AC Transit Employees’ Retirement Plan First Quarter 2017 ...AC Transit Employees’ Retirement...
141
AC Transit Employees’ Retirement Plan First Quarter 2017 Investment Performance Analysis May 2017 Carolyn Smith, Partner Anthony Ferrara, CAIA, Consultant Kevin Novak, Consultant
Transcript of AC Transit Employees’ Retirement Plan First Quarter 2017 ...AC Transit Employees’ Retirement...
AC
Tra
nsi
t Em
plo
yees
’ R
etir
emen
t P
lan
Firs
t Q
uar
ter
20
17
In
vest
men
t P
erfo
rman
ce A
nal
ysis
May
201
7
Car
olyn
Sm
ith,
Part
ner
Ant
hony
Fer
rara
, CAIA
, Con
sulta
ntKev
in N
ovak
, Con
sulta
nt
Mar
ket
Envi
ron
men
t U
pd
ate
& O
utl
ook
1Ex
ecu
tive
Su
mm
ary
2P
lan
Su
mm
ary
& A
nal
ytic
s3
Man
ager
An
alys
is4
Ap
pen
dix
5Tab
Tabl
e of
Con
tent
sAC T
rans
it Em
ploy
ees'
Ret
irem
ent
Plan
Mar
ket
Envi
ron
men
t U
pd
ate
and
Ou
tloo
k
Inve
stm
ent
Mar
ket
Upd
ate:
As
of M
arch
31,
201
7
Mar
ch 3
1,
20
17
Dom
estic
Equ
ity B
ench
mar
ksQ
tr.
1 Yr
.3
Yr.
5 Yr
.10
Yr.
Larg
e C
ore
S&
P 5
006.
1%17
.2%
10.4
%13
.3%
7.5%
Sm
all C
ore
Rus
sell
2000
2.5%
26.2
%7.
2%12
.4%
7.1%
Sm
all G
row
thR
usse
ll 20
00 G
row
th5.
3%23
.0%
6.7%
12.1
%8.
1%S
mal
l Val
ueR
usse
ll 20
00 V
alue
-0.1
%29
.4%
7.6%
12.5
%6.
1%La
rge
Cor
eR
usse
ll 10
006.
0%17
.4%
10.0
%13
.3%
7.6%
Larg
e G
row
thR
usse
ll 10
00 G
row
th8.
9%15
.8%
11.3
%13
.3%
9.1%
Larg
e V
alue
Rus
sell
1000
Val
ue3.
3%19
.2%
8.7%
13.1
%5.
9%M
id C
ore
S&
P M
id C
ap 4
003.
9%20
.9%
9.4%
13.3
%9.
0%R
EIT
NA
RE
IT C
ompo
site
3.0%
6.5%
10.4
%10
.2%
4.6%
Int'l
Equ
ity B
ench
mar
ksQ
tr.
1 Yr
.3
Yr.
5 Yr
.10
Yr.
Inte
rnat
iona
l Dev
elop
edM
SC
I EA
FE7.
2%11
.7%
0.5%
5.8%
1.1%
Em
ergi
ng E
quity
MS
CI E
M11
.4%
17.2
%1.
2%0.
8%2.
7%S
mal
l Cap
Int'l
S&
P E
PA
C S
mal
lCap
8.1%
10.5
%3.
8%9.
4%3.
3%W
orld
ex-
US
MS
CI A
CW
I ex-
US
7.9%
13.1
%0.
6%4.
4%1.
4%Do
mes
tic F
I Ben
chm
arks
Qtr.
1
Yr.
3 Yr
.5
Yr.
10 Y
r.C
ore
Bon
dsB
arcl
ays
Agg
rega
te0.
8%0.
4%2.
7%2.
3%4.
3%M
unic
ipal
Bon
dB
arcl
ays
Mun
icip
al1.
6%0.
2%3.
5%3.
2%4.
3%H
igh
Yie
ldB
arcl
ays
US
Hig
h Y
ield
2.7%
16.4
%4.
6%6.
8%7.
5%In
term
edia
te G
ov/C
red
Bar
clay
s In
term
. Gov
/Cre
dit
0.8%
0.4%
2.0%
1.9%
3.8%
Long
Gov
/Cre
dit
Bar
clay
s Lo
ng G
ov/C
redi
t1.
6%1.
0%5.
5%4.
8%6.
9%Lo
ng C
redi
tB
arcl
ays
Long
Cre
dit
1.7%
4.9%
5.4%
5.4%
6.9%
Long
Tre
asur
ies
Bar
clay
s U
S 2
0+ Y
r Tre
as1.
4%-5
.2%
6.2%
4.3%
6.8%
Cas
hB
ofA
ML
US
3-M
onth
T-B
ill0.
1%0.
4%0.
2%0.
1%0.
7%In
flatio
nB
arcl
ays
US
TIP
S 1
-10
Yr
1.1%
1.5%
1.5%
0.6%
3.6%
Glo
bal I
nfla
tion
Bar
clay
s G
loba
l ILB
1.3%
0.5%
0.2%
1.1%
3.7%
STR
IPS
Bar
clay
s 20
+ Y
r STR
IPS
1.8%
-7.3
%8.
9%5.
9%9.
0%G
loba
l FI B
ench
mar
ksQ
tr.
1 Yr
.3
Yr.
5 Yr
.10
Yr.
Wor
ld G
ov. B
onds
Citi
grou
p W
GB
I1.
6%-3
.7%
-1.2
%-0
.6%
3.0%
Em
. Mkt
. Bon
ds (L
ocal
)JP
M G
BI-E
M G
lob.
Div.
6.5%
5.5%
-2.7
%-1
.6%
4.1%
Dive
rsifi
ed B
ench
mar
kQ
tr.
1 Yr
.3
Yr.
5 Yr
.10
Yr.
Dive
rsifi
edD
ivers
ified
*4.
0%11
.4%
5.8%
8.0%
5.4%
Alte
rnat
ive
Benc
hmar
ksQ
tr.
1 Yr
.3
Yr.
5 Yr
.10
Yr.
Com
mod
ities
Blo
ombe
rg C
omm
odity
Inde
x-2
.3%
8.7%
-13.
9%-9
.5%
-6.2
%R
eal E
stat
eN
CR
EIF
Pro
perty
Inde
x**
1.7%
8.0%
11.0
%10
.9%
6.9%
*35
% L
C, 1
0% S
C, 1
2% In
t'l, 3
% E
mer
ging
, 25%
FI,
5% H
Y, 5
% G
loba
l FI,
5% R
EIT
S**
As
of 1
2/31
/201
6
4
Year
to
Dat
e Pe
rfor
man
ce:
All
Ass
ets
Hav
e M
oved
Hig
her
Sou
rce:
S&
P, R
usse
ll, M
SCI,
Bar
clay
s, J
PM,
Blo
ombe
rgAs
of 0
3/31
/201
7 Mar
ch 3
1,
20
17
5
•Th
e U
S e
con
om
y is
exp
erie
nci
ng
an
ext
end
ed e
con
om
ic g
row
th c
ycle
–Ei
ght
year
s re
mov
ed f
rom
rec
essi
on,
US c
onsu
mer
s co
ntin
ue t
o dr
ive
the
US e
cono
my
–Con
tinue
d ec
onom
ic g
ains
sup
port
pos
itive
but
sub
dued
ris
k as
set
retu
rns
•Fe
der
al R
eser
ve m
on
etar
y p
olic
y re
mai
ns
on
a g
rad
ual
no
rmal
izat
ion
pat
h–
Des
pite
the
Mar
ch in
crea
se,
the
path
for
rat
e hi
kes
appe
ars
subd
ued
in 2
017
and
beyo
nd–
As
the
Fed
look
s to
red
uce
its $
4.5
trill
ion
bala
nce
shee
t, c
lear
mes
sagi
ng w
ill b
e cr
itica
l–
Cha
ir Y
elle
n’s
unce
rtai
n te
nure
may
sto
ke m
arke
t un
ease
has
her
ter
m e
xpires
in F
eb.
2018
•S
tim
ula
tive
pol
icie
s ea
se C
hin
a’s
tran
siti
on t
o a
con
sum
pti
on
led
eco
no
my
–H
owev
er,
cred
it ex
pans
ion
and
infr
astr
uctu
re s
pend
ing
risk
infla
ting
asse
t pr
ice
bubb
les
–Cen
tral
ban
k’s
yuan
def
ense
has
bee
n si
zabl
e bu
t a
rapi
d pr
ice
fall
rem
ains
a g
loba
l tai
l-risk
•G
lob
aliz
atio
n b
ackl
ash
is d
isru
pti
ng
th
e p
olit
ical
an
d e
con
om
ic o
rth
od
oxy
–Ant
i-es
tabl
ishm
ent
polit
ical
sen
timen
t fu
els
a w
ider
ran
ge o
f po
tent
ial o
utco
mes
bot
h at
the
polls
(e.
g. E
urop
e) a
nd in
the
act
ions
of po
litic
al le
ader
s (e
.g.
US T
rade
Pol
icy)
–Cap
ital m
arke
t fu
ndam
enta
ls a
re n
ot m
ater
ially
alte
red
but
the
asso
ciat
ed r
isks
of
glob
aliz
atio
n ba
ckla
sh li
kely
lead
to
larg
er p
rice
shi
fts
amon
g de
velo
ped
mar
ket
curr
enci
es
Key
Mar
ket
Them
es
Mar
ch 3
1,
20
17
6
US
rece
ssio
nco
nce
rns
are
mu
ted
The
US
econ
omy
islik
ely
toex
perien
cesl
owan
dst
eady
grow
thas
exce
ssca
paci
tyis
grad
ually
abso
rbed
byth
eec
onom
y
The
labo
rm
arke
tre
cove
ryha
sbe
enro
bust
but
exce
ssca
paci
tyre
mai
nsas
man
yha
veye
tto
retu
rnto
the
wor
kfor
ce
Ou
tloo
kfo
rfi
scal
stim
ulu
sis
clou
dy
and
any
po
ten
tial
gro
wth
ben
efit
un
likel
yto
be
seen
in2
01
7o
r2
01
8Ta
xcu
tsan
din
fras
truc
ture
spen
ding
mod
estly
impr
ove
the
US
grow
thpr
ofile
but
face
apr
olon
gpa
thth
roug
hCon
gres
s
US
dolla
rst
reng
than
dco
rpor
ate
prof
itabi
lity
tren
dsar
eth
epr
imar
yso
urce
sof
conc
ern
for
pote
ntia
lwea
knes
s
Key
Mar
ket
Them
es
Sou
rce:
FRED
Sou
rce:
Con
gres
sion
al B
udge
t O
ffic
e, B
loom
berg
Exte
nd
ed U
S E
con
omic
Cyc
le
Mar
ch 3
1,
20
17
7
The
Fed
eral
Res
erve
isex
pec
ted
tosl
owly
incr
ease
inte
rest
rate
sEx
pect
edpa
thof
Fed
polic
yth
roug
h20
19m
atte
rsm
ore
than
timin
gof
the
next
hike
Are
lativ
ely
acco
mm
odat
ive
Fed
islik
ely
toco
ntin
ue,
unle
ssth
ere
isa
dram
atic
acce
lera
tion
inin
flatio
n
20
17
islik
ely
tob
ea
year
ofg
reat
eru
nce
rtai
nty
for
Fed
pol
icy
Fed’
spl
anto
redu
ceth
esi
zeof
itsba
lanc
esh
eet
will
becl
osel
yw
atch
edas
they
look
toav
oid
mar
ket
tape
rfe
ars
Polit
ics
will
inte
rsec
tw
ithFe
dpo
licy
assp
ecul
atio
nbu
ilds
whe
ther
Jane
tYe
llen
will
cont
inue
asCha
irpa
sthe
rte
rmex
piring
inFe
brua
ry20
18
Key
Mar
ket
Them
es
Sou
rce:
Blo
ombe
rg
Sou
rce:
Fed
, Blo
ombe
rg
?
Fed
eral
Res
erve
Gra
du
alis
m
Mar
ch 3
1,
20
17
8
Ch
ina
isth
eg
lob
alg
row
then
gin
eb
ut
face
sfu
nd
amen
tal
tran
siti
ons
As
the
rura
lpo
pula
tion
mov
esto
urba
nce
nter
s,fix
edin
vest
men
tis
requ
ired
tosu
stai
nth
epr
oduc
tion
base
dec
onom
y
Chi
na’s
econ
omic
tran
sitio
nis
pivo
ting
away
from
man
ufac
turing
toa
serv
ice
and
cons
umpt
ion
base
dec
onom
y
Any
disr
uptio
nto
thes
etr
ansi
tions
will
have
glob
alre
perc
ussi
ons
due
toChi
na’s
size
and
role
inth
egl
obal
econ
omy
The
PB
OC
isb
alan
cin
gth
eri
sks
ofa
mo
reop
enm
arke
tw
ith
curr
ency
dec
lines
and
cap
ital
outf
low
sCon
cern
sof
capi
talou
tflo
ws
have
forc
edgr
eate
rin
terv
entio
nfr
omth
ece
ntra
lba
nkto
limit
curr
ency
decl
ines
Des
ire
for
aw
eake
rcu
rren
cyto
supp
ort
the
prod
uctio
nba
sed
econ
omy
isof
fset
byfe
ars
ofca
pita
lfle
eing
the
coun
try
and
dest
abili
zing
cred
itm
arke
ts
Key
Mar
ket
Them
es
Sou
rce:
IM
F, B
loom
berg
Sou
rce:
SAFE
, Blo
ombe
rg
Ch
ina
Tran
siti
on
s
Mar
ch 3
1,
20
17
9
Un
even
eco
no
mic
gro
wth
and
wag
eg
ain
sh
ave
fuel
edp
olit
ical
dis
con
ten
tin
the
dev
elop
edw
orld
Polit
ical
unce
rtai
nty
inte
nsifi
escu
rren
cyvo
latil
itybu
tcu
rren
cyde
prec
iatio
nca
nst
imul
ate
loca
lequ
itym
arke
ts(e
.g.
UK)
How
ever
,a
shift
away
from
polit
ical
orth
odox
yhe
ight
ens
low
erpr
obab
ility
polit
ical
tail-
risk
ssu
chas
aU
S-C
hina
trad
ew
aror
adi
ssol
utio
nof
the
euro
Hav
ew
ere
ach
ed“P
eak
Trad
e”?
Ase
cula
rtr
ansi
tion
isun
derw
ayan
da
shift
from
free
trad
epo
licie
sin
the
Wes
tm
ayre
duce
long
-ter
mec
onom
icgr
owth
Ast
rong
US
pivo
taw
ayfr
omgl
obal
trad
eis
ata
il-risk
for
the
glob
alec
onom
yan
dw
ould
likel
yim
pact
capi
tal
mar
kets
nega
tivel
yin
the
emer
ging
wor
ld
Key
Mar
ket
Them
es
Sou
rce:
IM
F, B
loom
berg
Elec
tio
nM
ain
Can
did
ates
Dat
es
Fran
ceP
resi
den
tial
Elec
tion
Mar
ine
Le P
enN
atio
nal F
ront
Emm
anu
elM
acro
nEn
Mar
che!
May
7th
UK
Gen
eral
Elec
tion
Ther
esa
May
Con
serv
ativ
e Pa
rty
Jere
my
Co
rbyn
Labo
urPa
rty
Jun
e 8
th
Ital
yG
ener
alEl
ecti
on
Mat
teo
Orf
ini
Dem
ocra
tic P
arty
Bep
pe
Gri
llo5-
Sta
r M
ovem
ent
Pot
enti
al
20
17
sn
ap
elec
tion
Glo
bal
izat
ion
Bac
klas
h
Mar
ch 3
1,
20
17
10
Exec
uti
ve S
um
mar
y
Exec
utiv
e Sum
mar
y
AS
SET
ALL
OC
ATI
ON
Ass
et A
lloca
tion
•All
com
posi
tes
are
with
in p
olic
y ra
nges
at
the
end
of t
hequ
arte
r.
Per
form
ance
(N
et o
f Fe
es)
•D
urin
g th
e qu
arte
r th
e pl
an r
etur
ned
4.4%
, w
hich
outp
erfo
rmed
the
allo
catio
n in
dex
by 0
.4%
and
ran
ked
in t
he40
thpe
rcen
tile
of t
he I
nves
torF
orce
publ
ic p
lan
univ
erse
.
•La
rge
Cap
equ
ity,
inte
rnat
iona
l equ
ity,
and
cred
it co
ntri
bute
dpo
sitiv
ely
to r
elat
ive
perf
orm
ance
. O
ver
the
last
yea
r th
e Pl
anre
turn
ed 1
1.8%
, 1.
1% a
bove
med
ian.
PLA
N P
ERFO
RM
AN
CE:
NET
OF
FEES
(%
)
QTR
1 Y
EAR
3
YEA
RS
5
YEA
RS
10
Y
EAR
S
CO
MP
OS
ITE
4.4
11
.85
.07
.34
.8
Ran
k(P
ub
lic)
40
26
50
45
62
Med
ian
(P
ub
lic)
4.2
10
.75
.07
.15
.1
ALL
OC
. IN
DEX
4.0
10
.55
.17
.35
.3
PO
LIC
Y I
ND
EX4
.31
0.5
4.9
7.0
5.1
PLA
N C
OM
MEN
TSR
ECEN
T A
CTI
ON
S/
REC
OM
MEN
DA
TIO
NS
Man
ager
Du
e D
ilig
ence
•D
imen
sion
al F
und
Adv
isor
s an
noun
ced
one
depa
rtur
e an
dor
gani
zatio
nal c
hang
es d
urin
g th
e qu
arte
r.
•Bla
ckro
ck a
nnou
nced
one
dep
artu
re d
urin
g th
e qu
arte
r.
Rec
ent
Act
ion
s
With
draw
als
Con
trib
utio
ns$1
.2m
m C
resc
ent
$244
k Bro
okfie
ld$3
3K J
PM
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m C
apita
l Gro
up$2
15k
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Squ
are
$5m
m I
nves
tec
$3m
m D
FA U
S S
mal
l Cap
$7k
Wes
tpor
t$3
mm
Dod
ge &
Cox
Rec
omm
end
atio
ns
•N
one.
30
.9%
17
.4%
4.6
%
18
.7%
12
.7%
6.2
%
3.7
%5
.2%
0.6
%
Pla
n A
sset
s: $
62
0 M
illio
n
U.S
. Eq
uit
y
Int'
l Eq
uit
y
EM E
qu
ity
Cor
e B
on
ds
Cre
dit
EMD
Pri
vate
Deb
t
Rea
l Est
ate
Cas
h
AC T
rans
it Em
ploy
ees'
Ret
irem
ent
Plan
12
Due
Dili
genc
e M
onito
r
Inve
stm
ent
Man
ager
Man
ager
Ch
ang
es/
An
no
un
cem
ents
(R
ecen
t Q
uar
ter)
NEP
C D
ue
Dili
gen
ce C
om
mit
tee
Rec
omm
end
atio
ns
Dim
ensi
onal
Fun
d Adv
isor
s –
U.S
. Sm
all C
ap
Trus
t; I
nter
natio
nal S
mal
l Cap
Val
ueYe
sN
o Act
ion
NEP
C D
ue
Dili
gen
ce C
omm
itte
e R
ecom
men
dat
ion
Key
No
Act
ion
Info
rmat
iona
lite
ms
have
surf
aced
;no
actio
nis
reco
mm
ende
d.
Wat
chIs
sues
have
surf
aced
tobe
conc
erne
dov
er;
man
ager
can
part
icip
ate
infu
ture
sear
ches
,bu
tcu
rren
tan
dpr
ospe
ctiv
ecl
ient
sm
ust
bem
ade
awar
eof
the
issu
es.
Hol
d
Ser
ious
issu
esha
vesu
rfac
edto
beco
ncer
ned
over
;m
anag
erca
nnot
bein
futu
rese
arch
esun
less
acl
ient
spec
ifica
llyre
ques
ts,
but
curr
ent
and
pros
pect
ive
clie
nts
mus
tbe
mad
eaw
are
ofth
eis
sues
.
Clie
nt
Rev
iew
Ver
yse
riou
sis
sues
have
surf
aced
with
am
anag
er;
man
ager
cann
otbe
infu
ture
sear
ches
unle
ssa
clie
ntsp
ecifi
cally
requ
ests
.Cur
rent
clie
nts
mus
tbe
advi
sed
tore
view
the
man
ager
.
Term
inat
e W
eha
velo
stal
lco
nfid
ence
inth
epr
oduc
t;m
anag
erw
ould
not
bere
com
men
ded
for
sear
ches
and
clie
nts
wou
ldbe
disc
oura
ged
from
usin
g.Th
em
anag
erca
nnot
bein
futu
rese
arch
esun
less
acl
ient
spec
ifica
llyre
ques
ts.
Cur
rent
clie
nts
mus
tbe
advi
sed
tore
plac
eth
em
anag
er.
A le
gend
key
to
our
reco
mm
enda
tions
is p
rovi
ded
belo
w.
The
item
s be
low
sum
mar
ize
any
chan
ges
or a
nnou
ncem
ents
fro
m y
our
Plan
man
ager
s/fu
nds.
A “
Yes”
indi
cate
s th
ere
was
an
anno
unce
men
t an
d a
brie
f su
mm
ary
is p
rovi
ded
sepa
rate
ly.
NEP
C’s
Due
Dili
genc
e Com
mitt
ee m
eets
eve
ry t
wo
wee
ks t
o re
view
eve
nts
as
they
rel
ate
to in
vest
men
t m
anag
ers
and
dete
rmin
es if
any
act
ion
shou
ld b
e ta
ken
by N
EPC a
nd/o
r by
our
clie
nts.
Th
ey r
ate
even
ts:
No
Act
ion,
Wat
ch,
Hol
d, C
lient
Rev
iew
or
Term
inat
e. N
EPC c
onsi
ders
our
selv
es t
o be
a fid
ucia
ry,
as E
RIS
A d
efin
es t
he t
erm
in S
ectio
n 3(
21).
AC T
rans
it Em
ploy
ees'
Ret
irem
ent
Plan
Bel
ow is
a s
umm
ary
of m
anag
er c
hang
es,
anno
unce
men
ts a
nd d
ue d
ilige
nce
even
ts s
ince
the
issu
ance
of
our
last
qua
rter
ly r
epor
t.
Man
ager
Ch
ang
es/
An
no
un
cem
ents
DFA
has
mad
e tw
o or
gani
zatio
nal a
nnou
ncem
ents
, ne
ither
of
whi
ch is
ant
icip
ated
to
have
mat
eria
l im
pact
on
any
inve
stm
ent
stra
tegi
es.
The
first
an
noun
cem
ent
is t
hat
Hen
ry G
ray,
Hea
d of
Glo
bal E
quity
Tra
ding
and
mem
ber
of t
he I
nves
tmen
t Po
licy
Com
mitt
ee a
nd I
nves
tmen
t Com
mitt
ee,
will
be
leav
ing
the
firm
and
indu
stry
in M
ay 2
017
to p
ursu
e hi
s in
tere
sts
in e
duca
tion.
Eff
ectiv
e 2/
28/1
7, R
yan
Wile
y an
d Jo
hn R
omiz
aw
ere
appo
inte
d as
Co-
Hea
ds o
f G
loba
l Equ
ity T
radi
ng,
from
the
ir p
revi
ous
role
s of
Hea
d of
Am
eric
as T
radi
ng a
nd H
ead
of I
nter
natio
nal T
radi
ng,
resp
ectiv
ely.
Rep
laci
ng M
r.
Gra
y on
the
Inv
estm
ent
Res
earc
h Com
mitt
ee a
nd I
nves
tmen
t Com
mitt
ee is
Mar
y Ph
illip
s, S
enio
r Po
rtfo
lio M
anag
er a
nd V
ice
Pres
iden
t. M
s. P
hilli
ps
man
ages
a t
eam
foc
used
on
glob
al e
quiti
es.
The
seco
nd a
nnou
ncem
ent
is t
hat
Dav
id B
ooth
, on
e of
the
co-
foun
ders
of
the
firm
, ha
s st
eppe
d ba
ck f
rom
da
y-to
-day
man
agem
ent
resp
onsi
bilit
ies
as C
o-CEO
to
assu
me
the
new
rol
e of
Exe
cutiv
e Cha
irm
an,
whe
re h
is f
ocus
is o
n bi
g pi
ctur
e, s
trat
egic
in
itiat
ives
. Suc
ceed
ing
Mr.
Boo
th a
s Co-
CEO
is D
ave
But
ler,
who
mai
ntai
ns h
is r
ole
as H
ead
of G
loba
l Fin
anci
al A
dvis
or S
ervi
ces.
Mr.
But
ler
join
s Ed
uard
o Rep
etto
who
is C
o-CEO
and
Co-
CIO
. As
Co-
CEO
s, M
r. R
epet
to f
ocus
es o
n in
vest
men
t-re
late
d m
atte
rs,
whi
le M
r. B
utle
r fo
cuse
s on
non
-in
vest
men
t-re
late
d m
atte
rs.
No
actio
n is
rec
omm
ende
d as
a r
esul
t of
the
se t
wo
anno
unce
men
ts.
NEP
C R
esea
rch
is c
omfo
rtab
le w
ith t
his
chan
ge a
nd r
ecom
men
ds N
o A
ctio
n.
13
Due
Dili
genc
e M
onito
r
Inve
stm
ent
Man
ager
Man
ager
Ch
ang
es/
An
no
un
cem
ents
(R
ecen
t Q
uar
ter)
NEP
C D
ue
Dili
gen
ce C
om
mit
tee
Rec
omm
end
atio
ns
Bla
ckro
ck –
Rus
sell
1000
Ind
ex F
und
Yes
No
Act
ion
NEP
C D
ue
Dili
gen
ce C
omm
itte
e R
ecom
men
dat
ion
Key
No
Act
ion
Info
rmat
iona
lite
ms
have
surf
aced
;no
actio
nis
reco
mm
ende
d.
Wat
chIs
sues
have
surf
aced
tobe
conc
erne
dov
er;
man
ager
can
part
icip
ate
infu
ture
sear
ches
,bu
tcu
rren
tan
dpr
ospe
ctiv
ecl
ient
sm
ust
bem
ade
awar
eof
the
issu
es.
Hol
d
Ser
ious
issu
esha
vesu
rfac
edto
beco
ncer
ned
over
;m
anag
erca
nnot
bein
futu
rese
arch
esun
less
acl
ient
spec
ifica
llyre
ques
ts,
but
curr
ent
and
pros
pect
ive
clie
nts
mus
tbe
mad
eaw
are
ofth
eis
sues
.
Clie
nt
Rev
iew
Ver
yse
riou
sis
sues
have
surf
aced
with
am
anag
er;
man
ager
cann
otbe
infu
ture
sear
ches
unle
ssa
clie
ntsp
ecifi
cally
requ
ests
.Cur
rent
clie
nts
mus
tbe
advi
sed
tore
view
the
man
ager
.
Term
inat
e W
eha
velo
stal
lco
nfid
ence
inth
epr
oduc
t;m
anag
erw
ould
not
bere
com
men
ded
for
sear
ches
and
clie
nts
wou
ldbe
disc
oura
ged
from
usin
g.Th
em
anag
erca
nnot
bein
futu
rese
arch
esun
less
acl
ient
spec
ifica
llyre
ques
ts.
Cur
rent
clie
nts
mus
tbe
advi
sed
tore
plac
eth
em
anag
er.
A le
gend
key
to
our
reco
mm
enda
tions
is p
rovi
ded
belo
w.
The
item
s be
low
sum
mar
ize
any
chan
ges
or a
nnou
ncem
ents
fro
m y
our
Plan
man
ager
s/fu
nds.
A “
Yes”
indi
cate
s th
ere
was
an
anno
unce
men
t an
d a
brie
f su
mm
ary
is p
rovi
ded
sepa
rate
ly.
NEP
C’s
Due
Dili
genc
e Com
mitt
ee m
eets
eve
ry t
wo
wee
ks t
o re
view
eve
nts
as
they
rel
ate
to in
vest
men
t m
anag
ers
and
dete
rmin
es if
any
act
ion
shou
ld b
e ta
ken
by N
EPC a
nd/o
r by
our
clie
nts.
Th
ey r
ate
even
ts:
No
Act
ion,
Wat
ch,
Hol
d, C
lient
Rev
iew
or
Term
inat
e. N
EPC c
onsi
ders
our
selv
es t
o be
a fid
ucia
ry,
as E
RIS
A d
efin
es t
he t
erm
in S
ectio
n 3(
21).
AC T
rans
it Em
ploy
ees'
Ret
irem
ent
Plan
Bel
ow is
a s
umm
ary
of m
anag
er c
hang
es,
anno
unce
men
ts a
nd d
ue d
ilige
nce
even
ts s
ince
the
issu
ance
of
our
last
qua
rter
ly r
epor
t.
Man
ager
Ch
ang
es/
An
no
un
cem
ents
Am
y Sch
iold
ager
, G
loba
l Hea
d of
Bet
a Str
ateg
ies
at B
lack
Roc
k, w
ill b
e re
tirin
g at
the
end
of
the
first
qua
rter
in 2
017.
She
will
rem
ain
a se
nior
adv
isor
at
the
firm
.
NEP
C R
esea
rch
is c
omfo
rtab
le w
ith t
his
chan
ge a
nd r
ecom
men
ds N
o A
ctio
n.
14
Pla
n S
um
mar
y &
An
alyt
ics
Ince
ptio
nMa
rket V
alue ($)
% o
fPo
rtfoli
o3
Mo (%)
Rank
1 Yr (%
)Ra
nk3
Yrs
(%)
Rank
5 Yr
s(%
)Ra
nk10
Yrs (%)
Rank
Retu
rn (%)
Sinc
e_
Tota
l Fun
d 61
9,50
6,86
810
0.0
4.4
4011
.826
5.0
507.
345
4.8
627.
9Ma
r-92
Polic
y Ind
ex4.
345
10.5
584.
956
7.0
595.
149
7.5
Mar
-92
Alloc
ation
Inde
x4.
065
10.5
575.
145
7.3
475.
343
--M
ar-9
2In
vesto
rFor
ce P
ublic
DB
Net M
edian
4.2
10.7
5.0
7.1
5.1
7.4
Mar
-92
XXXX
X
Ret
urn
s ar
e net
of
fees
.
AC T
rans
it Em
ploy
ees'
Ret
irem
ent
Plan
Tota
l Fun
d Ret
urn
Sum
mar
y
Mar
ch 3
1,
20
17
16
Mark
et V
alue ($)
% o
fPo
rtfoli
o3
Mo (%)
1 Yr (%
)3
Yrs
(%)
5 Yr
s(%
)10
Yrs (%)
Retu
rn (%)
Sinc
e_
Tota
l Fun
d 61
9,50
6,86
810
0.0
4.4
11.8
5.0
7.3
4.8
7.9
Mar-9
2Po
licy I
ndex
4.3
10.5
4.9
7.0
5.1
7.5
Mar
-92
Over
/Und
er0.
11.
30.
10.
3-0
.30.
4Al
locat
ion In
dex
4.0
10.5
5.1
7.3
5.3
--M
ar-9
2In
vesto
rFor
ce P
ublic
DB
Net M
edian
4.2
10.7
5.0
7.1
5.1
7.4
Mar
-92
Tota
l Equ
ity32
7,90
4,09
752
.96.
518
.05.
610
.1--
10.1
Oct-0
9eA
All G
lobal
Equit
y Net
Med
ian6.
413
.05.
18.
94.
29.
4Oc
t-09
Tota
l Dom
estic
Equ
ity
191,
660,
803
30.9
5.0
21.0
9.1
13.6
7.3
10.0
Mar-9
2Ru
ssell
300
05.
718
.19.
813
.27.
59.
5M
ar-9
2Ov
er/U
nder
-0.7
2.9
-0.7
0.4
-0.2
0.5
eA A
ll US
Equit
y Net
Med
ian4.
817
.47.
912
.17.
510
.2M
ar-9
2Do
mes
tic L
arge
Cap
Equ
ity
152,
548,
178
24.6
6.4
20.3
9.3
13.5
7.3
10.3
Mar-9
2Ru
ssell
100
06.
017
.410
.013
.37.
69.
5M
ar-9
2Ov
er/U
nder
0.4
2.9
-0.7
0.2
-0.3
0.8
eA U
S La
rge
Cap
Equit
y Net
Med
ian5.
715
.58.
311
.97.
39.
9M
ar-9
2Bl
ackr
ock R
usse
ll 100
0 In
dex F
und
51,1
15,1
828.
36.
017
.410
.013
.27.
58.
0De
c-05
Russ
ell 1
000
6.0
17.4
10.0
13.3
7.6
8.2
Dec-
05Ov
er/U
nder
0.0
0.0
0.0
-0.1
-0.1
-0.2
eA U
S La
rge
Cap
Core
Equ
ity N
et M
edian
5.7
15.1
8.4
12.0
7.2
7.8
Dec-
05Do
dge
& Co
x U.S
. Equ
ity50
,992
,913
8.2
4.9
27.6
9.3
15.3
6.7
12.0
Mar-9
2Ru
ssell
100
0 Va
lue3.
319
.28.
713
.15.
910
.0M
ar-9
2Ov
er/U
nder
1.6
8.4
0.6
2.2
0.8
2.0
eA U
S La
rge
Cap
Value
Equ
ity N
et M
edian
3.9
17.2
7.8
12.2
6.4
10.2
Mar
-92
Sand
s Cap
ital S
elect
Grow
th S
trate
gy23
,604
,275
3.8
13.8
16.6
5.5
----
13.2
Aug-
12Ru
ssell
100
0 Gr
owth
8.9
15.8
11.3
13.3
9.1
15.0
Aug-
12Ov
er/U
nder
4.9
0.8
-5.8
-1.8
eA U
S La
rge
Cap
Grow
th E
quity
Net
Med
ian8.
914
.79.
411
.88.
213
.9Au
g-12
Stat
e St
reet
Rus
sell 1
000
Inde
x NL
Fund
8,04
1,50
41.
36.
0--
----
--14
.6Ju
n-16
Russ
ell 1
000
6.0
17.4
10.0
13.3
7.6
14.8
Jun-
16Ov
er/U
nder
0.0
-0.2
eA U
S La
rge
Cap
Core
Equ
ity N
et M
edian
5.7
15.1
8.4
12.0
7.2
13.0
Jun-
16
AC T
rans
it Em
ploy
ees'
Ret
irem
ent
Plan
Tota
l Fun
d Pe
rfor
man
ce D
etai
l
Mar
ch 3
1,
20
17
17
Mark
et V
alue ($)
% o
fPo
rtfoli
o3
Mo (%)
1 Yr (%
)3
Yrs
(%)
5 Yr
s(%
)10
Yrs (%)
Retu
rn (%)
Sinc
e_
Stat
e St
reet
Rus
sell 1
000
Value
Inde
x NL
Fund
18,7
94,3
053.
03.
3--
----
--14
.9Ju
n-16
Russ
ell 1
000
Value
3.3
19.2
8.7
13.1
5.9
15.0
Jun-
16Ov
er/U
nder
0.0
-0.1
eA U
S La
rge
Cap
Value
Equ
ity N
et M
edian
3.9
17.2
7.8
12.2
6.4
14.3
Jun-
16Do
mes
tic S
mal
l Cap
Equ
ity
39,1
12,6
256.
30.
723
.28.
313
.98.
49.
1Ma
r-92
Russ
ell 2
000
2.5
26.2
7.2
12.4
7.1
9.3
Mar
-92
Over
/Und
er-1
.8-3
.01.
11.
51.
3-0
.2eA
US
Small
Cap
Equ
ity N
et M
edian
2.6
23.2
7.2
12.3
7.5
11.0
Mar
-92
Dim
ensio
nal U
.S. S
mall
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Part
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Larg
e Ca
p Eq
uity
$152
,548
,178
22.0
%24
.6%
2.6%
17.0
% -
27.0
%Ye
sSm
all C
ap E
quity
$39,
112,
625
6.0%
6.3%
0.3%
3.0%
- 9.
0%Ye
sIn
tern
ation
al La
rge
Cap
$88,
750,
458
14.0
%14
.3%
0.3%
10.0
% -
18.0
%Ye
sIn
tern
ation
al Sm
all C
ap$1
9,06
0,06
83.
0%3.
1%0.
1%0.
0% -
6.0%
Yes
Emer
ging
Marke
ts Eq
uity
$28,
432,
768
6.0%
4.6%
-1.4
%0.
0% -
11.0
%Ye
sCo
re B
onds
$115
,541
,777
19.0
%18
.7%
-0.3
%17
.0%
- 23
.0%
Yes
Cred
it$7
8,48
7,71
913
.0%
12.7
%-0
.3%
10.0
% -
16.0
%Ye
sEm
ergin
g Ma
rket D
ebt L
ocal
$38,
315,
040
6.0%
6.2%
0.2%
0.0%
- 11
.0%
Yes
Priva
te D
ebt
$23,
144,
742
5.0%
3.7%
-1.3
%0.
0% -
7.0%
Yes
Real
Esta
te$3
2,18
6,55
25.
0%5.
2%0.
2%2.
0% -
8.0%
Yes
Cash
$3,9
26,9
401.
0%0.
6%-0
.4%
0.0%
- 5.
0%Ye
sTo
tal
$619
,506
,868
100.
0%10
0.0%
XXXX
X
*Diffe
renc
e be
twee
n Po
licy a
nd C
urre
nt A
lloca
tion
AC T
rans
it Em
ploy
ees'
Ret
irem
ent
Plan
Tota
l Fun
d Ass
et A
lloca
tion
vs.
Polic
y Ta
rget
s
Mar
ch 3
1,
20
17
25
AC T
rans
it Em
ploy
ees'
Ret
irem
ent
Plan
Tota
l Fun
d Ass
et A
lloca
tion
His
tory
Mar
ch 3
1,
20
17
26
Mar
ch 3
1,
20
17
AC T
rans
it Em
ploy
ees'
Ret
irem
ent
Plan
Tota
l Dom
estic
Equ
ity
27
Mar
ch 3
1,
20
17
AC T
rans
it Em
ploy
ees'
Ret
irem
ent
Plan
Dom
estic
Lar
ge C
ap E
quity
28
La
st T
hree
Mont
hsOn
e Ye
arTh
ree
Year
s_
Begin
ning
Mark
et V
alue
$594
,866
,913
$557
,666
,518
$555
,400
,472
Net C
ash
Flow
-$1,
581,
424
-$5,
398,
812
-$24
,263
,071
Net I
nves
tmen
t Cha
nge
$26,
221,
378
$67,
239,
162
$88,
369,
467
Endin
g Ma
rket
Valu
e$6
19,5
06,8
68$6
19,5
06,8
68$6
19,5
06,8
68_
AC T
rans
it Em
ploy
ees'
Ret
irem
ent
Plan
Tota
l Fun
d Ass
et G
row
th S
umm
ary
Mar
ch 3
1,
20
17
29
Qu
arte
r End
ing
Marc
h 31
, 201
7
Begin
ning
Mark
et V
alue
Net C
ash
Flow
Net I
nves
tmen
tCh
ange
Endin
gM
arke
t Valu
e_
Blac
krock
Rus
sell 1
000
Inde
x Fun
d$4
8,21
1,33
6$0
$2,9
03,8
46$5
1,11
5,18
2Br
ookfi
eld S
trate
gic R
eal E
state
Par
tner
s ll, L
.P.
$2,0
08,9
22$2
43,6
30$5
3,07
8$2
,305
,630
Capit
al Gr
oup
Inte
rnat
ional
Equit
y Tru
st$3
8,95
9,92
5$2
,000
,000
$3,7
63,7
45$4
4,72
3,67
0Ca
sh A
ccou
nt$2
,311
,872
$1,6
15,3
06-$
237
$3,9
26,9
40Ci
ty of
Lon
don
Emer
ging
Mar
kets
Equit
y$1
2,10
0,00
6$0
$1,4
38,7
44$1
3,53
8,74
9Cr
esce
nt D
irect
Lend
ing F
und,
L.P
.$1
1,97
1,02
8-$
1,19
9,54
9$1
18,2
59$1
0,88
9,73
8Di
men
siona
l Inte
rnat
ional
Small
Cap
Valu
e Po
rtfoli
o$1
7,69
2,65
5$0
$1,3
67,4
13$1
9,06
0,06
8Di
men
siona
l U.S
. Sm
all C
ap T
rust
$44,
828,
849
-$6,
000,
000
$283
,776
$39,
112,
625
Dodg
e &
Cox U
.S. E
quity
$51,
437,
320
-$3,
000,
000
$2,5
55,5
93$5
0,99
2,91
3Ea
ton
Vanc
e Tr
ust C
ompa
ny/P
aram
etric
Em
ergin
g Ma
rket
s Equ
ity F
und
$13,
552,
462
$0$1
,341
,557
$14,
894,
019
Inve
stec E
MD
Blen
ded
Debt
LLC
$31,
361,
906
$5,0
00,0
00$1
,953
,134
$38,
315,
040
JPMC
B St
rate
gic P
rope
rty F
und
$13,
513,
820
-$33
,152
$258
,648
$13,
739,
316
Loom
is Sa
yles C
redit
Ass
et T
rust
$37,
629,
208
$0$7
01,5
01$3
8,33
0,70
9Pa
rk Sq
uare
Cap
ital C
redit
Opp
ortu
nities
ll$1
2,26
5,27
1-$
214,
659
$204
,392
$12,
255,
004
PIMC
O Di
vers
ified
Inco
me
Fund
$38,
892,
479
$0$1
,264
,532
$40,
157,
010
Sand
s Cap
ital S
elect
Grow
th S
trate
gy$2
0,69
8,57
3$0
$2,9
05,7
02$2
3,60
4,27
5St
ate
Stre
et R
usse
ll 100
0 In
dex N
L Fu
nd$7
,583
,179
$0$4
58,3
25$8
,041
,504
Stat
e St
reet
Rus
sell 1
000
Value
Inde
x NL
Fund
$18,
188,
817
$0$6
05,4
88$1
8,79
4,30
5St
ate
Stre
et U
S Ag
greg
ate
Bond
Inde
x NL
Fund
$114
,603
,823
$0$9
37,9
54$1
15,5
41,7
77TI
F In
tern
ation
al Eq
uity S
eries
$41,
054,
979
$0$2
,971
,808
$44,
026,
788
UBS
Trum
bull P
rope
rty F
und
$13,
418,
314
$0$1
16,9
05$1
3,53
5,21
9W
estp
ort R
eal E
state
Fun
d lll,
L.P
.$2
,582
,170
$7,0
00$1
7,21
7$2
,606
,387
Tota
l$5
94,8
66,9
13-$
1,58
1,42
4$2
6,22
1,37
8$6
19,5
06,8
68XX
XXX
AC T
rans
it Em
ploy
ees'
Ret
irem
ent
Plan
Tota
l Fun
d Ass
et G
row
th S
umm
ary
by M
anag
er
Mar
ch 3
1,
20
17
30
AC T
rans
it Em
ploy
ees'
Ret
irem
ent
Plan
Fee
Sch
edul
e
Acco
unt
Fee
Sche
dule
Mark
et V
alue
As o
f 3/3
1/20
17%
of P
ortfo
lioEs
timat
ed A
nnua
lFe
e ($
)Es
timat
ed A
nnua
lFe
e (%
)_
Blac
kroc
k Rus
sell 1
000
Inde
x Fun
d0.
08%
of F
irst $
50.0
Mil,
0.05
% o
f Nex
t $50
.0 M
il$5
1,11
5,18
28.
3%$4
0,55
80.
08%
Dodg
e &
Cox U
.S. E
quity
0.60
% o
f Firs
t $5.
0 Mi
l,0.
50%
of N
ext $
10.0
Mil,
0.40
% o
f Nex
t $10
.0 M
il,0.
30%
of N
ext $
25.0
Mil,
0.25
% T
here
afte
r
$50,
992,
913
8.2%
$197
,482
0.39
%
Sand
s Cap
ital S
elect
Grow
th S
trate
gy0.
75%
of F
irst $
50.0
Mil,
0.50
% T
here
afte
r$2
3,60
4,27
53.
8%$1
77,0
320.
75%
Stat
e St
reet
Rus
sell 1
000
Inde
x NL
Fund
0.06
% o
f Firs
t $50
.0 M
il,0.
04%
of N
ext $
50.0
Mil,
0.03
% T
here
afte
r
$8,0
41,5
041.
3%$4
,825
0.06
%
Stat
e St
reet
Rus
sell 1
000
Value
Inde
x NL
Fund
0.06
% o
f Firs
t $50
.0 M
il,0.
04%
of N
ext $
50.0
Mil,
0.03
% T
here
afte
r
$18,
794,
305
3.0%
$11,
277
0.06
%
Dime
nsion
al U.
S. S
mall C
ap T
rust
0.35
% o
f Ass
ets
$39,
112,
625
6.3%
$136
,894
0.35
%
Capit
al Gr
oup
Inte
rnat
ional
Equit
y Tru
st0.
70%
of F
irst $
25.0
Mil,
0.55
% o
f Nex
t $25
.0 M
il,0.
43%
of N
ext $
200.
0 Mi
l,0.
38%
The
reaf
ter
$44,
723,
670
7.2%
$283
,480
0.63
%
TIF
Inte
rnat
ional
Equit
y Ser
ies0.
80%
of A
sset
s$4
4,02
6,78
87.
1%$3
52,2
140.
80%
Dime
nsion
al In
tern
ation
al Sm
all C
ap V
alue
Portf
olio
0.69
% o
f Ass
ets
$19,
060,
068
3.1%
$131
,514
0.69
%
City
of L
ondo
n Em
ergin
g Ma
rket
s Equ
ity1.
25%
of A
sset
s$1
3,53
8,74
92.
2%$1
69,2
341.
25%
Eato
n Va
nce
Trus
t Com
pany
/Par
amet
ric E
merg
ing M
arke
ts Eq
uity
Fund
0.78
% o
f Ass
ets
$14,
894,
019
2.4%
$116
,173
0.78
%
Stat
e St
reet
US
Aggr
egat
e Bo
nd In
dex N
L Fu
nd0.
06%
of F
irst $
50.0
Mil,
0.05
% o
f Nex
t $50
.0 M
il,0.
04%
The
reaf
ter
$115
,541
,777
18.7
%$6
1,21
70.
05%
Stat
e St
reet
Rus
sell
1000
Inde
x N
L Fu
nd a
nd S
tate
Stre
et R
usse
ll 10
00 V
alue
Inde
x N
L Fu
nd h
ave
a co
mbi
ne a
nnua
l min
imum
fee
of $
30,0
00.
Mar
ch 3
1,
20
17
31
AC T
rans
it Em
ploy
ees'
Ret
irem
ent
Plan
Fee
Sch
edul
e
Acco
unt
Fee
Sche
dule
Mark
et V
alue
As o
f 3/3
1/20
17%
of P
ortfo
lioEs
timat
ed A
nnua
lFe
e ($
)Es
timat
ed A
nnua
lFe
e (%
)_
Loom
is Sa
yles C
redit
Ass
et T
rust
0.45
% o
f Ass
ets
$38,
330,
709
6.2%
$172
,488
0.45
%
PIM
CO D
iversi
fied
Inco
me
Fund
0.75
% o
f Ass
ets
$40,
157,
010
6.5%
$301
,178
0.75
%
Inve
stec E
MD B
lende
d De
bt L
LC0.
55%
of A
sset
s$3
8,31
5,04
06.
2%$2
10,7
330.
55%
Cres
cent
Dire
ct Le
nding
Fun
d, L
.P.
0.85
% o
f Ass
ets
$10,
889,
738
1.8%
$92,
563
0.85
%
Park
Squ
are
Capit
al Cr
edit O
ppor
tunit
ies ll
Perfo
rman
ce-b
ased
0.7
5 an
d 10
.00
$12,
255,
004
2.0%
$91,
913
0.75
%
Wes
tpor
t Rea
l Esta
te F
und
lll, L
.P.
1.15
% o
f Ass
ets
$2,6
06,3
870.
4%$2
9,97
31.
15%
JPM
CB S
trate
gic P
rope
rty F
und
1.00
% o
f Ass
ets
$13,
739,
316
2.2%
$137
,393
1.00
%
UBS
Trum
bull P
rope
rty F
und
0.96
% o
f Firs
t $10
.0 M
il,0.
83%
of N
ext $
15.0
Mil,
0.81
% o
f Nex
t $25
.0 M
il,0.
79%
of N
ext $
50.0
Mil,
0.67
% o
f Nex
t $15
0.0
Mil,
0.60
% T
here
afte
r
$13,
535,
219
2.2%
$124
,666
0.92
%
Broo
kfield
Stra
tegic
Rea
l Esta
te P
artn
ers l
l, L.P
.Pe
rform
ance
-bas
ed 1
.50
and
20.0
0$2
,305
,630
0.4%
$34,
584
1.50
%
Cash
Acc
ount
No F
ee$3
,926
,940
0.6%
----
Inve
stm
ent M
anag
emen
t Fee
$619
,506
,868
100.
0%$2
,877
,391
0.46
%XX
XXX
Mar
ch 3
1,
20
17
*1.5% on committed capital during the investment period and 1.5%
on invested capital following the investment period, plus 20% performance fee over a 9% hurdle.
32
AC T
rans
it Em
ploy
ees'
Ret
irem
ent
Plan
Tota
l Fun
d Ret
urn
Sum
mar
y vs
. Pe
er U
nive
rse
Mar
ch 3
1,
20
17
33
AC T
rans
it Em
ploy
ees'
Ret
irem
ent
Plan
Tota
l Fun
d Ret
urn
Sum
mar
y vs
. Pe
er U
nive
rse
Mar
ch 3
1,
20
17
34
AC T
rans
it Em
ploy
ees'
Ret
irem
ent
Plan
Tota
l Fun
d Ris
k Sta
tistic
s vs
. Pe
er U
nive
rse
Tota
l Fun
d v
s. In
vest
orFo
rce
Publ
ic D
B Ne
t3
Year
s
Mar
ch 3
1,
20
17
35
Tota
l Fun
d v
s. In
vest
orFo
rce
Publ
ic D
B Ne
t5
Year
s
AC T
rans
it Em
ploy
ees'
Ret
irem
ent
Plan
Tota
l Fun
d Ris
k Sta
tistic
s vs
. Pe
er U
nive
rse
Mar
ch 3
1,
20
17
36
Mar
ch 3
1,
20
17
AC T
rans
it Em
ploy
ees'
Ret
irem
ent
Plan
Tota
l Fun
d Ris
k/Ret
urn
- 3
Year
s
3 Ye
ars
Endi
ng M
arch
31,
201
7
Anlzd
Ret
Rank
Anlzd
Std
Dev
Rank
_
Tota
l Fun
d 4.
98%
506.
17%
47Po
licy I
ndex
4.89
%56
6.22
%50
XXXX
X
3 Ye
ars
Endi
ng M
arch
31,
201
7
Sh
arpe
Rat
ioRa
nkSo
rtino
Ratio
RFRa
nk_
Tota
l Fun
d 0.
7853
1.31
40Po
licy I
ndex
0.76
571.
2350
XXXX
X
37
Mar
ch 3
1,
20
17
AC T
rans
it Em
ploy
ees'
Ret
irem
ent
Plan
Tota
l Fun
d Ris
k/Ret
urn
- 5
Year
s
5 Ye
ars
Endi
ng M
arch
31,
201
7
Anlzd
Ret
Rank
Anlzd
Std
Dev
Rank
_
Tota
l Fun
d 7.
29%
456.
46%
58Po
licy I
ndex
6.95
%59
6.42
%55
XXXX
X
5 Ye
ars
Endi
ng M
arch
31,
201
7
Sh
arpe
Rat
ioRa
nkSo
rtino
Ratio
RFRa
nk_
Tota
l Fun
d 1.
1156
1.68
51Po
licy I
ndex
1.06
661.
6161
XXXX
X
38
Man
ager
An
alys
is
Mar
ch 3
1,
20
17
AC T
rans
it Em
ploy
ees'
Ret
irem
ent
Plan
Bla
ckro
ck R
usse
ll 10
00 I
ndex
Fun
d
40
Mar
ch 3
1,
20
17
AC T
rans
it Em
ploy
ees'
Ret
irem
ent
Plan
Bla
ckro
ck R
usse
ll 10
00 I
ndex
Fun
d
41
Mar
ch 3
1,
20
17
AC T
rans
it Em
ploy
ees'
Ret
irem
ent
Plan
Bla
ckro
ck R
usse
ll 10
00 I
ndex
Fun
d
Styl
e m
ap is
retu
rn b
ased
.
42
Equi
ty S
ecto
r Attr
ibut
ion
Attri
butio
n Ef
fect
sRe
turn
sSe
ctor
Wei
ghts
Tota
lSe
lectio
nAl
locat
ionIn
tera
ction
Effe
ctsEf
fect
Effe
ctEf
fects
Portf
olio
Benc
hmar
kPo
rtfoli
oBe
nchm
ark
_
Ener
gy0.
0%
0.0%
0.
0%
0.0%
-6
.7%
-6
.7%
7.
0%
7.1%
Mat
erial
s0.
0%
0.0%
0.
0%
0.0%
6.
6%
6.6%
3.
2%
3.3%
Indu
strial
s0.
0%
0.0%
0.
0%
0.0%
4.
4%
4.4%
10
.4%
10
.6%
Cons
umer
Disc
retio
nary
0.0%
0.
0%
0.0%
0.
0%
8.4%
8.
4%
12.3
%
12.5
%Co
nsum
er S
taple
s0.
0%
0.0%
0.
0%
0.0%
6.
1%
6.1%
8.
6%
8.8%
Healt
h Ca
re0.
0%
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43
Mar
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AC T
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Ret
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Plan
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ge &
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44
Mar
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1,
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AC T
rans
it Em
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ent
Plan
Dod
ge &
Cox
U.S
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45
Mar
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AC T
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ploy
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46
Mar
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AC T
rans
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ploy
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Ret
irem
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Plan
Dod
ge &
Cox
U.S
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47
Mar
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1,
20
17
AC T
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it Em
ploy
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Ret
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Plan
San
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Gro
wth
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48
Mar
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1,
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17
AC T
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ploy
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Ret
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Plan
San
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Gro
wth
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49
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San
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Mar
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1,
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17
50
Mar
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Equi
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PRIC
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51
Mar
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1,
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AC T
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Ret
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sell
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Ind
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52
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17
AC T
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Ret
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tree
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Ind
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53
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54
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Mar
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AC T
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Mar
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AC T
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Blo
ombe
rg, Ja
pan
Min
istr
y of
Int
erna
l Affai
rs a
nd C
omm
unic
atio
ns,
Euro
stat
Sou
rce:
Blo
ombe
rg, Ja
pan
Min
istr
y of
Int
erna
l Affai
rs a
nd C
omm
unic
atio
ns,
Euro
stat
Sou
rce:
Blo
ombe
rg, O
ECD
Sou
rce:
Blo
ombe
rg, O
ECD
, Eu
rost
at
‐3%
‐2%
‐1%0%1%2%3%4%5%
2004
2005
2006
2007
2008
2009
2010
2011
2012
2013
2014
2015
2016
2017
Japan CP
IEu
ro CPI
0%2%4%6%8%10%
12%
14%
2002
2003
2004
2005
2006
2007
2008
2009
2010
2011
2012
2013
2014
2015
2016
Europe
Une
mploymen
tJapan Une
mploymen
t
‐10%‐8%
‐6%
‐4%
‐2%0%2%4%6%8%10%
2007
2008
2009
2010
2011
2012
2013
2014
2015
2016
YoY % Change in Manufacturing
Germany
Fran
ceIta
lyJapan
97.0
98.0
99.0
100.0
101.0
102.0
103.0 20
0720
0820
0920
1020
1120
1220
1320
1420
1520
16
OECD Leading Indicator SA
Euro Area
Japan
UK
Canada
Mar
ch 3
1,
20
17
114
EM in
flat
ion
var
ies
by
cou
ntr
yR
elat
ivel
y h
ealt
hy
Deb
t/G
DP
rat
ios
Acc
oun
t b
alan
ces
rem
ain
ste
ady
EM c
onti
nu
es t
ren
din
g h
igh
er a
s a
per
cen
t of
glo
bal
ou
tpu
t
Emer
ging
Mar
ket
Econ
omic
Ind
icat
ors
Sou
rce:
Blo
ombe
rgSou
rce:
Blo
ombe
rg, IM
F
Sou
rce:
Blo
ombe
rg, IM
FSou
rce:
Blo
ombe
rg
0.0%
2.0%
4.0%
6.0%
8.0%
10.0%
12.0%
14.0%
16.0%
Brazil
China
Mexico
South
Africa
Russia
India
Turkey
CPI
Most R
ecen
t1 Yr Previou
s
0%10%
20%
30%
40%
50%
60%
70%
80%
90%
Mexico
Brazil
South
Africa
Turkey
China
Russia
India
Gross Gov't Debt as % of GDP
‐20%
‐15%
‐10%‐5%0%5%10%
15%
2007
2008
2009
2010
2011
2012
2013
2014
2015
2016
Account Balance (% of GDP)
Mexico
Brazil
South Africa
Turkey
India
China
Russia
0%10%
20%
30%
40%
50%
60%
70%
80%
90%
100%
1997
1999
2000
2001
2003
2004
2005
2007
2008
2009
2011
2012
2013
2015
2016
2017
2019
2020
GDP PPP as % of World
Develope
dEm
erging
Mar
ch 3
1,
20
17
115
Equ
ity
vola
tilit
y re
mai
ns
low
Trea
sury
vol
atili
ty h
as r
ecen
tly
sub
sid
ed
Cu
rren
cy v
olat
ility
rem
ain
s el
evat
edC
omm
odit
y vo
lati
lity
con
tin
ues
to
dec
line
Vola
tility
Sou
rce:
Blo
ombe
rg, CBO
ESou
rce:
Blo
ombe
rg, M
errill
Lync
h
Sou
rce:
Blo
ombe
rg, M
errill
Lync
hSou
rce:
Blo
ombe
rg, D
euts
che
Ban
k
05101520253035404550
2012
2013
2014
2015
2016
VIX Inde
x
405060708090100
110
120
130 20
1220
1320
1420
1520
16
MOVE
Inde
x
4567891011121314
2012
2013
2014
2015
2016
2017
CVIX Inde
x
5791113151719
2012
2013
2014
2015
2016
Bloo
mbe
rg Com
mod
ity 90D
Vol
Mar
ch 3
1,
20
17
116
Cu
rren
cy m
ovem
ent
con
tin
ues
imp
acti
ng
th
e va
lue
of t
he
BoJ
’sb
alan
ce s
hee
tP
ost-
elec
tion
yie
ld c
urv
e h
as in
crea
sed
sl
igh
tly
wit
h t
he
Fed
rat
e h
ike
Ex-
US
dev
elop
ed m
arke
t in
tere
st r
ates
are
lo
wer
th
an t
he
pre
viou
s ye
arEM
cen
tral
ban
k p
olic
ies
vary
by
cou
ntr
y-sp
ecif
ic e
con
omic
con
dit
ion
s
Cen
tral
Ban
ks
Sou
rce:
Blo
ombe
rg, Fe
dera
l Res
erve
, Ban
k of
Jap
an,
ECB, N
EPC
Sou
rce:
Blo
ombe
rg, Fe
dera
l Res
erve
Sou
rce:
Blo
ombe
rgSou
rce:
Blo
ombe
rg
$0.0
$0.5
$1.0
$1.5
$2.0
$2.5
$3.0
$3.5
$4.0
$4.5
$5.0
Trillions (balance sheet assets)
FED
ECB
BoJ
0.0%
0.5%
1.0%
1.5%
2.0%
2.5%
2016
2017
2018
2018
2019
Curren
t12
/30/20
169/30
/201
66/30
/201
6
‐1.0%‐0.5%0.0%
0.5%
1.0%
1.5%
2.0%
2.5%
3.0%
3.5%
4.0%
US
UK
Switzerland
Singap
ore
Norway
New
Zealand
Japan
ECB
Canada
Australia
Target Cen
tral Bank Ra
te
1 Year Previou
sCu
rren
t
0.0%
2.0%
4.0%
6.0%
8.0%
10.0%
12.0%
14.0%
16.0%
Brazil
China
India
Indo
nesia
Malaysia
Mexico
Poland
Russia
South Afric
aSouth Ko
rea
Turkey
Target Cen
tral Bank Ra
te1 Year Previou
sCu
rren
t
Mar
ch 3
1,
20
17
117
EM a
nd
EA
FE v
alu
atio
ns
rem
ain
low
er t
han
th
e p
revi
ous
year
Rol
ling
an
nu
al e
arn
ing
s g
row
th c
onti
nu
es
tren
din
g u
pw
ard
off
con
trac
tion
Pro
fit
mar
gin
s co
nti
nu
e to
in
crea
seEq
uit
ies
hav
e ex
per
ien
ced
pos
itiv
e sh
ort-
term
per
form
ance
Glo
bal E
quity
Sou
rce:
Blo
ombe
rg, Sta
ndar
d an
d Po
ors,
MSCI
*MSCI
EAFE
is e
x U
K T
elec
om*S
tand
ard
devi
atio
n ca
lcul
atio
ns o
n 20
yea
rs o
f da
ta e
xcep
t S&
P 50
0 (3
0 ye
ars)
Sou
rce:
Blo
ombe
rg, Sta
ndar
d an
d Po
ors,
MSCI
Sou
rce:
Blo
ombe
rg, M
SCI
Sou
rce:
Blo
ombe
rg, M
SCI
05101520253035404550
S&P 50
0MSCI EM
MSCI EAF
EMSCI A
CWI
PE Ratio
+1 Std Dev
‐1 St D
ev3/31
/201
63/31
/201
7
‐50%
‐40%
‐30%
‐20%
‐10%0%10%
20%
30%
40%
50%
Rolling 12‐Mo Change in EBIT
S&P 50
0MSCI EAF
EMSCI EM
0%2%4%6%8%10%
12%
14%
Profit Margins
S&P 50
0MSCI EM
MSCI EAF
EMSCI A
CWI
0%2%4%6%8%10%
12%
14%
16%
18%
20%
S&P 50
0MSCI EAF
EMSCI EM
MSCI A
CWIMSCI A
CWI
IMI
3 Mon
th Return
1 Year Return
Mar
ch 3
1,
20
17
118
US
eq
uit
y va
luat
ion
s re
mai
n e
leva
ted
re
lati
ve t
o la
st y
ear
Rea
l G
DP
gro
wth
dec
lined
fro
m t
he
pre
viou
s q
uar
ter
Pro
fit
mar
gin
s ex
per
ien
ce a
slig
ht
up
tick
US
eq
uit
y p
osts
pos
itiv
e sh
ort-
term
ret
urn
s
US E
quity
Sou
rce:
Blo
ombe
rg, Sta
ndar
d an
d Po
ors,
Rus
sell
*Rus
sell
2000
PE
is in
dex
adju
sted
pos
itive
* Sta
ndar
d de
viat
ion
calc
ulat
ions
bas
ed o
n 20
yea
rs o
f da
taSou
rce:
Blo
ombe
rg, Bur
eau
of E
cono
mic
Ana
lysi
s
Sou
rce:
Blo
ombe
rg, Sta
ndar
d an
d Po
ors,
Rus
sell
Sou
rce:
Blo
ombe
rg, Sta
ndar
d an
d Po
ors,
Rus
sell
051015202530354045
S&P 50
0Ru
ssell 200
0Ru
ssell 100
0Growth
Russell 100
0Va
lue
PE Ratio
+1 Std Dev
‐1 St D
ev3/31
/201
63/31
/201
7
‐10%
‐8%
‐6%
‐4%
‐2%
0%2%4%6%
2016
2015
2014
2013
2012
2011
2010
2009
2008
2007
2006
US Re
al GDP
Growth
‐8%
‐6%
‐4%
‐2%0%2%4%6%8%10%
12%
1991
1993
1995
1997
1999
2001
2003
2005
2007
2009
2011
2013
2015
2017
Profit Margins
S&P 50
0Ru
ssell 200
00%5%10%
15%
20%
25%
30%
S&P 50
0Ru
ssell 250
0Ru
ssell 200
0Ru
ssell 100
0Growth
Russell 100
0Va
lue
3 Mon
th Return
1 Year Return
Mar
ch 3
1,
20
17
119
UK
val
uat
ion
fal
ls b
elow
pre
viou
s ye
ar
leve
lIn
tern
atio
nal
gro
wth
has
ste
adie
d
Pro
fit
mar
gin
s co
nti
nu
e tr
end
ing
hig
her
Str
ong
sh
ort-
term
per
form
ance
for
EA
FE
Inte
rnat
iona
l Equ
ity
Sou
rce:
Blo
ombe
rg, M
SCI,
FTS
E *U
K r
epre
sent
ed b
y FT
SE
100
Inde
x *S
tand
ard
devi
atio
n ca
lcul
atio
ns b
ased
on
20 y
ears
of
data
, w
ith E
urop
e si
nce
12/1
998
Sou
rce:
Blo
ombe
rg
Sou
rce:
Blo
ombe
rg, M
SCI
Sou
rce:
Blo
ombe
rg, M
SCI
0102030405060708090
Europe
Japan
United Kingdo
m
PE Ratio
+1 Std Dev
‐1 St D
ev3/31
/201
63/31
/201
7
‐15%
‐10%
‐5%
0%5%10%
15%
2016
2015
2014
2013
2012
2011
2010
2009
2008
2007
2006
Eurozone
Japan
UK
‐4%
‐2%0%2%4%6%8%10%
12%
14%
Profit Margins
MSCI EAF
EEu
roJapan
UK
Mar
ch 3
1,
20
17
120
Ex-B
razi
l, c
urr
ent
year
val
uat
ion
s re
mai
n
hig
her
th
an t
he
pre
viou
s ye
arB
razi
l co
nti
nu
es t
o re
bou
nd
off
ear
nin
gs
con
trac
tion
Pro
fit
mar
gin
s ex
per
ien
ce s
ligh
t u
pti
ckEM
pos
ts s
tron
g s
hor
t-te
rm r
etu
rns
Emer
ging
Mar
kets
Equ
ity
Sou
rce:
Blo
ombe
rg, M
SCI
*Sta
ndar
d de
viat
ion
calc
ulat
ions
bas
ed o
n 20
yea
rs o
f da
ta,
with
Rus
sia
sinc
e 01
/199
8Sou
rce:
Blo
ombe
rg
Sou
rce:
Blo
ombe
rg, M
SCI
Sou
rce:
Blo
ombe
rg, M
SCI
‐15%
‐10%
‐5%
0%5%10%
15%
20%
2016
2015
2014
2013
2012
2011
2010
2009
2008
2007
2006
Brazil
Russia
India
China
0%2%4%6%8%10%
12%
14%
Profit Margins
MSCI EM
0%2%4%6%8%10%
12%
14%
16%
18%
20%
MSCI EM
MSCI EM
(Local)
MSCI EM
Small Cap
MSCI EM
Small Cap
(Local)
MSCI
Fron
tier
3 Mon
th Return
1 Year Return
Mar
ch 3
1,
20
17
121
Inte
rnat
ion
al c
urr
enci
es h
ave
app
reci
ated
w
ith
th
e d
olla
r d
eclin
e Th
e Li
ra h
as e
xper
ien
ced
sh
arp
d
epre
ciat
ion
US
D e
xpec
tati
ons
vary
acr
oss
dev
elop
ed
mar
kets
The
dol
lar
has
ste
adie
d in
20
17
Cur
renc
ies
Sou
rce:
Blo
ombe
rgSou
rce:
Blo
ombe
rg
Sou
rce:
Blo
ombe
rg, Fe
dera
l Res
erve
Sou
rce:
Blo
ombe
rg
60708090100
110
120
1991
1993
1995
1997
1999
2001
2003
2005
2007
2009
2011
2013
2015
USD
Trade
Weighted Inde
x
‐15%
‐10%‐5%0%5%10%
Australian
Dollar
Canadian
Dollar
Euro
Japane
seYen
Swiss
Franc
Poun
dSterling
3 Mon
th Spo
t Change
1 Year Spo
t Cha
nge
‐30%
‐25%
‐20%
‐15%
‐10%‐5%0%5%10%
15%
20%
3 Mon
th Spo
t Change
1 Year Spo
t Change
‐3.0%
‐2.0%
‐1.0%
0.0%
1.0%
2.0%
3.0%
Euro
Yen
British
Poun
dSw
iss
Fran
cAu
s Dollar
Yuan
(O/S)
Change versus USD
3M Currency Forw
ard
12M Currency Forw
ard
Mar
ch 3
1,
20
17
122
Sp
read
s re
mai
n l
ower
th
an t
he
pre
viou
s ye
arY
ield
s ar
e si
mila
r to
th
ree
mon
ths
pri
or
Sim
ilar
du
rati
on/
yiel
d p
rofi
les
amon
g c
ore
ind
ices
Hig
h y
ield
con
tin
ues
to
outp
erfo
rm o
ther
fi
xed
in
com
e in
dic
es
US F
ixed
Inc
ome
Sou
rce:
Blo
ombe
rg, Bar
clay
s*S
tand
ard
devi
atio
n ca
lcul
atio
ns b
ased
on
20 y
ears
of
data
Sou
rce:
Blo
ombe
rg, Bar
clay
s
Sou
rce:
Blo
ombe
rg, Bar
clay
sSou
rce:
Blo
ombe
rg, Bar
clay
s
0%1%2%3%4%5%6%7%
Mon
th End
Yield
3 Mon
th Previou
s Yield
0%1%2%3%4%5%6%7%
01
23
45
67
8
Yield
Duration
BC Agg
BC Credit
BC High Yield
BC M
BSBC
Mun
icipal
BC TIPS
BC US Treasury
Mar
ch 3
1,
20
17
123
Euro
pea
n p
erip
her
y yi
eld
s va
ry r
elat
ive
to
Ger
man
yEx
th
e U
K a
nd
Au
stra
lia,
inte
rnat
ion
al
dev
elop
ed m
arke
t yi
eld
s h
ave
incr
ease
d
Low
yie
lds
per
sist
in
glo
bal
bon
d u
niv
erse
Glo
bal
bon
ds
pos
t re
lati
vely
str
ong
sh
ort-
term
ret
urn
s
Inte
rnat
iona
l Dev
elop
ed F
ixed
Inc
ome
Sou
rce:
Bar
clay
s, B
loom
berg
, *E
urop
ean
periph
ery
spre
ads
are
over
equ
ival
ent
Ger
man
Bun
dSou
rce:
Blo
ombe
rg
Sou
rce:
Blo
ombe
rg, Citi
grou
p, B
arcl
ays
Sou
rce:
Blo
ombe
rg, Citi
grou
p, B
arcl
ays
0
100
200
300
400
500
600
EuroAg
gCo
rpPan‐Eu
roHY
5 Year
Italy
5 Year
Portugal
5 Year
Spain
BC Asia
IGBC
Asia
HY
OAS or Equivalent (bps)
3/31
/201
7
3/31
/201
6
‐0.5%
0.0%
0.5%
1.0%
1.5%
2.0%
2.5%
3.0%
Germany
France
Italy
Spain
Japan
UK
Australia
10 Yr Govt Yield
Mon
th End
Yield
3 Mon
th Previou
s Yield
1 Year Previou
s Yield
‐2.0%
‐1.0%
0.0%
1.0%
2.0%
3.0%
4.0%
5.0%
01
23
45
67
89
1011
1213
14
Yield
Duration
BC Global A
gg
BC Pan
‐Euro HY
BC M
ultiverse
BC Global Infl‐Linked
BC EuroA
gg
Mar
ch 3
1,
20
17
124
Sp
read
s co
nti
nu
e to
dec
line
Ex R
uss
ia a
nd
Bra
zil,
EM
loca
l bon
d y
ield
s re
mai
n l
arg
ely
un
chan
ged
for
th
e ye
ar
EM y
ield
s re
mai
n a
ttra
ctiv
e ve
rsu
s g
lob
al
cou
nte
rpar
tsEM
deb
t p
ost
s st
ron
g p
osit
ive
shor
t-te
rm
retu
rns
Emer
ging
Mar
kets
Fix
ed I
ncom
e
Sou
rce:
Blo
ombe
rg, JP
Mor
gan
Sou
rce:
Blo
ombe
rg
Sou
rce:
Blo
ombe
rg, JP
Mor
gan
Sou
rce:
Blo
ombe
rg, JP
Mor
gan
0
200
400
600
800
1000
1200
1400
Spread in bps
EMBI Glob Div
EMBI Glob Div IG
EMBI Glob Div HY
CEMBI Div Broad
IGCE
MBI Div Broad
HY
0%2%4%6%8%10%
12%
14%
16%
10 Yr Local Govt Yield
Mon
th End
Yield
3 Mon
th Previou
s Yield
1 Year Previou
s Yield
0%1%2%3%4%5%6%7%8%
01
23
45
67
Yield
Duration
JPM EMBI Com
posite
JPM GBI‐EM Glob Div
CEMBI IG
CEMBI HY
EMBI HY
EMBI IG
‐4%
‐2%0%2%4%6%8%10%
JPM EMBI
Glob Div
JPM GBI‐EM
Glob Div
CEMBI IG
CEMBI HY
ELMI+ Com
p
3 Mon
th Return
1 Year Return
Mar
ch 3
1,
20
17
125
Sh
ort-
term
rat
e ex
pec
tati
ons
incr
ease
d w
ith
lo
ng
-ter
m r
emai
nin
g la
rgel
y u
nch
ang
edIn
tere
st r
ate
exp
ecta
tion
s re
mai
n s
imila
r to
pre
viou
s m
onth
s
10
-2 s
pre
ads
hav
e ti
gh
ten
ed i
n t
he
US
an
d
Ger
man
yS
over
eig
n b
ond
yie
lds
rem
ain
in
neg
ativ
e or
neu
tral
ter
rito
ry
Rate
s
Sou
rce:
Blo
ombe
rgSou
rce:
Blo
ombe
rg
Sou
rce:
Blo
ombe
rgSou
rce:
Blo
ombe
rg
0.0%
0.5%
1.0%
1.5%
2.0%
2.5%
3.0%
3.5%
1Y3Y
5Y7Y
10 Y15 Y
20 Y25 Y
30 Y
3/31
/201
712
/30/20
1612
/29/20
1512
/30/20
14
‐2.0%
‐1.0%
0.0%
1.0%
2.0%
3.0%
4.0%
1Y3Y
5Y7Y
10 Y15 Y
20 Y25 Y
30 Y
UK Mon
th End
UK 3M
Previou
sJapan Mon
th End
Japan 3M
Previou
sGerm M
onth End
Germ 3M Previou
s
‐0.5%
0.0%
0.5%
1.0%
1.5%
2.0%
2.5%
3.0%
2001
2002
2003
2004
2005
2006
2007
2008
2009
2010
2011
2012
2013
2014
2015
2016US 10
Yr ‐ 2 Yr
Japan 10
Yr ‐ 2 Yr
Germany 10
Yr ‐ 2 Yr
‐2%
‐1%0%1%2%3%4%5%6%
2001
2002
2003
2004
2005
2006
2007
2008
2009
2010
2011
2012
2013
2014
2015
2016
Japan 10
Yr
Japan 2 Yr
Germany 10
Yr
Germany 2 Yr
Mar
ch 3
1,
20
17
126
Lon
g d
ura
tion
yie
lds
hav
e st
ead
ied
Lon
g c
red
it y
ield
rem
ain
s in
lin
e w
ith
p
revi
ous
year
s
Yie
ld a
nd
sp
read
com
pon
ents
con
tin
ue
to
offe
r m
odes
t re
turn
sLo
ng
du
rati
on f
ixed
in
com
e p
osts
sh
ort-
term
gai
ns
Long
Rat
es a
nd L
iabi
lity
Sou
rce:
Blo
ombe
rg, Citi
grou
p, B
arcl
ays
Sou
rce:
Blo
ombe
rg, U
S T
reas
ury,
Bar
clay
s, N
EPC
Sou
rce:
Blo
ombe
rg, Bar
clay
sSou
rce:
Blo
ombe
rg, Bar
clay
s
1%2%3%4%5%6%7%8%9%10%
2007
2008
2009
2010
2011
2012
2013
2014
2015
2016
2017
BC US Long
Corp A+
BC US Long
Credit
BC 20‐30
Yr S
TRIPS
BC US Long
Treasury
0%1%2%3%4%5%6%7%8%9%10%
Long credit yield (by component)
Spread
(US Long
Credit Y
ield)
US Long
Credit O
AS
0.0%
0.5%
1.0%
1.5%
2.0%
2.5%
3.0%
3.5%
4.0%
4.5%
5.0%
1‐3 Year
3‐5 Year
5‐10
Year
Long
‐Term
US Co
rp Spread
US Gov't Yield
‐8%
‐6%
‐4%
‐2%0%2%4%6%
20‐30 Yr
STRIPs
US Ag
gLong
Treas
US Long
Cred
itUS Long
Govt/Cred
itUS Long
Cred
it A+
Long
Corp
A+
3‐Mon
th Return
1 Year Return
Mar
ch 3
1,
20
17
127
US
5 a
nd
10
yea
r re
al y
ield
s d
ecre
ased
fr
om t
hre
e m
onth
s p
rior
Fran
ce’s
yie
ld h
as in
crea
sed
wit
h e
lect
ion
u
nce
rtai
nty
US
infl
atio
n e
xpec
tati
ons
hav
e d
ecre
ased
of
f of
pos
t U
S e
lect
ion
hig
hs
Ger
man
y an
d F
ran
ce in
flat
ion
exp
ecta
tion
s h
ave
beg
un
to
fall
Infla
tion
and
Real
Rat
es
Sou
rce:
Blo
ombe
rgSou
rce:
Blo
ombe
rg
Sou
rce:
Blo
ombe
rgSou
rce:
Blo
ombe
rg
‐0.6%
‐0.4%
‐0.2%
0.0%
0.2%
0.4%
0.6%
0.8%
1.0%
US 5 Year
US 10
Year
Real Yields
1 Yr Previou
s3M
Previou
sMon
th End
1 Yr Fwd
‐2.5%
‐2.0%
‐1.5%
‐1.0%
‐0.5%
0.0%
0.5%
1.0%
1.5%
US 10
Yr
Germany
10 Yr
Brita
in 10
YrFrance 10
YrAu
stralia
10 Yr
Japan 10
Yr
Mon
th End
3‐Mo Previous
1.50
%
1.70
%
1.90
%
2.10
%
2.30
%
2.50
%
2.70
%
2.90
%
5y5y US Breakeven
0.0%
0.5%
1.0%
1.5%
2.0%
2.5%
3.0%
3.5%
4.0%
2012
2013
2014
2015
2016
2017
Inflation Breakeven
US 10
Yr
UK 10
Yr
Germany 10
Yr
Australia 10 Yr
France 10 Yr
Mar
ch 3
1,
20
17
128
MLP
yie
lds
rem
ain
sim
ilar
to t
he
pre
viou
s ye
arS
ust
ain
ed r
ecov
ery
in c
omm
erci
al r
eal
esta
te o
ccu
pan
cy r
ates
US
REI
T va
luat
ion
s h
ave
stea
die
dP
osit
ive
shor
t-te
rm p
erfo
rman
ce f
or
infl
atio
n-s
ensi
tive
gro
wth
ass
ets
Infla
tion-
Sen
sitiv
e G
row
th A
sset
s
Sou
rce:
Blo
ombe
rg, Ale
rian
, N
arei
t, S
tand
ard
and
Poor
sSou
rce:
NCREI
F
Sou
rce:
Blo
ombe
rg, U
S C
ensu
s Bur
eau
Sou
rce:
Blo
ombe
rg, Ale
rian
, N
arei
t, S
tand
ard
and
Poor
s
0%1%2%3%4%5%6%7%8%9%
Alerian MLP
NAR
EIT Global
NAR
EIT US
S&P Glob Nat
Res
Dividend Yield
Mon
th‐End
Yield
1 Year Previou
s Yield
0%5%10%
15%
20%
25%
30%
S&P Glob
Nat Res
NAR
EIT US
NAR
EIT GlobAlerian MLP
NCR
EIF
Prop
erty
3 Mon
th Return
1 Year Return
Mar
ch 3
1,
20
17
129
Neg
ativ
e ro
ll yi
eld
s re
mai
n a
hu
rdle
for
in
vest
ing
dir
ectl
y in
oil
and
nat
ura
l g
asO
il h
as s
ligh
tly
dec
lined
for
th
e m
onth
Oil
pro
du
ctio
n a
nd
con
sum
pti
on h
as
stea
die
dN
on-e
ner
gy
com
mod
itie
s h
ave
outp
erfo
rmed
bro
ad c
omm
odit
y in
dic
es
Com
mod
ities
Sou
rce:
Blo
ombe
rgSou
rce:
Blo
ombe
rg
Sou
rce:
Blo
ombe
rg, Sta
ndar
d an
d Po
ors
Sou
rce:
Blo
ombe
rg, U
S D
epar
tmen
t of
Ene
rgy
*Cru
de o
il an
d liq
uid
fuel
s
‐1%
‐1%
‐1%
‐1%
0%0%
0%0%
Copp
er
Corn
Gold
Natural GasOil
Soybeans
3‐Mo Future Roll Yield
0200
400
600
800
1000
1200
1400
1600
1800
2000
020406080100
120
140
160
2001200220032004200520062007200820092010201120122013201420152016
$/Troy Ounce
$/Barrel
Crud
e Oil Spot (LHS)
Gold Spot (R
HS)
020406080100
120
0510152025
US Prod
uctio
nUS Co
nsum
ption
World Produ
ction (RHS)
World Con
sumption (RHS
)
Crud
eoil and
liqu
id fu
els
‐6%
‐4%
‐2%0%2%4%6%8%10%
Bloo
mbe
rgCo
mmod
ityGSCI
GSCI N
on‐Ene
rgy
3‐Mon
th Return
1 Year Return
Mar
ch 3
1,
20
17
130
Info
rmat
ion
Dis
clai
mer
•P
ast
per
form
ance
is n
o g
uar
ante
e of
fu
ture
res
ult
s.
•Th
e g
oal o
f th
is r
epor
t is
to
pro
vid
e a
bas
is f
or
mo
nit
ori
ng
fin
anci
al
mar
kets
. T
he
opin
ion
s p
rese
nte
d h
erei
n r
epre
sen
t th
e g
ood
fai
th
view
s of
NEP
C a
s of
th
e d
ate
of t
his
rep
ort
and
are
su
bje
ct t
o ch
ang
e at
an
y ti
me.
•In
form
atio
n o
n m
arke
t in
dic
es w
as p
rovi
ded
by
sou
rces
ext
ern
al t
o N
EPC
. W
hile
NEP
C h
as e
xerc
ised
rea
son
able
pro
fess
ion
al c
are
in
pre
par
ing
th
is r
epor
t, w
e ca
nn
ot g
uar
ante
e th
e ac
cura
cy o
f al
l sou
rce
info
rmat
ion
con
tain
ed w
ith
in.
•A
ll in
vest
men
ts c
arry
som
e le
vel o
f ri
sk.
Div
ersi
fica
tion
an
d o
ther
as
set
allo
cati
on t
ech
niq
ues
do
not
en
sure
pro
fit
or p
rote
ct a
gai
nst
lo
sses
.
•Th
is r
epor
t is
pro
vid
ed a
s a
man
agem
ent
aid
fo
r th
e cl
ien
t’s
inte
rnal
u
se o
nly
. T
his
rep
ort
may
co
nta
in c
on
fid
enti
al o
r p
rop
riet
ary
info
rmat
ion
an
d m
ay n
ot
be
cop
ied
or
red
istr
ibu
ted
to
an
y p
arty
no
t le
gal
ly e
nti
tled
to
rec
eive
it.
Mar
ch 3
1,
20
17
131
