board of trustees investment committee m · market update february 28, 2017 market overview...
TRANSCRIPT
BOARD OF TRUSTEES
Investment Committee MEETING
March 21, 2017
MEETING DOCUMENTS
TRS Investment Committee Meeting
March 21, 2017
Table of Contents
Agenda.…………………………….……….…………………..…..........................3
Item 2: Documents re American Beacon and Shapiro Capital Management…...…4
Item 3: Investment Consultant Monthly Report… ……………………………..…9
Item 4: Investment Consultant Quarterly Private Investments Report………..….24
Item 5: Manager Status Report ……………..………………………....….…......98
Item 6: Asset Allocation Memo and MVO Asset Allocation Analysis………….99
Item 7: Chief Investment Officer Reports ……………….…………….…….... .104
2
TEACHERS’ RETIREMENT SYSTEM OF OKLAHOMA Investment Committee Meeting
Tuesday, March 21, 2017 – 3:00 PM TRS Administration Board Room
2500 N. Lincoln Blvd., 5th Floor, Oklahoma City, OK
AGENDA
1. CALL TO ORDER
2. DISCUSSION AND POSSIBLE ACTION TO CONSENT TO CONTINUATION OFINVESTMENT MANAGEMENT AGREEMENT WITH SHAPIRO CAPITALMANAGEMENT, LLC DUE TO CHANGE IN CONTROL OF SHAPIRO CAPITALMANAGEMENT, LLC
3. DISCUSSION AND POSSIBLE ACTION ON INVESTMENT CONSULTANTMONTHLY REPORT
4. DISCUSSION AND POSSIBLE ACTION ON INVESTMENT CONSULTANTQUARTERLY ALTERNATIVE INVESTMENTS REPORT
5. DISCUSSION AND POSSIBLE ACTION ON MANAGER STATUS REPORTINCLUDING PERSONNEL CHANGE ON EPOCH INTERNATIONAL SMALL CAPThe Investment Committee may recommend through motion to the Board of Trustees to make anychanges to the status of any manager (on watch, alert, remove them from that status, or terminate(and select transition manager and reallocate funds if necessary)) based on the informationavailable at the meeting.
6. DISCUSSION AND POSSIBLE ACTION TO ADOPT STRATEGIC ASSETALLOCATION
7. DISCUSSION ON CHIEF INVESTMENT OFFICER REPORT
8. QUESTIONS AND COMMENTS FROM TRUSTEES
9. ADJOURNMENT
ALL BOARD MEMBERS ARE ENCOURAGED TO ATTEND INVESTMENT COMMITTEE MEETINGS
INVESTMENT COMMITTEE: Chair: Roger Gaddis
Members: Vernon Florence, Kevin Moore, Bill Peacher, Gary Trennepohl
3
4
5
6
7
8
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ity
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or
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Mo
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ly In
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To
tal R
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ance
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wer
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2/2
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73
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4/3
0/1
75
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6/3
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77
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10
/31
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11
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12
/31
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YTD
Ru
ssel
l 10
00
2.0
1%
3.8
7%
5.9
6%
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e b
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om
th
ree
per
form
ing
sect
ors
fo
r la
rge
cap
do
mes
tic
equ
itie
s w
ere:
Ru
ssel
l 20
00
0.3
9%
1.9
3%
2.3
3%
MSC
I AC
Wo
rld
Ind
ex E
X U
SA3
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.59
%5
.19
%
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e to
p t
hre
e p
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g se
cto
rs f
or
smal
l cap
do
mes
tic
equ
itie
s w
ere:
Blo
om
ber
g B
C A
gg0
.20
%0
.67
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.87
%
Bb
erg
BC
Glo
bal
Agg
ex
USD
1.8
8%
0.2
9%
2.1
7%
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e b
ott
om
th
ree
per
form
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sect
ors
fo
r sm
all c
ap d
om
esti
c eq
uit
ies
wer
e:
Hea
lth
Car
e (r
etu
rn 6
.71
%),
Uti
litie
s (r
etu
rn 3
.15
%)
and
Fin
anci
als
(ret
urn
2.6
9%
)Eq
uit
y Se
cto
r P
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orm
ance
Mo
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-To
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ear-
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ate
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p t
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inte
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itie
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00
AC
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USA
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mu
nic
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ervi
ces
(ret
urn
-6
.87
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ergy
(re
turn
-6
.84
%)
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Co
nsu
mer
Sta
ple
s (r
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rn -
0.2
4%
)En
ergy
-2.3
9%
-2.3
9-6
.84
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.84
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-1.7
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.69
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p t
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cto
rs f
or
inte
rnat
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al e
qu
itie
s w
ere:
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eria
ls0
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.92
2.2
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2.2
3-0
.98
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.98
5.8
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5.8
45
.46
%5
.46
7.2
5%
7.2
5
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lth
Car
e (r
etu
rn 4
.48
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Co
nsu
mer
Sta
ple
s (r
etu
rn 3
.70
%)
and
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l Est
ate
(ret
urn
3.1
4%
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du
stri
als
3.6
2%
3.6
21
.00
%1
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2.0
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2.0
95
.12
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1.7
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1.7
56
.20
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The
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m t
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rmin
g se
cto
rs f
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inte
rnat
ion
al e
qu
itie
s w
ere:
Co
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mer
Dis
cret
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ary
1.9
1%
1.9
1-0
.17
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1.2
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1.2
66
.07
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.07
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-1.6
33
.71
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.71
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gy (
retu
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1.7
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ials
(re
turn
-0
.98
%)
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icat
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Ser
vice
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ple
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.84
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-0.2
43
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6.4
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.47
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5.9
1
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Pe
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The
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6.7
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.48
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9.0
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11
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9
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4.4
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3.1
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1.2
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turn
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urn
0.4
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2.6
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5.5
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.91
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5.0
9
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or
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ors
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olo
gy5
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2.1
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9.7
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9.5
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orp
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rn -
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urn
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ces
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93
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e Q
ual
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ual
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ual
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retu
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a (r
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aa (
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%)
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0.4
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1.1
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1.4
51
.77
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0.4
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0.6
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0.6
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0.8
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0.8
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1.0
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1.0
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.33
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0.7
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0.7
81
.27
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3.5
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3.5
8
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1.3
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1.3
0-0
.47
%-0
.47
1.8
4%
1.8
40
.59
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.59
For
the
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00
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the
year
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00
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mes
tic
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itie
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nd
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ex
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g 1
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tern
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oth
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mes
tic
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itie
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wit
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he
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On
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ate
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itie
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urn
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.
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rmat
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Tec
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olo
gy (
retu
rn 5
.15
%)
and
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litie
s (r
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Ener
gy (
retu
rn -
2.3
9%
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ces
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.71
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s (r
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anci
als
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urn
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qu
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itie
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urn
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To
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31
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0.0
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11
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12
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13
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13
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13
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10
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5.6
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I
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11
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Fu
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14
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12
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2.5
4(3
8)
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N
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Fu
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9.2
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I
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Pri
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Re
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13
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2.3
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P
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14
16
16
16
16
16
N/A
L&
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N/A
11
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(83
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3.2
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9.6
5(4
9)
9.6
5(4
9)
2.5
4(3
8)
2.5
4(N
/A)
N
CR
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Fu
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In
de
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n E
nd
Div
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5.6
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12
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(75
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9)
9.2
7(5
3)
9.2
7(5
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2.1
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2.1
6(N
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I
M U
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Pri
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Re
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10
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11
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33
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33
83
12
81
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12
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31
Re
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tha
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31
Co
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33
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33
83
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Pri
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10
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0 %
of
Ass
ets
Du
ne
1.5
04
1,1
45
,90
76
17
,18
91
.50
% o
f A
sse
ts
Gre
en
Oa
k R
ea
l Est
ate
1.7
53
4,7
95
,79
66
08
,92
61
.75
% o
f A
sse
ts
L&
B G
old
en
Dri
ller
0.2
54
7,6
06
,63
91
19
,01
70
.25
% o
f A
sse
ts
La
nd
ma
rk R
ea
lty1
.00
19
,40
0,6
16
19
4,0
06
1.0
0 %
of
Ass
ets
Am
eri
can
Re
alty
1.1
93
3,5
53
,74
73
99
,09
11
.25
% o
f F
irst
$1
0 M
1.2
0 %
of
Ne
xt $
15
M1
.10
% o
f N
ext
$2
5 M
1.0
0 %
Th
ere
aft
er
Sta
rwo
od
1.2
53
4,4
73
,12
54
30
,91
41
.25
% o
f A
sse
ts
To
tal P
riv
ate
Eq
uit
y C
om
po
sit
e0
.25
77
9,2
21
,36
91
,94
8,0
53
Le
ga
cy P
riva
te E
qu
ity P
ort
folio
0.2
53
6,4
47
,46
19
1,1
19
0.2
5 %
of
Ass
etsF
ee
An
aly
sis
To
tal F
un
d
As
of
De
ce
mb
er
31
, 2
01
6
36
Fe
e A
na
lys
is
To
tal F
un
d
As
of
De
ce
mb
er
31
, 2
01
6
Es
tim
ate
dA
nn
ua
l F
ee
(%)
Ma
rke
t V
alu
e($
)
Es
tim
ate
dA
nn
ua
l F
ee
($)
Fe
e S
ch
ed
ule
Fra
nkl
in P
ark
Pri
vate
Eq
uity
0.2
57
42
,77
3,9
08
1,8
56
,93
50
.25
% o
f A
sse
ts
To
tal M
as
ter
Lim
ite
d P
art
ne
rsh
ips
Co
mp
os
ite
0.5
51
,05
4,2
28
,71
25
,74
9,7
80
Ch
icka
saw
ML
P0
.65
43
8,0
95
,27
52
,84
7,6
19
0.6
5 %
of
Ass
ets
AR
I M
LP
0.5
02
35
,12
6,5
16
1,1
75
,63
30
.50
% o
f A
sse
ts
Cu
shin
g M
LP
0.4
53
81
,00
6,9
21
1,7
26
,52
80
.65
% o
f F
irst
$5
1 M
0.5
0 %
of
Ne
xt $
50
M0
.45
% o
f N
ext
$5
0 M
0.4
0 %
Th
ere
aft
er
37
To
tal F
un
d P
oli
cy
Allo
ca
tio
n M
an
da
teW
eig
ht
(%)
Fe
b-2
00
1
Ru
sse
ll 1
00
0 I
nd
ex
17
.00
Ru
sse
ll M
idca
p I
nd
ex
13
.00
Ru
sse
ll 2
00
0 I
nd
ex
10
.00
MS
CI A
C W
orl
d e
x U
SA
(N
et)
17
.50
Blo
om
be
rg B
arc
lays
U.S
. A
gg
reg
ate
In
de
x1
7.5
0
Ru
sse
ll 1
00
0 +
4%
5.0
0
NC
RE
IF F
un
d I
nd
ex-
OD
CE
(V
W)
7.0
0
Ale
ria
n M
LP
In
de
x7
.00
Bo
fA M
err
ill L
ynch
Hig
h Y
ield
Ma
ste
r II
6.0
0
Oc
t-2
01
6
Ru
sse
ll 3
00
0 I
nd
ex
40
.00
MS
CI A
C W
orl
d e
x U
SA
IM
I In
de
x1
7.5
0
Blm
bg
. B
arc
. U
.S.
Un
ive
rsa
l In
de
x2
3.5
0
Ru
sse
ll 2
00
0 +
4%
7.0
0
NC
RE
IF P
rop
ert
y In
de
x7
.00
Ale
ria
n M
LP
In
de
x5
.00
Ac
tua
ria
l A
ss
um
pti
on
All
oc
ati
on
Ma
nd
ate
We
igh
t (%
)
De
c-1
99
1
8.0
0%
An
nu
aliz
ed
Re
turn
s1
00
.00
Ju
l-2
01
5
7.5
0%
An
nu
aliz
ed
Re
turn
10
0.0
0
Be
nc
hm
ark
His
tory
Inv
es
tme
nt
Po
lic
y B
en
ch
ma
rks
As
of
De
ce
mb
er
31
, 2
01
6
38
To
tal A
lte
rna
tiv
es
Po
lic
y
Allo
ca
tio
n M
an
da
teW
eig
ht
(%)
Ja
n-1
92
6
8.0
0%
An
nu
aliz
ed
Re
turn
s1
00
.00
To
tal
Re
al
Es
tate
Po
lic
y
All
oc
ati
on
Ma
nd
ate
We
igh
t (%
)
Ja
n-1
97
8
NC
RE
IF F
un
d I
nd
ex-
Op
en
En
d D
ive
rsifi
ed
Co
re (
EW
)1
00
.00
To
tal P
riv
ate
Eq
uit
y P
oli
cy
Allo
ca
tio
n M
an
da
teW
eig
ht
(%)
Ja
n-1
97
9
Ru
sse
ll 1
00
0 +
4%
10
0.0
0
Oc
t-2
01
6
Ru
sse
ll 2
00
0 +
4%
10
0.0
0
To
tal
Co
re R
ea
l E
sta
te P
olic
y
All
oc
ati
on
Ma
nd
ate
We
igh
t (%
)
Ja
n-1
97
8
NC
RE
IF F
un
d I
nd
ex-
Op
en
En
d D
ive
rsifi
ed
Co
re (
EW
)1
00
.00
To
tal M
LP
Po
lic
y
Allo
ca
tio
n M
an
da
teW
eig
ht
(%)
Ja
n-1
99
6
Ale
ria
n M
LP
In
de
x1
00
.00
To
tal
No
n-C
ore
Re
al
Es
tate
Po
lic
y
All
oc
ati
on
Ma
nd
ate
We
igh
t (%
)
Ju
l-1
99
7
NC
RE
IF F
un
d I
nd
ex
- C
lose
d E
nd
Va
lue
Ad
d I
nd
ex
(EW
10
0.0
0
Be
nc
hm
ark
His
tory
Inv
es
tme
nt
Po
lic
y B
en
ch
ma
rks
As
of
De
ce
mb
er
31
, 2
01
6
39
ML
P F
UN
DS
40
His
tori
ca
l S
tati
sti
cs
3 Y
ea
rs
Re
turn
Sta
nd
ard
De
via
tio
nS
ha
rpe
Ra
tio
Up
Ma
rke
tC
ap
ture
Up
Qu
art
ers
Do
wn
Ma
rke
tC
ap
ture
Do
wn
Qu
art
ers
Inve
stm
en
t-2
.27
22
.94
0.0
11
18
.06
5.0
01
01
.17
7.0
0
I
nd
ex
-5.8
01
9.9
5-0
.20
10
0.0
06
.00
10
0.0
06
.00
90
Da
y U
.S. T
rea
sury
Bill
0.1
10
.05
N/A
0.3
11
1.0
0-0
.09
1.0
0
His
tori
ca
l S
tati
sti
cs
5 Y
ea
rs
Re
turn
Sta
nd
ard
De
via
tio
nS
ha
rpe
Ra
tio
Up
Ma
rke
tC
ap
ture
Up
Qu
art
ers
Do
wn
Ma
rke
tC
ap
ture
Do
wn
Qu
art
ers
Inve
stm
en
t4
.69
19
.52
0.3
31
08
.60
10
.00
97
.73
10
.00
In
de
x2
.25
17
.72
0.2
11
00
.00
11
.00
10
0.0
09
.00
90
Da
y U
.S. T
rea
sury
Bill
0.0
90
.04
N/A
0.2
41
9.0
0-0
.13
1.0
0
Ris
k a
nd
Re
turn
3 Y
ea
rs
Inve
stm
en
tIn
de
x
-7.2
-6.3
-5.4
-4.5
-3.6
-2.7
-1.8
-0.9
0.0
Return (%)
19
.62
0.0
20
.42
0.8
21
.22
1.6
22
.02
2.4
22
.82
3.2
23
.6R
isk
(S
tan
da
rd D
ev
iati
on
%)
Ris
k a
nd
Re
turn
5 Y
ea
rs
Inve
stm
en
tIn
de
x
1.8
2.4
3.0
3.6
4.2
4.8
5.4
Return (%)
17
.11
7.4
17
.71
8.0
18
.31
8.6
18
.91
9.2
19
.51
9.8
20
.1R
isk
(S
tan
da
rd D
ev
iati
on
%)
3 Y
ea
r R
ollin
g P
erc
en
tile
Ra
nk
IM
En
erg
y M
LP
(M
F)
0.0
25
.0
50
.0
75
.0
10
0.0
Return Percentile Rank
3/1
29
/12
3/1
39
/13
3/1
49
/14
3/1
59
/15
3/1
61
2/1
6
To
tal
Pe
rio
d5
-25
Co
un
t2
5-M
ed
ian
Co
un
tM
ed
ian
-75
Co
un
t7
5-9
5C
ou
nt
Inve
stm
en
t1
28
(67
%)
4(3
3%
)0
(0%
)0
(0%
)¾
Ind
ex
15
6(4
0%
)2
(13
%)
5(3
3%
)2
(13
%)
¾
5 Y
ea
r R
oll
ing
Pe
rce
nti
le R
an
k I
M E
ne
rgy
ML
P (
MF
)
0.0
25
.0
50
.0
75
.0
10
0.0
Return Percentile Rank
3/1
29
/12
3/1
39
/13
3/1
49
/14
3/1
59
/15
3/1
61
2/1
6
To
tal P
eri
od
5-2
5C
ou
nt
25
-Me
dia
nC
ou
nt
Me
dia
n-7
5C
ou
nt
75
-95
Co
un
t
Inve
stm
en
t4
4(1
00
%)
0(0
%)
0(0
%)
0(0
%)
¾
Ind
ex
71
(14
%)
3(4
3%
)3
(43
%)
0(0
%)
¾
Str
ate
gy
Re
vie
w
AR
I M
LP
| A
leri
an
ML
P In
de
x
As
of
De
ce
mb
er
31
, 2
01
6
41
Pe
er
Gro
up
An
aly
sis
- I
M E
ne
rgy
ML
P (
MF
)
-40
.0
-30
.0
-20
.0
-10
.0
0.0
10
.0
20
.0
30
.0
40
.0
50
.0
60
.0
Return
QT
RF
YT
D1
YR
2 Y
R3
YR
4 Y
R5
YR
Inve
stm
en
t3
.33
(34
)7
.99
(58
)2
2.6
4(6
2)
-9.0
7(4
8)
-2.2
7(3
8)
4.7
2(1
1)
4.6
9(1
3)
��
Ind
ex
2.0
4(6
9)
3.1
3(9
1)
18
.31
(72
)-1
0.7
0(7
0)
-5.8
0(7
7)
1.6
2(6
6)
2.2
5(7
0)
��
Me
dia
n2
.74
8.9
92
5.1
8-9
.32
-3.8
02
.84
2.9
9
Pe
er
Gro
up
An
aly
sis
- I
M E
ne
rgy
ML
P (
MF
)
-70
.0
-55
.0
-40
.0
-25
.0
-10
.0
5.0
20
.0
35
.0
50
.0
Return
20
15
20
14
20
13
20
12
20
11
20
10
Inve
stm
en
t-3
2.5
8(3
4)
12
.88
(6)
28
.85
(18
)4
.56
(33
)N
/AN
/A��
Ind
ex
-32
.59
(34
)4
.80
(69
)2
7.5
8(2
5)
4.8
0(3
1)
13
.88
(15
)3
5.8
5(N
/A)
��
Me
dia
n-3
5.4
77
.20
22
.48
3.3
16
.70
N/A
Co
mp
ara
tiv
e P
erf
orm
an
ce
1 Q
trE
nd
ing
Se
p-2
01
6
1 Q
trE
nd
ing
Ju
n-2
01
6
1 Q
trE
nd
ing
Ma
r-2
01
6
1 Q
trE
nd
ing
De
c-2
01
5
1 Q
trE
nd
ing
Se
p-2
01
5
1 Q
trE
nd
ing
Ju
n-2
01
5
Inve
stm
en
t4
.52
(56
)2
2.0
1(2
9)
-6.9
2(8
4)
-5.6
6(3
4)
-26
.75
(70
)-1
.76
(12
)
I
nd
ex
1.0
7(9
6)
19
.70
(57
)-4
.17
(48
)-2
.76
(24
)-2
2.1
0(1
9)
-6.0
9(8
9)
Me
dia
n5
.25
20
.14
-4.4
9-9
.33
-25
.70
-3.2
4
Str
ate
gy
Re
vie
w
AR
I M
LP
| A
leri
an
ML
P In
de
x
As
of
De
ce
mb
er
31
, 2
01
6
42
His
tori
ca
l S
tati
sti
cs
3 Y
ea
rs
Re
turn
Sta
nd
ard
De
via
tio
nS
ha
rpe
Ra
tio
Up
Ma
rke
tC
ap
ture
Up
Qu
art
ers
Do
wn
Ma
rke
tC
ap
ture
Do
wn
Qu
art
ers
Inve
stm
en
t3
.17
23
.47
0.2
51
26
.24
6.0
08
9.7
16
.00
I
nd
ex
-5.8
01
9.9
5-0
.20
10
0.0
06
.00
10
0.0
06
.00
90
Da
y U
.S. T
rea
sury
Bill
0.1
10
.05
N/A
0.3
11
1.0
0-0
.09
1.0
0
His
tori
ca
l S
tati
sti
cs
5 Y
ea
rs
Re
turn
Sta
nd
ard
De
via
tio
nS
ha
rpe
Ra
tio
Up
Ma
rke
tC
ap
ture
Up
Qu
art
ers
Do
wn
Ma
rke
tC
ap
ture
Do
wn
Qu
art
ers
Inve
stm
en
t1
4.2
02
0.5
30
.75
13
2.0
11
3.0
08
4.4
87
.00
In
de
x2
.25
17
.72
0.2
11
00
.00
11
.00
10
0.0
09
.00
90
Da
y U
.S. T
rea
sury
Bill
0.0
90
.04
N/A
0.2
41
9.0
0-0
.13
1.0
0
Ris
k a
nd
Re
turn
3 Y
ea
rs
Inve
stm
en
tIn
de
x
-8.0
-6.0
-4.0
-2.0
0.0
2.0
4.0
6.0
Return (%)
19
.01
9.5
20
.02
0.5
21
.02
1.5
22
.02
2.5
23
.02
3.5
24
.02
4.5
Ris
k (
Sta
nd
ard
De
via
tio
n %
)
Ris
k a
nd
Re
turn
5 Y
ea
rs
Inve
stm
en
tIn
de
x
0.0
3.0
6.0
9.0
12
.0
15
.0
18
.0
Return (%)
16
.81
7.2
17
.61
8.0
18
.41
8.8
19
.21
9.6
20
.02
0.4
20
.82
1.2
Ris
k (
Sta
nd
ard
De
via
tio
n %
)
3 Y
ea
r R
ollin
g P
erc
en
tile
Ra
nk
IM
En
erg
y M
LP
(M
F)
0.0
25
.0
50
.0
75
.0
10
0.0
Return Percentile Rank
3/1
29
/12
3/1
39
/13
3/1
49
/14
3/1
59
/15
3/1
61
2/1
6
To
tal
Pe
rio
d5
-25
Co
un
t2
5-M
ed
ian
Co
un
tM
ed
ian
-75
Co
un
t7
5-9
5C
ou
nt
Inve
stm
en
t1
21
2(1
00
%)
0(0
%)
0(0
%)
0(0
%)
¾
Ind
ex
15
6(4
0%
)2
(13
%)
5(3
3%
)2
(13
%)
¾
5 Y
ea
r R
oll
ing
Pe
rce
nti
le R
an
k I
M E
ne
rgy
ML
P (
MF
)
0.0
25
.0
50
.0
75
.0
10
0.0
Return Percentile Rank
3/1
29
/12
3/1
39
/13
3/1
49
/14
3/1
59
/15
3/1
61
2/1
6
To
tal P
eri
od
5-2
5C
ou
nt
25
-Me
dia
nC
ou
nt
Me
dia
n-7
5C
ou
nt
75
-95
Co
un
t
Inve
stm
en
t4
4(1
00
%)
0(0
%)
0(0
%)
0(0
%)
¾
Ind
ex
71
(14
%)
3(4
3%
)3
(43
%)
0(0
%)
¾
Str
ate
gy
Re
vie
w
Ch
ick
as
aw
ML
P |
Ale
ria
n M
LP
In
de
x
As
of
De
ce
mb
er
31
, 2
01
6
43
Pe
er
Gro
up
An
aly
sis
- I
M E
ne
rgy
ML
P (
MF
)
-40
.0
-30
.0
-20
.0
-10
.0
0.0
10
.0
20
.0
30
.0
40
.0
50
.0
60
.0
Return
QT
RF
YT
D1
YR
2 Y
R3
YR
4 Y
R5
YR
Inve
stm
en
t5
.72
(15
)1
3.5
6(1
7)
28
.06
(37
)-5
.34
(7)
3.1
7(1
)1
3.2
2(1
)1
4.2
0(1
)��
Ind
ex
2.0
4(6
9)
3.1
3(9
1)
18
.31
(72
)-1
0.7
0(7
0)
-5.8
0(7
7)
1.6
2(6
6)
2.2
5(7
0)
��
Me
dia
n2
.74
8.9
92
5.1
8-9
.32
-3.8
02
.84
2.9
9
Pe
er
Gro
up
An
aly
sis
- I
M E
ne
rgy
ML
P (
MF
)
-85
.0
-70
.0
-55
.0
-40
.0
-25
.0
-10
.0
5.0
20
.0
35
.0
50
.0
65
.0
80
.0
Return
20
15
20
14
20
13
20
12
20
11
20
10
Inve
stm
en
t-3
0.0
3(2
1)
22
.55
(1)
49
.65
(1)
18
.19
(1)
N/A
N/A
��
Ind
ex
-32
.59
(34
)4
.80
(69
)2
7.5
8(2
5)
4.8
0(3
1)
13
.88
(15
)3
5.8
5(N
/A)
��
Me
dia
n-3
5.4
77
.20
22
.48
3.3
16
.70
N/A
Co
mp
ara
tiv
e P
erf
orm
an
ce
1 Q
trE
nd
ing
Se
p-2
01
6
1 Q
trE
nd
ing
Ju
n-2
01
6
1 Q
trE
nd
ing
Ma
r-2
01
6
1 Q
trE
nd
ing
De
c-2
01
5
1 Q
trE
nd
ing
Se
p-2
01
5
1 Q
trE
nd
ing
Ju
n-2
01
5
Inve
stm
en
t7
.42
(42
)2
1.5
7(3
4)
-7.2
4(8
5)
-2.3
5(2
0)
-28
.39
(77
)1
.22
(1)
I
nd
ex
1.0
7(9
6)
19
.70
(57
)-4
.17
(48
)-2
.76
(24
)-2
2.1
0(1
9)
-6.0
9(8
9)
Me
dia
n5
.25
20
.14
-4.4
9-9
.33
-25
.70
-3.2
4
Str
ate
gy
Re
vie
w
Ch
ick
as
aw
ML
P |
Ale
ria
n M
LP
In
de
x
As
of
De
ce
mb
er
31
, 2
01
6
44
His
tori
ca
l S
tati
sti
cs
3 Y
ea
rs
Re
turn
Sta
nd
ard
De
via
tio
nS
ha
rpe
Ra
tio
Up
Ma
rke
tC
ap
ture
Up
Qu
art
ers
Do
wn
Ma
rke
tC
ap
ture
Do
wn
Qu
art
ers
Inve
stm
en
t0
.11
22
.68
0.1
21
16
.97
6.0
09
2.2
96
.00
I
nd
ex
-5.8
01
9.9
5-0
.20
10
0.0
06
.00
10
0.0
06
.00
90
Da
y U
.S. T
rea
sury
Bill
0.1
10
.05
N/A
0.3
11
1.0
0-0
.09
1.0
0
His
tori
ca
l S
tati
sti
cs
5 Y
ea
rs
Re
turn
Sta
nd
ard
De
via
tio
nS
ha
rpe
Ra
tio
Up
Ma
rke
tC
ap
ture
Up
Qu
art
ers
Do
wn
Ma
rke
tC
ap
ture
Do
wn
Qu
art
ers
Inve
stm
en
t9
.65
19
.59
0.5
71
16
.82
13
.00
86
.12
7.0
0
In
de
x2
.25
17
.72
0.2
11
00
.00
11
.00
10
0.0
09
.00
90
Da
y U
.S. T
rea
sury
Bill
0.0
90
.04
N/A
0.2
41
9.0
0-0
.13
1.0
0
Ris
k a
nd
Re
turn
3 Y
ea
rs
Inve
stm
en
tIn
de
x
-8.0
-6.0
-4.0
-2.0
0.0
2.0
Return (%)
19
.62
0.0
20
.42
0.8
21
.22
1.6
22
.02
2.4
22
.82
3.2
Ris
k (
Sta
nd
ard
De
via
tio
n %
)
Ris
k a
nd
Re
turn
5 Y
ea
rs
Inve
stm
en
tIn
de
x
0.0
2.0
4.0
6.0
8.0
10
.0
12
.0
Return (%)
17
.11
7.4
17
.71
8.0
18
.31
8.6
18
.91
9.2
19
.51
9.8
20
.1R
isk
(S
tan
da
rd D
ev
iati
on
%)
3 Y
ea
r R
ollin
g P
erc
en
tile
Ra
nk
IM
En
erg
y M
LP
(M
F)
0.0
25
.0
50
.0
75
.0
10
0.0
Return Percentile Rank
3/1
29
/12
3/1
39
/13
3/1
49
/14
3/1
59
/15
3/1
61
2/1
6
To
tal
Pe
rio
d5
-25
Co
un
t2
5-M
ed
ian
Co
un
tM
ed
ian
-75
Co
un
t7
5-9
5C
ou
nt
Inve
stm
en
t1
21
2(1
00
%)
0(0
%)
0(0
%)
0(0
%)
¾
Ind
ex
15
6(4
0%
)2
(13
%)
5(3
3%
)2
(13
%)
¾
5 Y
ea
r R
oll
ing
Pe
rce
nti
le R
an
k I
M E
ne
rgy
ML
P (
MF
)
0.0
25
.0
50
.0
75
.0
10
0.0
Return Percentile Rank
3/1
29
/12
3/1
39
/13
3/1
49
/14
3/1
59
/15
3/1
61
2/1
6
To
tal P
eri
od
5-2
5C
ou
nt
25
-Me
dia
nC
ou
nt
Me
dia
n-7
5C
ou
nt
75
-95
Co
un
t
Inve
stm
en
t4
4(1
00
%)
0(0
%)
0(0
%)
0(0
%)
¾
Ind
ex
71
(14
%)
3(4
3%
)3
(43
%)
0(0
%)
¾
Str
ate
gy
Re
vie
w
Cu
sh
ing
ML
P |
Ale
ria
n M
LP
In
de
x
As
of
De
ce
mb
er
31
, 2
01
6
45
Pe
er
Gro
up
An
aly
sis
- I
M E
ne
rgy
ML
P (
MF
)
-40
.0
-30
.0
-20
.0
-10
.0
0.0
10
.0
20
.0
30
.0
40
.0
50
.0
60
.0
Return
QT
RF
YT
D1
YR
2 Y
R3
YR
4 Y
R5
YR
Inve
stm
en
t4
.73
(21
)9
.60
(46
)2
8.0
2(3
7)
-8.3
2(3
8)
0.1
1(4
)9
.76
(1)
9.6
5(1
)��
Ind
ex
2.0
4(6
9)
3.1
3(9
1)
18
.31
(72
)-1
0.7
0(7
0)
-5.8
0(7
7)
1.6
2(6
6)
2.2
5(7
0)
��
Me
dia
n2
.74
8.9
92
5.1
8-9
.32
-3.8
02
.84
2.9
9
Pe
er
Gro
up
An
aly
sis
- I
M E
ne
rgy
ML
P (
MF
)
-70
.0
-55
.0
-40
.0
-25
.0
-10
.0
5.0
20
.0
35
.0
50
.0
65
.0
Return
20
15
20
14
20
13
20
12
20
11
20
10
Inve
stm
en
t-3
4.3
4(4
7)
19
.37
(1)
44
.65
(1)
9.1
9(5
)N
/AN
/A��
Ind
ex
-32
.59
(34
)4
.80
(69
)2
7.5
8(2
5)
4.8
0(3
1)
13
.88
(15
)3
5.8
5(N
/A)
��
Me
dia
n-3
5.4
77
.20
22
.48
3.3
16
.70
N/A
Co
mp
ara
tiv
e P
erf
orm
an
ce
1 Q
trE
nd
ing
Se
p-2
01
6
1 Q
trE
nd
ing
Ju
n-2
01
6
1 Q
trE
nd
ing
Ma
r-2
01
6
1 Q
trE
nd
ing
De
c-2
01
5
1 Q
trE
nd
ing
Se
p-2
01
5
1 Q
trE
nd
ing
Ju
n-2
01
5
Inve
stm
en
t4
.65
(55
)1
9.8
3(5
6)
-2.5
2(3
5)
-7.8
9(4
7)
-27
.79
(75
)-1
.31
(7)
I
nd
ex
1.0
7(9
6)
19
.70
(57
)-4
.17
(48
)-2
.76
(24
)-2
2.1
0(1
9)
-6.0
9(8
9)
M
ed
ian
5.2
52
0.1
4-4
.49
-9.3
3-2
5.7
0-3
.24
Str
ate
gy
Re
vie
w
Cu
sh
ing
ML
P |
Ale
ria
n M
LP
In
de
x
As
of
De
ce
mb
er
31
, 2
01
6
46
OP
EN
EN
D R
EA
L E
ST
AT
E F
UN
DS
47
His
tori
ca
l S
tati
sti
cs
3 Y
ea
rs
Re
turn
Sta
nd
ard
De
via
tio
nS
ha
rpe
Ra
tio
Up
Ma
rke
tC
ap
ture
Up
Qu
art
ers
Do
wn
Ma
rke
tC
ap
ture
Do
wn
Qu
art
ers
Inve
stm
en
tN
/AN
/AN
/AN
/AN
/AN
/AN
/A
I
nd
ex
12
.21
4.9
32
.36
10
0.0
01
2.0
0N
/AN
/A
90
Da
y U
.S. T
rea
sury
Bill
0.1
10
.05
N/A
0.9
21
1.0
0N
/A1
.00
His
tori
ca
l S
tati
sti
cs
5 Y
ea
rs
Re
turn
Sta
nd
ard
De
via
tio
nS
ha
rpe
Ra
tio
Up
Ma
rke
tC
ap
ture
Up
Qu
art
ers
Do
wn
Ma
rke
tC
ap
ture
Do
wn
Qu
art
ers
Inve
stm
en
tN
/AN
/AN
/AN
/AN
/AN
/AN
/A
In
de
x1
2.2
04
.89
2.3
81
00
.00
20
.00
N/A
N/A
90
Da
y U
.S. T
rea
sury
Bill
0.0
90
.04
N/A
0.7
71
9.0
0N
/A1
.00
Ris
k a
nd
Re
turn
3 Y
ea
rs
Inve
stm
en
tIn
de
x
12
.2
12
.3
Return (%)
4.9
5.0
Ris
k (
Sta
nd
ard
De
via
tio
n %
)
Ris
k a
nd
Re
turn
5 Y
ea
rs
Inve
stm
en
tIn
de
x
12
.1
12
.2
Return (%)
4.8
4.9
Ris
k (
Sta
nd
ard
De
via
tio
n %
)
3 Y
ea
r R
ollin
g P
erc
en
tile
Ra
nk
IM
U.S
. O
pe
n E
nd
Pri
va
te R
ea
l E
sta
te (
SA
+C
F)
0.0
25
.0
50
.0
75
.0
10
0.0
Return Percentile Rank
3/1
29
/12
3/1
39
/13
3/1
49
/14
3/1
59
/15
3/1
61
2/1
6
To
tal
Pe
rio
d5
-25
Co
un
t2
5-M
ed
ian
Co
un
tM
ed
ian
-75
Co
un
t7
5-9
5C
ou
nt
Inve
stm
en
t0
00
00
¾
Ind
ex
20
0(0
%)
1(5
%)
17
(85
%)
2(1
0%
)¾
5 Y
ea
r R
oll
ing
Pe
rce
nti
le R
an
k I
M U
.S.
Op
en
En
d P
riv
ate
Re
al
Es
tate
(S
A+
CF
)
0.0
25
.0
50
.0
75
.0
10
0.0
Return Percentile Rank
3/1
29
/12
3/1
39
/13
3/1
49
/14
3/1
59
/15
3/1
61
2/1
6
To
tal P
eri
od
5-2
5C
ou
nt
25
-Me
dia
nC
ou
nt
Me
dia
n-7
5C
ou
nt
75
-95
Co
un
t
Inve
stm
en
t0
00
00
¾
Ind
ex
20
0(0
%)
7(3
5%
)1
3(6
5%
)0
(0%
)¾
Str
ate
gy
Re
vie
w
Am
eri
ca
n R
ea
lty
| N
CR
EIF
Fu
nd
In
de
x-O
pe
n E
nd
Div
ers
ifie
d C
ore
(E
W)
As
of
De
ce
mb
er
31
, 2
01
6
48
Pe
er
Gro
up
An
aly
sis
- I
M U
.S.
Op
en
En
d P
riv
ate
Re
al
Es
tate
(S
A+
CF
)
-4.0
-1.0
2.0
5.0
8.0
11
.0
14
.0
17
.0
20
.0
23
.0
Return
QT
RF
YT
D1
YR
2 Y
R3
YR
4 Y
R5
YR
Inve
stm
en
t3
.44
(14
)5
.75
(21
)1
3.1
4(2
1)
17
.88
(14
)N
/AN
/AN
/A��
Ind
ex
2.1
6(6
7)
4.3
9(5
6)
9.2
7(5
3)
12
.18
(57
)1
2.2
1(6
9)
12
.49
(74
)1
2.2
0(7
5)
��
Me
dia
n2
.29
4.6
09
.47
12
.61
12
.77
13
.24
13
.01
Pe
er
Gro
up
An
aly
sis
- I
M U
.S.
Op
en
En
d P
riv
ate
Re
al
Es
tate
(S
A+
CF
)
2.0
5.0
8.0
11
.0
14
.0
17
.0
20
.0
23
.0
26
.0
29
.0
32
.0
Return
20
15
20
14
20
13
20
12
20
11
20
10
Inve
stm
en
t2
2.8
2(1
0)
N/A
N/A
N/A
N/A
N/A
��
Ind
ex
15
.17
(49
)1
2.2
8(8
1)
13
.34
(62
)1
1.0
3(7
7)
15
.96
(44
)1
6.1
4(5
1)
��
Me
dia
n1
5.0
11
3.6
61
4.6
31
2.4
51
5.7
81
6.2
8
Co
mp
ara
tiv
e P
erf
orm
an
ce
1 Q
trE
nd
ing
Se
p-2
01
6
1 Q
trE
nd
ing
Ju
n-2
01
6
1 Q
trE
nd
ing
Ma
r-2
01
6
1 Q
trE
nd
ing
De
c-2
01
5
1 Q
trE
nd
ing
Se
p-2
01
5
1 Q
trE
nd
ing
Ju
n-2
01
5
Inve
stm
en
t2
.23
(44
)3
.30
(25
)3
.57
(10
)5
.12
(10
)5
.03
(10
)4
.22
(36
)
I
nd
ex
2.1
8(4
7)
2.1
8(6
1)
2.4
4(6
1)
3.4
3(5
7)
3.6
3(4
9)
3.9
2(4
2)
Me
dia
n2
.09
2.5
02
.64
3.5
73
.56
3.7
2
Str
ate
gy
Re
vie
w
Am
eri
ca
n R
ea
lty
| N
CR
EIF
Fu
nd
In
de
x-O
pe
n E
nd
Div
ers
ifie
d C
ore
(E
W)
As
of
De
ce
mb
er
31
, 2
01
6
49
His
tori
ca
l S
tati
sti
cs
3 Y
ea
rs
Re
turn
Sta
nd
ard
De
via
tio
nS
ha
rpe
Ra
tio
Up
Ma
rke
tC
ap
ture
Up
Qu
art
ers
Do
wn
Ma
rke
tC
ap
ture
Do
wn
Qu
art
ers
Inve
stm
en
t1
1.1
54
.60
2.3
29
1.6
41
2.0
0N
/AN
/A
I
nd
ex
12
.21
4.9
32
.36
10
0.0
01
2.0
0N
/AN
/A
90
Da
y U
.S. T
rea
sury
Bill
0.1
10
.05
N/A
0.9
21
1.0
0N
/A1
.00
His
tori
ca
l S
tati
sti
cs
5 Y
ea
rs
Re
turn
Sta
nd
ard
De
via
tio
nS
ha
rpe
Ra
tio
Up
Ma
rke
tC
ap
ture
Up
Qu
art
ers
Do
wn
Ma
rke
tC
ap
ture
Do
wn
Qu
art
ers
Inve
stm
en
t1
1.0
54
.53
2.3
39
0.9
72
0.0
0N
/AN
/A
In
de
x1
2.2
04
.89
2.3
81
00
.00
20
.00
N/A
N/A
90
Da
y U
.S. T
rea
sury
Bill
0.0
90
.04
N/A
0.7
71
9.0
0N
/A1
.00
Ris
k a
nd
Re
turn
3 Y
ea
rs
Inve
stm
en
tIn
de
x
10
.8
11
.1
11
.4
11
.7
12
.0
12
.3
12
.6
Return (%)
4.5
4.6
4.7
4.8
4.9
5.0
Ris
k (
Sta
nd
ard
De
via
tio
n %
)
Ris
k a
nd
Re
turn
5 Y
ea
rs
Inve
stm
en
tIn
de
x
10
.8
11
.1
11
.4
11
.7
12
.0
12
.3
12
.6
Return (%)
4.4
4.5
4.6
4.7
4.8
4.9
5.0
Ris
k (
Sta
nd
ard
De
via
tio
n %
)
3 Y
ea
r R
ollin
g P
erc
en
tile
Ra
nk
IM
U.S
. O
pe
n E
nd
Pri
va
te R
ea
l E
sta
te (
SA
+C
F)
0.0
25
.0
50
.0
75
.0
10
0.0
Return Percentile Rank
3/1
29
/12
3/1
39
/13
3/1
49
/14
3/1
59
/15
3/1
61
2/1
6
To
tal
Pe
rio
d5
-25
Co
un
t2
5-M
ed
ian
Co
un
tM
ed
ian
-75
Co
un
t7
5-9
5C
ou
nt
Inve
stm
en
t1
00
(0%
)0
(0%
)0
(0%
)1
0(1
00
%)
¾
Ind
ex
20
0(0
%)
1(5
%)
17
(85
%)
2(1
0%
)¾
5 Y
ea
r R
oll
ing
Pe
rce
nti
le R
an
k I
M U
.S.
Op
en
En
d P
riv
ate
Re
al
Es
tate
(S
A+
CF
)
0.0
25
.0
50
.0
75
.0
10
0.0
Return Percentile Rank
3/1
29
/12
3/1
39
/13
3/1
49
/14
3/1
59
/15
3/1
61
2/1
6
To
tal P
eri
od
5-2
5C
ou
nt
25
-Me
dia
nC
ou
nt
Me
dia
n-7
5C
ou
nt
75
-95
Co
un
t
Inve
stm
en
t2
0(0
%)
0(0
%)
0(0
%)
2(1
00
%)
¾
Ind
ex
20
0(0
%)
7(3
5%
)1
3(6
5%
)0
(0%
)¾
Str
ate
gy
Re
vie
w
AE
W R
ea
l E
sta
te |
NC
RE
IF F
un
d In
de
x-O
pe
n E
nd
Div
ers
ifie
d C
ore
(E
W)
As
of
De
ce
mb
er
31
, 2
01
6
50
Pe
er
Gro
up
An
aly
sis
- I
M U
.S.
Op
en
En
d P
riv
ate
Re
al
Es
tate
(S
A+
CF
)
-4.0
-1.0
2.0
5.0
8.0
11
.0
14
.0
17
.0
20
.0
23
.0
Return
QT
RF
YT
D1
YR
2 Y
R3
YR
4 Y
R5
YR
Inve
stm
en
t2
.00
(70
)3
.80
(70
)8
.48
(79
)1
1.0
8(8
1)
11
.15
(88
)1
1.4
3(8
3)
11
.05
(89
)��
Ind
ex
2.1
6(6
7)
4.3
9(5
6)
9.2
7(5
3)
12
.18
(57
)1
2.2
1(6
9)
12
.49
(74
)1
2.2
0(7
5)
��
Me
dia
n2
.29
4.6
09
.47
12
.61
12
.77
13
.24
13
.01
Pe
er
Gro
up
An
aly
sis
- I
M U
.S.
Op
en
En
d P
riv
ate
Re
al
Es
tate
(S
A+
CF
)
2.0
5.0
8.0
11
.0
14
.0
17
.0
20
.0
23
.0
26
.0
29
.0
32
.0
Return
20
15
20
14
20
13
20
12
20
11
20
10
Inve
stm
en
t1
3.7
4(7
3)
11
.28
(91
)1
2.2
9(7
6)
9.5
3(8
9)
N/A
N/A
��
Ind
ex
15
.17
(49
)1
2.2
8(8
1)
13
.34
(62
)1
1.0
3(7
7)
15
.96
(44
)1
6.1
4(5
1)
��
Me
dia
n1
5.0
11
3.6
61
4.6
31
2.4
51
5.7
81
6.2
8
Co
mp
ara
tiv
e P
erf
orm
an
ce
1 Q
trE
nd
ing
Se
p-2
01
6
1 Q
trE
nd
ing
Ju
n-2
01
6
1 Q
trE
nd
ing
Ma
r-2
01
6
1 Q
trE
nd
ing
De
c-2
01
5
1 Q
trE
nd
ing
Se
p-2
01
5
1 Q
trE
nd
ing
Ju
n-2
01
5
Inve
stm
en
t1
.77
(72
)2
.41
(54
)2
.05
(78
)3
.55
(52
)3
.12
(77
)4
.22
(36
)
I
nd
ex
2.1
8(4
7)
2.1
8(6
1)
2.4
4(6
1)
3.4
3(5
7)
3.6
3(4
9)
3.9
2(4
2)
M
ed
ian
2.0
92
.50
2.6
43
.57
3.5
63
.72
Str
ate
gy
Re
vie
w
AE
W R
ea
l E
sta
te |
NC
RE
IF F
un
d In
de
x-O
pe
n E
nd
Div
ers
ifie
d C
ore
(E
W)
As
of
De
ce
mb
er
31
, 2
01
6
51
His
tori
ca
l S
tati
sti
cs
3 Y
ea
rs
Re
turn
Sta
nd
ard
De
via
tio
nS
ha
rpe
Ra
tio
Up
Ma
rke
tC
ap
ture
Up
Qu
art
ers
Do
wn
Ma
rke
tC
ap
ture
Do
wn
Qu
art
ers
Inve
stm
en
t1
2.2
44
.99
2.3
41
00
.24
12
.00
N/A
N/A
I
nd
ex
12
.21
4.9
32
.36
10
0.0
01
2.0
0N
/AN
/A
90
Da
y U
.S. T
rea
sury
Bill
0.1
10
.05
N/A
0.9
21
1.0
0N
/A1
.00
His
tori
ca
l S
tati
sti
cs
5 Y
ea
rs
Re
turn
Sta
nd
ard
De
via
tio
nS
ha
rpe
Ra
tio
Up
Ma
rke
tC
ap
ture
Up
Qu
art
ers
Do
wn
Ma
rke
tC
ap
ture
Do
wn
Qu
art
ers
Inve
stm
en
t1
2.7
85
.22
2.3
31
04
.61
20
.00
N/A
N/A
In
de
x1
2.2
04
.89
2.3
81
00
.00
20
.00
N/A
N/A
90
Da
y U
.S. T
rea
sury
Bill
0.0
90
.04
N/A
0.7
71
9.0
0N
/A1
.00
Ris
k a
nd
Re
turn
3 Y
ea
rs
Inve
stm
en
tIn
de
x
12
.2
12
.3
Return (%)
4.9
5.0
5.1
Ris
k (
Sta
nd
ard
De
via
tio
n %
)
Ris
k a
nd
Re
turn
5 Y
ea
rs
Inve
stm
en
tIn
de
x
12
.0
12
.2
12
.4
12
.6
12
.8
13
.0
Return (%)
4.8
4.9
5.0
5.1
5.2
5.3
Ris
k (
Sta
nd
ard
De
via
tio
n %
)
3 Y
ea
r R
ollin
g P
erc
en
tile
Ra
nk
IM
U.S
. O
pe
n E
nd
Pri
va
te R
ea
l E
sta
te (
SA
+C
F)
0.0
25
.0
50
.0
75
.0
10
0.0
Return Percentile Rank
3/1
29
/12
3/1
39
/13
3/1
49
/14
3/1
59
/15
3/1
61
2/1
6
To
tal
Pe
rio
d5
-25
Co
un
t2
5-M
ed
ian
Co
un
tM
ed
ian
-75
Co
un
t7
5-9
5C
ou
nt
Inve
stm
en
t1
10
(0%
)0
(0%
)1
0(9
1%
)1
(9%
)¾
Ind
ex
20
0(0
%)
1(5
%)
17
(85
%)
2(1
0%
)¾
5 Y
ea
r R
oll
ing
Pe
rce
nti
le R
an
k I
M U
.S.
Op
en
En
d P
riv
ate
Re
al
Es
tate
(S
A+
CF
)
0.0
25
.0
50
.0
75
.0
10
0.0
Return Percentile Rank
3/1
29
/12
3/1
39
/13
3/1
49
/14
3/1
59
/15
3/1
61
2/1
6
To
tal P
eri
od
5-2
5C
ou
nt
25
-Me
dia
nC
ou
nt
Me
dia
n-7
5C
ou
nt
75
-95
Co
un
t
Inve
stm
en
t3
0(0
%)
0(0
%)
3(1
00
%)
0(0
%)
¾
Ind
ex
20
0(0
%)
7(3
5%
)1
3(6
5%
)0
(0%
)¾
Str
ate
gy
Re
vie
w
He
itm
an
Re
al E
sta
te |
NC
RE
IF F
un
d In
de
x-O
pe
n E
nd
Div
ers
ifie
d C
ore
(E
W)
As
of
De
ce
mb
er
31
, 2
01
6
52
Pe
er
Gro
up
An
aly
sis
- I
M U
.S.
Op
en
En
d P
riv
ate
Re
al
Es
tate
(S
A+
CF
)
-4.0
-1.0
2.0
5.0
8.0
11
.0
14
.0
17
.0
20
.0
23
.0
Return
QT
RF
YT
D1
YR
2 Y
R3
YR
4 Y
R5
YR
Inve
stm
en
t2
.54
(38
)4
.93
(38
)9
.96
(46
)1
2.8
9(4
7)
12
.24
(69
)1
2.9
8(5
5)
12
.78
(54
)��
Ind
ex
2.1
6(6
7)
4.3
9(5
6)
9.2
7(5
3)
12
.18
(57
)1
2.2
1(6
9)
12
.49
(74
)1
2.2
0(7
5)
��
Me
dia
n2
.29
4.6
09
.47
12
.61
12
.77
13
.24
13
.01
Pe
er
Gro
up
An
aly
sis
- I
M U
.S.
Op
en
En
d P
riv
ate
Re
al
Es
tate
(S
A+
CF
)
2.0
5.0
8.0
11
.0
14
.0
17
.0
20
.0
23
.0
26
.0
29
.0
32
.0
Return
20
15
20
14
20
13
20
12
20
11
20
10
Inve
stm
en
t1
5.9
0(3
9)
10
.94
(95
)1
5.2
1(4
0)
12
.00
(61
)N
/AN
/A��
Ind
ex
15
.17
(49
)1
2.2
8(8
1)
13
.34
(62
)1
1.0
3(7
7)
15
.96
(44
)1
6.1
4(5
1)
��
Me
dia
n1
5.0
11
3.6
61
4.6
31
2.4
51
5.7
81
6.2
8
Co
mp
ara
tiv
e P
erf
orm
an
ce
1 Q
trE
nd
ing
Se
p-2
01
6
1 Q
trE
nd
ing
Ju
n-2
01
6
1 Q
trE
nd
ing
Ma
r-2
01
6
1 Q
trE
nd
ing
De
c-2
01
5
1 Q
trE
nd
ing
Se
p-2
01
5
1 Q
trE
nd
ing
Ju
n-2
01
5
Inve
stm
en
t2
.33
(35
)2
.31
(56
)2
.43
(61
)3
.85
(35
)3
.37
(65
)4
.16
(40
)
I
nd
ex
2.1
8(4
7)
2.1
8(6
1)
2.4
4(6
1)
3.4
3(5
7)
3.6
3(4
9)
3.9
2(4
2)
Me
dia
n2
.09
2.5
02
.64
3.5
73
.56
3.7
2
Str
ate
gy
Re
vie
w
He
itm
an
Re
al E
sta
te |
NC
RE
IF F
un
d In
de
x-O
pe
n E
nd
Div
ers
ifie
d C
ore
(E
W)
As
of
De
ce
mb
er
31
, 2
01
6
53
His
tori
ca
l S
tati
sti
cs
3 Y
ea
rs
Re
turn
Sta
nd
ard
De
via
tio
nS
ha
rpe
Ra
tio
Up
Ma
rke
tC
ap
ture
Up
Qu
art
ers
Do
wn
Ma
rke
tC
ap
ture
Do
wn
Qu
art
ers
Inve
stm
en
t1
3.2
65
.49
2.2
91
08
.26
12
.00
N/A
N/A
I
nd
ex
12
.21
4.9
32
.36
10
0.0
01
2.0
0N
/AN
/A
90
Da
y U
.S. T
rea
sury
Bill
0.1
10
.05
N/A
0.9
21
1.0
0N
/A1
.00
His
tori
ca
l S
tati
sti
cs
5 Y
ea
rs
Re
turn
Sta
nd
ard
De
via
tio
nS
ha
rpe
Ra
tio
Up
Ma
rke
tC
ap
ture
Up
Qu
art
ers
Do
wn
Ma
rke
tC
ap
ture
Do
wn
Qu
art
ers
Inve
stm
en
t1
1.3
94
.90
2.2
29
3.7
72
0.0
0N
/AN
/A
In
de
x1
2.2
04
.89
2.3
81
00
.00
20
.00
N/A
N/A
90
Da
y U
.S. T
rea
sury
Bill
0.0
90
.04
N/A
0.7
71
9.0
0N
/A1
.00
Ris
k a
nd
Re
turn
3 Y
ea
rs
Inve
stm
en
tIn
de
x
12
.0
12
.3
12
.6
12
.9
13
.2
13
.5
13
.8
Return (%)
4.8
4.9
5.0
5.1
5.2
5.3
5.4
5.5
5.6
Ris
k (
Sta
nd
ard
De
via
tio
n %
)
Ris
k a
nd
Re
turn
5 Y
ea
rs
Inve
stm
en
tIn
de
x
11
.2
11
.4
11
.6
11
.8
12
.0
12
.2
12
.4
Return (%)
4.8
4.9
5.0
Ris
k (
Sta
nd
ard
De
via
tio
n %
)
3 Y
ea
r R
ollin
g P
erc
en
tile
Ra
nk
IM
U.S
. O
pe
n E
nd
Pri
va
te R
ea
l E
sta
te (
SA
+C
F)
0.0
25
.0
50
.0
75
.0
10
0.0
Return Percentile Rank
3/1
29
/12
3/1
39
/13
3/1
49
/14
3/1
59
/15
3/1
61
2/1
6
To
tal
Pe
rio
d5
-25
Co
un
t2
5-M
ed
ian
Co
un
tM
ed
ian
-75
Co
un
t7
5-9
5C
ou
nt
Inve
stm
en
t1
10
(0%
)3
(27
%)
1(9
%)
7(6
4%
)¾
Ind
ex
20
0(0
%)
1(5
%)
17
(85
%)
2(1
0%
)¾
5 Y
ea
r R
oll
ing
Pe
rce
nti
le R
an
k I
M U
.S.
Op
en
En
d P
riv
ate
Re
al
Es
tate
(S
A+
CF
)
0.0
25
.0
50
.0
75
.0
10
0.0
Return Percentile Rank
3/1
29
/12
3/1
39
/13
3/1
49
/14
3/1
59
/15
3/1
61
2/1
6
To
tal P
eri
od
5-2
5C
ou
nt
25
-Me
dia
nC
ou
nt
Me
dia
n-7
5C
ou
nt
75
-95
Co
un
t
Inve
stm
en
t3
0(0
%)
0(0
%)
0(0
%)
3(1
00
%)
¾
Ind
ex
20
0(0
%)
7(3
5%
)1
3(6
5%
)0
(0%
)¾
Str
ate
gy
Re
vie
w
L&
B R
ea
l E
sta
te |
NC
RE
IF F
un
d In
de
x-O
pe
n E
nd
Div
ers
ifie
d C
ore
(E
W)
As
of
De
ce
mb
er
31
, 2
01
6
54
Pe
er
Gro
up
An
aly
sis
- I
M U
.S.
Op
en
En
d P
riv
ate
Re
al
Es
tate
(S
A+
CF
)
-4.0
-1.0
2.0
5.0
8.0
11
.0
14
.0
17
.0
20
.0
23
.0
Return
QT
RF
YT
D1
YR
2 Y
R3
YR
4 Y
R5
YR
Inve
stm
en
t2
.54
(38
)4
.32
(59
)9
.65
(49
)1
3.1
4(4
5)
13
.26
(44
)1
2.5
9(7
2)
11
.39
(83
)��
Ind
ex
2.1
6(6
7)
4.3
9(5
6)
9.2
7(5
3)
12
.18
(57
)1
2.2
1(6
9)
12
.49
(74
)1
2.2
0(7
5)
��
Me
dia
n2
.29
4.6
09
.47
12
.61
12
.77
13
.24
13
.01
Pe
er
Gro
up
An
aly
sis
- I
M U
.S.
Op
en
En
d P
riv
ate
Re
al
Es
tate
(S
A+
CF
)
2.0
5.0
8.0
11
.0
14
.0
17
.0
20
.0
23
.0
26
.0
29
.0
32
.0
Return
20
15
20
14
20
13
20
12
20
11
20
10
Inve
stm
en
t1
6.7
4(3
3)
13
.51
(54
)1
0.6
2(8
9)
6.7
1(9
7)
N/A
N/A
��
Ind
ex
15
.17
(49
)1
2.2
8(8
1)
13
.34
(62
)1
1.0
3(7
7)
15
.96
(44
)1
6.1
4(5
1)
��
Me
dia
n1
5.0
11
3.6
61
4.6
31
2.4
51
5.7
81
6.2
8
Co
mp
ara
tiv
e P
erf
orm
an
ce
1 Q
trE
nd
ing
Se
p-2
01
6
1 Q
trE
nd
ing
Ju
n-2
01
6
1 Q
trE
nd
ing
Ma
r-2
01
6
1 Q
trE
nd
ing
De
c-2
01
5
1 Q
trE
nd
ing
Se
p-2
01
5
1 Q
trE
nd
ing
Ju
n-2
01
5
Inve
stm
en
t1
.74
(77
)2
.28
(57
)2
.77
(41
)5
.30
(9)
3.7
7(4
8)
3.9
1(4
2)
I
nd
ex
2.1
8(4
7)
2.1
8(6
1)
2.4
4(6
1)
3.4
3(5
7)
3.6
3(4
9)
3.9
2(4
2)
Me
dia
n2
.09
2.5
02
.64
3.5
73
.56
3.7
2
Str
ate
gy
Re
vie
w
L&
B R
ea
l E
sta
te |
NC
RE
IF F
un
d In
de
x-O
pe
n E
nd
Div
ers
ifie
d C
ore
(E
W)
As
of
De
ce
mb
er
31
, 2
01
6
55
CL
OS
ED
EN
D R
EA
L E
ST
AT
E F
UN
DS
56
Fu
nd
In
form
ati
on
Ty
pe
of
Fu
nd
:P
art
ne
rsh
ipV
inta
ge
Ye
ar:
20
14
Str
ate
gy
Ty
pe
:R
ea
l Est
ate
Ma
na
ge
me
nt
Fe
e:
15
0 b
ps
Ta
rge
t IR
R:
6.0
0%
Inc
ep
tio
n:
10
/21
/20
14
Ge
ne
ral P
art
ne
r:
Inv
es
tme
nt
Str
ate
gy
:E
xtre
me
ly h
an
ds
on
inve
stm
en
t p
roce
ss t
ha
t cu
rre
ntly
ma
na
ge
s a
div
ers
ifie
d p
ort
folio
of
mu
lti-f
am
ily in
vest
me
nts
in t
wo
su
b-m
ark
ets
wh
ere
th
ey
see
k d
ee
p p
rop
ert
y b
y p
rop
ert
y kn
ow
led
ge
an
d a
do
min
an
t m
ark
et
sha
re.
Cu
rre
ntly
, th
eir
po
rtfo
lio o
wn
s o
ver
6,0
00
ap
art
me
nt
un
its in
Ch
ica
go
, K
an
sas
City
, a
nd
St.
Lo
uis
in a
rea
s th
at
exh
ibit
stro
ng
, st
ruct
ura
l su
pp
ly/d
em
an
dco
nd
itio
ns
tha
t ca
nn
ot
be
ea
sily
re
vers
ed
an
d u
ltim
ate
ly b
en
efit
ap
art
me
nt
ow
ne
rs.
Th
e t
ea
m s
ee
ks a
rea
s w
he
re s
up
ply
/de
ma
nd
re
ma
ins
in d
ise
qu
ilib
riu
m a
nd
fa
vora
ble
to
lon
g-t
erm
gro
wth
rate
s o
f re
nta
l in
com
e.
Op
era
ting
exp
en
ses
for
the
ir p
rop
ert
ies
ten
d t
o r
em
ain
fla
t a
fte
r in
itia
l in
vest
me
nt,
allo
win
g t
he
m t
o c
om
po
un
d a
gro
win
g le
vel o
f n
et
op
era
ting
exp
en
ses.
Th
e t
ea
mfo
cuse
s o
n y
ea
r o
ver
yea
r o
pe
ratin
g s
ucc
ess
ra
the
r th
an
“tr
ad
es”
.
Th
e f
un
d e
xpe
cts
to d
ep
loy
eq
ua
lly b
etw
ee
n C
hic
ag
o,
Ka
nsa
s C
ity a
nd
St.
Lo
uis
. P
rop
ert
y a
cqu
isiti
on
s a
re m
ovi
ng
fo
rwa
rd a
t a
de
libe
rate
pa
ce.
Th
e lo
catio
n o
f th
e B
ara
ck O
ba
ma
pre
sid
en
tial l
ibra
ry w
as
an
no
un
ced
to
be
at
the
So
uth
sid
e o
f C
hic
ag
o.
Th
is s
ho
uld
be
po
sitiv
e f
or
the
po
rtfo
lio’s
ho
ldin
gs
in t
he
Hyd
e P
ark
ne
igh
bo
rho
od
Ca
sh
Flo
w S
um
ma
ry
Ca
pit
al C
om
mit
ted
:$
53
,75
0,0
00
Ca
pit
al In
ve
ste
d:
$5
1,0
62
,50
0
Ma
na
ge
me
nt
Fe
es
:-
Ex
pe
ns
es
:-
Inte
res
t:-
To
tal C
on
trib
uti
on
s:
$5
1,0
62
,50
0
Re
ma
inin
g C
ap
ita
l C
om
mit
me
nt:
$2
,68
7,5
00
To
tal D
istr
ibu
tio
ns
:-
Ma
rke
t V
alu
e:
$4
7,1
61
,50
0
Inc
ep
tio
n D
ate
:1
1/1
2/2
01
4
Inc
ep
tio
n IR
R:
-7.2
TV
PI:
0.9
Ca
sh
Flo
w A
na
lys
is
Ne
t A
sse
t V
alu
eD
istr
ibu
tio
nC
on
trib
utio
ns
$0
.0
$1
3,5
20
,00
0.0
$2
7,0
40
,00
0.0
$4
0,5
60
,00
0.0
$5
4,0
80
,00
0.0
$6
7,6
00
,00
0.0
($1
3,5
20
,00
0.0
)
12
/14
3/1
56
/15
9/1
51
2/1
53
/16
6/1
69
/16
12
/16
Pri
va
te E
qu
ity
Fu
nd
Ov
erv
iew
An
the
us
Ca
pit
al
As
of
De
ce
mb
er
31
, 2
01
6
57
Pri
va
te E
qu
ity
Fin
an
cia
l R
ec
on
cil
iati
on
Da
teM
ark
et
Va
lue
Inv
es
tme
nt
Fe
es
Ex
pe
ns
es
Ca
tch
-Up
Inte
res
tT
ota
lG
ain
Ca
sh
Inte
res
tC
atc
h-U
pIn
tere
st
Re
ce
ive
d
Re
ca
lla
ble
Ca
pit
al
Re
turn
of
Ca
pit
al
Ca
sh
To
tal
11
/12
/20
14
-2
,68
7,5
00
--
-2
,68
7,5
00
--
--
--
11
/30
/20
14
2,6
87
,50
0-
--
--
--
--
--
12
/15
/20
14
-8
,06
2,5
00
--
-8
,06
2,5
00
--
--
--
12
/31
/20
14
8,8
21
,00
0-
--
--
--
--
--
01
/31
/20
15
8,8
21
,00
0-
--
--
--
--
--
02
/06
/20
15
-5
,37
5,0
00
--
-5
,37
5,0
00
--
--
--
02
/28
/20
15
14
,19
6,0
00
--
--
--
--
--
-
03
/27
/20
15
-2
,68
7,5
00
--
-2
,68
7,5
00
--
--
--
03
/31
/20
15
16
,88
3,5
00
--
--
--
--
--
-
04
/30
/20
15
16
,88
3,5
00
--
--
--
--
--
-
05
/31
/20
15
16
,88
3,5
00
--
--
--
--
--
-
06
/12
/20
15
-2
,68
7,5
00
--
-2
,68
7,5
00
--
--
--
06
/30
/20
15
19
,57
1,0
00
--
--
--
--
--
-
07
/31
/20
15
19
,57
1,0
00
--
--
--
--
--
-
08
/31
/20
15
19
,57
1,0
00
--
--
--
--
--
-
09
/30
/20
15
19
,57
1,0
00
--
--
--
--
--
-
10
/16
/20
15
-5
,37
5,0
00
--
-5
,37
5,0
00
--
--
--
10
/31
/20
15
24
,94
6,0
00
--
--
--
--
--
-
11
/30
/20
15
24
,94
6,0
00
--
--
--
--
--
-
12
/31
/20
15
22
,97
4,0
00
--
--
--
--
--
-
01
/31
/20
16
22
,97
4,0
00
--
--
--
--
--
-
02
/29
/20
16
22
,97
4,0
00
--
--
--
--
--
-
03
/31
/20
16
22
,97
4,0
00
--
--
--
--
--
-
04
/30
/20
16
22
,97
4,0
00
--
--
--
--
--
-
05
/31
/20
16
22
,97
4,0
00
--
--
--
--
--
-
06
/30
/20
16
22
,97
4,0
00
--
--
--
--
--
-
07
/08
/20
16
-1
0,7
50
,00
0-
--
10
,75
0,0
00
--
--
--
07
/31
/20
16
33
,72
4,0
00
--
--
--
--
--
-
08
/31
/20
16
33
,72
4,0
00
--
--
--
--
--
-
09
/02
/20
16
-5
,37
5,0
00
--
-5
,37
5,0
00
--
--
--
09
/30
/20
16
39
,09
9,0
00
--
--
--
--
--
-
10
/31
/20
16
39
,09
9,0
00
--
--
--
--
--
-
11
/29
/20
16
-8
,06
2,5
00
--
-8
,06
2,5
00
--
--
--
11
/30
/20
16
47
,16
1,5
00
--
--
--
--
--
-
12
/31
/20
16
47
,16
1,5
00
--
--
--
--
--
-
To
tal
51
,06
2,5
00
--
-5
1,0
62
,50
0-
--
--
-
Pri
va
te E
qu
ity
Fin
an
cia
l R
ec
on
cilia
tio
n
An
the
us
Ca
pit
al
Sin
ce
In
ce
pti
on
En
din
g D
ec
em
be
r 3
1, 2
01
6
58
Fu
nd
In
form
ati
on
Ty
pe
of
Fu
nd
:P
art
ne
rsh
ipV
inta
ge
Ye
ar:
20
13
Str
ate
gy
Ty
pe
:R
ea
l Est
ate
Ma
na
ge
me
nt
Fe
e:
1.5
0%
+ P
BF
Ta
rge
t IR
R:
Pre
-ta
x n
et
an
nu
al I
RR
on
inve
ste
d c
ap
ital o
f 1
5-1
7%
Inc
ep
tio
n:
02
/01
/20
13
Ge
ne
ral P
art
ne
r:D
un
e R
ea
l Est
ate
Pa
rtn
ers
III
LL
C
Inv
es
tme
nt
Str
ate
gy
:W
ith t
arg
ete
d e
qu
ity c
om
mitm
en
ts o
f $
96
0 m
illio
n,
Fu
nd
III
co
ntin
ue
s th
e e
xecu
tion
of
Du
ne
's o
pp
ort
un
istic
eq
uity
inve
stm
en
t p
rog
ram
with
a f
ocu
s o
n d
istr
ess
ed
, d
ee
p v
alu
e-a
dd
an
dco
ntr
ari
an
inve
stin
g,
pri
ma
rily
in t
he
U.S
. D
un
e in
ten
ds
for
Fu
nd
III
to
acq
uir
e r
ea
l est
ate
acr
oss
mu
ltip
le s
ect
ors
incl
ud
ing
mu
ltifa
mily
, re
tail,
off
ice
, in
du
stri
al &
ho
tel s
ect
ors
, a
mo
ng
oth
ers
.D
un
e s
ee
ks t
o a
sse
mb
le a
po
rtfo
lio o
f o
pp
ort
un
istic
inve
stm
en
ts f
or
Fu
nd
III
, w
ell-
ba
lan
ced
by
reg
ion
an
d s
ect
or,
th
at
Du
ne
be
lieve
s ca
n g
en
era
te a
fu
nd
-le
vel,
pre
-ta
x n
et
an
nu
al I
RR
on
inve
ste
d c
ap
ital o
f b
etw
ee
n 1
5%
an
d 1
7%
. In
vest
me
nts
are
ge
ne
rally
exp
ect
ed
to
be
he
ld b
y F
un
d I
II f
or
a p
eri
od
of
ap
pro
xim
ate
ly f
ive
ye
ars
.
Du
ne
's s
tra
teg
y fo
r F
un
d I
II b
roa
dly
fo
cuse
s o
n t
he
op
po
rtu
niti
es
resu
ltin
g f
rom
un
pre
ced
en
ted
de
leve
rag
ing
of
the
ca
pita
l ma
rke
ts a
nd
co
rre
spo
nd
ing
dis
tre
ss a
nd
dis
loca
tion
in t
he
re
al
est
ate
ma
rke
ts.
Du
ne
exe
cute
s its
str
ate
gy
thro
ug
h t
hre
e p
rim
ary
inve
stm
en
t th
em
es
in F
un
d I
II:
1.
Dis
tre
sse
d:
Acq
uis
itio
n,
reca
pita
liza
tion
an
d/o
r re
stru
ctu
rin
g o
f su
b-p
erf
orm
ing
an
d n
on
-pe
rfo
rmin
g c
om
me
rcia
l mo
rtg
ag
es
an
d o
the
r re
al e
sta
te lo
an
s a
s a
n e
ffe
ctiv
e m
ea
ns
of
acq
uir
ing
rea
l est
ate
;2
.D
ee
p V
alu
e-A
dd
: R
ep
osi
tion
ing
of
rea
l est
ate
ass
ets
an
d/o
r ra
tion
aliz
atio
n o
f ca
pita
l str
uct
ure
s; a
nd
3.
Co
ntr
ari
an
: In
vest
ing
to
ta
ke a
dva
nta
ge
of
ove
rso
ld m
ark
ets
or
ass
et
cla
sse
swh
ere
th
e a
cqu
isiti
on
ba
sis
is c
om
pe
llin
g a
nd
wh
ere
inve
sto
r b
eh
avi
or
ha
s cr
ea
ted
exp
loita
ble
mis
pri
cin
g.
Inve
stm
en
t O
bje
ctiv
e:
Fu
nd
III
will
se
ek
to m
ake
inve
stm
en
ts in
a b
roa
d r
an
ge
of
rea
l est
ate
an
d r
ea
l est
ate
-re
late
d in
vest
me
nts
, su
ch in
vest
me
nts
to
incl
ud
e b
ut
no
t b
e li
mite
d t
oin
vest
me
nts
in s
ing
le a
sse
ts,
po
rtfo
lios,
join
t ve
ntu
res
an
d o
pe
ratin
g c
om
pa
nie
s, a
s w
ell
as
rea
l est
ate
-re
late
d lo
an
s a
nd
de
bt
secu
ritie
s.
Ca
sh
Flo
w S
um
ma
ry
Ca
pit
al C
om
mit
ted
:$
53
,75
0,0
00
Ca
pit
al In
ve
ste
d:
$3
4,2
72
,43
9
Ma
na
ge
me
nt
Fe
es
:-
Ex
pe
ns
es
:-
Inte
res
t:-
To
tal C
on
trib
uti
on
s:
$3
4,2
72
,43
9
Re
ma
inin
g C
ap
ita
l C
om
mit
me
nt:
$2
0,1
56
,24
8
To
tal D
istr
ibu
tio
ns
:$
67
8,6
87
Ma
rke
t V
alu
e:
$4
1,1
45
,90
7
Inc
ep
tio
n D
ate
:1
1/0
7/2
01
4
Inc
ep
tio
n IR
R:
14
.2
TV
PI:
1.2
Ca
sh
Flo
w A
na
lys
is
Ne
t A
sse
t V
alu
eD
istr
ibu
tio
nC
on
trib
utio
ns
$0
.0
$1
0,9
20
,00
0.0
$2
1,8
40
,00
0.0
$3
2,7
60
,00
0.0
$4
3,6
80
,00
0.0
$5
4,6
00
,00
0.0
($1
0,9
20
,00
0.0
)
12
/14
3/1
56
/15
9/1
51
2/1
53
/16
6/1
69
/16
12
/16
Pri
va
te E
qu
ity
Fu
nd
Ov
erv
iew
Du
ne
As
of
De
ce
mb
er
31
, 2
01
6
59
Pri
va
te E
qu
ity
Fin
an
cia
l R
ec
on
cil
iati
on
Da
teM
ark
et
Va
lue
Inv
es
tme
nt
Fe
es
Ex
pe
ns
es
Ca
tch
-Up
Inte
res
tT
ota
lG
ain
Ca
sh
Inte
res
tC
atc
h-U
pIn
tere
st
Re
ce
ive
d
Re
ca
lla
ble
Ca
pit
al
Re
turn
of
Ca
pit
al
Ca
sh
To
tal
11
/07
/20
14
-1
0,6
85
,61
2-
--
10
,68
5,6
12
--
--
--
11
/30
/20
14
10
,68
5,6
12
--
--
--
--
--
-
12
/31
/20
14
11
,93
5,0
03
--
--
--
--
--
-
01
/31
/20
15
11
,93
5,0
03
--
--
--
--
--
-
02
/09
/20
15
-5
,37
5,0
00
--
-5
,37
5,0
00
--
--
--
02
/28
/20
15
17
,31
0,0
03
--
--
--
--
--
-
03
/31
/20
15
17
,91
7,2
78
--
--
--
--
--
-
04
/30
/20
15
17
,91
7,2
78
--
--
--
--
--
-
05
/31
/20
15
17
,91
7,2
78
--
--
--
--
--
-
06
/12
/20
15
-6
78
,68
7-
--
67
8,6
87
--
-6
78
,68
7-
67
8,6
87
06
/25
/20
15
-5
,37
5,0
00
--
-5
,37
5,0
00
--
--
--
06
/30
/20
15
24
,28
1,4
09
--
--
--
--
--
-
07
/31
/20
15
24
,28
1,4
09
--
--
--
--
--
-
08
/31
/20
15
24
,28
1,4
09
--
--
--
--
--
-
09
/30
/20
15
25
,03
4,7
73
--
--
--
--
--
-
10
/31
/20
15
25
,03
4,7
73
--
--
--
--
--
-
11
/30
/20
15
25
,03
4,7
73
--
--
--
--
--
-
12
/14
/20
15
-6
,05
7,5
13
--
-6
,05
7,5
13
--
--
--
12
/31
/20
15
31
,61
1,9
58
--
--
--
--
--
-
01
/31
/20
16
31
,61
1,9
58
--
--
--
--
--
-
02
/29
/20
16
31
,61
1,9
58
--
--
--
--
--
-
03
/31
/20
16
32
,13
8,3
53
--
--
--
--
--
-
04
/30
/20
16
32
,13
8,3
53
--
--
--
--
--
-
05
/02
/20
16
-2
,79
9,4
81
--
-2
,79
9,4
81
--
--
--
05
/31
/20
16
34
,93
7,8
34
--
--
--
--
--
-
06
/30
/20
16
36
,55
1,3
95
--
--
--
--
--
-
07
/31
/20
16
36
,55
1,3
95
--
--
--
--
--
-
08
/31
/20
16
36
,55
1,3
95
--
--
--
--
--
-
09
/27
/20
16
-3
,30
1,1
46
--
-3
,30
1,1
46
--
--
--
09
/30
/20
16
41
,14
5,9
07
--
--
--
--
--
-
10
/31
/20
16
41
,14
5,9
07
--
--
--
--
--
-
11
/30
/20
16
41
,14
5,9
07
--
--
--
--
--
-
12
/31
/20
16
41
,14
5,9
07
--
--
--
--
--
-
To
tal
34
,27
2,4
39
--
-3
4,2
72
,43
9-
--
67
8,6
87
-6
78
,68
7
Pri
va
te E
qu
ity
Fin
an
cia
l R
ec
on
cilia
tio
n
Du
ne
Sin
ce
In
ce
pti
on
En
din
g D
ec
em
be
r 3
1, 2
01
6
60
Fu
nd
In
form
ati
on
Ty
pe
of
Fu
nd
:P
art
ne
rsh
ipV
inta
ge
Ye
ar:
20
13
Str
ate
gy
Ty
pe
:O
pp
ort
un
istic
Re
al E
sta
teM
an
ag
em
en
t F
ee
:0
.50
% o
n c
om
mitt
ed
an
d 1
.75
% o
n in
vest
ed
ca
pita
l
Ta
rge
t IR
R:
Inc
ep
tio
n:
05
/13
/20
13
Ge
ne
ral P
art
ne
r:G
ree
nO
ak
US
GP
II,
LP
Inv
es
tme
nt
Str
ate
gy
:T
o a
cqu
ire
inst
itutio
na
l pro
pe
rtie
s a
t d
ee
p d
isco
un
ts t
o in
trin
sic
valu
e in
se
lect
ma
rke
ts a
cro
ss t
he
US
, w
hic
h a
re s
ub
ject
to
imp
rovi
ng
fu
nd
am
en
tals
an
d li
mite
d n
ew
su
pp
ly.
Inve
stm
en
to
pp
ort
un
itie
s fo
r th
e F
un
d w
ill b
e s
ou
rce
d t
hro
ug
h G
ree
nO
ak‘
s e
xte
nsi
ve a
nd
lon
gst
an
din
g r
ela
tion
ship
s w
ith s
op
his
tica
ted
pa
rtn
ers
an
d o
wn
ers
, in
clu
din
g p
rom
ine
nt
rea
l est
ate
inve
sto
rs,
len
de
rs a
nd
op
era
tors
. T
he
In
vest
me
nt
Ma
na
ge
r a
nd
its
aff
ilia
tes
will
ide
ntif
y a
nd
eva
lua
te p
ote
ntia
l in
vest
me
nts
, p
art
icip
ate
in t
he
ma
na
ge
me
nt
of
Fu
nd
inve
stm
en
ts a
nd
pro
vid
e c
ert
ain
ad
min
istr
ativ
e s
erv
ice
s fo
r th
e b
en
efit
of
the
Fu
nd
. C
om
ple
xity
an
d d
istr
ess
with
in c
ap
ital s
tru
ctu
res
an
d o
wn
ers
hip
of
ma
ny
rea
l est
ate
pro
pe
rtie
s h
ave
lim
ited
th
e o
ptio
ns
of
ma
ny
ow
ne
rsa
nd
len
de
rs,
cre
atin
g o
pp
ort
un
ity f
or
exp
eri
en
ced
inve
sto
rs w
ho
ca
n m
an
ag
e t
hro
ug
h t
he
se is
sue
s. T
he
Ge
ne
ral P
art
ne
r b
elie
ves
its r
ea
l est
ate
, st
ruct
uri
ng
, w
ork
ou
t a
nd
ca
pita
l ma
rke
tse
xpe
rtis
e w
ill b
e a
co
mp
etit
ive
ad
van
tag
e in
su
cce
ssfu
lly a
cqu
irin
g,
ma
na
gin
g a
nd
ulti
ma
tely
re
po
sitio
nin
g s
uch
ass
ets
to
ap
pe
al t
o in
stitu
tion
al b
uye
rs u
po
n e
xit
into
a r
eco
veri
ng
ma
rke
t.
Ca
sh
Flo
w S
um
ma
ry
Ca
pit
al C
om
mit
ted
:$
50
,00
0,0
00
Ca
pit
al In
ve
ste
d:
$3
7,3
14
,49
4
Ma
na
ge
me
nt
Fe
es
:$
53
3,2
84
Ex
pe
ns
es
:$
27
3,6
00
Inte
res
t:$
67
,85
3
To
tal C
on
trib
uti
on
s:
$3
8,1
89
,23
1
Re
ma
inin
g C
ap
ita
l C
om
mit
me
nt:
$1
2,9
48
,89
1
To
tal D
istr
ibu
tio
ns
:$
4,7
19
,04
5
Ma
rke
t V
alu
e:
$3
4,7
95
,79
6
Inc
ep
tio
n D
ate
:1
0/3
0/2
01
4
Inc
ep
tio
n IR
R:
2.9
TV
PI:
1.0
Ca
sh
Flo
w A
na
lys
is
Ne
t A
sse
t V
alu
eD
istr
ibu
tio
nC
on
trib
utio
ns
$0
.0
$1
0,4
00
,00
0.0
$2
0,8
00
,00
0.0
$3
1,2
00
,00
0.0
$4
1,6
00
,00
0.0
$5
2,0
00
,00
0.0
($1
0,4
00
,00
0.0
)
10
/14
1/1
54
/15
7/1
51
0/1
51
/16
4/1
67
/16
10
/16
1/1
7
Pri
va
te E
qu
ity
Fu
nd
Ov
erv
iew
Gre
en
Oa
k R
ea
l E
sta
te
As
of
De
ce
mb
er
31
, 2
01
6
61
Pri
va
te E
qu
ity
Fin
an
cia
l R
ec
on
cil
iati
on
Da
teM
ark
et
Va
lue
Inv
es
tme
nt
Fe
es
Ex
pe
ns
es
Ca
tch
-Up
Inte
res
tT
ota
lG
ain
Ca
sh
Inte
res
tC
atc
h-U
pIn
tere
st
Re
ce
ive
d
Re
ca
lla
ble
Ca
pit
al
Re
turn
of
Ca
pit
al
Ca
sh
To
tal
10
/30
/20
14
-8
,25
5,5
05
--
67
,85
38
,32
3,3
58
--
--
--
10
/31
/20
14
8,2
55
,50
5-
--
--
--
--
--
11
/25
/20
14
--
--
--
--
6,2
61
85
9,4
82
-8
65
,74
3
11
/30
/20
14
7,3
96
,02
3-
--
--
--
--
--
12
/29
/20
14
-3
,89
7,8
38
--
-3
,89
7,8
38
--
--
--
12
/31
/20
14
11
,53
2,9
64
--
--
--
--
--
-
01
/31
/20
15
11
,53
2,9
64
--
--
--
--
--
-
02
/28
/20
15
11
,53
2,9
64
--
--
--
--
--
-
03
/31
/20
15
11
,40
4,9
81
--
--
--
--
--
-
04
/30
/20
15
11
,40
4,9
81
--
--
--
--
--
-
05
/31
/20
15
11
,40
4,9
81
--
--
--
--
--
-
06
/15
/20
15
-4
,21
5,7
59
53
3,2
84
27
3,6
00
-5
,02
2,6
43
--
--
--
06
/30
/20
15
18
,35
4,6
91
--
--
--
--
--
-
07
/31
/20
15
18
,35
4,6
91
--
--
--
--
--
-
08
/31
/20
15
18
,35
4,6
91
--
--
--
--
--
-
09
/30
/20
15
16
,70
8,5
56
--
--
--
--
--
-
10
/31
/20
15
16
,70
8,5
56
--
--
--
--
--
-
11
/20
/20
15
-5
,87
8,3
56
--
-5
,87
8,3
56
90
8,7
42
-2
,42
1-
1,1
39
,81
02
,05
0,9
73
11
/30
/20
15
20
,53
8,3
60
--
--
--
--
--
-
12
/31
/20
15
21
,27
5,1
60
--
--
--
--
--
-
01
/27
/20
16
-6
,74
3,7
30
--
-6
,74
3,7
30
--
--
--
01
/31
/20
16
28
,01
8,8
90
--
--
--
--
--
-
02
/29
/20
16
28
,01
8,8
90
--
--
--
--
--
-
03
/31
/20
16
27
,85
9,8
87
--
--
--
--
--
-
04
/30
/20
16
27
,85
9,8
87
--
--
--
--
--
-
05
/31
/20
16
27
,85
9,8
87
--
--
--
--
--
-
06
/20
/20
16
-4
,50
8,7
81
--
-4
,50
8,7
81
--
--
--
06
/30
/20
16
32
,16
2,6
07
--
--
--
--
--
-
07
/31
/20
16
32
,16
2,6
07
--
--
--
--
--
-
08
/31
/20
16
32
,16
2,6
07
--
--
--
--
--
-
09
/30
/20
16
32
,78
3,6
00
--
--
--
--
--
-
10
/19
/20
16
-2
,12
7,8
08
--
-2
,12
7,8
08
--
-1
15
,61
2-
11
5,6
12
10
/31
/20
16
34
,79
5,7
96
--
--
--
--
--
-
11
/30
/20
16
34
,79
5,7
96
--
--
--
--
--
-
12
/30
/20
16
-1
,68
6,7
17
--
-1
,68
6,7
17
15
6,8
49
--
95
,17
51
,43
4,6
93
1,6
86
,71
7
12
/31
/20
16
34
,79
5,7
96
--
--
--
--
--
-
To
tal
37
,31
4,4
94
53
3,2
84
27
3,6
00
67
,85
33
8,1
89
,23
11
,06
5,5
91
-8
,68
21
,07
0,2
69
2,5
74
,50
34
,71
9,0
45
Pri
va
te E
qu
ity
Fin
an
cia
l R
ec
on
cilia
tio
n
Gre
en
Oa
k R
ea
l E
sta
te
Sin
ce
In
ce
pti
on
En
din
g D
ec
em
be
r 3
1, 2
01
6
62
Fu
nd
In
form
ati
on
Ty
pe
of
Fu
nd
:P
art
ne
rsh
ipV
inta
ge
Ye
ar:
20
14
Str
ate
gy
Ty
pe
:R
ea
l Est
ate
Ma
na
ge
me
nt
Fe
e:
25
bp
s
Ta
rge
t IR
R:
Inc
ep
tio
n:
04
/24
/20
14
Ge
ne
ral P
art
ne
r:L
&B
Re
alty
Acq
uis
itio
ns,
LL
C
Inv
es
tme
nt
Str
ate
gy
:T
he
fu
nd
will
inve
st in
a f
ocu
sed
po
rtfo
lio c
om
po
sed
of
up
to
th
ree
pro
pe
rty
typ
es:
Re
tire
me
nt
Ho
me
s/M
em
ory
Ca
re f
aci
litie
s, B
uild
to
Co
re O
ffic
e,
an
d S
pe
cia
l Op
po
rtu
niti
es.
Th
e p
rim
ary
ob
ject
ive
is p
rote
ctio
n o
f ca
pita
l an
d a
pp
reci
atio
n.
Ass
ets
will
be
co
nse
rva
tive
ly u
nd
erw
ritt
en
an
d u
tiliz
e r
ea
son
ab
le le
vera
ge
(u
p t
o 6
5%
). T
he
po
rtfo
lio w
ill in
vest
a g
eo
gra
ph
ica
lly d
ive
rsifi
ed
po
rtfo
lio o
f n
on
-co
re d
eve
lop
me
nt
pro
pe
rtie
s. T
he
Re
tire
me
nt
Ho
me
s/M
em
ory
Ca
re w
ill f
ocu
s o
n d
em
og
rap
hic
ally
ad
van
tag
ed
are
as
an
d c
on
stru
ct n
ew
fa
cilit
ies.
Bu
ild t
o C
ore
will
co
nst
ruct
hig
h q
ua
lity
off
ice
bu
ildin
gs
in a
ttra
ctiv
e in
fill a
rea
s. S
pe
cia
l op
po
rtu
niti
es
will
ta
rge
t u
niq
ue
pro
pe
rtie
s w
ith a
fo
cus
on
lon
g-t
erm
inco
me
pro
du
ctio
n.
Ca
sh
Flo
w S
um
ma
ry
Ca
pit
al C
om
mit
ted
:$
60
,00
0,0
00
Ca
pit
al In
ve
ste
d:
$4
7,6
58
,57
9
Ma
na
ge
me
nt
Fe
es
:-
Ex
pe
ns
es
:$
28
,30
2
Inte
res
t:-
To
tal C
on
trib
uti
on
s:
$4
7,6
58
,57
9
Re
ma
inin
g C
ap
ita
l C
om
mit
me
nt:
$1
2,3
41
,42
1
To
tal D
istr
ibu
tio
ns
:-
Ma
rke
t V
alu
e:
$4
7,6
06
,63
9
Inc
ep
tio
n D
ate
:0
7/3
1/2
01
4
Inc
ep
tio
n IR
R:
-0.1
TV
PI:
1.0
Ca
sh
Flo
w A
na
lys
is
Ne
t A
sse
t V
alu
eD
istr
ibu
tio
nC
on
trib
utio
ns
$0
.0
$1
3,0
00
,00
0.0
$2
6,0
00
,00
0.0
$3
9,0
00
,00
0.0
$5
2,0
00
,00
0.0
$6
5,0
00
,00
0.0
($1
3,0
00
,00
0.0
)
7/1
41
0/1
41
/15
4/1
57
/15
10
/15
1/1
64
/16
7/1
61
0/1
61
/17
Pri
va
te E
qu
ity
Fu
nd
Ov
erv
iew
L&
B G
old
en
Dri
lle
r
As
of
De
ce
mb
er
31
, 2
01
6
63
Pri
va
te E
qu
ity
Fin
an
cia
l R
ec
on
cil
iati
on
Da
teM
ark
et
Va
lue
Inv
es
tme
nt
Fe
es
Ex
pe
ns
es
Ca
tch
-Up
Inte
res
tT
ota
lG
ain
Ca
sh
Inte
res
tC
atc
h-U
pIn
tere
st
Re
ce
ive
d
Re
ca
lla
ble
Ca
pit
al
Re
turn
of
Ca
pit
al
Ca
sh
To
tal
07
/31
/20
14
60
0,0
00
60
0,0
00
--
-6
00
,00
0-
--
--
-
08
/31
/20
14
60
0,0
00
--
--
--
--
--
-
09
/25
/20
14
-3
40
,00
0-
--
34
0,0
00
--
--
--
09
/30
/20
14
94
0,0
00
--
--
--
--
--
-
10
/31
/20
14
94
0,0
00
--
--
--
--
--
-
11
/14
/20
14
-2
00
,00
0-
--
20
0,0
00
--
--
--
11
/30
/20
14
1,1
40
,00
0-
--
--
--
--
--
12
/19
/20
14
-2
25
,00
0-
--
22
5,0
00
--
--
--
12
/31
/20
14
1,3
41
,97
4-
--
--
--
--
--
01
/31
/20
15
1,3
41
,97
4-
--
--
--
--
--
02
/28
/20
15
1,3
41
,97
4-
--
--
--
--
--
03
/06
/20
15
-5
,40
0,0
00
--
-5
,40
0,0
00
--
--
--
03
/31
/20
15
6,7
26
,61
5-
-1
5,3
58
-1
5,3
58
--
--
--
04
/17
/20
15
-9
00
,00
0-
--
90
0,0
00
--
--
--
04
/30
/20
15
7,6
26
,61
5-
--
--
--
--
--
05
/26
/20
15
-5
,62
5,0
00
--
-5
,62
5,0
00
--
--
--
05
/31
/20
15
13
,25
1,6
15
--
--
--
--
--
-
06
/30
/20
15
13
,24
2,8
60
--
8,7
55
-8
,75
5-
--
--
-
07
/31
/20
15
13
,24
2,8
60
--
--
--
--
--
-
08
/31
/20
15
13
,24
2,8
60
--
--
--
--
--
-
09
/03
/20
15
-1
0,8
00
,00
0-
--
10
,80
0,0
00
--
--
--
09
/04
/20
15
-2
,70
0,0
00
--
-2
,70
0,0
00
--
--
--
09
/30
/20
15
26
,74
2,5
49
--
31
1-
31
1-
--
--
-
10
/31
/20
15
26
,74
2,5
49
--
--
--
--
--
-
11
/30
/20
15
26
,74
2,5
49
--
--
--
--
--
-
12
/31
/20
15
26
,74
2,3
31
--
--
--
--
--
-
01
/31
/20
16
26
,74
2,3
31
--
--
--
--
--
-
02
/29
/20
16
26
,74
2,3
31
--
--
--
--
--
-
03
/25
/20
16
-5
,85
0,0
00
-2
89
-5
,85
0,2
89
--
--
--
03
/31
/20
16
32
,59
2,2
60
--
--
--
--
--
-
04
/30
/20
16
32
,59
2,2
60
--
--
--
--
--
-
05
/16
/20
16
-2
,65
6,3
25
--
-2
,65
6,3
25
--
--
--
05
/31
/20
16
35
,24
8,5
85
--
--
--
--
--
-
06
/30
/20
16
35
,24
4,9
96
--
3,5
89
-3
,58
9-
--
--
-
07
/07
/20
16
-6
00
,57
8-
--
60
0,5
78
--
--
--
07
/29
/20
16
-1
,32
8,3
46
--
-1
,32
8,3
46
--
--
--
07
/31
/20
16
37
,17
3,9
20
--
--
--
--
--
-
08
/26
/20
16
-4
,50
0,0
00
--
-4
,50
0,0
00
--
--
--
08
/31
/20
16
41
,67
3,9
20
--
--
--
--
--
-
09
/16
/20
16
-3
3,3
32
--
-3
3,3
32
--
--
--
Pri
va
te E
qu
ity
Fin
an
cia
l R
ec
on
cilia
tio
n
L&
B G
old
en
Dri
lle
r
Sin
ce
In
ce
pti
on
En
din
g D
ec
em
be
r 3
1, 2
01
6
64
64
Pri
va
te E
qu
ity
Fin
an
cia
l R
ec
on
cilia
tio
n
L&
B G
old
en
Dri
lle
r
Sin
ce
In
ce
pti
on
En
din
g D
ec
em
be
r 3
1, 2
01
6
Da
teM
ark
et
Va
lue
Inv
es
tme
nt
Fe
es
Ex
pe
ns
es
Ca
tch
-Up
Inte
res
tT
ota
lG
ain
Ca
sh
Inte
res
tC
atc
h-U
pIn
tere
st
Re
ce
ive
d
Re
ca
lla
ble
Ca
pit
al
Re
turn
of
Ca
pit
al
Ca
sh
To
tal
09
/30
/20
16
41
,70
7,0
34
--
--
--
--
--
-
10
/17
/20
16
-1
6,6
66
--
-1
6,6
66
--
--
--
10
/31
/20
16
41
,72
3,7
00
--
--
--
--
--
-
11
/15
/20
16
-1
6,6
66
--
-1
6,6
66
--
--
--
11
/23
/20
16
-4
,50
0,0
00
--
-4
,50
0,0
00
--
--
--
11
/30
/20
16
46
,24
0,3
66
--
--
--
--
--
-
12
/21
/20
16
-9
16
,66
6-
--
91
6,6
66
--
--
--
12
/22
/20
16
-4
50
,00
0-
--
45
0,0
00
--
--
--
12
/31
/20
16
47
,60
6,6
39
--
--
--
--
--
-
To
tal
47
,65
8,5
79
-2
8,3
02
-4
7,6
86
,88
1-
--
--
-
65
Fu
nd
In
form
ati
on
Ty
pe
of
Fu
nd
:P
art
ne
rsh
ipV
inta
ge
Ye
ar:
20
14
Str
ate
gy
Ty
pe
:S
eco
nd
ari
es
Ma
na
ge
me
nt
Fe
e:
1.0
0%
+ P
BF
Ta
rge
t IR
R:
8%
Inc
ep
tio
n:
09
/01
/20
14
Ge
ne
ral P
art
ne
r:L
an
dm
ark
Re
al E
sta
te P
art
ne
rs (
LR
EP
) V
II,
LP
Inv
es
tme
nt
Str
ate
gy
:L
an
dm
ark
's in
vest
me
nt
ap
pro
ach
fo
cuse
s o
n:
- C
ap
italiz
ing
on
th
e in
eff
icie
ncy
an
d il
liqu
idity
of
the
se
con
da
ry r
ea
l est
ate
ma
rke
t b
y a
cqu
irin
g li
mite
d p
art
ne
rsh
ip in
tere
sts
in in
stitu
tion
al p
rop
ert
ies
at
a d
isco
un
t to
ma
rke
t va
lue
;-
So
urc
ing
exc
lusi
ve t
ran
sact
ion
op
po
rtu
niti
es
by
inte
ract
ing
dir
ect
ly w
ith li
mite
d p
art
ne
rs a
nd
ad
viso
rs,
un
de
rsta
nd
ing
ob
ject
ive
s, a
nd
pro
vid
ing
cu
sto
miz
ed
tra
nsa
ctio
n s
olu
tion
s;-
An
aly
zin
g a
nd
eva
lua
ting
tra
nsa
ctio
n o
pp
ort
un
itie
s th
rou
gh
th
e c
on
stru
ctio
n o
f p
rop
ert
y le
vel i
nve
stm
en
t ca
sh f
low
s d
eri
ved
fro
m r
ese
arc
h,
fun
d d
ata
, a
nd
inp
ut
fro
m L
an
dm
ark
's n
etw
ork
of
thir
d p
art
y re
sou
rce
s; a
nd
- A
ctiv
e m
on
itori
ng
of
po
rtfo
lio in
vest
me
nts
to
tra
ck p
erf
orm
an
ce,
acc
um
ula
te in
vest
me
nt
da
ta,
an
d m
axi
miz
e v
alu
e f
or
inve
sto
rs.
Po
rtfo
lio c
on
stru
ctio
n g
oa
ls:
- A
sse
mb
le a
div
ers
e,
glo
ba
l po
rtfo
lio o
f a
sse
ts t
ha
t sp
an
th
e r
ea
l est
ate
ris
k sp
ect
rum
;-
Fo
cus
on
fu
nd
s th
at
are
su
bst
an
tially
co
mm
itte
d a
nd
se
aso
ne
d;
- C
rea
te a
hig
hly
div
ers
ifie
d p
ort
folio
acr
oss
all
me
tric
s;-
Ta
rge
t a
ttra
ctiv
e r
etu
rns
tha
t d
eliv
er
a 's
eco
nd
ary
re
turn
pre
miu
m;'
an
d-
Pre
miu
m q
ua
ntif
iab
le t
hro
ug
h f
un
da
me
nta
ls t
hro
ug
h f
un
da
me
nta
ls s
uch
as
cap
ra
te,
un
leve
red
IR
R,
an
d in
vest
me
nt
ba
sis.
Ca
sh
Flo
w S
um
ma
ry
Ca
pit
al C
om
mit
ted
:$
35
,00
0,0
00
Ca
pit
al In
ve
ste
d:
$2
1,5
16
,35
7
Ma
na
ge
me
nt
Fe
es
:-
Ex
pe
ns
es
:-
Inte
res
t:-
To
tal C
on
trib
uti
on
s:
$2
1,5
16
,35
7
Re
ma
inin
g C
ap
ita
l C
om
mit
me
nt:
$1
4,5
51
,58
1
To
tal D
istr
ibu
tio
ns
:$
6,4
34
,38
9
Ma
rke
t V
alu
e:
$1
9,4
00
,61
6
Inc
ep
tio
n D
ate
:1
2/2
2/2
01
4
Inc
ep
tio
n IR
R:
26
.6
TV
PI:
1.2
Ca
sh
Flo
w A
na
lys
is
Ne
t A
sse
t V
alu
eD
istr
ibu
tio
nC
on
trib
utio
ns
$0
.0
$5
,72
0,0
00
.0
$1
1,4
40
,00
0.0
$1
7,1
60
,00
0.0
$2
2,8
80
,00
0.0
$2
8,6
00
,00
0.0
($5
,72
0,0
00
.0)
12
/14
3/1
56
/15
9/1
51
2/1
53
/16
6/1
69
/16
12
/16
Pri
va
te E
qu
ity
Fu
nd
Ov
erv
iew
La
nd
ma
rk R
ea
lty
As
of
De
ce
mb
er
31
, 2
01
6
66
Pri
va
te E
qu
ity
Fin
an
cia
l R
ec
on
cil
iati
on
Da
teM
ark
et
Va
lue
Inv
es
tme
nt
Fe
es
Ex
pe
ns
es
Ca
tch
-Up
Inte
res
tT
ota
lG
ain
Ca
sh
Inte
res
tC
atc
h-U
pIn
tere
st
Re
ce
ive
d
Re
ca
lla
ble
Ca
pit
al
Re
turn
of
Ca
pit
al
Ca
sh
To
tal
12
/22
/20
14
-3
,32
3,5
61
--
-3
,32
3,5
61
--
--
--
12
/31
/20
14
4,0
05
,44
9-
--
--
--
--
--
01
/31
/20
15
4,0
55
,44
9-
--
--
--
--
--
02
/24
/20
15
--
--
--
--
-1
,06
7,9
38
-1
,06
7,9
38
02
/28
/20
15
2,9
87
,51
1-
--
--
--
--
--
03
/31
/20
15
2,8
75
,73
7-
--
--
--
--
--
04
/30
/20
15
2,8
75
,73
7-
--
--
--
--
--
05
/31
/20
15
2,8
75
,73
7-
--
--
--
--
--
06
/30
/20
15
2,7
04
,49
2-
--
--
--
--
--
07
/31
/20
15
2,7
04
,49
2-
--
--
--
--
--
08
/06
/20
15
--
--
--
--
--
34
6,5
00
34
6,5
00
08
/31
/20
15
2,3
57
,99
2-
--
--
--
--
--
09
/30
/20
15
3,4
34
,76
4-
--
--
--
--
--
10
/13
/20
15
-1
,30
5,1
50
--
-1
,30
5,1
50
--
--
--
10
/31
/20
15
4,7
39
,91
4-
--
--
--
--
--
11
/13
/20
15
--
--
--
--
--
34
6,5
00
34
6,5
00
11
/23
/20
15
-5
77
,50
0-
--
57
7,5
00
--
--
--
11
/30
/20
15
4,9
70
,91
4-
--
--
--
--
--
12
/17
/20
15
-8
,18
4,3
30
--
-8
,18
4,3
30
--
--
--
12
/31
/20
15
14
,76
4,8
39
--
--
--
--
--
-
01
/31
/20
16
14
,76
4,8
39
--
--
--
--
--
-
02
/04
/20
16
--
--
--
--
--
27
7,2
00
27
7,2
00
02
/29
/20
16
14
,48
7,6
39
--
--
--
--
--
-
03
/24
/20
16
--
--
--
--
--
27
7,2
00
27
7,2
00
03
/31
/20
16
15
,01
8,3
13
--
--
--
--
--
-
04
/29
/20
16
--
--
--
--
--
23
1,0
00
23
1,0
00
04
/30
/20
16
14
,78
7,3
13
--
--
--
--
--
-
05
/31
/20
16
14
,78
7,3
13
--
--
--
--
--
-
06
/03
/20
16
--
--
--
--
--
23
1,0
00
23
1,0
00
06
/24
/20
16
-2
,31
0,0
00
--
-2
,31
0,0
00
--
--
--
06
/30
/20
16
16
,99
5,2
74
--
--
--
--
--
-
07
/15
/20
16
--
--
--
--
--
57
7,5
00
57
7,5
00
07
/31
/20
16
16
,41
7,7
74
--
--
--
--
--
-
08
/31
/20
16
16
,41
7,7
74
--
--
--
--
--
-
09
/08
/20
16
--
--
--
--
--
62
3,7
00
62
3,7
00
09
/27
/20
16
-4
,62
0,0
00
--
-4
,62
0,0
00
--
--
--
09
/30
/20
16
19
,93
7,3
00
--
--
--
--
-7
23
,35
17
23
,35
1
10
/31
/20
161
9,6
50
,72
1-
--
--
--
--
28
6,5
79
28
6,5
79
11
/30
/20
161
9,6
50
,72
1-
--
--
--
--
--
12
/01
/20
16
--
--
--
--
--
24
7,5
00
24
7,5
00
Pri
va
te E
qu
ity
Fin
an
cia
l R
ec
on
cilia
tio
n
La
nd
ma
rk R
ea
lty
Sin
ce
In
ce
pti
on
En
din
g D
ec
em
be
r 3
1, 2
01
6
67
67
Pri
va
te E
qu
ity
Fin
an
cia
l R
ec
on
cilia
tio
n
La
nd
ma
rk R
ea
lty
Sin
ce
In
ce
pti
on
En
din
g D
ec
em
be
r 3
1, 2
01
6
Da
teM
ark
et
Va
lue
Inv
es
tme
nt
Fe
es
Ex
pe
ns
es
Ca
tch
-Up
Inte
res
tT
ota
lG
ain
Ca
sh
Inte
res
tC
atc
h-U
pIn
tere
st
Re
ce
ive
d
Re
ca
lla
ble
Ca
pit
al
Re
turn
of
Ca
pit
al
Ca
sh
To
tal
12
/21
/20
16
-1
,19
5,8
16
--
-1
,19
5,8
16
--
--
--
12
/22
/20
16
--
--
--
--
--
1,1
98
,42
11
,19
8,4
21
12
/31
/20
16
19
,40
0,6
16
--
--
--
--
--
-
To
tal
21
,51
6,3
57
--
-2
1,5
16
,35
7-
--
1,0
67
,93
85
,36
6,4
51
6,4
34
,38
9
68
Fu
nd
In
form
ati
on
Ty
pe
of
Fu
nd
:P
art
ne
rsh
ipV
inta
ge
Ye
ar:
20
15
Str
ate
gy
Ty
pe
:O
pp
ort
un
istic
Re
al E
sta
teM
an
ag
em
en
t F
ee
:1
.25
% o
f co
mm
itte
d c
ap
ital d
uri
ng
co
mm
itme
nt
pe
rio
d,
an
d 1
.25
% o
f in
vest
ed
cap
ital t
he
rea
fte
r.
Ta
rge
t IR
R:
15
.00
%In
ce
pti
on
:0
6/1
7/2
01
4
Ge
ne
ral P
art
ne
r:S
tarw
oo
d X
Mg
mt.
, L
.P.
Inv
es
tme
nt
Str
ate
gy
:T
he
ea
rly-
cycl
e d
istr
ess
ed
re
al e
sta
te m
ark
et
in E
uro
pe
, co
mb
ine
d w
ith t
he
re
cove
rin
g U
.S.
ma
rke
t, o
ffe
r co
mp
elli
ng
op
po
rtu
niti
es
to a
cqu
ire
ass
ets
at
att
ract
ive
pri
cin
g w
ith s
ign
ifica
nt
valu
e-a
dd
po
ten
tial f
rom
ba
nks
, in
sura
nce
co
mp
an
ies,
len
din
g in
stitu
tion
s, b
an
kru
ptc
y co
urt
s a
nd
oth
er
dis
tre
sse
d s
elle
rs.
SO
F X
’s s
tra
teg
y is
de
sig
ne
d t
o a
llow
th
e F
un
d t
o g
en
era
te a
targ
et
gro
ss I
RR
of
18
-20
% (
14
-16
% n
et)
, a
nd
a 2
.0x
mu
ltip
le w
ith m
od
est
leve
rag
e,
by
acq
uir
ing
re
al e
sta
te w
ith s
tro
ng
po
ten
tial f
un
da
me
nta
ls a
t a
sig
nifi
can
t d
isco
un
t to
re
pla
cem
en
t co
st,
with
str
on
g r
esi
du
al v
alu
e g
row
th a
nd
po
ten
tial d
ou
ble
-dig
it cu
rre
nt
op
era
ting
yie
lds.
Sta
rwo
od
Ca
pita
l ha
s a
n a
ctiv
e p
ipe
line
of
op
po
rtu
niti
es
acr
oss
th
e s
pe
ctru
m o
f a
sse
t cl
ass
es
an
dca
pita
l sta
ck.
On
an
ab
solu
te b
asi
s, w
e b
elie
ve o
pp
ort
un
istic
re
al e
sta
te is
a c
om
pe
llin
g in
vest
me
nt.
Th
ere
are
stil
l op
po
rtu
niti
es
in b
oth
th
e U
.S.
an
d E
uro
pe
to
bu
y a
sse
ts a
t la
rge
dis
cou
nts
to
rep
lace
me
nt
cost
an
d g
en
era
te s
tro
ng
cu
rre
nt
cash
re
turn
s o
f 1
0+
%.
We
exp
ect
ad
diti
on
al u
psi
de
th
rou
gh
ap
pre
cia
tion
fro
m (
1)
the
imp
lem
en
tatio
n o
f S
tarw
oo
d C
ap
ital’s
va
lue
ad
dst
rate
gie
s to
imp
rove
th
e c
ash
flo
ws
of
un
de
rlyi
ng
pro
pe
rtie
s, (
2)
the
an
ticip
atio
n o
f n
ew
ca
pita
l flo
ws
into
a m
ark
et
pu
shin
g d
ow
n c
ap
ra
tes,
(3
) e
con
om
ic g
row
th w
ithin
th
e t
arg
ete
d m
ark
ets
dri
vin
g r
en
tal r
eve
nu
e g
row
th,
an
d/o
r (4
) th
e c
are
ful c
ulti
vatio
n a
nd
se
lect
ion
of
the
ap
pro
pri
ate
exi
t st
rate
gy
to m
axi
miz
e p
ort
folio
or
pla
tfo
rm v
alu
es.
Sim
ilar
to S
OF
VII
I a
nd
SO
F I
X,
Sta
rwo
od
Ca
pita
l be
lieve
s th
at
SO
F X
ca
n g
en
era
te s
tro
ng
ris
k-a
dju
ste
d r
etu
rns
by
leve
rag
ing
th
e f
ollo
win
g m
acr
o-
an
d m
icro
-eco
no
mic
fa
cto
rs:
•G
en
era
ting
yie
ld in
a y
ield
-le
ss w
orl
d•
Fo
cusi
ng
on
str
on
g e
con
om
ic g
row
th a
rea
s a
nd
pro
fitin
g f
rom
imp
rovi
ng
fu
nd
am
en
tals
fo
r re
al e
sta
te in
vest
me
nts
•In
vest
ing
in d
istr
ess
ed
op
po
rtu
niti
es
in t
he
U.S
. a
nd
Eu
rop
e a
s th
ey
con
tinu
e t
o e
me
rge
•C
ap
italiz
ing
on
op
po
rtu
niti
es
to p
urc
ha
se a
sse
ts a
t d
isco
un
ts t
o r
ep
lace
me
nt
cost
Ca
sh
Flo
w S
um
ma
ry
Ca
pit
al C
om
mit
ted
:$
53
,75
0,0
00
Ca
pit
al In
ve
ste
d:
$3
4,9
39
,56
0
Ma
na
ge
me
nt
Fe
es
:$
52
1,3
73
Ex
pe
ns
es
:-
Inte
res
t:-
To
tal C
on
trib
uti
on
s:
$3
4,9
39
,56
0
Re
ma
inin
g C
ap
ita
l C
om
mit
me
nt:
$2
1,6
22
,74
4
To
tal D
istr
ibu
tio
ns
:$
7,3
16
,70
7
Ma
rke
t V
alu
e:
$3
4,4
73
,12
5
Inc
ep
tio
n D
ate
:1
0/2
9/2
01
5
Inc
ep
tio
n IR
R:
24
.1
TV
PI:
1.2
Ca
sh
Flo
w A
na
lys
is
Ne
t A
sse
t V
alu
eD
istr
ibu
tio
nC
on
trib
utio
ns
$0
.0
$9
,10
0,0
00
.0
$1
8,2
00
,00
0.0
$2
7,3
00
,00
0.0
$3
6,4
00
,00
0.0
$4
5,5
00
,00
0.0
($9
,10
0,0
00
.0)
10
/15
1/1
64
/16
7/1
61
0/1
61
/17
Pri
va
te E
qu
ity
Fu
nd
Ov
erv
iew
Sta
rwo
od
As
of
De
ce
mb
er
31
, 2
01
6
69
Pri
va
te E
qu
ity
Fin
an
cia
l R
ec
on
cil
iati
on
Da
teM
ark
et
Va
lue
Inv
es
tme
nt
Fe
es
Ex
pe
ns
es
Ca
tch
-Up
Inte
res
tT
ota
lG
ain
Ca
sh
Inte
res
tC
atc
h-U
pIn
tere
st
Re
ce
ive
d
Re
ca
lla
ble
Ca
pit
al
Re
turn
of
Ca
pit
al
Ca
sh
To
tal
11
/30
/20
15
6,4
52
,06
0-
--
--
--
--
--
12
/01
/20
15
--
--
--
--
--
--
12
/22
/20
15
--
--
--
--
-1
16
,34
4-
11
6,3
44
12
/31
/20
15
7,9
98
,05
5-
18
,38
4-
-1
8,3
84
--
--
--
01
/22
/20
16
-2
3,1
12
,50
0-
--
23
,11
2,5
00
--
--
--
01
/31
/20
16
31
,11
0,5
55
--
--
--
--
--
-
02
/29
/20
16
31
,11
0,5
55
--
--
--
--
--
-
03
/31
/20
16
32
,21
5,1
73
-1
67
,05
1-
-1
67
,05
1-
--
--
-
04
/18
/20
16
--
--
--
--
--
50
7,1
90
50
7,1
90
04
/30
/20
16
31
,70
7,9
83
--
--
--
--
--
-
05
/31
/20
16
31
,70
7,9
83
--
--
--
--
--
-
06
/23
/20
16
--
--
--
--
--
95
3,6
01
95
3,6
01
06
/30
/20
16
31
,56
3,8
65
-1
67
,05
1-
-1
67
,05
1-
--
--
-
07
/31
/20
16
31
,56
3,8
65
--
--
--
--
--
-
08
/31
/20
16
31
,56
3,8
65
--
--
--
--
--
-
09
/30
/20
16
33
,12
7,6
97
-1
68
,88
7-
-1
68
,88
7-
--
--
-
10
/03
/20
16
-5
,37
5,0
00
--
-5
,37
5,0
00
--
--
--
10
/06
/20
16
--
--
--
--
-2
,69
5,9
60
3,0
43
,61
25
,73
9,5
72
10
/31
/20
16
32
,76
3,1
25
--
--
--
--
--
-
11
/30
/20
16
32
,76
3,1
25
--
--
--
--
--
-
12
/31
/20
16
34
,47
3,1
25
--
--
--
--
--
-
To
tal
28
,48
7,5
00
52
1,3
73
--
29
,00
8,8
73
--
-2
,81
2,3
04
4,5
04
,40
37
,31
6,7
07
Pri
va
te E
qu
ity
Fin
an
cia
l R
ec
on
cilia
tio
n
Sta
rwo
od
Sin
ce
In
ce
pti
on
En
din
g D
ec
em
be
r 3
1, 2
01
6
70
PR
IVA
TE
EQ
UIT
Y F
UN
DS
71
Fu
nd
In
form
ati
on
Ty
pe
of
Fu
nd
:F
un
d O
f F
un
ds
Vin
tag
e Y
ea
r:2
01
0
Str
ate
gy
Ty
pe
:O
the
rM
an
ag
em
en
t F
ee
:(i
) 0
.80
% u
p t
o a
nd
incl
ud
ing
$1
00
M
(ii)
0.7
0%
$1
00
M -
$2
00
M,
(iii)
0.6
0%
allo
catio
n g
rea
ter
tha
n $
20
0M
Ta
rge
t IR
R:
11
.00
%In
ce
pti
on
:0
1/1
0/2
01
0
Ge
ne
ral P
art
ne
r:F
P O
TR
S I
, L
LC
Inv
es
tme
nt
Str
ate
gy
:T
he
Fu
nd
inve
sts
in b
uyo
ut
an
d v
en
ture
ca
pita
l lim
ited
pa
rtn
ers
hip
s o
n b
eh
alf
of
Okl
ah
om
a T
ea
che
rs' R
etir
em
en
t S
yste
m.
Ca
sh
Flo
w S
um
ma
ry
Ca
pit
al C
om
mit
ted
:$
1,3
60
,00
0,0
00
Ca
pit
al In
ve
ste
d:
$7
23
,07
1,5
29
Ma
na
ge
me
nt
Fe
es
:$
19
,05
8,7
45
Ex
pe
ns
es
:$
86
9,6
96
Inte
res
t:-
To
tal C
on
trib
uti
on
s:
$7
42
,99
9,9
70
Re
ma
inin
g C
ap
ita
l C
om
mit
me
nt:
$6
36
,92
8,4
71
To
tal D
istr
ibu
tio
ns
:$
20
1,5
15
,63
4
Ma
rke
t V
alu
e:
$7
42
,77
3,9
08
Inc
ep
tio
n D
ate
:0
4/0
8/2
01
0
Inc
ep
tio
n IR
R:
12
.0
TV
PI:
1.3
Ca
sh
Flo
w A
na
lys
is
Ne
t A
sse
t V
alu
eD
istr
ibu
tio
nC
on
trib
utio
ns
$0
.0
$2
08
,00
0,0
00
.0
$4
16
,00
0,0
00
.0
$6
24
,00
0,0
00
.0
$8
32
,00
0,0
00
.0
$1
,04
0,0
00
,00
0.0
($2
08
,00
0,0
00
.0)
4/1
01
0/1
04
/11
10
/11
4/1
21
0/1
24
/13
10
/13
4/1
41
0/1
44
/15
10
/15
4/1
61
/17
Pri
va
te E
qu
ity
Fu
nd
Ov
erv
iew
Fra
nk
lin
Pa
rk P
riv
ate
Eq
uit
y
As
of
De
ce
mb
er
31
, 2
01
6
72
Pri
va
te E
qu
ity
Fin
an
cia
l R
ec
on
cil
iati
on
Da
teM
ark
et
Va
lue
Inv
es
tme
nt
Fe
es
Ex
pe
ns
es
Ca
tch
-Up
Inte
res
tT
ota
lG
ain
Ca
sh
Inte
res
tC
atc
h-U
pIn
tere
st
Re
ce
ive
d
Re
ca
lla
ble
Ca
pit
al
Re
turn
of
Ca
pit
al
Ca
sh
To
tal
04
/08
/20
10
-2
5,0
00
--
-4
00
,00
0-
--
--
-
04
/30
/20
10
25
,00
0-
--
--
--
--
--
05
/31
/20
10
25
,00
0-
--
--
--
--
--
06
/30
/20
10
15
,56
2-
--
--
--
--
--
07
/01
/20
10
-6
2,5
00
--
-6
2,5
00
--
--
--
07
/27
/20
10
-1
23
,11
2-
--
50
0,0
00
--
--
--
07
/31
/20
10
20
1,1
74
--
--
--
--
--
-
08
/31
/20
10
20
1,1
74
--
--
--
--
--
-
09
/30
/20
10
18
9,8
91
--
--
--
--
--
-
10
/12
/20
10
-4
25
,00
0-
--
80
0,0
00
--
--
--
10
/31
/20
10
61
4,8
91
--
--
--
--
--
-
11
/30
/20
10
61
4,8
91
--
--
--
--
--
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12
/23
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10
-4
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0,5
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12
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01
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02
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00
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02
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11
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03
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11
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40
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03
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11
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04
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11
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04
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11
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05
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11
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05
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25
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62
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06
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06
/28
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11
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06
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11
10
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24
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07
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11
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07
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8,9
24
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08
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11
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50
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45
0,0
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08
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11
11
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24
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-
09
/26
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11
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09
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11
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-
10
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11
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00
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10
/31
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11
14
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5,6
49
--
--
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-
11
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11
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8,4
67
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11
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11
17
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17
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-
12
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11
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12
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11
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00
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12
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Pri
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12
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01
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00
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01
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01
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20
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23
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-
02
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12
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02
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26
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03
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12
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00
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00
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03
/27
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12
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15
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00
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03
/31
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12
31
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51
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--
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-
04
/05
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12
-2
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00
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00
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04
/24
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12
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00
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04
/30
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12
37
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51
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--
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-
05
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12
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00
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00
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05
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12
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00
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05
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12
43
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51
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-
06
/08
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12
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06
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12
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06
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44
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06
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07
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07
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07
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12
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07
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12
77
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8,3
47
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--
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-
08
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12
-1
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0,0
00
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--
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08
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12
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00
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60
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00
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08
/31
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12
79
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8,3
47
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-
09
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12
-1
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00
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09
/30
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12
80
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2,6
58
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--
--
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-
10
/02
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12
-4
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00
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00
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10
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12
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4,0
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10
/31
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12
98
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2,6
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11
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12
-5
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00
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11
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12
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11
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12
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12
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12
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76
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01
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13
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01
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13
13
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37
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02
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13
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02
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13
14
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37
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65
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03
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13
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41
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04
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06
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06
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07
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07
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13
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07
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13
18
5,4
44
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08
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18
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44
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09
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13
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00
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09
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13
20
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10
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13
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10
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10
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20
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34
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31
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11
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13
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11
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13
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12
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13
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12
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23
2,4
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01
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01
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01
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02
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02
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02
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03
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03
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26
5,6
34
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04
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04
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14
28
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19
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05
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14
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05
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14
29
1,2
19
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06
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14
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0,0
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06
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14
31
3,4
34
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8-
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07
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14
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2,7
26
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14
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4,0
99
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94
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07
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14
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2,0
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12
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07
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14
33
4,0
62
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08
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14
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08
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14
34
4,0
62
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09
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14
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75
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Pri
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10
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4,9
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10
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11
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12
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12
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12
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14
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6,1
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01
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15
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1,8
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01
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15
42
9,0
48
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02
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15
42
9,0
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03
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15
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00
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9,8
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6,1
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03
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15
45
8,5
84
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04
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15
45
8,5
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05
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15
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29
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00
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16
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6,4
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16
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6,4
92
05
/31
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15
47
0,7
17
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8-
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--
--
--
--
06
/03
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15
-2
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0,0
00
--
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0,0
00
--
--
12
,92
1,2
26
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06
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2,2
48
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72
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48
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40
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07
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--
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07
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15
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23
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3,7
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08
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08
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09
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10
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11
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56
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03
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03
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62
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04
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3,8
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04
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63
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05
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4,3
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1,7
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05
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06
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1,1
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01
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06
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69
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07
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7676
Pri
va
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07
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09
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09
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06
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11
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12
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2,7
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22
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12
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Ca
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9
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Pri
va
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ga
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Pri
va
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of
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31
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6
78
Pri
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10
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10
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10
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11
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04
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04
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05
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05
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7,4
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05
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-3
57
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06
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2,3
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06
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8,3
75
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53
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07
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07
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09
-1
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09
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07
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09
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07
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09
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07
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07
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18
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07
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08
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Pri
va
te E
qu
ity
Fin
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Le
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Pri
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Sin
ce
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6
79
79
Pri
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Fin
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Pri
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qu
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Sin
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In
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Da
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Inv
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Fe
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Ex
pe
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Ca
tch
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Inte
res
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res
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d
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Ca
pit
al
Re
turn
of
Ca
pit
al
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sh
To
tal
08
/14
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09
-1
65
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8-
--
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5,5
28
--
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--
08
/18
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09
--
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14
2,1
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14
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02
08
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09
7,7
83
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6-
--
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10
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51
0,8
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09
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09
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09
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9,4
67
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3-5
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11
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71
1,3
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10
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92
6,9
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10
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17
--
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10
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09
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--
20
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10
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04
10
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9,4
05
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--
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11
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09
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4,4
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--
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4,4
89
--
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--
11
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09
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38
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--
23
8,6
36
--
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11
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11
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9,5
60
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6,0
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12
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45
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5,8
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5,0
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25
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12
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12
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09
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48
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--
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57
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12
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09
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78
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8,1
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12
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09
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12
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09
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02
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2,7
91
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19
1,6
25
19
1,6
25
12
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09
-3
61
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--
36
1,2
24
--
--
--
12
/24
/20
09
--2
3,7
85
--
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3,7
85
--
--
--
12
/28
/20
09
--
--
--
--
--
19
1,4
39
19
1,4
39
12
/30
/20
09
--2
9,3
49
--
--2
9,3
49
-5,6
22
--
-5
,89
62
74
12
/31
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09
11
,20
2,6
55
10
8,0
80
--
-1
08
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--
--
-
01
/14
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10
-1
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4,7
71
--
-1
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4,7
71
--
--
--
01
/15
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10
--1
80
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0-
--
-18
0,0
00
--
--
--
01
/25
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10
-3
73
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5-
--
37
3,2
95
--
--
--
01
/26
/20
10
-4
7,7
27
--
-4
7,7
27
--
--
--
01
/31
/20
10
13
,02
8,4
48
--
--
--
--
--
-
02
/01
/20
10
--
--
--
--
--
25
,54
72
5,5
47
02
/02
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10
--1
1,8
36
--
--1
1,8
36
--
--
21
21
02
/04
/20
10
-1
,50
0,0
00
--
-1
,50
0,0
00
--
--
--
02
/05
/20
10
-5
1,1
36
--
-5
1,1
36
--
--
--
02
/12
/20
10
--
--
--
--
--
55
4,8
85
55
4,8
85
02
/22
/20
10
-1
,50
0,0
00
--
-1
,50
0,0
00
--
--
--
02
/25
/20
10
-3
8,1
82
--
-3
8,1
82
--
--
--
02
/26
/20
10
--
--
--
--
--
11
,26
31
1,2
63
02
/28
/20
10
15
,51
4,2
15
--
--
--
--
--
-
03
/29
/20
10
-1
,50
0,0
00
--
-1
,50
0,0
00
--
--
--
03
/30
/20
10
-8
3,9
86
--
-8
3,9
86
--
--
66
66
8080
Pri
va
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Fin
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cia
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Le
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Pri
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pit
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03
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17
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94
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2,2
66
12
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6
04
/13
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--
--
--
--
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24
0,3
29
24
0,3
29
04
/14
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10
--3
5,5
67
--
--3
5,5
67
-4,0
71
--
--
-4,0
71
04
/15
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10
--
--
--
--
--
43
0,4
30
43
0,4
30
04
/28
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10
--
--
--
--
--
16
,02
11
6,0
21
04
/30
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10
17
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3,2
82
--
--
--
--
-1
1,9
36
11
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6
05
/03
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10
-1
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00
--
-1
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0,0
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--
--
--
05
/04
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10
-1
,26
8,1
36
--
-1
,26
8,1
36
--
--
--
05
/05
/20
10
--2
5,5
68
--
--2
5,5
68
--
--
--
05
/12
/20
10
--
--
--
--
--
27
9,9
96
27
9,9
96
05
/27
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10
-2
65
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9-
--
26
5,5
79
-3,5
58
--
-1
77
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31
73
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5
05
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10
--4
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53
--
--4
5,1
53
--
--
15
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21
5,2
32
05
/29
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--
--
--
--
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55
25
52
05
/31
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10
19
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6,8
21
--
--
--
--
--
-
06
/03
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10
-6
9,0
89
--
-6
9,0
89
--
--
--
06
/14
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10
-1
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0,0
00
--
-1
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0,0
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--
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2,1
36
2,1
36
06
/29
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10
--
--
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-83
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--
41
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04
1,0
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06
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10
21
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5,5
38
14
3,4
78
--
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43
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1,3
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11
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9
07
/06
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10
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50
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0,0
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--
--
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07
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10
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--
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--
07
/31
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10
23
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5,5
38
--
--
--
--
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-
08
/06
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10
-1
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00
--
-1
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--
--
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08
/31
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10
24
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5,5
38
--
--
--
--
--
-
09
/22
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10
-2
,10
0,0
00
--
-2
,10
0,0
00
--
--
--
09
/28
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10
-2
,30
0,0
00
--
-2
,30
0,0
00
--
--
--
09
/30
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10
30
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7,2
20
--
--
--
--
--
-
10
/07
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10
-2
,50
0,0
00
--
-2
,50
0,0
00
--
--
--
10
/31
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10
33
,24
7,2
20
--
--
--
--
--
-
11
/30
/20
10
33
,24
7,2
20
--
--
--
--
--
-
12
/09
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10
-3
,70
0,0
00
--
-3
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0,0
00
--
--
--
12
/16
/20
10
-1
,96
7,4
20
--
-2
,00
0,0
00
--
--
--
12
/31
/20
10
41
,07
9,2
91
--
--
--
--
--
-
01
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11
-1
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1,0
37
--
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0,0
00
--
--
--
01
/31
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11
42
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0,3
28
--
--
--
--
--
-
02
/04
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11
-2
,00
0,0
00
--
-2
,00
0,0
00
--
--
--
02
/25
/20
11
-1
,36
1,3
61
--
-1
,50
0,0
00
--
--
--
02
/28
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11
45
,82
1,6
89
--
--
--
--
--
-
03
/31
/20
11
48
,30
3,1
67
--
--
--
--
--
-
04
/30
/20
11
48
,30
3,1
67
--
--
--
--
--
-
05
/31
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11
48
,30
3,1
67
--
--
--
--
--
-
06
/30
/20
11
48
,29
2,2
82
--
--
--
--
--
-
81
81
Pri
va
te E
qu
ity
Fin
an
cia
l R
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Le
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Pri
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Sin
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07
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11
48
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2,2
82
--
--
--
--
--
-
08
/31
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11
48
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2,2
82
--
--
--
--
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-
09
/13
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11
-5
00
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--
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09
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11
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98
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09
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11
49
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7,3
42
--
--
--
--
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-
10
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11
-1
,00
0,0
00
--
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0,0
00
--
--
--
10
/24
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11
-1
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0,0
00
--
-1
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00
--
--
--
10
/31
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11
52
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7,3
42
--
--
--
--
--
-
11
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11
-2
,34
9,8
40
--
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0,0
00
--
--
--
11
/30
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11
54
,37
7,1
81
--
--
--
--
--
-
12
/15
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11
-1
,10
0,0
00
--
-1
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0,0
00
--
--
--
12
/30
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11
-7
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1,1
12
--
-7
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1,1
12
--
--
7,0
76
,11
27
,07
6,1
12
12
/31
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11
60
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9,7
85
--
--
--
--
--
-
01
/24
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12
-7
32
,31
1-
--
85
0,0
00
--
--
--
01
/31
/20
12
60
,98
2,0
96
--
--
--
--
--
-
02
/01
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12
-1
,00
0,0
00
--
-1
,00
0,0
00
--
--
--
02
/29
/20
12
61
,98
2,0
96
--
--
--
--
--
-
03
/28
/20
12
-1
,99
0,0
00
--
-2
,00
0,0
00
--
--
--
03
/31
/20
12
67
,95
5,7
86
--
--
--
--
--
-
04
/30
/20
12
67
,95
5,7
86
--
--
--
--
--
-
05
/31
/20
12
67
,95
5,7
86
--
--
--
--
--
-
06
/30
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12
67
,61
3,1
80
--
--
--
--
--
-
07
/31
/20
12
67
,61
3,1
80
--
--
--
--
--
-
08
/01
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12
-3
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5,5
97
--
-4
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5,4
92
--
--
4,0
55
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24
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5,4
92
08
/03
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12
-9
00
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--
90
0,0
00
--
--
--
08
/31
/20
12
68
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3,2
85
--
--
--
--
--
-
09
/17
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12
-8
87
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9-
--
90
0,0
00
--
--
--
09
/30
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12
72
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3,2
44
--
--
--
--
--
-
10
/01
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12
-9
00
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0-
--
90
0,0
00
--
--
--
10
/31
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12
73
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3,2
44
--
--
--
--
--
-
11
/30
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12
73
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3,2
44
--
--
--
--
--
-
12
/31
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12
76
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1,4
03
6,6
73
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6,7
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6-
--
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0,6
36
6,7
90
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6
01
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13
76
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1,4
03
--
--
--
--
--
-
02
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13
74
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0,9
61
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00
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--
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80
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25
80
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2
03
/31
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13
76
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8,3
94
--
--
--
--
--
-
04
/30
/20
13
76
,13
8,3
94
--
--
--
--
--
-
05
/03
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13
--
--
--
--
--
1,2
13
,66
91
,21
3,6
69
05
/31
/20
13
74
,92
4,7
25
--
--
--
--
--
-
06
/30
/20
13
76
,69
0,7
36
--
--
--
--
--
-
07
/08
/20
13
-3
,66
0,0
00
--
-3
,80
0,0
00
--
--
5,1
38
,05
25
,13
8,0
52
07
/31
/20
13
75
,21
2,6
84
--
--
--
--
--
-
82
Pri
va
te E
qu
ity
Fin
an
cia
l R
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tio
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Le
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Pri
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qu
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Sin
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08
/01
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13
--
--
--
--
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3,5
67
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83
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7,5
08
08
/21
/20
13
-1
,00
0,0
00
--
-1
,00
0,0
00
--
--
--
08
/31
/20
13
72
,64
5,1
76
--
--
--
--
--
-
09
/30
/20
13
75
,56
4,3
31
--
--
--
--
--
-
10
/10
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13
-1
,70
0,0
00
--
-1
,70
0,0
00
--
--
2,6
49
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32
,64
9,9
63
10
/31
/20
13
74
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4,3
68
--
--
--
--
--
-
11
/07
/20
13
--
--
--
--
--
1,2
78
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61
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8,4
66
11
/27
/20
13
-5
50
,00
0-
--
55
0,0
00
--
--
--
11
/30
/20
13
73
,88
5,9
02
--
--
--
--
--
-
12
/31
/20
13
75
,79
5,7
17
58
4,6
02
--
-7
00
,00
0-
--
-4
,36
0,5
64
4,3
60
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4
01
/31
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14
75
,79
5,7
17
--
--
--
--
--
-
02
/04
/20
14
-6
00
,00
0-
--
60
0,0
00
--
--
1,9
14
,31
61
,91
4,3
16
02
/28
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14
74
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1,4
01
--
--
--
--
--
-
03
/31
/20
14
72
,74
2,3
53
1,1
80
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0-
--
1,2
00
,00
0-
--
-4
,79
1,9
27
4,7
91
,92
7
04
/30
/20
14
72
,74
2,3
53
--
--
--
--
--
-
05
/31
/20
14
72
,74
2,3
53
--
--
--
--
--
-
06
/03
/20
14
-1
,89
0,9
42
--
-2
,00
0,0
00
--
--
4,4
83
,72
84
,48
3,7
28
06
/30
/20
14
69
,61
7,8
03
--
--
--
--
-1
,82
0,8
11
1,8
20
,81
1
07
/31
/20
14
69
,61
7,8
03
--
--
--
--
--
-
08
/31
/20
14
69
,61
7,8
03
--
--
--
--
--
-
09
/30
/20
14
70
,54
0,3
75
--
--
--
--
--
-
10
/15
/20
14
-1
,14
9,6
21
--
-1
,15
0,0
00
--
--
9,7
46
,22
39
,74
6,2
23
10
/31
/20
14
61
,94
3,7
73
--
--
--
--
--
-
11
/30
/20
14
61
,94
3,7
73
--
--
--
--
--
-
12
/31
/20
14
61
,68
0,8
62
--
--
--
--
--
-
01
/15
/20
15
-1
,65
2,8
59
--
-1
,75
0,0
00
--
--
3,5
20
,70
33
,52
0,7
03
01
/31
/20
15
59
,81
3,0
18
--
--
--
--
--
-
02
/13
/20
15
--
--
--
--
--
2,2
94
,03
12
,29
4,0
31
02
/28
/20
15
57
,51
8,9
87
--
--
--
--
--
-
03
/16
/20
15
-8
29
,50
0-
--
85
0,0
00
--
--
2,0
56
,70
62
,05
6,7
06
03
/31
/20
15
57
,18
1,0
07
--
--
--
--
--
-
04
/30
/20
15
57
,18
1,0
07
--
--
--
--
--
-
05
/31
/20
15
57
,18
1,0
07
--
--
--
--
--
-
06
/04
/20
15
-1
,41
1,0
09
--
-1
,50
0,0
00
--
--
4,8
72
,11
04
,87
2,1
10
06
/30
/20
15
55
,15
8,9
30
--
--
--
--
--
-
07
/31
/20
15
55
,15
8,9
30
--
--
--
--
--
-
08
/14
/20
15
-1
,00
0,0
00
--
-1
,00
0,0
00
--
--
3,8
71
,84
33
,87
1,8
43
08
/31
/20
15
52
,28
7,0
87
--
--
--
--
--
-
09
/16
/20
15
-2
00
,00
0-
--
20
0,0
00
--
--
1,9
41
,68
61
,94
1,6
86
09
/30
/20
15
49
,88
0,4
78
--
--
--
--
--
-
10
/15
/20
15
-2
00
,00
0-
--
20
0,0
00
--
--
2,1
02
,41
42
,10
2,4
14
83
83
Pri
va
te E
qu
ity
Fin
an
cia
l R
ec
on
cilia
tio
n
Le
ga
cy
Pri
va
te E
qu
ity
Po
rtfo
lio
Sin
ce
In
ce
pti
on
En
din
g D
ec
em
be
r 3
1, 2
01
6
Da
teM
ark
et
Va
lue
Inv
es
tme
nt
Fe
es
Ex
pe
ns
es
Ca
tch
-Up
Inte
res
tT
ota
lG
ain
Ca
sh
Inte
res
tC
atc
h-U
pIn
tere
st
Re
ce
ive
d
Re
ca
lla
ble
Ca
pit
al
Re
turn
of
Ca
pit
al
Ca
sh
To
tal
10
/31
/20
15
47
,97
8,0
64
--
--
--
--
--
-
11
/20
/20
15
-4
18
,77
1-
--
50
0,0
00
--
--
1,6
56
,13
41
,65
6,1
34
11
/30
/20
15
46
,74
0,7
01
--
--
--
--
--
-
12
/31
/20
15
45
,56
8,8
92
--
--
--
--
-2
,87
6,7
30
2,8
76
,73
0
01
/31
/20
16
45
,56
8,8
92
--
--
--
--
--
-
02
/29
/20
16
45
,56
8,8
92
--
--
--
--
--
-
03
/31
/20
16
44
,48
0,6
97
1,1
76
,98
3-
--
1,2
00
,00
0-
--
-2
,91
8,5
79
2,9
18
,57
9
04
/30
/20
16
44
,48
0,6
97
--
--
--
--
--
-
05
/27
/20
16
-1
26
,89
2-
--
20
0,0
00
--
--
2,1
12
,21
72
,11
2,2
17
05
/31
/20
16
42
,49
5,3
72
--
--
--
--
--
-
06
/30
/20
16
43
,95
8,5
97
--
--
--
--
--
-
07
/19
/20
16
--
--
--
--
--
63
8,6
37
63
8,6
37
07
/31
/20
16
43
,31
9,9
60
--
--
--
--
--
-
08
/10
/20
16
-1
99
,88
8-
--
20
0,0
00
--
--
2,8
62
,45
62
,86
2,4
56
08
/31
/20
16
40
,65
7,3
92
--
--
--
--
--
-
09
/13
/20
16
-1
00
,00
0-
--
10
0,0
00
--
--
2,6
63
,39
52
,66
3,3
95
09
/30
/20
16
38
,73
2,7
46
--
--
--
--
--
-
10
/19
/20
16
-1
00
,00
0-
--
10
0,0
00
--
--
73
8,6
37
73
8,6
37
10
/31
/20
16
38
,09
4,1
09
--
--
--
--
--
-
11
/30
/20
16
38
,09
4,1
09
--
--
--
--
--
-
12
/21
/20
16
-4
30
,30
3-
--
50
0,0
00
--
--
1,7
99
,41
01
,79
9,4
10
12
/30
/20
16
--
--
--
--
--
27
7,5
41
27
7,5
41
12
/31
/20
16
36
,44
7,4
61
--
--
--
--
--
-
To
tal
96
,27
3,9
64
--
-9
7,7
80
,85
0-1
9,3
96
--
-1
01
,70
4,0
54
10
1,6
84
,65
8
84
OP
PO
RT
UN
IST
IC F
IXE
D I
NC
OM
E
85
Fu
nd
In
form
ati
on
Ty
pe
of
Fu
nd
:D
ire
ctV
inta
ge
Ye
ar:
20
11
Str
ate
gy
Ty
pe
:O
pp
ort
un
istic
Re
al E
sta
teM
an
ag
em
en
t F
ee
:1
.36
%
Ta
rge
t IR
R:
15
.00
%In
ce
pti
on
:0
1/1
4/2
01
1
Ge
ne
ral P
art
ne
r:P
IMC
O
Inv
es
tme
nt
Str
ate
gy
:P
riva
te e
qu
ity-s
tyle
op
po
rtu
nis
tic f
un
d w
ith a
n e
xpe
cte
d e
mp
ha
sis
on
ma
rke
ts in
flue
nce
d b
y b
an
k re
gu
lato
ry r
efo
rm c
ove
rin
g m
ort
ga
ge
s, r
ea
l est
ate
an
d c
on
sum
er
ma
rke
ts,
pri
ma
rily
in t
he
U.S
. b
ut
with
so
me
exp
osu
re t
o E
uro
pe
. E
mp
loys
a m
ulti
dis
cip
lina
ry in
vest
me
nt
ap
pro
ach
acr
oss
pu
blic
an
d p
riva
te m
ark
ets
to
un
cove
r a
ttra
ctiv
e r
isk-
ad
just
ed
re
turn
s.
Th
is r
eq
uir
es
afle
xib
le in
vest
me
nt
ap
pro
ach
, d
ue
to
th
e c
om
ple
x in
tera
ctio
n o
f m
on
eta
ry p
olic
ies,
re
gu
latio
n a
nd
ca
pita
l ma
rke
ts.
Ta
rge
t IR
R a
nd
mu
ltip
le o
f 1
5%
an
d 1
.8x,
ne
t o
f fe
es
an
d c
arr
ied
inte
rest
.
BR
AV
O t
ea
m in
clu
de
s o
ver
80
po
rtfo
lio m
an
ag
em
en
t p
ers
on
ne
l with
a w
ide
ra
ng
e o
f b
ack
gro
un
ds,
incl
ud
ing
ori
gin
atio
ns,
ca
pita
l ma
rke
ts,
rea
l est
ate
acq
uis
itio
ns
an
d a
sse
t m
an
ag
em
en
t.T
he
te
am
ha
s a
his
tory
of
ide
ntif
yin
g in
vest
me
nt
op
po
rtu
niti
es,
an
d c
on
stru
ctin
g t
ea
ms
to c
ap
italiz
e o
n t
he
se o
pp
ort
un
itie
s.
Th
e f
un
ds
ha
ve a
dis
cip
line
d u
nd
erw
ritin
g p
roce
ss t
ha
t co
mb
ine
s m
acr
oe
con
om
ic p
ers
pe
ctiv
es
an
d a
sse
t-le
vel f
un
ctio
na
l exp
ert
ise
. T
he
am
ou
nt
of
info
rma
tion
ava
ilab
le t
hro
ug
h t
he
pla
tfo
rm a
nd
pro
pri
eta
ry a
na
lytic
s w
ill b
e u
sed
to
fo
rm a
un
iqu
e u
nd
ers
tan
din
g a
nd
ab
ility
to
ide
ntif
y a
nd
so
urc
e r
ela
tive
va
lue
inve
stm
en
t a
cro
ss t
he
ca
pita
l str
uct
ure
. F
urt
he
r, t
he
fu
nd
will
leve
rag
e P
IMC
O’s
fin
an
cin
g p
latf
orm
an
d c
ap
ital m
ark
ets
an
d s
tru
ctu
re e
xpe
rtis
e t
o u
nd
ers
tan
d c
om
ple
x se
curi
ties
to o
ptim
ize
re
turn
s.
Ca
sh
Flo
w S
um
ma
ry
Ca
pit
al C
om
mit
ted
:$
10
0,0
00
,00
0
Ca
pit
al In
ve
ste
d:
$1
10
,16
7,7
31
Ma
na
ge
me
nt
Fe
es
:$
5,0
43
,88
0
Ex
pe
ns
es
:-
Inte
res
t:$
2,2
01
,83
7
To
tal C
on
trib
uti
on
s:
$1
12
,36
9,5
68
Re
ma
inin
g C
ap
ita
l C
om
mit
me
nt:
-
To
tal D
istr
ibu
tio
ns
:$
18
8,3
47
,88
2
Ma
rke
t V
alu
e:
$7
,39
5,5
80
Inc
ep
tio
n D
ate
:0
3/3
1/2
01
1
Inc
ep
tio
n IR
R:
22
.3
TV
PI:
1.8
Ca
sh
Flo
w A
na
lys
is
Ne
t A
sse
t V
alu
eD
istr
ibu
tio
nC
on
trib
utio
ns
$0
.0
$5
2,0
00
,00
0.0
$1
04
,00
0,0
00
.0
$1
56
,00
0,0
00
.0
$2
08
,00
0,0
00
.0
$2
60
,00
0,0
00
.0
($5
2,0
00
,00
0.0
)
3/1
19
/11
3/1
29
/12
3/1
39
/13
3/1
49
/14
3/1
59
/15
3/1
61
2/1
6
Pri
va
te E
qu
ity
Fu
nd
Ov
erv
iew
PIM
CO
Bra
vo
I
As
of
De
ce
mb
er
31
, 2
01
6
86
Pri
va
te E
qu
ity
Fin
an
cia
l R
ec
on
cil
iati
on
Da
teM
ark
et
Va
lue
Inv
es
tme
nt
Fe
es
Ex
pe
ns
es
Ca
tch
-Up
Inte
res
tT
ota
lG
ain
Ca
sh
Inte
res
tC
atc
h-U
pIn
tere
st
Re
ce
ive
d
Re
ca
lla
ble
Ca
pit
al
Re
turn
of
Ca
pit
al
Ca
sh
To
tal
03
/15
/20
11
--
20
,37
1-
-2
0,3
71
--
--
--
03
/21
/20
11
-1
0,6
68
,49
3-
-3
6,8
86
10
,70
5,3
79
--
--
--
03
/31
/20
11
10
,86
8,4
73
--
--
--
--
--
-
04
/29
/20
11
-1
,76
3,8
22
--
-1
,76
3,8
22
--
12
,40
11
,76
3,8
22
-1
,77
6,2
23
04
/30
/20
11
10
,86
8,4
73
--
--
--
--
--
-
05
/10
/20
11
-2
0,0
00
,00
0-
--
20
,00
0,0
00
--
--
--
05
/31
/20
11
30
,86
8,4
73
--
--
--
--
--
-
06
/27
/20
11
--
--
--
--
71
,23
98
,40
3,9
09
-8
,47
5,1
49
06
/30
/20
11
22
,94
6,7
70
-4
1,3
39
--
41
,33
9-
--
--
-
07
/13
/20
11
--
--
--
--
--
2,1
64
,95
12
,16
4,9
51
07
/22
/20
11
--
--
2,1
64
,95
12
,16
4,9
51
--
27
,07
1-
-2
7,0
71
07
/31
/20
11
22
,94
6,7
70
--
--
--
--
--
-
08
/23
/20
11
-8
,50
0,0
00
--
-8
,50
0,0
00
--
--
--
08
/31
/20
11
31
,44
6,7
70
--
--
--
--
--
-
09
/30
/20
11
31
,67
9,6
92
-8
1,7
49
--
81
,74
9-
--
--
-
10
/31
/20
11
31
,67
9,6
92
--
--
--
--
--
-
11
/25
/20
11
-1
0,0
00
,00
0-
--
10
,00
0,0
00
--
--
--
11
/30
/20
11
41
,67
9,6
92
--
--
--
--
--
-
12
/31
/20
11
41
,75
2,7
91
--
--
--
--
--
-
01
/31
/20
12
41
,75
2,7
91
--
--
--
--
--
-
02
/29
/20
12
51
,75
2,7
91
10
,00
0,0
00
--
-1
0,0
00
,00
0-
--
--
-
03
/30
/20
12
--
16
4,3
14
--
16
4,3
14
--
--
--
03
/31
/20
12
56
,31
0,0
33
--
--
--
--
--
-
04
/17
/20
12
-1
0,0
00
,00
0-
--
10
,00
0,0
00
--
--
--
04
/30
/20
12
66
,31
0,0
33
--
--
--
--
--
-
05
/31
/20
12
66
,31
0,0
33
--
--
--
--
--
-
06
/30
/20
12
70
,22
1,1
73
-2
04
,20
5-
-2
04
,20
5-
--
--
-
07
/16
/20
12
-1
0,0
00
,00
0-
--
10
,00
0,0
00
--
--
--
07
/31
/20
12
80
,22
1,1
73
--
--
--
--
--
-
08
/27
/20
12
-1
0,0
00
,00
0-
--
10
,00
0,0
00
--
--
--
08
/31
/20
12
90
,22
1,1
73
--
--
--
--
--
-
09
/30
/20
12
10
1,3
01
,34
9-
26
1,2
91
--
26
1,2
91
--
--
--
10
/31
/20
12
10
1,3
01
,34
9-
--
--
--
--
--
11
/30
/20
12
10
1,3
04
,34
9-
--
--
--
--
--
12
/30
/20
12
--
30
5,2
35
--
30
5,2
35
--
--
--
12
/31
/20
12
11
0,3
48
,71
1-
--
--
--
--
--
01
/11
/20
13
-1
0,0
00
,00
0-
--
10
,00
0,0
00
--
--
--
01
/31
/20
13
12
0,3
48
,71
1-
--
--
--
--
--
02
/28
/20
13
12
0,3
48
,71
1-
--
--
--
--
--
03
/30
/20
13
--
33
6,9
63
--
33
6,9
63
--
--
--
Pri
va
te E
qu
ity
Fin
an
cia
l R
ec
on
cilia
tio
n
PIM
CO
Bra
vo
I
Sin
ce
In
ce
pti
on
En
din
g D
ec
em
be
r 3
1, 2
01
6
8
7
87
Pri
va
te E
qu
ity
Fin
an
cia
l R
ec
on
cilia
tio
n
PIM
CO
Bra
vo
I
Sin
ce
In
ce
pti
on
En
din
g D
ec
em
be
r 3
1, 2
01
6
Da
teM
ark
et
Va
lue
Inv
es
tme
nt
Fe
es
Ex
pe
ns
es
Ca
tch
-Up
Inte
res
tT
ota
lG
ain
Ca
sh
Inte
res
tC
atc
h-U
pIn
tere
st
Re
ce
ive
d
Re
ca
lla
ble
Ca
pit
al
Re
turn
of
Ca
pit
al
Ca
sh
To
tal
03
/31
/20
13
13
0,2
97
,60
3-
--
--
--
--
--
04
/30
/20
13
13
0,2
97
,60
3-
--
--
--
--
--
05
/21
/20
13
-5
,00
0,0
00
--
-5
,00
0,0
00
--
--
--
05
/31
/20
13
13
5,2
97
,60
3-
--
--
--
--
--
06
/30
/20
13
13
8,4
22
,40
5-
37
6,6
99
--
37
6,6
99
--
--
--
07
/31
/20
13
13
8,4
22
,40
5-
--
--
--
--
--
08
/31
/20
13
13
8,4
22
,40
5-
--
--
--
--
--
09
/30
/20
13
14
4,7
63
,26
3-
40
0,4
53
--
40
0,4
53
--
--
--
10
/31
/20
13
14
4,7
63
,26
3-
--
--
--
--
--
11
/30
/20
13
14
4,7
63
,26
3-
--
--
--
--
--
12
/06
/20
13
-4
,23
5,4
16
--
-4
,23
5,4
16
--
--
--
12
/30
/20
13
--
43
5,9
75
--
43
5,9
75
--
--
--
12
/31
/20
13
15
8,2
36
,31
4-
--
--
--
--
--
01
/31
/20
14
15
8,2
36
,31
4-
--
--
--
--
--
02
/28
/20
14
15
8,2
36
,31
4-
--
--
--
--
--
03
/30
/20
14
--
44
3,0
77
--
44
3,0
77
--
--
--
03
/31
/20
14
16
5,1
80
,18
8-
--
--
--
--
--
04
/04
/20
14
--
--
--
--
--
17
,90
8,2
33
17
,90
8,2
33
04
/30
/20
14
14
7,2
71
,95
5-
--
--
--
--
--
05
/28
/20
14
--
--
--
--
--
14
,92
3,5
28
14
,92
3,5
28
05
/31
/20
14
13
2,3
48
,42
7-
--
--
--
--
--
06
/30
/20
14
14
1,3
64
,08
6-
41
2,6
77
--
41
2,6
77
--
--
--
07
/30
/20
14
--
--
--
--
--
19
,18
7,3
93
19
,18
7,3
93
07
/31
/20
14
12
2,1
76
,69
3-
--
--
--
--
--
08
/25
/20
14
--
--
--
--
--
19
,18
7,3
93
19
,18
7,3
93
08
/31
/20
14
10
2,9
89
,30
1-
--
--
--
--
--
09
/26
/20
14
--
--
--
--
--
8,5
27
,73
08
,52
7,7
30
09
/30
/20
14
98
,02
4,3
38
-3
15
,47
6-
-3
15
,47
6-
--
--
-
10
/31
/20
14
98
,02
4,3
38
--
--
--
--
--
-
11
/30
/20
14
98
,02
4,3
38
--
--
--
--
--
-
12
/30
/20
14
--
26
9,2
51
--
26
9,2
51
--
--
--
12
/31
/20
14
10
1,2
07
,57
7-
--
--
--
--
--
01
/28
/20
15
--
--
--
1,0
53
,60
1-
--
20
,26
5,7
24
21
,31
9,3
25
01
/31
/20
15
79
,88
8,2
52
--
--
--
--
--
-
02
/28
/20
15
79
,88
8,2
52
--
--
--
--
--
-
03
/30
/20
15
--
23
5,3
43
--
23
5,3
43
--
--
--
03
/31
/20
15
64
,50
5,3
84
--
--
-1
7,0
55
,46
0-
--
-1
7,0
55
,46
0
04
/30
/20
15
64
,50
5,3
84
--
--
--
--
--
-
05
/31
/20
15
64
,50
5,3
84
--
--
--
--
--
-
06
/15
/20
15
--
--
--
10
,16
7,8
48
--
--
10
,16
7,8
48
06
/30
/20
15
56
,37
6,6
90
-1
70
,00
8-
-1
70
,00
8-
--
--
-
88
88
Pri
va
te E
qu
ity
Fin
an
cia
l R
ec
on
cilia
tio
n
PIM
CO
Bra
vo
I
Sin
ce
In
ce
pti
on
En
din
g D
ec
em
be
r 3
1, 2
01
6
Da
teM
ark
et
Va
lue
Inv
es
tme
nt
Fe
es
Ex
pe
ns
es
Ca
tch
-Up
Inte
res
tT
ota
lG
ain
Ca
sh
Inte
res
tC
atc
h-U
pIn
tere
st
Re
ce
ive
d
Re
ca
lla
ble
Ca
pit
al
Re
turn
of
Ca
pit
al
Ca
sh
To
tal
07
/31
/20
15
56
,37
6,6
90
--
--
--
--
--
-
08
/31
/20
15
56
,37
6,6
90
--
--
--
--
--
-
09
/30
/20
15
54
,16
7,3
23
-1
57
,98
1-
-1
57
,98
1-
--
--
-
10
/08
/20
15
--
--
--
12
,14
1,2
49
--
--
12
,14
1,2
49
10
/31
/20
15
42
,02
6,0
74
--
--
--
--
--
-
11
/30
/20
15
42
,02
6,0
74
--
--
--
--
--
-
12
/18
/20
15
--
--
--
11
,46
4,3
28
--
--
11
,46
4,3
28
12
/30
/20
15
--
13
0,3
21
--
13
0,3
21
--
--
--
12
/31
/20
15
30
,34
5,5
66
--
--
--
--
--
-
01
/15
/20
16
--
--
--
4,3
42
,54
8-
--
-4
,34
2,5
48
01
/31
/20
16
26
,00
3,0
18
--
--
--
--
--
-
02
/29
/20
16
26
,00
3,0
18
--
--
--
--
--
-
03
/30
/20
16
--
82
,03
9-
-8
2,0
39
--
--
--
03
/31
/20
16
24
,26
2,2
42
--
--
--
--
--
-
04
/30
/20
16
24
,26
2,2
42
--
--
--
--
--
-
05
/31
/20
16
24
,26
2,2
42
--
--
--
--
--
-
06
/01
/20
16
--
--
--
5,8
32
,73
9-
--
-5
,83
2,7
39
06
/30
/20
16
20
,67
9,4
06
-8
0,0
17
--
80
,01
7-
--
--
-
07
/18
/20
16
--
--
--
5,0
62
,63
5-
--
-5
,06
2,6
35
07
/31
/20
16
15
,61
6,7
71
--
--
--
--
--
-
08
/31
/20
16
15
,61
6,7
71
--
--
--
--
--
-
09
/06
/20
16
--
--
--
5,0
71
,62
4-
--
-5
,07
1,6
24
09
/30
/20
16
10
,95
9,7
34
-7
2,1
79
--
72
,17
9-
--
--
-
10
/31
/20
16
10
,95
9,7
34
--
--
--
--
--
-
11
/30
/20
16
10
,95
9,7
34
--
--
--
--
--
-
12
/06
/20
16
--
--
--
3,7
12
,45
6-
--
-3
,71
2,4
56
12
/31
/20
16
7,3
95
,58
0-
46
,91
7-
-4
6,9
17
--
--
--
To
tal
11
0,1
67
,73
15
,04
3,8
80
-2
,20
1,8
37
11
7,4
13
,44
87
5,9
04
,48
8-
11
0,7
11
10
,16
7,7
31
10
2,1
64
,95
11
88
,34
7,8
82
89
Fu
nd
In
form
ati
on
Ty
pe
of
Fu
nd
:D
ire
ctV
inta
ge
Ye
ar:
20
13
Str
ate
gy
Ty
pe
:O
pp
ort
un
istic
Re
al E
sta
teM
an
ag
em
en
t F
ee
:1
.36
%
Ta
rge
t IR
R:
15
.00
%In
ce
pti
on
:0
3/1
9/2
01
1
Ge
ne
ral P
art
ne
r:P
IMC
O
Inv
es
tme
nt
Str
ate
gy
:P
riva
te e
qu
ity-s
tyle
op
po
rtu
nis
tic f
un
d w
ith a
n e
xpe
cte
d e
mp
ha
sis
on
ma
rke
ts in
flue
nce
d b
y b
an
k re
gu
lato
ry r
efo
rm c
ove
rin
g m
ort
ga
ge
s, r
ea
l est
ate
an
d c
on
sum
er
ma
rke
ts,
pri
ma
rily
in t
he
U.S
. b
ut
with
so
me
exp
osu
re t
o E
uro
pe
. E
mp
loys
a m
ulti
dis
cip
lina
ry in
vest
me
nt
ap
pro
ach
acr
oss
pu
blic
an
d p
riva
te m
ark
ets
to
un
cove
r a
ttra
ctiv
e r
isk-
ad
just
ed
re
turn
s.
Th
is r
eq
uir
es
afle
xib
le in
vest
me
nt
ap
pro
ach
, d
ue
to
th
e c
om
ple
x in
tera
ctio
n o
f m
on
eta
ry p
olic
ies,
re
gu
latio
n a
nd
ca
pita
l ma
rke
ts.
Ta
rge
t IR
R a
nd
mu
ltip
le o
f 1
5%
an
d 1
.8x,
ne
t o
f fe
es
an
d c
arr
ied
inte
rest
.
BR
AV
O t
ea
m in
clu
de
s o
ver
80
po
rtfo
lio m
an
ag
em
en
t p
ers
on
ne
l with
a w
ide
ra
ng
e o
f b
ack
gro
un
ds,
incl
ud
ing
ori
gin
atio
ns,
ca
pita
l ma
rke
ts,
rea
l est
ate
acq
uis
itio
ns
an
d a
sse
t m
an
ag
em
en
t.T
he
te
am
ha
s a
his
tory
of
ide
ntif
yin
g in
vest
me
nt
op
po
rtu
niti
es,
an
d c
on
stru
ctin
g t
ea
ms
to c
ap
italiz
e o
n t
he
se o
pp
ort
un
itie
s.
Th
e f
un
ds
ha
ve a
dis
cip
line
d u
nd
erw
ritin
g p
roce
ss t
ha
t co
mb
ine
s m
acr
oe
con
om
ic p
ers
pe
ctiv
es
an
d a
sse
t-le
vel f
un
ctio
na
l exp
ert
ise
. T
he
am
ou
nt
of
info
rma
tion
ava
ilab
le t
hro
ug
h t
he
pla
tfo
rm a
nd
pro
pri
eta
ry a
na
lytic
s w
ill b
e u
sed
to
fo
rm a
un
iqu
e u
nd
ers
tan
din
g a
nd
ab
ility
to
ide
ntif
y a
nd
so
urc
e r
ela
tive
va
lue
inve
stm
en
t a
cro
ss t
he
ca
pita
l str
uct
ure
. F
urt
he
r, t
he
fu
nd
will
leve
rag
e P
IMC
O’s
fin
an
cin
g p
latf
orm
an
d c
ap
ital m
ark
ets
an
d s
tru
ctu
re e
xpe
rtis
e t
o u
nd
ers
tan
d c
om
ple
x se
curi
ties
to o
ptim
ize
re
turn
s.
Ca
sh
Flo
w S
um
ma
ry
Ca
pit
al C
om
mit
ted
:$
15
0,0
00
,00
0
Ca
pit
al In
ve
ste
d:
$1
27
,56
5,6
20
Ma
na
ge
me
nt
Fe
es
:$
3,5
65
,95
0
Ex
pe
ns
es
:-
Inte
res
t:$
17
4,0
40
To
tal C
on
trib
uti
on
s:
$1
27
,73
9,6
60
Re
ma
inin
g C
ap
ita
l C
om
mit
me
nt:
$3
0,0
00
,00
0
To
tal D
istr
ibu
tio
ns
:$
7,8
00
,56
2
Ma
rke
t V
alu
e:
$1
53
,05
7,9
55
Inc
ep
tio
n D
ate
:0
3/3
1/2
01
4
Inc
ep
tio
n IR
R:
11
.8
TV
PI:
1.3
Ca
sh
Flo
w A
na
lys
is
Ne
t A
sse
t V
alu
eD
istr
ibu
tio
nC
on
trib
utio
ns
$0
.0
$4
1,6
00
,00
0.0
$8
3,2
00
,00
0.0
$1
24
,80
0,0
00
.0
$1
66
,40
0,0
00
.0
$2
08
,00
0,0
00
.0
($4
1,6
00
,00
0.0
)
3/1
46
/14
9/1
41
2/1
43
/15
6/1
59
/15
12
/15
3/1
66
/16
9/1
61
2/1
6
Pri
va
te E
qu
ity
Fu
nd
Ov
erv
iew
PIM
CO
Bra
vo
II
As
of
De
ce
mb
er
31
, 2
01
6
90
Pri
va
te E
qu
ity
Fin
an
cia
l R
ec
on
cil
iati
on
Da
teM
ark
et
Va
lue
Inv
es
tme
nt
Fe
es
Ex
pe
ns
es
Ca
tch
-Up
Inte
res
tT
ota
lG
ain
Ca
sh
Inte
res
tC
atc
h-U
pIn
tere
st
Re
ce
ive
d
Re
ca
lla
ble
Ca
pit
al
Re
turn
of
Ca
pit
al
Ca
sh
To
tal
03
/30
/20
14
--
39
,01
9-
-3
9,0
19
--
--
--
03
/31
/20
14
28
,74
7,2
68
11
,25
0,0
00
--
-1
1,2
50
,00
0-
--
--
-
04
/15
/20
14
-4
,16
9,0
10
--
-4
,16
9,0
10
--
15
7,5
30
4,1
69
,01
0-
4,3
26
,53
9
04
/30
/20
14
28
,74
7,2
68
--
--
--
--
--
-
05
/31
/20
14
28
,74
7,2
68
--
--
--
--
--
-
06
/30
/20
14
38
,16
2,3
58
7,5
00
,00
08
4,6
79
--
7,5
84
,67
9-
--
--
-
07
/31
/20
14
38
,16
2,3
58
--
--
--
--
--
-
08
/31
/20
14
38
,16
2,3
58
--
--
--
--
--
-
09
/29
/20
14
-1
5,0
00
,00
0-
--
15
,00
0,0
00
--
--
--
09
/30
/20
14
55
,31
8,0
71
-1
45
,17
1-
-1
45
,17
1-
--
--
-
10
/14
/20
14
-1
5,0
00
,00
0-
--
15
,00
0,0
00
--
--
--
10
/31
/20
14
70
,31
8,0
71
--
--
--
--
--
-
11
/30
/20
14
70
,31
8,0
71
--
--
--
--
--
-
12
/30
/20
14
--
20
5,2
40
--
20
5,2
40
--
--
--
12
/31
/20
14
71
,36
1,9
65
--
--
--
--
--
-
01
/26
/20
15
-1
5,0
00
,00
0-
--
15
,00
0,0
00
--
--
--
01
/31
/20
15
86
,36
1,9
65
--
--
--
--
--
-
02
/28
/20
15
86
,36
1,9
65
--
--
--
--
--
-
03
/01
/20
15
--
--
--
--
--
--
03
/30
/20
15
--
27
2,6
35
--
27
2,6
35
--
--
--
03
/31
/20
15
88
,71
3,9
16
--
--
--
--
--
-
04
/30
/20
15
88
,71
3,9
16
--
--
--
--
--
-
05
/12
/20
15
-1
5,0
00
,00
0-
--
15
,00
0,0
00
--
--
--
05
/31
/20
15
10
3,7
13
,91
6-
--
--
--
--
--
06
/30
/20
15
10
6,1
53
,78
1-
33
7,1
45
--
33
7,1
45
--
--
--
07
/31
/20
15
10
6,1
53
,78
1-
--
--
--
--
--
08
/31
/20
15
10
6,1
53
,78
1-
--
--
--
--
--
09
/30
/20
15
10
7,8
72
,08
3-
36
7,6
68
--
36
7,6
68
--
--
--
10
/31
/20
15
10
7,8
72
,08
3-
--
--
--
--
--
11
/30
/20
15
10
7,8
72
,08
3-
--
--
--
--
--
12
/04
/20
15
-2
6,2
50
,00
0-
--
26
,25
0,0
00
--
--
--
12
/31
/20
15
13
8,3
67
,80
9-
--
--
--
--
--
01
/31
/20
16
13
8,3
67
,80
9-
--
--
--
--
--
02
/29
/20
16
13
8,3
67
,80
9-
--
--
--
--
--
03
/30
/20
16
--
47
5,6
94
--
47
5,6
94
--
--
--
03
/31
/20
16
13
5,9
67
,88
3-
--
--
--
--
--
04
/30
/20
16
13
5,9
67
,88
3-
--
--
--
--
--
05
/31
/20
16
13
5,9
67
,88
3-
--
--
--
--
--
06
/30
/20
16
14
1,2
46
,90
0-
48
9,8
81
--
48
9,8
81
--
--
--
07
/31
/20
16
14
1,2
46
,90
0-
--
--
--
--
--
Pri
va
te E
qu
ity
Fin
an
cia
l R
ec
on
cilia
tio
n
PIM
CO
Bra
vo
II
Sin
ce
In
ce
pti
on
En
din
g D
ec
em
be
r 3
1, 2
01
6
91
91
Pri
va
te E
qu
ity
Fin
an
cia
l R
ec
on
cilia
tio
n
PIM
CO
Bra
vo
II
Sin
ce
In
ce
pti
on
En
din
g D
ec
em
be
r 3
1, 2
01
6
Da
teM
ark
et
Va
lue
Inv
es
tme
nt
Fe
es
Ex
pe
ns
es
Ca
tch
-Up
Inte
res
tT
ota
lG
ain
Ca
sh
Inte
res
tC
atc
h-U
pIn
tere
st
Re
ce
ive
d
Re
ca
lla
ble
Ca
pit
al
Re
turn
of
Ca
pit
al
Ca
sh
To
tal
08
/31
/20
16
14
1,2
46
,90
0-
--
--
--
--
--
09
/30
/20
16
14
6,6
12
,97
3-
51
7,1
89
--
51
7,1
89
--
--
--
10
/31
/20
16
14
6,6
12
,97
3-
--
--
--
--
--
11
/30
/20
16
14
6,6
12
,97
3-
--
--
--
--
--
12
/30
/20
16
--
54
6,9
98
--
54
6,9
98
--
--
--
12
/31
/20
16
15
3,0
57
,95
5-
--
--
--
--
--
To
tal
10
9,1
69
,01
03
,48
1,3
19
--
11
2,6
50
,32
9-
-1
57
,53
04
,16
9,0
10
-4
,32
6,5
39
92
Fu
nd
In
form
ati
on
Ty
pe
of
Fu
nd
:D
ire
ctV
inta
ge
Ye
ar:
20
16
Str
ate
gy
Ty
pe
:D
istr
ess
ed
Ma
na
ge
me
nt
Fe
e:
1.3
5%
In
cen
tive
Fe
e:
20
% c
arr
ied
inte
rest
ove
r 8
% h
urd
le r
ate
Ta
rge
t IR
R:
15
.00
%In
ce
pti
on
:0
1/0
6/2
01
6
Ge
ne
ral P
art
ne
r:P
IMC
O
Inv
es
tme
nt
Str
ate
gy
:T
he
fu
nd
will
ta
rge
t d
istr
ess
ed
an
d s
pe
cia
l situ
atio
n in
vest
me
nts
in p
ub
lic a
nd
pri
vate
co
mp
an
ies.
T
he
inve
stm
en
t st
rate
gy
will
be
ce
nte
red
on
ob
tain
ing
sig
nifi
can
t in
flue
nce
to
dri
vein
vest
me
nt
ou
tco
me
s.
Se
cula
r ch
an
ge
s in
te
chn
olo
gy,
re
gu
latio
n a
nd
ma
rke
t st
ruct
ure
s a
re e
xpe
cte
d t
o d
isru
pt
ind
ust
rie
s.
Th
e p
ath
to
po
licy
no
rma
liza
tion
is e
xpe
cte
d t
o b
e b
um
py,
exp
osi
ng
co
mp
an
ies
with
we
ak
fina
nci
als
. A
n e
con
om
ic r
ece
ssio
n is
ine
vita
ble
an
d li
kely
to
occ
ur
du
rin
g t
he
Fu
nd
’s in
vest
me
nt
pe
rio
d.
Th
e m
idd
le m
ark
et
is in
eff
icie
nt
an
d le
ss c
om
pe
titiv
ed
ue
to
eco
no
mic
vu
lne
rab
ility
. T
he
se f
act
ors
cre
ate
op
po
rtu
niti
es
for
we
ll-re
sou
rce
d t
ea
ms
of
exp
eri
en
ced
inve
sto
rs.
Th
e f
un
d h
as
a t
arg
et
an
nu
aliz
ed
IR
R o
f a
pp
roxi
ma
tely
15
% a
nd
mu
ltip
le o
f 1
.5-1
.7x,
ne
t o
f fe
es
an
d c
arr
ied
inte
rest
. T
he
fu
nd
ha
s a
fiv
e-y
ea
r te
rm,
with
tw
o p
oss
ible
1.5
ye
ar
ext
en
sio
ns
at
GP
’s d
iscr
etio
n.
Ca
sh
Flo
w S
um
ma
ry
Ca
pit
al C
om
mit
ted
:$
10
0,0
00
,00
0
Ca
pit
al In
ve
ste
d:
$1
2,0
00
,00
0
Ma
na
ge
me
nt
Fe
es
:$
20
,38
3
Ex
pe
ns
es
:-
Inte
res
t:$
31
3,0
39
To
tal C
on
trib
uti
on
s:
$1
2,3
13
,03
9
Re
ma
inin
g C
ap
ita
l C
om
mit
me
nt:
$8
8,0
00
,00
0
To
tal D
istr
ibu
tio
ns
:-
Ma
rke
t V
alu
e:
$1
3,2
35
,49
1
Inc
ep
tio
n D
ate
:0
9/0
1/2
01
6
Inc
ep
tio
n IR
R:
7.5
TV
PI:
1.1
Ca
sh
Flo
w A
na
lys
is
Ne
t A
sse
t V
alu
eD
istr
ibu
tio
nC
on
trib
utio
ns
$0
.0
$3
,64
0,0
00
.0
$7
,28
0,0
00
.0
$1
0,9
20
,00
0.0
$1
4,5
60
,00
0.0
$1
8,2
00
,00
0.0
($3
,64
0,0
00
.0)
9/1
61
2/1
6
Pri
va
te E
qu
ity
Fu
nd
Ov
erv
iew
PIM
CO
Co
rp O
pp
II
As
of
De
ce
mb
er
31
, 2
01
6
93
Pri
va
te E
qu
ity
Fin
an
cia
l R
ec
on
cil
iati
on
Da
teM
ark
et
Va
lue
Inv
es
tme
nt
Fe
es
Ex
pe
ns
es
Ca
tch
-Up
Inte
res
tT
ota
lG
ain
Ca
sh
Inte
res
tC
atc
h-U
pIn
tere
st
Re
ce
ive
d
Re
ca
lla
ble
Ca
pit
al
Re
turn
of
Ca
pit
al
Ca
sh
To
tal
09
/01
/20
16
-1
2,0
00
,00
0-
-3
13
,03
91
2,3
13
,03
9-
--
--
-
09
/30
/20
16
12
,82
9,4
20
--
--
--
--
--
-
10
/31
/20
16
12
,82
9,4
20
--
--
--
--
--
-
11
/30
/20
16
12
,82
9,4
20
--
--
--
--
--
-
12
/30
/20
16
--
20
,38
3-
-2
0,3
83
--
--
--
12
/31
/20
16
13
,23
5,4
91
--
--
--
--
--
-
To
tal
12
,00
0,0
00
20
,38
3-
31
3,0
39
12
,33
3,4
22
--
--
--
Pri
va
te E
qu
ity
Fin
an
cia
l R
ec
on
cilia
tio
n
PIM
CO
Co
rp O
pp
II
Sin
ce
In
ce
pti
on
En
din
g D
ec
em
be
r 3
1, 2
01
6
94
Rep
ort S
tatis
tics
Def
initi
ons
and
Des
crip
tions
Activ
e R
etur
n- A
rithm
etic
diff
eren
ce b
etw
een
the
man
ager
’s p
erfo
rman
ce a
nd th
e de
sign
ated
ben
chm
ark
retu
rn o
ver a
spe
cifie
d tim
e pe
riod.
Alph
a- A
mea
sure
of t
he d
iffer
ence
bet
wee
n a
portf
olio
's a
ctua
l per
form
ance
and
its
expe
cted
retu
rn b
ased
on
its le
vel o
f ris
k as
det
erm
ined
by
beta
. It d
eter
min
es th
e po
rtfol
io's
no
n-sy
stem
ic re
turn
, or i
ts h
isto
rical
per
form
ance
not
exp
lain
ed b
y m
ovem
ents
of t
he m
arke
t.
Bet
a- A
mea
sure
of t
he s
ensi
tivity
of a
por
tfolio
to th
e m
ovem
ents
in th
e m
arke
t. It
is a
mea
sure
of t
he p
ortfo
lio's
sys
tem
atic
risk
.
Con
sist
ency
- T
he p
erce
ntag
e of
qua
rters
that
a p
rodu
ct a
chie
ved
a ra
te o
f ret
urn
high
er th
an th
at o
f its
ben
chm
ark.
Hig
her c
onsi
sten
cy in
dica
tes
the
man
ager
has
con
tribu
ted
mor
e to
the
prod
uct’s
per
form
ance
.
Dis
trib
uted
to P
aid
In (D
PI)
- The
ratio
of m
oney
dis
tribu
ted
to L
imite
d Pa
rtner
s by
the
fund
, rel
ativ
e to
con
tribu
tions
. It
is c
alcu
late
d by
div
idin
g cu
mul
ativ
e di
strib
utio
ns b
y pa
id in
cap
ital.
Thi
s m
ultip
le
show
s th
e in
vest
or h
ow m
uch
mon
ey th
ey g
ot b
ack.
It i
s a
good
mea
sure
for e
valu
atin
g a
fund
late
r in
its li
fe b
ecau
se th
ere
are
mor
e di
strib
utio
ns to
mea
sure
aga
inst
.
Dow
n M
arke
t Cap
ture
- T
he ra
tio o
f ave
rage
por
tfolio
per
form
ance
ove
r the
des
igna
ted
benc
hmar
k du
ring
perio
ds o
f neg
ativ
e re
turn
s. A
low
er v
alue
indi
cate
s be
tter p
rodu
ct p
erfo
rman
ce
Dow
nsid
e R
isk
- A m
easu
re s
imila
r to
stan
dard
dev
iatio
n th
at u
tiliz
es o
nly
the
nega
tive
mov
emen
ts o
f the
retu
rn s
erie
s. It
is c
alcu
late
d by
taki
ng th
e st
anda
rd d
evia
tion
of th
e ne
gativ
e qu
arte
rly s
et o
f ret
urns
. A h
ighe
r fac
tor i
s in
dica
tive
of a
risk
ier p
rodu
ct.
Exce
ss R
etur
n - A
rithm
etic
diff
eren
ce b
etw
een
the
man
ager
’s p
erfo
rman
ce a
nd th
e ris
k-fre
e re
turn
ove
r a s
peci
fied
time
perio
d.
Exce
ss R
isk
- A m
easu
re o
f the
sta
ndar
d de
viat
ion
of a
por
tfolio
's p
erfo
rman
ce re
lativ
e to
the
risk
free
retu
rn.
Info
rmat
ion
Rat
io
- Thi
s ca
lcul
ates
the
valu
e-ad
ded
cont
ribut
ion
of th
e m
anag
er a
nd is
der
ived
by
divi
ding
the
activ
e ra
te o
f ret
urn
of th
e po
rtfol
io b
y th
e tra
ckin
g er
ror.
The
high
er th
e In
form
atio
n R
atio
, the
mor
e th
e m
anag
er h
as a
dded
val
ue to
the
portf
olio
.
Publ
ic M
arke
t Equ
ival
ent (
PME)
- D
esig
ns a
set
of a
naly
ses
used
in th
e Pr
ivat
e Eq
uity
Indu
stry
to e
valu
ate
the
perfo
rman
ce o
f a P
rivat
e Eq
uity
Fun
d ag
ains
t a p
ublic
ben
chm
ark
or in
dex.
R-S
quar
ed
- The
per
cent
age
of a
por
tfolio
's p
erfo
rman
ce th
at c
an b
e ex
plai
ned
by th
e be
havi
or o
f the
app
ropr
iate
ben
chm
ark.
A h
igh
R-S
quar
ed m
eans
the
portf
olio
's p
erfo
rman
ce h
as
hist
oric
ally
mov
ed in
the
sam
e di
rect
ion
as th
e ap
prop
riate
ben
chm
ark.
Ret
urn
- Com
poun
ded
rate
of r
etur
n fo
r the
per
iod.
Shar
pe R
atio
- R
epre
sent
s th
e ex
cess
rate
of r
etur
n ov
er th
e ris
k fre
e re
turn
div
ided
by
the
stan
dard
dev
iatio
n of
the
exce
ss re
turn
. The
resu
lt is
an
abso
lute
rate
of r
etur
n pe
r uni
t of r
isk.
A
high
er v
alue
dem
onst
rate
s be
tter h
isto
rical
risk
-adj
uste
d pe
rform
ance
.
Stan
dard
Dev
iatio
n - A
sta
tistic
al m
easu
re o
f the
rang
e of
a p
ortfo
lio's
per
form
ance
. It r
epre
sent
s th
e va
riabi
lity
of re
turn
s ar
ound
the
aver
age
retu
rn o
ver a
spe
cifie
d tim
e pe
riod.
Tota
l Val
ue t o
Pai
d In
(TVP
I) - T
he ra
tio o
f the
cur
rent
val
ue o
f rem
aini
ng in
vest
men
ts w
ithin
a fu
nd, p
lus
the
tota
l val
ue o
f all
dist
ribut
ions
to d
ate,
rela
tive
to th
e to
tal a
mou
nt o
f cap
ital p
aid
into
the
fund
to
dat
e. I
t is
a go
od m
easu
re o
f per
form
ance
bef
ore
the
end
of a
fund
’s li
fe
Trac
king
Err
or
- Thi
s is
a m
easu
re o
f the
sta
ndar
d de
viat
ion
of a
por
tfolio
's re
turn
s in
rela
tion
to th
e pe
rform
ance
of i
ts d
esig
nate
d m
arke
t ben
chm
ark.
Trey
nor R
atio
- Sim
ilar t
o Sh
arpe
ratio
but
util
izes
bet
a ra
ther
than
exc
ess
risk
as d
eter
min
ed b
y st
anda
rd d
evia
tion.
It is
cal
cula
ted
by ta
king
the
exce
ss ra
te o
f ret
urn
abov
e th
e ris
k fre
e ra
te d
ivid
ed b
y be
ta to
der
ive
the
abso
lute
rate
of r
etur
n pe
r uni
t of r
isk.
A h
ighe
r val
ue in
dica
tes
a pr
oduc
t has
ach
ieve
d be
tter h
isto
rical
risk
-adj
uste
d pe
rform
ance
.
Up
Mar
ket C
aptu
re
- The
ratio
of a
vera
ge p
ortfo
lio p
erfo
rman
ce o
ver t
he d
esig
nate
d be
nchm
ark
durin
g pe
riods
of p
ositi
ve re
turn
s. A
hig
her v
alue
indi
cate
s be
tter p
rodu
ct p
erfo
rman
ce.
95
Dis
clos
ures
AndC
o co
mpi
led
this
repo
rt fo
r the
sol
e us
e of
the
clie
nt fo
r whi
ch it
was
pre
pare
d. A
ndC
o is
resp
onsi
ble
for e
valu
atin
g th
e pe
rform
ance
resu
lts o
f the
Tot
al F
und
alon
g w
ith th
e in
vest
men
t adv
isor
s by
com
parin
g th
eir p
erfo
rman
ce w
ith in
dice
s an
d ot
her r
elat
ed p
eer u
nive
rse
data
that
is d
eem
ed a
ppro
pria
te.
AndC
o us
es th
e re
sults
from
this
eva
luat
ion
to m
ake
obse
rvat
ions
and
reco
mm
enda
tions
to th
e cl
ient
.
AndC
o us
es ti
me-
wei
ghte
d ca
lcul
atio
ns w
hich
are
foun
ded
on s
tand
ards
reco
mm
ende
d by
the
CFA
Inst
itute
. Th
e ca
lcul
atio
ns a
nd v
alue
s sh
own
are
base
d on
info
rmat
ion
that
is re
ceiv
ed fr
om c
usto
dian
s. A
ndC
o an
alyz
es tr
ansa
ctio
ns a
s in
dica
ted
on th
e cu
stod
ian
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emen
ts a
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view
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e cu
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ial m
arke
t val
ues
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e po
rtfol
io.
As a
resu
lt, th
is p
rovi
des
AndC
o w
ith a
reas
onab
le b
asis
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inve
stm
ent i
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ente
d is
free
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mat
eria
l mis
stat
emen
t. T
his
met
hodo
logy
of e
valu
atin
g an
d m
easu
ring
perfo
rman
ce p
rovi
des
AndC
o w
ith a
pra
ctic
al fo
unda
tion
for o
ur o
bser
vatio
ns a
nd re
com
men
datio
ns.
Not
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r atte
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ould
cau
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ieve
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dian
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ent f
und
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inis
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ourc
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elie
ved
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liabl
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hile
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urce
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lieve
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relia
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ovid
ers
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onsi
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asse
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suita
ble
for a
ll in
vest
ors.
We
belie
ve th
e in
form
atio
n pr
ovid
ed h
ere
is re
liabl
e, b
ut d
o no
t war
rant
its
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racy
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ompl
eten
ess.
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t per
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uriti
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tmen
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adve
rtise
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ilore
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son,
ent
ity o
r gro
up o
f per
sons
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retu
rns
or p
erfo
rman
ce
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ided
with
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ny d
ocum
ent i
s pr
ovid
ed fo
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stra
tive
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oses
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y an
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ot d
emon
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te a
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y M
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Inc.
Cop
yrig
ht M
SCI,
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. U
npub
lishe
d. A
ll R
ight
s R
eser
ved.
Thi
s in
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atio
n m
ay o
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sed
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our i
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nal u
se, m
ay n
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e re
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uced
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ssem
inat
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reat
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anci
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men
ts o
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ces.
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ay m
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elat
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ll w
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ccur
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ines
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on-in
fring
emen
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erch
anta
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spec
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rmat
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W
ithou
t lim
iting
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he fo
rego
ing,
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ent s
hall
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y of
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affil
iate
s or
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oth
er p
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n in
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elat
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irect
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entia
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ng, w
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t lim
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st p
rofit
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d of
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ight
oth
erw
ise
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sibi
lity
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uch
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umen
t may
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ovid
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y R
usse
ll In
vest
men
t Gro
up.
Rus
sell
Inve
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ent G
roup
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e so
urce
ow
ner o
f the
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a co
ntai
ned
or re
flect
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eria
l and
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mar
ks a
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opyr
ight
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late
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eret
o. T
he m
ater
ial m
ay c
onta
in c
onfid
entia
l inf
orm
atio
n an
d un
auth
oriz
ed u
se, d
iscl
osur
e, c
opyi
ng, d
isse
min
atio
n or
redi
strib
utio
n is
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ctly
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hibi
ted.
Thi
s is
a u
ser p
rese
ntat
ion
of th
e da
ta.
Rus
sell
Inve
stm
ent
Gro
up is
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resp
onsi
ble
for t
he fo
rmat
ting
or c
onfig
urat
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is m
ater
ial o
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atio
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f.
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umen
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ngst
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ight
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Use
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ent r
equi
res
expe
rt kn
owle
dge.
It i
s to
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ialis
t ins
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ions
onl
y. T
he in
form
atio
n co
ntai
ned
here
in: (
1) is
pr
oprie
tary
to M
orni
ngst
ar a
nd/o
r its
con
tent
pro
vide
rs; (
2) m
ay n
ot b
e co
pied
, ada
pted
or d
istri
bute
d; a
nd (3
) is
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arra
nted
to b
e ac
cura
te, c
ompl
ete
or ti
mel
y. N
eith
er M
orni
ngst
ar n
or it
s co
nten
t pro
vide
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onsi
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es o
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you
r jur
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ast f
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96
97
Manager Status Re
port
as of Feb
ruary 28
, 201
6
Manager
Mandate
Strategy
AUM
% of
Portfolio
Curren
t Status
Reason
for S
tatus
Change
Status Change
Effective Da
teDa
te of Last
Review
Date of N
ext
Review
Expe
ctations
Wellington
Domestic
Equity
Mid Cap
515,81
7,18
13.43
%On Alert
Person
nel Change
Janu
ary 20
16De
cembe
r 20
16June
201
7Maintain continuity of m
anagem
ent
practices and
results
Advisory Research, Inc
International
Equity
Small Cap
186,26
8,33
71.24
%On Alert
Person
nel Change
March 201
6De
cembe
r 20
16June
201
7Maintain continuity of m
anagem
ent
practices and
results
All other m
anagers c
urrently ra
ted In Com
pliance
98
M E M O R A N D U M
TO: OTRS Board of Trustees
FROM: Doug Anderson and Kirk Stebbins
DATE: March 21, 2017
RE: Strategic Asset Allocation Recommendation Revisions
This jointly prepared memo will provide an update to the memo originally prepared for the February 22, 2017 meeting of the Investment Committee. This updated summary of the findings of overlapping studies of the asset allocation of the OTRS investment portfolio reflects adjustments to the asset allocation discussed at the February meeting. The main adjustment to the proposed strategic asset allocation presented at the February meeting was a lowering of the targeted MLP allocation from 7% to 5%. For purposes of context and continuity, portions of the February memo are repeated in this memo.
Purpose An asset allocation study was prompted last year when the Board elected to reduce the System’s return assumption from 8.0% to 7.5%. The asset allocation study’s goal was an assessment of the portfolio’s structure, in the current market, and its ability to provide adequate returns while assuming reasonable risk.
Process The study represents an iterative collaborative effort between Staff and Consultant. Two models, (mean/variance optimization and Sortino downside risk) were used to assess potential portfolios under different risk/return regimes and theoretical frameworks. Staff and Consultant are in full agreement that the models provided the same general conclusions regarding asset allocation.
Findings The current target asset allocation is sufficient to accomplish the 7.5% return assumption. The modified proposed allocation, however, has a slightly better risk adjusted return. The proposed allocation shifts a modest amount of domestic equity exposure to international equity while shifting a portion of MLP exposure to real estate. We believe both asset categories are attractive in today’s market environment. However, we view the changes as diversification rather than market timing. The proposed changes to the current strategic asset allocation are shown in the table below.
Asset Class Current Change Proposed U.S. Equities 40.0% -1.5% 38.5% International Equities 17.5% +1.5% 19.0% Fixed Income 23.5% 23.5% Real Estate 7.0% +2.0% 9.0% Master Limited Partnerships 7.0% -2.0% 5.0% Private Equity 5.0% 5.0% Cash 0% 0%
99
Should the proposed strategic asset allocation be adopted, the rebalancing rules in the Investment Policy Statement would be as shown in the table below.
Minimum Low
Rebalance Point
Target High
Rebalance Point
Maximum
U.S. Equity 32.5% 35.5% 38.5% 41.5% 44.5%
International Equity 14.0% 16.5% 19.0% 21.5% 24.0%
Fixed Income 18.5% 21.0% 23.5% 26.0% 28.5%
Real Estate 6.5% 7.8% 9.0% 10.3% 11.5%
Master Limited Partnerships 3.5% 4.3% 5.0% 5.8% 6.5%
Private Equity 3.5% 4.3% 5.0% 5.8% 6.5%
The key risk and return estimate comparisons between the Current and Proposed allocations are shown in the table below.
Performance Metric Current Policy Change Proposed
Expected Return (Sortino) 8.80% +0.16% 8.96% Expected Return (MVO) 6.98% - 6.98% Expected Risk (MVO) 11.50% -0.16% 11.34% Expected Risk (Sortino) 12.00% +0.28% 12.28% Sortino Ratio 11.25 +0.62 11.87 99th %ile return -26.4% -1.5% -27.9% Sharpe Ratio 0.39 0.01 0.40
The changes required to implement a move to the proposed allocation would be relatively modest as few asset classes are affected. Recent gains from the domestic equity portfolio could be harvested to reinvest in international equity. The increase in real estate would be met over time as capital is called by scaling investments in new funds of current general partners to leverage those relationships and if necessary potentially new partnerships. Small adjustments to the investment policy statement would codify any changes made to the target asset allocation.
Once the strategic asset allocation has been adopted we recommend proceeding to address the asset class structure decisions for U.S. Equities and Fixed Income. Concurrent analysis of U.S. Equities indicates the benefit of changing the existing structure while no firm conclusions have been drawn with regard to changing the existing Fixed Income structure. No changes to the underlying structure of the other asset classes are anticipated at this time.
100
Asse
t Cla
sses
Expe
cted
R
etur
nEx
pect
ed
Ris
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6.5%
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US
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ty
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ty
32.5
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14.0
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Mea
n Va
rianc
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rtfo
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ptim
izat
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With
Con
stra
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Ret
urn
And
Ris
k As
sum
ptio
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orre
latio
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sum
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ns
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y C
onst
rain
ts
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d In
com
e18
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%US Lg Cap
US Mid Cap
US Sm
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HY Fx Inc
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Core Rl Est
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dd Rl Est
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Expected Return
Expe
cted
Risk ‐Stand
ard Deviatio
n
Policy Co
nstraine
d Efficient Frontier w
ith Asset Classes
Efficient Frontier
Assets
101
0%10%
20%
30%
40%
50%
60%
70%
80%
90%
100%
Market*
Curren
t Policy
Prop
osed
Same Risk
Same Re
turn
Allocation %
Selected
Asset Allo
catio
ns fo
r Review
Pvt E
q
Intl Sm
Cap
Intl Lg Cap
US Sm
Cap
US Mid Cap
US Lg Cap
Val A
dd Rl Est
Core Rl Est
MLP
Pvt D
ebt
HY Fx Inc
Long
UST
Core Fx Inc
7.03%
11.74%
0.39
Expe
cted
Return
Expe
cted
Risk
Sharpe
Ratio
6.98%
11.34%
0.40
7.47
%
11.50%
0.43
6.98
%
10.02%
0.45
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%
11.50%
0.39
*Market v
alue as o
f 3‐10‐20
17
102
Mar
ket*
Cur
rent
Pol
icy
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pose
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atio
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Sele
cted
Allo
catio
ns fo
r Rev
iew
Market*
Curren
t Policy
Prop
osed
Same Risk
Same Re
t
5.50
%
6.00
%
6.50
%
7.00
%
7.50
%
8.00
%
8.50
% 7.00
%8.00
%9.00
%10.00%
11.00%
12.00%
13.00%
14.00%
15.00%
16.00%
Expected Return
Expe
cted
Risk ‐Stand
ard Deviatio
n
Policy Co
nstraine
d Efficient Frontier w
ith Portfolios
Efficient Frontier
Portfolios
*Market value
as o
f 3‐10‐2017
103
Accoun
tsMarket V
alue
and
Accr
%Allocatio
nTarget Allo
catio
nMin % Allo
catio
nMax % Allo
catio
nU.S. Equ
ity$6
,369
,386
,471
.55
42.34%
38.5%
34.0%
46.0%
International Equ
ity$2
,483
,886
,525
.47
16.51%
19.0%
12.5%
22.5%
Fixed Income
$3,327
,226
,961
.65
22.12%
23.5%
18.5%
28.5%
Real Estate
$1,060
,994
,659
.07
7.05
%9.0%
5.0%
9.0%
Master Lim
ited Partne
rships
$978
,155
,988
.08
6.50
%5.0%
3.5%
6.5%
Private Equity
$794
,796
,257
.00
5.28
%5.0%
3.5%
6.5%
Cash and
Equ
ivalen
ts$3
0,11
5,01
5.79
0.20
%0.0%
0.0%
0.0%
Grand
Total
$15,04
4,56
1,87
8.61
100.00
%10
0.00
%
Accoun
ts$V
ariance to Target
%Va
riance to Target
Target M
kt Value
$ Be
low M
inMin $ Allo
catio
nMax $ Allo
catio
n$ Ab
ove Max
U.S. Equ
ity$5
77,230
,148
.29
3.84
%$5
,792
,156
,323
.26
$5,115
,151
,038
.73
$6,920
,498
,464
.16
International Equ
ity‐$37
4,58
0,23
1.47
‐2.49%
$2,858
,466
,756
.94
$1,880
,570
,234
.83
$3,385
,026
,422
.69
Fixed Income
‐$20
8,24
5,07
9.82
‐1.38%
$3,535
,472
,041
.47
$2,783
,243
,947
.54
$4,287
,700
,135
.40
Real Estate
‐$29
3,01
5,91
0.00
‐1.95%
$1,354
,010
,569
.07
$752
,228
,093
.93
$1,354
,010
,569
.07
Master Lim
ited Partne
rships
$225
,927
,894
.15
1.50
%$7
52,228
,093
.93
$526
,559
,665
.75
$977
,896
,522
.11
$259
,465
.97
Private Equity
$42,56
8,16
3.07
0.28
%$7
52,228
,093
.93
$526
,559
,665
.75
$977
,896
,522
.11
Cash and
Equ
ivalen
ts$3
0,11
5,01
5.79
0.20
%$0
.00
$0.00
$0.00
$30,11
5,01
5.79
Grand
Total
$0.00
0%$1
5,04
4,56
1,87
8.61
Investmen
t Portfolio as o
f March 16, 201
7Asset a
llocatio
n vs Policy Targets
104
Accounts Market Value Accruals Market Value and Accruals %Allocation*OTRS‐CUSTOM CASH FLOW‐SL
*OTRS‐CUSTOM CASH FLOW‐SL $30,105,268.84 $9,746.95 $30,115,015.79 0.20%*OTRS‐CUSTOM CASH FLOW‐SL Total $30,105,268.84 $9,746.95 $30,115,015.79 0.20%Core Plus Fixed Income
OTRS‐HOISINGTON INVESTMENT $315,069,963.93 $1,542,690.06 $316,612,653.99 2.10%OTRS‐LOOMIS SAYLES CORE PLUS $645,452,867.88 $4,372,670.99 $649,825,538.87 4.32%OTRS‐LORD ABBETT CORE PLUS $641,730,191.69 $3,851,376.38 $645,581,568.07 4.29%OTRS‐MACKAY SHIELDS CORE PLUS $623,954,977.16 $5,441,267.01 $629,396,244.17 4.18%
Core Plus Fixed Income Total $2,226,208,000.66 $15,208,004.44 $2,241,416,005.10 14.90%Domestic All Cap Equity
OTRS‐EPOCH INVESTMENTS $16,891.18 $4.50 $16,895.68 0.00%Domestic All Cap Equity Total $16,891.18 $4.50 $16,895.68 0.00%Domestic Large Cap Equity
OTRS‐HOTCHKIS & WILEY LG CAP $628,613,549.45 $1,369,579.02 $629,983,128.47 4.19%OTRS‐NORTHERN TRUST S&P 500 $878,700,678.03 $1,237,747.28 $879,938,425.31 5.85%OTRS‐SAWGRASS LG CAP $601,107,523.23 $562,703.39 $601,670,226.62 4.00%OTRS‐SSGA S&P EQUAL WEIGHT $233,929,946.33 $376,446.42 $234,306,392.75 1.56%
Domestic Large Cap Equity Total $2,342,351,697.04 $3,546,476.11 $2,345,898,173.15 15.59%Domestic Mid Cap Equity
OTRS‐ARONSON, JOHNSON & ORTIZ $590,924,142.35 $734,806.43 $591,658,948.78 3.93%OTRS‐FRONTIER MID CAP $557,156,636.13 $350,590.14 $557,507,226.27 3.71%OTRS‐HOTCHKIS & WILEY MID CAP $575,647,342.56 $706,751.00 $576,354,093.56 3.83%OTRS‐WELLINGTON MID CAP $523,516,699.80 $249,418.74 $523,766,118.54 3.48%
Domestic Mid Cap Equity Total $2,247,244,820.84 $2,041,566.31 $2,249,286,387.15 14.95%Domestic Small Cap Equity
OTRS‐COVE STREET $125,497,681.80 $66,204.06 $125,563,885.86 0.83%OTRS‐FRONTIER CAP SMALL CAP $209,362,493.78 $264,085.39 $209,626,579.17 1.39%OTRS‐GENEVA CAPITAL $255,758,289.18 $100,949.72 $255,859,238.90 1.70%OTRS‐NEUMEIER POMA SMALL CAP $158,587,354.10 $84,739.53 $158,672,093.63 1.05%OTRS‐SHAPIRO CAP SMALL CAP $786,075,657.78 $253,348.64 $786,329,006.42 5.23%OTRS‐WASATCH ADV SMALL CAP $238,077,937.63 $56,273.96 $238,134,211.59 1.58%
Domestic Small Cap Equity Total $1,773,359,414.27 $825,601.30 $1,774,185,015.57 11.79%High‐Yield Fixed Income
OTRS‐LOOMIS SAYLES HIGH YIELD $279,498,417.56 $3,475,633.13 $282,974,050.69 1.88%OTRS‐LORD ABBETT HIGH YIELD $297,593,624.38 $4,620,571.62 $302,214,196.00 2.01%OTRS‐MACKAY SHIELDS HIGH YIELD $293,745,054.77 $4,345,316.40 $298,090,371.17 1.98%
High‐Yield Fixed Income Total $870,837,096.71 $12,441,521.15 $883,278,617.86 5.87%International Lg Cap Equity
OTRS‐CAUSEWAY CAPITAL $362,924,018.34 $2,974,104.95 $365,898,123.29 2.43%OTRS‐NORTHERN TRUST INTL $10,264.86 $0.00 $10,264.86 0.00%OTRS‐WELLINGTON INTLGR EQ $360,582,871.49 $977,906.31 $361,560,777.80 2.40%OTRS‐ALLIANZ INTL EQ $777,944,605.54 $5,961,920.61 $783,906,526.15 5.21%
International Lg Cap Equity Total $1,501,461,760.23 $9,913,931.87 $1,511,375,692.10 10.05%International Sm Cap Equity
OTRS‐ADVISORY RESEARCH INTL $187,627,267.69 $1,145,630.04 $188,772,897.73 1.25%OTRS‐EPOCH INTL $193,461,070.32 $600,892.01 $194,061,962.33 1.29%OTRS‐WASATCH INTL $200,634,533.50 $372,157.89 $201,006,691.39 1.34%OTRS‐WELLINGTON INTL $204,680,743.55 $470,563.69 $205,151,307.24 1.36%OTRS‐SSGA EMSC $183,517,922.67 $52.01 $183,517,974.68 1.22%
International Sm Cap Equity Total $969,921,537.73 $2,589,295.64 $972,510,833.37 6.46%Master Limited Partnerships
OTRS‐ADVISORY RESEARCH $222,823,735.71 $3,426.79 $222,827,162.50 1.48%OTRS‐CHICKASAW CAPITAL $381,033,765.52 $557,785.38 $381,591,550.90 2.54%OTRS‐CUSHING ASSET $373,321,621.13 $415,653.55 $373,737,274.68 2.48%
Master Limited Partnerships Total $977,179,122.36 $976,865.72 $978,155,988.08 6.50%Opportunistic
*OTRS‐PIMCO BRAVO II‐SL $164,307,955.00 $0.00 $164,307,955.00 1.09%*OTRS‐PIMCO BRAVO‐SL $7,395,580.00 $0.00 $7,395,580.00 0.05%*OTRS‐PIMCO COF II ‐SL $13,328,767.06 $36.63 $13,328,803.69 0.09%*OTRS‐PIMCO BRAVO III ‐SL $17,500,000.00 $0.00 $17,500,000.00 0.12%
Opportunistic Total $202,532,302.06 $36.63 $202,532,338.69 1.35%Private Equity
*OTRS‐LEGACY LP‐SL $36,336,245.00 $0.00 $36,336,245.00 0.24%OTRS‐FRANKLIN PARK‐SL $758,460,012.00 $0.00 $758,460,012.00 5.04%
Private Equity Total $794,796,257.00 $0.00 $794,796,257.00 5.28%Real Estate
*OTRS‐AEW REAL ESTATE‐SL $268,600,366.26 $0.00 $268,600,366.26 1.79%*OTRS‐AMERICAN REALTY ADV‐SL $33,554,322.45 $0.00 $33,554,322.45 0.22%*OTRS‐ANTHEUS CAPITAL‐SL $45,952,581.00 $0.00 $45,952,581.00 0.31%*OTRS‐DUNE REAL ESTATE‐SL $42,698,797.00 $0.00 $42,698,797.00 0.28%*OTRS‐GREENOAK REAL ESTATE‐SL $34,795,796.00 $0.00 $34,795,796.00 0.23%*OTRS‐HEITMAN REAL ESTATE‐SL $281,745,067.01 $0.00 $281,745,067.01 1.87%*OTRS‐L&B GOLDEN DRILLER‐SL $48,957,032.00 $0.00 $48,957,032.00 0.33%*OTRS‐L&B REAL ESTATE‐SL $253,810,134.35 $0.00 $253,810,134.35 1.69%*OTRS‐LANDMARK REALTY ADV‐SL $18,117,438.00 $0.00 $18,117,438.00 0.12%*OTRS‐STARWOOD CAPITAL‐SL $32,763,125.00 $0.00 $32,763,125.00 0.22%
Real Estate Total $1,060,994,659.07 $0.00 $1,060,994,659.07 7.05%Grand Total $14,997,008,827.99 $47,553,050.62 $15,044,561,878.61 100.00%
Investment Portfolio as of March 16, 2017Allocation by Investment Account and Asset Class
105
Firms Market Value and Accruals %Allocation # FirmsHOTCHKIS & WILEY $1,206,337,222.03 8.02%WELLINGTON $1,090,478,203.58 7.25%LORD ABBETT $947,795,764.07 6.30%LOOMIS SAYLES $932,799,589.56 6.20%MACKAY SHIELDS $927,486,615.34 6.16%NORTHERN TRUST $910,063,705.96 6.05%FRANKLIN PARK $794,796,257.00 5.28%SHAPIRO CAP $786,329,006.42 5.23%ALLIANZ $783,906,526.15 5.21%FRONTIER $767,133,805.44 5.10%SAWGRASS $601,670,226.62 4.00%ARONSON, JOHNSON & ORTIZ $591,658,948.78 3.93%WASATCH $439,140,902.98 2.92%SSGA $417,824,367.43 2.78%ADVISORY RESEARCH $411,600,060.23 2.74%CHICKASAW CAPITAL $381,591,550.90 2.54%CUSHING ASSET $373,737,274.68 2.48%CAUSEWAY CAPITAL $365,898,123.29 2.43%HOISINGTON INVESTMENT $316,612,653.99 2.10%L&B REAL ESTATE $302,767,166.35 2.01%HEITMAN REAL ESTATE $281,745,067.01 1.87%AEW REAL ESTATE $268,600,366.26 1.79%GENEVA CAPITAL $255,859,238.90 1.70%PIMCO $202,532,338.69 1.35%EPOCH INVESTMENTS $194,078,858.01 1.29%NEUMEIER POMA $158,672,093.63 1.05%COVE STREET $125,563,885.86 0.83%ANTHEUS CAPITAL $45,952,581.00 0.31%DUNE REAL ESTATE $42,698,797.00 0.28%GREENOAK REAL ESTATE $34,795,796.00 0.23%AMERICAN REALTY ADV $33,554,322.45 0.22%STARWOOD CAPITAL $32,763,125.00 0.22%LANDMARK REALTY ADV $18,117,438.00 0.12%Grand Total $15,044,561,878.61 100.00% 33
Investment Portfolio as of March 16, 2017Allocation by Investment Management Firm
106