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Fairfax County Public Schools | First Quarter 2020
Presentation Materials
Contact Information
Gregory J. Fox, CFAAssociate PartnerAon Investments USA Inc.201 Merritt 7, STE 2Norwalk, CT 06850t +1 (203) 523-8780f +1 (847) [email protected]
Maggie UhleinConsultantAon Investments USA Inc.201 Merritt 7, STE 2Norwalk, CT 06850t +1 (203) 523-6762f +1 (203) [email protected]
Connor KeenanSenior Investment AnalystAon Investments USA Inc.201 Merritt 7, STE 2Norwalk, CT 06850t +1 (203) 523-6195f +1 (203) [email protected]
Aon Proprietary & Confidential Investment advice and consulting services provided by Aon Investments USA Inc.
Global Equity Markets
-22.4%-24.1%
-21.1%
-30.0%
-17.4%
-28.9%
-20.9%-23.3%
-28.4%
-24.4%
-12.7%
-16.3%
-9.7%
-23.3%
-7.5%
-21.0%
-13.8% -13.3%
-24.5%
-18.9%
-40%
-30%
-20%
-10%
0%
ACWI IMI 44.2%ACWI ex-U.S.
IMI
55.8%USA IMI
4.5%UK IMI
8.1%Japan IMI
2.8%Canada IMI
0.2%Israel IMI
13.5%Europe ex-UK
IMI
3.3%Pacific ex-Japan
IMI
11.8%Emerging
Markets IMI
GLOBAL MSCI IMI INDEX RETURNS (USD)AS OF 03/31/2020
First Quarter 2020 One-Year
Source: MSCI
A decade-long bull market came to an abrupt halt as the Covid-19 outbreak in China turned into a global pandemic. After reaching all-time highs in mid-February, global equities sold off sharply as infection numbers grew and governments worldwide ramped up virus containment measures. With much of the economy shuttered, a deep global recession appears to be inevitable despite unprecedented fiscal and monetary stimulus measures. In local currency terms, the MSCI AC World Investable Market Index fell by 21.0%. Appreciation of the U.S. dollar further dragged down the returns to -22.4% in USD terms in Q1 2020.
UK equities were the worst performers (-30.0%) over the quarter where its sizeable resource sector (Oil & Gas and Basic Materials) underperformed due to sharp drop in crude oil prices amidst the coronavirus outbreak. Brexit negotiations ran into difficulties as the UK and the European Union (EU) clashed on “level playing field” requirements. The UK Prime Minister Boris Johnson stated that Britain would be prepared to leave the EU on the World Trade Organization’s (WTO) terms if progress is not made by June 2020.
Page 1
Aon Proprietary & Confidential Investment advice and consulting services provided by Aon Investments USA Inc.
Global Equity Markets
USA55.8%
UK4.5%
Canada2.8%
Pacif ic ex-Japan3.3% Japan
8.1%
Europe ex-UK13.5%
Israel0.2%
Latin America
1.0%
Asia9.3%
Eastern Europe, Middle East & Africa1.5%
Emerging Markets11.8%
MSCI ALL COUNTRY WORLD IMI INDEX GEOGRAPHIC ALLOCATION AS OF 03/31/2020
Source: MSCI
UK10.2%
Canada6.3%
Pacif ic ex-Japan7.5%
Japan18.3%
Europe ex-UK30.6%
Israel0.5%
Latin America2.2%
Asia21.0%
Eastern Europe, Middle East & Africa3.5%
Emerging Markets26.7%
MSCI ALL COUNTRY WORLD EX-U.S. IMI INDEX GEOGRAPHIC ALLOCATION AS OF 03/31/2020
Source: MSCI
The two exhibits on this slide illustrate the percentage that each country/region represents of the global and international equity markets as measured by the MSCI All Country World IMI Index and the MSCI All Country World ex-U.S. IMI Index, respectively.
Page 2
Aon Proprietary & Confidential Investment advice and consulting services provided by Aon Investments USA Inc.
U.S. Equity Markets
-20.9%
-12.1% -12.9%
-20.5%
-15.1%
-51.6%
-28.3% -27.8% -28.6%
-15.1%-9.1%
8.0%
-2.1%
-10.6%
-4.2%
-54.5%
-19.2% -19.7%-15.6%
-3.2%
-60.0%
-50.0%
-40.0%
-30.0%
-20.0%
-10.0%
0.0%
10.0%
20.0%
Russell3000
25.1%Te chnology
15.1%Healthcare
14.5%Cons. Disc
6.2%Cons.
Staples
2.5%Energ y
3.0%Materials &Processing
9.1%Produ cerDurables
18.9%FinancialServices
5.5%Utilities
RUSSELL SECTOR RETURNS AS OF 03/31/2020
First Quarter 2020
One-Year
Source: Russell Indexes
-20.9%-24.2%
-12.5%
-31.7%
-20.0%
-35.7%
-25.8%
-9.1%
-13.6%
3.7%
-24.1%
-9.4%
-29.6%
-18.6%
-40.0%
-35.0%
-30.0%
-25.0%
-20.0%
-15.0%
-10.0%
-5.0%
0.0%
5.0%
10.0%
Russell3000
28.8%LargeValue
42.1%Large
Growth
13.1%MediumValue
10.2%MediumGrowth
2.6%SmallValue
3.2%Small
Growth
RUSSELL STYLE RETURNS AS OF 03/31/2020
First Quarter 2020
One-Year
Source: Russell Indexes
Three major U.S. equity indices (S&P 500, Dow Jones Industrial Average and Nasdaq Composite) entered bear market territory as the indices fell more than 20% below their mid-February peaks in the fastest bear market on record ending the 11-year bull market, the longest on record. Returns were on pace to be much worse before stock markets rallied to end the quarter. Large fiscal stimulus packages were credited as the major reason for improving risk sentiment. For the quarter, the Dow Jones US Total Stock Market Index returned -21.0%. The Russell 3000 Index fell 20.9% during the first quarter and 9.1% over the one-year period.
The CBOE Volatility Index (VIX), Wall Street’s “fear gauge”, set a new record peak of 82.7 in mid-March before ending the quarter slightly lower at 53.5 after having averaged 19.0 over the previous 12 months.
All sectors generated negative returns over the quarter. In particular, Energy (-51.6%) and Financial Services (-28.6%) were the worst performing sectors in Q1 2020.
Performance was negative across the market capitalization spectrum over the quarter. Small cap stocks underperformed both large and medium cap stocks over the quarter. Value stocks underperformed their Growth counterparts in Q1 2020 and over the last year.
Page 3
Aon Proprietary & Confidential Investment advice and consulting services provided by Aon Investments USA Inc.
U.S. Fixed Income Markets
3.1%
8.1%
-3.6%
2.8%
-0.2%
1.2%
8.9%
13.1%
5.0%
7.0%
2.8%
6.1%
-6.0%
-4.0%
-2.0%
0.0%
2.0%
4.0%
6.0%
8.0%
10.0%
12.0%
14.0%
Barclays Agg.Bond
44.2%Govt
25.2%Corp.
27.9%MBS
0.4%ABS
2.2%CMBS
BLOOMBERG BARCLAYS AGGREGATE RETURNS BY SECTOR AS OF 03/31/2020
First Quarter 2020 One-YearSource: FactSet
1.8%2.8% 2.7% 2.1%
6.2%4.6%
7.0% 7.4%8.8%
19.3%
0.0%
5.0%
10.0%
15.0%
20.0%
25.0%
1-3 Yr. 3-5 Yr. 5-7 Yr. 7-10 Yr. >10 Yr.
BLOOMBERG BARCLAYS AGGREGATE RETURNS BY MATURITY AS OF 03/31/2020
First Quarter 2020 One-YearSource: FactSet
5.8%
1.5%
-0.6%
-7.4%
-12.7%
10.5%
7.5% 7.4%
1.9%
-6.9%
-15.0%
-10.0%
-5.0%
0.0%
5.0%
10.0%
15.0%
Aaa Aa A Baa High Yield
BLOOMBERG BARCLAYS AGGREGATE RETURNS BY QUALITY AND HIGH YIELD RETURNS AS OF 03/31/2020
First Quarter 2020 One-YearSource: FactSet
The Bloomberg Barclays U.S. Aggregate Bond Index rose by 3.1% over the quarter, supported by Government bond’s return of 8.1%. The risk asset sell-off which tormented equity markets were also evident in the corporate bonds space, as concerns over corporate leverage that were disregarded in more benign times resurfaced. Corporate bonds underperformed with a return of -3.6%.
Performance was mixed across all credit grades. High yield bonds fell by 12.7%. Within investment grade bonds, Aaa bonds outperformed with a return of 5.8%.
Long-maturity bonds outperformed intermediate and short-maturity bonds over the quarter. Long-maturity bonds returned 6.2% while short-maturity bonds returned only 1.8% in Q1 2020.
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Aon Proprietary & Confidential Investment advice and consulting services provided by Aon Investments USA Inc.
U.S. Fixed Income Markets
-2.0%
-1.0%
0.0%
1.0%
2.0%
3.0%
4.0%
5.0%
Mar 10 Mar 12 Mar 14 Mar 16 Mar 18 Mar 20
U.S. 10-YEAR TREASURY AND TIPS YIELDS10Y TIPS Yield
10Y Treasury Yield
Source: U.S. Department of Treasury
-0.5%
0.0%
0.5%
1.0%
1.5%
2.0%
2.5%
3.0%
0 5 10 15 20 25 30
Maturity (Years)
U.S. TREASURY YIELD CURVE
3/31/2019
12/31/2019
3/31/2020
Source: U.S. Department of Treasury
The U.S. nominal yield curve shifted downwards over the quarter as the combination of economic damage caused by the Pandemic and the response of easing monetary policy caused yields to fall across the curve.
The rate cuts, along with decreases in global output, caused 10-year US treasury yields to decrease by over 122 basis points to 0.70%, the first time in history it fell below 1.0%, and it remained there at the end of the quarter. The 30-year yield began the quarter at 2.39% and ended the quarter at 1.27%, a decline of 1.12%. The 30-year yield briefly closed below 1% on March 9, 2020, a sign of how stressed the outlook had become
The 10-year TIPS yield fell by 32bps over the quarter to -0.17%.
The US Federal Reserve (Fed) announced two emergency rate cuts over the quarter, lowering the Fed Funds Rate target by a total of 150bps to 0.00%-0.25%. The Federal Reserve also launch unlimited QE, and an expansion of QE into other markets, such as corporate bonds and municipal bonds. In addition to this, Congress passed a $2.2tn stimulus package, the largest bailout in US history.
Page 5
Aon Proprietary & Confidential Investment advice and consulting services provided by Aon Investments USA Inc.
European Fixed Income Markets
0%
5%
10%
15%
20%
25%
30%
2012 2013 2014 2015 2016 2017 2018 2019 2020
EUROZONE PERIPHERAL BOND SPREADS(10-YEAR SPREADS OVER GERMAN BUNDS)
Spain ItalyPortugal GreeceIreland
Source: FactSet
European government bond spreads over 10-year German bunds rose across the Euro Area with core yields falling and peripheral yields rising (except Ireland). The European Central Bank (ECB) expanded its asset purchase programme and removed a self-imposed limit to buy no more than a third of any country’s eligible bond, restoring some stability to the Euro Area’s government bond market.
German government bund yields fell in line with other developed market government bond yields, falling by 30bps to -0.49% over the quarter. Germany’s annual economic growth slowed to its lowest rate in six years at 0.6% whilst it posted zero growth in Q4, hit by falling household and government consumption while capital investment in machinery and equipment fell.
Italian government bond yields rose by 6bps to 1.48% over the quarter, retracting from a nine-month high of 2.3% after it spiked by 130bps mid-March and Spanish government bond yields rose by 18bps to 0.64%. Both the countries were the worst affected by novel coronavirus in Europe and were the first to impose quarantine measures.
Greek government bond yields rose by 18bps to 1.61% over the quarter which saw the country’s 10-year yield drop below 1% mid-Feb for the first time.
Page 6
Aon Proprietary & Confidential Investment advice and consulting services provided by Aon Investments USA Inc.
Credit Spreads
Spread (bps) 03/31/2020 12/31/2019 03/31/2019 Quarterly Change (bps)One-Year Change
(bps)
U.S. Aggregate 95 39 44 56 51
Long Gov't 4 0 1 4 3
Long Credit 279 139 172 140 107
Long Gov't/Credit 151 79 99 72 52
MBS 60 39 35 21 25
CMBS 188 72 69 116 119
ABS 213 44 39 169 174
Corporate 272 93 119 179 153
High Yield 880 336 391 544 489
Global Emerging Markets 619 287 283 332 336
Source: FactSet, B loomberg Barclays
The rapid reassessment of the economic outlook took a dramatic toll on credit assets during the quarter. Credit spreads over U.S. Treasuries widened over the quarter.
Riskier areas of credit, such as US high yield bonds and emerging market debt, saw double digit losses due to a decrease in investors’ risk appetite. High Yield bond spreads widened significantly in Q1 2020, increasing by 544bps. This was followed by Global Emerging Markets bonds spreads, which widened by 332bps.
Page 7
Aon Proprietary & Confidential Investment advice and consulting services provided by Aon Investments USA Inc.
Currency
80
90
100
110
120
130
140
Mar 14 Mar 15 Mar 16 Mar 17 Mar 18 Mar 19 Mar 20
U.S. DOLLAR RELATIVE TO EUR, GBP AND JPY REBASED TO 100 AT 03/31/2014
EUR/USD
GBP/USD
JPY/USD
Source: FactSet
Stronger Dollar
Weaker Dollar
80
85
90
95
100
105
110
115
120
125
Mar 14 Mar 15 Mar 16 Mar 17 Mar 18 Mar 19 Mar 20
TRADE WEIGHTED U.S. DOLLAR INDEX(1973 = 100)
Source: Federal Reserve
The U.S. dollar generally strengthened against major currencies over the quarter as it rose 7.1% on a trade-weighted basis. U.S. dollar appreciated against euro and sterling but marginally depreciated against Japanese yen.
Sterling fell sharply over the quarter amidst “risk-off” trade flows as the coronavirus outbreak escalated. The UK’s current account deficit and its status as a relatively small open economy means that sterling is particularly exposed to international fund flows. As investor concerns over economic growth and financial market stability grew, capital flows started to dry up from the UK as investors seek “safe haven” assets such as the US dollar. Sterling depreciated by 6.4% against the U.S. dollar.
Alongside a more dovish ECB and a weaker economic outlook, the euro fell against both the US dollar and the Japanese yen, depreciating by 2.2% and 2.9% respectively. However, it rose by 4.2% against sterling.
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Aon Proprietary & Confidential Investment advice and consulting services provided by Aon Investments USA Inc.
Commodities
-23.3%
-11.5%
-51.1%
-18.5%
-1.1%
-9.9%
-16.8%
-7.2%
-28.1%
-22.3%
-8.3%
-52.9%
-22.7%
15.7%
-5.3%
-13.7%
-2.6%
-35.5%
-60.0% -50.0% -40.0% -30.0% -20.0% -10.0% 0.0% 10.0% 20.0%
Bloomberg Commodity Index
Ex-Energy
Energy
Industrial Metals
Prec. Metals
Agric.
Softs
Grains
Livestock
COMMODITY RETURNS AS OF 03/31/2020
First Quarter 2020
One-Year
Source: BloombergNote: Softs and Grains are part of the wider Agriculture sector
Amidst Covid-19 pandemic, commodities fell sharply over the quarter which saw the Bloomberg Commodity Index tumble by 23.3%.
Energy was the worst performing sector over the quarter with a return of -51.1% as crude oil prices fell sharply following Saudi Arabia’s plans to raise production and offer deep discounts to key markets in a bid to gain market share after Russia rejected a proposal by OPEC to cut oil production. The price of Brent crude oil fell by 65.5% to $23/bbl. and WTI crude oil spot prices fell by 66.5% to $20/bbl.
Livestock (-28.1%) was the second worst performing sector in Q1 2020.
Page 9
Aon Proprietary & Confidential Investment advice and consulting services provided by Aon Investments USA Inc.
Hedge Fund Markets Overview
-3.4%
0.1%
-12.9%
-13.9%
-15.3%
-12.2%
-7.0%
-9.4%
-7.3%
1.4%
4.2%
-8.0%
-10.4%
-12.6%
-12.4%
-3.8%
-5.1%
-3.9%
-20.0% -15.0% -10.0% -5.0% 0.0% 5.0% 10.0%
Fixed Income/Convertible Arb.
Global Macro
Equity Hedge
Emerging Markets
Event-Driven
Distressed-Restructuring
Relative Value
Fund-Weighted Composite Index
Fund of Funds Composite Index
HEDGE FUND PERFORMANCE AS OF 03/31/2020
First Quarter 2020
One-Year
Note: Latest 5 months of HFR data are estimated by HFR and may change in the future.Source: HFR
Hedge fund performance was generally negative across all strategies in the first quarter.
Over the quarter, Global Macro was the only strategy to generate marginal positive return of 0.1%. Conversely, Event-Driven and Emerging Markets were the worst performers, falling 15.3% and 13.9% respectively.
HFRI Fund-Weighted Composite Index and the HFRI Fund of Funds Composite Index produced returns of -9.4% and -7.3% respectively.
Page 10
Fairfax County Public Schools – Summary
This report has been prepared by Aon Investments USA Inc. to provide Fairfax County Public Schools with an objective, thirdparty review of the historical investment results of the 457(b) Plan.
Asset AllocationThe Fairfax County Public Schools 457(b) Plan currently offers 7 investment options and a series of lifecycle funds. As of March 31, 2020, the Plan had 1 guaranteed interest fund, 1 fixed income fund, 1 inflation-sensitive solution, 2 passively-managed domestic equity funds, 1 actively-managed domestic equity funds, 1 actively-managed foreign equity fund and a series of actively managed target date funds. The two passively-managed domestic equity funds cover the following asset classes: large cap core and mid cap core. The two actively-managed domestic equity funds cover the following asset classes: large cap core and mid cap growth. Participants may allocate their investments among the funds in accordance with their own personal tolerance for risk. As of March 31, 2020, the assets of the Plan totaled $213.9 million. The Plan held 17.8% of assets in the guaranteed interest product, 8.8% in fixed income, 51.8% in domestic equity, 8.0% in foreign equity and 13.5% in target date funds. The Plan’s asset allocation by fund is detailed later in this report.
Plan PerformanceDuring the first quarter of 2020, A decade-long bull market came to an abrupt halt as the Covid-19 outbreak in China turned into aglobal pandemic. After reaching all-time highs in mid-February, global equities sold off sharply as infection numbers grew andgovernments worldwide ramped up virus containment measures. The Russell 3000 Index fell 20.9% during the first quarter and9.1% over the one-year period. The CBOE Volatility Index (VIX), Wall Street’s “fear gauge”, set a new record peak of 82.7 in mid-March before ending the quarter slightly lower at 53.5 after having averaged 19.0 over the previous 12 months. All sectorsgenerated negative returns over the quarter. In particular, Energy (-51.6%) and Financial Services (-28.6%) were the worstperforming sectors in Q1 2020. Performance was negative across the market capitalization spectrum over the quarter. Small capstocks underperformed both large and medium cap stocks over the quarter. Value stocks underperformed their Growthcounterparts in Q1 2020 and over the last year. With much of the economy shuttered, a deep global recession appears to beinevitable despite unprecedented fiscal and monetary stimulus measures. In local currency terms, the MSCI AC World InvestableMarket Index fell by 21.0%. Appreciation of the U.S. dollar further dragged down the returns to -22.4% in USD terms in Q1 2020.The domestic fixed income market, as represented by Bloomberg Barclays US Aggregate Bond Index, posted a slightly positivereturn for the quarter of 3.1%, supported by Government bond’s return of 8.1%. Long duration bonds outperformed shorterduration bonds during the quarter.
Page 11
Fairfax County Public Schools – Summary
Plan Performance (continued)Against this backdrop the plan’s options generated mostly negative returns while most of the actively managed target date fundsunderperformed their benchmarks.
Longer-term relative performance of most of the Plan’s active investments had positive results for the ten-year period ending March 31, 2020. Allowing for the expense ratios of the funds, both of the Plan’s index options successfully tracked their target Indices during the for longer periods, however they trailed slightly over the quarter.
Quarterly Fund Attribution
PIMCO Total Return Fund underperformed during the quarter- Positions in non-Agency MBS- TIPS held in lieu of nominal treasuries- Short duration exposure to select developed markets, particularly the U.K. and Japan
PIMCO Inflation Response Multi-Asset Fund underperformed during the quarter- Exposure to broad inflation assets, REITs and EM currencies detracted from absolute performance- Active commodity strategies- Positions in non-agency MBS, high yield corporate credit, and EM debt
Page 12
Fairfax County Public Schools – Summary
Quarterly Fund Attribution (continued)
Baron Growth Fund underperformed during the quarter- Specific holdings Vail Resorts, Arch Capital Group and Choice Hotels International, Inc.
Artisan International Fund outperformed during the quarter+ Relative outperformance was driven by holdings in industrial gases companies, exchange and insurance companies, and e-
commerce oriented businesses+ Currency impact was also favorable due to exposure to the US Dollar
Page 13
Market Value As of
1/1/2020Net
Transfers Contributions Distributions
Capital Apprec./ Deprec.
Market Value As of
3/31/2020U.S. FIXED INCOME 53,345,681.36 3,299,885.65 885,737.13 -1,447,951.74 526,643.33 56,609,995.73Great West Portfolio Fund 34,767,246.68 3,596,300.83 595,454.50 -1,310,295.31 174,338.55 37,823,045.25PIMCO Total Return Adm 18,265,327.93 -327,222.59 282,915.60 -137,481.19 389,553.13 18,473,092.88PIMCO Inflation Response MultiAsst Inst 313,106.75 30,807.41 7,367.03 -175.24 -37,248.35 313,857.60TARGET DATE 33,608,833.65 45,435.76 1,070,170.77 -146,226.67 -5,773,296.06 28,804,917.45T. Rowe Price Retirement I 2005 I 946,181.12 -323,052.48 26,498.15 -807.55 -105,840.97 542,978.27T. Rowe Price Retirement I 2010 I 70,723.41 -1,488.43 948.84 -800.24 -7,909.69 61,473.89T. Rowe Price Retirement I 2015 I 1,576,747.43 47,900.93 20,018.14 -5,353.26 -203,595.97 1,435,717.27T. Rowe Price Retirement I 2020 I 6,644,329.12 290,511.73 60,208.06 -9,949.70 -988,801.05 5,996,298.16T. Rowe Price Retirement I 2025 I 6,824,178.76 532,249.92 228,662.83 -25,685.77 -1,176,217.64 6,383,188.10T. Rowe Price Retirement I 2030 I 4,230,264.50 -98,019.21 149,857.73 -1,282.24 -733,830.53 3,546,990.25T. Rowe Price Retirement I 2035 I 5,775,192.30 -39,985.74 198,354.37 -242.56 -1,095,083.35 4,838,235.02T. Rowe Price Retirement I 2040 I 3,463,899.72 -245,969.73 156,662.55 -14,597.91 -656,206.81 2,703,787.82T. Rowe Price Retirement I 2045 I 1,744,019.26 -106,095.22 79,623.20 -81,948.80 -321,992.73 1,313,605.71T. Rowe Price Retirement I 2050 I 1,119,448.59 -23,545.63 36,619.69 -238.48 -226,774.01 905,510.16T. Rowe Price Retirement I 2055 I 1,213,849.44 12,929.62 112,717.21 -5,320.16 -257,043.31 1,077,132.80U.S. EQUITY 147,553,659.04 -2,924,494.54 2,121,066.23 -1,154,049.84 -34,739,213.06 110,856,967.83iShares S&P 500 Index 41,363,479.61 20,286,636.41 878,041.15 -338,118.49 -7,734,266.45 54,455,772.23Dodge & Cox Stock 30,441,902.24 -21,570,407.88 314,791.22 -155,632.86 -9,030,652.72 0.00Vanguard Mid Cap Index 39,624,137.27 -696,285.91 553,033.56 -419,501.69 -10,048,936.09 29,012,447.14Baron Growth Inst 36,124,139.92 -944,437.16 375,200.30 -240,796.80 -7,925,357.80 27,388,748.46INTERNATIONAL EQUITY 22,045,201.26 -420,826.87 279,551.79 -143,337.44 -4,633,432.24 17,127,156.47Artisan International Inv 22,045,201.26 -420,826.87 279,551.79 -143,337.44 -4,633,432.24 17,127,156.47OTHER 2,349,443.39 2,136,533.08Loan Fund 1,916,700.59 1,860,411.26Forfeiture Account 432,742.80 276,121.82
Total 457(b) Plan 258,902,818.70 4,356,525.92 -2,891,565.69 -44,619,298.03 215,535,570.56
Financial ReconciliationAs of March 31, 2020Fairfax County Public Schools
1Market Values may be slightly different as any corrections or adjustments after effective date are not included. 2Loan Fund and Forfeiture Account do not have cash flows available.
2
2
Page 14
December 31, 2019 : $259,335,491 March 31, 2020 : $215,811,154
SegmentsMarket Value
($)Allocation
(%)
Domestic Equity 147,553,659.04 56.90¢£
International Equity 22,045,201.26 8.50¢£
Domestic Fixed Income 18,265,327.93 7.04¢£
GIC 35,199,989.48 13.57¢£
Real Return 313,106.75 0.12¢£
Loan Fund 1,916,700.59 0.74¢£
Cash 432,742.80 0.17¢£
Life Cycle 33,608,763.10 12.96¢£
SegmentsMarket Value
($)Allocation
(%)
Domestic Equity 110,856,967.83 51.37¢£
International Equity 17,127,156.47 7.94¢£
Domestic Fixed Income 18,473,092.88 8.56¢£
GIC 38,098,629.05 17.65¢£
Real Return 313,857.60 0.15¢£
Loan Fund 1,860,411.26 0.86¢£
Cash 276,121.82 0.13¢£
Life Cycle 28,804,917.45 13.35¢£
Fairfax County Public Schools
457(b) Plan
Asset Allocation by Segment
Page 15
Domestic Equity International Equity Domestic Fixed Income GIC
Real Return Loan Fund Cash Life Cycle
0.0
10.0
20.0
30.0
40.0
50.0
60.0
70.0
80.0
90.0
100.0
Allo
ca
tio
n (%
)
3/10 9/10 3/11 9/11 3/12 9/12 3/13 9/13 3/14 9/14 3/15 9/15 3/16 9/16 3/17 9/17 3/18 9/18 3/19 9/19 3/20
Fairfax County Public Schools
Historical Asset Allocation by Segment
April 1, 2010 To March 31, 2020
Total 457(b) Plan
Page 16
Allocation
MarketValue($000)
%
Performance(%)
1Quarter
1Year
3Years
5Years
7Years
10Years
Total 457(b) Plan 215,811.15 100.00
U.S. Fixed Income 56,885.58 26.36
Great West Portfolio Fund¹ 38,098.63 17.65 0.48 1.95 1.95 1.96 1.90 2.03
90 Day U.S. Treasury Bill 0.58 2.25 1.83 1.17 0.85 0.62
Stable Value Institutional Peer Group 0.52 2.22 1.99 1.78 1.68 1.85
PIMCO Total Return Adm 18,473.09 8.56 2.14 (27) 7.37 (30) 4.25 (37) 2.98 (50) 2.67 (75) 3.85 (48)
Blmbg. Barc. U.S. Aggregate 3.15 (15) 8.93 (13) 4.82 (6) 3.36 (11) 3.19 (16) 3.88 (45)
PIMCO Inflation Response MultiAsst Inst 313.86 0.15 -11.03 (20) -7.14 (39) 0.02 (52) 0.70 (63) -0.46 (90) -
PIMCO IRMA Benchmark -8.02 (12) -2.97 (16) 0.27 (50) 0.33 (68) -1.17 (93) 1.41 (100)
Target Date 28,804.92 13.35
T. Rowe Price Retirement I 2005 I 542.98 0.25 -10.30 (68) -3.53 (60) 2.18 (43) - - -
T. Rowe Price Retirement 2005* -10.36 (68) -3.20 (56) 2.21 (40) 2.86 (22) 3.81 (25) 5.03 (22)
T. Rowe Price Retirement 2005 Index -6.80 (26) 0.75 (12) 3.72 (5) 3.60 (3) 4.47 (4) 5.36 (13)
T. Rowe Price Retirement I 2010 I 61.47 0.03 -11.27 (99) -3.72 (94) 2.38 (69) - - -
T. Rowe Price Retirement 2010* -11.37 (100) -3.86 (96) 2.22 (71) 2.97 (56) 4.16 (41) 5.43 (23)
T. Rowe Price Retirement 2010 Index -8.10 (52) -0.20 (34) 3.66 (13) 3.68 (3) 4.77 (3) 5.76 (14)
T. Rowe Price Retirement I 2015 I 1,435.72 0.67 -12.45 (100) -4.58 (97) 2.41 (72) - - -
T. Rowe Price Retirement 2015* -12.48 (100) -4.73 (98) 2.30 (74) 3.13 (34) 4.69 (27) 5.99 (22)
T. Rowe Price Retirement 2015 Index -9.49 (55) -1.22 (31) 3.70 (6) 3.87 (1) 5.27 (1) 6.33 (1)
T. Rowe Price Retirement I 2020 I 5,996.30 2.78 -14.19 (100) -5.85 (99) 2.50 (77) - - -
T. Rowe Price Retirement 2020* -14.21 (100) -5.97 (100) 2.38 (78) 3.31 (26) 5.20 (11) 6.50 (6)
T. Rowe Price Retirement 2020 Index -11.55 (76) -2.66 (50) 3.71 (7) 4.07 (1) 5.73 (2) 6.82 (1)
Fairfax County Public Schools
Asset Allocation & Performance
As of March 31, 2020
¹Market value is being sourced from Empower's Plan Service Center and may include corrections and adjustments made after effective date.*Alternate share class shown to illustrate performance history.
Page 17
Fairfax County Public Schools
Asset Allocation & Performance
As of March 31, 2020
Allocation
MarketValue($000)
%
Performance(%)
1Quarter
1Year
3Years
5Years
7Years
10Years
T. Rowe Price Retirement I 2025 I 6,383.19 2.96 -15.86 (100) -7.14 (99) 2.42 (62) - - -
T. Rowe Price Retirement 2025* -15.86 (100) -7.31 (100) 2.29 (66) 3.36 (32) 5.59 (6) 6.87 (6)
T. Rowe Price Retirement 2025 Index -13.71 (79) -4.36 (47) 3.49 (16) 4.10 (2) 6.02 (3) 7.15 (4)
T. Rowe Price Retirement I 2030 I 3,546.99 1.64 -17.34 (100) -8.34 (98) 2.34 (55) - - -
T. Rowe Price Retirement 2030* -17.34 (100) -8.48 (99) 2.23 (58) 3.43 (34) 5.91 (12) 7.20 (7)
T. Rowe Price Retirement 2030 Index -15.53 (72) -5.79 (43) 3.33 (17) 4.15 (9) 6.29 (6) 7.44 (4)
T. Rowe Price Retirement I 2035 I 4,838.24 2.24 -18.50 (81) -9.35 (82) 2.25 (37) - - -
T. Rowe Price Retirement 2035* -18.55 (82) -9.49 (85) 2.10 (46) 3.41 (25) 6.11 (6) 7.38 (7)
T. Rowe Price Retirement 2035 Index -16.99 (45) -6.95 (22) 3.18 (10) 4.17 (5) 6.46 (4) 7.62 (5)
T. Rowe Price Retirement I 2040 I 2,703.79 1.25 -19.53 (67) -10.21 (57) 2.14 (27) - - -
T. Rowe Price Retirement 2040* -19.48 (64) -10.27 (58) 2.03 (30) 3.42 (20) 6.24 (7) 7.50 (8)
T. Rowe Price Retirement 2040 Index -18.29 (40) -8.07 (17) 2.99 (9) 4.15 (6) 6.54 (4) 7.72 (5)
T. Rowe Price Retirement I 2045 I 1,313.61 0.61 -20.30 (50) -10.90 (54) 1.94 (26) - - -
T. Rowe Price Retirement 2045* -20.30 (50) -10.99 (56) 1.84 (29) 3.34 (20) 6.19 (9) 7.46 (7)
T. Rowe Price Retirement 2045 Index -19.33 (37) -8.96 (14) 2.73 (7) 4.03 (6) 6.46 (4) 7.66 (5)
T. Rowe Price Retirement I 2050 I 905.51 0.42 -20.30 (42) -10.89 (40) 1.98 (21) - - -
T. Rowe Price Retirement 2050* -20.27 (39) -10.94 (41) 1.86 (23) 3.35 (20) 6.20 (9) 7.47 (7)
T. Rowe Price Retirement 2050 Index -19.33 (27) -8.96 (15) 2.73 (6) 4.03 (6) 6.46 (4) 7.66 (5)
T. Rowe Price Retirement I 2055 I 1,077.13 0.50 -20.32 (32) -10.90 (35) 1.97 (21) - - -
T. Rowe Price Retirement 2055* -20.38 (34) -11.08 (36) 1.78 (29) 3.31 (22) 6.17 (9) 7.46 (-)
T. Rowe Price Retirement 2055 Index -19.33 (19) -8.96 (15) 2.73 (6) 4.03 (6) 6.46 (4) 7.66 (-)
¹Market value is being sourced from Empower's Plan Service Center and may include corrections and adjustments made after effective date.*Alternate share class shown to illustrate performance history.
Page 18
Fairfax County Public Schools
Asset Allocation & Performance
As of March 31, 2020
Allocation
MarketValue($000)
%
Performance(%)
1Quarter
1Year
3Years
5Years
7Years
10Years
U.S. Equity 110,856.97 51.37
iShares S&P 500 Index 54,455.77 25.23 -19.54 (13) -6.93 (7) 5.11 (7) 6.71 (13) 9.58 (13) 10.46 (15)
S&P 500 Index -19.60 (30) -6.98 (15) 5.10 (8) 6.73 (6) 9.62 (1) 10.53 (3)
Vanguard Mid Cap Index 29,012.45 13.44 -25.71 (51) -16.63 (48) -0.25 (47) 2.10 (46) 6.71 (42) 8.87 (41)
Vanguard Spliced Mid Cap Index -25.74 (51) -16.65 (48) -0.25 (47) 2.11 (46) 6.74 (42) 8.90 (41)
Baron Growth Inst 27,388.75 12.69 -22.30 (74) -10.28 (59) 7.02 (34) 5.67 (42) 8.46 (57) 10.71 (38)
Russell Midcap Growth Index -20.04 (58) -9.45 (51) 6.53 (41) 5.61 (42) 9.49 (37) 10.89 (29)
International Equity 17,127.16 7.94
Artisan International Inv 17,127.16 7.94 -21.26 (39) -7.78 (20) 2.92 (13) -0.20 (36) 2.72 (29) 4.92 (15)
MSCI EAFE Index (Net) -22.83 (56) -14.38 (57) -1.82 (53) -0.62 (49) 1.75 (44) 2.72 (41)
MSCI AC World ex USA Index (Net) -23.36 (61) -15.57 (66) -1.96 (53) -0.64 (49) 1.06 (61) 2.05 (67)
¹Market value is being sourced from Empower's Plan Service Center and may include corrections and adjustments made after effective date.*Alternate share class shown to illustrate performance history.
Page 19
2019 2018 2017 2016 2015 2014 2013 2012 2011 2010
U.S. Fixed Income
Great West Portfolio Fund¹ 1.95 1.95 1.95 1.98 2.00 1.86 1.53 2.11 2.55 2.67
90 Day U.S. Treasury Bill 2.28 1.87 0.86 0.25 0.03 0.04 0.05 0.08 0.08 0.13
Stable Value Institutional Peer Group 2.22 1.94 1.64 1.48 1.45 1.38 1.52 1.93 2.36 2.79
PIMCO Total Return Adm 7.99 (84) -0.51 (53) 4.87 (7) 2.34 (81) 0.47 (39) 4.43 (81) -2.16 (72) 10.10 (3) 3.91 (95) 8.57 (17)
Blmbg. Barc. U.S. Aggregate 8.72 (61) 0.01 (19) 3.54 (62) 2.65 (64) 0.55 (30) 5.97 (32) -2.02 (64) 4.21 (77) 7.84 (15) 6.54 (69)
IM U.S. Broad Market Core Fixed Income (MF) Median 9.00 -0.48 3.80 2.96 0.34 5.76 -1.64 6.06 6.98 7.24
PIMCO Inflation Response MultiAsst Inst 10.03 (85) -3.71 (24) 8.59 (75) 10.53 (20) -6.77 (78) 1.57 (73) -9.29 (100) 9.56 (64) - -
PIMCO IRMA Benchmark 10.30 (84) -3.86 (25) 5.08 (91) 6.76 (48) -7.47 (82) -0.34 (82) -8.89 (100) 6.58 (84) 4.56 (11) 12.98 (45)
IM Flexible Portfolio (MF) Median 16.62 -6.73 12.75 6.53 -3.27 3.80 12.10 11.05 -1.69 12.37
Target Date
T. Rowe Price Retirement I 2005 I 14.69 (28) -3.12 (44) 10.74 (19) 6.69 (30) - - - - - -
T. Rowe Price Retirement 2005* 15.08 (21) -3.26 (50) 10.67 (20) 6.72 (30) -0.75 (39) 4.72 (40) 9.74 (24) 11.35 (16) 1.43 (66) 11.51 (18)
T. Rowe Price Retirement 2005 Index 14.88 (25) -2.58 (26) 10.12 (26) 5.84 (45) -0.10 (20) 5.48 (25) 9.86 (23) 9.52 (41) 2.38 (44) 10.22 (42)
IM Mixed-Asset Target Alloc Consv (MF) Median 13.18 -3.28 8.83 5.58 -1.13 4.21 7.55 9.04 2.10 9.94
T. Rowe Price Retirement I 2010 I 16.31 (1) -3.56 (58) 11.82 (12) 7.18 (11) - - - - - -
T. Rowe Price Retirement 2010* 16.16 (1) -3.61 (67) 11.66 (13) 7.11 (11) -0.76 (63) 4.99 (23) 11.93 (8) 12.44 (6) 0.54 (55) 12.70 (4)
T. Rowe Price Retirement 2010 Index 16.05 (1) -3.02 (32) 11.20 (17) 6.27 (47) -0.17 (13) 5.77 (12) 12.00 (7) 10.61 (26) 1.81 (25) 11.42 (30)
IM Mixed-Asset Target 2010 (MF) Median 14.53 -3.44 10.39 6.22 -0.63 4.49 9.24 9.64 0.90 10.88
T. Rowe Price Retirement I 2015 I 17.55 (1) -4.09 (61) 13.52 (11) 7.25 (16) - - - - - -
T. Rowe Price Retirement 2015* 17.40 (1) -4.17 (64) 13.34 (12) 7.31 (14) -0.58 (36) 5.37 (32) 15.18 (2) 13.81 (1) -0.32 (81) 13.79 (4)
T. Rowe Price Retirement 2015 Index 17.43 (1) -3.58 (47) 12.87 (16) 6.91 (36) -0.28 (18) 6.30 (16) 14.97 (3) 11.94 (25) 1.09 (42) 12.57 (27)
IM Mixed-Asset Target 2015 (MF) Median 15.24 -3.73 11.49 6.57 -0.70 4.89 11.55 11.02 0.93 11.75
T. Rowe Price Retirement I 2020 I 19.45 (1) -4.82 (66) 15.90 (1) 7.57 (13) - - - - - -
T. Rowe Price Retirement 2020* 19.37 (1) -4.94 (68) 15.74 (1) 7.41 (20) -0.31 (24) 5.63 (37) 18.05 (2) 15.01 (1) -1.20 (84) 14.74 (3)
T. Rowe Price Retirement 2020 Index 19.51 (1) -4.29 (52) 14.95 (13) 7.62 (11) -0.41 (32) 6.70 (5) 17.56 (3) 13.04 (20) 0.48 (45) 13.47 (22)
IM Mixed-Asset Target 2020 (MF) Median 16.57 -4.26 13.06 6.66 -0.80 5.13 12.98 11.78 0.19 12.79
T. Rowe Price Retirement I 2025 I 21.15 (1) -5.54 (61) 17.82 (1) 7.56 (21) - - - - - -
T. Rowe Price Retirement 2025* 20.95 (1) -5.62 (62) 17.68 (1) 7.55 (21) -0.17 (14) 5.84 (38) 20.78 (3) 16.00 (1) -2.06 (71) 15.37 (1)
T. Rowe Price Retirement 2025 Index 21.36 (1) -5.00 (42) 16.68 (11) 8.21 (9) -0.56 (34) 7.06 (9) 20.01 (4) 14.00 (22) -0.22 (25) 14.12 (26)
IM Mixed-Asset Target 2025 (MF) Median 18.63 -5.27 15.23 7.19 -0.95 5.52 16.08 13.27 -1.05 13.67
T. Rowe Price Retirement I 2030 I 22.68 (2) -6.16 (48) 19.52 (2) 7.77 (45) - - - - - -
T. Rowe Price Retirement 2030* 22.48 (4) -6.28 (52) 19.45 (2) 7.69 (46) -0.02 (7) 6.05 (36) 23.09 (4) 16.82 (1) -2.70 (70) 16.01 (3)
T. Rowe Price Retirement 2030 Index 23.06 (1) -5.67 (39) 18.28 (25) 8.80 (11) -0.73 (41) 7.29 (7) 22.13 (8) 14.85 (20) -0.79 (21) 14.72 (32)
IM Mixed-Asset Target 2030 (MF) Median 20.44 -6.24 17.24 7.45 -1.03 5.66 18.20 14.02 -2.19 13.90
T. Rowe Price Retirement I 2035 I 23.90 (12) -6.81 (41) 21.03 (8) 7.68 (65) - - - - - -
T. Rowe Price Retirement 2035* 23.70 (14) -6.87 (45) 20.88 (9) 7.64 (66) 0.13 (4) 6.07 (38) 24.86 (3) 17.35 (1) -3.26 (61) 16.34 (1)
T. Rowe Price Retirement 2035 Index 24.46 (9) -6.20 (21) 19.58 (34) 9.21 (13) -0.87 (38) 7.37 (5) 23.76 (12) 15.45 (39) -1.37 (10) 15.10 (42)
IM Mixed-Asset Target 2035 (MF) Median 22.44 -7.16 18.95 8.26 -1.34 5.69 20.82 15.13 -3.14 14.59
T. Rowe Price Retirement I 2040 I 24.89 (17) -7.21 (31) 22.11 (4) 7.75 (66) - - - - - -
T. Rowe Price Retirement 2040* 24.68 (20) -7.32 (36) 22.02 (5) 7.63 (67) 0.17 (3) 6.18 (38) 25.93 (8) 17.55 (1) -3.49 (43) 16.51 (9)
T. Rowe Price Retirement 2040 Index 25.55 (11) -6.61 (17) 20.62 (38) 9.58 (13) -1.01 (41) 7.43 (7) 24.73 (20) 15.66 (40) -1.46 (9) 15.17 (38)
IM Mixed-Asset Target 2040 (MF) Median 24.04 -7.88 20.29 8.38 -1.13 5.85 21.74 15.19 -3.71 14.70
Fairfax County Public Schools
Calendar Year Performance
As of March 31, 2020
¹Market Value is sourced from Empower's Plan Service Center and may include corrections and adjustments made after the effective date.Returns for periods greater than one year are annualized.Returns are expressed as percentages.*Alternate share class shown to illustrate performance history.
Page 20
Fairfax County Public Schools
Calendar Year Performance
As of March 31, 2020
2019 2018 2017 2016 2015 2014 2013 2012 2011 2010
T. Rowe Price Retirement I 2045 I 25.52 (25) -7.51 (31) 22.55 (6) 7.75 (69) - - - - - -
T. Rowe Price Retirement 2045* 25.39 (31) -7.57 (33) 22.41 (9) 7.69 (69) 0.17 (4) 6.14 (35) 25.93 (5) 17.62 (1) -3.47 (31) 16.44 (10)
T. Rowe Price Retirement 2045 Index 26.33 (11) -6.96 (14) 21.02 (47) 9.70 (11) -0.98 (40) 7.43 (7) 24.73 (22) 15.66 (53) -1.46 (1) 15.17 (44)
IM Mixed-Asset Target 2045 (MF) Median 24.78 -8.03 20.95 8.46 -1.33 5.76 23.08 15.69 -3.86 15.01
T. Rowe Price Retirement I 2050 I 25.57 (34) -7.51 (28) 22.55 (11) 7.75 (69) - - - - - -
T. Rowe Price Retirement 2050* 25.32 (40) -7.58 (30) 22.38 (12) 7.71 (69) 0.19 (3) 6.19 (36) 25.90 (12) 17.55 (4) -3.36 (26) 16.41 (15)
T. Rowe Price Retirement 2050 Index 26.33 (19) -6.96 (5) 21.02 (55) 9.70 (16) -0.98 (41) 7.43 (8) 24.73 (28) 15.66 (40) -1.46 (5) 15.17 (39)
IM Mixed-Asset Target 2050 (MF) Median 25.01 -8.29 21.30 8.42 -1.26 5.95 23.26 15.58 -3.96 14.94
T. Rowe Price Retirement I 2055 I 25.52 (36) -7.50 (21) 22.57 (13) 7.65 (73) - - - - - -
T. Rowe Price Retirement 2055* 25.38 (37) -7.62 (23) 22.33 (20) 7.73 (73) 0.18 (4) 6.18 (40) 25.86 (13) 17.60 (1) -3.35 (16) 16.41 (-)
T. Rowe Price Retirement 2055 Index 26.33 (24) -6.96 (5) 21.02 (65) 9.70 (14) -0.98 (45) 7.43 (11) 24.73 (31) 15.66 (60) -1.46 (1) 15.17 (-)
IM Mixed-Asset Target 2055 (MF) Median 25.06 -8.28 21.51 8.53 -1.26 5.70 23.17 15.73 -4.33 -
U.S. Equity
iShares S&P 500 Index 31.43 (25) -4.38 (7) 21.77 (19) 11.92 (19) 1.35 (19) 13.61 (14) 32.21 (28) 15.84 (33) 1.98 (41) 14.92 (36)
S&P 500 Index 31.49 (3) -4.38 (7) 21.83 (3) 11.96 (8) 1.38 (7) 13.69 (1) 32.39 (3) 16.00 (3) 2.11 (8) 15.06 (1)
IM S&P 500 Index (MF) Median 31.29 -4.55 21.64 11.79 1.23 13.47 32.11 15.77 1.96 14.82
Vanguard Mid Cap Index 31.04 (40) -9.24 (51) 19.29 (50) 11.23 (55) -1.33 (40) 13.78 (10) 35.17 (52) 16.01 (43) -1.96 (42) 25.67 (31)
Vanguard Spliced Mid Cap Index 31.09 (39) -9.22 (51) 19.30 (50) 11.25 (55) -1.28 (40) 13.83 (9) 35.21 (52) 16.04 (42) -1.91 (40) 25.69 (31)
IM U.S. Mid Cap Equity (MF) Median 30.12 -9.13 19.21 12.04 -2.41 8.29 35.28 15.33 -2.95 23.79
Baron Growth Inst 40.50 (9) -2.67 (30) 27.35 (32) 6.31 (45) -4.06 (80) 4.66 (78) 38.69 (24) 16.74 (17) 1.51 (13) 24.32 (54)
Russell Midcap Growth Index 35.47 (36) -4.75 (52) 25.27 (45) 7.33 (34) -0.20 (52) 11.90 (12) 35.74 (48) 15.81 (31) -1.65 (34) 26.38 (38)
IM U.S. Mid Cap Growth Equity (MF) Median 34.46 -4.45 24.89 5.71 0.05 7.37 35.60 14.19 -2.92 24.42
International Equity
Artisan International Inv 29.20 (15) -10.86 (15) 31.02 (17) -9.66 (100) -3.85 (82) -0.97 (11) 25.18 (7) 25.39 (4) -7.26 (18) 5.91 (67)
MSCI EAFE Index (Net) 22.01 (69) -13.79 (39) 25.03 (57) 1.00 (46) -0.81 (49) -4.90 (42) 22.78 (14) 17.32 (69) -12.14 (50) 7.75 (53)
MSCI AC World ex USA Index (Net) 21.51 (72) -14.20 (42) 27.19 (40) 4.50 (14) -5.66 (87) -3.87 (28) 15.29 (81) 16.83 (71) -13.71 (77) 11.15 (23)
IM International Large Cap Equity (MF) Median 25.20 -14.90 26.08 0.55 -1.01 -5.22 20.56 19.25 -12.24 8.04
¹Market Value is sourced from Empower's Plan Service Center and may include corrections and adjustments made after the effective date.Returns for periods greater than one year are annualized.Returns are expressed as percentages.*Alternate share class shown to illustrate performance history.
Page 21
Great West Portfolio Fund PIMCO Total Return Adm PIMCO Inflation Response MultiAsst Inst
T. Rowe Price Ret 2005* T. Rowe Price Ret 2010* T. Rowe Price Ret 2015*
T. Rowe Price Ret 2020* T. Rowe Price Ret 2025* T. Rowe Price Ret 2030*
T. Rowe Price Ret 2035* T. Rowe Price Ret 2045* T. Rowe Price Ret 2050*
T. Rowe Price Ret 2055* iShares S&P 500 Index Vanguard Mid Cap Index
Baron Growth Inst Artisan International Inv
-4.0
-2.0
0.0
2.0
4.0
6.0
8.0
10.0
An
nu
aliz
ed
Re
turn
0.0 2.0 4.0 6.0 8.0 10.0 12.0 14.0 16.0 18.0 20.0 22.0 24.0 26.0Annualized Standard Deviation
Fairfax County Public Schools
Risk Profile
3 Years Ending March 31, 2020
*Alternate share class shown to illustrate performance history.
Page 22
Fairfax County Public Schools – Watch List Review
Process
U.S FIXED INCOME
Great West Portfolio Fund No No No No No N/R Green Green Green Green
PIMCO Total Return Adm No No No Yes No Buy Green Green Green Green
PIMCO Inflation Response MultiAsst Inst No No No No Yes Buy Green Green Green Green
TARGET DATE
T. Rowe Price Retirement Series No No No No No Buy Green Green Green Green
U.S. EQUITY
iShares S&P 500 Index No No No No No Buy Green Green Green Green
Vanguard Mid Cap Index No No No No No Buy Green Green Green Green
Baron Growth Instl No No No No No Qualified Green Green Green Green
INTERNATIONAL EQUITY
Artisan International Inv No No No No No Buy Green Green Green Green
StatusGreenYellowRed
Changes in Watch List designations from the previous quarter are highlighted in bold.Passively managed index funds are expected to track their benchmark within a reasonable margin.
Suggested ActionNumber of Criteria Met
3rd Quarter
2019
1st Quarter
2020
Watch List StatusPerformance
4th Quarter
2019
Overall Manager Research
Rating
4 or more affirmatives or “Yellow” for 4 consecutive quarters
1 or less affirmatives
Full fund review and recommendation for action will be made
Organization/Staff
2 to 3 affirmatives
Underperformed / Adverse Tracking in
3 of 4 Trailing Calendar Quarters
Significant Organizational
Change
Adverse Change in Portfolio
Manager
Active – On “closely monitored list”Active – No action required
2nd Quarter
2019
Diverged from Strategy and/or
Portfolio Characteristics
Underperformed / Adverse Tracking During Trailing 5-
Years
Page 23
Watch List Guidelines
Aon Investments USA Inc. Investment Option Review Criteria1. If the Fund has underperformed its benchmark over the most recent trailing five-year period
– If passively managed, the fund’s return must be no more than 0.5 percentage points above or below the return of the benchmark
2. If the fund has underperformed its benchmark in three of the most recent four calendar quarters3. If the Fund diverged from its strategy and / or portfolio characteristics4. Adverse change in portfolio manager5. Merger with another fund6. Significant organizational change
Suggested Action Triggers1. When an investment fund is placed on the Red Watch List, a formal fund retention meeting may be
conducted. At this meeting, the fund’s representative would be asked to address all relevant issues and explain why the fund should be retained. After this retention meeting, the Investment Committee may elect to either terminate the fund or grant it a one-year extension.
2. If a fund is granted the one-year extension described above and remains on the Watch List for this period, the fund may be terminated unless the Committee determines that an alternate course of action is appropriate.
Special Circumstances1. In the event of a major change to the fund (e.g., investments, ownership, and staffing), the Committee retains
the right to immediately terminate any fund without invoking the Watch List criteria in any fashion.
Page 24
Fairfax County Public Schools 457(b) Plan As of March 31, 2020
Investment Option Participants Investment Options Participants
Great West Portfolio 948 One 697
PIMCO Total Return 976 Two 403
PIMCO Inflation Response MultiAsst 54 Three 291
T. Rowe Price Retirement I 2005 I 34 Four 320
T. Rowe Price Retirement I 2010 I 19 Five 268
T. Rowe Price Retirement I 2015 I 42 Six 275
T. Rowe Price Retirement I 2020 I 94 Seven 238
T. Rowe Price Retirement I 2025 I 141 Eight 17
T. Rowe Price Retirement I 2030 I 126 More than Eight 28
T. Rowe Price Retirement I 2035 I 159
T. Rowe Price Retirement I 2040 I 120
T. Rowe Price Retirement I 2045 I 103
T. Rowe Price Retirement I 2050 I 68 Item Result
T. Rowe Price Retirement I 2055 I 88 Participation Rate 53.84%
iShares S&P 500 Index 1,394 Number of Participants with Account Balances 2,333
Vanguard Mid Cap Index 1,100 Average Deferral Rate 16.80%
Baron Growth 973 Average Number of Funds per Participant 3.16
Artisan International 937 Average Account Balance $91,469.57
Investment Option Participants
Great-West Portfolio Fund 96
PIMCO Total Return Admin 92
PIMCO Inflation Response MultiAsst 9
T. Rowe Price Retirement I 2005 I 2
T. Rowe Price Retirement I 2010 I 2
T. Rowe Price Retirement I 2015 I 5
T. Rowe Price Retirement I 2020 I 15
T. Rowe Price Retirement I 2025 I 17
T. Rowe Price Retirement I 2030 I 12
T. Rowe Price Retirement I 2035 I 16
T. Rowe Price Retirement I 2040 I 9
T. Rowe Price Retirement I 2045 I 6
T. Rowe Price Retirement I 2050 I 6
T. Rowe Price Retirement I 2055 I 8
iShares S&P 500 Index 128
Vanguard Mid Cap Index Ins 106
Baron Growth Instl 82
Artisan International Inv 87
* Information directly provided by Empower Retirement.
Demographic Information
Participants per Investment Option
Participants with Balance in One Investment Option
Investment Options per Participant
Other Demographics
Page 25
457(b) Plan Statistics
457(b) 403(b)Contributions Mar. 2018 $ 1,423,000 $ 4.1 millionContributions Mar. 2019 $ 1,237,000 $ 4.3 millionContributions Mar. 2020 $ 1,338,000 $ 4.6 million
Assets Mar. 31, 2018 $216.6 millionAssets Mar. 31, 2019 $227.1 millionAssets Mar. 31, 2020 $213.7 million
Number of Participants Mar. 2018 2274 13,133Number of Participants Mar. 2019 2313 13,215Number of Participants Mar. 2020 2340 13,622
Average Contribution/Month – Mar. 2018 $1081/mo; $306/biweekAverage Contribution/Month – Mar. 2019 $ 996/mo; $270/biweekAverage Contribution/Month – Mar. 2020 $ 956/mo; $195/biweek
403(b)
Average Contribution/Month – Mar. 2020 $ 798/mo; $206/biweek
Number of Employees Currently Contributing to 457(b): 1236/mo; 64/biweekNumber of Employees Currently Contributing to 403(b): 5491/mo; 693/biweek
Number of Employees Currently Contributing to both 457 & 403(b): 438 total
Page 26
457 Plan Participants
Age Monthly Bi-Weekly<21 0 121-25 9 026-30 50 031-35 82 236-40 144 541-45 147 246-50 223 1351-55 193 1756-60 210 1161-65 137 1266-70 34 171-75 6 076-80 1 0
Total 1236 64
0
50
100
150
200
250
<21 21-25 26-30 31-35 36-40 41-45 46-50 51-55 56-60 61-65 66-70 71-75 76-80
Enro
llmen
t
Age Range
457 Monthly Plan Participants
02468
1012141618
<21 21-25 26-30 31-35 36-40 41-45 46-50 51-55 56-60 61-65 66-70 71-75 76-80
Enro
llmen
t
Age Range
457 Bi-Weekly Plan Participants
Page 27
403(b) Plan Participants
Age Monthly Bi-Weekly<21 0 121-25 50 626-30 326 531-35 607 2336-40 716 3941-45 781 7046-50 907 8651-55 808 12856-60 676 16261-65 466 9866-70 121 4371-75 27 1676-80 6 1181-85 0 586-90 0 0
Total 5491 693
0100200300400500600700800900
1000
<21 21-25 26-30 31-35 36-40 41-45 46-50 51-55 56-60 61-65 66-70 71-75 76-80 81-85En
rollm
ent
Age Range
403(b) Monthly Plan Participants
020406080
100120140160180
<21 21-25 26-30 31-35 36-40 41-45 46-50 51-55 56-60 61-65 66-70 71-75 76-80 81-85 86-90
Enro
llmen
t
Age Range
403(b) Bi-Weekly Plan Participants
Page 28
Fairfax County Public Schools 457(b) Plan
Contribution Analysis
Stable Value13%
Fixed Income7%
Real Return0%
Large Cap Blend (Passive)
20%
Large Cap Blend (Active)
7%Mid Cap Blend (Passive)13%
Small Cap Growth9%
International6%
Lifecycle25%
1st Quarter 2020 Contribution Allocation
Stable Value13% Fixed Income
5%Real Return
0%
Large Cap Blend (Passive)
20%
Large Cap Blend (Active)
7%
Mid Cap Blend (Passive)14%
Small Cap Growth8%
International6%
Lifecycle27%
4th Quarter 2019 Contribution Allocation
Page 29
Relative Ranking (3 Years Rolling) Relative Performance (04/01/10 to 03/31/20)
Relative Ranking vs. Peers (3 Years Rolling)
Style Map (Since Inception - 36 Months Rolling) Style History (Since Inception - 36 Months Rolling)
PIMCO Total Return Adm Blmbg. Barc. U.S. Aggregate
0.0
25.0
50.0
75.0
100.0
Re
turn
Pe
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6/15 12/15 6/16 12/16 6/17 12/17 6/18 12/18 6/19 3/20 Cumulative Annualized Over/Under Relative Performance
Over/Under Performance
0.0
2.0
4.0
-2.0
-4.0
-6.0
Re
turn
(%)
4/10 4/11 4/12 4/13 4/14 4/15 4/16 4/17 4/18 4/19 3/20
Number ofObservations
>=Median Top Quartile Bottom Quartile >PIMCO Total Return Adm >Blmbg. Barc. U.S. Aggregate
PIMCO Total Return Adm 20 12 2 6 N/A 11
Blmbg. Barc. U.S. Aggregate 20 10 2 0 9 N/A
Style History Mar-2020 Average Style Exposure
Cap
ital
izat
ion
Manager Style
Barclays Capital Government Index
Barclays Capital U.S. Long Gov/CreditBarclays Capital 1-3yr Gov/Credit
Barclays Capital U.S. Credit Index
Barclays U.S. Credit Index Barclays 1-3yr Gov/Credit
Barclays Government Index Barclays U.S. Long Gov/Credit
0.0
25.0
50.0
75.0
100.0
11/97 8/99 5/01 2/03 11/04 8/06 5/08 2/10 11/11 8/13 5/15 2/17 3/20
PIMCO Total Return Adm 03/31/20
Page 30
Relative Ranking (3 Years Rolling)
Relative Performance (09/01/11 to 03/31/20)
Relative Ranking vs. Peers (3 Years Rolling)
PIMCO Inflation Response MultiAsst Inst PIMCO IRMA Benchmark
0.0
25.0
50.0
75.0
100.0
Re
turn
Pe
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nti
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6/15 9/15 12/15 3/16 6/16 9/16 12/16 3/17 6/17 9/17 12/17 3/18 6/18 9/18 12/18 3/19 6/19 9/19 12/19 3/20
Number ofObservations
>=Median Top Quartile Bottom Quartile >PIMCO Inflation Response MultiAsst Inst >PIMCO IRMA Benchmark
PIMCO Inflation Response MultiAsst Inst 20 1 0 12 N/A 19
PIMCO IRMA Benchmark 20 1 0 19 1 N/A
Cumulative Annualized Over/Under Relative Performance Over/Under Performance
0.0
3.0
6.0
9.0
-3.0
-6.0
Re
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(%)
9/11 3/12 9/12 3/13 9/13 3/14 9/14 3/15 9/15 3/16 9/16 3/17 9/17 3/18 9/18 3/19 9/19 3/20
PIMCO Inflation Response MultiAsst Inst 03/31/20
Page 31
Target Allocation: T. Rowe Price Retirement Funds
0%
20%
40%
60%
80%
100%
TargetBalanced
Target2005
Target2010
Target2015
Target2020
Target2025
Target2030
Target2035
Target2040
Target2045
Target2050
Target2055
Target2060
Fixed Income U.S. Equity Non-U.S. Equity Real Assets
Page 32
Target Allocation: T. Rowe Retirement Funds
Balanced 2005 2010 2015 2020 2025 2030 2035 2040 2045 2050 2055 2060
Fixed Income 68.0% 64.0% 59.0% 52.5% 43.0% 34.0% 26.5% 19.5% 14.0% 10.0% 10.0% 10.0% 10.0%
US Aggregate Bond 12.6% 20.3% 18.9% 17.3% 15.3% 13.1% 10.8% 8.6% 6.3% 4.5% 4.5% 4.5% 4.5%
Dynamic Global Bond 4.8% 4.5% 4.2% 3.9% 3.4% 2.9% 2.4% 1.9% 1.4% 1.0% 1.0% 1.0% 1.0%
Intl Bond ($ Hedged) 7.2% 6.8% 6.3% 5.8% 5.1% 4.4% 3.6% 2.9% 2.1% 1.5% 1.5% 1.5% 1.5%
High Yield 4.3% 4.0% 3.6% 3.2% 2.7% 2.1% 1.6% 1.2% 0.7% 0.4% 0.4% 0.4% 0.4%
Floating Rate 1.1% 1.0% 0.9% 0.8% 0.7% 0.5% 0.4% 0.3% 0.2% 0.1% 0.1% 0.1% 0.1%
EM Bond 5.4% 5.0% 4.5% 4.0% 3.4% 2.7% 2.1% 1.5% 0.9% 0.5% 0.5% 0.5% 0.5%
US Treasury Long 3.6% 3.6% 3.6% 3.6% 3.5% 3.4% 3.1% 2.8% 2.5% 2.0% 2.0% 2.0% 2.0%
Focused 20.0% 19.0% 17.0% 14.0% 9.0% 5.0% 2.5% 0.5% 0.0% 0.0% 0.0% 0.0% 0.0%
U. S Equity 21.3% 23.9% 27.3% 31.6% 37.9% 43.9% 48.9% 53.5% 57.2% 59.9% 59.9% 59.9% 59.9%
US Large Cap 16.4% 18.4% 21.0% 24.3% 29.2% 33.8% 37.6% 41.2% 44.0% 46.1% 46.1% 46.1% 46.1%
US Mid Cap 2.6% 2.9% 3.3% 3.8% 4.5% 5.3% 5.9% 6.4% 6.9% 7.2% 7.2% 7.2% 7.2%
US Small Cap 2.3% 2.6% 3.0% 3.5% 4.2% 4.8% 5.4% 5.9% 6.3% 6.6% 6.6% 6.6% 6.6%
Non-U.S Equity 9.1% 10.3% 11.7% 13.5% 16.2% 18.8% 21.0% 22.9% 24.5% 25.7% 25.7% 25.7% 25.7%
Developed Intl Mkts 7.8% 8.7% 9.9% 11.5% 13.8% 16.0% 17.8% 19.5% 20.8% 21.8% 21.8% 21.8% 21.8%
Emerging Markets 1.4% 1.5% 1.8% 2.0% 2.4% 2.8% 3.1% 3.4% 3.7% 3.9% 3.9% 3.9% 3.9%
Real Assets 1.6% 1.8% 2.1% 2.4% 2.9% 3.3% 3.7% 4.0% 4.3% 4.5% 4.5% 4.5% 4.5%
Real Assets 1.6% 1.8% 2.1% 2.4% 2.9% 3.3% 3.7% 4.0% 4.3% 4.5% 4.5% 4.5% 4.5%
Total 100.0% 100.0% 100.0% 100.0% 100.0% 100.0% 100.0% 100.0% 100.0% 100.0% 100.0% 100.0% 100.0%
Page 33
Relative Ranking (3 Years Rolling)
Relative Performance (04/01/10 to 03/31/20)
Relative Ranking vs. Peers (3 Years Rolling)
TRP Retirement 2005 TRP Retirement 2005 Index
0.0
25.0
50.0
75.0
100.0
Re
turn
Pe
rce
nti
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an
k
6/15 9/15 12/15 3/16 6/16 9/16 12/16 3/17 6/17 9/17 12/17 3/18 6/18 9/18 12/18 3/19 6/19 9/19 12/19 3/20
Number ofObservations
>=Median Top Quartile Bottom Quartile >TRP Retirement 2005 >TRP Retirement 2005 Index
TRP Retirement 2005 20 20 16 0 N/A 9
TRP Retirement 2005 Index 20 20 19 0 11 N/A
Cumulative Annualized Over/Under Relative Performance Over/Under Performance
0.0
2.0
4.0
-2.0
-4.0
-6.0
Re
turn
(%)
4/10 10/10 4/11 10/11 4/12 10/12 4/13 10/13 4/14 10/14 4/15 10/15 4/16 10/16 4/17 10/17 4/18 10/18 4/19 10/19 3/20
TRP Retirement 2005 03/31/20
Alternate share class shown to illustrate performance history.
Page 34
Relative Ranking (3 Years Rolling)
Relative Performance (04/01/10 to 03/31/20)
Relative Ranking vs. Peers (3 Years Rolling)
TRP Retirement 2010 TRP Retirement 2010 Index
0.0
25.0
50.0
75.0
100.0
Re
turn
Pe
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nti
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6/15 9/15 12/15 3/16 6/16 9/16 12/16 3/17 6/17 9/17 12/17 3/18 6/18 9/18 12/18 3/19 6/19 9/19 12/19 3/20
Number ofObservations
>=Median Top Quartile Bottom Quartile >TRP Retirement 2010 >TRP Retirement 2010 Index
TRP Retirement 2010 20 19 19 0 N/A 9
TRP Retirement 2010 Index 20 20 20 0 11 N/A
Cumulative Annualized Over/Under Relative Performance Over/Under Performance
0.0
2.0
4.0
-2.0
-4.0
-6.0
Re
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(%)
4/10 10/10 4/11 10/11 4/12 10/12 4/13 10/13 4/14 10/14 4/15 10/15 4/16 10/16 4/17 10/17 4/18 10/18 4/19 10/19 3/20
TRP Retirement 2010 03/31/20
Alternate share class shown to illustrate performance history.
Page 35
Relative Ranking (3 Years Rolling)
Relative Performance (04/01/10 to 03/31/20)
Relative Ranking vs. Peers (3 Years Rolling)
TRP Retirement 2015 TRP Retirement 2015 Index
0.0
25.0
50.0
75.0
100.0
Re
turn
Pe
rce
nti
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6/15 9/15 12/15 3/16 6/16 9/16 12/16 3/17 6/17 9/17 12/17 3/18 6/18 9/18 12/18 3/19 6/19 9/19 12/19 3/20
Number ofObservations
>=Median Top Quartile Bottom Quartile >TRP Retirement 2015 >TRP Retirement 2015 Index
TRP Retirement 2015 20 19 18 0 N/A 9
TRP Retirement 2015 Index 20 20 20 0 11 N/A
Cumulative Annualized Over/Under Relative Performance Over/Under Performance
0.0
2.0
4.0
-2.0
-4.0
-6.0
Re
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(%)
4/10 10/10 4/11 10/11 4/12 10/12 4/13 10/13 4/14 10/14 4/15 10/15 4/16 10/16 4/17 10/17 4/18 10/18 4/19 10/19 3/20
TRP Retirement 2015 03/31/20
Alternate share class shown to illustrate performance history.
Page 36
Relative Ranking (3 Years Rolling)
Relative Performance (04/01/10 to 03/31/20)
Relative Ranking vs. Peers (3 Years Rolling)
TRP Retirement 2020 TRP Retirement 2020 Index
0.0
25.0
50.0
75.0
100.0
Re
turn
Pe
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nti
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6/15 9/15 12/15 3/16 6/16 9/16 12/16 3/17 6/17 9/17 12/17 3/18 6/18 9/18 12/18 3/19 6/19 9/19 12/19 3/20
Number ofObservations
>=Median Top Quartile Bottom Quartile >TRP Retirement 2020 >TRP Retirement 2020 Index
TRP Retirement 2020 20 19 19 1 N/A 8
TRP Retirement 2020 Index 20 20 20 0 12 N/A
Cumulative Annualized Over/Under Relative Performance Over/Under Performance
0.0
2.0
4.0
-2.0
-4.0
-6.0
Re
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(%)
4/10 10/10 4/11 10/11 4/12 10/12 4/13 10/13 4/14 10/14 4/15 10/15 4/16 10/16 4/17 10/17 4/18 10/18 4/19 10/19 3/20
TRP Retirement 2020 03/31/20
Alternate share class shown to illustrate performance history.
Page 37
Relative Ranking (3 Years Rolling)
Relative Performance (04/01/10 to 03/31/20)
Relative Ranking vs. Peers (3 Years Rolling)
TRP Retirement 2025 TRP Retirement 2025 Index
0.0
25.0
50.0
75.0
100.0
Re
turn
Pe
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nti
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6/15 9/15 12/15 3/16 6/16 9/16 12/16 3/17 6/17 9/17 12/17 3/18 6/18 9/18 12/18 3/19 6/19 9/19 12/19 3/20
Number ofObservations
>=Median Top Quartile Bottom Quartile >TRP Retirement 2025 >TRP Retirement 2025 Index
TRP Retirement 2025 20 19 19 0 N/A 11
TRP Retirement 2025 Index 20 20 20 0 9 N/A
Cumulative Annualized Over/Under Relative Performance Over/Under Performance
0.0
2.0
4.0
-2.0
-4.0
Re
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(%)
4/10 10/10 4/11 10/11 4/12 10/12 4/13 10/13 4/14 10/14 4/15 10/15 4/16 10/16 4/17 10/17 4/18 10/18 4/19 10/19 3/20
TRP Retirement 2025 03/31/20
Alternate share class shown to illustrate performance history.
Page 38
Relative Ranking (3 Years Rolling)
Relative Performance (04/01/10 to 03/31/20)
Relative Ranking vs. Peers (3 Years Rolling)
TRP Retirement 2030 TRP Retirement 2030 Index
0.0
25.0
50.0
75.0
100.0
Re
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Pe
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6/15 9/15 12/15 3/16 6/16 9/16 12/16 3/17 6/17 9/17 12/17 3/18 6/18 9/18 12/18 3/19 6/19 9/19 12/19 3/20
Number ofObservations
>=Median Top Quartile Bottom Quartile >TRP Retirement 2030 >TRP Retirement 2030 Index
TRP Retirement 2030 20 19 19 0 N/A 11
TRP Retirement 2030 Index 20 20 20 0 9 N/A
Cumulative Annualized Over/Under Relative Performance Over/Under Performance
0.0
2.0
4.0
-2.0
-4.0
Re
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(%)
4/10 10/10 4/11 10/11 4/12 10/12 4/13 10/13 4/14 10/14 4/15 10/15 4/16 10/16 4/17 10/17 4/18 10/18 4/19 10/19 3/20
TRP Retirement 2030 03/31/20
Alternate share class shown to illustrate performance history.
Page 39
Relative Ranking (3 Years Rolling)
Relative Performance (04/01/10 to 03/31/20)
Relative Ranking vs. Peers (3 Years Rolling)
TRP Retirement 2035 TRP Retirement 2035 Index
0.0
25.0
50.0
75.0
100.0
Re
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Pe
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6/15 9/15 12/15 3/16 6/16 9/16 12/16 3/17 6/17 9/17 12/17 3/18 6/18 9/18 12/18 3/19 6/19 9/19 12/19 3/20
Number ofObservations
>=Median Top Quartile Bottom Quartile >TRP Retirement 2035 >TRP Retirement 2035 Index
TRP Retirement 2035 20 20 18 0 N/A 10
TRP Retirement 2035 Index 20 20 20 0 10 N/A
Cumulative Annualized Over/Under Relative Performance Over/Under Performance
0.0
2.0
4.0
-2.0
-4.0
Re
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(%)
4/10 10/10 4/11 10/11 4/12 10/12 4/13 10/13 4/14 10/14 4/15 10/15 4/16 10/16 4/17 10/17 4/18 10/18 4/19 10/19 3/20
TRP Retirement 2035 03/31/20
Alternate share class shown to illustrate performance history.
Page 40
Relative Ranking (3 Years Rolling)
Relative Performance (04/01/10 to 03/31/20)
Relative Ranking vs. Peers (3 Years Rolling)
TRP Retirement 2040 TRP Retirement 2040 Index
0.0
25.0
50.0
75.0
100.0
Re
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Pe
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6/15 9/15 12/15 3/16 6/16 9/16 12/16 3/17 6/17 9/17 12/17 3/18 6/18 9/18 12/18 3/19 6/19 9/19 12/19 3/20
Number ofObservations
>=Median Top Quartile Bottom Quartile >TRP Retirement 2040 >TRP Retirement 2040 Index
TRP Retirement 2040 20 20 18 0 N/A 10
TRP Retirement 2040 Index 20 20 20 0 10 N/A
Cumulative Annualized Over/Under Relative Performance Over/Under Performance
0.0
2.0
4.0
-2.0
-4.0
Re
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(%)
4/10 10/10 4/11 10/11 4/12 10/12 4/13 10/13 4/14 10/14 4/15 10/15 4/16 10/16 4/17 10/17 4/18 10/18 4/19 10/19 3/20
TRP Retirement 2040 03/31/20
Alternate share class shown to illustrate performance history.
Page 41
Relative Ranking (3 Years Rolling)
Relative Performance (04/01/10 to 03/31/20)
Relative Ranking vs. Peers (3 Years Rolling)
TRP Retirement 2045 TRP Retirement 2045 Index
0.0
25.0
50.0
75.0
100.0
Re
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6/15 9/15 12/15 3/16 6/16 9/16 12/16 3/17 6/17 9/17 12/17 3/18 6/18 9/18 12/18 3/19 6/19 9/19 12/19 3/20
Number ofObservations
>=Median Top Quartile Bottom Quartile >TRP Retirement 2045 >TRP Retirement 2045 Index
TRP Retirement 2045 20 20 17 0 N/A 10
TRP Retirement 2045 Index 20 20 20 0 10 N/A
Cumulative Annualized Over/Under Relative Performance Over/Under Performance
0.0
2.0
4.0
-2.0
-4.0
Re
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(%)
4/10 10/10 4/11 10/11 4/12 10/12 4/13 10/13 4/14 10/14 4/15 10/15 4/16 10/16 4/17 10/17 4/18 10/18 4/19 10/19 3/20
TRP Retirement 2045 03/31/20
Alternate share class shown to illustrate performance history.
Page 42
Relative Ranking (3 Years Rolling)
Relative Performance (04/01/10 to 03/31/20)
Relative Ranking vs. Peers (3 Years Rolling)
TRP Retirement 2050 TRP Retirement 2050 Index
0.0
25.0
50.0
75.0
100.0
Re
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6/15 9/15 12/15 3/16 6/16 9/16 12/16 3/17 6/17 9/17 12/17 3/18 6/18 9/18 12/18 3/19 6/19 9/19 12/19 3/20
Number ofObservations
>=Median Top Quartile Bottom Quartile >TRP Retirement 2050 >TRP Retirement 2050 Index
TRP Retirement 2050 20 20 18 0 N/A 10
TRP Retirement 2050 Index 20 20 20 0 10 N/A
Cumulative Annualized Over/Under Relative Performance Over/Under Performance
0.0
2.0
4.0
-2.0
-4.0
Re
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(%)
4/10 10/10 4/11 10/11 4/12 10/12 4/13 10/13 4/14 10/14 4/15 10/15 4/16 10/16 4/17 10/17 4/18 10/18 4/19 10/19 3/20
TRP Retirement 2050 03/31/20
Alternate share class shown to illustrate performance history.
Page 43
Relative Ranking (3 Years Rolling) Relative Performance (04/01/10 to 03/31/20)
Relative Ranking vs. Peers (3 Years Rolling)
Style Map (Since Inception - 36 Months Rolling) Style History (Since Inception - 36 Months Rolling)
iShares S&P 500 Index S&P 500 Index
0.0
25.0
50.0
75.0
100.0
Re
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6/15 12/15 6/16 12/16 6/17 12/17 6/18 12/18 6/19 3/20 Cumulative Annualized Over/Under Relative Performance
Over/Under Performance
0.0
0.2
-0.2
-0.4
Re
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(%)
4/10 4/11 4/12 4/13 4/14 4/15 4/16 4/17 4/18 4/19 3/20
Number ofObservations
>=Median Top Quartile Bottom Quartile >iShares S&P 500 Index >S&P 500 Index
iShares S&P 500 Index 20 20 20 0 N/A 1
S&P 500 Index 20 20 20 0 19 N/A
Style History Mar-2020 Average Style Exposure
Cap
ital
izat
ion
Manager Style
Large Cap Growth
Small Cap GrowthSmall Cap Value
Large Cap Value
Russell 1000 Growth Index Russell 1000 Value Index
Russell 2000 Growth Index Russell 2000 Value Index
0.0
25.0
50.0
75.0
100.0
9/96 9/98 9/00 9/02 9/04 9/06 9/08 9/10 9/12 9/14 9/16 3/20
iShares S&P 500 Index 03/31/20
Page 44
Relative Ranking (3 Years Rolling) Relative Performance (04/01/10 to 03/31/20)
Relative Ranking vs. Peers (3 Years Rolling)
Style Map (Since Inception - 36 Months Rolling) Style History (Since Inception - 36 Months Rolling)
Vanguard Mid Cap Index Vanguard Spliced Mid Cap Index
0.0
25.0
50.0
75.0
100.0
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6/15 12/15 6/16 12/16 6/17 12/17 6/18 12/18 6/19 3/20 Cumulative Annualized Over/Under Relative Performance
Over/Under Performance
0.0
0.1
0.2
-0.1
-0.2
-0.3
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(%)
4/10 4/11 4/12 4/13 4/14 4/15 4/16 4/17 4/18 4/19 3/20
Number ofObservations
>=Median Top Quartile Bottom Quartile >Vanguard Mid Cap Index >Vanguard Spliced Mid Cap Index
Vanguard Mid Cap Index 20 14 6 0 N/A 1
Vanguard Spliced Mid Cap Index 20 15 7 0 19 N/A
Style History Mar-2020 Average Style Exposure
Cap
ital
izat
ion
Manager Style
Large Cap Growth
Small Cap GrowthSmall Cap Value
Large Cap Value
Russell 1000 Growth Index Russell 1000 Value Index
Russell 2000 Growth Index Russell 2000 Value Index
0.0
25.0
50.0
75.0
100.0
7/01 1/03 7/04 1/06 7/07 1/09 7/10 1/12 7/13 1/15 7/16 1/18 3/20
Vanguard Mid Cap Index 03/31/20
Page 45
Relative Ranking (3 Years Rolling) Relative Performance (04/01/10 to 03/31/20)
Relative Ranking vs. Peers (3 Years Rolling)
Style Map (Since Inception - 36 Months Rolling) Style History (Since Inception - 36 Months Rolling)
Baron Growth Inst Russell Midcap Growth Index
0.0
25.0
50.0
75.0
100.0
Re
turn
Pe
rce
nti
le R
an
k
6/15 12/15 6/16 12/16 6/17 12/17 6/18 12/18 6/19 3/20 Cumulative Annualized Over/Under Relative Performance
Over/Under Performance
0.0
5.0
10.0
-5.0
-10.0
Re
turn
(%)
4/10 4/11 4/12 4/13 4/14 4/15 4/16 4/17 4/18 4/19 3/20
Number ofObservations
>=Median Top Quartile Bottom Quartile >Baron Growth Inst >Russell Midcap Growth Index
Baron Growth Inst 20 10 3 3 N/A 8
Russell Midcap Growth Index 20 20 2 0 12 N/A
Style History Mar-2020 Average Style Exposure
Cap
ital
izat
ion
Manager Style
Large Cap Growth
Small Cap GrowthSmall Cap Value
Large Cap Value
Russell 1000 Growth Index Russell 1000 Value Index
Russell 2000 Growth Index Russell 2000 Value Index
0.0
25.0
50.0
75.0
100.0
7/12 4/13 1/14 10/14 7/15 4/16 1/17 10/17 7/18 4/19 3/20
Baron Growth Inst 03/31/20
Alternate share class shown to illustrate performance history.
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Relative Ranking (3 Years Rolling) Relative Performance (04/01/10 to 03/31/20)
Relative Ranking vs. Peers (3 Years Rolling)
Style Map (Since Inception - 36 Months Rolling) Style History (Since Inception - 36 Months Rolling)
Artisan International Inv
MSCI EAFE Index (Net)
MSCI AC World ex USA Index (Net)
0.0
25.0
50.0
75.0
100.0
Re
turn
Pe
rce
nti
le R
an
k
6/15 12/15 6/16 12/16 6/17 12/17 6/18 12/18 6/19 3/20
Cumulative Annualized Over/Under Relative Performance
Over/Under Performance
0.0
6.0
12.0
18.0
-6.0
-12.0
Re
turn
(%)
4/10 4/11 4/12 4/13 4/14 4/15 4/16 4/17 4/18 4/19 3/20
Number ofObservations
>=Median Top Quartile Bottom Quartile >Artisan International Inv >MSCI EAFE Index (Net) >MSCI AC World ex USA Index (Net)
Artisan International Inv 20 9 5 7 N/A 9 10
MSCI EAFE Index (Net) 20 14 1 0 11 N/A 11
MSCI AC World ex USA Index (Net) 20 9 2 4 10 9 N/A
Style History Mar-2020 Average Style Exposure
Cap
ital
izat
ion
Manager Style
MSCI EAFE Growth Index
MSCI USA GrowthMSCI USA Value
MSCI EAFE Value Index
MSCI EAFE Value Index MSCI EAFE Growth Index
MSCI USA Growth MSCI USA Value
0.0
25.0
50.0
75.0
100.0
6/01 12/02 6/04 12/05 6/07 12/08 6/10 12/11 6/13 12/14 6/16 12/17 3/20
Artisan International Inv 03/31/20
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Fairfax County Public Schools As of March 31, 2020
Peer Group $ Weighted $ Weighted
Median Median Average Average Difference2
U.S FIXED INCOME
Great West Portfolio Fund Stable Value 0.89% 0.47% N/A 0.47% N/A N/A
PIMCO Total Return Adm U.S. Broad Market Core Fixed Income 0.71% 0.48% 0.42% 0.53% 0.35% 0.16%
PIMCO Inflation Response MultiAsst Inst Flexible Portfolio 0.69% 1.00% 1.00% 1.19% 0.97% 0.00%
TARGET DATE
T. Rowe Price Retirement I 2005 I Mixed-Asset Target Today (Active) 0.41% 0.55% 0.52% 0.56% 0.53% -0.15%
T. Rowe Price Retirement I 2010 I Mixed-Asset Target 2010 (Active) 0.40% 0.40% 0.54% 0.43% 0.48% -0.03%
T. Rowe Price Retirement I 2015 I Mixed-Asset Target 2015 (Active) 0.43% 0.46% 0.57% 0.49% 0.49% -0.06%
T. Rowe Price Retirement I 2020 I Mixed-Asset Target 2020 (Active) 0.46% 0.55% 0.61% 0.56% 0.52% -0.10%
T. Rowe Price Retirement I 2025 I Mixed-Asset Target 2025 (Active) 0.50% 0.52% 0.64% 0.56% 0.59% -0.06%
T. Rowe Price Retirement I 2030 I Mixed-Asset Target 2030 (Active) 0.53% 0.55% 0.58% 0.58% 0.57% -0.05%
T. Rowe Price Retirement I 2035 I Mixed-Asset Target 2035 (Active) 0.56% 0.61% 0.58% 0.71% 0.57% -0.15%
T. Rowe Price Retirement I 2040 I Mixed-Asset Target 2040 (Active) 0.58% 0.60% 0.67% 0.67% 0.61% -0.09%
T. Rowe Price Retirement I 2045 I Mixed-Asset Target 2045 (Active) 0.59% 0.57% 0.59% 0.59% 0.58% 0.00%
T. Rowe Price Retirement I 2050 I Mixed-Asset Target 2050 (Active) 0.59% 0.58% 0.59% 0.62% 0.60% -0.03%
T. Rowe Price Retirement I 2055 I Mixed-Asset Target 2055 (Active) 0.59% 0.58% 0.59% 0.60% 0.59% -0.01%
U.S. EQUITY
iShares S&P 500 Index S&P 500 Index (Passive) 0.03% 0.20% 0.04% 0.27% 0.04% -0.24%
Vanguard Mid Cap Index U.S. Mid Cap Core Equity (Passive) 0.04% 0.09% 0.05% 0.21% 0.05% -0.17%
Baron Growth Inst U.S. Mid Cap Growth Equity 1.03% 0.91% 0.71% 0.93% 0.76% 0.10%
INTERNATIONAL EQUITYArtisan International Inv International Equity All 1.18% 0.91% 0.63% 0.94% 0.66% 0.24%
2 Difference column represents the difference between the fund's expense ratio and the Peer Group's average expense ratio.
Fund NameFund's
Expense
Ratio
1 All information, unless noted otherwise, was created using Morningstar audited expense ratio data as of December 31, 2018. Since mutual fund expense ratios do not
change frequently, Aon Investments believes this study to be a relevant comparison for up to a year, at which time the data will be updated. For complete information on Aon
Investments methodologies and additional information on the expense ratio distributions, contact your Aon Investments consultant. Mutual fund expense peer groups were
constructed by Investment Metrics, and are consistent with the peer groups shown in other exhibits comparing performance, risk-metrics and a multitude of other
characteristics.
3 In lieu of an expense ratio, Great West assumes a margin of 89 basis points on the Portfolio Fund. This reflects the gross investment yield of the assets minus the crediting
rate and cost of maintaining regulatory capital requirements.
6 Combines multiple Investment Metrics peer groups.
5 Mixed Asset peer groups utilize prospectus net expense ratio information due to the nature of the asset class
and common use of a Fund of Fund structure.
4 Stable value fund average calculated using Hueler Universe data for a mandate size of $1 million in assets.
7 Please note that this is the net expense ratio excluding interest expense. Interest expense can result from portfolio investment transactions and is not paid to PIMCO.
Cost Analysis
Expense Ratio Peer Group Data1
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Active Manager Scorecard – Peer Ranking of Benchmark Returns1
As of March 31, 2020
Index Legend
Top Quartile
2nd Quartile
3rd Quartile
4th Quartile
1Source: eVestment Peer Universes
• Active management performance relative to indices during 1Q 2020 was mixed. U.S. all-, mid-cap, and global equity active managersoutperformed their respective indices during the quarter but struggled to do so over the trailing five and ten years. U.S. mid-cap and non-USmarkets were the only equity segments where active management outperformed over the trailing one- and three-year periods. U..S large capand small cap indices outperformed over all periods shown. Non-U.S. equity active managers underperformed their respective indices duringthe quarter but outperformed over one-, three, five-, and ten-year periods. While Global equity active management has outperformed duringthe quarter, one-, and ten-year periods, it has struggled over the trailing three and five years.
• Performance amongst different fixed income styles was also mixed during the quarter. Intermediate fixed income active managersunderperformed over all periods shown above similar to core fixed income which, however, outperformed over the trailing ten years. Longcredit active managers continued to outperform their respective indices not only during the quarter but long term. While high yield has beensuccessful over the quarter and one year, it has struggled to exceed the index during trailing three-, five- and ten-year periods.
• Aon recommends plan sponsors consider passive options where active management does not reliably add value.
Peer Group/Index Qtr 1 Year 3 Years 5 Years 10 Years Qtr 1 Year 3 Years 5 Years 10 YearsAll Cap Equity/ Russell 3000 Index -20.9% -9.1% 4.0% 5.8% 10.1% 51% 43% 37% 30% 31%Large Cap Equity/ Russell 1000 Index -20.2% -8.0% 4.6% 6.2% 10.4% 50% 45% 39% 36% 34%Large Cap Equity/ S&P 500 Index -19.6% -7.0% 5.1% 6.7% 10.5% 46% 40% 37% 30% 33%Mid Cap Equity/ Russell Midcap Index -27.1% -18.3% -0.8% 1.8% 8.8% 55% 53% 52% 49% 44%Small Cap Equity/ Russell 2000 Index -30.6% -24.0% -4.6% -0.2% 6.9% 49% 48% 47% 48% 49%Non-U.S. Equity/ MSCI ACWI ex-US -23.4% -15.6% -2.0% -0.6% 2.1% 50% 53% 52% 60% 76%Emerging Markets Equity/ MSCI EM -23.6% -17.7% -1.6% -0.4% 0.7% 47% 50% 43% 54% 43%Global Equity/ MSCI ACWI -21.4% -11.3% 1.5% 2.8% 5.9% 57% 51% 46% 48% 66%Core Fixed Income/ Bloomberg Barclays Aggregate 3.1% 8.9% 4.8% 3.4% 3.9% 18% 16% 18% 29% 56%Long Credit/ Bloomberg Barclays Long Credit -4.7% 9.0% 6.6% 4.7% 7.3% 76% 75% 76% 76% 79%Intermediate FI/ Bloomberg Barclays Intermediate Gov/Credit 2.4% 6.9% 3.8% 2.8% 3.1% 20% 14% 15% 21% 44%High Yield FI/ Bloomberg Barclays High Yield -12.7% -6.9% 0.8% 2.8% 5.6% 55% 58% 44% 23% 21%
Peer Ranking of Index ReturnIndex Return
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Appendix
Page 51
· The rates of return contained in this report are shown on an after-fees basis unless otherwise noted. They are geometric and time weighted. Returns for periods longer thanone year are annualized.
· Universe percentiles are based upon an ordering system in which 1 is the best ranking and 100 is the worst ranking.
· Due to rounding throughout the report, percentage totals displayed may not sum up to 100.0%. Additionally, individual fund totals in dollar terms may not sum up to the plantotals.
Notes
Page 52
Past performance is not necessarily indicative of future results.
Unless otherwise noted, performance returns presented reflect the respective fund’s performance as indicated. Returns may be presented on a before-fees basis (gross) or after-fees basis (net). After-fee performance is net of each respective sub-advisors’ investment management fees and include the reinvestment of dividends and interest as indicated onthe notes page within this report or on the asset allocation and performance summary pages. Actual returns may be reduced by Aon Investments’ investment advisory fees or othertrust payable expenses you may incur as a client. Aon Investments’ advisory fees are described in Form ADV Part 2A. Portfolio performance, characteristics and volatility also maydiffer from the benchmark(s) shown.
The information contained herein is confidential and proprietary and provided for informational purposes only. It is not complete and does not contain certain material informationabout making investments in securities including important disclosures and risk factors. All securities transactions involve substantial risk of loss. Under no circumstances does theinformation in this report represent a recommendation to buy or sell stocks, limited partnership interests, or other investment instruments.
The data contained in these reports is compiled from statements provided by custodian(s), record-keeper(s), and/or other third-party data provider(s). This document is not intendedto provide, and shall not be relied upon for, accounting and legal or tax advice. Aon Investments has not conducted additional audits and cannot warrant its accuracy orcompleteness. We urge you to carefully review all custodial statements and notify Aon Investments with any issues or questions you may have with respect to investmentperformance or any other matter set forth herein.
The mutual fund information found in this report is provided by Thomson Reuters Lipper and Aon Investments cannot warrant its accuracy or timeliness. Thomson Reuters LipperGlobal Data Feed provides comprehensive coverage of mutual fund information directly to Investment Metrics, Aon Investments’ performance reporting vendor, via the PARisperformance reporting platform. Thomson Reuters Lipper is the data provider chosen by Investment Metrics, and as such, Aon Investments has no direct relationship with ThomsonReuters Lipper.
Refer to Hedge Fund Research, Inc. www.hedgefundresearch.com for information on HFR indices.
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Disclaimer
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