September 30, 2015 Mendocino County Employees’ Retirement Association
Investment Measurement Service Quarterly Review
The following report was prepared by Callan Associates Inc. ("CAI") using information from sources that include the following: fund trustee(s); fund custodian(s); investment manager(s); CAI computer software; CAI investment manager and fund sponsor database; third party data vendors; and other outside sources as directed by the client. CAI assumes no responsibility for the accuracy or completeness of the information provided, or methodologies employed, by any information providers external to CAI. Reasonable care has been taken to assure the accuracy of the CAI database and computer software. Callan does not provide advice regarding, nor shall Callan be responsible for, the purchase, sale, hedge or holding of individual securities, including, without limitation securities of the client (i.e., company stock) or derivatives in the client’s accounts. In preparing the following report, CAI has not reviewed the risks of individual security holdings or the conformity of individual security holdings with the client’s investment policies and guidelines, nor has it assumed any responsibility to do so. Advice pertaining to the merits of individual securities and derivatives should be discussed with a third party securities expert. Copyright 2015 by Callan Associates Inc. Table of Contents September 30, 2015
Capital Market Review 1
Active Management Overview Foreword 9 Domestic Equity Overview 10 International Equity Overview 11 Domestic Fixed-Income Overview 12
Asset Allocation and Performance Foreword 14 Actual vs. Target Asset Allocation 15 Asset Allocation Across Investment Managers 16 Investment Manager Returns 17 Quarterly Total Fund Attribution 21 Total Fund Ranking 25 Total Fund vs. CAI Public Fund Sponsor Database 26
Domestic Equity Domestic Equity Composite 30 Vanguard S&P 500 Index 34 Dodge & Cox Stock 37 Boston Partners 40 Harbor Cap Appreciation 43 Janus Research 46 Fidelity Low Priced Stock 49 Royce Total Return 52 Morgan Stanley 55 Janus Enterprise 58 Prudential Small Cap Value 61 AB US Small Growth 64 RS Investments 67 Managers Inst Micro Cap 70
International Equity International Equity Composite 74 EuroPacific 79 Harbor International 83 Columbia Acorn International 87 Oakmark International 91 Mondrian International 95 Table of Contents September 30, 2015
Domestic Fixed Income Domestic Fixed Income Composite 100 Dodge & Cox Income 103 PIMCO 106
Real Estate RREEF Public 110 RREEF Private 111 Cornerstone Patriot 112
Callan Research/Education 113
Definitions General definitions 117
Disclosures 123 Capital Market Review Capital Market Review Capital Market ΧΑΛΛΑΝ ΙΝςΕΣΤΜΕΝΤΣ ΙΝΣΤΙΤΥΤΕ ΧΜΡ Πρεϖιεω
Τηιρδ Θυαρτερ 2015
This “Preview” contains excerpts from the upcoming Χαπιταλ Βροαδ Μαρκετ Θυαρτερλψ Ρετυρνσ Μαρκετ Ρεϖιεω (CMR) newsletter, which will be published at the end of the month. -7.25% U.S. Equity (Russell 3000) -12.10% Non-U.S. Equity (MSCI ACWI ex USA) Νοσεδιϖε U.S. Fixed (Barclays Aggregate) 1.23% Non-U.S. Fixed (Citi Non-U.S.) 1.71% Υ.Σ. ΕΘΥΙΤΨ | Λαυρεν Ματηιασ, ΧΦΑ Cash (90-Day T-Bills) 0.01%
Sources: Barclays, Citigroup, Merrill Lynch, MSCI, Russell Investment Group The irst negative quarter for U.S. equities since 2012 had a seemingly solid start, but took a nosedive through August and September. Macroeconomic issues drove the sullen results, Α Λιττλε Λονγερ το Λιφτοφφ including China’s weakening economy, the Fed’s delay of inter− est rate increases, and commodity price declines. The U.S. econ− Υ.Σ. ΦΙΞΕ ΙΝΧΟΜΕ | Kevin Machiz, CFA, FRM omy is exhibiting some vigor—consumer conidence remained Interest rates moved lower in the third quarter amid a broad- high and fueled spending; employment showed strength with based light to quality—apprehension over China’s economy and record-low jobless claims; and housing appeared solid with new commodity prices appeared to be the primary sources of con− home sales at healthy levels. Energy prices impacted the envi− cern. The yield curve lattened signiicantly as yield spreads wid− ronment negatively and positively—commodity-related compa− ened across non-Treasury sectors and the Βαρχλαψσ Αγγρεγατε nies felt pain while consumers felt wealthier. Ινδεξ rose 1.23%. Χοντινυεδ ον πγ. 2 Χοντινυεδ ον πγ. 4 Στυ βλινγ ραγον Ρεδ Σχαρε ΝΟΝ−Υ.Σ. ΕΘΥΙΤΨ | Kevin Nagy ΝΟΝ−Υ.Σ. ΦΙΞΕ ΙΝΧΟΜΕ | Kyle Fekete Non-U.S. markets were pummeled in the third quarter (ΜΣΧΙ ΑΧ Ι εξ ΥΣΑ Ινδεξ: -12.10%), as concerns over China’s Developed sovereign bonds performed well relative to U.S. growth convinced many investors to take a “risk off” approach. bonds as interest rates fell due to mounting concerns over a Fears about China’s slowdown came to a head in August slowing global economy. The Χιτι Νον−Υ.Σ. ορλδ Γοϖερν εντ when Chinese monetary authorities unexpectedly devalued Βονδ Ινδεξ earned 1.71% for the quarter, but is down 4.22% the renminbi. Attempts to dampen the ensuing volatility were year-to-date. Hedged in U.S. dollars, the Index is up 2.01%, out− not enough to prevent knock-on effects spreading throughout performing the unhedged investors primarily due to broad-based the world. weakness against the U.S. dollar. The “safe-haven” German bund gained nearly 2% with the yield inishing at 0.58%.Energy- The pain was felt by both developedΜΣΧΙ ( ορλδ εξ ΥΣΑ related currency weakness in Canada and Australia translated Ινδεξ: -10.57%) and emerging markets ΜΣΧΙ ( Ε εργινγ into disappointing returns on an unhedged basis (both down Χοντινυεδ ον πγ. 3 Χοντινυεδ ον πγ. 5
Κνοωλεδγε. Εξπεριενχε. Ιντεγριτψ. Υ.Σ. Εθυιτψ: Νοσεδιϖε Θυαρτερλψ Περφορ ανχε οφ Σελεχτ Σεχτορσ Χοντινυεδ φρο πγ. 1 Russell 1000 Russell 2000
10% Underlying U.S. fundamentals were impacted by tough global 4.68% 0% markets. The strong U.S. dollar challenged domestic compa− -0.30% -0.80% -4.78% nies’ ability to grow, negatively affecting earnings and expec− -10% tations going forward. Volatility of stocks, as measured by -16.78% -20% -18.35% the daily VIX, peaked for the year in August and remained -21.91% elevated throughout the quarter. At the same time, stock cor− -30% relations also increased to almost two times their long-term -32.77% -40% average, making it more challenging for active management Utilities Consumer Materials Energy to navigate the decline. Asset lows continued to show a pref− Staples erence for passive, which remains a sizable portion of U.S. Source: Russell Investment Group equity assets under management.
Large and small cap stocks showed strong divergence in Ρυσσελλ 2000 Ινδεξ Ρυσσελλ 1000 returns ( : -11.92% and Ρολλινγ Ονε−Ψεαρ Ρελατιϖε Ρετυρνσ (vs. Russell 1000) Ινδεξ: -6.83%) while mid cap fell in betweenΡυσσελλ ( Μιδ−
Χαπ Ινδεξ: -8.01%). Growth maintained its lead over value in Russell 1000 Growth Russell 1000 Value Russell 1000 most capitalizations, but small cap stocks were an exception 30% (Ρυσσελλ 2000 Γροωτη Ινδεξ: -13.07% and Ρυσσελλ 2000 ςαλυε Ινδεξ: -10.73%). Micro caps fared the worst (Ρυσσελλ 20% Μιχροχαπ Ινδεξ: -13.77%). 10%
Underlying sector results varied and dictated which style ended 0% up on top—large cap Materials and Energy sectors declined, -10% and both small and large cap Health Care trailed. The magni− tude of Health Care underperformance was stronger in small -20% cap due to biotechnology, resulting in small cap growth trailing -30% value; the opposite was true in large cap. In general, defensive 96 97 98 99 00 01 02 03 04 05 06 07 08 09 10 11 12 13 14 15 areas of the market held up as investors shifted to a “risk-off” Source: Russell Investment Group mentality. Commodity price declines and slow global growth were major factors behind Materials and Energy results. As is typical in high-volatility periods, large cap outperformed small and high quality beat low. and unemployment was at its lowest level since 2008. Though The U.S. equity market experienced an incredibly dificult quar− active management struggled versus the benchmarks, year-to- ter, but a few positive glimmers shone through: second-quarter date results are favorable. U.S. equity continues to be the best GDP was revised up to 3.9%, consumer spending increased, house in the global economy’s neighborhood.
2 Νον−Υ.Σ. Εθυιτψ: Στυ βλινγ ραγον Ρολλινγ Ονε−Ψεαρ Ρελατιϖε Ρετυρνσ Χοντινυεδ φρο πγ. 1 (vs. MSCI World ex USA U.S. Dollar)
Μαρκετσ Ινδεξ ΜΣΧΙ MSCI Pacific MSCI Europe MSCI World ex USA : -17.78%). Value lagged growth as the 40% ΑΧ Ι εξ ΥΣΑ Γροωτη ΜΣΧΙ ΑΧ Ι εξ (-10.77%) bested the 30% ΥΣΑ ςαλυε − (-13.60%). Small cap stocks rode the wave of vola 20% tility better than large cap due to less exposure to Energy, b ut 10% were still deep in the red ( ΜΣΧΙ ΑΧ Ι εξ ΥΣΑ Σ αλλ Χαπ 0%
Ινδεξ: -10.02%). In developed countries defensive sectors -10% fared best, with Consumer Staples (-1.49%), Utilities (-4.23%), -20% and Health Care (-5.26%) providing the most protection. -30%
Materials (-19.67%) and Energy (-16.83%), bludgeoned by -40% falling commodity prices, were the worst performers. 96 97 98 99 00 01 02 03 04 05 06 07 08 09 10 11 12 13 14 15 Source: MSCI
European stocks regressed ΜΣΧΙ ( Ευροπε Ινδεξ: -8.69%) Japanese carmakers were hurt by reports of slowing sales in as hand wringing over a possible “Grexit” abated only to beChina; a massive explosion at the port of Tianjin in August tem− replaced by turmoil in China. Denmark (-2.41%) did best, dueporarily shut down Toyota’s largest Chinese production facil− primarily to strong domestic performance from Consumer ity. Energy and Materials were laggard sectors in the Index Discretionary (+8.54%). Nearby Norway was crippled by −fall (-28.24% and -19.35%, respectively). Financials (-17.73%) ing oil prices and posted the largest loss (-19.13%). Europeanfollowed as Japanese banks were battered by large losses in sectors mirrored the story in the rest of the developed world,their equity portfolios. with Energy and Materials (-15.80% and -19.91%, respec− tively) suffering the biggest losses. Emerging markets were hit hardest in this broad downturn, with the ΜΣΧΙ Ε εργινγ Μαρκετ Ινδεξ dropping 17.78%. Southeast Asia and the PaciicMSCI ( Paciic Index ex Japan: China was the main story for much of the quarter after −a sur -15.97%) trailed Europe and rest of the world. Singapore prise devaluation of the renminbi in August sparked fears that (-19.48%), Australia (-15.33%), and Hong Kong (-15.33%) felt the slowdown in growth was worse than expected. China’s the full force of China’s volatility. Australian Energy irms were central bank tried to curb the ensuing market turbulence hit hard by falling oil prices and sagging demand in China. by cutting interest rates, but met limited success. Only the Japan’s economy shrunk by 1.2% on an annualized basis Telecomm (-9.20%) sector avoided double-digit losses; Energy in the second quarter and inlation remained well below the (-31.19%), Materials (-27.11%), and Financials (-26.92%) all Bank of Japan’s two percent target (MSCI Japan: -11.80%). lost more than a quarter of their value. The ripple effectsere w felt throughout Asia: Indonesia (-24.19%), Malaysia (-18.23%),
Ρεγιοναλ Θυαρτερλψ Περφορ ανχε (U.S. Dollar) and Thailand (-17.51%) all declined sharply. A strong devalu− ation of local currencies contributed to the general slowdown,
-8.69% MSCI Europe as the Malaysian ringgit and Indonesian rupiah both ofell their t
-10.57% MSCI World ex USA lowest levels versus the dollar in more than 15 years. Emerging countries outside of Asia were also affected by the strengthen− -11.80% MSCI Japan ing U.S. dollar and falling commodity prices. Brazilian equities -12.10% MSCI ACWI ex USA lost over 30% ΜΣΧΙ( Βραζιλ: -33.56%) amid a corruption scan− -15.97% MSCI Pacific ex Japan dal involving the state-run energy company Petrobras, a 22% -17.78% MSCI Emerging Markets devaluation of the real, and a downgrade of the country’s credit Source: MSCI rating to below investment grade by Standard & Poor’s.
Κνοωλεδγε. Εξπεριενχε. Ιντεγριτψ. 3 Υ.Σ. Φιξεδ Ινχο ε: Α Λιττλε Λονγερ το Λιφτοφφ (MBS) (-0.22%) and Commercial MBS (-0.05%) also struggled. Χοντινυεδ φρο πγ. 1 Asset-backed securities were the lone outperformer, beating like-duration Treasuries by 0.16%. The U.S. economy expanded at a moderate pace with the sup− port of ixed investment by businesses, household spending, High yield corporate bonds also performed poorly. The Βαρχλαψσ and the jobs market. Inlation nevertheless remained below the Χορπορατε Ηιγη Ψιελδ Ινδεξ ended in the red (-4.86%). New Fed’s two percent target. issue activity is on pace with the previous three calendar years. Year-to-date, there was approximately $224 billion in new issu− While many market participants previously pointed to the Fed’s ance of high yield bonds, down from $246 billion over thesame September meeting as a likely date for interest rate hikes, the period in 2014. Fed once again pegged the federal funds and discount rates at 0.00%–0.25% and 0.75%, respectively. The Fed cited global Ηιστοριχαλ 10−Ψεαρ Ψιελδσ economic and inancial developments as a concern. The Fed mentioned, and Chair Yellen reiterated in a subsequent U.S. 10-Year Treasury Yield 10-Year TIPS Yield Breakeven Inflation Rate speech, that market-based measures of inlation expectations 6% had declined. 5%
The 10-year U.S. Treasury yield decreased 32 bps. Yields on 4% longer-term bonds decreased by a similar amount. The market’s 3% expectation for the irst hike in the fed funds rate was pushed 2% back to March 2016. The breakeven inlation rate (the differ− ence between nominal and real yields) on the 10-year Treasury 1% decreased signiicantly (47 bps) to 1.43%, as Treasury Inlation- 0% Protected Securities underperformed nominal Treasuries. -1% 06 07 08 09 10 11 12 13 14 15 Non-Treasury sectors broadly underperformed like-dura− Source: Bloomberg tion Treasuries. Credit was among the worst as Financials, Industrials, and Utilities lagged by 0.30%, 2.14%, and 1.01% Υ.Σ. Τρεασυρψ Ψιελδ Χυρϖεσ respectively. Within Industrials, Energy and Metals & Mining
companies were hit hardest, trailing like-duration Treasuries September 30, 2015 June 30, 2015 September 30, 2014 5 by 4.97% and 9.45% respectively. Mortgage-backed securities
Φιξεδ Ινχο ε Ινδεξ Θυαρτερλψ Ρετυρνσ 4
Absolute Return 3 Barclays Aggregate 1.23% Barclays Treasury 1.76% Barclays Agencies 1.06% 2 Barclays CMBS 1.54%
Barclays ABS 0.74% 1 Barclays MBS 1.30%
Barclays Credit 0.53% 0 Barclays Corp. High Yield -4.86% 0 5 10 15 20 25 30 Maturity (Years) Source: Barclays Source: Bloomberg
4 Νον−Υ.Σ. Φιξεδ Ινχο ε: Ρεδ Σχαρε Ε εργινγ Σπρεαδσ Οϖερ εϖελοπεδ (By Region) Χοντινυεδ φρο πγ. 1
Emerging Americas Emerging EMEA (Europe, Middle East, Africa) Emerging Asia
6%). The Canadian economy shrank for two straight quarters— 800 bps oficially a recession. Italy was the best performer in the Index, expanding more than 4% on both a hedged and unhedged basis. 600 bps
In August, China’s surprise change in exchange-rate policy 400 bps heightened risk aversion and piled onto the already strong head− winds facing emerging market bonds. Slowing demand from 200 bps China, falling commodity prices, capital outlows, and worries over a Fed hike all contributed to poor performance. The 0 bps JPM 11 12 13 14 15 EMBI Global Diversiied Index slipped by 1.71%. Emerging Source: Barclays market currencies were particularly hard hit, as the local cur− rency-denominated JPM GBI-EM Global Diversiied Index 10−Ψεαρ Γλοβαλ Γοϖερν εντ Βονδ Ψιελδσ sank 10.54%—the worst quarterly performance since late 2011.
U.S. Treasury Germany U.K. Canada Japan The emerging Americas exhibited the highest increase in 6% yields. Brazil, suffering from the sharp drop in oil prices, as 5% well as iscal and political challenges, was downgraded by S&P to junk status; the country has seen its currency decline 4% by roughly 40% over the past year. Brazil (-9.97%) was the 3% most notable underperformer in the dollar-denominated Global 2% Diversiied Index. Ukraine surged +50.18% following an agree− 1% ment with creditors whereby bondholders would take a 20% haircut in return for a portion of future GDP growth, subject to 0% 06 07 08 09 10 11 12 13 14 15 a set formula. Among local currency bonds, pain was wide− spread. Brazil (-24.66%), Colombia (-18.05%), Indonesia Change in 10-Year Yields from 1Q15 to 3Q15
(-14.15%), Malaysia (-14.48%), Russia (-13.19%), and Turkey -32 bps U.S. Treasury
(-14.76%) all suffered double-digit declines. The yield on the -18 bps Germany
GBI-EM Global Diversiied Index was 7% as of quarter end, -26 bps U.K. with Brazil at 15% and Russia and Turkey both over 10%. -25 bps Canada
-11 bps Japan
Source: Bloomberg
Κνοωλεδγε. Εξπεριενχε. Ιντεγριτψ. 5 Active Management Overview Overview Active Management Market Overview Active Management vs Index Returns
Market Overview The charts below illustrate the range of returns across managers in Callan’s Mutual Fund database over the most recent one quarter and one year time periods. The database is broken down by asset class to illustrate the difference in returns across those asset classes. An appropriate index is also shown for each asset class for comparison purposes. As an example, the first bar in the upper chart illustrates the range of returns for domestic equity managers over the last quarter. The triangle represents the S&P 500 return. The number next to the triangle represents the ranking of the S&P 500 in the domestic equity manager database.
Range of Mutual Fund Returns by Asset Class One Quarter Ended September 30, 2015
4% 2% (12) (3) 0% (14) (2%) (4%)
(6%) (20)
Returns (8%) (10%) (58) (12%) (14%) (16%) Domestic Non-US Domestic Global Money Equity Equity Fixed Income Fixed Income Market vs vs vs vs vs S&P 500 MSCI EAFE Barclays Aggr Bd Citi World Govt 3 Mon T-Bills 10th Percentile (5.22) (7.30) 1.36 1.11 0.02 25th Percentile (6.72) (8.46) 1.08 0.55 0.00 Median (8.45) (9.92) 0.82 (0.50) 0.00 75th Percentile (10.58) (11.34) 0.16 (2.20) 0.00 90th Percentile (12.90) (13.12) (0.16) (4.16) 0.00 Index (6.44) (10.23) 1.23 1.71 0.01
Range of Mutual Fund Returns by Asset Class One Year Ended September 30, 2015
10%
5% (15)
0% (45) (25)
(60)
Returns (5%)
(67) (10%)
(15%) Domestic Non-US Domestic Global Money Equity Equity Fixed Income Fixed Income Market vs vs vs vs vs S&P 500 MSCI EAFE Barclays Aggr Bd Citi World Govt 3 Mon T-Bills 10th Percentile 4.98 (0.71) 3.13 1.98 0.09 25th Percentile 2.14 (4.06) 2.61 (0.16) 0.02 Median (1.11) (6.08) 2.25 (3.20) 0.01 75th Percentile (4.26) (9.13) 1.59 (5.88) 0.00 90th Percentile (7.87) (10.79) 0.73 (7.45) 0.00 Index (0.61) (8.66) 2.94 (3.83) 0.02
Mendocino County Employees’ Retirement Association 9 Domestic Equity Active Management Overview
Active vs. Index
The S&P 500 Index (-6.4%) suffered its worst quarterly performance in four years as a result of August’s China-led market selloff. Consistent with the risk off sentiment evident in the 3rd quarter, defensive sectors within the Index fared best. Across the market cap spectrum, active management underperformed passive with the exception of small cap value, where the style group median outpaced the index by 32 basis points. The underperformance of active management was most pronounced within small cap growth; the median small growth fund lagged the S&P 600 Growth index by 489 basis.
Large Cap vs. Small Cap
Large cap outperformed small cap (S&P 500: -6.4%; S&P 600: -9.3%) for the 3rd quarter at both the index level and within active management. Following the defensive theme in the quarter, the S&P 500 High Quality Index (-3.7%) outperformed its Low Quality counterpart (-10.0%) and Mega Caps (-2.5%) outperformed Microcaps (-13.8%).
Growth vs. Value
With respect to style, growth outperformed value within both large cap and small cap at the index level, however results were mixed for active management. Within large cap, the median large cap growth fund (-5.7%) outpaced the median large value fund (-9.1%), whereas the trend was reversed within small cap (small growth median -12.8% vs. small value median -10.4%).
S&P 500: (6.44%) S&P 500 Growth: (4.83%) S&P 500 Value: (8.25%) S&P Mid Cap: (8.50%) Mutual Fund Style Group Median Returns S&P 600: (9.27%) for Quarter Ended September 30, 2015 S&P 600 Growth: (7.89%) 0% S&P 600 Value: (10.70%)
(5%) (5.71%) (6.65%)
(10%) (9.54%) (9.12%) (9.17%) (9.06%) (10.38%) Returns (11.16%) (12.78%) (15%)
(20%) Small Cap Small Cap Small Cap Mid Cap Mid Cap Mid Cap Large Cap Large Cap Large Cap Growth Value Broad Growth Value Broad Growth Value Core
S&P 500: (0.61%) S&P 500 Growth: 2.78% S&P 500 Value: (4.30%) S&P Mid Cap: 1.40% Mutual Fund Style Group Median Returns S&P 600: 3.81% for One Year Ended September 30, 2015 S&P 600 Growth: 8.14% 6% S&P 600 Value: (0.61%)
4% 3.53% 2.34% 2% 1.40% 1.38%
0%
Returns (0.66%) (2%) (1.26%) (1.17%)
(2.88%) (4%) (4.47%) (6%) Small Cap Small Cap Small Cap Mid Cap Mid Cap Mid Cap Large Cap Large Cap Large Cap Growth Value Broad Growth Value Broad Growth Value Core
Mendocino County Employees’ Retirement Association 10 International Equity Active Management Overview
Active vs. Index
Outside of the US, the sputtering recovery in Europe lost some momentum as the global economic picture soured, and many non-US markets were down double digits. Major developed markets Japan (-11.8%) and the United Kingdom (-10%) performed in line with the broad international equity benchmarks, MSCI ACWI ex US (-12.1%) and EAFE (-10.2%). International Small Cap (-6.8%) was somewhat of an anomaly, posting a return well above other typically less volatile areas of the international markets. Active management performed within +/- 100 basis points of the respective indices across the non-US regions with no clear trend for the 3rd quarter.
Europe
MSCI Europe Index (-8.7%) was among the better performing non-US developed indices for the 3rd quarter. The Europe mutual fund peer group median beat the Index with its -7.9% return.
Pacific
The MSCI Pacific Index declined 13.2% for the 3rd quarter, outpacing the 14.3% decline for the Pacific Basin mutual fund style median.
Emerging Markets
Emerging markets were severely impacted by slowing growth, falling commodity prices and capital outflows with currencies hit especially hard (MSCI EM Index US$: -17.8%; MSCI EM Local: -12.0%). Active management (EM style median -16.8%) edged out the MSCI EM Index (-17.8%) for the 3rd quarter. In July, China’s stock market swoon and the resultant intervention by the government took investors by surprise. Angst continued in August; following China’s announcement that manufacturing activity had slowed to a 6-year low, Black Monday (August 24th) ended with the Shanghai Composite Index down 8%. China (MSCI China $: -22.7%) underperformed Russia (MSCI Russia $: -14.4%; MSCI Russia Local: -2.6%) and India (MSCI India $: -6.7%; MSCI India Local: -3.9%). However, Brazil was among the worst performers (MSCI Brazil $:-33.6%, MSCI Brazil Local: -14.8%) as it suffered from the sharp drop in oil prices, a bloated fiscal program, and political challenges.
MSCI AC World Index (9.34%) MSCI ACW ex US Free: (12.10%) MSCI EAFE: (10.23%) Mutual Fund Style Group Median Returns MSCI Europe: (8.69%) for Quarter Ended September 30, 2015 MSCI Pacific: (13.21%) 0% MSCI Emerging Markets: (17.78%)
(5%)
(10%) (7.87%) (10.07%) (10.53%) Returns (15%) (14.32%) (16.81%) (20%) Europe Core Int’l Pacific Basin Japan Only Emerging Markets
MSCI AC World Index (6.16%) MSCI ACW ex US Free: (11.78%) MSCI EAFE: (8.66%) Mutual Fund Style Group Median Returns MSCI Europe: (9.33%) for One Year Ended September 30, 2015 MSCI Pacific: (7.51%) 10% MSCI Emerging Markets: (18.98%) 5% 1.55% 0% (5%) (3.81%) (10%) (7.92%) (7.51%) Returns (15%)
(20%) (18.33%) (25%) Europe Core Int’l Pacific Basin Japan Only Emerging Markets
Mendocino County Employees’ Retirement Association 11 Domestic Fixed Income Active Management Overview
Active vs. Index
"Risk off" sentiment prevailed in the 3rd quarter as worries over the slowdown in China and falling commodity prices mounted. The Fed put its widely anticipated first rate hike since 2006 on hold yet again, citing global macroeconomic concerns. In this environment, bonds performed well. The yield on the 10-year Treasury fell about 30 bps and the Treasury returned 2.9% for the quarter, fulfilling its flight-to-quality role. The Barclays Aggregate Index posted a 1.2% quarterly result, underperforming Treasuries as corporate spreads widened. For the quarter, corporates underperformed like-duration Treasuries by nearly 150 bps. High yield suffered even more; the Barclays High Yield Index sank 4.9%. TIPS were the other notable underperformers this quarter. These inflation-linked securities sharply underperformed nominal Treasuries as expectations for inflation over the next ten years shrank from 1.86% as of 6/30 to 1.41% as of 9/30. The Barclays TIPS Index returned -1.2% versus +1.8% for the US Treasury Index. In this environment, the median Core Bond fund underperformed the Barclays Aggregate and it trailed for the trailing 12-month period as well.
Intermediate vs. Long
Longer duration funds significantly outperformed intermediate and short duration strategies in the 3rd quarter as rates dropped. The median Extended Maturity fund returned +2.7% while the median Intermediate fund was up only 0.6% and the median Defensive fund posted a barely positive 0.2% return.
Barclays Universal: 0.68% Barclays Aggregate: 1.23% Barclays Govt/Credit: 1.20% Mutual Fund Style Group Median Returns Barclays Mortgage: 1.30% for Quarter Ended September 30, 2015 Barclays High Yield: (4.86%) 6% Barclays US TIPS: (1.15%)
4% 2.65% 2% 1.07% 0.63% 0.82% 0.00% 0.16% 0% Returns (2%)
(4%)
(4.58%) (6%) Money Defensive Intermed Core Extended Mortgage High Yield Market Bond Maturity Backed
Barclays Universal: 2.33% Barclays Aggregate: 2.94% Barclays Govt/Credit: 2.73% Mutual Fund Style Group Median Returns Barclays Mortgage: 3.43% for One Year Ended September 30, 2015 Barclays High Yield: (3.43%) 6% Barclays US TIPS: (0.83%)
4% 3.08% 3.03% 2.16% 2.25% 2% 1.08% 0.01% 0% Returns (2%)
(4%) (3.34%)
(6%) Money Defensive Intermed Core Extended Mortgage High Yield Market Bond Maturity Backed
Mendocino County Employees’ Retirement Association 12 Asset Allocation and Performance Asset Allocation and Performance ASSET ALLOCATION AND PERFORMANCE
Asset Allocation and Performance This section begins with an overview of the fund’s asset allocation at the broad asset class level. This is followed by a top down performance attribution analysis which analyzes the fund’s performance relative to the performance of the fund’s policy target asset allocation. The fund’s historical performance is then examined relative to funds with similar objectives. Performance of each asset class is then shown relative to the asset class performance of other funds. Finally, a summary is presented of the holdings of the fund’s investment managers, and the returns of those managers over various recent periods.
Mendocino County Employees’ Retirement Association 14 Actual vs Target Asset Allocation As of September 30, 2015
The top left chart shows the Fund’s asset allocation as of September 30, 2015. The top right chart shows the Fund’s target asset allocation as outlined in the investment policy statement. The bottom chart ranks the fund’s asset allocation and the target allocation versus the Public Fund Sponsor Database.
Actual Asset Allocation Target Asset Allocation
Domestic Equity Domestic Equity 38% 38%
Cash 0% Domestic Real Estate Domestic Real Estate 9% 10%
International Equity 23% International Equity 25%
Domestic Fixed Income Domestic Fixed Income 28% 28%
$000s Weight Percent $000s Asset Class Actual Actual Target Difference Difference Domestic Equity 156,499 38.1% 38.0% 0.1% 242 International Equity 93,511 22.7% 25.0% (2.3%) (9,290) Domestic Fixed Income 116,257 28.3% 28.0% 0.3% 1,120 Domestic Real Estate 43,136 10.5% 9.0% 1.5% 6,127 Cash 1,800 0.4% 0.0% 0.4% 1,800 Total 411,203 100.0% 100.0%
Asset Class Weights vs Public Fund Sponsor Database
60%
50%
40% 48 48
30% 51 50 12 23 20% Weights
10% 46 29
0% 100 74
(10%) Domestic Domestic Cash Domestic International Intl Alternative Global Global Real Equity Fixed Income Real Estate Equity Fixed-Inc Balanced Equity Broad Assets 10th Percentile 50.78 42.08 4.78 14.46 25.41 19.27 23.38 30.51 35.82 13.82 25th Percentile 45.81 34.45 2.34 11.67 22.27 6.67 17.06 11.88 19.71 7.23 Median 37.32 28.23 1.18 8.62 19.21 3.79 12.67 7.18 15.05 3.84 75th Percentile 29.84 22.04 0.40 5.92 15.02 2.40 5.58 5.13 9.79 2.92 90th Percentile 22.05 16.94 0.12 3.10 12.24 0.59 3.84 2.78 6.05 1.95 Fund 38.06 28.27 0.44 10.49 22.74 - - - - - Target 38.00 28.00 0.00 9.00 25.00 - - - - - % Group Invested 98.68% 97.35% 71.52% 50.33% 98.01% 17.22% 45.70% 18.54% 22.52% 7.28%
* Current Quarter Target = 38.0% Russell 3000 Index, 28.0% Barclays Aggregate Index, 25.0% MSCI ACWI ex US Index, 7.2% NFI-ODCE Equal Weight Net and 1.8% NAREIT.
Mendocino County Employees’ Retirement Association 15 Investment Manager Asset Allocation
The table below contrasts the distribution of assets across the Fund’s investment managers as of September 30, 2015, with the distribution as of June 30, 2015. The change in asset distribution is broken down into the dollar change due to Net New Investment and the dollar change due to Investment Return.
Asset Distribution Across Investment Managers
September 30, 2015 June 30, 2015 Market Value Weight Net New Inv. Inv. Return Market Value Weight Domestic Equities $156,499,195 38.06% $(4,466,241) $(14,538,857) $175,504,293 39.51%
Large Cap Equities $107,413,883 26.12% $(4,466,241) $(8,556,259) $120,436,383 27.12% Vanguard S&P 500 Index 20,525,894 4.99% (500,000) (1,442,893) 22,468,787 5.06% Dodge & Cox Stock 21,067,195 5.12% (66,241) (2,306,742) 23,440,178 5.28% Boston Partners 21,812,671 5.30% (900,000) (2,168,127) 24,880,798 5.60% Harbor Cap Appreciation 22,027,087 5.36% (1,850,000) (1,290,108) 25,167,194 5.67% Janus Research 21,981,037 5.35% (1,150,000) (1,348,389) 24,479,426 5.51%
Mid Cap Equities $18,687,493 4.54% $0 $(1,692,268) $20,379,761 4.59% Fidelity Low Priced Stock 4,914,863 1.20% 0 (325,100) 5,239,963 1.18% Royce Total Return 4,337,267 1.05% 0 (461,121) 4,798,388 1.08% Morgan Stanley 4,424,723 1.08% 0 (531,753) 4,956,476 1.12% Janus Enterprise 5,010,640 1.22% 0 (374,295) 5,384,934 1.21%
Small Cap Equities $22,712,564 5.52% $0 $(3,192,165) $25,904,729 5.83% Prudential Small Cap Value 11,426,342 2.78% 0 (1,412,552) 12,838,894 2.89% AB US Small Growth 6,161,495 1.50% 0 (1,038,110) 7,199,605 1.62% RS Investments 5,124,727 1.25% 0 (741,503) 5,866,230 1.32%
Micro Cap Equities $7,685,255 1.87% $0 $(1,098,165) $8,783,420 1.98% Managers Inst Micro Cap 7,685,255 1.87% 0 (1,098,165) 8,783,420 1.98%
International Equities $93,510,940 22.74% $(729,911) $(13,603,613) $107,844,465 24.28% EuroPacific 21,626,087 5.26% 1,900,000 (2,100,158) 21,826,245 4.91% Harbor International 21,288,137 5.18% 3,400,000 (2,678,405) 20,566,543 4.63% Columbia Acorn Int’l 10,582,878 2.57% 500,000 (1,113,596) 11,196,474 2.52% Janus Overseas 0 0.00% (13,829,911) (3,253,807) 17,083,719 3.85% Oakmark International 21,227,412 5.16% 7,300,000 (2,133,853) 16,061,266 3.62% Mondrian International 18,786,425 4.57% 0 (2,323,794) 21,110,219 4.75%
Domestic Fixed Income $116,256,763 28.27% $(997,348) $(525,281) $117,779,392 26.52% Dodge & Cox Income 58,181,251 14.15% (434,513) (477,964) 59,093,728 13.30% PIMCO 58,075,512 14.12% (562,835) (47,317) 58,685,664 13.21%
Real Estate $43,135,736 10.49% $(18,618) $1,519,684 $41,634,671 9.37% RREEF Public Fund 8,227,645 2.00% 0 259,647 7,967,998 1.79% RREEF Private Fund 19,629,880 4.77% 0 715,214 18,914,666 4.26% Cornerstone Patriot Fund 14,414,211 3.51% 0 526,204 13,888,006 3.13% 625 Kings Court 864,000 0.21% (18,618) 18,618 864,000 0.19%
Cash $1,800,246 0.44% $402,096 $0 $1,398,150 0.31%
Total Fund $411,202,880 100.0% $(5,810,022) $(27,148,068) $444,160,970 100.0%
Mendocino County Employees’ Retirement Association 16 Investment Manager Returns
The table below details the rates of return for the Fund’s investment managers over various time periods ended September 30, 2015. Negative returns are shown in red, positive returns in black. Returns for one year or greater are annualized. The first set of returns for each asset class represents the composite returns for all the fund’s accounts for that asset class.
Returns for Periods Ended September 30, 2015 Last Last Last Last Last 3 5 7 Quarter Year Years Years Years Domestic Equties (8.40%) 0.01% 13.41% 13.07% 10.65% Russell 3000 Index (7.25%) (0.49%) 12.53% 13.28% 9.91%
Large Cap Equities Vanguard S&P 500 Index (6.45%) (0.63%) --- S&P 500 Index (6.44%) (0.61%) 12.40% 13.34% 9.75%
Dodge & Cox Stock (9.84%) (6.62%) 13.39% 13.03% 9.56% Boston Partners (9.12%) (4.23%) 11.69% - - S&P 500 Index (6.44%) (0.61%) 12.40% 13.34% 9.75% Russell 1000 Value Index (8.39%) (4.42%) 11.59% 12.29% 8.21%
Harbor Cap Appreciation (5.44%) 6.03% 15.35% 15.06% 12.42% Janus Research (1) (5.70%) 5.09% 15.84% 13.99% 12.07% S&P 500 Index (6.44%) (0.61%) 12.40% 13.34% 9.75% Russell 1000 Growth Index (5.29%) 3.17% 13.61% 14.47% 11.73%
Mid Cap Equities Fidelity Low Priced Stock (6.20%) 1.94% 13.45% 13.20% 12.14% Royce Total Return (1) (9.61%) (3.84%) 8.43% 9.17% 7.52% Russell MidCap Value Idx (8.04%) (2.07%) 13.69% 13.15% 10.52%
Morgan Stanley (2) (10.73%) (6.02%) 9.44% 7.87% 10.76% Janus Enterprise (1) (6.95%) 6.28% 15.05% 13.65% 11.56% Russell MidCap Growth Idx (7.99%) 1.45% 13.98% 13.58% 12.12%
Small Cap Equities Prudential Small Cap Value (3) (11.00%) (3.73%) 10.24% - - US Small Cap Value Idx (9.02%) (1.53%) 11.00% 11.40% 8.97% Russell 2000 Value Index (10.73%) (1.60%) 9.18% 10.17% 6.81%
AB US Small Growth (14.57%) (2.91%) 10.41% 14.63% 13.11% RS Investments (1) (12.64%) 12.68% 16.28% 16.15% 14.52% Russell 2000 Growth Index (13.06%) 4.04% 12.85% 13.26% 10.44%
Micro Cap Equities Managers Inst Micro Cap (12.50%) 3.26% 13.69% 13.85% 10.97% Russell Microcap Index (13.78%) 1.65% 11.34% 12.35% 8.50% Russell Micro Growth Idx (17.25%) 3.68% 12.37% 13.35% 10.16%
(1) Switched share class December 2009. (2) Switched share class in February 2014. (3) Switched share class in Septemeber 2015.
Mendocino County Employees’ Retirement Association 17 Investment Manager Returns
The table below details the rates of return for the Fund’s investment managers over various time periods ended September 30, 2015. Negative returns are shown in red, positive returns in black. Returns for one year or greater are annualized. The first set of returns for each asset class represents the composite returns for all the fund’s accounts for that asset class.
Returns for Periods Ended September 30, 2015 Last Last Last Last Last 3 5 7 Quarter Year Years Years Years International Equities (12.66%) (11.24%) 3.69% 2.29% 4.82% MSCI ACWI ex-US Index (12.10%) (11.78%) 2.78% 2.27% 3.66%
EuroPacific (1) (9.81%) (4.93%) 6.35% 4.55% 5.57% Harbor International (12.97%) (10.29%) 3.15% 3.47% 4.13% Columbia Acorn Int’l (2) (10.01%) (7.76%) 4.97% 4.71% 7.60% Oakmark International (13.18%) (8.98%) 8.38% 5.98% 8.53% Mondrian International (11.18%) (12.24%) 2.92% - - MSCI EAFE Index (10.23%) (8.66%) 5.63% 3.98% 3.77% MSCI ACWI ex-US Index (12.10%) (11.78%) 2.78% 2.27% 3.66%
Domestic Fixed Income (0.45%) 0.86% 1.73% 3.37% 5.90% BC Aggregate Index 1.23% 2.94% 1.71% 3.10% 4.85%
Dodge & Cox Income (0.81%) 0.16% 2.10% 3.57% 6.37% PIMCO (0.09%) 1.57% 1.36% 3.23% - BC Aggregate Index 1.23% 2.94% 1.71% 3.10% 4.85%
Real Estate 3.65% 12.76% 11.65% 12.09% 4.73% Real Estate Custom Benchmark (3) 2.87% 12.63% 11.55% 12.53% 6.20%
RREEF Public 3.26% 10.94% 9.09% 11.86% 7.26% NAREIT 0.73% 6.94% 8.17% 11.40% 7.33% RREEF Private 3.78% 14.68% 13.80% 13.33% 3.96% Cornerstone Patriot Fund 3.79% 11.45% 9.98% - - NFI-ODCE Equal Weight Net 3.40% 13.82% 12.23% 12.86% 2.90% 625 Kings Court 2.18% 9.62% 17.75% 8.11% 6.21%
Total Fund (6.11%) (1.38%) 7.69% 7.56% 7.42% Total Fund Benchmark* (5.18%) (1.19%) 7.06% 7.80% 6.85%
* Current Quarter Target = 38.0% Russell 3000 Index, 28.0% Barclays Aggregate Index, 25.0% MSCI ACWI ex US Index, 7.2% NFI-ODCE Equal Weight Net and 1.8% NAREIT. (1) Switched share class December 2009. (2) Switched share class in February 2014. (3) Real Estate Custom Benchmark is 50% NAREIT Composite Index and 50% NFI-ODCE Equal Weight Net through 12/31/2011; and 20% NAREIT Composite Index and 80% NFI-ODCE Equal Weight Net thereafter.
Mendocino County Employees’ Retirement Association 18 Investment Manager Returns
The table below details the rates of return for the Fund’s investment managers over various time periods. Negative returns are shown in red, positive returns in black. Returns for one year or greater are annualized. The first set of returns for each asset class represents the composite returns for all the fund’s accounts for that asset class.
12/2014- 9/2015 2014 2013 2012 2011 Domestic Equities (4.96%) 9.59% 38.02% 17.10% (1.96%) Russell 3000 Index (5.45%) 12.56% 33.55% 16.42% 1.03%
Large Cap Equities Vanguard S&P 500 Index (5.30%) 13.65% - - - Dodge & Cox Stock (8.64%) 10.40% 40.55% 22.01% (4.08%) Boston Partners (9.10%) 10.87% 36.43% 20.18% - S&P 500 Index (5.29%) 13.69% 32.39% 16.00% 2.11% Russell 1000 Value Index (8.96%) 13.45% 32.53% 17.51% 0.39%
Harbor Cap Appreciation 2.68% 9.93% 37.66% 15.69% 0.61% Janus Research (1) (1.23%) 14.10% 35.36% 16.78% (3.76%) S&P 500 Index (5.29%) 13.69% 32.39% 16.00% 2.11% Russell 1000 Growth Index (1.54%) 13.05% 33.48% 15.26% 2.64%
Mid Cap Equities Fidelity Low Priced Stock (2.15%) 7.65% 34.31% 18.50% (0.06%) Royce Total Return (1) (8.87%) 1.51% 32.93% 14.48% (1.62%) Russell MidCap Value Idx (7.66%) 14.75% 33.46% 18.51% (1.38%)
Morgan Stanley (2) (8.48%) 1.47% 38.35% 9.49% (6.89%) Janus Enterprise (1) (1.31%) 12.01% 30.86% 17.83% (1.65%) Russell MidCap Growth Idx (4.15%) 11.90% 35.74% 15.81% (1.65%)
Small Cap Equities Prudential Small Cap Value (3) (10.24%) 5.89% 35.87% 14.14% - US Small Cap Value Idx (8.12%) 7.44% 33.71% 18.80% (4.04%) Russell 2000 Value Index (10.06%) 4.22% 34.52% 18.05% (5.50%)
AB US Small Growth (5.72%) (1.24%) 46.72% 16.21% 5.42% RS Investments (1) (1.24%) 9.67% 49.64% 15.13% (2.04%) Russell 2000 Growth Index (5.47%) 5.60% 43.30% 14.59% (2.91%)
Micro Cap Equities Managers Inst Micro Cap (7.98%) 2.62% 56.34% 14.32% (3.91%) Russell Microcap Index (8.58%) 3.65% 45.62% 19.75% (9.27%) Russell Micro Growth Idx (8.17%) 4.30% 52.84% 15.17% (8.42%)
(1) Switched share class in December 2009. (2) Switched share class in February 2014. (3) Switched share class in Septemeber 2015.
Mendocino County Employees’ Retirement Association 19 Investment Manager Returns
The table below details the rates of return for the Fund’s investment managers over various time periods. Negative returns are shown in red, positive returns in black. Returns for one year or greater are annualized. The first set of returns for each asset class represents the composite returns for all the fund’s accounts for that asset class.
12/2014- 9/2015 2014 2013 2012 2011 International Equities (7.61%) (5.73%) 19.25% 18.78% (15.34%) MSCI ACWI ex-US Index (8.28%) (3.44%) 15.78% 17.39% (13.33%)
EuroPacific (1) (3.36%) (2.29%) 20.58% 19.64% (13.31%) Harbor International (6.50%) (6.81%) 16.84% 20.87% (11.13%) Columbia Acorn Int’l (2) (5.29%) (4.23%) 22.33% 21.60% (14.06%) Oakmark International (8.57%) (5.41%) 29.34% 29.22% (14.07%) Mondrian International (8.20%) (2.06%) 16.69% 11.50% - MSCI EAFE Index (5.28%) (4.90%) 22.78% 17.32% (12.14%) MSCI ACWI ex-US Index (8.28%) (3.44%) 15.78% 17.39% (13.33%)
Domestic Fixed Income (0.24%) 5.09% (0.65%) 9.15% 4.47% BC Aggregate Index 1.13% 5.97% (2.02%) 4.21% 7.84%
Dodge & Cox Income (0.72%) 5.49% 0.64% 7.94% 4.75% PIMCO 0.25% 4.69% (1.92%) 10.36% 4.16% BC Aggregate Index 1.13% 5.97% (2.02%) 4.21% 7.84%
Real Estate 7.64% 14.50% 10.21% 10.73% 11.17% Real Esate Custom Benchmark (3) 7.52% 14.57% 10.40% 11.88% 11.74%
RREEF Public (3.77%) 31.88% (0.59%) 16.97% 9.41% NAREIT (4.74%) 27.23% 2.34% 19.73% 7.30% RREEF Private 11.72% 11.95% 14.50% 10.12% 13.86% Cornerstone Patriot Fund 9.65% 8.64% 9.82% 10.18% - NFI-ODCE Equal Weight Net 10.63% 11.42% 12.36% 9.93% 14.99% 625 Kings Court 6.97% 12.15% 33.50% 3.64% (11.98%)
Total Fund (3.07%) 4.72% 19.72% 14.53% (2.53%) Total Fund Benchmark* (3.10%) 6.80% 16.47% 12.99% 0.60%
* Current Quarter Target = 38.0% Russell 3000 Index, 28.0% Barclays Aggregate Index, 25.0% MSCI ACWI ex US Index, 7.2% NFI-ODCE Equal Weight Net and 1.8% NAREIT. (1) Switched share class December 2009. (2) Switched share class February 2014. (3) Real Estate Custom Benchmark is 50% NAREIT Composite Index and 50% NFI-ODCE Equal Weight Net through 12/31/2011; and 20% NAREIT Composite Index and 80% NFI-ODCE Equal Weight Net thereafter.
Mendocino County Employees’ Retirement Association 20 Quarterly Total Fund Relative Attribution - September 30, 2015
The following analysis approaches Total Fund Attribution from the perspective of relative return. Relative return attribution separates and quantifies the sources of total fund excess return relative to its target. This excess return is separated into two relative attribution effects: Asset Allocation Effect and Manager Selection Effect. The Asset Allocation Effect represents the excess return due to the actual total fund asset allocation differing from the target asset allocation. Manager Selection Effect represents the total fund impact of the individual managers excess returns relative to their benchmarks.
Asset Class Under or Overweighting
Domestic Equity 1.26%
Domestic Fixed Income (1.41%)
Domestic Real Estate 0.44%
International Equity (0.64%)
Cash 0.36%
(2%) (1%) 0% 1% 2% 3%
Actual vs Target Returns Relative Attribution by Asset Class
(8.40%) (0.45%) (0.02%) (7.25%) Domestic Equity (0.47%) (0.45%) (0.45%) (0.07%) 1.23% Domestic Fixed Income (0.52%) 3.65% 0.07% 0.04% 2.87% Domestic Real Estate 0.12% (12.66%) (0.14%) 0.05% (12.10%) International Equity (0.08%)
0.02% Cash 0.02% (6.11%) (0.96%) 0.03% (5.18%) Total (0.94%) (20%) (10%) 0% 10% (1.2%) (1.0%) (0.8%) (0.6%) (0.4%) (0.2%) 0.0% 0.2% 0.4% Actual Target Manager Effect Asset Allocation Total
Relative Attribution Effects for Quarter ended September 30, 2015
Effective Effective Total Actual Target Actual Target Manager Asset Relative Asset Class Weight Weight Return Return Effect Allocation Return Domestic Equity 39% 38% (8.40%) (7.25%) (0.45%) (0.02%) (0.47%) Domestic Fixed Income 27% 28% (0.45%) 1.23% (0.45%) (0.07%) (0.52%) Domestic Real Estate 9% 9% 3.65% 2.87% 0.07% 0.04% 0.12% International Equity 24% 25% (12.66%) (12.10%) (0.14%) 0.05% (0.08%) Cash 0% 0% 0.00% 0.00% 0.00% 0.02% 0.02% Total (6.11%)= (5.18%) + (0.96%) + 0.03% (0.94%)
* Current Quarter Target = 38.0% Russell 3000 Index, 28.0% Barclays Aggregate Index, 25.0% MSCI ACWI ex US Index, 7.2% NFI-ODCE Equal Weight Net and 1.8% NAREIT.
Mendocino County Employees’ Retirement Association 21 Cumulative Total Fund Relative Attribution - September 30, 2015
The charts below accumulate the Total Fund Attribution Analysis (shown earlier) over multiple periods to examine the cumulative sources of excess total fund performance relative to target. These cumulative results quantify the longer-term sources of total fund excess return relative to target by asset class. These relative attribution effects separate the cumulative sources of total fund excess return into Asset Allocation Effect and Manager Selection Effect.
One Year Relative Attribution Effects
Domestic Equity
Domestic Fixed Income
Domestic Real Estate
International Equity
Cash
Total
(0.8%) (0.6%) (0.4%) (0.2%) 0.0% 0.2% 0.4% 0.6% Manager Effect Asset Allocation Total
Cumulative Relative Attribution Effects
1.0% Manager Effect 0.8% Asset Allocation Total 0.6%
0.4%
0.2%
0.0%
(0.2%)
(0.4%) 2014 2015
One Year Relative Attribution Effects
Effective Effective Total Actual Target Actual Target Manager Asset Relative Asset Class Weight Weight Return Return Effect Allocation Return Domestic Equity 39% 38% 0.01% (0.49%) 0.21% (0.02%) 0.19% Domestic Fixed Income 27% 28% 0.86% 2.94% (0.57%) (0.05%) (0.62%) Domestic Real Estate 9% 9% 12.76% 12.63% 0.02% 0.05% 0.07% International Equity 24% 25% (11.24%) (11.78%) 0.15% 0.03% 0.18% Cash 1% 0% 0.00% 0.00% 0.00% (0.01%) (0.01%) Total (1.38%)= (1.19%) + (0.19%) + (0.00%) (0.20%)
* Current Quarter Target = 38.0% Russell 3000 Index, 28.0% Barclays Aggregate Index, 25.0% MSCI ACWI ex US Index, 7.2% NFI-ODCE Equal Weight Net and 1.8% NAREIT.
Mendocino County Employees’ Retirement Association 22 Cumulative Total Fund Relative Attribution - September 30, 2015
The charts below accumulate the Total Fund Attribution Analysis (shown earlier) over multiple periods to examine the cumulative sources of excess total fund performance relative to target. These cumulative results quantify the longer-term sources of total fund excess return relative to target by asset class. These relative attribution effects separate the cumulative sources of total fund excess return into Asset Allocation Effect and Manager Selection Effect.
Five Year Annualized Relative Attribution Effects
Domestic Equity
Domestic Fixed Income
Domestic Real Estate
International Equity
Cash
Total
(0.30%) (0.20%) (0.10%) 0.00% 0.10% 0.20% Manager Effect Asset Allocation Total
Cumulative Relative Attribution Effects
4% 3% 2% 1% 0% (1%) (2%)
(3%) Manager Effect Asset Allocation (4%) Total (5%) 2010 2011 2012 2013 2014 2015
Five Year Annualized Relative Attribution Effects
Effective Effective Total Actual Target Actual Target Manager Asset Relative Asset Class Weight Weight Return Return Effect Allocation Return Domestic Equity 39% 38% 13.07% 13.28% (0.05%) (0.03%) (0.08%) Domestic Fixed Income 27% 28% 3.37% 3.10% 0.03% (0.04%) (0.01%) Domestic Real Estate 9% 9% 12.09% 12.53% (0.03%) 0.00% (0.03%) International Equity 24% 25% 2.29% 2.15% 0.06% 0.00% 0.06% Cash 1% 0% 0.07% 0.07% 0.00% (0.17%) (0.17%) Total 7.56%= 7.80% +(0.01%) + (0.23%) (0.24%)
* Current Quarter Target = 38.0% Russell 3000 Index, 28.0% Barclays Aggregate Index, 25.0% MSCI ACWI ex US Index, 7.2% NFI-ODCE Equal Weight Net and 1.8% NAREIT.
Mendocino County Employees’ Retirement Association 23 Actual vs Target Historical Asset Allocation
The Historical asset allocation for a fund is by far the largest factor explaining its performance. The charts below show the fund’s historical actual asset allocation, the fund’s historical target asset allocation, and the historical asset allocation of the average fund in the Public Fund Sponsor Database.
Actual Historical Asset Allocation
100% 100% 90% 90% 80% 80% 70% 70% 60% 60% 50% 50% 40% 40% Cash 30% Domestic Real Estate 30% 20% Domestic Fixed Income 20% International Equity 10% Domestic Equity 10% 0% 0% 2011 2012 2013 2014 2015
Target Historical Asset Allocation
100% 100% 90% 90% 80% 80% 70% 70% 60% 60% 50% 50% 40% 40%
30% Domestic Real Estate 30% 20% Domestic Fixed Income 20% International Equity 10% Domestic Equity 10% 0% 0% 2011 2012 2013 2014 2015
Average Public Fund Sponsor Database Historical Asset Allocation
100% 100% 90% 90% 80% Real Assets 80% 70% Intl Fixed-Inc 70% Global Balanced 60% 60% Hedge Funds 50% Cash Equiv 50% 40% Global Equity Broad 40% Real Estate 30% Other Alternatives 30% 20% Intl Equity 20% Domestic Fixed 10% Domestic Broad Eq 10% 0% 0% 2011 2012 2013 2014 2015
* Current Quarter Target = 38.0% Russell 3000 Index, 28.0% Barclays Aggregate Index, 25.0% MSCI ACWI ex US Index, 7.2% NFI-ODCE Equal Weight Net and 1.8% NAREIT.
Mendocino County Employees’ Retirement Association 24 Total Fund Ranking
The first two charts show the ranking of the Total Fund’s performance relative to that of the Public Fund Sponsor Database for periods ended September 30, 2015. The first chart is a standard unadjusted ranking. In the second chart each fund in the database is adjusted to have the same historical asset allocation as that of the Total Fund.
Public Fund Sponsor Database
12%
10%
8% (32) (44) (50) (46) 6% (50) 4% (72) 2%
Returns 0% (63) (70) (2%)
(4%) (66) (6%) (92)
(8%) Last Last Last Last Last Quarter Year 2 Years 3 Years 5 Years 10th Percentile (3.61) 1.28 5.77 8.48 8.80 25th Percentile (4.25) 0.31 5.00 7.93 8.30 Median (4.87) (0.52) 4.34 6.91 7.55 75th Percentile (5.50) (1.63) 3.47 5.74 6.65 90th Percentile (6.04) (2.52) 2.79 4.53 5.98 Total Fund (6.11) (1.38) 3.62 7.69 7.56 Policy Target (5.18) (1.19) 4.35 7.06 7.80
Asset Allocation Adjusted Ranking
12%
10%
8% (63) (67) (81) (89) 6% (59) 4% (90) 2%
Returns 0% (80) (83) (2%)
(4%) (40) (6%) (92)
(8%) Last Last Last Last Last Quarter Year 2 Years 3 Years 5 Years 10th Percentile (4.72) 0.51 5.24 8.48 8.72 25th Percentile (4.98) 0.10 4.88 8.16 8.42 Median (5.29) (0.31) 4.48 7.86 8.07 75th Percentile (5.64) (0.93) 4.08 7.44 7.67 90th Percentile (5.99) (1.85) 3.65 7.04 7.24 Total Fund (6.11) (1.38) 3.62 7.69 7.56 Policy Target (5.18) (1.19) 4.35 7.06 7.80
* Current Quarter Target = 38.0% Russell 3000 Index, 28.0% Barclays Aggregate Index, 25.0% MSCI ACWI ex US Index, 7.2% NFI-ODCE Equal Weight Net and 1.8% NAREIT.
Mendocino County Employees’ Retirement Association 25 Total Fund Period Ended September 30, 2015
Investment Philosophy The Public Fund Sponsor Database consists of public employee pension total funds including both Callan Associates client and surveyed non-client funds.
Quarterly Summary and Highlights Quarterly Asset Growth Total Fund’s portfolio posted a (6.11)% return for the quarter Beginning Market Value $444,160,970 placing it in the 92 percentile of the Public Fund Sponsor Net New Investment $-5,810,022 Database group for the quarter and in the 70 percentile for the last year. Investment Gains/(Losses) $-27,148,068 Total Fund’s portfolio underperformed the Total Fund Ending Market Value $411,202,880 Benchmark by 0.94% for the quarter and underperformed the Total Fund Benchmark for the year by 0.20%.
Performance vs Public Fund Sponsor Database (Gross)
12%
10%
8% (32) (44) (50) (29) (46) (57) (14) 6% (58) (50) 4% (72) 2%
0% (63) (70) (2%)
(4%) (66) (6%) (92)
(8%) Last Quarter Last Last 2 Years Last 3 Years Last 5 Years Last 7 Years Last 10 Years Year 10th Percentile (3.61) 1.28 5.77 8.48 8.80 8.16 6.44 25th Percentile (4.25) 0.31 5.00 7.93 8.30 7.52 6.01 Median (4.87) (0.52) 4.34 6.91 7.55 7.00 5.71 75th Percentile (5.50) (1.63) 3.47 5.74 6.65 6.41 5.27 90th Percentile (6.04) (2.52) 2.79 4.53 5.98 5.83 4.79 Total Fund (6.11) (1.38) 3.62 7.69 7.56 7.42 6.28 Total Fund Benchmark (5.18) (1.19) 4.35 7.06 7.80 6.85 5.56
Public Fund Sponsor Database (Gross) Relative Return vs Total Fund Benchmark Annualized Five Year Risk vs Return
3% 12%
2% 10%
1% 8% Total Fund Benchmark
0% 6% Total Fund Returns (1%) 4% Relative Returns
(2%) 2%
(3%) 0% 10 2011 2012 2013 2014 2015 0 2 4 6 8 10 12 14 Standard Deviation Total Fund
Mendocino County Employees’ Retirement Association 26 Total Fund Return Analysis Summary
Return Analysis The graphs below analyze the manager’s return on both a risk-adjusted and unadjusted basis. The first chart illustrates the manager’s ranking over different periods versus the appropriate style group. The second chart shows the historical quarterly and cumulative manager returns versus the appropriate market benchmark. The last two charts illustrate the manager’s ranking relative to their style using various risk-adjusted return measures.
Performance vs Public Fund Sponsor Database (Gross)
40% 30% 18 20% 15 57 45 42 9 48 16 19 13 10% 36 34 78 86 61 0% 70 70 95 (10%) (20%) 49 55 (30%) (40%) 12/14- 9/15 2014 2013 2012 2011 2010 2009 2008 2007 2006 10th Percentile (1.07) 7.91 20.43 14.49 3.31 15.10 25.93 (12.58) 10.77 15.73 25th Percentile (1.74) 7.14 18.39 13.73 1.92 14.11 22.73 (20.71) 9.53 14.67 Median (2.54) 6.07 15.74 12.68 0.91 13.00 20.23 (25.43) 7.97 13.54 75th Percentile (3.29) 4.92 13.14 10.92 (0.29) 11.68 16.02 (27.97) 6.84 11.42 90th Percentile (3.83) 4.05 9.60 9.34 (1.58) 10.06 12.57 (30.14) 5.75 9.41 Total Fund (3.07) 4.72 19.72 14.53 (2.53) 14.64 23.73 (26.15) 8.85 15.37 Total Fund Benchmark (3.10) 6.80 16.47 12.99 0.60 13.04 19.19 (25.41) 6.22 15.03
Cumulative and Quarterly Relative Return vs Total Fund Benchmark
3%
2%
1%
0%
(1%)
(2%) Relative Returns (3%)
(4%) 2010 2011 2012 2013 2014 2015
Total Fund Pub PlnSponsor DB
Risk Adjusted Return Measures vs Total Fund Benchmark Rankings Against Public Fund Sponsor Database (Gross) Five Years Ended September 30, 2015
12 2.0 10 1.5 8 (91) 1.0 6 (92) 0.5 4 0.0 2 (48) 0 (0.5) (93) (92) (2) (1.0) (4) (1.5) Alpha Treynor Information Sharpe Excess Return Ratio Ratio Ratio Ratio 10th Percentile 1.95 10.50 10th Percentile 1.34 1.18 0.69 25th Percentile 1.12 9.05 25th Percentile 0.89 1.03 0.35 Median 0.43 8.16 Median 0.38 0.93 (0.15) 75th Percentile (0.08) 7.57 75th Percentile (0.09) 0.86 (0.49) 90th Percentile (0.70) 6.74 90th Percentile (0.54) 0.78 (0.67) Total Fund (1.12) 6.63 Total Fund (0.75) 0.75 (0.12)
Mendocino County Employees’ Retirement Association 27 Mendocino County Employees’ Retirement Association Performance vs Public Fund Sponsor Database Periods Ended September 30, 2015
Return Ranking The chart below illustrates fund rankings over various periods versus the Public Fund Sponsor Database. The bars represent the range of returns from the 10th percentile to the 90th percentile for each period for all funds in the Public Fund Sponsor Database. The numbers to the right of the bar represent the percentile rankings of the fund being analyzed. The table below the chart details the rates of return plotted in the graph above.
25%
20%
(20) (34)
15% (12)
(44)
10%
5%
(52) (52)
(48) 0% (91)
(5%) (66) (92)
(10%) Fiscal YTD Year Year Year Year Ended 6/2015 Ended 6/2014 Ended 6/2013 Ended 6/2012 10th Percentile (3.61) 4.52 19.00 14.81 3.99 25th Percentile (4.25) 3.95 17.74 13.43 2.36 Median (4.87) 3.19 16.31 11.98 1.22 75th Percentile (5.50) 1.92 14.78 10.19 0.21 90th Percentile (6.04) 0.93 13.61 8.14 (0.96) Total Fund (6.11) 3.11 18.08 14.52 (1.04) Total Fund Benchmark (5.18) 3.10 17.27 12.29 1.30
* Current Quarter Target = 38.0% Russell 3000 Index, 28.0% Barclays Aggregate Index, 25.0% MSCI ACWI ex US Index, 7.2% NFI-ODCE Equal Weight Net and 1.8% NAREIT.
Mendocino County Employees’ Retirement Association Domestic Equity Domestic Equity Domestic Domestic Equity Composite Period Ended September 30, 2015
Quarterly Summary and Highlights Quarterly Asset Growth Domestic Equity Composite’s portfolio posted a (8.40)% Beginning Market Value $175,504,293 return for the quarter placing it in the 80 percentile of the Net New Investment $-4,466,241 Pub Pln- Domestic Equity group for the quarter and in the 29 percentile for the last year. Investment Gains/(Losses) $-14,538,857 Domestic Equity Composite’s portfolio underperformed the Ending Market Value $156,499,195 Russell 3000 Index by 1.15% for the quarter and outperformed the Russell 3000 Index for the year by 0.51%.
Performance vs Pub Pln- Domestic Equity (Gross)
20%
15% (8) (32) (45) (46) (10) 10% (42) (18) (61) (44) (12) 5%
0% (57) (29)
(5%) (23) (80) (10%)
(15%) Last Quarter Last Last 2 Years Last 3 Years Last 5 Years Last 7 Years Last 10 Years Year 10th Percentile (6.81) 1.22 8.54 13.33 13.70 10.62 7.45 25th Percentile (7.29) 0.18 7.97 12.86 13.34 10.26 7.11 Median (7.84) (0.36) 7.44 12.46 13.02 9.76 6.85 75th Percentile (8.27) (0.83) 6.81 11.97 12.57 9.40 6.48 90th Percentile (8.75) (1.46) 6.10 11.46 11.87 8.84 6.03 Domestic Equity Composite (8.40) 0.01 7.26 13.41 13.07 10.65 7.34 Russell 3000 Index (7.25) (0.49) 8.25 12.53 13.28 9.91 6.92
Pub Pln- Domestic Equity (Gross) Relative Return vs Russell 3000 Index Annualized Five Year Risk vs Return
3% 16%
2% 15%
14% 1% Russell 3000 Index 13% 0% Domestic Equity Composite 12% Returns (1%)
Relative Returns 11%
(2%) 10%
(3%) 9% 10 2011 2012 2013 2014 2015 10 11 12 13 14 15 16 17 18 Standard Deviation Domestic Equity Composite
Mendocino County Employees’ Retirement Association 30 Domestic Equity Composite Return Analysis Summary
Return Analysis The graphs below analyze the manager’s return on both a risk-adjusted and unadjusted basis. The first chart illustrates the manager’s ranking over different periods versus the appropriate style group. The second chart shows the historical quarterly and cumulative manager returns versus the appropriate market benchmark. The last two charts illustrate the manager’s ranking relative to their style using various risk-adjusted return measures.
Performance vs Pub Pln- Domestic Equity (Gross)
60% 40% 6 10 65 66 20% 38 18 74 24 21 13 82 16 87 36 51 0% 46 25 88 (20%) (40%) 48 73 (60%) 12/14- 9/15 2014 2013 2012 2011 2010 2009 2008 2007 2006 10th Percentile (4.15) 12.79 37.22 17.42 2.34 21.49 34.69 (35.14) 8.11 16.29 25th Percentile (4.98) 11.91 35.51 16.80 1.36 19.60 32.44 (36.36) 6.44 15.49 Median (5.51) 11.32 34.39 16.07 0.33 17.92 29.50 (37.42) 5.18 14.60 75th Percentile (6.06) 10.05 33.14 15.14 (1.19) 16.90 27.32 (39.33) 3.89 13.48 90th Percentile (6.54) 8.42 31.92 14.16 (2.61) 15.71 25.64 (41.20) 2.96 12.58 Domestic Equity Composite (4.96) 9.59 38.02 17.10 (1.96) 19.63 34.90 (38.99) 7.26 12.70 Russell 3000 Index (5.45) 12.56 33.55 16.42 1.03 16.93 28.34 (37.31) 5.14 15.72
Cumulative and Quarterly Relative Return vs Russell 3000 Index
3%
2%
1%
0%
(1%)
(2%) Relative Returns (3%)
(4%) 2010 2011 2012 2013 2014 2015
Domestic Equity Composite Pub Pln- Dom Equity
Risk Adjusted Return Measures vs Russell 3000 Index Rankings Against Pub Pln- Domestic Equity (Gross) Five Years Ended September 30, 2015
16 1.5 14 12 (48) 1.0 (53) 10 0.5 8 6 0.0 (43) 4 (37) 2 (0.5) 0 (47) (1.0) (2) (4) (1.5) Alpha Treynor Information Sharpe Excess Return Ratio Ratio Ratio Ratio 10th Percentile 0.42 13.69 10th Percentile 0.31 0.98 0.30 25th Percentile (0.17) 13.00 25th Percentile (0.13) 0.93 0.04 Median (0.80) 12.32 Median (0.54) 0.88 (0.15) 75th Percentile (1.36) 11.73 75th Percentile (0.81) 0.84 (0.36) 90th Percentile (1.80) 11.27 90th Percentile (1.09) 0.80 (0.55) Domestic Domestic Equity Composite (0.77) 12.34 Equity Composite (0.35) 0.88 (0.08)
Mendocino County Employees’ Retirement Association 31 Domestic Equity Composite Equity Characteristics Analysis Summary
Portfolio Characteristics This graph compares the manager’s portfolio characteristics with the range of characteristics for the portfolios which make up the manager’s style group. This analysis illustrates whether the manager’s current holdings are consistent with other managers employing the same style.
Portfolio Characteristics Percentile Rankings Rankings Against Pub Pln- Domestic Equity as of September 30, 2015
0% (6) 10% (8) (17) 20% (20) (21) 30% (30) 40% 50% (56) (53) (53) 60% (64) (65) 70% 80% Percentile Ranking 90% (88) 100% Weighted Median Price/Fore- Price/Book Forecasted Dividend MSCI Market Cap casted Earnings Earnings Growth Yield Combined Z-Score 10th Percentile 74.89 16.80 2.64 13.19 2.30 0.28 25th Percentile 41.32 16.07 2.51 12.54 2.05 0.15 Median 29.79 15.68 2.43 11.84 1.94 0.07 75th Percentile 22.47 15.15 2.26 10.90 1.77 (0.05) 90th Percentile 14.36 14.80 2.19 10.56 1.60 (0.12) *Domestic Equity Composite 27.43 16.23 2.43 13.40 1.63 0.31 Russell 3000 Index 46.22 15.95 2.43 11.28 2.16 (0.02)
Sector Weights The graph below contrasts the manager’s sector weights with those of the benchmark and median sector weights across the members of the peer group. The magnitude of sector weight differences from the index and the manager’s sector diversification are also shown. Diversification by number and concentration of holdings are also compared to the benchmark and peer group. Issue Diversification represents by count, and Diversification Ratio by percent, the number of holdings that account for half of the portfolio’s market value.
Sector Allocation Diversification September 30, 2015 September 30, 2015
24.6% 3500 19.5% Information Technology 19.0%
17.6% 50% 3000 18.2% Mgr MV Financials 20.3% Diversification Ratio 17.3% 13.7% Manager 4% Consumer Discretionary 13.4% 2500 (21) 16.8% Index 3% 14.3% Health Care 13.2% 2000 Style Median 10% 9.5% 50% 10.7% Mgr MV Industrials 11.2% 5.0% 1500 8.7% Consumer Staples 7.3% 4.4% 6.4% 1000 Energy 5.4% Sector Diversification 2.7% 3.1% Manager 2.45 sectors Materials 3.1% 500 1.0% Index 2.85 sectors 2.2% (36) Telecommunications 1.4% 0 0.9% Number of Issue 3.2% Utilities 2.1% Securities Diversification 0.2% Pooled Vehicles 3.6% 10th Percentile 2988 131 0.0% 25th Percentile 1892 118 Miscellaneous Median 967 89 75th Percentile 630 57 0% 5% 10% 15% 20% 25% 30% 90th Percentile 503 55 *Domestic Equity Composite Russell 3000 Index *Domestic Pub Pln- Dom Equity Equity Composite 2413 103 Russell 3000 Index 2981 92
*9/30/15 portfolio characteristics generated using most recently available holdings (6/30/15) modified based on a "buy-and-hold" assumption (repriced and adjusted for corporate actions). Analysis is then done using current market and company financial data.
Mendocino County Employees’ Retirement Association 32 Holdings Based Style Analysis For One Quarter Ended September 30, 2015 This page analyzes and compares the investment styles of multiple portfolios using a detailed holdings-based style analysis methodology. The size component of style is measured by the weighted median market capitialization of the holdings. The value/core/growth style dimension is captured by the "Combined Z-Score" of the portfolio. This score is based on eight fundamental factors used in the MSCI stock style scoring system. The table below gives a more detailed breakdown of several relevant style metrics on the portfolios.
Style Map Holdings for One Quarter Ended September 30, 2015
Mega
Dodge & Cox Stock Vanguard S&P 500 Index Harbor Cap Appreciation Large *Boston Partners Russell 3000 Index *Janus Research
*Domestic Equity Composite
Morgan Stanley Mid *Janus Enterprise *Fidelity Low Priced Stock
*Royce Total Return AB US Small Growth *RS Investments Small
*Prudential Small Cap Value
Micro *Managers Inst Micro Cap Value Core Growth
Weight Wtd Median Combined Growth Value Number of Security % Mkt Cap Z-Score Z-Score Z-Score Securities Diversification Vanguard S&P 500 Index 13.12% 74.82 (0.05) (0.02) 0.03 504 56.05 Dodge & Cox Stock 13.46% 54.77 (0.36) (0.15) 0.21 65 15.75 *Boston Partners 13.94% 49.93 (0.46) (0.11) 0.35 90 20.42 Harbor Cap Appreciation 14.07% 66.29 1.67 0.78 (0.89) 59 16.63 *Janus Research 14.05% 48.55 0.87 0.40 (0.47) 107 27.06 *Fidelity Low Priced Stock 3.14% 7.07 (0.15) 0.02 0.16 905 31.62 *Royce Total Return 2.77% 2.20 (0.38) (0.15) 0.23 329 68.02 Morgan Stanley 2.83% 12.21 1.70 0.68 (1.02) 50 12.24 *Janus Enterprise 3.20% 7.60 0.64 0.25 (0.39) 83 24.52 *Prudential Small Cap Value 7.30% 1.56 (0.78) (0.15) 0.63 411 65.84 AB US Small Growth 3.94% 2.79 0.92 0.31 (0.61) 102 33.76 *RS Investments 3.27% 2.16 0.88 0.27 (0.61) 85 25.78 *Managers Inst Micro Cap 4.91% 0.59 0.33 0.05 (0.27) 349 76.68 *Domestic Equity Composite 100.00% 27.43 0.31 0.16 (0.15) 2413 102.68 Russell 3000 Index - 46.22 (0.02) (0.00) 0.01 2981 92.46
*9/30/15 portfolio characteristics generated using most recently available holdings (6/30/15) modified based on a "buy-and-hold" assumption (repriced and adjusted for corporate actions). Analysis is then done using current market and company financial data.
Mendocino County Employees’ Retirement Association 33 Vanguard S&P 500 Index Period Ended September 30, 2015
Investment Philosophy Vanguard’s Institutional Index Fund is passively administered using a "full replication" approach. Under this method, the fund holds all of the 500 underlying securities in proportion to their weighting in the index. The fund remains fully invested in equities at all times and does not make judgement calls on the direction of the S&P 500 Index.
Quarterly Summary and Highlights Quarterly Asset Growth Vanguard S&P 500 Index’s portfolio posted a (6.45)% return Beginning Market Value $22,468,787 for the quarter placing it in the 43 percentile of the CAI MF - Net New Investment $-500,000 Core Equity Style group for the quarter and in the 33 percentile for the last year. Investment Gains/(Losses) $-1,442,893 Vanguard S&P 500 Index’s portfolio underperformed the Ending Market Value $20,525,894 S&P 500 Index by 0.01% for the quarter and underperformed the S&P 500 Index for the year by 0.02%.
Performance vs CAI MF - Core Equity Style (Net)
20%
15% (22) (22) (23) (23) 10% (16) (16) (13) (13) (26) (25) 5%
0% (32) (33)
(5%) (42) (43)
(10%)
(15%) Last Quarter Last Last 2 Years Last 3 Years Last 5 Years Last 7 Years Last 10 Years Year 10th Percentile (5.27) 0.65 9.78 13.48 14.12 10.05 7.55 25th Percentile (5.88) 0.08 8.56 12.30 13.14 9.48 6.82 Median (6.74) (1.56) 7.33 11.69 12.11 8.73 6.09 75th Percentile (7.79) (3.63) 6.15 10.82 10.97 7.62 5.61 90th Percentile (8.54) (4.86) 5.22 8.93 9.71 7.00 4.90 Vanguard S&P 500 Index (6.45) (0.63) 9.06 12.37 13.31 9.76 6.80 S&P 500 Index (6.44) (0.61) 9.09 12.40 13.34 9.75 6.80
CAI MF - Core Equity Style (Net) Relative Return vs S&P 500 Index Annualized Five Year Risk vs Return
0.01% 16% Vanguard S&P 500 Index 14% S&P 500 Index 12% 0.00% 10%
8% Returns (0.01%)
Relative Returns 6%
4%
(0.02%) 2% 10 2011 2012 2013 2014 2015 10 11 12 13 14 15 16 17 Standard Deviation Vanguard S&P 500 Index
Mendocino County Employees’ Retirement Association 34 Vanguard S&P 500 Index Return Analysis Summary
Return Analysis The graphs below analyze the manager’s return on both a risk-adjusted and unadjusted basis. The first chart illustrates the manager’s ranking over different periods versus the appropriate style group. The second chart shows the historical quarterly and cumulative manager returns versus the appropriate market benchmark. The last two charts illustrate the manager’s ranking relative to their style using various risk-adjusted return measures.
Performance vs CAI MF - Core Equity Style (Net)
60% 40% 54 56 49 47 20% 18 18 45 46 26 26 30 30 23 23 61 61 0% 42 42 (20%) (40%) 49 49 (60%) 12/14- 9/15 2014 2013 2012 2011 2010 2009 2008 2007 2006 10th Percentile (3.55) 15.11 35.49 18.19 4.60 17.97 34.68 (31.69) 12.11 16.83 25th Percentile (4.44) 13.24 34.43 17.00 1.77 15.33 29.07 (35.09) 9.48 16.03 Median (5.73) 10.93 32.59 15.73 (0.41) 13.07 26.30 (37.17) 6.81 13.86 75th Percentile (6.94) 9.87 29.59 13.54 (4.42) 11.51 22.67 (39.65) 3.56 12.42 90th Percentile (7.99) 8.41 28.04 9.92 (6.09) 9.94 20.52 (43.66) (0.89) 10.18 Vanguard S&P 500 Index (5.30) 13.65 32.35 15.98 2.09 15.05 26.63 (36.96) 5.49 15.79 S&P 500 Index (5.29) 13.69 32.39 16.00 2.11 15.06 26.47 (37.00) 5.49 15.79
Cumulative and Quarterly Relative Return vs S&P 500 Index
1% 0% (1%) (2%) (3%) (4%) (5%)
Relative Returns (6%) (7%) (8%) 2010 2011 2012 2013 2014 2015
Vanguard S&P 500 Index CAI Core Equity Mut Fds
Risk Adjusted Return Measures vs S&P 500 Index Rankings Against CAI MF - Core Equity Style (Net) Five Years Ended September 30, 2015
20 2 15 1 (13) (15) 10 0 5 (1) 0 (16) (2)
(5) (3) (100) (100) (10) (4) Alpha Treynor Information Sharpe Excess Return Ratio Ratio Ratio Ratio 10th Percentile 0.34 13.62 10th Percentile 0.16 1.02 0.26 25th Percentile (0.40) 12.81 25th Percentile (0.14) 0.96 (0.12) Median (1.37) 11.76 Median (0.62) 0.88 (0.50) 75th Percentile (2.67) 10.49 75th Percentile (0.91) 0.78 (0.82) 90th Percentile (3.98) 9.13 90th Percentile (1.21) 0.68 (0.94) Vanguard Vanguard S&P 500 Index (0.03) 13.23 S&P 500 Index (3.16) 1.01 (3.25)
Mendocino County Employees’ Retirement Association 35 Vanguard S&P 500 Index Equity Characteristics Analysis Summary
Portfolio Characteristics This graph compares the manager’s portfolio characteristics with the range of characteristics for the portfolios which make up the manager’s style group. This analysis illustrates whether the manager’s current holdings are consistent with other managers employing the same style.
Portfolio Characteristics Percentile Rankings Rankings Against CAI MF - Core Equity Style as of September 30, 2015
0% 10% 20% (22) (28) 30% (31) (32) 40% (42) (39) 50% (57) (57) (54) 60% (58) 70% (69) (68)
Percentile Ranking 80% 90% 100% Weighted Median Price/Fore- Price/Book Forecasted Dividend MSCI Market Cap casted Earnings Earnings Growth Yield Combined Z-Score 10th Percentile 100.74 16.99 2.76 13.15 2.80 0.49 25th Percentile 74.66 15.72 2.69 11.59 2.36 0.16 Median 67.86 14.96 2.58 10.88 2.07 (0.01) 75th Percentile 50.42 14.00 2.16 9.83 1.78 (0.11) 90th Percentile 28.06 13.35 1.99 8.94 1.63 (0.27) Vanguard S&P 500 Index 74.82 15.20 2.52 10.61 2.29 (0.05) S&P 500 Index 74.22 15.14 2.50 10.56 2.32 (0.07)
Sector Weights The graph below contrasts the manager’s sector weights with those of the benchmark and median sector weights across the members of the peer group. The magnitude of sector weight differences from the index and the manager’s sector diversification are also shown. Diversification by number and concentration of holdings are also compared to the benchmark and peer group. Issue Diversification represents by count, and Diversification Ratio by percent, the number of holdings that account for half of the portfolio’s market value.
Sector Allocation Diversification September 30, 2015 September 30, 2015
20.4% 600 20.4% Information Technology 21.1% 16.5% 500 (5) 16.5% Diversification Ratio Financials 50% 18.0% Mgr MV Manager 11% 14.7% 400 Health Care 14.7% Index 11% 16.1% Style Median 28% 13.1% Consumer Discretionary 13.1% 300 14.4% 50% Mgr MV 10.1% 10.1% 200 Industrials 10.1% 9.9% Consumer Staples 9.9% 100 9.6% Sector Diversification 7.0% (4) Energy 6.9% Manager 2.89 sectors 6.1% 0 Index 2.90 sectors Number of Issue 3.1% 3.1% Securities Diversification Utilities 0.4% 2.8% 10th Percentile 252 39 2.8% Materials 3.1% 25th Percentile 133 27 2.4% Median 69 20 Telecommunications 2.4% 75th Percentile 51 17 1.1% 90th Percentile 36 13 0% 5% 10% 15% 20% 25% Vanguard Vanguard S&P 500 Index S&P 500 Index S&P 500 Index 504 56 CAI Core Equity Mut Fds S&P 500 Index 503 56
Mendocino County Employees’ Retirement Association 36 Dodge & Cox Stock Period Ended September 30, 2015
Investment Philosophy Dodge & Cox seeks to build a portfolio of individual companies where the current market valuation does not adequately reflect the company’s long-term profit opportunities. The firm maintains a long-term focus, conducts their own research, and employs a rigorous price discipline.
Quarterly Summary and Highlights Quarterly Asset Growth Dodge & Cox Stock’s portfolio posted a (9.84)% return for Beginning Market Value $23,440,178 the quarter placing it in the 70 percentile of the CAI MF - Net New Investment $-66,241 Large Cap Value Style group for the quarter and in the 72 percentile for the last year. Investment Gains/(Losses) $-2,306,742 Dodge & Cox Stock’s portfolio underperformed the Russell Ending Market Value $21,067,195 1000 Value Index by 1.45% for the quarter and underperformed the Russell 1000 Value Index for the year by 2.19%.
Performance vs CAI MF - Large Cap Value Style (Net)
20%
15% (7) (17) (36) (31) 10% (12) (33) (34) (40) (42) 5% (44)
0%
(5%) (41) (72) (46) (10%) (70)
(15%) Last Quarter Last Last 2 Years Last 3 Years Last 5 Years Last 7 Years Last 10 Years Year 10th Percentile (7.11) (1.41) 8.62 13.39 13.33 9.67 7.05 25th Percentile (7.51) (2.82) 7.01 12.22 12.50 8.79 6.21 Median (9.07) (4.81) 6.04 11.19 11.52 7.95 5.39 75th Percentile (10.13) (6.98) 4.58 10.10 10.34 6.39 4.76 90th Percentile (11.14) (8.54) 1.90 7.87 9.33 5.88 4.14 Dodge & Cox Stock (9.84) (6.62) 6.20 13.39 13.03 9.56 5.53 Russell 1000 Value Index (8.39) (4.42) 6.60 11.59 12.29 8.21 5.71
CAI MF - Large Cap Value Style (Net) Relative Return vs Russell 1000 Value Index Annualized Five Year Risk vs Return
4% 15%
3% 14% Dodge & Cox Stock
13% 2% 12% 1% Russell 1000 Value Index 11% 0% 10% (1%) Returns 9% Relative Returns (2%) 8%
(3%) 7%
(4%) 6% 10 2011 2012 2013 2014 2015 8 10 12 14 16 18 20 Standard Deviation Dodge & Cox Stock
Mendocino County Employees’ Retirement Association 37 Dodge & Cox Stock Return Analysis Summary
Return Analysis The graphs below analyze the manager’s return on both a risk-adjusted and unadjusted basis. The first chart illustrates the manager’s ranking over different periods versus the appropriate style group. The second chart shows the historical quarterly and cumulative manager returns versus the appropriate market benchmark. The last two charts illustrate the manager’s ranking relative to their style using various risk-adjusted return measures.
Performance vs CAI MF - Large Cap Value Style (Net)
60% 40% 3 55 8 20% 20 2 58 6 44 25 73 14 37 0% 32 67 62 53 47 77 (20%) 59 (40%) 98 (60%) 12/14- 9/15 2014 2013 2012 2011 2010 2009 2008 2007 2006 10th Percentile (5.86) 14.57 37.81 19.85 8.21 16.10 30.13 (32.07) 10.41 21.36 25th Percentile (6.94) 13.52 35.62 17.14 1.23 14.15 25.22 (33.84) 6.15 20.09 Median (8.85) 10.91 33.23 15.53 (1.24) 12.82 21.81 (36.31) 2.16 17.42 75th Percentile (9.69) 10.23 30.71 13.58 (3.82) 10.46 17.89 (38.11) (1.24) 15.79 90th Percentile (11.50) 8.00 29.24 9.91 (6.22) 9.71 16.46 (40.22) (5.51) 11.60 Dodge & Cox Stock (8.64) 10.40 40.55 22.01 (4.08) 13.49 31.27 (43.31) 0.14 18.53 Russell 1000 Value Index (8.96) 13.45 32.53 17.51 0.39 15.51 19.69 (36.85) (0.17) 22.25
Cumulative and Quarterly Relative Return vs Russell 1000 Value Index
8%
6%
4%
2%
0%
(2%)
(4%) Relative Returns
(6%)
(8%) 2010 2011 2012 2013 2014 2015
Dodge & Cox Stock CAI Lg Cap Value Mut Fds
Risk Adjusted Return Measures vs Russell 1000 Value Index Rankings Against CAI MF - Large Cap Value Style (Net) Five Years Ended September 30, 2015
20 1.5 1.0 15 (35) (30) 10 0.5 (15) 0.0 (26) 5 (0.5) 0 (25) (1.0) (5) Alpha Treynor (1.5) Ratio Information Sharpe Excess Return Ratio Ratio Ratio 10th Percentile 1.77 14.24 25th Percentile 0.01 12.29 10th Percentile 0.61 0.97 0.42 Median (0.73) 11.38 25th Percentile 0.00 0.85 0.06 75th Percentile (1.91) 10.06 Median (0.29) 0.79 (0.29) 90th Percentile (2.68) 9.23 75th Percentile (0.60) 0.70 (0.61) 90th Percentile (0.93) 0.64 (0.81) Dodge & Cox Stock 0.01 12.11 Dodge & Cox Stock 0.00 0.83 0.19
Mendocino County Employees’ Retirement Association 38 Dodge & Cox Stock Equity Characteristics Analysis Summary
Portfolio Characteristics This graph compares the manager’s portfolio characteristics with the range of characteristics for the portfolios which make up the manager’s style group. This analysis illustrates whether the manager’s current holdings are consistent with other managers employing the same style.
Portfolio Characteristics Percentile Rankings Rankings Against CAI MF - Large Cap Value Style as of September 30, 2015
0% 10% (8) (17) 20% (22) (26) 30% (37) 40% (40) 50% 60% (60) (65) 70% (77)
Percentile Ranking 80% (85) 90% (88) (94) 100% Weighted Median Price/Fore- Price/Book Forecasted Dividend MSCI Market Cap casted Earnings Earnings Growth Yield Combined Z-Score 10th Percentile 76.53 15.06 2.14 9.68 2.98 (0.38) 25th Percentile 57.49 13.80 1.98 8.98 2.72 (0.50) Median 51.52 13.11 1.69 8.55 2.59 (0.64) 75th Percentile 42.53 12.05 1.59 8.14 2.45 (0.75) 90th Percentile 31.25 11.68 1.51 7.39 2.17 (0.87) Dodge & Cox Stock 54.77 11.88 1.74 8.88 2.09 (0.36) Russell 1000 Value Index 49.37 14.24 1.64 7.65 2.79 (0.81)
Sector Weights The graph below contrasts the manager’s sector weights with those of the benchmark and median sector weights across the members of the peer group. The magnitude of sector weight differences from the index and the manager’s sector diversification are also shown. Diversification by number and concentration of holdings are also compared to the benchmark and peer group. Issue Diversification represents by count, and Diversification Ratio by percent, the number of holdings that account for half of the portfolio’s market value.
Sector Allocation Diversification September 30, 2015 September 30, 2015
25.4% 200 30.2% Financials 27.7% 180 24.5% 11.2% 50% 160 Diversification Ratio Information Technology Mgr MV 12.6% Manager 24% 17.8% 140 Health Care 11.6% Index 6% 14.2% 120 Style Median 30% 15.6%
5.4% 50% 100
Consumer Discretionary 10.7% Mgr MV 7.6% 80 12.8% (54) Energy 9.6% 60 5.2% Industrials 10.0% 40 10.1% Sector Diversification 2.3% 20 (83) Consumer Staples 6.9% Manager 2.01 sectors 6.5% 0 Index 2.60 sectors Number of Issue 0.9% 2.7% Securities Diversification Materials 2.5% 0.8% 10th Percentile 177 38 2.8% Telecommunications 2.1% 25th Percentile 109 25 Median 68 20 Utilities 6.3% 75th Percentile 49 16 4.0% 90th Percentile 36 13 0% 5% 10% 15% 20% 25% 30% 35% 40% Dodge & Cox Stock 65 16 Dodge & Cox Stock Russell 1000 Value Index Russell 1000 CAI Lg Cap Value Mut Fds Value Index 684 43
Mendocino County Employees’ Retirement Association 39 Boston Partners Period Ended September 30, 2015
Investment Philosophy Boston Partners’ investment philosophy is grounded in certain "fundamental truths" to investing, namely that low valuation stocks outperform high valuation stocks, companies with strong fundamentals, e.g. high and sustainable returns on invested capital, outperform companies with weak fundamentals, and stocks with positive business momentum, e.g. rising earnings estimates, outperform stocks with negative business momentum. The firm seeks to construct well-diversified portfolios that consistently possess these three characteristics, which hope to limit downside risk, preserve capital, and maximize the power of compounding. Boston Partner’s management fee is 50 bps on all assets.
Quarterly Summary and Highlights Quarterly Asset Growth Boston Partners’s portfolio posted a (9.12)% return for the Beginning Market Value $24,880,798 quarter placing it in the 51 percentile of the CAI MF - Large Net New Investment $-900,000 Cap Value Style group for the quarter and in the 38 percentile for the last year. Investment Gains/(Losses) $-2,168,127 Boston Partners’s portfolio underperformed the Russell 1000 Ending Market Value $21,812,671 Value Index by 0.72% for the quarter and outperformed the Russell 1000 Value Index for the year by 0.20%.
Performance vs CAI MF - Large Cap Value Style (Net)
20%
15% (36) (34) 10% (31) (20) (34) 5% (57)
0%
(5%) (41) (38) (46) (51) (10%)
(15%) Last Quarter Last Year Last 2 Years Last 3 Years Last 4-1/2 Years 10th Percentile (7.11) (1.41) 8.62 13.39 11.22 25th Percentile (7.51) (2.82) 7.01 12.22 9.99 Median (9.07) (4.81) 6.04 11.19 8.73 75th Percentile (10.13) (6.98) 4.58 10.10 7.86 90th Percentile (11.14) (8.54) 1.90 7.87 6.76 Boston Partners (9.12) (4.23) 5.61 11.69 10.19 Russell 1000 Value Index (8.39) (4.42) 6.60 11.59 9.70
CAI MF - Large Cap Value Style (Net) Relative Return vs Russell 1000 Value Index Annualized Four and One-Half Year Risk vs Return
4% 13%
12% 3% 11% Boston Partners 2% 10% 1% 9% Russell 1000 Value Index 0% 8%
Returns 7% (1%)
Relative Returns 6% (2%) 5% (3%) 4%
(4%) 3% 2011 2012 2013 2014 2015 8 10 12 14 16 18 20 Standard Deviation Boston Partners
Mendocino County Employees’ Retirement Association 40 Boston Partners Return Analysis Summary
Return Analysis The graphs below analyze the manager’s return on both a risk-adjusted and unadjusted basis. The first chart illustrates the manager’s ranking over different periods versus the appropriate style group. The second chart shows the historical quarterly and cumulative manager returns versus the appropriate market benchmark. The last two charts illustrate the manager’s ranking relative to their style using various risk-adjusted return measures.
Performance vs CAI MF - Large Cap Value Style (Net)
50%
40% (13) 30% (55) 20% (25) 10% (54) 0% (10%) (53) (55) (20%) 12/14- 9/15 2014 2013 10th Percentile (5.86) 14.57 37.81 25th Percentile (6.94) 13.52 35.62 Median (8.85) 10.91 33.23 75th Percentile (9.69) 10.23 30.71 90th Percentile (11.50) 8.00 29.24 Boston Partners (9.10) 10.87 36.43 Russell 1000 Value Index (8.96) 13.45 32.53
Cumulative and Quarterly Relative Return vs Russell 1000 Value Index
6%
4%
2%
0%
(2%) Relative Returns (4%)
(6%) 2011 2012 2013 2014 2015
Boston Partners CAI Lg Cap Value Mut Fds
Risk Adjusted Return Measures vs Russell 1000 Value Index Rankings Against CAI MF - Large Cap Value Style (Net) Four and One-Half Years Ended September 30, 2015
14 1.5 12 1.0 10 (35) (37) 8 0.5 6 (21) 4 0.0 (33) 2 0 (33) (0.5) (2) (1.0) (4) (6) (1.5) Alpha Treynor Information Sharpe Excess Return Ratio Ratio Ratio Ratio 10th Percentile 1.91 11.80 10th Percentile 0.59 0.80 0.35 25th Percentile 0.17 9.69 25th Percentile 0.05 0.65 0.09 Median (0.69) 8.85 Median (0.32) 0.60 (0.31) 75th Percentile (1.84) 7.45 75th Percentile (0.62) 0.50 (0.53) 90th Percentile (2.92) 6.70 90th Percentile (0.93) 0.45 (0.94) Boston Partners (0.11) 9.43 Boston Partners (0.04) 0.64 0.16
Mendocino County Employees’ Retirement Association 41 Boston Partners Equity Characteristics Analysis Summary
Portfolio Characteristics This graph compares the manager’s portfolio characteristics with the range of characteristics for the portfolios which make up the manager’s style group. This analysis illustrates whether the manager’s current holdings are consistent with other managers employing the same style.
Portfolio Characteristics Percentile Rankings Rankings Against CAI MF - Large Cap Value Style as of September 30, 2015
0% 10% (17) 20% (22) (21) 30% (32) (37) 40% 50% 60% (60) (59) (59) (65) 70%
Percentile Ranking 80% (88) (85) 90% (93) 100% Weighted Median Price/Fore- Price/Book Forecasted Dividend MSCI Market Cap casted Earnings Earnings Growth Yield Combined Z-Score 10th Percentile 76.53 15.06 2.14 9.68 2.98 (0.38) 25th Percentile 57.49 13.80 1.98 8.98 2.72 (0.50) Median 51.52 13.11 1.69 8.55 2.59 (0.64) 75th Percentile 42.53 12.05 1.59 8.14 2.45 (0.75) 90th Percentile 31.25 11.68 1.51 7.39 2.17 (0.87) *Boston Partners 49.93 12.73 1.80 8.80 2.13 (0.46) Russell 1000 Value Index 49.37 14.24 1.64 7.65 2.79 (0.81)
Sector Weights The graph below contrasts the manager’s sector weights with those of the benchmark and median sector weights across the members of the peer group. The magnitude of sector weight differences from the index and the manager’s sector diversification are also shown. Diversification by number and concentration of holdings are also compared to the benchmark and peer group. Issue Diversification represents by count, and Diversification Ratio by percent, the number of holdings that account for half of the portfolio’s market value.
Sector Allocation Diversification September 30, 2015 September 30, 2015
29.3% 200 30.2% Financials 27.7% 180 18.4% 50%
11.6% Mgr MV 160 Diversification Ratio Health Care 14.2% 16.7% 140 Manager 23% Information Technology 11.2% Index 6% 12.6% 120 9.5% Style Median 30% 10.0% Industrials 10.1% 50% 100 Mgr MV 8.8% (33) 5.4% 80 Consumer Discretionary 10.7% 8.4% 60 Energy 12.8% Sector Diversification 9.6% 40 3.8% Manager 2.13 sectors 6.9% Consumer Staples 6.5% Index 2.60 sectors 20 (49) 3.1% 2.7% 0 Materials 2.5% Number of Issue 1.1% Securities Diversification Telecommunications 2.8% 2.1% 10th Percentile 177 38 0.9% Utilities 6.3% 25th Percentile 109 25 4.0% Median 68 20 75th Percentile 49 16 0% 5% 10% 15% 20% 25% 30% 35% 40% 90th Percentile 36 13 *Boston Partners Russell 1000 Value Index *Boston Partners 90 20 CAI Lg Cap Value Mut Fds Russell 1000 Value Index 684 43
*9/30/15 portfolio characteristics generated using most recently available holdings (6/30/15) modified based on a "buy-and-hold" assumption (repriced and adjusted for corporate actions). Analysis is then done using current market and company financial data.
Mendocino County Employees’ Retirement Association 42 Harbor Cap Appreciation Period Ended September 30, 2015
Investment Philosophy The Jennison Large Cap Growth team believes that a stock’s value over time is driven by above-average growth in units, revenues, earnings, and cash flow. The strategy seeks to capture the inflection point in a company’s growth rate before it is fully appreciated by the market or reflected in the stock price.
Quarterly Summary and Highlights Quarterly Asset Growth Harbor Cap Appreciation’s portfolio posted a (5.44)% return Beginning Market Value $25,167,194 for the quarter placing it in the 35 percentile of the CAI MF - Net New Investment $-1,850,000 Large Cap Growth Style group for the quarter and in the 16 percentile for the last year. Investment Gains/(Losses) $-1,290,108 Harbor Cap Appreciation’s portfolio underperformed the Ending Market Value $22,027,087 Russell 1000 Growth Index by 0.15% for the quarter and outperformed the Russell 1000 Growth Index for the year by 2.86%.
Performance vs CAI MF - Large Cap Growth Style (Net)
20%
15% (18) (19) (40) (28) (9) (21) (43) (27) 10% (28) (25) (16) 5% (53) 0%
(5%) (28) (35)
(10%)
(15%) Last Quarter Last Last 2 Years Last 3 Years Last 5 Years Last 7 Years Last 10 Years Year 10th Percentile (4.43) 6.34 12.32 15.80 15.54 13.18 8.92 25th Percentile (5.04) 5.29 11.79 14.60 14.68 11.74 8.16 Median (5.88) 3.42 9.68 13.06 13.33 10.73 7.30 75th Percentile (7.02) 1.56 8.30 11.43 12.27 9.54 6.45 90th Percentile (8.59) (2.67) 6.10 10.11 10.98 8.37 5.73 Harbor Cap Appreciation (5.44) 6.03 12.41 15.35 15.06 12.42 8.16 Russell 1000 Growth Index (5.29) 3.17 10.87 13.61 14.47 11.73 8.09
CAI MF - Large Cap Growth Style (Net) Relative Return vs Russell 1000 Growth Index Annualized Five Year Risk vs Return
6% 17%
16% Harbor Cap Appreciation 4% 15% Russell 1000 Growth Index 2% 14%
13% 0% 12% Returns (2%) 11% Relative Returns 10% (4%) 9%
(6%) 8% 10 2011 2012 2013 2014 2015 10 12 14 16 18 20 Standard Deviation Harbor Cap Appreciation
Mendocino County Employees’ Retirement Association 43 Harbor Cap Appreciation Return Analysis Summary
Return Analysis The graphs below analyze the manager’s return on both a risk-adjusted and unadjusted basis. The first chart illustrates the manager’s ranking over different periods versus the appropriate style group. The second chart shows the historical quarterly and cumulative manager returns versus the appropriate market benchmark. The last two charts illustrate the manager’s ranking relative to their style using various risk-adjusted return measures.
Performance vs CAI MF - Large Cap Growth Style (Net)
60% 23 40% 58 20 37 20% 52 44 34 21 60 83 62 58 29 0% 51 5 15 34 79 (20%) (40%) 46 27 (60%) 12/14- 9/15 2014 2013 2012 2011 2010 2009 2008 2007 2006 10th Percentile 1.56 14.22 40.42 18.77 3.25 22.40 45.27 (31.28) 25.41 14.25 25th Percentile 0.21 12.72 36.91 17.55 1.46 17.54 41.15 (36.78) 20.28 9.55 Median (1.38) 10.66 35.00 15.53 (0.67) 15.20 34.53 (38.71) 13.64 6.15 75th Percentile (3.63) 8.66 31.95 13.42 (2.60) 12.62 30.15 (41.33) 9.71 3.43 90th Percentile (7.58) 7.52 28.86 10.99 (5.06) 10.60 24.65 (46.45) 6.11 1.35 Harbor Cap Appreciation 2.68 9.93 37.66 15.69 0.61 11.61 41.88 (37.13) 12.25 2.33 Russell 1000 Growth Index (1.54) 13.05 33.48 15.26 2.64 16.71 37.21 (38.44) 11.81 9.07
Cumulative and Quarterly Relative Return vs Russell 1000 Growth Index
6%
4%
2%
0%
(2%) Relative Returns (4%)
(6%) 2010 2011 2012 2013 2014 2015
Harbor Cap Appreciation CAI Lg Cap Growth Mut Fds
Risk Adjusted Return Measures vs Russell 1000 Growth Index Rankings Against CAI MF - Large Cap Growth Style (Net) Five Years Ended September 30, 2015
20 1.5 (16) 15 (14) 1.0 0.5 10 0.0 (14) (19) 5 (0.5) 0 (14) (1.0) (5) (1.5) (10) (2.0) Alpha Treynor Information Sharpe Excess Return Ratio Ratio Ratio Ratio 10th Percentile 0.24 14.61 10th Percentile 0.10 1.08 0.27 25th Percentile (0.68) 13.63 25th Percentile (0.18) 1.01 0.06 Median (1.78) 12.47 Median (0.57) 0.92 (0.36) 75th Percentile (2.88) 11.35 75th Percentile (1.06) 0.84 (0.57) 90th Percentile (4.21) 9.97 90th Percentile (1.52) 0.72 (1.00) Harbor Cap Harbor Cap Appreciation 0.00 14.31 Appreciation 0.00 1.03 0.12
Mendocino County Employees’ Retirement Association 44 Harbor Cap Appreciation Equity Characteristics Analysis Summary
Portfolio Characteristics This graph compares the manager’s portfolio characteristics with the range of characteristics for the portfolios which make up the manager’s style group. This analysis illustrates whether the manager’s current holdings are consistent with other managers employing the same style.
Portfolio Characteristics Percentile Rankings Rankings Against CAI MF - Large Cap Growth Style as of September 30, 2015
0% (6) (6) 10% (11) (12) (10) 20% (20) 30% (34) 40% (41) 50% 60% 70% (79) (80)
Percentile Ranking 80% 90% (90) (89) 100% Weighted Median Price/Fore- Price/Book Forecasted Dividend MSCI Market Cap casted Earnings Earnings Growth Yield Combined Z-Score 10th Percentile 86.00 21.86 5.69 20.55 1.57 1.67 25th Percentile 77.00 19.92 4.90 18.75 1.31 1.38 Median 62.85 19.21 4.42 17.17 1.05 1.16 75th Percentile 47.05 17.77 4.12 14.60 0.77 0.90 90th Percentile 38.35 16.51 3.67 13.28 0.71 0.71 Harbor Cap Appreciation 66.29 24.03 5.54 20.41 0.71 1.67 Russell 1000 Growth Index 63.63 17.20 5.02 14.33 1.66 0.76
Sector Weights The graph below contrasts the manager’s sector weights with those of the benchmark and median sector weights across the members of the peer group. The magnitude of sector weight differences from the index and the manager’s sector diversification are also shown. Diversification by number and concentration of holdings are also compared to the benchmark and peer group. Issue Diversification represents by count, and Diversification Ratio by percent, the number of holdings that account for half of the portfolio’s market value.
Sector Allocation Diversification September 30, 2015 September 30, 2015
37.6% 150
27.5% 50% Information Technology 32.0% Mgr MV 30.1% Consumer Discretionary 21.6% Diversification Ratio 22.4% Manager 28% 18.8% 100 16.9% Index 6% Health Care 50% 19.8% Mgr MV Style Median 28% 4.4% Financials 5.5% 5.6% (60) 3.8% 50 11.3% Consumer Staples 6.8% 2.4% Industrials 11.2% (54) 9.2% Sector Diversification 1.6% 0.7% Manager 1.41 sectors 0 Energy 1.8% Number of Issue Index 2.05 sectors Securities Diversification 1.4% Materials 3.5% 2.5% 10th Percentile 131 25 25th Percentile 83 20 Telecommunications 1.8% Median 66 18 75th Percentile 43 13 Utilities 0.0% 90th Percentile 32 11 Harbor Cap 0% 10% 20% 30% 40% 50% Appreciation 59 17 Harbor Cap Appreciation Russell 1000 Growth Index Russell 1000 CAI Lg Cap Growth Mut Fds Growth Index 639 41
Mendocino County Employees’ Retirement Association 45 Janus Research Period Ended September 30, 2015
Investment Philosophy Growth Equity Style mutual funds invest mainly in large companies that are expected to have above average prospects for long-term growth in earnings and profitability. Future growth prospects take precedence over valuation levels in stock selection. Switched from Class T Shares to Class I Shares in December 2009.
Quarterly Summary and Highlights Quarterly Asset Growth Janus Research’s portfolio posted a (5.70)% return for the Beginning Market Value $24,479,426 quarter placing it in the 45 percentile of the CAI MF - Large Net New Investment $-1,150,000 Cap Growth Style group for the quarter and in the 29 percentile for the last year. Investment Gains/(Losses) $-1,348,389 Janus Research’s portfolio underperformed the Russell Ending Market Value $21,981,037 1000 Growth Index by 0.41% for the quarter and outperformed the Russell 1000 Growth Index for the year by 1.91%.
Performance vs CAI MF - Large Cap Growth Style (Net)
20%
(9) 15% (40) (28) (35) (10) (24) (43) (27) 10% (28) (12) 5% (29) (53) 0%
(5%) (28) (45)
(10%)
(15%) Last Quarter Last Last 2 Years Last 3 Years Last 5 Years Last 7 Years Last 10 Years Year 10th Percentile (4.43) 6.34 12.32 15.80 15.54 13.18 8.92 25th Percentile (5.04) 5.29 11.79 14.60 14.68 11.74 8.16 Median (5.88) 3.42 9.68 13.06 13.33 10.73 7.30 75th Percentile (7.02) 1.56 8.30 11.43 12.27 9.54 6.45 90th Percentile (8.59) (2.67) 6.10 10.11 10.98 8.37 5.73 Janus Research (5.70) 5.09 12.29 15.84 13.99 12.07 8.77 Russell 1000 Growth Index (5.29) 3.17 10.87 13.61 14.47 11.73 8.09
CAI MF - Large Cap Growth Style (Net) Relative Return vs Russell 1000 Growth Index Annualized Five Year Risk vs Return
4% 17%
3% 16% Russell 1000 Growth Index 15% 2% 14% 1% 13% Janus Research 0% 12% (1%) Returns 11% Relative Returns (2%) 10%
(3%) 9%
(4%) 8% 10 2011 2012 2013 2014 2015 10 12 14 16 18 20 Standard Deviation Janus Research
Mendocino County Employees’ Retirement Association 46 Janus Research Return Analysis Summary
Return Analysis The graphs below analyze the manager’s return on both a risk-adjusted and unadjusted basis. The first chart illustrates the manager’s ranking over different periods versus the appropriate style group. The second chart shows the historical quarterly and cumulative manager returns versus the appropriate market benchmark. The last two charts illustrate the manager’s ranking relative to their style using various risk-adjusted return measures.
Performance vs CAI MF - Large Cap Growth Style (Net)
60% 20 40% 58 43 37 12 10 20% 52 30 34 21 12 62 29 31 15 0% 51 48 83 (20%) 46 (40%) 88 (60%) 12/14- 9/15 2014 2013 2012 2011 2010 2009 2008 2007 2006 10th Percentile 1.56 14.22 40.42 18.77 3.25 22.40 45.27 (31.28) 25.41 14.25 25th Percentile 0.21 12.72 36.91 17.55 1.46 17.54 41.15 (36.78) 20.28 9.55 Median (1.38) 10.66 35.00 15.53 (0.67) 15.20 34.53 (38.71) 13.64 6.15 75th Percentile (3.63) 8.66 31.95 13.42 (2.60) 12.62 30.15 (41.33) 9.71 3.43 90th Percentile (7.58) 7.52 28.86 10.99 (5.06) 10.60 24.65 (46.45) 6.11 1.35 Janus Research (1.23) 14.10 35.36 16.78 (3.76) 21.20 43.02 (44.36) 24.52 8.65 Russell 1000 Growth Index (1.54) 13.05 33.48 15.26 2.64 16.71 37.21 (38.44) 11.81 9.07
Cumulative and Quarterly Relative Return vs Russell 1000 Growth Index
5%
0%
(5%) Relative Returns
(10%) 2010 2011 2012 2013 2014 2015
Janus Research CAI Lg Cap Growth Mut Fds
Risk Adjusted Return Measures vs Russell 1000 Growth Index Rankings Against CAI MF - Large Cap Growth Style (Net) Five Years Ended September 30, 2015
20 1.5 15 1.0 (38) (39) 0.5 10 0.0 5 (37) (0.5) (38) 0 (39) (1.0) (5) (1.5) (10) (2.0) Alpha Treynor Information Sharpe Excess Return Ratio Ratio Ratio Ratio 10th Percentile 0.24 14.61 10th Percentile 0.10 1.08 0.27 25th Percentile (0.68) 13.63 25th Percentile (0.18) 1.01 0.06 Median (1.78) 12.47 Median (0.57) 0.92 (0.36) 75th Percentile (2.88) 11.35 75th Percentile (1.06) 0.84 (0.57) 90th Percentile (4.21) 9.97 90th Percentile (1.52) 0.72 (1.00) Janus Research (1.32) 12.96 Janus Research (0.45) 0.96 (0.14)
Mendocino County Employees’ Retirement Association 47 Janus Research Equity Characteristics Analysis Summary
Portfolio Characteristics This graph compares the manager’s portfolio characteristics with the range of characteristics for the portfolios which make up the manager’s style group. This analysis illustrates whether the manager’s current holdings are consistent with other managers employing the same style.
Portfolio Characteristics Percentile Rankings Rankings Against CAI MF - Large Cap Growth Style as of September 30, 2015
0% (6) 10% 20% (20) (22) 30% 40% (41) 50% (51) 60% 70% (72) (71) (79) (78) (80) Percentile Ranking 80% (82) 90% (89) 100% Weighted Median Price/Fore- Price/Book Forecasted Dividend MSCI Market Cap casted Earnings Earnings Growth Yield Combined Z-Score 10th Percentile 86.00 21.86 5.69 20.55 1.57 1.67 25th Percentile 77.00 19.92 4.90 18.75 1.31 1.38 Median 62.85 19.21 4.42 17.17 1.05 1.16 75th Percentile 47.05 17.77 4.12 14.60 0.77 0.90 90th Percentile 38.35 16.51 3.67 13.28 0.71 0.71 *Janus Research 48.55 17.42 4.41 14.78 1.32 0.87 Russell 1000 Growth Index 63.63 17.20 5.02 14.33 1.66 0.76
Sector Weights The graph below contrasts the manager’s sector weights with those of the benchmark and median sector weights across the members of the peer group. The magnitude of sector weight differences from the index and the manager’s sector diversification are also shown. Diversification by number and concentration of holdings are also compared to the benchmark and peer group. Issue Diversification represents by count, and Diversification Ratio by percent, the number of holdings that account for half of the portfolio’s market value.
Sector Allocation Diversification September 30, 2015 September 30, 2015
29.2% 150
Information Technology 27.5% 50% 32.0% Mgr MV 23.2% 21.6% Diversification Ratio Consumer Discretionary 22.4% 17.3% (16) Manager 25% 16.9% 100 Health Care 19.8% Index 6% 50%
9.6% Mgr MV Style Median 28% 11.2% Industrials 9.2% 8.1% Consumer Staples 11.3% 6.8% 50 6.9% Financials 5.5% Sector Diversification 5.6% (2) 3.6% Manager 1.90 sectors 3.5% Materials 2.5% Index 2.05 sectors 1.2% 0 Telecommunications 1.8% Number of Issue 0.9% Securities Diversification Energy 0.7% 1.8% 10th Percentile 131 25 Utilities 0.0% 25th Percentile 83 20 Median 66 18 75th Percentile 43 13 0% 5% 10% 15% 20% 25% 30% 35% 40% 90th Percentile 32 11 *Janus Research Russell 1000 Growth Index *Janus Research 107 27 CAI Lg Cap Growth Mut Fds Russell 1000 Growth Index 639 41
*9/30/15 portfolio characteristics generated using most recently available holdings (6/30/15) modified based on a "buy-and-hold" assumption (repriced and adjusted for corporate actions). Analysis is then done using current market and company financial data.
Mendocino County Employees’ Retirement Association 48 Fidelity Low Priced Stock Period Ended September 30, 2015
Investment Philosophy The Low Priced Stock team believes that many low priced, non-glamour, small companies are mispriced, providing opportunities, and seeks capital appreciation by investing mostly in common and preferred domestic stocks, but also international equities, convertible securities, and other fixed income securities.
Quarterly Summary and Highlights Quarterly Asset Growth Fidelity Low Priced Stock’s portfolio posted a (6.20)% return Beginning Market Value $5,239,963 for the quarter placing it in the 15 percentile of the CAI MF - Net New Investment $0 Mid Cap Value Style group for the quarter and in the 18 percentile for the last year. Investment Gains/(Losses) $-325,100 Fidelity Low Priced Stock’s portfolio outperformed the Ending Market Value $4,914,863 Russell MidCap Value Idx by 1.83% for the quarter and outperformed the Russell MidCap Value Idx for the year by 4.01%.
Performance vs CAI MF - Mid Cap Value Style (Net)
20%
15% (29) (33) (19) (20) (11) 10% (34) (13) (25) (32) (25) 5% (18) 0% (34) (5%) (15) (24) (10%)
(15%)
(20%) Last Quarter Last Last 2 Years Last 3 Years Last 5 Years Last 7 Years Last 10 Years Year 10th Percentile (5.35) 4.28 9.43 15.72 14.17 12.31 8.85 25th Percentile (8.19) (0.21) 7.17 14.12 12.72 11.06 7.44 Median (9.12) (3.05) 5.53 12.55 11.43 9.72 6.61 75th Percentile (11.10) (7.16) 3.10 10.55 10.10 8.61 5.69 90th Percentile (13.18) (8.55) 0.94 8.74 8.96 7.07 4.54 Fidelity Low Priced Stock (6.20) 1.94 6.59 13.45 13.20 12.14 8.31 Russell MidCap Value Idx (8.04) (2.07) 7.25 13.69 13.15 10.52 7.42
CAI MF - Mid Cap Value Style (Net) Relative Return vs Russell MidCap Value Idx Annualized Five Year Risk vs Return
6% 18%
4% 16%
2% 14% Fidelity Low Priced Stock Russell MidCap Value Idx 0% 12% Returns (2%) 10% Relative Returns
(4%) 8%
(6%) 6% 10 2011 2012 2013 2014 2015 12 14 16 18 20 22 24 Standard Deviation Fidelity Low Priced Stock
Mendocino County Employees’ Retirement Association 49 Fidelity Low Priced Stock Return Analysis Summary
Return Analysis The graphs below analyze the manager’s return on both a risk-adjusted and unadjusted basis. The first chart illustrates the manager’s ranking over different periods versus the appropriate style group. The second chart shows the historical quarterly and cumulative manager returns versus the appropriate market benchmark. The last two charts illustrate the manager’s ranking relative to their style using various risk-adjusted return measures.
Performance vs CAI MF - Mid Cap Value Style (Net)
80% 60% 40% 56 54 48 34 21 20% 8 31 31 57 11 15 76 21 48 0% 49 6 26 76 (20%) (40%) 46 23 (60%) 12/14- 9/15 2014 2013 2012 2011 2010 2009 2008 2007 2006 10th Percentile (2.76) 14.41 42.72 20.85 1.35 26.30 55.64 (29.41) 8.14 21.00 25th Percentile (6.42) 13.00 39.51 18.96 (1.11) 23.62 41.64 (36.43) 6.08 16.85 Median (7.68) 11.56 35.48 16.32 (4.18) 21.22 34.05 (38.98) 2.85 15.26 75th Percentile (10.17) 8.20 31.75 12.33 (6.47) 19.61 30.37 (41.60) (0.96) 12.89 90th Percentile (12.43) 4.11 30.29 10.17 (8.45) 12.47 23.85 (43.58) (4.30) 9.16 Fidelity Low Priced Stock (2.15) 7.65 34.31 18.50 (0.06) 20.70 39.08 (36.17) 3.16 17.76 Russell MidCap Value Idx (7.66) 14.75 33.46 18.51 (1.38) 24.75 34.21 (38.44) (1.42) 20.22
Cumulative and Quarterly Relative Return vs Russell MidCap Value Idx
6%
4%
2%
0%
(2%)
(4%)
(6%) Relative Returns
(8%)
(10%) 2010 2011 2012 2013 2014 2015
Fidelity Low Priced Stock CAI Mid Cap Value Mut Fds
Risk Adjusted Return Measures vs Russell MidCap Value Idx Rankings Against CAI MF - Mid Cap Value Style (Net) Five Years Ended September 30, 2015
20 1.5 15 (2) 1.0 (3) 10 0.5 (4) 5 0.0 (20) (3) 0 (0.5) (5) (1.0) (10) (1.5) Alpha Treynor Information Sharpe Excess Return Ratio Ratio Ratio Ratio 10th Percentile 0.42 13.43 10th Percentile 0.13 0.84 0.21 25th Percentile (0.53) 12.41 25th Percentile (0.17) 0.78 (0.14) Median (1.94) 10.86 Median (0.53) 0.66 (0.42) 75th Percentile (3.34) 9.50 75th Percentile (0.97) 0.59 (0.70) 90th Percentile (4.56) 8.63 90th Percentile (1.23) 0.53 (0.94) Fidelity Low Fidelity Low Priced Stock 2.12 15.85 Priced Stock 0.48 0.96 0.01
Mendocino County Employees’ Retirement Association 50 Fidelity Low Priced Stock Equity Characteristics Analysis Summary
Portfolio Characteristics This graph compares the manager’s portfolio characteristics with the range of characteristics for the portfolios which make up the manager’s style group. This analysis illustrates whether the manager’s current holdings are consistent with other managers employing the same style.
Portfolio Characteristics Percentile Rankings Rankings Against CAI MF - Mid Cap Value Style as of September 30, 2015
0% (6) (7) 10% (8) 20% (23) 30% 40% (41) 50% (55) 60% (67) 70% (74) (71) 80% (78) Percentile Ranking 90% (92) (93) 100% Weighted Median Price/Fore- Price/Book Forecasted Dividend MSCI Market Cap casted Earnings Earnings Growth Yield Combined Z-Score 10th Percentile 10.53 16.06 2.11 12.36 2.33 (0.18) 25th Percentile 9.48 15.30 1.88 11.30 2.10 (0.35) Median 8.37 14.19 1.75 9.77 1.96 (0.44) 75th Percentile 6.93 13.86 1.58 8.64 1.84 (0.54) 90th Percentile 4.81 13.47 1.46 7.80 1.54 (0.63) *Fidelity Low Priced Stock 7.07 13.16 1.68 8.99 2.02 (0.15) Russell Midcap Value Index 9.65 16.40 1.55 8.79 2.55 (0.70)
Sector Weights The graph below contrasts the manager’s sector weights with those of the benchmark and median sector weights across the members of the peer group. The magnitude of sector weight differences from the index and the manager’s sector diversification are also shown. Diversification by number and concentration of holdings are also compared to the benchmark and peer group. Issue Diversification represents by count, and Diversification Ratio by percent, the number of holdings that account for half of the portfolio’s market value.
Sector Allocation Diversification September 30, 2015 September 30, 2015
29.3% 1200
Consumer Discretionary 8.5% 50% 13.1% Mgr MV 21.2% 1000 9.5% Diversification Ratio Information Technology 14.4% (1) 13.3% Manager 3% 34.2% 800 Financials 30.1% Index 21% 50%
13.0% Mgr MV Style Median 32% 6.1% 600 Health Care 7.7% 8.7% 4.0% Consumer Staples 4.2% 400 8.4% 9.5% Sector Diversification Industrials 13.3% 200 3.1% Manager 1.98 sectors Energy 8.9% Index 2.41 sectors 5.2% 0 (27) 2.6% Number of Issue 6.0% Materials 5.8% Securities Diversification 0.4% Utilities 11.9% 10th Percentile 226 47 6.1% 25th Percentile 104 33 0.0% Telecommunications 1.5% Median 74 25 75th Percentile 59 20 90th Percentile 51 16 0% 10% 20% 30% 40% 50% *Fidelity Low *Fidelity Low Priced Stock Russell Midcap Value Index Priced Stock 905 32 CAI Mid Cap Value Mut Fds Russell Midcap Value Index 552 114
*9/30/15 portfolio characteristics generated using most recently available holdings (6/30/15) modified based on a "buy-and-hold" assumption (repriced and adjusted for corporate actions). Analysis is then done using current market and company financial data.
Mendocino County Employees’ Retirement Association 51 Royce Total Return Period Ended September 30, 2015
Investment Philosophy The Royce Total Return Fund is managed with a disciplined value approach. The Fund’s investment objectives are long-term growth and current income. Royce invests the Fund’s assets primarily in dividend-paying small- and micro-cap companies. Switched from Investment Class Shares to Institutional Class Shares in December 2009.
Quarterly Summary and Highlights Quarterly Asset Growth Royce Total Return’s portfolio posted a (9.61)% return for Beginning Market Value $4,798,388 the quarter placing it in the 55 percentile of the CAI MF - Mid Net New Investment $0 Cap Value Style group for the quarter and in the 61 percentile for the last year. Investment Gains/(Losses) $-461,121 Royce Total Return’s portfolio underperformed the Russell Ending Market Value $4,337,267 MidCap Value Idx by 1.57% for the quarter and underperformed the Russell MidCap Value Idx for the year by 1.78%.
Performance vs CAI MF - Mid Cap Value Style (Net)
20%
15% (29) (20) 10% (34) (95) (89) (25) (85) (25) (67) 5%
0% (92) (34) (61) (5%) (24) (10%) (55)
(15%)
(20%) Last Quarter Last Last 2 Years Last 3 Years Last 5 Years Last 7 Years Last 10 Years Year 10th Percentile (5.35) 4.28 9.43 15.72 14.17 12.31 8.85 25th Percentile (8.19) (0.21) 7.17 14.12 12.72 11.06 7.44 Median (9.12) (3.05) 5.53 12.55 11.43 9.72 6.61 75th Percentile (11.10) (7.16) 3.10 10.55 10.10 8.61 5.69 90th Percentile (13.18) (8.55) 0.94 8.74 8.96 7.07 4.54 Royce Total Return (9.61) (3.84) 0.30 8.43 9.17 7.52 5.96 Russell MidCap Value Idx (8.04) (2.07) 7.25 13.69 13.15 10.52 7.42
CAI MF - Mid Cap Value Style (Net) Relative Return vs Russell MidCap Value Idx Annualized Five Year Risk vs Return
4% 18%
3% 16% 2%
1% 14% 0% Russell MidCap Value Idx (1%) 12%
(2%) Returns 10%
Relative Returns (3%) Royce Total Return (4%) 8% (5%)
(6%) 6% 10 2011 2012 2013 2014 2015 12 14 16 18 20 22 24 Standard Deviation Royce Total Return
Mendocino County Employees’ Retirement Association 52 Royce Total Return Return Analysis Summary
Return Analysis The graphs below analyze the manager’s return on both a risk-adjusted and unadjusted basis. The first chart illustrates the manager’s ranking over different periods versus the appropriate style group. The second chart shows the historical quarterly and cumulative manager returns versus the appropriate market benchmark. The last two charts illustrate the manager’s ranking relative to their style using various risk-adjusted return measures.
Performance vs CAI MF - Mid Cap Value Style (Net)
80% 60% 40% 56 64 48 21 25 88 20% 8 31 64 11 59 0% 97 26 28 76 52 49 60 (20%) 14 (40%) 46 (60%) 12/14- 9/15 2014 2013 2012 2011 2010 2009 2008 2007 2006 10th Percentile (2.76) 14.41 42.72 20.85 1.35 26.30 55.64 (29.41) 8.14 21.00 25th Percentile (6.42) 13.00 39.51 18.96 (1.11) 23.62 41.64 (36.43) 6.08 16.85 Median (7.68) 11.56 35.48 16.32 (4.18) 21.22 34.05 (38.98) 2.85 15.26 75th Percentile (10.17) 8.20 31.75 12.33 (6.47) 19.61 30.37 (41.60) (0.96) 12.89 90th Percentile (12.43) 4.11 30.29 10.17 (8.45) 12.47 23.85 (43.58) (4.30) 9.16 Royce Total Return (8.87) 1.51 32.93 14.48 (1.62) 23.65 26.23 (31.17) 2.39 14.54 Russell MidCap Value Idx (7.66) 14.75 33.46 18.51 (1.38) 24.75 34.21 (38.44) (1.42) 20.22
Cumulative and Quarterly Relative Return vs Russell MidCap Value Idx
5%
0%
(5%)
(10%)
Relative Returns (15%)
(20%) 2010 2011 2012 2013 2014 2015
Royce Total Return CAI Mid Cap Value Mut Fds
Risk Adjusted Return Measures vs Russell MidCap Value Idx Rankings Against CAI MF - Mid Cap Value Style (Net) Five Years Ended September 30, 2015
20 1.5 15 1.0 10 (71) 0.5 (70) 5 0.0 0 (68) (0.5) (5) (68) (1.0) (90) (10) Alpha Treynor (1.5) Ratio Information Sharpe Excess Return Ratio Ratio Ratio 10th Percentile 0.42 13.43 25th Percentile (0.53) 12.41 10th Percentile 0.13 0.84 0.21 Median (1.94) 10.86 25th Percentile (0.17) 0.78 (0.14) 75th Percentile (3.34) 9.50 Median (0.53) 0.66 (0.42) 90th Percentile (4.56) 8.63 75th Percentile (0.97) 0.59 (0.70) 90th Percentile (1.23) 0.53 (0.94) Royce Total Return (2.87) 9.71 Royce Total Return (0.80) 0.60 (0.97)
Mendocino County Employees’ Retirement Association 53 Royce Total Return Equity Characteristics Analysis Summary
Portfolio Characteristics This graph compares the manager’s portfolio characteristics with the range of characteristics for the portfolios which make up the manager’s style group. This analysis illustrates whether the manager’s current holdings are consistent with other managers employing the same style.
Portfolio Characteristics Percentile Rankings Rankings Against CAI MF - Mid Cap Value Style as of September 30, 2015
0% (6) 10% (8) (8) 20% (23) (25) 30% (33) 40% 50% (56) 60% 70% (71) (77) 80% (78)
Percentile Ranking 90% (93) 100% (99)
Weighted Median Price/Fore- Price/Book Forecasted Dividend MSCI Market Cap casted Earnings Earnings Growth Yield Combined Z-Score 10th Percentile 10.53 16.06 2.11 12.36 2.33 (0.18) 25th Percentile 9.48 15.30 1.88 11.30 2.10 (0.35) Median 8.37 14.19 1.75 9.77 1.96 (0.44) 75th Percentile 6.93 13.86 1.58 8.64 1.84 (0.54) 90th Percentile 4.81 13.47 1.46 7.80 1.54 (0.63) *Royce Total Return 2.20 15.30 1.66 8.57 2.44 (0.38) Russell Midcap Value Index 9.65 16.40 1.55 8.79 2.55 (0.70)
Sector Weights The graph below contrasts the manager’s sector weights with those of the benchmark and median sector weights across the members of the peer group. The magnitude of sector weight differences from the index and the manager’s sector diversification are also shown. Diversification by number and concentration of holdings are also compared to the benchmark and peer group. Issue Diversification represents by count, and Diversification Ratio by percent, the number of holdings that account for half of the portfolio’s market value.
Sector Allocation Diversification September 30, 2015 September 30, 2015
27.1% 400 34.2% Financials 30.1% 350 20.7% 50%
9.5% Mgr MV (7) Industrials 13.3% Diversification Ratio 13.0% 300 Manager 21% Consumer Discretionary 8.5% 13.1% Index 21% 10.8% 250 Materials 6.0% Style Median 32%
5.8% 50% 9.2% Mgr MV 200 9.5% Information Technology 14.4% 8.0% 150 6.1% Health Care 7.7% 4.0% Sector Diversification 100 4.0% Consumer Staples 4.2% Manager 2.17 sectors (4) 3.6% 50 8.9% Index 2.41 sectors Energy 5.2% 2.5% 0 Utilities 11.9% Number of Issue 6.1% Securities Diversification 1.0% Telecommunications 1.5% 10th Percentile 226 47 0.1% Pooled Vehicles 25th Percentile 104 33 Median 74 25 75th Percentile 59 20 0% 10% 20% 30% 40% 50% 90th Percentile 51 16 *Royce Total Return Russell Midcap Value Index *Royce Total Return 329 68 CAI Mid Cap Value Mut Fds Russell Midcap Value Index 552 114
*9/30/15 portfolio characteristics generated using most recently available holdings (6/30/15) modified based on a "buy-and-hold" assumption (repriced and adjusted for corporate actions). Analysis is then done using current market and company financial data.
Mendocino County Employees’ Retirement Association 54 Morgan Stanley Period Ended September 30, 2015
Investment Philosophy Morgan Stanley believes that sustainable growth that exceeds market expectations will produce superior investment results. Switched from Class I shares to Class IS shares in February 2014.
Quarterly Summary and Highlights Quarterly Asset Growth Morgan Stanley’s portfolio posted a (10.73)% return for the Beginning Market Value $4,956,476 quarter placing it in the 74 percentile of the CAI MF - Mid Net New Investment $0 Cap Growth Style group for the quarter and in the 92 percentile for the last year. Investment Gains/(Losses) $-531,753 Morgan Stanley’s portfolio underperformed the Russell Ending Market Value $4,424,723 MidCap Growth Idx by 2.74% for the quarter and underperformed the Russell MidCap Growth Idx for the year by 7.47%.
Performance vs CAI MF - Mid Cap Growth Style (Net)
20%
15% (14) (17) (12) (48) 10% (92) (25) (95) (38) (50) 5% (46) 0% (97)
(5%) (92) (33) (10%) (74)
(15%)
(20%) Last Quarter Last Last 2 Years Last 3 Years Last 5 Years Last 7 Years Last 10 Years Year 10th Percentile (6.59) 8.57 9.38 15.00 14.16 12.59 8.87 25th Percentile (7.76) 4.37 7.77 13.60 13.08 11.49 8.54 Median (9.59) 0.66 6.17 12.27 12.03 10.72 7.69 75th Percentile (10.79) (2.34) 4.07 10.82 10.63 9.46 6.59 90th Percentile (12.91) (4.88) 2.00 9.65 9.30 8.59 5.23 Morgan Stanley (10.73) (6.02) 0.44 9.44 7.87 10.76 7.65 Russell MidCap Growth Idx (7.99) 1.45 7.75 13.98 13.58 12.12 8.09
CAI MF - Mid Cap Growth Style (Net) Relative Return vs Russell MidCap Growth Idx Annualized Five Year Risk vs Return
5% 16%
15%
14% Russell MidCap Growth Idx 0% 13%
12%
11% Returns (5%) 10% Relative Returns 9%
8% Morgan Stanley
(10%) 7% 10 2011 2012 2013 2014 2015 12 14 16 18 20 22 Standard Deviation Morgan Stanley
Mendocino County Employees’ Retirement Association 55 Morgan Stanley Return Analysis Summary
Return Analysis The graphs below analyze the manager’s return on both a risk-adjusted and unadjusted basis. The first chart illustrates the manager’s ranking over different periods versus the appropriate style group. The second chart shows the historical quarterly and cumulative manager returns versus the appropriate market benchmark. The last two charts illustrate the manager’s ranking relative to their style using various risk-adjusted return measures.
Performance vs CAI MF - Mid Cap Growth Style (Net)
80% 60% 7 36 40% 45 22 54 12 20% 22 6 28 87 74 22 27 97 0% 50 92 36 63 (20%) (40%) 52 70 (60%) (80%) 12/14- 9/15 2014 2013 2012 2011 2010 2009 2008 2007 2006 10th Percentile 1.04 11.41 42.16 18.91 3.53 33.34 57.59 (36.91) 30.37 13.32 25th Percentile (0.99) 9.65 37.97 16.01 0.71 29.65 48.97 (39.80) 21.48 10.29 Median (4.17) 7.63 34.92 14.39 (4.94) 27.04 41.66 (43.95) 15.66 7.53 75th Percentile (6.59) 5.34 31.93 10.96 (7.95) 23.07 33.31 (48.58) 11.35 5.02 90th Percentile (8.28) 2.70 29.04 8.59 (11.96) 19.15 29.10 (51.49) 8.07 1.37 Morgan Stanley (8.48) 1.47 38.35 9.49 (6.89) 32.94 60.19 (47.22) 22.09 10.14 Russell MidCap Growth Idx (4.15) 11.90 35.74 15.81 (1.65) 26.38 46.29 (44.32) 11.43 10.66
Cumulative and Quarterly Relative Return vs Russell MidCap Growth Idx
10%
0%
(10%)
(20%) Relative Returns
(30%) 2010 2011 2012 2013 2014 2015
Morgan Stanley CAI Mid Cap Growth Mut Fd
Risk Adjusted Return Measures vs Russell MidCap Growth Idx Rankings Against CAI MF - Mid Cap Growth Style (Net) Five Years Ended September 30, 2015
20 1.5 15 1.0 0.5 (92) 10 (92) 0.0 5 (0.5) 0 (65) (1.0) (97) (5) (89) (1.5) (10) (2.0) Alpha Treynor Information Sharpe Excess Return Ratio Ratio Ratio Ratio 10th Percentile 0.78 14.47 10th Percentile 0.25 0.88 0.12 25th Percentile (0.09) 13.43 25th Percentile (0.03) 0.81 (0.16) Median (1.67) 11.61 Median (0.43) 0.71 (0.36) 75th Percentile (3.54) 9.75 75th Percentile (1.06) 0.60 (0.67) 90th Percentile (4.91) 8.06 90th Percentile (1.25) 0.48 (0.88) Morgan Stanley (4.85) 7.94 Morgan Stanley (0.87) 0.47 (0.92)
Mendocino County Employees’ Retirement Association 56 Morgan Stanley Equity Characteristics Analysis Summary
Portfolio Characteristics This graph compares the manager’s portfolio characteristics with the range of characteristics for the portfolios which make up the manager’s style group. This analysis illustrates whether the manager’s current holdings are consistent with other managers employing the same style.
Portfolio Characteristics Percentile Rankings Rankings Against CAI MF - Mid Cap Growth Style as of September 30, 2015
0% (2) (2) (1) (6) (4) (3) 10% (15) 20% (23) 30% 40% 50% 60% 70% (77) 80% (79) (81)
Percentile Ranking 90% (97) 100%
Weighted Median Price/Fore- Price/Book Forecasted Dividend MSCI Market Cap casted Earnings Earnings Growth Yield Combined Z-Score 10th Percentile 12.35 23.83 4.49 20.92 1.02 1.12 25th Percentile 10.63 22.01 4.17 19.68 0.79 1.01 Median 8.83 20.51 3.92 17.39 0.64 0.93 75th Percentile 7.80 18.82 3.47 15.39 0.50 0.76 90th Percentile 5.83 17.07 3.08 13.47 0.44 0.53 Morgan Stanley 12.21 40.28 5.44 29.14 0.30 1.70 Russell MidCap Growth Idx 11.07 18.78 4.57 14.98 1.18 0.68
Sector Weights The graph below contrasts the manager’s sector weights with those of the benchmark and median sector weights across the members of the peer group. The magnitude of sector weight differences from the index and the manager’s sector diversification are also shown. Diversification by number and concentration of holdings are also compared to the benchmark and peer group. Issue Diversification represents by count, and Diversification Ratio by percent, the number of holdings that account for half of the portfolio’s market value.
Sector Allocation Diversification September 30, 2015 September 30, 2015
39.0% 140
20.0% 50% Information Technology 23.1% Mgr MV 120 22.7% Health Care 13.1% Diversification Ratio 17.4% 100 Manager 24% 15.7% 25.4% Index 19% Consumer Discretionary 50% 23.9% Mgr MV 80 Style Median 33% 7.9% Industrials 15.7% 15.8% 60 7.9% (92) Consumer Staples 8.0% 4.1% 40 6.8% Financials 11.4% 10.2% 20 Sector Diversification (97) 0.1% Manager 1.49 sectors Utilities 0 Index 2.29 sectors Number of Issue 5.0% Securities Diversification Materials 2.8% 10th Percentile 125 36 0.4% Telecommunications 0.4% 25th Percentile 97 30 Median 74 26 Energy 0.9% 75th Percentile 59 20 2.3% 90th Percentile 52 16 0% 10% 20% 30% 40% 50% Morgan Stanley 50 12 Morgan Stanley Russell MidCap Growth Idx Russell MidCap CAI Mid Cap Growth Mut Fd Growth Idx 501 96
Mendocino County Employees’ Retirement Association 57 Janus Enterprise Period Ended September 30, 2015
Investment Philosophy Janus believes that investing in companies with sustainable growth and high return on invested capital can drive consistent returns with moderate risk. The team seeks to identify mid cap companies with high quality management teams that wisely allocate capital to drive growth over time. Switched from Class T Shares to Class I Shares in December 2009.
Quarterly Summary and Highlights Quarterly Asset Growth Janus Enterprise’s portfolio posted a (6.95)% return for the Beginning Market Value $5,384,934 quarter placing it in the 14 percentile of the CAI MF - Mid Net New Investment $0 Cap Growth Style group for the quarter and in the 12 percentile for the last year. Investment Gains/(Losses) $-374,295 Janus Enterprise’s portfolio outperformed the Russell Ending Market Value $5,010,640 MidCap Growth Idx by 1.04% for the quarter and outperformed the Russell MidCap Growth Idx for the year by 4.83%.
Performance vs CAI MF - Mid Cap Growth Style (Net)
20%
15% (10) (14) (17) (16) (12) (22) 10% (10) (6) (25) (38) (12) 5% (46) 0%
(5%) (14) (33) (10%)
(15%)
(20%) Last Quarter Last Last 2 Years Last 3 Years Last 5 Years Last 7 Years Last 10 Years Year 10th Percentile (6.59) 8.57 9.38 15.00 14.16 12.59 8.87 25th Percentile (7.76) 4.37 7.77 13.60 13.08 11.49 8.54 Median (9.59) 0.66 6.17 12.27 12.03 10.72 7.69 75th Percentile (10.79) (2.34) 4.07 10.82 10.63 9.46 6.59 90th Percentile (12.91) (4.88) 2.00 9.65 9.30 8.59 5.23 Janus Enterprise (6.95) 6.28 9.33 15.05 13.65 11.56 9.38 Russell MidCap Growth Idx (7.99) 1.45 7.75 13.98 13.58 12.12 8.09
CAI MF - Mid Cap Growth Style (Net) Relative Return vs Russell MidCap Growth Idx Annualized Five Year Risk vs Return
5% 16%
15% 4% Janus Enterprise 14% 3% Russell MidCap Growth Idx 13% 2% 12% 1% 11% 0% Returns 10% Relative Returns (1%) 9%
(2%) 8%
(3%) 7% 10 2011 2012 2013 2014 2015 12 14 16 18 20 22 Standard Deviation Janus Enterprise
Mendocino County Employees’ Retirement Association 58 Janus Enterprise Return Analysis Summary
Return Analysis The graphs below analyze the manager’s return on both a risk-adjusted and unadjusted basis. The first chart illustrates the manager’s ranking over different periods versus the appropriate style group. The second chart shows the historical quarterly and cumulative manager returns versus the appropriate market benchmark. The last two charts illustrate the manager’s ranking relative to their style using various risk-adjusted return measures.
Performance vs CAI MF - Mid Cap Growth Style (Net)
80% 60% 36 47 40% 45 81 54 59 23 20% 6 5 28 13 74 22 11 0% 50 29 36 36 (20%) (40%) 52 47 (60%) (80%) 12/14- 9/15 2014 2013 2012 2011 2010 2009 2008 2007 2006 10th Percentile 1.04 11.41 42.16 18.91 3.53 33.34 57.59 (36.91) 30.37 13.32 25th Percentile (0.99) 9.65 37.97 16.01 0.71 29.65 48.97 (39.80) 21.48 10.29 Median (4.17) 7.63 34.92 14.39 (4.94) 27.04 41.66 (43.95) 15.66 7.53 75th Percentile (6.59) 5.34 31.93 10.96 (7.95) 23.07 33.31 (48.58) 11.35 5.02 90th Percentile (8.28) 2.70 29.04 8.59 (11.96) 19.15 29.10 (51.49) 8.07 1.37 Janus Enterprise (1.31) 12.01 30.86 17.83 (1.65) 26.06 42.89 (43.13) 21.81 13.23 Russell MidCap Growth Idx (4.15) 11.90 35.74 15.81 (1.65) 26.38 46.29 (44.32) 11.43 10.66
Cumulative and Quarterly Relative Return vs Russell MidCap Growth Idx
6%
4%
2%
0%
(2%)
(4%)
(6%) Relative Returns
(8%)
(10%) 2010 2011 2012 2013 2014 2015
Janus Enterprise CAI Mid Cap Growth Mut Fd
Risk Adjusted Return Measures vs Russell MidCap Growth Idx Rankings Against CAI MF - Mid Cap Growth Style (Net) Five Years Ended September 30, 2015
20 1.5 15 (5) 1.0 (4) 0.5 (4) 10 0.0 (16) 5 (6) (0.5) 0 (1.0) (5) (1.5) (10) (2.0) Alpha Treynor Information Sharpe Excess Return Ratio Ratio Ratio Ratio 10th Percentile 0.78 14.47 10th Percentile 0.25 0.88 0.12 25th Percentile (0.09) 13.43 25th Percentile (0.03) 0.81 (0.16) Median (1.67) 11.61 Median (0.43) 0.71 (0.36) 75th Percentile (3.54) 9.75 75th Percentile (1.06) 0.60 (0.67) 90th Percentile (4.91) 8.06 90th Percentile (1.25) 0.48 (0.88) Janus Enterprise 1.39 15.26 Janus Enterprise 0.51 0.93 0.02
Mendocino County Employees’ Retirement Association 59 Janus Enterprise Equity Characteristics Analysis Summary
Portfolio Characteristics This graph compares the manager’s portfolio characteristics with the range of characteristics for the portfolios which make up the manager’s style group. This analysis illustrates whether the manager’s current holdings are consistent with other managers employing the same style.
Portfolio Characteristics Percentile Rankings Rankings Against CAI MF - Mid Cap Growth Style as of September 30, 2015
0% (1) (1) (6) 10% 20% (23) (24) 30% 40% 50% 60% 70% (79) (77) (78) (79) 80% (81) (83)
Percentile Ranking 90% (97) 100%
Weighted Median Price/Fore- Price/Book Forecasted Dividend MSCI Market Cap casted Earnings Earnings Growth Yield Combined Z-Score 10th Percentile 12.35 23.83 4.49 20.92 1.02 1.12 25th Percentile 10.63 22.01 4.17 19.68 0.79 1.01 Median 8.83 20.51 3.92 17.39 0.64 0.93 75th Percentile 7.80 18.82 3.47 15.39 0.50 0.76 90th Percentile 5.83 17.07 3.08 13.47 0.44 0.53 *Janus Enterprise 7.60 18.63 4.18 13.00 1.38 0.64 Russell MidCap Growth Idx 11.07 18.78 4.57 14.98 1.18 0.68
Sector Weights The graph below contrasts the manager’s sector weights with those of the benchmark and median sector weights across the members of the peer group. The magnitude of sector weight differences from the index and the manager’s sector diversification are also shown. Diversification by number and concentration of holdings are also compared to the benchmark and peer group. Issue Diversification represents by count, and Diversification Ratio by percent, the number of holdings that account for half of the portfolio’s market value.
Sector Allocation Diversification September 30, 2015 September 30, 2015
33.4% 140
20.0% 50%
Information Technology 23.1% Mgr MV 22.0% 120 15.7% Diversification Ratio Industrials 15.8% 17.6% 100 Manager 30% Health Care 13.1% Index 19%
17.4% 50%
Mgr MV (41) 12.6% 80 Style Median 33% 11.4% Financials 10.2% 10.1% 60 25.4% Consumer Discretionary 23.9% 1.8% 40 0.9% Energy 2.3% Sector Diversification 1.4% Manager 1.75 sectors (56) 5.0% 20 Materials 2.8% Index 2.29 sectors 1.1% 8.0% 0 Consumer Staples 4.1% Number of Issue Securities Diversification Telecommunications 0.4% 0.4% 10th Percentile 125 36 Utilities 0.1% 25th Percentile 97 30 Median 74 26 75th Percentile 59 20 0% 5% 10% 15% 20% 25% 30% 35% 40% 90th Percentile 52 16 *Janus Enterprise Russell MidCap Growth Idx *Janus Enterprise 83 25 CAI Mid Cap Growth Mut Fd Russell MidCap Growth Idx 501 96
*9/30/15 portfolio characteristics generated using most recently available holdings (6/30/15) modified based on a "buy-and-hold" assumption (repriced and adjusted for corporate actions). Analysis is then done using current market and company financial data.
Mendocino County Employees’ Retirement Association 60 Prudential Small Cap Value Period Ended September 30, 2015
Investment Philosophy QMA believes a systematic approach that focuses on stocks with low valuations and confirming signals of attractiveness can outperform a small cap value benchmark. Its research shows that adapting to changing market conditions by dynamically shifting the weight on specific factors, while simultaneously maintaining a focus on value stocks, leads to better performance than using static factor exposures. Switched share class in Septemeber 2015.
Quarterly Summary and Highlights Quarterly Asset Growth Prudential Small Cap Value’s portfolio posted a (11.00)% Beginning Market Value $12,838,894 return for the quarter placing it in the 62 percentile of the CAI Net New Investment $0 MF - Small Cap Value Style group for the quarter and in the 71 percentile for the last year. Investment Gains/(Losses) $-1,412,552 Prudential Small Cap Value’s portfolio underperformed the Ending Market Value $11,426,342 Russell 2000 Value Index by 0.27% for the quarter and underperformed the Russell 2000 Value Index for the year by 2.13%.
Performance vs CAI MF - Small Cap Value Style (Net)
20% 15% B(47) B(36) 10% (71) A(64)(58) A(52) B(43) (82) A(47) A(34) (72) B(50) 5% B(40) (71) A(66) 0% (51) B(50) A(71) (5%) B(30) (10%) (55) A(62) (15%) (20%) Last Quarter Last Last 2 Years Last 3 Years Last 5 Years Last 7 Years Last 10 Years Year 10th Percentile (6.61) 3.41 5.83 14.09 13.22 12.43 8.06 25th Percentile (8.22) 2.28 4.81 12.93 11.88 10.36 7.40 Median (10.43) (1.51) 2.96 10.86 10.79 8.62 6.40 75th Percentile (11.75) (7.39) 0.61 8.38 9.22 7.52 5.09 90th Percentile (15.14) (11.89) (5.17) 4.34 6.72 5.83 4.22 Prudential Small Cap Value A (11.00) (3.73) 1.69 10.24 10.73 8.67 7.01 US Small Cap Value Idx B (9.02) (1.53) 3.78 11.00 11.40 8.97 6.37 Russell 2000 Value Index (10.73) (1.60) 1.22 9.18 10.17 6.81 5.35
CAI MF - Small Cap Value Style (Net) Relative Return vs Russell 2000 Value Index Annualized Five Year Risk vs Return
4% 18%
3% 16%
14% 2% Prudential Small Cap Value 12% 1% US Small Cap Value Idx 10% 0% Returns Russell 2000 Value Index 8%
Relative Returns (1%) 6%
(2%) 4%
(3%) 2% 10 2011 2012 2013 2014 2015 12 14 16 18 20 22 24 26 Standard Deviation Prudential Small Cap Value
Mendocino County Employees’ Retirement Association 61 Prudential Small Cap Value Return Analysis Summary
Return Analysis The graphs below analyze the manager’s return on both a risk-adjusted and unadjusted basis. The first chart illustrates the manager’s ranking over different periods versus the appropriate style group. The second chart shows the historical quarterly and cumulative manager returns versus the appropriate market benchmark. The last two charts illustrate the manager’s ranking relative to their style using various risk-adjusted return measures.
Performance vs CAI MF - Small Cap Value Style (Net)
80% 60% 40% 57 A(47) B(61) B(64) B(20) 52 B(46) 5 B(14) 20% B(22) 27 A(65)93 A(75) 47 A(53) A(26) A(29) A(31) 0% B(56) A(33) 62 70 A(70) B(52) 79 B(76) (20%) 24 A(15) (40%) B(35) (60%) 12/14- 9/15 2014 2013 2012 2011 2010 2009 2008 2007 2006 10th Percentile (4.71) 11.40 45.79 21.73 3.33 30.90 55.28 (26.52) 5.88 21.33 25th Percentile (5.89) 7.05 38.35 18.31 (0.41) 27.03 46.68 (29.36) 2.04 18.69 Median (7.10) 4.02 35.58 14.94 (3.25) 24.75 35.11 (34.79) (3.01) 15.81 75th Percentile (11.33) 1.71 32.19 11.03 (7.53) 21.28 26.60 (38.81) (6.37) 11.88 90th Percentile (14.27) (1.98) 29.45 9.09 (11.34) 17.69 22.10 (43.11) (14.00) 6.84 Prudential Small Cap Value A(10.24) 5.89 35.87 14.14 (0.48) 23.63 26.69 (27.45) 0.52 17.73 US Small Cap Value Idx B (8.12) 7.44 33.71 18.80 (4.04) 24.99 30.29 (32.12) (6.94) 19.44 Russell 2000 Value Index (10.06) 4.22 34.52 18.05 (5.50) 24.50 20.58 (28.92) (9.78) 23.48
Cumulative and Quarterly Relative Return vs Russell 2000 Value Index
8%
6%
4%
2%
0% Relative Returns (2%)
(4%) 2010 2011 2012 2013 2014 2015
Prudential Small Cap Value US Small Cap Value Idx CAI Sm Cap Value Mut Fds
Risk Adjusted Return Measures vs Russell 2000 Value Index Rankings Against CAI MF - Small Cap Value Style (Net) Five Years Ended September 30, 2015
20 1.2 1.0 15 0.8 B(14) B(21) B(20) 0.6 A(27) A(30) 10 A(34) 0.4 B(16) 0.2 A(47) 5 0.0 B(26) (0.2) 0 A(33) (0.4) (0.6) (5) (0.8) Alpha Treynor Information Sharpe Excess Return Ratio Ratio Ratio Ratio 10th Percentile 3.82 15.32 10th Percentile 0.90 0.80 0.59 25th Percentile 1.81 11.99 25th Percentile 0.54 0.64 0.34 Median 0.79 10.88 Median 0.24 0.58 0.17 75th Percentile (0.65) 9.16 75th Percentile (0.10) 0.48 (0.17) 90th Percentile (2.11) 7.00 90th Percentile (0.46) 0.36 (0.55) Prudential Prudential Small Cap Value A 1.25 11.65 Small Cap Value A 0.50 0.63 0.18 US Small US Small Cap Value Idx B 1.69 12.10 Cap Value Idx B 0.81 0.65 0.48
Mendocino County Employees’ Retirement Association 62 Prudential Small Cap Value Equity Characteristics Analysis Summary
Portfolio Characteristics This graph compares the manager’s portfolio characteristics with the range of characteristics for the portfolios which make up the manager’s style group. This analysis illustrates whether the manager’s current holdings are consistent with other managers employing the same style.
Portfolio Characteristics Percentile Rankings Rankings Against CAI MF - Small Cap Value Style as of September 30, 2015
0% B(8) A(11) 10% B(11) 20% (23) 30% 40% (37) 50% A(47) B(56) (53) 60% (66) B(63) 70% A(76) (78) 80% (84) B(79) B(83) 90% A(87) Percentile Ranking 100% A(98) A(97) Weighted Median Price/Fore- Price/Book Forecasted Dividend MSCI Market Cap casted Earnings Earnings Growth Yield Combined Z-Score 10th Percentile 2.40 18.58 1.94 14.42 2.99 (0.09) 25th Percentile 2.08 17.72 1.76 11.06 2.19 (0.19) Median 1.49 16.16 1.54 10.39 1.76 (0.32) 75th Percentile 1.19 14.52 1.30 9.54 1.47 (0.46) 90th Percentile 0.68 11.97 1.22 6.77 1.25 (0.73) *Prudential Small Cap Value A 1.56 11.69 1.26 9.33 2.84 (0.78) US Small Cap Value Idx B 2.41 15.89 1.45 8.92 2.86 (0.65) Russell 2000 Value Index 1.43 16.90 1.28 10.27 2.36 (0.51)
Sector Weights The graph below contrasts the manager’s sector weights with those of the benchmark and median sector weights across the members of the peer group. The magnitude of sector weight differences from the index and the manager’s sector diversification are also shown. Diversification by number and concentration of holdings are also compared to the benchmark and peer group. Issue Diversification represents by count, and Diversification Ratio by percent, the number of holdings that account for half of the portfolio’s market value.
Sector Allocation Diversification September 30, 2015 September 30, 2015 500 47.9% 50%
43.9% Mgr MV Financials 32.4% 450 14.1% 11.6% (3) Industrials 17.4% 400 Diversification Ratio 10.2% 350 Manager 16% Consumer Discretionary 10.5% 14.3% 50% Index 16% 7.4% Mgr MV 300 10.4% Style Median 30% Information Technology 13.6% 250 5.2% 4.6% Energy 3.7% 200 4.4% 3.1% 150 Materials 5.4% 3.2% Sector Diversification 100 3.2% (18) Consumer Staples 2.9% Manager 1.15 sectors 50 2.8% Index 1.53 sectors Utilities 7.4% 0 3.1% Number of Issue 2.7% Pooled Vehicles Securities Diversification 1.1% Health Care 4.3% 10th Percentile 277 82 7.2% 25th Percentile 169 43 0.9% Telecommunications 0.9% Median 104 35 75th Percentile 74 23 90th Percentile 62 16 0% 10% 20% 30% 40% 50% 60% *Prudential *Prudential Small Cap Value Russell 2000 Value Index Small Cap Value 411 66 CAI Sm Cap Value Mut Fds Russell 2000 Value Index 1304 212
*9/30/15 portfolio characteristics generated using most recently available holdings (6/30/15) modified based on a "buy-and-hold" assumption (repriced and adjusted for corporate actions). Analysis is then done using current market and company financial data.
Mendocino County Employees’ Retirement Association 63 AB US Small Growth Period Ended September 30, 2015
Investment Philosophy AB’s small cap growth investment process emphasizes in-house fundamental research and direct management contact in order to identify rapidly growing companies with accelerating earnings power and reasonable valuations. AB’s management fee is 100 bps on all assets.
Quarterly Summary and Highlights Quarterly Asset Growth AB US Small Growth’s portfolio posted a (14.57)% return for Beginning Market Value $7,199,605 the quarter placing it in the 70 percentile of the CAI MF- Net New Investment $0 Small Cap Growth Style group for the quarter and in the 82 percentile for the last year. Investment Gains/(Losses) $-1,038,110 AB US Small Growth’s portfolio underperformed the Russell Ending Market Value $6,161,495 2000 Growth Index by 1.51% for the quarter and underperformed the Russell 2000 Growth Index for the year by 6.95%.
Performance vs CAI MF- Small Cap Growth Style (Net)
20%
15% (22) (40) (35) (14) 10% (73) (49) (12) (42) 5% (27) (35)
0% (65) (82) (5%)
(10%) (56) (15%) (70)
(20%) Last Quarter Last Last 2 Years Last 3 Years Last 5 Years Last 7 Years Last 10 Years Year 10th Percentile (8.63) 8.61 6.82 15.14 15.67 13.57 10.17 25th Percentile (10.36) 4.84 5.02 13.72 13.94 11.23 8.31 Median (12.88) 2.00 2.80 12.66 12.54 10.40 7.43 75th Percentile (15.24) (0.28) 0.33 10.23 11.13 9.18 6.45 90th Percentile (16.17) (4.25) (2.28) 7.74 9.77 8.44 4.47 AB US Small Growth (14.57) (2.91) 0.71 10.41 14.63 13.11 9.48 Russell 2000 Growth Index (13.06) 4.04 3.92 12.85 13.26 10.44 7.67
CAI MF- Small Cap Growth Style (Net) Relative Return vs Russell 2000 Growth Index Annualized Five Year Risk vs Return
6% 20%
4%
2% 15% 0% AB US Small Growth
(2%) Russell 2000 Growth Index (4%) Returns 10% Relative Returns (6%)
(8%)
(10%) 5% 10 2011 2012 2013 2014 2015 14 16 18 20 22 24 Standard Deviation AB US Small Growth
Mendocino County Employees’ Retirement Association 64 AB US Small Growth Return Analysis Summary
Return Analysis The graphs below analyze the manager’s return on both a risk-adjusted and unadjusted basis. The first chart illustrates the manager’s ranking over different periods versus the appropriate style group. The second chart shows the historical quarterly and cumulative manager returns versus the appropriate market benchmark. The last two charts illustrate the manager’s ranking relative to their style using various risk-adjusted return measures.
Performance vs CAI MF- Small Cap Growth Style (Cheapest Net)
80% 60% 43 40% 63 3 34 36 62 20% 50 35 32 27 8 66 50 55 0% 45 47 77 53 (20%) (40%) 16 70 (60%) (80%) 12/14- 9/15 2014 2013 2012 2011 2010 2009 2008 2007 2006 10th Percentile 1.48 8.87 55.85 17.93 2.88 35.42 54.88 (37.41) 21.56 20.97 25th Percentile (2.50) 6.10 49.11 16.86 0.16 31.89 45.88 (38.98) 16.36 16.97 Median (5.86) 2.13 45.64 14.60 (2.77) 26.94 38.26 (41.97) 10.88 13.33 75th Percentile (7.52) (0.26) 40.74 10.81 (7.68) 22.94 33.07 (46.21) 4.83 8.39 90th Percentile (9.36) (4.60) 37.87 8.25 (11.95) 18.85 26.61 (47.90) 2.29 5.22 AB US Small Growth (5.72) (1.24) 46.72 16.21 5.42 38.50 43.78 (44.62) 15.33 12.09 Russell 2000 Growth Index (5.47) 5.60 43.30 14.59 (2.91) 29.09 34.47 (38.54) 7.05 13.35
Cumulative and Quarterly Relative Return vs Russell 2000 Growth Index
20%
15%
10%
5%
0% Relative Returns (5%)
(10%) 2010 2011 2012 2013 2014 2015
AB US Small Growth CAI Sm Cap Growth Mut Fds
Risk Adjusted Return Measures vs Russell 2000 Growth Index Rankings Against CAI MF- Small Cap Growth Style (Cheapest Net) Five Years Ended September 30, 2015
25 1.5 20 1.0 15 (33) (32) 10 0.5 5 (32) (24) 0.0 0 (33) (5) (0.5) (10) Alpha Treynor (1.0) Ratio Information Sharpe Excess Return Ratio Ratio Ratio 10th Percentile 3.43 17.92 25th Percentile 1.75 14.86 10th Percentile 0.69 0.87 0.49 Median (0.53) 12.51 25th Percentile 0.43 0.74 0.21 75th Percentile (1.64) 11.24 Median (0.10) 0.62 (0.14) 90th Percentile (3.09) 9.75 75th Percentile (0.39) 0.56 (0.29) 90th Percentile (0.74) 0.48 (0.64) AB US Small Growth 1.07 14.21 AB US Small Growth 0.21 0.70 0.24
Mendocino County Employees’ Retirement Association 65 AB US Small Growth Equity Characteristics Analysis Summary
Portfolio Characteristics This graph compares the manager’s portfolio characteristics with the range of characteristics for the portfolios which make up the manager’s style group. This analysis illustrates whether the manager’s current holdings are consistent with other managers employing the same style.
Portfolio Characteristics Percentile Rankings Rankings Against CAI MF- Small Cap Growth Style as of September 30, 2015
0% 10% (11) 20% (26) 30% (29) (29) (36) 40% (40) (46) (47) 50% 60% (68) 70% (72) (73) (73)
Percentile Ranking 80% 90% 100% Weighted Median Price/Fore- Price/Book Forecasted Dividend MSCI Market Cap casted Earnings Earnings Growth Yield Combined Z-Score 10th Percentile 2.90 47.95 4.49 23.30 0.91 1.15 25th Percentile 2.31 33.88 3.84 21.09 0.80 0.93 Median 2.05 27.81 3.29 18.77 0.58 0.74 75th Percentile 1.77 21.67 2.89 16.79 0.30 0.58 90th Percentile 1.44 19.02 2.68 15.63 0.16 0.43 AB US Small Growth 2.79 32.65 3.57 19.18 0.39 0.92 Russell 2000 Growth Index 1.79 29.24 3.66 17.40 0.77 0.60
Sector Weights The graph below contrasts the manager’s sector weights with those of the benchmark and median sector weights across the members of the peer group. The magnitude of sector weight differences from the index and the manager’s sector diversification are also shown. Diversification by number and concentration of holdings are also compared to the benchmark and peer group. Issue Diversification represents by count, and Diversification Ratio by percent, the number of holdings that account for half of the portfolio’s market value.
Sector Allocation Diversification September 30, 2015 September 30, 2015
30.6% 400 24.7% Information Technology 50% 27.5% Mgr MV 350 24.7% Health Care 26.6% Diversification Ratio 25.7% 300 Manager 33% 15.7% 18.5% 250 Index 15% Consumer Discretionary 17.2% 50% Mgr MV Style Median 30% 14.7% 12.8% 200 Industrials 14.2% 7.2% 150 7.9% Financials 8.5% (63) 2.7% 100 Materials 3.9% 2.5% Sector Diversification 50 2.3% (52) Energy 1.3% Manager 1.79 sectors 2.4% 0 Index 1.95 sectors Number of Issue 2.1% 3.5% Securities Diversification Consumer Staples 1.8% 10th Percentile 325 57 0.8% Telecommunications 0.2% 25th Percentile 134 40 Median 117 34 Utilities 0.1% 75th Percentile 88 27 90th Percentile 70 18 0% 5% 10% 15% 20% 25% 30% 35% 40% AB US Small Growth 102 34 AB US Small Growth Russell 2000 Growth Index Russell 2000 CAI Sm Cap Growth Mut Fds Growth Index 1150 175
Mendocino County Employees’ Retirement Association 66 RS Investments Period Ended September 30, 2015
Investment Philosophy RS Growth Team’s investment philosophy is based upon the belief that long term capital appreciation can be achieved by exploiting opportunities where an information gap exists. They believe that companies with developing or proven competitive advantages and strong fundamentals can be identified early in their growth cycle, through insightful fundamental research performed by experienced analysts and proprietary quantitative tools. Switched from Class A Shares to Class Y Shares in December 2009.
Quarterly Summary and Highlights Quarterly Asset Growth RS Investments’s portfolio posted a (12.64)% return for the Beginning Market Value $5,866,230 quarter placing it in the 47 percentile of the CAI MF- Small Net New Investment $0 Cap Growth Style group for the quarter and in the 2 percentile for the last year. Investment Gains/(Losses) $-741,503 RS Investments’s portfolio outperformed the Russell 2000 Ending Market Value $5,124,727 Growth Index by 0.42% for the quarter and outperformed the Russell 2000 Growth Index for the year by 8.63%.
Performance vs CAI MF- Small Cap Growth Style (Net)
25% 20% (1) (5) 15% (5) (2) (40) (35) 10% (49) (13) (9) (42) 5% (27) (35) 0% (5%) (10%) (56) (47) (15%) (20%) (25%) Last Quarter Last Last 2 Years Last 3 Years Last 5 Years Last 7 Years Last 10 Years Year 10th Percentile (8.63) 8.61 6.82 15.14 15.67 13.57 10.17 25th Percentile (10.36) 4.84 5.02 13.72 13.94 11.23 8.31 Median (12.88) 2.00 2.80 12.66 12.54 10.40 7.43 75th Percentile (15.24) (0.28) 0.33 10.23 11.13 9.18 6.45 90th Percentile (16.17) (4.25) (2.28) 7.74 9.77 8.44 4.47 RS Investments (12.64) 12.68 7.23 16.28 16.15 14.52 9.09 Russell 2000 Growth Index (13.06) 4.04 3.92 12.85 13.26 10.44 7.67
CAI MF- Small Cap Growth Style (Net) Relative Return vs Russell 2000 Growth Index Annualized Five Year Risk vs Return
6% 20%
4% RS Investments 2% 15% Russell 2000 Growth Index
0% Returns (2%) 10% Relative Returns
(4%)
(6%) 5% 10 2011 2012 2013 2014 2015 14 16 18 20 22 24 Standard Deviation RS Investments
Mendocino County Employees’ Retirement Association 67 RS Investments Return Analysis Summary
Return Analysis The graphs below analyze the manager’s return on both a risk-adjusted and unadjusted basis. The first chart illustrates the manager’s ranking over different periods versus the appropriate style group. The second chart shows the historical quarterly and cumulative manager returns versus the appropriate market benchmark. The last two charts illustrate the manager’s ranking relative to their style using various risk-adjusted return measures.
Performance vs CAI MF- Small Cap Growth Style (Net)
80% 60% 20 15 40% 60 35 37 56 20% 43 36 35 49 25 7 66 66 0% 42 23 51 41 (20%) (40%) 13 70 (60%) (80%) 12/14- 9/15 2014 2013 2012 2011 2010 2009 2008 2007 2006 10th Percentile 1.22 8.53 54.86 17.43 2.36 34.67 54.32 (37.53) 23.65 20.57 25th Percentile (2.70) 5.80 48.87 16.48 (0.03) 31.23 45.19 (39.22) 16.79 16.40 Median (5.86) 1.90 45.30 14.29 (2.84) 26.96 37.97 (42.32) 10.73 12.96 75th Percentile (7.78) (0.94) 40.54 10.30 (8.11) 22.74 31.17 (46.72) 4.72 8.24 90th Percentile (9.89) (5.04) 37.59 5.74 (12.56) 17.61 25.43 (49.49) 2.20 4.97 RS Investments (1.24) 9.67 49.64 15.13 (2.04) 28.27 47.63 (45.61) 13.96 9.45 Russell 2000 Growth Index (5.47) 5.60 43.30 14.59 (2.91) 29.09 34.47 (38.54) 7.05 13.35
Cumulative and Quarterly Relative Return vs Russell 2000 Growth Index
20%
15%
10%
5%
0% Relative Returns (5%)
(10%) 2010 2011 2012 2013 2014 2015
RS Investments CAI Sm Cap Growth Mut Fds
Risk Adjusted Return Measures vs Russell 2000 Growth Index Rankings Against CAI MF- Small Cap Growth Style (Net) Five Years Ended September 30, 2015
25 1.5 20 1.0 15 (18) (17) (15) 10 0.5 (8) 5 (14) 0.0 0 (0.5) (5) (10) (1.0) Alpha Treynor Information Sharpe Excess Return Ratio Ratio Ratio Ratio 10th Percentile 3.30 17.80 10th Percentile 0.67 0.87 0.46 25th Percentile 1.45 14.64 25th Percentile 0.35 0.73 0.12 Median (0.75) 12.28 Median (0.15) 0.60 (0.21) 75th Percentile (1.79) 11.10 75th Percentile (0.46) 0.54 (0.32) 90th Percentile (3.10) 9.75 90th Percentile (0.74) 0.48 (0.69) RS Investments 2.75 16.04 RS Investments 0.52 0.79 0.50
Mendocino County Employees’ Retirement Association 68 RS Investments Equity Characteristics Analysis Summary
Portfolio Characteristics This graph compares the manager’s portfolio characteristics with the range of characteristics for the portfolios which make up the manager’s style group. This analysis illustrates whether the manager’s current holdings are consistent with other managers employing the same style.
Portfolio Characteristics Percentile Rankings Rankings Against CAI MF- Small Cap Growth Style as of September 30, 2015
0% 10% 20% (20) (25) (23) 30% (29) (30) (36) 40% (43) (46) 50% 60% (68) 70% (72) (72) (73)
Percentile Ranking 80% 90% 100% Weighted Median Price/Fore- Price/Book Forecasted Dividend MSCI Market Cap casted Earnings Earnings Growth Yield Combined Z-Score 10th Percentile 2.90 47.95 4.49 23.30 0.91 1.15 25th Percentile 2.31 33.88 3.84 21.09 0.80 0.93 Median 2.05 27.81 3.29 18.77 0.58 0.74 75th Percentile 1.77 21.67 2.89 16.79 0.30 0.58 90th Percentile 1.44 19.02 2.68 15.63 0.16 0.43 *RS Investments 2.16 34.73 4.12 21.44 0.46 0.88 Russell 2000 Growth Index 1.79 29.24 3.66 17.40 0.77 0.60
Sector Weights The graph below contrasts the manager’s sector weights with those of the benchmark and median sector weights across the members of the peer group. The magnitude of sector weight differences from the index and the manager’s sector diversification are also shown. Diversification by number and concentration of holdings are also compared to the benchmark and peer group. Issue Diversification represents by count, and Diversification Ratio by percent, the number of holdings that account for half of the portfolio’s market value.
Sector Allocation Diversification September 30, 2015 September 30, 2015
27.5% 400
Information Technology 24.7% 50% 27.5% Mgr MV 350 27.2% Health Care 26.6% Diversification Ratio 25.7% 300 17.6% Manager 30% 18.5% Consumer Discretionary 17.2% Index 15% 50% 250 12.5% Mgr MV Style Median 30% 12.8% Industrials 14.2% 200 4.8% 7.9% Financials 8.5% 150 4.2% 3.9% Sector Diversification 100 Materials 2.5% (77) 2.9% Manager 1.83 sectors Consumer Staples 3.5% 50 1.8% Index 1.95 sectors (77) 2.3% 1.3% 0 Energy 2.4% Number of Issue 0.9% Securities Diversification Telecommunications 0.8% 0.2% 10th Percentile 325 57 Utilities 0.1% 25th Percentile 134 40 Median 117 34 75th Percentile 88 27 0% 5% 10% 15% 20% 25% 30% 35% 90th Percentile 70 18 *RS Investments Russell 2000 Growth Index *RS Investments 85 26 CAI Sm Cap Growth Mut Fds Russell 2000 Growth Index 1150 175
*9/30/15 portfolio characteristics generated using most recently available holdings (6/30/15) modified based on a "buy-and-hold" assumption (repriced and adjusted for corporate actions). Analysis is then done using current market and company financial data.
Mendocino County Employees’ Retirement Association 69 Managers Inst Micro Cap Period Ended September 30, 2015
Investment Philosophy The Fund’s objective is to achieve long term capital appreciation, through the investment of U.S. companies, which at the time of initial purchase have a market capitalization amongst the smallest 5% of companies listed on the U.S. stock markets
Quarterly Summary and Highlights Quarterly Asset Growth Managers Inst Micro Cap’s portfolio posted a (12.50)% Beginning Market Value $8,783,420 return for the quarter placing it in the 57 percentile of the MF Net New Investment $0 - Micro Cap Obj group for the quarter and in the 28 percentile for the last year. Investment Gains/(Losses) $-1,098,165 Managers Inst Micro Cap’s portfolio outperformed the Ending Market Value $7,685,255 Russell Microcap Index by 1.27% for the quarter and outperformed the Russell Microcap Index for the year by 1.61%.
Performance vs MF - Micro Cap Obj (Net)
20%
15% A(18) A(19) (52) B(38)(40) B(27) A(25) 10% B(35) (61) A(17) 5% B(27) (56) B(45) B(38) (41) A(28)(40) 0% A(43) (5%) (10%) (66) A(57) (15%) B(96) (20%) (25%) Last Quarter Last Last 2 Years Last 3 Years Last 5 Years Last 7 Years Last 10 Years Year 10th Percentile (7.45) 8.36 6.41 14.28 15.25 12.67 7.96 25th Percentile (9.92) 4.66 4.48 12.87 13.54 10.96 6.75 Median (11.81) (0.37) 1.42 11.53 11.46 9.17 5.09 75th Percentile (14.37) (4.99) (2.95) 8.56 9.46 7.58 4.31 90th Percentile (15.81) (10.03) (5.92) 4.91 6.72 4.71 3.76 Managers Inst Micro Cap A (12.50) 3.26 1.73 13.69 13.85 10.97 7.32 Russell Micro Growth Idx B (17.25) 3.68 2.52 12.37 13.35 10.16 5.41 Russell Microcap Index (13.78) 1.65 2.21 11.34 12.35 8.50 4.88
MF - Micro Cap Obj (Net) Relative Return vs Russell Microcap Index Annualized Five Year Risk vs Return
5% 20%
4% 18%
3% 16% Russell Micro Growth Idx 14% Managers Inst Micro Cap 2% 12% 1% 10% Russell Microcap Index 0%
Returns 8% (1%)
Relative Returns 6%
(2%) 4%
(3%) 2%
(4%) 0% 10 2011 2012 2013 2014 2015 12 14 16 18 20 22 24 26 28 Standard Deviation Managers Inst Micro Cap
Mendocino County Employees’ Retirement Association 70 Managers Inst Micro Cap Return Analysis Summary
Return Analysis The graphs below analyze the manager’s return on both a risk-adjusted and unadjusted basis. The first chart illustrates the manager’s ranking over different periods versus the appropriate style group. The second chart shows the historical quarterly and cumulative manager returns versus the appropriate market benchmark. The last two charts illustrate the manager’s ranking relative to their style using various risk-adjusted return measures.
Performance vs MF - Micro Cap Obj (Net)
80% 60% A(12) 40% 42 B(22) A(29) B(36) 47 75 20% 27 B(54) B(42) A(61) 26 A(66) 20 B(16) A(61) A(40) A(8) B(69) 0% 51 A(42) A(28) 78 76 B(46) (20%) B(45) B(74) 41 A(31) (40%) B(68) (60%) (80%) 12/14- 9/15 2014 2013 2012 2011 2010 2009 2008 2007 2006 10th Percentile (0.36) 6.82 56.54 21.14 (0.02) 35.36 60.10 (31.13) 7.44 20.48 25th Percentile (4.24) 2.97 51.32 19.82 (2.98) 30.81 49.37 (38.32) 4.91 16.67 Median (8.53) (0.19) 44.46 15.70 (5.51) 28.62 34.05 (41.10) (3.14) 13.66 75th Percentile (10.62) (3.54) 40.01 11.85 (8.50) 25.42 27.42 (47.05) (7.70) 8.44 90th Percentile (14.77) (4.75) 35.95 8.52 (12.94) 22.37 22.63 (52.78) (10.79) 4.61 Managers Inst Micro Cap A (7.98) 2.62 56.34 14.32 (3.91) 30.54 28.65 (39.06) 8.32 12.03 Russell Micro Growth Idx B (8.17) 4.30 52.84 15.17 (8.42) 29.49 39.18 (44.65) (2.68) 11.39 Russell Microcap Index (8.58) 3.65 45.62 19.75 (9.27) 28.89 27.48 (39.78) (8.00) 16.54
Cumulative and Quarterly Relative Return vs Russell Microcap Index
12% 10% 8% 6% 4% 2% 0% (2%)
Relative Returns (4%) (6%) (8%) 2010 2011 2012 2013 2014 2015
Managers Inst Micro Cap Russell Micro Growth Idx Mt Fd: Micro Cap Obj
Risk Adjusted Return Measures vs Russell Microcap Index Rankings Against MF - Micro Cap Obj (Net) Five Years Ended September 30, 2015
20 1.0 A(34) 15 A(37) 0.5 A(26) B(57) A(14) 10 B(58) B(19) 0.0 B(56) 5 A(31) (0.5) 0 B(55) (5) (1.0) (10) (1.5) Alpha Treynor Information Sharpe Excess Return Ratio Ratio Ratio Ratio 10th Percentile 3.00 16.21 10th Percentile 0.65 0.76 0.51 25th Percentile 1.96 14.89 25th Percentile 0.38 0.69 0.19 Median 0.54 12.96 Median 0.11 0.60 (0.19) 75th Percentile (2.20) 9.76 75th Percentile (0.47) 0.45 (0.36) 90th Percentile (5.98) 5.90 90th Percentile (0.79) 0.27 (0.94) Managers Managers Inst Micro Cap A 1.31 13.64 Inst Micro Cap A 0.36 0.65 0.37 Russell Micro Russell Micro Growth Idx B 0.01 12.05 Growth Idx B 0.00 0.58 0.23
Mendocino County Employees’ Retirement Association 71 Managers Inst Micro Cap Equity Characteristics Analysis Summary
Portfolio Characteristics This graph compares the manager’s portfolio characteristics with the range of characteristics for the portfolios which make up the manager’s style group. This analysis illustrates whether the manager’s current holdings are consistent with other managers employing the same style.
Portfolio Characteristics Percentile Rankings Rankings Against MF - Micro Cap Obj as of September 30, 2015
0% B(7) 10% B(14) (17) 20% A(24) A(25) 30% B(33) 40% (40) A(41) A(42) 50% 60% A(58) (65) 70% (69) B(69) (76) B(74) 80% Percentile Ranking 90% 100% Weighted Median Forecasted P/E Price/ Dividend MSCI Market Cap (Exc Neg) Book Value Yield Combined Z-Score 10th Percentile 0.70 27.02 2.88 1.94 0.81 25th Percentile 0.59 20.62 2.65 1.45 0.69 Median 0.47 18.49 1.93 0.98 0.07 75th Percentile 0.40 16.11 1.47 0.26 (0.33) 90th Percentile 0.23 14.16 1.21 0.23 (0.62) *Managers Inst Micro Cap A 0.59 20.62 2.17 0.88 0.33 Russell Micro Growth Idx B 0.41 26.35 2.92 0.58 0.55 Russell Microcap Index 0.40 19.10 1.50 1.53 (0.14)
Sector Weights The graph below contrasts the manager’s sector weights with those of the benchmark and median sector weights across the members of the peer group. The magnitude of sector weight differences from the index and the manager’s sector diversification are also shown. Diversification by number and concentration of holdings are also compared to the benchmark and peer group. Issue Diversification represents by count, and Diversification Ratio by percent, the number of holdings that account for half of the portfolio’s market value.
Sector Allocation Diversification September 30, 2015 September 30, 2015
23.2% 450 Information Technology 15.3% 21.2% 400
21.8% 50%
19.7% Mgr MV Health Care 22.0% 350 (14) Diversification Ratio 17.0% Manager 22% Consumer Discretionary 13.1% 20.0% 300 Index 19% 14.9% Industrials 10.2% 250 Style Median 30%
13.8% 50%
12.8% Mgr MV 29.4% 200 Financials 13.3% 2.4% 2.3% 150 Consumer Staples 3.0% 2.3% Sector Diversification 2.6% 100 Materials 2.6% Manager 2.29 sectors (7) 2.2% 50 3.9% Index 2.06 sectors Energy 2.4% 2.1% 0 Telecommunications 2.3% Number of Issue 1.6% Securities Diversification 1.0% Utilities 1.2% 10th Percentile 364 58 0.2% Pooled Vehicles 25th Percentile 128 41 Median 104 33 75th Percentile 85 21 0% 5% 10% 15% 20% 25% 30% 35% 90th Percentile 57 18 *Managers Inst Micro Cap Russell Microcap Index *Managers Mt Fd: Micro Cap Obj Inst Micro Cap 349 77 Russell Microcap Index 1640 306
*9/30/15 portfolio characteristics generated using most recently available holdings (6/30/15) modified based on a "buy-and-hold" assumption (repriced and adjusted for corporate actions). Analysis is then done using current market and company financial data.
Mendocino County Employees’ Retirement Association 72 International Equity International Equity International International Equity Composite Period Ended September 30, 2015
Quarterly Summary and Highlights Quarterly Asset Growth International Equity Composite’s portfolio posted a (12.66)% Beginning Market Value $107,844,465 return for the quarter placing it in the 74 percentile of the Net New Investment $-729,911 Pub Pln- International Equity group for the quarter and in the 71 percentile for the last year. Investment Gains/(Losses) $-13,603,613 International Equity Composite’s portfolio underperformed Ending Market Value $93,510,940 the MSCI ACWI ex US Index by 0.56% for the quarter and outperformed the MSCI ACWI ex US Index for the year by 0.54%.
Performance vs Pub Pln- International Equity (Gross)
10%
B(26) A(37) A(19) A(59) B(37)(70) B(68) (68) B(83) (68) (72) A(72)
0%
B(53) (71) A(76)
B(35) (10%) B(10) A(71) (67) (76) A(74)
(20%) Last Quarter Last Last 2 Years Last 3 Years Last 5 Years Last 7 Years Last 10 Years Year 10th Percentile (10.25) (6.87) (0.21) 6.73 5.52 5.98 5.02 25th Percentile (10.84) (8.12) (1.33) 5.69 4.48 5.09 4.59 Median (11.60) (9.51) (2.37) 4.34 3.53 4.30 3.87 75th Percentile (12.72) (11.51) (3.81) 2.04 2.07 3.42 3.31 90th Percentile (14.10) (14.89) (5.79) (0.24) (0.46) 1.94 1.91 International Equity Composite A (12.66) (11.24) (3.89) 3.69 2.29 4.82 4.79 MSCI EAFE Index B (10.23) (8.66) (2.42) 5.63 3.98 3.77 2.97 MSCI ACWI ex US Index (12.10) (11.78) (3.65) 2.78 2.27 3.66 3.49
Pub Pln- International Equity (Gross) Relative Return vs MSCI ACWI ex US Index Annualized Five Year Risk vs Return
4% 8%
6% 3% 4% MSCI EAFE Index 2% 2% International Equity Composite 1% 0%
Returns MSCI ACWI ex US Index (2%) 0% Relative Returns (4%) (1%) (6%)
(2%) (8%) 10 2011 2012 2013 2014 2015 12 13 14 15 16 17 18 19 20 Standard Deviation International Equity Composite
Mendocino County Employees’ Retirement Association 74 International Equity Composite Return Analysis Summary
Return Analysis The graphs below analyze the manager’s return on both a risk-adjusted and unadjusted basis. The first chart illustrates the manager’s ranking over different periods versus the appropriate style group. The second chart shows the historical quarterly and cumulative manager returns versus the appropriate market benchmark. The last two charts illustrate the manager’s ranking relative to their style using various risk-adjusted return measures.
Performance vs Pub Pln- International Equity (Gross)
80% 60% A(13) 40% 23 A(10) B(14) A(52) B(76) 38 20% 69 75 A(21) 25 A(21) B(59) B(28) B(88) A(44) B(75) 59 B(95) B(81) 0% 71 59 B(33) (20%) A(60) A(94) 51 A(81) (40%) 65 B(47) (60%) A(60) (80%) 12/14- 9/15 2014 2013 2012 2011 2010 2009 2008 2007 2006 10th Percentile (4.33) 0.40 23.18 21.11 (9.74) 15.98 53.61 (39.13) 20.58 30.20 25th Percentile (5.16) (1.54) 20.77 20.08 (11.79) 14.13 41.95 (41.56) 17.09 27.93 Median (6.51) (3.10) 18.93 18.82 (13.16) 12.20 36.72 (43.98) 14.91 26.74 75th Percentile (8.58) (4.21) 13.63 17.31 (14.45) 9.84 32.14 (46.08) 11.60 25.54 90th Percentile (12.07) (5.09) 4.28 16.13 (17.32) 8.59 28.17 (49.82) 9.69 23.55 International Equity Composite A (7.61) (5.73) 19.25 18.78 (15.34) 14.46 49.73 (44.96) 17.68 30.22 MSCI EAFE Index B (5.28) (4.90) 22.78 17.32 (12.14) 7.75 31.78 (43.38) 11.17 26.34 MSCI ACWI ex US Index (8.28) (3.44) 15.78 17.39 (13.33) 11.60 42.14 (45.24) 17.12 27.16
Cumulative and Quarterly Relative Return vs MSCI ACWI ex US Index
10%
8%
6%
4%
2%
0% Relative Returns (2%)
(4%) 2010 2011 2012 2013 2014 2015
International Equity Composite MSCI EAFE Index Pub Pln- Intl Equity
Risk Adjusted Return Measures vs MSCI ACWI ex US Index Rankings Against Pub Pln- International Equity (Gross) Five Years Ended September 30, 2015
8 2.0 6 1.5 4 B(36) 1.0 B(35) B(35) 2 B(38) A(73) 0.5 B(35) 0 A(73) 0.0 A(73) A(73) A(72) (2) (0.5) (4) (1.0) Alpha Treynor (1.5) Ratio Information Sharpe Excess Return Ratio Ratio Ratio 10th Percentile 3.20 5.69 25th Percentile 2.20 4.51 10th Percentile 1.66 0.37 1.58 Median 1.22 3.34 25th Percentile 1.18 0.29 1.12 75th Percentile (0.10) 2.06 Median 0.63 0.22 0.60 90th Percentile (2.63) (0.52) 75th Percentile (0.03) 0.13 (0.06) 90th Percentile (0.87) (0.03) (0.83) International Equity Composite A (0.01) 2.09 International MSCI EAFE Index B 1.72 4.04 Equity Composite A (0.01) 0.14 0.01 MSCI EAFE Index B 0.92 0.26 0.88
Mendocino County Employees’ Retirement Association 75 International Equity Composite Equity Characteristics Analysis Summary
Portfolio Characteristics This graph compares the manager’s portfolio characteristics with the range of characteristics for the portfolios which make up the manager’s style group. This analysis illustrates whether the manager’s current holdings are consistent with other managers employing the same style.
Portfolio Characteristics Percentile Rankings Rankings Against CAI Non-U.S. Equity Style as of September 30, 2015
0% 10% 20% B(22) B(26) (25) 30% A(35) A(38) 40% A(42) A(44) 50% (49) B(50) A(51) A(51) 60% (60) B(60) (62) (65) B(63)(63) 70% B(73) 80%
Percentile Ranking 90% 100% Weighted Median Price/Fore- Price/Book Forecasted Dividend MSCI Market Cap casted Earnings Earnings Growth Yield Combined Z-Score 10th Percentile 40.41 16.30 2.47 13.60 3.67 0.75 25th Percentile 32.64 14.67 2.11 11.61 3.20 0.53 Median 26.84 13.44 1.60 10.25 2.78 0.13 75th Percentile 18.96 12.09 1.36 8.79 2.37 (0.24) 90th Percentile 13.05 11.45 1.17 7.34 2.03 (0.39) *International Equity Composite A 29.38 14.02 1.73 10.22 2.75 0.21 MSCI EAFE Index B 32.06 13.52 1.53 8.88 3.29 0.00 MSCI AC World ex US USD (Gross) 26.86 12.83 1.50 9.57 3.20 (0.00)
Sector Weights The graph below contrasts the manager’s sector weights with those of the benchmark and median sector weights across the members of the peer group. The magnitude of sector weight differences from the index and the manager’s sector diversification are also shown. The regional allocation chart compares the manager’s geographical region weights with those of the benchmark as well as the median region weights of the peer group.
Sector Allocation Regional Allocation September 30, 2015 September 30, 2015 50%
21.5% Mgr MV 27.2% 61.9% Financials 24.0% 16.8% Dev Europe/Mid East 48.7%
11.8% 50% Consumer Discretionary 15.4% Mgr MV 61.2%
15.0% 50%
11.4% Mgr MV Industrials 13.0% 14.2% 11.5% 10.7% Japan 16.4% Consumer Staples 10.4% 50% 16.8% 10.4% Mgr MV Health Care 9.4% 12.7% 13.3% 8.8% 7.2% Information Technology 7.8% Emerging Markets 20.5% 5.3% 10.0% Materials 6.7% Sector Diversification 6.0% Manager 2.78 sectors 4.0% 5.5% 6.2% Index 2.97 sectors Energy 4.4% Pacific Basin 7.9% 4.0% 6.3% Telecommunications 5.9% 4.7% Country Diversification 2.5% 5.1% Utilities 3.5% Manager 3.74 countries 1.7% North America 6.4% 0.1% Index 4.75 countries Miscellaneous 5.7%
0% 5% 10% 15% 20% 25% 30% 35% 0% 10% 20% 30% 40% 50% 60% 70% 80% *International Equity Composite *International Equity Composite MSCI AC World ex US USD (Gross) CAI Non-U.S. Eq. Style MSCI AC World ex US USD (Gross) CAI Non-U.S. Eq. Style
*9/30/15 portfolio characteristics generated using most recently available holdings (7/31/15) modified based on a "buy-and-hold" assumption (repriced and adjusted for corporate actions). Analysis is then done using current market and company financial data.
Mendocino County Employees’ Retirement Association 76 Country Allocation International Equity Composite VS MSCI AC World ex US USD (Gross)
Country Allocation The chart below contrasts the portfolio’s country allocation with that of the index as of September 30, 2015. This chart is useful because large deviations in country allocation relative to the index are often good predictors of tracking error in the subsequent quarter. To the extent that the portfolio allocation is similar to the index, the portfolio should experience more "index-like" performance. In order to illustrate the performance effect on the portfolio and index of these country allocations, the individual index country returns are also shown.
Country Weights as of September 30, 2015 Index Rtns Argentina 0.0% 1.6% (26.64%) Australia 4.7% 0.3% (15.29%) Austria 0.1% 0.6% (8.86%) Belgium 1.0% 0.1% (7.85%) Bermuda 0.4% - Brazil 1.3% 0.2% (33.56%) Cambodia 1.9% - Canada 6.4% 0.1% (13.98%) Chile 0.3% 3.9% (13.58%) China 4.8% 0.5% (22.67%) Colombia 0.1% (23.23%) Czech Republic 0.0% 2.6% (6.62%) Denmark 1.3% (2.39%) Egypt 0.0% 0.1% (12.94%) Finland 0.6% 11.9% (5.52%) France 7.4% 8.2% (6.41%) Germany 6.5% 0.0% (10.89%) Greece 0.1% 2.2% (35.76%) Hong Kong 2.2% (16.16%) Hungary 0.1% 2.2% (3.30%) India 1.8% 0.4% (6.74%) Indonesia 0.4% 0.4% (24.19%) Ireland 0.3% 0.4% (3.09%) Israel 0.5% 2.0% (5.43%) Italy 1.9% 14.2% (4.26%) Japan 16.4% 0.0% (11.70%) Kazakhstan 0.3% (36.68%) Malaysia 0.6% 0.5% (18.23%) Mexico 1.0% 2.7% (11.91%) Netherlands 2.0% 0.4% (8.80%) New Zealand 0.1% 0.3% (6.62%) Norway 0.4% 0.1% (19.06%) Panama 0.1% - Peru 0.1% 0.4% (21.50%) Philippines 0.3% (10.17%) Poland 0.3% 0.0% (10.52%) Portugal 0.1% 0.1% (11.43%) Qatar 0.2% 0.0% (6.59%) Romania 0.2% 0.32% Russia 0.8% 1.3% (14.39%) Singapore 0.9% 0.5% (19.47%) South Africa 1.6% 1.9% (18.54%) South Korea 3.2% 2.3% (11.80%) Spain 2.5% 3.1% (11.02%) Sweden 2.2% 11.4% (9.16%) Switzerland 7.1% 1.0% (6.94%) Taiwan 2.6% 0.2% (16.41%) Thailand 0.5% 0.1% (17.51%) Turkey 0.3% 0.1% (19.49%) United Arab Emirates 0.2% 15.5% (10.40%) United Kingdom 14.8% 3.2% (10.01%) United States (9.34%) 0% 5% 10% 15% 20% Percent of Portfolio Manager Total Return: (12.66%) International Equity Composite MSCI ACWI ex US Index Index Total Return: (12.10%)
Mendocino County Employees’ Retirement Association 77 International Holdings Based Style Analysis For One Quarter Ended September 30, 2015 This page analyzes and compares the investment styles of multiple portfolios using a detailed holdings-based style analysis methodology. The size component of style is measured by the weighted median market capitialization of the holdings. The value/core/growth style dimension is captured by the "Combined Z-Score" of the portfolio. This score is based on eight fundamental factors used in the MSCI stock style scoring system. The table below gives a more detailed breakdown of several relevant style metrics on the portfolios.
Style Map Holdings for One Quarter Ended September 30, 2015
Mega Oakmark International Harbor International
Mondrian International Large EuroPacific
MSCI ACWI ex-US Index *International Equities MSCI EAFE Index
Mid
*Columbia Acorn Int’l
Small
Micro Value Core Growth
Weight Wtd Median Combined Growth Value Number of Security % Mkt Cap Z-Score Z-Score Z-Score Securities Diversification EuroPacific 23.13% 31.66 0.76 0.38 (0.38) 272 34.18 Harbor International 22.77% 40.41 0.35 0.14 (0.21) 69 19.32 *Columbia Acorn Int’l 11.32% 3.71 0.80 0.24 (0.56) 70 20.92 Oakmark International 22.70% 31.57 (0.15) 0.11 0.26 60 14.71 Mondrian International 20.09% 37.37 (0.40) (0.22) 0.18 132 21.31 *International Equities 100.00% 29.38 0.21 0.12 (0.10) 505 66.49 MSCI EAFE Index - 32.06 0.00 0.00 (0.00) 912 102.48 MSCI ACWI ex-US Index - 26.86 (0.00) (0.00) 0.00 1841 172.18
*9/30/15 portfolio characteristics generated using most recently available holdings (7/31/15) modified based on a "buy-and-hold" assumption (repriced and adjusted for corporate actions). Analysis is then done using current market and company financial data.
Mendocino County Employees’ Retirement Association 78 EuroPacific Period Ended September 30, 2015
Investment Philosophy Capital Group’s approach to non-U.S. investing is research-driven. Their bottom-up fundamental approach is blended with macroeconomic and political judgments on the outlook for economies, industries, currencies and markets. The fund uses a "multiple manager" approach where individual portfolio managers, each with different styles, manage separate sleeves of the strategy independently. Sleeves are combined to form the fund. Individual managers are selected so that the aggregate fund adheres to its stated objective of capital appreciation. Switched from Class R-5 Shares to Class R-6 Shares in December 2009.
Quarterly Summary and Highlights Quarterly Asset Growth EuroPacific’s portfolio posted a (9.81)% return for the Beginning Market Value $21,826,245 quarter placing it in the 44 percentile of the CAI MF - Net New Investment $1,900,000 Non-US Equity Style group for the quarter and in the 30 percentile for the last year. Investment Gains/(Losses) $-2,100,158 EuroPacific’s portfolio outperformed the MSCI ACWI ex US Ending Market Value $21,626,087 Index by 2.29% for the quarter and outperformed the MSCI ACWI ex US Index for the year by 6.85%.
Performance vs CAI MF - Non-US Equity Style (Net)
15%
10% (30) 5% (22) (11) (41) (63) (54) (96) (88) 0% (21) (77) (5%) (30)
(10%) (44) (80) (90) (15%)
(20%) Last Quarter Last Last 2 Years Last 3 Years Last 5 Years Last 7 Years Last 10 Years Year 10th Percentile (7.32) (1.32) 2.30 8.33 6.75 6.51 5.46 25th Percentile (8.55) (4.18) (0.18) 6.76 5.47 5.46 4.53 Median (10.02) (6.42) (1.34) 5.50 3.83 4.48 3.55 75th Percentile (11.48) (9.41) (3.21) 4.10 3.06 3.00 2.65 90th Percentile (13.23) (12.07) (5.05) 3.28 2.20 2.18 1.71 EuroPacific (9.81) (4.93) 0.85 6.35 4.55 5.57 5.35 MSCI ACWI ex US Index (12.10) (11.78) (3.65) 2.78 2.27 3.66 3.49
CAI MF - Non-US Equity Style (Net) Relative Return vs MSCI ACWI ex US Index Annualized Five Year Risk vs Return
4% 12%
10% 3% 8% 2% 6% EuroPacific 1% 4% MSCI ACWI ex US Index 0% 2% Returns 0%
Relative Returns (1%) (2%) (2%) (4%)
(3%) (6%) 10 2011 2012 2013 2014 2015 8 10 12 14 16 18 20 Standard Deviation EuroPacific
Mendocino County Employees’ Retirement Association 79 EuroPacific Return Analysis Summary
Return Analysis The graphs below analyze the manager’s return on both a risk-adjusted and unadjusted basis. The first chart illustrates the manager’s ranking over different periods versus the appropriate style group. The second chart shows the historical quarterly and cumulative manager returns versus the appropriate market benchmark. The last two charts illustrate the manager’s ranking relative to their style using various risk-adjusted return measures.
Performance vs CAI MF - Non-US Equity Style (Net)
60% 40% 12 19 30 20% 56 69 44 23 11 78 85 42 56 0% 45 28 22 88 46 46 (20%) (40%) 64 17 (60%) (80%) 12/14- 9/15 2014 2013 2012 2011 2010 2009 2008 2007 2006 10th Percentile 0.22 0.06 27.44 22.93 (7.66) 18.30 47.51 (38.79) 19.72 29.58 25th Percentile (2.00) (2.93) 24.64 21.41 (11.25) 14.01 38.81 (41.13) 16.55 27.68 Median (3.73) (5.58) 21.25 18.80 (13.62) 10.51 31.65 (43.86) 12.33 24.86 75th Percentile (5.93) (6.84) 18.57 16.50 (15.37) 7.32 27.25 (46.67) 8.39 22.46 90th Percentile (8.55) (9.38) 14.31 14.30 (17.43) 5.13 22.69 (49.29) 5.52 19.85 EuroPacific (3.36) (2.29) 20.58 19.64 (13.31) 9.76 39.59 (40.38) 19.22 22.17 MSCI ACWI ex US Index (8.28) (3.44) 15.78 17.39 (13.33) 11.60 42.14 (45.24) 17.12 27.16
Cumulative and Quarterly Relative Return vs MSCI ACWI ex US Index
14% 12% 10% 8% 6% 4% 2%
Relative Returns 0% (2%) (4%) 2010 2011 2012 2013 2014 2015
EuroPacific CAI Non-U.S. Equity MF
Risk Adjusted Return Measures vs MSCI ACWI ex US Index Rankings Against CAI MF - Non-US Equity Style (Net) Five Years Ended September 30, 2015
9 1.6 8 1.4 7 1.2 6 1.0 5 (38) 0.8 (28) (27) 4 0.6 3 (41) 0.4 2 (37) 1 0.2 0 0.0 (1) (0.2) Alpha Treynor Information Sharpe Excess Return Ratio Ratio Ratio Ratio 10th Percentile 4.51 7.21 10th Percentile 1.25 0.46 1.19 25th Percentile 3.24 5.55 25th Percentile 0.93 0.36 0.86 Median 1.71 3.72 Median 0.55 0.24 0.49 75th Percentile 0.85 3.04 75th Percentile 0.20 0.20 0.19 90th Percentile (0.05) 1.94 90th Percentile (0.01) 0.12 (0.02) EuroPacific 2.32 4.64 EuroPacific 0.83 0.30 0.80
Mendocino County Employees’ Retirement Association 80 EuroPacific Equity Characteristics Analysis Summary
Portfolio Characteristics This graph compares the manager’s portfolio characteristics with the range of characteristics for the portfolios which make up the manager’s style group. This analysis illustrates whether the manager’s current holdings are consistent with other managers employing the same style.
Portfolio Characteristics Percentile Rankings Rankings Against CAI MF - Non-US Equity Style as of September 30, 2015
0% 10% (11) (11) (16) 20% 30% (31) (38) 40% (42) 50% 60% (59) (64) (66) (67) (65) 70% 80% Percentile Ranking 90% (92) 100% Weighted Median Price/Fore- Price/Book Forecasted Dividend MSCI Market Cap casted Earnings Earnings Growth Yield Combined Z-Score 10th Percentile 41.45 16.34 2.60 14.48 3.48 0.78 25th Percentile 38.56 15.40 2.21 12.29 3.09 0.59 Median 29.74 13.92 1.83 10.17 2.64 0.21 75th Percentile 21.70 12.30 1.37 8.93 2.24 (0.14) 90th Percentile 12.67 11.68 1.23 7.71 1.93 (0.33) EuroPacific 31.66 15.07 1.97 14.28 1.89 0.76 MSCI AC World ex US USD (Gross) 26.86 12.83 1.50 9.57 3.20 (0.00)
Sector Weights The graph below contrasts the manager’s sector weights with those of the benchmark and median sector weights across the members of the peer group. The magnitude of sector weight differences from the index and the manager’s sector diversification are also shown. Diversification by number and concentration of holdings are also compared to the benchmark and peer group. Issue Diversification represents by count, and Diversification Ratio by percent, the number of holdings that account for half of the portfolio’s market value.
Sector Allocation Diversification September 30, 2015 September 30, 2015
23.5% 350 27.2% Financials 22.7% 300 15.2% Diversification Ratio Consumer Discretionary 11.8% 50% (10) 15.3% Mgr MV 250 Manager 13% 15.0% Information Technology 7.2% Index 9% 9.2% 200 Style Median 31% 13.7% 9.4% Health Care 13.8% 50% Mgr MV 150 10.4% Industrials 11.4% 12.9% 100 9.4% Consumer Staples 10.7% 9.9% Sector Diversification 50 5.0% (22) Telecommunications 5.9% Manager 2.75 sectors 4.1% 0 Index 2.97 sectors Number of Issue 2.8% 6.7% Securities Diversification Materials 6.2% 2.6% 10th Percentile 270 48 3.5% Utilities 1.1% 25th Percentile 128 33 2.5% Median 77 24 Energy 6.2% 75th Percentile 56 19 4.6% 90th Percentile 47 14 0% 5% 10% 15% 20% 25% 30% 35% EuroPacific 272 34 EuroPacific MSCI AC World ex US USD (Gross) MSCI AC World CAI Non-U.S. Equity MF ex US USD (Gross) 1841 172
Mendocino County Employees’ Retirement Association 81 EuroPacific vs MSCI ACWI ex US Index Attribution for Quarter Ended September 30, 2015
International Attribution The first chart below illustrates the return for each country in the index sorted from high to low. The total return for the index is highlighted with a dotted line. The second chart (countries presented in the same order) illustrates the manager’s country allocation decisions relative to the index. To the extent that the manager over-weighted a country that had a higher return than the total return for the index (above the dotted line) it contributes positively to the manager’s country (or currency) selection effect. The last chart details the manager return, the index return, and the attribution factors for the quarter.
Index Beginning Relative Weights Returns by Country (Portfolio - Index)
Local Dollar Currency Index Portfolio Return Return Return Weight Weight Denmark (2.6) 0.2 Denmark 1.2 5.4 Ireland (3.3) 0.2 Ireland 0.3 1.6 Hungary (4.1) 0.8 Hungary 0.0 0.0 Italy (4.4) 0.2 Italy 1.7 0.5 Israel (1.6) (3.9) Israel 0.4 0.0 Finland (5.7) 0.2 Finland 0.6 0.5 France (6.6) 0.2 France 6.9 8.2 Qatar (6.6) (0.0) Qatar 0.2 0.0 Czech Republic (7.1) 0.5 Czech Republic 0.0 0.0 New Zealand (1.3) (5.4) New Zealand 0.1 0.0 United States (6.7) 0.0 United States 0.0 1.6 India (3.9) (3.0) India 1.7 7.6 Switzerland (2.7) (4.4) Switzerland 6.6 6.0 Belgium (8.0) 0.2 Belgium 0.9 0.9 Netherlands (9.0) 0.2 Netherlands 2.0 3.9 Austria (9.0) 0.2 Austria 0.1 0.0 Sweden (8.2) (1.1) Sweden 2.1 1.1 United Kingdom (6.6) (3.7) United Kingdom 14.5 13.4 Philippines (6.9) (3.5) Philippines 0.3 0.2 United Arab Emirates (10.4) 0.0 United Arab Emirates 0.2 0.1 Poland (9.5) (1.1) Poland 0.3 0.0 Germany (11.1) 0.2 Germany 6.4 6.2 Spain (11.2) 0.2 Spain 2.5 3.1 Portugal (11.6) 0.2 Portugal 0.1 0.3 Japan (13.6) 2.2 Japan 16.3 15.5 South Korea (6.3) (5.9) South Korea 3.1 2.6 Mexico (4.9) (7.4) Mexico 1.0 0.2 Total (9.5) (2.8) Total Egypt (10.7) (2.6) Egypt 0.0 0.0 Chile (5.7) (8.3) Chile 0.3 0.0 Canada (7.6) (6.9) Canada 6.6 3.1 Russia (2.6) (12.1) Russia 0.8 0.6 Australia (7.3) (8.6) Australia 4.9 0.7 Hong Kong (16.2) 0.0 Hong Kong 2.3 6.0 Taiwan (10.8) (6.3) Taiwan 2.8 1.8 Thailand (11.4) (6.9) Thailand 0.5 0.3 Malaysia (4.7) (14.2) Malaysia 0.7 0.0 South Africa (7.2) (12.2) South Africa 1.7 1.2 Norway (12.2) (7.8) Norway 0.5 0.1 Singapore (15.1) (5.2) Singapore 1.0 0.0 Turkey (9.0) (11.5) Turkey 0.3 0.0 Peru (21.5) 0.0 Peru 0.1 0.0 China (22.7) 0.0 China 5.4 6.3 Colombia (8.8) (15.8) Colombia 0.1 0.1 Indonesia (16.7) (9.0) Indonesia 0.5 0.2 Brazil (14.8) (22.0) Brazil 1.6 0.6 Greece (35.9) 0.2 Greece 0.1 0.0 (50%) (40%) (30%) (20%) (10%) 0% 10% 20% (8%) (6%) (4%) (2%) 0% 2% 4% 6% 8%
Attribution Factors for Quarter Ended September 30, 2015 5%
1.02% 0.96% 0.32% 0%
(5%)
Percent Return (10%) (9.81%) (12.10%) (15%) Portfolio Index Country Currency Security Return Return Selection Selection Selection
Mendocino County Employees’ Retirement Association 82 Harbor International Period Ended September 30, 2015
Investment Philosophy The Harbor International Fund is sub-advised by Northern Cross, LLC. The investment philosophy focuses on companies with prospects of margin expansion and those that have strong franchise value or asset value. The fund takes a long-term view, expecting to hold a security for 7-10 years. Patient due diligence of companies, countries, and regions are of the utmost importance to the investment process. The team believes this due diligence, in combination with a top down investment theme, provides the best opportunity to invest in truly undervalued companies. The strategy has remained consistent in this philosophy over the past decades of international investment.
Quarterly Summary and Highlights Quarterly Asset Growth Harbor International’s portfolio posted a (12.97)% return for Beginning Market Value $20,566,543 the quarter placing it in the 88 percentile of the CAI MF - Net New Investment $3,400,000 Non-US Equity Style group for the quarter and in the 85 percentile for the last year. Investment Gains/(Losses) $-2,678,405 Harbor International’s portfolio underperformed the MSCI Ending Market Value $21,288,137 ACWI ex US Index by 0.87% for the quarter and outperformed the MSCI ACWI ex US Index for the year by 1.49%.
Performance vs CAI MF - Non-US Equity Style (Net)
15%
10%
5% (11) (63) (63) (55) (54) (96) (93) (88) 0% (77) (5%) (86)
(10%) (85) (90) (80) (88) (15%)
(20%) Last Quarter Last Last 2 Years Last 3 Years Last 5 Years Last 7 Years Last 10 Years Year 10th Percentile (7.32) (1.32) 2.30 8.33 6.75 6.51 5.46 25th Percentile (8.55) (4.18) (0.18) 6.76 5.47 5.46 4.53 Median (10.02) (6.42) (1.34) 5.50 3.83 4.48 3.55 75th Percentile (11.48) (9.41) (3.21) 4.10 3.06 3.00 2.65 90th Percentile (13.23) (12.07) (5.05) 3.28 2.20 2.18 1.71 Harbor International (12.97) (10.29) (4.46) 3.15 3.47 4.13 5.22 MSCI ACWI ex US Index (12.10) (11.78) (3.65) 2.78 2.27 3.66 3.49
CAI MF - Non-US Equity Style (Net) Relative Return vs MSCI ACWI ex US Index Annualized Five Year Risk vs Return
5% 12%
4% 10%
3% 8%
2% 6% Harbor International 1% 4%
0% 2% MSCI ACWI ex US Index Returns (1%) 0% Relative Returns (2%) (2%)
(3%) (4%)
(4%) (6%) 10 2011 2012 2013 2014 2015 8 10 12 14 16 18 20 Standard Deviation Harbor International
Mendocino County Employees’ Retirement Association 83 Harbor International Return Analysis Summary
Return Analysis The graphs below analyze the manager’s return on both a risk-adjusted and unadjusted basis. The first chart illustrates the manager’s ranking over different periods versus the appropriate style group. The second chart shows the historical quarterly and cumulative manager returns versus the appropriate market benchmark. The last two charts illustrate the manager’s ranking relative to their style using various risk-adjusted return measures.
Performance vs CAI MF - Non-US Equity Style (Net)
60% 12 40% 26 5 29 7 30 20% 85 83 69 42 41 23 0% 28 88 78 74 46 24 (20%) (40%) 64 38 (60%) (80%) 12/14- 9/15 2014 2013 2012 2011 2010 2009 2008 2007 2006 10th Percentile 0.22 0.06 27.44 22.93 (7.66) 18.30 47.51 (38.79) 19.72 29.58 25th Percentile (2.00) (2.93) 24.64 21.41 (11.25) 14.01 38.81 (41.13) 16.55 27.68 Median (3.73) (5.58) 21.25 18.80 (13.62) 10.51 31.65 (43.86) 12.33 24.86 75th Percentile (5.93) (6.84) 18.57 16.50 (15.37) 7.32 27.25 (46.67) 8.39 22.46 90th Percentile (8.55) (9.38) 14.31 14.30 (17.43) 5.13 22.69 (49.29) 5.52 19.85 Harbor International (6.50) (6.81) 16.84 20.87 (11.13) 11.98 38.57 (42.66) 21.82 32.69 MSCI ACWI ex US Index (8.28) (3.44) 15.78 17.39 (13.33) 11.60 42.14 (45.24) 17.12 27.16
Cumulative and Quarterly Relative Return vs MSCI ACWI ex US Index
12% 10% 8% 6% 4% 2% 0%
Relative Returns (2%) (4%) (6%) 2010 2011 2012 2013 2014 2015
Harbor International CAI Non-U.S. Equity MF
Risk Adjusted Return Measures vs MSCI ACWI ex US Index Rankings Against CAI MF - Non-US Equity Style (Net) Five Years Ended September 30, 2015
9 1.6 8 1.4 7 1.2 6 5 1.0 4 0.8 3 (75) 0.6 2 0.4 (60) 1 (65) (58) 0.2 (74) 0 (1) 0.0 Alpha Treynor (0.2) Ratio Information Sharpe Excess Return Ratio Ratio Ratio 10th Percentile 4.51 7.21 25th Percentile 3.24 5.55 10th Percentile 1.25 0.46 1.19 Median 1.71 3.72 25th Percentile 0.93 0.36 0.86 75th Percentile 0.85 3.04 Median 0.55 0.24 0.49 90th Percentile (0.05) 1.94 75th Percentile 0.20 0.20 0.19 90th Percentile (0.01) 0.12 (0.02) Harbor International 1.13 3.04 Harbor International 0.36 0.20 0.33
Mendocino County Employees’ Retirement Association 84 Harbor International Equity Characteristics Analysis Summary
Portfolio Characteristics This graph compares the manager’s portfolio characteristics with the range of characteristics for the portfolios which make up the manager’s style group. This analysis illustrates whether the manager’s current holdings are consistent with other managers employing the same style.
Portfolio Characteristics Percentile Rankings Rankings Against CAI MF - Non-US Equity Style as of September 30, 2015
0% 10% (15) (16) 20% 30% (34) 40% (44) (41) 50% (51) 60% (59) (64) (66) (67) (65) 70% 80% (80) Percentile Ranking 90% 100% Weighted Median Price/Fore- Price/Book Forecasted Dividend MSCI Market Cap casted Earnings Earnings Growth Yield Combined Z-Score 10th Percentile 41.45 16.34 2.60 14.48 3.48 0.78 25th Percentile 38.56 15.40 2.21 12.29 3.09 0.59 Median 29.74 13.92 1.83 10.17 2.64 0.21 75th Percentile 21.70 12.30 1.37 8.93 2.24 (0.14) 90th Percentile 12.67 11.68 1.23 7.71 1.93 (0.33) Harbor International 40.41 14.93 1.92 8.83 2.59 0.35 MSCI AC World ex US USD (Gross) 26.86 12.83 1.50 9.57 3.20 (0.00)
Sector Weights The graph below contrasts the manager’s sector weights with those of the benchmark and median sector weights across the members of the peer group. The magnitude of sector weight differences from the index and the manager’s sector diversification are also shown. Diversification by number and concentration of holdings are also compared to the benchmark and peer group. Issue Diversification represents by count, and Diversification Ratio by percent, the number of holdings that account for half of the portfolio’s market value.
Sector Allocation Diversification September 30, 2015 September 30, 2015
23.0% 350 27.2% Financials 22.7% 300 18.4%
9.4% 50% Diversification Ratio
Health Care Mgr MV 13.8% 250 Manager 28% 16.3% Consumer Staples 10.7% Index 9% 9.9% 200 Style Median 31% 14.3% 11.8% Consumer Discretionary 15.3% 50% Mgr MV 150 13.6% Industrials 11.4% 12.9% 100 8.3% Materials 6.7% (63) 6.2% Sector Diversification 50 4.4% (71) Information Technology 7.2% Manager 2.53 sectors 9.2% 0 Index 2.97 sectors Number of Issue 1.7% 6.2% Securities Diversification Energy 4.6% 10th Percentile 270 48 5.9% Telecommunications 4.1% 25th Percentile 128 33 Median 77 24 Utilities 3.5% 75th Percentile 56 19 1.1% 90th Percentile 47 14 0% 5% 10% 15% 20% 25% 30% 35% Harbor International 69 19 Harbor International MSCI AC World ex US USD (Gross) MSCI AC World CAI Non-U.S. Equity MF ex US USD (Gross) 1841 172
Mendocino County Employees’ Retirement Association 85 Harbor International vs MSCI ACWI ex US Index Attribution for Quarter Ended September 30, 2015
International Attribution The first chart below illustrates the return for each country in the index sorted from high to low. The total return for the index is highlighted with a dotted line. The second chart (countries presented in the same order) illustrates the manager’s country allocation decisions relative to the index. To the extent that the manager over-weighted a country that had a higher return than the total return for the index (above the dotted line) it contributes positively to the manager’s country (or currency) selection effect. The last chart details the manager return, the index return, and the attribution factors for the quarter.
Index Beginning Relative Weights Returns by Country (Portfolio - Index)
Local Dollar Currency Index Portfolio Return Return Return Weight Weight Denmark (2.6) 0.2 Denmark 1.2 3.3 Ireland (3.3) 0.2 Ireland 0.3 0.0 Hungary (4.1) 0.8 Hungary 0.0 0.0 Italy (4.4) 0.2 Italy 1.7 0.0 Israel (1.6) (3.9) Israel 0.4 0.0 Finland (5.7) 0.2 Finland 0.6 0.0 France (6.6) 0.2 France 6.9 19.4 Qatar (6.6) (0.0) Qatar 0.2 0.0 Czech Republic (7.1) 0.5 Czech Republic 0.0 0.0 New Zealand (1.3) (5.4) New Zealand 0.1 0.0 United States (6.7) 0.0 United States 0.0 5.2 India (3.9) (3.0) India 1.7 0.0 Switzerland (2.7) (4.4) Switzerland 6.6 17.9 Belgium (8.0) 0.2 Belgium 0.9 2.1 Netherlands (9.0) 0.2 Netherlands 2.0 1.7 Austria (9.0) 0.2 Austria 0.1 1.2 Sweden (8.2) (1.1) Sweden 2.1 5.6 United Kingdom (6.6) (3.7) United Kingdom 14.5 13.3 Philippines (6.9) (3.5) Philippines 0.3 0.0 United Arab Emirates (10.4) 0.0 United Arab Emirates 0.2 0.0 Poland (9.5) (1.1) Poland 0.3 0.0 Germany (11.1) 0.2 Germany 6.4 10.7 Spain (11.2) 0.2 Spain 2.5 3.7 Portugal (11.6) 0.2 Portugal 0.1 0.0 Japan (13.6) 2.2 Japan 16.3 10.7 South Korea (6.3) (5.9) South Korea 3.1 0.0 Mexico (4.9) (7.4) Mexico 1.0 0.0 Total (9.5) (2.8) Total Egypt (10.7) (2.6) Egypt 0.0 0.0 Chile (5.7) (8.3) Chile 0.3 0.0 Canada (7.6) (6.9) Canada 6.6 0.3 Russia (2.6) (12.1) Russia 0.8 0.0 Australia (7.3) (8.6) Australia 4.9 0.0 Hong Kong (16.2) 0.0 Hong Kong 2.3 0.0 Taiwan (10.8) (6.3) Taiwan 2.8 0.0 Thailand (11.4) (6.9) Thailand 0.5 0.0 Malaysia (4.7) (14.2) Malaysia 0.7 0.4 South Africa (7.2) (12.2) South Africa 1.7 0.0 Norway (12.2) (7.8) Norway 0.5 0.0 Singapore (15.1) (5.2) Singapore 1.0 0.2 Turkey (9.0) (11.5) Turkey 0.3 0.0 Peru (21.5) 0.0 Peru 0.1 0.0 China (22.7) 0.0 China 5.4 1.8 Colombia (8.8) (15.8) Colombia 0.1 1.4 Indonesia (16.7) (9.0) Indonesia 0.5 0.0 Brazil (14.8) (22.0) Brazil 1.6 1.2 Greece (35.9) 0.2 Greece 0.1 0.0 (50%) (40%) (30%) (20%) (10%) 0% 10% 20% (10%) (5%) 0% 5% 10% 15% 20%
Attribution Factors for Quarter Ended September 30, 2015 5% 1.79% 1.15% 0%
(5%) (3.82%)
(10%)
Percent Return (12.10%) (15%) (12.97%)
(20%) Portfolio Index Country Currency Security Return Return Selection Selection Selection
Mendocino County Employees’ Retirement Association 86 Columbia Acorn International Period Ended September 30, 2015
Investment Philosophy Non-U.S. Equity Style mutual funds invest in only non-U.S. equity securities. This style group excludes regional and index funds. Switched from Class Z shares to Class Y shares in February 2014.
Quarterly Summary and Highlights Quarterly Asset Growth Columbia Acorn International’s portfolio posted a (10.01)% Beginning Market Value $11,196,474 return for the quarter placing it in the 50 percentile of the CAI Net New Investment $500,000 MF - Non-US Equity Style group for the quarter and in the 56 percentile for the last year. Investment Gains/(Losses) $-1,113,596 Columbia Acorn International’s portfolio outperformed the Ending Market Value $10,582,878 MSCI ACWI ex US Index by 2.09% for the quarter and outperformed the MSCI ACWI ex US Index for the year by 4.02%.
Performance vs CAI MF - Non-US Equity Style (Net)
15%
10% (7) (4) 5% (58) (38) (63) (54) (96) (88) 0% (57) (77) (5%) (56) (10%) (50) (80) (90) (15%)
(20%) Last Quarter Last Last 2 Years Last 3 Years Last 5 Years Last 7 Years Last 10 Years Year 10th Percentile (7.32) (1.32) 2.30 8.33 6.75 6.51 5.46 25th Percentile (8.55) (4.18) (0.18) 6.76 5.47 5.46 4.53 Median (10.02) (6.42) (1.34) 5.50 3.83 4.48 3.55 75th Percentile (11.48) (9.41) (3.21) 4.10 3.06 3.00 2.65 90th Percentile (13.23) (12.07) (5.05) 3.28 2.20 2.18 1.71 Columbia Acorn International (10.01) (7.76) (1.90) 4.97 4.71 7.60 6.72 MSCI ACWI ex US Index (12.10) (11.78) (3.65) 2.78 2.27 3.66 3.49
CAI MF - Non-US Equity Style (Net) Relative Return vs MSCI ACWI ex US Index Annualized Five Year Risk vs Return
5% 12%
4% 10%
8% 3% Columbia Acorn International 6% 2% 4% 1% 2% MSCI ACWI ex US Index 0% Returns 0% Relative Returns (1%) (2%)
(2%) (4%)
(3%) (6%) 10 2011 2012 2013 2014 2015 8 10 12 14 16 18 20 Standard Deviation Columbia Acorn International
Mendocino County Employees’ Retirement Association 87 Columbia Acorn International Return Analysis Summary
Return Analysis The graphs below analyze the manager’s return on both a risk-adjusted and unadjusted basis. The first chart illustrates the manager’s ranking over different periods versus the appropriate style group. The second chart shows the historical quarterly and cumulative manager returns versus the appropriate market benchmark. The last two charts illustrate the manager’s ranking relative to their style using various risk-adjusted return measures.
Performance vs CAI MF - Non-US Equity Style (Net)
80% 60% 7 40% 12 1 40 21 5 30 20% 85 69 42 23 21 0% 28 31 88 65 46 (20%) 58 (40%) 64 70 (60%) (80%) 12/14- 9/15 2014 2013 2012 2011 2010 2009 2008 2007 2006 10th Percentile 0.22 0.06 27.44 22.93 (7.66) 18.30 47.51 (38.79) 19.72 29.58 25th Percentile (2.00) (2.93) 24.64 21.41 (11.25) 14.01 38.81 (41.13) 16.55 27.68 Median (3.73) (5.58) 21.25 18.80 (13.62) 10.51 31.65 (43.86) 12.33 24.86 75th Percentile (5.93) (6.84) 18.57 16.50 (15.37) 7.32 27.25 (46.67) 8.39 22.46 90th Percentile (8.55) (9.38) 14.31 14.30 (17.43) 5.13 22.69 (49.29) 5.52 19.85 Columbia Acorn International (5.29) (4.23) 22.33 21.60 (14.06) 22.70 50.97 (45.89) 17.28 34.53 MSCI ACWI ex US Index (8.28) (3.44) 15.78 17.39 (13.33) 11.60 42.14 (45.24) 17.12 27.16
Cumulative and Quarterly Relative Return vs MSCI ACWI ex US Index
16% 14% 12% 10% 8% 6% 4% 2%
Relative Returns 0% (2%) (4%) 2010 2011 2012 2013 2014 2015
Columbia Acorn International CAI Non-U.S. Equity MF
Risk Adjusted Return Measures vs MSCI ACWI ex US Index Rankings Against CAI MF - Non-US Equity Style (Net) Five Years Ended September 30, 2015
9 1.6 8 1.4 7 1.2 6 1.0 5 (33) 0.8 4 (38) (34) 0.6 3 (37) 2 0.4 (34) 1 0.2 0 0.0 (1) (0.2) Alpha Treynor Information Sharpe Excess Return Ratio Ratio Ratio Ratio 10th Percentile 4.51 7.21 10th Percentile 1.25 0.46 1.19 25th Percentile 3.24 5.55 25th Percentile 0.93 0.36 0.86 Median 1.71 3.72 Median 0.55 0.24 0.49 75th Percentile 0.85 3.04 75th Percentile 0.20 0.20 0.19 90th Percentile (0.05) 1.94 90th Percentile (0.01) 0.12 (0.02) Columbia Acorn Columbia Acorn International 2.48 4.83 International 0.70 0.31 0.68
Mendocino County Employees’ Retirement Association 88 Columbia Acorn International Equity Characteristics Analysis Summary
Portfolio Characteristics This graph compares the manager’s portfolio characteristics with the range of characteristics for the portfolios which make up the manager’s style group. This analysis illustrates whether the manager’s current holdings are consistent with other managers employing the same style.
Portfolio Characteristics Percentile Rankings Rankings Against CAI MF - Non-US Equity Style as of September 30, 2015
0% (7) 10% (15) (14) (16) 20% 30% (32) 40% 50% 60% (59) (64) (66) (67) (65) (65) 70% 80% Percentile Ranking 90% (95) 100% Weighted Median Price/Fore- Price/Book Forecasted Dividend MSCI Market Cap casted Earnings Earnings Growth Yield Combined Z-Score 10th Percentile 41.45 16.34 2.60 14.48 3.48 0.78 25th Percentile 38.56 15.40 2.21 12.29 3.09 0.59 Median 29.74 13.92 1.83 10.17 2.64 0.21 75th Percentile 21.70 12.30 1.37 8.93 2.24 (0.14) 90th Percentile 12.67 11.68 1.23 7.71 1.93 (0.33) Columbia Acorn International 3.17 16.59 2.42 13.35 2.48 0.47 MSCI AC World ex US USD (Gross) 26.86 12.83 1.50 9.57 3.20 (0.00)
Sector Weights The graph below contrasts the manager’s sector weights with those of the benchmark and median sector weights across the members of the peer group. The magnitude of sector weight differences from the index and the manager’s sector diversification are also shown. Diversification by number and concentration of holdings are also compared to the benchmark and peer group. Issue Diversification represents by count, and Diversification Ratio by percent, the number of holdings that account for half of the portfolio’s market value.
Sector Allocation Diversification September 30, 2015 September 30, 2015
26.8% 350 Industrials 11.4% 12.9% 300 17.4%
11.8% 50% Diversification Ratio
Consumer Discretionary Mgr MV 15.3% 250 Manager 29% 15.1% Financials 27.2% (12) Index 9% 22.7% 200 Style Median 31% 12.3% 7.2% Information Technology 50% 150
9.2% Mgr MV 9.0% 10.7% 100 Consumer Staples 9.9% 7.3% (6) Health Care 9.4% 50 13.8% Sector Diversification 6.5% 6.7% Manager 2.39 sectors 0 Materials 6.2% Number of Issue Index 2.97 sectors Securities Diversification 2.3% Energy 6.2% 4.6% 10th Percentile 270 48 2.2% 25th Percentile 128 33 5.9% Telecommunications 4.1% Median 77 24 1.2% 75th Percentile 56 19 3.5% 90th Percentile 47 14 Utilities 1.1% Columbia Acorn 0% 5% 10% 15% 20% 25% 30% 35% International 212 62 Columbia Acorn International MSCI AC World MSCI AC World ex US USD (Gross) CAI Non-U.S. Equity MF ex US USD (Gross) 1841 172
Mendocino County Employees’ Retirement Association 89 Columbia Acorn International vs MSCI ACWI ex US Index Attribution for Quarter Ended September 30, 2015
International Attribution The first chart below illustrates the return for each country in the index sorted from high to low. The total return for the index is highlighted with a dotted line. The second chart (countries presented in the same order) illustrates the manager’s country allocation decisions relative to the index. To the extent that the manager over-weighted a country that had a higher return than the total return for the index (above the dotted line) it contributes positively to the manager’s country (or currency) selection effect. The last chart details the manager return, the index return, and the attribution factors for the quarter.
Index Beginning Relative Weights Returns by Country (Portfolio - Index)
Local Dollar Currency Index Portfolio Return Return Return Weight Weight Denmark (2.6) 0.2 Denmark 1.2 2.6 Ireland (3.3) 0.2 Ireland 0.3 0.0 Hungary (4.1) 0.8 Hungary 0.0 0.0 Italy (4.4) 0.2 Italy 1.7 0.4 Israel (1.6) (3.9) Israel 0.4 0.7 Finland (5.7) 0.2 Finland 0.6 1.2 France (6.6) 0.2 France 6.9 2.2 Qatar (6.6) (0.0) Qatar 0.2 0.0 Czech Republic (7.1) 0.5 Czech Republic 0.0 0.0 New Zealand (1.3) (5.4) New Zealand 0.1 1.1 United States (6.7) 0.0 United States 0.0 1.0 India (3.9) (3.0) India 1.7 3.0 Switzerland (2.7) (4.4) Switzerland 6.6 1.7 Belgium (8.0) 0.2 Belgium 0.9 0.2 Netherlands (9.0) 0.2 Netherlands 2.0 2.4 Austria (9.0) 0.2 Austria 0.1 0.0 Sweden (8.2) (1.1) Sweden 2.1 3.6 United Kingdom (6.6) (3.7) United Kingdom 14.5 9.1 Philippines (6.9) (3.5) Philippines 0.3 1.2 United Arab Emirates (10.4) 0.0 United Arab Emirates 0.2 0.0 Poland (9.5) (1.1) Poland 0.3 0.0 Germany (11.1) 0.2 Germany 6.4 3.4 Spain (11.2) 0.2 Spain 2.5 2.2 Portugal (11.6) 0.2 Portugal 0.1 0.0 Japan (13.6) 2.2 Japan 16.3 22.8 South Korea (6.3) (5.9) South Korea 3.1 4.0 Mexico (4.9) (7.4) Mexico 1.0 0.8 Total (9.5) (2.8) Total Egypt (10.7) (2.6) Egypt 0.0 0.6 Chile (5.7) (8.3) Chile 0.3 0.2 Canada (7.6) (6.9) Canada 6.6 5.0 Cambodia (9.2) (5.4) Cambodia 0.0 0.6 Russia (2.6) (12.1) Russia 0.8 0.0 Australia (7.3) (8.6) Australia 4.9 3.6 Hong Kong (16.2) 0.0 Hong Kong 2.3 2.7 Taiwan (10.8) (6.3) Taiwan 2.8 5.9 Thailand (11.4) (6.9) Thailand 0.5 1.1 Malaysia (4.7) (14.2) Malaysia 0.7 0.5 South Africa (7.2) (12.2) South Africa 1.7 3.0 Norway (12.2) (7.8) Norway 0.5 0.7 Singapore (15.1) (5.2) Singapore 1.0 3.6 Turkey (9.0) (11.5) Turkey 0.3 0.0 Peru (21.5) 0.0 Peru 0.1 0.0 Bermuda (13.8) (9.2) Bermuda 0.0 0.3 Panama (13.8) (9.2) Panama 0.0 0.4 China (22.7) 0.0 China 5.4 4.4 Colombia (8.8) (15.8) Colombia 0.1 0.3 Indonesia (16.7) (9.0) Indonesia 0.5 1.7 Brazil (14.8) (22.0) Brazil 1.6 1.1 Greece (35.9) 0.2 Greece 0.1 0.0 Kazakhstan (36.7) 0.0 Kazakhstan 0.0 0.6 (50%) (40%) (30%) (20%) (10%) 0% 10% 20% (10%) (5%) 0% 5% 10%
Attribution Factors for Quarter Ended September 30, 2015 10%
5% 2.41%
0% (0.31%) (0.01%) (5%) Percent Return (10%) (10.01%) (12.10%) (15%) Portfolio Index Country Currency Security Return Return Selection Selection Selection
Mendocino County Employees’ Retirement Association 90 Oakmark International Period Ended September 30, 2015
Investment Philosophy Harris Associates are value investors. They seek to invest in companies that trade at a substantial discount to their underlying business values and run by managers who think and act as owners. They believe that purchasing a quality business at a discount to its underlying value minimizes risk while providing substantial profit potential. Over time, they believe the price of a stock will rise to reflect the company’s underlying business value; in practice, their investment time horizon is generally three to five years. They are concentrated investors, building focused portfolios that provide diversification but are concentrated enough so that their best ideas can make a meaningful impact on investment performance. They believe they can add value through their stock selection capabilities and low correlation to international indices and peers. Harris believes their greatest competitive advantage is their long-term investment horizon, exploiting the mispricing of securities caused by what they believe is the short-term focus of many market participants.
Quarterly Summary and Highlights Quarterly Asset Growth Oakmark International’s portfolio posted a (13.18)% return Beginning Market Value $16,061,266 for the quarter placing it in the 89 percentile of the CAI MF - Net New Investment $7,300,000 Non-US Equity Style group for the quarter and in the 68 percentile for the last year. Investment Gains/(Losses) $-2,133,853 Oakmark International’s portfolio underperformed the MSCI Ending Market Value $21,227,412 ACWI ex US Index by 1.08% for the quarter and outperformed the MSCI ACWI ex US Index for the year by 2.79%.
Performance vs CAI MF - Non-US Equity Style (Net)
15% 10% (10) (4) 5% (17) (7) (96) (88) (63) (54) 0% (5%) (77) (89) (10%) (68) (80) (89) (90) (15%) (20%) Last Quarter Last Last 2 Years Last 3 Years Last 5 Years Last 7 Years Last 10 Years Year 10th Percentile (7.32) (1.32) 2.30 8.33 6.75 6.51 5.46 25th Percentile (8.55) (4.18) (0.18) 6.76 5.47 5.46 4.53 Median (10.02) (6.42) (1.34) 5.50 3.83 4.48 3.55 75th Percentile (11.48) (9.41) (3.21) 4.10 3.06 3.00 2.65 90th Percentile (13.23) (12.07) (5.05) 3.28 2.20 2.18 1.71 Oakmark International (13.18) (8.98) (4.90) 8.38 5.98 8.53 5.88 MSCI ACWI ex US Index (12.10) (11.78) (3.65) 2.78 2.27 3.66 3.49
CAI MF - Non-US Equity Style (Net) Relative Return vs MSCI ACWI ex US Index Annualized Five Year Risk vs Return
10% 12%
8% 10%
8% 6% 6% Oakmark International 4% 4% 2% 2% MSCI ACWI ex US Index 0% Returns 0% Relative Returns (2%) (2%)
(4%) (4%)
(6%) (6%) 10 2011 2012 2013 2014 2015 8 10 12 14 16 18 20 Standard Deviation Oakmark International
Mendocino County Employees’ Retirement Association 91 Oakmark International Return Analysis Summary
Return Analysis The graphs below analyze the manager’s return on both a risk-adjusted and unadjusted basis. The first chart illustrates the manager’s ranking over different periods versus the appropriate style group. The second chart shows the historical quarterly and cumulative manager returns versus the appropriate market benchmark. The last two charts illustrate the manager’s ranking relative to their style using various risk-adjusted return measures.
Performance vs CAI MF - Non-US Equity Style (Net)
80% 60% 2 40% 12 7 1 30 8 20% 85 69 42 13 23 0% 28 97 88 90 46 46 (20%) 60 (40%) 64 24 (60%) (80%) 12/14- 9/15 2014 2013 2012 2011 2010 2009 2008 2007 2006 10th Percentile 0.22 0.06 27.44 22.93 (7.66) 18.30 47.51 (38.79) 19.72 29.58 25th Percentile (2.00) (2.93) 24.64 21.41 (11.25) 14.01 38.81 (41.13) 16.55 27.68 Median (3.73) (5.58) 21.25 18.80 (13.62) 10.51 31.65 (43.86) 12.33 24.86 75th Percentile (5.93) (6.84) 18.57 16.50 (15.37) 7.32 27.25 (46.67) 8.39 22.46 90th Percentile (8.55) (9.38) 14.31 14.30 (17.43) 5.13 22.69 (49.29) 5.52 19.85 Oakmark International (8.57) (5.41) 29.34 29.22 (14.07) 16.22 56.30 (41.06) (0.52) 30.61 MSCI ACWI ex US Index (8.28) (3.44) 15.78 17.39 (13.33) 11.60 42.14 (45.24) 17.12 27.16
Cumulative and Quarterly Relative Return vs MSCI ACWI ex US Index
30%
25%
20%
15%
10%
5%
0% Relative Returns
(5%)
(10%) 2010 2011 2012 2013 2014 2015
Oakmark International CAI Non-U.S. Equity MF
Risk Adjusted Return Measures vs MSCI ACWI ex US Index Rankings Against CAI MF - Non-US Equity Style (Net) Five Years Ended September 30, 2015
9 1.6 8 1.4 7 1.2 6 (28) 1.0 5 0.8 4 (18) (43) 3 0.6 (42) 2 0.4 (31) 1 0.2 0 0.0 (1) (0.2) Alpha Treynor Information Sharpe Excess Return Ratio Ratio Ratio Ratio 10th Percentile 4.51 7.21 10th Percentile 1.25 0.46 1.19 25th Percentile 3.24 5.55 25th Percentile 0.93 0.36 0.86 Median 1.71 3.72 Median 0.55 0.24 0.49 75th Percentile 0.85 3.04 75th Percentile 0.20 0.20 0.19 90th Percentile (0.05) 1.94 90th Percentile (0.01) 0.12 (0.02) Oakmark Oakmark International 3.68 5.23 International 0.61 0.32 0.58
Mendocino County Employees’ Retirement Association 92 Oakmark International Equity Characteristics Analysis Summary
Portfolio Characteristics This graph compares the manager’s portfolio characteristics with the range of characteristics for the portfolios which make up the manager’s style group. This analysis illustrates whether the manager’s current holdings are consistent with other managers employing the same style.
Portfolio Characteristics Percentile Rankings Rankings Against CAI MF - Non-US Equity Style as of September 30, 2015
0% 10% (16) 20% 30% 40% (43) (40) 50% 60% (59) (61) (64) (66) (67) (65) 70% (73) 80% (80) Percentile Ranking 90% (94) 100% Weighted Median Price/Fore- Price/Book Forecasted Dividend MSCI Market Cap casted Earnings Earnings Growth Yield Combined Z-Score 10th Percentile 41.45 16.34 2.60 14.48 3.48 0.78 25th Percentile 38.56 15.40 2.21 12.29 3.09 0.59 Median 29.74 13.92 1.83 10.17 2.64 0.21 75th Percentile 21.70 12.30 1.37 8.93 2.24 (0.14) 90th Percentile 12.67 11.68 1.23 7.71 1.93 (0.33) Oakmark International 31.57 11.33 1.37 9.43 2.82 (0.15) MSCI AC World ex US USD (Gross) 26.86 12.83 1.50 9.57 3.20 (0.00)
Sector Weights The graph below contrasts the manager’s sector weights with those of the benchmark and median sector weights across the members of the peer group. The magnitude of sector weight differences from the index and the manager’s sector diversification are also shown. Diversification by number and concentration of holdings are also compared to the benchmark and peer group. Issue Diversification represents by count, and Diversification Ratio by percent, the number of holdings that account for half of the portfolio’s market value.
Sector Allocation Diversification September 30, 2015 September 30, 2015
29.7% 350
Financials 27.2% 50% 22.7% Mgr MV 300 29.4% Consumer Discretionary 11.8% Diversification Ratio 15.3% 250 Manager 25% 18.7% 11.4% Index 9% Industrials 12.9% 50% 200 Mgr MV Style Median 31% 8.5% 7.2% Information Technology 9.2% 150 6.7% 10.7% 100 Consumer Staples 9.9% 6.1% (69) Materials 6.7% 50 6.2% Sector Diversification 0.9% (87) 9.4% Manager 1.69 sectors 0 Health Care 13.8% Number of Issue Index 2.97 sectors Securities Diversification Energy 6.2% 4.6% 10th Percentile 270 48 25th Percentile 128 33 5.9% Telecommunications 4.1% Median 77 24 75th Percentile 56 19 3.5% 90th Percentile 47 14 Utilities 1.1% Oakmark 0% 5% 10% 15% 20% 25% 30% 35% 40% International 60 15 Oakmark International MSCI AC World ex US USD (Gross) MSCI AC World CAI Non-U.S. Equity MF ex US USD (Gross) 1841 172
Mendocino County Employees’ Retirement Association 93 Oakmark International vs MSCI ACWI ex US Index Attribution for Quarter Ended September 30, 2015
International Attribution The first chart below illustrates the return for each country in the index sorted from high to low. The total return for the index is highlighted with a dotted line. The second chart (countries presented in the same order) illustrates the manager’s country allocation decisions relative to the index. To the extent that the manager over-weighted a country that had a higher return than the total return for the index (above the dotted line) it contributes positively to the manager’s country (or currency) selection effect. The last chart details the manager return, the index return, and the attribution factors for the quarter.
Index Beginning Relative Weights Returns by Country (Portfolio - Index)
Local Dollar Currency Index Portfolio Return Return Return Weight Weight Denmark (2.6) 0.2 Denmark 1.2 0.0 Ireland (3.3) 0.2 Ireland 0.3 0.0 Hungary (4.1) 0.8 Hungary 0.0 0.0 Italy (4.4) 0.2 Italy 1.7 5.1 Israel (1.6) (3.9) Israel 0.4 0.2 Finland (5.7) 0.2 Finland 0.6 0.0 France (6.6) 0.2 France 6.9 19.6 Qatar (6.6) (0.0) Qatar 0.2 0.0 Czech Republic (7.1) 0.5 Czech Republic 0.0 0.0 New Zealand (1.3) (5.4) New Zealand 0.1 0.0 United States (6.7) 0.0 United States 0.0 4.3 India (3.9) (3.0) India 1.7 0.0 Switzerland (2.7) (4.4) Switzerland 6.6 14.3 Belgium (8.0) 0.2 Belgium 0.9 0.0 Netherlands (9.0) 0.2 Netherlands 2.0 4.7 Austria (9.0) 0.2 Austria 0.1 0.0 Sweden (8.2) (1.1) Sweden 2.1 3.7 United Kingdom (6.6) (3.7) United Kingdom 14.5 0.0 Philippines (6.9) (3.5) Philippines 0.3 0.0 United Arab Emirates (10.4) 0.0 United Arab Emirates 0.2 0.0 Poland (9.5) (1.1) Poland 0.3 0.0 Germany (11.1) 0.2 Germany 6.4 15.1 Spain (11.2) 0.2 Spain 2.5 0.0 Portugal (11.6) 0.2 Portugal 0.1 0.0 Japan (13.6) 2.2 Japan 16.3 19.5 South Korea (6.3) (5.9) South Korea 3.1 4.5 Mexico (4.9) (7.4) Mexico 1.0 0.0 Total (9.5) (2.8) Total Egypt (10.7) (2.6) Egypt 0.0 0.0 Chile (5.7) (8.3) Chile 0.3 0.0 Canada (7.6) (6.9) Canada 6.6 0.0 Russia (2.6) (12.1) Russia 0.8 0.0 Australia (7.3) (8.6) Australia 4.9 4.7 Hong Kong (16.2) 0.0 Hong Kong 2.3 4.5 Taiwan (10.8) (6.3) Taiwan 2.8 0.0 Thailand (11.4) (6.9) Thailand 0.5 0.0 Malaysia (4.7) (14.2) Malaysia 0.7 0.0 South Africa (7.2) (12.2) South Africa 1.7 0.0 Norway (12.2) (7.8) Norway 0.5 0.0 Singapore (15.1) (5.2) Singapore 1.0 0.0 Turkey (9.0) (11.5) Turkey 0.3 0.0 Peru (21.5) 0.0 Peru 0.1 0.0 China (22.7) 0.0 China 5.4 0.0 Colombia (8.8) (15.8) Colombia 0.1 0.0 Indonesia (16.7) (9.0) Indonesia 0.5 0.0 Brazil (14.8) (22.0) Brazil 1.6 0.0 Greece (35.9) 0.2 Greece 0.1 0.0 (50%) (40%) (30%) (20%) (10%) 0% 10% 20% (20%) (15%) (10%) (5%) 0% 5% 10% 15% 20%
Attribution Factors for Quarter Ended September 30, 2015 5% 1.79% 1.00% 0%
(5%) (3.87%)
(10%)
Percent Return (12.10%) (15%) (13.18%)
(20%) Portfolio Index Country Currency Security Return Return Selection Selection Selection
Mendocino County Employees’ Retirement Association 94 Mondrian International Period Ended September 30, 2015
Investment Philosophy Mondrian’s value driven investment philosophy is based on the belief that investments need to be evaluated in terms of their fundamental long-term value. In the management of international equity assets, they invest in securities where rigorous dividend discount analysis identifies value in terms of the long term flow of income. Mondrian’s’s management fee is 77 bps on all assets.
Quarterly Summary and Highlights Quarterly Asset Growth Mondrian International’s portfolio posted a (11.18)% return Beginning Market Value $21,110,219 for the quarter placing it in the 70 percentile of the CAI MF - Net New Investment $0 Non-US Equity Style group for the quarter and in the 90 percentile for the last year. Investment Gains/(Losses) $-2,323,794 Mondrian International’s portfolio outperformed the MSCI Ending Market Value $18,786,425 ACWI ex US Index by 0.92% for the quarter and underperformed the MSCI ACWI ex US Index for the year by 0.46%.
Performance vs CAI MF - Non-US Equity Style (Net)
15%
10%
5% (96) (96) (73) 0% (87) (64) (77) (5%)
(10%) (70) (80) (90) (90) (15%)
(20%) Last Quarter Last Year Last 2 Years Last 3 Years Last 4-1/4 Years 10th Percentile (7.32) (1.32) 2.30 8.33 4.94 25th Percentile (8.55) (4.18) (0.18) 6.76 3.28 Median (10.02) (6.42) (1.34) 5.50 1.97 75th Percentile (11.48) (9.41) (3.21) 4.10 0.81 90th Percentile (13.23) (12.07) (5.05) 3.28 (0.20) Mondrian International (11.18) (12.24) (2.51) 2.92 0.92 MSCI ACWI ex US Index (12.10) (11.78) (3.65) 2.78 0.05
CAI MF - Non-US Equity Style (Net) Relative Return vs MSCI ACWI ex US Index Annualized Four and One-Quarter Year Risk vs Return
8% 10%
8% 6% 6% 4% 4% Mondrian International 2% 2%
0% 0% Returns
(2%) MSCI ACWI ex US Index Relative Returns (2%) (4%) (4%) (6%)
(6%) (8%) 2011 2012 2013 2014 2015 8 10 12 14 16 18 20 22 Standard Deviation Mondrian International
Mendocino County Employees’ Retirement Association 95 Mondrian International Return Analysis Summary
Return Analysis The graphs below analyze the manager’s return on both a risk-adjusted and unadjusted basis. The first chart illustrates the manager’s ranking over different periods versus the appropriate style group. The second chart shows the historical quarterly and cumulative manager returns versus the appropriate market benchmark. The last two charts illustrate the manager’s ranking relative to their style using various risk-adjusted return measures.
Performance vs CAI MF - Non-US Equity Style (Cheapest Net)
35% 30% 25% 20% (71) 15% (86) (84) 10% (97) 5% 0% (22) (5%) (30) (10%) (90) (90) (15%) 12/14- 9/15 2014 2013 2012 10th Percentile 0.65 0.27 28.01 23.45 25th Percentile (1.82) (2.79) 24.94 21.65 Median (3.52) (5.34) 21.38 18.89 75th Percentile (5.82) (6.73) 18.76 16.68 90th Percentile (8.24) (9.15) 14.31 14.42 Mondrian International (8.20) (2.06) 16.69 11.50 MSCI ACWI ex US Index (8.28) (3.44) 15.78 17.39
Cumulative and Quarterly Relative Return vs MSCI ACWI ex US Index
12% 10% 8% 6% 4% 2% 0%
Relative Returns (2%) (4%) (6%) 2011 2012 2013 2014 2015
Mondrian International CAI Non-U.S. Equity MF
Risk Adjusted Return Measures vs MSCI ACWI ex US Index Rankings Against CAI MF - Non-US Equity Style (Cheapest Net) Four and One-Quarter Years Ended September 30, 2015
6 1.5 5 4 1.0 3 2 0.5 (72) (79) 1 (81) (79) (72) 0 0.0 Alpha Treynor Information Sharpe Excess Return Ratio Ratio Ratio Ratio 10th Percentile 5.13 5.22 10th Percentile 1.29 0.32 1.31 25th Percentile 3.65 3.67 25th Percentile 0.99 0.22 0.97 Median 2.34 2.12 Median 0.63 0.13 0.58 75th Percentile 1.01 0.89 75th Percentile 0.31 0.05 0.31 90th Percentile 0.37 0.13 90th Percentile 0.09 0.01 0.04 Mondrian Mondrian International 0.69 1.05 International 0.25 0.06 0.21
Mendocino County Employees’ Retirement Association 96 Mondrian International Equity Characteristics Analysis Summary
Portfolio Characteristics This graph compares the manager’s portfolio characteristics with the range of characteristics for the portfolios which make up the manager’s style group. This analysis illustrates whether the manager’s current holdings are consistent with other managers employing the same style.
Portfolio Characteristics Percentile Rankings Rankings Against CAI MF - Non-US Equity Style as of September 30, 2015
0% (3) 10% (16) 20% 30% (28) 40% 50% (53) 60% (62) (59) (64) (66) (67) (65) 70% 80% Percentile Ranking 90% (94) (91) 100% Weighted Median Price/Fore- Price/Book Forecasted Dividend MSCI Market Cap casted Earnings Earnings Growth Yield Combined Z-Score 10th Percentile 41.45 16.34 2.60 14.48 3.48 0.78 25th Percentile 38.56 15.40 2.21 12.29 3.09 0.59 Median 29.74 13.92 1.83 10.17 2.64 0.21 75th Percentile 21.70 12.30 1.37 8.93 2.24 (0.14) 90th Percentile 12.67 11.68 1.23 7.71 1.93 (0.33) Mondrian International 37.37 13.75 1.56 7.36 4.08 (0.40) MSCI AC World ex US USD (Gross) 26.86 12.83 1.50 9.57 3.20 (0.00)
Sector Weights The graph below contrasts the manager’s sector weights with those of the benchmark and median sector weights across the members of the peer group. The magnitude of sector weight differences from the index and the manager’s sector diversification are also shown. Diversification by number and concentration of holdings are also compared to the benchmark and peer group. Issue Diversification represents by count, and Diversification Ratio by percent, the number of holdings that account for half of the portfolio’s market value.
Sector Allocation Diversification September 30, 2015 September 30, 2015
14.5% 350 Consumer Staples 10.7% 9.9% 300 13.2% Telecommunications 5.9% Diversification Ratio 4.1% 250 Manager 16% 12.7% 27.2% Index 9% Financials 50% 22.7% Mgr MV 200 Style Median 31% 11.6% Health Care 9.4% 150 13.8% (21) 9.9% Energy 6.2% 100 4.6% 50% Mgr MV 9.6% Industrials 11.4% 50 12.9% Sector Diversification (59) 9.2% 3.5% Manager 3.82 sectors 0 Utilities 1.1% Number of Issue Index 2.97 sectors Securities Diversification 8.5% Information Technology 7.2% 9.2% 10th Percentile 270 48 8.0% 25th Percentile 128 33 11.8% Consumer Discretionary 15.3% Median 77 24 2.6% 75th Percentile 56 19 6.7% 90th Percentile 47 14 Materials 6.2% Mondrian 0% 5% 10% 15% 20% 25% 30% 35% International 132 21 Mondrian International MSCI AC World ex US USD (Gross) MSCI AC World CAI Non-U.S. Equity MF ex US USD (Gross) 1841 172
Mendocino County Employees’ Retirement Association 97 Mondrian International vs MSCI ACWI ex US Index Attribution for Quarter Ended September 30, 2015
International Attribution The first chart below illustrates the return for each country in the index sorted from high to low. The total return for the index is highlighted with a dotted line. The second chart (countries presented in the same order) illustrates the manager’s country allocation decisions relative to the index. To the extent that the manager over-weighted a country that had a higher return than the total return for the index (above the dotted line) it contributes positively to the manager’s country (or currency) selection effect. The last chart details the manager return, the index return, and the attribution factors for the quarter.
Index Beginning Relative Weights Returns by Country (Portfolio - Index)
Local Dollar Currency Index Portfolio Return Return Return Weight Weight Romania (1.2) 1.5 Romania 0.0 0.1 Denmark (2.6) 0.2 Denmark 1.2 0.1 Ireland (3.3) 0.2 Ireland 0.3 0.0 Hungary (4.1) 0.8 Hungary 0.0 0.0 Italy (4.4) 0.2 Italy 1.7 2.0 Israel (1.6) (3.9) Israel 0.4 1.5 Finland (5.7) 0.2 Finland 0.6 0.0 France (6.6) 0.2 France 6.9 6.5 Qatar (6.6) (0.0) Qatar 0.2 0.6 Czech Republic (7.1) 0.5 Czech Republic 0.0 0.0 New Zealand (1.3) (5.4) New Zealand 0.1 0.0 United States (6.7) 0.0 United States 0.0 0.4 India (3.9) (3.0) India 1.7 2.3 Switzerland (2.7) (4.4) Switzerland 6.6 10.9 Belgium (8.0) 0.2 Belgium 0.9 0.0 Netherlands (9.0) 0.2 Netherlands 2.0 2.9 Austria (9.0) 0.2 Austria 0.1 0.0 Sweden (8.2) (1.1) Sweden 2.1 3.0 United Kingdom (6.6) (3.7) United Kingdom 14.5 19.7 Philippines (6.9) (3.5) Philippines 0.3 0.4 United Arab Emirates (10.4) 0.0 United Arab Emirates 0.2 0.3 Poland (9.5) (1.1) Poland 0.3 0.0 Germany (11.1) 0.2 Germany 6.4 7.1 Spain (11.2) 0.2 Spain 2.5 5.4 Portugal (11.6) 0.2 Portugal 0.1 0.0 Japan (13.6) 2.2 Japan 16.3 15.3 South Korea (6.3) (5.9) South Korea 3.1 1.3 Mexico (4.9) (7.4) Mexico 1.0 1.1 Total (9.5) (2.8) Total Egypt (10.7) (2.6) Egypt 0.0 0.0 Chile (5.7) (8.3) Chile 0.3 0.6 Canada (7.6) (6.9) Canada 6.6 1.0 Russia (2.6) (12.1) Russia 0.8 0.3 Australia (7.3) (8.6) Australia 4.9 0.9 Hong Kong (16.2) 0.0 Hong Kong 2.3 0.2 Taiwan (10.8) (6.3) Taiwan 2.8 2.7 Thailand (11.4) (6.9) Thailand 0.5 0.4 Malaysia (4.7) (14.2) Malaysia 0.7 1.2 South Africa (7.2) (12.2) South Africa 1.7 0.6 Norway (12.2) (7.8) Norway 0.5 0.3 Singapore (15.1) (5.2) Singapore 1.0 3.9 Turkey (9.0) (11.5) Turkey 0.3 0.7 Peru (21.5) 0.0 Peru 0.1 0.3 China (22.7) 0.0 China 5.4 3.2 Colombia (8.8) (15.8) Colombia 0.1 0.1 Indonesia (16.7) (9.0) Indonesia 0.5 0.8 Brazil (14.8) (22.0) Brazil 1.6 1.6 Greece (35.9) 0.2 Greece 0.1 0.0 Kazakhstan (36.7) 0.0 Kazakhstan 0.0 0.1 (50%) (40%) (30%) (20%) (10%) 0% 10% (8%) (6%) (4%) (2%) 0% 2% 4% 6% 8%
Attribution Factors for Quarter Ended September 30, 2015 5%
0.56% 0.21% 0.33% 0%
(5%)
Percent Return (10%)
(11.18%) (12.10%) (15%) Portfolio Index Country Currency Security Return Return Selection Selection Selection
Mendocino County Employees’ Retirement Association 98 Domestic Fixed Income Domestic Fixed Income Domestic Domestic Fixed Income Composite Period Ended September 30, 2015
Quarterly Summary and Highlights Quarterly Asset Growth Domestic Fixed Income Composite’s portfolio posted a Beginning Market Value $117,779,392 (0.45)% return for the quarter placing it in the 75 percentile Net New Investment $-997,348 of the Pub Pln- Domestic Fixed group for the quarter and in the 82 percentile for the last year. Investment Gains/(Losses) $-525,281 Domestic Fixed Income Composite’s portfolio Ending Market Value $116,256,763 underperformed the Barclays Aggregate Index by 1.68% for the quarter and underperformed the Barclays Aggregate Index for the year by 2.08%.
Performance vs Pub Pln- Domestic Fixed (Gross)
10%
8%
6% (48) (41) (74) (67) 4% (38) (61) (16) (72) (71) 2% (58) (56) (6) (82)
0% (75)
(2%) Last Quarter Last Last 2 Years Last 3 Years Last 5 Years Last 7 Years Last 10 Years Year 10th Percentile 1.11 3.02 4.60 3.22 4.90 7.11 5.92 25th Percentile 1.01 2.72 3.73 2.32 4.33 6.55 5.44 Median 0.31 2.05 3.26 1.81 3.68 5.74 5.02 75th Percentile (0.41) 1.12 2.60 1.35 2.93 4.57 4.28 90th Percentile (0.96) 0.52 2.03 1.08 2.27 3.41 3.84 Domestic Fixed Income Composite (0.45) 0.86 2.68 1.73 3.37 5.90 5.17 Barclays Aggregate Index 1.23 2.94 3.45 1.71 3.10 4.85 4.64
Pub Pln- Domestic Fixed (Gross) Relative Return vs Barclays Aggregate Index Annualized Five Year Risk vs Return
4% 8%
3% 7% 2% 6% 1% 5% 0% Domestic Fixed Income Composite (1%) 4%
(2%) Returns 3% Barclays Aggregate Index
Relative Returns (3%) 2% (4%) 1% (5%)
(6%) 0% 10 2011 2012 2013 2014 2015 0 1 2 3 4 5 6 7 Standard Deviation Domestic Fixed Income Composite
Mendocino County Employees’ Retirement Association 100 Domestic Fixed Income Composite Return Analysis Summary
Return Analysis The graphs below analyze the manager’s return on both a risk-adjusted and unadjusted basis. The first chart illustrates the manager’s ranking over different periods versus the appropriate style group. The second chart shows the historical quarterly and cumulative manager returns versus the appropriate market benchmark. The last two charts illustrate the manager’s ranking relative to their style using various risk-adjusted return measures.
Performance vs Pub Pln- Domestic Fixed (Gross)
30% 20% 46 10% 25 34 64 39 37 62 85 90 81 79 23 71 72 23 27 36 0% 86 77 40 (10%) (20%) 12/14- 9/15 2014 2013 2012 2011 2010 2009 2008 2007 2006 10th Percentile 1.68 7.81 1.78 11.28 9.66 11.47 23.88 8.32 8.41 6.59 25th Percentile 1.18 6.33 0.12 9.15 8.11 9.80 17.48 4.70 7.67 5.41 Median 0.85 5.57 (1.02) 7.23 7.19 8.60 12.48 (1.74) 6.56 4.61 75th Percentile 0.18 4.24 (1.96) 5.14 5.94 6.85 6.64 (8.31) 5.54 4.31 90th Percentile (0.45) 2.87 (2.92) 3.84 4.44 5.36 1.75 (11.45) 4.39 3.82 Domestic Fixed Income Composite (0.24) 5.09 (0.65) 9.15 4.47 7.39 13.24 2.19 5.77 5.52 Barclays Aggregate Index 1.13 5.97 (2.02) 4.21 7.84 6.54 5.93 5.24 6.97 4.33
Cumulative and Quarterly Relative Return vs Barclays Aggregate Index
8%
6%
4%
2%
0%
(2%) Relative Returns (4%)
(6%) 2010 2011 2012 2013 2014 2015
Domestic Fixed Income Composite Pub Pln- Dom Fixed
Risk Adjusted Return Measures vs Barclays Aggregate Index Rankings Against Pub Pln- Domestic Fixed (Gross) Five Years Ended September 30, 2015
12 2.0 10 1.5 8 1.0 (53) (52) 6 (29) 0.5 4 0.0 (68) 2 (36) (0.5) 0 (1.0) (2) (1.5) Alpha Treynor Information Sharpe Excess Return Ratio Ratio Ratio Ratio 10th Percentile 3.13 10.17 10th Percentile 1.38 1.67 0.87 25th Percentile 1.98 5.92 25th Percentile 1.11 1.39 0.60 Median 0.82 3.94 Median 0.70 1.17 0.40 75th Percentile 0.03 3.02 75th Percentile 0.04 0.97 (0.13) 90th Percentile (0.32) 2.62 90th Percentile (0.46) 0.86 (0.80) Domestic Fixed Domestic Fixed Income Composite 1.54 5.66 Income Composite 0.64 1.13 0.10
Mendocino County Employees’ Retirement Association 101 Domestic Fixed Income Bond Characteristics Analysis Summary
Portfolio Characteristics This graph compares the manager’s portfolio characteristics with the range of characteristics for the portfolios which make up the manager’s style group. This analysis illustrates whether the manager’s current holdings are consistent with other managers employing the same style.
Fixed Income Portfolio Characteristics Rankings Against CAI Core Bond Fixed-Inc Style as of September 30, 2015
10
8 (25) (30)
6 (13)
4 (97) (17) (9) (54) (69) 2
0 (83)
(2) Average Effective Coupon OA Duration Life Yield Rate Convexity 10th Percentile 5.60 8.37 3.45 3.95 0.62 25th Percentile 5.49 7.86 2.79 3.70 0.32 Median 5.25 7.38 2.44 3.30 0.12 75th Percentile 5.09 6.87 2.23 2.93 0.05 90th Percentile 4.96 6.40 1.92 2.64 (0.09) Domestic Fixed Income 4.10 7.62 3.50 3.79 - Barclays Aggregate Index 5.60 7.86 2.31 3.20 0.01
Sector Allocation and Quality Ratings The first graph compares the manager’s sector allocation with the average allocation across all the members of the manager’s style. The second graph compares the manager’s weighted average quality rating with the range of quality ratings for the style.
Sector Allocation Quality Ratings September 30, 2015 vs CAI Core Bond Fixed-Inc Style
38.9% Trsy 25.8% 50% US RMBS 28.4% Mgr MV 30.9% 34.9% AAA Corp (US$ denom) 24.0% 15.9% 26.5% US Trsy 36.5% 50% Mgr MV AA+ 14.7% 0.0% (9) Other 0.1% 4.8% 4.2% AA US ABS 0.6% 4.1% 2.3% Gov Rel (US$ denom) 8.6% AA- 2.8% US Non-Agency RMBS (87) 2.0% A+ US Muni 0.9% US CMBS 5.0% A 1.9% Weighted Average 0.6% Quality Rating US CMOs (0.8%) 10th Percentile AA Gov Rel (nonUS$ den) 25th Percentile AA (14.8%) Median AA Cash 1.4% 75th Percentile AA- 90th Percentile A+ (30%) (20%) (10%) 0% 10% 20% 30% 40% 50% Domestic Domestic Fixed Income CAI Core Bond Fixed-Inc Style Fixed Income A+ Barclays Barclays Aggregate Index Aggregate Index AA+
Mendocino County Employees’ Retirement Association 102 Dodge & Cox Income Period Ended September 30, 2015
Investment Philosophy Dodge & Cox’s Fixed Income Philosophy is to construct and manage a high-quality and diversified portfolio of securities that is selected through bottom-up, fundamental analysis. They believe that by combining fundamental research with a long-term investment horizon, it is possible to uncover and act upon inefficiencies in the valuation of market sectors and individual securities. In their efforts to seek attractive returns, the team: 1) emphasizes market sector and individual security selection; 2) strives to build portfolios which have a higher yield than the composite yield of the broad bond market; and 3) analyzes portfolio and individual security risk. Their credit research focuses on analysis of the fundamental factors that impact an individual issuer’s or market sector’s credit risk. They also consider economic trends and special circumstances which may affect an industry or a specific issue or issuer.
Quarterly Summary and Highlights Quarterly Asset Growth Dodge & Cox Income’s portfolio posted a (0.81)% return for Beginning Market Value $59,093,728 the quarter placing it in the 97 percentile of the CAI MF - Net New Investment $-434,513 Core Bond Style group for the quarter and in the 96 percentile for the last year. Investment Gains/(Losses) $-477,964 Dodge & Cox Income’s portfolio underperformed the Ending Market Value $58,181,251 Barclays Aggregate Index by 2.04% for the quarter and underperformed the Barclays Aggregate Index for the year by 2.78%.
Performance vs CAI MF - Core Bond Style (Net)
8% 7% (15) 6% (10) 5% (82) (61) 4% (17) (20) 3% (8) (67) (63) 2% (48) (11) 1% (7) 0% (96) (1%) (97) (2%) Last Quarter Last Last 2 Years Last 3 Years Last 5 Years Last 7 Years Last 10 Years Year 10th Percentile 1.11 2.72 3.64 2.16 3.76 6.70 5.41 25th Percentile 1.01 2.36 3.38 1.81 3.50 5.86 5.04 Median 0.75 2.02 3.12 1.69 3.24 5.44 4.85 75th Percentile 0.16 1.58 2.44 1.22 2.92 5.04 4.14 90th Percentile (0.31) 0.53 2.27 0.78 2.23 3.67 2.94 Dodge & Cox Income (0.81) 0.16 2.92 2.10 3.57 6.37 5.47 Barclays Aggregate Index 1.23 2.94 3.45 1.71 3.10 4.85 4.64
CAI MF - Core Bond Style (Net) Relative Return vs Barclays Aggregate Index Annualized Five Year Risk vs Return
4% 4.5%
3% 4.0% 2%
1% 3.5% Dodge & Cox Income
0% 3.0% (1%)
Returns Barclays Aggregate Index (2%) 2.5% Relative Returns (3%) 2.0% (4%)
(5%) 1.5% 10 2011 2012 2013 2014 2015 2.0 2.5 3.0 3.5 4.0 Standard Deviation Dodge & Cox Income
Mendocino County Employees’ Retirement Association 103 Dodge & Cox Income Return Analysis Summary
Return Analysis The graphs below analyze the manager’s return on both a risk-adjusted and unadjusted basis. The first chart illustrates the manager’s ranking over different periods versus the appropriate style group. The second chart shows the historical quarterly and cumulative manager returns versus the appropriate market benchmark. The last two charts illustrate the manager’s ranking relative to their style using various risk-adjusted return measures.
Performance vs CAI MF - Core Bond Style (Net)
25% 20% 15% 12 10% 12 25 85 37 13 5% 28 63 95 83 94 13 42 54 9 12 3 26 0% 93 60 (5%) (10%) (15%) (20%) 12/14- 9/15 2014 2013 2012 2011 2010 2009 2008 2007 2006 10th Percentile 1.25 7.02 (0.72) 8.49 8.18 9.01 16.84 6.32 7.69 5.38 25th Percentile 0.84 6.18 (1.15) 7.54 7.84 8.09 14.06 2.31 6.25 4.87 Median 0.67 5.72 (1.55) 6.58 6.87 7.53 11.50 (1.74) 5.61 4.46 75th Percentile 0.07 4.98 (2.38) 5.85 5.48 7.08 7.89 (9.18) 4.29 3.99 90th Percentile (0.61) 4.26 (2.72) 4.95 4.21 6.49 7.32 (11.85) 1.93 3.70 Dodge & Cox Income (0.72) 5.49 0.64 7.94 4.75 7.81 16.22 1.51 5.83 5.64 Barclays Aggregate Index 1.13 5.97 (2.02) 4.21 7.84 6.54 5.93 5.24 6.97 4.33
Cumulative and Quarterly Relative Return vs Barclays Aggregate Index
8%
6%
4%
2%
0%
(2%) Relative Returns (4%)
(6%) 2010 2011 2012 2013 2014 2015
Dodge & Cox Income CAI Core Bond Mut Fds
Risk Adjusted Return Measures vs Barclays Aggregate Index Rankings Against CAI MF - Core Bond Style (Net) Five Years Ended September 30, 2015
10 2.0 8 (4) 1.5 (14) 6 1.0 (21) 4 0.5 (42) 2 (4) 0.0 (0.5) 0 (1.0) (2) Alpha Treynor (1.5) Ratio Information Sharpe Excess Return Ratio Ratio Ratio 10th Percentile 1.30 4.80 25th Percentile 0.99 4.35 10th Percentile 1.10 1.41 0.69 Median 0.65 3.82 25th Percentile 0.89 1.27 0.33 75th Percentile (0.02) 2.97 Median 0.56 1.17 0.13 90th Percentile (0.76) 2.28 75th Percentile (0.01) 0.95 (0.11) 90th Percentile (0.91) 0.75 (0.98) Dodge & Cox Income 2.12 7.69 Dodge & Cox Income 0.99 1.41 0.17
Mendocino County Employees’ Retirement Association 104 Dodge & Cox Income Bond Characteristics Analysis Summary
Portfolio Characteristics This graph compares the manager’s portfolio characteristics with the range of characteristics for the portfolios which make up the manager’s style group. This analysis illustrates whether the manager’s current holdings are consistent with other managers employing the same style.
Fixed Income Portfolio Characteristics Rankings Against CAI Core Bond Fixed-Inc Style as of September 30, 2015
10
8 (25) (43)
6 (13) (6) 4 (97) (18) (54) (69) 2
0 (83)
(2) Average Effective Coupon OA Duration Life Yield Rate Convexity 10th Percentile 5.60 8.37 3.45 3.95 0.62 25th Percentile 5.49 7.86 2.79 3.70 0.32 Median 5.25 7.38 2.44 3.30 0.12 75th Percentile 5.09 6.87 2.23 2.93 0.05 90th Percentile 4.96 6.40 1.92 2.64 (0.09) Dodge & Cox Income 4.10 7.45 3.01 4.40 - Barclays Aggregate Index 5.60 7.86 2.31 3.20 0.01
Sector Allocation and Quality Ratings The first graph compares the manager’s sector allocation with the average allocation across all the members of the manager’s style. The second graph compares the manager’s weighted average quality rating with the range of quality ratings for the style.
Sector Allocation Quality Ratings September 30, 2015 vs CAI Core Bond Fixed-Inc Style Trsy 46.6%
Corp (US$ denom) 34.9% 50% 24.0% Mgr MV AAA 33.3% US RMBS 25.8% 28.4%
50% AA+ 7.3% Mgr MV (9) Gov Rel (US$ denom) 2.3% 8.6% AA 7.3% US ABS 4.2% 0.6% AA- 4.3% US Trsy 26.5% 36.5% A+ 1.2% Cash 1.4% (100) A Weighted Average US CMBS 5.0% Quality Rating 1.9% 10th Percentile AA 25th Percentile AA Other 0.0% Median AA 0.1% 75th Percentile AA- 90th Percentile A+ 0% 10% 20% 30% 40% 50% 60% Dodge & Cox Income CAI Core Bond Fixed-Inc Style Dodge & Cox Income A+ Barclays Barclays Aggregate Index Aggregate Index AA+
Mendocino County Employees’ Retirement Association 105 PIMCO Period Ended September 30, 2015
Investment Philosophy PIMCO emphasizes adding value by rotating through the major sectors of the domestic and international bond markets. They also seek to enhance returns through duration management.
Quarterly Summary and Highlights Quarterly Asset Growth PIMCO’s portfolio posted a (0.09)% return for the quarter Beginning Market Value $58,685,664 placing it in the 70 percentile of the CAI MF - Core Plus Net New Investment $-562,835 Style group for the quarter and in the 56 percentile for the last year. Investment Gains/(Losses) $-47,317 PIMCO’s portfolio underperformed the Barclays Aggregate Ending Market Value $58,075,512 Index by 1.32% for the quarter and underperformed the Barclays Aggregate Index for the year by 1.37%.
Performance vs CAI MF - Core Plus Style (Net)
10%
8%
(33) 6% (18) (88) (66) 4% (31) (2) (76) (72) (86) 2% (56) (57) (1) (79)
0% (70)
(2%)
(4%) Last Quarter Last Last 2 Years Last 3 Years Last 5 Years Last 7 Years Last 10 Years Year 10th Percentile 0.88 2.48 4.10 2.75 4.54 7.62 6.16 25th Percentile 0.63 2.20 3.58 2.10 3.93 6.59 5.66 Median 0.38 1.79 3.20 1.82 3.63 5.91 4.97 75th Percentile (0.28) 0.53 2.68 1.38 3.11 5.24 4.30 90th Percentile (1.73) (1.59) 2.18 1.20 2.94 4.84 3.67 PIMCO (0.09) 1.57 2.43 1.36 3.23 6.35 5.77 Barclays Aggregate Index 1.23 2.94 3.45 1.71 3.10 4.85 4.64
CAI MF - Core Plus Style (Net) Relative Return vs Barclays Aggregate Index Annualized Five Year Risk vs Return
4% 5.5%
3% 5.0% 2%
1% 4.5%
0% 4.0% (1%) PIMCO 3.5% (2%) Returns
Relative Returns (3%) 3.0% (4%) Barclays Aggregate Index 2.5% (5%)
(6%) 2.0% 10 2011 2012 2013 2014 2015 1 2 3 4 5 6 7 Standard Deviation PIMCO
Mendocino County Employees’ Retirement Association 106 PIMCO Return Analysis Summary
Return Analysis The graphs below analyze the manager’s return on both a risk-adjusted and unadjusted basis. The first chart illustrates the manager’s ranking over different periods versus the appropriate style group. The second chart shows the historical quarterly and cumulative manager returns versus the appropriate market benchmark. The last two charts illustrate the manager’s ranking relative to their style using various risk-adjusted return measures.
Performance vs CAI MF - Core Plus Style (Net)
40% 30% 20% 70 10% 14 12 52 5 31 87 100 92 98 97 1 9 20 59 82 0% 6 55 82 80 (10%) (20%) (30%) 12/14- 9/15 2014 2013 2012 2011 2010 2009 2008 2007 2006 10th Percentile 1.02 6.89 0.50 10.41 7.90 11.16 27.80 4.57 7.70 7.05 25th Percentile 0.81 6.22 (0.35) 10.09 7.30 10.24 25.08 (1.83) 6.13 6.44 Median 0.37 5.74 (1.07) 8.00 6.39 8.85 17.42 (5.86) 4.99 4.90 75th Percentile (0.26) 4.91 (1.61) 6.78 5.92 7.77 12.65 (10.51) 3.90 4.04 90th Percentile (1.88) 4.61 (2.26) 5.86 4.26 7.11 10.13 (15.04) 3.51 3.88 PIMCO 0.25 4.69 (1.92) 10.36 4.16 8.83 13.85 4.82 9.09 3.99 Barclays Aggregate Index 1.13 5.97 (2.02) 4.21 7.84 6.54 5.93 5.24 6.97 4.33
Cumulative and Quarterly Relative Return vs Barclays Aggregate Index
8%
6%
4%
2%
0%
(2%) Relative Returns (4%)
(6%) 2010 2011 2012 2013 2014 2015
PIMCO CAI Core Plus Mut Fds
Risk Adjusted Return Measures vs Barclays Aggregate Index Rankings Against CAI MF - Core Plus Style (Net) Five Years Ended September 30, 2015
8 2.0 7 1.5 6 5 (49) 1.0 (84) 4 3 0.5 (72) 2 0.0 (72) 1 (60) 0 (0.5) Alpha Treynor Information Sharpe Excess Return Ratio Ratio Ratio Ratio 10th Percentile 2.42 7.13 10th Percentile 1.12 1.49 0.70 25th Percentile 1.75 5.38 25th Percentile 0.94 1.36 0.57 Median 1.15 4.54 Median 0.77 1.18 0.29 75th Percentile 0.65 3.54 75th Percentile 0.33 0.99 0.01 90th Percentile 0.13 2.99 90th Percentile 0.12 0.87 (0.14) PIMCO 1.08 4.55 PIMCO 0.37 0.90 0.05
Mendocino County Employees’ Retirement Association 107 PIMCO Bond Characteristics Analysis Summary
Portfolio Characteristics This graph compares the manager’s portfolio characteristics with the range of characteristics for the portfolios which make up the manager’s style group. This analysis illustrates whether the manager’s current holdings are consistent with other managers employing the same style.
Fixed Income Portfolio Characteristics Rankings Against CAI Core Bond Plus Style as of September 30, 2015
10
8 (48) (53)
6 (8) (74) 4 (22) (80) (81) (94) 2
0 (71)
(2) Average Effective Coupon OA Duration Life Yield Rate Convexity 10th Percentile 5.59 8.84 4.26 4.72 0.55 25th Percentile 5.45 8.17 3.95 4.15 0.31 Median 5.18 7.82 3.33 3.64 0.13 75th Percentile 4.94 7.11 2.84 3.31 (0.02) 90th Percentile 4.65 6.57 2.46 2.86 (0.47) PIMCO 4.95 7.80 3.99 3.18 - Barclays Aggregate Index 5.60 7.86 2.31 3.20 0.01
Sector Allocation and Quality Ratings The first graph compares the manager’s sector allocation with the average allocation across all the members of the manager’s style. The second graph compares the manager’s weighted average quality rating with the range of quality ratings for the style.
Sector Allocation Quality Ratings September 30, 2015 vs CAI Core Bond Plus Style
44.5% Trsy 20.1% 50% US RMBS 28.4% Mgr MV 29.4% AAA 1.3% Other 0.1% 27.5% 18.5% AA+ US Trsy 36.5% 50% Mgr MV (2) 15.1% 40.5% AA Corp (US$ denom) 24.0% 5.6% US Non-Agency RMBS AA- (26) 4.0% US Muni 0.1% A+ 2.3% US ABS 5.4% 0.6% A 1.7% US CMBS 6.8% 1.9% A- 1.2% US CMOs 1.1% 1.0% BBB+ Gov Rel (US$ denom) 0.4% Weighted Average 8.6% Quality Rating Corp (non US$ denom) 4.1% 10th Percentile AA- (1.6%) 25th Percentile AA- Gov Rel (nonUS$ den) 0.0% Median A+ 75th Percentile A (30.8%) Cash 1.6% 90th Percentile A- PIMCO AA- (60%) (40%) (20%) 0% 20% 40% 60% Barclays PIMCO CAI Core Bond Plus Style Barclays Aggregate Index Aggregate Index AA+
Mendocino County Employees’ Retirement Association 108 Real Estate Real Estate RREEF Public Period Ended September 30, 2015
Investment Philosophy RREEF Public Fund invests in Real Estate Investment Trusts (REITs) and Real Estate Operating Companies (REOCs) using an active top down component accompanied with detailed bottom up analysis. RREEF believes underlying real estate fundamentals drive real estate securities returns and that proprietary research and deep resources can capitalize on market inefficiencies.
Quarterly Summary and Highlights Quarterly Asset Growth RREEF Public’s portfolio posted a 3.26% return for the Beginning Market Value $7,967,998 quarter placing it in the 44 percentile of the CAI Open-End Net New Investment $0 Real Estate Funds group for the quarter and in the 88 percentile for the last year. Investment Gains/(Losses) $259,647 RREEF Public’s portfolio outperformed the NAREIT by Ending Market Value $8,227,645 2.53% for the quarter and outperformed the NAREIT for the year by 4.00%.
Performance vs CAI Open-End Real Estate Funds (Net)
30%
25%
20%
15%
(73) (65) (88) (68) 10% (98) (90) (94) (98) (24) (25) (27) (75) 5% (44) (99) 0% Last Quarter Last Last 2 Years Last 3 Years Last 5 Years Last 7 Years Last 10 Years Year 10th Percentile 3.90 17.68 15.39 16.61 22.94 10.21 7.46 25th Percentile 3.68 15.05 14.21 13.60 18.11 7.20 7.02 Median 3.19 13.75 12.92 12.73 13.09 3.74 6.52 75th Percentile 2.88 12.95 11.63 10.43 9.93 2.39 6.05 90th Percentile 2.63 10.76 10.84 9.09 6.95 1.50 5.66 RREEF Public 3.26 10.94 11.82 9.09 11.86 7.26 6.98 NAREIT 0.73 6.94 10.01 8.17 11.40 7.33 6.05
CAI Open-End Real Estate Funds (Net) Relative Return vs NAREIT Annualized Five Year Risk vs Return
4% 22%
3% 20% 2% 18% 1%
0% 16%
(1%) 14% Returns RREEF Public (2%)
Relative Returns 12% (3%) NAREIT 10% (4%)
(5%) 8% 10 2011 2012 2013 2014 2015 0 5 10 15 20 Standard Deviation RREEF Public
Mendocino County Employees’ Retirement Association 110 RREEF Private Period Ended September 30, 2015
Investment Philosophy RREEF America II acquires 100 percent equity interests in small- to medium-sized ($10 million to $70 million) apartment, industrial, retail and office properties in targeted metropolitan areas within the continental United States. The fund capitalizes on RREEF’s national research capabilities and market presence to identify superior investment opportunities in major metropolitan areas across the United States.
Quarterly Summary and Highlights Quarterly Asset Growth RREEF Private’s portfolio posted a 3.78% return for the Beginning Market Value $18,914,666 quarter placing it in the 21 percentile of the CAI Open-End Net New Investment $0 Real Estate Funds group for the quarter and in the 38 percentile for the last year. Investment Gains/(Losses) $715,214 RREEF Private’s portfolio outperformed the NFI-ODCE Ending Market Value $19,629,880 Equal Weight Net by 0.38% for the quarter and outperformed the NFI-ODCE Equal Weight Net for the year by 0.86%.
Performance vs CAI Open-End Real Estate Funds (Net)
30%
25%
20%
15% (38) (49) (24) (40) (55) (47) (55) (60) 10%
(86) 5% (89) (21) (45) (37) (66) 0% Last Quarter Last Last 2 Years Last 3 Years Last 5 Years Last 7 Years Last 10 Years Year 10th Percentile 3.90 17.68 15.39 16.61 22.94 10.21 7.46 25th Percentile 3.68 15.05 14.21 13.60 18.11 7.20 7.02 Median 3.19 13.75 12.92 12.73 13.09 3.74 6.52 75th Percentile 2.88 12.95 11.63 10.43 9.93 2.39 6.05 90th Percentile 2.63 10.76 10.84 9.09 6.95 1.50 5.66 RREEF Private 3.78 14.68 12.98 13.80 13.33 3.96 5.72 NFI-ODCE Equal Weight Net 3.40 13.82 12.62 12.23 12.86 2.90 5.49
Relative Returns vs CAI Open-End Real Estate Funds (Net) NFI-ODCE Equal Weight Net Annualized Five Year Risk vs Return
3.0% 22%
2.5% 20% 2.0% 18% 1.5%
1.0% 16% RREEF Private 0.5% 14% Returns 0.0% Relative Returns 12% NFI-ODCE Equal Weight Net (0.5%) 10% (1.0%)
(1.5%) 8% 10 2011 2012 2013 2014 2015 0 2 4 6 8 10 Standard Deviation RREEF Private
Mendocino County Employees’ Retirement Association 111 Cornerstone Patriot Fund Period Ended September 30, 2015
Investment Philosophy Cornerstone believes that the investment strategy for the Patriot Fund is unique with the goal of achieving returns in excess of the benchmark index, the NFI-ODCE Index, with a level of risk associated with a core fund. The construct of the Fund relies heavily on input from Cornerstone Research, which provided the fundamentals for the investment strategy. Strategic targets and fund exposure which differentiate the Fund from its competitors with respect to both its geographic and property type weightings, and we believe will result in performance in excess of industry benchmarks over the long-term.
Quarterly Summary and Highlights Quarterly Asset Growth Cornerstone Patriot Fund’s portfolio posted a 3.79% return Beginning Market Value $13,888,006 for the quarter placing it in the 21 percentile of the CAI Net New Investment $0 Open-End Real Estate Funds group for the quarter and in the 84 percentile for the last year. Investment Gains/(Losses) $526,204 Cornerstone Patriot Fund’s portfolio outperformed the Ending Market Value $14,414,211 NFI-ODCE Equal Weight Net by 0.39% for the quarter and underperformed the NFI-ODCE Equal Weight Net for the year by 2.37%.
Performance vs CAI Open-End Real Estate Funds (Net)
25%
20%
15% (49) (55) (55) (84) (47) 10% (98) (80) (62)
5% (37) (21)
0% Last Quarter Last Year Last 2 Years Last 3 Years Last 3-3/4 Years 10th Percentile 3.90 17.68 15.39 16.61 18.98 25th Percentile 3.68 15.05 14.21 13.60 13.06 Median 3.19 13.75 12.92 12.73 11.72 75th Percentile 2.88 12.95 11.63 10.43 10.12 90th Percentile 2.63 10.76 10.84 9.09 7.73 Cornerstone Patriot Fund 3.79 11.45 10.19 9.98 10.24 NFI-ODCE Equal Weight Net 3.40 13.82 12.62 12.23 11.86
Relative Returns vs CAI Open-End Real Estate Funds (Net) NFI-ODCE Equal Weight Net Annualized Three and Three-Quarter Year Risk vs Return
1.5% 20%
1.0% 18%
0.5% 16%
0.0% 14%
(0.5%) 12% Returns NFI-ODCE Equal Weight Net
Relative Returns (1.0%) 10% Cornerstone Patriot Fund
(1.5%) 8%
(2.0%) 6% 2012 2013 2014 2015 0.5 1.0 1.5 2.0 2.5 3.0 3.5 4.0 Standard Deviation Cornerstone Patriot Fund
Mendocino County Employees’ Retirement Association 112 Callan Research/Education Callan Research/Education ΧΑΛΛΑΝ ΙΝςΕΣΤΜΕΝΤΣ ΙΝΣΤΙΤΥΤΕ 3ρδ Θυαρτερ 2015
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Πλεασε ϖισιτ ωωω.χαλλαν.χο /ρεσεαρχη το σεε αλλ οφ ουρ πυβλιχατιονσ.
Φιξεδ Ινχο ε Βενχη αρκ Ρεϖιεω Τηισ αννυαλ ρεπορτ χο παρεσ Πριϖατε Μαρκετσ Τρενδσ, Συ ερ 2015 Γαρψ Ροβερτσον συ − χηαραχτεριστιχσ φορ Βαρχλαψσ, Χιτι, Χρεδιτ Συισσε, ανδ ϑΠ Μοργαν αριζεσ τηε αρκετ ενϖιρον εντ, ρεχεντ εϖεντσ, περφορ ανχε, ixed income indices versus various Callan Manager peer groups. ανδ οτηερ ισσυεσ ινϖολϖινγ πριϖατε εθυιτψ.
Ρεαλ Ινδιχατορσ: Τηε Μετριχσ οφ Ρεαλ Εστατε Ιν τηισ ϖιδεο, Αϖερψ Χ Οβσερϖερ, 2νδ Θυαρτερ 2015 Χοϖερ στορψ: ηατ ο Ψου Σεε Ροβινσον, ΧΑΙΑ, δισχυσσεσ τηε δεϖελοπ εντ οφ ρεαλ εστατε ινδιχα− Through the Brokerage Window? Plus the Callan DC Index™. τορ ετριχσ ανδ ωηατ τηεψ σαψ αβουτ τηε χυρρεντ αρκετ. Συ αρψ, ϑυνε ορκσηοπ: Φιδυχιαρψ Τιδαλ αϖε, Ναϖιγατινγ Τηε Εδυχατιον οφ Βετα ςιδεο Ευγενε Ποδκα ινερ, ΧΦΑ, δε− Χ σ Υνχηαρτεδ ατερσ Σηαρεδ οβσερϖατιονσ φρο Χαλλαν σ 2015 scribes the reasons he decided to explore the topic of “smart”. beta Χ Τρενδσ Συρϖεψ, client experiences, and case studies.
THE JOURNAL OF Τηε Εδυχατιον οφ Βετα: Χαν Αλτερνατιϖε Ινδεξ− Χαπιταλ Μαρκετ Ρεϖιεω, 2νδ Θυαρτερ 2015 Ινσιγητσ ον τηε εχονο− THEORY & PRACTICE FOR FUND MANAGERS SUMMER 2015 Volume 24 Number 2 εσ Μακε Ψουρ Πορτφολιο Σ αρτερ? Ρεπριντεδ ιν my and recent performance in equities, ixed income, alternatives, The Education of Beta: Can Alternative Indexes Make Your Portfolio Smarter? τηε ϑουρναλ οφ Ινϖεστινγ, Ευγενε Ποδκα ινερ ρεαλ εστατε, ανδ ορε. EUGENE PODKAMINER explores how “smart beta” strategies are put− to γετηερ, ηοω τηεψ ηαϖε περφορ εδ οϖερ τηε παστ Ινσιδε Χαλλαν σ αταβασε, 2νδ Θυαρτερ 2015 Τηισ ρεπορτ γραπησ The Voices of Influence | iijournals.com δεχαδε, ανδ ηοω τηεψ χαν βε υσεδ βψ ινϖεστορσ. περφορ ανχε ανδ ρισκ δατα φρο Χαλλαν σ προπριεταρψ δαταβασε αλονγσιδε ρελεϖαντ αρκετ ινδιχεσ. Ρεαλ Ασσετσ Ρεπορτερ, Συ ερ/Φαλλ 2015 ατα ανδ ινσιγητσ ον
ΧΑΛΛΑΝ ρεαλ εστατε ανδ οτηερ ρεαλ ασσετ ινϖεστ εντ τοπιχσ, ινχλυδινγ λιστεδ ΙΝςΕΣΤΜΕΝΤΣ Βεατινγ τηε Ηεατ: Φιϖε Βεστ Πραχτιχεσ φορ Εν− ΙΝΣΤΙΤΥΤΕ ϑυλψ 2015 Ρεσεαρχη Σποτλιγητ ινφραστρυχτυρε. δοω εντσ ανδ Φουνδατιονσ Ελλεν Βροωνελλ Βεατινγ τηε Ηεατ
Φιϖε Βεστ Πραχτιχεσ φορ Ενδοω εντσ ανδ Φουνδατιονσ
Have you found yourself defending your diversiied asset allocation strategy in light of U.S. public markets’ strong performance? Here are ive ways to keep your cool when asset allocation conversations heat up:
1 Ε πηασιζε θυαλιτψ ιν αναγερ σελεχτιον. Hire managers to be long-term partners and try to mini- presents ive ways endowments and foundations mize turnover. Determine your access to irst- and second-quartile alternatives managers and also your resources to source those managers. When thinking about management fees, look at the big picture. What is the long-term goal? What does it cost to get there? What are the risks?
2 Manage resources eficiently and effectively. Think long-term across the entire program, including stafing. Hire people who understand managers and manager selection. Look for people who are not only investment-savvy, knowledgeable, and experienced, but also those who it with the culture and who buy into the investment process. Low staff turnover is correlated with higher returns. If you are considering a boost to your alternatives allocation, do you have the appropriate legal and accounting Ταργετ ατε Φυνδσ: Φινδινγ τηε Ριγητ ςεηιχλε φορ τηε Ροαδ staff to handle the additional work? Is your custodian able to handle alternatives? χαν κεεπ τηειρ χοολ ωηεν ασσετ αλλοχατιον χον−
Ελλεν ηασ σπεντ χλοσε Successful organizations take a long-term view. They το 20 ψεαρσ ιν τηε think about current spending needs versus future inancial industry. spending goals. Decide if you are going to spend more Σηε ηασ εξτενσιϖε on the current generation at the expense of future το Ρετιρε εντ εξπεριενχε σερϖινγ ιν ϖερσατιονσ ηεατ υπ. generations, or if you will spend less on the current Author Jimmy Veneruso presents key indings the investment ofices of private and public generation to beneit future generations. universities. Ellen Brownell, Senior Vice President, Fund Sponsor Consulting ανδ ηιγηλιγητσ σο ε θυεστιονσ πλαν σπονσορσ αψ χονσιδερ ωηεν Κνοωλεδγε. Εξπεριενχε. Ιντεγριτψ. εϖαλυατινγ ταργετ δατε φυνδσ. 2015 Νυχλεαρ εχο ισσιονινγ Φυνδινγ Στυδψ Αυτηορ ϑυλια Μοριαρτψ χοϖερσ ποωερ υτιλιτιεσ ωιτη αν οωνερσηιπ ιντερεστ ιν τηε Ηεδγε Φυνδ Μονιτορ, 2νδ Θυαρτερ 2015 Αυτηορ ϑι ΜχΚεε σ οπερατινγ ανδ νον−οπερατινγ νυχλεαρ ρεαχτορσ ιν τηε Υ.Σ. εσσαψ, Ζεν ανδ τηε Αρτ οφ Σελλινγ Σηορτ, ινχλυδινγ θυαρτερλψ περφορ− ανχε προϖιδεσ α σναπσηοτ οφ τηε ασσετ χλασσ.
Τηε Χεντερ φορ Ινϖεστ εντ Τραινινγ Εϖεντσ Εδυχατιοναλ Σεσσιονσ