Investment Oversight As at 28 February 2017 Investment Oversight - PowerPoint PPT Presentation

Investment Oversight As at 28 February 2017

Investment Oversight As at 28 February 2017 San Bernardino County Employees’ Retirement Association Table of Contents Asset Class Allocation: Actual vs. Target …………………………………………………………………………………….... 1 Asset Class Performance: Actual vs. Policy …………………………………………………………………………………. 2 Asset Allocation and Performance……………………………………………………………………………………………... 4 Risk …………………………………..…………………………………………………………………………………………… 5 Long term Risk/Return of Plan vs. 60/40 Portfolio and Policy Returns………………….……………. 5 VaR , Sharpe and Scenario Analysis……………………………………………………………………… 6 The 4 Factor Model..………………………………………………………………………………………... 7 Performance Heat Map by Asset Class………….……………………………………………………………………………. 8 1 Month Performance………………………………………………………………................................... 8 3 Month Performance ……………………………………………………………………………………….. 9 12 Month Performance ……………………………………………………………………………………… 10 Global Strategy Overview………………………….……………………………………………….......................................... 11 Global Debt ..………………………………….………………………………………………...................... 11 Private Equity..………………………………………………………………………………....................... 12 Alpha Pool..……………………………………..……………………………………………...................... 13 Global Equity..………………………………….……………………………………………....................... 14 Real Assets and Real Estate………………………………………………………………………………. 15 Appendices……………...…………..……………………………………………………………………………………….......... 16

Investment Oversight As at 28 February 2017 San Bernardino County Employees’ Retirement Association Asset Class Allocation: Actual vs. Target Asset Allocation Actual $ Allocation Total % Target % 3.60% Asset Class Sub-Asset Class Target Range Allocation Allocation Physical Synthetic Total 15.31% 12.07% 0.47% Volatility 17,026,757 17,026,757 0.19% 3.00% 0%-8% 3.60% 11.29% 0.19% 12.07% L/S Equity 41,851,953 41,851,953 0.47% 2.00% 0%-7% 3.37% 13.25% US Equities Passive Large Cap 645,260,887 367,000,000 1,012,260,887 11.29% 6.00% 0%- 11% 9.27% 13.25% 17.45% Passive Small Cap 0 302,000,000 302,000,000 3.37% 2.00% -3%- 7% 6.82% 2.20% Sub-Total 704,139,598 1,373,139,598 15.31% 13.00% 8%-18% 1.36% 0.83% 4.67% 1.64% 3.10% 6.09% Developed Market 0 831,100,000 831,100,000 9.27% 6.00% 1% -11% 11.30% 6.09% 7.24% Emerging Market Equity 446,295,914 165,400,000 611,695,914 6.82% 6.00% 1% -11% -4.00% 14.39% 9.94% International Equities Volatility 121,924,103 121,924,103 1.36% 3.00% 0%-8% 13.18% Sub-Total 568,220,017 1,564,720,017 17.45% 15.00% 10%-20% US Core 0 277,800,000 277,800,000 3.10% 2.00% -3%-7% High Yield/Credit 1,013,124,752 1,013,124,752 11.30% 13.00% 8%-18% US Fixed Income Target Allocation Sub-Total 1,013,124,752 1,290,924,752 14.39% 15.00% 10%-20% International Core 36,905,708 -395,646,775 -358,741,067 -4.00% 1.00% -4%-6% 2.00% 7.00% 13.00% International Credit 1,111,394,725 -220,353,225 891,041,500 9.94% 11.00% 6%-16% International Fixed Income Emerging Market Debt 649,587,354 649,587,354 7.24% 6.00% 1%-11% 2.00% 7.00% 3.00% 2.00% 6.00% Sub-Total 1,797,887,787 1,181,887,787 13.18% 18.00% 13%-23% 16.00% 2.00% 6.00% 16.00% Real Estate Real Estate 545,788,529 545,788,529 6.09% 9.00% 4%-14% 15.00% 6.00% Commodities 146,961,169 146,961,169 1.64% 2.00% -1%-7% 2.00% 3.00% 1.00% 5.00% Infrastructure 74,453,828 74,453,828 0.83% 1.00% 0%-6% 2.00% 2.00% Real Assets Timber 197,483,246 197,483,246 2.20% 2.00% 0%-7% 9.00% 13.00% 9.00% Sub-Total 418,898,243 418,898,243 4.67% 5.00% 0%-10% 1.00% 15.00% 6.00% 11.00% Private Equity Private Equity 1,188,186,087 1,188,186,087 13.25% 16.00% 6%-21% Absolute Return Absolute Return 2,409,615,022 -1,327,300,000 1,082,315,022 12.07% 7.00% 0%-12% 18.00% Cash Cash 322,666,651 322,666,651 3.60% 2.00% 0%-10% Total 8,968,526,684 8,968,526,684 100.00% 100.00% 0.00% 1

Investment Oversight As at 28 February 2017 San Bernardino County Employees’ Retirement Association Asset Class Performance: Actual vs. Policy 1 Month Performance Month 3 Months Asset Class Sub-Asset Class Synthetic Weighted Synthetic Weighted Physical Physical Overlay Average Net Policy Overlay Average Net Policy International Credit 2.40% Return Return Return Return Return Return Emerging Market Equity 2.21% High Yield/Credit 2.04% Volatility -23.96% -23.96% -47.13% -47.13% Passive Large Cap 1.59% L/S Equity -0.31% -0.31% -2.72% -2.72% Absolute Return 1.11% Developed Markets 1.11% Passive Large Cap 1.87% 1.11% 1.59% 5.05% 6.67% 5.24% US Equities Passive Small Cap 1.11% US Core 1.11% Passive Small Cap 1.11% 1.11% 6.67% 6.67% Emerging Market Debt 1.07% International Core 0.96% Sub-Total 0.84% 0.97% 3.49% 1.49% 3.41% 7.23% Real Estate 0.83% Developed Markets 1.11% 1.11% 6.67% 6.67% Private Equity 0.47% Volatility (International) 0.05% Emerging Market Equity 2.61% 1.11% 2.21% 6.83% 6.67% 6.86% Timber 0.00% International Equities Infrastructure -0.07% Volatility 0.05% 0.05% 0.17% 0.17% L/S Equity -0.31% Cash -0.34% Sub-Total 2.05% 1.45% 1.41% 5.33% 6.23% 7.50% Commodities -2.30% US Core 1.11% 1.11% 6.67% 6.67% Volatility (US Equities) -23.96% 0% 5% 10% 15% 20% 25% 30% High Yield/Credit 2.04% 2.04% 3.61% 3.61% US Fixed Income Sub-Total 2.04% 1.84% 0.67% 3.61% 4.25% 1.01% 3 Month Performance International Core -0.61% 1.11% 0.96% 2.19% 6.67% 5.99% International Credit 2.66% 1.11% 2.40% 3.90% 6.67% 4.40% Emerging Market Equity 6.86% International Fixed Income Absolute Return 6.67% Emerging Market Debt 1.07% 1.07% 5.74% 5.74% Passive Small Cap 6.67% US Core 6.67% Sub-Total 1.90% 1.70% 0.29% 4.43% 5.04% 1.19% Developed Markets 6.67% International Core 5.99% Real Estate Real Estate 0.83% 0.83% 0.00% 0.70% 0.70% 1.77% Emerging Market Debt 5.74% Commodities -2.30% -2.30% 0.17% -1.07% -1.07% 2.02% Passive Large Cap 5.24% Infrastructure 4.70% Infrastructure -0.07% -0.07% 3.49% 4.70% 4.70% 7.23% International Credit 4.40% Real Assets High Yield/Credit 3.61% Timber 0.00% 0.00% 0.00% 0.00% 0.00% 0.67% Private Equity 1.96% Real Estate 0.70% Sub-Total -0.85% -0.85% 0.57% 0.39% 0.39% 2.17% Cash 0.35% Private Equity Private Equity 0.47% 0.47% 3.49% 1.96% 1.96% 7.23% Volatility (International) 0.17% Timber 0.00% Absolute Return Absolute Return 1.11% 1.11% 0.67% 6.67% 6.67% 1.01% Commodities -1.07% L/S Equity -2.72% Cash Cash -0.34% -0.34% 0.04% 0.35% 0.35% 0.12% Volatility (US Equities) -47.13% Total 0% 10% 20% 30% 40% 50% 1.14% 1.14% 1.44% 3.76% 3.76% 3.80% 2 All returns consider both reporting and non-reporting managers