HomeMy Public PortalAbout2013 4th Quarter ReportMetropolitan St. Louis Sewer District Pension Plan
4th 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 - December 2013
The Metropolitan St. Louis Sewer District Pension Plan returned 3.9%, modestly trailing the Policy Benchmark return of 4.0%. Over a trailing one-
year basis, the Plan advanced 10.9%, lagging the Policy Benchmark by 1.6%. Similar to the third quarter, global equity markets, in particular the
domestic equity segment, experienced robust gains in the fourth quarter. The overall global fixed income markets saw muted results, capping off a
relatively volatile year. Alternative strategies failed to keep pace with the strong equity markets.
Asset Class Diversification
Current asset allocation was within investment policy targets. The portfolio maintained underweight exposures to fixed income and alternative strategies, which
benefited the Plan’s performance during the fourth quarter. Overweight allocations to the equity markets were results of market appreciation.
Manager Evaluation
During the fourth quarter, the following managers notably outperformed their respective benchmarks: T. Rowe Price Large-Cap Core Growth, TimesSquare
Small Cap Growth, Loomis Credit Asset, PIMCO All Asset, and Wellington Diversified Inflation Hedges. Fourth quarter performance was adversely affected by
the following managers as they failed to keep pace with their respective benchmarks: Vanguard Windsor II, Holland Large Cap Growth, GMO Asset Allocation,
and Pyramis Market Neutral.
On January 17, 2014, Morgan Stanley announced the retirement of Peter Wright, co-lead portfolio manager of the International Equity Strategy, effective
December 17, 2014. William Lock will be the sole lead portfolio manager from December 2014. While this is a key departure for the team, Pavilion believes that
this retirement notice a year in advance will give the International Equity Strategy team adequate time to transition all of Mr. Wright's responsibilities. Pavilion
will continue to monitor this manager for further developments.
Capital Markets Review
On December 18th, the Fed announced the tapering of asset purchases by $10 billion per month beginning in January, citing an improving economy as a main
reason for this decision. Interest rates are expected to remain at very low levels for an extended period of time, as the Fed seeks to lessen the reliance on targets
for rising rates. Market speculation leading up to the Fed's plans resulted in considerable interest rate volatility during the quarter as the 10-year U.S. Treasury
yield fell to 2.5% in October before surpassing 3.0% in late December. The yield curve flattened during the quarter as intermediate rates rose more than long
rates. During the fourth quarter, global equity markets again experienced strong gains, due to central bank policy changes and encouraging economic data. Within
the domestic equity market, lage-cap growth companies outpaced their value counterparts, while value stocks outpaced growth stock among small- and mid-cap
indices. Among non-U.S. indices, developed market value companies outpaced their growth counterparts, while emerging market growth stocks outperformed
value stocks. While corporate earnings increased somewhat during the quarter, equity market gains were primarily a result of multiples expansion and higher
interest rates, which has increased the valuations of equities, particularly U.S. equities.
Recommendations or Action Items
Pavilion will be presenting an asset allocation study and investment structure review at the February 2014 Finance Committee Meeting.
Pension Plan Executive Summary
2
Total Composite Policy Benchmark
0.0
2.0
4.0
6.0
8.0
10.0
12.0
14.0
16.0
17.6
Return (%)Quarter Year
To
Date
1
Year
3
Years
5
Years
10
Years
Since
Inception
4.0
12.5 12.5
8.3
11.1
6.8
8.4
3.9
10.9 10.9
8.0
11.0
6.7
7.9
Quarter
Year
To
Date
1
Year
3
Years
5
Years
10
Years
Since
Inception
Inception
Period
Total Composite 3.9 10.9 10.9 8.0 11.0 6.7 8.0 21y
Policy Benchmark 4.0 12.5 12.5 8.3 11.1 6.8 N/A
Performance Summary
Total Composite vs. Policy Benchmark
As of December 31, 2013
____________
Performance is reported net of fees.
See appendix for full description of the policy benchmark.
3
-2.0
0.0
2.0
4.0
6.0
8.0
10.0
12.0
14.0
16.0
18.0
20.0
22.0
24.0
26.0
28.0
ReturnQuarter
Year
To
Date
1
Year
3
Years
5
Years
7
Years
10
Years
Total Composite 3.9 (98)10.9 (96)10.9 (96)8.0 (90)11.0 (92)5.8 (44)6.7 (46)¢£
5th Percentile 7.5 22.1 22.1 11.7 14.6 6.8 8.1
1st Quartile 6.4 18.9 18.9 10.7 13.1 6.4 7.4
Median 5.7 17.5 17.5 9.7 12.4 5.7 6.6
3rd Quartile 5.0 15.6 15.6 8.6 11.9 5.2 6.2
95th Percentile 4.1 11.0 11.0 7.0 10.7 4.1 5.2
Performance Comparison
All Public Plans <= $500 mil
As of December 31, 2013
_________________________
Performance is reported net of fees. Plan sponsor peer group data is preliminary.
Parentheses contain percentile rankings.
Calculation based on monthly periodicity.
4
-2.0
0.0
2.0
4.0
6.0
8.0
10.0
12.0
14.0
16.0
18.0
20.0
22.0
24.0
26.0
28.0
ReturnQuarter
Year
To
Date
1
Year
3
Years
5
Years
7
Years
10
Years
Total Composite 3.9 (90)10.9 (91)10.9 (91)8.0 (89)11.0 (88)5.8 (36)6.7 (61)¢£
5th Percentile 7.3 21.9 21.9 11.7 14.3 6.8 8.2
1st Quartile 6.2 18.5 18.5 10.5 13.0 6.2 7.5
Median 5.5 16.7 16.7 9.6 12.4 5.6 7.0
3rd Quartile 4.8 14.4 14.4 8.6 11.8 5.1 6.4
95th Percentile 2.9 7.1 7.1 6.9 9.9 4.1 5.3
Performance Comparison
All Public Plans
As of December 31, 2013
_________________________
Performance is reported net of fees. Plan sponsor peer group data is preliminary.
Parentheses contain percentile rankings.
Calculation based on monthly periodicity.
5
3 Years 5 Years
7.0
7.5
8.0
8.5
9.0
9.5
10.0
10.5
11.0
11.5
12.0
Return (%)6.0 7.0 8.0 9.0 10.0 11.0 12.0 13.0
Risk (Standard Deviation %)
Policy Benchmark
(9.3 , 11.1)
Total Composite
(8.7 , 11.0)
7.0
7.5
8.0
8.5
9.0
9.5
10.0
10.5
11.0
11.5
12.0
Return (%)6.0 7.0 8.0 9.0 10.0 11.0
Risk (Standard Deviation %)
Policy Benchmark
(7.4 , 8.3)
Total Composite
(7.6 , 8.0)
Performance Summary
Risk and Return Summary
As of December 31, 2013
6
Allocation
Market
Value
($)%
Performance(%)
Quarter
Year
To
Date
1
Year
3
Years
5
Years
10
Years
Since
Inception
Inception
Period
Total Composite 246,429,988 100.0 3.9 10.9 10.9 8.0 11.0 6.7 8.0 21y
Policy Benchmark 4.0 12.5 12.5 8.3 11.1 6.8 N/A
Total Equity Composite 99,021,752 40.2 8.3 N/A N/A N/A N/A N/A 13.7 0y 4m
MSCI AC World Index 7.3 22.8 22.8 9.7 14.9 7.2 12.9
Domestic Equity Composite 66,233,176 26.9 10.2 (26)N/A N/A N/A N/A N/A 14.9 (N/A)0y 4m
Russell 3000 Index 10.1 (28)33.6 (40)33.6 (40)16.2 (16)18.7 (37)7.9 (45)14.2 (N/A)
Broad Equity Peer Group Median 9.4 32.5 32.5 14.5 18.0 7.7 N/A
Large-Cap Equity Composite 52,689,603 21.4 10.6 (35)32.0 (54)32.0 (54)15.5 (38)16.8 (60)7.5 (45)8.7 (N/A)10y 7m
S&P 500 10.5 (37)32.4 (50)32.4 (50)16.2 (28)17.9 (42)7.4 (48)8.5 (N/A)
Large-Cap Equity Peer Group Median 9.9 32.4 32.4 14.8 17.4 7.3 N/A
Small-Cap Equity Composite 13,543,573 5.5 8.5 (65)40.3 (45)40.3 (45)17.0 (32)22.4 (33)11.1 (9)12.7 (N/A)10y 7m
Russell 2000 Index 8.7 (59)38.8 (51)38.8 (51)15.7 (51)20.1 (61)9.1 (48)11.0 (N/A)
Small-Cap Equity Peer Group Median 9.0 39.0 39.0 15.7 20.8 9.0 N/A
International Equity Composite 32,788,576 13.3 4.7 (65)N/A N/A N/A N/A N/A 11.3 (N/A)0y 4m
MSCI AC World ex USA Index 4.8 (64)15.3 (54)15.3 (54)5.1 (52)12.8 (62)7.6 (68)12.0 (N/A)
International Equity Peer Group Median 5.2 15.6 15.6 5.2 13.3 8.2 N/A
Developed International Equity Composite 25,542,840 10.4 5.6 (61)20.4 (54)20.4 (54)10.0 (17)11.4 (77)7.0 (55)5.5 (N/A)14y 8m
MSCI EAFE Index 5.7 (58)22.8 (32)22.8 (32)8.2 (39)12.4 (59)6.9 (60)4.3 (N/A)
Developed International Equity Peer Group Median 6.0 20.8 20.8 7.4 12.9 7.3 N/A
Emerging International Equity Composite 7,245,736 2.9 1.7 (62)-0.9 (48)-0.9 (48)-0.9 (39)14.3 (56)N/A 9.4 (45)8y 9m
MSCI Emerging Markets Index 1.8 (60)-2.6 (64)-2.6 (64)-2.1 (57)14.8 (47)11.2 (38)9.7 (39)
Emerging Markets Equity Peer Group Median 2.5 -1.1 -1.1 -1.6 14.5 10.4 8.9
Fixed Income Composite 78,301,664 31.8 0.4 (35)-1.7 (82)-1.7 (82)4.2 (18)7.9 (11)5.4 (6)5.2 (9)10y 6m
Barclays Intermediate U.S. Government/Credit 0.0 (65)-0.9 (55)-0.9 (55)2.9 (56)4.0 (67)4.1 (49)3.9 (51)
Intermediate Duration Fixed Income Peer Group Median 0.2 -0.6 -0.6 3.1 5.8 4.1 3.9
Performance Summary
Total Fund Asset Allocation and Performance
As of December 31, 2013
_________________________
Performance is reported net of fees.
7
Performance Summary
Total Fund Asset Allocation and Performance
As of December 31, 2013
Allocation
Market
Value
($)%
Performance(%)
Quarter
Year
To
Date
1
Year
3
Years
5
Years
10
Years
Since
Inception
Inception
Period
Tactical Asset Allocation Composite 24,417,418 9.9 4.2 12.5 12.5 8.1 10.7 6.7 6.6 10y 7m
65% MSCI World (Net) / 35% BC Aggregate 5.1 15.9 15.9 8.8 11.6 6.4 7.4
Alternatives Composite 21,839,752 8.9 0.3 N/A N/A N/A N/A N/A 1.9 0y 4m
3 Month T-Bills + 3%0.8 3.1 3.1 3.1 3.1 4.7 1.0
Real Estate Composite 10,640,927 4.3 2.0 9.2 9.2 10.1 3.6 6.9 4.4 7y 7m
NCREIF Property Index 2.5 11.0 11.0 11.9 5.7 8.6 6.3
Real Assets Composite 10,853,467 4.4 2.7 -3.9 -3.9 -2.6 N/A N/A 2.3 3y 9m
Wellington DIH Multi-Asset Inflation Index 1.6 -2.1 -2.1 -2.3 6.4 6.2 1.6
Cash Account 1,355,008 0.5 0.1 0.1 0.1 0.1 -0.2 1.5 1.5 10y 7m
BofA Merrill Lynch 3 Month US T-Bill 0.0 0.1 0.1 0.1 0.1 1.7 1.6
_________________________
Performance is reported net of fees.
8
Allocation
Market
Value
($)%
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 18,135,703 7.4 9.5 (52)30.8 (61)30.8 (61)16.2 (27)17.2 (42)8.0 (29)6.4 (N/A)12y 8m
Russell 1000 Value Index 10.0 (44)32.5 (44)32.5 (44)16.1 (29)16.7 (51)7.6 (40)6.4 (N/A)
Large-Cap Value Equity Peer Group Median 9.6 31.7 31.7 14.7 16.7 7.3 N/A
Vanguard Institutional Index Fund 7,705,753 3.1 10.5 (37)32.3 (51)32.3 (51)16.2 (29)18.0 (41)7.4 (47)4.6 (66)14y 3m
S&P 500 10.5 (37)32.4 (50)32.4 (50)16.2 (28)17.9 (42)7.4 (48)4.5 (67)
Large-Cap Equity Peer Group Median 9.9 32.4 32.4 14.8 17.4 7.3 5.4
T. Rowe Price Inst. Large-Cap Core Growth 13,401,922 5.4 12.8 (10)41.4 (12)41.4 (12)19.4 (10)23.1 (15)8.4 (35)34.0 (N/A)0y 10m
Russell 1000 Growth Index 10.4 (53)33.5 (58)33.5 (58)16.5 (34)20.4 (35)7.8 (47)26.4 (N/A)
Large-Cap Growth Equity Peer Group Median 10.6 34.6 34.6 15.3 19.3 7.7 N/A
Holland Large Cap Growth 13,446,225 5.5 9.9 (66)30.3 (77)30.3 (77)15.4 (48)19.9 (41)7.9 (45)22.2 (N/A)0y 10m
Russell 1000 Growth Index 10.4 (53)33.5 (58)33.5 (58)16.5 (34)20.4 (35)7.8 (47)26.4 (N/A)
Large-Cap Growth Equity Peer Group Median 10.6 34.6 34.6 15.3 19.3 7.7 N/A
Domestic Small-Cap Equity Managers
Kennedy Mid Cap Value 6,876,406 2.8 8.0 (61)33.3 (51)33.3 (51)14.5 (46)20.8 (34)N/A 11.1 (8)6y
Russell Midcap Value Index 8.6 (49)33.5 (50)33.5 (50)16.0 (28)21.2 (30)10.3 (28)8.2 (42)
Mid-Cap Value Equity Peer Group Median 8.5 33.4 33.4 14.2 19.6 9.1 7.8
TimesSquare Small Cap Growth Fund 6,667,167 2.7 9.1 (40)47.7 (31)47.7 (31)19.7 (12)24.2 (24)12.5 (1)11.7 (N/A)11y 11m
Russell 2000 Growth Index 8.2 (64)43.3 (60)43.3 (60)16.8 (49)22.6 (47)9.4 (28)8.5 (N/A)
Small-Cap Growth Equity Peer Group Median 8.8 44.7 44.7 16.7 22.4 8.9 N/A
Developed International Equity Manager
Morgan Stanley International Equity Fund I 25,542,840 10.4 5.6 (61)20.4 (54)20.4 (54)10.0 (17)11.4 (77)7.0 (56)5.8 (61)8y 9m
MSCI EAFE (net)5.7 (58)22.8 (32)22.8 (32)8.2 (39)12.4 (59)6.9 (60)5.7 (63)
International Equity Peer Group Median 6.0 20.8 20.8 7.4 12.9 7.3 6.2
Emerging Markets Equity Manager
Morgan Stanley Emerging Markets Fund I 7,245,736 2.9 1.8 (60)-0.8 (47)-0.8 (47)-0.9 (39)14.3 (56)10.8 (44)9.5 (44)8y 9m
MSCI EM (net)1.8 (60)-2.6 (64)-2.6 (64)-2.1 (57)14.8 (47)11.2 (38)9.7 (39)
Emerging Markets Equity Peer Group Median 2.5 -1.1 -1.1 -1.6 14.5 10.4 8.9
Performance Summary
Manager Asset Allocation and Performance
As of December 31, 2013
_________________________
Performance is reported net of fees.
9
Performance Summary
Manager Asset Allocation and Performance
As of December 31, 2013
Allocation
Market
Value
($)%
Performance(%)
Quarter
Year
To
Date
1
Year
3
Years
5
Years
10
Years
Since
Inception
Inception
Period
Fixed Income Managers
Income Research 30,527,362 12.4 0.0 (64)-0.9 (61)-0.9 (61)3.5 (38)6.1 (40)5.0 (13)5.5 (8)12y 6m
Barclays Intermediate U.S. Government/Credit 0.0 (65)-0.9 (55)-0.9 (55)2.9 (56)4.0 (67)4.1 (49)4.8 (31)
Intermediate Duration Fixed Income Peer Group Median 0.2 -0.6 -0.6 3.1 5.8 4.1 4.4
Penn Capital 12,441,710 5.0 3.5 (37)5.9 (78)5.9 (78)7.7 (81)14.6 (82)N/A 6.9 (87)8y 6m
BofA Merrill Lynch US High Yield, Cash Pay Index 3.5 (42)7.4 (50)7.4 (50)9.0 (39)18.5 (23)8.4 (29)8.5 (30)
High Yield Fixed Income Peer Group Median 3.4 7.4 7.4 8.7 16.9 8.0 8.1
Loomis Credit Asset Fund 4,782,723 1.9 2.3 (12)4.4 (13)4.4 (13)7.2 (1)N/A N/A 8.6 (1)3y 10m
50% BC Credit / 25% S&P LSTA / 25% BY High Yield 1.8 (35)2.1 (32)2.1 (32)6.3 (2)12.3 (1)6.2 (5)7.1 (5)
Alternative Credit Focus Funds Peer Group Median 1.3 0.4 0.4 3.7 8.5 4.3 4.4
Brandywine Global Opportunistic Fixed Income 18,943,631 7.7 -0.3 (72)-3.5 (69)-3.5 (69)5.9 (13)10.3 (13)N/A 6.6 (19)9y
Citigroup World Government Bond -1.1 (86)-4.0 (72)-4.0 (72)1.2 (79)2.3 (84)4.2 (65)3.5 (82)
Global Fixed Income Peer Group Median 0.5 -1.7 -1.7 3.1 6.0 5.0 4.8
Pictet Emerging Local Currency Debt Fund 11,606,238 4.7 -1.5 (50)-10.3 (47)-10.3 (47)0.3 (63)N/A N/A 1.6 (75)2y 3m
JPM GBI-EM Global Diversified -1.5 (50)-9.0 (24)-9.0 (24)1.5 (26)8.1 (56)9.5 (N/A)3.0 (41)
Emerging Markets (LC) Fixed Income Peer Group Median -1.6 -10.4 -10.4 0.6 8.4 N/A 2.6
Tactical Asset Allocation Manager
GMO Asset Allocation Fund 24,417,418 9.9 4.3 (34)12.5 (32)12.5 (32)8.1 (31)10.7 (63)7.3 (13)6.3 (25)7y 5m
65% MSCI World (Net) / 35% BC Aggregate 5.1 (27)15.9 (27)15.9 (27)8.8 (25)11.6 (53)6.4 (39)5.6 (50)
IM Flexible Portfolio (MF) Median 2.1 4.6 4.6 6.0 12.2 6.1 5.6
_________________________
Performance is reported net of fees.
10
Performance Summary
Manager Asset Allocation and Performance
As of December 31, 2013
Allocation
Market
Value
($)%
Performance(%)
Quarter
Year
To
Date
1
Year
3
Years
5
Years
10
Years
Since
Inception
Inception
Period
Alternatives Managers
Pyramis Market Neutral 10,093,529 4.1 -2.4 -1.6 -1.6 0.4 0.1 N/A 3.2 8y 5m
3 Month T-Bills + 3%0.8 3.1 3.1 3.1 3.1 4.7 4.7
PIMCO All Asset Fund I 11,746,223 4.8 1.3 0.8 0.8 6.0 10.8 6.7 6.1 8y
Barclays U.S. Treasury Inflation Notes: 1-10 Year -1.3 -5.6 -5.6 2.6 5.0 4.4 4.4
Real Estate Manager
UBS Trumbull Property Fund 10,640,927 4.3 2.0 9.2 9.2 10.1 3.6 6.9 4.4 7y 7m
NCREIF Property Index 2.5 11.0 11.0 11.9 5.7 8.6 6.3
Real Asset Manager
Wellington Diversified Inflation Hedges 10,853,467 4.4 2.7 -3.9 -3.9 -2.6 N/A N/A 2.3 3y 9m
Wellington DIH Multi-Asset Inflation Index 1.6 -2.1 -2.1 -2.3 6.4 6.2 1.6
Cash Account 1,355,008 0.5 0.1 0.1 0.1 0.1 -0.2 1.5 1.5 10y 7m
BofA Merrill Lynch 3 Month US T-Bill 0.0 0.1 0.1 0.1 0.1 1.7 1.6
Total Composite 246,429,988 100.0 3.9 10.9 10.9 8.0 11.0 6.7 8.0 21y
_________________________
Performance is reported net of fees.
11
10.0
11.0
12.0
13.0
14.0
15.0
16.0
17.0
18.0
19.0
20.0
21.0
22.0
23.0
24.0
25.0
26.0
Return (%)14.0 15.0 16.0 17.0 18.0 19.0 20.0 21.0 22.0 23.0 23.6
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 Large Cap Growth
Kennedy Mid Cap Value
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 December 31, 2013
12
0.0
2.0
4.0
6.0
8.0
10.0
12.0
14.0
16.0
18.0
20.0
20.9
Return (%)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 14.0
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 December 31, 2013
13
-1.0
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
Return (%)-2.0 -1.0 0.0 1.0 2.0 3.0 4.0 5.0 6.0 7.0 8.0 9.0 10.0 11.0 12.0 13.0 14.0 15.0 16.0 16.7
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 TPF
Pyramis
PIMCO All Asset
GMO
Performance Summary
Risk and Return Summary - Alternative Managers
5 Years Ending December 31, 2013
14
Manager Compliance Checklist
Fourth Quarter 2013
Mana ge rs
Vangua rd
Windsor
Vangua rd
Inst itutional
T. Row e
Price Holland Ke nne dy Ti me sS qua re
Morgan
Stanle y I nt'l
Morga n
Stanley EM
Organi zati onal /Produ ct Is sues
No ma teria l c hanges to investment team ü ü ü ü ü ü Ye s ü
No ma teria l o rg aniza tional changes ü ü ü ü ü ü ü ü
Accounting or regulatory concerns ü ü ü ü ü ü ü ü
Cu rrently in adherence to guidelin es ü ü ü ü ü ü ü ü
Po rt fo lio characteris tics me et stylis tic expectations ü ü ü ü ü ü ü ü
Re lati ve Perfor mance 1
Th re e-year re turn better than benchmark ü N/A ü No (-1 10 bps )No (-1 50 bps )ü ü ü
Th re e-year ra nkin g better than peer group median ü N/A ü ü ü ü ü ü
Fiv e year return better than benchmark ü N/A ü No (-5 0 bps )No (-4 0 bps )ü No (-1 00 bps )No (-5 0 bps )
1 Manager performance is evaluated net of investment management fees.
Fiv e year rankin g better than peer group median ü N/A ü ü ü ü No (7 7)No (5 6)
Perfor manc e s tatus Gr een Gr een Gr een Gr een Gr een Gr een Gr een Gr een
Da te perfo rmance s tatus changed
Summary status Re pl ac e Gr een Gr een Gr een Gr een Gr een Gr een Te rminate
Da te s umma ry status changed 4Q13 4Q13
15
Manager Compliance Checklist
Fourth Quarter 2013
Mana ge rs
Income
Re se arch Penn Loomis
Bra ndywine
Global Picte t GMO Pyra mis PIMCO UBS Wellington
Organizational /Produ ct Is sues
No ma terial c hanges to investment team ü ü ü Ye s ü ü ü Ye s ü ü
No ma terial o rganiza tional changes ü ü ü ü ü ü ü ü ü ü
Accounting or regulatory concerns ü ü ü ü ü ü ü ü ü ü
Cu rrently in adherence to guidelin es ü ü ü ü ü ü ü ü ü ü
Po rt fo lio characteris tics me et stylis tic expectations ü ü ü ü ü ü ü ü ü ü
Relati ve Perfor mance 1
Three-year return better than benchmark ü No (-1 30 bps )ü ü No (-120 bps )No (-7 0 bps )No (-270 bps )ü No (-1 80 bps )No (-3 0 bps )
Three-year rankin g better than peer group median ü No (8 1)ü ü No (63)ü N/A N/A N/A N/A
Fiv e year return better than benchmark ü No (-3 90 bps )N/A ü N/A No (-9 0 bps )No (-300 bps )ü No (-2 10 bps )N/A
Fiv e year rankin g better than peer group median ü No (8 2)N/A ü N/A No (6 3)N/A N/A N/A N/AFive year rankin g better than peer group median ü No (8 2)N/A ü N/A No (6 3)N/A N/A N/A N/A
Performance s tatus Gr een Gr een Gr een Gr een Red Gr een Red Gr een Gr een Gr een
Date performance status changed
Summar y s tatus Gr een Te rminate Te rminate Gr een Te rminate Te rminate Repl ace Te rminate Gr een Gr een
Date s umma ry status changed 4Q13 4Q13 4Q13 4Q13 4Q13 4Q13
1 Manager performance is evaluated net of investment management fees.
16
Asset Class Diversification
17
December 31, 2013 : $246,429,988
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
$1,355,008
Real Asset Composite
$10,853,467
Real Estate Composite
$10,640,927
Alternatives Composite
$21,839,752
Tactical Asset Allocation Composite
$24,417,418
Fixed Income Composite
$78,301,664
Emerging International Equity Composite
$7,245,736
Developed International Equity Composite
$25,542,840
Small-Cap Equity Composite
$13,543,573
Large-Cap Equity Composite
$52,689,603
0.0%
5.0%
5.0%
9.0%
10.0%
33.0%
3.0%
10.0%
5.0%
20.0%
0.5%
4.4%
4.3%
8.9%
9.9%
31.8%
2.9%
10.4%
5.5%
21.4%
0.5%
-0.6 %
-0.7 %
-0.1 %
-0.1 %
-1.2 %
-0.1 %
0.4%
0.5%
1.4%
Asset Class Diversification
Investment Policy Allocation
As of December 31, 2013
18
Asse t Cl ass/Type Manager
Total Asse ts
($,mil.)as of
12/31/2013
Perce nt of
Total
Targe t
Allocation
Weighting
Re lati ve to
Ta rge t
Al lowable
Ra nge
Total Asse ts
($,mil.)as of
10/1/2013
Large -Ca p Equity $52.7 21.4%20.0%+ 1 .4%16 -24%$47.9
Co re Va nguard Ins titutional $7.7 3.1%5.0%- 1.9%$7.2
Va lu e Va nguard Windsor $18.1 7.4%5.0%+ 2.4%$16.0
Gr owth T. Rowe Price $13.4 5.4%5.0%+ 0.4%$12.6
Gr owth Ho lla nd $13.4 5.5%5.0%+ 0.5%$12.2
Small-Ca p Equity $13.5 5.5%5.0%+ 0 .5%3 -7%$12.5
Va lu e Kennedy $6.9 2.8%2.5%+ 0.3%$6.4
Gr owth Time sSquare $6.7 2.7%2.5%+ 0.2%$6.1
Inte rna ti ona l Equity $32.8 13.3%13.0%+ 0 .3%$31.2
Developed Morgan Stanley $25.5 10.4%10.0%+ 0.4%8 -12%$24.5
Eme rgin g Marke ts Morgan Stanley $7.2 2.9%3.0%- 0.1%2 -5%$6.6
Fix ed Income $78.3 31.8%33.0%- 1 .2%$74.7
Asset Class Diversification
Investment Program Structure
As of December 31, 2013
Fix ed Income $78.3 31.8%33.0%- 1 .2%$74.7
Do me stic Core In come Res earch $30.5 12.4%13.0%- 0.6%10 -20%$29.6
High Yie ld Penn Capit al $12.4 5.0%5.0%+ 0.0%3 -7%$12.0
Op portunistic Cr edit Lo omis $4.8 1.9%2.0%- 0.1%0 -5%$4.7
Global Br andywin e Glo bal $18.9 7.7%8.0%- 0.3%6 -10%$17.9
Eme rgin g Marke ts De bt Pictet $11.6 4.7%5.0%- 0.3%3 -7%$10.5
Tacti ca l $24.4 9.9%10.0%- 0 .1%$24.0
Ba la nced GM O $24.4 9.9%10.0%- 0.1%8 -12%$24.0
Alte rna ti ve s $21.8 8.9%9.0%- 0 .1%$22.2
Marke t Neutral Py ramis $10.1 4.1%5.0%- 0.9%3 -7%$10.3
Absolu te Return PIMCO $11.7 4.8%4.0%+ 0.8%3 -7%$11.9
Real Es tate $10.6 4.3%5.0%- 0 .7%$10.4
Re al Es tate UBS Tru mb ull $10.6 4.3%5.0%- 0.7%3 -7%$10.4
Real As set $10.9 4.4%5.0%- 0 .6%$10.1
Re al Asset Wellin gton $10.9 4.4%5.0%- 0.6%3 -7%$10.1
Ca sh $1.4 0.5%0.0%+ 0 .5%$1.3
Ca sh Account Ca sh Account $1.4 0.5%0.0%+ 0.5%$1.3
Tota l $246.4 100.0%100.0%+ 0 .0%$234.3
*Totals may not add to exactly 100.0% due to rounding.
19
Portfolio Characteristics
Portfolio Benchmark
Wtd. Avg. Mkt. Cap ($M)73,850 84,976
Median Mkt. Cap ($M)12,101 8,486
Price/Earnings ratio 19.5 16.5
Price/Book ratio 2.9 2.5
5 Yr. EPS Growth Rate (%)8.3 5.6
Current Yield (%)1.9 2.4
Debt to Equity 6.2 3.3
Number of Stocks 953 2,441
Beta -1.00
Consistency --
Sharpe Ratio --
Information Ratio --
Up Market Capture --
Down Market Capture --
Top Ten Equity Holdings
Portfolio
Weight
(%)
Benchmark
Weight
(%)
Active
Weight
(%)
Quarterly
Return
(%)
Google Inc 1.5 0.9 0.6 27.9
Amazon.com Inc 1.4 0.4 1.0 27.6
Nestle SA, Cham Und Vevey 1.2 0.7 0.5 5.0
Unilever NV 1.2 0.2 1.0 4.6
British American Tobacco PLC 1.2 0.3 0.9 1.1
Reckitt Benckiser Group PLC 1.1 0.1 1.0 8.5
Sanofi 1.1 0.4 0.8 4.7
Apple Inc 1.0 1.4 -0.4 18.4
Visa Inc 1.0 0.3 0.7 16.8
Novartis AG 0.9 0.5 0.4 4.2
% of Portfolio 11.5 5.2
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
2.0
1.4
2.1
4.7
17.0
11.0
13.2
15.7
8.5
11.5
12.8
0.0
0.0
3.1
4.2
5.9
12.5
11.0
10.3
21.5
9.8
9.8
11.9
Distribution of Market Capitalization (%)
Total Equity Composite MSCI AC World Index
0.0
10.0
20.0
30.0
40.0
49.5
>$59 Bil $15 Bil -
$59 Bil
$2 Bil -
$15 Bil
$0 -
$2 Bil
Cash
42.9
35.1
21.6
0.4 0.0
39.9
29.1
25.2
3.7 2.0
Equity Portfolio - Characteristics
Total Equity Composite vs. MSCI AC World Index
As of December 31, 2013
20
Total Equity
Composite MSCI AC World Index
Australia 0.4 2.8
Hong Kong 0.4 1.8
Japan 4.7 7.8
New Zealand 0.0 0.0
Singapore 0.0 0.6
Pacific 5.6 13.0
Austria 0.1 0.1
Belgium 0.2 0.4
Finland 0.0 0.3
France 2.4 3.5
Germany 2.3 3.5
Greece 0.0 0.1
Ireland 0.9 0.5
Italy 0.4 0.8
Luxembourg 0.3 0.1
Netherlands 1.6 1.3
Portugal 0.1 0.1
Spain 0.1 1.2
EMU 8.3 11.9
Denmark 0.0 0.4
Norway 0.0 0.3
Sweden 0.3 1.2
Switzerland 4.5 3.6
United Kingdom 9.3 8.2
Europe ex EMU 14.1 13.8
Canada 0.5 3.7
United States 62.4 47.6
Israel 0.0 0.2
Middle East 0.0 0.2
Developed Markets 91.0 90.1
Total Equity
Composite MSCI AC World Index
Brazil 0.5 1.1
Cayman Islands 0.0 0.0
Chile 0.0 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 1.2 2.0
China 1.5 1.4
India 0.5 0.7
Indonesia 0.1 0.2
Korea 1.3 1.7
Malaysia 0.2 0.4
Philippines 0.3 0.1
Taiwan 0.5 1.2
Thailand 0.4 0.2
EM Asia 4.7 6.0
Czech Republic 0.1 0.0
Egypt 0.0 0.0
Hungary 0.1 0.0
Morocco 0.0 0.0
Poland 0.2 0.2
Russia 0.2 0.6
South Africa 0.3 0.8
Turkey 0.1 0.2
EM Europe + Middle East + Africa 1.0 1.9
Emerging Markets 6.9 9.9
Frontier Markets 0.0 0.0
Cash 2.0 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 December 31, 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 BNot Rated65.5
6.6
14.1 13.8
0.0 0.0 0.0 0.0
26.6
9.7
16.2
21.7
10.7 12.1
0.6 2.3
Portfolio Benchmark
Effective Duration 4.4 3.8
Avg. Maturity 6.9 4.1
Avg. Quality A-AA+
Yield To Maturity (%)3.9 1.6
Consist
ency
Sharpe
Ratio
Informa
tion
Ratio
Up
Market
Capture
Down
Market
Capture
Total Fixed Income Composite 55.6 0.9 0.4 152.8 163.7
Barclays Intermediate U.S. Government/Credit 0.0 1.3 N/A 100.0 100.0
90 Day U.S. Treasury Bill 38.9 N/A -1.3 0.9 -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-USEmergingMunicipalsCashOtherCMBS56.7
6.8
23.9
0.0 0.0 0.0
10.3
2.3 0.0 0.0 0.0 0.0
11.1
0.4
17.7 17.1
4.0 2.5
16.7 14.9
1.4 4.6 5.0 4.7
Total Fixed Income Composite
Barclays Intermediate U.S. Government/Credit
0.0
10.0
20.0
30.0
40.0
50.0
56.7
< 1 Yr1 < 3 Yrs3 < 5 Yrs5 < 10 Yrs10 < 20 Yrs> 20 Yrs0.0
41.5
27.5
31.0
0.0 0.0
8.9
18.4 20.6
39.2
4.2
8.7
Fixed Income Portfolio - Characteristics
Total Fixed Income Composite vs. Barclays Intermediate U.S. Government/Credit
As of December 31, 2013
22
Manager Evaluation
23
Historical Performance
Buy and Hold Attribution
Risk and Return (Jan - 2009 - Dec - 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 9.5 30.8 30.8 16.2 17.2 8.0 16.8 2.8 10.7 27.2 -36.6 2.3 18.4 7.2 18.4 30.2
Russell 1000 Value Index 10.0 32.5 32.5 16.1 16.7 7.6 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 9.6 31.7 31.7 14.7 16.7 7.3 15.0 -1.5 13.5 25.4 -37.3 2.9 16.6 6.1 12.5 28.4
Vanguard Windsor II Rank 52 61 61 27 42 29 28 17 86 41 44 55 35 36 6 34
16.2
16.5
16.8
17.1
17.4
17.7
Return (%)18.0 18.2 18.4 18.6 18.8 19.0 19.2 19.4 19.6
Risk (Standard Deviation %)
Russell 1000 Value Index
Vanguard Windsor II
Vanguard Windsor II Russell 1000 Value Index
0
25
50
75
100Return Percentile Rank3/04 3/05 3/06 3/07 3/08 3/09 3/10 3/11 3/12 3/13 12/13
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
-2.2
0.2
1.2
-1.5
-1.0
1.5
4.4
-8.0
-2.0
3.1
0.9
3.6
Allocation
(Total: -0.1)
0.0 0.3-0.3-0.6
0.2
0.0
0.0
0.0
0.0
0.1
0.0
0.1
0.0
0.1
0.0
-0.4
Stock
(Total: -0.4)
0.0 0.4 0.8-0.4-0.7
-0.2
0.0
0.0
0.0
0.0
-0.2
-0.1
0.5
0.0
-0.4
0.0
0.0
Vanguard Windsor II
0.0 0.3 0.6 0.9-0.3-0.6
0.0
0.0
0.0
0.0
0.0
-0.1
-0.1
0.5
0.0
-0.4
0.0
-0.4
Manager Evaluation
Vanguard Windsor II vs. Russell 1000 Value Index
As of December 31, 2013
Differences between the manager return and the attribution return are due primarily to the effects of fees and portfolio trading.
24
Portfolio Characteristics
Portfolio Benchmark
Wtd. Avg. Mkt. Cap ($M)95,419 114,371
Median Mkt. Cap ($M)21,044 6,562
Price/Earnings ratio 15.7 16.6
Price/Book ratio 2.2 2.0
5 Yr. EPS Growth Rate (%)3.6 1.8
Current Yield (%)2.5 2.2
Debt to Equity 1.2 1.2
Number of Stocks 291 662
Beta (5 Years, Monthly)0.94 1.00
Consistency (5 Years, Monthly)45.00 1.00
Sharpe Ratio (5 Years, Monthly)1.06 0.98
Information Ratio (5 Years, Monthly)0.10 -
Up Market Capture (5 Years, Monthly)95.94 -
Down Market Capture (5 Years, Monthly)90.01 -
Top Ten Equity Holdings
Portfolio
Weight
(%)
Benchmark
Weight
(%)
Active
Weight
(%)
Quarterly
Return
(%)
JPMorgan Chase & Co 2.7 2.4 0.4 14.0
Pfizer Inc 2.6 2.2 0.4 7.5
Microsoft Corp 2.6 0.0 2.6 13.3
Raytheon Co.2.6 0.3 2.2 18.4
American Express Co 2.5 0.0 2.5 20.5
WellPoint Inc 2.5 0.3 2.2 11.0
Wells Fargo & Co 2.4 2.4 0.0 10.7
Philip Morris International Inc 2.3 0.0 2.3 1.7
Medtronic Inc 2.2 0.6 1.5 8.9
Johnson & Johnson 2.2 2.4 -0.3 6.4
% of Portfolio 24.6 10.6
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
0.8
2.5
3.6
2.7
1.5
8.9
11.6
17.3
21.8
12.6
9.3
7.4
0.0
0.0
5.7
2.5
2.9
8.9
10.5
12.9
29.0
15.0
5.9
6.6
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 -
$2 Bil
Cash
47.4
31.6
20.8
0.3 0.0
49.9
35.3
12.2
0.1
2.5
Manager Evaluation
Vanguard Windsor II vs. Russell 1000 Value Index
As of December 31, 2013
25
Historical Performance
Three Year Rolling Percentile Ranking Relative Performance
Historical Statistics (Jan-2009 - Dec-2013)
Quarter
Year
To
Date
1
Year
3
Years
5
Years
10
Years 2012 2011 2010 2009 2008 2007 2006 2005 2004 2003
Vanguard Institutional Index 10.5 32.3 32.3 16.2 18.0 7.4 16.0 2.1 15.0 26.6 -37.0 5.5 15.8 4.9 10.9 28.7
S&P 500 Index 10.5 32.4 32.4 16.2 17.9 7.4 16.0 2.1 15.1 26.5 -37.0 5.5 15.8 4.9 10.9 28.7
Large-Cap Equity Peer Group Median 9.9 32.4 32.4 14.8 17.4 7.3 14.6 -1.0 14.0 27.8 -37.5 6.2 13.3 5.9 10.2 27.1
Vanguard Institutional Index Rank 37 51 51 29 41 47 36 22 38 56 45 55 32 62 44 38
Cumulative Annualized Over/Under Relative Performance
Over/Under Performance
0.00
0.03
0.06
0.09
0.10
-0.03
-0.05Return (%)3/04 3/05 3/06 3/07 3/08 3/09 3/10 3/11 3/12 3/13 12/13
Vanguard Institutional Index S&P 500 Index
0
25
50
75
100Return Percentile Rank3/04 3/05 3/06 3/07 3/08 3/09 3/10 3/11 3/12 3/13 12/13
Return
Standard
Deviation
Excess
Return Alpha Beta
Sharpe
Ratio
Tracking
Error
Information
Ratio
Downside
Risk Consistency
Inception
Date
Vanguard Institutional Index 18.0 17.2 18.2 0.0 1.0 1.1 0.0 0.2 9.5 30.0 14y 3m
S&P 500 Index 17.9 17.1 18.2 0.0 1.0 1.1 0.0 N/A 9.5 0.0 14y 3m
90 Day U.S. Treasury Bill 0.1 0.0 0.0 0.1 0.0 N/A 17.1 -1.1 0.0 25.0 14y 3m
Manager Evaluation
Vanguard Institutional Index vs. S&P 500 Index
As of December 31, 2013
26
Portfolio Characteristics
Portfolio Benchmark
Wtd. Avg. Mkt. Cap ($M)118,706 118,708
Median Mkt. Cap ($M)16,455 16,430
Price/Earnings ratio 18.9 18.9
Price/Book ratio 2.9 2.9
5 Yr. EPS Growth Rate (%)6.5 6.4
Current Yield (%)2.0 2.0
Debt to Equity 5.7 5.7
Number of Stocks 502 500
Beta (5 Years, Monthly)1.00 1.00
Consistency (5 Years, Monthly)40.00 1.00
Sharpe Ratio (5 Years, Monthly)1.13 1.13
Information Ratio (5 Years, Monthly)0.26 -
Up Market Capture (5 Years, Monthly)100.02 -
Down Market Capture (5 Years, Monthly)99.98 -
Top Ten Equity Holdings
Portfolio
Weight
(%)
Benchmark
Weight
(%)
Active
Weight
(%)
Quarterly
Return
(%)
Apple Inc 3.1 3.1 0.0 18.4
Exxon Mobil Corp 2.7 2.7 0.0 18.4
Google Inc 1.9 1.9 0.0 27.9
Microsoft Corp 1.7 1.7 0.0 13.3
General Electric Co 1.7 1.7 0.0 18.3
Johnson & Johnson 1.6 1.6 0.0 6.4
Chevron Corp 1.5 1.5 0.0 3.7
Procter & Gamble Co (The)1.3 1.3 0.0 8.5
JPMorgan Chase & Co 1.3 1.3 0.0 14.0
Wells Fargo & Co 1.3 1.3 0.0 10.7
% of Portfolio 18.1 18.1
Sector Weights (%)
Vanguard Institutional Index S&P 500 Index
0.0 3.0 6.0 9.0 12.0 15.0 18.0 21.0 23.0
Utilities
Telecommunication Services
Materials
Information Technology
Industrials
Health Care
Financials
Energy
Consumer Staples
Consumer Discretionary
2.9
2.3
3.5
18.6
10.9
13.0
16.2
10.3
9.8
12.5
2.9
2.3
3.5
18.6
10.9
13.0
16.2
10.3
9.8
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
60.0
>$59 Bil $15 Bil -
$59 Bil
$2 Bil -
$15 Bil
54.4
34.3
11.3
54.4
34.3
11.3
Manager Evaluation
Vanguard Institutional Index vs. S&P 500 Index
As of December 31, 2013
27
Historical Performance
Buy and Hold Attribution
Risk and Return (Jan - 2009 - Dec - 2013)Three Year Rolling Percentile Ranking
Quarter
Year
To
Date
1
Year
3
Years
5
Years
10
Years 2012 2011 2010 2009 2008 2007 2006 2005 2004 2003
T. Rowe Price LCC Growth 12.8 41.4 41.4 19.4 23.1 8.4 18.5 1.5 16.4 43.0 -42.6 13.0 9.1 4.0 7.3 N/A
Russell 1000 Growth Index 10.4 33.5 33.5 16.5 20.4 7.8 15.3 2.6 16.7 37.2 -38.4 11.8 9.1 5.3 6.3 29.7
Large-Cap Growth Peer Group Median 10.6 34.6 34.6 15.3 19.3 7.7 14.6 -0.8 15.3 33.4 -38.3 13.8 7.1 6.2 7.7 25.8
T. Rowe Price LCC Growth Rank 10 12 12 10 15 35 16 27 39 14 78 55 33 69 56 N/A
18.0
20.0
22.0
24.0
26.0
Return (%)16.0 16.2 16.4 16.6 16.8 17.0 17.2 17.4 17.6 17.8 17.9
Risk (Standard Deviation %)
Russell 1000 Growth Index
T. Rowe Price LCC Growth
T. Rowe Price LCC Growth Russell 1000 Growth Index
0
25
50
75
100Return Percentile Rank3/04 3/05 3/06 3/07 3/08 3/09 3/10 3/11 3/12 3/13 12/13
Average Active Weight
0.0 7.0 12.5-7.0-14.0
Utilities
Telecommunication Services
Materials
Information Technology
Industrials
Health Care
Financials
Energy
Consumer Staples
Consumer Discretionary
Cash
-0.2
-1.9
0.0
-3.1
1.4
1.9
4.1
-0.3
-8.9
6.2
0.8
Allocation
(Total: 0.3)
0.0 0.2 0.4-0.2
0.0
0.1
0.0
-0.1
0.0
0.0
0.0
0.0
0.3
0.0
-0.1
Stock
(Total: 2.1)
0.0 0.5 1.0 1.3-0.5
0.0
0.0
-0.2
0.8
0.0
0.5
0.4
0.0
0.0
0.6
0.0
T. Rowe Price LCC Growth
0.0 0.3 0.6 0.9 1.1-0.3-0.5
0.0
0.1
-0.2
0.8
0.1
0.5
0.4
0.0
0.2
0.6
-0.1
Manager Evaluation
T. Rowe Price Large-Cap Core Growth vs. Russell 1000 Growth Index
As of December 31, 2013
Differences between the manager return and the attribution return are due primarily to the effects of fees and portfolio trading.
28
Portfolio Characteristics
Portfolio Benchmark
Wtd. Avg. Mkt. Cap ($M)81,872 97,884
Median Mkt. Cap ($M)24,492 8,042
Price/Earnings ratio 30.2 22.2
Price/Book ratio 5.3 4.8
5 Yr. EPS Growth Rate (%)14.8 12.4
Current Yield (%)0.7 1.6
Debt to Equity 36.4 9.1
Number of Stocks 142 625
Beta (5 Years, Monthly)1.06 1.00
Consistency (5 Years, Monthly)56.67 1.00
Sharpe Ratio (5 Years, Monthly)1.36 1.31
Information Ratio (5 Years, Monthly)0.76 -
Up Market Capture (5 Years, Monthly)108.56 -
Down Market Capture (5 Years, Monthly)102.59 -
Top Ten Equity Holdings
Portfolio
Weight
(%)
Benchmark
Weight
(%)
Active
Weight
(%)
Quarterly
Return
(%)
Google Inc 5.9 3.1 2.7 27.9
Amazon.com Inc 5.3 1.5 3.8 27.6
MasterCard Inc 3.4 1.0 2.4 24.3
Priceline.Com Inc 3.3 0.6 2.7 15.0
Gilead Sciences Inc 3.2 1.2 2.1 19.5
Danaher Corp 2.8 0.1 2.7 11.4
Precision Castparts Corp.2.2 0.4 1.8 18.5
McKesson Corp 2.2 0.4 1.8 26.0
Visa Inc 2.2 1.2 1.0 16.8
Biogen Idec Inc 2.1 0.7 1.4 16.1
% of Portfolio 32.5 10.2
Sector Weights (%)
T. Rowe Price Large-Cap Core Growth
Russell 1000 Growth Index
0.0 5.0 10.0 15.0 20.0 25.0 30.0
Cash
Utilities
Telecommunication Services
Materials
Information Technology
Industrials
Health Care
Financials
Energy
Consumer Staples
Consumer Discretionary
0.6
0.0
0.3
4.3
24.4
13.4
14.3
9.1
3.9
2.5
27.2
0.0
0.2
2.0
4.5
27.1
12.4
12.2
5.4
4.4
11.9
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
57.5
>$59 Bil $15 Bil -
$59 Bil
$2 Bil -
$15 Bil
$0 -
$2 Bil
Cash
49.2
29.5
21.1
0.1 0.0
47.7
40.0
11.6
0.0 0.6
Manager Evaluation
T. Rowe Price Large-Cap Core Growth vs. Russell 1000 Growth Index
As of December 31, 2013
29
Historical Performance
Buy and Hold Attribution
Risk and Return (Jan - 2009 - Dec - 2013)Three Year Rolling Percentile Ranking
Quarter
Year
To
Date
1
Year
3
Years
5
Years
10
Years 2012 2011 2010 2009 2008 2007 2006 2005 2004 2003
Holland Large Cap Growth 9.9 30.3 30.3 15.4 19.9 7.9 13.1 4.3 15.3 40.0 -33.8 9.4 6.4 -0.1 12.0 27.9
Russell 1000 Growth Index 10.4 33.5 33.5 16.5 20.4 7.8 15.3 2.6 16.7 37.2 -38.4 11.8 9.1 5.3 6.3 29.7
Large-Cap Growth Equity Peer Group Median 10.6 34.6 34.6 15.3 19.3 7.7 14.6 -0.8 15.3 33.4 -38.3 13.8 7.1 6.2 7.7 25.8
Holland Large Cap Growth Rank 66 77 77 48 41 45 66 14 51 22 22 78 58 93 18 36
19.5
19.8
20.1
20.4
20.7
20.9
Return (%)15.4 15.6 15.8 16.0 16.2 16.4 16.6 16.8
Risk (Standard Deviation %)
Russell 1000 Growth Index
Holland Large Cap Growth
Holland Large Cap Growth Russell 1000 Growth Index
0
25
50
75
100Return Percentile Rank3/04 3/05 3/06 3/07 3/08 3/09 3/10 3/11 3/12 3/13 12/13
Average Active Weight
0.0 5.0 10.0-5.0-8.1
Utilities
Telecommunication Services
Materials
Information Technology
Industrials
Health Care
Financials
Energy
Consumer Staples
Consumer Discretionary
Cash
-0.2
-2.0
-1.6
6.2
-3.4
2.5
-2.0
3.6
-4.2
-2.3
3.5
Allocation
(Total: -0.4)
0.0 0.3-0.3-0.6
0.0
0.1
0.0
0.1
-0.1
0.0
0.0
-0.3
0.1
0.0
-0.4
Stock
(Total: 0.3)
0.0 1.0 1.9-1.0-1.9
0.0
0.0
-0.1
-1.1
-0.4
-0.2
0.2
0.5
0.3
1.1
0.0
Holland Large Cap Growth
0.0 1.0 1.8-1.0-1.7
0.0
0.1
-0.1
-1.0
-0.5
-0.2
0.2
0.2
0.4
1.1
-0.4
Manager Evaluation
Holland Large Cap Growth vs. Russell 1000 Growth Index
As of December 31, 2013
Differences between the manager return and the attribution return are due primarily to the effects of fees and portfolio trading.
30
Portfolio Characteristics
Portfolio Benchmark
Wtd. Avg. Mkt. Cap ($M)82,350 97,884
Median Mkt. Cap ($M)33,671 8,042
Price/Earnings ratio 26.0 22.2
Price/Book ratio 4.8 4.8
5 Yr. EPS Growth Rate (%)10.4 12.4
Current Yield (%)1.0 1.6
Debt to Equity 0.7 9.1
Number of Stocks 48 625
Beta (5 Years, Monthly)0.95 1.00
Consistency (5 Years, Monthly)51.67 1.00
Sharpe Ratio (5 Years, Monthly)1.31 1.31
Information Ratio (5 Years, Monthly)-0.14 -
Up Market Capture (5 Years, Monthly)95.19 -
Down Market Capture (5 Years, Monthly)91.31 -
Top Ten Equity Holdings
Portfolio
Weight
(%)
Benchmark
Weight
(%)
Active
Weight
(%)
Quarterly
Return
(%)
Qualcomm Inc.4.6 1.3 3.2 10.8
Visa Inc 4.4 1.2 3.2 16.8
Amazon.com Inc 4.2 1.5 2.7 27.6
Range Resources Corp.4.1 0.1 3.9 11.2
Citrix Systems Inc.3.5 0.1 3.4 -10.4
Google Inc 3.5 3.1 0.3 27.9
Priceline.Com Inc 3.1 0.6 2.5 15.0
Apple Inc 3.1 4.1 -1.1 18.4
Adobe Systems Inc 3.0 0.1 2.9 15.3
Cisco Systems Inc 2.7 0.0 2.7 -3.6
% of Portfolio 36.0 12.3
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
2.2
0.0
0.0
2.8
32.3
8.6
14.3
3.5
9.4
8.1
18.8
0.0
0.2
2.0
4.5
27.1
12.4
12.2
5.4
4.4
11.9
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
57.5
>$59 Bil $15 Bil -
$59 Bil
$2 Bil -
$15 Bil
$0 -
$2 Bil
Cash
49.2
29.5
21.1
0.1 0.0
42.5
26.1 28.1
1.1 2.2
Manager Evaluation
Holland Capital Management vs. Russell 1000 Growth Index
As of December 31, 2013
31
Historical Performance
Buy and Hold Attribution
Risk and Return (Jan - 2009 - Dec - 2013)Three Year Rolling Percentile Ranking
Quarter
Year
To
Date
1
Year
3
Years
5
Years
10
Years 2012 2011 2010 2009 2008 2007 2006 2005 2004 2003
Kennedy Mid Cap Value 8.0 33.3 33.3 14.5 20.8 N/A 13.6 -0.8 27.0 34.8 -27.0 N/A N/A N/A N/A N/A
Russell Midcap Value Index 8.6 33.5 33.5 16.0 21.2 10.3 18.5 -1.4 24.8 34.2 -38.4 -1.4 20.2 12.6 23.7 38.1
Mid-Cap Value Equity Peer Group Median 8.5 33.4 33.4 14.2 19.6 9.1 15.5 -3.0 20.7 32.9 -38.9 2.7 13.9 8.6 16.7 35.2
Kennedy Mid Cap Value Rank 61 51 51 46 34 N/A 63 33 9 43 10 N/A N/A N/A N/A N/A
20.4
20.7
21.0
21.3
21.6
Return (%)18.0 18.5 19.0 19.5 20.0 20.5 21.0 21.5 22.0
Risk (Standard Deviation %)
Russell Midcap Value Index
Kennedy Mid Cap Value
Kennedy Mid Cap Value Russell Midcap Value Index
0
25
50
75
100Return Percentile Rank3/04 3/05 3/06 3/07 3/08 3/09 3/10 3/11 3/12 3/13 12/13
Average Active Weight
0.0 7.0 12.6-7.0-14.0
Utilities
Telecommunication Services
Materials
Information Technology
Industrials
Health Care
Financials
Energy
Consumer Staples
Consumer Discretionary
Cash
-4.8
-0.6
-0.7
0.8
6.2
-0.4
-9.1
4.0
-1.0
2.0
3.5
Allocation
(Total: 0.3)
0.0 0.3 0.5-0.3-0.5
0.3
0.0
0.0
0.0
0.3
0.0
0.1
-0.1
0.0
0.1
-0.3
Stock
(Total: -1.3)
0.0 0.7-0.7-1.4
0.0
0.0
0.3
-1.0
-0.5
0.0
0.4
-0.4
0.2
-0.4
0.0
Kennedy Mid Cap Value
0.0 0.5 1.0-0.5-1.0-1.5
0.3
0.0
0.3
-1.0
-0.2
0.0
0.5
-0.5
0.2
-0.3
-0.3
Manager Evaluation
Kennedy Mid Cap Value vs. Russell Midcap Value Index
As of December 31, 2013
Differences between the manager return and the attribution return are due primarily to the effects of fees and portfolio trading.
32
Portfolio Characteristics
Portfolio Benchmark
Wtd. Avg. Mkt. Cap ($M)8,031 10,627
Median Mkt. Cap ($M)6,054 5,247
Price/Earnings ratio 18.2 18.1
Price/Book ratio 2.0 1.9
5 Yr. EPS Growth Rate (%)7.4 4.7
Current Yield (%)1.6 2.0
Debt to Equity 0.6 1.8
Number of Stocks 55 534
Beta (5 Years, Monthly)0.88 1.00
Consistency (5 Years, Monthly)50.00 1.00
Sharpe Ratio (5 Years, Monthly)1.19 1.12
Information Ratio (5 Years, Monthly)-0.12 -
Up Market Capture (5 Years, Monthly)93.25 -
Down Market Capture (5 Years, Monthly)88.44 -
Top Ten Equity Holdings
Portfolio
Weight
(%)
Benchmark
Weight
(%)
Active
Weight
(%)
Quarterly
Return
(%)
Protective Life Corp 2.5 0.2 2.4 19.6
Southwest Airlines Co.2.5 0.5 2.0 29.7
Parker-Hannifin Corp 2.4 0.7 1.7 18.8
Georgia Gulf Corp.2.3 0.0 2.3 26.0
Foot Locker Inc.2.3 0.2 2.1 22.8
Hospira Inc 2.3 0.3 2.0 5.3
Harman International Industries Inc.2.2 0.2 2.0 24.0
Steel Dynamics Inc 2.2 0.2 2.1 17.5
AGCO Corp 2.2 0.2 2.0 -1.9
Zimmer Holdings Inc 2.2 0.5 1.6 13.7
% of Portfolio 23.1 2.9
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
2.2
7.1
0.0
5.8
12.8
16.8
8.2
22.4
8.7
2.0
14.0
0.0
11.5
0.7
5.4
10.6
11.8
8.7
32.3
7.2
2.8
9.1
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 -
$2 Bil
Cash
28.6
70.5
0.9 0.0
13.3
84.5
0.0 2.2
Manager Evaluation
Kennedy Capital Management vs. Russell Midcap Value Index
As of December 31, 2013
33
Historical Performance
Buy and Hold Attribution
Risk and Return (Jan - 2009 - Dec - 2013)Three Year Rolling Percentile Ranking
Quarter
Year
To
Date
1
Year
3
Years
5
Years
10
Years 2012 2011 2010 2009 2008 2007 2006 2005 2004 2003
TimesSquare Small Cap Growth 9.1 47.7 47.7 19.7 24.2 12.5 13.1 2.6 27.3 35.7 -32.3 10.0 16.5 13.4 11.1 37.5
Russell 2000 Growth Index 8.2 43.3 43.3 16.8 22.6 9.4 14.6 -2.9 29.1 34.5 -38.5 7.0 13.3 4.2 14.3 48.5
Small-Cap Growth Equity Peer Group Median 8.8 44.7 44.7 16.7 22.4 8.9 12.7 -2.7 27.7 34.5 -40.6 9.9 9.9 5.8 11.3 43.3
TimesSquare Small Cap Growth Rank 40 31 31 12 24 1 47 14 53 46 11 49 14 10 53 73
21.0
22.0
23.0
24.0
25.0
26.0
Return (%)18.5 19.0 19.5 20.0 20.5 21.0 21.5 22.0 22.4
Risk (Standard Deviation %)
Russell 2000 Growth Index
TimesSquare Small Cap Growth
TimesSquare Small Cap Growth Russell 2000 Growth Index
0
25
50
75
100Return Percentile Rank3/04 3/05 3/06 3/07 3/08 3/09 3/10 3/11 3/12 3/13 12/13
Average Active Weight
0.0 10.0 18.1-10.0-16.3
Utilities
Telecommunication Services
Materials
Information Technology
Industrials
Health Care
Financials
Energy
Consumer Staples
Consumer Discretionary
Cash
-0.1
-0.9
-3.8
10.3
9.7
-9.1
-0.1
1.8
-0.7
-9.2
2.2
Allocation
(Total: -0.2)
0.0 0.2 0.4-0.2-0.3
0.0
0.0
-0.1
-0.1
0.2
0.0
0.0
0.0
0.0
0.0
-0.2
Stock
(Total: 0.9)
0.0 0.7 1.3-0.7-1.3
0.0
0.0
0.1
0.1
0.0
0.2
0.8
-0.7
0.1
0.4
0.0
TimesSquare Small Cap Growth
0.0 0.5 1.0 1.3-0.5-1.0-1.3
0.0
0.0
0.0
0.0
0.2
0.2
0.8
-0.8
0.1
0.3
-0.2
Manager Evaluation
TimesSquare Small Cap Growth vs. Russell 2000 Growth Index
As of December 31, 2013
Differences between the manager return and the attribution return are due primarily to the effects of fees and portfolio trading.
34
Portfolio Characteristics
Portfolio Benchmark
Wtd. Avg. Mkt. Cap ($M)2,353 2,012
Median Mkt. Cap ($M)1,839 877
Price/Earnings ratio 31.4 26.1
Price/Book ratio 3.6 4.1
5 Yr. EPS Growth Rate (%)12.6 13.1
Current Yield (%)0.4 0.6
Debt to Equity 0.7 1.3
Number of Stocks 103 1,174
Beta (5 Years, Monthly)0.83 1.00
Consistency (5 Years, Monthly)53.33 1.00
Sharpe Ratio (5 Years, Monthly)1.35 1.10
Information Ratio (5 Years, Monthly)0.16 -
Up Market Capture (5 Years, Monthly)89.22 -
Down Market Capture (5 Years, Monthly)72.55 -
Top Ten Equity Holdings
Portfolio
Weight
(%)
Benchmark
Weight
(%)
Active
Weight
(%)
Quarterly
Return
(%)
Solera Holdings Inc 2.4 0.0 2.4 34.2
Ultimate Software Group Inc 2.2 0.5 1.7 3.9
On Assignment Inc 2.2 0.2 2.0 5.8
CoStar Group Inc 2.0 0.6 1.4 9.9
Dealertrack Technologies Inc 1.8 0.2 1.6 12.2
Air Methods Corp 1.8 0.3 1.5 36.9
Heartland Payment Systems Inc 1.7 0.2 1.5 25.7
WEX Inc 1.7 0.5 1.3 12.9
Henry (Jack) & Associates Inc.1.7 0.0 1.7 15.0
Corporate Executive Board Company (The)1.6 0.3 1.3 7.0
% of Portfolio 19.2 2.7
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
3.0
0.0
0.0
1.5
35.6
23.4
12.6
6.6
4.0
4.7
8.7
0.0
0.1
0.9
5.1
24.6
15.4
21.3
7.3
3.8
4.8
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
69.0
$2 Bil -
$15 Bil
$0 -
$2 Bil
Cash
43.8
56.2
0.0
49.9 47.2
3.0
Manager Evaluation
TimesSquare Small Cap Growth vs. Russell 2000 Growth Index
As of December 31, 2013
35
Historical Performance
Buy and Hold Attribution
Risk and Return (Jan - 2009 - Dec - 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 5.6 20.4 20.4 10.0 11.4 7.0 19.6 -7.6 6.1 21.6 -33.1 9.8 22.5 6.5 20.0 32.7
MSCI EAFE Index 5.7 22.8 22.8 8.2 12.4 6.9 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 6.0 20.8 20.8 7.4 12.9 7.3 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 61 54 54 17 77 56 35 10 88 92 1 66 76 100 38 66
11.0
12.0
13.0
13.6
Return (%)17.0 18.0 19.0 20.0 21.0 22.0 23.0
Risk (Standard Deviation %)
MSCI EAFE Index
Morgan Stanley International Equity
Morgan Stanley International Equity MSCI EAFE Index
0
25
50
75
100Return Percentile Rank3/04 3/05 3/06 3/07 3/08 3/09 3/10 3/11 3/12 3/13 12/13
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
-2.4
-0.7
2.9
-7.4
3.3
-5.2
1.1
13.1
-5.2
2.5
Allocation
(Total: -0.3)
0.0 0.2-0.2-0.4
0.1
-0.1
0.0
0.1
0.0
0.1
0.0
0.0
-0.3
0.0
-0.1
Stock
(Total: 0.1)
0.0 0.3 0.5-0.3-0.5
-0.1
-0.1
0.3
0.1
0.1
0.0
0.2
-0.3
0.2
-0.1
0.0
Morgan Stanley International Equity
0.0 0.2 0.4 0.5-0.2-0.4-0.5
0.0
-0.2
0.3
0.2
0.1
0.0
0.2
-0.3
-0.1
-0.1
-0.1
Manager Evaluation
Morgan Stanley International Equity vs. MSCI EAFE Index
As of December 31, 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 0.1 0.2 0.3 0.4 0.5 0.6 0.7 0.8 0.9 1.0 1.1 1.2 1.3-0.1-0.2-0.3-0.4-0.5-0.6-0.7-0.8-0.9-1.0
Pacific
North America
Middle East
Europe ex EMU
EMU
EM Asia
Cash
0.7
0.0
0.0
-0.2
-0.5
0.0
-0.1
Performance Attribution
Average Active Weight
0.0 10.0 20.0 24.5-10.0-20.0
Pacific
North America
Middle East
Europe ex EMU
EMU
EM Asia
Cash
-12.1
0.3
-0.4
14.5
-5.9
1.1
2.5
Allocation
(Total: 0.2)
0.0 0.2 0.4 0.6 0.8-0.2-0.4
0.5
0.0
0.0
0.1
-0.2
0.0
-0.1
Stock
(Total: -0.4)
0.0 0.2 0.4-0.2-0.4-0.5
0.2
0.0
0.0
-0.3
-0.3
0.0
0.0
Manager Evaluation
Morgan Stanley International Equity vs. MSCI EAFE Index
1 Quarter Ending December 31, 2013
37
Portfolio Characteristics
Portfolio Benchmark
Wtd. Avg. Mkt. Cap ($M)80,684 66,178
Median Mkt. Cap ($M)29,767 9,155
Price/Earnings ratio 17.2 15.6
Price/Book ratio 2.3 2.1
5 Yr. EPS Growth Rate (%)6.2 2.4
Current Yield (%)2.9 3.0
Debt to Equity 1.1 1.3
Number of Stocks 69 914
Beta (5 Years, Monthly)0.85 1.00
Consistency (5 Years, Monthly)46.67 1.00
Sharpe Ratio (5 Years, Monthly)0.72 0.70
Information Ratio (5 Years, Monthly)-0.32 -
Up Market Capture (5 Years, Monthly)87.80 -
Down Market Capture (5 Years, Monthly)86.51 -
Top Ten Equity Holdings
Portfolio
Weight
(%)
Benchmark
Weight
(%)
Active
Weight
(%)
Quarterly
Return
(%)
Nestle SA, Cham Und Vevey 4.7 1.8 2.9 5.0
Unilever NV 4.6 0.5 4.1 4.6
British American Tobacco PLC 4.5 0.8 3.7 1.1
Reckitt Benckiser Group PLC 4.3 0.4 3.9 8.5
Sanofi 4.1 1.0 3.1 4.7
Novartis AG 3.5 1.4 2.1 4.2
Roche Holding AG 3.0 1.5 1.5 3.9
SAP AG Systeme Anwendungen 2.9 0.6 2.3 16.0
Diageo PLC 2.9 0.6 2.3 4.1
Prudential PLC 2.5 0.4 2.0 19.1
% of Portfolio 36.9 8.9
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
2.6
0.0
3.1
9.1
6.7
6.5
13.1
19.4
8.6
24.0
6.9
0.0
3.5
5.7
7.6
4.5
12.9
10.0
25.6
7.2
10.9
12.0
Distribution of Market Capitalization (%)
Morgan Stanley International Equity MSCI EAFE 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
Cash
40.1
36.6
23.2
0.1 0.0
50.5
31.0
15.7
0.2 2.6
Manager Evaluation
Morgan Stanley International Equity vs. MSCI EAFE Index
As of December 31, 2013
38
Morgan Stanley
International Equity MSCI EAFE Index
Australia 1.5 7.4
Hong Kong 0.5 2.8
Japan 18.1 20.9
New Zealand 0.0 0.1
Singapore 0.0 1.5
Pacific 20.2 32.7
Austria 0.0 0.3
Belgium 0.0 1.2
Finland 0.0 0.9
France 7.7 9.4
Germany 8.6 9.4
Greece 0.0 0.1
Ireland 1.3 0.3
Italy 1.4 2.2
Luxembourg 0.7 0.3
Netherlands 5.6 3.1
Portugal 0.0 0.2
Spain 0.0 3.3
EMU 25.3 30.7
Denmark 0.0 1.2
Norway 0.0 0.8
Sweden 1.3 3.2
Switzerland 15.7 8.9
United Kingdom 32.1 22.0
Europe ex EMU 49.1 36.1
Canada 1.2 0.0
United States 0.0 0.0
Israel 0.0 0.4
Middle East 0.0 0.4
Developed Markets 95.8 100.0
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 1.6 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 1.6 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 1.6 0.0
Frontier Markets 0.0 0.0
Cash 2.6 0.0
Other 0.0 0.0
Total 100.0 100.0
Manager Evaluation
Morgan Stanley International Equity vs. MSCI EAFE Index
As of December 31, 2013
39
Historical Performance
Buy and Hold Attribution
Risk and Return (Jan - 2009 - Dec - 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 1.8 -0.8 -0.8 -0.9 14.3 10.8 20.2 -18.4 18.5 69.5 -56.4 41.6 38.0 34.5 24.1 54.9
MSCI Emerging Markets Index 1.8 -2.6 -2.6 -2.1 14.8 11.2 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 2.5 -1.1 -1.1 -1.6 14.5 10.4 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 60 47 47 39 56 44 39 41 55 69 71 25 16 41 60 56
14.1
14.4
14.7
15.0
15.3
Return (%)22.6 22.8 23.0 23.2 23.4 23.6 23.8 24.0 24.2
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 Rank3/04 3/05 3/06 3/07 3/08 3/09 3/10 3/11 3/12 3/13 12/13
Average Active Weight
0.0 5.0 9.8-5.0-8.8
Utilities
Telecommunication Services
Other
Materials
Information Technology
Industrials
Health Care
Financials
Energy
Consumer Staples
Consumer Discretionary
Cash
-3.2
-1.3
0.5
-5.0
1.3
1.9
2.9
-3.5
-4.8
5.4
3.3
2.5
Allocation
(Total: 0.1)
0.0 0.2 0.4-0.2-0.3
-0.1
0.0
-0.1
0.0
0.1
0.0
0.1
0.0
0.2
-0.2
0.0
0.0
Stock
(Total: 0.0)
0.0 0.2 0.4-0.2-0.4
0.0
-0.2
0.0
0.0
0.0
0.2
0.1
-0.2
0.1
-0.2
0.2
0.0
Morgan Stanley Emerging Markets
0.0 0.3 0.6-0.3-0.6
-0.1
-0.2
-0.1
0.0
0.1
0.2
0.2
-0.2
0.3
-0.3
0.2
0.0
Manager Evaluation
Morgan Stanley Emerging Markets vs. MSCI Emerging Markets Index
As of December 31, 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 0.2 0.4 0.6 0.8 1.0 1.2 1.4-0.2-0.4-0.6-0.8-1.0-1.2-1.4-1.5
Pacific
Other
North America
Frontier Markets
Europe ex EMU
EMU
EM Latin America
EM Europe + Middle East + Africa
EM Asia
Cash
0.0
0.1
0.2
0.0
0.0
0.2
-0.1
0.7
-0.9
0.0
Performance Attribution
Average Active Weight
0.0 3.0 6.0 8.3-3.0-6.0-7.7
Pacific
Other
North America
Frontier Markets
Europe ex EMU
EMU
EM Latin America
EM Europe + Middle East + Africa
EM Asia
Cash
-2.0
0.7
1.7
0.4
2.4
4.5
-2.2
-4.4
-3.5
2.5
Allocation
(Total: 0.4)
0.0 0.1 0.2 0.3-0.1-0.2
0.0
0.1
0.1
0.0
0.0
0.2
0.1
0.1
-0.1
0.0
Stock
(Total: -0.3)
0.0 0.4 0.8 1.2-0.4-0.8-1.2
0.0
0.0
0.1
0.0
0.0
0.0
-0.2
0.6
-0.8
0.0
Manager Evaluation
Morgan Stanley Emerging Markets vs. MSCI Emerging Markets Index
1 Quarter Ending December 31, 2013
41
Portfolio Characteristics
Portfolio Benchmark
Wtd. Avg. Mkt. Cap ($M)45,708 39,156
Median Mkt. Cap ($M)8,347 4,726
Price/Earnings ratio 14.4 11.1
Price/Book ratio 2.6 2.1
5 Yr. EPS Growth Rate (%)12.1 11.8
Current Yield (%)1.9 2.5
Debt to Equity 0.8 0.9
Number of Stocks 160 821
Beta (5 Years, Monthly)0.94 1.00
Consistency (5 Years, Monthly)46.67 1.00
Sharpe Ratio (5 Years, Monthly)0.73 0.72
Information Ratio (5 Years, Monthly)-0.15 -
Up Market Capture (5 Years, Monthly)94.20 -
Down Market Capture (5 Years, Monthly)92.64 -
Top Ten Equity Holdings
Portfolio
Weight
(%)
Benchmark
Weight
(%)
Active
Weight
(%)
Quarterly
Return
(%)
Samsung Electronics Co Ltd 4.2 3.8 0.3 2.6
Tencent Holdings LTD 2.3 1.7 0.5 21.6
Taiwan Semiconductor Manufacturing 2.0 2.3 -0.3 3.9
Bank of China Ltd 2.0 0.9 1.0 0.9
Hyundai Motor Co Ltd 1.9 0.9 1.0 -3.6
BRF - Brasil Foods S.A.1.7 0.4 1.4 -14.0
Cemex SAB de CV 1.5 0.4 1.1 5.8
Bank Zachodni Wbk S.A., Wroclaw 1.4 0.1 1.3 15.3
Naspers Ltd 1.4 1.1 0.3 13.3
Grupo Financiero Banorte 1.3 0.5 0.9 13.1
% of Portfolio 19.5 12.0
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
2.2
0.0
7.5
4.1
17.1
8.8
4.7
23.8
6.2
12.6
12.4
0.0
0.0
3.3
7.4
9.7
16.0
6.5
1.7
26.7
11.3
8.6
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
57.5
>$59 Bil $15 Bil -
$59 Bil
$2 Bil -
$15 Bil
$0 -
$2 Bil
Cash
20.1
33.7
42.5
3.6
0.0
17.3
28.7
47.3
4.6
2.2
Manager Evaluation
Morgan Stanley Emerging Markets vs. MSCI Emerging Markets Index
As of December 31, 2013
42
Morgan Stanley
Emerging Markets
MSCI Emerging
Markets Index
Australia 0.0 0.0
Hong Kong 3.3 6.6
Japan 0.5 0.0
New Zealand 0.0 0.0
Singapore 0.4 0.0
Pacific 4.2 6.7
Austria 1.8 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 1.2 0.0
Netherlands 0.9 0.0
Portugal 1.1 0.0
Spain 0.8 0.0
EMU 5.7 0.0
Denmark 0.0 0.0
Norway 0.0 0.0
Sweden 0.0 0.0
Switzerland 0.9 0.0
United Kingdom 1.5 0.0
Europe ex EMU 2.5 0.0
Canada 0.0 0.0
United States 1.7 0.1
Israel 0.0 0.0
Middle East 0.0 0.0
Developed Markets 14.1 6.8
Morgan Stanley
Emerging Markets
MSCI Emerging
Markets Index
Brazil 6.9 10.7
Cayman Islands 0.0 0.0
Chile 0.7 1.6
Colombia 1.1 1.0
Mexico 7.2 5.4
Peru 1.1 0.3
Virgin Islands 0.0 0.0
EM Latin America 17.0 19.0
China 9.5 13.2
India 6.5 6.3
Indonesia 1.6 2.2
Korea 16.2 16.2
Malaysia 2.9 3.8
Philippines 3.6 0.9
Taiwan 7.0 11.7
Thailand 4.9 2.2
EM Asia 52.1 56.5
Czech Republic 0.8 0.2
Egypt 0.0 0.2
Hungary 1.0 0.3
Morocco 0.0 0.2
Poland 3.2 1.7
Russia 2.3 6.1
South Africa 4.4 7.4
Turkey 1.7 1.5
EM Europe + Middle East + Africa 13.4 17.7
Emerging Markets 82.5 93.2
Frontier Markets 0.5 0.0
Cash 2.2 0.0
Other 0.8 0.0
Total 100.0 100.0
Manager Evaluation
Morgan Stanley Emerging Markets vs. MSCI Emerging Markets Index
As of December 31, 2013
43
Historical Performance
Three Year Rolling Percentile Ranking Risk and Return (Jan-2009 - Dec-2013)
Historical Statistics (Jan-2009 - Dec-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 0.0 -0.9 -0.9 3.5 6.1 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 0.0 -0.9 -0.9 2.9 4.0 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 0.2 -0.6 -0.6 3.1 5.8 4.1 5.1 4.6 6.1 9.8 -1.8 5.5 4.0 1.5 2.6 3.3
Income Research Rank 64 61 61 38 40 13 41 28 49 24 29 9 14 1 19 15
2.0
3.0
4.0
5.0
6.0
7.0
8.0
8.6
Return (%)2.2 2.4 2.6 2.8 3.0 3.2 3.4 3.6 3.8 4.0 4.1
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 Rank3/04 3/05 3/06 3/07 3/08 3/09 3/10 3/11 3/12 3/13 12/13
Return
Standard
Deviation
Excess
Return Alpha Beta
Sharpe
Ratio
Tracking
Error
Information
Ratio
Downside
Risk Consistency
Inception
Date
Income Research 6.1 3.6 6.0 1.7 1.1 1.7 2.2 1.0 1.0 70.0 16y 11m
Barclays Intermediate U.S. Government/Credit 4.0 2.6 3.8 0.0 1.0 1.5 0.0 N/A 1.0 0.0 16y 11m
90 Day U.S. Treasury Bill 0.1 0.0 0.0 0.1 0.0 N/A 2.6 -1.5 0.0 20.0 16y 11m
Manager Evaluation
Income Research vs. Barclays Intermediate U.S. Government/Credit
As of December 31, 2013
44
Credit Quality Distribution (%)
Income Research
Barclays Intermediate U.S. Government/Credit
0.0
20.0
40.0
60.0
80.0
87.5
AAAAAABBB65.5
6.6
14.1 13.8
52.9
8.9
18.5 19.7
Portfolio Characteristics
Portfolio Benchmark
Effective Duration 3.8 3.8
Avg. Maturity 4.5 4.1
Avg. Quality AA-AA+
Yield To Maturity (%)2.1 1.6
Sector Distribution (%)
Income Research
Barclays Intermediate U.S. Government/Credit
0.0
20.0
40.0
60.0
80.0
TreasuriesAgenciesCreditMBSABSNon-USEmergingMunicipalsCashOtherCMBS56.7
6.8
23.9
0.0 0.0
10.3
2.3 0.0 0.0 0.0 0.0
23.1
0.9
39.3
8.4 5.8
0.0 0.0 3.1 0.5
7.6 11.4
Maturity Distribution (%)
Income Research
Barclays Intermediate U.S. Government/Credit
0.0
10.0
20.0
30.0
40.0
50.0
56.7
< 1 Yr1 < 3 Yrs3 < 5 Yrs5 < 10 Yrs10 < 20 Yrs> 20 Yrs0.0
41.5
27.5
31.0
0.0 0.0
6.9
27.6 29.5
33.6
1.7 0.7
Manager Evaluation
Income Research vs. Barclays Intermediate U.S. Government/Credit
As of December 31, 2013
45
Historical Performance
Three Year Rolling Percentile Ranking Risk and Return (Jan-2009 - Dec-2013)
Historical Statistics (Jan-2009 - Dec-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 3.5 5.9 5.9 7.7 14.6 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 3.5 7.4 7.4 9.0 18.5 8.4 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 3.4 7.4 7.4 8.7 16.9 8.0 15.3 4.0 14.7 47.3 -24.3 2.6 10.7 3.1 10.4 24.1
Penn Capital Rank 37 78 78 81 82 N/A 80 46 41 79 25 74 84 N/A N/A N/A
12.0
14.0
16.0
18.0
20.0
22.0
22.8
Return (%)6.0 7.0 8.0 9.0 10.0 11.0 12.0 13.0
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 Rank3/04 3/05 3/06 3/07 3/08 3/09 3/10 3/11 3/12 3/13 12/13
Return
Standard
Deviation
Excess
Return Alpha Beta
Sharpe
Ratio
Tracking
Error
Information
Ratio
Downside
Risk Consistency
Inception
Date
Penn Capital 14.6 7.2 14.0 3.3 0.6 1.9 5.0 -0.8 2.1 40.0 8y 6m
BofA Merrill Lynch US High Yield, Cash Pay Index 18.5 11.3 17.8 0.0 1.0 1.6 0.0 N/A 2.8 0.0 8y 6m
90 Day U.S. Treasury Bill 0.1 0.0 0.0 0.1 0.0 N/A 11.3 -1.6 0.0 15.0 8y 6m
Manager Evaluation
Penn Capital vs. BofA Merrill Lynch US High Yield, Cash Pay Index
As of December 31, 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
45.3
38.5
16.2
1.3
33.0
65.7
0.0
Portfolio Characteristics
Portfolio Benchmark
Effective Duration 4.1 4.4
Avg. Maturity 6.0 6.7
Avg. Quality B B+
Yield To Maturity (%)6.0 5.9
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
96.8
3.2
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 Yrs8.4
22.4
63.4
3.9 2.03.0
17.7
79.3
0.0 0.1
Manager Evaluation
Penn Capital vs. BofA Merrill Lynch US High Yield, Cash Pay Index
As of December 31, 2013
47
Historical Performance
Three Year Rolling Percentile Ranking Risk and Return (Apr-2010 - Dec-2013)
Historical Statistics (Apr-2010 - Dec-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 2.3 4.4 4.4 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 1.8 2.1 2.1 6.3 12.3 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 1.3 0.4 0.4 3.7 8.5 4.3 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 12 13 13 1 N/A N/A 6 22 N/A N/A N/A N/A N/A N/A N/A N/A
5.5
6.0
6.5
7.0
7.5
8.0
8.5
9.0
9.4
Return (%)2.8 3.0 3.2 3.4 3.6 3.8 4.0 4.2 4.4 4.6 4.8 5.0 5.1
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 Rank3/04 3/05 3/06 3/07 3/08 3/09 3/10 3/11 3/12 3/13 12/13
Return
Standard
Deviation
Excess
Return Alpha Beta
Sharpe
Ratio
Tracking
Error
Information
Ratio
Downside
Risk Consistency
Inception
Date
Loomis Credit Asset Fund 8.1 4.5 7.8 -0.4 1.2 1.7 2.0 0.6 1.8 73.3 3y 9m
50% BC Credit / 25% S&P LSTA / 25% BY High Yield 6.9 3.3 6.7 0.0 1.0 2.0 0.0 N/A 1.2 0.0 3y 9m
90 Day U.S. Treasury Bill 0.1 0.0 0.0 0.1 0.0 N/A 3.3 -2.0 0.0 13.3 3y 9m
Manager Evaluation
Loomis Credit Asset Fund vs. 50% BC Credit / 25% S&P LSTA / 25% BY High Yield
As of December 31, 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 BNot Rated3.1 3.4
15.6
21.4
25.6 27.0
3.8
0.1
Portfolio Characteristics
Portfolio
Effective Duration 3.6
Avg. Maturity 6.5
Avg. Quality BB
Yield To Maturity (%)4.7
Sector Distribution (%)
Loomis Credit Asset Fund
0.0
10.0
20.0
30.0
40.0
45.9
TreasuriesCreditHigh YieldMBSABSCashOtherCMBS0.2
22.6
27.8
4.7 4.5
2.2
34.0
4.0
Maturity Distribution (%)
Loomis Credit Asset Fund
0.0
10.0
20.0
30.0
40.0
50.0
60.0
67.5
< 1 Yr1 < 3 Yrs3 < 5 Yrs5 < 10 Yrs10 < 20 Yrs> 20 Yrs5.8
11.4
26.7
48.7
1.3
6.2
Manager Evaluation
Loomis Credit Asset Fund
As of December 31, 2013
49
Historical Performance
Three Year Rolling Percentile Ranking Risk and Return (Jan-2009 - Dec-2013)
Historical Statistics (Jan-2009 - Dec-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 -0.3 -3.5 -3.5 5.9 10.3 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 -1.1 -4.0 -4.0 1.2 2.3 4.2 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 0.5 -1.7 -1.7 3.1 6.0 5.0 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 72 69 69 13 13 N/A 15 12 10 25 74 18 21 55 N/A N/A
-6.0
-3.0
0.0
3.0
6.0
9.0
12.0
15.0
18.0
Return (%)5.5 6.0 6.5 7.0 7.5 8.0 8.5 8.9
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 Rank3/04 3/05 3/06 3/07 3/08 3/09 3/10 3/11 3/12 3/13 12/13
Return
Standard
Deviation
Excess
Return Alpha Beta
Sharpe
Ratio
Tracking
Error
Information
Ratio
Downside
Risk Consistency
Inception
Date
Brandywine Global Opportunistic Fixed Income 10.3 8.1 10.1 7.9 1.0 1.3 4.8 1.6 2.0 80.0 9y
Citigroup World Government Bond 2.3 6.3 2.4 0.0 1.0 0.4 0.0 N/A 3.2 0.0 9y
90 Day U.S. Treasury Bill 0.1 0.0 0.0 0.1 0.0 N/A 6.3 -0.4 0.0 50.0 9y
Manager Evaluation
Brandywine Global Opportunistic Fixed Income vs. Citigroup World Government Bond
As of December 31, 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 B17.9
67.7
2.2
12.3
0.0 0.0 0.0
23.9 25.0 23.2
18.6
7.5
0.1 1.7
Portfolio Characteristics
Portfolio Benchmark
Effective Duration 5.9 6.7
Avg. Maturity 11.8 8.2
Avg. Quality A+AA
Yield To Maturity (%)4.2 1.6
Sector Distribution (%)
Brandywine Global Opportunistic Fixed Income
Citigroup World Government Bond
0.0
30.0
60.0
90.0
-25.0
TreasuriesCreditHigh YieldMBSNon-USEmergingMunicipalsCashOther29.1
0.0 0.0 0.0
70.9
0.0 0.0 0.0 0.0
8.6 4.1 0.1 1.7
68.9
9.0
0.8 7.1
-0.1
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
28.5
19.9
28.0
23.7
0.0
12.2
20.4
6.9
24.9
5.5
30.1
Manager Evaluation
Brandywine Global Opportunistic Fixed Income vs. Citigroup World Government Bond
As of December 31, 2013
51
Historical Performance
Three Year Rolling Percentile Ranking Risk and Return (Jul-2010 - Dec-2013)
Historical Statistics (Jul-2010 - Dec-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 -1.5 -10.3 -10.3 0.3 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 -1.5 -9.0 -9.0 1.5 8.1 9.5 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 -1.6 -10.4 -10.4 0.6 8.4 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 50 47 47 63 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
6.4
Return (%)9.8 10.0 10.2 10.4 10.6 10.8 10.9
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 Rank3/04 3/05 3/06 3/07 3/08 3/09 3/10 3/11 3/12 3/13 12/13
Return
Standard
Deviation
Excess
Return Alpha Beta
Sharpe
Ratio
Tracking
Error
Information
Ratio
Downside
Risk Consistency
Inception
Date
Pictet Emerging Local Currency Debt Fund 2.9 9.9 3.3 -1.3 0.9 0.3 1.0 -1.7 5.9 7.1 3y 6m
JPM GBI-EM Global Diversified 4.6 10.6 4.9 0.0 1.0 0.5 0.0 N/A 6.0 0.0 3y 6m
90 Day U.S. Treasury Bill 0.1 0.0 0.0 0.1 0.0 N/A 10.6 -0.5 0.0 50.0 3y 6m
Manager Evaluation
Pictet Emerging Local Currency Debt Fund vs. JPM GBI-EM Global Diversified
As of December 31, 2013
52
Credit Quality Distribution (%)
Pictet Emerging Local Currency Debt Fund
JPM GBI-EM Global Diversified
0.0
20.0
40.0
60.0
77.5
AAAAAABBBBBNot Rated0.0 0.2
20.0
61.1
18.3
0.40.2 0.1
16.3
54.1
13.7 15.6
Portfolio Characteristics
Portfolio Benchmark
Effective Duration 4.4 4.6
Avg. Maturity 6.4 6.8
Avg. Quality BBB BBB
Yield To Maturity (%)5.5 6.8
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 AmericaAfricaOthers25.5
37.2
25.3
12.0
0.0
24.7
38.5
22.2
14.5
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
86.2
13.7
0.2
Manager Evaluation
Pictet Emerging Local Currency Debt Fund vs. JPM GBI-EM Global Diversified
As of December 31, 2013
53
Historical Performance
Comparative Performance and Rolling Return Risk and Return (Jan-2009 - Dec-2013)
Historical Statistics (Jan-2009 - Dec-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 4.3 12.5 12.5 8.1 10.7 7.3 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 5.1 15.9 15.9 8.8 11.6 6.4 11.9 -0.7 10.5 21.6 -26.9 8.4 14.4 7.1 11.1 22.4
10.0
10.4
10.8
11.2
11.6
12.0
12.4
12.6
Return (%)9.0 9.5 10.0 10.5 11.0 11.5 12.0 12.5 13.0
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 12/13
Return
Standard
Deviation
Excess
Return Alpha Beta
Sharpe
Ratio
Tracking
Error
Information
Ratio
Downside
Risk Consistency
Inception
Date
GMO Asset Allocation Fund 10.7 9.8 10.6 1.3 0.8 1.1 3.0 -0.4 5.0 35.0 17y 2m
65% MSCI World (Net) / 35% BC Aggregate 11.6 12.1 11.7 0.0 1.0 1.0 0.0 N/A 6.5 0.0 17y 2m
90 Day U.S. Treasury Bill 0.1 0.0 0.0 0.1 0.0 N/A 12.1 -1.0 0.0 25.0 17y 2m
Manager Evaluation
GMO Asset Allocation Fund vs. 65% MSCI World (Net) / 35% BC Aggregate
As of December 31, 2013
54
U.S. Flex ib le
Equities
22.8%
Asset Allocation
Bond
Debt
Op portunities
2.9%
Cas h &Cas h
Equivalents
1.9%
Alpha Only
9.4%
Alternat ive Asset
Op portunity
5.3%
Spec ial Situations
0.5%
Manager Evaluation
GMO Asset Allocation Fund
As of December 31, 20131
3.0%1.6%
17.1%
0.0%
5.0%
10.0%
15.0%
20.0%
Fund Composition Fund Weights Relative to Benchmark
Internat io nal
Intrins ic Value
21.9%
Currency Hed ged
In ternat io nal
Equity
5.3%Risk Premium
2.4%
Emerg ing Mark et s
8.7%
Domestic Bond
0.7%
Strateg ic Fixed
Income
4.7%
Emerg ing Co untry
Debt
3.5%
Bond
9.9%
-8.5%
-13.3%
-20.0%
-15.0%
-10.0%
-5.0%
U.S. Equities Int'l.Equities Em ergin g
Equities
Fixed Income Ot her
1Allocations as of November 30, 2013. December 31, 2013 portfolio sector positioning was not available at the time of report production.
55
Historical Performance
Comparative Performance and Rolling Return Risk and Return (Jan-2009 - Dec-2013)
Historical Statistics (Jan-2009 - Dec-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 -2.4 -1.6 -1.6 0.4 0.1 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 3.1 3.1 3.1 3.1 4.7 3.1 3.1 3.1 3.2 5.1 8.2 8.0 6.2 4.4 4.2
-2.0
0.0
2.0
4.0
6.0
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 12/13
Return
Standard
Deviation
Excess
Return Alpha Beta
Sharpe
Ratio
Tracking
Error
Information
Ratio
Downside
Risk Consistency
Inception
Date
Pyramis Market Neutral 0.1 4.8 0.2 -17.1 6.0 0.0 4.8 -0.6 3.0 40.0 8y 5m
3 Month T-Bills + 3%3.1 0.0 3.0 0.0 1.0 234.4 0.0 N/A 0.0 0.0 8y 5m
90 Day U.S. Treasury Bill 0.1 0.0 0.0 -2.6 0.9 N/A 0.0 -234.4 0.0 0.0 8y 5m
Manager Evaluation
Pyramis Market Neutral vs. 3 Month T-Bills + 3%
As of December 31, 2013
56
Manager Evaluation
Pyramis Market Neutral Fund
As of December 31, 2013
Inve st ment Type Ex posure
23.3%21.5%
15.6%15.2%11.2%
2.9%2.1%1.8%1.1%
0.0%
-23.0%-21.2%
-17.6%-15.4%
-8.6%
-4.7%-2.2%-1.1%0.0%
0.0%
Long ShortLongShort
6.1%
2.5%
1.1%0.7%0.4%0.3%0.0%
-0.1%-0.2%
-1.8%-2.0%-3.0%
-2.0%
-1.0%
0.0%
1.0%
2.0%
3.0%
4.0%
5.0%
6.0%
7.0%
Sector Attribution
57
Historical Performance
Comparative Performance and Rolling Return Risk and Return (Jan-2009 - Dec-2013)
Historical Statistics (Jan-2009 - Dec-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 1.3 0.8 0.8 6.0 10.8 6.7 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 -1.3 -5.6 -5.6 2.6 5.0 4.4 5.0 8.9 5.2 12.0 -2.4 11.4 1.6 1.9 7.1 7.1
0.0
3.0
6.0
9.0
12.0
15.0
17.4
Return (%)2.0 3.0 4.0 5.0 6.0 7.0 8.0 9.0 10.0 10.8
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 12/12 12/13
Return
Standard
Deviation
Excess
Return Alpha Beta
Sharpe
Ratio
Tracking
Error
Information
Ratio
Downside
Risk Consistency
Inception
Date
PIMCO All Asset Fund I 10.8 8.6 10.6 9.0 0.4 1.2 8.8 0.7 3.6 80.0 11y 5m
Barclays U.S. Treasury Inflation Notes: 1-10 Year 5.0 4.2 4.8 0.0 1.0 1.2 0.0 N/A 2.5 0.0 11y 5m
90 Day U.S. Treasury Bill 0.1 0.0 0.0 0.1 0.0 N/A 4.2 -1.2 0.0 10.0 11y 5m
Manager Evaluation
PIMCO All Asset Fund I vs. Barclays U.S. Treasury Inflation Notes: 1-10 Year
As of December 31, 2013
58
Manager Evaluation
PIMCO All Asset Fund I Sector Allocations
As of December 31, 2013
U.S. Equi ty
Strat eg ies
1.2%
Glo bal Eq uity
Strat eg ies
23.2%
Short -Te rm
Strat eg ies
0.6%
In flat io n Relat ed
Strat eg ies
8.3%
Alternat iv e
Strat eg ies
13.5%
U.S. Core &Lo ng
Maturity Bond
Strat eg ies
4.8%
Cred it Strat eg ies
23.9%
EM & Glo bal Bo nd
Strat eg ies
24.5%
0.6%
59
Historical Performance
Comparative Performance and Rolling Return Risk and Return (Jan-2009 - Dec-2013)
Historical Statistics (Jan-2009 - Dec-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 2.0 9.2 9.2 10.1 3.6 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 2.5 11.0 11.0 11.9 5.7 8.6 10.5 14.3 13.1 -16.8 -6.5 15.8 16.6 20.1 14.5 9.0
2.0
3.0
4.0
5.0
6.0
7.0
8.0
Return (%)5.7 6.0 6.3 6.6 6.9 7.2 7.5 7.8 8.1 8.4 8.6
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 12/13
Return
Standard
Deviation
Excess
Return Alpha Beta
Sharpe
Ratio
Tracking
Error
Information
Ratio
Downside
Risk Consistency
Inception
Date
UBS Trumbull Property Fund 3.6 7.9 3.7 -3.1 1.2 0.5 2.1 -0.9 6.1 25.0 36y
NCREIF Property Index 5.7 6.4 5.7 0.0 1.0 0.9 0.0 N/A 4.4 0.0 36y
90 Day U.S. Treasury Bill 0.1 0.0 0.0 0.1 0.0 N/A 6.4 -0.9 0.0 20.0 36y
Manager Evaluation
UBS Trumbull Property Fund vs. NCREIF Property Index
As of December 31, 2013
60
Property Type
UBS Trumbull Property Fund NCREIF Property Index
0.0
10.0
20.0
30.0
40.0
48.6
OfficeApartmentRetailIndustrialHotel35.9
24.9 23.4
13.6
2.2
Portfolio Characteristics
Portfolio Benchmark
# Properties 186 7,029
# Investors 399 N/A
Leverage %13.0 N/A
Property Location
UBS Trumbull Property Fund NCREIF Property Index
0.0
10.0
20.0
30.0
40.0
50.0
55.4
EastWestSouthMidwest34.7 35.1
21.1
9.0
Manager Evaluation
UBS Trumbull Property Fund vs. NCREIF Property Index
As of December 31, 2013
61
Type City
Ac quis ition
Da te
%
Occupa nc y Cos t ($000)
Fa ir Market
Value ($000)
Offi ce Ne w York Ju n-06 100%655,470$ 673,000$
Offi ce Bo ston Dec-11 88%625,321$ 632,000$
Ret ail Ca mb rid ge May-89 97%291,079$ 518,619$
Ret ail Da lla s Dec-02 93%396,700$ 493,000$
Apart ment s Ne w York Ju l-11 94%391,531$ 445,000$
Ret ail Ch ic ag o No v-13 97%318,972$ 414,053$
Offi ce Ne w York Ju l-11 96%185,937$ 413,292$
Offi ce Ch ic ag o Dec-11 100%383,877$ 406,684$
Offi ce Washin gton May-06 80%238,339$ 259,000$
As of De ce mber 31,2013
20 La rge st Investm ents
Manager Evaluation
UBS Trumbull Property Fund
As of December 31, 2013
Offi ce Washin gton May-06 80%238,339$ 259,000$
Ret ail Montebello Dec-88 0%183,298$ 252,000$
Apart ment s Bro okly n Dec-07 97%225,037$ 241,000$
Offi ce Se attle Oc t-84 73%219,872$ 225,000$
Offi ce De nver Ju n-06 89%155,901$ 220,609$
Offi ce De nver Apr-82 91%139,102$ 205,000$
Apart ment s Arlin gton Mar-13 86%68,061$ 191,562$
Offi ce Sa n Fra ncis co Dec-85 87%160,111$ 191,361$
Offi ce Pa sadena May-84 97%179,085$ 189,000$
Apart ment s Washin gton Apr-02 91%79,524$ 186,882$
Ret ail Millb ury Se p-04 99%156,000$ 185,300$
Ret ail St amfo rd Se p-98 94%147,415$ 153,995$
All other inves tment s ------8,547,662$ 9,167,860$
To tal Properties 13,748,294$ 15,664,217$
62
Historical Performance
Comparative Performance and Rolling Return Risk and Return (Apr-2010 - Dec-2013)
Historical Statistics (Apr-2010 - Dec-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 2.7 -3.9 -3.9 -2.6 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 1.6 -2.1 -2.1 -2.3 6.4 6.2 2.3 -7.0 12.7 30.0 -32.7 25.8 14.1 19.7 16.0 26.0
0.9
1.2
1.5
1.8
2.1
2.4
2.7
3.0
Return (%)14.0 14.5 15.0 15.5 16.0 16.5 17.0 17.3
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 12/13
Return
Standard
Deviation
Excess
Return Alpha Beta
Sharpe
Ratio
Tracking
Error
Information
Ratio
Downside
Risk Consistency
Inception
Date
Wellington Diversified Inflation Hedges 2.3 16.4 3.5 0.7 1.1 0.2 2.5 0.4 11.1 60.0 3y 9m
Wellington DIH Multi-Asset Inflation Index 1.6 14.7 2.5 0.0 1.0 0.2 0.0 N/A 10.1 0.0 3y 9m
90 Day U.S. Treasury Bill 0.1 0.0 0.0 0.1 0.0 N/A 14.7 -0.2 0.0 46.7 3y 9m
Manager Evaluation
Wellington Diversified Inflation Hedges vs. Wellington DIH Multi-Asset Inflation Index
As of December 31, 2013
63
Manager Evaluation
We llington Diversified Inflation Hedges Sector Allocation
As of December 31, 20131
En ergy
28.7%
TIPS
8.1%
Emerging
Markets
In flati on -Linked
Bon ds
5.7%
Cash
6.7%
13%
1%
0%
5%
10%
15%
20%
Fund Composition Fund Weights Relative to Benchmark
En ergy
35.8%
TIP S
6.1%
Emerging
Markets
In flati on -Linked
Bon ds
7.7%
Cash
0.6%
Me ta ls &
Mining
3.0%
Agricultu re
5.1%
En du ri ng
Assets
11 .7%
Preciou s
Meta ls
8.7%
Commodities
22.4%
Global Inflation-Sensitive Equities
Commodities
Fixed Income & Cash
-11%
-2%
-20%
-15%
-10%
-5%
0%
Equities Fixed Income Commodities Ca sh
1Allocations as of November 30, 2013. December 31, 2013 portfolio sector positioning was not available at the time of report production.
Metals &
Mi ning
6.6%
Agricultu re
6.2%
En du ri ng
Assets
10.1%
Preciou s
Metals
4.1%
Commodities
22.8%
64
Calendar Year Performance
65
2013 2012 2011 2010 2009 2008 2007 2006 2005 2004
Total Composite 10.9 12.1 1.2 11.2 20.2 -20.2 10.7 11.8 5.6 9.1
Policy Benchmark 12.5 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 22.8 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 33.6 (40)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 32.5 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 15.3 (54)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 15.6 18.5 -15.2 13.6 44.1 -47.0 18.3 27.0 19.7 20.2
Fixed Income Composite -1.7 (82)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 -0.9 (55)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 -0.6 5.1 4.6 6.1 9.8 -1.8 5.5 4.0 1.5 2.6
Tactical Asset Allocation Composite 12.5 10.4 1.7 7.4 22.4 -19.4 8.6 12.3 5.0 11.1
60% World / 40% Agg 14.5 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%3.1 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 December 31, 2013
_________________________
See appendix for a description of the benchmarks and universe. Performance is reported net of fees.
66
Capital Markets Review
67
Reasonable Growth Allows Fed to Begin Taper
•Third quarter U.S.GDP grew at a 4.1%rate,only the second quarter since 2006 to top
4%.Large inventory changes led the ascent,while rising exports bode well for
manufacturing,tech,and energy development.Fourth quarter growth is expected to
be around 3%.Consumer spending over the holiday season was reasonably strong,
though brick and mortar stores lost further ground to online stores.Less foot traffic
reflected the growing preference to shop on smartphones and computers.The late
surge in consumer orders overwhelmed shippers FedEx and UPS,forcing some
deliveries to be made after Christmas.Online shopping led more stores to match
prices,which tended to hurt profits at stores with lower volume or higher overhead.
•Janet Yellen was chosen to succeed Ben Bernanke as chairperson of the Federal
Reserve.In a move that eases the transition,the Fed chose to scale back its bond
purchases by $10 billion per mo nth.The Fed cited an improving economy as a main
reason to start withdrawing financial support.Interest rates are expected to remain at
very low levels for an extended time,as the Fed sought to lessen the reliance on
targets for raising rates.While the unemployment rate fell to 6.7%in December,
close to the Fed’s initial 6.5%target,and inflation was well below 2%,Bernanke
believed that it was premature to disrupt the economy through higher interest rates.
Bernanke likely believes that the falling labor participation rate is restricting growth,
Capital Markets Rev iew
Economy
-10
-8
-6
-4
-2
0
2
4
6
8
10
1980q31983q21986q11988q41991q31994q21997q11999q42002q32005q22008q12010q42013q3Ann. Rate of Return (%)GDP Growth
40-Year Averag e=2.8%
8.0
10.0
12.0
14.0
16.0
PercentInflat ion and Unempl oyme nt
Unemployment
*Dashed lines represent Federal Reserve targets
Source: Bureau of Economic Analysis
Bernanke likely believes that the falling labor participation rate is restricting growth,
and its continued descent will coincide with interest rates remaining low.
•Enrollment problems plagued the rollout of Obamacare,prompting multiple website
shutdowns and deadline extensions.The government hired new companies to oversee
technological reworks and begin wo rk on the systems to connect providers,insurers
and patients.Insurance cost appreciation had slowed in the past decade,reflecting
higher deductibles and increased patient scrutiny of costs.
•The federal government partially shutdown in the first half of October over budget
disagreements.A temporary spending bill passed to end the deadlock,while a
spending bill passed in December provided longer-term certainties.The new budget
trimmed sequester cuts,raised taxes and fees,and slowed the growth of some federal
pensions.Detroit and Illinois pension reforms led the charge to balance revenues with
contributions and future expenditures.Court challenges to these changes will
determine the future of municipal pension reforms across the country.
•The Volcker Rule,which regulates banks’investment activities,passed in December.
The rule extensively regulates banks’proprietary trading and limits their hedging
activities to reducing risk on bank-owned assets.The rule aims to reduce risk in the
financial system by limiting banks’exposure to negative market conditions and lower
the likelihood of financial bailouts.
62
63
64
65
66
67
144
146
148
150
152
154
156
158
PercentMillionsLabor Force
Size (Employed +
Unemployed)
Participation Rat e (%)
-4.0
-2.0
0.0
2.0
4.0
6.0
8.0
1/19801/19821/19841/19861/19881/19901/19921/19941/19961/19981/20001/20021/20041/20061/20081/20101/2012PercentUnemployment
Inf latio n
Source: Bureau of Labor Statistics
68
4th Quarter 2013 Sector Returns
Risk Meter: S&P 500 Index minus Barclays U.S. Treasury Index
Calendar Year Return, 1994-2013
Capital Markets Rev iew
Equities
Equities Escalate to End 2013;S&P 500 Rises to Record Levels
•Equity markets soared in the fourth quarter,capping off strong gains during the first three
quarters of the year for both the U.S.and developed market countries.Domestically,positive
economic data,reduced political uncertainties,and the Federal Reserve’s announcement that it
would begin tapering asset purchases helped propel the S&P 500 to record levels.The Index
returned 10.5%during the quarter,outpacing foreign indices and boosting the year’s return to
32.4%,the best since 1997.During the quarter,foreign equity markets also experienced
positive returns with developed markets significantly outperforming their emerging counterparts
as the MSCI EAFE and MSCI Emerging Market indices returned 5.7%and 1.8%,respectively.
•In the fourth quarter,style performance was mixed across the capitalization spectrum.Within
domestic indices,large-cap growth companies outpaced their value counterparts,while value
stocks outpaced growth stocks among small-and mid-cap indices.Among non-U.S.indices,
developed market value companies outpaced growth companies,while emerging market growth
stocks outperformed value stocks.From a capitalization perspective,large-cap indices
outperformed small-caps for the quarter,however,small-cap indices performed better for the
year.Within the Russell 3000,all 10 sectors experienced positive returns with economically
sensitive and domestic-oriented sectors leading the way,while defensive,dividend-focused
sectors lagged due to rising bond yields and an improving economic outlook.
3.2%
6.8%
7.8%
8.6%
9.5%
9.8%
10.1%
10.4%
10.5%
12.2%
13.1%
0.0%3.0%6.0%9.0%12.0%15.0%
Utilities
Te lecom
Energy
Cons. Staples
Financials
Health Care
Ru ssell 3000
Materials
Cons.Disc.
Info Tech
In dustrials
20
40
Difference (%)Risk On
sectors lagged due to rising bond yields and an improving economic outlook.
•The MSCI EAFE Index advanced 5.7%during the fourth quarter.The European region
(+7.9%)led returns across developed markets with European Economic and Monetary Union
members (+9.6%)performing especially well.An unexpected rate cut by the ECB in
November,reduced emphasis on austerity measures,and data confirming that the European
region’s longest recession ever ended during the third quarter helped boost equity markets.
Peripheral countries Spain (+11.4%),Ireland (+11.3%),and Italy (+10.7%)performed
particularly well due to increasingly positive investor sentiment generated from progress on
structural reforms.The Pacific region (+1.6%),however,lagged the Index as Australia (-0.9%)
and New Zealand (-4.1%)were the only two developed markets to experience negative returns.
•Emerging market equities rose 1.8%in the final quarter of the year.An October rally generated
by the Fed’s decision to not begin tapering its asset purchases in September drove quarterly
performance;however,markets retreated during November and December as economic data out
of the U.S.strengthened,leading to the Fed’s eventual decision to begin tapering its asset
purchases come January.Additionally,disappointing economic data throughout the developing
world took its toll on equity markets.Performance among EM countries was mixed,with Asian
EM countries (+3.7%),most notably India (+10.3%),experiencing the strongest gains.
•Despite earnings increasing somewhat for the year,strong equity market gains came primarily
as a result of multiples expansion,which,in combination with higher interest rates has
increased the valuations of equities,particularly U.S.equities.U.S.equities are now trading
above historical averages relative to their own history and non-U.S.indices.
-40%
-30%
-20%
-10%
0%
10%
20%
30%Relative PerformanceDeveloped vs. Emerging Markets: 3 Year Relative Performance
Rolling 3 Year Annualized Relative Returns
Developed Markets Outperformed
Emerging Markets Outperformed
-60
-40
-20
0
Difference (%)Risk Off
Source: Fidelity Investments
Source: Pyramis Global Advisors
69
Fed Begins to Drain the Punch Bowl
•After much debate and anticipation,the Federal Reserve announced on December 18,that
it would start tapering its $85 billion in monthly asset purchases by $10 billion each month
beginning in January 2014.Market speculation regarding the Fed’s plans resulted in
considerable interest rate volatility during the quarter as the 10-year U.S.Treasury yield
fell to 2.5%in October before surpassing 3.0%in late December.The yield curve flattened
during the quarter as intermediate rates rose more than long rates.For the year,ten-and-
thirty year yields increased 126 and 101 basis points (bps),respectively,while short rates
remained anchored.Rising rates,coupled with low yields,contributed to negative
absolute returns for the Barclays Aggregate Index (-2.0%)in 2013,resulting in the lowest
annual return since 1994 (-2.9%),and the second-lowest annual return since index
inception in 1976.Spread sectors outperformed Treasuries during the year,with lower
quality and lower duration assets generally posting the best results.High yield credit
(+7.4%),bank loans (+5.5%),and CMBS (+0.2%)were the only fixed income sectors to
generate positive absolute returns during the year.
•Investment grade credit spreads narrowed 25 bps for the quarter and the duration-adjusted
excess return to Treasuries was 208 bps.Likewise,high yield credit generated 422 bps of
excess return as spreads tightened from 461 bps to 382 bps during the quarter.Lower-rated
issues outperformed handily in 2013,driven by higher yi elds and lower duration.The
Source: Barclays
U.S. Treasury Yield Curve Change by Maturity
Duration-adjusted Excess Returns to Treasuries (bps)
Capital Markets Rev iew
Fixed Income
Best Period Second Best Period Worst Period Second W orst Period
2007 2008 2009 2010 2011 2012 2013 4Q13
Aggre ga te -206 -710 746 171 -114 226 93 78
Agency -56 -110 288 77 -25 166 1 44
MBS -177 -232 495 225 -106 91 98 57
ABS -634 -2223 2496 169 52 246 24 46
CM BS -435 -3274 2960 1501 47 841 97 85
Credit -464 -1786 1990 192 -322 693 226 208
Hi gh Yie ld -777 -3832 5955 974 -240 1394 923 422
Em erging -457 -2842 3797 508 -537 1503 -32 226
0.7%
0.9%
1.1%
1.3%Change in Yield4Q YTD 201 3
-100,000
-80,000
-60,000
-40,000
-20,000
0
20,000
40,000
60,000
80,000
$ MillionsBank Loan
No ntraditi onal Bond
Sh ort-Term Bond
Hig h Yield Bo nd
In termed iate-Term Bond
issues outperformed handily in 2013,driven by higher yi elds and lower duration.The
credit sector benefited from healthy corporate fundamentals,low default rates,positive
technicals,and accommodative global central bank policies.Supply was plentiful
throughout the ye ar as companies were eager to issue debt at low rates,which was easily
absorbed by a yield-hungry investor base.Both investment grade and high yield credit
spreads are trading well inside historical averages.Bank loans led all fixed income
categories with $67 billion in inflows during 2013 and investors were rewarded with a total
return of +5.5%.
•Despite the Fed’s taper announcement in December,Agency MBS spreads tightened 8
basis points during the quarter and generated 57 basis points of excess returns over
Treasuries.Low coupon mortgages,which are most affected by Fed purchases,lagged
higher coupon mortgages during the quarter.Rising rates dampened mortgage origination
and refinancing trends during the year.CMBS spreads tightened 15 bps during the quarter
and the sector ended the year with positive absolute returns (+0.2%),benefiting from
rebounding real estate valuations and improved lending.According to Prudential,
seasoned,top-of-the capital structure non-agency RMBS averaged 6%to 8%returns in
2013 driven by positive carry,strong demand,and limited outstanding supply.
•Non-U.S.developed government bonds returned +0.5%in local currency terms and -1.2%
in US dollar terms during the quarter.Recovering Eurozone countries such as Ireland and
Italy fared best,outperforming safe havens such as the UK and Germany.Capping off a
volatile year,local currency and USD-denominated emerging market government debt
returned -1.5%and +1.5%for the quarter,respectively,while emerging market corporate
bonds returned +1.9%.
Source: Morningstar
Cumulative Fixed Income Asset Flows (Mutual Funds + ETFs)
Source: US Dept of The Treasury
-0 .1%
0.1%
0.3%
0.5%Change in YieldMa turity (Ye ars)
70
Directional Strategies Prevail in 2013
•Most hedge fund strategies delivered another positive quarter of performance,bringing the
annual HFR Hedge Fund Composite Index return to 9.3%.As expected in a stellar year for
equities,higher beta strategies performed best.Strategies that are less dependent on market
direction faced a challenging environment,as short positions typically detracted value.As
compared to the BC Aggregate Bond Index,hedge funds shined.
•For the second consecutive quarter,long/short equity was the best performing hedge fund
strategy,with the HFR Equity Hedge Index returning 5.0%.The HFR Equity Hedge Index
displayed a beta of 0.3 to the S&P 500 during the quarter,suggesting that approximately 3.2%
of the Index’s return was due to the equity market’s run-up and 1.8%was attributable to
managers’alpha generation.Many of the best performing long/short equity managers were
those solely focused on fundamental stock picking rather than quantitative strategies.
•Activist hedge funds were particularly strong performers in 2013.Managers commonly cited
two drivers of favorable returns.Against a backdrop of an improving economy,corporate
management teams have been paying back shareholders through stock buybacks,higher
dividends or mergers and acquisitions.In addition,there have been more corporate events that
serve as catalysts to drive value creation and profitable investment opportunities.
•Many short positions widely-held by hedge fund managers continued to climb in price through
Returns as of December 31, 2013
Source: Hedge Fund Research, Inc.
Capital Markets Review
Hedge Funds
St yle
Fo urth
Qu ar te r 2013 2012
Co nv er tible A rbitrage 1.3%7.8%8.6%
Distressed Sec ur ities 3.9%13.6%10.1%
Eq uity He dge 5.0%14.6%7.4%
Eq uity Ma rket Neutr al 3.2%7.1%3.0%
Shor t Bias ed -2.8%-16.4%-17.2%
Global Ma cro 2.0%-0.3%-0.1%
Me rger Arbitrage 1.5%4.8%2.8%
He dge Fund Compos ite 3.7%9.3%6.4%
Fu nd of Fu nds 3.5%8.7%4.8%
S&P 500 10.5%32.4%16.0%
BC Aggr egate Bond Index -0.1%-2.0%4.2%
•Many short positions widely-held by hedge fund managers continued to climb in price through
the end of the year,offsetting the strong performance of popular long positions and dampening
overall hedge fund returns.Goldman Sachs reported that more than half of the 50 most
commonly held short positions were outperforming the S&P 500 Index as of September 30,
2013,and a few returned more than 100%.
•After experiencing two consecutive quarters of negative returns,global macro managers
advanced 2.0%during the fourth quarter,although the strategy still finished the ye ar in the red.
Diversified macro strategies struggled the most during the year while trend following strategies
with meaningful equity market exposure were more successful.
•Research by Goldman Sachs indicates that hedge fund managers are turning over their
portfolios less frequently.Turnover of all hedge fund positions fell to a record low of 28%
compared with the long-term average of 35%.In addition,hedge funds are operating 51%net
long in aggregate,which is slightly below levels earlier in the year,despite the continued
market rally.This indicates managers are being mindful of exposure levels and maintaining
hedges.
•A recent Preqin survey indicates investors were satisfied with their hedge funds’returns in
2013.Preqin interviewed 148 institutional investors with more than $60 billion invested in
hedge funds.21%of those surveyed said their hedge fund returns had exceeded expectations
and 63%said their hedge fund returns had met expectations.Only 16%felt return expectations
had not been met,a sizable decrease from 2012 when 41%of those surveyed said they were
disappointed.
700
800
900
1000
1100
1200
1300
1400
1500
1600
1700
1800
10%
20%
30%
40%
50%
60%
70%Dec-04Dec-05Dec-06Dec-07Dec-08Dec-09Dec-10Dec-11Dec-12Dec-13S&P 500 LevelHedge Fund Net Long ExposureHedge Fund Exposure vs.S&P 500 Index Level
Hedge Fund Net Long Exposure S&P 500 Level
Source: Goldman Sachs
71
Returns as of September 30, 2013
Private Real Estate Returns Hold For Now; Dismal Ye ar For
Commodities
•Despite upward pressure on interest rates,which is likely to continue into 2014 as the
Fed tapers its monthly bond purchases,private real estate delivered steady income
(+1.2%)and appreciation (+1.4%)during the quarter.The NCREIF Property Index
(“NPI”)returned 2.6%resulting in a year-to-date return ended September 30,2013 of
8.2%.Industrial properties outperformed other property types for the second
consecutive quarter due to net operating income (NOI)growth and cap rate
compression.Overall real estate fundamentals have continued to strengthen.The NPI
occupancy rate increased to 90.7%,a level last touched in the third quarter of 2008.
•According to Real Capital Analytics,transaction volume accelerated during the
quarter.Over the trailing four quarters ended September 30,2013,transaction volume
totaled $351 billion,a 37%increase from the same period one year prior.
•Domestic and international REITs returned -0.1%and -0.3%,respectively,in the
fourth quarter,and finished the year in positive territory with returns of 2.3%and
6.1%,which significantly lagged the broader equity markets and broke a four-year
winning streak for REITs versus the S&P 500.Principal concerns among investors
Capital Markets Review
Real Assets
NCREIF 3 Mon.YT D 1 Yr.3 Yrs.5 Yrs.10 Yrs.
NCREIF 2.6%8.2%11.0%12.7%3.4%8.7%
Ap artments 2.5%7.7%10.8%13.7%4.3%8.4%
In dus trials 3.1%9.1%11.7%12.7%2.7%8.1%
Offi ce 2.4%7.4%9.7%11.6%1.9%8.1%
Retail 2.7%9.9%13.2%13.5%5.6%10.5%
Hotel 2.1%5.3%7.7%9.6%-0.3%6.7%
Eas t 2.1%6.9%9.2%11.9%2.7%8.8%
Mi dwes t 2.7%8.4%10.9%11.4%3.5%7.1%
South 3.0%9.4%12.6%12.7%4.2%8.5%
West 2.8%8.9%11.8%13.9%3.5%9.2%
$1 ,400
$1 ,600
$1 ,800
$2 ,000
50
60
70
80
90
$ US/Troy OZ.Gold Holdings (Millions of Troy Ounces)SPDR Gold Holdings vs. Gold Price
winning streak for REITs versus the S&P 500.Principal concerns among investors
are the impact of rising rates on property values and the ability of REIT companies to
continue accessing the equity and debt markets.
•Soaring U.S.equity markets,rising interest rates,a strengthening US dollar,and little
sign of inflation combined to produce a slump in commodities prices.Gold’s
precipitous fall from grace continued with a 9.5%decline during the fourth quarter
bringing the calendar year decline to 28.7%.Silver prices took a hit as well,sliding
11.0%and 36.6%during the quarter and year,respectively.Of the six sectors in the
Index,only energy and industrial metals experienced positive returns.Energy sector
gains were driven by natural gas,which rallied during the quarter producing a return
of 11.0%as a brutal cold snap covered much of the nation.
•A dramatic shift in gold demand negatively impacted its price during 2013.At the end
of 2013,GLD’s (the largest gold bullion ETF)bullion holdings declined to less than
25.7 million ounces or a loss of 36%from its peak.Additionally,India’s demand for
gold deteriorated dramatically due to a government imposed import restriction enacted
to support the Rupee and ease trade imbalances.India has amassed the largest private
gold holdings in the world so any sustained restrictions on bullion holdings will likely
weigh on gold prices.
Source: Ibbotson
DJ-UBS Commodity Index Components
Total Return Ending December 31, 2013
Segment 3 Months 1 Year 3 Years 5 Years
38.9%Energy 4.4%5.2%-7.1%-7.5%
16.8%Petroleum 0.9%5.1%2.4%6.3%
16.7%Indus trial Metals 0.3%-13.6%-13.0%6.6%
11.3%Precious Metals -9.8%-30.8%-8.4%7.2%
19.6%Grains -5.4%-16.9%-5.6%1.5%
5.7%Live stock -1.7%-3.5%-3.1%-3.3%
7.8%Soft s -7.1%-16.9%-17.8%5.1%
100.0%To tal Market -1.1%-9.5%-8.1%1.5%
Al loca ti on
$4 00
$6 00
$8 00
$1 ,000
$1 ,200
0
10
20
30
40
50
$ US/Troy OZ.Gold Holdings (Millions of Troy Ounces)To tal Known ETF Gold Ho ldings (Left)
SPDR Gold Trust Gold Ho ldings (Left)
Gold Price (Right)
Source: Van Eck and Bloomberg
72
$400
$500
$600
•Private equity performance data in the ThomsonOne database has yet to be updated for the third
quarter of 2013.During the second quarter,private equity funds outperformed their public market
counterparts,with a pooled IRR of 3.4%versus 2.9%for the S&P 500.For the trailing one-year
period,buyout funds modestly trailed the S&P 500 while venture capital funds lagged by a
significant margin.Mega buyout funds were the best performers over the trailing one-year
period,with a pooled IRR of 22.7%compared to 20.6%for the S&P 500.The valuations for
mega buyout funds tend to be more closely aligned with public market comparables than their
smaller counterparts.Balanced stage venture capital funds were the worst performers for the one-
year period,with a pooled IRR of 2.1%.
•Private equity funds raised approximately $360 billion in 2013,up from $305 billion and $315
billion in 2011 and 2012,respectively.The amount raised in 2013 was the highest annual amount
on record outside of the buyout boom years of 2006 to 2008.That amount also represents nearly
twice the capital raised in 2009 during the depths of the financial crisis.The marked
improvement in 2013 was driven by a 39%year-over-year increase in buyout fundraising.The
fundraising environment was much bleaker for venture capital funds,which raised $27 billion in
2013,the lowest total since the years following the dot com bubble.Venture funds saw
fundraising declines of 35%and 27%in 2012 and 2013,respectively.
•Mega buyout funds –those raising at least $5 billion-have experienced renewed interest over the
Source: Thomson Reuters ThomsonOne database, January 2014.
Note: Data is continuously updated and is therefore subject to change.
Buyout Appetite Grew, Ve nture Interest Waned in 2013
Global Fundraising
Investment Horizon Pooled IRR as of 6/30/13
Fund Type 3 Months 1 Year 3 Years 5 Years 10 Years 20 Years
Early Stage Venture 2.0%5.7%4.3%-1.0%1.8%23.3%
Balanced Venture 2.0%2.1%5.4%0.8%5.9%10.1%
Later Stage Venture 5.4%9.7%9.7%4.7%8.2%13.7%
All Venture 2.7%5.0%5.7%0.8%4.6%14.3%
Small Buyouts 4.0%14.8%7.7%1.4%11.0%12.9%
Med Buyouts 4.9%15.4%10.2%4.2%10.3%12.4%
Large Buyouts 4.2%14.5%11.6%3.9%12.9%10.3%
Mega Buyouts 3.8%22.7%14.4%6.0%8.8%9.0%
All Buyouts 4.1%18.8%12.4%4.7%10.9%10.7%
Mezzanine 1.9%10.5%7.4%3.1%6.7%7.6%
Distressed/Turnaround 2.8%14.7%11.3%8.4%10.3%10.2%
All Private Equity 3.4%15.7%11.0%4.3%9.5%11.2%
S&P 500 2.9%20.6%18.5%7.8%7.7%8.0%
Capital Markets Rev iew
Pr ivate Equity
0
50
100
150
200
250
300
350
0
200
400
600
800
1000
1200
1400
1600
Agg. Value ($,Billions)# of DealsBuy out -Bac ked Exits #Buyout-Backed Exit s $Value
$0
$100
$200
$300
$400
$,BillionsVC Buyout Real Assets Secondary Funds Distressed/SS Fund of Funds Total Raised
•Mega buyout funds –those raising at least $5 billion-have experienced renewed interest over the
last couple of years.Those funds raised $50 billion in 2012 and $76 billion in 2013,representing
38%and 41%,respectively,of total buyout fundraising.The last time mega buyout funds
represented more than 40%of capital raised was during the buyout boom.Investor interest in the
largest end of the buyout market plummeted following the financial crisis and mega buyout funds
represented just 10%and 16%of buyout fundraising in 2010 and 2011,respectively.
•By dollar volume,annual private equity-backed buyout deal activity has remained relatively
steady since 2011.According to Preqin,$274 billion in private equity-backed buyout deals were
announced in 2013 compared to $265 billion and $264 billion in 2011 and 2012,respectively.
However,fewer deals were completed in 2013,increasing the average deal size to $97 million per
deal from around $83 million in both 2011 and 2012 .
•Extraordinary performance in public equity markets and widely accessible debt markets drove
another excellent year for buyout-backed exits.According to Preqin,there were 1,348 buyout-
backed exits in 2013 with an aggregate exit value of $303 billion,up from 1,299 exits worth $285
billion in 2012.The uptick was due to a significant increase in buyout-backed IPO activity.
•Venture-backed exit activity was a mixed bag in 2013 as it was the strongest year for venture-
backed IPOs since 2007 but the slowest year for venture-backed M&As since 2009.According to
Thomson Reuters and the National Venture Capital Association,82 venture-backed IPOs raised
an aggregate $11.2 billion in 2013,compared to the prior year when 48 IPOs raised $5.5 billion
excluding the $16 billion Facebook IP O.There were 377 venture-backed M&A exits in 2013,
down from 488 in 2012 and the lowest total since 2009 when 360 venture-backed M&A exits
were completed.
Source: Thomson Reuters ThomsonOne database, January 2014.
Source: Preqin
Buyout-Backed Exit Ac tivity
73
Quarter
Year
To
Date
1
Year
2
Years
3
Years
5
Years
7
Years
10
Years
Domestic Equity Indices
Dow Jones Wilshire 5000 10.1 34.0 34.0 24.7 16.1 19.0 6.8 8.2
S&P 500 10.5 32.4 32.4 23.9 16.2 17.9 6.1 7.4
Russell 1000 Index 10.2 33.1 33.1 24.5 16.3 18.6 6.4 7.8
Russell 1000 Growth Index 10.4 33.5 33.5 24.0 16.5 20.4 8.2 7.8
Russell 1000 Value Index 10.0 32.5 32.5 24.8 16.1 16.7 4.5 7.6
Russell Midcap Index 8.4 34.8 34.8 25.7 15.9 22.4 7.8 10.2
Russell Midcap Growth Index 8.2 35.7 35.7 25.4 15.6 23.4 8.5 9.8
Russell Midcap Value Index 8.6 33.5 33.5 25.8 16.0 21.2 6.8 10.3
Russell 2000 Index 8.7 38.8 38.8 27.1 15.7 20.1 7.2 9.1
Russell 2000 Growth Index 8.2 43.3 43.3 28.1 16.8 22.6 8.9 9.4
Russell 2000 Value Index 9.3 34.5 34.5 26.0 14.5 17.6 5.4 8.6
International Equity Indices
MSCI EAFE 5.7 22.8 22.8 20.0 8.2 12.4 1.8 6.9
MSCI EAFE Growth Index 5.2 22.5 22.5 19.7 8.0 12.8 2.9 7.0
MSCI EAFE Value Index 6.3 23.0 23.0 20.3 8.3 12.0 0.6 6.8
MSCI EAFE Small Cap 5.9 29.3 29.3 24.6 9.3 18.5 3.3 9.5
MSCI AC World Index 7.3 22.8 22.8 19.4 9.7 14.9 3.7 7.2
MSCI AC World ex US 4.8 15.3 15.3 16.1 5.1 12.8 2.2 7.6
MSCI Emerging Markets Index 1.9 -2.3 -2.3 7.7 -1.7 15.2 4.1 11.5
Fixed Income Indices
Barclays Aggregate -0.1 -2.0 -2.0 1.0 3.3 4.4 4.9 4.5
Barcap Intermediate U.S. Government/Credit 0.0 -0.9 -0.9 1.5 2.9 4.0 4.6 4.1
Barclays U.S. Long Government/Credit -0.1 -8.8 -8.8 -0.4 6.7 6.4 6.7 6.4
Barclays US Corp: High Yield 3.6 7.4 7.4 11.6 9.3 18.9 8.7 8.6
BofA Merrill Lynch 3 Month US T-Bill 0.0 0.1 0.1 0.1 0.1 0.1 1.1 1.7
Barclays U.S. Treasury: U.S. TIPS -2.0 -8.6 -8.6 -1.1 3.5 5.6 5.3 4.9
Citigroup Non-U.S. World Government Bond -1.2 -4.6 -4.6 -1.6 0.6 2.3 4.6 4.1
JPM EMBI Global Diversified (external currency)1.5 -5.2 -5.2 5.5 6.1 11.7 7.2 8.2
JPM GBI-EM Global Diversified (local currency)-1.5 -9.0 -9.0 3.1 1.5 8.1 7.4 9.5
Real Asset Indices
Dow Jones - UBS Commodity -1.1 -9.5 -9.5 -5.4 -8.1 1.5 -3.0 0.9
Dow Jones Wilshire REIT -0.8 1.9 1.9 9.4 9.4 16.7 1.2 8.4
Capital Markets Review
Index Returns
As of December 31, 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.
To tal 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
Benchmark Comparison
One relative comparison for a fund is with a market index or blend of indices. We call this a benchmark comparison. The bench
predefined as an objective. This passive investment alternative is one measure for evaluating relative performance success.
Appendix
Benchmark and Universe Descriptions
predefined as an objective. This passive investment alternative is one measure for evaluating relative performance success.
Universe Comparison
A p erformance measurement universe is created by arraying the results of a large number of professional investment managers f
Results are grouped in percentiles. The first percentile represents the top performing 1% of the managers; the 99th percentil
performing 1% of managers.
Performance measurement universes are differentiated by time period and asset classes. Investment manager rankings within the
will vary throughout market cycle depending on the manager's investment style or philosophy. Over longer time periods (7 to 1
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,
Emerging Markets Index, 10% 65% MSCI Wo rld/35% BC Aggregate Blend Index, 2% 50% BC Credit/25% S&P LSTA /25% BC High Yield Blen
Index, 13% BC Aggregate, 8% Citigroup World Government Bond Index, 5% BofA Merrill Lyn ch US High Yield, Cash Pay Index, 5% 3
T-Bills + 3%, 4% CPI + 5%, 5% Wellington DIH Multi-Asset Inflation Index, 5% JPM GBIT-Bills + 3%, 4% CPI + 5%, 5% Wellington DIH Multi-Asset Inflation Index, 5% JPM GBI
Index-OEDCE.
All Total Composite, asset class composite and manager returns in this report are shown net of fees as of September 1, 2013.
To tal 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.
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.predefined as an objective. This passive investment alternative is one measure for evaluating relative performance success.
A p erformance measurement universe is created by arraying the results of a large number of professional investment managers from 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
Performance measurement universes are differentiated by time period and asset classes. Investment manager rankings within these 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.
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 Wo rld/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 Lyn ch US High Yield, Cash Pay Index, 5% 3 Month
Asset Inflation Index, 5% JPM GBI-EM Global Diversified Index, and 5% NCREIF Fund Asset Inflation Index, 5% JPM GBI-EM Global Diversified Index, and 5% NCREIF Fund
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