HomeMy WebLinkAboutMINUTES - 05132014 - C.62RECOMMENDATION(S):
ACCEPT quarterly report of the Post Retirement Health Benefits Trust Agreement Advisory Body.
FISCAL IMPACT:
No specific fiscal impact. This is a quarterly report of the County's assets in the Public Agency Retirement Services
(PARS) Public Agencies Post-Retirement Health Care Plan Trust.
BACKGROUND:
On December 14, 2010, the Board of Supervisors directed the formation of a Post Retirement Health Benefits Trust
Agreement Advisory Body (consisting of the County Administrator, County Finance Director, Treasurer-Tax
Collector, Auditor-Controller, and Health Services Finance Director).
The Advisory Body meets quarterly. At its meeting of August 4, 2011, the body discussed and reviewed final report
formats with HighMark Capital Management and made recommendations regarding a final standardized quarterly
report. The attached report is in the standardized format. The following is the investment summary presented at the
May 1, 2014 quarterly meeting for the period ending March 31, 2014:
APPROVE OTHER
RECOMMENDATION OF CNTY ADMINISTRATOR RECOMMENDATION OF BOARD COMMITTEE
Action of Board On: 05/13/2014 APPROVED AS RECOMMENDED OTHER
Clerks Notes:
VOTE OF SUPERVISORS
AYE:John Gioia, District I Supervisor
Candace Andersen, District II Supervisor
Mary N. Piepho, District III Supervisor
Karen Mitchoff, District IV Supervisor
Federal D. Glover, District V Supervisor
Contact: Lisa Driscoll, County Finance
Director (925) 335-1023
I hereby certify that this is a true and correct copy of an action taken and entered on the
minutes of the Board of Supervisors on the date shown.
ATTESTED: May 13, 2014
David Twa, County Administrator and Clerk of the Board of Supervisors
By: June McHuen, Deputy
cc: Russell Watts, Treasurer-Tax Collector, Robert Campbell, Auditor-Controller
C. 62
To:Board of Supervisors
From:David Twa, County Administrator
Date:May 13, 2014
Contra
Costa
County
Subject:Quarterly Report of the Post Retirement Health Benefits Trust Agreement Advisory Body
BACKGROUND: (CONT'D)
Investment Summary First Quarter 2014
Beginning Value $129,408,886.38
Net Contributions/Withdrawals 4,766,179.46
Fees Deducted -40,733.50
Income Received 469,612.77
Market Appreciation 959,806.91
Net Change in Accrued Income -45,966.35
Ending Market Value $135,517,785.67
Additional Materials -
A Post Retirement Health Benefits Trust Agreement Advisory Body web-page can be found at the following
address:
http://ca-contracostacounty.civicplus.com/index.aspx?NID=2915. The page describes the function of the body,
posts quarterly meeting materials, and all pertinent trust and plan documents.
CONSEQUENCE OF NEGATIVE ACTION:
None.
CHILDREN'S IMPACT STATEMENT:
None.
ATTACHMENTS
First Quarter 2014
PARS: County of Contra CostaFirst Quarter 2014Presented byAndrew Brown, CFA
PARS: County of Contra CostaDISCUSSION HIGHLIGHTSU.S. Economic and Market Overview The first quarter was characterized by events in Crimea, concerns over a slowdown in U.S. domestic growth, and the pace in which the FederalReserve will reduce it’s stimulus program. During the quarter, economic readings continued to point to a recovery, albeit at a slow to moderatepace. Real GDP growth slowed during the fourth quarter, but still registered a 2.6% rate of growth; expectations are for continued slowing to2.0% during the first quarter of 2014 (initial estimate to be released on May 29th). The expected decline is due primarily to the impact ofunseasonably cold weather on consumers in January and February. Job growth has improved modestly, while unemployment has remainedstable. Non-farm payrolls expanded by 533,000 over the quarter, with month-to-month growth ranging between 145,000 to 197,000 jobs. Theunemployment rate ended the quarter at 6.7%.The Federal Reserve (Fed) reduced monthly asset purchases by $10 billion (to $55 billion) following their March 19thmeeting. They have nowreduced purchases by $10 billion at each of their last three meetings, and we expect that pattern to continue through 2014. Additionally, the Fedhas communicated that they will not make any significant changes to monetary policy until they are satisfied that the labor market is on solidground. The Fed’s current forecast calls for unemployment falling to 6.2% by the end of 2014, and 5.8% by the end of 2015. This rate of 5.8% isfairly close to the Fed’s current long-run forecast of 5.4%.Despite mainly positive readings on the domestic economy, events in the Ukraine gave investors some cause for concern at the end of thequarter. While many investors have been quick to discount the risks emanating from Putin’s moves on Crimea, we are keeping a cautious eye onthe developments in the region. Elections might be one outcome that could lead to a “de-risking” of the situation, though events seem to bepointing to heightened military tension. And if this were to take place, equity markets would certainly come under some pressure.Highmark’s current economic forecast calls for S&P500 earnings to register roughly 6% growth in 2014, on the back of a GDP forecast of 2.75%.Given the broad view that the economy will expand at a reasonable paceand unemployment will continue to decline, HighMark believes that theyield curve will steepen as we move through the balance of 2014. We see the 10-year Treasury ending the year at a 3.5% rate. This outlookwould be somewhat negative for fixed income markets, and potentially a slight positive for equity markets.1
PARS: County of Contra CostaDISCUSSION HIGHLIGHTSMarket overview/Performance DiscussionTotal Plan•The County of Contra Costa OPEB Plan returned 0.99% in the first quarter, which underperformed the County’s Plan benchmark return targetof 1.76%. The biggest detractor to performance was an underweight, and underperformance, in the real estate equity segment. REIT equityreturns, as measured by the Dow Jones Wilshire REIT Index posted double digit returns (+10.13%) in a quarter marked by modest gains instocks (Russell 1000 Index +2.05%) and bonds (Barclays Aggregate +1.84%). Underperformance in large cap equities, mid-cap equities, fixedincome, and alternatives also contributed to the underperformance versus the benchmark in the quarter. A modest bright spot was the Plan’ssmall cap equity segment, which outperformed the benchmark target, and additional slight outperformance from the international and globalequity segments.Domestic EquityIn the wake of a strong 2013, where returns for small cap, mid-cap, and large cap equities were in excess of 30%, market returns were a bitsubdued in the first quarter. Investors in general responded favorably to announcements from the Fed that their low interest rate policy willlikely be held in place throughout calendar year 2014. While issues surrounding a colder-than-normal Winter made some question whetherthe U.S. growth rate was due for a pause, the month of March brought more encouraging economic signs, from retail sales figures toemployment statistics, giving investors additional confidence. During the quarter, defensive-oriented sectors led returns, with utilities (+9.7%)and healthcare (+5.9%) being the two leading sectors. Telecommunications (-0.05%) and consumer discretionary (-2.0%) were the onlysectors posting negative returns.The Plan’s large cap funds returned 0.98% in the quarter, which underperformed the Russell 1000 Index return of 2.05%.The Sentinel Common Stock Fund returned 1.31% in the quarter, which underperformed the benchmark. The Fund ranked in the 67thpercentile of the Morningstar Large Cap Blend Universe.The Columbia Contrarian Core Fund’s 1.02% return underperformed the Russell 1000 Index and ranked in the 78thpercentile of theMorningstar Large Cap Blend UniverseThe Harbor Capital Appreciation Fund returned -0.12% in the quarter, which underperformed the Russell 1000 Growth Index’s returnof 1.12%. The Harbor Fund ranked in the 65thpercentile of the Morningstar Large Cap Growth Universe.The T. Rowe Price Growth Stock Fund returned -1.24% in the quarter, which underperformed the Russell 1000 Growth Index. TheFund ranked in the 87th percentile of the Morningstar Large Cap Growth Universe.2
PARS: County of Contra CostaDISCUSSION HIGHLIGHTSDomestic Equity (Cont.)The T. Rowe Price Equity Income Fund returned 1.59%, which ranked in the 80thpercentile of the Morningstar Large Cap ValueUniverse, and underperformed the Russell 1000 Value Index return of 3.02%.The Loomis Sayles Value Fund posted a 2.46% return which underperformed the Russell 1000 Value Index, and ranked in the 40thpercentile of the Morningstar Large Cap Value Universe.Mid-cap equity shares were the strongest performing domestic equity segment in the Plan (ex-REITs) in the quarter. Much of the strength inmid-caps came from mid-cap value equities, which returned 5.2% in the quarter. This return was supported mainly by the 12% allocation toREITs within the Russell Mid-Cap Index. For small cap equity, the quarter was fairly lackluster. While the Russell 2000 Index saw nine of it’sten sectors post positive returns, the gains were fairly minute, and yielded only a 1.1% return for the benchmark. Given the return of 38.82% in2013, a pause was to be expected.•The mid-cap equity segment returned 1.42% in the quarter, which underperformed the Russell Mid-Cap Equity return of3.53%The TIAA-CREF Mid-Cap Value Fund returned 4.13% in the quarter, which underperformed the Russell Mid-Cap Value Index returnof 5.22%. The Fund ranked in the 18thpercentile of the Morningstar Mid-Cap Value Universe of managers.The Nationwide Geneva Mid-Cap Growth Fund posted a -1.07% return, which ranked in the 91stpercentile of Morningstar’s Mid-Cap Growth Manager Universe. The Fund underperformed the Russell Mid-Cap Growth Index return of 2.04%.The small cap equity segment returned 2.22% in the quarter, which outperformed the Russell 2000 Index return of 1.12%.The T. Rowe Price New Horizons Fund returned 1.71%, and outperformed the Russell 2000 Growth Index return of 0.48%. Thisperformance ranked in the 20thpercentile of small cap growth managers as measured by Morningstar.The Columbia Small Cap Value Fund II return of 2.22% outperformed the Russell 2000 Value Index’s return of 1.78%. This rankedin the 33rdpercentile of Morningstar’s Small Cap Value Universe.Real EstateREIT equities turned in a surprising quarter, posting a 10.13% return. REITs posted the strongest return from any asset class in the Plan duringthe first quarter. Some of the strength in returns can be attributed to the lagging returns REITs have offered investors throughout 2013. Despitethe strong first quarter, REITs have lagged the Russell 1000 Index by roughly 18% over the previous twelve months for the period ending March31, 2014 (4.45% Wilshire REIT index vs. Russell 1000 Index 22.41%). One element that helped REITs in the quarter was the decline in bondyields. And similar to the factors that boosted equity returns in the utility sector, some of the upside in REITs in the quarter reflected investors’search for yield.3
DISCUSSION HIGHLIGHTSReal Estate (Cont.)The Nuveen Real Estate Securities Fund returned 10.51% in the first quarter, which outperformed the Wilshire REIT Index return of 10.13%.The Fund placed in the 6thpercentile of the Morningstar Real Estate Manager’s Universe.Global/International EquityDeveloped international equity markets were relatively flat in local currency terms for the first quarter. The MSCI-EAFE Index registered a 0.66% return, with Japan being the primary drag on performance (-5.42%) while Europe (+2.21%) and Asia/Pacific Ex-Japan (+2.99%) offered some positive contribution to returns. Japan struggled on concerns that Prime Minister Abe’s pro-growth policies were beginning to lose momentum. The Eurozone showed continuing signs of economic improvement, despite only modest employment gains in many of the Euro countries. Emerging market equities were once again a volatile area. EM equities were down only -0.4% for the quarter, but China (-5.9%) and Russia (-14.4%) grabbed the headlines. Chinese factory data showed that output was growing at a slower pace. Russian equity returns were impacted by Russian President Vladimir Putin’s annexation of Crimea. Towards the latter part of the quarter, emerging market equities staged a rally on hopes that policy adjustments in several troubled countries might put them on a stronger path going forward.The Plan’s international/global equity segment returned 0.93% in the quarter.This return underperformed the MSCI-ACWI Index (+1.08%),but outperformed the MSCI-EAFE Index (+0.66%).The Dodge & Cox International Stock Fund’s 2.76% return outperformed the MSCI-EAFE Index in the quarter, and ranked in the 4thpercentile ofthe Foreign Large Blend Universe as measured by Morningstar.The Nationwide Bailard International Equity Fund registered a 1.45% return in the first quarter, and outperformed the MSCI-EAFE Index. TheFund ranked in the 16thpercentile of the Morningstar Foreign Large Blend Universe.The MFS International Fund’s return of -0.93% lagged the index and the peer group in the quarter. The Fund ranked in the 64thpercentile forforeign large cap growth managers as measured by Morningstar.The Templeton Global Opportunities Fund’s return of 1.37% in the quarter exceeded the MSCI-ACWI benchmark, and ranked in the 49thpercentile of the Morningstar World Stock Index Universe.The Schroder Emerging Market Equity Fund (-2.63%) ranked in the 86thpercentile of emerging market equity managers, and underperformed theMSCI Emerging Market Index return of -0.40%.PARS: County of Contra CostaDISCUSSION HIGHLIGHTS4
DISCUSSION HIGHLIGHTSFixed IncomeIn contrast to last year, and contrary to most expectations, bond returns were not only positive for the first quarter, but also ahead of equityreturns, as Treasury yields declined and corporate bonds outperformed. When the quarter began, interest rates had been rising for severalmonths due to the combined effects of a reduction in the Fed’s bond purchasing program and faster job growth. Monthly job gains averaged only178,000 in 2012 and 194,000 in 2013. Late last year though, the number accelerated to 237,000 in October and then 274,000 in November, asthe unemployment rate continued to fall. With the end of QE coming into view and faster job growth finally beginning to materialize, interest ratesfinished the year in a rising trend, as the ten-year Treasury yield ended just over 3%. However, the jobs report released in early January was ahuge disappointment, as only 84,000 new jobs were created in December, well below expectations and significantly under the 225,000 averageof the previous three months. The jobs report was subsequently followed by a weak purchasing managers report, which contributed to growingconcerns over the strength of the economy. Although the worse-than-normal weather was cited as an explanation for slower growth in the U.S.,the yield curve flattened in the quarter, as the longest maturities experienced the largest decline in rates.High yield corporate bonds posted a healthy 3% gain, outperforming equivalent-duration U.S. Treasury securities by +197 basis points, as improved market sentiment and the continued search for yield by investors helped support the sector. Investment grade corporate bond spreads ended the quarter at +119 basis points, the tightest level since July 2007, while high yield bond spreads finished at +377 basis points, significantly below its long-term average of +600 basis points. The issuance of both Investment grade and high yield bonds was moderately strong during the quarter, as companies attempted to lock in borrowing costs ahead of rising Treasury yields. Agency mortgage-backed securities rose 1.6% during the quarter, underperforming equivalent-duration Treasuries by -23 basis points, as option-adjusted spreads widened by 7 basis points. At +40 basis points, agency mortgage spreads remain below long-term averages, supported by the Federal Reserve’s low interest rate policy and agency mortgage bond buying mandate. The volume of mortgages issued at these low rates has kept the duration of the mortgage index near the longest in its history at 5.4 years. The Fed continues to reinvest principal and interest payments from its existing portfolio into agency mortgage-backed securities in addition to those purchased under the quantitative easing program. Short-term interest rates continue to be anchored by the Fed’s zero interest rate policy, which will likely continue for at least the next twelve-to-eighteen months. Longer-term rates could be tested this year as the Fed gradually withdraws support from the markets by continuing to reduce bond purchases. However, prior attempts at ending quantitative easing programs have resulted in slower economic growth or equity market weakness, or both. Therefore, if the economy can maintain momentum without Fed support, 2014 could be a watershed year in which, six years after the financial crisis, quantitative easing finally ends. Even if QE finally ends though, interest rates are unlikely to increase significantly. Therefore, investors will continue to face a challenging interest rate environment in which maintaining a desired yield level necessitates taking on additional risk. This dynamic has resulted in unattractive valuations for high-yield bonds, while investment-grade securities still appear relatively attractive. PARS: County of Contra Costa5
DISCUSSION HIGHLIGHTSFixed Income (Cont)The separately managed fixed income portfolio underperformed the benchmark this quarter primarily due to the decline in interest rates. Theportfolio's defensive duration policy during a period of declining interest rates, combined with the fact that the best performance came from thelongest maturity bonds, had a negative impact of approximately 53 basis points on performance. Sector allocation contributed a positive 29 basispoints as the portfolio was overweight corporate bonds, which outperformed Treasuries, and underweight mortgage-backed securities, whichunderperformed Treasuries. Individual issuers that contributed positively to performance included Time Warner Cable, State of California, andCapital One, while negative contributors included Metropolitan Water, Citigroup, and Dow Chemical.The Plan’s fixed income segment returned 1.58% in the quarter, which underperformed the Barclays Aggregate return of1.84%.The separately managed fixed income portfolio returned 1.6%, which underperformed the BC Aggregate Index.The Pimco Total Return Bond Fund gained 1.3% in the quarter, which placed it in the 85th percentile of Morningstar’s Intermediate-Term Bond Universe. The Fund underperformed the BC Aggregate Index.The Pimco High Yield Fund returned 2.71% in the quarter which was slightly under the BofA Merrill Lynch U.S. High Yield, BB-B Indexreturn of 2.98%. The Fund placed in the 52ndpercentile of Morningstar’s High Yield Bond UniversePARS: County of Contra Costa6
DISCUSSION HIGHLIGHTSAlternative InvestmentsIt was a fairly lackluster quarter for the alternative asset segment, with the exception of managed futures. On the heels of the fourth quarter wherethe AQR Managed Futures Fund registered a 7.42% return, many of the trends that the Fund had followed reversed course, and the Funddeclined -6.04% in the first quarter. All four asset classes (currency, equity, fixed income, and commodities) experienced some degree of decline.The Fund’s return was in-line with the NewEdge CTA Sub-Trend Index return of -5.89%, which is a benchmark of trend-following hedge funds.The managers indicated in their quarterly report that the quarterly return was a -1.2 standard deviation event, which they would expect to occurevery 2 – 4 years. While we were disappointed with AQR’s performance, we expect managed futures to be the most volatile of the alternativestrategies we utilize.Investment returns for the Arbitrage Fund (-0.54%) were slightly in the red due in part to exposure to the failed Liberty Media tender offer for SiriusXM, as well as the Albertson acquisition of Safeway. In this transaction, the spread widened due to expectations of a competitive bid that failed tomaterialize. The Eaton Vance Global Macro Fund was basically flat for the quarter, returning .07%. Positive contributors to performance includedlong Slovenian credit, long positions in the Indonesian Rupiah and Indian Rupee, as well as being long both currency and credit exposure to SriLanka. Negatives for the Fund included a short position in Spanish credit, Japanese currency and equity exposure, and long exposure to theKazakhstani Tenge as the Country’s central bank devalued the currency in February.The alternative investment segment returned -1.94% in the first quarter, trailing the Hedge Fund Research Institute Market DefensiveIndex return of -1.40%.The Arbitrage Fund returned -0.54% in the quarter which ranked in the 78thpercentile of Morningstar’s Market Neutral Universe.The JP Morgan Research Market Neutral Fund returned 0.58%, which placed the Fund in the 44thpercentile of the MorningstarMarket Neutral Universe.The Eaton Vance Global Macro Absolute Return Fund posted a 0.07% return, which placed in the 88thpercentile of the MorningstarNon-Traditional Bond Universe.The AQR Managed Futures Fund’s return of -6.04% ranked in the 87thpercentile of Morningstar’s Managed Futures Fund Universe.PARS: County of Contra Costa7
PARS: County of Contra CostaDISCUSSION HIGHLIGHTSAsset Allocation/Portfolio TransitionsSeveral minor portfolio transitions took place in the quarter:The small cap, mid-cap, and large cap equity allocation were reduced by 0.5% respectively. Emerging market equities were reducedby 0.5% The global equity allocation was increased by 1.0%, while the developed international equity allocation was increased by1.0% as well.In the quarter we neutralized our overweight to growth over value across small cap, mid-cap, and large cap equities. This decisionwas based on valuations that we believe are over-extended for growth oriented investments..8
INVESTMENT STRATEGY As of March 31, 2014Tactical Asset Allocation Asset Class% Portfolio WeightingRationaleTargetCurrent PortfolioOver/Under Weighting Cash1.0%1.1% .1%Fixed Income38.0%37.2% -.8%We remain underweight fixed income due to concerns regarding the impact of a rise in interest rates. We continueto forecast fixed income returns to range between 2-3% for intermediate-term bonds over the next three to fiveyears.High Yield0.0%1.0% 1.0%We maintain our modest position in high yield, but we do have concerns regarding the spread compression withinthe high yield sector. High yield finished the quarter with a 377 basis point spread to the U.S. Treasury yield curve,in comparison to long-term averages of roughly 600 basis points.Alternatives10.0%11.9% 1.9%Our overweight in alternatives is a functionof our desire to be underweight fixed income.Real Estate (REITS)4.0%1.5% -2.5%We maintain our underweight allocation to REITs due to concerns about valuation, as well as the impact on REITsdue to a forecasted rise in interest rates. We believe the first quarter’s strength in REITs will not be repeated duringthe second quarter.Global Equity7.0%9.0% 2.0%We increased our overweight to global equities in the quarter. The MSCI-ACWI is trading at 14 times forwardestimated earnings. Europe is showing signs of economic improvement. Geopolitical events in Crimea, as well aselections in various emerging market nations, will be watched closely.International (Developed)9.0%9.0% -As stated above, international equity markets are trading at more attractive relative valuations, compared withdomestic U.S. markets. The MSCI-EAFE Index trades at 13.8 times forward estimated earnings and has a 3.1%dividend yield.International (Emerging)0.0%1.5% 1.5%We reduced the allocation by 0.5% in the quarter. We maintain a modest allocation, as valuation levels at 10 timesestimated forward earnings do appear attractive.Total Domestic Equity31.0%28.7% -2.2%Large Cap17.0%18.6% 1.6%The large cap equity allocation is still an “overweight” in the Plan. Compared to small cap and mid cap equities, largecap stocks appear to be more reasonably valued.Mid Cap6.0%4.6% -1.4%We increased our underweight to mid-cap equities due to valuations which are currently trading at 20 times nextyear’s estimated earnings.Small Cap8.0%5.6% -2.4%We also increased our underweight in small cap stocks based on valuations at 20 times next year’s estimatedearnings.PARS: County of Contra Costa9
PARS: County of Contra Costa12/31/201312/31/20133/31/20143/31/2014 TargetAsset AllocationMarket Value% of Total Market Value % of Total AllocationLarge Cap EquitiesColumbia Contrarian Core Z5,177,4734.0%5,784,2484.3% -Sentinel Common Stock I4,346,9973.4%4,437,9443.3%T. Rowe Price Equity Income Fund2,581,1102.0%3,034,8522.2% -Loomis Sayles Value Fund3,896,0093.0%4,414,4353.3% -Harbor Capital Appreciation Instl4,191,3183.2%3,728,7282.8% -T. Rowe Price Growth Stock Fund4,189,8193.2%3,705,7142.7% -Total Large Cap Equities24,382,72618.9%25,105,92118.6% 17.0%RangeRange 13-32%Mid Cap EquitiesTIAA-CREF Mid-Cap Value Instl2,916,8242.3%3,100,2592.3% -Nationwide Geneva Mid Cap Growth Fund3,544,2222.7%3,077,6862.3% -Total Mid Cap Equities6,461,0455.0%6,177,9444.6%6.0%RangeRange 2-10%Small Cap EquitiesColumbia Small Cap Value Fund II3,531,2632.7%3,787,9352.8% -T. Rowe Price New Horizons Fund4,176,4883.2%3,762,3832.8% -Total Small Cap Equities7,707,751$ 6.0%7,550,318$ 5.6%8.0%RangeRange 4-12%International Nationwide Bailard Intl Equities Fund3,601,2292.8%4,425,6433.3% -Dodge & Cox International Stock Fund4,235,8353.3%4,776,8793.5% -MFS International Growth Fund2,602,3832.0%3,049,3862.3% -Schroder Emerging Market Equity2,596,2882.0%2,059,2631.5% -Total International 13,035,735$ 10.1%14,311,171$ 10.6%9.0%RangeRange 4-16%GlobalTempleton Global Opportunities A LW10,459,8018.1%12,251,4479.1% -Total Real Estate10,459,801$ 8.1%12,251,447$ 9.1%7.0%RangeRange 4-12%Real EstateNuveen Real Estate Secs I Fund1,925,4241.5%2,026,6971.5% -Total Real Estate1,925,424$ 1.5%2,026,697$ 1.5%4.0%RangeRange0-8%Asset AllocationPeriod Ending March 31, 201410
PARS: County of Contra Costa12/31/201312/31/20133/31/20143/31/2014 TargetAsset AllocationMarket Value% of Total Market Value % of Total AllocationFixed IncomeCore Fixed Income Holdings39,980,756$ 31.0%43,323,51332.0% -PIMCO Total Return Instl Fund7,091,4215.5%5,620,5904.2% -PIMCO High Yield Instl1,282,5401.0%1,325,8291.0% -Total Fixed Income48,354,718$ 37.5%50,269,932$ 37.2% 38.0% Range Range 30-50%AlternativesAQR Managed Futures I$4,868,1503.8%5,074,7713.8% -Arbitrage I$3,196,5282.5%3,360,3252.5% -Eaton Vance Glbl Macro Abs Ret I$4,797,2593.7%5,024,2763.7% -JP Morgan Research Market Neutral I$2,570,3612.0%2,681,0702.0% -Total Alternatives15,432,298$ 12.0%16,140,441$ 11.9% 10.0% Range Range 5-20%CashMoney Market1,342,939$ 1.0%1,423,1921.1% -Total Cash1,342,939$ 1.0%1,423,192$ 1.1%1.0%RangeRange0-5%TOTAL129,102,437$ 100.0% 135,257,063$ 100.0% 100.0%11
PARS: County of Contra CostaInvestment SummaryFirst QuarterBeginning Value129,408,886.38$ Net Contributions/Withdrawals4,766,179.46 Fees Deducted-40,733.50 Income Received469,612.77 Market Appreciation959,806.91 Net Change in Accrued Income-45,966.35Ending Market Value135,517,785.67$ Investment SummaryPeriod Ending March 31, 201412
Inception Date: 02/01/2011* Benchmark from February 1, 2011 to June 30, 2013: 18% Russell 1000 Index, 6% Russell Midcap Index, 8% Russell 2000 Index, 8% MSCI AC World ex US Index, 10% MSCI EAFE Index, 45% Barclays Aggregate Index, 4% DJ Wilshire REIT Index, 1% Citigroup 3 Month T-Bill Index. From July 1, 2013: 17% Russell 1000 Index, 6% Russell Midcap Index, 8% Russell 2000 Index, 7% MSCI AC World ex US Index, 9% MSCI EAFE Index, 38% Barclays Aggregate Index, 4% DJ Wilshire REIT Index, 10% HFRI Fund of Funds Market Defensive Index, 1% Citigroup 3 Month T-Bill IndexReturns are gross-of-fees unless otherwise noted. Returns for periods over one year are annualized. The information presented has been obtained from sources believed to be accurate and reliable. Past performance is not indicative of future returns. Securities are not FDIC insured, have no bank guarantee, and may lose value.PARS: County of Contra CostaSectorYear to Date (3 Months) 1 Year 3 YearsInception to Date (38 Months)Cash Equivalents .01 .02 .02 .02 iMoneyNet, Inc. Taxable .00 .00 .00 .00Fixed Income ex Funds 1.60 -.01 4.33 4.37Total Fixed Income 1.58 -.04 4.45 4.50 BC US Aggregate Bd Index 1.84 -.09 3.76 3.66Total Equities 1.41 19.45 11.77 11.65Large Cap Funds .98 23.38 14.75 13.64 Russell 1000 Index 2.06 22.44 14.75 15.26Mid Cap Funds 1.42 19.47 12.43 12.59 Russell Midcap Index 3.53 23.51 14.37 15.47Small Cap Funds 2.22 29.33 16.16 16.76 Russell 2000 Index 1.12 24.90 13.19 15.29REIT Funds 9.35 4.31 10.16 9.89 Wilshire REIT Index 10.13 4.45 10.53 11.02International Equities .93 16.93 6.76 7.20 MSCI EAFE Index .66 17.57 7.22 7.16 MSCI AC World Index 1.41 19.45 11.77 11.65 MSCI EM Free Index -.43 -1.45 -2.87 -1.24Alternatives -1.94-100.00 -100.00 -100.00 HFRI FOF Market Def -1.40 -2.31 -2.89 -2.75Total Account Net of Fees .99 8.97 7.59 7.37 County of Contra Costa* 1.76 9.37 7.85 8.17Selected Period PerformancePARS/COUNTY OF CONTRA COSTA PRHCPAccount 6746038001Period Ending: 03/31/201413
PARS: County of Contra CostaYTD1-Year3-Year5-Year10-YearFund NameReturn Rank Return Rank Return Rank Return Rank Return RankSentinel Common Stock I(7/13) 1.31 67 19.89 70 13.51 49 20.38 42 8.37 12Columbia Contrarian Core Z(7/13) 1.02 78 23.04 28 15.38 13 22.54 9 9.59 2T. Rowe Price Equity Income 1.59 80 18.55 75 13.24 52 21.26 21 7.52 32Harbor Capital Appreciation Instl -0.12 65 28.60 11 15.22 14 20.57 38 8.46 23Loomis Sayles Value Fund (7/11) 2.46 40 23.67 19 14.75 18 20.10 42 9.21 4T. Rowe Price Growth Stock-1.24 87 27.62 14 15.46 12 22.03 19 8.59 21Idx: Russell 1000 2.05 -- 22.41 -- 14.75 -- 21.73 -- 7.80 --TIAA-CREF Mid-Cap Value Instl4.13 18 22.61 53 13.73 46 23.60 52 10.24 10Idx: Russell Mid Cap Value5.22 -- 22.95 -- 15.17 -- 26.35 -- 10.24 --Nationwide Geneva Mid Cap Growth-1.07 91 16.81 95 11.00 58 21.72 59 9.82 29Idx: Russell Mid Cap Growth2.04 -- 24.22 -- 13.52 -- 24.73 -- 9.47 --Columbia Small Cap Value II Z2.22 33 25.71 24 13.44 34 24.71 47 9.87 18Idx: Russell 2000 Value1.78 -- 22.65 -- 12.74 -- 23.33 -- 8.07 --T. Rowe Price New Horizons1.71 20 33.71 9 19.45 1 30.53 1 12.04 3Idx: Russell 2000 Growth0.48 -- 27.19 -- 13.61 -- 25.24 -- 8.87 --Dodge & Cox International Stock2.76 4 25.25 1 8.79 9 20.52 4 9.25 7Nationwide Bailard Intl Eqs InSvc1.45 16 18.02 20 7.06 27 16.31 24 7.69 21MFS International Growth I-0.93 64 8.11 87 6.07 50 16.48 45 8.08 21Templeton Global Opportunities A LW1.37 49 23.01 17 9.66 53 16.93 69 7.85 42Idx: MSCI EAFE0.66 -- 17.56 -- 7.21 -- 16.02 -- 6.53 --Idx: MSCI ACWI1.08 -- 16.55 -- 8.55 -- 17.80 -- 6.97 --Schroder Emerging Market Equity(11/12) -2.63 86 -2.22 53 -2.20 44 14.04 53 -- --Idx: MSCI Emerging Markets-0.43 -- -1.45 -- -2.87 -- 14.47 -- 10.11 --Nuveen Real Estate Secs Y10.51 6 4.84 26 10.37 19 28.07 31 9.88 4Idx: Wilshire REIT 10.13 -- 4.45 -- 10.53 -- 29.25 -- 8.19 --Pimco Total Return Inst'l 1.30 85 -1.24 88 4.15 43 6.87 44 5.89 5BarCap US Aggregate Bond1.84 -- -0.10 -- 3.75 -- 4.80 -- 4.46 --Pimco High Yield Inst'l(2/12) 2.71 52 6.26 64 7.78 49 16.23 44 7.67 37Merrill Lynch US High Yield BB-B3.15 -- 6.93 -- 8.36 -- 15.71 -- 7.82 --Arbitrage I(7/13) -0.54 78 0.92 65 1.54 34 2.99 29 2.88 18AQR Managed Futures (7/13) -6.04 87 -0.17 20 0.59 1 -- -- -- --Eaton Vance Glbl Macro Abs Ret (7/13) 0.07 88 -1.63 76 1.04 76 3.54 73 5.06 --JPMorgan Research Market Neutral Instl (7/13) 0.58 44 2.38 36 0.33 66 0.83 55 2.26 44Data Source: Morningstar, SEI Investmentsbelieved accurate and reliable. Securities are not FDIC insured, have no bank guarantee and may lose value.Returns less than one year are not annualized. Past performance is not indicative of future returns. The information presented has been obtained from sourcesALTERNATIVE FUNDSREIT EQUITY FUNDSBOND FUNDSPARS/COUNTY OF CONTRA COSTAFor Period Ending March 31, 2014LARGE CAP EQUITY FUNDSMID CAP EQUITY FUNDSSMALL CAP EQUITY FUNDSINTERNATIONAL EQUITY FUNDS14