HomeMy Public PortalAbout2013 3rd Quarter ReportMetropolitan St. Louis Sewer District Pension Plan
3rd Quarter 2013 Performance Review
1 Performance Summary 1
2 Asset Class Diversification 17
3 Manager Evaluation 23
4 Calendar Year Performance 65
5 Capital Markets Review 67
6 Appendix 75
Table of Contents
Performance Summary
1
Performance Summary - September 2013
During the third quarter, the Metropolitan St. Louis Sewer District Pension Plan gained 4.1%, trailing the Policy Benchmark return by 30 basis
points. Over the trailing one-year period, the Plan returned 8.7%, trailing the Policy Benchmark return by 110 basis points. The third quarter
performance reflected strong global equity markets and modest results in global fixed income markets. Alternative strategies, while adding
diversification benefits, underperformed the strong equity markets.
Asset Class Diversification
The actual asset allocation was within investment policy targets. The modest overweight in equities and underweight in fixed income and
alternative strategies had a favorable effect on the Plan’s performance during the third quarter.
Manager Evaluation
Third quarter performance was adversely affected by following managers that notably trailed their benchmarks: Holland Capital, Morgan Stanley
International Equity, Morgan Stanley Emerging Markets, Brandywine Global Opportunistic Fixed Income, and Pictet Emerging Local Currency
Debt. The third quarter performance was positively affected by the following managers that notably exceeded their benchmarks: T. Rowe Price
Large Cap Growth, TimeSquare Small Cap Growth, Pryamis Market Neutral and PIMCO All Assets. Detailed analysis can be found in the Manager
Evaluation section of the report.
Capital Markets Review
Global equity markets experienced strong gains in a risk-on, risk-off third quarter where markets were driven by government policies and
geopolitical news rather than corporate fundamentals. Growth companies significantly outpaced value companies among domestic stocks, while
value companies outperformed growth companies among non-U.S. indices. From a capitalization perspective, both small- and mid-cap indices
outperformed their large-cap counterparts with small-cap advancing the most. In fixed income markets interest rates moved up significantly during
the summer months only to fall again in September following the Federal Reserve’s surprise decision to postpone tapering of bond purchases.
Expectations for rate increases remain modest, especially at the long end of the curve given the low inflation outlook and high unemployment.
Recommendations or Action Items
No recommendations at this time. Pavilion is working on an asset allocation study and investment structure review to be presented at the February
2014 Finance Committee Meeting.
Pension Plan Executive Summary
2
Total Composite Policy Benchmark
0.0
1.0
2.0
3.0
4.0
5.0
6.0
7.0
8.0
9.0
10.0
11.0
12.0
13.0
13.5
Return (%)Quarter Year
To
Date
1
Year
3
Years
5
Years
10
Years
Since
Inception
4.4
8.1
9.8
8.6
7.7
7.1
8.3
4.1
6.7
8.7
8.3
7.8
7.2
7.8
Quarter
Year
To
Date
1
Year
3
Years
5
Years
10
Years
Since
Inception
Inception
Period
Total Composite 4.1 6.7 8.7 8.3 7.8 7.2 7.9 20y 9m
Policy Benchmark 4.4 8.1 9.8 8.6 7.7 7.1 N/A
Performance Summary
Total Composite vs. Policy Benchmark
As of September 30, 2013
____________
See appendix for full description of the policy benchmark.
3
0.0
2.0
4.0
6.0
8.0
10.0
12.0
14.0
16.0
18.0
20.0
ReturnQuarter
Year
To
Date
1
Year
3
Years
5
Years
7
Years
10
Years
¢£Total Composite 4.2 (82)7.0 (91)9.1 (88)8.9 (80)8.3 (46)6.5 (10)7.6 (12)
5th Percentile 6.5 14.2 16.0 11.8 9.6 6.6 8.4
1st Quartile 5.3 11.9 13.7 10.8 8.9 6.0 7.2
Median 4.9 10.9 12.7 10.1 8.2 5.4 6.7
3rd Quartile 4.4 9.6 11.1 9.1 7.7 5.1 6.4
95th Percentile 2.8 5.0 5.8 6.5 6.3 4.2 5.2
Performance Comparison
All Public Plans <= $500 mil
As of September 30, 2013
Returns are gross of fees.
Parentheses contain percentile rankings.
Calculation based on monthly periodicity.
4
0.0
2.0
4.0
6.0
8.0
10.0
12.0
14.0
16.0
18.0
20.0
ReturnQuarter
Year
To
Date
1
Year
3
Years
5
Years
7
Years
10
Years
¢£Total Composite 4.2 (81)7.0 (88)9.1 (86)8.9 (81)8.3 (47)6.5 (11)7.6 (30)
5th Percentile 6.4 14.1 15.9 11.9 9.8 6.9 8.7
1st Quartile 5.4 11.8 13.8 10.7 8.9 6.1 7.8
Median 4.9 10.6 12.5 10.1 8.2 5.5 7.2
3rd Quartile 4.3 9.1 10.8 9.1 7.6 5.1 6.5
95th Percentile 2.7 3.4 4.8 6.7 6.3 4.3 5.3
Performance Comparison
All Public Plans
As of September 30, 2013
Returns are gross of fees.
Parentheses contain percentile rankings.
Calculation based on monthly periodicity.
5
3 Years 5 Years
7.0
7.3
7.6
7.9
8.2
8.5
8.8
9.1
9.4
9.7
10.0
Return (%)6.0 7.0 8.0 9.0 10.0 11.0 12.0 13.0
Risk (Standard Deviation %)
Policy Benchmark
(10.9 , 7.7)
Total Composite
(10.1 , 7.8)
7.0
7.3
7.6
7.9
8.2
8.5
8.8
9.1
9.4
9.7
10.0
Return (%)6.0 7.0 8.0 9.0 10.0 11.0 12.0 13.0
Risk (Standard Deviation %)
Policy Benchmark
(7.7 , 8.6)
Total Composite
(7.9 , 8.3)
Performance Summary
Risk and Return Summary
As of September 30, 2013
6
Allocation
Market
Value
($)%
Performance(%)
Quarter
Year
To
Date
1
Year
3
Years
5
Years
10
Years
Since
Inception
Inception
Period
Total Composite 234,273,240 100.0 4.1 6.7 8.7 8.3 7.8 7.2 7.9 20y 9m
Policy Benchmark 4.4 8.1 9.8 8.6 7.7 7.1 N/A
Total Equity Composite 91,543,856 39.1 N/A N/A N/A N/A N/A N/A 5.0 0y 1m
MSCI AC World Index 7.9 14.4 17.7 10.2 7.7 7.9 5.2
Domestic Equity Composite 60,379,036 25.8 N/A N/A N/A N/A N/A N/A 4.3 (44)0y 1m
Russell 3000 Index 6.3 (63)21.3 (46)21.6 (57)16.8 (17)10.6 (34)8.1 (47)3.7 (67)
Broad Equity Peer Group Median 6.9 21.0 22.1 15.0 9.9 8.0 4.1
Large-Cap Equity Composite 47,915,323 20.5 6.8 (39)19.3 (62)19.3 (61)15.4 (43)9.1 (60)7.6 (46)7.8 (N/A)10y 4m
S&P 500 5.2 (63)19.8 (56)19.3 (60)16.3 (30)10.0 (40)7.6 (48)7.7 (N/A)
Large-Cap Equity Peer Group Median 6.1 20.2 20.4 15.0 9.5 7.5 N/A
Small-Cap Equity Composite 12,463,713 5.3 9.9 (48)29.2 (38)30.8 (50)19.6 (33)15.0 (16)11.6 (11)12.1 (N/A)10y 4m
Russell 2000 Index 10.2 (42)27.7 (48)30.1 (55)18.3 (52)11.2 (63)9.6 (51)10.4 (N/A)
Small-Cap Equity Peer Group Median 9.6 27.4 30.7 18.4 11.8 9.7 N/A
International Equity Composite 31,164,820 13.3 N/A N/A N/A N/A N/A N/A 6.3 (83)0y 1m
MSCI AC World ex USA Index 10.1 (25)10.0 (45)16.5 (52)5.9 (49)6.3 (55)8.8 (64)6.9 (50)
International Equity Peer Group Median 9.0 9.6 16.6 5.9 6.4 9.2 6.9
Developed International Equity Composite 24,522,005 10.5 8.4 (86)14.0 (50)21.0 (50)10.4 (16)6.8 (40)8.1 (55)5.2 (N/A)14y 5m
MSCI EAFE Index 11.6 (24)16.1 (28)23.8 (28)8.5 (40)6.4 (49)8.0 (56)3.9 (N/A)
Developed International Equity Peer Group Median 10.3 14.0 20.9 7.8 6.3 8.3 N/A
Emerging International Equity Composite 6,642,815 2.8 3.2 (76)-2.5 (39)2.6 (52)0.4 (40)6.2 (55)N/A 9.5 (42)8y 6m
MSCI Emerging Markets Index 5.8 (45)-4.4 (58)1.0 (69)-0.3 (54)7.2 (43)12.8 (39)9.8 (33)
Emerging Markets Equity Peer Group Median 5.5 -3.4 2.7 -0.1 6.6 12.2 8.8
Fixed Income Composite 74,691,545 31.9 0.5 (83)-2.0 (89)0.0 (39)4.1 (10)7.7 (6)5.4 (9)5.3 (9)10y 3m
Barclays Intermediate U.S. Government/Credit 0.6 (70)-0.8 (50)-0.5 (49)2.4 (51)5.0 (59)4.1 (44)4.0 (43)
Intermediate Duration Fixed Income Peer Group Median 0.7 -0.9 -0.6 2.4 5.5 4.0 3.9
Performance Summary
Total Fund Asset Allocation and Performance
As of September 30, 2013
7
Performance Summary
Total Fund Asset Allocation and Performance
As of September 30, 2013
Allocation
Market
Value
($)%
Performance(%)
Quarter
Year
To
Date
1
Year
3
Years
5
Years
10
Years
Since
Inception
Inception
Period
Tactical Asset Allocation Composite 24,018,435 10.3 4.4 8.0 10.1 8.0 7.6 7.2 6.4 10y 4m
65% MSCI World (Net) / 35% BC Aggregate 5.5 10.3 12.2 8.9 7.5 6.9 7.1
Alternatives Composite 42,710,181 18.2 N/A N/A N/A N/A N/A N/A 1.6 0y 1m
3 Month T-Bills + 3%0.8 2.3 3.1 3.1 3.2 4.8 0.3
Cash Account 1,309,223 0.6 0.0 0.0 0.0 0.0 -0.1 1.5 1.5 10y 4m
BofA Merrill Lynch 3 Month US T-Bill 0.0 0.1 0.1 0.1 0.2 1.7 1.7
8
Allocation
Market
Value
($)%
Performance(%)
Quarter
Year
To
Date
1
Year
3
Years
5
Years
10
Years
Since
Inception
Inception
Period
Domestic Large-Cap Equity Managers
Vanguard Windsor II Fund Admiral 15,985,985 6.8 4.0 (77)19.4 (63)20.8 (55)16.3 (26)9.6 (35)8.4 (26)5.8 (N/A)12y 5m
Russell 1000 Value Index 3.9 (78)20.5 (47)22.3 (40)16.2 (27)8.9 (53)8.0 (35)5.7 (N/A)
Large-Cap Value Equity Peer Group Median 5.2 20.1 21.3 14.8 9.0 7.5 N/A
Vanguard Institutional Index Fund 7,160,001 3.1 5.2 (63)19.8 (56)19.3 (61)16.2 (30)10.0 (40)7.6 (48)3.9 (66)14y
S&P 500 5.2 (63)19.8 (56)19.3 (60)16.3 (30)10.0 (40)7.6 (48)3.9 (66)
Large-Cap Equity Peer Group Median 6.1 20.2 20.4 15.0 9.5 7.5 4.8
T. Rowe Price Inst. Large-Cap Core Growth Fund 12,559,395 5.4 11.9 (18)25.4 (16)24.5 (20)19.0 (10)13.5 (20)8.2 (35)18.8 (N/A)0y 7m
Russell 1000 Growth Index 8.1 (66)20.9 (52)19.3 (57)16.9 (28)12.1 (32)7.8 (44)14.5 (N/A)
Large-Cap Growth Equity Peer Group Median 8.9 21.0 20.0 15.5 10.8 7.6 N/A
Holland Capital Management 12,209,942 5.2 6.5 (81)18.5 (74)17.1 (73)15.4 (52)12.3 (31)7.9 (43)11.1 (N/A)0y 7m
Russell 1000 Growth Index 8.1 (66)20.9 (52)19.3 (57)16.9 (28)12.1 (32)7.8 (44)14.5 (N/A)
Large-Cap Growth Equity Peer Group Median 8.9 21.0 20.0 15.5 10.8 7.6 N/A
Domestic Small-Cap Equity Managers
Kennedy Capital Management 6,355,385 2.7 6.4 (61)23.4 (42)25.7 (56)16.3 (40)13.9 (13)N/A 10.1 (8)5y 9m
Russell Midcap Value Index 5.9 (69)22.9 (47)27.8 (40)17.3 (29)11.9 (42)10.9 (25)7.1 (39)
Mid-Cap Value Equity Peer Group Median 7.2 22.5 26.6 15.6 11.4 9.6 6.5
TimesSquare Small Cap Growth Fund 6,108,328 2.6 13.6 (35)35.3 (31)36.2 (17)23.0 (13)16.2 (16)12.7 (1)11.1 (N/A)11y 8m
Russell 2000 Growth Index 12.8 (42)32.5 (51)33.1 (41)20.0 (44)13.2 (46)9.9 (42)7.9 (N/A)
Small-Cap Growth Equity Peer Group Median 12.5 32.5 32.2 19.6 13.0 9.6 N/A
Developed International Equity Manager
Morgan Stanley International Equity Fund I 24,522,005 10.5 8.4 (86)14.0 (50)21.0 (50)10.4 (16)6.8 (40)8.0 (57)5.3 (59)8y 6m
MSCI EAFE (net)11.6 (24)16.1 (28)23.8 (28)8.5 (40)6.4 (49)8.0 (56)5.2 (62)
International Equity Peer Group Median 10.3 14.0 20.9 7.8 6.3 8.3 5.7
Emerging Markets Equity Manager
Morgan Stanley Emerging Markets Fund I 6,642,815 2.8 3.2 (76)-2.5 (39)2.6 (52)0.4 (40)6.2 (55)12.5 (41)9.5 (42)8y 6m
MSCI EM (net)5.8 (45)-4.4 (58)1.0 (69)-0.3 (54)7.2 (43)12.8 (39)9.8 (33)
Emerging Markets Equity Peer Group Median 5.5 -3.4 2.7 -0.1 6.6 12.2 8.8
Performance Summary
Manager Asset Allocation and Performance
As of September 30, 2013
9
Performance Summary
Manager Asset Allocation and Performance
As of September 30, 2013
Allocation
Market
Value
($)%
Performance(%)
Quarter
Year
To
Date
1
Year
3
Years
5
Years
10
Years
Since
Inception
Inception
Period
Fixed Income Managers
Income Research 29,606,080 12.6 0.5 (83)-0.9 (62)-0.3 (45)3.0 (32)6.8 (21)5.0 (18)5.6 (12)12y 3m
Barclays Intermediate U.S. Government/Credit 0.6 (70)-0.8 (50)-0.5 (49)2.4 (51)5.0 (59)4.1 (44)4.9 (28)
Intermediate Duration Fixed Income Peer Group Median 0.7 -0.9 -0.6 2.4 5.5 4.0 4.5
Penn Capital 11,996,616 5.1 2.3 (48)2.3 (87)5.1 (84)7.5 (82)10.0 (83)N/A 6.7 (87)8y 3m
BofA Merrill Lynch US High Yield, Cash Pay Index 2.3 (48)3.8 (54)7.0 (52)8.8 (46)13.2 (14)8.6 (28)8.3 (30)
High Yield Fixed Income Peer Group Median 2.2 3.8 7.1 8.7 11.7 8.3 7.9
Loomis Credit Asset Fund 4,670,157 2.0 1.7 (8)2.1 (14)4.6 (11)7.2 (1)N/A N/A 8.5 (1)3y 7m
50% BC Credit / 25% S&P LSTA / 25% BY High Yield 1.2 (13)0.3 (37)2.0 (39)5.9 (1)9.9 (1)6.2 (8)7.1 (2)
Alternative Credit Focus Funds Peer Group Median 0.4 -0.4 1.3 3.8 6.9 4.4 4.5
Brandywine Global Opportunistic Fixed Income 17,897,166 7.6 0.2 (86)-3.3 (64)-0.5 (43)5.6 (8)9.1 (10)N/A 6.8 (14)8y 9m
Citigroup World Government Bond 2.9 (21)-2.9 (59)-4.6 (81)1.0 (75)4.3 (77)4.8 (58)3.7 (79)
Global Fixed Income Peer Group Median 1.2 -2.1 -1.0 2.7 5.5 5.3 4.6
Pictet Emerging Local Currency Debt Fund 10,521,526 4.5 -1.4 (96)-8.9 (57)-5.6 (57)0.4 (82)N/A N/A 2.5 (79)2y
JPM GBI-EM Global Diversified -0.4 (41)-7.6 (22)-3.7 (23)1.8 (20)7.3 (43)10.1 (N/A)4.1 (40)
Emerging Markets (LC) Fixed Income Peer Group Median -0.5 -8.8 -5.5 1.1 6.4 N/A 3.6
Tactical Asset Allocation Manager
GMO Asset Allocation Fund 24,018,435 10.3 4.4 (27)8.0 (32)10.1 (28)8.0 (36)7.6 (61)7.9 (12)5.9 (35)7y 2m
65% MSCI World (Net) / 35% BC Aggregate 5.5 (16)10.3 (27)12.2 (23)8.9 (28)7.5 (62)6.9 (37)5.1 (54)
IM Flexible Portfolio (MF) Median 2.5 2.9 3.3 6.5 8.1 6.6 5.2
10
Performance Summary
Manager Asset Allocation and Performance
As of September 30, 2013
Allocation
Market
Value
($)%
Performance(%)
Quarter
Year
To
Date
1
Year
3
Years
5
Years
10
Years
Since
Inception
Inception
Period
Alternatives Managers
Pyramis Market Neutral 10,321,031 4.4 3.2 0.8 1.9 2.2 1.2 N/A 3.6 8y 2m
3 Month T-Bills + 3%0.8 2.3 3.1 3.1 3.2 4.8 4.8
PIMCO All Asset Fund I 11,892,620 5.1 2.9 -0.5 2.3 6.0 8.6 7.2 6.2 7y 9m
Barclays U.S. Treasury Inflation Notes: 1-10 Year 0.9 -4.3 -3.9 3.1 4.1 4.6 4.7
UBS Trumbull Property Fund 10,434,791 4.5 2.5 7.1 8.9 10.5 1.3 6.9 4.3 7y 4m
NCREIF Property Index 2.6 8.2 11.0 12.7 3.4 8.7 6.2
Wellington Diversified Inflation Hedges 10,061,739 4.3 4.9 -6.3 -7.7 0.7 N/A N/A 1.7 3y 6m
Wellington DIH Multi-Asset Inflation Index 5.5 -3.7 -5.2 0.8 1.3 7.4 1.2
Cash Account 1,309,223 0.6 0.0 0.0 0.0 0.0 -0.1 1.5 1.5 10y 4m
BofA Merrill Lynch 3 Month US T-Bill 0.0 0.1 0.1 0.1 0.2 1.7 1.7
Total Composite 234,273,240 100.0 4.1 6.7 8.7 8.3 7.8 7.2 7.9 20y 9m
11
5.0
6.0
7.0
8.0
9.0
10.0
11.0
12.0
13.0
14.0
15.0
16.0
17.0
17.8
Return (%)16.0 17.0 18.0 19.0 20.0 21.0 22.0 23.0 24.0 25.0 26.0 27.0 27.5
Risk (Standard Deviation %)
MSCI Emerging Markets (net)
MSCI EAFE (net)
Russell 2000 Growth
Russell Midcap Value
Russell 1000 Growth
S&P 500
Russell 1000 Value
Holland Capital Management
Kennedy Capital Management
TimesSquare Small Cap Growth
Morgan Stanley Emerging Markets
Morgan Stanley International Equity
Vanguard Windsor II Fund
Vanguard Institutional Index Fund
T. Rowe Price Inst. Large-Cap Core Growth
Performance Summary
Risk and Return Summary - Equity Managers
5 Years Ending September 30, 2013
______________________
* Composite data used prior to inception.
12
3.0
4.0
5.0
6.0
7.0
8.0
9.0
10.0
11.0
12.0
13.0
14.0
14.6
Return (%)2.0 3.0 4.0 5.0 6.0 7.0 8.0 9.0 10.0 11.0 12.0 13.0 14.0 15.0 16.0 16.6
Risk (Standard Deviation %)
50% BC Credit / 25% S&P LSTA / 25% BY High Yield
JPM GBI-EM Global Diversified
Citigroup World Government Bond
BofA Merrill Lynch US High Yield, Cash Pay Index
BC Intermediate U.S. Government/Credit
Penn Capital
Income Research
Brandywine Global
Performance Summary
Risk and Return Summary - Fixed Income Managers
5 Years Ending September 30, 2013
______________________
* Composite data used prior to inception.
13
0.5
1.0
1.5
2.0
2.5
3.0
3.5
4.0
4.5
5.0
5.5
6.0
6.5
7.0
7.5
8.0
8.5
9.0
9.5
Return (%)-2.0 0.0 2.0 4.0 6.0 8.0 10.0 12.0 14.0 16.0 18.0 20.0
Risk (Standard Deviation %)
Barclays U.S. Treasury Inflation Notes: 1-10 Year
NCREIF Property Index
Wellington DIH Multi-Asset Inflation Index
3 Month T-Bills + 3%
65% MSCI World (Net) / 35% BC Aggregate
UBS TPFPyramis
PIMCO All Asset
GMO
Performance Summary
Risk and Return Summary - Alternative Managers
5 Years Ending September 30, 2013
______________________
* Composite data used prior to inception.
14
1 Manager performance is evaluated net of investment management fees.
Manager Compliance Checklist
Third Quarter 2013
Managers
Vanguard
Windsor
Vanguard
Institutional
T. Rowe
Price Holland Kennedy TimesSquare
Morgan
Stanley Int'l
Morgan
Stanley EM
Organizational/Product Issues
No material changes to investment team
No material organizational changes
Accounting or regulatory concerns
Currently in adherence to guidelines
Portfolio characteristics meet stylistic expectations
Relative Performance 1
Three-year return better than benchmark N/A No (-150 bps)No (-100 bps)
Three-year ranking better than peer group median N/A No (52)
Five year return better than benchmark N/A No (-100 bps)
Five year ranking better than peer group median N/A No (55)
Performance status Green Green Green Green Green Green Green Green
Date performance status changed
Summary status Green Green Green Green Green Green Green Green
Date summary status changed
15
Manager Compliance Checklist
Third Quarter 2013
Managers
Income
Research Penn Loomis
Brandywine
Global Pictet GMO Pyramis PIMCO UBS Wellington
Organizational/Product Issues
No material changes to investment team
No material organizational changes
Accounting or regulatory concerns
Currently in adherence to guidelines
Portfolio characteristics meet stylistic expectations
Relative Performance 1
Three-year return better than benchmark No (-130 bps)No (-140 bps)No (-90 bps)No (-90 bps)No (-180 bps)No (-10 bps)
Three-year ranking better than peer group median No (82)No (82)N/A N/A N/A N/A
Five year return better than benchmark No (-320 bps)N/A N/A No (-200 bps)No (-210 bps)
Five year ranking better than peer group median No (83)N/A N/A No (61)N/A N/A N/A N/A
Performance status Green Green Green Green Green Green Green Green Green Green
Date performance status changed
Summary status Green Green Green Green Green Green Green Green Green Green
Date summary status changed
1 Manager performance is evaluated net of investment management fees.
16
Asset Class Diversification
17
September 30, 2013 : $234,273,240
Target Allocation Actual Allocation Allocation Differences
0.0%3.0%6.0%9.0%12.0%15.0%18.0%21.0%24.0%27.0%30.0%33.0%36.0%38.1%-3.0 %-6.0 %
Cash Account
$1,309,223
Alternatives Composite
$42,710,181
Tactical Asset Allocation Composite
$24,018,435
Fixed Income Composite
$74,691,545
Emerging International Equity Composite
$6,642,815
Developed International Equity Composite
$24,522,005
Small-Cap Equity Composite
$12,463,713
Large-Cap Equity Composite
$47,915,323
0.0%
19.0%
10.0%
33.0%
3.0%
10.0%
5.0%
20.0%
0.6%
18.2%
10.3%
31.9%
2.8%
10.5%
5.3%
20.5%
0.6%
-0.8 %
0.3%
-1.1 %
-0.2 %
0.5%
0.3%
0.5%
Asset Class Diversification
Investment Policy Allocation
As of September 30, 2013
18
Asset Class/Type Manager
Total Assets
($, mil.)
Percent of
Total
Target
Allocation
Weighting
Relative to
Target
Allowable
Range
Large-Cap Equity $47.9 20.5% 20.0%+ 0.5%16 - 24%
Core Vanguard Windsor $16.0 6.8% 5.0%+ 1.8%
Core Vanguard Institutional $7.2 3.1% 5.0%- 1.9%
Growth T. Rowe Price $12.6 5.4% 5.0%+ 0.4%
Growth Holland $12.2 5.2% 5.0%+ 0.2%
Small-Cap Equity $12.5 5.3% 5.0%+ 0.3%3 - 7%
Value Kennedy $6.4 2.7% 2.5%+ 0.2%
Growth TimesSquare $6.1 2.6% 2.5%+ 0.1%
International Equity $31.2 13.3% 13.0%+ 0.3%
Developed Morgan Stanley $24.5 10.5% 10.0%+ 0.5%8 - 12%
Emerging Markets Morgan Stanley $6.6 2.8% 3.0%- 0.2%2 - 5%
Fixed Income $74.7 31.9% 33.0%- 1.1%
Domestic Core Income Research $29.6 12.6% 13.0%- 0.4%10 - 20%
High Yield Penn Capital $12.0 5.1% 5.0%+ 0.1%3 - 7%
Opportunistic Credit Loomis $4.7 2.0% 2.0%- 0.0%0 - 5%
Global Brandywine Global $17.9 7.6% 8.0%- 0.4%6 - 10%
Emerging Markets Debt Pictet $10.5 4.5% 5.0%- 0.5%3 - 7%
Tactical $24.0 10.3% 10.0%+ 0.3%
Balanced GMO $24.0 10.3% 10.0%+ 0.3%8 - 12%
Alternatives $42.7 18.2% 19.0%- 0.8%
Market Neutral Pyramis $10.3 4.4% 5.0%- 0.6%3 - 7%
Absolute Return PIMCO $11.9 5.1% 4.0%+ 1.1%3 - 7%
Real Estate UBS Trumbull $10.4 4.5% 5.0%- 0.5%3 - 7%
Real Asset Wellington $10.1 4.3% 5.0%- 0.7%3 - 7%
Cash $1.3 0.6% 0.0%+ 0.6%
Cash Account Cash Account $1.3 0.6% 0.0%+ 0.6%
Total $234.3 100.0%100.0%+ 0.0%
*Totals may not add to exactly 100.0% due to rounding.
Asset Class Diversification
Investment Program Structure
As of September 30, 2013
19
Top Ten Equity Holdings
Portfolio
Weight
(%)
Benchmark
Weight
(%)
Active
Weight
(%)
Quarterly
Return
(%)
Google Inc 1.3 0.7 0.6 -0.5
British American Tobacco PLC 1.3 0.3 1.0 5.3
Nestle SA, Cham Und Vevey 1.3 0.7 0.6 6.8
Amazon.com Inc 1.2 0.3 0.9 12.6
Unilever NV 1.2 0.2 1.0 -0.1
Sanofi 1.2 0.4 0.8 -2.0
Reckitt Benckiser Group PLC 1.1 0.1 1.0 5.2
Novartis AG 1.0 0.5 0.4 8.4
Priceline.Com Inc 0.9 0.2 0.8 22.3
Qualcomm Inc.0.9 0.4 0.6 10.8
% of Portfolio 11.3 3.8
Portfolio Characteristics
Portfolio Benchmark
Wtd. Avg. Mkt. Cap ($M)65,708 77,073
Median Mkt. Cap ($M)10,995 8,355
Price/Earnings ratio 18.4 15.8
Price/Book ratio 2.7 2.4
5 Yr. EPS Growth Rate (%)6.8 3.5
Current Yield (%)2.0 2.6
Debt to Equity 0.8 1.2
Number of Stocks 953 2,424
Beta -1.00
Consistency --
Sharpe Ratio --
Information Ratio --
Up Market Capture --
Down Market Capture --
Sector Weights (%)
Total Equity Composite MSCI AC World Index
0.0 4.0 8.0 12.0 16.0 20.0 24.0
Other
Cash
Utilities
Telecommunication Services
Materials
Information Technology
Industrials
Health Care
Financials
Energy
Consumer Staples
Consumer Discretionary
0.2
2.4
2.0
2.0
4.3
16.6
10.9
13.2
15.9
8.6
11.8
12.1
0.0
0.0
3.3
4.2
6.3
12.1
10.7
10.1
21.6
9.9
10.0
11.9
Distribution of Market Capitalization (%)
Total Equity Composite MSCI AC World Index
0.0
10.0
20.0
30.0
40.0
47.2
>$59 Bil $15 Bil -
$59 Bil
$2 Bil -
$15 Bil
$0 -
$2 Bil
Cash
40.6
35.6
23.4
0.4 0.0
37.4
29.5
26.8
3.8 2.4
Equity Portfolio - Characteristics
Total Equity Composite vs. MSCI AC World Index
As of September 30, 2013
20
Total Equity
Composite MSCI AC World Index
Australia 0.5 3.0
Hong Kong 0.4 1.9
Japan 5.4 8.1
New Zealand 0.0 0.0
Singapore 0.0 0.6
Pacific 6.3 13.7
Austria 0.1 0.1
Belgium 0.2 0.4
Finland 0.0 0.3
France 2.6 3.5
Germany 1.9 3.3
Greece 0.0 0.0
Ireland 1.1 0.5
Italy 0.4 0.7
Luxembourg 0.2 0.1
Netherlands 1.6 1.3
Portugal 0.1 0.1
Spain 0.0 1.2
EMU 8.1 11.5
Denmark 0.0 0.4
Norway 0.0 0.3
Sweden 0.0 1.2
Switzerland 4.6 3.7
United Kingdom 10.3 8.3
Europe ex EMU 15.0 14.0
Canada 0.4 3.8
United States 61.0 46.6
Israel 0.0 0.2
Middle East 0.0 0.2
Developed Markets 90.8 89.7
Total Equity
Composite MSCI AC World Index
Brazil 0.6 1.3
Cayman Islands 0.0 0.0
Chile 0.1 0.2
Colombia 0.1 0.1
Mexico 0.5 0.6
Peru 0.1 0.0
Virgin Islands 0.0 0.0
EM Latin America 1.3 2.2
China 1.2 1.4
India 0.5 0.6
Indonesia 0.2 0.3
Korea 1.1 1.8
Malaysia 0.2 0.4
Philippines 0.3 0.1
Taiwan 0.5 1.3
Thailand 0.4 0.3
EM Asia 4.4 6.1
Czech Republic 0.1 0.0
Egypt 0.0 0.0
Hungary 0.1 0.0
Morocco 0.0 0.0
Poland 0.3 0.2
Russia 0.2 0.7
South Africa 0.3 0.8
Turkey 0.1 0.2
EM Europe + Middle East + Africa 1.0 2.0
Emerging Markets 6.7 10.3
Frontier Markets 0.0 0.0
Cash 2.4 0.0
Other 0.1 0.0
Total 100.0 100.0
Equity Portfolio - Country/Region Allocation
Total Equity Composite vs. MSCI AC World Index
As of September 30, 2013
21
Portfolio Characteristics
Maturity Distribution (%)
Credit Quality Distribution (%)
Risk Characteristics - 3 Years
Sector Distribution (%)
Total Fixed Income Composite
Barclays Intermediate U.S. Government/Credit
0.0
20.0
40.0
60.0
80.0
87.5
AAAAAABBBBBBBelow B66.0
6.7
13.8 13.5
0.0 0.0 0.0
19.8
11.1 15.0
19.6
13.8
19.6
1.1
Portfolio Benchmark
Effective Duration 4.8 3.9
Avg. Maturity 8.1 4.2
Avg. Quality BBB+AA+
Yield To Maturity (%)4.6 1.5
Consist
ency
Sharpe
Ratio
Informa
tion
Ratio
Up
Market
Capture
Down
Market
Capture
Total Fixed Income Composite 58.3 0.9 0.5 151.9 129.6
Barclays Intermediate U.S. Government/Credit 0.0 1.0 N/A 100.0 100.0
90 Day U.S. Treasury Bill 38.9 N/A -1.0 1.1 -1.7
Total Fixed Income Composite
Barclays Intermediate U.S. Government/Credit
0.0
12.0
24.0
36.0
48.0
60.0
72.0
81.0
TreasuriesAgenciesCreditHigh YieldMBSABSNon-USEmergingMunicipalsCashOtherCMBS57.0
7.4
23.3
0.0 0.0 0.0
10.0
2.3 0.0 0.0 0.0 0.0
8.7
0.2
8.8
25.2
2.5 1.3
27.9
17.4
0.8 2.1 3.0 2.2
Total Fixed Income Composite
Barclays Intermediate U.S. Government/Credit
0.0
10.0
20.0
30.0
40.0
50.0
55.4
< 1 Yr1 < 3 Yrs3 < 5 Yrs5 < 10 Yrs10 < 20 Yrs> 20 Yrs0.0
40.9
28.3 30.8
0.0 0.0
11.1
14.9 15.4
40.7
5.1
12.7
Fixed Income Portfolio - Characteristics
Total Fixed Income Composite vs. Barclays Intermediate U.S. Government/Credit
As of September 30, 2013
22
Manager Evaluation
23
Historical Performance
Buy and Hold Attribution
Risk and Return (Oct - 2008 - Sep - 2013)Three Year Rolling Percentile Ranking
Quarter
Year
To
Date
1
Year
3
Years
5
Years
10
Years 2012 2011 2010 2009 2008 2007 2006 2005 2004 2003
Vanguard Windsor II 4.0 19.4 20.8 16.3 9.6 8.4 16.8 2.8 10.7 27.2 -36.6 2.3 18.4 7.2 18.4 30.2
Russell 1000 Value Index 3.9 20.5 22.3 16.2 8.9 8.0 17.5 0.4 15.5 19.7 -36.8 -0.2 22.2 7.1 16.5 30.0
Large-Cap Value Equity Peer Group Median 5.2 20.1 21.3 14.8 9.0 7.5 15.0 -1.5 13.5 25.4 -37.3 2.9 16.6 6.1 12.5 28.4
Vanguard Windsor II Rank 77 63 55 26 35 26 28 17 86 41 44 55 35 36 6 34
8.5
9.0
9.5
10.0
10.5
Return (%)21.0 21.2 21.4 21.6 21.8 22.0 22.2 22.4 22.6
Risk (Standard Deviation %)
Russell 1000 Value Index
Vanguard Windsor II
Vanguard Windsor II Russell 1000 Value Index
0
25
50
75
100Return Percentile Rank12/03 12/04 12/05 12/06 12/07 12/08 12/09 12/10 12/11 9/13
Average Active Weight
0.0 6.0 9.6-6.0-12.0
Utilities
Telecommunication Services
Other
Materials
Information Technology
Industrials
Health Care
Financials
Energy
Consumer Staples
Consumer Discretionary
Cash
-2.1
-0.4
1.3
-1.9
1.4
2.3
4.3
-8.0
-1.8
2.0
-0.8
3.6
Allocation
(Total: 0.1)
0.0 0.2-0.2
0.1
0.0
0.0
-0.1
0.0
0.1
0.0
0.1
0.0
0.0
0.0
-0.1
Stock
(Total: 0.0)
0.0 0.4 0.7-0.4-0.7
0.0
0.0
0.0
0.0
-0.3
0.4
-0.1
0.2
0.2
0.1
-0.4
0.0
Vanguard Windsor II
0.0 0.3 0.6 0.8-0.3-0.6
0.1
0.0
0.0
-0.1
-0.3
0.5
-0.1
0.3
0.2
0.1
-0.4
-0.1
Manager Evaluation
Vanguard Windsor II vs. Russell 1000 Value Index
As of September 30, 2013
Differences between the manager return and the attribution return are due primarily to the effects of fees and portfolio trading.
24
Top Ten Equity Holdings
Portfolio
Weight
(%)
Benchmark
Weight
(%)
Active
Weight
(%)
Quarterly
Return
(%)
Pfizer Inc 2.8 2.3 0.5 3.4
JPMorgan Chase & Co 2.5 2.3 0.3 -1.4
Philip Morris International Inc 2.5 0.0 2.5 1.0
WellPoint Inc 2.5 0.3 2.2 2.6
Microsoft Corp 2.4 0.0 2.4 -3.0
Raytheon Co.2.3 0.3 2.1 18.4
Wells Fargo & Co 2.3 2.3 0.0 0.8
American Express Co 2.3 0.0 2.3 1.3
Johnson & Johnson 2.2 2.5 -0.3 1.7
Medtronic Inc 2.2 0.6 1.6 4.0
% of Portfolio 23.9 10.6
Portfolio Characteristics
Portfolio Benchmark
Wtd. Avg. Mkt. Cap ($M)84,954 102,747
Median Mkt. Cap ($M)19,425 6,026
Price/Earnings ratio 14.3 15.1
Price/Book ratio 2.2 1.9
5 Yr. EPS Growth Rate (%)1.7 0.5
Current Yield (%)2.7 2.4
Debt to Equity 1.2 1.0
Number of Stocks 282 648
Beta (5 Years, Monthly)0.95 1.00
Consistency (5 Years, Monthly)45.00 1.00
Sharpe Ratio (5 Years, Monthly)0.58 0.53
Information Ratio (5 Years, Monthly)0.19 -
Up Market Capture (5 Years, Monthly)96.73 -
Down Market Capture (5 Years, Monthly)92.60 -
Sector Weights (%)
Vanguard Windsor II Russell 1000 Value Index
0.0 5.0 10.0 15.0 20.0 25.0 30.0 34.5
Other
Cash
Utilities
Telecommunication Services
Materials
Information Technology
Industrials
Health Care
Financials
Energy
Consumer Staples
Consumer Discretionary
1.2
3.6
4.0
2.8
1.4
8.0
11.5
17.4
20.9
13.0
8.9
7.4
0.0
0.0
6.2
2.6
2.9
9.0
10.0
13.0
29.0
15.0
5.8
6.5
Distribution of Market Capitalization (%)
Vanguard Windsor II Russell 1000 Value Index
0.0
10.0
20.0
30.0
40.0
50.0
57.5
>$59 Bil $15 Bil -
$59 Bil
$2 Bil -
$15 Bil
$0 -
$2 Bil
Cash
45.0
31.9
22.7
0.4 0.0
46.9
36.5
12.9
0.1
3.6
Manager Evaluation
Vanguard Windsor II vs. Russell 1000 Value Index
As of September 30, 2013
25
Historical Performance
Three Year Rolling Percentile Ranking Relative Performance
Historical Statistics (Oct-2008 - Sep-2013)
Quarter
Year
To
Date
1
Year
3
Years
5
Years
10
Years 2012 2011 2010 2009 2008 2007 2006 2005 2004 2003
Vanguard Institutional Index 5.2 19.8 19.3 16.2 10.0 7.6 16.0 2.1 15.0 26.6 -37.0 5.5 15.8 4.9 10.9 28.7
S&P 500 Index 5.2 19.8 19.3 16.3 10.0 7.6 16.0 2.1 15.1 26.5 -37.0 5.5 15.8 4.9 10.9 28.7
Large-Cap Equity Peer Group Median 6.1 20.2 20.4 15.0 9.5 7.5 14.6 -1.0 14.0 27.8 -37.5 6.2 13.3 5.9 10.2 27.1
Vanguard Institutional Index Rank 63 56 61 30 40 48 36 22 38 56 45 55 32 62 44 38
Cumulative Annualized Over/Under Relative Performance
Over/Under Performance
0.00
0.03
0.06
0.09
0.11
-0.03
-0.06Return (%)12/03 12/04 12/05 12/06 12/07 12/08 12/09 12/10 12/11 9/13
Vanguard Institutional Index S&P 500 Index
0
25
50
75
100Return Percentile Rank12/03 12/04 12/05 12/06 12/07 12/08 12/09 12/10 12/11 9/13
Return
Standard
Deviation
Excess
Return Alpha Beta
Sharpe
Ratio
Tracking
Error
Information
Ratio
Downside
Risk Consistency
Inception
Date
Vanguard Institutional Index 10.0 20.4 11.7 0.0 1.0 0.6 0.0 0.4 13.6 35.0 14y
S&P 500 Index 10.0 20.4 11.7 0.0 1.0 0.6 0.0 N/A 13.7 0.0 14y
90 Day U.S. Treasury Bill 0.2 0.1 0.0 0.2 0.0 N/A 20.5 -0.6 0.0 30.0 14y
Manager Evaluation
Vanguard Institutional Index vs. S&P 500 Index
As of September 30, 2013
26
Top Ten Equity Holdings
Portfolio
Weight
(%)
Benchmark
Weight
(%)
Active
Weight
(%)
Quarterly
Return
(%)
Apple Inc 2.9 2.9 0.0 21.0
Exxon Mobil Corp 2.5 2.5 0.0 -4.1
Microsoft Corp 1.7 1.7 0.0 -3.0
Google Inc 1.6 1.6 0.0 -0.5
Johnson & Johnson 1.6 1.6 0.0 1.7
General Electric Co 1.6 1.6 0.0 3.8
Chevron Corp 1.6 1.6 0.0 3.5
Procter & Gamble Co (The)1.4 1.4 0.0 -1.1
Wells Fargo & Co 1.3 1.3 0.0 0.8
JPMorgan Chase & Co 1.3 1.3 0.0 -1.4
% of Portfolio 17.6 17.6
Portfolio Characteristics
Portfolio Benchmark
Wtd. Avg. Mkt. Cap ($M)105,688 105,723
Median Mkt. Cap ($M)15,365 15,348
Price/Earnings ratio 17.1 17.1
Price/Book ratio 2.7 2.7
5 Yr. EPS Growth Rate (%)6.1 6.0
Current Yield (%)2.1 2.1
Debt to Equity 0.9 0.9
Number of Stocks 503 500
Beta (5 Years, Monthly)1.00 1.00
Consistency (5 Years, Monthly)43.33 1.00
Sharpe Ratio (5 Years, Monthly)0.62 0.62
Information Ratio (5 Years, Monthly)0.53 -
Up Market Capture (5 Years, Monthly)100.03 -
Down Market Capture (5 Years, Monthly)99.95 -
Sector Weights (%)
Vanguard Institutional Index S&P 500 Index
0.0 3.0 6.0 9.0 12.0 15.0 18.0 20.7
Utilities
Telecommunication Services
Materials
Information Technology
Industrials
Health Care
Financials
Energy
Consumer Staples
Consumer Discretionary
3.2
2.4
3.5
17.9
10.7
13.0
16.3
10.5
10.0
12.5
3.2
2.4
3.5
17.9
10.7
13.0
16.3
10.5
10.0
12.5
Distribution of Market Capitalization (%)
Vanguard Institutional Index S&P 500 Index
0.0
10.0
20.0
30.0
40.0
50.0
58.7
>$59 Bil $15 Bil -
$59 Bil
$2 Bil -
$15 Bil
$0 -
$2 Bil
50.5
35.6
13.8
0.0
50.5
35.7
13.9
0.0
Manager Evaluation
Vanguard Institutional Index vs. S&P 500 Index
As of September 30, 2013
27
Historical Performance
Buy and Hold Attribution
Risk and Return (Oct - 2008 - Sep - 2013)Three Year Rolling Percentile Ranking
Quarter
Year
To
Date
1
Year
3
Years
5
Years
10
Years 2012 2011 2010 2009 2008 2007 2006 2005 2004 2003
T. Rowe Price LCC Growth 11.9 25.4 24.5 19.0 13.5 8.2 18.5 1.5 16.4 43.0 -42.6 13.0 9.1 4.0 7.3 N/A
Russell 1000 Growth Index 8.1 20.9 19.3 16.9 12.1 7.8 15.3 2.6 16.7 37.2 -38.4 11.8 9.1 5.3 6.3 29.7
Large-Cap Growth Peer Group Median 8.9 21.0 20.0 15.5 10.8 7.6 14.6 -0.8 15.3 33.4 -38.3 13.8 7.1 6.2 7.7 25.8
T. Rowe Price LCC Growth Rank 18 16 20 10 20 35 16 27 39 14 78 55 33 69 56 N/A
11.0
12.0
13.0
14.0
15.0
Return (%)19.8 20.1 20.4 20.7 21.0 21.3 21.6 21.9 22.2
Risk (Standard Deviation %)
Russell 1000 Growth Index
T. Rowe Price LCC Growth
T. Rowe Price LCC Growth Russell 1000 Growth Index
0
25
50
75
100Return Percentile Rank12/03 12/04 12/05 12/06 12/07 12/08 12/09 12/10 12/11 9/13
Average Active Weight
0.0 8.0 15.1-8.0-14.7
Utilities
Telecommunication Services
Materials
Information Technology
Industrials
Health Care
Financials
Energy
Consumer Staples
Consumer Discretionary
Cash
-0.2
-2.3
0.8
-5.9
1.5
0.1
6.0
0.6
-8.6
8.0
0.0
Allocation
(Total: 0.8)
0.0 0.5 1.0-0.5
0.0
0.3
0.0
0.0
0.0
0.0
-0.3
0.1
0.6
0.1
0.0
Stock
(Total: 3.2)
0.0 0.8 1.6-0.8
0.0
0.0
-0.1
1.3
-0.4
1.0
0.1
-0.1
0.1
1.3
0.0
T. Rowe Price LCC Growth
0.0 0.6 1.2 1.8-0.6-1.0
0.0
0.3
-0.1
1.2
-0.4
1.0
-0.2
0.0
0.7
1.4
0.0
Manager Evaluation
T. Rowe Price Large-Cap Core Growth vs. Russell 1000 Growth Index
As of September 30, 2013
Differences between the manager return and the attribution return are due primarily to the effects of fees and portfolio trading.
28
Top Ten Equity Holdings
Portfolio
Weight
(%)
Benchmark
Weight
(%)
Active
Weight
(%)
Quarterly
Return
(%)
Google Inc 5.2 2.7 2.5 -0.5
Amazon.com Inc 4.6 1.3 3.3 12.6
Priceline.Com Inc 3.4 0.6 2.8 22.3
MasterCard Inc 3.2 0.9 2.3 17.2
Gilead Sciences Inc 2.9 1.1 1.8 22.6
Danaher Corp 2.8 0.1 2.7 9.5
Starbucks Corp 2.1 0.7 1.5 17.8
Precision Castparts Corp.2.0 0.4 1.7 0.6
Biogen Idec Inc 1.9 0.7 1.3 11.9
Visa Inc 1.9 1.1 0.8 4.8
% of Portfolio 30.1 9.5
Portfolio Characteristics
Portfolio Benchmark
Wtd. Avg. Mkt. Cap ($M)66,213 85,020
Median Mkt. Cap ($M)21,836 7,806
Price/Earnings ratio 25.0 20.5
Price/Book ratio 4.6 4.5
5 Yr. EPS Growth Rate (%)19.0 12.9
Current Yield (%)0.7 1.7
Debt to Equity 0.4 1.1
Number of Stocks 141 610
Beta (5 Years, Monthly)1.07 1.00
Consistency (5 Years, Monthly)53.33 1.00
Sharpe Ratio (5 Years, Monthly)0.75 0.73
Information Ratio (5 Years, Monthly)0.47 -
Up Market Capture (5 Years, Monthly)107.89 -
Down Market Capture (5 Years, Monthly)104.95 -
Sector Weights (%)
T. Rowe Price Large-Cap Core Growth
Russell 1000 Growth Index
0.0 4.0 8.0 12.0 16.0 20.0 24.0 28.0 31.1
Cash
Utilities
Telecommunication Services
Materials
Information Technology
Industrials
Health Care
Financials
Energy
Consumer Staples
Consumer Discretionary
0.8
0.0
0.2
4.5
23.3
13.6
14.1
9.4
4.5
3.4
26.2
0.0
0.2
2.0
4.5
26.5
12.2
12.2
5.3
4.8
12.3
19.9
Distribution of Market Capitalization (%)
T. Rowe Price Large-Cap Core Growth
Russell 1000 Growth Index
0.0
10.0
20.0
30.0
40.0
50.0
>$59 Bil $15 Bil -
$59 Bil
$2 Bil -
$15 Bil
$0 -
$2 Bil
Cash
44.3
31.7
23.8
0.1 0.0
37.3
44.1
17.9
0.0 0.8
Manager Evaluation
T. Rowe Price Large-Cap Core Growth vs. Russell 1000 Growth Index
As of September 30, 2013
29
Historical Performance
Buy and Hold Attribution
Risk and Return (Oct - 2008 - Sep - 2013)Three Year Rolling Percentile Ranking
Quarter
Year
To
Date
1
Year
3
Years
5
Years
10
Years 2012 2011 2010 2009 2008 2007 2006 2005 2004 2003
Holland Capital Management 6.5 18.5 17.1 15.4 12.3 7.9 13.1 4.3 15.3 40.0 -33.8 9.4 6.4 -0.1 12.0 27.9
Russell 1000 Growth Index 8.1 20.9 19.3 16.9 12.1 7.8 15.3 2.6 16.7 37.2 -38.4 11.8 9.1 5.3 6.3 29.7
Large-Cap Growth Equity Peer Group Median 8.9 21.0 20.0 15.5 10.8 7.6 14.6 -0.8 15.3 33.4 -38.3 13.8 7.1 6.2 7.7 25.8
Holland Capital Management Rank 81 74 73 52 31 43 66 14 51 22 22 78 58 93 18 36
12.0
12.2
12.4
12.5
Return (%)18.8 19.0 19.2 19.4 19.6 19.8 20.0 20.2 20.4 20.6 20.8
Risk (Standard Deviation %)
Russell 1000 Growth Index
Holland Capital Management
Holland Capital Management Russell 1000 Growth Index
0
25
50
75
100Return Percentile Rank12/03 12/04 12/05 12/06 12/07 12/08 12/09 12/10 12/11 9/13
Average Active Weight
0.0 4.0 8.0-4.0-7.7
Utilities
Telecommunication Services
Materials
Information Technology
Industrials
Health Care
Financials
Energy
Consumer Staples
Consumer Discretionary
Cash
-0.2
-2.3
0.8
3.6
-4.4
1.5
-1.5
4.6
-3.3
-1.3
2.7
Allocation
(Total: 0.7)
0.0 0.3 0.6-0.3
0.0
0.3
0.0
0.0
-0.1
0.0
0.1
0.4
0.2
0.0
-0.2
Stock
(Total: -1.5)
0.0 1.0 1.5-1.0-1.7
0.0
0.0
-0.4
-0.3
0.0
-0.3
0.2
-1.1
-0.4
0.8
0.0
Holland Capital Management
0.0 0.5 1.0 1.3-0.5-1.0
0.0
0.3
-0.3
-0.3
-0.1
-0.2
0.2
-0.7
-0.2
0.8
-0.2
Manager Evaluation
Holland Capital Management vs. Russell 1000 Growth Index
As of September 30, 2013
Differences between the manager return and the attribution return are due primarily to the effects of fees and portfolio trading.
30
Top Ten Equity Holdings
Portfolio
Weight
(%)
Benchmark
Weight
(%)
Active
Weight
(%)
Quarterly
Return
(%)
Qualcomm Inc.4.6 1.3 3.2 10.8
Citrix Systems Inc.4.3 0.2 4.2 17.0
Visa Inc 4.1 1.1 3.0 4.8
Amazon.com Inc 4.0 1.3 2.7 12.6
Range Resources Corp.3.5 0.1 3.4 -1.8
Priceline.Com Inc 3.4 0.6 2.8 22.3
YUM! Brands Inc.3.2 0.4 2.8 3.4
Cisco Systems Inc 3.1 0.0 3.1 -3.0
Covidien Plc 3.1 0.0 3.1 7.1
Google Inc 3.0 2.7 0.3 -0.5
% of Portfolio 36.3 7.7
Portfolio Characteristics
Portfolio Benchmark
Wtd. Avg. Mkt. Cap ($M)70,211 85,020
Median Mkt. Cap ($M)30,810 7,806
Price/Earnings ratio 22.4 20.5
Price/Book ratio 4.3 4.5
5 Yr. EPS Growth Rate (%)11.0 12.9
Current Yield (%)1.1 1.7
Debt to Equity 0.7 1.1
Number of Stocks 48 610
Beta (5 Years, Monthly)0.94 1.00
Consistency (5 Years, Monthly)51.67 1.00
Sharpe Ratio (5 Years, Monthly)0.76 0.73
Information Ratio (5 Years, Monthly)0.00 -
Up Market Capture (5 Years, Monthly)93.94 -
Down Market Capture (5 Years, Monthly)89.57 -
Sector Weights (%)
Holland Capital Management Russell 1000 Growth Index
0.0 5.0 10.0 15.0 20.0 25.0 30.0 35.0
Cash
Utilities
Telecommunication Services
Materials
Information Technology
Industrials
Health Care
Financials
Energy
Consumer Staples
Consumer Discretionary
3.5
0.0
0.0
2.9
32.6
8.8
14.7
3.3
8.4
8.1
17.6
0.0
0.2
2.0
4.5
26.5
12.2
12.2
5.3
4.8
12.3
19.9
Distribution of Market Capitalization (%)
Holland Capital Management Russell 1000 Growth Index
0.0
10.0
20.0
30.0
40.0
50.0
>$59 Bil $15 Bil -
$59 Bil
$2 Bil -
$15 Bil
$0 -
$2 Bil
Cash
44.3
31.7
23.8
0.1 0.0
36.9
30.6
28.0
1.0
3.5
Manager Evaluation
Holland Capital Management vs. Russell 1000 Growth Index
As of September 30, 2013
31
Historical Performance
Buy and Hold Attribution
Risk and Return (Oct - 2008 - Sep - 2013)Three Year Rolling Percentile Ranking
Quarter
Year
To
Date
1
Year
3
Years
5
Years
10
Years 2012 2011 2010 2009 2008 2007 2006 2005 2004 2003
Kennedy Capital Management 6.4 23.4 25.7 16.3 13.9 N/A 13.6 -0.8 27.0 34.8 -27.0 N/A N/A N/A N/A N/A
Russell Midcap Value Index 5.9 22.9 27.8 17.3 11.9 10.9 18.5 -1.4 24.8 34.2 -38.4 -1.4 20.2 12.6 23.7 38.1
Mid-Cap Value Equity Peer Group Median 7.2 22.5 26.6 15.6 11.4 9.6 15.5 -3.0 20.7 32.9 -38.9 2.7 13.9 8.6 16.7 35.2
Kennedy Capital Management Rank 61 42 56 40 13 N/A 63 33 9 43 10 N/A N/A N/A N/A N/A
10.0
12.0
14.0
16.0
Return (%)20.0 21.0 22.0 23.0 24.0 25.0 26.0 27.0
Risk (Standard Deviation %)
Russell Midcap Value Index
Kennedy Capital Management
Kennedy Capital Management Russell Midcap Value Index
0
25
50
75
100Return Percentile Rank12/03 12/04 12/05 12/06 12/07 12/08 12/09 12/10 12/11 9/13
Average Active Weight
0.0 7.0 12.1-7.0-12.7
Utilities
Telecommunication Services
Materials
Information Technology
Industrials
Health Care
Financials
Energy
Consumer Staples
Consumer Discretionary
Cash
-1.7
-1.4
-0.8
0.5
6.6
0.4
-7.6
3.0
-2.4
1.1
2.5
Allocation
(Total: 0.7)
0.0 0.2 0.4-0.2
0.1
0.0
0.0
0.0
0.3
0.0
0.3
0.1
0.0
0.0
-0.1
Stock
(Total: 0.6)
0.0 0.6 1.1-0.6-1.0
-0.1
0.0
-0.2
-0.6
-0.1
0.1
0.0
0.7
0.1
0.6
0.0
Kennedy Capital Management
0.0 0.4 0.8 1.2-0.4-0.8
-0.1
0.0
-0.2
-0.5
0.2
0.1
0.3
0.8
0.2
0.7
-0.1
Manager Evaluation
Kennedy Capital Management vs. Russell Midcap Value Index
As of September 30, 2013
Differences between the manager return and the attribution return are due primarily to the effects of fees and portfolio trading.
32
Top Ten Equity Holdings
Portfolio
Weight
(%)
Benchmark
Weight
(%)
Active
Weight
(%)
Quarterly
Return
(%)
Dana Holding Corp 2.5 0.0 2.5 18.9
AGCO Corp 2.4 0.2 2.2 20.6
Hospira Inc 2.3 0.3 2.1 2.4
Protective Life Corp 2.3 0.1 2.1 11.3
Whiting Petroleum Corp 2.3 0.3 2.0 29.9
Parker-Hannifin Corp 2.2 0.6 1.6 14.5
Gildan Activewear Inc 2.1 0.0 2.1 15.2
Dover Corp 2.1 0.2 2.0 16.2
Zimmer Holdings Inc 2.1 0.5 1.5 9.9
Torchmark Corp 2.1 0.3 1.8 11.4
% of Portfolio 22.3 2.5
Portfolio Characteristics
Portfolio Benchmark
Wtd. Avg. Mkt. Cap ($M)7,187 9,825
Median Mkt. Cap ($M)5,794 4,892
Price/Earnings ratio 17.1 16.5
Price/Book ratio 1.9 1.8
5 Yr. EPS Growth Rate (%)5.1 2.6
Current Yield (%)1.7 2.2
Debt to Equity 0.6 1.1
Number of Stocks 55 520
Beta (5 Years, Monthly)0.84 1.00
Consistency (5 Years, Monthly)51.67 1.00
Sharpe Ratio (5 Years, Monthly)0.77 0.61
Information Ratio (5 Years, Monthly)0.20 -
Up Market Capture (5 Years, Monthly)93.24 -
Down Market Capture (5 Years, Monthly)84.07 -
Sector Weights (%)
Kennedy Capital Management Russell Midcap Value Index
0.0 5.0 10.0 15.0 20.0 25.0 30.0 35.0
Cash
Utilities
Telecommunication Services
Materials
Information Technology
Industrials
Health Care
Financials
Energy
Consumer Staples
Consumer Discretionary
3.5
7.6
0.0
4.6
11.4
17.4
8.0
23.4
11.3
1.8
10.9
0.0
12.4
0.6
5.4
10.6
11.2
8.3
32.5
7.3
2.8
8.9
Distribution of Market Capitalization (%)
Kennedy Capital Management Russell Midcap Value Index
0.0
20.0
40.0
60.0
80.0
100.0
$15 Bil -
$59 Bil
$2 Bil -
$15 Bil
$0 -
$2 Bil
Cash
22.8
75.7
1.5 0.0
6.3
90.1
0.0 3.5
Manager Evaluation
Kennedy Capital Management vs. Russell Midcap Value Index
As of September 30, 2013
33
Historical Performance
Buy and Hold Attribution
Risk and Return (Oct - 2008 - Sep - 2013)Three Year Rolling Percentile Ranking
Quarter
Year
To
Date
1
Year
3
Years
5
Years
10
Years 2012 2011 2010 2009 2008 2007 2006 2005 2004 2003
TimesSquare Small Cap Growth 13.6 35.3 36.2 23.0 16.2 12.7 13.1 2.6 27.3 35.7 -32.3 10.0 16.5 13.4 11.1 37.5
Russell 2000 Growth Index 12.8 32.5 33.1 20.0 13.2 9.9 14.6 -2.9 29.1 34.5 -38.5 7.0 13.3 4.2 14.3 48.5
Small-Cap Growth Equity Peer Group Median 12.5 32.5 32.2 19.6 13.0 9.6 12.7 -2.7 27.7 34.5 -40.6 9.9 9.9 5.8 11.3 43.3
TimesSquare Small Cap Growth Rank 35 31 17 13 16 1 47 14 53 46 11 49 14 10 53 73
10.0
12.0
14.0
16.0
18.0
19.8
Return (%)22.0 23.0 24.0 25.0 26.0 27.0
Risk (Standard Deviation %)
Russell 2000 Growth Index
TimesSquare Small Cap Growth
TimesSquare Small Cap Growth Russell 2000 Growth Index
0
25
50
75
100Return Percentile Rank12/03 12/04 12/05 12/06 12/07 12/08 12/09 12/10 12/11 9/13
Average Active Weight
0.0 10.0 20.0-10.0-16.8
Utilities
Telecommunication Services
Materials
Information Technology
Industrials
Health Care
Financials
Energy
Consumer Staples
Consumer Discretionary
Cash
-0.3
-0.8
-3.4
12.1
7.1
-9.1
-0.4
0.4
-0.6
-8.1
3.2
Allocation
(Total: 0.1)
0.0 0.5 1.0-0.5-0.9
0.0
0.0
0.1
0.3
0.0
-0.5
0.0
0.0
0.0
0.5
-0.4
Stock
(Total: 0.4)
0.0 0.8 1.3-0.8-1.6
0.0
0.0
0.2
0.1
0.1
-1.3
0.2
0.4
0.6
0.0
0.0
TimesSquare Small Cap Growth
0.0 1.0 1.4-1.0-2.0-2.6
0.0
0.0
0.3
0.4
0.1
-1.8
0.2
0.4
0.6
0.5
-0.4
Manager Evaluation
TimesSquare Small Cap Growth vs. Russell 2000 Growth Index
As of September 30, 2013
Differences between the manager return and the attribution return are due primarily to the effects of fees and portfolio trading.
34
Top Ten Equity Holdings
Portfolio
Weight
(%)
Benchmark
Weight
(%)
Active
Weight
(%)
Quarterly
Return
(%)
Ultimate Software Group Inc 2.3 0.5 1.7 25.7
On Assignment Inc 2.1 0.2 1.9 23.5
CoStar Group Inc 2.0 0.6 1.4 30.1
Solera Holdings Inc 1.8 0.0 1.8 -4.7
WEX Inc 1.7 0.4 1.3 14.4
j2 Global Inc 1.7 0.3 1.4 17.1
Henry (Jack) & Associates Inc.1.7 0.0 1.7 10.1
Sotheby's 1.6 0.4 1.2 29.9
Corporate Executive Board Company (The)1.6 0.3 1.3 15.2
Dealertrack Technologies Inc 1.5 0.2 1.3 20.9
% of Portfolio 17.8 3.0
Portfolio Characteristics
Portfolio Benchmark
Wtd. Avg. Mkt. Cap ($M)2,219 1,843
Median Mkt. Cap ($M)1,819 826
Price/Earnings ratio 28.3 24.7
Price/Book ratio 3.5 3.9
5 Yr. EPS Growth Rate (%)13.5 9.6
Current Yield (%)0.4 0.7
Debt to Equity 0.7 1.2
Number of Stocks 106 1,117
Beta (5 Years, Monthly)0.83 1.00
Consistency (5 Years, Monthly)53.33 1.00
Sharpe Ratio (5 Years, Monthly)0.85 0.64
Information Ratio (5 Years, Monthly)0.36 -
Up Market Capture (5 Years, Monthly)88.56 -
Down Market Capture (5 Years, Monthly)74.66 -
Sector Weights (%)
TimesSquare Small Cap Growth Russell 2000 Growth Index
0.0 6.0 12.0 18.0 24.0 30.0 36.0 41.4
Cash
Utilities
Telecommunication Services
Materials
Information Technology
Industrials
Health Care
Financials
Energy
Consumer Staples
Consumer Discretionary
2.2
0.0
0.0
1.3
35.2
25.0
11.8
7.1
5.7
4.4
7.5
0.0
0.1
0.9
5.1
24.9
15.3
20.9
7.1
3.9
5.1
16.7
Distribution of Market Capitalization (%)
TimesSquare Small Cap Growth Russell 2000 Growth Index
0.0
10.0
20.0
30.0
40.0
50.0
60.0
70.0
$2 Bil -
$15 Bil
$0 -
$2 Bil
Cash
39.1
60.9
0.0
48.3 49.6
2.2
Manager Evaluation
TimesSquare Small Cap Growth vs. Russell 2000 Growth Index
As of September 30, 2013
35
Historical Performance
Buy and Hold Attribution
Risk and Return (Oct - 2008 - Sep - 2013)Three Year Rolling Percentile Ranking
Quarter
Year
To
Date
1
Year
3
Years
5
Years
10
Years 2012 2011 2010 2009 2008 2007 2006 2005 2004 2003
Morgan Stanley International Equity 8.4 14.0 21.0 10.4 6.8 8.0 19.6 -7.6 6.1 21.6 -33.1 9.8 22.5 6.5 20.0 32.7
MSCI EAFE Index 11.6 16.1 23.8 8.5 6.4 8.0 17.3 -12.1 7.8 31.8 -43.4 11.2 26.3 13.5 20.2 38.6
International Equity Peer Group Median 10.3 14.0 20.9 7.8 6.3 8.3 18.4 -13.7 11.6 33.5 -44.4 11.9 25.2 15.0 18.5 36.1
Morgan Stanley International Equity Rank 86 50 50 16 40 57 35 10 88 92 1 66 76 100 38 66
6.0
6.3
6.6
6.9
7.2
Return (%)18.0 19.0 20.0 21.0 22.0 23.0 24.0 25.0 25.8
Risk (Standard Deviation %)
MSCI EAFE Index
Morgan Stanley International Equity
Morgan Stanley International Equity MSCI EAFE Index
0
25
50
75
100Return Percentile Rank12/03 12/04 12/05 12/06 12/07 12/08 12/09 12/10 12/11 9/13
Average Active Weight
0.0 10.0 20.0-10.0
Utilities
Telecommunication Services
Materials
Information Technology
Industrials
Health Care
Financials
Energy
Consumer Staples
Consumer Discretionary
Cash
-1.9
-0.6
-1.2
2.5
-6.8
2.7
-5.5
0.5
13.9
-7.2
3.6
Allocation
(Total: -1.7)
0.0 0.4-0.4-0.8
0.0
0.0
0.0
0.0
-0.2
-0.2
-0.1
0.0
-0.7
-0.1
-0.4
Stock
(Total: -1.1)
0.0 0.3 0.6-0.3-0.6
0.0
0.0
-0.1
-0.3
0.0
-0.1
-0.2
0.3
-0.3
-0.3
0.0
Morgan Stanley International Equity
0.0 0.4 0.8-0.4-0.8-1.2-1.4
0.0
0.0
-0.2
-0.3
-0.2
-0.2
-0.3
0.3
-1.0
-0.5
-0.4
Manager Evaluation
Morgan Stanley International Equity vs. MSCI EAFE Index
As of September 30, 2013
Differences between the manager return and the attribution return are due primarily to the effects of fees and portfolio trading.
36
Total Attribution
0.0 0.5 1.0 1.5-0.5-1.0-1.5-2.0-2.5-2.9
Pacific
North America
Middle East
Europe ex EMU
EMU
Cash
0.6
-0.3
0.0
-0.6
-2.0
-0.4
Performance Attribution
Average Active Weight
0.0 10.0 20.0 24.7-10.0-20.0
Pacific
North America
Middle East
Europe ex EMU
EMU
Cash
-12.8
1.9
-0.5
14.9
-7.1
3.6
Allocation
(Total: -0.5)
0.0 0.2 0.4 0.6 0.8-0.2-0.4-0.6-0.7
0.5
-0.3
0.0
0.0
-0.3
-0.4
Stock
(Total: -2.2)
0.0 0.5 0.9-0.5-1.0-1.5-2.0-2.3
0.1
0.0
0.0
-0.6
-1.7
0.0
Manager Evaluation
Morgan Stanley International Equity vs. MSCI EAFE Index
1 Quarter Ending September 30, 2013
37
Top Ten Equity Holdings
Portfolio
Weight
(%)
Benchmark
Weight
(%)
Active
Weight
(%)
Quarterly
Return
(%)
British American Tobacco PLC 4.7 0.8 3.9 5.3
Nestle SA, Cham Und Vevey 4.7 1.8 2.9 6.8
Unilever NV 4.4 0.5 3.9 -0.1
Reckitt Benckiser Group PLC 4.2 0.4 3.9 5.2
Sanofi 4.1 1.0 3.2 -2.0
Novartis AG 3.6 1.4 2.2 8.4
Roche Holding AG 3.0 1.5 1.5 8.6
Diageo PLC 3.0 0.6 2.3 13.2
SAP AG Systeme Anwendungen 2.6 0.5 2.1 1.2
Prudential PLC 2.4 0.4 2.0 15.3
% of Portfolio 36.8 9.0
Portfolio Characteristics
Portfolio Benchmark
Wtd. Avg. Mkt. Cap ($M)78,479 62,492
Median Mkt. Cap ($M)24,898 8,578
Price/Earnings ratio 18.8 15.8
Price/Book ratio 2.3 2.1
5 Yr. EPS Growth Rate (%)0.2 -2.0
Current Yield (%)3.1 3.1
Debt to Equity 1.0 1.4
Number of Stocks 70 909
Beta (5 Years, Monthly)0.86 1.00
Consistency (5 Years, Monthly)50.00 1.00
Sharpe Ratio (5 Years, Monthly)0.43 0.39
Information Ratio (5 Years, Monthly)-0.04 -
Up Market Capture (5 Years, Monthly)89.12 -
Down Market Capture (5 Years, Monthly)86.18 -
Sector Weights (%)
Morgan Stanley International Equity MSCI EAFE Index
0.0 4.0 8.0 12.0 16.0 20.0 24.0 28.0
Cash
Utilities
Telecommunication Services
Materials
Information Technology
Industrials
Health Care
Financials
Energy
Consumer Staples
Consumer Discretionary
2.5
1.8
3.0
7.5
7.2
5.6
13.2
20.2
7.9
24.3
6.6
0.0
3.7
5.5
8.2
4.3
12.9
10.0
25.4
6.9
11.2
11.8
Distribution of Market Capitalization (%)
Morgan Stanley International Equity MSCI EAFE Index
0.0
10.0
20.0
30.0
40.0
50.0
60.0
>$59 Bil $15 Bil -
$59 Bil
$2 Bil -
$15 Bil
$0 -
$2 Bil
Cash
38.4 36.8
24.7
0.1 0.0
52.2
30.1
15.0
0.2 2.5
Manager Evaluation
Morgan Stanley International Equity vs. MSCI EAFE Index
As of September 30, 2013
38
Morgan Stanley
International Equity MSCI EAFE Index
Australia 1.9 8.0
Hong Kong 0.5 3.0
Japan 19.7 21.6
New Zealand 0.0 0.1
Singapore 0.0 1.5
Pacific 22.1 34.2
Austria 0.0 0.3
Belgium 0.0 1.2
Finland 0.0 0.9
France 8.0 9.3
Germany 6.8 8.7
Greece 0.0 0.0
Ireland 1.3 0.3
Italy 1.4 1.9
Luxembourg 0.4 0.3
Netherlands 5.5 3.0
Portugal 0.0 0.2
Spain 0.0 3.1
EMU 23.4 29.2
Denmark 0.0 1.1
Norway 0.0 0.8
Sweden 0.0 3.3
Switzerland 16.1 9.1
United Kingdom 34.5 21.8
Europe ex EMU 50.6 36.1
Canada 0.3 0.0
United States 0.0 0.0
Israel 0.0 0.4
Middle East 0.0 0.4
Developed Markets 96.4 100.0
Morgan Stanley
International Equity MSCI EAFE Index
Brazil 0.0 0.0
Cayman Islands 0.0 0.0
Chile 0.0 0.0
Colombia 0.0 0.0
Mexico 0.0 0.0
Peru 0.0 0.0
Virgin Islands 0.0 0.0
EM Latin America 0.0 0.0
China 1.1 0.0
India 0.0 0.0
Indonesia 0.0 0.0
Korea 0.0 0.0
Malaysia 0.0 0.0
Philippines 0.0 0.0
Taiwan 0.0 0.0
Thailand 0.0 0.0
EM Asia 1.1 0.0
Czech Republic 0.0 0.0
Egypt 0.0 0.0
Hungary 0.0 0.0
Morocco 0.0 0.0
Poland 0.0 0.0
Russia 0.0 0.0
South Africa 0.0 0.0
Turkey 0.0 0.0
EM Europe + Middle East + Africa 0.0 0.0
Emerging Markets 1.1 0.0
Frontier Markets 0.0 0.0
Cash 2.5 0.0
Other 0.0 0.0
Total 100.0 100.0
Manager Evaluation
Morgan Stanley International Equity vs. MSCI EAFE Index
As of September 30, 2013
39
Historical Performance
Buy and Hold Attribution
Risk and Return (Oct - 2008 - Sep - 2013)Three Year Rolling Percentile Ranking
Quarter
Year
To
Date
1
Year
3
Years
5
Years
10
Years 2012 2011 2010 2009 2008 2007 2006 2005 2004 2003
Morgan Stanley Emerging Markets 3.2 -2.5 2.6 0.4 6.2 12.5 20.2 -18.4 18.5 69.5 -56.4 41.6 38.0 34.5 24.1 54.9
MSCI Emerging Markets Index 5.8 -4.4 1.0 -0.3 7.2 12.8 18.2 -18.4 18.9 78.5 -53.3 39.4 32.2 34.0 25.6 55.8
Emerging Markets Equity Peer Group Median 5.5 -3.4 2.7 -0.1 6.6 12.2 19.5 -19.2 19.2 74.0 -54.5 37.4 32.3 32.9 24.9 56.3
Morgan Stanley Emerging Markets Rank 76 39 52 40 55 41 39 41 55 69 71 25 16 41 60 56
5.0
6.0
7.0
8.0
8.4
Return (%)27.2 27.3 27.4 27.5 27.6 27.7
Risk (Standard Deviation %)
MSCI Emerging Markets Index
Morgan Stanley Emerging Markets
Morgan Stanley Emerging Markets MSCI Emerging Markets Index
0
25
50
75
100Return Percentile Rank12/03 12/04 12/05 12/06 12/07 12/08 12/09 12/10 12/11 9/13
Average Active Weight
0.0 5.0 9.3-5.0
Utilities
Telecommunication Services
Other
Materials
Information Technology
Industrials
Health Care
Financials
Energy
Consumer Staples
Consumer Discretionary
Cash
-3.0
-1.9
0.6
-3.5
0.6
1.6
2.9
-3.4
-3.3
5.8
2.9
0.8
Allocation
(Total: -0.5)
0.0 0.3-0.3-0.5
0.1
0.1
-0.1
-0.1
0.0
0.0
-0.1
0.1
-0.2
-0.4
0.1
-0.1
Stock
(Total: -1.5)
0.0 0.8 1.4-0.8-1.6
0.0
-0.2
0.0
-0.5
0.8
-0.5
-0.1
-1.0
0.1
0.1
-0.2
0.0
Morgan Stanley Emerging Markets
0.0 0.5 1.0 1.4-0.5-1.0-1.5
0.1
-0.1
-0.1
-0.6
0.8
-0.5
-0.2
-0.9
0.0
-0.3
-0.1
-0.1
Manager Evaluation
Morgan Stanley Emerging Markets vs. MSCI Emerging Markets Index
As of September 30, 2013
Differences between the manager return and the attribution return are due primarily to the effects of fees and portfolio trading.
40
Total Attribution
0.0 0.5 1.0-0.5-1.0-1.5-2.0-2.5
Pacific
Other
North America
Frontier Markets
Europe ex EMU
EMU
EM Latin America
EM Europe + Middle East + Africa
EM Asia
Cash
-0.2
0.0
0.1
0.0
0.3
0.2
-0.4
-0.2
-1.7
-0.1
Performance Attribution
Average Active Weight
0.0 2.0 4.0 6.0-2.0-4.0-6.0
Pacific
Other
North America
Frontier Markets
Europe ex EMU
EMU
EM Latin America
EM Europe + Middle East + Africa
EM Asia
Cash
-2.1
0.7
1.3
0.1
2.0
3.6
-3.2
-3.9
0.7
0.8
Allocation
(Total: 0.1)
0.0 0.2 0.4-0.2-0.3
-0.1
0.0
-0.1
0.0
0.3
0.2
0.1
-0.1
0.0
-0.1
Stock
(Total: -2.1)
0.0 0.5 0.9-0.5-1.0-1.5-2.0-2.4
-0.1
0.0
0.2
0.0
0.0
0.0
-0.4
0.0
-1.7
0.0
Manager Evaluation
Morgan Stanley Emerging Markets vs. MSCI Emerging Markets Index
1 Quarter Ending September 30, 2013
41
Top Ten Equity Holdings
Portfolio
Weight
(%)
Benchmark
Weight
(%)
Active
Weight
(%)
Quarterly
Return
(%)
Samsung Electronics Co Ltd 4.5 3.8 0.6 8.6
BRF - Brasil Foods S.A.2.0 0.4 1.6 11.8
Hyundai Motor Co Ltd 2.0 1.0 1.0 18.6
Taiwan Semiconductor Manufacturing 2.0 2.3 -0.3 -5.5
Bank of China Ltd 1.9 0.9 1.0 11.0
Tencent Holdings LTD 1.9 1.5 0.4 33.8
China Mobile Ltd 1.5 1.8 -0.3 9.1
Cemex SAB de CV 1.4 0.3 1.1 5.7
Bank Zachodni Wbk S.A., Wroclaw 1.3 0.1 1.3 32.7
Naspers Ltd 1.3 1.0 0.3 26.0
% of Portfolio 19.8 13.1
Portfolio Characteristics
Portfolio Benchmark
Wtd. Avg. Mkt. Cap ($M)34,160 39,675
Median Mkt. Cap ($M)7,037 4,615
Price/Earnings ratio 12.5 10.8
Price/Book ratio 2.4 2.0
5 Yr. EPS Growth Rate (%)11.0 9.5
Current Yield (%)2.2 2.8
Debt to Equity 0.8 0.9
Number of Stocks 156 818
Beta (5 Years, Monthly)0.97 1.00
Consistency (5 Years, Monthly)43.33 1.00
Sharpe Ratio (5 Years, Monthly)0.36 0.40
Information Ratio (5 Years, Monthly)-0.27 -
Up Market Capture (5 Years, Monthly)94.35 -
Down Market Capture (5 Years, Monthly)96.22 -
Sector Weights (%)
Morgan Stanley Emerging Markets MSCI Emerging Markets Index
0.0 4.0 8.0 12.0 16.0 20.0 24.0 28.0 31.1
Other
Cash
Utilities
Telecommunication Services
Materials
Information Technology
Industrials
Health Care
Financials
Energy
Consumer Staples
Consumer Discretionary
0.5
2.5
0.0
6.3
4.8
16.3
8.2
4.5
23.5
7.1
14.2
12.1
0.0
0.0
3.2
7.6
9.8
15.1
6.2
1.5
27.0
11.9
8.8
8.8
Distribution of Market Capitalization (%)
Morgan Stanley Emerging Markets MSCI Emerging Markets Index
0.0
10.0
20.0
30.0
40.0
50.0
60.0
>$59 Bil $15 Bil -
$59 Bil
$2 Bil -
$15 Bil
$0 -
$2 Bil
Cash
23.0
30.7
43.1
3.2
0.0
17.2
23.4
52.5
4.4 2.5
Manager Evaluation
Morgan Stanley Emerging Markets vs. MSCI Emerging Markets Index
As of September 30, 2013
42
Morgan Stanley
Emerging Markets
MSCI Emerging
Markets Index
Australia 0.0 0.0
Hong Kong 3.5 6.6
Japan 0.8 0.0
New Zealand 0.0 0.0
Singapore 0.3 0.0
Pacific 4.6 6.6
Austria 1.4 0.0
Belgium 0.0 0.0
Finland 0.0 0.0
France 0.0 0.0
Germany 0.0 0.0
Greece 0.0 0.0
Ireland 0.0 0.0
Italy 0.0 0.0
Luxembourg 1.1 0.0
Netherlands 0.9 0.0
Portugal 1.2 0.0
Spain 0.0 0.0
EMU 4.5 0.0
Denmark 0.0 0.0
Norway 0.0 0.0
Sweden 0.0 0.0
Switzerland 0.9 0.0
United Kingdom 1.4 0.0
Europe ex EMU 2.4 0.0
Canada 0.0 0.0
United States 1.9 0.1
Israel 0.0 0.0
Middle East 0.0 0.0
Developed Markets 13.3 6.7
Morgan Stanley
Emerging Markets
MSCI Emerging
Markets Index
Brazil 7.8 11.6
Cayman Islands 0.0 0.0
Chile 1.0 1.7
Colombia 1.3 1.2
Mexico 6.7 5.1
Peru 1.1 0.3
Virgin Islands 0.0 0.0
EM Latin America 17.8 20.0
China 8.7 12.8
India 6.4 5.8
Indonesia 3.0 2.3
Korea 14.1 15.9
Malaysia 3.1 3.7
Philippines 3.8 0.9
Taiwan 7.0 11.5
Thailand 5.8 2.5
EM Asia 51.9 55.5
Czech Republic 0.7 0.3
Egypt 0.0 0.2
Hungary 0.9 0.2
Morocco 0.0 0.1
Poland 3.5 1.7
Russia 2.4 6.2
South Africa 4.3 7.5
Turkey 1.6 1.7
EM Europe + Middle East + Africa 13.4 17.8
Emerging Markets 83.1 93.3
Frontier Markets 0.4 0.0
Cash 2.5 0.0
Other 0.7 0.0
Total 100.0 100.0
Manager Evaluation
Morgan Stanley Emerging Markets vs. MSCI Emerging Markets Index
As of September 30, 2013
43
Historical Performance
Three Year Rolling Percentile Ranking Risk and Return (Oct-2008 - Sep-2013)
Historical Statistics (Oct-2008 - Sep-2013)
Quarter
Year
To
Date
1
Year
3
Years
5
Years
10
Years 2012 2011 2010 2009 2008 2007 2006 2005 2004 2003
Income Research 0.5 -0.9 -0.3 3.0 6.8 5.0 5.9 5.6 6.2 14.4 0.8 7.4 4.5 2.8 3.7 5.6
Barclays Intermediate U.S. Government/Credit 0.6 -0.8 -0.5 2.4 5.0 4.1 3.9 5.8 5.9 5.2 5.1 7.4 4.1 1.6 3.0 4.3
Intermediate Duration Fixed Income Peer Group Median 0.7 -0.9 -0.6 2.4 5.5 4.0 5.1 4.6 6.1 9.8 -1.8 5.5 4.0 1.5 2.6 3.3
Income Research Rank 83 62 45 32 21 18 41 28 49 24 29 9 14 1 19 15
3.0
4.0
5.0
6.0
7.0
8.0
8.9
Return (%)2.8 2.9 3.0 3.1 3.2 3.3 3.4 3.5 3.6 3.7 3.8 3.9
Risk (Standard Deviation %)
Barclays Intermediate U.S. Government/Credit
Income Research
Income Research
Barclays Intermediate U.S. Government/Credit
0
25
50
75
100Return Percentile Rank12/03 12/04 12/05 12/06 12/07 12/08 12/09 12/10 12/11 9/13
Return
Standard
Deviation
Excess
Return Alpha Beta
Sharpe
Ratio
Tracking
Error
Information
Ratio
Downside
Risk Consistency
Inception
Date
Income Research 6.8 3.6 6.5 2.3 0.9 1.8 2.4 0.8 1.0 65.0 16y 8m
Barclays Intermediate U.S. Government/Credit 5.0 3.1 4.8 0.0 1.0 1.6 0.0 N/A 1.0 0.0 16y 8m
90 Day U.S. Treasury Bill 0.2 0.1 0.0 0.1 0.0 N/A 3.0 -1.6 0.0 15.0 16y 8m
Manager Evaluation
Income Research vs. Barclays Intermediate U.S. Government/Credit
As of September 30, 2013
44
Credit Quality Distribution (%)
Income Research
Barcap Intermediate U.S. Government/Credit
0.0
20.0
40.0
60.0
80.0
87.5
AAAAAABBB66.0
6.7
13.8 13.5
56.6
8.2
17.8 17.4
Portfolio Characteristics
Portfolio Benchmark
Effective Duration 3.8 3.9
Avg. Maturity 4.5 4.2
Avg. Quality AA AA+
Yield To Maturity (%)2.0 1.5
Sector Distribution (%)
Income Research
Barcap Intermediate U.S. Government/Credit
0.0
20.0
40.0
60.0
80.0
TreasuriesAgenciesCreditMBSABSNon-USEmergingMunicipalsCashOtherCMBS57.0
7.4
23.3
0.0 0.0
10.0
2.3 0.0 0.0 0.0 0.0
23.1
1.0
36.4
9.0 6.4
0.0 0.0 3.2 0.8
8.3 11.8
Maturity Distribution (%)
Income Research
Barcap Intermediate U.S. Government/Credit
0.0
10.0
20.0
30.0
40.0
50.0
55.4
< 1 Yr1 < 3 Yrs3 < 5 Yrs5 < 10 Yrs10 < 20 Yrs> 20 Yrs0.0
40.9
28.3 30.8
0.0 0.0
8.4
24.9
32.1 32.8
0.7 1.1
Manager Evaluation
Income Research vs. Barcap Intermediate U.S. Government/Credit
As of September 30, 2013
45
Historical Performance
Three Year Rolling Percentile Ranking Risk and Return (Oct-2008 - Sep-2013)
Historical Statistics (Oct-2008 - Sep-2013)
Quarter
Year
To
Date
1
Year
3
Years
5
Years
10
Years 2012 2011 2010 2009 2008 2007 2006 2005 2004 2003
Penn Capital 2.3 2.3 5.1 7.5 10.0 N/A 13.3 4.2 15.0 37.5 -21.0 1.8 8.9 N/A N/A N/A
BofA Merrill Lynch US High Yield, Cash Pay Index 2.3 3.8 7.0 8.8 13.2 8.6 15.4 4.5 15.2 56.3 -26.2 2.2 11.6 2.8 10.8 27.2
High Yield Fixed Income Peer Group Median 2.2 3.8 7.1 8.7 11.7 8.3 15.3 4.0 14.7 47.3 -24.3 2.6 10.7 3.1 10.4 24.1
Penn Capital Rank 48 87 84 82 83 N/A 80 46 41 79 25 74 84 N/A N/A N/A
8.0
10.0
12.0
14.0
16.0
17.0
Return (%)10.0 11.0 12.0 13.0 14.0 15.0 16.0 16.6
Risk (Standard Deviation %)
BofA Merrill Lynch US High Yield, Cash Pay Index
Penn Capital
Penn Capital
BofA Merrill Lynch US High Yield, Cash Pay Index
0
25
50
75
100Return Percentile Rank12/03 12/04 12/05 12/06 12/07 12/08 12/09 12/10 12/11 9/13
Return
Standard
Deviation
Excess
Return Alpha Beta
Sharpe
Ratio
Tracking
Error
Information
Ratio
Downside
Risk Consistency
Inception
Date
Penn Capital 10.0 11.2 10.1 0.3 0.7 0.9 5.1 -0.7 7.4 40.0 8y 3m
BofA Merrill Lynch US High Yield, Cash Pay Index 13.2 14.8 13.5 0.0 1.0 0.9 0.0 N/A 8.3 0.0 8y 3m
90 Day U.S. Treasury Bill 0.2 0.1 0.0 0.2 0.0 N/A 14.9 -0.9 0.0 20.0 8y 3m
Manager Evaluation
Penn Capital vs. BofA Merrill Lynch US High Yield, Cash Pay Index
As of September 30, 2013
46
Credit Quality Distribution (%)
Penn Capital
BofA Merrill Lynch US High Yield, Cash Pay Index
0.0
20.0
40.0
60.0
80.0
87.5
BBBBBBBelow B0.0
43.4 40.6
16.0
1.4
29.8
68.8
0.0
Portfolio Characteristics
Portfolio Benchmark
Effective Duration 3.9 4.4
Avg. Maturity 6.1 6.7
Avg. Quality B B+
Yield To Maturity (%)6.3 6.4
Sector Distribution (%)
Penn Capital
BofA Merrill Lynch US High Yield, Cash Pay Index
0.0
30.0
60.0
90.0
120.0
135.0
High YieldCash100.0
0.0
98.0
2.0
Maturity Distribution (%)
Penn Capital
BofA Merrill Lynch US High Yield, Cash Pay Index
0.0
20.0
40.0
60.0
80.0
100.0
1 < 3 Yrs3 < 5 Yrs5 < 10 Yrs10 < 20 Yrs> 20 Yrs9.1
20.8
64.5
3.7 1.93.3
19.9
76.8
0.0 0.0
Manager Evaluation
Penn Capital vs. BofA Merrill Lynch US High Yield, Cash Pay Index
As of September 30, 2013
47
Historical Performance
Three Year Rolling Percentile Ranking Risk and Return (Apr-2010 - Sep-2013)
Historical Statistics (Apr-2010 - Sep-2013)
Quarter
Year
To
Date
1
Year
3
Years
5
Years
10
Years 2012 2011 2010 2009 2008 2007 2006 2005 2004 2003
Loomis Credit Asset Fund 1.7 2.1 4.6 7.2 N/A N/A 14.2 3.3 N/A N/A N/A N/A N/A N/A N/A N/A
50% BC Credit / 25% S&P LSTA / 25% BY High Yield 1.2 0.3 2.0 5.9 9.9 6.2 11.0 5.8 10.6 34.3 -15.9 3.6 6.8 3.0 6.7 13.4
Alternative Credit Focus Funds Peer Group Median 0.4 -0.4 1.3 3.8 6.9 4.4 8.9 0.7 7.8 20.7 -12.8 4.6 5.5 1.4 6.1 15.8
Loomis Credit Asset Fund Rank 8 14 11 1 N/A N/A 6 22 N/A N/A N/A N/A N/A N/A N/A N/A
6.0
6.5
7.0
7.5
8.0
8.5
9.0
9.3
Return (%)3.0 3.2 3.4 3.6 3.8 4.0 4.2 4.4 4.6 4.8 5.0 5.2
Risk (Standard Deviation %)
50% BC Credit / 25% S&P LSTA / 25% BY High Yield
Loomis Credit Asset Fund
Loomis Credit Asset Fund
50% BC Credit / 25% S&P LSTA / 25% BY High Yield
0
25
50
75
100Return Percentile Rank12/03 12/04 12/05 12/06 12/07 12/08 12/09 12/10 12/11 9/13
Return
Standard
Deviation
Excess
Return Alpha Beta
Sharpe
Ratio
Tracking
Error
Information
Ratio
Downside
Risk Consistency
Inception
Date
Loomis Credit Asset Fund 8.0 4.7 7.8 -0.5 1.2 1.7 2.0 0.5 1.9 71.4 3y 6m
50% BC Credit / 25% S&P LSTA / 25% BY High Yield 6.8 3.5 6.6 0.0 1.0 1.9 0.0 N/A 1.2 0.0 3y 6m
90 Day U.S. Treasury Bill 0.1 0.0 0.0 0.1 0.0 N/A 3.5 -1.9 0.0 14.3 3y 6m
Manager Evaluation
Loomis Credit Asset Fund vs. 50% BC Credit / 25% S&P LSTA / 25% BY High Yield
As of September 30, 2013
48
Credit Quality Distribution (%)
Loomis Credit Asset Fund
0.0
5.0
10.0
15.0
20.0
25.0
30.0
33.8
AAAAAABBBBBBBelow B5.5
3.6
16.0
18.1
25.0
26.9
4.9
Portfolio Characteristics
Portfolio
Effective Duration 3.7
Avg. Maturity 6.5
Avg. Quality BB+
Yield To Maturity (%)4.8
Sector Distribution (%)
Loomis Credit Asset Fund
0.0
10.0
20.0
30.0
40.0
TreasuriesCreditHigh YieldMBSABSNon-USCashOtherCMBS0.1
22.6
27.2
4.9 3.8
0.9
4.4
31.8
4.3
Maturity Distribution (%)
Loomis Credit Asset Fund
0.0
20.0
40.0
60.0
80.0
100.0
< 1 Yr1 < 3 Yrs3 < 5 Yrs5 < 10 Yrs10 < 20 Yrs> 20 Yrs0.4 1.4
20.2
75.8
0.3 2.0
Manager Evaluation
Loomis Credit Asset Fund
As of September 30, 2013
49
Historical Performance
Three Year Rolling Percentile Ranking Risk and Return (Oct-2008 - Sep-2013)
Historical Statistics (Oct-2008 - Sep-2013)
Quarter
Year
To
Date
1
Year
3
Years
5
Years
10
Years 2012 2011 2010 2009 2008 2007 2006 2005 2004 2003
Brandywine Global Opportunistic Fixed Income 0.2 -3.3 -0.5 5.6 9.1 N/A 14.1 8.0 13.9 20.5 -8.5 10.6 8.4 -0.9 N/A N/A
Citigroup World Government Bond 2.9 -2.9 -4.6 1.0 4.3 4.8 1.6 6.4 5.2 2.6 10.9 11.0 6.1 -6.9 10.3 14.9
Global Fixed Income Peer Group Median 1.2 -2.1 -1.0 2.7 5.5 5.3 7.5 3.7 6.1 12.0 -2.1 7.7 5.7 0.7 9.5 13.4
Brandywine Global Opportunistic Fixed Income Rank 86 64 43 8 10 N/A 15 12 10 25 74 18 21 55 N/A N/A
0.0
2.0
4.0
6.0
8.0
10.0
12.0
14.0
Return (%)6.6 6.9 7.2 7.5 7.8 8.1 8.4 8.7 9.0 9.3 9.5
Risk (Standard Deviation %)
Citigroup World Government Bond
Brandywine Global Opportunistic Fixed Income
Brandywine Global Opportunistic Fixed Income
Citigroup World Government Bond
0
25
50
75
100Return Percentile Rank12/03 12/04 12/05 12/06 12/07 12/08 12/09 12/10 12/11 9/13
Return
Standard
Deviation
Excess
Return Alpha Beta
Sharpe
Ratio
Tracking
Error
Information
Ratio
Downside
Risk Consistency
Inception
Date
Brandywine Global Opportunistic Fixed Income 9.1 8.7 9.1 7.0 0.5 1.0 8.5 0.6 3.1 75.0 8y 9m
Citigroup World Government Bond 4.3 7.2 4.3 0.0 1.0 0.6 0.0 N/A 3.2 0.0 8y 9m
90 Day U.S. Treasury Bill 0.2 0.1 0.0 0.1 0.0 N/A 7.1 -0.6 0.0 45.0 8y 9m
Manager Evaluation
Brandywine Global Opportunistic Fixed Income vs. Citigroup World Government Bond
As of September 30, 2013
50
Credit Quality Distribution (%)
Brandywine Global Opportunistic Fixed Income
Citigroup World Government Bond
0.0
20.0
40.0
60.0
80.0
87.5
AAAAAABBBBBBBelow B19.5
66.9
2.1
11.5
0.0 0.0 0.0
26.1 24.1 21.9 18.9
7.0
0.1 1.9
Portfolio Characteristics
Portfolio Benchmark
Effective Duration 5.9 6.8
Avg. Maturity 11.3 8.2
Avg. Quality A+AA
Yield To Maturity (%)4.1 1.5
Sector Distribution (%)
Brandywine Global Opportunistic Fixed Income
Citigroup World Government Bond
0.0
30.0
60.0
90.0
-26.3
TreasuriesCreditHigh YieldMBSNon-USEmergingMunicipalsCashOther29.0
0.0 0.0 0.0
71.0
0.0 0.0 0.0 0.0
12.5
4.0 0.1 1.8
70.1
8.4
0.8 3.1
-0.8
Maturity Distribution (%)
Brandywine Global Opportunistic Fixed Income
Citigroup World Government Bond
0.0
10.0
20.0
30.0
40.0
< 1 Yr1 < 3 Yrs3 < 5 Yrs5 < 10 Yrs10 < 20 Yrs> 20 Yrs0.0
28.4
20.0
27.4
24.2
0.0
18.8
21.7
3.6
19.4
7.3
29.2
Manager Evaluation
Brandywine Global Opportunistic Fixed Income vs. Citigroup World Government Bond
As of September 30, 2013
51
Historical Performance
Three Year Rolling Percentile Ranking Risk and Return (Jul-2010 - Sep-2013)
Historical Statistics (Jul-2010 - Sep-2013)
Quarter
Year
To
Date
1
Year
3
Years
5
Years
10
Years 2012 2011 2010 2009 2008 2007 2006 2005 2004 2003
Pictet Emerging Local Currency Debt Fund -1.4 -8.9 -5.6 0.4 N/A N/A 15.3 -2.3 N/A N/A N/A N/A N/A N/A N/A N/A
JPM GBI-EM Global Diversified -0.4 -7.6 -3.7 1.8 7.3 10.1 16.8 -1.8 15.7 22.0 -5.2 18.1 15.2 6.3 23.0 16.9
Emerging Markets LC Peer Group Median -0.5 -8.8 -5.5 1.1 6.4 N/A 16.6 -3.3 14.3 24.1 N/A N/A N/A N/A N/A N/A
Pictet Emerging Local Currency Debt Fund Rank 96 57 57 82 N/A N/A 68 40 N/A N/A N/A N/A N/A N/A N/A N/A
2.0
3.0
4.0
5.0
6.0
7.0
7.5
Return (%)10.0 10.2 10.4 10.6 10.8 11.0 11.2
Risk (Standard Deviation %)
JPM GBI-EM Global Diversified
Pictet Emerging Local Currency Debt Fund
Pictet Emerging Local Currency Debt Fund
JPM GBI-EM Global Diversified
0
25
50
75
100Return Percentile Rank12/03 12/04 12/05 12/06 12/07 12/08 12/09 12/10 12/11 9/13
Return
Standard
Deviation
Excess
Return Alpha Beta
Sharpe
Ratio
Tracking
Error
Information
Ratio
Downside
Risk Consistency
Inception
Date
Pictet Emerging Local Currency Debt Fund 3.6 10.2 4.0 -1.4 0.9 0.4 1.0 -1.8 6.0 7.7 3y 3m
JPM GBI-EM Global Diversified 5.4 10.8 5.8 0.0 1.0 0.5 0.0 N/A 6.2 0.0 3y 3m
90 Day U.S. Treasury Bill 0.1 0.0 0.0 0.1 0.0 N/A 10.8 -0.5 0.0 46.2 3y 3m
Manager Evaluation
Pictet Emerging Local Currency Debt Fund vs. JPM GBI-EM Global Diversified
As of September 30, 2013
52
Credit Quality Distribution (%)
Pictet Emerging Local Currency Debt Fund
JPM GBI-EM Global Diversified
0.0
20.0
40.0
60.0
78.8
AAAAAABBBBBBBelow BNot Rated0.0 0.2
19.7
62.2
18.0
0.0 0.0 0.00.2 0.1
17.5
55.9
16.2
10.1
0.0 0.0
Portfolio Characteristics
Portfolio Benchmark
Effective Duration 4.9 4.7
Avg. Maturity 7.1 6.8
Avg. Quality BBB BBB
Yield To Maturity (%)6.3 6.5
Country/Region Distribution (%)
Pictet Emerging Local Currency Debt Fund
JPM GBI-EM Global Diversified
0.0
11.0
22.0
33.0
44.0
54.0
AsiaEastern EuropeLatin AmericaAfricaOthers25.6
36.4
25.9
12.1
0.0
26.2
37.1
21.2
15.4
0.2
Sector Distribution (%)
Pictet Emerging Local Currency Debt Fund
JPM GBI-EM Global Diversified
0.0
30.0
60.0
90.0
120.0
135.0
Local CurrencyCashOther100.0
0.0 0.0
89.6
9.9
0.5
Manager Evaluation
Pictet Emerging Local Currency Debt Fund vs. JPM GBI-EM Global Diversified
As of September 30, 2013
53
Historical Performance
Comparative Performance and Rolling Return Risk and Return (Oct-2008 - Sep-2013)
Historical Statistics (Oct-2008 - Sep-2013)
Quarter
Year
To
Date
1
Year
3
Years
5
Years
10
Years 2012 2011 2010 2009 2008 2007 2006 2005 2004 2003
GMO Asset Allocation Fund 4.4 8.0 10.1 8.0 7.6 7.9 10.4 1.7 7.4 22.4 -19.4 8.6 12.1 9.5 13.4 28.5
65% MSCI World (Net) / 35% BC Aggregate 5.5 10.3 12.2 8.9 7.5 6.9 11.9 -0.7 10.5 21.6 -26.9 8.4 14.4 7.1 11.1 22.4
7.4
7.5
7.6
7.7
7.7
Return (%)10.0 11.0 12.0 13.0 14.0 15.0
Risk (Standard Deviation %)
65% MSCI World (Net) / 35% BC Aggregate
GMO Asset Allocation Fund
Rolling 3 Years Active Return Quarterly Active Return
0.0
4.0
8.0
12.0
16.0
-4.0
-8.0
-12.0Active Return (%)3/97 9/98 3/00 9/01 3/03 9/04 3/06 9/07 3/09 9/10 3/12 9/13
Return
Standard
Deviation
Excess
Return Alpha Beta
Sharpe
Ratio
Tracking
Error
Information
Ratio
Downside
Risk Consistency
Inception
Date
GMO Asset Allocation Fund 7.6 11.1 7.8 1.5 0.8 0.7 3.4 -0.1 6.5 40.0 16y 11m
65% MSCI World (Net) / 35% BC Aggregate 7.5 13.9 8.1 0.0 1.0 0.6 0.0 N/A 8.7 0.0 16y 11m
90 Day U.S. Treasury Bill 0.2 0.1 0.0 0.2 0.0 N/A 14.0 -0.6 0.0 30.0 16y 11m
Manager Evaluation
GMO Asset Allocation Fund vs. 65% MSCI World (Net) / 35% BC Aggregate
As of September 30, 2013
54
Manager Evaluation
GMO Asset Allocation Fund
As of September 30, 2013
U.S. Flexible
Eq uit ies*
22.1%
Int ernatio nal
Intrins ic Value
21.3%
In ternat io nal
Gro wt h E quity
1.1%
Currenc y Hed ged
In ternatio nal
Equity
5.6%
Ri sk Premium
2.4%
Emerg ing Markets
9.0%
Domes tic Bond
0.8%
Strat eg ic Fixed
In come
4.9%
Emerg ing Co unt ry
Debt
3.5%
Asset Allo catio n
Bo nd
10.1%
Debt
Op portunities
2.5%
Cas h &Cas h
Equiv alent s
0.3%
Alp ha Only
9.2%
Alternat ive A sset
Op portunity
6.9%
Spec ial Situatio ns
0.5%
-9%
4%2%
-13%
17%
-20%
-15%
-10%
-5%
0%
5%
10%
15%
20%
U.S. Equities Int'l.Equities Em ergin g
Equities
Fixed Income Ot her
Fund Composition Fund Weights Relative to Benchmark
55
Historical Performance
Comparative Performance and Rolling Return Risk and Return (Oct-2008 - Sep-2013)
Historical Statistics (Oct-2008 - Sep-2013)
Quarter
Year
To
Date
1
Year
3
Years
5
Years
10
Years 2012 2011 2010 2009 2008 2007 2006 2005 2004 2003
Pyramis Market Neutral 3.2 0.8 1.9 2.2 1.2 N/A 1.9 0.9 -4.4 4.1 -9.3 25.4 7.2 N/A N/A N/A
3 Month T-Bills + 3%0.8 2.3 3.1 3.1 3.2 4.8 3.1 3.1 3.1 3.2 5.1 8.2 8.0 6.2 4.4 4.2
-1.0
0.0
1.0
2.0
3.0
4.0
5.0
5.4
Return (%)-2.0 -1.0 0.0 1.0 2.0 3.0 4.0 5.0 6.0 7.0
Risk (Standard Deviation %)
3 Month T-Bills + 3%
Pyramis Market Neutral
Rolling 3 Years Active Return Quarterly Active Return
0.0
5.0
10.0
14.9
-5.0
-10.0
-15.0
-19.2Active Return (%)12/05 9/06 6/07 3/08 12/08 9/09 6/10 3/11 12/11 9/12 9/13
Return
Standard
Deviation
Excess
Return Alpha Beta
Sharpe
Ratio
Tracking
Error
Information
Ratio
Downside
Risk Consistency
Inception
Date
Pyramis Market Neutral 1.2 4.8 1.1 -29.9 11.2 0.2 4.8 -0.4 2.8 45.0 8y 2m
3 Month T-Bills + 3%3.2 0.1 3.0 0.0 1.0 173.1 0.0 N/A 0.0 0.0 8y 2m
90 Day U.S. Treasury Bill 0.2 0.1 0.0 -3.3 1.1 N/A 0.0 -173.1 0.0 0.0 8y 2m
Manager Evaluation
Pyramis Market Neutral vs. 3 Month T-Bills + 3%
As of September 30, 2013
56
Manager Evaluation
Pyramis Market Neutral Fund
As of September 30, 2013
Investm ent Type Ex posure
28.1%
22.1%
14.7%11.7%
6.4%5.7%4.1%2.1%1.7%
0.0%
-27.0%-24.3%
-12.2%-11.3%-7.0%-8.1%-4.1%-1.4%-0.9%
0.0%
Long Short
-3%
-2%
-1%
0%
1%
2%
3%
4%
Sector Attribution
57
Historical Performance
Comparative Performance and Rolling Return Risk and Return (Oct-2008 - Sep-2013)
Historical Statistics (Oct-2008 - Sep-2013)
Quarter
Year
To
Date
1
Year
3
Years
5
Years
10
Years 2012 2011 2010 2009 2008 2007 2006 2005 2004 2003
PIMCO All Asset Fund I 2.9 -0.5 2.3 6.0 8.6 7.2 15.4 2.4 13.7 23.0 -15.5 8.7 5.3 6.5 11.8 16.0
Barclays U.S. Treasury Inflation Notes: 1-10 Year 0.9 -4.3 -3.9 3.1 4.1 4.6 5.0 8.9 5.2 12.0 -2.4 11.4 1.6 1.9 7.1 7.1
0.0
2.0
4.0
6.0
8.0
10.0
12.0
13.7
Return (%)3.0 4.0 5.0 6.0 7.0 8.0 9.0 10.0 11.0 12.0
Risk (Standard Deviation %)
Barclays U.S. Treasury Inflation Notes: 1-10 Year
PIMCO All Asset Fund I
Rolling 3 Years Active Return Quarterly Active Return
0.0
4.0
8.0
12.0
16.0
-4.0
-8.0
-12.0Active Return (%)12/02 12/03 12/04 12/05 12/06 12/07 12/08 12/09 12/10 12/11 9/13
Return
Standard
Deviation
Excess
Return Alpha Beta
Sharpe
Ratio
Tracking
Error
Information
Ratio
Downside
Risk Consistency
Inception
Date
PIMCO All Asset Fund I 8.6 9.8 8.6 5.5 0.8 0.9 9.0 0.5 5.2 75.0 11y 2m
Barclays U.S. Treasury Inflation Notes: 1-10 Year 4.1 4.9 4.0 0.0 1.0 0.8 0.0 N/A 3.4 0.0 11y 2m
90 Day U.S. Treasury Bill 0.2 0.1 0.0 0.2 0.0 N/A 5.0 -0.8 0.0 10.0 11y 2m
Manager Evaluation
PIMCO All Asset Fund I vs. Barclays U.S. Treasury Inflation Notes: 1-10 Year
As of September 30, 2013
58
Manager Evaluation
PIMCO All Asset Fund I Sector Allocations
As of September 30, 2013
U.S. Equity Strateg ies
1.1%
Global Eq uity
Strateg ies
19.9%
U.S. Co re & Long
Maturity Bond
Strateg ies
8.3%
Cred it Strateg ies
26.3%
EM & Global Bo nd
Strateg ies
25.2%
In fl ati on Rel ated
Strateg ies
5.3%
Al ter nati ve Strateg ies
13.9%
59
Historical Performance
Comparative Performance and Rolling Return Risk and Return (Oct-2008 - Sep-2013)
Historical Statistics (Oct-2008 - Sep-2013)
Quarter
Year
To
Date
1
Year
3
Years
5
Years
10
Years 2012 2011 2010 2009 2008 2007 2006 2005 2004 2003
UBS Trumbull Property Fund 2.5 7.1 8.9 10.5 1.3 6.9 9.0 12.1 15.9 -22.9 -8.3 12.8 15.6 20.1 13.5 8.5
NCREIF Property Index 2.6 8.2 11.0 12.7 3.4 8.7 10.5 14.3 13.1 -16.8 -6.5 15.8 16.6 20.1 14.5 9.0
-1.0
0.0
1.0
2.0
3.0
4.0
5.0
5.7
Return (%)7.0 7.2 7.4 7.6 7.8 8.0 8.2 8.4 8.6 8.8 9.0 9.2 9.4 9.6
Risk (Standard Deviation %)
NCREIF Property Index
UBS Trumbull Property Fund
Rolling 3 Years Active Return Quarterly Active Return
0.0
3.0
6.0
8.4
-3.0
-6.0
-8.2Active Return (%)3/78 3/81 3/84 3/87 3/90 3/93 3/96 3/99 3/02 3/05 3/08 3/11 9/13
Return
Standard
Deviation
Excess
Return Alpha Beta
Sharpe
Ratio
Tracking
Error
Information
Ratio
Downside
Risk Consistency
Inception
Date
UBS Trumbull Property Fund 1.3 8.9 1.5 -2.4 1.1 0.2 2.1 -0.9 7.3 25.0 35y 9m
NCREIF Property Index 3.4 7.6 3.5 0.0 1.0 0.5 0.0 N/A 5.7 0.0 35y 9m
90 Day U.S. Treasury Bill 0.2 0.1 0.0 0.2 0.0 N/A 7.7 -0.5 0.0 25.0 35y 9m
Manager Evaluation
UBS Trumbull Property Fund vs. NCREIF Property Index
As of September 30, 2013
60
Property Type
UBS Trumbull Property Fund NCREIF Property Index
0.0
10.0
20.0
30.0
40.0
48.6
OfficeApartmentRetailIndustrialHotel35.3
25.2 23.3
13.9
2.3
33.0 33.0
20.0
9.0
5.0
Portfolio Characteristics
Portfolio Benchmark
# Properties 179 7,027
# Investors 397 N/A
Leverage %13.1 N/A
Property Location
UBS Trumbull Property Fund NCREIF Property Index
0.0
10.0
20.0
30.0
40.0
50.0
58.1
EastWestSouthMidwest34.3 34.9
21.3
9.5
42.6
30.8
15.6
11.0
Manager Evaluation
UBS Trumbull Property Fund vs. NCREIF Property Index
As of September 30, 2013
61
Type City
Acquisition
Date
%
Occupancy Cost ($000)
Fair Market
Value ($000)
Office New York Jun-06 100%655,345$ 672,000$
Office Boston Dec-11 84%622,232$ 631,000$
Retail Cambridge May-89 96%291,053$ 510,345$
Retail Dallas Dec-02 95%393,654$ 481,300$
Apartments New York Jul-11 97%391,531$ 447,000$
Office New York Jul-11 95%186,462$ 404,496$
Office Chicago Dec-11 100%380,106$ 389,304$
Office Washington May-06 86%238,194$ 256,000$
Retail Montebello Dec-88 99%182,933$ 250,000$
Apartments Brooklyn Dec-07 95%225,046$ 238,000$
Office Denver Jun-06 89%151,775$ 221,953$
Office Seattle Oct-84 71%216,256$ 221,600$
Office Denver Apr-82 91%137,342$ 193,000$
Office San Francisco Dec-85 95%159,705$ 190,804$
Apartments Arlington Mar-13 87%67,568$ 189,889$
Apartments Washington Apr-02 97%79,610$ 186,986$
Retail Millbury Sep-04 99%156,000$ 184,700$
Office Pasadena May-84 95%178,240$ 184,000$
Office Mettawa May-06 100%150,188$ 154,000$
Retail Stamford Sep-98 93%146,723$ 153,633$
All other investments ------8,062,932$ 8,586,349$
Total Properties 13,072,894$ 14,746,359$
As of September 30, 2013
20 Largest Investments
Manager Evaluation
UBS Trumbull Property Fund
As of September 30, 2013
62
Historical Performance
Comparative Performance and Rolling Return Risk and Return (Apr-2010 - Sep-2013)
Historical Statistics (Apr-2010 - Sep-2013)
Quarter
Year
To
Date
1
Year
3
Years
5
Years
10
Years 2012 2011 2010 2009 2008 2007 2006 2005 2004 2003
Wellington Diversified Inflation Hedges 4.9 -6.3 -7.7 0.7 N/A N/A 5.2 -8.6 N/A N/A N/A N/A N/A N/A N/A N/A
Wellington DIH Multi-Asset Inflation Index 5.5 -3.7 -5.2 0.8 1.3 7.4 2.3 -7.0 12.7 30.0 -32.7 25.8 14.1 19.7 16.0 26.0
0.8
1.0
1.2
1.4
1.6
1.8
2.0
2.2
Return (%)14.5 15.0 15.5 16.0 16.5 17.0 17.5 17.9
Risk (Standard Deviation %)
Wellington DIH Multi-Asset Inflation Index
Wellington Diversified Inflation Hedges
Rolling 3 Years Active Return Quarterly Active Return
0.0
1.0
2.0
3.0
-1.0
-2.0
-3.0
-3.9Active Return (%)6/10 12/10 6/11 12/11 6/12 12/12 6/13 9/13
Return
Standard
Deviation
Excess
Return Alpha Beta
Sharpe
Ratio
Tracking
Error
Information
Ratio
Downside
Risk Consistency
Inception
Date
Wellington Diversified Inflation Hedges 1.7 17.0 3.0 0.5 1.1 0.2 2.6 0.3 11.5 57.1 3y 6m
Wellington DIH Multi-Asset Inflation Index 1.2 15.2 2.3 0.0 1.0 0.1 0.0 N/A 10.4 0.0 3y 6m
90 Day U.S. Treasury Bill 0.1 0.0 0.0 0.1 0.0 N/A 15.2 -0.1 0.0 50.0 3y 6m
Manager Evaluation
Wellington Diversified Inflation Hedges vs. Wellington DIH Multi-Asset Inflation Index
As of September 30, 2013
63
Manager Evaluation
We llington Diversified Inflation Hedges Sector Allocation
As of September 30, 2013
En ergy
28.7%
Metals &
Mi ning
3.0%
Agricultu re
5.1%
En du ri ng
Assets
11 .7%
Preciou s
Metals
8.7%
Commoditi es
22.4%
TIP S
8.1%
Emerging
Markets
In flation -Linked
Bon ds
5.7%
Cash
6.7%
Global Inflation-Sensitive Equities
Commodities
Fixed Income & Cash
4%
-13%
-2%
11%
-20%
-15%
-10%
-5%
0%
5%
10%
15%
20%
Equities Fixed Income Commodities Ca sh
Fund Composition Fund Weights Relative to Benchmark
64
Calendar Year Performance
65
Year
To
Date 2012 2011 2010 2009 2008 2007 2006 2005 2004
Total Composite 6.7 12.1 1.2 11.2 20.2 -20.2 10.7 11.8 5.6 9.1
Policy Benchmark 8.1 11.6 1.1 11.5 19.5 -20.6 8.3 13.0 5.7 10.7
Total Equity Composite N/A N/A N/A N/A N/A N/A N/A N/A N/A N/A
MSCI AC World Index 14.4 16.1 -7.3 12.7 34.6 -42.2 11.7 21.0 10.8 15.2
Domestic Equity Composite N/A N/A N/A N/A N/A N/A N/A N/A N/A N/A
Russell 3000 Index 21.3 (46)16.4 (26)1.0 (16)16.9 (39)28.3 (59)-37.3 (38)5.1 (62)15.7 (31)6.1 (63)11.9 (50)
Broad Equity Peer Group Median 21.0 14.6 -2.1 16.2 29.6 -38.4 6.5 13.6 7.0 11.9
International Equity Composite N/A N/A N/A N/A N/A N/A N/A N/A N/A N/A
MSCI AC World ex USA Index 10.0 (45)16.8 (72)-13.7 (32)11.2 (74)41.4 (64)-45.5 (36)16.7 (66)26.7 (55)16.6 (86)20.9 (42)
International Equity Peer Group Median 9.6 18.5 -15.2 13.6 44.1 -47.0 18.3 27.0 19.7 20.2
Fixed Income Composite -2.0 (89)10.9 (1)3.8 (72)8.7 (10)18.9 (8)-3.4 (70)6.4 (26)5.6 (8)2.8 (1)3.7 (19)
Barclays Intermediate U.S. Government/Credit -0.8 (50)3.9 (70)5.8 (22)5.9 (54)5.2 (100)5.1 (13)7.4 (9)4.1 (42)1.6 (46)3.0 (34)
Intermediate Duration Fixed Income Peer Group Median -0.9 5.1 4.6 6.1 9.8 -1.8 5.5 4.0 1.5 2.6
Tactical Asset Allocation Composite 8.0 10.4 1.7 7.4 22.4 -19.4 8.6 12.3 5.0 11.1
60% World / 40% Agg 9.3 11.3 0.0 10.2 20.4 -24.7 8.3 13.6 6.7 10.6
Alternatives Composite N/A N/A N/A N/A N/A N/A N/A N/A N/A N/A
3 Month T-Bills + 3%2.3 3.1 3.1 3.1 3.2 5.1 8.2 8.0 6.2 4.4
Calendar Year Performance
Composite Performance
As of September 30, 2013
_________________________
See appendix for a description of the benchmarks and universe. Performance is reported net of fees.
66
Capital Markets Review
67
No Fed Tapering Gives Markets Breathing Room
•Ben Bernanke stunned investors who widely expected a tapering of the Federal
Reserve’s bond purchases in September.The indefinite delay of tapering was
predicated by a highly contestable political process,which brought the federal
government to the brink of its borrowing limit.Sequester spending cuts also weighed
on growth,and the Fed viewed continued intervention as necessary to balance the
economic uncertainties emanating from federal fiscal policy.A negative reaction in the
housing markets to Bernanke’s May comments regarding an eventual end of bond
purchases also influenced the decision to continue monetary easing and keep interest
rates at minimum levels.
•As the implementation of Obamacare neared,President Obama delayed the employer
mandate by one year,citing the need for government agencies involved in healthcare
regulation to bolster their oversight systems to handle the increased oversight.The law
requires many agencies to cooperate and cross-check employer and employee data,and
has proven a greater task than initially perceived.In the months preceding the change to
the mandate,business hiring patterns shifted,favoring part-time workers.Owing partly
to the mandate’s requirement for businesses with over 50 full-time workers to provide
health insurance for their employees,the one year reprieve propelled a reversal in part-
time hiring during the quarter.Smaller companies were more affected,as larger
companies tend to provide some type of health insurance coverage.As businesses grasp
the enormity of changes and costs for providing health insurance,there is an elevated
likelihood of full-time hiring retreating in favor of part-time workers in 2014 at smaller
companies.Large-company employees are bracing for substantially higher premiums
and/or deductibles in 2014.
•Decades of decline,mismanagement and overpromises to city workers forced Detroit
into bankruptcy.Several rounds of negotiations with employee unions failed to bear
results,and the city’s finances were taken over by a financial manager.Chicago’s bond
rating was lowered substantially as it faced a massive unfunded pension liability.
Generous pension benefits,protected by state law,ma ke it difficult for Chicago to trim
costs without increasing worker contributions,lowering health care benefits and/or
raising taxes.
•The U.S.dollar weakened during the quarter as much of Europe appeared to show signs
of recovery.Asia appears to be managing well on a slower growth track.Political
disagreement in the U.S.drove investors to sell the dollar as the mid-October debt
ceiling deadline drew closer.
•Elevated M&A activity reflected the recent difficulty of growing earnings through sales
as an overlay of rising health insurance costs and political policy uncertainty pressured
consumers to closely monitor their spending habits.
-14
-12
-10
-8
-6
-4
-2
0
2
4
6
Nov-2007May-2008Nov-2008May-2009Nov-2009May-2010Nov-2010May-2011Nov-2011May-2012Nov-2012May-2013MillionsEmployment Growth
Part-Time
Full-Time
-25%
-20%
-15%
-10%
-5%
0%
5%
10%
15%
20%Dec-2012Jan-2013Mar-2013Mar-2013Apr-2013May-2013Jun-2013Jul-2013Aug-2013Sep-2013USD/Foreign Currency % ChangeEuro Yen (J ap an)
Real (Brazil)Rup ee (Ind)`
Wo n (S. Korea)
Source: Bloomberg
Capital Markets Rev iew
Economy
Employment Growth Changed Little Last Twelve Months
U.S. Dollar Weakens in September
M&A: 2013 YTD, 2012
0
50
100
150
200
250
300
350
400
Billions $2013 YTD (9 Months)2012 (12 Months)
To p five industries per period
68
-40%
-30%
-20%
-10%
0%
10%
20%
30%Relative Performance3rd Quarter 2013 Sector Returns
Yields: Equities versus Bonds
Capital Markets Rev iew
Equities
Equity Markets Fly in Third Quarter Despite Tu rbulence
•Global equity markets experienced strong gains in a risk-on,risk-off third quarter where
markets were driven by government policies and geopolitical news rather than corporate
fundamentals.In what was an eventful three months for equity markets,decreased risk of
military action in Syria,the unanticipated decision not to taper QE3,and positive economic
data out of Europe,China,and the U.S.were the main catalysts of solid performance.Despite
positive results overall,equity markets did experience bouts of poor performance throughout
the quarter,most notably at the end of September when investors shifted their focus to the
threat of both a government shutdown and debt default in the U.S.The S&P 500 ended the
quarter with a 5.2%return.Foreign markets fared better with the MSCI EAFE and MSCI
Emerging Market indices returning 11.6%and 5.8%,respectively.Domestic markets,however,
still displayed the strongest year-to-date returns with the S&P 500 up 19.8%,surpassing
expectations from the start of the year.
•In the third quarter,growth companies significantly outpaced value companies among domestic
stocks,while value companies outperformed growth companies among non-U.S.indices.From
a capitalization perspective,both small-and mid-cap indices outperformed their large-cap
counterparts with small-cap advancing the most.Within the Russell 3000,economically
sensitive sectors led the way.The materials (+9.9%)and industrials (+9.6%)sectors were the
best performers as a result of positive economic trends globally.Defensive sectors lagged
during the quarter with utilities (+0.4%)and telecom (-2.9%)exhibiting the poorest returns due
to rising bond yields,an alternative to dividend-focused sectors.
•The MSCI EAFE Index advanced 11.6%during the third quarter as every developed country
experienced positive returns.The European region (+13.6%)led returns across developed
countries with European Monetary and Economic Union members (+16.1%)performing
especially well.Data evidencing the fact that the European region’s longest ever recession has
ended boosted equity markets.Peripheral countries Greece (+33.6%),Spain (+25.7%),and
Italy (19.6%)surged during the period due to increasingly positive investor sentiment.Japan
(+6.7%),despite increased volatility,added to its impressive return for the ye ar and is now up
24.3%year-to-date.
•The MSCI EM Index advanced 5.8%for the quarter due to China’s improving economic
condition and the Fed’s unexpected announcement that it will not begin to taper asset
purchases.A late September rally resulting from the Fed’s announcement made up for weak
performance during the first two months caused by slower economic growth,currency
weakness,and Middle East tensions.Performance among EM countries was mixed,with
European EM countries (+9.6%)experiencing the strongest gains.
•For the second straight quarter flows into equity mutual fund increased and bond funds
experienced outflows.Despite increased flows and strong performance,equity valuations
appear reasonable relative to historical standards.Current valuations are near the long-term
average for domestic indices and below average for non-U.S.indices.
Developed vs. Emerging Markets: 3 Year Relative Performance
Rolling 3 Year Annualized Relative Returns
Developed Markets Outperformed
Emerging Markets Outperformed
0.0
0.5
1.0
1.5
2.0
2.5
3.0
3.5
4.0
4.5
5.0
5.5
Sep-02Mar-03Sep-03Mar-04Sep-04Mar-05Sep-05Mar-06Sep-06Mar-07Sep-07Mar-08Sep-08Mar-09Sep-09Mar-10Sep-10Mar-11Sep-11Mar-12Sep-12Mar-13Sep-13PercentUS Treasury 10 Yr Yi eld
S&P 500 Dividend Yield
69
-10.0%
-8.0%
-6.0%
-4.0%
-2.0%
0.0%
2.0%
4.0%
6.0%
8.0%YTD Total ReturnDate
US Agg High Yield Bank Loans Global Agg EMD TIP S
-0.1%
0.1%
0.3%
0.5%
0.7%
0.9%Change in YieldMaturity (Years)
3Q YTD 2013
Fed’s No-taper Curveball a Hit with the Bond Market
•In the third quarter,the bond market was a tale of two periods bifurcated by the Federal
Reserve’s surprise decision on September 18th not to taper its $85 billion in monthly asset
purchases.Prior to the Fed’s announcement,rates drifted higher and most spread sectors
continued to trade lower as the market anticipated a pullback in quantitative easing in the
upcoming months.The 10-year U.S.Treasury yield surpassed 3.0%on September 5th for
the first time since July 2011.Following the Fed’s decision on September 18th,spread
sectors rallied and rates fell sharply with the 10-ye ar U.S.Treasury settling at 2.6%by
quarter-end.The yi eld curve steepened during the quarter,as 10 and 30-year yields
increased 12 and 17 basis points (bps),respectively,while yi elds at the short end of the
curve slightly decreased.The Barclays Aggregate Index returned +0.6%and the Barclays
TIPS Index returned +0.7%with real yields ending the period slightly lower due to a
modest increase in inflation expectations.
•Investment grade credit spreads narrowed 9 bps for the quarter and the duration-adjusted
excess return to Treasuries was 81 bps.Within investment grade credit,financials outpaced
industrials and utilities as higher-beta names generally outperformed.Likewise,high yield
credit generated 194 bps of excess return versus Treasuries as spreads tightened from 492
bps to 461 bps during the quarter.Lower-rated issues have benefited from higher yi elds
and lower durations during 2013,driving the Barclays High Yield Index to outpace the
Barclays Credit Index by more than 6.5%year-to-date.Record-setting levels of new
issuance occurred in both the investment grade and high yi eld markets as issuers rushed to
lock in lower rates.Most notably,Verizon issued a record $49 billion deal,which was
nearly three times larger than the second largest issue on record.
•CMBS spreads tightened marginally as risk appetite increased on the heels of the Fed’s
decision not to taper and strong market demand absorbed new issuance supply.Asset-
backed spreads widened 6 bps,causing the sector to lag Treasuries on a duration-neutral
basis.New supply weighed on ABS in September as investors favored higher-beta sectors.
•Agency MBS spreads tightened 19 basis points during the quarter and generated 95 basis
points of excess returns over Treasuries.The sector traded higher following the
announcement that the Fed would maintain its current level of asset purchases,which
includes $40 billion of MBS per month.15 and 30-ye ar mortgage rates hit two-year highs
during the quarter,resulting in fewer mortgage originations in 3Q.This constrained supply
provided further technical support for the sector.
•Non-U.S.developed government bonds returned +1.0%in local currency terms and +4.1%
in U.S.dollar terms.Most developed currencies appreciated versus the U.S.Dollar,
particularly the Euro,British Pound,and New Zealand Dollar.Emerging market debt
returns stabilized after a sharp sell-off in the second quarter.Local currency and externally-
denominated emerging market government debt returned -0.4%and +1.2%for the quarter,
respectively,while emerging market corporate bonds returned +1.2%.Year-to-date
emerging market debt returns remain well below zero.
Source: Barclays
Source: Barclays
U.S. Treasury Yield Curve Change by Maturity
Duration-adjusted Excess Returns to Treasuries (bps)
Cumulative Year-to-Date Total Returns
Source: US Dept of The Treasury
Capital Markets Rev iew
Fixed Income
Best Period Second Best Period Worst Period Second W orst Period
2006 2007 2008 2009 2010 2011 2012 1Q13 2Q13 3Q13
Ag gre ga te 85 -206 -710 746 171 -114 226 1 -34 51
Ag ency 75 -56 -110 288 77 -25 166 -4 -56 18
MBS 122 -177 -232 495 225 -106 91 -13 -38 95
ABS 87 -634 -2223 2496 169 52 246 -5 -3 -14
CMBS 137 -435 -3274 2960 1501 47 841 -3 -50 66
Cre dit 119 -464 -1786 1990 192 -322 693 20 -73 81
Hi gh Yield 843 -777 -3832 5955 974 -240 1394 281 14 194
Em erging 702 -457 -2842 3797 508 -537 1503 -128 -234 114
70
Beta-Oriented Hedge Funds Lead During Third Quarter
•It wa s another quarter categorized by risk-on,risk-off investor behavior,and as a result,hedge
funds experienced a bumpy ride.Despite that backdrop,hedge fund returns ended the past
three months in positive return territory across most strategies,with the HFR Hedge Fund
Composite Index advancing 2.3%.Overall,managers with high equity beta were rewarded the
most,benefiting from the sharply rising markets in July and September.In contrast to previous
years,hedge funds of funds have kept pace with the single-manager hedge fund universe in
2013.Year-to-date both the HFR Hedge Fund Composite Index and the HFR Fund of Funds
Composite Index advanced 5.6%.This return is favorable compared with the negative BC
Aggregate Bond Index result,but a far stretch from the 19.8%return of the S&P 500 Index.
•Due to strong gains in July and September,directional long/short equity was the top
performing hedge fund strategy during the quarter,returning 4.1%.HFR Equity Hedge
managers reported an aggregate beta of approximately 0.37,indicating both equity beta and
alpha generation contributed to return generation.It wa s reported that many managers elected
to take profits on highly appreciated long positions at quarter-end,modestly reducing gross
exposures and position sizes.
•Equity short selling continued to weigh heavily on portfolios during the third quarter.The
Wall Street Journal reported that as of mid-August,the 100 most heavily shorted stocks within
the Russell 1000 Index were significantly outpacing the average return of the Index.S&P
Capital IQ indicated these stocks we re up 34%through this period while all stocks in the Index
were up only 18%.Some short sellers equate the current environment to the “Internet Bubble”
in that investors continue to chase returns of stocks with questionably high valuations.
•Global macro managers continued to lose ground during the third quarter,in aggregate
declining 1.1%.Most notably,systematic trend followers experienced declines for the fifth
month in a row.The strategy benefits most from an environment characterized by persistent,
perceptible trending behavior,unlike the third quarter’s risk-on,risk-off environment.
•According to HFR,hedge fund fees,on average,have been declining over the past few ye ars.
For many years the ‘2 and 20’fee model was perceived as standard in the industry.In that
structure,a manager charges 2%of assets being managed along with 20%of investment
profits.After the technology bubble burst in 2000,billions of assets flocked to hedge funds
and a run of strong performance firmly locked pricing power in the hands of the hedge fund
managers.But over the past few ye ars the ‘2 and 20’structure has come under increasing
pressure as institutions perceive the returns received since the financial crisis are
disproportionate to the fees they are being charged.HFR reports the average annual
management fee today is 1.6%of assets and the percentage of investment profits taken has
fallen to 18%.Further,Preqin Ltd.reported in August that 46%of investors recently
surveyed attempted fee negotiations with their hedge fund managers and were successful in
obtaining a reduction over the past twelve months.
Returns as of September 30, 2013
Source: Hedge Fund Research, Inc.
Source: Preqin
Style
Third
Qu ar te r YTD
Co nvertible A rbitrage 2.1%6.5%
Distressed Sec ur ities 2.5%9.4%
Eq uity He dge 4.1%9.2%
Eq uity Ma rket Neutr al 0.9%3.7%
Short Bias ed -3.8%-13.6%
Ma cro -1.1%-2.1%
Me rger Arbitrage 1.8%3.4%
He dge Fund Composite 2.3%5.6%
Fu nd of Fu nds 2.1%5.6%
S&P 500 5.2%19.8%
BC Aggr egate Bond Index 0.6%-1.9%
Source: Preqin
Mean Hedge Fund Fees by Strategy
Hedge Fund Fee Negotiation Experiences in the Past 12 Months
Sin gle-Manager Funds 1.61 19.14 6.0
Fu nds of Hedge Funds 1.29 8.57 6.2
Ev ent Driv en 1.57 18.56 10.0
Macro Strategies 1.65 18.59 3.1
Lo ng/Short Equity 1.56 17.45 6.1
Multi-Stra tegy 1.39 12.19 6.0
Re la tive Va lu e 1.47 18.50 4.5
Mean
Ma na ge ment
Fe e (%)
Mean
Perform ance
Fee (%)
Me an Lock-Up
Pe riods
(Months)
Capital Markets Review
Hedge Funds
71
Returns as of June 30, 2013 Core Private Real Estate Returns Steady; Commodities Halt Losses
•Despite an uptick in interest rates during the quarter,private real estate continued to
deliver consistent income and appreciation,benefitting from modest economic and
employment growth,supported with strong real estate fundamentals.The NCREIF
Property Index (“NPI”)returned 2.9%resulting in a year-to-date return ended June 30,
2013 of 5.5%.The second quarter return was comprised of appreciation and income
returns of 1.5%and 1.4%,respectively.Retail and industrial led the way during the
quarter,both returning 3.2%.
•According to Real Capital Analytics,transaction volume within commercial and
multifamily real estate through the first half of 2013 was up 24%over the same period
last year.Private equity real estate fundraising also has seen significant improvement
according to the Preqin Quarterly Update.Funds raised a total of $19 billion during the
second quarter –more than three times the amount raised in the prior quarter.However,
most managers that closed in the second quarter took more than 18 months to complete
the process rather than a more typical 12 months.Despite successfully closing their
funds,about half of these managers fell short of their fundraising goals.
•Domestic REITs suffered on the Fed taper talk during the third quarter,declining -2.6%
(FTSE NAREIT).International REITs recovered after a second quarter dip as foreign
currencies appreciated when investors fled the dollar in September.FTSE/EPRA
NAREIT Global ex.U.S.returned 7.5%and outperformed the broader U.S.equity
market.
•A lack of inflation and soaring U.S.equity markets have produced a slump in the
commodities markets over the last year.However,commodities experienced a modest
improvement in performance during the third quarter driven by precious and industrial
metals as well as energy.Gold advanced 8.3%to $1,326/oz,supported by expanding
bank reserves for the Fed,ECB,and Bank of Japan as well as Middle East political
tensions.Silver prices (+11.2%)benefited from a rise in demand due to strong
performance from China’s manufacturing sector.
•Price hikes early in the quarter supported the energy sector on concerns surrounding oil
supply security across the Middle East.U.S.natural gas production still continues to
garner headlines fueled by output from shale-rock formations.According to a recent
article in the Wall Street Journal1,the U.S.has surpassed Russia as the largest producer
of oil and natural gas.While oil prices have remained high,imports of natural gas and
crude oil have fallen considerably over the past five years,which could lead to
improving price stability.
Source: Ibbotson
Estimated U.S., Russia and Saudi Arabia Petroleum and
Natural Gas Production
Source: EIA
DJ-UBS Commodity Index Components
Total Return Ending September 30, 2013
NCREIF 3 Mon.YT D 1 Yr.3 Yrs.5 Yrs.10 Yrs.
NCREIF 2.9%5.5%10.7%13.1%2.8%8.6%
Ap artments 2.5%5.1%10.7%15.0%3.7%8.3%
Indus trials 3.2%5.8%10.8%12.6%2.1%8.0%
Offi ce 2.8%4.8%9.6%11.8%1.3%8.0%
Retail 3.2%7.0%12.8%13.8%5.1%10.5%
Hotel 2.0%3.1%7.7%10.0%-0.7%6.7%
Eas t 2.5%4.7%9.2%12.6%2.3%8.8%
Mi dwes t 3.0%5.5%10.4%11.7%3.0%7.0%
South 3.1%6.2%11.8%12.9%3.6%8.4%
West 3.1%5.9%11.7%14.3%2.8%9.2%
Se gm ent 3 Months YTD 1 Year 3 Ye ars 5 Ye ars
36.7%Energy 2.8%0.8%-4.5%-5.9%-19.3%
17.0%Petroleum 6.5%4.2%2.7%6.3%-10.1%
16.4%In dus trial Metals 4.3%-13.9%-17.0%-9.6%-4.1%
12.6%Prec ious Metals 9.0%-23.3%-28.9%0.0%9.1%
20.4%Grains -5.1%-12.1%-22.3%2.5%-0.4%
5.6%Livestock 2.6%-1.9%2.7%-2.0%-6.2%
8.3%Soft s 0.9%-10.5%-16.7%-6.3%2.9%
100.0%Total Mark et 2.1%-8.6%-14.3%-3.2%-5.3%
Al loca tion
Quadrillion BTUs Million barrels per day oil equivalent
Capital Markets Review
Real Assets
1 Gold, Russell and Gilbert, Daniel “U.S. Is Overtaking Russia as Largest Oil-and-Gas Producer”, Wall Street Journal, 2 Oct. 2013.
72
$0
$20
$40
$60
$80
$100
$120
$140
$160
$180
$200
$,BillionsVC Buyout Real Assets Secondary Funds Distressed/SS Fund of Funds
•Private equity performance data in the ThomsonOne database has yet to be updated for the
second quarter of 2013.During the first quarter,private equity funds performed well,with a
pooled IRR of 4.9%,but failed to keep pace with double-digit returns in the public equity
markets.For the trailing one-year period,buyout funds produced a pooled IRR of 15.4%,
outperforming both their venture capital counterparts and the S&P 500 Index,which had IRRs
of 4.9%and 13.4%,respectively.Small buyout funds were the best performers for the one-year
period,returning 20.1%,while mezzanine funds we re the worst performers,returning -3.6%.
•The strength in fundraising seen during the second quarter continued in the third quarter.In
aggregate,private equity funds raised approximately $93 billion during 3Q13,just slightly
below the amount raised in the prior quarter.The last two quarters have been the two best
quarters for fundraising in five years.All fund types except real assets raised at least as much
capital in 3Q13 as in the prior quarter.Buyout funds represented more than half of total capital
raised,but venture capital and distressed/special situations funds saw the largest increases in
commitments.Real assets funds closed on $11 billion in 3Q13,a considerable decline from the
$24 billion raised in 2Q13.
•Private equity-backed deal activity slowed during 2Q13 and 3Q13 after having been on an
upward trajectory for a year.According to Preqin,there was an average of 664 private equity-
backed buyout deals with an average aggregate value of $64 billion during 2Q13 and 3Q13,
compared to 756 deals with an aggregate value of $78 billion on average over the prior four
quarters.
•Exit activity for venture capital funds increased during the third quarter,driven by another
strong quarter for venture-backed IPOs and a rise in venture-backed M&As.According to
Thomson Reuters and the National Venture Capital Association,26 venture-backed IPOs raised
an aggregate $2.7 billion in 3Q13,both modest increases from the prior quarter.It was the first
time since 2004 with more than 20 venture-backed IPOs in consecutive quarters.There were
107 venture-backed M&A exits in 3Q13,31 of which disclosed an aggregate deal value of $4.9
billion.The prior quarter saw 92 venture-backed M&A deals,17 of which disclosed an
aggregate value of $3.4 billion.
•Private equity funds exited investments at a much slower pace during 3Q13.According to
Preqin,293 private equity-backed exits with an aggregate deal value of $63 billion were
announced in 3Q13,representing declines of 15%and 33%,respectively,from the prior quarter.
In total,950 private equity-backed exits with an aggregate value of $208 billion were announced
through the first three quarters of 2013,similar to the totals from the same period in 2012.
•According to Cogent Partners,$7 billion of secondary transactions were completed during the
first half of 2013,well below the record pace seen in 2011 and 2012 when deal volumes reached
$25 billion per year.The decline in secondary activity likely was driven by delays in the
implementation of Dodd-Frank regulatory guidelines and strong public equity market
performance.Cogent estimates that full year volume will reach $18-20 billion and several
managers have pointed to a significant pickup in secondary activity since the middle of the year.
Source: Thomson Reuters ThomsonOne database, October 2013.
Note: Data is continuously updated and is therefore subject to change.
Source: Thomson Reuters ThomsonOne database, October 2013.
Fundraising Remains Strong in 3Q13
Source: Preqin
Global Fundraising
PE-Backed Buyout Deal Activity
Investment Horizon Pooled IRR as of 3/31/13
Fund Type 3 Months 1 Year 3 Years 5 Years 10 Years 20 Years
Early Stage Venture 3.0%7.3%2.9%-0.9%2.0%23.2%
Balanced Venture 1.0%1.5%3.7%0.4%6.2%13.0%
Later Stage Venture 5.9%7.1%9.2%4.4%8.0%14.1%
All Venture 2.7%4.9%4.3%0.6%4.7%16.0%
Small Buyouts 4.7%20.1%4.4%0.3%9.9%11.6%
Med Buyouts -0.2%12.4%7.2%1.7%10.1%12.8%
Large Buyouts 2.7%12.2%9.3%4.5%11.2%12.2%
Mega Buyouts 6.3%15.8%11.9%4.2%11.3%9.7%
All Buyouts 5.8%15.4%11.1%3.9%11.2%10.4%
Mezzanine -2.5%-3.6%5.9%2.5%6.7%7.5%
Distressed/Turnaround 5.0%14.9%9.9%7.9%11.0%10.3%
All Private Equity 4.9%12.7%9.6%3.7%9.7%11.3%
S&P 500 10.6%13.4%12.6%6.7%8.8%8.0%
0
50
100
150
200
250
300
350
0
200
400
600
800
1000
1200
Agg. Value ($,Billions)# of Deals# of Deals Aggregat e Deal Value
Capital Markets Rev iew
Pr ivate Equity
73
Quarter
Year
To
Date
1
Year
2
Years
3
Years
5
Years
7
Years
10
Years
Domestic Equity Indices
Dow Jones Wilshire 5000 6.3 21.7 22.0 25.8 16.7 10.9 6.4 8.4
S&P 500 5.2 19.8 19.3 24.7 16.3 10.0 5.6 7.6
Russell 1000 Index 6.0 20.8 20.9 25.4 16.6 10.5 6.0 8.0
Russell 1000 Growth Index 8.1 20.9 19.3 24.1 16.9 12.1 7.6 7.8
Russell 1000 Value Index 3.9 20.5 22.3 26.5 16.2 8.9 4.2 8.0
Russell Midcap Index 7.7 24.3 27.9 28.0 17.5 13.0 7.7 10.8
Russell Midcap Growth Index 9.3 25.4 27.5 27.1 17.7 13.9 8.3 10.2
Russell Midcap Value Index 5.9 22.9 27.8 28.5 17.3 11.9 6.8 10.9
Russell 2000 Index 10.2 27.7 30.1 31.0 18.3 11.2 7.2 9.6
Russell 2000 Growth Index 12.8 32.5 33.1 32.1 20.0 13.2 9.0 9.9
Russell 2000 Value Index 7.6 23.1 27.0 29.8 16.6 9.1 5.4 9.3
International Equity Indices
MSCI EAFE 11.6 16.1 23.8 18.7 8.5 6.4 2.4 8.0
MSCI EAFE Growth Index 10.5 16.5 23.3 19.0 8.9 6.8 3.5 8.0
MSCI EAFE Value Index 12.6 15.7 24.3 18.3 8.0 5.9 1.3 7.9
MSCI EAFE Small Cap 15.5 22.1 29.4 20.7 11.2 11.4 4.1 10.3
MSCI AC World Index 7.9 14.4 17.7 19.3 10.2 7.7 4.0 7.9
MSCI AC World ex US 10.1 10.0 16.5 15.5 5.9 6.3 3.0 8.8
MSCI Emerging Markets Index 5.9 -4.1 1.3 9.0 0.0 7.6 6.3 13.2
Fixed Income Indices
Barclays Aggregate 0.6 -1.9 -1.7 1.7 2.9 5.4 5.1 4.6
Barcap Intermediate U.S. Government/Credit 0.6 -0.8 -0.5 1.9 2.4 5.0 4.8 4.1
Barclays U.S. Long Government/Credit -0.8 -8.7 -8.3 0.9 4.7 9.1 6.9 6.3
Barclays US Corp: High Yield 2.3 3.7 7.1 13.1 9.2 13.5 8.8 8.9
BofA Merrill Lynch 3 Month US T-Bill 0.0 0.1 0.1 0.1 0.1 0.2 1.3 1.7
Barclays U.S. Treasury: U.S. TIPS 0.7 -6.7 -6.1 1.2 4.0 5.3 5.4 5.2
Citigroup Non-U.S. World Government Bond 4.1 -3.4 -5.6 -1.2 0.5 4.3 5.1 4.9
JPM EMBI Global Diversified (external currency)1.2 -6.7 -4.1 7.1 4.9 9.8 7.5 8.5
JPM GBI-EM Global Diversified (local currency)-0.4 -7.6 -3.7 4.1 1.8 7.3 9.2 10.1
Real Asset Indices
Dow Jones - UBS Commodity 2.1 -8.6 -14.3 -4.7 -3.2 -5.3 -2.2 2.1
Dow Jones Wilshire REIT -3.0 2.7 5.3 18.1 12.5 5.6 2.5 9.4
Capital Markets Review
Index Returns
As of September 30, 2013
(Percentage Return)
_________________________
Returns for periods greater than one year are annualized.
74
Appendix
75
All Total Composite, asset class composite and manager returns in this report are shown net of fees as of September 1, 2013.
Total Composite returns prior to September 1, 2013 were provided by New England Pension Consultants.
Separate account manager returns prior to September 1, 2013 were provided by the investment managers and are displayed net of fees.
Benchmark Comparison
One relative comparison for a fund is with a market index or blend of indices. We call this a benchmark comparison. The benchmark should be
predefined as an objective. This passive investment alternative is one measure for evaluating relative performance success.
Universe Comparison
A performance measurement universe is created by arraying the results of a large number of professional investment managers f rom the best to worst.
Results are grouped in percentiles. The first percentile represents the top performing 1% of the managers; the 99th percentile represents the bottom
performing 1% of managers.
Performance measurement universes are differentiated by time period and asset classes. Investment manager rankings within the se broad universes
will vary throughout market cycle depending on the manager's investment style or philosophy. Over longer time periods (7 to 10 years or more), a
manager ranking in the top quartile (top 25%) of these broad universes would be perceived as performing well.
Policy Benchmark
As of September 1, 2013, the Policy Benchmark is comprised of 20% S&P 500 Index, 5% Russell 2000 Index, 10% MSCI EAFE Index, 3% MSCI
Emerging Markets Index, 10% 65% MSCI World/35% BC Aggregate Blend Index, 2% 50% BC Credit/25% S&P LSTA/25% BC High Yield Blend
Index, 13% BC Aggregate, 8% Citigroup World Government Bond Index, 5% BofA Merrill Lynch US High Yield, Cash Pay Index, 5% 3 Month
T-Bills + 3%, 4% CPI + 5%, 5% Wellington DIH Multi-Asset Inflation Index, 5% JPM GBI-EM Global Diversified Index, and 5% NCREIF Fund
Index-OEDCE.
Appendix
Benchmark and Universe Descriptions
76