nebraska investment council...visit the retirement and investments thought leadership site ();...
Post on 17-Jul-2020
1 Views
Preview:
TRANSCRIPT
Visit the Retirement and Investments Thought Leadership Site (https://retirement-investment-insights.aon.com); sharing our best thinking.
Nebraska Investment Council
First Quarter 2020 Performance Review
1 Executive Summary 1
2 Manager Detail 19
Table Of Contents
Executive Summary
1
Aon Proprietary & Confidential Investment advice and consulting services provided by Aon Investments USA Inc.
Market Highlights
6.7%
-0.2% -0.6% -0.4%
3.4%
7.3%
4.7%2.8%
-7.8%
10.5%
6.9%
2.7%0.7%
3.9%
8.9%7.3%
5.6%
-6.7%-10.0%
-5.0%
0.0%
5.0%
10.0%
15.0%
S&P 500 Russell 2000 MSCI EAFE MSCI EmergingMarkets
BloombergBarclays U.S.
Aggregate
BloombergBarclays U.S.
Long Gov't
BloombergBarclays U.S.Long Credit
BloombergBarclays U.S.
High Yield
BloombergCommodity Index
LONG TERM ANNUALIZED RETURNSAS OF 03/31/2020
Five-Year Ten-Year
Source: Russell, MSCI, Bloomberg Barclays, Bloomberg
-19.6%
-30.6%
-22.8% -23.6%
3.1%
20.6%
-4.7%
-12.7%
-23.3%
-7.0%
-24.0%
-14.4%-17.7%
8.9%
32.3%
9.0%
-6.9%
-22.3%
-40.0%
-30.0%
-20.0%
-10.0%
0.0%
10.0%
20.0%
30.0%
40.0%
S&P 500 Russell 2000 MSCI EAFE MSCI EmergingMarkets
BloombergBarclays U.S.
Aggregate
BloombergBarclays U.S.
Long Gov't
BloombergBarclays U.S.Long Credit
BloombergBarclays U.S.
High Yield
BloombergCommodity Index
SHORT TERM RETURNSAS OF 03/31/2020
First Quarter 2020 One-Year
Source: Russell, MSCI, Bloomberg Barclays, BloombergMSCI Indices show net total returns throughout this report. All other indices show gross total returns..
2
Aon Proprietary & Confidential Investment advice and consulting services provided by Aon Investments USA Inc.
Market Highlights
First Quarter 1-Year 3-Year1
5-Year1
10-Year1
Equity
MSCI All Country World IMI -22.44% -12.73% 0.76% 2.45% 5.80%
MSCI All Country World -21.37% -11.26% 1.50% 2.85% 5.88%
Dow Jones U.S. Total Stock Market -20.96% -9.28% 3.92% 5.70% 10.13%
Russell 3000 -20.90% -9.13% 4.00% 5.77% 10.15%
S&P 500 -19.60% -6.98% 5.10% 6.73% 10.53%
Russell 2000 -30.61% -23.99% -4.64% -0.25% 6.90%
MSCI All Country World ex-U.S. IMI -24.11% -16.32% -2.34% -0.66% 2.14%
MSCI All Country World ex-U.S. -23.36% -15.57% -1.96% -0.64% 2.05%
MSCI EAFE -22.83% -14.38% -1.82% -0.62% 2.72%
MSCI EAFE (Local Currency) -20.55% -12.58% -1.80% -0.15% 4.36%
MSCI Emerging Markets -23.60% -17.69% -1.62% -0.37% 0.68%
Fixed Income
Bloomberg Barclays Global Aggregate -0.33% 4.20% 3.55% 2.64% 2.47%
Bloomberg Barclays U.S. Aggregate 3.15% 8.93% 4.82% 3.36% 3.88%
Bloomberg Barclays U.S. Long Gov't 20.63% 32.28% 13.30% 7.32% 8.89%
Bloomberg Barclays U.S. Long Credit -4.65% 9.05% 6.58% 4.67% 7.26%
Bloomberg Barclays U.S. Long Gov't/Credit 6.21% 19.32% 9.68% 5.99% 8.07%
Bloomberg Barclays U.S. TIPS 1.69% 6.85% 3.46% 2.67% 3.48%
Bloomberg Barclays U.S. High Yield -12.68% -6.94% 0.77% 2.78% 5.64%
Bloomberg Barclays Global Treasury ex U.S. -1.53% 2.02% 2.96% 2.44% 1.50%
JP Morgan EMBI Global (Emerging Markets) -11.76% -5.28% 0.44% 2.85% 4.82%
Commodities
Bloomberg Commodity Index -23.29% -22.31% -8.61% -7.76% -6.74%
Goldman Sachs Commodity Index -42.34% -41.01% -13.33% -12.82% -10.43%
Hedge Funds
HFRI Fund-Weighted Composite2
-9.39% -5.11% 0.32% 1.09% 2.78%
HFRI Fund of Funds2
-7.30% -3.94% 0.50% 0.33% 1.91%
Real Estate
NAREIT U.S. Equity REITS -27.30% -21.26% -3.14% -0.35% 7.40%
NCREIF NFI - ODCE 0.97% 4.87% 6.81% 8.46% 11.45%
FTSE Global Core Infrastructure Index -17.89% -9.29% 3.94% 4.52% 8.30%
Private Equity
Burgiss Private iQ Global Private Equity3
11.61% 14.89% 11.58% 13.92%
MSCI Indices show net total returns throughout this report. All other indices show gross total returns.1 Periods are annualized.
2 Latest 5 months of HFR data are estimated by HFR and may change in the future.
3 Burgiss Private iQ Global Private Equity data is as at June 30, 2019
Returns of the Major Capital Markets
Period Ending 03/31/2020
3
Total Assets by Asset Pool
Total Defined Benefit Plan $11,532,537,533
Defined Cont. & Deferred Comp. $1,019,767,349
Total Cash Balance Benefit $2,018,564,888
OSERS $1,173,601,424
Hartford Options $26,531,090
College Savings Plan $4,461,545,211
State Farm CSP $536,404,430
Enable Savings Plan $11,865,003
Health Care Endowments $379,569,014
50/50 Endowments $891,563,132
Excess Liability Fund $70,456,214
In-House Trusts $10,022,316
Internal Short–Term Liquidity Pool $629,076,762
Operating Investment Pool (Internal Government/Corporate) $3,593,989,416
Time Deposit Open Account $39,200,305
Total $26,394,694,087
Performance(%)
1Quarter
1Year
3Years
5Years
10Years
Major Capital Markets
Dow Jones U.S. Total Stock Market Index -21.0 -9.3 3.9 5.7 10.1
MSCI AC World ex USA Index (Net) -23.4 -15.6 -2.0 -0.6 2.1
Blmbg. Barc. Universal 1.3 7.2 4.4 3.4 4.0
CPI 0.4 1.5 1.9 1.8 1.7
Total NIC Plans
Highlights
As of March 31, 2020
Nebraska Investment Council
4
Total Assets by Asset Pool
As of March 31, 2020
Total Defined Benefit Plan43.7%
College Savings Plan16.9%
Operating Investment Pool (Internal Government/Corporate)
13.6%
Total Cash Balance Benefit7.6%
OSERS4.4%
Defined Cont. & Deferred Comp.3.9%
50/50 Endowments3.4%
Internal Short–Term Liquidity Pool2.4%
State Farm CSP2.0%
Health Care Endowments1.4%
Excess Liability Fund0.3%
Time Deposit Open Account0.1%
Hartford Options0.1%
Enable Savings Plan0.0%
In-House Trusts0.0%
5
DB & Endowments – Actual vs. Policy Allocation
- The intermediate-term Private Equity policy allocation is 5% for the Defined Benefit and Cash Balance Benefit Plans.- The long-term target allocation to Real Estate within the DB and CBB Plans is 7.5% and will be funded from U.S. Equity over time.
Nebraska Investment Council
Defined Benefit Plan Cash Balance Benefit
Actual Policy Difference Policy Ranges Actual Policy Difference Policy Ranges
U.S. Equity 25.9% 28.5% -2.6% 23.5% - 33.5% 25.8% 28.5% -2.7% 23.5% - 33.5%
Non-U.S. Equity 10.3% 11.5% -1.2% 6.5% - 16.5% 10.2% 11.5% -1.3% 6.5% - 16.5%
Global Equity 17.6% 19.0% -1.4% 14.0% - 24.0% 17.5% 19.0% -1.5% 14.0% - 24.0%
Fixed Income 32.6% 30.0% 2.6% 25.0% - 35.0% 32.9% 30.0% 2.9% 25.0% - 35.0%
Real Estate 7.1% 6.0% 1.1% 1.0% - 11.0% 7.0% 6.0% 1.0% 1.0% - 11.0%
Private Equity* 6.5% 5.0% 1.5% 0.0% - 10.0% 6.5% 5.0% 1.5% 0.0% - 10.0%
Health Care Endowment 50/50 Endowment
Actual Policy Difference Policy Ranges Actual Policy Difference Policy Ranges
U.S. Equity 28.3% 30.5% -2.2% 25.5% - 35.5% 16.0% 19.0% -3.0% 14.0% - 24.0%
Non-U.S. Equity 12.0% 13.0% -1.0% 8.0% - 18.0% 6.9% 8.0% -1.1% 3.0% - 13.0%
Global Equity 21.0% 21.5% -0.5% 16.5% - 26.5% 10.1% 13.0% -2.9% 8.0% - 18.0%
Fixed Income 26.3% 25.0% 1.3% 20.0% - 30.0% 54.7% 50.0% 4.7% 45.0% - 55.0%
Real Estate 4.2% 5.0% -0.8% 0.0% - 10.0% 5.0% 5.0% 0.0% 0.0% - 10.0%
Private Equity* 8.1% 5.0% 3.1% 0.0% - 10.0% 7.3% 5.0% 2.3% 0.0% - 10.0%
6
Allocation
MarketValue
($)
Performance(%)
1Quarter
1Year
3Years
5Years
10Years
SinceInception
InceptionDate
Total Defined Benefit Plan 11,532,537,533 -14.3 -5.8 2.9 4.1 7.0 8.6 07/01/1983
Policy Benchmark -14.0 -4.8 3.3 4.1 6.9 8.7
Total Cash Balance Benefit Plan 2,018,564,888 -14.2 -5.7 2.9 4.1 6.9 6.9 01/01/2003
Policy Benchmark -14.0 -4.8 3.3 4.1 6.9 7.0
OSERS 1,173,601,424 -10.2 -3.2 2.9 2.0 5.0 8.6 12/01/1989
Policy Index -9.6 -1.0 4.6 4.3 7.0 N/A
Health Care Endowments 379,569,014 -15.4 -6.3 2.7 3.8 7.1 5.9 01/01/2001
Health Care Policy -15.1 -6.0 3.0 4.1 6.9 5.2
50/50 Endowments 891,563,132 -10.1 -2.0 3.0 3.7 6.1 6.9 01/01/1996
50/50 Endowment Policy -9.6 -1.2 3.9 4.2 6.4 6.5
Excess Liability Fund 70,456,214 1.2 7.0 4.4 3.4 4.2 5.5 07/01/1997
Performance Benchmark 1.3 7.2 4.4 3.4 4.0 5.3
Total OIP 4,231,606,677 2.4 6.0 3.5 2.6 2.6 3.9 01/01/1997
Policy Benchmark 2.5 6.5 3.5 2.5 2.8 3.8
Aeronautics 7,174,947 8.2 13.0 5.8 3.7 3.9 6.2 01/01/1990
Blmbg. Barc. U.S. Treasury 8.2 13.2 5.8 3.6 3.8 5.8
Agricultural Development 2,847,368 8.3 13.2 5.9 3.7 4.0 6.4 01/01/1989
Blmbg. Barc. U.S. Treasury 8.2 13.2 5.8 3.6 3.8 6.0
*Only includes Plans that have a total fund return. As such, Defined Contribution, Deferred Compensation, Hartford, College Savings Plans, and TDOAare not shown
Selected* Plans
Performance by Asset Pool
As of March 31, 2020
Nebraska Investment Council
7
Return Summary
Quarterly Excess Performance Ratio of Cumulative Wealth - 10 Years
Total Defined Benefit Plan Policy Benchmark
0.0
15.0
30.0
-15.0
-30.0
Re
turn
1Quarter
FYTD 1Year
3Years
5Years
10Years
Inception7/1/83
-14.0
-8.0-4.8
3.3 4.16.9
8.7
-14.3
-8.7-5.8
2.9 4.17.0
8.6
Total Defined Benefit Plan Benchmark
0.98
1.00
1.02
1.04
3/10 3/11 3/12 3/13 3/14 3/15 3/16 3/17 3/18 3/19 3/20
1.01
Quarterly Out Performance Quarterly Under Performance
0.0%
0.8%
1.6%
-0.8 %
-1.6 %
-2.4 %
6/15 12/15 6/16 12/16 6/17 12/17 6/18 12/18 6/19 3/20
Total Plan Performance Summary
As of March 31, 2020Total Defined Benefit Plan
Nebraska Investment Council
8
Total Fund Performance
-24.00 % -18.00 % -12.00 % -6.00 % 0.00%
Total Fund
Total Fund Benchmark
Total Value Added
-14.30 %
-13.98 %
-0.31 %
Total Value Added:-0.31 %
0.00% 0.20% 0.40%-0.20 %-0.40 %-0.60 %
Other
Manager Value Added
Asset Allocation
-0.09 %
-0.29 %
0.07%
Total Asset Allocation:0.07%
Average Active Weight
0.00% 0.80% 1.60%-0.80 %-1.60 %
Total Cash
Total Private Equity
Total Real Estate
Total Fixed Income
Total Global Equity
Total Non-U.S. Equity
Total U.S. Equity
We
igh
t
(%)
0.07%
0.49%
0.10%
-0.43 %
0.60%
-0.26 %
-0.56 %
Asset Allocation Value Added
0.00% 0.06% 0.12%-0.06 %-0.12 %
0.01%
-0.04 %
0.03%
0.00%
-0.03 %
0.04%
0.06%
Total Manager Value Added:-0.29 %
Manager Value Added
0.00% 2.00% 4.00%-2.00 %
0.00%
1.30%
0.02%
-0.94 %
-0.57 %
0.01%
-0.11 %
Total Defined Benefit Plan
Total Fund Attribution
1 Quarter Ending March 31, 2020
Nebraska Investment Council
9
Total Fund Performance
-9.00 % -6.00 % -3.00 % 0.00%
Total Fund
Total Fund Benchmark
Total Value Added
-5.80 %
-4.80 %
-1.00 %
Total Value Added:-1.00 %
-1.36 % -1.02 % -0.68 % -0.34 % 0.00%
Other
Manager Value Added
Asset Allocation
-0.10 %
-0.86 %
-0.04 %
Total Asset Allocation:-0.04 %
Average Active Weight
0.00% 0.78% 1.56%-0.78 %-1.56 %
Total Cash
Total Private Equity
Total Real Estate
Total Fixed Income
Total Global Equity
Total Non-U.S. Equity
Total U.S. Equity
We
igh
t
(%)
0.07%
0.54%
0.33%
-0.42 %
0.65%
-0.50 %
-0.66 %
Asset Allocation Value Added
0.00% 0.06% 0.12%-0.06 %-0.12 %
0.00%
0.00%
0.00%
-0.05 %
-0.04 %
0.03%
0.01%
Total Manager Value Added:-0.86 %
Manager Value Added
0.00% 2.00% 4.00%-2.00 %-4.00 %
0.00%
1.21%
-0.06 %
-1.21 %
-0.68 %
0.03%
-0.14 %
Total Defined Benefit Plan
Total Fund Attribution
1 Year Ending March 31, 2020
Nebraska Investment Council
10
-36.0
-28.0
-20.0
-12.0
-4.0
4.0
12.0
20.0
28.0
36.0
Re
turn
1Quarter
1Year
3Years
5Years
10Years
2019 2018 2017
Total Defined Benefit Plan -14.3 (76) -5.8 (68) 2.9 (49) 4.1 (30) 7.0 (14) 19.0 (16) -4.2 (66) 16.6 (20)¢
Policy Benchmark -14.0 (70) -4.8 (54) 3.3 (40) 4.1 (29) 6.9 (18) 21.0 (3) -4.8 (76) 16.3 (28)�
5th Percentile -5.5 1.7 5.0 5.0 7.4 20.5 0.5 17.7
1st Quartile -10.0 -2.4 3.8 4.1 6.6 18.3 -1.9 16.4
Median -12.2 -4.4 2.8 3.3 6.0 16.9 -3.5 15.6
3rd Quartile -14.3 -6.6 1.8 2.6 5.4 15.3 -4.6 14.2
95th Percentile -16.1 -8.8 0.2 1.0 3.4 12.1 -6.5 10.3
Population 141 141 137 137 133 164 126 101
Total Defined Benefit Plan
Plan Sponsor Peer Group Analysis
As of March 31, 2020
All Public Plans > $1B-Total Fund
Parentheses contain percentile rankings.
11
Allocation
MarketValue
$%
Performance(%)
1Quarter
FYTD1
Year3
Years5
Years10
YearsSince
InceptionInception
Date
Total Defined Benefit Plan $11,532,537,533 100.0 -14.3 (76) -8.7 (69) -5.8 (68) 2.9 (49) 4.1 (30) 7.0 (14) 8.6 07/01/1983
Policy Benchmark -14.0 (70) -8.0 (59) -4.8 (54) 3.3 (40) 4.1 (29) 6.9 (18) 8.7
Total U.S. Equity $2,983,771,612 25.9 -21.3 (29) -13.3 (25) -9.8 (23) 3.5 (29) 5.5 (23) 10.1 (23) 9.2 07/01/1983
Dow Jones U.S. Total Stock Market -21.0 (27) -12.8 (18) -9.3 (18) 3.9 (21) 5.7 (22) 10.1 (22) 10.0
Total Non-U.S. Equity $1,182,191,152 10.3 -24.1 (55) -18.4 (62) -16.0 (61) -1.2 (31) 0.2 (33) 2.5 (73) 4.8 10/01/1991
MSCI All Country World ex-U.S. IMI* -24.1 (56) -18.5 (65) -16.3 (64) -2.3 (68) -0.7 (75) 2.1 (78) 4.9
Total Global Equity $2,030,509,360 17.6 -25.2 (79) -18.8 (77) -16.0 (75) -0.4 (65) 1.7 (61) 5.9 (60) 5.7 (37) 09/01/2005
MSCI All Country World IMI* -22.4 (63) -15.6 (57) -12.7 (57) 0.8 (52) 2.4 (51) 5.8 (64) 4.9 (53)
Total Fixed Income $3,757,131,853 32.6 -2.1 (74) 0.1 (76) 3.0 (77) 3.2 (73) 2.9 (66) 4.0 (62) 7.7 07/01/1983
Barclays Universal Bond Index* 1.3 (36) 3.9 (29) 7.2 (22) 4.4 (24) 3.4 (31) 4.0 (60) 7.7
Total Real Estate $815,451,561 7.1 1.3 2.9 3.0 5.9 7.8 9.9 6.7 12/01/2004
Performance Benchmark 0.8 3.1 3.9 5.9 7.3 10.0 8.5
Total Private Equity $754,941,496 6.5 3.6 11.0 16.7 15.3 14.0 13.8 5.4 09/01/2005
Dow Jones U.S. Total Stock Market + 3% -20.3 -10.9 -6.5 7.0 8.9 13.4 10.6
Total Cash $8,540,499 0.1
Allocation
MarketValue
($)%
Performance(%)
1Quarter
1Year
3Years
5Years
10Years
SinceInception
InceptionDate
Total Cash Balance Benefit Plan 2,018,564,888 100.0 -14.2 (72) -5.7 (67) 2.9 (49) 4.1 (31) 6.9 (15) 6.9 (22) 01/01/2003
Policy Benchmark -14.0 (70) -4.8 (54) 3.3 (40) 4.1 (29) 6.9 (18) 7.0 (21)
Total U.S. Equity 520,076,840 25.8 -21.3 (29) -9.8 (23) 3.5 (29) 5.5 (23) 10.1 (23) 8.7 (18) 01/01/2003
Dow Jones U.S. Total Stock Market -21.0 (27) -9.3 (18) 3.9 (21) 5.7 (22) 10.1 (22) 8.9 (1)
Total Non-U.S. Equity 206,058,076 10.2 -24.1 (55) -16.0 (61) -1.2 (31) 0.2 (33) 2.5 (73) 5.8 (85) 01/01/2003
MSCI All Country World ex-U.S. IMI* -24.1 (56) -16.3 (64) -2.3 (68) -0.7 (75) 2.1 (78) 6.4 (76)
Total Global Equity 353,921,489 17.5 -25.2 (79) -16.0 (75) -0.4 (65) 1.7 (61) 5.9 (60) 5.7 (37) 09/01/2005
MSCI All Country World IMI* -22.4 (63) -12.7 (57) 0.8 (52) 2.4 (51) 5.8 (64) 4.9 (53)
Total Fixed Income 664,786,107 32.9 -2.0 (74) 3.0 (77) 3.2 (76) 2.8 (66) 3.9 (67) 4.5 (64) 01/01/2003
Barclays Universal Bond Index* 1.3 (36) 7.2 (22) 4.4 (24) 3.4 (31) 4.0 (60) 4.6 (63)
Total Real Estate 142,134,696 7.0 1.3 3.0 5.9 7.8 9.9 6.8 12/01/2004
Performance Benchmark 0.8 3.9 5.9 7.3 10.0 8.5
Total Private Equity 131,587,681 6.5 3.6 16.7 15.3 14.0 13.8 5.4 09/01/2005
Dow Jones U.S. Total Stock Market + 3% -20.3 -6.5 7.0 8.9 13.4 10.6
Defined Benefit & Cash Balance Benefit Plans
Asset Allocation & Performance
As of March 31, 2020
*Denotes a performance benchmarkthat is a splice of more than one index. Decriptions can be found in the appendix of this report.Note: The Total Fixed Income market value for the Cash Balance Benefit plan includes the CBB-GICS & Money Market. Nebraska Investment Council
12
Total Fund
$ %
Total Defined Cont. & Deferred Comp. 1,019,767,349 100.0
Total Fund
$ %
Total Hartford Options 26,531,090 100.0
Defined Contribution & Deferred Compensation Plans
Asset Allocation
As of March 31, 2020
13
Total Fund
$ %
First National 4,461,545,211 100.0
Direct 2,025,753,984 45.4
TD 1,348,523,409 30.2
Advisor 1,087,267,819 24.4
A 965,357,044 21.6
C 121,910,775 2.7
Total Fund
$ %
Total State Farm College Savings Plan 536,404,430 100.0
State Farm Age-Based Investment Options 408,943,077 76.2
State Farm Static Investment Options 127,461,352 23.8
College Savings Plans
Asset Allocation
As of March 31, 2020
Nebraska Investment Council
14
Allocation
MarketValue
($)
Performance(%)
1Quarter
1Year
3Years
SinceInception
InceptionDate
Enable Savings Plan 11,865,003
Growth Option 2,381,513 -17.0 -7.5 2.5 4.8 07/01/2016
Enable Benchmark Growth Option -17.0 -7.2 2.9 5.3
Moderate Option 1,553,148 -12.2 -3.8 2.9 4.4 07/01/2016
Enable Benchmark Moderate Option -12.4 -3.6 3.2 4.7
Conservative Option 1,213,502 -5.6 0.3 2.7 3.1 07/01/2016
Enable Benchmark Conservative Option -5.8 0.5 3.0 3.5
Bank Savings Option 5,019,547 0.3 1.3 0.9 0.8 07/01/2016
FTSE 3 Month T-Bill 0.4 2.0 1.7 1.5
Checking Option 1,697,294
.Inception
DateAllocation
Enable Savings Plan: Nebraska 10,197,805
Growth Option Nebraska 1,936,896 07/01/2016
Moderate Option Nebraska 1,382,894 07/01/2016
Conservative Option Nebraska 999,998 07/01/2016
Bank Savings Option Nebraska 4,608,563 07/01/2016
Checking Option Nebraska 1,269,454 07/01/2016
SinceInception
InceptionDate
Allocation
Enable Savings Plan: Alabama 1,667,197
Growth Option Alabama 444,617
Moderate Option Alabama 170,254
Conservative Option Alabama 213,504
Bank Savings Option Alabama 410,984
Checking Option Alabama 427,840
Enable Savings Plan
Asset Allocation & Performance
As of March 31, 2020
15
Allocation
MarketValue
($)%
Performance(%)
1Quarter
1Year
3Years
5Years
10Years
SinceInception
InceptionDate
Total Health Care Endowment 379,569,014 100.0 -15.4 -6.3 2.7 3.8 7.1 5.9 01/01/2001
Health Care Policy -15.1 -6.0 3.0 4.1 6.9 5.2
Total US Equity 107,348,262 28.3 -21.4 -9.9 3.4 5.5 10.0 6.5 01/01/2002
Dow Jones U.S. Total Stock Market Index -21.0 -9.3 3.9 5.7 10.1 7.0
Total Non-US Equity 45,588,869 12.0 -24.1 -16.3 -2.2 -0.5 2.5 3.5 01/01/2001
MSCI All Country World ex-U.S. IMI* -24.1 -16.3 -2.3 -0.7 2.1 3.5
Total Global Equity 79,896,118 21.0 -27.2 -17.7 -1.4 1.0 5.6 5.4 09/01/2005
MSCI All Country World IMI* -22.4 -12.7 0.8 2.4 5.7 4.9
Total Fixed Income 99,847,878 26.3 4.2 7.7 3.9 2.7 2.3 4.0 07/01/1997
Performance Benchmark 4.7 8.2 3.9 2.6 2.6 3.8
Total Real Estate 16,114,005 4.2
Total Private Equity 30,773,882 8.1
Allocation
MarketValue
($)%
Performance(%)
1Quarter
1Year
3Years
5Years
10Years
SinceInception
InceptionDate
Total 50/50 Endowment 891,563,133 100.0 -10.1 -2.0 3.0 3.7 6.1 6.9 01/01/1996
50/50 Endowment Policy -9.6 -1.2 3.9 4.2 6.4 6.5
Total US Equity 142,541,851 16.0 -27.2 -18.1 -2.6 1.6 7.8 5.4 01/01/2002
Dow Jones U.S. Total Stock Market Index -21.0 -9.3 3.9 5.7 10.1 7.0
Total Non-US Equity 61,092,268 6.9 -24.1 -16.3 -2.2 -0.5 2.0 3.3 01/01/2001
MSCI All Country World ex-U.S. IMI* -24.1 -16.3 -2.3 -0.7 2.1 3.5
Total Global Equity 90,170,730 10.1 -27.2 -17.7 -1.4 1.0 5.6 5.4 09/01/2005
MSCI All Country World IMI* -22.4 -12.7 0.8 2.4 5.7 4.9
Total Fixed Income 487,582,239 54.7 1.1 6.9 4.4 3.4 4.1 5.5 07/01/1997
Blmbg. Barc. Universal Bond Index* 1.3 7.2 4.4 3.4 4.0 5.3
Total Real Estate 44,773,590 5.0
Total Private Equity 65,402,455 7.3
Endowment Breakout
Asset Class Performance
As of March 31, 2020
-Beginning December 2012, performance was calculated by Aon Hewitt Investment Consulting. Prior to December 2012, performance was calculated by State Street.*Denotes a performance benchmark that is a splice of more than one index. Descriptions can be found in the appendix of this report. Nebraska Investment Council
16
Allocation
MarketValue
($)%
Performance(%)
1Quarter
1Year
3Years
5Years
10Years
SinceInception
InceptionDate
Total In-House Plans 10,022,316 100.0
Aeronautics 7,174,947 71.6 8.2 13.0 5.8 3.7 3.9 6.2 01/01/1990
Blmbg. Barc. U.S. Treasury 8.2 13.2 5.8 3.6 3.8 5.8
Agricultural Development 2,847,368 28.4 8.3 13.2 5.9 3.7 4.0 6.4 01/01/1989
Blmbg. Barc. U.S. Treasury 8.2 13.2 5.8 3.6 3.8 6.0
Allocation
MarketValue
($)%
Performance(%)
1Quarter
1Year
3Years
5Years
10Years
SinceInception
InceptionDate
Total OIP 4,231,606,677 100.0 2.4 6.0 3.5 2.6 2.6 3.9 01/01/1997
Performance Benchmark 2.5 6.5 3.5 2.5 2.8 3.8
Internal Short–Term Liquidity Pool 637,617,261 15.1 0.3 1.7 1.4 1.0 1.0 3.1 01/01/1997
Performance Benchmark 0.6 2.3 1.4 0.9 0.6 2.9
Operating Investment Pool (Internal Government/Corporate) 3,593,989,416 84.9 2.8 6.8 3.9 2.8 2.6 11/01/2011
Performance Benchmark 3.4 7.6 3.9 2.9 2.7
Total Fund
$ %
Time Deposit Open Account 39,200,305 100.0
Total In House Trusts & OIP
Asset Allocation & Performance
As of March 31, 2020
The Internal Short-Term Liquidity Pool includes the DB STIF amount of $8,540,499. When summing the assets of all NIC plans, the DB STIF has beencounted in the DB Plan and removed from the In-House Plan to avoid double counting.
17
Nebraska Investment Council
Watchlist
Summary of Funds Not Assigned a Green Status
Plan/FundStatus as of
1Q 2020Trigger Event AHIC Comment
Defined Benefit & CBBFranklin Templeton Yellow Significant Organization Change, Performance Continue to monitorBlackRock Core Plus Universal Yellow Performance Continue to monitorWellington Global Yellow Performance Continue to monitor
Defined ContributionDFA Small Cap Yellow Performance Continue to monitor
Hartford PlanT. Rowe Price Growth Stock Yellow Performance Continue to monitorLoomis Sayles Bond Yellow Performance Continue to monitorTempleton Foreign Bond Yellow Performance Continue to monitorGoldman Sachs Mid-Cap Value Yellow Weak Manager Research Rating, Adverse Change in Portfolio Manager Continue to monitorMutual Discovery Yellow Weak Manager Research Rating Continue to monitorOakmark Equity & Income Yellow Weak Manager Research Rating Continue to monitor
College Savings PlanFederated Total Return Bond Yellow Performance Continue to monitor
StatusNumber of Criteria Met Suggested Action
Less than 2 Active – No action required
2 to 3 Active – On “closely monitored” list
4 Closed – all allocations to the fund must be stopped, but accumulated balances may remain invested
Greater than 4 Closed Out – All invested balances must be moved to another active option
18
Manager Detail
19
Allocation
MarketValue
$% Policy(%)
Performance(%)
1Quarter
1Year
3Years
5Years
10Years
SinceInception
InceptionDate
Total Defined Benefit Plan $11,532,537,533 100.0 100.0 -14.3 (76) -5.8 (68) 2.9 (49) 4.1 (30) 7.0 (14) 8.6 (-) 07/01/1983
Policy Benchmark -14.0 (70) -4.8 (54) 3.3 (40) 4.1 (29) 6.9 (18) 8.7 (-)
Total U.S. Equity $2,983,771,612 25.9 28.5 -21.3 (29) -9.8 (23) 3.5 (29) 5.5 (23) 10.1 (23) 9.2 (-) 07/01/1983
Dow Jones U.S. Total Stock Market -21.0 (27) -9.3 (18) 3.9 (21) 5.7 (22) 10.1 (22) 10.0 (-)
DFA $241,240,515 2.1 -32.5 (61) -26.6 (59) -7.1 (68) -1.3 (66) 6.9 (58) 9.6 (23) 10/01/1996
Russell 2000 Index* -30.6 (37) -24.0 (37) -4.6 (37) -0.2 (52) 6.3 (71) 7.8 (66)
BlackRock Russell 1000 Index $2,742,531,097 23.8 -20.2 (51) -8.0 (41) 4.7 (29) 6.3 (24) 10.4 (24) 6.6 (33) 10/01/2007
Russell 1000 Index -20.2 (52) -8.0 (42) 4.6 (30) 6.2 (25) 10.4 (24) 6.5 (34)
Total Non-U.S. Equity $1,182,191,152 10.3 11.5 -24.1 (55) -16.0 (61) -1.2 (31) 0.2 (33) 2.5 (73) 4.8 (-) 10/01/1991
MSCI All Country World ex-U.S. IMI* -24.1 (56) -16.3 (64) -2.3 (68) -0.7 (75) 2.1 (78) 4.9 (-)
BlackRock ACWI ex-U.S. IMI Index $1,182,191,152 10.3 -24.1 (51) -16.0 (49) - - - -8.4 (41) 12/01/2017
MSCI AC World ex USA IMI (Net) -24.1 (52) -16.3 (50) - - - -8.9 (46)
Total Global Equity $2,030,509,360 17.6 19.0 -25.2 (79) -16.0 (75) -0.4 (65) 1.7 (61) 5.9 (60) 5.7 (37) 09/01/2005
MSCI All Country World IMI* -22.4 (63) -12.7 (57) 0.8 (52) 2.4 (51) 5.8 (64) 4.9 (53)
MFS $691,793,074 6.0 -21.9 (58) -10.8 (45) 2.4 (36) 3.7 (35) 8.1 (24) 7.5 (11) 10/01/2005
MSCI All Country World IMI* -22.4 (63) -12.7 (57) 0.8 (52) 2.4 (51) 5.7 (65) 4.7 (54)
Arrowstreet $620,603,842 5.4 -22.5 (64) -14.4 (67) 1.3 (46) - - 4.7 (30) 09/01/2016
MSCI AC World IMI (Net) -22.4 (63) -12.7 (57) 0.8 (52) - - 3.1 (46)
Wellington Equity $202,726,382 1.8 -32.0 (90) -24.5 (72) -5.0 (60) - - -1.4 (59) 09/01/2016
MSCI AC World Small Cap (Net) -30.2 (74) -23.1 (69) -4.5 (59) - - -1.4 (59)
Dodge & Cox $515,386,059 4.5 -31.0 (88) -22.1 (85) - - - -7.0 (84) 07/01/2017
MSCI AC World IMI (Net) -22.4 (57) -12.7 (54) - - - -0.7 (45)
Total Defined Benefit Plan
Asset Allocation & Performance
As of March 31, 2020
Performance for individual private equity accounts are provided separately in the private equity performance report. Nebraska Investment Council
20
Total Defined Benefit Plan
Asset Allocation & Performance
As of March 31, 2020
Allocation
MarketValue
$% Policy(%)
Performance(%)
1Quarter
1Year
3Years
5Years
10Years
SinceInception
InceptionDate
Total Fixed Income $3,757,131,853 32.6 30.0 -2.1 (74) 3.0 (77) 3.2 (73) 2.9 (66) 4.0 (62) 7.7 (-) 07/01/1983
Blmbg. Barc. Universal Bond Index* 1.3 (36) 7.2 (22) 4.4 (24) 3.4 (31) 4.0 (60) 7.7 (-)
BlackRock Core Plus Universal $532,172,872 4.6 0.1 (38) 5.7 (47) 4.0 (44) 3.2 (39) 4.4 (43) 5.6 (28) 04/01/1998
Blmbg. Barc. Universal Bond Index* 1.3 (25) 7.2 (23) 4.4 (25) 3.4 (28) 4.0 (68) 5.3 (54)
PIMCO $693,282,524 6.0 0.2 (38) 6.4 (33) 4.6 (16) 3.6 (14) 4.1 (63) 5.8 (18) 04/01/1998
Blmbg. Barc. Univeral Bond Index* 1.3 (25) 7.2 (23) 4.4 (25) 3.4 (28) 4.0 (68) 5.3 (54)
BlackRock Aggregate Bond Index $606,957,184 5.3 3.1 (16) 8.9 (15) 4.8 (17) 3.4 (22) 4.0 (46) 4.5 (48) 02/01/2006
Blmbg. Barc. Aggregate Bond Index 3.1 (16) 8.9 (15) 4.8 (17) 3.4 (26) 3.9 (53) 4.5 (56)
Loomis Sayles $214,407,875 1.9 -3.9 (84) 1.7 (84) 3.4 (71) 3.5 (16) 6.4 (1) 6.6 (1) 07/01/2006
Blmbg. Barc. Universal Bond Index* 1.3 (25) 7.2 (23) 4.4 (25) 3.4 (28) 3.9 (79) 5.1 (42)
Wellington Global $458,030,479 4.0 -1.0 (18) 3.1 (23) 3.4 (19) 2.4 (38) - 1.2 (60) 09/01/2014
Blmbg. Barc. Global Aggregate -0.3 (15) 4.2 (16) 3.6 (18) 2.6 (29) - 1.3 (57)
Loomis Sayles Bank Loans $296,062,796 2.6 -11.5 (27) -8.1 (45) -1.1 (69) 0.7 (76) - 1.0 (75) 06/01/2014
S&P/LSTA Leveraged Loan Index -13.0 (78) -9.2 (64) -0.8 (51) 1.1 (43) - 1.3 (44)
Franklin Templeton $302,043,124 2.6 -11.8 (32) -10.5 (85) -1.8 (87) 0.6 (78) - 0.9 (75) 07/01/2014
Credit Suisse Leveraged Loan (Split BB) -11.6 (29) -7.5 (31) -0.5 (43) 1.3 (33) - 1.6 (23)
Neuberger Berman Core Plus $608,325,053 5.3 -1.2 (59) 4.8 (58) 3.9 (45) - - 3.6 (52) 07/01/2015
Blmbg. Barc. Universal Bond Index 1.3 (25) 7.2 (23) 4.4 (25) - - 3.8 (27)
Opportunistic Fixed Income - PIMCO Bravo II $38,672,945 0.3
Opportunistic Fixed Income - Oaktree $6,982,174 0.1
Opportunistic Cash and Int Rec $161,105 0.0
Contributions and Withdrawals $33,722 0.0
Total Real Estate $815,451,561 7.1 6.0 1.3 3.0 5.9 7.8 9.9 6.7 12/01/2004
Performance Benchmark 0.8 3.9 5.9 7.3 10.0 8.5
CB Richard Ellis Strategic $4,157,727 0.0
Prudential PRISA I $168,166,773 1.5
UBS Real Estate $132,308,891 1.1
Cornerstone Patriot Fund $18,332,773 0.2
Rockwood Capital Real Estate Fund IX $4,523,850 0.0
Prudential PRISA II $76,713,880 0.7
Five Arrows Realty $57,302 0.0
Heitman Value Partners II $41,721 0.0
RockPoint Fund III $1,013,540 0.0
Landmark Real Estate VI $2,154,459 0.0
Landmark Real Estate VII $18,998,062 0.2
AG Realty Fund VIII $5,875,549 0.1
Performance for individual private equity accounts are provided separately in the private equity performance report. Nebraska Investment Council
21
Total Defined Benefit Plan
Asset Allocation & Performance
As of March 31, 2020
Allocation
MarketValue
$% Policy(%)
Performance(%)
1Quarter
1Year
3Years
5Years
10Years
SinceInception
InceptionDate
UBS Trumbull Property Income $115,683,057 1.0
Almanac Realty Securities VII $14,616,427 0.1
Torchlight IV $2,790,216 0.0
Torchlight V $9,787,185 0.1
Rockwood Capital Real Estate Fund X $26,852,569 0.2
Landmark Real Estate VIII $10,890,792 0.1
Torchlight VI $19,462,064 0.2
Almanac Realty Securities VIII $3,608,164 0.0
Clarion Lion Properties Fund $176,635,548 1.5
Rockwood Capital Real Estate Fund XI $225,157 0.0
Real Estate Cash $2,555,857 0.0
Total Private Equity $754,941,496 6.5 5.0 3.6 16.7 15.3 14.0 13.8 5.4 09/01/2005
Dow Jones U.S. Total Stock Market + 3% -20.3 -6.5 7.0 8.9 13.4 10.6
Abbott Capital $7,227,631 0.1
Pathway $17,537,382 0.2
Sun Capital $3,754,466 0.0
Dover Street VIII $7,804,993 0.1
CMEA Ventures VII $4,521,078 0.0
New Mountain Partners III $16,624,640 0.1
New Mountain Partners IV $19,591,648 0.2
Citigroup Venture Capital International $3,112,239 0.0
Wayzata Opportunities Fund II $193,793 0.0
Resolute Fund II $7,521,169 0.1
Resolute Fund III $20,784,999 0.2
Accel KKR Capital Partners III $40,343 0.0
BridgePoint Europe IV $3,709,794 0.0
Quantum Energy Partners V $7,797,100 0.1
Quantum Energy Partners VI $25,953,785 0.2
CVC European Equity Partners VI $14,505,204 0.1
CVC European Equity Partners V $2,037,141 0.0
Fulcrum Growth Partners IV $8,215,236 0.1
Ares Corporate Opp Fund III $3,448,617 0.0
Ares Corporate Opp Fund IV $11,092,330 0.1
New Enterprise Associates 13 $12,097,019 0.1
New Enterprise Associates 14 $21,288,798 0.2
Lincolnshire Equity Partners IV $7,248,054 0.1
Performance for individual private equity accounts are provided separately in the private equity performance report. Nebraska Investment Council
22
Total Defined Benefit Plan
Asset Allocation & Performance
As of March 31, 2020
Allocation
MarketValue
$% Policy(%)
Performance(%)
1Quarter
1Year
3Years
5Years
10Years
SinceInception
InceptionDate
Longroad Capital Partners LP $57,709 0.0
Merit Mezzanine Fund V $5,721,470 0.0
Ares Mezzanine Fund Partners $53,661 0.0
Lightyear Fund III $1,582,507 0.0
EIF U.S. Power Fund IV $13,685,239 0.1
McCarthy Capital Fund V $8,568,528 0.1
Green Equity Investors VI $19,188,867 0.2
Wayzata Opp Fund III $3,516,543 0.0
Accel KKR Capital Partners IV $9,556,000 0.1
Beeker Petty O'Keefe & Co. IV $15,740,464 0.1
Pine Brook Capital Partners II $29,360,605 0.3
EMG III LP $18,624,805 0.2
Francisco Partners IV $22,215,699 0.2
Wynnchurch Capital Partners IV $19,506,130 0.2
BridgePoint Europe V $19,664,482 0.2
McCarthy Capital Fund VI $42,688,719 0.4
Dover Street IX $30,675,364 0.3
Green Equity Investors VII $39,140,349 0.3
Quantum Energy Investors VII $21,130,761 0.2
Ares Corporate Opp Fund V $35,961,322 0.3
Genstar Cap Ptr VIII L.P. $55,809,534 0.5
New Mountain Partners V $29,814,768 0.3
Francisco Partners V $25,212,942 0.2
Resolute Fund IV $25,773,753 0.2
BridgePoint Europe VI $7,737,987 0.1
Genstar Cap Ptr IX LP $10,158,705 0.1
New Enterprise Associates 17 $7,464,559 0.1
Dover Street X $2,553,616 0.0
Private Equity Cash $7,668,947 0.1
Total Cash $8,540,499 0.1 0.0
STIF $8,540,499 0.1
The Inception-to-Date IRR for Real Estate is 6.9% as of 12/31/2019. The Inception-to-Date IRR for Private Equity is 12.1% as of 12/31/2019.
* Denotes a performance benchmark that is a splice of more than one index. Descriptions can be found in the appendix of this report.
The Private Equity asset class returns are time-weighted.
Performance for individual private equity accounts are provided separately in the private equity performance report. Nebraska Investment Council
23
OSERS – Summary of Transition Activity During 1Q
Allocation as of
12/31/16 (%)
Allocationas of
12/31/17 (%)
Allocation as of
12/31/18 (%)
Allocation as of
12/31/19 (%)
Allocation as of
3/31/20 (%)
Transition Year 4 Target
Long-Term Target Asset
Allocation
U.S. Equity 13.4% 20.0% 18.7% 22.4% 19.5% 22.5% 27.0%
Non-U.S. Equity -- 9.6 8.6 9.6 8.2 9.5 11.5
Global Equity 18.5 13.4 13.1 15.5 13.4 16.0 19.0
Fixed Income (Core) 11.5 24.0 27.0 26.7 30.3 25.0 21.5
Fixed Income (RS) -- -- -- -- -- 2.0 8.5
Hedge Funds 9.1 2.4 1.0 0.6 0.6
25.0
--
Real Assets 14.9 3.4 3.6 1.4 1.6 --
Real Estate 21.1 15.8 15.5 12.2 12.9 7.5
Private Equity 10.3 11.2 12.5 11.6 13.5 5.0
Cash 1.4 -- -- -- -- -- --
Total Fund 100.0% 100.0% 100.0% 100.0% 100.0% 100.0% 100.0%
OSERS finished 1Q underweight to traditional asset classes in aggregate relative to the Transition Year 4 Target allocation
– This was largely driven by a sell off in risk assets during 1Q that is not yet fully reflected in illiquid asset valuations
Within traditional asset classes, OSERS was meaningfully underweight to equities and overweight fixed income, the result of 1Q’sequity market decline
OSERS has not yet established an allocation to “Return-Seeking” (RS) fixed income
– We would suggest waiting to fund any allocation to return-seeking fixed income until the conclusion of the fixed income component review, which is currently in process
As of 3/31/2020, ≈28.6% of the OSERS portfolio was invested in legacy illiquid assets
Effectively all of what can be liquidated (without incurring a meaningful haircut) has already been liquidated; further transition activity towards Long-Term Target weightings is likely to be driven by distributions from the legacy illiquid managers
It will be several years before the Long-Term Target allocation is reached
24
Allocation
MarketValue
($)%
Performance(%)
1Quarter
FYTD1
Year3
Years5
Years10
Years
OSERS 1,173,601,424 100.0 -10.2 (27) -5.7 (28) -3.2 (34) 2.9 (50) 2.0 (87) 5.0 (83)
Policy Index -9.6 (19) -4.0 (9) -1.0 (12) 4.6 (11) 4.3 (21) 7.0 (12)
U.S. Equity Composite 229,002,930 19.5 -21.3 (29) -12.6 (24) -9.8 (23) 3.5 (29) 2.9 (83) 9.0 (74)
Custom U.S. Equity Index -21.0 (27) -12.3 (23) -9.3 (18) 3.9 (21) 4.9 (37) 9.8 (37)
BlackRock Russell 1000 Index 211,065,813 18.0 -20.2 (47) -11.4 (42) -8.0 (43) 4.6 (36) - -
Russell 1000 Index -20.2 (47) -11.5 (42) -8.0 (43) 4.6 (36) - -
Dimensional Fund Advisors 17,937,118 1.5 -32.5 (61) -24.4 (52) -26.6 (60) - - -
Russell 2000 Index -30.6 (37) -22.1 (28) -24.0 (37) - - -
Global Equity Composite 157,277,779 13.4 -25.2 (79) -17.2 (78) -16.1 (75) -0.7 (66) 2.3 (53) 6.0 (58)
Custom Global Equity Index -22.4 (63) -13.6 (54) -12.7 (57) 0.8 (52) 2.4 (52) 5.7 (66)
Arrowstreet 48,359,814 4.1 -22.5 (64) -14.1 (59) -14.5 (67) 1.2 (47) - -
MSCI AC World IMI (Net) -22.4 (63) -13.6 (54) -12.7 (57) 0.8 (52) - -
MFS 52,396,647 4.5 -21.9 (58) -15.4 (68) -10.8 (45) 2.3 (37) - -
MSCI AC World IMI (Net) -22.4 (63) -13.6 (54) -12.7 (57) 0.8 (52) - -
Wellington Equity 18,459,490 1.6 -32.0 (90) -24.5 (97) -24.5 (72) -5.0 (60) - -
MSCI AC World Small Cap (Net) -30.2 (74) -21.8 (78) -23.1 (69) -4.5 (59) - -
Dodge & Cox 38,061,828 3.2 -31.1 (88) -20.9 (83) -22.2 (85) - - -
MSCI AC World IMI (Net) -22.4 (57) -13.6 (50) -12.7 (54) - - -
International Equity Composite 96,505,323 8.2 -24.1 (51) -14.9 (53) -16.6 (52) -2.3 (48) - -
MSCI AC World ex USA IMI (Net) -24.1 (52) -15.0 (53) -16.3 (50) -2.3 (48) - -
BlackRock ACWI ex-U.S. IMI Index 96,505,323 8.2 -24.1 (51) -14.9 (53) -16.1 (50) - - -
MSCI AC World ex USA IMI (Net) -24.1 (52) -15.0 (53) -16.3 (50) - - -
OSERS
Asset Allocation & Performance
As of March 31, 2020
Fiscal Year ends August 31.
25
OSERS
Asset Allocation & Performance
As of March 31, 2020
Allocation
MarketValue
($)%
Performance(%)
1Quarter
FYTD1
Year3
Years5
Years10
Years
Total Fixed Income 355,211,931 30.3 1.0 (39) 0.9 (34) 6.9 (24) 4.4 (24) -0.7 (98) -
Custom Fixed Income Index 1.3 (36) 1.3 (25) 7.2 (22) 4.4 (24) 3.1 (48) -
BlackRock Aggregate Bond Index 147,041,799 12.5 3.1 (17) 2.8 (14) 8.9 (15) 4.9 (16) - -
Blmbg. Barc. U.S. Aggregate 3.1 (16) 2.8 (14) 8.9 (15) 4.8 (17) - -
BlackRock Core Plus Universal 56,294,943 4.8 0.1 (38) 0.4 (33) 5.6 (47) 4.0 (44) - -
Blmbg. Barc. Universal Bond Index 1.3 (25) 1.3 (22) 7.2 (23) 4.4 (25) - -
PIMCO 75,633,770 6.4 0.2 (38) -0.5 (50) 6.4 (33) 4.5 (22) - -
Blmbg. Barc. Universal Bond Index 1.3 (25) 1.3 (22) 7.2 (23) 4.4 (25) - -
Neuberger Berman Core Plus 72,566,822 6.2 -1.2 (59) -0.9 (56) 4.8 (57) 4.0 (43) - -
Blmbg. Barc. Universal Bond Index 1.3 (25) 1.3 (22) 7.2 (23) 4.4 (25) - -
OSERS Contributions & Withdrawals 3,674,598 0.3
Hedge Fund Composite 6,975,482 0.6 0.0 0.0 0.0 -4.6 -5.2 -
HFRI RV: Multi-Strategy Index -6.1 -4.0 -3.8 0.3 1.5 -
Vaquero EMD 6,963,543 0.6 0.0 0.0 0.0 -8.0 -5.4 -
Blmbg. Barc. Emerging Markets USD Aggregate Index -9.5 -7.6 -2.9 1.5 3.3 -
Hedge Fund Cash 11,938 0.0
Real Asset Composite 18,553,519 1.6 -0.8 -2.5 -5.5 -3.9 -4.3 -
Custom Real Asset Benchmark 1.5 3.6 6.2 6.7 1.2 -
BTG 3,316,983 0.3
JP Morgan Global Maritime 15,173,511 1.3
Real Asset Cash 63,025 0.0
Private Equity Composite 158,813,315 13.5 3.3 3.4 9.3 11.3 8.2 -
Burgiss All US PE (1-Qtr Lag) 4.0 9.7 15.3 14.5 12.5 -
AAVIN Mezzanine Credit Funds 27,661,400 2.4
FCP Capital 13,426,659 1.1
SPC Capital 81,258,063 6.9
Stonetree Capital 33,833,476 2.9
Private Equity Cash 2,633,717 0.2
Fiscal Year ends August 31.
26
OSERS
Asset Allocation & Performance
As of March 31, 2020
Allocation
MarketValue
($)%
Performance(%)
1Quarter
FYTD1
Year3
Years5
Years10
Years
Real Estate Composite 151,261,146 12.9 1.6 1.8 1.1 2.3 4.3 -
NCREIF Property Index 0.7 3.7 5.3 6.4 7.6 -
25 Capital Residential Mortgage Opp. Fund 16,958,717 1.4
Mariner IV 54,463,026 4.6
Almanac Realty Securities VI 4,441,651 0.4
Almanac Realty Securities VII 12,873,068 1.1
JPM Strategic 15,525,509 1.3
JP Morgan India Property Fund II 13,996,952 1.2
Mariner III 18,392,193 1.6
UBS Trumbull 14,029,136 1.2
Real Estate Cash 580,893 0.0
Fiscal Year ends August 31.
27
OSERS Private Markets Manager IRR Summary (Through 12/31/2019)
*Total Commitments include commitments to Real Estate funds that have already wound down.
Private Equity Portfolio
Total Commitments
Periodic IRR as of 12/31/2019
Investment Vintage Year QTD YTD 1-Year 3-Year 5-Year Inception
SPC I-IV 2001 $163,958,323 1.91% 5.22% 5.22% 10.97% 7.09% 5.73%
FCP Fund II 2011 30,000,000 -2.95% 7.45% 7.45% 8.00% 11.93% 8.46%
Stonetree IV 2012 53,152,755 1.81% 5.78% 5.78% 11.35% 6.38% 6.31%
AAVIN Mezzanine Fund, LP 2014 5,000,000 13.90% 49.65% 49.65% 20.04% 10.32% 10.21%
AAVIN Equity Partners II, LP 2015 25,000,000 12.52% 28.65% 28.65% 14.67% N/A 11.27%
Total Private Equity Portfolio $277,111,078 3.25% 9.38% 9.38% 11.23% 7.91% 6.21%
Real Assets Portfolio
Total Commitments
Periodic IRR as of 12/31/2019
Investment Vintage Year QTD YTD 1-Year 3-Year 5-Year Inception
BTG Pactual Timberland 2004 $25,000,000 -0.29% -0.85% -0.85% -8.10% -5.07% 1.21%
JP Morgan Maritime Global 2010 25,000,000 -0.95% -8.70% -8.70% 4.39% -8.10% -7.29%
Total Real Assets Portfolio $50,000,000 -0.83% -5.07% -5.07% -3.28% -6.36% -0.88%
Real Estate Portfolio
Total Commitments
Periodic IRR as of 12/31/2019
Investment Vintage Year QTD YTD 1-Year 3-Year 5-Year Inception
UBS Trumbull Property Fund 1995 $33,615,067 -0.13% -2.82% -2.82% 2.98% 5.76% 10.31%
JPMorgan Strategic Property Fund 1998 48,165,726 2.32% 3.87% 3.87% 5.57% 6.18% 9.61%
Almanac Realty Securities Fund VI, L.P. 2011 25,000,000 -0.89% -3.25% -3.25% -0.32% 8.10% 11.44%
Mariner Real Estate Partners III, L.P. 2011 50,000,000 4.73% 8.47% 8.47% 0.67% 4.46% 9.38%
25 Capital Residential Mortgage Opportunities Fund 2012 50,000,000 -8.44% -4.19% -4.19% -0.48% 1.72% 3.89%
JP Morgan India Property Fund II 2012 25,000,000 -8.89% -17.70% -17.70% -21.96% -15.56% -12.96%
Mariner Real Estate Partners IV, L.P. 2014 60,000,000 4.44% 10.34% 10.34% 9.02% 12.64% 14.50%
Almanac Realty Securities Fund VII, L.P. 2015 30,000,000 8.43% 14.94% 14.94% 15.30% N/A 14.21%
Total Real Estate Portfolio $361,338,022 1.21% 3.61% 3.61% 2.24% 5.06% 8.64%
28
Allocation
MarketValue
($)%
Performance(%)
1Quarter
1Year
3Years
5Years
10Years
SinceInception
InceptionDate
Total Defined Cont. & Deferred Comp. 1,019,767,349 100.0
DFA Small Cap 35,285,145 3.5 -32.7 -27.1 -7.7 -1.8 6.7 6.9 01/01/2001
Russell 2000 Index -30.6 -24.0 -4.6 -0.2 6.9 6.0
Russell 1000 Growth Index Fund 65,898,688 6.5 -14.0 0.9 11.2 10.3 13.0 5.5 10/01/1999
Russell 1000 Growth Index -14.1 0.9 11.3 10.4 13.0 5.4
Russell 1000 Value Index Fund 34,681,681 3.4 -26.7 -17.1 -2.1 2.0 7.7 5.6 10/01/1999
Russell 1000 Value Index -26.7 -17.2 -2.2 1.9 7.7 5.5
U.S. Equity Index Fund 170,089,440 16.7 -19.6 -7.0 5.1 6.7 10.6 6.6 01/01/1998
S&P 500 Index -19.6 -7.0 5.1 6.7 10.5 6.5
BlackRock All-Country World ex-U.S. Index Fund 25,269,378 2.5 -23.3 -15.5 -1.8 -0.5 2.2 3.6 07/01/2005
MSCI AC World ex USA Index (Net) -23.4 -15.6 -2.0 -0.6 2.1 3.5
U.S. Debt Index Fund 20,039,734 2.0 3.0 8.8 4.8 3.3 3.9 5.1 01/01/1998
Blmbg. Barc. U.S. Aggregate 3.1 8.9 4.8 3.4 3.9 5.0
T. Rowe Stable Value 129,936,257 12.7 0.5 2.1 2.0 1.9 2.1 4.1 01/01/1997
Performance Benchmark 0.6 2.5 2.3 2.1 2.2 3.3
SSgA STIF 12,422,225 1.2 0.4 2.1 1.8 1.3 0.7 2.2 01/01/1998
Barclays 90-Day T-Bill Index 0.6 2.3 1.8 1.2 0.7 2.1
Conservative Premixed 56,921,034 5.6 -4.4 2.4 3.9 3.4 4.7 4.8 10/01/1999
Conservative Policy -4.0 2.9 4.0 3.4 4.7 4.6
Moderate Premixed 372,091,628 36.5 -9.6 -0.9 3.9 4.1 6.5 5.5 10/01/1999
Moderate Policy -10.0 -1.2 3.8 4.1 6.4 5.3
Aggressive Premixed 79,845,709 7.8 -16.0 -6.4 2.9 4.1 7.5 5.5 10/01/1999
Aggressive Policy -16.2 -6.4 3.1 4.2 7.4 5.5
Investor Select Fund 17,286,430 1.7 -15.5 -6.5 2.4 3.2 6.7 5.9 10/01/2005
Performance Benchmark -15.7 -6.5 2.6 3.5 6.6 5.6
Total Defined Cont. & Deferred Comp.
Asset Allocation & Performance
As of March 31, 2020
Nebraska Investment Council
29
Allocation
MarketValue
($)%
Performance(%)
1Quarter
1Year
3Years
5Years
10Years
SinceInception
InceptionDate
Total Endowment 1,241,740,423 100.0
Total U.S. Equity 249,890,113 20.1 -24.8 -14.8 -0.2 3.2 8.7 5.7 01/01/2002
Dow Jones U.S. Total Stock Market Index -21.0 -9.3 3.9 5.7 10.1 7.0
DFA 20,770,112 1.7 -32.7 -27.1 -7.7 -1.8 6.6 7.6 01/01/2002
Russell 2000 Index* -30.6 -24.0 -4.6 -0.2 6.3 6.6
BlackRock Russell 1000 (Healthcare Endowment) 98,590,779 7.9 -20.2 -8.0 4.7 6.3 - 9.9 02/01/2013
Russell 1000 Index -20.2 -8.0 4.6 6.2 - 9.9
BlackRock Russell 1000 Value Index 130,511,281 10.5 -26.6 -17.2 -2.1 1.9 - 7.2 12/01/2012
Russell 1000 Value Index -26.7 -17.2 -2.2 1.9 - 7.3
BlackRock Russell 1000 Index 17,941 0.0
Total Non-U.S. Equity 106,681,077 8.6 -24.1 -16.3 -2.2 -0.5 2.0 3.1 01/01/2001
MSCI All Country World ex-U.S. IMI* -24.1 -16.3 -2.3 -0.7 2.1 3.5
BlackRock All Country World ex-U.S. IMI 106,596,792 8.6 -24.1 -16.3 -2.4 -0.7 2.0 2.7 01/01/2001
MSCI All Country World ex-U.S. IMI* -24.1 -16.3 -2.3 -0.7 2.0 2.7
Non-U.S. Equity Cash 84,285 0.0
Total Global Equity 170,066,848 13.7 -27.2 -17.7 -1.4 0.9 5.4 6.2 09/01/2005
MSCI All Country World IMI* -22.4 -12.7 0.8 2.4 5.8 4.9
MFS 76,067,115 6.1 -22.0 -10.9 2.4 3.7 8.0 7.3 10/01/2005
MSCI All Country World IMI* -22.4 -12.7 0.8 2.4 5.7 4.7
Wellington Equity 22,703,130 1.8 -32.2 -25.5 -5.7 - - -2.5 12/01/2016
MSCI AC World Small Cap (Net) -30.2 -23.1 -4.5 - - -1.8
Dodge & Cox 71,294,226 5.7 -31.0 -22.1 - - - -7.1 07/01/2017
MSCI AC World IMI (Net) -22.4 -12.7 - - - -0.7
Mondrian 2,376 0.0
Total Endowment
Asset Allocation & Performance
As of March 31, 2020
*Denotes a performance benchmark that is a splice of more than one index. Descriptions can be found in the appendix of this report. Nebraska Investment Council
30
Total Endowment
Asset Allocation & Performance
As of March 31, 2020
Allocation
MarketValue
($)%
Performance(%)
1Quarter
1Year
3Years
5Years
10Years
SinceInception
InceptionDate
Total Fixed Income 558,038,454 44.9 1.1 6.9 4.4 3.3 4.2 5.6 07/01/1997
Blmbg. Barc. Universal Bond Index* 1.3 7.2 4.4 3.4 4.0 5.3
PIMCO 131,999,694 10.6 0.7 6.4 4.4 3.4 4.0 5.5 04/01/1998
Blmbg. Barc. Universal Bond Index* 1.3 7.2 4.4 3.4 4.0 5.1
Loomis Sayles 34,598,501 2.8 -3.5 2.1 3.5 3.3 5.9 6.1 07/01/2006
Blmbg. Barc. Universal Bond Index* 1.3 7.2 4.4 3.4 3.9 5.1
BlackRock Aggregate Bond Index 263,244,743 21.2 3.1 8.9 4.9 3.4 4.0 4.4 12/01/2006
Blmbg. Barc. U.S. Aggregate 3.1 8.9 4.8 3.4 3.9 4.4
Neuberger Berman Core Plus 128,195,515 10.3 -1.1 4.8 3.8 - - 3.6 07/01/2015
Blmbg. Barc. Universal Bond Index 1.3 7.2 4.4 - - 3.8
Total Real Estate 60,887,595 4.9
Metropolitan Real Estate Partners (Combined) 2,781,532 0.2
Prudential PRISA 9,534,705 0.8
UBS Trumbull 11,574,015 0.9
Cornerstone Patriot Fund 2,330,443 0.2
Landmark VII 3,346,421 0.3
UBS Trumbull Property Income 6,578,728 0.5
MREP SCIF 5,290,957 0.4
Real Estate Cash 4,072,119 0.3
Total Private Equity 96,176,337 7.7
Abbott Capital VI 25,147,278 2.0
Abbott Capital VII 21,558,585 1.7
RCP Fund VII 13,954,874 1.1
RCP Fund VIII 8,674,380 0.7
Dover Street VIII L.P. 5,499,255 0.4
Ironside Partnership Fund V 14,187,168 1.1
Dover Street X L.P. 959,589 0.1
Private Equity Cash 6,195,207 0.5
Inception-to-date IRR for Real Estate 9.4% as of 12/31/2019. The Inception-to-Date IRR for Private Equity is 15.3% as of 12/31/2019.
*Denotes a performance benchmark that is a splice of more than one index. Descriptions can be found in the appendix of this report. Nebraska Investment Council
31
Defined Benefit & Cash Balance Benefit Fees
Nebraska Investment Council
1. Total Fee (in dollars) of trailing 12-month period as of 12/31/2019.2. Total Fee (in dollars) of trailing 12-month period as of 12/31/2019.
ManagerAssets
($ in dollars)Total Fee
($ in dollars)Total Fee
(bps)
DFA – U.S. Small Cap $283,289,177 $934,854 33
BlackRock Russell 1000 Index $3,220,559,274 $434,776 1
BlackRock ACWI ex-U.S. IMI $1,388,249,228 $852,950 6
Arrowstreet $728,776,225 $3,350,717 46
MFS Global Equity $812,373,869 $3,117,623 38
Dodge & Cox $605,218,790 $3,752,357 62
Wellington Global Equity $238,061,961 $1,847,403 78
BlackRock Core Plus $624,931,575 $1,049,932 17
PIMCO Total Return $814,122,934 $1,886,391 23
BlackRock Bond Index $712,750,929 $142,550 2
Wellington Global $537,866,027 $1,452,238 27
Loomis Sayles Multi-Sector Full Discretion $251,779,559 $755,339 30
Loomis Sayles Bank Loans $347,667,082 $1,440,668 41
Franklin Templeton $357,351,966 $1,500,732 42
Neuberger Berman $714,357,221 $1,142,972 16
Total RE1 $957,586,257 $10,153,223 106
Total PE2 $886,529,177 $11,956,319 135
Residual Manager Value $63,752,845 $0 --
Annual Fee Paid to Nebraska Investment Council -- $1,258,411 1
Total DB/CBB $13,545,224,096 $47,029,453 35
32
Market ValueAs of
03/31/2020$000
% of PortfolioEstimated
Annual Fee$000
EstimatedAnnual Fee
(%)
Total Defined Cont. & Deferred Comp. 1,019,767 100.00 839 0.08
DFA Small Cap 35,285 3.46 131 0.37
Russell 1000 Growth Index Fund 65,899 6.46 13 0.02
Russell 1000 Value Index Fund 34,682 3.40 7 0.02
U.S. Equity Index Fund 170,089 16.68 26 0.02
BlackRock All-Country World ex-U.S. Index Fund 25,269 2.48 25 0.10
U.S. Debt Index Fund 20,040 1.97 6 0.03
T. Rowe Stable Value 129,936 12.74 260 0.20
SSgA STIF 12,422 1.22 - 0.00
Conservative Premixed 56,921 5.58 34 0.06
Moderate Premixed 372,092 36.49 223 0.06
Aggressive Premixed 79,846 7.83 56 0.07
Investor Select Fund 17,286 1.70 59 0.34
Total Defined Cont. & Deferred Comp.
Fee Schedule**
As of March 31, 2020
** In addition to the fees listed above, $113,844 (˜1 bp on assets) in annual fees are paid to the Nebraska Investment Council. Nebraska Investment Council
33
Market ValueAs of
03/31/2020$000
% of PortfolioEstimated
Annual Fee$000
EstimatedAnnual Fee
(%)
OSERS 1,173,601 100.00 6,105 0.52
BlackRock Russell 1000 Index 211,066 17.98 28 0.01
Dimensional Fund Advisors 17,937 1.53 66 0.37
BlackRock ACWI ex-U.S. IMI 96,505 8.22 58 0.06
Arrowstreet 48,360 4.12 222 0.46
MFS 52,397 4.46 220 0.42
Wellington Equity 18,459 1.57 144 0.78
Dodge & Cox 38,062 3.24 240 0.63
BlackRock Aggregate Bond Index 147,042 12.53 29 0.02
BlackRock Core Plus Universal 56,295 4.80 113 0.20
PIMCO 75,634 6.44 197 0.26
Neuberger Berman Core Plus 72,567 6.18 116 0.16
BTG 3,317 0.28 33 1.00
JP Morgan Global Maritime 15,174 1.29 228 1.50
AAVIN Mezzanine Credit Funds 27,661 2.36 692 2.50
FCP Capital 13,427 1.14 269 2.00
SPC Capital 81,258 6.92 569 0.70
Stonetree Capital 33,833 2.88 338 1.00
Vaquero EMD 6,964 0.59 139 2.00
25 Capital Residential Mortgage Opp. Fund 16,959 1.45 339 2.00
Almanac Realty Securities VI 4,442 0.38 44 1.00
Almanac Realty Securities VII 12,873 1.10 161 1.25
JP Morgan India Property Fund II 13,997 1.19 210 1.50
JPM Strategic 15,526 1.32 155 1.00
Mariner III 18,392 1.57 276 1.50
Mariner IV 54,463 4.64 1,089 2.00
UBS Trumbull 14,029 1.20 129 0.92
Real Estate Cash 581 0.05 - 0.00
Private Equity Cash 2,634 0.22 - 0.00
Hedge Fund Cash 12 0.00 - 0.00
OSERS Contributions & Withdrawals 3,675 0.31 - 0.00
OSERS
Fee Schedule
As of March 31, 2020
Alternative strategy fees in the table above represent asset based management fees. Additional performance based fees are charged by each manager.In addition to the fees listed above, $124,143 (˜1 bp on assets) in annual fees is paid to the Nebraska Investment Council
34
Market ValueAs of
03/31/2020$000
% of PortfolioEstimated
Annual Fee$000
EstimatedAnnual Fee
(%)
Total Hartford Options (Less General Fund) 19,499 100.00 205 1.05
American Century Value 115 0.59 2 1.33
American Funds Growth Fund of America 668 3.43 7 1.03
Hartford Capital Appreciation HLS 11,513 59.04 117 1.02
Harford Dividend & Growth HLS 237 1.22 2 1.02
SSgA S&P 500 Flagship 414 2.12 3 0.70
T. Rowe Price Growth Stock 1,173 6.01 15 1.28
Goldman Sachs Mid-Cap Value 106 0.55 2 1.49
Munder Mid-Cap Core Growth 48 0.24 1 1.72
SSgA S&P MidCap Index 160 0.82 1 0.75
Hartford Small Company HLS 495 2.54 5 1.06
Skyline Special Equities Portfolio 186 0.96 3 1.68
SSgA Russell 2000 Index 34 0.17 - 0.75
American Funds EuroPacific Growth 126 0.65 1 1.19
Hartford International Opportunities HLS 523 2.68 6 1.09
Mutual Discovery 95 0.49 2 1.63
Hartford Total Return Bond HLS 807 4.14 7 0.85
Loomis Sayles Bond 415 2.13 5 1.26
Putnam High-Yield Advantage 83 0.43 1 1.38
Hartford Balanced HLS 1,965 10.08 20 1.00
Templeton Foreign Fund 24 0.12 - 1.51
Oakmark Equity & Income 312 1.60 4 1.40
Total Hartford Options (Less General Fund)
Fee Schedule**
As of March 31, 2020
** In addition to the fees listed above, $3,062 (˜1 bp on assets) in annual fees are paid to the Nebraska Investment Council.The General Fund is not included in the above table. Nebraska Investment Council
35
Fee Schedule
Vanguard REIT Index 0.42 % of Assets
Vanguard REIT Index ETF 0.12 % of Assets
Tributary Small Company 1.18 % of Assets
iShares Russell 2000 Growth Index ETF 0.25 % of Assets
State Street S&P 500 Index 0.02 % of Assets
Vanguard Russell 1000 Value Index 0.40 % of Assets
T. Rowe Price Large Cap Growth 0.65 % of Assets
Vanguard Equity Income 0.50 % of Assets
SPDR S&P Dividend ETF 0.35 % of Assets
Vanguard Extended Market Index 0.37 % of Assets
Vanguard Extended Market ETF 0.09 % of Assets
State Street MSCI ACWI Ex-Us Index 0.09 % of Assets
Vanguard FTSE Emerging Markets ETF 0.15 % of Assets
DFA World ex-US Government Fixed Income 0.20 % of Assets
Vanguard Short-Term Inflation-Protected Index 0.36 % of Assets
Vanguard Short-Term Inflation-Protected ETF 0.08 % of Assets
Vanguard Inflation Protected Securities 0.07 % of Assets
MetWest Total Return 0.39 % of Assets
Dodge & Cox Stock 0.52 % of Assets
American Funds The Income Fund of America A 0.38 % of Assets
Vanguard Total Bond Market Index 0.35 % of Assets
Federated Total Return Bond 0.36 % of Assets
iShares Core US Aggregate ETF A 0.08 % of Assets
Goldman Sachs Financial Square Gov't Money Market 0.50 % of Assets
Vanguard Total Stock Market Index 0.04 % of Assets
Vanguard Total Stock Market Index ETF 0.05 % of Assets
Vanguard Short-Term Bond Index 0.06 % of Assets
Vanguard Short-Term Bond ETF 0.09 % of Assets
Bank Savings Static 0.00 % of Assets
Total CSP of Nebraska
Fee Schedule**
As of March 31, 2020
** In addition to the fees listed above, $530,810 (˜1 bp on assets) in annual fees are paid to the Nebraska Investment Council.Includes funds in the First National Direct Plan, First National Advisor Plan, and First National TD Ameritrade Plan. Nebraska Investment Council
36
Fee Schedule
Growth Option Nebraska 0.54 % of Assets
Growth Option Alabama 0.55 % of Assets
Moderate Option Nebraska 0.54 % of Assets
Moderate Option Alabama 0.55 % of Assets
Conservative Option Nebraska 0.55 % of Assets
Conservative Option Alabama 0.56 % of Assets
Bank Savings Option Nebraska 0.50 % of Assets
Bank Savings Option Alabama 0.50 % of Assets
Checking Option Nebraska 0.00 % of Assets
Checking Option Alabama 0.00 % of Assets
Enable Savings Plan
Fee Schedule
As of March 31, 2020
In addition to the fees listed above, $835 (˜1 bp on assets) in annual fees are paid to the Nebraska Investment Council.Nebraska Investment Council
37
Market ValueAs of
03/31/2020$000
EstimatedAnnual Fee
$000
EstimatedAnnual Fee
(%)
Age-Based 0-2 3,026 18 0.58
Age-Based 3-5 17,454 101 0.58
Age-Based 6-8 42,071 244 0.58
Age-Based 9-10 38,768 225 0.58
Age-Based 11-12 49,085 290 0.59
Age-Based 13-14 57,599 346 0.60
Age-Based 15-16 75,964 456 0.60
Age-Based 17-18 67,748 413 0.61
Age-Based 19+ 57,227 355 0.62
All Equity Static 64,209 372 0.58
Balanced Static 2,123 13 0.60
Bank Savings Static 3,098 6 0.20
Conservative Static 2,137 13 0.62
Growth Static 32,070 186 0.58
Moderate Growth Static 14,579 86 0.59
Money Market Static 9,246 43 0.46
State Farm
Fee Schedule
As of March 31, 2020
Nebraska Investment Council
38
Market ValueAs of
03/31/2020$000
% of PortfolioEstimated
Annual Fee$000
EstimatedAnnual Fee
(%)
Total Endowment 1,241,740 100.00 1,877 0.15
DFA 20,770 1.67 77 0.37
BlackRock Russell 1000 (Healthcare Endowment) 98,591 7.94 13 0.01
BlackRock Russell 1000 Value Index 130,511 10.51 18 0.01
BlackRock All Country World ex-U.S. IMI 106,597 8.58 64 0.06
Dodge & Cox 71,294 5.74 449 0.63
MFS 76,067 6.13 351 0.46
PIMCO 132,000 10.63 347 0.26
BlackRock Aggregate Bond Index 263,245 21.20 53 0.02
Loomis Sayles 34,599 2.79 119 0.34
Neuberger Berman Core Plus 128,196 10.32 205 0.16
Wellington Equity 22,703 1.83 182 0.80
Total Endowment
Fee Schedule**
As of March 31, 2020
** In addition to the fees listed above, $139,452 (˜1 bp on assets) in annual fees are paid to the Nebraska Investment Council.Note: Fees for the Real Estate and Private Equity portions of the Endowment appear in a later table. Nebraska Investment Council
39
Partnership NameInvestment
Vintage YearCommitment
AmountMarketValue
Total Trailing Year Annual Fee
Total Trailing Year Annual Fee
(bps of current NAV)
Core
Barings Core Property Fund LP 2010 110,000,000 66,218,134 617,094 93
PRISA II 2007 51,500,000 90,085,249 972,042 108
PRISA SA 2006 135,000,000 199,184,371 1,630,373 82
UBS Trumbull Property Fund 2006 115,000,000 155,644,956 1,112,087 71
UBS Trumbull Property Income Fund 2015 120,000,000 136,118,197 1,046,914 77
Lion Properties Fund 2018 152,000,000 162,333,385 1,030,405 63
Core 2006 683,500,000 809,584,292 6,408,915 79
Value Added
Almanac Realty Securities V, LP 2008 25,000,000 230,780 10,677 463
Almanac Realty Securities VII 2015 40,000,000 17,445,257 286,166 164
Almanac Realty Securities VIII 2018 40,000,000 3,398,417 500,000 1471
Heitman Value Partners II 2007 25,000,000 50,051 0 0
Rockwood Capital Real Estate Partners Fund IX 2012 20,000,000 5,312,365 187,931 354
Rockwood Capital Real Estate Partners Fund X 2016 40,000,000 32,164,614 532,000 165
Rockwood Capital Real Estate Partners Fund XI 2019 40,000,000 -286,940 0 0
Value Added 2007 230,000,000 58,314,544 1,516,774 260
Opportunistic
AG Realty Fund VIII 2012 25,000,000 6,899,671 1,840 3
CBRE Strategic Partners U.S. Opportunity 5 2008 25,000,000 5,088,712 0 0
Landmark Real Estate Fund VI 2010 40,000,000 2,791,781 49,821 178
Landmark Real Estate Fund VII 2014 50,000,000 23,109,651 334,020 145
Landmark Real Estate Fund VIII 2017 40,000,000 12,943,986 455,847 352
Rockpoint Real Estate Fund III 2007 25,000,000 1,181,632 35,464 300
Torchlight Debt Opportunity Fund VI 2018 40,000,000 3,276,556 632,152 1929
Torchlight Debt Opportunity Fund V 2015 40,000,000 14,082,186 881,475 626
Torchlight Debt Opportunity Fund IV 2013 20,000,000 15,692,185 -163,085 -104
Opportunistic 2008 305,000,000 85,066,360 2,227,534 262
Total Current Portfolio
NIC - Defined Benefit 2005 1,218,500,000 952,965,196 10,153,223 107
Real Estate – Defined Benefit
Nebraska Investment Council
Total Trailing Year Annual Fee (bps) calculated as fees out of the net asset value.
40
Real Estate – Endowment
Nebraska Investment Council
Total Trailing Year Annual Fee (bps) calculated as fees out of the net asset value.
Partnership NameInvestment
Vintage YearCommitment
AmountMarketValue
Total Trailing Year Annual Fee
Total Trailing Year Annual Fee
(bps of current NAV)
Core
Barings Core Property Fund LP 2010 11,500,000 7,168,157 55,655 78
Lion Properties Fund 2019 11,500,000 10,560,679 31,911 30
PRISA LP 2009 6,000,000 9,616,110 58,986 61
UBS Trumbull Property Fund 2010 8,500,000 11,704,826 64,220 55
Core 2010 37,500,000 39,049,772 210,772 224
Core Debt
UBS Trumbull Property Income Fund 2016 6,000,000 6,644,553 38,705 58
Core Debt 2016 6,000,000 6,644,553 38,705 58
Opportunistic
Landmark Real Estate Fund VII 2014 7,500,000 3,466,448 39,856 115
Metropolitan Real Estate Partners International III, L.P. 2014 10,000,000 1,240,508 16,056 129
Metropolitan Real Estate Partners VI, L.P.* 2008 20,000,000 1,541,709 21,321 138
Metropolitan Real Estate Secondaries and Co-Investments Fund, L.P. 2015 10,000,000 5,553,802 89,730 162
Opportunistic 2009 47,500,000 11,802,467 166,964 141
Total Current Portfolio
NIC - Endowment 2009 91,000,000 57,496,792 416,441 72
41
Private Equity – Defined Benefit
Nebraska Investment Council
Partnership NameVintage
YearCommitment
Fee Schedule1
(on an Annual Basis)
YTD Management
Fee
Total Fees (bps)
Defined Benefit Portfolio
Abbott Capital Private Equity Fund V, L.P.2*
2005 $50,000,000 .80% Years 1-7
declines by 10% years 8-10$199,928 80
Pathway Private Equity Fund XVIII, LLC 2006 100,000,000 1.00% Years 1-10 460,706 100
TRG Growth Partnership II, L.P. 2006 25,000,000 1.50% Years 1-5
1.25% Years 6-1010,080 150
New Mountain Partners III, L.P. 2007 25,000,000 1.75% Years 1-5
1.00% Years 6-100 175
Presidio Partners 2007, L.P.* 2007 20,000,000 2.25% 104,750 225
Sun Capital Partners V, L.P. 2007 18,002,649 2.00% Years 1-6
2.00% - distributions years 7-101,389 200
The Resolute Fund II, L.P. 2007 25,000,000 2.00% Years 1-5
1.00% Years 6-100 200
Wayzata Opportunities Fund II, L.P.* 2007 15,000,000 1.75% Years 1-5
1.50% Years 6-100 175
Accel-KKR Capital Partners III, L.P. 2008 12,500,000 2.25% Years 1-10 91,892 225
Ares Corporate Opportunities Fund III, L.P. 2008 20,000,000 1.75% Years 1-5
1.125% Years 6-1042,038 175
Bridgepoint Europe IV, L.P.3
2008 26,000,000 1.50% Years 1-5
1.00% Years 6-1070,103 150
CVC European Equity Partners V, L.P.3
2008 26,000,000 1.32% Years 1-10 1,528 132
Quantum Energy Partners V, L.P. 2008 20,000,000 1.98% Years 1-5
1.50% Years 6-1095,312 198
Fulcrum Growth Partners IV, L.P. 2009 10,000,000 1.00% Years 1-4 143,272 100
Lincolnshire Equity Fund IV, L.P. 2009 20,000,000 2.00% Years 1-6
1.50% Years 7-1078,958 200
Longroad Capital Partners III, L.P.* 2009 20,000,000 2.00% 0 200
New Enterprise Associates 13, L.P. 2009 20,000,000 1.25% Years 1-12 136,910 125
EIF United States Power Fund IV, L.P. 2010 20,000,000 1.75% Years 1-5
1.50% Years 6-10242,823 175
Merit Mezzanine Fund V, L.P. 2010 15,000,000
1.75% Years 1-61.575% Year 71.40% Year 8
1.225% Year 91.05% Year 10
73,827 175
1. Most funds have management fee offsets which will reduce the absolute dollars paid by the client2. Fund of funds that does not include fees paid to underlying managers.3. Commitments to Bridgepoint Europe IV and CVC European Equity Partners V were both EUR 20.0mm. The USD commitments were converted at an exchange rate of 1.30 USD/EUR. The commitment to CVC Capital Partners VI was EUR 15.0mm with a converted exchange rate of 1.30661 USD/EUR. The commitment to Bridgepoint Europe V was EUR 20.0mm with a converted exchange rate of 1.25353 USD/EUR.* Estimated management fee. The manager does not break out fees for this fund.
42
Private Equity – Defined Benefit
Nebraska Investment Council
1. Most funds have management fee offsets which will reduce the absolute dollars paid by the client3. Commitments to Bridgepoint Europe IV and CVC European Equity Partners V were both EUR 20.0mm. The USD commitments were converted at an exchange rate of 1.30 USD/EUR. The commitment to CVC Capital Partners VI was EUR 15.0mm with a converted exchange rate of 1.30661 USD/EUR. The commitment to Bridgepoint Europe V was EUR 20.0mm with a converted exchange rate of 1.25353 USD/EUR.* Estimated management fee. The manager does not break out fees for this fund.
Partnership NameVintage
YearCommitment
Fee Schedule1
(on an Annual Basis)
YTD Management
Fee
Total Fees (bps)
Ares Mezzanine Partners, L.P. 2011 15,000,000 1.50% Years 1-5
1.00% Years 6-100 150
Lightyear Fund III, L.P. 2011 20,000,000 1.75% 40,230 175
Ares Corporate Opportunities Fund IV, L.P. 2012 20,000,000 1.50% Years 1-5
0.75% Years 6-1085,089 150
Dover Street VIII, L.P. 2012 25,000,000 0.50% Year 11.00% Year 2
1.25% Years 3-10310,199 50
Green Equity Investors VI, L.P. 2012 20,000,000 1.50% Years 1-61.00% Years 7-8
0.75% Years 9-1067,259 150
McCarthy Capital V, L.P. 2012 20,000,000 2.00% 203,018 200New Enterprise Associates 14, L.P. 2012 20,000,000 1.25% Years 1-12 169,509 125Accel-KKR Capital Partners IV, L.P. 2013 12,500,000 2.25% 101,084 225Beecken Petty O'Keefe Fund IV, L.P. 2013 20,000,000 2.00% 184,365 200Pine Brook Capital Partners II, L.P. 2013 30,000,000 1.96% blended rate 473,035 196
Wayzata Opportunities Fund III, L.P. 2013 25,000,000 1.50% 89,183 150
CVC Capital Partners VI, L.P.3
2014 19,599,150 1.50% Years 1-6
1.25% Years 7-10154,232 150
New Mountain Partners IV, L.P. 2014 30,000,000 1.75% Years 1-5
1.00% Years 6-10126,776 175
Quantum Energy Partners VI, LP 2014 30,000,000 1.65% Years 1-5
1.50% Years 6-10276,310 165
The Energy and Minerals Group III, L.P. 2014 35,000,000 1.64% blended rate Years 1-5
1.50% Years 6-101.00% Years 11-12
209,912 164
The Resolute Fund III, L.P. 2014 30,000,000 1.75% Years 1-61.00% Thereafter
222,468 175
Francisco Partners IV, LP 2015 20,000,000 1.50% Years 1-6
1.25% Years 7-10243,098 150
Wynnchurch Capital Partners IV, L.P. 201525,000,000
2.00% Years 1-10 500,000 200
Bridgepoint Europe V, L.P. 201625,070,600
1.50% Years 1-51.00% Years 6-10
157,117 150
43
Private Equity – Defined Benefit
Nebraska Investment Council
1. Fund of funds that does not include fees paid to underlying managers.* Estimated management fee. The manager does not break out fees for this fund.
Partnership NameVintage
YearCommitment
Fee Schedule1
(on an Annual Basis)
YTD Management
Fee
Total Fees (bps)
Dover Street IX, L.P. 2016 50,000,000
0.25% Year 10.50% Year 20.85% Year 3
1.25% Years 4-71.20% Year 81.15% Year 9
1.10% Year 100.10% Thereafter
510,390 25
McCarthy Capital VI, L.P. 2016 40,000,000 2.00% Years 1-10 800,000 200
Ares Corporate Opportunities Fund V, L.P. 2017 50,000,000 1.50% Years 1-6
0.75% Years 6-10750,000 150
Francisco Partners V, L.P. 2017 50,000,000 1.50% Years 1-61.25% Thereafter
166,660 150
Genstar Capital Partners VIII, L.P. 2017 50,000,000 1.75% 808,936 175
Green Equity Investors VII, L.P. 2017 50,000,000 1.46% blended rate Years 1-6
1.00% Years 7-80.75% Years 9-10
142,828 146
New Mountain Partners V, L.P. 2017 50,000,000 1.75% Years 1-61.00% Thereafter
656,082 175
Quantum Energy Partners VII, LP 2017 50,000,000 1.75% Years 1-51.50% Thereafter
775,778 175
Bridgepoint Europe VI, L.P. 2018 48,968,000 1.50% Years 1-5
1.00% Years 6-10310,749 150
The Resolute Fund IV, L.P. 2018 50,000,000 1.75% Years 1-61.00% Thereafter
875,002 175
Genstar Capital Partners IX, L.P. 2019 50,000,000 1.75% 513,867 175
New Enterprise Associates 17, L.P. 2019 50,000,000 1.25% 206,390 125
Dover Street X, L.P. 2019 50,000,000
0.25% Year 10.50% Year 20.85% Year 3
1.25% Years 4-71.20% Year 81.15% Year 9
1.10% Year 100.10% Thereafter
73,238 25
Total Defined Benefit Portfolio $1,568,640,399 $11,956,319 135
44
Private Equity – Endowment
Nebraska Investment Council
1. Most funds have management fee offsets which will reduce the absolute dollars paid by the client
Partnership NameVintage
YearCommitment
Fee Schedule1
(on an Annual Basis)
YTD Management
Fee
Total Fees (bps)
Endowment Portfolio
Abbott Capital Private Equity Fund VI, L.P. 2008 45,000,000 0.90% Years 1-7
Declines by 10% Years 8-10$268,017 90
RCP Fund VII, L.P. 2010 20,000,000 1.00% Years 1-5
0.75% Years 6-10150,000 100
Dover Street VIII, L.P. 2012 15,000,000 0.50% Year 11.00% Year 2
1.25% Years 3-10186,120 50
RCP Fund VIII, L.P. 2012 10,000,000 1.00% Years 1-5
0.75% Years 6-1075,000 100
Abbott Capital Private Equity Fund VII, L.P. 2014 20,000,000 0.97% blended rate Years 1-890% of original fee Years 9-12
75% of original fee Years 13-15200,000 97
Ironsides Partnership Fund IV, L.P. 2017 20,000,000 0.75% Years 1-10 150,000 75
Dover Street X, L.P. 2019 16,000,000
0.25% Year 10.50% Year 20.85% Year 3
1.25% Years 4-71.20% Year 81.15% Year 9
1.10% Year 100.10% Thereafter
23,436 25
Total Endowment Portfolio $146,000,000 $1,052,573 109
45
Nebraska Investment Council - Fee Table
ManagerAssets
($ in dollars)Total Fee
($ in dollars)Total Fee
(bps)
StateStreet (custody) $21,302,256,240 $532,556 0.25
StateStreet & Aon Hewitt Investment Consulting
Nebraska Investment Council
* State Street assets include: Total DB, DC, Total CBB, OSERS, HC Endowment, 50/50 Endowment, Excess Liability, In-House Trusts, Internal STLP, and OIP** Does not include fees paid for 3rd party FX transactions
Aon Hewitt Fee($ in dollars)
Investment Consulting Fees $895,000
46
Total Defined Benefit/Total Cash Balance Benefit
Benchmark Currently 28.5% Dow Jones Total Stock Market Index, 19.0% MSCI All Country World IMI Index, 11.5% MSCI All Country World ex-US IMI Index, 30% Bloomberg
Barclays Capital Universal Index, 6% NCREIF ODCE Index, and 5% Dow Jones Total Stock Market Index + 3%. The performance of the asset class benchmarks are weighted at
their policy targets, as they have changed over time.
DFA
Benchmark The Russell 2000 Index. Prior to April 2014, the Russell 2000 Value Index. Prior to August 2006, the Wilshire Small-Cap Value Style Index.
BlackRock Russell 1000 Index Fund
Benchmark Russell 1000 Index
Total Non-U.S. Equity
Benchmark The MSCI All Country World ex-U.S. IMI. Prior to August 2010, the MSCI All Country World ex-U.S. Index, Gross Dividends. Prior to October 2000, MSCI EAFE Index.
BlackRock ACWI ex-U.S. IMI
Benchmark The MSCI All Country World ex-U.S. IMI.
Total Global Equity
Benchmark The MSCI All Country World IMI. Prior to August 2010, the MSCI All Country World Index.
Arrowstreet
Benchmark: MSCI All Country World IMI (Net)
MFS
Benchmark The MSCI All Country World IMI. Prior to May 2012, the MSCI All Country World Index.
Wellington Equity
Benchmark The MSCI All Country World Small Cap Index
Dodge & Cox
Benchmark The MSCI All Country World Index IMI
Benchmark Descriptions
As of March 31, 2020
47
Benchmark Descriptions
As of March 31, 2020
Fixed Income Component, BlackRock, PIMCO
Benchmark As of January 2005, the Bloomberg Barclays Capital Universal Index. As of December 2004, 20% the Citigroup Large Public Fund Index and 80% the Bloomberg
Barclays Capital Universal Index. As of November 2004, 40% the Citigroup Large Public Fund Index and 60% the Bloomberg Barclays Capital Universal Index. As of October 2004,
60% the Citigroup Large Public Fund Index and 40% the Bloomberg Barclays Capital Universal Index. As of September 2004, 80% the Citigroup Large Public Fund Index and 20%
the Bloomberg Barclays Capital Universal Index. Prior to September 2004, the Citigroup Large Public Fund Index.
Loomis Sayles
Benchmark As of August 1, 2010 the benchmark is the Bloomberg Barclays Capital U.S. Universal Bond Index. Prior to August 2010 the benchmark was the Bloomberg Barclays
Capital High Yield Index.
Wellington Global
Benchmark The Bloomberg Barclays Capital Global Aggregate Index.
Loomis Sayles Bank Loans
Benchmark The S&P/LSTA Leveraged Loan Index.
Franklin Templeton
Benchmark The Credit Suisse Leveraged Loans (Split BB) Index.
Neuberger Berman
Benchmark The Bloomberg Barclays Universal Bond Index
Total Real Estate
Benchmark The NCREIF ODCE Index. Prior to January 2016, the NCREIF Property Index. Prior to April 2009, 20% DJ US Select Real Estate Securities Total Return - Float, 80%
NCREIF Property Index. Prior to April 2006, 25% DJ US Select Real Estate Securities Total Return- Float, 75% NCREIF Property Index. Prior to December 2004, the DJ US Select
Real Estate Securities Total Return
Total Private Equity
Benchmark The Dow Jones U.S. Total Stock Market Index + 3%
48
Benchmark Descriptions
As of March 31, 2020
Total Endowment
DFA
Benchmark The Russell 2000 Index. Prior to April 2014, the Russell 2000 Value Index. Prior to August 2006, the Wilshire Small-Cap Value Style Index.
Blackrock Russell 1000 (Healthcare Endowment)
Benchmark The Russell 1000 Index.
Blackrock Russell 1000 Value Index
Benchmark The Russell 1000 Value Index.
Non-U.S. Equity Component
Benchmark The MSCI All Country World ex-U.S. IMI. Prior to August 2010, the MSCI All Country World ex-U.S. Index.
BlackRock All Country World ex-U.S. IMI
Benchmark The MSCI All Country World ex-U.S. IMI. Prior to June 2011, the MSCI EAFE + Canada Index.
Global Equity Component
Benchmark The MSCI All Country World IMI. Prior to August 2010, the MSCI All Country World Index.
Acadian, MFS, Mondrian Global Equity
Benchmark The MSCI All Country World IMI. Prior to May 2012, the MSCI All Country World Index.
Wellington Equity
Benchmark The MSCI All Country World Small Cap Index.
Blackrock ACWI IMI
Benchmark The MSCI All Country World IMI.
Dodge & Cox
Benchmark The MSCI All Country World Index IMI
49
Benchmark Descriptions
As of March 31, 2020
Fixed Income Component and PIMCO
Benchmark As of April 2005, the Bloomberg Barclays Universal Index. Prior to April 2005, the Bloomberg Barclays Aggregate Bond Index.
Loomis Sayles
Benchmark As of August 1, 2010 the benchmark is the Bloomberg Barclays Capital U.S. Universal Bond Index. Prior to August 2010 the benchmark was the Bloomberg Barclays
Capital High Yield Index.
Blackrock Aggregate Bond Index
Benchmark The Bloomberg Barclays Aggregate Index.
Neuberger Berman
Benchmark The Bloomberg Barclays Universal Bond Index
OSERS
Policy Index: Beginning April 1, 2017, the Policy Index will be calculated monthly based on weightings of each underlying benchmark for the respective composites from previousmonth close. Prior to April 1, 2017, 7.0% Russell 1000 Index, 3.0% U.S Equity Allocation Index, 5.5% MSCI World ex USA Index (net), 2.5% MSCI Emerging Markets Index,2.5% MSCI Emerging Markets Small Cap Index, 10.0% MSCI AC World Index (Net), 10.0% NCREIF Property Index, 21.0% Burgiss All US PE (1 Qtr-Lag), 10.0% HFRI RV: Multi-Strategy Index, 7.0% Bloomberg Barclays U.S. Aggregate Index, 2.5% Bloomberg Barclays U.S. TIPS Index, 9.0% Bloomberg Barclays Global Aggregate index, 5.0% 60/40 MSCIWorld/JPM GBI Index, 5.0% 60/40 MSCI ACWI/Blmbg. Barc. U.S. Agg Index. Prior to October 1, 2016, performance history was calculated by NEPC.
U.S. Equity Composite
Benchmark: Beginning April 1, 2017, the Custom U.S. Equity Benchmark is composed of the Dow Jones U.S. Total Stock Market. Prior to April 1, 2017, the benchmark wascalculated monthly based on the weightings of each underlying benchmark for the respective managers in the composite from previous month close.
Global Equity Composite
Benchmark: Beginning April 1, 2017, the Custom Global Equity Benchmark is composed of the MSCI ACWI IMI Net. Prior to April 1, 2017, the benchmark was calculated monthlybased on the weightings of each underlying benchmark for the respective managers in the composite from previous month close.
International Equity Composite
Benchmark: The MSCI ACWI ex U.S. IMI Net
Fixed Income Composite
Benchmark: Beginning April 1, 2017, the Custom Fixed Income Benchmark is composed of the Bloomberg Barclays Universal Index. Prior to April 1, 2017, Bloomberg BarclaysAggregate Index
50
Benchmark Descriptions
As of March 31, 2020
Private Equity Composite
Benchmark: The Burgiss All US PE (1-Qtr Lag) Index.
Real Asset Composite
Benchmark: Beginning April 1, 2017, the Custom Real Asset Benchmark is composed of the Burgiss All US PE (1-Qrt Lag) Index and NCREIF Timberland Index. Prior to April 1,2017, The Alerian MLP Index and the NCREIF Timberland Index.
Hedge Fund Composite
Benchmark: The HFRI RV: Multi-Strategy Index.
Real Estate Composite
Benchmark: The NCREIF Property Index.
Total OIP
Benchmark As of June 2018, 15% ICE BofAML 3 Month T-Bill and 85% BofA Merrill Lynch Custom Index*. As of March 2014, 15% FTSE 1-month CD and 85% BofA Merrill LynchCustom Index*. As of November 2011, 15% FTSE 1-month CD and 85% Bloomberg Barclays Capital Intermediate Government/Corporate Index. As of June 2009, 90% of theBloomberg Barclays Intermediate Government/Credit Index and 10% of the FTSE 1-month CD. Prior to July 2003, the benchmark consisted of 85% of the ML 1-3 YearGovernment/Credit Index and 15% of the 90-Day T-Bill + 15 basis points. Prior to October 1997, the benchmark consisted of 50% of the ML 1-3 Year Government/Credit Index and
50% of the 90-Day T-Bill + 90 basis points.
*BofA Merrill Lynch Custom Index is composed of 60% BofA Merrill Lynch US Treasury/Agency 1-10 Year Index and 40% BofA Merrill Lynch US Corporate A-AAA 1-10 Year Index
Internal Short-Term Liquidity Pool
Benchmark As of June 2018, ICE BofAML 3 Month T-Bill. As of June 2009, FTSE 1 Month CD. As of October 1997, 90-Day T-Bill + 15 basis points. Prior to October 1997, 90-Day T-Bill + 90 basis points
51
RankA representation of the percentile position of the performance of a given portfolio, relative to a universe of similar funds. For example, a rank of 25 for a given manager indicatesoutperformance, by that manager, of 75% of other Funds in that universe.
UniverseA distribution of the returns achieved by a group of funds with similar investment objectives.
Ratio of Cumulative WealthAn illustration of a portfolio's cumulative, unannualized performance relative to that of its benchmark. An upward sloping line indicates fund outperformance. Conversely, adownward sloping line indicates underperformance by the fund. A flat line is indicative of benchmark-like performance.
Risk-ReturnThe horizontal axis, annualized standard deviation, is a statistical measure of risk, or the volatility of returns. The vertical axis is the annualized rate of return. As most investorsgenerally prefer less risk to more risk and always prefer greater returns, the upper left corner of the graph is the most attractive place to be. The line on this exhibit represents therisk and return trade-offs associated with market portfolios, or index funds.
As of March 31, 2020
Other Terms & Descriptions
52
Periodic Table of Performance
*Large Growth – Russell 1000 Growth; Large Value – Russell 1000 Value; Small Growth – Russell 2000 Growth; Small Value – Russell 2000 Value; EAFE – MSCI EAFE; EM – MSCI EM; REITs – NAREIT; Bonds –Barclays Aggregate; High Yield – Barclays High Yield; Cmdty – GSCI; HFOF – HFR FOF
2001 2002 2003 2004 2005 2006 2007 2008 2009 2010 2011 2012 2013 2014 2015 2016 2017 2018 2019 1Q 2020
EM REITs EM EM Sm Growth REITs Sm Value EM Lg Growth
55.8 30.4 34.0 78.5 28.0 19.7 31.7 37.3 36.4
Sm Growth EM Cmdty REITs High Yield REITs EM Lg Value Lg Growth Sm Growth
48.5 25.6 25.6 34.0 58.2 27.6 18.2 17.3 30.2 28.5
Sm Value Sm Value EAFE EM Lg Growth Sm Value Sm Value High Yield EAFE REITs
46.0 22.3 13.5 32.2 37.2 24.7 18.0 17.1 25.0 28.2
EAFE EAFE REITs EAFE EM Sm Growth EM Lg Value Sm Growth REITs Cmdty Sm Growth Lg Value
38.6 20.2 8.3 26.3 39.4 34.5 18.9 17.5 43.3 27.2 11.4 22.2 26.5
REITs Cmdty HFOF Sm Value Cmdty EAFE High Yield EAFE Sm Value Lg Value Sm Growth Lg Value Sm Value
38.5 17.3 7.5 23.5 32.7 31.8 15.1 17.3 34.5 13.5 11.3 13.7 22.4
Lg Value Lg Value Lg Value Lg Value Lg Growth REITs Lg Value High Yield Lg Growth Lg Growth EM REITs EAFE
30.0 16.5 7.1 22.2 11.8 27.8 15.1 15.8 33.5 13.1 11.2 9.3 22.0
REITs Lg Growth Sm Growth Lg Growth Sm Growth EAFE Sm Value Lg Growth Bonds Lg Growth Lg Value Bonds REITs Sm Value EM
15.5 29.8 14.3 5.3 13.4 11.2 20.6 15.1 7.8 15.3 32.5 6.0 9.4 7.8 18.4
Sm Value Cmdty High Yield High Yield Sm Value High Yield HFOF Lg Value Cmdty REITs Sm Growth EAFE Sm Growth Lg Growth HFOF Cmdty
14.0 32.1 29.0 11.1 4.7 11.8 10.3 19.7 9.0 7.3 14.6 22.8 5.6 7.1 7.8 17.6
Bonds Bonds Cmdty HFOF Sm Growth HFOF Sm Growth Cmdty EAFE High Yield HFOF HFOF Sm Value Lg Growth Bonds High Yield High Yield
8.4 10.3 20.7 6.9 4.1 10.4 7.0 13.5 7.8 5.0 4.8 9.0 4.2 5.7 2.6 7.5 14.3
High Yield REITs HFOF Lg Growth High Yield Lg Growth Bonds HFOF Bonds Lg Growth Bonds High Yield HFOF REITs EAFE Cmdty Bonds
5.3 5.2 11.6 6.3 2.7 9.1 7.0 11.5 6.5 2.6 4.2 7.4 3.4 2.1 1.0 5.8 8.7
HFOF HFOF Bonds Bonds Bonds Bonds High Yield Bonds Bonds HFOF Lg Value Cmdty REITs High Yield Bonds HFOF Bonds Bonds HFOF Bonds
2.8 1.0 4.1 4.3 2.4 4.3 1.9 5.2 5.9 5.7 0.4 0.1 2.3 2.5 0.5 0.5 3.5 0.0 7.8 3.1
EM High Yield Cmdty Lg Value HFOF Cmdty Cmdty EM HFOF Lg Growth HFOF
-2.6 -1.4 -15.1 -0.2 -21.4 -1.2 -1.2 -2.2 -0.3 -1.5 -6.0
Lg Value EM Sm Value High Yield Sm Growth Bonds EAFE EAFE High Yield High Yield
-5.6 -6.2 -9.8 -26.2 -2.9 -2.0 -4.9 -0.8 -2.1 -12.7
Sm Growth Sm Value REITs Sm Value Sm Value EM Cmdty Sm Growth REITs Lg Growth
-9.2 -11.4 -17.8 -28.9 -5.5 -2.6 -33.1 -1.4 -3.9 -14.1
Lg Growth Lg Value Lg Value HFOF Lg Value HFOF EAFE
-20.4 -15.5 -36.8 -5.7 -3.8 -4.0 -22.8
EAFE EAFE REITs EAFE High Yield Lg Value EM
-21.4 -15.9 -37.8 -12.1 -4.5 -8.3 -23.6
Cmdty Lg Growth Lg Growth EM Sm Value Sm Growth REITs
-31.9 -27.9 -38.4 -18.4 -7.5 -9.3 -25.5
Sm Growth Sm Growth EM Sm Value Sm Growth
-30.3 -38.5 -14.9 -12.9 -25.8
EAFE Cmdty EAFE Lg Value
-43.4 -32.9 -13.8 -26.7
Cmdty Cmdty Sm Value
-46.5 -13.8 -35.7
EM EM Cmdty
-53.3 -14.6 -42.3
53
1Quarter
FYTD1
Year3
Years5
Years10
YearsSince
InceptionInception
Date
Total Defined Benefit Plan -14.3 -8.7 -5.8 2.9 4.1 7.0 8.6 07/01/1983
Policy Benchmark -14.0 -8.0 -4.8 3.3 4.1 6.9 8.7 07/01/1983
Policy Benchmark* -14.0 -8.0 -4.8 3.3 4.1 7.0 8.7 07/01/1983
* Total Defined Benefit Policy Benchmark includes the long-term target weight allocation of 5% to Private Equity beginning 2/1/2005.
Returns for periods greater than one year are annualized.Returns are expressed as percentages.
Comparative Performance
As of March 31, 2020
54
· The rates of return contained in this report are shown on an after-fees basis unless otherwise noted. They are geometric and time-weighted.Returns for periods longer than one year are annualized.
· Universe percentiles are based upon an ordering system in which 1 is the best ranking and 100 is the worst ranking.
· Due to rounding throughout the report, percentage totals displayed may not sum to 100%. Additionally, individual fund totals in dollar termsmay not sum to the plan total.
<ReportMemberName>
Notes
As of March 31, 2020
55
Past performance is not necessarily indicative of future results.
Unless otherwise noted, performance returns presented reflect the respective fund’s performance as indicated. Returns may be presented on a before-fees basis (gross) or after-fees basis (net). After-fee performance is net of each respective sub-advisors’ investment management fees and include the reinvestment of dividends and interest as indicated onthe notes page within this report or on the asset allocation and performance summary pages. Actual returns may be reduced by Aon Investments’ investment advisory fees or othertrust payable expenses you may incur as a client. Aon Investments’ advisory fees are described in Form ADV Part 2A. Portfolio performance, characteristics and volatility also maydiffer from the benchmark(s) shown.
The information contained herein is confidential and proprietary and provided for informational purposes only. It is not complete and does not contain certain material informationabout making investments in securities including important disclosures and risk factors. All securities transactions involve substantial risk of loss. Under no circumstances does theinformation in this report represent a recommendation to buy or sell stocks, limited partnership interests, or other investment instruments.
The data contained in these reports is compiled from statements provided by custodian(s), record-keeper(s), and/or other third-party data provider(s). This document is not intendedto provide, and shall not be relied upon for, accounting and legal or tax advice. Aon Investments has not conducted additional audits and cannot warrant its accuracy orcompleteness. We urge you to carefully review all custodial statements and notify Aon Investments with any issues or questions you may have with respect to investmentperformance or any other matter set forth herein.
The mutual fund information found in this report is provided by Thomson Reuters Lipper and Aon Investments cannot warrant its accuracy or timeliness. Thomson Reuters LipperGlobal Data Feed provides comprehensive coverage of mutual fund information directly to Investment Metrics, Aon Investments’ performance reporting vendor, via the PARisperformance reporting platform. Thomson Reuters Lipper is the data provider chosen by Investment Metrics, and as such, Aon Investments has no direct relationship with ThomsonReuters Lipper.
Refer to Hedge Fund Research, Inc. www.hedgefundresearch.com for information on HFR indices.
FTSE International Limited (“FTSE”) © FTSE 2017. “FTSE®” and “FTSE4Good®” are trademarks of the London Stock Exchange Group companies and are used by FTSEInternational Limited under license. The FTSE indices are calculated by FTSE International Limited in conjunction with Indonesia Stock Exchange, Bursa Malaysia Berhad, ThePhilippine Stock Exchange, Inc., Singapore Exchange Securities Trading Limited and the Stock Exchange of Thailand (the "Exchanges"). All intellectual property rights in theFTSE/ASEAN Index vest in FTSE and the Exchanges. Neither FTSE nor its licensors accept any liability for any errors or omissions in the FTSE indices and / or FTSE ratings orunderlying data. No further distribution of FTSE Data is permitted without FTSE’s express written consent.
Aon Investments USA Inc. (“Aon Investments”) is a federally registered investment advisor with the U.S. Securities and Exchange Commission (“SEC”). Aon Investments is alsoregistered with the Commodity Futures Trade Commission as a commodity pool operator and a commodity trading advisor, and is a member of the National Futures Association.The Aon Investments ADV Form Part 2A disclosure statement is available upon written request to:
Aon Investments USA Inc.200 East Randolph StreetSuite 700Chicago, IL 60601ATTN: Aon Investments Compliance Officer
Disclaimer
56
top related