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Water and Power Employees' Retirement Plan Water and Power Employees’ Retirement Plan YTD 2017 Review October 2017 Arvin Soh – Portfolio Manager, GAM Alternative Investments Solutions Jim Ha – Portfolio Manager, GAM Alternative Investments Solutions This document is confidential and intended solely for the use of the person to whom it is given or sent and may not be reproduced, copied or given, in whole or in part, to any other person. GAM Attendee Bios Arvin Soh – Portfolio Manager Arvin Soh is a Portfolio Manager in GAM’s Alternative Investments Solutions team, responsible for their global macro and managed futures investments. Prior to joining GAM in 2005, Arvin was a manager within the pension group at Pfizer, with primary responsibility for manager selection in international equity, global macro and currency funds. Before that, he was an assistant Portfolio manager with a quantitatively based fundamental hedge fund and a vice president with Bankers Trust Asset Management focused on global markets. He holds a BA in Economics from Cornell University and an MBA from the Wharton School of the University of Pennsylvania. He is based in New York. Jim Ha - Portfolio Manager Jim Ha is a Portfolio Manager in GAM's Alternative Investments Solutions team, with a specific focus on trading strategies. Prior to joining GAM in May 2007, he worked as a senior manager covering hedge funds and fixed income investments for the Avaya Inc. corporate pension plans. Jim holds a BA in Economics from Northwestern University in Evanston, Illinois, an MBA in Finance and Management from New York University – Stern School of Business, and is a CFA charterholder. He is based in New York. 2 Table of contents Company overview WPERP Portfolio review Holdings Outlook Investment Process Appendix 3 COMPANY OVERVIEW About GAM Bringing experience, resources and institutional discipline to traditional and alternative investments GAM GAM Investment Solutions (GIS) Part of GAM Holding AG, a publicly listed company Over 25 years’ experience in fund investing with $137.1bn in assets* †† Founded in 1983 with a sole focus on asset AIS has 22 professionals working out of offices management located in New York, London and Zurich Specialist teams in the full range of asset classes Approximately $2.5 billion in assets under Over 950 employees** globally, with investment management in fund of hedge fund assets as of June centres in 30, 2017 – London – Cambridge – Milan – Zurich – Hong Kong – Lugano Specialty research teams review around 300 – New York managers per year SEC registered investment advisers and GIPS compliant firm Qualitative judgment on approximately 85%††† of the universe by number of funds GAM became a signatory of the UN Principles for Responsible Investment (PRI) in December 2014 Acquired $1.2bn European CRE private debt team Renshaw Bay*** Acquired Cantab Capital Partners, a $4.1bn UK- based multi-strategy systematic manager† Source: GAM. Past performance is not indicative of future returns. Assets under management figures as at 30 Jun 2017. *Listed on the SIX Swiss Exchange. **Staff 5 information as of Dec 31, 2016 for the GAM Holding Group. ***As of Aug 11, 2015. †As of Oct 1, 2016. †† As of Jun 30, 2017. Includes employees who are on leave. ††† As of Jun 30, 2017. GAM’s substantial global resources Deep and experienced teams Group CEO Distribution Private Control Investment Operations Function & Marketing Labelling Functions Fixed Income, L&C, Internal Audit, Distribution, Alternative Portfolio Marketing and Equity and Operations & Finance, HR, PLF Investments Management Product Absolute Return Technology Brand & Comms, Solutions & Private Clients Development Investment General Management teams No of staff 174 16 229 346 174 Group Head of GAM Investments Solutions and Chief Economist Larry Hatheway* Portfolio Portfolio Portfolio Portfolio Portfolio Portfolio Portfolio Portfolio Portfolio Manager Manager Manager Manager Manager Manager Manager Manager Risk Kier Arvin Amir Jim Julian Charles Andrea Reto Ken Boley** Soh** Madden** Ha** Howard* Hepworth* Quapp* Hintemann* Liew* Investment Research Analysts 10 GAM Operational Risk team Quant Team 8 3 Operations & Client Reporting Analysts 3 * Member MACS Investment Strategy Group ** Member AIS Investment Management Committee Source: GAM. Firm information as of 30 June 2017. Latest data available at time of production. Number of staff include permanent and investment consultant professionals. 6 Independent risk oversight Operational risk and investment risk each assessed by dedicated teams GAM Head of Risk & Governance GAM Head of Operations Head of Operational Due Diligence Quantitative Analysis Co-Managers Deputy Head of Operational Due Diligence Senior Quantitative Analysts 1 2 Operational Due Diligence Managers Quantitative Analysts 1 4 Exclusive focus on mitigating non-investment risks ● Monitor, collect and report on risk across asset classes and strategies Qualifications include accountants/auditors and lawyer ● Report on and analyse risk premia portfolios through – Daily risk reports Benefit from considerable industry experience across – Daily leverage reports – – Auditing Investment banking – Monthly performance contribution – – Risk management Trading – Monthly VaR Hold veto authority over appointing managers ● Regularly validate VaR modeling methodology due to operational concerns and results ● Highlight risk hotspots, engage with portfolio managers and escalate issues if relevant Source: GAM as at Sep 30, 2017. 7 WPERP Portfolio REVIEW Water and Power Employees’ Retirement Plan Asset Growth Portfolio Changes Amount (Retirement Fund) Initial Value Invested as of 11/29/13 $80,000,000 Net Additions/(Withdrawals) $0 Income Received $0 Market Appreciation $5,464,000 Market Value as of 9/30/17 $85,464,000 Portfolio Changes Amount (Retiree Health Benefits Fund) Initial Value Invested as of 11/29/13 $13,000,000 Net Additions/(Withdrawals) $0 Income Received $0 Market Appreciation $887,900 Market Value as of 9/30/17 $13,887,900 Source: GAM 9 Past performance is not indicative of future returns. Please see "Disclaimer" at the end of this material for important disclosures regarding the information contained herein. Water and Power Employees’ Retirement Plan Portfolio strategy ranges & objectives Investment guidelines* Objective of long-term capital appreciation with diversification of risk Long-term over a 3-5 year rolling market cycle: Return Objective: 90 day T-Bills +3% Average Annual Volatility Objective: 4-7% Correlation Objective to Russell 3000 index and MSCI AWCI ex US index: ≤0.2 Divergent Portfolio Targeted Diversification: Investment concentration ≤14% at market value and ≤ 10% at cost Fee Schedule Flat management fee – 65 bps Fund Administration fee - 10 bps Source: GAM as of Sep 30, 2016. *Based upon guidelines provided by the investor. There can be no assurance that these objectives will be realized. Investment 10 objectives do not represent a prediction of returns, volatility or a promise to deliver any particular investment goal. Actual performance and volatility may be greater or less than these objectives. Water and Power Employees’ Retirement Plan Performance from Nov 29, 2013 (inception) to Sep 30, 2017 Past performance is not indicative of future performance. Performance is provided net of fees. Source: GAM, Hedge Fund Research 11 Indices cannot be purchased directly. Please see "Disclaimer" at the end of this material for important disclosures regarding the information contained herein. Water and Power Employees’ Retirement Plan 2017 quarterly performance (%) 3.50 3.28 3.00 2.89 2.67 2.50 2.00 1.91 1.50 0.97 1.00 1.00 0.89 0.85 0.66 0.50 0.21 0.00 (0.09) (0.28) (0.50) (0.36) (0.54) (0.74) (1.00) Q1 Q2 Q3 YTD Since inception WPERP - gross WPERP - net GAM - US Treasury Bill 3 Month + 3 % Index Source: GAM, Hedge Fund Research. 12 Past performance is not indicative of future returns. Indices cannot be purchased directly. Please see "Disclaimer" at the end of this material for important disclosures regarding the information contained herein. Water and Power Employees’ Retirement Plan Performance detail for 2017 2017 (%) Jan Feb Mar Apr May Jun Jul Aug Sep Oct Nov Dec Year Water and Power Employees’ Retirement Plan -1.06 0.82 -0.03 -0.34 0.06 -0.46 -0.01 0.90 -0.23 -0.36 - net Water and Power Employees’ Retirement Plan -1.00 0.88 0.03 -0.27 0.13 -0.40 0.06 0.97 -0.17 0.21 - gross US Treasury Bill 3 Month + 3 % Index in USD 0.30 0.27 0.31 0.29 0.35 0.33 0.34 0.34 0.32 2.89 Source: GAM as of Sep 30, 2017. 13 Past performance is not indicative of future returns. Indices cannot be purchased directly. Please see "Disclaimer" at the end of this material for important disclosures regarding the information contained herein. Water and Power Employees’ Retirement Plan Performance detail for 2015 and 2016 2016 (%) Jan Feb Mar Apr May Jun Jul Aug Sep Oct Nov Dec Year Water and Power Employees’ Retirement Plan 0.51 -0.40 -1.59 0.35 -0.03 0.03 0.41 -0.27 0.05 0.23 -1.07 1.49 -0.30 - net Water and Power Employees’ Retirement Plan 0.58 -0.33 -1.52 0.41 0.04 0.09 0.48 -0.21 0.12 0.23 -1.05 1.55 0.35 - gross US Treasury Bill 3 Month + 3 % Index in USD 0.25 0.28 0.28 0.25 0.28 0.27 0.26 0.29 0.27 0.28 0.28 0.29 3.33 2015 (%) Jan Feb Mar Apr May Jun Jul Aug Sep Oct Nov Dec Year Water and Power Employees’ Retirement Plan 1.00 1.27 0.72 -0.86 1.56 -2.22 3.05 -1.27 -1.40 0.27 2.03 -0.86 3.19 - net Water and Power Employees’ Retirement Plan 1.07 1.33 0.78 -0.80 1.62 -2.15 3.11 -1.20 -1.34 0.34 2.10 -0.80 3.99 - gross US Treasury Bill 3 Month + 3 % Index in USD 0.24 0.23 0.26 0.25 0.23 0.27 0.25 0.26 0.25 0.24 0.26 0.27 3.05 Source: GAM 14 Past performance is not indicative of future returns.
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