager EvaluationDouble Black Diamond, Ltd. Series EAs of September 30, 2014
Short Exposure -177.6%
Longs Shorts Gross Net
North America 152.2% -133.4% 286.6% 18.8%
Europe 45.3% -35.5% 80.8% 9.8%
Asia 0.8% -6.4% 7.2% -5.6%
Other 2.1% -2.3% 4.4% -0.2%
Regional Exposure
Equity Relative Value
Equity Long/Short
Credit Relative Value
Credit Directional
Event-Driven
Volatility
Performance Attribution by Strategy - Q3
Gross Attribution
0.4%
0.7%
0.0%
0.4%
0.2%
0.0%
Longs Shorts Gross Net
Equity Relative Value 56.2% -57.1% 113.3% -0.9%
Equity Long/Short 29.0% -25.5% 54.5% 3.5%
Credit Relative Value 34.6% -33.3% 67.9% 1.3%
Credit Directional 11.3% -2.2% 13.5% 9.1%
Event-Driven 40.6% -20.9% 61.5% 19.7%
Volatility 3.9% -3.8% 7.7% 0.1%
Strategic Investments 5.3% -1.3% 6.6% 4.0%
Strategy Exposure
Volatility
Strategic Investments
Trading
0.0%
0.2%
0.3%
Strategic Investments 5.3% -1.3% 6.6% 4.0%
Trading 19.6% -33.6% 53.2% -14.0%
44
Portfolio Characteristics
Firm Assets $13.1 billion
Fund Assets $8.9 billion
Gross Exposure 230.3%
Net Exposure 29.3%
Long Exposure 129.8%
Short Exposure -100.5%
Manager EvaluationFir Tree International Value Fund (Non-US), L.P. As of September 30, 2014
Short Exposure -100.5%
Longs Shorts Gross Net
North America 89.8% -54.9% 145.7% 34.9%
Europe/UK 20.0% -13.9% 33.9% 6.1%
Asia 8.8% -27.3% 36.1% -18.5%
Latin America 8.1% -1.5% 9.6% 6.6%
Other 3.1% -2.9% 6.0% 0.2%
Regional Exposure
Information provided is as of August 31, 2014 as September 30, 2014 data is not available at this time.
Value Equities
Special Situations
Long-Term Arbitrage
Yielding Securities
Corporate Credit
Capital Structure Arbitrage
Performance Attribution by Strategy - Q3
Gross Attribution
0.2%
1.1%
-1.1%
0.3%
0.2%
0.3%
Longs Shorts Gross Net
Value Equities 14.1% -5.4% 19.5% 8.7%
Special Situations 57.2% -14.7% 71.9% 42.5%
Long-Term Arbitrage 18.0% -14.3% 32.3% 3.7%
Yielding Securities 7.8% -4.5% 12.3% 3.3%
Corporate Credit 8.3% 0.0% 8.3% 8.3%
Capital Structure Arbitrage 9.5% -6.9% 16.4% 2.6%
Structured / Mortgage Credit 6.0% -2.0% 8.0% 4.0%
Strategy Exposure
Capital Structure Arbitrage
Structured/Mortgage Credit
Portfolio Hedges
Credit Shorts
0.3%
-0.1%
-0.3%
0.3%
Structured / Mortgage Credit 6.0% -2.0% 8.0% 4.0%
Portfolio Hedges 8.9% -33.7% 42.6% -24.8%
Credit Shorts 0.0% -19.0% 19.0% -19.0%
45
Strategy Allocation
Portfolio Characteristics
Firm Assets $15.6 billion
Fund Assets $4.5 billion
Gross Exposure 420.0%
Total Number of Positions 4,403
Weighted Average Credit Weighting of Rated Bonds AA
Convertibles
Mortgages
Credit
Equities
Volatility
Rates
Tail Hedges
Municipals
Emerging Markets
Commodities/Macro
Cash 0.0%
0.3%
-0.9%
1.9%
-0.2%
0.0%
0.6%
0.0%
0.2%
0.4%
Performance Attribution by Strategy - Q3
Gross Attribution
0.2%
Regional Allocation
Manager EvaluationPine River Fund, Ltd.As of September 30, 2014
Strategy AllocationRegional Allocation
Convertibles11.0%
Municipals2.0%
Cash2.0%
Equities41.0%
Volatility2.0%
Rates8.0%
Tail Hedge3.0%
Mortgages6.0%
Macro1.0%
Emerging Markets
3.0%
Credit21.0%
North America50.0%
Europe17.0%
Asia33.0%
46
The Equity Strategy is comprised of Equity Long/Short strategies. Equity hedge strategies typically have a directional bias(long or short) and trade in equities and equity-related derivatives. Managers seek to buy undervalued equities with improvingfundamentals and short overvalued equities with deteriorating fundamentals.Trade Example: Long a basket of energy stocks and short a basket of consumer electronics stocks.
The Credit Strategy is comprised of Distressed Securities, Credit Long/Short, Emerging Market Debt and Credit EventDriven. Credit strategies typically have a directional bias and involve the purchase of various types of debt, equity, tradeclaims and fixed income securities. Hedging using various instruments such as Credit Default swaps is frequently employed.Trade Example: Buying the distressed bonds of a company which has defaulted and participating in the corporaterestructuring.
The Macro Strategy consists of Global Macro, Managed Futures, Commodities and Currencies. Macro strategies usually havea directional bias (which can be either long or short) and involve the purchase of a variety of securities and/or derivativesrelated to major markets. Managed futures strategies trade similar instruments but are typically implemented by computerizedsystems.Trade Example: Long the US Dollar and short the Japanese Yen
The Relative Value Strategy typically does not display a distinct directional bias. Relative Value encompasses a range ofstrategies covering different asset classes. Arbitrage strategies focus on capturing movements or anomalies in the price spreadsbetween related or similar instruments. The rationale for Arbitrage trades is the ultimate convergence of the market pricerelationship to a known, theoretical or equilibrium relationship.Trade Example: Long the stock of a merger bid target and short the stock of the acquirer.
Hedge Fund Strategy Definitions
47
Statistics Definition
Alpha - A measure of the difference between a portfolio's actual returns and its expected performance, given its level of risk as measured by beta. It is a measure of the portfolio'shistorical performance not explained by movements of the market, or a portfolio's non-systematic return.
Best Quarter - The best of rolling 3 months(or 1 quarter) cumulative return.
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.
Consistency - The percentage of quarters that a product achieved a rate of return higher than that of its benchmark. The higher the consistency figure, the more value a manager hascontributed to the product’s performance.
Downside Risk - A measure similar to standard deviation, but focuses only on the negative movements of the return series. It is calculated by taking the standard deviation of the negativequarterly set of returns. The higher the factor, the riskier the product.
Excess Return - Arithmetic difference between the managers return and the risk-free return over a specified time period.
Information Ratio - Measured by dividing the active rate of return by the tracking error. The higher the Information Ratio, the more value-added contribution by the manager.
Maximum Drawdown - The drawdown is defined as the percent retrenchment from a fund's peak value to the fund's valley value. It is in effect from the time the fund's retrenchment begins until anew fund high is reached. The maximum drawdown encompasses both the period from the fund's peak to the fund's valley (length), and the time from the fund's valley to anew fund high (recovery). It measures the largest percentage drawdown that has occurred in any fund's data record.
Return - Compounded rate of return for the period.
Sharpe Ratio - Represents the excess rate of return over the risk free return divided by the standard deviation of the excess return. The result is the absolute rate of return per unit of risk.The higher the value, the better the product’s historical risk-adjusted performance.
Sortino Ratio - A ratio developed by Frank A. Sortino to differentiate between good and bad volatility in the Sharpe ratio. This differentiation of upwards and downwards volatility allowsthe calculation to provide a risk-adjusted measure of a security or fund's performance without penalizing it for upward price changes.
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.
Tracking Error - A measure of the standard deviation of a portfolio's performance relative to the performance of an appropriate market benchmark.
Worst Quarter - The worst of rolling 3 months(or 1 quarter) cumulative return.
Statistical DefinitionsRisk StatisticsAs of September 30, 2014
48
Separator Page
7. Asset Allocation.pptx
El Camino Hospital
Asset Allocation Change
November 10, 2014
Table of contents
SECTION 1 Summary
SECTION 2 Asset classes and peer comparisons
SECTION 3 Return/risk modeling
2
Summary
SECTION 1
• Prior to 2012, El Camino Hospital had invested its Surplus Cash in an “old fashioned” style:
This was a successful strategy while interest rates declined (and bond prices rose) – over 10
years, annual return was 5.1% Most market analysts think that interest rates will rise and thus
bond market values will drop.
• In mid-2012, the policy was revised with the following target allocation:
• There are three fixed income managers, seven stock managers, two real estate managers, and 18
hedge fund managers. We have more hedge fund managers to diversify the risk.
• We plan to move 2.5% from short-term to real-estate when there are attractive openings in real
estate funds
4
Summary
Short-term (cash and cash equivalents) 25-30%
Intermediate fixed income (bonds) 60%
Equity (stocks) 10-15%
Target Range Late 2012 Current
Short-term (cash and cash equivalents) 10% 8-12% 30.5% 13.8%
Intermediate fixed income (bonds) 40% 35-45% 39.5% 38.9%
Domestic equities 60% 17-23% 19.7% 20%
International equities 10% 8-12% 10.3% 10%
Real-estate 5% Combined
17-23%
2.5%
Hedge funds 15% 14.8%
• In March 2014, at the Committee’s request, Pavilion (our investment
advisor) produced an asset allocation study (summarized in the following
pages)
• The asset allocation study looked at two different topics:
• A “growth” asset allocation • Moving 10% from bonds to stocks
• A “growth plus private equity” asset allocation • Moving 10% from bonds to stocks and
• Moving 5% from hedge funds to private equity
• At the last meeting, the Investment Committee requested the long term
plans and cash position before making a recommendation to the Board to
change the asset allocation.
• The Long Term Forecast presented at today’s meeting shows that cash
balances remain at a healthy level supporting the growth asset allocation
5
Summary
Asset classes and
peer comparison
SECTION 2
There are a number of different asset classes – each with different expected returns and with
different volatility in those returns (if the volatility is greater, we say the “risk” is greater).
And the asset class have different correlations in their volatility – if the correlation is negative, a
negative return in one asset class could be offset by a positive return in the other asset class:
7
Asset classes
19% volatility means there is a 1/3
chance that actual returns will be
more than 19 percentage points
higher or 19 percentage points
lower than the expected return of
6.8%
Market duration bonds are
negatively correlated with
large cap stocks
By changing the allocation of asset classes, it is possible to increase the return and
minimize the volatility
10%
18%
30%
14%
28%
10%
20%
40%
10%
20%
13.8%
17.3%
38.9%
10%
20%
0% 5% 10% 15% 20% 25% 30% 35% 40% 45%
Short-term
Alternatives
Fixed income
Int'l stocks
Domestic stocks
Current ECH
Policy target
Large healthcare peers
Peer organizations have proportionately more of their assets in
domestic and international stocks (and less in fixed income bonds)
1Source: 2012 Commonfund Benchmarks Study, Healthcare Organizations Report, organizations with assets ranging from $501 million to $1 billion.
11
2.2%
0.6%
2.4%
0.2%
12.8%
1.8%
5%
0
0
0
15%
0
2.5%
0
0
0
14.8%
0
0.0% 2.0% 4.0% 6.0% 8.0% 10.0% 12.0% 14.0% 16.0%
Real estate
Distressed debt
Energy
Venture capital
Hedge funds
Private equity
Current ECH
Policy target
Large healthcare peers
Our 20% allocated to “alternatives” is similar to the 18% of peers –
the remaining discussion is how to allocate between “alternatives.”
Some peers have more in private equity or energy and less in hedge
funds
1Source: 2012 Commonfund Benchmarks Study, Healthcare Organizations Report, organizations with assets ranging from $501 million to $1 billion.
12
• Private equity is an asset class in which a fund manager buys all or significant
portions of privately held companies (or a public company which would be taken
private) – hoping to improve or enhance the performance of the company to re-sell it
later (or take it public)
• Historically the returns have been good, so many pension funds and non-profits
have added this asset class to their “alternative” investment portfolio
• It typically takes several years for the fund manager to find the right companies in
which to invest – so we might commit for $10 million but actually make cash
transfers to the manager piecemeal over several years
• It also takes the fund manager several years to “turn around” the performance and
sell the company – so the total life of a fund might be 10 to 15 years, and the
investment is “illiquid” for that period
• For his/her expertise, the fund manager charges a high fee – perhaps 2% of
committed capital plus 20% of upside gains.
• Vintage year diversification (committing capital to funds on an annual basis) is
important to generating strong returns – so investors should be committed to the
private equity asset class for a long period or not at all.
10
Private Equity
• Private equity is expected to deliver a 3-5% percentage point premium over the public markets
within five to seven years
• Private equity investments have a lower liquidity than traditional asset classes, generating an
illiquidity premium for investors who can provide liquidity
• Investments are generally in private companies, which provides diversification to the overall
portfolio
PRIVATE EQUITY OVERVIEW
Preqin Private Equity Returns vs. S&P 500 Index
0
50
100
150
200
250
300
Q4 2001 Q4 2002 Q4 2003 Q4 2004 Q4 2005 Q4 2006 Q4 2007 Q4 2008 Q4 2009 Q4 2010 Q4 2011 Q4 2012 Q4 2013
Ind
ex
Re
turn
s
Private Equity
S&P 500 Index
Source: Preqin
Benefits of private equity investing
11
Return/“risk” modeling
SECTION 3
Current
Growth
Oriented
Growth w/
Private Equity
Equity:
Large cap
Small cap
International
30%
15%
5%
10%
40%
20%
5%
15%
40%
20%
5%
15%
Fixed income:
Market duration (about 5.5 yrs)
Short duration (about 2 yrs)
50%
40%
10%
40%
30%
10%
40%
30%
10%
Alternatives:
Hedge funds
Real estate
Private equity
20%
15%
5%
-
20%
15%
5%
-
20%
10%
5%
5%
Total 100% 100% 100%
Expected return 5.0% 5.5% 5.7%
Standard deviation (volatility) 7.2% 9.0% 9.8%
ECH could increase its expected return by moving more to stocks
and private equity, but with a greater chance of negative returns
Expected return could
go up 0.5% per year by
a 10% shift from bonds
to stocks
Expected return could
go up another 0.2% per
year by a 5% shift from
hedge funds to private
equity 16
0.5% increased return =
$3 million per year, or $48 million
compounded over 10 years
Current Growth Growth w/ Pvt Equity
Best 25% 10.0 11.7 12.5
Best 1% 23.2 28.6 31.1
Worst 1% (10.4) (13.4) (14.7)
Worst 25% 0.3 (0.4) (0.7)
(20.0)
(10.0)
-
10.0
20.0
30.0
40.0%
an
nu
al re
turn
1% chance
1% chance
25% chance better
25% chance worse
Growth plus private equity gives a slightly higher return, but
more than 25% of the time annual returns will be negative
5.0% expected 5.7% expected 5.5% expected
Even with our current asset allocation, there is a 20% chance we
could have negative returns in any given year.
17
Current Growth Growth w/ Pvt Equity
Best 25% 7.2 8.3 8.7
Best 1% 12.8 15.3 16.4
Worst 1% (2.2) (3.4) (4.0)
Worst 25% 2.9 2.8 2.8
(20.0)
(10.0)
-
10.0
20.0
30.0
40.0%
an
nu
al re
turn
over
five
-ye
ars
1% chance
1% chance
25% chance better
25% chance worse
Over five years, there is much less variability – losses would
occur less than 10% of the time
5.0% expected 5.7% expected 5.5% expected
18
Recommendation:
The Investment Committee may be recommending the
“growth strategy because it could increase expected
returns by 0.5% ($3 million) per year without
significantly increasing volatility or risk.
The Investment Committee may be recommending the
“growth plus private equity” strategy because it would
increase expected returns by 0.2% ($1 million) per year.
If it does not make that recommendation, it would
probably be over concern that private equity would
make $30 million of our assets very illiquid.
19
Effect on 2018
Financial Ratios
Appendix
There is little difference in projected 2018 investment balances
18
0
100
200
300
400
500
600
700
800
900
1000
Best 25% Median Worst25%
Worst 5%
Current
Growth
Gr + Pvt Eq
Ma
rke
t va
lue
of
po
rtfo
lio
($
millio
ns
)
Based on a December 2013 financial plan that anticipated $600
million of capital expenditures over five years.
Average annual investment income could vary significantly
19
-80
-60
-40
-20
0
20
40
60
80
100
Best 25% Median Worst 25% Worst 5%
Current
Growth
Gr + Pvt Eq
Avg
an
nu
al in
ve
stm
en
t in
co
me
($
millio
ns
)
Modeled for years 2014-2018
Poor investment performance could affect debt service
coverage somewhat
20
0
2
4
6
8
10
12
Best 25% Median Worst 25% Worst 5%
Current
Growth
Gr + Pvt Eq
Pro
jec
ted
de
bt
se
rvic
e c
ove
rag
e
Modeled for 2018