HomeMy WebLinkAboutMINUTES - 06092015 - C.188RECOMMENDATION(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 7, 2015 quarterly meeting for the period ending March 31, 2015:
APPROVE OTHER
RECOMMENDATION OF CNTY ADMINISTRATOR RECOMMENDATION OF BOARD COMMITTEE
Action of Board On: 06/09/2015 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
ABSENT: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: June 9, 2015
David Twa, County Administrator and Clerk of the Board of Supervisors
By: June McHuen, Deputy
cc:
C.188
To:Board of Supervisors
From:David Twa, County Administrator
Date:June 9, 2015
Contra
Costa
County
Subject:Quarterly Report of the Post Retirement Health Benefits Trust Agreement Advisory Body
BACKGROUND: (CONT'D)
Investment Summary First Quarter 2015
Beginning Value $155,218,379.57
Net Contributions/Withdrawals 4,846,533.32
Fees Deducted -42,735.07
Income Received 618,576.17
Market Appreciation 3,820,541.92
Net Change in Accrued Income -61,878.97
Ending Market Value $164,399,416.94
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
ATTACHMENTS
First Quarter 2015
PARS: County of Contra CostaFirst Quarter 2015Presented byAndrew Brown, CFA
DISCUSSION HIGHLIGHTS U.S. Economic and Market Overview While U.S. economic growth moderated somewhat from previous levels, equity and fixed income markets continued to build on 2014’s strong performance. The U.S. economy remained robust in comparison with the rest of the world and quantitative easing in Europe helped fuel asset price gains resulting in international equity returns outpacing domestic. The U.S. dollar continued to strengthen versus foreign currencies to the disappointment of domestic multi-national firms reliant on foreign earnings and oil prices fell a further 13% during the quarter to $47.60, its lowest level in six years and down more than 50% since June of 2014. GDP growth for 2014 was 2.4% despite contracting in the first quarter and expanding at a somewhat underwhelming 2.2% pace during the fourth quarter. Economic signals during 1Q15 have been somewhat mixed. First quarter 2015 retail sales disappointed which contributed to lowering our estimated Gross Domestic Product (GDP) from 3.00 to 2.25% on an annualized basis. Shoppers may well have stayed away from the mall in many snow-bound states during the quarter as they did in the first quarter of 2014 when GDP fell by 2.1% following poor weather only to rebound strongly for the balance of 2014. Interest rates decreased across most maturities during the quarter with the 10-yr Treasury down 23 bps to finish at 1.94%. There was some significant rate volatility during the quarter with the 10-yr Treasury decreasing by 49 bps in January (the largest one-month drop since August 2011 during the budget uncertainty). Geopolitical turmoil in Yemen, Ukraine, Greece, and Russia continued to send assets seeking safe harbor to U.S. securities. Additionally, the European Central Bank’s bond-buying program pushed already rock-bottom yields for European government bonds to near or below-zero levels, driving further demand for relatively higher-yielding U.S. Treasuries. Inflation also continues to remain benign. Employment gains have been an ongoing strength for the U.S. economy until they hit a soft patch in March. March’s nonfarm payroll gains of 126,000 was the first report that did not exceed 200,000 since February 2014. While many pundits were quick to point to inclement weather weighing on the gains, the slowdown was seen across most geographies in the U.S., including those that did not experience adverse weather. While one month’s data does not make a trend, general demand growth has been tepid, and job growth, at least in March, matched those trends. With some disappointing economic indicators over the first quarter of 2015 and stagnant global growth, the Federal Reserve may be less optimistic than before about the prospects for domestic growth in coming quarters. Despite generally healthy employment levels, the Fed is acutely concerned about softening inflation and even the risk of deflation that is threatening many developing economies. Market overview/Performance Discussion Total Plan The County of Contra Costa OPEB Plan returned 2.70% net of investment fees, in the first quarter, which was in-line with the County’s Plan benchmark return target of 2.67%. Positive contributors to performance during the quarter included Fixed Income, Large Cap Equity, Small Cap Equity, and Alternatives. Detractors to performance for the quarter included Mid-Cap Equity and REITs. International Equity fund returns 1
were mixed relative to their respective benchmarks, however the overweight to International acted as a positive contributor during the quarter; a slight overweight to Alternatives also helped the Plan’s performance as Alternatives outpaced Fixed Income and were close to matching equity returns. International and Alternatives overweights helped offset the negative contribution from being underweight REITs. Domestic Equity All major equity indices across all capitalization levels and geographies were positive during the quarter. International developed led at +4.9% (MSCI EAFE) followed by Small Cap at +4.3% (Russell 2000), Mid-Cap +4.0% (Russell Mid Cap), Emerging Markets +2.2% (MSCI EM), and Large Cap +1.6% (Russell 1000). The U.S. stock market, as defined by the broad Wilshire 5000 Total Market Index, has not experienced a down quarter in almost 3 years and the S&P 500 is up 248% on a total return basis from the March 2009 lows. Large Cap stocks, the strongest performer during 2014, took a bit of a pause during the quarter, and growth significantly outperformed value by 456 bps. Sector performance was mostly positive as 7 of the 10 sectors in the Russell 1000 ended the quarter in positive territory. Laggards included Financials (-0.9%), Energy (-2.3%), and Utilities (-5.1%). Energy is the only sector in the Russell 1000 with negative returns for the past 1-yr period and is now a significant laggard relative to other sectors on longer 3- and 5-yr periods. Despite lagging international equities for the quarter, domestic equity valuations remain somewhat elevated. The S&P 500 has a forward P/E of 16.9x versus 15.5x a year ago, the 5-yr average of 13.6x, and the 20-yr average of 16.2x. Other valuation metrics are also incrementally higher versus historical averages: the dividend yield of 1.9% versus the 25-yr average of 2.1% and Price to Cash Flow of 11.8x versus the 25-yr average of 11.3x. Mid-Cap and Small Cap look similarly expensive versus history with Mid-Cap trading at 19.6x forward P/E (20-yr average of 16.6x) and Small Cap at 18.6x forward P/E (20-yr average of 17.4x). The Plan’s large-cap funds returned 2.09% in the quarter, which outperformed the Russell 1000 Index return of 1.59%. The Sentinel Common Stock Fund returned 1.37% in the quarter, which underperformed the benchmark. The Fund ranked in the 41st percentile of the Morningstar Large Cap Blend Universe. The Columbia Contrarian Core Fund returned 1.20% in the quarter, which underperformed the benchmark. The Fund ranked in the 46th percentile of the Morningstar Large Cap Blend Universe. The Harbor Capital Appreciation Fund returned 5.55% in the quarter, which outperformed the Russell 1000 Growth Index’s return of 3.84%. The Fund ranked in the 12th percentile of the Morningstar Large Cap Growth Universe. The T. Rowe Price Growth Stock Fund returned 6.04% in the quarter, which outperformed the Russell 1000 Growth Index. The Fund ranked in the 7th percentile of the Morningstar Large Cap Growth Universe. The Dodge and Cox Stock Fund returned -1.19% in the quarter, which underperformed the Russell 1000 Value Index’s return of -0.72%. The Fund ranked in the 90th percentile of the Morningstar Large Cap Value Universe. The Loomis Sayles Value Fund posted a -0.38% return in the quarter, which outperformed the Russell 1000 Value Index. The Fund ranked in the 67th percentile of the Morningstar Large Cap Value Universe. The mid-cap equity segment returned 3.67% in the quarter, which underperformed the Russell Mid-Cap Equity return of 3.95%. The TIAA-CREF Mid-Cap Value Fund returned 2.85% in the quarter, which outperformed the Russell Mid-Cap Value Index return of 2.42%. The Fund ranked in the 47th percentile of the Morningstar Mid-Cap Value Universe. 2
The Ivy Mid Cap Growth Fund returned 3.99% in the first quarter, which underperformed the Russell Mid Cap Growth Index return of 5.38%. The Fund ranked in the 77th percentile of the Morningstar Mid-cap Growth Universe. The small-cap equity segment returned 5.07% in the quarter, which outperformed the Russell 2000 Index return of 4.32%. The T. Rowe Price New Horizons Fund returned 6.40% in the quarter, and slightly underperformed the Russell 2000 Growth Index return of 6.63%. The Fund ranked in the 38th percentile of Morningstar’s Small Cap Growth Universe. The Columbia Small Cap Value Fund II returned 3.93% in the quarter, and outperformed the Russell 2000 Value Index’s return of 1.98%. The Fund ranked in the 18th percentile of Morningstar’s Small Cap Value Universe. Real Estate REITs began 2015 with a strong start posting +4.7% returns for the first quarter. That said, similar to fixed income, there was some noticeable volatility during the period. Rates fell during January which supported further appreciation in the price of REITs. Following the robust and positively surprising January jobs number (+257,000 jobs, the biggest increase since November 2008), market participants feared that this might represent a catalyst for the Fed to reduce its accommodative stance. As a result, the 10-yr Treasury widened from 1.73% at the end of January to 2.24% at the beginning of March. Fed posturing during the back-half of the quarter was somewhat dovish given the mixed economic data points that came in and, as a result, REITs resumed their march upward. Within REITs, self storage was one of the strongest performing areas, followed by manufactured housing and apartments. There has also been an increase in M&A in the space, with the failed take-over attempt of Macerich by Simon Property Group, the largest public REIT, garnering extensive attention. The Nuveen Real Estate Securities Fund returned 4.17% in the first quarter, which underperformed the Wilshire REIT Index return of 4.67%. The Fund placed in the 62nd percentile of the Morningstar Real Estate Manager’s Universe. Global/International Equity Developed international equities posted the best relative returns during the quarter, potentially reversing a trend of the persistent and pervasive underperformance seen for several quarters. Much of this relative performance can be attributed to the European Central Bank’s QE program, which plans to purchase $60 billion worth of bonds each month until at least September 2016. This action was broadly anticipated, but the magnitude of the program surprised some investors. One of the largest impacts of this program that was substantially priced into the markets during 2014 was U.S. dollar strength/Euro weakness. While U.S. dollar strength continued during the quarter, it has also helped reignite Eurozone economies and stock markets with the MSCI Europe up ~17% for the quarter in local currency terms and 3.5% in U.S. dollars. There were several additional data points that provided a positive backdrop to European stocks during the quarter: a European Commission survey that found economic sentiment in the 19-member Eurozone to be at its highest level in almost three years, purchasing managers surveys across the Eurozone at their highest levels since 2011, the highest consumer confidence readings since before the 2008 global financial crisis, lower borrowing costs for Eurozone companies to support expansion, and low oil prices and a strong U.S. dollar to support exports and profit margins. 3
Europe still faces significant hurdles, including high unemployment and dangerously low inflation, but the early signs of recovery are encouraging. European equities remain undervalued versus U.S. stocks even accounting for the recent bull market, particularly with U.S. earnings-per-share growth looking weak to possibly negative for the remainder of 2015. Emerging markets also rose during 1Q15 particularly following the dovish comments from the Fed that they were not going to rush to raise rates. Several geopolitical and regional items also helped assist in the positive returns: a February deal to end the almost year-old Ukraine crisis had investors speculating that sanctions on Russia may be eased and several countries cut their interest rates during the quarter. That said, there was some mounting evidence of slowing growth in many countries. Brazil and Russia are expected to enter a recession if they are not already in one, and China lowered its official growth goal to 7% from 7.5%. U.S. dollar strength continues to contribute to losses in many countries where the currency weakened against the dollar. Lastly, the decline in leading indicators for global industrial production are factors which are often closely linked to emerging market equity performance, and, as a result, we have moved to slightly underweight Emerging Markets. The Plan’s international/global equity segment returned 3.62% in the quarter. This return underperformed the MSCI-EAFE Index 4.88%, but outperformed the MSCI-EM Index return of 2.24% and the MSCI-ACWI Index return of 2.31%. The Nationwide Bailard International Equity Fund returned 4.49% in the quarter, and underperformed the MSCI-EAFE Index. The Fund ranked in the 62nd percentile of the Morningstar Foreign Large Blend Universe. The Dodge & Cox International Stock Fund returned 4.20% in the quarter and underperformed the MSCI-EAFE Index. The Fund ranked in the 68th percentile of the Foreign Large Blend Universe as measured by Morningstar. The MFS International Fund returned 5.11% in the quarter and underperformed the MSCI-EAFE Index. The Fund ranked in the 51st percentile for foreign large cap growth managers as measured by Morningstar. The Templeton Global Opportunities Fund’s return of 2.09% in the quarter underperformed the MSCI-ACWI benchmark return of 2.31%, and ranked in the 68th percentile of the Morningstar World Stock Index Universe. Three quarters of this position was sold during the quarter and the proceeds were used to fund positions in the iShares All Country World Index ETF (ACWI) and the American Funds New Perspective Fund – the remainder of the fund will be liquidated during the 2Q15 and a second mutual fund will be added: The American Funds New Perspective Fund’s return of 4.72% in the quarter outperformed the MSCI-ACWI benchmark and ranked in the 17th percentile of the Morningstar World Stock Index Universe. The DJ Euro-Stoxx 50 ETF returned 4.53% in the quarter, which underperformed the MSCI-EAFE Index. The Schroder Emerging Market Equity Fund returned 2.94% during the quarter and outperformed the MSCI-EM benchmark return of 2.24%. The Fund ranked in the 23rd percentile of the Morningstar Emerging Market Universe. Fixed Income The Barclays Capital U.S. Aggregate Bond Index returned 1.6% in the first quarter as U.S Treasuries gained 1.5%, Investment-grade corporate bonds advanced 2.3%, and agency Mortgage-Backed Securities returned 1.1%. After adjusting for differences in maturity, Investment-grade corporates outgained Treasuries by 27 basis points while MBS underperformed Treasuries by –50 basis points. Interest rates continued to decline again this quarter, averaging –25 basis points in five-years and beyond, while the two-year yield ended only 11 basis points lower. As a result, longer duration issues outperformed, as the thirty-year returned 5.1% while the two-year gained 0.5%. 4
There was little differentiation among quality tiers this quarter as securities rated single A by Standard & Poor's fared the best, generating an excess return of +18 basis points, while Aa rated, and above securities lagged modestly at +8 basis points of outperformance. The best performing industries were Chemicals, Environmental, Integrated Energy, Refining and Airlines. Index laggards during the quarter were the Metals, Packaging, Cable Satellite and Oil Field Services and Food/Beverage sectors. The quarter was characterized by noticeably higher volatility as conflict in the Middle East, the threat of Greece exiting the Euro, combined with declining commodity prices, harsh winter weather, and a labor slowdown at West Coast ports made it difficult to determine the true underlying strength of the economy. While expectations for a rise in the fed funds rate have steadily increased as the unemployment rate has decreased, the Fed’s decision regarding interest rates remains data dependent, and the timing uncertain. The Fed is committed to moving the funds rate off the zero interest rate bound out of concern that the unconventional policy has reached the point of diminishing returns and now may be more detrimental than beneficial. Unfortunately for the Fed, however, the robust job market seems to be outpacing growth in the underlying economy. Strong job growth in manufacturing, residential construction, and retail sales, seems inconsistent with the recent slower growth rates in those industries. In addition, company revenue and earnings forecasts, commodity prices, and inflation are slowing, all of which cast some doubt on the true strength of the job market. As a result, the Fed is approaching any interest rate moves with great caution, and at the recent meeting in March lowered their year-end forecast for fed funds to 0.6% from 1.1%. In Europe slower growth and lower inflation finally elicited a response from the European Central Bank in January as they announced a massive bond purchasing program comparable in size to the U.S. effort. As a result of the ECB’s fight against deflation, almost a third of the euro area’s $6.3 trillion of government bond yields are now below zero. Low-to-negative yields in Europe and Japan have resulted in some reallocation internationally to the U.S. where yields remain relatively high, contributing to the downward pressure on yields here. At the current spread of +136 bp, investment-grade corporate bonds continue to offer a significant yield advantage over Treasuries and remain relatively attractive. As a result, we continue to overweight high-quality corporate bonds, including domestic banks which appear attractive based on current valuations and an improvement in fundamental credit quality. Although bank quality ratings are mostly lower than before the financial crisis, bank financial strength is generally much improved. Higher capital requirements, regulatory stress tests, and constraints on capital allocation have lowered the risks to bank bondholders, particularly at the senior debt level. We are also overweight the Energy sector where spreads are wide for obvious reasons. However, we hold only the highest quality names in this depressed sector, as we expect more volatility and a prolonged period of weak oil prices. Finally, the portfolio duration remains slightly shorter than the market, given the range of possible outcomes for interest rates. The Plan’s fixed income segment returned 1.90% in the quarter, which outperformed the Barclays Aggregate return of 1.61%. The separately managed fixed income portfolio returned 1.85% which outperformed the benchmark. The portfolio would have ranked approximately in the 20th percentile of the Morningstar Intermediate Term Bond Universe. The PIMCO Total Return Bond Fund returned 2.22% in the quarter, and outperformed the BC Aggregate Index. The Fund ranked in the 5th percentile of Morningstar’s Intermediate-Term Bond Universe. The PIMCO High Yield Bond Fund returned 2.46% in the quarter, and underperformed the Merrill Lynch US High Yield BB-B Index return of 2.67%. The Fund ranked in the 34th percentile of Morningstar’s High Yield Universe. 5
Alternative Investments Alternatives posted another strong quarter, with the HFRI FOF Market Defensive Index returning 2.37%. Alternative asset returns were relatively muted, with the notable exception of the AQR Managed Futures Fund up 8.56% following its 4Q14 return of up 9.79%. The Managed Futures fund was able to take advantage of strong market trends during the quarter in currencies, commodities, and fixed income. Eaton Vance Global Macro Absolute Return Fund also had a strong quarter returning 1.89%. The Arbitrage Fund’s return of 1.15% was relatively in-line with longer-term expectations for the asset class while the JPMorgan Research Market Neutral Fund’s return of -1.03% was disappointing. It is again worth noting that the Plan’s alternative assets outperformed the Plan’s fixed income sleeve which has been positioned defensively for a rise in interest rates; our expectation is that the Plan’s alternative assets should outperform the Plan’s fixed income investments when rates do eventually rise. The alternative investment segment returned 3.32% in the first quarter, which exceeded the Hedge Fund Research Institute Market Defensive Index return of 2.37%. The Arbitrage Fund returned 1.15% in the quarter which ranked in the 24th percentile of Morningstar’s Market Neutral Universe. The JPMorgan Research Market Neutral Fund returned -1.03%, which placed the Fund in the 69th percentile of the Morningstar Market Neutral Universe. The Eaton Vance Global Macro Absolute Return Fund posted a 1.89% return, which placed in the 14th percentile of the Morningstar Non-Traditional Bond Universe. The AQR Managed Futures Fund’s return of 8.56% ranked in the 23rd percentile of Morningstar’s Managed Futures Fund Universe. Asset Allocation/Portfolio Transitions During the quarter several changes were made to the portfolio. Most notably, passive ETFs were added to each major equity asset class in an effort to reduce tracking error to the Plan’s benchmark: 5.0% of the Large Cap allocation is now in the iShares Russell 1000 ETF 1.5% of the Mid-Cap allocation is now in the iShares Russell Mid-Cap ETF 3.0% of the Small Cap allocation is now in the iShares Russell 2000 ETF 2.0% of the International allocation is now in the iShares MSCI EAFE Index ETF 3.5% of the Global allocation is now in the iShares MSCI ACWI Index ETF 6
INVESTMENT STRATEGY As of March 31, 2015Tactical Asset Allocation Asset Class% Portfolio WeightingRationaleTargetCurrent PortfolioOver/Under Weighting Cash1.0%1.1% 0.1%Fixed Income38.0%37.3% -0.7%Fixed income is currently underweight versus the target allocation given our expectations for an increase in interest rates.While the magnitude and timing of a rate hike is in question given some of the recent softness in economic numbers, it isbroadly expected that the Fed will remove its zero interest rate policy during the next several quarters. As such, within thefixed income allocation, the investments are positioned somewhat defensively with an overweight to shorter-duration bonds.High Yield0.0%1.5% 1.5%With spreads widening in the high yield sector, we re-established a modest position in high yield during the 4Q14 andcontinue to maintain that position.Alternatives10.0%12.1% 2.1%Alternatives remain overweight and have recently been outpacing fixed income returns, a trend that we expect will continueover longer time periods in conjunction with an eventual rise in interest rates.Real Estate (REITS)4.0%2.0% -2.0%We continue to remain underweight REITs given our concerns about valuation and the anticipated impact of a rising interestrate environment on the asset class. REITs produced another strong, yet volatile, quarter on the back of returning over 30%in 2014 which has resulted in the asset class trading at further extended valuation levels.Global Equity7.0%6.8% -0.2%Global equities continue to trade at reasonable valuation levels and have benefited from a rebound in international equitiesafter a difficult 2014. Recent changes to the portfolio’s investments included adding a new manager in this space.International (Developed)9.0%9.9% 0.9%We remain overweight international developed equities which was a positive contributor to the Plan’s performance during thequarter. The ECB’s quantitative easing program that was announced during the quarter was well telegraphed, but the size ofthe program was larger than expected. Attractive valuations in Europe, coupled with the ECB’s actions helped place a firmbid on European equities resulting in developed international outpacing all other equities during the quarter. Despite theoutperformance, valuations remain relatively attractive especially if an earnings recovery materializes, with the MSCI EAFEtrading at 16.0X forward PE and the MSCI Europe Index trading at a 16.3X forward PE level.7
INVESTMENT STRATEGY As of March 31, 2015Tactical Asset Allocation Asset Class% Portfolio WeightingRationaleTargetCurrent PortfolioOver/Under Weighting International (Emerging)0.0%1.0% 1.0%We reduced our overall allocation to emerging markets by 0.5% during the quarter, but continue to maintain a 1.0% weight.With global growth uncertainty, coupled with ongoing currency headwinds given the U.S. dollar’s strength, we are cautious onthe asset class. However, with the MSCI-Emerging Market Index trading at an 11.9X forward PE level, it remains attractiverelative to other areas of the market.Total Domestic Equity31.0%29.8% -1.2%Large Cap17.0%17.8% 0.8%We maintain our overweight to large cap equities. At a 16.9X forward PE level, valuations remain attractive on a relative basisto mid- and small-cap domestic equities.Mid Cap6.0%4.0% -2.0%We continued to remain underweight based on valuation concerns, with the Russell Mid-Cap Index trading richer than bothlarge and small cap at a 19.6X forward PE ratio.Small Cap8.0%8.0% 0.0%We maintained a neutral allocation to small cap (we had been underweight during 2014 until 4Q14 when the allocation wasneutralized; small caps strongly underperformed during 2014) which was a positive contributor to performance; small capswere the best performing area of domestic equities during the quarter. Valuations, at a 18.6X forward PE ratio, remainelevated, but are somewhat near historical averages (20-yr average PE of 17.4X).8
PARS: County of Contra Costa12/31/201412/31/20143/31/20153/31/2015 TargetAsset AllocationMarket Value% of Total Market Value % of Total AllocationLarge Cap EquitiesColumbia Contrarian Core Z7,664,7365.0%5,690,9213.5% -Sentinel Common Stock I4,584,8603.0%2,454,9691.5% -iShares Russell 1000 ETF-0.0%8,139,1585.0% -Dodge & Cox Stock Fund3,083,4672.0%3,245,7152.0% -Loomis Sayles Value Fund5,385,4493.5%3,248,5112.0% -Harbor Capital Appreciation Instl4,199,1672.7%3,240,6462.0% -T. Rowe Price Growth Stock Fund4,238,7602.7%3,238,8242.0% -Total Large Cap Equities29,156,43818.8%29,258,74317.8% 17.0%Range 13-32%Mid Cap EquitiesiShares Russell Mid-Cap ETF-0.0%2,458,3041.5% -TIAA-CREF Mid-Cap Value Instl3,111,0062.0%2,039,8251.2% -Ivy Mid Cap Growth Fund I3,086,7022.0%2,045,1621.2% -Total Mid Cap Equities6,197,7074.0%6,543,2914.0%6.0%Range 2-10%Small Cap EquitiesiShares Russell 2000 ETF-0.0%4,914,8543.0% -Columbia Small Cap Value Fund II6,233,9314.0%4,121,9072.5% -T. Rowe Price New Horizons Fund6,172,5124.0%4,121,9282.5% -Total Small Cap Equities12,406,443$ 8.0%13,158,689$ 8.0%8.0%Range 4-12%International Nationwide Bailard Intl Equities Fund4,592,3083.0%3,230,2982.0% -iShares MSCI EAFE Index Fund-0.0%3,219,8582.0% -Dodge & Cox International Stock Fund5,080,8573.3%3,231,2422.0% -MFS International Growth Fund3,444,0442.2%3,246,9422.0% -Schroder Emerging Market Equity2,317,8031.5%1,641,1321.0% -SPDR EURO STOXX 50 ETF2,277,9481.5%3,234,4052.0% -Total International 17,712,960$ 11.4%17,803,877$ 10.9%9.0%Range 4-16%GlobalMSCI iShares ACWI Index ETF-0.0%5,691,9973.5%American Funds New Perspective F2-100.0%2,771,7211.7%Templeton Global Opportunities A LW10,780,9587.0%2,712,3841.7% -Total Global10,780,958$ 7.0%11,176,101$ 6.8%7.0%Range 4-12%Asset AllocationPeriod Ending March 31, 20159
PARS: County of Contra Costa12/31/201412/31/20143/31/20153/31/2015 TargetAsset AllocationMarket Value% of Total Market Value % of Total AllocationReal EstateNuveen Real Estate Secs I Fund3,062,1982.0%3,218,9732.0% -Total Real Estate3,062,198$ 2.0%3,218,973$ 2.0%4.0%Range0-8%Fixed IncomeCore Fixed Income Holdings48,951,34731.6%50,342,03130.7% -PIMCO Total Return Instl Fund5,939,8413.8%8,293,3225.1% -PIMCO High Yield Instl1,552,9031.0%2,501,4211.5% -Total Fixed Income56,444,090$ 36.5%61,136,774$ 37.3% 38.0% Range 30-50%AlternativesAQR Managed Futures I5,952,2073.8%5,872,8663.6% -Arbitrage I3,883,2142.5%4,965,6903.0% -Eaton Vance Glbl Macro Abs Ret I5,405,2033.5%5,401,3593.3% -JP Morgan Research Market Neutral I2,322,9261.5%3,694,6482.3% -Total Alternatives17,563,550$ 11.3%19,934,563$ 12.1% 10.0% Range 5-20%CashMoney Market1,514,3191.0%1,850,5941.1% -Total Cash1,514,319$ 1.0%1,850,594$ 1.1%1.0%Range0-5%TOTAL154,838,664$ 100.0% 164,081,606$ 100.0% 100.0%10
PARS: County of Contra Costa*Ending Market Value differs from total market value on the previous page due to differences in reporting methodology. The above ending market value is reported as of trade date and includes accruals. The Asset Allocation total market value is reported as of settlement date. Investment SummaryFirst QuarterYear to DateBeginning Value155,218,379.57$ 155,218,379.57$ Net Contributions/Withdrawals4,846,533.324,846,533.32 Fees Deducted-42,735.07-42,735.07 Income Received618,576.17618,576.17 Market Appreciation3,820,541.923,820,541.92 Net Change in Accrued Income-61,878.97-61,878.97Ending Market Value*164,399,416.94$ 164,399,416.94$ Investment SummaryPeriod Ending March 31, 201511
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 CostaSector3 Months 1 Year 2 Years 3 YearsInception to Date (50 Months)Cash Equivalents.00.02.02.02.02 iMoneyNet, Inc. Taxable .00.01.01.02.02Fixed Income ex Funds1.85 5.01 2.47 3.16 4.52Total Fixed Income1.90 5.02 2.46 3.53 4.63 BC US Aggregate Bd Index1.61 5.72 2.77 3.10 4.14Total Equities3.37 6.80 12.95 12.70 10.47Large Cap Funds2.09 11.18 17.12 16.12 13.04 Russell 1000 Index1.59 12.73 17.47 16.45 14.64Mid Cap Funds3.67 12.15 15.75 14.76 12.49 Russell Midcap Index3.95 13.68 18.50 18.10 15.05Small Cap Funds5.07 8.55 18.49 17.54 14.73 Russell 2000 Index4.32 8.21 16.26 16.27 13.55REIT Funds3.61 23.78 13.63 13.81 13.08 Wilshire REIT Index4.67 25.25 14.36 14.25 14.27International Equities3.62 -1.11 7.53 8.20 5.14 MSCI EAFE Index4.88-.92 7.92 9.02 5.16 MSCI EM Free Index2.24.44-.50.31-.84 MSCI AC World Index2.31 5.42 10.85 10.75 8.15Alternatives3.32 10.64-100.00 -100.00 -100.00 HFRI FOF Market Defensive Index2.37 10.34 3.88 2.26.27Total Managed Portfolio2.72 6.39 7.74 8.13 7.24Total Account Net of Fees2.70 6.27 7.61 8.00 7.10 County of Contra Costa*2.67 7.87 8.62 8.83 8.10Selected Period PerformancePARS/COUNTY OF CONTRA COSTA PRHCPAccount 6746038001Period Ending: 03/31/201512
PARS: County of Contra CostaCOUNTY OF CONTRA COSTA3-MonthYTD1-Year3-Year5-YearFund NameInception Return Rank Return Rank Return Rank Return Rank Return RankSentinel Common Stock I(7/13) 1.37 41 1.37 41 10.68 54 14.69 58 13.43 44Columbia Contrarian Core Z(7/13) 1.20 46 1.20 46 13.12 16 17.12 14 14.94 10T. Rowe Price Equity Income 6.04 7 6.04 7 16.85 19 17.05 16 16.23 9Harbor Capital Appreciation Instl 5.55 12 5.55 12 16.18 23 15.78 36 15.08 25Loomis Sayles Value Fund (7/11) -0.38 67 -0.38 67 7.68 57 16.88 9 12.98 33Dodge & Cox Stock(10/14) -1.19 90 -1.19 90 6.50 75 18.20 3 13.81 14iShares Russell 1000(3/15) 1.56 36 1.56 36 12.59 32 16.30 26 14.58 25Idx: Russell 1000 1.59 -- 1.59 -- 12.73 -- 16.45 -- 14.73 --TIAA-CREF Mid-Cap Value Instl2.85 47 2.85 47 11.47 23 16.95 47 14.69 32Idx: Russell Mid Cap Value2.42 -- 2.42 -- 11.70 -- 18.60 -- 15.84 --iShares Russell Mid-Cap(3/15) 3.92 50 3.92 50 13.51 17 17.91 34 15.98 34Ivy Mid Cap Growth I(5/14) 3.99 77 3.99 77 11.09 56 13.62 68 15.21 37Idx: Russell Mid Cap Growth5.38 -- 5.38 -- 15.56 -- 17.41 -- 16.43 --Columbia Small Cap Value II Z3.93 18 3.93 18 6.36 33 16.06 23 14.68 14Idx: Russell 2000 Value1.98 -- 1.98 -- 4.43 -- 14.79 -- 12.54 --iShares Russell 2000(3/15) 4.33 17 4.33 17 8.29 52 16.32 69 14.58 69T. Rowe Price New Horizons6.40 38 6.40 38 10.99 27 19.03 7 20.72 1Idx: Russell 2000 Growth6.63 -- 6.63 -- 12.06 -- 17.74 -- 16.58 --Dodge & Cox International Stock4.20 68 4.20 68 1.48 21 12.25 5 7.99 9Nationwide Bailard Intl Eqs InSvc4.49 62 4.49 62 1.01 25 10.15 16 7.08 17MFS International Growth I5.11 51 5.11 51 0.68 55 5.87 83 6.63 54iShares MSCI EAFE4.85 34 4.85 34 -1.05 50 8.92 23 6.05 29iShares MSCI ACWI(3/15) 2.60 27 2.60 27 5.56 30 10.78 46 8.98 29American Funds New Perspective F2(3/15) 4.72 17 4.72 17 8.00 18 13.58 15 11.24 20Templeton Global Opportunities A LW2.09 68 2.09 68 -3.38 93 10.20 62 7.14 84Idx: MSCI EAFE4.88 -- 4.88 -- -0.92 -- 9.02 -- 6.16 --Idx: MSCI ACWI2.31 -- 2.31 -- 5.42 -- 10.75 -- 8.99 --Schroder Emerging Market Equity(11/12) 2.94 23 2.94 23 0.84 33 0.88 41 1.81 42Idx: MSCI Emerging Markets2.24 -- 2.24 -- 0.44 -- 0.31 -- 1.75 --SPDR EURO STOXX 50 ETF(6/14) 4.53 50 4.53 50 -6.12 64 10.12 45 3.69 100LARGE CAP EQUITY FUNDSMID CAP EQUITY FUNDSSMALL CAP EQUITY FUNDSINTERNATIONAL EQUITY FUNDSFor Period Ending March 31, 201513
PARS: County of Contra Costa3-MonthYTD1-Year3-Year5-YearFund NameInception Return Rank Return Rank Return Rank Return Rank Return RankNuveen Real Estate Secs Y4.17 62 4.17 62 23.75 49 13.97 18 15.85 17Idx: Wilshire REIT 4.67 -- 4.67 -- 25.25 -- 14.25 -- 16.14 --Fixed Income Portfolio1.85 20 1.85 20 5.01 50 3.16 60 -- --Pimco Total Return Inst'l 2.22 5 2.22 5 5.64 22 4.03 27 4.98 35Idx: BarCap US Aggregate Bond1.61 -- 1.61 -- 5.72 -- 3.10 -- 4.41 --PIMCO High Yield Instl(11/14) 2.46 34 2.46 34 3.06 11 6.86 34 7.72 40Idx: Merrill Lynch US High Yield BB-B2.67 -- 2.67 -- 4.85 -- 7.87 -- 8.69 --Arbitrage I(7/13) 1.15 24 1.15 24 3.37 23 1.21 53 1.81 40AQR Managed Futures (7/13) 8.56 23 8.56 23 26.74 21 10.56 5 5.97 1Eaton Vance Glbl Macro Abs Ret (7/13) 1.89 14 1.89 14 4.90 8 2.11 63 2.23 62JPMorgan Research Market Neutral Instl (7/13) -1.03 69 -1.03 69 1.72 38 1.81 41 0.08 65Idx: HFRI Fund of Funds Market Def2.37 -- 2.37 -- 10.34 -- 2.26 -- 1.16 --Data 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 FUNDSCOUNTY OF CONTRA COSTA14
PARS: County of Contra CostaCOUNTY OF CONTRA COSTA20142013201220112010Fund NameInception Return Rank Return Rank Return Rank Return Rank Return RankSentinel Common Stock I(7/13) 10.62 63 31.04 61 14.92 57 1.79 21 14.90 31Columbia Contrarian Core Z(7/13) 12.92 31 35.73 17 18.67 10 -0.93 52 16.21 17T. Rowe Price Equity Income 8.83 65 39.20 12 18.92 14 -0.97 39 16.93 35Harbor Capital Appreciation Instl 9.93 53 37.66 17 15.69 43 0.61 24 11.61 82Loomis Sayles Value Fund (7/11) 10.76 48 35.54 14 19.70 4 -2.81 66 11.94 72Dodge & Cox Stock(10/14) 10.40 54 40.55 2 22.01 2 -4.08 74 13.49 47Idx: Russell 1000 13.24 -- 33.11 -- 16.42 -- 1.50 -- 16.10 --TIAA-CREF Mid-Cap Value Instl12.85 19 32.55 71 16.60 48 -2.17 34 21.20 59Idx: Russell Mid Cap Value14.75 -- 33.46 -- 18.51 -- -1.38 -- 24.75 --Ivy Mid Cap Growth I(5/14) 8.20 38 30.12 84 13.45 58 -0.31 24 30.38 13Idx: Russell Mid Cap Growth11.90 -- 35.74 -- 15.81 -- -1.65 -- 26.38 --Columbia Small Cap Value II Z4.61 42 40.14 20 14.57 61 -2.39 30 25.64 52Idx: Russell 2000 Value4.22 -- 34.52 -- 18.05 -- -5.50 -- 24.50 --T. Rowe Price New Horizons6.10 19 49.11 10 16.20 22 6.63 2 34.67 12Idx: Russell 2000 Growth5.60 -- 43.30 -- 14.59 -- -2.91 -- 29.09 --Dodge & Cox International Stock0.08 9 26.31 8 21.03 16 -15.97 81 13.69 6Nationwide Bailard Intl Eqs InSvc-1.94 15 21.68 28 20.87 17 -15.58 74 11.85 32MFS International Growth I-5.10 58 13.84 79 19.71 31 -10.62 40 15.24 35Templeton Global Opportunities A LW-4.06 93 25.75 48 22.27 7 -10.48 69 5.20 95Idx: MSCI EAFE-4.90 -- 22.78 -- 17.32 -- -12.14 -- 7.75 --Idx: MSCI ACWI4.16 -- 22.80 -- 16.13 -- -7.35 -- 12.67 --Schroder Emerging Market Equity(11/12) -4.61 70 -2.28 54 21.73 19 -16.70 20 13.49 92Idx: MSCI Emerging Markets-2.19 -- -2.60 -- 18.22 -- -16.15 -- -- --SPDR EURO STOXX 50 ETF(6/14) -8.36 73 27.43 34 20.48 55 -16.42 48 -8.94 95Nuveen Real Estate Secs Y31.28 17 1.32 58 18.34 22 7.96 50 30.57 12Idx: Wilshire REIT 31.78 -- 1.86 -- 17.59 -- 5.52 -- -- --REIT EQUITY FUNDSFor Period Ending December 31, 2014LARGE CAP EQUITY FUNDSMID CAP EQUITY FUNDSSMALL CAP EQUITY FUNDSINTERNATIONAL EQUITY FUNDS15
PARS: County of Contra CostaCOUNTY OF CONTRA COSTA20142013201220112010Fund NameInception Return Rank Return Rank Return Rank Return Rank Return RankFixed Income Portfolio4.74 69 -1.40 41 5.42 69 8.41 5-- --Pimco Total Return Inst'l 4.69 71 -1.92 60 10.36 12 4.16 87 8.83 26Idx: BarCap US Aggregate Bond5.97 -- -2.02 -- 4.21 -- 7.84 -- 6.54 --PIMCO High Yield Instl(11/14) 3.31 13 5.77 68 14.55 52 4.00 38 14.24 45Idx: Merrill Lynch US High Yield BB-B3.49 -- 6.31 -- 14.59 -- 5.39 -- 14.26 --Arbitrage I(7/13) 1.64 39 1.15 67 0.44 48 4.74 20 1.76 16AQR Managed Futures (7/13) 9.69 40 9.40 6 2.99 5 -6.37 29 0.00 0Eaton Vance Glbl Macro Abs Ret (7/13) 3.03 18 -0.24 58 4.11 79 -0.39 44 4.75 61JPMorgan Research Market Neutral Instl (7/13) 3.38 25 2.26 56 4.51 9 -7.04 86 -0.90 36Data Source: Morningstar, SEI Investmentsbelieved accurate and reliable. Securities are not FDIC insured, have no bank guarantee and may lose value.BOND FUNDSALTERNATIVE FUNDSReturns less than one year are not annualized. Past performance is not indicative of future returns. The information presented has been obtained from sources16