PORTFOLIO REVIEW 3rd Quarter 2013 · Source: Deloitte CFO Survey 2013. • The IMF lowered its...
Transcript of PORTFOLIO REVIEW 3rd Quarter 2013 · Source: Deloitte CFO Survey 2013. • The IMF lowered its...
Jerry Huggins, CFP, MBA
Prepared by: Caitlin Markel
Wendy J. Dominguez, MBAGordon Tewell, CFA, CPC
PORTFOLIO REVIEW3rd Quarter 2013
Innovest at a Glance
Our History
— Founded in 1996 by Richard Todd and Wendy Dominguez who lead the firm today
— Independent, privately-held and employee-owned — SEC Registered Investment Advisor — Currently $6.0 billion in firm assets*
Our Professionals
— Long-term relationships with top tier managers, vendors, and service providers
— Innovest named one of the Best Places to Work by the Denver Business Journal in 2012
— Ability to hire and retain top quality talent — 95% employee retention rate
Alignment of Interest with Our Clients
— 97% client retention — Conflict-free, independent and objective advocate for our clients — A consistent investment philosophy since firm’s inception — Our culture is client-centered, risk-focused, and performance-
driven — Year-over-year revenue growth 15 of the last 16 years — 2012 Client Survey Results: 100% of clients surveyed rated
Innovest “very good” or “excellent”
Diverse Client Base
— 190+ clients in more than 13 states — Retirement Plans — Foundations & Endowments — Wealthy Families
Fiduciary Expertise
— One of the first investment firms in the Rocky Mountain Region rooted in prudent fiduciary principles
— Accreditations through Investment Management Consultants Association and Center for Fiduciary Studies
— Process oriented approach with a focus on investment and spending policy
— Expert Witness on 41 cases involving fiduciary investment responsibilities
— Numerous fiduciary certifications: AIF, AIFA, CIMA®, CFA , RF
Money Management Experience
— 15-member Investment Committee with median experience of more than 20 years
— Principals have more than 25 years of experience managing large pension and foundation portfolios
— Disciplined and opportunistic approach to forward-looking portfolio design
— Experts in many investment strategies: active, passive, hedge funds, and other alternatives
— Emphasis on downside-risk quantification in developing portfolio design
Client Access and Transparency
— Direct access to Innovest’s investment and operational heads at all times
— Routine access to closed products, waived investment minimums and lower product fees
— Customized asset allocation, benchmarking, and reporting
*As of 6/30/2013
Privileged and Confidential
2
Innovest’s History With Boulder Fire & Police
2001: First quarterly performance report 2007: Replace the Calamos Growth Fund with Allianz CCM Mid Cap Growth & replace the Legg Mason Small Cap Value Fund with the ICM Small Cap Value
2003: Replace the Putnam International Fund with the American Funds Europacific Growth Fund 2007: Replace 50% of the allocation to the Europacific Growth Fund (REREX) and allocate it
to the Dodge & Cox International Fund
2007: Conducted asset allocation study and updated asset allocation
2007: Coordinated the PIMCO share class change to reduce fees
2008: Conducted asset allocation study and updated asset allocation
2009: Add BlackRock High Yield Fund and Eaton Vance Floating Rate Fund
Provided quarterly performance reports and research reports each quarter and met with the Trustees
Updated and reviewed the Investment Policy Statement
2001 ‐ 2003
Met with representatives from each investment strategy used in the plans
2003 ‐ 2006 2006 – 2009 2009 ‐ 2013
2004: Replace the One Group Mid Cap Growth Fund (OSGIX) with the Calamos Growth Fund
2005: Presented on Alternative Investment Vehicles,A Cl & S i
2010: Replace Managers Cadence MC Inst. (MCMYX) with Munder Mid Cap Growth
2011: Coordinated the Eaton Vance share class change to reduce feesAsset Classes & Strategies
2005: Added the PIMCO Commodity Real Return Strategy Fund
2005: Conducted asset allocation study and updated asset allocation
2006: Conducted asset allocation study and updated asset allocation
Provided quarterly performance reports and research reports each quarter and met with the Administrative Committee
3
Performance Over Time
Risk and Return (Since Inception) Asset Allocation
Cumulative Performance over Time
Change in Account Value
Market ValueAs of
07/01/2013
Market ValueAs of
09/30/2013
Change$
Boulder F & P Total Fund 104,298,370 109,088,428 4,790,058
LastQuarter
YearTo Date
1Year
3Years
5Years
7Years
SinceInception
InceptionDate
Boulder F & P Total Fund 5.17 11.98 13.48 10.51 8.78 6.62 8.66 07/01/1990
Boulder F & P Custom BM 5.31 12.55 13.84 11.01 8.35 5.48 8.23
Difference -0.14 -0.57 -0.36 -0.50 0.43 1.14 0.43
$0 $11,000,000 $22,000,000 $33,000,000 $44,000,000
PIMCO Total Return; Inst
Eaton Vance Floating Rate; I
JPMorgan High Yield Select
PIMCO Commodity Real Return
Munder Mid Cap Core Growth
ICM Small Company
American Funds EuroPacific Gr
Dodge & Cox Int'l
Vantage Trust Plus
Boston Trust Fixed Income - Boulder F&P
Boston Trust Equity - Boulder F&P
$3,884,080
$4,858,501
$4,898,505
$4,927,732
$7,199,196
$7,397,617
$7,901,072
$7,998,186
$8,388,108
$10,402,936
$41,232,495
8.7
8.8
8.9
9.0
9.1
9.2
Re
turn
(%)
11.0 12.0 13.0 14.0 15.0 16.0 16.6Risk (Standard Deviation %)
S&P 500 Index
Boulder F & P Total Fund
Boulder F & P Total Fund Boulder F & P Custom BM
0%
220%
440%
660%
9/90 9/91 9/92 9/93 9/94 9/95 9/96 9/97 9/98 9/99 9/00 9/01 9/02 9/03 9/04 9/05 9/06 9/07 9/08 9/09 9/10 9/11 9/12 9/13
Executive SummarySeptember 30, 2013
4
September 30, 2013THE MARKETS
Investment ReturnsThird Quarter 2013
5
September 30, 2013
GOVERNMENT UNCERTAINTY• The U S private sector is increasingly concerned about
Third Quarter 2013 Capital Markets: HEADWINDS
The Private Sector is Cautious• The U.S. private sector is increasingly concerned about
government budget challenges, health care costs and taxes. • Political gridlock in Washington continues to delay reforms in
entitlement and other spending, as well as the tax code.• Federal Reserve’s “data dependent” approach has created
unexpected uncertainty in monetary policy.• U.S. gross government debt is now $16.7 trillion, slightly over
the GDP value of $16.66 trillion.
SLUGGISH GLOBAL GROWTH The Global Economy is Growing at Slower Rates
Source: Deloitte CFO Survey 2013.
• The IMF lowered its global GDP growth estimate to 2.9% in 2013 and 3.6% in 2014.
• The U.S. economy grew by a tepid 2.5% on an annualized basis in the second quarter of 2013, after adjusting for inflation.
• Growth rates in the emerging markets are down 3% from 2010Growth rates in the emerging markets are down 3% from 2010 levels.
• While the Eurozone appeared to emerge from recession, its economic growth remains weak.
*Estimates based on 52 economies representing 90% of world GDP. Sources: IMF and The Economist. Reported 9/21/2013.
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September 30, 2013HEADWINDS, continued
TEPID WAGE AND EMPLOYMENT GROWTH• Adjusted for inflation U S household income is down 7 2%
Inflation Adjusted Household Income is Declining• Adjusted for inflation, U.S. household income is down 7.2%
since 2000.• U.S. labor force participation is at 63.2% according to BLS,
well below long-term averages.• While the unemployment rate has fallen to 7.3%,
fdiscouraged and retired workers are excluded from that reading.
• A record 23.1 million American households were recently receiving food stamps.
DECELERATING CORPORATE EARNINGS Corporate Profitability: Reversion to Long-Term Averages?
As of August 2013. Sources: dshort.com and Sentier Research.
• Corporate profits as a percentage of GDP were recently at 10%, dramatically higher than the long-term average of 6.3%
• The estimated S&P 500 earnings growth rate for Q3 2013 was recently 3.0%, down from a Q2 increase of 3.3%.
• Significant cost cutting after the 2008-2009 recession is no longer providing a tailwind for corporate profitability.
• With record levels of cash on the sidelines, corporate America has not re-invested in its own growth.
Source: J.P. Morgan Asset Management.
7
September 30, 2013
IMPROVING CONSUMER HEALTH• U S durable goods surveys indicate growth in the purchase
Third Quarter 2013 Capital Markets: TAILWINDS
Vehicle Sales Are Roaring Back• U.S. durable goods surveys indicate growth in the purchase
of big ticket items like cars, trucks and machinery.• Household payments to service debt have declined from
14.0% of disposable personal income in 2007 to a current level of approximately 10.4%.
• Household assets increased to $88.4 trillion in the second quarter, and net worth increased to $74.8 trillion.
• U.S. household re-leveraging has taken hold: outstanding consumer credit has surpassed its 2008 peak.
THE ONGOING COMEBACK IN HOUSING H i St t C ti Th i P iti T d
Sources: BEA, FactSet, and J.P. Morgan Asset Management.
THE ONGOING COMEBACK IN HOUSING• U.S. home prices have increased 21.2% since the end of
2011, based on the Standard & Poor’s Case-Shiller 20 City Home Price Index.
• New single-family home sales are up 12.6% from a year ago
Housing Starts Continue Their Positive Trend
ago.• The median price of an existing home was $212,100 in
August, a 14.7% increase from a year ago.• An improving housing market has comprised 15.6% of the
growth in this year’s U.S. GDP.
As of 8/2013. Source: St. Louis Fed.
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September 30, 2013TAILWINDS, continued
HEALTHY U.S. CORPORATE BALANCE SHEETS• U S non financial companies now hold a record $1 5 trillion
Cash Levels Remain High
• U.S. non-financial companies now hold a record $1.5 trillion in cash on their balance sheets.
• The ratio of total-debt to total-equity for S&P 500 companies has declined to 102% from 220% in 2007.
• For companies with access to the capital markets, including Apple and Verizon, the cost of capital has never been lower.
• The low cost of U.S. natural gas points to a U.S. manufacturing renaissance, onshoring jobs lost decades ago.
U.S. FEDERAL RESERVE STIMULUS Fed Members Expect Short-Term Rates to Stay Low
Source: J.P Morgan Asset Management.
• The Fed Funds target rate remains close to 0% and is expected to remain there until the beginning of 2015.
• In September the Fed delayed the tapering of its quantitative easing, continuing to buy $85 billion per month in longer term debt.
• Fed Chair nominee Janet Yellen, who has been the Fed's second-in-command since 2010, is viewed as a proponent of an accommodative monetary policy.
Forecast of the Fed’s interest rate target by the 17 voting members of the Federal Open Market Committee. Reported 9/17/2013. Sources: The Wall Street Journal and Federal Reserve.
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US Market Indices Performance US Market Sector Performance
Source: Investment Metrics, LLC
Source: Investment Metrics, LLCSource: Investment Metrics, LLC
0.0
10.0
20.0
-10.0
Re
turn
(%)
S&P
500
Inde
x
R usse
ll
200 0
Inde
x
MSC
I
EAFE
Inde
x
MSC
I
EAFE
LC In
dex
MSC
I
E me rg
ing
M
a rke ts
Inde
x
Bar
clay
s
Ca pi
t al
A
ggr e
gate
BC
Mun
icip
al B
o nd
Bar
cla ys
U.S
.
C or p
:
Hig
h Y ie
ld
BC
Glo
bal
Ag
gre ga
t e Ex
US D
E me rg
ing
Ma rk
e t
Deb
tS&
P/LS
T A Le
ver a
ged
Loa n
Inde
x
MSC
I
U.S
.
RE IT
Inde
x
DJ -
UB
S
Co m
mo di
t y In
dex
HFR
I
FoF
C
o mp
osit e
Inde
x
5.2
10.211.6
7.55.9
0.6
-0.2
2.3
4.4
0.51.2
-3.0
2.1 2.1
S&P 500 Consumer Discretionary S&P 500 Consumer Staples S&P 500 Energy
S&P 500 Financials S&P 500 Health Care S&P 500 Industrials
S&P 500 Information Technology S&P 500 Materials S&P 500 Telecom Services
S&P 500 Utilities
0.0
20.0
40.0
60.0
-20.0
Re
turn
(%)
1
Quarter
1
Year
0.2
7.0
-4.4-0.7
10.3
16.6
6.6 6.98.9
28.5
6.8
28.5
2.9
30.2
5.2
12.3
0.8
14.0
7.8
31.8
S&P 500 S&P 500 Growth S&P 500 Value
Russell Midcap Index Russell Midcap Growth Index Russell Midcap Value Index
Russell 2000 Index Russell 2000 Growth Index Russell 2000 Value Index
0.0
15.0
30.0
45.0
Re
turn
(%)
1
Quarter
1
Year
7.6
27.0
12.8
33.1
10.2
30.1
5.9
27.8
9.3
27.5
7.7
27.9
3.8
22.2
6.6
17.0
5.2
19.3
Quarterly Market Summary September 30, 2013
Copyright © 2013 Investment Metrics, LLC. All rights reserved.
10
Intl Equity Region PerformanceIntl Equity Indices Performance
Fixed Income Market Sector Performance
Source: Investment Metrics, LLC
Source: Investment Metrics, LLCSource: Investment Metrics, LLC
Barclays U.S. Aggregate Barclays U.S. Treasury Barclays U.S. Agency Barclays U.S. Credit Index Barclays U.S. MBS
Barclays U.S. ABS Barclays U.S. Corp: High Yield Barclays Global Aggregate JPM EMBI Global (USD)
0.0
5.0
10.0
-5.0
-10.0
Ret
urn
(%)
1
Quarter
1
Year
0.9
-4.3
2.8
-2.6
2.3
7.1
0.2
-0.4
1.0
-1.2
0.7
-1.9
0.3
-1.1
0.1
-2.1
0.6
-1.7
MSCI Japan MSCI Pacific ex Japan MSCI United Kingdom MSCI Europe ex U.K.
0.0
10.0
20.0
30.0
40.0
Re
turn
(%)
1
Quarter
1
Year
14.5
29.3
12.1
17.1
10.411.7
6.7
31.7
MSCI EAFE Index MSCI EAFE Small Cap MSCI EAFE Growth Index
MSCI EAFE Value MSCI Emerging Markets
0.0
10.0
20.0
30.0
40.0
Re
turn
(%)
1
Quarter
1
Year
5.9
1.3
12.7
24.9
10.5
23.7
15.6
29.8
11.6
24.3
Quarterly Market Summary September 30, 2013
Copyright © 2013 Investment Metrics, LLC. All rights reserved.
11
Alternative Asset Class Returns September 30, 2013
Source: Christenson Investment Parnters Source: Christenson Investment Parnters
8.0
3.4 3.1
‐4.4
‐7.6
3.8 4.1
‐17.5
2.5 2.4
‐8.9
4.4
1.6 1.3
8.5
1.2 1.2
8.3
11.2
2.1
‐20.0
‐15.0
‐10.0
‐5.0
0.0
5.0
10.0
15.0
Crud
e Oil
Heatin
g Oil
Gasoline
Natural Gas
Coffe
e
Cotton
Sugar
Corn
Soybeans
Whe
at
Soybean Oil
Hogs
Cattle
Alum
inum
Copp
er
Nickel
Zinc
Gold
Silver
DJ‐UBS
Com
m In
dex
Commodity Sector Returns
9.0
4.3
2.12.8
0.9
‐5.1
2.6
‐6.0
‐4.0
‐2.0
0.0
2.0
4.0
6.0
8.0
10.0
Precious Metals
Industrial Metals
DJ‐UBS Comm Index
Energy Softs Grains Livestock
Commodity Broad Sector Returns
Source: Christenson Investment Parnters Source: Standard & Poors
‐3.9
‐10.9
1.10.2
1.83.3
0.9
3.5
1.22.9 2.2
‐12.0‐10.0‐8.0‐6.0‐4.0‐2.00.02.04.06.0
Man
aged
Futures
Dedicated Short B
ias
Fixed Income Arbitrage
Globa
l Macro
HFRI FoF
Com
posite
Multi‐Strategy
Convertib
le Arbitrage
Long/Sho
rt Equ
ity
Equity M
arket N
eutral
Even
t Driv
en
Distressed
Hedge Fund Strategy Returns
‐6.9
‐3.1‐0.8 ‐0.2
0.2 0.72.3
10.2 10.712.2
‐10.0
‐5.0
0.0
5.0
10.0
15.0
Emerging
Markets
U.S.
Hon
g Ko
ng
Cana
da
S&P De
velope
d RE
IT
Singap
ore
Australia
Europe
Japa
n
United Kingdo
m
Global REIT Country and Regional Returns
12
Client Type: Money Purchase Pension PlanTime Horizon: Greater than Five YearsExpected Return: 4.25% to 5.25% over CPIRisk Tolerances: Expected downside of -16.9% to -19.9% per year based on a statistical confidence level of 95% (1)
Asset Allocation Performance Benchmarks
Strategic Asset Investment Primary Peer GroupLower Limit Allocation Upper Limit Category Manager Index Universe
Domestic Equity Domestic Equity Balanced 49.00% 52.00% 55.00% Large Cap Boston Trust S&P 500 / BC Aggregate Total Dom Bal
Boston Tr Eqty S&P 500 Core Equity Mid Cap Growth 4.00% 7.00% 10.00% Mid Cap Growth Munder MC Core Gr Russell Mid Cap Index Mid Cap Growth Small Cap Value 4.00% 7.00% 10.00% Small Cap Value ICM Sm Cap Value Russell 2000 Index Small Cap Value
International Equity 12.00% 15.00% 18.00% International Equity Europacific R-4 MSCI EAFE International GrowthDodge & Cox Intl MSCI EAFE International Value
Domestic Fixed Income 1.00% 4.00% 7.00% Domestic Fixed Income Boston Tr Fixed Inc BC Aggregate Core BondPimco Total Ret. BC Aggregate Core Bond
High Yield 2.00% 5.00% 8.00% High Yield JP Morgan HY BC:HY Credit HY
Floating Rate Corporate Loans 2.00% 5.00% 8.00% Floating Rate Corporate Loans Eaton Vance Floating CSFB Leveraged Loan Loan Participation
INVESTMENT POLICY SUMMARY
Client Variables
Commodities 2.00% 5.00% 8.00% Commodities Pimco Comm RR DJ-UBS Comm N/A
Total Portfolio Strategic Benchmark: 52.00% 70% S&P 500 / 30% BC Aggregate7.00% Russell Mid Cap Index 7.00% Russell 2000 Index
15.00% MSCI EAFE4.00% BC Aggregate5.00% BC:HY Credit 5.00% CSFB Leveraged Loan5.00% DJ-UBS Comm
Total Portfolio Secondary Benchmark: CPI + 4.75%
(1) There is a 5% probability that the 1 year modeled loss of -16.9% to -19.9% will be exceeded. Risk tolerances are based on 2013 capital markets assumptions. NOTE: The 1 year modeled loss will vary from year to year depending on future capital market assumptions.
13
Boulder Fire & PoliceAverage plan assets $93,438,029Estimated Investment, Recordkeeping and Administrative Costs 0.59%Estimated Total Plan Expenses 0.66%
Weighted average (bps)
Employer Paid Employee Paid TotalAsset based fee retained by funds 51 -$ 476,359$ 476,359$ Revenue sharing paid to plan provider 12 -$ 111,602$ 111,602$ Per participant fee 0 -$ -$ -$ Administration/Recordkeeping fee 0 -$ -$ -$ Custodial/Trust fees 0 -$ -$ -$ Direct participant paid fees
Loan origination 0 -$ -$ -$ Loan maintenance 0 -$ -$ -$ QDRO 0 -$ -$ -$ Miscellaneous 0 -$ -$ -$
Rebate to plan -3 -$ (32,180)$ (32,180)$
Total Investment, Recordkeeping and Administrative Costs 59 -$ 555,781$ 555,781$
Third party plan paid feesInvestment Consultant 7 -$ 64,072$ 64,072$
Total Plan Expenses 66 -$ 619,853$ 619,853$
Fee review reflects activity for the following time period: 1/1/2012 - 12/31/2012
Benchmarking: The plan's estimated investment, recordkeeping and administrative costs of 0.59% as shown above, compare favorably to 401(k) Source data, a universe of 84 similarly sized 401(k) plans with an average investment, recordkeeping and administrative cost of 1.19%
Dollars ($)
Total Plan Expenses
Annual Fee Review
14
September 30, 2013
Allocation Differences
0.0% 1.0% 2.0%-1.0 %-2.0 %-2.8 %
Commodities
Floating Rate Corporate Loans
High Yield
Fixed Income
International Equity
Small Cap Equity
Mid Cap Equity
Large Cap Equity
-0.1 %
-0.2 %
-0.1 %
-1.8 %
0.8%
0.3%
0.1%
0.9%
June 30, 2013
Allocation Differences
0.0% 2.0% 3.8%-2.0 %-3.1 %
Commodities
Floating Rate Corporate Loans
High Yield
Fixed Income
International Equity
Small Cap Equity
Mid Cap Equity
Large Cap Equity
-0.8 %
0.0%
-0.1 %
-1.7 %
0.0%
0.1%
0.1%
2.3%
September 30, 2013
Market Value($)
Allocation(%)
Target(%)
Large Cap Equity 41,232,495 40.95 40.00
Mid Cap Equity 7,199,196 7.15 7.00
Small Cap Equity 7,397,617 7.35 7.00
International Equity 15,899,258 15.79 15.00
Fixed Income 14,287,017 14.19 16.00
High Yield 4,898,505 4.86 5.00
Floating Rate Corporate Loans 4,858,501 4.82 5.00
Commodities 4,927,732 4.89 5.00
Total Fund 100,700,320 100.00 100.00
June 30, 2013
Market Value($)
Allocation(%)
Target(%)
Large Cap Equity 40,381,258 42.35 40.00
Mid Cap Equity 6,808,491 7.14 7.00
Small Cap Equity 6,756,558 7.09 7.00
International Equity 14,338,062 15.04 15.00
Fixed Income 13,646,275 14.31 16.00
High Yield 4,695,615 4.92 5.00
Floating Rate Corporate Loans 4,761,509 4.99 5.00
Commodities 3,964,528 4.16 5.00
Total Fund 95,352,296 100.00 100.00
Asset Allocation vs. Target Allocation
15
Allocation
MarketValue
($)%
Performance(%)
LastQuarter
YearTo Date
1Year
3Years
5Years
10Years
SinceInception
InceptionDate
Large Cap Equity
Boston Trust Equity - Boulder F&P 41,232,495 37.80 4.88 18.26 17.64 14.22 9.65 7.99 10.42 07/01/1990
S&P 500 Index 5.24 19.79 19.34 16.27 10.02 7.57 9.16
Mid Cap Equity
Munder Mid Cap Core Growth 7,199,196 6.60 7.40 23.24 26.01 17.20 12.06 10.90 16.62 01/01/2010
Russell Midcap Growth Index 9.34 25.42 27.54 17.65 13.92 10.16 17.06
Small Cap Equity
ICM Small Company 7,397,617 6.78 10.41 25.07 30.00 17.42 10.35 10.03 7.18 01/01/2008
Russell 2000 Value Index 7.59 23.07 27.04 16.57 9.13 9.29 6.87
International Equity
Dodge & Cox Int'l 7,998,186 7.33 11.15 17.15 27.76 8.75 8.11 10.62 1.10 01/01/2008
MSCI EAFE Value Index (Net) 12.63 15.71 24.27 7.99 5.86 7.94 -1.31
American Funds EuroPacific Gr 7,901,072 7.24 9.45 11.64 17.84 6.71 7.14 9.55 7.81 04/01/2004
MSCI EAFE Growth Index (Net) 10.50 16.54 23.27 8.88 6.79 8.00 6.35
Fixed Income
Boston Trust Fixed Income - Boulder F&P 10,402,936 9.54 0.45 -2.00 -1.77 2.84 4.92 4.63 6.32 07/01/1990
Barclays Aggregate Index 0.57 -1.89 -1.68 2.86 5.41 4.60 6.61
PIMCO Total Return; Inst 3,884,080 3.56 1.17 -1.88 -0.74 3.77 7.97 6.12 6.36 10/01/2001
Barclays Aggregate Index 0.57 -1.89 -1.68 2.86 5.41 4.60 4.99
High Yield
JPMorgan High Yield Select 4,898,505 4.49 1.99 3.71 6.97 8.26 11.80 8.46 9.42 01/01/2010
Barclays US Corp: High Yield 2.28 3.73 7.14 9.19 13.53 8.86 10.45
Floating Rate Corporate Loans
Eaton Vance Floating Rate; I 4,858,501 4.45 1.17 3.20 4.68 5.71 6.83 4.33 12.22 04/01/2009
Credit Suisse Leveraged Loan Index 1.40 4.26 5.83 6.25 7.36 5.10 12.90
Commodities
PIMCO Commodity Real Return 4,927,732 4.52 3.47 -12.82 -17.85 -0.68 -1.06 4.70 0.03 01/01/2006
Dow Jones-UBS Commodity Index 2.13 -8.56 -14.35 -3.16 -5.29 2.14 -2.35
Balanced Account
Boston Trust Balanced - Boulder F&P 51,635,431 47.33 4.07 13.78 13.40 11.66 8.88 7.41 10.09 07/01/1990
70% S&P/30% BC Aggr 3.86 12.94 12.72 12.29 9.00 6.92 8.65
Table of ReturnsSeptember 30, 2013
16
Table of ReturnsSeptember 30, 2013
Allocation
MarketValue
($)%
Performance(%)
LastQuarter
YearTo Date
1Year
3Years
5Years
10Years
SinceInception
InceptionDate
Stable Value
Vantage Trust Plus (gross) 8,388,108 7.69 0.63 1.97 2.71 3.15 3.54 4.25 3.88 07/01/2007
Vantage Trust Plus (net) 0.49 1.55 2.14 2.58 2.98 3.72 3.34
Ryan 3 Yr GIC Master Index 0.25 0.80 1.12 1.83 2.78 3.34 3.17
Total Fund
Boulder Fire & Police Total Fund 109,088,428 100.00 5.17 11.98 13.48 10.51 8.78 7.75 8.66 07/01/1990
Boulder Fire & Police Custom Benchmark 5.31 12.55 13.84 11.01 8.35 7.35 8.23
CPI +4.75% 1.45 5.59 5.99 7.20 6.18 7.24 7.44
17
2.0
3.0
4.0
5.0
6.0
7.0
8.0
9.0
10.0
11.0
12.0
13.0
14.0
15.0
16.0
17.0
17.6
Re
turn
3.8
4.4
8.8
10.9
7.6
9.1
6.5
7.8
3.9
5.25.4
6.4
LastQuarter
1Year
3Years
5Years
7Years
10Years
¢£ Boulder Fire & Police Total Fund 5.17 (32) 13.48 (32) 10.51 (24) 8.78 (26) 6.62 (10) 7.75 (9)
pr Boulder Fire & Police Custom Benchmark 5.31 (25) 13.84 (22) 11.01 (13) 8.35 (43) 5.48 (61) 7.35 (14)
5th Percentile 6.27 15.29 11.33 9.77 6.93 7.90
1st Quartile 5.30 13.78 10.46 8.81 6.20 7.15
Median 4.83 12.34 9.83 8.21 5.61 6.86
3rd Quartile 4.41 10.85 9.08 7.79 5.24 6.38
95th Percentile 3.82 8.79 7.55 6.45 3.91 5.40
Plan Sponsor Peer Group AnalysisPublic Plan Sponsors (< $100 mm AUM)
September 30, 2013
Parentheses contain percentile rankings.Calculation based on quarterly periodicity.
18
Cumulative Performance Over Time
Risk and Return
Boulder Fire & Police Total Fund Boulder Fire & Police Custom Benchmark CPI + 4.75%
-100 %
0%
100%
200%
300%
400%
500%
600%
700%
9/90 9/91 9/92 9/93 9/94 9/95 9/96 9/97 9/98 9/99 9/00 9/01 9/02 9/03 9/04 9/05 9/06 9/07 9/08 9/09 9/10 9/11 9/12 9/13
8.6
8.7
8.8
8.9
9.0
9.1
9.2
9.3
Re
turn
(%)
9 10 11 12 13 14 15 16 17 18 18
Risk (Standard Deviation %)
Boulder Fire & Police Total Fund
S&P 500 Index
Total Portfolio Performance AnalysisAs of September 30,2013
19
Innovest’s investment performance analysis is not simply the production of a quarterly performance report.Our in-depth investment product analysis is extensive, continual and designed to reduce surprises.
ONGOING MONITORING
Occurrence Action
Daily We review trades and reconcile accounts. Manager due diligence meetings are held both on and off-site.
Weekly
The Investment Committee meets to review managers, client portfolios, and the financial markets. Special attention is reserved for managers with qualitative issues. Clients with objective changes and other issues are discussed by the committee.
MonthlyWe conduct quantitative analysis to identify outlier managers, both positive and negative, for comprehensive evaluation.
Quarterly
Each client’s account is reviewed for possible portfolio rebalancing. Manager calls are made and portfolio attribution is conducted to help determine “why” performance happened. Custom reports are developed for each client. Client meetings are conducted to review portfolio performance, managers, and policy.
Annually
We review the Due Diligence Questionnaire for every manager. Due diligence meetings are conducted and manager review documentation is created. Capital market assumptions are determined after thoughtful analysis. We conduct a formal Asset Allocation Study for every client and review their objectives, goals and investment policy.
20
Criteria
Organization PeoplePhilosophy& Process
StyleConsistency
Asset Base Performance Expenses Overall
Costs
Exp Ratio(%)
MedianExp Ratio
(%)
Ratio ofExp to
Median (%)
Boston Trust Balanced - Boulder F&P 0.64 1.15 55.00
Munder:MC Core Gr;Y (MGOYX) 1.06 1.41 75.18
ICM Small Company;Inst (ICSCX) 0.92 1.53 60.01
Dodge & Cox Intl Stock (DODFX) 0.64 1.30 49.23
American Funds EuPc;R-4 (REREX) 0.85 1.46 58.22
PIMCO:Tot Rtn;Inst (PTTRX) 0.46 0.92 50.00
Eaton Vance Flt Rt;Ins (EIBLX) 0.76 1.21 62.81
JPMorgan:High Yield;Sel (OHYFX) 0.86 1.21 71.07
PIMCO:Comm RR Str;Inst (PCRIX) 0.74 1.42 51.97
Vantage Trust Plus 0.56 0.50 112.00
Legend For Overall Criteria
No/Minimum Concerns
Minor Concern
Major Concern
Under Review
Manager Score Factor Comments
ICM Small Company;Inst (ICSCX) Performance Poor security selection within financials and an underweight to financials, REITs and utilities have contributed to theunderperformance.
American Funds EuPc;R-4 (REREX) Asset Base One potential concern that we are watching is the large asset base of American Funds EuroPacific. In the past we have likedEuroPacific's flexibility to add value through opportunistic, bottom-up stock selection. However, the fund’s large asset base is likelyto present some challenges for the fund to build meaningful positions in smaller companies and opportunistically trade in less liquidmarkets.
Manager Score Card
21
THIS PAGE LEFT INTENTIONALLY BLANK
22
STRATEGY INFORMATION
ROLLING 3 YEAR RETURN AND PERCENTILE RANKINGS
PEER GROUP ANALYSIS - IM U.S. Balanced (SA+CF)
CALENDAR YEAR RETURNS AND PERCENTILE RANKINGS
RISK VS. RETURN (5 YEARS*)
*If less than 5 years, data is since account inception.
Firm and Management:Domenic Colasacco is a portfoliomanager and president of the Adviser.Mr. Colasacco is also the president ofBoston Trust & InvestmentManagement Company and has servedas its Chief Investment Officer since1980. Mr. Colasacco managesportfolios for individual and institutionalclients and also manages the BostonTrust Equity Fund. Mr. Colasacco is aholder of the Chartered FinancialAnalyst (CFA) designation and amember of the Boston SecurityAnalysts Society.
Investment Strategy:The strategy strives to provide long-term growth of capital through adiversified portfolio of stocks, bondsand money market investments. Theallocation among these assets isactively managed based both on theirrelative values and the changingeconomic outlook. By forecastingfinancial market returns across a widerange of possible economic scenarios,they vary the allocation in a mannerthat is designed to provide protectionagainst falling markets in unfavorableeconomic environments, while alsoproviding opportunity to participate inrising markets. The strategy providesbroad diversification across stockmarket sectors; individual equityselections focus on companies withsuperior financial track records.
4.0
6.0
8.0
10.0
12.0
12.6
Re
turn
(%)
4.0 8.0 12.0 16.0 20.0 23.9
Risk (Standard Deviation %)
ReturnStandardDeviation
¢£ Boston Tr Bal - Boulder F&P 8.88 12.83
� 70% S&P/30% BC Aggr 9.00 14.02
¾ Median 8.57 13.24
-1.0
2.0
5.0
8.0
11.0
14.0
17.0
20.0
23.0
Re
turn
LastQuarter
YearTo Date
1Year
3Years
5Years
7Years
10Years
¢£ Boston Tr Bal - Boulder F&P 4.07 (48) 13.78 (34) 13.40 (45) 11.66 (30) 8.88 (38) 6.86 (26) 7.41 (52)
� 70% S&P/30% BC Aggr 3.86 (60) 12.94 (43) 12.72 (50) 12.29 (16) 9.00 (37) 5.78 (57) 6.92 (67)
Median 4.03 11.92 12.67 10.67 8.57 5.89 7.45
2012 2011 2010 2009 2008 2007 2006
Boston Tr Bal - Boulder F&P 10.04 (77) 3.45 (23) 14.13 (22) 17.53 (74) -20.93 (41) 11.31 (16) 9.58 (68)
IM U.S. Balanced (SA+CF) Median 11.19 1.65 11.58 20.08 -22.16 6.99 11.58
70% S&P/30% BC Aggr 12.49 (33) 4.08 (20) 12.92 (34) 20.44 (48) -26.03 (80) 6.06 (66) 12.27 (38)
IM U.S. Balanced (SA+CF) Median 11.19 1.65 11.58 20.08 -22.16 6.99 11.58
3Years
EndingSep-2013
3Years
EndingSep-2012
3Years
EndingSep-2011
3Years
EndingSep-2010
3Years
EndingSep-2009
3Years
EndingSep-2008
3Years
EndingSep-2007
Boston Tr Bal - Boulder F&P 11.66 (30) 11.07 (13) 4.19 (42) -0.61 (39) 0.80 (41) 3.98 (25) 10.03 (62)
IM U.S. Balanced (SA+CF) Median 10.67 9.53 3.59 -1.05 0.25 2.76 10.43
70% S&P/30% BC Aggr 12.29 (16) 11.37 (9) 3.70 (48) -2.53 (75) -1.64 (84) 1.53 (73) 10.35 (55)
IM U.S. Balanced (SA+CF) Median 10.67 9.53 3.59 -1.05 0.25 2.76 10.43
Boston Tr Bal - Boulder F&P 09/30/13
23
STRATEGY INFORMATION
ROLLING 3 YEAR RETURN AND PERCENTILE RANKINGS
PEER GROUP ANALYSIS - IM U.S. Large Cap Core Equity (SA+CF)
CALENDAR YEAR RETURNS AND PERCENTILE RANKINGS
RISK VS. RETURN (5 YEARS*)
*If less than 5 years, data is since account inception.
Firm and Management:Domenic Colasacco is a portfoliomanager and president of the Adviser.Mr. Colasacco is also the president ofBoston Trust & InvestmentManagement Company and has servedas its Chief Investment Officer since1980. Mr. Colasacco managesportfolios for individual and institutionalclients and also manages the BostonTrust Equity Fund. Mr. Colasacco is aholder of the Chartered FinancialAnalyst (CFA) designation and amember of the Boston SecurityAnalysts Society.
Investment Strategy:The portfolio consists of stocks from allmarket capitalizations; small, mediumand large. The portfolio is constructedwith a bottom up approach to securityselection, however, macro themes areconsidered in deciding which sectorslook most attractive. Each potentialholding is put through a number ofscreens which consider earningsgrowth and relative valuation.
4.0
6.0
8.0
10.0
12.0
14.0
Re
turn
(%)
0.0 6.0 12.0 18.0 24.0 30.0
Risk (Standard Deviation %)
ReturnStandardDeviation
¢£ Boston TrEq - Boulder F&P 9.65 18.81
� S&P 500 Index 10.02 20.43
¾ Median 10.27 20.43
0.0
4.0
8.0
12.0
16.0
20.0
24.0
28.0
31.2
Re
turn
LastQuarter
YearTo Date
1Year
3Years
5Years
7Years
10Years
¢£ Boston TrEq - Boulder F&P 4.88 (78) 18.26 (81) 17.64 (83) 14.22 (83) 9.65 (74) 6.80 (35) 7.99 (71)
� S&P 500 Index 5.24 (72) 19.79 (63) 19.34 (64) 16.27 (54) 10.02 (61) 5.60 (79) 7.57 (83)
Median 6.04 20.41 20.60 16.45 10.27 6.35 8.51
2012 2011 2010 2009 2008 2007 2006
Boston TrEq - Boulder F&P 12.03 (84) 1.56 (55) 16.91 (26) 24.19 (65) -30.73 (17) 11.81 (18) 10.99 (86)
IM U.S. Large Cap Core Equity (SA+CF) Median 15.66 1.87 14.84 26.59 -36.17 7.17 15.54
S&P 500 Index 16.00 (46) 2.11 (48) 15.06 (45) 26.46 (52) -37.00 (61) 5.49 (70) 15.79 (46)
IM U.S. Large Cap Core Equity (SA+CF) Median 15.66 1.87 14.84 26.59 -36.17 7.17 15.54
3Years
EndingSep-2013
3Years
EndingSep-2012
3Years
EndingSep-2011
3Years
EndingSep-2010
3Years
EndingSep-2009
3Years
EndingSep-2008
3Years
EndingSep-2007
Boston TrEq - Boulder F&P 14.22 (83) 12.62 (52) 2.60 (29) -3.57 (18) -1.93 (26) 3.11 (23) 11.96 (86)
IM U.S. Large Cap Core Equity (SA+CF) Median 16.45 12.68 1.54 -6.14 -4.17 1.15 14.16
S&P 500 Index 16.27 (54) 13.20 (44) 1.23 (58) -7.16 (69) -5.43 (75) 0.22 (70) 13.14 (73)
IM U.S. Large Cap Core Equity (SA+CF) Median 16.45 12.68 1.54 -6.14 -4.17 1.15 14.16
Boston TrEq - Boulder F&P 09/30/13
24
TOP TEN HOLDINGS PORTFOLIO CHARACTERISTICS
DISTRIBUTION OF MARKET CAP SECTOR DISTRIBUTION
Portfolio Benchmark
Wtd. Avg. Mkt. Cap ($) 93,624,157,311 105,722,856,206
Median Mkt. Cap ($) 46,858,418,030 15,348,159,235
Price/Earnings ratio 16.43 17.14
Price/Book ratio 3.07 2.75
5 Yr. EPS Growth Rate (%) 7.59 6.01
Current Yield (%) 2.16 2.13
Beta (5 Years, Monthly) 0.93 1.00
Number of Stocks 67 500
PortfolioWeight
(%)
BenchmarkWeight
(%)
ActiveWeight
(%)
QuarterlyReturn
(%)
Exxon Mobil Corp 3.79 2.53 1.26 -4.11
Chevron Corp 3.13 1.57 1.56 3.52
Precision Castparts Corp. 2.56 0.22 2.34 0.56
T. Rowe Price Group Inc 2.50 0.13 2.37 -1.21
JPMorgan Chase & Co 2.25 1.30 0.95 -1.38
Nike Inc 2.25 0.36 1.89 14.45
Grainger (W W) Inc. 2.24 0.11 2.13 4.15
Costco Wholesale Corp 2.15 0.34 1.81 4.43
Sigma-Aldrich Corp 2.15 0.07 2.08 6.35
Microsoft Corp 2.13 1.69 0.44 -2.97
% of Portfolio 25.15 8.32
Boston Trust Equity - Composite
S&P 500 Index
0.0 3.0 6.0 9.0 12.0 15.0 18.0 20.7
Utilities
Telecommunication Services
Materials
Information Technology
Industrials
Health Care
Financials
Energy
Consumer Staples
Consumer Discretionary
0.0
0.0
5.3
15.2
15.9
9.4
16.5
10.4
14.3
13.1
3.2
2.4
3.5
17.9
10.7
13.0
16.3
10.5
10.0
12.5
Boston Trust Equity - Composite S&P 500 Index
0.0
5.0
10.0
15.0
20.0
25.0
30.0
35.0
40.0
45.0
>100 Bil 75 Bil - 100 Bil
25 Bil - 75 Bil
15 Bil - 25 Bil
2 Bil - 15 Bil
0 - 2 Bil
37.0
7.1
28.6
13.4 13.8
0.0
34.5
6.0
29.8
12.2
17.5
0.0
Boston Trust Equity - Composite 09/30/13
25
PERFORMANCE - 1 Quarter TOTAL ATTRIBUTION - 1 Quarter
ACTIVE RETURN - 1 Quarter
0.0 0.2 0.4-0.2-0.4-0.5
Utilities
Telecommunication Services
Materials
Information Technology
Industrials
Health Care
Financials
Energy
Consumer Staples
Consumer Discretionary
0.2
0.3
0.1
-0.4
-0.1
-0.1
-0.4
0.1
0.1
-0.1
Boston Trust Equity - Composite
S&P 500 Index
0.0 3.0 6.0 9.0 12.0 14.0-3.0-6.0
Utilities
Telecommunication Services
Materials
Information Technology
Industrials
Health Care
Financials
Energy
Consumer Staples
Consumer Discretionary
0.0
0.0
10.5
4.3
7.3
5.8
0.8
5.9
2.4
7.1
0.2
-4.1
10.4
6.6
8.9
6.8
2.9
5.1
0.8
7.9
Buy-and-Hold Portfolio 4.81
Portfolio Trading 0.30
Actual Return 5.11
Benchmark Return 5.24
Actual Active Return -0.14
Stock Selection -0.90
Sector Selection 0.47
Interaction 0.00
Total Selection -0.42
Portfolio Trading 0.30
Benchmark Trading 0.01
Total Trading 0.31
Buy & Hold Active Return -0.12
Boston Trust Equity - Composite 09/30/13
26
PERFORMANCE - 3 Years TOTAL ATTRIBUTION - 3 Years
ACTIVE RETURN - 3 Years
0.0 0.3 0.6 0.8-0.3-0.6-0.9-1.2
Utilities
Telecommunication Services
Materials
Information Technology
Industrials
Health Care
Financials
Energy
Consumer Staples
Consumer Discretionary
0.0
0.0
0.0
-0.1
-0.2
-0.9
0.4
-0.3
-0.3
-0.6
Boston Trust Equity - Composite
S&P 500 Index
0.0 10.0 20.0 30.0-10.0-14.3
Utilities
Telecommunication Services
Materials
Information Technology
Industrials
Health Care
Financials
Energy
Consumer Staples
Consumer Discretionary
-7.7
-4.1
13.3
13.3
16.2
13.1
15.9
13.5
14.0
18.4
10.7
12.7
12.1
13.8
16.6
20.8
13.6
15.5
15.8
24.3
Buy-and-Hold Portfolio 14.36
Portfolio Trading 0.41
Actual Return 14.78
Benchmark Return 16.27
Actual Active Return -1.49
Stock Selection -1.70
Sector Selection 0.26
Interaction -0.56
Total Selection -2.00
Portfolio Trading 0.41
Benchmark Trading 0.00
Total Trading 0.41
Buy & Hold Active Return -1.59
Boston Trust Equity - Composite 09/30/13
27
STRATEGY INFORMATION
ROLLING 3 YEAR RETURN AND PERCENTILE RANKINGS
PEER GROUP ANALYSIS - IM U.S. Fixed Income (SA+CF)
CALENDAR YEAR RETURNS AND PERCENTILE RANKINGS
RISK VS. RETURN (5 YEARS*)
*If less than 5 years, data is since account inception.
Firm and Management:Domenic Colasacco is a portfoliomanager and president of the Adviser.Mr. Colasacco is also the president ofBoston Trust & InvestmentManagement Company and has servedas its Chief Investment Officer since1980. Mr. Colasacco managesportfolios for individual and institutionalclients and also manages the BostonTrust Equity Fund. Mr. Colasacco is aholder of the Chartered FinancialAnalyst (CFA) designation and amember of the Boston SecurityAnalysts Society.
Investment Strategy:Boston Trust's approach to fixedincome investing combines top downeconomic scenario forecasts withbottom up fundamental research. Usingmacroeconomic-based quantitativetools, the investment team forecastsinterest rate changes for a range ofpossible economic outcomes. Theseforecasts contribute to portfoliostrategies with respect to interest ratesand the yield curve. In selectingindividual securities, Boston Trustapplies long-held standards for superiorfinancial quality, appropriate risk, anddiversification.
-12.0
-8.0
-4.0
0.0
4.0
8.0
12.0
16.0
17.9
Re
turn
(%)
0.0 6.0 12.0 18.0 21.6
Risk (Standard Deviation %)
ReturnStandardDeviation
¢£ Boston Tr FI - Boulder F&P 4.92 2.94
� Barclays Agg 5.41 3.45
¾ Median 6.46 3.97
-10.0
-7.0
-4.0
-1.0
2.0
5.0
8.0
11.0
14.0
17.0
Re
turn
LastQuarter
YearTo Date
1Year
3Years
5Years
7Years
10Years
¢£ Boston Tr FI - Boulder F&P 0.45 (74) -2.00 (81) -1.77 (84) 2.84 (74) 4.92 (78) 5.09 (67) 4.63 (65)
� Barclays Agg 0.57 (66) -1.89 (78) -1.68 (82) 2.86 (73) 5.41 (70) 5.12 (66) 4.60 (66)
Median 0.71 -0.75 -0.17 3.77 6.46 5.57 5.04
2012 2011 2010 2009 2008 2007 2006
Boston Tr FI - Boulder F&P 4.08 (75) 7.76 (33) 6.55 (64) 4.93 (83) 5.33 (23) 8.43 (10) 3.71 (92)
IM U.S. Fixed Income (SA+CF) Median 6.56 6.42 7.49 10.36 1.42 6.24 4.72
Barclays Agg 4.21 (74) 7.84 (32) 6.54 (65) 5.93 (77) 5.24 (24) 6.97 (33) 4.34 (74)
IM U.S. Fixed Income (SA+CF) Median 6.56 6.42 7.49 10.36 1.42 6.24 4.72
3Years
EndingSep-2013
3Years
EndingSep-2012
3Years
EndingSep-2011
3Years
EndingSep-2010
3Years
EndingSep-2009
3Years
EndingSep-2008
3Years
EndingSep-2007
Boston Tr FI - Boulder F&P 2.84 (74) 6.27 (65) 7.08 (72) 7.09 (55) 6.28 (43) 4.71 (20) 4.04 (55)
IM U.S. Fixed Income (SA+CF) Median 3.77 7.28 8.59 7.37 5.94 3.65 4.10
Barclays Agg 2.86 (73) 6.19 (66) 7.97 (61) 7.42 (50) 6.41 (40) 4.15 (38) 3.86 (70)
IM U.S. Fixed Income (SA+CF) Median 3.77 7.28 8.59 7.37 5.94 3.65 4.10
Boston Tr FI - Boulder F&P 09/30/13
28
TOP TEN HOLDINGS
PORTFOLIO CHARACTERISTICS vs. Barclays Aggregate Index
CREDIT QUALITY DISTRIBUTION vs. Barclays Aggregate Index
SECTOR DISTRIBUTION vs. Barclays Aggregate Index
MATURITY DISTRIBUTION vs. Barclays Aggregate Index
Boston Trust Fixed Income - Boulder F&P Barclays Aggregate Index
0.0
10.0
20.0
30.0
40.0
50.0
60.0
Gove
rnm
en ts/S
overe
igns
A genci
es/R
egiona
ls
Invt
. G
rade
Cor
pora
tes
H igh Yie
ld C
orpo
rate
s
Non-A gen
cy M
BS
Leve
raged
/Bank
Lo
ans
Mo rtg
age-Pass
thro
ugh
Oth
er
44.0
0.0
21.0
0.0 0.0 0.0
32.0
3.0
7.6
47.0
19.3
0.0
5.3
0.0 0.0
20.8
Portfolio Benchmark
Effective Duration 3.89 5.34
Avg. Maturity 5.51 6.89
Avg. Quality AA AA
Yield To Maturity (%) 1.26 2.34
Holdings Count 18 8,577
Boston Trust Fixed Income - Boulder F&P
Company %
FED HOME LN BKS 0.5% 11/20/15 14.40
FED HOME LN BKS .375% 06/24/16 14.30
TREASURY INFL IDX 1.875% 7/15/15 9.80
FED HOME LN BKS 5.625% 6/11/21 8.20
US TREASURY 2.375% 6/30/18 7.60
FED HOME LN BKS 5.250% 8/15/22 6.80
TREASURY INFL IDX 1.625% 1/15/18 5.90
SSGA INST GOV MONEY MARKET INST CL 4.70
AMERICAN EXPRESS CO 7.000% 3/19/18 4.00
BURLINGTON NORTH BRK 4.7% 10/01/19 3.80
Boston Trust Fixed Income - Boulder F&P Barclays Aggregate Index
0.0
20.0
40.0
60.0
80.0
96.0
AA A
/Aaa
( Inclu
des
Gov'
t &
A genci
e s)
AA /A
a A
BB B
/Baa
Not
Ra ted
75.0
3.4
10.9 10.7
0.0
74.1
3.19.0 8.3
5.5
Boston Trust Fixed Income - Boulder F&P Barclays Aggregate Index
0.0
5.0
10.0
15.0
20.0
25.0
30.0
35.0
40.0
45.0
50.0
54.0
0 to
3 Y ea
rs
3 to
5 Y ea
rs
5 to
7 Y ea
rs
7 to
10 Y ea
rs
10+ Y ea
rs
0.0 0.0 0.0 0.0 0.0
44.2
23.822.4
4.05.6
Boston Trust Fixed Income - Boulder F&P 09/30/13
29
FUND INFORMATION
ROLLING 3 YEAR RETURN AND PERCENTILE RANKINGS
PEER GROUP ANALYSIS - IM U.S. Mid Cap Growth Equity (MF)
CALENDAR YEAR RETURNS AND PERCENTILE RANKINGS
RISK VS. RETURN (5 YEARS*)
*If less than 5 years, data is since inception of fund share class.
Firm and Management:Tony Dong has been the lead managerhere since February 2001. He's workedat Munder since 1988 and managedlarge-cap, growth-at-a-reasonable pricestrategies before taking over this fund.He's backed here by four comanagers:Andy Mui, Brian Matuszak, GeorgeSanders, and Geoffrey Wilson.
Investment Strategy:The Munder team seek companies thattrade cheaply relative to their growthprospects, using a broad range ofvaluation measures. They keep theFund's sector weightings within 3percentage points of those of the fund'sbenchmark, the S&P Midcap 400 Index.They'll typically hold 70-100 stocks andcap position sizes at 3%. And they'rerelatively patient investors; portfolioturnover has averaged around 50%.
Innovest's Assessment:Munder’s low beta bias is likely tooutperform during market drawdownsand when quality growth companies arein favor. Underperformance is expectedwhen low quality, high beta companiesoutpace high quality securities and
during speculative growth rallies.
6.0
7.0
8.0
9.0
10.0
11.0
12.0
13.0
14.0
15.0
16.0
Re
turn
(%)
16.0 18.0 20.0 22.0 24.0
Risk (Standard Deviation %)
ReturnStandardDeviation
¢£ Munder MC Core Gr 12.06 19.67
� Russell Midcap Growth Index 13.92 21.08
¾ Median 11.90 20.95
0.0
4.0
8.0
12.0
16.0
20.0
24.0
28.0
32.0
36.0
39.5
Re
turn
LastQuarter
YearTo Date
1Year
3Years
5Years
7Years
10Years
¢£ Munder MC Core Gr 7.40 (94) 23.24 (65) 26.01 (49) 17.20 (17) 12.06 (47) 8.05 (46) 10.90 (13)
� Russell Midcap Growth Index 9.34 (77) 25.42 (41) 27.54 (31) 17.65 (12) 13.92 (14) 8.34 (39) 10.16 (30)
Median 10.34 24.95 25.86 15.55 11.90 7.85 9.42
2012 2011 2010 2009 2008 2007 2006
Munder MC Core Gr 16.01 (20) -0.77 (19) 25.48 (56) 32.80 (73) -43.45 (38) 20.97 (27) 11.82 (19)
Russell Midcap Growth Index 15.81 (22) -1.65 (24) 26.38 (51) 46.29 (27) -44.32 (44) 11.43 (74) 10.66 (25)
IM U.S. Mid Cap Growth Equity (MF) Median 13.37 -5.01 26.39 41.04 -45.05 15.88 7.91
3Years
EndingSep-2013
3Years
EndingSep-2012
3Years
EndingSep-2011
3Years
EndingSep-2010
3Years
EndingSep-2009
3Years
EndingSep-2008
3Years
EndingSep-2007
Munder MC Core Gr 17.20 (17) 14.25 (23) 3.72 (50) -6.04 (55) -2.93 (52) 0.99 (32) 19.55 (21)
Russell Midcap Growth Index 17.65 (12) 14.73 (18) 5.89 (24) -3.90 (38) -3.10 (53) -0.75 (57) 17.01 (43)
IM U.S. Mid Cap Growth Equity (MF) Median 15.55 12.81 3.69 -5.55 -2.88 -0.42 16.66
Munder MC Core Gr 09/30/13
30
TOP 10 HOLDINGS
STYLE MAP (07/01/98 - 09/30/13)
SECTOR ALLOCATIONASSET ALLOCATION
PORTFOLIO CHARACTERISTICS
UP/DOWN CAPTURE (10/01/08 - 09/30/13)
Total Securities 84
Avg. Market Cap $9,329 Million
P/E 24.35
P/B 4.29
Div. Yield 1.94%
Annual EPS 19.89
5Yr EPS 14.56
3Yr EPS Growth 25.55
Affiliated Managers Group Inc ORD 2.61 %
Lincoln National Corp ORD 2.09 %
NiSource Inc ORD 1.91 %
LKQ Corp ORD 1.89 %
Liberty Media Corp ORD 1.85 %
Invesco Ltd ORD 1.83 %
Tupperware Brands Corp ORD 1.73 %
Airgas Inc ORD 1.73 %
Cooper Companies Inc ORD 1.60 %
SBA Communications Corp ORD 1.58 %3 Years 5 Years
vs. Russell Midcap Growth Index
Beta 0.97 0.92
0.0% 20.0% 40.0% 60.0% 80.0% 100.0% 120.0%
Other
Fixed Income
Convertibles
Cash
Equities
0.0%
0.0%
0.0%
0.6%
99.4%
Munder MC Core Gr Russell Midcap Growth Index
0.0 4.0 8.0 12.0 16.0 20.0 24.0 28.0
UtilitiesTelecommunication Services
MaterialsInformation Technology
IndustrialsHealth Care
FinancialsEnergy
Consumer StaplesConsumer Discretionary
Other
Style History Sep-2013
Average Style Exposure
Ca
pit
ali
za
tio
n
Manager Style
Large Cap Growth
Small Cap GrowthSmall Cap Value
Large Cap Value
Munder MC Core Gr
50.0
70.0
90.0
110.0
130.0
150.0U
p C
ap
ture
50.0 70.0 90.0 110.0 130.0 150.0Down Capture
Munder MC Core Gr 09/30/13
31
FUND INFORMATION
ROLLING 3 YEAR RETURN AND PERCENTILE RANKINGS
PEER GROUP ANALYSIS - IM U.S. Small Cap Value Equity (MF)
CALENDAR YEAR RETURNS AND PERCENTILE RANKINGS
RISK VS. RETURN (5 YEARS*)
*If less than 5 years, data is since inception of fund share class.
Firm and Management:ICM's Small Cap Value effort began in1989, and today Bill Heaphy, ChiefInvestment Officer, and Sim Wootenserve as co-portfolio managers of theICM Small Company Portfolio. Bothhave research responsibilities and Billserves as Director of Research for thesmall cap team. Gary Merwitz, RobJacapraro, Josh Overholt and MattFleming are analysts on the small capteam.
Investment Strategy:Management starts with a universe ofstocks with market caps of around $1billion and narrows the list throughscreens and company analysis. Theteam favors well-managed companieswith good growth prospects that aretrading at attractive valuations. It tendsto sell when valuations get too high orwhen the company doesn't meetexpectations.
Innovest's Assessment:The strategy should outperform in downand stable markets and when lessercapitalized companies are leading. Thefund should underperform during bullmarkets when companies with little orno earnings are in vogue due to itssensitivity to high valuations; althoughthis may be subdued due to its higherweighting of lesser capitalizedcompanies. The fund should alsounderperform when financials andutilities lead due to management'sperpetual aversion to the sectors.
4.0
6.0
8.0
10.0
12.0
14.0
16.0
Re
turn
(%)
7.0 14.0 21.0 28.0 35.0
Risk (Standard Deviation %)
ReturnStandardDeviation
¢£ ICM Small Company 10.35 25.65
� Russell 2000 Value Index 9.13 24.18
¾ Median 10.80 24.04
0.0
4.0
8.0
12.0
16.0
20.0
24.0
28.0
32.0
36.0
40.0
43.7
Re
turn
LastQuarter
YearTo Date
1Year
3Years
5Years
7Years
10Years
¢£ ICM Small Company 10.41 (7) 25.07 (54) 30.00 (46) 17.42 (40) 10.35 (58) 7.61 (19) 10.03 (29)
� Russell 2000 Value Index 7.59 (71) 23.07 (71) 27.04 (73) 16.57 (59) 9.13 (86) 5.36 (72) 9.29 (54)
Median 8.29 25.45 29.41 17.12 10.80 6.18 9.46
2012 2011 2010 2009 2008 2007 2006
ICM Small Company 16.93 (41) -4.85 (49) 22.73 (80) 34.46 (25) -35.11 (64) 3.35 (4) 19.22 (30)
Russell 2000 Value Index 18.05 (30) -5.50 (56) 24.50 (65) 20.58 (80) -28.92 (20) -9.78 (67) 23.48 (5)
IM U.S. Small Cap Value Equity (MF) Median 16.09 -4.97 25.71 28.28 -32.13 -7.34 17.26
3Years
EndingSep-2013
3Years
EndingSep-2012
3Years
EndingSep-2011
3Years
EndingSep-2010
3Years
EndingSep-2009
3Years
EndingSep-2008
3Years
EndingSep-2007
ICM Small Company 17.42 (40) 11.29 (56) -1.50 (77) -4.24 (41) -2.29 (16) 4.37 (5) 15.53 (8)
Russell 2000 Value Index 16.57 (59) 11.72 (46) -2.78 (91) -4.99 (53) -6.65 (52) 2.00 (16) 12.51 (43)
IM U.S. Small Cap Value Equity (MF) Median 17.12 11.57 -0.35 -4.72 -6.37 -0.49 12.19
ICM Small Company 09/30/13
32
TOP 10 HOLDINGS
STYLE MAP (05/01/89 - 09/30/13)
SECTOR ALLOCATIONASSET ALLOCATION
PORTFOLIO CHARACTERISTICS
UP/DOWN CAPTURE (10/01/08 - 09/30/13)
Total Securities 127
Avg. Market Cap $1,561 Million
P/E 23.55
P/B 2.04
Div. Yield 2.25%
Annual EPS 5.93
5Yr EPS 3.32
3Yr EPS Growth 19.43
Methode Electronics Inc ORD 1.55 %
Integrated Device Technology Inc ORD 1.54 %
ATMI Inc ORD 1.33 %
Dreyfus Treasury Prime Cash Management;Inst 1.33 %
Men's Wearhouse Inc ORD 1.33 %
Belden Inc ORD 1.30 %
Carpenter Technology Corp ORD 1.29 %
Rogers Corp ORD 1.28 %
Hanger Inc ORD 1.27 %
Ameris Bancorp ORD 1.25 %3 Years 5 Years
vs. Russell 2000 Value Index
Beta 1.05 1.05
0.0% 20.0% 40.0% 60.0% 80.0% 100.0% 120.0%
Other
Fixed Income
Convertibles
Cash
Equities
0.0%
0.0%
0.0%
1.3%
98.7%
ICM Small Company Russell 2000 Value Index
0.0 10.0 20.0 30.0 40.0 48.0
UtilitiesTelecommunication Services
MaterialsInformation Technology
IndustrialsHealth Care
FinancialsEnergy
Consumer StaplesConsumer Discretionary
Other
Style History Sep-2013
Average Style Exposure
Ca
pit
ali
za
tio
n
Manager Style
Large Cap Growth
Small Cap GrowthSmall Cap Value
Large Cap Value
ICM Small Company
50.0
70.0
90.0
110.0
130.0
150.0U
p C
ap
ture
50.0 70.0 90.0 110.0 130.0 150.0Down Capture
ICM Small Company 09/30/13
33
FUND INFORMATION
ROLLING 3 YEAR RETURN AND PERCENTILE RANKINGS
PEER GROUP ANALYSIS - IM International Large Cap Value Equity (MF)
CALENDAR YEAR RETURNS AND PERCENTILE RANKINGS
RISK VS. RETURN (5 YEARS*)
*If less than 5 years, data is since inception of fund share class.
Firm and ManagementThis fund is run by the Dodge & CoxInternational Investment PolicyCommittee. The members of this nine-person team have been at Dodge &Cox for an average of 19 years.Several members also serve on thecommittee that runs large-value AnalystPick Dodge & Cox Stock. In addition, allthe firm's analysts are involved to acertain extent with this fund becausethey cover sectors on a global basis.
Investment StrategyThis Fund's management team investsin stocks that it considers undervaluedon a range of variables. It favorscompanies with good management,dominant competitive positions, andgood growth potential. Becausemanagement takes such a long-termview, turnover is generally low.Management will hedge part of theFund's currency exposure at times,though it's not a common tactic. It usesfair-value pricing whenever it thinks
such an approach is warranted.
Innovest's AssessmentWe believe this collaborative researchapproach will continue generatingshareholder value over full marketcycles; however, performance maysuffer during periods driven by moremacroeconomic events or a disregardfor company specific fundamentals.The strategy’s notable allocation todeveloping countries also suggests thatrelative performance may be partiallydictated by the market’s preference foremerging market securities.
1.0
2.0
3.0
4.0
5.0
6.0
7.0
8.0
9.0
10.0
Re
turn
(%)
18.0 20.0 22.0 24.0 26.0 28.0
Risk (Standard Deviation %)
ReturnStandardDeviation
¢£ Dodge & Cox Intl 8.11 25.48
� MSCI EAFE Value Idx 5.86 23.63
¾ Median 4.74 22.59
-4.0
0.0
4.0
8.0
12.0
16.0
20.0
24.0
28.0
32.0
Re
turn
LastQuarter
YearTo Date
1Year
3Years
5Years
7Years
10Years
¢£ Dodge & Cox Intl 11.15 (38) 17.15 (9) 27.76 (5) 8.75 (8) 8.11 (10) 4.10 (20) 10.62 (3)
� MSCI EAFE Value Idx 12.63 (14) 15.71 (21) 24.27 (18) 7.99 (14) 5.86 (24) 1.28 (54) 7.94 (48)
Median 10.53 14.12 21.39 6.97 4.74 1.37 7.77
2012 2011 2010 2009 2008 2007 2006
Dodge & Cox Intl 21.03 (10) -15.97 (86) 13.69 (6) 47.46 (9) -46.69 (72) 11.71 (29) 28.01 (31)
MSCI EAFE Value Idx 17.69 (39) -12.17 (41) 3.25 (80) 34.23 (29) -44.09 (52) 5.95 (94) 30.38 (9)
IM International Large Cap Value Equity (MF) Median 16.68 -12.91 5.40 28.41 -43.99 9.50 26.51
3Years
EndingSep-2013
3Years
EndingSep-2012
3Years
EndingSep-2011
3Years
EndingSep-2010
3Years
EndingSep-2009
3Years
EndingSep-2008
3Years
EndingSep-2007
Dodge & Cox Intl 8.75 (8) 2.69 (15) -0.02 (11) -6.30 (8) -1.42 (18) 2.55 (31) 24.97 (14)
MSCI EAFE Value Idx 7.99 (14) -0.11 (65) -1.69 (30) -10.72 (57) -4.08 (54) 0.00 (66) 23.36 (24)
IM International Large Cap Value Equity (MF) Median 6.97 1.04 -3.28 -10.31 -3.85 1.08 21.64
Dodge & Cox Intl 09/30/13
34
TOP 10 HOLDINGSPORTFOLIO CHARACTERISTICS
STYLE MAP (06/01/01 - 09/30/13)
SECTOR ALLOCATION
ASSET ALLOCATION
REGION ALLOCATION
TOP 5 COUNTRIES
UP/DOWN CAPTURE (10/01/08 - 09/30/13)
0.0% 30.0% 60.0% 90.0% 120.0%
Convertibles
Fixed Income
Other
Cash
Equities
0.0%
0.1%
0.7%
1.2%
98.1%
Total Securities 90
Avg. Market Cap $57,576 Million
P/E 26.69
P/B 2.70
Div. Yield 2.81%
Annual EPS -0.50
5Yr EPS -7.87
3Yr EPS Growth 6.77
Naspers Ltd ORD 4.13 %
Roche Holding AG ORD 4.11 %
Sanofi SA ORD 3.77 %
Lafarge SA ORD 2.97 %
Credit Suisse Group AG ORD 2.75 %
Novartis AG DR 2.66 %
Koninklijke Philips NV ORD 2.64 %
Bayer AG ORD 2.50 %
Hewlett-Packard Co ORD 2.49 %
HSBC Holdings PLC ORD 2.47 %
United Kingdom 15.14 %
Switzerland 14.54 %
Japan 12.70 %
France 10.98 %
Germany 6.76 %
3 Years 5 Years
vs. MSCI EAFE Value Idx
Beta 0.94 1.05
Dodge & Cox Intl MSCI EAFE Value Idx
0.0 10.0 20.0 30.0 40.0 50.0 60.0
OtherFrontier Markets
Middle EastUnited Kingdom
Europe ex UKJapan
Pacific ex JapanEM Mid East+Africa
North AmericaEM Latin America
EM EuropeEM Asia
Dodge & Cox Intl MSCI EAFE Value Idx
0.0 5.0 10.0 15.0 20.0 25.0 30.0 35.0 40.0
UtilitiesTelecommunication Services
MaterialsInformation Technology
IndustrialsHealth Care
FinancialsEnergy
Consumer StaplesConsumer Discretionary
Other
Style History Sep-2013
Average Style Exposure
Ca
pit
ali
za
tio
n
Manager Style
MSCI EAFE Growth Index
MSCI Emerging Markets IndexMSCI EAFE Small Cap
MSCI EAFE Value Index
Dodge & Cox Intl
50.0
70.0
90.0
110.0
130.0
150.0
Up
Ca
ptu
re
50.0 60.0 70.0 80.0 90.0 100.0 110.0 120.0 130.0 140.0 150.0Down Capture
Dodge & Cox Intl 09/30/13
35
FUND INFORMATION
ROLLING 3 YEAR RETURN AND PERCENTILE RANKINGS
PEER GROUP ANALYSIS - IM International Large Cap Growth Equity (MF)
CALENDAR YEAR RETURNS AND PERCENTILE RANKINGS
RISK VS. RETURN (5 YEARS*)
*If less than 5 years, data is since inception of fund share class.
Firm and Management:Like all American Funds, this offeringboasts many experienced managers,most of whom have been with thecompany for more than a decade. Eachmanager runs his or her portion ofassets independently of the others. Aportion of the portfolio (less than 25%of assets) is run by the firm's analyststaff.
Investment Strategy:This Fund's managers are focused onyield. They buy a lot of blue-chip stockswith healthy dividends and hold themfor the long term. They usually try topick up stocks on the cheap, so theportfolio's price multiples are below thegroup norm. The managers use cash tomoderate volatility, typically keeping theFund's stake in the double digits. TheFund usually has a stake in emerging-markets companies and will sometimeshold preferred stock and convertibles
debt.
Innovest's Assessment:The fund’s propensity to focus intenselyon bottom-up, fundamental factors canlead to periods of underperformancewhen the market is less concernedabout company fundamentals and moredriven by thematic and macroeconomic factors. Additionally, the fundis likely to lag when highly cyclicalstocks and generally lower qualitycompanies significantly outperform theoverall market. Finally, the fund’simmense asset base is likely to presentsome challenges in the fund’s ability tobuild meaningful positions in smallercompanies and opportunistically tradein less liquid markets.
0.0
1.0
2.0
3.0
4.0
5.0
6.0
7.0
8.0
9.0
9.9
Re
turn
(%)
12.0 15.0 18.0 21.0 24.0 27.0
Risk (Standard Deviation %)
ReturnStandardDeviation
¢£ American Funds EuPc 7.15 21.10
� MSCI EAFE Growth Index (Net) 6.79 20.81
¾ Median 6.66 21.55
-1.0
2.0
5.0
8.0
11.0
14.0
17.0
20.0
23.0
26.0
27.7
Re
turn
LastQuarter
YearTo Date
1Year
3Years
5Years
7Years
10Years
¢£ American Funds EuPc 9.44 (61) 11.62 (53) 17.85 (51) 6.71 (66) 7.15 (38) 4.33 (23) 9.58 (18)
� MSCI EAFE Growth Index (Net) 10.50 (25) 16.54 (2) 23.27 (1) 8.88 (21) 6.79 (49) 3.46 (49) 8.00 (59)
Median 9.65 11.77 17.95 7.41 6.66 3.44 8.41
2012 2011 2010 2009 2008 2007 2006
American Funds EuPc 19.21 (34) -13.58 (48) 9.40 (71) 39.10 (16) -40.53 (14) 18.96 (25) 21.87 (68)
MSCI EAFE Growth Index (Net) 16.86 (75) -12.11 (32) 12.25 (45) 29.36 (69) -42.70 (43) 16.45 (44) 22.33 (64)
IM International Large Cap Growth Equity (MF) Median 18.33 -13.62 11.69 33.28 -43.67 15.58 23.16
3Years
EndingSep-2013
3Years
EndingSep-2012
3Years
EndingSep-2011
3Years
EndingSep-2010
3Years
EndingSep-2009
3Years
EndingSep-2008
3Years
EndingSep-2007
American Funds EuPc 6.71 (66) 3.35 (62) 0.51 (27) -4.63 (6) 1.13 (6) 4.57 (15) 25.35 (29)
MSCI EAFE Growth Index (Net) 8.88 (21) 4.32 (39) -0.63 (49) -8.37 (52) -3.21 (60) 2.16 (49) 23.06 (57)
IM International Large Cap Growth Equity (MF) Median 7.41 3.73 -0.72 -8.26 -2.86 2.07 24.09
American Funds EuPc 09/30/13
36
TOP 10 HOLDINGSPORTFOLIO CHARACTERISTICS
STYLE MAP (01/01/99 - 09/30/13)
SECTOR ALLOCATION
ASSET ALLOCATION
REGION ALLOCATION
TOP 5 COUNTRIES
UP/DOWN CAPTURE (10/01/08 - 09/30/13)
0.0% 30.0% 60.0% 90.0% 120.0%
Convertibles
Cash
Other
Fixed Income
Equities
0.0%
0.3%
0.3%
7.0%
92.4%
Total Securities 409
Avg. Market Cap $55,562 Million
P/E 21.89
P/B 3.72
Div. Yield 2.34%
Annual EPS 12.98
5Yr EPS 8.33
3Yr EPS Growth 19.87
Novo Nordisk A/S ORD 3.91 %
Softbank Corp ORD 3.34 %
Novartis AG ORD 2.30 %
Bayer AG ORD 2.24 %
Samsung Electronics Co Ltd ORD 1.96 %
Taiwan Semiconductor Manufacturing Co Ltd ORD 1.60 %
Barclays PLC ORD 1.59 %
Prudential PLC ORD 1.53 %
Nestle SA ORD 1.39 %
Tencent Holdings Ltd ORD 1.33 %
Japan 12.73 %
United Kingdom 10.67 %
Germany 8.25 %
Switzerland 8.13 %
France 6.41 %
3 Years 5 Years
vs. MSCI EAFE Growth Index (Net)
Beta 0.96 1.00
American Funds EuPc MSCI EAFE Growth Index (Net)
0.0 10.0 20.0 30.0 40.0 50.0 54.0
OtherFrontier Markets
Middle EastUnited Kingdom
Europe ex UKJapan
Pacific ex JapanEM Mid East+Africa
North AmericaEM Latin America
EM EuropeEM Asia
American Funds EuPc MSCI EAFE Growth Index (Net)
0.0 3.0 6.0 9.0 12.0 15.0 18.0 21.0 24.0
UtilitiesTelecommunication Services
MaterialsInformation Technology
IndustrialsHealth Care
FinancialsEnergy
Consumer StaplesConsumer Discretionary
Other
Style History Sep-2013
Average Style Exposure
Ca
pit
ali
za
tio
n
Manager Style
MSCI EAFE Growth Index
MSCI Emerging Markets IndexMSCI EAFE Small Cap
MSCI EAFE Value Index
American Funds EuPc
50.0
70.0
90.0
110.0
130.0
150.0
Up
Ca
ptu
re
50.0 60.0 70.0 80.0 90.0 100.0 110.0 120.0 130.0 140.0 150.0Down Capture
American Funds EuPc 09/30/13
37
FUND INFORMATION
ROLLING 3 YEAR RETURN AND PERCENTILE RANKINGS
PEER GROUP ANALYSIS - IM U.S. Broad Market Core Fixed Income (MF)
CALENDAR YEAR RETURNS AND PERCENTILE RANKINGS
RISK VS. RETURN (5 YEARS*)
*If less than 5 years, data is since inception of fund share class.
Firm and Management:Bill Gross is a founder and ManagingDirector of PIMCO and has beenassociated with PIMCO since 1973. AsChief Investment Officer of PIMCO heoversees the management of over$500 billion of fixed income securities.He has been in investmentmanagement since 1970 and holds abachelor's degree from Duke Universityand an MBA from the UCLA Graduate
School of Business.
Investment Strategy:PIMCO couples their long termmacroeconomic outlook with their viewon short-term cyclical factors todetermine the fund's sector weightingsand duration. Although the strategy willfocus heavily on certain sectors, theteam doesn't make huge interest-ratebets against the Barclays CapitalAggregate Index. However, the fundwill occasionally invest in non-indexsectors of the bond market, such ashigh yield, international and emerging
markets.
Innovest's Assessment:The fund attempts to add value throughtop-down positioning and byaggressively pursuing relativelyattractive sectors of the bond market.The fund's total return approach allowsthem to diversify from heavily weightedsectors in the benchmark. Historically,their sector allocation decisions haveresulted in strong relativeoutperformance; however, it isimportant to note that the fund’sintermediate duration mandate couldbecome a headwind to performance ina rising interest rate environment.PIMCO also has the potential tounderperform when its macroeconomicforecast is materially wrong, either froma timing perspective or a fundamentalperspective. PIMCO's approach willnot always be lockstep with the broad
bond market index.
2.0
3.0
4.0
5.0
6.0
7.0
8.0
8.9
Re
turn
(%)
2.0 3.0 4.0 5.0 6.0 6.9
Risk (Standard Deviation %)
ReturnStandardDeviation
¢£ PIMCO Tot Rtn Inst 7.97 4.13
� BC Aggregate Idx 5.41 3.63
¾ Median 6.11 4.19
-4.0
-2.0
0.0
2.0
4.0
6.0
8.0
10.0
Re
turn
LastQuarter
YearTo Date
1Year
3Years
5Years
7Years
10Years
¢£ PIMCO Tot Rtn Inst 1.17 (4) -1.88 (36) -0.74 (20) 3.77 (19) 7.97 (4) 7.07 (1) 6.12 (1)
� BC Aggregate Idx 0.57 (46) -1.89 (36) -1.68 (55) 2.86 (61) 5.41 (70) 5.12 (38) 4.60 (34)
Median 0.54 -2.10 -1.59 3.08 6.11 4.90 4.31
2012 2011 2010 2009 2008 2007 2006
PIMCO Tot Rtn Inst 10.35 (2) 4.16 (94) 8.86 (20) 13.87 (42) 4.82 (14) 9.08 (1) 3.99 (45)
Barclays Aggregate Index 4.21 (81) 7.84 (12) 6.54 (70) 5.93 (90) 5.24 (10) 6.97 (10) 4.34 (28)
IM U.S. Broad Market Core Fixed Income (MF) Median 6.16 6.63 7.26 12.44 -3.45 5.30 3.93
3Years
EndingSep-2013
3Years
EndingSep-2012
3Years
EndingSep-2011
3Years
EndingSep-2010
3Years
EndingSep-2009
3Years
EndingSep-2008
3Years
EndingSep-2007
PIMCO Tot Rtn Inst 3.77 (19) 7.69 (22) 9.86 (17) 10.87 (1) 9.18 (1) 4.41 (2) 4.42 (4)
Barclays Aggregate Index 2.86 (61) 6.19 (72) 7.97 (64) 7.42 (40) 6.41 (24) 4.15 (5) 3.86 (17)
IM U.S. Broad Market Core Fixed Income (MF) Median 3.08 6.87 8.33 7.04 5.24 2.10 3.35
PIMCO Tot Rtn Inst 09/30/13
38
TOP SECTOR ALLOCATIONSPORTFOLIO CHARACTERISTICS
STYLE MAP (06/01/87 - 09/30/13)
QUALITY ALLOCATION
ASSET ALLOCATION
MATURITY DISTRIBUTION
UP/DOWN CAPTURE (10/01/08 - 09/30/13)
0.0% 50.0% 100.0% 133.4%-30.4 %
Cash
Convertibles
Equities
Other
Fixed Income
-7.0 %
0.0%
0.0%
4.0%
103.0%
Avg. Coupon 2.99 %
Nominal Maturity 6.54 Years
Effective Maturity N/A
Duration 5.82 Years
SEC 30 Day Yield 2.44
Avg. Credit Quality N/A
GNMA and Other Mtg Backed 45.00 %
Corporate Notes/Bonds 23.00 %
Fgn. Currency Denominated Bonds 13.00 %
Government Agency Securities 12.00 %
Treasury Notes/Bonds 10.00 %
0.0% 10.0% 20.0% 30.0% 40.0% 50.0%-9.9 %
20-30Yrs
>30Yrs
<1Yr
Other
10-20Yrs
1-3Yrs
3-5Yrs
5-10Yrs
-1.0 %
0.0%
0.0%
5.0%
10.5%
16.2%
25.7%
43.7%
0.0% 10.0% 20.0% 30.0% 40.0% 50.0%
CCC, CC AND C rated
Equities/Other
BB AND B Rated
AA Rated
BBB Rated
Foreign Securities
Government/AAA
0.8%
4.0%
8.4%
18.5%
10.9%
13.0%
44.3%
PIMCO Tot Rtn Inst
50.0
70.0
90.0
110.0
130.0
150.0U
p C
ap
ture
50.0 70.0 90.0 110.0 130.0 150.0Down CaptureStyle History Sep-2013
Average Style Exposure
Ca
pit
ali
za
tio
n
Manager Style
Barclays Capital Long Term Govt Bond
Barclays Capital Long U.S. CreditBarclays Capital U.S. Credit 1-5 Year Index
Barclays Capital 1-5 Yr Gov
PIMCO Tot Rtn Inst 09/30/13
39
FUND INFORMATION
ROLLING 3 YEAR RETURN AND PERCENTILE RANKINGS
PEER GROUP ANALYSIS - IM U.S. High Yield Bonds (MF)
CALENDAR YEAR RETURNS AND PERCENTILE RANKINGS
RISK VS. RETURN (5 YEARS*)
*If less than 5 years, data is since inception of fund share class.
Firm and Management:William J. Morgan joined J.P. Morgan in2005. He is the high yield team leaderand the portfolio manager for allaccounts in the high yield, aggressiveincome high yield, and insurance asset"BB' default rating styles. He is amember of the High Yield ManagementReview Committee and is alsoresponsible for managing the HighYield Team's credit analysts. Prior tojoining the firm, he held the same roleat Banc One High Yield Partners, LLCand Pacholder Associates, Inc.
Investment Style:The team utilizes a flexible approachthat seeks to generate excess return byutilizing the full range of opportunitiespresented by the high yield market,from investment grade credits trading athigh yield spreads to distressed anddefaulted securities and post-reorganization debt securities.
Innovest's Assessment:The JPMorgan High Yield Fund hashistorically had an overweight allocationto BB and B-rated credits; therefore it islikely to underperform in markets wherelower-rated high yield credits (CCC andlower) perform well. The strategy islikely to outperform when higher qualityhigh yield credits are in favor or wheninvestors generally favor less riskyassets. Additionally, the strategy shouldperform well in market environmentswhere bottom-up fundamental creditresearch is rewarded.
2.0
4.0
6.0
8.0
10.0
12.0
14.0
15.7
Re
turn
(%)
4.0 8.0 12.0 16.0 19.0
Risk (Standard Deviation %)
ReturnStandardDeviation
¢£ JPMorgan High Yield 11.80 10.80
� BC US Corp: High Yield 13.53 13.17
¾ Median 11.00 11.85
0.0
2.0
4.0
6.0
8.0
10.0
12.0
14.0
16.0
Re
turn
LastQuarter
YearTo Date
1Year
3Years
5Years
7Years
10Years
¢£ JPMorgan High Yield 1.99 (65) 3.71 (36) 6.97 (39) 8.26 (44) 11.80 (27) 8.06 (18) 8.46 (12)
� BC US Corp: High Yield 2.28 (43) 3.73 (35) 7.14 (36) 9.19 (16) 13.53 (4) 8.76 (6) 8.86 (7)
Median 2.17 3.26 6.54 8.12 11.00 7.13 7.46
2012 2011 2010 2009 2008 2007 2006
JPMorgan High Yield 14.81 (48) 2.65 (63) 14.67 (36) 48.45 (46) -22.54 (30) 2.18 (41) 12.80 (6)
Barclays US Corp: High Yield 15.81 (29) 4.98 (16) 15.12 (28) 58.21 (11) -26.16 (59) 1.87 (50) 11.86 (13)
IM U.S. High Yield Bonds (MF) Median 14.72 3.31 14.03 47.44 -25.00 1.84 9.98
3Years
EndingSep-2013
3Years
EndingSep-2012
3Years
EndingSep-2011
3Years
EndingSep-2010
3Years
EndingSep-2009
3Years
EndingSep-2008
3Years
EndingSep-2007
JPMorgan High Yield 8.26 (44) 11.63 (42) 11.51 (22) 7.76 (13) 4.96 (14) 2.31 (12) 8.05 (13)
Barclays US Corp: High Yield 9.19 (16) 12.90 (8) 13.83 (2) 8.75 (4) 5.31 (10) 1.04 (43) 7.44 (25)
IM U.S. High Yield Bonds (MF) Median 8.12 11.44 10.21 6.07 3.08 0.90 6.65
JPMorgan High Yield 09/30/13
40
TOP SECTOR ALLOCATIONSPORTFOLIO CHARACTERISTICS
STYLE MAP (12/01/98 - 09/30/13)
QUALITY ALLOCATION
ASSET ALLOCATION
MATURITY DISTRIBUTION
UP/DOWN CAPTURE (10/01/08 - 09/30/13)
0.0% 30.0% 60.0% 90.0% 120.0%
Other
Convertibles
Equities
Cash
Fixed Income
0.0%
0.1%
1.0%
4.7%
94.2%
Avg. Coupon N/A
Nominal Maturity N/A
Effective Maturity 7.15 Years
Duration 5.33 Years
SEC 30 Day Yield 7.26
Avg. Credit Quality B
Corporate Notes/Bonds 79.62 %
US$ Denominated Fgn. Gvt. 13.25 %
Preferred Stock-Non Convertible 1.28 %
Common Stock 1.00 %
Convertible Securities 0.10 %
Asset Backed Securities 0.07 %
0.0% 10.0% 20.0% 30.0% 40.0% 50.0%
>30Yrs
20-30Yrs
1-3Yrs
Other
<1Yr
10-20Yrs
3-5Yrs
5-10Yrs
0.0%
0.0%
0.0%
2.3%
4.7%
6.5%
43.2%
43.3%
0.0% 20.0% 40.0% 60.0% 80.0%
Equities/Other
Not Rated
BBB Rated
Government/AAA
CCC, CC AND C rated
BB AND B Rated
2.3%
2.8%
3.6%
4.7%
15.8%
70.9%
JPMorgan High Yield
50.0
70.0
90.0
110.0
130.0
150.0U
p C
ap
ture
50.0 70.0 90.0 110.0 130.0 150.0Down CaptureStyle History Sep-2013
Average Style Exposure
Ca
pit
ali
za
tio
n
Manager Style
Barclays Capital Long Term Govt Bond
Barclays Capital Long U.S. CreditBarclays Capital U.S. Credit 1-5 Year Index
Barclays Capital 1-5 Yr Gov
JPMorgan High Yield 09/30/13
41
FUND INFORMATION
ROLLING 3 YEAR RETURN AND PERCENTILE RANKINGS
PEER GROUP ANALYSIS - Loan Participation Mutual Funds
CALENDAR YEAR RETURNS AND PERCENTILE RANKINGS
RISK VS. RETURN (5 YEARS*)
*If less than 5 years, data is since inception of fund share class.
Firm and Management:Scott Page and Craig Russ co-managethe fund. Page has been its comanagersince its inception in early 2001. Russjoined him when Payson Swaffield wasappointed as Eaton Vance's chiefincome investment officer in November2007. Russ isn't a novice, though: Hesigned on with the firm in 1997 and hasserved as a bank-loan analyst and as acomanager on Eaton Vance funds suchas closed-end Senior Floating Rate
EFR since 2003.
Investment Strategy:The Eaton Vance Floating Rate Fundinvests in senior, secured floating-ratebank loans, the majority of which earnjunk-like credit ratings. It is a bottom-upstrategy that is focused on capitalpreservation and giving shareholderslow volatility exposure to the floatingrate corporate loan asset class. Due tothe sheer size of the strategy,incremental gains from inaccuratelyrated credits are not significant enoughto generate meaningful Alpha so theteam focuses on only the largest issuesof the highest rated credits availableand leaves the "diamond in the rough"finds to smaller, more nimble
strategies.
Innovest's Assessment:The strategy should be expected tooutperform during more difficult creditenvironments where higher quality,broad portfolio diversification tactics willprotect the portfolio from widespreadcredit deterioration. The strategyshould underperform when lowerquality credits lead (B- and lower) andin situations when strongerperformance is being derived fromsmaller issues.
4.5
5.0
5.5
6.0
6.5
7.0
7.5
8.0
8.3
Re
turn
(%)
6.0 8.0 10.0 12.0 14.0 15.4
Risk (Standard Deviation %)
ReturnStandardDeviation
¢£ Eaton Vance Flt Rt 6.83 10.33
� CSFB Leveraged Loan Idx 7.36 9.75
¾ Median 6.45 10.02
0.0
1.0
2.0
3.0
4.0
5.0
6.0
7.0
8.0
9.0
Re
turn
LastQuarter
YearTo Date
1Year
3Years
5Years
7Years
10Years
¢£ Eaton Vance Flt Rt 1.17 (49) 3.20 (50) 4.68 (51) 5.71 (39) 6.83 (27) 4.19 (19) 4.33 (38)
� CSFB Leveraged Loan Idx 1.40 (8) 4.26 (4) 5.83 (10) 6.25 (17) 7.36 (12) 4.60 (6) 5.10 (3)
Median 1.15 3.20 4.68 5.48 6.45 3.71 4.07
2012 2011 2010 2009 2008 2007 2006
Eaton Vance Flt Rt 8.27 (67) 2.44 (9) 9.55 (43) 46.49 (21) -30.25 (63) 2.01 (12) 6.48 (36)
Credit Suisse Leveraged Loan Index 9.42 (33) 1.80 (29) 9.97 (39) 44.88 (27) -28.75 (50) 1.87 (17) 7.35 (10)
Loan Participation Mutual Funds Median 8.89 1.43 9.17 41.50 -29.34 1.14 6.18
3Years
EndingSep-2013
3Years
EndingSep-2012
3Years
EndingSep-2011
3Years
EndingSep-2010
3Years
EndingSep-2009
3Years
EndingSep-2008
3Years
EndingSep-2007
Eaton Vance Flt Rt 5.71 (39) 7.41 (35) 6.58 (19) 2.73 (33) 0.91 (24) 0.37 (30) 4.75 (35)
Credit Suisse Leveraged Loan Index 6.25 (17) 7.74 (27) 6.76 (18) 3.14 (23) 1.15 (18) 0.74 (22) 5.52 (9)
Loan Participation Mutual Funds Median 5.48 7.03 5.50 2.07 -0.06 -0.08 4.46
Eaton Vance Flt Rt 09/30/13
42
TOP SECTOR ALLOCATIONSPORTFOLIO CHARACTERISTICS
STYLE MAP (02/01/01 - 09/30/13)
QUALITY ALLOCATION
ASSET ALLOCATION
MATURITY DISTRIBUTION
UP/DOWN CAPTURE (10/01/08 - 09/30/13)
0.0% 30.0% 60.0% 90.0% 120.0%
Convertibles
Equities
Other
Cash
Fixed Income
0.0%
0.0%
1.8%
5.9%
92.3%
Avg. Coupon 4.48 %
Nominal Maturity 5.16 Years
Effective Maturity N/A
Duration 0.16 Years
SEC 30 Day Yield 3.84
Avg. Credit Quality BB
Corporate Notes/Bonds 92.30 %
0.0% 10.0% 20.0% 30.0% 40.0% 50.0% 60.0%
>30Yrs
20-30Yrs
10-20Yrs
Other
1-3Yrs
<1Yr
3-5Yrs
5-10Yrs
0.0%
0.0%
0.3%
1.8%
5.3%
5.9%
36.0%
50.7%
0.0% 20.0% 40.0% 60.0% 80.0% 100.0%
CCC, CC AND C rated
BBB Rated
Equities/Other
Not Rated
Government/AAA
BB AND B Rated
1.2%
1.6%
1.8%
5.6%
5.9%
83.8%
Eaton Vance Flt Rt
50.0
70.0
90.0
110.0
130.0
150.0U
p C
ap
ture
50.0 70.0 90.0 110.0 130.0 150.0Down CaptureStyle History Sep-2013
Average Style Exposure
Ca
pit
ali
za
tio
n
Manager Style
Barclays Capital Long Term Govt Bond
Barclays Capital Long U.S. CreditBarclays Capital U.S. Credit 1-5 Year Index
Barclays Capital 1-5 Yr Gov
Eaton Vance Flt Rt 09/30/13
43
FUND INFORMATION
INDEX ALLOCATION
PERFORMANCE OVER TIME
INVESTMENT STATISTICS (5 YEARS*)
RISK VS. RETURN (5 YEARS*)
*If less than 5 years, since inception time period was used.
Firm and Management:PIMCO, founded in 1971, is a globalinvestment solutions provider managingretirement and other assets for morethan 8 million people in the U.S. andmillions more around the world. Thefund is managed by Mihir P. Worah.Mr. Worah is a managing director in theNewport Beach office, a portfoliomanager, and head of the Real Returnportfolio management team.
Investment Strategy:PIMCO uses derivatives linked tocommodity indices in an effort to gainexposure to the returns of thecommodity markets, without investingdirectly in physical commodities.PIMCO fully collateralizes thesepositions with fixed income securities,mainly Treasury Inflation-ProtectedSecurities (TIPS) that are activelymanaged in an attempt to outperformthe cost of gaining commodity exposure(in an effort to deliver excess return)and to provide an additional inflationhedge beyond commodities
Innovest Assessment:PIMCO Commodity Real Return’sprospective performance is largelydependent on the investment team’sability to find favorable trades on theTIPS yield curve as well as the rate atwhich real yields change.Consequently, the strategy is expectedto outperform during periods of riskaversion, characterized by decliningreal interest rates, and when actualinflation exceeds implied inflation.Investors are likely to experienceunderperformance during rising interestrate environments, defined by a rapidascension of real interest rates.
PIMCO Commodity RR
DJ-UBS Commodity Index
-6.0
-5.0
-4.0
-3.0
-2.0
-1.0
-0.2
Re
turn
(%)
18.0 20.0 22.0 24.0
Risk (Standard Deviation %)
PIMCO Commodity RR DJ-UBS Commodity Index
0.0
4.0
8.0
-4.0
-8.0
-12.0
-16.0
-20.0
-22.4
Re
turn
(%)
Last
Quarter
YTD 1
Year
3
Years
5
Years
7
Years
10
Years
2.1
-8.6
-14.3
-3.2
-5.3
-2.2
2.13.5
-12.8
-17.9
-0.7 -1.1
0.8
4.7
LastQuarter
YearTo Date
1Year
3Years
5Years
7Years
10Years
PIMCO Commodity RR 3.47 -12.82 -17.85 -0.68 -1.06 0.83 4.70
DJ-UBS Commodity Index 2.13 -8.56 -14.35 -3.16 -5.29 -2.15 2.14
2012 2011 2010 2009 2008 2007 2006 2005 2004 2003
PIMCO Commodity RR 5.31 -7.56 24.13 39.91 -43.33 23.80 -3.04 20.50 16.36 29.82
DJ-UBS Commodity Index -1.06 -13.32 16.83 18.91 -35.65 16.23 2.07 21.36 9.15 23.93
Alpha BetaActual
Correlation
UpMarket
Capture
DownMarket
Capture
InceptionDate
PIMCO Commodity RR 6.09 1.17 0.97 128.96 104.66 07/01/2002
DJ-UBS Commodity Index 0.00 1.00 1.00 100.00 100.00 07/01/2002
0.0
10.0
20.0
30.0
40.0
48.0
B ase
Met
a ls
Ener
gy
Gr a
ins
L ives
tock
Pre
ciou
s M
eta ls
So fts
15.8
37.5
19.4
5.4
13.0
9.0
PIMCO Commodity RR 09/30/13
44
FUND INFORMATION
ROLLING 3 YEAR RETURN AND PERCENTILE RANKINGS
PEER GROUP ANALYSIS - IM U.S. GIC/Stable Value (SA+CF)
CALENDAR YEAR RETURNS AND PERCENTILE RANKINGS
RISK VS. RETURN (5 YEARS*)
*If less than 5 years, data is since inception of fund share class.
Investment StrategyThe PLUS Fund's investment strategiesare based on a structured anddiversified multi-product, multi-managerapproach. The PLUS Fund investsprimarily in a diversified portfolio ofstable value investment contracts andfixed income securities that backcertain stable value investmentcontracts. Cash equivalents are held, inpart, to provide liquidity for payouts.The composition of the PLUS Fundportfolio and its allocations to variousstable value investments and fixedincome investment sectors isdetermined based on prevailingeconomic and capital marketconditions, relative value analysis, andother factors. 1.5
2.0
2.5
3.0
3.5
4.0
4.5
5.0
5.5
5.7
Re
turn
(%)
0.0 1.0 2.0 3.0 3.7
Risk (Standard Deviation %)
ReturnStandardDeviation
¢£ Vantage Trust Plus 3.54 0.29
� Ryan 3 Yr GIC Mstr 2.78 0.65
¾ Median 3.13 0.40
-2.0
-1.0
0.0
1.0
2.0
3.0
4.0
5.0
6.0
6.6
Re
turn
LastQuarter
YearTo Date
1Year
3Years
5Years
7Years
10Years
¢£ Vantage Trust Plus 0.63 (16) 1.97 (4) 2.71 (3) 3.15 (7) 3.54 (31) 4.02 (21) 4.25 (20)
� Ryan 3 Yr GIC Mstr 0.25 (100) 0.80 (82) 1.12 (82) 1.83 (92) 2.78 (61) 3.29 (78) 3.34 (88)
Median 0.46 1.22 1.74 2.46 3.13 3.69 4.04
2012 2011 2010 2009 2008 2007 2006
Vantage Trust Plus 3.03 (17) 3.50 (27) 3.85 (41) 4.16 (31) 5.14 (9) 5.20 (23) 5.06 (11)
Ryan 3 Yr GIC Mstr 1.48 (99) 2.44 (64) 3.53 (52) 4.49 (17) 4.79 (34) 4.52 (98) 3.77 (97)
IM U.S. GIC/Stable Value (SA+CF) Median 2.37 2.93 3.55 3.71 4.66 5.01 4.66
3Years
EndingSep-2013
3Years
EndingSep-2012
3Years
EndingSep-2011
3Years
EndingSep-2010
3Years
EndingSep-2009
3Years
EndingSep-2008
3Years
EndingSep-2007
Vantage Trust Plus 3.15 (7) 3.55 (36) 3.96 (30) 4.51 (25) 4.93 (20) 5.15 (8) 5.04 (9)
Ryan 3 Yr GIC Mstr 1.83 (92) 2.72 (67) 3.72 (39) 4.41 (28) 4.59 (37) 4.23 (94) 3.70 (96)
IM U.S. GIC/Stable Value (SA+CF) Median 2.46 3.24 3.50 4.09 4.55 4.79 4.62
Vantage Trust Plus 09/30/13
45
Passive Portfolios Weight (%)
Jul-1990
Barclays Aggregate Index 35.00
MSCI EAFE (net) Index 15.00
Russell 2000 Index 15.00
S&P 500 Index 35.00
Apr-2001
Barclays Aggregate Index 24.00
MSCI EAFE (net) Index 15.00
Russell 2000 Index 20.00
S&P 500 Index 41.00
Jan-2002
70% S&P/30% BC Aggr 50.00
MSCI EAFE (net) Index 15.00
Russell 2000 Index 10.00
Barclays Aggregate Index 15.00
Russell Midcap Index 10.00
Apr-2002
Barclays Aggregate Index 15.00
MSCI EAFE (net) Index 15.00
Russell 2000 Index 10.00
Russell Midcap Index 10.00
70% S&P/30% BC Aggr 50.00
Oct-2005
Barclays Aggregate Index 15.00
MSCI EAFE (net) Index 15.00
Dow Jones-UBS Commodity Index 2.00
Russell Midcap Index 7.00
Russell 2000 Index 7.00
70% S&P/30% BC Aggr 54.00
Jan-2006
Barclays Aggregate Index 13.50
MSCI EAFE (net) Index 15.00
Russell Midcap Index 7.00
Russell 2000 Index 7.00
Dow Jones-UBS Commodity Index 3.50
70% S&P/30% BC Aggr 54.00
Passive Portfolios Weight (%)
Apr-2006
Barclays Aggregate Index 12.00
MSCI EAFE (net) Index 15.00
Dow Jones-UBS Commodity Index 5.00
Russell Midcap Index 7.00
Russell 2000 Index 7.00
70% S&P/30% BC Aggr 54.00
Oct-2007
70% S&P/30% BC Aggr 54.00
Russell Midcap Index 7.00
Russell 2000 Index 7.00
MSCI EAFE (net) Index 15.00
Barclays Aggregate Index 12.00
Dow Jones-UBS Commodity Index 5.00
Apr-2010
70% S&P/30% BC Aggr 52.00
Russell Midcap Index 7.00
Russell 2000 Index 7.00
MSCI EAFE (net) Index 15.00
Barclays Aggregate Index 4.00
Barclays US Corp: High Yield 3.00
CSFB Leveraged Loan 7.00
Dow Jones-UBS Commodity Index 5.00
Apr-2012
70% S&P/30% BC Aggr 52.00
Russell Midcap Index 7.00
Russell 2000 Index 7.00
MSCI EAFE (net) Index 15.00
Barclays Aggregate Index 4.00
Barclays US Corp: High Yield 5.00
CSFB Leveraged Loan 5.00
Dow Jones-UBS Commodity Index 5.00
Custom Benchmark Allocations Over Time
46
GlossaryAlpha measures a portfolio’s return in excess of the market return adjusted for risk. It is a measure of the manager’s contribution to performance with reference to security selection. A positive alpha indicates that a portfolio was positively rewarded for the residual risk that was taken for that level of market exposure.
Beta measures the sensitivity of rates of portfolio return to movements in the market. A portfolio’s beta measures the expected change in return per 1% change in the return on the market. If the beta of a portfolio is 1.5, a 1 percent increase in the return of the market will result, on average, in a 1.5 percent increase in the return on the portfolio. The converse would also be true.
Dividend Yield - The total amount of dividends paid out for a stock over the preceding twelve months divided by the closing price of a share of the common stock.
Down Capture Ratio - The Down Capture Ratio is a measure of the Investment’s compound return when the Benchmark was down divided by the Benchmark’s compound return when the Benchmark was down. The smaller the value, the better.
Duration - A time measure of a bond’s interest-rate sensitivity, based on the weighted average of the time periods over which a bond’s cash flows accrue to the bondholder.
Forecasted Long-Term Earnings Growth - This growth rate is a measure of a company’s expected long-term success in generating future year-over-year earnings growth. This growth rate is a market value weighted average of the consensus (mean) analysts’ long-term earnings growth rate forecast for each company in the portfolio. The definition of long-term varies by analyst but is limited to a 3-8 year range. This value is expressed as the expected average annual growth of earnings in percent.
Information Ratio measures the excess return per unit of residual “non market” risk in a portfolio. The ratio is equal to the Alpha divided by the Residual Risk.
Market Capitalization - The market value of a company’s outstanding shares of common stock at a specific point in time, computed as the product of the number of outstanding shares times the stock’s closing price per share.
P/E ratio relates the price of the stock to the per-share earnings of the company. A high P/E generally indicates that the market will pay more to obtain the company because it has confidence in the company’s ability to increase its earnings. Conversely, a low P/E indicates that the market has less confidence that the company’s earnings will increase, and therefore will not pay as much for its stock. In most cases a fund with a high average P/E ratio has paid a premium for stocks that have a high potential for increased earnings. If the fund’s average P/E ratio is low, the manager may believe that the stocks have an overlooked or undervalued potential for appreciation.
P/B ratio of a company relates the per-share market price of the company’s stock to its per-share book value, the historical accounting value of the company’s tangible assets. A high P/B ratio indicates that the price of the stock exceeds the actual worth of the company’s assets. A low P/B ratio would indicate that the stock is a bargain, priced below what the company’s assets could be worth if liquidated.
P/CF ratio compares the total market value of the portfolio to the portfolio’s share of the underlying stocks’ earnings (or book value, cash flow, sales or dividends).
Alpha measures a portfolio’s return in excess of the market return adjusted for risk. It is a measure of the manager’s contribution to performance with reference to security selection. A positive alpha indicates that a portfolio was positively rewarded for the residual risk that was taken for that level of market exposure.
Beta measures the sensitivity of rates of portfolio return to movements in the market. A portfolio’s beta measures the expected change in return per 1% change in the return on the market. If the beta of a portfolio is 1.5, a 1 percent increase in the return of the market will result, on average, in a 1.5 percent increase in the return on the portfolio. The converse would also be true.
Dividend Yield - The total amount of dividends paid out for a stock over the preceding twelve months divided by the closing price of a share of the common stock.
Down Capture Ratio - The Down Capture Ratio is a measure of the Investment’s compound return when the Benchmark was down divided by the Benchmark’s compound return when the Benchmark was down. The smaller the value, the better.
Duration - A time measure of a bond’s interest-rate sensitivity, based on the weighted average of the time periods over which a bond’s cash flows accrue to the bondholder.
Forecasted Long-Term Earnings Growth - This growth rate is a measure of a company’s expected long-term success in generating future year-over-year earnings growth. This growth rate is a market value weighted average of the consensus (mean) analysts’ long-term earnings growth rate forecast for each company in the portfolio. The definition of long-term varies by analyst but is limited to a 3-8 year range. This value is expressed as the expected average annual growth of earnings in percent.
Information Ratio measures the excess return per unit of residual “non market” risk in a portfolio. The ratio is equal to the Alpha divided by the Residual Risk.
Market Capitalization - The market value of a company’s outstanding shares of common stock at a specific point in time, computed as the product of the number of outstanding shares times the stock’s closing price per share.
P/E ratio relates the price of the stock to the per-share earnings of the company. A high P/E generally indicates that the market will pay more to obtain the company because it has confidence in the company’s ability to increase its earnings. Conversely, a low P/E indicates that the market has less confidence that the company’s earnings will increase, and therefore will not pay as much for its stock. In most cases a fund with a high average P/E ratio has paid a premium for stocks that have a high potential for increased earnings. If the fund’s average P/E ratio is low, the manager may believe that the stocks have an overlooked or undervalued potential for appreciation.
P/B ratio of a company relates the per-share market price of the company’s stock to its per-share book value, the historical accounting value of the company’s tangible assets. A high P/B ratio indicates that the price of the stock exceeds the actual worth of the company’s assets. A low P/B ratio would indicate that the stock is a bargain, priced below what the company’s assets could be worth if liquidated.
P/CF ratio compares the total market value of the portfolio to the portfolio’s share of the underlying stocks’ earnings (or book value, cash flow, sales or dividends).
R-Squared indicates the extent to which the variability of the portfolio returns is explained by market action. It can also be thought of as measuring the diversification relative to the appropriate benchmark. An R-Squared value of .75 indicates that 75% of the fluctuation in a portfolio return is explained by market action. An R-Squared of 1.0 indicates that a portfolio’s returns are entirely related to the market and it is not influenced by other factors. An R-Squared of zero indicates that no relationship exists between the portfolio’s return and the market.
Residual Risk is the unsystematic risk of a fund, or the portion of the total risk unique to the manager and not related to the overall market. This reflects the “bets” which the manager places in that particular asset class. These bets reflect emphasis in particular sectors, maturities (for bonds), or other issue specific factors which the manager considers a good investment opportunity. Diversification of the portfolio will reduce the residual risk of that portfolio.
Sharpe Ratio is a measure of risk-adjusted return. It is calculated by subtracting the risk-free return (90 day T-Bills) from the portfolio return and dividing the resulting “excess return” by the portfolio’s total risk level (standard deviation). The result is a measure of returned gained per unit of total risk taken.
Standard Deviation is a statistical measure of portfolio risk. It reflects the average deviation of observations from their sample mean. Standard Deviation is used as an estimate of risk since it measures how wide the range of returns typically is. The wider the typical range of returns, the higher the standard deviation of returns, and the higher the portfolio risk. If returns are normally distributed (i.e. as a bell shaped curve distribution) then approximately 66% of 2/3 of the returns would occur within plus or minus one standard deviation of the sample mean.
Style Exposure Chart indicates a portfolio’s exposure to a particular capitalization (large, medium or small) and style (value or growth). Based on Sharpe’s return based style analysis, a style map will attempt to correlate a manager to a particular style of investing (i.e. Large Cap Growth).
Turnover Ratio - This is a measure of the fund’s trading activity which is computed by taking the lesser of purchases or sales (excluding all securities with maturities of less than one year) and dividing by average monthly net assets.
Up Capture Ratio - The Up Capture Ratio is a measure of the Investment’s compound return when the Benchmark was up divided by the Benchmark’s compound return when the Benchmark was up. The greater the value, the better.
Down Capture Ratio - The Down Capture Ratio is a measure of the Investment’s compound return when the Benchmark was down divided by the Benchmark’s compound return when the Benchmark was down. The smaller the value, the better.
Alpha measures a portfolio’s return in excess of the market return adjusted for risk. It is a measure of the manager’s contribution to performance with reference to security selection. A positive alpha indicates that a portfolio was positively rewarded for the residual risk that was taken for that level of market exposure.
Beta measures the sensitivity of rates of portfolio return to movements in the market. A portfolio’s beta measures the expected change in return per 1% change in the return on the market. If the beta of a portfolio is 1.5, a 1 percent increase in the return of the market will result, on average, in a 1.5 percent increase in the return on the portfolio. The converse would also be true.
Dividend Yield - The total amount of dividends paid out for a stock over the preceding twelve months divided by the closing price of a share of the common stock.
Down Capture Ratio - The Down Capture Ratio is a measure of the Investment’s compound return when the Benchmark was down divided by the Benchmark’s compound return when the Benchmark was down. The smaller the value, the better.
Duration - A time measure of a bond’s interest-rate sensitivity, based on the weighted average of the time periods over which a bond’s cash flows accrue to the bondholder.
Forecasted Long-Term Earnings Growth - This growth rate is a measure of a company’s expected long-term success in generating future year-over-year earnings growth. This growth rate is a market value weighted average of the consensus (mean) analysts’ long-term earnings growth rate forecast for each company in the portfolio. The definition of long-term varies by analyst but is limited to a 3-8 year range. This value is expressed as the expected average annual growth of earnings in percent.
Information Ratio measures the excess return per unit of residual “non market” risk in a portfolio. The ratio is equal to the Alpha divided by the Residual Risk.
Market Capitalization - The market value of a company’s outstanding shares of common stock at a specific point in time, computed as the product of the number of outstanding shares times the stock’s closing price per share.
P/E ratio relates the price of the stock to the per-share earnings of the company. A high P/E generally indicates that the market will pay more to obtain the company because it has confidence in the company’s ability to increase its earnings. Conversely, a low P/E indicates that the market has less confidence that the company’s earnings will increase, and therefore will not pay as much for its stock. In most cases a fund with a high average P/E ratio has paid a premium for stocks that have a high potential for increased earnings. If the fund’s average P/E ratio is low, the manager may believe that the stocks have an overlooked or undervalued potential for appreciation.
P/B ratio of a company relates the per-share market price of the company’s stock to its per-share book value, the historical accounting value of the company’s tangible assets. A high P/B ratio indicates that the price of the stock exceeds the actual worth of the company’s assets. A low P/B ratio would indicate that the stock is a bargain, priced below what the company’s assets could be worth if liquidated.
P/CF ratio compares the total market value of the portfolio to the portfolio’s share of the underlying stocks’ earnings (or book value, cash flow, sales or dividends).
R-Squared indicates the extent to which the variability of the portfolio returns is explained by market action. It can also be thought of as measuring the diversification relative to the appropriate benchmark. An R-Squared value of .75 indicates that 75% of the fluctuation in a portfolio return is explained by market action. An R-Squared of 1.0 indicates that a portfolio’s returns are entirely related to the market and it is not influenced by other factors. An R-Squared of zero indicates that no relationship exists between the portfolio’s return and the market.
Residual Risk is the unsystematic risk of a fund, or the portion of the total risk unique to the manager and not related to the overall market. This reflects the “bets” which the manager places in that particular asset class. These bets reflect emphasis in particular sectors, maturities (for bonds), or other issue specific factors which the manager considers a good investment opportunity. Diversification of the portfolio will reduce the residual risk of that portfolio.
Sharpe Ratio is a measure of risk-adjusted return. It is calculated by subtracting the risk-free return (90 day T-Bills) from the portfolio return and dividing the resulting “excess return” by the portfolio’s total risk level (standard deviation). The result is a measure of returned gained per unit of total risk taken.
Standard Deviation is a statistical measure of portfolio risk. It reflects the average deviation of observations from their sample mean. Standard Deviation is used as an estimate of risk since it measures how wide the range of returns typically is. The wider the typical range of returns, the higher the standard deviation of returns, and the higher the portfolio risk. If returns are normally distributed (i.e. as a bell shaped curve distribution) then approximately 66% of 2/3 of the returns would occur within plus or minus one standard deviation of the sample mean.
Style Exposure Chart indicates a portfolio’s exposure to a particular capitalization (large, medium or small) and style (value or growth). Based on Sharpe’s return based style analysis, a style map will attempt to correlate a manager to a particular style of investing (i.e. Large Cap Growth).
Turnover Ratio - This is a measure of the fund’s trading activity which is computed by taking the lesser of purchases or sales (excluding all securities with maturities of less than one year) and dividing by average monthly net assets.
Up Capture Ratio - The Up Capture Ratio is a measure of the Investment’s compound return when the Benchmark was up divided by the Benchmark’s compound return when the Benchmark was up. The greater the value, the better.
Down Capture Ratio - The Down Capture Ratio is a measure of the Investment’s compound return when the Benchmark was down divided by the Benchmark’s compound return when the Benchmark was down. The smaller the value, the better.
47
Organization Asset BasePct. Owned by Employees CurrentBoutique vs. Institutional Growth of AUMRecent Changes in Ownership Capacity ConstraintsManagement Investment in Firm’s Products Soft ClosedSpecialized vs. All in One Re-opening of Products
People PerformanceSize of Team Short Term vs. Benchmark and Style GroupStructure of Team Long Term vs. Benchmark and Style GroupExperience of Team Consistency – Relative/Absolute/Risk AdjustedTurnover of Key MembersGrowth of Team with Assets
Philosophy/Process ExpensesStyle Consistency (Growth/Value, Market Cap) Cost vs. CompetitorsDomestic/Int’l drift
Examples of things that would cause concern resulting in a YELLOW or RED box include but not limited to:
6) EXPENSES - A fund or product that is substantially above the median expense ratio or management fee would be a cause for concern.
Fund Analysis Overview Key
1) ORGANIZATION - A change in ownership whereby it is unclear what the structure of the new organization will be, how will key personnel be compensated, and what type of employment contracts are in place to keep key decision makers.
2) PEOPLE - A change in portfolio manager would be a cause for concern. We would assess the new talent taking over. Is the new portfolio manager a current member of the team or is it someone new from outside the group or organization.
3) PHILOSOPHY/PROCESS - A change in portfolio characteristics would be a cause for concern. For example, if a growth style manager suddenly starts investing in value names during a value rally or if a small cap portfolio was migrating into midcap names due to asset growth.
4) ASSET BASE - A small cap fund with more than $3 billion in assets would be a cause for concern or a fund that continues to add assets as it becomes clear the portfolio management team can not handle the inflows. A sign of this would be a large increase in the cash position of the portfolio.
5) PERFORMANCE - A product that fails to outperform either the index and/or the median manager on a consistent basis (at least 50% of the time) would be a cause for concern. Short term and long term performance is considered both on an absolute basis and relative basis in addition to risk-adjusted measures.
Each of the 6 criteria are evaluated on an individual basis and subjective based on Innovest’s assessment. Below are examples of the many factors under each category we consider when making an assessment.
48
Holdings Based Attribution Key
A. Buy and Hold Portfolio – Return for the portfolio assuming no securities were traded during the quarter B. Portfolio Trading = (C – A) or (Actual Return ‐ Buy and Hold Portfolio) C. Actual Return – return the client experienced D. Benchmark Return – return for benchmark E. Actual Active Return – (C – D) or ( Actual Return minus Benchmark Return ) F. Stock Selection – Is the contribution to return based upon the active stock selection by the manager with in a sector compared to the benchmark. G. Sector Selection – Is the contribution to return based upon the active overweight or underweight of a sector compared to the benchmark by the
manager. H. Interaction – Is the impact of contribution to return that are a combination of both Stock and Security selection also sometimes referred to as the
unexplained. I. Total Selection – Is the Sum of all the selection affects (F,G,H) J. Portfolio Trading – Same as B. K. Benchmark Trading – Benchmark B/H return – Actual Benchmark Return L. Total Trading – Portfolio Trading plus Benchmark Trading M. Buy & Hold Active Return – I + L
49
Disclaimer
The preceding statistical analysis was prepared by Innovest Portfolio Solutions LLC with data provided by Callan Associates, Inc. (CAI), Investment Metrics (IM), Strategic Financial Solutions, LLC, Lipper and Morningstar, Inc. All Rights Reserved.
The information contained herein: (1) is proprietary to the vendors listed above and/or its content providers; (2) may not be copied or distributed; and (3) is not warranted to be accurate, complete or timely. None of the vendors nor its content providers are responsible for any damages or losses arising from any use of this information. Past performance is no guarantee of future results. Innovest compiles the information utilizing secondary data from statements provided by the plan trustee and/or custodian,
This report may also contain returns and valuations from outside sources as directed by the client. Innovest assumes no responsibility for the accuracy of these valuations or return methodologies. Reasonable care has been taken to assure the accuracy of the computer software and databases. Innovest disclaims responsibility, financial or otherwise for the accuracy and completeness of this report. Copyright 2013 by Innovest Portfolio Solutions LLC Inc.
Note: Actual client mutual fund returns are reflected on the table of returns page. Fund pages subsequent to the table of returns reflect the representative mutual fund with the longest track record and may not be the actual share class held by the client.
“Copyright 2013, Standard & Poor’s Financial Services LLC. Reproduction of S&P Index Services in any form is prohibited except with the prior written permission of S&P. S&P does not guarantee the accuracy, adequacy, completeness or availability of any information and is not responsible for any errors or omissions, regardless of the cause or for the results obtained from the use of such information. S&P DISCLAIMS ANY AND ALL EXPRESS OR IMPLIED WARRANTIES, INCLUDING, BUT NOT LIMITED TO, ANY WARRANTIES OF MERCHANTABILITY OR FITNESS FOR A PARTICULAR PURPOSE OR USE. In no event shall S&P be liable for any direct, indirect, special or consequential damages, costs, expenses, legal fees, or losses (including lost income or lost profit and opportunity costs) in connection with subscriber’s or others’ use of S&P Index Services (2013)
Copyright MSCI 2013. Unpublished. All Rights Reserved. This information may only be used for your internal use, may not be reproduced or re-disseminated in any form and may not be used to create any financial instruments or products or any indices. This information is provided on an “as is” basis and the user of this information assumes the entire risk of any use it may make or permit to be made of this information. Neither MSCI, any or its affiliates or any other person involved in or related to compiling, computing or creating this information makes any express or implied warranties or representations with respect to such information or the results to be obtained by the use thereof, and MSCI, its affiliates and each such other person hereby expressly disclaim all warranties (including, without limitation, all warranties of originality, accuracy, completeness, timeliness, non-infringement, merchantability and fitness for a particular purpose) with respect to this information. Without limiting any of the foregoing, in no event shall MSCI, any of its affiliates or any other person involved in or related to compiling, computing or creating this information have any liability for any direct, indirect, special, incidental, punitive, consequential or any other damages (including, without limitation, lost profits) even if notified of, or if it might otherwise have anticipated, the possibility of such damages.
50
FAL
L 2
01
3
1
Introduction to M
odern Portfolio Theory (M
PT)M
any of the previous articles in the Retirement Report
have addressed introductory investing fundamentals
such as allocation, diversifi cation, and other basic principles of long-term
investing. In this quarter’s edition of the Retirem
ent Report, we w
ould like to usher our readers to an interm
ediate level by describing som
e slightly more advanced term
s often used in the investm
ent industry. A basic knowledge of alpha, beta,
and R-squared can help a do-it-yourself investor build
their own retirem
ent portfolio, and help novice investors m
ake sense of investment new
s.
Since the burst of the housing bubble prompted the
2007-2009 fi nancial crisis, investors have become m
ore attuned to the risk characteristics of the investm
ents in their retirem
ent portfolios. As volatility in the market
continues to be a concern, investors are paying more
attention to the relationship between the potential
for reward and the likelihood of experiencing losses.
Modern Portfolio Th eory (M
PT) is used by m
any investm
ent professionals to help investors make
appropriate investing and asset allocation decisions. M
PT is rooted in the assertion that there are no free
lunches, as investors can only obtain higher returns if they are w
illing to take on more risk. W
ithin MPT
lie m
easurements such as alpha, beta, and R
-squared, which
are useful to understanding and quantifying this risk/rew
ard landscape.
Understanding Beta
Although alpha precedes beta in the Greek alphabet,
beta is a necessary precursor to understanding alpha. Beta can generally be defi ned as the risk factor of a
portfolio to the market, w
hich is usually achieved through asset allocation. A beta num
ber of 1.00 implies
that the portfolio will perform
exactly how the m
arket perform
s. A beta number greater than 1.00 im
plies that the portfolio w
ill perform better than the m
arket when
the market is going up, and w
orse than the market w
hen the m
arket is going down (m
ore risk with m
ore reward).
Conversely, a beta num
ber lower than 1.00 m
eans that the portfolio is expected to perform
worse than the
market w
hen the market is going up, and better than the
market w
hen the market is going dow
n (less risk with
less reward).
Understanding Alpha
Alpha is the measure of the excess return generated
by a portfolio beyond the benchmark returns. It is
the residual (or skill/luck-based) component of active
managem
ent, allowing fund m
anagers to display their value beyond passively m
anaged (or index) funds. Th e benchm
ark is usually a market index, such as the S&
P 500 Index, that the portfolio can be com
pared against to assess its perform
ance relative to the market. G
enerally, if alpha is positive, it m
eans that the portfolio returned m
ore than its expected return from the m
arket, whereas
a negative alpha indicates that the portfolio returned less.
Continued on page 2
Should investors be impressed if an actively m
anaged fund is generating positive alpha for their retirem
ent portfolio? In general, yes, being able to generate alpha is touted as the holy grail of investing; it’s an indication that a fund m
anager has been able to generate an above-average return relative to the risk that he or she is taking on. H
owever, before investors put too m
uch stock in the statistic, it’s im
portant to know w
hat these statistics m
ean, and why they are im
portant. Investors should be cognizant of the fact that a higher beta does not necessarily equate to a higher alpha; a portfolio w
ith a high beta m
ay well sport a negative alpha. Th is is due to
the fact that the greater the risk the portfolio assumes,
the higher the hurdle the portfolio must overcom
e in order to outperform
the market.
Understanding R-squared
Th e R-squared value is a num
ber that measures the
strength of a relationship, or correlation, between a
fund and its benchmark, w
hich can help explain the behavior of a fund or portfolio throughout m
arket sw
ings. Th e higher the R-squared value, the m
ore closely the portfolio’s perform
ance can be explained by the index it tracks. Th e low
er the R-squared value,
the more likely the portfolio doesn’t behave m
uch like its index. R
-squared values can range from 0 to 100.
An R-squared value of 0 indicates there is no degree of
performance correlation betw
een a market benchm
ark and a given portfolio or fund, w
hile a value of 100 m
eans that a portfolio or fund would have identical
reactions to the markets as its benchm
ark. High
R-squared values typically range from
85-100, while low
R
-squared values are 70 or less.
If you have constructed your own portfolio from
your Plan’s investm
ent menu, the funds you hold should
have a low correlation to one another as a w
hole. Th is strategy w
ill help ensure you do not hold multiple funds
with the sam
e objectives, and that your investments
do not move in tandem
with m
arket swings. Fund
comparison tools and M
PT stats can be found on m
any popular investm
ent websites.
Alpha and beta are the heart of traditional performance
(risk and return) analysis, although they do come w
ith their ow
n caveats and limitations. Investors trying to
understand or interpret these MPT
statistics are best advised to attend retirem
ent education sessions provided by your em
ployer and seek professional investment
advice to ensure they are allocating risk appropriately. H
owever, a better understanding of these m
easurements
can go a long way in m
aking better investment decisions
and staying connected to your retirement account.
2
Published by InSight Employee Benefi t Com
munications, Inc.
4643 S. Ulster Street, Suite 800 | Denver, CO 80237 | 720.228.4157 | ww
w.insightebc.com
Whom
do I call for help?The Plan’s Investm
ent Consultant
Innovest Portfolio Solutions
4643 S. Ulster St., Suite 1040
Denver, CO 80237
303.694.1900 | ww
w.innovestinc.com
Account Information
> Balances> > Change personal info
Contact : ICMA-RC
800.669.7400 | ww
w.icmarc.org
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