public fund universe analysis - wordpress.com

Period Ending December 31, 2016Fund Number: 65

Educational Employees' Supplementary RetirementSystem of Fairfax County

Public Fund Universe Analysis

www.RVKInc.com 503-221-4200 Portland New York Chicago

Firm Overview

OVERVIEW

RVK, Inc. (“RVK”) was founded in 1985 and is one of the largest independent and employee-owned investment consulting firms in the US, providing world-class investment advice to institutional investors. We serve over 400 plans, including pension plans, defined contribution plans, endowments & foundations, insurance pools, and special purpose funds.

MISSION STATEMENT

To provide best-in-class investment consulting services to a wide array of sophisticated investors.

STRATEGIC INVESTMENT ADVICE WITH NO CONFLICTS OF INTEREST

RVK built its investment consulting practice on the principles of integrity, investment knowledge, client service, and our no conflicts of interest policy. We are exclusively focused on strategic investment consulting services and solely owned by active employees, enabling us to offer advice that is not influenced by other business activities. As a privately-held firm, with no affiliates or parent company, we provide informed and unbiased investment advice to our clients. We offer an extensive slate of consulting services and produce deliverables fully customized to meet each client’s needs. KEY TENETS OF OUR CULTURE

www.RVKInc.com 503-221-4200 Portland New York Chicago

GENERAL CONSULTING SERVICES

Plan Evaluation

Strategic Asset Allocation

Investment Policy Development & Review

Investment Manager Search & Selection

Performance Analysis & Reporting

Manager Structure Analysis

Risk Monitoring and Management

Client Education

Special Projects

SPECIALTY CONSULTING SERVICES

Real Estate Consulting Services

Custody, Record keeper, Third-PartyAdministrator Searches

Asset/Liability Studies

Endowment Spending Policy Studies

Securities Lending Reviews

Pacing Studies

Strategic Planning Reviews

Outsourced CIO (“OCIO”) Searches,Evaluation, and Ongoing Monitoring

Directed Consulting Services

Fee Reviews

Defined Contribution Solutions Services

Investment Operations Solutions

Board and Investment Program OperationalReviews

RVK BY THE NUMBERS 30+ years of business 3 offices - Portland, Chicago, New York $700+ billion Full-Retainer AUA 90+ Investment Professionals 50+ Advanced Degrees and Certifications 100% Employee Ownership 100% Revenue Derived from Client Fees 100% Non-Discretionary Services

FOR MORE INFORMATION ABOUT OUR SERVICES, PLEASE CONTACT:

[email protected] 503-221-4200

Alameda County Employees' Retirement Association Anchorage Police & Fire Retirement System

Arlington County Employees' Retirement System California State Teachers' Retirement System

City of Fresno Retirement Systems City of Milwaukee Employes' Retirement System

Civilian Employees' Retirement System of the Police Department of Kansas City,Missouri

Colorado Public Employees' Retirement Association

Confederated Tribes of the Warm Springs Tribal Council Pension Fund Contra Costa County Employees' Retirement Association

County Employees' Annuity & Benefit Fund of Cook County District of Columbia Retirement Board

Educational Employees' Supplementary Retirement System of Fairfax County(65)

Employees Retirement System of Texas

Fire & Police Employees' Retirement System of Baltimore Fire and Police Pension Association of Colorado

Florida State Board of Administration Fort Worth Employees' Retirement Fund

Fresno County Employees' Retirement Association Georgia Division of Investment Services

Gila River Indian Community Retirement Plan Illinois Municipal Retirement Fund

Imperial County Employees' Retirement System Iowa Public Employees' Retirement System

Kansas Public Employees' Retirement System Kentucky Retirement Systems

Kentucky Teachers' Retirement System Kern County Employees' Retirement Association

Los Angeles City Employees' Retirement System Los Angeles County Employees Retirement Association

Los Angeles Fire and Police Pension System Los Angeles Water & Power Employees Retirement Plan

Marin County Employees' Retirement Association Mendocino County Employees' Retirement Association

Merced County Employees' Retirement Association Montana Public Employees' Retirement System

Montana Teachers' Retirement System Municipal Employees' Annuity and Benefit Fund of Chicago

Municipality of Anchorage Pre-Funding Program Nevada Public Employees' Retirement System

New York State Common Retirement Fund Newport News Employees' Retirement Fund

North Carolina Retirement System Ohio Public Employees' Retirement System

Orange County Employees' Retirement System Pennsylvania Public School Employees' Retirement System

Pennsylvania State Employees' Retirement System Police Retirement System of Kansas City, Missouri

Public School and Education ERS of Missouri San Diego City Employees' Retirement System

San Diego County Employees Retirement Association San Diego Transit Corporation Employees Retirement

San Joaquin County Employees' Retirement Association San Mateo County Employees' Retirement Association

Santa Barbara County Employees' Retirement System Sonoma County Employees' Retirement Association

Participants

As of December 31, 2016Fund Number: 65

South Dakota Retirement System Stanislaus County Employees' Retirement Association

State of New Jersey Pension Fund State Retirement and Pension System of Maryland

State Teachers Retirement System of Ohio State Universities Retirement System of Illinois

Teachers' Retirement System of Louisiana Teachers' Retirement System of the State of Illinois

Texas Municipal Retirement System The Navajo Nation Retirement Plan

Tulare County Employees' Retirement Association Ventura County Employees' Retirement Association

Virginia Retirement System West Virginia Investment Management Board

Wyoming Retirement System

Participants


Capital Markets Review As of December 31, 2016

Economic Indicators Dec-16 Sep-16 Dec-15 Dec-13 20 Yr0.55 ▲ 0.29 0.20 0.07 2.351.27 ▲ 0.95 0.85 1.50 N/A1.97 ▲ 1.61 1.58 2.23 N/A2.1 ▲ 1.5 0.7 1.5 2.24.7 ▼ 4.9 5.0 6.7 6.01.9 ▲ 1.7 1.9 2.7 2.3

54.50 ▲ 51.70 47.90 56.00 52.2095.76 ▲ 90.01 94.25 76.15 86.8653.7 ▲ 48.2 37.0 98.4 56.0

1,152.3 ▼ 1,315.8 1,061.4 1,205.7 784.3

Market Performance (%) CYTD 1 Yr 5 Yr 10 Yr11.96 11.96 14.66 6.9521.31 21.31 14.46 7.071.00 1.00 6.53 0.752.18 2.18 10.56 2.95

11.19 11.19 1.28 1.842.65 2.65 2.23 4.340.33 0.33 0.12 0.808.77 8.77 12.21 5.827.24 7.24 12.02 4.800.53 0.53 3.42 1.31

11.74 11.74 -8.96 -5.58

Russell 2000MSCI EAFE (Net)MSCI EAFE SC (Net)MSCI Emg Mkts (Net)Bloomberg US Agg Bond

Key Economic Indicators

Treasury Yield Curve (%)

Key Economic IndicatorsThe surprising result of the United States presidential election produced an initial market shock, as US equity futures traded off nearly 5% during the night of November 8th. By morning however, the volatility and uncertainty gave way to renewed optimism for risk assets as markets contemplated the policy objectives and corresponding economic impact of the Trump administration’s agenda. The bullish sentiment in the US cleared the path for the Federal Reserve Open Market Committee to raise the benchmark federal funds rate by 25 basis points during its December meeting. The move was widely anticipated, as economic data supported the Fed tightening at this point in the economic cycle. On November 30, 2016, OPEC announced a deal to cut oil production by 1.2 million barrels per day, the first cut since 2008, which drove the price of oil up nearly 10% on the day of the announcement. In Europe, the European Central Bank announced a moderation in the pace of asset purchases from €80 billion per month to €60 billion, but also extended the duration of the purchase program.

Fourth Quarter Economic Environment

UnemploymentRate (%)

Since 1948

CPI Year-over-Year (% change)

Since 1914

US Govt Debt (% of GDP)Since 1940

VIX Index(Volatility)Since 1990

Consumer ConfidenceSince 1967

Unemployment Rate (%)

Federal Funds Rate (%)Breakeven Infl. - 1 Yr (%)Breakeven Infl. - 10 Yr (%)CPI YoY (Headline) (%)

Real GDP YoY (%)

USD Total Wtd IdxWTI Crude Oil per Barrel ($)Gold Spot per Oz ($)

S&P 500 (Cap Wtd)

PMI - Manufacturing

0.882.66

BofA ML 3 Mo US T-BillNCREIF ODCE (Gross)Wilshire US REITHFRI FOF CompBloomberg Cmdty (TR)

-4.16-2.980.082.11

-2.28

QTD3.828.83

-0.71-2.86

0.00

0.50

1.00

1.50

2.00

2.50

3.00

3.50

4.00

4.50

3M 6M 1Y 3Y 5Y 7Y 10Y 20Y 30Y

Dec-16 Sep-16 Dec-15 Dec-14 Dec-13

0

2

4

6

8

10

12

20

40

60

80

100

120

0

10

20

30

40

50

60

70

20

40

60

80

100

120

140

160

-20

-15

-10

-5

0

5

10

15

2025

30

2.1

Treasury data courtesy of the US Department of the Treasury. Economic data courtesy of Bloomberg Professional Service.Breakeven Inflation does not have 20 years of history; therefore, its 20-year average is shown as N/A.

US Equity Review As of December 31, 2016

US Large-Cap Equity

R1000 12M P/ESince 1995

US Small-Cap Equity

R2000 12M P/ESince 1995

US Large-Cap Value Equity

R1000V 12M P/ESince 1995

US Large-Cap Growth Equity

R1000G 12M P/ESince 1995

US Large-Cap Equity

Shiller S&P 10Y P/ESince 1900

Broad MarketUS equity markets started the fourth quarter with a slight decline, fueled largely by uncertainty surrounding the presidential election. However, results swiftly shifted post-election, and all major US equity indices finished the quarter and year in positive territory, with the Russell 3000 Index returning 4.2% and 12.7%, respectively.

Market CapWhile all major indices finished the quarter in positive territory, small cap led the way with the Russell 2000 returning 21.3% compared with 12.1% for the Russell 1000.

Style and SectorValue stocks outperformed growth across all market caps in 2016. Post-election, several sectors finished the year with a strong rally including: Consumer Discretionary (14.5%), Energy (28.0%), Financials (20.4%), and Producer Durables (18.2%).

Style and Capitalization Market Performance (%)

S&P 500 Index Sector Performance (%)

Fourth Quarter Review

Valuations

11.32

7.08

31.74

17.34

21.31

12.05

11.96

12.74

3.57

1.01

14.07

6.68

8.83

3.83

3.82

4.21

-5 5 15 25 35

R 2000 Growth

R 1000 Growth

R 2000 Value

R 1000 Value

R 2000

R 1000

S&P 500

R 3000 QTD

1 Yr

16.29

23.49

16.69

13.85

18.86

-2.69

22.80

27.36

5.38

6.03

0.14

4.78

4.70

1.19

7.21

-4.00

21.10

7.28

-2.02

2.31

-10 0 10 20 30

Utilities

TeleCom

Materials

Information Tech

Industrials

Health Care

Financials

Energy

Cons Staples

Cons Discretion QTD

1 Yr

0

5

10

15

20

25

30

10

15

20

25

30

20

40

60

80

100

10

15

20

25

10

20

30

40

50

Valuation data courtesy of Bloomberg Professional Service and Robert J. Shiller, Irrational Exuberance, Second Edition.P/E metrics shown represent the 5th through 95th percentiles to minimize the effect of outliers.

Non-US Equity Review As of December 31, 2016

Developed IntlEquity

MSCI EAFE12M P/E

Since 1995

Intl EquityMSCI ACW x US

12M P/ESince 1995

MSCI Style and Capitalization Market Performance (%)

MSCI Region Performance (%)

EmergingMarkets Equity

MSCI EM12M P/E

Since 1995

Developed Intl Growth Equity

MSCI EAFE Grth12M P/E

Since 1995

Developed Intl Value Equity

MSCI EAFE Val12M P/E

Since 1995


Valuations

Developed MarketsDeveloped international markets ended the quarter slightly negative, but were positive for the year. Cyclical sectors, such as financials and energy, provided positive contributions for the quarter. By country, there were few bright spots, with only a few European countries posting positive returns in Q4.

Emerging MarketsEmerging Markets underperformed developed markets by a significant margin for the quarter. Year-end returns remained strong, but lagged US equities. Poor performance in emerging markets this quarter stemmed from fears that stimulus programs in the US could lead to higher bond yields and a stronger dollar, which may draw significant capital to the currency. Market Cap & Style Value stocks outperformed growth stocks for both the quarter and year while small-cap lagged large-cap for the quarter, but outperformed for the year.

11.19

4.18

-0.40

2.18

-3.04

5.02

1.00

4.50

-4.16

-1.03

-0.40

-2.86

-5.53

4.17

-0.71

-1.25

-10 -5 0 5 10 15

Emg Mkts

Pacific

Europe

EAFE SC

EAFE Growth

EAFE Value

EAFE

ACW Ex US QTD

1 Yr

11.19

24.56

2.38

7.85

-24.87

-0.10

-0.56

-4.16

3.26

-0.16

-2.72

-11.32

-0.90

-0.20

-35 -25 -15 -5 5 15 25 35

Emg Mkts

Canada

Japan

Pacific ex Japan

Middle East

United Kingdom

Europe Ex UK QTD

1 Yr

0

20

40

60

80

100

0

10

20

30

40

0

10

20

30

40

50

60

0

10

20

30

40

50

0

10

20

30

40

50

Valuation data courtesy of Bloomberg Professional Service.P/E metrics shown represent the 5th through 95th percentiles to minimize the effect of outliers.All returns are shown net of foreign taxes on dividends.

Fixed Income Review As of December 31, 2016

US Aggregate Bonds

Bloomberg US Agg SpreadsSince 2000

US Corporate Bonds

Bloomberg US Corp Spreads

Since 1989

US CreditBonds

Bloomberg US Credit Spreads

Since 2000

US Treasury Bonds10-Yr US Treasury

YieldsSince 1953

US High-Yield Bonds

Bloomberg US Corp:HY Spreads

Since 2000

Fixed Income Performance (%)Broad MarketRecent and anticipated interest rate hikes negatively affected bond market returns for the quarter. The Bloomberg Barclays US Aggregate Bond Index ended the year with a return of 2.7% after returning -3.0% during Q4. Long duration government bonds, which are particularly sensitive to interest rate movements, returned -11.5% for the quarter and ended the year with a return of 1.4% as measured by the Bloomberg Barclays Long US Government Index.

Credit MarketInvestment grade and high yield credit spreads compressed during the quarter as investors’ increased their appetite for credit. The BofAML US High Yield Index returned 17.5% for the quarter – its best return since 2009. InternationalForeign debt from both developed and emerging markets declined significantly during the quarter as the US dollar strengthened. The sharpest decline occurred immediately following the US presidential election.


Valuations

9.94

10.19

1.60

2.09

9.88

17.13

2.03

1.67

1.39

6.11

3.50

4.68

1.04

2.65

-6.09

-4.21

-8.53

-7.07

2.25

1.75

-0.70

-1.97

-1.96

-2.83

-2.91

-2.41

-3.84

-2.98

-15 -5 5 15 25

JPM GBI-EM Glbl Dvf'd (USD)(Unhedged)

JPM Emg Mkts Bond Global

Citi Wrld Gov't Bond

Bloomberg Global Agg Bond

CS Leveraged Loan

Bloomberg US Corp: Hi Yld

Bloomberg US ABS

Bloomberg US MBS

Bloomberg US Agcy

Bloomberg US Corp: Credit

Bloomberg US CMBS Inv Grade

Bloomberg US Trsy: US TIPS

Bloomberg US Trsy

Bloomberg US Agg QTD

1 Yr

0

2

4

6

8

10

12

14

0.0

0.2

0.4

0.6

0.8

1.0

1.2

0.0

0.5

1.0

1.5

2.0

2.5

3.0

0.0

0.5

1.0

1.5

2.0

2.5

3.0

3.5

0

2

4

6

8

10

12

Valuation data courtesy of Bloomberg Professional Service.Valuations shown represent the 5th through 95th percentiles to minimize the effect of outliers.

Alternatives Review As of December 31, 2016

General Market - Diversified Inflation Strategies (DIS)While most managers ended the year in positive territory, the fourth quarter proved challenging due to macroeconomic events. Managers with larger energy commodity exposure and natural resource equity exposure led the group during both the quarter and year. Managers with larger infrastructure and REIT allocations posted negative performance during the quarter as these asset classes initially appeared correlated with increased bond yields. Those that structurally allocate to TIPS at the expense of REITs, infrastructure, and natural resource equity ended the quarter at the approximate midpoint of the group.

General Market - Real EstateInvestors responded to recent US political events and interest rate increases by selling off REITs, as evidenced by the -3.5% return in the FTSE/NAREIT US Real Estate Index during the quarter. The NCREIF-ODCE Index returned 2.1% for the quarter based on preliminary results, with a nearly equal share of returns deriving from income and appreciation.

General Market - Hedge FundsThe fourth quarter wrapped up a mixed year for the hedge fund industry. Individual hedged equity managers had another difficult quarter from an alpha perspective, with early reports indicating the second worst quarter of alpha generation since 2010, in part due to sector rotations out of technology, consumer, and health care following the November elections. Poor performance from short books was a main detractor for many managers that delivered disappointing alpha and absolute returns. The best performing strategies for the year continued to be in the distressed/restructuring space.

General Market - Global Tactical Asset Allocation (GTAA)Most GTAA managers underperformed an undiversified and static 60/40 portfolio of US large cap equity and US fixed income. Managers that focus on lower-volatility and low correlation alpha provided the strongest performance for the quarter, as long dollar, short US duration, and credit positions were rewarded in a welcome break from a challenging year for these managers.

Fourth Quarter Review - Absolute Return

HFRI Hedge Fund Performance (%)

Fourth Quarter Review - Real Assets

Real Asset Performance (%)

11.41

3.63

10.63

7.61

1.15

15.18

1.17

2.17

5.44

8.14

0.52

2.56

1.45

3.61

1.80

-0.54

5.63

-1.43

1.47

1.23

2.09

0.87

-10 0 10 20

Credit Arb

Merger Arb

Event Driven

Relative Value

Macro

Distressed

Short Bias

Mkt Neutral Eq

Equity Hedge

Conv Arbitrage

HFRI FOFQTD

1 Yr

4.68

18.31

32.28

11.74

7.24

7.97

8.77

-2.41

2.04

6.69

2.66

-2.28

1.73

2.11

-20 0 20 40

Bloomberg US Trsy: US TIPS

Alerian MLP

S&P Glbl Nat. Res. (TR)

Bloomberg Cmdty (TR)

Wilshire US REIT

NCREIF Property

NCREIF ODCE (Gross) QTD

1 Yr

2002 2003 2004 2005 2006 2007 2008 2009 2010 2011 2012 2013 2014 2015 2016

Best25.91 61.34 33.16 34.00 35.97 39.38 8.44 78.51 28.60 22.49 20.00 38.82 31.78 15.02 21.31

16.56 55.81 31.45 26.19 32.18 16.23 5.24 58.21 26.85 15.99 18.23 32.39 19.31 9.59 17.13

14.84 47.25 25.55 21.39 26.34 15.97 2.06 46.78 22.04 13.56 17.59 29.30 13.69 4.23 11.96

10.27 38.59 20.25 21.36 19.31 11.63 -2.35 31.78 18.88 9.24 17.32 22.78 12.50 1.38 11.74

5.54 36.18 18.33 13.82 18.37 11.17 -10.01 28.60 16.83 7.84 16.35 13.94 5.97 0.55 11.19

3.58 28.96 13.06 13.54 16.32 10.25 -21.37 27.17 16.36 4.98 16.00 8.96 4.89 0.05 8.77

1.78 28.68 11.14 7.49 15.79 6.97 -26.16 26.46 15.12 2.11 15.81 7.44 3.64 -0.27 7.24

1.02 23.93 10.88 5.34 11.86 6.60 -33.79 18.91 15.06 0.10 10.94 1.86 3.37 -0.81 6.67

-1.37 11.61 9.15 4.91 10.39 5.49 -35.65 11.47 10.16 -4.18 8.78 0.07 2.45 -1.44 4.68

-6.17 9.28 8.56 4.55 4.85 5.00 -37.00 11.41 7.75 -5.72 6.98 -2.02 0.04 -3.30 2.65

-7.83 8.39 8.46 3.07 4.34 1.87 -39.20 5.93 6.54 -12.14 4.79 -2.60 -2.19 -4.41 2.18

-15.94 5.88 6.86 2.84 2.72 1.45 -43.38 1.92 6.31 -13.32 4.21 -8.61 -4.90 -4.47 1.00

-20.48 4.11 4.34 2.74 2.07 -1.57 -47.01 0.21 5.70 -15.94 0.11 -8.83 -4.95 -14.92 0.52

Worst-22.10 1.15 1.33 2.43 0.49 -17.55 -53.33 -29.76 0.13 -18.42 -1.06 -9.52 -17.01 -24.66 0.33

S&P 500 -US Large

Cap

R 2000 -US Small

Cap

MSCI EAFE(Net) - Int'l

Dev.

MSCI EAFESC (Net) -

Int'l SC

MSCI EM(Net) - Int'lEmg Mkts

BloombrgUS Agg

Bond - FI

BloombrgUS Corp:

Hi Yield - FI

BloombrgUS Trsy:US TIPS -

FI

BloombrgUS

Gov/Credit:Lng - FI

NCREIFODCE

(Gross) -Real Estate

WilshireUS REIT -

REITs

HFRI FOFCompIndex -

ARS

BloombrgCmdty (TR)- Commod.

BofA ML 3Mo T-Bill -

Cash Equiv

Annual Asset Class Performance As of December 31, 2016

NCREIF ODCE (Gross) performance is reported quarterly; performance is shown N/A in interim-quarter months.

0

5

10

15

20

25

<$500mm $500mm-$1B

$1B-$5B $5B-$10B $10B-$20B >$20B

7

5

19

7

13

20

0

5

10

15

20

25

30

35

40

Midwest Northeast South West

14

7

14

36

0

10

20

30

40

50

60

PERS Police/Fire Teachers/School Other

50

58 8

0

5

10

15

20

25

30

35

40

Local Gov Special District State Gov

37

4

30

Universe: 71 funds

Asset Size Geographical Distribution

Fund Classification Fund Type

Universe Characteristics


External Average: 88.62

0

20

40

60

80

100

41

01

51

71

81

92

93

63

73

84

24

95

25

55

76

06

16

26

46

56

97

17

27

37

98

08

38

58

69

49

59

91

03

10

51

16

11

81

19

12

01

21

12

91

33

16

31

68

18

71

98

20

22

09

24

03

45

34

83

49

35

12

75

96 1 5

20

28

23

14

41

91

18

01

72

32

27

26

41 8

30

29

63

12

Active Average: 75.16

0

20

40

60

80

100

41

11

81

91

29

64

93

48

79

65

29 8

18

76

21

33

10

33

11

19

11

61

79

53

07

21

63

64

94

19

85

74

41

80

28

21

05

73

19

20

23

63

45

71

80

26

61

34

93

12

69

10

20

92

40

99

85

15

27

5 19

6 42

0 51

21

42

32

86

60

17

23

72

73

83

51

12

01

68

55

52

12

98

31

8

Fairfax County

Active Management (%)

External Management (%)

Portfolio Management

Percentage Externally Managed & Percentage Actively Managed


Actively Managed (%) Passively Managed (%) Externally Managed (%) Internally Managed (%)

Asset Range

Over $20B 75.30 24.70 73.22 26.78

$10B-$20B 72.53 27.47 82.57 17.43

$5B-$10B 70.45 29.55 96.71 3.29

$1B-$5B 77.32 22.68 98.79 1.21

$500mm-$1B 71.89 28.11 99.99 0.01

Under $500mm 80.84 19.16 100.00 0.00

Fairfax County 91.83 8.17 100.00 0.00

Public FundUniverse

Fairfax County Fairfax CountyPublic FundUniverse

Portfolio(%)

Active Management External Management

90 to 100 11 1 54 1

50 to 89 55 0 10 0

10 to 49 4 0 6 0

Less than 10 1 0 1 0

1 7171 1Total Funds Reporting

Portfolio Management Statistics


US Eq 21.33%

Int'l Eq 13.28%

EM 2.60%

Other 15.15%

Cash 0.17%

RE 8.07%

Alts 11.16%

Global FI 4.02%

Int'l FI 2.77%

US FI 21.45%

US Eq 27.77%

Int'l Eq 15.30%

EM 3.00%Global Eq 3.39%

Other 3.42%Cash 1.79%

RE 8.29%

Alts 13.25%

Global FI 1.26%Int'l FI 0.96%

US FI 21.55%

0.00

3.00

6.009.00

12.00

-3.00-6.00

-9.00

US Eq Int'l Eq EM Global Eq US FI Int'l FI Global FI Alts RE Cash Other

-6.42

-2.01-0.40

-3.39

-0.08

1.81 2.76

-2.08-0.21

-1.62

11.73

Fairfax County All Funds

Variance (%)

Asset Allocation

Fairfax County vs. Average of All Funds


Allocations shown may not sum up to 100% exactly due to rounding.

US Eq 21.33%

Int'l Eq 13.28%

EM 2.60%

Other 15.15%

Cash 0.17%

RE 8.07%

Alts 11.16%

Global FI 4.02%

Int'l FI 2.77%

US FI 21.45%

US Eq 27.22%

Int'l Eq 14.62%

EM 2.77%Global Eq 3.27%

Other 3.80%Cash 1.34%

RE 8.24%

Alts 13.94%

Global FI 1.87%Int'l FI 1.11%

US FI 21.80%

0.00

3.00

6.00

9.00

12.00

-3.00

-6.00

-9.00

US Eq Int'l Eq EM Global Eq US FI Int'l FI Global FI Alts RE Cash Other

-5.86

-1.33-0.17

-3.27

-0.33

1.66 2.15

-2.77-0.16 -1.17

11.35

Fairfax County $1-$5 Billion

Variance (%)

Asset Allocation

Fairfax County vs. Average of Similar Size Funds



Lg Value 14.25%

Lg Core 12.50%

Lg Grth 13.60%

S/M Value 6.06%

EM 6.98%

Int'l Eq 35.69%

S/M Grth 5.19%S/M Core 5.74%

Lg Value 7.20%

Lg Core 31.23%

Lg Grth 5.07%S/M Value 3.91%

Global Eq 8.09%

EM 6.48%

Int'l Eq 30.96%


0.00

5.00

10.00

-5.00

-10.00

-15.00

-20.00

-25.00

Lg Value Lg Core Lg Grth S/M Value S/M Core S/M Grth Int'l Eq EM Global Eq

7.06

-18.71

8.53

2.15 2.00 1.884.75

0.51

-8.08


Variance (%)

Equity Style Allocation




Lg Value 14.25%

Lg Core 12.50%

Lg Grth 13.60%

S/M Value 6.06%

EM 6.98%

Int'l Eq 35.69%


Lg Value 10.91%

Lg Core 26.88%

Lg Grth 5.61%

S/M Value 5.90%

Global Eq 6.45%

EM 6.56%

Int'l Eq 30.95%


0.00

4.00

8.00

-4.00

-8.00

-12.00

-16.00

-20.00

Lg Value Lg Core Lg Grth S/M Value S/M Core S/M Grth Int'l Eq EM Global Eq

3.35

-14.35

8.00

0.17

3.99

0.19

4.77

0.43

-6.44


Variance (%)





Other PE 11.49%

Venture 5.33%

Buyout 10.59%

HF 72.60%

HF 28.65%

Distressed 4.42%

Other Alts 11.92%

Nat Res 6.76%

Other PE 18.76%

Venture 7.34%Buyout 22.14%

0.00

11.00

22.00

33.00

44.00

-11.00

-22.00

-33.00

HF Distressed Buyout Venture Other PE Nat Res Other Alts

43.96

-4.42-11.54

-2.01-7.26 -6.76

-11.91


Variance (%)

Alternatives Style Allocation




Other PE 11.49%

Venture 5.33%

Buyout 10.59%

HF 72.60%

HF 32.01%

Distressed 3.09%

Buyout 9.07%

Venture 4.56%

Other Alts 12.08%

Nat Res 10.02%

Other PE 29.16%

0.00

11.00

22.00

33.00

44.00

-11.00

-22.00

-33.00

HF Distressed Buyout Venture Other PE Nat Res Other Alts

40.60

-3.09

1.52 0.77

-17.66-10.02 -12.08


Variance (%)





US Equity International Equity Emerging Markets Global Equity

0.00

4.85

9.70

14.55

19.40

24.25

29.10

33.95

38.80

43.65

48.50

53.35

58.20

63.05

67.90

72.75

77.60

19

82

75

31

24

93

51

16

84

48

55

71

81

73

45

96

55

30

52

32

64

17

22

62

02

10

51

20

15

83

27

60 5

20

20

91

03

69

95

42

37 1

38

18

79

47

36

28

61

19

41 8

13

3 41

29

11

81

21

24

09

93

63

49

79

28

28

01

01

80

71

65

16

37

22

91

91

16

19

12

96

61

34

83

1

Universe Median: 51.95

71 of 71 funds invest in Equity (%)



US Fixed Income Int'l Fixed Income Global Fixed Income

0.00

3.45

6.90

10.35

13.80

17.25

20.70

24.15

27.60

31.05

34.50

37.95

41.40

44.85

48.30

51.75

34

83

68

01

68

20

29

95

53

12

83

34

91

81

63

94

11

97

28

56

51

18

24

05

73

72

82

79

96

12

11

53

81

20

13

32

7 52

03

45

41

86

35

12

09

69

62

26

31

18

06

14

94

29

51

02

96

10

51

03

12

92

95

21

16

18

77

3 86

41

72

19

16

03

2 41

74

47

11

93

0 12

75

19

8


71 of 71 funds invest in Fixed Income (%)

Fixed Income Style Allocation



0.00

2.00

4.00

6.00

8.00

10.00

12.00

14.00

16.00

29

34

59

67

21

91

32

16

38

61

16

61

69

30

31

35

13

81

33

10

34

94

23

71

80

11

82

09

12

14

12

82

64

95

17

27

92

69

92

96

55

18

71

29

80

71

24

01

51

0 45

26

5 52

06

21

05

36

17

73

27

94

12

0 84

42

02

85

11

91

85

71

9 12

75

34

88

36

01

68

68 of 71 funds invest in Real Estate (%)

Real Estate Allocation


Hedge Funds Distressed Debt Buyout Venture Capital

Other Private Equity Natural Res Other Alternative

0.00

2.35

4.70

7.05

9.40

11.75

14.10

16.45

18.80

21.15

23.50

25.85

28.20

30.55

32.90

35.25

19

31

11

67

1 1 86

0 47

92

82

62

18

7

10

29

18

0

11

91

29

99

95

72

10

31

63

41

13

3

19

12

96

73

17

26

1

17

30

94

12

13

6

42

69

52

20

92

75

27

12

02

40

80

65

10

58

3 52

02

6

15

37

11

83

28

6

20

23

49

64

44

38

57

18

85

19

81

68

55

31

2


66 of 71 funds invest in Alternatives (%)



Universe Median: 7.80 60% R 3000/40% B US Agg Bond Index: 8.79

0.00

0.95

1.90

2.85

3.80

4.75

5.70

6.65

7.60

8.55

9.50

10.45

11.40

12.35

13.30

14.25

15.20

29

62

75

31

19

81

03

64

18

71

05

38

16

85

23

45 1

42

71

95

86

73

18

01

21

96

32

11

62

99

93

05

72

09

62

11

93

68

51

91

15

27 5

20

69

55

60

31

29

48

31

72

17

11

82

40

12

04

47

21

29

65

34

91

63 8 4

79

80

35

16

13

72

02

28

22

64

91

81

33

41

19

10

34

8

71 of 71 funds provided Total Fund returns for this time period (%)

With a return of 7.26, Fund 65 received a percentile rank of 73


1 Year Annualized Total Fund Returns


Funds with less history than the specified time period will not appear in the chart.


0.00

0.80

1.60

2.40

3.20

4.00

4.80

5.60

6.40

7.20

8.00

8.80

9.60

10.40

11.20

12.00

12.80

29

66

96

43

21

03 5

20

30

18

71

18

10

53

84

42

98

55

25

71

72

34

51

74

29

61

21

12

07

36

21

82

75

19

13

12

16

83

78

62

74

91

92

02

18

03

61

33

19

83

51

15 8

26

95 4

20

95

5 14

11

19

28

26

06

59

48

01

16

10

31

71

12

97

27

98

39

91

63

61

24

03

48

34

9








0.00

0.50

1.00

1.50

2.00

2.50

3.00

3.50

4.00

4.50

5.00

5.50

6.00

6.50

7.00

7.50

29

68

52

40

11

83

64

43

12 5

20

18

76

91

98

16

81

83

85

71

72

12

15

22

99

53

76

41

72

75

42

55

49

30

20

28

62

82 8

27

62

12

01

03

19

26

96

32

71

41

19

11

80

80

34

57

91

05 4

12

96

51

33 1

73

15

72

60

34

83

19

91

01

63

35

11

19

83

11

69

46

13

49







Fairfax County

60% R 3000/40% B US Agg Bond Index

0.00

2.00

4.00

6.00

8.00

10.00

12.00

14.00

16.00

18.00

-2.00

2012 2013 2014 2015 2016

11.55

18.19

9.96

0.73

8.79

14.47

13.18

5.17

-1.10

7.26

Fairfax County: $145

60% R 3000/40% B US Agg Bond Index: $159

$100

$110

$120

$130

$140

$150

$160

De

c-1

1

Ma

r-1

2

Ju

n-1

2

Se

p-1

2

De

c-1

2

Ma

r-1

3

Ju

n-1

3

Se

p-1

3

De

c-1

3

Ma

r-1

4

Ju

n-1

4

Se

p-1

4

De

c-1

4

Ma

r-1

5

Ju

n-1

5

Se

p-1

5

De

c-1

5

Ma

r-1

6

Ju

n-1

6

Se

p-1

6

De

c-1

6

5 Years

7.65

9.70

-2.05

3 Years

6.41

3.72

-2.69

1 Year

8.79

7.26

-1.53

Annualized Returns (%)

60% R 3000/40% B US Agg Bond Index

Fairfax County

Variance

Calendar Year Rates of Return (%) Cumulative Performance (Growth of $100)

Total Return - Total Fund

Fairfax County vs. 60% R 3000/40% B US Agg Bond Index



0.00

0.10

0.20

0.30

0.40

0.50

0.60

0.70

0.80

17

10

55

25

76

49

63

51

60

34

83

45

29

67

34

93

71

53

81

21

69

30

55

11

99

99

46

52

75

19

88

51

20

18

71

33

18

01

18

16

81

72

80

44

42

10

31

01

29

83

32

19

41

26

34

9 52

01

63

20

21

83

12

29

95

19

17

21

16

86

62 1

27

31

61 8 4

36

71

79

28

22

40

With a beta of 0.67, Fund 65 received a percentile rank of 34

70 of 71 funds provided Total Fund returns for this time period

10 Year Total Fund Beta


Funds with less history than the specified time period will not appear in the chart. Benchmark used is the S&P 500 Index (Cap Wtd).

Universe Median: 12.46 Russell 3000 Index: 12.74

0.00

1.40

2.80

4.20

5.60

7.00

8.40

9.80

11.20

12.60

14.00

15.40

16.80

18.20

19.60

21.00

22.40

16

37

21

16

27

56

43

11

98

15

20

91

9 11

19

34

59

61

05

16

86

92

40

10

37

11

21

52

12

05

53

12

26

35

13

83

28

58

63

78

35

73

48

12

92

71

80

17

23

49

18

29

20

2 87

34

21

01

18

19

1 59

41

33

20 4

99

30

44

28

27

96

24

91

87

41

36

95

17

65

80

60

69 of 71 funds provided US Equity returns for this time period (%)



1 Year Annualized US Equity Returns




0.00

1.15

2.30

3.45

4.60

5.75

6.90

8.05

9.20

10.35

11.50

12.65

13.80

14.95

16.10

17.25

18.40

19.55

64

19

87

21

51

03

20

21

63

11

93

15

79

41

18

12

02

99

68

56

28

35

22

82

18

34

54

42

63

23

61

05

17

28

63

73

8 52

02

40

31

21

21

95

69

49

71

18

05

54

21

07

3 4 18

02

72

09 8

79

65

17

19

14

11

16

18

73

49

27

53

48

30

99

19

13

33

51

60

12

91

68








0.00

0.60

1.20

1.80

2.40

3.00

3.60

4.20

4.80

5.40

6.00

6.60

7.20

7.80

8.40

9.00

64

72

11

8 8

55

42

26

15

20

2

16

3

27

5

96

62

85

94

12

1

49

18

28

2

31

2

19

1

13

3

37

17

29

5

11

9

31

44

83

12

0

80

34

5

79

86

29 1

32

17

18

0

27

10

3

65

52

38

71

34

8

41 5

20

18

7

10

30

34

9

11

6

10

5

19

69

60

99

36

73

16

8

35

1 4







Fairfax County Russell 3000 Index

0.00

4.00

8.00

12.00

16.00

20.00

24.00

28.00

32.00

36.00

2012 2013 2014 2015 2016

16.42

33.55

12.56

0.48

12.74

14.98

36.41

9.75

2.44

9.73

Fairfax County: $193 Russell 3000 Index: $198

$90

$105

$120

$135

$150

$165

$180

$195

$210

De

c-1

1

Ma

r-1

2

Ju

n-1

2

Se

p-1

2

De

c-1

2

Ma

r-1

3

Ju

n-1

3

Se

p-1

3

De

c-1

3

Ma

r-1

4

Ju

n-1

4

Se

p-1

4

De

c-1

4

Ma

r-1

5

Ju

n-1

5

Se

p-1

5

De

c-1

5

Ma

r-1

6

Ju

n-1

6

Se

p-1

6

De

c-1

6

5 Years

14.11

14.67

-0.56

3 Years

8.43

7.25

-1.18

1 Year

12.74

9.73

-3.01


Russell 3000 Index

Fairfax County

Variance


Total Return - US Equity

Fairfax County vs. Russell 3000 Index


Universe Median: 3.88 MSCI ACW Ex US Index (USD) (Gross): 5.01

0.00

0.95

1.90

2.85

3.80

4.75

5.70

6.65

7.60

8.55

9.50

10.45

11.40

-0.95

-1.90

-2.85

-3.80

-4.75

95

34

91

91

86

30

52

16

89

46

24

21

05

18

05

71

98

27

60

29

31

17

99

18

73

27

11

21

55

36

17

2 82

82

10

3 13

12

96

12

0 52

06

42

40

73 4

26

11

68

58

03

82

09

20

23

45

13

36

51

19

15

49

37

35

14

12

75

44

12

91

63

72

79

18

11

81

06

91

93

48

68 of 71 funds provided International Equity returns for this time period (%)



1 Year Annualized International Equity Returns




0.00

0.65

1.30

1.95

2.60

3.25

3.90

4.55

5.20

5.85

6.50

7.15

7.80

8.45

9.10

9.75

10.40

31

10

53

01

91

95

16

37

28

61

98

69

62

27

51

19

34

9

16

86

58

56

01

87

64

11

81

81

33

20

9

96

12

05

71

72

42

17

71

19

38

10

35

13

45

34

81

16

18

02

02

52

37

10

3

28

24

48

01

21 1 4

36

26

79

27

24

07

32

93

2

55

49

15 5

20

94

41

31

29

9 8








0.00

0.35

0.70

1.05

1.40

1.75

2.10

2.45

2.80

3.15

3.50

3.85

4.20

4.55

-0.35

-0.70

95

31

13

3

19

1

16

8

79

30

10

5

34

8

17

2

69

86

11

6

80

17

27

5

49

11

9

18

7

62

12

0

26

15

85

18

0

38

55

44

10

20

2

34

5

71

32

29

52

64

36

16

3

72 1

96

42

28

2

41

27

37

31

2

18

99

60

11

8

73

35

1

12

1

10

3

65 4 5

20 8

34

9

94







Fairfax County

MSCI ACW Ex US Index (USD) (Gross)

0.00

3.00

6.00

9.00

12.00

15.00

18.00

21.00

-3.00

-6.00

-9.00

2012 2013 2014 2015 2016

17.39

15.78

-3.44

-5.25

5.01

19.00

22.03

-2.03

-3.43

2.93


MSCI ACW Ex US Index (USD) (Gross): $131

$100

$110

$120

$130

$140

$150

$160

De

c-1

1

Ma

r-1

2

Ju

n-1

2

Se

p-1

2

De

c-1

2

Ma

r-1

3

Ju

n-1

3

Se

p-1

3

De

c-1

3

Ma

r-1

4

Ju

n-1

4

Se

p-1

4

De

c-1

4

Ma

r-1

5

Ju

n-1

5

Se

p-1

5

De

c-1

5

Ma

r-1

6

Ju

n-1

6

Se

p-1

6

De

c-1

6

5 Years

7.18

5.48

1.70

3 Years

-1.32

-0.88

0.44

1 Year

5.01

2.93

-2.08


MSCI ACW Ex US Index (USD) (Gross)

Fairfax County

Variance


Total Return - International Equity

Fairfax County vs. MSCI ACW Ex US Index (USD) (Gross)


Universe Median: 7.99 MSCI ACW Index (USD) (Gross): 8.49

0.00

1.10

2.20

3.30

4.40

5.50

6.60

7.70

8.80

9.90

11.00

12.10

13.20

14.30

15.40

16.50

17.60

94

19

8

61

19

1

57

95

64

52 8

28

2

72

16

3

62

12

9

11

8

37

10

5

19

12

1

41

71

27 4

17

2

16

8

10

26

31

2

28 of 71 funds provided Global Equity returns for this time period (%)28 of 71 funds provided Global Equity returns for this time period (%)

1 Year Annualized Global Equity Returns




0.00

0.95

1.90

2.85

3.80

4.75

5.70

6.65

7.60

8.55

9.50

10.45

11.40

12.35

13.30

14.25

15.20

28

2

16

8

19

1

57

19

8

62

27

95 4

10

41

17

2

37

12

9

19

61

26

71

10

5

11

8

64

52






0.00

0.45

0.90

1.35

1.80

2.25

2.70

3.15

3.60

4.05

4.50

4.95

5.40

5.85

6.30

6.75

7.204

95

10

64

37

17

2

61

27





5 Years

N/A

N/A

N/A

3 Years

N/A

N/A

N/A

1 Year

N/A

N/A

N/A


MSCI ACW Index (USD) (Gross)

Fairfax County

Variance

Fairfax County does not have return data for Global Equity


Total Return - Global Equity

Fairfax County vs. MSCI ACW Index (USD) (Gross)


Universe Median: 4.78 Bloomberg US Agg Bond Index: 2.65

0.00

0.75

1.50

2.25

3.00

3.75

4.50

5.25

6.00

6.75

7.50

8.25

9.00

9.75

10.50

11.25

12.00

31

71

73

96 8

10

5

13

3

86

42

65

18

0

79

17 4

38

15

41

16

8

36

12

0

57

24

0

99

34

5

94

55

52

61

20

2

11

6

19

8

95

30

11

8

85

10

3

27

69

64

37

34

8

18

7

49

72

20 5

32

26

20

9

19

1

16

3

44

10

28

2

12

9

17

2

35

1

12

1

31

2

27

5

18

34

9

62

63 of 71 funds provided US Fixed Income returns for this time period (%)



1 Year Annualized US Fixed Income Returns




0.00

0.45

0.90

1.35

1.80

2.25

2.70

3.15

3.60

4.05

4.50

4.95

5.40

5.85

6.30

6.75

31

61

17

11

8

73

96 8

19

8

16

8

86

38

10

5

13

3

57

65

18

0

52

95 4

15

20

2

55

36

42

12

0

64

11

6

10

3

49

85

20 5

99

18

7

32

44

94

28

2

69

34

8

35

1

30

72

16

3

24

0

20

9

19

1

26

34

5

34

9

10

37

17

2

12

1

41

71

79

27

18

31

2

27

5

62








0.00

0.55

1.10

1.65

2.20

2.75

3.30

3.85

4.40

4.95

5.50

6.05

6.60

7.15

7.70

8.25

31 8

61

17

10

5

52

42

65

55

28

2

38

20

2

64

11

8

86

34

9

99

73

96

16

8

12

0

34

8

44 4

85

36

20 5

37

30

19

1

72

79

16

3

49

18

0

71

12

1

26

32

69

27

10

3

95

17

2

34

5

13

3

24

0

11

6

18

31

2

41

18

7

35

1

15

27

5

62







Fairfax County

Bloomberg US Agg Bond Index

0.00

1.00

2.00

3.00

4.00

5.00

6.00

7.00

8.00

9.00

10.00

-1.00

-2.00

2012 2013 2014 2015 2016

4.21

-2.02

5.97

0.55

2.65

9.51

-0.25

4.96

-1.11

6.60


Bloomberg US Agg Bond Index: $112

$100

$105

$110

$115

$120

$125

De

c-1

1

Ma

r-1

2

Ju

n-1

2

Se

p-1

2

De

c-1

2

Ma

r-1

3

Ju

n-1

3

Se

p-1

3

De

c-1

3

Ma

r-1

4

Ju

n-1

4

Se

p-1

4

De

c-1

4

Ma

r-1

5

Ju

n-1

5

Se

p-1

5

De

c-1

5

Ma

r-1

6

Ju

n-1

6

Se

p-1

6

De

c-1

6

5 Years

3.86

2.23

1.63

3 Years

3.03

3.43

0.40

1 Year

2.65

6.60

3.95


Bloomberg US Agg Bond Index

Fairfax County

Variance


Total Return - US Fixed Income

Fairfax County vs. Bloomberg US Agg Bond Index


Universe Median: 7.08 Bloomberg Gbl Agg Bond Index: 2.09

0.00

0.95

1.90

2.85

3.80

4.75

5.70

6.65

7.60

8.55

9.50

10.45

11.40

12.35

-0.95

-1.90

-2.85

-3.80

12

1

27 1

20

9

29

73

11

9

18

7

80

94

17

60

16

3

72

83

95

31

19

10

19 of 71 funds provided Global Fixed Income returns for this time period (%)19 of 71 funds provided Global Fixed Income returns for this time period (%)

1 Year Annualized Global Fixed Income Returns




0.00

0.45

0.90

1.35

1.80

2.25

2.70

3.15

3.60

4.05

4.50

4.95

5.40

5.85

6.30

6.75

29

73 1

60

95

10

80

11

9

17

18

7

19

12

1

83






0.00

0.50

1.00

1.50

2.00

2.50

3.00

3.50

4.00

4.50

5.00

5.50

6.00

6.50

7.00

7.502

9

60

17 1

80

18

7

19

11

9

95

83





5 Years

N/A

N/A

N/A

3 Years

N/A

N/A

N/A

1 Year

N/A

N/A

N/A


Bloomberg Gbl Agg Bond Index

Fairfax County

Variance

Fairfax County does not have return data for Global Fixed Income


Total Return - Global Fixed Income

Fairfax County vs. Bloomberg Gbl Agg Bond Index


Universe Median: 8.93 NCREIF ODCE Index (AWA) (Gross): 8.77

0.00

2.05

4.10

6.15

8.20

10.25

12.30

14.35

16.40

18.45

-2.05

-4.10

-6.15

-8.20

-10.25

-12.30

-14.35

-16.40

24

01

21

10

51

29

36

18

0

99

38

29

27

32

60

44 1

28

21

91

72

16

3

31

71

17

22

75

18

73

0

69

94

73

86

20

21

03

62

12

08

54

14

26

42

0 59

51

92

09

80

10

17

96

57

15 8

52

61

34

51

33

79

11

92

6

55

37

49

18

65

83

35

11

18

34

81

16 4

16

8

67 of 71 funds provided Real Estate returns for this time period (%)



1 Year Annualized Real Estate Returns




0.00

1.05

2.10

3.15

4.20

5.25

6.30

7.35

8.40

9.45

10.50

11.55

12.60

13.65

14.70

15.75

16.80

18

01

19

72

16

33

8

69

61

71

19

17

2

18

7

24

01

05

27

51

91

11

8

20

23

2

27

28

22

9

17

96

30

12

91

0

26

10

3

12

1

62

64

79

65

73

55

41

42

99

60 8

36

85

13

33

7

94

31

80

52

20

9

11

6

44

20 5

49

12

0

34

53

48

95

86

15 1

18 4

35

18

3








0.00

0.65

1.30

1.95

2.60

3.25

3.90

4.55

5.20

5.85

6.50

7.15

7.80

8.45

9.10

9.75

10.40

44

18

0

71

30

69

19

1

17

2 1

29

18

7

36

96

18

19

17

38

80

73

15

65

27

20

2

55

28

2

26

85

60

27

5

10

5

35

1

72

16

3

10

12

1

13

3

94

11

8

34

5

99

37

49

42

86

62

52

79

32

41 5

20 4

64

34

8 8

11

6

61

12

0

31

83







Fairfax County

NCREIF ODCE Index (AWA) (Gross)

0.00

2.00

4.00

6.00

8.00

10.00

12.00

14.00

16.00

18.00

20.00

2012 2013 2014 2015 2016

10.94

13.94

12.50

15.02

8.77

20.20

9.24

14.95

8.96

6.88


NCREIF ODCE Index (AWA) (Gross): $178

$100

$110

$120

$130

$140

$150

$160

$170

$180

De

c-1

1

Ma

r-1

2

Ju

n-1

2

Se

p-1

2

De

c-1

2

Ma

r-1

3

Ju

n-1

3

Se

p-1

3

De

c-1

3

Ma

r-1

4

Ju

n-1

4

Se

p-1

4

De

c-1

4

Ma

r-1

5

Ju

n-1

5

Se

p-1

5

De

c-1

5

Ma

r-1

6

Ju

n-1

6

Se

p-1

6

De

c-1

6

5 Years

11.94

12.21

-0.27

3 Years

12.07

10.21

-1.86

1 Year

8.77

6.88

-1.89


NCREIF ODCE Index (AWA) (Gross)

Fairfax County

Variance


Total Return - Real Estate

Fairfax County vs. NCREIF ODCE Index (AWA) (Gross)


Universe Median Risk: 5.62 Median Return: 8.91 Median Sharpe Ratio: 1.49

4.80

5.40

6.00

6.60

7.20

7.80

8.40

9.00

9.60

10.20

10.80

11.40

12.00

12.60

An

nu

aliz

ed

Re

turn

3.50 3.85 4.20 4.55 4.90 5.25 5.60 5.95 6.30 6.65 7.00 7.35 7.70

Standard Deviation (Risk)

Fund Sharpe Ratio: 1.26


Risk/Return Analysis

5 Year Annualized Total Fund Returns vs. Standard Deviation




3.15

3.50

3.85

4.20

4.55

4.90

5.25

5.60

5.95

6.30

6.65

7.00

7.35

An

nu

aliz

ed

Re

turn

4.50 5.25 6.00 6.75 7.50 8.25 9.00 9.75 10.50 11.25 12.00 12.75 13.50 14.25





10 Year Annualized Total Fund Returns vs. Standard Deviation




11.00

11.55

12.10

12.65

13.20

13.75

14.30

14.85

15.40

15.95

16.50

17.05

17.60

18.15

An

nu

aliz

ed

Re

turn

8.00 8.40 8.80 9.20 9.60 10.00 10.40 10.80 11.20 11.60 12.00 12.40 12.80 13.20





5 Year Annualized US Equity Returns vs. Standard Deviation




5.10

5.40

5.70

6.00

6.30

6.60

6.90

7.20

7.50

7.80

8.10

8.40

8.70

An

nu

aliz

ed

Re

turn

15.60 16.00 16.40 16.80 17.20 17.60 18.00 18.40 18.80 19.20 19.60 20.00 20.40 20.80





10 Year Annualized US Equity Returns vs. Standard Deviation




4.00

4.50

5.00

5.50

6.00

6.50

7.00

7.50

8.00

8.50

9.00

9.50

10.00

An

nu

aliz

ed

Re

turn

9.60 9.90 10.20 10.50 10.80 11.10 11.40 11.70 12.00 12.30 12.60 12.90 13.20





5 Year Annualized International Equity Returns vs. Standard Deviation




0.00

0.50

1.00

1.50

2.00

2.50

3.00

3.50

4.00

4.50

5.00

-0.50

-1.00

An

nu

aliz

ed

Re

turn

14.30 14.95 15.60 16.25 16.90 17.55 18.20 18.85 19.50 20.15 20.80 21.45 22.10 22.75





10 Year Annualized International Equity Returns vs. Standard Deviation




8.80

9.35

9.90

10.45

11.00

11.55

12.10

12.65

13.20

13.75

14.30

14.85

An

nu

aliz

ed

Re

turn

7.50 8.00 8.50 9.00 9.50 10.00 10.50 11.00 11.50 12.00 12.50 13.00 13.50


22 of 71 funds provided Global Equity returns for this time period (%)


5 Year Annualized Global Equity Returns vs. Standard Deviation




1.35

1.80

2.25

2.70

3.15

3.60

4.05

4.50

4.95

5.40

5.85

6.30

6.75

7.20

An

nu

aliz

ed

Re

turn

15.50 15.75 16.00 16.25 16.50 16.75 17.00 17.25 17.50 17.75 18.00 18.25 18.50


8 of 71 funds provided Global Equity returns for this time period (%)


10 Year Annualized Global Equity Returns vs. Standard Deviation




0.00

0.55

1.10

1.65

2.20

2.75

3.30

3.85

4.40

4.95

5.50

6.05

6.60

7.15

An

nu

aliz

ed

Re

turn

0.80 1.20 1.60 2.00 2.40 2.80 3.20 3.60 4.00 4.40 4.80 5.20 5.60 6.00





5 Year Annualized US Fixed Income Returns vs. Standard Deviation




2.70

3.15

3.60

4.05

4.50

4.95

5.40

5.85

6.30

6.75

7.20

7.65

8.10

An

nu

aliz

ed

Re

turn

2.70 3.15 3.60 4.05 4.50 4.95 5.40 5.85 6.30 6.75 7.20 7.65 8.10





10 Year Annualized US Fixed Income Returns vs. Standard Deviation




1.35

1.80

2.25

2.70

3.15

3.60

4.05

4.50

4.95

5.40

5.85

6.30

6.75

An

nu

aliz

ed

Re

turn

1.30 1.95 2.60 3.25 3.90 4.55 5.20 5.85 6.50 7.15 7.80 8.45 9.10 9.75


13 of 71 funds provided Global Fixed Income returns for this time period (%)


5 Year Annualized Global Fixed Income Returns vs. Standard Deviation




3.60

3.90

4.20

4.50

4.80

5.10

5.40

5.70

6.00

6.30

6.60

6.90

7.20

An

nu

aliz

ed

Re

turn

2.40 3.00 3.60 4.20 4.80 5.40 6.00 6.60 7.20 7.80 8.40 9.00 9.60


10 of 71 funds provided Global Fixed Income returns for this time period (%)


10 Year Annualized Global Fixed Income Returns vs. Standard Deviation




7.80

8.45

9.10

9.75

10.40

11.05

11.70

12.35

13.00

13.65

14.30

14.95

15.60

16.25

An

nu

aliz

ed

Re

turn

0.00 0.85 1.70 2.55 3.40 4.25 5.10 5.95 6.80 7.65 8.50 9.35 10.20





5 Year Annualized Real Estate Returns vs. Standard Deviation




0.00

0.80

1.60

2.40

3.20

4.00

4.80

5.60

6.40

7.20

8.00

8.80

9.60

10.40

An

nu

aliz

ed

Re

turn

0.00 2.25 4.50 6.75 9.00 11.25 13.50 15.75 18.00 20.25 22.50 24.75 27.00-2.25





10 Year Annualized Real Estate Returns vs. Standard Deviation



100% of Net Assets Available for Benefits

0

10

20

30

40

50

60

70

80

90

100

110

120

96

83

19

16

8

10

5

42

85

55

20

2

28

2

24

0

17

2

94

52

64

62

11

8

36

69

86

73

16

3

80

60

17

20

12

9

72

41

18

57

12

0

65

12

1

99

10

30 5

32

27

5

49

71

38

79

61

11

9

18

7

26

11

6

31

15

44

37

29 1

20

9

13

3

57 of 71 funds provided Net Assets Available data (%)

Net Assets Available For Benefits

Expressed as a Percentage of the Pension Benefit Obligation


Funds that did not provide data will not appear in the chart.

0

5

10

15

20

25

6.50 6.75 7.00 7.25 7.40 7.50 7.55 7.60 7.75 8.00 8.40

62 of 88 funds provided Actuarial Rate data

1 2

8

13

1

21

13

74

1

0

2

4

6

8

10

12

2.00 2.70 2.75 2.90 3.00 3.25 3.50 3.55 3.75 4.00 4.16 4.25 4.44 4.50 4.80 4.85 4.92 5.00 5.25 5.40 6.00 6.10 6.50 6.70 7.10 7.75 8.00

60 of 88 funds provided Salary Growth Rate data

1 1 1 1

5

7

10

1

9

4

12

12

1 1 1 1 1 12

1 1 1 1 1 1

Fairfax County

0

5

10

15

20

3.00 3.75 3.95 4.00 4.15 4.25 4.35 4.50 4.60 4.70 4.75 4.85 5.00 5.40 5.50 5.65 7.50

60 of 88 funds provided Real Rate of Assumed Investment Return data

14

1

6

1

16

1

15

1 1 2 1

6

1 1 1 1

Actuarial Rate Assumptions - 7.50% Median

Salary Growth Rate Assumptions (Inflation plus Merit) - 3.75% Median

Real Rate of Assumed Investment Return (Interest Rate minus Inflation) - 4.35% Median

Actuarial Assumption Rates


Funds that did not provide data will not appear in the chart.

Inv Div Staff 2.38%Admin 6.32%Custodian 1.31%Inv Cons 3.02%

US Eq 10.53%

Int'l Eq 13.78%

Real Es 11.45%

Alt Inv 36.70%

Fixed Inc 14.52%

Inv Div Staff 2.17%

Admin 14.04%

Custodian 1.75%Inv Cons 2.33%

US Eq 9.79%

Int'l Eq 10.37%

Global Eq 3.40%

Inv Other 1.60%Real Es 12.64%

Alt Inv 33.13%

Fixed Inc 8.77%

0.002.004.006.008.00

-2.00-4.00-6.00-8.00

-10.00

Inv Div Staff Admin Custodian Inv Cons US Eq Int'l Eq Global Eq Fixed Inc Alt Inv Real Es Inv Other

0.21

-7.72

-0.44

0.69 0.74

3.41

-3.40

5.753.57

-1.20 -1.60

Variance (%)


Total Administrative and Investment Fees

Fairfax County vs. All Funds



Administrative Expenses Fairfax CountyUnder $500

Million$500mm -$1 Billion

$1 - $5 Billion $5 - $10 Billion$10 - $20

BillionOver $20

Billion

Internal Inv. Div. Staff 1.121.58 0.00 0.81 0.91 0.98 2.11

Actuary 2.750.70 0.96 0.49 0.36 0.17 0.11

Legal 0.780.33 0.96 0.67 0.40 0.21 0.20

Consultant 0.180.08 0.24 0.25 0.53 0.07 0.15

Audit 0.610.34 0.52 0.20 0.12 0.07 0.06

Other Professional 0.100.03 0.47 0.34 0.26 0.35 0.83

General Administrative 13.222.71 10.17 7.71 6.45 2.84 2.88

Total Administrative Expenses 5.76 18.76 10.4613.33 6.349.02 4.69

Investment Expenses Fairfax CountyUnder $500

Million$500mm -$1 Billion

$1 - $5 Billion $5 - $10 Billion$10 - $20

BillionOver $20

Billion

Custodial 1.710.87 2.64 1.33 0.57 0.52 0.31

Investment Consulting 2.492.00 2.18 2.00 0.74 0.66 0.50

US Equity 4.186.97 8.01 7.51 6.51 3.87 2.24

International Equity 2.049.12 6.03 7.25 6.10 5.16 3.80

Global Equity 5.690.00 2.70 1.60 2.10 1.94 1.12

Fixed Income 3.979.61 6.25 5.79 4.72 3.65 3.68

Real Estate 5.377.58 7.78 7.83 8.51 5.48 5.46

Other Investment Management 0.000.00 0.00 1.08 1.08 0.90 0.81

36.14Total Investment Expenses (ex. Alt Inv) 35.59 22.19 17.9325.46 30.3234.40

Alternative Investments 7.8724.30 7.15 16.93 20.20 16.03 22.73

Total Investment Expenses 60.44 33.33 51.3342.74 40.6650.52 38.22

Total Fund Fee Summary in Basis Points

Fairfax County vs. Average by Asset Range


55 of 71 funds provided fee data for this time period

Expressed in basis points on total fund assets. Funds that did not provide fee data will not appear in the table.

66.20Total Expenses 56.07 59.5461.79 47.0042.9152.09

Currently Include Considering Not Considering Unsure at this Time

Internal investment department compensation/benefits 6 1 2 2

Allocation of non-investment department expenses (human resources, communications, technology, performance measurement, and compliance to support internal management team)

6 1 2 2

Investment research services (100% or pro-rata determination) 5 0 2 4

Investment consulting fees (general investment consulting and project fees; 100% or pro-rata determination)

7 0 2 2

Pro-rata data valuation fees 3 1 2 5

Pro-rata overhead indirectly related to asset management (building and utilities fees to support internal management team)

4 1 2 3

Of the 71 participants in the 2016Q4 Public Fund Report, 53 participants provided a reply to the GIPS Compliance Survey. Of those participants, 6 answered "Yes, Currently Comply", 3 answered "Yes, Considering", and 44 answered "Not Considering".

GIPS Compliance Survey Summary

Q1. Are you currently claiming compliance or considering compliance with the CFA Institute's Guidance Statement on the Application of the Global Investment Performance Standards (GIPS) to Asset Owners, effective January 1, 2015?

Q2. According to the GIPS standards, asset owner net of fees performance must reflect internal as well as external investment costs, and such net of all fee performance is required to be calculated and presented to fund oversight committees/Boards. Please identify which, if any, of the following costs you are currently including or will consider including in net performance that is in compliance with the GIPS standards.

Miscellaneous Comments

Performance shown is gross of fees, with the exception of the following:

Funds 31, 49, 350, and 351: Performance shown is net of fees.

Funds 5 and 20: Performance shown is net of fees, except for Total Fund performance.

Fund 85: Performance shown for Real Estate is net of fees.

Performance shown is calculated using quarterly performance provided by participating public funds.

Performance shown may differ from a fund's actual performance due to rounding.

Net Assets Available for Benefit includes funding percentage valuation as of dates between December 2015 and December 2016.

Allocations shown reflect dedicated managers/mandates rather than actual exposure, with the exception of the following:

Funds 1, 29, and 119: Performance shown for Global Fixed Income includes US and Non-US exposure.

Funds 4, 42, and 64: Performance shown for US Fixed Income includes US and Non-US exposure.

Glossary of Terms

Beta - A measure of the sensitivity of a portfolio to the movements in the market. It is a measure of a portfolio's non-diversifiable or systematic risk.

Return - Compounded rate of return for the period.

% Return - The time-weighted rate of return of a portfolio for a given period.

Sharpe Ratio - Represents the excess rate of return over the risk-free return (i.e., BofA ML 3 Mo US T-Bill Index unless specified otherwise), divided by thestandard deviation of the excess return to the risk free asset. The result is the absolute rate of return per unit of risk. The higher the value, the better the product'shistorical risk-adjusted performance.

Standard Deviation - A statistical measure of the range of a portfolio's performance. The variability of a return around its average return over a specified timeperiod. Calculation is based on quarterly periodicity.

Addendum and Glossary As of December 31, 2016

Disclaimer of Warranties and Limitation of Liability - This document was prepared by RVK, Inc. (RVK) and may include information and data from some or all of the following sources: client staff; custodian banks; investment managers; specialty investment consultants; actuaries; plan administrators/record-keepers; index providers; as well as other third-party sources as directed by the client or as we believe necessary or appropriate. RVK has taken reasonable care to ensure the accuracy of the information or data, but makes no warranties and disclaims responsibility for the accuracy or completeness of information or data provided or methodologies employed by any external source. This document is provided for the client’s internal use only and does not constitute a recommendation by RVK or an offer of, or a solicitation for, any particular security and it is not intended to convey any guarantees as to the future performance of the investment products, asset classes, or capital markets.

public fund universe analysis - wordpress.com

Documents