HomeMy Public PortalAbout2015 2nd Quarter ReportPerformance
Review
Metropolitan St. Louis Sewer
District Pension Plan
2nd 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 69
5 Capital Markets Review 71
6 Appendix 79
Table of Contents
Performance Summary
1
Performance Summary - June 2015
During the second quarter, the Metropolitan St. Louis Sewer District pension plan outperformed its benchmark, reporting an increase of 0.2% while the Policy
Benchmark reported a gain of 0.1%. On a trailing one-year basis, the plan reported a loss of -0.1%, ahead of the Policy Benchmark by 10 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. During June, assets were transitioned away from GMO and to Lighthouse, bringing the alternatives allocation closer to the 15% policy target and the
tactical allocation closer to zero.
Manager Evaluation
Second quarter performance was most significantly impacted by the following managers as they outpaced their respective benchmarks: Vanguard Windsor, T.
Rowe Price Large Cap Growth, Morgan Stanley International Equity, and Morgan Stanley Emerging Markets.
Capital Markets Review
Treasury rates climbed as Fed comments and improved economic data increased market expectations of a rate hike later in 2015. The yield curve steepened
considerably, as 30 year yields increased 57 basis points while 2 year yields moved only eight basis points higher.Performance differences between market caps
and styles were muted during the quarter. Over the trailing one-year period, growth stocks have outperformed significantly due to heavy exposure to the
healthcare and information technology sectors.
U.S. GDP rebounded in the second quarter, though a breakout period of growth remained elusive. Expectations of tepid oil production growth caused crude oil
prices to rebound 25% during the quarter, while Saudi Arabia appeared content with prices near $60/barrel.
The U.S. dollar weakened slightly versus the Euro and Canadian dollar during the quarter. The ongoing Greek tragedy brought a default on an IMF payment as
Greece remained defiant on economic reforms demanded by its creditors. Non-U.S. equities outperformed domestic equities. Most developed country currencies
appreciated versus the USD, benefiting USD-investors.
Pension Plan Executive Summary
2
Pension Plan Executive Summary
Recommendations or Action Items
In June, the Metropolitan St. Louis Sewer District submitted liquidation requests to Penn Capital High Yield, Loomis Sayles Credit and Pictet Local Currency
Emerging Market Debt. Some proceeds were received in June and the remainder will be received in July. Proceeds were used to fund the Prudential Core Plus
bond fund.
Subscription documents have been submitted for the Entrust Capital Diversified Fund. Entrust will be funded on August 1 st through a liquidation of the remaining
assets in the GMO Asset Allocation Fund.
There are no further recommendations at this time.
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
14.0
-2.0
-4.0Return
Quarter Year
To
Date
1
Year
3
Years
5
Years
10
Years
Since
Inception
0.1
1.5
-0.2
7.8
8.7
6.1
8.1
0.2
2.2
-0.1
7.6
8.5
6.2
7.6
Quarter
Year
To
Date
1
Year
3
Years
5
Years
10
Years
Since
Inception
Inception
Period
Total Composite 0.2 2.2 -0.1 7.6 8.5 6.2 7.6 22y 6m
Policy Benchmark 0.1 1.5 -0.2 7.8 8.7 6.1 N/A
Performance Summary
Total Composite vs. Policy Benchmark
As of June 30, 2015
____________
Performance is reported net of fees.
See appendix for full description of the policy benchmark.
5
-7.0
-4.0
-1.0
2.0
5.0
8.0
11.0
14.0
17.0
20.0
ReturnQuarter
Year
To
Date
1
Year
3
Years
5
Years
7
Years
10
Years
Total Composite 0.2 (15)2.2 (46)-0.1 (98)7.6 (98)8.5 (97)5.6 (94)6.2 (73)¢£
5th Percentile 0.7 3.5 6.1 13.1 12.6 8.4 8.0
1st Quartile 0.0 2.7 4.5 11.6 11.7 7.6 7.1
Median -0.3 2.2 3.7 10.8 10.9 7.1 6.6
3rd Quartile -0.6 1.7 2.6 10.0 10.0 6.5 6.2
95th Percentile -1.0 1.1 0.3 8.4 8.8 5.3 5.6
Performance Comparison
All Public Plans <= $500 mil
As of June 30, 2015
_________________________
Performance is reported net of fees.
Parentheses contain percentile rankings.
Calculation based on monthly periodicity.
6
-7.0
-4.0
-1.0
2.0
5.0
8.0
11.0
14.0
17.0
20.0
ReturnQuarter
Year
To
Date
1
Year
3
Years
5
Years
7
Years
10
Years
Total Composite 0.2 (25)2.2 (52)-0.1 (98)7.6 (97)8.5 (95)5.6 (91)6.2 (76)¢£
5th Percentile 0.9 3.6 5.9 12.9 12.6 8.4 7.8
1st Quartile 0.2 2.8 4.5 11.6 11.6 7.4 7.1
Median -0.2 2.3 3.5 10.7 10.8 6.9 6.7
3rd Quartile -0.5 1.8 2.5 9.8 10.0 6.3 6.2
95th Percentile -1.1 1.0 0.5 8.0 8.4 5.2 5.6
Performance Comparison
All Public Plans
As of June 30, 2015
_________________________
Performance is reported net of fees.
Parentheses contain percentile rankings.
Calculation based on monthly periodicity.
7
3 Years 5 Years
5.0
7.0
9.0
11.0
13.0
14.0
Return (%)3.0 3.7 4.4 5.1 5.8 6.5 7.0
Risk (Standard Deviation %)
Policy Benchmark
(5.0 , 7.8)
Total Composite
(5.1 , 7.6)
5.0
7.0
9.0
11.0
13.0
14.0
Return (%)5.0 5.7 6.4 7.1 7.8 8.5 9.0
Risk (Standard Deviation %)
Policy Benchmark
(7.3 , 8.7)
Total Composite
(7.4 , 8.5)
Performance Summary
Risk and Return Summary
As of June 30, 2015
8
Allocation
Market
Value
($)%
Performance(%)
Quarter
Year
To
Date
1
Year
3
Years
5
Years
10
Years
Since
Inception
Inception
Period
Total Composite 254,446,987 100.0 0.2 2.2 -0.1 7.6 8.5 6.2 7.6 22y 6m
Policy Benchmark 0.1 1.5 -0.2 7.8 8.7 6.1 N/A
Total Equity Composite 105,489,998 41.5 0.9 4.6 4.0 N/A N/A N/A 12.7 1y 10m
MSCI AC World IMI 0.7 3.4 1.3 13.9 12.7 7.2 11.5
Domestic Equity Composite 70,074,702 27.5 0.3 (44)3.5 (27)8.0 (20)N/A N/A N/A 15.8 (N/A)1y 10m
Russell 3000 Index 0.1 (49)1.9 (57)7.3 (26)17.7 (26)17.5 (14)8.2 (29)15.9 (N/A)
Broad Equity Peer Group Median 0.1 2.3 4.9 16.6 15.8 7.5 N/A
Large-Cap Equity Composite 54,213,276 21.3 0.5 (37)3.2 (27)8.4 (28)16.8 (49)16.6 (40)8.0 (36)8.8 (N/A)12y 1m
Russell 1000 Index 0.1 (50)1.7 (48)7.4 (36)17.7 (34)17.6 (24)8.1 (32)9.1 (N/A)
Large-Cap Equity Peer Group Median 0.1 1.5 5.8 16.7 16.1 7.4 N/A
Small-Cap Equity Composite 15,861,426 6.2 -0.6 (65)4.6 (42)6.8 (32)19.0 (26)18.2 (24)10.2 (8)12.1 (N/A)12y 1m
Russell 2000 Index 0.4 (44)4.8 (39)6.5 (34)17.8 (40)17.1 (38)8.4 (32)10.5 (N/A)
Small-Cap Equity Peer Group Median 0.1 3.6 4.2 17.2 16.3 7.9 N/A
International Equity Composite 35,415,296 13.9 2.1 (25)6.8 (20)-3.7 (45)N/A N/A N/A 6.5 (N/A)1y 10m
MSCI AC World ex USA Index 0.5 (75)4.0 (77)-5.3 (67)9.4 (52)7.8 (58)5.5 (68)6.4 (N/A)
International Equity Peer Group Median 1.2 5.2 -4.0 9.5 8.0 6.1 N/A
Developed International Equity Composite 27,769,554 10.9 2.2 (30)7.3 (31)-3.3 (55)11.0 (56)10.2 (34)5.4 (58)5.1 (N/A)16y 2m
MSCI EAFE Index 0.6 (73)5.5 (67)-4.2 (64)12.0 (38)9.5 (47)5.1 (64)3.9 (N/A)
Developed International Equity Peer Group Median 1.4 6.4 -3.1 11.4 9.3 5.6 N/A
Emerging International Equity Composite 7,645,742 3.0 1.5 (32)4.8 (16)-5.2 (36)4.0 (44)4.3 (40)7.8 (44)8.0 (41)10y 3m
MSCI Emerging Markets Index 0.7 (50)2.9 (32)-5.1 (35)3.7 (48)3.7 (53)8.1 (37)8.3 (34)
Emerging Markets Equity Peer Group Median 0.7 1.4 -7.0 3.5 3.8 7.5 7.8
Fixed Income Composite 88,337,046 34.7 -1.1 (64)-0.6 (100)-2.9 (100)1.9 (50)3.6 (43)5.0 (14)4.7 (19)12y
Barclays Intermediate U.S. Government/Credit -0.6 (17)0.8 (18)1.7 (23)1.6 (61)2.8 (73)4.0 (71)3.7 (71)
Intermediate Duration Fixed Income Peer Group Median -0.9 0.4 1.2 1.9 3.2 4.3 4.2
Performance Summary
Total Pension Fund Asset Allocation and Performance
As of June 30, 2015
_________________________
Performance is reported net of fees.
9
Performance Summary
Total Pension Fund Asset Allocation and Performance
As of June 30, 2015
Allocation
Market
Value
($)%
Performance(%)
Quarter
Year
To
Date
1
Year
3
Years
5
Years
10
Years
Since
Inception
Inception
Period
Tactical Asset Allocation Composite 17,782,130 7.0 0.4 1.7 -2.3 7.1 8.2 5.9 6.0 12y 1m
65% MSCI World (Net) / 35% BC Aggregate -0.4 1.7 1.7 9.9 9.8 6.0 7.1
Alternatives Composite 17,652,725 6.9 0.9 4.3 -1.7 N/A N/A N/A 4.2 1y 10m
3 Month T-Bills + 3%0.7 1.5 3.0 3.1 3.1 4.5 3.0
Real Estate Composite 14,277,577 5.6 2.6 5.4 11.4 9.7 11.0 6.0 5.4 9y 1m
NCREIF Property Index 3.1 6.8 13.0 11.6 12.7 8.2 7.1
Real Assets Composite 9,385,670 3.7 0.6 -2.2 -21.3 -4.5 0.4 N/A -1.4 5y 3m
Wellington DIH Multi-Asset Inflation Index 0.8 -2.5 -19.7 -3.9 0.1 2.4 -1.7
Cash Account 1,521,841 0.6 0.1 0.1 0.7 0.3 0.2 1.4 1.4 12y 1m
BofA Merrill Lynch 3 Month U.S. T-Bill 0.0 0.0 0.0 0.1 0.1 1.4 1.4
_________________________
Performance is reported net of fees.
10
Allocation
Market
Value
($)%
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 12,811,638 5.0 1.0 (19)1.0 (47)4.3 (48)16.3 (55)16.4 (32)7.1 (43)6.6 (N/A)14y 2m
Russell 1000 Value Index 0.1 (48)-0.6 (77)4.1 (50)17.3 (37)16.5 (30)7.0 (45)6.6 (N/A)
Large-Cap Value Equity Peer Group Median 0.0 0.8 4.1 16.5 15.5 6.9 N/A
Vanguard Institutional Index Fund 15,532,885 6.1 0.3 (44)1.2 (55)7.4 (36)17.3 (42)17.3 (28)7.9 (38)5.1 (66)15y 9m
S&P 500 0.3 (44)1.2 (55)7.4 (36)17.3 (42)17.3 (28)7.9 (38)5.0 (66)
Large-Cap Equity Peer Group Median 0.1 1.5 5.8 16.7 16.1 7.4 5.7
T. Rowe Price Inst. Large-Cap Core Growth 13,031,785 5.1 0.5 (52)6.6 (16)13.1 (20)20.2 (13)20.3 (8)9.5 (26)21.0 (N/A)2y 4m
Russell 1000 Growth Index 0.1 (62)4.0 (52)10.6 (47)18.0 (44)18.6 (27)9.1 (35)18.5 (N/A)
Large-Cap Growth Equity Peer Group Median 0.6 4.1 10.2 17.7 17.4 8.4 N/A
Holland Large Cap Growth 12,836,968 5.0 0.2 (60)4.3 (48)7.5 (74)14.7 (85)16.2 (69)8.4 (52)14.3 (N/A)2y 4m
Russell 1000 Growth Index 0.1 (62)4.0 (52)10.6 (47)18.0 (44)18.6 (27)9.1 (35)18.5 (N/A)
Large-Cap Growth Equity Peer Group Median 0.6 4.1 10.2 17.7 17.4 8.4 N/A
Domestic Small-Cap Equity Managers
Kennedy Mid Cap Value 7,783,413 3.1 -2.8 (91)0.5 (71)1.6 (60)18.1 (36)17.1 (28)N/A 11.0 (3)7y 6m
Russell Midcap Value Index -2.0 (79)0.4 (71)3.7 (46)19.1 (20)17.7 (18)8.9 (33)8.6 (31)
Mid-Cap Value Equity Peer Group Median -0.8 2.1 3.1 17.1 15.9 8.2 7.7
TimesSquare Small Cap Growth Fund 8,078,013 3.2 1.7 (53)9.1 (32)12.7 (27)19.4 (37)19.0 (30)11.5 (9)10.8 (N/A)13y 5m
Russell 2000 Growth Index 2.0 (47)8.7 (40)12.3 (31)20.1 (29)19.3 (20)9.9 (19)8.6 (N/A)
Small-Cap Growth Equity Peer Group Median 1.8 8.5 9.3 18.2 17.7 8.6 N/A
Developed International Equity Manager
Morgan Stanley International Equity Fund I 27,769,554 10.9 2.2 (31)7.2 (32)-3.5 (57)10.9 (60)10.1 (35)5.3 (59)5.0 (62)10y 3m
MSCI EAFE Index 0.6 (73)5.5 (67)-4.2 (64)12.0 (38)9.5 (47)5.1 (64)4.9 (65)
International Equity Peer Group Median 1.4 6.4 -3.1 11.4 9.3 5.6 5.3
Emerging Markets Equity Manager
Morgan Stanley Emerging Markets Fund I 7,645,742 3.0 1.6 (31)4.8 (16)-5.2 (35)4.0 (44)4.3 (40)7.8 (44)8.0 (40)10y 3m
MSCI Emerging Markets Index 0.7 (50)2.9 (32)-5.1 (35)3.7 (48)3.7 (53)8.1 (37)8.3 (34)
Emerging Markets Equity Peer Group Median 0.7 1.4 -7.0 3.5 3.8 7.5 7.8
Performance Summary
Manager Asset Allocation and Performance
As of June 30, 2015
_________________________
Performance is reported net of fees.
11
Performance Summary
Manager Asset Allocation and Performance
As of June 30, 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 37,262,085 14.6 -0.5 (10)1.0 (11)1.8 (19)2.0 (48)3.2 (50)4.8 (18)5.2 (20)14y
Barclays Intermediate U.S. Government/Credit -0.6 (17)0.8 (18)1.7 (23)1.6 (61)2.8 (73)4.0 (71)4.5 (56)
Intermediate Duration Fixed Income Peer Group Median -0.9 0.4 1.2 1.9 3.2 4.3 4.6
Prudential Core Plus Bond Fund 9,614,708 3.8 -2.0 (95)0.1 (39)1.6 (37)3.7 (9)5.5 (7)5.9 (4)-1.4 (92)0y 1m
Barclays U.S. Aggregate -1.7 (56)-0.1 (60)1.9 (20)1.8 (76)3.3 (75)4.4 (61)-1.1 (43)
Market Duration Fixed Income Peer Group Median -1.7 0.0 1.4 2.4 3.9 4.6 -1.1
Penn Capital 3,442,278 1.4 1.2 (7)3.5 (18)-0.5 (66)5.3 (93)7.2 (88)6.2 (88)6.2 (88)10y
BofA Merrill Lynch US High Yield, Cash Pay Index 0.0 (72)2.5 (66)-0.5 (66)6.7 (49)8.4 (48)7.7 (28)7.7 (28)
High Yield Fixed Income Peer Group Median 0.2 2.7 0.0 6.7 8.3 7.3 7.3
Loomis Credit Asset Fund 5,091,623 2.0 -1.0 (82)1.3 (24)1.1 (13)5.8 (3)7.0 (1)N/A 7.2 (1)5y 4m
50% BC Credit / 25% S&P LSTA / 25% BY High Yield -1.3 (88)1.0 (34)0.9 (16)4.4 (10)6.0 (3)5.9 (1)6.2 (4)
Alternative Credit Focus Funds Peer Group Median -0.3 0.6 -0.8 2.4 3.4 3.9 3.7
Brandywine Global Opportunistic Fixed Income 22,640,286 8.9 -3.4 (90)-3.8 (76)-5.7 (57)2.3 (31)5.7 (9)6.3 (9)5.8 (11)10y 6m
Citigroup World Government Bond -1.5 (49)-4.0 (81)-9.0 (81)-2.4 (92)1.1 (91)3.1 (76)2.5 (80)
Global Fixed Income Peer Group Median -1.6 -1.9 -5.0 1.0 3.0 4.0 3.7
Pictet Emerging Local Currency Debt Fund 10,286,066 4.0 -1.1 (52)-5.4 (75)-15.5 (54)-4.8 (73)-0.4 (77)N/A -2.3 (84)3y 9m
JPM GBI-EM Global Diversified -1.0 (44)-4.9 (70)-15.4 (53)-3.8 (32)0.9 (13)5.9 (N/A)-1.1 (40)
Emerging Markets (LC) Fixed Income Peer Group Median -1.1 -4.3 -15.2 -4.3 0.2 N/A -1.4
Tactical Asset Allocation Manager
GMO Asset Allocation Fund 17,782,130 7.0 0.0 (21)1.3 (43)-2.7 (68)7.0 (57)8.1 (56)6.0 (38)5.5 (47)8y 11m
65% MSCI World (Net) / 35% BC Aggregate -0.4 (31)1.7 (33)1.7 (27)9.9 (22)9.8 (30)6.0 (36)5.5 (47)
IM Flexible Portfolio (MF) Median -0.9 0.9 -0.8 7.6 8.5 5.7 5.4
_________________________
Performance is reported net of fees.
12
Performance Summary
Manager Asset Allocation and Performance
As of June 30, 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 17,652,725 6.9 0.9 4.6 7.8 10.9 7.9 6.4 2.5 0y 4m
HFRI Equity Hedge (Total) Index 2.0 4.1 2.6 8.4 6.1 4.9 2.3
Real Estate Manager
UBS Trumbull Property Fund 14,277,577 5.6 2.6 5.4 11.4 9.7 11.0 6.0 5.4 9y 1m
NCREIF Property Index 3.1 6.8 13.0 11.6 12.7 8.2 7.1
Real Asset Manager
Wellington Diversified Inflation Hedges 9,385,670 3.7 0.6 -2.2 -21.3 -4.5 0.4 N/A -1.4 5y 3m
Wellington DIH Multi-Asset Inflation Index 0.8 -2.5 -19.7 -3.9 0.1 2.4 -1.7
Cash Account 1,521,841 0.6 0.1 0.1 0.7 0.3 0.2 1.4 1.4 12y 1m
BofA Merrill Lynch 3 Month U.S. T-Bill 0.0 0.0 0.0 0.1 0.1 1.4 1.4
Total Composite 254,446,987 100.0 0.2 2.2 -0.1 7.6 8.5 6.2 7.6 22y 6m
_________________________
Performance is reported net of fees.
13
14.0
14.8
15.6
16.4
17.2
18.0
18.8
19.6
20.4
21.2
22.0
Return (%)10.0 10.9 11.8 12.7 13.6 14.5 15.4 16.3 17.2 18.1 19.0
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 June 30, 2015
14
-2.0
0.0
2.0
4.0
6.0
8.0
10.0
Return (%)0.0 1.5 3.0 4.5 6.0 7.5 9.0 10.5 12.0 13.5
Risk (Standard Deviation %)
50% BC Credit / 25% S&P LSTA / 25% BY High Yield
JPM GBI-EM Global DiversifiedCitigroup World Government Bond
BofA Merrill Lynch US High Yield, Cash Pay Index
BC Intermediate U.S. Government/Credit
Barclays U.S. Aggregate
Pictet EM LC
Prudential Core Plus Bond Fund
Penn CapitalLoomis Credit Asset
Income Research
Brandywine Global
Performance Summary
Risk and Return Summary - Fixed Income Managers
5 Years Ending June 30, 2015
15
-4.0
-1.0
2.0
5.0
8.0
11.0
14.0
17.0
18.0
Return (%)0.0 2.0 4.0 6.0 8.0 10.0 12.0 14.0 16.0
Risk (Standard Deviation %)
HFRI Equity Hedge (Total) Index
NCREIF Property Index
Lighthouse Global Long/Short Fund Limited
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 June 30, 2015
16
Manager Compliance Checklist
Second 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
Second Quarter 2015
Ma nage rs
Income
Re se arch Prude ntial 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 ++++--+-+
1 Manager performance is evaluated net of investment management fees.
Fiv e year re turn better than benchmark ++++--+-+
Fiv e year ra nkin g better than peer group median ++++--N/A N/A N/A
Perfor mance s tatus ++++--+++
Da te perfo rmance s tatus changed 4Q13 3Q14
Summary status ++Li qu idati ng +Li qu idating Li qu idati ng +++
Da te summa ry status changed 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 290 and 170 basis points over the
three-and five-year periods, ranking in
the 57th and 56th percentile of the
flexible portfolio peer group universe,
respectively.
Liquidating Approximately 30% of assets in GMO were
liquidated in June and the remainder will be
liquidated in the coming months to bring the
alternatives allocation to 15%.
Manager Compliance Checklist
Second Quarter 2015
Loomis
Sayles
Credit Asset
Fund
Asset Flows &
Fixed Income
Structure
Optimization
Asset flows have declined from $1
billion in 2009 to $514 million in Q2 of
2015.
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.
Liquidating 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.
A liquidation notice was submitted and proceeds
will be received in July. Proceeds will be invested
in Prudential.
19
Manager
Compliance
Issue Explanation
Recommended
Action Comments
Wellington Investment
Team
Changes
Lindsay Politi, the Inflation-Linked Bond
Portfolio Manager, left W ellington
during the second quarter. Joe Marvan,
the current portfolio manager of the US
Broad Market Team, will assume
managing responsibilities for the
Inflation-Linked Bond Portfolio while
maintaining his current role.
Hold Ms. Politi is one of seven underlying sector PM’s
in the W ellington DIH strategy. W e believe Mr.
Marvan’s assumption of PM responsibilities for the
Inflation-Linked Bond strategy is an upgrade.
Pictet Performance &
Fixed Income
Structure
The manager underperformed the JPM
GBI-EM Global Diversified Index by
100 basis points over the three-year
Liquidating A liquidation notice was submitted and proceeds
will be received in July. Proceeds will be invested
in Prudential.
Manager Compliance Checklist
Second Quarter 2015
Structure
Optimization
100 basis points over the three-year
period, ranking in the 73rd percentile of
the emerging markets fixed income
peer group universe.
in Prudential.
Income
Research
Investment
Team
Changes
Jen Karpinski, Portfolio Manager on the
Corporate team, has left Income
Research as of June 1st. Her
responsibilities have been reallocated
to the other Corporate Portfolio
Managers on the team.
Hold Given IR+M’s team approach to managing
portfolios we do not have concerns about the
departure.
20
Asset Class Diversification
21
June 30, 2015 : $254,446,987
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
$1,521,841
Real Asset Composite
$9,385,670
Real Estate Composite
$14,277,577
Alternatives Composite
$17,652,725
Tactical Asset Allocation Composite
$17,782,130
Fixed Income Composite
$88,337,046
Emerging International Equity Composite
$7,645,742
Developed International Equity Composite
$27,769,554
Small-Cap Equity Composite
$15,861,426
Large-Cap Equity Composite
$54,213,276
0.0%
5.0%
5.0%
7.0%
7.0%
35.0%
3.0%
11.0%
6.0%
21.0%
0.6%
3.7%
5.6%
6.9%
7.0%
34.7%
3.0%
10.9%
6.2%
21.3%
0.6%
-1.3 %
0.6%
-0.1 %
0.0%
-0.3 %
0.0%
-0.1 %
0.2%
0.3%
Asset Class Diversification
Investment Policy Allocation
As of June 30, 2015*
*Reflects interim allocation while the tactical composite is being liquidated and the alternatives composite ramped up.
22
Asse t Cl ass/Type Manage r
Total Asse ts
($,mil.)as of
6/30/2015
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
3/31/2015
La rge -Ca p Equity $54.2 21.3%20.0%+ 1 .3 %15 -25%$54.6
Co re Va nguard Ins titutional $15.5 6.1%6.0%+ 0.1%$15.5
Va lu e Va nguard Windsor $12.8 5.0%5.0%+ 0.0%$13.0
Gr owth T. Rowe Price $13.0 5.1%5.0%+ 0.1%$13.1
Gr owth Ho lla nd $12.8 5.0%4.0%+ 1.0%$13.1
Small-Ca p Equity $15.9 6.2%6.0%+ 0 .2 %2 -8%$15.5
Va lu e Kennedy $7.8 3.1%3.0%+ 0.1%$8.1
Gr owth Time sSquare $8.1 3.2%3.0%+ 0.2%$7.4
Inte rna ti ona l Equity $35.4 13.9%14.0%- 0 .1 %$34.9
Developed Morgan Stanley $27.8 10.9%11.0%- 0.1%5 -15%$27.8
Eme rg in g Marke ts Morgan Stanley $7.6 3.0%3.0%+ 0.0%2 -8%$7.1
Fix ed Income $88.3 34.7%35.0%- 0 .3 %$87.1
Asset Class Diversification
Investment Program Structure
As of June 30, 2015
Fix ed Income $88.3 34.7%35.0%- 0 .3 %$87.1
Do me stic Core In come Res earch $37.3 14.6%14.0%+ 0.6%10 -20%$36.6
High Yie ld Pe nn Capit al $3.4 1.4%0.0%+ 1.4%0 -7%$12.9
Op portunistic Credit Lo omis $5.1 2.0%0.0%+ 2.0%0 -5%$5.1
Global Br andywin e Glo bal $22.6 8.9%9.0%- 0.1%4 -14%$22.1
Eme rg in g Marke ts De bt Pictet $10.3 4.0%0.0%+ 4.0%0 -7%$10.4
Do me stic Core Plu s Pru dential $9.6 3.8%12.0%- 8.2%10 -20%$0.0
Ta cti ca l $17.8 7.0%0.0%+ 7 .0 %$25.1
Ba la nced GM O $17.8 7.0%0.0%+ 7.0%0 -12%$25.1
Alte rna ti ve s $17.7 6.9%15.0%- 8 .1 %0 -20%$10.2
Hedge Funds Li ghthouse Glo bal $17.7 6.9%7.5%- 0.6%$10.2
Hedge Funds En trust $0.0 0.0%7.5%- 7.5%$0.0
Real Es tate $14.3 5.6%5.0%+ 0 .6 %$13.9
Re al Es tate UBS Tru mb ull $14.3 5.6%5.0%+ 0.6%0 -10%$13.9
Real As set $9.4 3.7%5.0%- 1 .3 %$9.3
Re al Asset Wellin gton $9.4 3.7%5.0%- 1.3%0 -10%$9.3
Ca sh $1.5 0.6%0.0%+ 0 .6 %$1.5
Ca sh Account Ca sh Account $1.5 0.6%0.0%+ 0.6%$1.5
Tota l $254.4 100.0%100.0%+ 0 .0 %$252.0
*Totals may not add to exactly 100.0% due to rounding.
23
Portfolio Characteristics
Portfolio Benchmark
Wtd. Avg. Mkt. Cap ($M)83,160 79,543
Median Mkt. Cap ($M)12,858 1,479
Price/Earnings ratio 19.7 17.4
Price/Book ratio 3.1 2.6
5 Yr. EPS Growth Rate (%)13.0 12.4
Current Yield (%)2.0 2.4
Debt to Equity 1.0 1.2
Number of Stocks 955 8,645
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 1.2
Reckitt Benckiser Group PLC 1.2 0.1 1.1 1.6
British American Tobacco PLC 1.2 0.2 1.0 3.7
Nestle SA, Cham Und Vevey 1.2 0.5 0.7 -1.6
Amazon.com Inc 1.2 0.4 0.8 16.7
Unilever NV 1.1 0.2 0.9 0.4
Visa Inc 1.0 0.3 0.7 2.8
BTS RAIL MASS TRANSIT GROWTH 1.0 0.0 1.0 N/A
Novartis AG 0.9 0.5 0.4 -0.4
Microsoft Corp 0.9 0.8 0.1 9.3
% of Portfolio 11.3 4.7
Distribution of Market Capitalization (%)
Total Equity Composite MSCI AC World IMI
0.0
15.0
30.0
45.0
>$75 Bil $20 Bil -
$75 Bil
$5 Bil -
$20 Bil
$0 -
$5 Bil
Cash
31.7 30.0
23.3
15.0
0.0
34.2
29.4
22.0
12.6
1.7
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
1.1
1.7
1.4
2.1
4.0
17.0
10.9
14.8
15.7
4.7
11.9
14.8
0.0
0.0
3.1
3.3
5.6
13.8
11.3
12.1
22.0
6.9
8.8
13.1
Equity Portfolio - Characteristics
Total Equity Composite vs. MSCI AC World IMI
As of June 30, 2015
24
Total Equity
Composite MSCI AC World IMI
Australia 0.3 2.3
Hong Kong 0.6 2.0
Japan 5.2 8.2
New Zealand 0.0 0.1
Singapore 0.0 0.6
Pacific 6.1 13.2
Austria 0.1 0.1
Belgium 0.4 0.5
Finland 0.0 0.3
France 2.2 2.9
Germany 2.1 2.9
Ireland 0.8 0.5
Italy 0.1 0.9
Netherlands 1.6 1.1
Portugal 0.1 0.1
Spain 0.0 1.1
EMU 7.5 10.4
Denmark 0.0 0.6
Norway 0.0 0.3
Sweden 0.3 1.1
Switzerland 4.2 3.2
United Kingdom 9.5 7.1
Europe ex EMU 13.9 12.3
Canada 1.1 3.3
United States 62.4 50.7
Israel 0.0 0.2
Middle East 0.0 0.2
Developed Markets 90.9 90.1
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 0.9 1.4
China 1.7 1.7
India 0.6 0.9
Indonesia 0.2 0.3
Korea 0.8 1.6
Malaysia 0.1 0.3
Philippines 0.2 0.1
Taiwan 0.6 1.4
Thailand 1.2 0.3
EM Asia 5.4 6.6
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 0.4
South Africa 0.5 0.8
Turkey 0.0 0.2
United Arab Emirates 0.0 0.1
EM Europe + Middle East + Africa 0.8 1.8
Emerging Markets 7.1 9.8
Frontier Markets 0.1 0.0
Cash 1.7 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 June 30, 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 7.3 4.3
Avg. Quality A AA
Yield To Maturity (%)3.6 1.7
Total Fixed Income Composite
Barclays Intermediate U.S. Government/Credit
0.0
25.0
50.0
75.0
100.0
AAAAAABBBBBBBelow BNot Rated64.6
5.9
14.5 15.0
0.0 0.0 0.0 0.0
28.8
10.9
20.4
25.8
6.9 3.9 3.0 0.3
Consistency
Sharpe
Ratio
Information
Ratio
Up
Market
Capture
Down
Market
Capture
Total Fixed Income Composite 58.3 0.5 0.1 131.4
Barclays Intermediate U.S. Government/Credit 0.0 0.7 N/A 100.0
90 Day U.S. Treasury Bill 41.7 N/A -0.7 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
26.1
33.3
0.0 0.0
6.1
19.5
26.0
30.6
6.4
11.4
Total Fixed Income Composite
Barclays Intermediate U.S. Government/Credit
0.0
25.0
50.0
75.0
100.0
TreasuriesAgenciesCreditHigh YieldMBSABSNon-USEmergingMunicipalsCashOtherCMBS56.5
5.4
25.0
0.0 0.0 0.0
10.5
2.6 0.0 0.0 0.0 0.0
21.9
3.3
24.9
7.1
1.9 6.2
16.3
0.8 1.6 1.3
7.2 7.5
Fixed Income Portfolio - Characteristics
Total Fixed Income Composite vs. Barclays Intermediate U.S. Government/Credit
As of June 30, 2015
26
Manager Evaluation
27
Historical Performance
Buy and Hold Attribution
Risk and Return (Jul - 2010 - Jun - 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 1.0 1.0 4.3 16.3 16.4 7.1 11.3 30.8 16.8 2.8 10.7 27.2 -36.6 2.3 18.4 7.2
Russell 1000 Value Index 0.1 -0.6 4.1 17.3 16.5 7.0 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 0.0 0.8 4.1 16.5 15.5 6.9 10.2 31.7 15.0 -1.5 13.5 25.4 -37.3 2.9 16.6 6.1
Vanguard Windsor II Rank 19 47 48 55 32 43 36 61 28 17 86 41 44 55 35 36
Vanguard Windsor II Russell 1000 Value Index
0
25
50
75
100Return Percentile Rank9/05 9/06 9/07 9/08 9/09 9/10 9/11 9/12 9/13 9/14 6/15 16.2
16.4
16.6
16.8
Return (%)12.0 12.3 12.6 12.9 13.2 13.5 13.8
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
-2.5
0.5
0.3
-1.5
3.6
-1.2
3.4
-8.5
-2.2
1.5
4.5
2.2
Allocation
(Total: 0.0)
0.0 0.2 0.4-0.2-0.4
0.2
0.0
0.0
0.0
0.0
0.0
0.1
-0.2
0.1
0.0
-0.1
0.0
Stock
(Total: 0.9)
0.0 0.6 1.2 1.8-0.6-1.2
0.0
-0.1
0.0
0.1
-0.2
-0.2
-0.2
0.9
0.4
0.2
0.2
0.0
Vanguard Windsor II
0.0 0.4 0.8 1.2 1.6-0.4-0.8
0.1
-0.1
0.0
0.1
-0.2
-0.2
-0.1
0.7
0.5
0.1
0.0
0.0
Manager Evaluation
Vanguard Windsor II vs. Russell 1000 Value Index
As of June 30, 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)107,401 107,214
Median Mkt. Cap ($M)22,156 8,159
Price/Earnings ratio 16.5 17.0
Price/Book ratio 2.4 2.1
5 Yr. EPS Growth Rate (%)8.1 7.5
Current Yield (%)2.6 2.5
Debt to Equity 1.5 0.7
Number of Stocks 267 684
Beta (5 Years, Monthly)0.98 1.00
Consistency (5 Years, Monthly)48.33 1.00
Sharpe Ratio (5 Years, Monthly)1.30 1.30
Information Ratio (5 Years, Monthly)-0.05 -
Up Market Capture (5 Years, Monthly)98.90 -
Down Market Capture (5 Years, Monthly)98.10 -
Top Ten Equity Holdings
Portfolio
Weight
(%)
Benchmark
Weight
(%)
Active
Weight
(%)
Quarterly
Return
(%)
JPMorgan Chase & Co 3.1 2.4 0.7 12.6
Medtronic PLC 2.8 1.0 1.8 -4.5
Microsoft Corp 2.7 1.5 1.2 9.3
Wells Fargo & Co 2.6 2.5 0.1 4.1
Pfizer Inc 2.5 2.0 0.5 -2.8
Citigroup Inc 2.4 1.6 0.8 7.3
Anthem Inc 2.2 0.3 1.8 6.7
PNC Financial Services Group Inc.2.2 0.5 1.7 3.1
Philip Morris International Inc 2.1 0.6 1.5 7.7
Target Corp 2.1 0.5 1.6 0.1
% of Portfolio 24.6 12.9
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
44.7
27.1
22.7
5.5
0.0
48.7
32.4
13.8
2.6 2.6
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
0.4
2.6
2.8
2.6
0.6
13.3
9.0
16.7
22.7
9.0
8.6
11.7
0.0
0.0
5.7
2.5
3.0
11.0
10.2
11.8
29.6
14.2
6.7
5.4
Manager Evaluation
Vanguard Windsor II vs. Russell 1000 Value Index
As of June 30, 2015
*Manager characteristics are updated through 03/31/2015 as current quarter data was not available at the time of report production.
29
Historical Performance
Three Year Rolling Percentile Ranking Relative Performance
Historical Statistics (Jul-2010 - Jun-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 0.3 1.2 7.4 17.3 17.3 7.9 13.7 32.3 16.0 2.1 15.0 26.6 -37.0 5.5 15.8 4.9
S&P 500 Index 0.3 1.2 7.4 17.3 17.3 7.9 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 0.1 1.5 5.8 16.7 16.1 7.4 10.3 32.4 14.6 -1.0 14.0 27.8 -37.5 6.2 13.3 5.9
Vanguard Institutional Index Rank 44 55 36 42 28 38 16 51 36 22 38 56 45 55 32 62
Vanguard Institutional Index S&P 500 Index
0
25
50
75
100Return Percentile Rank9/05 9/06 9/07 9/08 9/09 9/10 9/11 9/12 9/13 9/14 6/15 Cumulative Annualized Over/Under Relative Performance
Over/Under Performance
0.0
0.1
0.2
-0.1
-0.2Return (%)9/05 9/06 9/07 9/08 9/09 9/10 9/11 9/12 9/13 9/14 6/15
Return
Standard
Deviation
Excess
Return Alpha Beta
Sharpe
Ratio
Tracking
Error
Information
Ratio
Downside
Risk Consistency
Inception
Date
Vanguard Institutional Index 17.3 12.4 17.0 0.0 1.0 1.4 0.0 -3.2 6.3 5.0 15y 9m
S&P 500 Index 17.3 12.4 17.0 0.0 1.0 1.4 0.0 N/A 6.3 0.0 15y 9m
90 Day U.S. Treasury Bill 0.1 0.0 0.0 0.1 0.0 N/A 12.4 -1.4 0.0 15.0 15y 9m
Manager Evaluation
Vanguard Institutional Index vs. S&P 500 Index
As of June 30, 2015
30
Portfolio Characteristics
Portfolio Benchmark
Wtd. Avg. Mkt. Cap ($M)133,785 133,863
Median Mkt. Cap ($M)17,911 17,911
Price/Earnings ratio 19.2 19.2
Price/Book ratio 3.1 3.1
5 Yr. EPS Growth Rate (%)13.2 12.8
Current Yield (%)2.1 2.1
Debt to Equity 1.3 1.3
Number of Stocks 506 502
Beta (5 Years, Monthly)1.00 1.00
Consistency (5 Years, Monthly)26.67 1.00
Sharpe Ratio (5 Years, Monthly)1.40 1.41
Information Ratio (5 Years, Monthly)-1.71 -
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 4.0 4.0 0.0 1.2
Microsoft Corp 2.0 2.0 0.0 9.3
Exxon Mobil Corp 1.9 1.9 0.0 -1.3
Johnson & Johnson 1.5 1.5 0.0 -2.4
General Electric Co 1.5 1.5 0.0 8.0
Wells Fargo & Co 1.5 1.5 0.0 4.1
JPMorgan Chase & Co 1.4 1.4 0.0 12.6
Berkshire Hathaway Inc 1.3 1.4 -0.1 -5.7
Procter & Gamble Co (The)1.2 1.2 0.0 -3.7
Pfizer Inc 1.1 1.1 0.0 -2.8
% of Portfolio 17.2 17.3
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
51.6
32.5
15.5
0.4
51.5
32.5
15.6
0.4
Sector Weights (%)
Vanguard Institutional Index S&P 500 Index
0.0 5.0 10.0 15.0 20.0 25.0
Utilities
Telecommunication Services
Materials
Information Technology
Industrials
Health Care
Financials
Energy
Consumer Staples
Consumer Discretionary
2.8
2.3
3.2
19.7
10.1
15.4
16.5
7.9
9.4
12.8
2.8
2.3
3.1
19.7
10.1
15.4
16.5
7.9
9.4
12.8
Manager Evaluation
Vanguard Institutional Index vs. S&P 500 Index
As of June 30, 2015
31
Historical Performance
Buy and Hold Attribution
Risk and Return (Jul - 2010 - Jun - 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 0.5 6.6 13.1 20.2 20.3 9.5 9.3 41.4 18.5 1.5 16.4 43.0 -42.6 13.0 9.1 4.0
Russell 1000 Growth Index 0.1 4.0 10.6 18.0 18.6 9.1 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 0.6 4.1 10.2 17.7 17.4 8.4 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 52 16 20 13 8 26 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 Rank9/05 9/06 9/07 9/08 9/09 9/10 9/11 9/12 9/13 9/14 6/15 16.0
18.0
20.0
22.0
24.0
Return (%)12.0 12.5 13.0 13.5 14.0 14.5 15.0 15.5
Risk (Standard Deviation %)
Russell 1000 Growth Index
T. Rowe Price LCC Growth
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
-0.1
-2.1
-0.3
-4.4
1.1
10.1
1.4
-2.8
-7.8
4.9
Allocation
(Total: 0.7)
0.0 0.3 0.6-0.3-0.6
0.0
0.1
0.0
0.0
-0.1
0.4
0.0
0.0
0.2
0.1
Stock
(Total: -0.3)
0.0 0.4 0.8-0.4-0.8
0.0
0.0
-0.1
-0.1
-0.3
-0.3
0.2
-0.1
0.0
0.3
T. Rowe Price LCC Growth
0.0 0.4 0.8-0.4-0.8
0.0
0.1
-0.1
-0.1
-0.3
0.1
0.2
-0.1
0.2
0.4
Manager Evaluation
T. Rowe Price Large-Cap Core Growth vs. Russell 1000 Growth Index
As of June 30, 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)107,005 128,063
Median Mkt. Cap ($M)28,083 9,279
Price/Earnings ratio 26.0 22.6
Price/Book ratio 5.1 5.6
5 Yr. EPS Growth Rate (%)20.9 18.8
Current Yield (%)0.7 1.5
Debt to Equity 0.9 1.7
Number of Stocks 130 644
Beta (5 Years, Monthly)1.09 1.00
Consistency (5 Years, Monthly)56.67 1.00
Sharpe Ratio (5 Years, Monthly)1.40 1.45
Information Ratio (5 Years, Monthly)0.44 -
Up Market Capture (5 Years, Monthly)106.73 -
Down Market Capture (5 Years, Monthly)101.89 -
Top Ten Equity Holdings
Portfolio
Weight
(%)
Benchmark
Weight
(%)
Active
Weight
(%)
Quarterly
Return
(%)
Amazon.com Inc 5.1 1.6 3.5 16.7
McKesson Corp 3.0 0.5 2.5 -0.5
Priceline Group Inc (The)2.9 0.6 2.4 -1.1
Facebook Inc 2.9 1.8 1.2 4.3
Danaher Corp 2.8 0.1 2.7 1.0
Biogen Inc 2.7 0.9 1.8 -4.3
Visa Inc 2.7 1.2 1.4 2.8
MasterCard Inc 2.6 0.9 1.8 8.4
Actavis PLC 2.5 0.5 2.0 2.0
Google Inc (Class C)2.5 1.5 1.0 -4.8
% of Portfolio 29.6 9.4
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
45.2
31.6
19.9
3.3
46.3
42.6
11.1
0.0
Sector Weights (%)
T. Rowe Price Large-Cap Core Growth
Russell 1000 Growth Index
0.0 6.0 12.0 18.0 24.0 30.0 36.0
Utilities
Telecommunication Services
Materials
Information Technology
Industrials
Health Care
Financials
Energy
Consumer Staples
Consumer Discretionary
0.0
0.0
3.3
25.2
10.2
26.5
7.0
1.6
2.8
23.5
0.0
1.8
3.9
27.1
11.1
18.3
5.2
1.0
10.5
21.0
Manager Evaluation
T. Rowe Price Large-Cap Core Growth vs. Russell 1000 Growth Index
As of June 30, 2015
33
Historical Performance
Buy and Hold Attribution
Risk and Return (Jul - 2010 - Jun - 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 0.2 4.3 7.5 14.7 16.2 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 0.1 4.0 10.6 18.0 18.6 9.1 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 0.6 4.1 10.2 17.7 17.4 8.4 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 60 48 74 85 69 52 82 77 66 14 51 22 22 78 58 93
Holland Large Cap Growth Russell 1000 Growth Index
0
25
50
75
100Return Percentile Rank9/05 9/06 9/07 9/08 9/09 9/10 9/11 9/12 9/13 9/14 6/15 12.0
15.0
18.0
21.0
24.0
Return (%)11.4 11.7 12.0 12.3 12.6 12.9 13.2 13.5
Risk (Standard Deviation %)
Russell 1000 Growth Index
Holland Large Cap Growth
Average Active Weight
0.0 3.0 6.0-3.0-6.0
Utilities
Telecommunication Services
Materials
Information Technology
Industrials
Health Care
Financials
Energy
Consumer Staples
Consumer Discretionary
Cash
-0.1
-2.2
-2.6
2.3
-1.5
0.3
-1.4
0.1
0.8
1.9
2.3
Allocation
(Total: 0.3)
0.0 0.1 0.2-0.1-0.2
0.0
0.1
0.0
0.0
0.1
0.0
0.0
0.0
0.0
0.1
0.0
Stock
(Total: 0.2)
0.0 0.5 1.0-0.5-1.0
0.0
0.0
0.0
0.4
0.3
-0.3
0.1
0.0
-0.5
0.2
0.0
Holland Large Cap Growth
0.0 0.4 0.8-0.4-0.8-1.2
0.0
0.1
0.0
0.4
0.4
-0.3
0.1
0.0
-0.5
0.3
0.0
Manager Evaluation
Holland Large Cap Growth vs. Russell 1000 Growth Index
As of June 30, 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)110,367 128,063
Median Mkt. Cap ($M)39,632 9,279
Price/Earnings ratio 22.6 22.6
Price/Book ratio 4.8 5.6
5 Yr. EPS Growth Rate (%)16.9 18.8
Current Yield (%)1.2 1.5
Debt to Equity 0.6 1.7
Number of Stocks 49 644
Beta (5 Years, Monthly)0.98 1.00
Consistency (5 Years, Monthly)45.00 1.00
Sharpe Ratio (5 Years, Monthly)1.27 1.45
Information Ratio (5 Years, Monthly)-0.71 -
Up Market Capture (5 Years, Monthly)94.24 -
Down Market Capture (5 Years, Monthly)104.93 -
Top Ten Equity Holdings
Portfolio
Weight
(%)
Benchmark
Weight
(%)
Active
Weight
(%)
Quarterly
Return
(%)
Visa Inc 4.6 1.2 3.4 2.8
Apple Inc 4.5 6.8 -2.3 1.2
Adobe Systems Inc 3.6 0.4 3.2 9.6
Amazon.com Inc 3.5 1.6 1.9 16.7
Gilead Sciences Inc 3.5 1.6 1.9 19.7
Priceline Group Inc (The)3.5 0.6 2.9 -1.1
Citrix Systems Inc.3.5 0.1 3.3 9.8
Google Inc (Class C)3.4 1.5 1.9 -4.8
Qualcomm Inc.3.4 0.2 3.2 -9.1
Cisco Systems Inc 3.0 0.0 3.0 -0.2
% of Portfolio 36.3 13.9
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
45.2
31.6
19.9
3.3
0.0
43.0
32.9
18.4
3.5 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
31.1
12.6
14.4
3.7
1.7
11.2
21.7
0.0
0.0
1.8
3.9
27.1
11.1
18.3
5.2
1.0
10.5
21.0
Manager Evaluation
Holland Capital Management vs. Russell 1000 Growth Index
As of June 30, 2015
35
Historical Performance
Buy and Hold Attribution
Risk and Return (Jul - 2010 - Jun - 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 -2.8 0.5 1.6 18.1 17.1 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 -2.0 0.4 3.7 19.1 17.7 8.9 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 -0.8 2.1 3.1 17.1 15.9 8.2 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 91 71 60 36 28 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 Rank9/05 9/06 9/07 9/08 9/09 9/10 9/11 9/12 9/13 9/14 6/15 16.2
16.8
17.4
18.0
18.6
Return (%)14.0 14.4 14.8 15.2 15.6 16.0 16.4 16.8
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
-3.4
-0.3
-3.8
0.5
6.6
-4.6
-7.5
1.8
0.5
7.5
2.8
Allocation
(Total: -0.3)
0.0 0.4 0.8-0.4-0.8
0.2
0.0
0.0
0.0
0.0
-0.4
0.1
-0.1
0.0
-0.1
0.1
Stock
(Total: -1.1)
0.0 0.5 1.0-0.5-1.0-1.5
0.1
0.0
-0.5
0.0
-0.4
-0.6
0.3
0.0
0.2
-0.3
0.0
Kennedy Mid Cap Value
0.0 0.5 1.0-0.5-1.0-1.5-2.0
0.3
0.0
-0.5
0.0
-0.4
-1.0
0.3
-0.1
0.2
-0.4
0.1
Manager Evaluation
Kennedy Mid Cap Value vs. Russell Midcap Value Index
As of June 30, 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)8,086 11,200
Median Mkt. Cap ($M)6,878 6,225
Price/Earnings ratio 16.8 17.9
Price/Book ratio 2.3 2.0
5 Yr. EPS Growth Rate (%)13.7 10.5
Current Yield (%)1.8 2.2
Debt to Equity 1.0 -0.2
Number of Stocks 60 554
Beta (5 Years, Monthly)1.05 1.00
Consistency (5 Years, Monthly)55.00 1.00
Sharpe Ratio (5 Years, Monthly)1.18 1.31
Information Ratio (5 Years, Monthly)-0.12 -
Up Market Capture (5 Years, Monthly)100.87 -
Down Market Capture (5 Years, Monthly)105.83 -
Top Ten Equity Holdings
Portfolio
Weight
(%)
Benchmark
Weight
(%)
Active
Weight
(%)
Quarterly
Return
(%)
Reinsurance Group of America Inc.2.5 0.2 2.3 2.2
Lincoln National Corp 2.2 0.5 1.8 3.4
Woodward Inc 2.2 0.0 2.2 8.0
Gildan Activewear Inc 2.2 0.0 2.2 12.8
Regions Financial Corp 2.1 0.4 1.7 10.2
Hospira Inc 2.1 0.1 2.0 1.0
MAXIMUS Inc.2.1 0.0 2.1 -1.5
Roper Industries Inc.2.1 0.3 1.7 0.4
Huntington Bancshares Inc 2.1 0.3 1.8 2.9
Tyson Foods Inc.2.0 0.4 1.7 11.6
% of Portfolio 21.6 2.2
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
8.5
73.5
18.0
0.01.4
67.7
29.2
1.6
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
1.6
7.9
0.0
3.0
13.5
14.8
7.0
27.3
4.6
4.0
16.3
0.0
10.8
1.6
6.8
9.3
10.0
6.8
32.3
10.4
3.7
8.4
Manager Evaluation
Kennedy Capital Management vs. Russell Midcap Value Index
As of June 30, 2015
37
Historical Performance
Buy and Hold Attribution
Risk and Return (Jul - 2010 - Jun - 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 1.7 9.1 12.7 19.4 19.0 11.5 -2.5 47.7 13.1 2.6 27.3 35.7 -32.3 10.0 16.5 13.4
Russell 2000 Growth Index 2.0 8.7 12.3 20.1 19.3 9.9 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 1.8 8.5 9.3 18.2 17.7 8.6 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 53 32 27 37 30 9 81 31 47 14 53 46 11 49 14 10
TimesSquare Small Cap Growth Russell 2000 Growth Index
0
25
50
75
100Return Percentile Rank9/05 9/06 9/07 9/08 9/09 9/10 9/11 9/12 9/13 9/14 6/15 18.4
18.8
19.2
19.6
20.0
Return (%)17.4 17.6 17.8 18.0 18.2
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
-0.3
0.2
-2.7
4.1
9.1
-12.4
-0.9
0.0
-0.4
-0.9
4.3
Allocation
(Total: -0.8)
0.0 0.4 0.8-0.4-0.8-1.2
0.0
0.0
0.1
0.0
-0.4
-0.5
0.0
0.0
0.0
0.0
-0.1
Stock
(Total: 0.4)
0.0 0.7 1.4-0.7-1.4
0.0
-0.1
0.1
-0.1
-0.6
0.4
0.2
0.2
-0.3
0.6
0.0
TimesSquare Small Cap Growth
0.0 0.6 1.2 1.8-0.6-1.2-1.8
0.0
-0.1
0.3
-0.1
-1.0
-0.1
0.2
0.2
-0.2
0.6
-0.1
Manager Evaluation
TimesSquare Small Cap Growth vs. Russell 2000 Growth Index
As of June 30, 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)2,329 2,087
Median Mkt. Cap ($M)2,014 903
Price/Earnings ratio 30.2 27.6
Price/Book ratio 3.8 4.5
5 Yr. EPS Growth Rate (%)17.6 16.1
Current Yield (%)0.5 0.6
Debt to Equity 0.2 1.1
Number of Stocks 109 1,163
Beta (5 Years, Monthly)0.87 1.00
Consistency (5 Years, Monthly)53.33 1.00
Sharpe Ratio (5 Years, Monthly)1.19 1.10
Information Ratio (5 Years, Monthly)-0.14 -
Up Market Capture (5 Years, Monthly)88.36 -
Down Market Capture (5 Years, Monthly)78.04 -
Top Ten Equity Holdings
Portfolio
Weight
(%)
Benchmark
Weight
(%)
Active
Weight
(%)
Quarterly
Return
(%)
On Assignment Inc 2.0 0.2 1.8 2.4
Ultimate Software Group Inc 2.0 0.0 2.0 -3.3
Wisdomtree Investments Inc 1.9 0.3 1.7 2.8
Albany International Corp.1.7 0.0 1.7 0.5
PolyOne Corp 1.6 0.4 1.2 5.1
Imax Corp 1.6 0.3 1.3 19.5
Bright Horizons Family Solutions Inc 1.6 0.2 1.3 12.7
j2 Global Inc 1.6 0.3 1.2 3.9
Henry (Jack) & Associates Inc.1.6 0.0 1.6 -7.1
MKS Instruments Inc 1.5 0.0 1.5 12.7
% of Portfolio 17.0 1.7
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
0.0
100.0
0.04.0
90.5
5.6
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
5.6
0.0
0.8
1.9
29.7
23.0
11.9
5.4
2.1
3.2
16.5
0.0
0.1
0.8
4.2
23.9
13.2
27.5
7.1
1.5
3.3
18.3
Manager Evaluation
TimesSquare Small Cap Growth vs. Russell 2000 Growth Index
As of June 30, 2015
39
Historical Performance
Buy and Hold Attribution
Risk and Return (Jul - 2010 - Jun - 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 2.2 7.2 -3.5 10.9 10.1 5.3 -6.1 20.4 19.6 -7.6 6.1 21.6 -33.1 9.8 22.5 6.5
MSCI EAFE Index 0.6 5.5 -4.2 12.0 9.5 5.1 -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 1.4 6.4 -3.1 11.4 9.3 5.6 -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 31 32 57 60 35 59 61 54 35 10 88 92 1 66 76 100
Morgan Stanley International Equity MSCI EAFE Index
0
25
50
75
100Return Percentile Rank9/05 9/06 9/07 9/08 9/09 9/10 9/11 9/12 9/13 9/14 6/15 8.5
9.0
9.5
10.0
10.5
11.0
Return (%)12.0 12.6 13.2 13.8 14.4 15.0 15.6 16.2
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
-3.6
-1.8
0.8
0.6
-4.4
2.2
-6.7
-0.5
13.6
-3.2
3.0
Allocation
(Total: -0.3)
0.0 0.1-0.1-0.2-0.3
0.0
-0.1
0.0
0.0
0.0
0.0
-0.1
0.0
0.0
0.0
0.0
Stock
(Total: 1.5)
0.0 0.4 0.8-0.4-0.8
0.0
0.1
0.1
-0.3
0.3
0.0
0.4
0.4
0.4
-0.1
0.0
Morgan Stanley International Equity
0.0 0.3 0.6 0.9-0.3-0.6-0.9
0.0
0.0
0.1
-0.3
0.3
0.0
0.3
0.4
0.4
-0.1
0.0
Manager Evaluation
Morgan Stanley International Equity vs. MSCI EAFE Index
As of June 30, 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 0.7 0.8 0.9-0.1-0.2-0.3-0.4
Pacific
Other
North America
Middle East
Europe ex EMU
EMU
EM Asia
Cash
0.6
0.0
0.0
0.0
0.3
0.2
0.1
0.0
Performance Attribution
Average Active Weight
0.0 15.0 30.0-15.0-30.0
Pacific
Other
North America
Middle East
Europe ex EMU
EMU
EM Asia
Cash
-13.0
-0.3
1.5
-0.6
14.6
-6.1
0.9
3.0
Allocation
(Total: 0.4)
0.0 0.1 0.2 0.3-0.1-0.2
0.0
0.0
0.0
0.0
0.2
0.1
0.1
0.0
Stock
(Total: 0.8)
0.0 0.2 0.4 0.6 0.8 1.0
0.6
0.0
0.0
0.0
0.1
0.1
0.0
0.0
Manager Evaluation
Morgan Stanley International Equity vs. MSCI EAFE Index
1 Quarter Ending June 30, 2015
41
Portfolio Characteristics
Portfolio Benchmark
Wtd. Avg. Mkt. Cap ($M)77,841 60,679
Median Mkt. Cap ($M)31,343 9,383
Price/Earnings ratio 19.0 16.4
Price/Book ratio 2.7 2.2
5 Yr. EPS Growth Rate (%)7.6 11.2
Current Yield (%)2.9 3.0
Debt to Equity 1.2 1.3
Number of Stocks 72 911
Beta (5 Years, Monthly)0.91 1.00
Consistency (5 Years, Monthly)43.33 1.00
Sharpe Ratio (5 Years, Monthly)0.73 0.66
Information Ratio (5 Years, Monthly)0.09 -
Up Market Capture (5 Years, Monthly)95.32 -
Down Market Capture (5 Years, Monthly)90.48 -
Top Ten Equity Holdings
Portfolio
Weight
(%)
Benchmark
Weight
(%)
Active
Weight
(%)
Quarterly
Return
(%)
Reckitt Benckiser Group PLC 4.7 0.4 4.2 1.6
British American Tobacco PLC 4.6 0.8 3.9 3.7
Nestle SA, Cham Und Vevey 4.6 1.8 2.8 -1.6
Unilever NV 4.0 0.5 3.5 0.4
Novartis AG 3.5 1.7 1.8 -0.4
Sanofi 3.0 0.9 2.1 2.8
Roche Holding AG 3.0 1.5 1.4 1.6
Prudential PLC 2.8 0.5 2.3 -2.9
Diageo PLC 2.8 0.6 2.2 4.9
Toyota Motor Corp 2.6 1.4 1.2 -4.1
% of Portfolio 35.5 10.1
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
27.2
41.0
27.6
4.3
0.0
33.3
38.7
24.8
1.5 1.7
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
1.7
0.0
3.3
8.2
4.6
8.4
14.4
19.2
4.8
25.2
10.0
0.0
3.6
4.9
7.4
4.7
12.6
11.2
26.2
5.2
10.9
13.2
Manager Evaluation
Morgan Stanley International Equity vs. MSCI EAFE Index
As of June 30, 2015
42
Morgan Stanley
International Equity MSCI EAFE Index
Australia 1.2 6.9
Hong Kong 0.7 3.3
Japan 19.4 22.9
New Zealand 0.0 0.1
Singapore 0.0 1.4
Pacific 21.3 34.6
Austria 0.0 0.2
Belgium 1.5 1.3
Finland 0.0 0.8
France 7.2 9.2
Germany 7.8 8.8
Ireland 1.6 0.4
Italy 0.4 2.4
Netherlands 5.6 3.0
Portugal 0.0 0.2
Spain 0.0 3.5
EMU 24.1 29.7
Denmark 0.0 1.7
Norway 0.0 0.6
Sweden 1.2 2.9
Switzerland 15.3 9.3
United Kingdom 33.7 20.3
Europe ex EMU 50.1 34.8
Canada 1.8 0.0
United States 0.0 0.0
Israel 0.0 0.6
Middle East 0.0 0.6
Developed Markets 97.3 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 1.0 0.0
India 0.0 0.0
Indonesia 0.0 0.0
Korea 0.0 0.0
Malaysia 0.0 0.0
Philippines 0.0 0.0
Taiwan 0.0 0.0
Thailand 0.0 0.0
EM Asia 1.0 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 1.0 0.0
Frontier Markets 0.0 0.0
Cash 1.7 0.0
Other 0.0 0.3
Total 100.0 100.0
Manager Evaluation
Morgan Stanley International Equity vs. MSCI EAFE Index
As of June 30, 2015
43
Historical Performance
Buy and Hold Attribution
Risk and Return (Jul - 2010 - Jun - 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 1.6 4.8 -5.2 4.0 4.3 7.8 -4.5 -0.8 20.2 -18.4 18.5 69.5 -56.4 41.6 38.0 34.5
MSCI Emerging Markets Index 0.7 2.9 -5.1 3.7 3.7 8.1 -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 0.7 1.4 -7.0 3.5 3.8 7.5 -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 31 16 35 44 40 44 69 47 39 41 55 69 71 25 16 41
Morgan Stanley Emerging Markets MSCI Emerging Markets Index
0
25
50
75
100Return Percentile Rank9/05 9/06 9/07 9/08 9/09 9/10 9/11 9/12 9/13 9/14 6/15 2.4
3.0
3.6
4.2
4.8
5.4
Return (%)14.8 15.2 15.6 16.0 16.4 16.8 17.2 17.6 18.0
Risk (Standard Deviation %)
MSCI Emerging Markets Index
Morgan Stanley Emerging Markets
Average Active Weight
0.0 5.0 10.0-5.0-10.0
Utilities
Telecommunication Services
Materials
Information Technology
Industrials
Health Care
Financials
Energy
Consumer Staples
Consumer Discretionary
Cash
-3.0
0.6
-2.8
-1.5
0.1
0.9
-0.4
-4.0
1.6
4.1
4.4
Allocation
(Total: -0.4)
0.0 0.3 0.6-0.3-0.6
0.0
0.0
0.0
0.1
0.0
0.0
0.0
-0.3
0.0
-0.2
0.0
Stock
(Total: 1.8)
0.0 0.6 1.2 1.8-0.6-1.2
0.1
-0.1
0.3
0.8
-0.3
0.1
-0.4
0.1
0.5
0.6
0.0
Morgan Stanley Emerging Markets
0.0 0.5 1.0 1.5-0.5-1.0
0.2
-0.1
0.3
0.8
-0.3
0.1
-0.4
-0.2
0.5
0.5
0.0
Manager Evaluation
Morgan Stanley Emerging Markets vs. MSCI Emerging Markets Index
As of June 30, 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 0.3 0.6 0.9 1.2 1.5 1.8-0.3-0.6-0.9-1.2
Pacific
Other
North America
Frontier Markets
Europe ex EMU
EMU
EM Latin America
EM Europe + Middle East + Africa
EM Asia
Cash
0.0
-0.1
0.1
0.1
0.1
0.0
-0.4
0.4
1.1
0.0
Performance Attribution
Average Active Weight
0.0 4.0 8.0 12.0-4.0-8.0-12.0
Pacific
Other
North America
Frontier Markets
Europe ex EMU
EMU
EM Latin America
EM Europe + Middle East + Africa
EM Asia
Cash
-2.9
2.0
1.1
1.5
1.4
3.5
0.2
-5.7
-5.5
4.4
Allocation
(Total: 0.1)
0.0 0.1 0.2 0.3 0.4-0.1-0.2-0.3
0.0
-0.1
0.0
0.1
0.1
0.0
0.0
-0.1
0.1
0.0
Stock
(Total: 1.3)
0.0 0.5 1.0 1.5 2.0-0.5-1.0
0.1
0.0
0.1
0.0
0.0
0.0
-0.4
0.5
1.0
0.0
Manager Evaluation
Morgan Stanley Emerging Markets vs. MSCI Emerging Markets Index
1 Quarter Ending June 30, 2015
45
Portfolio Characteristics
Portfolio Benchmark
Wtd. Avg. Mkt. Cap ($M)34,517 44,210
Median Mkt. Cap ($M)9,009 5,552
Price/Earnings ratio 15.4 12.7
Price/Book ratio 2.5 2.1
5 Yr. EPS Growth Rate (%)16.4 12.6
Current Yield (%)2.9 2.9
Debt to Equity 1.0 0.9
Number of Stocks 144 838
Beta (5 Years, Monthly)0.87 1.00
Consistency (5 Years, Monthly)53.33 1.00
Sharpe Ratio (5 Years, Monthly)0.34 0.29
Information Ratio (5 Years, Monthly)0.06 -
Up Market Capture (5 Years, Monthly)89.53 -
Down Market Capture (5 Years, Monthly)85.61 -
Top Ten Equity Holdings
Portfolio
Weight
(%)
Benchmark
Weight
(%)
Active
Weight
(%)
Quarterly
Return
(%)
BTS RAIL MASS TRANSIT GROWTH 13.9 0.0 13.9 N/A
Tencent Holdings LTD 3.0 2.6 0.4 5.3
Bank of China Ltd 2.5 1.3 1.3 17.7
Samsung Electronics Co Ltd 2.5 3.1 -0.6 -12.8
Taiwan Semiconductor Manufacturing 2.1 2.8 -0.7 0.8
BRF SA 1.8 0.4 1.4 6.9
China Mobile Ltd 1.7 2.0 -0.2 -0.6
China Construction Bank Corp 1.6 1.9 -0.3 15.6
Naspers Ltd 1.6 1.6 0.1 1.1
Fomento Economico Mex 1.6 0.4 1.2 -4.0
% of Portfolio 32.3 16.0
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
16.9
26.8
40.7
15.6
0.0
14.2 15.6
36.0
32.2
2.1
Sector Weights (%)
Morgan Stanley Emerging Markets MSCI Emerging Markets 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
13.9
2.1
0.3
6.8
4.9
15.4
6.1
2.9
23.7
3.8
8.7
11.5
0.0
0.0
3.3
7.3
6.9
17.8
6.9
2.5
29.8
8.4
8.1
9.0
Manager Evaluation
Morgan Stanley Emerging Markets vs. MSCI Emerging Markets Index
As of June 30, 2015
46
Morgan Stanley
Emerging Markets
MSCI Emerging
Markets Index
Australia 0.0 0.0
Hong Kong 4.0 7.4
Japan 0.4 0.0
New Zealand 0.0 0.0
Singapore 0.0 0.0
Pacific 4.4 7.4
Austria 1.8 0.0
Belgium 0.0 0.0
Finland 0.0 0.0
France 0.0 0.0
Germany 0.0 0.0
Ireland 0.0 0.0
Italy 0.0 0.0
Netherlands 0.7 0.0
Portugal 0.8 0.0
Spain 0.0 0.0
EMU 3.3 0.0
Denmark 0.0 0.0
Norway 0.0 0.0
Sweden 0.0 0.0
Switzerland 0.5 0.0
United Kingdom 0.7 0.0
Europe ex EMU 1.2 0.0
Canada 0.0 0.0
United States 1.0 0.1
Israel 0.0 0.0
Middle East 0.0 0.0
Developed Markets 10.0 7.5
Morgan Stanley
Emerging Markets
MSCI Emerging
Markets Index
Brazil 5.1 7.6
Cayman Islands 0.0 0.0
Chile 0.4 1.2
Colombia 0.7 0.6
Mexico 5.8 4.5
Peru 1.0 0.3
Virgin Islands 0.0 0.0
EM Latin America 13.0 14.2
China 10.9 17.3
India 8.6 7.7
Indonesia 2.1 2.3
Korea 10.5 14.3
Malaysia 0.7 3.2
Philippines 3.4 1.4
Taiwan 8.4 12.6
Thailand 16.5 2.3
EM Asia 61.2 61.1
Czech Republic 0.9 0.2
Egypt 0.5 0.2
Greece 0.0 0.3
Hungary 0.0 0.2
Poland 2.4 1.5
Qatar 0.1 1.0
Russia 0.4 3.8
South Africa 6.3 7.9
Turkey 0.0 1.5
United Arab Emirates 0.0 0.7
EM Europe + Middle East + Africa 10.6 17.2
Emerging Markets 84.8 92.5
Frontier Markets 1.6 0.0
Cash 2.1 0.0
Other 1.6 0.0
Total 100.0 100.0
Manager Evaluation
Morgan Stanley Emerging Markets vs. MSCI Emerging Markets Index
As of June 30, 2015
47
Historical Performance
Three Year Rolling Percentile Ranking Risk and Return (Jul-2010 - Jun-2015)
Historical Statistics (Jul-2010 - Jun-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 -0.5 1.0 1.8 2.0 3.2 4.8 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 -0.6 0.8 1.7 1.6 2.8 4.0 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 -0.9 0.4 1.2 1.9 3.2 4.3 3.4 -0.6 5.1 4.6 6.1 9.8 -1.8 5.5 4.0 1.5
Income Research Rank 10 11 19 48 50 18 55 61 41 28 49 24 29 9 14 1
Income Research
Barclays Intermediate U.S. Government/Credit
0
25
50
75
100Return Percentile Rank9/05 9/06 9/07 9/08 9/09 9/10 9/11 9/12 9/13 9/14 6/15
2.0
2.4
2.8
3.2
3.6
4.0
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 3.2 2.2 3.2 0.6 1.0 1.4 0.6 0.7 1.0 65.0 18y 5m
Barclays Intermediate U.S. Government/Credit 2.8 2.2 2.7 0.0 1.0 1.2 0.0 N/A 1.0 0.0 18y 5m
90 Day U.S. Treasury Bill 0.1 0.0 0.0 0.1 0.0 N/A 2.2 -1.2 0.0 25.0 18y 5m
Manager Evaluation
Income Research vs. Barclays Intermediate U.S. Government/Credit
As of June 30, 2015
48
Portfolio Characteristics
Portfolio Benchmark
Effective Duration 3.8 3.9
Avg. Maturity 4.4 4.3
Avg. Quality AA-AA
Yield To Maturity (%)2.2 1.7
Credit Quality Distribution (%)
Income Research
Barclays Intermediate U.S. Government/Credit
0.0
25.0
50.0
75.0
100.0
AAAAAABBBNot Rated64.6
5.9
14.5 15.0
0.0
47.0
12.5 16.1
24.2
0.2
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
26.1
33.3
0.0 0.0
7.6
27.4
38.6
21.5
3.8 1.1
Sector Distribution (%)
Income Research
Barclays Intermediate U.S. Government/Credit
0.0
25.0
50.0
75.0
100.0
TreasuriesAgenciesCreditMBSABSNon-USEmergingMunicipalsCashOtherCMBS56.5
5.4
25.0
0.0 0.0
10.5
2.6 0.0 0.0 0.0 0.0
19.2
0.8
41.0
1.9
9.0
0.0 0.0 3.2 0.2
10.2 14.5
Manager Evaluation
Income Research vs. Barclays Intermediate U.S. Government/Credit
As of June 30, 2015
49
Historical Performance
Three Year Rolling Percentile Ranking Risk and Return (Jul-2010 - Jun-2015)
Historical Statistics (Jul-2010 - Jun-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 1.2 3.5 -0.5 5.3 7.2 6.2 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 0.0 2.5 -0.5 6.7 8.4 7.7 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 0.2 2.7 0.0 6.7 8.3 7.3 2.4 7.4 15.3 4.0 14.7 47.3 -24.3 2.6 10.7 3.1
Penn Capital Rank 7 18 66 93 88 88 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 Rank9/05 9/06 9/07 9/08 9/09 9/10 9/11 9/12 9/13 9/14 6/15
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 7.2 5.1 7.1 0.1 0.8 1.4 1.6 -0.7 2.5 30.0 10y
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 10y
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 10y
Manager Evaluation
Penn Capital vs. BofA Merrill Lynch US High Yield, Cash Pay Index
As of June 30, 2015
50
Portfolio Characteristics
Portfolio Benchmark
Effective Duration 4.4 4.5
Avg. Maturity 6.7 6.7
Avg. Quality B+B+
Yield To Maturity (%)6.1 6.5
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
39.5
13.2
0.00.0 0.0 0.0 1.1
36.2
61.0
0.0 1.7
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
10.9
21.9
61.2
3.9 2.12.2 1.7
15.6
76.2
2.1 2.3
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
97.6
2.2 0.2
Manager Evaluation
Penn Capital vs. BofA Merrill Lynch US High Yield, Cash Pay Index
As of June 30, 2015*
_______________________
*Portfolio information is represented as of 03/31/2015. Data as of 06/30/2015 was not yet available at the time of report production.
51
Historical Performance
Three Year Rolling Percentile Ranking Risk and Return (Jul-2010 - Jun-2015)
Historical Statistics (Jul-2010 - Jun-2015)
Quarter
Year
To
Date
1
Year
3
Years
5
Years
10
Years 2014 2013 2012 2011 2010 2009 2008 2007 2006 2005
Prudential Core Plus Bond Fund -2.0 0.1 1.6 3.7 5.5 5.9 7.1 -1.0 10.6 7.6 9.6 18.7 -2.1 4.6 5.1 3.0
Barclays U.S. Aggregate -1.7 -0.1 1.9 1.8 3.3 4.4 6.0 -2.0 4.2 7.8 6.5 5.9 5.2 7.0 4.3 2.4
Market Duration Fixed -1.7 0.0 1.4 2.4 3.9 4.6 5.7 -1.8 7.0 6.7 7.5 12.5 -1.7 5.7 4.2 2.1
Prudential Core Plus Bond Fund Rank 95 39 37 9 7 4 7 26 7 18 19 14 52 71 16 4
Prudential Core Plus Bond Fund Barclays U.S. Aggregate
0
25
50
75
100Return Percentile Rank9/05 9/06 9/07 9/08 9/09 9/10 9/11 9/12 9/13 9/14 6/15 0.0
2.0
4.0
6.0
8.0
10.0
Return (%)2.6 2.8 3.0 3.2 3.4 3.6 3.8 4.0
Risk (Standard Deviation %)
Barclays U.S. Aggregate
Prudential Core Plus Bond Fund
Return
Standard
Deviation
Excess
Return Alpha Beta
Sharpe
Ratio
Tracking
Error
Information
Ratio
Downside
Risk Consistency
Inception
Date
Prudential Core Plus Bond Fund 5.5 3.5 5.4 2.3 1.0 1.6 2.0 1.1 1.7 75.0 16y 1m
Barclays U.S. Aggregate 3.3 3.0 3.3 0.0 1.0 1.1 0.0 N/A 1.4 0.0 16y 1m
90 Day U.S. Treasury Bill 0.1 0.0 0.0 0.1 0.0 N/A 3.0 -1.1 0.0 25.0 16y 1m
Manager Evaluation
Prudential Core Plus Bond Fund vs. Barclays U.S. Aggregate
As of June 30, 2015
52
Portfolio Characteristics
Portfolio Benchmark
Effective Duration 5.9 5.6
Avg. Maturity 4.0 7.9
Avg. Quality A-AA+
Yield To Maturity (%)4.1 2.4
Credit Quality Distribution (%)
Prudential Core Plus Bond Fund Barclays U.S. Aggregate
0.0
25.0
50.0
75.0
100.0
AAAAAABBBBelow B71.4
4.4
11.5 12.7
0.0
33.7
3.7
16.1
22.7 23.8
Maturity Distribution (%)
Prudential Core Plus Bond Fund Barclays U.S. Aggregate
0.0
20.0
40.0
60.0
80.0
< 1 Yr1 < 3 Yrs3 < 5 Yrs5 < 10 Yrs10 < 20 Yrs> 20 Yrs0.0
23.9
19.9
41.2
4.1
10.9
4.0
9.1
26.4
45.8
4.0
10.7
Sector Distribution (%)
Prudential Core Plus Bond Fund Barclays U.S. Aggregate
0.0
15.0
30.0
45.0
60.0
TreasuriesAgenciesCreditHigh YieldMBSABSNon-USEmergingMunicipalsCashOtherCMBS36.1
4.1
20.0
0.0
28.1
0.6
6.8
2.4 0.0 0.0 0.0 1.9
7.0
0.3
31.0
15.6
1.7
19.9
1.4
6.6
0.9 0.7
4.4
10.5
Manager Evaluation
Prudential Core Plus Bond Fund vs. Barclays U.S. Aggregate
As of June 30, 2015*
_______________________
*Portfolio information is represented as of 03/31/2015. Data as of 06/30/2015 was not yet available at the time of report production.
53
Historical Performance
Three Year Rolling Percentile Ranking Risk and Return (Jul-2010 - Jun-2015)
Historical Statistics (Jul-2010 - Jun-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 -1.0 1.3 1.1 5.8 7.0 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 -1.3 1.0 0.9 4.4 6.0 5.9 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 -0.3 0.6 -0.8 2.4 3.4 3.9 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 82 24 13 3 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 Rank9/05 9/06 9/07 9/08 9/09 9/10 9/11 9/12 9/13 9/14 6/15
4.5
5.4
6.3
7.2
8.1
9.0
Return (%)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 7.0 4.3 6.8 0.0 1.2 1.6 1.7 0.6 1.7 70.0 5y 3m
50% BC Credit / 25% S&P LSTA / 25% BY High Yield 6.0 3.4 5.9 0.0 1.0 1.7 0.0 N/A 1.2 0.0 5y 3m
90 Day U.S. Treasury Bill 0.1 0.0 0.0 0.1 0.0 N/A 3.4 -1.7 0.0 20.0 5y 3m
Manager Evaluation
Loomis Credit Asset Fund vs. 50% BC Credit / 25% S&P LSTA / 25% BY High Yield
As of June 30, 2015
54
Portfolio Characteristics
Portfolio
Effective Duration 4.2
Avg. Maturity 7.7
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 Rated4.4 3.4
14.1
28.8
26.4
19.2
3.1
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-USEmergingCashOtherCMBS1.0 0.1
29.4 27.6
4.1 4.9
0.2 0.9
3.7
24.9
3.2
Manager Evaluation
Loomis Credit Asset Fund
As of June 30, 2015
*Other is bank loans.
55
Historical Performance
Three Year Rolling Percentile Ranking Risk and Return (Jul-2010 - Jun-2015)
Historical Statistics (Jul-2010 - Jun-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 -3.4 -3.8 -5.7 2.3 5.7 6.3 6.3 -3.5 14.1 8.0 13.9 20.5 -8.5 10.6 8.4 -0.9
Citigroup World Government Bond -1.5 -4.0 -9.0 -2.4 1.1 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 -1.6 -1.9 -5.0 1.0 3.0 4.0 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 90 76 57 31 9 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 Rank9/05 9/06 9/07 9/08 9/09 9/10 9/11 9/12 9/13 9/14 6/15
-5.0
0.0
5.0
10.0
15.0
Return (%)5.4 5.6 5.8 6.0 6.2 6.4
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 5.7 6.2 5.7 4.8 0.9 0.9 3.3 1.4 2.4 75.0 10y 6m
Citigroup World Government Bond 1.1 5.7 1.1 0.0 1.0 0.2 0.0 N/A 3.1 0.0 10y 6m
90 Day U.S. Treasury Bill 0.1 0.0 0.0 0.1 0.0 N/A 5.7 -0.2 0.0 55.0 10y 6m
Manager Evaluation
Brandywine Global Opportunistic Fixed Income vs. Citigroup World Government Bond
As of June 30, 2015
56
Portfolio Characteristics
Portfolio Benchmark
Effective Duration 6.5 7.3
Avg. Maturity 12.9 8.5
Avg. Quality A AA
Yield To Maturity (%)3.9 1.2
Credit Quality Distribution (%)
Brandywine Global Opportunistic Fixed Income
Citigroup World Government Bond
0.0
25.0
50.0
75.0
100.0
AAAAAABBBBBBBelow BNot Rated17.4
68.2
2.3
12.1
0.0 0.0 0.0 0.0
19.4 19.5
31.9
19.6
7.2
1.4 1.0 0.0
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
26.6
19.3
27.3 26.8
0.0
2.8
19.8
10.1
27.1
7.6
32.6
Sector Distribution (%)
Brandywine Global Opportunistic Fixed Income
Citigroup World Government Bond
0.0
25.0
50.0
75.0
100.0
TreasuriesAgenciesCreditHigh YieldMBSNon-USMunicipalsCashOther33.0
0.0 0.0 0.0 0.0
67.0
0.0 0.0 0.0
5.4
11.3 10.4
0.1 2.6
62.9
0.7 2.8 3.8
Manager Evaluation
Brandywine Global Opportunistic Fixed Income vs. Citigroup World Government Bond
As of June 30, 2015*
_______________________
*Portfolio information is represented as of 03/31/2015. Data as of 06/30/2015 was not yet available at the time of report production.
57
Historical Performance
Three Year Rolling Percentile Ranking Risk and Return (Jul-2010 - Jun-2015)
Historical Statistics (Jul-2010 - Jun-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 -1.1 -5.4 -15.5 -4.8 -0.4 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 -1.0 -4.9 -15.4 -3.8 0.9 5.9 -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 -1.1 -4.3 -15.2 -4.3 0.2 N/A -6.1 -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 52 75 54 73 77 N/A 57 46 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 Rank9/05 9/06 9/07 9/08 9/09 9/10 9/11 9/12 9/13 9/14 6/15
-4.0
-2.0
0.0
2.0
4.0
Return (%)9.0 9.2 9.4 9.6 9.8 10.0 10.2 10.4 10.6
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 -0.4 9.5 0.0 -1.3 0.9 0.0 0.9 -1.5 6.3 15.0 5y
JPM GBI-EM Global Diversified 0.9 10.1 1.4 0.0 1.0 0.1 0.0 N/A 6.5 0.0 5y
90 Day U.S. Treasury Bill 0.1 0.0 0.0 0.1 0.0 N/A 10.1 -0.1 0.0 55.0 5y
Manager Evaluation
Pictet Emerging Local Currency Debt Fund vs. JPM GBI-EM Global Diversified
As of June 30, 2015
58
Portfolio Characteristics
Portfolio Benchmark
Effective Duration 5.2 4.9
Avg. Maturity 8.4 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
25.0
50.0
75.0
100.0
-25.0
AAAAAABBBBBBBelow BNot Rated0.0 0.1
39.3
57.2
0.2 0.0 0.0 3.20.9 0.6
25.0
55.3
17.9
0.7 0.0
-0.4
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
100.0
-1.4
1.4
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 June 30, 2015*
_______________________
*Portfolio information is represented as of 03/31/2015. Data as of 06/30/2015 was not yet available at the time of report production.
59
Historical Performance
Comparative Performance and Rolling Return Risk and Return (Jul-2010 - Jun-2015)
Historical Statistics (Jul-2010 - Jun-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 0.0 1.3 -2.7 7.0 8.1 6.0 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 -0.4 1.7 1.7 9.9 9.8 6.0 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 6/15 6.0
8.0
10.0
12.0
Return (%)6.0 6.4 6.8 7.2 7.6 8.0 8.4 8.8 9.2
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 8.1 6.9 8.1 0.2 0.8 1.2 2.4 -0.7 3.4 35.0 18y 8m
65% MSCI World (Net) / 35% BC Aggregate 9.8 8.2 9.8 0.0 1.0 1.2 0.0 N/A 4.6 0.0 18y 8m
90 Day U.S. Treasury Bill 0.1 0.0 0.0 0.1 0.0 N/A 8.2 -1.2 0.0 25.0 18y 8m
Manager Evaluation
GMO Asset Allocation Fund vs. 65% MSCI World (Net) / 35% BC Aggregate
As of June 30, 2015
60
Manager Evaluation
GMO Asset Allocation Fund
As of June 30, 2015
Fund Composition Asset Class Weights
US Qu ality
12.3%
US Opportunistic
Va lue
2.1%
Europe Value
17.8%
As set Backed
Securities
4.6%
Em erging Country
Debt
4.5%
Al pha Only
7.1%
Cash and Cas h
Equivalents
6.5%
14.4%
24.4%
12.6%
29.5%
13.6%15.0%
20.0%
25.0%
30.0%
35.0%
17.8%
Other International
Op portunisti c Value
1.4%Japan
5.2%
Em erging Markets
12.6%Systematic Global
Ma cro
3.0%
Ris k Prem ium
2.5%
Developed Rates
20.4%
4.6%12.6%
5.5%
13.6%
0.0%
5.0%
10.0%
15.0%
61
Historical Performance
Comparative Performance and Rolling Return Risk and Return (Jul-2010 - Jun-2015)
Historical Statistics (Jul-2010 - Jun-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 0.9 4.6 7.8 10.9 7.9 6.4 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 2.0 4.1 2.6 8.4 6.1 4.9 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 6/15 2.0
4.0
6.0
8.0
10.0
12.0
Return (%)3.2 4.0 4.8 5.6 6.4 7.2 8.0 8.8 9.6 10.4
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 7.9 4.7 7.7 4.8 0.5 1.6 4.9 0.3 1.8 50.0 11y 6m
HFRI Equity Hedge (Total) Index 6.1 8.0 6.2 0.0 1.0 0.8 0.0 N/A 5.4 0.0 11y 6m
90 Day U.S. Treasury Bill 0.1 0.0 0.0 0.1 0.0 N/A 8.0 -0.8 0.0 30.0 11y 6m
Manager Evaluation
Lighthouse Global Long/Short Fund Limited vs. HFRI Equity Hedge (Total) Index
As of June 30, 2015
62
Portfolio Characteristics
Portfolio
Manager Count 21
Net Exposure %38.1
Leverage 123.0
# Managers Funded 1
# Managers Redeemed 2
Region Allocation (Net Geographic Exposure)
United States
16.7%
Asia
2.8%
Europe
11.4%
Latin America
7.2%
Strategy Allocation
Value
12.1%
Trading
20.2%
Event Driven
17.2%
Sector Specialist
50.5%
Manager Evaluation
Lighthouse Global Long/Short Fund
As of June 30, 2015*
_______________________
*Portfolio information is represented as of 03/31/2015. Data as of 06/30/2015 was not yet available at the time of report production.
63
Historical Performance
Comparative Performance and Rolling Return Risk and Return (Jul-2010 - Jun-2015)
Historical Statistics (Jul-2010 - Jun-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 2.6 5.4 11.4 9.7 11.0 6.0 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 3.9 7.4 14.5 12.9 14.3 6.6 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 6/15 6.0
9.0
12.0
15.0
18.0
21.0
Return (%)1.5 1.6 1.7
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 11.0 1.6 10.5 -1.0 0.9 6.7 0.8 -3.9 0.0 0.0 37y 6m
NCREIF Fund Index-Open End Diversified Core Equity 14.3 1.6 13.5 0.0 1.0 8.3 0.0 N/A 0.0 0.0 37y 6m
90 Day U.S. Treasury Bill 0.1 0.0 0.0 -0.1 0.0 N/A 1.6 -8.3 0.0 0.0 37y 6m
Manager Evaluation
UBS Trumbull Property Fund vs. NCREIF Fund Index-Open End Diversified Core Equity
As of June 30, 2015
64
Portfolio Characteristics
Portfolio Benchmark
# Properties 200 6,971
# Investors 418 N/A
Total Fund Assets 16,100 443,040
Property Type
UBS Trumbull Property Fund NCREIF Property Index
0.0
15.0
30.0
45.0
60.0
OfficeApartmentRetailIndustrialOtherHotel38.1
24.1 23.3
13.2
0.0 1.3
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
EastWestSouthMidwestOther34.2 36.0
20.4
9.4
0.0
39.8
23.0
14.9 12.9 9.4
Manager Evaluation
UBS Trumbull Property Fund vs. NCREIF Property Index
As of June 30, 2015
_______________________
*Portfolio information is represented as of 03/31/2015. Data as of 06/30/2015 was not yet available at the time of report production.
65
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$
66
Historical Performance
Comparative Performance and Rolling Return Risk and Return (Jul-2010 - Jun-2015)
Historical Statistics (Jul-2010 - Jun-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 0.6 -2.2 -21.3 -4.5 0.4 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 0.8 -2.5 -19.7 -3.9 0.1 2.4 -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 12/14 6/15 -0.6
-0.3
0.0
0.3
0.6
0.9
Return (%)12.6 13.2 13.8 14.4 15.0 15.6 16.2 16.8
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 0.4 15.5 1.6 0.5 1.1 0.1 2.4 0.2 11.0 60.0 5y 3m
Wellington DIH Multi-Asset Inflation Index 0.1 13.8 1.0 0.0 1.0 0.1 0.0 N/A 9.8 0.0 5y 3m
90 Day U.S. Treasury Bill 0.1 0.0 0.0 0.1 0.0 N/A 13.8 -0.1 0.0 45.0 5y 3m
Manager Evaluation
Wellington Diversified Inflation Hedges vs. Wellington DIH Multi-Asset Inflation Index
As of June 30, 2015
67
Manager Evaluation
We llington Diversified Inflation Hedges Sector Allocation
As of June 30, 2015
Fund Composition Fund Weights Relative to Benchmark
Energy
26.2%
Metals &
TIPS
7.1%
Emerging
Markets
Inflati on-Linked
Bonds
5.0%
Cash
3.9%
6.9%
0.5%
4.9%
0.0%
5.0%
10.0%
15.0%
20.0%
Global Inflation-Sensitive Equities
Commodities
Fixed Income & Cash
Metals &
Mi ni ng
6.8%
Agriculture
4.8%
Enduri ng
Assets
9.3%
Precious
Metals
1.6%
In flati on
Opportuni ti es
12.4%
Commoditi es
23.0%
-12.2%
-2 0.0%
-1 5.0%
-1 0.0%
-5 .0 %
Eq ui ties Fi xed In come Commo dities Cash
68
Calendar Year Performance
69
Year
To
Date 2014 2013 2012 2011 2010 2009 2008 2007 2006
Total Composite 2.2 2.9 10.9 12.1 1.2 11.2 20.2 -20.2 10.7 11.8
Policy Benchmark 1.5 3.5 12.3 11.6 1.1 11.5 19.5 -20.6 8.3 13.0
Total Equity Composite 4.6 4.7 N/A N/A N/A N/A N/A N/A N/A N/A
MSCI AC World Index 2.7 4.2 22.8 16.1 -7.3 12.7 34.6 -42.2 11.7 21.0
Domestic Equity Composite 3.5 (27)10.1 (23)N/A N/A N/A N/A N/A N/A N/A N/A
Russell 3000 Index 1.9 (57)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 6.8 (20)-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 4.0 (77)-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 5.2 -4.7 15.6 18.5 -15.2 13.6 44.1 -47.0 18.3 27.0
Fixed Income Composite -0.6 (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 0.8 (18)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 0.4 3.4 -0.6 5.1 4.6 6.1 9.8 -1.8 5.5 4.0
Tactical Asset Allocation Composite 1.7 1.3 12.5 10.4 1.7 7.4 22.4 -19.4 8.6 12.3
60% World / 40% Agg 1.6 5.4 14.5 11.3 0.0 10.2 20.4 -24.7 8.3 13.6
Alternatives Composite 4.3 1.5 N/A N/A N/A N/A N/A N/A N/A N/A
3 Month T-Bills + 3%1.5 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 June 30, 2015
_________________________
See appendix for a description of the benchmarks and universe. Performance is reported net of fees.
70
Capital Markets Review
71
Capital Markets Rev iew
Economy
U.S. Economy Grows, Greece Rattles World Markets Again
•U.S.GDP rebounded in the second quarter,though a breakout period of growth
5
10
15
20
25
30
Jan-12May-12Sep-12Jan-13May-13Sep-13Jan-14May-14Sep-14Jan-15May-15$ BillionsMo nthly Crude Oil Imp ort Values
U.S.
China
So ur ce: Bloomberg -3
-2
-1
0
1
2
3
4
5
6
7
1990199219941996199820002002200420062008201020122014PercentConsumer Price Index
CPICoreCPI
So ur ce: Bur eau of Labo r St at ist ics
•U.S.GDP rebounded in the second quarter,though a breakout period of growth
remained elusive.The domestic energy sector stayed cautious,wary of increasing
drilling activity following Saudi Arabia’s assertion as the dominant oil producer and
controller of prices,which inflicted injury upon U.S.drillers.Expectations of tepid
oil production growth caused crude oil prices to rebound 25%during the quarter,
while Saudi Arabia appeared content with prices near $60/barrel.
•After the west coast ports resumed operations,railroads saw container shipments
increase,bringing volumes to multi-year highs.While west coast port volumes
rebounded to near normal levels,east coast port volumes surged as shippers’
frustration over recent west coast ports labor strikes pushed their resolve to avoid
costly bottlenecks and utilize alternative shipping routes.On the flipside,demand
for metals fell sharply as a result of decreased oil drilling and exploration.Steel
and ore prices fell as Chinese steel overcapacity drove down global prices.The
shift of electricity production to natural gas and renewables in the U.S.and
economic weakness in Asia drove coal production sharply lower.China’s
slowdown is emblematic of global economic weakness outside the U.S.as
countries struggle with debt and austerity.
•The U.S.dollar weakened slightly versus the Euro and Canadian dollar during the
quarter.The ongoing Greek tragedy brought a default on an IMF payment as
Greece remained defiant on economic reforms demanded by its creditors.Though
Greece likely will receive a third bailout in July,fear shook markets worldwide as
negotiations in June unraveled and the Greek banking system ground to a halt.
-1 0
-5
0
5
10
15
20
25
30
35
Jul-03Jul-04Jul-05Jul-06Jul-07Jul-08Jul-09Jul-10Jul-11Jul-12Jul-13Jul-14Percent (Y to Y)Chinese Ports' Freight Vo lu me
So ur ce: Bl oomberg
72
-3.0%
-2.0%
-1.0%
0.0%
1.0%
2.0%
3.0%
4.0%
5.0%
6.0%
7.0%
0.3%
1.1%
0.6%0.4%0.3%
-0.9%-1.4%
4.3%
3.5%
1.9%
0.7%
-0.2%
2nd Quarter and Trailing One-Year Sector Returns
Capital Markets Rev iew
Equities
2nd Quarter 2015 World Equity Returns (USD)
Developed Markets Emerging Markets
-3.9%
1.7%
-24.3%
9.5%
-2.3%
7.3%
11.2%
9.1%
14.7%
1.7%
26.5%
-6.3%
-2.5%
-1.9%
-1.6%
-1.0%
0.1%
0.2%
1.1%
1.4%
1.6%
3.4%
-30.0%-20.0%-10.0%0.0%10.0%20.0%30.0%
Utilities
In dustrials
Energy
Cons.Stapl es
Materials
Russell 30 00
In fo Tech
Financials
Cons. Disc.
Te lecom
Health Care 2Q 15
On e
Year
0.1%0.4%0.1%
-1.2%
0.1%
2.0%
7.4%
6.5%
4.1%
0.8%
10.6%
12.3%
-2.0%
0.0%
2.0%
4.0%
6.0%
8.0%
10.0%
12.0%
14.0%
Russell
1000
In dex
Russell
2000
Index
Russell
1000
Value
Russell
2000
Value
Russell
1000
Growth
Russell
2000
Growth
2Q15 One Year
Russell 1000 Index vs. Russell 2000 Index Rattled Over Greek Debt Worries,Equity Markets Eke Out a Gain
•The Russell 3000 Index advanced for the twelfth consecutive quarter,gaining
0.1%despite a significant pullback near the end of June.Domestic equity markets
were on track for solid quarterly gains as stronger-than-expected corporate
earnings reports,improving U.S.economic data,and dovish Fed comments
regarding the pace of future interest rate hikes helped boost markets.However,
concerns over Greek debt negotiations derailed equity markets and inspired a
significant pullback.The healthcare and consumer discretionary sectors fared
best,boosted by M&A activity,while the interest rate sensitive utilities sector
struggled with dividend yields appearing less attractive amid rising interest rates.
•Performance differences between market caps and styles were muted during the
quarter.Over the trailing one-year period,growth stocks have outperformed
significantly due to heavy exposure to the healthcare and information technology
sectors.
•Non-U.S.equities outperformed domestic equities.Most developed country
currencies appreciated versus the USD,benefiting USD-investors.Policy actions
by central banks boosted international equity markets early in the quarter;
however,renewed concerns regarding Greece and the potential impacts a default
on its debt would have,drove a significant sell-off towards quarter-end.Emerging
markets equities outperformed developed markets as speculation grew that the
Fed would delay an initial interest rate hike until later this year,thus decreasing
the risk of significant capital outflows from the developing world.
Broad Value Growth
73
Source: Barclays
Source: Barclays
Duration-adjusted Excess Returns to Treasuries (bps) Cumulative Year-to-Date Total Returns
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 2Q15
Ag gre ga te -710 746 171 -114 226 93 10 -9 -19
Ag ency -110 288 77 -25 166 1 10 -3 19
MBS -232 495 225 -106 91 98 40 -50 5
ABS -2223 2496 169 52 246 24 53 14 21
CM BS -3274 2960 1501 47 841 97 108 37 -31
Credit -1786 1990 192 -322 693 226 -18 17 -67
Hi gh Yield -3832 5955 974 -240 1394 923 -112 109 69
Em erging -2842 3797 508 -537 1503 -32 -120 49 196 -4 .0%
-3 .0%
-2 .0%
-1 .0%
0.0%
1.0%
2.0%
3.0%
4.0%
5.0%
6.0%YTD Total ReturnDa te
US Agg US Cre di t High Yi el d
Global Agg EMD (USD)MBS
0.0%
0.5%
1.0%
1.5%
2.0%
2.5%
3.0%
3.5%
4.0%
0 5 10 15 20 25 30Yield to MaturityMaturity (Ye ars)
6/30/2014 3/31/2015 6/30/2015
US Treasury Yield Curve Change
Source: US Dept of The Treasury
Fixed Income Markets Skittish as Macro Headlines Dominate
•Most fixed income sectors ended the quarter with negative total returns,driven
by higher yields and wider spreads.Treasury rates climbed as Fed comments
and improved economic data increased market expectations of a rate hike later
in 2015.The yield curve steepened considerably,as 30 year yields increased
57 basis points while 2 year yields moved only eight basis points higher.The
10-year yield touched an intra-quarter high of 2.50%following a sudden backup
in German Bund rates in early June.Spread volatility also spiked in June on
fears of a potential Greek exit from the Eurozone,coupled with Chinese growth
concerns at the end of the quarter.
•Investment grade corporate spreads increased 16 basis points during the
quarter.In addition to macro-driven risk-off sentiment,the sector was
hampered by heavy new issuance as companies issued debt ahead of a
potential Fed rate hike,as well as increased M&A-related issuance.High yield
spreads widened as well;however,the sector’s yield advantage insulated
spread/rate moves and helped to generate positive excess returns on a
duration-adjusted basis.
•Within the securitized markets,ABS generated positive total returns,buoyed by
the sector’s short duration and high quality nature.MBS slightly outperformed
duration-matched Treasuries as rising rates reduced supply.
74
-0.1%
3.0%
2.6%
2.5%
3.1%
-0.3%
2.6%
2.4%
4.1%
0.6%
3.4%
-1.7%
0.5%
0.1%
0.3%
0.9%
-3.5%
0.8%
0.8%
2.0%
-0.2%
1.3%
-6%-4%-2%0%2%4%6%8%10%12%
BC Aggregate Bond Index
MSCI All-Country World Index
Fu nd of Fu nds
Hedge Fund Composite
Merger Arbitrage
Gl obal Macro
Event Driven
Equity Market Ne utral
Equity Hedge
Dist resse d Securities
Convertibl e Arbitrag e
Q2
YTD
Capital Markets Review
Hedge Funds
HFRI Index Performance –Second Quarter and YTD 2015 Net Exposure and Net Leverage Have Declined Over the Past Year
Equity Long Short and Market Neutral Strategies
Macroeconomic Volatility Causes Limited Hedge Fund Gains
Source: JPM Prime Brokerage
Source: HFR Inc.
Macroeconomic Volatility Causes Limited Hedge Fund Gains
•Hedge fund manager performance was positive across all strategies during the
second quarter with the exception of global macro and distressed.Hedge funds
(+0.1%)provided mixed results compared to broad market indices as they
underperformed the MSCI All-Country World Index (+0.5%)but outperformed the
Barclays Capital Aggregate Bond Index (-0.1%).Equity hedge (+2.0%)and
convertible arbitrage (+1.3%)managers were the top performing strategies during
the quarter.
•Stock dispersion and corporate activity continued to benefit equity and event driven
managers during the quarter.Equity hedge fund managers also benefited from
decreased net exposure as volatility increased throughout the quarter.Global
macro managers suffered from a weaker dollar in April and Ma y.Additionally,global
macro managers’long exposure to European equities dampened returns as Greece
dragged on equity markets in June.
•According to Preqin,investor search activity for hedge funds increased by 35%in
the second quarter compared to the first quarter.New interest is being attributed to
the belief that hedge funds can take advantage of opportunities in China,Greece,
and oil.Additionally,investors are moving some fixed income assets to hedge fund
strategies as a way to protect against a potential Federal Reserve rate hike.
•The hedge-fund industry saw inflows of $21.5 billion during the second quarter
bringing total industry assets to a record $2.97 trillion according to Hedge Fund
Research.The bulk of new commitments went to hedge funds with more than $5
billion in assets under management.These firms raised $15.7 billion in new capital.
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 Estimated Ass ets
75
NCREIF 3 M on.1 Yr.3 Yrs.5 Yrs.10 Yrs.
NCREIF 3.6%12.7%11.5%12.8%8.4%
Ap artm ents 2.8%11.0%10.7%13.6%8.1%
In dus trials 3.5%14.2%12.4%12.7%8.3%
Offic e 3.3%10.6%10.3%11.8%8.2%
Retail 4.9%13.8%13.3%13.6%9.2%
Ho tel 2.5%13.0%9.3%10.2%7.1%
Eas t 3.0%10.4%9.5%11.9%7.9%
Mi dwes t 3.3%12.2%10.9%11.4%7.2%
South 4.2%14.1%12.8%13.1%8.7%
West 3.8%14.4%12.7%13.8%9.1%
Capital Markets Review
Real Assets
Real Estate Returns as of First Quarter 2015
Private Real Estate Performs Well While REITs Decline; Commodities
Source: NCREIF
0
1
2
3
4
5
Japan Continental
Europe
United
Kingdom
Australia U.S.Sing apore Hong KongPercentCurrent S pr ea d 10 Ye ar Average Spread
Global Real Estate Capitalization Rates Spread to Regional 10-Year
Government Bond Rates
Source: Cohen & Steers
Private Real Estate Performs Well While REITs Decline; Commodities
Prices Rebound
•Private real estate returned 3.6%during the first quarter of 2015 and 12.7%
during the trailing 12 months.By sector,retail 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,a strengthening economy and
strong property fundamentals contributed to modestly declining cap rates and
property appreciation.During the past three and five year periods,income and
appreciation have been about equal contributors to the returns from real estate.
Although the income return to real estate has fallen,it exceeds the yield on core
fixed income.
•In sympathy with other high yielding equities,REITs performed poorly during the
second quarter.The FTSE NAREIT All Equity REIT Index declined 9.1%.Global
REITS declined 6.7%,with both Asia and Europe outperforming the U.S.
Concerns about rising interest rates and their impact on REITs cost of capital
weighed on the sector.
•On signs of a strengthening economy,globally sourced crude oil prices
rebounded 18%during the second quarter,contributing strongly to the 8.7%
second quarter S&P GSCI return.Agricultural commodity prices increased while
industrial and precious metals prices generally declined.Year to date,the S&P
GSCI returned -0.2%.Commodity price volatility has climbed substantially
during the past year,driven by oil price volatility,where the standard deviation of
monthly returns during the past year rose to 37%.
NCREIF Quarter YT D 1 Year 3 Ye ars
S&P GS Commodity Index 8.7%-0.2%-36.8%-10.7%
S&P GSCI E nergy 13.0%3.0%-45.5%-12.5%
S&P GSCI O il 18.1%-1.2%-48.6%-14.1%
S&P GSCI N atural Gas 2.5%-7.9%-44.5%-11.5%
S&P GSCI In dus trial Metals -5.5%-10.3%-6.7%-14.5%
S&P GSCI P recious Me tals -1.7%-1.2%-13.6%-11.4%
S&P GSCI Ag rigultural 9.6%-1.0%-13.1%-9.9%
Commodity Returns –Periods Ended June 30, 2015
Source: Morningstar
76
$0
$20
$40
$60
$80
$100
$120
0
200
400
600
800
1000
1200
Aggregate Value ($,Billions)# of PE-Backed Deals# o f P E-Ba ck ed Dea ls Aggr eg ate V alue of PE-Bac ke d Dea ls
Private-Equity Backed Deal ActivityInvestment Horizon Pooled IRR (As of 3/31/15)
Fund Type 3 Months 1 Year 3 Years 5 Years 10 Years 20 Years
Early Stage VC 4.3%25.4%19.9%18.5%10.8%52.7%
Late/Expansion Stage VC 3.9%8.7%13.9%16.7%13.2%10.4%
Multi-Stage VC 3.2%20.6%17.6%15.3%10.6%12.4%
Al l Venture Capital 3.9%22.4%18.6%17.2%10.9%27.7%
Small Buyouts 0.4%5.0%9.8%13.5%17.3%14.4%
Medium Buyouts -0.3%6.6%10.2%11.5%14.3%15.4%
Large Buyouts -0.3%5.4%11.6%13.8%13.8%15.6%
Mega Buyouts 2.5%9.2%15.3%15.4%11.2%11.0%
Al l Buyouts 1.3%7.7%13.3%14.3%12.6%13.1%
Mezzanine/Sub Debt -0.1%7.1%10.9%11.2%10.8%10.0%
Distressed 1.6%5.7%12.2%11.4%10.3%11.3%
Al l Private Equity 1.6%8.8%13.1%13.8%12.0%14.3%
MSCI AC World Index 2.4%6.0%11.4%9.7%7.0%6.9%
Capital Markets Rev iew
Pr ivate Equity
# o f P E-Ba ck ed Dea ls Aggr eg ate V alue of PE-Bac ke d Dea ls
$0
$10
$20
$30
$40
$50
$60
$0
$20
$40
$60
$80
$100
$120
$140
Amount Raised by Fund Type ($, Billions)Total Raised ($,Billions)Tota l R ais ed VC Buyout
Rea l A ssets Seconda ry Fu nds Di st re ss ed /SS
LP Commitments to Private Equity Funds Increased in 2Q15
•Based on data as of March 31,2015,the pooled IRR for all private equity funds
lagged that of the MSCI All Country World Index by 80 basis points during the
first quarter.For the trailing one-year period,private equity outperformed global
public equity markets by 280 basis points.Venture capital significantly
outperformed other fund types as venture funds are predominantly focused on
the strong performing health care and information technology sectors.
•The second quarter of 2015 saw an improvement in global private equity
fundraising relative to the first quarter.In total,private equity funds raised
nearly $107 billion in 2Q15,a 13%rise from the prior quarter and the second
highest quarterly total since the financial crisis.All fund types experienced
increases with the exception of secondary funds.Venture capital funds
experienced the largest percentage improvement on the heels of favorable
performance and strength in the venture-backed exit environment.
•Investment activity by private equity funds was mixed during the second
quarter.According to Preqin,the number of private equity-backed buyout deals
declined from 830 in 1Q15 to 765 in 2Q15,but the aggregate value of deals
stood at $99 billion in 2Q15,in line with the prior quarter’s post-crisis peak.
Europe saw the biggest increase in aggregate deal value,with two of the
quarter’s five largest deals involving companies in Western Europe.
Source: ThomsonOne/Cambridge Associates database, July 2015.
Note: Data is continuously updated and is therefore subject to change.
MSCI AC World Index 2.4%6.0%11.4%9.7%7.0%6.9%
Source: Thomson Reuters, ThomsonOne database, July 2015.
Source: Preqin
Global Fundraising
77
Quarter
Year
To
Date
1
Year
2
Years
3
Years
5
Years
7
Years
10
Years
Domestic Equity Indices
Dow Jones Wilshire 5000 0.1 1.7 7.1 15.7 17.4 17.3 9.5 8.1
S&P 500 0.3 1.2 7.4 15.7 17.3 17.3 9.4 7.9
Russell 1000 Index 0.1 1.7 7.4 16.0 17.7 17.6 9.6 8.1
Russell 1000 Growth Index 0.1 4.0 10.6 18.5 18.0 18.6 10.5 9.1
Russell 1000 Value Index 0.1 -0.6 4.1 13.5 17.3 16.5 8.6 7.0
Russell Midcap Index -1.5 2.4 6.6 16.3 19.3 18.2 10.5 9.4
Russell Midcap Growth Index -1.1 4.2 9.5 17.5 19.2 18.7 10.3 9.7
Russell Midcap Value Index -2.0 0.4 3.7 15.1 19.1 17.7 10.6 8.9
Russell 2000 Index 0.4 4.8 6.5 14.7 17.8 17.1 10.4 8.4
Russell 2000 Growth Index 2.0 8.7 12.3 18.4 20.1 19.3 11.5 9.9
Russell 2000 Value Index -1.2 0.8 0.8 11.1 15.5 14.8 9.3 6.9
International Equity Indices
MSCI EAFE 0.6 5.5 -4.2 8.8 12.0 9.5 2.0 5.1
MSCI EAFE Growth Index 1.0 6.9 -1.3 9.0 12.1 10.1 2.2 5.8
MSCI EAFE Value Index 0.2 4.1 -7.1 8.6 11.8 8.9 1.7 4.4
MSCI EAFE Small Cap 4.3 10.1 -0.8 13.2 15.7 12.4 5.4 6.6
MSCI AC World Index 0.3 2.7 0.7 11.3 13.0 11.9 4.8 6.4
MSCI AC World ex US 0.5 4.0 -5.3 7.4 9.4 7.8 1.5 5.5
MSCI Emerging Markets Index 0.7 2.9 -5.1 4.1 3.7 3.7 0.9 8.1
Fixed Income Indices
Barclays U.S. Aggregate -1.7 -0.1 1.9 3.1 1.8 3.3 4.6 4.4
Barcap Intermediate U.S. Government/Credit -0.6 0.8 1.7 2.3 1.6 2.8 3.9 4.0
Barclays U.S. Long Government/Credit -7.6 -4.5 1.9 6.3 2.5 6.7 7.9 6.1
Barclays US Corp: High Yield 0.0 2.5 -0.4 5.5 6.8 8.6 9.4 7.9
BofA Merrill Lynch 3 Month U.S. T-Bill 0.0 0.0 0.0 0.0 0.1 0.1 0.2 1.4
Barclays U.S. TIPS -1.1 0.3 -1.7 1.3 -0.8 3.3 3.5 4.1
Citigroup Non-U.S. World Government Bond -1.5 -5.8 -13.5 -2.9 -3.9 0.3 0.9 2.6
JPM EMBI Global Diversified (external currency)-0.3 1.7 0.5 5.9 4.3 6.8 7.7 7.4
JPM GBI-EM Global Diversified (local currency)-1.0 -4.9 -15.4 -6.2 -3.8 0.9 2.8 5.9
Real Asset Indices
Bloomberg Commodity Index Total Return 4.7 -1.6 -23.7 -9.1 -8.8 -3.9 -10.9 -2.6
Dow Jones Wilshire REIT -9.9 -5.7 5.2 9.3 9.0 14.7 7.8 6.9
Capital Markets Review
Index Returns
As of June 30, 2015
(Percentage Return)
_________________________
Returns for periods greater than one year are annualized.
78
Appendix
79
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.
80
2015 Acti on
May
•Pavilion recommended liquidat ing the t he Pict et Local Currency Emerging Market Debt Fund, Loomis Say les Credit Fund and t he Penn Capital
High Yield Fund and investing the p roceeds int o the Prudent ial T otal Ret urn Fund. T he recommendation is support ed by the Office of t he
Secr et ary Treas urer and t he Investment Commit tee.The F inance Commit tee ap proved t he recommendat ion t o go t o t he Board of T rust ees .
Pavilion p rovided t he Finance Commit tee w it h a revised St at ement of Investment Policy , Object iv es and Operating Guidelines. T he p olicy was
reviewed with and sup port ed by the O ffice of t he Secr et ary Treas urer. T he Finance Commit tee requested addit ional t ime t o review the documen t.
June •Pavilion recommended liquidat ing the G MO Asset Allocat ion Fund and investing the p roceeds in t he Light house G lobal Long/Short Equit y Fund
and t he Entrust Diversified Hedge F und of F unds. T he recommendat ion is support ed by the O ffice of t he Secr et ar y Treasurer and t he Investment
Commit tee.The F in ance Commit tee ap proved t he recommendat ion t o go to t he Board of T rustees . T he Finance Commit tee reviewed and
ap proved t he revised Statement of Investment Policy , Object ives an d Op erat ing G uidelines provided at the M ay meet ing.The revised Investment
Policy document will go t o t he Board of T rust ees for approval.
Appendix
History of Investment Decisions
81
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.
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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
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