wilshire associates kuhns reports/2018... · 2019. 8. 8. · ©2017 wilshire associates. 2 u.s....

WILSHIRE ASSOCIATESW i l s h i r e C o n s u l t i n g

K e n t u c k y R e t i r e m e n t S y s t e m s P e n s i o nExecutive Summary of Investment Performance

March 31, 2018

MARKET ENVIRONMENT

©2017 Wilshire Associates.

16

W i l s h i r e C o n s u l t i n g

ASSET CLASS PERFORMANCE

Data sources: Wilshire Compass Note: Developed asset class is developed equity markets ex-U.S., ex-Canada

ANNUALIZED

5-YEAR

2013 2014 2015 2016 2017 2018 YTD AS OF 3/2018

U.S. Equity REITs REITs MLPs Emrg Mrkts Emrg Mrkts U.S. Equity

33.1% 31.8% 4.2% 18.3% 37.7% 1.5% 13.1%

MLPs U.S. Equity U.S. Equity High Yield Developed T-Bills Developed

27.6% 12.7% 0.7% 17.1% 25.6% 0.4% 7.0%

Developed Core Bond Core Bond U.S. Equity U.S. Equity Commodities REITs

23.3% 6.0% 0.6% 13.4% 21.0% -0.4% 6.1%

High Yield MLPs T-Bills Commodities High Yield U.S. Equity Emrg Mrkts

7.4% 4.8% 0.1% 11.8% 7.5% -0.8% 5.4%

REITs U.S. TIPS Developed Emrg Mrkts REITs U.S. TIPS High Yield

1.9% 3.6% -0.4% 11.6% 4.2% -0.8% 5.0%

T-Bills High Yield U.S. TIPS REITs Core Bond High Yield Core Bond

0.1% 2.5% -1.4% 7.2% 3.6% -0.9% 1.8%

Core Bond T-Bills High Yield U.S. TIPS U.S. TIPS Developed T-Bills

-2.0% 0.0% -4.5% 4.7% 3.0% -1.4% 0.3%

Emrg Mrkts Emrg Mrkts Emrg Mrkts Core Bond Commodities Core Bond U.S. TIPS

-2.3% -1.8% -14.6% 2.6% 1.7% -1.5% 0.0%

U.S. TIPS Developed Commodities Developed T-Bills REITs MLPs

-8.6% -4.5% -24.7% 1.5% 0.8% -7.5% -5.8%

Commodities Commodities MLPs T-Bills MLPs MLPs Commodities

-9.5% -17.0% -32.6% 0.3% -6.5% -11.1% -8.3%

ASSET CLASS RETURNS - BEST TO WORST

3


2

U.S. Equity

The U.S. stock market was down -0.76% for the

first quarter of 2018. Volatility returned after a

tranquil 2017. While the market never

experienced a daily loss of 2% or more last year,

there were five such down days during the first

quarter. Strong jobs reports and wage growth

had investors rethinking their inflation

expectations and led to concerns that the

Federal Reserve might accelerate increases in

their short-term rate.

Consumer spending, the main driver of

economic growth, will be a key issue to watch in

2018. Consumers are highly interest rate

sensitive but the increases in short-term rates

that the Federal Reserve has been applying

have so far had a muted affect. Fortunately,

there are signs of consumer strength. Low

unemployment, rising wage growth and

borrowing by households are all positive signals.


MARKET COMMENTARY

Non-U.S. Equity

Equity markets outside of the U.S. produced

mixed results during the quarter with emerging

markets up but developed markets in negative

territory. Concerns about global trade conflicts

dominated headlines. However, it is yet to be

seen whether the future holds a series of

escalating tariffs or trade deals like the one

announced between the U.S. and South Korea.

Fixed Income

The U.S. Treasury yield curve rose in a parallel

fashion during the quarter with most maturities

up 35 basis points, on average. The bellwether

10-year Treasury yield ended the quarter at

2.74%. The Federal Open Market Committee

decided to increase its overnight rate by 25 basis

points in March to a range of 1.50% to 1.75%.

Credit spreads widened during the quarter but

remain narrow relative to historical observations.

4


3


MARCH 2018 ASSET CLASS

ASSUMPTIONS

DEV EMG GLOBAL LT NON-US

US EX-US MRKT EX-US GLOBAL PRIVATE CORE CORE US HIGH BOND US GLOBAL PRIVATE REAL US

STOCK STOCK STOCK STOCK STOCK EQUITY CASH BOND BOND TIPS YIELD (HDG) RES RES RE CMDTY ASSETS CPI

EXPECTED COMPOUND RETURN (%) 6.25 6.25 6.25 6.50 6.50 8.80 2.15 3.80 3.95 3.10 5.05 1.20 5.80 6.00 7.15 4.20 6.75 2.05

EXPECTED ARITHMETIC RETURN (%) 7.55 7.70 9.20 8.10 7.85 12.15 2.15 3.95 4.40 3.25 5.50 1.25 7.10 7.15 8.05 5.25 7.10 2.05

EXPECTED RISK (%) 17.00 18.00 26.00 18.75 17.15 28.00 1.25 5.15 9.85 6.00 10.00 3.50 17.00 15.80 14.00 15.00 8.50 1.75

CASH YIELD (%) 2.00 3.00 2.75 2.95 2.45 0.00 2.15 3.75 4.90 3.25 8.35 1.50 4.25 4.25 2.75 2.15 3.15 0.00

CORRELATIONS

US STOCK 1.00

DEV EX-US STOCK (USD) 0.81 1.00

EMERGING MARKET STOCK 0.74 0.74 1.00

GLOBAL EX-US STOCK 0.83 0.96 0.86 1.00

GLOBAL STOCK 0.94 0.92 0.82 0.94 1.00

PRIVATE EQUITY 0.74 0.64 0.62 0.67 0.74 1.00

CASH EQUIVALENTS -0.05 -0.09 -0.05 -0.08 -0.07 0.00 1.00

CORE BOND 0.28 0.13 0.00 0.09 0.20 0.31 0.19 1.00

LT CORE BOND 0.31 0.16 0.01 0.12 0.23 0.32 0.11 0.93 1.00

US TIPS -0.05 0.00 0.15 0.05 0.00 -0.03 0.20 0.60 0.47 1.00

HIGH YIELD BOND 0.54 0.39 0.49 0.45 0.51 0.34 -0.10 0.25 0.32 0.05 1.00

NON-US BOND (HDG) 0.16 0.25 -0.01 0.18 0.18 0.26 0.10 0.67 0.64 0.39 0.26 1.00

US RE SECURITIES 0.59 0.47 0.44 0.49 0.56 0.50 -0.05 0.17 0.23 0.10 0.56 0.05 1.00

GLOBAL RE SECURITIES 0.65 0.59 0.56 0.62 0.66 0.58 -0.05 0.17 0.22 0.11 0.62 0.03 0.94 1.00

PRIVATE REAL ESTATE 0.54 0.44 0.44 0.47 0.52 0.51 -0.05 0.19 0.25 0.09 0.57 0.05 0.77 0.76 1.00

COMMODITIES 0.25 0.34 0.39 0.38 0.32 0.27 0.00 -0.02 -0.02 0.25 0.29 -0.10 0.25 0.28 0.25 1.00

REAL ASSET BASKET 0.42 0.43 0.50 0.48 0.47 0.43 0.01 0.24 0.25 0.41 0.53 0.06 0.65 0.69 0.69 0.59 1.00

INFLATION (CPI) -0.10 -0.15 -0.13 -0.15 -0.13 -0.10 0.10 -0.12 -0.12 0.15 -0.08 -0.08 0.05 0.03 0.05 0.44 0.26 1.00

EQUITY FIXED INCOME REAL ASSETS

REAL ESTATE

5


4


ECONOMIC REVIEW

Data sources: Bureau of Labor Statistics, U.S. Treasury, University of Michigan, Institute for Supply Management, Bureau of Economic Analysis

AS OF MARCH 31, 2018

CPI (ALL ITEMS)

SEASONALLY ADJUSTED Mar-18 -0.1 3-Mo. 0.6

Feb-18 0.2 12-Mo. 2.4

Jan-18 0.5 10-Yr. (Annual) 1.6

BREAKEVEN INFLATION 10-Yr. 2.1

CONSUMER SENTIMENT Mar-18 101.4

U. OF MICHIGAN SURVEY Feb-18 99.7

1-Yr. Ago 96.9 10-Yr. Avg 79.7

MANUFACTURING Mar-18 59.3

INST. FOR SUPPLY MGMT Feb-18 60.8 >50 Expansion

PURCHASING MNGRS' IDX 1-Yr. Avg. 58.2 <50 Contraction

Note: Seasonally adjusted CPI data is utilized to better reflect short-term pricing activity.

March/2018 CPI is based on Federal Reserve of Philadelphia Survey of Professional Forecasters

MONTHLY CHANGE CUMULATIVE CHANGE

KEY ECONOMIC INDICATORS

CHANGE IN SECTOR

Real GDP

Consumer Spending

$(18,000)

$(15,000)

$(12,000)

$(9,000)

$(6,000)

$(3,000)

$-

$3,000

$6,000

$9,000

$12,000

$15,000

$18,000

-10.00%

-8.00%

-6.00%

-4.00%

-2.00%

0.00%

2.00%

4.00%

6.00%

8.00%

10.00%

Quart

erly G

DP (

$bil)

Annualized G

row

th

CHANGES IN REAL GDP (2009 BASE YEAR)

Annualized Change in Real GDP Private Investment Series9 Government Spending

(5.0)

-

5.0

10.0

15.0

(200)

(100)

-

100

200

300

400

Unem

plo

ym

ent

Rate

(%

)

Job G

row

th/L

oss (

thou)

UNEMPLOYMENT RATE AND JOB GROWTH/LOSS

Job Growth (Loss) Unemployment Rate

6


5

• U.S. economy entering the “late cycle,” characterized by:

– Continued economic growth after a lengthy expansion

– Tightening monetary policy to combat rising inflation

• Common for volatility and correlations to rise during such conditions; rising discount rates lower

the present value of all future cash flows


LATE CYCLE CONDITIONS

Data source: Wilshire Associates, Bloomberg Barclays

(0.80)

(0.60)

(0.40)

(0.20)

-

0.20

0.40

0.60

U.S. EQUITY VS BONDS ROLLING 180-DAY CORRELATION

7


6


U.S. EQUITY MARKET

Data sources: Wilshire Compass, Wilshire Atlas

AS OF MARCH 31, 2018 QTR YTD 1 YR 3 YR 5 YR 10 YR

WILSHIRE 5000 INDEX -0.8 -0.8 13.7 10.5 13.1 9.6

WILSHIRE U.S. LARGE CAP -0.8 -0.8 14.1 10.8 13.3 9.5

WILSHIRE U.S. SMALL CAP -0.7 -0.7 10.1 7.9 11.5 10.9

WILSHIRE U.S. LARGE GROWTH 1.3 1.3 19.6 12.0 15.5 11.0

WILSHIRE U.S. LARGE VALUE -3.0 -3.0 8.6 9.3 11.2 7.9

WILSHIRE U.S. SMALL GROWTH 1.4 1.4 17.0 8.3 12.4 11.5

WILSHIRE U.S. SMALL VALUE -2.9 -2.9 3.4 7.2 10.5 10.2

WILSHIRE REIT INDEX -7.5 -7.5 -3.6 1.0 6.1 6.2

MSCI USA MIN. VOL. INDEX -1.2 -1.2 10.4 9.6 11.4 9.9

FTSE RAFI U.S. 1000 INDEX -2.4 -2.4 9.9 9.1 12.0 10.213.7

-4.6

2.6

10.2

-0.3

-0.8

-0.7

14.7

12.6

16.3

16.9

27.8

-0.8

-7.3

-3.4

-5.3

-6.2

-5.9

-6.8

-1.8

-0.6

2.1

-0.7

4.1

Wilshire 5000

Telecom

Utilities

Materials

Real Estate

Energy

Cnsmr Stpls

Industrials

Healthcare

Cnsmr Discr.

Financials

Info. Tech.

1.9%

2.9%

3.2%

4.0%

5.6%

7.3%

10.7%

12.6%

12.7%

15.5%

23.7%

WILSHIRE 5000 SECTOR WEIGHT & RETURN (%)

1st Quarter 1-Year

-10.00%

-5.00%

0.00%

5.00%

10.00%

15.00%

Larg

e C

ap in e

xcess o

f Sm

all C

ap

LARGE CAP VS SMALL CAP

QTD Excess Return Rolling 3-Year Excess Return

-10.00%

-5.00%

0.00%

5.00%

10.00%

15.00%

Gro

wth

in e

xcess o

f Valu

e

GROWTH VS VALUE

QTD Excess Return Rolling 3-Year Excess Return

8


7

• 2017 was one of the least volatile years in nearly four decades

– Largest drawdown for the year was -2.75%

– Only 4 trading days where the market was down 1% or more

• Volatility returned during the first quarter of 2018

– Annualized volatility for the quarter above the historical median

– “Number of Days Down” statistics are meaningful considering that they are for only one-

quarter of the year


RETURN OF VOLATILITY

Since

1980 Year 1% 2% 3% 4%

Max Risk 40.56% -48.54% 71 42 24 17 -17.23%

Avg 15.45% -13.81% 28.1 7.6 2.3 1.0 -4.00%

Med 13.21% -9.94% 22.5 4.0 1.0 0.0 -3.29%

Min Risk 6.96% -2.74% 3 0 0 0 -1.36%

Level 6.96% -2.75% 4 0 0 0 -1.85%

Rank 1 2 2 1 1 1 7

Q1 2018 Level 19.39% -9.92% 11 5 2 1 -4.02%

Worst

Down Day

2017

Universe

Statistics

Annual

Volatility

Largest

Drawdown

Number of Days Down:

9


8

Higher quality names had a poor quarter after leading the market in 2017


RETURNS BY QUALITY SEGMENT

Data sources: Wilshire Atlas

(5.00)

-

5.00

10.00

15.00

20.00

25.00

30.00

1Q 18 2017

Tota

l Retu

rn (

%)

RETURN BY S&P QUALITY RATING

A+ A A- B+ B B- C / D

A+ 5%

A 11%

A- 18%

B+ 24%

B 16%

B- 9%

C / D 3%

N.A. 14%

Segment Weights

as of December 31

10


9


NON-U.S. EQUITY MARKET

Data sources: Wilshire Compass


MSCI ACWI EX-US ($G) -1.1 -1.1 17.0 6.7 6.4 3.2

MSCI EAFE ($G) -1.4 -1.4 15.3 6.0 7.0 3.2

MSCI EMERGING MARKETS ($G) 1.5 1.5 25.4 9.2 5.4 3.4

MSCI FRONTIER MARKETS ($G) 5.2 5.2 27.6 8.3 9.1 -0.1

MSCI ACWI EX-US GROWTH ($G) -0.8 -0.8 20.3 7.7 7.2 3.6

MSCI ACWI EX-US VALUE ($G) -1.4 -1.4 13.9 5.7 5.5 2.7

MSCI ACWI EX-US SMALL ($G) -0.3 -0.3 21.0 11.0 9.1 6.0

MSCI EAFE MINIMUM VOLATILITY 0.6 0.6 14.8 7.2 7.9 5.9

FTSE RAFI DEVELOPED EX-US -2.0 -2.0 15.4 6.8 7.9 3.6

MSCI EAFE LC (G) -4.2 -4.2 5.8 3.8 8.9 5.0

MSCI EMERGING MARKETS LC (G) 0.8 0.8 22.4 9.4 8.6 5.8

15.3

3.1

9.1

14.0

21.6

12.2

19.9

-1.4

-5.7

-3.9

-3.5

0.4

-3.8

1.0

MSCI EAFE

Australia

Switzerland

Germany

France

United Kingdom

Japan

6.6%

7.8%

9.7%

10.9%

17.3%

24.6%

MSCI EAFE: LARGEST COUNTRIES & RETURN (USD)

1st Quarter 1-Year

25.4

25.8

26.9

10.3

21.5

26.0

39.2

1.5

-3.9

12.5

-6.9

5.7

-0.6

1.8

MSCI Emrg Mrkts

South Africa

Brazil

India

Taiwan

South Korea

China

6.8%

7.5%

8.1%

11.8%

15.1%

29.9%

MSCI EM: LARGEST COUNTRIES & RETURN (USD)

1st Quarter 1-Year

11


10


U.S. FIXED INCOME

Data sources: Wilshire Compass, Bloomberg Barclays, U.S. Treasury

0

200

400

600

800

1,000

1,200

1,400

1,600

1,800

2,000

Option A

dju

ste

d S

pre

ad (

bps)

BLOOMBERG BARCLAYS FIXED INCOME INDEXES

Securitized IG Corporate Aa Corporate High Yield

0.00

0.50

1.00

1.50

2.00

2.50

3.00

3.50

0 5 10 15 20 25 30

Yie

ld (

%)

Maturity (yrs)

TREASURY YIELD CURVE

Current Quarter Previous Quarter One Year Ago

AS OF MARCH 31, 2018 YTM DURATION QTR YTD 1 YR 3 YR 5 YR 10 YR

BLOOMBERG BARCLAYS AGGREGATE 3.1 6.1 -1.5 -1.5 1.2 1.2 1.8 3.6

BLOOMBERG BARCLAYS TREASURY 2.5 6.1 -1.2 -1.2 0.4 0.4 1.1 2.7

BLOOMBERG BARCLAYS GOV'T-REL. 3.1 5.4 -1.0 -1.0 1.7 1.3 1.8 3.3

BLOOMBERG BARCLAYS SECURITIZED 3.3 5.0 -1.2 -1.2 0.8 1.1 1.8 3.5

BLOOMBERG BARCLAYS CORPORATE 3.8 7.5 -2.3 -2.3 2.7 2.3 3.0 5.4

BLOOMBERG BARCLAYS LT G/C 3.8 15.2 -3.6 -3.6 5.1 2.1 4.1 6.8

BLOOMBERG BARCLAYS LT TREASURY 2.9 17.3 -3.3 -3.3 3.5 0.4 3.3 5.8

BLOOMBERG BARCLAYS LT GOV't-REL. 4.2 12.3 -2.3 -2.3 6.0 2.9 3.9 6.5

BLOOMBERG BARCLAYS LT CORP. 4.4 14.0 -4.1 -4.1 6.1 3.3 4.8 7.7

BLOOMBERG BARCLAYS U.S. TIPS * 2.7 7.6 -0.8 -0.8 0.9 1.3 0.0 2.9

BLOOMBERG BARCLAYS HIGH YIELD 6.5 4.1 -0.9 -0.9 3.8 5.2 5.0 8.3

TREASURY BILLS 1.7 0.25 0.4 0.4 1.1 0.5 0.3 0.3

* Yield and Duration statistics are for a proxy index based on similar maturity, the Bloomberg Barclays U.S. Treasury 7-10 Year Index

12


11

• Federal Reserve began their balance sheet normalization program during October 2017;

targeting $10B in reductions per month while increasing to $50B per month in Q4 2018

• Actual pace of reductions has been a bit slower, equaling $70B total through early-April 2018


FEDERAL RESERVE

Data sources: Federal Reserve

$-

$0.5

$1.0

$1.5

$2.0

$2.5

$3.0

$3.5

$4.0

$4.5

$5.0

FEDERAL RESERVE: BALANCE SHEET FORECAST ($T)

U.S. Treasuries Mortgage-backed Securities Other Original Forecast

13


12


NON-U.S. FIXED INCOME

Data sources: Wilshire Compass, Bloomberg Barclays, Federal Reserve Bank of St. Louis


DEVELOPED MARKETS

BLMBRG BRCLYS GLBL AGGREGATE xUS 3.6 3.6 11.8 4.6 1.2 1.8

BLMBRG BRCLYS GLBL AGGREGATE xUS * 0.9 0.9 3.4 2.5 3.7 4.2

BLMBRG BRCLYS GLOBAL INF LNKD xUS 3.2 3.2 14.9 4.9 3.2 2.8

BLMBRG BRCLYS GLOBAL INF LNKD xUS * 0.7 0.7 3.9 4.7 5.3 5.6

EMERGING MARKETS (HARD CURRENCY)

BLMBRG BRCLYS EM USD AGGREGATE -1.5 -1.5 3.2 5.1 3.9 6.8

EMERGING MARKETS (FOREIGN CURRENCY)

BLMBRG BRCLYS EM LOCAL CURR. GOV'T 2.9 2.9 10.0 4.7 0.9 n.a.

BLMBRG BRCLYS EM LOCAL CURR. GOV'T * 1.0 1.0 3.1 2.2 1.8 n.a.

EURO vs. DOLLAR 2.4 2.4 15.0 4.6 -0.9 -2.5

YEN vs. DOLLAR 5.9 5.9 4.8 4.1 -2.4 -0.7

POUND vs. DOLLAR 3.7 3.7 12.2 -1.9 -1.6 -3.4

* Returns are reported in terms of local market investors, w hich removes currency effects.

0.00

2.00

4.00

6.00

8.00

10.00

12.00

Yie

ld t

o W

ors

t (%

)

BLOOMBERG BARCLAYS FIXED INCOME INDEXES

U.S. Treasury Global xUS Gov't EM USD Sovereign EM Foreign Gov't

-25%

-20%

-15%

-10%

-5%

0%

5%

10%

15%

20%

25%

0

10

20

30

40

50

60

70

80

90

100

Rollin

g 1

-Year

Retu

rn

Index L

evel

U.S. DOLLAR INDEX: MAJOR CURRENCIES

Index Level Rolling 1-Year Return

14


13


GLOBAL INTEREST RATES

Data sources: Organization for Economic Co-operation and Development

Rates remain depressed in Europe including negative short-term rates in the major economies of

France and Germany

Japan

Germany

France

United Kingdom

Canada

Australia

Italy

Spain

South Korea

Portugal

U.S.

0.00

0.50

1.00

1.50

2.00

2.50

3.00

3.50

4.00

-1.00 -0.50 0.00 0.50 1.00 1.50 2.00

Long-T

erm

/ 1

0-Y

ear

Yie

lds (

%)

Interbank Rates (%)

GOVERNMENT BOND YIELDS

15


14


HIGH YIELD BOND MARKET

Data sources: Wilshire Compass, Bloomberg Barclays


BLOOMBERG BARCLAYS HIGH YIELD -0.9 -0.9 3.8 5.2 5.0 8.3

CREDIT SUISSE LEVERAGED LOAN 1.6 1.6 4.6 4.3 4.2 5.4

HIGH YIELD QUALITY DISTRIBUTION WEIGHT

Ba U.S. HIGH YIELD 43.5% -1.6 -1.6 3.5 4.7 5.1 8.4

B U.S. HIGH YIELD 42.4% -0.6 -0.6 3.3 4.4 4.4 6.8

Caa U.S. HIGH YIELD 13.2% 0.3 0.3 5.8 7.8 6.4 8.5

Ca to D U.S. HIGH YIELD 0.6% 2.2 2.2 6.8 -1.3 -9.5 2.1

Non-Rated U.S. HIGH YIELD 0.2% 0.2 0.2 3.7 -1.1 0.1 2.1

0

500

1,000

1,500

2,000

2,500

3,000

Option A

dju

ste

d S

pre

ad (

bps)

BLOOMBERG BARCLAYS HIGH YIELD INDEXES

HY Index Ba B Caa

16


15


REAL ASSETS

Data sources: Wilshire Compass, National Council of Real Estate Investment Fiduciaries


BLOOMBERG BARCLAYS U.S. TIPS -0.8 -0.8 0.9 1.3 0.0 2.9

BLOOMBERG COMMODITY INDEX -0.4 -0.4 3.7 -3.2 -8.3 -7.7

WILSHIRE GLOBAL RESI INDEX -5.2 -5.2 2.1 2.3 5.5 5.1

NCREIF ODCE FUND INDEX 2.2 2.2 8.1 10.0 11.4 5.1

NCREIF TIMBERLAND INDEX 0.9 0.9 3.8 3.4 6.1 4.1

ALERIAN MLP INDEX (OIL & GAS) -11.1 -11.1 -20.1 -11.2 -5.8 5.6

0.00%

2.00%

4.00%

6.00%

8.00%

10.00%

12.00%

0.00%

2.00%

4.00%

6.00%

8.00%

10.00%

12.00%

Curr

ent

Yie

ld

Curr

ent

Cap R

ate

REAL ESTATE VALUATION

NPI Current Value Cap Rate Wilshire RESI Current Yield 10-Year Treasury Yield

-40.0

-30.0

-20.0

-10.0

0.0

10.0

20.0

30.0

Retu

rn (

%)

NCREIF ODCE FUND INDEX RETURN

Appreciation Income Total Return

17

TOTAL FUND TOTAL FUND


ACTUAL ALLOCATION VS POLICY ALLOCATIONKRS Pension Plan Composite

As of March 31, 2018

© 2018 Wilshire Associates Inc.

Total Fund Policy Index

Growth Assets, $8,156,235,921,

66.27%

Fixed Income/Liquidity

Assets, $1,808,171,160,

14.69%

Diversifying Assets, $2,335,303,745,

18.98%

Other Assets, $7,300,000, 0.06%

Growth Assets67.70%

Fixed Income/Liquidity

Assets7.30%

Diversifying Assets25.00%

Asset Class Bucketing

$12,301,010,827

19


ACTUAL ALLOCATION VS POLICY ALLOCATIONKRS Pension Plan Composite

As of March 31, 2018


Asset Class Bucketing

($) (%)

20.2% 17.5% 2.7%

24.7% 17.5% 7.2%

9.9% 10.0% -0.1%

U.S. Equity

Non-U.S. Equity

Private Equity

Credit / High Yield

$2,480,003,011

$3,035,065,839

$1,213,536,884

$1,427,630,187 11.6% 22.7% -11.1%

Growth Assets $8,156,235,921 66.3% 67.7% -1.4%

11.2% 5.1% 6.1%$1,380,924,725

$427,246,435 3.5% 2.2% 1.3%

Core Fixed IncomeCash

Fixed Income/Liquidity Assets $1,808,171,160 14.7% 7.3% 7.4%

4.6% 5.0% -0.4%

8.0% 10.0% -2.0%

$571,495,231

$986,707,056

$777,101,458 6.3% 10.0% -3.7%

Real Estate

Real Return

Absolute Return Diversifying Assets $2,335,303,745 19.0% 25.0% -6.0%

Other Assets $7,300,000 0.1% 0.0% 0.1%

Total Fund $12,307,010,827 100.0% 100.0% 0.0%

Total Pension Allocation Policy

IndexRelative

(+/-)Asset Class / Bucket

20


ACTUAL ALLOCATION VS POLICY ALLOCATIONKERS Pension Plan CompositeAs of March 31, 2018


Short Term104,809,952 5.16%

Intl Equity410,533,524 20.20%

Other Absolute Return142,035,316 6.99%

Other Real Return149,443,999 7.35%

Special Investments240,777,432 11.84%

Other1,879,904 0.09%

Real Estate92,829,215 4.57%

Domestic Equity329,550,672 16.21%

Fixed Income560,895,124 27.59%

Total Fund

Short Term3.00%

Intl Equity17.50%

Other Absolute Return10.00%

Other Real Return10.00%

Special Inv.10.00%

Real Estate5.00%

Domestic Equity17.50%

Fixed Income27.00%

Policy Index

$2,032,755,138

21


ACTUAL ALLOCATION VS POLICY ALLOCATIONKERS (H) Pension Plan CompositeAs of March 31, 2018


Fixed Income142,775,265 22.15%


Intl Equity163,067,372 25.30%

Other1,540,723 0.24%




Real Estate29,593,580 4.59%

Short Term23,175,072 3.60%

Total Fund

Short Term2.00%

Intl Equity17.50%



Special Inv.10.00%

Real Estate5.00%


Fixed Income28.00%

Policy Index

$644,450,570

22


ACTUAL ALLOCATION VS POLICY ALLOCATIONCERS Pension Plan CompositeAs of March 31, 2018


Fixed Income1,530,531,928 21.77%

Domestic Equity1,480,625,927 21.06%

Intl Equity1,805,112,403 25.68%

Other1,682,460 0.02%




Real Estate332,042,450 4.72%

Short Term202,285,269 2.88%

Total Fund

Short Term2.00%

Intl Equity17.50%



Special Inv.10.00%

Real Estate5.00%


Fixed Income28.00%

Policy Index

$7,029,417,664

23


ACTUAL ALLOCATION VS POLICY ALLOCATIONCERS (H) Pension Plan CompositeAs of March 31, 2018


Fixed Income501,094,868 21.39%


Intl Equity598,919,071 25.56%

Other1,831,701 0.08%




Real Estate104,723,325 4.47%

Short Term84,803,398 3.62%

Total Fund

Short Term2.00%

Intl Equity17.50%



Special Inv.10.00%

Real Estate5.00%


Fixed Income28.00%

Policy Index

$2,342,844,181

24


ACTUAL ALLOCATION VS POLICY ALLOCATIONSPRS Pension Plan CompositeAs of March 31, 2018


Short Term12,171,985 4.73%

Intl Equity57,433,469 22.30%

Other365,213 0.14%




Real Estate12,306,662 4.78%


Fixed Income73,257,729 28.44%

Total Fund

Short Term3.00%

Intl Equity17.50%



Special Inv.10.00%

Real Estate5.00%


Fixed Income27.00%

Policy Index

$257,542,513

25


PERFORMANCE COMPARISONKRS Pension Plan CompositePeriods Ended March 31, 2018


-2%

0%

2%

4%

6%

8%

10%

12%

14%

16%

Ω1 2

Ω1

2

Ω

1

2

Ω

1

Ω1

Ω1

Ω 1

Ω 1

Med75th95th

25th

5th

Ω KRS Pension Plan1 KRS Allocation I 2 KRS IPS Benchmar

5th %tile25th %tileMedian75th %tile95th %tileNumber of Funds

1 Quarter 2 Quarters 3 Quarters 1 Year 2 Years 3 Years 5 Years 10 Years

0.60 (15)-0.25 (51)-0.11 (47)

1.630.28

-0.23-0.90-1.42

137

4.15 (29)3.17 (67)2.65 (79)

5.704.283.572.971.18137

8.32 (22)7.09 (50)5.90 (80)

9.898.227.156.373.37135

12.01 (20)10.69 (44)

13.6611.7310.349.195.85135

12.00 (21)11.27 (42)

13.2511.8511.0510.085.69135

7.67 (23)7.03 (44)

8.477.616.915.883.49135

7.93 (60)7.77 (62)

9.878.858.247.224.52133

6.30 (70)6.35 (67)

7.577.106.796.165.55112

*TUCS Total Ret of Master Trusts - Public Universe - Gross of Fees 26


RISK / RETURN ANALYSISKRS Pension PlanFive Years Ending March 31, 2018


Annualiz

ed R

ate

of T

ota

l R

etu

rn

1.0 1.5 2.0 2.5 3.0 3.5 4.0 4.5 5.0 5.5 6.0 6.5 7.0 7.5 8.0 8.53.0

4.0

5.0

6.0

7.0

8.0

9.0

10.0

11.0

12.0

13.0

14.0

Ω 1

Media

n

Ris

k

Median

Return

Historical Standard Deviation of Total Return

Description Legend

Gross Fee Ret

Value Rank

Standard Deviation

Value Rank

KRS Pension Plan

KRS Allocation Index

Median

Ω1

7.93

7.77

8.24

60

62

4.59

5.18

4.74

62

26

*TUCS Total Returns of Master Trusts - Public Universe - Gross of Fees 27


CUMULATIVE SKILL ANALYSISKRS Pension Plan CompositeFive Years Ending March 31, 2018


3/14 3/15 3/16 3/17 3/18-6.00

-5.00

-4.00

-3.00

-2.00

-1.00

0.00

1.00

2.00

3.00

4.00

5.00

6.00

Quarterly NOF Value Added vs. KRS Allocation Index 80% Confidence Band

Excess Return:

Excess Risk:

-0.36

0.90

Information Ratio:

T-Stat:

-0.40

-0.89

28


PERFORMANCE COMPARISONTrailing ReturnsPeriods Ended March 31, 2018


Quarter 2 Quarters 3 Quarters 1 Year 3 Years 5 Years 10 Years Incept Date Incept Ret

KRS Pension Plan

Net of Fee Return


Value Added

KRS IPS Benchmark

KERS Pension Plan

Net of Fee Return

KERS Allocation Index

Value Added

KERS IPS Benchmark

Assumed Rate 5.25%

KERS (H) Pension Plan

Net of Fee Return

KERS (H) Allocation Index

Value Added

KERS (H) IPS Benchmark

Assumed Rate 6.25%

CERS Pension Plan

Net of Fee Return

CERS Allocation Index

Value Added

CERS IPS Benchmark

Assumed Rate 6.25%

0.41

-0.25

0.66

-0.11

0.30

-0.45

0.75

-0.33

1.29

0.39

-0.22

0.61

-0.08

1.53

0.42

-0.20

0.62

-0.07

1.53

3.80

3.17

0.63

2.65

3.22

2.45

0.78

2.37

2.59

3.84

3.32

0.51

2.69

3.08

3.90

3.35

0.55

2.71

3.08

7.72

7.09

0.63

5.90

7.43

6.29

1.14

5.95

3.91

8.38

7.75

0.63

6.35

4.65

8.44

7.78

0.66

6.38

4.65

11.19

10.69

0.50

10.72

9.50

1.22

11.91

11.44

0.47

11.97

11.47

0.49

7.03

7.03

0.00

6.52

6.13

0.39

7.34

7.15

0.19

7.35

7.16

0.19

7.38

7.77

-0.39

7.10

7.16

-0.07

7.56

7.80

-0.24

7.57

7.81

-0.23

5.98

6.35

-0.37

5.84

6.05

-0.21

6.07

6.36

-0.29

6.07

6.36

-0.29

3/31/84

3/31/84

3/31/84

3/31/84

3/31/84

3/31/84

3/31/84

3/31/84

3/31/84

3/31/84

3/31/84

3/31/84

9.19

9.32

-0.13

9.14

9.23

-0.08

9.21

9.32

-0.11

9.21

9.32

-0.11

29





CERS (H) Pension Plan

Net of Fee Return

CERS (H) Allocation Index

Value Added

CERS (H) IPS Benchmark

Assumed Rate 6.25%

SPRS Pension Plan

Net of Fee Return

SPRS Allocation Index

Value Added

SPRS IPS Benchmark

Assumed Rate 5.25%

0.42

-0.19

0.60

-0.05

1.53

0.23

-0.36

0.60

-0.24

1.29

3.89

3.36

0.52

2.73

3.08

3.30

2.78

0.53

2.50

2.59

8.43

7.81

0.62

6.40

4.65

7.42

6.87

0.55

6.06

3.91

11.95

11.50

0.45

10.64

10.31

0.33

7.37

7.17

0.21

6.27

6.66

-0.39

7.58

7.81

-0.23

6.92

7.49

-0.57

6.08

6.37

-0.29

5.75

6.21

-0.46

3/31/84

3/31/84

3/31/84

3/31/84

3/31/84

3/31/84

9.21

9.32

-0.11

9.12

9.27

-0.16

30





US Equity Composite

Net of Fee Return

Russell 3000

Value Added

Non-US Equity Composite

Net of Fee Return

Policy Index

Value Added

Fixed Income Composite

Net of Fee Return

Policy Index

Value Added

Bloomberg Global Aggregate

Real Return Composite

Net of Fee Return

Real Return Index (P)

Value Added

Real Estate Composite

Net of Fee Return

NCREIF ODCE NOF 1 Quarter Lag

Value Added

Absolute Return Composite

Net of Fee Return

HFRI FOF Div (1 Month Lag)

Value Added

-0.69

-0.64

-0.04

0.19

-1.06

1.26

-0.30

-1.13

0.83

1.36

-0.50

-1.84

1.33

2.31

1.85

0.46

1.61

1.43

0.18

5.26

5.65

-0.39

5.73

4.11

1.63

0.14

-0.69

0.84

2.45

0.26

-1.30

1.57

4.67

3.52

1.15

2.94

3.13

-0.19

9.85

10.48

-0.63

12.90

10.72

2.18

1.21

0.79

0.42

4.26

1.77

-0.85

2.63

7.37

5.04

2.32

4.99

4.78

0.21

12.76

13.81

-1.06

19.99

17.42

2.56

2.89

2.65

0.24

6.97

2.42

-0.97

3.38

9.77

6.66

3.11

5.46

5.73

-0.27

9.43

10.22

-0.79

7.94

6.79

1.15

3.88

4.46

-0.58

3.14

3.28

1.25

2.03

9.55

9.42

0.13

2.13

1.84

0.29

12.26

13.03

-0.78

7.34

6.44

0.90

3.62

3.83

-0.21

1.49

1.80

1.62

0.19

8.97

10.52

-1.55

4.14

3.50

0.65

9.33

9.72

-0.38

4.08

3.32

0.76

4.82

4.67

0.15

2.57

7.97

4.07

3.89

3/31/84

3/31/84

3/31/84

6/30/00

6/30/00

6/30/00

3/31/84

3/31/84

3/31/84

6/30/11

6/30/11

6/30/11

6/30/84

3/31/10

3/31/10

3/31/10

11.32

11.35

-0.03

3.58

3.74

-0.17

7.55

7.36

0.18

3.82

2.37

1.45

6.04

4.22

3.09

1.12

31





Private Equity Composite

Net of Fee Return

KRS Short Term PE Index

Value Added

Russell 3000 +3% Qtr Lag

Cash Composite

Net of Fee Return

91-Day Treasury Bill

Value Added

Other Assets

Net of Fee Return

3.40

3.40

-0.00

7.12

0.57

0.35

0.22

0.00

6.66

6.66

-0.00

12.85

1.23

0.63

0.59

0.00

11.70

11.71

-0.00

17.34

1.52

0.90

0.62

0.00

17.93

17.93

-0.00

25.09

1.75

1.10

0.65

0.00

11.60

11.60

-0.00

15.44

1.00

0.53

0.48

0.00

12.99

12.99

-0.00

19.78

0.76

0.34

0.42

0.32

8.32

8.32

-0.00

13.01

0.82

0.34

0.48

0.19

6/30/02

6/30/02

6/30/02

6/30/02

12/31/87

12/31/87

12/31/87

3/31/99

11.18

11.18

-0.00

11.13

3.61

3.30

0.31

3.20

32


CUSTOM BENCHMARK SPECIFICATIONKRS Pension PlanMarch 31, 2018


Quarter Start Quarter End Percent Description


KRS IPS Benchmark

6/84

9/17

12/17

9/17

6/17

9/17

3/18

9/17

100.00

10.00

25.20

25.60

7.00

7.00

8.00

5.00

10.00

2.20

10.00

9.00

9.00

2.20

23.20

5.00

8.00

10.00

23.60

17.50

17.50

22.70

5.10

10.00

5.00

10.00

10.00

2.20


HFRI Diversified Index

MSCI ACWI Ex USA IMI Index ($G)

Russell 3000

Bloomberg Universal

Bloomberg High Yield



KRS Short Term PE Benchmark




Bloomberg Universal


MSCI ACWI Ex USA IMI ($N)




Russell 3000

Russell 3000



Bloomberg Universal






33


CUSTOM BENCHMARK SPECIFICATIONKRS Pension PlanMarch 31, 2018



KRS IPS Benchmark (cont.) 12/17 3/18 2.20

10.00

10.00

5.00

10.00

5.10

22.70

17.50

17.50






Bloomberg Universal



Russell 3000

34


CUSTOM BENCHMARK SPECIFICATIONKERS Pension PlanMarch 31, 2018




KERS IPS Benchmark

6/84

9/17

12/17

9/17

6/17

9/17

3/18

9/17

100.00

10.00

5.00

10.00

3.00

10.00

5.00

5.00

10.00

22.00

20.00

10.00

20.00

10.00

8.00

5.00

18.00

3.00

12.00

14.00

17.50

17.50

17.00

10.00

10.00

5.00

10.00

10.00




KERS Short Term PE Benchmark





Bloomberg Aggregate

Russell 3000



Russell 3000






Bloomberg Universal


Russell 3000



Bloomberg Universal





35


CUSTOM BENCHMARK SPECIFICATIONKERS Pension PlanMarch 31, 2018



KERS IPS Benchmark (cont.)

Assumed Rate 5.25%

12/17

9/17

3/18

3/18

3.00

17.50

17.50

17.00

10.00

10.00

5.00

10.00

10.00

3.00

100.00


Russell 3000



Bloomberg Universal






Assumed Rate 5.25%

36


CUSTOM BENCHMARK SPECIFICATIONKERS (H) Pension PlanMarch 31, 2018




KERS (H) IPS Benchmark

6/84

9/17

12/17

9/17

6/17

9/17

3/18

9/17

100.00

10.00

2.00

10.00

5.00

8.00

6.00

6.00

26.50

26.50

10.00

24.50

10.00

8.00

5.00

24.50

2.00

8.00

8.00

17.50

17.50

24.00

4.00

10.00

5.00

10.00

10.00

2.00




KERS (H) Short Term PE Benchmark




Bloomberg Universal

Russell 3000



Russell 3000






Bloomberg Universal


Russell 3000



Bloomberg Universal






37


CUSTOM BENCHMARK SPECIFICATIONKERS (H) Pension PlanMarch 31, 2018



KERS (H) IPS Benchmark (cont.)

Assumed Rate 6.25%

12/17

9/17

3/18

3/18

17.50

17.50

24.00

4.00

10.00

5.00

10.00

10.00

2.00

100.00

Russell 3000



Bloomberg Universal






Assumed Rate 6.25%

38


CUSTOM BENCHMARK SPECIFICATIONCERS Pension PlanMarch 31, 2018




CERS IPS Benchmark

6/84

9/17

12/17

9/17

6/17

9/17

3/18

9/17

100.00

10.00

2.00

10.00

5.00

8.00

6.00

6.00

26.50

26.50

10.00

24.50

10.00

8.00

5.00

24.50

2.00

8.00

8.00

17.50

17.50

24.00

4.00

10.00

5.00

10.00

10.00

2.00




CERS Short Term PE Benchmark




Bloomberg Universal

Russell 3000



Russell 3000






Bloomberg Universal


Russell 3000



Bloomberg Universal






39


CUSTOM BENCHMARK SPECIFICATIONCERS Pension PlanMarch 31, 2018


Quarter Start

Quarter End

Percent

Description

CERS IPS Benchmark (cont.)

Assumed Rate 6.25%

12/17

9/17

3/18

3/18

17.50

17.50

24.00

4.00

10.00

5.00

10.00

10.00

2.00

100.00

Russell 3000



Bloomberg Universal






Assumed Rate 6.25%

40


CUSTOM BENCHMARK SPECIFICATIONCERS (H) Pension PlanMarch 31, 2018


Quarter Start

Quarter End

Percent

Description


CERS (H) IPS Benchmark

6/84

9/17

12/17

9/17

6/17

9/17

3/18

9/17

100.00

10.00

2.00

10.00

5.00

8.00

6.00

6.00

26.50

26.50

10.00

8.00

8.00

2.00

24.50

5.00

8.00

10.00

24.50

17.50

17.50

24.00

4.00

10.00

5.00

10.00

10.00

2.00




CERS (H) Short Term PE Benchmark




Bloomberg Universal

Russell 3000




Bloomberg Universal






Russell 3000

Russell 3000



Bloomberg Universal






41


CUSTOM BENCHMARK SPECIFICATIONCERS (H) Pension PlanMarch 31, 2018



CERS (H) IPS Benchmark (cont.)

Assumed Rate 6.25%

12/17

9/17

3/18

3/18

2.00

10.00

10.00

5.00

10.00

4.00

24.00

17.50

17.50

100.00






Bloomberg Universal



Russell 3000

Assumed Rate 6.25%

42


CUSTOM BENCHMARK SPECIFICATIONSPRS Pension PlanMarch 31, 2018


Quarter Start

Quarter End

Percent

Description


SPRS IPS Benchmark

6/84

9/17

12/17

9/17

6/17

9/17

3/18

9/17

100.00

10.00

3.00

10.00

5.00

8.00

9.00

9.00

23.00

23.00

10.00

21.00

10.00

8.00

5.00

21.00

3.00

11.00

11.00

17.50

17.50

17.00

10.00

10.00

5.00

10.00

10.00

3.00




SPRS Short Term PE Benchmark




Bloomberg Universal

Russell 3000



Russell 3000






Bloomberg Universal


Russell 3000



Bloomberg Universal






43


CUSTOM BENCHMARK SPECIFICATIONSPRS Pension PlanMarch 31, 2018


Quarter Start

Quarter End

Percent

Description

SPRS IPS Benchmark (cont.)

Assumed Rate 5.25%

12/17

9/17

3/18

3/18

17.50

17.50

17.00

10.00

10.00

5.00

10.00

10.00

3.00

100.00

Russell 3000



Bloomberg Universal






Assumed Rate 5.25%

44

US EQUITY US EQUITY


MANAGER ALLOCATIONUS Equity CompositeAs of March 31, 2018


Internal US Mid Cap$201,965,640 8.14%

NTGI Structured$209,862,549 8.46%

Systematic$291,043,479 11.74%

Transition Account$49,930 0.00%

Invesco$199 0.00%

Scientific Beta$300,380,481 12.11%

S&P 500 Index$1,176,884,084 47.45%

Westfield Capital$145,002,053 5.85%

River Road FAV$127,639,563 5.15%

River Road$27,175,036 1.10%

46


PERFORMANCE COMPARISONUS Equity CompositePeriods Ended March 31, 2018


-4%

-2%

0%

2%

4%

6%

8%

10%

12%

14%

16%

18%

20%

22%

1

1

1

1

1

1

1

1

Med75th

95th

25th

5th

US Equity Composite1 Russell 3000



-0.66 (54)-0.64 (51)

1.870.24

-0.60-0.91-2.96

109

5.30 (65)5.65 (50)

8.126.065.654.970.84108

9.92 (69)10.48 (52)

13.8611.3510.519.724.39105

12.87 (70)13.81 (55)

18.1215.0413.8612.676.06104

15.32 (76)15.92 (50)

21.0316.6615.9315.4110.55

100

9.55 (63)10.22 (30)

11.8110.319.899.033.29

93

12.39 (64)13.03 (38)

14.4313.1712.7811.769.75

78

9.42 (60)9.72 (37)

11.479.899.528.977.13

66

*TUCS Total Ret of US Equity Investment Pools Universe - Gross of Fees 47


CUMULATIVE SKILL ANALYSISUS Equity CompositeFive Years Ending March 31, 2018


3/14 3/15 3/16 3/17 3/18-3.50

-3.00

-2.50

-2.00

-1.50

-1.00

-0.50

0.00

0.50

1.00

1.50

2.00

2.50

3.00

3.50

Quarterly NOF Value Added vs. Russell 3000 80% Confidence Band

Excess Return:

Excess Risk:

-0.69

0.93

Information Ratio:

T-Stat:

-0.74

-1.64

48





S&P 500 Index

Net of Fee Return

Standard & Poor’s 500

Value Added

Scientific Beta

Net of Fee Return

Standard & Poor’s 500

Value Added

River Road

Net of Fee Return

Russell 3000 Value

Value Added

River Road FAV

Net of Fee Return

Russell 3000 Value

Value Added

Westfield Capital

Net of Fee Return

Russell 3000 Growth

Value Added

Systematic

Net of Fee Return

Russell Mid Cap Value

Value Added

-0.71

-0.76

0.04

0.29

-0.76

1.05

-3.32

-2.82

-0.50

0.12

-2.82

2.94

2.83

1.48

1.34

-3.25

-2.50

-0.75

5.91

5.84

0.07

6.43

5.84

0.60

0.65

2.11

-1.46

1.29

2.11

-0.82

8.07

9.20

-1.13

4.61

2.86

1.75

10.65

10.58

0.07

9.67

10.58

-0.91

2.91

5.45

-2.54

4.86

5.45

-0.59

14.12

15.68

-1.56

10.71

5.07

5.64

13.97

13.99

-0.02

13.30

13.99

-0.69

3.13

6.81

-3.68

8.77

6.81

1.97

20.31

21.06

-0.75

10.43

6.50

3.93

10.73

10.78

-0.05

7.07

7.87

-0.80

8.25

12.57

-4.32

7.27

7.23

0.04

13.25

13.31

-0.06

9.61

10.71

-1.10

13.20

15.32

-2.12

9.75

11.10

-1.35

9.79

9.49

0.30

6/30/01

6/30/01

6/30/01

6/30/16

6/30/16

6/30/16

6/30/11

6/30/11

6/30/11

6/30/16

6/30/16

6/30/16

6/30/11

6/30/11

6/30/11

6/30/12

6/30/12

6/30/12

7.22

6.81

0.41

14.10

16.36

-2.27

10.65

11.41

-0.76

17.34

12.32

5.02

12.80

14.30

-1.50

12.51

14.01

-1.51

49





Internal US Mid Cap

Net of Fee Return

S&P 400 Mid Cap

Value Added

NTGI Structured

Net of Fee Return

Russell 2000

Value Added

Transition Account

Net of Fee Return

US Equity Composite

Net of Fee Return

Russell 3000

Value Added

-0.60

-0.77

0.17

-0.04

-0.08

0.05

-0.69

-0.64

-0.04

5.75

5.43

0.32

3.29

3.25

0.04

5.26

5.65

-0.39

9.18

8.83

0.35

9.20

9.11

0.10

9.85

10.48

-0.63

11.32

10.97

0.35

11.93

11.79

0.13

12.76

13.81

-1.06

8.97

8.96

0.01

8.83

8.39

0.44

9.43

10.22

-0.79

12.21

11.47

0.75

12.26

13.03

-0.78

11.06

9.84

1.22

9.33

9.72

-0.38

9/30/14

9/30/14

9/30/14

9/30/99

9/30/99

9/30/99

6/30/11

3/31/84

3/31/84

3/31/84

11.15

11.18

-0.02

10.26

8.57

1.70

11.32

11.35

-0.03

50


INVESTMENT MANAGER ANALYSISS&P 500 IndexMarch 31, 2018


Cumulative Skill Analysis vs Benchmark

3/14 3/15 3/16 3/17 3/18

-0.40

-0.30

-0.20

-0.10

-0.00

0.10

0.20

0.30

0.40

Quarterly NOF Value Added vs. Standard & Poor’s 500 80% Confidence Band

Excess Return:

Excess Risk:

-0.05

0.09

Information Ratio:

T-Stat:

-0.55

-1.24

Value-Added Analysis vs Benchmark

9/13 3/14 9/14 3/15 9/15 3/16 9/16 3/17 9/17 3/18

-0.5%

-0.4%

-0.3%

-0.2%

-0.1%

-0.0%

0.1%

0.2%

0.00

-0.01-0.02-0.04

-0.06

-0.01

0.04

-0.03

0.00

0.05

-0.04

-0.1-0.06

-0.02-0.05

0.10

-0.08

-0.01

0.030.04

Cumulative Value Added

Quarterly NOF Value Added vs. Standard & Poor’s 500

Performance Comparison vs Peer Universe*

-4%

-2%

0%

2%

4%

6%

8%

10%

12%

14%

16%

18%

20%

22%

24%

⊕ 1

⊕ 1

⊕ 1

⊕ 1⊕ 1

⊕ 1

⊕ 1

⊕ 1

Med75th95th

25th 5th

⊕ S&P 500 Index 1 Standard & Poo

MedianNumber of Funds


-0.71 (58)-0.76 (60)

-0.47174

5.91 (54)5.84 (55)

6.25174

10.65 (53)10.58 (53)

10.88174

13.97 (51)13.99 (51)

14.22174

15.54 (45)15.57 (44)

15.35172

10.73 (27)10.78 (25)

9.80170

13.25 (45)13.31 (42)

13.03164

9.79 (46)9.49 (56)

9.69139

*Compass Total Returns of Active Large Core Equity Portfolios Universe - Gross of Fees 51


INVESTMENT MANAGER ANALYSISScientific BetaMarch 31, 2018



9/16 3/17 9/17 3/18

-5.0%

-4.5%

-4.0%

-3.5%

-3.0%

-2.5%

-2.0%

-1.5%

-1.0%

-0.5%

0.0%

0.5%

1.0%

1.5%

-1.34-1.07

-0.53

0.23

-1.44

-0.52

1.05


Quarterly NOF Value Added vs. Standard & Poor’s 500


-4%

-2%

0%

2%

4%

6%

8%

10%

12%

14%

16%

18%

20%

22%

24%

1

1

1

1

Med75th95th

25th 5th

Scientific Bet 1 Standard & Poo



0.29 (27)-0.76 (60)

-0.47174

6.43 (48)5.84 (55)

6.25174

9.67 (63)10.58 (53)

10.88174

13.30 (58)13.99 (51)

14.22174

15.35172

9.80170

13.03164

9.69139

*Compass Total Returns of Active Large Core Equity Portfolios Universe - Gross of Fees 52


INVESTMENT MANAGER ANALYSISRiver RoadMarch 31, 2018



3/14 3/15 3/16 3/17 3/18

-14.00

-12.00

-10.00

-8.00

-6.00

-4.00

-2.00

0.00

2.00

4.00

6.00

8.00

10.00

12.00

14.00

Quarterly NOF Value Added vs. Russell 3000 Value 80% Confidence Band

Excess Return:

Excess Risk:

-1.00

3.92

Information Ratio:

T-Stat:

-0.25

-0.57


9/13 3/14 9/14 3/15 9/15 3/16 9/16 3/17 9/17 3/18

-7.0%

-6.0%

-5.0%

-4.0%

-3.0%

-2.0%

-1.0%

0.0%

1.0%

2.0%

3.0%

4.0%

5.0%

6.0%

7.0%

-0.14

0.03

-1.55-2.35

-0.45

0.52

-0.38

1.31

-2.78

2.48

-0.89

6.15

-3.03

-0.36-0.45

0.13

-1.08-1.02-0.97-0.5


Quarterly NOF Value Added vs. Russell 3000 Value


-8%

-6%

-4%

-2%

0%

2%

4%

6%

8%

10%

12%

14%

16%

18%

20%

22%

1

1

11

1

1

1

Med75th

95th

25th 5th

River Road 1 Russell 3000 V



-3.15 (79)-2.82 (71)

-2.0285

0.99 (81)2.11 (67)

3.3585

3.47 (81)5.45 (70)

7.3285

4.01 (84)6.81 (68)

9.2485

9.92 (82)13.20 (55)

13.9485

7.69 (56)7.87 (53)

7.9583

10.27 (62)10.71 (53)

10.8777

9.3263

*Compass Total Returns of Active Combination Value Equity Portfolios Universe - Gross of Fees 53


INVESTMENT MANAGER ANALYSISRiver Road FAVMarch 31, 2018



9/16 3/17 9/17 3/18

-5.0%

-4.0%

-3.0%

-2.0%

-1.0%

0.0%

1.0%

2.0%

3.0%

4.0%

5.0%

6.0%

7.0%

8.0%

9.0%

10.0%

4.66

1.91

-0.34

2.45

0.26

-3.91

2.94


Quarterly NOF Value Added vs. Russell 3000 Value


-8%

-6%

-4%

-2%

0%

2%

4%

6%

8%

10%

12%

14%

16%

18%

20%

22%

1

1

11

Med75th

95th

25th

5th

River Road FAV 1 Russell 3000 V



0.23 (10)-2.82 (71)

-2.0285

1.15 (78)2.11 (67)

3.3585

4.88 (74)5.45 (70)

7.3285

8.98 (50)6.81 (68)

9.2485

13.9485

7.9583

10.8777

9.3263

*Compass Total Returns of Active Combination Value Equity Portfolios Universe - Gross of Fees 54


INVESTMENT MANAGER ANALYSISWestfield CapitalMarch 31, 2018



3/14 3/15 3/16 3/17 3/18

-12.00

-10.00

-8.00

-6.00

-4.00

-2.00

0.00

2.00

4.00

6.00

8.00

10.00

12.00

14.00

Quarterly NOF Value Added vs. Russell 3000 Growth 80% Confidence Band

Excess Return:

Excess Risk:

-1.84

3.49

Information Ratio:

T-Stat:

-0.53

-1.18


9/13 3/14 9/14 3/15 9/15 3/16 9/16 3/17 9/17 3/18

-11.0%

-10.0%

-9.0%

-8.0%

-7.0%

-6.0%

-5.0%

-4.0%

-3.0%

-2.0%

-1.0%

0.0%

1.0%

2.0%

3.0%

4.0%

-0.83

1.871.38

0.18

-0.26

-1.7

1.78

0.42

-2.16

-3.27

-1.09

-3.53

-2.36

1.63

-1.57

1.73

0.77

-0.33

-2.5

1.34


Quarterly NOF Value Added vs. Russell 3000 Growth


-10%

-5%

0%

5%

10%

15%

20%

25%

30%

35%

40%

∞1

∞1

∞1

∞1∞1

∞1

∞1

Med75th

95th

25th

5th

∞ Westfield Capi 1 Russell 3000 G



2.98 (42)1.48 (67)

2.3264

8.38 (51)9.20 (45)

8.3964

14.60 (48)15.68 (42)

14.4864

20.99 (46)21.06 (46)

20.5464

18.43 (53)18.64 (53)

19.1363

8.84 (63)12.57 (25)

10.2163

13.84 (41)15.32 (24)

13.6962

11.2147

*Compass Total Returns of Active Combination Growth Equity Portfolios Universe - Gross of Fees 55


INVESTMENT MANAGER ANALYSISSystematicMarch 31, 2018



3/14 3/15 3/16 3/17 3/18

-20.00

-15.00

-10.00

-5.00

0.00

5.00

10.00

15.00

20.00

Quarterly NOF Value Added vs. Russell Mid Cap Value 80% Confidence Band

Excess Return:

Excess Risk:

-1.22

5.08

Information Ratio:

T-Stat:

-0.24

-0.54


9/13 3/14 9/14 3/15 9/15 3/16 9/16 3/17 9/17 3/18

-14.0%

-12.0%

-10.0%

-8.0%

-6.0%

-4.0%

-2.0%

0.0%

2.0%

4.0%

6.0%

-1.77

3.84

-0.29

-2.63

-1.06-1.74

-3.35

0.80

-0.08

-3.33

2.63

-3.14-2.78

1.40

4.88

-2.42-1.61

3.682.62

-0.75


Quarterly NOF Value Added vs. Russell Mid Cap Value


-6%

-4%

-2%

0%

2%

4%

6%

8%

10%

12%

14%

16%

18%

20%

22%

⊗ 1

⊗1

⊗

1

⊗

1

⊗1

⊗ 1

⊗ 1

Med75th95th

25th 5th

⊗ Systematic 1 Russell Mid Ca



-3.14 (82)-2.50 (73)

-1.8886

4.82 (31)2.86 (67)

3.6586

11.03 ( 6)5.07 (80)

7.4286

10.87 (20)6.50 (79)

8.7186

15.91 (29)12.96 (67)

14.2086

7.68 (56)7.23 (66)

7.8586

10.18 (77)11.10 (66)

11.7484

10.4875

*Compass Total Returns of Active Midcap Value Equity Portfolios Universe - Gross of Fees 56


INVESTMENT MANAGER ANALYSISInternal US Mid CapMarch 31, 2018



6/15 9/15 12/15 3/16 6/16 9/16 12/16 3/17 6/17 9/17 12/17 3/18

-0.60

-0.50

-0.40

-0.30

-0.20

-0.10

-0.00

0.10

0.20

0.30

0.40

0.50

0.60

Quarterly NOF Value Added vs. S&P 400 Mid Cap 80% Confidence Band

Excess Return:

Excess Risk:

0.01

0.17

Information Ratio:

T-Stat:

0.05

0.08


3/15 9/15 3/16 9/16 3/17 9/17 3/18

-0.6%

-0.5%

-0.4%

-0.3%

-0.2%

-0.1%

-0.0%

0.1%

0.2%

0.3%

-0.05-0.05-0.01

-0.07-0.07-0.05

0.03

-0.13

0.02

-0.02-0.01

0.02

0.140.17


Quarterly NOF Value Added vs. S&P 400 Mid Cap


-5%

0%

5%

10%

15%

20%

25%

1

1

1

1

1

1

Med75th

95th

25th

5th

Internal US Mi 1 S&P 400 Mid Ca



-0.60 (57)-0.77 (57)

-0.3656

5.75 (46)5.43 (48)

5.3356

9.18 (62)8.83 (64)

10.0556

11.32 (60)10.97 (64)

12.1856

15.97 (42)15.84 (44)

15.4056

9.00 (48)8.96 (49)

8.9256

12.2655

11.1945

*Compass Total Returns of Active Midcap Core Equity Portfolios Universe - Gross of Fees 57


INVESTMENT MANAGER ANALYSISNTGI StructuredMarch 31, 2018



3/14 3/15 3/16 3/17 3/18

-4.00

-3.00

-2.00

-1.00

0.00

1.00

2.00

3.00

4.00

5.00

Quarterly NOF Value Added vs. Russell 2000 80% Confidence Band

Excess Return:

Excess Risk:

0.67

1.16

Information Ratio:

T-Stat:

0.58

1.29


9/13 3/14 9/14 3/15 9/15 3/16 9/16 3/17 9/17 3/18

-2.5%

-2.0%

-1.5%

-1.0%

-0.5%

0.0%

0.5%

1.0%

1.5%

2.0%

2.5%

3.0%

3.5%

4.0%

4.5%

5.0%

-0.21

0.460.13

0.500.27

0.600.180.22

0.03

0.77

0.17

1.49

-0.14

-1.81

0.130.220.030.06

-0.01

0.05


Quarterly NOF Value Added vs. Russell 2000


-5%

0%

5%

10%

15%

20%

25%

1

1

1

1

1

1

11

Med75th95th

25th

5th

NTGI Structure 1 Russell 2000



-0.01 (48)-0.08 (48)

-0.17131

3.35 (51)3.25 (51)

3.42131

9.30 (50)9.11 (55)

9.31130

12.07 (45)11.79 (46)

11.62130

18.13 (44)18.79 (33)

17.68129

8.97 (49)8.39 (62)

8.93128

12.34 (57)11.47 (71)

12.72125

11.15 (53)9.84 (79)

11.33101

*Compass Total Returns of Active Small Cap Core Equity Portfolios Universe - Gross of Fees 58


CUSTOM BENCHMARK SPECIFICATIONUS Equity CompositeMarch 31, 2018



Russell 3000 6/84

9/14

6/14

3/18

100.00

100.00

Blended US Equity Index

Russell 3000

59

NON-US EQUITYNON-US EQUITY


MANAGER ALLOCATIONNon-US Equity CompositeAs of March 31, 2018


American Century$381,966,994 12.59%

Boston Company$760,211 0.03%

Lazard Asset Mgmt$524,104,293 17.27%

Pyramis Intl$2,164,780 0.07%

NTGI Int’l Small Cap$159,587,624 5.26%

BlackRock ACWI Ex US$1,213,320,529 39.98%

LSV Asset Mgmt$472,189,185 15.56%

Non-US Equity Transition$2,795,224 0.09%

Franklin Templeton$278,176,997 9.17%

61


PERFORMANCE COMPARISONNon-US Equity CompositePeriods Ended March 31, 2018


-5%

0%

5%

10%

15%

20%

25%

30%

1

1

1

1

1

1 1

1

Med75th95th

25th 5th

Non-US Equity Composite 1 Policy Index



0.27 (29)-1.06 (84)

1.980.31

-0.28-0.62-1.54

64

5.86 (21)4.11 (64)

7.875.774.633.512.05

64

13.11 (17)10.72 (60)

15.9112.8011.249.806.22

63

20.33 (21)17.42 (68)

25.7820.2918.2916.9310.77

63

16.01 (48)15.47 (61)

19.1517.7215.9814.5810.96

61

8.20 (28)6.79 (71)

10.178.307.556.644.82

58

7.59 (32)6.44 (67)

9.827.837.256.314.20

54

4.03 (37)3.32 (63)

8.924.263.663.032.17

39

*TUCS Total Ret of Non-US Equity Investment Pools Universe - Gross of Fees 62


CUMULATIVE SKILL ANALYSISNon-US Equity CompositeFive Years Ending March 31, 2018


3/14 3/15 3/16 3/17 3/18-7.00

-6.00

-5.00

-4.00

-3.00

-2.00

-1.00

0.00

1.00

2.00

3.00

4.00

5.00

6.00

7.00

Quarterly NOF Value Added vs. Policy Index 80% Confidence Band

Excess Return:

Excess Risk:

0.85

1.35

Information Ratio:

T-Stat:

0.63

1.41

63





BlackRock ACWI Ex US

Net of Fee Return

MSCI ACWI X US (N)

Value Added

American Century

Net of Fee Return

Policy Index

Value Added

Franklin Templeton

Net of Fee Return

Policy Index

Value Added

Lazard Asset Mgmt

Net of Fee Return

Policy Index

Value Added

LSV Asset Mgmt

Net of Fee Return

Policy Index

Value Added

NTGI Int’l Small Cap

Net of Fee Return

MSCI ACWI X US Small Cap (N)

Value Added

-1.29

-1.18

-0.11

3.11

-1.06

4.17

2.27

-1.06

3.33

1.62

-1.06

2.68

-1.12

-1.06

-0.05

0.28

-0.35

0.64

3.68

3.76

-0.08

8.60

4.11

4.50

8.26

4.11

4.15

8.34

4.11

4.24

4.28

4.11

0.18

6.65

6.19

0.46

10.11

10.16

-0.05

20.36

10.61

9.75

19.42

10.61

8.80

14.41

10.61

3.80

8.89

10.61

-1.72

14.04

13.51

0.53

16.59

16.53

0.06

30.23

17.24

12.99

26.49

17.24

9.24

22.65

17.24

5.41

14.65

17.24

-2.59

20.83

20.59

0.24

6.44

6.18

0.26

8.20

6.73

1.47

11.63

6.73

4.90

7.68

6.73

0.94

6.51

6.73

-0.23

10.68

10.40

0.28

6.10

5.89

0.21

9.00

8.57

0.43

6/30/09

6/30/09

6/30/09

6/30/14

6/30/14

6/30/14

6/30/14

6/30/14

6/30/14

6/30/14

6/30/14

6/30/14

6/30/14

6/30/14

6/30/14

12/31/08

12/31/08

12/31/08

7.88

7.68

0.20

5.86

3.77

2.09

8.15

3.77

4.39

5.32

3.77

1.56

3.84

3.77

0.08

13.05

13.27

-0.22

64





Non-US Equity Transition

Net of Fee Return

Non-US Equity Composite

Net of Fee Return

Policy Index

Value Added

0.19

-1.06

1.26

5.73

4.11

1.63

12.90

10.72

2.18

19.99

17.42

2.56

7.94

6.79

1.15

7.34

6.44

0.90

4.08

3.32

0.76

6/30/14

6/30/00

6/30/00

6/30/00

3.58

3.74

-0.17

65


INVESTMENT MANAGER ANALYSISBlackRock ACWI Ex USMarch 31, 2018



3/14 3/15 3/16 3/17 3/18

-0.80

-0.60

-0.40

-0.20

-0.00

0.20

0.40

0.60

0.80

Quarterly NOF Value Added vs. MSCI ACWI X US (N) 80% Confidence Band

Excess Return:

Excess Risk:

0.20

0.16

Information Ratio:

T-Stat:

1.23

2.75


9/13 3/14 9/14 3/15 9/15 3/16 9/16 3/17 9/17 3/18

-0.3%

-0.2%

-0.1%

-0.0%

0.1%

0.2%

0.3%

0.4%

0.5%

0.6%

0.7%

0.8%

0.9%

1.0%

1.1%

1.2%

0.18

-0.13

0.15

0.030.02

-0.04

0.010.06

0.110.07

0.010.09

0.16

0.040.02

0.170.10

0.040.03

-0.11


Quarterly NOF Value Added vs. MSCI ACWI X US (N)


-5%

0%

5%

10%

15%

20%

25%

30%

35%

1

1

1

11

1 1

Med75th95th

25th 5th

BlackRock ACWI 1 MSCI ACWI X US MedianNumber of Funds


-1.29 (78)-1.18 (76)

0.052546

3.68 (61)3.76 (60)

4.902480

10.11 (60)10.16 (60)

11.602441

16.59 (62)16.53 (63)

18.722385

15.07 (54)14.82 (56)

15.452197

6.44 (57)6.18 (61)

7.10

1921

6.10 (55)5.89 (60)

6.36

1522

3.17889

Five Year Risk/Return Analysis vs Peer Universe*

4.0 6.0 8.0 10.0 12.0 14.0 16.0 18.0 20.0

-2.0

0.0

2.0

4.0

6.0

8.0

10.0

12.0

14.0

16.0

1

Media

n

Ris

k

Median

Return

Description

Legend

Net Fee Ret

Value Rank

Standard Deviation

Value Rank

BlackRock ACWI Ex US

MSCI ACWI X US (N)

Median

1

6.10

5.89

6.36

55

60

10.59

10.60

11.64

71

71

*Lipper Total Returns of International Equity Mutual Funds Universe - Net of Fees 66


INVESTMENT MANAGER ANALYSISAmerican CenturyMarch 31, 2018



6/15 9/15 12/15 3/16 6/16 9/16 12/16 3/17 6/17 9/17 12/17 3/18

-20.00

-15.00

-10.00

-5.00

0.00

5.00

10.00

15.00

20.00


Excess Return:

Excess Risk:

1.37

5.77

Information Ratio:

T-Stat:

0.24

0.41


9/14 3/15 9/15 3/16 9/16 3/17 9/17 3/18

-5.0%

-4.0%

-3.0%

-2.0%

-1.0%

0.0%

1.0%

2.0%

3.0%

4.0%

5.0%

6.0%

7.0%

8.0%

9.0%

1.96

0.880.45

-1.49

2.23

3.23

-2.67-2.63

0.55

-4.22

-1.34

2.21

4.57

0.11

4.17


Quarterly NOF Value Added vs. Policy Index


-10%

-5%

0%

5%

10%

15%

20%

25%

30%

35%

1

1

1

11

1

Med75th95th

25th 5th

American Centu 1 Policy Index MedianNumber of Funds


3.22 ( 7)-1.06 (61)

-0.521642

8.83 (17)4.11 (56)

4.66

1635

20.74 ( 7)10.61 (52)

10.921621

30.72 ( 7)17.24 (50)

17.351617

17.53 (35)15.46 (51)

15.651587

8.65 (45)6.74 (70)

8.29

1517

8.771355

5.83894

*Compass Total Returns of International Equity Portfolios Universe - Gross of Fees 67


INVESTMENT MANAGER ANALYSISFranklin TempletonMarch 31, 2018



6/15 9/15 12/15 3/16 6/16 9/16 12/16 3/17 6/17 9/17 12/17 3/18

-15.00

-10.00

-5.00

0.00

5.00

10.00

15.00


Excess Return:

Excess Risk:

4.59

4.30

Information Ratio:

T-Stat:

1.07

1.85


9/14 3/15 9/15 3/16 9/16 3/17 9/17 3/18

-6.0%

-4.0%

-2.0%

0.0%

2.0%

4.0%

6.0%

8.0%

10.0%

12.0%

14.0%

16.0%

18.0%

20.0%

-1.69

3.30

0.500.992.04

2.76

0.77

-1.76

0.64

-3.08

3.90

-0.07

4.06

0.63

3.33




-10%

-5%

0%

5%

10%

15%

20%

25%

30%

35%

1

1

1

11

1

Med75th95th

25th 5th

Franklin Templ 1 Policy Index MedianNumber of Funds


2.38 (13)-1.06 (61)

-0.521642

8.48 (20)4.11 (56)

4.66

1635

19.78 (10)10.61 (52)

10.921621

27.31 (12)17.24 (50)

17.351617

19.93 (22)15.46 (51)

15.651587

12.09 (15)6.74 (70)

8.29

1517

8.771355

5.83894



INVESTMENT MANAGER ANALYSISLazard Asset MgmtMarch 31, 2018



6/15 9/15 12/15 3/16 6/16 9/16 12/16 3/17 6/17 9/17 12/17 3/18

-12.00

-10.00

-8.00

-6.00

-4.00

-2.00

0.00

2.00

4.00

6.00

8.00

10.00

12.00


Excess Return:

Excess Risk:

0.88

3.33

Information Ratio:

T-Stat:

0.27

0.46


9/14 3/15 9/15 3/16 9/16 3/17 9/17 3/18

-3.0%

-2.0%

-1.0%

0.0%

1.0%

2.0%

3.0%

4.0%

5.0%

6.0%

7.0%

8.0%

-0.11

2.45

0.56

1.921.33

0.860.29

-0.03

-2.37-2.5

-1.67

1.21

-0.65

1.39

2.68




-10%

-5%

0%

5%

10%

15%

20%

25%

30%

35%

1

1

1

11

1

Med75th95th

25th 5th

Lazard Asset M 1 Policy Index MedianNumber of Funds


1.70 (19)-1.06 (61)

-0.521642

8.49 (20)4.11 (56)

4.66

1635

14.65 (27)10.61 (52)

10.921621

22.98 (25)17.24 (50)

17.351617

14.69 (57)15.46 (51)

15.651587

7.92 (54)6.74 (70)

8.29

1517

8.771355

5.83894



INVESTMENT MANAGER ANALYSISLSV Asset MgmtMarch 31, 2018



6/15 9/15 12/15 3/16 6/16 9/16 12/16 3/17 6/17 9/17 12/17 3/18

-12.00

-10.00

-8.00

-6.00

-4.00

-2.00

0.00

2.00

4.00

6.00

8.00

10.00

12.00

14.00


Excess Return:

Excess Risk:

-0.21

3.48

Information Ratio:

T-Stat:

-0.06

-0.11


9/14 3/15 9/15 3/16 9/16 3/17 9/17 3/18

-3.5%

-3.0%

-2.5%

-2.0%

-1.5%

-1.0%

-0.5%

0.0%

0.5%

1.0%

1.5%

2.0%

2.5%

3.0%

3.5%

-0.87

1.88

-0.08

0.55

1.23

-2.66

-0.3

-2.7

2.05

3.10

0.34

-0.7

-1.83

0.24

-0.05




-10%

-5%

0%

5%

10%

15%

20%

25%

30%

35%

⊕ 1

⊕ 1

⊕ 1

⊕ 1 ⊕ 1

⊕ 1

Med75th95th

25th 5th

⊕ LSV Asset Mgmt 1 Policy Index MedianNumber of Funds


-0.96 (58)-1.06 (61)

-0.521642

4.61 (50)4.11 (56)

4.66

1635

9.41 (62)10.61 (52)

10.921621

15.48 (61)17.24 (50)

17.351617

16.35 (44)15.46 (51)

15.651587

7.12 (65)6.74 (70)

8.29

1517

8.771355

5.83894



INVESTMENT MANAGER ANALYSISNTGI Int’l Small CapMarch 31, 2018



3/14 3/15 3/16 3/17 3/18

-3.50

-3.00

-2.50

-2.00

-1.50

-1.00

-0.50

0.00

0.50

1.00

1.50

2.00

2.50

3.00

3.50

Quarterly NOF Value Added vs. MSCI ACWI X US Small Cap (N) 80% Confidence Band

Excess Return:

Excess Risk:

0.40

0.49

Information Ratio:

T-Stat:

0.81

1.80


9/13 3/14 9/14 3/15 9/15 3/16 9/16 3/17 9/17 3/18

-0.4%

-0.2%

0.0%

0.2%

0.4%

0.6%

0.8%

1.0%

1.2%

1.4%

1.6%

1.8%

2.0%

0.78

-0.02

0.05

-0.1

0.170.04

0.170.080.090.08

0.01

-0.05

0.130.01

0.120.19

-0.28

0.03

-0.22

0.64


Quarterly NOF Value Added vs. MSCI ACWI X US Small Cap (N)


-4%

-2%

0%

2%

4%

6%

8%

10%

12%

14%

16%

18%

20%

22%

24%

26%

⊗ 1

⊗ 1

⊗ 1

⊗ 1

⊗ 1

⊗ 1 ⊗ 1

Med75th95th

25th 5th

⊗ NTGI Int’l Sma 1 MSCI ACWI X US MedianNumber of Funds


0.28 (30)-0.35 (40)

-0.55

80

6.65 (17)6.19 (23)

4.65

78

14.04 (14)13.51 (21)

11.71

77

20.83 (40)20.59 (43)

20.22

77

16.72 (45)16.35 (51)

16.48

68

10.68 (30)10.40 (35)

9.28

61

9.00 (40)8.57 (44)

8.07

52

5.2533

Five Year Risk/Return Analysis vs Peer Universe*

7.0 8.0 9.0 10.0 11.0 12.0 13.0 14.0 15.0 16.0 17.0

3.0

4.0

5.0

6.0

7.0

8.0

9.0

10.0

11.0

12.0

13.0

⊗ 1

Media

n

Ris

k

Median

Return

Description

Legend

Net Fee Ret

Value Rank

Standard Deviation

Value Rank

NTGI Int’l Small Cap

MSCI ACWI X US Small Cap (N)

Median

⊗1

9.00

8.57

8.07

40

44

11.30

11.48

11.66

63

57

*Lipper Total Returns of Intl Equity Small/Mid Core Mutual Funds Universe - Net of Fees 71


CUSTOM BENCHMARK SPECIFICATIONNon-US Equity CompositeMarch 31, 2018


Quarter Start

Quarter End

Percent

Description

Policy Index

9/00

9/17

12/17

6/17

9/17

3/18

100.00

100.00

100.00

Blended Non-US Benchmark



72

FIXED INCOME FIXED INCOME


MANAGER ALLOCATIONFixed Income CompositeAs of March 31, 2018


Manulife Asset Mgmt$408,568,317 14.55%

Cerberus Capital Mgmt$84,287,886 3.00%

Loomis$57,738 0.00%

Marathon Bluegrass$312,557,442 11.13%

BlackRock IG Credit$494,550,597 17.61%

BNY IG Credit$596,009,649 21.22%

NISA$290,364,479 10.34%

White Oak Yield Spectrum$4,393,333 0.16%

PIMCO$223,687 0.01%

Waterfall$164,944,747 5.87%

Shenkman Capital$181,021,241 6.45%

Columbia$248,473,487 8.85%

BSP Private Credit$23,102,310 0.82%

74


PERFORMANCE COMPARISONFixed Income CompositePeriods Ended March 31, 2018


-4%

-3%

-2%

-1%

0%

1%

2%

3%

4%

5%

6%

7%

8%

9%

11

1

1

1

1

1

1

Med

75th

95th

25th

5th

Fixed Income Composite 1 Policy Index



-0.05 (29)-1.13 (69)

2.630.07

-0.62-1.36-3.69

109

0.42 (29)-0.70 (72)

4.840.54

-0.21-0.73-1.09

104

1.61 (29)0.78 (51)

4.801.890.850.32

-0.3495

3.44 (39)2.64 (50)

6.714.282.851.690.85

94

5.91 (10)5.75 (13)

7.964.173.151.670.53

82

4.50 ( 5)4.46 ( 5)

4.503.252.331.730.96

78

4.16 (10)3.83 (13)

4.703.452.542.181.40

69

5.10 (31)4.67 (52)

8.225.304.754.113.01

48

*TUCS Total Ret of Fixed Income Investment Pools Universe - Gross of Fees 75


CUMULATIVE SKILL ANALYSISFixed Income CompositeFive Years Ending March 31, 2018


3/14 3/15 3/16 3/17 3/18-5.00

-4.00

-3.00

-2.00

-1.00

0.00

1.00

2.00

3.00

4.00

5.00


Excess Return:

Excess Risk:

-0.20

1.30

Information Ratio:

T-Stat:

-0.16

-0.35

76





NISA

Net of Fee Return

Bloomberg Aggregate

Value Added

Manulife Asset Mgmt

Net of Fee Return

Policy Index

Value Added

BlackRock IG Credit

Net of Fee Return

Bloomberg Int Credit

Value Added

BNY IG Credit

Net of Fee Return

Bloomberg Int Credit

Value Added

Columbia

Net of Fee Return


Value Added

Marathon Bluegrass

Net of Fee Return


Value Added

-1.43

-1.46

0.03

-0.45

-1.41

0.96

-1.37

-1.36

-0.00

-1.41

-1.36

-0.05

-1.60

-0.86

-0.74

1.34

-0.86

2.20

-0.97

-1.08

0.11

-0.21

-1.00

0.80

-1.26

-1.26

-0.00

-1.40

-0.39

-1.01

2.16

-0.39

2.55

-0.03

-0.24

0.21

0.81

-0.00

0.81

-0.26

-0.28

0.02

0.68

1.57

-0.89

1.29

1.57

-0.29

1.49

1.20

0.29

2.45

1.52

0.93

0.90

1.10

-0.20

3.15

3.78

-0.63

1.77

3.78

-2.02

1.54

1.20

0.34

2.38

1.68

0.71

4.43

5.17

-0.74

2.06

1.82

0.23

2.51

0.67

1.84

4.91

4.99

-0.08

3/31/09

3/31/09

3/31/09

12/31/11

12/31/11

12/31/11

3/31/17

3/31/17

3/31/17

12/31/17

12/31/17

12/31/17

12/31/11

12/31/11

12/31/11

12/31/15

12/31/15

12/31/15

3.87

3.69

0.18

4.15

0.98

3.17

0.90

1.10

-0.20

-1.41

-1.36

-0.05

6.85

6.93

-0.09

8.12

10.36

-2.25

77





Waterfall

Net of Fee Return

Policy Index

Value Added

Cerberus Capital Mgmt

Net of Fee Return

S&P LSTA Leverage Loan

Value Added

Shenkman Capital

Net of Fee Return

S&P LSTA Leverage Loan

Value Added

Fixed Income Composite

Net of Fee Return

Policy Index

Value Added


2.89

-0.24

3.12

2.39

1.45

0.94

1.40

1.45

-0.05

-0.30

-1.13

0.83

1.36

4.66

0.43

4.23

3.48

2.58

0.89

2.12

2.58

-0.46

0.14

-0.69

0.84

2.45

8.72

1.95

6.77

4.77

3.65

1.12

2.57

3.65

-1.07

1.21

0.79

0.42

4.26

12.88

3.61

9.28

7.42

4.44

2.99

3.66

4.44

-0.78

2.89

2.65

0.24

6.97

9.56

4.03

5.53

8.53

4.21

4.32

3.29

4.21

-0.91

3.88

4.46

-0.58

3.14

10.41

3.76

6.65

3.61

4.31

-0.70

3.62

3.83

-0.21

1.49

4.82

4.67

0.15

2.57

3/31/10

3/31/10

3/31/10

9/30/14

9/30/14

9/30/14

9/30/10

9/30/10

9/30/10

3/31/84

3/31/84

3/31/84

11.95

5.08

6.86

8.28

4.07

4.22

4.76

5.77

-1.01

7.55

7.36

0.18

78


INVESTMENT MANAGER ANALYSISNISAMarch 31, 2018



3/14 3/15 3/16 3/17 3/18

-0.60

-0.50

-0.40

-0.30

-0.20

-0.10

-0.00

0.10

0.20

0.30

0.40

0.50

0.60

Quarterly NOF Value Added vs. Bloomberg Aggregate 80% Confidence Band

Excess Return:

Excess Risk:

0.23

0.16

Information Ratio:

T-Stat:

1.45

3.24


9/13 3/14 9/14 3/15 9/15 3/16 9/16 3/17 9/17 3/18

-0.4%

-0.2%

0.0%

0.2%

0.4%

0.6%

0.8%

1.0%

1.2%

1.4%

-0.09-0.06-0.03

0.110.040.070.070.030.02

0.08

0.200.26

0.080.030.06

0.000.080.100.08

0.03


Quarterly NOF Value Added vs. Bloomberg Aggregate


-4%

-3%

-2%

-1%

0%

1%

2%

3%

4%

5%

6%

7%

8%

∞1∞1

∞1

∞1 ∞

1

∞1

∞1

Med75th

95th

25th 5th

∞ NISA 1 Bloomberg Aggr



-1.40 (69)-1.46 (75)

-1.05454

-0.91 (66)-1.08 (84)

-0.76454

0.07 (54)-0.24 (81)

0.12451

1.64 (36)1.20 (57)

1.36448

1.22 (51)0.82 (74)

1.24440

1.72 (34)1.20 (71)

1.47429

2.22 (35)1.82 (56)

1.93415

3.91362

*Compass Total Returns of Active Core Fixed Income Portfolios Universe - Gross of Fees 79


INVESTMENT MANAGER ANALYSISManulife Asset MgmtMarch 31, 2018



3/14 3/15 3/16 3/17 3/18

-10.00

-8.00

-6.00

-4.00

-2.00

0.00

2.00

4.00

6.00

8.00

10.00


Excess Return:

Excess Risk:

1.83

2.63

Information Ratio:

T-Stat:

0.70

1.55


9/13 3/14 9/14 3/15 9/15 3/16 9/16 3/17 9/17 3/18

-3.0%

-2.0%

-1.0%

0.0%

1.0%

2.0%

3.0%

4.0%

5.0%

6.0%

7.0%

8.0%

9.0%

10.0%

0.38

-2.33

1.86

0.16

-0.88

2.351.70

3.63

-0.25-0.54

1.09

-0.4-0.54

0.07

1.35

0.350.100.01

-0.17

0.96




-2%

0%

2%

4%

6%

8%

10%

12%

14%

⊕1

⊕1

⊕1

⊕1

⊕1

⊕1

⊕

1 Med75th95th

25th

5th

⊕ Manulife Asset 1 Policy Index



-0.40 (70)-1.41 (92)

0.24277

-0.10 (83)-1.00 (96)

1.29276

0.99 (87)-0.00 (97)

3.06275

2.77 (84)1.52 (93)

5.28275

3.12 (76)1.72 (93)

5.12268

2.65 (79)1.68 (91)

3.75263

2.81 (59)0.67 (95)

3.18223

4.62126

*Compass Total Returns of Active Global Intl Fixed Portfolios Universe - Gross of Fees 80


INVESTMENT MANAGER ANALYSISBlackRock IG CreditMarch 31, 2018



9/17 3/18

-0.4%

-0.3%

-0.2%

-0.1%

-0.0%

0.1%

-0.22

0.020.00 0.00


Quarterly NOF Value Added vs. Bloomberg Int Credit


-2%

-1%

0%

1%

2%

3%

4%

5%

6%

7%

8%

9%

10%

11%

12%

1 1

1

1

Med75th95th

25th

5th

BlackRock IG C 1 Bloomberg Int



-1.36 (88)-1.36 (88)

-0.88465

-1.23 (92)-1.26 (94)

-0.72465

-0.23 (75)-0.28 (78)

0.26461

0.93 (70)1.10 (62)

1.57460

1.51458

1.77443

2.12419

3.81356

*Compass Total Returns of Active Intermediate Fixed Income Portfolios Universe - Gross of Fees 81


INVESTMENT MANAGER ANALYSISBNY IG CreditMarch 31, 2018



3/18

-0.2%

-0.1%

0.0%

0.1%

-0.05


Quarterly NOF Value Added vs. Bloomberg Int Credit


-2%

-1%

0%

1%

2%

3%

4%

5%

6%

7%

8%

9%

10%

11%

12%

1

Med75th95th

25th

5th

BNY IG Credit 1 Bloomberg Int



-1.41 (89)-1.36 (88)

-0.88465

-0.72465

0.26461

1.57460

1.51458

1.77443

2.12419

3.81356

*Compass Total Returns of Active Intermediate Fixed Income Portfolios Universe - Gross of Fees 82


INVESTMENT MANAGER ANALYSISColumbiaMarch 31, 2018



3/14 3/15 3/16 3/17 3/18

-8.00

-6.00

-4.00

-2.00

0.00

2.00

4.00

6.00

8.00

Quarterly NOF Value Added vs. Bloomberg High Yield 80% Confidence Band

Excess Return:

Excess Risk:

-0.08

2.09

Information Ratio:

T-Stat:

-0.04

-0.09


9/13 3/14 9/14 3/15 9/15 3/16 9/16 3/17 9/17 3/18

-4.0%

-3.0%

-2.0%

-1.0%

0.0%

1.0%

2.0%

3.0%

4.0%

5.0%

6.0%

-0.03-0.17-0.49

0.15

-0.06

0.00

1.77

0.54

-0.14

1.762.07

-0.52

-2.64

-0.86-0.94-0.53

0.280.14

-0.27-0.74


Quarterly NOF Value Added vs. Bloomberg High Yield


-2%

0%

2%

4%

6%

8%

10%

12%

14%

16%

11

1

1

1

1 1

Med75th95th

25th 5th

Columbia 1 Bloomberg High



-1.51 (95)-0.86 (75)

-0.11228

-1.22 (96)-0.39 (82)

0.64228

0.89 (90)1.57 (78)

2.49228

3.52 (79)3.78 (70)

4.31226

7.36 (64)9.90 (28)

8.54222

4.80 (50)5.17 (36)

4.83219

5.31 (27)4.99 (42)

4.78196

7.59129

*Compass Total Returns of Active High Yield Fixed Income Portfolios Universe - Gross of Fees 83


INVESTMENT MANAGER ANALYSISMarathon BluegrassMarch 31, 2018



3/16 9/16 3/17 9/17 3/18

-8.0%

-7.0%

-6.0%

-5.0%

-4.0%

-3.0%

-2.0%

-1.0%

0.0%

1.0%

2.0%

3.0%

4.0%

5.0%

6.0%

-3.35

-1.4

-0.43

4.57

-2.05-1.7

-2.83

0.33

2.20


Quarterly NOF Value Added vs. Bloomberg High Yield


-2%

0%

2%

4%

6%

8%

10%

12%

14%

16%

⊗

1

⊗

1

⊗1

⊗ 1

⊗

1

Med75th95th

25th 5th

⊗ Marathon Blueg 1 Bloomberg High



2.11 ( 4)-0.86 (75)

-0.11228

2.57 (19)-0.39 (82)

0.64228

2.31 (55)1.57 (78)

2.49228

3.05 (87)3.78 (70)

4.31226

12.01 (10)9.90 (28)

8.54222

4.83219

4.78196

7.59129



INVESTMENT MANAGER ANALYSISWaterfallMarch 31, 2018



3/14 3/15 3/16 3/17 3/18

-20.00

-15.00

-10.00

-5.00

0.00

5.00

10.00

15.00

20.00


Excess Return:

Excess Risk:

6.41

3.37

Information Ratio:

T-Stat:

1.90

4.26


9/13 3/14 9/14 3/15 9/15 3/16 9/16 3/17 9/17 3/18

-10.0%

-5.0%

0.0%

5.0%

10.0%

15.0%

20.0%

25.0%

30.0%

35.0%

40.0%

3.661.672.46

1.161.113.83

2.04

-0.13

1.203.94

0.85

-3.14-0.76

0.392.322.232.212.37

1.053.12




-2%

0%

2%

4%

6%

8%

10%

12%

14%

16%

18%

χ

1

χ

1

χ

1

χ

1

χ

1

χ

1

χ

1

Med75th95th

25th 5th

χ Waterfall 1 Policy Index



4.68 ( 1)-0.24 (54)

-0.11228

6.63 ( 1)0.43 (54)

0.64228

10.90 ( 1)1.95 (63)

2.49228

15.29 ( 1)3.61 (77)

4.31226

16.09 ( 2)7.55 (62)

8.54222

10.74 ( 1)4.03 (79)

4.83219

11.80 ( 1)3.76 (84)

4.78196

7.59129



INVESTMENT MANAGER ANALYSISCerberus Capital MgmtMarch 31, 2018



6/15 9/15 12/15 3/16 6/16 9/16 12/16 3/17 6/17 9/17 12/17 3/18

-15.00

-10.00

-5.00

0.00

5.00

10.00

15.00

Quarterly NOF Value Added vs. S&P LSTA Leverage Loan 80% Confidence Band

Excess Return:

Excess Risk:

4.15

3.25

Information Ratio:

T-Stat:

1.28

2.21


3/15 9/15 3/16 9/16 3/17 9/17 3/18

-4.0%

-2.0%

0.0%

2.0%

4.0%

6.0%

8.0%

10.0%

12.0%

14.0%

16.0%

1.68

0.04

2.22

3.553.81

0.84

-0.77-1.52

0.02

1.261.77

0.21

-0.06

0.94


Quarterly NOF Value Added vs. S&P LSTA Leverage Loan

86


INVESTMENT MANAGER ANALYSISShenkman CapitalMarch 31, 2018



3/14 3/15 3/16 3/17 3/18

-2.50

-2.00

-1.50

-1.00

-0.50

0.00

0.50

1.00

1.50

2.00

2.50

Quarterly NOF Value Added vs. S&P LSTA Leverage Loan 80% Confidence Band

Excess Return:

Excess Risk:

-0.67

0.63

Information Ratio:

T-Stat:

-1.07

-2.38


9/13 3/14 9/14 3/15 9/15 3/16 9/16 3/17 9/17 3/18

-4.0%

-3.5%

-3.0%

-2.5%

-2.0%

-1.5%

-1.0%

-0.5%

0.0%

0.5%

1.0%

0.18

-0.31

0.16

-0.23-0.38

-0.14

-0.57

0.55

0.22

-0.22-0.44

-0.27-0.53

0.06

-0.38-0.33

0.29

-0.59-0.41

-0.05


Quarterly NOF Value Added vs. S&P LSTA Leverage Loan

87


CUSTOM BENCHMARK SPECIFICATIONFixed Income CompositeMarch 31, 2018



Policy Index


6/84

9/17

6/84

6/17

3/18

3/18

100.00

50.00

50.00

100.00

Blended Fixed Benchmark

Bloomberg Universal



88

REAL RETURN REAL RETURN


MANAGER ALLOCATIONReal Return CompositeAs of March 31, 2018


Internal TIPS$224,998,646 22.80%

Nuveen Real Asset$212,101,075 21.50%

PIMCO All Asset$357,641,556 36.25%

Tortoise Capital$68,077,994 6.90%

BTG Pactual$17,378,564 1.76%

Magnetar MTP EOF II$20,589,856 2.09%

TPF II$685,836 0.07%

Taurus Mine Finance$15,860,550 1.61%

Amerra AGRI Holdings$44,768,854 4.54%

Amerra AGRI Fund II$24,604,125 2.49%

90





Internal TIPS

Net of Fee Return

Bloomberg 1-10 Yrs TIPS

Value Added

PIMCO All Asset

Net of Fee Return

Bloomberg 1-10 Yrs TIPS

Value Added

Tortoise Capital

Net of Fee Return

Alerian MLP

Value Added

Nuveen Real Asset

Net of Fee Return

Policy Index

Value Added

Amerra AGRI Fund II

Net of Fee Return

Amerra AGRI Holdings

Net of Fee Return

BTG Pactual

Net of Fee Return

-0.36

-0.40

0.03

2.43

-0.40

2.82

-9.78

-11.12

1.34

-2.84

-3.82

0.97

-0.79

-1.15

-4.21

-0.04

0.13

-0.17

3.45

0.13

3.32

-10.38

-11.96

1.59

-1.51

-2.78

1.27

-2.79

-2.37

-1.39

0.68

0.83

-0.15

6.81

0.83

5.97

-12.12

-14.65

2.53

0.97

-0.87

1.84

-2.44

-3.85

-3.85

0.29

0.43

-0.14

8.80

0.43

8.36

-16.97

-20.07

3.10

4.13

2.88

1.24

-1.39

-5.58

0.20

1.54

1.24

0.30

5.71

1.24

4.47

-8.92

-11.24

2.33

4.64

4.30

0.34

4.66

-7.78

0.12

-0.23

0.35

3.58

-0.06

3.63

-0.64

-5.85

5.21

6.06

2.94

2.78

0.16

6/30/02

6/30/02

6/30/02

12/31/11

12/31/11

12/31/11

9/30/09

9/30/09

9/30/09

3/31/15

3/31/15

3/31/15

12/31/12

9/30/15

12/31/14

4.74

4.62

0.12

6.03

0.80

5.23

10.53

6.26

4.27

4.64

4.30

0.34

4.91

-1.14

-10.39

91





Magnetar MTP EOF II

Net of Fee Return

Taurus Mine Finance

Net of Fee Return

TPF II

Net of Fee Return

Real Return Composite

Net of Fee Return


Value Added

3.45

3.99

-0.50

-1.84

1.33

8.65

2.40

0.26

-1.30

1.57

4.34

4.24

1.77

-0.85

2.63

8.29

6.64

2.42

-0.97

3.38

14.28

3.28

1.25

2.03

1.80

1.62

0.19

9/30/15

3/31/15

9/30/08

6/30/11

6/30/11

6/30/11

1.97

14.28

3.82

2.37

1.45

92


INVESTMENT MANAGER ANALYSISInternal TIPSMarch 31, 2018



3/14 3/15 3/16 3/17 3/18

-1.00

-0.80

-0.60

-0.40

-0.20

-0.00

0.20

0.40

0.60

0.80

1.00

Quarterly NOF Value Added vs. Bloomberg 1-10 Yrs TIPS 80% Confidence Band

Excess Return:

Excess Risk:

0.35

0.25

Information Ratio:

T-Stat:

1.40

3.13


9/13 3/14 9/14 3/15 9/15 3/16 9/16 3/17 9/17 3/18

-0.4%

-0.2%

0.0%

0.2%

0.4%

0.6%

0.8%

1.0%

1.2%

1.4%

1.6%

1.8%

2.0%

0.040.17

0.060.01

-0.03

0.230.180.210.180.220.140.09

-0.01

0.37

0.07

-0.03

0.020.01

-0.2

0.03


Quarterly NOF Value Added vs. Bloomberg 1-10 Yrs TIPS


-1.5%

-1.0%

-0.5%

0.0%

0.5%

1.0%

1.5%

2.0%

2.5%

3.0%

3.5%

4.0%

4.5%

1

1

1

1

11

1

1

Med75th95th

25th

5th

Internal TIPS 1 Bloomberg 1-10 MedianNumber of Funds


-0.36 (14)-0.40 (19)

-0.74

41

-0.04 (97)0.13 (85)

0.50

41

0.68 (97)0.83 (92)

1.34

41

0.29 (97)0.43 (92)

0.97

41

1.08 (69)0.94 (92)

1.26

40

1.54 (27)1.24 (84)

1.34

40

0.14 (52)-0.23 (92)

0.14

40

2.96 (58)2.78 (67)

3.02

31

*Compass Total Returns of Active TIPS Portfolios Universe - Gross of Fees 93


INVESTMENT MANAGER ANALYSISPIMCO All AssetMarch 31, 2018



3/14 3/15 3/16 3/17 3/18

-25.00

-20.00

-15.00

-10.00

-5.00

0.00

5.00

10.00

15.00

20.00

25.00

Quarterly NOF Value Added vs. Bloomberg 1-10 Yrs TIPS 80% Confidence Band

Excess Return:

Excess Risk:

3.63

6.23

Information Ratio:

T-Stat:

0.58

1.30


9/13 3/14 9/14 3/15 9/15 3/16 9/16 3/17 9/17 3/18

-15.0%

-10.0%

-5.0%

0.0%

5.0%

10.0%

15.0%

20.0%

25.0%

1.332.020.15

3.85

1.55

-0.89

-4.55

1.77

-0.09

-7.7

-1.22

3.662.743.28

-1.15

6.47

2.262.540.47

2.82


Quarterly NOF Value Added vs. Bloomberg 1-10 Yrs TIPS

94


INVESTMENT MANAGER ANALYSISTortoise CapitalMarch 31, 2018



3/14 3/15 3/16 3/17 3/18

-20.00

-15.00

-10.00

-5.00

0.00

5.00

10.00

15.00

20.00

Quarterly NOF Value Added vs. Alerian MLP 80% Confidence Band

Excess Return:

Excess Risk:

5.53

5.04

Information Ratio:

T-Stat:

1.10

2.45


9/13 3/14 9/14 3/15 9/15 3/16 9/16 3/17 9/17 3/18

-10.0%

-5.0%

0.0%

5.0%

10.0%

15.0%

20.0%

25.0%

30.0%

35.0%

1.841.423.24

6.62

2.21

-2.83

3.893.042.81

-2.42

4.95

-1.66-2.72

1.350.851.130.831.110.291.34


Quarterly NOF Value Added vs. Alerian MLP

95


CUSTOM BENCHMARK SPECIFICATIONReal Return CompositeMarch 31, 2018


Quarter Start

Quarter End

Percent

Description


9/11

3/18

100.00


96

REAL ESTATE REAL ESTATE


MANAGER ALLOCATIONReal Estate CompositeAs of March 31, 2018


Divcowest IV$4,075,053 0.71%

Greenfield Acq VI$7,706,893 1.35%

Lubert Adler VII$34,364,608 6.01%

Mesa West Core Lend$58,548,997 10.24%

Stockbridge Sm/Mkts$84,092,904 14.71%

Walton St RE VI$14,137,114 2.47%

Lubert Adler VII B$8,642,239 1.51%

Mesa West IV$11,240,971 1.97%

Patron Capital$11,831,862 2.07%

Fundamental Partners III$34,340,112 6.01%

Walton St RE VII$23,321,621 4.08%

Rubenstein PF II$16,309,938 2.85%

Prologis Targeted US$71,218,887 12.46%

Harrison Street$79,195,347 13.86%

H/2 Credit Partner$84,573,851 14.80%

Greenfield Acq VII$27,894,833 4.88%

98





Divcowest IV

Net of Fee Return

Greenfield Acq VI

Net of Fee Return

Greenfield Acq VII

Net of Fee Return

H/2 Credit Partner

Net of Fee Return

Harrison Street

Net of Fee Return

Lubert Adler VII

Net of Fee Return

Mesa West Core Lend

Net of Fee Return

Prologis Targeted US

Net of Fee Return

Rubenstein PF II

Net of Fee Return

Stockbridge Sm/Mkts

Net of Fee Return

11.40

-12.45

6.14

0.06

2.37

1.47

1.78

3.81

3.11

1.90

11.62

-11.35

7.00

0.20

5.25

5.84

3.44

10.28

8.72

3.60

10.71

-7.51

15.12

2.81

7.74

7.63

5.17

14.04

11.71

5.79

21.83

-7.56

15.75

4.88

10.39

8.96

7.10

18.63

15.82

7.63

30.58

2.65

15.12

6.12

10.17

4.35

7.63

15.22

6.69

9.93

9.25

5.41

10.04

3/31/14

12/31/12

6/30/14

6/30/11

6/30/12

6/30/14

6/30/13

9/30/14

6/30/13

6/30/14

24.58

8.15

12.42

6.24

9.14

-3.31

6.84

14.96

13.70

9.83

99





Walton St RE VI

Net of Fee Return

Walton St RE VII

Net of Fee Return

Fundamental Partners III

Net of Fee Return

Lubert Adler VII B

Net of Fee Return

Mesa West IV

Net of Fee Return

Patron Capital

Net of Fee Return

Real Estate Composite

Net of Fee Return


Value Added

2.34

2.50

1.56

-0.54

2.22

20.51

2.31

1.85

0.46

4.97

4.67

3.50

-4.63

3.52

19.42

4.67

3.52

1.15

7.07

8.80

3.45

-4.63

5.39

28.97

7.37

5.04

2.32

8.59

11.37

2.70

35.09

9.77

6.66

3.11

4.93

12.49

9.55

9.42

0.13

8.65

8.97

10.52

-1.55

7.97

4.07

3.89

6/30/09

6/30/13

6/30/17

6/30/17

3/31/17

9/30/16

6/30/84

-19.20

13.51

3.45

-4.63

2.70

-1.64

6.04

100


CUSTOM BENCHMARK SPECIFICATIONReal Estate CompositeMarch 31, 2018



NCREIF ODCE NOF 1 Quarter Lag 9/84 3/18 100.00 NCREIF ODCE NOF 1 Quarter Lag

101

ABSOLUTE RETURNABSOLUTE RETURN


MANAGER ALLOCATIONAbsolute Return CompositeAs of March 31, 2018


Anchorage Capital$27,726,404 3.57%

Blackstone Strat Opp$7,876,159 1.01%

Glenview Institution$376,514 0.05%

Gotham Neutral Strategies$13,473,467 1.73%

Knighthead$5,314,562 0.68%

Libremax Capital$199,383 0.03%

Myriad Opportunities$49,202,037 6.33%

PAAMCO$895,734 0.12%

Pine River$935,531 0.12%

Prudential Fund I$16,092,446 2.07%

Senator LP$12,860,090 1.65%

Systematica Blue Matrix$12,322,245 1.59%

Tourbillon Global Equity$14,870,254 1.91%

Karya Fund LLC$0 0.00%

Tricadia Select$4,851,373 0.62%

Tide Point Partners$16,411,805 2.11%

SRS Partners US$7,858,787 1.01%

Scopia$347,842 0.04%

PRISMA Capital$380,942,805 49.02%

Pershing Square$1,492,666 0.19%

Luxor Capital$15,899,259 2.05%

Liquidalts H20 Force$16,580,000 2.13%

HBK II$46,229,706 5.95%

Governors Lane Onshore$21,965,948 2.83%

DSAM Fund LP$598,854 0.08%

Davidson Kempner LP$49,307,817 6.35%

Credit Suisse$30,445,047 3.92%

Coatue Qualified Partners$22,024,722 2.83%

103





Anchorage Capital

Net of Fee Return

Blackstone Strat Opp

Net of Fee Return

Coatue Qualified Partners

Net of Fee Return

Credit Suisse

Net of Fee Return

Davidson Kempner LP

Net of Fee Return

DSAM Fund LP

Net of Fee Return

Glenview Institution

Net of Fee Return

Gotham Neutral Strategies

Net of Fee Return

Governors Lane Onshore

Net of Fee Return

HBK II

Net of Fee Return

0.63

1.27

5.79

1.53

2.05

0.00

2.63

-0.13

0.77

3.80

2.60

6.46

3.09

2.85

0.00

2.53

-1.83

2.87

5.41

13.28

5.12

4.34

0.00

2.04

-0.42

3.33

4.65

21.79

6.44

0.45

-2.10

2.30

4.44 3.20

9/30/16

9/30/17

6/30/15

6/30/17

3/31/16

6/30/16

12/31/15

3/31/17

3/31/17

12/31/13

6.46

2.60

14.99

5.12

7.92

1.51

-2.10

2.30

3.24

104





Knighthead

Net of Fee Return

Libremax Capital

Net of Fee Return

Liquidalts H20 Force

Net of Fee Return

Luxor Capital

Net of Fee Return

Myriad Opportunities

Net of Fee Return

PAAMCO

Net of Fee Return

Pershing Square

Net of Fee Return

Pine River

Net of Fee Return

PRISMA Capital

Net of Fee Return

Prudential Fund I

Net of Fee Return

1.46

3.23

6.84

1.32

-5.47

2.37

0.70

2.54

1.38

12.59

4.89

-4.17

3.60

0.67

3.95

3.75

17.70

10.08

5.39

1.69

4.73

6.87

21.02

15.23

5.59

4.99

1.94

6.15

1.71 3.43

12/31/13

9/30/14

9/30/16

3/31/14

6/30/16

9/30/11

9/30/17

6/30/14

9/30/11

3/31/17

2.35

8.65

1.47

11.26

-4.17

3.97

4.99

105





Scopia

Net of Fee Return

SRS Partners US

Net of Fee Return

Senator LP

Net of Fee Return

Systematica Blue Matrix

Net of Fee Return

Tide Point Partners

Net of Fee Return

Tourbillon Global Equity

Net of Fee Return

Tricadia Select

Net of Fee Return

Absolute Return Composite

Net of Fee Return


Value Added

0.41

-2.40

-1.00

-4.89

-5.67

0.90

1.61

1.43

0.18

3.42

0.16

-0.25

2.40

-14.26

-3.13

2.94

3.13

-0.19

3.84

5.40

4.75

-15.30

4.99

4.78

0.21

7.29

4.23

-3.80

-16.73

5.46

5.73

-0.27

2.13

1.84

0.29

4.14

3.50

0.65

12/31/14

9/30/17

9/30/16

3/31/17

3/31/17

12/31/15

9/30/17

3/31/10

3/31/10

3/31/10

3.42

7.05

4.23

-3.80

-12.29

-3.13

4.22

3.09

1.12

106


CUSTOM BENCHMARK SPECIFICATIONAbsolute Return CompositeMarch 31, 2018



HFRI FOF Div (1 Month Lag) 6/10 3/18 100.00 HFRI FOF Div (1 Month Lag)

107

wilshire associates kuhns reports/2018... · 2019. 8. 8. · ©2017 wilshire associates. 2 u.s....

Documents