HomeMy Public PortalAbout2015 4th Quarter ReportPerformance
Review
Metropolitan St. Louis Sewer
District Pension Plan
4th 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 18
3 Manager Evaluation 24
4 Calendar Year Performance 60
5 Capital Markets Review 62
6 Appendix 70
Table of Contents
Performance Summary
1
Performance Summary - December 2015
During the fourth quarter, the Metropolitan St. Louis Sewer District pension plan slightly underperformed its benchmark, reporting a return of 1.6% while the
Policy Benchmark reported a return of 1.8%. On a trailing one-year basis, the plan reported a loss of -0.7%, outperforming the Policy Benchmark return of -1.4%.
Asset Class Diversification
Current asset allocation was within investment policy targets. The Plan was slightly overweight in fixed income, equities, and real estate and underweight hedge
funds and real assets.
Manager Evaluation
Fourth quarter performance was the most favorably impacted by the following managers as they outpaced their benchmarks: T. Rowe Price Large Cap Core
Growth, Brandywine Global Opportunistic Fixed Income, and Lighthouse Global Long/Short. Fourth quarter performance was the most unfavorably impacted by
the following managers that underperformed their benchmarks: Vanguard Windsor II, Holland Large Cap Growth, TimeSquare Small Cap Growth, Kennedy Mid
Cap Value, Morgan Stanley International Equity, Morgan Stanley Emerging Markets Equity, Entrust Capital Diversified, and Wellington Diversified Inflation
Hedges.
Capital Markets Review
The Federal Reserve raised interest rates 25 bps in December, placing its policy trajectory at odds with other central banks. China’s central bank lowered its
lending rate to a record low; the European Central Bank stood poised to enact further stimulus; the Bank of England stated that rate increases were not necessary
as economic uncertainty spread. The disparity between rising U.S. rates and the rest of the world sent major currencies lower versus the dollar and furthered oil’s
decline, as it is traded in USD.
The S&P finished the year strong, posting a fourth quarter return of 7.0% to end the year at 1.4%. While the market retreated slightly in the latter two months of
the quarter, strong economic data (especially in the labor market) helped push markets to near all-time highs. Non-U.S. equities finished the year mixed. In
general, the developed markets did well during the fourth quarter. European indices saw modest gains as growth finally showed signs of picking up amidst heavy
stimulus measures from the ECB.
2015 saw a large divergence between growth and value stocks. U.S. large growth stocks performed especially well versus other market segments. During periods
of weak economic growth, the growth style tends to outperform the value style. Growth stocks also performed well within non-U.S. markets.
China’s policy to force stock purchases and restrict selling temporarily boosted its stock market after a summer rout. Investors remained leery of government
directives to dictate asset prices, which detach asset prices from actual values and eventually lead to rapid selloffs if growth does not rebound to levels supporting
stock valuations. Investors remain cautious as growth prospects for 2016 continue to look weaker.
Recommendations or Action Items
None at this time.
Pension Plan Executive Summary
2
Total Composite Policy Benchmark
0.0
2.0
4.0
6.0
8.0
10.0
12.0
-2.0
-4.0
-6.0Return
Quarter Year
To
Date
1
Year
3
Years
5
Years
10
Years
Since
Inception
1.8
-1.4 -1.4
4.6
5.3 5.3
7.7
1.6
-0.7 -0.7
4.3
5.2 5.4
7.3
Quarter
Year
To
Date
1
Year
3
Years
5
Years
10
Years
Since
Inception
Inception
Period
Total Composite 1.6 -0.7 -0.7 4.3 5.2 5.4 7.3 23y
Policy Benchmark 1.8 -1.4 -1.4 4.6 5.3 5.3 N/A
Performance Summary
Total Composite vs. Policy Benchmark
As of December 31, 2015
____________
Performance is reported net of fees.
See appendix for full description of the policy benchmark.
3
3 Years 5 Years
0.0
2.0
4.0
6.0
8.0
10.0
Return (%)3.0 3.8 4.6 5.4 6.2 7.0 7.8
Risk (Standard Deviation %)
Policy Benchmark
(5.8 , 4.6)
Total Composite
(5.9 , 4.3)
0.0
2.0
4.0
6.0
8.0
10.0
Return (%)5.0 5.7 6.4 7.1 7.8 8.5 9.0
Risk (Standard Deviation %)
Policy Benchmark
(6.9 , 5.3)
Total Composite
(7.1 , 5.2)
Performance Summary
Risk and Return Summary
As of December 31, 2015
4
Allocation
Market
Value
($)%
Performance(%)
Quarter
Year
To
Date
1
Year
3
Years
5
Years
10
Years
Since
Inception
Inception
Period
Total Composite 244,346,947 100.0 1.6 -0.7 -0.7 4.3 5.2 5.4 7.3 23y
Policy Benchmark 1.8 -1.4 -1.4 4.6 5.3 5.3 N/A
Total Equity Composite 99,306,745 40.6 4.6 0.5 0.5 N/A N/A N/A 8.0 2y 4m
MSCI AC World IMI 5.0 -1.7 -1.7 8.4 6.7 5.5 6.6
Domestic Equity Composite 66,280,134 27.1 5.9 1.9 1.9 N/A N/A N/A 11.5 2y 4m
Russell 3000 Index 6.3 0.5 0.5 14.7 12.2 7.4 11.6
Large-Cap Equity Composite 51,295,575 21.0 6.9 3.9 3.9 15.0 12.2 7.4 8.5 12y 7m
Russell 1000 Index 6.5 0.9 0.9 15.0 12.4 7.4 8.6
Small-Cap Equity Composite 14,984,559 6.1 2.5 -4.8 -4.8 12.7 10.4 8.6 10.7 12y 7m
Russell 2000 Index 3.6 -4.4 -4.4 11.7 9.2 6.8 9.2
International Equity Composite 33,026,611 13.5 2.1 -2.0 -2.0 N/A N/A N/A 1.3 2y 4m
MSCI AC World ex USA Index 3.2 -5.7 -5.7 1.5 1.1 2.9 0.7
Developed International Equity Composite 25,530,686 10.4 3.0 0.4 0.4 4.3 4.6 3.8 4.5 16y 8m
MSCI EAFE Index 4.7 -0.8 -0.8 5.0 3.6 3.0 3.4
Emerging International Equity Composite 7,495,925 3.1 -0.9 -10.7 -10.7 -5.4 -3.7 3.6 6.1 10y 9m
MSCI Emerging Markets Index 0.7 -14.9 -14.9 -6.8 -4.8 3.6 6.0
Fixed Income Composite 86,103,869 35.2 -0.7 -2.1 -2.1 -0.5 2.5 4.7 4.4 12y 6m
Barclays Intermediate U.S. Government/Credit -0.7 1.1 1.1 1.1 2.6 4.0 3.6
Performance Summary
Total Pension Fund Asset Allocation and Performance
As of December 31, 2015
_________________________
Performance is reported net of fees.
5
Performance Summary
Total Pension Fund Asset Allocation and Performance
As of December 31, 2015
Allocation
Market
Value
($)%
Performance(%)
Quarter
Year
To
Date
1
Year
3
Years
5
Years
10
Years
Since
Inception
Inception
Period
Hedge Funds Composite 34,463,260 14.1 0.8 N/A N/A N/A N/A N/A 0.1 0y 10m
HFRI Fund of Funds Composite Index 0.6 -0.3 -0.3 3.9 2.1 2.3 -2.1
Real Estate Composite.15,125,222 6.2 2.7 11.7 11.7 10.4 10.5 5.8 8.1 38y
NCREIF Property Index 2.9 13.3 13.3 12.0 12.2 7.8 9.3
Real Assets Composite 7,606,226 3.1 -4.6 -21.1 -21.1 -12.9 -8.6 N/A -4.9 5y 9m
Wellington DIH Multi-Asset Inflation Index -3.0 -19.4 -19.4 -11.2 -7.8 -0.6 -4.7
Cash Account 1,741,625 0.7 0.0 0.1 0.1 0.3 0.2 1.2 1.3 12y 7m
BofA Merrill Lynch 3 Month U.S. T-Bill 0.0 0.1 0.1 0.1 0.1 1.2 1.4
_________________________
Performance is reported net of fees.
6
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 12,791,751 5.2 4.5 (73)-3.1 (33)-3.1 (33)12.1 (53)11.1 (23)6.2 (28)6.1 (29)14y 8m
Russell 1000 Value Index 5.6 (25)-3.8 (51)-3.8 (51)13.1 (24)11.3 (18)6.2 (29)6.1 (28)
IM U.S. Large Cap Value Equity 5.1 -3.8 -3.8 12.2 9.9 5.5 5.4
Vanguard Institutional Index Fund 15,602,554 6.4 7.0 (33)1.4 (41)1.4 (41)15.1 (32)12.5 (22)7.3 (30)4.9 (46)16y 3m
S&P 500 7.0 (34)1.4 (41)1.4 (41)15.1 (31)12.6 (22)7.3 (30)4.9 (47)
IM U.S. Large Cap Equity 6.3 0.0 0.0 13.8 11.1 6.5 4.8
T. Rowe Price Inst. Large-Cap Core Growth 12,600,942 5.2 9.9 (5)11.3 (5)11.3 (5)19.8 (3)15.7 (2)9.3 (9)18.8 (4)2y 10m
Russell 1000 Growth Index 7.3 (62)5.7 (48)5.7 (48)16.8 (37)13.5 (25)8.5 (22)15.7 (39)
IM U.S. Large Cap Growth Equity 7.7 5.5 5.5 16.2 12.3 7.5 15.2
Holland Large Cap Growth 10,300,328 4.2 6.1 (85)7.1 (33)7.1 (33)14.4 (82)12.0 (56)8.2 (32)12.7 (86)2y 10m
Russell 1000 Growth Index 7.3 (62)5.7 (48)5.7 (48)16.8 (37)13.5 (25)8.5 (22)15.7 (39)
IM U.S. Large Cap Growth Equity 7.7 5.5 5.5 16.2 12.3 7.5 15.2
Domestic Small-Cap Equity Managers
Kennedy Mid Cap Value 7,502,379 3.1 1.1 (77)-9.9 (88)-9.9 (88)11.6 (68)9.4 (61)N/A 8.8 (10)8y
Russell Midcap Value Index 3.1 (40)-4.8 (55)-4.8 (55)13.4 (36)11.3 (22)7.6 (20)7.3 (36)
IM U.S. Mid Cap Value Equity 2.7 -3.9 -3.9 12.7 10.0 6.6 6.8
TimesSquare Small Cap Growth Fund 7,482,180 3.1 3.9 (35)1.0 (28)1.0 (28)13.3 (49)11.0 (30)9.7 (1)9.8 (1)13y 11m
Russell 2000 Growth Index 4.3 (28)-1.4 (47)-1.4 (47)14.3 (31)10.7 (34)8.0 (14)7.5 (42)
IM U.S. Small Cap Growth Equity 2.5 -2.3 -2.3 13.2 9.8 6.5 7.3
Developed International Equity Manager
Morgan Stanley International Equity Fund I 25,530,686 10.4 3.0 (55)0.4 (31)0.4 (31)4.3 (38)4.6 (19)3.8 (38)4.1 (60)10y 9m
MSCI EAFE Index 4.7 (26)-0.8 (38)-0.8 (38)5.0 (30)3.6 (30)3.0 (54)4.1 (62)
IM International Equity 3.3 -2.8 -2.8 3.1 2.3 3.2 4.5
Emerging Markets Equity Manager
Morgan Stanley Emerging Markets Fund I 7,495,925 3.1 -0.6 (66)-10.3 (25)-10.3 (25)-5.3 (41)-3.6 (34)3.6 (41)6.1 (37)10y 9m
MSCI Emerging Markets Index 0.7 (47)-14.9 (56)-14.9 (56)-6.8 (51)-4.8 (51)3.6 (41)6.0 (39)
IM Emerging Markets Equity 0.2 -14.2 -14.2 -6.6 -4.8 3.3 5.7
Performance Summary
Total Pension Fund Manager Asset Allocation and Performance
As of December 31, 2015
_________________________
Performance is reported net of fees.
7
Performance Summary
Total Pension Fund Manager Asset Allocation and Performance
As of December 31, 2015
Allocation
Market
Value
($)%
Performance(%)
Quarter
Year
To
Date
1
Year
3
Years
5
Years
10
Years
Since
Inception
Inception
Period
Fixed Income Managers
Income Research 35,287,866 14.4 -0.7 (66)0.9 (20)0.9 (20)1.1 (23)2.9 (15)4.7 (5)5.0 (4)14y 6m
Barclays Intermediate U.S. Government/Credit -0.7 (62)1.1 (16)1.1 (16)1.1 (22)2.6 (26)4.0 (17)4.4 (14)
IM U.S. Intermediate Duration Fixed Income -0.6 0.4 0.4 0.6 2.0 3.5 3.8
Prudential Core Plus Bond Fund 29,227,764 12.0 -0.8 (68)-0.1 (41)-0.1 (41)1.9 (19)4.7 (7)5.8 (7)-1.6 (49)0y 7m
Barclays U.S. Aggregate -0.6 (57)0.5 (11)0.5 (11)1.4 (44)3.2 (64)4.5 (65)-0.4 (2)
IM U.S. Broad Market Core+ Fixed Income -0.5 -0.5 -0.5 1.3 3.6 4.9 -1.6
Brandywine Global Opportunistic Fixed Income 21,586,226 8.8 -0.6 (41)-8.4 (97)-8.4 (97)-2.1 (60)3.0 (21)5.7 (1)5.1 (6)11y
Citigroup World Government Bond Index -1.2 (77)-3.6 (47)-3.6 (47)-2.7 (74)-0.1 (81)3.4 (65)2.5 (75)
IM Global Fixed Income -0.8 -3.7 -3.7 -1.4 1.4 3.9 3.2
Penn Capital 2,013 0.0 N/A N/A N/A N/A N/A N/A N/A 10y 6m
_________________________
Performance is reported net of fees.
8
Performance Summary
Total Pension Fund Manager Asset Allocation and Performance
As of December 31, 2015
Allocation
Market
Value
($)%
Performance(%)
Quarter
Year
To
Date
1
Year
3
Years
5
Years
10
Years
Since
Inception
Inception
Period
Hedge Fund Managers
Lighthouse Global Long/Short Fund Limited 18,113,406 7.4 4.0 7.3 7.3 10.6 7.0 5.9 5.2 0y 10m
HFRI Equity Hedge (Total) Index 1.9 -0.8 -0.8 4.9 2.6 3.5 -2.5
Entrust Capital Diversified Fund 16,349,854 6.7 -2.6 -7.4 -7.4 2.2 1.8 4.2 -7.6 0y 5m
HFRI Fund of Funds Composite Index 0.6 -0.3 -0.3 3.9 2.1 2.3 -3.2
Real Estate Manager
UBS Trumbull Property Fund 15,125,222 6.2 2.7 11.7 11.7 10.4 10.5 5.8 5.8 9y 7m
NCREIF Property Index 2.4 12.8 12.8 11.9 12.1 7.7 7.4
Real Asset Manager
Wellington Diversified Inflation Hedges 7,606,226 3.1 -4.6 -21.1 -21.1 -12.9 -8.6 N/A -4.9 5y 9m
Wellington DIH Multi-Asset Inflation Index -3.0 -19.4 -19.4 -11.2 -7.8 -0.6 -4.7
Cash Account 1,741,625 0.7 0.0 0.1 0.1 0.3 0.2 1.2 1.3 12y 7m
BofA Merrill Lynch 3 Month U.S. T-Bill 0.0 0.1 0.1 0.1 0.1 1.2 1.4
Total Composite 244,346,947 100.0 1.6 -0.7 -0.7 4.3 5.2 5.4 7.3 23y
_________________________
Performance is reported net of fees.
9
0.0
2.0
4.0
6.0
8.0
10.0
12.0
14.0
16.0
18.0
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 %)
MSCI EAFE
Russell 2000 Growth Russell Midcap Value
Russell 1000 Growth
S&P 500
Russell 1000 Value Holland Large Cap Growth
Kennedy Mid Cap Value
TimesSquare Small Cap Growth
Morgan Stanley International Equity
Vanguard Windsor II Fund
Vanguard Institutional Index Fund
T. Rowe Price Inst. Large-Cap Core Growth
Performance Summary
Risk and Return Summary - Equity Managers
5 Years Ending December 31, 2015
10
-1.6
-0.8
0.0
0.8
1.6
2.4
3.2
4.0
4.8
5.6
Return (%)1.0 1.5 2.0 2.5 3.0 3.5 4.0 4.5 5.0 5.5 6.0 6.5 7.0 7.5
Risk (Standard Deviation %)
Citigroup World Government Bond Index
BC Intermediate U.S. Government/Credit
Barclays U.S. Aggregate
Prudential Core Plus Bond Fund
Income Research
Brandywine Global
Performance Summary
Risk and Return Summary - Fixed Income Managers
5 Years Ending December 31, 2015
11
-10.0
-6.0
-2.0
2.0
6.0
10.0
14.0
18.0
22.0
Return (%)0.0 2.0 4.0 6.0 8.0 10.0 12.0 14.0 16.0 18.0
Risk (Standard Deviation %)
HFRI Fund of Funds Composite Index
Entrust Capital Diversified Fund
HFRI Equity Hedge (Total) Index
NCREIF Property Index
Lighthouse Global Long/Short Fund Limited
Wellington DIH Multi-Asset Inflation Index
Wellington DIH
UBS TPF
Performance Summary
Risk and Return Summary - Alternative Managers
5 Years Ending December 31, 2015
12
Manager Compliance Checklist
Fourth Quarter 2015
Managers
Va ngua rd
Windsor
Vangua rd
Insti tu ti onal
T.Ro we
Price Holland Ke nne dy TimesS qua re
Morga n
Stanley Int'l
Morga n
Stanley EM
Organizational /Produ ct Is sues
No ma teria l c hanges to inves tment team -+++-+++
No ma teria l o rg aniza tional changes ++++++++
Accounting or re gulatory 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
Thre e-year return better than benchmark -N/A +----+
Thre e-year rankin g better than peer group median -++--+++
Fiv e year ret urn better than benchmark -N/A +--+++
Fiv e year rankin g better than peer group median +++--+++
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
13
Manager Compliance Checklist
Fourth Quarter 2015
Mana ge rs
Income
Re se arch Prude ntial
Bra ndyw ine
Global Lighthouse Entrust 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 s tylis tic expectations +++++++
Re lati ve Perfor mance 1
Th re e-year return better than benchmark In Lin e +++---
Th re e-year rankin g better than peer group median ++-N/A 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 ra nkin g better than peer group median +++N/A N/A N/A N/A
Perfor manc e s tatus +++++++
Da te perfo rmance s tatus changed
Summary status +++++++
Da te s umma ry status changed
14
Manager
Compliance
Issue Explanation
Recommended
Action Comments
Vanguard
Windsor II
Investment
Team
Changes
Jim Barrow stepped down as PM of
Windsor II at the end of 2015. He had
managed Barrow Hanley’s portion of
Windsor II assets (approximately 60%)
since 1985. As had already been well-
communicated over the past couple of
years, his replacements are David
Ganucheau and Jeff Fahrenbruch.
It was also announced that a second
generation PM, Tim Culler, will be
retiring in March 2016.
Hold Messrs. Ganucheau and Fahrenbruch have 19
and 18 years of investment experience,
respectively, and have managed money for
Barrow Hanley since July 2011. However,
investors are losing a great deal of experience
with this change. W e recommend holding on the
to the Fund but will observe performance and
flows over the coming months.
The Barrow Hanley process is structured so that
different accounts are managed by different PMs
so Mr. Culler’s departure should not impact
Windsor II.
Kennedy Investment
Team
Doug Fisher, the former Director of
Research, resigned from the firm
Hold The key individuals on the mid-cap value team,
PM Frank Latuda and Associate-PM Gary
Manager Compliance Checklist
Fourth Quarter 2015
Team
Changes
Research, resigned from the firm
effective July 31, 2015 to return to
Florida. His departure was entirely
amicable and driven by a set of family
health circumstances.
As it pertains to the role of Director of
Research and leadership of the
research analyst team, their Chief
Portfolio Manager and co-founder, Dick
Sinise, will be assuming these duties
for the foreseeable future.
PM Frank Latuda and Associate-PM Gary
Kauppila, remain in place. Pavilion does not
believe Doug Fisher’s departure should be of
concern.
Morgan
Stanley
International
Equity
Investment
Team
Changes
Richard Perrott joined the team on July
13th as Vice President. He is co-
covering technology and working on
specialty financials.
Nic Sochovsky joined the team on July
27th as Executive Director. He is joining
William Lock and Vladimir Demine to
cover consumer staples.
Hold
15
Manager
Compliance
Issue Explanation
Recommended
Action Comments
Prudential
Fixed
Income
Investment
Team
Changes
Chief Compliance Officer, James
Hartmann, has resigned effective
September 4th. A search for his
replacement has been initiated and
they expect to have a candidate in
place shortly. In the interim, Teresa
Gilbreath, who is James’ supervisor
and Chief Compliance Officer for
Prudential’s asset management
businesses, will serve as Prudential
Fixed Income’s Chief Compliance
Officer.
The head of Prudential Fixed Income,
Jim Sullivan, has transitioned into the
role of Executive Chairman effective
Hold The announcements do not impact Pavilion’s
opinion or rating on any Prudential strategies, but
it will be important to monitor Mike Lillard’s future
workload.
Manager Compliance Checklist
Fourth Quarter 2015
role of Executive Chairman effective
January 1, 2016. As Executive
Chairman, Sullivan will oversee the
strategic direction of the
business. Mike Lillard, currently CIO,
will become head of Prudential Fixed
Income and maintain his CIO role.This
change will have minimal impact on the
day-to-day portfolio management.
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, had assumed
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.
16
Manager
Compliance
Issue Explanation
Recommended
Action Comments
Income
Research
Investment Team
Changes
Jen Karpinski, Portfolio Manager on
the Corporate team, left Income
Research as of June 1st. Her
responsibilities were reallocated to
the other Corporate Portfolio
Managers on the team.
Julia Hébert, a Portfolio Manager
and member of their Credit Team,
has left Income Research as of
January 15th.Her responsibilities
have been reallocated to the other
Credit Portfolio Managers on the
team.
Senior Portfolio Manager Jim
Hold Given IR+M’s team approach to managing
portfolios we do not have concerns about these
departures.
Manager Compliance Checklist
Fourth Quarter 2015
Senior Portfolio Manager Jim
Gubitosi will be assuming portfolio
management responsibilities on the
Credit Team. Jim comes from the
Securitized/Government team within
Income Research.
EnTrust Organizational
Changes
EnTrust will be combining their
business with that of The Permal
Group, a global alternative asset
manager that was established in
1973 and acquired by Legg Mason in
2005.
Gregg Hymowitz will serve as the
Chairman and Chief Executive
Officer of EnTrustPermal, as well as
continue to be the Chair of the
EnTrustPermal Global Investment
Committee.
Hold Pavilion will be reviewing the effects of the
combination and advise you if we see any
organizational risk that may impair the investment
process.We will be watching the performance of
this fund closely during 2016.
17
Asset Class Diversification
18
December 31, 2015 : $244,346,947
Target Allocation Actual Allocation Allocation Differences
0.0%8.0%16.0%24.0%32.0%40.0%48.0%-8.0 %
Cash Account
$1,741,625
Real Asset Composite
$7,606,226
Real Estate Composite
$15,125,222
Hedge Funds Composite
$34,463,260
Fixed Income Composite
$86,103,869
Emerging International Equity Composite
$7,495,925
Developed International Equity Composite
$25,530,686
Small-Cap Equity Composite
$14,984,559
Large-Cap Equity Composite
$51,295,575
0.0%
5.0%
5.0%
15.0%
35.0%
4.0%
10.0%
6.0%
20.0%
0.7%
3.1%
6.2%
14.1%
35.2%
3.1%
10.4%
6.1%
21.0%
0.7%
-1.9 %
1.2%
-0.9 %
0.2%
-0.9 %
0.4%
0.1%
1.0%
Asset Class Diversification
Investment Policy Allocation
As of December 31, 2015
19
Asse t Cl ass/Type Manage r
Total Asse ts
($,mil.)as of
12/31/2015
Perce nt of
Total
Ta rge t
Allocation
Weighting
Re lati ve to
Ta rge t
Al low able
Ra nge
Total Asse ts
($,mil.)as of
9/30/2015
La rge -Ca p Equity $51.3 21.0%20.0%+ 1 .0 %15 -25%$47.2
Co re Va nguard Ins titutional $15.6 6.4%6.0%+ 0.4%$14.1
Va lu e Va nguard Windsor $12.8 5.2%5.0%+ 0.2%$11.8
Gr owth T. Rowe Price $12.6 5.2%5.0%+ 0.2%$11.7
Gr owth Ho lla nd $10.3 4.2%4.0%+ 0.2%$9.7
Small-Ca p Equity $15.0 6.1%6.0%+ 0 .1 %2 -8%$14.1
Va lu e Kennedy $7.5 3.1%3.0%+ 0.1%$6.9
Gr owth Time sSquare $7.5 3.1%3.0%+ 0.1%$7.2
Inte rna ti ona l Equity $33.0 13.5%14.0%- 0 .5 %$31.4
Developed Morgan Stanley $25.5 10.4%10.0%+ 0.4%5 -15%$24.8
Eme rg in g Marke ts Morgan Stanley $7.5 3.1%4.0%- 0.9%2 -8%$6.6
Fix ed Income $86.1 35.2%35.0%+ 0 .2 %$88.2
Asset Class Diversification
Investment Program Structure
As of December 31, 2015
Fix ed Income $86.1 35.2%35.0%+ 0 .2 %$88.2
Do me stic Core In come Res earch $35.3 14.4%14.0%+ 0.4%10 -20%$37.0
Global Br andywin e Glo bal $21.6 8.8%9.0%- 0.2%4 -14%$21.7
Do me stic Core Plu s Pru dential $29.2 12.0%12.0%- 0.0%10 -20%$29.5
He dge Funds $34.5 14.1%15.0%- 0 .9 %0 -20%$34.2
Hedge Funds Li ghthouse Glo bal $18.1 7.4%7.5%- 0.1%$17.4
Hedge Funds En trust $16.3 6.7%7.5%- 0.8%$16.8
Real Es tate $15.1 6.2%5.0%+ 1 .2 %$14.7
Re al Es tate UBS Tru mb ull $15.1 6.2%5.0%+ 1.2%0 -10%$14.7
Real As set $7.6 3.1%5.0%- 1 .9 %$8.0
Re al Asset Wellin gton $7.6 3.1%5.0%- 1.9%0 -10%$8.0
Ca sh $1.7 0.7%0.0%+ 0 .7 %$6.3
Ca sh Account Ca sh Account $1.7 0.7%0.0%+ 0.7%$6.3
Tota l $244.3 100.0%100.0%+ 0 .0 %$244.0
*Totals may not add to exactly 100.0% due to rounding.
20
Portfolio Characteristics
Portfolio Benchmark
Wtd. Avg. Mkt. Cap ($M)88,695 80,877
Median Mkt. Cap ($M)12,077 1,344
Price/Earnings ratio 19.3 17.2
Price/Book ratio 3.1 2.6
5 Yr. EPS Growth Rate (%)9.2 8.1
Current Yield (%)2.0 2.5
Debt to Equity 1.5 1.9
Number of Stocks 930 8,716
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
(%)
Amazon.com Inc 1.7 0.7 1.0 32.0
Microsoft Corp 1.3 1.0 0.3 26.2
Google Inc (Class C)1.3 0.6 0.7 24.7
Apple Inc 1.2 1.5 -0.2 -4.2
Reckitt Benckiser Group PLC 1.2 0.1 1.1 2.1
British American Tobacco PLC 1.2 0.3 0.9 0.7
Nestle SA, Cham Und Vevey 1.2 0.6 0.6 -0.6
Unilever NV 1.2 0.2 1.0 9.5
Visa Inc 1.1 0.4 0.7 11.5
Novartis AG 0.9 0.5 0.4 -5.2
% of Portfolio 12.1 5.7
Distribution of Market Capitalization (%)
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
31.4
29.5
23.5
15.6
0.0
34.4
30.0
22.2
11.5
2.0
Sector Weights (%)
Equity Composite MSCI AC World IMI
0.0 5.0 10.0 15.0 20.0 25.0 30.0
Other
Cash
Utilities
Telecommunication Services
Materials
Information Technology
Industrials
Health Care
Financials
Energy
Consumer Staples
Consumer Discretionary
0.1
2.0
1.6
2.2
3.4
17.5
10.8
15.0
15.9
3.7
12.9
15.0
0.0
0.0
3.2
3.3
4.8
14.9
11.2
12.2
21.8
5.8
9.5
13.3
Equity Portfolio - Characteristics
Total Equity Composite vs. MSCI AC World IMI
As of December 31, 2015
21
Total Equity
Composite MSCI AC World IMI
Australia 0.0 2.3
Hong Kong 0.2 1.1
Japan 4.8 8.4
New Zealand 0.0 0.1
Singapore 0.0 0.5
Pacific 5.0 12.4
Austria 0.2 0.1
Belgium 0.4 0.5
Finland 0.0 0.3
France 2.7 3.1
Germany 1.9 3.0
Ireland 0.4 0.2
Italy 0.1 0.9
Netherlands 2.1 1.0
Portugal 0.1 0.1
Spain 0.0 1.1
EMU 7.7 10.2
Denmark 0.0 0.7
Norway 0.0 0.2
Sweden 0.3 1.1
Switzerland 4.1 3.0
United Kingdom 9.2 6.8
Europe ex EMU 13.6 11.8
Canada 0.8 2.8
United States 63.6 52.6
Israel 0.0 0.3
Middle East 0.0 0.3
Developed Markets 90.7 90.1
Total Equity
Composite MSCI AC World IMI
Brazil 0.3 0.5
Cayman Islands 0.0 0.0
Chile 0.0 0.1
Colombia 0.1 0.0
Mexico 0.5 0.4
Peru 0.1 0.0
Virgin Islands 0.0 0.0
EM Latin America 1.0 1.1
China 1.9 2.7
India 0.7 0.9
Indonesia 0.2 0.2
Korea 1.0 1.6
Malaysia 0.0 0.3
Philippines 0.3 0.1
Taiwan 0.8 1.2
Thailand 0.1 0.2
EM Asia 5.1 7.3
Czech Republic 0.1 0.0
Egypt 0.0 0.0
Greece 0.0 0.0
Hungary 0.0 0.0
Poland 0.2 0.1
Qatar 0.0 0.1
Russia 0.1 0.3
South Africa 0.5 0.6
Turkey 0.1 0.1
United Arab Emirates 0.0 0.1
EM Europe + Middle East + Africa 1.0 1.5
Emerging Markets 7.1 9.9
Frontier Markets 0.1 0.0
Cash 2.0 0.0
Other 0.1 0.0
Total 100.0 100.0
Equity Portfolio - Country/Region Allocation
Total Equity Composite vs. MSCI AC World IMI
As of December 31, 2015
22
Portfolio Characteristics
Maturity Distribution (%)
Credit Quality Distribution (%)
Risk Characteristics - 3 Years
Sector Distribution (%)
Portfolio Benchmark
Effective Duration 5.5 4.0
Avg. Maturity 8.1 4.3
Avg. Quality A+AA
Yield To Maturity (%)3.6 2.1
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
13.4 16.1
0.0 0.0 0.0 0.0
37.7
9.9
19.0 22.9
5.2 3.6 0.6 1.1
Consistency
Sharpe
Ratio
Information
Ratio
Up
Market
Capture
Down
Market
Capture
Total Fixed Income Composite 44.4 -0.1 -0.6 97.1 158.4
Barclays Intermediate U.S. Government/Credit 0.0 0.5 N/A 100.0 100.0
90 Day U.S. Treasury Bill 50.0 N/A -0.5 0.7 -0.6
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
38.3
27.8
33.9
0.0 0.0
5.0
19.6
30.1 27.3
4.4
13.6
Total Fixed Income Composite
Barclays Intermediate U.S. Government/Credit
0.0
25.0
50.0
75.0
100.0
TreasuriesAgenciesCreditHigh YieldMBSABSNon-USEmergingMunicipalsCashOtherCMBS57.1
4.8
25.8
0.0 0.0 0.0
10.2
2.1 0.0 0.0 0.0 0.0
18.0
0.4
29.2
5.0 2.4
10.5 11.5
5.7 1.9 1.6 5.1 8.7
Fixed Income Portfolio - Characteristics
Total Fixed Income Composite vs. Barclays Intermediate U.S. Government/Credit
As of December 31, 2015
23
Manager Evaluation
24
Historical Performance
Buy and Hold Attribution
Risk and Return (Jan - 2011 - Dec - 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 4.5 -3.1 -3.1 12.1 11.1 6.2 11.3 30.8 16.8 2.8 10.7 27.2 -36.6 2.3 18.4 7.2
Russell 1000 Value Index 5.6 -3.8 -3.8 13.1 11.3 6.2 13.5 32.5 17.5 0.4 15.5 19.7 -36.8 -0.2 22.2 7.1
IM U.S. Large Cap Value Equity 5.1 -3.8 -3.8 12.2 9.9 5.5 10.9 32.7 15.3 -2.3 12.6 24.1 -36.8 1.7 17.9 5.3
Vanguard Windsor II Rank 73 33 33 53 23 28 40 76 28 14 83 27 49 45 44 28
Vanguard Windsor II Russell 1000 Value Index
0
25
50
75
100Return Percentile Rank3/06 3/07 3/08 3/09 3/10 3/11 3/12 3/13 3/14 3/15 12/15 10.8
11.0
11.2
11.4
11.6
Return (%)12.3 12.6 12.9 13.2 13.5 13.8 14.1
Risk (Standard Deviation %)
Russell 1000 Value Index
Vanguard Windsor II
Average Active Weight
0.0 10.0 20.0-10.0-20.0
Utilities
Telecommunication Services
Other
Materials
Information Technology
Industrials
Health Care
Financials
Energy
Consumer Staples
Consumer Discretionary
Cash
-3.5
0.2
0.4
-2.2
2.3
-0.8
4.7
-7.9
-5.0
2.6
6.4
2.8
Allocation
(Total: 0.1)
0.0 0.4 0.8-0.4-0.8
0.1
0.0
0.0
-0.1
0.1
0.0
0.1
0.0
0.3
0.0
-0.3
-0.2
Stock
(Total: -1.1)
0.0 0.3 0.6-0.3-0.6-0.9
0.0
0.0
0.0
0.0
0.0
-0.3
-0.4
-0.2
0.0
-0.1
-0.2
0.0
Vanguard Windsor II
0.0 0.3 0.6-0.3-0.6-0.9
0.1
0.0
0.0
-0.1
0.1
-0.3
-0.3
-0.2
0.3
-0.1
-0.5
-0.2
Manager Evaluation
Vanguard Windsor II vs. Russell 1000 Value Index
As of December 31, 2015
Differences between the manager return and the attribution return are due primarily to the effects of fees and portfolio trading.
25
Portfolio Characteristics
Portfolio Benchmark
Wtd. Avg. Mkt. Cap ($M)113,132 109,988
Median Mkt. Cap ($M)19,576 7,068
Price/Earnings ratio 15.8 16.9
Price/Book ratio 2.5 2.0
5 Yr. EPS Growth Rate (%)5.2 3.9
Current Yield (%)2.7 2.7
Debt to Equity 1.4 1.2
Number of Stocks 260 691
Beta (5 Years, Monthly)0.96 1.00
Consistency (5 Years, Monthly)46.67 1.00
Sharpe Ratio (5 Years, Monthly)0.95 0.95
Information Ratio (5 Years, Monthly)-0.11 -
Up Market Capture (5 Years, Monthly)97.49 -
Down Market Capture (5 Years, Monthly)96.74 -
Top Ten Equity Holdings
Portfolio
Weight
(%)
Benchmark
Weight
(%)
Active
Weight
(%)
Quarterly
Return
(%)
Medtronic PLC 3.2 1.1 2.1 15.5
JPMorgan Chase & Co 3.2 2.5 0.7 9.1
Microsoft Corp 3.0 2.0 1.0 26.2
Bank of America Corp 2.7 1.8 0.9 8.3
Pfizer Inc 2.7 2.0 0.6 3.6
Wells Fargo & Co 2.5 2.6 0.0 6.6
Philip Morris International Inc 2.4 0.7 1.7 12.1
Citigroup Inc 2.4 1.6 0.8 4.4
PNC Financial Services Group Inc.2.3 0.5 1.8 7.5
Raytheon Co.2.2 0.4 1.8 14.7
% of Portfolio 26.6 15.1
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 - $5 Bil
43.7
28.9
21.7
5.8
50.1
34.0
13.2
2.8
Sector Weights (%)
Vanguard Windsor II Russell 1000 Value Index
0.0 8.0 16.0 24.0 32.0 40.0
Other
Utilities
Telecommunication Services
Materials
Information Technology
Industrials
Health Care
Financials
Energy
Consumer Staples
Consumer Discretionary
0.3
2.5
2.7
1.8
14.1
10.6
17.6
22.4
8.6
9.1
10.2
0.0
6.2
2.5
2.6
11.5
10.4
11.9
30.4
12.2
7.0
5.2
Manager Evaluation
Vanguard Windsor II vs. Russell 1000 Value Index
As of December 31, 2015
26
Historical Performance
Three Year Rolling Percentile Ranking Relative Performance
Historical Statistics (Jan-2011 - Dec-2015)
Quarter
Year
To
Date
1
Year
3
Years
5
Years
10
Years 2014 2013 2012 2011 2010 2009 2008 2007 2006 2005
Vanguard Institutional Index 7.0 1.4 1.4 15.1 12.5 7.3 13.7 32.3 16.0 2.1 15.0 26.6 -37.0 5.5 15.8 4.9
S&P 500 Index 7.0 1.4 1.4 15.1 12.6 7.3 13.7 32.4 16.0 2.1 15.1 26.5 -37.0 5.5 15.8 4.9
IM U.S. Large Cap Equity 6.3 0.0 0.0 13.8 11.1 6.5 10.9 32.6 15.3 -1.4 13.4 28.0 -37.8 6.8 13.1 5.3
Vanguard Institutional Index Rank 33 41 41 32 22 30 15 53 41 19 33 58 40 59 30 56
Vanguard Institutional Index S&P 500 Index
0
25
50
75
100Return Percentile Rank3/06 3/07 3/08 3/09 3/10 3/11 3/12 3/13 3/14 3/15 12/15 Cumulative Annualized Over/Under Relative Performance
Over/Under Performance
0.0
0.1
0.2
-0.1
-0.2Return (%)3/06 3/07 3/08 3/09 3/10 3/11 3/12 3/13 3/14 3/15 12/15
Return
Standard
Deviation
Excess
Return Alpha Beta
Sharpe
Ratio
Tracking
Error
Information
Ratio
Downside
Risk Consistency
Inception
Date
Vanguard Institutional Index 12.5 12.5 12.7 0.0 1.0 1.0 0.0 -2.7 7.0 10.0 16y 3m
S&P 500 Index 12.6 12.5 12.7 0.0 1.0 1.0 0.0 N/A 6.9 0.0 16y 3m
90 Day U.S. Treasury Bill 0.1 0.0 0.0 0.1 0.0 N/A 12.5 -1.0 0.0 20.0 16y 3m
Manager Evaluation
Vanguard Institutional Index vs. S&P 500 Index
As of December 31, 2015
27
Portfolio Characteristics
Portfolio Benchmark
Wtd. Avg. Mkt. Cap ($M)137,326 137,342
Median Mkt. Cap ($M)17,732 17,669
Price/Earnings ratio 19.3 19.3
Price/Book ratio 3.1 3.1
5 Yr. EPS Growth Rate (%)8.2 7.9
Current Yield (%)2.2 2.2
Debt to Equity 1.6 1.6
Number of Stocks 503 504
Beta (5 Years, Monthly)1.00 1.00
Consistency (5 Years, Monthly)30.00 1.00
Sharpe Ratio (5 Years, Monthly)1.08 1.08
Information Ratio (5 Years, Monthly)-1.69 -
Up Market Capture (5 Years, Monthly)99.93 -
Down Market Capture (5 Years, Monthly)100.06 -
Top Ten Equity Holdings
Portfolio
Weight
(%)
Benchmark
Weight
(%)
Active
Weight
(%)
Quarterly
Return
(%)
Apple Inc 3.3 3.3 0.0 -4.2
Microsoft Corp 2.5 2.5 0.0 26.2
Exxon Mobil Corp 1.8 1.8 0.0 5.8
General Electric Co 1.6 1.6 0.0 24.4
Johnson & Johnson 1.6 1.6 0.0 10.8
Amazon.com Inc 1.5 1.5 0.0 32.0
Wells Fargo & Co 1.4 1.4 0.0 6.6
JPMorgan Chase & Co 1.4 1.4 0.0 9.1
Facebook Inc 1.3 1.3 0.0 16.4
Berkshire Hathaway Inc 1.3 1.4 -0.1 1.3
% of Portfolio 17.7 17.7
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
32.4
15.6
0.4
51.6
32.4
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
3.0
2.4
2.8
20.7
10.0
15.2
16.5
6.5
10.1
12.9
3.0
2.4
2.8
20.7
10.0
15.2
16.5
6.5
10.1
12.9
Manager Evaluation
Vanguard Institutional Index vs. S&P 500 Index
As of December 31, 2015
28
Historical Performance
Buy and Hold Attribution
Risk and Return (Jan - 2011 - Dec - 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 9.9 11.3 11.3 19.8 15.7 9.3 9.3 41.4 18.5 1.5 16.4 43.0 -42.6 13.0 9.1 4.0
Russell 1000 Growth Index 7.3 5.7 5.7 16.8 13.5 8.5 13.1 33.5 15.3 2.6 16.7 37.2 -38.4 11.8 9.1 5.3
IM U.S. Large Cap Growth Equity 7.7 5.5 5.5 16.2 12.3 7.5 10.5 34.1 14.9 -1.8 15.1 35.0 -39.8 13.8 6.7 5.7
T. Rowe Price LCC Growth Rank 5 5 5 3 2 9 67 6 18 20 36 20 72 56 24 68
T. Rowe Price LCC Growth Russell 1000 Growth Index
0
25
50
75
100Return Percentile Rank3/06 3/07 3/08 3/09 3/10 3/11 3/12 3/13 3/14 3/15 12/15 10.0
12.0
14.0
16.0
18.0
20.0
Return (%)11.4 12.0 12.6 13.2 13.8 14.4 15.0 15.6
Risk (Standard Deviation %)
Russell 1000 Growth Index
T. Rowe Price LCC Growth
Average Active Weight
0.0 10.0 20.0-10.0-20.0
Utilities
Telecommunication Services
Materials
Information Technology
Industrials
Health Care
Financials
Energy
Consumer Staples
Consumer Discretionary
0.0
-2.1
-0.5
-1.4
-0.6
7.8
1.3
0.7
-8.4
3.2
Allocation
(Total: -0.1)
0.0 0.2 0.4-0.2-0.4
0.0
0.0
0.0
0.0
0.0
0.2
0.0
-0.2
-0.1
0.0
Stock
(Total: 2.9)
0.0 2.0 4.0-2.0
0.0
0.0
0.1
2.0
0.2
-0.6
-0.1
0.1
-0.1
1.3
T. Rowe Price LCC Growth
0.0 0.9 1.8 2.7 3.6-0.9-1.8
0.0
0.0
0.1
2.0
0.3
-0.4
-0.1
-0.1
-0.1
1.3
Manager Evaluation
T. Rowe Price Large-Cap Core Growth vs. Russell 1000 Growth Index
As of December 31, 2015
Differences between the manager return and the attribution return are due primarily to the effects of fees and portfolio trading.
29
Portfolio Characteristics
Portfolio Benchmark
Wtd. Avg. Mkt. Cap ($M)137,550 133,865
Median Mkt. Cap ($M)31,174 8,546
Price/Earnings ratio 27.4 22.2
Price/Book ratio 5.2 5.4
5 Yr. EPS Growth Rate (%)10.3 12.5
Current Yield (%)0.7 1.6
Debt to Equity 0.9 2.6
Number of Stocks 131 644
Beta (5 Years, Monthly)1.10 1.00
Consistency (5 Years, Monthly)58.33 1.00
Sharpe Ratio (5 Years, Monthly)1.14 1.12
Information Ratio (5 Years, Monthly)0.56 -
Up Market Capture (5 Years, Monthly)109.20 -
Down Market Capture (5 Years, Monthly)101.06 -
Top Ten Equity Holdings
Portfolio
Weight
(%)
Benchmark
Weight
(%)
Active
Weight
(%)
Quarterly
Return
(%)
Amazon.com Inc 7.6 2.4 5.1 32.0
Google Inc (Class C)4.3 2.1 2.2 24.7
Facebook Inc 3.6 2.2 1.4 16.4
Priceline Group Inc (The)3.3 0.6 2.6 3.1
Danaher Corp 3.1 0.1 3.0 9.2
Visa Inc 2.9 1.4 1.5 11.5
Microsoft Corp 2.7 2.4 0.3 26.2
Alphabet Inc 2.7 2.1 0.5 21.9
MasterCard Inc 2.6 0.9 1.7 8.2
Allergan PLC 2.6 0.5 2.1 15.0
% of Portfolio 35.2 14.9
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
47.5
29.8
19.1
3.6
47.2
43.0
9.7
0.1
Sector Weights (%)
T. Rowe Price Large-Cap Core Growth
Russell 1000 Growth Index
0.0 8.0 16.0 24.0 32.0 40.0
Utilities
Telecommunication Services
Materials
Information Technology
Industrials
Health Care
Financials
Energy
Consumer Staples
Consumer Discretionary
0.0
0.0
1.2
27.4
10.0
25.8
6.2
0.2
2.7
26.4
0.0
2.1
3.4
28.0
10.8
17.1
5.5
0.5
11.3
21.2
Manager Evaluation
T. Rowe Price Large-Cap Core Growth vs. Russell 1000 Growth Index
As of December 31, 2015
30
Historical Performance
Buy and Hold Attribution
Risk and Return (Jan - 2011 - Dec - 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 6.1 7.1 7.1 14.4 12.0 8.2 7.2 30.3 13.1 4.3 15.3 40.0 -33.8 9.4 6.4 -0.1
Russell 1000 Growth Index 7.3 5.7 5.7 16.8 13.5 8.5 13.1 33.5 15.3 2.6 16.7 37.2 -38.4 11.8 9.1 5.3
IM U.S. Large Cap Growth Equity 7.7 5.5 5.5 16.2 12.3 7.5 10.5 34.1 14.9 -1.8 15.1 35.0 -39.8 13.8 6.7 5.7
Holland Large Cap Growth Rank 85 33 33 82 56 32 91 82 74 5 49 31 5 80 54 99
Holland Large Cap Growth Russell 1000 Growth Index
0
25
50
75
100Return Percentile Rank3/06 3/07 3/08 3/09 3/10 3/11 3/12 3/13 3/14 3/15 12/15 10.0
12.0
14.0
16.0
Return (%)10.8 11.1 11.4 11.7 12.0 12.3 12.6 12.9 13.2
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
0.0
-2.1
-2.2
1.9
1.4
-2.0
-1.6
0.4
-0.8
2.9
2.1
Allocation
(Total: -0.4)
0.0 0.2-0.2-0.4
0.0
0.0
0.0
0.0
0.0
0.0
0.0
-0.1
0.0
0.0
-0.2
Stock
(Total: -0.8)
0.0 1.0 2.0-1.0-2.0-3.0
0.0
0.0
-0.1
0.5
0.6
-0.6
0.1
-0.1
0.0
-1.2
0.0
Holland Large Cap Growth
0.0 0.7 1.4-0.7-1.4-2.1
0.0
0.0
-0.1
0.5
0.6
-0.7
0.1
-0.2
-0.1
-1.3
-0.2
Manager Evaluation
Holland Large Cap Growth vs. Russell 1000 Growth Index
As of December 31, 2015
Differences between the manager return and the attribution return are due primarily to the effects of fees and portfolio trading.
31
Portfolio Characteristics
Portfolio Benchmark
Wtd. Avg. Mkt. Cap ($M)118,571 133,865
Median Mkt. Cap ($M)36,425 8,546
Price/Earnings ratio 24.4 22.2
Price/Book ratio 5.0 5.4
5 Yr. EPS Growth Rate (%)12.7 12.5
Current Yield (%)1.1 1.6
Debt to Equity 0.7 2.6
Number of Stocks 51 644
Beta (5 Years, Monthly)1.01 1.00
Consistency (5 Years, Monthly)50.00 1.00
Sharpe Ratio (5 Years, Monthly)0.98 1.12
Information Ratio (5 Years, Monthly)-0.45 -
Up Market Capture (5 Years, Monthly)96.47 -
Down Market Capture (5 Years, Monthly)104.37 -
Top Ten Equity Holdings
Portfolio
Weight
(%)
Benchmark
Weight
(%)
Active
Weight
(%)
Quarterly
Return
(%)
Google Inc (Class C)4.8 2.1 2.7 24.7
Visa Inc 4.8 1.4 3.3 11.5
Amazon.com Inc 4.6 2.4 2.2 32.0
Adobe Systems Inc 4.0 0.5 3.6 14.3
Priceline Group Inc (The)3.7 0.6 3.1 3.1
Apple Inc 3.7 5.7 -2.1 -4.2
Citrix Systems Inc.3.6 0.1 3.5 9.2
Southwest Airlines Co.3.1 0.3 2.8 13.4
Gilead Sciences Inc 2.9 1.4 1.5 3.5
Medtronic PLC 2.9 0.0 2.9 15.5
% of Portfolio 38.0 14.6
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
47.5
29.8
19.1
3.6
0.0
41.5
33.6
17.8
3.2 4.0
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
4.0
0.0
0.0
1.3
29.7
12.8
14.6
4.0
0.0
10.5
23.1
0.0
0.0
2.1
3.4
28.0
10.8
17.1
5.5
0.5
11.3
21.2
Manager Evaluation
Holland Capital Management vs. Russell 1000 Growth Index
As of December 31, 2015
32
Historical Performance
Buy and Hold Attribution
Risk and Return (Jan - 2011 - Dec - 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 1.1 -9.9 -9.9 11.6 9.4 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 3.1 -4.8 -4.8 13.4 11.3 7.6 14.7 33.5 18.5 -1.4 24.8 34.2 -38.4 -1.4 20.2 12.6
IM U.S. Mid Cap Value Equity 2.7 -3.9 -3.9 12.7 10.0 6.6 10.1 36.0 16.2 -3.9 22.3 36.9 -38.0 0.8 14.7 10.0
Kennedy Mid Cap Value Rank 77 88 88 68 61 N/A 5 78 86 22 14 57 1 N/A N/A N/A
Kennedy Mid Cap Value Russell Midcap Value Index
0
25
50
75
100Return Percentile Rank3/06 3/07 3/08 3/09 3/10 3/11 3/12 3/13 3/14 3/15 12/15 6.0
8.0
10.0
12.0
14.0
Return (%)13.8 14.4 15.0 15.6 16.2 16.8 17.4
Risk (Standard Deviation %)
Russell Midcap Value Index
Kennedy Mid Cap Value
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
-2.9
-1.5
-1.9
4.1
2.9
-1.8
-4.3
-2.7
0.8
5.0
2.3
Allocation
(Total: 0.3)
0.0 0.3 0.6-0.3-0.6
0.1
-0.1
0.0
0.2
0.0
0.0
-0.1
0.3
0.0
-0.1
-0.1
Stock
(Total: -1.7)
0.0 1.0 2.0-1.0-2.0-3.0
0.2
0.0
-0.4
-1.3
0.6
-0.1
0.4
-0.4
0.5
-1.1
0.0
Kennedy Mid Cap Value
0.0 0.7 1.4-0.7-1.4-2.1
0.2
-0.1
-0.4
-1.0
0.6
-0.2
0.3
-0.1
0.5
-1.3
-0.1
Manager Evaluation
Kennedy Mid Cap Value vs. Russell Midcap Value Index
As of December 31, 2015
Differences between the manager return and the attribution return are due primarily to the effects of fees and portfolio trading.
33
Portfolio Characteristics
Portfolio Benchmark
Wtd. Avg. Mkt. Cap ($M)7,626 11,220
Median Mkt. Cap ($M)6,692 5,655
Price/Earnings ratio 18.6 18.2
Price/Book ratio 2.1 2.0
5 Yr. EPS Growth Rate (%)9.1 7.7
Current Yield (%)2.2 2.5
Debt to Equity 0.8 1.0
Number of Stocks 57 559
Beta (5 Years, Monthly)1.12 1.00
Consistency (5 Years, Monthly)51.67 1.00
Sharpe Ratio (5 Years, Monthly)0.70 0.91
Information Ratio (5 Years, Monthly)-0.46 -
Up Market Capture (5 Years, Monthly)101.93 -
Down Market Capture (5 Years, Monthly)116.03 -
Top Ten Equity Holdings
Portfolio
Weight
(%)
Benchmark
Weight
(%)
Active
Weight
(%)
Quarterly
Return
(%)
Brixmor Property Group Inc 2.9 0.2 2.8 11.0
Mid-America Apartment Communities Inc.2.8 0.2 2.6 12.0
Reinsurance Group of America Inc.2.5 0.2 2.4 -5.2
Teradyne Inc.2.2 0.2 2.1 15.1
UGI Corp 2.2 0.2 2.0 -2.4
Woodward Inc 2.2 0.0 2.2 22.3
Regions Financial Corp 2.2 0.4 1.7 7.2
Xcel Energy Inc.2.2 0.6 1.5 2.3
Torchmark Corp 2.1 0.2 1.9 1.3
DTE Energy Co 2.1 0.5 1.7 0.7
% of Portfolio 23.5 2.7
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
11.1
69.8
19.2
0.01.5
71.3
22.5
4.7
Sector Weights (%)
Kennedy Capital Management Russell Midcap Value Index
0.0 8.0 16.0 24.0 32.0 40.0 48.0
Cash
Utilities
Telecommunication Services
Materials
Information Technology
Industrials
Health Care
Financials
Energy
Consumer Staples
Consumer Discretionary
4.7
10.5
0.0
3.8
12.4
12.6
2.7
31.8
5.5
3.4
12.5
0.0
12.0
1.6
5.6
9.8
9.7
6.2
34.8
8.1
4.1
8.2
Manager Evaluation
Kennedy Capital Management vs. Russell Midcap Value Index
As of December 31, 2015
34
Historical Performance
Buy and Hold Attribution
Risk and Return (Jan - 2011 - Dec - 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 3.9 1.0 1.0 13.3 11.0 9.7 -2.5 47.7 13.1 2.6 27.3 35.7 -32.3 10.0 16.5 13.4
Russell 2000 Growth Index 4.3 -1.4 -1.4 14.3 10.7 8.0 5.6 43.3 14.6 -2.9 29.1 34.5 -38.5 7.0 13.3 4.2
IM U.S. Small Cap Growth Equity 2.5 -2.3 -2.3 13.2 9.8 6.5 1.8 43.2 12.1 -4.3 27.0 33.1 -42.7 7.8 9.6 4.9
TimesSquare Small Cap Growth Rank 35 28 28 49 30 1 88 25 41 6 46 39 1 35 14 2
TimesSquare Small Cap Growth Russell 2000 Growth Index
0
25
50
75
100Return Percentile Rank3/06 3/07 3/08 3/09 3/10 3/11 3/12 3/13 3/14 3/15 12/15 10.0
10.4
10.8
11.2
11.6
Return (%)17.1 17.4 17.7 18.0 18.3 18.6
Risk (Standard Deviation %)
Russell 2000 Growth Index
TimesSquare Small Cap Growth
Average Active Weight
0.0 15.0-15.0-30.0
Utilities
Telecommunication Services
Materials
Information Technology
Industrials
Health Care
Financials
Energy
Consumer Staples
Consumer Discretionary
Cash
-0.1
-0.1
-2.0
6.1
5.8
-11.4
-3.2
-0.1
-0.5
0.3
5.4
Allocation
(Total: -0.9)
0.0 0.5 1.0-0.5-1.0-1.5
0.0
0.0
0.0
0.1
-0.1
-0.7
0.0
0.0
0.0
0.0
-0.2
Stock
(Total: 0.0)
0.0 0.9 1.8-0.9-1.8
0.0
0.2
0.1
0.9
0.7
-0.8
0.2
0.1
-0.5
-0.8
0.0
TimesSquare Small Cap Growth
0.0 1.0 2.0 3.0-1.0-2.0-3.0
0.0
0.2
0.0
1.0
0.5
-1.5
0.2
0.2
-0.5
-0.9
-0.2
Manager Evaluation
TimesSquare Small Cap Growth vs. Russell 2000 Growth Index
As of December 31, 2015
Differences between the manager return and the attribution return are due primarily to the effects of fees and portfolio trading.
35
Portfolio Characteristics
Portfolio Benchmark
Wtd. Avg. Mkt. Cap ($M)2,131 2,081
Median Mkt. Cap ($M)1,737 742
Price/Earnings ratio 28.0 23.5
Price/Book ratio 3.6 3.8
5 Yr. EPS Growth Rate (%)18.2 14.6
Current Yield (%)0.5 0.7
Debt to Equity 5.7 1.9
Number of Stocks 98 1,194
Beta (5 Years, Monthly)0.87 1.00
Consistency (5 Years, Monthly)51.67 1.00
Sharpe Ratio (5 Years, Monthly)0.77 0.69
Information Ratio (5 Years, Monthly)0.01 -
Up Market Capture (5 Years, Monthly)86.98 -
Down Market Capture (5 Years, Monthly)78.42 -
Top Ten Equity Holdings
Portfolio
Weight
(%)
Benchmark
Weight
(%)
Active
Weight
(%)
Quarterly
Return
(%)
On Assignment Inc 2.1 0.3 1.9 21.8
Bright Horizons Family Solutions Inc 2.1 0.3 1.8 4.0
j2 Global Inc 2.1 0.5 1.6 16.7
Ultimate Software Group Inc 2.0 0.0 2.0 9.2
ExlService Holdings Inc 1.9 0.2 1.7 21.7
PolyOne Corp 1.9 0.3 1.6 8.7
Albany International Corp.1.9 0.0 1.9 28.4
MKS Instruments Inc 1.9 0.0 1.9 7.9
Tyler Technologies Inc.1.6 0.7 0.9 16.8
Imax Corp 1.6 0.3 1.4 5.2
% of Portfolio 19.1 2.5
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
2.6
97.4
0.0
5.9
88.9
5.2
Sector Weights (%)
TimesSquare Small Cap Growth Russell 2000 Growth 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
1.0
5.2
0.0
0.9
2.4
29.5
21.3
15.7
5.4
1.0
2.3
15.3
0.1
0.0
0.1
0.8
4.0
25.1
12.6
28.2
7.8
1.0
3.5
16.7
Manager Evaluation
TimesSquare Small Cap Growth vs. Russell 2000 Growth Index
As of December 31, 2015
36
Historical Performance
Buy and Hold Attribution
Risk and Return (Jan - 2011 - Dec - 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 3.0 0.4 0.4 4.3 4.6 3.8 -6.1 20.4 19.6 -7.6 6.1 21.6 -33.1 9.8 22.5 6.5
MSCI EAFE Index 4.7 -0.8 -0.8 5.0 3.6 3.0 -4.9 22.8 17.3 -12.1 7.8 31.8 -43.4 11.2 26.3 13.5
IM International Equity 3.3 -2.8 -2.8 3.1 2.3 3.2 -4.5 17.4 18.6 -14.9 12.9 36.4 -46.0 13.2 26.2 15.7
Morgan Stanley International Equity Rank 55 31 31 38 19 38 67 38 40 7 89 92 4 70 78 97
Morgan Stanley International Equity MSCI EAFE Index
0
25
50
75
100Return Percentile Rank3/06 3/07 3/08 3/09 3/10 3/11 3/12 3/13 3/14 3/15 12/15 2.0
3.0
4.0
5.0
6.0
Return (%)12.4 12.8 13.2 13.6 14.0 14.4 14.8 15.2
Risk (Standard Deviation %)
MSCI EAFE Index
Morgan Stanley International Equity
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
-3.8
-1.5
-0.3
-0.5
-4.1
4.8
-8.6
-1.4
16.0
-2.8
2.3
Allocation
(Total: 0.1)
0.0 0.2-0.2-0.4
0.1
0.0
0.0
0.0
-0.1
0.0
0.1
0.1
0.1
0.0
-0.1
Stock
(Total: -0.5)
0.0 0.8 1.6-0.8-1.6
0.0
0.1
0.6
0.2
-0.9
-0.9
0.0
0.0
0.2
0.3
0.0
Morgan Stanley International Equity
0.0 0.6 1.2-0.6-1.2-1.8
0.1
0.1
0.6
0.2
-1.0
-0.8
0.1
0.1
0.2
0.2
-0.1
Manager Evaluation
Morgan Stanley International Equity vs. MSCI EAFE Index
As of December 31, 2015
Differences between the manager return and the attribution return are due primarily to the effects of fees and portfolio trading.
37
Total Attribution
0.0 0.3 0.6 0.9 1.2 1.5-0.3-0.6-0.9-1.2-1.5-1.8
Pacific
Other
North America
Middle East
Europe ex EMU
EMU
EM Asia
Cash
0.0
0.0
0.1
0.0
-0.9
0.7
0.0
-0.1
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
-15.4
0.0
1.4
-0.6
16.7
-5.0
0.7
2.3
Allocation
(Total: -1.3)
0.0 0.3 0.6-0.3-0.6-0.9-1.2
-0.7
0.0
0.1
0.0
-0.5
0.1
0.0
-0.1
Stock
(Total: 0.9)
0.0 0.4 0.8 1.2-0.4-0.8-1.2
0.7
0.0
0.0
0.0
-0.4
0.6
0.0
0.0
Manager Evaluation
Morgan Stanley International Equity vs. MSCI EAFE Index
1 Quarter Ending December 31, 2015
38
Portfolio Characteristics
Portfolio Benchmark
Wtd. Avg. Mkt. Cap ($M)74,786 56,265
Median Mkt. Cap ($M)28,482 9,031
Price/Earnings ratio 17.9 16.4
Price/Book ratio 2.9 2.3
5 Yr. EPS Growth Rate (%)7.0 6.8
Current Yield (%)2.9 3.2
Debt to Equity 1.3 2.4
Number of Stocks 66 926
Beta (5 Years, Monthly)0.91 1.00
Consistency (5 Years, Monthly)45.00 1.00
Sharpe Ratio (5 Years, Monthly)0.39 0.31
Information Ratio (5 Years, Monthly)0.25 -
Up Market Capture (5 Years, Monthly)96.02 -
Down Market Capture (5 Years, Monthly)90.36 -
Top Ten Equity Holdings
Portfolio
Weight
(%)
Benchmark
Weight
(%)
Active
Weight
(%)
Quarterly
Return
(%)
Reckitt Benckiser Group PLC 4.7 0.5 4.2 2.1
Nestle SA, Cham Und Vevey 4.7 1.9 2.7 -0.6
British American Tobacco PLC 4.6 0.8 3.8 0.7
Unilever NV 4.6 0.6 4.0 9.5
Novartis AG 3.4 1.6 1.8 -5.2
Glaxosmithkline PLC 3.4 0.8 2.6 7.0
Roche Holding AG 3.4 1.6 1.8 5.0
Japan Tobacco Inc 3.0 0.3 2.7 22.2
Imperial Tobacco Group PLC 2.8 0.4 2.4 3.7
Prudential PLC 2.7 0.5 2.3 6.9
% of Portfolio 37.2 9.0
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
24.8
40.9
29.2
5.1
0.0
32.4
40.4
23.2
1.7 2.3
Sector Weights (%)
Morgan Stanley International Equity MSCI EAFE 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
3.2
6.2
4.7
7.5
15.5
17.9
3.3
29.2
10.2
0.0
3.7
4.9
6.3
5.4
12.6
11.9
25.6
4.5
11.9
13.2
Manager Evaluation
Morgan Stanley International Equity vs. MSCI EAFE Index
As of December 31, 2015
39
Morgan Stanley
International Equity MSCI EAFE Index
Australia 0.1 6.8
Hong Kong 0.0 3.1
Japan 18.3 23.4
New Zealand 0.0 0.2
Singapore 0.0 1.2
Pacific 18.4 34.7
Austria 0.0 0.2
Belgium 1.5 1.4
Finland 0.0 0.9
France 9.1 9.7
Germany 7.2 9.0
Ireland 1.0 0.4
Italy 0.4 2.4
Netherlands 7.4 3.0
Portugal 0.0 0.1
Spain 0.0 3.2
EMU 26.6 30.3
Denmark 0.0 1.9
Norway 0.0 0.6
Sweden 1.1 2.9
Switzerland 15.7 9.4
United Kingdom 33.7 19.3
Europe ex EMU 50.5 34.0
Canada 1.5 0.0
United States 0.0 0.1
Israel 0.0 0.8
Middle East 0.0 0.8
Developed Markets 97.0 100.0
Morgan Stanley
International Equity MSCI EAFE Index
Brazil 0.0 0.0
Cayman Islands 0.0 0.0
Chile 0.0 0.0
Colombia 0.0 0.0
Mexico 0.0 0.0
Peru 0.0 0.0
Virgin Islands 0.0 0.0
EM Latin America 0.0 0.0
China 0.7 0.0
India 0.0 0.0
Indonesia 0.0 0.0
Korea 0.0 0.0
Malaysia 0.0 0.0
Philippines 0.0 0.0
Taiwan 0.0 0.0
Thailand 0.0 0.0
EM Asia 0.7 0.0
Czech Republic 0.0 0.0
Egypt 0.0 0.0
Greece 0.0 0.0
Hungary 0.0 0.0
Poland 0.0 0.0
Qatar 0.0 0.0
Russia 0.0 0.0
South Africa 0.0 0.0
Turkey 0.0 0.0
United Arab Emirates 0.0 0.0
EM Europe + Middle East + Africa 0.0 0.0
Emerging Markets 0.7 0.0
Frontier Markets 0.0 0.0
Cash 2.3 0.0
Other 0.0 0.0
Total 100.0 100.0
Manager Evaluation
Morgan Stanley International Equity vs. MSCI EAFE Index
As of December 31, 2015
40
Historical Performance
Buy and Hold Attribution
Risk and Return (Jan - 2011 - Dec - 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 -0.6 -10.3 -10.3 -5.3 -3.6 3.6 -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 -14.9 -14.9 -6.8 -4.8 3.6 -2.2 -2.6 18.2 -18.4 18.9 78.5 -53.3 39.4 32.2 34.0
IM Emerging Markets Equity 0.2 -14.2 -14.2 -6.6 -4.8 3.3 -3.0 -1.5 18.8 -19.5 18.3 72.9 -54.7 36.9 32.3 32.0
Morgan Stanley Emerging Markets Rank 66 25 25 41 34 41 69 46 32 36 48 63 69 22 12 34
Morgan Stanley Emerging Markets MSCI Emerging Markets Index
0
25
50
75
100Return Percentile Rank3/06 3/07 3/08 3/09 3/10 3/11 3/12 3/13 3/14 3/15 12/15 -8.0
-6.0
-4.0
-2.0
0.0
Return (%)12.8 13.6 14.4 15.2 16.0 16.8 17.6 18.4
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
0.1
-0.7
0.5
1.3
0.3
-2.9
-4.5
1.4
6.0
1.6
Allocation
(Total: 0.1)
0.0 0.1 0.2-0.1-0.2
0.1
0.0
0.0
0.0
0.0
0.0
0.0
0.0
0.0
0.1
0.0
Stock
(Total: -0.2)
0.0 0.6 1.2-0.6-1.2
0.0
-0.2
-0.3
0.6
0.4
-0.2
0.0
-0.1
0.0
-0.4
0.0
Morgan Stanley Emerging Markets
0.0 0.4 0.8 1.2-0.4-0.8
0.0
-0.2
-0.3
0.6
0.4
-0.2
0.0
0.0
-0.1
-0.3
0.0
Manager Evaluation
Morgan Stanley Emerging Markets vs. MSCI Emerging Markets Index
As of December 31, 2015
Differences between the manager return and the attribution return are due primarily to the effects of fees and portfolio trading.
41
Total Attribution
0.0 0.3 0.6 0.9 1.2 1.5 1.8 2.1-0.3-0.6-0.9-1.2-1.5-1.8
Pacific
Other
North America
Frontier Markets
Europe ex EMU
EMU
EM Latin America
EM Europe + Middle East + Africa
EM Asia
Cash
1.1
-0.1
0.1
0.0
0.0
0.3
-0.4
0.7
-0.9
0.0
Performance Attribution
Average Active Weight
0.0 8.0 16.0-8.0-16.0-24.0
Pacific
Other
North America
Frontier Markets
Europe ex EMU
EMU
EM Latin America
EM Europe + Middle East + Africa
EM Asia
Cash
5.6
1.9
1.2
1.6
0.7
4.2
1.5
-4.8
-13.5
1.6
Allocation
(Total: 0.5)
0.0 0.4 0.8 1.2-0.4-0.8
0.2
-0.1
0.1
0.0
0.0
0.3
0.0
0.4
-0.4
0.0
Stock
(Total: 0.2)
0.0 0.6 1.2 1.8-0.6-1.2
0.9
0.0
0.0
0.0
0.0
0.0
-0.4
0.3
-0.6
0.0
Manager Evaluation
Morgan Stanley Emerging Markets vs. MSCI Emerging Markets Index
1 Quarter Ending December 31, 2015
42
Portfolio Characteristics
Portfolio Benchmark
Wtd. Avg. Mkt. Cap ($M)37,514 41,067
Median Mkt. Cap ($M)7,221 4,735
Price/Earnings ratio 13.2 11.4
Price/Book ratio 2.6 2.4
5 Yr. EPS Growth Rate (%)14.5 10.7
Current Yield (%)2.2 2.8
Debt to Equity 0.9 0.9
Number of Stocks 139 838
Beta (5 Years, Monthly)0.84 1.00
Consistency (5 Years, Monthly)55.00 1.00
Sharpe Ratio (5 Years, Monthly)-0.16 -0.19
Information Ratio (5 Years, Monthly)0.19 -
Up Market Capture (5 Years, Monthly)85.38 -
Down Market Capture (5 Years, Monthly)83.81 -
Top Ten Equity Holdings
Portfolio
Weight
(%)
Benchmark
Weight
(%)
Active
Weight
(%)
Quarterly
Return
(%)
Tencent Holdings LTD 3.9 3.0 1.0 17.9
Samsung Electronics Co Ltd 3.5 3.4 0.1 12.1
Taiwan Semiconductor Manufacturing 2.6 3.1 -0.6 10.0
China Mobile Ltd 2.4 2.0 0.4 -4.7
Fomento Economico Mex 2.2 0.5 1.7 4.2
China Construction Bank Corp 2.0 1.7 0.3 3.1
Bank of China Ltd 1.9 1.0 0.9 3.9
Naspers Ltd 1.9 1.6 0.3 9.3
Erste Group Bank AG 1.8 0.0 1.8 8.4
Samsonite International SA 1.6 0.0 1.6 -7.7
% of Portfolio 23.7 16.3
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
16.7
21.0
42.7
19.6
0.0
16.2 14.2
41.8
25.2
2.6
Sector Weights (%)
Morgan Stanley Emerging Markets MSCI Emerging Markets Index
0.0 8.0 16.0 24.0 32.0 40.0
Cash
Utilities
Telecommunication Services
Materials
Information Technology
Industrials
Health Care
Financials
Energy
Consumer Staples
Consumer Discretionary
2.6
0.3
6.9
5.3
20.6
9.5
2.3
24.7
2.5
9.7
15.6
0.0
3.2
6.8
6.0
20.8
7.0
2.9
27.9
7.1
8.3
10.0
Manager Evaluation
Morgan Stanley Emerging Markets vs. MSCI Emerging Markets Index
As of December 31, 2015
43
Morgan Stanley
Emerging Markets
MSCI Emerging
Markets Index
Australia 0.0 0.0
Hong Kong 1.1 0.3
Japan 0.7 0.0
New Zealand 0.0 0.0
Singapore 0.0 0.0
Pacific 1.8 0.3
Austria 2.4 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 1.2 0.0
Portugal 0.8 0.0
Spain 0.0 0.0
EMU 4.4 0.0
Denmark 0.0 0.0
Norway 0.0 0.0
Sweden 0.0 0.0
Switzerland 0.7 0.0
United Kingdom 0.0 0.0
Europe ex EMU 0.7 0.0
Canada 0.0 0.0
United States 1.4 0.0
Israel 0.0 0.0
Middle East 0.0 0.0
Developed Markets 8.3 0.3
Morgan Stanley
Emerging Markets
MSCI Emerging
Markets Index
Brazil 4.5 5.5
Cayman Islands 0.0 0.0
Chile 0.6 1.2
Colombia 0.7 0.4
Mexico 7.0 4.5
Peru 0.9 0.3
Virgin Islands 0.0 0.0
EM Latin America 13.6 11.9
China 17.7 26.2
India 9.9 8.7
Indonesia 3.1 2.6
Korea 12.5 15.6
Malaysia 0.1 3.3
Philippines 4.2 1.4
Taiwan 10.7 12.1
Thailand 1.5 2.0
EM Asia 59.7 71.8
Czech Republic 1.1 0.2
Egypt 0.5 0.2
Greece 0.0 0.5
Hungary 0.0 0.3
Poland 2.9 1.3
Qatar 0.0 1.0
Russia 0.8 3.4
South Africa 6.5 6.8
Turkey 1.0 1.4
United Arab Emirates 0.0 0.9
EM Europe + Middle East + Africa 12.8 16.0
Emerging Markets 86.1 99.7
Frontier Markets 1.2 0.0
Cash 2.6 0.0
Other 1.8 0.0
Total 100.0 100.0
Manager Evaluation
Morgan Stanley Emerging Markets vs. MSCI Emerging Markets Index
As of December 31, 2015
44
Historical Performance
Three Year Rolling Percentile Ranking Risk and Return (Jan-2011 - Dec-2015)
Historical Statistics (Jan-2011 - Dec-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 -0.7 0.9 0.9 1.1 2.9 4.7 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 -0.7 1.1 1.1 1.1 2.6 4.0 3.1 -0.9 3.9 5.8 5.9 5.2 5.1 7.4 4.1 1.6
IM U.S. Intermediate Duration Fixed Income -0.6 0.4 0.4 0.6 2.0 3.5 2.1 -1.3 2.9 5.0 5.3 7.4 1.5 5.6 3.7 1.3
Income Research Rank 66 20 20 23 15 5 31 42 19 39 24 20 52 7 10 1
Income Research
Barclays Intermediate U.S. Government/Credit
0
25
50
75
100Return Percentile Rank3/06 3/07 3/08 3/09 3/10 3/11 3/12 3/13 3/14 3/15 12/15
2.0
2.4
2.8
3.2
3.6
Return (%)1.8 1.9 2.0
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 2.9 1.9 2.9 0.4 1.0 1.5 0.7 0.5 0.9 60.0 18y 11m
Barclays Intermediate U.S. Government/Credit 2.6 1.9 2.5 0.0 1.0 1.3 0.0 N/A 0.9 0.0 18y 11m
90 Day U.S. Treasury Bill 0.1 0.0 0.0 0.1 0.0 N/A 1.9 -1.3 0.0 25.0 18y 11m
Manager Evaluation
Income Research vs. Barclays Intermediate U.S. Government/Credit
As of December 31, 2015
45
Portfolio Characteristics
Portfolio Benchmark
Effective Duration 3.8 4.0
Avg. Maturity 4.5 4.3
Avg. Quality AA-AA
Yield To Maturity (%)2.6 2.1
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
13.4 16.1
0.0
47.2
10.7
18.4 23.4
0.3
Maturity Distribution (%)
Income Research
Barclays Intermediate U.S. Government/Credit
0.0
20.0
40.0
60.0
80.0
< 1 Yr1 < 3 Yrs3 < 5 Yrs5 < 10 Yrs10 < 20 Yrs> 20 Yrs0.0
38.3
27.8
33.9
0.0 0.0
6.5
22.5
47.0
20.5
2.5 1.0
Sector Distribution (%)
Income Research
Barclays Intermediate U.S. Government/Credit
0.0
25.0
50.0
75.0
100.0
TreasuriesAgenciesCreditMBSABSNon-USEmergingMunicipalsCashOtherCMBS57.1
4.8
25.8
0.0 0.0
10.2
2.1 0.0 0.0 0.0 0.0
26.1
0.8
39.5
1.7
7.8
0.0 0.0 3.4 0.3
8.1 12.3
Manager Evaluation
Income Research vs. Barclays Intermediate U.S. Government/Credit
As of December 31, 2015
46
Historical Performance
Three Year Rolling Percentile Ranking Risk and Return (Jan-2011 - Dec-2015)
Historical Statistics (Jan-2011 - Dec-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 -0.8 -0.1 -0.1 1.9 4.7 5.8 7.1 -1.0 10.6 7.6 9.6 18.7 -2.1 4.6 5.1 3.0
Barclays U.S. Aggregate -0.6 0.5 0.5 1.4 3.2 4.5 6.0 -2.0 4.2 7.8 6.5 5.9 5.2 7.0 4.3 2.4
IM U.S. Broad Market Core+ Fixed Income -0.5 -0.5 -0.5 1.3 3.6 4.9 5.4 -1.1 8.2 6.2 8.2 14.2 -2.2 5.6 4.0 1.8
Prudential Core Plus Bond Fund Rank 68 41 41 19 7 7 13 50 11 19 28 27 49 77 18 5
Prudential Core Plus Bond Fund Barclays U.S. Aggregate
0
25
50
75
100Return Percentile Rank3/06 3/07 3/08 3/09 3/10 3/11 3/12 3/13 3/14 3/15 12/15 0.0
2.0
4.0
6.0
8.0
Return (%)2.6 2.8 3.0 3.2 3.4 3.6
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 4.7 3.3 4.6 1.7 0.9 1.4 2.0 0.7 1.7 65.0 16y 7m
Barclays U.S. Aggregate 3.2 2.8 3.2 0.0 1.0 1.1 0.0 N/A 1.3 0.0 16y 7m
90 Day U.S. Treasury Bill 0.1 0.0 0.0 0.1 0.0 N/A 2.8 -1.1 0.0 25.0 16y 7m
Manager Evaluation
Prudential Core Plus Bond Fund vs. Barclays U.S. Aggregate
As of December 31, 2015
47
Portfolio Characteristics
Portfolio Benchmark
Effective Duration 6.2 5.7
Avg. Maturity 7.8 7.9
Avg. Quality A AA+
Yield To Maturity (%)4.6 2.6
Credit Quality Distribution (%)
Prudential Core Plus Bond Fund Barclays U.S. Aggregate
0.0
25.0
50.0
75.0
100.0
AAAAAABBBBBBBelow BNot Rated71.8
4.4
10.6 13.2
0.0 0.0 0.0 0.0
33.8
3.8
13.7
24.9
10.1 10.0
0.9 2.8
Maturity Distribution (%)
Prudential Core Plus Bond Fund Barclays U.S. Aggregate
0.0
15.0
30.0
45.0
60.0
< 1 Yr1 < 3 Yrs3 < 5 Yrs5 < 10 Yrs10 < 20 Yrs> 20 Yrs0.0
22.1 20.6
42.2
3.9
11.2
6.2
14.2
28.3
37.3
3.6
10.5
Sector Distribution (%)
Prudential Core Plus Bond Fund Barclays U.S. Aggregate
0.0
15.0
30.0
45.0
60.0
TreasuriesAgenciesCreditHigh YieldMBSABSNon-USEmergingMunicipalsCashOtherCMBS36.4
3.7
20.5
0.0
28.6
0.6
6.5
1.9 0.0 0.0 0.0 1.8
9.3
0.2
30.6
14.9
2.3
21.5
0.9
5.4
0.8 1.0 2.6
10.5
Manager Evaluation
Prudential Core Plus Bond Fund vs. Barclays U.S. Aggregate
As of December 31, 2015
48
Historical Performance
Three Year Rolling Percentile Ranking Risk and Return (Jan-2011 - Dec-2015)
Historical Statistics (Jan-2011 - Dec-2015)
Quarter
Year
To
Date
1
Year
3
Years
5
Years
10
Years 2014 2013 2012 2011 2010 2009 2008 2007 2006 2005
Brandywine Global Opportunistic Fixed Income -0.6 -8.4 -8.4 -2.1 3.0 5.7 6.3 -3.5 14.1 8.0 13.9 20.5 -8.5 10.6 8.4 -0.9
Citigroup World Government Bond Index -1.2 -3.6 -3.6 -2.7 -0.1 3.4 -0.5 -4.0 1.6 6.4 5.2 2.6 10.9 11.0 6.1 -6.9
IM Global Fixed Income -0.8 -3.7 -3.7 -1.4 1.4 3.9 1.9 -2.5 7.4 4.0 6.1 12.1 -2.5 7.4 5.7 -2.7
Brandywine Global Opportunistic Fixed Income Rank 41 97 97 60 21 1 11 72 5 8 1 23 73 2 1 44
Brandywine Global Opportunistic Fixed Income
Citigroup World Government Bond Index
0
25
50
75
100Return Percentile Rank3/06 3/07 3/08 3/09 3/10 3/11 3/12 3/13 3/14 3/15 12/15
-6.0
-3.0
0.0
3.0
6.0
9.0
Return (%)3.9 4.2 4.5 4.8 5.1 5.4 5.7 6.0
Risk (Standard Deviation %)
Citigroup World Government Bond Index
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 3.0 5.2 3.0 3.1 0.7 0.6 4.5 0.7 3.0 70.0 11y
Citigroup World Government Bond Index -0.1 4.4 0.0 0.0 1.0 0.0 0.0 N/A 3.1 0.0 11y
90 Day U.S. Treasury Bill 0.1 0.0 0.0 0.1 0.0 N/A 4.4 0.0 0.0 55.0 11y
Manager Evaluation
Brandywine Global Opportunistic Fixed Income vs. Citigroup World Government Bond Index
As of December 31, 2015
49
Portfolio Characteristics
Portfolio Benchmark
Effective Duration 7.6 7.5
Avg. Maturity 14.7 8.6
Avg. Quality A AA-
Yield To Maturity (%)4.2 1.2
Credit Quality Distribution (%)
Brandywine Global Opportunistic Fixed Income
Citigroup World Government Bond Index
0.0
15.0
30.0
45.0
60.0
AAAAAABBBBBBBelow BNot Rated18.8
44.7
24.4
12.2
0.0 0.0 0.0 0.0
26.7
17.0
27.4
19.5
7.2
1.0 1.2 0.0
Maturity Distribution (%)
Brandywine Global Opportunistic Fixed Income
Citigroup World Government Bond Index
0.0
15.0
30.0
45.0
60.0
< 1 Yr1 < 3 Yrs3 < 5 Yrs5 < 10 Yrs10 < 20 Yrs> 20 Yrs0.0
24.9
20.3
27.0
13.8 14.0
0.8
21.9
3.6
25.3
9.1
39.4
Sector Distribution (%)
Brandywine Global Opportunistic Fixed Income
Citigroup World Government Bond Index
0.0
25.0
50.0
75.0
100.0
TreasuriesCreditHigh YieldMBSNon-USEmergingMunicipalsCashOther33.5
0.0 0.0 0.0
66.5
0.0 0.0 0.0 0.0
15.9
9.7
0.1 3.6
45.5
16.1
0.7 4.6 3.9
Manager Evaluation
Brandywine Global Opportunistic Fixed Income vs. Citigroup World Government Bond Index
As of December 31, 2015
50
Historical Performance
Comparative Performance and Rolling Return Risk and Return (Jan-2011 - Dec-2015)
Historical Statistics (Jan-2011 - Dec-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 4.0 7.3 7.3 10.6 7.0 5.9 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 1.9 -0.8 -0.8 4.9 2.6 3.5 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 12/15 -4.0
0.0
4.0
8.0
12.0
16.0
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 7.0 4.9 6.9 5.6 0.5 1.4 4.8 0.9 1.9 60.0 12y
HFRI Equity Hedge (Total) Index 2.6 8.0 2.8 0.0 1.0 0.4 0.0 N/A 6.1 0.0 12y
90 Day U.S. Treasury Bill 0.1 0.0 0.0 0.1 0.0 N/A 8.0 -0.4 0.0 35.0 12y
Manager Evaluation
Lighthouse Global Long/Short Fund Limited vs. HFRI Equity Hedge (Total) Index
As of December 31, 2015
51
Portfolio Characteristics
Portfolio
Manager Count 22
Net Exposure %27.4
Leverage 108.0
# Managers Funded 1
# Managers Redeemed 1
Region Allocation (Net Geographic Exposure)
Asia
13.5%
Europe
22.1%
Latin America
8.3%
United States
56.1%
Strategy Allocation
Value
12.6%
Trading
17.7%
Event Driven
13.8%
Sector Specialist
55.9%
Manager Evaluation
Lighthouse Global Long/Short Fund Limited
As of December 31, 2015*
*Portfolio Information is represented as of 09/30/2015. Data as of 12/31/2015 was not yet available at the time of report production.
52
Historical Performance
Comparative Performance and Rolling Return Risk and Return (Jan-2011 - Dec-2015)
Historical Statistics (Jan-2011 - Dec-2015)
Quarter
Year
To
Date
1
Year
3
Years
5
Years
10
Years 2014 2013 2012 2011 2010 2009 2008 2007 2006 2005
Entrust Capital Diversified Fund -2.6 -7.4 -7.4 2.2 1.8 4.2 1.8 13.2 7.4 -4.7 11.1 35.2 -26.0 9.9 12.8 4.5
HFRI Fund of Funds Composite Index 0.6 -0.3 -0.3 3.9 2.1 2.3 3.4 9.0 4.8 -5.7 5.7 11.5 -21.4 10.3 10.4 7.5
Rolling 3 Years Active Return Quarterly Active Return
0.0
6.0
12.0
18.0
-6.0
-12.0Active Return (%)12/03 3/05 6/06 9/07 12/08 3/10 6/11 9/12 12/13 12/15 1.2
1.5
1.8
2.1
2.4
2.7
Return (%)3.0 3.5 4.0 4.5 5.0 5.5 6.0 6.5 7.0 7.5
Risk (Standard Deviation %)
HFRI Fund of Funds Composite Index
Entrust Capital Diversified Fund
Return
Standard
Deviation
Excess
Return Alpha Beta
Sharpe
Ratio
Tracking
Error
Information
Ratio
Downside
Risk Consistency
Inception
Date
Entrust Capital Diversified Fund 1.8 6.3 1.9 -0.7 1.2 0.3 3.4 -0.1 4.7 50.0 12y 3m
HFRI Fund of Funds Composite Index 2.1 4.4 2.1 0.0 1.0 0.5 0.0 N/A 3.0 0.0 12y 3m
90 Day U.S. Treasury Bill 0.1 0.0 0.0 0.1 0.0 N/A 4.4 -0.5 0.0 25.0 12y 3m
Manager Evaluation
Entrust Capital Diversified Fund vs. HFRI Fund of Funds Composite Index
As of December 31, 2015
53
Portfolio Characteristics
Portfolio
Manager Count 27
Net Exposure %67.0
Leverage 1.5
# Managers Funded 0
# Managers Redeemed 0
Region Allocation (Net Geographic Exposure)
Asia
0.1%
Europe
22.4%
Japan
5.1%
Latin America
9.2%
Other
0.7%
US/Canada
62.5%
Strategy Allocation
Trading
6.5%
Special Situations
17.6%
Opportunistic
15.9%
Long/Short
9.0%
Event Driven
0.2%
Activist
22.7%
Credit
28.2%
Manager Evaluation
Entrust Capital Diversified Fund
As of December 31, 2015*
*Portfolio Information is represented as of 09/30/2015. Data as of 12/31/2015 was not yet available at the time of report production.
54
Historical Performance
Comparative Performance and Rolling Return Risk and Return (Jan-2011 - Dec-2015)
Historical Statistics (Jan-2011 - Dec-2015)
Quarter
Year
To
Date
1
Year
3
Years
5
Years
10
Years 2014 2013 2012 2011 2010 2009 2008 2007 2006 2005
UBS Trumbull Property Fund 2.7 11.7 11.7 10.4 10.5 5.8 10.4 9.2 9.0 12.1 15.9 -22.9 -8.3 12.8 15.6 20.1
NCREIF Property Index 2.4 12.8 12.8 11.9 12.1 7.7 11.8 11.0 10.5 14.3 13.1 -16.8 -6.5 15.8 16.6 20.1
Rolling 3 Years Active Return Quarterly Active Return
0.0
5.0
10.0
-5.0
-10.0Active Return (%)3/78 6/81 9/84 12/87 3/91 6/94 9/97 12/00 3/04 6/07 9/10 12/15 8.0
10.0
12.0
14.0
16.0
Return (%)0.6 0.7 0.8 0.9 1.0 1.1 1.2
Risk (Standard Deviation %)
NCREIF Property Index
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 10.5 1.1 10.0 0.9 0.8 9.6 0.9 -1.7 0.0 25.0 38y
NCREIF Property Index 12.1 0.8 11.5 0.0 1.0 14.3 0.0 N/A 0.0 0.0 38y
90 Day U.S. Treasury Bill 0.1 0.0 0.0 0.0 0.0 N/A 0.8 -14.3 0.0 0.0 38y
Manager Evaluation
UBS Trumbull Property Fund vs. NCREIF Property Index
As of December 31, 2015
55
Portfolio Characteristics
Portfolio Benchmark
# Properties 214 7,225
# Investors 419 N/A
Total Fund Assets 17,800 471,678
Property Type
UBS Trumbull Property Fund NCREIF Property Index
0.0
15.0
30.0
45.0
60.0
OfficeApartmentRetailIndustrialHotel37.1
24.0 23.4
14.4
1.1
31.0 31.0
23.0
11.0
4.0
Property Location
UBS Trumbull Property Fund NCREIF Property Index
0.0
15.0
30.0
45.0
60.0
EastWestSouthMidwest33.3 36.9
20.4
9.4
37.0 36.0
14.0 13.0
Manager Evaluation
UBS Trumbull Property Fund vs. NCREIF Property Index
As of December 31, 2015*
*Portfolio Information is represented as of 09/30/2015. Data as of 12/31/2015 was not yet available at the time of report production.
56
Type City
Ac quis ition
Da te
%
Occupa nc y Cos t ($000)
Fa ir Ma rket
Value ($000)
Office Bo ston Dec-11 99%647,253$ 735,000$
Office Ne w York Ju n-06 96%663,778$ 674,000$
Re tail Ca mb rid ge May-89 95%293,153$ 575,063$
Re tail Da lla s Dec-02 94%407,609$ 526,000$
Apart me nts Ne w York Ju l-11 96%391,566$ 510,000$
Office Ne w York Ju l-11 94%205,695$ 494,397$
Office Ch ic ag o Dec-11 100%394,928$ 488,879$
Office Ne w York Se p-14 94%280,203$ 470,138$
Re tail Ch ic ag o No v-13 95%226,317$ 468,789$
As of S epte mber 30,2015*
20 La rge st Inve st me nts
Manager Evaluation
UBS Trumbull Property Fund
As of December 31, 2015
Re tail Ch ic ag o No v-13 95%226,317$ 468,789$
Office Po rt la nd Aug-15 95%372,860$ 365,751$
Re tail Eme ry ville Aug-14 96%306,815$ 306,000$
Re tail Montebello Dec-88 95%186,702$ 296,000$
Office Se attle Oc t-84 93%233,446$ 292,000$
Office De nver Ju n-06 96%178,188$ 278,000$
Office Sa n Fra ncis co Dec-85 97%166,259$ 261,384$
Office Washin gton Ju n-15 95%246,735$ 248,000$
Office Pa sadena May-84 96%185,467$ 235,000$
Office De nver Apr-82 92%143,745$ 225,000$
Re tail Millb ury Se p-04 99%156,000$ 203,400$
Ho tel Ne w York Ju n-10 N/A 158,950$ 188,900$
All o ther in vestme nts ----10,780,946$ 12,772,787$
Total Properties 16,626,615$ 20,614,488$
*Data not yet available for most recent quarter.
57
Historical Performance
Comparative Performance and Rolling Return Risk and Return (Jan-2011 - Dec-2015)
Historical Statistics (Jan-2011 - Dec-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 -4.6 -21.1 -21.1 -12.9 -8.6 N/A -12.8 -3.9 5.2 -8.6 N/A N/A N/A N/A N/A N/A
Wellington DIH Multi-Asset Inflation Index -3.0 -19.4 -19.4 -11.2 -7.8 -0.6 -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 12/15 -10.4
-9.6
-8.8
-8.0
-7.2
-6.4
-5.6
Return (%)12.0 12.5 13.0 13.5 14.0 14.5 15.0
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 -8.6 14.2 -7.9 0.0 1.1 -0.6 2.2 -0.3 13.2 50.0 5y 9m
Wellington DIH Multi-Asset Inflation Index -7.8 12.9 -7.2 0.0 1.0 -0.6 0.0 N/A 11.9 0.0 5y 9m
90 Day U.S. Treasury Bill 0.1 0.0 0.0 0.1 0.0 N/A 12.9 0.6 0.0 55.0 5y 9m
Manager Evaluation
Wellington Diversified Inflation Hedges vs. Wellington DIH Multi-Asset Inflation Index
As of December 31, 2015
58
Manager Evaluation
We llington Diversified Inflation Hedges Sector Allocation
As of December 31, 2015
Fund Composition Fund Weights Relative to Benchmark
Energy
24.5%
Metals &
Mi ni ng
0.9%
TIPS
9.8%
Emerging
Markets
In flati on-Link ed
Bonds
3.6%
Cash
0.6%
10.5%
0.0%
3.4%
0.0%
5.0%
10.0%
15.0%
20.0%
Global Inflation-Sensitive Equities
Commodities
Fixed Income & Cash
Agri culture
5.3%
Enduring
Assets
13.7%Precious
Metals
2.0%
Inflati on
Opportuni ti es
15.8%
Commoditi es
23.8%
-13.9%
-2 0.0%
-1 5.0%
-1 0.0%
-5 .0 %
0.0%
Eq ui ties Fi xed In come Commo dities Cash
59
Calendar Year Performance
60
2015 2014 2013 2012 2011 2010 2009 2008 2007 2006
Total Composite -0.7 2.9 10.9 12.1 1.2 11.2 20.2 -20.2 10.7 11.8
Policy Benchmark -1.4 3.5 12.3 11.6 1.1 11.5 19.5 -20.6 8.3 13.0
Total Equity Composite 0.5 4.7 N/A N/A N/A N/A N/A N/A N/A N/A
MSCI AC World Index -2.4 4.2 22.8 16.1 -7.3 12.7 34.6 -42.2 11.7 21.0
Domestic Equity Composite 1.9 10.1 N/A N/A N/A N/A N/A N/A N/A N/A
Russell 3000 Index 0.5 12.6 33.6 16.4 1.0 16.9 28.3 -37.3 5.1 15.7
International Equity Composite -2.0 -5.5 N/A N/A N/A N/A N/A N/A N/A N/A
MSCI AC World ex USA Index -5.7 -3.9 15.3 16.8 -13.7 11.2 41.4 -45.5 16.7 26.7
Fixed Income Composite -2.1 2.4 -1.7 10.9 3.8 8.7 18.9 -3.4 6.4 5.6
Barclays Intermediate U.S. Government/Credit 1.1 3.1 -0.9 3.9 5.8 5.9 5.2 5.1 7.4 4.1
Hedge Funds Composite N/A N/A N/A N/A N/A N/A N/A N/A N/A N/A
HFRI Fund of Funds Composite Index -0.3 3.4 9.0 4.8 -5.7 5.7 11.5 -21.4 10.3 10.4
Calendar Year Performance
Composite Performance
As of December 31, 2015
_________________________
See appendix for a description of the benchmarks and universe. Performance is reported net of fees.
61
Capital Markets Review
62
Capital Markets Rev iew
Economy
-4
-3
-2
-1
0
1
2
3
4
Dec-1995Dec-1996Dec-1997Dec-1998Dec-1999Dec-2000Dec-2001Dec-2002Dec-2003Dec-2004Dec-2005Dec-2006Dec-2007Dec-2008Dec-2009Dec-2010Dec-2011Dec-2012Dec-2013Dec-2014Million Barrels Per DayOil Supply -De mand Balance
So urce:Blo omberg,IEA
Levels > 0 supply outpaces dema nd
80
100
120
140
160
180
200
220
240
80
85
90
95
100
105
110
115
120
Dec-2014Jan-2015Feb-2015Mar-2015Mar-2015Apr-2015May-2015May-2015Jun-2015Jul-2015Jul-2015Aug-2015Sep-2015Sep-2015Oct-2015Nov-2015Dec-2015Dec-201512/31/14 =100 (Shanghai)12/31/14 =100 (S&P, TSX)Equity Inde x Levels
S&P 500 TSX Sha nghai
So urce:Blo omberg
Too Much Oil Now a Problem as World Growth Slows
•Oil producers worldwide maintained or grew production amidst falling crude prices.
Saudi Arabia’s attempt to lower oil prices by increasing supply went well beyond
expectations.As oil prices fell,OPEC producers increased production to maintain
cashflow,causing oil supply to outpace demand for a second consecutive year.
With global growth weakening and oil demand falling below forecasts,negative
effects rippled through industries that benefited from the once resilient oil
production industry.
•The Federal Reserve raised interest rates 25 bps in December,placing its policy
trajectory at odds with other central banks.China’s central bank lowered its
lending rate to a record low;the European Central Bank stood poised to enact
further stimulus;the Bank of England stated that rate increases were not
necessary as economic uncertainty spread.The disparity between rising U.S.
rates and the rest of the world sent major currencies lower versus the dollar and
furthered oil’s decline,as it is traded in USD.
•China’s policy to force stock purchases and restrict selling temporarily boosted its
stock market after a summer rout.Investors remained leery of government
directives to dictate asset prices,which detach asset prices from actual values and
eventually lead to rapid selloffs if growth does not rebound to levels supporting
stock valuations.Investors remain cautious as growth prospects for 2016 continue
to look weaker.Dec-1995Dec-1996Dec-1997Dec-1998Dec-1999Dec-2000Dec-2001Dec-2002Dec-2003Dec-2004Dec-2005Dec-2006Dec-2007Dec-2008Dec-2009Dec-2010Dec-2011Dec-2012Dec-2013Dec-20140
1
2
3
4
5
6
7
8
Dec-2007Jun-2008Dec-2008Jun-2009Dec-2009Jun-2010Dec-2010Jun-2011Dec-2011Jun-2012Dec-2012Jun-2013Dec-2013Jun-2014Dec-2014Jun-2015Dec-2015PercentCe ntral Bank Inte re st Rate s
CHINA EUROZONE
JAP AN CANADA
U.S.
Source:Blo omberg
63
5.0%
7.0%
4.7%3.6%2.5%
-5.1%
9.0%
3.5%0.7%
-2.7%-5.2%-8.2%
-2.4%
1.4%
-0.8%-1.4%-2.8%
-24.2%
3.0%
-9.8%
-14.9%
-31.0%
-14.7%
-20.0%
-40.0%
-30.0%
-20.0%
-10.0%
0.0%
10.0%
20.0%
4Q 15
20 15
4th Quarter and 2015 Sector Returns
Capital Markets Rev iew
Equities
4th Quarter and 2015 World Equity Returns (USD)
Developed Markets Emerging Markets
-8.4%
6.9%
6.0%
-2.5%
3.4%
6.6%
1.4%
-1.5%
10.1%
-4.8%
-21.1%
9.7%
9.2%
9.2%
8.0%
7.6%
7.6%
7.0%
6.0%
5.8%
1.1%
0.2%
-30.0%-25.0%-20.0%-15.0%-10.0%-5.0%0.0%5.0%10 .0%15 .0%
Materials
Healt h Care
Info Tech
Indus trials
Telecom
Cons.Staples
S&P 500
Financial s
Cons.Disc .
Utilities
Ene rgy
4Q15
2015
2015 Value vs. Growth Returns
-30.0%-25.0%-20.0%-15.0%-10.0%-5.0%0.0%5.0%10 .0%15 .0%
Source: Investment Metrics PARIS
Stocks Post a Strong Fourth Quarter to End the Year Flat
•The S&P finished the year strong,posting a fourth quarter return of 7.0%to end the
year at 1.4%.While the market retreated slightly in the latter two months of the
quarter,strong economic data (especially in the labor market)helped push markets
to near all-time highs.Overall,in the fourth quarter nearly all sectors posted sizable
gains,except utilities and energy,where rising rates and low oil prices dampened
gains.Energy was the worst performing sector for the year,down -21.1%,followed
by materials,which was down -8.4%.
•Non-U.S.equities finished the year mixed.In general,the developed markets did
well during the fourth quarter.European indices saw modest gains as growth finally
showed signs of picking up amidst heavy stimulus measures from the ECB.The
MSCI Pacific Index,benefiting from the BOJ’s strong monetary easing,returned 9%
for the quarter.Most emerging markets declined during the fourth quarter and year,
with both local market returns and currency depreciation contributing to losses for
U.S.investors.
•2015 saw a large divergence between growth and value stocks.U.S.large growth
stocks performed especially well versus other market segments.During periods of
weak economic growth,the growth style tends to outperform the value style.
Growth stocks also performed well within non-U.S.markets.
-1.4%
-7.5%
5.7%
-3.8%
-10 .0%
-5.0%
0.0%
5.0%
10 .0%
Russell 200 0 Gr owth Russell 200 0 Value Russell 100 0 Gr ow th Russell 100 0 Value
64
25 0
45 0
65 0
85 0
10 50
12 50
Option-Adjusted Spread (OAS)Barclays US High Yield (OAS : 6 60 )
Barclays US High Yield ex En er gy (OAS: 583)
Barclays US High Yield En er gy (OAS: 1296)
Trailing Ten-Year Credit Spreads
Source: Barclays
Source: Barclays
Duration-adjusted Excess Returns to Treasuries (bps)
Capital Markets Rev iew
Fixed Income
Best Period Second Best Period Wors t Period Second W orst Period
2009 2010 2011 2012 2013 2014 2015 4Q15
Ag gre ga te 746 171 -114 226 93 10 -53 32
Ag ency 288 77 -25 166 1 10 -133 -4
MBS 495 225 -106 91 98 40 -5 61
ABS 2496 169 52 246 24 53 44 -7
CM BS 2960 1501 47 841 97 108 -28 -28
Credit 1990 192 -322 693 226 -18 -169 50
Hi gh Yield 5955 974 -240 1394 923 -112 -577 -119
Em ergi ng 3797 508 -537 1503 -32 -120 3 200
Source: U.S. Dept of The Treasury
The Long Wait is Over, Fed Lift-Off Ensues
•Fixed income markets were turbulent during the fourth quarter as the Fed
embarked on its first rate increase since 2006,while the slowing Chinese
economy and ongoing commodity selloff pressured spread sectors.Rates
increased across the curve,particularly in the six-month to five-year segment,
while long rates rose moderately.
•The Barclays Aggregate Index returned -0.6%for the quarter and +0.5%for the
year.Investment grade corporate spreads tightened 4 bps during Q4,although
rising interest rates offset spread tightening,leading to negative total returns for
the sector (-0.6%).Within investment grade credit,financials outpaced
industrials and utilities for both the quarter and the year.High yield (-2.1%)
continued to face headwinds driven largely by commodity-related sectors such
as metals/mining (-9.5%)and energy (-12.9%),where spreads increased
nearly 300 bps during the quarter.
•MBS (-0.1%)outperformed credit during the quarter,buoyed by strong investor
demand,slowing prepayment speeds,and the Fed’s commitment to continue
its reinvestment program until the normalization of the federal funds rate is well
under way.
•Locally denominated emerging debt ended the quarter flat,although U.S.Dollar
strength drove significant negative results for the year (-14.9%).Local
sovereign bond indices for Turkey,South Africa,Columbia,and Brazil each
ended the year down more than 20%.
U.S. Treasury Yield Curve Change
0.0%
0.1%
0.2%
0.3%
0.4%
0.5%
0.6%
0.7%Change in YieldMaturity (Year s)
4Q15
1 Yr E nd in g 4 Q15
65
Capital Markets Review
Hedge Funds
HFRI Index Performance –Fourth Quarter and 2015 Hedge Fund Strategy Dispersion
Macroeconomic Volatility Weighs on Hedge Fund Returns
Source: HFR Inc.
0.5%
-1.8%
-0.3%
-1.0%
3.3%
-1.2%
-3.3%
4.4%
-0.8%
-8.0%
1.9%
-0.6%
5.1%
0.6%
0.8%
2.1%
0.0%
-0.1%
1.3%
1.9%
-3.2%
0.2%
-10%-8%-6%-4%-2%0%2%4%6%8%
BC Aggrega te Bo nd Inde x
MS CI All-Co untry Wo rld I nde x
Fu nd o f Fu nds
Hed ge F und Comp os ite
Me rger Arbit rage
Glob al Mac ro
Ev ent Dri ve n
Equity Ma rket Neut ral
Equity Hedg e
Distresse d Sec urities
Convert ibl e Arbi trag e Q4
2015
2009 2010 2011 2012 2013 2014 2015
Di str essed Di str essed Multi -Strategy Re lati ve Value Long/Shor t Ma cro Multi-Strategy
28.1%12.1%4.2%10.0%14.6%6.4%0.6%
Re lati ve Value Event Driven Re lati ve Value Distressed Distressed Re lati ve Value Fund of Funds
25.8%11.9%0.1%10.3%13.6%4.5%-0.3%
Event Driven Re lati ve Value Di str essed Multi -Strategy Event Driven Multi-Strategy Re lative Value
25.0%11.4%-1.8%9.2%12.5%3.6%-0.3%
Long/Shor t Long/Shor t Event Driven Event Driven Multi -Strategy Fund of Funds Long/Shor t
24.6%10.5%-3.3%8.5%11.2%3.2%-0.8%
Multi -Strate gy Multi -Strategy Macro Long/Shor t Fund of Funds Long/Shor t Ma cro
24.6%9.3%-4.2%7.4%9.0%2.3%-1.2%
Fund of Funds Macro Fund of Funds Fund of Funds Re lati ve Value Event Driven Event Driven
11.5%8.1%-5.7%5.3%7.2%1.1%-3.3%
Macro Fund of Funds Long/Shor t Ma cro Ma cro Distressed Distr essed
4.3%5.7%-8.4%-0.2%-0.3%-1.1%-8.0%
-$100,000
$300,000
$700,000
$1,100,000
$1,500,000
$1,900,000
$2,300,000
$2,700,000
$3,100,000
Assets ($MM)Net Asset Flow Estimated Assets
Source: HFR Inc.
Macroeconomic Volatility Weighs on Hedge Fund Returns
•Hedge fund manager performance was positive across all strategies during the
fourth quarter,with the exception of event driven (-0.1%)and distressed (-3.2%).
Hedge funds (+0.8%)provided mixed results overall compared to broad market
indices,as they underperformed the MSCI All-Country World Index (+5.1%),but
outperformed the Barclays Capital Aggregate Bond Index (-0.6%).During 2015,
broad hedge fund indices provided mostly negative results (see above).
•Equity market neutral and merger arbitrage were among the top performing
strategies during the quarter,returning +1.3%and +1.9%,respectively.Both
strategies were also top performers in 2015.Equity market neutral managers
benefited from low net exposure and stock dispersion across sectors and
geographies.Merger arbitrage managers provided positive results due in part to
continued deal activity during the quarter.2015 was a record year for mergers and
acquisitions with $4.9 trillion in transactions announced,breaking the previous
record of $4.3 trillion in 2007.
•Distressed and event driven managers were the worst performing strategy during
the quarter and 2015.Distressed managers returned -8.0%in 2015.Many
managers suffered as a result of unfavorable positioning in the energy sector.
Event driven managers saw a wide dispersion in returns in 2015.
•Hedge fund assets increased by $23 billion during the fourth quarter.The rise in
assets can be attributed wholly to performance as investors redeemed
approximately $1.5 billion during the quarter,according to HFR Inc.
Hedge Fund Assets and Flows
66
5.8%5.5%5.3%5.1%4.8%
0%
5%
10 %
20 11 Q3 20 12 Q3 20 13 Q3 20 14 Q3 20 15 Q34 Qtr vs Avg Value Wtd Cap RateNCREIF 3 M on.1 Y r.3 Yrs.5 Yrs.10 Yrs.
NCREIF 3.1%13.5%11.9%12.5%8.0%
Ap artm ents 2.9%12.0%10.9%12.6%7.6%
In dus trials 3.7%15.6%13.2%13.2%7.9%
Office 3.0%13.1%11.1%11.7%7.8%
Retail 3.1%14.4%13.6%13.6%9.0%
Eas t 2.6%11.5%9.9%11.2%7.4%
Mi dwes t 2.9%12.8%11.4%11.5%7.1%
South 3.1%14.2%13.2%13.0%8.3%
West 3.6%15.2%13.2%13.9%8.7%
Capital Markets Review
Real Assets
Real Estate Returns as of Third Quarter 2015
Real Estate Performs Well; Commodities Decline Dramatically
Source: NCREIF
NCREIF Property Index (NPI) –Implied Appraisal Cap Rates Touch
a New Low
Source: NCREIF
-41.5%
-16.9%
-24.5%
-11.1%
-18.3%
-45%
-40%
-35%
-30%
-25%
-20%
-15%
-10%
-5%
0%
Ene rgy Agri cu lture
In dus tria l
Me tal s
Precio us
Me tal s Li ve sto ck
Real Estate Performs Well; Commodities Decline Dramatically
•Private real estate returned 3.1%during the third quarter and 13.5%during the
trailing 12 months.By sector,industrial properties experienced the best returns
for the quarter and year.By region,the West was once again the top performing
region for the quarter,year,and longer term.For the trailing one-year period,
income and appreciation accounted for 5%and 8%of the index return,
respectively.Low interest rates and strong property fundamentals drove cap
rates down to 4.8%from 4.9%the prior quarter.
•Despite a rise in U.S.interest rates in December,U.S.REITs performed well
during the fourth quarter,with the FTSE All Equity REIT Index returning 7.7%,
bringing the year to date return to 2.8%.At year end,the Index yielded 3.8%.
U.S.REITS traded at approximately a 3%discount to NAV at December 31,
2015.The FTSE Global REIT Index returned 4.9%during the fourth quarter and
-0.4%for the year.The yield of the Global Index was 3.6%,slightly less than the
yield to U.S.REITs.
•Commodities experienced one of their worst performing years in 2015,with 22 of
24 commodities having negative returns.Energy related commodities performed
the worst,down 41.5%,while precious metals performed best,down 11.1%.
Demand concerns,particularly relating to China and a stronger U.S.dollar,
affected energy and industrial metals prices.Oversupply conditions weighed
heavily on energy prices.S&P reports that on December 22,2015,the S&P
GSCI Total Return recorded a new maximum drawdown of -80.5%from its peak
on July 3,2008.On that day,the Index reached its lowest point in more than 16
years.
S&P GSCI Returns –Al l Five Commodity Sectors Post Double
Digit Declines in 2015
Source: S&P GSCI
Source: NCREIF
67
$0
$1 00
$2 00
$3 00
$4 00
$5 00
$6 00
$7 00
$8 00
0
50 0
1,000
1,500
2,000
2,500
3,000
3,500
4,000
Aggregate Exit Value ($,Billions)# of PE-Backed Deals# o f P E-Backed Exits # o f P E-Bac ked Deals
Agg re gat e Exit Valu e Aggregat e Deal Value
Private-Equity Backed Deal & Exit ActivityInvestment Horizon Pooled IRR (As of 9/30/15)
Fund Type 3 Months 1 Year 3 Years 5 Years 10 Years 20 Years
Early Stage VC 0.1%30.6%23.2%19.6%11.3%52.7%
Late/Expansion Stage VC -0.6%11.9%16.7%14.8%12.8%10.0%
Multi-Stage VC -0.9%18.9%19.6%16.1%10.3%11.5%
Al l Venture Capital -0.3%25.1%21.4%18.0%11.1%25.5%
Small Buyouts 0.3%7.1%11.0%13.6%17.3%14.5%
Medium Buyouts -0.4%7.1%10.6%11.0%13.4%15.1%
Large Buyouts -0.9%5.0%12.3%13.0%13.1%15.5%
Mega Buyouts -0.6%10.5%15.9%14.8%10.3%11.0%
Al l Buyouts -0.6%8.4%13.9%13.7%11.8%13.0%
Mezzanine/Sub Debt 1.0%6.8%10.5%11.4%10.3%9.8%
Distressed -1.8%2.0%10.8%10.8%9.8%10.9%
Al l Private Equity -1.5%7.3%13.5%13.2%11.2%13.7%
MSCI AC World Index -9.3%-5.8%8.4%7.9%5.5%5.8%
Capital Markets Rev iew
Pr ivate Equity
Agg re gat e Exit Valu e Aggregat e Deal Value
$0
$1 0
$2 0
$3 0
$4 0
$5 0
$6 0
$0
$2 0
$4 0
$6 0
$8 0
$1 00
$1 20
$1 40
Amount Raised by Fund Type ($, Billions)Total Raised ($,Billions)Total R aised VC Buyout
Real Assets Secondary Funds Distressed/SS
Fundraising & Exit Activity Slowed in 2015, Total Value of Deals Up
•The pooled IRR for private equity funds significantly outperformed the MSCI All
Country World Index during the third quarter and trailing one-year period
through 3Q15,as public equity markets experienced substantial declines
globally.For the quarter,most fund types experienced modest negative returns.
There was a narrow range of returns by fund type as mezzanine/subordinated
debt was the top performing segment (pooled IRR of 1.0%)while
turnaround/distressed funds (pooled IRR of -1.8%)were the worst performers.
•Private equity fundraising picked up during the fourth quarter of 2015 as
investor concerns were alleviated by a rebound in public equity markets.
However,total fundraising for 2015 dropped off considerably from the robust
levels seen in 2014.In total,private equity funds raised $89bn in 4Q15,14%
more than the prior quarter.For the 2015 calendar year,private equity funds
raised $359bn,representing a 13%decline from 2014.
•Private equity exit activity slowed in 2015 while private equity-backed deal
activity increased based on aggregate deal value.Deal activity in 2015 was
dominated by large deals,or those representing more than $1 billion,as those
valuations tend to be more closely tied to public equity markets.The aggregate
value of exits totaled $416bn in 2015,down from $460bn the prior year,while
deal activity reached $409bn in 2015,up from $348bn the prior year.
Source: ThomsonOne/Cambridge Associates database, January 2016.
Note: Data is continuously updated and is therefore subject to change.
MSCI AC World Index -9.3%-5.8%8.4%7.9%5.5%5.8%
Source: Thomson Reuters, ThomsonOne database, January 2016.
Source: Preqin, 2016 Private Equity-Backed Buyout Deals and Exits
Global Fundraising
68
Quarter
Year
To
Date
1
Year
2
Years
3
Years
5
Years
7
Years
10
Years
Domestic Equity Indices
Dow Jones Wilshire 5000 6.4 0.7 0.7 6.5 14.7 12.1 15.0 7.4
S&P 500 7.0 1.4 1.4 7.4 15.1 12.6 14.8 7.3
Russell 1000 Index 6.5 0.9 0.9 6.9 15.0 12.4 15.1 7.4
Russell 1000 Growth Index 7.3 5.7 5.7 9.3 16.8 13.5 17.1 8.5
Russell 1000 Value Index 5.6 -3.8 -3.8 4.5 13.1 11.3 13.0 6.2
Russell Midcap Index 3.6 -2.4 -2.4 5.1 14.2 11.4 17.2 8.0
Russell Midcap Growth Index 4.1 -0.2 -0.2 5.7 14.9 11.5 18.0 8.2
Russell Midcap Value Index 3.1 -4.8 -4.8 4.5 13.4 11.3 16.2 7.6
Russell 2000 Index 3.6 -4.4 -4.4 0.1 11.7 9.2 14.0 6.8
Russell 2000 Growth Index 4.3 -1.4 -1.4 2.1 14.3 10.7 16.3 8.0
Russell 2000 Value Index 2.9 -7.5 -7.5 -1.8 9.1 7.7 11.7 5.6
International Equity Indices
MSCI EAFE 4.7 -0.8 -0.8 -2.9 5.0 3.6 7.8 3.0
MSCI EAFE Growth Index 6.7 4.1 4.1 -0.3 6.8 4.6 8.9 4.0
MSCI EAFE Value Index 2.7 -5.7 -5.7 -5.5 3.1 2.5 6.7 2.0
MSCI EAFE Small Cap 6.8 9.6 9.6 2.1 10.4 6.3 13.5 4.6
MSCI AC World Index 5.0 -2.4 -2.4 0.8 7.7 6.1 10.7 4.8
MSCI AC World ex US 3.2 -5.7 -5.7 -4.8 1.5 1.1 7.5 2.9
MSCI Emerging Markets Index 0.7 -14.9 -14.9 -8.8 -6.8 -4.8 7.5 3.6
Fixed Income Indices
Barclays U.S. Aggregate -0.6 0.5 0.5 3.2 1.4 3.2 4.1 4.5
Barcap Intermediate U.S. Government/Credit -0.7 1.1 1.1 2.1 1.1 2.6 3.4 4.0
Barclays U.S. Long Government/Credit -0.9 -3.3 -3.3 7.4 1.7 7.0 6.7 6.4
Barclays US Corp: High Yield -2.1 -4.5 -4.5 -1.1 1.7 5.0 12.8 7.0
BofA Merrill Lynch 3 Month U.S. T-Bill 0.0 0.1 0.1 0.0 0.1 0.1 0.1 1.2
Barclays U.S. TIPS -0.6 -1.4 -1.4 1.1 -2.3 2.5 4.3 3.9
Citigroup Non-U.S. World Government Bond -1.4 -5.5 -5.5 -4.1 -4.3 -1.3 0.4 3.0
JPM EMBI Global Diversified (external currency)1.3 1.2 1.2 4.3 1.0 5.4 9.5 6.9
JPM GBI-EM Global Diversified (local currency)0.0 -14.9 -14.9 -10.4 -10.0 -3.5 2.4 4.3
Real Asset Indices
Bloomberg Commodity Index Total Return -10.5 -24.7 -24.7 -20.9 -17.3 -13.5 -5.5 -6.4
Dow Jones Wilshire REIT 7.5 4.2 4.2 17.2 11.8 12.4 16.8 7.3
Capital Markets Review
Index Returns
As of December 31, 2015
(Percentage Return)
_________________________
Returns for periods greater than one year are annualized.
69
Appendix
70
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.
71
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
72
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 August 1, 2015, The Policy Benchmark consists of 20% Russell 1000 Index, 6% Russell 2000 Index, 10% MSCI EAFE Index, 4% MSCI
Emerging Markets Index, 12% BC Aggregate Index, 14% BC Intermediate Gov/Credit Index, 9% Citigroup World Government Bond Index,
15% HFRI Fund of Funds Composite Index, 5% We llington DIH Multi-Asset Inflation Index and 5% NCREIF Property Index.
From March 1, 2015 to August 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.
73
Policy Benchmark(Cont.)
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.
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
Return Index and 25% BC US Treasury Inflation Notes: 1-10 Year
74