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March 31, 2013 QUARTERLY REVIEW & PERFORMANCE MEASUREMENT REPORT for Contra Costa County Employees' Retirement Association FOR THE PERIOD ENDING March 31, 2013 May 14, 2013 © 2013, Milliman 650 California Street, 17th Floor San Francisco, CA 94108 Tel: (415) 403-1333 Fax: (415) 986-2777 TABLE OF CONTENTS MARKET OVERVIEW ............................................................................................................................................. 1 KEY POINTS .......................................................................................................................................................... 2 WATCH LIST .......................................................................................................................................................... 3 PERFORMANCE DISCUSSION ............................................................................................................................. 4 ASSET ALLOCATION .......................................................................................................................................... 10 CUMULATIVE PERFORMANCE STATISTICS .................................................................................................... 14 CLOSED END FUNDS INTERNAL RATE OF RETURN (IRR) ............................................................................. 20 AFTER-FEE CUMULATIVE PERFORMANCE STATISTICS ............................................................................... 21 CALENDAR YEAR PERFORMANCE STATISTICS ............................................................................................. 25 TOTAL FUND PERFORMANCE........................................................................................................................... 30 MANAGER REVIEWS – DOMESTIC EQUITY ....................................................................................................... 34 Ceredex ......................................................................................................................................................... 34 Deaware ........................................................................................................................................................ 36 Emerald Advisors .......................................................................................................................................... 48 Intech Large Cap Core .................................................................................................................................. 40 Pimco Stocks + .............................................................................................................................................. 42 Boston Partners ............................................................................................................................................. 44 WHV .............................................................................................................................................................. 46 Total Domestic Equity .................................................................................................................................... 48 Domestic Equity Performance and Variability ............................................................................................... 50 Domestic Equity Style Map ............................................................................................................................ 52 MANAGER REVIEWS – INTERNATIONAL EQUITY ........................................................................................... 54 Grantham, Mayo, van Otterloo & Co ............................................................................................................. 54 William Blair ................................................................................................................................................... 56 Total International Equity ............................................................................................................................... 58 MANAGER REVIEWS – GLOBAL EQUITY.......................................................................................................... 60 Artisan Partners ............................................................................................................................................. 60 First Eagle ..................................................................................................................................................... 62 Intech Global Low Vol .................................................................................................................................... 66 JP Morgan Global Opportunities ................................................................................................................... 66 Total Global Equity ........................................................................................................................................ 68 MANAGER REVIEWS – FIXED INCOME ............................................................................................................ 70 AFL-CIO Housing Investment Trust............................................................................................................... 70 Allianz Global Investors ................................................................................................................................. 72 Goldman Sachs – Core Plus ......................................................................................................................... 74 Workout Portfolio - Managed by Goldman Sachs ......................................................................................... 76 Lord Abbett .................................................................................................................................................... 78 PIMCO Total Return ...................................................................................................................................... 80 Torchlight II .................................................................................................................................................... 82 Torchlight III ................................................................................................................................................... 84 Torchlight IV .................................................................................................................................................. 86 Total Domestic Fixed Income ........................................................................................................................ 88 Domestic Fixed Income Performance and Variability .................................................................................... 90 MANAGER REVIEWS – INTERNATIONAL FIXED INCOME ............................................................................... 92 Lazard Asset Management ............................................................................................................................ 92 MANAGER REVIEWS – REAL ESTATE .............................................................................................................. 94 Adelante Capital Management ...................................................................................................................... 94 Angelo Gordon .............................................................................................................................................. 98 DLJ Real Estate Capital Partners II ............................................................................................................... 98 DLJ Real Estate Capital Partners III .............................................................................................................. 98 DLJ Real Estate Capital Partners IV .............................................................................................................. 99 Long Wharf US Growth Fund II ................................................................................................................... 100 Long Wharf US Growth Fund III .................................................................................................................. 101 Hearthstone .................................................................................................................................................. 99 Invesco Real Estate Fund I ........................................................................................................................... 99 Invesco Real Estate Fund II ........................................................................................................................ 100 Invesco International REIT ............................................................................................................................ 96 Oaktree Real Estate Opportunities Fund V ................................................................................................. 101 Sigular Guff .................................................................................................................................................. 101 Total Real Estate Diversification .................................................................................................................. 102 MANAGER COMMENTS - ALTERNATIVE INVESTMENTS .............................................................................. 103 Adams Street Partners
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