QUARTERLY REVIEW & PERFORMANCE MEASUREMENT REPORT for Contra Costa County Employees' Retirement Association FOR THE PERIOD ENDING December 31, 2014 February 17, 2015 © 2014, 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) ............................................................................. 18 AFTER-FEE CUMULATIVE PERFORMANCE STATISTICS................................................................................ 19 CALENDAR YEAR PERFORMANCE STATISTICS ............................................................................................. 23 TOTAL FUND PERFORMANCE ........................................................................................................................... 29 MANAGER REVIEWS – DOMESTIC EQUITY Ceredex ......................................................................................................................................................... 33 Emerald Advisors ........................................................................................................................................... 35 Intech Large Cap Core ................................................................................................................................... 37 Jackson Square Partners ............................................................................................................................... 39 Pimco Stocks + Absolute Return ................................................................................................................... 41 Robeco Boston Partners ................................................................................................................................ 43 Total Domestic Equity .................................................................................................................................... 45 Domestic Equity Performance and Variability ................................................................................................ 47 Domestic Equity Style Map ............................................................................................................................ 49 MANAGER REVIEWS – INTERNATIONAL EQUITY William Blair ................................................................................................................................................... 51 Pyrford ........................................................................................................................................................... 53 Total International Equity ............................................................................................................................... 55 MANAGER REVIEWS – GLOBAL EQUITY Artisan Partners ............................................................................................................................................. 57 First Eagle ...................................................................................................................................................... 59 Intech Global Low Vol .................................................................................................................................... 61 JP Morgan Global Opportunities .................................................................................................................... 63 Total Global Equity ......................................................................................................................................... 65 MANAGER REVIEWS – DOMESTIC FIXED INCOME AFL-CIO Housing Investment Trust ............................................................................................................... 67 Allianz Global Investors ................................................................................................................................. 69 Goldman Sachs – Core Plus .......................................................................................................................... 71 Lord Abbett .................................................................................................................................................... 73 PIMCO Total Return ...................................................................................................................................... 75 Torchlight II .................................................................................................................................................... 77 Torchlight III ................................................................................................................................................... 79 Torchlight IV ................................................................................................................................................... 81 Total Domestic Fixed Income ........................................................................................................................ 83 Domestic Fixed Income Performance and Variability ..................................................................................... 85 MANAGER REVIEWS – GLOBAL FIXED INCOME Lazard Asset Management ............................................................................................................................ 87 MANAGER REVIEWS – INFLATION HEDGING ASSETS PIMCO All Asset Fund ................................................................................................................................... 89 Wellington Real Total Return ......................................................................................................................... 91 Total Inflation Hedge ...................................................................................................................................... 93 MANAGER REVIEWS – REAL ESTATE Adelante Capital Management ....................................................................................................................... 95 Invesco International REIT ........................................................................................................................... 101 MANAGER COMMENTS – REAL ESTATE Adelante Capital Management ....................................................................................................................... 99 Angelo Gordon ............................................................................................................................................... 99 DLJ Real Estate Capital Partners II ............................................................................................................... 99 DLJ Real Estate Capital Partners III .............................................................................................................. 99 DLJ Real Estate Capital Partners IV ............................................................................................................ 100 DLJ Real Estate Capital Partners V ............................................................................................................. 100 Hearthstone ................................................................................................................................................ 100 Invesco Real Estate Fund I .......................................................................................................................... 101 Invesco Real Estate Fund II ......................................................................................................................... 101 Invesco Real Estate Fund III ........................................................................................................................ 101 Invesco Real Estate Fund IV ....................................................................................................................... 101 Invesco International REIT ........................................................................................................................... 101 LaSalle Income & Growth Fund VI ............................................................................................................... 102 Long Wharf US Growth Fund II .................................................................................................................... 102 Long Wharf US Growth Fund III and IV ....................................................................................................... 102 Oaktree Real Estate Opportunities Fund V 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