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Home My WebLink AboutDocumentation_Pension Public Safety_Tab 03_11/18/2015 Village of Tequesta Public Safety Officers' Pension Fund Investment Performance Review 3rd Quarter 2015 3rd Quarter 2015 Market Environment Page 1 The Market Environment Major Market Index Performance As of September 30, 2015 Quarter Performance Duringthethirdquarterof2015,broadequitymarketspostedtheir weakestreturnssincethethirdquarterof2011.Macroeconomicand MSCI ACWxUS -12.2% geopoliticalnewsdrovethevolatilityofglobalequitymarkets MSCI EAFE -10.2% throughoutthequarter.Domesticmarketsfaredmodestlybetterthan -17.9% MSCI Emerg Mkts internationalindicesbutstillpostednegativereturnsforthequarter. S&P 500-6.4% ImprovingdomesticeconomicdatawasovershadowedbytheFederal Russell 3000-7.2% OpenMarketCommittee’s(Fed)decisiontoleaveshort-terminterest Russell 1000-6.8% ratesunchanged,citinglowinflationexpectationsandaweakening Russell MidCap -8.0% globaleconomyasreasonstomaintainanaccommodativemonetary Russell 2000 -11.9% policy.TheuncertaintysurroundingtheFed’sratedecisioncaused investorstoacceleratesalesoutofriskassets.Asaresult,theS&P Barclays US Agg 1.2% 500experienceditsfirstcorrectionsince2011,falling12.0%fromits Barclays US Govt 1.7% intra-quarterhigh. Barclays US TIPS -1.1% Barclays MBS1.3% Non-U.S.equityindicespostedtheweakestequityreturnsduringthe Barclays Corp IG0.8% quarterwithallthreebellwetherbenchmarkspostingdouble-digit lossesinU.S.dollars(USD)duringthethirdquarter.Exportheavy 3-Month T-Bill0.0% emergingmarketswerethehardesthitduringthequarterwithaUSD -20.0%-15.0%-10.0%-5.0%0.0%5.0% returnof-17.9%.Similartodomesticequitymarkets,thenegative 1-Year Performance resultsofinternationalequitymarketsweredrivenbymacroeconomic events.Astheworld’ssecondlargesteconomyandlargestexporterof MSCI ACWxUS-12.2% goods,China’sslowingeconomicgrowthprospectsdominated MSCI EAFE-8.7% MSCI Emerg Mkts headlinesthroughoutthequarter.Whilethepotentialimpactofa -19.3% Chineseslowdownresonatedthroughoutthefinancialmarkets, S&P 500-0.6% emergingmarketandcommoditydriveneconomiesexperiencedthe Russell 3000-0.5% greatestnegativeimpact.InadditiontoChina’sevents,Greece Russell 1000-0.6% secureditsthirdbailoutfromtheEuropeanUnion(EU)andJapan,and Russell MidCap-0.2% EUpolicymakerssignaledfurtherquantitativeeasingmaybe Russell 20001.2% necessarytocombatdeflationaryconcerns. Barclays US Agg2.9% U.S.fixedincomeindicesweremodestlypositiveforthethirdquarter, Barclays US Govt withhighyieldsecuritiesandTIPsbeingexceptions.TheU.S. 3.7% Barclays US TIPS-0.8% Treasuryyieldcurveflattenedduringthequarterwithshort-term Barclays MBS3.4% interestratesremainingrelativelyunchangedandlongertermrates Barclays Corp IG1.7% declining.Asaresultofthisflattening,longerdatedmaturities outperformedshort-termissues. 3-Month T-Bill0.0% -20.0%-15.0%-10.0%-5.0%0.0%5.0% Source: Investment Metrics Page 2 The Market Environment Domestic Equity Style Index Performance As of September 30, 2015 Quarter Performance -Russell Style Series Regardlessofstyleorsize,domesticequityindexperformancewas 3000 Value -8.6% negativeacrossthestyleandcapitalizationspectrumduringthethird 3000 Index-7.2% quarter.Whilemostbroadcorporatefundamentalsappearedtobe solidandtheU.S.consumerbenefitedfromloweroilprices,negative 3000 Growth-5.9% performanceduringthethirdquarterwaslargelydrivenbythevolatility associatedwithglobalmacroeconomicandgeopoliticalevents.Chief 1000 Value-8.4% factorsdrivingvolatilityduringthequarterincludedthe“willthey–won’t 1000 Index-6.8% they”uncertaintyassociatedwiththeFed’sinterestratedecisionand 1000 Growth -5.3% attemptstoassesstheglobalramificationsofaneconomicslowdownin China,whichwaslargerthananticipated. MidCap Value-8.0% MidCap Index-8.0% Outsideofmacroeconomicandgeopoliticalfactorsimpactingequity MidCap Growth -8.0% performance,thereweretwonotabletrendsaffectingU.S.domestic equityresultsduringthethirdquarterof2015.First,largecapindices generallyoutperformedtheirsmallcapcounterparts,withthelatter 2000 Value -10.7% deliveringdouble-digitlossesforthequarter.Second,growthstocks 2000 Index -11.9% werethestrongestrelativeperformersinthelargecapuniverse,while 2000 Growth-13.1% inthesmallcapuniversevalueindicespostedmoderatelybetter -15.0%-10.0%-5.0%0.0% relativeresults.WithinthelargecapRussell1000GrowthIndex,the 1-Year Performance -Russell Style Series quarter’srelativeperformancebenefitedfromtheannualreconstitution oftheindexserieseachJune.Thisyear’sreconstitutionreduced 3000 Value -4.2% exposuretotheweakperformingenergysectorinthelargecapgrowth 3000 Index -0.5% indexfrommorethan5%tolessthan1%afterreconstitution.. 3000 Growth 3.2% Fromavaluationperspective,currentP/Esforthevalueindiceswere 1000 Value -4.4% roughlyin-linewiththeirlong-termaverageswiththemid-capvalue 1000 Index -0.6% indexP/Eappearingslightlystretchedat106%ofitslong-term 1000 Growth3.2% average.Incontrast,currentP/Evaluationsforthegrowthindices remainedwellbelowtheirlong-termaverageswithP/Evaluationlevels MidCap Value-2.1% fallingbetween80%and85%oftheirhistoricalaverages. MidCap Index-0.2% Onatrailingone-yearbasis,growthindicesillustratedasubstantial MidCap Growth1.4% returnpremiumovervaluebenchmarksacrossthecapitalization spectrum.Theperformancedifferentialswerelargelyduetothegrowth 2000 Value-1.6% benchmarks’heavierweightstothestrong-performinghealthcareand 2000 Index 1.2% informationtechnologysectors. 2000 Growth4.0% -6.0%-4.0%-2.0%0.0%2.0%4.0%6.0% Source: Investment Metrics Page 3 The Market Environment GICS Sector Performance & (Sector Weight) As of September 30, 2015 Quarter1-Year Russell 1000 Sectorperformancewasbroadlynegativeforlargecapstockswith nineofthetenGICSsectorspostingnegativeresultsforthequarter. 11.2% -3.4% Consumer Disc (13.3%) Theutilitiessectorwastheonlylargecapeconomicsectorthat -1.1% managedapositiveresultforthequarterwithareturnof4.6%. Consumer Staples (8.7%) 6.7% Commoditypricedrivensectorswerethehardesthitduringthequarter -18.4% Energy (7.1%) withtheenergyandmaterialssectorsreturning-18.4%and-16.8% -31.4% respectively.Thelargecaphealthcaresector,whichhadnotposteda -6.1% Financials (17.5%) 1.1% negativequarterlyreturnsincethethirdquarterof2011,wasalso -11.1% Health Care (15.0%) notablewithareturnof-11.1%forthequarter.Withinthehealthcare 6.2% sector,pharmaceuticalandbiotechstocksstruggledfromthegeneral -7.3% Industrials (10.6%) -3.4% “risk-off”environmentpermeatingthethirdquarterbutsold-off -4.3% deliberatelyafterDemocraticpresidentialcandidateHillaryClinton Info Technology (19.3%) 1.8% alludedtoaplantocombathighprescriptiondrugcosts.Traditional -16.8% Materials (3.3%) defensivesectors,suchasutilitiesandconsumerstaples,postedthe -17.3% strongestrelativeperformanceforthequarter.Overtheone-year -6.8% Telecom Services (2.2%) -7.1% trailingperiod,sixoftensectorsremainpositivewithcommoditydriven 4.6% Utilities (2.9%) energy(-31.4%)andmaterials(-17.3%)sectorsrepresentingdouble- 4.9% digitnegativeoutliers. -35.0%-25.0%-15.0%-5.0%5.0%15.0% Quarter1-Year Russell 2000 Similartolargecapindices,smallcapindexperformancewasnegative forthequarter.Withinthesmallcapindex,alltenGICSsectorsposted -11.9% Consumer Disc (14.6%) 5.4% negativeresultsforthequarterwithsixsectorspostingdouble-digit -4.7% losses.Forthequarter,sectorperformancefollowedasimilarpattern Consumer Staples (3.1%) 5.9% tolargecapsectorresultswithcommoditysensitivesectorspostingthe -32.8% Energy (3.4%) weakestresultsanddefensivesectorsofferingthegreatestrelative -55.0% -5.2% safety.Overtheone-yeartrailingperiod,sixoftensmallcapindex Financials (24.5%) 8.1% sectorsremainedpositivewithcommoditydrivenenergy(-55.0%)and -17.1% Health Care (16.6%) materials(-21.3%)sectorsrepresentingsubstantialdouble-digit 16.2% negativeoutliers. -15.6% Industrials (12.6%) -7.5% -10.4% UsingtheS&P500asaproxy,basedontrailingP/Eratios,sixGICS Info Technology (17.1%) 7.5% sectorsshowP/Eratioslowerthantheir20-yearaveragesatquarter -21.9% Materials (3.8%) end.Withinthesesectors,theinformationtechnologyandfinancials -21.3% sectorsappearedthemostundervaluedrelativetotheirlong-term -6.0% Telecom Services (0.8%) 0.4% averageP/Eratios.Incontrast,thetelecommunicationservicesand -0.2% utilitiessectorvaluationsappearedmoststretchedversushistoricalP/E Utilities (3.4%) 9.9% ratiodata. -60.0%-50.0%-40.0%-30.0%-20.0%-10.0%0.0%10.0%20.0% Source: Morningstar Direct Page 4 The Market Environment Top 10 Index Weights & Quarterly Performance for the Russell 1000 & 2000 As of September 30, 2015 Top 10 Weighted StocksTop 10 Weighted Stocks 1-Qtr1-Year1-Qtr1-Year Russell 1000WeightSectorRussell 2000WeightSector ReturnReturn ReturnReturn Apple Inc3.28%-11.7%11.3%Information TechnologyTyler Technologies Inc0.31%15.4%68.9%Information Technology Microsoft Corp1.85%0.9%-2.0%Information TechnologyAnacor Pharmaceuticals Inc0.29%52.0%381.0%Health Care Exxon Mobil Corporation1.61%-9.8%-18.3%EnergyManhattan Associates Inc0.28%4.4%86.4%Information Technology Johnson & Johnson1.34%-3.5%-9.9%Health CareCubeSmart0.28%18.2%55.4%Financials General Electric Co1.31%-4.2%2.0%IndustrialsInvestors Bancorp Inc0.26%0.7%24.4%Financials Berkshire Hathaway Inc Class B1.25%-4.2%-5.6%FinancialsFirst American Financial Corp0.26%5.7%48.2%Financials Wells Fargo & Co1.24%-8.1%1.6%FinancialsCasey's General Stores Inc0.24%7.7%44.9%Consumer Staples JPMorgan Chase & Co1.17%-9.4%3.9%FinancialsMaximus Inc0.24%-9.3%48.9%Information Technology AT&T Inc1.02%-7.0%-2.3%Telecommunication ServicesWest Pharmaceutical Services Inc0.24%-6.7%21.9%Health Care Procter & Gamble Co1.01%-7.3%-11.4%Consumer StaplesTeam Health Holdings Inc0.24%-17.3%-6.8%Health Care Top 10 Performing Stocks (by Quarter)Top 10 Performing Stocks (by Quarter) 1-Qtr1-Year1-Qtr1-Year Russell 1000WeightSectorRussell 2000WeightSector ReturnReturnReturnReturn StanCorp Financial Group Inc0.02%51.0%84.3%FinancialsGT Advanced Technologies Inc0.00%135.7%-96.3%Information Technology TECO Energy Inc0.03%50.2%58.0%UtilitiesNTELOS Holdings Corp0.01%95.5%-15.1%Telecommunication Services Pandora Media Inc0.02%37.3%-11.7%Information TechnologyPhoenix Companies Inc0.00%80.9%-41.2%Financials Cablevision Systems Corp Class A0.03%36.4%90.7%Consumer DiscretionaryTrevena Inc0.02%65.3%61.2%Health Care zulily Inc Class A0.00%33.4%-54.1%Consumer DiscretionaryDot Hill Systems Corp0.04%59.0%157.4%Information Technology AGL Resources Inc0.04%32.5%23.7%UtilitiesAnacor Pharmaceuticals Inc0.29%52.0%381.0%Health Care Chubb Corp0.15%29.5%37.5%FinancialsExelixis Inc0.08%49.2%266.7%Health Care Activision Blizzard Inc0.08%27.6%50.1%Information TechnologyMerge Healthcare Inc0.03%47.9%222.7%Health Care Con-way Inc0.00%24.2%1.3%IndustrialsHHGregg Inc0.00%45.8%-22.8%Consumer Discretionary JetBlue Airways Corp0.04%24.1%142.7%IndustrialsThoratec Corp0.21%41.9%136.7%Health Care Bottom 10 Performing Stocks (by Quarter)Bottom 10 Performing Stocks (by Quarter) 1-Qtr1-Year1-Qtr1-Year Russell 1000WeightSectorRussell 2000WeightSector ReturnReturnReturnReturn SunEdison Inc0.01%-76.0%-62.0%Information TechnologyQuiksilver Inc0.00%-97.0%-98.9%Consumer Discretionary SandRidge Energy Inc0.00%-69.2%-93.7%EnergyRCSCapitalCorp Class A0.00%-89.4%-96.4%Financials Seventy Seven Energy Inc0.00%-67.8%-94.2%EnergyAlpha Natural Resources Inc0.00%-89.1%-98.7%Energy TimkenSteel Corp0.00%-62.2%-77.7%MaterialsBPZ Resources Inc0.00%-88.8%-99.9%Energy TerraForm Power Inc Class A0.00%-62.0%-48.9%UtilitiesSFX Entertainment Inc0.00%-88.6%-89.8%Consumer Discretionary Rayonier Advanced Materials Inc0.00%-61.9%-81.0%MaterialsPenn Virginia Corp0.00%-87.9%-95.8%Energy Denbury Resources Inc0.00%-61.0%-83.1%EnergyVantage Drilling Co0.00%-86.5%-98.0%Energy The Chemours Co0.01%-59.6%N/AMaterialsTetraphase Pharmaceuticals Inc0.02%-84.3%-62.6%Health Care EP Energy Corp Class A0.00%-59.5%-70.5%EnergyAltisource Asset Management Corp0.00%-83.4%-96.5%Financials Unit Corp0.00%-58.5%-80.8%EnergyMagnum Hunter Resources Corporation0.00%-81.8%-93.9%Energy Source: Morningstar Direct Page 5 The Market Environment International and Regional Market Index Performance (Country Count) As of September 30, 2015 USDLocal Currency Quarter Performance Withnegativemacroeconomicandgeopoliticaleventsthroughout thequartertrumpinganyconsiderationofunderlyingfundamentals-12.2% AC World x US (45) -9.6% orlong-termprospects,internationalequityindexperformancewas -10.6% broadlynegative.Asstatedpreviously,uncertaintyoverevents, WORLD x US (22) -8.9% suchasChina’seconomichealthandapotentialGreekexitofthe -10.2% EAFE (21) eurozone,pushedallmajorinternationalequityindiceslower.While -9.0% developedmarketsfaredmodestlybetterthanemergingmarkets, -8.7% Europe & ME (16) themajorityofforeignmarketresultsstruggledrelativetothe -6.9% perceivedsafetyandstabilityofU.S.markets.Localcurrencyindex -13.2% Pacific (5) -12.8% returnsweremarginallylessnegativethanUSDreturnsduetothe -17.9% strengtheningoftheUSDversusmostothermajorcurrencies. Emerging Mkt (23) -12.1% -16.1% Developedmarketsoutperformedemergingmarketsforthequarter EM EMEA (10) -7.5% withtheMSCIEAFEIndexoutperformingtheMSCIEmerging -17.0% MarketIndexby7.7%and3.1%inUSDandlocalcurrency EM Asia (8) -13.5% respectively.Improvingeconomicdataintheeurozonewas EM Latin Amer (5) encouraging,withGDPgrowthfortheninthconsecutivequarter,but -24.3% -10.8% economicdatainJapanwasmixed.BothEuropeanCentralBank -25.0%-20.0%-15.0%-10.0%-5.0%0.0% ChairmanDraghiandBankofJapanGovernorKurodareiterateda USDLocal Currency 1-Year Performance willingnesstosupportfurtherquantitativeeasingshoulditbe deemednecessary.Commoditypricesensitiveeconomiessuchas-12.2% AC World x US (45) -1.7% Canada,Australia,andseveralemergingmarketsfacedparticularly -10.1% strongheadwindsduetotheheadlinessurroundingslowinggrowth WORLD x US (22) -0.1% inChina. -8.7% EAFE (21) 0.8% Emergingmarketspostedlargenegativeequityresultsforthe -9.2% Europe & ME (16) quarter.Ledbytheimpositionofcapitalcontrolsassociatedwithits -0.2% latestbailoutdealwiththeEU,Greecerepresentedtheweakest -7.5% Pacific (5) performanceintheMSCIEmergingMarketsIndex,returning-35.8% 2.7% forthequarter.Chineseequitiesfell-22.7%duringthequarterafter -19.3% Emerging Mkt (23) -7.1% adevaluationoftheyuanandmountingevidenceofdecelerating -21.7% economicgrowth.LatinAmericahadtheweakestperformanceas EM EMEA (10) -2.0% fallingcommoditypricesandaweakenedmacrooutlookinBrazil -13.1% negativelyaffectedtheregion.Likedevelopedmarkets,countries EM Asia (8) -6.6% withmorediversifiedeconomiesperformedbetterthaneconomies EM Latin Amer (5) heavilylinkedtocommodityexports. -12.5% -38.7% -40.0%-35.0%-30.0%-25.0%-20.0%-15.0%-10.0%-5.0%0.0%5.0% Source: MSCI Global Index Monitor (Returns are Net) Page 6 The Market Environment U.S. Dollar International Index Attribution & Country Detail As of September 30, 2015 MSCI-EAFEMSCI-ACWIxUSQuarter1-Year MSCI -EAFESector WeightQuarter Return1-Year Return CountryWeightWeightReturnReturn Consumer Discretionary13.1%-11.0%-0.7% Japan22.5%16.5%-11.8%-2.2% Consumer Staples12.0%-1.5%1.7% United Kingdom20.3%14.8%-10.0%-12.1% France10.1%7.4%-6.5%-7.7% Energy4.8%-16.8%-34.5% Switzerland9.7%7.1%-7.0%-3.8% Financials25.8%-12.1%-9.2% Germany8.9%6.5%-10.9%-9.3% Australia6.4%4.7%-15.3%-21.1% Health Care11.8%-5.3%-3.2% Spain3.5%2.5%-11.1%-20.6% Industrials12.5%-11.2%-8.9% Hong Kong3.0%2.2%-16.2%-3.3% Information Technology4.8%-10.6%-5.8% Sweden3.0%2.2%-9.2%-10.5% Netherlands2.8%2.0%-8.9%-2.0% Materials6.6%-19.7%-22.1% Italy2.6%1.9%-4.4%-9.3% Telecommunication Services4.9%-9.5%-3.3% Denmark1.8%1.3%-2.4%6.7% Utilities3.8%-4.2%-11.0%Belgium1.3%1.0%-7.9%-0.8% Singapore1.3%0.9%-19.5%-21.4% Total100.0%-10.2%-8.7% Finland0.9%0.6%-5.5%-8.8% Israel0.6%0.5%-5.6%2.6% MSCI -ACWIxUSSector WeightQuarter Return1-Year Return Norway0.6%0.4%-19.1%-35.9% Consumer Discretionary12.0%-11.3%-3.2% Ireland0.4%0.3%-3.2%10.9% Austria0.2%0.1%-9.0%-10.3% Consumer Staples10.9%-3.2%-0.6% Portugal0.2%0.1%-11.6%-25.5% Energy6.3%-20.1%-37.2% New Zealand0.1%0.1%-7.1%-18.7% Financials27.3%-14.1%-12.3%Total EAFE Countries100.0%73.0%-10.2%-8.7% Canada6.4%-14.1%-23.9% Health Care9.6%-6.2%-2.3% Total Developed Countries79.5%-10.6%-10.1% Industrials11.1%-11.7%-11.2% China4.8%-22.7%-5.0% Korea3.2%-11.8%-18.4% Information Technology7.4%-13.3%-8.6% Taiwan2.6%-17.0%-11.3% Materials6.7%-20.8%-26.2% India1.8%-6.7%-5.9% Telecommunication Services5.2%-11.3%-8.8% South Africa1.6%-18.6%-14.2% Brazil1.3%-33.6%-48.4% Utilities3.6%-7.0%-14.2% Mexico1.0%-12.0%-24.0% Total100.0%-12.2%-12.2% Russia0.8%-14.8%-27.1% Malaysia0.6%-18.2%-33.7% MSCI -Emerging MktSector WeightQuarter Return1-Year Return Thailand0.5%-17.6%-23.7% Indonesia0.4%-24.2%-32.9% Consumer Discretionary9.4%-13.9%-15.6% Poland0.3%-10.8%-26.3% Consumer Staples8.8%-11.4%-12.1% Philippines0.3%-10.3%-5.7% Energy7.5%-25.3%-37.4% Turkey0.3%-19.5%-23.8% Chile0.3%-13.6%-21.2% Financials28.6%-21.4%-18.1% Qatar0.2%-6.6%-18.3% Health Care2.9%-9.5%-8.1% United Arab Emirates0.2%-10.4%-26.4% Industrials7.5%-16.0%-17.8% Colombia0.1%-23.2%-50.5% Peru0.1%-21.5%-26.2% Information Technology18.1%-16.0%-11.3% Greece0.1%-35.8%-66.0% Materials6.6%-19.4%-30.0% Hungary0.1%-3.3%6.7% Czech Republic0.0%-6.6%-22.3% Telecommunication Services7.4%-15.6%-20.1% Egypt0.0%-12.9%-24.3% Utilities3.4%-16.8%-24.5% Total Emerging Countries20.5%-17.9%-19.3% Total100.0%-17.9%-19.3% Total ACWIxUS Countries100.0%-12.2%-12.2% Source: MSCI Global Index Monitor (Returns are Net in USD) Page 7 The Market Environment Domestic Bond Sector & Broad/Global Bond Market Performance (Duration) As of September 30, 2015 Quarter Performance Mostfixedincomeindexperformancewasmodestlypositivefor thethirdquarter.Muchofthequarter’spositivefixedincome AAA (5.0)1.5% benchmarkperformancewasattributabletomacroeconomic AA (5.9)1.2% andgeopoliticaluncertaintyintheglobalmarkets.Asit A (6.9)1.5% typicallydoes,thisvolatilityresultedina“flighttoquality/safety” Baa (7.5) -0.7% benefitingdomesticfixedincomesecurities.Incontrasttothe U.S. High Yield (4.4) benefitofperceivedsafety,bondperformancewastempered -4.9% U.S. Treasury (5.8)1.8% duringtheperiodbytheloomingspectersurroundingthetiming U.S. Mortgage (4.2) 1.3% ofthefirstexpectedFedinterestratehikeinnearlytenyears. U.S. Corporate IG (7.1) 0.8% ThebroadmarketAggregatebenchmarkpostedareturnof U.S. TIPS (5.5)-1.1% 1.2%forthequarter.WithintheAggregateindex,Treasury (1.8%)issuesoutperformedmortgage(1.3%)andcorporate Aggregate (5.6) 1.2% (0.8%)issues.Inanticipationofhigherinterestrates,corporate Intermediate Agg (4.1) 1.1% bondissuanceremainedelevatedduringthequarter.Coupled Global Agg x US (7.4)0.6% withageneral“risk-off”market,thisexcesscorporatebond Multiverse (6.5)0.5% supplydrovecreditspreadswider(equivalenttointerestrates -5.0%-4.0%-3.0%-2.0%-1.0%0.0%1.0%2.0% rising)resultinginweakercorporateperformancerelativeto Treasurysecurities.Thespreadwideningwasparticularly 1-Year Performance detrimentaltohighyieldbondreturnswhichactuallyposted AAA (5.0)3.6% negativereturnsforthequarter. AA (5.9)3.0% A (6.9) 2.9% DespiteUSDstrength,internationalbondindices(0.6%and 0.5%)managedpositiveresultsforthequarterbuttrailed Baa (7.5) -0.5% domesticbondindexresultsotherthanBaa,highyield,and U.S. High Yield (4.4) -3.4% TIPsissues. U.S. Treasury (5.8) 3.8% U.S. Mortgage (4.2)3.4% Overthetrailingone-yearperiod,domesticfixedincomeresults U.S. Corporate IG (7.1)1.7% werelargelysolid.However,likethethirdquarter,one-year U.S. TIPS (5.5)-0.8% performancefordomesticBaa,highyield,andTIPsissues werenegativealongwithbothglobalbenchmarks. Aggregate (5.6) 2.9% Intermediate Agg (4.1) 2.9% Global Agg x US (7.4) -7.7% Multiverse (6.5) -3.6% -8.0%-6.0%-4.0%-2.0%0.0%2.0%4.0% Source: Barclays Capital Live Page 8 The Market Environment Market Rate & Yield Curve Comparison As of September 30, 2015 1-Year Trailing Market Rates Duringthethirdquarter,followingasubstantialriseduringthe 3.50 secondquarter,intermediateandlong-termU.S.Treasury Fed Funds RateTED Spread3-Month Libor yieldsretrenchedtolevelslastseenattheendof2014.Yields BAA OAS10yr Treasury10yr TIPS 3.00 fellacrosstheTreasurycurveforallmaturitiesgreaterthantwo yearswiththeyieldonthe30-yearTreasuryfallingfrom3.11% 2.50 to2.87%.Sincepricesandyieldsmoveinoppositedirections, longer-datedissueswerethebestperformingTreasurymaturity segment.Aswithrecentperiods,accommodativeFedpolicy 2.00 heldyieldsstableandlowattheshortendoftheyieldcurve. 1.50 Muchoftheperformancereviewedonthebargraphsisvisible inanotherforminthe1-yeartrailingmarketrateschart.The 1.00 10-yearTreasury(greenline)canbeseenmovinglower(yields falling)throughoutthequarter,resultinginapositiveTreasury return.WhilecorporateissuesbenefitedfromfallingTreasury 0.50 yields,corporatebondswerealsoimpactedbythecredit spread(riskpremium)investorsdemandoncorporateissuesto 0.00 Sep-14Oct-14Nov-14Dec-14Jan-15Feb-15Mar-15Apr-15May-15Jun-15Jul-15Aug-15Sep-15 compensatethemfortheincreasedriskassociatedwith corporatebondsversus“riskless”Treasurydebt.Thiscredit Treasury Yield Curve 3.50 spreadisrepresentedbytheBAAOAS(OptionAdjusted 12/31/20143/31/20156/30/20159/30/2015 Spread).TheBAAOAS(blueline)canbeseenrising throughoutthequarter,whichcreatedadragoncorporatebond 3.00 returns. 2.50 BasedonmoderateU.S.economicgrowth,stableemployment, andbelowtargetinflation,itisunlikelytheFedwillincreasethe 2.00 short-terminterestrateitsets(FedFundsRate)significantlyin thenearterm.ShouldtheFedraisetheshort-termratebefore 1.50 theendoftheyear,theyhavestatedfutureincreaseswouldbe implementedatameasuredpaceandwithanongoing assessmentofcurrenteconomicdata.Geopoliticalevents, 1.00 overseasquantitativeeasingprograms,andlowerinterestrates outsidetheU.S.shouldputdownwardpressureonhowhigh 0.50 domesticratescangointhenearterm. 0.00 1 mo3 mo6 mo1 yr2 yr3 yr5 yr7 yr10 yr20 yr30 yr Source: US Department of Treasury, FRED (Federal Reserve of St. Louis) Page 9 Tequesta Public Safety Officers' Pension Fund Asset Allocation by Asset Class As of September 30, 2015 Asset Allocation By Segment as ofAsset Allocation By Segment as of June 30, 2015 : $11,839,750September 30, 2015 : $11,525,385 AllocationAllocation SegmentsMarket ValueAllocationSegmentsMarket ValueAllocation Domestic Equity5,910,46849.9Domestic Equity5,641,33448.9 International Equity1,803,84015.2International Equity1,690,35214.7 Domestic Fixed Income3,381,32028.6Domestic Fixed Income3,443,77329.9 Global Fixed Income590,1015.0Global Fixed Income559,5294.9 Cash Equivalent154,0211.3Cash Equivalent190,3981.7 NONE Page 10 Tequesta Public Safety Officers' Pension Fund Asset Allocation by Manager As of September 30, 2015 Asset Allocation By Manager as ofAsset Allocation By Manager as of June 30, 2015 : $11,839,750September 30, 2015 : $11,525,385 AllocationAllocation Market ValueAllocationMarket ValueAllocation Garcia Hamilton3,411,43828.8Garcia Hamilton3,490,44430.3 Brown Advisory (BAFGX)2,976,68525.1Brown Advisory (BAFGX)2,841,92724.7 Gabelli/GAMCO Value2,961,78325.0Gabelli/GAMCO Value2,810,01824.4 Europacific Growth (RERGX)1,803,84015.2Europacific Growth (RERGX)1,690,35214.7 Templeton Global Total Return (FTTRX)590,1015.0Templeton Global Total Return (FTTRX)559,5294.9 Receipt & Disbursement95,6000.8Receipt & Disbursement132,8121.2 Checking Account3030.0Checking Account3040.0 NONE Page 11 Tequesta Public Safety Officers' Pension Fund Asset Allocation vs Target Allocation As of September 30, 2015 Asset Allocation vs. Target Allocation Domestic Equity -1.0 % International Equity -0.3 % Domestic Fixed Income 0.3% Global Fixed Income -0.1 % Cash 1.2% -10.0 %-9.0 %-6.0 %-3.0 %0.0%3.0%6.0%9.0%10.0% Allocation Differences Asset Allocation vs. Target Allocation Market Value Allocation (%)Target (%) $ Domestic Equity5,651,94649.050.0 International Equity1,690,35214.715.0 Domestic Fixed Income3,490,44430.330.0 Global Fixed Income559,5294.95.0 Cash133,1161.20.0 Total Fund11,525,385100.0100.0 Page 12 Tequesta Public Safety Officers' Pension Fund Asset Allocation vs Other Public Plans As of September 30, 2015 Plan Sponsor TF Asset Allocation vs. All Public Plans-Total Fund 68.0 60.0 52.0 44.0 36.0 28.0 20.0 12.0 4.0 -4.0 -12.0 US EquityIntl. EquityUS Fixed IncomeIntl. Fixed IncomeAlternative Inv.Real EstateCash Tequesta Public Safety Officers49.0414.6730.284.850.000.001.15 (25)(46)(47)(36)(53) 5th Percentile55.6526.0646.819.3337.1114.266.58 1st Quartile48.8918.8234.975.0719.8510.462.29 Median43.2514.1329.064.6311.608.051.23 3rd Quartile31.9712.0222.803.985.015.070.73 95th Percentile19.157.6213.280.371.912.620.08 Parentheses contain percentile rankings. Calculation based on <Periodicity> periodicity. Page 13 Tequesta Public Safety Officers' Pension Fund Asset Allocation As of September 30, 2015 Asset Allocation History by Portfolio Sep-2015Jun-2015Mar-2015Dec-2014Sep-2014 ($)%($)%($)%($)%($)% Total Equity7,342,29763.717,742,30865.397,611,67464.407,538,88166.286,950,06764.40 Domestic Equity5,651,94649.045,938,46850.165,840,56849.416,334,90355.705,779,04353.55 Brown Advisory (BAFGX)2,841,92724.662,976,68525.142,925,11024.753,019,60326.552,791,88125.87 Gabelli/GAMCO Value2,810,01824.382,961,78325.022,915,45824.673,315,30029.152,987,16227.68 International Equity1,690,35214.671,803,84015.241,771,10614.981,203,97910.591,171,02410.85 Europacific Growth (RERGX)1,690,35214.671,803,84015.241,771,10614.981,203,97910.591,171,02410.85 Total Fixed Income4,049,97235.144,001,53933.804,025,47234.06602,2415.303,614,98133.50 Garcia Hamilton3,490,44430.283,411,43828.813,439,50629.10-0.00-0.00 PIMCO Total Return Instl (PTTRX)-0.00-0.00-0.0068,3650.603,089,64228.63 Templeton Global Total Return (FTTRX)559,5294.85590,1014.98585,9664.96533,8764.69525,3394.87 Cash Accounts133,1161.1595,9030.81182,5081.543,232,48828.42226,9592.10 Receipt & Disbursement132,8121.1595,6000.81182,2061.543,232,18828.42223,3152.07 Checking Account3040.003030.003020.003000.003,6440.03 Total Fund11,525,385100.0011,839,750100.0011,819,654100.0011,373,610100.0010,792,008100.00 Page 14 Tequesta Public Safety Officers' Pension Fund Asset Allocation History by Segment August 1, 2007 To September 30, 2015 Asset Allocation History by Asset Class 96.0 88.0 80.0 72.0 64.0 ) % ( 56.0 n o i t a c o l 48.0 l A 40.0 32.0 24.0 16.0 8.0 0.0 7/071/087/081/097/091/107/101/117/111/127/121/137/131/147/141/159/15 Domestic EquityInternational EquityDomestic Fixed IncomeGlobal Fixed IncomeCash Equivalent Page 15 Tequesta Public Safety Officers' Pension Fund Financial Reconciliation 1 Quarter Ending September 30, 2015 Market ValueNetManagementOtherApprec./Market Value ContributionsDistributionsIncome 07/01/2015TransfersFeesExpensesDeprec.09/30/2015 Total Equity7,742,308166,193---5,547-809,404-569,9817,342,297 Domestic Equity5,938,468102,269---5,547-809,404-392,5685,651,946 Brown Advisory (BAFGX)2,976,68517,626------152,3842,841,927 Gabelli/GAMCO Value2,961,78384,643---5,547-809,404-240,1842,810,018 International Equity1,803,84063,924------177,4121,690,352 Europacific Growth (RERGX)1,803,84063,924------177,4121,690,352 Total Fixed Income4,001,53928,776---2,132-32037,004-14,8954,049,972 Garcia Hamilton3,411,43819,213---2,132-32031,17531,0703,490,444 Templeton Global Total Return (FTTRX)590,1019,563----5,829-45,964559,529 Cash Accounts95,903-194,969282,800-28,612--22,0083-133,116 Receipt & Disbursement95,600-216,289282,800-28,612--6882-132,812 Checking Account30321,320----21,3201-304 Total Fund11,839,750-282,800-28,612-7,679-22,40846,410-584,87511,525,385 Page 16 Tequesta Public Safety Officers' Pension Fund Financial Reconciliation October 1, 2014 To September 30, 2015 Market ValueNetManagementOtherApprec./Market Value ContributionsDistributionsIncome 10/01/2014TransfersFeesExpensesDeprec.09/30/2015 Total Equity6,950,067264,676---17,353-2,111148,904-1,8867,342,297 Domestic Equity5,779,043-357,347---17,353-2,111128,195121,5175,651,946 Brown Advisory (BAFGX)2,791,881-84,685----91,46643,2652,841,927 Gabelli/GAMCO Value2,987,162-272,661---17,353-2,11136,72978,2522,810,018 International Equity1,171,024622,022----20,709-123,4031,690,352 Europacific Growth (RERGX)1,171,024622,022----20,709-123,4031,690,352 Total Fixed Income3,614,981436,037---4,282-663237,672-233,7744,049,972 Garcia Hamilton-3,481,341---4,282-66388,982-74,9343,490,444 PIMCO Total Return Instl (PTTRX)3,089,642-3,128,126----104,014-65,531- Templeton Global Total Return (FTTRX)525,33982,822----44,676-93,309559,529 Cash Accounts226,959-700,713783,885-92,825--84,20312-133,116 Receipt & Disbursement223,315-778,965783,885-92,225--3,2068-132,812 Checking Account3,64478,252--600--80,9974-304 Total Fund10,792,008-783,885-92,825-21,635-86,976386,588-235,66011,525,385 Page 17 Tequesta Public Safety Officers' Pension Fund Trailing Returns As of September 30, 2015 Inception QTRFYTD1 YR3 YR5 YR7 YRInception Date Total Fund (Gross)-4.50(26)1.56(10)1.56(10)7.01(55)7.20(70)6.98(62)6.12(50)05/01/2005 Total Fund Policy-5.19(57)-1.25(69)-1.25(69)7.15(53)8.00(43)7.17(53)5.78(70) All Public Plans-Total Fund Median-5.03-0.46-0.467.217.837.236.11 Total Fund (Net)-4.571.371.376.756.886.645.7105/01/2005 Total Equity-7.172.062.0611.0410.498.516.3904/01/2005 Total Equity Policy-8.38-3.15-3.1510.4211.128.366.06 Domestic Equity-6.40(22)3.68(7)3.68(7)12.08(55)11.77(56)9.28(45)6.89(41)04/01/2005 Total Domestic Equity Policy-7.25(36)-0.49(33)-0.49(33)12.53(43)13.28(24)9.74(34)6.96(40) IM U.S. All Cap Core Equity (SA+CF+MF) Median-8.10-1.76-1.7612.3212.059.106.58 International Equity-9.81-4.78-4.786.394.65N/A5.2105/01/2010 (27)(4)(4)(8)(10)(5) Total International Equity Policy-12.10(75)-11.78(82)-11.78(82)3.10(73)2.68(66)N/A2.89(68) IM International Large Cap Core Equity (MF) Median-10.76-8.61-8.613.903.193.083.39 Total Fixed Income0.550.440.440.782.183.833.8804/01/2005 Total Fixed Income Policy0.861.991.991.802.784.394.26 Domestic Fixed Income1.82(1)1.97(43)1.97(43)1.24(75)2.47(88)4.04(93)4.02(82)04/01/2005 Total Domestic Fixed Income Policy1.23(11)2.94(14)2.94(14)2.02(40)2.91(76)4.49(89)4.33(74) IM U.S. Broad Market Fixed Income (SA+CF+MF) Median0.351.701.701.803.465.724.87 Global Fixed Income-6.79(100)-8.14(94)-8.14(94)N/AN/AN/A-1.45(72)10/01/2013 Global Fixed Income Index-1.38(69)-3.75(50)-3.75(50)-0.29(46)3.02(22)6.63(15)0.36(44) IM Global Fixed Income (MF) Median-0.35-3.75-3.75-0.531.264.16-0.28 Returns for periods greater than one year are annualized. Returns are expressed as percentages. Returns prior to June 2010 do not include cash. Page 18 Tequesta Public Safety Officers' Pension Fund Trailing Returns As of September 30, 2015 Inception QTRFYTD1 YR3 YR5 YR7 YRInception Date Domestic Equity Strategies Brown Advisory (BAFGX)-5.11(26)4.37(26)4.37(26)N/AN/AN/A9.97(95)02/01/2013 Russell 1000 Growth Index-5.29(28)3.17(40)3.17(40)13.61(31)14.47(21)11.73(23)14.20(29) IM U.S. Large Cap Growth Equity (MF) Median-6.122.532.5312.8413.0810.4213.23 Gabelli/GAMCO Value-7.682.752.75N/AN/AN/A11.8402/01/2013 (34)(6)(6)(26) Russell 3000 Value Index-8.59-4.22-4.2211.4012.118.109.62 (49)(71)(71)(57)(58)(89)(62) IM U.S. All Cap Value Equity (SA+CF) Median-8.73-2.64-2.6412.1312.4310.1410.06 International Equity Strategies Europacific Growth (RERGX)-9.81(27)-4.94(5)-4.94(5)6.35(8)4.55(12)N/A7.20(8)06/01/2010 MSCI AC World ex USA-12.10(75)-11.78(82)-11.78(82)2.78(81)2.27(77)3.66(27)4.88(73) IM International Large Cap Core Equity (MF) Median-10.76-8.61-8.613.903.193.085.71 Fixed Income Strategies Garcia Hamilton1.82N/AN/AN/AN/AN/A-1.6602/01/2015 (3)(97) Barclays Aggregate Index1.23(40)2.94(57)2.94(57)1.71(83)3.10(86)4.85(94)-0.95(63) IM U.S. Broad Market Core Fixed Income (SA+CF) Median1.123.023.022.043.575.65-0.86 Templeton Global Total Return (FTTRX)-6.79(100)-8.14(94)-8.14(94)N/AN/AN/A-1.45(72)10/01/2013 Global Fixed Income Index-1.38(69)-3.75(50)-3.75(50)-0.29(46)3.02(22)6.63(15)0.36(44) IM Global Fixed Income (MF) Median-0.35-3.75-3.75-0.531.264.16-0.28 Returns for periods greater than one year are annualized. Returns are expressed as percentages. Returns prior to June 2010 do not include cash. Page 19 Tequesta Public Safety Officers' Pension Fund Fiscal Year Returns As of September 30, 2015 FYTDFY 2014FY 2013FY 2012FY 2011FY 2010 Total Fund (Gross)1.56(10)8.53(83)11.17(74)15.26(83)0.23(52)14.56(2) Total Fund Policy-1.25(69)11.01(30)12.23(56)17.88(50)1.32(29)10.03(48) All Public Plans-Total Fund Median-0.4610.1212.5017.850.329.97 Total Fund (Net)1.378.3210.7814.79-0.0913.99 Total Equity2.0611.5320.3025.01-3.8120.84 Total Equity Policy-3.1514.7921.0927.21-1.0911.23 Domestic Equity3.6812.4920.7326.39-2.0019.94 (7)(78)(73)(52)(54)(2) Total Domestic Equity Policy-0.49(33)17.76(28)21.60(64)30.20(20)0.55(27)10.40(43) IM U.S. All Cap Core Equity (SA+CF+MF) Median-1.7615.8623.2926.56-1.719.75 International Equity-4.78(4)6.99(9)18.18(74)18.57(7)-12.08(74)N/A Total International Equity Policy-11.78(82)5.22(21)18.07(74)14.33(60)-8.94(32)N/A IM International Large Cap Core Equity (MF) Median-8.613.6820.9014.87-10.873.76 Total Fixed Income0.443.42-1.474.144.517.12 Total Fixed Income Policy1.994.06-0.614.314.227.05 Domestic Fixed Income1.97(43)3.29(88)-1.47(66)4.14(98)4.51(46)7.12(95) Total Domestic Fixed Income Policy2.94(14)3.96(74)-0.77(43)4.31(97)4.22(54)7.05(96) IM U.S. Broad Market Fixed Income (SA+CF+MF) Median1.704.74-0.987.754.379.98 Global Fixed Income-8.14(94)5.73(23)N/AN/AN/AN/A Global Fixed Income Index-3.75(50)4.65(38)-1.58(52)14.19(3)2.52(39)12.95(11) IM Global Fixed Income (MF) Median-3.753.53-1.527.191.617.82 Returns for periods greater than one year are annualized. Returns are expressed as percentages. Returns prior to June 2010 do not include cash. Page 20 Tequesta Public Safety Officers' Pension Fund Fiscal Year Returns As of September 30, 2015 FYTDFY 2014FY 2013FY 2012FY 2011FY 2010 Domestic Equity Strategies Brown Advisory (BAFGX)4.379.64N/AN/AN/AN/A (26)(100) Russell 1000 Growth Index3.1719.1519.2729.193.7812.65 (40)(23)(54)(35)(19)(24) IM U.S. Large Cap Growth Equity (MF) Median2.5316.9919.4927.150.6810.14 Gabelli/GAMCO Value2.75(6)15.31(53)N/AN/AN/AN/A Russell 3000 Value Index-4.22(71)17.66(28)22.67(69)31.05(18)-2.22(61)9.15(71) IM U.S. All Cap Value Equity (SA+CF) Median-2.6415.4026.3927.72-1.2510.77 Manning and NapierN/AN/AN/A25.70N/AN/A Russell 3000 Index-0.4917.7621.6030.200.5510.96 Rockwood EquityN/AN/AN/A27.05-1.8319.94 Total Domestic Equity Policy-0.4917.7621.6030.200.5510.40 International Equity Strategies Europacific Growth (RERGX)-4.94(5)6.98(9)18.27(73)18.44(8)-12.33(16)N/A MSCI AC World ex USA-11.78(82)5.22(21)16.98(76)15.04(46)-10.42(9)8.00(6) IM International Large Cap Core Equity (MF) Median-8.613.6820.9014.87-16.583.76 Fixed Income Strategies Garcia HamiltonN/AN/AN/AN/AN/AN/A Barclays Aggregate Index2.943.96-1.685.165.268.16 (57)(80)(80)(91)(50)(87) IM U.S. Broad Market Core Fixed Income (SA+CF) Median3.024.50-1.286.605.269.23 Templeton Global Total Return (FTTRX)-8.14(94)5.73(23)N/AN/AN/AN/A Global Fixed Income Index-3.75(50)4.65(38)-1.58(52)14.19(3)2.52(39)12.95(11) IM Global Fixed Income (MF) Median-3.753.53-1.527.191.617.82 Rockwood Fixed IncomeN/AN/AN/A4.144.517.12 Total Fixed Income Policy1.994.06-0.614.314.227.05 Returns for periods greater than one year are annualized. Returns are expressed as percentages. Returns prior to June 2010 do not include cash. Page 21 Tequesta Public Safety Officers' Pension Fund Total Fund (Gross) Performance Review As of September 30, 2015 Plan Sponsor Peer Group Analysis - All Public Plans-Total Fund 17.0028.00 24.00 14.00 20.00 11.00 16.00 8.00 12.00 n r 5.00 u t e R 8.00 2.00 4.00 -1.00 0.00 -4.00 -4.00 -7.00 -8.00 -10.00-12.00 Oct-2014Oct-2013Oct-2012Oct-2011Oct-2010Oct-2009 ToToToToToTo QTRFYTD1 YR2 YR3 YR4 YR5 YRSep-2015Sep-2014Sep-2013Sep-2012Sep-2011Sep-2010 Total Fund (Gross)-4.50(26)1.56(10)1.56(10)4.99(37)7.01(55)9.02(71)7.20(70)Total Fund (Gross)1.56(10)8.53(83)11.17(74)15.26(83)0.23(52)14.56(2) Total Fund Policy-5.19(57)-1.25(69)-1.25(69)4.70(47)7.15(53)9.74(51)8.00(43)Total Fund Policy-1.25(69)11.01(30)12.23(56)17.88(50)1.32(29)10.03(48) Median-5.03-0.46-0.464.587.219.757.83Median-0.4610.1212.5017.850.329.97 Comparative Performance 1 Qtr1 Qtr1 Qtr1 Qtr1 Qtr1 Qtr EndingEndingEndingEndingEndingEnding Jun-2015Mar-2015Dec-2014Sep-2014Jun-2014Mar-2014 Total Fund (Gross)-0.312.963.61-1.283.570.51 (68)(15)(5)(60)(57)(98) Total Fund Policy-0.35(69)1.99(83)2.48(39)-0.87(36)4.02(24)1.84(40) All Public Plans-Total Fund Median-0.092.442.25-1.143.631.72 NONE Page 22 Tequesta Public Safety Officers' Pension Fund Total Fund (Gross) Performance Review As of September 30, 2015 3 Yr Rolling Under/Over Performance - 5 Years3 Yr Rolling Percentile Ranking - 5 Years 20.00.0 Over Performance 15.0 25.0 10.0 50.0 5.0 75.0 0.0 Under Performance 100.0 -5.0 12/106/1112/116/1212/126/1312/136/1412/149/15 -5.00.05.010.015.020.0 Total Fund Policy (%) 5-2525-MedianMedian-7575-95 Total Period CountCountCountCount Over PerformanceUnder Performance Total Fund (Gross)202(10%)6(30%)5(25%)7(35%) Earliest DateLatest Date Total Fund Policy200(0%)14(70%)6(30%)0(0%) Peer Group Scattergram - 3 YearsPeer Group Scattergram - 5 Years 7.288.32 7.208.06 7.127.80 7.047.54 6.967.28 6.887.02 6.306.326.346.366.386.406.427.07.27.47.67.88.0 Risk (Standard Deviation %)Risk (Standard Deviation %) StandardStandard ReturnReturn DeviationDeviation Total Fund (Gross)7.016.34Total Fund (Gross)7.207.25 Total Fund Policy7.156.39Total Fund Policy8.007.46 Median7.216.33Median7.847.83 Historical Statistics - 3 Years UpDown TrackingInformationSharpeDownside MarketMarketAlphaBeta ErrorRatioRatioRisk CaptureCapture Total Fund (Gross)1.4596.2194.060.10-0.091.090.973.58 Total Fund Policy0.00100.00100.000.00N/A1.111.003.70 90 Day U.S. Treasury Bill6.400.21-0.380.06-1.11N/A0.000.01 Historical Statistics - 5 Years UpDown TrackingInformationSharpeDownside MarketMarketAlphaBeta ErrorRatioRatioRisk CaptureCapture Total Fund (Gross)1.6991.5492.74-0.33-0.450.990.954.36 Total Fund Policy0.00100.00100.000.00N/A1.061.004.37 90 Day U.S. Treasury Bill7.460.29-0.320.07-1.06N/A0.000.01 NONE Page 23 Tequesta Public Safety Officers' Pension Fund Total Domestic Equity Performance Review As of September 30, 2015 Peer Group Analysis - IM U.S. All Cap Core Equity (SA+CF+MF) 30.0044.00 25.00 36.00 20.00 28.00 15.00 20.00 10.00 nn rr uu tt ee RR 5.0012.00 0.00 4.00 -5.00 -4.00 -10.00 -12.00 -15.00 -20.00-20.00 Oct-2014Oct-2013Oct-2012Oct-2011Oct-2010Oct-2009 ToToToToToTo QTRFYTD1 YR2 YR3 YR4 YR5 YRSep-2015Sep-2014Sep-2013Sep-2012Sep-2011Sep-2010 Domestic Equity-6.40(22)3.68(7)3.68(7)8.00(34)12.08(55)15.50(58)11.77(56)Domestic Equity3.68(7)12.49(78)20.73(73)26.39(52)-2.00(54)19.94(2) Total Dom Equity Policy-7.25-0.49-0.498.2512.5316.7113.28Total Dom Equity Policy-0.490.55 (36)(33)(33)(30)(43)(33)(24)(33)17.76(28)21.60(64)30.20(20)(27)10.40(43) Median-8.10-1.76-1.766.7212.3215.9512.05Median-1.7615.8623.2926.56-1.719.75 Comparative Performance 1 Qtr1 Qtr1 Qtr1 Qtr1 Qtr1 Qtr EndingEndingEndingEndingEndingEnding Jun-2015Mar-2015Dec-2014Sep-2014Jun-2014Mar-2014 Domestic Equity0.713.286.49-1.244.500.06 (23)(26)(14)(58)(52)(93) Total Domestic Equity Policy0.14(37)1.80(60)5.24(36)0.01(29)4.87(34)1.97(53) IM U.S. All Cap Core Equity (SA+CF+MF) Median-0.132.214.65-0.824.532.00 NONE Page 24 Tequesta Public Safety Officers' Pension Fund Total Domestic Equity Performance Review As of September 30, 2015 3 Yr Rolling Under/Over Performance - 5 Years3 Yr Rolling Percentile Ranking - 5 Years 30.00.0 Over Performance 25.0 20.0 50.0 10.0 75.0 0.0 Under Performance 100.0 -10.0 12/106/1112/116/1212/126/1312/136/1412/149/15 -10.00.010.020.030.0 Total Domestic Equity Policy (%) 5-2525-MedianMedian-7575-95 Total Period CountCountCountCount Over PerformanceUnder Performance Domestic Equity206(30%)3(15%)7(35%)4(20%) Earliest DateLatest Date Total Dom Equity Policy202(10%)15(75%)3(15%)0(0%) Peer Group Scattergram - 3 YearsPeer Group Scattergram - 5 Years 12.6013.78 13.25 12.40 12.72 12.19 12.20 11.66 12.0011.13 8.939.129.319.509.699.8810.0710.2613.2013.4413.6813.9214.1614.4014.6414.88 Risk (Standard Deviation %)Risk (Standard Deviation %) StandardStandard ReturnReturn DeviationDeviation Domestic Equity12.089.16Domestic Equity11.7714.60 Total Dom Equity Policy12.539.44Total Dom Equity Policy13.2813.58 Median12.3210.06Median12.0514.46 Historical Statistics - 3 Years UpDown TrackingInformationSharpeDownside MarketMarketAlphaBeta ErrorRatioRatioRisk CaptureCapture Domestic Equity2.3994.2490.950.08-0.171.220.965.19 Total Domestic Equity Policy0.00100.00100.000.00N/A1.251.005.39 90 Day U.S. Treasury Bill9.790.13-0.260.06-1.25N/A0.000.01 Historical Statistics - 5 Years UpDown TrackingInformationSharpeDownside MarketMarketAlphaBeta ErrorRatioRatioRisk CaptureCapture Domestic Equity3.1395.01101.07-1.30-0.420.971.007.27 Total Domestic Equity Policy0.00100.00100.000.00N/A1.111.006.81 90 Day U.S. Treasury Bill11.840.18-0.210.07-1.11N/A0.000.01 NONE Page 25 Tequesta Public Safety Officers' Pension Fund Brown Large Cap Growth Performance Review As of September 30, 2015 Peer Group Analysis - IM U.S. Large Cap Growth Equity (MF) 25.0044.00 38.00 20.00 32.00 15.00 26.00 10.00 20.00 nn rr uu tt ee RR 5.0014.00 8.00 0.00 2.00 -5.00 -4.00 -10.00 -10.00 -15.00-16.00 Oct-2014Oct-2013Oct-2012Oct-2011Oct-2010Oct-2009 ToToToToToTo QTRFYTD1 YR2 YR3 YR4 YR5 YRSep-2015Sep-2014Sep-2013Sep-2012Sep-2011Sep-2010 Brown Advisory (BAFGX)-5.11(26)4.37(26)4.37(26)6.97(89)N/AN/AN/ABrown Advisory (BAFGX)4.37(26)9.64(100)N/AN/AN/AN/A Russell 1000 Growth-5.293.173.1710.8713.6117.3214.47Russell 1000 Growth3.173.78 (28)(40)(40)(30)(31)(28)(21)(40)19.15(23)19.27(54)29.19(35)(19)12.65(24) Median-6.122.532.539.5812.8416.5213.08Median2.5316.9919.4927.150.6810.14 Comparative Performance 1 Qtr1 Qtr1 Qtr1 Qtr1 Qtr1 Qtr EndingEndingEndingEndingEndingEnding Jun-2015Mar-2015Dec-2014Sep-2014Jun-2014Mar-2014 Brown Advisory (BAFGX)0.843.974.89-0.211.76-0.10 (45)(37)(45)(89)(96)(54) Russell 1000 Growth Index0.12(69)3.84(39)4.78(48)1.49(53)5.13(28)1.12(12) IM U.S. Large Cap Growth Equity (MF) Median0.723.304.731.584.510.00 NONE Page 26 Tequesta Public Safety Officers' Pension Fund GAMCO All Cap Value Performance Review As of September 30, 2015 Peer Group Analysis - IM U.S. All Cap Value Equity (SA+CF) 32.0052.00 26.0044.00 20.0036.00 14.0028.00 nn rr 8.0020.00 uu tt ee RR 2.0012.00 -4.004.00 -10.00-4.00 -16.00-12.00 -22.00-20.00 Oct-2014Oct-2013Oct-2012Oct-2011Oct-2010Oct-2009 ToToToToToTo QTRFYTD1 YR2 YR3 YR4 YR5 YRSep-2015Sep-2014Sep-2013Sep-2012Sep-2011Sep-2010 Gabelli/GAMCO Value-7.68(34)2.75(6)2.75(6)8.84(10)N/AN/AN/AGabelli/GAMCO Value2.75(6)15.31(53)N/AN/AN/AN/A Russell 3000 Value-8.59-4.22-4.226.1611.4016.0212.11Russell 3000 Value-4.22-2.229.15 (49)(71)(71)(50)(57)(46)(58)(71)17.66(28)22.67(69)31.05(18)(61)(71) Median-8.73-2.64-2.646.1512.1315.6912.43Median-2.6415.4026.3927.72-1.2510.77 Comparative Performance 1 Qtr1 Qtr1 Qtr1 Qtr1 Qtr1 Qtr EndingEndingEndingEndingEndingEnding Jun-2015Mar-2015Dec-2014Sep-2014Jun-2014Mar-2014 Gabelli/GAMCO Value0.582.547.90-2.187.150.20 (29)(35)(4)(65)(7)(94) Russell 3000 Value Index0.00(48)-0.51(87)5.31(28)-0.87(34)4.89(48)2.92(33) IM U.S. All Cap Value Equity (SA+CF) Median-0.081.454.13-1.364.842.09 NONE Page 27 Tequesta Public Safety Officers' Pension Fund Europacific Growth (RERGX) Performance Review As of September 30, 2015 Peer Group Analysis - IM International Large Cap Core Equity (MF) 20.0044.00 15.0036.00 10.0028.00 5.0020.00 0.0012.00 nn rr uu tt ee RR -5.004.00 -10.00-4.00 -15.00-12.00 -20.00-20.00 -25.00-28.00 -30.00-36.00 Oct-2014Oct-2013Oct-2012Oct-2011Oct-2010Oct-2009 ToToToToToTo QTRFYTD1 YR2 YR3 YR4 YR5 YRSep-2015Sep-2014Sep-2013Sep-2012Sep-2011Sep-2010 Europacific Growth-9.81(27)-4.94(5)-4.94(5)0.85(6)6.35(8)9.25(5)4.55(12)Europacific Growth-4.94(5)6.98(9)18.27(73)18.44(8)-12.33(77)N/A MSCI AC World ex USA-3.652.785.722.27MSCI AC World ex USA5.228.00 -12.10(75)-11.78(82)-11.78(82)(56)(81)(70)(77)-11.78(82)(21)16.98(76)15.04(46)-10.42(40)(6) Median-10.76-8.61-8.61-3.283.906.573.19Median-8.613.6820.9014.87-10.873.76 Comparative Performance 1 Qtr1 Qtr1 Qtr1 Qtr1 Qtr1 Qtr EndingEndingEndingEndingEndingEnding Jun-2015Mar-2015Dec-2014Sep-2014Jun-2014Mar-2014 Europacific Growth1.125.97-1.64-4.212.950.73 (37)(7)(10)(15)(92)(24) MSCI AC World ex USA0.72(59)3.59(81)-3.81(42)-5.19(45)5.25(14)0.61(27) IM International Large Cap Core Equity (MF) Median0.875.14-4.08-5.674.020.00 NONE Page 28 Tequesta Public Safety Officers' Pension Fund Europacific Growth (RERGX) Performance Review As of September 30, 2015 3 Yr Rolling Under/Over Performance - 5 Years3 Yr Rolling Percentile Ranking - 5 Years 20.00.0 Over Performance 25.0 15.0 50.0 10.0 75.0 5.0 100.0 Under 12/106/1112/116/1212/126/1312/136/1412/149/15 Performance 0.0 5-2525-MedianMedian-7575-95 0.05.010.015.020.0 Total Period CountCountCountCount MSCI AC World ex USA (%) Europacific Growth105(50%)3(30%)2(20%)0(0%) Over PerformanceEarliest DateLatest Date MSCI AC World ex USA208(40%)3(15%)8(40%)1(5%) Peer Group Scattergram - 3 YearsPeer Group Scattergram - 5 Years 8.005.53 4.74 6.00 3.95 3.16 4.00 2.37 2.001.58 9.8610.1510.4410.7311.0211.3111.6011.8913.5013.7514.0014.2514.5014.7515.0015.25 Risk (Standard Deviation %)Risk (Standard Deviation %) StandardStandard ReturnReturn DeviationDeviation Europacific Growth6.3510.20Europacific Growth4.5513.92 MSCI AC World ex USA2.7811.45MSCI AC World ex USA2.2714.98 Median3.9011.65Median3.1914.78 Historical Statistics - 3 Years UpDown TrackingInformationSharpeDownside MarketMarketAlphaBeta ErrorRatioRatioRisk CaptureCapture Europacific Growth3.4795.8271.433.860.950.650.856.34 MSCI AC World ex USA0.00100.00100.000.00N/A0.291.007.66 90 Day U.S. Treasury Bill11.450.18-0.150.05-0.29N/A0.000.01 Historical Statistics - 5 Years UpDown TrackingInformationSharpeDownside MarketMarketAlphaBeta ErrorRatioRatioRisk CaptureCapture Europacific Growth3.3294.4582.232.390.620.390.919.73 MSCI AC World ex USA0.00100.00100.000.00N/A0.221.0010.55 90 Day U.S. Treasury Bill14.990.18-0.150.07-0.22N/A0.000.01 NONE Page 29 Tequesta Public Safety Officers' Pension Fund Total Domestic Fixed Income Performance Review As of September 30, 2015 Peer Group Analysis - IM U.S. Broad Market Fixed Income (SA+CF+MF) 8.0020.00 6.0016.00 4.0012.00 2.008.00 nn rr uu tt ee RR 0.004.00 -2.000.00 -4.00-4.00 -6.00-8.00 Oct-2014Oct-2013Oct-2012Oct-2011Oct-2010Oct-2009 ToToToToToTo QTRFYTD1 YR2 YR3 YR4 YR5 YRSep-2015Sep-2014Sep-2013Sep-2012Sep-2011Sep-2010 Domestic Fixed Income1.82(1)1.97(43)1.97(43)2.63(69)1.24(75)1.96(94)2.47(88)Domestic Fixed Income1.97(43)3.29(88)-1.47(66)4.14(98)4.51(46)7.12(95) Total Dom FI Policy1.232.942.943.452.022.592.91Total Dom FI Policy2.943.96-0.774.314.227.05 (11)(14)(14)(38)(40)(77)(76)(14)(74)(43)(97)(54)(96) Median0.351.701.703.161.803.303.46Median1.704.74-0.987.754.379.98 Comparative Performance 1 Qtr1 Qtr1 Qtr1 Qtr1 Qtr1 Qtr EndingEndingEndingEndingEndingEnding Jun-2015Mar-2015Dec-2014Sep-2014Jun-2014Mar-2014 Domestic Fixed Income-2.791.831.18-0.362.371.30 (98)(31)(54)(73)(33)(92) Total Domestic Fixed Income Policy-1.68(62)1.61(56)1.79(12)0.17(29)2.04(64)1.84(74) IM U.S. Broad Market Fixed Income (SA+CF+MF) Median-1.571.651.25-0.062.172.09 NONE Page 30 Tequesta Public Safety Officers' Pension Fund Total Domestic Fixed Income Performance Review As of September 30, 2015 3 Yr Rolling Under/Over Performance - 5 Years3 Yr Rolling Percentile Ranking - 5 Years 10.00.0 Over Performance 7.5 25.0 5.0 50.0 2.5 75.0 0.0 Under Performance 100.0 -2.5 12/106/1112/116/1212/126/1312/136/1412/149/15 -2.50.02.55.07.510.0 Total Domestic Fixed Income Policy (%) 5-2525-MedianMedian-7575-95 Total Period CountCountCountCount Over PerformanceUnder Performance Domestic Fixed Income200(0%)0(0%)1(5%)19(95%) Earliest DateLatest Date Total Dom FI Policy200(0%)1(5%)2(10%)17(85%) Peer Group Scattergram - 3 YearsPeer Group Scattergram - 5 Years 2.343.63 2.083.30 1.822.97 1.562.64 1.302.31 1.041.98 2.212.382.552.722.893.063.233.403.572.002.202.402.602.803.003.20 Risk (Standard Deviation %)Risk (Standard Deviation %) StandardStandard ReturnReturn DeviationDeviation Domestic Fixed Income1.243.35Domestic Fixed Income2.472.96 Total Dom FI Policy2.022.47Total Dom FI Policy2.912.30 Median1.802.85Median3.462.89 Historical Statistics - 3 Years UpDown TrackingInformationSharpeDownside MarketMarketAlphaBeta ErrorRatioRatioRisk CaptureCapture Domestic Fixed Income1.42120.59163.64-1.39-0.520.341.332.49 Total Domestic Fixed Income Policy0.00100.00100.000.00N/A0.761.001.47 90 Day U.S. Treasury Bill2.600.69-0.730.05-0.76N/A0.000.01 Historical Statistics - 5 Years UpDown TrackingInformationSharpeDownside MarketMarketAlphaBeta ErrorRatioRatioRisk CaptureCapture Domestic Fixed Income1.17111.85150.54-1.14-0.350.781.251.96 Total Domestic Fixed Income Policy0.00100.00100.000.00N/A1.201.001.24 90 Day U.S. Treasury Bill2.360.92-1.060.07-1.20N/A0.000.01 NONE Page 31 Tequesta Public Safety Officers' Pension Fund Garcia Hamilton Fixed Income Performance Review As of September 30, 2015 Peer Group Analysis - IM U.S. Broad Market Core Fixed Income (SA+CF) 5.5717.00 4.88 14.00 4.19 11.00 3.50 8.00 nn rr 2.81 uu tt ee RR 5.00 2.12 2.00 1.43 -1.00 0.74 -4.00 0.05 -0.64-7.00 Oct-2014Oct-2013Oct-2012Oct-2011Oct-2010Oct-2009 ToToToToToTo QTRFYTD1 YR2 YR3 YR4 YR5 YRSep-2015Sep-2014Sep-2013Sep-2012Sep-2011Sep-2010 Garcia Hamilton1.82(3)N/AN/AN/AN/AN/AN/AGarcia HamiltonN/AN/AN/AN/AN/AN/A Barclays Aggregate Index1.232.942.943.451.712.563.10Barclays Aggregate Index2.943.96-1.685.165.268.16 (40)(57)(57)(81)(83)(92)(86)(57)(80)(80)(91)(50)(87) Median1.123.023.023.712.043.193.57Median3.024.50-1.286.605.269.23 Comparative Performance 1 Qtr1 Qtr1 Qtr1 Qtr1 Qtr1 Qtr EndingEndingEndingEndingEndingEnding Jun-2015Mar-2015Dec-2014Sep-2014Jun-2014Mar-2014 Garcia Hamilton-2.79N/AN/AN/AN/AN/A (100) Barclays Aggregate Index-1.68(71)1.61(74)1.79(39)0.17(66)2.04(72)1.84(77) IM U.S. Broad Market Core Fixed Income (SA+CF) Median-1.611.741.730.212.152.02 NONE Page 32 Tequesta Public Safety Officers' Pension Fund Templeton Global Total Return (FTTRX) Performance Review As of September 30, 2015 Peer Group Analysis - IM Global Fixed Income (MF) 8.0020.00 16.00 5.00 12.00 2.00 8.00 -1.00 nn rr 4.00 uu tt ee RR 0.00 -4.00 -4.00 -7.00 -8.00 -10.00 -12.00 -13.00-16.00 Oct-2014Oct-2013Oct-2012Oct-2011Oct-2010Oct-2009 ToToToToToTo QTRFYTD1 YR2 YR3 YR4 YR5 YRSep-2015Sep-2014Sep-2013Sep-2012Sep-2011Sep-2010 Templeton (FTTRX)-6.79(100)-8.14(94)-8.14(94)-1.45(72)N/AN/AN/ATempleton (FTTRX)-8.14(94)5.73(23)N/AN/AN/AN/A Global Fixed Income Index-1.38-3.75-3.750.36-0.293.153.02Global Fixed Income Index-3.754.65-1.582.52 (69)(50)(50)(44)(46)(22)(22)(50)(38)(52)14.19(3)(39)12.95(11) Median-0.35-3.75-3.75-0.28-0.531.241.26Median-3.753.53-1.527.191.617.82 Comparative Performance 1 Qtr1 Qtr1 Qtr1 Qtr1 Qtr1 Qtr EndingEndingEndingEndingEndingEnding Jun-2015Mar-2015Dec-2014Sep-2014Jun-2014Mar-2014 Templeton (FTTRX)-0.140.30-1.61-0.752.670.47 (9)(43)(74)(33)(40)(98) Global Fixed Income Index-0.79(15)-0.02(53)-1.61(74)-3.13(80)3.62(11)3.23(16) IM Global Fixed Income (MF) Median-1.910.08-1.04-1.642.392.42 NONE Page 33 Tequesta Public Safety Officers' Pension Fund Fee Analysis As of September 30, 2015 EstimatedEstimated Market Value Annual FeeAnnual FeeFee Schedule ($) (%)($) Domestic Equity Gabelli/GAMCO Value0.752,810,01821,0750.75 % of Assets Brown Advisory (BAFGX)0.722,841,92720,4620.72 % of Assets International Equity Europacific Growth (RERGX)0.491,690,3528,2830.49 % of Assets Domestic Fixed Income Garcia Hamilton0.253,490,4448,7260.25 % of Assets Global Fixed Income Templeton Global Total Return (FTTRX)0.66559,5293,6930.66 % of Assets Cash Accounts Receipt & Disbursement0.00132,812-0.00 % of Assets Total Fund0.5411,525,38562,239 Consultant Fee: $18,500 Custodial Fees (FY 2014): $4,898 Page 34 Tequesta Public Safety Officers' Pension Fund Plan Growth August 1, 2007 To September 30, 2015 Schedule of Investable Assets $14,300,000 $13,200,000 $12,100,000 $11,525,385 $11,000,000 $9,900,000 $8,800,000 $8,242,623 e u l a $7,700,000 V t e k r a M $6,600,000 $5,500,000 $4,400,000 $3,300,000 $2,200,000 $1,100,000 $0 7/071/087/081/097/091/107/101/117/111/127/121/137/131/147/141/159/15 Total FundNet Cash Flow Page 35 Tequesta Public Safety Officers' Pension Fund Benchmark History As of September 30, 2015 Total Fund PolicyTotal Equity Policy Allocation MandateWeight (%)Allocation MandateWeight (%) Apr-2005Apr-2005 S&P 500 Index60S&P 500 Index100 Barclays Intermediate U.S. Gov/Credit Index40 Jul-2010 Jul-2010 Russell 3000 Index83 Russell 3000 Index50MSCI EAFE Index17 Barclays Intermediate Aggregate Index40 Mar-2012 MSCI EAFE Index10 Russell 3000 Index83 Mar-2012 MSCI AC World ex USA17 Russell 3000 Index50 Sep-2013 Barclays Intermediate Aggregate Index40 Russell 3000 Index77 MSCI AC World ex USA10 MSCI AC World ex USA23 Sep-2013 Russell 3000 Index50 Barclays Aggregate Index30 Total Fixed Income Policy MSCI AC World ex USA15 Allocation MandateWeight (%) Global Fixed Income Index5 Apr-2005 Barclays Intermediate U.S. Gov/Credit Index100 Total Domestic Equity Policy Jul-2010 Allocation MandateWeight (%) Barclays Intermediate Aggregate Index100 Apr-2005 S&P 500 Index100 Sep-2013 Barclays Aggregate Index86 Jul-2010 Global Fixed Income Index14 Russell 3000 Index100 Page 36 Tequesta Public Safety Officers' Pension Fund Benchmark History As of September 30, 2015 Total Domestic Fixed Income PolicyTotal Diversifed Fixed Income Policy Allocation MandateWeight (%)Allocation MandateWeight (%) Apr-2005Jan-1994 Barclays Intermediate U.S. Gov/Credit Index100JPM EMBI+33 Barclays US Corp: High Yield33 Jul-2010 Citigroup Non-U.S. World Government Bond33 Barclays Intermediate Aggregate Index100 Sep-2013 Barclays Aggregate Index100 Total International Equity Policy Allocation MandateWeight (%) May-2010 MSCI EAFE Index100 Dec-2012 MSCI AC World ex USA100 Page 37 ĻƨǒĻƭƷğtǒĬƌźĭ{ğŅĻƷǤhŅŅźĭĻƩƭγtĻƓƭźƚƓCǒƓķ ComplianceChecklist AsofSeptember30,2015 Total Fund Compliance: YesNoN/A 1. The Total Plan return equaled or exceeded the Net 7.5% actuarial earnings assumption over the trailing three year period. 2. The Total Plan return equaled or exceeded the Net 7.5% actuarial earnings assumption over the trailing five year period. 3. The Total Plan return equaled or exceeded the total plan benchmark over the trailing three year period. 4. The Total Plan return equaled or exceeded the total plan benchmark over the trailing five year period. 5. The Total Plan return ranked within the top 40th percentile of its peer group over the trailing three year period. 6. The Total Plan return ranked within the top 40th percentile of its peer group over the trailing five year period. YesNoN/A Equity Compliance: 1. Domestic Equity return equaled or exceeded the benchmark over the trailing three year period. 2. Domestic Equity return equaled or exceeded the benchmark over the trailing five year period. 3. International Equity return equaled or exceeded the benchmark over the trailing three year period. 4. International Equity return equaled or exceeded the benchmark over the trailing five year period. 5. Total Equity investments do not exceed 70% of the market value of Plan assets. 6. Total market value of foreign securities do not exceed 25% of the market value of Plan assets. YesNoN/A Fixed Income Compliance: 1. Domestic Fixed Income return equaled or exceeded the benchmark over the trailing three year period. 2. Domestic Fixed Income return equaled or exceeded the benchmark over the trailing five year period. 3. Global Fixed Income return equaled or exceeded the benchmark over the trailing three year period. 4. Global Fixed Income return equaled or exceeded the benchmark over the trailing five year period. 5. 95% of the fixed income investments have a minimum rating of investment grade or higher. 6. 100% of the fixed income investments maintained an overall rating of B or better at the time of purchase. Brown (BAFGX)Europacific (RERGX)Garcia HamiltonTempleton (FTTRX)GAMCO Manager Compliance: YesNo N/AYesNoN/AYesNo N/AYesNoN/AYesNoN/A 1. Manager outperformed the index over the trailing three year period. 2. Manager outperformed the index over the trailing five year period. 3. Manager has had less than 4 consecutive quarters of underperformance. 4. Manager ranked within the top 40th percentile over the trailing three year period. 5. Manager ranked within the top 40th percentile over the trailing five year period. 6. Manager three year down market capture ratio is less than the index. 7. Manager five year down market capture ratio is less than the index. 8. Manager reports compliance with PFIA Page 38 Report Statistics Definitions and Descriptions Arithmetic difference between the manager’s performance and the designated benchmark return over a specified time period. Active Return - A measure of the difference between a portfolio's actual performance and its expected return based on its level of risk as determined by beta. It determines the portfolio's Alpha - non-systemic return, or its historical performance not explained by movements of the market. A measure of the sensitivity of a portfolio to the movements in the market. It is a measure of the portfolio's systematic risk. Beta - The percentage of quarters that a product achieved a rate of return higher than that of its benchmark. Higher consistency indicates the manager has contributed more to the Consistency - product’s performance. The ratio of average portfolio performance over the designated benchmark during periods of negative returns. A lower value indicates better product performance Down Market Capture - A measure similar to standard deviation that utilizes only the negative movements of the return series. It is calculated by taking the standard deviation of the negative Downside Risk - quarterly set of returns. A higher factor is indicative of a riskier product. Arithmetic difference between the manager’s performance and the risk-free return over a specified time period. Excess Return - A measure of the standard deviation of a portfolio's performance relative to the risk free return. Excess Risk - This calculates the value-added contribution of the manager and is derived by dividing the active rate of return of the portfolio by the tracking error. The higher the Information Ratio - Information Ratio, the more the manager has added value to the portfolio. The percentage of a portfolio's performance that can be explained by the behavior of the appropriate benchmark. A high R-Squared means the portfolio's performance has R-Squared - historically moved in the same direction as the appropriate benchmark. Compounded rate of return for the period. Return - Represents the excess rate of return over the risk free return divided by the standard deviation of the excess return. The result is an absolute rate of return per unit of risk. A Sharpe Ratio - higher value demonstrates better historical risk-adjusted performance. A statistical measure of the range of a portfolio's performance. It represents the variability of returns around the average return over a specified time period. Standard Deviation - This is a measure of the standard deviation of a portfolio's returns in relation to the performance of its designated market benchmark. Tracking Error - Similar to Sharpe ratio but utilizes beta rather than excess risk as determined by standard deviation. It is calculated by taking the excess rate of return above the risk free Treynor Ratio - rate divided by beta to derive the absolute rate of return per unit of risk. A higher value indicates a product has achieved better historical risk-adjusted performance. The ratio of average portfolio performance over the designated benchmark during periods of positive returns. A higher value indicates better product performance. Up Market Capture - Page 39 Disclosures The Bogdahn Group compiled this report for the sole use of the client for which it was prepared. The Bogdahn Group is responsible for evaluating the performance results of the Total Fund along with the investment advisors by comparing their performance with indices and other related peer universe data that is deemed appropriate. The Bogdahn group uses the results from this evaluation to make observations and recommendations to the client. The Bogdahn Group uses time-weighted calculations which are founded on standards recommended by the CFA Institute. The calculations and values shown are based on information that is received from custodians. The Bogdahn Group analyzes transactions as indicated on the custodian statements and reviews the custodial market values of the portfolio. As a result, this provides The Bogdahn Group with a reasonable basis that the investment information presented is free from material misstatement. This methodology of evaluating and measuring performance provides The Bogdahn Group with a practical foundation for our observations and recommendations. Nothing came to our attention that would cause The Bogdahn Group to believe that the information presented is significantly misstated. This performance report is based on data obtained by the client’s custodian(s), investment fund administrator, or other sources believed to be reliable. While these sources are believed to be reliable, the data providers are responsible for the accuracy and completeness of their statements. Clients are encouraged to compare the records of their custodian(s) to ensure this report fairly and accurately reflects their various asset positions. The strategies listed may not be suitable for all investors. We believe the information provided here is reliable, but do not warrant its accuracy or completeness. Past performance is not an indication of future performance. Any information contained in this report is for informational purposes only and should not be construed to be an offer to buy or sell any securities, investment consulting, or investment management services. Additional information included in this document may contain data provided by from index databases, public economic sources and the managers themselves. This document may contain data provided by Barclays. Barclays Index data provided by way of Barclays Live. 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