City of Miami General Employees’ and Sanitation …€™ and Sanitation Employees’ Retirement...

City of Miami General Employees’ and

Sanitation Employees’ Retirement Trust

Q1 2016

Table of Contents

Page #

Firm Overview 3-5

Philosophy and Process 6-7

Investment Guidelines 8-10

Performance Results 11-13

Bond Market Review 14-23

Investment Strategy 24

Portfolio Review 25-27

Holdings/Appendix

FIRM OVERVIEW PHILOSOPHY& PROCESS

INVESTMENT GUIDELINES

PERFORMANCE RESULTS

BOND MARKET REVIEW

INVESTMENT STRATEGY

PORTFOLIO REVIEW

APPENDIX 3

Introduction to Chicago Equity Partners

Experience Over 25 years of institutionally-focused investment management across equities and fixed income

Total of 39 employees with an average professional-level tenure at Chicago Equity Partners of 16 years

$9.7 billion in assets under management for more than 100 institutional clients around the world*

Discipline Focus on clearly-defined and process-oriented strategies which are repeatable and scalable

Deliberate approach to taking investment risks for which we believe our clients will be appropriately compensated

Long-standing commitment to continued innovation in our investment approach

Partnership Entire business platform built around delivering targeted solutions for sophisticated investors: we work with our clients to meet their investment objectives

Exceptional level of client service

Robust operational platform following industry best practices is the cornerstone of our long-term stability

*Assets under management as of March 31, 2016



PERFORMANCE RESULTS

BOND MARKET REVIEW

INVESTMENT STRATEGY

PORTFOLIO REVIEW

APPENDIX 4

Clients are our Top Priority

• AAA Allied Group, Inc.• Advocate Health Care• Bryan Health System• CHS Insurance, Ltd.• Consolidated Edison• Dow Union Carbide Employees’ Pension Plan• DTE Energy• HealthPartners Insurance Company• Island Insurance Company, Ltd.• Marriott International, Inc.• NAMIC (National Association of Mutual Insurance

Companies)• National Basketball Association• The Sherwin Williams Company• Tempel Steel• ThedaCare Operating Fund• United Airlines• United Technologies Corporation• University Hospitals Health System• Walgreen Company• The Wooster Brush Company

• The Batchelor Foundation• Bush Foundation• Catholic Theological Union• Children’s Care Foundation• Diocese of Joliet• Diocese of Saginaw• The Diocese of St. Petersburgh• Dominican Sisters of Kenosha• Elks National Foundation• Friends Fiduciary Corporation• Gottlieb Memorial Foundation• The Hall-Perrine Foundation• Iowa Board of Regents• LaRabida Children’s Hospital• Lloyd A. Fry Foundation

• Mennonite Education Agency• Misericordia Home Endowment• Missionary Servants of the Most Blessed Trinity• Moose Foundation• Northwest Women’s Religious Investment Trust• Oklahoma Medical Research Foundation• Purdue University• The Regents of the University of Colorado• Rosalind Franklin University of Medicine and Science• Rush University Medical Center• Schoenstatt Sisters of Mary• Sisters of Charity of Saint Elizabeth New Jersey• Sisters of St. Casimir• Sisters of Saint Dominic• Sisters of Saint Francis of Assisi• The Smith Center for the Performing Arts• SSM International Finance• St. Procopius Abbey• Virginia Mennonite Retirement Community• Wallace H. Coulter Foundation

• Association of Washington Cities • California State Teachers’ Retirement System• The Chicago Housing Authority• City of Miami General Employees' and Sanitation

Employees' Retirement Trust• City of Springfield Police Pension Fund• Commonwealth of Massachusetts Deferred

Compensation Plan• Cook County Employees’ Annuity and Benefit Fund• Firemen’s Annuity and Benefit Fund of Chicago• Illinois State Board of Investment• Intergovernmental Risk Management Agency• Knox County Retirement System• Lake Forest Police Pension Fund• Los Angeles Fire & Police Pension System• Nevada Higher Education Pre-paid Tuition Program• Nevada State Treasurer• New Orleans (LA) Sewerage & Water Board Pension

• Park Employees' Annuity & Benefit Fund of Chicago• Puerto Rico Government Employees and Judiciary

Retirement Systems• Puerto Rico Government Teachers Retirement

System• Public School Retirement System of the City of St.

Louis• Retirement Plan for CTA Employees• State Universities Retirement System of Illinois• WorkSafeNB

• Bakery Drivers & Salesman Local 194& Industry Pension Fund

• Chicago Area I.B. Of T. Benefit Trust Funds • Chicago Regional Council of Carpenters Millmen

Pension Fund• Des Moines Iron Workers Local 67• District #9 I.A.M.A.W. Pension Trust• I.B.E.W. Local #9 and Outside Contractors Pension

Fund• Midwest Operating Engineers’ Welfare Fund• North Central Illinois Laborers Health & Welfare Fund• NYC Local 237 International Brotherhood of

Teamsters• Painters and Allied Trades District Council #35 Trust

Funds• Southern States Savings and Retirement Plan Trust• Teamsters Local #705 Pension and

Health & Welfare Funds• Uniformed Firefighter's Association (NYC)

• AMG Funds • Bank of Hawaii• Jackson National Asset Management, LLCThe above client list is a representative sample of clients with assets of $5 million orgreater under management who have given CEP permission to use their name asof March 31, 2016. It is not known whether the listed clients approve or disapproveof Chicago Equity Partners or the advisory services provided.

Corporations

Endowments & Foundations

Public Funds

Taft-Hartley

Mutual Funds / Subadvisory



PERFORMANCE RESULTS

BOND MARKET REVIEW

INVESTMENT STRATEGY

PORTFOLIO REVIEW

APPENDIX 5

CEP Fixed IncomeCEP’s Fixed Income team employs an accomplished team of industry leading investment professionals who have spent an average of 15 years working together.

FIXED INCOMETEAM

QUANTITATIVERESEARCH

INDUSTRY ANALYSTS

Portfolio management Risk control

Model research and development Study academic and industry trends

Company specific analysis Industry specific analysis

Years with Years in Years with Years in Years with Years in Firm Industry Firm Industry Firm Industry

Curt Mitchell, CFA 12 30 Keith Gustafson, CFA 18 26 Robert H. Kramer, CFA, CPA 26 29Partner, CIO - Fixed Income Partner FounderMichael Budd 27 36 Patricia Halper, CFA 17 19 Michael Lawrence, CFA 18 27Managing Director Partner DirectorChristopher Ashbee, CFA, FRM 6 12 George Gao, CFA 11 22 Martin Morris, CFA 22 22Director Director DirectorFeng Zhao, Ph.D., CFA, FRM 1 20 Abhay Munot, CFA 4 5 William Murray, CFA 22 25Director Director DirectorTina Krauskopf 10 35 AVERAGE 13 18 James Palermo, CFA 24 32Director, Trading DirectorKenny Kwan 6 26 AVERAGE 22 27Associate

AVERAGE 10 27March 31, 2016



PERFORMANCE RESULTS

BOND MARKET REVIEW

INVESTMENT STRATEGY

PORTFOLIO REVIEW

APPENDIX 6

Fixed Income Investment Philosophy

Our Core Beliefs Yield wins over time, but not all the time.Our rigorous research allows us to add value through sector allocation by identifying when we are being appropriately compensated for taking credit risk.

Changes in fundamentals drive security selection returns.The analysis of forward-looking measures of credit quality allows us to identify companies that we believe will outperform and avoid those that will underperform.

Risk management is critical to success.Minimizing downside risk and avoiding permanent loss of principal are primary goals.

Outcomes Our research-oriented and disciplined investment process focuses on fundamentals and valuations.

A countercyclical, value-driven approach produces excess returns primarily through sector allocation and security selection rather than a static overweight to risky positions or interest rate timing.

Returns are highly correlated to the overall bond market, but excess returns are generally often lowly or negatively correlated to bond manager peers.

We believe the role of fixed income is to provide principal preservation, income, and risk reduction through diversification.

This philosophy is the foundation of our investment process and makes our firm unique.



PERFORMANCE RESULTS

BOND MARKET REVIEW

INVESTMENT STRATEGY

PORTFOLIO REVIEW

APPENDIX 7

Fixed Income Investment Process

SectorAllocation

Sector and quality decisions incorporate fundamental, valuation, and momentum / sentiment market conditions.

Security Selection

Risk-budgeting framework measures magnitude of each excess return strategy on a forward-looking basis, while attribution provides real-time feedback.

2

Risk Management

3

1STRUCTURED

ANDDISCIPLINED

Security and industry selection research combines quantitative equity-based inputs with qualitative insight from analysts.

We combine multiple strategies in areas where we have repeatedly demonstrated skill to produce consistent results.

TOP DOWN BOTTOM UP

DOWNSIDE PROTECTION

Our investment process produces consistent returns while limiting risk.



PERFORMANCE RESULTS

BOND MARKET REVIEW

INVESTMENT STRATEGY

PORTFOLIO REVIEW

APPENDIX 8

Investment Guidelines

High Quality Intermediate Fixed Income

Benchmark Barclays Intermediate Government Credit Index

Fixed Income Securities

The fixed income portion of the Trust shall be invested in marketable, fixed income securities. Corporate bond issues shall be diversified by industry and in number so that no investment in the securities of a single issue shall exceed 7% (at market) of the value of the portfolio. Single industry weightings will be a maximum of 25%, except US Government and agency securities.

Fixed income investments are expected to preserve capital and provide a high level of income on a consistent basis.

The fixed income investments shall be appropriately diversified although the investment manager may engage in "active" bond management. It is therefore anticipated that there may be turnover as shifts are made between and within sectors, quality and maturity.

Average duration of the fixed income asset class will be targeted within a range of three to ten years. Each manager is expected to keep duration at +/- one year of the benchmark duration.

Permissible Direct Investments:

Commercial Paper of only the highest quality shall be used when invested on an individual basis Certificates of Deposit of the top 100 national banks, so long as they are stated on the Controller's list Bankers Acceptances United States Treasury Bonds, Notes and Bills



PERFORMANCE RESULTS

BOND MARKET REVIEW

INVESTMENT STRATEGY

PORTFOLIO REVIEW

APPENDIX 9


Permissible Direct Investments:

Repurchase agreements with U.S. Treasury Securities and agencies of the U.S. Government as collateral (marking to the market daily). The investment policy shall require all approved institutions and dealers transacting repurchase agreements to execute and perform as stated in the Master Repurchase Agreement. All repurchase agreement transactions shall adhere to the requirements of the Master Repurchase Agreement.

Debt instruments issued or backed by agencies of/or guaranteed by the U.S. Government All investment grade corporate debt issues including those rated Baa3/BBB- better by Moody's Investors

Services and/or Standard and Poors Corporation. In the case of a split rating, the higher rating shall apply. Securities downgraded subsequent to purchase resulting in violations of quality guidelines may be held at the manager's discretion subject to the high yield limitations indicated below.

Mortgages, including agency, non-agency, commercial backed securities and CMO’s (as long as all other provisions are met).

Futures (but must not exceed 15% without prior approval by the Board) and Options. However, these securities may not be used to leverage or hedge the portfolio.

Preferred Stock Municipal Bonds Asset backed securities Yankee bonds/foreign credits Commingled and mutual funds Eurodollar bonds 20% maximum of each manager’s portfolio may be invested in aggregate to Yankee bonds, Foreign credits,

Eurodollar bonds and Rule 144A Securities. 20% maximum of each manager’s portfolio may be invested in high yield securities (with ratings of CCC or

better).



PERFORMANCE RESULTS

BOND MARKET REVIEW

INVESTMENT STRATEGY

PORTFOLIO REVIEW

APPENDIX 10


Excluded Direct Investments:Private Placements

Debt to Equity exchanges

Investment managers are not authorized to use derivative securities, or strategies that do not comply with the basic investment objectives of this policy, i.e., an emphasis on the preservation of principal consistent with conservative growth of assets. Managers are specifically prohibited from using derivative or synthetic securities whose characteristics as implemented by the manager include potentially high price volatility and whose returns are speculative or leveraged (when considered together with liquid/short-term securities positions) or whose marketability may be severely limited, without written authority from the Board.



PERFORMANCE RESULTS

BOND MARKET REVIEW

INVESTMENT STRATEGY

PORTFOLIO REVIEW

APPENDIX 11

Portfolio Performance as of March 31, 2016

*Trailing periods ending March 31, 2016

-1.00%

-0.50%

0.00%

0.50%

1.00%

1.50%

2.00%

2.50%

3.00%

3.50%

Q1 2016 FYTD** 1 Year 3 Years 5 Years SinceInception

Portfolio 2.45% 1.61% 2.33% 1.46% 2.80% 3.11%Benchmark 2.45% 1.74% 2.06% 1.83% 3.01% 3.29%Excess 0.00% -0.13% 0.27% -0.37% -0.21% -0.18%

-4.00%

-2.00%

0.00%

2.00%

4.00%

6.00%

8.00%

YTD2016 2015 2014 2013 2012 2011 2010 2009***

Portfolio 2.45% 1.24% 2.97% -2.21% 2.85% 6.98% 5.97% -0.21%Benchmark 2.45% 1.07% 3.13% -0.86% 3.89% 5.80% 5.89% -0.14%Excess 0.00% 0.17% -0.16% -1.35% -1.04% 1.18% 0.08% -0.07%

Calendar Year Returns

Portfolio market value: $37,986,292

Performance results are gross of fees. Periods over one year are annualized.Performance start date: October 31, 2009*Time weighted and year-to-date returns for periods ending March 31, 2016**Fiscal year-to-date is as of September 30, 2015***Return is for partial period beginning October 31, 2009 and ending December 31, 2009

Barclays Capital Inter. Govt/Credit

City of Miami GESE



PERFORMANCE RESULTS

BOND MARKET REVIEW

INVESTMENT STRATEGY

PORTFOLIO REVIEW

APPENDIX 12

Sector Excess Returns

-0.4% 0.0% 0.4% 0.8% 1.2% 1.6%

Sovereign

Corporate

CMBS

Mortgage

U.S. Agency

Corporate Maturity Excess Returns

-0.3%

0.0%

0.3%

0.6%

0.9%

1-3 Yr 3-5 Yr 5-7 Yr 7-10 Yr 10 Yr > 25 Yr >

Corporate Industry Excess Returns

-2% -1% 0% 1% 2% 3% 4%

InsuranceBrokerage

REITSBanking

Natural GasOther Industrial

Finance CompaniesOther Financial

EnergyElectric

TechnologyTransportation

Other UtilityCapital GoodsCons. Cyclical

Cons. Non-CyclicalCommunications

Basic IndustryExcess returns shown are for Index sectors within Barclays U.S. Aggregate Index relative to duration equivalent Treasuries. Source: Barclays

Quality Excess Returns

-0.2% -0.1% 0.0% 0.1% 0.2% 0.3% 0.4%

Baa

A

AA

AAA

Excess Returns: January 1, 2016 – March 31, 2016



PERFORMANCE RESULTS

BOND MARKET REVIEW

INVESTMENT STRATEGY

PORTFOLIO REVIEW

APPENDIX 13

High Quality Intermediate Excess Return

Outperformance

Underperformance

High Quality Intermediate Vs. Barclays Intermediate Government/Credit IndexRolling 5 year gross returns since inception (Q1 1996)*

See attached disclosure in the Appendix. Supplemental information offered is in addition to our performance presentation data and disclosures. Past performance is not indicative of future results. * Data is based on quarterly five year rolling annualized returns since inception through 3/31/16.

2.0%

3.0%

4.0%

5.0%

6.0%

7.0%

8.0%

9.0%

2.0% 3.0% 4.0% 5.0% 6.0% 7.0% 8.0%

High

Qua

lity

Inte

rmed

iate

Barclays Capital Int Govt/Credit



PERFORMANCE RESULTS

BOND MARKET REVIEW

INVESTMENT STRATEGY

PORTFOLIO REVIEW

APPENDIX 14

Fed Policy

The Fed and market expectations are still at odds on rate increases this year.

0.4%

0.5%

0.6%

0.7%

0.8%

0.9%

1.0%

1.1%

Jun-15 Jul-15 Aug-15 Sep-15 Oct-15 Nov-15 Dec-15 Jan-16 Feb-16 Mar-16

Fed Funds Futures December 2016

Market Implied Fed Funds Rate by December 2016

Federal Reserve Median Projection of Fed Funds Rate by December 2016

Source: Bloomberg

1.0%

0.5%



PERFORMANCE RESULTS

BOND MARKET REVIEW

INVESTMENT STRATEGY

PORTFOLIO REVIEW

APPENDIX 15

-$500

-$250

$0

$250

$500

$750

Dec

-08

Mar

-09

Jun-

09

Sep-

09

Dec

-09

Mar

-10

Jun-

10

Sep-

10

Dec

-10

Mar

-11

Jun-

11

Sep-

11

Dec

-11

Mar

-12

Jun-

12

Sep-

12

Dec

-12

Mar

-13

Jun-

13

Sep-

13

Dec

-13

Mar

-14

Jun-

14

Sep-

14

Dec

-14

Mar

-15

Jun-

15

Sep-

15

Dec

-15

Mar

-16

BoJ

ECB

Fed

EM

Total

The ECB and Bank of Japan stimulus efforts are being offset by the Fed and emerging markets.

Source: CitigroupNote: Emerging market balance sheet changes are represented by foreign currency reserve changes.

Global central bank asset purchases, rolling 3-month, $Billions

Global Central Bank Balance Sheet Changes



PERFORMANCE RESULTS

BOND MARKET REVIEW

INVESTMENT STRATEGY

PORTFOLIO REVIEW

APPENDIX 16

Fundamentals

Growth in government and nonfinancial corporate debt has offset deleveraging in the financial and household sectors.

0

2,000

4,000

6,000

8,000

10,000

12,000

14,000

16,000

18,000

20,000

Dec

-90

Dec

-92

Dec

-94

Dec

-96

Dec

-98

Dec

-00

Dec

-02

Dec

-04

Dec

-06

Dec

-08

Dec

-10

Dec

-12

Dec

-14

Government Debt

Financial Corporate DebtHousehold Debt

Non-Financial Corporate Debt

Sources: Federal Reserve, Bloomberg

$Billions

Leverage



PERFORMANCE RESULTS

BOND MARKET REVIEW

INVESTMENT STRATEGY

PORTFOLIO REVIEW

APPENDIX 17

FundamentalsOutside of recessions, significant earnings declines in the S&P 500 are rare.

-50%

-25%

0%

25%

50%

75%

100%

Dec-89 Dec-91 Dec-93 Dec-95 Dec-97 Dec-99 Dec-01 Dec-03 Dec-05 Dec-07 Dec-09 Dec-11 Dec-13 Dec-15

Source: Standard & Poor’s, NBER, and FactSet

-11.1%

-110% -90% -70% -50% -30% -10% 10%

TelecomConsumer Disc

HealthcareUtilities

Consumer StaplesInfo Tech

S&P 500IndustrialsFinancialsMaterials

Energy

Earnings declines started with commodity-related industries but are now broad-based.S&P 500 Q1 2016 Earnings Estimates

S&P 500 12-Month Operating EPS Year-over-Year Percent Change

Shaded areas represent recessions



PERFORMANCE RESULTS

BOND MARKET REVIEW

INVESTMENT STRATEGY

PORTFOLIO REVIEW

APPENDIX 18

Stock buybacks are at the highest level since 2007.

17%

15%13%

16% 16%

23%

29%30%

34%

23%

13%

21%

24%

22%

25%26%

30%

0%

10%

20%

30%

40%

1999

2000

2001

2002

2003

2004

2005

2006

2007

2008

2009

2010

2011

2012

2013

2014

2015

Source: Goldman Sachs

0.8

1.1

1.5

2.3

3.1

3.5

1.8

1.31.4

2.1

2.9

3.9

4.6

3.3

2.3

2.7

5.0

2.72.8

3.6

0.0

1.0

2.0

3.0

4.0

5.0

1995

1996

1997

1998

1999

2000

2001

2002

2003

2004

2005

2006

2007

2008

2009

2010

2011

2012

2013

2014

2015

Sources: CreditSights, Dealogic

$Trillions

Deal activity, which has been mostly financed with cheap debt, is at historical highs as earnings growth falters.

Share Buybacks Percent of Total Cash Use M&A Volumes

Fundamentals



PERFORMANCE RESULTS

BOND MARKET REVIEW

INVESTMENT STRATEGY

PORTFOLIO REVIEW

APPENDIX 19

Fundamentals

We are past the peak in the credit cycle and heading toward the trough.

Sources: Bloomberg, Federal Reserve

100

300

500

700

900

1100

1300

1500

-35

-15

5

25

45

65

85

Dec

-90

Dec

-91

Dec

-92

Dec

-93

Dec

-94

Dec

-95

Dec

-96

Dec

-97

Dec

-98

Dec

-99

Dec

-00

Dec

-01

Dec

-02

Dec

-03

Dec

-04

Dec

-05

Dec

-06

Dec

-07

Dec

-08

Dec

-09

Dec

-10

Dec

-11

Dec

-12

Dec

-13

Dec

-14

Dec

-15

% Banks Tightening Lending for Small Business Loans (LHS)High Yield Spread (RHS)

% of Lenders Tightening Basis Points

Banks Tightening Lending Standards versus High Yield Spread

Credit spreads start to widen materially once lending standards move to a net tightening position (above 0).

This occurred in Q4, 2015.



PERFORMANCE RESULTS

BOND MARKET REVIEW

INVESTMENT STRATEGY

PORTFOLIO REVIEW

APPENDIX 20

Valuations

0

100

200

300

400

500

600

700

Dec

-89

Dec

-90

Dec

-91

Dec

-92

Dec

-93

Dec

-94

Dec

-95

Dec

-96

Dec

-97

Dec

-98

Dec

-99

Dec

-00

Dec

-01

Dec

-02

Dec

-03

Dec

-04

Dec

-05

Dec

-06

Dec

-07

Dec

-08

Dec

-09

Dec

-10

Dec

-11

Dec

-12

Dec

-13

Dec

-14

Dec

-15

Barclays Corporate Spread Index

Investment grade corporate spreads do not adequately compensate investors for global risks.

Basis Points

Stock Market Crash

QE1

Source: Barclays

Recession

Subprime Crisis

Worldcom

Recession

LTCMS&L CrisisQE29/11

QE3

GM/Ford Downgrades

Current Spread 163 bpsAverage Since 6/30/07 197 bpsLong Term Average 135 bps

QE3 Ends

0

100

200

300

Dec

-11

Jun-

12

Dec

-12

Jun-

13

Dec

-13

Jun-

14

Dec

-14

Jun-

15

Dec

-15

AAAAAABAA

Quality spreads are decompressing as credit spreads widen.



PERFORMANCE RESULTS

BOND MARKET REVIEW

INVESTMENT STRATEGY

PORTFOLIO REVIEW

APPENDIX 21

ValuationsU.S. Treasury yields, while low by historical standards, remain attractive relative to global peers.

Source: BloombergNote: Swedish 3Y Bond Yield is interpolated because no bond with that maturity exists

1 Year 3 Year 5 Year 10 Year 30 Year

12/31/14 0.22% 1.07% 1.65% 2.17% 2.75%

12/31/15 0.60% 1.31% 1.76% 2.27% 3.02%

3/31/16 0.63% 0.87% 1.26% 1.82% 2.62%

Change in YTD Yields 0.03% -0.43% -0.50% -0.45% -0.40%

0.0%

1.0%

2.0%

3.0%

Dec

-06

Dec

-07

Dec

-08

Dec

-09

Dec

-10

Dec

-11

Dec

-12

Dec

-13

Dec

-14

Dec

-15

PCE Core Price Index (YOY% Change)Fed Inflation Target

Global Government Bond Yields PCE Core Price Index

As of 3/31/16 2Y 3Y 5Y 10Y

Switzerland -0.957 -0.984 -0.811 -0.359

Germany -0.489 -0.483 -0.329 0.152

Netherlands -0.490 -0.444 -0.340 0.357

Japan -0.190 -0.220 -0.187 -0.035

Sweden -0.653 -0.480 -0.134 0.514

France -0.443 -0.388 -0.204 0.485

Italy -0.022 0.016 0.276 1.220

Spain -0.005 0.096 0.334 1.434

UK 0.437 0.603 0.836 1.414

United States 0.723 0.854 1.206 1.770

U.S. Treasury Yield Curve



PERFORMANCE RESULTS

BOND MARKET REVIEW

INVESTMENT STRATEGY

PORTFOLIO REVIEW

APPENDIX 22

Credit Sector Scorecard

Category Indicator Implications for Credit Spreads

Fundamentals Treasury Curve Slope Absolute Level Neutral

Treasury Curve Slope Relative Level Tighter

Credit Curve Slope Wider

Leverage Wider

Lending Standards Wider

Valuations High Yield Market Pricing Wider

Quality Spread Wider

Momentum / Sentiment Credit Sector Excess Return Trend Tighter

Stock Market Volatility Wider

Six of nine credit market condition factors are pointing toward wider credit spreads.



PERFORMANCE RESULTS

BOND MARKET REVIEW

INVESTMENT STRATEGY

PORTFOLIO REVIEW

APPENDIX 23

Credit Sector Allocation Decisions: 2006-Present

0

100

200

300

400

500

600

700

Dec

-06

Dec

-07

Dec

-08

Dec

-09

Dec

-10

Dec

-11

Dec

-12

Dec

-13

Dec

-14

Dec

-15

Barclays Investment Grade Corporate Spread

Our disciplined sector allocation process has been successful over full market cycles.

Trend Reversal as Market Reacts to

End of QE

Beginning of Central Bank “whatever it

takes” policies

Our only periods of underperformance

are when investors are “reaching for yield.”

UNDERWEIGHT OVERWEIGHT UNDERWEIGHT



PERFORMANCE RESULTS

BOND MARKET REVIEW

INVESTMENT STRATEGY

PORTFOLIO REVIEW

APPENDIX 24

Investment Strategy and Portfolio Positioning

We remain defensive on credit

Uncertainty remains over the sustainability of an economic recovery without continued government support.

QE distorted the valuation of risk assets and spread levels are now moving wider to better reflect weak fundamentals.

We will monitor inputs to our investment process for indications of improving conditions and opportunities.

Corporate holdings are focused on high quality, liquid issues

Energy has been underweighted and holdings emphasize the major integrated issuers.

Negative event risk from shareholder enhancement and M&A activity continues to be a headwind for credit investors.

Large capitalization issuers have been emphasized.

Underweights include banks, foreign/sovereign, lower quality, and illiquid issuers.

Governments provide liquidity and stability

Governments are overweighted to provide liquidity for opportunities in credit.

This will serve us well in an environment of greatly reduced liquidity.

Duration / Yield Curve

Increased interest rate volatility due to uncertainty regarding the Fed’s actions is likely.

This has led us to maintain duration and maturity distributions close to the benchmark.

We believe we are well-positioned for a continuation of risk aversion and widening credit spreads.



PERFORMANCE RESULTS

BOND MARKET REVIEW

INVESTMENT STRATEGY

PORTFOLIO REVIEW

APPENDIX 25

Portfolio Characteristics as of March 31, 2016

Sector +/-Treasury 28.99%U.S. Agency 0.26%Corporate -22.18%Other Credit -7.20%Cash 0.13%

City of Miami GESE

Yield-to-Maturity 1.14%

Duration 3.96

Non-Treasury Sectors 14.03%

Average Quality Aaa

Number Of Issues 55 Other Credit category includes Local Authorities, Sovereigns, Supranationals and Foreign Agency.

Well-diversified

Barclays Capital Inter. Gov/Credit


+ / - 10%

City of Miami GESE Exposure

Exposure

Lower

Underweight

Higher

1.61%

3.95

43.02%

Aa2

5,081

Treasury85.97%

U.S. Agency4.60%

Corporate9.30%

Cash0.13%

Treasury56.98%

U.S. Agency4.34%

Corporate31.48%

Other Credit7.20%



PERFORMANCE RESULTS

BOND MARKET REVIEW

INVESTMENT STRATEGY

PORTFOLIO REVIEW

APPENDIX 26

Portfolio Characteristics as of March 31, 2016

*U.S. Government and Agency securities are currently classified as AAA.

City of Miami GESE


6.39%

2.19%0.72%

18.50%

11.35%

1.63%

0%2%4%6%8%

10%12%14%16%18%20%

Industrials Finance Utilities

Corporate Distribution

5.00%

35.09%27.23%

11.99%

20.69%

1.55%

37.24%

27.65%

17.25% 16.31%

0.00%

20.00%

40.00%

60.00%

80.00%

100.00%

<1 year 1 to 3 years 3 to 5 years 5 to 7 years 7 to 10 years

Maturity Distribution

91.53%

3.52% 4.81%0.14%

65.88%

7.52%15.87%

10.73%

0.00%

20.00%

40.00%

60.00%

80.00%

100.00%

AAA AA A BBB

Quality Distribution*



PERFORMANCE RESULTS

BOND MARKET REVIEW

INVESTMENT STRATEGY

PORTFOLIO REVIEW

APPENDIX 27

Historical Sector Allocation

Based on quarterly holdings of the High Quality Intermediate composite as of December 31, 2015 in Wilshire. Data is provided on a market value basis.No inference should be made regarding the profitabilityof owning these securities. Supplemental information offered is in addition to our performance presentation data and disclosures, attached.

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Corporates

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Mortgage Backed

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U.S. AgenciesHigh Quality IntermediateBarclays U.S. Int G/C

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Treasuries

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ABS / CMBS

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Effective Duration

Chicago Equity Partners

PORTFOLIO APPRAISALCITY OF MIAMI GESE RETIREMENT TRUST HQI

SS ACCOUNT NUMBER: LE3HMarch 31, 2016

Unit Total Market Pct. Unit Annual Quantity Security Cost Cost Price Value Assets Income Income Yield

CORPORATE FINANCIAL170,000 WELLS FARGO CO

MTN BE102.00 173,405.10 101.20 172,040.00 0.5 2.625 4,462.50 0.9

2.625% Due 12-15-16105,000 GENERAL ELEC CAP

CORP MTN BE104.74 109,972.80 101.57 106,649.76 0.3 2.900 3,045.00 0.9

2.900% Due 01-09-17205,000 CHUBB CORP 122.64 251,409.95 109.99 225,487.70 0.6 5.750 11,787.50 1.0

5.750% Due 05-15-18120,000 BANK NEW YORK

MTN BK ENT100.02 120,026.40 102.00 122,397.12 0.3 2.450 2,940.00 2.0

2.450% Due 11-27-20125,000 VISA INC 99.91 124,893.75 102.48 128,105.37 0.3 2.200 2,750.00 1.6

2.200% Due 12-14-20300,000 WELLS FARGO & CO

NEW99.98 299,931.00 101.26 303,789.00 0.8 2.500 7,500.00 2.2

2.500% Due 03-04-21Accrued Interest 8,853.12 0.0

1,079,639.00 1,067,322.08 2.8 32,485.00 1.5

CORPORATE INDUSTRIAL180,000 PEPSICO INC 104.28 187,704.00 100.21 180,379.98 0.5 2.500 4,500.00 0.5

2.500% Due 05-10-16190,000 AT&T INC 103.50 196,651.90 100.23 190,444.98 0.5 2.950 5,605.00 1.0

2.950% Due 05-15-16100,000 DISNEY WALT CO

MTNS BE101.71 101,708.00 100.31 100,312.40 0.3 1.350 1,350.00 0.5

1.350% Due 08-16-16

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120,000 CATERPILLAR FINL SVCS MTNS BE

100.58 120,699.60 100.18 120,216.96 0.3 1.000 1,200.00 0.7

1.000% Due 11-25-16170,000 JOHNSON &

JOHNSON100.33 170,557.60 99.99 169,989.12 0.4 0.700 1,190.00 0.7

0.700% Due 11-28-1690,000 MEDTRONIC INC 99.88 89,894.70 99.95 89,956.89 0.2 0.875 787.50 0.9

0.875% Due 02-27-17145,000 EXXON MOBIL CORP 100.06 145,092.15 100.16 145,227.21 0.4 0.921 1,335.45 0.8

0.921% Due 03-15-17125,000 KIMBERLY CLARK

CORP115.50 144,375.00 106.85 133,557.25 0.4 6.125 7,656.25 0.9

6.125% Due 08-01-17225,000 MERCK & CO INC

NEW99.60 224,104.50 100.29 225,648.45 0.6 1.100 2,475.00 0.9

1.100% Due 01-31-18120,000 PHILIP MORRIS INTL

INC119.85 143,820.00 109.33 131,196.12 0.3 5.650 6,780.00 1.2

5.650% Due 05-16-18110,000 GENERAL MLS INC 119.94 131,934.00 111.16 122,270.83 0.3 5.650 6,215.00 1.7

5.650% Due 02-15-19105,000 PFIZER INC 125.08 131,339.25 113.82 119,509.53 0.3 6.200 6,510.00 1.4

6.200% Due 03-15-19186,000 VERIZON

COMMUNICATIONS INC

100.31 186,568.01 102.89 191,382.47 0.5 2.625 4,882.50 1.8

2.625% Due 02-21-20110,000 BOEING CO 98.79 108,669.05 102.74 113,013.56 0.3 2.350 2,585.00 1.8

2.350% Due 10-30-21

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60,000 3M CO 98.06 58,834.20 101.76 61,054.44 0.2 2.000 1,200.00 1.72.000% Due 06-26-22

80,000 UNION PAC CORP 99.78 79,820.80 107.91 86,329.60 0.2 3.646 2,916.80 2.53.646% Due 02-15-24Accrued Interest 12,646.53 0.0

2,221,772.76 2,193,136.32 5.8 57,188.50 1.1

CORPORATE UTILITY50,000 DOMINION RES INC

VA NEW110.17 55,084.50 108.12 54,061.00 0.1 4.450 2,225.00 2.7

4.450% Due 03-15-21112,000 PROGRESS ENERGY

CAROLINA99.97 111,961.74 104.91 117,495.17 0.3 3.000 3,360.00 2.0

3.000% Due 09-15-2195,000 MIDAMERICAN

ENERGY CO106.16 100,856.75 106.94 101,596.51 0.3 3.500 3,325.00 2.6


267,902.99 274,934.10 0.7 8,910.00 2.4

AGENCY565,000 FEDERAL HOME LN

MTG CORP100.28 566,584.11 100.20 566,104.01 1.5 0.875 4,943.75 0.7

0.875% Due 02-22-17375,000 FEDERAL NATL

MTG ASSN99.69 373,856.25 100.16 375,593.62 1.0 0.875 3,281.25 0.8

0.875% Due 12-20-17

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570,000 FEDERAL NATL MTG ASSN

96.75 551,491.38 100.12 570,700.53 1.5 0.875 4,987.50 0.8

0.875% Due 05-21-1895,000 FEDERAL NATL

MTG ASSN100.82 95,777.35 102.71 97,572.41 0.3 1.875 1,781.25 0.9

1.875% Due 02-19-1975,000 FEDERAL HOME LN

MTG CORP98.13 73,597.50 100.78 75,588.60 0.2 1.375 1,031.25 1.2

1.375% Due 05-01-2055,000 FEDERAL HOME LN

MTG CORP103.78 57,081.47 104.84 57,660.68 0.2 2.375 1,306.25 1.5


1,718,388.05 1,747,397.56 4.6 17,331.25 0.8

TREASURY670,000 UNITED STATES

TREAS NTS100.02 670,159.27 100.24 671,596.61 1.8 0.875 5,862.50 0.6

0.875% Due 04-15-171,100,000 UNITED STATES

TREAS NTS99.57 1,095,320.09 99.75 1,097,292.90 2.9 0.500 5,500.00 0.7


TREAS NTS99.79 1,621,569.31 99.88 1,623,032.12 4.3 0.625 10,156.25 0.7


TREAS NTS98.24 2,289,090.72 100.04 2,330,820.16 6.1 0.750 17,475.00 0.7

0.750% Due 12-31-17

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800,000 UNITED STATES TREAS NTS

97.61 780,875.00 99.99 799,937.60 2.1 0.750 6,000.00 0.8

0.750% Due 03-31-18800,000 UNITED STATES

TREAS NTS99.63 797,033.93 101.33 810,624.80 2.1 1.375 11,000.00 0.8


TREAS NTS99.47 1,118,992.50 100.18 1,127,065.50 3.0 0.875 9,843.75 0.8


TREAS NTS99.20 1,125,870.60 100.16 1,136,772.87 3.0 0.875 9,931.25 0.8


TREAS NTS100.60 1,674,956.55 101.80 1,694,983.32 4.5 1.500 24,975.00 0.9


TREAS NTS101.73 1,505,559.60 102.18 1,512,201.84 4.0 1.625 24,050.00 0.9


TREAS NTS99.31 1,102,362.74 101.79 1,129,859.01 3.0 1.500 16,650.00 0.9


TREAS NTS100.52 1,120,840.54 101.98 1,137,082.57 3.0 1.625 18,118.75 1.2


TREAS NTS99.39 1,123,127.85 100.95 1,140,681.89 3.0 1.375 15,537.50 1.2

1.375% Due 08-31-20

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2,260,000 UNITED STATES TREAS NTS

99.92 2,258,153.66 100.72 2,276,244.88 6.0 1.375 31,075.00 1.2


TREAS NTS98.79 2,222,849.33 99.59 2,240,770.50 5.9 1.125 25,312.50 1.2


TREAS NTS111.03 1,637,731.29 109.20 1,610,688.20 4.2 3.125 46,093.75 1.3


TREAS NTS101.75 2,253,839.52 102.71 2,275,132.82 6.0 1.875 41,531.25 1.4


TREAS NTS98.34 275,363.62 101.68 284,714.08 0.7 1.750 4,900.00 1.5


TREAS NTS90.88 490,746.97 101.37 547,425.00 1.4 1.750 9,450.00 1.5


TREAS NTS100.02 970,231.99 106.57 1,033,694.08 2.7 2.500 24,250.00 1.6


TREAS NTS104.78 2,430,969.42 108.31 2,512,850.00 6.6 2.750 63,800.00 1.6


TREAS NTS101.78 2,737,999.03 106.34 2,860,648.22 7.5 2.500 67,250.00 1.7

2.500% Due 05-15-24

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645,000 UNITED STATES TREAS NTS

97.35 627,932.47 102.14 658,781.71 1.7 2.000 12,900.00 1.7


31,931,576.01 32,652,340.64 86.0 501,662.50 1.1

CASH AND EQUIVALENTS

General ClassificationMONEY MARKET FUND 51,161.49 51,161.49 0.1 0.020 10.23 0.0

51,161.49 51,161.49 0.1 10.23 0.0

CASH AND EQUIVALENTS Total 51,161.49 51,161.49 0.1 10.23 0.0

TOTAL PORTFOLIO 37,270,440.31 37,986,292.20 100.0 617,587.48 1.1

34



PERFORMANCE RESULTS

BOND MARKET REVIEW

INVESTMENT STRATEGY

PORTFOLIO REVIEW

APPENDIX

Annual Performance Disclosure



PERFORMANCE RESULTS

BOND MARKET REVIEW

INVESTMENT STRATEGY

PORTFOLIO REVIEW

APPENDIX

Contact Information

Today’s Presenters

Chicago Equity Partners180 N. LaSalle Street, Suite 3800

Chicago, Illinois

Mike Budd

Managing Director

p: 312.629.8506

e: [email protected]

James A. DeZellar, CFA

Managing Director

p: 312.629.5725

e: [email protected]

City of Miami General Employees’ and Sanitation …€™ and Sanitation Employees’ Retirement...

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