September 2019 - coa.sba-inc.com

This presentation is furnished on a confidential basis to the recipient for informational purposes only. For disclosure information, please refer to the end of this presentation.

September 2019Executive Summary

U.S. economy overview

2U.S. Economy

▪ The Atlanta Fed’s GDPNow metric is anticipating 1.8% growth in 3rd quarter GDP

▪ The unemployment rate declined to 3.5% with 136K new jobs added in September

▪ CPI increased 1.7% over the trailing 12 months with core CPI at 2.4%

▪ The House of Representatives launched a formal impeachment inquiry against Donald Trump, though it is unlikely he will be removed from office given his support in the Senate

Trade with China falls, but made up elsewhere

3

Exports and imports with China have fallen more than 10% YTD, while aggregate trade remains flat as other countries such as Mexico and Vietnam have benefited from the trade war

Source: U.S. Census

$345

$1,672

$84

$1,106

$302

$1,671

$70

$1,096

$0

$200

$400

$600

$800

$1,000

$1,200

$1,400

$1,600

$1,800

Imports from China Imports from World Exports to China Exports to World

$ B

illio

ns

2018 through August 2019 through August

U.S. Economy

Odds of a recession spike

4

Based on the shape of the yield curve, the NY Fed is predicting nearly a 40% chance of a recession within the next 12 months

Source: NY Federal Reserve

0%

10%

20%

30%

40%

50%

Sep-95 Sep-97 Sep-99 Sep-01 Sep-03 Sep-05 Sep-07 Sep-09 Sep-11 Sep-13 Sep-15 Sep-17 Sep-19

U.S. Economy

Month (%) Qtr (%) YTD (%) 1 Year (%) 3 Year (%) 5 Year (%) 10 Year (%)

Broad Market Indices

Blm BC Aggregate -0.5 2.3 8.5 10.3 2.9 3.4 3.7

Intermediate Indices

Blm BC Int. Gov./Credit -0.4 1.4 6.4 8.2 2.4 2.7 3.0

Government Only Indices

Blm BC Long Gov. -2.5 7.8 19.6 24.6 4.1 6.7 6.9

Blm BC Int. Gov. -0.4 1.2 5.2 7.5 1.8 2.2 2.3

Blm BC 1-3 Year Gov. -0.1 0.6 3.1 4.4 1.5 1.3 1.2

Blm BC U.S. TIPS -1.4 1.3 7.6 7.1 2.2 2.4 3.5

Credit Indices

Blm BC U.S. Long Credit -1.5 5.6 21.9 19.9 6.5 6.9 7.8

Blm BC High Yield 0.4 1.3 11.4 6.4 6.1 5.4 7.9

CS Leveraged Loan Index 0.4 0.9 6.4 3.1 4.7 4.1 5.4

Securitized Bond Indices

Blm BC MBS 0.1 1.4 5.6 7.8 2.3 2.8 3.1

Blm BC ABS -0.1 0.9 4.1 5.4 2.2 2.3 2.8

Blm BC CMBS -0.6 1.9 8.6 10.4 3.3 3.8 6.1

Non-U.S. Indices

Blm BC Global Aggregate Hedged -0.5 2.6 8.8 10.6 3.7 4.1 4.2

JPM EMBI Global Diversified -0.5 1.5 13.0 11.6 4.6 5.7 6.9

JPM GBI-EM Global Diversified 0.9 3.5 10.6 13.9 7.0 7.5 7.8

Municipal Indices

Blm BC Municipal 5 Year -0.9 0.5 4.4 6.0 2.1 2.3 2.9

Blm BC HY Municipal -0.2 2.8 9.7 10.0 5.9 6.0 7.1

Fixed income: yield curve steepened in month

5

Driven by Fed cut and resuming trade talks, offset by Saudi attack and impeachment inquiry

Source: Bloomberg Barclays, Credit Suisse, JPMorgan as of September 30, 2019

Fixed Income

0%

1%

2%

3%

4%

5%

6%

7%

0 5 10 15 20 25 30

Yie

ld

Maturity (Year)

4/7/00 11/27/06 9/30/19

Yield curve still not fully inverted

6

Previous inversions had full inversion between 2yr and 30yr

Yield Curve

Source: U.S. Treasury

Fixed Income

Peak inversion 4/7/00

Peak inversion 11/27/06

Still upward sloping

Entire German yield curve remains negative

7

Tariff escalation has also sent front half of Japanese curve negative

Global yield curves (%)

Source: Bloomberg as of September 30, 2019

Fixed Income

-1.5

-1.0

-0.5

0.0

0.5

1.0

1.5

2.0

2.5

0 5 10 15 20 25 30

Yie

ld (

%)

Maturity (Year)US Germany Japan UK Switzerland

Denmark Australia Canada Korea Singapore

0

100

200

300

400

500

600

700

800

900

1,000

Jan-18 Feb-18 Mar-18 Apr-18 May-18 Jun-18 Jul-18 Aug-18 Sep-18 Oct-18 Nov-18 Dec-18

$ B

illio

ns

Proposed Implemented

Latest round brings total tariffs on China to $600 billion

…however, there are potentially additional tariffs to be levied

Source: U.S. International Trade Commission, Department of Commerce, Goldman Sachs

Washing machines & solar panels (not

just China)

Steel & aluminum (not just China)

Steel & aluminum (not just China)

China Section 301: +$34B

at 25%

China Section 301: +$16B at

25%

China Section 301: +$200B at 25%

+$300B at 10%

China Section 301 Tariffs

Add’l China Section 301 Tariffs

Add’l China Section 301

Tariffs

Add’l China Section 301 Tariffs: Remaining Imports

Section 232 Autos (not just China)

8Fixed Income

Aug-19

Deteriorating consumer fundamentals

9

Uptick in consumer bankruptcies

New Foreclosures and Bankruptcies

Note: Bankruptcies were higher in 2005 and prior due to prior lawSource: NY Fed Consumer Credit Panel/Equifax, 2Q19 latest as of September 30, 2019

0

100

200

300

400

500

600

700

800

900

1,000

Num

ber

of

Co

nsu

mers

(T

ho

usa

nd

s)

Foreclosures Bankruptcies

Fixed Income

U.S. equities: Markets reassess future growth

10

U.S. equity index returns

Source: Morningstar Direct as of September 30, 2019

U.S. Equities

Month (%) 3-Month (%) YTD (%) 1 Year (%) 3 Year (%) 5 Year (%) 10 Year (%)

Broad Market Indices

Dow Jones 2.1 1.8 17.5 4.2 16.4 12.3 13.6

Wilshire 5000 1.8 1.2 20.1 2.9 12.9 10.6 13.1

Russell 3000 1.8 1.2 20.1 2.9 12.8 10.4 13.1

Large-Cap Market Indices

S&P 500 1.9 1.7 20.6 4.3 13.4 10.8 13.2

Russell 1000 1.7 1.4 20.5 3.9 13.2 10.6 13.2

Russell 1000 Value 3.6 1.4 17.8 4.0 9.4 7.8 11.5

Russell 1000 Growth 0.0 1.5 23.3 3.7 16.9 13.4 14.9

Mid-Cap Market Indices

Russell MidCap 2.0 0.5 21.9 3.2 10.7 9.1 13.1

Russell MidCap Value 4.1 1.2 19.5 1.6 7.8 7.6 12.3

Russell MidCap Growth -1.1 -0.7 25.2 5.2 14.5 11.1 14.1

Small-Cap Market Indices

Russell 2000 2.1 -2.4 14.2 -8.9 8.2 8.2 11.2

Russell 2000 Value 5.1 -0.6 12.8 -8.2 6.5 7.2 10.1

Russell 2000 Growth -0.8 -4.2 15.3 -9.6 9.8 9.1 12.2

Trade: Who can up the ante?

11

Immediate market performance after trade announcements

Sources: Reuters, Bloomberg; as of September 4, 2019

U.S. Equities

-1.7%

-0.3%

1.0% 0.8%

-0.9%

1.3% 1.5%

-2.6%

1.3%

-2.8%

0.5%

3.8%

0.5%

-2.3%

4.9%

-4%

-3%

-2%

-1%

0%

1%

2%

3%

4%

5%

6%

First 25% tarifftweet

Official 25%tariff on$200B

U.S.-China re-open talks

G20 talks 10% tariffs on$300B

Yuandepreciation

U.S. DelaysTariffs

Chinaretailiates

U.S. & Chinaagree to hold

talks

Tota

l R

etu

rn

1-Day Return After News 1-Month Return After News

Jun 17May 8May 6 Jun 28 Jul 31 Aug 5 Aug 12 Aug 22 Sept 4

? ? ?

Volatility has followed trade

12

Number of +/- 1% market days

Source: Bloomberg; Data as of September 30, 2019

134

117

76

96

50

38 38

72

48

8

64

32

0

20

40

60

80

100

120

140

160

2008 2009 2010 2011 2012 2013 2014 2015 2016 2017 2018 2019 YTD

Num

ber

of

Daily 1

%+

Mo

ves

U.S. Equities

-55%

-16% -19% -12% -13% -10% -19%

449%

253%220%

73% 75%

19% 29%

-100%

0%

100%

200%

300%

400%

500%

Financial Crisis Soverign DebtCrisis

U.S. DebtDowngrade

China A-ShareBubble

China Slowdown U.S. Rate &Inflation Fears

Global GrowthSlowdown

Correction Return Cumulative Post-Correction Return

The bull market has been strong, but increasingly wild

13

Market corrections are temporary movements having little impact over the long-term

Source: Bloomberg; cumulative returns calculated through September 30, 2019

U.S. Equities

2007-2009 Spring ‘10 2011 Summer ‘15 Winter ‘16 Winter ‘18 Fall ‘18

Investors flock to a sure thing in a volatile August

-0.9%

1.7%

2.4%

-1.7%

-0.7%

0.8%

2.4%

0.8%

2.2%

-2.8%

2.8%

-0.8%-0.6%

-2.6%

-4%

-3%

-2%

-1%

0%

1%

2%

3%

4%

Momentum Low Vol Value Growth Quality Size Yield

Retu

rns

rela

tive t

o t

he R

uss

ell 1

00

0

Month YTD 3Q19

14

YTD factor performance


U.S. Equities

Defensives lead equity markets as growth slows

-10%

-5%

0%

5%

10%

15%

20%

25%

30%

35%

Cons. Disc. Cons. Stap. Energy Financials Health Care Industrials Tech Materials Comm.Serv.

Real Estate Utilities

Retu

rns

Sept. 3Q19 YTD

15

S&P 500 sector performance

Source: Morningstar Direct as of September 30, 2019

U.S. Equities

Valuation headwinds lessen in third quarter

-0.3%

4.1%

1.4%

3.4%

0.2%

19.6%

22.6%

20.3%21.3%

18.8%

-5%

0%

5%

10%

15%

20%

25%

P/E Quintile 1 P/E Quintile 2 P/E Quintile 3 P/E Quintile 4 P/E Quintile 5

QTD YTD

16

Performance by P/E quintile

Source: Factset; S&P 500 as of September 30, 2019. SPY ETF used as a proxy for the S&P 500

U.S. Equities

Most Expensive Least Expensive

Equities are usually positive in a slowing GDP environment

17

S&P 500 performance during slowing GDP environments

Source: Bloomberg as of September 30, 2019. Annualized returns of the last five periods of declining, but not negative, GDP growth

U.S. Equities

13.3%

-11.5%

2.3%

9.4%

2.0%

3.1%

-15%

-10%

-5%

0%

5%

10%

15%

6/30/1988 - 12/31/1990 6/30/2000 - 12/31/2001 3/31/2004 - 9/30/2008 9/30/2010 - 9/30/2011 3/31/2015 - 6/30/2016

Annualized Return Average

Equities can still move higher

18

Yield curve inversion doesn’t signal immediate trouble for equities

Source: Bloomberg, National Bureau of Economic Research

U.S. Equities

Inversion Date Recession Start# of Months Until

RecessionS&P 500 Return For

the Period

12/27/2005 Dec. 2007 23 25.2%

5/26/1998 Mar. 2001 32 19.8%

12/13/1988 Jul. 1990 19 40.9%

9/12/1980 Jul. 1981 10 8.5%

8/18/1978 Jan. 1980 17 9.7%

Average 20.2 20.8%

U.S. equity takeaways

▪ The after-effects of the years-long trade dispute with China has continued to weigh on equity markets

▪ Volatility remains elevated following August’s yield curve inversion as investors reassess risks

▪ Analysts expect a significant earnings decline for the third quarter, but expect low single digit growth in the fourth quarter

▪ Value performance rebounded strongly in September, but it is still too early to declare the end of growth’s streak

19U.S. Equities

Non-U.S. equities: September rebound

Gains seen in September across the majority of non-U.S. equity indices


Month (%) 3-Month (%) YTD (%) 1 Year (%) 3 Year (%) 5 Year (%) 10 Year (%)

MSCI ACWI ex. U.S. 2.6 -1.8 11.6 -1.2 6.3 2.9 4.5

MSCI EAFE 2.9 -1.1 12.8 -1.3 6.5 3.3 4.9

MSCI EAFE Local 3.5 1.8 15.7 1.6 8.3 6.0 7.0

MSCI Emerging Markets 1.9 -4.3 5.9 -2.0 6.0 2.3 3.4

MSCI EM Local 1.5 -2.1 7.8 -0.2 7.6 5.5 5.9

MSCI EAFE Small-Cap 2.8 -0.4 12.1 -5.9 5.9 6.0 7.5

MSCI EM Small-Cap 2.0 -4.6 1.8 -5.5 1.3 -0.1 3.2

MSCI Frontier -2.0 -1.1 10.7 5.9 7.0 -1.3 3.6

20Non-U.S. Equities

September 2019 EAFE sector performance

21

Positive September led by Energy & Financials

Source: Bloomberg

Non-U.S. Equities

0.0%

3.0%

-0.5%

5.9% 6.0%

0.8%

3.1% 3.5% 4.1%

1.8%2.7%

7.9%

14.4%

17.1%

4.2%

9.3%

16.8%15.3%

22.5%

11.7%10.6%

13.9%

-15%

-10%

-5%

0%

5%

10%

15%

20%

25%

Com. Serv. Cons. Disc. Cons.Staples

Energy Financials Health Care Industrials IT Materials Real Estate Utilities

Sept 2019

September 2019 EM sector performance

22

Positive in most sectors in September, led by IT

Source: Bloomberg

Non-U.S. Equities

0.5%

-0.9%

1.4%

5.0%

1.7%

-3.7%

3.3%

6.3%

1.0% 1.7%

-0.5%

1.0%

14.6%

8.1%9.9%

3.2%

-9.5%

-0.6%

19.5%

-5.4%

5.6%

3.4%

-15%

-10%

-5%

0%

5%

10%

15%

20%

25%

Com. Serv. Cons. Disc. Cons.Staples

Energy Financials Health Care Industrials IT Materials Real Estate Utilities

Sept 2019

It’s time to Brexit

23Non-U.S. Equities

Sept 24th

▪ Supreme Court ruled 24-day prorogation of Parliament unlawful

▪ Parliament reopened on Sept 25th

Oct 8th

▪ Parliament prorogued again for three days

▪ MPs return on Oct 14th after the Queen’s Speech

Oct

17–19th

▪ EU leaders meet for two-day council summit on Oct 17th

▪ Special sitting of MPs on Oct 19th. Also, day by which PM Johnson must ask the EU for another delay under the Benn Act

Oct 31st

▪ U.K. Withdrawal Day: Deal or No-Deal

40 42 44 46 48 50 52 54

Japan

U.K.

Germany

Eurozone

Sep-19

Aug-19

Jul-19

Jun-19

May-19

Apr-19

Contractionary signs in major developed markets

24

Manufacturing PMIs trending below 50 in Germany, Japan, and U.K.

Source: Bloomberg

Non-U.S. Equities

Contraction Expansion

30

35

40

45

50

55

60

65

65

75

85

95

105

115

2006 2008 2010 2012 2014 2016 2018

Euro

zone M

anufa

cturi

ng

PM

I (Ind

ex L

evel)

Ind

ex L

evel

Ifo Pan Germany Business Climate (L)European Commission Economic SentiMent Indicator Eurozone (L)Markit Eurozone Manufacturing PMI (R)

September 2019

European growth slipping

25

Major indicators sloping downwards

Source: Bloomberg

Non-U.S. Equities

Germany’s GDP dips negative

0.5%

0.9%

-0.2%

0.6%

0.5%

0.4%

0.8%

0.6%

0.2%

0.4%

1.2%

0.6%

0.9%

0.7%

0.1%

0.4%

-0.1%

0.2%

0.4%

-0.1%

-0.3%

-0.1%

0.1%

0.3%

0.5%

0.7%

0.9%

1.1%

1.3%

Quart

erl

y G

DP

Gro

wth

Rate

26

Europe’s largest economy shows signs of potential technical recession this year

Source: German Federal Statistics Office

Non-U.S. Equities

8%

15%17%

19% 20%

26%

37% 37%

57%

0%

10%

20%

30%

40%

50%

60%

U.S. Japan UK China Eurozone Canada Mexico Korea Taiwan

Goods Exports as a % to GDP (2018)Goods Exports as a % of GDP (2018)

Emerging countries reliant on global trade

27

U.S. potentially less impacted by slowdown in global trade

Sources: JP Morgan, IMF

Non-U.S. Equities

30%

32%

34%

36%

38%

40%

42%

2002 2003 2004 2005 2006 2007 2008 2009 2010 2011 2012 2013 2014 2015 2016 2017 2018

U.S. companies reliant on international revenues

28

Close to 40% of S&P 500 revenues come from outside the U.S.

Source: Factset

Non-U.S. Equities

Non-U.S. equity takeaways

▪ Most equities have positive returns YTD

▪ Returns have been the result of multiple expansion rather than earnings growth

▪ Earnings growth and economic growth have been revised downward

▪ Central banks move to a more dovish stance in 2019 in reaction to global growth slowdown

▪ For the rest of the year we are cautious on non-U.S. equities given the poor earnings momentum and uncertainty surrounding the Brexit and U.S.-China relations.

29Non-U.S. Equities

Preliminary 3Q19 real estate performance

1.3%

3.7%

5.5%

7.3%

9.3%

10.9%

0%

2%

4%

6%

8%

10%

12%

14%

3Q19 YTD 1 Year 3 Year 5 Year 10 Year

NFI-ODCE (Preliminary)

Core real estate still positive, but returns continue to moderate through 3Q19

Sources: Manager reported returns (preliminary) as of 3Q19

Real Estate 30

Sector diversification

31

Exposure to “other” sub-sectors (student housing, senior housing, and medical office) continues to grow, providing a wide range of demand drivers that differ from traditional sectors

Source: NCREIF as of 2Q19

Office34.0%

Industrial18.7%

Apartment25.0%

Retail17.7%

Hotel0.3%

Other4.2%

Property Type

East31%

West42%

South19%

Midwest9%

Geography

Real Estate

Performance Overview - COAG

COA General Employees’ YTD Performance (Net of Fees)

33

• U.S. Large-Cap, U.S. Small-Cap, International Equity, Emerging Markets Equity and Real Estate composites added value to the Plan

• Fixed Income, Global Fixed Income, U.S Mid-Cap and Global Equity composites detracted from the benchmark

* Year-to-date performance as of September 30, 2019

COA General Employees’ Manager Contribution – YTD Performance

34

Top PerformersAbsolute

PerformanceBenchmark

Performance Strategy

Morgan Stanley LCC +23.1% +20.6% U.S. Equity

Channing Capital +15.9% +12.8% U.S. Equity

Earnest Partners SCC +21.8% +14.2% U.S. Equity

Hardman Johnston +17.4% +11.6% International Equity

Earnest Partners EM +10.7% +5.9% Emerging Markets Equity

Bottom PerformersAbsolute



Garcia Hamilton +7.1% +8.5% U.S. Fixed Income

Colchester Global +5.4% +6.3% Global Fixed Income

MacKay Shields MCC +16.9% +21.9% U.S. Equity


COA General Employees’ Asset Allocation vs Target Allocation

35

* Year-to-date performance and allocation as of September 30, 2019

Current Allocation

Target Allocation

Fixed Income Composite $299,429,635 $344,258,871

U.S. Equity Composite $690,401,302 $696,001,631

International Equity Composite $259,772,441 $269,419,986

Global Equity Composite $117,801,937 $112,258,328

Real Estate Composite $42,880,712 $44,903,331

Alternative Composite $27,190,698 $29,935,554

Cash Composite $59,300,977 $0

Performance Overview - COAP

COA Police Officers’ YTD Performance (Net of Fees)

37

• International Equity composite added value to the Plan

• Fixed Income and U.S. Equity composites detracted from the benchmark


COA Police Officers’ Manager Contribution – YTD Performance

38




Macquarie SCC +17.4% +14.2% U.S. Equity


Intercontinental U.S. RE +5.8% +3.2% Real Estate




Garcia Hamilton +5.5% +6.4% Fixed Income

Colchester +5.4% +6.3% Fixed Income

Consequent MidCapMoM +17.0% +21.9% U.S. Equity

LMCG Investments +11.4% +15.3% U.S. Equity


COA Police Officers’ Asset Allocation vs Target Allocation

39


Current Allocation

Target Allocation





Cash Composite $3,618,672 $11,508,841

Performance Overview - COAF

COA Firefighters’ YTD Performance (Net of Fees)

41

• U.S. Large-Cap and International Equity composites added value to the Plan

• Fixed Income and U.S. Small-Cap composites detracted from the benchmark

• U.S. Mid-Cap composite matched the benchmark


COA Firefighters’ Manager Contribution – YTD Performance

42




Ativo Capital +12.5% +11.6% International Equity


Intercontinental U.S RE +5.4% +3.1% Real Estate




Garcia Hamilton +7.1% +8.5% Fixed Income

Colchester +5.5% +6.3% Fixed Income

LMCG Investments +11.4% +15.3% U.S. Equity


COA Firefighters’ Asset Allocation vs Target Allocation

43


Current Allocation

Target Allocation




Cash Composite $6,197,174 $0


Transition Update COAG

COAG - Asset Allocation Considerations

45

Broad Fixed Income17.2%

Global Fixed Income5.8%

U.S. Large-Cap Core

30.5%

U.S. Mid-Cap Core7.0%

U.S. Small-Cap Core9.0%

Non-U.S. Developed Large-Cap

14.4%

Non-U.S. Small-Cap0.0%

Emerging Markets

3.6%

Global Tactical Asset Allocation

7.5%

Real Estate3.0%

Private Equity2.0%

Avg. Annualized 10 Yr. Return 6.76%


Current Portfolio





U.S. Large-Cap Core

18.0%

U.S. Mid-Cap Core

12.0%

U.S. Small-Cap Core

12.0%


13.0%


Emerging Markets

8.0%

Global Tactical Asset

Allocation0.0%

Real Estate3.0%

Private Equity2.0%

Portfolio E

Source: Marquette Associates’ proprietary asset allocation software

COAG Transition: Terminate

46

Manager/Strategy Asset Class Action

Colchester Global Investors Non-U.S. Fixed Income Terminate

MacKay Shields U.S. Equity Mid-Cap Core Terminate

COAG Transition: Hire

47


BlackRock MidCap Equity

Index FundU.S. Equity Mid-Cap Core Hire

BlackRock Global Minimum

Volatility Index Fund Global Low Volatility Hire

BlackRock MSCI EAFE Small

Cap Index FundNon-U.S. Small-Cap Core Hire

COAG Transition: Retain

48


Mesirow1 Core Fixed Income Retain

Garcia Hamilton Core Fixed Income Retain

SSgA U.S. Aggregate Bond Index1 Core Fixed Income Retain

Morgan Stanley U.S. Equity Large-Cap Core Retain

BlackRock S&P 500 Equity Index Fund U.S. Equity Large-Cap Core Retain

Channing Capital Management2 U.S. Equity Small-Cap Value Retain

Earnest Partners U.S. Equity Small-Cap Core Retain

Legato U.S. Equity Small-Cap Growth Retain

Artisan Partners Non-U.S. Large-Cap Value Retain

Hardman Johnston Non-U.S. Large-Cap Core Retain

Earnest Partners Emerging Markets Retain

Globalt Tactical3 Global Balanced Retain

Intercontinental U.S Real Estate Real Estate Retain

JPMorgan U.S. Real Estate Real Estate Retain

Consequent Alternative Partners II Private Equity Retain

1Mesirow and SSgA U.S Aggregate Bond Index will receive an equal allocation following Colchester’s termination

3Globalt has proposed a favorable fee schedule from 0.50% on the first $50 million, 0.40% on the next $50 million and 0.35% on the balance to 0.50% on the first $50 million, 0.30% on the next $50 million and 0.25% on the balance

2Channing Capital has proposed a favorable fee schedule from 0.90% on the first $25MM, 0.80% on the next $25MM and 0.70% on the balance to 0.75% on the first $25MM, 0.65% on the next $25MM, 0.60% on the next $50MM and 0.55% on the balance

COAG - Outlining the transition Asset Class / Strategy Asset Class Cash Flows (+/-) Ending Market Value

Fixed Income Composite

Mesirow Core Fixed Income +$36,837,885 $113,447,475

Garcia Hamilton Core Fixed Income $77,027,576

SSgA U.S. Aggregate Bond Index Core Fixed Income +$36,837,885 $108,954,585

Global Fixed Income Composite

Colchester Non-U.S. Fixed Income -$73,675,769 $0

U.S. Equity Composite

Large Cap Composite

Morgan Stanley U.S. Equity Large-Cap Core $157,863,553

BlackRock S&P 500 Equity Index Fund U.S. Equity Large-Cap Core $-60,000,000 $226,885,912

Mid Cap Composite

MacKay Shields Mid Cap Core Fund U.S. Equity Mid-Cap Core -$107,524,476 $0

BlackRock MidCap Equity Index Fund U.S. Equity Mid-Cap Core +$107,524,476 $107,524,476

Small Cap Composite

Channing Capital Management U.S. Equity Small-Cap Value $27,749,556

Earnest Partners U.S. Equity Small-Cap Core $78,128,449

Legato U.S. Equity Small-Cap Growth $32,249,357

International Equity Composite

BlackRock Global Minimum Volatility Index Fund Global Low Volatility +$30,000,000 +$30,000,000

Artisan Partners Non-U.S. Large-Cap Value $97,041,999

Hardman Johnston Non-U.S. Large-Cap Core $110,800,695

BlackRock MSCI EAFE Small Cap Index Fund Non-U.S. Small-Cap Core +$30,000,000 +$30,000,000

Emerging Markets Equity Composite

Earnest Partners Emerging Markets $51,929,747

Global Equity Composite

Globalt Tactical Global Balanced $117,801,937

Real Estate Composite

Intercontinental U.S Real Estate Real Estate $25,367,897

JPMorgan U.S. Real Estate Real Estate $17,512,815

Private Equity Composite

Consequent Alternative Partners II Private Equity $27,190,698

Cash Composite $59,300,977

49

1Market values as of September 30, 2019

Transition Update COAP

COAP - Asset Allocation Considerations

51



Current Portfolio



Portfolio E


Broad Fixed Income19.0% Global Fixed

Income5.0%

Cash1.0%

Broad U.S. Equity (All-Cap Core)

61.0%

U.S. Large-Cap Core

0.0%

U.S. Mid-Cap Core0.0%

U.S. Small-Cap Core

0.0%


9.0%

Non-U.S. Small-Cap

0.0%

Emerging Markets

0.0%

Real Estate2.5% Private Equity

2.5%



Cash0.0%

Broad U.S. Equity (All-Cap Core)

0.0%

U.S. Large-Cap Core

19.0%

U.S. Mid-Cap Core

12.0%

U.S. Small-Cap Core

11.0%


14.0%

Non-U.S. Small-Cap

5.0%

Emerging Markets

9.0%

Real Estate2.5%

Private Equity2.5%

COAP Transition: Terminate

52


C.S. McKee Int. Govt. Fixed Income Terminate


Consequent FlexCap

Portfolio1All-Cap Core Terminate

Consequent MidCap

Manager of Managers1Mid-Cap Core Terminate

iShares Russell Mid Cap

Value ETF1Mid-Cap Value Terminate

1Marquette Associates has notified Consequent Capital Management of its termination

COAP Transition: Hire

53


BlackRock U.S. Aggregate

Bond Index FundCore Fixed Income Hire

BlackRock Russell 1000

Index FundU.S. Equity Large-Cap Core Hire

BlackRock MidCap Equity

Index FundU.S. Equity Mid-Cap Core Hire


Volatility Index FundGlobal Low Volatility Hire

BlackRock MSCI EAFE Small

Cap Index FundNon-U.S. Small-Cap Core Hire

BlackRock MSCI Emerging

Markets IndexEmerging Markets Hire

COAP Transition: Retain

54


Mesirow1 Core Fixed Income Retain

Garcia HamiltonInt. Govt. Fixed Income to Core

Fixed IncomeRetain (Switch Strategy)

BlackRock Russell 1000 Growth

Index Fund

U.S. Equity Large-Cap Growth to

U.S. Equity Large-Cap CoreRetain (Switch Strategy)

BlackRock Russell 1000 Value Index

Fund

U.S. Equity Large-Cap Value to

U.S. Equity Large-Cap CoreRetain (Switch Strategy)

Macquarie SCC U.S. Equity Small-Cap Core Retain

LMCG Investment SCG U.S. Equity Small-Cap Growth Retain

Artisan Partners Non-U.S. Large-Cap Value Retain




Pharos Capital Partners III Private Equity Retain

1Mesirow and BlackRock U.S. Aggregate Bond Index will receive an equal allocation following Colchester’s termination

COAP - Outlining the transition Asset Class / Strategy Asset Class Cash Flows (+/-) Ending Market Value




C.S. McKee Int. Govt. Fixed Income -$51,335,046 $0

BlackRock U.S. Aggregate Bond Index Core Fixed Income +$56,472,138 $56,472,138



Consequent FlexCap Portfolio All-Cap Core -$81,679,784 $0

BlackRock Russell 1000 Growth Index FundU.S. Equity Large-Cap

Growth-$171,297,312 $0

BlackRock Russell 1000 Value Index Fund U.S. Equity Large-Cap Value -$115,067,326 $0

BlackRock Russell 1000 Index Fund U.S. Equity Large-Cap Core +$293,044,422 $293,044,422

iShares Russell Mid Cap Value ETF U.S. Equity Mid-Cap Value -$40,242,112 $0

Consequent MidCap Manager of Managers

CompositeU.S. Equity Mid-Cap Core -$141,067,706 $0

BlackRock MidCap Equity Index Fund U.S. Equity Mid-Cap Core +$181,309,818 $181,309,818

Macquarie SCC U.S. Equity Small-Cap Core $94,360,253

LMCG Investments SCG U.S. Equity Small-Cap Growth $54,707,861


BlackRock Global Minimum Volatility Index Fund Global Low Volatility +$30,000,000 +$30,000,000

Artisan Partners Non-U.S. Large-Cap Value $70,433,730


BlackRock MSCI EAFE Small Cap Index Fund Non-U.S. Small-Cap Core +$15,000,000 +$15,000,000

BlackRock MSCI Emerging Markets Emerging Markets +$30,000,000 +$30,000,000

Alternative Composite



Pharos Capital Partners III Private Equity $4,259,377


55


Transition Update COAF

COAF - Asset Allocation Considerations

57



Current Portfolio



Portfolio E




Broad U.S. Equity (All-Cap

Core)7.0%

U.S. Large-Cap Core

18.0%

U.S. Mid-Cap Core

14.0%

U.S. Small-Cap Core

12.0%


10.0%


Emerging Markets

5.0%

Real Estate1.0%

Private Equity4.0%



Broad U.S. Equity (All-Cap

Core)0.0%

U.S. Large-Cap Core

19.0%

U.S. Mid-Cap Core

12.0%

U.S. Small-Cap Core

12.0%


15.0%


Emerging Markets

8.0%

Real Estate1.0%

Private Equity4.0%

COAF Transition: Terminate

58



Northern Trust Russell 3000

Index FundAll-Cap Core Terminate

COAF Transition: Hire

59


BlackRock U.S. Aggregate

Bond Index FundCore Fixed Income Hire


Volatility Index FundGlobal Low Volatility Hire

COAF Transition: Retain

60


Garcia Hamilton Core Fixed Income Retain

Mesirow Core Fixed Income Retain

BlackRock Russell 1000 Index Fund U.S. Equity Large-Cap Core Retain

BlackRock Russell MidCap Equity

Index FundU.S. Equity Mid-Cap Core Retain

LMCG Investment SCG U.S. Equity Small-Cap Growth Retain

Northern Trust Russell 2000 Index U.S. Equity Small-Cap Core Retain

Ativo Capital Non-U.S. Large-Cap Core Retain


BlackRock MSCI EAFE Small Cap

Index FundNon-U.S. Small-Cap Core Retain

BlackRock MSCI Emerging Markets

Index FundEmerging Markets Retain



ICV Partners III Private Equity Retain

Pharos Capital Partners III Private Equity Retain

COAF - Outlining the transition Asset Class / Strategy Asset Class Cash Flows (+/-) Ending Market Value




BlackRock U.S. Aggregate Bond Index Core Fixed Income +$20,544,042 $20,544,042



Northern Trust Russell 3000 Index Fund All-Cap Core -$52,647,126 $0

Large Cap Composite

BlackRock Russell 1000 Index Fund U.S. Equity Large-Cap Core $162,309,588

Mid Cap Composite

BlackRock MidCap Equity Index Fund U.S. Equity Mid-Cap Core $119,549,851

Small Cap Composite

LMCG Investments SCG U.S. Equity Small-Cap Growth $24,407,265

Northern Trust Russell 2000 Index Fund U.S. Equity Small-Cap Core +$26,323,563 $81,246,665


BlackRock Global Minimum Volatility Index Fund Global Low Volatility +$26,323,563 $26,323,563

Ativo Capital Non-U.S. Large-Cap Core $30,976,339


BlackRock MSCI EAFE Small Cap Non-U.S. Small-Cap Core $13,498,222

BlackRock MSCI Emerging Markets Emerging Markets $16,321,876

Alternative Composite



ICV Partners III Private Equity $2,134,786

Pharos Capital Partners III Private Equity $2,130,569


61


The sources of information used in this report are believed to be reliable. Marquette Associates, Inc. has

not independently verified all of the information and its accuracy cannot be guaranteed. Opinions,

estimates, projections and comments on financial market trends constitute our judgment and are subject

to change without notice. References to specific securities are for illustrative purposes only and do not

constitute recommendations. Past performance does not guarantee future results.

Marquette is an independent investment adviser registered under the Investment Advisers Act of 1940,

as amended. Registration does not imply a certain level of skill or training. More information about

Marquette including our investment strategies, fees and objectives can be found in our ADV Part 2,

which is available upon request.

About Marquette Associates

Marquette Associates is an independent investment consulting firm that guides institutional investment

programs with a focused client service approach and careful research. For more than 30 years Marquette

has served this mission in close collaboration with clients – enabling institutions to be more effective

investment stewards. Marquette is a completely independent and 100% employee-owned consultancy

founded with the sole purpose of advising institutions. For more information, please visit

www.marquetteassociates.com.

62

(Preliminary, Subject to Change)

September 30, 2019

City of Atlanta Firefighters

Pension Fund

Executive Summary

Pension Fund

Summary of Cash Flows Last Three

Months Year-To-Date One Year_

Beginning Market Value $726,694,093 $644,379,905 $725,316,015

Net Cash Flow -$6,703,779 -$26,538,389 -$26,626,931

Net Investment Change $655,034 $102,803,833 $21,956,264

Ending Market Value $720,645,348 $720,645,348 $720,645,348_

Asset Allocation vs. TargetCurrent Current Policy Difference %

_

Fixed Income $170,755,095 23.7% 25.0% -$9,406,242 -1.3%

U.S. Equity $413,836,931 57.4% 51.0% $46,307,803 6.4%

Non-U.S. Equity $105,397,346 14.6% 19.0% -$31,525,270 -4.4%

Real Assets $5,647,485 0.8% 1.0% -$1,558,968 -0.2%

Private Equity $18,811,318 2.6% 4.0% -$10,014,496 -1.4%

Other $6,197,174 0.9% -- $6,197,174 0.9%

Total $720,645,348 100.0% 100.0%XXXXX

Return Summary YTD

TotalReturn

_

Total Fund Composite 14.2%

Fixed Income Composite 7.4%

U.S. Equity Composite 18.3%

International Equity Composite 13.4%

Alternative Composite 1.9%XXXXX

Marquette Associates, Inc. 1

Total Fund CompositeMarket Value: $720.6 Million and 100.0% of Fund

Ending September 30, 2019

Asset Class Market Value($)

3 Mo NetCash Flows ($) % of Portfolio Policy % Policy Difference

($)_

Total Fund Composite 720,645,348 -6,703,779 100.0 100.0 0

Fixed Income Composite 170,755,095 -31,743 23.7 25.0 -9,406,242

Garcia Hamilton Core Fixed Income 55,826,107 -182 7.7

Mesirow Core Fixed Income 73,840,904 -344 10.2

Colchester Global Investors Non-U.S. Fixed Income 41,088,084 -31,217 5.7

U.S. Equity Composite 413,836,931 -3,000,165 57.4 51.0 46,307,803

Northern Trust Russell 3000 Index Fund All-Cap Core 52,647,126 0 7.3 7.0 2,201,951

Large Cap Composite 162,309,588 -3,000,000 22.5 18.0 32,593,425

BlackRock 1000 Index Fund Large-Cap Core 162,309,588 -3,000,000 22.5

Mid Cap Composite 119,549,851 0 16.6 14.0 18,659,502

BlackRock Mid Cap Equity Index Fund Mid-Cap Core 119,549,851 0 16.6

Small Cap Composite 79,330,366 -165 11.0 12.0 -7,147,075

LMCG Investments SCG Small-Cap Growth 24,407,265 -165 3.4

Northern Trust Collective Russell 2000 Index Small-Cap Core 54,923,102 0 7.6

International Equity Composite 105,397,346 -935 14.6 19.0 -31,525,270

Ativo Capital Non-U.S. Large-CapCore 30,976,339 -935 4.3

Hardman Johnston Non-U.S. Large-CapCore 44,600,909 0 6.2

BlackRock MSCI EAFE Small Cap Non-U.S. Small-CapCore 13,498,222 0 1.9

BlackRock Emerging Markets Free Fund Emerging Markets 16,321,876 0 2.3

Cash Composite 6,197,174 -3,698,685 0.9 0.0 6,197,174

WF Checking Account Cash & Equivalents 5,134,522 -3,681,274 0.7

Cash Account Cash & Equivalents 949,639 -17,319 0.1

Transition Account Cash & Equivalents 113,012 -92 0.0

Alternative Composite 24,458,803 27,749 3.4 5.0 -11,573,464

Intercontinental U.S. Real Estate Core Real Estate 5,647,485 -52,251 0.8

Consequent Alternative Partners II, L.P. U.S. Private Equity FoF 14,545,963 0 2.0

ICV Partners III, L.P. LBO Private Equity 2,134,786 0 0.3

Pharos Capital Partners III LBO Private Equity 2,130,569 80,000 0.3 XXXXX

Total Fund CompositeMarket Value: $720.6 Million and 100.0% of Fund

2 Marquette Associates, Inc.


1 Mo 3 Mo YTD FiscalYTD 1 Yr 2 Yrs 3 Yrs 5 Yrs 7 Yrs 10 Yrs Inception Inception

Date_

Total Fund Composite 1.2% 0.0% 14.2% 0.0% 1.4% 5.6% 7.8% 5.7% 7.9% 8.9% 8.3% Jan-88Total Fund Policy Benchmark 1.5% 0.4% 14.7% 0.4% 2.1% 5.7% 8.0% 7.0% 8.9% 9.5% 9.1% Jan-88

Fixed Income Composite -0.5% 1.8% 7.4% 1.8% 8.5% 3.7% 2.5% 3.2% 2.5% 3.4% 5.9% Jan-88Fixed Income Composite CustomBenchmark -0.7% 1.9% 8.0% 1.9% 9.8% 4.1% 2.7% 3.3% 2.6% 3.7% 6.2% Jan-88

Garcia Hamilton -0.4% 2.3% 7.1% 2.3% 8.2% 4.3% -- -- -- -- 4.1% Dec-16BBgBarc US Aggregate TR -0.5% 2.3% 8.5% 2.3% 10.3% 4.4% 2.9% 3.4% 2.7% 3.7% 4.3% Dec-16

Mesirow -0.6% 2.3% 8.6% 2.3% 9.8% 4.2% 2.8% 3.2% 2.6% -- 3.5% May-10BBgBarc US Aggregate TR -0.5% 2.3% 8.5% 2.3% 10.3% 4.4% 2.9% 3.4% 2.7% 3.7% 3.6% May-10

Colchester Global Investors -0.6% 0.2% 5.5% 0.2% 6.7% 2.1% 1.4% -- -- -- 4.4% Jan-16FTSE WGBI TR -1.3% 0.8% 6.3% 0.8% 8.1% 3.2% 1.2% 1.8% 0.6% 1.7% 3.8% Jan-16

U.S. Equity Composite 1.9% -0.1% 18.3% -0.1% -0.7% 8.3% 11.0% 7.3% 10.7% 12.1% 11.1% Jan-88Russell 3000 1.8% 1.2% 20.1% 1.2% 2.9% 10.0% 12.8% 10.4% 13.0% 13.1% 10.6% Jan-88

Northern Trust Russell 3000 IndexFund 1.8% 1.2% 20.1% 1.2% 3.0% -- -- -- -- -- 4.8% Jan-18

Russell 3000 1.8% 1.2% 20.1% 1.2% 2.9% 10.0% 12.8% 10.4% 13.0% 13.1% 4.8% Jan-18

Large Cap Composite 1.7% 1.4% 20.6% 1.4% 3.9% 10.4% 12.7% 9.3% 11.6% 12.3% 10.7% Jan-88Russell 1000 1.7% 1.4% 20.5% 1.4% 3.9% 10.6% 13.2% 10.6% 13.2% 13.2% 10.7% Jan-88

BlackRock 1000 Index Fund 1.7% 1.4% 20.6% 1.4% 3.9% -- -- -- -- -- 8.2% Dec-17Russell 1000 1.7% 1.4% 20.5% 1.4% 3.9% 10.6% 13.2% 10.6% 13.2% 13.2% 8.2% Dec-17

Mid Cap Composite 3.1% -0.1% 17.9% -0.1% -2.4% 8.1% 10.1% 6.4% 11.1% 11.6% 7.9% Jun-98S&P 400 MidCap 3.1% -0.1% 17.9% -0.1% -2.5% 5.5% 9.4% 8.9% 11.8% 12.6% 9.7% Jun-98Russell MidCap 2.0% 0.5% 21.9% 0.5% 3.2% 8.4% 10.7% 9.1% 12.6% 13.1% 9.0% Jun-98

BlackRock Mid Cap Equity IndexFund 3.1% -0.1% 17.9% -0.1% -2.4% 5.6% -- -- -- -- 7.3% Aug-17

S&P 400 MidCap 3.1% -0.1% 17.9% -0.1% -2.5% 5.5% 9.4% 8.9% 11.8% 12.6% 7.3% Aug-17

Small Cap Composite 0.4% -4.2% 13.4% -4.2% -9.5% 3.5% 8.5% 2.5% 8.5% 12.8% 10.1% Oct-01Russell 2000 2.1% -2.4% 14.2% -2.4% -8.9% 2.5% 8.2% 8.2% 10.4% 11.2% 9.1% Oct-01

LMCG Investments SCG -3.3% -8.0% 11.4% -8.0% -11.2% 5.9% 8.8% -- -- -- 5.0% Dec-15Russell 2000 Growth -0.8% -4.2% 15.3% -4.2% -9.6% 4.6% 9.8% 9.1% 11.4% 12.2% 9.9% Dec-15

Northern Trust Collective Russell2000 Index 2.1% -2.4% 14.3% -2.4% -8.8% 2.6% -- -- -- -- 5.3% Feb-17

Russell 2000 2.1% -2.4% 14.2% -2.4% -8.9% 2.5% 8.2% 8.2% 10.4% 11.2% 5.1% Feb-17

Investment Manager Annualized Performance (Net of Fees)Market Value: $720.6 Million and 100.0% of Fund


Investment Manager Annualized Performance (Net of Fees)Market Value: $720.6 Million and 100.0% of Fund




Date_

International Equity Composite 2.0% -2.0% 13.4% -2.0% 0.1% 0.9% 6.3% 4.1% 5.9% -- 6.2% Jul-10International Equity CompositeCustom Benchmark 2.6% -1.8% 11.6% -1.8% -1.2% 0.3% 6.3% 3.5% 5.8% -- 6.4% Jul-10

Ativo Capital 1.8% -2.0% 12.5% -2.0% -1.2% -0.3% 3.3% -- -- -- 3.5% Jan-16MSCI ACWI ex USA 2.6% -1.8% 11.6% -1.8% -1.2% 0.3% 6.3% 2.9% 5.0% 4.5% 6.6% Jan-16

Hardman Johnston 2.0% -1.7% 17.3% -1.7% 3.6% 3.1% 9.6% 6.8% 8.3% -- 7.6% Jul-10MSCI EAFE 2.9% -1.1% 12.8% -1.1% -1.3% 0.7% 6.5% 3.3% 6.1% 4.9% 6.7% Jul-10

BlackRock MSCI EAFE Small Cap 2.9% -0.3% 12.5% -0.3% -5.4% -- -- -- -- -- -4.1% Dec-17MSCI EAFE Small Cap 2.8% -0.4% 12.1% -0.4% -5.9% -1.2% 5.9% 6.0% 8.6% 7.5% -4.6% Dec-17

BlackRock Emerging Markets FreeFund 1.9% -4.2% 5.8% -4.2% -2.1% -- -- -- -- -- -5.6% Dec-17

MSCI Emerging Markets 1.9% -4.2% 5.9% -4.2% -2.0% -1.4% 6.0% 2.3% 2.4% 3.4% -5.6% Dec-17

Alternative Composite 0.5% 0.5% 1.9% 0.5% 1.7% 6.5% 5.8% 4.4% -- -- 5.7% Dec-12

Intercontinental U.S. Real Estate 2.3% 2.3% 5.4% 2.3% 7.4% 8.9% 9.6% 10.3% -- -- 10.5% Aug-14NFI 0.4% 1.1% 3.1% 1.1% 4.6% 6.2% 6.3% 8.4% 9.3% 9.8% 8.4% Aug-14

XXXXX

Calendar Year2018 2017 2016 2015 2014 2013 2012 2011 2010 2009 2008

_

Total Fund Composite -6.4% 16.1% 8.6% -2.5% 3.8% 22.4% 13.0% 2.4% 17.1% 21.3% -21.4%Total Fund Policy Benchmark -6.5% 15.2% 9.7% -0.2% 8.7% 21.9% 13.1% 1.0% 17.3% 18.0% -18.2%

InvMetrics Public DB > $250mm NetRank 92 33 14 88 81 1 34 13 1 41 7

Fixed Income Composite -0.2% 4.4% 2.9% 0.4% 4.4% -1.9% 4.2% 6.0% 5.9% 9.8% 1.5%Fixed Income Composite CustomBenchmark -0.2% 4.4% 2.2% 0.8% 5.0% -2.0% 4.2% 7.8% 6.5% 5.9% 5.2%

InvMetrics Public DB Total Fix Inc NetRank 49 60 64 40 34 69 74 52 76 70 35

Garcia Hamilton 0.8% 3.5% -- -- -- -- -- -- -- -- --BBgBarc US Aggregate TR 0.0% 3.5% 2.6% 0.5% 6.0% -2.0% 4.2% 7.8% 6.5% 5.9% 5.2%

eV US Core Fixed Inc Net Rank 10 71 -- -- -- -- -- -- -- -- --

Mesirow -0.6% 3.4% 2.8% -0.1% 6.4% -2.3% 5.5% 7.2% -- -- --BBgBarc US Aggregate TR 0.0% 3.5% 2.6% 0.5% 6.0% -2.0% 4.2% 7.8% 6.5% 5.9% 5.2%

eV US Core Fixed Inc Net Rank 75 78 65 86 22 82 60 53 -- -- --

Colchester Global Investors -0.9% 8.2% 3.8% -- -- -- -- -- -- -- --FTSE WGBI TR -0.8% 7.5% 1.6% -3.6% -0.5% -4.0% 1.6% 6.4% 5.2% 2.6% 10.9%

eV Global Government Fixed IncNet Rank 57 30 23 -- -- -- -- -- -- -- --

U.S. Equity Composite -6.3% 18.9% 12.7% -4.9% 5.1% 34.8% 16.8% 2.7% 24.2% 32.6% -35.0%Russell 3000 -5.2% 21.1% 12.7% 0.5% 12.6% 33.6% 16.4% 1.0% 16.9% 28.3% -37.3%

InvMetrics Public DB US Eq Net Rank 58 79 50 97 98 36 21 9 1 18 13

Northern Trust Russell 3000 Index Fund -- -- -- -- -- -- -- -- -- -- --Russell 3000 -5.2% 21.1% 12.7% 0.5% 12.6% 33.6% 16.4% 1.0% 16.9% 28.3% -37.3%

eV US All Cap Core Equity NetRank -- -- -- -- -- -- -- -- -- -- --

Large Cap Composite -4.7% 20.7% 11.1% -0.3% 7.2% 32.0% 16.1% 2.2% 17.2% 31.4% -33.3%Russell 1000 -4.8% 21.7% 12.1% 0.9% 13.2% 33.1% 16.4% 1.5% 16.1% 28.4% -37.6%

eV US Large Cap Core Equity NetRank 34 59 26 58 96 49 29 26 8 18 37

BlackRock 1000 Index Fund -4.8% -- -- -- -- -- -- -- -- -- --Russell 1000 -4.8% 21.7% 12.1% 0.9% 13.2% 33.1% 16.4% 1.5% 16.1% 28.4% -37.6%

eV US Large Cap Core EquityNet Rank 37 -- -- -- -- -- -- -- -- -- --

Investment Manager Calendar Performance (Net of Fees)Market Value: $720.6 Million and 100.0% of Fund


Calendar Year2018 2017 2016 2015 2014 2013 2012 2011 2010 2009 2008

_

Mid Cap Composite -6.6% 15.7% 15.3% -9.1% 7.1% 40.1% 17.0% 0.3% 21.0% 37.5% -39.2%S&P 400 MidCap -11.1% 16.2% 20.7% -2.2% 9.8% 33.5% 17.9% -1.7% 26.6% 37.4% -36.2%Russell MidCap -9.1% 18.5% 13.8% -2.4% 13.2% 34.8% 17.3% -1.5% 25.5% 40.5% -41.5%

eV US Mid Cap Core Equity NetRank 24 74 30 94 66 15 32 25 67 19 57

BlackRock Mid Cap Equity IndexFund -11.0% -- -- -- -- -- -- -- -- -- --

S&P 400 MidCap -11.1% 16.2% 20.7% -2.2% 9.8% 33.5% 17.9% -1.7% 26.6% 37.4% -36.2%eV US Mid Cap Core Equity NetRank 51 -- -- -- -- -- -- -- -- -- --

Small Cap Composite -9.2% 19.1% 10.9% -13.6% -3.4% 43.6% 19.8% 5.7% 50.7% 29.9% -34.2%Russell 2000 -11.0% 14.6% 21.3% -4.4% 4.9% 38.8% 16.3% -4.2% 26.9% 27.2% -33.8%

eV US Small Cap Core Equity NetRank 36 17 93 99 97 21 11 8 1 41 43

LMCG Investments SCG -5.3% 19.4% -4.8% -- -- -- -- -- -- -- --Russell 2000 Growth -9.3% 22.2% 11.3% -1.4% 5.6% 43.3% 14.6% -2.9% 29.1% 34.5% -38.5%

eV US Small Cap Growth EquityNet Rank 56 74 99 -- -- -- -- -- -- -- --

Northern Trust Collective Russell2000 Index -10.9% -- -- -- -- -- -- -- -- -- --

Russell 2000 -11.0% 14.6% 21.3% -4.4% 4.9% 38.8% 16.3% -4.2% 26.9% 27.2% -33.8%eV US Small Cap Core EquityNet Rank 49 -- -- -- -- -- -- -- -- -- --





Calendar Year2018 2017 2016 2015 2014 2013 2012 2011 2010 2009 2008

_

International Equity Composite -14.4% 31.4% -1.1% -1.2% -2.7% 18.5% 15.6% -8.4% -- -- --International Equity Composite CustomBenchmark -14.2% 27.2% 4.5% -3.3% -4.4% 19.0% 17.1% -12.9% -- -- --

InvMetrics Public DB Dev Mkt ex-USEq Net Rank 48 11 84 37 19 82 99 1 -- -- --

Ativo Capital -13.6% 21.2% -3.6% -- -- -- -- -- -- -- --MSCI ACWI ex USA -14.2% 27.2% 4.5% -5.7% -3.9% 15.3% 16.8% -13.7% 11.2% 41.4% -45.5%

eV ACWI ex-US Large Cap EquityNet Rank 31 95 89 -- -- -- -- -- -- -- --

Hardman Johnston -13.9% 37.5% 1.2% -0.3% 0.4% 17.3% 15.6% -8.4% -- -- --MSCI EAFE -13.8% 25.0% 1.0% -0.8% -4.9% 22.8% 17.3% -12.1% 7.8% 31.8% -43.4%

eV EAFE Large Cap Core NetRank 45 1 29 50 5 91 92 9 -- -- --

BlackRock MSCI EAFE Small Cap -17.5% -- -- -- -- -- -- -- -- -- --MSCI EAFE Small Cap -17.9% 33.0% 2.2% 9.6% -4.9% 29.3% 20.0% -15.9% 22.0% 46.8% -47.0%

eV EAFE Small Cap Equity NetRank 26 -- -- -- -- -- -- -- -- -- --

BlackRock Emerging Markets Free Fund -14.6% -- -- -- -- -- -- -- -- -- --MSCI Emerging Markets -14.6% 37.3% 11.2% -14.9% -2.2% -2.6% 18.2% -18.4% 18.9% 78.5% -53.3%

eV Emg Mkts Large Cap EquityNet Rank 24 -- -- -- -- -- -- -- -- -- --

Alternative Composite 6.0% 7.7% 4.6% 4.4% 1.6% 4.8% -- -- -- -- --InvMetrics Public DB Alts Net Rank 36 43 74 47 86 92 -- -- -- -- --

Intercontinental U.S. Real Estate 9.8% 7.7% 12.1% 12.7% -- -- -- -- -- -- --NFI 7.4% 6.7% 7.8% 13.9% 11.5% 12.9% 9.8% 15.0% 15.3% -30.4% -10.7%

XXXXX


Private Equity Composite Performance Summary


Total Fund Composite Fee ScheduleMarket Value: $720.6 Million and 100.0% of Fund

Pension Fund

City of Atlanta General Employees

Pension Fund

Executive Summary

September 30, 2019



Total Fund CompositeMarket Value: $1,496.8 Million and 100.0% of Fund

Return Summary YTD

TotalReturn

_



Global Fixed Income Composite 5.4%


Large Cap Composite 21.5%

Mid Cap Composite 16.9%

Small Cap Composite 19.6%


Emerging Markets EquityComposite 10.7%

Global Equity Composite 14.7%

Real Estate Composite 3.9%



_

Fixed Income $299,429,635 20.0% 23.0% -$44,829,236 -3.0%

U.S. Equity $690,401,302 46.1% 50.3% -$61,729,493 -4.1%

Non-U.S. Equity $377,574,378 25.2% 21.8% $52,025,228 3.5%

Real Assets $42,880,712 2.9% 3.0% -$2,022,619 -0.1%

Private Equity $27,190,698 1.8% 2.0% -$2,744,856 -0.2%

Other $59,300,977 4.0% -- $59,300,977 4.0%

Total $1,496,777,702 100.0% 100.0%XXXXX



Beginning Market Value $1,499,655,371 $1,333,862,539 $1,478,147,702Net Cash Flow -$18,329,223 -$27,097,169 -$27,593,160Net Investment Change $15,451,554 $190,012,332 $46,223,160Ending Market Value $1,496,777,702 $1,496,777,702 $1,496,777,702

_




($)_

Total Fund Composite 1,496,777,702 -18,329,223 100.0 100.0 0

Fixed Income Composite 225,753,866 0 15.1 17.2 -31,691,899

Mesirow Core Fixed Income 76,609,590 0 5.1

Garcia Hamilton Core Fixed Income 77,027,576 0 5.1

State Street U.S. Aggregate Bond Index SLFund Core Fixed Income 72,116,700 0 4.8

Global Fixed Income Composite 73,675,769 -90,212 4.9 5.8 -13,137,338

Colchester Global Investors Non-U.S. Fixed Income 73,675,769 -90,212 4.9

U.S. Equity Composite 690,401,302 -33,000,000 46.1 46.5 -5,600,330

Large Cap Composite 444,749,464 -33,000,000 29.7 30.5 -11,767,735

Morgan Stanley Large Cap Core Large-Cap Core 157,863,553 0 10.5

Blackrock S&P 500 Equity Index Fund Large-Cap Core 286,885,912 -33,000,000 19.2

Mid Cap Composite 107,524,476 0 7.2 7.0 2,750,037

MacKay Shields Mid Cap Core Fund Mid-Cap Core 107,524,476 0 7.2

Small Cap Composite 138,127,362 0 9.2 9.0 3,417,368

Channing Capital Management Small-Cap Value 27,749,556 0 1.9

Earnest Partners SCC Small-Cap Core 78,128,449 0 5.2

Legato 32,249,357 0 2.2 -- 32,249,357

Essex Small-Cap Growth 10,840,444 0 0.7

Bridge City Small-Cap Growth 11,067,007 0 0.7

Lebenthal Lisanti Small-Cap Growth 10,341,906 0 0.7

International Equity Composite 207,842,694 0 13.9 14.4 -7,693,295

Artisan Partners International Value Fund(APHKX)

Non-U.S. Large-CapValue 97,041,999 0 6.5


Emerging Markets Equity Composite 51,929,747 0 3.5 3.6 -1,954,250

Earnest Partners EM Emerging Markets 51,929,747 0 3.5

Global Equity Composite 117,801,937 0 7.9 7.5 5,543,609

Globalt Tactical ETF Global Balanced 117,801,937 0 7.9

Real Estate Composite 42,880,712 -217,306 2.9 3.0 -2,022,619


JP Morgan U.S. Real Estate Core Plus Real Estate 17,512,815 -164,479 1.2

Alternative Composite 27,190,698 0 1.8 2.0 -2,744,856

Consequent Alternative Partners II, LP U.S. Private Equity FoF 27,190,698 0 1.8

Cash Composite 59,300,977 14,978,295 4.0 -- 59,300,977


Cash Cash & Equivalents 54,166,110 35,266,513 3.6

SEC Lending Cash & Equivalents 344 0 0.0 XXXXX




Investment Manager Annualized Performance (Net of Fees)Market Value: $1,496.8 Million and 100.0% of Fund



Date_


Fixed Income Composite -0.5% 2.3% 8.1% 2.3% 9.5% 4.4% 2.9% 3.3% 2.6% 3.7% 6.0% Apr-88BBgBarc US Aggregate TR -0.5% 2.3% 8.5% 2.3% 10.3% 4.4% 2.9% 3.4% 2.7% 3.7% 6.2% Apr-88

Mesirow -0.6% 2.3% 8.7% 2.3% 9.9% 4.4% 2.9% 3.3% 2.7% 3.9% 4.8% Jun-06BBgBarc US Aggregate TR -0.5% 2.3% 8.5% 2.3% 10.3% 4.4% 2.9% 3.4% 2.7% 3.7% 4.6% Jun-06

Garcia Hamilton -0.4% 2.3% 7.1% 2.3% 8.3% 4.3% -- -- -- -- 4.1% Nov-16BBgBarc US Aggregate TR -0.5% 2.3% 8.5% 2.3% 10.3% 4.4% 2.9% 3.4% 2.7% 3.7% 4.3% Nov-16

State Street U.S. Aggregate BondIndex SL Fund -0.5% 2.3% 8.5% 2.3% 10.3% 4.4% 2.9% -- -- -- 3.5% Sep-15

BBgBarc US Aggregate TR -0.5% 2.3% 8.5% 2.3% 10.3% 4.4% 2.9% 3.4% 2.7% 3.7% 3.5% Sep-15

Global Fixed Income Composite -0.6% 0.1% 5.4% 0.1% 6.6% 2.1% 1.4% -- -- -- 3.7% Sep-15FTSE WGBI TR -1.3% 0.8% 6.3% 0.8% 8.1% 3.2% 1.2% 1.8% 0.6% 1.7% 3.3% Sep-15

Colchester Global Investors -0.6% 0.1% 5.4% 0.1% 6.6% 2.1% 1.4% -- -- -- 3.7% Sep-15FTSE WGBI TR -1.3% 0.8% 6.3% 0.8% 8.1% 3.2% 1.2% 1.8% 0.6% 1.7% 3.3% Sep-15

U.S. Equity Composite 2.3% 1.6% 20.4% 1.6% 2.5% 9.6% 13.1% 10.6% 13.6% 13.4% 8.6% Dec-99Russell 3000 1.8% 1.2% 20.1% 1.2% 2.9% 10.0% 12.8% 10.4% 13.0% 13.1% 6.0% Dec-99

Large Cap Composite 1.9% 2.1% 21.5% 2.1% 5.6% 12.0% 14.5% 11.8% 13.8% 13.5% 9.1% Jan-97S&P 500 1.9% 1.7% 20.6% 1.7% 4.3% 10.9% 13.4% 10.8% 13.3% 13.2% 8.1% Jan-97

Morgan Stanley Large Cap Core 2.0% 2.8% 23.1% 2.8% 8.4% 14.4% 17.1% 13.7% 14.8% 14.2% 11.2% Dec-94S&P 500 1.9% 1.7% 20.6% 1.7% 4.3% 10.9% 13.4% 10.8% 13.3% 13.2% 9.9% Dec-94

Blackrock S&P 500 Equity IndexFund 1.9% 1.7% 20.6% 1.7% 4.3% 10.9% 13.4% -- -- -- 13.9% Sep-15

S&P 500 1.9% 1.7% 20.6% 1.7% 4.3% 10.9% 13.4% 10.8% 13.3% 13.2% 13.9% Sep-15

Mid Cap Composite 2.5% 1.1% 16.9% 1.1% -3.5% 5.3% 9.0% 6.7% 11.4% 11.8% 7.9% Oct-95Russell MidCap 2.0% 0.5% 21.9% 0.5% 3.2% 8.4% 10.7% 9.1% 12.6% 13.1% 10.6% Oct-95

MacKay Shields Mid Cap CoreFund 2.5% 1.1% 16.9% 1.1% -3.5% 5.3% 9.0% 7.3% 12.3% 12.5% 8.0% Oct-06

Russell MidCap 2.0% 0.5% 21.9% 0.5% 3.2% 8.4% 10.7% 9.1% 12.6% 13.1% 8.6% Oct-06

Small Cap Composite 3.4% 0.4% 19.6% 0.4% -3.1% 5.1% 11.2% 9.9% 12.3% 12.3% 9.9% Oct-95Russell 2000 2.1% -2.4% 14.2% -2.4% -8.9% 2.5% 8.2% 8.2% 10.4% 11.2% 8.5% Oct-95

Channing Capital Management 3.4% -2.0% 15.9% -2.0% -9.5% -0.9% 5.6% 6.0% -- -- 8.3% Feb-13Russell 2000 Value 5.1% -0.6% 12.8% -0.6% -8.2% 0.2% 6.5% 7.2% 9.4% 10.1% 8.4% Feb-13

Earnest Partners SCC 5.2% 2.6% 21.8% 2.6% 0.5% 6.3% 12.7% 11.7% 14.2% 13.2% 10.8% Jul-99Russell 2000 2.1% -2.4% 14.2% -2.4% -8.9% 2.5% 8.2% 8.2% 10.4% 11.2% 7.5% Jul-99



Date_

Legato -0.7% -2.5% 17.3% -2.5% -6.0% 7.5% 11.8% -- -- -- 6.2% Mar-15Russell 2000 Growth -0.8% -4.2% 15.3% -4.2% -9.6% 4.6% 9.8% 9.1% 11.4% 12.2% 6.6% Mar-15

Essex 0.2% -2.7% 15.7% -2.7% -8.0% 4.8% -- -- -- -- 10.4% Mar-17Russell 2000 Growth -0.8% -4.2% 15.3% -4.2% -9.6% 4.6% 9.8% 9.1% 11.4% 12.2% 8.0% Mar-17

Bridge City 2.8% 1.1% 18.4% 1.1% -0.1% 11.9% 14.3% -- -- -- 13.7% Jul-16Russell 2000 Growth -0.8% -4.2% 15.3% -4.2% -9.6% 4.6% 9.8% 9.1% 11.4% 12.2% 10.1% Jul-16

Lebenthal Lisanti -5.0% -5.7% 19.7% -5.7% -7.9% 12.3% 16.7% -- -- -- 17.1% Jul-16Russell 2000 Growth -0.8% -4.2% 15.3% -4.2% -9.6% 4.6% 9.8% 9.1% 11.4% 12.2% 10.1% Jul-16

International Equity Composite 2.6% -1.2% 15.6% -1.2% 2.3% 1.4% 7.9% 5.6% 8.3% -- 7.4% Oct-10MSCI EAFE 2.9% -1.1% 12.8% -1.1% -1.3% 0.7% 6.5% 3.3% 6.1% 4.9% 5.1% Oct-10

Artisan Partners International ValueFund (APHKX) 3.2% -0.6% 13.7% -0.6% 0.6% -0.6% 6.0% 4.5% 8.2% -- 9.7% Jun-10

MSCI EAFE 2.9% -1.1% 12.8% -1.1% -1.3% 0.7% 6.5% 3.3% 6.1% 4.9% 6.7% Jun-10

Hardman Johnston 2.0% -1.7% 17.4% -1.7% 3.8% 3.2% 9.6% 6.8% 8.2% -- 6.7% Oct-10MSCI ACWI ex USA 2.6% -1.8% 11.6% -1.8% -1.2% 0.3% 6.3% 2.9% 5.0% 4.5% 4.1% Oct-10

Emerging Markets EquityComposite 1.8% -2.4% 10.7% -2.4% 2.8% 0.0% 7.2% -- -- -- 10.1% Sep-15

MSCI Emerging Markets 1.9% -4.2% 5.9% -4.2% -2.0% -1.4% 6.0% 2.3% 2.4% 3.4% 8.6% Sep-15

Earnest Partners EM 1.8% -2.4% 10.7% -2.4% 2.8% 0.0% 7.2% -- -- -- 10.1% Sep-15MSCI Emerging Markets 1.9% -4.2% 5.9% -4.2% -2.0% -1.4% 6.0% 2.3% 2.4% 3.4% 8.6% Sep-15

Global Equity Composite 1.0% 0.8% 14.7% 0.8% 4.8% 6.5% 9.0% 7.5% -- -- 8.2% Mar-13Globalt Benchmark 1.4% 0.5% 14.8% 0.5% 3.3% 6.1% 8.6% 7.0% -- -- 7.9% Mar-13

Globalt Tactical ETF 1.0% 0.8% 14.7% 0.8% 4.7% 6.3% 8.8% 7.3% -- -- 7.9% Mar-13Globalt Benchmark 1.4% 0.5% 14.8% 0.5% 3.3% 6.1% 8.6% 7.0% -- -- 7.9% Mar-13

Real Estate Composite 1.5% 1.5% 3.9% 1.5% 5.3% 6.9% 7.6% -- -- -- 8.6% Feb-15NFI 0.4% 1.2% 3.2% 1.2% 4.8% 6.2% 6.4% 8.4% 9.3% 9.9% 8.0% Feb-15

Intercontinental U.S. Real Estate 2.5% 2.5% 6.1% 2.5% 7.8% 9.0% 9.3% -- -- -- 10.0% Mar-15NFI 0.4% 1.2% 3.2% 1.2% 4.8% 6.2% 6.4% 8.4% 9.3% 9.9% 7.9% Mar-15

JP Morgan U.S. Real Estate 0.0% 0.0% 0.9% 0.0% 1.2% 3.8% 5.1% -- -- -- 5.5% Jul-16NFI 0.4% 1.2% 3.2% 1.2% 4.8% 6.2% 6.4% 8.4% 9.3% 9.9% 6.4% Jul-16

Alternative Composite 0.0% 0.0% 0.0% 0.0% -0.7% 2.9% 3.8% 1.4% -- -- 3.7% Oct-12Custom Alternative TargetBenchmark 0.9% 0.5% 14.5% 0.5% 2.3% 7.3% 9.5% 7.7% 9.8% 9.7% 10.1% Oct-12




Investment Manager Calendar Performance (Net of Fees)Market Value: $1,496.8 Million and 100.0% of Fund

Calendar Year2018 2017 2016 2015 2014 2013 2012 2011 2010 2009 2008

_

Total Fund Composite -5.9% 18.6% 8.4% -0.6% 8.0% 23.0% 13.4% -0.3% 14.4% 17.3% -17.2%Total Fund Policy Benchmark -6.0% 17.3% 9.1% 0.2% 8.8% 20.4% 12.4% 2.2% 15.0% 19.5% -19.2%

InvMetrics Public DB > $1B Net Rank 86 6 29 56 4 1 26 79 10 77 2

Fixed Income Composite 0.2% 3.5% 2.7% 0.8% 4.9% -1.7% 4.8% 7.1% 6.5% 6.8% 6.2%BBgBarc US Aggregate TR 0.0% 3.5% 2.6% 0.5% 6.0% -2.0% 4.2% 7.8% 6.5% 5.9% 5.2%


Mesirow -0.3% 3.4% 3.1% -0.2% 6.2% -2.1% 6.1% 7.4% 7.3% 10.7% 3.8%BBgBarc US Aggregate TR 0.0% 3.5% 2.6% 0.5% 6.0% -2.0% 4.2% 7.8% 6.5% 5.9% 5.2%

eV US Core Fixed Inc Net Rank 61 77 51 89 27 75 44 40 43 34 45

Garcia Hamilton 0.8% 3.6% -- -- -- -- -- -- -- -- --BBgBarc US Aggregate TR 0.0% 3.5% 2.6% 0.5% 6.0% -2.0% 4.2% 7.8% 6.5% 5.9% 5.2%

eV US Core Fixed Inc Net Rank 10 64 -- -- -- -- -- -- -- -- --

State Street U.S. Aggregate Bond IndexSL Fund 0.0% 3.6% 2.7% -- -- -- -- -- -- -- --

BBgBarc US Aggregate TR 0.0% 3.5% 2.6% 0.5% 6.0% -2.0% 4.2% 7.8% 6.5% 5.9% 5.2%eV US Core Fixed Inc Net Rank 34 65 71 -- -- -- -- -- -- -- --

Global Fixed Income Composite -1.0% 8.1% 3.8% -- -- -- -- -- -- -- --FTSE WGBI TR -0.8% 7.5% 1.6% -3.6% -0.5% -4.0% 1.6% 6.4% 5.2% 2.6% 10.9%

eV Global Fixed Inc - All Duration NetRank 18 32 41 -- -- -- -- -- -- -- --

Colchester Global Investors -1.0% 8.1% 3.9% -- -- -- -- -- -- -- --FTSE WGBI TR -0.8% 7.5% 1.6% -3.6% -0.5% -4.0% 1.6% 6.4% 5.2% 2.6% 10.9%

eV Global Government Fixed IncNet Rank 58 30 22 -- -- -- -- -- -- -- --

U.S. Equity Composite -6.3% 22.3% 13.0% -0.2% 10.9% 38.1% 16.5% -0.6% 20.8% 32.7% -36.5%Russell 3000 -5.2% 21.1% 12.7% 0.5% 12.6% 33.6% 16.4% 1.0% 16.9% 28.3% -37.3%

InvMetrics Public DB US Eq Net Rank 58 13 45 51 51 6 24 71 17 18 31

Large Cap Composite -3.4% 23.5% 10.9% 2.7% 13.5% 32.7% 15.6% 1.1% 15.8% 31.0% -37.1%S&P 500 -4.4% 21.8% 12.0% 1.4% 13.7% 32.4% 16.0% 2.1% 15.1% 26.5% -37.0%

Morgan Stanley Large Cap Core -1.1% 28.0% 8.3% 5.5% 12.0% 32.8% 15.1% 2.2% 14.4% 20.0% -27.1%S&P 500 -4.4% 21.8% 12.0% 1.4% 13.7% 32.4% 16.0% 2.1% 15.1% 26.5% -37.0%

eV US Large Cap Core EquityNet Rank 9 4 62 5 59 39 46 25 33 81 7

Blackrock S&P 500 Equity Index Fund -4.4% 21.9% 12.0% -- -- -- -- -- -- -- --S&P 500 -4.4% 21.8% 12.0% 1.4% 13.7% 32.4% 16.0% 2.1% 15.1% 26.5% -37.0%

eV US Large Cap Core EquityNet Rank 31 46 20 -- -- -- -- -- -- -- --



Calendar Year2018 2017 2016 2015 2014 2013 2012 2011 2010 2009 2008

_

Mid Cap Composite -11.4% 19.9% 12.0% -5.8% 13.2% 37.4% 19.9% -5.6% 26.3% 34.5% -40.6%Russell MidCap -9.1% 18.5% 13.8% -2.4% 13.2% 34.8% 17.3% -1.5% 25.5% 40.5% -41.5%

MacKay Shields Mid Cap Core Fund -11.5% 19.9% 11.8% -3.7% 15.0% 42.9% 17.7% -2.8% 23.8% 37.0% -41.8%Russell MidCap -9.1% 18.5% 13.8% -2.4% 13.2% 34.8% 17.3% -1.5% 25.5% 40.5% -41.5%

eV US Mid Cap Core Equity NetRank 52 43 41 81 4 1 28 60 35 21 65

Small Cap Composite -12.2% 19.7% 21.1% -3.0% 6.7% 37.3% 14.0% -2.2% 25.4% 33.0% -35.6%Russell 2000 -11.0% 14.6% 21.3% -4.4% 4.9% 38.8% 16.3% -4.2% 26.9% 27.2% -33.8%

Channing Capital Management -17.2% 6.7% 28.1% -5.3% 4.5% -- -- -- -- -- --Russell 2000 Value -12.9% 7.8% 31.7% -7.5% 4.2% 34.5% 18.0% -5.5% 24.5% 20.6% -28.9%

eV US Small Cap Value EquityNet Rank 72 78 32 57 55 -- -- -- -- -- --

Earnest Partners SCC -13.1% 24.1% 25.0% -2.0% 9.4% 36.1% 15.8% -1.2% 19.7% 33.7% -34.7%Russell 2000 -11.0% 14.6% 21.3% -4.4% 4.9% 38.8% 16.3% -4.2% 26.9% 27.2% -33.8%

eV US Small Cap Equity NetRank 61 19 27 38 10 73 43 38 91 41 39

Legato -5.4% 21.5% 2.9% -- -- -- -- -- -- -- --Russell 2000 Growth -9.3% 22.2% 11.3% -1.4% 5.6% 43.3% 14.6% -2.9% 29.1% 34.5% -38.5%

Essex -6.4% -- -- -- -- -- -- -- -- -- --Russell 2000 Growth -9.3% 22.2% 11.3% -1.4% 5.6% 43.3% 14.6% -2.9% 29.1% 34.5% -38.5%

eV US Small Cap Equity NetRank 27 -- -- -- -- -- -- -- -- -- --

Bridge City 0.3% 16.0% -- -- -- -- -- -- -- -- --Russell 2000 Growth -9.3% 22.2% 11.3% -1.4% 5.6% 43.3% 14.6% -2.9% 29.1% 34.5% -38.5%

eV US Small Cap Equity NetRank 10 42 -- -- -- -- -- -- -- -- --

Lebenthal Lisanti -1.6% 28.9% -- -- -- -- -- -- -- -- --Russell 2000 Growth -9.3% 22.2% 11.3% -1.4% 5.6% 43.3% 14.6% -2.9% 29.1% 34.5% -38.5%

eV US Small Cap Equity NetRank 14 8 -- -- -- -- -- -- -- -- --

International Equity Composite -14.6% 30.4% 3.4% -1.0% 0.0% 24.0% 19.6% -9.0% -- -- --MSCI EAFE -13.8% 25.0% 1.0% -0.8% -4.9% 22.8% 17.3% -12.1% 7.8% 31.8% -43.4%

Artisan Partners International ValueFund (APHKX) -15.4% 24.1% 5.7% -1.5% -0.4% 30.7% 23.0% -7.0% -- -- --

MSCI EAFE -13.8% 25.0% 1.0% -0.8% -4.9% 22.8% 17.3% -12.1% 7.8% 31.8% -43.4%eV EAFE Large Cap Value NetRank 35 47 29 38 1 4 5 12 -- -- --

Hardman Johnston -13.8% 37.4% 1.1% -0.4% 0.4% 17.3% 15.6% -8.4% -- -- --MSCI ACWI ex USA -14.2% 27.2% 4.5% -5.7% -3.9% 15.3% 16.8% -13.7% 11.2% 41.4% -45.5%

eV ACWI ex-US Large Cap EquityNet Rank 34 8 51 30 5 60 81 14 -- -- --



Calendar Year2018 2017 2016 2015 2014 2013 2012 2011 2010 2009 2008

_

Emerging Markets Equity Composite -15.5% 36.0% 11.8% -- -- -- -- -- -- -- --MSCI Emerging Markets -14.6% 37.3% 11.2% -14.9% -2.2% -2.6% 18.2% -18.4% 18.9% 78.5% -53.3%

Earnest Partners EM -15.5% 36.0% 11.9% -- -- -- -- -- -- -- --MSCI Emerging Markets -14.6% 37.3% 11.2% -14.9% -2.2% -2.6% 18.2% -18.4% 18.9% 78.5% -53.3%

eV Emg Mkts Equity Net Rank 42 57 31 -- -- -- -- -- -- -- --

Global Equity Composite -4.8% 18.4% 7.6% -1.0% 8.9% -- -- -- -- -- --Globalt Benchmark -6.1% 17.3% 9.1% -1.1% 6.8% -- -- -- -- -- --

eV Global Core Equity Net Rank 13 88 22 66 11 -- -- -- -- -- --

Globalt Tactical ETF -5.1% 18.1% 7.3% -1.3% 8.6% -- -- -- -- -- --Globalt Benchmark -6.1% 17.3% 9.1% -1.1% 6.8% -- -- -- -- -- --

eV Global Balanced Net Rank 17 12 54 39 13 -- -- -- -- -- --

Real Estate Composite 8.1% 6.7% 9.7% -- -- -- -- -- -- -- --NFI 7.4% 6.7% 7.8% 13.9% 11.5% 12.9% 9.8% 15.0% 15.3% -30.4% -10.7%

InvMetrics Public DB Real Estate PrivNet Rank 16 61 6 -- -- -- -- -- -- -- --

Intercontinental U.S. Real Estate 9.5% 7.5% 11.1% -- -- -- -- -- -- -- --NFI 7.4% 6.7% 7.8% 13.9% 11.5% 12.9% 9.8% 15.0% 15.3% -30.4% -10.7%

JP Morgan U.S. Real Estate 5.5% 5.6% -- -- -- -- -- -- -- -- --NFI 7.4% 6.7% 7.8% 13.9% 11.5% 12.9% 9.8% 15.0% 15.3% -30.4% -10.7%

Alternative Composite 4.8% 7.0% 0.1% 0.5% 0.4% 5.8% -- -- -- -- --Custom Alternative Target Benchmark -4.1% 16.1% 8.7% 1.0% 9.6% 24.4% 12.5% -0.3% 13.6% 19.8% -31.2%

InvMetrics Public DB Alts Net Rank 44 52 96 74 89 90 -- -- -- -- --


Total Fund Composite Fee ScheduleMarket Value: $1,496.8 Million and 100.0% of Fund

September 30, 2019

City of Atlanta Police Officers

Pension Fund

Executive Summary

Pension Fund




Return Summary YTD

TotalReturn

_







_

Fixed Income $268,053,127 23.3% 24.0% -$8,159,052 -0.7%

U.S. Equity $698,604,354 60.7% 61.0% -$3,434,933 -0.3%

Non-U.S. Equity $150,336,714 13.1% 9.0% $46,757,147 4.1%

Real Assets $5,647,485 0.5% 1.0% -$5,861,356 -0.5%

Private Equity $24,623,725 2.1% 4.0% -$21,411,638 -1.9%

Other $3,618,672 0.3% 1.0% -$7,890,169 -0.7%

Total $1,150,884,077 100.0% 100.0%XXXXX



Beginning Market Value $1,163,807,740 $1,024,993,843 $1,162,807,664Net Cash Flow -$13,746,000 -$36,630,104 -$36,957,773Net Investment Change $822,337 $162,520,338 $25,034,186Ending Market Value $1,150,884,077 $1,150,884,077 $1,150,884,077

_




($)_

Total Fund Composite 1,150,884,077 -13,746,000 100.0 100.0 0

Fixed Income Composite 268,053,127 -70,985 23.3 24.0 -8,159,052

Mesirow Core Fixed Income 102,350,652 -535 8.9

Garcia Hamilton Int. Govt. Fixed Income 52,758,199 -272 4.6

C.S. McKee Int. Govt. Fixed Income 51,335,046 -697 4.5

Colchester Non-U.S. Fixed Income 61,609,229 -69,480 5.4

U.S. Equity Composite 698,604,354 -7,519,486 60.7 61.0 -3,434,933

Consequent FlexCap Portfolio All-Cap Core 81,679,784 -1,300,427 7.1

BlackRock Russell 1000 Growth Index Fund Large-Cap Growth 171,297,312 0 14.9

BlackRock Russell 1000 Value Index Fund Large-Cap Value 115,067,326 0 10.0

iShares Russell Mid Cap Value ETF Mid-Cap Value 40,424,112 -216,016 3.5

Consequent MidCap Manager of ManagersPortfolio 141,067,706 -6,001,984 12.3 -- 141,067,706

Seizert Mid-Cap Core 68,080,845 -3,001,201 5.9

Fiera Smid-Cap Growth 72,986,861 -3,000,783 6.3

Macquarie SCC Small-Cap Core 94,360,253 -688 8.2

LMCG Investments SCG Small-Cap Growth 54,707,861 -370 4.8

International Equity Composite 150,336,714 0 13.1 9.0 46,757,147

Artisan International Large Cap Value (APHKX) Non-U.S. Large-CapValue 70,433,730 0 6.1


Alternative Composite 30,271,210 118,719 2.6 5.0 -27,272,994


Consequent Alternative Partners II, LP U.S. Private Equity FoF 20,364,348 0 1.8

Pharos Capital Partners III LBO Private Equity 4,259,377 160,000 0.4

Cash Composite 3,618,672 -6,274,248 0.3 1.0 -7,890,169


Cash Cash & Equivalents 1,553,366 1,202,052 0.1

Transition Cash Account Cash & Equivalents 594,028 215,890 0.1 XXXXX





Date_


Fixed Income Composite -0.5% 1.4% 6.8% 1.4% 8.0% 3.4% 2.3% 3.0% 2.3% 3.2% 3.8% Sep-07Fixed Income Composite BlendedBenchmark -0.6% 1.7% 7.3% 1.7% 9.1% 3.8% 2.4% 3.1% 2.5% 3.6% 4.1% Sep-07

Mesirow -0.6% 2.3% 8.6% 2.3% 9.8% 4.2% 2.8% 3.2% 2.6% -- 3.6% May-10BBgBarc US Aggregate TR -0.5% 2.3% 8.5% 2.3% 10.3% 4.4% 2.9% 3.4% 2.7% 3.7% 3.6% May-10

Garcia Hamilton -0.2% 1.4% 5.5% 1.4% 6.8% 3.4% 2.4% 2.8% -- -- 2.8% Apr-14BBgBarc US Govt/Credit Int TR -0.4% 1.4% 6.4% 1.4% 8.2% 3.5% 2.4% 2.7% 2.1% 3.0% 2.6% Apr-14

C.S. McKee -0.3% 1.4% 6.3% 1.4% 7.3% 3.3% 2.3% 2.6% -- -- 2.4% Apr-14BBgBarc US Govt/Credit Int TR -0.4% 1.4% 6.4% 1.4% 8.2% 3.5% 2.4% 2.7% 2.1% 3.0% 2.6% Apr-14

Colchester -0.6% 0.1% 5.4% 0.1% 6.7% 2.1% 1.4% -- -- -- 4.2% Jan-16FTSE WGBI TR -1.3% 0.8% 6.3% 0.8% 8.1% 3.2% 1.2% 1.8% 0.6% 1.7% 3.5% Jan-16

U.S. Equity Composite 1.4% -0.3% 18.5% -0.3% -0.2% 7.9% 10.8% 7.7% 10.9% 10.7% 6.8% Jan-08Domestic Equity CompositeBlended Benchmark 1.9% 0.3% 19.4% 0.3% 0.7% 8.2% 11.5% 9.8% 12.6% 13.0% 9.3% Jan-08

Consequent FlexCap Portfolio 4.1% 2.8% 16.9% 2.8% 5.5% 8.3% 10.3% 8.5% 10.2% 10.7% 11.9% Dec-08Total Fund Policy Benchmark 1.2% 0.6% 15.2% 0.6% 3.4% 6.4% 8.5% 7.3% 9.0% 9.5% 10.4% Dec-08

BlackRock Russell 1000 GrowthIndex Fund 0.0% 1.5% 23.3% 1.5% 3.7% 14.4% 16.8% -- -- -- 15.0% Dec-15

Russell 1000 Growth 0.0% 1.5% 23.3% 1.5% 3.7% 14.4% 16.9% 13.4% 15.0% 14.9% 15.1% Dec-15

BlackRock Russell 1000 ValueIndex Fund 3.5% 1.4% 17.8% 1.4% 4.0% 6.8% 9.5% -- -- -- 10.3% Dec-15

Russell 1000 Value 3.6% 1.4% 17.8% 1.4% 4.0% 6.7% 9.4% 7.8% 11.3% 11.5% 10.2% Dec-15

iShares Russell Mid Cap Value ETF 4.1% 1.2% 19.2% 1.2% 1.5% 5.0% -- -- -- -- 6.0% Dec-16Russell MidCap Value 4.1% 1.2% 19.5% 1.2% 1.6% 5.1% 7.8% 7.6% 11.6% 12.3% 6.5% Dec-16

Consequent MidCap Manager ofManagers Portfolio -0.1% -2.2% 17.0% -2.2% -2.8% 5.7% 9.1% 6.1% 11.2% -- 10.5% Feb-12

Russell MidCap 2.0% 0.5% 21.9% 0.5% 3.2% 8.4% 10.7% 9.1% 12.6% 13.1% 12.0% Feb-12

Seizert 2.2% 1.9% 16.7% 1.9% -0.3% 4.1% 7.9% 5.7% 11.7% -- 11.1% Feb-12Russell MidCap 2.0% 0.5% 21.9% 0.5% 3.2% 8.4% 10.7% 9.1% 12.6% 13.1% 12.0% Feb-12

Fiera -2.0% -5.5% 18.6% -5.5% -3.8% 8.7% 11.7% 8.0% 12.2% -- 11.4% Feb-12Russell 2500 Growth -1.9% -3.2% 20.0% -3.2% -4.1% 8.7% 12.3% 10.2% 12.8% 13.5% 11.9% Feb-12

Macquarie SCC 2.8% -1.1% 17.4% -1.1% -7.2% 3.5% -- -- -- -- 3.5% Sep-17Russell 2000 2.1% -2.4% 14.2% -2.4% -8.9% 2.5% 8.2% 8.2% 10.4% 11.2% 2.5% Sep-17

LMCG Investments SCG -3.3% -8.0% 11.4% -8.0% -11.2% 5.9% 8.7% -- -- -- 4.9% Dec-15Russell 2000 Growth -0.8% -4.2% 15.3% -4.2% -9.6% 4.6% 9.8% 9.1% 11.4% 12.2% 9.9% Dec-15





Date_

International Equity Composite 2.6% -1.2% 15.8% -1.2% 2.4% 1.5% 8.0% 5.7% 8.3% -- 8.7% Jun-10International Equity CompositeBlended Benchmark 2.7% -1.4% 12.2% -1.4% -1.3% 0.5% 6.4% 3.1% 5.6% -- 6.2% Jun-10

Artisan International Large CapValue (APHKX) 3.2% -0.6% 13.7% -0.6% 0.6% -0.6% 6.0% 4.5% 8.2% -- 9.7% Jun-10

MSCI EAFE 2.9% -1.1% 12.8% -1.1% -1.3% 0.7% 6.5% 3.3% 6.1% 4.9% 6.7% Jun-10

Hardman Johnston 2.0% -1.7% 17.6% -1.7% 4.0% 3.4% 9.8% 6.9% 8.3% -- 7.8% Jun-10MSCI ACWI ex USA 2.6% -1.8% 11.6% -1.8% -1.2% 0.3% 6.3% 2.9% 5.0% 4.5% 5.5% Jun-10

Alternative Composite 0.4% 0.4% 2.0% 0.4% 2.0% 4.8% 5.7% 3.8% -- -- 4.3% Dec-12S&P 500 + 3% 2.1% 2.4% 23.2% 2.4% 7.4% 14.2% 16.8% 14.1% 16.6% 16.6% 17.2% Dec-12

Intercontinental U.S. Real Estate 2.3% 2.3% 5.8% 2.3% 7.6% 8.9% 9.2% 10.0% -- -- 10.5% Aug-14NFI 0.4% 1.2% 3.2% 1.2% 4.8% 6.2% 6.4% 8.4% 9.3% 9.9% 8.4% Aug-14





Calendar Year2018 2017 2016 2015 2014 2013 2012 2011 2010 2009 2008

_

Total Fund Composite -6.2% 15.6% 9.2% -1.9% 5.0% 22.5% 12.8% 1.0% 14.7% 16.7% -20.8%Total Fund Policy Benchmark -5.4% 15.0% 9.9% -0.3% 8.3% 21.3% 12.9% 0.7% 17.4% 20.1% -20.3%

InvMetrics Public DB > $1B Net Rank 89 50 10 85 56 1 46 33 8 79 5

Fixed Income Composite -0.1% 3.9% 2.9% 0.5% 4.2% -1.8% 4.0% 6.1% 5.6% 9.0% 1.9%Fixed Income Composite BlendedBenchmark 0.2% 3.7% 2.3% 0.8% 5.0% -2.0% 4.2% 7.8% 6.5% 5.9% 5.2%


Mesirow -0.6% 3.2% 2.9% -0.1% 6.3% -2.2% 5.4% 7.3% -- -- --BBgBarc US Aggregate TR 0.0% 3.5% 2.6% 0.5% 6.0% -2.0% 4.2% 7.8% 6.5% 5.9% 5.2%

eV US Core Fixed Inc Net Rank 75 82 58 85 23 79 60 46 -- -- --

Garcia Hamilton 1.2% 2.0% 2.9% 1.2% -- -- -- -- -- -- --BBgBarc US Govt/Credit Int TR 0.9% 2.1% 2.1% 1.1% 3.1% -0.9% 3.9% 5.8% 5.9% 5.2% 5.1%

eV US Interm Duration Fixed IncNet Rank 9 82 20 27 -- -- -- -- -- -- --

C.S. McKee 0.6% 2.0% 1.7% 1.6% -- -- -- -- -- -- --BBgBarc US Govt/Credit Int TR 0.9% 2.1% 2.1% 1.1% 3.1% -0.9% 3.9% 5.8% 5.9% 5.2% 5.1%

eV US Interm Duration Fixed IncNet Rank 56 82 84 12 -- -- -- -- -- -- --

Colchester -0.9% 8.2% -- -- -- -- -- -- -- -- --FTSE WGBI TR -0.8% 7.5% 1.6% -3.6% -0.5% -4.0% 1.6% 6.4% 5.2% 2.6% 10.9%

eV Global Government Fixed IncNet Rank 57 30 -- -- -- -- -- -- -- -- --

U.S. Equity Composite -7.1% 18.8% 12.6% -3.2% 6.3% 33.6% 5.0% 1.6% 21.3% 26.8% --Domestic Equity Composite BlendedBenchmark -7.2% 19.3% 14.6% -0.7% 12.0% 34.4% 16.6% 0.1% 21.6% 31.5% -37.7%

InvMetrics Public DB US Eq Net Rank 71 80 53 90 96 68 99 20 14 76 --

Consequent FlexCap Portfolio -5.4% 17.7% 16.9% -2.8% 5.2% 24.7% 15.5% 0.8% 15.6% 27.7% --Total Fund Policy Benchmark -5.4% 15.0% 9.9% -0.3% 8.3% 21.3% 12.9% 0.7% 17.4% 20.1% -20.3%

eV US Enh All Cap Equity NetRank -- -- -- 99 99 99 34 62 77 -- --

BlackRock Russell 1000 Growth IndexFund -1.6% 30.1% 7.1% -- -- -- -- -- -- -- --

Russell 1000 Growth -1.5% 30.2% 7.1% 5.7% 13.0% 33.5% 15.3% 2.6% 16.7% 37.2% -38.4%eV US Large Cap Growth EquityNet Rank 53 40 20 -- -- -- -- -- -- -- --

BlackRock Russell 1000 Value IndexFund -8.2% 13.8% 17.2% -- -- -- -- -- -- -- --

Russell 1000 Value -8.3% 13.7% 17.3% -3.8% 13.5% 32.5% 17.5% 0.4% 15.5% 19.7% -36.8%eV US Large Cap Value Equity NetRank 41 83 20 -- -- -- -- -- -- -- --



Calendar Year2018 2017 2016 2015 2014 2013 2012 2011 2010 2009 2008

_

iShares Russell Mid Cap Value ETF -12.5% 12.6% -- -- -- -- -- -- -- -- --Russell MidCap Value -12.3% 13.3% 20.0% -4.8% 14.7% 33.5% 18.5% -1.4% 24.8% 34.2% -38.4%

Mid-Cap Value MStar MF Rank 38 59 -- -- -- -- -- -- -- -- --

Consequent MidCap Manager ofManagers Portfolio -9.8% 16.2% 13.8% -6.6% 6.9% 43.8% -- -- -- -- --

Russell MidCap -9.1% 18.5% 13.8% -2.4% 13.2% 34.8% 17.3% -1.5% 25.5% 40.5% -41.5%eV US Mid Cap Equity Net Rank 49 63 39 86 65 4 -- -- -- -- --

Seizert -9.7% 7.5% 25.5% -10.5% 6.4% 50.0% -- -- -- -- --Russell MidCap -9.1% 18.5% 13.8% -2.4% 13.2% 34.8% 17.3% -1.5% 25.5% 40.5% -41.5%

eV US Mid Cap Core Equity NetRank 44 98 1 95 72 1 -- -- -- -- --

Fiera -8.6% 27.9% 4.4% -1.2% 9.3% 39.5% -- -- -- -- --Russell 2500 Growth -7.5% 24.5% 9.7% -0.2% 7.1% 40.6% 16.1% -1.6% 28.9% 41.7% -41.5%

eV US Small-Mid Cap GrowthEquity Net Rank 83 24 76 46 21 53 -- -- -- -- --

Macquarie SCC -11.1% -- -- -- -- -- -- -- -- -- --Russell 2000 -11.0% 14.6% 21.3% -4.4% 4.9% 38.8% 16.3% -4.2% 26.9% 27.2% -33.8%

eV US Small Cap Core Equity NetRank 50 -- -- -- -- -- -- -- -- -- --

LMCG Investments SCG -5.4% 19.3% -4.7% -- -- -- -- -- -- -- --Russell 2000 Growth -9.3% 22.2% 11.3% -1.4% 5.6% 43.3% 14.6% -2.9% 29.1% 34.5% -38.5%

eV US Small Cap Growth EquityNet Rank 56 75 99 -- -- -- -- -- -- -- --

International Equity Composite -14.5% 30.9% 3.4% -1.0% -0.1% 23.7% 19.3% -7.8% -- -- --International Equity Composite BlendedBenchmark -14.0% 26.1% 2.7% -3.3% -4.4% 19.0% 17.1% -12.9% -- -- --

InvMetrics Public DB Dev Mkt ex-USEq Net Rank 54 14 21 36 1 7 26 1 -- -- --

Artisan International Large Cap Value(APHKX) -15.4% 24.1% 5.7% -1.5% -0.4% 30.7% 23.0% -7.1% -- -- --

MSCI EAFE -13.8% 25.0% 1.0% -0.8% -4.9% 22.8% 17.3% -12.1% 7.8% 31.8% -43.4%Foreign Large Blend MStar MFRank 54 81 9 62 9 2 9 4 -- -- --

Hardman Johnston -13.7% 37.7% 1.1% -0.4% 0.3% 17.4% 15.6% -8.4% -- -- --MSCI ACWI ex USA -14.2% 27.2% 4.5% -5.7% -3.9% 15.3% 16.8% -13.7% 11.2% 41.4% -45.5%

eV ACWI ex-US Large Cap EquityNet Rank 33 7 50 29 6 60 81 14 -- -- --


Calendar Year2018 2017 2016 2015 2014 2013 2012 2011 2010 2009 2008

_

Alternative Composite 6.4% 8.0% 3.3% 2.3% 2.4% 4.8% -- -- -- -- --S&P 500 + 3% -1.5% 25.4% 15.3% 4.4% 17.1% 36.3% 19.4% 5.2% 18.5% 30.2% -35.0%

InvMetrics Public DB Alts Net Rank 35 41 85 64 84 92 -- -- -- -- --

Intercontinental U.S. Real Estate 9.5% 7.5% 11.1% 12.4% -- -- -- -- -- -- --NFI 7.4% 6.7% 7.8% 13.9% 11.5% 12.9% 9.8% 15.0% 15.3% -30.4% -10.7%



Total Fund Composite Fee ScheduleMarket Value: $1,150.9 Million and 100.0% of Fund

September 2019 - coa.sba-inc.com

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