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Investment Performance Analysis for the period ending September 30, 2015
December 11, 2015
Allan Martin, PartnerDan LeBeau, ConsultantMike Malchenko, Senior Analyst
Page
Market Environment Update and Outlook 3
Third Party Placement Agent Disclosure 17
Total Fund Performance 19
Total Fund Performance: Net of Fees 43
Appendix: Market Environment 58
ContentsNew Mexico Educational Retirement Board
September 30, 2015
2
Market Environment Update and Outlook
3
• Third quarter GDP growth rate (first estimate) printed at a modest +1.5%. – Retail sales (ended August) at +1.3% on a year-over-year growth rate basis. The same period last year YoY growth rate
was 4.6%.– The inventory-to-sales ratio at August, 31 was flat at 1.4 and has remained relatively flat since early 2010. – Corporate profits (ended June) as a percent of GDP declined slightly vs first quarter GDP to 10.4% from 10.7% and remain
elevated relative to historical levels.– The U.S. trade deficit widened in August.
• The unemployment rate fell to 5.1% in Q3 from 5.3% in Q2 2014; U-6, a broader measure of unemployment, fell to 10.0% during the third quarter.
• The Case-Shiller Home Price Index (as of 9/30) increased slightly to 175.1 from second quarter levels (170.0) and is at levels higher than that of pre-financial crisis levels of 150.9.
• Rolling 12-month seasonally adjusted CPI decreased to -0.02% from +0.2% at the end of June; Capacity Utilization decreased slightly to 77.5% in September.
• Fed Funds rate remains at 0.25%, while the 10-year Treasury Yield finished Q3 at 2.2% down 20 basis points from Q2.
• The Fed balance sheet remained flat in Q3 2015, while the European Central Bank balance sheet increased in the same period.– ECB continues asset purchases of €60 billion per month.
• S&P valuations decreased in September remaining above the 10-year and long-term averages– Cyclically adjusted Shiller PE ratio (24.6x) is above the long-term average of 16.4x and above the 10-year average of 22.9x.
• The U.S. Dollar continues its strength against a basket of major currencies as the Fed ends its quantitative easing program and the ECB continues easing. – Currency volatility has seen a sustained uptick since Q1.
Economic Environment
September 30, 2015
New Mexico Educational Retirement Board
4
Market Environment – Q3 2015 Overview
* As of 6/30/2015
September 30, 2015
Qtr. 1 Yr. 3 Yr. 5 Yr. 10 Yr.
World Equity Benchmarks
MSCI ACWI World -9.4% -6.7% 7.0% 6.8% 4.6%
Qtr. 1 Yr. 3 Yr. 5 Yr. 10 Yr.
Domestic Equity Benchmarks
S&P 500 Large Core -6.4% -0.6% 12.4% 13.3% 6.8%
Russell 1000 Large Core -6.8% -0.6% 12.7% 13.4% 7.0%
Russell 1000 Growth Large Growth -5.3% 3.2% 13.6% 14.5% 8.1%
Russell 1000 Value Large Value -8.4% -4.4% 11.6% 12.3% 5.7%
Russell 2000 Small Core -11.9% 1.2% 11.0% 11.7% 6.5%
Russell 2000 Growth Small Growth -13.1% 4.0% 12.8% 13.3% 7.7%
Russell 2000 Value Small Value -10.7% -1.6% 9.2% 10.2% 5.3%
Qtr. 1 Yr. 3 Yr. 5 Yr. 10 Yr.
International Equity Benchmarks
MSCI ACWI Ex USA World ex-US -12.2% -12.2% 2.3% 1.8% 3.0%
MSCI EAFE Int'l Developed -10.2% -8.7% 5.6% 4.0% 3.0%
S&P EPAC Small Cap Small Cap Int'l -6.9% 1.0% 10.7% 7.8% 5.8%
MSCI EM Emerging Equity -17.9% -19.3% -5.3% -3.6% 4.3%
Qtr. 1 Yr. 3 Yr. 5 Yr. 10 Yr.
Domestic Fixed Income Benchmarks
Barclays Aggregate Core Bonds 1.2% 2.9% 1.7% 3.1% 4.6%
Barclays US High Yield High Yield -4.9% -3.4% 3.5% 6.1% 7.3%
BofA ML US HY BB/B High Yield -4.3% -2.1% 3.7% 6.0% 6.7%
CSFB Levered Loans Bank Loans -1.2% 1.2% 3.8% 4.8% 4.4%
BofA ML US 3-Month T-Bill Cash 0.0% 0.0% 0.1% 0.1% 1.3%
Barclays US TIPS 1-10 Yr Inflation -0.9% -0.8% -1.4% 1.8% 3.6%
Qtr. 1 Yr. 3 Yr. 5 Yr. 10 Yr.
Global Fixed Income Benchmarks
Citigroup WGBI World Gov. Bonds 1.7% -3.8% -2.9% -0.2% 3.4%
BC Global Credit Global Bonds -0.2% -2.9% 0.6% 2.6% 4.3%
JPM GBI-EM Glob. Diversified Em. Mkt. Bonds (Local) -10.5% -19.8% -8.7% -3.6% 4.5%
JPM EMBI+ Em. Mkt. Bonds -0.9% -0.9% 0.2% 4.2% 6.7%
Qtr. 1 Yr. 3 Yr. 5 Yr. 10 Yr.
Alternative Benchmarks
Bloomberg Commodity Index Commodity -14.5% -26.0% -16.0% -8.9% -5.7%
Credit Suisse Hedge Fund Index Hedge Fund -2.5% 0.1% 5.0% 4.5% 5.2%
HFRI FoF Conservative Fund of Funds -1.8% 0.6% 4.2% 2.8% 2.1%
Cambridge PE Lagged* Private Equity 4.2% 9.3% 16.0% 15.7% 13.2%
NCREIF ODCE Net Lagged* Real Estate 3.6% 13.4% 12.1% 13.3% 5.9%
Wilshire REIT Index REIT 2.2% 10.9% 9.8% 12.4% 6.7%
CPI + 2% Inflation/Real Assets 0.4% 2.0% 2.9% 3.7% 3.8%
New Mexico Educational Retirement Board
5
• Divergence in monetary policies signaling different investment environments globally
• US Economy shows strength relative to other developed markets– Low oil prices benefitting consumers
• Global monetary stimulus flowing through to markets– ECB €1.3 trillion in asset purchases in the
Eurozone– Economic conditions in Europe and Japan
responding to QE– China policy response remains stimulative
with more tools available to deploy
• Developed world inflation is low – In US, CPI for all Urban Consumers on a
seasonally adjusted basis was negative in Q3
• Volatility increased across global markets– Financial and geo-political instability in the
Mid-East, Eastern Europe, Greece
• Slowing economic growth in China may have broad implications for many emerging economies– China growth concerns sparked a rapid
decline in commodities and emerging markets
• Fed rate hike uncertainty contributed to volatility in domestic markets– Fed signaled tightening to begin by year-
end; market expecting a slow pace to rate increases
• Valuations remain above 10 year and long term averages– Developed Equity P/Es above median
Third Quarter 2015 Market Review
Positives Negatives
September 30, 2015
New Mexico Educational Retirement Board
6
Global Equity
• U.S. equities posted sharp losses in the third quarter as global volatility ramped up.
• Small cap stocks underperformed large cap stocks during the quarter, with the Russell 2000 Index returning -11.9% and the Russell 1000 Index returning -6.8%.
• International equities underperformed U.S. markets during the quarter, returning -12.2%, as measured by the MSCI ACWI ex-U.S. Index. – Developed markets returned -10.2% as measured by the MSCI EAFE Index. The Pacific Region led returns down posting a -13.1% with
Singapore leading the group down -19.5%. Europe posted a loss of -8.7%.– Emerging markets returned -17.9% as measured by the MSCI Emerging Markets Index in U.S. dollar terms. Indonesia and China led to
the downside returning -24.2% and -22.7% respectively.
Private Equity
• New private equity commitments totaled $74.6 billion in Q3 2015.– Represents a 25% decline from the $101.5 billion raised in Q2 2015, resulting from public equity market volatility and increased
economic uncertainties
• Buyout and growth equity funds raised $45.3 billion in Q3 2015. – Annual pace is in line with the $180-190 billion that was raised in each of the past two years
• Venture capital raised $10.0 billion ended Q3 2015. – VC fundraising as a percent of total new PE funds is in line with historical post-dot com levels
• Energy funds raised $7.8 billion representing 10% of capital raised in Q3 2015. – Investors are opportunistically approaching the energy market dislocation.
• Asian private equity commitments slowed to total 7% of total funds raised down from 11% in 2014.
• European commitments comprised 23% of all new PE commitments in Q3 2015.– Fifteen pan-European buyout managers with closes on over $1 billion each raised over half of 2015 total
Market Environment
September 30, 2015
New Mexico Educational Retirement Board
7
Fixed Income
• The yield curve flattened significantly with long duration yields dropping 20-30 basis points.
• The spread between two and 10-year rates decreased to 142 basis points from 176 basis points ended June. Treasury Inflation-Protected Securities, or TIPS, returned -0.9% during the quarter, as measured by the Barclays US TIPS Index.
• The Barclays Long Duration Credit Index gained +0.5% as the long end of the curve ended the quarter 24 basis points lower.
• Long Treasuries gained +5.1% and investment-grade corporate debt gained +3.8%.
• The Barclays 1-3 year Government/ Credit Index returned 0.3% and US high yield bonds lost -4.9%.
• Emerging markets debt continued to slow in local and external currency. – US dollar-denominated debt, as measured by the JP Morgan EMBI Index, fell 90 basis points; local currency debt fell 10.5%,
according to the JP Morgan GBI-EM Index.
Market Environment
September 30, 2015
New Mexico Educational Retirement Board
8
Real Assets/Inflation-Linked Assets
• Massive energy market dislocation.– Oil prices trending lower.– Private equity and private debt opportunities attractive.– Potential for public stressed/distressed credit, equity and commodity plays.
• OPEC and Saudi Arabia have indicated a willingness to allow lower oil prices to persist in effortsto cement market share and reduce marginal supply.
• Select infrastructure opportunities are attractive.– Target opportunistic strategies in niche sub-sectors to take advantage of market dislocations.
• NEPC continues to believe in the long-term demand drivers in agriculture.– Long-term commodity prices driven by growing emerging market demand.– Softness in commodity prices may provide attractive entry point.
• Timber opportunity set limited but warrants further review– 45% increase in housing starts forecasted; timber prices highly correlated
Market Environment
September 30, 2015
New Mexico Educational Retirement Board
9
Commodities
• Commodities retracted significantly with the Bloomberg Commodity Index posting a -14.5%.– Energy led the way losing -24% (WTI Oil), while industrial metals, precious metals and agriculture declined.
Real Estate
• NEPC continues to be neutral on core real estate in the US and remains positive on non-core real estate, that is, value-add and opportunistic strategies.
• Within U.S. core real estate, strong fundamentals continue to be the story along with attractive income spreads relative to interest rates. – Real estate fundamentals and debt terms are attractive, however valuations are high and the possibility of rising interest
rates and the impact on cap rates causes concern.
• U.S. REITs posted modest gains with a +2.2% return. – FFO multiples are high, at approximately 15x but are decreasing.– REITs are trading at a discount to NAV.
• Overall, the non-core real estate investment environment in the U.S. is normalizing; however, select areas remain attractive.
• Europe is viewed as the best place for a marginal dollar of non-core real estate investment. – Europe is emerging from multi-year recession, but recovery is slow and uneven with global markets experiencing large
capital inflows.– Banks in EU are still overleveraged and have significant real estate exposure to jettison.
Market Environment
September 30, 2015
New Mexico Educational Retirement Board
10
Global Risks are Diverse and Unique
Sources: Standard & Poors, The Federal Reserve, ECB, BoJ, Bloomberg Energy, Bloomberg
September 30, 2015
New Mexico Educational Retirement Board
11
Increase in Global Volatility Finally Caught Up with Equities
Source: Deutsche Borse, Goldman Sachs, CBOE, Bloomberg
September 30, 2015
New Mexico Educational Retirement Board
12
MSCI EM Index Composition JPM GBI-EM Global Diversified Index Composition
Currency Risks are Not Only Unique by Country but also Vary Across Indices
• MSCI EM Index dominated by Asia– Lots of countries with sensitivity to Chinese growth and competitiveness– Despite possibility for further depreciation, most currencies appear cheap or reasonably
valued
• Debt indices more concentrated in Latin/South America with exposure to balance of payments challenged countries– Currencies of major commodity exporters are sensitive to oil and other commodity price
weakness – but also stand to benefit from a rebound– Structural issues in Turkey and Brazil pose significant challenges but with less contagion risk
September 30, 2015
New Mexico Educational Retirement Board
13
High Yield Issues Now Yielding >7% in Otherwise Low Yield World
Source: Barclays, Standard & Poors, Bloomberg
September 30, 2015
New Mexico Educational Retirement Board
14
• Risk-return profile of US high yield is attractive relative to US equities– High yield credit spreads now exceed long-term averages with yields near 2012 levels– Make use of dynamic credit strategies as disruptions in credit markets move rapidly– Dollar strength is a headwind for equity earnings growth and profit margin expansion
• Recommend an overweight exposure to developed market equities– Suggest investors opportunistically exploit potential volatility to add to the overweight– Long-term opportunity remains as earnings improve off cyclical lows in Europe/Japan– Offers a more favorable return outlook with superior valuations relative to US equities
• Recommend at minimum a market weight exposure to EM equities– Reasonable equity valuations, depressed currencies, and the attractiveness of long-
term fundamentals represent a solid investment foundation– Volatility likely to continue as falling commodity prices, trade linkages to China, and
external debt levels pose idiosyncratic country risks– Encourage the use of benchmark agnostic strategies with a bias towards small-cap and
consumer focused strategies
• Inflation expectations at historical lows but value opportunities canbe found in inflation-sensitive assets– Encourage patience as volatility and opportunities evolve in commodity markets– Private strategies are evolving but provide compelling return opportunities
Third Quarter 2015 Market Actions
September 30, 2015
New Mexico Educational Retirement Board
15
Highlights of Third Quarter Happenings at NEPC
NEPC Updates
September 30, 2015
NEPC ResearchRecent White Papers Best Practices: Managing Risk in Corporate VEBA
and SERP Plans (October 2015) - Mike Valchine, CAIA, CIPM, Senior Consultant
NEPC’s 2015 Defined Contribution Plan & FeeSurvey: What a Difference a Decade Makes (October 2015) – Ross Bremen, CFA, Partner
Market Chatter – Has the China Bubble Burst? (July2015)
Market Chatter – China’s Devaluation of the Yuan(August 2015)
2015 Third Quarter Market Thoughts
NEPC Recognitions Two of NEPC’s Partners were named on the
Chief Investment Officer magazine's (CIO) annual ranking of the world’s most influential investment consultants. NEPC’s Chief Investment Officer, Tim McCusker, was named the most influential general consultant on the 2015 list of Knowledge Brokers. KC Connors, Head of NEPC’s Philanthropic Practice Team, ranked 10th on the 2015 Knowledge Brokers – Specialist list. The lists are CIO’s annual rankings of the most influential investment consultants worldwide1.
NEPC Client Recognitions● Two of our clients were recognized for their work in the
healthcare industry by Institutional Investor on October 7th. Mary O'Reilly, Director, Treasury and Investments at Rochester Health, received the II Investor Intelligence Award for Asset Allocation, and Joshua Rabuck, Executive Director, Investments at Indiana University Health, was accorded the II Investor Intelligence Award for Risk Management.
Upcoming/Recent Events• Healthcare Defined Contribution Fee Survey
Results - Tuesday, November 3, 2015, 3:00 to 4:00 p.m. (EST)
• NEPC's 2015 Defined Benefit PlanTrends Webinar - Wednesday, October 21, 2015,2:00 - 3:00 p.m. (EST)
• NEPC, Newton Capital Management, and the Centrefor Endowment Asset Management are hosting aspecial event that delves into the influence of Britisheconomist John Maynard Keynes on the U.S.Endowment Model on October 15, 2015 in Boston, MA.
1CIO Magazine interviews pension and non-profit CIOs, asset managers and former consultants, to approximate what it calls "the hierarchy of today's institutional consultant industry." The results should not be considered a recommendation of any specific firm or individual consultant. For more information, please visit CIO Magazine's web site at http://www.ai-cio.com/2015-knowledge-brokers/. Past performance is no guarantee of future results
September 30, 2015
New Mexico Educational Retirement Board
16
Third Party Placement Agent Disclosure
17
The New Mexico Educational Retirement Board Policy Regarding Placement Agent Disclosures requires that quarterly performance reports to the Board include information regarding any third-party marketers that were used by recipients of investments including any fee, commission or retainer paid by the hired fund to the third-party marketer for services rendered. These fees are not paid by NMERB but are paid by the hired funds for marketing services to the third-party.
The following investments were approved by the NMERB Investment Committee during the quarter, with disclosures made under the policy:
Stonepeak Infrastructure Fund II - was approved for a $50 million commitment plus a $10 million secondary partnership interest on July 23, 2015 as part of the Fund’s allocation to Real Assets.
Stonepeak has provided documentation confirming Campbell Lutyens & Co. was compensated $200,000 for placement agent duties in connection with the NMERB’s investment.
Stonepeak has completed the ERB Campaign Contribution Disclosure and reports no applicable campaign contributions.
ZM Capital Fund II LP .- was approved for a $40 million commitment plus a $10 million secondary partnership interest on September 21, 2015 as part of the Fund’s allocation to Private Equity.
ZM Capital has provided documentation confirming Moravia Capital AG as placement agent for the partnership but such entity was not engaged with respect to NMERB’s proposed investment.
ZM Capital has completed the ERB Campaign Contribution Disclosure and reports no applicable campaign contributions.
Third Party Placement Agent DisclosureNew Mexico Educational Retirement Board
September 30, 2015
18
Total Fund Performance
19
Total Fund Performance Summary (Gross of Fees)
September 30, 2015
New Mexico Educational Retirement Board
Over the past five years, the Fund returned 7.6% per annum, outperforming the policy index by 1.0% and ranking in the 56th percentile of the InvestorForce Public Funds > $1 Billion universe. The Fund’s volatility was 6.2%, which ranks in the 8th percentile of its peers over this period. The Fund’s risk-adjusted performance, as measured by the Sharpe Ratio, ranks in the 15th percentile of its peers.
Over the past three years, the Fund returned 7.0% per annum, outperforming the policy index by 1.3% and ranking in the 55th percentile of its peer group. Over the past three years, the Fund has reduced its volatility on both an absolute and relative basis, resulting in a three-year Sharpe Ratio of 1.5, which ranks in the 13th percentile.
For the year ending September 30, 2015, the Fund experienced a net investment gain of $71.5 million, which includes a net investment loss of $375.4 million during the third calendar quarter. Assets decreased from $11.2 billion twelve months ago to $10.9 billion on September 30, 2015, with $331.3 million in net distributions during the year. The Fund returned 0.6%, outperforming the policy index by 1.5% and ranking in the 19th
percentile of its peers.
All asset classes were within policy range as of September 30, 2015.The InvestorForce Public Funds > $1 Billion Universe + contains 95 observations for the period ending September 30, 2015, with total assets of $1.7 trillion.
20
September 30, 2015
New Mexico Educational Retirement BoardTotal Fund Asset Growth Summary
Sources of Portfolio Growth Last ThreeMonths Fiscal Year-To-Date One Year Three Years Five Years Since
10/1/05_
Beginning Market Value $11,416,629,337 $11,416,629,337 $11,180,255,073 $9,756,733,278 $8,803,894,887 $7,694,652,364Net Additions/Withdrawals -$120,806,345 -$120,806,345 -$331,294,000 -$970,893,217 -$1,575,141,526 -$2,552,732,728Investment Earnings -$375,404,172 -$375,404,172 $71,457,747 $2,134,578,759 $3,691,665,459 $5,778,499,184Ending Market Value $10,920,418,820 $10,920,418,820 $10,920,418,820 $10,920,418,820 $10,920,418,820 $10,920,418,820
_
21
September 30, 2015
1Long-Term Policy Target approved by the Board in June 2014.Note: Allocations shown here include cash held in separately managed portfolios. Totals may not add to 100% due to rounding. Total Plan included Legacy Assets portfolio totaling $335,893.75
New Mexico Educational Retirement BoardTotal Fund Asset Allocation vs. Policy Targets
22
September 30, 2015
New Mexico Educational Retirement BoardTotal Fund Asset Allocation History
23
September 30, 2015
New Mexico Educational Retirement BoardTotal Fund Allocations vs. Peer Universe
24
September 30, 2015
Note: Ranks are based on gross returns.
New Mexico Educational Retirement BoardTotal Fund Risk/Return
25
September 30, 2015
Note: Ranks are based on gross returns.
New Mexico Educational Retirement BoardTotal Fund Risk/Return
26
September 30, 2015
Note: Returns are gross of fees. The graph on the right side shows composite level sharpe ratios.
New Mexico Educational Retirement Board3 Year Risk/Return Profile
27
September 30, 2015
Note: Returns are gross of fees. The graph on the right side shows composite level sharpe ratios.
New Mexico Educational Retirement Board5 Year Risk/Return Profile
28
Note: Ranks are based on gross returns. Universe contains 95 observations with total assets of $1.7 trillion.
September 30, 2015
Total Fund vs. IFx Public DB > $1B Gross (USD) (peer)1 Year
New Mexico Educational Retirement BoardTotal Fund Risk Statistics vs. Peer Universe
29
Note: Ranks are based on gross returns. Universe contains 95 observations with total assets of $1.7 trillion.
September 30, 2015
Total Fund vs. IFx Public DB > $1B Gross (USD) (peer)3 Years
New Mexico Educational Retirement BoardTotal Fund Risk Statistics vs. Peer Universe
30
Note: Ranks are based on gross returns. Universe contains 95 observations with total assets of $1.7 trillion.
September 30, 2015
Total Fund vs. IFx Public DB > $1B Gross (USD) (peer)5 Years
New Mexico Educational Retirement BoardTotal Fund Risk Statistics vs. Peer Universe
31
Note: Ranks are based on gross returns. Universe contains 95 observations with total assets of $1.7 trillion.
September 30, 2015
Total Fund vs. IFx Public DB > $1B Gross (USD) (peer)10 Years
New Mexico Educational Retirement BoardTotal Fund Risk Statistics vs. Peer Universe
32
September 30, 2015
Note: Returns are gross of fees.
New Mexico Educational Retirement BoardTotal Fund Rolling 5-Year Excess Returns
33
September 30, 2015
Attribution Summary3 Months Ending September 30, 2015
Wtd. ActualReturn
Wtd. IndexReturn
ExcessReturn
SelectionEffect
AllocationEffect
TotalEffects
U.S. Large Cap EquityComposite -6.3% -6.4% 0.1% 0.0% 0.0% 0.0%
U.S. Small/Mid Cap EquityComposite -10.7% -10.3% -0.4% 0.0% 0.0% 0.0%
Non-U.S. Developed MktsEquity Composite -10.1% -10.2% 0.1% 0.0% 0.0% 0.0%
Non-U.S. Emerging MktsEquity Composite -15.0% -17.9% 2.9% 0.3% 0.0% 0.4%
Core Fixed IncomeComposite 1.0% 1.2% -0.3% 0.0% 0.2% 0.2%
Non-U.S. Emerging MarketDebt Composite -3.2% -10.5% 7.4% 0.1% 0.0% 0.1%
Opportunistic CreditComposite -0.1% -2.8% 2.7% 0.6% 0.0% 0.6%
Absolute Return Composite 2.6% 0.5% 2.1% 0.0% 0.0% 0.1%Global AssetAllocation/Risk ParityComposite
-6.3% -3.7% -2.6% -0.3% 0.0% -0.3%
Public Real EstateComposite 0.3% 2.9% -2.6% -0.1% -0.1% -0.1%
Private Real EstateComposite 2.9% 3.1% -0.2% 0.0% 0.0% 0.0%
Private Equity Composite 5.4% 3.8% 1.7% 0.1% -0.1% 0.0%Real Assets Composite 1.7% 1.1% 0.6% 0.0% -0.2% -0.2%Cash 0.0% 0.0% 0.0% 0.0% 0.1% 0.1%Total -3.3% -4.1% 0.8% 0.8% 0.0% 0.8%
Note: Plan attribution calculations are net returns based and the results shown reflect the composites shown. As a result, the total returns shown may vary from the calculated returnshown on the performance summary. May not add due to rounding.
New Mexico Educational Retirement BoardTotal Fund Attribution Analysis
34
September 30, 2015
Note: Plan attribution calculations are net returns based and the results shown reflect the composites shown. As a result, the total returns shown may vary from the calculated returnshown on the performance summary. May not add due to rounding.
New Mexico Educational Retirement BoardTotal Fund Attribution Analysis
Attribution SummaryFYTD Ending September 30, 2015
Wtd. ActualReturn
Wtd. IndexReturn
ExcessReturn
SelectionEffect
AllocationEffect
TotalEffects
U.S. Large Cap EquityComposite 0.3% 0.4% -0.1% 0.0% 0.1% 0.0%
U.S. Small/Mid Cap EquityComposite -3.3% -4.0% 0.7% 0.0% 0.0% 0.0%
Non-U.S. Developed MktsEquity Composite -10.2% -11.4% 1.2% 0.1% 0.0% 0.1%
Non-U.S. Emerging MktsEquity Composite -15.7% -18.1% 2.5% 0.3% 0.0% 0.3%
Core Fixed IncomeComposite 2.1% 2.5% -0.3% 0.0% 0.1% 0.1%
Non-U.S. Emerging MarketDebt Composite -11.2% -20.0% 8.7% 0.2% 0.1% 0.2%
Opportunistic CreditComposite 3.7% -1.1% 4.8% 1.0% 0.0% 1.0%
Absolute Return Composite 5.9% 2.0% 3.9% 0.1% 0.0% 0.1%Global AssetAllocation/Risk ParityComposite
-5.9% -3.1% -2.8% -0.3% 0.0% -0.3%
Public Real EstateComposite 2.6% 6.5% -3.9% -0.1% -0.1% -0.3%
Private Real EstateComposite 17.7% 13.0% 4.7% 0.1% 0.1% 0.2%
Private Equity Composite 18.4% 11.6% 6.8% 0.5% -0.1% 0.3%Real Assets Composite 3.5% 5.1% -1.6% 0.0% -0.3% -0.3%Cash 0.3% 0.0% 0.3% 0.0% 0.1% 0.1%Total 0.4% -1.0% 1.4% 1.6% -0.2% 1.4%
35
September 30, 2015
Note: Plan attribution calculations are net returns based and the results shown reflect the composites shown. As a result, the total returns shown may vary from the calculated returnshown on the performance summary. May not add due to rounding.
New Mexico Educational Retirement BoardTotal Fund Attribution Analysis
Attribution Summary1 Year Ending September 30, 2015
Wtd. ActualReturn
Wtd. IndexReturn
ExcessReturn
SelectionEffect
AllocationEffect
TotalEffects
U.S. Large Cap EquityComposite -0.8% -0.6% -0.2% 0.0% 0.1% 0.0%
U.S. Small/Mid Cap EquityComposite 0.2% 0.4% -0.2% 0.0% 0.0% 0.0%
Non-U.S. Developed MktsEquity Composite -7.2% -8.7% 1.4% 0.1% 0.0% 0.1%
Non-U.S. Emerging MktsEquity Composite -17.0% -19.3% 2.3% 0.2% 0.0% 0.3%
Core Fixed IncomeComposite 2.5% 2.9% -0.4% 0.0% 0.1% 0.1%
Non-U.S. Emerging MarketDebt Composite -11.0% -19.8% 8.7% 0.2% 0.1% 0.2%
Opportunistic CreditComposite 3.6% -0.4% 4.0% 0.8% 0.0% 0.8%
Absolute Return Composite 6.0% 2.0% 3.9% 0.1% 0.0% 0.1%Global AssetAllocation/Risk ParityComposite
-4.9% -3.3% -1.6% -0.2% 0.0% -0.2%
Public Real EstateComposite 6.9% 11.6% -4.7% -0.1% -0.2% -0.3%
Private Real EstateComposite 17.2% 13.5% 3.8% 0.1% 0.0% 0.1%
Private Equity Composite 16.8% 8.9% 7.9% 0.6% -0.1% 0.4%Real Assets Composite 2.4% 5.0% -2.6% -0.1% -0.3% -0.3%Cash 0.3% 0.0% 0.3% 0.0% 0.1% 0.1%Total 0.5% -0.9% 1.4% 1.6% -0.2% 1.4%
36
September 30, 2015
Note: Plan attribution calculations are net returns based and the results shown reflect the composites shown. As a result, the total returns shown may vary from the calculated returnshown on the performance summary. May not add due to rounding.
New Mexico Educational Retirement BoardTotal Fund Attribution Analysis
Attribution Summary3 Years Ending September 30, 2015
Wtd. ActualReturn
Wtd. IndexReturn
ExcessReturn
SelectionEffect
AllocationEffect
TotalEffects
U.S. Large Cap EquityComposite 12.4% 12.4% 0.0% 0.0% 0.1% 0.1%
U.S. Small/Mid Cap EquityComposite 13.3% 12.4% 0.9% 0.0% 0.0% 0.0%
Non-U.S. Developed MktsEquity Composite 5.4% 5.6% -0.2% 0.0% 0.0% 0.0%
Non-U.S. Emerging MktsEquity Composite -5.0% -5.3% 0.3% 0.0% 0.0% 0.0%
Core Fixed IncomeComposite 2.0% 1.7% 0.3% 0.0% 0.1% 0.1%
Non-U.S. Emerging MarketDebt Composite -4.2% -8.7% 4.5% 0.1% 0.0% 0.1%
Opportunistic CreditComposite 8.8% 3.7% 5.1% 1.0% 0.0% 1.0%
Absolute Return Composite 4.7% 2.0% 2.7% 0.1% 0.0% 0.1%Global AssetAllocation/Risk ParityComposite
-0.2% 4.0% -4.2% -0.3% 0.0% -0.3%
Public Real EstateComposite 9.2% 10.1% -0.8% 0.0% -0.1% -0.1%
Private Real EstateComposite 16.3% 11.9% 4.4% 0.1% 0.0% 0.1%
Private Equity Composite 17.6% 15.9% 1.7% 0.1% 0.0% 0.1%Real Assets Composite 3.7% 6.0% -2.2% 0.0% 0.0% -0.1%Cash 0.5% 0.0% 0.4% 0.0% 0.0% 0.0%Total 6.9% 5.7% 1.1% 1.1% 0.0% 1.1%
37
September 30, 2015
Note: Plan attribution calculations are net returns based and the results shown reflect the composites shown. As a result, the total returns shown may vary from the calculated returnshown on the performance summary. May not add due to rounding.
New Mexico Educational Retirement BoardTotal Fund Attribution Analysis
Attribution Summary5 Years Ending September 30, 2015
Wtd. ActualReturn
Wtd. IndexReturn
ExcessReturn
SelectionEffect
AllocationEffect
TotalEffects
U.S. Large Cap EquityComposite 13.3% 13.3% 0.0% 0.0% 0.1% 0.0%
U.S. Small/Mid Cap EquityComposite 11.9% 12.5% -0.6% 0.0% 0.1% 0.0%
Non-U.S. Developed MktsEquity Composite 3.6% 4.0% -0.3% 0.0% 0.1% 0.1%
Non-U.S. Emerging MktsEquity Composite -4.7% -3.6% -1.1% -0.1% 0.0% -0.2%
Core Fixed IncomeComposite 3.9% 3.1% 0.8% 0.1% -0.1% 0.1%
Non-U.S. Emerging MarketDebt Composite -- -- -- 0.0% 0.0% 0.1%
Opportunistic CreditComposite 8.3% 5.9% 2.4% 0.5% 0.0% 0.5%
Absolute Return Composite 3.3% 2.1% 1.2% 0.0% 0.0% 0.0%Global AssetAllocation/Risk ParityComposite
5.1% 4.9% 0.2% 0.0% 0.0% 0.0%
Public Real EstateComposite 12.2% 12.5% -0.4% 0.0% 0.0% 0.0%
Private Real EstateComposite 14.9% 12.5% 2.3% 0.0% 0.0% 0.0%
Private Equity Composite 15.3% 15.6% -0.3% 0.0% 0.1% 0.1%Real Assets Composite 3.4% 6.8% -3.5% -0.1% 0.0% -0.1%Cash 0.7% 0.0% 0.7% 0.0% 0.0% 0.0%Total 7.4% 6.6% 0.8% 0.6% 0.1% 0.7%
38
September 30, 2015
*Performance for Equity, Fixed Income, and Emerging Mkt Debt, Opportunistic Credit and GAA/Risk Parity composites are Net of fees.Note: Percent of Total equals 94.1% because Absolute Return and Real Assets Composites are not included.
3 Years Ending September 30, 2015
% of Tot Anlzd Ret Rank Anlzd StdDev Rank Anlzd AJ Rank Tracking
Error Rank Info Ratio Rank Beta Sharpe Ratio_
Opportunistic Credit Composite 22.5% 8.8% -- 2.1% -- 7.1% -- 2.4% -- 2.1 -- 0.4 4.1
50% Credit Suisse Leveraged LoanIndex / 50% BofA ML US HY BB-B RatedConstrained Index
-- 3.7% -- 3.1% -- 0.0% -- 0.0% -- -- -- 1.0 1.2
Global Asset Allocation/Risk ParityComposite 10.0% -0.2% 90 6.6% 38 -3.9% 87 4.6% 59 -1.1 NR 0.8 0.0
GAA/Risk Parity Custom Index -- 4.7% 15 6.5% 33 0.0% 30 0.0% 1 -- -- 1.0 0.7XXXXX
New Mexico Educational Retirement BoardTotal Fund Risk Statistics
3 Years Ending September 30, 2015
% of Tot Anlzd Ret Rank Anlzd StdDev Rank Anlzd AJ Rank Tracking
Error Rank Info Ratio Rank Beta Sharpe Ratio_
U.S. Large Cap Equity Composite 17.5% 12.4% 50 9.7% 19 0.1% 44 0.2% 1 -0.1 NR 1.0 1.3
S&P 500 -- 12.4% 49 9.7% 21 0.0% 44 0.0% 1 -- -- 1.0 1.3
U.S. Small/Mid Cap Equity Composite 2.1% 13.3% 40 12.0% 59 1.3% 46 2.8% 15 0.3 39 1.0 1.1
NMERB Small/Mid Cap Equity BlendedIndex -- 12.4% 63 12.0% 60 0.0% 65 0.0% 1 -- -- 1.0 1.0
Non-U.S. Developed Mkts EquityComposite 4.6% 5.4% 68 11.6% 69 0.0% 70 1.3% 3 -0.2 NR 1.0 0.5
MSCI EAFE -- 5.6% 62 11.9% 81 0.0% 70 0.0% 1 -- -- 1.0 0.5
Non-U.S. Emerging Mkts Equity Composite 9.3% -5.0% 71 12.8% 29 -0.2% 73 3.0% 21 0.1 72 0.9 -0.4
MSCI Emerging Markets -- -5.3% 76 13.7% 59 0.0% 73 0.0% 1 -- -- 1.0 -0.4
Core Fixed Income Composite 9.9% 2.0% 29 3.0% 65 0.3% 41 0.4% 37 0.8 20 1.0 0.7
Barclays Aggregate -- 1.7% 54 2.9% 56 0.0% 60 0.0% 1 -- -- 1.0 0.6
Non-U.S. Emerging Market DebtComposite 1.6% -4.2% 64 6.3% 16 0.9% 76 4.6% 45 1.0 69 0.6 -0.7
JP Morgan GBI - EM Diversified -- -8.7% 82 10.2% 83 0.0% 83 0.0% 1 -- -- 1.0 -0.9
39
September 30, 2015
*Performance for Equity, Fixed Income, and Emerging Mkt Debt, Opportunistic Credit and GAA/Risk Parity composites are Net of fees.Note: Percent of Total equals 94.1% because Absolute Return and Real Assets Composites are not included.
New Mexico Educational Retirement BoardTotal Fund Risk Statistics
3 Years Ending September 30, 2015
% of Tot Anlzd Ret Rank Anlzd StdDev Rank Anlzd AJ Rank Tracking
Error Rank Info Ratio Rank Beta Sharpe Ratio_
Real Estate Composite 7.0% 12.5% 40 7.4% 90 16.6% 15 9.7% 99 0.1 49 -0.3 1.7
NCREIF Property Index -- 11.9% 48 4.8% 62 0.0% 91 0.0% 1 -- -- 1.0 2.5
Private Equity Composite 9.8% 17.6% 11 4.6% 20 17.5% 18 8.4% 45 0.2 19 0.0 3.8
Cambridge Associates US All PE 1 QtrLag -- 15.9% 24 7.1% 59 0.0% 95 0.0% 1 -- -- 1.0 2.2
Real Assets Composite 3.6% 3.7% 26 3.7% 3 6.2% 17 3.8% 28 -0.6 NR -0.4 1.0
CPI + 5% (Seasonally Adjusted) -- 6.0% 22 0.8% 1 0.0% 43 0.0% 1 -- -- 1.0 7.1XXXXX
40
September 30, 2015
*Performance for Equity, Fixed Income, and Emerging Mkt Debt, Opportunistic Credit and GAA/Risk Parity composites are Net of fees.Note: Percent of Total equals 94.1% because Absolute Return and Real Assets Composites are not included.
New Mexico Educational Retirement BoardTotal Fund Risk Statistics
5 Years Ending September 30, 2015
% of Tot Anlzd Ret Rank Anlzd StdDev Rank Anlzd AJ Rank Tracking
Error Rank Info Ratio Rank Beta Sharpe Ratio_
Opportunistic Credit Composite 22.5% 8.3% -- 3.9% -- 5.0% -- 3.4% -- 0.8 -- 0.6 2.1
50% Credit Suisse Leveraged LoanIndex / 50% BofA ML US HY BB-B RatedConstrained Index
-- 5.4% -- 4.1% -- 0.0% -- 0.0% -- -- -- 1.0 1.3
Global Asset Allocation/Risk ParityComposite 10.0% 5.1% 22 6.6% 36 2.5% 1 6.7% 92 0.0 21 0.5 0.8
GAA/Risk Parity Custom Index -- 5.3% 19 7.5% 43 0.0% 55 0.0% 1 -- -- 1.0 0.7XXXXX
5 Years Ending September 30, 2015
% of Tot Anlzd Ret Rank Anlzd StdDev Rank Anlzd AJ Rank Tracking
Error Rank Info Ratio Rank Beta Sharpe Ratio_
U.S. Large Cap Equity Composite 17.5% 13.3% 36 11.5% 23 0.0% 32 0.1% 1 -0.3 NR 1.0 1.2
S&P 500 -- 13.3% 35 11.5% 24 0.0% 32 0.0% 1 -- -- 1.0 1.2
U.S. Small/Mid Cap Equity Composite 2.1% 11.9% 69 15.3% 80 -0.5% 78 2.8% 7 -0.2 NR 1.0 0.8
NMERB Small/Mid Cap Equity BlendedIndex -- 12.5% 52 15.1% 80 0.0% 75 0.0% 1 -- -- 1.0 0.8
Non-U.S. Developed Mkts EquityComposite 4.6% 3.6% 80 15.3% 70 -0.3% 82 1.7% 6 -0.2 NR 1.0 0.2
MSCI EAFE -- 4.0% 74 15.2% 67 0.0% 76 0.0% 1 -- -- 1.0 0.3
Non-U.S. Emerging Mkts Equity Composite 9.3% -4.7% 85 17.9% 59 -1.1% 83 2.7% 7 -0.4 NR 1.0 -0.3
MSCI Emerging Markets -- -3.6% 68 17.8% 56 0.0% 67 0.0% 1 -- -- 1.0 -0.2
Core Fixed Income Composite 9.9% 3.9% 21 2.8% 54 0.9% 22 0.7% 50 1.2 10 1.0 1.4
Barclays Aggregate -- 3.1% 67 2.8% 56 0.0% 81 0.0% 1 -- -- 1.0 1.1
Non-U.S. Emerging Market DebtComposite 1.6% -- -- -- -- -- -- -- -- -- -- -- --
JP Morgan GBI - EM Diversified -- -3.6% 83 11.9% 87 0.0% 83 0.0% 1 -- -- 1.0 -0.3XXXXX
41
September 30, 2015
*Performance for Equity, Fixed Income, and Emerging Mkt Debt, Opportunistic Credit and GAA/Risk Parity composites are Net of fees.Note: Percent of Total equals 94.1% because Absolute Return and Real Assets Composites are not included.
New Mexico Educational Retirement BoardTotal Fund Risk Statistics
5 Years Ending September 30, 2015
% of Tot Anlzd Ret Rank Anlzd StdDev Rank Anlzd AJ Rank Tracking
Error Rank Info Ratio Rank Beta Sharpe Ratio_
Real Estate Composite 7.0% 13.7% 14 10.5% 85 18.7% 10 12.5% 97 0.1 36 -0.4 1.3
NCREIF Property Index -- 12.5% 56 5.1% 34 0.0% 85 0.0% 1 -- -- 1.0 2.5
Private Equity Composite 9.8% 15.3% 10 4.9% 9 13.4% 18 8.6% 37 0.0 32 0.1 3.1
Cambridge Associates US All PE 1 QtrLag -- 15.6% 9 8.1% 80 0.0% 97 0.0% 1 -- -- 1.0 1.9
Real Assets Composite 3.6% 3.4% 41 5.4% 37 -4.4% 93 5.4% 77 -0.6 NR 1.2 0.6
CPI + 5% (Seasonally Adjusted) -- 6.8% 15 0.8% 1 0.0% 68 0.0% 1 -- -- 1.0 8.2XXXXX
42
September 30, 2015
1 - U.S. Small/Mid Cap Equity Composite includes the performance history of the U.S. Small Cap Equity Composite through November 2011.2 - NMERB Small/Mid Cap Equity Blended Benchmark is the Russell 2000 Index through November 2011 and the Russell 2500 Index from December 2011 - forward.3 - Total Fund market value includes $335,894 from Legacy Assets.Note: Performance shown is net of fees. Fiscal year ends June 30.
New Mexico Educational Retirement BoardPerformance Detail - Total Fund and U.S. Equity
Market Value($)
% ofPortfolio
3 Mo(%) Rank
FiscalYTD(%)
Rank 1 Yr(%) Rank 3 Yrs
(%) Rank 5 Yrs(%) Rank 10 Yrs
(%) Rank Return(%) Since
_
Total Fund 10,920,418,820 100.0 -3.3 5 -3.3 5 0.5 20 6.8 59 7.4 69 5.9 42 9.0 Jul-83Policy Index -4.1 16 -4.1 16 -0.9 58 5.7 80 6.6 84 5.1 78 -- Jul-83
Over/Under 0.8 0.8 1.4 1.1 0.8 0.8Allocation Index -4.4 27 -4.4 27 -1.2 62 5.7 81 6.8 80 5.9 40 -- Jul-8360% MSCI ACWI (Gross)/40% CITI WGBI -4.4 27 -4.4 27 -4.1 99 4.3 91 5.4 96 4.9 86 -- Jul-83
InvestorForce Public DB > $1B Gross Median -4.9 -4.9 -0.6 7.4 7.8 5.8 9.0 Jul-83U.S. Equity Composite 2,141,599,458 19.6 -6.8 29 -6.8 29 -0.7 57 12.5 47 13.2 39 6.6 65 10.9 Jan-85
Russell 3000 -7.2 34 -7.2 34 -0.5 55 12.5 46 13.3 36 6.9 56 10.8 Jan-85Over/Under 0.4 0.4 -0.2 0.0 -0.1 -0.3 0.1eA All US Equity Net Median -8.4 -8.4 0.0 12.3 12.6 7.1 11.3 Jan-85
U.S. Large Cap Equity Composite 1,912,053,281 17.5 -6.3 33 -6.3 33 -0.8 50 12.4 50 13.3 36 6.6 60 4.9 Aug-99S&P 500 -6.4 35 -6.4 35 -0.6 49 12.4 49 13.3 35 6.8 54 4.3 Aug-99
Over/Under 0.1 0.1 -0.2 0.0 0.0 -0.2 0.6eA US Large Cap Equity Net Median -7.3 -7.3 -0.8 12.3 12.7 6.9 5.9 Aug-99
S&P 500 Index Fund 1,912,053,281 17.5 -6.3 30 -6.3 30 -0.8 55 12.4 46 13.3 37 6.5 69 3.6 Jan-00S&P 500 -6.4 34 -6.4 34 -0.6 53 12.4 46 13.3 36 6.8 58 3.7 Jan-00
Over/Under 0.1 0.1 -0.2 0.0 0.0 -0.3 -0.1eA US Large Cap Core Equity Net Median -7.2 -7.2 -0.5 12.2 12.8 6.9 5.4 Jan-00
U.S. Small/Mid Cap Equity Composite 229,546,177 2.1 -10.7 84 -10.7 84 0.2 70 13.3 40 11.9 69 6.5 86 6.5 Aug-99NMERB Small/Mid Cap Equity Blended Index -10.3 78 -10.3 78 0.4 69 12.4 63 12.5 52 6.9 76 7.4 Aug-99
Over/Under -0.4 -0.4 -0.2 0.9 -0.6 -0.4 -0.9eA US Small-Mid Cap Core Equity Net Median -9.3 -9.3 1.3 12.8 12.6 8.0 8.8 Aug-99
Lord Abbett 117,103,535 1.1 -7.4 16 -7.4 16 3.8 10 13.9 18 11.6 49 -- -- 12.3 Aug-10Russell 2500 Value -9.6 40 -9.6 40 -2.4 57 11.0 58 11.5 51 6.3 71 11.9 Aug-10
Over/Under 2.2 2.2 6.2 2.9 0.1 0.4eA US Small-Mid Cap Value Equity Net Median -10.4 -10.4 -0.7 11.6 11.5 7.0 12.3 Aug-10
Pinnacle 112,442,642 1.0 -13.9 91 -13.9 91 -3.3 88 12.6 35 -- -- -- -- 14.4 Dec-11Russell 2500 Growth -11.0 49 -11.0 49 3.4 34 13.8 18 13.9 27 8.4 35 14.2 Dec-11
Over/Under -2.9 -2.9 -6.7 -1.2 0.2eA US Small-Mid Cap Growth Equity Net Median -11.3 -11.3 1.2 11.7 12.6 7.5 12.4 Dec-11
43
September 30, 2015
Note: Performance shown is net of fees. Fiscal year ends June 30.
New Mexico Educational Retirement BoardPerformance Detail - Non-U.S. Equity
Market Value($)
% ofPortfolio
3 Mo(%) Rank
FiscalYTD(%)
Rank 1 Yr(%) Rank 3 Yrs
(%) Rank 5 Yrs(%) Rank 10 Yrs
(%) Rank Return(%) Since
_
Non-U.S. Equity Composite 1,513,837,656 13.9 -13.3 91 -13.3 91 -13.8 92 -1.6 99 -1.9 99 2.0 98 5.9 Jul-95MSCI ACWI ex USA -12.2 75 -12.2 75 -12.2 86 2.3 81 1.8 84 3.0 79 -- Jul-95
Over/Under -1.1 -1.1 -1.6 -3.9 -3.7 -1.0eA All ACWI ex-US Equity Net Median -10.4 -10.4 -7.2 5.4 4.4 4.3 7.6 Jul-95
Non-U.S. Developed Mkts Equity Composite 500,084,352 4.6 -10.1 66 -10.1 66 -7.2 63 5.4 68 3.6 80 2.5 87 5.9 Sep-95MSCI EAFE -10.2 69 -10.2 69 -8.7 77 5.6 62 4.0 74 3.0 77 4.5 Sep-95
Over/Under 0.1 0.1 1.5 -0.2 -0.4 -0.5 1.4eA All EAFE Equity Net Median -9.0 -9.0 -5.7 6.4 5.4 3.8 6.5 Sep-95
Pyramis 249,428,674 2.3 -10.0 64 -10.0 64 -6.0 58 6.6 49 5.2 55 3.7 53 7.6 Jun-03MSCI EAFE -10.2 69 -10.2 69 -8.7 77 5.6 62 4.0 74 3.0 77 6.9 Jun-03
Over/Under 0.2 0.2 2.7 1.0 1.2 0.7 0.7eA All EAFE Equity Net Median -9.0 -9.0 -5.7 6.4 5.4 3.8 7.8 Jun-03
BlackRock MSCI EAFE 250,655,678 2.3 -10.2 68 -10.2 68 -8.4 76 -- -- -- -- -- -- 0.7 Aug-13MSCI EAFE -10.2 69 -10.2 69 -8.7 77 5.6 62 4.0 74 3.0 77 0.4 Aug-13
Over/Under 0.0 0.0 0.3 0.3eA All EAFE Equity Net Median -9.0 -9.0 -5.7 6.4 5.4 3.8 1.6 Aug-13
44
September 30, 2015
1 – Parametric Emerging Markets Equity was funded in May, 2015 with $232.8 M.Note: Performance shown is net of fees. Fiscal year ends June 30.
New Mexico Educational Retirement BoardPerformance Detail - Non-U.S. Emerging Market Equity
Market Value($)
% ofPortfolio
3 Mo(%) Rank
FiscalYTD(%)
Rank 1 Yr(%) Rank 3 Yrs
(%) Rank 5 Yrs(%) Rank 10 Yrs
(%) Rank Return(%) Since
_
Non-U.S. Emerging Mkts Equity Composite 1,013,753,304 9.3 -15.0 28 -15.0 28 -17.0 46 -5.0 71 -4.7 85 3.0 88 5.9 Sep-00MSCI Emerging Markets -17.9 80 -17.9 80 -19.3 70 -5.3 76 -3.6 68 4.3 73 6.8 Sep-00
Over/Under 2.9 2.9 2.3 0.3 -1.1 -1.3 -0.9eA Emg Mkts Equity Net Median -16.4 -16.4 -17.6 -3.2 -2.0 5.2 8.0 Sep-00
Robeco 235,760,595 2.2 -17.3 66 -17.3 66 -18.2 58 -4.8 69 -3.8 71 -- -- 6.9 Nov-08MSCI Emerging Markets -17.9 80 -17.9 80 -19.3 70 -5.3 76 -3.6 68 4.3 73 7.4 Nov-08
Over/Under 0.6 0.6 1.1 0.5 -0.2 -0.5eA Emg Mkts Equity Net Median -16.4 -16.4 -17.6 -3.2 -2.0 5.2 8.4 Nov-08
Neuberger Berman Emerging Markets 280,635,223 2.6 -15.9 37 -15.9 37 -17.9 56 -- -- -- -- -- -- -5.6 Aug-13MSCI Emerging Markets -17.9 80 -17.9 80 -19.3 70 -5.3 76 -3.6 68 4.3 73 -5.7 Aug-13
Over/Under 2.0 2.0 1.4 0.1eA Emg Mkts Equity Net Median -16.4 -16.4 -17.6 -3.2 -2.0 5.2 -4.9 Aug-13
Mondrian Emerging Markets Small Cap 301,393,441 2.8 -12.8 5 -12.8 5 -15.9 67 -- -- -- -- -- -- -1.5 Aug-13MSCI Emerging Markets Small Cap -16.7 79 -16.7 79 -15.2 61 -1.1 61 -2.4 86 6.7 88 -2.4 Aug-13
Over/Under 3.9 3.9 -0.7 0.9eA Emg Mkts Small Cap Equity Net Median -15.1 -15.1 -14.4 0.7 0.4 8.2 -1.8 Aug-13
Parametric Emerging Markets Equity 195,964,045 1.8 -15.0 29 -15.0 29 -- -- -- -- -- -- -- -- -16.8 Jun-15MSCI Emerging Markets -17.9 80 -17.9 80 -19.3 70 -5.3 76 -3.6 68 4.3 73 -20.0 Jun-15
Over/Under 2.9 2.9 3.2eA Emg Mkts Equity Net Median -16.4 -16.4 -17.6 -3.2 -2.0 5.2 -18.6 Jun-15
45
September 30, 2015
1 - Residual amounts remain in Neuberger Berman, Pyramis, and WAMCO. Assets were transferred to internally managed Core Fixed Income in February 2015.Note: Performance shown is net of fees. Fiscal year ends June 30.
New Mexico Educational Retirement BoardPerformance Detail - Total Fixed Income and Core Fixed Income
Market Value($)
% ofPortfolio
3 Mo(%) Rank
FiscalYTD(%)
Rank 1 Yr(%) Rank 3 Yrs
(%) Rank 5 Yrs(%) Rank 10 Yrs
(%) Rank Return(%) Since
_
Fixed Income Composite 3,710,365,590 34.0 0.1 69 0.1 69 2.5 28 5.5 3 6.2 12 6.5 14 2.8 Jan-85Barclays Aggregate 1.2 18 1.2 18 2.9 14 1.7 55 3.1 57 4.6 50 7.3 Jan-85
Over/Under -1.1 -1.1 -0.4 3.8 3.1 1.9 -4.5eA All US Fixed Inc Net Median 0.5 0.5 1.6 1.8 3.4 4.6 7.6 Jan-85
Core Fixed Income Composite 1,077,736,088 9.9 1.0 59 1.0 59 2.5 56 2.0 29 3.9 21 4.9 42 5.7 Dec-99Barclays Aggregate 1.2 31 1.2 31 2.9 32 1.7 54 3.1 67 4.6 68 5.4 Dec-99
Over/Under -0.2 -0.2 -0.4 0.3 0.8 0.3 0.3eA US Core Fixed Inc Net Median 1.0 1.0 2.7 1.8 3.3 4.8 5.6 Dec-99
Core Fixed Income 1,077,736,088 9.9 1.0 59 1.0 59 -- -- -- -- -- -- -- -- -0.8 Apr-15Barclays Aggregate 1.2 31 1.2 31 2.9 32 1.7 54 3.1 67 4.6 68 -0.5 Apr-15
Over/Under -0.2 -0.2 -0.3eA US Core Fixed Inc Net Median 1.0 1.0 2.7 1.8 3.3 4.8 -0.5 Apr-15
46
September 30, 2015
Note: Performance shown is net of fees. Fiscal year ends June 30.
New Mexico Educational Retirement BoardPerformance Detail - Emerging Market Debt
Market Value($)
% ofPortfolio
3 Mo(%) Rank
FiscalYTD(%)
Rank 1 Yr(%) Rank 3 Yrs
(%) Rank 5 Yrs(%) Rank 10 Yrs
(%) Rank Return(%) Since
_
Non-U.S. Emerging Market Debt Composite 178,146,200 1.6 -3.2 18 -3.2 18 -11.0 60 -4.2 64 -- -- -- -- -2.4 Sep-11JP Morgan GBI - EM Diversified -10.5 84 -10.5 84 -19.8 85 -8.7 82 -3.6 83 4.5 99 -6.1 Sep-11
Over/Under 7.3 7.3 8.8 4.5 3.7eA All Emg Mkts Fixed Inc Net Median -5.2 -5.2 -8.2 -1.7 2.5 6.3 1.5 Sep-11
Pictet 93,593,447 0.9 -8.9 72 -8.9 72 -18.5 81 -9.0 88 -- -- -- -- -6.2 Sep-11JP Morgan GBI - EM Diversified -10.5 84 -10.5 84 -19.8 85 -8.7 82 -3.6 83 4.5 99 -6.1 Sep-11
Over/Under 1.6 1.6 1.3 -0.3 -0.1eA All Emg Mkts Fixed Inc Net Median -5.2 -5.2 -8.2 -1.7 2.5 6.3 1.5 Sep-11
EMSO 84,552,752 0.8 4.0 1 4.0 1 -1.0 3 2.3 4 -- -- -- -- 3.0 Sep-11JP Morgan GBI - EM Diversified -10.5 84 -10.5 84 -19.8 85 -8.7 82 -3.6 83 4.5 99 -6.1 Sep-11
Over/Under 14.5 14.5 18.8 11.0 9.1eA All Emg Mkts Fixed Inc Net Median -5.2 -5.2 -8.2 -1.7 2.5 6.3 1.5 Sep-11
47
September 30, 2015
Note: Performance shown is net of fees. Fiscal year ends June 30.
New Mexico Educational Retirement BoardPerformance Detail - Opportunistic Fixed Income
Market Value($)
% ofPortfolio
3 Mo(%) Rank
FiscalYTD(%)
Rank 1 Yr(%) Rank 3 Yrs
(%) Rank 5 Yrs(%) Rank 10 Yrs
(%) Rank Return(%) Since
_
Opportunistic Credit Composite 2,454,483,303 22.5 -0.1 -- -0.1 -- 3.6 -- 8.8 -- 8.3 -- -- -- 9.2 May-0850% Credit Suisse Leveraged Loan Index / 50% BofAML US HY BB-B Rated Constrained Index -2.8 -- -2.8 -- -0.4 -- 3.7 -- 5.4 -- 5.6 -- 6.0 May-08
Over/Under 2.7 2.7 4.0 5.1 2.9 3.2BofA Merrill Lynch US High Yield BB-B RatedConstrained Index -4.3 -- -4.3 -- -2.0 -- 3.7 -- 6.0 -- 6.6 -- 7.0 May-08
Beachpoint Combined 628,476,581 5.8 -2.4 -- -2.4 -- -0.6 -- 6.6 -- 7.2 -- 6.9 -- 6.8 Mar-0450% Credit Suisse Leveraged Loan Index / 50%BofA ML US HY BB-B Rated Constrained Index -2.8 -- -2.8 -- -0.4 -- 3.7 -- 5.4 -- 5.6 -- 5.6 Mar-04
Over/Under 0.4 0.4 -0.2 2.9 1.8 1.3 1.2Beachpoint Total Return 628,476,581 5.8 -2.4 -- -2.4 -- -0.6 -- 6.6 -- 7.2 -- -- -- 7.3 Jun-08
50% Credit Suisse Leveraged Loan Index / 50%BofA ML US HY BB-B Rated Constrained Index -2.8 -- -2.8 -- -0.4 -- 3.7 -- 5.4 -- 5.6 -- 6.0 Jun-08
Over/Under 0.4 0.4 -0.2 2.9 1.8 1.3Pimco Disco Combined 298,113,237 2.7 0.4 -- 0.4 -- 3.2 -- 10.1 -- 10.2 -- -- -- 12.6 Jul-08
50% Credit Suisse Leveraged Loan Index / 50%BofA ML US HY BB-B Rated Constrained Index -2.8 -- -2.8 -- -0.4 -- 3.7 -- 5.4 -- 5.6 -- 6.2 Jul-08
Over/Under 3.2 3.2 3.6 6.4 4.8 6.4Pimco Disco II 298,113,237 2.7 0.4 -- 0.4 -- 3.2 -- 10.1 -- -- -- -- -- 16.0 Oct-11
50% Credit Suisse Leveraged Loan Index / 50%BofA ML US HY BB-B Rated Constrained Index -2.8 -- -2.8 -- -0.4 -- 3.7 -- 5.4 -- 5.6 -- 6.3 Oct-11
Over/Under 3.2 3.2 3.6 6.4 9.7GoldenTree Combined 144,776,971 1.3 -1.6 -- -1.6 -- 4.1 -- 8.5 -- 9.8 -- -- -- 10.6 Oct-09
50% Credit Suisse Leveraged Loan Index / 50%BofA ML US HY BB-B Rated Constrained Index -2.8 -- -2.8 -- -0.4 -- 3.7 -- 5.4 -- 5.6 -- 6.7 Oct-09
Over/Under 1.2 1.2 4.5 4.8 4.4 3.9Goldentree II 144,776,971 1.3 -1.6 -- -1.6 -- 4.1 -- 8.5 -- -- -- -- -- 10.7 Sep-11
50% Credit Suisse Leveraged Loan Index / 50%BofA ML US HY BB-B Rated Constrained Index -2.8 -- -2.8 -- -0.4 -- 3.7 -- 5.4 -- 5.6 -- 5.8 Sep-11
Over/Under 1.2 1.2 4.5 4.8 4.9
48
September 30, 2015
1 - Marathon European Credit Opportunity II was funded in March 2014.Note: Performance shown is net of fees. Fiscal year ends June 30.
New Mexico Educational Retirement BoardPerformance Detail - Opportunistic Fixed Income
Market Value($)
% ofPortfolio
3 Mo(%) Rank
FiscalYTD(%)
Rank 1 Yr(%) Rank 3 Yrs
(%) Rank 5 Yrs(%) Rank 10 Yrs
(%) Rank Return(%) Since
_
Medley Capital 165,281,584 1.5 2.0 -- 2.0 -- 8.1 -- 9.5 -- -- -- -- -- 8.4 Aug-1150% Credit Suisse Leveraged Loan Index / 50%BofA ML US HY BB-B Rated Constrained Index -2.8 -- -2.8 -- -0.4 -- 3.7 -- 5.4 -- 5.6 -- 4.7 Aug-11
Over/Under 4.8 4.8 8.5 5.8 3.7 GSO Capital 19,316,374 0.2 6.4 -- 6.4 -- 8.2 -- 8.4 -- -- -- -- -- 6.9 Sep-11
50% Credit Suisse Leveraged Loan Index / 50%BofA ML US HY BB-B Rated Constrained Index -2.8 -- -2.8 -- -0.4 -- 3.7 -- 5.4 -- 5.6 -- 5.8 Sep-11
Over/Under 9.2 9.2 8.6 4.7 1.1 Waterfall - Eden 243,028,003 2.2 0.9 -- 0.9 -- 6.3 -- 11.4 -- -- -- -- -- 12.2 Aug-11
50% Credit Suisse Leveraged Loan Index / 50%BofA ML US HY BB-B Rated Constrained Index -2.8 -- -2.8 -- -0.4 -- 3.7 -- 5.4 -- 5.6 -- 4.7 Aug-11
Over/Under 3.7 3.7 6.7 7.7 7.5 Waterfall - Victoria 136,515,635 1.3 2.5 -- 2.5 -- 7.8 -- 10.1 -- -- -- -- -- 9.5 Aug-11
50% Credit Suisse Leveraged Loan Index / 50%BofA ML US HY BB-B Rated Constrained Index -2.8 -- -2.8 -- -0.4 -- 3.7 -- 5.4 -- 5.6 -- 4.7 Aug-11
Over/Under 5.3 5.3 8.2 6.4 4.8 Marathon European Credit Opportunity I 77,508,341 0.7 4.2 -- 4.2 -- 5.3 -- 9.5 -- -- -- -- -- 8.5 Oct-11
50% Credit Suisse Leveraged Loan Index / 50%BofA ML US HY BB-B Rated Constrained Index -2.8 -- -2.8 -- -0.4 -- 3.7 -- 5.4 -- 5.6 -- 6.3 Oct-11
Over/Under 7.0 7.0 5.7 5.8 2.2 Marathon European Credit Opportunity II 138,854,364 1.3 1.4 -- 1.4 -- 7.1 -- -- -- -- -- -- -- 4.7 Mar-14
50% Credit Suisse Leveraged Loan Index / 50%BofA ML US HY BB-B Rated Constrained Index -2.8 -- -2.8 -- -0.4 -- 3.7 -- 5.4 -- 5.6 -- 0.6 Mar-14
Over/Under 4.2 4.2 7.5 4.1 Elegantree Fund 153,111,294 1.4 1.2 -- 1.2 -- 7.4 -- 11.1 -- -- -- -- -- 11.4 Mar-12
50% Credit Suisse Leveraged Loan Index / 50%BofA ML US HY BB-B Rated Constrained Index -2.8 -- -2.8 -- -0.4 -- 3.7 -- 5.4 -- 5.6 -- 4.7 Mar-12
Over/Under 4.0 4.0 7.8 7.4 6.7 Gramercy Distressed Opp II 135,401,940 1.2 -2.3 -- -2.3 -- 0.5 -- 7.3 -- -- -- -- -- 6.3 Jul-12
50% Credit Suisse Leveraged Loan Index / 50%BofA ML US HY BB-B Rated Constrained Index -2.8 -- -2.8 -- -0.4 -- 3.7 -- 5.4 -- 5.6 -- 4.6 Jul-12
Over/Under 0.5 0.5 0.9 3.6 1.7
49
September 30, 2015
1 - Kildare European Partners I LP was funded in May 2014.2 -Black Forest was funded in July 2014.3 - Gramercy Dist Argentina FD II funded in November 2014 with $50 M.4 - Lone Star IX was funded in March 2015 with $1.5 M.Note: Performance shown is net of fees. Fiscal year ends June 30.
New Mexico Educational Retirement BoardPerformance Detail - Opportunistic Fixed Income
Market Value($)
% ofPortfolio
3 Mo(%) Rank
FiscalYTD(%)
Rank 1 Yr(%) Rank 3 Yrs
(%) Rank 5 Yrs(%) Rank 10 Yrs
(%) Rank Return(%) Since
_
ICE Canyon 72,301,327 0.7 -4.6 -- -4.6 -- -13.3 -- -1.3 -- -- -- -- -- -0.9 Jun-1250% Credit Suisse Leveraged Loan Index / 50%BofA ML US HY BB-B Rated Constrained Index -2.8 -- -2.8 -- -0.4 -- 3.7 -- 5.4 -- 5.6 -- 4.9 Jun-12
Over/Under -1.8 -1.8 -12.9 -5.0 -5.8Lone Star VIII 43,094,881 0.4 4.0 -- 4.0 -- 39.5 -- -- -- -- -- -- -- 32.2 Oct-13
50% Credit Suisse Leveraged Loan Index / 50%BofA ML US HY BB-B Rated Constrained Index -2.8 -- -2.8 -- -0.4 -- 3.7 -- 5.4 -- 5.6 -- 2.7 Oct-13
Over/Under 6.8 6.8 39.9 29.5Kildare European Partners I LP 53,981,416 0.5 6.1 -- 6.1 -- 9.1 -- -- -- -- -- -- -- 3.7 May-14
50% Credit Suisse Leveraged Loan Index / 50%BofA ML US HY BB-B Rated Constrained Index -2.8 -- -2.8 -- -0.4 -- 3.7 -- 5.4 -- 5.6 -- 0.1 May-14
Over/Under 8.9 8.9 9.5 3.6Black Forest 77,908,764 0.7 2.1 -- 2.1 -- 3.6 -- -- -- -- -- -- -- 3.1 Aug-14
50% Credit Suisse Leveraged Loan Index / 50%BofA ML US HY BB-B Rated Constrained Index -2.8 -- -2.8 -- -0.4 -- 3.7 -- 5.4 -- 5.6 -- -0.6 Aug-14
Over/Under 4.9 4.9 4.0 3.7Gramercy Dist Argentina FD II 52,542,666 0.5 0.0 -- 0.0 -- -- -- -- -- -- -- -- -- 5.1 Dec-14
50% Credit Suisse Leveraged Loan Index / 50%BofA ML US HY BB-B Rated Constrained Index -2.8 -- -2.8 -- -0.4 -- 3.7 -- 5.4 -- 5.6 -- -1.2 Dec-14
Over/Under 2.8 2.8 6.3Lone Star IX 14,269,924 0.1
50
September 30, 2015
1 - Absolute Return Composites, underlying managers and benchmark performance are lagged one month. Absolute Return Composite includes $1,019,224 in a transfer account.2 - ACSHQP Holdings LLC was funded in September 2014.Note: Performance shown is net of fees. Fiscal year ends June 30.
New Mexico Educational Retirement BoardPerformance Detail - Absolute Return
Market Value($)
% ofPortfolio
3 Mo(%) Rank
FiscalYTD(%)
Rank 1 Yr(%) Rank 3 Yrs
(%) Rank 5 Yrs(%) Rank 10 Yrs
(%) Rank Return(%) Since
_
Absolute Return Composite 86,551,318 0.8 2.6 -- 2.6 -- 6.0 -- 4.7 -- 3.3 -- -- -- 1.9 Jan-07HFRI FOF Conservative (1 Mo Lag) -1.2 -- -1.2 -- 1.9 -- 4.8 -- 3.4 -- 2.4 -- 1.5 Jan-07
Over/Under 3.8 3.8 4.1 -0.1 -0.1 0.491 Day T-Bill + 2% (1 Mo Lag) 0.5 -- 0.5 -- 2.0 -- 2.0 -- 2.1 -- 3.3 -- 2.8 Jan-07DB Advisors (in liquidation) 1,614,636 0.0 -0.4 -- -0.4 -- -7.2 -- 0.9 -- 0.2 -- -- -- -0.1 Jan-07Gottex Market Neutral (in liquidation) 397,596 0.0 6.5 -- 6.5 -- 4.9 -- -0.1 -- 0.4 -- -- -- -3.3 Jan-07Absolute Return Composite (ex Liquidating funds) 83,519,862 0.8 2.7 -- 2.7 -- 6.3 -- 5.1 -- 3.6 -- -- -- 1.9 Jan-07
HFRI FOF Conservative (1 Mo Lag) -1.2 -- -1.2 -- 1.9 -- 4.8 -- 3.4 -- 2.4 -- 1.5 Jan-07Over/Under 3.9 3.9 4.4 0.3 0.2 0.4
91 Day T-Bill + 2% (1 Mo Lag) 0.5 -- 0.5 -- 2.0 -- 2.0 -- 2.1 -- 3.3 -- 2.8 Jan-07Benchmark Plus 83,015,603 0.8 2.7 -- 2.7 -- 4.4 -- 5.9 -- 3.6 -- -- -- 3.9 Feb-07
HFRI FOF Conservative (1 Mo Lag) -1.2 -- -1.2 -- 1.9 -- 4.8 -- 3.4 -- 2.4 -- 1.4 Feb-07Over/Under 3.9 3.9 2.5 1.1 0.2 2.5
91 Day T-Bill + 2% (1 Mo Lag) 0.5 -- 0.5 -- 2.0 -- 2.0 -- 2.1 -- 3.3 -- 2.7 Feb-07ACSHQP Holdings LLC 504,259 0.0 6.5 -- 6.5 -- 16.5 -- -- -- -- -- -- -- 8.1 Sep-14
HFRI FOF Conservative (1 Mo Lag) -1.2 -- -1.2 -- 1.9 -- 4.8 -- 3.4 -- 2.4 -- 2.1 Sep-14Over/Under 7.7 7.7 14.6 6.0
51
September 30, 2015
1 - PanAgora was funded in December 2013.Note: Performance shown is net of fees. Fiscal year ends June 30
New Mexico Educational Retirement BoardPerformance Detail - Global Asset Allocation and Risk Parity
Market Value($)
% ofPortfolio
3 Mo(%) Rank
FiscalYTD(%)
Rank 1 Yr(%) Rank 3 Yrs
(%) Rank 5 Yrs(%) Rank 10 Yrs
(%) Rank Return(%) Since
_
Global Asset Allocation/Risk Parity Composite 1,089,277,000 10.0 -6.3 63 -6.3 63 -4.9 62 -0.2 90 5.1 22 -- -- 7.6 Oct-09GAA/Risk Parity Custom Index -4.4 29 -4.4 29 -4.4 55 4.7 15 5.3 19 4.3 62 5.5 Oct-09
Over/Under -1.9 -1.9 -0.5 -4.9 -0.2 2.1eA Global TAA Net Median -5.8 -5.8 -4.3 3.0 4.5 4.8 4.9 Oct-09
Global Asset Allocation Composite 542,981,589 5.0 -7.1 73 -7.1 73 -6.1 68 -- -- -- -- -- -- -0.6 Nov-12Credit Suisse Hedge Global Macro -2.9 18 -2.9 18 -2.3 24 1.9 64 3.9 64 6.7 6 2.2 Nov-12
Over/Under -4.2 -4.2 -3.8 -2.8eA Global TAA Net Median -5.8 -5.8 -4.3 3.0 4.5 4.8 3.2 Nov-12
Bridgewater Pure Alpha 257,587,390 2.4 -3.9 28 -3.9 28 3.3 2 3.0 51 6.2 9 -- -- 8.2 Oct-09Credit Suisse Hedge Global Macro -2.9 18 -2.9 18 -2.3 24 1.9 64 3.9 64 6.7 6 5.1 Oct-09
Over/Under -1.0 -1.0 5.6 1.1 2.3 3.1eA Global TAA Net Median -5.8 -5.8 -4.3 3.0 4.5 4.8 4.9 Oct-09
Bridgewater Pure Alpha Major Markets 13,015,652 0.1 -3.7 28 -3.7 28 3.7 2 4.4 20 -- -- -- -- 6.7 Dec-10Credit Suisse Hedge Global Macro -2.9 18 -2.9 18 -2.3 24 1.9 64 3.9 64 6.7 6 3.8 Dec-10
Over/Under -0.8 -0.8 6.0 2.5 2.9eA Global TAA Net Median -5.8 -5.8 -4.3 3.0 4.5 4.8 4.5 Dec-10
PIMCO All Asset All Authority 272,378,547 2.5 -10.0 93 -10.0 93 -14.7 98 -- -- -- -- -- -- -5.6 Jul-13Credit Suisse Hedge Global Macro -2.9 18 -2.9 18 -2.3 24 1.9 64 3.9 64 6.7 6 1.4 Jul-13
Over/Under -7.1 -7.1 -12.4 -7.0eA Global TAA Net Median -5.8 -5.8 -4.3 3.0 4.5 4.8 2.2 Jul-13
Risk Parity 546,295,411 5.0 -5.6 42 -5.6 42 -3.8 46 -- -- -- -- -- -- 0.9 Nov-12GAA/Risk Parity Custom Index -4.4 29 -4.4 29 -4.4 55 4.7 15 5.3 19 4.3 62 4.9 Nov-12
Over/Under -1.2 -1.2 0.6 -4.0eA Global TAA Net Median -5.8 -5.8 -4.3 3.0 4.5 4.8 3.2 Nov-12
Bridgewater All Weather 372,296,757 3.4 -6.4 64 -6.4 64 -5.8 67 -0.4 91 5.7 17 -- -- 8.2 Oct-0960% MSCI World (Gross) / 40% CITI WGBI -4.4 29 -4.4 29 -4.1 49 4.3 22 5.4 19 4.9 49 5.6 Oct-09
Over/Under -2.0 -2.0 -1.7 -4.7 0.3 2.6eA Global TAA Net Median -5.8 -5.8 -4.3 3.0 4.5 4.8 4.9 Oct-09
PanAgora 173,998,654 1.6 -3.8 -- -3.8 -- 0.6 -- -- -- -- -- -- -- 6.7 Dec-13GAA/Risk Parity Custom Index -4.4 -- -4.4 -- -4.4 -- 4.7 -- 5.3 -- 4.3 -- -0.7 Dec-13
Over/Under 0.6 0.6 5.0 7.4
52
September 30, 2015
Note: Performance shown is net of fees. Fiscal year ends June 30.
New Mexico Educational Retirement BoardPerformance Detail - Real Estate and Private Equity
Market Value($)
% ofPortfolio
3 Mo(%) Rank
FiscalYTD(%)
Rank 1 Yr(%) Rank 3 Yrs
(%) Rank 5 Yrs(%) Rank 10 Yrs
(%) Rank Return(%) Since
_
Real Estate Composite 761,833,795 7.0 1.7 72 1.7 72 12.3 56 12.5 40 13.7 14 7.4 5 10.0 Dec-03NCREIF Property Index 3.1 43 3.1 43 13.5 38 11.9 48 12.5 56 8.0 3 9.4 Dec-03
Over/Under -1.4 -1.4 -1.2 0.6 1.2 -0.6 0.6 Wilshire REIT 2.9 49 2.9 49 11.6 61 10.1 78 12.5 57 6.8 20 9.5 Dec-03
InvestorForce Public DB Real Estate Pub+Priv NetMedian 2.7 2.7 12.8 11.7 12.8 5.1 6.5 Dec-03
Public Real Estate Composite 350,953,739 3.2 0.3 87 0.3 87 6.9 86 9.2 79 12.2 72 6.8 90 9.4 Dec-03Wilshire REIT 2.9 40 2.9 40 11.6 53 10.1 45 12.5 54 6.8 90 9.5 Dec-03
Over/Under -2.6 -2.6 -4.7 -0.9 -0.3 0.0 -0.1 eA US REIT Net Median 2.7 2.7 11.7 9.9 12.7 7.9 10.6 Dec-03
REIT Index Fund 133,237,932 1.2 2.9 40 2.9 40 11.6 53 9.9 55 12.3 60 6.9 86 9.5 Dec-03Wilshire REIT 2.9 40 2.9 40 11.6 53 10.1 45 12.5 54 6.8 90 9.5 Dec-03
Over/Under 0.0 0.0 0.0 -0.2 -0.2 0.1 0.0 eA US REIT Net Median 2.7 2.7 11.7 9.9 12.7 7.9 10.6 Dec-03
Brookfield 217,715,807 2.0 -1.2 89 -1.2 89 4.2 92 9.6 64 -- -- -- -- 10.7 Jul-11MSCI US REIT 1.8 75 1.8 75 8.2 83 8.2 90 10.7 93 5.4 99 8.5 Jul-11
Over/Under -3.0 -3.0 -4.0 1.4 2.2 eA US REIT Net Median 2.7 2.7 11.7 9.9 12.7 7.9 10.2 Jul-11
Private Real Estate Composite 410,880,056 3.8 2.9 -- 2.9 -- 17.2 -- 16.3 -- 14.9 -- -- -- 6.8 Jan-08NCREIF Property Index 3.1 -- 3.1 -- 13.5 -- 11.9 -- 12.5 -- 8.0 -- 5.5 Jan-08
Over/Under -0.2 -0.2 3.7 4.4 2.4 1.3 U.S. Private Real Estate 404,158,711 3.7 2.8 -- 2.8 -- 17.4 -- 16.6 -- 15.2 -- -- -- 7.6 Jan-08
NCREIF Property Index 3.1 -- 3.1 -- 13.5 -- 11.9 -- 12.5 -- 8.0 -- 5.5 Jan-08Over/Under -0.3 -0.3 3.9 4.7 2.7 2.1
Non-U.S. Private Real Estate 6,721,345 0.1 6.0 -- 6.0 -- 8.6 -- 5.8 -- 4.3 -- -- -- -5.7 Aug-08NCREIF Property Index 3.1 -- 3.1 -- 13.5 -- 11.9 -- 12.5 -- 8.0 -- 5.7 Aug-08
Over/Under 2.9 2.9 -4.9 -6.1 -8.2 -11.4
53
September 30, 2015
New Mexico Educational Retirement BoardPerformance Detail - Real Assets
1 - Energy funded in January 2014.2 - Agriculture Composite contains Halderman Farm Mgmt Services, Hancock Agriculture, and Blue Road Capital L.P. Timber Composite Contains Timber and Brookfield Brazil Timber andETO II Operating Partnership, which was funded in August 2014.3 - Blue Road L.P. was funded in March 2015 with 9.17 M and is included in the Agriculture Composite.Note: Performance shown is net of fees. Fiscal year ends June 30.
Market Value($)
% ofPortfolio
3 Mo(%) Rank
FiscalYTD(%)
Rank 1 Yr(%) Rank 3 Yrs
(%) Rank 5 Yrs(%) Rank 10 Yrs
(%) Rank Return(%) Since
_
Private Equity Composite 1,072,254,985 9.8 5.4 9 5.4 9 16.8 12 17.6 11 15.3 10 -- -- 5.6 Jun-06Cambridge Associates US All PE 1 Qtr Lag 3.8 27 3.8 27 8.9 70 15.9 24 15.6 9 13.2 8 12.4 Jun-06
Over/Under 1.6 1.6 7.9 1.7 -0.3 -6.8 InvestorForce Public DB Private Eq Net Median 2.4 2.4 11.1 13.0 12.3 10.5 9.4 Jun-06
Real Assets Composite 389,397,168 3.6 1.7 4 1.7 4 2.4 13 3.7 26 3.4 41 -- -- -0.1 Jul-08CPI + 5% (Seasonally Adjusted) 1.1 5 1.1 5 5.0 10 6.0 22 6.8 15 6.9 1 6.3 Jul-08
Over/Under 0.6 0.6 -2.6 -2.3 -3.4 -6.4 InvestorForce Public DB Real Assets/CommoditiesNet Median -6.8 -6.8 -12.6 -5.9 1.6 4.5 3.7 Jul-08
Infrastructure Composite 178,543,948 1.6 2.4 -- 2.4 -- 4.1 -- 4.1 -- 3.5 -- -- -- 0.7 Jul-08Infrastructure 160,020,971 1.5 1.4 -- 1.4 -- 4.9 -- 4.8 -- 3.9 -- -- -- 1.0 Jul-08
CPI + 6% (Seasonally Adjusted) 1.4 -- 1.4 -- 6.0 -- 7.0 -- 7.8 -- 7.9 -- 7.3 Jul-08Over/Under 0.0 0.0 -1.1 -2.2 -3.9 -6.3
International Infrastructure 18,522,976 0.2 10.9 -- 10.9 -- -8.9 -- -- -- -- -- -- -- -35.5 Jan-13CPI + 6% (Seasonally Adjusted) 1.4 -- 1.4 -- 6.0 -- 7.0 -- 7.8 -- 7.9 -- 7.1 Jan-13
Over/Under 9.5 9.5 -14.9 -42.6 Natural Resources 210,853,221 1.9 1.1 -- 1.1 -- 0.9 -- 4.1 -- 3.8 -- -- -- 1.8 Mar-09
Energy 23,543,690 0.2 -2.6 -- -2.6 -- -31.7 -- -- -- -- -- -- -- -22.4 Jan-14Timber Composite 82,885,388 0.8 2.0 -- 2.0 -- 9.1 -- 7.1 -- 6.0 -- -- -- 3.4 Mar-09
NCREIF Timberland 0.8 -- 0.8 -- 9.3 -- 9.8 -- 6.3 -- 7.9 -- 4.1 Mar-09Over/Under 1.2 1.2 -0.2 -2.7 -0.3 -0.7
Agriculture Composite 58,134,434 0.5 1.5 -- 1.5 -- 1.8 -- 4.0 -- -- -- -- -- 3.8 Aug-12NCREIF Farmland 2.5 -- 2.5 -- 12.7 -- 16.4 -- 15.8 -- 16.4 -- 16.2 Aug-12
Over/Under -1.0 -1.0 -10.9 -12.4 -12.4 Water Property Investor, L.P. 20,664,769 0.2 -1.8 -- -1.8 -- -- -- -- -- -- -- -- -- 14.1 Jan-15
CPI + 6% (Seasonally Adjusted) 1.4 -- 1.4 -- 6.0 -- 7.0 -- 7.8 -- 7.9 -- 5.0 Jan-15Over/Under -3.2 -3.2 9.1
Mitigation Banking 25,624,941 0.2 3.0 -- 3.0 -- 14.7 -- 10.4 -- -- -- -- -- -4.6 Mar-1191 Day T-Bills 0.0 -- 0.0 -- 0.0 -- 0.0 -- 0.0 -- 1.2 -- 0.0 Mar-11
Over/Under 3.0 3.0 14.7 10.4 -4.6
54
September 30, 2015
1 – Local Government Investment Pool was funded in June, 2015 with $100 M.Note: Performance shown is net of fees. Fiscal year ends June 30.
New Mexico Educational Retirement BoardPerformance Detail - Cash
Market Value($)
% ofPortfolio
3 Mo(%) Rank
FiscalYTD(%)
Rank 1 Yr(%) Rank 3 Yrs
(%) Rank 5 Yrs(%) Rank 10 Yrs
(%) Rank Return(%) Since
_
Cash 154,965,956 1.4Cash 77,261,992 0.7 0.1 -- 0.1 -- 0.4 -- 0.3 -- 0.7 -- 1.7 -- 1.1 Dec-99
91 Day T-Bills 0.0 -- 0.0 -- 0.0 -- 0.0 -- 0.0 -- 1.2 -- 1.8 Dec-99Over/Under 0.1 0.1 0.4 0.3 0.7 0.5 -0.7
NM ERB Cash 2,657,437 0.0 0.0 -- 0.0 -- 0.0 -- 1.3 -- 0.8 -- 1.7 -- 1.1 Jun-0091 Day T-Bills 0.0 -- 0.0 -- 0.0 -- 0.0 -- 0.0 -- 1.2 -- 1.6 Jun-00
Over/Under 0.0 0.0 0.0 1.3 0.8 0.5 -0.5Local Government Investment Pool (LGIP) at STO 75,046,528 0.7 0.0 -- 0.0 -- -- -- -- -- -- -- -- -- 0.0 Jul-15
XXXXX
55
September 30, 2015
Note: Ranks are based on gross returns.
New Mexico Educational Retirement BoardTotal Fund Return Summary vs. Peer Universe
56
September 30, 2015
Note: Ranks are based on gross returns.
New Mexico Educational Retirement BoardTotal Fund Return Summary vs. Peer Universe
57
Appendix: Market Environment
58
Inflation has stayed low Unemployment steadily improving
Corporate profits at secular highs Manufacturing above average but trending lower
US Economic Indicators
Source: Bloomberg, Federal Reserve, Bureau of Labor Statistics Source: Bloomberg, Bureau of Labor Statistics
Source: Bloomberg, Institute for Supply ManagementSource: Bloomberg, Bureau of Economic Analysis
60%
65%
70%
75%
80%
85%
90%
‐3%‐2%‐1%0%1%2%3%4%5%6%
1995
1996
1997
1998
1999
2000
2001
2002
2003
2004
2005
2006
2007
2008
2009
2010
2011
2012
2013
2014
CPI (LHS)Capacity Utilization (RHS)
0%2%4%6%8%
10%12%14%16%18%
1995
1996
1997
1998
1999
2000
2001
2002
2003
2004
2005
2006
2007
2008
2009
2010
2011
2012
2013
2014
US UnemploymentU‐6 Unemployment
6%
7%
8%
9%
10%
11%
12%
13%
1965
1967
1969
1971
1973
1975
1977
1979
1981
1983
1985
1987
1989
1991
1993
1995
1997
1999
2001
2003
2005
2007
2009
2011
2013
Corporate Profits (% of GDP)
35
40
45
50
55
60
65
1995
1996
1997
1998
1999
2000
2001
2002
2003
2004
2005
2006
2007
2008
2009
2010
2011
2012
2013
2014
US ISM PMI
September 30, 2015
New Mexico Educational Retirement Board
59
Inflation remains muted Europe employment recovery lagging
Manufacturing in developed economies has lagged Leading indicators mostly neutral
International Economic Indicators
Source: Bloomberg, Japan Ministry of Internal Affairs and Communications, Eurostat Source: Bloomberg, Japan Ministry of Internal Affairs and Communications, Eurostat
Source: Bloomberg, OECDSource: Bloomberg, OECD, Eurostat
‐3%
‐2%
‐1%
0%
1%
2%
3%
4%
5%
Jan‐04
Sep‐04
May‐05
Jan‐06
Sep‐06
May‐07
Jan‐08
Sep‐08
May‐09
Jan‐10
Sep‐10
May‐11
Jan‐12
Sep‐12
May‐13
Jan‐14
Sep‐14
May‐15
Japan CPI
Euro CPI0%
2%
4%
6%
8%
10%
12%
14%
Sep‐00
Jul‐0
1May‐02
Mar‐03
Jan‐04
Nov‐04
Sep‐05
Jul‐0
6May‐07
Mar‐08
Jan‐09
Nov‐09
Sep‐10
Jul‐1
1May‐12
Mar‐13
Jan‐14
Nov‐14
Europe UnemploymentJapan Unemployment
‐10%‐8%‐6%‐4%‐2%0%2%4%6%8%
10%
Sep‐05
May‐06
Jan‐07
Sep‐07
May‐08
Jan‐09
Sep‐09
May‐10
Jan‐11
Sep‐11
May‐12
Jan‐13
Sep‐13
May‐14
Jan‐15
YoY % Cha
nge in M
anufacturin
g
GermanyFranceItalyJapan
97.0
98.0
99.0
100.0
101.0
102.0
103.0
Aug‐05
Apr‐06
Dec‐06
Aug‐07
Apr‐08
Dec‐08
Aug‐09
Apr‐10
Dec‐10
Aug‐11
Apr‐12
Dec‐12
Aug‐13
Apr‐14
Dec‐14
OECD Lead
ing Indicator S
A
Euro AreaJapanUKCanada
September 30, 2015
New Mexico Educational Retirement Board
60
EM inflation is varied by country Relatively healthy Debt/GDP ratios
Some improvement in account balance challenged countries
Emerging economies make up >50% of global output
Emerging Market Economic Indicators
Source: Bloomberg Source: Bloomberg, IMF
Source: Bloomberg, IMFSource: Bloomberg
‐2.0%
0.0%
2.0%
4.0%
6.0%
8.0%
10.0%
12.0%
Brazil China Mexico SouthAfrica
SouthKorea
Taiwan Turkey
CPI
Most Recent
1 Yr Previous
0%
20%
40%
60%
80%
100%
120%
Gross Gov
't Deb
t as %
of G
DP
‐20%
‐15%
‐10%
‐5%
0%
5%
10%
15%
20%
Dec‐05
Jul‐0
6Feb‐07
Sep‐07
Apr‐08
Nov
‐08
Jun‐09
Jan‐10
Aug‐10
Mar‐11
Oct‐11
May‐12
Dec‐12
Jul‐1
3Feb‐14
Sep‐14
Apr‐15
Accoun
t Balan
ce (%
of G
DP)
Mexico Brazil South AfricaTurkey Malaysia Indonesia
0%10%20%30%40%50%60%70%80%90%
100%
1996
1997
1998
1999
2000
2001
2002
2003
2004
2005
2006
2007
2008
2009
2010
2011
2012
2013
2014
2015
2016
2017
2018
2019
GDP PP
P as % of W
orld
Developed
Emerging
September 30, 2015
New Mexico Educational Retirement Board
61
Equity volatility has seen recent spike Treasury rates experiencing periods of higher volatility
Sustained uptick in currency volatilities Commodity pricing volatility has increased
Volatility
Source: Bloomberg, CBOE Source: Bloomberg, Merrill Lynch
Source: Bloomberg, Merrill LynchSource: Bloomberg, Deutsche Bank
05
101520253035404550
Oct‐10
Jan‐11
Apr‐11
Jul‐1
1Oct‐11
Jan‐12
Apr‐12
Jul‐1
2Oct‐12
Jan‐13
Apr‐13
Jul‐1
3Oct‐13
Jan‐14
Apr‐14
Jul‐1
4Oct‐14
Jan‐15
Apr‐15
Jul‐1
5
VIX Index
405060708090
100110120130
Oct‐10
Jan‐11
Apr‐11
Jul‐1
1Oct‐11
Jan‐12
Apr‐12
Jul‐1
2Oct‐12
Jan‐13
Apr‐13
Jul‐1
3Oct‐13
Jan‐14
Apr‐14
Jul‐1
4Oct‐14
Jan‐15
Apr‐15
Jul‐1
5
MOVE Index
4
6
8
10
12
14
16
18
Sep‐10
Dec‐10
Mar‐11
Jun‐11
Sep‐11
Dec‐11
Mar‐12
Jun‐12
Sep‐12
Dec‐12
Mar‐13
Jun‐13
Sep‐13
Dec‐13
Mar‐14
Jun‐14
Sep‐14
Dec‐14
Mar‐15
Jun‐15
Sep‐15
CVIX Index
5
10
15
20
25
30
Sep‐10
Dec‐10
Mar‐11
Jun‐11
Sep‐11
Dec‐11
Mar‐12
Jun‐12
Sep‐12
Dec‐12
Mar‐13
Jun‐13
Sep‐13
Dec‐13
Mar‐14
Jun‐14
Sep‐14
Dec‐14
Mar‐15
Jun‐15
Sep‐15
ML Commodity 3‐Month Vol
September 30, 2015
New Mexico Educational Retirement Board
62
Major central bank policy divergence Fed’s ideal rate of policy firming above market expectations
Many developed central banks have maintained low interest rates
EM central bank policies have varied by circumstance
Central Banks
Source: Bloomberg, Federal Reserve, Bank of Japan, ECB, NEPC Source: Bloomberg, Federal Reserve, NEPC
Source: BloombergSource: Bloomberg
$0.00$0.50$1.00$1.50$2.00$2.50$3.00$3.50$4.00$4.50$5.00
2007 2008 2009 2010 2011 2012 2013 2014 2015
Trillions (b
alan
ce she
et assets) Fed
ECB
BoJ
‐0.5%0.0%0.5%1.0%1.5%2.0%2.5%3.0%3.5%4.0%4.5%
2014 2015 2016 2017 2018 2019 2020
FOMC ParticipantsFOMC MedianFed Funds Futures
Long Term
‐1.0% 0.0% 1.0% 2.0% 3.0% 4.0%
AustraliaCanada
ECBJapan
New ZealandNorway
SingaporeSwitzerland
UKUS
Target central bank rate
1 Yr Previous
Current
0.0% 2.0% 4.0% 6.0% 8.0% 10.0% 12.0% 14.0% 16.0%
BrazilChinaIndia
IndonesiaMalaysiaMexicoPolandRussia
South AfricaSouth Korea
Turkey
Target central bank rate
1 Yr Previous
Current
September 30, 2015
New Mexico Educational Retirement Board
63
Global valuations are mixed Earnings growth trending lower
Margins elevated, but largely a US story Global equity returns mostly negative
Global Equity
Source: Bloomberg, Standard and Poors, MSCI *MSCI EAFE is ex UK Telecom Source: Bloomberg, Standard and Poors, MSCI
Source: Bloomberg, MSCISource: Bloomberg, MSCI
0
5
10
15
20
25
30
35
40
MSCI ACWI MSCI EAFE MSCI EM S&P 500
PE Ratio
+1 Std Dev ‐1 St Dev9/30/2014 9/30/2015
‐50%‐40%‐30%‐20%‐10%0%
10%20%30%40%50%
Oct‐05
Jun‐06
Feb‐07
Oct‐07
Jun‐08
Feb‐09
Oct‐09
Jun‐10
Feb‐11
Oct‐11
Jun‐12
Feb‐13
Oct‐13
Jun‐14
Feb‐15
Rolling
12‐Mo Ch
ange
in EBIT
S&P 500MSCI EAFEMSCI EM
0%
2%
4%
6%
8%
10%
12%
14%
1995
1996
1997
1998
1999
2000
2001
2002
2003
2004
2005
2006
2007
2008
2009
2010
2011
2012
2013
2014
2015
Profit Margins
MSCI ACWIMSCI EAFEMSCI EMS&P 500
‐25%
‐20%
‐15%
‐10%
‐5%
0%
MSCI ACWI MSCI ACWIIMI
MSCI EAFE MSCI EM SP 500
3 Month Return
1 Yr Return
September 30, 2015
New Mexico Educational Retirement Board
64
Valuations near or above historical norms Growth recovery marked by inconsistency
Profit margins remain elevated Trailing performance is negative in near term
US Equity
Source: Bloomberg, Standard and Poors, Russell *Russell 2000 PE is index adjusted positive Source: Bloomberg, Bureau of Economic Analysis
Source: Bloomberg, Standard and Poors, RussellSource: Bloomberg, Standard and Poors, Russell
0
5
10
15
20
25
30
35
S&P 500 Russell 2000 Russell 1000Growth
Russell 1000Value
PE Ratio
+1 Std Dev ‐1 St Dev9/30/2014 9/30/2015
‐10%
‐8%
‐6%
‐4%
‐2%
0%
2%
4%
6%
20152014201320122011201020092008200720062005
US Real GDP Growth
‐8%‐6%‐4%‐2%0%2%4%6%8%
10%12%
1991
1993
1995
1997
1999
2001
2003
2005
2007
2009
2011
2013
2015
Profit Margins
S&P 500Russell 2000
‐14%‐12%‐10%‐8%‐6%‐4%‐2%0%2%4%
SP 500 Russell 2500 Russell 2000 Russell 1000Growth
Russell 1000Value
3 Month Return
1 Yr Return
September 30, 2015
New Mexico Educational Retirement Board
65
PEs near historical medians Slow Global Growth
Margins elevated but not at extremes Returns pulled lower by dollar strength
International Equity
Source: Bloomberg, MSCI, FTSE *UK represented by FTSE 100 Index Source: Bloomberg
Source: Bloomberg, MSCISource: Bloomberg, MSCI
0
5
10
15
20
25
30
35
40
45
Europe Japan United Kingdom
PE Ratio
+1 Std Dev ‐1 St Dev9/30/2014 9/30/2015
‐15%
‐10%
‐5%
0%
5%
10%
15%
20152014201320122011201020092008200720062005
Eurozone
Japan
UK
0%1%2%3%4%5%6%7%8%9%
10%
Profit Margins
MSCI EAFE
‐15%
‐10%
‐5%
0%
5%
10%
15%
MSCI EAFE EAFE (Local) EAFE Small Cap EAFE SC (Local)
3 Month Return1 Yr Return
September 30, 2015
New Mexico Educational Retirement Board
66
Regional valuations show divergence Slowing growth in major economies
Profit margins in line with history EM returns especially negative
Emerging Markets Equity
Source: Bloomberg, MSCI Source: Bloomberg
Source: Bloomberg, MSCISource: Bloomberg, MSCI
0
5
10
15
20
25
China Brazil South Africa India Russia South Korea
PE Ratio
+1 Std Dev ‐1 St Dev9/30/2014 9/30/2015
‐15%
‐10%
‐5%
0%
5%
10%
15%
20%
20152014201320122011201020092008200720062005
Brazil RussiaIndia China
0%
2%
4%
6%
8%
10%
12%
14%
Profit Margins
MSCI EM‐30%‐25%‐20%‐15%‐10%‐5%0%5%
10%15%20%
MSCI EM EM (Local) EM SmallCap
EM SC(Local)
Frontier
3 Month Return1 Yr Return
September 30, 2015
New Mexico Educational Retirement Board
67
Energy returns sharply negative Divergence among S&P 500 sectors
Energy sensitivity especially pronounced in EM Global energy sector weight has fallen
Global Equity by Sector
Source: Bloomberg, MSCI Source: Bloomberg, Standard and Poors
Source: Bloomberg, MSCISource: Bloomberg, MSCI
‐35%‐30%‐25%‐20%‐15%‐10%‐5%0%5%
10%
3‐Mo Return1 Yr Return
‐35%‐30%‐25%‐20%‐15%‐10%‐5%0%5%
10%15%20%
3‐Mo Return1 Yr Return
‐40%‐35%‐30%‐25%‐20%‐15%‐10%‐5%0%
3‐Mo Return1 Yr Return
0%
5%
10%
15%
20%
25%
Sector W
eigh
t of A
CWI
9/30/2015
9/30/2014
September 30, 2015
New Mexico Educational Retirement Board
68
Developed currencies mostly negative versus the dollar
EM currencies have suffered in unique fashions
Yen and GBP expected to decline versus USD Recent dollar strength pronounced
Currencies
Source: Bloomberg Source: Bloomberg
Source: Bloomberg, Federal ReserveSource: Bloomberg
60
70
80
90
100
110
120
1990
1991
1992
1993
1994
1995
1996
1997
1998
1999
2000
2001
2002
2003
2004
2005
2006
2007
2008
2009
2010
2011
2012
2013
2014
USD Trade Weighted Index
‐25%
‐20%
‐15%
‐10%
‐5%
0%
5%
JapaneseYen
PoundSterling
Euro SwissFranc
CanadianDollar
AustralianDollar
3 Month Spot Change1 Yr Spot Change
‐40%‐35%‐30%‐25%‐20%‐15%‐10%‐5%0%
3 Month Spot Change1 Yr Spot Change
‐2.0%
‐1.0%
0.0%
1.0%
2.0%
3.0%
4.0%
Euro Yen BritishPound
SwissFranc
Aus Dollar Yuan(O/S)
Chan
ge versus U
SD
3M Currency Fwd12M Currency Fwd
September 30, 2015
New Mexico Educational Retirement Board
69
Spread levels drifting above historical medians High yield spreads have increased
Similar yield/duration tradeoff among major US indices
Negative high yield returns driven by energy distress
US Fixed Income
Source: Bloomberg, Barclays Source: Bloomberg, Barclays
Source: Bloomberg, BarclaysSource: Bloomberg, Barclays
0
200
400
600
800
1000
1200
1400
1600
1800
Aaa Aa A Baa Ba B Caa
Spread
(bps)
+2 Std Dev+1 Std Dev‐1 St Dev9/30/20149/30/2015
0%1%2%3%4%5%6%7%8%9%
Month End Yield3‐Mo Previous Yield
0%1%
2%3%4%5%
6%7%8%
9%
0 1 2 3 4 5 6 7 8
Yield
Duration
BC AggBC US TreasuryBC CreditBC MBSBC High YieldBC MunicipalBC TIPS
‐7.0%
‐5.0%
‐3.0%
‐1.0%
1.0%
3.0%
5.0%
3 Month Return1 Yr Return
September 30, 2015
New Mexico Educational Retirement Board
70
European periphery yields at small premium relative to Germany
Global yields are at or near historic lows despite recent uptick
Low global yields relative to duration Global bonds negative over one year in USD terms
International Developed Fixed Income
Source: Barclays, Bloomberg, *European periphery spreads are over equivalent German Bund Source: Bloomberg
Source: Bloomberg, Citigroup, BarclaysSource: Bloomberg, Citigroup, Barclays
0
100
200
300400
500
600
700
OAS
or E
quivalen
t (bp
s)
9/30/2015
9/30/2014
0.0%
0.5%
1.0%
1.5%
2.0%
2.5%
3.0%
3.5%
4.0%
10 Yr G
ovt Y
ield
Month End Yield 3‐Mo Previous Yield1 Yr Previous Yield
‐1.0%
0.0%
1.0%
2.0%
3.0%
4.0%
5.0%
6.0%
0 1 2 3 4 5 6 7 8 9 10 11 12 13
Yield
Duration
WGBIBC MultiverseBC Glob Infl‐LinkedBC EuroAggBC Pan‐Euro HY
‐8%
‐6%
‐4%
‐2%
0%
2%
4%
6%
WGBI(Local)
WGBI(USD)
WGBI exUS (Local)
WGBI exUS (USD)
BCMultiverse
BC GlobInfl‐Linked
3 Month Return1 Yr Return
September 30, 2015
New Mexico Educational Retirement Board
71
Spreads have widened slightly, still in line with history
Emerging market bond yield changes have varied directionally
EM yields higher versus global counterparts Currency effect pronounced in EMD returns
Emerging Markets Fixed Income
Source: Bloomberg, JP Morgan Source: Bloomberg
Source: Bloomberg, JP MorganSource: Bloomberg, JP Morgan
0
200
400
600
800
1000
1200
1400Sep‐05
May‐06
Jan‐07
Sep‐07
May‐08
Jan‐09
Sep‐09
May‐10
Jan‐11
Sep‐11
May‐12
Jan‐13
Sep‐13
May‐14
Jan‐15
Sep‐15
Spread
in bps
EMBI Glob Div EMBI Glob Div IGEMBI Glob Div HY CEMBI Div Broad IGCEMBI Div Broad HY
0%2%4%6%8%
10%12%14%16%18%
10 Yr L
ocal Gov
t Yield
Month End Yield3‐Mo Previous Yield1 Yr Previous Yield
0%
2%
4%
6%
8%
10%
12%
0 1 2 3 4 5 6 7
Yield
Duration
JPM EMBI CompositeJPM GBI‐EM Glob DivCEMBI IGCEMBI HYEMBI HYEMBI IG ‐25%
‐20%
‐15%
‐10%
‐5%
0%
5%
10%
JPM EMBIGlob Div
JPM GBI‐EMGlob Div
CEMBI IG CEMBI HY ELMI+ Comp
3 Month Return1 Yr Return
September 30, 2015
New Mexico Educational Retirement Board
72
Treasury yield curve moderately lower versus Q2
German and UK curves have shifted downwards
Global yield curves have flattened Global yields have trended lower over long term
Rates
Source: Bloomberg Source: Bloomberg
Source: BloombergSource: Bloomberg
0.0%
0.5%
1.0%
1.5%
2.0%
2.5%
3.0%
3.5%
4.0%
1Y 3Y 5Y 7Y 10Y
15Y
20Y
25Y
30Y
9/30/20156/30/20159/30/20149/30/2013
‐1.0%‐0.5%0.0%0.5%1.0%1.5%2.0%2.5%3.0%3.5%4.0%
1Y 3Y 5Y 7Y 10Y
15Y
20Y
25Y
30Y
UK Month End UK 3M PreviousJapan Month End Japan 3M PreviousGerm Month End Germ 3M Previous
‐0.5%
0.0%
0.5%
1.0%
1.5%
2.0%
2.5%
3.0%
2000
2001
2002
2003
2004
2005
2006
2007
2008
2009
2010
2011
2012
2013
2014
US 10 Yr ‐ 2 YrJapan 10 Yr ‐ 2 YrGermany 10 Yr ‐ 2 Yr
‐1%
0%
1%
2%
3%
4%
5%
6%
7%
1995
1996
1997
1998
1999
2000
2001
2002
2003
2004
2005
2006
2007
2008
2009
2010
2011
2012
2013
2014
Japan 10 YrJapan 2 YrGermany 10 YrGermany 2 Year
September 30, 2015
New Mexico Educational Retirement Board
73
Long duration yields have fallen over last few years even with recent uptick
Lower yields driven by low inflation expectations and real rates
Yields are low but spreads slightly above historic averages
Recent compression in rates has lead to positive returns
Long Rates and Liability
Source: Bloomberg, Citigroup, Barclays Source: Bloomberg, US Treasury, Barclays, NEPC
Source: Bloomberg, BarclaysSource: Bloomberg, BofA Merrill Lynch, Barclays *No index for 20+ year corporate
1%
2%
3%
4%
5%
6%
7%
Dec‐09
Apr‐10
Aug‐10
Dec‐10
Apr‐11
Aug‐11
Dec‐11
Apr‐12
Aug‐12
Dec‐12
Apr‐13
Aug‐13
Dec‐13
Apr‐14
Aug‐14
Dec‐14
Citigroup Pension Liability IndexBC Long CreditBC 20‐30 Yr STRIPS
‐1%0%1%2%3%4%5%6%7%8%9%
10%
Long
credit y
ield (b
y compo
nent) Spread (BC Long Cred OAS)
Inflation (LT Yield ‐ LT Real Yield)Real Rate (LT Real Yield)
0.0%0.5%1.0%1.5%2.0%2.5%3.0%3.5%4.0%4.5%5.0%
0‐5 Years 5‐10 Years 10‐15 Years 15+ Years 20+ Years
US Corp Spread
US Gov't Yield
‐2%
0%
2%
4%
6%
8%
10%
12%
14%
20‐30 YrSTRIPS
US AggLong Treas
US LongCredit
US LongGovt/Credit
US LongCredit A+
Long CorpA+
3‐Month Return
1 Year Return
September 30, 2015
New Mexico Educational Retirement Board
74
US real yields have risen slightly Global real yields are flat to negative
US inflation expectations on downward trend
Global inflation expectations remain subdued
Inflation and Real Rates
Source: Bloomberg Source: Bloomberg
Source: BloombergSource: Bloomberg
‐0.4%
‐0.2%
0.0%
0.2%
0.4%
0.6%
0.8%
1.0%
1.2%
US 5 Yr US 10 Yr
Real Yields
3M Previous Month End3M Forward 1 Yr Fwd ‐1.6%
‐1.4%‐1.2%‐1.0%‐0.8%‐0.6%‐0.4%‐0.2%0.0%0.2%0.4%0.6%
US 5 Yr Germany 5Yr
Britain 5 Yr France 5 Yr Australia 5Yr
Month End3‐Mo Previous
1.50%1.70%1.90%2.10%2.30%2.50%2.70%2.90%3.10%3.30%
5y5y US Breakeven
0.0%
0.5%
1.0%
1.5%
2.0%
2.5%
3.0%
3.5%
4.0%
Sep‐10
Jan‐11
May‐11
Sep‐11
Jan‐12
May‐12
Sep‐12
Jan‐13
May‐13
Sep‐13
Jan‐14
May‐14
Sep‐14
Jan‐15
May‐15
Infla
tion Breakeven
US 10 Yr UK 10 YrGermany 10 Yr France 10 YrAustralia 10 Yr
September 30, 2015
New Mexico Educational Retirement Board
75
Yields slightly higher relative to last year Gradual recovery in occupancy rates
PE Ratios near or above averages Recent REIT selloff has cut into long rally
Inflation Sensitive Growth Assets
0
500
1000
1500
2000
2500
1985
1986
1988
1990
1992
1994
1996
1997
1999
2001
2003
2005
2007
2008
2010
2012
2014
Thou
sand
s
US Housing Starts SA
Source: Bloomberg, Alerian, Nareit, Standard and Poors Source: Bloomberg, CB Richard Ellis
Source: Bloomberg, US Census Bureau Source: Bloomberg, Alerian, Nareit, Standard and Poors
0%1%2%3%4%5%6%7%8%9%
Alerian MLP NAREIT Global NAREIT US S&P Glob NatRes
Dividen
d Yield
Month End Yield
1 Yr Previous Yield
75%
80%
85%
90%
95%
100%
2000
2001
2002
2003
2004
2005
2006
2007
2008
2009
2010
2011
2012
2013
2014
US Occup
ancy Rate
Office IndustrialRetail Multi‐Family
0
5
10
15
20
25
30
PE Ratio
Alerian MLPNAREIT GlobalNAREIT USS&P Glob Nat Res
‐50%
‐40%
‐30%
‐20%
‐10%
0%
10%
20%
Alerian MLP NAREIT Glob NAREIT US NCREIFProperty
S&P GlobNat Res
3 Mo Return1 Yr Return
September 30, 2015
New Mexico Educational Retirement Board
76
Negative roll yields in major commodity futures Precipitous fall in oil prices
US fuel production closing gap with consumption
Commodity indices negative after oil-induced decline
Commodities
Source: Bloomberg Source: Bloomberg
Source: Bloomberg, Standard and PoorsSource: Bloomberg, US Department of Energy *Crude oil and liquid fuels
‐3% ‐2% ‐1% 0% 1% 2% 3%
Copper
Corn
Gold
Natural Gas
Oil
Soybeans
3‐Mo Future Roll Yield
0200400600800100012001400160018002000
0
20
40
60
80
100
120
140
160
1999
2000
2001
2002
2003
2004
2005
2006
2007
2008
2009
2010
2011
2012
2013
2014
$/Troy
Oun
ce
$/Ba
rrel
Crude Oil Spot (LHS)Gold Spot (RHS)
75
80
85
90
95
100
0
5
10
15
20
25
US ProductionUS ConsumptionWorld Production (RHS)World Consumption (RHS)
Crude oil and liquid fuels
‐45%‐40%‐35%‐30%‐25%‐20%‐15%‐10%‐5%0%
BloombergCommodity
GSCI GSCI Non‐Energy
3‐Month Return
1 Yr Return
September 30, 2015
New Mexico Educational Retirement Board
77
�Glossary of Investment Terminology—Risk Statistics
Alpha - Measures the relationship between the fund performance and the per-formance of another fund or benchmark index and equals the excess return while the other fund or benchmark index is zero.
Alpha Jensen - The average return on a portfolio over and above that predict-ed by the capital asset pricing model (CAPM), given the portfolio's beta and the average market return. Also known as the abnormal return or the risk adjusted excess return.
Annualized Excess Return over Benchmark - Annualized fund return minus the annualized benchmark return for the calculated return.
Annualized Return - A statistical technique whereby returns covering periods greater than one year are converted to cover a 12 month time span.
Beta - Measures the volatility or systematic risk and is equal to the change in the fund’s performance in relation to the change in the assigned index’s perfor-mance.
Information Ratio - A measure of the risk adjusted return of a financial security, asset, or portfolio.
Formula: (Annualized Return of Portfolio - Annualized Return of Benchmark)/Annualized Standard Deviation(Period Portfolio Return – Period Benchmark Return). To an-nualize standard deviation, multiply the deviation by the square root of the number of periods per year where monthly returns per year equals 12 and quar-terly returns is four periods per year.
R-Squared – Represents the percentage of a fund’s movements that can be explained by movements in an index. R-Squared values range from 0 to 100. An R-Squared of 100 denotes that all movements of a fund are completely ex-plained by movements in the index.
Sharpe Ratio - A measure of the excess return or risk premium per unit of risk in an investment asset or trading strategy.
Sortino Ratio - A method to differentiate between good and bad volatility in the Sharpe Ratio. The differentiation of up and down volatility allows the calcu-lation to provide a risk adjusted measure of a security or fund's performance without upward price change penalties.
Formula: Calculation Average (X-Y)/Downside Deviation (X-Y) * 2 Where X=Return Series X Y = Return Series Y which is the risk free return (91 day T-bills)
Data Source: InvestorForce
Standard Deviation - The standard deviation is a statistical term that de-scribes the distribution of results. It is a commonly used measure of volatility of returns of a portfolio, asset class, or security. The higher the standard deviation the more volatile the returns are.
Formula: (Annualized Return of Portfolio – Annualized Return of Risk Free) / Annualized Standard Deviation (Portfolio Returns)
Tracking Error - Tracking error, also known as residual risk, is a measure of the degree to which a portfolio tracks its benchmark. It is also a measure of consistency of excess returns. Tracking error is computed as the annualized standard deviation of the difference between a portfolio's return and that of its benchmark.
Formula: Tracking Error = Standard Deviation (X-Y) * �( # of periods per year) Where X = periods portfolio return and Y = the period’s benchmark return For monthly returns, the periods per year = 12 For quarterly returns, the periods per year = 4
Treynor Ratio - A risk-adjusted measure of return based on systematic risk. Similar to the Sharpe ratio with the difference being the Treynor ratio uses beta as the measurement of volatility.
Formula: (Portfolio Average Return - Average Return of Risk-Free Rate)/Portfolio Beta
Up/Down Capture Ratio - A measure of what percentage of a market's re-turns is "captured" by a portfolio. For example, if the market declines 10% over some period, and the manager declines only 9%, then his or her capture ratio is 90%. In down markets, it is advantageous for a manager to have as low a cap-ture ratio as possible. For up markets, the higher the capture ratio the better. Looking at capture ratios can provide insight into how a manager achieves ex-cess returns. A value manager might typically have a lower capture ratio in both up and down markets, achieving excess returns by protecting on the downside, whereas a growth manager might fall more than the overall market in down markets, but achieve above-market returns in a rising market.
UpsideCapture = TotalReturn(FundReturns)/TotalReturns(BMReturn) when Peri-od Benchmark Return is > = 0
DownsideCapture = TotalReturn(FundReturns)/TotalReturns(BMReturn) when Benchmark <0 �
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�Glossary of Investment Terminology
# Of Portfolios/Observations1 – The total number of data points that make up a specified universe
Allocation Index3 - The allocation index measures the value added (or sub-tracted) to each portfolio by active management. It is calculated monthly: The portfolio asset allocation to each category from the prior month-end is multi-plied by a specified market index.
Asset Allocation Effect2 - Measures an investment manager’s ability to effec-tively allocate their portfolio’s assets to various sectors. The allocation effect determines whether the overweighting or underweighting of sectors relative to a benchmark contributes positively or negatively to the overall portfolio return. Positive allocation occurs when the portfolio is over weighted in a sector that outperforms the benchmark and underweighted in a sector that underperforms the benchmark. Negative allocation occurs when the portfolio is over weighted in a sector that underperforms the benchmark and under weighted in a sector that outperforms the benchmark.
Agency Bonds (Agencies)3 - The full faith and credit of the United States gov-ernment is normally not pledged to payment of principal and interest on the majority of government agencies issuing these bonds, with maturities of up to ten years. Their yields, therefore, are normally higher than government and their marketability is good, thereby qualifying them as a low risk-high liquidity type of investment. They are eligible as security for advances to the member banks by the Federal Reserve, which attests to their standing.
Asset Backed Securities (ABS)3 - Bonds which are similar to mortgage-backed securities but are collateralized by assets other than mortgages; com-monly backed by credit card receivables, auto loans, or other types of consumer financing.
Attribution3 - Attribution is an analytical technique that allows us to evaluate the performance of the portfolio relative to the benchmark. A proper attribution tells us where value was added or subtracted as a result of the manager’s deci-sions.
Data Source: 1InvestorForce, 2Interaction Effect Performance Attribution, 3NEPC, LLC, 4Investopedia, 5Hedgeco.net
Average Effective Maturity4 - For a single bond, it is a measure of maturity that takes into account the possibility that a bond might be called back to the issuer.
For a portfolio of bonds, average effective maturity is the weighted average of the maturities of the underlying bonds. The measure is computed by weighing each bond's maturity by its market value with respect to the portfolio and the likelihood of any of the bonds being called. In a pool of mortgages, this would also account for the likelihood of prepayments on the mortgages.
Batting Average1 - A measurement representing an investment manager's ability to meet or beat an index.
Formula: Divide the number of days (or months, quarters, etc.) in which the manager beats or matches the index by the total number of days (or months, quarters, etc.) in the period of question and multiply that factor by 100.
Brinson Fachler (BF) Attribution1 - The BF methodology is a highly accepted industry standard for calculating the allocation, selection, and interaction effects within a portfolio that collectively explains a portfolio’s underlying performance. The main advantage of the BF methodology is that rather than using the overall return of the benchmark, it goes a level deeper than BHB and measures wheth-er the benchmark sector, country, etc. outperformed/or underperformed the overall benchmark.
Brinson Hood Beebower (BHB) Attribution1 - The BHB methodology shows that excess return must be equal to the sum of all other factors (i.e., allocation effect, selection effect, interaction effect, etc.). The advantage to using the BHB methodology is that it is a highly accepted industry standard for calculating the allocation, selection, and interaction effects within a portfolio that collectively explains a portfolio’s underlying performance.
Corporate Bond (Corp) 4 - A debt security issued by a corporation and sold to investors. The backing for the bond is usually the payment ability of the compa-ny, which is typically money to be earned from future operations. In some cas-es, the company's physical assets may be used as collateral for bonds.
Correlation1 - A range of statistical relationships between two or more random variables or observed data values. A correlation is a single number that de-scribes the degree of relationship between variables.
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�Glossary of Investment Terminology
Coupon4 – The interest rate stated on a bond when it is issued. The coupon is typically paid semiannually. This is also referred to as the "coupon rate" or "coupon percent rate."
Currency Effect1 - Is the effect that changes in currency exchange rates over time affect excess performance.
Derivative Instrument3 - A financial obligation that derives its precise value from the value of one or more other instruments (or assets) at the same point of time. For example, the relationship between the value of an S&P 500 futures contract (the derivative instrument in this case) is determined by the value of the S&P 500 Index and the value of a U.S. Treasury bill that matures at the expiration of the futures contract.
Downside Deviation1 - Equals the standard deviation of negative return or the measure of downside risk focusing on the standard deviation of negative re-turns.
Formula: Annualized Standard Deviation (Fund Return - Average Fund Return) where average fund return is greater than individual fund returns, monthly or quarter-ly.
Duration3 - Duration is a measure of interest rate risk. The greater the dura-tion of a bond, or a portfolio of bonds, the greater its price volatility will be in response to a change in interest rates. A bond’s duration is inversely related to interest rates and directly related to time to maturity.
Equity/Debt/Cash Ratio1 – The percentage of an investment or portfolio that is in Equity, Debt, and/or Cash (i.e. A 7/89/4 ratio represents an investment that is made up of 7% Equity, 89% Debt, and 4% Cash).
Foreign Bond3 - A bond that is issued in a domestic market by a foreign entity, in the domestic market's currency. A foreign bond is most often issued by a foreign firm to raise capital in a domestic market that would be most interested in purchasing the firm's debt. For foreign firms doing a large amount of business in the domestic market, issuing foreign bonds is a common practice.
Hard Hurdle5 – is a hurdle rate that once beaten allows a fund manager to charge a performance fee on only the funds above the specified hurdle rate.
Data Source: 1InvestorForce, 2Interaction Effect Performance Attribution, 3NEPC, LLC, 4Investopedia, 5Hedgeco.net
High-Water Mark4 - The highest peak in value that an investment fund/account has reached. This term is often used in the context of fund manager compensation, which is performance based. Some performance-based fees only get paid when fund performance exceeds the high-water mark. The high-water mark ensures that the manager does not get paid large sums for poor perfor-mance.
Hurdle Rate4 - The minimum rate of return on an investment required, in order for a manager to collect incentive fees from the investor, which is usually tied to a benchmark.
Interaction Effects2 - The interaction effect measures the combined impact of an investment manager’s selection and allocation decisions within a sector. For example, if an investment manager had superior selection and over weighted that particular sector, the interaction effect is positive. If an investment manag-er had superior selection, but underweighted that sector, the interaction effect is negative. In this case, the investment manager did not take advantage of the superior selection by allocating more assets to that sector. Since many invest-ment managers consider the interaction effect to be part of the selection or the allocation, it is often combined with the either effect.
Median3 - The value (rate of return, market sensitivity, etc.) that exceeds one-half of the values in the population and that is exceeded by one-half of the val-ues. The median has a percentile rank of 50.
Modified Duration3 - The percentage change in the price of a fixed income security that results from a change in yield.
Mortgage Backed Securities (MBS)3 - Bonds which are a general obligation of the issuing institution but are also collateralized by a pool of mortgages.
Municipal Bond (Muni) 4 - A debt security issued by a state, municipality or county to finance its capital expenditures.
Net Investment Change1 – Is the change in an investment after accounting for all Net Cash Flows.
Performance Fee4 - A payment made to a fund manager for generating posi-tive returns. The performance fee is generally calculated as a percentage of investment profits, often both realized and unrealized.
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�Glossary of Investment Terminology
Policy Index3 - A custom benchmark designed to indicate the returns that a passive investor would earn by consistently following the asset allocation targets set forth in this investment policy statement.
Price to Book (P/B)4 - A ratio used to compare a stock's market value to its book value. It is calculated by dividing the current closing price of the stock by the latest quarter's book value per share, also known as the "price-equity ratio".
Price to Earnings (P/E)3 - The weighted equity P/E is based on current price and trailing 12 months earnings per share (EPS).
Price to Sales (P/S)4 - A ratio for valuing a stock relative to its own past per-formance, other companies, or the market itself. Price to sales is calculated by dividing a stock's current price by its revenue per share for the trailing 12 months.
Return on Equity (ROE)4 - The amount of net income returned as a percent-age of shareholders equity. Return on equity measures a corporation's profita-bility by revealing how much profit a company generates with the money share-holders have invested.
Selection (or Manager) Effect2 - Measures the investment manager’s ability to select securities within a given sector relative to a benchmark. The over or underperformance of the portfolio is weighted by the benchmark weight, there-fore, selection is not affected by the manager’s allocation to the sector. The weight of the sector in the portfolio determines the size of the effect—the larger the sector, the larger the effect is, positive or negative.
Soft Hurdle rate5 – is a hurdle rate that once beaten allows a fund manager to charge a performance fee based on the entire annualized return.
Tiered Fee1 – A fee structure that is paid to fund managers based on the size of the investment (i.e. 1.00% fee on the first $10M invested, 0.90% on the next $10M, and 0.80% on the remaining balance).
Total Effects2 - The active management (total) effect is the sum of the selec-tion, allocation, and interaction effects. It is also the difference between the total portfolio return and the total benchmark return. You can use the active management effect to determine the amount the investment manager has add-ed to a portfolio’s return.
Data Source: 1InvestorForce, 2Interaction Effect Performance Attribution, 3NEPC, LLC, 4Investopedia, 5Hedgeco.net
Total Return1 - The actual rate of return of an investment over a specified time period. Total return includes interest, capital gains, dividends, and distributions realized over a defined time period.
Universe3 - The list of all assets eligible for inclusion in a portfolio.
Upside Deviation1 – Standard Deviation of Positive Returns
Weighted Avg. Market Cap.4 - A stock market index weighted by the market capitalization of each stock in the index. In such a weighting scheme, larger companies account for a greater portion of the index. Most indexes are con-structed in this manner, with the best example being the S&P 500.
Yield (%)3 - The current yield of a security is the current indicated annual divi-dend rate divided by current price. Yield to Maturity3 -The discount rate that equates the present value of cash flows, both principal and interest, to market price.
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Information Disclaimer
• Past performance is no guarantee of future results.
• All investments carry some level of risk. Diversification and other asset allocation techniques are not guaranteed to ensure profit or protect against losses.
• NEPC’s source for portfolio pricing, calculation of accruals, and transaction information is the plan’s custodian bank. Information on market indices and security characteristics is received from other sources external to NEPC. While NEPC has exercised reasonable professional care in preparing this report, we cannot guarantee the accuracy of all source information contained within.
• Some index returns displayed in this report or used in calculation of a policy, allocation or custom benchmark may be preliminary and subject to change.
• This report is provided as a management aid for the client’s internal use only. Information contained in this report does not constitute a recommendation by NEPC.
• This report may contain confidential or proprietary information and may not be copied or redistributed to any party not legally entitled to receive it.
Reporting Methodology
• The client’s custodian bank is NEPC’s preferred data source unless otherwise directed. NEPC generally reconciles custodian data to manager data. If the custodian cannot provide accurate data, manager data may be used.
• Trailing time period returns are determined by geometrically linking the holding period returns, from the first full month after inception to the report date. Rates of return are annualized when the time period is longer than a year. Performance is presented gross and/or net of manager fees as indicated on each page.
• For managers funded in the middle of a month, the “since inception” return will start with the first full month, although actual inception dates and cash flows are taken into account in all Composite calculations.
• This report may contain forward-looking statements that are based on NEPC’s estimates, opinions and beliefs, but NEPC cannot guarantee that any plan will achieve its targeted return or meet other goals.
Information Disclaimer and Reporting Methodology
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