HomeMy Public PortalAbout2011 2nd Quarter ReportInvestment Performance AnalysisAugust 2011Kristin Finney-Cooke, CAIA, Senior ConsultantMichael J. Valchine, CAIA, ConsultantMetropolitan St. Louis Sewer District
Table of ContentsMarket Commentary & Update 3Executive Summary 17Investment Performance Analysis 33Page2
Market Commentary & Update
" T h e s e c o n d q u a r t e r o f 2 0 1 1 w a s d o m i n a t e d b y m a c r o - e c o n o m i c c o n c e r n s i n c l u d i n g : S l o w i n g g r o w t h a n d h i g h u n e m p l o y m e n t i n t h e U S T h e e n d o f m o n e t a r y s t i m u l u s ( Q E 2 ) T h e i m p e n d i n g U S d e b t c e i l i n g T h e r o l l i n g p e r i p h e r a l E u r o p e a n d e b t c r i s i s E l e v a t e d c o m m o d i t i e s p r i c e s " A s a r e s u l t , e q u i t y m a r k e t s p r o d u c e d t e p i d ( a l b e i t v o l a t i l e ) r e t u r n s w h i l e b o n d m a r k e t s p o s t e d p o s i t i v e r e s u l t s a s i n t e r e s t r a t e s f e l l " I n t h i s h i g h l y u n c e r t a i n e n v i r o n m e n t , w h i l e w e d o n o t b e l i e v e i m m e d i a t e r i s k - r e d u c t i o n n e e d s t o b e p u r s u e d , a r i s k - b a l a n c e d a p p r o a c h t o a s s e t a l l o c a t i o n r e m a i n s p a r a m o u n t W e e x p e c t t h e U S d e b t c e i l i n g t o b e a d d r e s s e d b e f o r e c a t a l y z i n g a d e f a u l t T h e G r e e k d e b t c r i s i s a p p e a r s t o h a v e b e e n h a n d l e d i n t h e s h o r t - t e r m K e y m a r k e t F e a r i n d i c a t o r s s u c h a s t h e V I X a r e n o t f l a s h i n g r e d N e v e r t h e l e s s , g l o b a l i m b a l a n c e s a r e s e l d o m r e s o l v e d g r a d u a l l y & f u t u r e v o l a t i l i t y s p i k e s r e m a i n l i k e l y " F i n a l l y , o p p o r t u n i t i e s f o r h i g h e r r i s k - a d j u s t e d r e t u r n s e x i s t i n p o c k e t s o f t h e c a p i t a l m a r k e t s : B y i n c r e a s i n g e x p o s u r e t o e m e r g i n g m a r k e t s d e b t a n d e q u i t y B y t a k i n g o n r e a s o n a b l e e x p o s u r e t o i l l i q u i d i t y ( e s p e c i a l l y d i s t r e s s e d ) B y s e e k i n g a c t i v e r e t u r n s f r o m s t r a t e g i e s t h a t c a n t a k e a d v a n t a g e o f m a c r o - d r i v e n e v e n t s B y c o n s i d e r i n g l e s s d i r e c t i o n a l a p p r o a c h e s t o p o r t f o l i o s t r u c t u r i n g , i . e . e q u i t y l o n g s h o r t a s e q u i t y s u b s t i t u t e S e c o n d Q u a r t e r 2 0 1 1 N E P C O b s e r v a t i o n s a n d O p p o r t u n i t i e s 4
6/30/2011Market Environment - OverviewQtr. Ytd1 Yr.3 Yr.5 Yr.10 Yr.World Equity BenchmarksMSCI World World 0.5% 5.3% 30.5% 0.5% 2.3% 4.0%Qtr. Ytd1 Yr.3 Yr.5 Yr.10 Yr.Domestic Equity BenchmarksS&P 500 Large Core 0.1% 6.0% 30.7% 3.3% 2.9% 2.7%Russell 1000 Large Core 0.1% 6.4% 31.9% 3.7% 3.3% 3.2%Russell 1000 Growth Large Growth 0.8% 6.8% 35.0% 5.0% 5.3% 2.2%Russell 1000 Value Large Value-0.5%5.9% 28.9% 2.3% 1.2% 4.0%S&P Mid Cap 400 Mid Core-0.7%8.6% 39.4% 7.8% 6.6% 7.9%Russell 2000 Small Core-1.6%6.2% 37.4% 7.8% 4.1% 6.3%Russell 2000 Growth Small Growth-0.6%8.6% 43.5% 8.4% 5.8% 4.6%Russell 2000 Value Small Value-2.6%3.8% 31.4% 7.1% 2.2% 7.5%NAREIT All Composite REIT 2.9% 10.1% 33.1% 5.7% 1.7% 10.0%Qtr. Ytd1 Yr.3 Yr.5 Yr.10 Yr.International Equity BenchmarksMSCI EAFE Int'l Developed 1.6% 5.0% 30.4%-1.8%1.5% 5.7%MSCI EME Em. Mkt. Eqty. -1.1%0.9% 27.8% 4.2% 11.4% 16.2%MSCI ACWI ex US International 0.4% 3.8% 29.7%-0.3%3.7% 7.5%S&P EPAC SmallCap Small Cap Int'l 2.0% 6.4% 37.3% 2.3% 3.7% 10.4%Qtr. Ytd1 Yr.3 Yr.5 Yr.10 Yr.Domestic Fixed Income BenchmarksBarclays Aggregate Core Bonds 2.3% 2.7% 3.9% 6.5% 6.5% 5.7%Barclays High Yield High Yield 1.1% 5.0% 15.6% 12.7% 9.3% 9.0%Barclays 1-10 Muni. Municipal Bond 2.5% 3.2% 3.7% 5.5% 5.2% 4.6%Barclays 1-10 TIPS Inflation 3.0% 5.4% 7.5% 4.6% 6.5% 6.4%90 Day T-Bill Cash 0.0% 0.1% 0.2% 0.4% 2.0% 2.1%Qtr. Ytd1 Yr.3 Yr.5 Yr.10 Yr.Global Fixed Income BenchmarksCitigroup World Govt Bond Global Bonds 3.3% 4.0% 10.5% 5.8% 7.3% 7.9%J.P. Morgan EMBI Plus Em. Mkt. Bonds 0.7% 5.0% 8.7% 8.4% 8.2% 10.4%Qtr. Ytd1 Yr.3 Yr.5 Yr.10 Yr.Diversified BenchmarkBalanced Index * Diversified 1.0% 5.1% 23.3% 4.8% 4.6% 5.7%Qtr. Ytd1 Yr.3 Yr.5 Yr.10 Yr.Alternative BenchmarksDJ UBS Commodity Index Commodities-6.7% -2.6%25.9%-11.9% -0.1%6.6%NCREIF Property Index Real Estate n/a n/a n/a n/a n/a n/aHFRI Fund of Funds Hedge Fund of Funds-1.2% -0.3%6.6%-1.8%1.5% 3.9%CS Tremont Composite All Hedge Funds-0.6%1.6% 12.1% 2.5% 5.5% 7.1%CS Tremont Event Driven Event Driven-1.7%1.3% 12.1% 4.6% 6.6% 8.7%CS Tremont Long-Short Long-Short-1.5%0.8% 13.8% 2.0% 5.5% 6.8%CS Tremont Market Neutral Market Neutral 2.0% 5.5% 9.6%-14.5% -5.9%0.5%* 35% LC, 10% SC, 12% Int'l, 3% Emerging, 25% FI, 5% HY, 5% Global FI, 5% REITS5
6/30/2011Economic Environment6
6/30/2011Components of U.S. GDP7
6/30/2011Key Economic Indicators8
6/30/2011Economic Environment9
Market Summary10Source: ICC
Domestic Equity11Source: ICC
International Equity12Source: ICC
Emerging Equity13Source: ICC
Currency Markets & Yield Curve14Source: ICC
Bond Markets15Source: ICC
2011SectorIndex2004200520062007200820092010JanFebMarQTR 1AprMayJunQTR 22011REITS Wilshire REIT 33.2% 13.8% 36.0%-17.6% -39.2%28.6% 28.6% 3.5% 4.6%-1.4%6.7% 5.8% 1.6%-3.4%3.9% 10.9%SC Growth R2000 Growth 14.3% 4.1% 13.4% 7.1%-38.5%34.5% 29.1%-0.6%5.9% 3.8% 9.2% 3.6%-2.0% -2.1% -0.6%8.6%SMid Cap R2500 18.3% 8.1% 16.2% 1.4%-36.8%34.4% 26.7% 1.3% 4.9% 2.3% 8.7% 2.9%-1.2% -2.2% -0.6%8.1%LC Growth R1000 Growth 6.3% 5.3% 9.1% 11.8%-38.4%37.2% 16.7% 2.5% 3.3% 0.1% 6.0% 3.4%-1.1% -1.4%0.8% 6.8%Large CapRussell 1000 11.4% 6.3% 15.5% 5.8%-37.6%28.4% 16.1% 2.4% 3.5% 0.3% 6.2% 3.0%-1.1% -1.8%0.1% 6.4%Small Cap Russell 2000 18.3% 4.6% 18.4%-1.6% -33.8%27.2% 26.9%-0.3%5.5% 2.6% 7.9% 2.6%-1.9% -2.3% -1.6%6.2%S&P 500 S&P 500 10.9% 4.9% 15.8% 5.5%-37.0%26.5% 15.1% 2.4% 3.4% 0.0% 5.9% 3.0%-1.1% -1.7%0.1% 6.0%LC Value R1000 Value 16.5% 7.1% 22.3%-0.2% -36.8%19.7% 15.5% 2.3% 3.7% 0.4% 6.5% 2.7%-1.1% -2.1% -0.5%5.9%Emerging FI BC Emerging ($US) 11.9% 12.3% 10.0% 5.2%-14.8%34.2% 12.8%-0.3%0.5% 1.4% 1.6% 1.4% 1.3% 0.7% 3.4% 5.0%Intl. Dev. EAFE (net) 20.3% 13.5% 26.3% 11.2%-43.4%31.8% 7.8% 2.4% 3.3%-2.2%3.4% 6.0%-3.0% -1.3%1.6% 5.0%High Yield BC HY 11.1% 2.7% 11.9% 1.9%-26.2%58.2% 15.1% 2.2% 1.3% 0.3% 3.9% 1.6% 0.5%-1.0%1.1% 5.0%BalancedDiversified* 12.8% 6.4% 15.2% 5.9%-26.9%24.8% 14.4% 1.3% 2.5% 0.2% 3.9% 2.9%-0.6% -1.3%1.0% 4.9%Muni BondsBC Muni (unadj) 4.5% 3.5% 4.8% 3.4%-2.5%12.9% 2.4%-0.7%1.6%-0.3%0.5% 1.8% 1.7% 0.4% 3.9% 4.4%Global FI Citigroup WGBI 10.4%-6.9%6.1% 11.0% 10.9% 2.6% 5.2%-0.0%0.4% 0.3% 0.7% 3.2%-0.1%0.2% 3.3% 4.0%SC Value R2000 Value 22.3% 4.7% 23.5%-9.8% -28.9%20.6% 24.5% 0.1% 5.1% 1.4% 6.6% 1.6%-1.8% -2.5% -2.7%3.8%Core FI BC Aggregate 4.3% 2.4% 4.3% 7.0% 5.2% 5.9% 6.5% 0.1% 0.3% 0.1% 0.4% 1.3% 1.3%-0.3%2.3% 2.7%Intl. Emerging EM (net) 25.6% 34.0% 32.2% 39.4%-53.3%78.5% 18.9%-2.7% -0.9%5.9% 2.1% 3.1%-2.6% -1.5% -1.1%0.9%CommoditiesDJ UBS Commodity 9.2% 21.4% 2.1% 16.2%-35.7%18.9% 16.8% 1.0% 1.3% 2.1% 4.4% 3.5%-5.1% -5.0% -6.7% -2.6%* 35% LC, 10% SC, 12% Intl, 3% Emerging, 25% FI, 5% HY, 5% Global FI, 5% REITSPERFORMANCE THRU 6/30/20116/30/2011Investment Market Update: Multiple SectorsJune 30 Market Update Sources: Lehman Live, Bloomberg, Wilshire16
Executive Summary
" A s s e t G r o w t h a n d A l l o c a t i o n A t q u a r t e r e n d , t h e a s s e t s i n t h e F u n d t o t a l e d a p p r o x i m a t e l y $ 2 0 7 . 7 m i l l i o n , a n i n c r e a s e o f $ 5 . 3 m i l l i o n o v e r t h e q u a r t e r , r e f l e c t i n g i n v e s t m e n t g a i n s o f $ 2 . 6 m i l l i o n a n d n e t i n f l o w s o f $ 2 . 6 m i l l i o n . T h e F u n d s a l l o c a t i o n t o e q u i t i e s w a s 5 5 . 0 % a t t h e e n d o f t h e q u a r t e r ( i n c l u d i n g e q u i t y a l l o c a t i o n s o f G M O a n d P I M C O A l l A s s e t ) , w e l l b e l o w t h e m e d i a n p u b l i c f u n d s a l l o c a t i o n t o e q u i t i e s o f 5 5 . 8 % . T h e F u n d s e q u i t y c o m m i t m e n t r a n k e d i n t h e 5 0 t h p e r c e n t i l e o f t h e p u b l i c f u n d s u n i v e r s e * . " P e r f o r m a n c e T h e F u n d p o s t e d a 1 . 4 % r e t u r n i n t h e q u a r t e r , r a n k i n g i n t h e 3 9 t h p e r c e n t i l e o f p u b l i c f u n d s , n a t i o n w i d e . " A c t i v e m a n a g e m e n t a d d e d 3 0 b p s F o r t h e o n e - y e a r p e r i o d e n d i n g J u n e 2 0 1 1 , t h e F u n d p o s t e d a r e t u r n o f 1 9 . 8 % , r a n k i n g i n t h e 6 8 t h p e r c e n t i l e o f p u b l i c f u n d s . " A c t i v e m a n a g e m e n t a d d e d 1 2 0 b p s F o r t h e t h r e e - y e a r p e r i o d , p e r f o r m a n c e w a s 5 . 7 % , w h i c h r a n k e d i n t h e 2 4 t h p e r c e n t i l e o f p u b l i c f u n d s . T h e f i v e - y e a r r e t u r n o f 6 . 5 % r a n k e d i n t h e 6 t h p e r c e n t i l e . " O v e r t h e a b o v e t i m e p e r i o d s , t h e c o m p o s i t e , p o l i c y i n d e x a n d a l l o c a t i o n i n d e x h a v e o u t p e r f o r m e d t h e m e d i a n p u b l i c f u n d ; a d d i t i o n a l l y , a c t i v e m a n a g e m e n t h a s a d d e d v a l u e " H i g h e r r e l a t i v e r e t u r n s w e r e e a r n e d w i t h l o w e r l e v e l s o f r i s k t h a n t h e m e d i a n p u b l i c f u n d o v e r t h e t h r e e - a n d f i v e - y e a r p e r i o d s . E x e c u t i v e S u m m a r y T o t a l F u n d * A s o f J u n e 3 0 , 2 0 1 1 t h e p u b l i c f u n d s u n i v e r s e i n c l u d e d 1 7 5 f u n d s w i t h a s s e t s o f a p p r o x i m a t e l y $ 1 . 1 t r i l l i o n . 1 8
Total Fund Asset Growth Summary19
Performance20
Performance – Public Funds Universe21
Performance Contd. – Public Funds Universe22*The above data is for trailing one-year periods
Three Year Risk vs. Return – Public Funds UniverseComposite23
Five Year Risk vs. Return – Public Funds UniverseComposite24
Manager Executive Summary25
Manager Executive Summary Contd.26
Change in Investment Process•Buford, Dickson, Harper and Sparrow went live with an enhanced investment process on July 1, 2010. After a review of 2007 and 2009, performance years with the largest variance, the investment team identified characteristics that had positive contributions during those periods resulting in the following changes to the investment process:•Added additional metrics to the Fundamental Ranking step–Consistency of positive earnings surprises–Duration and volatility of the current growth rate•Added P/E growth ratio to the Valuation Ranking step•Added a Technical Analysis/Technical Ranking step–This step was not included previously. This step seeks to analyze trends based on metrics such as: moving averages, volume etc. over five-years, one-year and six month price charts•Added a Final Ranking step–Combines the Fundamental, Valuation and Technical rankings. The top ranked ten potential stocks move on for further consideration. Current holdings are put through the same four ranking steps and compared to the top ten potential stocks for inclusion to the portfolioNEPC Assessment•NEPC considers any changes to the investment process as a significant event. We will continue to monitor affects of these changes to the process and overall performance of the strategy going forward. Manager Update – BDH&S27
Organizational Change•Effective June 30, 2011, Brad Hilsabeck was named GMO's CEO and a member of the board of directors - succeeding Mark Mayer.–Mr. Mayer and the board reached a mutual decision for him to step down as CEO after 2 years. This appears to be driven by cultural/relationship challenges as opposed to failure to meet business objectives.•Mr. Hilsabeck has been the Head of Global Distribution since 2003, partner since 2005, and a member of GMO's Executive Committee.NEPC Assessment•NEPC has reviewed this position and recommends “No Action.”–Given Hilsabeck’s role in the firm since 2003, we view this as a non-event from an investment perspective and we are hopeful that by filling the CEO position with an internal candidate, some of the cultural challenges that were occurring are eliminated going forward. We will continue to monitor and follow-up with individual investment teams as we have meetings over the next few months.Manager Update – GMO28
Total Fund Asset AllocationTarget Asset AllocationNote: Totals include manager cash; totals may not add to 100% due to rounding29Equities40.3%Equities38.0%Fixed Income29.9%Fixed Income33.0%Alts19.9%Alts19.0%Actual Asset Allocation
Asset Allocation History30
Commitment To Equity – Public Funds Universe31
Actual vs. Policy Weights32Note: Totals may not add to 100% due to rounding. Asset ClassTargetAllocationActualAllocationVariancefrom TargetEquity 38.0% 40.3% 2.3%Large Cap Equity 20.0% 20.5% 0.5%Small Cap Equity 5.0% 6.6% 1.6%International Equity 10.0% 9.9% -0.1%Emerging Markets Equity 3.0% 3.3% 0.3%Fixed Income 33.0% 29.9% -3.1%Core Fixed Income 15.0% 14.2% -0.8%High Yield 5.0% 5.6% 0.6%Global Bonds 8.0% 8.2% 0.2%Credit Opportunity 5.0% 1.9% -3.1%GTAA 10.0% 9.9% -0.1%Real Assets 10.0% 8.8% -1.2%Absolute Return 4.0% 5.9% 1.9%Market Neutral 5.0% 4.6% -0.4%Cash 0.0% 0.5% 0.5%Total 100.0% 100.0%
Investment Performance Analysis
Manager Allocation34
Performance Summary35
Performance Summary Continued36
Performance Summary Continued37
Performance Summary Continued38
Domestic Equity - Vanguard Institutional Fund39Equity Sector DiversificationVanguard InstitutionalRussell 1000 Value Consumer Discretionary 10.6 10.6Consumer Staples 10.6 10.6Energy 12.7 12.7Financials 15.1 15.1Health Care 11.7 11.7Industrials 11.3 11.3Information Tech 17.8 17.8Materials 3.7 3.7Telecom 3.1 3.1Utilities 3.4 3.4‐10‐5051015202530Consumer
Discretionary
Consumer Staples
Energy
Financials
Health Care
Industrials
Information Tech
Materials
Telecom
Utilities
Windsor II Fund 6/30/2011Windsor II Fund 6/30/2010Top 10 HoldingsExxon MobilApple IncInt'l Business MachinesChevronGeneral ElectricMicrosoft CorpAT&TJohnson & JohnsonProctor & GamblePfizerTen Largest Holdings = 18.4% total net assetsSource: Vanguard
Domestic Equity - Vanguard Windsor II40Equity CharacteristicsWindsor II Fund Russell 1000 Value Number of Stocks 264 656Median Market Cap $49.4 billion $38.2 billionP/E 13.7x 14.8xP/B 1.9x 1.5xReturn on Equity 19.50% 13.60%Earnings Growth Rate 1.70% 0.40%Foreign Holdings 6.40%‐10‐5051015202530Consumer
Discretionary
Consumer Staples
Energy
Financials
Health Care
Industrials
Information Tech
Materials
Telecom
Utilities
Windsor II Fund 6/30/2011Windsor II Fund 6/30/2010Top 10 HoldingsConoco PhillipsInt'l Business MachinesPfizerJPMorganMicrosoftWells FargoPhilip MorrisOccidental PetroleumIntel CorpRaytheonTen Largest Holdings = 26.1% total net assetsSource: Vanguard
Domestic Equity – BDH & S41Source: BDH&S
Domestic Equity - Waddell & Reed42Source: Waddell & Reed
Domestic Equity - Kennedy43Source: Kennedy
Domestic Equity - Times Square44‐10‐5051015202530Consumer
Discretionary
Consumer Staples
Energy
Financials
Health Care
Industrials
Information TechMaterialsTelecomUtilities
Windsor II Fund 6/30/2011Windsor II Fund 6/30/2010Source: Times Square
0510152025Weight %Morgan Stanley MSCI EAFEPrice / Sales 1.00 0.93Price / Earnings 12.13 11.36Price / Cash Flow 4.81 4.01Price / Book 1.69 1.42Dividend Yield 3.55 3.16CharacteristicsSector Weights3Yr. Risk vs. Return (Developed Int’l)Country AllocationInternational Equity - Morgan Stanley-13-11-9-7-5-3-113570 102030405060ReturnStd Dev.Morgan Stanley Int'lMSCI EAFE (NET)45Morgan StanleyAmericas 2.46United Kingdom 33.80Europe Developed 33.71Japan 25.79Asia ex. Japan 4.23
CharacteristicsTop 10 Holdings3Yr. Risk vs. Return (Emerging Markets)Country AllocationInternational Equity - Morgan Stanley Emerging Equity-8-6-4-202468101215 25 35 45 55ReturnStd Dev.Morgan Stanley EMMSCI EMERGING MARKETS (NET)46Morgan StanleyMSCI EM FreePrice / Sales 1.19 1.08Price / Earnings 13.09 11.46Price / Book 2.09 1.74Price / Cash Flow 5.56 4.20Morgan StanleyMSCI EM FreeSAMSUNG ELECTRONICS CO 2.8 2.7LUKOIL HOLDING 2.6 0.9AMERICA MOVIL SAB DE CV 2.5 1.5PETROLEO BRASILEIRO SA 1.9 3.4VALE SA 1.7 2.8SBERBANK OF RUSSIA 1.7 0.9NASPERS LTD 1.6 0.6ITAU UNIBANCO MULTIPL 1.6 1.4CHINA CONTSRUCTION BANK 1.5 1.1TAIWAN SEMICONDUCTOR MFG 1.4 1.5SAMSUNG ELECTRONICS CO 2.8 2.7LUKOIL HOLDING 2.6 0.9Morgan StanleyMSCI EM FreeASIA53.6 57.6EMERGING EURO. M. EAST, AFRICA23.5 19.0LATIN AMERICA19.0 23.3CASH2.9 0.0OTHER 1.0 0.0
CharacteristicsAverage Maturity % HeldCredit DistrutionDistribution AnalysisDomestic Fixed Income (High Yield) – Penn Capital4705101520253035404550
Global Fixed Income - Brandywine48Source: Brandywine
Domestic Fixed Income – Income Research49Source: Income Research
Loomis, Sayles & Company – Credit Asset Trust50Top 10 HoldingsUS Dollar USD 6.85MEG Energy Corp 1.35Visant TLB 1.25Harbor Freight 1.24Rowan Companies 1.22CoreLogic 1.13Pride Int'l 1.04ILFC TL 0.98Montpelier RE Holdings 0.94A Surion Corp 0.91Source: Loomis
Absolute Return – PIMCO All Asset FundSource: PIMCO51
Asset AllocationTop 10 HoldingsRisk ProfileTactical Asset Allocation - GMO Global Balanced52Source: GMOMicrosoft Corp. 2.7%Johnson & Johnson 2.6%Oracle Corp. 2.1%Philip Morris International Inc. 2.1%Pfizer Inc. 2.0%GlaxoSmithKline PLC 1.9%Cisco Systems Inc. 1.9%Nestle S.A. 1.8%Coca-Cola Co. 1.8%Wal-Mart Stores Inc. 1.6%Total S.A. 1.6%Sanofi-Aventis S.A. 1.5%Exxon Mobil Corp. 1.5%Apple Inc. 1.4%Royal Dutch Shell PLC 1.4%
Portfolio CharacteristicsSector Allocation Market Neutral - PyramisSource: Pyramis53
Real Estate – UBS Trumbull Property FundSource: UBS54
Wellington Diversified Inflation Hedges55Source: Wellington
" N E P C u s e s , a s i t s d a t a s o u r c e , t h e p l a n s c u s t o d i a n b a n k o r f u n d s e r v i c e c o m p a n y , a n d N E P C r e l i e s o n t h o s e s o u r c e s f o r s e c u r i t y p r i c i n g , c a l c u l a t i o n o f a c c r u a l s , a n d a l l t r a n s a c t i o n s , i n c l u d i n g i n c o m e p a y m e n t s , s p l i t s , a n d d i s t r i b u t i o n s . W h i l e N E P C h a s e x e r c i s e d r e a s o n a b l e p r o f e s s i o n a l c a r e i n p r e p a r i n g t h i s r e p o r t , w e c a n n o t g u a r a n t e e t h e a c c u r a c y o f a l l s o u r c e i n f o r m a t i o n c o n t a i n e d w i t h i n . " T h e I n v e s t m e n t P e r f o r m a n c e A n a l y s i s ( I P A ) i s p r o v i d e d a s a m a n a g e m e n t a i d f o r t h e c l i e n t s i n t e r n a l u s e o n l y . P o r t f o l i o p e r f o r m a n c e r e p o r t e d i n t h e I P A d o e s n o t c o n s t i t u t e a r e c o m m e n d a t i o n b y N E P C . " I n f o r m a t i o n i n t h i s r e p o r t o n m a r k e t i n d i c e s a n d s e c u r i t y c h a r a c t e r i s t i c s i s r e c e i v e d f r o m s o u r c e s e x t e r n a l t o N E P C . W h i l e e f f o r t s a r e m a d e t o e n s u r e t h a t t h i s e x t e r n a l d a t a i s a c c u r a t e , N E P C c a n n o t a c c e p t r e s p o n s i b i l i t y f o r e r r o r s t h a t m a y o c c u r . " S & P I n d e x d a t a i s p r o v i d e d c o u r t e s y o f S t a n d a r d & P o o r s F i n a n c i a l S e r v i c e s L L C . I n f o r m a t i o n D i s c l o s u r e 5 6