ers prov july 2014 - data.providenceri.gov · employees' retirement system providence, ri...

Board of Investment CommissionersEmployees' Retirement System

Providence, RI

Presentation Prepared For

BOARD OF INVESTMENT COMMISSIONERS

FOR THE EMPLOYEES’ RETIREMENT SYSTEM

CITY OF PROVIDENCE

RHODE ISLAND

Submitted by

Wainwright Investment Counsel, LLC One Boston Place Boston, MA 02108

AS OF JULY 31, 2014

The information contained herein is provided for informational and discussion purposes only and is not, and may not be relied on in any manner as legal, tax, accounting or regulatory advice or as an offer to sell or a solicitation of an offer to buy any securities and may not be used or relied upon in connection with any offer or sale of securities.

Any financial transaction involves a variety of potential significant risks and issues. Before entering into any financial transaction, you should ensure that you fully understand the terms, have evaluated the risks and have determined that the transaction is appropriate for you in all respects. Additional information is available upon request.

DISCLAIMER: The information provided herein, including, but not limited to historical performance and descriptive strategy information, was obtained from third party managers and/or custodians independent of and not affiliated with Wainwright Investment Counsel, LLC (“Wainwright”) or its affiliates and has not been independently audited or verified by Wainwright as a result. The information was gathered from sources deemed to be reliable; however, no assurance is made as to the accuracy of the data.

This summary and information provided herein does not constitute an offer to sell or a solicitation of an offer to buy any securities and may not be used or relied upon in connection with any offer or sale of securities. This summary is qualified in its entirety by, among other things, the disclosures incorporated in any investment management agreement and the disclaimers included therein.

Past performance is not a guarantee of future investment results. Actual results may vary. Investors cannot invest in all indices referenced in this summary. Performance figures contained herein should be considered estimated and unaudited unless otherwise noted. As a result of market activity since the date of this report, current performance may be different from that shown. Additional information is available upon request.

The following applies to all of the indices referenced in this document: Unless otherwise noted, indices are presented merely to show general trends in the markets for the period and are not intended to imply that the portfolio is benchmarked to the indices either in composition or level of risk. The indices are unmanaged, may or may not be investable, have no expenses (i.e., are gross of fees) and reflect reinvestment of dividends and distributions. Index data is provided for comparative purposes only. A variety of factors may cause an index to be an inaccurate benchmark for a particular investment within the portfolio and the index does not necessarily reflect the actual investment strategy of the portfolio.

Unless otherwise noted, net of fees consolidated performance information contained on the following pages is net of Wainwright’s advisory fees (if applicable) through the end of the calendar quarter previously reported and does not include Wainwright’s advisory fees for the calendar quarter being reported (those fees will be reflected in the next quarterly report). Individual account and component performance is presented net of investment manager fees and may or may not be net of Wainwright’s advisory fees, where applicable. As a result, the actual net performance figures may be lower than those reported herein.

Please note that there is no guarantee that your investment objectives will be achieved. You recognize that any recommendations provided by Wainwright involve Wainwright’s judgment and that Wainwright’s views regarding the economy, the securities markets or other specialized areas, like all predictions of future events, cannot be guaranteed to be accurate. The information herein reflects prevailing conditions and Wainwright‘s judgments as of this date, all of which are subject to change.

BOARD OF INVESTMENT COMMISSIONERS EMPLOYEES’ RETIREMENT SYSTEM

PROVIDENCE, RI

Investment Performance andInvestment Manager Review

Table of

Contents Section/Tab

Investment Performance Analysis……………………………………… A

Performance Summary: Total Account…………………………. 1Total Portfolio return information as of July 31, 2014

Portfolio Structure and Performance Summary: Asset Class……………………………… 2

Manager Performance: Benchmarkvs. Manager Analysis……………………………………………… 3

US Equity Managers……………………………… AInternational Equity Managers…………………… BFixed Income Managers………………………… CHedge Fund Managers…………………………. D

Providence, RI


Providence, RI

Investment Performance Analysis July 2014

Board of Investment CommissionersMarket Value Data Source: State Street Bank

Employees' Retirement System

Legend Name

US Large Cap Value8.7%

US Large Cap Growth5.8%

US Mid Cap Value10.3%

US Small Cap Value11.2%

US Mid/Small Cap Growth7.5%

Non-US Equity16.6% US Fixed Income

16.0%

Non-US Fixed Income5.7%

Cash0.4%

Private Equity1.1%

Hedge Funds16.6%

Investment Policy/Asset Allocation as of July 31, 2014

Returns for more than one year are annualized Actuarial Rate of Return - 8.25%

7/1/96 to 12/31/01: 5% S&P 500/7.5% Wil LCG/7.5% Wil LCV/5% Wil MCG/6.75% Wil MCV/5% Wil SCG/6.75% Wil SCV/8% MSCI EAFE/38% Bar G/C Int/3% Citi Non-US/7.5% 3 Mth T-Bill1/1/02 to 3/31/06: 8.2% Rus 1K Val/8.6% Rus 1K Gr/10.8% R 2K Val/8.1% Rus 2500 Gr/8% Rus MCV/ 11.8% MSCI EAFE/30% Bar G/C Int/3% Citi Non-US/7.5% HFRI Fd of Fds/4% S&P 500 + 4%4/1/06 to 4/30/09: 8.2% Rus 1K Val/8.6% Rus 1K Gr/10.8% R 2K Val/8.1% Rus 2500 Gr/8% Rus MCV/ 11.8% MSCI EAFE/26% Bar G/C Int/3% Citi Non-US/11.5% HFRI Fd of Fds/4% S&P 500 + 4%5/1/09 to 12/31/11: 7% Rus 1K Val/5% Rus 1K Gr/9.5% R 2K Val/7% Rus 2500 Gr/8.5% Rus MCV/ 14% MSCI EAFE/28% Bar G/C Int/6% Citi Non-US/12% HFRI Fd of Fds/3% S&P 500 + 4%1/1/12 to Present: 7.5% Rus 1K Val/5.25% Rus 1K Gr/10% R 2K Val/7.5% Rus 2500 Gr/9% Rus MCV/ 14.75% MSCI EAFE/24% Bar G/C Int/5% Citi Non-US/13% HFRI Fd of Fds/4% S&P 500 + 4%


Providence, RI


DISCLOSURE- The ERS Providence returns are presented time-weighted and net of investment management and advisory fees. Past performance is not a guarantee of future investment results.

[1] Investment Policy Benchmark

-1.8%

3.1%

11.1%10.0%

12.1%

7.5%

-2.0%

2.8%

10.1%9.4%

10.8%

7.3%

-10%

0%

10%

20%

July-14 YTD Trailing 1 Yr Trailing 3 Yrs Trailing 5 Yrs Since Inception-7/1/96

% R

etur

n

ERS Providence Policy Benchmark [1]


Providence, RI


Market Value Data Source: State Street Bank





US Mid/Small Cap Growth

7.5%Non-US Equity

16.6%

US Fixed Income16.0%


Cash0.4%

Private Equity1.1%

Hedge Funds16.6%

July 31, 2014





US Mid/Small Cap Growth

7.5%

Non-US Equity14.8%



Cash0.0%

Private Equity4.0%

Hedge Funds13.0%

Investment Policy/Asset Class Mix

Cap Policy Weighted Index:

46% Russell 1000/ 54% Russell 2000Custom Russell 1000

Since Inception to 12/31/01- S & P 500/ 1/1/02 to Present- Russell 1000Custom Russell 2000

Since Inception to 12/31/01- 50% WMSV & 50% WMSG/ 1/1/02 to Present- Russell 2000

Returns for more than one year are annualized


Providence, RI


DISCLOSURE- The portfolio returns are presented time-weighted and net of investment management fees only. Had advisory fees been deducted, the returns would be lower. Past performance is not a guarantee of future investment results.

US Equity Manager Performance

-3.1%

3.5%

15.8%16.7%

18.9%

9.0%

-4.0%

0.9%

12.5%

15.1%16.8%

8.5%

-10%

0%

10%

20%

30%


% R

etur

n

Total US EquityUS Equity Cap. Policy Weighted



Providence, RI



Non-US Equity Manager Performance

-2.5%

4.2%

18.8%

9.2% 9.0%10.3%

-2.0%

2.7%

15.1%

8.0%9.4%

5.1%

-10%

0%

10%

20%

30%


% R

etur

n

Brandes - EAFE ManagerBrandes MS - EAFE



Providence, RI



-0.5%

2.8%3.4%

1.8%

4.1%

5.4%

-0.2%

2.0% 2.3% 2.3%

3.8%

5.3%

-1.3%

4.6%

5.5%

-0.2%

2.9%

5.0%

-2%

0%

2%

4%

6%

8%

10%


% R

etur

n

Total Fixed IncomeFixed Income Managers BC Int. Govt/Credit Citi Non-US Fixed

Fixed Income Managers Performance

Investment Manager Performance Analysis


Providence, RI



(Net of Investment Management Fee's)

Legend Name






Non-US Equity16.6% US Fixed Income

16.0%


Cash0.4%

Private Equity1.1%

Hedge Funds16.6%

US Equity Manager Review


Providence, RI



Asset Allocation as of July 31, 2014

Legend Name






Non-US Equity16.6%



Cash0.4%

Private Equity1.1%

Hedge Funds16.6%

*Effective 1/1/02, Index was changed from Wilshire Target Large Value to Russell 1000 ValueReturns for more than one year are annualized

Statistics Jul-14Initial Contribution $25,070 Net Flows -40,664 Current Market Value $22,215% of Total Assets 8.75%


Providence, RI



Columbia (formerly Fleet ValuePath) - Large Cap Value

-1.2%

7.7%

17.4% 18.3% 18.3%

8.9%

-1.7%

6.4%

15.5%

17.6% 17.0%

8.0%

-10%

0%

10%

20%

30%


% R

etur

n

ValuePath *Custom Russell 1000 Value



Providence, RI



*Effective 1/1/02, Index was changed from Wilshire Target Large Growth to Russell 1000 GrowthReturns for more than one year are annualized

BNY/Mellon (formerly The Providence Group) - Large Cap Growth

-1.9%

4.4%

20.6%

14.2%16.5%

7.0%

-1.5%

4.7%

18.7%16.1%

17.3%

8.2%

-10%

0%

10%

20%

30%


% R

etur

n

BNY/Mellon (Providence Group) *Custom Russell 1000 Growth

Statistics Jul-14 Initial Contribution $9,434Net Flows -10,150 Current Market Value $7,341 % of Total Assets 2.89%


Providence, RI




SSGA Russell 1000 Growth Index

-1.5%

4.7%

18.7%

16.1%17.3%

8.4%

-1.5%

4.7%

18.7%16.1%

17.3%

8.4%

-10%

0%

10%

20%

30%


% R

etur

n

SSGA Russell 1000 Growth Index Russell 1000 Growth

Statistics Jul-14 Statistics Jul-14Initial Contribution $20,350 Initial Contribution $18,350Net Flows -56,525 Net Flows -43,200BP SCV Market Value $28,342 BP MCV Market Value $26,182% of Total Assets 11.16% % of Total Assets 10.31%


Providence, RI



*Effective 1/1/02, Small Value Index changed from Wilshire Target Small Value to Russell 2000 Value**Effective 1/1/02, Mid Value Index changed from Wilshire Target Mid Value to Russell MidCap Value


Robeco (Boston Partners) - Small/Mid Cap Value

-5.1%

0.9%

13.3%

16.0%

18.2%

10.9%

-1.9%

5.1%

18.9% 19.2%21.2%

10.9%

-6.0%

-2.1%

8.2%

13.6%

15.8%

8.0%

-2.9%

7.9%

17.8% 17.8%20.0%

10.2%

-10%

0%

10%

20%

30%


% R

etur

n

Robeco (Boston Partners) SCV Robeco (Boston Partners) MCV *Custom Russell 2000 Value **Custom Russell Mid Cap Value

Statistics Jul-14 Statistics Jul-14Initial Contribution $5,500 Initial Contribution $7,972Net Flows -4,109 Net Flows -7,351Vanguard MCG ETF $8,641 SSgA 2000 Growth Fd $10,485% of Total Assets 3.40% % of Total Assets 4.13%


Providence, RI




Vanguard MCG ETF/SSgA Russell 2000 Growth Fund-Mid/Small Growth Managers

-2.5%

4.1%

13.6% 13.0%

18.4% 19.4%

-3.0%

3.3%

15.1% 14.8%

18.6%19.8%

-6.0%-3.9%

9.0%

13.7%

17.3%19.1%

-6.1%-4.0%

8.9%

13.6%

17.2%19.1%

-10%

0%

10%

20%

30%

40%


% R

etur

n

Vanguard Mid Cap Growth ETF Russell Mid Cap Growth SSgA Russell 2000 Growth Fd Russell 2000 Growth

International Equity Manager Review


Providence, RI




Legend Name






Non-US Equity16.6%



Cash0.4%

Private Equity1.1%

Hedge Funds16.6%

Statistics Jul-14Initial Contribution $19,883Net Flows -42,493 Current Market Value $42,097% of Total Assets 16.58%


Providence, RI




Brandes Investment Partners vs. EAFE

-2.5%

4.2%

18.8%

9.2% 9.0%10.3%

-2.0%

2.7%

15.1%

8.0%9.4%

5.1%

-10%

0%

10%

20%

30%


% R

etur

n

Brandes MS - EAFE

Fixed Income Manager Review


Providence, RI




Legend NameUS Large Cap Value

8.7%US Large Cap Growth5.8%




Non-US Equity16.6%



Cash0.4%

Private Equity1.1%

Hedge Funds16.6%



Providence, RI




-0.3%

2.8%

3.4% 3.4%

5.2%5.8%

-0.2%

2.0%2.3% 2.3%

3.8%

5.3%

-2%

0%

2%

4%

6%

8%

10%


% R

etur

n

Loomis - US Fixed IncomeLoomis Sayles BC Int. Govt/Credit

US Fixed Income Manager Performance



Providence, RI




-1.4%

4.3%4.8%

-0.8%

2.7%

4.7%

-1.3%

4.6%

5.5%

-0.2%

2.9%

5.0%

-2%

0%

2%

4%

6%

8%

10%


% R

etur

n

Rogge - Non-US Fixed IncomeRogge Citi Non-US Fixed

International Fixed Income Manager Performance


Providence, RI



Asset Allocation as of July 31, 2014 Hedge Fund Manager Review

Legend NameUS Large Cap Value8.7%US Large Cap Growth

5.8%




Non-US Equity16.6%



Cash0.4%

Private Equity1.1%

Hedge Funds16.6%


Statistics Jul-14 Initial Contribution $6,000 Net Flows -1,000Current Market Value $11,249% of Total Assets 4.43%

Providence, RI

Q-BLK (Quellos) Strategic Partners




0.4%

4.4%

8.3%6.7%

8.3%

5.6%

-0.6%

1.4%

5.9%

2.9%3.8% 3.7%

-10%

0%

10%

20%


% R

etur

n

Q-BLK (Quellos) Strategic Partners HFR Fund of Funds

Statistics Jul-14 Initial Contribution $20,000 Net Flows -4,500Current Market Value $30,942% of Total Assets 12.19%

Providence, RI

Renaissance Institutional Equities Fund, LLC (Series B)

July 2014Investment Performance Analysis




-0.1%-1.9%

4.2%

12.9%

15.7%

7.2%

-1.0%

2.2%

8.9%

4.5%6.5%

3.6%

-10%

0%

10%

20%

30%


% R

etur

n

RIEF HFR Equity Index

ers prov july 2014 - data.providenceri.gov · employees' retirement system providence, ri...

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