emerging markets systematic equity · research credit analysis 39 derivatives 4 esg research 7...

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Emerging Markets Systematic Equity

Wellington Management Company LLP

Water & Power Employees’ Retirement Plan

22 May 2019Michael P. McElroy, CFA Managing Director and Investment Director, Equity Product Management Charles C. Ruch, CFA Managing Director and Relationship Manager

Copyright © 2017 All Rights Reserved2001070596/451746_0/451746/451746A

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Representing Wellington ManagementTitle Line 2

Michael P. McElroy, CFAManaging Director and Investment Director, Equity Product Management

Mike works closely with investors to help ensure the integrity of their investment approach. This includes meeting with the team on a regular basis and providing oversight of portfolio positioning, performance, and risk exposures, as well as managing business issues such as capacity, fees, and guidelines.

Prior to joining Wellington Management in 2013, Mike worked at Batterymarch Financial Management, where he was senior portfolio manager and head of global equities.

Mike received both an MS in management and an MS in transportation planning from the Massachusetts Institute of Technology (1992), and a BS in applied mathematics from the Massachusetts Institute of Technology (1987). In addition, he holds the Chartered Financial Analyst designation.

Charles C. Ruch, CFAManaging Director and Relationship Manager

Charlie works with clients in the western US, including endowments, foundations, public funds, and corporate pension plans. Charlie is responsible for assisting clients with long-term investment strategy and policy issues, evaluating portfolio risks and performance, and meeting with clients to discuss investment- and business-related issues on a regular basis.

Charlie joined Wellington Management in 2006 as a portfolio communications manager, covering specific investment products and assisting with investment-related communications to clients. Prior to joining Wellington Management, he was a research associate at Oppenheimer & Co.

Charlie graduated from Harvard Business School with an MBA (2005). He earned his BA in history and science from Harvard University (1997) and was a DAAD fellow at the Technische Universität München in Germany (1998). Additionally, Charlie holds the Chartered Financial Analyst designation.

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A trusted advisor and strategic partner to clients worldwideTitle Line 2

As of 31 March 2019 | 1E�ective as of 1 January 2019

BY THE NUMBERS

Business

USD 1,072 billion of client assetsunder management

2,200+ clients

60+ countries in which clients are based

People and portfolios

806 investment professionals

17 years of experience, on average

168 partners all active at the firm1

Heritage: key dates

1928 Wellington Fund – the firstUS balanced fund

1979 Establishment of ourprivate partnership

1994 Our first long – shortstrategy

2014 Our first dedicated privateequity strategy

2015 Global Impact: Our first diversified impact investing strategy in public equities

OWNERSHIP MODEL

Long-term perspective of a private partnership structure

Attract and retaininvestment talent

Independent: No public shareholders, no outside capital

Interests aligned with clients

BUSINESS MODEL

Singular focus oninvestment management

Diversi�cation by asset class, geography, and client type

Research for clientbene�t only

Commitment to bringing the right resources to each client

INVESTMENT MODEL

Comprehensive capabilities

Rigorous proprietary research

Career analysts

Global resources

Empowered portfolio teams

CULTURE

Open, collaborative

Performance driven

Professional/collegial

High standards, ethics,and integrity

Global diversity and inclusion

Contributors to �rm

sustainability

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Copyright © 2019 All Rights Reserved

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Depth, experience, and continuity create interpretation advantageTitle Line 2

2000003966/504341_0/G1039/G1039

As of 31 March 2019

Investors draw on rigorous, proprietary research

We conduct research through fundamental; environmental,social, and corporate governance (ESG); quantitative; macro; and technical lenses

Avg years of professional experienceAvg years with Wellington Management

Total numberof investmentprofessionals: 806

Research Credit Analysis 39Derivatives 4

ESG Research 7Global Industry Analysis 51

Macroanalysis 17Quantitative Analysis 32Research Associates 61

Technical Analysis 2

Equities Portfolio Management 60Research Analysis 69

Investment Products & Strategies 48Portfolio Analysis 14

Fixed Income Portfolio Management 63Strategy 4

Quantitative Analysis 16Investment Products & Strategies 46

Portfolio Analysis 31

Multi-Strategy Portfolio Management 26Research Analysis 29

Investment Products & Strategies 15Portfolio Analysis 4

Alternatives Commodities 3Currency 1

Investment Products & Strategies 25

Additional resources Investment Products & Strategies 13

Trading 63

Management 63

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Representative client listTitle Line 2

As of 31 March 2019 | Clients included on the list above were selected based on client type, account size, and/or other nonperformance-based criteria to show a list of representative clients. This list does not represent an endorsement of the firm or its services.

Corporate Retirement Plans

AbbVie Inc.Afore BanamexAir CanadaAmerican Electric Power SystemBT Pension SchemeCanadian PacificCanada Post Pension PlanCargill, Inc.CoINVEST LimitedDow ChemicalGeneral MillsGraymont, Inc.Hallmark Cards, Inc.International Paper CompanyITV Pension SchemeLaerernes PensionMedtronic, Inc.Merck & CompanyMKS InstrumentsMolson Coors Brewing CompanyNorthrop Grumman CorporationPG&E CorporationRoll GroupRoyal Bank of CanadaSiemens CorporationSPF BeheerTELUSTextron, Inc.TransCanada PipeLinesUnited Technologies Corporation

Insurance (general account assets)

Assured Guaranty Corp.HiscoxMortgage Guaranty Insurance CorporationUHG

Endowments, Foundations, and Family Offices

Chicago Symphony OrchestraDiocese of PortlandJewish Foundation of Greater TorontoMassachusetts Institute of TechnologyMercy HealthRenaissance Charitable FoundationStanhope CapitalUniversity of KentuckyWespath Benefits and Investments

Public Sector, Sovereign, and Taft-Hartley

Alberta Teachers’ Retirement FundBritish Columbia Investment Management CorporationFlintshire County CouncilGovernment of BermudaHospital Authority Provident Fund SchemeMassachusetts Laborers’ Pension FundMississippi Public Employees Retirement SystemOhio Carpenters’ Pension FundOklahoma Teachers Retirement SystemOregon Laborers – Employers Pension Trust FundRetail Employees Superannuation TrustState of OregonTreasurer of the State of North Carolina

Subadvisory Relationships

GAMNikko Asset ManagementUOB Asset Management LtdVanguard

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Los Angeles Department of Water and PowerTitle Line 2Relationship review

Investment assignment Emerging Markets Systematic Equity

Portfolio inception 30 September 2016

Relationship team Charles Ruch, CFA; Stephen Crisan, CFA

31 March 2019 Market values

Employees’ Retirement Plan portfolio $327.7 million

Retiree Health Benefits Fund portfolio 54.5 million

EMSE – total strategy AUM 3.3 billion

Wellington – total firm AUM 1,072 billion

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Title Line 1Title Line 2Portfolio Management TeamEmerging Markets Systematic Equity

David J. Elliott, CFA, FRM Co-Director, Quantitative Investment Group Senior Managing Director BS, University of Massachusetts (Amherst) 30 years of professional experience 24 years with Wellington Management

Mark A. Yarger, CFA Quantitative AnalystManaging Director MBA, Babson College 30 years of professional experience 19 years with Wellington Management

Michael P. McElroy, CFA Investment DirectorManaging Director MS, Massachusetts Institute of Technology (Sloan) 32 years of professional experience 5 years with Wellington Management

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Title Line 1Title Line 2Quantitative Investment Group

Christopher R. Grohe, CFAMBA, Massachusetts Institute of Technology24 years experience

Feng PanBA, Duke University 2 years experience

Will Lee, CFA, CAIA, FRMMS, University of Chicago11 years experience

Michael P. McElroy, CFAMS, Massachusetts Institute of Technology32 years experience

Yasick Nemenov BA, Williams College 2 years experience

Mark A. Yarger, CFAMBA, Babson College30 years experience

Andy D. GossardMBA, Massachusetts Institute of Technology13 years experience

Neeraj Kumar, CFA BS, Harcourt Butler Technical University 23 years experience

Ryan StuntzBS, Massachusetts Institute of Technology 1 year experience

Yang Du, PhDPhD, Northeastern University9 years experience

Donald S. TunnellMBA, University of Chicago31 years experience

William Rubens, PhDPhD, Imperial College London 10 years experience

Sharon Gu, CFAMS, Cornell University9 years experience

Cheryl L. DavisMBA, Bentley University22 years experience

Owen Lamont, PhDPhD, Massachusetts Institute of Technology27 years experience

David Goddeau, PhDPhD, Massachusetts Institute of Technology37 years experience

Wei XuMS, Tsinghua University10 years experience

Gabby He, CFAMS, Massachusetts Institute of Technology6 years experience

Reza Shabani, PhDPhD, University of California, Berkeley 9 years experience

David J. Elliott, CFA, FRMBS, University of Massachusetts, Amherst 30 years experience

Gioia DominedoSM, Harvard University 14 years experience

AREAS OF FOCUS AND RESEARCHMulti-horizon Return Models

Risk Modeling

Transactions Cost Models

Multi-asset Modeling

Portfolio Management and Oversight

Research Infrastructure

Behavioral Finance

Alternative Data

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Emerging Markets Systematic Equity (EMSE)What role can EMSE play and what is our competitive advantage?

PAST RESULTS ARE NOT NECESSARILY INDICATIVE OF FUTURE RESULTS AND AN INVESTMENT CAN LOSE VALUE. Based on the net performance of the Emerging Markets Systematic Equity Composite since inception

on 30 September 2009. The inception date of the Wellington Emerging Markets Systematic Equity Fund is 23 November 2015. See performance pages

enclosed for full details

Why should clients consider EMSE? Employs a systematic approach to investing in emerging markets equities

Systematic approaches have historically been effective in emerging markets

Low alpha correlation with other emerging markets approaches

Consistent historical performance across a range of market environments

What is our competitive advantage? Contextual alpha model

Uses a proprietary framework to weight factors at the stock level based on company-specific indicators

Risk management

A holistic approach based on EM-specific risk drivers, which considers both historical and forward-looking indicators; enables portfolio risk to be focused on stock-specific drivers and allows for more responsive risk adjustments

Transaction cost management

EM costs average about twice those of developed markets; model integrates cost considerations into every trading decision

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Title Line 1Title Line 2Emerging Markets Systematic EquityInvestment philosophy, approach, and objective

Investment philosophy

We believe…

Certain stock-level factors are strongly associated with future relative performance

The use of multiple factors is important

Optimizing the opportunity set requires managing the returns, risks, and costs

Tools and techniques must constantly evolve to be successful

Approach and investment objective

We seek long-term results in excess of the MSCI Emerging Markets IMI Net Index. EMSE employs an integrated set of proprietary emerging markets alpha sources, a proprietary risk framework, and proprietary trading techniques which seek to minimize cost in pursuit of a consistent alpha orientation with attractive upside and downside capture.

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Title Line 1Title Line 2Collaboration: Systematic process benefits from fundamental insightsEmerging Markets Systematic Equity

Outcomes/ Model enhancements

Quality factor signals reconfigured for REITs

Contextual model differentiates stocks based on issuer characteristics and importance of specific factors

New insight drives quant research

REITs tend to rely on issuing new shares to fund their growth

A tech company behaves more like a utility, with stable cash flow and dividends

“ Good ideas are the lifeblood of research. Having access to a deep team of experts at Wellington Management helps shape our research agenda and improve our systematic process.” – Don Tunnell

Conventional view

Companies that issue shares typically underperform those that buy them back

All companies in a sector generally respond to the same pricing and behavioral dynamics

For illustrative purposes only.

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Title Line 1Title Line 2Emerging Markets Systematic EquityInvestment process

The characteristics presented are sought during the portfolio management process. Actual experience may not reflect all of these characteristics, or may be

outside of stated ranges. | QRM – proprietary quantitative risk model used in the process. | QE Model – proprietary quantitative equity model used in the

process.

3 proprietary models inform the optimizer

Optimizer maximizes return/risk subject to costs

Portfolio reflects optimal expected risk adjusted return after costs

Proprietary Quantitative Equity (QE) Models

Proprietary Risk Model (QRM)

Proprietary Transaction Cost Model

Alpha forecast

Risk forecast

Transaction cost prediction

Portfolio Optimization

EMSEportfolio

> 150 names, Sector/Country weights

±5% of index,Tracking risk 2 – 4%

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Title Line 1Title Line 2Emerging Markets Systematic EquityQuantitative Equity Model

Security evaluation – Diverse alpha sources


Fair value

Contextual Alpha ModelStocks classified along a spectrum of information uncertainty and assigned unique factor weights

Pure value

Management behavior

Earnings quality

Long-term momentum

Short-term momentum

Situations & events

QE Model forecasts

Short-Term ModelAims to predict relative performance of global equities, with a time horizon of 1 – 4 weeks

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Title Line 1Title Line 2Emerging Markets Systematic Equity Proprietary Quantitative Risk Model (QRM)

Specifically tuned to proprietary alpha engine

Sources: S&P, Wellington Management, third party risk model | Market data represents the S&P 500 Index. | Chart data: December 2000 – October 2017

Benefits

Improved risk prediction accuracy

Faster response to changes in risk regimes

Potential outcomes

More efficient alpha transfer from alignment with alpha model

Crowd avoidance via differentiated portfolio holdings

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20

40

60

80

Total risk prediction: Market predicted vs realized risk comparison (3-month windows) Standard deviation of returns (%)

Realized risk

Predicted risk (3rd party generic model)

Predicted risk (QRM)

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Title Line 1Title Line 2How we control transaction costsEmerging Markets Systematic Equity


Proprietary transaction cost modelIntegrates cost considerations into every trading decision

Tuned to our trading style

Incorporates country-specific fees, taxes, commissions, and stamp duties

Minimal-impact execution processPatient trade horizon/low liquidity consumption

Efficient execution by our Global Program trading desk

Transaction cost monitoringProprietary cost reporting tool delivers comprehensive cost analytics T+1

Visualization tools summarize execution patterns and allow drill-down into individual orders

Sample report

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Title Line 1Title Line 2Emerging Markets Systematic EquityPortfolio construction and risk controls

The characteristics presented are sought during the portfolio management process. Actual experience may not reflect all of these characteristics, or may be

outside of stated ranges.

Benchmark: MSCI Emerging Markets Index

Position size Number of holdings

Relative weight ±3% Number of holdings Typically > 150

Sector weights Other

Typically within ±5% of the MSCI Emerging Markets Index sector weight

Cash Typically < 5%

Derivatives To equitize cash

Country weights

Typically within ±5% of the MSCI Emerging Markets Index country weight

Regular portfolio and risk reviews by Product Management and Investment Review Group

Market cap size limitations

Within the range of the benchmark

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Los Angeles Dept of Water and PowerTitle Line 2Summary of guidelines

The portfolios have been in compliance with investment guidelines since the inception of the accounts (September 2016)• Benchmark:MSCIEmergingMarketsIMIND• Permittedinvestments:securitiesofnon-UScompaniesdoingbusinessinemergingmarkets,includingREITsanddepositaryreceipts;ETF’salsopermitted.

• Minimummarketcapitalizationforeligibleinvestments:$100million• 144Asecuritieswithoutregistrationrightslimitedto10%ofportfolio• Non-currencyderivativesarenotpermittedwithouttheconsentofthePlan• Currencyhedgingpermitted,upto25%ofportfoliovalue• Nogreaterthan7%investedinasingleissuer• Securitieswithgreaterthan10%ofoutstandingsharesheldbyWellingtonare

not permitted• Turnovernormallylessthan200%fortwelvemonthperiods• Trailingtwelvemonthprice-to-earningsnormallywithin±.5xrangeofbenchmark• Averagedividendyieldnormallywithin±.5xofbenchmark• Betanormallysimilartobenchmarkonarolling24-monthbasis

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Market OverviewTitle Line 2Update and Outlook

We believe the environment well-suited for systematic techniques

Quality theme was the strongest contributor

Value theme was flat for the quarter

Momentum theme detracted from performance

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% of months 48 42 32 57 35 35 43 57 52 52

% time O/P 55 68 47 56 52 62 58 59 52 61

% of months 52 58 68 43 65 65 57 43 48 48

% time O/P 65 54 66 65 64 59 62 62 69 59

Emerging Markets Systematic Equity CompositeGross performance in various market environments

Sources: Wellington Management, FactSet | The charts show the average monthly return of the Emerging Markets Systematic Equity Composite

during positive and negative environments for each factor. The specific factors were selected because they were deemed to be relevant to this approach. Not all

factors that exist are shown. | Please refer to the notes page for market environments for additional

information | PAST RESULTS ARE NOT NECESSARILY INDICATIVE OF FUTURE RESULTS AND AN INVESTMENT CAN LOSE VALUE.Gross performance results are net of commissions and other direct expenses, but before (gross of) advisory fees, custody charges, withholding taxes, and other

indirect expenses, and include reinvestment of dividends and other earnings. If all expenses were reflected, the performance shown would be lower.

Actual fees will vary depending on, among other things, the applicable fee schedule and account size. Composite returns have the potential to be adjusted

until reviewed and finalized 30 days following each calendar quarter end period. For use in one-on-one presentations only. Please refer to the Important

Disclosures page for additional information.

-10.0

0.0

10.0

20.0

Smallup

Lowgrowth

Valuedown

Lowvol

Contrarian Lowquality

EMdown

Fallingoil

Fallinggold

Fallingcommodities

0.0

10.0

20.0

30.0

Largeup

Highgrowth

Valueup

Highvol

Momentum Highquality

EMup

Risingoil

Risinggold

Risingcommodities

Average monthly active return (bps, USD), five years as of 31 December 2018

Average monthly active return (bps, USD), five years as of 31 December 2018

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Title Line 1Title Line 2Notes page for market environments

Large up/Small up: evaluated by using the Size factor returns from MSCI Barra’s Global Equity Model (GEM2L)

High growth/Low growth: evaluated by using the Growth factor returns from MSCI Barra’s Global Equity Model (GEM2L)

Value up/Value down: evaluated by using the Value factor returns from MSCI Barra’s Global Equity Model (GEM2L)

High vol/Low vol: evaluated by using the Volatility factor returns from Barra’s Global Equity Model (GEM2L)

Momentum/Contrarian: evaluated using the Momentum factor returns from Barra’s Global Equity Model (GEM2L)

High quality/Low quality: evaluated by comparing the returns of top quintile “quality” (i.e., several aggregated valuation metrics including debt-to-equity ratio, ROIC, earnings stability, dividend yield, dividend growth, and accruals over time) versus companies with bottom quintile “quality” within the MSCI World Index

EM up/EM down: evaluated using 1-month % total return of the MSCI Emerging Markets Index

Rising oil/Falling oil: evaluated using 1-month % change in NYMEX West Texas Intermediate spot price

Rising gold/Falling gold: evaluated using 1-month % change in COMEX spot price

Rising commodities/Falling commodities: evaluated using 1-month % change of the Goldman Sachs Commodity Index (GSCI)

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Title Line 1Title Line 2Emerging Markets Systematic Equity CompositeGross performance in various sector environments

Sources: Wellington Management, FactSet | Benchmark: MSCI Emerging Markets Index | The charts show the average monthly active return of the

Emerging Markets Systematic Equity Composite during leading and lagging environments for each

sector. | PAST RESULTS ARE NOT NECESSARILY INDICATIVE OF FUTURE RESULTS AND AN INVESTMENT CAN LOSE VALUE.Gross performance results are net of commissions and other direct expenses, but before (gross of) advisory fees, custody charges, withholding taxes, and other

indirect expenses, and include reinvestment of dividends and other earnings. If all expenses were reflected, the performance shown would be lower.

Actual fees will vary depending on, among other things, the applicable fee schedule and account size. Composite returns have the potential to be adjusted

until reviewed and finalized 30 days following each calendar quarter end period. For use in one-on-one presentations only. Please refer to the Important

Disclosures page for additional information.

% of months 53 53 47 52 48 65 37 58 52 58

% time O/P 53 53 64 61 55 59 64 54 71 57

% of months 47 47 53 48 52 35 63 42 48 42

% time O/P 68 68 56 59 65 62 58 68 48 64

-10.0

0.0

10.0

20.0

30.0

Consdiscretionary

Consstaples

Energy Financials Healthcare

Industrials Infotechnology

Materials Telecomsvcs

Utilities

-10.0

0.0

10.0

20.0

30.0

Consdiscretionary

Consstaples

Energy Financials Healthcare

Industrials Infotechnology

Materials Telecomsvcs

Utilities

Sectors leading the broad marketAverage monthly active return (bps, USD), five years as of 31 December 2018

Sectors lagging the broad marketAverage monthly active return (bps, USD), five years as of 31 December 2018

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Title Line 1Title Line 2Emerging Markets Systematic EquityInvestment returns

Inception date: 30 September 2016 | Sums may not total due to rounding. | Performance returns for

periods one year or less are not annualized. | PAST RESULTS ARE NOT NECESSARILY INDICATIVE OF FUTURE RESULTS AND AN INVESTMENT CAN LOSE VALUE.

As of 31 March 2019 (%, USD)

1Q19 1 yr

Since

inception

LA Water & Power Employees'

Retirement Plan (gross)

10.2 -7.9 10.0


Retirement Plan (net)

10.0 -8.5 9.3

MSCI Emerging Markets IMI Net 9.7 -8.0 8.2

Active return (net vs benchmark) 0.4 -0.4 1.1

YTD 2018 2017

30 Sep 2016 –

31 Dec 2016


Retirement Plan (gross)

10.2 -15.2 41.6 -4.1


Retirement Plan (net)

10.0 -15.7 40.8 -4.3

MSCI Emerging Markets IMI Net 9.7 -15.0 36.8 -4.4

Active return (net vs benchmark) 0.4 -0.6 4.0 0.2

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Title Line 1Title Line 2Emerging Markets Systematic EquityInvestment returns

Inception date: 30 September 2016 | Sums may not total due to rounding. | Performance returns for

periods one year or less are not annualized. | PAST RESULTS ARE NOT NECESSARILY INDICATIVE OF FUTURE RESULTS AND AN INVESTMENT CAN LOSE VALUE.

As of 31 March 2019 (%, USD)

1Q19 1 yr

Since

inception

Retiree Health Benefits Fund (gross)

10.2 -8.1 9.9

Retiree Health Benefits Fund

(net)

10.0 -8.6 9.3

MSCI Emerging Markets IMI Net 9.7 -8.0 8.2

Active return (net vs benchmark) 0.3 -0.6 1.1

YTD 2018 2017

30 Sep 2016 –

31 Dec 2016

Retiree Health Benefits Fund (gross) 10.2 -15.2 41.4 -4.2

Retiree Health Benefits Fund (net) 10.0 -15.6 40.7 -4.3

MSCI Emerging Markets IMI Net 9.7 -15.0 36.8 -4.4

Active return (net vs benchmark) 0.3 -0.6 3.8 0.2

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Title Line 1Title Line 2LA Water & Power Employees' Retirement Plan

Benchmark: MSCI Emerging Markets IMI Net. |

PAST RESULTS ARE NOT NECESSARILY INDICATIVE OF FUTURE RESULTS AND AN INVESTMENT CAN LOSE VALUE.

Performance review (USD): One year as of 31 March 2019

Portfolio: -7.9%; Benchmark: -8.0%

-100

-80

-60

-40

-20

0

20

40

60

80

100

120Sector attribution (bps) Sector allocation Security selection

-80

-60

-40

-20

0

20

40

60

China S Africa S Korea Brazil Mexico Turkey Indonesia India Thailand Russia

Country attribution (bps) Country allocation Security selection

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Title Line 1Title Line 2LA Water & Power Employees’ Retirement PlanPerformance review (USD): One year as of 31 March 2019


Benchmark: MSCI Emerging Markets IMI Net. | *Represents securities not held in the portfolio during

the period. | PAST RESULTS ARE NOT NECESSARILY INDICATIVE OF FUTURE RESULTS AND AN INVESTMENT CAN LOSE VALUE.

Company Sector Country End weight (%)

Period return (%)

Relative impact (bps)

Fila Korea Cons discretionary S Korea 0.9 142.2 39

Wal-Mart de Mexico Cons staples Mexico 1.2 9.2 29

Infosys Limited Info technology India 1.0 27.4 28

IRB Brasil Resseguro Financials Brazil 0.6 92.9 26

Radiant Opto-Electro Info technology Taiwan 0.8 41.2 25

Hon Hai Precision* Info technology Taiwan 0.0 -35.7 22

Banco do Brasil Financials Brazil 0.6 45.6 21

Anhui Conch Cement Materials China 1.1 15.6 18

China Telecom Comm svcs China 0.8 29.9 17

AMBEV* Cons staples Brazil 0.0 -38.5 17

Company Sector Country End weight (%)

Period return (%)

Relative impact (bps)

Beauty Community PCL Cons discretionary Thailand 0.0 -65.8 -40

Reliance Industries* Energy India 0.0 46.3 -32

LG Electronics Cons discretionary S Korea 0.0 -36.8 -30

Sberbank Russia Financials Russia 1.5 -38.0 -28

Reliance Infrastructure Utilities India 0.1 -69.2 -19

United Microelectronics Info technology Taiwan 0.0 -34.2 -18

Nanya Technology Info technology Taiwan 0.0 -48.1 -17

VakifBank Financials Turkey 0.1 -74.0 -16

PTT Global Chemical Materials Thailand 0.0 -25.8 -16

Vedanta Materials India 0.3 -33.9 -16

Top relative contributors

Top relative detractors

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Title Line 1Title Line 2LA Water & Power Employees’ Retirement PlanPerformance review (USD): One year as of 31 March 2019


Benchmark: MSCI Emerging Markets IMI Net | Source: Wellington Management Quantitative Investment Group | Data calculating cumulative allocation impact

of exposures to proprietary Quantitative Risk Model

(QRM) factors | PAST RESULTS ARE NOT NECESSARILY INDICATIVE OF FUTURE RESULTS AND AN INVESTMENT CAN LOSE VALUE.

-200 -150 -100 -50 0 50 100

Specific

Country

Currency

Region

Other (trading & costs)

Style

Industry

QE model

Quantitative Risk Model factor attribution, cumulative gross active return (bps)

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Title Line 1Title Line 2LA Water & Power Employees' Retirement PlanSector weights

Benchmark: MSCI Emerging Markets IMI.

0

5

10

15

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25

30

Info

technology

Financials Materials Utilities Real

estate

Cons

staples

Health

care

Comm

svcs

Industrials Energy Cons

discretionary

% of equity as of 31 March 2019

Overweight Underweight

Portfolio Benchmark

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Title Line 1Title Line 2LA Water & Power Employees' Retirement PlanCountry weights

Benchmark: MSCI Emerging Markets IMI. | Other represents additional countries held by the portfolio or benchmark.| The country/region data includes ETF

holdings which are classified based upon their country of domicile and do not reflect classifications of underlying holdings. ETFs may be held for a variety of

reasons, including but not limited to providing exposure to a specific country or to equitize cash.

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20

30

40

50

% of equity as of 31 March 2019

Overweight Underweight

Portfolio Benchmark

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Los Angeles Department of Water and PowerTitle Line 2Change in market value through 31 March 2019

Employees’ Retirement Plan portfolio ($ mil)

Retiree Health Benefits Fund portfolio ($ mil)

Initial funding (cash and in-kind transfers) – September 2016

265.4 44.2

Contributions – September 2016 to March 2019

0.6 0.1

Withdrawls – September 2016 to March 2019

-0.3 -0.1

Capital appreciation and income 62.0 10.3

Ending market value 327.7 54.5

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Title Line 1Title Line 2LA Water & Power Employees' Retirement PlanTop ten active positions

Benchmark: MSCI Emerging Markets IMI | Sums may not total due to rounding.

As of 31 March 2019

Company Industry Country % of equities

% of benchmark

Active position (%)

Alibaba Internet & direct mktg retail China 2.4 4.0 -1.5

Taiwan Semiconductor Semiconductors & semi equip Taiwan 1.9 3.3 -1.4

Tencent Interactive media & svcs China 3.1 4.4 -1.4

Agricultural Bank of China Banks China 1.5 0.2 1.3

China Construction Bank Banks China 0.1 1.4 -1.3

Grupo Financiero Banorte Banks Mexico 1.4 0.2 1.2

Wipro Limited IT svcs India 1.2 0.1 1.1

GAIL India Gas utilities India 1.1 0.1 1.1

Wal-Mart de Mexico Food & stpls retailing Mexico 1.3 0.2 1.0

Ping An Insurance Insurance China 0.0 1.0 -1.0

Total 14.0 14.9

Number of equity names: 238

-

_22 May 2019 A1 29


-

Title Line 1Title Line 2LA Water & Power Employees' Retirement PlanPortfolio characteristics

Benchmark: MSCI Emerging Markets IMI | Sums may not total due to rounding. | If access products are held by the portfolio they may not be included in the

calculation of characteristic data. Access products are instruments used to gain access to equity markets not otherwise available and may include (but are not

limited to) instruments such as warrants, total return swaps, p-notes, or zero strike options. Please refer to the Important Disclosures page for additional

information.

As of 31 March 2019

Portfolio Benchmark

Size

Asset-weighted market cap (USD, bil) 63.7 84.5

Over USD 50 bil (%) 24 32

USD 20 – 50 bil (%) 15 17

USD 10 – 20 bil (%) 19 16

USD 2 – 10 bil (%) 30 24

Under USD 2 bil (%) 12 10

Valuation

Projected EPS growth – median (5-yr, %) 8.0 11.9

Projected P/E – median (x) 9.2 11.3

P/E trailing ex negatives – median (x) 9.1 11.6

Price/book (x) 1.3 1.6

Yield (%) 3.0 2.4

ROE (1-yr, %) 17.4 17.1

Debt % of equity (%) 112.0 94.6

Risk

Projected beta – equity 0.99

Projected tracking risk (%) 2.24

Projected R² 0.98

-

_22 May 2019 A1 30


A

Los Angeles Dept of Water and PowerTitle Line 2Investment management fee schedule

On all assets• 57basispointsperannum

A

A22 May 2019 A1 31


-

Title Line 1Title Line 2Emerging Markets Systematic EquityKey considerations

Wellington Management uses quantitative investment models in the management of this investment strategy. All quantitative investment models have risks related to mistakes in coding software (e.g., software bugs) and inaccurate or stale data inputs. Because our quantitative investment models are complex, some of these issues may not be detected for a prolonged period before being corrected. In addition, quantitative investment models are susceptible to temporary disruptions due to technological failures (e.g., systems, communications or power outages). These risks may have a negative impact on the investment performance of this investment approach.

Wellington Management has adopted controls that we believe are reasonably designed to mitigate (but not eliminate) these risks. These controls include monitoring the quantitative investment model’s data inputs and results, the review and testing of systems changes made to the model, and the implementation of business continuity procedures.

-

_22 May 2019 A1 32


-

Title Line 1Title Line 2Important disclosures

Additional performance informationPast results are not necessarily indicative of future results. There can be no assurance nor should it be assumed that future investment performance of any strategy will conform to any performance

examples set forth in this material or that the portfolio’s underlying investments will be able to avoid losses. The investment results and any portfolio compositions set forth in this material are provided for

illustrative purposes only and may not be indicative of the future investment results or future portfolio composition. The composition, size of, and risks associated with an investment in the strategy may

differ substantially from the examples set forth in this material. An investment can lose value.

Impact of feesIllustration of impact of fees: If USD100,000 was invested and experienced a 10% annual return compounded monthly for ten years, its ending value, without giving effect to the deduction of advisory

fees, would be USD270,704 with an annualized compounded return of 10.47%. If an advisory fee of 0.95% of average net assets per year were deducted monthly for the ten-year period, the annualized

compounded return would be 9.43% and the ending USD value would be USD246,355. Information regarding the firm's advisory fees is available upon request.

Selection of representative accountThe current representative account became effective on 1 October 2009 because it was the only account at the time of selection. For data shown prior to the current representative account effective

date, data of the representative account(s) deemed appropriate for the time period was used. Further information regarding former representative accounts can be provided upon request. Each client

account is individually managed; individual holdings will vary for each account and there is no guarantee that a particular account will have the same characteristics as described. Actual results may vary

for each client due to specific client guidelines, holdings, and other factors. In limited circumstances, the designated representative account may have changed over time, for reasons including, but not

limited to, account termination, imposition of significant investment restrictions, or material asset size fluctuations.

Access productsIf access products are held by the portfolio they may not be included in the calculation of characteristic data. Access products are instruments used to gain access to equity markets not otherwise

available and may include (but are not limited to) instruments such as warrants, total return swaps, p-notes, or zero strike options.

Global Industry Classification Standard (GICS) changes S&P Dow Jones Indices and MSCI have broadened and renamed the Telecommunication Services Sector as Communication Services to include companies that facilitate communication and offer related

content and information through various media. These changes to Global Industry Classification Standard (GICS) are effective as of 1 October 2018 in the data shown. The new sector name applies

retroactively and therefore Communication Services will replace Telecommunications Services for all periods. Wellington Management data reflects changes in line with the official GICS update; however,

MSCI and S&P have elected to update their official index structures with different timing. Therefore, index data shown may differ from data obtained directly from the index vendors.

-

_22 May 2019 A1 33


Wellington Management Composite: Emerging Markets Systematic Equity Schedule of Performance Returns from 01 October 2009 to 31 December 2018

Page 1 of 2 EMEQUANTTOT ©2019 Wellington Management Company LLP. All rights reserved. Generated on: 15 February 2019

Period Gross Return (%)

Net Return (%)

Benchmark Return (%)

Number of Portfolios

Internal Dispersion (%)

Composite Mkt.Value (USD Mil)

Total Firm Assets (USD Mil)

2009 1 9.30 9.07 8.58 < 6 N/M 12 537,384 2010 22.09 21.08 19.20 < 6 N/M 26 633,922 2011 -14.96 -15.69 -18.17 < 6 N/M 21 651,496 2012 24.08 23.04 18.64 < 6 N/M 35 757,903 2013 1.16 0.31 -2.27 < 6 N/M 193 834,441 2014 -0.40 -1.24 -1.82 6 N/M 466 914,109 2015 -13.25 -14.00 -14.60 7 1.1 498 926,949 2016 11.88 10.98 11.60 9 0.7 886 979,210 2017 42.09 41.12 37.75 15 1.2 2,108 1,080,307 2018 -14.96 -15.56 -14.24 18 0.5 1,917 1,003,389

Benchmark: MSCI Emerging Markets 1 Returns reflect performance beginning 01 October 2009. Partial year returns are not annualized. N/M: For years where there are less than six portfolios throughout the performance period, Internal Dispersion is not meaningful. Composite Description: Portfolios included in the Emerging Markets Systematic Equity Composite seek to achieve consistent, long-term total returns in excess of the MSCI Emerging Markets Index by using quantitative stock selection within a risk-managed portfolio construction approach. Composite Creation Date: The composite creation date is August 2009. Composite Membership: All fully discretionary, fee paying portfolios are eligible for inclusion in the composite. Fee Schedule: Effective October 2016 the institutional separate account fee schedule for this product is: Market Value Annual Fee On the first US$50 million 0.70% On the next US$50 million 0.65 Over US$100 million 0.60 Benchmark Definition: MSCI Emerging Markets is a free float-adjusted market capitalization index that captures large and mid cap representation across Emerging Markets countries. Firm: For purposes of GIPS® compliance, the Firm is defined as all portfolios managed by Wellington Management Company LLP, an independently owned, SEC-registered investment adviser, as well as its affiliates (collectively, Wellington Management). Wellington Management provides investment advisory services to institutions around the world. GIPS®: Wellington Management claims compliance with the Global Investment Performance Standards (GIPS®) and has prepared and presented this report in compliance with the GIPS® standards. Wellington Management has been independently verified for the periods 1 January 1993 to 31 December 2017. The verification reports are available upon request. Verification assesses whether (1) the firm has complied with all the composite construction requirements of the GIPS® standards on a firm-wide basis and (2) the firm's policies and procedures are designed to calculate and present performance in compliance with the GIPS® standards. Performance Calculation: Gross performance results are net of trading expenses. Returns are gross of withholding taxes on dividends, interest and capital gains. Returns, market values, and assets are reported in USD except when otherwise noted. Returns, market values and assets reported in currencies other than USD are calculated by converting the USD monthly return and assets using the appropriate exchange rate (official 4:00 p.m. London closing spot rates). Policies for valuing portfolios, calculating performance, and preparing compliant presentations are available upon request. Net of fees performance reflects the deduction of the highest tier investment management fee ("model fee") that would be charged based on the fee schedule appropriate to you for this mandate, without the benefit of breakpoints and is calculated by subtracting 1/12th of the model fee from monthly gross composite returns. In certain instances Wellington Management may charge certain clients a fee in excess of the standard model fee, such as to legacy clients or clients receiving additional investment services. Performance net of model fees is intended to provide the most appropriate example of the impact management fees would have for you. Pool investors will experience costs in excess of investment management fees, such as operating expenses and custodial fees. These indirect costs are not reflected in the model fee, or net of fees performance. Internal Dispersion: The dispersion measure presented is the asset-weighted standard deviation. The asset-weighted standard deviation measures the dispersion of individual portfolio returns relative to the asset-weighted composite return. Only portfolios that have been included in the composite for the full period are included in the standard deviation calculation. Limitations imposed by client guidelines or by law on a portfolio's ability to invest in certain securities or instruments, such as IPO securities, and/or implementation of the firm's Trade Allocation Policies and Procedures, may cause the portfolio's performance to differ from that of the composite.

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_22 May 2019 A1 34


Wellington Management Composite: Emerging Markets Systematic Equity Schedule of Performance Returns from 01 October 2009 to 31 December 2018

Page 2 of 2 EMEQUANTTOT ©2019 Wellington Management Company LLP. All rights reserved. Generated on: 15 February 2019

External Dispersion: The dispersion measure presented is the three-year annualized ex-post standard deviation. It measures the variability of the composite and the benchmark(s) over the preceding 36-month period. For periods prior to 1 January 2011, the Firm was not required to present the three-year annualized ex-post standard deviation.

3-Year Standard Deviation (%) Year Composite Benchmark 2011 N/A* N/A* 2012 21.51 21.49 2013 19.29 19.03 2014 15.38 14.99 2015 14.39 14.04 2016 16.38 16.07 2017 15.90 15.36 2018 15.06 14.62

*N/A for performance periods with less than 36 months of data based on composite inception date. Composite Listing: Wellington Management's list of composite descriptions is available upon request. Other Matters: This material contains summary information regarding the investment approach described herein and is not a complete description of the investment objectives, policies, guidelines, or portfolio management and research that supports this investment approach. Any decision to engage Wellington Management should be based upon a review of the terms of the investment management agreement and the specific investment objectives, policies, and guidelines that apply under the terms of such agreement. Past Performance: Past results are not necessarily indicative of future results and an investment can lose value.

-

_22 May 2019 A1 35


A

GlossaryTitle Line 2Investment Terms

Contextual alpha model – The model incorporates risk information, sentiment information and trading information to rank stocks on a “difficult-to-value” (DTV) spectrum, which then translates into the recipe that we use to form the alpha forecast at the stock level

Pure value – cyclical value factors such as P/E, P/B, etc.

Fair value – absolute value factors such as dividend discount models

Earnings quality – accrual growth compared to cashflows, operating cashflows compared to assets, etc

Management behavior – capital stewardship factors – changes in external financing, share issuance/repurchase, etc.

Short-term momentum – price momentum, sentiment, and momentum of other financial statement items (sales, earnings, dividends) – typically over 1-3 month period

Long-term momentum – price momentum – typically over 3-12 month period

A

A22 May 2019 A1 36

Wellington Management Company LLP Page 1 of

Data last updated on: APR-04-2019

RMHLDETSCEQ 14

Cash and Cash Equivalents

Equities

Cash

Short-Term Cash Equivalents

Energy

Energy

-7,006

1

5,511

106,144

119

85,150

36

6,011,039

2,306,545

777,859

30,792

178,049

42,554

20,762

Security Shares orPar Value Unit Cost Unit Price Cost

Pct Asset Class YieldMarket Value

LA Water & Power Employees' Retirement Pla68H2USDQEM Emerging Markets QE

Holdings Detail by Sector-EquityMarch 31, 2019

0.252

0.127

0.051

0.069

0.001

0.183

100.000

0.904

2.343

9.097

8.434

21.871

69.199

100.000

0.789

2.280

21.440

11.396

21.754

89.600

-1,767

702

5,464

8

75

7

6,011,039

2,084,905

1,822,622

280,105

1,501,746

930,705

1,436,719

-1,800

702

5,472

8

75

6

6,020,780

1,818,803

1,773,728

660,180

2,029,113

925,702

1,860,275

-0.03

0.01

0.09

*

*

*

99.93

0.57

0.55

0.21

0.63

0.29

0.58

6.43

0.03

2.67

8.52

6.98

1.75

25.00

2.53

7.93

5.74

2.85

6.60

1.20

3.37

Total Cash and Cash Equivalents 6,015,528

Total Cash

Total Short-Term Cash Equivalents

4,489

6,011,039

6,025,243

4,464

6,020,780

0.07

99.93

2.54

8.35

2.53

Pct Total

*

*

*

*

*

*

1.85

0.56

0.54

0.20

0.62

0.28

0.57

1.85

0.00

1.85

Account ID: Reporting Currency Code:

Portfolio Manager:

********

********

********

********

********

********

********

Brazilian Real

Forint

Hong Kong Dollar

Mexican Peso

South African Rand

South Korean Won

Turkish Lira (New)

COLTV STIF 2.5340%

China Petro&Chem-H

China Shenhua Energy

Ecopetrol SA ADR

Exxaro Resources Ltd

Grupa Lotos SA

Lukoil PJSC Spon ADR

********

*************

*************

*************

*************

*************

100.00

Brazil

Hungary

Hong Kong

Mexico

South Africa

South Korea

Turkey

United States

China

China

Colombia

South Africa

Poland

Russia

Country



RMHLDETSCEQ 14

Materials

Materials

68,669

391,900

73,561

1,073,540

356,433

4,952,956

30,440

39,357

70,414

595,387

1,149,998

140,392

575,794

661,286

123,100

610,061

36,493

1,360

53,853

525,289

51,758

93,121

409,600





10.472

6.244

21.711

1.299

4.754

0.285

11.026

43.236

12.638

3.199

1.188

4.931

0.831

1.050

4.388

3.263

22.478

143.729

29.591

0.527

21.700

27.250

1.094

11.444

7.210

25.468

1.326

3.710

0.295

11.767

51.046

13.100

6.108

1.301

4.640

0.628

1.032

3.890

2.960

15.911

138.314

29.838

0.489

21.120

22.105

0.847

719,107

2,447,118

1,597,103

1,394,717

1,694,462

1,412,274

335,620

1,701,657

889,858

1,904,644

1,366,452

692,254

478,632

694,567

540,168

1,990,399

820,303

195,471

1,593,575

276,783

1,123,154

2,537,528

448,023

785,841

2,825,684

1,873,442

1,423,261

1,322,366

1,460,844

358,198

2,009,025

922,423

3,636,814

1,496,242

651,419

361,616

682,350

478,900

1,805,781

580,636

188,107

1,606,861

256,958

1,093,129

2,058,429

346,865

0.25

0.88

0.59

0.44

0.41

0.46

0.11

0.63

0.29

1.14

0.47

0.20

0.11

0.21

0.15

0.56

0.18

0.06

0.50

0.08

0.34

0.64

0.11

4.35

0.00

3.59

4.69

1.42

7.58

6.78

1.53

0.48

4.12

6.98

0.00

7.51

6.77

2.97

0.56

2.80

2.55

7.03

10.95

8.27

3.77

6.71

Total Energy 17,321,582

Total Energy 17,321,582

18,759,241

18,759,241

5.86

5.86

4.11

4.11

Pct Total

0.24

0.87

0.57

0.44

0.41

0.45

0.11

0.62

0.28

1.12

0.46

0.20

0.11

0.21

0.15

0.55

0.18

0.06

0.49

0.08

0.34

0.63

0.11

5.75

5.75


Portfolio Manager:

********

********

********

********

********

MOL Hunga O&G NYRT

Petrobras Pref

Polski Koncern Nafto

Shaanxi Coal Indus-A

Surgutneftegas ADR

Tambang Batubara Buk

African Rainbow Mine

Anglo Amer Platinum

Anglogold Ashant ADR

Anhui Conch Cement

Asia Cement

Cemex CPO ADR

China Oriental Group

China Resources Ceme

Gerdau SA Pref

Hindalco Indu SRg144

Jastrzebska Spolka W

Korea Petro Chemical

Kumba Iron Ore Ltd

Maanshan Iron&Stl H

MMC Norilsk Nick-ADR

Mondi Ltd

Oriental Union Chem

*************

*************

Hungary

Brazil

Poland

China

Russia

Indonesia

South Africa

South Africa

South Africa

China

Taiwan

Mexico

China

China

Brazil

India

Poland

South Korea

South Africa

China

Russia

South Africa

Taiwan

Country



RMHLDETSCEQ 14

Industrials

Capital Goods

11,872

538,828

277,316

1,455,255

158,880

873,803

180,170

189,991

94,597

227,737

159,693

2,007,156

7,162

318,119

287,422

34,105

36,728

11,376

1,151,399

228,121

522,264

1,374,235

196,234





218.125

1.030

4.019

0.548

1.317

1.318

7.573

12.249

11.383

1.267

10.953

1.490

70.776

1.240

1.371

32.217

17.503

55.552

0.330

1.282

1.192

0.678

0.664

222.888

1.091

4.176

0.476

1.328

1.338

7.400

13.087

10.560

1.064

8.806

1.493

84.926

1.579

1.694

26.782

16.695

68.276

0.324

1.630

1.902

0.546

0.759

2,589,582

555,035

1,114,414

797,768

209,200

1,151,814

1,364,446

2,327,270

1,076,782

288,550

1,749,081

2,989,895

506,895

394,548

394,082

1,098,774

642,855

631,955

380,384

292,428

622,351

931,607

130,224

2,646,125

587,727

1,157,948

693,336

210,918

1,169,493

1,333,258

2,486,379

998,944

242,207

1,406,328

2,996,690

608,243

502,220

486,973

913,393

613,158

776,707

372,557

371,837

993,138

750,654

149,023

0.83

0.18

0.36

0.22

0.07

0.37

0.42

0.78

0.31

0.08

0.44

0.94

0.19

0.16

0.15

0.29

0.19

0.24

0.12

0.12

0.31

0.23

0.05

3.95

0.00

0.00

7.81

4.60

8.00

1.69

0.00

9.75

3.78

3.64

3.50

1.76

0.00

2.78

2.30

0.79

2.58

7.87

0.72

1.41

2.69

2.08

Total Materials 28,775,400

Total Materials 28,775,400

29,817,881

29,817,881

9.31

9.31

3.85

3.85

Pct Total

0.81

0.18

0.36

0.21

0.06

0.36

0.41

0.76

0.31

0.07

0.43

0.92

0.19

0.15

0.15

0.28

0.19

0.24

0.11

0.11

0.30

0.23

0.05

9.14

9.14


Portfolio Manager:

********

********

********

********

********

POSCO

Sibanye Gold Ltd

Siderurgica Nacional

Sinopec Shanghai Pet

Soda Sanayii AS

Taiwan Cement

Tata Steel GDR RgSS

Vale

Vedanta Ltd -ADR

Alfa SAB -A

Barloworld Ltd

Citic Ltd

Daelim Industrial Co

Dongfang Elec Corp A

Fosun Intl Ltd

Han Wha Corporation

HDC Holdings Co Ltd

LG Corp

Lonking Holdings Ltd

NCC LTD RgSS

Sany Heavy Industry

Sime Darby Bhd

Sino Thai Engineerin

*************

*************

South Korea

South Africa

Brazil

China

Turkey

Taiwan

India

Brazil

India

Mexico

South Africa

China

South Korea

China

China

South Korea

South Korea

South Korea

China

India

China

Malaysia

Thailand

Country



RMHLDETSCEQ 14

Consumer Discretionary

Commercial & Professional Services

Transportation

Automobiles & Components

197,858

414,495

797,687

338,568

11,282

153,498

1,581,112

407,509

2,794,690

4,969

95,550

1,118,475

149,128





1.345

2.512

0.620

1.140

31.370

5.725

0.548

0.567

1.104

107.574

30.944

1.081

2.709

2.127

3.990

0.588

1.597

30.658

5.654

0.514

0.654

1.001

105.277

31.143

0.899

3.436

266,142

1,041,329

494,204

385,904

353,916

878,755

866,287

231,230

3,086,092

534,538

2,956,696

1,208,674

403,973

420,924

1,653,695

468,763

540,850

345,885

867,929

813,318

266,310

2,798,268

523,122

2,975,678

1,005,922

512,356

0.13

0.52

0.15

0.17

0.11

0.27

0.25

0.08

0.87

0.16

0.93

0.31

0.16

3.83

5.05

4.10

4.29

5.14

3.71

2.59

4.33

5.20

3.35

2.55

5.38

5.20

Total Industrials 14,473,878

Total Capital Goods

Total Commercial & Professional Services

Total Transportation

Total Automobiles & Components

13,241,208

353,916

878,755

9,287,489

15,481,173

14,267,359

345,885

867,929

8,894,974

4.84

4.46

0.11

0.27

2.78

3.21

3.13

5.14

3.71

3.96

Pct Total

0.13

0.51

0.14

0.17

0.11

0.27

0.25

0.08

0.86

0.16

0.91

0.31

0.16

4.75

4.37

0.11

0.27

2.73


Portfolio Manager:

********

********

********

********

********

********

********

********

********

Sinotruk Hong Kong

Tekfen Holding AS

Trakya Cam Sanayii

Weichai Power Co Ltd

KEPCO Plant Service

Grupo Aero Cen Norte

Astra International

BAIC Motor Corp Lt-H

Dongfeng Motor Grp H

Hyundai Motor Co

Kia Motors Corp

Tianneng Power Inter

Weifu High-Tech Co

*************

*************

*************

*************

*************

*************

*************

China

Turkey

Turkey

China

South Korea

Mexico

Indonesia

China

China

South Korea

South Korea

China

China

Country



RMHLDETSCEQ 14

Consumer Durables & Apparel

Consumer Services

Retailing

193,266

24,999

182,049

43,230

43,921

7,890

310,851

32,400

443,196

214,531

600,269

17,810

42,699

34,363

9,763

8,181

15,238

272,528

1,961





4.946

7.135

6.025

32.925

4.964

22.789

5.586

8.405

0.732

8.519

2.071

41.083

121.562

41.651

88.895

113.948

185.769

6.061

163.704

6.803

6.886

7.073

68.716

7.138

25.108

7.008

8.809

0.410

6.835

1.626

44.910

182.450

43.690

88.979

96.027

231.058

5.949

263.853

955,971

178,363

1,096,838

1,423,339

218,035

179,807

1,736,303

272,328

324,221

1,827,683

1,243,039

731,695

5,190,589

1,431,268

867,883

932,212

2,830,741

1,651,685

321,023

1,314,710

172,154

1,287,672

2,970,611

313,513

198,101

2,178,544

285,414

181,796

1,466,332

976,310

799,847

7,790,433

1,501,319

868,701

785,595

3,520,856

1,621,148

517,417

0.41

0.05

0.40

0.93

0.10

0.06

0.68

0.09

0.06

0.46

0.30

0.25

2.43

0.47

0.27

0.25

1.10

0.51

0.16

1.46

0.52

3.07

0.06

2.09

1.58

3.29

3.68

3.45

1.92

3.24

1.07

0.00

0.00

0.89

1.74

0.20

11.23

0.28

Total Consumer Durables & Apparel

Total Consumer Services

6,060,983

4,126,638

8,720,718

3,424,286

2.72

1.07

1.76

2.18

Pct Total

0.40

0.05

0.39

0.91

0.10

0.06

0.67

0.09

0.06

0.45

0.30

0.25

2.39

0.46

0.27

0.24

1.08

0.50

0.16

2.67

1.05


Portfolio Manager:

********

********

********

********

********

********

********

Anta Sports Products

Ez Tec Empreendiment

Feng Tay Enterprise

Fila Korea Ltd

Giant Manufacturing

Hansae Co Ltd

Makalot Industrial

Nien Made Enterprise

China Yuhua Educatio

Estacio Participacoe

Genting Bhd

Yum China Holdings

Alibaba Group Holdin

Ctrip.com Intl ADR

Hyundai Dept Store

Hyundai Home Shoppin

Naspers Ltd-N Shs

Petrobras Distribuid

Shinsegae Internatio

*************

*************

*************

*************

*************

*************

China

Brazil

Taiwan

South Korea

Taiwan

South Korea

Taiwan

Taiwan

China

Brazil

Malaysia

China

China

China

South Korea

South Korea

South Africa

Brazil

South Korea

Country



RMHLDETSCEQ 14

Consumer Staples

Food & Staples Retailing

Food Beverage & Tobacco

Household & Personal Products

20,169

64,020

45,198

1,508,230

211,908

377,571

12,170

88,984

827,475

28,964

1,370,504

305,178

146,451

174,885





15.872

12.916

13.764

2.289

5.455

3.165

99.869

6.648

0.535

13.889

2.210

2.316

7.411

9.216

13.488

12.774

13.305

2.677

5.843

4.091

91.181

9.420

0.449

10.551

2.427

4.452

9.555

13.692

320,128

826,875

622,117

3,452,795

1,155,924

1,195,102

1,215,410

591,603

442,964

402,283

3,028,487

706,809

1,085,277

1,611,780

272,033

817,760

601,376

4,036,979

1,238,114

1,544,551

1,109,678

838,249

371,899

305,589

3,326,153

1,358,731

1,399,387

2,394,558

0.08

0.26

0.19

1.26

0.39

0.48

0.35

0.26

0.12

0.10

1.04

0.42

0.44

0.75

4.20

2.06

3.80

3.37

3.13

0.29

3.87

0.08

0.88

10.24

3.34

0.50

4.08

1.66

Total Consumer Discretionary 32,700,510

Total Retailing

Total Food & Staples Retailing

Total Food Beverage & Tobacco

13,225,400

5,221,915

8,738,580

37,645,447

16,605,470

5,728,148

10,092,964

11.76

5.19

1.79

3.15

2.10

1.28

3.27

2.37

Pct Total

0.08

0.25

0.18

1.24

0.38

0.47

0.34

0.26

0.11

0.09

1.02

0.42

0.43

0.73

11.54

5.09

1.76

3.09


Portfolio Manager:

********

********

********

********

********

********

********

********

********

BIM Birlesik Magazal

Clicks Group Ltd

Spar Group Ltd/The

Wal-Mart de Mexico

Gudang Garam Tbk Pt

JBS SA

KT&G Corp

Muyuan Foodstuff Co

PT Charoen Pokphand

SLC Agricola SA

Uni-President Enterp

Yihai Intl Hldg Ltd

Chlitina Holding Ltd

TCI Co Ltd

*************

*************

*************

*************

*************

*************

Turkey

South Africa

South Africa

Mexico

Indonesia

Brazil

South Korea

China

Indonesia

Brazil

Taiwan

China

Taiwan

Taiwan

Country



RMHLDETSCEQ 14

Health Care

Financials

Health Care Equipment & Services

Pharma, Biotech & Life Sciences

Banks

629,139

564,396

335,103

77,861

130,950

118,675

1,551,892

2,280,467

906,060

175,690

125,510





0.517

0.977

2.178

34.700

3.766

3.202

0.830

0.381

1.467

4.836

11.137

0.536

0.969

1.001

40.500

4.408

3.942

0.874

0.242

0.912

4.331

10.547

325,064

551,513

729,720

2,701,762

493,158

380,033

1,287,406

869,525

1,329,223

849,673

1,397,756

337,021

547,144

335,532

3,153,371

577,185

467,838

1,356,184

551,964

826,424

760,955

1,323,746

0.11

0.17

0.10

0.99

0.18

0.15

0.42

0.17

0.26

0.24

0.41

1.35

4.52

4.72

0.67

1.43

0.00

1.69

1.05

0.93

3.44

7.30

Total Consumer Staples

Total Health Care

16,657,552

9,517,078

Total Household & Personal Products

Total Health Care Equipment & Services

Total Pharma, Biotech & Life Sciences

2,697,057

325,064

9,192,014

19,615,057

8,913,618

3,793,945

337,021

8,576,597

6.13

2.78

1.19

0.11

2.68

2.67

1.54

2.55

1.35

1.55

Pct Total

0.10

0.17

0.10

0.97

0.18

0.14

0.42

0.17

0.25

0.23

0.41

6.01

2.73

1.16

0.10

2.63


Portfolio Manager:

********

********

********

********

********

********

********

********

********

********

********

Bangkok Chain Hospit

China Medical System

China Shineway Pharm

Dr Reddys Labs ADR

Guangzhou Baiyunshan

Lotus Pharmaceutical

Luye Pharma Grp Ltd

Sihuan Pharmaceutica

Sino Biopharmaceutic

YiChang HEC ChangJia

Absa Group Ltd

*************

*************

*************

*************

*************

Thailand

China

China

India

China

Taiwan

China

China

China

China

South Africa

Country



RMHLDETSCEQ 14

10,712,024

12,278

191,800

158,759

149,600

159,396

151,033

104,616

2,023,584

8,803,893

2,591,927

44,981

139,066

9,465,109

5,195,131

335,142

1,617,878

3,858,736

1,234,000

827,968

70,234

52,642

2,129,735

163,062

60,537

2,154,153

14,223

23,940

67,342

785,933

233,748





0.443

53.924

11.075

7.373

5.673

7.114

6.677

6.405

0.463

0.475

0.798

8.546

8.008

0.044

0.673

1.038

0.469

0.804

0.628

6.045

28.263

10.688

0.645

11.421

36.518

0.600

20.593

39.913

10.738

0.593

1.414

0.461

55.900

11.034

12.519

6.216

6.770

6.523

6.806

0.660

0.454

0.819

11.298

5.885

0.046

0.637

0.857

0.473

0.726

0.577

5.441

32.068

11.460

0.732

12.378

36.869

0.605

17.422

43.988

10.063

0.572

1.396

4,740,199

662,084

2,124,213

1,170,578

848,690

1,133,931

1,008,448

670,027

937,491

4,181,898

2,067,689

384,400

1,113,682

413,023

3,497,772

347,723

758,994

3,103,296

774,770

5,004,988

1,985,040

562,657

1,373,080

1,862,292

2,210,714

1,292,974

292,889

955,526

723,108

466,296

330,586

4,939,844

686,340

2,116,271

1,987,496

929,883

1,079,111

985,153

712,055

1,335,793

3,992,619

2,123,082

508,214

818,396

432,045

3,309,022

287,327

764,633

2,801,903

712,109

4,504,897

2,252,240

603,277

1,560,007

2,018,343

2,231,939

1,303,285

247,786

1,053,076

677,662

449,537

326,360

1.54

0.21

0.66

0.62

0.29

0.34

0.31

0.22

0.42

1.25

0.66

0.16

0.26

0.13

1.03

0.09

0.24

0.88

0.22

1.41

0.70

0.19

0.49

0.63

0.70

0.41

0.08

0.33

0.21

0.14

0.10

5.61

0.66

0.00

0.00

0.00

5.14

3.14

3.01

2.72

6.04

5.34

0.00

4.49

6.79

5.37

5.31

5.07

1.60

5.16

0.00

5.22

0.36

5.09

4.91

4.59

3.74

5.63

1.74

3.45

5.04

3.60

Pct Total

1.51

0.21

0.65

0.61

0.29

0.33

0.30

0.22

0.41

1.22

0.65

0.16

0.25

0.13

1.01

0.09

0.23

0.86

0.22

1.38

0.69

0.18

0.48

0.62

0.68

0.40

0.08

0.32

0.21

0.14

0.10


Portfolio Manager:

********

Agricult Bk China-H

Axis Bank Ltd - RgSS

Banco Bradesco Pref

Banco do Brasil SA

Banco do Estado do R

Banco Santander Mexi

Bangkok Bank NVDR

Bangkok Bank PCL

Bank Negara Indonesi

Bank Of China Ltd -H

Bk of Communications

Bk Santander Brasil

BNK Financial Group

BPD Jawa Timur TBK P

China Citic Bank -H

China Construction

China Everbright Ban

China Minsheng Bank

Chongqing Rural Co-H

Grupo Fin Banorte SA

Hana Financial Group

ICICI Bank Ltd ADR

Ind&Comm Bk China-H

Industrial Bk Korea

KB Financial Group

Krung Thai Bank -For

Nedbank Group Ltd

OTP Bank Plc

Pko Bank Polski Sa

Postal Savings Bank

RHB Bank Bhd

China

India

Brazil

Brazil

Brazil

Mexico

Thailand

Thailand

Indonesia

China

China

Brazil

South Korea

Indonesia

China

China

China

China

China

Mexico

South Korea

India

China

South Korea

South Korea

Thailand

South Africa

Hungary

Poland

China

Malaysia

Country



RMHLDETSCEQ 14

Diversified Financials

Insurance

360,801

44,120

392,046

472,828

158,678

411,797

7,360,770

472,000

3,752,338

89,305

1,602,240

102,151

2,414,714

81,721

99,309

3,315,287

559,112

83,770

3,188,376

61,851

200,451





12.247

40.869

1.637

0.974

11.507

2.445

0.353

2.129

0.186

6.491

0.770

4.200

0.147

14.408

5.350

0.475

1.522

13.215

0.414

14.292

5.953

13.260

37.001

1.717

0.802

12.113

4.088

0.278

1.982

0.213

5.848

1.111

4.304

0.092

12.846

5.269

0.569

1.493

23.447

0.428

13.832

7.657

4,418,852

1,803,141

641,647

460,454

1,825,933

1,006,853

2,596,972

1,004,915

699,795

579,669

1,234,455

429,081

355,313

1,177,443

531,271

1,575,018

851,091

1,106,985

1,319,778

883,957

1,193,280

4,784,221

1,632,491

673,279

379,126

1,922,141

1,683,504

2,044,150

935,588

798,273

522,284

1,779,706

439,616

223,031

1,049,814

523,221

1,887,811

834,482

1,964,183

1,364,715

855,523

1,534,918

1.49

0.51

0.21

0.12

0.60

0.53

0.64

0.29

0.25

0.16

0.56

0.14

0.07

0.33

0.16

0.59

0.26

0.61

0.43

0.27

0.48

4.74

3.81

4.77

1.10

0.00

3.33

5.09

4.24

0.85

5.19

2.33

4.09

2.28

2.93

4.75

5.13

0.00

3.19

1.59

5.62

0.00

Total Banks

Total Diversified Financials

Total Insurance

57,546,839

11,190,786

5,355,091

58,464,706

11,886,998

6,553,821

18.26

3.71

2.05

3.63

3.79

2.02

Pct Total

1.47

0.50

0.21

0.12

0.59

0.52

0.63

0.29

0.24

0.16

0.55

0.13

0.07

0.32

0.16

0.58

0.26

0.60

0.42

0.26

0.47

17.93

3.64

2.01


Portfolio Manager:

********

********

********

********

********

Sberbank-Sponsor ADR

Shinhan Financial

Thanachart Capital P

Turkiye Vakiflar Ban

Woori Fincl Grp Inc

Chailease Holding Co

China Cinda Asset-H

China Everbright Ltd

China Huarong Asset

Investec Ltd

Krungthai Card PCL

Meritz Securities Co

Metro Pacific Invest

Remgro Limited

RMB Holdings Limited

Yuanta Financial Hld

Fubon Financial Hldg

IRB Brasil Resseguro

People's Insurance-H

Porto Seguro SA

Sul America SA

*************

*************

*************

*************

*************

Russia

South Korea

Thailand

Turkey

South Korea

Taiwan

China

China

China

South Africa

Thailand

South Korea

Philippines

South Africa

South Africa

Taiwan

Taiwan

Brazil

China

Brazil

Brazil

Country



RMHLDETSCEQ 14

Information Technology

Software & Services

Technology Hardware & Equipment

285,636

995,374

193,651

214,913

3,955,122

213,279

315,293

476,348

4,215,211

16,034

1,893,667

313,066

937,473

364,085

53,271

200,688

324,156

163,502

5,111

84,934





7.936

3.768

3.404

2.871

0.418

1.625

3.093

2.753

0.363

15.419

0.376

3.061

1.351

1.496

5.755

2.015

33.340

2.121

40.122

6.231

10.930

3.980

4.040

3.024

0.368

1.577

3.455

1.995

0.221

13.090

0.324

3.548

1.051

1.455

5.483

1.969

39.336

2.190

38.146

8.825

2,266,867

3,751,013

659,227

617,058

1,651,867

346,614

975,173

1,311,452

1,529,265

247,223

711,447

958,206

1,266,517

544,608

306,598

404,460

10,807,283

346,847

205,061

529,185

3,122,001

3,961,588

782,257

649,889

1,456,519

336,314

1,089,493

950,517

932,747

209,885

614,418

1,110,693

985,249

529,817

292,104

395,249

12,750,917

358,086

194,966

749,568

0.98

1.24

0.24

0.20

0.45

0.11

0.34

0.30

0.29

0.07

0.19

0.35

0.31

0.17

0.09

0.12

3.98

0.11

0.06

0.23

2.73

0.26

3.21

1.72

4.41

7.20

3.57

5.85

4.40

0.00

8.00

4.67

6.36

6.51

5.09

3.95

3.17

3.70

2.95

4.23

Total Financials 74,092,716

Total Software & Services 6,017,880

76,905,525

7,083,590

24.02

2.21

3.52

1.35

Pct Total

0.96

1.21

0.24

0.20

0.45

0.10

0.33

0.29

0.29

0.06

0.19

0.34

0.30

0.16

0.09

0.12

3.91

0.11

0.06

0.23

23.58

2.17


Portfolio Manager:

********

********

********

********

********

********

********

Infosys Tech Ltd ADR

Wipro Ltd-ADR

Accton Tech Corp

Arcadyan Technology

AU Optronics Corp

Coretronic Corp

Elite Material Co Lt

Foxconn Technology

Hannstar Display Co

Huami Corp ADR

Innolux Corp

Kingboard Chemical

Kingboard Laminates

Lite-On Technology

Merry Electronics Co

Primax Electronics L

Samsung Electronics

Sercomm Corp

SFA Engineering Corp

Simplo Technology Co

*************

*************

*************

India

India

Taiwan

Taiwan

Taiwan

Taiwan

Taiwan

Taiwan

Taiwan

China

Taiwan

China

China

Taiwan

Taiwan

Taiwan

South Korea

Taiwan

South Korea

Taiwan

Country



RMHLDETSCEQ 14

Communication Services

Semiconductors,Semiconductor Eqpmt

Telecommunication Services

117,812

678,487

189,223

294,131

739,840

662,837

7,607

148,784

289,763

39,176

846,038

178,339

59,438

744,083

643,816

354,315

4,484,686

10,819,836





3.438

0.755

2.399

2.292

2.070

0.827

48.570

2.942

4.861

16.834

2.528

5.107

45.238

5.995

0.882

9.738

0.499

0.236

3.358

0.960

3.105

3.006

2.304

0.850

33.030

2.871

6.424

16.775

3.199

5.905

65.369

7.965

0.892

10.191

0.555

0.232

405,058

512,213

453,990

674,199

1,531,656

548,491

369,469

437,750

1,408,652

659,496

2,139,197

910,805

2,688,870

4,460,855

568,018

3,450,328

2,237,913

2,550,772

395,631

651,619

587,552

884,272

1,704,341

563,467

251,259

427,228

1,861,523

657,160

2,706,619

1,053,120

3,885,384

5,926,976

574,107

3,610,877

2,490,873

2,508,564

0.12

0.20

0.18

0.28

0.53

0.18

0.08

0.13

0.58

0.21

0.85

0.33

1.21

1.85

0.18

1.13

0.78

0.78

5.80

2.70

5.23

0.00

3.31

4.58

0.00

5.65

3.59

2.40

4.87

3.02

2.02

3.26

2.52

4.02

2.87

0.14

Total Information Technology 46,636,674

Total Technology Hardware & Equipment

Total Semiconductors,Semiconductor Eqpmt

25,463,551

15,155,243

53,028,427

26,907,759

19,037,078

16.57

8.41

5.95

3.27

3.77

3.28

Pct Total

0.12

0.20

0.18

0.27

0.52

0.17

0.08

0.13

0.57

0.20

0.83

0.32

1.19

1.82

0.18

1.11

0.76

0.77

16.26

8.25

5.84


Portfolio Manager:

********

********

********

********

********

********

********

Tong Hsing Electroni

Unimicron Technology

Zhen Ding Technology

Zte Corp-H

Chipbond Technology

ChipMOS Technologies

Daqo New Energy ADR

Elan Microelectronic

Novatek Microelect

Parade Technologies

Radiant Opto-Electro

Realtek Semiconductr

SK Hynix Inc

Taiwan Semiconductor

China Comm Serv

China Mobile HK Ltd

China Telecom Corp

China Tower Corp Ltd

*************

*************

*************

*************

Taiwan

Taiwan

Taiwan

China

Taiwan

Taiwan

China

Taiwan

Taiwan

Taiwan

Taiwan

Taiwan

South Korea

Taiwan

China

China

China

China

Country



RMHLDETSCEQ 14

Utilities

Media & Entertainment

Utilities

1,001,669

11,600

42,609

191,105

8,567

46,300

209,728

28,775

7,286

24,173

1,013,809

10,742

19,130

212,812

36,740

537,171

37,523

38,700





1.089

13.499

15.115

7.352

222.396

13.026

3.705

86.811

42.042

8.389

1.431

23.680

45.832

29.389

9.680

4.256

10.369

18.089

1.268

12.440

13.611

6.145

221.566

12.205

5.056

105.120

52.167

8.158

1.386

27.134

34.711

45.988

9.428

4.713

10.792

19.822

1,090,552

156,593

644,024

1,404,960

1,905,268

603,091

776,999

2,497,979

306,317

202,776

1,450,868

254,375

876,769

6,254,419

355,660

2,285,948

389,074

700,064

1,269,640

144,304

579,957

1,174,359

1,898,159

565,113

1,060,474

3,024,828

380,088

197,200

1,405,135

291,475

664,014

9,786,703

346,376

2,531,905

404,956

767,099

0.40

0.05

0.18

0.37

0.59

0.18

0.33

0.94

0.12

0.06

0.44

0.09

0.21

3.06

0.11

0.79

0.13

0.24

1.57

2.93

2.59

5.64

3.98

0.00

4.79

0.00

0.00

0.81

3.16

0.40

0.00

0.28

0.00

2.08

0.00

0.00

Total Communication Services 27,232,019

Total Telecommunication Services

Total Media & Entertainment

15,388,517

11,843,502

31,625,871

15,876,427

15,749,444

9.88

4.96

4.92

1.71

2.94

0.47

Pct Total

0.39

0.04

0.18

0.36

0.58

0.17

0.33

0.93

0.12

0.06

0.43

0.09

0.20

3.00

0.11

0.78

0.12

0.24

9.70

4.87

4.83


Portfolio Manager:

********

********

********

********

********

********

********

China Unicom HK Ltd

Kt Corp-Sp ADR

LG Uplus Corp

MTN Group Ltd

SK Telecom Co Ltd

Telefonica Brasil SA

Telkom Sa Soc Ltd

Autohome Inc-Adr

CD Projekt SA

CJ Hellovision Co Lt

IGG Inc

JYP Entertainment Co

SM Entertainment Co

Tencent Holdings Ltd

Centrais Eletr Brasi

China Res Gas Group

Cia de Saneamento Ba

Cia Transmiss En-Pfd

*************

*************

*************

*************

China

South Korea

South Korea

South Africa

South Korea

Brazil

South Africa

China

Poland

South Korea

China

South Korea

South Korea

China

Brazil

China

Brazil

Brazil

Country



RMHLDETSCEQ 14

Pooled Vehicle

Real Estate

Real Estate

158,407

117,457

117,640

30,822

110,581

58,034

169,755

128,473

29,690

216,222

431,200

418,437

473,698

432,996

453,095

5,130,000

6,612,928

187,070





3.741

9.784

20.194

55.534

2.706

21.943

7.219

31.038

11.053

0.668

2.770

0.405

1.056

1.396

1.756

0.097

0.099

4.463

4.363

8.930

30.600

39.732

2.593

5.933

6.373

35.250

10.067

1.206

3.325

0.544

1.383

2.046

2.163

0.110

0.093

6.718

592,528

1,149,172

2,375,611

1,711,675

299,240

1,273,430

1,225,458

3,987,499

328,165

144,528

1,194,518

169,474

500,360

604,452

795,511

499,954

654,350

834,815

691,151

1,048,891

3,599,784

1,224,625

286,703

344,316

1,081,770

4,528,673

298,878

260,845

1,433,680

227,610

654,960

885,881

980,077

566,635

616,804

1,256,755

0.22

0.33

1.12

0.38

0.09

0.11

0.34

1.41

0.09

0.08

0.45

0.07

0.20

0.28

0.31

0.18

0.19

0.39

4.63

3.44

2.00

3.02

0.00

6.44

0.00

0.89

6.82

4.44

0.00

3.33

0.00

3.86

8.46

1.07

7.43

3.32

Total Utilities

Total Pooled Vehicle

12,357,859

3,987,499

Total Utilities 12,357,859

12,327,574

4,528,673

12,327,574

3.85

1.41

3.85

2.04

0.89

2.04

Pct Total

0.21

0.32

1.10

0.38

0.09

0.11

0.33

1.39

0.09

0.08

0.44

0.07

0.20

0.27

0.30

0.17

0.19

0.39

3.78

1.39

3.78


Portfolio Manager:

********

********

********

********

********

********

********

EDP - Energias do Br

Enersis Americas ADR

Gail India Limi RgSS

Korea Gas Corp

PGE SA

Reliance Infras RgSS

Transmissora Alianca

iShares MSCI India I

Barwa Real Estate Co

China Aoyuan Grp Ltd

China Evergrande Grp

China Overseas Grand

Fibra Uno Administra

Gemdale Corp-A

Guangzhou R&F Proper

Megaworld Corp

Quality Houses Pub

Seazen Holdings Co-A

*************

*************

*************

*************

Brazil

Chile

India

South Korea

Poland

India

Brazil

India

Qatar

China

China

China

Mexico

China

China

Philippines

Thailand

China

Country

Wellington Management Company LLP Page 14 14of


RMHLDETSCEQ

410,481

361,143

320,743

5,190,941





2.643

0.438

2.903

0.156

3.127

0.438

4.981

0.241

1,085,021

158,293

931,048

809,767

1,283,742

158,260

1,597,596

1,249,801

0.40

0.05

0.50

0.39

4.89

6.19

2.47

4.92

Total Equities 292,463,023

Total Real Estate 8,710,256

Total Real Estate 8,710,256

320,120,012

11,471,523

11,471,523

3.58

3.58

2.99

3.69

3.69

Total Assets 298,478,551 326,145,255

Pct Total

0.39

0.05

0.49

0.38

98.15

3.52

3.52

100.00 2.98


Portfolio Manager:

********

********

********

Shimao Property Hold

Sino-Ocean Land Hold

Sunac China Holdings

Yuexiu Property Co

********

*************

Market Value for Fixed Income and Cash Equivalents includes estimated Accrued Interest.Yield number represents Dividend Yield for Equity Securities and Yield to Maturity for Fixed Income Securities.Yield totals are market value weighted averages.* Indicates a non-zero value that rounds to zero.The prices that are provided are indicative prices based on best available market information. All prices are provided in accordance with our Pricing Policy and should not be considered transaction prices to which a security could necessarily be entered into or liquidated. Clients and Custodian banks should independently price these securities and use WMC's recommended prices for informational and/or reconciliation purposes only.This information is confidential and the recipient agrees to use this information solely for the lawful and appropriate purpose(s) intended by the parties.

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China

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China

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