HomeMy Public PortalAbout2018 2nd Quarter ReportPerformance
Review
Metropolitan St. Louis Sewer
District Pension Plan
2nd Quarter 2018
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 Capital Markets Review 1
2 Performance Summary 12
3 Asset Class Diversification 28
4 Manager Evaluation 34
5 Calendar Year Performance 62
6 Appendix 64
Table of Contents
Capital Markets Review
1
Capital Markets ReviewSummaryAs of June 30, 2018+0.7+3.4+7.8-1.2-1.3-8.0+0.8-2.8-0.2+0.2+1.0+0.4+8.5+0.4+5.2+1.0+0.6+11.1+14.4+17.6+6.8+11.0+8.2+8.2+1.4-0.4+3.6+2.5+1.3+4.9+7.3+1.2+4.0+2.8-15 -5 5 15 25MSCI Global ACWI IMIS&P 500Russell 2000MSCI EAFES&P Dev ex U.S. SCMSCI EMFHFRI Equity Hedged*BBG Barclays Global Agg.BBG Barclays U.S. Agg.WGBI ex-U.S. HedgedBofAML High Yield Cons.91-Day T-BillsNAREITBloomberg CommodityDJ Brookfield Global Infra.HFRI FoF:Cons.*CPIPerformance: Past Quarter and Year (%)Past QuarterPast 12 MonthsFixed Income (Bonds)Equities (Stocks)AlternativesDeviating risksThe key themes during the quarter were economic growth divergences and asymmetricalexposure to trade conflicts. Global growth remains robust, but regional divergences havewidened and weighed on equity market performance for several economies. Within theU.S., strong fundamentals helped drive second quarter and calendar year equity earningsexpectations higher. This strength should continue to support risk assets near-term despiterising uncertainty.Trade tensions and political risks escalated during the second quarter, epitomizedbytheU.S. and China’s tit-for-tat retaliatory tariff proclamations, which increased the probabilityof a full blown trade war and challenges to international supply chains. OnJuly 6, the U.S.imposed a 25% tariff on $34 billion of Chinese goods and is considering the imposition oftariffs more than $200 billion of goods. Political risks intensified, as Italy’s Euroscepticleaders struggled to form a government, spurring risk aversion and flight-to-qualityglobally. Italy was not alone, as BREXIT negotiations continued to produce infighting,Germany’s governing coalition threatened to breakup, and several emerging economieswere confronted with inflationary pressures and currency devaluations.Global monetary policy continued alongits gradual path to normalizationthrough changesto rates and forward guidance, measures financial markets took in stride.While the Bank ofEngland, the European Central Bank (“ECB”), and the Bank of Japan made no immediatechanges to current policy, the ECB outlined further tapering of bond purchases andaffirmed its dedication to hold rates at current levels through summer 2019. In May, theFederal Reserve’s (“Fed”) preferredmeasure of inflation reached 2.0% ona year-over-yearbasis, but policymakers remain confident that inflation will remain contained and mademinor changes to forward guidance while raising rates 25 basis points in June. Two morerate increases are expected in the U.S. this year, one in September and one in December.For the sixth consecutive quarter, the U.S. yield curve flattened. While the 10-yearTreasury yield rose only modestly during the quarter, the range extended from a high of3.1% to a low of 2.7%, in the wake of the Italian shock. Increasing uncertainty and supplywidened spreads across the spectrum of corporate and emerging market bonds. Emergingmarket debt, in particular, was hurt by a confluence of risks: rising yields, decliningcurrencies, trade uncertainty, profit taking, and idiosyncratic risks.Growing trade tensions also hindered emerging market equities. Concernsregarding theimpact to global supply chains put downward pressure on international equities withemerging markets bearing the brunt of the selloff. This ended five consecutive quarters ofpositive performance. An improving U.S. economic picture helped U.S. small caps climb+7.8% during the quarter, also benefiting from lower ties to global trade.While energy prices have been surging (+10.7% QTD and +34.7% 1-year), commodityprices overall rose a meager 40 basis points, as trade uncertainty hurt agriculture andindustrial metals prices. Increasing energy costs also helped drive income instruments likeMLPs, which rose +11.1% during the quarter.*HFRI data are subject to revision. It is not possible to invest directly in an index. Source: FactSet & Bloomberg2
500100015002000250030003500Jun-05Jun-06Jun-07Jun-08Jun-09Jun-10Jun-11Jun-12Jun-13Jun-14Jun-15Jun-16Jun-17Jun-18Jun-19U.S. RecessionS&P 500 Price12-Month Forward Price Target (lagged)0.00.51.01.52.02.53.03.54.04.55.01-Year 2-Years 3-Years 5-Years 7-Years 10-Years 30-YearsYield (%)Almost there?Current5-Year forwards12/31/2014Historical Average Fed Funds RateSource: Bloomberg as of 6/29/201835 year historical average of Fed FundsCapital Markets ReviewAsset Class OutlookAs of June 30, 2018Source: BloombergEquitiesGlobal growth remains above trend, supported by easy financial conditions, subdued inflation andconsumer strength. The synchronized growth experienced in 2017, however, has broken down andregional risks have expanded. In 2018, bolstered by growth as well as tax cuts, S&P 500 Indexearnings are expected to climb approximately 20%. While earnings growth is expected to slow to10% in 2019, this represents a return to long-run sustainable trends, rather than a deterioratingeconomy (FactSet). In developed markets outside the U.S., fundamentals broadly remain intact, butgrowth has slowed. Emerging markets (“EM”) continue to benefit from positive secular trends, suchas a growing middle class. Current conditions are being further supportedby easing credit access offinancial institutions in the U.S. and globally. These easing standards are offsetting in part the gradualtightening of monetary accommodation. Although labor market advances have yet to translate intostrong wage gains, robust growth has enabled consumers’ balance sheets toimprove significantly,reducing delinquencies and debt to service ratios. Trade and political risks continue to threatenfundamentals, feeding uncertainty and sparking bouts of market volatility. Thus far, the risinguncertainty has not been sufficient to stifle earnings and investment. These risks, however, havedriven asymmetries of performance and expectations in select markets. Assuch, we recommendinvesting in markets with exposure to growth and avoiding uncompensated risks, such as those foundin some developed market outside the U.S.Fixed IncomeContinued normalization of monetary policy spurred headwinds for fixed income assets, mutingperformance for most sectors. In June, the Fed continued the normalization process, raising ratesanother 25 basis points. With seven increases since 2015, only four more hikes are needed before theFed achieves its neutral target of 3%, suggesting most of the pain may be behind us and affirmed inthe forward markets. As a result, we continue to view high quality durationas source ofdiversification and protection against unanticipated market sell offs,while lower quality creditprovides little protection against late cycle risks. Internationally, rising rates, currency moves, andpolitical risks have widened spreads in high risk regions, and while recent events have revived badmemories of past EM crises, circumstances have changed. EMs have grown reserves, allowedcurrencies to float, and reduced external public funding, even EM corporations are partially hedgedthrough offshore revenues. These divergences internationally should produce fertile ground fornimble active managers to source opportunities.Real AssetsCore inflation reached the Fed’s 2% target in May, and likely will rise during the course of the nextfew quarters, but it continues to face headwinds in the form of demographics, technologicalinnovation, as well as globalization. While any material deterioration in trade arrangements wouldput upward pressure on inflation, demand likely would slow with potentially adverse effects for realassets. Although these conditions have created a difficult environment for real assets, we maintainour view that global listed infrastructure likely provides a diversifying income stream with a lowervolatility profile than commodities.Absent a recession growth tracks expectationsSource: Bureau of Economic Analysis, FRED, & Pavilion Analysis-6%-4%-2%0%2%4%6%May-00May-01May-02May-03May-04May-05May-06May-07May-08May-09May-10May-11May-12May-13May-14May-15May-16May-17May-18Year-over-year ChangeInflation: Core Goods and ServicesU.S. RecessionCore ServicesCore GoodsFed Target3
Capital Markets ReviewKey Market RisksAs of June 30, 2018Source: Bloomberg, FactSet, Recession Alert, & Pavilion AnalysisCyclical risks remain benign while policy and trade tensions festerHow much further for the Fed to go?The Fed raised rates in June, with expectations for rate increasesin September and December. These increases would bring the policy rate to within 50 basis points of theFed’s 3.00% target. The question is when will the tightening end? If the Treasury yield curve is steep,the market is signaling future policy rates will go higher. If the curve is inverted, markets are signalingpolicy rates will fall. If the yield curve is flat, the market is signaling that policy rates have reached aneutral level. With the current spread between the 2-year and 10-year Treasury yields falling to almost30 basis points, the market appears to be suggesting rates are near a neutral level. Current conditionsmay warrant further rate increases,however tightening financial conditions eventually will weigh on theeconomy. While it may be several quarters before the impact of tightening financial conditions are felt,careful monitoring is warranted.European risk continues to percolate:While concerns over Greece have subsided, vulnerabilities tothe European Union’s (“EU”) stabilitypersist. This quarter saw a spike inItalian sovereign bond yields,as concerns of a potential default were elevated due to the appearance thatthe new coalition governmentmay take an anti-EU slant. While an Italian default remains extremely unlikely, the ramifications wouldbe significant with particular harm to European banks. The BREXIT vote celebrated its secondanniversary, but negotiators remainat a significant distance from any agreement with uncertaintylimiting U.K. investment. The bottom line is that European risk assets continue to deserve a higher riskpremium.Trade tensions, if they persist, will be a drag on growth:While the absolute numbers around recentlyimposed and threatened tariffs are a relatively small part of global growth, the potential disruptions toestablished value chains and increased uncertainty could cause significant damage to future investment.While trade volumes have held up, the current headwinds represent a threatto enterprises andeconomies with significant trade exposure.Fixed IncomeEquitiesFinancialStresses Valuations CyclicalCurrent Risk LevelsSource: Bloomberg, 3-Month Moving Average050100150200250300Spread in basis pointsCost of Italian credit protection spikesSource: Bloomberg-20%-15%-10%-5%0%5%10%15%20%Jan-08Jun-08Nov-08Apr-09Sep-09Feb-10Jul-10Dec-10May-11Oct-11Mar-12Aug-12Jan-13Jun-13Nov-13Apr-14Sep-14Feb-15Jul-15Dec-15May-16Oct-16Mar-17Aug-17Jan-18Year-over-year changeWorld Trade Volumes4
1.001.502.002.503.003.504.0020304050607080901/20153/20155/20157/20159/201511/20151/20163/20165/20167/20169/201611/20161/20173/20175/20177/20179/201711/20171/20183/20185/2018$/Mbtu (natural gas)$/barrel (crude oil)Brent CrudeWTI CrudeNatural Gas234567891011-1000-800-600-400-2000200400600199019921994199619982000200220042006200820102012201420162018Unemployment Rate (%)Employees (1000s)Monthly Nonfarm Employees ChangeUnemployment RateCapital Markets ReviewEconomyAs of June 30, 2018Inflation and trade disputes juxtapose with strong domestic growthThe escalation of trade disagreements contributed to increased volatility in markets due to thepotential for disruptions in globalsupply chains, as producers gauge theimpact of rising importcosts. Tariffs placed on imported goodscan trigger inflation in a way thatis not organically tiedto growth, forcing policy makers to push interest rates higher prematurely. U.S. agriculturalproducers are likely to be hard hit by falling prices, as China’s retaliatory tariff list included asignificant number of farm products. Europe, Mexico and Canada also responded to U.S. tariffsby adding tariffs on a range of U.S. goods. Inflation in June hit a 6-year high of 2.8%, with thecore index rising to 2.2%. Most estimates for second-quarter U.S. GDP growth fall in the rangeof 3% - 4%, strong by any measure.Energy prices rose significantly, reflecting global growth as well as supply challenges. Supply-side factors included OPEC oil production cuts, which could potentially be supplanted by otherproducers, a collapse in Venezuelanproduction and the imposition of sanctions against Iran.U.S. oil reserves continued to fall aseconomic growth increased demand. Natural gas priceswere pushed upward by utility demand,following increased usage during a warmer than usualspring and increasing exports.The labor force continued to see more people return to work, marking 93 consecutive months ofnonfarm employment growth. The tightness of labor supply varies by industry, with energy andconstruction exhibiting output hampered by the availability of skilled workers. In someindustries, technology has been introduced which has limited the impact from a tighter labormarket, resulting in slower wage growth in these sectors.Energy PricesU.S. Employment GainsSource: Bureau of Labor Statistics-20-10010203040509/1/201710/1/201711/1/201712/1/20171/1/20182/1/20183/1/20184/1/20185/1/20186/1/2018PercentSoybeansAluminumSteelTariffs Affect Commodity PricesSource: FactsetSource: Factset5
Capital Markets ReviewEquitiesAs of June 30, 2018Source: FactSet, S&PSource: FactSet, MSCIGrowth continues to outperform while emerging markets struggleThe S&P 500 Index returned +3.4% during the second quarter, bringing the first halfreturn to +2.6%. Energy was the strongest sector during the quarter, followed byConsumer Discretionary, Information Technology, and Real Estate. Industrials andFinancials were the weakest sectors during the quarter. For the first halfof the year,Consumer Discretionary and Information Technology have been the best performingsectors while Consumer Staples and Telecom have been the weakest sectors.Developed market equity indices returned between -2.6% and +3.4% during the secondquarter, with the S&P 500 the strongest at +3.4%. Emerging Market equitieswere morechallenged during the second quarter, returning -8.0%, with Brazil particularly weak.The Growth style continued to outperform the Value style during the secondquarter,with the exception of U.S. Small Cap. The most pronounced spread between Growthand Value was in U.S. Large Cap. In International Developed markets, Growthwasjustslightly positive while Value returns were negative. In Emerging Markets,Growthwasnegative but to a lesser extent than Value. U.S. Small Cap outperformed itsU.S. Midand Large Cap counterparts within both styles, but it was more pronounced for theValue style.Second Quarter and YTD S&P 500 Sector Returns-3.2%-3.2%-1.5%-0.9%2.6%3.1%3.4%3.7%6.1%7.1%8.2%13.5%-4.7%-4.1%-8.5%-8.4%-3.1%1.8%2.6%0.3%0.8%10.9%11.5%6.8%-10.0% -5.0% 0.0% 5.0% 10.0% 15.0%IndustrialsFinancialsCons StaplesTelecomMaterialsHealthcareS&P 500UtilitiesReal EstateInfo TechCons DiscEnergy2QYTDSecond Quarter and YTD World and Emerging Market Equity Returns0.5%3.4%1.7%-2.6%-1.2%-8.0%-3.5%-9.2%-6.3%-0.6%-11.9%-26.4%-0.4%2.6%0.4%-3.8%-2.7%-6.7%-1.7%-9.6%-1.0%-7.5%-15.5%-17.3%-30.0%-20.0%-10.0%0.0%10.0%MSCIACWIS&P500MSCIWorldMSCIACWIx USMSCIEAFEMSCIEMChina SouthKoreaTaiwan India SouthAfricaBrazil2QYTDGrowth Generally Outperformed Value During the Second Quarter1.2%2.4%8.3%-2.6%-8.9%5.8%3.2%7.2%0.1%-7.0%-10.0%-5.0%0.0%5.0%10.0%U.S. Large Cap U.S. Mid Cap U.S. Small Cap Int'l Developed Emerging MktsValueGrowthSource: FactSet6
Source: BloombergSource: Federal Reserve Bank of St. LouisU.S. Treasury Yield Curve ChangeSource: US Dept. of The TreasuryDuration – Adjusted Excess Returns to Treasuries (bps)Curve flattens as trade tensions riseThe Fed raised rates 0.25% at the June Federal Open Market Committee meeting, settingthe Federal Funds Rate target at 1.75%to 2.00%. Yields moved higher acrossthe entirematurity spectrum and the curve continued its flattening trend. The bellwether 10-year U.S.Treasury reached 3.11% in mid-May as growth and inflation expectations increased, butretraced back to 2.85% by quarter-end amid the flight-to-quality. Escalating trade tensionsput downward pressure on yields later in the quarter as the U.S. imposed 25%tariffs onimported steel and aluminum, creating concerns over future growth. The spread between 2-year and 10-year Treasuries narrowed to post crisis lows but is not yet signaling a near-termrecession.Investment-grade (“IG”) corporate spreads widened 14 basis points (“ bps”) in the quarter,to +123 bps, due primarily to supply/demand imbalances rather than deterioration in creditfundamentals. Foreign demand for IG corporates has moderated as currencyhedging costsfor overseas buyers have risen with a stronger U.S. dollar and higher short-term rates. Highyield (+1.03%) outpaced investment grade (-0.98%) corporates, benefitting from lightsupply and a shorter duration.Structured products were insulatedfrom trade tension-related weakness, and fared betterthan corporates during the quarter. Agency MBS (+0.24%) benefited from strong housingdata and demand for high-quality bonds, which outweighed heavy supply in the space.Local currency emerging market debt (-10.42%) was the worst performer on the quarter asbrewing trade conflicts erupted, and the U.S. dollar continued to soar. The WSJ DollarIndex (a basket of 16 currencies) jumped 5.1% in Q2, the first quarterly gain since 2016. Best Period Second Best Period Worst Period Second Worst PeriodFixed IncomeAs of June 30, 2018Capital Markets Review2- vs. 10-Year Treasury Curve Slope0.0%0.5%1.0%1.5%2.0%2.5%3.0%3.5%4.0%0 5 10 15 20 25 30Yield to MaturityMaturity (Years)6/30/201712/31/20176/29/2018 2011 2012 2013 2014 2015 2016 2017 1Q18 2Q18Aggregate-114226 93 10 -53 138 121 -31 -23Agency-25 166 1 10-133121 148 6 -15MBS-10691 98 40 -5 -11 52 -39 15ABS52 2462453 44 95 92 -19 17CMBS47 841 97 108-28236 158 -7 0Credit-322693 226 -18 -169 442 335 -68 -91High Yield-240 1394 923 -112-5771573 610 -17 96EMD (USD)-5371503 -32 -120 3 880 627 -26 -242-1.0-0.50.00.51.01.52.02.53.03.5Jun-90Jun-92Jun-94Jun-96Jun-98Jun-00Jun-02Jun-04Jun-06Jun-08Jun-10Jun-12Jun-14Jun-16Jun-18In PercentU.S. Recession7
Capital Markets ReviewAlternative InvestmentsAs of June 30, 2018Sources: S&P Capital IQ, PitchBook3.430.720.67-0.161.031.08-0.152.390.260.750.74-2.00-1.000.001.002.003.004.005.00Long/short equity hedge funds nearly kept up with global stocks despite its lower beta, but domestic stocks trounced more geographically diversified funds.Fixed income hedge funds outperformed domestic bonds and high yield due to outperformance of lower-quality credit and duration hedging. Versus a 60/40 portfolio of global stocks and domestic bonds, hedge fund and macro strategies outperformed*Asset-weighted is used instead of fund-weighted, as it is available and more indicative of the universe.Sources: Hedge Fund Research, FactSetHedge Funds vs Long-Only: Total Returns 2018 Q2Global alternatives rise with risk assetsHedge Funds:Hedge funds generated mixed performance during the quarter. The growth bias ofthe universe was a boon, although international exposures was a strong headwind to performance.Mature quantitative funds with nuancedmodels did well during the quarter, but those withexposures to broad market “factors”, such as value and momentum, incurredlosses, while trendrebounded. Within long/short equity, crowded long positioning declinedin late-April, and areversal in momentum names hurt at the end of June. In all, alpha generationwas relatively flatduring the quarter for long-short equity funds, with funds that had long positioning in growth anddomestic names outperforming those withlong exposures to Asia, Latin America, and thetechnology sector. Fixed income fundswere boosted by an outperformance of lower-qualitycredit and duration hedging. Record-making M&A deal volumes continue to support merger-oriented event-driven strategies, which was one of the strongest strategies in the quarter.Real Assets:Higher-yielding liquid real assetsrebounded in the second quarter following achallenging start to 2018. Listed infrastructure rallied +5.2%. After the sell-off in the firstquarter, oil & gas pipelines were the most significant contributor to second quarterperformance. Broadly, we expect diversified infrastructure to perform well in a rising interestrate environment if economic growth also improves. That said, regulated utilities, such as waterutilities, can be more sensitive to changes in interest rates due to their fixed long-term contractsand have struggled in the first half of 2018.Private Capital Markets: U.S. Middle Market Valuation Update:One sustaining trend overrecent years is an increase in purchase price multiples within private equity. The price increasecould be a possible explanation for the decrease in deal flow over the past nine quarters. Severalfactors could be contributing to the rise in purchase price multiples. Oneof the most impactfulfactors that could be creating upward pressure is the rise in public marketcomparable valuations.High public company valuations could be inflating the valuations of private companycounterparts. Further, the low-cost debt environment and record fundraising levels, both of whichhave increased the competition for good deals, also could be contributingfactors.2.42.62.833.23.43.63.8485909510010512/29/2017 1/28/2018 2/27/2018 3/29/2018 4/28/2018 5/28/2018 6/27/2018U.S. 10 Year Treasury YieldCumulative YTDPerformance %Infrastructure Sector Performance and RatesU.S. 10 Year TreasuryOil & Gas StorageWaterDJ Brookfield CompositeThe yield on the 10-year Treasury began the year at 2.41% and rose to 3.10% in mid-May before ending the quarter at 2.85%, which weighed on utilities. Source: Bloomberg5.45.65.25.85.53.94.35.34.75.29.49.910.510.510.70.02.04.06.08.010.012.02014 2015 2016 2017 2018MultipleDebt/EBITDAEquity/EBITDATotalU.S. Middle Market Median EV/EBITDA Multiples11 Through May 31, 20188
Quarter
Calendar
YTD
1
Year
2
Years
3
Years
5
Years
10
Years
Equity Markets
Broad Global Equity MSCI All Country World IMI 0.7 -0.2 11.1 15.0 8.3 9.6 6.1
Broad U.S. Equity Dow Jones Industrial Average 1.3 -0.7 16.3 19.2 14.1 13.0 10.7
Broad U.S. Equity Russell 3000 Index 3.9 3.2 14.8 16.6 11.6 13.3 10.2
Technology Equity NASDAQ Index 6.6 9.4 23.6 25.9 16.0 18.5 13.9
U.S. Large Cap Equity S&P 500 Index 3.4 2.6 14.4 16.1 11.9 13.4 10.2
U.S. Large Cap Equity Russell 1000 Index 3.6 2.9 14.5 16.3 11.6 13.4 10.2
U.S. Large Value Equity Russell 1000 Value Index 1.2 -1.7 6.8 11.1 8.3 10.3 8.5
U.S. Large Growth Equity Russell 1000 Growth Index 5.8 7.3 22.5 21.5 15.0 16.4 11.8
U.S. Mid Cap Equity Russell Mid Cap Index 2.8 2.3 12.3 14.4 9.6 12.2 10.2
U.S. Mid Cap Value Equity Russell Mid Cap Value Index 2.4 -0.2 7.6 11.7 8.8 11.3 10.1
U.S. Mid Cap Growth Equity Russell Mid Cap Growth Index 3.2 5.4 18.5 17.8 10.7 13.4 10.5
U.S. Small Cap Equity Russell 2000 Index 7.8 7.7 17.6 21.0 11.0 12.5 10.6
U.S. Small Cap Value Equity Russell 2000 Value Index 8.3 5.4 13.1 18.8 11.2 11.2 9.9
U.S. Small Cap Growth Equity Russell 2000 Growth Index 7.2 9.7 21.9 23.1 10.6 13.6 11.2
International Equity MSCI EAFE Index -1.2 -2.7 6.8 13.4 4.9 6.4 2.8
International Equity MSCI EAFE Index (Hedged)2.8 -1.7 5.1 12.4 3.4 6.6 2.6
International Equity MSCI ACWI ex-U.S. Index (inc. Emerging Mkts)-2.6 -3.8 7.3 13.7 5.1 6.0 2.5
International Value Equity MSCI ACWI ex-U.S. Value Index -3.8 -5.3 4.6 13.7 3.5 4.8 2.0
International Growth Equity MSCI ACWI ex-U.S. Growth Index -1.4 -2.3 9.9 13.6 6.6 7.2 3.0
International Small Cap S&P Developed ex-U.S. Small Cap Index -1.3 -2.2 11.0 16.1 8.9 10.4 5.7
Emerging Markets MSCI Emerging Markets Index -8.0 -6.7 8.2 15.7 5.6 5.0 2.3
Bond Markets
Core Plus Bond Bloomberg Barclays Aggregate Bond Index -0.2 -1.6 -0.4 -0.4 1.7 2.3 3.7
Global Bonds Bloomberg Barclays Global Aggregate Index -2.8 -1.5 1.4 -0.4 2.6 1.5 2.6
Total Bond Market Bloomberg Barclays Universal Bond Index -0.3 -1.7 -0.3 0.3 2.1 2.6 4.1
Long Duration Bonds Bloomberg Barclays Long Credit Index -2.7 -6.4 -1.3 0.8 5.0 5.5 7.3
Short-Duration Bonds BofA Merrill Lynch U.S. Treasury (1-3 Year)0.2 0.1 0.1 0.0 0.4 0.6 1.2
Global Bonds Citigroup-WGBI ex-U.S. Index (Unhedged)-5.1 -0.9 3.2 -1.0 3.7 1.0 1.8
Global Bonds Citigroup-WGBI ex-U.S. Index (Hedged)0.2 1.7 3.6 0.8 3.8 4.3 4.4
Treasury Inflation Protection Bloomberg Barclays 1-10 Year TIPS Index 0.6 0.2 1.5 0.6 1.5 1.2 2.3
Municipal Bonds Bloomberg Barclays Municipal Bond Index 0.9 -0.2 1.6 0.5 2.9 3.5 4.4
Cash 91-Day T-Bills Index 0.4 0.8 1.3 0.9 0.6 0.4 0.3
Alternatives
Commodities Bloomberg Commodity Index 0.4 0.0 7.3 0.2 -4.5 -6.4 -9.0
U.S. Public Real Estate FTSE NAREIT All Equity REIT Index 8.5 1.3 4.9 2.5 9.1 8.9 8.3
Global Listed Infrastructure DJ Brookfield Global Infrastructure Comp. Index 5.2 -1.3 1.2 4.1 3.5 6.1 7.9
Diversified Hedge Funds HFRI FoF Conservative Index 1.1 1.7 4.2 4.7 1.9 3.0 1.2
Long/Short Equity HFRI Equity Hedge Index 0.9 1.2 8.3 10.2 4.9 5.9 3.7
Inflation
Inflation CPI 1.0 2.2 2.9 2.3 1.8 1.5 1.4
Returns for periods greater than one year are annualized.
Capital Markets Review
Index Returns
As of June 30, 2018
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