Business Meeting Agenda - II. APPROVAL OF AGENDA
VENTURA COUNTY EMPLOYEES’ RETIREMENT ASSOCIATION
BOARD OF RETIREMENT
BUSINESS MEETING
NOVEMBER 20, 2017
AGENDA
PLACE: Ventura County Employees' Retirement Association Second Floor Boardroom 1190 South Victoria Avenue Ventura, CA 93003
TIME: 9:00 a.m.
Members of the public may comment on any item under the Board’s jurisdiction by filling out a speaker form and presenting it to the Clerk. Unless otherwise directed by the Chair, comments related to items on the agenda will be heard when the Board considers that item. Comments related to items not on the agenda will generally be heard at the time designated for Public Comment.
ITEM: I. CALL TO ORDER Master Page No.
II. APPROVAL OF AGENDA 1 – 3
III. APPROVAL OF MINUTES A. Disability Minutes of November 6, 2017 4 – 10 IV. CONSENT AGENDA
A. Receive and File Budget Summary for FY 2017-18 Month Ending 11 – 12 October 31, 2017.
B. Receive and File Statement of Fiduciary Net Position, Statement of 13 – 16 Changes in Fiduciary Net Position, Schedule of Investments and Cash Equivalents, and Schedule of Investment Management Fees for the Period Ending October 31, 2017.
V. INVESTMENT MANAGER PRESENTATIONS
A. Receive Annual Investment Presentation from BlackRock, Anthony 17 – 67 Freitas and Timothy Murray.
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BOARD OF RETIREMENT NOVEMBER 20, 2017 AGENDA BUSINESS MEETING PAGE 2
V. INVESTMENT MANAGER PRESENTATIONS (continued)
B. Receive Annual Investment Presentation, Abbott Capital Management, 68 – 108 Charles Van Horne and Young Lee.
VI. INVESTMENT INFORMATION
A. NEPC – Allan Martin. VCERA – Dan Gallagher, Chief Investment Officer.
1. Preliminary Performance Report Month Ending October 31, 2017. 109 – 117 RECOMMENDED ACTION: Receive and file.
2. Investment Summary Quarter Ending September 30, 2017. 118 – 193 RECOMMENDED ACTION: Receive and file.
VII. OLD BUSINESS
None.
VIII. NEW BUSINESS
A. Recommendation to Approve a $25 Million Allocation to Abbott Capital Management’s Secondary Fund of Funds. RECOMMENDED ACTION: Approve.
1. Staff Letter by C.I.O., Dan Gallagher. 194
2. Memorandum from NEPC on Abbott Capital Management’s 195 – 198 Secondary Fund of Funds.
B. Recommendation from Ad-Hoc Committee to Approve Technical Aspects for VCERA’s Fund of One Investment. RECOMMENDED ACTION: Approve.
1. Letter from Ad-Hoc Committee. 199 – 200
C. Actuarial Audit Presentation from Gabriel Roeder Smith, Brad Armstrong.
1. Actuarial Audit. 201 – 225
D. Proposed Board Calendar for 2018. RECOMMENDED ACTION: Approve.
1. Staff Letter. 226
2. Proposed 2018 Board Meeting Calendar. 227
IX. INFORMATIONAL
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BOARD OF RETIREMENT NOVEMBER 20, 2017 AGENDA BUSINESS MEETING PAGE 3
X. PUBLIC COMMENT
XI. STAFF COMMENT
XII. BOARD MEMBER COMMENT
XIII. ADJOURNMENT
MASTER PAGE NO. 3 of 227 Business Meeting Agenda - III. APPROVAL OF MINUTES
VENTURA COUNTY EMPLOYEES’ RETIREMENT ASSOCIATION
BOARD OF RETIREMENT
DISABILITY MEETING
NOVEMBER 6, 2017
MINUTES
DIRECTORS Tracy Towner, Chair, Alternate Safety Employee Member PRESENT: William W. Wilson, Vice Chair, Public Member Steven Hintz, Treasurer-Tax Collector1 Mike Sedell, Public Member Robert Bianchi, Public Member Maeve Fox, General Employee Member Craig Winter, General Employee Member Arthur E. Goulet, Retiree Member Will Hoag, Alternate Retiree Member Chris Johnston, Safety Employee Member Ed McCombs, Alternate Public Member
DIRECTORS Peter C. Foy, Public Member ABSENT:
STAFF Linda Webb, Retirement Administrator PRESENT: Lori Nemiroff, General Counsel Dan Gallagher, Chief Investment Officer Julie Stallings, Chief Operations Officer Karen Scanlan, Accounting Manager I Vickie Williams, Retirement Benefits Manager Donna Edwards, Retirement Benefits Specialist Stephanie Berkley, Retirement Benefit Specialist Chris Ayala, Program Assistant
PLACE: Ventura County Employees' Retirement Association Second Floor Boardroom 1190 South Victoria Avenue Ventura, CA 93003
TIME: 9:00 a.m.
ITEM:
1 Trustee Hintz arrived at 9:03 a.m.
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BOARD OF RETIREMENT NOVEMBER 6, 2017 MINUTES DISABILITY MEETING PAGE 2
I. CALL TO ORDER
Chair Towner called the Disability Meeting of November 6, 2017, to order at 9:00 a.m.
II. APPROVAL OF AGENDA
After discussion by the Board, the following motion was made:
MOTION: Approve.
Moved by Bianchi, seconded by Johnston.
Vote: Motion carried Yes: Bianchi, Fox, Goulet, Johnston, McCombs, Sedell, Wilson, Winter No: - Absent: Foy, Hintz
III. APPROVAL OF MINUTES
A. Business Meeting Minutes of October 23, 2017.
Ms. Webb informed the Board that the minutes for the Business Meeting of October 23, 2017 required a few corrections. Ms. Webb said that Trustee Goulet had left at 11:04 a.m., and could not have voted on any agenda items afterward, and at the end of the third paragraph regarding the discussion of the 2017/18 Business Plan the word, “understated” should be “overstated”.
After discussion by the Board, the following motion was made:
MOTION: Approve with Corrections.
Moved by McCombs, seconded by Bianchi.
Vote: Motion carried Yes: Bianchi, Fox, Goulet, Johnston, McCombs, Sedell, Wilson, Winter No: - Absent: Foy, Hintz
IV. CONSENT AGENDA
A. Approve Regular and Deferred Retirements and Survivors Continuances for the Month of October 2017.
B. Receive and File Report of Checks Disbursed in October 2017.
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BOARD OF RETIREMENT NOVEMBER 6, 2017 MINUTES DISABILITY MEETING PAGE 3
C. Receive and File Statement of Fiduciary Net Position, Statement of Changes in Fiduciary Net Position, Schedule of Investments, Cash, and Cash Equivalents, and Schedule of Investment Management Fees for the Period Ending September 30, 2017.
After discussion by the Board, the following motion was made:
MOTION: Receive and File.
Moved by Goulet, seconded by Fox.
Vote: Motion carried Yes: Bianchi, Fox, Goulet, Johnston, McCombs, Sedell, Wilson, Winter No: - Absent: Foy, Hintz
V. RECEIVE AND FILE PENDING DISABILITY APPLICATION STATUS REPORT
After discussion by the Board, the following motion was made:
MOTION: Receive and File.
Moved by Bianchi, seconded by Johnston.
Vote: Motion carried Yes: Bianchi, Fox, Goulet, Johnston, McCombs, Sedell, Wilson, Winter No: - Absent: Foy, Hintz
VI. APPLICATIONS FOR DISABILITY RETIREMENT
A. Application for Service-Connected Disability Retirement - Michael S. Bell; Case No. 16-028.
1. Application for Service-Connected Disability Retirement, filed September 28, 2016.
2. Medical Analysis and Recommendation, including Supporting Medical Documentation, submitted by County of Ventura, Risk Management, in support of the Application for Service-Connected Disability Retirement, dated October 3, 2017, received October 12, 2017.
3. Hearing Notice, dated August 24, 2017.
Catherine Laveau, was present on behalf of County of Ventura Risk Management. The applicant, Michael S. Bell, was also present.
Both parties declined to make statements.
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BOARD OF RETIREMENT NOVEMBER 6, 2017 MINUTES DISABILITY MEETING PAGE 4
After discussion by the Board, the following motion was made:
MOTION: Approve Application for Service-Connected Disability Retirement.
Moved by Goulet, seconded by Bianchi.
Vote: Motion carried Yes: Bianchi, Fox, Goulet, McCombs, Sedell, Wilson, Winter, Towner No: - Absent: Foy, Hintz
Both parties agreed to waive preparation of findings of fact and conclusions of law.
B. Application for Service-Connected Disability Retirement – Janeen R. Bittmann; Case No. 17-014.
1. Application for Service-Connected Disability Retirement, filed July 18, 2017.
2. Medical Analysis and Recommendation, including Supporting Medical Documentation, submitted by County of Ventura, Risk Management, in support of the Application for Service-Connected Disability Retirement, dated September 29, 2017, received October 12, 2017.
3. Hearing Notice, dated October 12, 2017.
Trustee Hintz arrived at 9:03 a.m.
Catherine Laveau, was present on behalf of County of Ventura Risk Management. The applicant, Janeen R. Bittmann, was also present.
The applicant made a brief statement. Catherine Laveau informed the Board that since the recommendation by Risk Management, the applicant had a medical evaluation that was scheduled by her attorney and the report for that evaluation would not be available for another 7 – 10 days, which might have an impact on the application.
Trustee Goulet requested that Risk Management perform more research on nature of the applicant’s injury and to determine why the applicant had not sought surgery.
Ms. Nemiroff asked Ms. Laveau if Risk Management would like to request a continuance or let the Board make a determination based on their previous recommendation.
Ms. Laveau replied that Risk Management would like to ask that the Board make a determination based on the facts and the additional information that had been provided that day.
After discussion by the Board, the following motion was made:
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BOARD OF RETIREMENT NOVEMBER 6, 2017 MINUTES DISABILITY MEETING PAGE 5
MOTION: Table the Board’s Determination of the Application to the Combined Disability and Business Meeting of December 11, 2017.
Moved by Goulet, seconded by Wilson.
Vote: Motion carried Yes: Bianchi, Fox, Goulet, Hintz, McCombs, Sedell, Wilson, Towner No: Winter Absent: Foy
VII. NEW BUSINESS
A. SACRS Business Meeting Agenda Items RECOMMENDED ACTION: Give direction to voting delegate.
1. Legislative Proposal Materials for the November 17, 2017 SACRS Business Meeting.
2. Bylaws Amendment Proposal Materials for the November 17, 2017 SACRS Business Meeting.
Ms. Webb said that the materials that were provided showed the legislative proposals and bylaw amendments that SACRS would be considering at their business meeting. She reminded the Board that the voting delegates need direction on how they should vote on those items.
After discussion by the Board, the following motions were made:
MOTION: Direct the Delegates to Vote to Approve Legislative Action Item 5, #1.
Moved by Wilson, seconded by Bianchi.
Vote: Motion carried Yes: Bianchi, Fox, Goulet, Hintz, Johnston, McCombs, Sedell, Wilson, Winter No: - Absent: Foy
MOTION: Direct the Delegates to Vote to Not Approve Legislative Action Item 5, #2, Unless it is Agreed Upon to Change the Filing Deadline to 12 to 18 Months.
Moved by Winter, seconded by Bianchi.
Vote: Motion carried Yes: Bianchi, Fox, Goulet, Hintz, Johnston, McCombs, Sedell, Wilson, Winter No: - Absent: Foy
MOTION: Direct the Delegates to Vote to Approve Bylaws Action Item #7, and to Voice Trustee Goulet’s Inquiry Regarding Affiliate Voting.
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BOARD OF RETIREMENT NOVEMBER 6, 2017 MINUTES DISABILITY MEETING PAGE 6
Moved by Goulet, seconded by Bianchi.
Vote: Motion carried Yes: Bianchi, Fox, Goulet, Hintz, Johnston, McCombs, Sedell, Wilson, Winter No: - Absent: Foy
B. Recommendation to Approve the Walter Scott Investment Management Fee Reduction. RECOMMENDED ACTION: Approve.
1. Staff Letter by C.I.O., Dan Gallagher.
Mr. Gallagher reminded the Board that Walter Scott manages a non-U.S. equity, commingled trust fund in which VCERA had begun investing in 2010. Mr. Gallagher said that VCERA had invested approximately $72 million in the commingled trust fund, and that investment had grown to $118 million, as of September 30th. He said that Walter Scott had offered a fee reduction that would save VCERA approximately $25,000 annually, but Mr. Gallagher said he was negotiating for an even greater reduction.
After discussion by the Board, the following motion was made:
MOTION: Approve CIO to Negotiate for Fee Reduction. Moved by Sedell, seconded by Bianchi.
Vote: Motion carried Yes: Bianchi, Fox, Goulet, Hintz, Johnston, McCombs, Sedell, Wilson, Winter No: - Absent: Foy
VIII. INFORMATIONAL
A. Memorandum from General Counsel regarding Titcher v. Retirement Board of the Ventura County Retirement Association; Superior Court Case: 56-2016-00481070- CU-WM-VTA.
IX. PUBLIC COMMENT
None.
X. STAFF COMMENT
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BOARD OF RETIREMENT NOVEMBER 6, 2017 MINUTES DISABILITY MEETING PAGE 7
Ms. Webb briefed the Board on the status of MBPP. She said that the attorneys were continuing to work on the proposed amendment to the section of the M.O.U. concerning MBPP, and staff was hopeful it would be finalized by the Business Meeting of November 20th. She said that she anticipated the presentation of the Actuarial Audit on the 20th and that Board should be receiving a draft of it in advance of the meeting. She said the Board of Retirement elections were in process and the results should be available by the 1st of December. As for the building search for the Real Estate committee, VCERA had received a list of available sites that would be given to the committee to determine which sites they may want to visit. She then said that at the last Board meeting, she had mentioned that she had delayed the launch of the Member Self-Services portal and that staff had met with Vitech, and consequently she would be submitting a summary to them, so that VCERA can get an estimate on the proposed securitymeasures. Lastly, she said that the CAFR was in process and staff had a first draft of the actuarial valuation and would be presenting it to the Board soon.
Mr. Gallagher asked the Chair to appoint an ad-hoc committee to consider some technical issues for the Fund-of-One investment vehicle.
Chair Towner asked the Board if anyone would like to volunteer to be on the ad-hoc committee.
Trustees Goulet, Sedell and Wilson volunteered to be on the ad-hoc committee.
Mr. Gallagher also informed the Board that Abbott Capital Management would be at the November 20th Business Meeting and NEPC and Mr. Gallagher would be recommending an allocation to Abbott’s secondary fund of funds. He then said that Abbott would also be presenting their first annual presentation to the Board, and that Blackrock would also be there for their annual presentation.
XI. BOARD MEMBER COMMENT
None.
XII. ADJOURNMENT
The meeting was adjourned at 10:07 a.m.
Respectfully submitted,
______LINDA WEBB, Retirement Administrator
Approved,
______TRACY TOWNER, Chairman
MASTER PAGE NO. 10 of 227 Business Meeting Agenda - IV. CONSENT AGENDA
Ventura County Employees' Retirement Association Budget Summary Month Ending October 31, 2017 and Fiscal Year-To-Date 33.33% of Fiscal Year 2017-18 Elapsed
Adopted Adjusted 2018 2018 October Expended Fiscal Available Percent Budget Budget 2017 Year to Date 1 Balance Expended
Salaries and Benefits
Regular Salary $ 3,026,300.00 $ 3,026,300.00 $ 208,803.91 $ 826,470.65 $ 2,199,829.35 27.31% Extra-Help/Temporary Services 294,400.00 294,400.00 10,218.75 43,833.98 250,566.02 14.89% Supplemental Payments 59,900.00 59,900.00 3,484.68 13,895.11 46,004.89 23.20% Vacation Redemption 139,500.00 139,500.00 71,578.60 90,334.83 49,165.17 64.76% Retirement Contributions 531,200.00 531,200.00 42,728.27 137,891.68 393,308.32 25.96% OASDI Contribution 171,600.00 171,600.00 8,642.35 38,139.34 133,460.66 22.23% FICA-Medicare 48,100.00 48,100.00 4,049.59 13,195.10 34,904.90 27.43% Medical Insurance 302,000.00 302,000.00 17,836.00 70,987.96 231,012.04 23.51% Life Insurance 1,300.00 1,300.00 80.60 318.95 981.05 24.53% Unemployment Insurance 2,500.00 2,500.00 165.68 639.29 1,860.71 25.57% Mgmt Disability Insurance 23,600.00 23,600.00 1,364.92 5,460.51 18,139.49 23.14% Workers Compensation Insurance 23,500.00 23,500.00 2,033.60 6,519.62 16,980.38 27.74% 401K Plan Contribution 72,500.00 72,500.00 4,857.95 19,619.12 52,880.88 27.06% Total Salaries & Benefits $ 4,696,400.00 $ 4,696,400.00 $ 375,844.90 $ 1,267,306.14 $ 3,429,093.86 26.98%
Services & Supplies
Board Member Stipend $ 13,200.00 $ 13,200.00 $ 2,000.00 $ 2,700.00 $ 10,500.00 20.45% Other Professional Services 224,700.00 224,700.00 20,404.61 49,109.89 175,590.11 21.86% Auditing 46,000.00 46,000.00 20,270.14 31,688.49 14,311.51 68.89% Hearing Officers 60,000.00 60,000.00 915.00 1,265.00 58,735.00 2.11% Legal 350,000.00 350,000.00 37,166.30 41,426.00 308,574.00 11.84% Election Services 9,000.00 9,000.00 0.00 0.00 9,000.00 0.00% Actuary-Valuation 159,000.00 159,000.00 30,000.00 30,000.00 129,000.00 18.87% Actuary-Actuarial Audit 42,000.00 42,000.00 0.00 0.00 42,000.00 0.00% Printing 33,000.00 33,000.00 68.18 6,820.27 26,179.73 20.67% Postage 71,400.00 71,400.00 25,448.74 26,380.18 45,019.82 36.95% Telephone 0.00 0.00 3,612.05 3,649.13 (3,649.13) 0.00% Copy Machine 4,000.00 4,000.00 517.65 517.65 3,482.35 12.94% General Liability 9,500.00 9,500.00 0.00 0.00 9,500.00 0.00% Fiduciary Liability 85,000.00 85,000.00 0.00 84,588.00 412.00 99.52% Cost Allocation Charges 33,500.00 33,500.00 0.00 0.00 33,500.00 0.00% Education Allowance 6,000.00 6,000.00 0.00 4,000.00 2,000.00 66.67% Training/Travel-Staff 54,200.00 54,200.00 1,802.27 5,162.19 49,037.81 9.52% Training/Travel-Trustee 53,100.00 53,100.00 0.00 929.36 52,170.64 1.75% Travel-Due Diligence-Staff 0.00 0.00 1,181.65 1,853.98 (1,853.98) 0.00% Travel-Due Diligence-Trustee 19,400.00 19,400.00 2,215.17 3,433.06 15,966.94 17.70% Mileage-Staff 8,500.00 8,500.00 370.87 382.75 8,117.25 4.50% Mileage -Trustee 0.00 0.00 94.18 416.68 (416.68) 0.00% Mileage-Due Diligence-Staff 0.00 0.00 162.32 235.83 (235.83) 0.00% Mileage-Due Diligence-Trustee 0.00 0.00 98.44 200.09 (200.09) 0.00% Auto Allowance 6,900.00 6,900.00 575.00 2,300.00 4,600.00 33.33% Facilities-Security 3,700.00 3,700.00 0.00 0.00 3,700.00 0.00% Facilities-Maint & Repairs 0.00 0.00 150.58 225.58 (225.58) 0.00% Equipment-Maint & Repairs 2,000.00 2,000.00 0.00 0.00 2,000.00 0.00% General Office Expense 6,000.00 6,000.00 3,237.09 4,476.72 1,523.28 74.61% Books & Publications 2,500.00 2,500.00 50.00 50.00 2,450.00 2.00% Office Supplies 18,000.00 18,000.00 515.35 3,378.02 14,621.98 18.77% Memberships & Dues 13,300.00 13,300.00 0.00 4,150.00 9,150.00 31.20% Bank Service Charges 0.00 0.00 111.62 456.08 (456.08) 0.00% Offsite Storage 4,800.00 4,800.00 359.73 1,372.50 3,427.50 28.59% Rents/Leases-Structures 209,900.00 209,900.00 17,363.95 69,455.80 140,444.20 33.09% Non-Capital Equipment 10,000.00 10,000.00 0.00 0.00 10,000.00 0.00% Non-Capital Furniture 40,000.00 40,000.00 643.05 19,154.70 20,845.30 47.89% Depreciation /Amortization 1,163,500.00 1,163,500.00 120,894.86 483,579.44 679,920.56 41.56% Total Services & Supplies $ 2,762,100.00 $ 2,762,100.00 $ 290,228.80 $ 883,357.39 $ 1,878,742.61 31.98%
Total Sal, Ben, Serv & Supp $ 7,458,500.00 $ 7,458,500.00 $ 666,073.70 $ 2,150,663.53 $ 5,307,836.47 28.84%
1 of 2 MASTER PAGE NO. 11 of 227 Business Meeting Agenda - IV. CONSENT AGENDA
Ventura County Employees' Retirement Association Budget Summary Month Ending October 31, 2017 and Fiscal Year-To-Date 33.33% of Fiscal Year 2017-18 Elapsed
Adopted Adjusted 2018 2018 October Expended Fiscal Available Percent Budget Budget 2017 Year to Date 1 Balance Expended Technology
Technology Hardware $ 49,400.00 $ 49,400.00 $ 255.49 $ 284.58 $ 49,115.42 0.58% Technology Hardware Support 0.00 0.00 0.00 14.08 (14.08) 0.00% Technology Software 213,100.00 213,100.00 16,237.62 36,661.58 176,438.42 17.20% Technology Software Support 19,000.00 19,000.00 0.00 0.00 19,000.00 0.00% Technology Systems Support 263,400.00 263,400.00 (47,992.79) 139,292.25 124,107.75 52.88% Technology Infrastruct Support 300.00 300.00 0.00 184.95 115.05 61.65% Technology Application Support 507,000.00 507,000.00 71,466.77 89,455.02 417,544.98 17.64% Technology Data Communication 55,800.00 55,800.00 727.34 11,055.05 44,744.95 19.81% Total Technology $ 1,108,000.00 $ 1,108,000.00 $ 40,694.43 $ 276,947.51 $ 831,052.49 25.00%
Capital Expenses
Capitalized Equipment $ - $ - $ - $ 49,278.19 $ (49,278.19) 0.00% Total Capitalized Expenses $ - $ - $ - $ 49,278.19 $ (49,278.19) 0.00%
Congtingency $ 532,800.00 $ 532,800.00 $ - $ - $ 532,800.00 0.00%
Total Current Year $ 9,099,300.00 $ 9,099,300.00 $ 706,768.13 $ 2,476,889.23 $ 6,622,410.77 27.22%
1 October YTD totals include transactions that posted in September after the Budget Summary was presented to the board, but prior to finalizing and closing the accounting records for September 2017.
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Interest and Dividends 4,228,095 Securities Sold 9,099,389 Miscellaneous 32,968
Domestic Equity 1,663,428,367 Non U.S. Equity 866,045,685 Global Equity 578,240,975 Fixed Income 950,336,516 Private Equity 227,994,923 Real Estate 397,266,572 Liquid Alternatives 420,987,103 Cash Overlay 39,694
Securities Purchased 14,771,337 Accounts Payable 847,727 Tax Withholding Payable 3,141,259 Deferred Revenue (PrePaid Contributions) 117,843,074
MASTER PAGE NO. 13 of 227 Business Meeting Agenda - IV. CONSENT AGENDA
Employer $60,145,233 Employee 22,764,261
Net Appreciation (Depreciation) in Fair Value of Investments 245,230,513 Interest Income 6,022,948 Dividend Income 2,495,851 Other Investment Income (282,416) Real Estate Operating Income, Net 4,476,926 Security Lending Income 238,494
Management & Custodial Fees 3,729,826 Other Investment Expenses 105,255 Securities Lending Borrower Rebates 170,619 Securities Lending Management Fees 21,139
Benefit Payments 88,554,155 Member Refunds and Death Benefit Payments 1,297,794 Administrative Expenses 1,590,088 Other Expenses 781,546
MASTER PAGE NO. 14 of 227 Business Meeting Agenda - IV. CONSENT AGENDA
Cash & Cash Investments Equivalents
Blackrock - Russell 1000 $1,441,132,640 $0 Blackrock - Russell 2500 59,158,784 0 Western Asset Enhanced Equity Index Plus 163,136,943 28,990,327
Blackrock - ACWI ex - US 423,663,566 0 Hexavest 92,214,384 0 Sprucegrove 228,823,164 0 Walter Scott 121,344,571 0
Blackrock - ACWI Index 578,240,975 0
Blackrock - Bloomberg Barclays Aggregate Index 222,362,596 0 Loomis Sayles Multi Sector 80,936,453 1,365,323 Loomis Sayles Strategic Alpha 45,867,947 0 Reams 309,012,983 2 Western Asset Management 292,156,536 2,850,785
Adams Street 129,936,144 0 Drive Capital 2,651,928 0 Harbourvest 66,676,146 0 Pantheon 28,730,705 0
Prudential Real Estate 141,977,647 211 RREEF 172,848 0 UBS Realty 255,116,077 0
Bridgewater All Weather 307,552,975 0 Tortoise (MLPs) 113,434,127 634,417
MASTER PAGE NO. 15 of 227 Business Meeting Agenda - IV. CONSENT AGENDA
Blackrock - Russell 1000 $47,881 Blackrock - Russell 2500 3,904 Western Asset Enhanced Equity Index Plus 82,586
Blackrock - ACWI ex - US 102,172 Hexavest 103,993 Sprucegrove 260,330 Walter Scott 240,225
Blackrock - ACWI Index 55,683
Blackrock Bloomberg Barclays Aggregate Index 22,164 Loomis Sayles Multi Sector 79,333 Loomis Sayles Strategic Alpha 45,650 Reams Asset Management 134,636 Western Asset Management 134,201
Abbott Capital 37,500 Adams Street 449,127 Drive Capital Harbourvest 310,345 Pantheon 149,897
Prudential Real Estate Advisors 301,356 RREEF 764 UBS Realty 494,637
Bridgewater All Weather 287,800 Tortoise (MLPs) 186,946
Borrower's Rebate 170,619 Management Fees 21,139
Investment Consultant (NEPC) 75,000 Investment Custodian (State Street) 81,561
MASTER PAGE NO. 16 of 227 Business Meeting Agenda - V.A. INVESTMENT MANAGER PRESENTATIONS - BLACKROCK
Ventura County Employees’ Retirement Association
Anthony Freitas, CFA, Managing Director Timothy Murray, CFA, Director
20 November 2017
FOR USE WITH INSTITUTIONAL INVESTORS ONLY – PROPRIETARY AND CONFIDENTIAL
MASTER PAGE NO. 17 of 227 Business Meeting Agenda - V.A. INVESTMENT MANAGER PRESENTATIONS - BLACKROCK
Table of Contents
I. BlackRock Update II. Relationship Summary III. Beta Strategies Overview i. Performance and Characteristics Review IV. Fixed Income Indexing Overview i. Performance and Characteristics Review Appendix i. Presenter Biographies ii. Disclosures
FOR USE WITH INSTITUTIONAL INVESTORS ONLY — PROPRIETARY AND CONFIDENTIAL 3
MASTER PAGE NO. 18 of 227 Business Meeting Agenda - V.A. INVESTMENT MANAGER PRESENTATIONS - BLACKROCK
I. BlackRock Update
MASTER PAGE NO. 19 of 227 Business Meeting Agenda - V.A. INVESTMENT MANAGER PRESENTATIONS - BLACKROCK
BlackRock at a glance
BlackRock Mission Statement
Create a better financial future for our clients by building the most respected investment and risk manager in the world
BlackRock facts $5.97 trillion managed across asset classes
• Established in 1988 Passive • NYSE: BLK Fixed Income 990 bn • $5.97 trillion assets under management Active Multi-Asset Fixed Income 457 bn • More than 13,500 employees 797 bn • More than 2,500 investment professionals Cash Alternatives1 Management • Offices in over 34 countries 130 bn 425 bn • 25 primary investment centers globally Advisory 2 bn • Clients in over 100 countries Active Equity 300 bn • Over 800 iShares® ETFs Globally • Through BlackRock Solutions, the Firm provides risk management and enterprise investment services for over 200 Passive clients Equity 2.8 tn • Financial Markets Advisory business managed or advised on over $8 trillion in asset and derivative portfolios
• Transition Management team partners with clients to save costs Assets as of 30 September 2017 1 and reduce risks when changing investment exposures Includes commodity and currency mandates
As of 30 September 2017. All figures are represented in USD.
FOR INSTITUTIONAL/PROFESSIONAL CLIENTS/QUALIFIED INVESTORS ONLY 7
MASTER PAGE NO. 20 of 227 Business Meeting Agenda - V.A. INVESTMENT MANAGER PRESENTATIONS - BLACKROCK
II. Relationship Summary
MASTER PAGE NO. 21 of 227 Business Meeting Agenda - V.A. INVESTMENT MANAGER PRESENTATIONS - BLACKROCK
BlackRock Relationship Team
Function Contact Location Telephone Email
Institutional Client Business – Anthony Freitas, CFA, Managing Director San Francisco 415-670-6251 [email protected] Lead
Institutional Client Business Tom Holmes, Associate San Francisco 415-670-4120 [email protected]
FOR USE WITH INSTITUTIONAL INVESTORS ONLY — PROPRIETARY AND CONFIDENTIAL 11
MASTER PAGE NO. 22 of 227 Business Meeting Agenda - V.A. INVESTMENT MANAGER PRESENTATIONS - BLACKROCK Ventura County Employees’ Retirement Association Relationship Summary As of 30 September 2017
Ventura County Employees’ Retirement System AUM
Russell 1000 Index Fund (inception 4/21/2017) $1,408,814,627
Russell 2500 Index Fund (inception 4/21/2017) $58,250,385
ACWI Equity Index Fund (inception 6/27/2012) $566,363,191
ACWI ex-US IMI Index Fund (inception 5/30/2008) $415,817,172
U.S. Debt Index Fund (inception 12/31/1995) $222,223,499
Total AUM $2,671,468,874
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MASTER PAGE NO. 23 of 227 Business Meeting Agenda - V.A. INVESTMENT MANAGER PRESENTATIONS - BLACKROCK Ventura County Employees’ Retirement Association Performance As of 30 September 2017
Russell 1000 Index Fund (inception 4/21/2017) Performance Fiscal Q1 % Fiscal YTD % 1-yr % 3-yr % 5-yr % Since Inception % Russell 1000 Index Fund (gross) 4.49 4.49 NA NA NA 8.15
Russell 1000 Index Fund (net) 4.48 4.48 NA NA NA 8.15
Russell 1000 Index 4.48 4.48 NA NA NA 8.14 Difference (net) 0.00 0.00 - - - 0.01
Russell 2500 Index Fund (inception 4/21/2017)
Performance Fiscal Q1 % Fiscal YTD % 1-yr % 3-yr % 5-yr % Since Inception % Russell 2500 Index Fund (gross) 4.77 4.77 NA NA NA 7.31 Russell 2500 Index Fund (net) 4.77 4.77 NA NA NA 7.30 Russell 2500 Index 4.74 4.74 NA NA NA 7.27 Difference (net) 0.03 0.03 - - - 0.03
MSCI ACWI Equity Index Fund (inception 6/27/2012)
Performance Fiscal Q1 % Fiscal YTD % 1-yr % 3-yr % 5-yr % Since Inception % MSCI ACWI Equity Index Fund (gross) 5.29 5.29 19.22 7.94 10.68 12.13 MSCI ACWI Equity Index Fund (net) 5.28 5.28 19.17 7.90 10.64 12.08 MSCI ACWI Net Dividend Return Index 5.18 5.18 18.65 7.43 10.20 11.65 Difference (net) 0.10 0.10 0.52 0.47 0.44 0.43
*Net of Fees is based on an estimated annual fee calculation. Actual Fee may vary *Performance greater than 1 year annualized
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MASTER PAGE NO. 24 of 227 Business Meeting Agenda - V.A. INVESTMENT MANAGER PRESENTATIONS - BLACKROCK Ventura County Employees’ Retirement Association Performance As of 30 September 2017
MSCI ACWI ex-US IMI Index Fund (inception 5/30/2008) Performance Fiscal Q1 % Fiscal YTD % 1-yr % 3-yr % 5-yr % Since Inception % MSCI ACWI ex-US IMI Index Fund (gross) 6.32 6.32 19.94 5.50 7.64 2.30
MSCI ACWI ex-US IMI Index Fund (net) 6.29 6.29 19.82 5.39 7.53 2.21
MSCI ACWI ex-US IMI Net Dividend Index 6.27 6.27 19.55 5.16 7.32 2.05 Difference (net) 0.02 0.02 0.27 0.23 0.21 0.16
U.S. Debt Index Fund (inception 12/31/1995)
Performance Fiscal Q1 % Fiscal YTD % 1-yr % 3-yr % 5-yr % Since Inception % U.S. Debt Index Fund (gross) 0.88 0.88 0.19 2.83 2.20 5.28 U.S. Debt Index Fund (net) 0.87 0.87 0.14 2.78 2.15 5.22 Bloomberg Barclays U.S. Agg Bond Index 0.85 0.85 0.07 2.71 2.06 5.17 Difference (net) 0.02 0.02 0.07 0.07 0.09 0.05
*Net of Fees is based on an estimated annual fee calculation. Actual Fee may vary *Performance greater than 1 year annualized
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MASTER PAGE NO. 25 of 227 Business Meeting Agenda - V.A. INVESTMENT MANAGER PRESENTATIONS - BLACKROCK
III. Beta Strategies Overview
MASTER PAGE NO. 26 of 227 Business Meeting Agenda - V.A. INVESTMENT MANAGER PRESENTATIONS - BLACKROCK
BlackRock’s Index proposition
Provide you with a broad range of market exposures together with a flexible range of product features An evolving range of products and solutions designed to help meet your needs Flexibility today and in the future Partner with you to address your unique investment challenges through our customisation and solutions capabilities
Disciplined investment approach focused on delivering optimal tracking, enhanced returns and lowering the total cost of ownership Scale, breath and diversity of our clients and strategies helps us to minimise Efficiency transaction costs and seek to preserve the value of your investments Design products and solutions that consider the factors that impact your investment results from tax-efficiency to access and liquidity.
Our investment professionals are focused on delivering consistent performance and efficient outcomes Precision Extensive trading, risk and operational platform positioned to seek efficient tracking as well as enhanced returns Investment track record spanning four decades that has seen investors entrust us with $3.2 trillion of assets under management as of 30 September 2017
Seeking to deliver high quality, cost effective access to a broad range of market opportunities
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MASTER PAGE NO. 27 of 227 Business Meeting Agenda - V.A. INVESTMENT MANAGER PRESENTATIONS - BLACKROCK
BlackRock’s Index Equity Platform
Global leader in Index Equity assets1 • We seek to deliver consistent performance with efficient outcomes for our clients • Thousands of skillful and thoughtful decisions made each year for swift response to market trends and client demands Extensive and flexible platform for index strategies • Over 2,000 funds managed against 650+ benchmarks • Daily liquidity with T-1 notification (for US equities) and T-2 notification (for non US equities)2 • Modular fund structure and asset allocation platform facilitates custom and outcome oriented solutions
Total index managed assets of $3.2 trillion USD Distribution of assets by vehicle type in 2016 $3.2T In billions USD ETF $2.7T 38.7% $2.4T $2.4T 1,260 $2.2T 977 808 841 721 Separate Account 31.9% 1,941 1,680 1,445 1,566 1,529 CTF 25.2% Other 2013 2014 2015 2016 YTD 2017 4.3% Non-ETF Global iShares Source: BlackRock, Inc. and its affiliates (together “BlackRock”) as of 30 September 2017 1 In terms of AUM. Source: Pensions & Investments 2 Frontier markets commingled fund and currency hedged funds are currently open bi-monthly and monthly, respectively
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MASTER PAGE NO. 28 of 227 Business Meeting Agenda - V.A. INVESTMENT MANAGER PRESENTATIONS - BLACKROCK
46 years of experience driving index forward
We constantly reinvest in and reinvent our business so our clients have access to high quality index solutions Drive the industry forward through our ability to create specialized, innovative investments afforded by our scale and depth of expertise Forge new ground for clients — first manager to offer opportunities in equity index developed, emerging, and frontier markets Evolve capabilities to continuously deliver on emerging trends — smart beta, global benchmarking, overlay strategies Serve as an index advocate on behalf of clients and as a key partner to index providers seeking our practitioner knowledge
46 years of Index Equity — Continual evolution of products, technology and capabilities
BlackRock Index Equity AUM
World Equity Triple A: iShares Eliminated EAFE Frontier Minimum Project Vision Index pioneer Defined Emerging Benchmark asset allocation Exchange- dividend Index Plus Markets Volatility ETFs and innovator contribution Market Shares (WEBS) PM tool Traded Funds flipping capabilities Equity Index Journey ESG fund Fundamentally Management Risk model weighted series enhancements strategies
1971 2017
Fund of fund structures Factor ETFs EM Directed FX Currency Aladdin EAFE Equity Income Hedged Russell Index Investment Migration Index Equity and strategy Daily openings iShares Funds Analysis: EAFE for all funds T-2 for currency First 401(k) index portfolio ETFs Small ETFs Securities International hedging Target Date management Cap Lending Emerging Fund (LifePath) tool Markets Small Cap
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MASTER PAGE NO. 29 of 227 Business Meeting Agenda - V.A. INVESTMENT MANAGER PRESENTATIONS - BLACKROCK
Americas – Investments Pillar
ETF and Index Investments Business
Investments Pillar Leadership
Manish Mehta Global Head of Investments, Products, and Markets
Americas Portfolio Management Global Research Global Strategy
Alan Mason Ananth Madhavan Jessica Irschick Head of Americas Portfolio Global Head of ETF and Global Head of Index Management Index Investment Research Product Strategy
Portfolio Management Research Strategy
Index Asset Investment Institutional Portfolio Management iShares Portfolio Management Index Research Global Strategy Allocation Research
U.S. & Index Plus & U.S. & Developed & DB & DC Research Officers Americas Developed Emerging Canada Emerging Rachel Aguirre Creighton Jue, CFA Greg Savage, CFA Jennifer Hsui, CFA Amy Whitelaw Stephanie Allen Scott Dohemann, CFA + 2 Research Co-Head of Institutional Co-Head of Institutional Co-Head of iShares Co-Head of iShares Head of Index Global Head of Head of U.S. Officers Portfolio Management Portfolio Management Portfolio Management Portfolio Management Asset Allocation Index Research Product Strategy Timothy Murray, CFA International Defined Benefit & U.S. Index Plus U.S. Index Research Emily Foote, CFA Developed Defined Contribution Christian De Leon + 7 Portfolio + 3 Portfolio + 6 Portfolio + 6 Portfolio + 6 Portfolio + 9 Index Jacqueline Ramkumar Managers Managers Managers Managers Managers Researchers Kevin Kim International International FX / Synthetics Canada Developed Emerging EMEA
+ 9 Portfolio + 5 Portfolio + 5 Portfolio + 3 Portfolio Andrew Graver* Managers Managers Managers Managers Head of EMEA Index Strategy International Rita Gemelou* Emerging Norbert van Veldhuizen* + 6 Portfolio Dovile Silenskyte Managers Emilie Karlsson
APAC
Jonathan Howie* Head of APAC Index Strategy As of 30 September 2017 Colin Zhang, CFA* * Located outside of the US
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MASTER PAGE NO. 30 of 227 Business Meeting Agenda - V.A. INVESTMENT MANAGER PRESENTATIONS - BLACKROCK
An extensive and flexible range of index capabilities
Key Developed Developed Global Developed Core Beta Local Market Countries & Regions Investment Grade Markets
Property & Extended or EM & Small High Countries Duration Currency ESG ‘Alts’ Segmented Beta Frontier Caps Yield & Sectors & Styles Hedged
Assets Exposures
Smart Beta Factor Strategies Outcome Strategies Reweighting Strategies
Fixed or Tax Intra-Day Liquidity Daily Access Variable Efficiency Access Spreads
Distributing & Shares Class Governance
Features Operating Local Accumulating Currency (e.g. UCITS, Model Registration Options Options ERISA)
Separate 40 Act Funds LifePath Funds Unit Trusts/SICAV ETFs
Accounts Vehicles
Matching the exposures you want with the features you need
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MASTER PAGE NO. 31 of 227 Business Meeting Agenda - V.A. INVESTMENT MANAGER PRESENTATIONS - BLACKROCK
An approach that seeks to deliver efficient investment outcomes
BlackRock’s disciplined, pragmatic and adaptable Return Enhancements approach to index tracking is focused on optimally Seeks to deliver managing and balancing incremental value and return, risk and cost. strong performance Deep knowledge of financial markets and Return indices
Risk Cost Risk Management Cost Efficiency
Risk managed process Preserve value for that seeks to clients through our consistently deliver intelligent approach to optimal tracking index events outcomes Extensive global trading Market leading risk platform helps ensure analytics and cost are low and we investment tools Total Performance Management have optimal access to provided by our liquidity Aladdin® platform
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MASTER PAGE NO. 32 of 227 Business Meeting Agenda - V.A. INVESTMENT MANAGER PRESENTATIONS - BLACKROCK
Index investment management cycle – dedicated expertise and resources
Performance & Oversight Benchmark Knowledge • Review cumulative effect of investment • Detailed knowledge of index decisions to help identify factors methodologies contributing to/subtracting from portfolio • Experience with predicting and performance projecting index changes • Risk & Quantitative Analysis Team • Focused on optimal treatment of (RQA) monitors dozens of risk factors corporate actions globally on a continuous basis • Continual research into index events
Efficient Trading Portfolio Construction • Building smart trading strategies • Significant investment in technology designed to access optimal liquidity • Market leading portfolio and risk tools • Industry’s largest internal market place provided by our Aladdin® platform for potential netting of client flows • Integrated cost and liquidity analysis • Focused trading research and systems • Knowledge of optimisation challenges
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MASTER PAGE NO. 33 of 227 Business Meeting Agenda - V.A. INVESTMENT MANAGER PRESENTATIONS - BLACKROCK
Index investment management cycle Benchmark knowledge Benchmark knowledge
EII Strategies has a dedicated Index Research team
Index equity The Index Research Group Daily index loads to provide a clean fund snapshot benchmark communicates directly with index Project daily changes and rebalances vendors on various levels management Field all equity index data requests across the firm
Based out of London and San Global coverage Francisco, with daily reconciliations 9 index analysts (7 US, 2 UK) and 1 global head model and handovers
Use knowledge of benchmarks to Benchmark expertise for index portfolio management Index methodology assist with daily portfolio Seek to predict index changes before announcement expertise management, predictions, and Lead consultations with index providers to drive consultations. methodology improvements
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MASTER PAGE NO. 34 of 227 Business Meeting Agenda - V.A. INVESTMENT MANAGER PRESENTATIONS - BLACKROCK
Index investment management cycle Portfolio construction Portfolio construction
Over 145 Investment professionals dedicated to overseeing 2,000 Funds managed against 650+ benchmarks. Thousands of investment decisions made every year around: • Optimizing versus full replication • Equitizing cash • Trading around periodic index changes • Corporate action elections • Investing / divesting based on client and participant instruction
BlackRock’s propriety portfolio management applications, Portfolio Construction and Index Pro, provide a seamless platform, where by every step of the investment process is handled electronically from the time a client order is placed to the time any required trades go out to market
Screenshots are for illustrative purposes only.
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MASTER PAGE NO. 35 of 227 Business Meeting Agenda - V.A. INVESTMENT MANAGER PRESENTATIONS - BLACKROCK
Index investment management cycle Efficient trading Efficient trading
Over 50 equity traders across four trading hubs and Proprietary applications are used to monitor expected three spokes trading costs and actual trading costs • Leverage traders’ local market expertise 1. Ability to specify date range • Benefit from execution in appropriate time zone 2. Custom filters to drill into specific trading activity 3. Data visualization provides intuitive execution insights • Common technology enables us to pass the book with embedded business continuity plan 4. Extensive library of metrics and analytics for evaluating trading performance 5. Enable breakdown of TCA across order, execution, broker, or asset-level characteristics and dimensions
BlackRock’s global coverage BlackRock’s proprietary applications
1 2
LON
NYC SFO TKY 3
PRI TAI
HKG 4
Trading hubs 5
Trading spokes
24 hour a day, 5.5 day per week coverage
Data as of 30 September 2017 Screenshots are for illustrative purposes only.
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MASTER PAGE NO. 36 of 227 Business Meeting Agenda - V.A. INVESTMENT MANAGER PRESENTATIONS - BLACKROCK
Index investment management cycle Performance & oversight Performance & oversight
Performance and oversight of portfolios occurs through the following steps • Daily Portfolio Management review • Monthly IRC review with senior management • Independent review from BlackRock’s Risk and Quantitative Analysis Group
The following additional systematic checks occur for all portfolios and accounts
New account set-up Front-end compliance Back-end compliance
As part of the account set-up On a real time basis prior to Monitoring reports are generated process, the OnBoarding group executions, the front-end daily as part of the “Green Package” identifies client guidelines / compliance systems checks for reporting process restrictions restrictions and violations Warnings and violations are Any guidelines / restrictions are then Violating trades would be blocked distributed electronically to the coded onto various PM and Trading from proceeding relevant investment professions systems
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MASTER PAGE NO. 37 of 227 Business Meeting Agenda - V.A. INVESTMENT MANAGER PRESENTATIONS - BLACKROCK
Russell Reconstitution 2017
Overall the Global Index Equity Investment Team executed 85,000 orders worth approximately $30 billion 108 funds traded with an aggregate AUM of $454 billion Overall performance of the reconstitution this year was positive Crossed approximately 45% of activity Methodology Changes This year had very limited methodology changes • Minimal changes include a new ranking day, free float clarification and country rule updates relating to Chinese companies The most relevant and interesting change pertains to the SNAP IPO • As a temporary rule while Russell consults on the topic, companies with no listed voting share classes, like Snap Inc., will NOT be added to the index. Existing members with no listed voting shares will remain in the index. The new rule is still being consulted on and BlackRock Corporate Governance is partnering with Russell on this.
Buy – sell spread performance Index change highlights
Russell 1000 Russell 2000 Russell Russell 1000 2000 Adds: NXP Semiconductors (NXPI) Adds: Gastar Exploration (GST) closed closed up 0.44% and Vistra Energy Corp up 0.94% and Uranium Energy Corp Adds 10 185 (VST) closed down 0.27% (UEC) closed up 1.62% Deletes: AquaBounty Technologies Deletes: Atlantica Yield Plc (ABY) closed Deletes 2 208 (AQB) closed down 9.96% and Thomson up 21.24% and Celadon Group Inc (CGI) Reuters Corp (TRI) closed up 0.35% closed up 3.05% 2017 Two-Way 3.90% 18.10% Overall trade moved in-line with Overall moved right way with Buys Turnover benchmark outperforming the Sells by 0.57% 2016 Two-Way 3.77% 21.71% Turnover
Source: BlackRock, as of June 2017. Past performance is not indicative of future results. It is not possible to invest directly in an index. References to specific securities and their issuers are for illustrative purposes only and are not intended and should not be interpreted as recommendations to purchase or sell such securities.
FOR USE WITH INSTITUTIONAL INVESTORS ONLY – PROPRIETARY AND CONFIDENTIAL 20170501-150695-411247 28 MASTER PAGE NO. 38 of 227 Business Meeting Agenda - V.A. INVESTMENT MANAGER PRESENTATIONS - BLACKROCK
August 2017 MSCI Quarterly Index Rebalance results
Overall, trading resulted in $2.1mm outperformance for the rebalance • Early trade results: +$1.3mm • Effective date trade results: +$990k • Residual trade results: -$130k BlackRock traded 506 MSCI funds with AUM of $1.0 trillion across the globe Across all regions, BlackRock executed over 31.4k orders worth nearly $6.9 billion
Rebalance highlights MSCI index change details
Small quarterly rebalance: MSCI had a relatively muted Aug 2017 Aug 2016 # Adds # Deletes rebalance for the quarter with smaller than average Turnover Turnover turnover. Effective day performance: The overall DM and EM EAFE 2 1 0.40% 0.28% trades went right way on the effective date with buys out EAFE SC 1 2 1.20% 1.00% performing sells by 95 bps and 120 bps, respectively. Pakistan’s final tranche: Pakistan was phased out in EM 1 2 0.40% 1.32% tranches from the capped Frontier indices with the final tranche being deleted this QIR and accounting for all 17 EM SC 1 5 1.00% 0.71% deletions World 2 1 0.60% 0.68%
Frontier 1 17 8.00% 9.20%
Source: BlackRock, as of 31 August 2017. Past performance is not indicative of future results.
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MASTER PAGE NO. 39 of 227 Business Meeting Agenda - V.A. INVESTMENT MANAGER PRESENTATIONS - BLACKROCK
2017 MSCI market classification summary
China A-Shares Inclusion confirmed
Access: With the recent introduction of the Shenzhen Stock Connect program, the transitional index is based on the Stock Connect framework, not RQFII or QFII as in prior years. Universe: The transitional index includes large-cap companies which are accessible through the Stock Connect programs Constituents: Projected weight in the EM index is approximately 0.73% at a 5% partial inclusion factor, with 222 new stocks China A-shares to be included Suspensions: Securities suspended for more than 50 days in the past 12 months would not be eligible for index inclusion. Timetable: Two-step inclusion process with first step to coincide with the May 2018 Semi-Annual Index Review and the second step on the August 2018 Quarterly Index Review
Other announcements
Argentina continues to be monitored for possible EM index inclusion as investors expressed concerns that the recently implemented market accessibility improvements have not been in place long enough
Argentina
Nigeria will remain in the Frontier universe until November 2017 to allow for more time to better access the effectiveness of the new FX trading window
Nigeria
Saudi Arabia has officially been added to the 2018 Annual Market Classification Review for possible inclusion into EM
Saudi Arabia
Source: MSCI as of 20 June 2017
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MASTER PAGE NO. 40 of 227 Business Meeting Agenda - V.A. INVESTMENT MANAGER PRESENTATIONS - BLACKROCK
Index strategies continue to be a growing portion of client portfolios
Investors today are enhancing their passive allocations in three strategies:
Index Enhanced index strategy Factor-based strategy designed to actively seek alpha, Factors Return Plus designed to provide by tactically employing event incremental returns over Enhancement driven trading that focus on IPOs, capitalization weighted Strategies index changes, and other corporate events that might indices through broad, cause price dislocation persistent sources of return
Securities Return enhancement Lending strategy designed to capture scarcity premium by lending securities
Minimum Factor-based strategy Currency designed to reflect the Risk Volatility Hedged Risk reduction strategy characteristics of a Reduction designed to minimize or minimum variance strategy eliminate foreign exchange Strategies focused on returns as well € $ risk as the lowest absolute risk
Environmental, Market cap weighted Market cap weighted Commodities Social, and Alternative strategy designed to give strategy designed to Governance Index exposure to commodities incorporate ESG factors Strategies through the use of while minimizing tracking commodity futures error to traditional indices
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MASTER PAGE NO. 41 of 227 Business Meeting Agenda - V.A. INVESTMENT MANAGER PRESENTATIONS - BLACKROCK Key takeaway Our approach to Index: anything but passive
Investors today demand more efficient returns and innovative ways to use index products
BlackRock’s Index approach is focused on:
People Performance Process Platform Products
Team combines skill Seek to provide Rooted in deep Scale and technology Flexible spectrum of and ingenuity in consistent performance understanding of innovations enhance solutions featuring seeking to enhance as planned benchmarks and capital ability to deliver more than 1,000 funds outcomes markets consistent performance covering 350+ and minimize costs benchmarks
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MASTER PAGE NO. 42 of 227 Business Meeting Agenda - V.A. INVESTMENT MANAGER PRESENTATIONS - BLACKROCK
i. Performance and Characteristics Review
MASTER PAGE NO. 43 of 227 Business Meeting Agenda - V.A. INVESTMENT MANAGER PRESENTATIONS - BLACKROCK
® Russell 1000 Index Fund As of 30 September 2017 Characteristics
Fund information Sector diversification
Russell 1000® Index Benchmark (GrossT otal Return) 12.22 Consumer discretionary 12.22 Total fund assets $76.55B 7.72 Number of issues in fund 979 Consumer staples 7.72
Number of issues in benchmark 981 5.93 Energy 5.92
14.77 Top 10 holdings Financials 14.77
Fund % Index % 13.82 Health care 13.83 Apple Inc. 3.35 3.35 10.51 Industrials 10.50 Microsoft Corporation 2.33 2.33 Information technology 22.81 Facebook, Inc. Class A 1.66 1.66 22.80
Amazon.com, Inc. 1.59 1.59 3.34 Materials 3.34
Berkshire Hathaway Inc. 1.47 1.47 3.71 Real estate 3.71 Johnson & Johnson 1.46 1.46 Telecommunication services 2.09 Exxon Mobil Corporation 1.45 1.45 2.09 3.10
Ch Utilities
- JPMorgan Chase & Co. 1.41 1.41 3.10
A -
Idx Alphabet Inc. Class A 1.21 1.21
- 0 5 10 15 20 25 1K - Alphabet Inc. Class C 1.21 1.21
Ru Fund Benchmark
Fund inception date 31 January 1987 Data is used for analytical purposes only. Index data may differ to those published by the Index due to calculation methods. Breakdowns may not sum to 100 percent due to rounding, exclusion of cash, STIF and statistically immaterial factors. Portfolio holdings are subject to change and are not intended as a recommendation of individual securities. Source: BTC, FactSet
INTENDED FOR USE IN A ONE-ON-ONE PRESENTATION WITH INSTITUTIONAL TRUST CLIENTS OF BLACKROCK BES-0182 INSTITUTIONAL TRUST COMPANY. N.A. (“BTC”) 35
MASTER PAGE NO. 44 of 227 Business Meeting Agenda - V.A. INVESTMENT MANAGER PRESENTATIONS - BLACKROCK Russell 1000® Index Fund As of 30 September 2017 Performance
Gross total return in USD (annualized* %)
21 18.58 18.54
14.18 14.17 14.3114.27 14 10.68 10.63 10.0510.02 7.61 7.55 7 4.49 4.48 2.14 2.13
0 MTD* Q3* YTD* 1 year* 3 year 5 year 10 year Since inception**
Fund Russell 1000 Index (Gross Total Return)
Since MTD* % Q3* % YTD* % 1-yr* % 3-yr % 5-yr % 10-yr % incept % Tracking difference 0.01 0.01 0.01 0.04 0.05 0.04 0.06 0.03 (Gross vs. Benchmark)
* Period returns for less than a year are cumulative ** Fund inception date 31 January 1987 This information is unaudited, subject to change and intended for analytical purposes only. The Fund’s net asset value does not include an accrual for the investment management fee but does include an accrual for fund level administrative costs and, if applicable, certain third party acquired fund fees and expenses. If the Fund’s net asset value did include an accrual for the investment management fee, the Fund’s returns would be lower. Past performance is not necessarily an indicator of future performance. Indexes are unmanaged. It is not possible to invest directly in an index. Source: BlackRock
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Russell 2500™ Index Fund As of 30 September 2017 Characteristics
Fund information Sector diversification
Benchmark Russell 2500™ Total Return Index Consumer discretionary 12.42 Total fund assets $6.60B 12.41 2.85 Number of issues in fund 2,463 Consumer staples 2.84
Number of issues in benchmark 2,491 4.44 Energy 4.44
Financials 16.25 Top 10 holdings 16.34
11.88 Fund % Index % Health care 11.87
CBOE Holdings, Inc. 0.26 0.26 16.05 Industrials 16.02 E*TRADE Financial Corporation 0.26 0.26 Information technology 16.28 Lear Corporation 0.26 0.26 16.26 5.93 United Rentals, Inc. 0.26 0.26 Materials 5.93
Cooper Companies, Inc. 0.25 0.25 9.54 Real estate 9.56 Xylem Inc. 0.25 0.25 Telecommunication services 0.58 Alexandria Real Estate Equities, 0.58 0.24 0.24 Inc. 3.76
Ch Utilities
- Arthur J. Gallagher & Co. 0.24 0.24 3.76
Idx -
Cadence Design Systems, Inc. 0.24 0.24 0 5 10 15 20 2500 - Gartner, Inc. 0.24 0.24
Ru Fund Benchmark
Fund inception date 28 February 2001 Data is used for analytical purposes only. Index data may differ to those published by the Index due to calculation methods. Breakdowns may not sum to 100 percent due to rounding, exclusion of cash, STIF and statistically immaterial factors. Portfolio holdings are subject to change and are not intended as a recommendation of individual securities. Source: BTC, FactSet
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MASTER PAGE NO. 46 of 227 Business Meeting Agenda - V.A. INVESTMENT MANAGER PRESENTATIONS - BLACKROCK Russell 2500TM Index Fund As of 30 September 2017 Performance
Gross total return in USD (annualized* %)
21 18.0117.79
14.04 13.86 14 11.0711.00 10.83 10.60 9.38 9.24 8.38 8.19 7 4.55 4.54 4.77 4.74
0 MTD* Q3* YTD* 1 year* 3 year 5 year 10 year Since inception**
Fund Russell 2500 Total Return Index
Since MTD* % Q3* % YTD* % 1-yr* % 3-yr % 5-yr % 10-yr % incept % Tracking difference 0.01 0.03 0.07 0.22 0.23 0.18 0.19 0.14 (Gross vs. Benchmark)
* Period returns for less than a year are cumulative ** Fund inception date 28 February 2001 This information is unaudited, subject to change and intended for analytical purposes only. The Fund’s net asset value does not include an accrual for the investment management fee but does include an accrual for fund level administrative costs and, if applicable, certain third party acquired fund fees and expenses. If the Fund’s net asset value did include an accrual for the investment management fee, the Fund’s returns would be lower. Past performance is not necessarily an indicator of future performance. Indexes are unmanaged. It is not possible to invest directly in an index. Source: BlackRock
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BlackRock MSCI ACWI Equity Index Fund As of 30 September 2017 Characteristics
Fund information Country allocation (%) MSCI ACWI Index (Net Total Benchmark United States Return) 52.00 Total fund value $1.42B Number of issues in fund 2,515 Number of issues in benchmark 2,490 Japan 7.65 Top 10 holdings United Country Weight (%) Kingdom 5.92 Apple Inc. United States 1.85
Microsoft Corporation United States 1.26
Facebook, Inc. United States 0.93 France 3.58 South Africa 0.74 Philippines 0.13 China 3.41 Denmark 0.62 Turkey 0.13 Amazon.com, Inc. United States 0.90 Canada 3.23 Singapore 0.42 Austria 0.09 Johnson & Johnson United States 0.81 Germany 3.21 Mexico 0.40 UAE 0.08 Switzerland 2.70 Russia 0.40 Qatar 0.07 Exxon Mobil Corporation United States 0.80 Australia 2.28 Belgium 0.39 Colombia 0.05 Korea 1.73 Finland 0.33 New Zealand 0.05 JPMorgan Chase & Co. United States 0.78 Taiwan 1.33 Indonesia 0.26 Peru 0.05 Netherlands 1.24 Malaysia 0.26 Portugal 0.05
Ch Alphabet Inc. Class C United States 0.69
- Hong Kong 1.16 Thailand 0.26 Greece 0.04 A - Spain 1.16 Norway 0.24 Hungary 0.04
Alphabet Inc. Class A United States 0.67 India 0.98 Israel 0.16 Czech Republic 0.02 Index - Sweden 0.98 Chile 0.15 Egypt 0.02 Wells Fargo & Company United States 0.60 Brazil 0.87 Ireland 0.15 Pakistan 0.01
ACWI Italy 0.82 Poland 0.15 Fund inception date 22 April 2010 Data is used for analytical purposes only. Breakdowns may not sum to 100 percent due to rounding, exclusion of cash, STIF and statistically immaterial factors. Portfolio holdings are subject to change and are not intended as a recommendation of individual securities. Source: BTC, FactSet
INTENDED FOR USE IN A ONE-ON-ONE PRESENTATION WITH INSTITUTIONAL TRUST CLIENTS OF BES-0181 BLACKROCK INSTITUTIONAL TRUST COMPANY. N.A. (“BTC”) 39
MASTER PAGE NO. 48 of 227 Business Meeting Agenda - V.A. INVESTMENT MANAGER PRESENTATIONS - BLACKROCK BlackRock MSCI ACWI Equity Index Fund As of 30 September 2017 Performance
Gross total return in USD (annualized* %)
24
19.22 18.65 17.6917.25 16
10.68 10.20 8.93 8.45 7.94 7.43 8 5.29 5.18 1.97 1.93
0 MTD* Q3* YTD* 1 year* 3 year 5 year Since inception**
Fund MSCI ACWI (Net Total Return)
Since MTD* % Q3* % YTD* % 1-yr* % 3-yr % 5-yr % incept % Tracking difference 0.04 0.11 0.44 0.57 0.51 0.48 0.48 (Gross vs. Benchmark)
* Period returns for less than a year are cumulative ** Fund inception date 22 April 2010 This information is unaudited, subject to change and intended for analytical purposes only. The Fund’s net asset value does not include an accrual for the investment management fee but does include an accrual for fund level administrative costs and, if applicable, certain third party acquired fund fees and expenses. If the Fund’s net asset value did include an accrual for the investment management fee, the Fund’s returns would be lower. Past performance is not necessarily an indicator of future performance. Indexes are unmanaged. It is not possible to invest directly in an index. Source: BlackRock.
INTENDED FOR USE IN A ONE-ON-ONE PRESENTATION WITH INSTITUTIONAL TRUST CLIENTS OF BLACKROCK BES-0179 INSTITUTIONAL TRUST COMPANY. N.A. (“BTC”) 40
MASTER PAGE NO. 49 of 227 Business Meeting Agenda - V.A. INVESTMENT MANAGER PRESENTATIONS - BLACKROCK
BlackRock MSCI ACWI ex-U.S. IMI Index Fund As of 30 September 2017 Characteristics
Fund information Country allocation (%) MSCI ACWI ex-U.S. IMI Benchmark United France Net Return in USD Canada Kingdom 7.07 6.95 Total fund value $19.63B 12.77 Germany Number of issues in fund 6,233 6.64 Number of issues in benchmark 6,155 Japan 17.24 China 6.30 Top 10 holdings Switzerland Country Weight (%) 5.48 Nestle S.A. Switzerland 1.06
Tencent Holdings Ltd. China 1.01
Samsung Electronics Co., Ltd. Korea 0.91
Alibaba Group Holding Ltd. China 0.81 Australia 4.83 Finland 0.78 New Zealand 0.22 Korea 3.20 Mexico 0.74 UAE 0.15 HSBC Holdings PLC United Kingdom 0.81 Netherlands 2.54 Russia 0.73 Portugal 0.13 Taiwan 2.46 Norway 0.62 Qatar 0.12 Novartis AG Switzerland 0.77 Spain 2.38 Indonesia 0.49 Colombia 0.10 Hong Kong 2.37 Malaysia 0.48 Peru 0.08
Roche Holding Ltd Genusssch. Switzerland 0.73 Sweden 2.36 Thailand 0.48 Greece 0.07 Ch - Italy 1.95 Israel 0.46 Hungary 0.07
A Taiwan Semiconductor Manufacturing - Taiwan 0.73 India 1.80 Ireland 0.39
Co., Ltd. Czech Republic 0.04 IMI - Brazil 1.61 Poland 0.28 Egypt 0.03
US Toyota Motor Corp. Japan 0.64 South Africa 1.36 Chile 0.27 Pakistan 0.02 -
ex Denmark 1.32 Austria 0.26 - British American Tobacco PLC United Kingdom 0.59 Singapore 0.95 Philippines 0.24
Belgium 0.93 Turkey 0.24 ACWI Fund inception date 20 March 2008 Data is used for analytical purposes only. Breakdowns may not sum to 100 percent due to rounding, exclusion of cash, STIF and statistically immaterial factors. Portfolio holdings are subject to change and are not intended as a recommendation of individual securities. Source: BTC, FactSet
INTENDED FOR USE IN A ONE-ON-ONE PRESENTATION WITH INSTITUTIONAL TRUST CLIENTS OF BES-0181 BLACKROCK INSTITUTIONAL TRUST COMPANY. N.A. (“BTC”) 41
MASTER PAGE NO. 50 of 227 Business Meeting Agenda - V.A. INVESTMENT MANAGER PRESENTATIONS - BLACKROCK BlackRock MSCI ACWI ex-U.S. IMI Index Fund As of 30 September 2017 Performance
Gross total return in USD (annualized* %)
24 21.81 21.47 19.94 19.55
16
7.64 7.32 8 6.32 6.27 5.50 5.16 3.62 3.33 1.93 1.90
0 MTD* Q3* YTD* 1 year* 3 year 5 year Since inception**
Fund MSCI ACWI ex-US IMI Net Return in USD
Since MTD* % Q3* % YTD* % 1-yr* % 3-yr % 5-yr % incept % Tracking difference 0.03 0.05 0.34 0.39 0.34 0.32 0.29 (Gross vs. Benchmark)
* Period returns for less than a year are cumulative ** Fund inception date 20 March 2008 This information is unaudited, subject to change and intended for analytical purposes only. The Fund’s net asset value does not include an accrual for the investment management fee but does include an accrual for fund level administrative costs and, if applicable, certain third party acquired fund fees and expenses. If the Fund’s net asset value did include an accrual for the investment management fee, the Fund’s returns would be lower. Past performance is not necessarily an indicator of future performance. Indexes are unmanaged. It is not possible to invest directly in an index. Source: BlackRock.
INTENDED FOR USE IN A ONE-ON-ONE PRESENTATION WITH INSTITUTIONAL TRUST CLIENTS OF BLACKROCK BES-0179 INSTITUTIONAL TRUST COMPANY. N.A. (“BTC”) 42
MASTER PAGE NO. 51 of 227 Business Meeting Agenda - V.A. INVESTMENT MANAGER PRESENTATIONS - BLACKROCK
IV. Fixed Income Indexing Overview
MASTER PAGE NO. 52 of 227 Business Meeting Agenda - V.A. INVESTMENT MANAGER PRESENTATIONS - BLACKROCK Global fixed income platform provides greater access to investment opportunities
Benefits of BlackRock's breadth and depth • Talent: 400+ fixed income professionals generate ideas and identify insights to create alpha opportunities • Trading: Global execution platform provides deep market access • Technology: Sophisticated analytics and risk management enables us to better understand and take risk in pursuit of alpha • Culture: Fiduciary commitment to advising and serving clients drives our investment culture Experienced leadership team oversees portfolio teams with decision-making autonomy
Global Fixed Income Platform $1.79 trillion
Tim Webb Rick Rieder Global Head of Fixed Income CIO of Global Fixed Income
Active Passive $797 billion $990 billion
Fundamental Systematic Index ETF $751 billion $47 billion $604 billion $386 billion
AUM in USD and data as of 30 September 2017; excludes fixed income alternative assets. For illustrative purposes only.
FI1017U-282745-860703 FOR USE WITH QUALIFIED ELIGIBLE INVESTORS — PROPRIETARY AND CONFIDENTIAL 45
MASTER PAGE NO. 53 of 227 Business Meeting Agenda - V.A. INVESTMENT MANAGER PRESENTATIONS - BLACKROCK
Americas Fixed Income Index Team
Americas Fixed Income
Portfolio Management Research Strategy
Core PM Global Research Americas
Scott Radell Robert Stanley Research Group Head of San Francisco Core PM Head of US Product Strategy Rates / Mortgages / Multi-Sector/Other Credit Ralph Smith Emerging Markets Head of Systematic Fixed Chris Barr Income Research Scott Radell Joel Silva Jonathan Graves David Dulski Jay Mauro Gordon Readey Head of San Sr. Portfolio Manager Sr. Portfolio Portfolio Manager Deputy Head of SF Francisco Core Munis / Canada / Manager Corporate Credit Core PM Research Kathryn Donovan PM Impact Corporate Credit Giulia Cerardi Mark Buell Laura May Karen Uyehara Tao Chen Allen Kwong Portfolio Manager Portfolio Manager + 9 Index researchers Chandler Grinnell Portfolio Manager Portfolio Manager Portfolio Manager Corporate Credit US Government Bonds Multi-Sector Municipals Corporate Credit Elya Schwartzman Wes George Rena Patel Jasmita Mohan Karishma Kaul Portfolio Manager Portfolio Manager Portfolio Manager Portfolio Manager Portfolio Manger Corporate Credit Agency Mortgages Municipals Multi-Sector Corporate Credit Leo Landes Marcus Tom Jermaine Pierre Nicolas Giometti Portfolio Manager Ryan Stone Portfolio Manager Portfolio Manager Jr. Portfolio Agency Mortgages Jr. Portfolio Corporate Credit Canada Manager Manager Jesse Kang Cynthia Fan Lip Tong Corporate Credit Multi-Sector Portfolio Manager Jr. Portfolio Manager Portfolio Manager Sam Dreyfuss Corporate Credit US Government Bonds Clay Armistead Canada Jr. Portfolio Portfolio Manager Daniel Ruiz Manager Yang He Securitized Credit Portfolio Manager Corporate Credit Jr. Portfolio Manager Emerging Markets Emily Freeman Corporate Credit Gabe Shipley Jr. Portfolio Portfolio Manager Manager Emerging Markets Corporate Credit
As of September 30, 2017
FI1017U-282745-860703 FOR USE WITH QUALIFIED ELIGIBLE INVESTORS — PROPRIETARY AND CONFIDENTIAL 46
MASTER PAGE NO. 54 of 227 Business Meeting Agenda - V.A. INVESTMENT MANAGER PRESENTATIONS - BLACKROCK Passive management OTC markets require different strategies vs. exchange traded markets
Quantitative process balances tracking error & transaction costs • Unlike most stocks, bonds trade “Over the Counter” • Prohibitive costs, uncertain liquidity, and issue scarcity often makes perfect replication infeasible • Index process optimizes marginal contribution to tracking error with T-Costs
points Tracking error Optimal Transaction costs
portfolio Basis
Number of issues
For illustrative purpose only Source: BlackRock
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MASTER PAGE NO. 55 of 227 Business Meeting Agenda - V.A. INVESTMENT MANAGER PRESENTATIONS - BLACKROCK
Benchmark knowledge & modular fund design
BlackRock's modular fund design leverages scale and facilitates crossing opportunities
Barclays US Aggregate Issues Fund: 7,609 Issues Benchmark: 9,460
CMBS 2% ABS Intermediate 1% Govt 33% MBS 28%
Long Govt 6% Long Credit 9% Intermediate Credit 21%
Intermediate Long Intermediate Long Mortgage-Backed Asset-Backed CMBS Government Government Credit Credit Securities Securities Issues Fund: 248 Issues Fund: 78 Issues Fund: 3,982 Issues Fund: 1,927 Issues Fund: 317 Issues Fund: 153 Issues Fund: 421 Issues B’mark: 464 Issues B’mark: 78 Issues B’mark: 4,243 Issues B’mark: 1,961 Issues B’mark: 317 Issues B’mark: 353 Issues B’mark: 2,123
Source: Barclays as of September 30, 2017 Funds are BlackRock CTFs
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MASTER PAGE NO. 56 of 227 Business Meeting Agenda - V.A. INVESTMENT MANAGER PRESENTATIONS - BLACKROCK
i. Performance and Characteristics Review
MASTER PAGE NO. 57 of 227 Business Meeting Agenda - V.A. INVESTMENT MANAGER PRESENTATIONS - BLACKROCK U.S. Debt Index Fund As of 30 September 2017 Portfolio profile
U.S. Debt BBG Barc U.S. U.S. Debt BBG Barc U.S. Index Fund Aggregate Index Index Fund Aggregate Index
Market value ($B) 9.90 19,963.46 Sector breakdown (mkt val %) Treasury 36.73 36.98 # Issues 7,609 9,547 Agencies 1.80 1.83 Characteristics Financials 7.83 8.00 Coupon (%) 3.16 3.06 Industrials 15.66 15.81 Yield to maturity (YTM) (%) 2.53 2.55 Utilities 1.72 1.76 Weighted avg life (yrs) 8.02 8.10 Non-US credit 4.42 4.45 Taxable munis 0.62 0.67 Effective duration (yrs) 5.71 5.71 ABS 0.48 0.49 Spread duration 3.93 3.88 Mortgages 27.96 28.12 Option adjusted spread (bps) 38 39 Hybrid ARM 0.11 0.00 Convexity 0.09 0.12 CMBS 2.15 1.82 MSCI ESG Score (adjusted)* 6.04 6.02 Foreign Government 0.00 0.07 Cash 0.53 0.00 Environment Score 6.15 6.14 Weighted avg life breakdown (mkt val %) Social Score 6.43 6.41 0-1 2.30 0.06 Governance Score 5.91 5.90 1-2 9.03 10.36 Quality breakdown (mkt val %) 2-3 7.79 9.88 AAA or above 72.00 71.89 3-5 23.99 20.61 5-7 19.62 21.43 AA 3.82 3.52 7-10 21.63 21.84 A 10.49 10.71 10-20 3.75 3.74 BBB 13.69 13.87 20-30 11.29 11.48 30+ 0.60 0.60
* MSCI ESG Scores assess companies’ ability to manage their exposure to the most relevant ESG risks and opportunities, relative to industry peers. A score of 6.68 or higher correspond to an industry leader, 3.34-6.67 corresponds to an average score, and scores of 3.33 and lower corresponds to a laggard vs. industry peers. The credit quality of a particular security or group of securities may be based upon a rating from a nationally recognized statistical rating organization or, if unrated by a ratings organization, assigned an internal rating by BlackRock, neither of which ensures the stability or safety of an overall portfolio. Although BlackRock’s information providers, including without limitation, MSCI ESG Research Inc. and its affiliates (the “ESG Parties”), obtain information from sources they consider reliable, none of the ESG Parties warrants or guarantees the originality, accuracy and/or completeness of any data herein. None of the ESG Parties makes any express or implied warranties of any kind, and the ESG Parties hereby expressly disclaim all warranties of merchantability and fitness for a particular purpose, with respect to any data herein. None of the ESG Parties shall have any liability for any errors or omissions in connection with any data herein. Further, without limiting any of the foregoing, in no event shall any of the ESG Parties have any liability for any direct, indirect, special, punitive, consequential or any other damages (including lost profits) even if notified of the possibility of such damages. ©2017 MSCI ESG Research Inc. Reproduced by permission. Fund inception date 30 June 1986 Data is for analytical purposes only. Index data points may differ to those published by the Index due to different calculation criteria. The credit quality of a particular security or group of securities may be based upon a rating from a nationally recognized statistical rating organization or, if unrated by a ratings organization, assigned an internal rating by BlackRock, neither of which ensures the stability or safety of an overall portfolio. Breakdowns may not sum to total due to rounding, exclusion of cash, STIF, and statistically immaterial factors. Source: BlackRock.
INTENDED FOR USE IN A ONE-ON-ONE PRESENTATION WITH INSTITUTIONAL TRUST CLIENTS OF BLACKROCK FIMB-0503 INSTITUTIONAL TRUST COMPANY. N.A. (“BTC”) 51
MASTER PAGE NO. 58 of 227 Business Meeting Agenda - V.A. INVESTMENT MANAGER PRESENTATIONS - BLACKROCK U.S. Debt Index Fund As of 30 September 2017 Performance
Gross total return in USD (annualized* %)
8 6.43 6.37 6 4.41 4.27 4 3.26 3.14 2.83 2.71 2.20 2.06 2 0.88 0.85 0.19 0.07 0 -0.46 -0.48 -2 MTD* Q3* YTD* 1 year* 3 year 5 year 10 year Since inception** Fund BBG Barc U.S. Aggregate Index
Since MTD %* Q3%* YTD %* 1-yr %* 3-yr % 5-yr % 10-yr % incept % Tracking difference 0.02 0.03 0.12 0.12 0.12 0.14 0.14 0.06 (Gross vs. Benchmark)
* Period returns for less than a year are cumulative ** Fund inception date 30 June 1986 This information is unaudited, subject to change and intended for analytical purposes only. The Fund’s net asset value does not include an accrual for the investment management fee but does include an accrual for fund level administrative costs and, if applicable, certain third party acquired fund fees and expenses. If the Fund’s net asset value did include an accrual for the investment management fee, the Fund’s returns would be lower. Past performance is not necessarily an indicator of future performance. Indexes are unmanaged. It is not possible to invest directly in an index. Source: BlackRock.
INTENDED FOR USE IN A ONE-ON-ONE PRESENTATION WITH INSTITUTIONAL TRUST CLIENTS OF BLACKROCK FIMB-0504 INSTITUTIONAL TRUST COMPANY. N.A. (“BTC”) 52
MASTER PAGE NO. 59 of 227 Business Meeting Agenda - V.A. INVESTMENT MANAGER PRESENTATIONS - BLACKROCK
Appendix
MASTER PAGE NO. 60 of 227 Business Meeting Agenda - V.A. INVESTMENT MANAGER PRESENTATIONS - BLACKROCK
i. Presenter Biographies
MASTER PAGE NO. 61 of 227 Business Meeting Agenda - V.A. INVESTMENT MANAGER PRESENTATIONS - BLACKROCK
Presenter Biographies
Anthony R. Freitas, CFA, Managing Director, is a member of the US and Canada Institutional team within BlackRock's Institutional Client Business. He is responsible for developing and maintaining relationships with institutional investors, including public and private pension plans, foundations and endowments.
Prior to joining BlackRock in 2004, Mr. Freitas was with Deutsche Asset Management, most recently as Managing Director and Regional Manager for client service. From 1993 to 2000, he was with Boston Partners Asset Management L.P. Initially a vice president responsible for West Coast client service, he became a Principal in 1995. Mr. Freitas began his career at Callan Associates in 1986 as a pension fund consultant.
Mr. Freitas earned an BA degree in political science from the University of California at Berkeley in 1982 and an MBA in finance from San Francisco State University in 1985.
Timothy Murray, CFA, Director, is an Index Equity strategist within BlackRock's Beta Strategies Group.
Mr. Murray's service with the firm dates back to 2007, including his years with Barclays Global Investors (BGI), which merged with BlackRock in 2009. Prior to moving to his role as a product strategist, Mr. Murray was a senior portfolio manager and team leader in BlackRock's Institutional Index Equity Portfolio Management Group. Before joining BGI, Mr. Murray was a manager at State Street working with asset managers on trade processing and settlement. Prior to State Street, he was a financial advisor at Merrill Lynch.
Mr. Murray earned a BS degree in finance from California State University, Sacramento, in 2002, and an MBA degree from the University of California, Davis, in 2013.
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ii. Disclosures
MASTER PAGE NO. 63 of 227 Business Meeting Agenda - V.A. INVESTMENT MANAGER PRESENTATIONS - BLACKROCK
Important notes
For recipients in the US: In the US this material is for institutional investors only.
For recipients in the EU: In the EU issued by BlackRock Investment Management (UK) Limited (authorised and regulated by the Financial Conduct Authority). Registered office: 12 Throgmorton Avenue, London, EC2N 2DL. Registered in England No. 2020394. Tel: 020 7743 3000. For your protection, telephone calls are usually recorded. BlackRock is a trading name of BlackRock Investment Management (UK) Limited.
For qualified investors in Switzerland: this document shall be exclusively made available to, and directed at, qualified investors as defined in the Swiss Collective Investment Schemes Act of 23 June 2006, as amended.
Issued in the Netherlands by the Amsterdam branch office of BlackRock Investment Management (UK) Limited: Amstelplein 1, 1096 HA Amsterdam, Tel: 020 - 549 5200.
For recipients in Korea: For distribution in Korea for Professional Investors only ("Professional Investors") as defined in the local regulation.
For recipients in Singapore: In Singapore, this is issued by BlackRock (Singapore) Limited (Co. registration no. 200010143N) for use only with institutional investors as defined in Section 4A of the Securities and Futures Act, Chapter 289 of Singapore.
For recipients in Hong Kong: In Hong Kong, the information provided is issued by BlackRock Asset Management North Asia Limited and is only for distribution to "professional investors" (as defined in the Securities and Futures Ordinances (Cap. 571 of the laws of Hong Kong)) and should not be relied upon by any other persons.
For recipients in China: These materials may not be distributed to individuals resident in the PRC or entities registered in the PRC unless such parties have received all the required PRC government approvals to participate in any investment or receive any investment advisory or investment management services
For recipients in Latin America: In Latin America and Iberia, for institutional investors and financial intermediaries only (not for public distribution). This material is for educational purposes only and does not constitute investment advice or an offer or solicitation to sell or a solicitation of an offer to buy any shares of any fund or security and it is your responsibility to inform yourself of, and to observe, all applicable laws and regulations of your relevant jurisdiction. If any funds are mentioned or inferred in this material, such funds may not been registered with the securities regulators of Argentina, Brazil, Chile, Colombia, Mexico, Panama, Peru, Portugal, Spain Uruguay or any other securities regulator in any Latin American or Iberian country and thus, may not be publicly offered in any such countries. The securities regulators of any country within Latin America or Iberia have not confirmed the accuracy of any information contained herein. No information discussed herein can be provided to the general public in Latin America or Iberia. The contents of this material are strictly confidential and must not be passed to any third party.
This document contains general information only and is not intended to be relied upon as a forecast, research, investment advice, or a recommendation, offer or solicitation to buy or sell any securities or to adopt any investment strategy. The information does not take into account your financial circumstances. An assessment should be made as to whether the information is appropriate for you having regard to your objectives, financial situation and needs.
The opinions expressed are as of 11.6.2017 and may change as subsequent conditions vary. The information and opinions contained in this material are derived from proprietary and non- proprietary sources deemed by BlackRock, Inc. and/or its subsidiaries (together, “BlackRock”) to be reliable, are not necessarily all inclusive and are not guaranteed as to accuracy. There is no guarantee that any forecasts made will come to pass. Any investments named within this material may not necessarily be held in any accounts managed by BlackRock. Reliance upon information in this material is at the sole discretion of the reader. Past performance is no guarantee of future results.
BlackRock® is a registered trademark of BlackRock, Inc. All other trademarks are the property of their respective owners.
© 2017 BlackRock, Inc. All rights reserved. BLACKROCK, BLACKROCK SOLUTIONS, and iSHARES are registered trademarks of BlackRock, Inc. or its subsidiaries. All other trademarks are the property of their respective owners.
ICB0717U-224519-684043 FOR INSTITUTIONAL/PROFESSIONAL CLIENTS/QUALIFIED INVESTORS ONLY 61
MASTER PAGE NO. 64 of 227 Business Meeting Agenda - V.A. INVESTMENT MANAGER PRESENTATIONS - BLACKROCK
Important Notes
Past performance does not guarantee future results. For ease of reference, “BlackRock” may be used to refer to BlackRock, Inc. and its affiliates, including BlackRock Institutional Trust Company, N.A. BlackRock Institutional Trust Company, N.A. (“BTC”), a national banking association operating as a limited purpose trust company, manages the collective investment funds and common trust funds (“collective funds”) products and services discussed in this publication and provides fiduciary and custody services to various institutional investors. Collective funds are privately offered: prospectuses are not required. Strategies maintained by BTC are not insured by the Federal Deposit Insurance Corporation or any other agency of the US government, are not an obligation or deposit of, or guaranteed by, BTC or its affiliates Investment return and principal value of an investment will fluctuate so that an investor’s shares, when redeemed, may be worth more or less than the original cost. Any opinions expressed in this publication reflect our judgment at this date and are subject to change. No part of this publication may be reproduced in any manner without the prior written permission of BTC. Collective fund performance assumes reinvestment of income, and does not reflect management fees, and certain transaction costs and expenses charged to the fund. Risk controls, asset allocation models, and proprietary technology do not promise any level of performance or guarantee against loss of principal.
This material is for distribution only to those types of recipients as provided below and should not be relied upon by any other persons. This material is provided for informational purposes only and does not constitute a solicitation in any jurisdiction in which such solicitation is unlawful or to any person to whom it is unlawful. Moreover, it neither constitutes an offer to enter into an investment agreement with the recipient of this document nor an invitation to respond to it by making an offer to enter into an investment agreement. Where historical performance information of other investment vehicles or composite accounts managed by BlackRock, Inc. and/or its subsidiaries (together, “BlackRock”) has been included in this material, such performance information is presented by way of example only. No representation is made that the performance presented will be achieved, or that every assumption made in achieving, calculating or presenting the historical performance information herein has been considered or stated in preparing this material. This material is not intended to be relied upon as a forecast, research or investment advice, and is not a recommendation, offer or solicitation to buy or sell any securities or to adopt any investment strategy.
This document contains general information only and is not intended to represent general or specific investment advice. The information does not take into account an investor’s financial circumstances. An assessment should be made as to whether the information is appropriate for you having regard to your objectives, financial situation and needs.
None of the information constitutes a recommendation by BTC or a solicitation of any offer to buy or sell any securities. The information is not intended to provide investment advice. Neither BTC nor BlackRock, Inc. guarantees the suitability or potential value of any particular investment. The information contained herein may not be relied upon by you in evaluating the merits of investing in any investment. To obtain pricing information, please contact your local service representative. Strategies maintained by BlackRock are not insured by the Federal Deposit Insurance Corporation and are not guaranteed by BlackRock or its affiliates. There are structural and regulatory differences between collective funds and mutual funds that may affect their respective fees and performance
BlackRock Institutional Trust Company, N.A., is a wholly-owned subsidiary of BlackRock, Inc.
For A Funds: Strategies include bank collective investment funds maintained and managed by BlackRock Institutional Trust Company, N.A. which are available only to certain qualified employee benefit plans and governmental plans and are not offered or available to the general public. Accordingly, prospectuses are not required and prices are not available in local publications.
For B Funds: Strategies include bank common trust funds maintained and managed by BlackRock Institutional Trust Company, N.A. which are available only to certain qualified purchasers and are not offered or available to the general public. Accordingly, prospectuses are not required and prices are not available in local publications.
THIS MATERIAL IS HIGHLY CONFIDENTIAL AND IS NOT TO BE REPRODUCED OR DISTRIBUTED TO PERSONS OTHER THAN THE RECIPIENT.
© 2017 BlackRock, Inc. All Rights reserved. BLACKROCK is a registered trademark of BlackRock, Inc. or its subsidiaries in the United States and elsewhere. All other trademarks are those of their respective owners.
BETA0517U-166515-461707 FOR USE WITH INSTITUTIONAL INVESTORS ONLY – PROPRIETARY AND CONFIDENTIAL 62
MASTER PAGE NO. 65 of 227 Business Meeting Agenda - V.A. INVESTMENT MANAGER PRESENTATIONS - BLACKROCK
Important Notes cont’d
THE INFORMATION CONTAINED HEREIN MAY BE PROPRIETARY IN NATURE AND HAS BEEN PROVIDED TO YOU ON A CONFIDENTIAL BASIS, AND MAY NOT BE REPRODUCED, COPIED OR DISTRIBUTED WITHOUT THE PRIOR CONSENT OF BLACKROCK, INC. (“BLACKROCK”). These materials are not an advertisement and are not intended for public use or dissemination. This communication is not an offer and should not be deemed to be a contractual commitment or undertaking between the intended recipient of this communication and BlackRock but an indication of what services may be offered subject to a legally binding contract between the parties and therefore no reliance should be placed on this document or its content. Opinions, estimates and recommendations offered constitute our judgment and are subject to change without notice, as are statements of financial market trends, which are based on current market conditions. We believe the information provided here is reliable, but do not warrant its accuracy or completeness. This communication and its content represent confidential information. This material has been prepared for informational purposes only, and is not intended to provide, and should not be relied on for, accounting, legal or tax advice. You should consult your tax or legal adviser regarding such matters. Any reference herein to any security and/or a particular issuer shall not constitute a recommendation to buy or sell, offer to buy, offer to sell, or a solicitation of an offer to buy or sell any such securities issued by such issuer.
Performance and Fees Past performance is not a guarantee or a reliable indicator of future results. Certain performance figures do not reflect the deduction of investment advisory fees (described in Part 2 of BlackRock's Form ADV) but they do reflect commissions, other expenses (except custody), and reinvestment of earnings. Such fees that a client may incur in the management of their investment advisory account may reduce the client's return. For example, assuming an annual gross return of 8% and an annual management/advisory fee of .40%, the net annualized total return of the portfolio would be 7.58% over a 5-year period. The “net of fees’ performance figures reflect the deduction of actual investment advisory fees but do not reflect the deduction of custodial fees. All periods longer than one year are annualized. (Separate account clients may elect to include BlackRock funds in their portfolio; sector funds may be subject to additional terms and fees.)
Credit Quality The credit quality of a particular security or group of securities does not ensure the stability or safety of an overall portfolio. The Quality ratings of individual issues/issuers are provided to indicate the credit worthiness of such issues/issuer and generally range from AAA, Aaa, or AAA (highest) to D, C, or D (lowest) for S&P, Moody’s, and Fitch respectively.
Forward Looking Information This material may contain “forward-looking” information that is not purely historical in nature. Such information may include, among other things, projections, forecasts, estimates of yields or returns, and proposed or expected portfolio composition. Moreover, where certain historical performance information of other investment vehicles or composite accounts managed by BlackRock, Inc. and/or its subsidiaries (together, “BlackRock”) has been included in this material, such performance information is presented by way of example only. No representation is made that the performance presented will be achieved, or that every assumption made in achieving, calculating or presenting either the forward-looking information or the historical performance information herein has been considered or stated in preparing this material. Any changes to assumptions that may have been made in preparing this material could have a material impact on the investment returns that are presented herein by way of example.
BETA0617U-192358-537798 FOR USE WITH INSTITUTIONAL INVESTORS ONLY – PROPRIETARY AND CONFIDENTIAL 63
MASTER PAGE NO. 66 of 227 Business Meeting Agenda - V.A. INVESTMENT MANAGER PRESENTATIONS - BLACKROCK
Important Notes cont’d
Forecast This material is not intended to be relied upon as a forecast, research or investment advice, and is not a recommendation, offer or solicitation to buy or sell any securities or to adopt any investment strategy. The opinions expressed are those of the authors and may change as subsequent conditions vary. Individual portfolio managers for BlackRock may have opinions and/or make investment decisions that, in certain respects, may not be consistent with the information contained in this document. The information and opinions contained in this material are derived from proprietary and nonproprietary sources deemed by BlackRock to be reliable, are not necessarily all inclusive and are not guaranteed as to accuracy. Past performance is no guarantee of future results. There is no guarantee that any of these views will come to pass. Reliance upon information in this material is at the sole discretion of the reader.
Index It is not possible to directly invest in an unmanaged index.
Risk Investing in the bond market is subject to certain risks including market, interest-rate, issuer, credit, and inflation risk. Equities may decline in value due to both real and perceived general market, economic, and industry conditions. Mortgage and asset-backed securities may be sensitive to changes in interest rates, subject to early repayment risk, and while generally backed by a government, government-agency or private guarantor there is no assurance that the guarantor will meet its obligations. High-yield, lower-rated, securities involve greater risk than higher-rated securities; portfolios that invest in them may be subject to greater levels of credit and liquidity risk than portfolios that do not. Investors will, at times, incur a tax liability. Income from municipal bonds may be subject to state and local taxes and at times the alternative minimum tax. Derivatives may involve certain costs and risks such as liquidity, interest rate, market, credit, management and the risk that a position could not be closed when most advantageous. Investing in derivatives could lose more than the amount invested. There can be no assurance that the investment objectives of any strategy referred to herein will be achieved. An investment in any strategy referred to herein involves a high degree of risk, including the risk that the entire amount invested may be lost.
THIS MATERIAL IS HIGHLY CONFIDENTIAL AND IS NOT TO BE REPRODUCED OR DISTRIBUTED TO PERSONS OTHER THAN THE RECIPIENT. The information contained in this presentation is proprietary and confidential and may contain commercial or financial information, trade secrets and/or intellectual property of BlackRock. If this information is provided to an entity or agency that has, or is subject to, open records, open meetings, “freedom of information”, “sunshine” laws, rules, regulations or policies or similar or related laws, rules, regulations or policies that require, do or may permit disclosure of any portion of this information to any other person or entity to which it was provided by BlackRock (collectively, “Disclosure Laws”), BlackRock hereby asserts any and all available exemption, exception, procedures, rights to prior consultation or other protection from disclosure which may be available to it under applicable Disclosure Laws. © 2017 BlackRock, Inc. All rights reserved. ALADDIN, BLACKROCK, BLACKROCK SOLUTIONS, and iSHARES are registered trademarks of BlackRock, Inc. or its subsidiaries in the United States and elsewhere. All other trademarks are the property of their respective owners.
BETA0617U-192358-537798 FOR USE WITH INSTITUTIONAL INVESTORS ONLY – PROPRIETARY AND CONFIDENTIAL 64
MASTER PAGE NO. 67 of 227 Business Meeting Agenda - V.B. INVESTMENT MANAGER PRESENTATIONS - ABBOTT CAPITAL MANAGEMENT
Abbott Capital Management Presentation to: Ventura County Employees’ Retirement Association November 2017
ABBOTT CAPITAL MANAGEMENT, LLC | 1290 AVENUE OF THE AMERICAS, NEW YORK, NY 10104 | +1 212 757 2700
MASTER PAGE NO. 68 of 227 Business Meeting Agenda - V.B. INVESTMENT MANAGER PRESENTATIONS - ABBOTT CAPITAL MANAGEMENT
Abbott Presenters
Young Lee, CFA – Managing Director Mr. Lee has 12 years of private equity experience. He reviews investment opportunities, with specific emphasis on analysis and due diligence for prospective investments, and is engaged in the negotiation of business and legal issues, ongoing monitoring of investments and profit realization from distributed securities. Mr. Lee also serves on several partnership advisory boards. Prior to joining Abbott in 2007, Mr. Lee was an associate at The Henry J. Kaiser Family Foundation in Menlo Park, sourcing and leading due diligence on prospective private equity and hedge fund investments. Mr. Lee also worked as a product manager in the Online Business Services Division at Silicon Valley Bank and co-founded a company that matched university-based start-ups with angel investors. Mr. Lee received his B.A. in Economics from Stanford University, his M.B.A. from Columbia University and is a CFA® charterholder.
Charles H. van Horne – Managing Director Mr. van Horne has 32 years of experience in private equity and is responsible for managing the firm’s marketing and client services functions, including communicating with clients about Abbott’s investment practices and providing assistance to clients in the development of their private equity strategies. Prior to joining Abbott in 2001, Mr. van Horne was a founding Managing Director of AIG Capital Partners, Inc., responsible for AIG Capital Partners’ fund development and client services. Mr. van Horne also served on the investment committees for several AIG private equity funds. Prior to joining AIG, Mr. van Horne was Managing Director of Creditanstalt International Advisors, where he established and managed its private equity investment activities. He also worked for Bankers Trust and for UBS Securities, Inc. in various capacities including merchant banking, mergers and acquisitions and project finance. Mr. van Horne received his B.A. in Sociology from the University of Pennsylvania.
Confidential, Trade Secret and Proprietary Information For Recipient's Use Only. 1 MASTER PAGE NO. 69 of 227 Business Meeting Agenda - V.B. INVESTMENT MANAGER PRESENTATIONS - ABBOTT CAPITAL MANAGEMENT
Table of Contents
Section Page
Abbott Organizational Overview 3
VCERA Private Equity Program 6
Secondary Opportunities 9
California Disclosure Reporting 19
Investment Plan and 2018 Pipeline 22
Appendix 25
2 MASTER PAGE NO. 70 of 227 Business Meeting Agenda - V.B. INVESTMENT MANAGER PRESENTATIONS - ABBOTT CAPITAL MANAGEMENT
Abbott Organizational Overview
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Abbott Capital Management, LLC
Organization
. Founded in 1986; over 30 year track record focused solely on private equity . Over $8 billion in AUM . First customized mandate launched in 1986; first commingled fund raised in 1995 . SEC registered and FCA authorized investment advisers with offices in New York and London . Stable, multi-generational management team
Experience
. Relationship Advantage Deep relationships and networks among GPs and LPs Strong primary platform, and specialist portfolios Demonstrated capacity with fund managers Over 100 advisory board seats . Information Advantage Proprietary database of information on over 7,500 primary funds Over 500 primary investments typically reviewed annually $10 billion in secondary transactions typically reviewed annually . Focus Advantage Disciplined underwriting standards Restrained growth in AUM enables access to capacity constrained managers across client base Highly selective portfolios
Abbott’s platform offers a distinctive combination of scale and focus to benefit our clients
4 MASTER PAGE NO. 72 of 227 Business Meeting Agenda - V.B. INVESTMENT MANAGER PRESENTATIONS - ABBOTT CAPITAL MANAGEMENT
Abbott’s Private Equity-Focused Organization As of 10/31/2017 Independent team of over 50 professionals dedicated to private equity investing
Managing Directors
Jonathan Roth Katie Stokel Martha Cassidy Zohair Tariq Brian Susetka Managing Director Managing Director Director Senior Associate Associate President Chief Operating Officer 33 years 7 years 7 years 26/25 years 31/19 years
Matthew Smith Meredith Rerisi Jobst Klemme Jonathan Tubiana Shaf A. Shaikh Managing Director Managing Director Director Senior Associate Senior Analyst 17/17 years 16/16 years 18 years 9 years 2 years
Tim Maloney Len Pangburn Jennie Benza Moritz Turck Dan Brown Managing Director Managing Director Vice President Senior Associate Analyst
17/13 years 12/12 years 11 years 6 years 3 years Investment Team Investment
Young Lee Managing Director 13/10 years
Charles van Horne Mary Hornby Managing Director Managing Director . One-team philosophy: experienced and diverse perspectives Client Relations General Counsel 32/16 years 21/12 years . Well-resourced investment team of 16 evaluates opportunities Lauren Massey Paolo Parziale across all private equity strategies Managing Director Managing Director Finance & Administration Corp. & Fund Acct. . Operations, finance, and client relations team of over 40 professionals 26/22 years 18/15 years . Owner-managed; strong alignment with Limited Partners
Abbott’s Managing DirectorsAs of July 2016 have an average of 21 years experience and 16 years working together
Years indicated are of total private equity experience / years with Abbott are shown for the Managing Directors only as of September 30, 2017. See Appendix for complete biographies.
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VCERA Private Equity Program
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Current Private Equity Investments Funding by Strategy
Legacy Portfolio NAV Undrawn Exposure
Strategy 12/31/2016 6/30/2017 12/31/2016 6/30/2017 12/31/2016 6/30/2017
Venture Capital & Growth Equity (Global) $6.4m $7.4m $22.0m $21.0m $28.4m $28.4m
North American Buyouts & Special Situations 55.8m 60.8m 57.4m 53.3m 113.2m 114.1m
International Buyouts & Special Situations 39.1m 43.6m 33.3m 32.0m 72.5m 75.5m
Secondary, Co-Invest, Private Debt 87.1m 107.6m 118.4m 126.3m 205.5m 233.9m
Total Legacy Portfolio $188.4m $219.4m $231.1m $232.5m $419.6m $451.9m
Direct (Abbott) Portfolio NAV Undrawn Exposure
Strategy 12/31/2016 6/30/2017 12/31/2016 6/30/2017 12/31/2016 6/30/2017
Venture Capital & Growth Equity (Global) $0.0 $0.0 $0.0 $0.0 $0.0 $0.0
North American Buyouts & Special Situations 0.0 0.0 0.0 0.0 0.0 0.0
International Buyouts & Special Situations 0.0 0.0 0.0 0.0 0.0 0.0
Secondary, Co-Invest, Private Debt 0.0 0.0 0.0 0.0 0.0 0.0
Total Direct (Abbott) Portfolio $0.0 $0.0 $0.0 $0.0 $0.0 $0.0
Grand Total $188.4m $219.4m $231.1m $232.5m $419.6m $451.9m
Past performance is not a guide to future results and is not indicative of expected realized returns. Diversification will not guarantee profitability or protection against loss. Some figures estimated for legacy portfolio investments. See Important Information page and Definitions at the back of this document and Abbott’s Form ADV Part 2a for disclosures on risk and performance.
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VCERA Investment Activity On pace for 2017 Fund VCERA Commitment ($MM) Strategy Status Commitments Made by Abbott (6/30/2017 – 11/10/2017) GTCR Fund XII $30.0 North American Buyouts & Special Situations Closed Insight Venture Partners X $25.0 North American Buyouts & Special Situations Closed Clearlake Capital Partners V $10.0 North American Buyouts & Special Situations Pending
Other Commitments HarbourVest Co-Investment Fund IV $30.0 Secondary, Co-Invest, Private Debt Closed CarVal Investors Credit Value Fund IV $30.0 Secondary, Co-Invest, Private Debt Pending Total $125.0
Proposed Commitment Abbott Secondary Opportunities $25.0 Secondary, Co-Invest, Private Debt Potential Total $25.0
Grand Total $150.0
Investment date range: 6/30/2017 to 11/10/2017
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Secondary Opportunities
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Built on 30 Years of Experience: Abbott Secondary Opportunities Abbott offers a distinctive combination of scale, focus, and ability to execute complex transactions
Abbott Secondary Opportunities aims to deliver:
. A focus on smaller transactions and less competitive situations where Abbott can utilize its information advantage
. Investments primarily in cycle-tested, institutional managers
. Rigorous disciplines and extensive networks built over 30 years
. Attractive performance that will diversify and complement VCERA’s private equity program
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Secondary Investing: The Opportunity for Smaller Transactions
Secondary Market by Size of Funds Raised
12,000 • Over the last ten years, secondary funds have trended • Larger funds 11,000 upward in size need to acquire larger portfolios 10,000 • Abbott remains committed to seeking opportunities in 9,000 the smaller and less competitive space, which are not efficient for mega firms to focus on • Often highly 8,000 visible deals
7,000 ($mm) 6,000 • Difficult to be as
5,000 selective Fund Size Fund 4,000
3,000
2,000
1,000
0 Abbott’s Focus 2005 2007 2009 2011 2013 2015 2017 Vintage Year Dedicated Secondary Dry Power (Q1 2017) Abbott’s Approach
. Focus on smaller secondary transactions, which are . Top 12 buyers now control >$2bn of the not cost-efficient for mega-firms to pursue market’s dry powder 86% . Pursue opportunities where Abbott can be a . Opportunity to focus on the smaller, less partner of choice efficient segment of the market . Gain access by demonstrating added-value and 14% potential for follow-on capital
Top 16 Buyers Rest of universe Source: UBS For illustrative purposes only. Source: Preqin. Data sourced on 6/7/17. This chart includes all secondary fund managers reporting fund size data to Preqin (reporting dates may vary) which managed secondary funds with vintage years from 2006 through 2016 (1) with no fewer than three funds under management; (2) with at least one with a vintage year from 2000 to 2006; and (3) whose fund size were at least $100 million. The criterion applied here may result in the exclusion of funds with a strategy focus similar to that of ASO.
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Abbott Secondary Investments: Historic Characteristics As of 6/30/2017 Attractive historical performance, with focus on smaller transactions Secondary Investments (since 2000)
Transaction Sizes (by deal count)
Secondary Annualized IRR Total Exposure 20% $0 - 5mm 25% 55% $5 - 10mm 16% $10 - 20mm 20.7% >$20mm 10% 20% 18.6% 16.3% 14.6% 14.5% 15% 14.1% 13.8% By Vintage Year of Underlying Fund 12.3% 12.1% 12.5% 5% 11.4% 12.3% 10.3% 10% 9.5% Total Exposure 8.3% 14% 7.2% Pre-2000 38% 2000-2002 8% 5% 2003-2005 2006-2007 35% 2008-2017 0% 5 Year 10 Year 15 Year Since Inception
Abbott Gross Abbott Net S&P 500 Cambridge Secondary Funds Index By Strategy of Underlying Fund Total Exposure Buyouts and Special Situations 48% Venture Capital and 49% Growth Equity Past performance is not a guide to future results and is not indicative of expected realized returns. Information for the Cambridge Secondary Funds Index is as of March 31, 2017. The indices listed have not been selected to represent Multi-Strategy benchmarks for the portfolio, but rather allow for comparison of the portfolio's performance to that of a widely 3% recognized index. See Important Information page and Definitions page at the back of this document and Abbott’s Form ADV Part 2a for disclosures on risk and performance.
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Abbott Secondary Opportunities: Expected Characteristics Highly-selective portfolio with a focus on smaller opportunities
Abbott Secondary Opportunities Transaction Size Smaller Larger Diversification across strategies and transaction types with a focus on smaller Competition and complex transactions Less More Access to potentially attractive Transaction Type opportunities and less competitive Single Follow-on Portfolios Direct Restruct situations through relationships Fund Capital of Funds Secondaries -urings Employs our information advantage to Strategy ascertain value Buyouts Growth Venture Special Equity Capital Situations Investments in cycle-tested, institutional managers Sourcing Limited Industry General Intermediaries Target IRR: 15% Partners Contacts Partners Target Multiple: 1.5x
Leverage None High Target returns have been determined net of fees without the impact of leverage
Final portfolio may vary from these expectations based on opportunities available during the investment period. There is no assurance that the Fund will achieve its target returns or that an investment in the Fund will not result in loss. Performance targets are inherently limited, do not reflect an actual client's experience and are not guaranteed. The target returns included here are shown net of any carried interest and management fee which may be payable by a limited partner in accordance with the terms outlined herein. All investments carry the risk of complete loss and no investment or due diligence process will be fail-safe. Abbott does not anticipate using significant amounts of leverage.
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Abbott Secondary Opportunities: Competitive Advantages Relationships, Insight, and Focus are essential to any private equity decision
Relationship Advantage Information Advantage Focus Advantage
. Long tenure in the private equity asset . Continuity of relationships = . Disciplined underwriting class proprietary network standards
. Deep relationships with GPs . Extensive knowledge of funds and . Smaller, often less competitive and LPs quality of information secondary transactions
. Strong primary platform; demonstrated . Reviewed and retains information on . Experience executing a wide capacity with fund managers over 7,500 primary funds range of transaction types
. Over 100 advisory board seats . Over 500 funds typically reviewed each . Less pressure to deploy year capital quickly . Recognized as a “Best LP”1
Attractive partner Rigorous due diligence Highly selective portfolios
Able to source less visible opportunities, assess quickly, diligence deals, and execute smaller and complex transactions
12015 Private Equity Exchange & Awards. Abbott was awarded co-winner of the category “Best LP Global Strategy with Private Equity Allocation < $ 10 billion”.
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ASO Investments Project Madison II
Underlying Portfolio Characteristics Investment Thesis
Growth-oriented financial services . Proprietary deal brought to Abbott directly by the GP Strategy technology companies . Relationship created through prior secondary transaction . Knowledge of the team and portfolio Vintage Year 2013 . Visibility into specific positive developments in largest portfolio asset Transaction Characteristics
Invested Capital $14.9 million
Maturity 70% funded at closing Relationship Advantage
Directly sourced through the GP on a proprietary basis Transaction Type Single fund with follow-on capital
Source GP Information Advantage
Knowledge of the portfolio as an investor in the fund as a result Seller Type Financial Institution of a previous secondary. Diligence of the portfolio was enhanced by using Abbott relationships that invest in similar companies Investment Date June 30, 2016 and industries
Focus Advantage Reference Date March 31, 2016 Ability to develop conviction quickly and maintain proprietary access Diligence Time Frame Six weeks
Reference Calls 15
Additional ASO investment summaries are available upon request. Confidential, Trade Secret and Proprietary Information For Recipient's Use Only. 15 MASTER PAGE NO. 83 of 227 Business Meeting Agenda - V.B. INVESTMENT MANAGER PRESENTATIONS - ABBOTT CAPITAL MANAGEMENT
ASO Investments Project Madison II (continued) Portfolio Characteristics at Acquisition Portfolio Driver Descriptions Number portfolio companies: 24 Company A . Develops and operates electronic markets for the trading of equity securities and equity options primarily % by region (by NAV): 90% North catering to high-speed, statistically-driven liquidity providers. America; 10% ex-North America . Company successfully completed an initial public offering in the second quarter of 2016. Average age of portfolio companies: . GP exit assessment: Stock currently restricted; liquidity to be assessed as shares become freely tradable 5.6 years Company B . Provides a platform of data analysis and visualization technologies designed to help organizations integrate and utilize large pools of data. . With origins servicing the federal government, company has expanded its revenue base to state and local agencies as well as private companies. . GP exit assessment: Potential exit from sale of stock is possible in 12-24 months Company C . Provider of individually underwritten medical expense and supplemental health insurance products that primarily caters to self-employed individuals and small business owners, a market traditionally underserved by the insurance industry. . GP exit assessment: Potential exit is possible in 12-14 months Company D . Provides custom outsourced solutions to the global capital markets industry. . Key areas of business focus include fund administration, middle office outsourcing and technology solutions, which are being outsourced. . GP exit assessment: Potential sale to a strategic acquirer in 12-18 months Company E . Employs wood and agricultural by-products to produce renewable liquid fuels as well as chemical products used as additives in refinery-produced fuels. . Company owns and operates a commercial production facility. . GP exit assessment: Potential strategic sale is possible in the next three years
All information and assumptions provided are as of the reference date indicated. Portfolio companies listed represent >5% of NAV of the total project, or the top 5 portfolio companies in instances where more than 5 companies meet the criterion. Additional ASO investment summaries are available upon request.
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Abbott Secondary Opportunities Summary As of 10/31/2017
Investment Transactions Summary Fund Summary Transaction Date Size
Project Madison II Jun-16 $14.9 million Fund Size (Commitments to Date) $172.0 million Project WP Jul-16 $1.9 million Invested Capital $61.7 million 36% Project Salt II Oct-16 $5.8 million As a % of Fund Size $30.1 million Project Uno Jan-17 $5.1 million Capital Calls Number of Investment Transactions 6 Project East Sep-17 $17.0 million
Project PF Oct-17 $17.0 million Highlights Total Invested Capital $61.7 million
. At a projected fund size of approximately $200 million, invested capital would be approximately 30%
. Estimated Gross Multiple of 1.1x on underlying investments
Capital calls do not include capital called to pay Abbott’s management fee. Invested Capital is generally based on the amount of capital committed by Abbott Secondary Opportunities to its investments, including any amount used to acquire, or make a commitment to, underlying portfolio funds. Gross Multiple is estimated based on the fair value of the investments as of June 30, 2017, adjusted for cash flows (capital calls and/or distributions), and two additional transactions (valued at cost) that have occurred since then, and is gross of Abbott management fees, carried interest, and fund expenses. See attached Important Information page and Definitions page and Abbott’s Form ADV Part 2a for disclosures on risk and impact of fees on performance.
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ASO Summary
. Secondary investments have become a staple in institutional private equity portfolios
. The secondary market is robust and competitive
. Abbott is positioned at the smaller end of the market, which has, for the most part, been abandoned by large funds
. Abbott continues to leverage its long tenure and strong relationships in the private equity market to source and gain access to unique opportunities
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California Disclosure Reporting
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California Disclosure Reporting
California Code, Government Code - GOV § 7514.7 Private Equity Investments as of December 31, 2016 Name of Fund Address of Fund Manager Closing Date Commitment Vintage Year Adams Street 2010 Direct Fund One North Wacker Drive, Suite 2200, Chicago, IL 60606-2823 5/21/10 $8,500,000 2010 Adams Street 2013 Global Fund One North Wacker Drive, Suite 2200, Chicago, IL 60606-2823 6/27/13 $75,000,000 2013 Adams Street 2016 Global Fund One North Wacker Drive, Suite 2200, Chicago, IL 60606-2823 8/16/16 $60,000,000 2016 Adams Street Partnership Fund - 2010 Non-U.S. Developed Markets Fund One North Wacker Drive, Suite 2200, Chicago, IL 60606-2823 5/21/10 $25,500,000 2010 Adams Street Partnership Fund - 2010 Non-U.S. Emerging Markets Fund One North Wacker Drive, Suite 2200, Chicago, IL 60606-2823 5/21/10 $8,500,000 2010 Adams Street Partnership Fund - 2010 U.S. Fund One North Wacker Drive, Suite 2200, Chicago, IL 60606-2823 5/21/10 $42,500,000 2010 Drive Capital Fund II 629 N. High Street, Columbus, OH 43215 8/19/16 $15,000,000 2016 HarbourVest - Dover Street IX One Financial Center, Boston, MA 02111 7/8/16 $60,000,000 2016 HarbourVest - Dover Street VIII One Financial Center, Boston, MA 02111 5/30/13 $67,500,000 2012 Pantheon Global Secondary Fund IV 10 Finsbury Square, 4th Floor, London EC2A1AF 6/24/10 $15,000,000 2010 Pantheon Global Secondary Fund V 10 Finsbury Square, 4th Floor, London EC2A1AF 2/6/15 $50,000,000 2015 Total $427,500,000
Performance and Fee Information As of December 31, 2016 (Since Inception) For the Year Ended December 31, 2016 Fees & Expense Gross Cash Profit Management Carried Other Name of Fund Contributions Distributions Valuation TVPI Net IRR Distributions Paid by Portfolio IRR Received(1) Fees(3) Interest(2)(3) Expenses(3) Cos. (3) Adams Street 2010 Direct Fund $7,879,500 $5,660,562 $6,408,768 1.53 18.33% 11.97% $1,727,532 $1,023,308 $141,135 $(68,819) $4,465 NR Adams Street 2013 Global Fund $44,250,000 $3,108,905 $45,870,101 1.11 9.91% 6.39% $1,599,027 $703,773 611,973 $40,183 $35,349 N/A Adams Street 2016 Global Fund $1,500,000 $0 $2,054,581 1.37 NM NM $0 $0 $241,103 $80,144 $209,503 N/A Adams Street Partnership Fund - 2010 $20,591,249 $8,141,472 $17,004,917 1.22 11.92% 8.12% $2,584,293 $1,322,254 $224,583 $20,362 $5,336 N/A Non-U.S. Developed Markets Fund Adams Street Partnership Fund - 2010 $6,621,500 $738,789 $7,882,770 1.30 12.18% 9.56% $424,353 $67,823 $74,861 $1,451 $3,175 N/A Non-U.S. Emerging Markets Fund Adams Street Partnership Fund - 2010 $32,852,500 $14,394,035 $34,463,147 1.49 17.80% 14.34% $3,629,554 $2,041,195 $374,306 $11,862 $13,375 N/A U.S. Fund Drive Capital Fund II $452,592 $0 $244,730 0.54 NM NM $0 $0 $151,223(4) $0(5) $42,994(4) $0 HarbourVest - Dover Street IX $2,400,000 $841,532 $3,035,942 1.62 NM NM $841,532 $798,664 $81,760 $0(5) $6,185 N/A HarbourVest - Dover Street VIII $56,447,454 $29,369,898 $48,274,491 1.38 NR 23.90% $10,125,862 $5,532,021 $832,770 $0(5) $3,598 N/A Pantheon Global Secondary Fund IV $9,960,000 $8,805,001 $5,922,596 1.48 NR 14.17% $675,000 $104,856 $133,663 $(36,019) $29,101 N/A Pantheon Global Secondary Fund V $13,391,510 $0 $17,284,973 1.29 NR 25.31% $0 $0 $643,694 $(319,937) $68,290 N/A Total $196,346,305 $71,060,194 $188,447,016 $21,607,153 $11,593,894 $3,511,071 $(270,773) $421,371
Please see notes on following page.
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California Disclosure Reporting
California Code, Government Code - GOV § 7514.7
Consolidated Fee Information at the Underlying Fund Level(3) For the Year Ended December 31, 2016 Fees & Expenses Paid by Name of Fund(6) Management Fees Carried Interest(2) Other Expenses Portfolio Cos. Adams Street 2013 Global Fund $973,263 $708,350 $137,188 NR Adams Street 2016 Global Fund $108,072 $49,271 $18,145 NR Adams Street Partnership Fund - 2010 Non-U.S. Developed Markets Fund $291,738 $486,528 $71,646 NR Adams Street Partnership Fund - 2010 Non-U.S. Emerging Markets Fund $145,878 $129,740 $33,682 NR Adams Street Partnership Fund - 2010 U.S. Fund $537,198 $960,841 $71,285 NR HarbourVest - Dover Street IX NR NR NR NR HarbourVest - Dover Street VIII NR NR NR NR Pantheon Global Secondary Fund IV $21,171 $410 $61,669 NR Pantheon Global Secondary Fund V $166,313 $324,978 $126,579 NR Total $2,243,633 $2,660,118 $520,194
NM = IRR is not meaningful. Investment is less than one year old. N/A = Not Applicable. Fund of Funds do not have direct portfolio company investments. NR = Information was not reported. (1) Represents amounts included in distributions received during the year that are classified as gain, dividend, interest or income per the fund’s distribution notice. (2) Except as otherwise noted, amounts represent realized and unrealized carried interest allocations for the year ended December 31, 2016. (3) The information included herein is sourced from data provided by the managers of the funds. Such information has not been independently verified and no representation or warranty, express or implied, is given by or on behalf of Abbott as to the accuracy, fairness, correctness or completeness of the information. (4) VCERA’s pro rata share was not reported. Amounts represent estimates based on fund level amounts reported in the financial statements. Fund level amounts were allocated to VCERA based on VCERA’s proportionate share of the fund. Actual allocated amounts may differ and such differences could be material. (5) Represents carried interest paid. (6) Adams Street Adams Street 2010 Direct Fund and Drive Capital Fund II were omitted from the list titled “Consolidated Fee Information at the Underlying Fund Level” because these funds make direct investments and have no funds on which to report fees.
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Investment Plan and 2018 Pipeline
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Investment Plan and 2018 Pipeline
Looking Ahead: 2018 Plan . Develop and present 2018 Private Equity Investment Plan . Update pacing model to reflect then-current conditions, state of the private equity portfolio, and the overall VCERA Plan . 2018 Pipeline: $150+ million
Scheduled to close in Q1 2018 Fund VCERA Commitment ($MM) Strategy Status Sentinel VI $6.6 North American Buyouts & Special Situations Pending Total $6.6
2018 Pipeline Venture Capital & Growth Equity North American Buyouts & Special Situations International Buyouts & Special Situations Sub-Strategy # of Funds Sub-Strategy # of Funds Sub-Strategy # of Funds Early Stage VC 3 Lower Middle-Market 11 Lower Middle-Market 4 Growth Equity 7 Middle-Market 10 Middle-Market 7 Multi-Stage VC 7 Total 17 Total 21 Total 11
Lower Middle-Market: Funds $2b or less in size; Middle-Market: Funds >$2b to $5b in size; Upper Middle-Market: Funds >$5b. Pipeline represents investment opportunities only and an investment decision with respect thereto may not be final. Every investment decision is subject to appropriate due diligence and allocation availability. . Confidential, Trade Secret and Proprietary Information For Recipient's Use Only. 23 MASTER PAGE NO. 91 of 227 Business Meeting Agenda - V.B. INVESTMENT MANAGER PRESENTATIONS - ABBOTT CAPITAL MANAGEMENT
Key Takeaways
Summary
. VCERA Private Equity program underway – Abbott working collaboratively with VCERA Board, Staff, and NEPC
. On pace to commit approximately $150m through year-end 2017
. Fund-of-One structure will increase flexibility in VCERA’s Private Equity program
. Abbott providing aggregate reporting for VCERA Private Equity Program, including California reporting requirements
. 2018 Pipeline: $150+ million
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Appendix
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Private Equity Environment
Buyouts and Special Situations Venture Capital and Growth Equity Looking Ahead
Continuing Sellers’ Market Strong Fundraising Environment Investor Appetite for Private Equity Remains High . High purchase price multiples . Robust appetite for Venture . Long-term PE outperformance compared to the . Readily available, borrower- Capital and Growth Equity funds public markets and other alternative strategies friendly credit . Re-emergence of overage funds . Robust demand for Private Equity and Venture Capital Challenging Investment Environment due to robust L.P. demand funds . High purchase price multiples Tepid IPO Market Macroeconomic Outlook . Consolidations of fragmented . 2017 Unicorn IPOs – mixed . Increased uncertainty with regard to various political industries – multi-site healthcare performance and economic factors across the globe has led to an practice management companies, . Private v. Public increase in perceived market volatility in particular, have seen significant . Easing of accommodative monetary policies in the interest by private equity firms U.S. and potential easing in Europe, “Brexit,” and . Increased competition in lower potential healthcare and tax reform in the U.S. could and middle market as large meaningfully affect the public markets during the players come down market second half of the year
The views expressed are Abbott’s opinion as of September 2017 and are subject change without notice. All market data contained herein sourced from Pitchbook. Confidential, Trade Secret and Proprietary Information For Recipient's Use Only. 26 MASTER PAGE NO. 94 of 227 Business Meeting Agenda - V.B. INVESTMENT MANAGER PRESENTATIONS - ABBOTT CAPITAL MANAGEMENT
Private Equity Fundraising Environment 2017 is on pace to meet or surpass 2016
PE Fundraising Activity by Year – North America and Europe $400 519 600 $350 476 387 500 437 414 427 $300 393 400 $250 317 317 283 283 $200 300 214 $150 200 $100
100 Closed Funds of No. Capital Raised (Billions) Raised Capital $50 $292 $376 $259 $176 $106 $150 $154 $283 $268 $261 $294 $213 $0 0 2006 2007 2008 2009 2010 2011 2012 2013 2014 2015 2016 2017
Capital Raised No. of Funds Closed 2017 figures as of 8/1/17 High quality funds of all sizes remain in demand
Fund Strategy Status Fund Size CVC VII Buyout Closed / Oversubscribed €16.40 billion GTCR XII Special Situations In-process / Oversubscribed $5.25 billion Charlesbank Equity Fund IX Buyout In-process / Oversubscribed $2.75 billion Vitruvian Investment Partnership III Buyout Closed / Oversubscribed €2.27 billion Chequers Capital XVII Buyout Closed / Oversubscribed €1.01 billion
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Venture Capital Fundraising Environment 2017 appears to be on the same pace as 2016
VC Fundraising across North America and Europe $60 400 363 353 335 315 337 316 350 $50 296 309 276 279 300 $40 250 235 $30 165 200 150 $20
100 Closed Funds of No. Capital Raised (Billions) Raised Capital $10 50 $43 $43 $43 $18 $29 $34 $31 $29 $43 $45 $51 $28 $0 0 2006 2007 2008 2009 2010 2011 2012 2013 2014 2015 2016 2017
Capital Raised No. of Funds Closed 2017 figures as of 8/1/17
High quality funds of all sizes remain in demand
Fund Strategy Status Fund Size NEA 16 Venture Capital – Multi-Stage Closed / Oversubscribed $3.30 billion Spectrum Equity Investors VIII Venture Capital / Growth Equity In-process / Oversubscribed $1.25 billion Canaan XI Venture Capital – Early Stage Closed / Oversubscribed $800 million Oak HC/FT II Venture Capital – Multi-Stage Closed / Oversubscribed $500 million Charles River Partnership XVII Venture Capital – Early Stage Closed / Oversubscribed $450 million
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Secondary Market Overview
. Mature funds with significant unrealized value and limited exit paths are more 2016 and Outlook likely to engage in a secondary sale . Prices moderate
. According to Preqin, 82% of expected sellers over the next 12-24 months will be . Moderated volumes expected to concentrated evenly across North America and Europe increase . Dry powder still high . Secondary fundraising dollars have remained relatively steady over the last five . Leverage available years, with 2017 poised to surpass 2016 in terms of dollars raised
$40 45 Global Secondary Fundraising Activity 39 $35 40
35 $30 32 32 32 30 27 30 $25 23 25 21 $20
Billions 18 17 20 $15 Funds of No. 15 10 $10 10
$5 5 $16 $10 $22 $14 $20 $23 $25 $35 $26 $33 $26 $0 0 2007 2008 2009 2010 2011 2012 2013 2014 2015 2016 2017
Total Capital Raised No. of Funds 2017 figures as of 6/30/17
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Secondary Transaction Volume
2,500 Average High Pricing (as a % of NAV) 110% 109%
104% 2,000 100% 103% 94% 95% 91% 96% 89% 86% 90% 92% 89% 1,500 84% 87% 90% 80% 83% 82% 80% 81% 1,000 73% 79%
% of NAV of % 78% 70% 70% 74% 75% 68% 73%
70% Price Closing Average 500 S&P 63% 500 60% 63% 59%
50% 0 2007 2008 2009 2010 2011 2012 2013 2014 2015 2016 Buyout Venture All Strategies S&P 500 Source: Greenhill Cogent, Secondary Market Trends & Outlook (January 2017)
$500 $432 3,000 Global Secondary Transaction Volume 2,606 $450 2,520 2,500 $400 2,338 2,048 $350 $324 1,834 1,764 2,000 $284 $300 1,551 $279 $250 1,500 1,102 1,048 995 $200 Count Deal
Billions $165 $148 $148 1,000 $150 $139 $122 $98 $100 500 $50 $0 0 2007 2008 2009 2010 2011 2012 2013 2014 2015 2016 Total Capital Invested Deal Count Source: Pitchbook
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Team Biographies
Managing Directors
Jonathan D. Roth – Managing Director, President Mr. Roth has 25 years of private equity investment experience and is responsible for the overall management of the firm. He also works closely with clients to develop and implement private equity investment programs. Mr. Roth reviews investment opportunities, with specific emphasis on the analysis and due diligence for prospective investments, and is engaged in the negotiation of business and legal issues, ongoing monitoring of investments and profit realization from distributed securities. Mr. Roth also serves on several partnership advisory boards. Prior to joining Abbott in 1992, Mr. Roth was an Associate at Elmrock Partners and a Financial Analyst with Amoco Corporation. Prior to obtaining his M.B.A., he worked for Chemical Bank as a corporate lending officer. Mr. Roth received his A.B. in Economics from Cornell University and his M.B.A. from The Fuqua School of Business at Duke University.
Kathryn J. Stokel, CFA – Managing Director, Chief Operating Officer Ms. Stokel has 31 years of private equity investment experience and oversees the firm’s internal operations and human resource activities. She reviews investment opportunities, with specific emphasis on analysis and due diligence for prospective investments, and is engaged in the negotiation of business and legal issues, ongoing monitoring of investments and profit realization from distributed securities. Ms. Stokel also serves on several partnership advisory boards. Prior to joining Abbott in 1998, Ms. Stokel was a Portfolio Manager of a $3.5 billion private equity portfolio at General Motors Investment Management Corporation. Ms. Stokel received her B.S. in Mathematics from the University of Michigan, her M.B.A. in Finance from The Wharton School at the University of Pennsylvania and is a CFA® charterholder.
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Team Biographies
Managing Directors
Mary T. Hornby – Managing Director, General Counsel Ms. Hornby has 21 years of experience in private equity matters and assists the investment team in the review, legal analysis and negotiation of underlying fund investments and directs all legal aspects relating to the formation and maintenance of Abbott’s pooled investment funds. In addition, Ms. Hornby assists in the legal aspects of daily operations, including client relationships and contracts, regulatory compliance and internal corporate structuring matters. Prior to joining Abbott in 2005, Ms. Hornby was Counsel and a member of the Private Equity Group at Testa, Hurwitz & Thibeault, LLP, representing investment advisers, funds of funds, public pension plans and other limited partner investors, as well as general partner groups, in all aspects of private equity fund formation. Ms. Hornby received her B.A., magna cum laude, from Boston College and her J.D. from Boston College Law School. She is a member of the Bar of the Commonwealth of Massachusetts.
Young Lee, CFA – Managing Director Mr. Lee has 12 years of private equity experience. He reviews investment opportunities, with specific emphasis on analysis and due diligence for prospective investments, and is engaged in the negotiation of business and legal issues, ongoing monitoring of investments and profit realization from distributed securities. Mr. Lee also serves on several partnership advisory boards. Prior to joining Abbott in 2007, Mr. Lee was an associate at The Henry J. Kaiser Family Foundation in Menlo Park, sourcing and leading due diligence on prospective private equity and hedge fund investments. Mr. Lee also worked as a product manager in the Online Business Services Division at Silicon Valley Bank and co-founded a company that matched university-based start-ups with angel investors. Mr. Lee received his B.A. in Economics from Stanford University, his M.B.A. from Columbia University and is a CFA® charterholder.
Timothy W. Maloney, CPA – Managing Director Mr. Maloney has 16 years of private equity experience. He reviews investment opportunities, with specific emphasis on analysis and due diligence for prospective investments, and is engaged in the negotiation of business and legal issues, ongoing monitoring of investments and profit realization from distributed securities. Mr. Maloney also serves on several partnership advisory boards. Prior to joining Abbott in 2004, Mr. Maloney was an associate at Frye-Louis Capital Management in Chicago, working on screening and due diligence for venture capital, buyouts and special situations partnerships. Mr. Maloney also worked as a senior analyst at General American Transportation Corporation and at Hewitt Associates as a pension consultant. Mr. Maloney received his B.S. in Accounting from DePaul University, his M.B.A. in Finance from New York University and his C.P.A. from the State of Illinois.
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Team Biographies
Managing Directors
Lauren M. Massey, CPA – Managing Director, Finance & Administration Ms. Massey has 26 years of financial services experience. She oversees the firm’s fund investment recordkeeping activities, separate account reporting and the calculation of various performance analytics. Prior to joining Abbott in 1995, Ms. Massey was an Audit Manager in the Financial Services Division of Ernst & Young, where she had an asset management industry focus and was responsible for audit planning and management. Ms. Massey received her B.S. in Accounting from the State University of New York at Binghamton, her M.B.A. in Finance and Marketing from New York University and her C.P.A. from the State of New York.
Leonard C. Pangburn – Managing Director Mr. Pangburn has 12 years of private equity experience. He reviews investment opportunities, with specific emphasis on analysis and due diligence for prospective investments, and is engaged in the negotiation of business and legal issues, ongoing monitoring of investments and profit realization from distributed securities. Mr. Pangburn also serves on several partnership advisory boards. Prior to joining Abbott Capital in 2005, Mr. Pangburn was a supervisor of global operations at International Fund Services in New York, where he managed and reconciled all aspects of the global security database. Mr. Pangburn received his B.S. in Finance from Bentley University and his M.B.A. from New York University.
Paolo Parziale, CPA – Managing Director, Corporate & Fund Accounting Mr. Parziale has 17 years of financial services experience. He oversees the financial accounting and administration of all fund of funds products, including the preparation of all fund financial reports and tax filings as well as Abbott’s corporate accounting function. Prior to joining Abbott in 2002, Mr. Parziale was an Audit Senior at Ernst & Young, where he worked on audits of investment management firms and various types of commingled funds. Mr. Parziale received his B.S. in Accounting from St. John’s University, his M.B.A. in Finance from New York University and his C.P.A. from the State of New York.
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Team Biographies
Managing Directors
Meredith L. Rerisi – Managing Director Ms. Rerisi has 16 years of private equity investment experience. She reviews investment opportunities, with specific emphasis on analysis and due diligence for prospective investments, and is engaged in the negotiation of business and legal issues, ongoing monitoring of investments and profit realization from distributed securities. Ms. Rerisi also serves on several partnership advisory boards. Ms. Rerisi originally joined Abbott in 1998 and returned in the fall of 2002, following receipt of her M.B.A. Prior to joining Abbott, Ms. Rerisi was an equity analyst at American High Growth Equities Corporation. Ms. Rerisi received her B.S. in Applied Economics and Business Management from Cornell University and her M.B.A. from The Fuqua School of Business at Duke University.
Matthew M. Smith – Managing Director Mr. Smith has 17 years of private equity investment experience. He is responsible for reviewing investment opportunities with specific emphasis on analysis and due diligence for prospective investments and is engaged in the negotiation of business and legal issues, ongoing monitoring of investments and profit realization from distributed securities. Mr. Smith, as Abbott’s ESG Officer, is responsible for building upon the strong foundation Abbott has set in adopting the UN Principles for Responsible Investment and integrating ESG considerations into Abbott’s investment process. In addition, Mr. Smith oversees the operations of Abbott Capital (Europe), Ltd, Abbott’s subsidiary which is authorized and regulated by the UK Financial Conduct Authority and located in London. Prior to joining Abbott in 2000, he was a financial examiner at the Federal Reserve Bank of New York. He also worked for First Trust Washington and Bank of America as a trust officer. Mr. Smith received his A.B. in History and his M.B.A. in Finance from Georgetown University.
Charles H. van Horne – Managing Director Mr. van Horne has 32 years of experience in private equity and is responsible for managing the firm’s marketing and client services functions, including communicating with clients about Abbott’s investment practices and providing assistance to clients in the development of their private equity strategies. Prior to joining Abbott in 2001, Mr. van Horne was a founding Managing Director of AIG Capital Partners, Inc., responsible for AIG Capital Partners’ fund development and client services. Mr. van Horne also served on the investment committees for several AIG private equity funds. Prior to joining AIG, Mr. van Horne was Managing Director of Creditanstalt International Advisors, where he established and managed its private equity investment activities. He also worked for Bankers Trust and for UBS Securities, Inc. in various capacities including merchant banking, mergers and acquisitions and project finance. Mr. van Horne received his B.A. in Sociology from the University of Pennsylvania.
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Team Biographies
Investments B. Martha Cassidy – Director Ms. Cassidy has 33 years of private equity investment experience. She is primarily focused on the firm’s sourcing, due diligence, and negotiations associated with secondary investments, and participates in investment discussions and decisions for all investments. Prior to joining Abbott in 2013, Ms. Cassidy was a Managing Director at Capital Dynamics, Inc. where she developed and managed the firm’s secondary business. She also worked at Overture Capital Partners, Madison Investment Partners, Chemical Venture Partners, and Bankers Trust and gained operating experience at two private equity backed middle market manufacturing companies. Ms. Cassidy received her B.A. in French and Political Science from Wellesley College cum laude and her M.B.A. in Finance and Marketing from The Wharton School at the University of Pennsylvania.
Jobst Klemme – Director Mr. Klemme has 18 years of private equity investment experience. He reviews investment opportunities with specific emphasis on analysis and due diligence for prospective investments. Mr. Klemme manages Abbott Capital (Europe), Ltd, Abbott’s subsidiary which is authorized and regulated by the UK Financial Conduct Authority and located in London. Mr. Klemme worked for Bethmann Bank AG as Director in its Private Equity Solutions group. Prior to working at Bethmann Bank, he worked at Credit Suisse as Vice President, also in its Private Equity Solutions group. Mr. Klemme received his M.B.A from ESCP Europe and his Bachelors of Arts in Business Administration from Georg-August University Goettingen.
Jennie Benza – Vice President Ms. Benza reviews investment opportunities with specific emphasis on analysis and due diligence for prospective investments. Prior to joining Abbott Capital in 2016, Ms. Benza was a Vice President with aPriori Capital Partners (DLJ Merchant Banking Partners). She also worked at Thomas H. Lee Partners, and Merrill Lynch as a member of the M&A group. Ms. Benza received her B.S. in Finance & Accounting from New York University and her M.B.A from the Harvard Business School.
Zohair Tariq – Senior Investment Associate Mr. Tariq reviews investment opportunities with specific emphasis on analysis and due diligence for prospective investments. Prior to joining Abbott Capital in 2016, Mr. Tariq was an Investment Analyst at Raytheon Company where he constructed private equity and private real estate portfolios. Mr. Tariq received his B.S. in Corporate Finance & Accounting from Bentley University.
Jonathan Tubiana – Senior Investment Associate Mr. Tubiana reviews investment opportunities with specific emphasis on analysis and due diligence for prospective investments. Prior to joining Abbott Capital in 2009, Mr. Tubiana was an Associate in the European investment team of Altius Associates where he was involved in European due diligence, portfolio analysis, and research activities. Mr. Tubiana received a Master of Science in Management from Grenoble Ecole de Management (France) and his M.B.A. from New York University.
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Team Biographies
Investments Moritz Turck – Senior Investment Associate Mr. Turck reviews investment opportunities with specific emphasis on analysis and due diligence for prospective investments. Before joining the investment team in 2017, Mr. Turck was a Senior Associate on the Global Investment Team of Pavilion Alternatives, where he was responsible for evaluating and reviewing private equity managers across the EMEA region, and particularly in Western and Northern Europe. Mr. Turck received his M.S. in Accounting and Finance from Kings College London and his B.A. in Management Studies with French from the University of Nottingham.
Brian Susetka – Investment Associate Mr. Susetka reviews investment opportunities with specific emphasis on analysis and due diligence for prospective investments. Before joining the investment team in 2014, Mr. Susetka worked on Abbott’s operations team for three years. Prior to joining Abbott Capital in 2010, Mr. Susetka worked in financial reporting at AllianceBernstein, where he assisted with the creation and development of custom client reports. Mr. Susetka received his B.S. in Business from the Kelley School of Business at Indiana University.
Shaf A. Shaikh – Senior Investment Analyst Mr. Shaikh reviews investment opportunities with specific emphasis on analysis and due diligence for prospective investments. Before joining the investment team in 2017, Mr. Shaikh worked at Northwestern Mutual Capital where he had experience in primary, secondary and co-investment transactions. Mr. Shaikh received his B.S. in Finance from the Kelley School of Business at Indiana University.
Dan Brown – Investment Analyst Mr. Brown reviews investment opportunities with specific emphasis on analysis and due diligence for prospective investments. Before joining the investment team in 2016, Mr. Brown worked on Abbott’s operations team for two years. Prior to joining Abbott Capital in 2014, Mr. Brown worked at Axelrod Energy Projects LLC. Mr. Brown received his B.B.A. in Finance from Baruch College.
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Team Biographies
Client Relations Ryan Green – Director Mr. Green assists in all marketing, client services and business development activities. Prior to joining Abbot Capital in 2017, Mr. Green was a Director at LGT Capital Partners, working closely with institutions, consultants, family offices and distribution partners. Mr. Green held a similar role as a member of the institutional sales team at Commonfund and during his tenure at Seasons Capital Management. Before joining Seasons Capital, Mr. Green was a Vice President within the institutional sales desk at DoubleRock. Mr. Green was the co-founder to TrainerLink Inc., a technology start-up and received his B.S. from Rutgers University.
Daniel Kettner – Vice President Mr. Kettner assists in all marketing, client services and business development activities. Prior to joining Abbott Capital in 2015, Mr. Kettner was a Vice President at Neuberger Berman, focusing on relationship management with investment consultants. Mr. Kettner previously was a member of the sales team at Aviva Investors North America, and worked at Credit Suisse Asset Management in various capacities. Mr. Kettner received his B.A. in English Literature from Hamilton College and his M.B.A. in Finance from New York University.
Sean P. Long – Vice President Mr. Long assists in all marketing, client services and business development activities. Prior to joining Abbott Capital in 2017, Mr. Long was a Senior Vice President at EnTrustPermal (formerly of The Permal Group), responsible for managing global relationships with both current and prospective investors, distributors, and large institutions. Mr. Long previously worked at Southport Harbor Associates, Coleman Research Group, and the Kellogg Capital Group where he assisted in researching and evaluating investment opportunities. Mr. Long received his B.A. in English from the University of San Diego.
John Thomas – Vice President Mr. Thomas assists in all marketing, client services and business development activities. Prior to joining Abbott Capital in 2014, Mr. Thomas was as an investment advisor to families and institutions at Papamarkou Wellner Asset Management in New York and at Barclays Wealth in London. Mr. Thomas received his B.S.c. in Chemistry from Hobart and William Smith Colleges and his M.B.A. from London Business School.
Compliance
Karen Hager – Chief Compliance Officer Ms. Hager has 23 years of compliance experience and is responsible for Abbott’s compliance programs. Prior to joining Abbott in 2014, Ms. Hager worked as Director of Global Compliance and Chief Compliance Officer at The Permal Group and as Director of Compliance at Dominick & Dominick Advisors LLC. Previously, Ms. Hager was a Senior Securities Compliance Examiner/Staff Accountant of the US Securities and Exchange Commission. Ms. Hager received her B.S. in Accounting from Brooklyn College of the City University of New York.
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Important Information
Past performance is not a guide to future results and is not indicative of expected realized returns. This presentation contains confidential and proprietary information regarding Abbott Capital Management, LLC (“Abbott”), its affiliates and investment program, funds sponsored by Abbott (the “Abbott Funds”) and Abbott’s managed account clients (collectively “Abbott Clients”) as well as underlying portfolio funds held by the Abbott Clients’ and portfolio companies held by these funds. This presentation and the information contained in this presentation may not be reproduced or distributed to persons other than the recipient or its advisors, to the extent they are bound by a duty of confidentiality. The views expressed and information provided are as of the date listed on the cover of this presentation unless otherwise indicated on a particular page or chart and are subject to change, update, revision, verification and amendment, materially or otherwise, without notice, as market or other conditions change. Since these conditions can change frequently, there can be no assurance that the terms and trends described herein will continue or that any forecasts are accurate. In addition, certain of the statements contained in this presentation may be statements of future expectations and other forward-looking statements that are based on Abbott's current views and assumptions and involve known and unknown risks and uncertainties (including those discussed below and in Abbott’s Form ADV, Part 2a., available on the SEC’s website at www.adviserinfo.sec.gov ) that could cause actual results, performance or events to differ materially from those expressed or implied in such statements. These statements may be forward- looking by reason of context or identified by words such as “may, will, should, expects, plans, intends, anticipates, believes, estimates, predicts, potential or continue” and other similar expressions. Neither Abbott, its affiliates, nor any of Abbott’s or its affiliates' respective advisers, members, directors, officers, partners, agents, representatives or employees or any other person (collectively “Abbott Entities”) is under any obligation to update or keep current the information contained in this document. This presentation contains information from third party sources which Abbott has not verified. 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References to market or composite indices, benchmarks or other measures of relative market performance over a specified period of time are provided for your information only and do not imply that an Abbott Client will achieve returns, volatility or results similar to the index, or that these are appropriate benchmarks to be used for comparison for a private equity investment. The market volatility, liquidity and other characteristics of private equity investments are materially different from publicly‐traded securities. In addition, the composite of the index may not reflect the manner in which the Abbott Client portfolio is constructed in relation to expected or achieved returns, portfolio guidelines, restrictions, sectors, correlations or volatility, all of which are subject to change over time. The index returns will generally reflect the reinvestment of dividends, if any, but do not reflect the deduction of any fees or expenses which would reduce returns. An investor cannot invest directly in an index. All investments are subject to risk, including the loss of the principal amount invested. Private equity related risks include, among others: those associated with leverage, illiquidity and restrictions on transferability and resale of the investment and the speculative nature of private equity investments in general. Fund of fund risks include dependence on the performance of underlying managers, Abbott’s ability to allocate assets incurred at the Abbott Client and underlying portfolio fund levels. Exchange rate fluctuations may affect returns. Diversification will not guarantee profitability or protection against loss. There is no assurance that an Abbott Client's objective will be attained. Performance may be volatile and the value of an investment(s) may fluctuate. Please refer to Abbott’s Form ADV, Part 2a for additional risk disclosures. This presentation is for informational purposes only and is not an offer or a solicitation to subscribe for any fund and does not constitute investment, legal, regulatory, business, tax, financial, accounting or other advice or a recommendation regarding any securities of Abbott, of any fund or vehicle managed by Abbott, or of any other issuer of securities. Interests in the Abbott Funds have not been and will not be registered under the U.S. Securities Act of 1933, as amended, any U.S. State securities laws or the laws of any non‐US Jurisdiction. None of the Abbott Funds are registered as an Investment Company under the U.S. Investment Company Act of 1940, as amended nor is it expected that they will be in the future. Interests in the Abbott Funds have not been approved or disapproved by The U.S. Securities and Exchange Commission or by any securities regulatory authority of any U.S. State or non‐U.S. jurisdiction and neither the SEC nor any such authority has passed upon the accuracy or adequacy of this communication or the merits of Abbott or any Abbott Fund, nor is it intended that the SEC or any such authority will do so. Investment in the Abbott Funds may not be suitable for all investors; investors should carefully consider risks and other information and consult their professional advisers regarding suitability, legal, tax and economic consequences of an investment.
To UK Investors: If communicated by Abbott Capital (Europe), Ltd, this presentation may be distributed to, or directed at, only the following persons: (i) persons who are “investment professionals” as defined in article 14(5) of the FSMA 2000 (Promotions of Collective Investment Schemes)(Exemptions) Order 2001 (the “PCISE Order”); (ii) persons who are high net worth companies, unincorporated associations, partnerships or trusts falling within any of the categories of persons described in article 22 of the PCISE Order; and (iii) any other person to whom it may otherwise lawfully be made in accordance with the PCISE Order or rule 4.12.4 of the Conduct of Business Sourcebook of the FCA Handbook (all such persons together being referred to as “Relevant Persons”). Persons who are not Relevant Persons must not act on or rely on this presentation or any of its contents. Any investment or investment activity to which this presentation relates is available only to Relevant Persons and will be engaged in only with Relevant Persons. Recipients must not distribute, publish, reproduce or disclose this material, in whole or in part, to any other person. Abbott Capital (Europe), Ltd, is authorized and regulated by the UK Financial Conduct Authority. If communicated by Abbott Capital Management, LLC, this presentation may be distributed to, or directed at, only the following persons: (i) persons who have professional experience in matters relating to investments falling within Article 19(5) of the Financial Services and Markets Act 2000 (Financial Promotion) Order 2005 (the “FP Order”), (ii) high-net-worth entities falling within Article 49(2) of the FP Order, and (iii) any other persons to whom it may otherwise lawfully be communicated (all such persons together being referred to as “FPO Relevant Persons”). Persons who are not FPO Relevant Persons must not act on or rely on this presentation or any of its contents. Any investment or investment activity to which this presentation relates is available only to FPO Relevant Persons and will be engaged in only with FPO Relevant Persons. Recipients must not distribute, publish, reproduce or disclose this presentation, in whole or in part, to any other person. Copyright© Abbott Capital Management, LLC 2017. All rights reserved. This presentation is proprietary and may not to be reproduced, transferred or distributed in any form without prior written permission from Abbott. It is delivered on an “as is” basis without warranty or liability. All individual charts, graphs and other elements contained within the information are also copyrighted works and may be owned by a party other than Abbott. By accepting the information, you agree to abide by all applicable copyright and other laws, as well as any additional copyright notices or restrictions contained in the information.
Confidential, Trade Secret and Proprietary Information For Recipient's Use Only. 38 MASTER PAGE NO. 106 of 227 Business Meeting Agenda - V.B. INVESTMENT MANAGER PRESENTATIONS - ABBOTT CAPITAL MANAGEMENT
Definitions: Return &Valuation Data for Abbott & Portfolio Funds
Not all definitions included on this page may appear in the presentation. Underlying Portfolio Fund Amount Contributed or Paid-in, Contributions Cumulative amount paid-in (as of the Report Date) to underlying portfolio funds including amount paid-in as a result of interest charges, management fees or expenses payable in addition to the total committed, less any temporary returns of capital distributed by any of the underlying portfolio funds. With respect to underlying portfolio funds purchased through the secondary market, Amount Paid-in includes the purchase price of the secondary interest plus capital paid in subsequent to the purchase date.
Fund Size Fund Size of an underlying portfolio fund is based on information provided by the General Partner of that fund as of the Report Date and may not reflect most recent or final fund size. Fund Size includes commitments to any parallel fund vehicles, where that information is available. (Latest) Valuation Fair value based on financial information provided by the general partners of the underlying portfolio fund investments and may be adjusted by amounts necessary to reflect fair value, as determined during Abbott’s most recent valuation review. Fair value is net of any management fees, expenses and carried interest of the underlying portfolio funds, but is not net of management fees, expenses and carried interest charged by Abbott. With respect to underlying portfolio funds denominated in non-U.S. currency, any Valuation reported in a foreign currency is translated at the relevant exchange rate at the close business on the Report Date. Not Meaningful (“NM”) With respect to primary investments, Abbott deems only those returns greater than three years of age to be mature enough to provide meaningful comparative data. Information is available upon request. Commitments, Total Commitment, Amount Committed Amount Committed to an underlying portfolio fund including those purchased on the secondary market. Total commitment may reflect additional management fees or interest payments paid in excess of the amount committed to an underlying portfolio fund. With respect to underlying portfolio funds denominated in non-U.S. currency, total committed reflects the amount paid to the underlying portfolio funds in U.S. dollars plus the unfunded portion of the foreign-denominated commitment amount converted to U.S. dollars at the relevant exchange rate at the close business. With respect to underlying portfolio funds purchased through the secondary market, total committed reflects the purchase price of each secondary interest plus the unfunded capital commitment of each investment at the time of purchase. At times referred to as Invested Capital. Distributions, Total Distributions, Amount Distributed Distributions of cash or stock from an underlying portfolio fund as of the Report Date. Unless otherwise noted, distributions of stock are valued as reported by the underlying portfolio fund and such valuation does not take into account any gains or losses realized upon the sale of such stock by Abbott. Total Distributions includes proceeds from the sale of interests on the secondary market, and excludes any temporary returns of capital received.
Total Value Total Value equals Total Distributions plus LatestValuation Net Multiple (TVPI) TVPI represents Total Value divided by Amount Paid-in. TVPI is net of all fees, expenses and carried interest charged by the underlying portfolio funds, but unless otherwise noted is not net of one or more of the following: (1) Abbott’s management fees; (2) carried interest paid or allocated, if any; (3) adjustments resulting from the gains and losses realized upon the sale of distributed stock; and (4) other account related expenses. Vintage Year Vintage Year represents the year in which the underlying portfolio fund made its initial capital call.
Confidential, Trade Secret and Proprietary Information For Recipient's Use Only. 39 MASTER PAGE NO. 107 of 227 Business Meeting Agenda - V.B. INVESTMENT MANAGER PRESENTATIONS - ABBOTT CAPITAL MANAGEMENT
Definitions: Performance Calculations
Not all definitions included on this page may appear in the presentation. Inception to Date Returns Inception returns represent the period beginning March 31, 1987 through the Report Date, unless otherwise noted. Report Date The report date is the “as of” date indicated in the performance charts. Abbott Performance Returns: Calculation Methodology Net of Fee IRRs: IRRs are net of all fees, expenses and carried interest charged by the underlying portfolio funds and are shown net of Abbott’s management fees and carried interest (if any) paid but not net of any carried interest allocated to Abbott but not yet distributed, account level expenses and adjustments resulting from the gains and losses realized upon the sale of distributed stock. Actual returns to an individual investor in an Abbott Fund would be further reduced for such account level expenses and include an adjustment for gains/losses from the sale of distributed stock. Results portrayed may also reflect the reinvestment of realized proceeds and other earnings by the underlying portfolio funds, to the extent applicable. Gross of Fee IRRs: IRRs are net of all fees, expenses and carried interest charged by the underlying portfolio funds but are not net of Abbott’s management fees, carried interest (if any) paid, account level expenses and adjustments resulting from the gains and losses realized upon the sale of distributed stock. Actual returns to an individual investor in an Abbott Fund would be reduced for such fees and account level expenses and include an adjustment for gains/losses from the sale of distributed stock. Results portrayed may also reflect the reinvestment of realized proceeds and other earnings by the underlying portfolio funds, to the extent applicable. Secondary Track Record Pooled IRR and TVPI for All Deals include all secondary interests (purchased since February 1988 through the Report Date) made by Abbott on behalf of discretionary accounts managed as of the Report Date or through liquidation. The IRR is calculated using the (1) Latest Valuation of the underlying portfolio fund investments at the Report Date and (2) net daily cash flows between the accounts included in the composite and the portfolio funds. IRRs are net of all fees, expenses and carried interest charged by the underlying portfolio funds but are not net of Abbott’s investment management fees, carried interest (if any) paid, Abbott fund level expenses and adjustments resulting from the gains and losses realized upon the sale of distributed stock. Actual returns to individual investors in an Abbott Fund would be reduced for such fees and Abbott fund level expenses and include an adjustment for gains/losses from the sale of distributed stock. Results portrayed may also reflect the reinvestment of realized proceeds and other earnings by the underlying portfolio funds, to the extent applicable.
Market Indices Standard indices do not represent benchmarks but are listed to show the general trends in the markets covered by those indices. An investor cannot invest directly in an index. Index performance does not reflect fees and expenses. The market volatility, liquidity, and other characteristics of private equity investments may be materially different from publicly‐traded securities. Returns are provided for information purposes only and not as a benchmark or comparison for private equity investments.
S&P 500: Annualized time-weighted total returns of the S&P 500 (represents the 500 most widely-held large cap US stocks on the NYSE or NASDAQ) includes the reinvestment of dividends and income. MSCI World: Annualized time‐weighted total returns of the MSCI World (represents large and mid cap equity performance across 23 developed markets countries) are based on values provided by MSCI and include the reinvestment of dividends and income. MSCI World Ex-USA Standard: The same as MSCI World, but excluding the United States. NASDAQ Composite: Annualized time-weighted total returns of the NASDAQ Composite (a broad, market cap-weighted index which includes a large percentage of finance, health care, technology, and consumer services businesses) are based on values provided by NASDAQ and include the reinvestment of dividends. Russell 3000: Annualized time-weighted total returns of the Russell 3000 (a broad-based, market cap-weighted index of 3,000 U.S.-traded stocks) are based on values provided by Russell Investment Group and include the reinvestment of dividends. Cambridge Secondary Funds Index: End-to-End returns, provided by Cambridge Associates. The index is a horizon calculation based on data compiled from 206 secondary-focused funds (excluding hard assets funds), including fully liquidated partnerships, formed between 1991 and 2016. Cambridge Associates return data is provided for informational purposes only, is based on only a limited number of private equity funds when compared to the entire private equity industry, and may not reflect a consistent benchmark or basis for comparison for private equity investments. Data sourced from Cambridge Associates is continually updated and subject to change. Cambridge Associates uses the end-to-end or horizon internal rate of return calculation to calculate the official quarterly, annual, and multi-year index figures. The horizon IRR performance calculation is a money-weighted return similar to the since inception IRR; however, it is measuring performance between two points in time. The calculation incorporates the beginning NAV (if any, treated as an inflow), interim cash flows and the ending NAV (if any, treated as an outflow). All interim cash flows are recorded on the mid-period date of the quarter. In order for a fund to be included in a horizon IRR calculation, the fund must have at least one quarterly contribution, distribution or NAV during the time frame being measured. Similar to the since inception IRR, the horizon IRR is annualized for time frames greater than one year.
Confidential, Trade Secret and Proprietary Information For Recipient's Use Only. 40 MASTER PAGE NO. 108 of 227 Business Meeting Agenda - VI.A. INVESTMENT INFORMATION: NEPC INVESTMENT REPORTS & RECOMMENDATION TO APPROVE INVESTM...
Ventura County Employees' Retirement Association
Preliminary Performance Report Month Ending October 31, 2017
Anthony Ferrara, CAIA, Consultant Allan Martin, Partner Michael Miranda, Sr. Analyst
MASTER PAGE NO. 109 of 227 Business Meeting Agenda - VI.A. INVESTMENT INFORMATION: NEPC INVESTMENT REPORTS & RECOMMENDATION TO APPROVE INVESTM...
Ventura County Employees’ Retirement Association Total Fund Performance Detail Net of Fees
Market Value % of 1 Mo YTD 1 Yr 3 Yrs 5 Yrs 10 Yrs Return Policy % Since ($) Portfolio (%) (%) (%) (%) (%) (%) (%) _ Total Fund 5,307,749,202 100.0 100.0 1.3 12.9 15.8 6.8 9.3 5.3 8.1 Apr-94 Policy Index 1.4 13.4 16.3 7.7 9.7 5.5 8.2 Apr-94 Over/Under 1.3 13.0 16.5 7.0 9.1 5.0 -- Apr-94 60% MSCI ACWI (Net) / 40% CITI WGBI 1.0 14.0 13.5 5.2 6.3 3.7 -- Apr-94 Total Fund ex Parametric* 5,138,827,723 96.8 -- 1.3 12.6 15.5 6.7 9.2 5.2 8.1 Apr-94 Total Fund ex Private Equity 5,080,466,073 95.7 -- 1.3 12.8 15.7 6.6 8.8 -- 9.4 Jan-12 Policy Index 1.4 13.4 16.3 7.7 9.7 5.5 10.1 Jan-12 Over/Under -0.1 -0.6 -0.6 -1.1 -0.9 -0.7 Total US Equity 1,689,816,659 31.8 28.0 2.3 16.5 24.2 10.7 15.3 7.4 9.3 Dec-93 Russell 3000 2.2 16.4 24.0 10.5 15.1 7.7 9.6 Dec-93 Over/Under 0.1 0.1 0.2 0.2 0.2 -0.3 -0.3 Western U.S. Index Plus 189,525,235 3.6 2.5 17.6 24.8 11.5 15.9 6.0 5.6 May-07 S&P 500 2.3 16.9 23.6 10.8 15.2 7.5 7.4 May-07 Over/Under 0.2 0.7 1.2 0.7 0.7 -1.5 -1.8 Blackrock Russell 1000 Index 1,441,132,640 27.2 2.3 ------9.0 May-17 Russell 1000 2.3 16.8 23.7 10.6 15.2 7.6 9.0 May-17 Over/Under 0.0 0.0 Blackrock Russell 2500 Index 59,158,784 1.1 1.6 ------7.8 May-17 Russell 2500 1.5 12.7 24.7 9.6 14.5 8.1 7.8 May-17 Over/Under 0.1 0.0
Policy Index: Currently, 28% Russell 3000, 20% Barclays Aggregate, 15% MSCI ACWI ex U.S., 10%MSCI ACWI, 10% DJ U.S. Total Stock Market Index + 3%, 10% CPI+4% Index, and 7% NCREIF ODCE Real Estate Index.
Prior to January 2016 the Total U.S. Equity Benchmark was a dynamic hybrid using the respective managers' market value weights within the U.S. Equity component toward their benchmark. Prior to May 2013, the Dow Jones U.S. Total Stock Market Index. Prior to May 2007, the Russell 3000 Index.
CPI+4% and CPI+5% are estimated due to CPI monthly lag.
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MASTER PAGE NO. 110 of 227 Business Meeting Agenda - VI.A. INVESTMENT INFORMATION: NEPC INVESTMENT REPORTS & RECOMMENDATION TO APPROVE INVESTM...
Ventura County Employees’ Retirement Association Total Fund Performance Detail Net of Fees
Market Value % of 1 Mo YTD 1 Yr 3 Yrs 5 Yrs 10 Yrs Return Policy % Since ($) Portfolio (%) (%) (%) (%) (%) (%) (%) _ Total Non-US Equity 866,045,685 16.3 15.0 2.0 22.8 23.6 6.9 8.0 1.6 6.7 Mar-94 MSCI ACWI ex USA 1.9 23.4 23.6 5.7 7.3 0.9 5.5 Mar-94 Over/Under 0.1 -0.6 0.0 1.2 0.7 0.7 1.2 MSCI EAFE 1.5 21.8 23.4 6.1 8.5 1.1 5.1 Mar-94 MSCI ACWI ex USA Local Currency 3.2 17.1 21.6 8.9 11.4 2.8 -- Mar-94 MSCI EAFE Local Currency 3.0 14.5 21.1 9.0 12.7 2.7 5.1 Mar-94 BlackRock ACWI ex-U.S. Index 423,663,566 8.0 1.9 24.0 24.1 6.4 7.9 1.4 3.1 Mar-07 MSCI ACWI ex USA 1.9 23.4 23.6 5.7 7.3 0.9 2.6 Mar-07 Over/Under 0.0 0.6 0.5 0.7 0.6 0.5 0.5 MSCI ACWI ex USA Local Currency 3.2 17.1 21.6 8.9 11.4 2.8 3.7 Mar-07 Sprucegrove 228,823,164 4.3 2.4 23.4 26.7 7.5 8.5 2.8 8.0 Mar-02 MSCI ACWI ex USA 1.9 23.4 23.6 5.7 7.3 0.9 7.0 Mar-02 Over/Under 0.5 0.0 3.1 1.8 1.2 1.9 1.0 MSCI EAFE 1.5 21.8 23.4 6.1 8.5 1.1 6.4 Mar-02 MSCI ACWI ex USA Local Currency 3.2 17.1 21.6 8.9 11.4 2.8 5.7 Mar-02 MSCI EAFE Local Currency 3.0 14.5 21.1 9.0 12.7 2.7 4.9 Mar-02 Hexavest 92,214,384 1.7 0.3 15.0 17.6 4.6 6.7 -- 4.9 Dec-10 MSCI EAFE 1.5 21.8 23.4 6.1 8.5 1.1 5.8 Dec-10 Over/Under -1.2 -6.8 -5.8 -1.5 -1.8 -0.9 MSCI EAFE Local Currency 3.0 14.5 21.1 9.0 12.7 2.7 8.6 Dec-10 Walter Scott 121,344,571 2.3 2.7 24.0 21.3 8.5 7.9 -- 6.4 Dec-10 MSCI ACWI ex USA 1.9 23.4 23.6 5.7 7.3 0.9 4.6 Dec-10 Over/Under 0.8 0.6 -2.3 2.8 0.6 1.8 MSCI ACWI ex USA Local Currency 3.2 17.1 21.6 8.9 11.4 2.8 7.7 Dec-10 MSCI EAFE 1.5 21.8 23.4 6.1 8.5 1.1 5.8 Dec-10 Total Global Equity 578,240,975 10.9 10.0 2.1 20.1 23.7 7.6 10.2 3.0 6.2 May-05 MSCI ACWI 2.1 19.7 23.2 7.9 10.8 3.7 7.1 May-05 Over/Under 0.0 0.4 0.5 -0.3 -0.6 -0.7 -0.9 BlackRock MSCI ACWI Equity Index 578,240,975 10.9 2.1 20.1 23.7 8.4 11.2 -- 11.6 Aug-12 MSCI ACWI 2.1 19.7 23.2 7.9 10.8 3.7 11.2 Aug-12 Over/Under 0.0 0.4 0.5 0.5 0.4 0.4
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MASTER PAGE NO. 111 of 227 Business Meeting Agenda - VI.A. INVESTMENT INFORMATION: NEPC INVESTMENT REPORTS & RECOMMENDATION TO APPROVE INVESTM...
Ventura County Employees’ Retirement Association Total Fund Performance Detail Net of Fees
Market Value % of 1 Mo YTD 1 Yr 3 Yrs 5 Yrs 10 Yrs Return Policy % Since ($) Portfolio (%) (%) (%) (%) (%) (%) (%) _ Total Private Equity 227,283,129 4.3 10.0 0.0 13.4 17.2 12.4 14.4 -- 14.1 Jan-12 DJ U.S. Total Stock Market Index + 3% 2.4 19.3 27.6 13.8 18.5 -- 18.8 Jan-12 Over/Under -2.4 -5.9 -10.4 -1.4 -4.1 -4.7 Adams Street Global Fund Series 129,940,164 2.4 0.0 8.5 12.0 9.6 12.1 -- 12.3 Jan-12 DJ U.S. Total Stock Market Index + 3% 2.4 19.3 27.6 13.8 18.5 -- 18.8 Jan-12 Over/Under -2.4 -10.8 -15.6 -4.2 -6.4 -6.5 Harbourvest 65,960,330 1.2 0.0 22.1 26.1 18.7 -- -- 19.9 Aug-13 DJ U.S. Total Stock Market Index + 3% 2.4 19.3 27.6 13.8 18.5 -- 15.7 Aug-13 Over/Under -2.4 2.8 -1.5 4.9 4.2 Pantheon Global Secondary Funds 28,730,707 0.5 0.0 21.0 27.9 13.2 14.8 -- 12.7 Jan-12 DJ U.S. Total Stock Market Index + 3% 2.4 19.3 27.6 13.8 18.5 -- 18.8 Jan-12 Over/Under -2.4 1.7 0.3 -0.6 -3.7 -6.1 Drive Capital Fund 2,651,929 0.0 0.0 -31.7 -51.7 ------46.4 Sep-16 DJ U.S. Total Stock Market Index + 3% 2.4 19.3 27.6 13.8 18.5 -- 21.6 Sep-16 Over/Under -2.4 -51.0 -79.3 -68.0 XXXXX *
Please Note: Private Equity performance is shown on a time-weighted return basis. Values are cash adjusted with current month cash flows.
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Ventura County Employees’ Retirement Association Private Equity Limited Partnership Performance
Since Inception
DistributionsTotal Value to Initial Capital Outstanding Call Add'l Distributions to Paid In Paid In Fund Name Vintage YearInvestmentCommitment Called toCommitment Valuation Total Value Net Benefit IRR 2 1 1 Ratio Fees to Date Multiple Multiple Date Date (DPI) (TVPI)
Adams Street 2010 U.S. Fund 2010 5/21/2010 $42,500,000 $36,188,750 $6,311,250 85% $15,213 $18,681,786 $35,061,2553.0% 0.52x $53,743,041 1.48x $17,539,078 1 Adams Street 2010 Non-U.S. Dev. Mkts Fund 2010 5/21/2010 $25,500,000 $21,254,249 $4,245,751 83% $1,589 $10,529,3446 $6,875,648 $17,602,142 9.6% $28,131,48 0.5x 1.32x Adams Street 2010 Non-U.S. Emg Mkts Fund 2010 1/3/2011 $8,500,000 $6,868,000 $1,632,000 81% $0 $1,193,4439.3% $8,218,962 0.17x $9,412,405 1.37x $2,544,405 Adams Street 2010 Direct Fund 2010 5/21/2010 $8,500,000 $8,046,100 $453,900 95% $6,697 $7,196,986 $5,573,73189x $12,770,717 1.59x $4,739,126 11.9% 0. Total Adams Street 2010 2010 5/21/2010 $85,000,000 $72,357,099 $12,642,901 85% $23,499 $37,601,559 $66,456,0906% 0.52x $104,057,649 1.44x $31,698,257 11.
Adams Street 2013 Global Fund 2013 6/27/2013 $75,000,000 $49,950,000 $25,050,000 67% $10,728 $4,679,6306.6% $52,830,780 0.09x $57,510,410 1.15x $7,549,682 Adams Street 2016 Global Fund 2016 12/22/2016 $60,000,000 $9,960,000 $50,040,000$0 17% $10,653,301 $0 $10,653,301 $693,301 28.4%1.07x 0x Drive Capital Fund II 2016 9/1/2016 $15,000,000 $3,018,905 $11,984,305 20% $3,210 $0 $2,651,928 $2,651,9280.88x ($366,977) -26.5% 0x GTCR Fund XII 2017 9/29/2017 $30,000,000 -- $30,000,000-- 0%------HarbourVest - Dover Street VIII 2013 5/30/2013 $67,500,000 $58,472,454 $9,112,500 87% $84,954 $41,774,315716 $42,504,508 21.4% 0.71x $84,278,823 $23,018, 1.44x HarbourVest - Dover Street IX 2016 12/16/2016 $60,000,000 $9,600,000 $50,400,000 16% $0 $2,132,342 $10,442,4180.22x $12,574,760 1.31x $2,974,760 78.6% HarbourVest - PRTNS CO INVEST IV L.P. 2017 6/2/2017 $30,000,000 $12,375,000 $17,625,000$0 41% $13,335,740 $0 $13,335,740 $960,740 25.0%1.08x 0x Pantheon Global Secondary Fund IV 2010 8/20/2010 $15,000,000 $9,960,000 $5,040,000 66% $0 $10,650,001 $4,501,4669% 1.07x $15,151,467 1.52x $5,191,467 13. Pantheon Global Secondary Fund V 2015 2/26/2015 $50,000,000 $21,091,509 $28,908,491 42% ($162,514) $3,562,60350,244 $24,216,636 22.4% $27,779,239 0.17x $6,8 1.33x
Total VCERA Private Equity Program -- 5/21/2010 $487,500,000 $246,784,967 $240,803,197 51% -$40,123 $100,400,4507 $78,570,190 $227,592,867 13.6% $327,993,31 0.41x 1.33x
1. Includes recycled/recallable distributions received to date. 2. Add'l Fees represents notional interest paid/(received). 2. Add'l Fees for Pantheon Global Secondary Fund V includes notional interest paid/(received)o VCERA. and management fee rebates paid t Note: Private equity performance data is reported net of fees. Performance shown is based on 6/30/2017 NAVs cash-adjusted for cash flows through 10/31/2017.
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MASTER PAGE NO. 113 of 227 Business Meeting Agenda - VI.A. INVESTMENT INFORMATION: NEPC INVESTMENT REPORTS & RECOMMENDATION TO APPROVE INVESTM...
Ventura County Employees’ Retirement Association Total Fund Performance Detail Net of Fees
Market Value % of 1 Mo YTD 1 Yr 3 Yrs 5 Yrs 10 Yrs Return Policy % Since ($) Portfolio (%) (%) (%) (%) (%) (%) (%) _ Total US Fixed Income 956,314,114 18.0 20.0 0.1 4.0 2.4 2.9 2.5 5.5 5.9 Feb-94 BBgBarc US Aggregate TR 0.1 3.2 0.9 2.4 2.0 4.2 5.4 Feb-94 Over/Under 0.0 0.8 1.5 0.5 0.5 1.3 0.5 BlackRock U.S. Debt Fund 222,362,596 4.2 0.1 3.3 1.0 2.5 2.1 4.3 5.2 Nov-95 BBgBarc US Aggregate TR 0.1 3.2 0.9 2.4 2.0 4.2 5.2 Nov-95 Over/Under 0.0 0.1 0.1 0.1 0.1 0.1 0.0 Western 296,422,753 5.6 0.1 5.3 2.7 3.6 3.4 5.4 6.2 Dec-96 BBgBarc US Aggregate TR 0.1 3.2 0.9 2.4 2.0 4.2 5.2 Dec-96 Over/Under 0.0 2.1 1.8 1.2 1.4 1.2 1.0 Reams 309,012,985 5.8 0.0 2.5 2.0 2.4 1.6 5.5 5.4 Sep-01 Reams Custom Index 0.1 1.0 1.2 0.7 0.4 3.3 3.9 Sep-01 Over/Under -0.1 1.5 0.8 1.7 1.2 2.2 1.5 BBgBarc US Aggregate TR 0.1 3.2 0.9 2.4 2.0 4.2 4.5 Sep-01 3-Month LIBOR + 3% 0.4 3.6 4.2 3.7 3.6 3.9 4.8 Sep-01 Loomis Strategic Alpha 45,867,947 0.9 0.2 2.9 3.8 2.7 -- -- 2.7 Jul-13 BBgBarc US Aggregate TR 0.1 3.2 0.9 2.4 2.0 4.2 3.0 Jul-13 Over/Under 0.1 -0.3 2.9 0.3 -0.3 3-Month LIBOR + 3% 0.4 3.6 4.2 3.7 3.6 3.9 3.6 Jul-13 Loomis Sayles Multi Strategy 82,647,833 1.6 0.2 7.8 6.2 4.1 4.6 6.5 6.6 Jul-05 Loomis Custom Index 0.2 4.3 3.2 3.2 3.2 5.2 5.2 Jul-05 Over/Under 0.0 3.5 3.0 0.9 1.4 1.3 1.4 BBgBarc US Govt/Credit TR 0.1 3.6 1.1 2.5 2.0 4.3 4.3 Jul-05
Reams Custom Index: Merrill Lynch 3 Month Libor Constant Maturity Index, prior to February 2013 the Barclays Aggregate.
Loomis Custom Index: 65% Barclays Aggregate, 30% Citigroup High Yield Market Index and 5% JPM Non-US Hedged Bond Index.
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Ventura County Employees’ Retirement Association Total Fund Performance Detail Net of Fees
Market Value % of 1 Mo YTD 1 Yr 3 Yrs 5 Yrs 10 Yrs Return Policy % Since ($) Portfolio (%) (%) (%) (%) (%) (%) (%) _ Total Real Estate 397,266,572 7.5 7.0 0.0 3.8 5.5 8.8 9.4 2.6 7.8 Mar-94 NCREIF ODCE Net 0.0 4.7 6.7 9.8 10.6 4.1 8.1 Mar-94 Over/Under 0.0 -0.9 -1.2 -1.0 -1.2 -1.5 -0.3 Prudential Real Estate 141,977,647 2.7 0.0 5.1 7.5 10.5 11.1 3.7 6.1 Jun-04 NCREIF ODCE Net 0.0 4.7 6.7 9.8 10.6 4.1 7.0 Jun-04 Over/Under 0.0 0.4 0.8 0.7 0.5 -0.4 -0.9 NCREIF ODCE 0.0 5.4 7.7 10.8 11.6 5.0 8.0 Jun-04 UBS Real Estate 255,116,077 4.8 0.0 3.2 4.4 8.0 8.5 4.2 7.3 Mar-03 NCREIF ODCE Net 0.0 4.7 6.7 9.8 10.6 4.1 7.3 Mar-03 Over/Under 0.0 -1.5 -2.3 -1.8 -2.1 0.1 0.0 NCREIF ODCE 0.0 5.4 7.7 10.8 11.6 5.0 8.3 Mar-03 RREEF 172,848 0.0 0.0 -4.8 -5.1 -4.5 4.8 -6.3 -6.2 Sep-07 NCREIF ODCE Net 0.0 4.7 6.7 9.8 10.6 4.1 4.0 Sep-07 Over/Under 0.0 -9.5 -11.8 -14.3 -5.8 -10.4 -10.2 NCREIF ODCE 0.0 5.4 7.7 10.8 11.6 5.0 5.0 Sep-07 Total Liquid Alternatives 422,243,499 8.0 10.0 0.1 4.4 6.6 -0.5 -- -- 4.7 Apr-13 CPI + 4% (Unadjusted) 0.9 6.2 6.7 5.5 9.1 -- 6.4 Apr-13 Over/Under -0.8 -1.8 -0.1 -6.0 -1.7 Bridgewater All Weather Fund 307,552,975 5.8 1.8 9.4 9.2 3.6 -- -- 5.5 Aug-13 CPI + 5% (Unadjusted) 0.9 7.0 7.8 6.5 -- -- 6.5 Aug-13 Over/Under 0.9 2.4 1.4 -2.9 -1.0 Tortoise Energy Infrastructure 114,690,524 2.2 -4.2 -6.9 0.0 -8.9 -- -- 0.5 Apr-13 Wells Fargo MLP Index -3.4 -8.3 -0.6 -12.1 -0.3 -- -3.7 Apr-13 Over/Under -0.8 1.4 0.6 3.2 4.2 Overlay 170,538,569 3.2 0.0 Parametric 170,538,569 3.2
Total Real Estate Benchmark: NCREIF ODCE; prior to January 2006, the NCREIF Property Index.
Real Estate managers and NCREIF ODCE are valued on a quarterly basis. Performance is not applicable in mid-quarter months, therefore 0% return is shown.
Real Estate Valuation is as of 06/30/2017.
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MASTER PAGE NO. 115 of 227 Business Meeting Agenda - VI.A. INVESTMENT INFORMATION: NEPC INVESTMENT REPORTS & RECOMMENDATION TO APPROVE INVESTM...
Ventura County Employees’ Retirement Association Total Fund Cash Flow Summary Month Ending October 31, 2017 Beginning Net Investment Ending Contributions Withdrawals Net Cash Flow Fees Market Value Change Market Value
_ Adams Street Global Fund Series $125,759,609 $4,180,550 $0 $4,180,550 $0 $5 $129,940,164 BlackRock ACWI ex-U.S. Index $415,817,178 $0 $0 $0 -$36,972 $7,846,387 $423,663,566 BlackRock MSCI ACWI Equity Index $566,363,191 $0 $0 $0 -$20,941 $11,877,784 $578,240,975 Blackrock Russell 1000 Index $1,408,814,660 $0 $0 $0 -$12,426 $32,317,980 $1,441,132,640 Blackrock Russell 2500 Index $58,250,385 $0 $0 $0 -$986 $908,398 $59,158,784 BlackRock U.S. Debt Fund $222,223,498 $0 $0 $0 -$10,745 $139,098 $222,362,596 Bridgewater All Weather Fund $302,088,378 $0 $0 $0 -$97,407 $5,464,597 $307,552,975 Drive Capital Fund $2,213,068 $438,861 $0 $438,861 $0 $0 $2,651,929 Harbourvest $63,935,727 $4,125,000 -$2,100,402 $2,024,598 $0 $5 $65,960,330 Hexavest $91,911,216 $0 $0 $0 -$34,905 $303,167 $92,214,384 Loomis Sayles Multi Strategy $82,492,040 $0 $0 $0 -$26,495 $155,793 $82,647,833 Loomis Strategic Alpha $45,754,600 $0 $0 $0 -$15,289 $113,347 $45,867,947 Pantheon Global Secondary Funds $28,730,707 $0 $0 $0 $0 $0 $28,730,707 Parametric $195,180,524 $2,100,402 -$26,744,411 -$24,644,009 -$32,888 $2,054 $170,538,569 Prudential Real Estate $141,977,647 $0 $0 $0 $0 $0 $141,977,647 Reams $309,031,319 $0 $0 $0 -$44,877 -$18,334 $309,012,985 RREEF $172,848 $0 $0 $0 $0 $0 $172,848 Sprucegrove $223,345,597 $0 $0 $0 -$67,255 $5,477,568 $228,823,164 Tortoise Energy Infrastructure $119,648,250 $0 $0 $0 -$59,735 -$4,957,726 $114,690,524 UBS Real Estate $255,116,077 $0 $0 $0 $0 $0 $255,116,077 Walter Scott $118,037,444 $0 $0 $0 -$82,547 $3,307,128 $121,344,571 Western $296,137,168 $0 $0 $0 -$49,553 $285,585 $296,422,753 Western U.S. Index Plus $184,899,033 $0 $0 $0 -$36,191 $4,626,201 $189,525,235 Total $5,257,900,164 $10,844,813 -$28,844,813 -$18,000,000 -$629,212 $67,849,038 $5,307,749,202
XXXXX
October 31, 2017
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MASTER PAGE NO. 116 of 227 Business Meeting Agenda - VI.A. INVESTMENT INFORMATION: NEPC INVESTMENT REPORTS & RECOMMENDATION TO APPROVE INVESTM...
Information Disclaimer and Reporting Methodology
Information Disclaimer
• Past performance is no guarantee of future results.
• All investments carry some level of risk. Diversification and other asset allocation techniques are not guaranteed to ensure profit or protect against losses.
• NEPC’s source for portfolio pricing, calculation of accruals, and transaction information is the plan’s custodian bank. Information on market indices and security characteristics is received from other sources external to NEPC. While NEPC has exercised reasonable professional care in preparing this report, we cannot guarantee the accuracy of all source information contained within.
• Some index returns displayed in this report or used in calculation of a policy, allocation or custom benchmark may be preliminary and subject to change.
• This report is provided as a management aid for the client’s internal use only. Information contained in this report does not constitute a recommendation by NEPC.
• This report may contain confidential or proprietary information and may not be copied or redistributed to any party not legally entitled to receive it.
Reporting Methodology
• The client’s custodian bank is NEPC’s preferred data source unless otherwise directed. NEPC generally reconciles custodian data to manager data. If the custodian cannot provide accurate data, manager data may be used.
• Trailing time period returns are determined by geometrically linking the holding period returns, from the first full month after inception to the report date. Rates of return are annualized when the time period is longer than a year. Performance is presented gross and/or net of manager fees as indicated on each page.
• For managers funded in the middle of a month, the “since inception” return will start with the first full month, although actual inception dates and cash flows are taken into account in all Composite calculations.
• This report may contain forward-looking statements that are based on NEPC’s estimates, opinions and beliefs, but NEPC cannot guarantee that any plan will achieve its targeted return or meet other goals.
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MASTER PAGE NO. 117 of 227 Business Meeting Agenda - VI.A. INVESTMENT INFORMATION: NEPC INVESTMENT REPORTS & RECOMMENDATION TO APPROVE INVESTM...
Ventura County Employees' Retirement Association
Investment Summary Quarter Ending September 30, 2017
Allan Martin, Partner, Anthony Ferrara, CAIA, Consultant Michael Miranda, Senior Analyst
MASTER PAGE NO. 118 of 227 Business Meeting Agenda - VI.A. INVESTMENT INFORMATION: NEPC INVESTMENT REPORTS & RECOMMENDATION TO APPROVE INVESTM...
Market Environment Update and Outlook
MASTER PAGE NO. 119 of 227 Business Meeting Agenda - VI.A. INVESTMENT INFORMATION: NEPC INVESTMENT REPORTS & RECOMMENDATION TO APPROVE INVESTM...
Economic Environment
• Third quarter GDP growth rate (advance estimate) is estimated at 3.0%. – Retail sales ended September at +4.7% on a YoY basis. In the same period last year the YoY growth rate was 2.6%. – Corporate profits (ended April) as a percent of GDP decreased slightly to 9.2% from 9.5% (in January) and remain elevated relative to historical levels. – The inventory-to-sales ratio ended August flat at 1.4 and has remained relatively flat since early 2010. – The U.S. trade deficit declined by 2.6% ended August as exports increased to a level last seen two and half years ago and imports decreased slightly.
• The unemployment rate decreased to 4.2% from 4.4% in Q3; U-6, a broader measure of unemployment, decreased to 8.3% from 8.6% during the third quarter.
• The Case-Shiller Home Price Index (ended July) increased to 194.1 from 192.7 in June and is at levels higher than that of pre-financial crisis levels of 150.9.
• Rolling 12-month seasonally-adjusted CPI saw an up-tick to 2.2% at the end of September from 1.6% at the end of June; Capacity Utilization marginally decreased to 76.0% in Q3 from 76.6% in Q2.
• Fed Funds rate was unchanged at a targeted range of 1.0% - to – 1.25%. The 10-year Treasury Yield (constant maturity) finished Q3 at 2.2% flat from Q2.
• The Fed balance sheet decreased slightly during Q3 2017, while the European Central Bank balance sheet continues to increase. – ECB held its benchmark refinance rate at 0%, deposit rates -0.4% and asset purchases at €60 billion per month of corporate and public securities
• S&P valuations increased slightly in Q3 remaining above the 10-year and long-term averages. – Cyclically adjusted Shiller PE ratio (30.2x) is above the long-term average of 16.8x and above the 10-year average of 23.1x.
September 30, 2017
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MASTER PAGE NO. 120 of 227 Business Meeting Agenda - VI.A. INVESTMENT INFORMATION: NEPC INVESTMENT REPORTS & RECOMMENDATION TO APPROVE INVESTM...
Market Environment – Q3 2017 Overview
Qtr. 1 Yr. 3 Yr. 5 Yr. 10 Yr. World Equity Benchmarks MSCI ACWI (Net) (USD) World 5.2% 18.6% 7.4% 10.2% 3.9% MSCI ACWI (Local) World (Local Currency) 4.3% 18.3% 8.8% 12.2% 4.6% Domestic Equity Benchmarks S&P 500 Large Core 4.5% 18.6% 10.8% 14.2% 7.4% Russell 1000 Large Core 4.5% 18.5% 10.6% 14.3% 7.5% Russell 1000 Growth Large Growth 5.9% 21.9% 12.7% 15.3% 9.1% Russell 1000 Value Large Value 3.1% 15.1% 8.5% 13.2% 5.9% Russell 2000 Small Core 5.7% 20.7% 12.2% 13.8% 7.8% Russell 2000 Growth Small Growth 6.2% 21.0% 12.2% 14.3% 8.5% Russell 2000 Value Small Value 5.1% 20.5% 12.1% 13.3% 7.1% International Equity Benchmarks MSCI ACWI Ex USA World ex-US 6.2% 19.6% 4.7% 7.0% 1.3% MSCI EAFE (Net) (USD) Int'l Developed 5.4% 19.1% 5.0% 8.4% 1.3% MSCI EAFE (Local) Int'l Developed (Local Currency) 3.4% 19.0% 7.9% 12.3% 2.6% S&P EPAC Small Cap Small Cap Int'l 7.0% 21.7% 11.1% 13.0% 4.4% MSCI EM Emerging Equity 7.9% 22.5% 4.9% 4.0% 1.3% Domestic Fixed Income Benchmarks Barclays Aggregate Core Bonds 0.8% 0.1% 2.7% 2.1% 4.3% Barclays US High Yield High Yield 2.0% 8.9% 5.8% 6.4% 7.8% BofA ML US HY BB/B High Yield 1.9% 8.0% 5.8% 6.1% 7.2% CSFB Levered Loans Bank Loans 1.1% 5.4% 4.0% 4.4% 4.4% BofA ML US 3-Month T-Bill Cash 0.3% 0.7% 0.3% 0.2% 0.5% Barclays US TIPS 1-10 Yr Inflation 0.7% -0.1% 1.3% 0.1% 3.3% Global Fixed Income Benchmarks Citigroup WGBI World Gov. Bonds 1.8% -2.7% 0.9% -0.4% 3.0% Barclays Global Aggregate Global Core Bonds 1.8% -1.3% 1.3% 0.5% 3.3% BC Global Credit Global Bonds 2.3% 2.7% 2.4% 2.4% 4.1% JPM GBI-EM Glob. Diversified Em. Mkt. Bonds (Local Currency) 3.6% 7.3% 0.3% -0.9% 3.8% JPM EMBI+ Em. Mkt. Bonds 2.2% 2.9% 6.3% 4.0% 7.1% Alternative Benchmarks Bloomberg Commodity Index Commodities 2.5% -0.3% -10.4% -10.5% -6.8% Credit Suisse Hedge undF Index Hedge Fund 1.8% 5.9% 2.0% 4.2% 3.3% HFRI FoF Conservative Fund of Hedge Funds 1.2% 4.5% 1.8% 3.5% 1.0% Cambridge PE Lagged* Private Equity 3.6% 17.3% 9.7% 13.5% 9.3% NCREIF ODCE Net Lagged* Real Estate 1.5% 6.9% 10.3% 10.8% 4.3% Wilshire REIT Index REIT 0.6% 0.1% 9.7% 9.5% 5.6% CPI + 2% Inflation/Real Assets 1.6% 4.3% 3.2% 3.3% 3.7%
* As of 6/30/2017
September 30, 2017
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MASTER PAGE NO. 121 of 227 Business Meeting Agenda - VI.A. INVESTMENT INFORMATION: NEPC INVESTMENT REPORTS & RECOMMENDATION TO APPROVE INVESTM...
Market Environment
Global Equity
• U.S. equities as measured by the S&P 500 posted moderate gains in the third quarter (+4.5%).
• Small cap stocks outperformed large cap stocks during the quarter, with the Russell 2000 Index returning 5.7% and the Russell 1000 Index returning 4.5%.
• International equities outperformed U.S. markets during the quarter, returning 6.2%, as measured by the MSCI ACWI ex-U.S. Index. Emerging markets returned 7.9% as measured by the MSCI Emerging Markets Index in U.S. dollar terms. – Developed international markets returned 5.4% in USD terms, while in local currency terms returned 3.4% as measured by the MSCI EAFE Index.
Private Equity
• Capital commitment momentum slowed slightly in Q3 2017.
• Private equity fundraising totaled $150 billion in Q3 2017. – North America focused private equity funds raised $64 billion. – Asia focused private equity funds raised $9 billion. – Europe focused private equity raised $20 billion.
• Private equity dry powder continued its increase to record levels and stands at $942 billion ended Q3 up from approximately $906 billion ended Q2.
September 30, 2017
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MASTER PAGE NO. 122 of 227 Business Meeting Agenda - VI.A. INVESTMENT INFORMATION: NEPC INVESTMENT REPORTS & RECOMMENDATION TO APPROVE INVESTM...
Market Environment
Fixed Income
• The nominal yield curve continued to flatten in Q3. Intermediate –to- long term yields increased 2 –to- 3 basis points across five to 30 year treasury bonds while short term yields increased 12 basis points for the 3 month and 7 basis points in the one year.
• The spread between two and 10 year rates decreased to 86 basis points from 93 basis points in Q3.
• Treasury Inflation-Protected Securities, or TIPS, returned 0.7% during the quarter, as measured by the BBg Barclays US TIPS 1-10 Yr Index.
• The BBg Barclays Long Duration Credit Index gained 0.6%.
• Long Treasuries gained 0.6% and investment-grade US corporate debt gained 0.8%.
• The BBg Barclays 1-3 year US Government/ Credit Index returned 0.3%. US high yield bonds gained 2.0% driven by tighter spreads.
• Emerging markets debt had modest gains. – US dollar-denominated debt, as measured by the JP Morgan EMBI Index, gained 2.2%; local currency debt gained 3.6%, according to the JP Morgan GBI-EM BD Index.
September 30, 2017
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MASTER PAGE NO. 123 of 227 Business Meeting Agenda - VI.A. INVESTMENT INFORMATION: NEPC INVESTMENT REPORTS & RECOMMENDATION TO APPROVE INVESTM...
Market Environment
Real Assets/Inflation-Linked Assets
• Energy remains attractive despite volatile oil prices. – Private equity and debt opportunities are attractive. – Fire sale prices never materialized but focusing on assets outside of the hottest zip codes provides potential for strong returns as market normalizes.
• Infrastructure – select opportunities to access growth markets. – High quality assets are receiving premium bids from direct investors (Pension Funds and Sovereigns) with low costs of capital and long hold horizons; focus on mismanaged or niche opportunities.
• Metals & Mining – have commodity prices bottomed? – Peak capex occurred in 2012, lagging commodity price drops that began in 2011. – Diverse demand drivers for underlying commodity prices.
• Timber – low return potential and limited opportunity for outperformance.
• Agriculture – near-term slowdown in price appreciation creates opportunity to invest in a strong (very) long term outlook supported by demographic trends.
September 30, 2017
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MASTER PAGE NO. 124 of 227 Business Meeting Agenda - VI.A. INVESTMENT INFORMATION: NEPC INVESTMENT REPORTS & RECOMMENDATION TO APPROVE INVESTM...
Market Environment
Commodities
• Commodities gained 2.5% as measured by the Bloomberg Commodity Index. – Energy led gains in commodities with heating oil and crude oil posting strong gains.
Real Estate
• NEPC continues to be neutral on core real estate in the US and remains positive on non-core real estate, that is, value-add and opportunistic strategies.
• Real estate fundamentals (rent growth, occupancy, net absorption) remain strong; however, valuations are high on an absolute and relative basis. – Rising interest rates have been baked into existing valuations but excess cap rate expansion (beyond general expectations) will reset valuations.
• Overall, the non-core real estate investment environment in the U.S. is normalizing; however, select areas remain attractive.
• Europe is viewed as the best place for a marginal dollar of non-core real estate investment. – Current US-dollar denominated investors with currency exposure will feel near-term impact of Brexit, but new investors may benefit from a strong US-dollar. Long-term Brexit and broader European political instability, however, are unclear.
September 30, 2017
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MASTER PAGE NO. 125 of 227 Business Meeting Agenda - VI.A. INVESTMENT INFORMATION: NEPC INVESTMENT REPORTS & RECOMMENDATION TO APPROVE INVESTM...
A Prolonged US Economic Expansion Can Support An Extended Rally For Risk Assets
Source: Federal Reserve Bank of St. Louis *Cumulative Real GDP growth from recession start
September 30, 2017
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MASTER PAGE NO. 126 of 227 Business Meeting Agenda - VI.A. INVESTMENT INFORMATION: NEPC INVESTMENT REPORTS & RECOMMENDATION TO APPROVE INVESTM...
Synchronized Global Growth Conditions Supported Equities Globally In 2017
Source: Bloomberg, Morgan Stanley
September 30, 2017
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MASTER PAGE NO. 127 of 227 Business Meeting Agenda - VI.A. INVESTMENT INFORMATION: NEPC INVESTMENT REPORTS & RECOMMENDATION TO APPROVE INVESTM...
China Transitions – Stable Currency Management Benefits Emerging Markets
Source: Bloomberg
• Markets have responded positively to the PBOC’s management of a more stable yuan as capital outflow pressure has eased
• Currency devaluation remains a tail risk as continued credit expansion and real estate development risk inflating asset price bubbles
September 30, 2017
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MASTER PAGE NO. 128 of 227 Business Meeting Agenda - VI.A. INVESTMENT INFORMATION: NEPC INVESTMENT REPORTS & RECOMMENDATION TO APPROVE INVESTM...
Expanding US Valuations Have Supported S&P 500 Returns But Could Still Run Further
Source Top/Bottom: Bloomberg, NEPC
Holding the current earnings profile constant, what would the S&P 500 trade at under past CAPE ratios. While the S&P 500 is overvalued, it is not at extreme valuations and is supported by low inflation/interest rates
September 30, 2017
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MASTER PAGE NO. 129 of 227 Business Meeting Agenda - VI.A. INVESTMENT INFORMATION: NEPC INVESTMENT REPORTS & RECOMMENDATION TO APPROVE INVESTM...
September 30, 2017 HIGHLIGHTS OF THIRD QUARTER HAPPENINGS AT NEPC September 30, 2017
NEPC INSIGHTS • A Tale of Two Countries: What’s Next for Investors? (July 2017) • Is the Buy-Write Strategy Right For You? (July 2017) • 2017 2nd Quarter Market Thoughts (July 2017) • The Top Three Stressors for Pension Plans (July 2017) • 2017 Q2 Endowment & Foundation Survey Results & Infographic (August 2017) • NEPC Healthcare Operating Fund Universe Results and Infographic (August 2017) • Monitoring the Economic Impact of Harvey (August 2017) • Market Chatter: Should the Underperformance of CTAs Give Investors Pause (September 2017) • Defined Contribution Plan & Fee Survey: Healthcare Findings Infographic (September 2017)
WEBINAR REPLAYS • NEPC’s 12th Annual Defined Contribution Plan & Fee Survey (September 2017)
To download NEPC’s recent insights and webinar replays, visit: www.NEPC.com/insights
RECENT UPDATES • Our team continues to grow: Please join us in welcoming our Partner, Sam Austin; and Senior Consultants, Kiersten Christensen, Andrew Coupe and Rick Ciccione!
• NEPC was featured in over 45 pieces of news coverage including Bloomberg, Pensions & Investments and FundFire to name a few.
• SAVE THE DATE! We will be hosting our 23rd Annual Investment Conference on May 14-15, 2018.
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MASTER PAGE NO. 130 of 227 Business Meeting Agenda - VI.A. INVESTMENT INFORMATION: NEPC INVESTMENT REPORTS & RECOMMENDATION TO APPROVE INVESTM...
September 30, 2017 HIGHLIGHTS OF THIRD QUARTER HAPPENINGS AT NEPC September 30, 2017 NEPC GIVES BACK This quarter NEPC participated in three charity organization events: Sox for Socks, Habitat for Humanity and the American Red Cross.
• The Sox for Socks Drive supports Boston’s Health Care for the Homeless. The organization provides medical care to Boston’s homeless. This year, over 100 pairs of socks were collected and donated.
• Habitat for Humanity Greater Boston is a Massachusetts charitable organization dedicated to building homes in partnership with low-income families in need of decent and affordable housing. Twenty NEPC employees dedicated time and muscle to bring a home closer to occupancy in Dorchester, MA.
• We are thinking of those affected by Hurricane Harvey. In a show of support, employees donated to the American Red Cross with NEPC matching all donations.
CLIENT AWARDS We’d like to congratulate the following clients for their recent wins at Chief Investment Officer’s 2017 Power 100 Awards:
• David Villa, State of Wisconsin Investment Board • Bob Jacksha, New Mexico Educational Retirement Board • Tim Barrett, Texas Tech University System • Don Pierce, San Bernardino County Employees’ Retirement Association • Carrie Thome, Wisconsin Alumni Research Foundation
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MASTER PAGE NO. 131 of 227 Business Meeting Agenda - VI.A. INVESTMENT INFORMATION: NEPC INVESTMENT REPORTS & RECOMMENDATION TO APPROVE INVESTM...
Total Fund Performance Summary
MASTER PAGE NO. 132 of 227 Business Meeting Agenda - VI.A. INVESTMENT INFORMATION: NEPC INVESTMENT REPORTS & RECOMMENDATION TO APPROVE INVESTM...
Ventura County Employees’ Retirement Association Total Fund Performance Summary (Net)
Market Value 3 Mo Rank YTD Rank 1 Yr Rank 3 Yrs Rank 5 Yrs Rank 10 Yrs Rank Return Since _ Total Fund $5,257,900,164 3.7% 33 11.4% 46 12.8% 34 6.6% 49 8.9% 27 5.3% 37 8.1% Apr-94 Policy Index 3.7% 36 11.8% 39 13.1% 27 7.5% 15 9.2% 19 5.6% 22 8.2% Apr-94 60% MSCI ACWI (Net) / 40% CITI WGBI 3.8% 20 12.8% 14 9.7% 95 4.9% 94 6.0% 97 3.9% 94 -- Apr-94 InvestorForce Public DB > $1B Net Median 3.5% 11.3% 12.5% 6.6% 8.3% 5.0% 7.7% Apr-94 XXXXX
- For the five year period ending September 30, 2017, the Fund returned 8.9% trailing the policy index by 0.3% and ranking in the 27th percentile of its peers and outperforming the actuarial assumed rate of 7.5%. The Fund’s volatility, as measured by standard deviation, ranked in the 76th percentile of its peers, and the risk-adjusted return, or Sharpe Ratio, ranks in the 48th percentile. This means that the Fund has earned more return per unit of volatility taken than 52% of its peers.
- For the three-year period, the Fund returned 6.6%, trailing the policy index by 0.9% and ranking in the 49th percentile of its peers. The Fund’s volatility ranks in the 80th percentile of its peers over this period, with the Fund’s Sharpe Ratio ranking in the 77th percentile.
3 Years Ending September 30, 2017 - For the one-year period, the Fund returned 12.8%, underperforming Anlzd Std Sharpe Sortino Anlzd Ret Rank Rank Rank Rank the policy index by 0.3% and ranking in the 34th percentile of the Dev Ratio Ratio RF InvestorForce Public Funds > $1 Billion Universe (Net of fees). _ Total Fund 6.6% 49 6.4% 80 1.0 77 1.5 60 Policy Index 7.5% 15 6.2% 73 1.2 37 1.7 34 - For the one-year period, the Fund experienced a net investment gain InvestorForce Public DB > $1B Net 6.6% -- 5.6% -- 1.1 -- 1.5 -- of $605 million which includes a net investment gain of $193 million in Median XXXXX the quarter. Assets increased from $4.67 billion one year ago to $5.26 billion. 5 Years Ending September 30, 2017 Sharpe Sortino Anlzd Std Rank Rank Anlzd Ret Rank Dev Rank Ratio Ratio RF _ Total Fund 8.9% 27 6.2% 76 1.4 48 2.4 35 Policy Index 9.2% 19 6.0% 71 1.5 35 2.5 29 InvestorForce Public DB > $1B Net 8.3% -- 5.6% -- 1.4 -- 2.2 -- Median
Policy Index as of January 2016: 28% Russell 3000, 20% Barclays Aggregate, 15% MSCI ACWI ex U.S., 10% MSCI ACWI, 10% DJ U.S. Total Stock Market Index + 3%, 10% CPI+4% Index, and 7% NCREIF ODCE Real Estate Index.
September 30, 2017
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MASTER PAGE NO. 133 of 227 Business Meeting Agenda - VI.A. INVESTMENT INFORMATION: NEPC INVESTMENT REPORTS & RECOMMENDATION TO APPROVE INVESTM...
Ventura County Employees’ Retirement Association Total Fund Asset Growth Summary
Summary of Cash Flows Last Three One Year Three Years Five Years Months
_ Beginning Market Value $4,935,381,791 $4,666,540,419 $4,328,104,648 $3,483,762,393 Net Cash Flow $129,410,401 -$13,828,788 -$29,297,405 -$266,785,001 Net Investment Change $193,107,972 $605,188,533 $959,092,921 $2,040,922,773 Ending Market Value $5,257,900,164 $5,257,900,164 $5,257,900,164 $5,257,900,164
_
September 30, 2017
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MASTER PAGE NO. 134 of 227 Business Meeting Agenda - VI.A. INVESTMENT INFORMATION: NEPC INVESTMENT REPORTS & RECOMMENDATION TO APPROVE INVESTM...
Ventura County Employees’ Retirement Association Total Fund Asset Allocation vs. Policy Targets
Asset Allocation vs. Target Within Current Current Policy Difference* Policy Range Range
_ U.S. Equity $1,651,964,078 31.4% 28.0% 3.4% 24.0% - 32.0% Yes Non-US Equity $849,111,435 16.1% 15.0% 1.1% 12.0% - 18.0% Yes Emerging Markets Equity ------0.0% -- Global Equity $566,363,191 10.8% 10.0% 0.8% 7.0% - 13.0% Yes U.S. Fixed Income $955,638,625 18.2% 20.0% -1.8% 16.0% - 24.0% Yes Fixed Income - Emerging ------0.0% -- Fixed Income - Global ------0.0% -- Global Asset Allocation ------0.0% -- Private Equity $220,639,111 4.2% 10.0% -5.8% 0.0% - 12.0% Yes Hedge Funds ------0.0% -- Real Estate $397,266,572 7.6% 7.0% 0.6% 4.0% - 10.0% Yes Commodities/ Real Assets ------0.0% -- Cash $195,180,524 3.7% 0.0% 3.7% 0.0% - 3.0% No Liquid Alternatives $421,736,628 8.0% 10.0% -2.0% 5.0% - 15.0% Yes Total $5,257,900,164 100.0% 100.0%
XXXXX *Difference between Policy and Current Allocation
Cash represents assets in Parametric Overlay. Policy Index as of January 2016:, 28% Russell 3000, 20% Barclays Aggregate, 15% MSCI ACWI ex U.S., 10% MSCI ACWI, 10% DJ U.S. Total Stock Market Index + 3%, 10% CPI+4% Index, and 7% NCREIF ODCE Real Estate Index.
September 30, 2017
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MASTER PAGE NO. 135 of 227 Business Meeting Agenda - VI.A. INVESTMENT INFORMATION: NEPC INVESTMENT REPORTS & RECOMMENDATION TO APPROVE INVESTM...
Ventura County Employees’ Retirement Association Total Fund Allocation History
Policy Index shown is most recently approved index
September 30, 2017
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MASTER PAGE NO. 136 of 227 Business Meeting Agenda - VI.A. INVESTMENT INFORMATION: NEPC INVESTMENT REPORTS & RECOMMENDATION TO APPROVE INVESTM...
Ventura County Employees’ Retirement Association Total Fund Risk/Return
September 30, 2017
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MASTER PAGE NO. 137 of 227 Business Meeting Agenda - VI.A. INVESTMENT INFORMATION: NEPC INVESTMENT REPORTS & RECOMMENDATION TO APPROVE INVESTM...
Ventura County Employees’ Retirement Association Total Fund Risk Statistics vs. Peer Universe
Total Fund vs. InvestorForce Public DB > $1B Net 1 Year
Sortino Ratio requires two months with negative returns in the time period.
September 30, 2017
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MASTER PAGE NO. 138 of 227 Business Meeting Agenda - VI.A. INVESTMENT INFORMATION: NEPC INVESTMENT REPORTS & RECOMMENDATION TO APPROVE INVESTM...
Ventura County Employees’ Retirement Association Total Fund Risk Statistics vs. Peer Universe
Total Fund vs. InvestorForce Public DB > $1B Net 3 Years
September 30, 2017
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MASTER PAGE NO. 139 of 227 Business Meeting Agenda - VI.A. INVESTMENT INFORMATION: NEPC INVESTMENT REPORTS & RECOMMENDATION TO APPROVE INVESTM...
Ventura County Employees’ Retirement Association Total Fund Risk/Return
September 30, 2017
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MASTER PAGE NO. 140 of 227 Business Meeting Agenda - VI.A. INVESTMENT INFORMATION: NEPC INVESTMENT REPORTS & RECOMMENDATION TO APPROVE INVESTM...
Ventura County Employees’ Retirement Association Total Fund Risk Statistics vs. Peer Universe
Total Fund vs. InvestorForce Public DB > $1B Net 5 Years
September 30, 2017
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MASTER PAGE NO. 141 of 227 Business Meeting Agenda - VI.A. INVESTMENT INFORMATION: NEPC INVESTMENT REPORTS & RECOMMENDATION TO APPROVE INVESTM...
Ventura County Employees’ Retirement Association Total Fund Risk Statistics vs. Peer Universe
Total Fund vs. InvestorForce Public DB > $1B Net 10 Years
September 30, 2017
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MASTER PAGE NO. 142 of 227 Business Meeting Agenda - VI.A. INVESTMENT INFORMATION: NEPC INVESTMENT REPORTS & RECOMMENDATION TO APPROVE INVESTM...
Ventura County Employees’ Retirement Association Rolling 5 Year Excess Returns- Net of Fees
September 30, 2017
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MASTER PAGE NO. 143 of 227 Business Meeting Agenda - VI.A. INVESTMENT INFORMATION: NEPC INVESTMENT REPORTS & RECOMMENDATION TO APPROVE INVESTM...
Ventura County Employees’ Retirement Association Total Fund Attribution Analysis
Attribution Summary 3 Months Ending September 30, 2017 Wtd. Wtd. Index Excess Selection Allocation Interaction Total Actual Return Return Effect Effect Effects Effects Return Total US Equity 4.6% 4.6% 0.0% 0.0% 0.0% 0.0% 0.0% Total Non-US Equity 6.3% 6.2% 0.1% 0.0% 0.0% 0.0% 0.0% Total Global Equity 5.3% 5.2% 0.1% 0.0% 0.0% 0.0% 0.0% Total Fixed Income 1.0% 0.8% 0.2% 0.0% 0.0% 0.0% 0.1% Total Real Estate 1.6% 1.6% -0.1% 0.0% 0.0% 0.0% 0.0% Total Liquid Alternatives 1.9% 1.5% 0.4% 0.0% 0.0% 0.0% 0.1% Overlay 1.5% 0.3% 1.2% 0.0% -0.1% 0.0% -0.1% Total Private Equity 5.0% 5.3% -0.4% 0.0% -0.1% 0.0% -0.1% Total 3.7% 3.7% 0.0% 0.1% -0.1% 0.0% 0.0%
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MASTER PAGE NO. 144 of 227 Business Meeting Agenda - VI.A. INVESTMENT INFORMATION: NEPC INVESTMENT REPORTS & RECOMMENDATION TO APPROVE INVESTM...
Ventura County Employees’ Retirement Association Total Fund Attribution Analysis
Attribution Summary 1 Year Ending September 30, 2017 Wtd. Wtd. Index Excess Selection Allocation Interaction Total Actual Return Return Effect Effect Effects Effects Return Total US Equity 18.8% 18.7% 0.1% 0.0% 0.2% 0.0% 0.2% Total Non-US Equity 19.4% 19.6% -0.2% 0.0% 0.1% 0.0% 0.0% Total Global Equity 19.2% 18.6% 0.6% 0.1% 0.0% 0.0% 0.1% Total Fixed Income 2.0% 0.1% 1.9% 0.4% 0.1% 0.0% 0.5% Total Real Estate 5.5% 6.7% -1.2% -0.1% -0.1% 0.0% -0.2% Total Liquid Alternatives 4.0% 6.1% -2.1% -0.2% 0.1% 0.0% -0.1% Overlay 4.0% 0.7% 3.3% 0.0% -0.2% 0.1% -0.2% Total Private Equity 17.2% 22.2% -5.0% -0.5% -0.5% 0.3% -0.7% Total 12.7% 13.1% -0.4% -0.3% -0.4% 0.3% -0.4%
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MASTER PAGE NO. 145 of 227 Business Meeting Agenda - VI.A. INVESTMENT INFORMATION: NEPC INVESTMENT REPORTS & RECOMMENDATION TO APPROVE INVESTM...
Ventura County Employees’ Retirement Association Total Fund Attribution Analysis
Attribution Summary 3 Years Ending September 30, 2017 Wtd. Wtd. Index Excess Selection Allocation Interaction Total Actual Return Return Effect Effect Effects Effects Return Total US Equity 10.8% 10.7% 0.1% 0.0% 0.1% 0.0% 0.1% Total Non-US Equity 5.7% 4.7% 1.0% 0.1% 0.0% 0.0% 0.1% Total Global Equity 6.9% 7.4% -0.5% -0.1% 0.0% 0.0% 0.0% Total Fixed Income 2.7% 2.3% 0.4% 0.1% 0.1% 0.0% 0.1% Total Real Estate 8.8% 9.8% -1.0% -0.1% 0.0% 0.0% -0.1% Total Liquid Alternatives -0.8% 5.2% -6.0% -0.6% 0.0% 0.0% -0.5% Overlay 1.6% 0.3% 1.2% 0.0% -0.3% 0.0% -0.2% Total Private Equity 12.4% 14.0% -1.6% -0.3% -0.3% 0.2% -0.4% Total 6.6% 7.5% -0.9% -0.8% -0.4% 0.2% -0.9%
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MASTER PAGE NO. 146 of 227 Business Meeting Agenda - VI.A. INVESTMENT INFORMATION: NEPC INVESTMENT REPORTS & RECOMMENDATION TO APPROVE INVESTM...
Ventura County Employees’ Retirement Association Total Fund Attribution Analysis
Attribution Summary 5 Years Ending September 30, 2017 Wtd. Wtd. Index Excess Selection Allocation Interaction Total Actual Return Return Effect Effect Effects Effects Return Total US Equity 14.4% 14.2% 0.2% 0.1% 0.0% 0.0% 0.1% Total Non-US Equity 7.6% 7.0% 0.6% 0.1% 0.0% 0.0% 0.1% Total Global Equity 9.5% 10.2% -0.7% -0.1% 0.0% 0.0% -0.1% Total Fixed Income 2.3% 1.7% 0.6% 0.1% 0.0% 0.0% 0.1% Total Real Estate 9.4% 10.6% -1.2% -0.1% 0.0% 0.0% -0.1% Total Liquid Alternatives -- 5.5% -- -0.1% 0.0% 0.0% -0.1% Overlay -- 0.2% -- 0.0% -0.2% 0.0% -0.2% Total Private Equity 15.1% 17.5% -2.5% -0.3% -0.4% 0.2% -0.4% Total 8.7% 9.3% -0.6% -0.3% -0.6% 0.2% -0.6%
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MASTER PAGE NO. 147 of 227 Business Meeting Agenda - VI.A. INVESTMENT INFORMATION: NEPC INVESTMENT REPORTS & RECOMMENDATION TO APPROVE INVESTM...
Ventura County Employees’ Retirement Association Total Fund Risk Statistics
1 Year Ending September 30, 2017 Anlzd Std Tracking % of Tot Anlzd Ret Rank Rank Anlzd AJ Rank Rank Info Ratio Rank Beta Dev Error _ Total Equity 58.3% 19.0% 34 4.7% 64 0.8% 35 1.5% 58 0.2 24 1.0 MSCI ACWI -- 18.6% 46 4.6% 36 0.0% 45 0.0% 1 -- -- 1.0 Total US Equity 31.4% 18.8% 36 6.0% 28 0.1% 16 0.5% 8 0.1 30 1.0 Russell 3000 -- 18.7% 36 6.0% 28 0.0% 17 0.0% 1 -- -- 1.0 Total Non-US Equity 16.1% 19.4% 53 6.7% 49 -0.3% 47 1.1% 12 -0.2 -- 1.0 MSCI ACWI ex USA -- 19.6% 49 6.6% 42 0.0% 36 0.0% 1 -- -- 1.0 Total Global Equity 10.8% 19.2% 35 4.5% 12 0.7% 30 0.1% 1 8.7 1 1.0 MSCI ACWI -- 18.6% 59 4.6% 12 0.0% 55 0.0% 1 -- -- 1.0 Total Fixed Income 18.2% 2.0% 53 2.4% 46 1.8% 46 0.8% 50 2.4 37 0.8 Total Fixed Income Policy Index -- 0.1% 83 3.2% 84 0.0% 74 0.0% 1 -- -- 1.0 Total US Fixed Income 18.2% 2.0% 33 2.4% 61 1.8% 31 0.8% 65 2.4 30 0.8 BBgBarc US Aggregate TR -- 0.1% 75 3.2% 93 0.0% 63 0.0% 1 -- -- 1.0 Total Liquid Alternatives 8.0% 4.0% -- 5.1% -- -9.5% -- 4.9% -- -0.4 -- 2.4 CPI + 4% (Unadjusted) -- 6.1% -- 0.7% -- 0.0% -- 0.0% ------1.0 XXXXX
% of Tot Anlzd Ret Rank Anlzd Std Dev Rank _ Total Real Estate 7.6% 5.5% 73 2.4% 56 NCREIF ODCE Net -- 6.7% 53 2.8% 68 Total Private Equity 4.2% 17.2% 8 6.1% 62 DJ U.S. Total Stock Market Index + 3% -- 22.2% 1 6.0% 60 XXXXX
Total U.S. Equity Benchmark: Russell 3000 Index. Prior to January 2016, the Benchmark is a dynamic hybrid using the respective managers' market value weights within the U.S. Equity component toward their benchmark. Prior to May 2013, the Dow Jones U.S. Total Stock Market Index. Prior to May 2007, the Russell 3000 Index.
Total Non-U.S. Equity Benchmark: MSCI ACWI ex US Free, prior to May 2002, the MSCI EAFE.
Composite rankings are used for Total Equity (InvestorForce Public DB Total Eq consists of 85 portfolios),Total Us Equity (InvestorForce Public DB US Eq consists of 165 portfolios), Total Non-US Equity (InvestorForce Public DB ex-US Eq consists of 115 portfolios),Total Global Equity (InvestorForce Public DB Glbl Eq consists of 39 portfolios),Total Fixed Income (InvestorForce Public DB Total Fix Inc consists of 81 portfolios),Total US Fixed Income (InvestorForce Public DB US Fix Inc consists of 110 portfolios),Total Real Estate (InvestorForce Public DB Real Estate Pub+Priv consists of 58 portfolios ) and Total Private Equity(InvestorForce Public DB Private Eq consists of 40 portfolios).
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MASTER PAGE NO. 148 of 227 Business Meeting Agenda - VI.A. INVESTMENT INFORMATION: NEPC INVESTMENT REPORTS & RECOMMENDATION TO APPROVE INVESTM...
Ventura County Employees’ Retirement Association Total Fund Risk Statistics
3 Years Ending September 30, 2017 Anlzd Std Tracking % of Tot Anlzd Ret Rank Rank Anlzd AJ Rank Rank Info Ratio Rank Beta Dev Error _ Total Equity 58.3% 8.8% 48 10.2% 68 1.7% 8 1.3% 33 1.1 2 1.0 MSCI ACWI -- 7.4% 89 10.6% 91 0.0% 72 0.0% 1 -- -- 1.0 Total US Equity 31.4% 10.8% 27 10.3% 55 0.1% 29 0.3% 1 0.5 7 1.0 Russell 3000 -- 10.7% 35 10.2% 53 0.0% 35 0.0% 1 -- -- 1.0 Total Non-US Equity 16.1% 5.7% 43 11.7% 48 1.2% 40 1.2% 7 0.9 18 0.9 MSCI ACWI ex USA -- 4.7% 77 12.3% 85 0.0% 77 0.0% 1 -- -- 1.0 Total Global Equity 10.8% 6.9% 81 10.7% 69 -0.6% 97 1.1% 4 -0.5 -- 1.0 MSCI ACWI -- 7.4% 75 10.6% 65 0.0% 88 0.0% 1 -- -- 1.0 Total Fixed Income 18.2% 2.7% 57 2.4% 34 1.1% 26 1.8% 65 0.2 41 0.7 Total Fixed Income Policy Index -- 2.3% 70 2.7% 49 0.0% 77 0.0% 1 -- -- 1.0 Total US Fixed Income 18.2% 3.0% 39 2.4% 50 1.3% 21 2.1% 86 0.2 54 0.6 BBgBarc US Aggregate TR -- 2.7% 52 2.9% 75 0.0% 73 0.0% 1 -- -- 1.0 Total Liquid Alternatives 8.0% -0.8% -- 9.3% -- -13.4% -- 9.1% -- -0.7 -- 2.5 CPI + 4% (Unadjusted) -- 5.2% -- 1.1% -- 0.0% -- 0.0% ------1.0 XXXXX
% of Tot Anlzd Ret Rank Anlzd Std Dev Rank _ Total Real Estate 7.6% 8.8% 86 3.9% 49 NCREIF ODCE Net -- 9.8% 63 4.2% 56 Total Private Equity 4.2% 12.4% 29 6.0% 63 DJ U.S. Total Stock Market Index + 3% -- 14.0% 10 10.2% 98 XXXXX
Total U.S. Equity Benchmark: Russell 3000 Index. Prior to January 2016, the Benchmark is a dynamic hybrid using the respective managers' market value weights within the U.S. Equity component toward their benchmark. Prior to May 2013, the Dow Jones U.S. Total Stock Market Index. Prior to May 2007, the Russell 3000 Index.
Total Non-U.S. Equity Benchmark: MSCI ACWI ex US Free, prior to May 2002, the MSCI EAFE.
Composite rankings are used for Total Equity (InvestorForce Public DB Total Eq consists of 74 portfolios),Total Us Equity (InvestorForce Public DB US Eq consists of 151 portfolios), Total Non-US Equity (InvestorForce Public DB ex-US Eq consists of 108 portfolios),Total Global Equity (InvestorForce Public DB Glbl Eq consists of 32 portfolios),Total Fixed Income (InvestorForce Public DB Total Fix Inc consists of 74 portfolios),Total US Fixed Income (InvestorForce Public DB US Fix Inc consists of 104 portfolios),Total Real Estate (InvestorForce Public DB Real Estate Pub+Priv consists of 55 portfolios) and Total Private Equity(InvestorForce Public DB Private Eq consists of 39 portfolios).
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MASTER PAGE NO. 149 of 227 Business Meeting Agenda - VI.A. INVESTMENT INFORMATION: NEPC INVESTMENT REPORTS & RECOMMENDATION TO APPROVE INVESTM...
Ventura County Employees’ Retirement Association Total Fund Risk Statistics
5 Years Ending September 30, 2017 Anlzd Std Tracking % of Tot Anlzd Ret Rank Rank Anlzd AJ Rank Rank Info Ratio Rank Beta Dev Error _ Total Equity 58.3% 11.6% 52 9.7% 52 1.8% 11 1.3% 39 1.1 3 1.0 MSCI ACWI -- 10.2% 90 9.9% 81 0.0% 76 0.0% 1 -- -- 1.0 Total US Equity 31.4% 14.4% 16 9.8% 39 0.2% 16 0.3% 1 0.6 2 1.0 Russell 3000 -- 14.2% 31 9.8% 36 0.0% 23 0.0% 1 -- -- 1.0 Total Non-US Equity 16.1% 7.6% 56 11.0% 24 1.0% 44 1.2% 7 0.5 28 0.9 MSCI ACWI ex USA -- 7.0% 76 11.5% 73 0.0% 74 0.0% 1 -- -- 1.0 Total Global Equity 10.8% 9.5% 72 10.0% 54 -0.7% 95 1.1% 5 -0.6 -- 1.0 MSCI ACWI -- 10.2% 69 9.9% 47 0.0% 86 0.0% 1 -- -- 1.0 Total Fixed Income 18.2% 2.3% 53 2.5% 25 1.0% 25 1.6% 60 0.4 34 0.7 Total Fixed Income Policy Index -- 1.7% 75 2.8% 42 0.0% 77 0.0% 1 -- -- 1.0 Total US Fixed Income 18.2% 2.6% 33 2.4% 44 1.2% 22 1.8% 84 0.3 48 0.7 BBgBarc US Aggregate TR -- 2.1% 52 2.8% 67 0.0% 72 0.0% 1 -- -- 1.0 Total Liquid Alternatives 8.0% ------CPI + 4% (Unadjusted) -- 8.8% -- 6.4% -- 0.0% -- 0.0% ------1.0 XXXXX
% of Tot Anlzd Ret Rank Anlzd Std Dev Rank _ Total Real Estate 7.6% 9.4% 89 4.0% 44 NCREIF ODCE Net -- 10.6% 65 4.4% 56 Total Private Equity 4.2% 15.1% 7 6.5% 66 DJ U.S. Total Stock Market Index + 3% -- 17.5% 1 9.8% 92 XXXXX
Total U.S. Equity Benchmark: Russell 3000 Index. Prior to January 2016, the Benchmark is a dynamic hybrid using the respective managers' market value weights within the U.S. Equity component toward their benchmark. Prior to May 2013, the Dow Jones U.S. Total Stock Market Index. Prior to May 2007, the Russell 3000 Index.
Total Non-U.S. Equity Benchmark: MSCI ACWI ex US Free, prior to May 2002, the MSCI EAFE.
Composite rankings are used for Total Equity (InvestorForce Public DB Total Eq consists of 59 portfolios),Total Us Equity (InvestorForce Public DB US Eq consists of 125 portfolios), Total Non-US Equity (InvestorForce Public DB ex-US Eq consists of 94 portfolios),Total Global Equity (InvestorForce Public DB Glbl Eq consists of 22 portfolios),Total Fixed Income (InvestorForce Public DB Total Fix Inc consists of 64 portfolios),Total US Fixed Income (InvestorForce Public DB US Fix Inc consists of 92 portfolios),Total Real Estate (InvestorForce Public DB Real Estate Pub+Priv consists of 50 portfolios) and Total Private Equity(InvestorForce Public DB Private Eq consists of 34 portfolios).
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MASTER PAGE NO. 150 of 227 Business Meeting Agenda - VI.A. INVESTMENT INFORMATION: NEPC INVESTMENT REPORTS & RECOMMENDATION TO APPROVE INVESTM...
Ventura County Employees’ Retirement Association Total Fund Performance Detail (Net)
Market Value % of 3 Mo YTD 1 Yr 3 Yrs 5 Yrs 10 Yrs Return Policy % Rank Rank Rank Rank Rank Rank Since ($) Portfolio (%) (%) (%) (%) (%) (%) (%) _ Total Fund 5,257,900,164 100.0 100.0 3.7 33 11.4 46 12.8 34 6.6 49 8.9 27 5.3 37 8.1 Apr-94 Policy Index 3.7 36 11.8 39 13.1 27 7.5 15 9.2 19 5.6 22 8.2 Apr-94 Over/Under 0.0 -0.4 -0.3 -0.9 -0.3 -0.3 -0.1 60% MSCI ACWI (Net) / 40% CITI WGBI 3.8 20 12.8 14 9.7 95 4.9 94 6.0 97 3.9 94 -- Apr-94 InvestorForce Public DB > $1B Net Median 3.5 11.3 12.5 6.6 8.3 5.0 7.7 Apr-94 Total Fund ex Parametric* 5,056,575,421 96.2 -- 3.5 -- 11.2 -- 12.5 -- 6.5 -- 8.8 -- 5.2 -- 8.1 Apr-94 Total Fund ex Private Equity 5,037,261,053 95.8 -- 3.7 36 11.3 51 12.6 46 6.4 60 8.4 50 -- -- 9.3 Jan-12 Policy Index 3.7 36 11.8 39 13.1 27 7.5 15 9.2 19 5.6 22 10.0 Jan-12 Over/Under 0.0 -0.5 -0.5 -1.1 -0.8 -0.7 InvestorForce Public DB > $1B Net Median 3.5 11.3 12.5 6.6 8.3 5.0 9.1 Jan-12 Total US Equity 1,651,964,078 31.4 28.0 4.6 35 13.9 29 18.8 36 10.8 27 14.4 16 7.4 50 9.2 Dec-93 Russell 3000 4.6 37 13.9 29 18.7 36 10.7 35 14.2 31 7.6 30 9.5 Dec-93 Over/Under 0.0 0.0 0.1 0.1 0.2 -0.2 -0.3 InvestorForce Public DB US Eq Net Median 4.4 13.1 18.3 10.5 13.9 7.4 9.2 Dec-93 Western U.S. Index Plus 184,899,033 3.5 5.5 30 14.8 34 19.6 41 11.4 29 14.9 23 5.8 88 5.4 May-07 S&P 500 4.5 50 14.2 37 18.6 49 10.8 37 14.2 38 7.4 55 7.2 May-07 Over/Under 1.0 0.6 1.0 0.6 0.7 -1.6 -1.8 eA All US Equity Net Median 4.5 12.4 18.5 9.9 13.6 7.6 7.2 May-07 Blackrock Russell 1000 Index 1,408,814,660 26.8 4.5 49 ------6.6 -17 May Russell 1000 4.5 49 14.2 45 18.5 47 10.6 28 14.3 31 7.5 43 6.5 May-17 Over/Under 0.0 eA US Large Cap Equity Net Median 4.5 13.6 18.2 9.4 13.4 7.3 6.6 -17 May Blackrock Russell 2500 Index 58,250,385 1.1 4.8 35 ------6.2 -17 May Russell 2500 4.7 35 11.0 51 17.8 52 10.6 37 13.9 38 8.2 48 6.2 May-17 Over/Under 0.1 eA US Small-Mid Cap Equity Net Median 4.1 11.0 18.0 9.8 13.3 8.0 5.7 May-17
Color Coding: PERFORMANCE: Green-Over performance, Red-Under performance / Color Coding: RANKS: 1 - 25 Green - Positive Result, 26 - 50 Yellow, 50 - 75 Orange, 76 - 100 Red - Negative Result. Policy Index: Currently, 28% Russell 3000 Index, 20% Barclays Aggregate, 15% MSCI ACWI ex U.S., 10% MSCI ACWI, 10% DJ U.S. Total Stock Market Index + 3%, 10% CPI+4% Index, and 7% NCREIF ODCE Real Estate Index. Total U.S. Equity Benchmark: Russell 3000 Index. Prior to January 2016, the Benchmark is a dynamic hybrid using the respective managers' market value weights within the U.S. Equity component toward their benchmark. Prior to May 2013, the Dow Jones U.S. Total Stock Market Index. Prior to May 2007, the Russell 3000 Index.
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MASTER PAGE NO. 151 of 227 Business Meeting Agenda - VI.A. INVESTMENT INFORMATION: NEPC INVESTMENT REPORTS & RECOMMENDATION TO APPROVE INVESTM...
Ventura County Employees’ Retirement Association Total Fund Performance Detail (Net)
Market Value % of 3 Mo YTD 1 Yr 3 Yrs 5 Yrs 10 Yrs Return Policy % Rank Rank Rank Rank Rank Rank Since ($) Portfolio (%) (%) (%) (%) (%) (%) (%) _ Total Non-US Equity 849,111,435 16.1 15.0 6.3 50 20.5 83 19.4 53 5.7 43 7.6 56 1.9 43 6.7 Mar-94 MSCI ACWI ex USA 6.2 57 21.1 77 19.6 49 4.7 77 7.0 76 1.3 69 5.4 Mar-94 Over/Under 0.1 -0.6 -0.2 1.0 0.6 0.6 1.3 MSCI EAFE 5.4 82 20.0 87 19.1 58 5.0 69 8.4 34 1.3 66 5.0 Mar-94 MSCI ACWI ex USA Local Currency 4.4 96 13.5 99 19.1 59 7.7 4 10.9 2 2.9 20 -- Mar-94 MSCI EAFE Local Currency 3.4 99 11.2 99 19.0 59 7.9 4 12.3 1 2.6 24 5.0 Mar-94 InvestorForce Public DB ex-US Eq Net Median 6.3 22.5 19.5 5.6 7.6 1.8 5.9 Mar-94 BlackRock ACWI ex-U.S. Index 415,817,178 7.9 6.3 49 21.7 64 19.8 54 5.4 71 7.5 76 1.8 67 2.9 Mar-07 MSCI ACWI ex USA 6.2 51 21.1 69 19.6 56 4.7 77 7.0 84 1.3 84 2.4 Mar-07 Over/Under 0.1 0.6 0.2 0.7 0.5 0.5 0.5 MSCI ACWI ex USA Local Currency 4.4 90 13.5 99 19.1 57 7.7 37 10.9 16 2.9 48 3.4 Mar-07 eA ACWI ex-US All Cap Equity Net Median 6.2 24.0 20.4 6.7 9.2 2.7 3.9 Mar-07 Sprucegrove 223,345,597 4.2 8.4 19 20.5 74 23.6 28 6.0 63 8.0 71 2.8 48 7.9 Mar-02 MSCI ACWI ex USA 6.2 51 21.1 69 19.6 56 4.7 77 7.0 84 1.3 84 6.9 Mar-02 Over/Under 2.2 -0.6 4.0 1.3 1.0 1.5 1.0 MSCI EAFE 5.4 73 20.0 80 19.1 57 5.0 73 8.4 67 1.3 83 6.3 Mar-02 MSCI ACWI ex USA Local Currency 4.4 90 13.5 99 19.1 57 7.7 37 10.9 16 2.9 48 5.5 Mar-02 MSCI EAFE Local Currency 3.4 96 11.2 99 19.0 57 7.9 36 12.3 10 2.6 52 4.7 Mar-02 eA ACWI ex-US All Cap Equity Net Median 6.2 24.0 20.4 6.7 9.2 2.7 7.5 Mar-02 Hexavest 91,911,216 1.7 3.1 93 14.6 94 13.7 86 4.0 87 6.6 94 -- -- 4.9 Dec-10 MSCI EAFE 5.4 53 20.0 61 19.1 42 5.0 72 8.4 66 1.3 74 5.6 Dec-10 Over/Under -2.3 -5.4 -5.4 -1.0 -1.8 -0.7 MSCI EAFE Local Currency 3.4 86 11.2 99 19.0 42 7.9 29 12.3 6 2.6 40 8.3 Dec-10 eA EAFE All Cap Equity Net Median 5.6 20.5 17.8 6.4 9.2 2.0 6.6 Dec-10 Walter Scott 118,037,444 2.2 4.8 85 20.7 72 14.9 86 7.4 46 7.4 78 -- -- 6.1 Dec-10 MSCI ACWI ex USA 6.2 51 21.1 69 19.6 56 4.7 77 7.0 84 1.3 84 4.4 Dec-10 Over/Under -1.4 -0.4 -4.7 2.7 0.4 1.7 MSCI ACWI ex USA Local Currency 4.4 90 13.5 99 19.1 57 7.7 37 10.9 16 2.9 48 7.3 Dec-10 MSCI EAFE 5.4 73 20.0 80 19.1 57 5.0 73 8.4 67 1.3 83 5.6 Dec-10 eA ACWI ex-US All Cap Equity Net Median 6.2 24.0 20.4 6.7 9.2 2.7 6.6 Dec-10
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Ventura County Employees’ Retirement Association Total Fund Performance Detail (Net)
Market Value % of 3 Mo YTD 1 Yr 3 Yrs 5 Yrs 10 Yrs Return Policy % Rank Rank Rank Rank Rank Rank Since ($) Portfolio (%) (%) (%) (%) (%) (%) (%) _ Total Global Equity 566,363,191 10.8 10.0 5.3 27 17.6 76 19.2 35 6.9 81 9.5 72 3.2 34 6.1 May-05 MSCI ACWI 5.2 31 17.3 86 18.6 59 7.4 75 10.2 69 3.9 26 6.9 May-05 Over/Under 0.1 0.3 0.6 -0.5 -0.7 -0.7 -0.8 InvestorForce Public DB Glbl Eq Net Median 4.5 19.2 18.8 8.8 11.7 1.8 6.4 May-05 BlackRock MSCI ACWI Equity Index 566,363,191 10.8 5.3 46 17.6 45 19.2 40 7.9 48 10.6 51 -- -- 11.4 Aug-12 MSCI ACWI 5.2 48 17.3 49 18.6 45 7.4 56 10.2 58 3.9 63 11.0 Aug-12 Over/Under 0.1 0.3 0.6 0.5 0.4 0.4 eA All Global Equity Net Median 5.0 17.1 17.9 7.8 10.7 4.4 11.4 Aug-12
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Ventura County Employees’ Retirement Association Total Fund Performance Detail (Net)
Market Value % of 3 Mo YTD 1 Yr 3 Yrs 5 Yrs 10 Yrs Return Policy % Rank Rank Rank Rank Rank Rank Since ($) Portfolio (%) (%) (%) (%) (%) (%) (%) _ Total Private Equity 220,639,111 4.2 10.0 5.0 21 13.4 21 17.2 8 12.4 29 15.1 7 -- -- 14.4 Jan-12 DJ U.S. Total Stock Market Index + 3% 5.3 11 16.5 2 22.2 1 14.0 10 17.5 1 -- -- 18.6 Jan-12 Over/Under -0.3 -3.1 -5.0 -1.6 -2.4 -4.2 InvestorForce Public DB Private Eq Net Median 2.7 10.4 14.0 9.7 12.7 7.9 12.0 Jan-12 Adams Street Global Fund Series 125,759,609 2.4 3.0 -- 8.5 -- 12.0 -- 9.6 -- 12.8 ------12.5 Jan-12 DJ U.S. Total Stock Market Index + 3% 5.3 -- 16.5 -- 22.2 -- 14.0 -- 17.5 ------18.6 Jan-12 Over/Under -2.3 -8.0 -10.2 -4.4 -4.7 -6.1 Harbourvest 63,935,727 1.2 8.8 -- 22.1 -- 25.9 -- 18.6 ------20.3 Aug-13 DJ U.S. Total Stock Market Index + 3% 5.3 -- 16.5 -- 22.2 -- 14.0 -- 17.5 ------15.4 Aug-13 Over/Under 3.5 5.6 3.7 4.6 4.9 Pantheon Global Secondary Funds 28,730,707 0.5 6.3 -- 21.0 -- 27.9 -- 13.2 -- 15.8 ------12.9 Jan-12 DJ U.S. Total Stock Market Index + 3% 5.3 -- 16.5 -- 22.2 -- 14.0 -- 17.5 ------18.6 Jan-12 Over/Under 1.0 4.5 5.7 -0.8 -1.7 -5.7 Drive Capital Fund 2,213,068 0.0 -4.4 -- -31.7 -- -51.7 ------48.9 Sep-16 DJ U.S. Total Stock Market Index + 3% 5.3 -- 16.5 -- 22.2 -- 14.0 -- 17.5 ------20.8 Sep-16 Over/Under -9.7 -48.2 -73.9 -69.7 XXXXX *One or more accounts have been excluded from the composite for the purposes of performance calculations and market value.
Private equity performance shown above is calculated using a time-weighted return methodology. Market values shown are cash-adjusted based on the current period’s cash flows.
Adams Street Global Fund Series includes Adams Street 2010 U.S. Fund, 2010 Non-U.S. Developed Markets Fund, 2010 Non-U.S. Emerging Markets Fund, 2010 Direct Fund, 2013, and 2016 Global Fund.
Pantheon Global Secondary Funds includes Pantheon Global Secondary Fund IV and Global Secondary Fund V.
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Ventura County Employees’ Retirement Association Private Equity Limited Partnership Performance
Since Inception
DistributionsTotal Value to Initial Capital Outstanding Call Add'l Distributions to Paid In Paid In Fund Name Vintage YearInvestmentCommitment Called toCommitment Valuation Total Value Net Benefit IRR 2 1 1 Ratio Fees to Date Multiple Multiple Date Date (DPI) (TVPI)
Adams Street 2010 U.S. Fund 2010 5/21/2010 $42,500,000 $36,188,750 $6,311,250 85%3.2% $15,213 0.52x $18,681,786 1.48x $35,061,255 $53,743,041 $17,539,078 1 Adams Street 2010 Non-U.S. Dev. Mkts Fund 2010 5/21/2010 $25,500,000 $21,254,249 $4,245,7516 $6,875,648 83% $1,589 9.7% $10,529,344 0.5x $17,602,142 1.32x $28,131,48 Adams Street 2010 Non-U.S. Emg Mkts Fund 2010 1/3/2011 $8,500,000 $6,868,000 $1,632,000 81%9.5% $0 0.17x $1,193,443 1.37x $8,218,962 $9,412,405 $2,544,405 Adams Street 2010 Direct Fund 2010 5/21/2010 $8,500,000 $7,975,550 $524,450 94% $6,6979x $7,196,986 1.59x $5,503,181 $12,700,167 $4,739,126 12.0% 0. Total Adams Street 2010 2010 5/21/2010 $85,000,000 $72,286,549 $12,713,451 85%8% $23,499 0.52x $37,601,559 1.44x $66,385,540 $103,987,099 $31,698,257 11.
Adams Street 2013 Global Fund 2013 6/27/2013 $75,000,000 $49,950,000 $25,050,000 67%6.9% $10,728 0.09x $4,679,630 1.15x $52,830,780 $57,510,410 $7,549,682 Adams Street 2016 Global Fund 2016 12/22/2016 $60,000,000 $5,850,000 $54,150,000 10% $0 $0 $6,543,301 $6,543,301 $693,301 38.9% 0x 1.12x Drive Capital Fund II 2016 9/1/2016 $15,000,000 $2,580,044 $12,423,166 17% $3,210 $0 $2,213,067 $2,213,067 ($366,977) -31.8% 0x 0.86x GTCR Fund XII 2017 9/29/2017 $30,000,000 -- $30,000,000 0% ------HarbourVest - Dover Street VIII 2013 5/30/2013 $67,500,000 $58,472,454 $9,112,500 87%716 21.8% $84,954 $40,364,723 0.69x $43,914,100 1.44x $84,278,823 $23,018, HarbourVest - Dover Street IX 2016 12/16/2016 $60,000,000 $9,600,000 $50,400,000 16% $00.15x $1,441,532 1.31x $11,133,228 $12,574,760 $2,974,760 97.9% HarbourVest - PRTNS CO INVEST IV L.P. 2017 6/2/2017 $30,000,000 $8,250,000 $21,750,000 28% $0 $0x $9,210,740 $9,210,740 $960,740 34.0% 0x 1.12 Pantheon Global Secondary Fund IV 2010 8/20/2010 $15,000,000 $9,960,000 $5,040,000 66%0% $0 1.07x $10,650,001 1.52x $4,501,466 $15,151,467 $5,191,467 14. Pantheon Global Secondary Fund V 2015 2/26/2015 $50,000,000 $21,091,509 $28,908,49150,244 42% ($162,514) 23.7% $3,562,603 0.17x $24,216,636 1.33x $27,779,239 $6,8
Total VCERA Private Equity Program -- 5/21/2010 $487,500,000 $238,040,556 $249,547,608$78,570,190 49% -$40,123 14.0% $98,300,048 0.42x $220,948,858 1.34x $319,248,906
1. Includes recycled/recallable distributions received to date. 2. Add'l Fees represents notional interest paid/(received). 2. Add'l Fees for Pantheon Global Secondary Fund V includes notional interest paid/(received)o VCERA. and management fee rebates paid t Note: Private equity performance data is reported net of fees. Performance shown is based on 6/30/2017 NAVs cash-adjusted for cash flows through 09/30/2017.
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MASTER PAGE NO. 155 of 227 Business Meeting Agenda - VI.A. INVESTMENT INFORMATION: NEPC INVESTMENT REPORTS & RECOMMENDATION TO APPROVE INVESTM...
Ventura County Employees’ Retirement Association Total Fund Performance Detail (Net)
Market Value % of 3 Mo YTD 1 Yr 3 Yrs 5 Yrs 10 Yrs Return Policy % Rank Rank Rank Rank Rank Rank Since ($) Portfolio (%) (%) (%) (%) (%) (%) (%) _ Total US Fixed Income 955,638,625 18.2 20.0 1.0 35 3.9 34 2.0 33 3.0 39 2.6 33 5.6 16 6.0 Feb-94 BBgBarc US Aggregate TR 0.8 47 3.1 48 0.1 75 2.7 52 2.1 52 4.3 51 5.4 Feb-94 Over/Under 0.2 0.8 1.9 0.3 0.5 1.3 0.6 InvestorForce Public DB US Fix Inc Net Median 0.8 3.0 0.3 2.8 2.2 4.3 6.0 Feb-94 BlackRock U.S. Debt Fund 222,223,498 4.2 0.9 52 3.2 54 0.1 85 2.8 53 2.1 57 4.4 51 5.3 Nov-95 BBgBarc US Aggregate TR 0.8 55 3.1 56 0.1 87 2.7 54 2.1 59 4.3 54 5.2 Nov-95 Over/Under 0.1 0.1 0.0 0.1 0.0 0.1 0.1 eA All US Fixed Inc Net Median 0.9 3.4 1.1 2.9 2.5 4.4 5.1 Nov-95 Western 296,137,168 5.6 1.2 33 5.2 29 2.0 36 3.9 31 3.4 36 5.5 29 6.2 Dec-96 BBgBarc US Aggregate TR 0.8 55 3.1 56 0.1 87 2.7 54 2.1 59 4.3 54 5.2 Dec-96 Over/Under 0.4 2.1 1.9 1.2 1.3 1.2 1.0 eA All US Fixed Inc Net Median 0.9 3.4 1.1 2.9 2.5 4.4 5.2 Dec-96 Reams 309,031,319 5.9 0.6 69 2.5 67 2.2 34 2.2 66 1.7 68 5.6 28 5.5 Sep-01 Reams Custom Index 0.3 91 0.9 94 1.2 49 0.7 96 0.4 96 3.4 72 4.0 Sep-01 Over/Under 0.3 1.6 1.0 1.5 1.3 2.2 1.5 BBgBarc US Aggregate TR 0.8 55 3.1 56 0.1 87 2.7 54 2.1 59 4.3 54 4.5 Sep-01 3-Month LIBOR + 3% 1.1 39 3.2 55 4.2 22 3.7 34 3.5 35 3.9 63 4.8 Sep-01 eA All US Fixed Inc Net Median 0.9 3.4 1.1 2.9 2.5 4.4 4.5 Sep-01 Loomis Strategic Alpha 45,754,600 0.9 1.5 22 2.7 63 4.4 20 2.5 59 ------2.7 Jul-13 BBgBarc US Aggregate TR 0.8 55 3.1 56 0.1 87 2.7 54 2.1 59 4.3 54 3.0 Jul-13 Over/Under 0.7 -0.4 4.3 -0.2 -0.3 3-Month LIBOR + 3% 1.1 39 3.2 55 4.2 22 3.7 34 3.5 35 3.9 63 3.6 Jul-13 eA All US Fixed Inc Net Median 0.9 3.4 1.1 2.9 2.5 4.4 3.2 Jul-13 Loomis Sayles Multi Strategy 82,492,040 1.6 2.0 9 7.6 11 5.4 16 4.4 26 5.0 17 6.7 15 6.7 Jul-05 Loomis Custom Index 1.2 35 4.1 39 2.6 30 3.5 37 3.3 38 5.3 32 5.2 Jul-05 Over/Under 0.8 3.5 2.8 0.9 1.7 1.4 1.5 BBgBarc US Govt/Credit TR 0.8 59 3.5 48 0.0 88 2.8 51 2.1 58 4.3 51 4.3 Jul-05 eA All US Fixed Inc Net Median 0.9 3.4 1.1 2.9 2.5 4.4 4.3 Jul-05
Reams Custom Index: Merrill Lynch 3 Month Libor Constant Maturity Index, prior to February 2013 the Barclays Aggregate Loomis Custom Index: 65% Barclays Aggregate, 30% Citigroup High Yield Market Index and 5% JPM Non-US Hedged Bond Index As of January 2016, Loomis Strategic Alpha was moved from the Total Global Fixed Income composite to the Total US Fixed Income composite.
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MASTER PAGE NO. 156 of 227 Business Meeting Agenda - VI.A. INVESTMENT INFORMATION: NEPC INVESTMENT REPORTS & RECOMMENDATION TO APPROVE INVESTM...
Ventura County Employees’ Retirement Association Total Fund Performance Detail (Net)
Market Value % of 3 Mo YTD 1 Yr 3 Yrs 5 Yrs 10 Yrs Return Policy % Rank Rank Rank Rank Rank Rank Since ($) Portfolio (%) (%) (%) (%) (%) (%) (%) _ Total Real Estate 397,266,572 7.6 7.0 1.6 51 3.8 85 5.5 73 8.8 86 9.4 89 2.6 96 7.8 Mar-94 NCREIF ODCE Net 1.6 48 4.7 67 6.7 53 9.8 63 10.6 65 4.1 70 8.1 Mar-94 Over/Under 0.0 -0.9 -1.2 -1.0 -1.2 -1.5 -0.3 InvestorForce Public DB Real Estate Pub+Priv Net Median 1.6 5.4 6.9 10.2 10.8 4.8 7.2 Mar-94 Prudential Real Estate 141,977,647 2.7 2.1 -- 5.1 -- 7.5 -- 10.5 -- 11.1 -- 3.7 -- 6.2 Jun-04 NCREIF ODCE Net 1.6 -- 4.7 -- 6.7 -- 9.8 -- 10.6 -- 4.1 -- 7.1 Jun-04 Over/Under 0.5 0.4 0.8 0.7 0.5 -0.4 -0.9 NCREIF ODCE 1.9 -- 5.4 -- 7.7 -- 10.8 -- 11.6 -- 5.0 -- 8.1 Jun-04 UBS Real Estate 255,116,077 4.9 1.3 -- 3.2 -- 4.4 -- 8.0 -- 8.5 -- 4.2 -- 7.4 Mar-03 NCREIF ODCE Net 1.6 -- 4.7 -- 6.7 -- 9.8 -- 10.6 -- 4.1 -- 7.3 Mar-03 Over/Under -0.3 -1.5 -2.3 -1.8 -2.1 0.1 0.1 NCREIF ODCE 1.9 -- 5.4 -- 7.7 -- 10.8 -- 11.6 -- 5.0 -- 8.3 Mar-03 RREEF 172,848 0.0 -0.8 -- -4.8 -- -5.1 -- -4.5 -- 4.8 -- -6.3 -- -6.3 Sep-07 NCREIF ODCE Net 1.6 -- 4.7 -- 6.7 -- 9.8 -- 10.6 -- 4.1 -- 4.1 Sep-07 Over/Under -2.4 -9.5 -11.8 -14.3 -5.8 -10.4 -10.4 NCREIF ODCE 1.9 -- 5.4 -- 7.7 -- 10.8 -- 11.6 -- 5.0 -- 5.0 Sep-07
Total Real Estate Benchmark: NCREIF ODCE; prior to January 2006, the NCREIF Property Index
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MASTER PAGE NO. 157 of 227 Business Meeting Agenda - VI.A. INVESTMENT INFORMATION: NEPC INVESTMENT REPORTS & RECOMMENDATION TO APPROVE INVESTM...
Ventura County Employees’ Retirement Association Total Fund Performance Detail (Net)
Market Value % of 3 Mo YTD 1 Yr 3 Yrs 5 Yrs 10 Yrs Return Policy % Rank Rank Rank Rank Rank Rank Since ($) Portfolio (%) (%) (%) (%) (%) (%) (%) _ Total Liquid Alternatives 421,736,628 8.0 10.0 1.9 -- 4.3 -- 4.0 -- -0.8 ------4.8 Apr-13 CPI + 4% (Unadjusted) 1.5 -- 5.0 -- 6.1 -- 5.2 -- 8.8 ------6.3 Apr-13 Over/Under 0.4 -0.7 -2.1 -6.0 -1.5 Bridgewater All Weather Fund 302,088,378 5.7 3.5 -- 7.5 -- 5.6 -- 3.3 ------5.1 Aug-13 CPI + 5% (Unadjusted) 1.8 -- 5.8 -- 7.1 -- 6.2 ------6.3 Aug-13 Over/Under 1.7 1.7 -1.5 -2.9 -1.2 Tortoise Energy Infrastructure 119,648,250 2.3 -2.0 -- -2.8 -- 0.0 -- -9.0 ------1.5 Apr-13 Wells Fargo MLP Index -2.0 -- -5.1 -- -1.7 -- -12.4 -- 0.4 ------3.0 Apr-13 Over/Under 0.0 2.3 1.7 3.4 4.5 Overlay 195,180,524 3.7 0.0 Parametric 195,180,524 3.7
Overlay performance is not applicable on an individual account level.
Color Coding: PERFORMANCE: Green-Over performance, Red-Under performance Color Coding: RANKS: 1 - 25 Green - Positive Result, 26 - 50 Yellow, 50 - 75 Orange, 76 - 100 Red - Negative Result
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MASTER PAGE NO. 158 of 227 Business Meeting Agenda - VI.A. INVESTMENT INFORMATION: NEPC INVESTMENT REPORTS & RECOMMENDATION TO APPROVE INVESTM...
Manager Due Diligence
MASTER PAGE NO. 159 of 227 Business Meeting Agenda - VI.A. INVESTMENT INFORMATION: NEPC INVESTMENT REPORTS & RECOMMENDATION TO APPROVE INVESTM...
Ventura County Employees’ Retirement Association Due Diligence Monitor
The items below summarize the recent quarter’s performance and any changes or announcements from the Plan’s managers/products. A “-” indicates there were no material announcements. A “Yes” indicates there was an announcement and a brief summary is provided on the following pages. NEPC’s Due Diligence Committee meets every two weeks to review events as they relate to investment managers and determine if any action should be taken (by NEPC and/or by our clients). Events are rated: No Action, Watch, Hold, Client Review or Terminate. NEPC’s recommendation in view of the recent quarter’s developments (performance, manager events, and any of the longer-term trending data) is refreshed quarterly.
Changes/ Performance NEPC DD Last Onsite Investment Options Announcements Plan Rec. Comments (Recent Quarter) Committee Rec. Conducted (Recent Quarter)
BlackRock Russell 1000 Index - - - - 10/2013
Western U.S. Index Plus - - - - 6/2014
BlackRock Russell 2500 Index - - - - 10/2013
BlackRock MSCI ACWI ex-U.S. Index - - - - 10/2013
Watch (Board 3Q 2014 Departure & Sprucegrove Top Quartile - Hold N/A Driven) Performance
Hexavest Bottom Quartile Yes No Action - New Hires 1/2013
Walter Scott Bottom Quartile - - - 10/2012
BlackRock MSCI ACWI Index - - - - 10/2013
Adams Street N/A - - - 11/2013
HarbourVest N/A - - - 3/2014
Pantheon N/A - - - 1/2015
Drive N/A - - -
BlackRock U.S. Debt Fund - - - - 10/2013
Western - - - - 6/2014
Reams - - - - 11/2013
Loomis Sayles Multi-Sector Full Discretion Top Quartile - - - 11/2013
Loomis Sayles Strategic Alpha Top Quartile - - - 11/2013
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MASTER PAGE NO. 160 of 227 Business Meeting Agenda - VI.A. INVESTMENT INFORMATION: NEPC INVESTMENT REPORTS & RECOMMENDATION TO APPROVE INVESTM...
Ventura County Employees’ Retirement Association Due Diligence Monitor Continued
Changes/ Performance NEPC DD Announcements Last Onsite Investment Options (Recent Committee Plan Rec. Comments (Recent Conducted Quarter) Rec. Quarter)
Prudential N/A - - - 7/2014
RREEF N/A - - - 7/2013
UBS N/A - - - 8/2011
Bridgewater N/A - - - 9/2012
Change of Firm Tortoise N/A Yes Watch - 8/2013 Ownership
Parametric/Clifton N/A - - - 7/2013
NEPC Due Diligence Committee Recommendation Key
No Action Informational items have surfaced; no action is recommended. Issues have surfaced to be concerned over; manager can participate in future searches, but current Watch and prospective clients must be made aware of the issues. Serious issues have surfaced to be concerned over; manager cannot participate in future searches Hold unless a client specifically requests, but current and prospective clients mustbemadeawareofthe issues. Very serious issues have surfaced with an Investment Manager; manager cannot participate in Client Review future searches unless a client specifically requests. Current clients must be advised to review the manager. We have lost all confidence in the product; manager would not be recommended for searches and Terminate clients would be discouraged from using. The manager cannot participate in future searches unless a client specifically requests. Current clients must be advised to replace the manager.
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MASTER PAGE NO. 161 of 227 Business Meeting Agenda - VI.A. INVESTMENT INFORMATION: NEPC INVESTMENT REPORTS & RECOMMENDATION TO APPROVE INVESTM...
Ventura County Employees’ Retirement Association Due Diligence Commentary Below is a summary of manager changes, announcements and due diligence events since the issuance of our last quarterly report.
Manager Changes/Announcements
Hexavest
Hexavest Inc. has added three new investment professionals to the team: Jean-Christophe Lermusiaux, Matheiu Roy, and Emmanuel Matte. All of these positions were added based on growth to help enhance the team. Mr. Matte was hired as a Managing Director in Client Services and Business Development. Mr. Lermusiaux will work in collaboration with Jean-Pierre Couture and Jean-Benoit Leblanc in the portfolio management of the firm’s emerging markets equity mandates. Before joining Hexavest, he worked as a senior portfolio manager at PSP Investments, where he covered global emerging market equities. Mr. Roy will work in collaboration with Jean-René Adam and Kevin LeBlanc in the portfolio management of Canadian equity mandates. Before joining Hexavest, he was a Portfolio Manager at Canadian National Railway. With these additions, the portfolios are now managed by a team of 12 individuals. We are comfortable with these decisions as the team utilizes proprietary multi-factor models and a Barra optimizer alongside their fundamental analysis. Regions are being co-covered, with Vital Proulx continuing to make the final decisions. We do not recommend any action as a result of this announcement.
NEPC recommends No Action at this time. We will continue to monitor the situation and provide updates as necessary.
Tortoise
NEPC was notified by Tortoise Capital Advisors (“Tortoise” or the “Firm”) of a definitive agreement of a buyout from Mariner Holdings. (“Mariner”). Tortoises’ management team has partnered with Lovell Minnick, a private equity firm specializing in financial and related business services companies, to acquire the Firm. HarbourVest Partners, AlpInvest Partners and other limited partners are co-investing in the transaction. Lovell Minnick will be the only new governance partner in the deal. The transaction is expected to close in the first quarter of 2018. Terms of the transaction have not been publically disclosed. Three active Tortoise co-founders, Zachary Hamel, Kenneth Malvey and Terry Matlack, and Co-founder David Schulte, who left Tortoise in 2015, will sell their remaining interest in Tortoise which amount to 11%. Tortoise’s ongoing management and employees will maintain their 23% equity interest and will apply leverage to the deal bringing their ownership stake to approximately 35%.
NEPC recommends maintaining Watch status at this time. We will continue to monitor the situation and provide updates as necessary.
Below is a summary of managers that remain on Hold:
Sprucegrove Sprucegrove announced that they will open all products at the firm for new investment. They had been closed for a number of years, but following a period of poor performance and asset outflows they now have capacity. While this is a positive event, it triggers an opportunity to reconsider any allocation to the products. Assets have been declining. The most recent 1 year performance has rebounded, but longer term numbers remain challenged.
NEPC recommends maintaining a Hold rating at this time. We will continue to monitor the situation and provide updates as necessary.
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Ventura County Employees’ Retirement Association Total Fund Return Summary vs. Peer Universe
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Ventura County Employees’ Retirement Association Total Fund Return Summary vs. Peer Universe
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Ventura County Employees’ Retirement Association Total Fund Return Summary vs. Peer Universe
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Ventura County Employees’ Retirement Association Total Fund Allocations vs. Peer Universe
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Appendix: Market Environment
MASTER PAGE NO. 167 of 227 Business Meeting Agenda - VI.A. INVESTMENT INFORMATION: NEPC INVESTMENT REPORTS & RECOMMENDATION TO APPROVE INVESTM...
Long Term Broad Market Performance Summary as of 09/30/2017
Source: Bloomberg, Standard and Poors, Russell, MSCI, Barclays, JP Morgan
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MASTER PAGE NO. 168 of 227 Business Meeting Agenda - VI.A. INVESTMENT INFORMATION: NEPC INVESTMENT REPORTS & RECOMMENDATION TO APPROVE INVESTM...
US Economic Indicators
Inflation has ticked modestly higher Unemployment remains near historic lows
6% 90% 18% 5% 16% US Unemployment 85% U‐6 Unemployment 4% 14% 3% 80% 12% 2% 10% 75% 1% 8% 0% 70% 6% ‐1% 4% CPI (LHS) 65% ‐2% Capacity Utilization (RHS) 2% ‐3% 60% 0% 1997 1999 2001 2003 2005 2007 2009 2011 2013 2015 1997 1999 2001 2003 2005 2007 2009 2011 2013 2015
Source: Bloomberg, Federal Reserve, Bureau of Labor Statistics Source: Bloomberg, Bureau of Labor Statistics With recent increases in GDP, corporate Manufacturing shows continued strength profits (%) have declined 13% 65 US ISM PMI 12% Corporate Profits (% of GDP) 60 11% 55 10% 50 9% 8% 45
7% 40 6% 35 1997 1999 2001 2003 2005 2007 2009 2011 2013 2015 1967 1970 1973 1976 1979 1982 1985 1988 1991 1994 1997 2000 2003 2006 2009 2012 2015
Source: Bloomberg, Bureau of Economic Analysis Source: Bloomberg, Institute for Supply Management
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MASTER PAGE NO. 169 of 227 Business Meeting Agenda - VI.A. INVESTMENT INFORMATION: NEPC INVESTMENT REPORTS & RECOMMENDATION TO APPROVE INVESTM...
International Economic Indicators
Eurozone and Japan inflation are on an Unemployment has steadied upswing 5% 14% Europe Unemployment 4% 12% Japan Unemployment 3% 10% 2% 8% 1% 6% 0% ‐1% 4% Japan CPI ‐2% 2% Euro CPI ‐3% 0% 2004 2005 2006 2007 2008 2009 2010 2011 2012 2013 2014 2015 2016 2017 2002 2003 2004 2005 2006 2007 2008 2009 2010 2011 2012 2013 2014 2015 2016
Source: Bloomberg, Japan Ministry of Internal Affairs and Communications, Eurostat Source: Bloomberg, Japan Ministry of Internal Affairs and Communications, Eurostat
Ex-UK, leading indicators are trending Manufacturing shows continued strength higher 10% 103.0 8% SA 6% 102.0 4% 101.0
2% Indicator Manufacturing
in
0% 100.0 ‐2% Leading ‐4% 99.0 Euro Area Change Germany
% France Japan ‐6% Italy OECD 98.0 UK ‐8% YoY Japan Canada ‐10% 97.0 2007 2008 2009 2010 2011 2012 2013 2014 2015 2016 2007 2008 2009 2010 2011 2012 2013 2014 2015 2016
Source: Bloomberg, OECD, Eurostat Source: Bloomberg, OECD
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Emerging Market Economic Indicators
EM inflation varies by country Relatively healthy debt/GDP ratios
16.0% 90%
14.0% Most Recent GDP 80% 1 Yr Previous of 12.0% % 70% as
10.0% 60% 50% Debt CPI 8.0% 40%
6.0% Gov't 30% 4.0% Gross 20% 2.0% 10% 0% 0.0% Mexico Brazil South Turkey China Russia India Brazil China Mexico South Russia India Turkey Africa Africa Source: Bloomberg Source: Bloomberg, IMF
EM continues trending higher as a percent Account balances remain steady of global output 15% 100% 90% Developed
GDP) 10%
80% Emerging of 70% 5% World (%
of
60% % 0% 50% as 40% Balance
‐5% PPP 30%
‐10% Mexico Brazil GDP 20% South Africa Turkey
Account 10% ‐15% India China 0% Russia ‐20% 2007 2008 2009 2010 2011 2012 2013 2014 2015 2016 1998 2000 2001 2002 2004 2005 2006 2008 2009 2010 2012 2013 2014 2016 2017 2018 2020 2021
Source: Bloomberg Source: Bloomberg, IMF
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Volatility
Treasury volatility has increased slightly Equity volatility remains near historic lows off recent lows 50 130 45 120 MOVE Index 40 VIX Index 110 35 100 30 90 25 80 20 15 70 10 60 5 50 0 40 2012 2013 2014 2015 2016 2012 2013 2014 2015 2016 2017
Source: Bloomberg, CBOE Source: Bloomberg, Merrill Lynch
Currency volatility has modestly declined Commodity volatility is trending downward
14 19 13 CVIX Index 17 12 11 15 10 13 9 8 11 7 9 6 7 5 Bloomberg Commodity 90D Vol 4 5 2012 2013 2014 2015 2016 2017 2012 2013 2014 2015 2016
Source: Bloomberg, Deutsche Bank Source: Bloomberg, Merrill Lynch
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Central Banks
ECB and BOJ balance sheets continue to Short-term interest rates have increased, grow causing a relatively flatter yield curve $6.0 2.5% FED $5.0 ECB Current assets) BoJ 2.0% 6/30/2017 $4.0 3/31/2017 sheet 1.5% 12/30/2016 $3.0
$2.0 1.0% (balance
$1.0 0.5% Trillions $0.0 0.0% 2016 2017 2018 2019 2020
Source: Bloomberg, Federal Reserve, Bank of Japan, ECB, NEPC Source: Bloomberg, Federal Reserve
Ex-US and Canada, developed market rates EM central bank policies vary by country- are lower than the previous year specific economic conditions
Australia Turkey Canada South Korea ECB South Africa Russia Japan Poland New Zealand 1 Year Previous Mexico Norway Current Malaysia Singapore 1 Year Previous Indonesia Current Switzerland India UK China US Brazil ‐1.0%‐0.5% 0.0% 0.5% 1.0% 1.5% 2.0% 2.5% 3.0% 3.5% 4.0% 0.0% 2.0% 4.0% 6.0% 8.0% 10.0% 12.0% 14.0% 16.0% Target Central Bank Rate Target Central Bank Rate Source: Bloomberg Source: Bloomberg
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Global Equity
Ex-US valuations remain lower than the Rolling annual earnings growth remains previous year elevated relative to recent lows 50 50% 45 40% EBIT 30%
40 in +1 Std Dev ‐1 St Dev 35 20% 9/30/2016 9/29/2017 30 10% Ratio Change
0% 25 PE
Mo ‐10% 20
12 ‐ ‐20%
S&P 500 15 ‐30% MSCI EAFE 10 ‐40% MSCI EM 5 Rolling ‐50% 0 S&P 500 MSCI EM MSCI EAFE MSCI ACWI
Source: Bloomberg, Standard and Poors, MSCI *MSCI EAFE is ex UK Telecom Source: Bloomberg, Standard and Poors, MSCI *Standard deviation calculations on 20 years of data except S&P 500 (30 years) Equities have experienced strong short- Profit margins continue to improve term performance 14% 25% S&P 500 3 Month Return 12% MSCI EM 20% 1 Year Return 10% MSCI EAFE MSCI ACWI 8% 15% Margins
6% 10%
Profit 4% 5% 2% 0% 0% S&P 500 MSCI EAFE MSCI EM MSCI ACWI MSCI ACWI IMI
Source: Bloomberg, MSCI Source: Bloomberg, MSCI
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US Equity
Ex-Value, equity valuations remain Real GDP growth strengthened in Q2 elevated relative to last year 45 6% 40 4% 35 2% 30 0%
Ratio 25 ‐2% PE 20 15 ‐4% 10 +1 Std Dev ‐1 St Dev US Real GDP Growth ‐6% 9/30/2016 9/29/2017 5 ‐8% 0 ‐10% S&P 500 Russell 2000 Russell 1000 Russell 1000 2007 2008 20102009 2011 20132012 2014 20162015 2017 Growth Value
Source: Bloomberg, Standard and Poors, Russell *Russell 2000 PE is index adjusted positive* Source: Bloomberg, Bureau of Economic Analysis Standard deviation calculations based on 20 years of data US equities continue to post positive S&P profit margins experience an uptick returns 12% 25% 10% 3 Month Return 8% 20% 1 Year Return 6% 4% 15%
Margins 2%
0% 10%
Profit ‐2% ‐4% S&P 500 5% ‐6% Russell 2000 ‐8% 0% S&P 500 Russell 2500 Russell 2000 Russell 1000 Russell 1000
1991 1993 1995 1997 1999 2001 2003 2005 2007 2009 2011 2013 2015 2017 Growth Value
Source: Bloomberg, Standard and Poors, Russell Source: Bloomberg, Standard and Poors, Russell
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International Equity
UK and Europe PEs remain below previous Eurozone and Japan growth increased, year levels while UK growth slowed 70 15% 60 +1 Std Dev ‐1 St Dev 10% 50 9/30/2016 9/29/2017 5%
Ratio 40
PE 0% 30 ‐5% 20 Eurozone Japan 10 ‐10% UK 0 ‐15% Europe Japan United Kingdom 20172016201520142013201220112010200920082007
Source: Bloomberg, MSCI, FTSE *UK represented by FTSE 100 Index Source: Bloomberg *Standard deviation calculations based on 20 years of data, with Europe since 12/1998 Dollar weakness boosted short-term Profit margins continue trending higher performance relative to local indices 14% 25% MSCI EAFE 3 Month Return 12% Euro 1 Year Return 10% Japan 20% 8% UK 15% 6% Margins 4% 10% 2% Profit 0% 5% ‐2% ‐4% 0% MSCI EAFE MSCI EAFE MSCI EAFE SC MSCI EAFE SC (Local) (Local)
Source: Bloomberg, MSCI Source: Bloomberg, MSCI
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Emerging Markets Equity
Ex-India, EM valuations remain elevated Brazil and Russia continue rebounding off relative to the previous year earnings contractions 50 20% Brazil +1 Std Dev ‐1 St Dev 45 9/30/16 Brazil Russia 9/30/2016 9/29/2017 15% 40 PE: 101.2 India China 35 10% 30 Ratio 5%
PE 25 20 0% 15 ‐5% 10 5 ‐10% 0 ‐15% China Brazil South Africa Russia India South Korea 20172016201520142013201220112010200920082007
Source: Bloomberg, MSCI Source: Bloomberg *Standard deviation calculations based on 20 years of data, with Russia since 01/1998 Profit margins continue trending upward EM posts strong short-term returns
14% 35% 3 Month Return 30% 12% 1 Year Return 10% 25% 20% 8% Margins
15% 6% 10%
Profit 4% 5% 2% MSCI EM 0% 0% MSCI EM MSCI EM MSCI EM MSCI EM MSCI (Local) Small Cap Small Cap Frontier (Local)
Source: Bloomberg, MSCI Source: Bloomberg, MSCI
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Global Equity by Sector
Consumer Staples drags MSCI ACWI short- Info Tech and Telecom lead S&P short- term returns term performance 35% 40% 30% 3 Month Return 35% 3 Month Return 1 Year Return 25% 1 Year Return 30% 20% 25% 20% 15% 15% 10% 10% 5% 5% 0% 0% ‐5% ‐5%
Source: Bloomberg, MSCI Source: Bloomberg, Standard and Poors EM short-term returns have been driven by Financials and Info Tech weights have Info Tech, Energy, and Materials increased with recent run-ups 45% 20% 40% 3 Month Return 18% 35% 1 Year Return 16% 9/29/2017 ACWI 30% 14% 9/30/2016 of 25% 12% 20% 10% 8% Weight
15% 6% 10% 4% 5% Sector 2% 0% 0%
Source: Bloomberg, MSCI Source: Bloomberg, MSCI
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Currencies
Currencies have appreciated against the EM currencies remain mixed relative to the dollar with recent USD weakness dollar 6% 15% 4% 10% 2% 5% 0% 0% ‐5% ‐2% ‐10% ‐4% ‐15% ‐20% 3 Month Spot Change ‐6% ‐25% 1 Year Spot Change 3 Month Spot Change ‐8% ‐30% 1 Year Spot Change ‐10% ‐12% Australian Canadian Euro Japanese Swiss Pound Dollar Dollar Yen Franc Sterling
Source: Bloomberg Source: Bloomberg USD expectations vary across developed The dollar continues trending downward markets 3.0% 120 3M Currency Forward 2.0% 12M Currency Forward 110
1.0% 100 USD
0.0% 90 versus
‐1.0% 80
Change ‐2.0% 70 USD Trade Weighted Index
‐3.0% 60 Euro Yen British Swiss Aus Dollar Yuan
Pound Franc (O/S) 1992 1994 1996 1998 2000 2002 2004 2006 2008 2010 2012 2014 2016
Source: Bloomberg Source: Bloomberg, Federal Reserve
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US Fixed Income
Spreads remain lower than the previous TIPS yield has increased relative to year previous months 2000 6% +2 Std Dev 1800 +1 Std Dev 5% 1600 Month End Yield ‐1 St Dev 4% 1400 9/30/2016 3 Month Previous Yield 1200 9/29/2017 3% (bps)
1000 2% 800 1% Spread 600 0% 400 200 0 Aaa Aa A Baa Ba B Caa
Source: Bloomberg, Barclays Source: Bloomberg, Barclays *Standard deviation calculations based on 20 years of data Similar duration/yield profiles among core Fixed income indices post positive short- indices term returns 6% 10% BC Agg 3 Month Return 8% 5% BC Credit 1 Year Return BC High Yield 6% 4% BC MBS BC Municipal 4% 3% BC TIPS 2%
Yield BC US Treasury 0% 2% ‐2% 1%
0% 012345678 Duration Source: Bloomberg, Barclays Source: Bloomberg, Barclays
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International Developed Fixed Income
Periphery yields have broadly declined Yields are significantly higher relative to over the year relative to Germany last year 450 3.0% 400 2.5% Month End Yield 9/29/2017 350 3 Month Previous Yield (bps)
9/30/2016 2.0% 1 Year Previous Yield 300 Yield 250 1.5%
200 Govt
Equivalent 1.0%
150 Yr or
10 0.5% 100 OAS 50 0.0% 0 ‐0.5% EuroAgg Pan‐Euro 5 Year 5 Year 5 Year BC Asia BC Asia Germany France Italy Spain Japan UK Australia Corp HY Italy Portugal Spain IG HY
Source: Barclays, Bloomberg, *European periphery spreads are over equivalent Source: Bloomberg German Bund Global bonds post strong short-term Low yields persist in global bond universe returns 3.5% 3.0% 3 Month Return 3.0% BC Global Agg 2.0% 1 Year Return 2.5% BC Pan‐Euro HY 2.0% BC Multiverse 1.0% BC Global Infl‐Linked 1.5% BC EuroAgg 0.0%
Yield 1.0% ‐1.0% 0.5% 0.0% ‐2.0% ‐0.5% ‐3.0% ‐1.0% BC Global BC Global BC Global BC Global BC BC Glob 01234567891011121314 Agg (Hedged) Agg ex US Agg ex US Multiverse Infl‐Linked Duration (Unhedged) (Unhedged) (Hedged)
Source: Bloomberg, Citigroup, Barclays Source: Bloomberg, Citigroup, Barclays
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Emerging Markets Fixed Income
Yields have broadly declined relative to EM spreads continue to compress previous months 1400 14% EMBI Glob Div EMBI Glob Div IG Month End Yield 1200 EMBI Glob Div HY CEMBI Div Broad IG 12% 3 Month Previous Yield CEMBI Div Broad HY 1 Year Previous Yield 1000 Yield 10% 8%
800 Govt bps
in 600 6% Local 4% 400 Yr Spread 10 2% 200 0% 0
Source: Bloomberg, JP Morgan Source: Bloomberg
EM yields appear attractive relative to EM debt posts strong positive short-term global counterparts returns 8% 8% 7% 7% 3 Month Return 6% 1 Year Return 6% 5% 5% 4% JPM EMBI Composite 3% 4% JPM GBI‐EM Glob Div 2% Yield 3% CEMBI IG 1% CEMBI HY 0% 2% EMBI HY ‐1% 1% EMBI IG ‐2% ‐3% 0% JPM EMBI JPM GBI‐EM CEMBI IG CEMBI HY ELMI+ Comp 012345678 Duration Glob Div Glob Div
Source: Bloomberg, JP Morgan Source: Bloomberg, JP Morgan
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Rates
The curve remains mostly unchanged from Interest rate expectations remain similar three months prior to previous months 3.5% 4.0% UK Month End UK 3M Previous 3.0% 3.0% Japan Month End Japan 3M Previous Germ Month End Germ 3M Previous 2.5% 2.0% 2.0% 1.0% 1.5% 9/29/2017 6/30/2017 0.0% 1.0% 6/30/2016 ‐1.0% 0.5% 6/30/2015 0.0% ‐2.0% 1Y 3Y 5Y 7Y 10 15 20 25 30 1Y 3Y 5Y 7Y 10 15 20 25 30 Y Y Y Y Y Y Y Y Y Y
Source: Bloomberg Source: Bloomberg
US and German 10-2 spreads have spiked Sovereign bond yields continue to trend in the near term upward 3.0% 6% US 10 Yr ‐ 2 Yr Japan 10 Yr 2.5% Japan 10 Yr ‐ 2 Yr 5% Japan 2 Yr Germany 10 Yr ‐ 2 Yr Germany 10 Yr 2.0% 4% Germany 2 Yr 3% 1.5% 2% 1.0% 1% 0.5% 0% 0.0% ‐1% ‐0.5% ‐2% 2002 2003 2004 2005 2006 2007 2008 2009 2010 2011 2012 2013 2014 2015 2016 2017 2002 2003 2004 2005 2006 2007 2008 2009 2010 2011 2012 2013 2014 2015 2016 2017
Source: Bloomberg Source: Bloomberg
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Long Rates and Liability
Long duration yields have slightly Long credit yield is in line with the long- increased term historical average 10% 10% 9% BC US Long Corp A+ 9% Spread (US Long Credit Yield) BC US Long Credit 8% 8% US Long Credit OAS BC 20‐30 Yr STRIPS 7% BC US Long Treasury 7% component) 6% 6% (by
5% 5% 4% yield 4% 3% 3% 2% credit 2% 1%
1% Long 0% 2007 2008 2009 2010 2011 2012 2013 2014 2015 2016 2017
Source: Bloomberg, Citigroup, Barclays Source: Bloomberg, US Treasury, Barclays, NEPC
Yield and spread components continue to Long duration fixed income posts short- offer modest returns term gains 4.5% 4% 4.0% 2% 3.5% US Corp Spread 0% 3.0% US Gov't Yield ‐2% 2.5% 2.0% ‐4% 1.5% ‐6% 3‐Month Return 1.0% ‐8% 1 Year Return 0.5% ‐10% 0.0% 20‐30 Yr US Agg US Long US Long US Long Long Corp 1‐3 Year 3‐5 Year 5‐10 Year Long‐Term STRIPs Long Treas Credit Govt/Credit Credit A+ A+
Source: Bloomberg, Barclays Source: Bloomberg, Barclays
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Inflation and Real Rates
US real yields have declined in recent Real yields have broadly declined in months developed markets
1.2% 1.5% 1.0% 1 Yr Previous 3M Previous 1.0% Month End 1 Yr Fwd 0.8% 0.5% 0.6% 0.0% 0.4% Yields
‐0.5% 0.2%
Real ‐1.0% 0.0% Month End ‐0.2% ‐1.5% 3‐Mo Previous ‐0.4% ‐2.0% ‐0.6% US 10 Yr Germany Britain 10 France 10 Australia Japan 10 US 5 Year US 10 Year 10 Yr Yr Yr 10 Yr Yr
Source: Bloomberg Source: Bloomberg
US inflation expectations have decreased Inflation expectations have begun trending off of post US election highs upward 2.65% 4.0% US 10 Yr UK 10 Yr 2.45% 5y5y US Breakeven 3.5% Germany 10 Yr Australia 10 Yr France 10 Yr 2.25% 3.0% 2.05% 2.5% Breakeven 1.85% 2.0% 1.65% 1.5%
1.45% Inflation 1.0% 1.25% 0.5% 0.0% 2012 2013 2014 2015 2016 2017
Source: Bloomberg Source: Bloomberg
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Inflation-Sensitive Growth Assets
Sustained recovery in commercial real Yields remain in line with the previous year estate occupancy rates 8% 7% Month‐End Yield 1 Year Previous Yield 6% 5% Yield
4% 3% Dividend 2% 1% 0% Alerian MLP NAREIT Global NAREIT US S&P Glob Nat Res
Source: Bloomberg, Alerian, Nareit, Standard and Poors Source: CBRE
Mixed short-term performance for US REIT valuations have steadied inflation-sensitive growth assets 25% 30 Alerian MLP NAREIT Global 26 NAREIT US 20% S&P Glob Nat Res 3 Month Return 22 15% 1 Year Return 18 10% 14 Value/EBITDA 5% 10 0% 6
Enterprise 2 ‐5% S&P Glob NAREIT US NAREIT Glob Alerian MLP NCREIF Nat Res Property
Source: Bloomberg, US Census Bureau Source: Bloomberg, Alerian, Nareit, Standard and Poors
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Commodities
Commodities now broadly have positive Gold and oil edge slightly higher roll yields 160 2000 Soybeans 140 1800 1600 Oil 120 1400 Natural Gas 100 1200 Ounce 80 1000 Gold $/Barrel 60 800
Corn 600 $/Troy 40 Crude Oil Spot (LHS) 400 Copper 20 Gold Spot (RHS) 200 0 0 0% 1% 2% 3% 4% 2001 2003 2005 2007 2009 2011 2013 2015 3‐Mo Future Roll Yield
Source: Bloomberg Source: Bloomberg
Oil production and consumption has GSCI Non-Energy underperformed in the steadied near term 25 120 Crude oil and liquid fuels 20 100 80 15 60 10 US Production 40 5 US Consumption World Production (RHS) 20 World Consumption (RHS) 0 0
Source: Bloomberg, US Department of Energy *Crude oil and liquid fuels Source: Bloomberg, Standard and Poors
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Glossary of Investment Terminology—Risk Statistics
Alpha - Measures the relationship between the fund performance and the per- Standard Deviation - The standard deviation is a statistical term that de- formance of another fund or benchmark index and equals the excess return scribes the distribution of results. It is a commonly used measure of volatility of while the other fund or benchmark index is zero. returns of a portfolio, asset class, or security. The higher the standard deviation the more volatile the returns are. Alpha Jensen - The average return on a portfolio over and above that predict- ed by the capital asset pricing model (CAPM), given the portfolio's beta and the Formula: average market return. Also known as the abnormal return or the risk adjusted (Annualized Return of Portfolio – Annualized Return of Risk Free) / Annualized excess return. Standard Deviation (Portfolio Returns)
Annualized Excess Return over Benchmark - Annualized fund return minus Tracking Error - Tracking error, also known as residual risk, is a measure of the annualized benchmark return for the calculated return. the degree to which a portfolio tracks its benchmark. It is also a measure of consistency of excess returns. Tracking error is computed as the annualized Annualized Return - A statistical technique whereby returns covering periods standard deviation of the difference between a portfolio's return and that of its greater than one year are converted to cover a 12 month time span. benchmark.
Beta - Measures the volatility or systematic risk and is equal to the change in Formula: the fund’s performance in relation to the change in the assigned index’s perfor- Tracking Error = Standard Deviation (X-Y) * √( # of periods per year) mance. Where X = periods portfolio return and Y = the period’s benchmark return For monthly returns, the periods per year = 12 Information Ratio - A measure of the risk adjusted return of a financial For quarterly returns, the periods per year = 4 security, asset, or portfolio. Treynor Ratio - A risk-adjusted measure of return based on systematic risk. Formula: Similar to the Sharpe ratio with the difference being the Treynor ratio uses beta (Annualized Return of Portfolio - Annualized Return of Benchmark)/Annualized as the measurement of volatility. Standard Deviation(Period Portfolio Return – Period Benchmark Return). To an- nualize standard deviation, multiply the deviation by the square root of the Formula: number of periods per year where monthly returns per year equals 12 and quar- (Portfolio Average Return - Average Return of Risk-Free Rate)/Portfolio Beta terly returns is four periods per year. Up/Down Capture Ratio - A measure of what percentage of a market's re- R-Squared – Represents the percentage of a fund’s movements that can be turns is "captured" by a portfolio. For example, if the market declines 10% over explained by movements in an index. R-Squared values range from 0 to 100. An some period, and the manager declines only 9%, then his or her capture ratio is R-Squared of 100 denotes that all movements of a fund are completely ex- 90%. In down markets, it is advantageous for a manager to have as low a cap- plained by movements in the index. ture ratio as possible. For up markets, the higher the capture ratio the better. Looking at capture ratios can provide insight into how a manager achieves ex- Sharpe Ratio - A measure of the excess return or risk premium per unit of risk cess returns. A value manager might typically have a lower capture ratio in both in an investment asset or trading strategy. up and down markets, achieving excess returns by protecting on the downside, whereas a growth manager might fall more than the overall market in down Sortino Ratio - A method to differentiate between good and bad volatility in markets, but achieve above-market returns in a rising market. the Sharpe Ratio. The differentiation of up and down volatility allows the calcu- lation to provide a risk adjusted measure of a security or fund's performance UpsideCapture = TotalReturn(FundReturns)/TotalReturns(BMReturn) when Peri- without upward price change penalties. od Benchmark Return is > = 0
Formula: DownsideCapture = TotalReturn(FundReturns)/TotalReturns(BMReturn) when Calculation Average (X-Y)/Downside Deviation (X-Y) * 2 Benchmark <0 Where X=Return Series X Y = Return Series Y which is the risk free return (91 day T-bills) Data Source: InvestorForce
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Glossary of Investment Terminology
# Of Portfolios/Observations1 – The total number of data points that make Average Effective Maturity4 - For a single bond, it is a measure of maturity up a specified universe that takes into account the possibility that a bond might be called back to the issuer. Allocation Index3 - The allocation index measures the value added (or sub- tracted) to each portfolio by active management. It is calculated monthly: The For a portfolio of bonds, average effective maturity is the weighted average of portfolio asset allocation to each category from the prior month-end is multi- the maturities of the underlying bonds. The measure is computed by weighing plied by a specified market index. each bond's maturity by its market value with respect to the portfolio and the likelihood of any of the bonds being called. In a pool of mortgages, this would Asset Allocation Effect2 - Measures an investment manager’s ability to effec- also account for the likelihood of prepayments on the mortgages. tively allocate their portfolio’s assets to various sectors. The allocation effect determines whether the overweighting or underweighting of sectors relative to a Batting Average1 - A measurement representing an investment manager's benchmark contributes positively or negatively to the overall portfolio return. ability to meet or beat an index. Positive allocation occurs when the portfolio is over weighted in a sector that outperforms the benchmark and underweighted in a sector that underperforms Formula: Divide the number of days (or months, quarters, etc.) in which the the benchmark. Negative allocation occurs when the portfolio is over weighted manager beats or matches the index by the total number of days (or months, in a sector that underperforms the benchmark and under weighted in a sector quarters, etc.) in the period of question and multiply that factor by 100. that outperforms the benchmark. Brinson Fachler (BF) Attribution1 - The BF methodology is a highly accepted Agency Bonds (Agencies)3 - The full faith and credit of the United States gov- industry standard for calculating the allocation, selection, and interaction effects ernment is normally not pledged to payment of principal and interest on the within a portfolio that collectively explains a portfolio’s underlying performance. majority of government agencies issuing these bonds, with maturities of up to The main advantage of the BF methodology is that rather than using the overall ten years. Their yields, therefore, are normally higher than government and return of the benchmark, it goes a level deeper than BHB and measures wheth- their marketability is good, thereby qualifying them as a low risk-high liquidity er the benchmark sector, country, etc. outperformed/or underperformed the type of investment. They are eligible as security for advances to the member overall benchmark. banks by the Federal Reserve, which attests to their standing. Brinson Hood Beebower (BHB) Attribution1 - The BHB methodology shows Asset Backed Securities (ABS)3 - Bonds which are similar to mortgage- that excess return must be equal to the sum of all other factors (i.e., allocation backed securities but are collateralized by assets other than mortgages; com- effect, selection effect, interaction effect, etc.). The advantage to using the BHB monly backed by credit card receivables, auto loans, or other types of consumer methodology is that it is a highly accepted industry standard for calculating the financing. allocation, selection, and interaction effects within a portfolio that collectively explains a portfolio’s underlying performance. Attribution3 - Attribution is an analytical technique that allows us to evaluate the performance of the portfolio relative to the benchmark. A proper attribution Corporate Bond (Corp) 4 - A debt security issued by a corporation and sold to tells us where value was added or subtracted as a result of the manager’s deci- investors. The backing for the bond is usually the payment ability of the compa- sions. ny, which is typically money to be earned from future operations. In some cas- es, the company's physical assets may be used as collateral for bonds.
Correlation1 - A range of statistical relationships between two or more random variables or observed data values. A correlation is a single number that de- scribes the degree of relationship between variables.
Data Source: 1InvestorForce, 2Interaction Effect Performance Attribution, 3NEPC, LLC, 4Investopedia, 5Hedgeco.net
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Glossary of Investment Terminology
Coupon4 – The interest rate stated on a bond when it is issued. The coupon is High-Water Mark4 - The highest peak in value that an investment fund/ typically paid semiannually. This is also referred to as the "coupon rate" or account has reached. This term is often used in the context of fund manager "coupon percent rate." compensation, which is performance based. Some performance-based fees only get paid when fund performance exceeds the high-water mark. The high-water Currency Effect1 - Is the effect that changes in currency exchange rates over mark ensures that the manager does not get paid large sums for poor perfor- time affect excess performance. mance.
Derivative Instrument3 - A financial obligation that derives its precise value Hurdle Rate4 - The minimum rate of return on an investment required, in order from the value of one or more other instruments (or assets) at the same point for a manager to collect incentive fees from the investor, which is usually tied to of time. For example, the relationship between the value of an S&P 500 futures a benchmark. contract (the derivative instrument in this case) is determined by the value of the S&P 500 Index and the value of a U.S. Treasury bill that matures at the Interaction Effects2 - The interaction effect measures the combined impact of expiration of the futures contract. an investment manager’s selection and allocation decisions within a sector. For example, if an investment manager had superior selection and over weighted Downside Deviation1 - Equals the standard deviation of negative return or the that particular sector, the interaction effect is positive. If an investment manag- measure of downside risk focusing on the standard deviation of negative re- er had superior selection, but underweighted that sector, the interaction effect turns. is negative. In this case, the investment manager did not take advantage of the superior selection by allocating more assets to that sector. Since many invest- Formula: ment managers consider the interaction effect to be part of the selection or the Annualized Standard Deviation (Fund Return - Average Fund Return) where allocation, it is often combined with the either effect. average fund return is greater than individual fund returns, monthly or quarter- ly. Median3 - The value (rate of return, market sensitivity, etc.) that exceeds one- half of the values in the population and that is exceeded by one-half of the val- Duration3 - Duration is a measure of interest rate risk. The greater the dura- ues. The median has a percentile rank of 50. tion of a bond, or a portfolio of bonds, the greater its price volatility will be in response to a change in interest rates. A bond’s duration is inversely related to Modified Duration3 - The percentage change in the price of a fixed income interest rates and directly related to time to maturity. security that results from a change in yield.
Equity/Debt/Cash Ratio1 – The percentage of an investment or portfolio that Mortgage Backed Securities (MBS)3 - Bonds which are a general obligation is in Equity, Debt, and/or Cash (i.e. A 7/89/4 ratio represents an investment of the issuing institution but are also collateralized by a pool of mortgages. that is made up of 7% Equity, 89% Debt, and 4% Cash). Municipal Bond (Muni) 4 - A debt security issued by a state, municipality or Foreign Bond3 - A bond that is issued in a domestic market by a foreign entity, county to finance its capital expenditures. in the domestic market's currency. A foreign bond is most often issued by a foreign firm to raise capital in a domestic market that would be most interested Net Investment Change1 – Is the change in an investment after accounting in purchasing the firm's debt. For foreign firms doing a large amount of business for all Net Cash Flows. in the domestic market, issuing foreign bonds is a common practice. Performance Fee4 - A payment made to a fund manager for generating posi- Hard Hurdle5 – is a hurdle rate that once beaten allows a fund manager to tive returns. The performance fee is generally calculated as a percentage of charge a performance fee on only the funds above the specified hurdle rate. investment profits, often both realized and unrealized.
Data Source: 1InvestorForce, 2Interaction Effect Performance Attribution, 3NEPC, LLC, 4Investopedia, 5Hedgeco.net
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Glossary of Investment Terminology
Policy Index3 - A custom benchmark designed to indicate the returns that a Total Return1 - The actual rate of return of an investment over a specified time passive investor would earn by consistently following the asset allocation targets period. Total return includes interest, capital gains, dividends, and distributions set forth in this investment policy statement. realized over a defined time period.
Price to Book (P/B)4 - A ratio used to compare a stock's market value to its Universe3 - The list of all assets eligible for inclusion in a portfolio. book value. It is calculated by dividing the current closing price of the stock by the latest quarter's book value per share, also known as the "price-equity ratio". Upside Deviation1 – Standard Deviation of Positive Returns
Price to Earnings (P/E)3 - The weighted equity P/E is based on current price Weighted Avg. Market Cap.4 - A stock market index weighted by the market and trailing 12 months earnings per share (EPS). capitalization of each stock in the index. In such a weighting scheme, larger companies account for a greater portion of the index. Most indexes are con- Price to Sales (P/S)4 - A ratio for valuing a stock relative to its own past per- structed in this manner, with the best example being the S&P 500. formance, other companies, or the market itself. Price to sales is calculated by dividing a stock's current price by its revenue per share for the trailing 12 Yield (%)3 - The current yield of a security is the current indicated annual divi- months. dend rate divided by current price. Yield to Maturity3 -The discount rate that equates the present value of cash Return on Equity (ROE)4 - The amount of net income returned as a percent- flows, both principal and interest, to market price. age of shareholders equity. Return on equity measures a corporation's profita- bility by revealing how much profit a company generates with the money share- holders have invested.
Selection (or Manager) Effect2 - Measures the investment manager’s ability to select securities within a given sector relative to a benchmark. The over or underperformance of the portfolio is weighted by the benchmark weight, there- fore, selection is not affected by the manager’s allocation to the sector. The weight of the sector in the portfolio determines the size of the effect—the larger the sector, the larger the effect is, positive or negative.
Soft Hurdle rate5 – is a hurdle rate that once beaten allows a fund manager to charge a performance fee based on the entire annualized return.
Tiered Fee1 – A fee structure that is paid to fund managers based on the size of the investment (i.e. 1.00% fee on the first $10M invested, 0.90% on the next $10M, and 0.80% on the remaining balance).
Total Effects2 - The active management (total) effect is the sum of the selec- tion, allocation, and interaction effects. It is also the difference between the total portfolio return and the total benchmark return. You can use the active management effect to determine the amount the investment manager has add- ed to a portfolio’s return.
Data Source: 1InvestorForce, 2Interaction Effect Performance Attribution, 3NEPC, LLC, 4Investopedia, 5Hedgeco.net
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Information Disclaimer
• Past performance is no guarantee of future results.
• The goal of this report is to provide a basis for monitoring financial markets. The opinions presented herein represent the good faith views of NEPC as of the date of this report and are subject to change at any time.
• Information on market indices was provided by sources external to NEPC. While NEPC has exercised reasonable professional care in preparing this report, we cannot guarantee the accuracy of all source information contained within.
• All investments carry some level of risk. Diversification and other asset allocation techniques do not ensure profit or protect against losses.
• This report is provided as a management aid for the client’s internal use only. This report may contain confidential or proprietary information and may not be copied or redistributed to any party not legally entitled to receive it.
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Information Disclaimer and Reporting Methodology
Information Disclaimer
• Past performance is no guarantee of future results.
• All investments carry some level of risk. Diversification and other asset allocation techniques are not guaranteed to ensure profit or protect against losses.
• NEPC’s source for portfolio pricing, calculation of accruals, and transaction information is the plan’s custodian bank. Information on market indices and security characteristics is received from other sources external to NEPC. While NEPC has exercised reasonable professional care in preparing this report, we cannot guarantee the accuracy of all source information contained within.
• Some index returns displayed in this report or used in calculation of a policy, allocation or custom benchmark may be preliminary and subject to change.
• This report is provided as a management aid for the client’s internal use only. Information contained in this report does not constitute a recommendation by NEPC.
• This report may contain confidential or proprietary information and may not be copied or redistributed to any party not legally entitled to receive it.
Reporting Methodology
• The client’s custodian bank is NEPC’s preferred data source unless otherwise directed. NEPC generally reconciles custodian data to manager data. If the custodian cannot provide accurate data, manager data may be used.
• Trailing time period returns are determined by geometrically linking the holding period returns, from the first full month after inception to the report date. Rates of return are annualized when the time period is longer than a year. Performance is presented gross and/or net of manager fees as indicated on each page.
• For managers funded in the middle of a month, the “since inception” return will start with the first full month, although actual inception dates and cash flows are taken into account in all Composite calculations.
• This report may contain forward-looking statements that are based on NEPC’s estimates, opinions and beliefs, but NEPC cannot guarantee that any plan will achieve its targeted return or meet other goals.
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MASTER PAGE NO. 193 of 227 Business Meeting Agenda - VIII.A. NEW BUSINESS: RECOMMEND TO APPROVE $25M ALLOCATION TO ABBOTT'S SECONDARY FUND OF FU...
November 20, 2017
Board of Retirement Ventura County Employees’ Retirement Association 1190 South Victoria Avenue, Suite 200 Ventura, CA 93003
SUBJECT: $25 MILLION INVESTMENT IN ABBOTT SECONDARIES OPPORTUNITIES FUND, LP
Dear Board Members:
Attached is a memo from NEPC recommending a $25 million investment in the Abbott Secondaries Opportunities Fund. Staff concurs with NEPC’s recommendation.
Background
In May 2017, the Board selected Abbott Capital Management as its private equity consultant and separate account full discretion manager. In June, the Board approved a private equity Annual Plan which included a recommendation to deploy approximately $150 million per year. Year to date, the Board has committed $115 million to private equity. Of this amount, the Board approved $30 million to Harbourvest’s Co-Investment Fund which has closed. The Board also approved $30 million to CarVal Credit Value Fund IV which is expected to close December 1. Abbott has secured and committed $30 million to GTCR XII, and $25 million to Insight Venture Partners both of which have closed. Abbott has identified an additional $10 million in a fund investing in small to mid-sized buyouts, and is expected to close shortly.
Abbott’s Secondaries Opportunities Fund is expected to close December 15. This fund will provide size diversification to VCERA’s current secondaries exposure through Harbourvest and Pantheon. A significant amount of this fund is already pre-specified, the preliminary return and investment multiple are attractive, and capital will be turned around quicker than through more traditional primary investments.
IT IS RECOMMENDED THAT THE BOARD: 1. Approve an allocation of $25 million to Abbott’s Secondary Opportunities Fund, and direct staff and legal counsel to prepare the necessary legal documents; and, 2. Authorize the Board Chair or the Retirement Administrator, or in the absence of the Board Chair and Retirement Administrator the Chief Investment Officer, to approve and execute the required documentation.
Respectfully submitted,
Dan Gallagher Chief Investment Officer
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To: Ventura County Employees’ Retirement Association
From: NEPC Consulting Team
Date: November 20, 2017
Subject: Abbott Secondary Opportunities Fund, LP
Recommendation
NEPC recommends the Ventura County Employees’ Retirement Association (“VCERA” or the “Plan”) give consideration to making a $25 million commitment to Abbott Secondary Opportunities Fund, LP (“the Fund”) pending the successful completion of contract negotiations between Abbott Capital (“Abbott” or the “Firm”) and the Plan’s legal counsel.
Executive Summary
Abbott Capital is raising Abbott Secondary Opportunities Fund, LP, which will seek to primarily acquire Limited Partnership interests in mature private funds from other institutional investors. These interests are expected to largely be in Fund in which Abbott has an existing primary commitment, but may also include managers that they have been tracking, but have not previously invested. Secondary fund purchases differ from primary fund commitments in that the time to expected realization of investments is shorter and the identity of the portfolio investments are known at the time of purchase. The Fund will also opportunistically pursue direct secondaries, follow-on fundings and fund restructurings in cases where they can invest capital in assets where existing investors are seeking liquidity.
The Fund is targeting $200-250 million in commitments and has closed on approximately $172 million of LP commitments. The Fund has a four year investments to date, at notable discounts to fair value. These investments are valued at 1.3x purchase price to the Fund and currently have a 41% gross internal rate of return (before fees). These transactions, and including two recently closed deals, bring the total amount invested by the Fund to approximately $60 million. VCERA would participate in all of these investments, should the Plan make a commitment to the Fund.
The Fund has an eight year life with allowances for one-year extensions. The Fund is expecting to make 15-25 investments, which may comprise individual interests or small portfolios of private equity partnerships. The team is targeting a net internal rate of return, or “IRR”, of 15% and a 1.5x net multiple on invested capital.
Abbott Capital was founded in 1986 as an independent, private equity focused asset management firm. They have managed approximately $14 billion in investments to more than 400 private equity funds over the course of the past 30 years through a combination of fund of fund and separate account products. Abbott employs approximately 50 people worldwide, including approximately 18 investment professionals and approximately 32
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MASTER PAGE NO. 195 of 227 Business Meeting Agenda - VIII.A. NEW BUSINESS: RECOMMEND TO APPROVE $25M ALLOCATION TO ABBOTT'S SECONDARY FUND OF FU...
professionals dedicated to legal, tax, operational, accounting and administrative functions. The Managing Directors average more than 16 years of service with Abbott and 21 years in the industry.
Investment Strategy
Abbott Secondary Opportunities Fund is Abbott’s first dedicated secondary fund. Prior to this, Abbott has been making secondary investments as part of its fund of fund and separate account programs over the past 30 years with strong results. Abbott’s investment strategy is to leverage its network of existing private equity fund relationships to source attractive secondary investment opportunities in the following categories:
1) Limited partnership interests (either individually or in small portfolios), 2) End of fund life follow-on capital in select portfolio companies, 3) Secondary direct purchases, 4) GP/fund restructurings, and 5) LP tender offers.
Over a four year investment period, Abbott expects to make 15 to 25 secondary investments providing diversified exposure across a range of managers, strategies and industries. Past transactions have largely been into buyout and venture/growth related funds. By size, more than half of the Firm’s prior secondary investments have been $5 million or less, with 90% being $20 million or less. Abbott prefers these small transactions, as they believe that they are less competitive transactions, which can translate into more attractive purchase prices.
Abbott believes it will be able to take advantage a combination of relationship, information and investment focus advantages to execute its secondary investment strategy.
Selection Process
NEPC meets regularly with a large number of secondary fund managers in an effort to identify the attractive funds within a particular market segment. Throughout 2016 and 2017, NEPC met with several leading candidates that were 1) in the market; 2) offered an experienced and successful team in the strategy; and 3) provided a well-diversified portfolio. Abbott’s experience in secondaries combined with their existing contract with VCERA for private equity investments makes them an attractive option for VCERA.
Portfolio Fit
VCERA has a long-term target allocation to private equity of 10% and began investing in the private equity asset class in 2010. As of June 30, 2017, the private equity allocation was at 4.2% of plan assets. In 2017, VCERA selected Abbott to manage its private equity program, which is expected to make a combination of primary fund commitments, secondary investments and direct co-investments. It is expected that additional commitments will be made with other private equity managers in addition to Abbott, in areas that are complimentary. With VCERA’s investment program with Abbott starting in mid-2017, the commitment to the Fund is expected to provide additional exposure to prior vintage years in a diversified portfolio of private equity investments. With the Fund investing primarily in
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mature interests, we expect that distributions will occur more quickly than in a typical primary fund commitment, which is reflected in the Fund having an eight year expected life. We believe that Abbott has the necessary experience and relationships within the industry to successfully execute this secondary fund strategy.
Positives
Experienced Team: Abbott has a team of 18 investment professionals, most of who at the senior level have worked together for 10+ years. This consistency, combined with the longevity of their investment experience, provides them with a high level of experience and wide range of industry contacts which are critical to the successful execution of the secondary investment strategy.
Modest Fund Size: Abbott is targeting approximately $200-$250 million for the Secondary Opportunities Fund, which translates into approximately $50-$60 million of annual transactions. Abbott’s pipeline has identified more than $10 billion of annual deal flow in each of the past two years, of which they have evaluated approximately 100 deals per year and investing in four deals per year. This large pipeline allows them to be highly selective on deals that they want to pursue and in their bidding strategies.
Track Record: Abbott has been investing in secondary transactions as a compliment to its existing fund of fund and separate account programs. While the Secondary Opportunities Fund will be its first stand-alone secondary fund, Abbott has generated annualized since inception net returns on its past secondary investments of 18.4%.
Focus on Small Transactions: Abbott’s investment strategy is to focus primarily on small transactions to avoid broad auctions and source opportunities where the Firm’s unique investment insight gives them an investment advantage. More than half of the Firm’s prior secondary transactions were of $5 million or less, with 90% being less than $20 million. We believe that this small transaction focus will help to limit the competition that Abbott faces for transactions.
Negatives
High Equity Valuations: Secondary investment strategy returns are driven by acquiring assets at discounts to fair value and by appreciation and income realized following the purchase. By many metrics, public and private equity valuations in the US are above historical averages. Should this condition persist during the Fund’s investment period, while it may enhance the level of early distributions, it may limit the amount of post-purchase appreciation by the Fund’s investments and leave acquired asset valuations susceptible to an economic downturn. The Fund can help to mitigate this risk by keeping its investment pacing relatively evenly distributed across the Fund’s investment period.
First Dedicated Secondary Fund: This is Abbott’s first dedicated secondary fund. Managing a dedicated secondary mandate places pressure on the team to source and invest a pre-determined amount of secondary capital over the next three to four years, which is different than the purely opportunistic nature of its past secondary investments. This risk is partially mitigated by the modest fund size and large pipeline of potential deals. While we believe the team is experienced and have successfully executed more than 40 prior
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secondary transactions with strong results, they do not have as much secondary transaction experience as other dedicated secondary fund managers.
Terms
The management fees for the Abbott Secondary Opportunity Fund will be charged on an invested capital basis (not committed capital) during the investment period of the Fund and as investments are being harvested. The management fee rate being charged by Abbott is competitive with or below those of other comparable strategies. For the proposed investment of $25 million, the management fee would be 75 basis points.
Conclusion
As VCERA continues toward its 10% long-term target allocation to private equity, Abbott Secondary Opportunities Fund provides the Plan with (i) additional vintage year, geography, and strategy diversification; (ii) access to attractively priced investments and (iii) a source for speedy asset deployment and potentially attractive returns on a net multiple and net IRR basis. NEPC recommends the Plan give consideration to making a $25 million commitment to Abbott Secondary Opportunities Fund, LP.
MASTER PAGE NO. 198 of 227 Business Meeting Agenda - VIII.B. NEW BUSINESS: RECOMMENDATION FROM AD-HOC COMMITTEE TO APPROVE TECHNICAL ASPECTS OF ...
November 20, 2017
Board of Retirement Ventura County Employees’ Retirement Association 1190 South Victoria Avenue, Suite 200 Ventura, CA 93003
SUBJECT: FUND OF ONE IMPLEMENTATION
Dear Board Members:
At the Board meeting of November 6, 2017, the Board Chair appointed VCERA Trustees Wilson, Sedell, and Goulet to an ad-hoc committee to consider various technical, business and legal issues around implementation of the “fund of one” vehicle approved by the Board. The first issue considered by the ad-hoc committee was the selection of a name for the vehicle. The committee members agreed to the use of the name “Buenaventure One, LLC” or a name similar thereto, for the fund of one vehicle.
A second issue considered by the ad-hoc committee was the requirement for a second investor (note that VCERA is the first investor). Abbott will not make any capital commitment to the fund or receive any additional economic benefits (beyond those already agreed to in our investment management agreement with Abbott) as a result of using the fund of one.
Abbott will serve in an administrative role, overseeing functions such as auditing and tax preparation, capital calls, distributions, and other duties that Abbott performs for VCERA’s other investments. Since this fund of one vehicle will consist of a general partner/manager (Abbott) that will not be making any financial contribution to the entity and a limited partner/member that is a government entity (VCERA), a second limited partner/member is needed in order to comply with certain legal and tax requirements.
In Abbott’s place, the committee approved the creation and use of a VCERA wholly owned and controlled limited liability company (LLC) as the second investor, with a maximum allocation of 1% to the fund of one vehicle. The committee members agreed to the use of the name “Buenaventure Two, LLC” or a name similar thereto, for this limited liability company. It was noted that although VCERA’s wholly owned LLC will be required to file and pay corporate taxes, the amounts are not expected to be significant, and the total costs will be lower than fees and carried interest expected to be paid to a general partner/manager in a similar role.
Finally, the committee considered the assignment of responsibilities for reporting, regulatory filings, and payment of taxes and expenses, on an annual basis, as necessary. It was approved that these responsibilities would be coordinated by staff, legal counsel, and Abbott (pursuant to the Investment Management and Private Equity Consultant Services Agreement dated June 29, 2017). Any documents related to the fund of one and the wholly owned LLC could be signed by VCERA’s Board Chair, Retirement Administrator, or Chief Investment Officer.
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MASTER PAGE NO. 199 of 227 Business Meeting Agenda - VIII.B. NEW BUSINESS: RECOMMENDATION FROM AD-HOC COMMITTEE TO APPROVE TECHNICAL ASPECTS OF ...
Fund of One implementation November 20, 2017
IT IS RECOMMENDED THAT THE BOARD:
1. Approve the name “Buenaventure One, LLC” or a name similar thereto, for VCERA’s fund of one vehicle. 2. Approve the creation and use of a VCERA wholly owned and controlled limited liability company (LLC) as a second limited partner in VCERA’s fund of one, and authorize the Board Chair, Retirement Administrator or Chief Investment Officer to approve and execute any necessary documents related thereto. 3. Approve the name “Buenaventure Two, LLC” or a name similar thereto, for the LLC. 4. Authorize staff to coordinate with Abbott and legal counsel to calendar and prepare for approval and execution by VCERA’s Board Chair, or Retirement Administrator, or Chief Investment Officer the subsequent reporting, regulatory filings, and payment of taxes and expenses, on an annual basis, as necessary.
Respectfully submitted,
VCERA Board Ad Hoc subcommittee members: Art Goulet Bill Wilson Mike Sedell
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MASTER PAGE NO. 200 of 227 Business Meeting Agenda - VIII.C. NEW BUSINESS: ACTUARIAL AUDIT PRESENTATION FROM GRS
Ventura County Employees’ Retirement Association Actuarial Audit of the June 30, 2016 Actuarial Valuation, the July 1, 2011 through June 30, 2014 Actuarial Experience Study, and the June 30, 2015 Economic Actuarial Assumption Review
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November 10, 2017
Board of Retirement Ventura County Employees’ Retirement Association 1190 S. Victoria Avenue, Suite 200 Ventura, CA 93003-6572
Attention: Ms. Linda Webb
Re: Actuarial Audit
Dear Board Members:
Gabriel, Roeder, Smith & Company (GRS) is pleased to present this report of an Actuarial Audit of the July 1, 2016 Actuarial Valuation, the July 1, 2011 through June 30, 2014 Experience Study and the June 30, 2015 Economic Actuarial Assumption Review of the Retirement System administered by the Ventura County Employees’ Retirement Association (VCERA). We are grateful to VCERA Staff for their cooperation throughout the actuarial audit process. In addition, we wish to thank John Monroe and Paul Monroe of Segal (retained actuary) for their assistance with this project.
The actuarial audit has several related objectives:
Review of the data used by the retained actuary; Review of the benefits modeled in the valuations as they compare to the benefits actually provided by Statute and described in the member handbooks; Completion of a parallel actuarial valuation; Review of the reasonableness of results of the most recent actuarial valuation; Review of the Association’s current actuarial funding methods and funding policies; Review of assumptions used by the retained actuary and the experience study on which the assumptions were based; Review of the presentation of the valuation results (as contained in the valuation report); and A statement of the professional qualifications and overall performance of the retained actuary with regard to the practices prescribed by the Actuarial Standard Boards.
The actuarial audit began with a review of the valuation report, experience study, member handbooks, and the County Employees Retirement Law of 1937 (CERL). The actuarial audit also consisted of a parallel June 30, 2016 valuation and a review of the July 1, 2011 through June 30, 2014 experience study and the June 30, 2015 review of economic assumptions. It is possible for critical or material issues that are not apparent in the review of valuation reports to be identified in the parallel valuation process. It is also important to keep in mind that an actuarial audit is not guaranteed to find all existing material issues.
Our review found no critical issues. We have, however, identified several issues for VCERA and the retained actuary to consider.
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Ventura County Employees’ Retirement Association November 10, 2017 Page 2
The results of the audit are subdivided into the following categories:
Parallel Valuation and Review o Member Data o Summary of Plan Provisions o Parallel Valuation o Funding and Asset of Methods o Funding Policy Review of Experience Study and Actuarial Assumptions Review of Reports
In our opinion, the retained actuary’s work provides a fair and reasonable assessment of the financial position of VCERA. We are pleased to report that we have found no critical issues in the retained actuary’s work in the VCERA parallel valuation and experience study review. The issues that we have identified are believed to collectively have less than a 1% difference in total VCERA liabilities and less than a 2% difference in the total VCERA normal costs.
The actuaries submitting this report are Members of the American Academy of Actuaries (MAAA) as indicated, and meet the Qualification Standards of the American Academy of Actuaries to render the actuarial opinions contained herein.
Respectfully submitted,
David T. Kausch, FSA, EA, FCA, MAAA, PhD Senior Consultant & Actuary
Brad Lee Armstrong, ASA, EA, FCA, MAAA
Abra D. Hill, ASA, MAAA
Derek Henning, ASA, MAAA
DTK/BLA/ADH/DH:bd
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Table of Contents
Page Transmittal Letter
Executive Summary A-1 to A-3
Parallel Valuation and Review B-1 to B-5
Review of Experience Studies and Actuarial Assumptions C-1 to C-6
Review of Actuarial Valuation D-1
Ventura County Employees’ Retirement Association – Actuarial Audit
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SECTION A EXECUTIVE SUMMARY
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Executive Summary
Background
Gabriel, Roeder, Smith & Company (GRS) was asked to perform an actuarial audit of the work performed by Segal (retained actuary) for the Ventura County Employees’ Retirement Association (VCERA).
We audited the following VCERA actuarial reports:
Actuarial Valuation and Review as of June 30, 2016 issued December 20, 2016 Actuarial Experience Study During the period July 1, 2011 through June 30, 2014 issued April 14, 2015 Review of Economic Actuarial Assumptions for the June 30, 2015 Actuarial Valuation issued April 14, 2015
We also performed a full replication actuarial valuation for VCERA as of June 30, 2016 using the assumptions, methods and data that Segal Consulting used.
In short, our findings can be classified in the following categories:
Parallel Valuation and Review Review of Experience Studies and Actuarial Assumptions Review of Reports
Parallel Valuation and Review Findings
Although it can be very difficult to match another actuary’s results precisely in a review, the parallel valuation results were generally within an acceptable range of reasonableness with the current actuary’s results.
GRS Segal Difference % Variation
Actuarial Accrued Liability $ 5,363,379,000 $ 5,398,756,000 $ (35,377,000) -0.66% Total Employer Cost (% Pay) 26.98% 27.52% -0.54% -1.96%
In general, we found the actuarial funding, valuation asset methods, and actuarial assumptions to be within generally acceptable ranges of practice and meet the requirements of the Actuarial Standards of Practice (ASOP).
Presented below are the main recommendations/comments that we would like to draw your attention to:
The retained actuary’s numerical results were reproducible within acceptable tolerance ranges. The biggest differences are in the development of the Normal Cost and the amortization of the Unfunded Actuarial Accrued Liability (UAAL). Differences in these areas are common due to variances in software and methodologies employed by actuarial firms.
Ventura County Employees’ Retirement Association – Actuarial Audit A-1
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Executive Summary
Review of Experience Study and Actuarial Assumptions Findings
We found the experience study to be understandable and thorough. In general, we agreed with the recommendations of the retained actuary. We recommend review of the following items:
Expand discussions of rationale; Continue to monitor the assumed rate of return; Consider updating the mortality and mortality improvement assumptions; Continue to monitor the Tier II retirement rates as more experience becomes available; Monitor the wage increase assumption for reciprocal transfers; Separate commencement age for deferred vested members and transfers.
Review of Reports Findings
We found that the documentation and disclosure in the valuation report was reasonably complete.
Our specific recommendations for the valuation report are detailed in the Review section and include:
Showing the Normal Cost and the Actuarial Accrued Liabilities by decrement; Consider adding a table containing the distribution of forms of payment elected by current retirees; Consider adding a description of decrement timing and pay increase timing; We recommend a thorough discussion of what the expectation of the contribution basis is for the employer; Describe the adjustments made to the member payroll provided by VCERA; Projected payrolls consistent with those used to develop plan liabilities should be shown for the rate development for each subcategory (Total Normal Cost, Employer NC, Member Contribution Rate, Unfunded Liability, and Administrative Expense); We recommend an aggregate amortization schedule be presented to demonstrate the projected retirement of the debt; Include other disclosures as required or soon to be required under Actuarial Standards of Practice and described in Section D.
Ventura County Employees’ Retirement Association – Actuarial Audit A-2
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Executive Summary
Our specific recommendations for the experience study report are detailed in the Review section and include:
Include more exposure or credibility information in charts or graphs More discussion of rationale Pursue better data as legacy systems are replaced with newer technologies
Retained Actuary Qualifications
Paul Angelo and John Monroe of Segal Consulting signed or were listed on all of the documents provided to us for the purpose of conducting our actuarial audit.
We consider these reports and documents to be Actuarial Communications and Statements of Actuarial Opinion, as provided under the Qualification Standards and the Actuarial Standards of Practice promulgated by the American Academy of Actuaries.
Segal Consulting is an independent actuarial and consulting firm, with an excellent reputation and a significant actuarial practice in public retirement systems, particularly in California.
Paul Angelo represents being a Fellow of the Society of Actuaries, a Fellow of the Conferences at Consulting Actuaries, a Member of the American Academy of Actuaries and an Enrolled Actuary.
John Monroe represents being an Associate of the Society of Actuaries, a Member of the American Academy of Actuaries and an Enrolled Actuary.
We have validated the Specialists’ credentials by reference to the Actuarial Directory as found on the Society of Actuaries’ website, and the Roster of Active Enrolled Actuaries as of June 1, 2017, as found on the IRS.gov website.
Paul Angelo and John Monroe acknowledge meeting the Qualification Standards as promulgated by the American Academy of Actuaries to render the actuarial opinions given in the actuarial reports, studies and reviews.
We conclude that Mr. Angelo and Mr. Monroe are appropriately qualified to perform the actuarial retainer services for VCERA.
Conclusion
GRS has made several recommendations throughout the report. These recommendations are summarized in the Executive Summary, but we suggest that VCERA and the retained actuary review the entire report to read expanded discussions and determine what changes should be made for future valuations.
Ventura County Employees’ Retirement Association – Actuarial Audit A-3
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SECTION B PARALLEL VALUATION AND REVIEW
MASTER PAGE NO. 209 of 227 Business Meeting Agenda - VIII.C. NEW BUSINESS: ACTUARIAL AUDIT PRESENTATION FROM GRS
Member Data
We received the member data directly from Segal Consulting. All relevant data was included in the member data. The data files used by Segal Consulting in the valuation included minor data edits based on routine questions to VCERA during the data collection process. The valuation data as provided does not appear to have any material defects.
Summary of Plan Provisions
The Summary of Plan Provisions in the valuation report appears to be consistent and relatively complete when compared to the handbook and statutes. We recommend consideration be given to the following possible additions:
A brief description of the various optional forms of payment available to retirees. Describe more clearly death benefits for a deferred retirement.
Parallel Valuation Results
In our opinion, given good data and accurate plan provisions, the most important aspect of an actuarial audit is to reproduce the present value of future benefits.
To verify the accuracy of the retained actuary’s valuation results, GRS performed an independent July 30, 2016 valuation of the VCERA using the “scrubbed data” of the retained actuary. The replication uses the same methods and procedures that were used by the retained actuary. The results show that the retained actuary’s numerical results are reproducible within acceptable tolerance ranges.
Once the present value of future benefits has been fairly reproduced, the next most important aspect of an actuarial audit is to ensure that the retained actuary is following a prudent plan to fund the present value of future benefits. This is accomplished by the determination of the normal cost and the amortization of the unfunded actuarial accrued liability.
A comparison of major results is shown on the following pages.
Ventura County Employees’ Retirement Association – Actuarial Audit B-1
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July 30, 2016 Valuation Results Comparison
Development of Unfunded Liabilities
TOTAL VCERA GRS Segal % Variation Present Value of Future Benefits Active Member Benefits $ 3,236,560,000 $ 3,256,058,000 -0.60% Vested Terminated Benefits 145,485,000 145,994,000 -0.35% Retiree Benefits 3,072,220,000 3,065,942,000 0.20% Total Present Value of Future Benefits $ 6,454,265,000 $ 6,467,994,000 -0.21%
Actuarial Accrued Liability Total Present Value of Future Benefits $ 6,454,265,000 $ 6,467,994,000 -0.21% Present Value of Future Normal Cost $ 1,090,886,000 $ 1,069,238,000 2.02% Actuarial Accured Liability $ 5,363,379,000 $ 5,398,756,000 -0.66% Actuarial Value of Assets $ 4,585,713,000 $ 4,585,713,000 0.00% Net (Surplus)/Unfunded $ 777,666,000 $ 813,043,000 -4.35%
Since we believe matching the present value of future benefits is the most important objective of an actuarial audit, our results are extraordinarily close to Segal, causing us to believe we have met this objective.
Comparison of Normal Cost
GRS Segal Total Normal Cost Difference % Variation General Tier 1 21.42% 21.47% -0.05% -0.23% General Tier 2 14.43% 14.22% 0.21% 1.48% General PEPRA Tier 2 13.70% 13.92% -0.22% -1.58% General Tier 2C 17.25% 16.93% 0.32% 1.89% General PEPRA Tier 2C 16.23% 16.56% -0.33% -1.99% Safety 30.36% 31.86% -1.50% -4.71% Safety PEPRA 28.67% 28.84% -0.17% -0.59% All Categories Combined 19.29% 19.47% -0.18% -0.92%
Ventura County Employees’ Retirement Association – Actuarial Audit B-2
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July 30, 2016 Valuation Results Comparison
Development of Amortization Payment
Total VCERA Segal Outstanding Years Date Established Source Initial Amount Balance Remaining Payment June 30, 2004 Restart of Amortization $ 323,444,000 $ 128,614,000 3 $ 46,283,000 June 30, 2005 Actuarial (Gain)/Loss 48,849,000 24,435,000 4 6,718,000 June 30, 2006 Actuarial (Gain)/Loss 1,358,000 800,000 5 179,000 June 30, 2006 Assumption Change 102,790,000 60,545,000 5 13,564,000 June 30, 2006 Plan Provision Change 14,731,000 8,671,000 5 1,943,000 June 30, 2007 Actuarial (Gain)/Loss (96,898,000) (64,588,000) 6 (12,281,000) June 30, 2008 Actuarial (Gain)/Loss (75,365,000) (55,262,000) 7 (9,172,000) June 30, 2009 Actuarial (Gain)/Loss 204,600,000 161,735,000 8 23,917,000 June 30, 2009 Assumption Change 91,252,000 72,119,000 8 10,665,000 June 30, 2010 Actuarial (Gain)/Loss 206,081,000 172,862,000 9 23,134,000 June 30, 2011 Actuarial (Gain)/Loss 38,155,000 33,538,000 10 4,112,000 June 30, 2012 Actuarial (Gain)/Loss 4,258,000 3,895,000 11 442,000 June 30, 2012 Demographic Assumption Change 123,037,000 122,216,000 16 10,397,000 June 30, 2012 Economic Assumption Change 104,278,000 103,589,000 16 8,812,000 June 30, 2013 Actuarial (Gain)/Loss 15,435,000 14,511,000 12 1,537,000 June 30, 2014 Actuarial (Gain)/Loss (87,484,000) (84,394,000) 13 (8,391,000) June 30, 2015 Actuarial (Gain)/Loss (109,606,000) (107,733,000) 14 (10,121,000) June 30, 2015 Assumption Change 218,002,000 217,943,000 19 16,424,000 June 30, 2016 Actuarial (Gain)/Loss (453,000) (453,000) 15 (41,000) $ 813,043,000 $ 128,121,000
GRS Outstanding Years Date Established Source Initial Amount Balance Remaining Payment % Variation June 30, 2004 Restart of Amortization $ 323,444,000 $ 128,614,000 3 46,274,000 -0.02% June 30, 2005 Actuarial (Gain)/Loss 48,849,000 24,435,000 4 6,717,000 -0.01% June 30, 2006 Actuarial (Gain)/Loss 1,358,000 800,000 5 179,000 0.00% June 30, 2006 Assumption Change 102,790,000 60,545,000 5 13,563,000 -0.01% June 30, 2006 Plan Provision Change 14,731,000 8,671,000 5 1,942,000 -0.05% June 30, 2007 Actuarial (Gain)/Loss (96,898,000) (64,588,000) 6 (12,280,000) -0.01% June 30, 2008 Actuarial (Gain)/Loss (75,365,000) (55,262,000) 7 (9,171,000) -0.01% June 30, 2009 Actuarial (Gain)/Loss 204,600,000 161,735,000 8 23,912,000 -0.02% June 30, 2009 Assumption Change 91,252,000 72,119,000 8 10,663,000 -0.02% June 30, 2010 Actuarial (Gain)/Loss 206,081,000 172,862,000 9 23,130,000 -0.02% June 30, 2011 Actuarial (Gain)/Loss 38,155,000 33,538,000 10 4,111,000 -0.02% June 30, 2012 Actuarial (Gain)/Loss 4,258,000 3,895,000 11 442,000 0.00% June 30, 2012 Demographic Assumption Change 123,037,000 122,216,000 16 10,395,000 -0.02% June 30, 2012 Economic Assumption Change 104,278,000 103,589,000 16 8,812,000 0.00% June 30, 2013 Actuarial (Gain)/Loss 15,435,000 14,511,000 12 1,535,000 -0.13% June 30, 2014 Actuarial (Gain)/Loss (87,484,000) (84,394,000) 13 (8,390,000) -0.01% June 30, 2015 Actuarial (Gain)/Loss (109,606,000) (107,733,000) 14 (10,119,000) -0.02% June 30, 2015 Assumption Change 218,002,000 217,943,000 19 16,421,000 -0.02% June 30, 2016 Actuarial (Gain)/Loss (35,830,000) (35,830,000) 15 (3,196,000) 7695.12% $ 777,666,000 $ 124,940,000 -2.48%
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July 30, 2016 Valuation Results Comparison
Comparison of Employer Contributions GRS Segal Estimated Annual Estimated Annual Employer Contribution Rates Rate Amount Rate Amount % Variation General Tier 1(1) 23.96% 1,875 24.40% 1,910 -1.80% General Tier 2 16.35% 35,097 16.54% 35,503 -1.15% General PEPRA Tier 2 16.00% 5,629 16.39% 5,776 -2.38% General Tier 2C 20.52% 44,362 20.72% 44,794 -0.97% General PEPRA Tier 2C 19.87% 12,740 20.50% 13,149 -3.07% General Combined 18.53% 99,702 18.79% 101,132 -1.38% Safety(1) 54.16% 84,172 55.66% 86,496 -2.69% Safety PEPRA 52.66% 6,559 53.49% 6,663 -1.55% Safety Combined 54.05% 90,731 55.50% 93,159 -2.61% All Categories Combined 26.98% 190,433 27.52% 194,291 -1.96%
Average Member Contribtution Rates General Tier 1 10.57% 828 10.60% 830 -0.28% General Tier 2 7.21% 15,486 7.11% 15,265 1.41% General PEPRA Tier 2 6.85% 2,409 6.96% 2,453 -1.58% General Tier 2C 9.84% 21,285 9.74% 21,061 1.03% General PEPRA Tier 2C 9.48% 6,078 9.59% 6,152 -1.15% Safety 14.52% 22,561 15.27% 23,730 -4.91% Safety PEPRA 14.33% 1,786 14.42% 1,796 -0.62% All Categories Combined 9.98% 70,433 10.10% 71,287 -1.19%
GRS - Segal Projected Total Compensation % Variation - General Tier 1 7,830 - 7,830 0.00% - General Tier 2 214,683 - 214,696 -0.01% - General PEPRA Tier 2 35,169 - 35,238 -0.20% - General Tier 2C 216,231 - 216,231 0.00% - General PEPRA Tier 2C 64,125 - 64,147 -0.03% - Safety 155,400 - 155,401 0.00% - Safety PEPRA 12,455 12,457 -0.02% All Categories Combined 705,893 706,000 -0.02% (1) Employer normal cost rate was adjusted by 0.27% for General Tier 1 Members and 1.32% for Safety Members to account for the cost associated with the cessation of member contributions after 30 years of service. These rates were not audited and we relied on Segal's calculations for our comparision.
The biggest differences are in the development of the Normal Cost and the amortization of the Unfunded Actuarial Accrued Liability (UAAL). This is common in actuarial audits since different firms can take slightly different approaches to splitting the present value of future benefits.
Our calculation of the total dollar amount of the amortization of the UAAL is 2.48% lower than Segal’s. The percentage difference in amortization payments is smaller than the percentage difference in total unfunded liabilities due to the tiered amortization used in the valuation report. We relied on Segal’s calculation of the Restart of Amortization base established on July 30, 2004, and the subsequent amortization bases resulting from Plan Provision changes, Assumption changes, and Actuarial Gains and Losses, as development of those values were outside the scope of this project. This difference is within an acceptable range.
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The Projected Active Member Payroll shown on the previous page is the valuation payroll projected with ½ year of base wage inflation. This is the payroll on which the Amortization of the Unfunded Liability and the Administrative Expense are based as a percent of pay.
We understand that the County contributes on a percent of payroll basis rather than the estimated dollar amounts shown. This is best practice in our opinion due to the variable member contributions rates. Therefore, the percent of payroll contribution is more pertinent than the projected dollar amount. Segal’s calculated employer contribution rate is greater than the GRS calculated amount by 54 basis points, a variation of 1.96 %. This difference is within an acceptable range.
Actuarial Methods
Funding Method
We reviewed the funding method in the context of ASOP No. 4, Measuring Pension Obligations and Determining Pension Plan Costs or Contributions. This report was not reviewed for compliance with GASB Nos. 67 and 68.
The funding method is Entry Age Normal Cost (EANC), which is acceptable under the Actuarial Standards of Practice. This is also the most commonly used method in the public sector. This method is consistent with CERL 31453.6.
The Entry Age Normal actuarial cost method is being employed in the valuation of the VCERA.
Under this method, Normal Costs are determined for each individual participant as the level percentage of his or her payroll which will need to be contributed from his or her date of entry into the System until his or her departure from the System. The total Normal Cost for the System is the sum of all of the individual normal costs so determined.
The Actuarial Accrued Liability may be viewed as the accumulation of all prior Normal Cost payments (calculated as if the System always had its current benefit structure), less the prior benefit payments. It is usually calculated, as in your valuation, as the present value of all future benefit payments to current members, annuitants, and beneficiaries, less the present value of future Normal Cost payments for current active members.
Any difference between the Actuarial Accrued Liability and current plan assets is the Unfunded Actuarial Accrued Liability (UAAL). Differences between actual plan experience and experience expected based on the actuarial assumptions creates annual gains or losses which serve to decrease or increase the UAAL. Changes in assumptions, methodologies or benefit provisions also decrease or increase the UAAL but typically not annually. The UAAL created each year by source is amortized as a separate cost item; the UAAL, developed as part of the June 30, 2016 valuation report, is being amortized as a level percentage of payroll over closed periods ranging from 3 years to 19 years.
We believe that this funding method is appropriate for use by VCERA. The Entry Age Normal method is still the most commonly used for public sector defined benefit systems and continues to be our method of choice when we are in a position to influence the decision makers.
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Use of the level percent of pay approach to amortize the Unfunded Actuarial Accrued Liability is both common and appropriate. Absent future changes in benefits and/or assumptions, this approach should provide the most stable and most predictable pattern of cost as a percentage of payroll. However, as each separate amortization period is completed, significant swings in year-to-year contribution requirements can result.
This is not a matter of actuarial concern, although it is not always consistent with contribution rate stability; rather it can schedule contribution rate fluctuations.
Full discussion of these issues from time-to-time can help Board members (particularly new ones) to more effectively carry out their responsibilities. These comments are intended to assist the Board in their understanding of this funding method. We strongly believe that the Entry Age Normal cost method, along with level percentage of pay amortization for the UAAL, is appropriate.
We reviewed summary results from Segal Consulting and their presentations in their valuation reports. We conclude that the retained actuary is properly applying the stated actuarial method and producing appropriate contribution rates.
Asset Valuation Method
We reviewed the asset valuation method in the context of ASOP No. 44, Selection and Use of Asset Valuation Methods for Pension Valuations.
The asset smoothing method is a 5.5-year smoothing method with no mention of a corridor around the market value of assets. The Society of Actuaries Blue Ribbon Panel on Public Pension Plan Funding report recommends an asset smoothing period of five years or less. The Conference of Consulting Actuaries Public Plans Community White Paper on Public Pension Funding Policy would categorize a 5-year smoothing method with a 50% corridor as a “model” practice. If there is a corridor, it should be mentioned in Section 2, page 4 or 5.
We recommend using a corridor that forces immediate recognition of gains and losses outside the corridor as they occur. This would be offset in future years by more rapid convergence to the market value of assets resulting in less deferral of contributions needed to replenish the fund.
In our opinion, the current asset valuation method is acceptable under the Actuarial Standards of Practice.
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Funding Policy
According to the 2016 CAFR, the CERA funding policy was last reviewed with the Board in 2012. A funding policy establishes and prioritizes funding objectives and strategies.
Some good funding objectives are:
1. Provide sufficient assets to permit the payment of all benefits under CERL. 2. Maintain equity among generations of taxpayers by: a. Achieving and maintaining a Funded Ratio between 90% and 110%; b. Amortizing the Unfunded Actuarial Accrued Liability over a period approximately equal to the expected average future working lifetime of the active CERA membership; and c. Setting Funding Policy so that the Inactive Funded Ratio is expected to remain above 100%. 3. Minimize the volatility of the employer’s annual contribution rate as a percentage of covered pay by: a. Maintaining 3% of total assets as a reserve against contingencies; and b. Coordinating Funding and Investment Policies to reduce portfolio risk as the Funded Ratio improves, with the goal of taking opportunities as they present themselves. 4. Set a minimum contribution requirement of the normal cost.
The funded ratio, based on Actuarial Value of Assets, as of June 30, 2016 is 84.94% in Segal’s report. It is important to recognize that the contribution rate is designed to achieve 100% funding and return to the target range.
The amortization policy is stated on page 13 of Segal’s actuarial valuation report. The policy uses level percent-of-payroll, layered fixed period amortization by source of UAAL. Annual gains and losses and plan amendments (with the exception of retirement incentives) are amortized over 15 years, changes in actuarial assumptions or methods are amortized over 20 years, and changes due to retirement incentives will be amortized over 5 years. This is consistent with the CCA White Paper and sufficient under ASOP No. 4.
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SECTION C REVIEW OF EXPERIENCE STUDY AND ACTUARIAL ASSUMPTIONS
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Methodology
An experience study reviews the number of decrements and exposures for each demographic assumption. Segal’s methodology follows standard practice methodology and allows for actuarial judgment when exposures are “insufficient” to provide credible analysis and combining groups when independent review is not feasible. These procedures are routine in experience studies, but may result in different actuaries reaching different conclusions.
We discuss each assumption in our review below.
Economic Assumptions
We reviewed the April 14, 2015 Review of Economic Actuarial Assumptions for the June 30, 2015 Actuarial Valuation in the context of ASOP No. 27, Selection of Economic Assumptions for Measuring Pension Obligations. Since ASOP No. 27 now requires assumptions to be reasonable for each valuation, you will notice we are sometimes mentioning information that was unavailable prior to April 14, 2015, but became available by the summer of 2016.
Price Inflation
Over the last 30 years, the average increase in the Consumer Price Index (CPI) was 2.61% with a standard deviation of 1.31%. It is important not to give undue weight to recent experience. We also must consider future expectations as well. One measure is the spread between yields on U.S. Treasuries and U.S. TIPS. This calculation varies depending on the maturity selected. Moreover, there may be other influences on the result such as a risk premium on Treasuries and a liquidity premium on TIPS. Nevertheless, it is a measure easily made. The longest horizon we can use for this basis is 30 years. As of December 30, 2015, the yield on 30-year Treasuries was 3.04% and inflation index TIPS was 1.31% for a raw difference of 1.73%. This is significantly lower than past experience and noticeably below the Federal Reserve’s target inflation rate of 2.0%.
Another point of reference is the 2015 and 2016 Social Security Trustees reports, which assumed three scenarios of ultimate annual increases in CPI of 3.4%, 2.7%, and 2.0% for the low-cost, intermediate, and high-cost scenarios for 2015 and 3.2%, 2.6%, and 2.0% for 2016. The Social Security Trustees report uses the ultimate rates for their 75-year projections, much longer than the longest horizon we can discern from Treasuries and TIPS.
In their experience study, Segal made similar observations about future price inflation expectations. Segal also notes that the Board’s investment consultant uses 3.25%, which we assume is on a 30-year horizon or is based on global market expectations. Segal recommended the price inflation assumption be reduced from 3.25% to 3.00%.
The Board’s assumption of 3.00% should be compared to NEPC’s current expectations, since other economic assumptions are impacted if it has been materially lowered (e.g., more than 50%). While the assumption is within Segal’s reasonable range, we believe it is on the aggressive end of the range and may need to be lowered in the near future.
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Wage Inflation
The average wage inflation experienced from 1990 through 2015 as measured by the Social Security Administration (SSA) was 3.51% per year, 116 basis points higher than price inflation over the same period. However, the SSA also observes that the median increase in compensation from 1990 through 2015 was 3.07% per year, 72 basis points higher than price inflation over the same period. In the public sector, we have generally observed narrowing spreads between price inflation and wage inflation. We believe that the 0.50% assumption set by the Board is reasonable. While the 0.50% spread between wages and prices is reasonable, in combination with the 3.0% price inflation assumption, the 3.50% wage inflation may be high. A high wage inflation assumption has a tendency to understate level percent of payroll amortization rates (ignoring the effect the wage inflation has on the liabilities).
COLA Growth
The COLA provisions grant an increase of CPI up to 3% for General Tier 1 and Safety members, but CPI increases above 3% are “banked” for use of future increases. The Board uses 3.00% and we find this reasonable and slightly conservative.
Generally, all economic assumptions must be consistent under ASOP No. 27, Section 3.12. We acknowledge Segal’s preference for consistency over stochastic modeling.
Discount Rate
Segal’s assumed rate of return is reasonable if it meets the following criteria:
It is appropriate for the purpose of the measurement; It reflects the actuary’s professional judgment; It takes into account historical and current economic data that is relevant as of the measurement date; It reflects the actuary’s estimate of future experiences, observations of estimates inherent in market data, or a combination thereof; and It has no significant bias (i.e., it is not significantly optimistic or pessimistic), except when provisions for adverse deviation or other factors are included.
For purposes of budgeting contributions as a level percentage of payroll, the assumed rate of investment return is used as the discount rate to determine the present value of the system’s pension obligations.
The Board adopted an assumed rate of return of 7.50%. Segal’s report indicates the target asset allocation and their analysis of expected returns using a Segal’s California clients and comparing to the Board’s investment consultant NEPC. For purposes of our analysis, we survey nationally recognized investment consultants’ capital market assumptions and test the System’s target allocation with those assumptions. The eight investment consultants that participated this year are PCA, NEPC, BNY Mellon, JP Morgan Chase, RV Kuhns, Mercer, HEK, and Wilshire.
Segal stated that their expected geometric return was 7.50% with a 54% confidence level. For purposes of this analysis, Segal used 3.00% price inflation and a 5-year average of actual administrative and investment expenses.
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We attempt to use the target asset allocation to analyze the assumed rate of return, but different investment consultants often have different asset classes and certain investment strategies (such as risk parity) may be modeled in different ways. In other words, our analysis uses the eight investment consultants and should be considered an approximation only. For consistency, we use the same methodology for all eight consultants.
NEPC is one of the eight investment consultants included in our survey. A good reasonableness check of our analysis would be to compare our results from NEPC to Segal’s. In this case, we match very well. Segal shows NEPC’s real arithmetic return to be 5.13%, and GRS shows 5.24%.
We summarize the arithmetic return assumption development from the eight consultants in the table below.
Investment Expected Standard Consultant Investment Expected Expected Nominal Deviation Expected Consultant Real Actuary Nominal Plan Incurred Return Net of Expected Investment Nominal Inflation Return Inflation Return Administrative of Expenses Return Consultant Return Assumption (2)–(3) Assumption (4)+(5) Expenses (6)-(7) (1-Year) (1) (2) (3) (4) (5) (6) (7) (8) (9) 1 6.81% 2.50% 4.31% 3.00% 7.31% 0.12% 7.19% 12.82% 2 6.77% 2.20% 4.57% 3.00% 7.57% 0.12% 7.45% 11.46% 3 6.49% 1.56% 4.93% 3.00% 7.93% 0.12% 7.81% 11.60% 4 7.34% 2.26% 5.08% 3.00% 8.08% 0.12% 7.96% 11.31% 5 7.22% 2.00% 5.22% 3.00% 8.22% 0.12% 8.10% 11.81% 6 7.49% 2.25% 5.24% 3.00% 8.24% 0.12% 8.12% 13.08% 7 8.09% 2.25% 5.84% 3.00% 8.84% 0.12% 8.72% 15.07% 8 8.17% 2.20% 5.97% 3.00% 8.97% 0.12% 8.85% 12.96% Average 7.30% 2.15% 5.15% 3.00% 8.15% 0.12% 8.03% 12.52%
Note that the average arithmetic return for the eight consultants is 8.03% (bottom of column (8)), which is roughly in line with Segal’s analysis under NEPC and Segal’s analysis using other California clients. Similarly, we analyze the median return as a proxy for the geometric return:
Distribution of 20-Year Average Probability of Investment Geometric Net Nominal Return exceeding Consultant 40th 50th 60th 7.50% (1) (2) (3) (4) (5) 1 5.72% 6.43% 7.15% 35.39% 2 6.21% 6.85% 7.49% 39.91% 3 6.54% 7.19% 7.84% 45.17% 4 6.74% 7.37% 8.01% 48.01% 5 6.79% 7.46% 8.12% 49.33% 6 6.61% 7.34% 8.08% 47.79% 7 6.85% 7.69% 8.54% 52.30% 8 7.36% 8.09% 8.82% 58.16% Average 6.60% 7.30% 8.01% 47.01% Ventura County Employees’ Retirement Association – Actuarial Audit C-3
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For the geometric return, the average of the 50th percentile of the eight consultants is 7.02% (bottom of column (3)). One final observation we have is that the probability of exceeding 7.50% on a 20-year horizon is 47.01%, as shown at the bottom of column (5).
In general, we concur with Segal that the assumed rate of return is not unreasonable. However, it is critical to understand the impact of price inflation in this analysis. If Segal were to use the current consensus opinion price inflation assumption of 2.25%, estimated rates of return would decrease by roughly 0.75%, which would result in a median return expectation of below 7.00%. We expect that the Board may need to lower the assumed rate of return in the near future.
Demographic Assumptions
We reviewed the demographic assumptions in the context of ASOP No. 35, Selection of Demographic and Other Non-Economic Assumptions for Measuring Pension Obligations. The demographic assumptions analyzed here are based mainly on VCERA experience.
Merit Salary Increases
Segal uses a longitudinal study for the pay longevity and merit analysis using data from both the current and prior study. A longitudinal study uses data over the entire period of study, adjusted for the effects of wage inflation, collective bargaining agreements, and management decisions. The advantage is the use of more data, whereas the disadvantage is that this can result in the appearance of periods of negative merit and seniority. An alternative to consider in future experience studies is a transverse study. A transverse study uses data at a particular point of time and analyzes the increase in pay throughout members’ careers by comparing the pay versus service with the active population. Transverse studies have the advantage that inflation uncertainty has less impact on the analysis and the disadvantage that no distinction is made for different job classifications. Transverse studies may minimize the effect of outliers and provide more robust analysis particularly in the early years of members’ careers.
The new assumptions appear reasonable and consistent with the data. For the experience study report, we would recommend including a numerical measure of the “goodness of fit” of the assumption to the data, such as a piecewise least squares measure.
Retirement Rates
For Non-PEPRA General retirement rates, Segal recommended assumptions by age. We note the experience ages 69 and 70 appears to understate recent experience, whereas ages 71 and 72 appears to overstate recent experience. We recommend more discussions of the rationale be included in the next experience study.
For Non-PEPRA Safety retirement rates, Segal recommended separate assumptions by age. We note the experience at ages 63 and 64 appears to overstate recent experience, possibly due to limited exposure.
Due to the lack of plan experience, separate rates were not developed for Tier I and Tier II retirees. Tier II members are subject to lower multipliers than Tier I members, and thus have the possibility of having longer average career length than Tier I members. It is reasonable at this early stage, when there is little experience, to use the same rates for both Tiers. It is our recommendation that the Tier II retirement experience be monitored closely to incorporate any deviations between the two actual retirement patterns quickly into the valuation.
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For General and Safety PEPRA Tiers, the only anomaly was the new rate at age 64 for General. This is another case where we recommend more discussion on rationale.
Termination Rates
Termination rates, including vested terminations, terminations with refund, and reciprocal terminations, are split between General and Safety and were analyzed on a service basis and an age and service basis. We recommend liability weighting be considered in the next experience study.
For General, we agree with Segal’s recommendation.
For Safety termination rates the observed rate at 20 years of service or more seems implausible.
The termination rates appear reasonable. We recommend a little more discussion in the report to aid in the understanding of all the assumptions being made. In particular, it may be helpful to define termination, refund, and transfer in more depth.
Reciprocal terminations must have an assumption for pay increases between the time of terminating VCERA and retiring. Segal chose to use the total pay growth assumption plus 1% for this. This is a reasonable assumption; however, we recommend checking with reciprocal employers to see if newer systems are being brought online to allow better information sharing.
The ages at which vested terminated members decide to retire were not analyzed and for General was recommended to stay at age 58, which could have been written in the text on page 29 of the experience study report. Safety was recommended to stay at age 54, which could have been mentioned on page 30. These are both reasonable assumptions.
The same commencement age assumption is used for vested terminations and members who have transferred to a reciprocating employer. It is possible that members who transfer to reciprocal employers who defer retirement longer may receive a higher benefit from VCERA since the benefit reflects their final average compensation from their reciprocating employer. We recommend that future experience studies review the commencement age for deferred vested members and transfers separately.
Disability Rates
The recommended rates and the assumed incidence of duty related cases were reasonable.
Mortality
Segal’s mortality rate recommendation is based on mortality tables and projection scales, which were not the most current available in April 2015. While these mortality rates and mortality improvement factors are somewhat reasonable (due to the significant period of projection using scale BB to year 2035), we recommend some version of the Society of Actuaries 2014 tables be proposed in the next experience study and a change to fully generational projections from static. This is a particular area of concern where we think further discussion of the rationale would have been helpful.
The current assumption for disabled mortality is a set forward of the tables used for healthy retirees. A set forward of tables for disability mortality distorts the mortality rates at older ages. We recommend an
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alternative approach for reflecting increased mortality rates for disabled retirees. It is worth noting that the RP-2014 mortality tables include rates specific to disabled retirement.
Other Demographic Assumptions
Terminal Pay
Does not appear to have been analyzed.
Family Composition
The recommendations for family composition and age differences appear reasonable.
In-Service Redemptions
Although Segal’s recommendation of 7.25% for non-PEPRA active members is reasonable, no rationale was given why it was not set between 7.38% and 7.50%.
Conclusion
We believe that the actuarial assumptions are reasonable and meet the Actuarial Standards of Practice.
We recommend review of the following items:
Expand discussions of rationale; Continue to monitor the assumed rate of return; Consider updating the mortality and mortality improvement assumptions; Continue to monitor the Tier II retirement rates as more experience becomes available; Monitor the wage increase assumption for reciprocal transfers; Separate commencement age for deferred vested members and transfers.
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SECTION D REVIEW OF ACTUARIAL VALUATION
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We reviewed the valuation and report of Segal in the context of ASOP No. 41, Actuarial Communications promulgated by the American Academy of Actuaries.
Valuation Report
Overall, we felt the report was reasonably well organized and communicated the most pertinent results clearly and concisely.
Actuarial Certification
In our opinion, the Actuarial Certification in the valuation report could benefit from explicitly adding the following:
A mention that the unfunded actuarial accrued liability should not be used as a settlement liability.
Report
We recommend a projection of contribution results and resulting contribution rates be included at least in the aggregate. This is not a trivial addition. Segal would have to provide a fee quote for such a change. We also note that ASOP 51, Assessment and Disclosure of Risk Associated with Measuring Pension Obligations and Determining Pension Plan Contributions, has been adopted. We recommend early compliance for the June 30, 2018 actuarial valuation.
Membership Information
Consider adding a table containing the distribution of forms of payment elected by current retirees. Consider adding a table containing the distribution of active member statistics by type of COLA cost-sharing.
Statement of Current Actuarial Assumptions and Methods
Consider adding a description of decrement timing and pay increase timing. Describe the adjustments made to the member payroll provided by VCERA.
Ventura County Employees’ Retirement Association – Actuarial Audit D-1
MASTER PAGE NO. 225 of 227 Business Meeting Agenda - VIII.D. NEW BUSINESS: PROPOSED BOARD CALENDAR FOR 2018
November 20, 2017
Board of Retirement Ventura County Employees’ Retirement Association 1190 South Victoria Avenue, Suite 200 Ventura, CA 93003
SUBJECT: BOARD OF RETIREMENT MEETING CALENDAR FOR 2018
Dear Board Members:
Near the end of each calendar year, the Board of Retirement adopts a meeting schedule for the following year. This schedule reflects provisions in the bylaws (last modified in 1999) that the Board meet on the 1st and 3rd Mondays of each month. The bylaws provide for meetings to be scheduled differently if approved by a majority of the Board. August is traditionally the “dark” month with no scheduled meeting and the Board has a retreat in September or October.
The meeting frequency can create difficulty when legal holidays or other factors trigger meetings on consecutive Mondays. As with the 2017 calendar, staff recommends avoiding consecutive Monday meetings to allow for better efficiency and preparation time when bringing the Board items for consideration. Bearing these factors in mind, staff has drafted the provided 2018 Board meeting calendar.
Staff will be happy to answer any questions at the November 20, 2017 business meeting.
RECOMMENDATION: APPROVE THE PROPOSED 2018 BOARD CALENDAR
Sincerely,
Linda Webb Retirement Administrator
1190 S. VICTORIA AVENUE, SUITE 200 • VENTURA, CA 93003 PHONE: 805-339-4250 • FAX: 805-339-4269 • WWW.VCERA.ORG
MASTER PAGE NO. 226 of 227 Business Meeting Agenda - VIII.D. NEW BUSINESS: PROPOSED BOARD CALENDAR FOR 2018
Disability Meetings Business Meetings Combined Meetings January 8th January 29th April 16th February 12th February 26th December 10th March 12th March 26th May 7th May 21st June 4th June 18th July 2nd July 16th September 10th September 24th October 8th October 22nd November 5th November 19th
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