HomeMy Public PortalAbout2015 1st Quarter ReportPerformance
Review
Metropolitan St. Louis Sewer
District Pension Plan
1st Quarter 2015
Pavilion Advisory Group Inc.
227 W. Monroe Street, Suite 2020
Chicago, IL 60606
Phone: 312-798-3200
Fax: 312-902-1984
www.pavilioncorp.com
1 Performance Summary 1
2 Asset Class Diversification 21
3 Manager Evaluation 27
4 Calendar Year Performance 67
5 Capital Markets Review 69
6 Appendix 77
Table of Contents
Performance Summary
1
Performance Summary - March 2015
During the first quarter, the Metropolitan St. Louis Sewer District pension plan outperformed its benchmark, reporting an increase of 2.0% while the Policy
Benchmark reported a gain of 1.3%. On a trailing one-year basis, the plan reported a gain of 3.4%, ahead of the Policy Benchmark by 40 basis points.
Asset Class Diversification
Current asset allocation was within investment policy targets. The Plan was slightly underweight in fixed income and real assets and overweight equities and real
estate.
Manager Evaluation
First quarter outperformance was most significantly impacted by the following managers as they significantly outpaced their respective benchmarks: T. Rowe
Price Large Cap Growth, Kennedy Mid Cap Value, Lighthouse Global Long/Short, Brandywine Global Fixed Income, and Morgan Stanley Emerging Markets.
Capital Markets Review
The Federal Reserve maintained its ultra-low interest rate policy, further pushing back its expected timeline for raising rates. Investors lowered expectations for a
rate increase after the Fed lowered its unemployment rate target to 5.0-5.2% from 5.5%, and cited economic growth’s recent dependency on low rates. Not
wanting to quash economic expansion by raising rates too early remains a tenet of Janet Yellen’s philosophy.
Non-U.S. equities outperformed domestic equities during the first quarter. Aggressive central bank stimulus action, particularly from the ECB and Bank of Japan,
bolstered non-U.S. equities. However, given the increased stimulus measures and anticipation of the first U.S. interest rate hike sometime in 2015, most
currencies depreciated versus the U.S. dollar, hindering U.S. dollar-denominated returns. Despite the strengthening U.S. dollar and weakening commodity prices,
emerging market equities also advanced in U.S. dollar terms.
The euro fell to 2003 levels as it broke the $1.05/€ value during April. Long-term interest rates in Germany, Finland and Switzerland went negative as the ECB
bond-buying program added to the euro’s weakness. Greece continued to teeter on the edge of default as a new government threatened to not repay loans unless
payback terms were eased. European lenders balked at the idea, forcing Greek leaders to abide by current loan covenants.
Pension Plan Executive Summary
2
Pension Plan Executive Summary
Recommendations or Action Items
Upon review of the current Metropolitan St. Louis Sewer District Statement of Investment Policy, Objectives and Operating Guidelines, Pavilion recommends the
changes outlined in the draft policy provided to Staff and to the Finance Committee.
Pavilion recommends that the Metropolitan St. Louis Sewer District liquidate their exposure to Pictet Local Currency Emerging Market Debt, Loomis Sayles
Credit, and Penn Capital High Yield. From a governance perspective, we think small allocations to dedicated specialists of the fixed income market is an
inefficient investment process and MSD would be better served by utilizing a “core plus” fixed income manager who will invest in these markets as their research
highlights compelling investment opportunities. The fixed income investment process will be more nimble and sensitive to opportunities in the market when they
are available.
Pavilion recommends that the Metropolitan St. Louis Sewer District invest the proceeds in the Prudential total Return Fund, a “core plus” fixed income manager
that we have high conviction in.
Pavilion recommends that the Metropolitan St. Louis Sewer District eliminate their exposure to the GMO Asset Allocation Fund. This fund lacks compelling
performance, lagging its benchmark significantly over the past five years annualized for multiple quarters, placing it in the third quartile among its peers. GMO’s
tactical asset allocation strategies have not added value to MSD’s investment program.
Pavilion recommends that the Metropolitan St. Louis Sewer District invest the proceeds of the GMO redemption in the diversified hedge fund of funds program
that commenced during August, 2014. 25% of the proceeds should be invested in Lighthouse Global Equity Long Short Fund and 75% of the proceeds should be
invested in Entrust Diversified hedge fund of funds. Entrust is a Multistrategy hedge fund of funds that we have high conviction in.
3
MSD Manager Recommendations
Curre nt Propose d
Al location Al location
Larg e Cap Equity 21.0%20.0%
Small C ap Equity 6.0%6.0%
Inte rnat io nal Equity 14.0%14.0%
Fix ed Income 35.0%35.0%
Dome stic Core Income Research 14.0%14.0%
Domestic Core Plus Prud entia l Tota l Return 0.0%12.0%
Opp C re dit Lo omis 2.0%0.0%
High Yi eld Pe nn Capital 5.0%0.0%
Globa l Brandyw ine Glo ba l 9.0%9.0%
Emerging Mark ets Picte t 5.0%0.0%
Tactical 10.0%0.0%
Balanc ed GM O 10.0%0.0%
Absolute Re turn &He dg e Funds 4.0%15.0%
HFOF (L/S Equit y)Lighthous e 4.0%7.5%
HFOF (Multi-Stra t)EnTrust 0.0%7.5%
Re al Es tate 5.0%5.0%
Re al Assets 5.0%5.0%
To tal 100.0%100.0%
4
Total Composite Policy Benchmark
0.0
2.0
4.0
6.0
8.0
10.0
12.0
Return (%)Quarter Year
To
Date
1
Year
3
Years
5
Years
10
Years
Since
Inception
1.3 1.3
3.0
7.1
7.6
6.3
8.2
2.0 2.0
3.4
6.8
7.4
6.4
7.7
Quarter
Year
To
Date
1
Year
3
Years
5
Years
10
Years
Since
Inception
Inception
Period
Total Composite 2.0 2.0 3.4 6.8 7.4 6.4 7.7 22y 3m
Policy Benchmark 1.3 1.3 3.0 7.1 7.6 6.3 N/A
Performance Summary
Total Composite vs. Policy Benchmark
As of March 31, 2015
____________
Performance is reported net of fees.
See appendix for full description of the policy benchmark.
5
-4.0
-2.0
0.0
2.0
4.0
6.0
8.0
10.0
12.0
14.0
16.0
ReturnQuarter
Year
To
Date
1
Year
3
Years
5
Years
7
Years
10
Years
Total Composite 2.0 (84)2.0 (84)3.4 (97)6.8 (96)7.4 (96)5.6 (93)6.4 (69)¢£
5th Percentile 3.4 3.4 10.2 11.9 11.1 8.2 7.9
1st Quartile 2.9 2.9 8.8 10.8 10.2 7.6 7.2
Median 2.5 2.5 7.7 10.2 9.6 6.9 6.8
3rd Quartile 2.1 2.1 6.6 9.3 8.8 6.4 6.3
95th Percentile 1.4 1.4 4.4 7.2 7.5 5.4 5.6
Performance Comparison
All Public Plans <= $500 mil
As of March 31, 2015
_________________________
Performance is reported net of fees.
Parentheses contain percentile rankings.
Calculation based on monthly periodicity.
6
-4.0
-1.0
2.0
5.0
8.0
11.0
14.0
17.0
ReturnQuarter
Year
To
Date
1
Year
3
Years
5
Years
7
Years
10
Years
Total Composite 2.0 (82)2.0 (82)3.4 (98)6.8 (97)7.4 (96)5.6 (90)6.4 (75)¢£
5th Percentile 3.4 3.4 10.2 12.0 11.3 8.1 7.9
1st Quartile 2.8 2.8 8.6 10.8 10.2 7.4 7.3
Median 2.5 2.5 7.5 10.1 9.6 6.7 6.9
3rd Quartile 2.1 2.1 6.5 9.2 8.8 6.2 6.4
95th Percentile 1.4 1.4 4.7 7.4 7.5 5.3 5.8
Performance Comparison
All Public Plans
As of March 31, 2015
_________________________
Performance is reported net of fees.
Parentheses contain percentile rankings.
Calculation based on monthly periodicity.
7
3 Years 5 Years
5.0
7.0
9.0
11.0
13.0
14.0
Return (%)5.0 5.7 6.4 7.1 7.8 8.5 9.0
Risk (Standard Deviation %)
Policy Benchmark
(5.8 , 7.1)
Total Composite
(6.1 , 6.8)
5.0
7.0
9.0
11.0
13.0
14.0
Return (%)5.0 5.7 6.4 7.1 7.8 8.5 9.0
Risk (Standard Deviation %)
Policy Benchmark
(7.6 , 7.6)
Total Composite
(7.8 , 7.4)
Performance Summary
Risk and Return Summary
As of March 31, 2015
8
Allocation
Market
Value
($)%
Performance(%)
Quarter
Year
To
Date
1
Year
3
Years
5
Years
10
Years
Since
Inception
Inception
Period
Total Composite 252,050,808 100.0 2.0 2.0 3.4 6.8 7.4 6.4 7.7 22y 3m
Policy Benchmark 1.3 1.3 3.0 7.1 7.6 6.3 N/A
Total Equity Composite 105,026,274 41.7 3.7 3.7 7.7 N/A N/A N/A 14.2 1y 7m
MSCI AC World IMI 2.7 2.7 5.7 11.5 9.8 7.3 13.0
Domestic Equity Composite 70,127,968 27.8 3.3 (28)3.3 (28)12.5 (14)N/A N/A N/A 18.4 (N/A)1y 7m
Russell 3000 Index 1.8 (63)1.8 (63)12.4 (15)16.4 (13)14.7 (13)8.4 (30)18.5 (N/A)
Broad Equity Peer Group Median 2.3 2.3 8.9 14.5 12.9 7.8 N/A
Large-Cap Equity Composite 54,596,628 21.7 2.7 (30)2.7 (30)12.9 (29)14.8 (51)13.4 (43)8.2 (37)8.9 (N/A)11y 10m
Russell 1000 Index 1.6 (49)1.6 (49)12.7 (30)16.4 (24)14.7 (21)8.3 (32)9.3 (N/A)
Large-Cap Equity Peer Group Median 1.5 1.5 10.3 14.8 13.1 7.7 N/A
Small-Cap Equity Composite 15,531,340 6.2 5.1 (28)5.1 (28)11.2 (14)17.3 (26)16.4 (20)11.0 (4)12.4 (N/A)11y 10m
Russell 2000 Index 4.3 (39)4.3 (39)8.2 (33)16.3 (34)14.6 (46)8.8 (34)10.7 (N/A)
Small-Cap Equity Peer Group Median 3.7 3.7 6.0 15.1 14.2 8.2 N/A
International Equity Composite 34,898,306 13.8 4.6 (29)4.6 (29)-1.3 (51)N/A N/A N/A 6.2 (N/A)1y 7m
MSCI AC World ex USA Index 3.5 (65)3.5 (65)-1.0 (47)6.4 (49)4.8 (57)5.5 (68)7.1 (N/A)
International Equity Peer Group Median 4.0 4.0 -1.3 6.3 5.1 6.0 N/A
Developed International Equity Composite 27,757,550 11.0 5.0 (46)5.0 (46)-1.5 (53)8.4 (47)6.5 (45)4.9 (62)5.0 (N/A)15y 11m
MSCI EAFE Index 4.9 (49)4.9 (49)-0.9 (45)9.0 (36)6.2 (52)4.9 (62)3.9 (N/A)
Developed International Equity Peer Group Median 4.8 4.8 -1.3 8.2 6.3 5.3 N/A
Emerging International Equity Composite 7,140,756 2.8 3.2 (20)3.2 (20)-0.9 (49)1.3 (39)2.3 (40)8.1 (46)8.1 (46)10y
MSCI Emerging Markets Index 2.2 (30)2.2 (30)0.4 (37)0.3 (57)1.7 (51)8.5 (30)8.5 (30)
Emerging Markets Equity Peer Group Median 1.4 1.4 -1.2 0.6 1.8 8.0 8.0
Fixed Income Composite 87,120,437 34.6 0.5 (100)0.5 (100)0.6 (100)2.7 (59)4.3 (44)5.3 (14)4.9 (20)11y 9m
Barclays Intermediate U.S. Government/Credit 1.4 (51)1.4 (51)3.6 (50)2.3 (69)3.5 (66)4.3 (71)3.9 (73)
Intermediate Duration Fixed Income Peer Group Median 1.5 1.5 3.5 3.0 4.1 4.8 4.4
Performance Summary
Total Pension Fund Asset Allocation and Performance
As of March 31, 2015
_________________________
Performance is reported net of fees.
9
Performance Summary
Total Pension Fund Asset Allocation and Performance
As of March 31, 2015
Allocation
Market
Value
($)%
Performance(%)
Quarter
Year
To
Date
1
Year
3
Years
5
Years
10
Years
Since
Inception
Inception
Period
Tactical Asset Allocation Composite 25,057,398 9.9 1.3 1.3 0.9 6.3 6.5 6.0 6.1 11y 10m
65% MSCI World (Net) / 35% BC Aggregate 2.1 2.1 6.0 9.1 8.3 6.2 7.2
Alternatives Composite 10,163,120 4.0 3.4 3.4 1.9 N/A N/A N/A 4.3 1y 7m
3 Month T-Bills + 3%0.7 0.7 3.0 3.1 3.1 4.5 3.0
Real Estate Composite 13,911,484 5.5 2.7 2.7 10.9 9.5 11.5 6.4 5.3 8y 10m
NCREIF Property Index 3.6 3.6 12.7 11.5 12.8 8.4 7.2
Real Assets Composite 9,307,872 3.7 -2.8 -2.8 -17.0 -6.5 -1.6 N/A -1.6 5y
Wellington DIH Multi-Asset Inflation Index -3.3 -3.3 -16.1 -6.0 -1.9 2.3 -1.9
Cash Account 1,464,223 0.6 0.1 0.1 0.7 0.3 -0.2 1.4 1.4 11y 10m
BofA Merrill Lynch 3 Month U.S. T-Bill 0.0 0.0 0.0 0.1 0.1 1.5 1.5
_________________________
Performance is reported net of fees.
10
Allocation
Market
Value
($)%
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 12,956,925 5.1 -0.1 (70)-0.1 (70)8.0 (56)14.8 (50)12.8 (46)7.3 (44)6.6 (N/A)13y 11m
Russell 1000 Value Index -0.7 (83)-0.7 (83)9.3 (40)16.4 (23)13.8 (25)7.2 (45)6.7 (N/A)
Large-Cap Value Equity Peer Group Median 0.8 0.8 8.5 14.7 12.5 7.0 N/A
Vanguard Institutional Index Fund 15,489,912 6.1 0.9 (64)0.9 (64)12.7 (30)16.1 (28)14.4 (26)8.0 (41)5.1 (66)15y 6m
S&P 500 1.0 (64)1.0 (64)12.7 (30)16.1 (28)14.5 (26)8.0 (41)5.1 (66)
Large-Cap Equity Peer Group Median 1.5 1.5 10.3 14.8 13.1 7.7 5.8
T. Rowe Price Inst. Large-Cap Core Growth 13,063,090 5.2 6.0 (9)6.0 (9)17.2 (18)17.9 (11)17.1 (9)9.7 (29)23.5 (N/A)2y 1m
Russell 1000 Growth Index 3.8 (46)3.8 (46)16.1 (26)16.3 (30)15.6 (24)9.4 (35)20.9 (N/A)
Large-Cap Growth Equity Peer Group Median 3.4 3.4 14.0 15.1 14.2 8.6 N/A
Holland Large Cap Growth 13,086,701 5.2 4.1 (39)4.1 (39)12.1 (68)12.9 (80)13.8 (58)8.4 (55)16.1 (N/A)2y 1m
Russell 1000 Growth Index 3.8 (46)3.8 (46)16.1 (26)16.3 (30)15.6 (24)9.4 (35)20.9 (N/A)
Large-Cap Growth Equity Peer Group Median 3.4 3.4 14.0 15.1 14.2 8.6 N/A
Domestic Small-Cap Equity Managers
Kennedy Mid Cap Value 8,095,170 3.2 3.4 (38)3.4 (38)12.5 (13)16.9 (29)15.7 (15)N/A 11.8 (1)7y 3m
Russell Midcap Value Index 2.4 (58)2.4 (58)11.7 (16)18.6 (10)15.8 (13)9.6 (26)9.2 (27)
Mid-Cap Value Equity Peer Group Median 2.8 2.8 7.0 15.2 13.7 8.7 8.1
TimesSquare Small Cap Growth Fund 7,436,170 3.0 7.2 (29)7.2 (29)9.3 (44)17.2 (37)16.8 (33)12.1 (3)10.9 (N/A)13y 2m
Russell 2000 Growth Index 6.6 (42)6.6 (42)12.1 (20)17.7 (31)16.6 (35)10.0 (27)8.6 (N/A)
Small-Cap Growth Equity Peer Group Median 5.7 5.7 8.4 15.7 15.6 8.9 N/A
Developed International Equity Manager
Morgan Stanley International Equity Fund I 27,757,550 11.0 5.0 (47)5.0 (47)-1.6 (55)8.3 (50)6.4 (46)4.9 (63)4.9 (63)10y
MSCI EAFE Index 4.9 (49)4.9 (49)-0.9 (45)9.0 (36)6.2 (52)4.9 (62)4.9 (62)
International Equity Peer Group Median 4.8 4.8 -1.3 8.2 6.3 5.3 5.3
Emerging Markets Equity Manager
Morgan Stanley Emerging Markets Fund I 7,140,756 2.8 3.2 (20)3.2 (20)-0.9 (49)1.3 (39)2.3 (40)8.1 (46)8.1 (46)10y
MSCI Emerging Markets Index 2.2 (30)2.2 (30)0.4 (37)0.3 (57)1.7 (51)8.5 (30)8.5 (30)
Emerging Markets Equity Peer Group Median 1.4 1.4 -1.2 0.6 1.8 8.0 8.0
Performance Summary
Manager Asset Allocation and Performance
As of March 31, 2015
_________________________
Performance is reported net of fees.
11
Performance Summary
Manager Asset Allocation and Performance
As of March 31, 2015
Allocation
Market
Value
($)%
Performance(%)
Quarter
Year
To
Date
1
Year
3
Years
5
Years
10
Years
Since
Inception
Inception
Period
Fixed Income Managers
Income Research 36,633,895 14.5 1.5 (40)1.5 (40)3.7 (47)2.7 (58)3.9 (61)5.1 (23)5.3 (24)13y 9m
Barclays Intermediate U.S. Government/Credit 1.4 (51)1.4 (51)3.6 (50)2.3 (69)3.5 (66)4.3 (71)4.7 (57)
Intermediate Duration Fixed Income Peer Group Median 1.5 1.5 3.5 3.0 4.1 4.8 4.8
Penn Capital 12,867,499 5.1 2.3 (66)2.3 (66)0.1 (84)5.4 (96)7.0 (89)N/A 6.3 (88)9y 9m
BofA Merrill Lynch US High Yield, Cash Pay Index 2.5 (51)2.5 (51)2.0 (47)7.4 (35)8.4 (43)8.0 (23)7.9 (25)
High Yield Fixed Income Peer Group Median 2.5 2.5 1.9 7.2 8.2 7.5 7.4
Loomis Credit Asset Fund 5,136,126 2.0 2.3 (7)2.3 (7)4.5 (8)6.6 (1)7.4 (1)N/A 7.8 (1)5y 1m
50% BC Credit / 25% S&P LSTA / 25% BY High Yield 2.3 (7)2.3 (7)4.5 (8)5.6 (3)6.6 (2)6.3 (1)6.8 (3)
Alternative Credit Focus Funds Peer Group Median 1.1 1.1 0.7 2.8 3.8 4.2 4.0
Brandywine Global Opportunistic Fixed Income 22,080,675 8.8 -0.4 (53)-0.4 (53)1.6 (32)4.1 (19)6.9 (4)6.8 (9)6.3 (11)10y 3m
Citigroup World Government Bond -2.5 (85)-2.5 (85)-5.5 (83)-1.6 (89)1.4 (86)3.1 (77)2.7 (81)
Global Fixed Income Peer Group Median -0.1 -0.1 -0.9 1.7 3.6 4.3 3.9
Pictet Emerging Local Currency Debt Fund 10,402,242 4.1 -4.3 (81)-4.3 (81)-11.4 (65)-5.0 (74)N/A N/A -2.1 (84)3y 6m
JPM GBI-EM Global Diversified -4.0 (70)-4.0 (70)-11.1 (60)-3.9 (35)0.7 (20)6.3 (N/A)-1.0 (40)
Emerging Markets (LC) Fixed Income Peer Group Median -3.5 -3.5 -10.4 -4.3 -0.2 N/A -1.2
Tactical Asset Allocation Manager
GMO Asset Allocation Fund 25,057,398 9.9 1.3 (65)1.3 (65)0.9 (76)6.3 (60)6.5 (69)6.2 (37)5.6 (49)8y 8m
65% MSCI World (Net) / 35% BC Aggregate 2.1 (46)2.1 (46)6.0 (29)9.1 (24)8.3 (35)6.2 (39)5.7 (46)
IM Flexible Portfolio (MF) Median 1.9 1.9 3.5 7.1 7.5 5.9 5.6
_________________________
Performance is reported net of fees.
12
Performance Summary
Manager Asset Allocation and Performance
As of March 31, 2015
Allocation
Market
Value
($)%
Performance(%)
Quarter
Year
To
Date
1
Year
3
Years
5
Years
10
Years
Since
Inception
Inception
Period
Alternatives Manager
Lighthouse Global Long/Short Fund Limited 10,163,120 4.0 3.7 3.7 7.9 9.7 6.9 6.5 1.6 0y 1m
HFRI Equity Hedge (Total) Index 2.1 2.1 2.8 6.1 4.7 4.8 0.3
Real Estate Manager
UBS Trumbull Property Fund 13,911,484 5.5 2.7 2.7 10.9 9.5 11.5 6.4 5.3 8y 10m
NCREIF Fund Index-Open End Diversified Core Equity 3.4 3.4 13.2 12.4 14.3 6.7 5.4
Real Asset Manager
Wellington Diversified Inflation Hedges 9,307,872 3.7 -2.8 -2.8 -17.0 -6.5 -1.6 N/A -1.6 5y
Wellington DIH Multi-Asset Inflation Index -3.3 -3.3 -16.1 -6.0 -1.9 2.3 -1.9
Cash Account 1,464,223 0.6 0.1 0.1 0.7 0.3 -0.2 1.4 1.4 11y 10m
BofA Merrill Lynch 3 Month U.S. T-Bill 0.0 0.0 0.0 0.1 0.1 1.5 1.5
Total Composite 252,050,808 100.0 2.0 2.0 3.4 6.8 7.4 6.4 7.7 22y 3m
_________________________
Performance is reported net of fees.
13
12.0
12.8
13.6
14.4
15.2
16.0
16.8
17.6
18.4
19.2
20.0
Return (%)12.0 12.8 13.6 14.4 15.2 16.0 16.8 17.6 18.4 19.2 20.0
Risk (Standard Deviation %)
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
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 March 31, 2015
14
-1.5
0.0
1.5
3.0
4.5
6.0
7.5
9.0
10.5
Return (%)0.0 1.5 3.0 4.5 6.0 7.5 9.0 10.5 12.0 13.5 15.0
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
Loomis Credit Asset
Income Research
Brandywine Global
Performance Summary
Risk and Return Summary - Fixed Income Managers
5 Years Ending March 31, 2015
15
-6.0
-3.0
0.0
3.0
6.0
9.0
12.0
15.0
18.0
Return (%)0.0 2.0 4.0 6.0 8.0 10.0 12.0 14.0 16.0
Risk (Standard Deviation %)
Lighthouse Global Long/Short Fund Limited
Barclays U.S. Treasury Inflation Notes: 1-10 Year
NCREIF Fund Index-Open End Diversified Core Equity
Wellington DIH Multi-Asset Inflation Index
65% MSCI World (Net) / 35% BC Aggregate
Wellington DIH
UBS TPF
GMO
Performance Summary
Risk and Return Summary - Alternative Managers
5 Years Ending March 31, 2015
16
Manager Compliance Checklist
First Quarter 2015
Mana gers
Va nguard
Windsor
Vanguard
Insti tutiona l
T. Row e
Price Ho lland Ke nne dy TimesS qua re
Morga n
Stanley Int'l
Morga n
Stanle y EM
Organizational /Produ ct Is sues
No ma terial c hanges to investme nt team ++++++-+
No ma terial o rg aniza tional changes ++++++++
Accounting or regulat ory concerns ++++++++
Cu rrently in adherence to guidelin es ++++++++
Po rt fo lio characteris tics me et s tylis tic expectations ++++++++
Re lati ve Perfor mance 1
Th re e-year re turn better than benchmark -N/A +----+
Th re e-year ra nkin g better t han peer group median +++-++++
Fiv e year return better t han benchmark -N/A +--+++
1 Manager performance is evaluated net of investment management fees.
++++
Fiv e year rankin g better than peer group median +++-++++
Perfor mance s tatus ++++++++
Da te perfo rmance s tatus changed
Summary status ++++++++
Da te s umma ry status changed
17
Manager Compliance Checklist
First Quarter 2015
Ma nage rs
Income
Re se arch Penn Loomis
Bra ndyw ine
Gl oba l Picte t GMO Lighthouse UBS Wellington
Organi zati onal/Produ ct Is sues
No ma teria l c hanges to investme nt team +++-+++++
No ma teria l o rg aniza tional c hanges +++++++++
Accounting or re gulatory concerns +++++++++
Cu rre ntly in adherence to guidelin es +++++++++
Po rt fo lio characteris tics me et stylis tic expectations +++++++++
Re lative Performance 1
Thre e-year return better than benchmark +-++-----
Thre e-year rankin g better than peer group media n --++--N/A N/A N/A
Fiv e year re turn better than benchmark +-++N/A ---+
1 Manager performance is evaluated net of investment management fees.
Fiv e year re turn better than benchmark +-++N/A ---+
Fiv e year ra nkin g better than peer group median --++N/A -N/A N/A N/A
Perfor mance s tatus +-++--+++
Da te perfo rmance s tatus changed 4Q13 4Q13 3Q14
Summary status +Sell Sell +Sell Sell +++
Da te summa ry status changed 4Q13 4Q13 4Q13 4Q13
18
Manager
Compliance
Issue Explanation
Recommended
Action Comments
GMO Performance The manager underperformed the 65%
MSCI W orld / 35% BC Aggregate Index
by 280 and 180 basis points over the
rolling three-and five-year periods,
ranking in the 60th and 69th percentile of
the flexible portfolio peer group
universe, respectively.
Sell Pavilion does not believe from a structural
perspective that allocating to tactical asset
allocation strategies will add value to
the overall investment program.
Manager Compliance Checklist
First Quarter 2015
Loomis
Sayles
Credit Asset
Fund
Asset Flows &
Fixed Income
Structure
Optimization
Asset flows have declined from $1
billion in 2009 to $520 million in Q4 of
2014.
From a structural perspective we
recommend MSD eliminate their
allocation to a dedicated credit
manager and instead consider a core
plus fixed income manager that can
allocate across multiple fixed income
sectors and regions. Streamline fixed
income manager structure and
reduction in the number of managers
from 5 to 3 will be required.
Sell While we have a high degree of confidence in
Loomis Sayles credit research process and
investment team, assets have declined
significantly and fixed income structure
optim ization process leaves no place for this
strategy on a stand alone basis.
19
Manager
Compliance
Issue Explanation
Recommended
Action Comments
Penn Performance &
Fixed Income
Structure
Optimization
The manager underperformed the BofA
Merrill Lynch US High Yield,Cash Pay
Index by 200 and 140 basis points over
the rolling three-and five-year periods,
ranking in the 96th and 89th percentile of
the high yield fixed income peer group
universe, respectively.
Sell Although the product delivers consistent,
predictable performance with a focus on downside
protection, from a structural perspective we do not
support having a m anager dedicated to high yield
for a portfolio of this size.
Pictet Performance &
Fixed Income
Structure
The manager underperformed the JPM
GBI-EM Global Diversified Index by
110 basis points over the rolling three-
Sell The strategy lacks compelling performance. The
product is expected to provide excellent downside
protection, yet generated meaningful
Manager Compliance Checklist
First Quarter 2015
Structure
Optimization
110 basis points over the rolling three-
year period, ranking in the 74th
percentile of the emerging markets
fixed income peer group universe.
protection, yet generated meaningful
underperformance during 2013. Pavilion
recommends re-allocating to another global bond
strategy that provides greater diversification and
more consistent performance. Also, from a
structural perspective we do not support having a
manager dedicated to emerging market local
currency debt for a portfolio of this size.
20
Asset Class Diversification
21
March 31, 2015 : $252,050,808
Target Allocation Actual Allocation Allocation Differences
0.0%6.0%12.0%18.0%24.0%30.0%36.0%42.0%-6.0 %-12.0 %
Cash Account
$1,464,223
Real Asset Composite
$9,307,872
Real Estate Composite
$13,911,484
Alternatives Composite
$10,163,120
Tactical Asset Allocation Composite
$25,057,398
Fixed Income Composite
$87,120,437
Emerging International Equity Composite
$7,140,756
Developed International Equity Composite
$27,757,550
Small-Cap Equity Composite
$15,531,340
Large-Cap Equity Composite
$54,596,628
0.0%
5.0%
5.0%
4.0%
10.0%
35.0%
3.0%
11.0%
6.0%
21.0%
0.6%
3.7%
5.5%
4.0%
9.9%
34.6%
2.8%
11.0%
6.2%
21.7%
0.6%
-1.3 %
0.5%
0.0%
-0.1 %
-0.4 %
-0.2 %
0.0%
0.2%
0.7%
Asset Class Diversification
Investment Policy Allocation
As of March 31, 2015
22
Asse t Cl ass/Type Manage r
Total Asse ts
($,mil.)as of
3/31/2015
Perce nt of
Total
Ta rge t
Allocation
Weighting
Re lati ve to
Ta rge t
Al low able
Ra nge
Total Asse ts
($,mil.)as of
12/31/2014
La rge -Ca p Equity $54.6 21.7%21.0%+ 0 .7 %15 -25%$56.2
Co re Va nguard Ins titutional $15.5 6.1%6.0%+ 0.1%$16.1
Va lu e Va nguard Windsor $13.0 5.1%5.0%+ 0.1%$13.3
Gr owth T. Rowe Price $13.1 5.2%5.0%+ 0.2%$13.6
Gr owth Ho lla nd $13.1 5.2%5.0%+ 0.2%$13.2
Small-Ca p Equity $15.5 6.2%6.0%+ 0 .2 %2 -8%$15.2
Va lu e Kennedy $8.1 3.2%3.0%+ 0.2%$8.3
Gr owth Time sSquare $7.4 3.0%3.0%- 0.0%$6.9
Inte rna ti ona l Equity $34.9 13.8%14.0%- 0 .2 %$33.7
Developed Morgan Stanley $27.8 11.0%11.0%+ 0.0%5 -15%$26.7
Eme rg in g Marke ts Morgan Stanley $7.1 2.8%3.0%- 0.2%2 -8%$6.9
Asset Class Diversification
Investment Program Structure
As of March 31, 2015
Fix ed Income $87.1 34.6%35.0%- 0 .4 %$86.6
Do me stic Core In come Res earch $36.6 14.5%14.0%+ 0.5%10 -20%$36.1
High Yie ld Pe nn Capit al $12.9 5.1%5.0%+ 0.1%0 -7%$12.6
Op portunistic Credit Lo omis $5.1 2.0%2.0%+ 0.0%0 -5%$5.0
Global Br andywin e Glo bal $22.1 8.8%9.0%- 0.2%4 -14%$22.1
Eme rg in g Marke ts De bt Pictet $10.4 4.1%5.0%- 0.9%0 -7%$10.9
Ta cti ca l $25.1 9.9%10.0%- 0 .1 %$24.7
Ba la nced GM O $25.1 9.9%10.0%- 0.1%0 -12%$24.7
Alte rna ti ve s $10.2 4.0%4.0%+ 0 .0 %$9.8
Hedge Funds Li ghthouse Glo bal $10.2 4.0%4.0%+ 0.0%0 -20%$0.0
PIMCO $0.0 0.0%----$9.8
Real Es tate $13.9 5.5%5.0%+ 0 .5 %$13.5
Re al Es tate UBS Tru mb ull $13.9 5.5%5.0%+ 0.5%0 -10%$13.5
Real As set $9.3 3.7%5.0%- 1 .3 %$9.6
Re al Asset Wellin gton $9.3 3.7%5.0%- 1.3%0 -10%$9.6
Ca sh $1.5 0.6%0.0%+ 0 .6 %$1.3
Ca sh Account Ca sh Account $1.5 0.6%0.0%+ 0.6%$1.3
Tota l $252.0 100.0%100.0%+ 0 .0 %$250.7
*Totals may not add to exactly 100.0% due to rounding.
23
Portfolio Characteristics
Portfolio Benchmark
Wtd. Avg. Mkt. Cap ($M)83,373 80,707
Median Mkt. Cap ($M)13,244 1,444
Price/Earnings ratio 20.1 17.8
Price/Book ratio 3.2 2.7
5 Yr. EPS Growth Rate (%)14.0 13.2
Current Yield (%)1.8 2.3
Debt to Equity 0.7 1.2
Number of Stocks 957 8,550
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
(%)
Apple Inc 1.6 1.7 -0.1 13.2
Nestle SA, Cham Und Vevey 1.2 0.6 0.7 3.0
Reckitt Benckiser Group PLC 1.2 0.1 1.1 6.0
British American Tobacco PLC 1.1 0.2 0.9 -2.5
Unilever NV 1.1 0.2 0.9 6.6
Amazon.com Inc 1.0 0.3 0.7 19.9
Visa Inc 1.0 0.3 0.7 0.0
Novartis AG 0.9 0.5 0.4 9.4
Google Inc (Class C)0.9 0.4 0.5 4.1
Priceline Group Inc (The)0.9 0.1 0.7 2.1
% of Portfolio 10.9 4.4
Distribution of Market Capitalization (%)
Total Equity Composite MSCI AC World IMI
0.0
10.0
20.0
30.0
40.0
>$75 Bil $20 Bil -
$75 Bil
$5 Bil -
$20 Bil
$0 -
$5 Bil
Cash
31.7 30.5
23.2
14.6
0.0
33.0
30.7
23.4
10.7
2.2
Sector Weights (%)
Total Equity Composite MSCI AC World IMI
0.0 5.0 10.0 15.0 20.0 25.0 30.0
Other
Cash
Utilities
Telecommunication Services
Materials
Information Technology
Industrials
Health Care
Financials
Energy
Consumer Staples
Consumer Discretionary
0.0
2.2
1.6
2.0
4.1
16.9
11.1
14.4
15.8
5.2
11.9
14.8
0.0
0.0
3.2
3.3
5.7
13.9
11.4
11.9
21.7
7.0
9.0
13.0
Equity Portfolio - Characteristics
Total Equity Composite vs. MSCI AC World IMI
As of March 31, 2015
24
Total Equity
Composite MSCI AC World IMI
Australia 0.3 2.5
Hong Kong 0.5 1.9
Japan 5.2 8.0
New Zealand 0.0 0.1
Singapore 0.1 0.6
Pacific 6.0 13.1
Austria 0.1 0.1
Belgium 0.1 0.5
Finland 0.0 0.3
France 2.8 2.9
Germany 2.0 3.1
Ireland 0.6 0.5
Italy 0.2 0.9
Netherlands 1.6 1.1
Portugal 0.1 0.1
Spain 0.0 1.2
EMU 7.5 10.6
Denmark 0.0 0.6
Norway 0.0 0.3
Sweden 0.5 1.1
Switzerland 4.2 3.2
United Kingdom 9.0 6.9
Europe ex EMU 13.8 12.1
Canada 0.8 3.3
United States 62.9 51.0
Israel 0.0 0.2
Middle East 0.0 0.2
Developed Markets 91.0 90.4
Total Equity
Composite MSCI AC World IMI
Brazil 0.4 0.7
Cayman Islands 0.0 0.0
Chile 0.0 0.1
Colombia 0.1 0.1
Mexico 0.4 0.5
Peru 0.1 0.0
Virgin Islands 0.0 0.0
EM Latin America 1.0 1.4
China 1.7 1.5
India 0.7 0.8
Indonesia 0.2 0.3
Korea 0.9 1.6
Malaysia 0.1 0.4
Philippines 0.3 0.1
Taiwan 0.7 1.4
Thailand 0.2 0.3
EM Asia 4.7 6.4
Czech Republic 0.1 0.0
Egypt 0.0 0.0
Greece 0.0 0.0
Hungary 0.0 0.0
Poland 0.2 0.2
Qatar 0.0 0.1
Russia 0.0 0.3
South Africa 0.4 0.8
Turkey 0.0 0.2
United Arab Emirates 0.0 0.1
EM Europe + Middle East + Africa 0.8 1.7
Emerging Markets 6.5 9.5
Frontier Markets 0.1 0.0
Cash 2.2 0.0
Other 0.1 0.1
Total 100.0 100.0
Equity Portfolio - Country/Region Allocation
Total Equity Composite vs. MSCI AC World IMI
As of March 31, 2015
25
Portfolio Characteristics
Maturity Distribution (%)
Credit Quality Distribution (%)
Risk Characteristics - 3 Years
Sector Distribution (%)
Portfolio Benchmark
Effective Duration 4.5 3.9
Avg. Maturity 6.9 4.3
Avg. Quality A AA
Yield To Maturity (%)3.7 1.5
Total Fixed Income Composite
Barclays Intermediate U.S. Government/Credit
0.0
25.0
50.0
75.0
100.0
AAAAAABBBBBBBelow BNot Rated65.0
6.1
14.5 14.4
0.0 0.0 0.0 0.0
25.8
9.8
19.3 22.5
9.8 11.0
0.4 1.4
Consistency
Sharpe
Ratio
Information
Ratio
Up
Market
Capture
Down
Market
Capture
Total Fixed Income Composite 61.1 0.6 0.1 132.0
Barclays Intermediate U.S. Government/Credit 0.0 1.1 N/A 100.0
90 Day U.S. Treasury Bill 36.1 N/A -1.1 0.9
Total Fixed Income Composite
Barclays Intermediate U.S. Government/Credit
0.0
15.0
30.0
45.0
60.0
< 1 Yr1 < 3 Yrs3 < 5 Yrs5 < 10 Yrs10 < 20 Yrs> 20 Yrs0.0
40.6
26.3
33.1
0.0 0.0
8.7
18.9 21.1
35.3
5.5
10.5
Total Fixed Income Composite
Barclays Intermediate U.S. Government/Credit
0.0
25.0
50.0
75.0
100.0
TreasuriesAgenciesCreditHigh YieldMBSABSNon-USEmergingMunicipalsCashOtherCMBS56.7
5.6
24.6
0.0 0.0 0.0
10.6
2.5 0.0 0.0 0.0 0.0
22.6
0.3
21.0
16.1
2.3 3.9
14.5
3.7 1.5 2.3 5.9 5.9
Fixed Income Portfolio - Characteristics
Total Fixed Income Composite vs. Barclays Intermediate U.S. Government/Credit
As of March 31, 2015
26
Manager Evaluation
27
Historical Performance
Buy and Hold Attribution
Risk and Return (Apr - 2010 - Mar - 2015)Three Year Rolling Percentile Ranking
Quarter
Year
To
Date
1
Year
3
Years
5
Years
10
Years 2014 2013 2012 2011 2010 2009 2008 2007 2006 2005
Vanguard Windsor II -0.1 -0.1 8.0 14.8 12.8 7.3 11.3 30.8 16.8 2.8 10.7 27.2 -36.6 2.3 18.4 7.2
Russell 1000 Value Index -0.7 -0.7 9.3 16.4 13.8 7.2 13.5 32.5 17.5 0.4 15.5 19.7 -36.8 -0.2 22.2 7.1
Large-Cap Value Equity Peer Group Median 0.8 0.8 8.5 14.7 12.5 7.0 10.2 31.7 15.0 -1.5 13.5 25.4 -37.3 2.9 16.6 6.1
Vanguard Windsor II Rank 70 70 56 50 46 44 36 61 28 17 86 41 44 55 35 36
Vanguard Windsor II Russell 1000 Value Index
0
25
50
75
100Return Percentile Rank6/05 6/06 6/07 6/08 6/09 6/10 6/11 6/12 6/13 6/14 3/15 10.8
11.7
12.6
13.5
14.4
15.3
Return (%)14.5 14.6 14.7
Risk (Standard Deviation %)
Russell 1000 Value Index
Vanguard Windsor II
Average Active Weight
0.0 8.0 16.0-8.0-16.0
Utilities
Telecommunication Services
Other
Materials
Information Technology
Industrials
Health Care
Financials
Energy
Consumer Staples
Consumer Discretionary
Cash
-2.6
0.4
0.3
-1.5
3.9
-1.1
3.3
-7.9
-2.6
1.4
4.2
2.1
Allocation
(Total: 0.5)
0.0 0.3 0.6-0.3-0.6
0.1
0.0
0.0
0.0
-0.2
0.0
0.3
0.0
0.1
0.0
0.2
0.0
Stock
(Total: 0.2)
0.0 0.5 1.0-0.5-1.0
0.0
0.1
0.0
-0.1
0.2
-0.1
0.2
-0.6
0.3
0.1
0.1
0.0
Vanguard Windsor II
0.0 0.5 1.0-0.5-1.0-1.5
0.1
0.1
0.0
-0.1
0.0
-0.1
0.5
-0.5
0.4
0.1
0.3
0.0
Manager Evaluation
Vanguard Windsor II vs. Russell 1000 Value Index
As of March 31, 2015
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)106,226 107,001
Median Mkt. Cap ($M)22,394 7,600
Price/Earnings ratio 16.3 17.3
Price/Book ratio 2.5 2.1
5 Yr. EPS Growth Rate (%)10.1 8.1
Current Yield (%)2.5 2.4
Debt to Equity 1.4 1.4
Number of Stocks 268 700
Beta (5 Years, Monthly)0.99 1.00
Consistency (5 Years, Monthly)43.33 1.00
Sharpe Ratio (5 Years, Monthly)0.97 1.03
Information Ratio (5 Years, Monthly)-0.40 -
Up Market Capture (5 Years, Monthly)96.69 -
Down Market Capture (5 Years, Monthly)99.92 -
Top Ten Equity Holdings
Portfolio
Weight
(%)
Benchmark
Weight
(%)
Active
Weight
(%)
Quarterly
Return
(%)
Medtronic PLC 2.8 1.1 1.7 8.4
Pfizer Inc 2.8 2.2 0.6 12.7
Anthem Inc 2.8 0.4 2.3 23.4
JPMorgan Chase & Co 2.7 2.3 0.5 -2.6
Microsoft Corp 2.6 1.2 1.4 -11.9
Wells Fargo & Co 2.5 2.6 -0.1 -0.1
Target Corp 2.2 0.5 1.7 8.9
Citigroup Inc 2.2 1.5 0.6 -4.8
Intel Corp 2.1 1.4 0.7 -13.2
PNC Financial Services Group Inc.2.1 0.5 1.6 2.8
% of Portfolio 24.6 13.6
Distribution of Market Capitalization (%)
Vanguard Windsor II Russell 1000 Value Index
0.0
15.0
30.0
45.0
60.0
>$75 Bil $20 Bil -
$75 Bil
$5 Bil -
$20 Bil
$0 -
$5 Bil
Cash
43.5
29.8
21.1
5.6
0.0
47.6
34.5
13.1
2.6 2.2
Sector Weights (%)
Vanguard Windsor II Russell 1000 Value Index
0.0 8.0 16.0 24.0 32.0 40.0
Other
Cash
Utilities
Telecommunication Services
Materials
Information Technology
Industrials
Health Care
Financials
Energy
Consumer Staples
Consumer Discretionary
0.3
2.2
3.7
2.6
1.5
12.5
9.0
18.2
21.3
8.6
8.7
11.4
0.0
0.0
6.2
2.1
3.1
9.0
10.2
14.7
29.8
10.9
7.2
6.9
Manager Evaluation
Vanguard Windsor II vs. Russell 1000 Value Index
As of March 31, 2015
29
Historical Performance
Three Year Rolling Percentile Ranking Relative Performance
Historical Statistics (Apr-2010 - Mar-2015)
Quarter
Year
To
Date
1
Year
3
Years
5
Years
10
Years 2014 2013 2012 2011 2010 2009 2008 2007 2006 2005
Vanguard Institutional Index 0.9 0.9 12.7 16.1 14.4 8.0 13.7 32.3 16.0 2.1 15.0 26.6 -37.0 5.5 15.8 4.9
S&P 500 Index 1.0 1.0 12.7 16.1 14.5 8.0 13.7 32.4 16.0 2.1 15.1 26.5 -37.0 5.5 15.8 4.9
Large-Cap Equity Peer Group Median 1.5 1.5 10.3 14.8 13.1 7.7 10.3 32.4 14.6 -1.0 14.0 27.8 -37.5 6.2 13.3 5.9
Vanguard Institutional Index Rank 64 64 30 28 26 41 16 51 36 22 38 56 45 55 32 62
Vanguard Institutional Index S&P 500 Index
0
25
50
75
100Return Percentile Rank6/05 6/06 6/07 6/08 6/09 6/10 6/11 6/12 6/13 6/14 3/15 Cumulative Annualized Over/Under Relative Performance
Over/Under Performance
0.0
0.1
0.2
-0.1
-0.2Return (%)6/05 6/06 6/07 6/08 6/09 6/10 6/11 6/12 6/13 6/14 3/15
Return
Standard
Deviation
Excess
Return Alpha Beta
Sharpe
Ratio
Tracking
Error
Information
Ratio
Downside
Risk Consistency
Inception
Date
Vanguard Institutional Index 14.4 14.1 14.6 0.0 1.0 1.0 0.0 -3.5 8.1 5.0 15y 6m
S&P 500 Index 14.5 14.1 14.7 0.0 1.0 1.0 0.0 N/A 8.1 0.0 15y 6m
90 Day U.S. Treasury Bill 0.1 0.0 0.0 0.1 0.0 N/A 14.1 -1.0 0.0 20.0 15y 6m
Manager Evaluation
Vanguard Institutional Index vs. S&P 500 Index
As of March 31, 2015
30
Portfolio Characteristics
Portfolio Benchmark
Wtd. Avg. Mkt. Cap ($M)133,544 134,167
Median Mkt. Cap ($M)18,870 18,772
Price/Earnings ratio 19.2 19.2
Price/Book ratio 3.1 3.1
5 Yr. EPS Growth Rate (%)13.4 13.4
Current Yield (%)2.0 2.0
Debt to Equity 1.2 1.2
Number of Stocks 505 502
Beta (5 Years, Monthly)1.00 1.00
Consistency (5 Years, Monthly)25.00 1.00
Sharpe Ratio (5 Years, Monthly)1.11 1.11
Information Ratio (5 Years, Monthly)-1.86 -
Up Market Capture (5 Years, Monthly)99.93 -
Down Market Capture (5 Years, Monthly)100.05 -
Top Ten Equity Holdings
Portfolio
Weight
(%)
Benchmark
Weight
(%)
Active
Weight
(%)
Quarterly
Return
(%)
Apple Inc 3.9 4.0 0.0 13.2
Exxon Mobil Corp 1.9 2.0 0.0 -7.4
Microsoft Corp 1.8 1.8 0.0 -11.9
Johnson & Johnson 1.5 1.5 0.0 -3.1
Wells Fargo & Co 1.4 1.4 0.0 -0.1
General Electric Co 1.4 1.4 0.0 -0.9
Berkshire Hathaway Inc 1.4 1.4 -0.1 -3.9
JPMorgan Chase & Co 1.2 1.2 0.0 -2.6
Procter & Gamble Co (The)1.2 1.2 0.0 -9.4
Pfizer Inc 1.2 1.2 0.0 12.7
% of Portfolio 16.9 17.1
Distribution of Market Capitalization (%)
Vanguard Institutional Index S&P 500 Index
0.0
15.0
30.0
45.0
60.0
>$75 Bil $20 Bil -
$75 Bil
$5 Bil -
$20 Bil
$0 -
$5 Bil
Cash
50.2
34.1
15.2
0.4 0.0
50.0
34.0
15.1
0.4 0.5
Sector Weights (%)
Vanguard Institutional Index S&P 500 Index
0.0 5.0 10.0 15.0 20.0 25.0
Cash
Utilities
Telecommunication Services
Materials
Information Technology
Industrials
Health Care
Financials
Energy
Consumer Staples
Consumer Discretionary
0.5
3.0
2.3
3.1
19.6
10.3
14.9
16.1
8.0
9.6
12.5
0.0
3.0
2.3
3.2
19.7
10.4
14.9
16.2
8.0
9.7
12.6
Manager Evaluation
Vanguard Institutional Index vs. S&P 500 Index
As of March 31, 2015
31
Historical Performance
Buy and Hold Attribution
Risk and Return (Apr - 2010 - Mar - 2015)Three Year Rolling Percentile Ranking
Quarter
Year
To
Date
1
Year
3
Years
5
Years
10
Years 2014 2013 2012 2011 2010 2009 2008 2007 2006 2005
T. Rowe Price LCC Growth 6.0 6.0 17.2 17.9 17.1 9.7 9.3 41.4 18.5 1.5 16.4 43.0 -42.6 13.0 9.1 4.0
Russell 1000 Growth Index 3.8 3.8 16.1 16.3 15.6 9.4 13.1 33.5 15.3 2.6 16.7 37.2 -38.4 11.8 9.1 5.3
Large-Cap Growth Peer Group Median 3.4 3.4 14.0 15.1 14.2 8.6 10.5 34.6 14.6 -0.8 15.3 33.4 -38.3 13.8 7.1 6.2
T. Rowe Price LCC Growth Rank 9 9 18 11 9 29 61 12 16 27 39 14 78 55 33 69
T. Rowe Price LCC Growth Russell 1000 Growth Index
0
25
50
75
100Return Percentile Rank6/05 6/06 6/07 6/08 6/09 6/10 6/11 6/12 6/13 6/14 3/15 12.0
14.0
16.0
18.0
20.0
Return (%)13.5 14.0 14.5 15.0 15.5 16.0 16.5 17.0
Risk (Standard Deviation %)
Russell 1000 Growth Index
T. Rowe Price LCC Growth
Average Active Weight
0.0 10.0 20.0-10.0-20.0
Utilities
Telecommunication Services
Materials
Information Technology
Industrials
Health Care
Financials
Energy
Consumer Staples
Consumer Discretionary
Cash
-0.1
-2.1
-0.3
-6.7
2.0
7.8
2.4
-1.6
-8.2
5.5
1.3
Allocation
(Total: 0.1)
0.0 0.2 0.4-0.2-0.4
0.0
0.0
0.0
0.0
-0.1
0.2
-0.1
0.0
0.0
0.0
-0.1
Stock
(Total: 1.4)
0.0 0.8 1.6-0.8-1.6
0.0
0.0
0.2
-0.2
-0.2
1.0
-0.3
0.2
0.1
0.7
0.0
T. Rowe Price LCC Growth
0.0 0.6 1.2 1.8 2.4-0.6-1.2
0.0
0.0
0.2
-0.2
-0.3
1.2
-0.4
0.2
0.1
0.8
-0.1
Manager Evaluation
T. Rowe Price Large-Cap Core Growth vs. Russell 1000 Growth Index
As of March 31, 2015
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)102,756 130,254
Median Mkt. Cap ($M)28,559 9,154
Price/Earnings ratio 27.6 21.8
Price/Book ratio 5.5 5.3
5 Yr. EPS Growth Rate (%)23.1 18.8
Current Yield (%)0.6 1.5
Debt to Equity -0.5 1.4
Number of Stocks 134 679
Beta (5 Years, Monthly)1.09 1.00
Consistency (5 Years, Monthly)55.00 1.00
Sharpe Ratio (5 Years, Monthly)1.13 1.16
Information Ratio (5 Years, Monthly)0.40 -
Up Market Capture (5 Years, Monthly)107.72 -
Down Market Capture (5 Years, Monthly)105.30 -
Top Ten Equity Holdings
Portfolio
Weight
(%)
Benchmark
Weight
(%)
Active
Weight
(%)
Quarterly
Return
(%)
Amazon.com Inc 4.4 1.3 3.1 19.9
Biogen Inc 3.0 0.9 2.1 24.4
Priceline Group Inc (The)2.9 0.6 2.4 2.1
McKesson Corp 2.9 0.5 2.4 9.1
Facebook Inc 2.7 1.5 1.2 5.4
Google Inc (Class C)2.6 1.4 1.2 4.1
Visa Inc 2.5 1.2 1.3 0.0
Danaher Corp 2.5 0.1 2.4 -0.8
MasterCard Inc 2.4 0.8 1.6 0.5
Actavis PLC 2.3 1.0 1.3 15.6
% of Portfolio 28.4 9.2
Distribution of Market Capitalization (%)
T. Rowe Price Large-Cap Core Growth
Russell 1000 Growth Index
0.0
15.0
30.0
45.0
60.0
>$75 Bil $20 Bil -
$75 Bil
$5 Bil -
$20 Bil
$0 -
$5 Bil
44.7
31.7
20.3
3.3
38.0
47.8
14.2
0.0
Sector Weights (%)
T. Rowe Price Large-Cap Core Growth
Russell 1000 Growth Index
0.0 8.0 16.0 24.0 32.0 40.0
Utilities
Telecommunication Services
Materials
Information Technology
Industrials
Health Care
Financials
Energy
Consumer Staples
Consumer Discretionary
0.0
0.0
3.6
24.2
13.0
24.4
6.6
1.7
2.8
23.7
0.1
2.2
3.9
28.6
11.9
14.3
5.2
4.5
10.6
18.8
Manager Evaluation
T. Rowe Price Large-Cap Core Growth vs. Russell 1000 Growth Index
As of March 31, 2015
33
Historical Performance
Buy and Hold Attribution
Risk and Return (Apr - 2010 - Mar - 2015)Three Year Rolling Percentile Ranking
Quarter
Year
To
Date
1
Year
3
Years
5
Years
10
Years 2014 2013 2012 2011 2010 2009 2008 2007 2006 2005
Holland Large Cap Growth 4.1 4.1 12.1 12.9 13.8 8.4 7.2 30.3 13.1 4.3 15.3 40.0 -33.8 9.4 6.4 -0.1
Russell 1000 Growth Index 3.8 3.8 16.1 16.3 15.6 9.4 13.1 33.5 15.3 2.6 16.7 37.2 -38.4 11.8 9.1 5.3
Large-Cap Growth Equity Peer Group Median 3.4 3.4 14.0 15.1 14.2 8.6 10.5 34.6 14.6 -0.8 15.3 33.4 -38.3 13.8 7.1 6.2
Holland Large Cap Growth Rank 39 39 68 80 58 55 82 77 66 14 51 22 22 78 58 93
Holland Large Cap Growth Russell 1000 Growth Index
0
25
50
75
100Return Percentile Rank6/05 6/06 6/07 6/08 6/09 6/10 6/11 6/12 6/13 6/14 3/15 10.0
12.0
14.0
16.0
18.0
Return (%)12.8 13.2 13.6 14.0 14.4 14.8 15.2 15.6
Risk (Standard Deviation %)
Russell 1000 Growth Index
Holland Large Cap Growth
Average Active Weight
0.0 4.0 8.0-4.0-8.0
Utilities
Telecommunication Services
Materials
Information Technology
Industrials
Health Care
Financials
Energy
Consumer Staples
Consumer Discretionary
Cash
-0.1
-2.1
-1.1
3.6
-2.5
-0.6
-1.6
0.3
1.1
0.4
2.5
Allocation
(Total: 0.0)
0.0 0.2-0.2-0.4
0.0
0.0
0.0
0.0
0.1
0.0
0.1
0.0
0.0
0.0
-0.1
Stock
(Total: 0.4)
0.0 0.8 1.6-0.8-1.6
0.0
0.0
0.0
-0.9
0.7
0.1
0.0
0.0
0.6
0.0
0.0
Holland Large Cap Growth
0.0 0.6 1.2 1.8-0.6-1.2-1.8
0.0
0.0
0.0
-0.9
0.8
0.1
0.1
0.0
0.6
0.0
-0.1
Manager Evaluation
Holland Large Cap Growth vs. Russell 1000 Growth Index
As of March 31, 2015
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)108,231 130,254
Median Mkt. Cap ($M)37,284 9,154
Price/Earnings ratio 22.6 21.8
Price/Book ratio 5.0 5.3
5 Yr. EPS Growth Rate (%)19.0 18.8
Current Yield (%)1.0 1.5
Debt to Equity 0.7 1.4
Number of Stocks 50 679
Beta (5 Years, Monthly)0.96 1.00
Consistency (5 Years, Monthly)45.00 1.00
Sharpe Ratio (5 Years, Monthly)1.05 1.16
Information Ratio (5 Years, Monthly)-0.55 -
Up Market Capture (5 Years, Monthly)94.16 -
Down Market Capture (5 Years, Monthly)100.55 -
Top Ten Equity Holdings
Portfolio
Weight
(%)
Benchmark
Weight
(%)
Active
Weight
(%)
Quarterly
Return
(%)
Visa Inc 4.5 1.2 3.3 0.0
Apple Inc 4.5 6.8 -2.3 13.2
Qualcomm Inc.3.7 1.1 2.7 -6.2
Google Inc (Class C)3.6 1.4 2.1 4.1
Priceline Group Inc (The)3.5 0.6 3.0 2.1
Adobe Systems Inc 3.3 0.3 2.9 1.7
Gilead Sciences Inc 3.2 1.4 1.8 4.1
Citrix Systems Inc.3.2 0.1 3.1 0.1
Medtronic PLC 3.1 0.0 3.1 8.4
Amazon.com Inc 3.0 1.3 1.7 19.9
% of Portfolio 35.5 14.2
Distribution of Market Capitalization (%)
Holland Capital Management Russell 1000 Growth Index
0.0
15.0
30.0
45.0
60.0
>$75 Bil $20 Bil -
$75 Bil
$5 Bil -
$20 Bil
$0 -
$5 Bil
Cash
44.7
31.7
20.3
3.3
0.0
42.0
33.1
20.1
2.6 2.3
Sector Weights (%)
Holland Capital Management Russell 1000 Growth Index
0.0 8.0 16.0 24.0 32.0 40.0
Cash
Utilities
Telecommunication Services
Materials
Information Technology
Industrials
Health Care
Financials
Energy
Consumer Staples
Consumer Discretionary
2.3
0.0
0.0
1.3
30.9
10.3
14.6
3.8
4.6
11.4
20.7
0.0
0.1
2.2
3.9
28.6
11.9
14.3
5.2
4.5
10.6
18.8
Manager Evaluation
Holland Capital Management vs. Russell 1000 Growth Index
As of March 31, 2015
35
Historical Performance
Buy and Hold Attribution
Risk and Return (Apr - 2010 - Mar - 2015)Three Year Rolling Percentile Ranking
Quarter
Year
To
Date
1
Year
3
Years
5
Years
10
Years 2014 2013 2012 2011 2010 2009 2008 2007 2006 2005
Kennedy Mid Cap Value 3.4 3.4 12.5 16.9 15.7 N/A 15.8 33.3 13.6 -0.8 27.0 34.8 -27.0 N/A N/A N/A
Russell Midcap Value Index 2.4 2.4 11.7 18.6 15.8 9.6 14.7 33.5 18.5 -1.4 24.8 34.2 -38.4 -1.4 20.2 12.6
Mid-Cap Value Equity Peer Group Median 2.8 2.8 7.0 15.2 13.7 8.7 6.2 33.4 15.5 -3.0 20.7 32.9 -38.9 2.7 13.9 8.6
Kennedy Mid Cap Value Rank 38 38 13 29 15 N/A 4 51 63 33 9 43 10 N/A N/A N/A
Kennedy Mid Cap Value Russell Midcap Value Index
0
25
50
75
100Return Percentile Rank6/05 6/06 6/07 6/08 6/09 6/10 6/11 6/12 6/13 6/14 3/15 15.6
15.7
15.8
15.9
16.0
Return (%)15.3 15.6 15.9 16.2 16.5 16.8 17.1
Risk (Standard Deviation %)
Russell Midcap Value Index
Kennedy Mid Cap Value
Average Active Weight
0.0 10.0 20.0-10.0-20.0
Utilities
Telecommunication Services
Materials
Information Technology
Industrials
Health Care
Financials
Energy
Consumer Staples
Consumer Discretionary
Cash
-3.1
-0.3
-4.1
1.0
6.9
-2.8
-8.4
1.7
0.7
5.1
3.4
Allocation
(Total: 0.0)
0.0 0.3 0.6-0.3-0.6
0.2
0.0
0.1
0.0
0.1
-0.3
0.0
-0.1
0.0
0.1
-0.1
Stock
(Total: 1.1)
0.0 0.8 1.6-0.8-1.6
-0.3
0.0
0.2
0.2
0.1
0.5
-0.4
0.4
-0.3
0.8
0.0
Kennedy Mid Cap Value
0.0 0.6 1.2 1.8-0.6-1.2
-0.1
0.0
0.3
0.2
0.2
0.2
-0.4
0.3
-0.3
1.0
-0.1
Manager Evaluation
Kennedy Mid Cap Value vs. Russell Midcap Value Index
As of March 31, 2015
Differences between the manager return and the attribution return are due primarily to the effects of fees and portfolio trading.
36
Portfolio Characteristics
Portfolio Benchmark
Wtd. Avg. Mkt. Cap ($M)8,433 12,296
Median Mkt. Cap ($M)7,077 5,983
Price/Earnings ratio 16.8 19.2
Price/Book ratio 2.4 2.2
5 Yr. EPS Growth Rate (%)14.5 11.6
Current Yield (%)1.7 2.1
Debt to Equity 1.0 2.3
Number of Stocks 60 574
Beta (5 Years, Monthly)1.04 1.00
Consistency (5 Years, Monthly)55.00 1.00
Sharpe Ratio (5 Years, Monthly)1.05 1.11
Information Ratio (5 Years, Monthly)0.01 -
Up Market Capture (5 Years, Monthly)101.68 -
Down Market Capture (5 Years, Monthly)103.51 -
Top Ten Equity Holdings
Portfolio
Weight
(%)
Benchmark
Weight
(%)
Active
Weight
(%)
Quarterly
Return
(%)
Reinsurance Group of America Inc.2.4 0.2 2.3 6.8
Urban Outfitters Inc 2.3 0.0 2.3 29.9
Brixmor Property Group Inc 2.2 0.1 2.2 7.8
Lincoln National Corp 2.1 0.5 1.6 0.0
Brookdale Senior Living Inc 2.1 0.0 2.1 3.0
Mid-America Apartment Communities Inc.2.1 0.2 1.9 4.5
Gentex Corp 2.1 0.1 2.0 1.8
Southwest Airlines Co.2.0 0.1 1.9 4.8
Hospira Inc 2.0 0.5 1.5 43.4
Roper Industries Inc.2.0 0.3 1.7 10.2
% of Portfolio 21.4 1.8
Distribution of Market Capitalization (%)
Kennedy Capital Management Russell Midcap Value Index
0.0
25.0
50.0
75.0
100.0
$20 Bil -
$75 Bil
$5 Bil -
$20 Bil
$0 -
$5 Bil
Cash
16.8
65.4
17.8
0.02.0
72.5
22.7
2.8
Sector Weights (%)
Kennedy Capital Management Russell Midcap Value Index
0.0 8.0 16.0 24.0 32.0 40.0
Cash
Utilities
Telecommunication Services
Materials
Information Technology
Industrials
Health Care
Financials
Energy
Consumer Staples
Consumer Discretionary
2.8
8.2
0.0
2.7
11.2
15.9
5.6
26.0
5.4
3.7
18.4
0.0
11.7
0.3
6.5
10.7
9.3
10.2
33.5
3.6
3.2
10.9
Manager Evaluation
Kennedy Capital Management vs. Russell Midcap Value Index
As of March 31, 2015
37
Historical Performance
Buy and Hold Attribution
Risk and Return (Apr - 2010 - Mar - 2015)Three Year Rolling Percentile Ranking
Quarter
Year
To
Date
1
Year
3
Years
5
Years
10
Years 2014 2013 2012 2011 2010 2009 2008 2007 2006 2005
TimesSquare Small Cap Growth 7.2 7.2 9.3 17.2 16.8 12.1 -2.5 47.7 13.1 2.6 27.3 35.7 -32.3 10.0 16.5 13.4
Russell 2000 Growth Index 6.6 6.6 12.1 17.7 16.6 10.0 5.6 43.3 14.6 -2.9 29.1 34.5 -38.5 7.0 13.3 4.2
Small-Cap Growth Equity Peer Group Median 5.7 5.7 8.4 15.7 15.6 8.9 2.7 44.7 12.7 -2.7 27.7 34.5 -40.6 9.9 9.9 5.8
TimesSquare Small Cap Growth Rank 29 29 44 37 33 3 81 31 47 14 53 46 11 49 14 10
TimesSquare Small Cap Growth Russell 2000 Growth Index
0
25
50
75
100Return Percentile Rank6/05 6/06 6/07 6/08 6/09 6/10 6/11 6/12 6/13 6/14 3/15 16.2
16.4
16.6
16.8
17.0
Return (%)17.8 18.0 18.2 18.4 18.6 18.8 19.0 19.2 19.4
Risk (Standard Deviation %)
Russell 2000 Growth Index
TimesSquare Small Cap Growth
Average Active Weight
0.0 15.0 30.0-15.0-30.0
Utilities
Telecommunication Services
Materials
Information Technology
Industrials
Health Care
Financials
Energy
Consumer Staples
Consumer Discretionary
Cash
-0.2
0.2
-3.0
4.6
10.3
-12.4
-1.7
0.4
-0.6
-2.0
4.5
Allocation
(Total: -1.0)
0.0 0.5 1.0-0.5-1.0-1.5
0.0
0.0
0.2
0.0
-0.3
-0.7
0.1
0.0
0.0
0.0
-0.3
Stock
(Total: 1.6)
0.0 1.0 2.0-1.0-2.0
0.0
0.0
0.0
-0.7
0.2
0.5
0.7
-0.4
0.1
1.2
0.0
TimesSquare Small Cap Growth
0.0 0.7 1.4 2.1-0.7-1.4-2.1
0.0
0.0
0.2
-0.7
-0.2
-0.2
0.8
-0.4
0.1
1.2
-0.3
Manager Evaluation
TimesSquare Small Cap Growth vs. Russell 2000 Growth Index
As of March 31, 2015
Differences between the manager return and the attribution return are due primarily to the effects of fees and portfolio trading.
38
Portfolio Characteristics
Portfolio Benchmark
Wtd. Avg. Mkt. Cap ($M)2,354 2,399
Median Mkt. Cap ($M)1,898 898
Price/Earnings ratio 30.4 25.8
Price/Book ratio 3.8 4.3
5 Yr. EPS Growth Rate (%)18.1 19.1
Current Yield (%)0.5 0.6
Debt to Equity 0.5 -0.3
Number of Stocks 101 1,188
Beta (5 Years, Monthly)0.87 1.00
Consistency (5 Years, Monthly)53.33 1.00
Sharpe Ratio (5 Years, Monthly)1.04 0.94
Information Ratio (5 Years, Monthly)-0.04 -
Up Market Capture (5 Years, Monthly)88.77 -
Down Market Capture (5 Years, Monthly)79.07 -
Top Ten Equity Holdings
Portfolio
Weight
(%)
Benchmark
Weight
(%)
Active
Weight
(%)
Quarterly
Return
(%)
On Assignment Inc 2.2 0.2 2.0 15.6
Ultimate Software Group Inc 2.2 0.5 1.7 15.8
Albany International Corp.2.0 0.0 2.0 5.1
CoStar Group Inc 1.9 0.0 1.9 7.7
Henry (Jack) & Associates Inc.1.8 0.0 1.8 12.9
Solera Holdings Inc 1.8 0.0 1.8 1.3
Corporate Executive Board Company (The)1.7 0.3 1.5 10.6
Wisdomtree Investments Inc 1.7 0.3 1.5 37.5
Monro Muffler Brake Inc 1.7 0.2 1.5 12.8
j2 Global Inc 1.7 0.3 1.4 6.4
% of Portfolio 18.8 1.9
Distribution of Market Capitalization (%)
TimesSquare Small Cap Growth Russell 2000 Growth Index
0.0
50.0
100.0
150.0
$5 Bil -
$20 Bil
$0 -
$5 Bil
Cash
4.2
95.8
0.05.0
90.8
4.3
Sector Weights (%)
TimesSquare Small Cap Growth Russell 2000 Growth Index
0.0 8.0 16.0 24.0 32.0 40.0
Cash
Utilities
Telecommunication Services
Materials
Information Technology
Industrials
Health Care
Financials
Energy
Consumer Staples
Consumer Discretionary
4.3
0.0
0.9
1.6
29.9
23.4
12.3
6.6
3.0
3.2
14.9
0.0
0.3
0.7
4.3
25.8
14.3
24.7
7.5
3.0
3.6
15.7
Manager Evaluation
TimesSquare Small Cap Growth vs. Russell 2000 Growth Index
As of March 31, 2015
39
Historical Performance
Buy and Hold Attribution
Risk and Return (Apr - 2010 - Mar - 2015)Three Year Rolling Percentile Ranking
Quarter
Year
To
Date
1
Year
3
Years
5
Years
10
Years 2014 2013 2012 2011 2010 2009 2008 2007 2006 2005
Morgan Stanley International Equity 5.0 5.0 -1.6 8.3 6.4 4.9 -6.1 20.4 19.6 -7.6 6.1 21.6 -33.1 9.8 22.5 6.5
MSCI EAFE Index 4.9 4.9 -0.9 9.0 6.2 4.9 -4.9 22.8 17.3 -12.1 7.8 31.8 -43.4 11.2 26.3 13.5
International Equity Peer Group Median 4.8 4.8 -1.3 8.2 6.3 5.3 -5.3 20.8 18.4 -13.7 11.6 33.5 -44.4 11.9 25.2 15.0
Morgan Stanley International Equity Rank 47 47 55 50 46 63 61 54 35 10 88 92 1 66 76 100
Morgan Stanley International Equity MSCI EAFE Index
0
25
50
75
100Return Percentile Rank6/05 6/06 6/07 6/08 6/09 6/10 6/11 6/12 6/13 6/14 3/15 5.7
6.0
6.3
6.6
6.9
Return (%)14.0 14.5 15.0 15.5 16.0 16.5 17.0 17.5
Risk (Standard Deviation %)
MSCI EAFE Index
Morgan Stanley International Equity
Average Active Weight
0.0 15.0 30.0-15.0
Utilities
Telecommunication Services
Materials
Information Technology
Industrials
Health Care
Financials
Energy
Consumer Staples
Consumer Discretionary
Cash
-3.9
-3.5
0.0
2.6
-6.0
3.1
-6.7
0.2
13.9
-2.2
2.5
Allocation
(Total: 0.3)
0.0 0.3 0.6-0.3-0.6
0.4
0.1
0.0
0.1
-0.1
0.2
0.0
0.0
0.0
-0.1
-0.1
Stock
(Total: -0.3)
0.0 0.6 1.2-0.6-1.2
0.0
0.2
0.2
0.1
-0.6
-0.3
0.6
-0.1
-0.4
-0.1
0.0
Morgan Stanley International Equity
0.0 0.5 1.0 1.5-0.5-1.0-1.5
0.4
0.3
0.2
0.1
-0.6
-0.1
0.6
-0.1
-0.4
-0.1
-0.1
Manager Evaluation
Morgan Stanley International Equity vs. MSCI EAFE Index
As of March 31, 2015
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 0.1 0.2 0.3 0.4 0.5 0.6-0.1-0.2-0.3-0.4-0.5
Pacific
Other
North America
Middle East
Europe ex EMU
EMU
EM Asia
Cash
0.0
0.0
0.0
0.0
-0.1
0.4
-0.1
-0.1
Performance Attribution
Average Active Weight
0.0 10.0 20.0 30.0-10.0-20.0-30.0
Pacific
Other
North America
Middle East
Europe ex EMU
EMU
EM Asia
Cash
-12.1
-0.3
1.1
-0.6
12.6
-4.5
1.3
2.5
Allocation
(Total: -1.0)
0.0 0.2-0.2-0.4-0.6
-0.3
0.0
0.0
0.0
-0.4
0.0
-0.1
-0.1
Stock
(Total: 1.0)
0.0 0.2 0.4 0.6
0.4
0.0
0.0
0.0
0.3
0.4
0.0
0.0
Manager Evaluation
Morgan Stanley International Equity vs. MSCI EAFE Index
1 Quarter Ending March 31, 2015
41
Portfolio Characteristics
Portfolio Benchmark
Wtd. Avg. Mkt. Cap ($M)78,677 62,810
Median Mkt. Cap ($M)32,750 9,305
Price/Earnings ratio 20.0 17.5
Price/Book ratio 2.7 2.2
5 Yr. EPS Growth Rate (%)5.9 11.1
Current Yield (%)2.7 2.9
Debt to Equity 0.7 1.1
Number of Stocks 75 910
Beta (5 Years, Monthly)0.91 1.00
Consistency (5 Years, Monthly)43.33 1.00
Sharpe Ratio (5 Years, Monthly)0.48 0.44
Information Ratio (5 Years, Monthly)0.02 -
Up Market Capture (5 Years, Monthly)94.67 -
Down Market Capture (5 Years, Monthly)92.24 -
Top Ten Equity Holdings
Portfolio
Weight
(%)
Benchmark
Weight
(%)
Active
Weight
(%)
Quarterly
Return
(%)
Nestle SA, Cham Und Vevey 4.7 1.9 2.8 3.0
Reckitt Benckiser Group PLC 4.6 0.4 4.1 6.0
British American Tobacco PLC 4.2 0.7 3.5 -2.5
Unilever NV 4.1 0.5 3.6 6.6
Novartis AG 3.6 1.8 1.8 9.4
Sanofi 3.0 0.9 2.1 7.8
Roche Holding AG 2.9 1.5 1.4 4.8
Toyota Motor Corp 2.7 1.5 1.3 12.4
Diageo PLC 2.7 0.5 2.1 -3.2
Prudential PLC 2.4 0.5 1.9 8.3
% of Portfolio 34.8 10.2
Distribution of Market Capitalization (%)
Morgan Stanley International Equity MSCI EAFE Index
0.0
15.0
30.0
45.0
60.0
>$75 Bil $20 Bil -
$75 Bil
$5 Bil -
$20 Bil
$0 -
$5 Bil
Cash
29.0
39.5
27.2
4.3
0.0
32.8
38.2
24.2
1.8 3.0
Sector Weights (%)
Morgan Stanley International Equity MSCI EAFE Index
0.0 6.0 12.0 18.0 24.0 30.0 36.0
Cash
Utilities
Telecommunication Services
Materials
Information Technology
Industrials
Health Care
Financials
Energy
Consumer Staples
Consumer Discretionary
3.0
0.0
2.9
8.3
5.5
8.2
13.6
19.4
4.6
24.6
9.9
0.0
3.6
4.7
7.5
4.9
12.7
11.4
26.0
5.1
11.0
13.1
Manager Evaluation
Morgan Stanley International Equity vs. MSCI EAFE Index
As of March 31, 2015
42
Morgan Stanley
International Equity MSCI EAFE Index
Australia 1.1 7.3
Hong Kong 0.7 3.1
Japan 19.5 22.2
New Zealand 0.0 0.1
Singapore 0.0 1.5
Pacific 21.3 34.3
Austria 0.0 0.2
Belgium 0.0 1.3
Finland 0.0 0.9
France 9.4 9.2
Germany 7.4 9.4
Ireland 1.1 0.3
Italy 0.7 2.3
Netherlands 5.7 3.0
Portugal 0.0 0.2
Spain 0.0 3.5
EMU 24.2 30.3
Denmark 0.0 1.6
Norway 0.0 0.6
Sweden 1.8 3.1
Switzerland 15.3 9.3
United Kingdom 32.0 19.8
Europe ex EMU 49.1 34.5
Canada 1.5 0.0
United States 0.0 0.0
Israel 0.0 0.6
Middle East 0.0 0.6
Developed Markets 96.1 99.7
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 0.9 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 0.9 0.0
Czech Republic 0.0 0.0
Egypt 0.0 0.0
Greece 0.0 0.0
Hungary 0.0 0.0
Poland 0.0 0.0
Qatar 0.0 0.0
Russia 0.0 0.0
South Africa 0.0 0.0
Turkey 0.0 0.0
United Arab Emirates 0.0 0.0
EM Europe + Middle East + Africa 0.0 0.0
Emerging Markets 0.9 0.0
Frontier Markets 0.0 0.0
Cash 3.0 0.0
Other 0.0 0.3
Total 100.0 100.0
Manager Evaluation
Morgan Stanley International Equity vs. MSCI EAFE Index
As of March 31, 2015
43
Historical Performance
Buy and Hold Attribution
Risk and Return (Apr - 2010 - Mar - 2015)Three Year Rolling Percentile Ranking
Quarter
Year
To
Date
1
Year
3
Years
5
Years
10
Years 2014 2013 2012 2011 2010 2009 2008 2007 2006 2005
Morgan Stanley Emerging Markets 3.2 3.2 -0.9 1.3 2.3 8.1 -4.5 -0.8 20.2 -18.4 18.5 69.5 -56.4 41.6 38.0 34.5
MSCI Emerging Markets Index 2.2 2.2 0.4 0.3 1.7 8.5 -2.2 -2.6 18.2 -18.4 18.9 78.5 -53.3 39.4 32.2 34.0
Emerging Markets Equity Peer Group Median 1.4 1.4 -1.2 0.6 1.8 8.0 -2.6 -1.1 19.5 -19.2 19.2 74.0 -54.5 37.4 32.3 32.9
Morgan Stanley Emerging Markets Rank 20 20 49 39 40 46 69 47 39 41 55 69 71 25 16 41
Morgan Stanley Emerging Markets MSCI Emerging Markets Index
0
25
50
75
100Return Percentile Rank6/05 6/06 6/07 6/08 6/09 6/10 6/11 6/12 6/13 6/14 3/15 1.0
1.5
2.0
2.5
3.0
Return (%)15.2 15.6 16.0 16.4 16.8 17.2 17.6 18.0 18.4
Risk (Standard Deviation %)
MSCI Emerging Markets Index
Morgan Stanley Emerging Markets
Average Active Weight
0.0 4.0 8.0-4.0-8.0
Utilities
Telecommunication Services
Materials
Information Technology
Industrials
Health Care
Financials
Energy
Consumer Staples
Consumer Discretionary
Cash
-3.1
0.5
-3.6
-1.6
0.2
0.6
2.4
-2.1
1.5
2.7
2.4
Allocation
(Total: 0.2)
0.0 0.2 0.4-0.2-0.4
0.2
0.0
0.2
-0.1
0.0
0.0
-0.1
0.0
0.0
0.0
0.0
Stock
(Total: -0.3)
0.0 0.6 1.2-0.6-1.2
0.0
-0.1
0.1
-0.2
0.2
-0.2
-0.3
-0.2
-0.2
0.6
0.0
Morgan Stanley Emerging Markets
0.0 0.4 0.8 1.2-0.4-0.8
0.2
-0.1
0.3
-0.3
0.2
-0.2
-0.4
-0.2
-0.2
0.7
0.0
Manager Evaluation
Morgan Stanley Emerging Markets vs. MSCI Emerging Markets Index
As of March 31, 2015
Differences between the manager return and the attribution return are due primarily to the effects of fees and portfolio trading.
44
Total Attribution
0.0 0.2 0.4 0.6 0.8-0.2-0.4-0.6-0.8
Pacific
Other
North America
Frontier Markets
Europe ex EMU
EMU
EM Latin America
EM Europe + Middle East + Africa
EM Asia
Cash
-0.4
0.2
0.1
-0.1
-0.1
0.1
-0.2
-0.1
0.4
0.0
Performance Attribution
Average Active Weight
0.0 4.0 8.0-4.0-8.0-12.0
Pacific
Other
North America
Frontier Markets
Europe ex EMU
EMU
EM Latin America
EM Europe + Middle East + Africa
EM Asia
Cash
-2.8
1.6
1.4
1.2
1.8
3.3
2.0
-7.0
-3.9
2.4
Allocation
(Total: -0.5)
0.0 0.2 0.4-0.2-0.4-0.6
-0.3
0.2
0.0
-0.1
-0.1
0.1
-0.2
0.0
-0.1
0.0
Stock
(Total: 0.4)
0.0 0.3 0.6 0.9-0.3-0.6
-0.1
0.0
0.0
0.0
0.0
0.0
0.1
-0.1
0.5
0.0
Manager Evaluation
Morgan Stanley Emerging Markets vs. MSCI Emerging Markets Index
1 Quarter Ending March 31, 2015
45
Portfolio Characteristics
Portfolio Benchmark
Wtd. Avg. Mkt. Cap ($M)39,481 45,442
Median Mkt. Cap ($M)8,489 5,226
Price/Earnings ratio 15.3 13.0
Price/Book ratio 2.7 2.4
5 Yr. EPS Growth Rate (%)22.5 14.3
Current Yield (%)2.0 2.7
Debt to Equity 0.9 0.9
Number of Stocks 142 836
Beta (5 Years, Monthly)0.89 1.00
Consistency (5 Years, Monthly)51.67 1.00
Sharpe Ratio (5 Years, Monthly)0.22 0.18
Information Ratio (5 Years, Monthly)0.06 -
Up Market Capture (5 Years, Monthly)90.92 -
Down Market Capture (5 Years, Monthly)88.36 -
Top Ten Equity Holdings
Portfolio
Weight
(%)
Benchmark
Weight
(%)
Active
Weight
(%)
Quarterly
Return
(%)
Tencent Holdings LTD 3.3 2.5 0.8 30.9
Bank of China Ltd 3.0 1.2 1.8 2.5
Samsung Electronics Co Ltd 2.9 3.7 -0.8 7.0
Taiwan Semiconductor Manufacturing 2.6 2.9 -0.4 4.3
China Mobile Ltd 2.0 2.1 0.0 11.9
Fomento Economico Mex 2.0 0.5 1.5 6.2
BRF SA 1.9 0.3 1.6 -16.5
Naspers Ltd 1.9 1.6 0.3 17.8
Samsonite International SA 1.6 0.0 1.6 17.2
China Life Insurance Co Ltd 1.5 0.8 0.7 11.5
% of Portfolio 22.7 15.6
Distribution of Market Capitalization (%)
Morgan Stanley Emerging Markets MSCI Emerging Markets Index
0.0
15.0
30.0
45.0
60.0
>$75 Bil $20 Bil -
$75 Bil
$5 Bil -
$20 Bil
$0 -
$5 Bil
Cash
17.4
26.5
40.2
15.9
0.0
16.3 16.1
43.2
20.0
4.4
Sector Weights (%)
Morgan Stanley Emerging Markets MSCI Emerging Markets Index
0.0 8.0 16.0 24.0 32.0 40.0
Cash
Utilities
Telecommunication Services
Materials
Information Technology
Industrials
Health Care
Financials
Energy
Consumer Staples
Consumer Discretionary
4.4
0.4
7.9
4.2
17.7
6.9
3.2
28.1
4.1
9.7
13.4
0.0
3.3
7.3
7.0
19.1
6.8
2.4
28.5
8.0
8.1
9.4
Manager Evaluation
Morgan Stanley Emerging Markets vs. MSCI Emerging Markets Index
As of March 31, 2015
46
Morgan Stanley
Emerging Markets
MSCI Emerging
Markets Index
Australia 0.0 0.0
Hong Kong 3.7 7.3
Japan 0.3 0.0
New Zealand 0.0 0.0
Singapore 0.5 0.1
Pacific 4.5 7.4
Austria 2.1 0.0
Belgium 0.0 0.0
Finland 0.0 0.0
France 0.0 0.0
Germany 0.0 0.0
Ireland 0.0 0.0
Italy 0.0 0.0
Netherlands 0.4 0.0
Portugal 1.0 0.0
Spain 0.0 0.0
EMU 3.5 0.0
Denmark 0.0 0.0
Norway 0.0 0.0
Sweden 0.0 0.0
Switzerland 0.7 0.0
United Kingdom 0.7 0.0
Europe ex EMU 1.4 0.0
Canada 0.0 0.0
United States 1.3 0.1
Israel 0.0 0.0
Middle East 0.0 0.0
Developed Markets 10.6 7.5
Morgan Stanley
Emerging Markets
MSCI Emerging
Markets Index
Brazil 5.5 7.3
Cayman Islands 0.0 0.0
Chile 0.6 1.4
Colombia 0.8 0.6
Mexico 6.6 4.7
Peru 1.1 0.3
Virgin Islands 0.0 0.0
EM Latin America 14.6 14.3
China 11.7 15.6
India 10.4 7.5
Indonesia 2.6 2.8
Korea 12.6 15.0
Malaysia 0.9 3.5
Philippines 4.3 1.4
Taiwan 10.0 12.8
Thailand 3.0 2.4
EM Asia 55.5 61.0
Czech Republic 1.1 0.2
Egypt 0.5 0.2
Greece 0.0 0.3
Hungary 0.0 0.2
Poland 2.6 1.5
Qatar 0.3 0.8
Russia 0.5 3.7
South Africa 6.3 8.0
Turkey 0.0 1.5
United Arab Emirates 0.0 0.6
EM Europe + Middle East + Africa 11.4 17.1
Emerging Markets 81.5 92.5
Frontier Markets 1.5 0.0
Cash 4.4 0.0
Other 2.0 0.0
Total 100.0 100.0
Manager Evaluation
Morgan Stanley Emerging Markets vs. MSCI Emerging Markets Index
As of March 31, 2015
47
Historical Performance
Three Year Rolling Percentile Ranking Risk and Return (Apr-2010 - Mar-2015)
Historical Statistics (Apr-2010 - Mar-2015)
Quarter
Year
To
Date
1
Year
3
Years
5
Years
10
Years 2014 2013 2012 2011 2010 2009 2008 2007 2006 2005
Income Research 1.5 1.5 3.7 2.7 3.9 5.1 3.3 -0.9 5.9 5.6 6.2 14.4 0.8 7.4 4.5 2.8
Barclays Intermediate U.S. Government/Credit 1.4 1.4 3.6 2.3 3.5 4.3 3.1 -0.9 3.9 5.8 5.9 5.2 5.1 7.4 4.1 1.6
Intermediate Duration Fixed Income Peer Group Median 1.5 1.5 3.5 3.0 4.1 4.8 3.4 -0.6 5.1 4.6 6.1 9.8 -1.8 5.5 4.0 1.5
Income Research Rank 40 40 47 58 61 23 55 61 41 28 49 24 29 9 14 1
Income Research
Barclays Intermediate U.S. Government/Credit
0
25
50
75
100Return Percentile Rank6/05 6/06 6/07 6/08 6/09 6/10 6/11 6/12 6/13 6/14 3/15
2.8
3.2
3.6
4.0
4.4
4.8
Return (%)2.2 2.3 2.4
Risk (Standard Deviation %)
Barclays Intermediate U.S. Government/Credit
Income Research
Return
Standard
Deviation
Excess
Return Alpha Beta
Sharpe
Ratio
Tracking
Error
Information
Ratio
Downside
Risk Consistency
Inception
Date
Income Research 3.9 2.3 3.8 0.6 0.9 1.7 0.7 0.5 1.0 60.0 18y 2m
Barclays Intermediate U.S. Government/Credit 3.5 2.4 3.4 0.0 1.0 1.5 0.0 N/A 1.0 0.0 18y 2m
90 Day U.S. Treasury Bill 0.1 0.0 0.0 0.1 0.0 N/A 2.3 -1.5 0.0 20.0 18y 2m
Manager Evaluation
Income Research vs. Barclays Intermediate U.S. Government/Credit
As of March 31, 2015
48
Portfolio Characteristics
Portfolio Benchmark
Effective Duration 3.8 3.9
Avg. Maturity 4.5 4.3
Avg. Quality AA-AA
Yield To Maturity (%)1.9 1.5
Credit Quality Distribution (%)
Income Research
Barclays Intermediate U.S. Government/Credit
0.0
25.0
50.0
75.0
100.0
AAAAAABBBNot Rated65.0
6.1
14.5 14.4
0.0
48.7
9.2
17.9
23.6
0.6
Maturity Distribution (%)
Income Research
Barclays Intermediate U.S. Government/Credit
0.0
15.0
30.0
45.0
60.0
< 1 Yr1 < 3 Yrs3 < 5 Yrs5 < 10 Yrs10 < 20 Yrs> 20 Yrs0.0
40.6
26.3
33.1
0.0 0.0
12.0
23.3
31.6 29.9
2.1 1.1
Sector Distribution (%)
Income Research
Barclays Intermediate U.S. Government/Credit
0.0
25.0
50.0
75.0
100.0
TreasuriesAgenciesCreditMBSABSNon-USEmergingMunicipalsCashOtherCMBS56.7
5.6
24.6
0.0 0.0
10.6
2.5 0.0 0.0 0.0 0.0
19.1
0.8
40.9
3.6
9.3
0.0 0.0 3.1 0.6
8.6
14.0
Manager Evaluation
Income Research vs. Barclays Intermediate U.S. Government/Credit
As of March 31, 2015
49
Historical Performance
Three Year Rolling Percentile Ranking Risk and Return (Apr-2010 - Mar-2015)
Historical Statistics (Apr-2010 - Mar-2015)
Quarter
Year
To
Date
1
Year
3
Years
5
Years
10
Years 2014 2013 2012 2011 2010 2009 2008 2007 2006 2005
Penn Capital 2.3 2.3 0.1 5.4 7.0 N/A 0.2 5.9 13.3 4.2 15.0 37.5 -21.0 1.8 8.9 N/A
BofA Merrill Lynch US High Yield, Cash Pay Index 2.5 2.5 2.0 7.4 8.4 8.0 2.4 7.4 15.4 4.5 15.2 56.3 -26.2 2.2 11.6 2.8
High Yield Fixed Income Peer Group Median 2.5 2.5 1.9 7.2 8.2 7.5 2.4 7.4 15.3 4.0 14.7 47.3 -24.3 2.6 10.7 3.1
Penn Capital Rank 66 66 84 96 89 N/A 88 78 80 46 41 79 25 74 84 N/A
Penn Capital
BofA Merrill Lynch US High Yield, Cash Pay Index
0
25
50
75
100Return Percentile Rank6/05 6/06 6/07 6/08 6/09 6/10 6/11 6/12 6/13 6/14 3/15
4.0
6.0
8.0
10.0
Return (%)4.6 4.8 5.0 5.2 5.4 5.6 5.8 6.0 6.2 6.4
Risk (Standard Deviation %)
BofA Merrill Lynch US High Yield, Cash Pay Index
Penn Capital
Return
Standard
Deviation
Excess
Return Alpha Beta
Sharpe
Ratio
Tracking
Error
Information
Ratio
Downside
Risk Consistency
Inception
Date
Penn Capital 7.0 5.2 6.9 -0.1 0.9 1.3 1.4 -0.9 2.5 30.0 9y 9m
BofA Merrill Lynch US High Yield, Cash Pay Index 8.4 5.9 8.2 0.0 1.0 1.4 0.0 N/A 3.0 0.0 9y 9m
90 Day U.S. Treasury Bill 0.1 0.0 0.0 0.1 0.0 N/A 5.9 -1.4 0.0 25.0 9y 9m
Manager Evaluation
Penn Capital vs. BofA Merrill Lynch US High Yield, Cash Pay Index
As of March 31, 2015
50
Portfolio Characteristics
Portfolio Benchmark
Effective Duration 4.6 4.4
Avg. Maturity 6.8 6.2
Avg. Quality B BB+
Yield To Maturity (%)6.5 6.6
Credit Quality Distribution (%)
Penn Capital
BofA Merrill Lynch US High Yield, Cash Pay Index
0.0
20.0
40.0
60.0
80.0
AAAAAABBBBBBBelow BNot Rated0.0 0.0 0.0 0.0
47.3
40.1
12.7
0.00.0 0.0 0.0 0.7
32.8
63.2
0.0 3.3
Maturity Distribution (%)
Penn Capital
BofA Merrill Lynch US High Yield, Cash Pay Index
0.0
50.0
100.0
150.0
< 1 Yr1 < 3 Yrs3 < 5 Yrs5 < 10 Yrs10 < 20 Yrs> 20 Yrs0.0
10.4
21.9
61.0
4.2 2.53.6 2.6
17.4
73.2
0.9 2.4
Sector Distribution (%)
Penn Capital
BofA Merrill Lynch US High Yield, Cash Pay Index
0.0
50.0
100.0
150.0
High YieldCashOther100.0
0.0 0.0
96.2
3.6 0.2
Manager Evaluation
Penn Capital vs. BofA Merrill Lynch US High Yield, Cash Pay Index
As of March 31, 2015*
_______________________
*Portfolio information is represented as of 12/31/2014. Data as of 3/31/2015 was not yet available at the time of report production.
51
Historical Performance
Three Year Rolling Percentile Ranking Risk and Return (Apr-2010 - Mar-2015)
Historical Statistics (Apr-2010 - Mar-2015)
Quarter
Year
To
Date
1
Year
3
Years
5
Years
10
Years 2014 2013 2012 2011 2010 2009 2008 2007 2006 2005
Loomis Credit Asset Fund 2.3 2.3 4.5 6.6 7.4 N/A 4.3 4.4 14.2 3.3 N/A N/A N/A N/A N/A N/A
50% BC Credit / 25% S&P LSTA / 25% BY High Yield 2.3 2.3 4.5 5.6 6.6 6.3 4.8 2.1 11.0 5.8 10.6 34.3 -15.9 3.6 6.8 3.0
Alternative Credit Focus Funds Peer Group Median 1.1 1.1 0.7 2.8 3.8 4.2 1.1 0.7 8.5 1.1 7.8 21.9 -12.7 4.5 5.9 1.6
Loomis Credit Asset Fund Rank 7 7 8 1 1 N/A 12 15 6 21 N/A N/A N/A N/A N/A N/A
Loomis Credit Asset Fund
50% BC Credit / 25% S&P LSTA / 25% BY High Yield
0
25
50
75
100Return Percentile Rank6/05 6/06 6/07 6/08 6/09 6/10 6/11 6/12 6/13 6/14 3/15
5.6
6.4
7.2
8.0
8.8
Return (%)2.4 2.7 3.0 3.3 3.6 3.9 4.2 4.5 4.8
Risk (Standard Deviation %)
50% BC Credit / 25% S&P LSTA / 25% BY High Yield
Loomis Credit Asset Fund
Return
Standard
Deviation
Excess
Return Alpha Beta
Sharpe
Ratio
Tracking
Error
Information
Ratio
Downside
Risk Consistency
Inception
Date
Loomis Credit Asset Fund 7.4 4.1 7.2 -0.5 1.2 1.7 1.7 0.5 1.6 65.0 5y
50% BC Credit / 25% S&P LSTA / 25% BY High Yield 6.6 3.2 6.4 0.0 1.0 2.0 0.0 N/A 1.0 0.0 5y
90 Day U.S. Treasury Bill 0.1 0.0 0.0 0.1 0.0 N/A 3.2 -2.0 0.0 15.0 5y
Manager Evaluation
Loomis Credit Asset Fund vs. 50% BC Credit / 25% S&P LSTA / 25% BY High Yield
As of March 31, 2015
52
Portfolio Characteristics
Portfolio
Effective Duration 4.9
Avg. Maturity 8.4
Avg. Quality BB+
Yield To Maturity (%)4.8
Credit Quality Distribution (%)
Loomis Credit Asset Fund
0.0
10.0
20.0
30.0
40.0
AAAAAABBBBBBBelow BNot Rated4.9
3.0
15.9
26.4 26.8
20.2
2.2 0.6
Maturity Distribution (%)
Loomis Credit Asset Fund
0.0
15.0
30.0
45.0
60.0
< 1 Yr1 < 3 Yrs3 < 5 Yrs5 < 10 Yrs10 < 20 Yrs7.3
12.2
25.3
42.9
12.3
Sector Distribution (%)
Loomis Credit Asset Fund
0.0
15.0
30.0
45.0
TreasuriesAgenciesCreditHigh YieldMBSABSNon-USEmergingCashOtherCMBS1.2 0.1
28.1 27.8
4.0 4.8
0.2 0.9
4.2
25.7
3.0
Manager Evaluation
Loomis Credit Asset Fund
As of March 31, 2015
*Other is bank loans.
53
Historical Performance
Three Year Rolling Percentile Ranking Risk and Return (Apr-2010 - Mar-2015)
Historical Statistics (Apr-2010 - Mar-2015)
Quarter
Year
To
Date
1
Year
3
Years
5
Years
10
Years 2014 2013 2012 2011 2010 2009 2008 2007 2006 2005
Brandywine Global Opportunistic Fixed Income -0.4 -0.4 1.6 4.1 6.9 6.8 6.3 -3.5 14.1 8.0 13.9 20.5 -8.5 10.6 8.4 -0.9
Citigroup World Government Bond -2.5 -2.5 -5.5 -1.6 1.4 3.1 -0.5 -4.0 1.6 6.4 5.2 2.6 10.9 11.0 6.1 -6.9
Global Fixed Income Peer Group Median -0.1 -0.1 -0.9 1.7 3.6 4.3 1.4 -1.7 7.5 3.7 6.1 12.0 -2.1 7.7 5.7 0.7
Brandywine Global Opportunistic Fixed Income Rank 53 53 32 19 4 9 15 69 15 12 10 25 74 18 21 55
Brandywine Global Opportunistic Fixed Income
Citigroup World Government Bond
0
25
50
75
100Return Percentile Rank6/05 6/06 6/07 6/08 6/09 6/10 6/11 6/12 6/13 6/14 3/15
-10.0
-5.0
0.0
5.0
10.0
15.0
Return (%)5.5 5.6 5.7 5.8 5.9
Risk (Standard Deviation %)
Citigroup World Government Bond
Brandywine Global Opportunistic Fixed Income
Return
Standard
Deviation
Excess
Return Alpha Beta
Sharpe
Ratio
Tracking
Error
Information
Ratio
Downside
Risk Consistency
Inception
Date
Brandywine Global Opportunistic Fixed Income 6.9 5.7 6.8 5.6 0.9 1.2 3.0 1.7 1.8 80.0 10y 3m
Citigroup World Government Bond 1.4 5.6 1.5 0.0 1.0 0.3 0.0 N/A 3.1 0.0 10y 3m
90 Day U.S. Treasury Bill 0.1 0.0 0.0 0.1 0.0 N/A 5.6 -0.3 0.0 50.0 10y 3m
Manager Evaluation
Brandywine Global Opportunistic Fixed Income vs. Citigroup World Government Bond
As of March 31, 2015
54
Portfolio Characteristics
Portfolio Benchmark
Effective Duration 5.5 7.5
Avg. Maturity 11.1 8.4
Avg. Quality A AA
Yield To Maturity (%)3.4 0.9
Credit Quality Distribution (%)
Brandywine Global Opportunistic Fixed Income
Citigroup World Government Bond
0.0
25.0
50.0
75.0
100.0
AAAAAABBBBBBBelow B17.1
68.4
2.4
12.2
0.0 0.0 0.0
19.7 22.7
30.0
17.8
6.9 2.0 1.0
Maturity Distribution (%)
Brandywine Global Opportunistic Fixed Income
Citigroup World Government Bond
0.0
15.0
30.0
45.0
< 1 Yr1 < 3 Yrs3 < 5 Yrs5 < 10 Yrs10 < 20 Yrs> 20 Yrs0.0
26.5
18.5
27.0 28.0
0.0
6.1
24.1
7.2
28.9
7.1
26.6
Sector Distribution (%)
Brandywine Global Opportunistic Fixed Income
Citigroup World Government Bond
0.0
25.0
50.0
75.0
100.0
TreasuriesCreditHigh YieldMBSABSNon-USEmergingMunicipalsCashOther32.7
0.0 0.0 0.0 0.0
67.3
0.0 0.0 0.0 0.0
13.3
7.8
0.1 3.1 0.0
57.1
14.6
0.7 2.7 0.7
Manager Evaluation
Brandywine Global Opportunistic Fixed Income vs. Citigroup World Government Bond
As of March 31, 2015*
_______________________
*Portfolio information is represented as of 12/31/2014. Data as of 3/31/2015 was not yet available at the time of report production.
55
Historical Performance
Three Year Rolling Percentile Ranking Risk and Return (Jul-2010 - Mar-2015)
Historical Statistics (Jul-2010 - Mar-2015)
Quarter
Year
To
Date
1
Year
3
Years
5
Years
10
Years 2014 2013 2012 2011 2010 2009 2008 2007 2006 2005
Pictet Emerging Local Currency Debt Fund -4.3 -4.3 -11.4 -5.0 N/A N/A -6.3 -10.3 15.3 -2.3 N/A N/A N/A N/A N/A N/A
JPM GBI-EM Global Diversified -4.0 -4.0 -11.1 -3.9 0.7 6.3 -5.7 -9.0 16.8 -1.8 15.7 22.0 -5.2 18.1 15.2 6.3
Emerging Markets LC Peer Group Median -3.5 -3.5 -10.4 -4.3 -0.2 N/A -6.0 -10.4 16.7 -3.3 14.3 24.1 N/A N/A N/A N/A
Pictet Emerging Local Currency Debt Fund Rank 81 81 65 74 N/A N/A 59 49 70 38 N/A N/A N/A N/A N/A N/A
Pictet Emerging Local Currency Debt Fund
JPM GBI-EM Global Diversified
0
25
50
75
100Return Percentile Rank6/05 6/06 6/07 6/08 6/09 6/10 6/11 6/12 6/13 6/14 3/15
-2.0
0.0
2.0
4.0
Return (%)9.3 9.6 9.9 10.2 10.5 10.8 11.1
Risk (Standard Deviation %)
JPM GBI-EM Global Diversified
Pictet Emerging Local Currency Debt Fund
Return
Standard
Deviation
Excess
Return Alpha Beta
Sharpe
Ratio
Tracking
Error
Information
Ratio
Downside
Risk Consistency
Inception
Date
Pictet Emerging Local Currency Debt Fund -0.2 9.7 0.2 -1.3 0.9 0.0 1.0 -1.5 6.5 15.8 4y 9m
JPM GBI-EM Global Diversified 1.2 10.4 1.6 0.0 1.0 0.2 0.0 N/A 6.6 0.0 4y 9m
90 Day U.S. Treasury Bill 0.1 0.0 0.0 0.1 0.0 N/A 10.3 -0.2 0.0 52.6 4y 9m
Manager Evaluation
Pictet Emerging Local Currency Debt Fund vs. JPM GBI-EM Global Diversified
As of March 31, 2015
56
Portfolio Characteristics
Portfolio Benchmark
Effective Duration 4.8 4.9
Avg. Maturity 7.6 7.3
Avg. Quality BBB BBB+
Yield To Maturity (%)6.5 0.7
Credit Quality Distribution (%)
Pictet Emerging Local Currency Debt Fund
JPM GBI-EM Global Diversified
0.0
20.0
40.0
60.0
80.0
AAAAAABBBBBBBelow BNot Rated0.0 0.1
39.3
57.2
0.2 0.0 0.0 3.20.0 0.1
27.3
53.2
13.7
0.0 0.0
5.7
Sector Distribution (%)
Pictet Emerging Local Currency Debt Fund
JPM GBI-EM Global Diversified
0.0
50.0
100.0
150.0
-50.0
TreasuriesCreditCash100.0
0.0 0.0
94.3
-0.9
6.6
Country/Region Distribution (%)
Pictet Emerging Local Currency Debt Fund
JPM GBI-EM Global Diversified
0.0
15.0
30.0
45.0
AsiaEastern EuropeLatin AmericaAfricaOthers26.6
32.0 29.6
11.8
0.0
26.3
29.1 27.6
11.3
5.7
Manager Evaluation
Pictet Emerging Local Currency Debt Fund vs. JPM GBI-EM Global Diversified
As of March 31, 2015*
_______________________
*Portfolio information is represented as of 12/31/2014. Data as of 3/31/2015 was not yet available at the time of report production.
57
Historical Performance
Comparative Performance and Rolling Return Risk and Return (Apr-2010 - Mar-2015)
Historical Statistics (Apr-2010 - Mar-2015)
Quarter
Year
To
Date
1
Year
3
Years
5
Years
10
Years 2014 2013 2012 2011 2010 2009 2008 2007 2006 2005
GMO Asset Allocation Fund 1.3 1.3 0.9 6.3 6.5 6.2 1.3 12.5 10.4 1.7 7.4 22.4 -19.4 8.6 12.1 9.5
65% MSCI World (Net) / 35% BC Aggregate 2.1 2.1 6.0 9.1 8.3 6.2 5.4 15.9 11.9 -0.7 10.5 21.6 -26.9 8.4 14.4 7.1
Rolling 3 Years Active Return Quarterly Active Return
0.0
8.0
16.0
24.0
-8.0
-16.0Active Return (%)3/97 12/98 9/00 6/02 3/04 12/05 9/07 6/09 3/11 12/12 3/15 4.0
6.0
8.0
10.0
12.0
Return (%)7.2 7.5 7.8 8.1 8.4 8.7 9.0 9.3 9.6 9.9
Risk (Standard Deviation %)
65% MSCI World (Net) / 35% BC Aggregate
GMO Asset Allocation Fund
Return
Standard
Deviation
Excess
Return Alpha Beta
Sharpe
Ratio
Tracking
Error
Information
Ratio
Downside
Risk Consistency
Inception
Date
GMO Asset Allocation Fund 6.5 8.0 6.6 -0.5 0.9 0.8 2.3 -0.8 4.7 30.0 18y 5m
65% MSCI World (Net) / 35% BC Aggregate 8.3 9.2 8.4 0.0 1.0 0.9 0.0 N/A 5.6 0.0 18y 5m
90 Day U.S. Treasury Bill 0.1 0.0 0.0 0.1 0.0 N/A 9.2 -0.9 0.0 25.0 18y 5m
Manager Evaluation
GMO Asset Allocation Fund vs. 65% MSCI World (Net) / 35% BC Aggregate
As of March 31, 2015
58
Manager Evaluation
GMO Asset Allocation Fund
As of March 31, 2015
Fund Composition Asset Class Weights
US Quality
13.4%
US Opportunis ti c
Va lue
2.0%
Europe Value
As set Backed
Securities
4.5%
Em erging Country
Debt
4.6%
Al pha Only
7.0%
Cash and Cash
Equivalents
5.7%
15.4%
24.8%
11.9%
29.4%
12.7%15.0%
20.0%
25.0%
30.0%
35.0%
Europe Value
17.7%
Other International
Op portunisti c Value
1.6%Japan
5.5%
Em erging Markets
11.9%System atic Global
Ma cro
3.1%
Risk Prem ium
2.7%
Developed Rates
20.2%
11.9%
5.8%
12.7%
0.0%
5.0%
10.0%
15.0%
59
Historical Performance
Comparative Performance and Rolling Return Risk and Return (Apr-2010 - Mar-2015)
Historical Statistics (Apr-2010 - Mar-2015)
Quarter
Year
To
Date
1
Year
3
Years
5
Years
10
Years 2014 2013 2012 2011 2010 2009 2008 2007 2006 2005
Lighthouse Global Long/Short Fund Limited 3.7 3.7 7.9 9.7 6.9 6.5 4.9 20.2 6.1 -2.1 5.2 10.1 -14.1 13.9 11.3 12.0
HFRI Equity Hedge (Total) Index 2.1 2.1 2.8 6.1 4.7 4.8 1.8 14.3 7.4 -8.4 10.5 24.6 -26.7 10.5 11.7 10.6
Rolling 3 Years Active Return Quarterly Active Return
0.0
8.0
16.0
-8.0
-16.0Active Return (%)3/04 3/05 3/06 3/07 3/08 3/09 3/10 3/11 3/12 3/13 3/14 3/15 0.0
2.0
4.0
6.0
8.0
10.0
Return (%)2.7 3.6 4.5 5.4 6.3 7.2 8.1 9.0 9.9 10.8
Risk (Standard Deviation %)
HFRI Equity Hedge (Total) Index
Lighthouse Global Long/Short Fund Limited
Return
Standard
Deviation
Excess
Return Alpha Beta
Sharpe
Ratio
Tracking
Error
Information
Ratio
Downside
Risk Consistency
Inception
Date
Lighthouse Global Long/Short Fund Limited 6.9 5.3 6.8 4.3 0.5 1.3 4.9 0.4 2.4 55.0 11y 3m
HFRI Equity Hedge (Total) Index 4.7 8.4 4.9 0.0 1.0 0.6 0.0 N/A 5.8 0.0 11y 3m
90 Day U.S. Treasury Bill 0.1 0.0 0.0 0.1 0.0 N/A 8.4 -0.6 0.0 35.0 11y 3m
Manager Evaluation
Lighthouse Global Long/Short Fund Limited vs. HFRI Equity Hedge (Total) Index
As of March 31, 2015
60
Portfolio Characteristics
Portfolio
Manager Count 22
Net Exposure %32.2
Leverage 101.4
# Managers Funded 1
# Managers Redeemed 2
Region Allocation (Net Geographic Exposure)
Asia
11.3%
Europe
21.0%
Other
10.4%
United States
57.3%
Strategy Allocation
Value
11.8%
Trading
19.0%
Event Driven
16.7%
Sector Specialist
52.5%
Manager Evaluation
Lighthouse Global Long/Short Fund
As of March 31, 2015*
_______________________
*Portfolio information is represented as of 12/31/2014. Data as of 3/31/2015 was not yet available at the time of report production.
61
Historical Performance
Comparative Performance and Rolling Return Risk and Return (Apr-2010 - Mar-2015)
Historical Statistics (Apr-2010 - Mar-2015)
Quarter
Year
To
Date
1
Year
3
Years
5
Years
10
Years 2014 2013 2012 2011 2010 2009 2008 2007 2006 2005
UBS Trumbull Property Fund 2.7 2.7 10.9 9.5 11.5 6.4 10.4 9.2 9.0 12.1 15.9 -22.9 -8.3 12.8 15.6 20.1
NCREIF Fund Index-Open End Diversified Core Equity 3.4 3.4 13.2 12.4 14.3 6.7 12.3 13.3 11.0 16.0 16.1 -30.7 -10.4 16.1 16.1 20.2
Rolling 3 Years Active Return Quarterly Active Return
0.0
4.0
8.0
-4.0
-8.0
-12.0Active Return (%)3/78 6/81 9/84 12/87 3/91 6/94 9/97 12/00 3/04 6/07 9/10 3/15 6.0
9.0
12.0
15.0
18.0
Return (%)1.5 1.6 1.7 1.8 1.9 2.0
Risk (Standard Deviation %)
NCREIF Fund Index-Open End Diversified Core Equity
UBS Trumbull Property Fund
Return
Standard
Deviation
Excess
Return Alpha Beta
Sharpe
Ratio
Tracking
Error
Information
Ratio
Downside
Risk Consistency
Inception
Date
UBS Trumbull Property Fund 11.5 1.9 11.0 -2.1 1.0 5.9 1.0 -2.7 0.0 5.0 37y 3m
NCREIF Fund Index-Open End Diversified Core Equity 14.3 1.7 13.6 0.0 1.0 8.2 0.0 N/A 0.0 0.0 37y 3m
90 Day U.S. Treasury Bill 0.1 0.0 0.0 -0.1 0.0 N/A 1.6 -8.2 0.0 0.0 37y 3m
Manager Evaluation
UBS Trumbull Property Fund vs. NCREIF Fund Index-Open End Diversified Core Equity
As of March 31, 2015
62
Portfolio Characteristics
Portfolio Benchmark
# Properties 200 6,863
# Investors 418 N/A
Total Fund Assets 16,100 426,004
Property Type
UBS Trumbull Property Fund NCREIF Property Index
0.0
15.0
30.0
45.0
60.0
OfficeApartmentRetailIndustrialOtherHotel37.6
24.2 23.3
13.4
0.0 1.5
30.0
34.0
22.0
9.0
0.0
5.0
Property Location
UBS Trumbull Property Fund NCREIF Property Index
0.0
15.0
30.0
45.0
60.0
EastWestSouthMidwestOther34.3 35.5
20.7
9.5
0.0
39.8
23.0
14.9 12.9 9.4
Manager Evaluation
UBS Trumbull Property Fund vs. NCREIF Property Index
As of March 31, 2015
_______________________
*Portfolio information is represented as of 12/31/2014. Data as of 3/31/2015 was not yet available at the time of report production.
63
Type City
Ac quis ition
Da te
%
Occupa nc y Cos t ($000)
Fa ir Ma rket
Value ($000)
Office Ne w York Ju n-06 100%657,000$ 657,000$
Office Bo ston Dec-11 97%673,000$ 673,000$
Re tail Ca mb rid ge May-89 97%559,400$ 561,877$
Re tail Da lla s Dec-02 93%506,000$ 506,000$
Apart me nts Ne w York Ju l-11 95%487,000$ 487,000$
Office Ne w York Ju l-11 98%271,909$ 452,723$
Re tail Ch ic ag o No v-13 96%262,609$ 457,330$
Office Ne w York Se p-14 93%280,884$ 453,540$
Office Ch ic ag o Dec-11 100%463,000$ 467,988$
As of Ma rch 31,2015
20 La rge st Inve st me nts
Manager Evaluation
UBS Trumbull Property Fund
As of March 31, 2015
Office Ch ic ag o Dec-11 100%463,000$ 467,988$
Re tail Eme ry ville Aug-14 99%305,000$ 305,000$
Re tail Montebello Dec-88 99%283,000$ 283,000$
Office Washin gton May-06 80%260,000$ 260,000$
Office De nver Ju n-06 94%251,000$ 251,000$
Office Se attle Oc t-84 85%265,000$ 265,000$
Apart me nts Br ookly n Dec-07 97%252,000$ 252,000$
Office Sa n Fra ncis co Dec-85 88%227,000$ 230,794$
Office De nver Apr-82 91%214,000$ 214,000$
Office Pa sadena May-84 99%223,000$ 223,000$
Re tail Millb ury Se p-04 100%194,700$ 194,700$
Apart me nts Arlin gton Mar-13 95%68,107$ 190,357$
All o ther in vestme nts ----11,173,829$ 11,151,871$
Total Properties 17,877,438$ 18,537,180$
*Portfolio information is represented as of 12/31/2014.Data as of 3/31/2015 was not yet available at the time of report production.
64
Historical Performance
Comparative Performance and Rolling Return Risk and Return (Apr-2010 - Mar-2015)
Historical Statistics (Apr-2010 - Mar-2015)
Quarter
Year
To
Date
1
Year
3
Years
5
Years
10
Years 2014 2013 2012 2011 2010 2009 2008 2007 2006 2005
Wellington Diversified Inflation Hedges -2.8 -2.8 -17.0 -6.5 -1.6 N/A -12.8 -3.9 5.2 -8.6 N/A N/A N/A N/A N/A N/A
Wellington DIH Multi-Asset Inflation Index -3.3 -3.3 -16.1 -6.0 -1.9 2.3 -11.4 -2.1 2.3 -7.0 12.7 30.0 -32.7 25.8 14.1 19.7
Rolling 3 Years Active Return Quarterly Active Return
0.0
2.0
4.0
-2.0
-4.0Active Return (%)6/10 12/10 6/11 12/11 6/12 12/12 6/13 12/13 6/14 3/15 -2.4
-2.1
-1.8
-1.5
-1.2
Return (%)13.2 13.8 14.4 15.0 15.6 16.2 16.8 17.4
Risk (Standard Deviation %)
Wellington DIH Multi-Asset Inflation Index
Wellington Diversified Inflation Hedges
Return
Standard
Deviation
Excess
Return Alpha Beta
Sharpe
Ratio
Tracking
Error
Information
Ratio
Downside
Risk Consistency
Inception
Date
Wellington Diversified Inflation Hedges -1.6 16.1 -0.4 0.7 1.1 0.0 2.4 0.2 11.8 60.0 5y
Wellington DIH Multi-Asset Inflation Index -1.9 14.3 -1.0 0.0 1.0 -0.1 0.0 N/A 10.6 0.0 5y
90 Day U.S. Treasury Bill 0.1 0.0 0.0 0.1 0.0 N/A 14.3 0.1 0.0 50.0 5y
Manager Evaluation
Wellington Diversified Inflation Hedges vs. Wellington DIH Multi-Asset Inflation Index
As of March 31, 2015
65
Manager Evaluation
We llington Diversified Inflation Hedges Sector Allocation
As of March 31, 2015
Fund Composition Fund Weights Relative to Benchmark
Energy
27.5%TIPS
7.5%
Emerging
Markets
Inflati on-Linked
Bonds
3.4%
Cash
2.2%
6.9%
0.5%
4.9%
0.0%
5.0%
10.0%
15.0%
20.0%
Global Inflation-Sensitive Equities
Commodities
Fixed Income & Cash
Meta ls &
Mi ni ng
6.3%
Agri culture
5.4%
Enduring
Assets
10.3%
Precious
Metals
1.6%
Inflati on
Op portuni ties
11 .8 %
Commoditi es
24.1%
-12.2%
-2 0.0%
-1 5.0%
-1 0.0%
-5 .0 %
Eq ui ties Fi xed In come Commo dities Cash
66
Calendar Year Performance
67
Year
To
Date 2014 2013 2012 2011 2010 2009 2008 2007 2006
Total Composite 2.0 2.9 10.9 12.1 1.2 11.2 20.2 -20.2 10.7 11.8
Policy Benchmark 1.3 3.5 12.3 11.6 1.1 11.5 19.5 -20.6 8.3 13.0
Total Equity Composite 3.7 4.7 N/A N/A N/A N/A N/A N/A N/A N/A
MSCI AC World Index 2.3 4.2 22.8 16.1 -7.3 12.7 34.6 -42.2 11.7 21.0
Domestic Equity Composite 3.3 (28)10.1 (23)N/A N/A N/A N/A N/A N/A N/A N/A
Russell 3000 Index 1.8 (63)12.6 (8)33.6 (40)16.4 (26)1.0 (16)16.9 (39)28.3 (59)-37.3 (38)5.1 (62)15.7 (31)
Broad Equity Peer Group Median 2.3 8.2 32.5 14.6 -2.1 16.2 29.6 -38.4 6.5 13.6
International Equity Composite 4.6 (29)-5.5 (65)N/A N/A N/A N/A N/A N/A N/A N/A
MSCI AC World ex USA Index 3.5 (65)-3.9 (37)15.3 (54)16.8 (72)-13.7 (32)11.2 (74)41.4 (64)-45.5 (36)16.7 (66)26.7 (55)
International Equity Peer Group Median 4.0 -4.7 15.6 18.5 -15.2 13.6 44.1 -47.0 18.3 27.0
Fixed Income Composite 0.5 (100)2.4 (83)-1.7 (82)10.9 (1)3.8 (72)8.7 (10)18.9 (8)-3.4 (70)6.4 (26)5.6 (8)
Barclays Intermediate U.S. Government/Credit 1.4 (51)3.1 (61)-0.9 (55)3.9 (70)5.8 (22)5.9 (54)5.2 (100)5.1 (13)7.4 (9)4.1 (42)
Intermediate Duration Fixed Income Peer Group Median 1.5 3.4 -0.6 5.1 4.6 6.1 9.8 -1.8 5.5 4.0
Tactical Asset Allocation Composite 1.3 1.3 12.5 10.4 1.7 7.4 22.4 -19.4 8.6 12.3
60% World / 40% Agg 2.1 5.4 14.5 11.3 0.0 10.2 20.4 -24.7 8.3 13.6
Alternatives Composite 3.4 1.5 N/A N/A N/A N/A N/A N/A N/A N/A
3 Month T-Bills + 3%0.7 3.0 3.1 3.1 3.1 3.1 3.2 5.1 8.2 8.0
Calendar Year Performance
Composite Performance
As of March 31, 2015
_________________________
See appendix for a description of the benchmarks and universe. Performance is reported net of fees.
68
Capital Markets Review
69
Capital Markets Rev iew
Economy
0
10
20
30
40
50
60
0 25 50 75 10 0Probability (%)Fed Rate Increase (bps)
Interest Rate Hike Expectations Fall
4/29/201 5
6/17/201 5
7/29/201 5
9/17/201 5
10/28/20 15
12/16/20 15
1/27/201 6
FOMC
Me etings:
3/31/2015
3/31/2014
Source: Bloomberg
0.5
0.7
0.9
1.1
1.3
1.5
1.7
1.9
2.1
2.3
$/Foreign Currency US D Reaches Multi-Year Highs
$/Euro $/Swiss Franc $/Pound
$/100 Yen $/$CAN
So ur ce: Bloomberg
Interest Rate Hike Delayed as Economic Growth Remains Tepid
•The Federal Reserve maintained its ultra-low interest rate policy,further pushing
back its expected timeline for raising rates.Investors lowered expectations for a
rate increase after the Fed lowered its unemployment rate target to 5.0-5.2%from
5.5%,and cited economic growth’s recent dependency on low rates.Not wanting
to quash economic expansion by raising rates too early remains a tenet of Janet
Yellen’s philosophy.
•The Saudi Arabian plan to maintain market share in the global crude oil market
began to take its toll on U.S.and Canadian oil producers.WTI crude prices fell to
six year lows,prompting drillers to significantly lower their rig counts and layoff
thousands of workers.Although U.S.oil output continued to rise,concerns over
diminishing storage capacity added to the price drop,fueling fears that a global oil
glut might further bring down prices.By quarter end,prices had rebounded to the
mid-$50/barrel range as demand ticked up and expectations of future U.S.
production diminished.
•The euro fell to 2003 levels as it broke the $1.05/€value during April.Long-term
interest rates in Germany,Finland and Switzerland went negative as the ECB
bond-buying program added to the euro’s weakness.The Swiss National Bank
decoupled the Swiss franc from the euro to prevent inflation caused by the weak
euro.The Bank of Canada surprised with a 0.25%rate cut in January,citing a
sharp drop in oil prices as a risk to growth.Greece continued to teeter on the edge
of default as a new government threatened to not repay loans unless payback
terms were eased.European lenders balked at the idea,forcing Greek leaders to
abide by current loan covenants.
25 0
30 0
35 0
40 0
45 0
50 0
Barrels (Millions)U.S.Crude Oil in St or age
So ur ce:D.O.E.
70
-12.0%
-8.0%
-4.0%
0.0%
4.0%
8.0%
12.0%
3.5%
7.6%
5.3%4.9%
3.5%
1.0%
-6.0%
5.2%
2.2%2.0%1.9%
-9.6%
1st Quarter and Trailing One-Year Sector Returns
Capital Markets Rev iew
Equities
1st Quarter 2015 World Equity Returns (USD)
Developed Markets Emerging Markets
10.6%
-13.4%
10.5%
7.9%
3.7%
16.6%
17.3%
12.4%
4.0%
16.8%
27.6%
-4.6%
-2.2%
-0.7%
0.4%
1.0%
1.3%
1.7%
1.8%
1.9%
4.7%
7.8%
-20.0%-10.0%0.0%10.0%20.0%30.0%
Utilities
Energy
Financials
In dustrials
Materials
Cons.Stapl es
In fo Tech
Russell 30 00
Te lecom
Cons. Disc.
Health Care 1Q 15
On e
Year
1.6%
4.3%
-0.7%
2.0%
3.8%
6.6%
12.7%
8.2%
9.3%
4.4%
16.1%
12.1%
-2.0%
0.0%
2.0%
4.0%
6.0%
8.0%
10.0%
12.0%
14.0%
16.0%
18.0%
Russell
1000
In dex
Russell
2000
Index
Russell
1000
Value
Russell
2000
Value
Russell
1000
Growth
Russell
2000
Growth
1Q15 One Year
Russell 1000 Index vs. Russell 2000 Index Central Bank Measures Boost Markets;Strong USD a Hindrance
•The Russell 3000 Index experienced modest gains during the first quarter,
returning 1.8%.Stocks fell sharply to start the quarter as the price of crude oil
continued to fall;however,domestic indices rebounded strongly mid-quarter with
oil price stabilization,positive European economic data,and Fed reassurances
that they were in no hurry to raise interest rates.Equity markets gave back much
of their mid-quarter gains late in the quarter on worse-than-expected U.S.
economic data and a strengthening U.S.dollar.
•After lagging behind in 2014,small-caps outperformed large-caps.Small-cap
indices have less exposure to both the energy sector and foreign currency relative
to large-caps,which shielded them from falling oil prices and a strengthening U.S.
dollar.Additionally,quarterly performance dispersion among growth and value
styles was its largest in more than five years during the first quarter as growth
stocks outpaced value stocks.
•Non-U.S.equities outperformed domestic equities.Aggressive central bank
stimulus action,particularly from the ECB and Bank of Japan,bolstered non-U.S.
equities.However,given the increased stimulus measures and anticipation of the
first U.S.interest rate hike sometime in 2015,most currencies depreciated versus
the U.S.dollar,hindering U.S.dollar-denominated returns.Despite the
strengthening U.S.dollar and weakening commodity prices,emerging market
equities also advanced in U.S.dollar terms.
Broad Va lue Growth
71
Source: Barclays
Source: Barclays
Duration-adjusted Excess Returns to Treasuries (bps) Trailing Ten-Year High Yield Spreads vs. Energy Sector
Capital Markets Rev iew
Fixed Income
Best Period Second Best Period Wors t Period Second W orst Period
2008 2009 2010 2011 2012 2013 2014 1Q15
Aggre ga te -710 746 171 -114 226 93 10 -9
Age ncy -110 288 77 -25 166 1 10 -3
MBS -232 495 225 -106 91 98 40 -50
ABS -2223 2496 169 52 246 24 53 14
CMBS -3274 2960 1501 47 841 97 108 37
Cre dit -1786 1990 192 -322 693 226 -18 17
Hi gh Yield -3832 5955 974 -240 1394 923 -112 109
Em erging -2842 3797 508 -537 1503 -32 -120 49
0
250
500
750
1000
1250
1500
1750
2000
Option-Adjusted Spread (OAS)U.S. High Yie ld - OAS
U.S. HY 10-Year Average
HY Energy - OAS
HY Energy 10-Year Av erage
-1 .2%
-1 .0%
-0 .8%
-0 .6%
-0 .4%
-0 .2%
0.0%
0.2%Change in YieldMa turity (Years)
1Q 15
1 Yr E nd ing 1Q15
US Treasury Yield Curve Change by Maturity
Source: US Dept of The Treasury
Risk Appetite Returns in First Quarter
•All major fixed income sectors generated positive total returns during the first
quarter as continued global central bank accommodation bolstered investor
demand for risk assets.U.S.rates declined across the curve in response to
dovish comments from the Fed,softer domestic economic data,and growing
demand from global investors as many Europeans face negative yields in their
home markets.TIPS lagged nominal Treasuries during the quarter as
inflations expectations remained subdued.
•High yield credit generated the strongest duration-adjusted excess returns to
Treasuries during the quarter.Although the sector remained volatile,high yield
energy spreads tightened after reaching six-year highs in December.Energy
spreads have traded inside the broader high yield segment for much of the past
ten years,but remained considerably wider at quarter-end.
•Within the securitized markets,CMBS and ABS outperformed MBS on a
duration-adjusted basis.MBS lagged due to elevated interest rate volatility and
faster-than-expected prepayment speeds.
•Global government rates generally declined as many central banks eased
policies to stimulate growth,while the U.S.Dollar continued to rally strongly
against most developed and emerging currencies.
72
Capital Markets Review
Hedge Funds
HFRI Index Performance –First Quarter and Trailing 12 Months Hedge Fund Strategies Sought by Investors over the Next 12 Months
Source: Preqin
55%
38%
17%16%13%11%11%
6%5%5%
0%
10%
20%
30%
40%
50%
60%Proportion of Fund Searches5.7%
6.0%
5.4%
4.3%
3.4%
9.5%
1.1%
3.5%
3.0%
-3.6%
1.4%
1.6%
2.4%
2.5%
2.4%
2.4%
3.4%
2.0%
1.7%
2.3%
0.6%
2.1%
-6%-4%-2%0%2%4%6%8%10%12%
BC Aggregate Bond Index
MSCI All-Country World Index
Fund of Fu nds
Hedge Fu nd Composite
Merger Arbitra ge
Gl obal Macro
Event Driven
Equity Market Ne utral
Equity Hedge
Distressed Securities
Converti bl e Arbitrag e
Q1
One
Year
Source: HFR Inc.
Hedge Funds Rise on Macro Trends and Corporate Activity
•Hedge Funds posted their best quarterly performance since the first quarter of
2013,with the HFRI Hedge Fund Composite Index returning 2.4%.All of the
Composites’sub indices,with the exception of the HFRI Equity Hedge:Short
Biased Index,produced positive returns.Managers benefited from trends in
currency and commodity markets as well as continued merger and acquisition
activity.
•Global macro was again the top performing strategy in the first quarter with a return
of 3.4%as CTAs continued to lead the segment.CTAs benefited from trends in oil
and natural gas markets and long exposure to the U.S.dollar as the dollar
continued to appreciate relative to other major currencies.Long/short equity funds
outperformed the S&P 500 for the first time since the fourth quarter 2012.
Managers benefited from increased volatility in global equity markets and corporate
activity,specifically in the health care sector.Distressed was the worst performing
strategy during the quarter as exposure to European stressed and distressed credit
assets dampened results.
•Fund of hedge funds returned 2.5%during the quarter and saw net positive inflows
for the first time since the fourth quarter 2012.Fund of hedge funds managers
benefited from activist investments and sector focused funds,specifically health
care and technology managers.
•The hedge-fund industry saw inflows of $18.2 billion during the first quarter
according to Hedge Fund Research.According to eVestment,hedge fund assets
ended the quarter at a record $2.9 trillion.
Hedge Fund Assets and Flows
-$500 ,000
$0
$500 ,000
$1,0 00,000
$1,5 00,000
$2,0 00,000
$2,5 00,000
$3,0 00,000
Assets ($MM)Net Asse t Flow Estim ated Ass ets
73
NCREIF 3 M on.1 Yr.3 Yrs.5 Yrs.10 Yr s.
NCREIF 3.0%11.8%11.1%12.1%8.4%
Ap artm ents 2.8%10.3%10.7%13.1%8.1%
In dus trials 3.9%13.4%12.1%12.1%8.3%
Offic e 3.1%11.5%10.3%11.3%8.2%
Retail 2.7%13.1%12.5%12.8%9.2%
Hotel 4.3%11.1%9.0%9.5%7.0%
East 2.4%9.3%9.2%9.3%8.0%
Mi dwes t 3.0%11.4%10.6%10.7%7.1%
South 3.2%13.2%12.2%12.3%8.6%
West 3.5%13.6%12.4%13.2%9.1%
20.1x 18.7x17.3x
12.8x
Global U.S.
Capital Markets Review
Real Assets
REIT Valuations Look Expensive
Brent Price Prospects Uncertainty Remains High
Real Estate Return as of December 31, 2014
Real Estate Performs Well; Commodities Prices Suffer
Source: Cohen & Steers
Source: NCREIF
0.1%
5.1%
-7.3%
3.2%
Gl obal U.S.
Price-to-NAV Price/Cash Flow Multiple
5.1%
Curr en t 20 yr Average
Source: IMF, April 2015
Date: March 17, 2015
Brent Price Prospects Uncertainty Remains High •Private real estate returned 3.0%during the fourth quarter and 11.8%during 2014.By
sector,industrial properties experienced the best returns for the quarter and year.By
region,the West and South performed best both in the quarter and year.Low interest
rates and strong property fundamentals contributed to modestly declining cap rates
and property appreciation.During 2014,NCREIF properties appreciated 6.2%on
average.The income return for the year was 5.4%While the income return to real
estate has been declining,it exceeds the yield on core fixed income.
•Following a stellar 2014,U.S.REITs once again outperformed U.S.equities with a
4.8%first quarter return,compared to 1.0%for the S&P 500.Global REITs trailed U.S.
REITs,but still performed strongly with a 4.0%return.Improving European and
Japanese economies are leading to better property fundamentals,while high yields in
comparison to fixed income are attracting capital.Valuations on REITs,however,look
expensive,although yields remain attractive relative to fixed income.
•The Bloomberg Commodity Index declined 6.0%during the first quarter and 27.0%
during the trailing 12 months,led by energy,which returned -8.9%during the quarter
and -48.8%during the trailing 12 months.Rising production,growing stockpiles,and
falling demand have contributed to oil price declines.The Brent futures curve suggests
that oil prices will rise to about $70/barrel sometime in 2016 and about $78/barrel by
December 2020,which implies about a 10%annualized return to oil.One year ago,
the Brent futures curve predicted a decline in oil prices to about $100/barrel currently
and $90/barrel in 2020.Uncertainty,however,remains high.Metals and agricultural
commodities also have declined,but by less.Weaker demand from China has largely
affected metals prices while good weather and strong harvests have put downward
pressure on major crop prices.
74
0
2000
4000
6000
8000
10000
12000
14000
16000
18000
20000
0
5
10
15
20
25
30
35
40
Total Offer Amount ($,Billions)# of IPOsVentu re -B ac ked I PO s #Ventu re -B ac ked I PO s $Value
Venture-Backed IPO ActivityInvestment Horizon Pooled IRR (Preliminary as of 12/31/14)
Fund Type 3 Months 1 Year 3 Years 5 Years 10 Years 20 Years
Early Stage VC 17.0%32.7%23.3%19.9%11.4%53.4%
Late/Expansion Stage VC 4.9%10.4%17.1%20.7%14.0%15.5%
Multi-Stage VC 10.6%20.8%17.8%14.2%10.0%15.5%
Al l Venture Capital 14.0%27.0%21.1%18.2%11.2%34.5%
Small Buyouts 1.3%7.2%10.5%13.6%17.3%13.9%
Medium Buyouts 2.8%8.3%13.7%13.6%17.7%18.4%
Large Buyouts 2.3%9.5%13.6%14.5%15.8%16.7%
Mega Buyouts 2.7%11.4%16.4%15.1%11.3%11.6%
Al l Buyouts 2.6%10.6%15.4%14.8%13.4%14.2%
Mezzanine/Sub Debt 1.0%9.7%12.5%12.4%10.7%10.1%
Distressed 0.8%6.7%14.4%11.9%10.2%11.4%
Al l Private Equity 2.3%11.1%14.9%14.3%12.6%16.2%
MSCI AC World Index 0.5%4.8%15.1%9.8%6.7%6.9%
Capital Markets Rev iew
Pr ivate Equity
Ventu re -B ac ked I PO s #Ventu re -B ac ked I PO s $Value
$0
$20
$40
$60
$80
$100
$120
$140
$,BillionsVC Buyout Rea l A ssets Seconda ry Fu nds Di st re ss ed /SS
Venture-backed IPO Activity Dips Following Banner Year in 2014
•Based on preliminary data as of December 31,2014,the pooled IRR for all
private equity funds exceeded that of the MSCI All Country World Index by 180
basis points during the fourth quarter.For the 2014 calendar year,private
equity funds significantly outperformed global public equity markets.Venture
capital funds performed extremely well in 2014 boosted by a strong IPO
environment.Within the buyout space,large-and mega-cap buyout funds
outperformed their smaller counterparts for the year.
•Private equity fundraising dipped during the first quarter of 2015 compared to
the levels seen in 2014.In total,private equity funds raised approximately $89
billion during 1Q15,a decline of 13%from the prior quarter.However,that total
was just slightly below the amount raised during the same quarter last year and
well above the quarterly averages seen from 2010-2012.
•Venture-backed IPO activity dipped during 1Q15 after completing a banner
year in 2014,the most active year for IPOs since the dot-com bubble in 2000.A
total of 17 venture-backed IPOs with an aggregate offer amount of $1.4 billion
were completed in 1Q15,representing declines of 54%and 58%,respectively,
compared to 1Q14.Additionally,1Q15 ended a string of seven consecutive
quarters with more than 20 IPOs and at least $2.2 billion in aggregate value.
Source: ThomsonOne/Cambridge Associates database, April 2015.
Note: Data is continuously updated and is therefore subject to change.
MSCI AC World Index 0.5%4.8%15.1%9.8%6.7%6.9%
Source: Thomson Reuters, ThomsonOne database, April 2015.
Source: Thomson Reuters & National Venture Capital Association, April 2015.
Global Fundraising
75
Quarter
Year
To
Date
1
Year
2
Years
3
Years
5
Years
7
Years
10
Years
Domestic Equity Indices
Dow Jones Wilshire 5000 1.6 1.6 12.2 17.2 16.2 14.5 9.3 8.4
S&P 500 1.0 1.0 12.7 17.2 16.1 14.5 8.9 8.0
Russell 1000 Index 1.6 1.6 12.7 17.5 16.4 14.7 9.3 8.3
Russell 1000 Growth Index 3.8 3.8 16.1 19.6 16.3 15.6 10.7 9.4
Russell 1000 Value Index -0.7 -0.7 9.3 15.3 16.4 13.8 7.7 7.2
Russell Midcap Index 4.0 4.0 13.7 18.5 18.1 16.2 11.2 10.0
Russell Midcap Growth Index 5.4 5.4 15.6 19.8 17.4 16.4 11.2 10.2
Russell Midcap Value Index 2.4 2.4 11.7 17.2 18.6 15.8 10.9 9.6
Russell 2000 Index 4.3 4.3 8.2 16.3 16.3 14.6 10.5 8.8
Russell 2000 Growth Index 6.6 6.6 12.1 19.4 17.7 16.6 11.9 10.0
Russell 2000 Value Index 2.0 2.0 4.4 13.2 14.8 12.5 8.9 7.5
International Equity Indices
MSCI EAFE 4.9 4.9 -0.9 7.9 9.0 6.2 1.6 4.9
MSCI EAFE Growth Index 5.8 5.8 1.1 7.8 9.0 7.0 2.1 5.6
MSCI EAFE Value Index 3.9 3.9 -2.9 8.1 9.0 5.3 1.0 4.2
MSCI EAFE Small Cap 5.6 5.6 -2.9 9.4 10.7 8.8 4.1 6.2
MSCI AC World Index 2.3 2.3 5.4 10.8 10.7 9.0 4.5 6.4
MSCI AC World ex US 3.5 3.5 -1.0 5.4 6.4 4.8 1.2 5.5
MSCI Emerging Markets Index 2.2 2.2 0.4 -0.5 0.3 1.7 0.6 8.5
Fixed Income Indices
Barclays U.S. Aggregate 1.6 1.6 5.7 2.8 3.1 4.4 4.7 4.9
Barcap Intermediate U.S. Government/Credit 1.4 1.4 3.6 1.7 2.3 3.5 3.8 4.3
Barclays U.S. Long Government/Credit 3.4 3.4 15.7 7.1 7.7 10.2 8.8 7.7
Barclays US Corp: High Yield 2.5 2.5 2.0 4.7 7.5 8.6 9.6 8.2
BofA Merrill Lynch 3 Month U.S. T-Bill 0.0 0.0 0.0 0.0 0.1 0.1 0.3 1.5
Barclays U.S. TIPS 1.4 1.4 3.1 -1.8 0.6 4.3 3.6 4.6
Citigroup Non-U.S. World Government Bond -4.4 -4.4 -9.8 -3.9 -3.3 0.4 0.5 2.5
JPM EMBI Global Diversified (external currency)2.0 2.0 5.6 3.1 5.4 7.1 7.6 8.1
JPM GBI-EM Global Diversified (local currency)-4.0 -4.0 -11.1 -9.2 -3.9 0.7 3.1 6.3
Real Asset Indices
Dow Jones - UBS Commodity -5.9 -5.9 -27.0 -15.5 -11.5 -5.7 -9.6 -3.6
Dow Jones Wilshire REIT 4.7 4.7 25.2 14.4 14.2 16.1 8.6 9.6
Capital Markets Review
Index Returns
As of March 31, 2015
(Percentage Return)
_________________________
Returns for periods greater than one year are annualized.
76
Appendix
77
2013 Acti on
Sep tember •The M et rop olit an St . Louis Sewer District hired Pavilion Advisory Group as their invest ment consult ant.
2014 Acti on
February •Pavilion p resent ed an asset allocat ion and investment and manager struct ure review to the F inance Commit tee.Pavilion recommended t he adop tion
of new asset allocat ion targe ts and allowable ranges that would p ermit the eliminat ion of t he tact ical as set allocat ion and market neut ral s trat egies ,
the ad dit ion of hedge fund strat egies through hedge f und of funds, and the reduction of t he number of managers and exposure to high yield and non-
US debt in the fixed income p ortfolio. T he following asset allocat ion s tructure was p rop os ed:
40% Equit y
35% Fixed Income
25% Alt ernatives
Appendix
History of Investment Decisions
Given Pyramis ' p oor p er formance and rapidly declining as sets in the s trat egy,Pavilion furt her recommended the manager be t erminat ed
immediat ely . T he Commit tee ap proved these recommendations.
Sep tember •Pavilion downgraded PIM CO’s manager rating stat us from “negat iv e w at ch” t o “sell.” Pavilion init ially downgraded PIM CO to “negat iv e w at ch” in
January following the dep art ure of co-CIO Mohamed El-Erian, and noted we would closely monit or t he firm for organiz at ional s tabilit y,asset
flow s,and p erformance.
November & December •Pavilion conducted an equit y long/s hort hedge fund of funds search and p resent ed the rep ort to the F inance Commit tee.Pavilion recommended
Light house C ap it al P artners Global Long/Short Fund which was support ed by Metrop olit an St Louis Sew er St aff. T he F und rep laced PIMCO All
Asset Fund on M arch 1, 2015.
78
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.
Benchmark Comparison
One relative comparison for a fund is with a market index or blend of indices. We call this a benchmark comparison. The benchmark should be
predefined as an objective. This passive investment alternative is one measure for evaluating relative performance success.
Universe Comparison
A 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 performing 1% of managers.
Performance measurement universes are differentiated by time period and asset classes. Investment manager rankings within these broad
Appendix
Benchmark and Universe Descriptions
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.
Policy Benchmark
As of March 1, 2015, The Policy Benchmark consists of 21% Russell 1000 Index, 6% Russell 2000 Index, 11% 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,14% BC Intermediate Gov/Credit Index, 9% Citigroup World Government Bond Index, 5% BofA Merrill Lyn ch US High Yield
Cash Pay Index, 4% HFRI Equity Hedge (Total) Index, 5% JPMorgan GBI-EM Diversified and 5% NCREIF Fund Index-OEDCE.
From April 1, 2014 to March 1, 2015, The Policy Benchmark consists of 21% Russell 1000 Index, 6% Russell 2000 Index, 11% 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,14% BC Intermediate Gov/Credit Index, 9% Citigroup World Government Bond Index, 5% BofA Merrill Lyn ch US
High Yield Cash Pay Index, 4% CPI+5%, 5% We llington DIH Benchmark, 5% JPMorgan GBI-EM Diversified and 5% NCREIF Fund Index-
OEDCE.
79
Policy Benchmark(Cont.)
Prior to April 1, 2014, the Policy Benchmark is comprised of 20% Russell 1000 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
Yi eld Blend Index, 13% BC Intermediate Gov/Credit Index, , 8% Citigroup World Government Bond Index, 5% BofA Merrill Lyn ch US High
Yi eld, Cash Pay Index, 5% 3 Month T-Bills + 3%, 4% CPI + 5%, 5% We llington DIH Multi-Asset Inflation Index, 5% JPM GBI-EM Global
Diversified Index, and 5% NCREIF Fund Index-OEDCE.
Note: Wellington DIH Multi-Asset Inflation Index consists of 50% MSCI ACW Commodity Producers Index, 25% DJ AIG Commodity To tal
Return Index and 25% BC US Treasury Inflation Notes: 1-10 Year
Appendix
Benchmark and Universe Descriptions
80