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October 2019Executive Summary
U.S. economy overview
2U.S. Economy
▪ GDP grew 1.9% in 3Q, driven mostly by personal consumption expenditures
▪ The unemployment rate rose slightly to 3.6% with 128K new jobs added
▪ CPI increased 1.7% over the trailing 12 months with core CPI at 2.4%
▪ Rumors continue to circulate on potentially lifting some of the tariffs against China, but no official agreement is in place
▪ Formal impeachment proceedings against Trump are set to go public
Odds of a recession spike
3
Based on the shape of the yield curve, the NY Fed is predicting nearly a 30% chance of a recession within the next 12 months
Source: NY Federal Reserve
0%
10%
20%
30%
40%
50%
Nov-95 Dec-97 Jan-00 Feb-02 Mar-04 Apr-06 May-08 Jun-10 Jul-12 Aug-14 Sep-16 Oct-18 Nov-20
U.S. Economy
Updated economic forecasts from the IMF
2019 Projections2019 Change in
Forecast2020 Projections
2020 Change in Forecast
United States 2.4% 0.1% 2.1% 0.2%
Euro Area 1.2% -0.1% 1.4% -0.1%
Emerging and Developing Economies
3.9% -0.5% 4.6% -0.2%
China 6.1% -0.2% 5.8% -0.3%
4
U.S. projections improve from April, while Euro area and emerging markets saw declines
Source: IMF
U.S. Economy
Month (%) Qtr (%) YTD (%) 1 Year (%) 3 Year (%) 5 Year (%) 10 Year (%)
Broad Market Indices
Blm BC Aggregate 0.3 2.4 8.8 11.5 3.3 3.2 3.7
Intermediate Indices
Blm BC Int. Gov./Credit 0.4 1.8 6.8 8.7 2.7 2.6 3.0
Government Only Indices
Blm BC Long Gov. -0.8 6.8 18.6 27.3 5.2 6.0 6.9
Blm BC Int. Gov. 0.3 1.6 5.5 7.8 2.1 2.1 2.3
Blm BC 1-3 Year Gov. 0.3 1.0 3.4 4.6 1.7 1.3 1.2
Blm BC U.S. TIPS 0.3 1.2 7.9 9.0 2.4 2.3 3.4
Credit Indices
Blm BC U.S. Long Credit 0.5 5.0 22.6 25.1 7.4 6.6 7.9
Blm BC High Yield 0.3 1.0 11.7 8.4 6.0 5.2 7.8
CS Leveraged Loan Index -0.5 -0.3 5.9 2.6 4.2 4.0 5.3
Securitized Bond Indices
Blm BC MBS 0.4 1.3 6.0 8.9 2.5 2.7 3.1
Blm BC ABS 0.3 1.2 4.4 5.6 2.3 2.2 2.7
Blm BC CMBS 0.3 2.0 9.0 11.3 3.7 3.7 5.9
Non-U.S. Indices
Blm BC Global Aggregate Hedged -0.2 1.6 8.6 10.7 3.9 3.9 4.1
JPM EMBI Global Diversified 0.3 0.6 13.3 14.3 5.1 5.4 6.9
JPM GBI-EM Global Diversified 0.9 3.0 11.6 15.0 7.4 7.2 7.8
Municipal Indices
Blm BC Municipal 5 Year 0.5 0.2 4.9 6.8 2.5 2.3 3.1
Blm BC HY Municipal 0.2 2.4 9.9 11.6 6.4 6.1 7.2
Fixed income: yield curve steepens further
5
First-phase trade agreement and Fed rate cut steepened the yield curve
Note: the local currency GBI index is unhedged and denominated in local currenciesSource: Bloomberg Barclays, Credit Suisse, JPMorgan as of October 31, 2019
Fixed Income
0%
1%
2%
3%
4%
5%
6%
7%
0 5 10 15 20 25 30
Yie
ld
Maturity (Year)
4/7/00 11/27/06 10/31/19
Yield curve inversion has largely abated
6
Previous inversions had full inversion between 2yr and 30yr
Yield Curve
Source: U.S. Treasury
Fixed Income
Peak inversion 4/7/00
Peak inversion 11/27/06
Still upward sloping
Long German yields turn positive
7
Easing trade tensions and global central bank stimulus have raised long German and Japanese yields
Global yield curves (%)
Source: Bloomberg as of October 31, 2019
Fixed Income
-1.5
-1
-0.5
0
0.5
1
1.5
2
2.5
0 5 10 15 20 25 30US Germany Japan UK SwitzerlandDenmark Australia Canada Korea Singapore
0%
2%
4%
6%
8%
10%
12%
Auto Loan Credit Card Mortgage HE Revolving Student Loan
Deteriorating consumer fundamentals?
8
Uptick in student loan, credit card, and auto loan delinquencies
Transition into Serious Delinquency (90+ Days) by Loan Type
Note: 4 Quarter Moving SumSource: NY Fed Consumer Credit Panel/Equifax, 2Q19 latest as of October 31, 2019
Fixed Income
EM growth rate projected to climb
9
Emerging countries are still growing faster than developed countries
Projected Growth of DM & EM Economies
Source: IMF as of October 2019 (updated twice a year, April and October)
Fixed Income
-4%
-2%
0%
2%
4%
6%
8%
10%
GDP Growth, DM GDP Growth, EM Curr Acc (% of GDP), DM Curr Acc (% of GDP), EM
Projected
Fixed income takeaways
Core Bonds▪ Yield curve inverted in 3Q in 2s/10s but is now upward sloping▪ Probability of another rate cut has declined, next one with over 50% chance is at 11/5/2020 meeting▪ Duration continues to provide principal protection in market corrections—growing deterioration in both consumer and
corporate fundamentals
Bank Loans & High Yield▪ Bank loan spreads slightly wider than long-term averages while high yield spreads tighter than long-term averages▪ Bank loan issuance use of proceeds towards acquisitions/LBOs still near 2007 levels, 2nd lien and CCC issuance still low▪ Leverage is still about average (a positive), offset by coverage still above average (a positive)
Emerging Markets Debt▪ Pro-business Macri’s loss to populist Fernandez in 10/27 Argentine election was largely priced in▪ Spreads have tightened in and valuations are now slightly higher than average▪ Primary fundamentals — current accounts, growth, leverage — remain favorable
Municipal Bonds▪ Muni yields are still more attractive than taxable yields for high net worth investors, as muni/Treasury ratio still above the long-
term average of 0.8▪ Pre-refunded bonds still providing best high-quality value in IG muni portfolios▪ Net negative issuance still expected for 2020, a tailwind for the asset class
10
Yield curve has steepened to mostly upward sloping due to U.S.-China first-phase trade deal and Fed rate cuts, but continued global economic slowdown concerns remain
Fixed Income
U.S. equities: The muddle along continues
11
U.S. equity index returns
Source: Morningstar Direct as of October 31, 2019
U.S. Equities
Month (%) 3-Month (%) YTD (%) 1 Year (%) 3 Year (%) 5 Year (%) 10 Year (%)
Broad Market Indices
Dow Jones 0.6 1.3 18.2 10.3 17.0 11.9 13.6
Wilshire 5000 2.2 1.9 22.7 13.5 14.5 10.5 13.6
Russell 3000 2.2 1.8 22.7 13.5 14.5 10.3 13.6
Large-Cap Market Indices
S&P 500 2.2 2.4 23.2 14.3 14.9 10.8 13.7
Russell 1000 2.1 2.0 23.1 14.2 14.7 10.5 13.7
Russell 1000 Value 1.4 1.9 19.5 11.2 10.5 7.6 12.0
Russell 1000 Growth 2.8 2.0 26.8 17.1 18.9 13.4 15.4
Mid-Cap Market Indices
Russell MidCap 1.1 0.1 23.2 13.7 12.3 8.7 13.7
Russell MidCap Value 0.5 0.9 20.1 10.1 8.9 6.9 12.9
Russell MidCap Growth 1.9 -1.1 27.6 18.9 16.8 10.9 14.8
Small-Cap Market Indices
Russell 2000 2.6 -0.4 17.2 4.9 11.0 7.4 12.3
Russell 2000 Value 2.4 1.7 15.5 3.2 8.6 6.2 11.1
Russell 2000 Growth 2.8 -2.4 18.6 6.4 13.2 8.4 13.4
Volatility has followed trade
12
Number of +/- 1% market days
Source: Bloomberg; data as of October 31, 2019
U.S. Equities
134
117
76
96
50
38 38
72
48
8
64
37
0
20
40
60
80
100
120
140
160
2008 2009 2010 2011 2012 2013 2014 2015 2016 2017 2018 2019 YTD
Num
ber
of
Daily 1
%+
Mo
ves
Value leads growth over the past three months
13
YTD factor performance
Source: Bloomberg as of October 31, 2019
U.S. Equities
-0.5%
-0.9%
0.4%0.7% 0.6%
-1.1%-0.8%
0.1%0.5%
0.7%
0.1%0.4%
-3.0%
1.3%
0.2%
1.1%
-2.4%
3.7%
0.0%
-1.9%
-3.6%-4%
-3%
-2%
-1%
0%
1%
2%
3%
4%
5%
Momentum Low Vol Value Growth Quality Size Yield
Retu
rns
Rela
tive t
o t
he R
uss
ell 1
000
Month 3Q19 YTD
Value is beginning to close the gap with growth YTD
14
Performance by P/E quintile
Source: Factset; S&P 500 as of October 31, 2019. SPY ETF used as a proxy for the S&P 500
U.S. Equities
Most Expensive Least Expensive
0.0%
2.2%3.0% 3.6% 3.8%
21.2%
24.0% 23.8% 24.5%23.6%
-5%
0%
5%
10%
15%
20%
25%
30%
P/E Quintile 1 P/E Quintile 2 P/E Quintile 3 P/E Quintile 4 P/E Quintile 5
3 Mo. YTD
Defensives lead most sectors as growth slows
15
S&P 500 sector performance
Source: Morningstar Direct as of October 31, 2019
U.S. Equities
-10%
-5%
0%
5%
10%
15%
20%
25%
30%
35%
40%
Cons. Disc. Cons. Stap. Energy Financials HealthCare
Industrials Tech Materials Comm.Serv.
Real Estate Utilities
Retu
rns
Oct 3 Mo. YTD
Despite strong markets, negative returns are normal
16
S&P 500 maximum market drawdown
Source: Bloomberg as of October 31, 2019
U.S. Equities
15.8%
6.2%
-37.4%
26.5%
15.1%
1.4%
14.8%
34.6%
13.7%
1.4%
12.0%
21.8%
-4.4%
23.2%
-7%-10%
-47%
-27%
-16%-19%
-10%-6% -7%
-12%-9%
-3%
-19%
-7%
-60%
-50%
-40%
-30%
-20%
-10%
0%
10%
20%
30%
40%
2006 2007 2008 2009 2010 2011 2012 2013 2014 2015 2016 2017 2018 2019
Retu
rns
Calendar Year Return Max. Drawdown
Equities are attractive as interest rates decline
17
Equity risk premium over time
Source: Bloomberg as of October 31, 2019; The equity risk premium is the earnings yield of the S&P 500 minus the yield on the 10-year treasury bond
U.S. Equities
-10%
-5%
0%
5%
10%
15%
20%
195
4
195
6
195
8
196
0
196
2
196
4
196
6
196
8
197
0
197
2
197
4
197
6
197
8
198
0
198
2
198
4
198
6
198
8
199
0
199
2
199
4
199
6
199
8
200
0
200
2
200
4
200
6
200
8
201
0
201
2
201
4
201
6
201
8
Equity Risk Premium S&P 500 Earnings Yield 10-Year Treasury Yield
U.S. equity takeaways
▪ Trade continued to keep a lid on equity returns, but markets are now looking forward to a resolution in “phases”
▪ A year of flat to negative earnings for the S&P 500 is all but certain
▪ Growth’s performance has started to moderate to the benefit of value-oriented investors. Only time will tell if this is the beginning of a new regime.
18U.S. Equities
Non-U.S. equities: Positive run continues
19
Gains seen in October across all non-U.S. equity indices
Source: Bloomberg as of October 31, 2019
Non-U.S. Equities
Month (%) 3-Month (%) YTD (%) 1 Year (%) 3 Year (%) 5 Year (%) 10 Year (%)
MSCI ACWI 2.7 2.4 19.4 12.6 11.3 7.1 8.8
MSCI ACWI ex. U.S. 3.5 2.9 15.5 11.3 8.1 3.8 4.9
MSCI EAFE 3.6 3.8 16.9 11.0 8.5 4.3 5.4
MSCI EAFE Local 1.7 2.7 17.6 10.5 8.5 6.4 7.5
MSCI Emerging Markets 4.2 1.0 10.4 11.9 7.4 2.9 3.8
MSCI EM Local 3.0 1.9 11.0 11.4 8.5 5.8 6.3
MSCI EAFE Small-Cap 4.5 4.8 17.2 8.8 8.6 7.4 8.1
MSCI EM Small-Cap 3.8 0.6 5.7 9.7 3.1 1.0 3.5
MSCI Frontier 0.8 -2.7 11.6 10.6 7.5 -0.2 4.0
October 2019 EAFE sector performance
20
Positive October led by Industrials & Consumer Discretionary
Source: Bloomberg
Non-U.S. Equities
2.1%
5.5%
-0.3%
0.2%
3.5%5.0% 5.7%
4.6% 3.8% 4.1%2.2%
10.3% 10.7%
16.8%
4.3%
13.2%
22.7% 21.9%
28.2%
16.0% 15.2%16.4%
-15%
-10%
-5%
0%
5%
10%
15%
20%
25%
30%
35%
Com. Serv. Cons. Disc. Cons.Staples
Energy Financials Health Care Industrials IT Materials Real Estate Utilities
Oct 2019
October 2019 EM sector performance
21
Most sectors positive in October, led by Health Care
Source: Bloomberg
Non-U.S. Equities
-0.1%
5.7%
1.6%
7.0%
3.8%
12.3%
2.5%
7.0%
1.9%
5.6%3.5%
0.9%
21.2%
9.9%
17.5%
7.1%
1.6% 1.8%
28.1%
-3.6%
11.4%
6.9%
-15%
-10%
-5%
0%
5%
10%
15%
20%
25%
30%
35%
Com. Serv. Cons. Disc. Cons.Staples
Energy Financials Health Care Industrials IT Materials Real Estate Utilities
Oct 2019
Brexit: A case of déjà vu
22Non-U.S. Equities
Oct 17th
▪ Revised withdrawal deal reached between UK and EU. Backstop renegotiated –Northern Ireland will remain part of the EU's customs union after Brexit.
Oct 19th
▪ Parliament delayed approval of the new exit deal, which triggered the Benn Act and forced PM Johnson to request an extension from the EU.
Oct 28th – 29th
▪ 10/28 – EU granted Britain another flexible extension, to January 31st.
▪ 10/29 – Motions for an early general election were approved by MPs.
Up Next
▪ 12/12 – UK general election, outcome will shape future Brexit outcome.
▪ 01/31 – Will they finally Brexit? Deal or no-Deal?
40 42 44 46 48 50 52 54
Japan
U.K.
Germany
Eurozone
Oct-19
Sep-19
Aug-19
Jul-19
Jun-19
May-19
Contractionary signs in major developed markets
23
Manufacturing PMIs trending below 50 in Germany, Japan, and U.K.
Source: Bloomberg
Non-U.S. Equities
Contraction Expansion
European growth slipping
24
Major indicators sloping downwards
Source: Bloomberg
Non-U.S. Equities
30
35
40
45
50
55
60
65
75
80
85
90
95
100
105
110
115
120
2006 2008 2010 2012 2014 2016 2018
Euro
zone M
anufa
cturi
ng
PM
I (Ind
ex L
evel)
Ind
ex L
evel
Ifo Pan Germany Business Climate (L)
European Commission Economic SentiMent Indicator Eurozone (L)
Markit Eurozone Manufacturing PMI (R)
October 2019
GDP growth estimates down across the board
0%
1%
2%
3%
4%
5%
6%
7%
World UnitedStates
EuropeanUnion
UnitedKingdom
Germany Japan EM China SouthKorea
Brazil India
Annual G
DP
Gro
wth
Rate
2018 Actual 2019 Estimate 2020 Estimate
25
Global growth is forecast at 3.0% for 2019, lowest since 2008-2009, and only Japan is expected to see accretive GDP growth
Source: International Monetary Fund, World Economic Outlook Database, October 2019
Non-U.S. Equities
German growth projections revised downward
26
2019 estimates are well below 1.0% growth rate
Source: German Federal Statistics Office, European Commission (Nov 2019), IMF (Oct 2019), Bundesbank (Jun 2019), GCEE (Nov 2019)
Non-U.S. Equities
0.4%
1.0% 1.0%
0.5%
1.2%
1.4%
0.6%
1.2%
1.3%
0.5%
0.9%
1.5%
0.0%
0.2%
0.4%
0.6%
0.8%
1.0%
1.2%
1.4%
1.6%
2018 2019E 2020E 2021E
Annual G
DP
Gro
wth
Rate
European Commission IMF Bundesbank German Council of Economic Experts Reported GDP
34% 32%39%
-53%
79%
19%
-18%
18%
-3% -2%-15%
11%
37%
-15%
10%
-10%
-24%-18%
-63%
-22%-18%
-30%
-17% -17% -17%
-27%
-13%-5%
-25%
-11%
-70%
-50%
-30%
-10%
10%
30%
50%
70%
90%
2005 2006 2007 2008 2009 2010 2011 2012 2013 2014 2015 2016 2017 2018 2019
Calendar Year Return MSCI EM Max Drawdown Average Max Drawdown
EM equity max drawdown and calendar year returns
27
Historically a double-digit down year has been followed by a double-digit up year
Source: Bloomberg as of October 2019
Non-U.S. Equities
Non-U.S. equity takeaways
▪ Most non-U.S. equity benchmarks post double digit returns YTD
▪ Returns have been the result of multiple expansion rather than earnings growth
▪ Valuations have become more expensive across equities
▪ Earnings growth and economic growth have been revised downward
▪ Central banks move to a more dovish stance in 2019 in reaction to global growth slowdown
▪ For the rest of the year we are cautious on non-U.S. equities given the poor earnings momentum and uncertainty surrounding the Brexit and U.S.-China relations.
28Non-U.S. Equities
Real estate performance snapshot
29
Core real estate still positive in 3Q, but returns continue to moderate
Sources: NCREIF, as of September 30, 2019
Real Estate
3Q19 (%) YTD (%) 1 Year (%) 3 Year (%) 5 Year (%) 10 Year (%) 10 Yr Risk (%)
NPI 1.4 4.8 6.2 6.8 8.6 9.8 2.2
Income 1.1 3.4 4.5 4.6 4.7 5.3 0.4
Appreciation 0.3 1.4 1.6 2.1 3.7 4.3 2.1
NFI-ODCE 1.3 3.8 5.6 7.3 9.3 10.9 2.9
Income 1.1 3.1 4.2 4.3 4.4 5.0 0.4
Appreciation 0.3 0.7 1.4 2.9 4.7 5.6 2.9
FTSE NAREIT All Eq. REITs 7.7 28.5 20.7 8.9 11.0 13.5 13.5
Property Type
NPI Apartment 1.2 4.0 5.4 6.0 7.7 9.8 2.8
NPI Office 1.5 4.8 6.5 6.4 7.9 8.9 2.3
NPI Industrial 3.2 9.9 13.6 13.5 13.7 12.2 2.1
NPI Retail 0.2 1.9 1.4 3.8 7.3 9.6 2.7
NPI Hotel 1.8 3.3 4.6 5.5 7.6 7.7 2.8
Geographic Sectors
NPI East 0.9 3.5 4.7 5.0 6.7 8.5 2.5
NPI Midwest 0.9 2.6 3.1 4.6 6.9 8.4 2.0
NPI South 1.5 5.2 6.4 6.9 8.7 10.0 2.1
NPI West 1.9 6.1 8.2 8.7 10.5 11.2 2.3
Real estate takeaways
▪ Lower returns are here to stay; expect total returns in the mid single-digits with emphasis on NOI over appreciation
▪ Focus on industrial, multifamily and niche (life sciences, seniors housing, self-storage) sectors; away from office and retail
▪ Retail sector continues to deteriorate leading to write downs (depreciation)
▪ Rent controls in states such as New York and California impacting apartments
▪ Increasing construction and labor costs keeping supply in check
▪ Flat to falling interest rates in 2019 is positive for real estate pricing and the cap rate spread to U.S. Treasury bonds
30Real Estate
Performance Overview - COAG
COA General Employees’ YTD Performance (Net of Fees)
32
• Global Fixed Income, U.S. Large-Cap, U.S. Small-Cap, International Equity, Emerging Markets Equity and Real Estate composites added value to the Plan
• Fixed Income, U.S Mid-Cap and Global Equity composites detracted from the benchmark
* Year-to-date performance as of October 31, 2019
COA General Employees’ Manager Contribution – YTD Performance
33
Top PerformersAbsolute
PerformanceBenchmark
Performance Strategy
Channing Capital +17.0% +15.5% U.S. Equity
Earnest Partners SCC +23.5% +17.2% U.S. Equity
Hardman Johnston +23.5% +15.5% International Equity
Earnest Partners EM +16.2% +10.4% Emerging Markets Equity
Intercontinental U.S. RE +6.1% +3.1% Real Estate
Bottom PerformersAbsolute
PerformanceBenchmark
Performance Strategy
Garcia Hamilton +7.3% +8.8% U.S. Fixed Income
MacKay Shields MCC +17.4% +23.2% U.S. Equity
* Year-to-date performance as of October 31, 2019
COA General Employees’ Asset Allocation vs Target Allocation
34
* Year-to-date performance and allocation as of October 31, 2019
Current Allocation
Target Allocation
Fixed Income Composite $301,069,295 $350,400,477
U.S. Equity Composite $702,317,927 $708,418,356
International Equity Composite $270,415,430 $274,226,460
Global Equity Composite $119,836,557 $114,261,025
Real Estate Composite $42,966,878 $45,704,410
Alternative Composite $27,190,698 $30,469,607
Cash Composite $59,683,551 $0
Performance Overview - COAP
COA Police Officers’ YTD Performance (Net of Fees)
36
• International Equity composite added value to the Plan
• Fixed Income and U.S. Equity composites detracted from the benchmark
* Year-to-date performance as of October 31, 2019
COA Police Officers’ Manager Contribution – YTD Performance
37
Top PerformersAbsolute
PerformanceBenchmark
Performance Strategy
Macquarie SCC +19.0% +17.2% U.S. Equity
Hardman Johnston +23.8% +15.5% International Equity
Intercontinental U.S. RE +5.8% +3.1% Real Estate
Bottom PerformersAbsolute
PerformanceBenchmark
Performance Strategy
Garcia Hamilton +5.8% +6.8% Fixed Income
Consequent MidCapMoM +20.2% +23.2% U.S. Equity
LMCG Investments +12.8% +18.6% U.S. Equity
* Year-to-date performance as of October 31, 2019
COA Police Officers’ Asset Allocation vs Target Allocation
38
* Year-to-date performance and allocation as of October 31, 2019
Current Allocation
Target Allocation
Fixed Income Composite $269,721,559 $280,380,906
U.S. Equity Composite $699,583,221 $712,634,803
International Equity Composite $156,169,989 $105,142,840
Alternative Composite $30,240,516 $58,412,689
Cash Composite $12,538,491 $11,682,538
Performance Overview - COAF
COA Firefighters’ YTD Performance (Net of Fees)
40
• International Equity composite added value to the Plan
• Fixed Income and U.S. Small-Cap composites detracted from the benchmark
• U.S. Large-Cap and U.S. Mid-Cap composites matched the benchmark
* Year-to-date performance as of October 31, 2019
COA Firefighters’ Manager Contribution – YTD Performance
41
Top PerformersAbsolute
PerformanceBenchmark
Performance Strategy
Hardman Johnston +23.4% +16.9% International Equity
Intercontinental U.S RE +5.4% +3.1% Real Estate
Bottom PerformersAbsolute
PerformanceBenchmark
Performance Strategy
Garcia Hamilton +7.2% +8.8% Fixed Income
LMCG Investments +12.8% +18.6% U.S. Equity
Ativo Capital +14.8% +15.5% International Equity
* Year-to-date performance as of October 31, 2019
COA Firefighters’ Asset Allocation vs Target Allocation
42
* Year-to-date performance and allocation as of October 31, 2019
Current Allocation
Target Allocation
Fixed Income Composite $171,688,699 $182,829,070
U.S. Equity Composite $418,561,402 $372,971,303
International Equity Composite $109,688,706 $138,950,093
Cash Composite $6,919,561 $0
Alternative Composite $24,457,912 $36,565,814
Transition Update COAG
COAG - Asset Allocation Considerations
44
Broad Fixed Income17.2%
Global Fixed Income5.8%
U.S. Large-Cap Core
30.5%
U.S. Mid-Cap Core7.0%
U.S. Small-Cap Core9.0%
Non-U.S. Developed Large-Cap
14.4%
Non-U.S. Small-Cap0.0%
Emerging Markets
3.6%
Global Tactical Asset Allocation
7.5%
Real Estate3.0%
Private Equity2.0%
Avg. Annualized 10 Yr. Return 6.76%
Avg. Annualized 10 Yr. Volatility
11.80%
Current Portfolio
Avg. Annualized 10 Yr. Return 7.25%
Avg. Annualized 10 Yr. Volatility
13.28%
Broad Fixed Income25.0%
Global Fixed Income0.0%
U.S. Large-Cap Core
18.0%
U.S. Mid-Cap Core
12.0%
U.S. Small-Cap Core
12.0%
Non-U.S. Developed Large-Cap
13.0%
Non-U.S. Small-Cap7.0%
Emerging Markets
8.0%
Global Tactical Asset
Allocation0.0%
Real Estate3.0%
Private Equity2.0%
Portfolio E
Source: Marquette Associates’ proprietary asset allocation software
COAG Transition: Terminate
45
Manager/Strategy Asset Class Action
Colchester Global Investors Non-U.S. Fixed Income Terminate
MacKay Shields U.S. Equity Mid-Cap Core Terminate
COAG Transition: Hire
46
Manager/Strategy Asset Class Action
BlackRock MidCap Equity
Index FundU.S. Equity Mid-Cap Core Hire
BlackRock Global Minimum
Volatility Index Fund Global Low Volatility Hire
BlackRock MSCI EAFE Small
Cap Index FundNon-U.S. Small-Cap Core Hire
COAG Transition: Retain
47
Manager/Strategy Asset Class Action
Mesirow1,4 Core Fixed Income Retain
Garcia Hamilton Core Fixed Income Retain
SSgA U.S. Aggregate Bond Index1 Core Fixed Income Retain
Morgan Stanley U.S. Equity Large-Cap Core Retain
BlackRock S&P 500 Equity Index Fund U.S. Equity Large-Cap Core Retain
Channing Capital Management2 U.S. Equity Small-Cap Value Retain
Earnest Partners U.S. Equity Small-Cap Core Retain
Legato U.S. Equity Small-Cap Growth Retain
Artisan Partners Non-U.S. Large-Cap Value Retain
Hardman Johnston Non-U.S. Large-Cap Core Retain
Earnest Partners Emerging Markets Retain
Globalt Tactical3 Global Balanced Retain
Intercontinental U.S Real Estate Real Estate Retain
JPMorgan U.S. Real Estate Real Estate Retain
Consequent Alternative Partners II Private Equity Retain
1Mesirow and SSgA U.S Aggregate Bond Index will receive an equal allocation following Colchester’s termination
3Globalt has proposed a favorable fee schedule from 0.50% on the first $50 million, 0.40% on the next $50 million and 0.35% on the balance to 0.50% on the first $50 million, 0.30% on the next $50 million and 0.25% on the balance
2Channing Capital has proposed a favorable fee schedule from 0.90% on the first $25MM, 0.80% on the next $25MM and 0.70% on the balance to 0.75% on the first $25MM, 0.65% on the next $25MM, 0.60% on the next $50MM and 0.55% on the balance
4Mesirow has proposed a favorable fee schedule of 0.35% on the first $10 million, 0.25% on the next $50 million, 0.20% on the next $150 million, 0.15% on the next $300 million, 0.125% on the next $500 million and 0.10% on the balance. Averaging a fee schedule of 0.18% versus 0.19%, representation a fee savings of ~$40,000
COAG - Outlining the transition Asset Class / Strategy Asset Class Cash Flows (+/-) Ending Market Value
Fixed Income Composite
Mesirow Core Fixed Income +$37,376,977 $114,236,683
Garcia Hamilton Core Fixed Income $77,120,841
SSgA U.S. Aggregate Bond Index Core Fixed Income +$37,376,977 $109,711,772
Global Fixed Income Composite
Colchester Non-U.S. Fixed Income -$74,753,953 $0
U.S. Equity Composite
Large Cap Composite
Morgan Stanley U.S. Equity Large-Cap Core $160,987,817
BlackRock S&P 500 Equity Index Fund U.S. Equity Large-Cap Core $-60,000,000 $233,102,976
Mid Cap Composite
MacKay Shields Mid Cap Core Fund U.S. Equity Mid-Cap Core -$108,029,159 $0
BlackRock MidCap Equity Index Fund U.S. Equity Mid-Cap Core +$108,029,159 $108,029,159
Small Cap Composite
Channing Capital Management U.S. Equity Small-Cap Value $28,048,975
Earnest Partners U.S. Equity Small-Cap Core $79,239,050
Legato U.S. Equity Small-Cap Growth $32,909,950
International Equity Composite
BlackRock Global Minimum Volatility Index Fund Global Low Volatility +$30,000,000 $30,000,000
Artisan Partners Non-U.S. Large-Cap Value $99,290,398
Hardman Johnston Non-U.S. Large-Cap Core $116,626,717
BlackRock MSCI EAFE Small Cap Index Fund Non-U.S. Small-Cap Core +$30,000,000 $30,000,000
Emerging Markets Equity Composite
Earnest Partners Emerging Markets $54,498,315
Global Equity Composite
Globalt Tactical Global Balanced $119,836,557
Real Estate Composite
Intercontinental U.S Real Estate Real Estate $25,367,897
JPMorgan U.S. Real Estate Real Estate $17,598,981
Private Equity Composite
Consequent Alternative Partners II Private Equity $27,190,698
Cash Composite $59,683,551
48
1Market values as of October 31, 2019
Transition Update COAP
COAP - Asset Allocation Considerations
50
Avg. Annualized 10 Yr. Return 6.63%
Avg. Annualized 10 Yr. Volatility
12.67%
Current Portfolio
Avg. Annualized 10 Yr. Return 7.26%
Avg. Annualized 10 Yr. Volatility
13.31%
Portfolio E
Source: Marquette Associates’ proprietary asset allocation software
Broad Fixed Income19.0% Global Fixed
Income5.0%
Cash1.0%
Broad U.S. Equity (All-Cap Core)
61.0%
U.S. Large-Cap Core
0.0%
U.S. Mid-Cap Core0.0%
U.S. Small-Cap Core
0.0%
Non-U.S. Developed Large-Cap
9.0%
Non-U.S. Small-Cap
0.0%
Emerging Markets
0.0%
Real Estate2.5% Private Equity
2.5%
Broad Fixed Income25.0%
Global Fixed Income0.0%
Cash0.0%
Broad U.S. Equity (All-Cap Core)
0.0%
U.S. Large-Cap Core
19.0%
U.S. Mid-Cap Core
12.0%
U.S. Small-Cap Core
11.0%
Non-U.S. Developed Large-Cap
14.0%
Non-U.S. Small-Cap
5.0%
Emerging Markets
9.0%
Real Estate2.5%
Private Equity2.5%
COAP Transition: Terminate
51
Manager/Strategy Asset Class Action
C.S. McKee Int. Govt. Fixed Income Terminate
Colchester Global Investors Non-U.S. Fixed Income Terminate
Consequent FlexCap
Portfolio1All-Cap Core Terminate
Consequent MidCap
Manager of Managers1Mid-Cap Core Terminate
iShares Russell Mid Cap
Value ETF1Mid-Cap Value Terminate
1Marquette Associates has notified Consequent Capital Management of its termination
COAP Transition: Hire
52
Manager/Strategy Asset Class Action
BlackRock U.S. Aggregate
Bond Index FundCore Fixed Income Hire
BlackRock Russell 1000
Index FundU.S. Equity Large-Cap Core Hire
BlackRock MidCap Equity
Index FundU.S. Equity Mid-Cap Core Hire
BlackRock Global Minimum
Volatility Index FundGlobal Low Volatility Hire
BlackRock MSCI EAFE Small
Cap Index FundNon-U.S. Small-Cap Core Hire
BlackRock MSCI Emerging
Markets IndexEmerging Markets Hire
COAP Transition: Retain
53
Manager/Strategy Asset Class Action
Mesirow1 Core Fixed Income Retain
Garcia HamiltonInt. Govt. Fixed Income to Core
Fixed IncomeRetain (Switch Strategy)
BlackRock Russell 1000 Growth
Index Fund
U.S. Equity Large-Cap Growth to
U.S. Equity Large-Cap CoreRetain (Switch Strategy)
BlackRock Russell 1000 Value Index
Fund
U.S. Equity Large-Cap Value to
U.S. Equity Large-Cap CoreRetain (Switch Strategy)
Macquarie SCC U.S. Equity Small-Cap Core Retain
LMCG Investment SCG U.S. Equity Small-Cap Growth Retain
Artisan Partners Non-U.S. Large-Cap Value Retain
Hardman Johnston Non-U.S. Large-Cap Core Retain
Intercontinental U.S Real Estate Real Estate Retain
Consequent Alternative Partners II Private Equity Retain
Pharos Capital Partners III Private Equity Retain
1Mesirow and BlackRock U.S. Aggregate Bond Index will receive an equal allocation following Colchester’s termination
COAP - Outlining the transition Asset Class / Strategy Asset Class Cash Flows (+/-) Ending Market Value
Fixed Income Composite
Mesirow Core Fixed Income +$57,017,438 $159,781,571
Garcia Hamilton Core Fixed Income $52,922,551
C.S. McKee Int. Govt. Fixed Income -$51,522,031 $0
BlackRock U.S. Aggregate Bond Index Core Fixed Income +$57,017,438 $57,017,438
Colchester Non-U.S. Fixed Income -$62,512,844 $0
U.S. Equity Composite
Consequent FlexCap Portfolio All-Cap Core -$79,122,675 $0
BlackRock Russell 1000 Growth Index FundU.S. Equity Large-Cap
Growth-$176,225,184 $0
BlackRock Russell 1000 Value Index Fund U.S. Equity Large-Cap Value -$116,836,680 $0
BlackRock Russell 1000 Index Fund U.S. Equity Large-Cap Core +$297,184,539 $297,184,539
iShares Russell Mid Cap Value ETF U.S. Equity Mid-Cap Value -$40,649,442 $0
Consequent MidCap Manager of Managers
CompositeU.S. Equity Mid-Cap Core -$144,983,598 $0
BlackRock MidCap Equity Index Fund U.S. Equity Mid-Cap Core +$185,453,040 $185,453,040
Macquarie SCC U.S. Equity Small-Cap Core $95,695,782
LMCG Investments SCG U.S. Equity Small-Cap Growth $55,454,285
International Equity Composite
BlackRock Global Minimum Volatility Index Fund Global Low Volatility +$30,000,000 $30,000,000
Artisan Partners Non-U.S. Large-Cap Value $72,065,618
Hardman Johnston Non-U.S. Large-Cap Core $84,104,371
BlackRock MSCI EAFE Small Cap Index Fund Non-U.S. Small-Cap Core +$15,000,000 $15,000,000
BlackRock MSCI Emerging Markets Emerging Markets +$30,000,000 $30,000,000
Alternative Composite
Intercontinental U.S Real Estate Real Estate $5,647,485
Consequent Alternative Partners II Private Equity $20,364,348
Pharos Capital Partners III Private Equity $4,228,683
Cash Composite $12,538,491
54
1Market values as of October 31, 2019
Transition Update COAF
COAF - Asset Allocation Considerations
56
Avg. Annualized 10 Yr. Return 7.10%
Avg. Annualized 10 Yr. Volatility
13.13%
Current Portfolio
Avg. Annualized 10 Yr. Return 7.27%
Avg. Annualized 10 Yr. Volatility
13.30%
Portfolio E
Source: Marquette Associates’ proprietary asset allocation software
Broad Fixed Income20.0%
Global Fixed Income5.0%
Broad U.S. Equity (All-Cap
Core)7.0%
U.S. Large-Cap Core
18.0%
U.S. Mid-Cap Core
14.0%
U.S. Small-Cap Core
12.0%
Non-U.S. Developed Large-Cap
10.0%
Non-U.S. Small-Cap4.0%
Emerging Markets
5.0%
Real Estate1.0%
Private Equity4.0%
Broad Fixed Income25.0%
Global Fixed Income0.0%
Broad U.S. Equity (All-Cap
Core)0.0%
U.S. Large-Cap Core
19.0%
U.S. Mid-Cap Core
12.0%
U.S. Small-Cap Core
12.0%
Non-U.S. Developed Large-Cap
15.0%
Non-U.S. Small-Cap4.0%
Emerging Markets
8.0%
Real Estate1.0%
Private Equity4.0%
COAF Transition: Terminate
57
Manager/Strategy Asset Class Action
Colchester Global Investors Non-U.S. Fixed Income Terminate
Northern Trust Russell 3000
Index FundAll-Cap Core Terminate
COAF Transition: Hire
58
Manager/Strategy Asset Class Action
BlackRock U.S. Aggregate
Bond Index FundCore Fixed Income Hire
BlackRock Global Minimum
Volatility Index FundGlobal Low Volatility Hire
COAF Transition: Retain
59
Manager/Strategy Asset Class Action
Garcia Hamilton Core Fixed Income Retain
Mesirow Core Fixed Income Retain
BlackRock Russell 1000 Index Fund U.S. Equity Large-Cap Core Retain
BlackRock Russell MidCap Equity
Index FundU.S. Equity Mid-Cap Core Retain
LMCG Investment SCG U.S. Equity Small-Cap Growth Retain
Northern Trust Russell 2000 Index U.S. Equity Small-Cap Core Retain
Ativo Capital Non-U.S. Large-Cap Core Retain
Hardman Johnston Non-U.S. Large-Cap Core Retain
BlackRock MSCI EAFE Small Cap
Index FundNon-U.S. Small-Cap Core Retain
BlackRock MSCI Emerging Markets
Index FundEmerging Markets Retain
Intercontinental U.S Real Estate Real Estate Retain
Consequent Alternative Partners II Private Equity Retain
ICV Partners III Private Equity Retain
Pharos Capital Partners III Private Equity Retain
COAF - Outlining the transition Asset Class / Strategy Asset Class Cash Flows (+/-) Ending Market Value
Fixed Income Composite
Garcia Hamilton Core Fixed Income $55,896,077
Mesirow Core Fixed Income +$20,837,571 $94,117,480
BlackRock U.S. Aggregate Bond Index Core Fixed Income +$20,837,571 $20,837,571
Colchester Non-U.S. Fixed Income -$41,675,142 $0
U.S. Equity Composite
Northern Trust Russell 3000 Index Fund All-Cap Core -$53,780,980 $0
Large Cap Composite
BlackRock Russell 1000 Index Fund U.S. Equity Large-Cap Core $162,753,511
Mid Cap Composite
BlackRock MidCap Equity Index Fund U.S. Equity Mid-Cap Core $120,909,703
Small Cap Composite
LMCG Investments SCG U.S. Equity Small-Cap Growth $24,740,257
Northern Trust Russell 2000 Index Fund U.S. Equity Small-Cap Core +$26,890,490 $83,267,442
International Equity Composite
BlackRock Global Minimum Volatility Index Fund Global Low Volatility +$26,890,490 $26,890,490
Ativo Capital Non-U.S. Large-Cap Core $31,626,619
Hardman Johnston Non-U.S. Large-Cap Core $46,946,074
BlackRock MSCI EAFE Small Cap Non-U.S. Small-Cap Core $14,111,046
BlackRock MSCI Emerging Markets Emerging Markets $17,004,967
Alternative Composite
Intercontinental U.S Real Estate Real Estate $5,647,485
Consequent Alternative Partners II Private Equity $14,545,963
ICV Partners III Private Equity $2,149,209
Pharos Capital Partners III Private Equity $2,115,255
Cash Composite $6,919,561
60
1Market values as of October 31, 2019
The sources of information used in this report are believed to be reliable. Marquette Associates, Inc. has
not independently verified all of the information and its accuracy cannot be guaranteed. Opinions,
estimates, projections and comments on financial market trends constitute our judgment and are subject
to change without notice. References to specific securities are for illustrative purposes only and do not
constitute recommendations. Past performance does not guarantee future results.
Marquette is an independent investment adviser registered under the Investment Advisers Act of 1940,
as amended. Registration does not imply a certain level of skill or training. More information about
Marquette including our investment strategies, fees and objectives can be found in our ADV Part 2,
which is available upon request.
About Marquette Associates
Marquette Associates is an independent investment consulting firm that guides institutional investment
programs with a focused client service approach and careful research. For more than 30 years Marquette
has served this mission in close collaboration with clients – enabling institutions to be more effective
investment stewards. Marquette is a completely independent and 100% employee-owned consultancy
founded with the sole purpose of advising institutions. For more information, please visit
www.marquetteassociates.com.
61
(Preliminary, Subject to Change)
October 31, 2019
City of Atlanta Firefighters
Pension Fund
Executive Summary
Pension Fund
Total Fund CompositeMarket Value: $731.3 Million and 100.0% of Fund
Marquette Associates, Inc. 1
Return Summary YTD
TotalReturn
_
Total Fund Composite 16.3%
Fixed Income Composite 7.9%
U.S. Equity Composite 20.5%
International Equity Composite 17.9%
Alternative Composite 1.9%XXXXX
Summary of Cash Flows Last Three
Months Year-To-Date One Year_
Beginning Market Value $729,094,271 $644,379,905 $676,388,789
Net Cash Flow -$6,801,772 -$28,856,169 -$28,929,378
Net Investment Change $9,023,781 $115,792,544 $83,856,869
Ending Market Value $731,316,280 $731,316,280 $731,316,280_
Asset Allocation vs. TargetCurrent Current Policy Difference %
_
Fixed Income $171,688,699 23.5% 25.0% -$11,140,371 -1.5%
U.S. Equity $418,561,402 57.2% 51.0% $45,590,099 6.2%
Non-U.S. Equity $109,688,706 15.0% 19.0% -$29,261,387 -4.0%
Real Assets $5,647,485 0.8% 1.0% -$1,665,678 -0.2%
Private Equity $18,810,427 2.6% 4.0% -$10,442,225 -1.4%
Other $6,919,561 0.9% -- $6,919,561 0.9%
Total $731,316,280 100.0% 100.0%XXXXX
Ending October 31, 2019
Asset Class Market Value($)
3 Mo NetCash Flows ($) % of Portfolio Policy % Policy Difference
($)_
Total Fund Composite 731,316,280 -6,801,772 100.0 100.0 0
Fixed Income Composite 171,688,699 -47,194 23.5 25.0 -11,140,371
Garcia Hamilton Core Fixed Income 55,896,077 -225 7.6
Mesirow Core Fixed Income 74,117,480 -432 10.1
Colchester Global Investors Non-U.S. Fixed Income 41,675,142 -46,538 5.7
U.S. Equity Composite 418,561,402 -3,000,213 57.2 51.0 45,590,099
Northern Trust Russell 3000 Index Fund All-Cap Core 53,780,980 0 7.4 7.0 2,588,840
Large Cap Composite 162,753,511 -3,000,000 22.3 18.0 31,116,581
BlackRock 1000 Index Fund Large-Cap Core 162,753,511 -3,000,000 22.3
Mid Cap Composite 120,909,703 0 16.5 14.0 18,525,424
BlackRock Mid Cap Equity Index Fund Mid-Cap Core 120,909,703 0 16.5
Small Cap Composite 81,117,208 -213 11.1 12.0 -6,640,745
LMCG Investments SCG Small-Cap Growth 24,740,257 -213 3.4
Northern Trust Collective Russell 2000 Index Small-Cap Core 56,376,952 0 7.7
International Equity Composite 109,688,706 -537 15.0 19.0 -29,261,387
Ativo Capital Non-U.S. Large-CapCore 31,626,619 -537 4.3
Hardman Johnston Non-U.S. Large-CapCore 46,946,074 0 6.4
BlackRock MSCI EAFE Small Cap Non-U.S. Small-CapCore 14,111,046 0 1.9
BlackRock Emerging Markets Free Fund Emerging Markets 17,004,967 0 2.3
Cash Composite 6,919,561 -3,774,303 0.9 0.0 6,919,561
WF Checking Account Cash & Equivalents 5,869,714 -3,742,502 0.8
Cash Account Cash & Equivalents 936,650 -31,734 0.1
Transition Account Cash & Equivalents 113,197 -67 0.0
Alternative Composite 24,457,912 20,476 3.3 5.0 -12,107,902
Intercontinental U.S. Real Estate Core Real Estate 5,647,485 -52,251 0.8
Consequent Alternative Partners II, L.P. U.S. Private Equity FoF 14,545,963 0 2.0
ICV Partners III, L.P. LBO Private Equity 2,149,209 14,423 0.3
Pharos Capital Partners III LBO Private Equity 2,115,255 58,305 0.3 XXXXX
Total Fund CompositeMarket Value: $731.3 Million and 100.0% of Fund
2 Marquette Associates, Inc.
Ending October 31, 2019
1 Mo 3 Mo YTD FiscalYTD 1 Yr 2 Yrs 3 Yrs 5 Yrs 7 Yrs 10 Yrs Inception Inception
Date_
Total Fund Composite 1.8% 1.2% 16.3% 1.8% 10.8% 5.9% 9.3% 5.9% 8.2% 9.2% 8.4% Jan-88Total Fund Policy Benchmark 1.8% 1.6% 16.8% 2.2% 11.1% 5.9% 9.4% 7.0% 9.3% 9.8% 9.1% Jan-88
Fixed Income Composite 0.5% 2.3% 7.9% 2.3% 10.1% 4.1% 3.1% 3.1% 2.5% 3.4% 5.9% Jan-88Fixed Income Composite CustomBenchmark 0.4% 2.2% 8.3% 2.3% 11.1% 4.3% 3.2% 3.2% 2.6% 3.6% 6.2% Jan-88
Garcia Hamilton 0.1% 2.2% 7.2% 2.4% 8.9% 4.3% -- -- -- -- 4.0% Dec-16BBgBarc US Aggregate TR 0.3% 2.4% 8.8% 2.6% 11.5% 4.5% 3.3% 3.2% 2.7% 3.7% 4.3% Dec-16
Mesirow 0.4% 2.3% 9.0% 2.6% 11.1% 4.3% 3.1% 3.1% 2.6% -- 3.5% May-10BBgBarc US Aggregate TR 0.3% 2.4% 8.8% 2.6% 11.5% 4.5% 3.3% 3.2% 2.7% 3.7% 3.6% May-10
Colchester Global Investors 1.5% 2.4% 7.0% 1.6% 9.9% 3.6% 2.8% -- -- -- 4.6% Jan-16FTSE WGBI TR 0.5% 1.9% 6.8% 1.4% 9.9% 3.7% 2.6% 2.0% 0.8% 1.7% 3.9% Jan-16
U.S. Equity Composite 1.9% 0.5% 20.5% 1.7% 10.6% 8.3% 12.8% 7.4% 11.2% 12.6% 11.1% Jan-88Russell 3000 2.2% 1.8% 22.7% 3.3% 13.5% 10.0% 14.5% 10.3% 13.6% 13.6% 10.6% Jan-88
Northern Trust Russell 3000 IndexFund 2.2% 1.8% 22.7% 3.3% 13.6% -- -- -- -- -- 5.9% Jan-18
Russell 3000 2.2% 1.8% 22.7% 3.3% 13.5% 10.0% 14.5% 10.3% 13.6% 13.6% 5.8% Jan-18
Large Cap Composite 2.1% 2.0% 23.1% 3.6% 14.2% 10.5% 14.3% 9.4% 12.3% 12.7% 10.7% Jan-88Russell 1000 2.1% 2.0% 23.1% 3.6% 14.2% 10.5% 14.7% 10.5% 13.8% 13.7% 10.7% Jan-88
BlackRock 1000 Index Fund 2.1% 2.0% 23.1% 3.6% 14.2% -- -- -- -- -- 9.1% Dec-17Russell 1000 2.1% 2.0% 23.1% 3.6% 14.2% 10.5% 14.7% 10.5% 13.8% 13.7% 9.0% Dec-17
Mid Cap Composite 1.1% -0.1% 19.2% 1.1% 9.1% 7.7% 11.6% 6.5% 11.4% 12.1% 7.9% Jun-98S&P 400 MidCap 1.1% -0.1% 19.2% 1.0% 9.0% 4.9% 10.8% 8.4% 12.1% 13.2% 9.7% Jun-98Russell MidCap 1.1% 0.1% 23.2% 1.5% 13.7% 8.1% 12.3% 8.7% 12.9% 13.7% 9.1% Jun-98
BlackRock Mid Cap Equity IndexFund 1.1% -0.1% 19.2% 1.1% 9.1% 5.0% -- -- -- -- 7.6% Aug-17
S&P 400 MidCap 1.1% -0.1% 19.2% 1.0% 9.0% 4.9% 10.8% 8.4% 12.1% 13.2% 7.5% Aug-17
Small Cap Composite 2.2% -2.4% 15.9% -2.0% 3.7% 4.1% 11.1% 3.2% 8.6% 13.5% 10.2% Oct-01Russell 2000 2.6% -0.4% 17.2% 0.2% 4.9% 3.4% 11.0% 7.4% 11.2% 12.3% 9.2% Oct-01
LMCG Investments SCG 1.3% -6.8% 12.8% -6.8% 0.9% 5.5% 11.9% -- -- -- 5.2% Dec-15Russell 2000 Growth 2.8% -2.4% 18.6% -1.4% 6.4% 5.3% 13.2% 8.4% 12.4% 13.4% 10.4% Dec-15
Northern Trust Collective Russell2000 Index 2.6% -0.4% 17.3% 0.2% 5.0% 3.5% -- -- -- -- 6.2% Feb-17
Russell 2000 2.6% -0.4% 17.2% 0.2% 4.9% 3.4% 11.0% 7.4% 11.2% 12.3% 6.0% Feb-17
Investment Manager Annualized Performance (Net of Fees)Market Value: $731.3 Million and 100.0% of Fund
Marquette Associates, Inc. 3
Investment Manager Annualized Performance (Net of Fees)Market Value: $731.3 Million and 100.0% of Fund
4 Marquette Associates, Inc.
Ending October 31, 2019
1 Mo 3 Mo YTD FiscalYTD 1 Yr 2 Yrs 3 Yrs 5 Yrs 7 Yrs 10 Yrs Inception Inception
Date_
International Equity Composite 4.0% 2.5% 17.9% 1.9% 15.2% 1.6% 8.9% 5.3% 6.4% -- 6.6% Jul-10International Equity CompositeCustom Benchmark 3.5% 2.9% 15.5% 1.6% 11.3% 1.0% 8.1% 4.4% 6.3% -- 6.8% Jul-10
Ativo Capital 2.0% 2.0% 14.8% 0.0% 11.1% 0.2% 5.3% -- -- -- 3.9% Jan-16MSCI ACWI ex USA 3.5% 2.9% 15.5% 1.6% 11.3% 1.0% 8.1% 3.8% 5.5% 4.9% 7.4% Jan-16
Hardman Johnston 5.2% 2.8% 23.4% 3.4% 21.6% 3.8% 12.6% 8.1% 8.9% -- 8.1% Jul-10MSCI EAFE 3.6% 3.8% 16.9% 2.5% 11.0% 1.7% 8.5% 4.3% 6.5% 5.4% 7.0% Jul-10
BlackRock MSCI EAFE Small Cap 4.5% 4.9% 17.6% 4.2% 9.4% -- -- -- -- -- -1.6% Dec-17MSCI EAFE Small Cap 4.5% 4.8% 17.1% 4.1% 8.8% 0.2% 8.6% 7.4% 9.2% 8.1% -2.1% Dec-17
BlackRock Emerging Markets FreeFund 4.2% 1.0% 10.2% -0.2% 11.7% -- -- -- -- -- -3.2% Dec-17
MSCI Emerging Markets 4.2% 1.0% 10.4% -0.2% 11.9% -1.1% 7.4% 2.9% 3.1% 3.8% -3.2% Dec-17
Alternative Composite 0.0% 0.5% 1.9% 0.5% 1.7% 6.5% 5.8% 4.4% -- -- 5.6% Dec-12
Intercontinental U.S. Real Estate 0.0% 2.3% 5.4% 2.3% 7.4% 8.9% 9.6% 10.3% -- -- 10.3% Aug-14NFI 0.0% 0.7% 3.1% 1.1% 4.1% 5.8% 6.1% 8.1% 9.2% 10.0% 8.3% Aug-14
XXXXX
Calendar Year2018 2017 2016 2015 2014 2013 2012 2011 2010 2009 2008
_
Total Fund Composite -6.4% 16.1% 8.6% -2.5% 3.8% 22.4% 13.0% 2.4% 17.1% 21.3% -21.4%Total Fund Policy Benchmark -6.5% 15.2% 9.7% -0.2% 8.7% 21.9% 13.1% 1.0% 17.3% 18.0% -18.2%
InvMetrics Public DB > $250mm NetRank 92 33 14 88 81 1 34 13 1 41 7
Fixed Income Composite -0.2% 4.4% 2.9% 0.4% 4.4% -1.9% 4.2% 6.0% 5.9% 9.8% 1.5%Fixed Income Composite CustomBenchmark -0.2% 4.4% 2.2% 0.8% 5.0% -2.0% 4.2% 7.8% 6.5% 5.9% 5.2%
InvMetrics Public DB Total Fix Inc NetRank 49 60 64 40 34 69 74 52 76 70 35
Garcia Hamilton 0.8% 3.5% -- -- -- -- -- -- -- -- --BBgBarc US Aggregate TR 0.0% 3.5% 2.6% 0.5% 6.0% -2.0% 4.2% 7.8% 6.5% 5.9% 5.2%
eV US Core Fixed Inc Net Rank 10 71 -- -- -- -- -- -- -- -- --
Mesirow -0.6% 3.4% 2.8% -0.1% 6.4% -2.3% 5.5% 7.2% -- -- --BBgBarc US Aggregate TR 0.0% 3.5% 2.6% 0.5% 6.0% -2.0% 4.2% 7.8% 6.5% 5.9% 5.2%
eV US Core Fixed Inc Net Rank 75 78 65 86 22 82 60 53 -- -- --
Colchester Global Investors -0.9% 8.2% 3.8% -- -- -- -- -- -- -- --FTSE WGBI TR -0.8% 7.5% 1.6% -3.6% -0.5% -4.0% 1.6% 6.4% 5.2% 2.6% 10.9%
eV Global Government Fixed IncNet Rank 57 30 23 -- -- -- -- -- -- -- --
U.S. Equity Composite -6.3% 18.9% 12.7% -4.9% 5.1% 34.8% 16.8% 2.7% 24.2% 32.6% -35.0%Russell 3000 -5.2% 21.1% 12.7% 0.5% 12.6% 33.6% 16.4% 1.0% 16.9% 28.3% -37.3%
InvMetrics Public DB US Eq Net Rank 58 79 50 97 98 36 21 9 1 18 13
Northern Trust Russell 3000 Index Fund -- -- -- -- -- -- -- -- -- -- --Russell 3000 -5.2% 21.1% 12.7% 0.5% 12.6% 33.6% 16.4% 1.0% 16.9% 28.3% -37.3%
eV US All Cap Core Equity NetRank -- -- -- -- -- -- -- -- -- -- --
Large Cap Composite -4.7% 20.7% 11.1% -0.3% 7.2% 32.0% 16.1% 2.2% 17.2% 31.4% -33.3%Russell 1000 -4.8% 21.7% 12.1% 0.9% 13.2% 33.1% 16.4% 1.5% 16.1% 28.4% -37.6%
eV US Large Cap Core Equity NetRank 34 59 26 58 96 49 29 26 8 18 37
BlackRock 1000 Index Fund -4.8% -- -- -- -- -- -- -- -- -- --Russell 1000 -4.8% 21.7% 12.1% 0.9% 13.2% 33.1% 16.4% 1.5% 16.1% 28.4% -37.6%
eV US Large Cap Core EquityNet Rank 37 -- -- -- -- -- -- -- -- -- --
Investment Manager Calendar Performance (Net of Fees)Market Value: $731.3 Million and 100.0% of Fund
Marquette Associates, Inc. 5
Calendar Year2018 2017 2016 2015 2014 2013 2012 2011 2010 2009 2008
_
Mid Cap Composite -6.6% 15.7% 15.3% -9.1% 7.1% 40.1% 17.0% 0.3% 21.0% 37.5% -39.2%S&P 400 MidCap -11.1% 16.2% 20.7% -2.2% 9.8% 33.5% 17.9% -1.7% 26.6% 37.4% -36.2%Russell MidCap -9.1% 18.5% 13.8% -2.4% 13.2% 34.8% 17.3% -1.5% 25.5% 40.5% -41.5%
eV US Mid Cap Core Equity NetRank 24 74 30 94 66 15 32 25 67 19 57
BlackRock Mid Cap Equity IndexFund -11.0% -- -- -- -- -- -- -- -- -- --
S&P 400 MidCap -11.1% 16.2% 20.7% -2.2% 9.8% 33.5% 17.9% -1.7% 26.6% 37.4% -36.2%eV US Mid Cap Core Equity NetRank 51 -- -- -- -- -- -- -- -- -- --
Small Cap Composite -9.2% 19.1% 10.9% -13.6% -3.4% 43.6% 19.8% 5.7% 50.7% 29.9% -34.2%Russell 2000 -11.0% 14.6% 21.3% -4.4% 4.9% 38.8% 16.3% -4.2% 26.9% 27.2% -33.8%
eV US Small Cap Core Equity NetRank 36 17 93 99 97 21 11 8 1 41 43
LMCG Investments SCG -5.3% 19.4% -4.8% -- -- -- -- -- -- -- --Russell 2000 Growth -9.3% 22.2% 11.3% -1.4% 5.6% 43.3% 14.6% -2.9% 29.1% 34.5% -38.5%
eV US Small Cap Growth EquityNet Rank 56 74 99 -- -- -- -- -- -- -- --
Northern Trust Collective Russell2000 Index -10.9% -- -- -- -- -- -- -- -- -- --
Russell 2000 -11.0% 14.6% 21.3% -4.4% 4.9% 38.8% 16.3% -4.2% 26.9% 27.2% -33.8%eV US Small Cap Core EquityNet Rank 49 -- -- -- -- -- -- -- -- -- --
6 Marquette Associates, Inc.
Investment Manager Calendar Performance (Net of Fees)Market Value: $731.3 Million and 100.0% of Fund
Marquette Associates, Inc. 7
Investment Manager Calendar Performance (Net of Fees)Market Value: $731.3 Million and 100.0% of Fund
Calendar Year2018 2017 2016 2015 2014 2013 2012 2011 2010 2009 2008
_
International Equity Composite -14.4% 31.4% -1.1% -1.2% -2.7% 18.5% 15.6% -8.4% -- -- --International Equity Composite CustomBenchmark -14.2% 27.2% 4.5% -3.3% -4.4% 19.0% 17.1% -12.9% -- -- --
InvMetrics Public DB Dev Mkt ex-USEq Net Rank 48 11 84 37 19 82 99 1 -- -- --
Ativo Capital -13.6% 21.2% -3.6% -- -- -- -- -- -- -- --MSCI ACWI ex USA -14.2% 27.2% 4.5% -5.7% -3.9% 15.3% 16.8% -13.7% 11.2% 41.4% -45.5%
eV ACWI ex-US Large Cap EquityNet Rank 31 95 89 -- -- -- -- -- -- -- --
Hardman Johnston -13.9% 37.5% 1.2% -0.3% 0.4% 17.3% 15.6% -8.4% -- -- --MSCI EAFE -13.8% 25.0% 1.0% -0.8% -4.9% 22.8% 17.3% -12.1% 7.8% 31.8% -43.4%
eV EAFE Large Cap Core NetRank 45 1 29 50 5 91 92 9 -- -- --
BlackRock MSCI EAFE Small Cap -17.5% -- -- -- -- -- -- -- -- -- --MSCI EAFE Small Cap -17.9% 33.0% 2.2% 9.6% -4.9% 29.3% 20.0% -15.9% 22.0% 46.8% -47.0%
eV EAFE Small Cap Equity NetRank 26 -- -- -- -- -- -- -- -- -- --
BlackRock Emerging Markets Free Fund -14.6% -- -- -- -- -- -- -- -- -- --MSCI Emerging Markets -14.6% 37.3% 11.2% -14.9% -2.2% -2.6% 18.2% -18.4% 18.9% 78.5% -53.3%
eV Emg Mkts Large Cap EquityNet Rank 24 -- -- -- -- -- -- -- -- -- --
Alternative Composite 6.0% 7.7% 4.6% 4.4% 1.6% 4.8% -- -- -- -- --InvMetrics Public DB Alts Net Rank 36 43 74 47 86 92 -- -- -- -- --
Intercontinental U.S. Real Estate 9.8% 7.7% 12.1% 12.7% -- -- -- -- -- -- --NFI 7.4% 6.7% 7.8% 13.9% 11.5% 12.9% 9.8% 15.0% 15.3% -30.4% -10.7%
XXXXX
Private Equity Composite Performance Summary
8 Marquette Associates, Inc.
Marquette Associates, Inc. 9
MWDBE Composite Market Values
Total Fund Composite Fee ScheduleMarket Value: $731.3 Million and 100.0% of Fund
10 Marquette Associates, Inc.
October 31, 2019
City of Atlanta General Employees
Pension Fund
Executive Summary
Pension Fund
(Preliminary, Subject to Change)
Marquette Associates, Inc. 1
Total Fund CompositeMarket Value: $1,523.5 Million and 100.0% of Fund
Return Summary YTD
TotalReturn
_
Total Fund Composite 17.0%
Fixed Income Composite 8.4%
Global Fixed Income Composite 6.9%
U.S. Equity Composite 22.4%
Large Cap Composite 24.0%
Mid Cap Composite 17.4%
Small Cap Composite 21.4%
International Equity Composite 20.1%
Emerging Markets EquityComposite 16.2%
Global Equity Composite 16.7%
Real Estate Composite 4.1%
Alternative Composite 0.0%XXXXX
Asset Allocation vs. TargetCurrent Current Policy Difference %
_
Fixed Income $301,069,295 19.8% 23.0% -$49,331,183 -3.2%
U.S. Equity $702,317,927 46.1% 50.3% -$63,230,942 -4.2%
Non-U.S. Equity $390,251,988 25.6% 21.8% $58,895,015 3.9%
Real Assets $42,966,878 2.8% 3.0% -$2,737,532 -0.2%
Private Equity $27,190,698 1.8% 2.0% -$3,278,909 -0.2%
Other $59,683,551 3.9% -- $59,683,551 3.9%
Total $1,523,480,336 100.0% 100.0%XXXXX
Summary of Cash Flows Last Three
Months Year-To-Date One Year_
Beginning Market Value $1,505,962,917 $1,333,862,539 $1,402,617,252Net Cash Flow -$13,727,855 -$26,886,463 -$39,216,172Net Investment Change $31,245,274 $216,504,260 $160,079,256Ending Market Value $1,523,480,336 $1,523,480,336 $1,523,480,336
_
Total Fund CompositeMarket Value: $1,523.5 Million and 100.0% of Fund
2 Marquette Associates, Inc.
Ending October 31, 2019
Asset Class Market Value($)
3 Mo NetCash Flows ($) % of Portfolio Policy % Policy Difference
($)_
Total Fund Composite 1,523,480,336 -13,727,855 100.0 100.0 0
Fixed Income Composite 226,315,342 0 14.9 17.2 -35,723,276
Mesirow Core Fixed Income 76,859,706 0 5.0
Garcia Hamilton Core Fixed Income 77,120,841 0 5.1
State Street U.S. Aggregate Bond Index SLFund Core Fixed Income 72,334,795 0 4.7
Global Fixed Income Composite 74,753,953 -90,601 4.9 5.8 -13,607,906
Colchester Global Investors Non-U.S. Fixed Income 74,753,953 -90,601 4.9
U.S. Equity Composite 702,317,927 0 46.1 46.5 -6,100,429
Large Cap Composite 454,090,793 0 29.8 30.5 -10,570,710
Morgan Stanley Large Cap Core Large-Cap Core 160,987,817 0 10.6
Blackrock S&P 500 Equity Index Fund Large-Cap Core 293,102,976 0 19.2
Mid Cap Composite 108,029,159 0 7.1 7.0 1,385,536
MacKay Shields Mid Cap Core Fund Mid-Cap Core 108,029,159 0 7.1
Small Cap Composite 140,197,975 0 9.2 9.0 3,084,744
Channing Capital Management Small-Cap Value 28,048,975 0 1.8
Earnest Partners SCC Small-Cap Core 79,239,050 0 5.2
Legato 32,909,950 0 2.2 -- 32,909,950
Essex Small-Cap Growth 11,017,343 0 0.7
Bridge City Small-Cap Growth 11,279,244 0 0.7
Lebenthal Lisanti Small-Cap Growth 10,613,363 0 0.7
International Equity Composite 215,917,115 0 14.2 14.4 -3,464,053
Artisan Partners International Value Fund(APHKX)
Non-U.S. Large-CapValue 99,290,398 0 6.5
Hardman Johnston Non-U.S. Large-CapCore 116,626,717 0 7.7
Emerging Markets Equity Composite 54,498,315 0 3.6 3.6 -346,977
Earnest Partners EM Emerging Markets 54,498,315 0 3.6
Global Equity Composite 119,836,557 0 7.9 7.5 5,575,532
Globalt Tactical ETF Global Balanced 119,836,557 0 7.9
Real Estate Composite 42,966,878 -263,193 2.8 3.0 -2,737,532
Intercontinental U.S. Real Estate Core Real Estate 25,367,897 -52,826 1.7
JP Morgan U.S. Real Estate Core Plus Real Estate 17,598,981 -210,367 1.2
Alternative Composite 27,190,698 0 1.8 2.0 -3,278,909
Consequent Alternative Partners II, LP U.S. Private Equity FoF 27,190,698 0 1.8
Cash Composite 59,683,551 -13,374,061 3.9 -- 59,683,551
WF Checking Account Cash & Equivalents 35,790,404 32,736,758 2.3
Cash Cash & Equivalents 23,892,802 -15,539,544 1.6
SEC Lending Cash & Equivalents 345 0 0.0 XXXXX
Ending October 31, 2019
1 Mo 3 Mo YTD FiscalYTD 1 Yr 2 Yrs 3 Yrs 5 Yrs 7 Yrs 10 Yrs Inception Inception
Date_
Total Fund Composite 1.7% 2.0% 17.0% 2.7% 12.2% 6.3% 10.2% 7.4% 9.8% 9.7% 7.5% Jan-97Total Fund Policy Benchmark 1.9% 2.0% 17.0% 2.5% 12.1% 6.4% 10.0% 7.4% 9.4% 9.9% 7.6% Jan-97
Fixed Income Composite 0.2% 2.3% 8.4% 2.5% 10.5% 4.4% 3.3% 3.2% 2.7% 3.6% 5.9% Apr-88BBgBarc US Aggregate TR 0.3% 2.4% 8.8% 2.6% 11.5% 4.5% 3.3% 3.2% 2.7% 3.7% 6.2% Apr-88
Mesirow 0.3% 2.3% 9.1% 2.6% 11.3% 4.5% 3.3% 3.1% 2.7% 3.9% 4.8% Jun-06BBgBarc US Aggregate TR 0.3% 2.4% 8.8% 2.6% 11.5% 4.5% 3.3% 3.2% 2.7% 3.7% 4.6% Jun-06
Garcia Hamilton 0.1% 2.2% 7.3% 2.4% 8.9% 4.3% -- -- -- -- 4.0% Nov-16BBgBarc US Aggregate TR 0.3% 2.4% 8.8% 2.6% 11.5% 4.5% 3.3% 3.2% 2.7% 3.7% 4.2% Nov-16
State Street U.S. Aggregate BondIndex SL Fund 0.3% 2.4% 8.9% 2.6% 11.5% 4.5% 3.3% -- -- -- 3.5% Sep-15
BBgBarc US Aggregate TR 0.3% 2.4% 8.8% 2.6% 11.5% 4.5% 3.3% 3.2% 2.7% 3.7% 3.5% Sep-15
Global Fixed Income Composite 1.5% 2.4% 6.9% 1.6% 9.9% 3.6% 2.7% -- -- -- 4.0% Sep-15FTSE WGBI TR 0.5% 1.9% 6.8% 1.4% 9.9% 3.7% 2.6% 2.0% 0.8% 1.7% 3.3% Sep-15
Colchester Global Investors 1.5% 2.4% 6.9% 1.6% 9.9% 3.6% 2.7% -- -- -- 4.0% Sep-15FTSE WGBI TR 0.5% 1.9% 6.8% 1.4% 9.9% 3.7% 2.6% 2.0% 0.8% 1.7% 3.3% Sep-15
U.S. Equity Composite 1.7% 1.7% 22.4% 3.3% 13.0% 9.3% 14.5% 10.2% 14.2% 14.0% 8.6% Dec-99Russell 3000 2.2% 1.8% 22.7% 3.3% 13.5% 10.0% 14.5% 10.3% 13.6% 13.6% 6.1% Dec-99
Large Cap Composite 2.1% 2.7% 24.0% 4.2% 15.6% 11.8% 16.0% 11.6% 14.4% 14.0% 9.2% Jan-97S&P 500 2.2% 2.4% 23.2% 3.9% 14.3% 10.8% 14.9% 10.8% 13.9% 13.7% 8.1% Jan-97
Morgan Stanley Large Cap Core 1.9% 3.3% 25.5% 4.8% 18.2% 14.0% 18.4% 13.3% 15.4% 14.6% 11.3% Dec-94S&P 500 2.2% 2.4% 23.2% 3.9% 14.3% 10.8% 14.9% 10.8% 13.9% 13.7% 10.0% Dec-94
Blackrock S&P 500 Equity IndexFund 2.2% 2.4% 23.2% 3.9% 14.4% 10.8% 14.9% -- -- -- 14.2% Sep-15
S&P 500 2.2% 2.4% 23.2% 3.9% 14.3% 10.8% 14.9% 10.8% 13.9% 13.7% 14.2% Sep-15
Mid Cap Composite 0.4% -0.3% 17.4% 1.6% 5.2% 4.5% 10.0% 6.4% 11.6% 12.4% 7.9% Oct-95Russell MidCap 1.1% 0.1% 23.2% 1.5% 13.7% 8.1% 12.3% 8.7% 12.9% 13.7% 10.6% Oct-95
MacKay Shields Mid Cap CoreFund 0.4% -0.3% 17.4% 1.6% 5.2% 4.4% 9.9% 6.9% 12.6% 13.1% 8.0% Oct-06
Russell MidCap 1.1% 0.1% 23.2% 1.5% 13.7% 8.1% 12.3% 8.7% 12.9% 13.7% 8.6% Oct-06
Small Cap Composite 1.5% 0.2% 21.4% 1.9% 10.4% 4.6% 12.8% 8.9% 12.8% 13.0% 10.0% Oct-95Russell 2000 2.6% -0.4% 17.2% 0.2% 4.9% 3.4% 11.0% 7.4% 11.2% 12.3% 8.6% Oct-95
Channing Capital Management 1.0% -2.0% 17.0% -1.1% 4.5% -1.1% 6.8% 4.8% -- -- 8.3% Feb-13Russell 2000 Value 2.4% 1.7% 15.5% 1.8% 3.2% 1.3% 8.6% 6.2% 9.9% 11.1% 8.7% Feb-13
Earnest Partners SCC 1.4% 1.8% 23.5% 4.0% 13.8% 5.3% 13.9% 10.7% 14.7% 13.9% 10.8% Jul-99Russell 2000 2.6% -0.4% 17.2% 0.2% 4.9% 3.4% 11.0% 7.4% 11.2% 12.3% 7.6% Jul-99
Investment Manager Annualized Performance (Net of Fees)Market Value: $1,523.5 Million and 100.0% of Fund
Marquette Associates, Inc. 3
Investment Manager Annualized Performance (Net of Fees)Market Value: $1,523.5 Million and 100.0% of Fund
4 Marquette Associates, Inc.
Ending October 31, 2019
1 Mo 3 Mo YTD FiscalYTD 1 Yr 2 Yrs 3 Yrs 5 Yrs 7 Yrs 10 Yrs Inception Inception
Date_
Legato 2.0% -1.8% 19.7% -0.6% 7.0% 7.8% 15.0% -- -- -- 6.5% Mar-15Russell 2000 Growth 2.8% -2.4% 18.6% -1.4% 6.4% 5.3% 13.2% 8.4% 12.4% 13.4% 7.1% Mar-15
Essex 1.6% -1.2% 17.6% -1.1% 4.4% 5.2% -- -- -- -- 10.7% Mar-17Russell 2000 Growth 2.8% -2.4% 18.6% -1.4% 6.4% 5.3% 13.2% 8.4% 12.4% 13.4% 8.9% Mar-17
Bridge City 1.9% 1.2% 20.6% 3.1% 11.1% 11.7% 16.7% -- -- -- 14.0% Jul-16Russell 2000 Growth 2.8% -2.4% 18.6% -1.4% 6.4% 5.3% 13.2% 8.4% 12.4% 13.4% 10.8% Jul-16
Lebenthal Lisanti 2.6% -5.0% 22.8% -3.2% 7.6% 12.5% 19.8% -- -- -- 17.5% Jul-16Russell 2000 Growth 2.8% -2.4% 18.6% -1.4% 6.4% 5.3% 13.2% 8.4% 12.4% 13.4% 10.8% Jul-16
International Equity Composite 3.9% 3.1% 20.1% 2.6% 16.5% 1.9% 10.1% 6.5% 8.7% -- 7.7% Oct-10MSCI EAFE 3.6% 3.8% 16.9% 2.5% 11.0% 1.7% 8.5% 4.3% 6.5% 5.4% 5.4% Oct-10
Artisan Partners International ValueFund (APHKX) 2.3% 3.5% 16.4% 1.7% 11.0% -0.4% 7.5% 5.0% 8.5% -- 9.9% Jun-10
MSCI EAFE 3.6% 3.8% 16.9% 2.5% 11.0% 1.7% 8.5% 4.3% 6.5% 5.4% 7.0% Jun-10
Hardman Johnston 5.2% 2.8% 23.5% 3.4% 21.7% 3.9% 12.6% 8.1% 8.8% -- 7.2% Oct-10MSCI ACWI ex USA 3.5% 2.9% 15.5% 1.6% 11.3% 1.0% 8.1% 3.8% 5.5% 4.9% 4.5% Oct-10
Emerging Markets EquityComposite 4.9% 3.5% 16.2% 2.4% 15.4% 1.4% 8.1% -- -- -- 11.2% Sep-15
MSCI Emerging Markets 4.2% 1.0% 10.4% -0.2% 11.9% -1.1% 7.4% 2.9% 3.1% 3.8% 9.5% Sep-15
Earnest Partners EM 4.9% 3.5% 16.2% 2.4% 15.4% 1.4% 8.0% -- -- -- 11.2% Sep-15MSCI Emerging Markets 4.2% 1.0% 10.4% -0.2% 11.9% -1.1% 7.4% 2.9% 3.1% 3.8% 9.5% Sep-15
Global Equity Composite 1.7% 1.8% 16.7% 2.5% 12.5% 6.8% 10.2% 7.4% -- -- 8.4% Mar-13Globalt Benchmark 1.9% 2.0% 17.0% 2.5% 12.1% 6.3% 10.0% 7.0% -- -- 8.1% Mar-13
Globalt Tactical ETF 1.7% 1.8% 16.7% 2.5% 12.5% 6.6% 10.0% 7.2% -- -- 8.1% Mar-13Globalt Benchmark 1.9% 2.0% 17.0% 2.5% 12.1% 6.3% 10.0% 7.0% -- -- 8.1% Mar-13
Real Estate Composite 0.0% 1.7% 4.1% 1.7% 5.2% 6.7% 7.2% -- -- -- 8.4% Feb-15NFI 0.0% 0.7% 3.1% 1.1% 4.1% 5.8% 6.1% 8.1% 9.2% 10.0% 7.8% Feb-15
Intercontinental U.S. Real Estate 0.0% 2.5% 6.1% 2.5% 7.8% 9.0% 9.3% -- -- -- 9.8% Mar-15NFI 0.0% 0.7% 3.1% 1.1% 4.1% 5.8% 6.1% 8.1% 9.2% 10.0% 7.7% Mar-15
JP Morgan U.S. Real Estate 0.0% 0.5% 1.4% 0.5% 1.7% 4.0% 5.3% -- -- -- 5.5% Jul-16NFI 0.0% 0.7% 3.1% 1.1% 4.1% 5.8% 6.1% 8.1% 9.2% 10.0% 6.2% Jul-16
Alternative Composite 0.0% 0.0% 0.0% 0.0% -0.7% 2.9% 3.8% 1.4% 3.6% -- 3.6% Oct-12Custom Alternative TargetBenchmark 1.5% 1.0% 16.3% 2.1% 10.1% 7.2% 10.6% 7.7% 10.2% 10.1% 10.2% Oct-12
Marquette Associates, Inc. 5
Investment Manager Calendar Performance (Net of Fees)Market Value: $1,523.5 Million and 100.0% of Fund
Calendar Year2018 2017 2016 2015 2014 2013 2012 2011 2010 2009 2008
_
Total Fund Composite -5.9% 18.6% 8.4% -0.6% 8.0% 23.0% 13.4% -0.3% 14.4% 17.3% -17.2%Total Fund Policy Benchmark -6.0% 17.3% 9.1% 0.2% 8.8% 20.4% 12.4% 2.2% 15.0% 19.5% -19.2%
InvMetrics Public DB > $1B Net Rank 86 6 29 56 4 1 26 79 10 77 2
Fixed Income Composite 0.2% 3.5% 2.7% 0.8% 4.9% -1.7% 4.8% 7.1% 6.5% 6.8% 6.2%BBgBarc US Aggregate TR 0.0% 3.5% 2.6% 0.5% 6.0% -2.0% 4.2% 7.8% 6.5% 5.9% 5.2%
InvMetrics Public DB Total Fix Inc NetRank 41 70 68 31 27 59 59 32 71 83 14
Mesirow -0.3% 3.4% 3.1% -0.2% 6.2% -2.1% 6.1% 7.4% 7.3% 10.7% 3.8%BBgBarc US Aggregate TR 0.0% 3.5% 2.6% 0.5% 6.0% -2.0% 4.2% 7.8% 6.5% 5.9% 5.2%
eV US Core Fixed Inc Net Rank 61 77 51 89 27 75 44 40 43 34 45
Garcia Hamilton 0.8% 3.6% -- -- -- -- -- -- -- -- --BBgBarc US Aggregate TR 0.0% 3.5% 2.6% 0.5% 6.0% -2.0% 4.2% 7.8% 6.5% 5.9% 5.2%
eV US Core Fixed Inc Net Rank 10 64 -- -- -- -- -- -- -- -- --
State Street U.S. Aggregate Bond IndexSL Fund 0.0% 3.6% 2.7% -- -- -- -- -- -- -- --
BBgBarc US Aggregate TR 0.0% 3.5% 2.6% 0.5% 6.0% -2.0% 4.2% 7.8% 6.5% 5.9% 5.2%eV US Core Fixed Inc Net Rank 34 65 71 -- -- -- -- -- -- -- --
Global Fixed Income Composite -1.0% 8.1% 3.8% -- -- -- -- -- -- -- --FTSE WGBI TR -0.8% 7.5% 1.6% -3.6% -0.5% -4.0% 1.6% 6.4% 5.2% 2.6% 10.9%
eV Global Fixed Inc - All Duration NetRank 18 32 41 -- -- -- -- -- -- -- --
Colchester Global Investors -1.0% 8.1% 3.9% -- -- -- -- -- -- -- --FTSE WGBI TR -0.8% 7.5% 1.6% -3.6% -0.5% -4.0% 1.6% 6.4% 5.2% 2.6% 10.9%
eV Global Government Fixed IncNet Rank 58 30 22 -- -- -- -- -- -- -- --
U.S. Equity Composite -6.3% 22.3% 13.0% -0.2% 10.9% 38.1% 16.5% -0.6% 20.8% 32.7% -36.5%Russell 3000 -5.2% 21.1% 12.7% 0.5% 12.6% 33.6% 16.4% 1.0% 16.9% 28.3% -37.3%
InvMetrics Public DB US Eq Net Rank 58 13 45 51 51 6 24 71 17 18 31
Large Cap Composite -3.4% 23.5% 10.9% 2.7% 13.5% 32.7% 15.6% 1.1% 15.8% 31.0% -37.1%S&P 500 -4.4% 21.8% 12.0% 1.4% 13.7% 32.4% 16.0% 2.1% 15.1% 26.5% -37.0%
Morgan Stanley Large Cap Core -1.1% 28.0% 8.3% 5.5% 12.0% 32.8% 15.1% 2.2% 14.4% 20.0% -27.1%S&P 500 -4.4% 21.8% 12.0% 1.4% 13.7% 32.4% 16.0% 2.1% 15.1% 26.5% -37.0%
eV US Large Cap Core EquityNet Rank 9 4 62 5 59 39 46 25 33 81 7
Blackrock S&P 500 Equity Index Fund -4.4% 21.9% 12.0% -- -- -- -- -- -- -- --S&P 500 -4.4% 21.8% 12.0% 1.4% 13.7% 32.4% 16.0% 2.1% 15.1% 26.5% -37.0%
eV US Large Cap Core EquityNet Rank 31 46 20 -- -- -- -- -- -- -- --
6 Marquette Associates, Inc.
Investment Manager Calendar Performance (Net of Fees)Market Value: $1,523.5 Million and 100.0% of Fund
Calendar Year2018 2017 2016 2015 2014 2013 2012 2011 2010 2009 2008
_
Mid Cap Composite -11.4% 19.9% 12.0% -5.8% 13.2% 37.4% 19.9% -5.6% 26.3% 34.5% -40.6%Russell MidCap -9.1% 18.5% 13.8% -2.4% 13.2% 34.8% 17.3% -1.5% 25.5% 40.5% -41.5%
MacKay Shields Mid Cap Core Fund -11.5% 19.9% 11.8% -3.7% 15.0% 42.9% 17.7% -2.8% 23.8% 37.0% -41.8%Russell MidCap -9.1% 18.5% 13.8% -2.4% 13.2% 34.8% 17.3% -1.5% 25.5% 40.5% -41.5%
eV US Mid Cap Core Equity NetRank 52 43 41 81 4 1 28 60 35 21 65
Small Cap Composite -12.2% 19.7% 21.1% -3.0% 6.7% 37.3% 14.0% -2.2% 25.4% 33.0% -35.6%Russell 2000 -11.0% 14.6% 21.3% -4.4% 4.9% 38.8% 16.3% -4.2% 26.9% 27.2% -33.8%
Channing Capital Management -17.2% 6.7% 28.1% -5.3% 4.5% -- -- -- -- -- --Russell 2000 Value -12.9% 7.8% 31.7% -7.5% 4.2% 34.5% 18.0% -5.5% 24.5% 20.6% -28.9%
eV US Small Cap Value EquityNet Rank 72 78 32 57 55 -- -- -- -- -- --
Earnest Partners SCC -13.1% 24.1% 25.0% -2.0% 9.4% 36.1% 15.8% -1.2% 19.7% 33.7% -34.7%Russell 2000 -11.0% 14.6% 21.3% -4.4% 4.9% 38.8% 16.3% -4.2% 26.9% 27.2% -33.8%
eV US Small Cap Equity NetRank 61 19 27 38 10 73 43 38 91 41 39
Legato -5.4% 21.5% 2.9% -- -- -- -- -- -- -- --Russell 2000 Growth -9.3% 22.2% 11.3% -1.4% 5.6% 43.3% 14.6% -2.9% 29.1% 34.5% -38.5%
Essex -6.4% -- -- -- -- -- -- -- -- -- --Russell 2000 Growth -9.3% 22.2% 11.3% -1.4% 5.6% 43.3% 14.6% -2.9% 29.1% 34.5% -38.5%
eV US Small Cap Equity NetRank 27 -- -- -- -- -- -- -- -- -- --
Bridge City 0.3% 16.0% -- -- -- -- -- -- -- -- --Russell 2000 Growth -9.3% 22.2% 11.3% -1.4% 5.6% 43.3% 14.6% -2.9% 29.1% 34.5% -38.5%
eV US Small Cap Equity NetRank 10 42 -- -- -- -- -- -- -- -- --
Lebenthal Lisanti -1.6% 28.9% -- -- -- -- -- -- -- -- --Russell 2000 Growth -9.3% 22.2% 11.3% -1.4% 5.6% 43.3% 14.6% -2.9% 29.1% 34.5% -38.5%
eV US Small Cap Equity NetRank 14 8 -- -- -- -- -- -- -- -- --
International Equity Composite -14.6% 30.4% 3.4% -1.0% 0.0% 24.0% 19.6% -9.0% -- -- --MSCI EAFE -13.8% 25.0% 1.0% -0.8% -4.9% 22.8% 17.3% -12.1% 7.8% 31.8% -43.4%
Artisan Partners International ValueFund (APHKX) -15.4% 24.1% 5.7% -1.5% -0.4% 30.7% 23.0% -7.0% -- -- --
MSCI EAFE -13.8% 25.0% 1.0% -0.8% -4.9% 22.8% 17.3% -12.1% 7.8% 31.8% -43.4%eV EAFE Large Cap Value NetRank 35 47 29 38 1 4 5 12 -- -- --
Hardman Johnston -13.8% 37.4% 1.1% -0.4% 0.4% 17.3% 15.6% -8.4% -- -- --MSCI ACWI ex USA -14.2% 27.2% 4.5% -5.7% -3.9% 15.3% 16.8% -13.7% 11.2% 41.4% -45.5%
eV ACWI ex-US Large Cap EquityNet Rank 34 8 51 30 5 60 81 14 -- -- --
Marquette Associates, Inc. 7
Investment Manager Calendar Performance (Net of Fees)Market Value: $1,523.5 Million and 100.0% of Fund
Calendar Year2018 2017 2016 2015 2014 2013 2012 2011 2010 2009 2008
_
Emerging Markets Equity Composite -15.5% 36.0% 11.8% -- -- -- -- -- -- -- --MSCI Emerging Markets -14.6% 37.3% 11.2% -14.9% -2.2% -2.6% 18.2% -18.4% 18.9% 78.5% -53.3%
Earnest Partners EM -15.5% 36.0% 11.9% -- -- -- -- -- -- -- --MSCI Emerging Markets -14.6% 37.3% 11.2% -14.9% -2.2% -2.6% 18.2% -18.4% 18.9% 78.5% -53.3%
eV Emg Mkts Equity Net Rank 42 57 31 -- -- -- -- -- -- -- --
Global Equity Composite -4.8% 18.4% 7.6% -1.0% 8.9% -- -- -- -- -- --Globalt Benchmark -6.1% 17.3% 9.1% -1.1% 6.8% -- -- -- -- -- --
eV Global Core Equity Net Rank 13 88 22 66 11 -- -- -- -- -- --
Globalt Tactical ETF -5.1% 18.1% 7.3% -1.3% 8.6% -- -- -- -- -- --Globalt Benchmark -6.1% 17.3% 9.1% -1.1% 6.8% -- -- -- -- -- --
eV Global Balanced Net Rank 17 12 54 39 13 -- -- -- -- -- --
Real Estate Composite 8.1% 6.7% 9.7% -- -- -- -- -- -- -- --NFI 7.4% 6.7% 7.8% 13.9% 11.5% 12.9% 9.8% 15.0% 15.3% -30.4% -10.7%
InvMetrics Public DB Real Estate PrivNet Rank 16 61 6 -- -- -- -- -- -- -- --
Intercontinental U.S. Real Estate 9.5% 7.5% 11.1% -- -- -- -- -- -- -- --NFI 7.4% 6.7% 7.8% 13.9% 11.5% 12.9% 9.8% 15.0% 15.3% -30.4% -10.7%
JP Morgan U.S. Real Estate 5.5% 5.6% -- -- -- -- -- -- -- -- --NFI 7.4% 6.7% 7.8% 13.9% 11.5% 12.9% 9.8% 15.0% 15.3% -30.4% -10.7%
Alternative Composite 4.8% 7.0% 0.1% 0.5% 0.4% 5.8% -- -- -- -- --Custom Alternative Target Benchmark -4.1% 16.1% 8.7% 1.0% 9.6% 24.4% 12.5% -0.3% 13.6% 19.8% -31.2%
InvMetrics Public DB Alts Net Rank 44 52 96 74 89 90 -- -- -- -- --
8 Marquette Associates, Inc.
MWDBE Composite Market Values
Marquette Associates, Inc. 9
Total Fund Composite Fee ScheduleMarket Value: $1,523.5 Million and 100.0% of Fund
Pension Fund
City of Atlanta Police Officers
Pension Fund
Executive Summary
October 31, 2019
(Preliminary, Subject to Change)
Marquette Associates, Inc. 1
Total Fund CompositeMarket Value: $1,168.3 Million and 100.0% of Fund
Return Summary YTD
TotalReturn
_
Total Fund Composite 16.5%
Fixed Income Composite 7.5%
U.S. Equity Composite 20.2%
International Equity Composite 20.2%
Alternative Composite 2.1%XXXXX
Asset Allocation vs. TargetCurrent Current Policy Difference %
_
Fixed Income $269,721,559 23.1% 24.0% -$10,659,347 -0.9%
U.S. Equity $699,583,221 59.9% 61.0% -$13,051,582 -1.1%
Non-U.S. Equity $156,169,989 13.4% 9.0% $51,027,149 4.4%
Real Assets $5,647,485 0.5% 1.0% -$6,035,053 -0.5%
Private Equity $24,593,031 2.1% 4.0% -$22,137,120 -1.9%
Other $12,538,491 1.1% 1.0% $855,953 0.1%
Total $1,168,253,775 100.0% 100.0%XXXXX
Summary of Cash Flows Last Three
Months Year-To-Date One Year_
Beginning Market Value $1,167,269,588 $1,024,993,843 $1,085,406,809Net Cash Flow -$9,371,750 -$36,909,781 -$34,796,743Net Investment Change $10,355,937 $180,169,714 $117,643,710Ending Market Value $1,168,253,775 $1,168,253,775 $1,168,253,775
_
Total Fund CompositeMarket Value: $1,168.3 Million and 100.0% of Fund
2 Marquette Associates, Inc.
Ending October 31, 2019
Asset Class Market Value($)
3 Mo NetCash Flows ($) % of Portfolio Policy % Policy Difference
($)_
Total Fund Composite 1,168,253,775 -9,371,750 100.0 100.0 0
Fixed Income Composite 269,721,559 -71,299 23.1 24.0 -10,659,347
Mesirow Core Fixed Income 102,764,133 -571 8.8
Garcia Hamilton Int. Govt. Fixed Income 52,922,551 -366 4.5
C.S. McKee Int. Govt. Fixed Income 51,522,031 -555 4.4
Colchester Non-U.S. Fixed Income 62,512,844 -69,807 5.4
U.S. Equity Composite 699,583,221 -10,642,634 59.9 61.0 -13,051,582
BlackRock Russell 1000 Index Fund Large-Cap Core 362,800,113 363,061,864 31.1
iShares Russell Mid Cap Value ETF Mid-Cap Value 40,649,442 -216,016 3.5
Consequent MidCap Manager of ManagersPortfolio 144,983,599 -1,968 12.4 -- 144,983,599
Seizert Mid-Cap Core 69,180,295 -1,183 5.9
Fiera Smid-Cap Growth 75,803,303 -785 6.5
Macquarie SCC Small-Cap Core 95,695,782 -1,069 8.2
LMCG Investments SCG Small-Cap Growth 55,454,285 -478 4.7
International Equity Composite 156,169,989 0 13.4 9.0 51,027,149
Artisan International Large Cap Value (APHKX) Non-U.S. Large-CapValue 72,065,618 0 6.2
Hardman Johnston Non-U.S. Large-CapCore 84,104,371 0 7.2
Alternative Composite 30,240,516 75,328 2.6 5.0 -28,172,173
Intercontinental U.S. Real Estate Core Real Estate 5,647,485 -41,281 0.5
Consequent Alternative Partners II, LP U.S. Private Equity FoF 20,364,348 0 1.7
Pharos Capital Partners III LBO Private Equity 4,228,683 116,609 0.4
Cash Composite 12,538,491 1,266,855 1.1 1.0 855,953
WF Checking Account Cash & Equivalents 7,220,391 -3,296,174 0.6
Cash Cash & Equivalents 4,723,099 4,347,156 0.4
Transition Cash Account Cash & Equivalents 595,000 215,873 0.1 XXXXX
Investment Manager Annualized Performance (Net of Fees)Market Value: $1,168.3 Million and 100.0% of Fund
Marquette Associates, Inc. 3
Ending October 31, 2019
1 Mo 3 Mo YTD FiscalYTD 1 Yr 2 Yrs 3 Yrs 5 Yrs 7 Yrs 10 Yrs Inception Inception
Date_
Total Fund Composite 1.5% 0.8% 16.5% 1.5% 10.6% 6.0% 9.5% 6.2% 8.6% 9.0% 8.1% Jan-88Total Fund Policy Benchmark 1.5% 1.4% 16.9% 2.1% 11.5% 6.6% 9.8% 7.2% 9.4% 9.9% 9.0% Jan-88
Fixed Income Composite 0.6% 2.1% 7.5% 2.0% 9.4% 3.9% 2.8% 3.0% 2.4% 3.2% 3.8% Sep-07Fixed Income Composite BlendedBenchmark 0.4% 2.1% 7.7% 2.0% 10.2% 4.1% 2.9% 3.0% 2.5% 3.5% 4.1% Sep-07
Mesirow 0.4% 2.4% 9.1% 2.7% 11.2% 4.4% 3.2% 3.1% 2.6% -- 3.6% May-10BBgBarc US Aggregate TR 0.3% 2.4% 8.8% 2.6% 11.5% 4.5% 3.3% 3.2% 2.7% 3.7% 3.6% May-10
Garcia Hamilton 0.3% 1.5% 5.8% 1.7% 7.1% 3.5% 2.5% 2.7% -- -- 2.8% Apr-14BBgBarc US Govt/Credit Int TR 0.4% 1.8% 6.8% 1.8% 8.7% 3.7% 2.7% 2.6% 2.2% 3.0% 2.6% Apr-14
C.S. McKee 0.3% 1.6% 6.6% 1.7% 8.0% 3.5% 2.5% 2.5% -- -- 2.5% Apr-14BBgBarc US Govt/Credit Int TR 0.4% 1.8% 6.8% 1.8% 8.7% 3.7% 2.7% 2.6% 2.2% 3.0% 2.6% Apr-14
Colchester 1.5% 2.4% 7.0% 1.6% 9.9% 3.6% 2.8% -- -- -- 4.5% Jan-16FTSE WGBI TR 0.5% 1.9% 6.8% 1.4% 9.9% 3.7% 2.6% 2.0% 0.8% 1.7% 3.6% Jan-16
U.S. Equity Composite 1.4% -0.1% 20.2% 1.2% 10.3% 7.7% 12.4% 7.7% 11.2% 11.2% 6.9% Jan-08Domestic Equity CompositeBlended Benchmark 2.0% 1.0% 21.8% 2.3% 11.9% 8.3% 13.3% 9.5% 13.1% 13.7% 9.4% Jan-08
BlackRock Russell 1000 Index Fund -- -- -- -- -- -- -- -- -- -- -- Oct-19Russell 1000 2.1% 2.0% 23.1% 3.6% 14.2% 10.5% 14.7% 10.5% 13.8% 13.7% -- Oct-19
iShares Russell Mid Cap Value ETF 0.6% 0.9% 19.9% 1.7% 10.0% 4.8% -- -- -- -- 6.1% Dec-16Russell MidCap Value 0.5% 0.9% 20.1% 1.8% 10.1% 5.0% 8.9% 6.9% 11.7% 12.9% 6.5% Dec-16
Consequent MidCap Manager ofManagers Portfolio 2.7% -1.4% 20.2% 0.4% 9.5% 6.2% 11.0% 6.2% 11.8% -- 10.7% Feb-12
Russell MidCap 1.1% 0.1% 23.2% 1.5% 13.7% 8.1% 12.3% 8.7% 12.9% 13.7% 12.0% Feb-12
Seizert 1.6% 0.8% 18.6% 3.5% 8.1% 5.2% 8.5% 5.8% 12.0% -- 11.2% Feb-12Russell MidCap 1.1% 0.1% 23.2% 1.5% 13.7% 8.1% 12.3% 8.7% 12.9% 13.7% 12.0% Feb-12
Fiera 3.9% -3.1% 23.1% -1.8% 12.4% 8.7% 15.2% 8.2% 13.1% -- 11.8% Feb-12Russell 2500 Growth 2.6% -2.2% 23.1% -0.7% 11.8% 8.6% 15.3% 9.8% 13.5% 14.4% 12.2% Feb-12
Macquarie SCC 1.4% 0.2% 19.0% 0.3% 5.4% 3.6% -- -- -- -- 4.1% Sep-17Russell 2000 2.6% -0.4% 17.2% 0.2% 4.9% 3.4% 11.0% 7.4% 11.2% 12.3% 3.7% Sep-17
LMCG Investments SCG 1.3% -6.8% 12.8% -6.8% 0.9% 5.5% 11.8% -- -- -- 5.2% Dec-15Russell 2000 Growth 2.8% -2.4% 18.6% -1.4% 6.4% 5.3% 13.2% 8.4% 12.4% 13.4% 10.4% Dec-15
Investment Manager Annualized Performance (Net of Fees)Market Value: $1,168.3 Million and 100.0% of Fund
4 Marquette Associates, Inc.
Ending October 31, 2019
1 Mo 3 Mo YTD FiscalYTD 1 Yr 2 Yrs 3 Yrs 5 Yrs 7 Yrs 10 Yrs Inception Inception
Date_
International Equity Composite 3.9% 3.1% 20.2% 2.6% 16.7% 2.0% 10.3% 6.7% 8.7% -- 9.1% Jun-10International Equity CompositeBlended Benchmark 3.5% 3.3% 16.2% 2.1% 11.2% 1.4% 8.3% 4.1% 6.0% -- 6.6% Jun-10
Artisan International Large CapValue (APHKX) 2.3% 3.5% 16.4% 1.7% 11.0% -0.4% 7.5% 5.0% 8.5% -- 9.9% Jun-10
MSCI EAFE 3.6% 3.8% 16.9% 2.5% 11.0% 1.7% 8.5% 4.3% 6.5% 5.4% 7.0% Jun-10
Hardman Johnston 5.2% 2.8% 23.8% 3.4% 22.1% 4.1% 12.9% 8.2% 9.0% -- 8.2% Jun-10MSCI ACWI ex USA 3.5% 2.9% 15.5% 1.6% 11.3% 1.0% 8.1% 3.8% 5.5% 4.9% 6.1% Jun-10
Alternative Composite 0.0% 0.5% 2.1% 0.5% 2.0% 4.9% 5.7% 3.8% -- -- 4.3% Dec-12S&P 500 + 3% 2.4% 3.2% 26.2% 4.9% 17.7% 14.1% 18.3% 14.1% 17.3% 17.1% 17.4% Dec-12
Intercontinental U.S. Real Estate 0.0% 2.3% 5.8% 2.3% 7.6% 8.9% 9.2% 10.0% -- -- 10.3% Aug-14NFI 0.0% 0.7% 3.1% 1.1% 4.1% 5.8% 6.1% 8.1% 9.2% 10.0% 8.3% Aug-14
Marquette Associates, Inc. 5
Investment Manager Calendar Performance (Net of Fees)Market Value: $1,168.3 Million and 100.0% of Fund
Calendar Year2018 2017 2016 2015 2014 2013 2012 2011 2010 2009 2008
_
Total Fund Composite -6.2% 15.6% 9.2% -1.9% 5.0% 22.5% 12.8% 1.0% 14.7% 16.7% -20.8%Total Fund Policy Benchmark -5.4% 15.0% 9.9% -0.3% 8.3% 21.3% 12.9% 0.7% 17.4% 20.1% -20.3%
InvMetrics Public DB > $1B Net Rank 89 50 10 85 56 1 46 33 8 79 5
Fixed Income Composite -0.1% 3.9% 2.9% 0.5% 4.2% -1.8% 4.0% 6.1% 5.6% 9.0% 1.9%Fixed Income Composite BlendedBenchmark 0.2% 3.7% 2.3% 0.8% 5.0% -2.0% 4.2% 7.8% 6.5% 5.9% 5.2%
InvMetrics Public DB Total Fix Inc NetRank 46 65 65 39 38 68 87 50 87 74 34
Mesirow -0.6% 3.2% 2.9% -0.1% 6.3% -2.2% 5.4% 7.3% -- -- --BBgBarc US Aggregate TR 0.0% 3.5% 2.6% 0.5% 6.0% -2.0% 4.2% 7.8% 6.5% 5.9% 5.2%
eV US Core Fixed Inc Net Rank 75 82 58 85 23 79 60 46 -- -- --
Garcia Hamilton 1.2% 2.0% 2.9% 1.2% -- -- -- -- -- -- --BBgBarc US Govt/Credit Int TR 0.9% 2.1% 2.1% 1.1% 3.1% -0.9% 3.9% 5.8% 5.9% 5.2% 5.1%
eV US Interm Duration Fixed IncNet Rank 9 82 20 27 -- -- -- -- -- -- --
C.S. McKee 0.6% 2.0% 1.7% 1.6% -- -- -- -- -- -- --BBgBarc US Govt/Credit Int TR 0.9% 2.1% 2.1% 1.1% 3.1% -0.9% 3.9% 5.8% 5.9% 5.2% 5.1%
eV US Interm Duration Fixed IncNet Rank 56 82 84 12 -- -- -- -- -- -- --
Colchester -0.9% 8.2% -- -- -- -- -- -- -- -- --FTSE WGBI TR -0.8% 7.5% 1.6% -3.6% -0.5% -4.0% 1.6% 6.4% 5.2% 2.6% 10.9%
eV Global Government Fixed IncNet Rank 57 30 -- -- -- -- -- -- -- -- --
U.S. Equity Composite -7.1% 18.8% 12.6% -3.2% 6.3% 33.6% 5.0% 1.6% 21.3% 26.8% --Domestic Equity Composite BlendedBenchmark -7.2% 19.3% 14.6% -0.7% 12.0% 34.4% 16.6% 0.1% 21.6% 31.5% -37.7%
InvMetrics Public DB US Eq Net Rank 71 80 53 90 96 68 99 20 14 76 --
BlackRock Russell 1000 Index Fund -- -- -- -- -- -- -- -- -- -- --Russell 1000 -4.8% 21.7% 12.1% 0.9% 13.2% 33.1% 16.4% 1.5% 16.1% 28.4% -37.6%
eV US Large Cap Core Equity NetRank -- -- -- -- -- -- -- -- -- -- --
iShares Russell Mid Cap Value ETF -12.5% 12.6% -- -- -- -- -- -- -- -- --Russell MidCap Value -12.3% 13.3% 20.0% -4.8% 14.7% 33.5% 18.5% -1.4% 24.8% 34.2% -38.4%
Mid-Cap Value MStar MF Rank 38 59 -- -- -- -- -- -- -- -- --
6 Marquette Associates, Inc.
Investment Manager Calendar Performance (Net of Fees)Market Value: $1,168.3 Million and 100.0% of Fund
Calendar Year2018 2017 2016 2015 2014 2013 2012 2011 2010 2009 2008
_
Consequent MidCap Manager ofManagers Portfolio -9.8% 16.2% 13.8% -6.6% 6.9% 43.8% -- -- -- -- --
Russell MidCap -9.1% 18.5% 13.8% -2.4% 13.2% 34.8% 17.3% -1.5% 25.5% 40.5% -41.5%eV US Mid Cap Equity Net Rank 49 63 39 86 65 4 -- -- -- -- --
Seizert -9.7% 7.5% 25.5% -10.5% 6.4% 50.0% -- -- -- -- --Russell MidCap -9.1% 18.5% 13.8% -2.4% 13.2% 34.8% 17.3% -1.5% 25.5% 40.5% -41.5%
eV US Mid Cap Core Equity NetRank 44 98 1 95 72 1 -- -- -- -- --
Fiera -8.6% 27.9% 4.4% -1.2% 9.3% 39.5% -- -- -- -- --Russell 2500 Growth -7.5% 24.5% 9.7% -0.2% 7.1% 40.6% 16.1% -1.6% 28.9% 41.7% -41.5%
eV US Small-Mid Cap GrowthEquity Net Rank 83 24 76 46 21 53 -- -- -- -- --
Macquarie SCC -11.1% -- -- -- -- -- -- -- -- -- --Russell 2000 -11.0% 14.6% 21.3% -4.4% 4.9% 38.8% 16.3% -4.2% 26.9% 27.2% -33.8%
eV US Small Cap Core Equity NetRank 50 -- -- -- -- -- -- -- -- -- --
LMCG Investments SCG -5.4% 19.3% -4.7% -- -- -- -- -- -- -- --Russell 2000 Growth -9.3% 22.2% 11.3% -1.4% 5.6% 43.3% 14.6% -2.9% 29.1% 34.5% -38.5%
eV US Small Cap Growth EquityNet Rank 56 75 99 -- -- -- -- -- -- -- --
International Equity Composite -14.5% 30.9% 3.4% -1.0% -0.1% 23.7% 19.3% -7.8% -- -- --International Equity Composite BlendedBenchmark -14.0% 26.1% 2.7% -3.3% -4.4% 19.0% 17.1% -12.9% -- -- --
InvMetrics Public DB Dev Mkt ex-USEq Net Rank 54 14 21 36 1 7 26 1 -- -- --
Artisan International Large Cap Value(APHKX) -15.4% 24.1% 5.7% -1.5% -0.4% 30.7% 23.0% -7.1% -- -- --
MSCI EAFE -13.8% 25.0% 1.0% -0.8% -4.9% 22.8% 17.3% -12.1% 7.8% 31.8% -43.4%Foreign Large Blend MStar MFRank 54 81 9 62 9 2 9 4 -- -- --
Hardman Johnston -13.7% 37.7% 1.1% -0.4% 0.3% 17.4% 15.6% -8.4% -- -- --MSCI ACWI ex USA -14.2% 27.2% 4.5% -5.7% -3.9% 15.3% 16.8% -13.7% 11.2% 41.4% -45.5%
eV ACWI ex-US Large Cap EquityNet Rank 33 7 50 29 6 60 81 14 -- -- --
Alternative Composite 6.4% 8.0% 3.3% 2.3% 2.4% 4.8% -- -- -- -- --S&P 500 + 3% -1.5% 25.4% 15.3% 4.4% 17.1% 36.3% 19.4% 5.2% 18.5% 30.2% -35.0%
InvMetrics Public DB Alts Net Rank 35 41 85 64 84 92 -- -- -- -- --
Intercontinental U.S. Real Estate 9.5% 7.5% 11.1% 12.4% -- -- -- -- -- -- --NFI 7.4% 6.7% 7.8% 13.9% 11.5% 12.9% 9.8% 15.0% 15.3% -30.4% -10.7%
Marquette Associates, Inc. 7
MWDBE Composite Market Values
8 Marquette Associates, Inc.
Total Fund Composite Fee ScheduleMarket Value: $1,168.3 Million and 100.0% of Fund