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Investment Due Diligence Summary Memorandum To: Board of Trustees, Fresno County Employees’ Retirement Association From: Michael Kamell, CFA, CAIA, Senior Consultant Date: October 21, 2020 RE: Update on Investment Manager On‐Site Due Diligence In accordance with FCERA’s Due Diligence Policy, Verus is pleased to update the Board regarding ongoing due diligence efforts with respect to FCERA’s investment managers. FCERA’s policy is that on‐site due diligence should occur on a three‐year rotational basis, covering all active managers which provide reasonable liquidity for redemption. Since our last annual update on due diligence, our team has completed onsite due diligence on three of FCERA’s strategies (Western Asset, Loomis Sayles, and Eaton Vance). Given the uncertainty of the COVID‐19 pandemic and social distancing rules, on‐site visits were suspended in 2020. To accommodate, Verus made numerous schedule changes to meet with managers virtually in 2020. There were two strategies (RAE/PIMCO and IFM) with a Q2 2020 due date and two strategies with a Q3 2020 due date (Mondrian EM and Int’l Small Cap) that were deferred to Q4 2020 due to the mentioned uncertainties. There are four strategies for which the three‐year period will lapse in 2021; our team will be scheduling these meetings over the next several months. Should you have any interest in accompanying our team to any of the upcoming visits, please let us know. A copy of the most recent on‐site due diligence report for each product is included for your reference; the most recently completed reports are listed first. Note that for products listed as “N/A” this does not suggest Verus has not conducted onsite meetings, just that a write‐up has not been prepared for FCERA. Active Managers Strategy City Last Onsite Visit Next Visit Due Artisan Int'l Growth New York N/A: Q3 2020 Q3 2023 Western Asset IG Credit Pasadena Q2 2020 Q2 2023 Loomis Sayles High Yield Boston Q4 2019 Q4 2022 Eaton Vance Bank Loans Boston Q4 2019 Q4 2022 Brandywine Global Sovereign Philadelphia Q2 2019 Q2 2022 PIMCO EM Debt Newport Beach Q2 2019 Q2 2022 Invesco Core RE Dallas Q2 2019 Q2 2022 Mondrian Int'l SC Value London Q3 2017 Scheduled for Q4 2020 Mondrian EM Value London Q3 2017 Scheduled for Q4 2020 Research Affiliates/PIMCO RAFI ‐ EAFE Newport Beach Q2 2017 Scheduled for Q4 2020 IFM Infrastructure New York Q2 2017 Scheduled for Q4 2020 PIMCO StocksPLUS Small Newport Beach N/A: Hired Q1 2018 Q1 2021 RBC Access Capital MBS Toronto N/A: Hired Q4 2018 Q4 2021 T Rowe Price LC Growth Baltimore N/A: Hired Q4 2018 Q4 2021 Baillie Gifford EM Growth Edinburgh N/A: Hired Q4 2018 Q4 2021 S E A T T L E | L O S A N G E L E S | S A N F R A N C I S C O | VERUSINVESTMENTS.COM JUNE 2020 Investment Due Diligence Summary VERUSINVESTMENTS.COM Western Asset Management SEATTLE 206‐622‐3700 WA US Investment Grade Credit LOS ANGELES 310‐297‐1777 SAN FRANCISCO 415‐362‐3484 INVESTMENT DUE DILIGENCE SUMMARY – WESTERN ASSET MANAGEMENT Date Reviewed: May 6, 2020 *Scheduled onsite visit conducted as a virtual meeting due to COVID‐19* Verus Attendees Maggie Hoy, CFA, CAIA – Associate Director | Public Markets Western Asset Management Attendees Gary Slavin – Consultant Relations Derek Fan – Consultant Relations Mark Lindbloom – Portfolio Manager Kurt Halvorson, CFA – Portfolio Manager Overview Asset Class Investment Grade Fixed Income Investment Style Relative Value Firm Ownership Subsidiary of Legg Mason, Inc. *Franklin Templeton’s purchase of Legg Mason is expected to be complete by Q3 2020* Firm Assets $448 billion (as of 3/31/2020) Client Strategies ― Investment Grade Credit (9/2014 inception): $178 million (as of 3/31/2020) 1 INVESTMENT DUE DILIGENCE SUMMARY – WESTERN ASSET MANAGEMENT Onsite Description During our virtual onsite meeting on May 6, 2020, we conversed with Derek Fan, Gary Slavin, Kurt Halvorson and Mark Lindbloom. We were given a brief update on the firm and the transition between Legg Mason and Franklin Templeton, firmwide assets and flows, and the effects of COVID‐19 on the investment staff. We also discussed the philosophy and process, global strategy and positioning as it pertains to the investment mandate. Coming into 2020, the team thought that fundamentals and credit markets were relatively strong. It was the team’s view that market technicals turned very positive in credit but valuations were near post‐crisis tights with investment grade spreads around roughly 90 bps. Essentially there were some sectors facing headwinds but in general, it was the team’s view that credit was mostly in a good spot. Pre‐COVID, the team had discipline with credit valuation at these levels to manage overall risk in portfolios. Western Asset (WAMCO) took down overall risk to just below benchmark‐level given rich valuations in the asset class. In terms of missteps, the team was overweight the energy sector which experienced major weakness in the first quarter of 2020. While WAMCO did have confidence in the balance sheets and companies being upgraded, the team did not have a global pandemic, demand shock and OPEC supply shock baked into their thesis. Through the extreme market volatility in March, WAMCO spent an enormous amount of time stressing balance sheets and completing scenario analysis. This exercise helped WAMCO to recognize that the team’s energy holdings were bendable but not breakable in terms of permanent impairment. In terms of positioning, WAMCO is continuing to play defense in challenged sectors like energy. The team is not currently adding additional risk in any names that are COVID‐sensitive and considered lower quality given that the portfolio’s intention is to produce lower volatility returns. The team has been being mindful, however, about playing offense within the high quality opportunity set. In March, the team saw some of the highest quality borrowers in corporate market issue bonds that issue infrequently with significant spread concessions. WAMCO participated in the massive new issue calendar meaningfully, especially in March and April. While there is a lot of uncertainty in the market, WAMCO's thought process in investment grade credit is to invest in companies that are going to be able to navigate the uncertainty ahead. The team has invested in names such as 3M and Coca Cola in the longer end of the curve. The team continues to reduce positions in fallen angels, redeploying into A‐rated and higher credits. Team Description WAMCO utilizes a team‐based approach to portfolio management, with investment decisions made collectively following thorough discussions. The US Investment Grade (IG) Credit team is led by Ryan Brist and is a subset of the firm’s Global Credit team. Once the firm’s broad macroeconomic views are developed by the U.S. Broad Strategy Committee, the IG Credit portfolio managers are responsible for setting the strategic direction of their portfolios by establishing a risk budget and sector positioning. The IG Credit team is supported by the firm’s sector specialists who are segmented by market sector. Each of the individuals we met has been with the firm a considerable length of time and demonstrated knowledge and experience in line with expectations. We have no concerns with the investment management team or organization, especially as it relates to the U.S. IG Credit strategy. 2 INVESTMENT DUE DILIGENCE SUMMARY – WESTERN ASSET MANAGEMENT KEY INVESTMENT PROFESSIONALS MICHAEL C. BUCHANAN, CFA, DEPUTY CHIEF INVESTMENT OFFICER Michael Buchanan, deputy chief investment officer at Western Asset, joined the Firm in 2005. He previously served as managing director and head of US credit products at Credit Suisse Asset Management and as executive vice president and portfolio manager at Janus Capital Management. He also worked at BlackRock Financial Management as managing director and portfolio manager and at Conseco Capital Management as vice president and portfolio manager. Buchanan holds the Chartered Financial Analyst designation and graduated with Honors from Brown University. He holds a bachelor’s degree in economics. RYAN K. BRIST, CFA, HEAD OF U.S. INVESTMENT GRADE CREDIT, PORTFOLIO MANAGER Ryan Brist is head of US investment‐grade credit and portfolio manager at Western Asset. He has over 20 years of experience in finance. Before joining the firm in 2009, he served as chief investment officer and portfolio manager at Logan Circle Partners, LP, and co‐chief investment officer and senior portfolio manager at Delaware Investment Advisors. Previously, he was vice president of corporate bond trading at Conseco Capital Management and an analyst in corporate finance at Dean Witter Reynolds in the retail products Group. Brist, who holds the Chartered Financial Analyst designation, received a bachelor of science in finance from Indiana University. KURT HALVORSON, CFA, PORTFOLIO MANAGER Kurt Halvorson is Portfolio Manager at Western Asset. Before joining the firm in 2010, he served as a senior corporate bond manager at Aegon USA Investment Management. Prior, he was a senior trader at 40/86 Advisors, LLC and held a role as a corporate bond trader and Banc of America Securities, LLC. Halvorson, who holds the Chartered Financial Analyst designation, received a bachelor of arts in business from Covenant College. Strategy Description The $178 million U.S. IG Credit fixed income mandate managed on behalf of FCERA utilizes the Bloomberg Barclays U.S. Credit Index benchmark. The strategy incorporates both top‐down and bottom‐up approaches, emphasizing the firm’s macro‐thematic viewpoint towards risk taking. The investment team will look to allocate to sectors they identify as offering additional premium relative to other sectors for liquidity and credit risks in addition to actively rotating in and out of those sectors as fundamental and market conditions change.
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