HomeMy Public PortalAbout2021-09-30_AndCo_Consulting_Pol Fire Quarterly_Report_Final<CBDoc TenantId="2" EntityTypeId="3100" EntityId="165" DocumentTypeId="1" EffectiveDate="09/30/2021" Interval="3" Description="Quarterly Report" />
Investment Performance Review
Period Ending September 30, 2021
City of Crestview
Police Officers & Firefighters'
Retirement Plan
Finalized Report
3rd Quarter 2021 Market Environment
Page 1
The Market Environment
Executive Summary
As of September 30, 2021
The Economy
Growth in the US likely slowed during the 3rd quarter as the recovery continues to
mature.
Inflation remains well above the Federal Reserve Bank’s (the Fed)average target
of 2.0%.The annual rate of inflation dropped slightly to 5.3%in August,down from
5.4%in July.
The demand for labor in the US remains strong as evidenced by the drop in the
unemployment rate in September to 4.8%,down from 5.2%in August.
Unemployment benefits granted under the March 2020 CARES Act expired in early
September.Wage growth remains strong as employers remain challenged to fill job
openings.
Despite leaving interest rates unchanged at their most recent meeting,the Fed
stated that it would begin tapering its asset purchases and being the process of
evaluating when interest rates would start to rise.
Equity (Domestic and International)
Volatility increased in during the 3rd quarter as US markets climbed to new all-time
highs in early September only to pull back towards the end of the period.A variety
of factors contributed to the increase in volatility including concerns related to the
Delta variant,supply chain shortages,higher US interest rates,rising inflation,and
fiscal policies in Washington.Despite these concerns,growth led value in both
large and mid-cap companies and large companies outperformed relative to smaller
peers.
Developed international equity markets outperformed their domestic counterparts
during the 3rd quarter.Emerging markets dropped sharply on concerns related to
increased regulatory oversight in China and the potential default of Evergrande,the
largest Chinese property developer.
Fixed Income
Despite the continued concerns related to rising inflation and potential changes in
Fed policies,US interest rates were essentially unchanged during the quarter.The
US 10-Year Treasury bond rose only 2 basis points (0.02%)for the quarter to close
at a yield of 1.48%.
Performance across most US bond market sectors was muted during the quarter
and was driven largely by the Fed’s messaging concerning the potential for
beginning the process of raising interest rates in late-2022.
Lower quality corporate bonds outperformed higher quality sectors during the
quarter.The combination of larger relative coupons and shorter maturity profiles
acted as tailwinds for lower quality during the period.
Market Themes
While global central bank monetary policy remains accommodative,both the Fed
and the Bank of England hinted that rate increases would most likely be warranted
in the near future.Historically,rising interest rates have served as a headwind to
equity markets,particularly for expansion-oriented growth companies.
The combination of supply chain disruptions and labor shortages is creating
increased pressure on corporate margins.While earnings were generally better
than expected during the period,the longer these challenges persist,the higher the
likelihood that earnings will be negatively affected moving forward.
Measures of inflation in both the US and Europe remain well above their respective
targets.Persistent increases in food and energy prices have the potential to act as a
headwind to consumers in coming periods as wages have not kept pace with rising
prices.
Page 2
Source: Investment Metrics
The Market Environment
Major Market Index Performance
As of September 30, 2021
US equity markets experienced disparate returns during the 3rd quarter of
2021.The primary factors that drove the market performance during the
period were concerns related to rising inflation and potential changes in the
Fed’s monetary policy.Despite rising US interest rates,growth-oriented
companies maintained their market leadership relative to value.For the
period,large cap companies returned 0.6%,compared to -0.9%for mid-caps
and -4.4%for small company stocks.
Similar to domestic markets,broad international equity markets also posted
disappointing returns for the 3rd quarter.While concerns related to the spread
of COVID began to wane,the key drivers of performance were rising inflation,
rising interest rates,and the potential default of Evergrande in China.During
the period,the MSCI EAFE Index posted a return of -0.4%while the MSCI
Emerging Markets Index returned a weak -8.1%.
For the quarter,bond market returns were muted as interest rates across the
yield curve remained largely unchanged.While the Bloomberg (BB)US
Aggregate Index returned 0.1%,the outlier was US TIPS which returned 1.8%
on concerns about potential rising inflation.
Returns over the trailing 1-year were strong across all broad US equity
markets.The continuation of supportive monetary policy from the Fed and the
reopening of local economies as the pandemic receded were the primary
performance drivers during the period.Domestic small cap stocks posted
highest return for the trailing 1-year period,returning 47.7%.US large cap
performance was also stellar with a return of 30.0%over the trailing 1-year
period.
International markets also performed well but lagged relative to their domestic
counterparts.Over the trailing 1-year period,the MSCI EAFE Index returned
25.7%while the MSCI Emerging Markets Index returned a lower 18.2%.The
combination of rising inflation and developed market interest rates were the
primary headwinds during the period.
Bond market returns over the trailing 1-year period were muted with the
Bloomberg US Aggregate Index returning -0.9%.US TIPS continued to lead
the way as investors remain concerned about the potential for rising inflation.
The TIPS Index returned 5.2%for the period while investment grade
corporate bonds returned 1.7%.
0.0%
0.0%
0.1%
1.8%
0.1%
0.1%
-8.1%
-0.4%
-3.0%
-4.4%
-0.9%
0.2%
-0.1%
0.6%
-10.0%-8.0%-6.0%-4.0%-2.0%0.0%2.0%4.0%
3-Month T-Bill
Bloomberg Corp IG
Bloomberg MBS
Bloomberg US TIPS
Bloomberg US Govt
Bloomberg US Agg
MSCI Emerg Mkts
MSCI EAFE
MSCI ACWxUS
Russell 2000
Russell MidCap
Russell 1000
Russell 3000
S&P 500
Quarter Performance
0.1%
1.7%
-0.4%
5.2%
-3.2%
-0.9%
18.2%
25.7%
23.9%
47.7%
38.1%
31.0%
31.9%
30.0%
-10.0%0.0%10.0%20.0%30.0%40.0%50.0%60.0%
3-Month T-Bill
Bloomberg Corp IG
Bloomberg MBS
Bloomberg US TIPS
Bloomberg US Govt
Bloomberg US Agg
MSCI Emerg Mkts
MSCI EAFE
MSCI ACWxUS
Russell 2000
Russell MidCap
Russell 1000
Russell 3000
S&P 500
1-Year Performance
Page 3
Source: Investment Metrics
The Market Environment
Domestic Equity Style Index Performance
As of September 30, 2021
The market’s upward momentum waned during the quarter as most US equity
benchmarks posted their first losing quarter since the drawdown at the onset of
the pandemic.Large cap stocks continued to lead the equity markets,followed
by mid and small cap issues.The Russell 1000 Index returned 0.2%versus
returns of -0.9%for the Russell Mid Cap Index and -4.4%for the Russell 2000
Index.
Except for small cap benchmarks,Growth continued to outpace value for the
second consecutive quarter.The Russell 1000 Growth Index was the best
performing style index for the quarter,posting a return of 1.2%and Mid cap
growth performance was negative,returning -0.8%.However,in small cap
stocks,value outpaced growth for the second consecutive quarter with the
Russell 2000 Value Index returning -3.0%versus a weaker -5.7%for the
Russell 2000 Growth Index.
Performance across all market capitalizations and styles was very strong over
the trailing 1-year period led by higher beta small cap stocks.
Despite the recent relative outperformance by growth,value stocks
outperformed across all market capitalizations over the trailing 1-year period.
As the strong economic recovery continued,small cap value stocks posted
outsized performance with the Russell 2000 Value Index returning 63.9%.The
dispersion between value and growth was also most pronounced for small cap
benchmarks (30.6%).
-5.7%
-4.4%
-3.0%
-0.8%
-0.9%
-1.0%
1.2%
0.2%
-0.8%
0.7%
-0.1%
-0.9%
-8.0%-6.0%-4.0%-2.0%0.0%2.0%
2000 Growth
2000 Index
2000 Value
MidCap Growth
MidCap Index
MidCap Value
1000 Growth
1000 Index
1000 Value
3000 Growth
3000 Index
3000 Value
Quarter Performance -Russell Style Series
33.3%
47.7%
63.9%
30.5%
38.1%
42.4%
27.3%
31.0%
35.0%
27.6%
31.9%
36.6%
0.0%20.0%40.0%60.0%
2000 Growth
2000 Index
2000 Value
MidCap Growth
MidCap Index
MidCap Value
1000 Growth
1000 Index
1000 Value
3000 Growth
3000 Index
3000 Value
1-Year Performance -Russell Style Series
Page 4
The Market Environment
GICS Sector Performance & (Sector Weight)
As of September 30, 2021
Source: Morningstar Direct
As a result of the GICS classification changes on 9/28/2018 and certain associated reporting limitations, sector performance represents backward looking
performance for the prior year of each sector’s current constituency, post creation of the Communication Services sector.
Sector performance was mixed and muted during the 3rd quarter with only
five of the eleven large cap economic sectors realizing positive returns.Five
sectors outpaced the return of the broad index during the period.
Financials were the best performing sector during the quarter returning
3.0%.Rising interest rates and a steepening yield curve should boost banks’
profits in the coming quarters.Health Care also performed well,led by the
companies developing treatments for COVID-19.The Industrials and
Materials sectors were negative during the period,with both sectors
returning -4.6%.Supply chain disruptions and concerns about shrinking
corporate margins acted as headwinds for performance in these sectors.
and concerns about shrinking corporate margins acted as headwinds.
For the full year,all eleven sectors produced positive returns.Sector
performance for the period was led by Energy which jumped 85.3%as oil
prices recovered from their pandemic lows.Four of the eleven sectors
outperformed the broad large cap benchmark:Energy (85.3%),Financials
(60.3%),Communication Services (37.0%),and Real Estate (32.4%).
Although they still produced double-digit returns,the weakest economic
sectors in the Russell 1000 for the trailing year were Utilities (11.1%)and
Consumer Staples (11.4%).
Small cap sector performance had a more challenging quarter with only two
of the eleven small cap sectors posted positive performance.Energy (1.9%)
and Financials (1.4%)benefited from rising energy prices and higher
interest rates.Six of the Russell 2000 Index sectors managed to outpace
the core benchmark for the quarter.Dispersion between the benchmark’s
sectors was wide during the period with Energy (1.9%)and Communication
Services (-14.1%)defining the broad 16.0%band.
For full 1-year period,seven of the eleven sectors outperformed the broad
benchmark:Energy (154.4%),Communication Services (78.5%),Materials
(65.9%),Financials (63.0%),Consumer Discretionary (57.2%),Industrials
(51.3%),and Info Technology (50.9%).The combination of continued
economic growth,accommodative monetary policies,rising energy prices,
and increased inflationary pressures were the primary catalysts for the
exceptional trailing 1-year performance.
19.2%
44.8%
65.9%
50.9%
51.3%
22.1%
63.0%
154.4%
37.9%
57.2%
78.5%
-3.6%
-0.8%
-5.8%
-1.7%
-1.9%
-10.4%
1.4%
1.9%
-5.2%
-6.7%
-14.1%
-30.0%0.0%30.0%60.0%90.0%120.0%150.0%
Utilities (2.5%)
Real Estate (7.0%)
Materials (3.9%)
Info Technology (13.9%)
Industrials (14.6%)
Health Care (20.7%)
Financials (15.1%)
Energy (4.0%)
Consumer Staples (3.2%)
Consumer Disc (11.7%)
Comm Services (3.5%)
Russell 2000 Quarter 1-Year
11.1%
32.4%
26.1%
29.3%
28.8%
23.0%
60.3%
85.3%
11.4%
24.8%
37.0%
1.3%
0.9%
-4.6%
1.1%
-4.6%
1.5%
3.0%
-1.3%
-0.7%
-0.7%
0.0%
-20.0%0.0%20.0%40.0%60.0%80.0%100.0%
Utilities (2.4%)
Real Estate (3.1%)
Materials (2.4%)
Info Technology (27.9%)
Industrials (8.9%)
Health Care (13.2%)
Financials (11.3%)
Energy (2.5%)
Consumer Staples (5.5%)
Consumer Disc (12.1%)
Comm Services (10.7%)
Russell 1000 Quarter 1-Year
Page 5
The Market Environment
Top 10 Index Weights & Quarterly Performance for the Russell 1000 & 2000
As of September 30, 2021
Source: Morningstar Direct
Top 10 Weighted Stocks Top 10 Weighted Stocks
Russell 1000 Weight 1-Qtr
Return
1-Year
Return Sector Russell 2000 Weight 1-Qtr
Return
1-Year
Return Sector
Apple Inc 5.40%3.5%23.0%Information Technology AMC Entmt Holdings Inc Class A 0.67%-32.9%708.1%Communication Services
Microsoft Corp 5.17%4.3%35.3%Information Technology Intellia Therapeutics Inc 0.32%-17.1%574.8%Health Care
Amazon.com Inc 3.47%-4.5%4.3%Consumer Discretionary Crocs Inc 0.30%23.1%235.8%Consumer Discretionary
Facebook Inc Class A 1.98%-2.4%29.6%Communication Services Lattice Semiconductor Corp 0.30%15.1%123.2%Information Technology
Alphabet Inc Class A 1.96%9.5%82.4%Communication Services Ovintiv Inc 0.29%4.6%310.2%Energy
Alphabet Inc Class C 1.82%6.3%81.4%Communication Services Tetra Tech Inc 0.27%22.6%57.3%Industrials
Tesla Inc 1.50%14.1%80.8%Consumer Discretionary Scientific Games Corp Ordinary Shares 0.27%7.3%138.0%Consumer Discretionary
Berkshire Hathaway Inc Class B 1.23%-1.8%28.2%Financials Rexnord Corp 0.27%28.7%117.1%Industrials
NVIDIA Corp 1.21%3.6%53.3%Information Technology Biohaven Pharm. Holding Co Ltd 0.26%43.1%113.7%Health Care
JPMorgan Chase & Co 1.18%5.8%74.8%Financials Asana Inc Ordinary Shares -Class A 0.26%67.4%260.6%Information Technology
Top 10 Performing Stocks (by Quarter)Top 10 Performing Stocks (by Quarter)
Russell 1000 Weight 1-Qtr
Return
1-Year
Return Sector Russell 2000 Weight 1-Qtr
Return
1-Year
Return Sector
Upstart Holdings Inc Ordinary Shares 0.03%153.4%N/A Financials State Auto Financial Corp 0.03%198.2%276.9%Financials
Moderna Inc 0.32%63.8%444.0%Health Care Fulcrum Therapeutics Inc 0.03%169.2%255.7%Health Care
Albertsons Companies Inc Class A 0.01%59.1%129.8%Consumer Staples IVERIC bio Inc 0.06%157.4%187.9%Health Care
Atlassian Corporation PLC A 0.13%52.4%115.3%Information Technology Kadmon Holdings Inc 0.05%125.1%122.2%Health Care
Paylocity Holding Corp 0.03%47.0%73.7%Information Technology GreenSky Inc Class A 0.03%101.4%151.8%Information Technology
Bill.com Holdings Inc Ordinary Shares 0.05%45.7%166.1%Information Technology Dynavax Technologies Corp 0.07%95.0%344.7%Health Care
Repligen Corp 0.04%44.8%95.9%Health Care Grid Dynamics Hldgs Inc Ord Shrs A 0.04%94.4%278.0%Information Technology
Acceleron Pharma Inc 0.02%37.1%52.9%Health Care Peabody Energy Corp 0.04%86.5%543.0%Energy
Paycom Software Inc 0.06%36.4%59.3%Information Technology Trillium Therapeutics Inc 0.06%81.2%24.2%Health Care
Datadog Inc Class A 0.08%35.8%38.4%Information Technology Cytokinetics Inc 0.10%80.6%65.1%Health Care
Bottom 10 Performing Stocks (by Quarter)Bottom 10 Performing Stocks (by Quarter)
Russell 1000 Weight 1-Qtr
Return
1-Year
Return Sector Russell 2000 Weight 1-Qtr
Return
1-Year
Return Sector
GoHealth Inc Ordinary Shares -Class A 0.00%-55.1%-61.4%Financials GT Biopharma Inc 0.00%-100.0%N/A Health Care
Skillz Inc Ordinary Shares -Class A 0.01%-54.8%N/A Communication Services Forte Biosciences Inc Ordinary Shares 0.00%-91.2%-93.9%Health Care
Boston Beer Co Inc Class A 0.01%-50.1%-42.3%Consumer Staples Eargo Inc Ordinary Shares 0.00%-83.1%N/A Health Care
StoneCo Ltd Class A 0.02%-48.2%-34.4%Information Technology Sesen Bio Inc 0.01%-82.8%-43.3%Health Care
TuSimple Hldgs Inc Ord Shrs -Class A 0.00%-47.9%N/A Industrials Ardelyx Inc 0.00%-82.6%-74.9%Health Care
NovoCure Ltd 0.03%-47.6%4.4%Health Care MedAvail Holdings Inc Ordinary Shares 0.00%-76.2%N/A Consumer Staples
Vroom Inc Ordinary Shares 0.01%-47.3%-57.4%Consumer Discretionary Seres Therapeutics Inc 0.02%-70.8%-75.4%Health Care
Virgin Galactic Holdings Inc Shs A 0.01%-45.0%31.6%Industrials Ontrak Inc 0.00%-69.1%-83.3%Health Care
ChargePoint Hldgs Inc Ord Shrs -A 0.01%-42.5%N/A Industrials InnovAge Holding Corp 0.00%-69.0%N/A Health Care
Signify Health Inc Ord Shrs -Class A 0.00%-41.3%N/A Health Care Ashford Hospitality Trust Inc 0.01%-67.7%-10.8%Real Estate
Page 6
Source: MSCI Global Index Monitor (Returns are Net)
The Market Environment
International and Regional Market Index Performance (Country Count)
As of September 30, 2021
Although some regional benchmarks posted positive performance for the
quarter,the US dollar (USD)performance for the broad international equity
benchmarks were negative.For the period,developed markets outperformed
emerging markets in both USD and local currency.The MSCI EAFE Index
returned -0.4%in USD and 1.3%in local currency terms for the period while
the MSCI Emerging Markets Index posted a weak -8.1%return in USD and -
6.7%in local currency terms.
The trailing 1-year results for international developed and emerging markets
were positive across all regions and currencies.The MSCI EAFE Index
returned 25.7%in USD and 27.2%in local currency terms,while the MSCI
Emerging Markets Index returned 18.2%in USD and 16.9%in local currency
terms.Performance within the emerging markets regions was led by the
EMEA region which returned 40.6%in USD and 34.4%in local terms.
-7.3%
-8.7%
5.9%
-6.7%
2.8%
0.6%
1.3%
1.2%
-1.3%
-13.3%
-9.6%
4.2%
-8.1%
1.6%
-1.5%
-0.4%
-0.7%
-3.0%
-15.0%-10.0%-5.0%0.0%5.0%10.0%
EM Latin Amer (6)
EM Asia (9)
EM EMEA (11)
Emerging Mkt (26)
Pacific (5)
Europe & ME (16)
EAFE (21)
WORLD x US (22)
AC World x US (48)
Quarter Performance USD Local Currency
22.5%
13.6%
34.4%
16.9%
27.8%
26.9%
27.2%
27.2%
23.9%
27.3%
13.9%
40.6%
18.2%
23.1%
27.3%
25.7%
26.5%
23.9%
0.0%10.0%20.0%30.0%40.0%
EM Latin Amer (6)
EM Asia (9)
EM EMEA (11)
Emerging Mkt (26)
Pacific (5)
Europe & ME (16)
EAFE (21)
WORLD x US (22)
AC World x US (48)
1-Year Performance USD Local Currency
Page 7
The Market Environment
US Dollar International Index Attribution & Country Detail
As of September 30, 2021
Source: Morningstar Direct, MSCI Global Index Monitor (Returns are Net in USD)
As a result of the GICS classification changes on 9/28/2018 and certain associated reporting limitations, sector performance represents
backward looking performance for the prior year of each sector’s current constituency, post creation of the Communication Services sector.
MSCI -EAFE Sector Weight Quarter Return 1-Year Return
Communication Services 4.8%-4.1%16.2%
Consumer Discretionary 12.7%-3.6%31.7%
Consumer Staples 10.2%-3.4%9.0%
Energy 3.5%8.7%62.1%
Financials 17.2%1.8%44.5%
Health Care 12.7%0.5%9.7%
Industrials 15.8%1.3%28.1%
Information Technology 9.6%5.0%36.2%
Materials 7.3%-5.7%25.2%
Real Estate 2.9%-3.1%20.2%
Utilities 3.3%-4.6%4.4%
Total 100.0%-0.4%25.7%
MSCI –ACWIxUS Sector Weight Quarter Return 1-Year Return
Communication Services 6.3%-9.9%9.0%
Consumer Discretionary 12.7%-11.5%9.9%
Consumer Staples 8.5%-3.4%10.0%
Energy 4.9%6.7%55.0%
Financials 19.3%1.1%42.5%
Health Care 9.5%-1.9%10.1%
Industrials 12.2%0.2%27.9%
Information Technology 13.2%-1.0%36.7%
Materials 8.0%-5.5%27.1%
Real Estate 2.5%-5.7%12.7%
Utilities 3.0%-1.9%10.5%
Total 100.0%-3.0%23.9%
MSCI -Emerging Mkt Sector Weight Quarter Return 1-Year Return
Communication Services 10.3%-15.1%1.9%
Consumer Discretionary 14.7%-22.9%-16.9%
Consumer Staples 5.9%-4.4%13.4%
Energy 5.9%9.1%44.5%
Financials 19.5%1.0%35.0%
Health Care 5.0%-13.0%12.9%
Industrials 4.9%-6.5%31.9%
Information Technology 20.9%-5.9%37.3%
Materials 8.7%-4.8%46.1%
Real Estate 2.1%-14.2%-9.4%
Utilities 2.3%7.4%35.2%
Total 100.0%-8.1%18.2%
MSCI-EAFE MSCI-ACWIxUS Quarter 1-Year
Country Weight Weight Return Return
Japan 24.2%15.3%4.6%22.1%
United Kingdom 14.4%9.1%-0.3%31.2%
France 11.2%7.1%-2.0%34.3%
Switzerland 9.5%6.0%-3.3%14.5%
Germany 9.1%5.8%-4.3%16.5%
Australia 6.9%4.4%-3.0%31.7%
Netherlands 4.8%3.1%3.4%46.0%
Sweden 3.7%2.3%-2.2%31.4%
Hong Kong 3.0%1.9%-9.4%15.0%
Denmark 2.6%1.7%2.6%28.3%
Italy 2.5%1.6%-1.1%33.4%
Spain 2.4%1.5%-3.3%31.4%
Singapore 1.2%0.7%0.0%30.0%
Finland 1.0%0.7%-3.1%16.6%
Belgium 0.9%0.6%-5.6%18.8%
Ireland 0.7%0.5%0.0%21.8%
Norway 0.7%0.4%5.2%45.4%
Israel 0.6%0.4%2.8%28.4%
New Zealand 0.2%0.2%1.8%-2.3%
Austria 0.2%0.1%10.4%98.2%
Portugal 0.2%0.1%3.6%19.5%
Total EAFE Countries 100.0%63.3%-0.4%25.7%
Canada 7.1%-2.5%33.9%
Total Developed Countries 70.4%-0.7%26.5%
China 10.1%-18.2%-7.3%
Taiwan 4.4%-2.1%43.3%
Korea 3.7%-13.2%27.8%
India 3.6%12.6%53.1%
Brazil 1.3%-20.2%21.0%
Russia 1.2%9.5%59.4%
Saudi Arabia 1.0%8.2%47.7%
South Africa 0.9%-5.8%27.2%
Mexico 0.6%1.4%51.1%
Thailand 0.5%-3.6%20.1%
Indonesia 0.4%9.4%26.4%
Malaysia 0.4%0.2%1.4%
United Arab Emirates 0.2%6.4%50.6%
Poland 0.2%1.2%29.5%
Qatar 0.2%7.3%15.0%
Philippines 0.2%-3.6%13.3%
Kuwait 0.2%9.0%27.8%
Chile 0.1%-7.8%18.7%
Hungary 0.1%7.7%72.8%
Turkey 0.1%1.9%5.2%
Argentina 0.1%22.1%47.2%
Colombia 0.1%10.2%31.7%
Peru 0.1%-11.0%-5.8%
Greece 0.1%2.0%30.4%
Czech Republic 0.0%14.2%85.2%
Egypt 0.0%4.3%-13.7%
Total Emerging Countries 29.5%-8.1%18.2%
Total ACWIxUS Countries 100.0%-3.0%23.9%
Page 8
Source: Bloomberg
The Market Environment
Domestic Bond Sector & Broad/Global Bond Market Performance (Duration)
As of September 30, 2021
Fixed income market yields were broadly unchanged during the 3rd quarter.
The Bloomberg US Aggregate Bond Index returned a muted 0.1%for the
period.
Digging deeper into bond market sectors,while the US Corporate
Investment Grade Index return was largely unchanged (0.0%),lower quality
High Yield benchmark delivered positive a positive return of 0.9%.High yield
issues benefited from the asset category’s overall shorter maturity profile
and higher coupon rate.
The outlier during the quarter was US TIPS issues,which returned 1.8%.
Expectations for inflation to persist above the Fed’s stated average target of
2.0%was the catalyst for the solid performance.
Outside of domestic markets,the Bloomberg Global Aggregate ex US Index
posted a -1.6%return for the quarter.A significant contributor to the global
bond’s index performance was UK issues.Interest rates in the UK moved
higher during the period as the Bank of England began to message the
potential for rate increases in the near future.
Over the trailing 1-year period,returns of higher quality government and
mortgage-backed bonds were disappointing.US Treasury bonds declined by
-3.3%and the mortgage-backed benchmark returned a less negative -0.4%.
In contrast,corporate bonds delivered solid performance,led by lower
quality high yield bonds.The Bloomberg US Corporate IG Index returned
1.7%while the Blomberg US High Yield Bond Index returned a strong
11.3%.
US TIPS continued to perform well for the trailing 1-year period with the
index returning 5.2%.Persistent concerns about rising inflation acted as a
tailwind for TIPS issues.
-0.9%
-1.6%
0.0%
0.1%
0.0%
-0.1%
0.0%
0.1%
1.8%
0.9%
0.0%
0.1%
0.1%
-2.0%-1.0%0.0%1.0%2.0%
Multiverse (7.4)
Global Agg x US (8.2)
Intermediate Agg (4.3)
Aggregate (6.7)
Baa (8.7)
A (8.4)
AA (8.5)
AAA (6.0)
U.S. TIPS (5.5)
U.S. High Yield (4.0)
U.S. Corporate IG (8.7)
U.S. Mortgage (4.6)
U.S. Treasury (7.1)
Quarter Performance
-0.4%
-1.2%
-0.4%
-0.9%
3.3%
0.2%
-0.1%
-2.0%
5.2%
11.3%
1.7%
-0.4%
-3.3%
-5.0%0.0%5.0%10.0%15.0%
Multiverse (7.4)
Global Agg x US (8.2)
Intermediate Agg (4.3)
Aggregate (6.7)
Baa (8.7)
A (8.4)
AA (8.5)
AAA (6.0)
U.S. TIPS (5.5)
U.S. High Yield (4.0)
U.S. Corporate IG (8.7)
U.S. Mortgage (4.6)
U.S. Treasury (7.1)
1-Year Performance
Page 9
Source: US Department of Treasury, FRED (Federal Reserve of St. Louis)
The Market Environment
Market Rate & Yield Curve Comparison
As of September 30, 2021
The gray band across the graph represents the range of the Fed Funds
Rate.Over the past year,the Fed’s target rate range has remained
unchanged at 0.00%to 0.25%.During its September meeting,the Federal
Open Market Committee (FOMC)reiterated its commitment to keeping
interest rates near zero while signaling that it would begin tapering its asset
purchase program.Importantly,the Fed also indicated it would begin
considering raising US interest rates in the near future.
The yield on the US 10-year Treasury (green line)continued to rise during
the year as the economy recovered.After reaching a high of 1.74%during
the 1st quarter of 2021,interest rates have largely moved in a range-bound,
sideways pattern.
The blue line illustrates changes in the BAA OAS (Option Adjusted Spread).
This measure quantifies the additional yield premium investors require to
purchase and hold non-Treasury investment grade issues.As the pace of
the economic recovery quickened,spreads narrowed,indicating that
investors remain comfortable owning credit as the probability of corporate
defaults remains low.While nearly triple the BAA OAS,the High Yield OAS
shows a similar willingness by investors to hold non-Treasury debt.
The lower graph provides a snapshot of the US Treasury yield curve at the
end of each of the last four quarters.Beginning in the 4th quarter of 2020,
longer-term interest rates began to move higher as investors anticipated
improving economic conditions.Interest rates peaked in the 1st quarter as
economic growth surprised to the upside.Since then,longer-term US
interest rates have remained relatively steady.
0.00
0.50
1.00
1.50
2.00
2.50
1 mo 3 mo 6 mo 1 yr 2 yr 3 yr 5 yr 7 yr 10 yr 20 yr 30 yr
Treasury Yield Curve
12/31/2020 3/31/2021
6/30/2021 9/30/2021
0.00
1.00
2.00
3.00
4.00
5.00
6.00
Sep-20 Oct-20 Nov-20 Dec-20 Jan-21 Feb-21 Mar-21 Apr-21 May-21 Jun-21 Jul-21 Aug-21 Sep-21
1-Year Trailing Market Rates
Fed Funds Rate BAA OAS
10yr Treasury High Yield OAS
Page 10
Page Intentionally Left Blank
Page 11
June 30, 2021 : $26,608,896
Domestic Equity
R&D
Real Estate
Infrastructure
Non-Core FI
Domestic Fixed
International Equity
September 30, 2021 : $26,620,496
Domestic Equity
R&D
Real Estate
Infrastructure
Non-Core FI
Domestic Fixed
International Equity
Allocation
Market Value Allocation
Domestic Equity 11,821,675 44.4¢£
International Equity 3,894,939 14.6¢£
Domestic Fixed 6,539,198 24.6¢£
Non-Core Fixed income 1,321,178 5.0¢£
Infrastructure 1,000,000 3.8¢£
Real Estate 2,075,642 7.8¢£
Cash Equivalent -43,736 -0.2¢£
Allocation
Market Value Allocation
Domestic Equity 11,013,895 41.4¢£
International Equity 3,806,521 14.3¢£
Domestic Fixed 7,057,057 26.5¢£
Non-Core Fixed income 1,326,810 5.0¢£
Infrastructure 1,016,532 3.8¢£
Real Estate 2,176,888 8.2¢£
Cash Equivalent 222,792 0.8¢£
Crestview Police Officers' and Firefighters' Retirement Plan
Asset Allocation by Asset Class
As of September 30, 2021
Page 12
June 30, 2021 : $26,608,896
Dana LCC
Vanguard MC (VIMAX)
Vanguard TS (VTSAX)
Intercontinental
Brookfield
Pacific Funds (PLFRX)
PIMCO (PDIIX)
Templeton (FTTRX)
Agincourt Fixed Income
Transamerica (TSWIX)
Europacific (RERGX)
September 30, 2021 : $26,620,496
Dana LCC
Vanguard MC (VIMAX)
Vanguard TS (VTSAX)
Europacific (RERGX)
Intercontinental
Brookfield
Pacific Funds (PLFRX)
PIMCO (PDIIX)
Templeton (FTTRX)
Agincourt Fixed Income
Transamerica (TSWIX)
Allocation
Market Value Allocation
Dana Large Cap Core Equity 3,527,750 13.3¢£
Vanguard Mid Cap Index (VIMAX)2,754,496 10.4¢£
Vanguard Total Stock Index (VTSAX)5,539,430 20.8¢£
Europacific Growth (RERGX)1,968,632 7.4¢£
Transamerica Intl (TSWIX)1,926,307 7.2¢£
Agincourt Fixed Income 6,539,198 24.6¢£
PIMCO Diversified Income (PDIIX)660,000 2.5¢£
Pacific Funds Floating Rate Income (PLFRX)661,178 2.5¢£
Brookfield BSIP Access Fund 1,000,000 3.8¢£
Intercontinental Real Estate 2,075,642 7.8¢£
R&D -43,736 -0.2¢£
Allocation
Market Value Allocation
Dana Large Cap Core Equity 2,723,496 10.2¢£
Vanguard Mid Cap Index (VIMAX)2,754,626 10.3¢£
Vanguard Total Stock Index (VTSAX)5,535,774 20.8¢£
Europacific Growth (RERGX)1,922,442 7.2¢£
Transamerica Intl (TSWIX)1,884,079 7.1¢£
Agincourt Fixed Income 7,057,057 26.5¢£
PIMCO Diversified Income (PDIIX)659,954 2.5¢£
Pacific Funds Floating Rate Income (PLFRX)666,857 2.5¢£
Brookfield BSIP Access Fund 1,016,532 3.8¢£
Intercontinental Real Estate 2,176,888 8.2¢£
R&D 222,792 0.8¢£
Crestview Police Officers' and Firefighters' Retirement Plan
Asset Allocation by Manager
As of September 30, 2021
Page 13
Executive Summary
Policy Target In Policy Outside Policy
0.0%8.0%16.0%24.0%32.0%40.0%48.0%56.0%64.0%
Real Estate (Composite) (8.2%)
Infrastructure (3.8%)
Non-Core Fixed income (5.0%)
Domestic Fixed (26.5%)
International Equity (14.3%)
Domestic Equity (41.4%)
Recomm
end
ation
Asset Allocation Compliance
Minimum
Allocation (%)
Maximum
Allocation (%)
Current
Allocation (%)
Target
Allocation (%)
Non-Core Fixed income 0.0 10.0 5.0 5.0
Infrastructure 0.0 10.0 3.8 5.0
Real Estate (Composite)5.0 15.0 8.2 10.0
International Equity 10.0 20.0 14.3 15.0
Domestic Fixed 17.5 27.5 26.5 22.5
Domestic Equity 37.5 47.5 41.4 42.5
Total Fund Portfolio N/A N/A 100.0 100.0
Crestview Police Officers' and Firefighters' Retirement Plan
Asset Allocation Compliance
As of September 30, 2021
Page 14
Plan Sponsor TF Asset Allocation vs. All Public Plans-Total Fund
-12.0
-4.0
4.0
12.0
20.0
28.0
36.0
44.0
52.0
60.0
68.0
76.0
Allo
cat
io
n
(%)
US Equity Global ex-US Equity Global Fixed Income US Fixed Alternatives Total Real Estate Cash & Equivalents
Crestview Police & Fire 41.37 (53)14.30 (56)2.48 (80)29.01 (36)3.82 (82)8.18 (46)0.84 (62)
5th Percentile 60.71 24.48 9.89 52.43 43.15 13.65 5.74
1st Quartile 50.81 17.63 4.78 32.76 18.65 9.57 2.28
Median 42.85 14.67 3.94 24.97 9.54 7.91 1.13
3rd Quartile 32.75 11.44 2.73 19.36 4.37 5.57 0.61
95th Percentile 15.02 5.90 1.86 12.31 1.02 2.53 0.08
Population 698 632 150 668 248 463 517
Crestview Police Officers' and Firefighters' Retirement Plan
Asset Allocation vs Other Public Pension Plans
As of September 30, 2021
Parentheses contain percentile rankings.
.
Page 15
Sep-2021 Jun-2021 Mar-2021 Dec-2020 Sep-2020
($)%($)%($)%($)%($)%
Total Equity 14,820,416 55.67 15,716,614 59.07 16,403,405 64.90 15,475,817 63.45 13,400,473 60.82
Domestic Equity 11,013,895 41.37 11,821,675 44.43 13,036,468 51.58 12,186,659 49.97 10,632,257 48.26
Dana Large Cap Core Equity 2,723,496 10.23 3,527,750 13.26 3,284,468 13.00 3,045,339 12.49 2,736,192 12.42
Vanguard Mid Cap Index (VIMAX)2,754,626 10.35 2,754,496 10.35 3,249,003 12.86 3,031,220 12.43 2,568,493 11.66
Vanguard Total Stock Index (VTSAX)5,535,774 20.80 5,539,430 20.82 6,502,996 25.73 6,110,101 25.05 5,327,572 24.18
International Equity 3,806,521 14.30 3,894,939 14.64 3,366,937 13.32 3,289,158 13.49 2,768,215 12.56
Europacific Growth (RERGX)1,922,442 7.22 1,968,632 7.40 1,873,452 7.41 1,881,597 7.71 1,568,611 7.12
Transamerica Intl (TSWIX)1,884,079 7.08 1,926,307 7.24 1,493,485 5.91 1,407,561 5.77 1,199,604 5.44
Total Fixed Income 8,383,867 31.49 7,860,376 29.54 6,174,874 24.43 6,282,328 25.76 6,240,000 28.32
Agincourt Fixed Income 7,057,057 26.51 6,539,198 24.58 5,095,595 20.16 5,192,896 21.29 5,169,584 23.46
Templeton Global (FTTRX)-0.00 -0.00 581,837 2.30 598,583 2.45 593,675 2.69
PIMCO Diversified Income (PDIIX)659,954 2.48 660,000 2.48 -0.00 -0.00 -0.00
Pacific Funds Floating Rate Income (PLFRX)666,857 2.51 661,178 2.48 497,442 1.97 490,849 2.01 476,741 2.16
Total Infrastructure 1,016,532 3.82 1,000,000 3.76 -0.00 -0.00 -0.00
Brookfield BSIP Access Fund 1,016,532 3.82 1,000,000 3.76 -0.00 -0.00 -0.00
Real Estate 2,176,888 8.18 2,075,642 7.80 2,006,645 7.94 1,969,350 8.07 1,971,189 8.95
Intercontinental Real Estate 2,176,888 8.18 2,075,642 7.80 2,006,645 7.94 1,969,350 8.07 1,971,189 8.95
Cash Accounts
R&D 222,792 0.84 -43,736 -0.16 688,655 2.72 662,256 2.72 420,529 1.91
Total Fund Portfolio 26,620,496 100.00 26,608,896 100.00 25,273,579 100.00 24,389,751 100.00 22,032,191 100.00
Crestview Police Officers' and Firefighters' Retirement Plan
Asset Allocation History by Portfolio
As of September 30, 2021
Page 16
Domestic Equity International Equity Domestic Fixed Income Global Fixed Income
Real Estate Real Return Cash Equivalent
0.0
8.0
16.0
24.0
32.0
40.0
48.0
56.0
64.0
72.0
80.0
88.0
96.0
Allocation
(%)
7/07 4/08 1/09 10/09 7/10 4/11 1/12 10/12 7/13 4/14 1/15 10/15 7/16 4/17 1/18 10/18 7/19 4/20 1/21 9/21
Crestview Police Officers' and Firefighters' Retirement Plan
Asset Allocation History by Asset Class
Since Inception Ending September 30, 2021
Page 17
Market Value
07/01/2021
Net
Transfers Contributions Distributions Management
Fees
Other
Expenses Income Apprec./
Deprec.
Market Value
09/30/2021
Total Equity 15,716,614 -775,000 ---16,020 -272 35,219 -140,125 14,820,416
Domestic Equity 11,821,675 -775,000 ---16,020 -272 35,219 -51,707 11,013,895
Dana Large Cap Core Equity 3,527,750 -775,000 ---16,020 -272 10,257 -23,219 2,723,496
Vanguard Mid Cap Index (VIMAX)2,754,496 -----7,112 -6,982 2,754,626
Vanguard Total Stock Index (VTSAX)5,539,430 -----17,850 -21,507 5,535,774
International Equity 3,894,939 -------88,418 3,806,521
Europacific Growth (RERGX)1,968,632 -------46,190 1,922,442
Transamerica Intl (TSWIX)1,926,307 -------42,228 1,884,079
Total Fixed Income 7,860,376 525,000 ---7,239 -636 53,942 -47,575 8,383,867
Agincourt Fixed Income 6,539,198 525,000 ---7,239 -636 42,901 -42,167 7,057,057
PIMCO Diversified Income (PDIIX)660,000 -----4,697 -4,743 659,954
Pacific Funds Floating Rate Income (PLFRX)661,178 -----6,344 -666 666,857
Infrastructure 1,000,000 ----3,147 -24,705 -5,026 1,016,532
Brookfield BSIP Access Fund 1,000,000 ----3,147 -24,705 -5,026 1,016,532
Real Estate 2,075,642 -15,568 ---4,114 -19,682 101,246 2,176,888
Intercontinental Real Estate 2,075,642 -15,568 ---4,114 -19,682 101,246 2,176,888
Cash Accounts
R&D -43,736 265,568 257,489 -213,705 --42,835 11 -222,792
Total Fund Portfolio 26,608,896 -257,489 -213,705 -30,520 -43,743 133,558 -91,480 26,620,496
Crestview Police Officers' and Firefighters' Retirement Plan
Financial Reconciliation: Quarter to Date
1 Quarter Ending September 30, 2021
Page 18
Market Value
10/01/2020
Net
Transfers Contributions Distributions Management
Fees
Other
Expenses Income Apprec./
Deprec.
Market Value
09/30/2021
Total Equity 13,400,473 -2,661,000 ---20,466 -1,168 271,934 3,830,644 14,820,416
Domestic Equity 10,632,257 -3,001,000 ---20,466 -1,168 163,021 3,241,252 11,013,895
Dana Large Cap Core Equity 2,736,192 -775,000 ---20,466 -1,168 43,338 740,600 2,723,496
Vanguard Mid Cap Index (VIMAX)2,568,493 -737,000 ----38,523 884,610 2,754,626
Vanguard Total Stock Index (VTSAX)5,327,572 -1,489,000 ----81,160 1,616,041 5,535,774
International Equity 2,768,215 340,000 ----108,913 589,393 3,806,521
Europacific Growth (RERGX)1,568,611 -36,000 ----91,991 297,840 1,922,442
Transamerica Intl (TSWIX)1,199,604 376,000 ----16,922 291,552 1,884,079
Total Fixed Income 6,240,000 2,131,328 3,213 --16,961 -2,150 197,060 -168,622 8,383,867
Agincourt Fixed Income 5,169,584 1,917,000 3,213 --16,961 -2,150 146,481 -160,110 7,057,057
Templeton Global (FTTRX)593,675 -601,672 ----25,305 -17,308 -
PIMCO Diversified Income (PDIIX)-660,000 ----4,697 -4,743 659,954
Pacific Funds Floating Rate Income (PLFRX)476,741 156,000 ----20,576 13,540 666,857
Infrastructure -1,000,000 ---3,147 -24,705 -5,026 1,016,532
Brookfield BSIP Access Fund -1,000,000 ---3,147 -24,705 -5,026 1,016,532
Real Estate 1,971,189 -48,989 ---12,510 -65,466 201,732 2,176,888
Intercontinental Real Estate 1,971,189 -48,989 ---12,510 -65,466 201,732 2,176,888
Cash Accounts
R&D 420,529 -421,338 1,296,159 -965,489 --107,167 99 -222,792
Total Fund Portfolio 22,032,191 -1,299,372 -965,489 -53,085 -110,486 559,264 3,858,729 26,620,496
Crestview Police Officers' and Firefighters' Retirement Plan
Financial Reconciliation: Fiscal Year to Date
October 1, 2020 To September 30, 2021
Page 19
QTR FYTD 1 YR 3 YR 4 YR 5 YR Inception Inception
Date
Total Fund Portfolio (Gross)0.16 (36)19.87 (59)19.87 (59)10.77 (43)10.20 (38)10.77 (35)8.13 (65)10/01/1994
Total Fund Policy 0.33 (28)19.40 (63)19.40 (63)11.25 (31)10.60 (29)10.88 (32)8.18 (59)
All Public Plans-Total Fund Median -0.03 20.48 20.48 10.51 9.79 10.23 8.26
Total Fund Portfolio (Net)0.04 19.62 19.62 10.51 9.94 10.48 7.78 10/01/1994
Total Equity -0.72 30.53 30.53 14.20 13.83 14.85 9.72 10/01/1994
Total Equity Policy -0.79 30.03 30.03 14.14 14.01 15.02 9.89
Domestic Equity -0.19 (47)32.10 (56)32.10 (56)15.44 (39)15.58 (40)16.29 (42)15.50 (69)04/01/2009
Domestic Equity Policy -0.10 (45)31.88 (57)31.88 (57)16.00 (35)16.39 (36)16.85 (38)16.69 (51)
IM U.S. Equity (SA+CF+MF) Median -0.36 33.78 33.78 13.37 13.55 14.71 16.72
International Equity -2.27 (55)25.56 (50)25.56 (50)9.89 (60)7.82 (61)9.87 (70)8.39 (95)04/01/2009
International Equity Policy -2.88 (61)24.45 (57)24.45 (57)8.52 (74)6.92 (73)9.44 (76)N/A
IM International Equity (MF) Median -1.94 25.52 25.52 11.09 8.66 11.32 10.90
Total Fixed Income 0.09 0.42 0.42 4.18 2.91 2.86 5.39 10/01/1994
Total Fixed Policy 0.06 0.34 0.34 4.40 3.03 2.44 5.21
Domestic Fixed Income 0.03 (67)-0.26 (81)-0.26 (81)4.85 (52)3.47 (57)2.92 (54)5.47 (18)10/01/1994
Domestic Fixed Policy 0.05 (58)-0.38 (87)-0.38 (87)4.39 (84)3.04 (88)2.47 (92)5.24 (43)
IM U.S. Intermediate Duration (SA+CF) Median 0.07 0.26 0.26 4.87 3.52 2.95 5.19
Non-Core Fixed Income 0.53 3.91 3.91 1.38 0.54 3.07 1.33 10/01/2014
Non-Core Fixed Income Policy 0.10 3.91 3.91 4.31 2.87 2.18 2.31
Infrastructure 1.97 N/A N/A N/A N/A N/A 1.97 07/01/2021
CPI + 3%1.92 8.54 8.54 5.91 5.77 5.67 1.92
Real Estate 5.88 (70)13.86 (69)13.86 (69)8.79 (29)9.44 (26)9.84 (21)10.46 (28)01/01/2015
NCREIF Fund Index-Open End Diversified Core (EW)6.96 (31)15.75 (49)15.75 (49)7.73 (48)8.00 (52)7.96 (57)9.16 (56)
IM U.S. Open End Private Real Estate (SA+CF) Median 6.19 15.23 15.23 7.53 8.07 8.32 9.33
Crestview Police Officers' and Firefighters' Retirement Plan
Trailing Returns
As of September 30, 2021
Returns for periods greater than one year are annualized. Returns are expressed as percentages.
Page 20
Crestview Police Officers' and Firefighters' Retirement Plan
Trailing Returns
As of September 30, 2021
QTR FYTD 1 YR 3 YR 4 YR 5 YR Inception Inception
Date
Domestic Equity Strategies
Dana Large Cap Core Equity -0.47 (73)28.55 (67)28.55 (67)15.19 (52)15.17 (59)16.97 (37)10.08 (60)01/01/2007
S&P 500 Index 0.58 (28)30.00 (55)30.00 (55)15.99 (43)16.47 (40)16.90 (42)10.06 (60)
IM U.S. Large Cap Core Equity (SA+CF) Median 0.12 30.41 30.41 15.32 15.99 16.56 10.26
Vanguard Mid Cap Index (VIMAX)0.00 (20)36.10 (70)36.10 (70)14.74 (3)14.41 (1)14.59 (3)14.83 (3)05/01/2016
Russell Midcap Index -0.93 (55)38.11 (51)38.11 (51)14.22 (5)14.16 (2)14.39 (3)14.58 (3)
IM U.S. Mid Cap Core Equity (MF) Median -0.83 38.13 38.13 10.84 10.46 11.34 11.44
Vanguard Total Stock Index (VTSAX)-0.07 (42)32.07 (36)32.07 (36)16.04 (20)16.43 (18)N/A 16.84 (22)01/01/2017
Russell 3000 Index -0.10 (45)31.88 (38)31.88 (38)16.00 (21)16.39 (20)16.85 (19)16.79 (22)
IM U.S. Multi-Cap Core Equity (MF) Median -0.22 30.35 30.35 13.78 14.19 15.05 15.05
International Equity Strategies
Europacific Growth (RERGX)-2.35 (48)24.76 (42)24.76 (42)13.21 (18)10.15 (18)12.17 (16)12.48 (18)05/01/2016
MSCI AC World ex USA -2.88 (56)24.45 (44)24.45 (44)8.52 (51)6.92 (42)9.44 (41)9.43 (48)
IM International Equity (MF) Median -2.46 23.08 23.08 8.62 6.32 8.92 9.26
Transamerica Intl (TSWIX)-2.19 (46)27.29 (30)27.29 (30)6.33 (77)5.29 (66)7.38 (76)7.32 (80)05/01/2016
MSCI AC World ex USA -2.88 (56)24.45 (44)24.45 (44)8.52 (51)6.92 (42)9.44 (41)9.43 (48)
IM International Equity (MF) Median -2.46 23.08 23.08 8.62 6.32 8.92 9.26
Returns for periods greater than one year are annualized. Returns are expressed as percentages.
Page 21
Crestview Police Officers' and Firefighters' Retirement Plan
Trailing Returns
As of September 30, 2021
QTR FYTD 1 YR 3 YR 4 YR 5 YR Inception Inception
Date
Domestic Fixed Income Strategies
Agincourt Fixed Income 0.03 (67)-0.33 (84)-0.33 (84)4.83 (54)3.45 (60)2.91 (54)4.26 (32)07/01/2007
Bloomberg Intermed Aggregate Index 0.05 (58)-0.38 (87)-0.38 (87)4.39 (84)3.04 (88)2.47 (92)3.74 (87)
IM U.S. Intermediate Duration (SA+CF) Median 0.07 0.26 0.26 4.87 3.52 2.95 4.08
Non-Core Fixed Income Strategies
PIMCO Diversified Income (PDIIX)0.13 (16)N/A N/A N/A N/A N/A 0.13 (16)07/01/2021
Blmbg. Global Multiverse -0.91 (71)-0.45 (79)-0.45 (79)4.30 (59)2.87 (55)2.17 (71)-0.91 (71)
IM Global Fixed Income (MF) Median -0.42 0.82 0.82 4.48 3.03 2.59 -0.42
Pacific Funds Floating Rate Income (PLFRX)0.93 (39)6.97 (66)6.97 (66)N/A N/A N/A 3.49 (36)11/01/2018
S&P/LSTA Leveraged Loan Index 1.11 (15)8.40 (31)8.40 (31)4.14 (9)4.40 (5)4.58 (6)4.27 (11)
IM U.S. Bank Loans (MF) Median 0.86 7.60 7.60 3.04 3.35 3.61 3.18
Infrastructure Strategies
Brookfield BSIP Access Fund 1.97 N/A N/A N/A N/A N/A 1.97 07/01/2021
CPI + 3%1.92 8.54 8.54 5.91 5.77 5.67 1.92
Real Estate Strategies
Intercontinental Real Estate 5.88 (70)13.86 (69)13.86 (69)8.79 (29)9.44 (26)9.84 (21)10.46 (28)01/01/2015
NCREIF Fund Index-Open End Diversified Core (EW)6.96 (31)15.75 (49)15.75 (49)7.73 (48)8.00 (52)7.96 (57)9.16 (56)
IM U.S. Open End Private Real Estate (SA+CF) Median 6.19 15.23 15.23 7.53 8.07 8.32 9.33
Returns for periods greater than one year are annualized. Returns are expressed as percentages.
Page 22
FYTD FY 2020 FY -2019 FY 2018 FY 2017 FY 2016 FY 2015 FY 2014
Total Fund Portfolio (Gross)19.87 (59)8.54 (36)4.48 (44)8.50 (31)13.07 (28)7.20 (94)-1.61 (70)10.65 (34)
Total Fund Policy 19.40 (63)10.32 (16)4.54 (41)8.64 (28)12.05 (49)10.61 (22)-0.17 (33)10.56 (37)
All Public Plans-Total Fund Median 20.48 7.56 4.29 7.64 11.93 9.75 -0.82 9.87
Total Fund Portfolio (Net)19.62 8.27 4.21 8.24 12.68 6.65 -2.17 10.07
Total Equity 30.53 11.29 2.52 12.72 19.05 8.58 -4.53 14.70
Total Equity Policy 30.03 12.06 2.04 13.62 19.14 13.68 -3.37 15.29
Domestic Equity 32.10 (56)12.20 (40)3.80 (34)15.98 (45)19.19 (47)8.51 (83)-1.98 (68)17.22 (37)
Domestic Equity Policy 31.88 (57)15.00 (35)2.92 (40)17.58 (38)18.71 (51)14.96 (37)-0.49 (56)19.13 (23)
IM U.S. Equity (SA+CF+MF) Median 33.78 5.78 1.15 14.66 18.79 13.32 0.13 15.22
International Equity 25.56 (50)7.94 (54)-2.09 (70)1.85 (57)18.43 (79)8.92 (68)-13.00 (73)5.35 (67)
International Equity Policy 24.45 (57)3.45 (67)-0.72 (56)2.25 (52)20.15 (65)9.80 (63)-11.78 (70)4.36 (78)
IM International Equity (MF) Median 25.52 9.10 -0.12 2.38 22.11 11.92 -7.05 6.78
Total Fixed Income 0.42 4.82 7.40 -0.78 2.66 4.17 1.39 3.04
Total Fixed Policy 0.34 5.37 7.62 -0.99 0.12 4.53 1.82 3.44
Domestic Fixed Income -0.26 (81)6.49 (48)8.53 (15)-0.57 (69)0.76 (44)4.41 (24)2.98 (29)3.04 (42)
Bloomberg Intermed Aggregate Index -0.38 (87)5.66 (81)8.08 (46)-0.93 (94)0.25 (86)3.57 (72)2.95 (32)2.74 (57)
IM U.S. Intermediate Duration (SA+CF) Median 0.26 6.45 8.01 -0.39 0.68 3.89 2.70 2.87
Non-Core Fixed Income 3.91 -2.55 2.90 -1.91 13.82 2.68 -8.14 N/A
Non-Core Fixed Income Policy 3.91 3.67 5.36 -1.32 -0.56 9.23 -3.56 1.40
Infrastructure N/A N/A N/A N/A N/A N/A N/A N/A
CPI + 3%8.54 4.45 4.78 5.35 5.29 4.59 3.01 4.73
Real Estate 13.86 (69)4.41 (13)8.32 (21)11.40 (10)11.46 (10)13.05 (24)N/A N/A
NCREIF Fund Index-Open End Diversified Core (EW)15.75 (49)1.74 (51)6.17 (67)8.82 (58)7.81 (53)10.62 (67)14.71 (58)12.39 (66)
IM U.S. Open End Private Real Estate (SA+CF) Median 15.23 1.74 6.80 8.98 7.88 11.26 15.32 12.68
Crestview Police Officers' and Firefighters' Retirement Plan
Fiscal Year Returns
As of September 30, 2021
Returns for periods greater than one year are annualized. Returns are expressed as percentages.
Page 23
Crestview Police Officers' and Firefighters' Retirement Plan
Fiscal Year Returns
As of September 30, 2021
FYTD FY 2020 FY -2019 FY 2018 FY 2017 FY 2016 FY 2015 FY 2014
Domestic Equity Strategies
Dana Large Cap Core Equity 28.55 (67)11.93 (54)6.23 (25)15.09 (69)24.44 (6)7.16 (94)-0.03 (54)20.64 (29)
S&P 500 Index 30.00 (55)15.15 (37)4.25 (41)17.91 (40)18.61 (53)15.43 (23)-0.61 (64)19.73 (45)
IM U.S. Large Cap Core Equity (SA+CF) Median 30.41 12.87 3.21 17.33 18.71 13.41 0.11 19.19
Vanguard Mid Cap Index (VIMAX)36.10 (70)7.08 (8)3.65 (29)13.42 (19)15.30 (42)N/A N/A N/A
Russell Midcap Index 38.11 (51)4.55 (14)3.19 (32)13.98 (15)15.32 (42)14.25 (27)-0.25 (30)15.83 (16)
IM U.S. Mid Cap Core Equity (MF) Median 38.13 -3.86 1.56 9.78 15.07 11.86 -1.42 12.71
Vanguard Total Stock Index (VTSAX)32.07 (36)14.99 (25)2.88 (36)17.62 (22)N/A N/A N/A N/A
Russell 3000 Index 31.88 (38)15.00 (25)2.92 (34)17.58 (23)18.71 (40)14.96 (12)-0.49 (33)17.76 (32)
IM U.S. Multi-Cap Core Equity (MF) Median 30.35 11.22 1.35 15.62 18.17 11.36 -1.67 16.37
Rockwood Equity N/A N/A N/A N/A N/A N/A -3.64 (88)13.17 (93)
S&P 500 Index 30.00 (55)15.15 (37)4.25 (41)17.91 (40)18.61 (53)15.43 (23)-0.61 (64)19.73 (45)
IM U.S. Large Cap Core Equity (SA+CF) Median 30.41 12.87 3.21 17.33 18.71 13.41 0.11 19.19
International Equity Strategies
Europacific Growth (RERGX)24.76 (42)14.97 (27)1.14 (28)1.47 (38)20.63 (39)N/A N/A N/A
MSCI AC World ex USA 24.45 (44)3.45 (61)-0.72 (40)2.25 (30)20.15 (43)9.80 (47)-11.78 (62)5.22 (38)
IM International Equity (MF) Median 23.08 6.53 -1.88 0.18 19.36 9.30 -8.72 4.26
Transamerica Intl (TSWIX)27.29 (30)-0.06 (74)-5.52 (78)2.26 (30)16.16 (76)N/A N/A N/A
MSCI AC World ex USA 24.45 (44)3.45 (61)-0.72 (40)2.25 (30)20.15 (43)9.80 (47)-11.78 (62)5.22 (38)
IM International Equity (MF) Median 23.08 6.53 -1.88 0.18 19.36 9.30 -8.72 4.26
Dana International Equity N/A N/A N/A N/A N/A N/A -13.00 (68)5.35 (36)
MSCI AC World ex USA 24.45 (44)3.45 (61)-0.72 (40)2.25 (30)20.15 (43)9.80 (47)-11.78 (62)5.22 (38)
IM International Equity (MF) Median 23.08 6.53 -1.88 0.18 19.36 9.30 -8.72 4.26
Returns for periods greater than one year are annualized. Returns are expressed as percentages.
Page 24
Crestview Police Officers' and Firefighters' Retirement Plan
Fiscal Year Returns
As of September 30, 2021
FYTD FY 2020 FY -2019 FY 2018 FY 2017 FY 2016 FY 2015 FY 2014
Domestic Fixed Income Strategies
Agincourt Fixed Income -0.33 (84)6.49 (48)8.53 (15)-0.57 (69)0.76 (44)4.41 (24)2.98 (29)3.24 (31)
Bloomberg Intermed Aggregate Index -0.38 (87)5.66 (81)8.08 (46)-0.93 (94)0.25 (86)3.57 (72)2.95 (32)2.74 (57)
IM U.S. Intermediate Duration (SA+CF) Median 0.26 6.45 8.01 -0.39 0.68 3.89 2.70 2.87
Non-Core Fixed Income Strategies
PIMCO Diversified Income (PDIIX)N/A N/A N/A N/A N/A N/A N/A N/A
Blmbg. Global Multiverse -0.45 (79)5.99 (33)7.54 (50)-1.32 (50)-0.56 (78)9.23 (25)-3.56 (42)1.40 (79)
IM Global Fixed Income (MF) Median 0.82 5.39 7.52 -1.33 1.08 7.39 -3.91 3.34
Pacific Funds Floating Rate Income (PLFRX)6.97 (66)0.09 (29)N/A N/A N/A N/A N/A N/A
S&P/LSTA Leveraged Loan Index 8.40 (31)1.06 (11)3.10 (19)5.19 (12)5.30 (27)5.46 (36)0.92 (29)3.85 (14)
IM U.S. Bank Loans (MF) Median 7.60 -0.58 2.24 4.37 4.48 5.01 0.08 2.92
Templeton Global (FTTRX)N/A -4.57 (100)2.50 (99)-1.91 (65)13.82 (1)2.68 (94)-8.14 (94)N/A
Blmbg. Global Multiverse -0.45 (79)5.99 (33)7.54 (50)-1.32 (50)-0.56 (78)9.23 (25)-3.56 (42)1.40 (79)
IM Global Fixed Income (MF) Median 0.82 5.39 7.52 -1.33 1.08 7.39 -3.91 3.34
Infrastructure Strategies
Brookfield BSIP Access Fund N/A N/A N/A N/A N/A N/A N/A N/A
CPI + 3%8.54 4.45 4.78 5.35 5.29 4.59 3.01 4.73
Real Estate Strategies
Intercontinental Real Estate 13.86 (69)4.41 (13)8.32 (21)11.40 (10)11.46 (10)13.05 (24)N/A N/A
NCREIF Fund Index-Open End Diversified Core (EW)15.75 (49)1.74 (51)6.17 (67)8.82 (58)7.81 (53)10.62 (67)14.71 (58)12.39 (66)
IM U.S. Open End Private Real Estate (SA+CF) Median 15.23 1.74 6.80 8.98 7.88 11.26 15.32 12.68
Returns for periods greater than one year are annualized. Returns are expressed as percentages.
Page 25
Plan Growth
Total Fund Portfolio Net Cash Flow
$0.0
$5,900,000.0
$11,800,000.0
$17,700,000.0
$23,600,000.0
$29,500,000.0
$35,400,000.0
($5,900,000.0)
Market
Valu
e
9/94 12/95 3/97 6/98 9/99 12/00 3/02 6/03 9/04 12/05 3/07 6/08 9/09 12/10 3/12 6/13 9/14 12/15 3/17 6/18 9/19 9/21
$4,796,906.4
$26,620,495.8
Trailing Returns
QTR YTD 1 YR 2 YR 3 YR 5 YR 7 YR 10 YR 15 YR
Total Fund Portfolio 0.16 (36)9.39 (37)19.87 (59)14.06 (46)10.77 (43)10.77 (35)8.40 (53)9.97 (47)7.51 (34)
Total Fund Policy 0.33 (28)8.95 (48)19.40 (63)14.77 (33)11.25 (31)10.88 (32)9.19 (25)10.36 (32)7.50 (34)
Median -0.03 8.78 20.48 13.76 10.51 10.23 8.54 9.87 7.23
Fiscal Year Returns
FYTD FY 2020 FY 2019 FY 2018 FY 2017 FY 2016 FY 2015
Total Fund Portfolio 19.87 (59)8.54 (35)4.48 (48)8.50 (29)13.07 (24)7.20 (94)-1.61 (77)
Total Fund Policy 19.40 (63)10.32 (17)4.54 (46)8.64 (27)12.05 (51)10.61 (19)-0.17 (39)
Median 20.48 7.58 4.43 7.40 12.10 9.61 -0.53
Crestview Police Officers' and Firefighters' Retirement Plan
Long-Term Performance
As of September 30, 2021
Peer Group: All Public Plans-Total Fund
Page 26
5 Year Rolling Percentile Ranking
0.0
25.0
50.0
75.0
100.0Return
Percentile
Rank
12/01 12/02 12/03 12/04 12/05 12/06 12/07 12/08 12/09 12/10 12/11 12/12 12/13 12/14 12/15 12/16 12/17 12/18 12/19 12/20 9/21
Risk vs Return: October 2007 to Present
Total Fund Portfolio Total Fund Policy
4.2
4.9
5.6
6.3
7.0
7.7
8.4
9.1
Ret
urn
(%)
6.0 7.0 8.0 9.0 10.0 11.0 12.0 13.0 14.0
Risk (Standard Deviation %)
Up/Down Markets: October 2007 to Present
Total Fund Portfolio Total Fund Policy
98.4
98.7
99.0
99.3
99.6
99.9
100.2
100.5
Up
Market
Cap
ture
Ratio
(%)
99.0 99.2 99.4 99.6 99.8 100.0 100.2
Down Market Capture Ratio (%)
Historical Statistics: October 1, 2007 To September 30, 2021
Consistency Maximum
Drawdown Alpha Active
Return
Sharpe
Ratio
Information
Ratio
Treynor
Ratio Beta Tracking
Error
Total Fund Portfolio 55.36 -23.82 -0.11 -0.11 0.63 -0.05 0.07 1.00 2.04
Total Fund Policy 0.00 -27.57 0.00 0.00 0.65 N/A 0.07 1.00 0.00
90 Day U.S. Treasury Bill 25.00 0.00 0.80 -6.87 N/A -0.65 0.00 -0.02 10.53
Crestview Police Officers' and Firefighters' Retirement Plan
Long-Term Performance
As of September 30, 2021
Peer Group: All Public Plans-Total Fund
Page 27
Multi Timeperiod Statistics
1 Qtr
Return
1
Quarter
Ending
Jun-2021
Return
1
Quarter
Ending
Mar-2021
Return
1
Quarter
Ending
Dec-2020
Return
3 YR
Return
5 YR
Return
3 YR
Down
Market
Capture
5 YR
Down
Market
Capture
Total Fund Portfolio (Gross)0.16 (36)5.42 (51)3.61 (38)9.58 (67)10.77 (43)10.77 (35)108.85 (37)107.05 (40)
Total Fund Policy 0.33 (28)5.26 (58)3.16 (54)9.59 (67)11.25 (31)10.88 (32)100.00 100.00
All Public Plans-Total Fund Median -0.03 5.43 3.24 10.31 10.51 10.23 104.55 103.07
Total Fund Portfolio (Net)0.04 5.40 3.54 9.56 10.51 10.48 109.55 107.99
Total Fund Policy 0.33 5.26 3.16 9.59 11.25 10.88 100.00 100.00
Total Equity -0.72 7.37 6.03 15.49 14.20 14.85 105.63 104.14
Total Equity Policy -0.79 7.61 5.66 15.28 14.14 15.02 100.00 100.00
Domestic Equity -0.19 (47)7.89 (37)7.01 (56)14.62 (61)15.44 (39)16.29 (42)105.06 (52)104.29 (52)
Domestic Equity Policy -0.10 (45)8.24 (34)6.35 (60)14.68 (60)16.00 (35)16.85 (38)100.00 100.00
IM U.S. Equity (SA+CF+MF) Median -0.36 6.68 7.94 16.95 13.37 14.71 106.53 105.44
International Equity -2.27 (47)5.63 (43)2.36 (61)18.82 (34)9.89 (39)9.87 (36)105.25 (49)105.41 (58)
International Equity Policy -2.88 (56)5.64 (43)3.60 (44)17.08 (48)8.52 (51)9.44 (41)100.00 100.00
IM International Equity (MF) Median -2.46 5.31 3.23 16.87 8.62 8.92 104.39 108.34
Total Fixed Income 0.09 1.27 -1.65 0.74 4.18 2.86 105.82 50.06
Total Fixed Policy 0.06 0.90 -1.56 0.97 4.40 2.44 100.00 100.00
Domestic Fixed Income 0.03 (67)1.00 (66)-1.80 (72)0.52 (75)4.85 (52)2.92 (54)111.81 (30)101.72 (25)
Domestic Fixed Policy 0.05 (58)0.78 (87)-1.61 (52)0.42 (86)4.39 (84)2.47 (92)100.00 100.00
IM U.S. Intermediate Duration (SA+CF) Median 0.07 1.05 -1.60 0.70 4.87 2.95 100.02 90.58
Non-Core Fixed Income 0.53 2.51 -0.93 1.78 1.38 3.07 94.74 12.78
Non-Core Fixed Income Policy 0.10 1.46 -1.31 3.67 4.31 2.18 100.00 100.00
Infrastructure 1.97 N/A N/A N/A N/A N/A N/A N/A
CPI + 3%1.92 3.10 1.99 1.29 5.91 5.67 N/A N/A
Real Estate 5.88 (70)4.40 (40)2.51 (36)0.48 (86)8.79 (29)9.84 (21)1.54 (79)1.54 (78)
NCREIF Fund Index-Open End Diversified Core (EW)6.96 (31)4.39 (41)2.28 (40)1.36 (59)7.73 (48)7.96 (57)100.00 100.00
IM U.S. Open End Private Real Estate (SA+CF) Median 6.19 4.17 2.10 1.63 7.53 8.32 106.72 97.27
Crestview Police Officers' and Firefighters' Retirement Plan
Compliance Statistics
As of September 30, 2021
Page 28
Crestview Police Officers' and Firefighters' Retirement Plan
Compliance Statistics
As of September 30, 2021
1 Qtr
Return
1
Quarter
Ending
Jun-2021
Return
1
Quarter
Ending
Mar-2021
Return
1
Quarter
Ending
Dec-2020
Return
3 YR
Return
5 YR
Return
3 YR
Down
Market
Capture
5 YR
Down
Market
Capture
Domestic Equity Strategies
Dana Large Cap Core Equity -0.47 (73)7.42 (63)8.02 (36)11.31 (69)15.19 (52)16.97 (37)108.37 (27)107.21 (27)
S&P 500 Index 0.58 (28)8.55 (30)6.17 (62)12.15 (54)15.99 (43)16.90 (42)100.00 100.00
IM U.S. Large Cap Core Equity (SA+CF) Median 0.12 8.03 6.72 12.32 15.32 16.56 100.72 100.35
Vanguard Mid Cap Index (VIMAX)0.00 (20)7.59 (1)7.18 (89)18.02 (67)14.74 (3)14.59 (3)94.94 (84)93.92 (91)
Russell Midcap Index -0.93 (55)7.50 (3)8.14 (87)19.91 (43)14.22 (5)14.39 (3)100.00 100.00
IM U.S. Mid Cap Core Equity (MF) Median -0.83 5.22 10.69 19.35 10.84 11.34 105.46 110.06
Vanguard Total Stock Index (VTSAX)-0.07 (42)8.27 (32)6.43 (51)14.69 (35)16.04 (20)N/A 99.71 (61)N/A
Russell 3000 Index -0.10 (45)8.24 (34)6.35 (55)14.68 (35)16.00 (21)16.85 (19)100.00 100.00
IM U.S. Multi-Cap Core Equity (MF) Median -0.22 7.70 6.43 13.70 13.78 15.05 102.10 100.89
International Equity Strategies
Europacific Growth (RERGX)-2.35 (48)6.97 (23)-0.43 (88)19.95 (24)13.21 (18)12.17 (16)99.26 (65)102.24 (65)
MSCI AC World ex USA -2.88 (56)5.64 (43)3.60 (44)17.08 (48)8.52 (51)9.44 (41)100.00 100.00
IM International Equity (MF) Median -2.46 5.31 3.23 16.87 8.62 8.92 104.39 108.34
Transamerica Intl (TSWIX)-2.19 (46)4.53 (69)6.10 (21)17.34 (45)6.33 (77)7.38 (76)111.92 (32)109.14 (49)
MSCI AC World ex USA -2.88 (56)5.64 (43)3.60 (44)17.08 (48)8.52 (51)9.44 (41)100.00 100.00
IM International Equity (MF) Median -2.46 5.31 3.23 16.87 8.62 8.92 104.39 108.34
Page 29
Crestview Police Officers' and Firefighters' Retirement Plan
Compliance Statistics
As of September 30, 2021
1 Qtr
Return
1
Quarter
Ending
Jun-2021
Return
1
Quarter
Ending
Mar-2021
Return
1
Quarter
Ending
Dec-2020
Return
3 YR
Return
5 YR
Return
3 YR
Down
Market
Capture
5 YR
Down
Market
Capture
Domestic Fixed Income Strategies
Agincourt Fixed Income 0.03 (67)0.94 (72)-1.80 (72)0.52 (75)4.83 (54)2.91 (54)111.81 (30)101.72 (25)
Bloomberg Intermed Aggregate Index 0.05 (58)0.78 (87)-1.61 (52)0.42 (86)4.39 (84)2.47 (92)100.00 100.00
IM U.S. Intermediate Duration (SA+CF) Median 0.07 1.05 -1.60 0.70 4.87 2.95 100.02 90.58
Non-Core Fixed Income Strategies
PIMCO Diversified Income (PDIIX)0.13 (16)N/A N/A N/A N/A N/A N/A N/A
Blmbg. Global Multiverse -0.91 (71)1.45 (41)-4.34 (73)3.52 (54)4.30 (59)2.17 (71)100.00 100.00
IM Global Fixed Income (MF) Median -0.42 1.33 -3.24 3.70 4.48 2.59 124.61 95.56
Pacific Funds Floating Rate Income (PLFRX)0.93 (39)1.57 (24)1.34 (65)2.96 (84)N/A N/A N/A N/A
S&P/LSTA Leveraged Loan Index 1.11 (15)1.47 (34)1.78 (34)3.81 (36)4.14 (9)4.58 (6)100.00 100.00
IM U.S. Bank Loans (MF) Median 0.86 1.36 1.57 3.52 3.04 3.61 100.51 100.51
Infrastructure Strategies
Brookfield BSIP Access Fund 1.97 N/A N/A N/A N/A N/A N/A N/A
CPI + 3%1.92 3.10 1.99 1.29 5.91 5.67 N/A N/A
Real Estate Strategies
Intercontinental Real Estate 5.88 (70)4.40 (40)2.51 (36)0.48 (86)8.79 (29)9.84 (21)1.54 (79)1.54 (78)
NCREIF Fund Index-Open End Diversified Core (EW)6.96 (31)4.39 (41)2.28 (40)1.36 (59)7.73 (48)7.96 (57)100.00 100.00
IM U.S. Open End Private Real Estate (SA+CF) Median 6.19 4.17 2.10 1.63 7.53 8.32 106.72 97.27
Page 30
Estimated
Annual Fee (%)
09/30/21
Market Value
09/30/21
Allocation (%)
Estimated
Annual Fee ($)
Domestic Equity
Dana Large Cap Core Equity 0.65 2,723,496 10.23 17,703
Vanguard Mid Cap Index (VIMAX)0.05 2,754,626 10.35 1,377
Vanguard Total Stock Market Index (VTSAX)0.04 5,535,774 20.80 2,214
International Equity
Europacific Growth (RERGX)0.46 1,922,442 7.22 8,843
Transamerica Intl (TSWIX)0.86 1,884,079 7.08 16,203
Domestic Fixed Income
Agincourt Fixed Income 0.25 7,057,057 26.51 17,643
Non-Core Fixed Income
PIMCO Diversified Income (PDIIX)0.79 659,954 2.48 5,214
Pacific Funds Floating Rate Income (PLFRX)0.73 666,857 2.51 4,868
Infrastructure
Brookfield BSIP Access Fund**1.00 1,016,532 3.82 10,165
Real Estate
Intercontinental Real Estate*1.10 2,176,888 8.18 23,946
Cash Accounts
R&D 222,792 0.84 -
Total Fund Portfolio 0.41 26,620,496 100.00 108,176
Crestview Police Officers' and Firefighters' Retirement Plan
Fee Analysis
As of September 30, 2021
*Intercontinental subject to performance based fee of 20% on all returns above 8% annual return.
** Brookfield BSIP subject to incentive fee of 5% of distributions.
Page 31
Page Intentionally Left Blank
Page 32
Long-Term
Manager Composite
Data
Manager Composites are provided for illustrative and historical perspective purposes.
They do not represent actual results for Crestview Police Officers' and Firefighters' Retirement Plan.
Page 33
Growth of a Dollar
Dana Large Cap S&P 500 Index
($1.00)
$0.00
$1.00
$2.00
$3.00
$4.00
$5.00
10/07 7/08 4/09 1/10 10/10 7/11 4/12 1/13 10/13 7/14 4/15 1/16 10/16 7/17 4/18 1/19 10/19 7/20 9/21
$3.71$3.78
Trailing Returns
QTR YTD 1 YR 2 YR 3 YR 5 YR 7 YR 10 YR 15 YR
Dana Large Cap -0.48 (74)16.15 (45)29.29 (63)20.28 (59)15.36 (50)17.04 (34)13.10 (63)16.22 (59)10.39 (59)
S&P 500 Index 0.58 (28)15.92 (49)30.00 (55)22.35 (46)15.99 (43)16.90 (42)14.01 (41)16.63 (46)10.37 (61)
Median 0.12 15.91 30.41 21.71 15.32 16.56 13.66 16.55 10.51
Fiscal Year Returns
FYTD FY 2020 FY 2019 FY 2018 FY 2017 FY 2016 FY 2015
Dana Large Cap 29.29 (63)11.90 (54)6.11 (26)15.11 (68)24.30 (7)7.67 (93)0.07 (51)
S&P 500 Index 30.00 (55)15.15 (37)4.25 (41)17.91 (40)18.61 (53)15.43 (23)-0.61 (64)
Median 30.41 12.87 3.21 17.33 18.71 13.41 0.11
Dana Large Cap
Long-Term Composite Performance
As of September 30, 2021
Long-term composite performance. Actual client results may vary.
October 2007 represents the beginning of the current market cycle.
Peer Group: IM U.S. Large Cap Core Equity (SA+CF)
Page 34
5 Year Rolling Percentile Ranking
0.0
25.0
50.0
75.0
100.0Return
Percentile
Rank
12/01 12/02 12/03 12/04 12/05 12/06 12/07 12/08 12/09 12/10 12/11 12/12 12/13 12/14 12/15 12/16 12/17 12/18 12/19 12/20 9/21
Risk vs Return: October 2007 to Present
Dana Large Cap S&P 500 Index
6.0
7.0
8.0
9.0
10.0
11.0
12.0
13.0
Ret
urn
(%)
13.0 14.0 15.0 16.0 17.0 18.0 19.0 20.0 21.0
Risk (Standard Deviation %)
Up/Down Markets: October 2007 to Present
Dana Large Cap S&P 500 Index
99.9
100.0
100.1
Up
Market
Cap
ture
Ratio
(%)
98.0 98.4 98.8 99.2 99.6 100.0 100.4
Down Market Capture Ratio (%)
Historical Statistics: October 1, 2007 To September 30, 2021
Consistency Maximum
Drawdown Alpha Active
Return
Sharpe
Ratio
Information
Ratio
Treynor
Ratio Beta Tracking
Error
Dana Large Cap 50.00 -42.39 0.15 0.12 0.60 0.04 0.11 1.00 2.75
S&P 500 Index 0.00 -45.80 0.00 0.00 0.60 N/A 0.10 1.00 0.00
90 Day U.S. Treasury Bill 25.00 0.00 0.79 -10.42 N/A -0.60 0.00 -0.01 17.29
Dana Large Cap
Long-Term Composite Performance
As of September 30, 2021
Long-term composite performance. Actual client results may vary.
October 2007 represents the beginning of the current market cycle.
Peer Group: IM U.S. Large Cap Core Equity (SA+CF)
Page 35
Growth of a Dollar
Vanguard Md-Cp I;Adm (VIMAX)Russell Midcap Index
($0.80)
$0.00
$0.80
$1.60
$2.40
$3.20
$4.00
$4.80
10/07 7/08 4/09 1/10 10/10 7/11 4/12 1/13 10/13 7/14 4/15 1/16 10/16 7/17 4/18 1/19 10/19 7/20 9/21
$3.64$3.62
Trailing Returns
QTR YTD 1 YR 2 YR 3 YR 5 YR 7 YR 10 YR 15 YR
Vanguard Md-Cp I;Adm (VIMAX)0.00 (20)15.32 (60)36.09 (70)20.72 (9)14.74 (3)14.59 (3)12.38 (7)15.55 (3)10.29 (6)
Russell Midcap Index -0.93 (55)15.17 (62)38.11 (51)20.16 (11)14.22 (5)14.39 (3)12.15 (8)15.52 (4)10.30 (6)
Median -0.83 16.07 38.13 15.63 10.84 11.34 8.99 12.92 8.32
Fiscal Year Returns
FYTD FY 2020 FY 2019 FY 2018 FY 2017 FY 2016 FY 2015
Vanguard Md-Cp I;Adm (VIMAX)36.09 (70)7.08 (8)3.65 (29)13.42 (19)15.30 (42)12.64 (44)1.71 (19)
Russell Midcap Index 38.11 (51)4.55 (14)3.19 (32)13.98 (15)15.32 (42)14.25 (27)-0.25 (30)
Median 38.13 -3.86 1.56 9.78 15.07 11.86 -1.42
Vanguard Md-Cp I;Adm (VIMAX)
Long-Term Composite Performance
As of September 30, 2021
Long-term composite performance. Actual client results may vary.
October 2007 represents the beginning of the current market cycle.
Peer Group: IM U.S. Mid Cap Core Equity (MF)
Page 36
5 Year Rolling Percentile Ranking
0.0
25.0
50.0
75.0
100.0Return
Percentile
Rank
12/01 12/02 12/03 12/04 12/05 12/06 12/07 12/08 12/09 12/10 12/11 12/12 12/13 12/14 12/15 12/16 12/17 12/18 12/19 12/20 9/21
Risk vs Return: October 2007 to Present
Vanguard Md-Cp I;Adm (VIMAX)Russell Midcap Index
4.0
6.0
8.0
10.0
12.0
Ret
urn
(%)
16.0 18.0 20.0 22.0 24.0
Risk (Standard Deviation %)
Up/Down Markets: October 2007 to Present
Vanguard Md-Cp I;Adm (VIMAX)Russell Midcap Index
98.4
98.7
99.0
99.3
99.6
99.9
100.2
100.5
Up
Market
Cap
ture
Ratio
(%)
97.6 98.0 98.4 98.8 99.2 99.6 100.0 100.4
Down Market Capture Ratio (%)
Historical Statistics: October 1, 2007 To September 30, 2021
Consistency Maximum
Drawdown Alpha Active
Return
Sharpe
Ratio
Information
Ratio
Treynor
Ratio Beta Tracking
Error
Vanguard Md-Cp I;Adm (VIMAX)50.00 -48.50 0.09 -0.10 0.53 -0.06 0.11 0.98 1.52
Russell Midcap Index 0.00 -48.60 0.00 0.00 0.53 N/A 0.11 1.00 0.00
90 Day U.S. Treasury Bill 28.57 0.00 0.78 -10.98 N/A -0.53 0.00 -0.01 20.82
Vanguard Md-Cp I;Adm (VIMAX)
Long-Term Composite Performance
As of September 30, 2021
Long-term composite performance. Actual client results may vary.
October 2007 represents the beginning of the current market cycle.
Peer Group: IM U.S. Mid Cap Core Equity (MF)
Page 37
Growth of a Dollar
Vanguard TSM Idx;Adm (VTSAX)Russell 3000 Index
($0.80)
$0.00
$0.80
$1.60
$2.40
$3.20
$4.00
$4.80
10/07 7/08 4/09 1/10 10/10 7/11 4/12 1/13 10/13 7/14 4/15 1/16 10/16 7/17 4/18 1/19 10/19 7/20 9/21
$3.74$3.78
Trailing Returns
QTR YTD 1 YR 2 YR 3 YR 5 YR 7 YR 10 YR 15 YR
Vanguard TSM Idx;Adm (VTSAX)-0.07 (42)15.17 (46)32.08 (35)23.24 (24)16.04 (20)16.87 (18)13.94 (9)16.60 (12)10.56 (16)
Russell 3000 Index -0.10 (45)14.99 (50)31.88 (38)23.15 (25)16.00 (21)16.85 (19)13.93 (9)16.60 (12)10.44 (19)
Median -0.22 14.95 30.35 20.68 13.78 15.05 12.00 15.23 9.23
Fiscal Year Returns
FYTD FY 2020 FY 2019 FY 2018 FY 2017 FY 2016 FY 2015
Vanguard TSM Idx;Adm (VTSAX)32.08 (35)14.99 (25)2.88 (36)17.62 (22)18.63 (42)14.98 (12)-0.58 (35)
Russell 3000 Index 31.88 (38)15.00 (25)2.92 (34)17.58 (23)18.71 (40)14.96 (12)-0.49 (33)
Median 30.35 11.22 1.35 15.62 18.17 11.36 -1.67
Vanguard TSM Idx;Adm (VTSAX)
Long-Term Composite Performance
As of September 30, 2021
Long-term composite performance. Actual client results may vary.
October 2007 represents the beginning of the current market cycle.
Peer Group: IM U.S. Multi-Cap Core Equity (MF)
Page 38
5 Year Rolling Percentile Ranking
0.0
25.0
50.0
75.0
100.0Return
Percentile
Rank
12/01 12/02 12/03 12/04 12/05 12/06 12/07 12/08 12/09 12/10 12/11 12/12 12/13 12/14 12/15 12/16 12/17 12/18 12/19 12/20 9/21
Risk vs Return: October 2007 to Present
Vanguard TSM Idx;Adm (VTSAX)Russell 3000 Index
5.0
6.0
7.0
8.0
9.0
10.0
11.0
12.0
Ret
urn
(%)
14.0 16.0 18.0 20.0 22.0 24.0
Risk (Standard Deviation %)
Up/Down Markets: October 2007 to Present
Vanguard TSM Idx;Adm (VTSAX)Russell 3000 Index
99.9
100.0
100.1
100.2
Up
Market
Cap
ture
Ratio
(%)
99.2 99.4 99.6 99.8 100.0 100.2
Down Market Capture Ratio (%)
Historical Statistics: October 1, 2007 To September 30, 2021
Consistency Maximum
Drawdown Alpha Active
Return
Sharpe
Ratio
Information
Ratio
Treynor
Ratio Beta Tracking
Error
Vanguard TSM Idx;Adm (VTSAX)57.14 -45.58 0.09 0.09 0.59 0.66 0.11 1.00 0.13
Russell 3000 Index 0.00 -45.95 0.00 0.00 0.59 N/A 0.11 1.00 0.00
90 Day U.S. Treasury Bill 28.57 0.00 0.79 -10.63 N/A -0.59 0.00 -0.01 18.07
Vanguard TSM Idx;Adm (VTSAX)
Long-Term Composite Performance
As of September 30, 2021
Long-term composite performance. Actual client results may vary.
October 2007 represents the beginning of the current market cycle.
Peer Group: IM U.S. Multi-Cap Core Equity (MF)
Page 39
Growth of a Dollar
American Funds EuPc;R5 (RERFX)MSCI AC World ex USA
$0.00
$0.40
$0.80
$1.20
$1.60
$2.00
$2.40
10/07 7/08 4/09 1/10 10/10 7/11 4/12 1/13 10/13 7/14 4/15 1/16 10/16 7/17 4/18 1/19 10/19 7/20 9/21
$1.47
$1.97
Trailing Returns
QTR YTD 1 YR 2 YR 3 YR 5 YR 7 YR 10 YR 15 YR
American Funds EuPc;R5 (RERFX)-2.35 (48)3.97 (65)24.70 (43)19.70 (20)13.15 (18)12.12 (17)8.98 (17)10.58 (14)6.79 (17)
MSCI AC World ex USA -2.88 (56)6.29 (49)24.45 (44)13.46 (58)8.52 (51)9.44 (41)6.17 (48)7.97 (52)4.85 (53)
Median -2.46 6.09 23.08 14.28 8.62 8.92 6.03 8.07 4.97
Fiscal Year Returns
FYTD FY 2020 FY 2019 FY 2018 FY 2017 FY 2016 FY 2015
American Funds EuPc;R5 (RERFX)24.70 (43)14.91 (27)1.10 (28)1.44 (38)20.56 (39)8.47 (56)-4.97 (26)
MSCI AC World ex USA 24.45 (44)3.45 (61)-0.72 (40)2.25 (30)20.15 (43)9.80 (47)-11.78 (62)
Median 23.08 6.53 -1.88 0.18 19.36 9.30 -8.72
American Funds EuPc;R5 (RERFX)
Long-Term Composite Performance
As of September 30, 2021
Long-term composite performance. Actual client results may vary.
October 2007 represents the beginning of the current market cycle.
Peer Group: IM International Equity (MF)
Page 40
5 Year Rolling Percentile Ranking
0.0
25.0
50.0
75.0
100.0Return
Percentile
Rank
12/01 12/02 12/03 12/04 12/05 12/06 12/07 12/08 12/09 12/10 12/11 12/12 12/13 12/14 12/15 12/16 12/17 12/18 12/19 12/20 9/21
Risk vs Return: October 2007 to Present
American Funds EuPc;R5 (RERFX)MSCI AC World ex USA
-1.5
0.0
1.5
3.0
4.5
6.0
7.5
Ret
urn
(%)
16.0 18.0 20.0 22.0 24.0 26.0 28.0
Risk (Standard Deviation %)
Up/Down Markets: October 2007 to Present
American Funds EuPc;R5 (RERFX)MSCI AC World ex USA
98.0
100.0
102.0
104.0
106.0
Up
Market
Cap
ture
Ratio
(%)
87.0 90.0 93.0 96.0 99.0 102.0
Down Market Capture Ratio (%)
Historical Statistics: October 1, 2007 To September 30, 2021
Consistency Maximum
Drawdown Alpha Active
Return
Sharpe
Ratio
Information
Ratio
Treynor
Ratio Beta Tracking
Error
American Funds EuPc;R5 (RERFX)64.29 -45.07 2.27 2.08 0.33 0.53 0.07 0.97 3.93
MSCI AC World ex USA 0.00 -51.36 0.00 0.00 0.22 N/A 0.05 1.00 0.00
90 Day U.S. Treasury Bill 39.29 0.00 0.72 -4.52 N/A -0.22 0.00 -0.01 20.10
American Funds EuPc;R5 (RERFX)
Long-Term Composite Performance
As of September 30, 2021
Long-term composite performance. Actual client results may vary.
October 2007 represents the beginning of the current market cycle.
Peer Group: IM International Equity (MF)
Page 41
Growth of a Dollar
Transam:Interntl Eq;I (TSWIX)MSCI AC World ex USA
$0.00
$0.30
$0.60
$0.90
$1.20
$1.50
$1.80
$2.10
10/07 7/08 4/09 1/10 10/10 7/11 4/12 1/13 10/13 7/14 4/15 1/16 10/16 7/17 4/18 1/19 10/19 7/20 9/21
$1.47
$1.58
Trailing Returns
QTR YTD 1 YR 2 YR 3 YR 5 YR 7 YR 10 YR 15 YR
Transam:Interntl Eq;I (TSWIX)-2.19 (46)8.48 (32)27.29 (30)12.79 (63)6.33 (77)7.38 (76)5.19 (66)8.56 (42)5.07 (48)
MSCI AC World ex USA -2.88 (56)6.29 (49)24.45 (44)13.46 (58)8.52 (51)9.44 (41)6.17 (48)7.97 (52)4.85 (53)
Median -2.46 6.09 23.08 14.28 8.62 8.92 6.03 8.07 4.97
Fiscal Year Returns
FYTD FY 2020 FY 2019 FY 2018 FY 2017 FY 2016 FY 2015
Transam:Interntl Eq;I (TSWIX)27.29 (30)-0.06 (74)-5.52 (78)2.26 (30)16.16 (76)5.67 (74)-5.55 (30)
MSCI AC World ex USA 24.45 (44)3.45 (61)-0.72 (40)2.25 (30)20.15 (43)9.80 (47)-11.78 (62)
Median 23.08 6.53 -1.88 0.18 19.36 9.30 -8.72
Transam:Interntl Eq;I (TSWIX)
Long-Term Composite Performance
As of September 30, 2021
Long-term composite performance. Actual client results may vary.
October 2007 represents the beginning of the current market cycle.
Peer Group: IM International Equity (MF)
Page 42
5 Year Rolling Percentile Ranking
0.0
25.0
50.0
75.0
100.0Return
Percentile
Rank
12/01 12/02 12/03 12/04 12/05 12/06 12/07 12/08 12/09 12/10 12/11 12/12 12/13 12/14 12/15 12/16 12/17 12/18 12/19 12/20 9/21
Risk vs Return: October 2007 to Present
Transam:Interntl Eq;I (TSWIX)MSCI AC World ex USA
-1.5
0.0
1.5
3.0
4.5
6.0
7.5
Ret
urn
(%)
16.0 18.0 20.0 22.0 24.0 26.0 28.0
Risk (Standard Deviation %)
Up/Down Markets: October 2007 to Present
Transam:Interntl Eq;I (TSWIX)MSCI AC World ex USA
99.0
99.6
100.2
100.8
101.4
102.0
102.6
103.2
Up
Market
Cap
ture
Ratio
(%)
98.7 99.0 99.3 99.6 99.9 100.2
Down Market Capture Ratio (%)
Historical Statistics: October 1, 2007 To September 30, 2021
Consistency Maximum
Drawdown Alpha Active
Return
Sharpe
Ratio
Information
Ratio
Treynor
Ratio Beta Tracking
Error
Transam:Interntl Eq;I (TSWIX)57.14 -50.49 0.61 0.55 0.25 0.16 0.05 0.99 3.49
MSCI AC World ex USA 0.00 -51.36 0.00 0.00 0.22 N/A 0.05 1.00 0.00
90 Day U.S. Treasury Bill 39.29 0.00 0.72 -4.52 N/A -0.22 0.00 -0.01 20.10
Transam:Interntl Eq;I (TSWIX)
Long-Term Composite Performance
As of September 30, 2021
Long-term composite performance. Actual client results may vary.
October 2007 represents the beginning of the current market cycle.
Peer Group: IM International Equity (MF)
Page 43
Growth of a Dollar
Agincourt Intermediate Fixed Income Bloomberg Intermed Aggregate Index
$0.80
$1.00
$1.20
$1.40
$1.60
$1.80
$2.00
10/07 7/08 4/09 1/10 10/10 7/11 4/12 1/13 10/13 7/14 4/15 1/16 10/16 7/17 4/18 1/19 10/19 7/20 9/21
$1.63
$1.74
Trailing Returns
QTR YTD 1 YR 2 YR 3 YR 5 YR 7 YR 10 YR 15 YR
Agincourt Intermediate Fixed Income 0.02 (75)-1.05 (96)-0.43 (89)3.35 (50)5.04 (38)2.99 (46)3.14 (37)3.07 (45)4.18 (35)
Bloomberg Intermed Aggregate Index 0.05 (58)-0.79 (77)-0.38 (87)2.59 (91)4.39 (84)2.47 (92)2.70 (87)2.51 (87)3.72 (89)
Median 0.07 -0.47 0.26 3.35 4.87 2.95 3.03 2.98 4.06
Fiscal Year Returns
FYTD FY 2020 FY 2019 FY 2018 FY 2017 FY 2016 FY 2015
Agincourt Intermediate Fixed Income -0.43 (89)7.28 (13)8.50 (17)-0.66 (78)0.66 (54)4.24 (29)2.79 (44)
Bloomberg Intermed Aggregate Index -0.38 (87)5.66 (81)8.08 (46)-0.93 (94)0.25 (86)3.57 (72)2.95 (32)
Median 0.26 6.45 8.01 -0.39 0.68 3.89 2.70
Agincourt Intermediate Fixed Income
Long-Term Composite Performance
As of September 30, 2021
Long-term composite performance. Actual client results may vary.
October 2007 represents the beginning of the current market cycle.
Peer Group: IM U.S. Intermediate Duration (SA+CF)
Page 44
5 Year Rolling Percentile Ranking
0.0
25.0
50.0
75.0
100.0Return
Percentile
Rank
12/01 12/02 12/03 12/04 12/05 12/06 12/07 12/08 12/09 12/10 12/11 12/12 12/13 12/14 12/15 12/16 12/17 12/18 12/19 12/20 9/21
Risk vs Return: October 2007 to Present
Agincourt Intermediate Fixed Income
Bloomberg Intermed Aggregate Index
3.0
3.5
4.0
4.5
5.0
5.5
Ret
u
rn
(%)
2.2 2.4 2.6 2.8 3.0 3.2 3.4 3.6 3.8 4.0
Risk (Standard Deviation %)
Up/Down Markets: October 2007 to Present
Agincourt Intermediate Fixed Income
Bloomberg Intermed Aggregate Index
95.0
100.0
105.0
110.0
115.0
120.0
125.0
Up
Market
Capt
ure
Rat
io
(%)
90.0 100.0 110.0 120.0 130.0 140.0 150.0
Down Market Capture Ratio (%)
Historical Statistics: October 1, 2007 To September 30, 2021
Consistency Maximum
Drawdown Alpha Active
Return
Sharpe
Ratio
Information
Ratio
Treynor
Ratio Beta Tracking
Error
Agincourt Intermediate Fixed Income 58.93 -3.70 0.03 0.48 1.10 0.37 0.03 1.13 1.29
Bloomberg Intermed Aggregate Index 0.00 -2.05 0.00 0.00 1.20 N/A 0.03 1.00 0.00
90 Day U.S. Treasury Bill 23.21 0.00 0.51 -2.90 N/A -1.20 0.00 0.05 2.42
Agincourt Intermediate Fixed Income
Long-Term Composite Performance
As of September 30, 2021
Long-term composite performance. Actual client results may vary.
October 2007 represents the beginning of the current market cycle.
Peer Group: IM U.S. Intermediate Duration (SA+CF)
Page 45
Growth of a Dollar
PIMCO:Div Income;Inst (PDIIX)Blmbg. Global Multiverse
$0.50
$1.00
$1.50
$2.00
$2.50
$3.00
10/07 7/08 4/09 1/10 10/10 7/11 4/12 1/13 10/13 7/14 4/15 1/16 10/16 7/17 4/18 1/19 10/19 7/20 9/21
$1.55
$2.61
Trailing Returns
QTR YTD 1 YR 2 YR 3 YR 5 YR 7 YR 10 YR 15 YR
PIMCO:Div Income;Inst (PDIIX)0.32 (36)0.92 (41)5.65 (45)4.99 (56)6.76 (32)5.97 (29)6.08 (14)6.72 (19)7.09 (12)
Blmbg. Global Multiverse -0.91 (70)-3.84 (80)-0.45 (86)2.72 (84)4.30 (84)2.17 (89)2.30 (85)2.07 (82)3.64 (90)
Median -0.02 0.03 4.78 5.35 5.64 4.54 3.85 3.94 4.95
Fiscal Year Returns
FYTD FY 2020 FY 2019 FY 2018 FY 2017 FY 2016 FY 2015
PIMCO:Div Income;Inst (PDIIX)5.65 (45)4.34 (57)10.38 (14)1.88 (33)7.81 (27)13.44 (7)-0.31 (31)
Blmbg. Global Multiverse -0.45 (86)5.99 (40)7.54 (48)-1.32 (79)-0.56 (88)9.23 (45)-3.56 (64)
Median 4.78 5.08 7.33 0.56 4.47 8.80 -2.62
PIMCO:Div Income;Inst (PDIIX)
Long-Term Composite Performance
As of September 30, 2021
Long-term composite performance. Actual client results may vary.
October 2007 represents the beginning of the current market cycle.
Peer Group: IM Global Fixed Income (SA+CF)
Page 46
5 Year Rolling Percentile Ranking
0.0
25.0
50.0
75.0
100.0Return
Percentile
Rank
12/01 12/02 12/03 12/04 12/05 12/06 12/07 12/08 12/09 12/10 12/11 12/12 12/13 12/14 12/15 12/16 12/17 12/18 12/19 12/20 9/21
Risk vs Return: October 2007 to Present
PIMCO:Div Income;Inst (PDIIX)Blmbg. Global Multiverse
2.0
3.0
4.0
5.0
6.0
7.0
8.0
9.0
Ret
urn
(%)
2.0 4.0 6.0 8.0 10.0 12.0 14.0 16.0
Risk (Standard Deviation %)
Up/Down Markets: October 2007 to Present
PIMCO:Div Income;Inst (PDIIX)Blmbg. Global Multiverse
96.0
100.0
104.0
108.0
112.0
116.0
120.0
Up
Market
Cap
ture
Ratio
(%)
-25.0 0.0 25.0 50.0 75.0 100.0 125.0
Down Market Capture Ratio (%)
Historical Statistics: October 1, 2007 To September 30, 2021
Consistency Maximum
Drawdown Alpha Active
Return
Sharpe
Ratio
Information
Ratio
Treynor
Ratio Beta Tracking
Error
PIMCO:Div Income;Inst (PDIIX)71.43 -12.94 4.73 3.79 0.86 0.60 0.09 0.75 6.30
Blmbg. Global Multiverse 0.00 -7.47 0.00 0.00 0.49 N/A 0.03 1.00 0.00
90 Day U.S. Treasury Bill 39.29 0.00 0.65 -2.75 N/A -0.49 0.00 0.01 5.66
PIMCO:Div Income;Inst (PDIIX)
Long-Term Composite Performance
As of September 30, 2021
Long-term composite performance. Actual client results may vary.
October 2007 represents the beginning of the current market cycle.
Peer Group: IM Global Fixed Income (SA+CF)
Page 47
Growth of a Dollar
Pacific Funds Floating Rate (PLFRX)S&P/LSTA Leveraged Loan Index
$0.30
$0.60
$0.90
$1.20
$1.50
$1.80
$2.10
10/07 7/08 4/09 1/10 10/10 7/11 4/12 1/13 10/13 7/14 4/15 1/16 10/16 7/17 4/18 1/19 10/19 7/20 9/21
$1.87
Trailing Returns
QTR YTD 1 YR 2 YR 3 YR 5 YR 7 YR 10 YR 15 YR
Pacific Funds Floating Rate (PLFRX)0.93 (91)3.85 (79)6.95 (82)3.42 (89)N/A N/A N/A N/A N/A
S&P/LSTA Leveraged Loan Index 1.11 (52)4.42 (53)8.40 (49)4.67 (30)4.14 (44)4.58 (51)4.18 (59)4.91 (67)4.60 (66)
Median 1.12 4.51 8.30 4.41 4.05 4.59 4.23 5.14 4.70
Fiscal Year Returns
FYTD FY 2020 FY 2019 FY 2018 FY 2017 FY 2016 FY 2015
Pacific Funds Floating Rate (PLFRX)6.95 (82)0.01 (68)N/A N/A N/A N/A N/A
S&P/LSTA Leveraged Loan Index 8.40 (49)1.06 (48)3.10 (67)5.19 (58)5.30 (48)5.46 (54)0.92 (86)
Median 8.30 0.86 3.53 5.40 5.26 5.60 1.94
Pacific Funds Floating Rate (PLFRX)
Long-Term Composite Performance
As of September 30, 2021
Long-term composite performance. Actual client results may vary.
October 2007 represents the beginning of the current market cycle.
Peer Group: IM U.S. Bank Loans (SA+CF)
Page 48
5 Year Rolling Percentile Ranking
0.0
25.0
50.0
75.0
100.0Return
Percentile
Rank
12/01 12/02 12/03 12/04 12/05 12/06 12/07 12/08 12/09 12/10 12/11 12/12 12/13 12/14 12/15 12/16 12/17 12/18 12/19 12/20 9/21
Risk vs Return: October 2007 to Present
Pacific Funds Floating Rate (PLFRX)S&P/LSTA Leveraged Loan Index
3.6
4.0
4.4
4.8
5.2
5.6
6.0
6.4
Ret
urn
(%)
8.0 8.5 9.0 9.5 10.0 10.5 11.0 11.5
Risk (Standard Deviation %)
Up/Down Markets: October 2007 to Present
Pacific Funds Floating Rate (PLFRX)
S&P/LSTA Leveraged Loan Index
93.0
96.0
99.0
102.0
105.0
108.0
Up
Market
Capt
ure
Rat
io
(%)
93.0 96.0 99.0 102.0 105.0 108.0
Down Market Capture Ratio (%)
Historical Statistics: October 1, 2007 To September 30, 2021
Consistency Maximum
Drawdown Alpha Active
Return
Sharpe
Ratio
Information
Ratio
Treynor
Ratio Beta Tracking
Error
Pacific Funds Floating Rate (PLFRX)N/A N/A N/A N/A N/A N/A N/A N/A N/A
S&P/LSTA Leveraged Loan Index 0.00 -29.20 0.00 0.00 0.40 N/A 0.04 1.00 0.00
90 Day U.S. Treasury Bill 21.43 0.00 0.76 -4.49 N/A -0.40 0.00 -0.01 11.11
Pacific Funds Floating Rate (PLFRX)
Long-Term Composite Performance
As of September 30, 2021
Long-term composite performance. Actual client results may vary.
October 2007 represents the beginning of the current market cycle.
Peer Group: IM U.S. Bank Loans (SA+CF)
Page 49
Growth of a Dollar
Intercontinental US REIF NCREIF Fund Index-Open End Diversified Core (EW)
$0.00
$0.50
$1.00
$1.50
$2.00
$2.50
$3.00
9/07 6/08 3/09 12/09 9/10 6/11 3/12 12/12 9/13 6/14 3/15 12/15 9/16 6/17 3/18 12/18 9/19 6/20 3/21 9/21
$2.18
$2.47
Trailing Returns
QTR YTD 1 YR 2 YR 3 YR 5 YR 7 YR 10 YR 15 YR
Intercontinental US REIF 5.86 (70)13.29 (48)13.84 (70)9.02 (31)8.78 (31)9.88 (19)10.86 (28)12.10 (29)N/A
NCREIF Fund Index-Open End Diversified Core (EW)6.96 (31)14.20 (45)15.75 (49)8.52 (43)7.73 (48)7.96 (57)9.28 (58)10.15 (60)6.51 (58)
Median 6.19 13.14 15.23 7.95 7.53 8.32 9.50 10.68 6.76
Fiscal Year Returns
FYTD FY 2020 FY 2019 FY 2018 FY 2017 FY 2016 FY 2015
Intercontinental US REIF 13.84 (70)4.41 (12)8.30 (21)11.37 (10)11.72 (6)13.07 (23)13.65 (70)
NCREIF Fund Index-Open End Diversified Core (EW)15.75 (49)1.74 (51)6.17 (67)8.82 (58)7.81 (53)10.62 (67)14.71 (58)
Median 15.23 1.74 6.80 8.98 7.88 11.26 15.32
Intercontinental US REIF
Long-Term Composite Performance
As of September 30, 2021
Long-term composite performance. Actual client results may vary.
October 2007 represents the beginning of the current market cycle.
Peer Group: IM U.S. Open End Private Real Estate (SA+CF)
Page 50
5 Year Rolling Percentile Ranking
0.0
25.0
50.0
75.0
100.0Return
Percentile
Rank
12/01 12/02 12/03 12/04 12/05 12/06 12/07 12/08 12/09 12/10 12/11 12/12 12/13 12/14 12/15 12/16 12/17 12/18 12/19 12/20 9/21
Risk vs Return: October 2007 to Present
Intercontinental US REIF
NCREIF Fund Index-Open End Diversified Core (EW)
2.0
4.0
6.0
8.0
10.0
Ret
u
rn
(%)
2.0 4.0 6.0 8.0 10.0 12.0 14.0
Risk (Standard Deviation %)
Up/Down Markets: October 2007 to Present
Intercontinental US REIF
NCREIF Fund Index-Open End Diversified Core (EW)
93.0
96.0
99.0
102.0
105.0
108.0
Up
Market
Capt
ure
Rat
io
(%)
93.0 96.0 99.0 102.0 105.0 108.0
Down Market Capture Ratio (%)
Historical Statistics: October 1, 2007 To September 30, 2021
Consistency Maximum
Drawdown Alpha Active
Return
Sharpe
Ratio
Information
Ratio
Treynor
Ratio Beta Tracking
Error
Intercontinental US REIF N/A N/A N/A N/A N/A N/A N/A N/A N/A
NCREIF Fund Index-Open End Diversified Core (EW)0.00 -39.11 0.00 0.00 0.69 N/A 0.05 1.00 0.00
90 Day U.S. Treasury Bill 12.50 0.00 0.71 -5.23 N/A -0.69 0.00 0.00 7.54
Intercontinental US REIF
Long-Term Composite Performance
As of September 30, 2021
Long-term composite performance. Actual client results may vary.
October 2007 represents the beginning of the current market cycle.
Peer Group: IM U.S. Open End Private Real Estate (SA+CF)
Page 51
Total Fund Policy Total Equity Policy
Domestic Equity Policy
International Equity Policy
Oct-1994
S&P 500 Index
Blmbg. U.S. Gov't/Credit
Oct-2000
Blmbg. U.S. Gov't/Credit
S&P 500 Index
Apr-2007
Bloomberg Intermed Aggregate Index
S&P 500 Index
Apr-2010
S&P 500 Index
Blmbg. U.S. Aggregate Index
MSCI EAFE Index
Aug-2014
Russell 3000 Index
Bloomberg Intermed Aggregate Index
MSCI AC World ex USA
Blmbg. Global Multiverse
Jan-2015
Russell 3000 Index
Bloomberg Intermed Aggregate Index
MSCI AC World ex USA
Blmbg. Global Multiverse
NCREIF Fund Index-Open End Diversified Core (EW)
Oct-2018
Russell 3000 Index
MSCI AC World ex USA
Bloomberg Intermed Aggregate Index
Blmbg. Global Multiverse
S&P/LSTA Leveraged Loan Index
NCREIF Fund Index-Open End Diversified Core (EW)
Jul-2021
Russell 3000 Index
MSCI AC World ex USA
Bloomberg Intermed Aggregate Index
Blmbg. Global Multiverse
S&P/LSTA Leveraged Loan Index
NCREIF Fund Index-Open End Diversified Core (EW)
CPI + 3%
Weight (%)
Oct-1994
S&P 500 Index 100.00
Apr-2010
S&P 500 Index 75.00
MSCI EAFE Index 25.00
Aug-2014
Russell 3000 Index 75.00
MSCI AC World ex USA 25.00
Weight (%)
Oct-1994
S&P 500 Index 100.00
Aug-2014
Russell 3000 Index 100.00
Weight (%)
Apr-2010
MSCI EAFE Index 100.00
Aug-2014
MSCI AC World ex USA 100.00
Crestview Police Officers' and Firefighters' Retirement Plan
Investment Policies Benchmark History
As of September 30, 2021
Page 52
Total Fixed Policy
Domestic Fixed Policy Non-Core Fixed Policy
Weight (%)
Oct-1994
Blmbg. U.S. Gov't/Credit 100.00
Apr-2007
Bloomberg Intermed Aggregate Index 100.00
Apr-2010
Blmbg. U.S. Aggregate Index 100.00
Aug-2014
Bloomberg Intermed Aggregate Index 83.00
Blmbg. Global Multiverse 17.00
Oct-2018
Bloomberg Intermed Aggregate Index 83.00
Blmbg. Global Multiverse 8.50
S&P/LSTA Leveraged Loan Index 8.50
Weight (%)
Oct-1994
Blmbg. U.S. Gov't/Credit 100.00
Apr-2007
Bloomberg Intermed Aggregate Index 100.00
Apr-2010
Blmbg. U.S. Aggregate Index 100.00
Aug-2014
Bloomberg Intermed Aggregate Index 100.00
Weight (%)
Jan-1999
Blmbg. Global Multiverse 100.00
Oct-2018
Blmbg. Global Multiverse 50.00
S&P/LSTA Leveraged Loan Index 50.00
Crestview Police Officers' and Firefighters' Retirement Plan
Investment Policies Benchmark History
As of September 30, 2021
Page 53
Crestview Police Officers' and Firefighters' Pension Fund
Compliance Checklist
As of September 30, 2021
Total Fund Compliance:Yes No N/A
1. The Total Plan return equaled or exceeded the Net 7.25% actuarial earnings assumption over the trailing three year period.
2. The Total Plan return equaled or exceeded the Net 7.25% actuarial earnings assumption over the trailing five year period.
3. The Total Plan return equaled or exceeded the total plan benchmark over the trailing three year period.
4. The Total Plan return equaled or exceeded the total plan benchmark over the trailing five year period.
5. The Total Plan return ranked within the top 40th percentile of its peer group over the trailing three year period.
6. The Total Plan return ranked within the top 40th percentile of its peer group over the trailing five year period.
Equity Compliance:Yes No N/A
1. Total Domestic Equity return equaled or exceeded the benchmark over the trailing three year period.
2. Total Domestic Equity return equaled or exceeded the benchmark over the trailing five year period.
3. Total Domestic Equity return ranked within the top 40th percentile of its peer group over the trailing three year period.
4. Total Domestic Equity return ranked within the top 40th percentile of its peer group over the trailing five year period.
5. Total International Equity return equaled or exceeded the benchmark over the trailing three year period.
6. Total International Equity return equaled or exceeded the benchmark over the trailing five year period.
7. Total International Equity return ranked within the top 40th percentile of its peer group over the trailing three year period.
8. Total International Equity return ranked within the top 40th percentile of its peer group over the trailing five year period.
9. Total Equity investments was less than 75% of the total plan assets at market.
10. Total foreign equity was less than 25% of the total plan assets at market.
Fixed Income Compliance:Yes No N/A
1. Total Domestic Fixed Income return equaled or exceeded the benchmark over the trailing three year period.
2. Total Domestic Fixed Income return equaled or exceeded the benchmark over the trailing five year period.
3. Total Domestic Fixed Income return ranked within the top 40th percentile of its peer group over the trailing three year period.
4. Total Domestic Fixed Income return ranked within the top 40th percentile of its peer group over the trailing five year period.
5. Total Non-Core Fixed Income return equaled or exceeded the benchmark over the trailing three year period.
6. Total Non-Core Fixed Income return equaled or exceeded the benchmark over the trailing five year period.
7. Total Non-Core Fixed Income return ranked within the top 40th percentile of its peer group over the trailing three year period.
8. Total Non-Core Fixed Income return ranked within the top 40th percentile of its peer group over the trailing five year period.
9. All fixed income has a minimum rating of BBB/Baa, 5% may fall below.
Page 54
Crestview Police Officers' and Firefighters' Pension Fund
Compliance Checklist
As of September 30, 2021
Yes No N/A Yes No N/A Yes No N/A Yes No N/A
1. Manager outperformed the index over the trailing three year period.
2. Manager outperformed the index over the trailing five year period.
3. Manager ranked within the top 40th percentile over the trailing three year period.
4. Manager ranked within the top 40th percentile over the trailing five year period.
5. Manager has had less than 4 consecutive quarters of underperformance.
6. Manager three year down market capture ratio is less than the index.
7. Manager five year down market capture ratio is less than the index.
8. Manager reports compliance with PFIA.
Yes No N/A Yes No N/A Yes No N/A Yes No N/A
1. Manager outperformed the index over the trailing three year period.
2. Manager outperformed the index over the trailing five year period.
3. Manager ranked within the top 40th percentile over the trailing three year period.
4. Manager ranked within the top 40th percentile over the trailing five year period.
5. Manager has had less than 4 consecutive quarters of underperformance.
6. Manager three year down market capture ratio is less than the index.
7. Manager five year down market capture ratio is less than the index.
8. Manager reports compliance with PFIA.
Yes No N/A Yes No N/A
1. Manager outperformed the index over the trailing three year period.
2. Manager outperformed the index over the trailing five year period.
3. Manager ranked within the top 40th percentile over the trailing three year period.
4. Manager ranked within the top 40th percentile over the trailing five year period.
5. Manager has had less than 4 consecutive quarters of underperformance.
6. Manager three year down market capture ratio is less than the index.
7. Manager five year down market capture ratio is less than the index.
8. Manager reports compliance with PFIA.
Pacific Funds (PLFRX)
Manager Compliance:Vanguard VIMAX Vanguard VTSAX Europacific RERGXDana Equity
Manager Compliance:Transamerica TSWIX Agincourt Fixed PIMCO (PDIIX)
BrookfieldManager Compliance:Intercontinental RE
Page 55
Report Statistics
Definitions and Descriptions
Active Return - Arithmetic difference between the manager’s performance and the designated benchmark return over a specified time period.
Alpha - A measure of the difference between a portfolio's actual performance and its expected return based on its level of risk as determined by beta. It determines the portfolio's
non-systemic return, or its historical performance not explained by movements of the market.
Beta - A measure of the sensitivity of a portfolio to the movements in the market. It is a measure of the portfolio's systematic risk.
Consistency - The percentage of quarters that a product achieved a rate of return higher than that of its benchmark. Higher consistency indicates the manager has contributed more to the
product’s performance.
Distributed to Paid In (DPI) - The ratio of money distributed to Limited Partners by the fund, relative to contributions. It is calculated by dividing cumulative distributions by paid in capital. This multiple
shows the investor how much money they got back. It is a good measure for evaluating a fund later in its life because there are more distributions to measure against.
Down Market Capture - The ratio of average portfolio performance over the designated benchmark during periods of negative returns. A lower value indicates better product performance
Downside Risk - A measure similar to standard deviation that utilizes only the negative movements of the return series. It is calculated by taking the standard deviation of the negative
quarterly set of returns. A higher factor is indicative of a riskier product.
Excess Return - Arithmetic difference between the manager’s performance and the risk-free return over a specified time period.
Excess Risk - A measure of the standard deviation of a portfolio's performance relative to the risk free return.
Information Ratio - This calculates the value-added contribution of the manager and is derived by dividing the active rate of return of the portfolio by the tracking error. The higher the
Information Ratio, the more the manager has added value to the portfolio.
Public Market Equivalent (PME) - Designs a set of analyses used in the Private Equity Industry to evaluate the performance of a Private Equity Fund against a public benchmark or index.
R-Squared - The percentage of a portfolio's performance that can be explained by the behavior of the appropriate benchmark. A high R-Squared means the portfolio's performance has
historically moved in the same direction as the appropriate benchmark.
Return - Compounded rate of return for the period.
Sharpe Ratio - Represents the excess rate of return over the risk free return divided by the standard deviation of the excess return. The result is an absolute rate of return per unit of risk. A
higher value demonstrates better historical risk-adjusted performance.
Standard Deviation - A statistical measure of the range of a portfolio's performance. It represents the variability of returns around the average return over a specified time period.
Total Value to Paid In (TVPI) - The ratio of the current value of remaining investments within a fund, plus the total value of all distributions to date, relative to the total amount of capital paid into the fund
to date. It is a good measure of performance before the end of a fund’s life
Tracking Error - This is a measure of the standard deviation of a portfolio's returns in relation to the performance of its designated market benchmark.
Treynor Ratio - Similar to Sharpe ratio but utilizes beta rather than excess risk as determined by standard deviation. It is calculated by taking the excess rate of return above the risk free
rate divided by beta to derive the absolute rate of return per unit of risk. A higher value indicates a product has achieved better historical risk-adjusted performance.
Up Market Capture - The ratio of average portfolio performance over the designated benchmark during periods of positive returns. A higher value indicates better product performance.
Page 56
Disclosures
AndCo compiled this report for the sole use of the client for which it was prepared. AndCo is responsible for evaluating the performance results of the Total Fund along with the investment advisors by comparing
their performance with indices and other related peer universe data that is deemed appropriate. AndCo uses the results from this evaluation to make observations and recommendations to the client.
AndCo uses time-weighted calculations which are founded on standards recommended by the CFA Institute. The calculations and values shown are based on information that is received from custodians. AndCo
analyzes transactions as indicated on the custodian statements and reviews the custodial market values of the portfolio. As a result, this provides AndCo with a reasonable basis that the investment information
presented is free from material misstatement. This methodology of evaluating and measuring performance provides AndCo with a practical foundation for our observations and recommendations. Nothing came to
our attention that would cause AndCo to believe that the information presented is significantly misstated.
This performance report is based on data obtained by the client’s custodian(s), investment fund administrator, or other sources believed to be reliable. While these sources are believed to be reliable, the data
providers are responsible for the accuracy and completeness of their statements. Clients are encouraged to compare the records of their custodian(s) to ensure this report fairly and accurately reflects their various
asset positions.
The strategies listed may not be suitable for all investors. We believe the information provided here is reliable, but do not warrant its accuracy or completeness. Past performance is not an indication of future
performance. Any information contained in this report is for informational purposes only and should not be construed to be an offer to buy or sell any securities, investment consulting, or investment management
services.
Additional information included in this document may contain data provided by from index databases, public economic sources and the managers themselves.
This document may contain data provided by Bloomberg Barclays. Bloomberg Barclays Index data provided by way of Barclays Live.
This document may contain data provided by Standard and Poor’s. Nothing contained within any document, advertisement or presentation from S&P Indices constitutes an offer of services in jurisdictions where
S&P Indices does not have the necessary licenses. All information provided by S&P Indices is impersonal and is not tailored to the needs of any person, entity or group of persons. Any returns or performance
provided within any document is provided for illustrative purposes only and does not demonstrate actual performance. Past performance is not a guarantee of future investment results.
This document may contain data provided by MSCI, Inc. Copyright MSCI, 2017. Unpublished. All Rights Reserved. This information may only be used for your internal use, may not be reproduced or
redisseminated in any form and may not be used to create any financial instruments or products or any indices. This information is provided on an “as is” basis and the user of this information assumes the entire
risk of any use it may make or permit to be made of this information. Neither MSCI, any of its affiliates or any other person involved in or related to compiling, computing or creating this information makes any
express or implied warranties or representations with respect to such information or the results to be obtained by the use thereof, and MSCI, its affiliates and each such other person hereby expressly disclaim all
warranties (including, without limitation, all warranties of originality, accuracy, completeness, timeliness, non-infringement, merchantability and fitness for a particular purpose) with respect to this information.
Without limiting any of the foregoing, in no event shall MSCI, any of its affiliates or any other person involved in or related to compiling, computing or creating this information have any liability for any direct, indirect,
special, incidental, punitive, consequential or any other damages (including, without limitation, lost profits) even if notified of, or if it might otherwise have anticipated, the possibility of such damages.
This document may contain data provided by Russell Investment Group. Russell Investment Group is the source owner of the data contained or reflected in this material and all trademarks and copyrights related
thereto. The material may contain confidential information and unauthorized use, disclosure, copying, dissemination or redistribution is strictly prohibited. This is a user presentation of the data. Russell Investment
Group is not responsible for the formatting or configuration of this material or for any inaccuracy in presentation thereof.
This document may contain data provided by Morningstar. All rights reserved. Use of this content requires expert knowledge. It is to be used by specialist institutions only. The information contained herein: (1) is
proprietary to Morningstar and/or its content providers; (2) may not be copied, adapted or distributed; and (3) is not warranted to be accurate, complete or timely. Neither Morningstar nor its content providers are
responsible for any damages or losses arising from any use of this information, except where such damages or losses cannot be limited or excluded by law in your jurisdiction. Past financial performance is not
guarantee of future results.
Page 57
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