public fund universe analysis - sacrs fall conference/fall...the second quarter of 2016 was...

Period Ending June 30, 2016

SACRSPublic Fund Universe Analysis

Report and Firm SummaryThe following report is a compilation of data provided to RVK, Inc. by 73 public fundsthroughout the United States. We are a registered investment advisor with the SecuritiesExchange Commission under the Investment Advisors Act of 1940. Our firm providesinvestment consulting services to nearly 200 clients across more than 450 plans with totalassets under advisement in excess of $1 trillion. The confidentiality of participants ismaintained by revealing the fund number only to each individual fund, with the exceptionof SACRS funds which have provided permission to share their respective fund numbers.For more information about services provided by RVK, please visit our website atwww.RVKInc.com.

Alameda County Employees' Retirement Association (17) 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 (118) County Employees' Annuity & Benefit Fund of Cook County

District of Columbia Retirement Board Educational Employees' Supplementary Retirement System of Fairfax County

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 (80)

Georgia Division of Investment Services Gila River Indian Community Retirement Plan

Illinois Municipal Retirement Fund Imperial County Employees' Retirement System (55)

Iowa Public Employees' Retirement System Kansas Public Employees' Retirement System

Kentucky Retirement Systems Kentucky Teachers' Retirement System

Kern County Employees' Retirement Association (119) Los Angeles City Employees' Retirement System

Los Angeles County Employees Retirement Association (86) Los Angeles Fire and Police Pension System

Los Angeles Water & Power Employees Retirement Plan Marin County Employees' Retirement Association (69)

Mendocino County Employees' Retirement Association (49) Merced County Employees' Retirement Association (15)

Montana Public Employees' Retirement System Montana Teachers' Retirement System

Municipality of Anchorage Pre-Funding Program Municipality of Anchorage Trust Fund

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 (71)

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

Sacramento County Employees' Retirement System (75) San Bernardino County Employees' Retirement Association (101)

San Diego County Employees Retirement Association (129) San Diego Transit Corporation Employees Retirement

San Joaquin County Employees' Retirement Association (61) San Jose Federated City Employees' Retirement System

San Jose Police and Fire Department Retirement Plan San Mateo County Employees' Retirement Association (73)

Participants

As of June 30, 2016

Santa Barbara County Employees' Retirement System (99)

Page 1

Santa Barbara County Employees' Retirement System (99)

Sonoma County Employees' Retirement Association (64)

South Dakota Retirement System Stanislaus County Employees' Retirement Association (57)

State of Michigan Retirement Systems 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 the State of Illinois

Texas Municipal Retirement System The Navajo Nation Retirement Plan

Tulare County Employees' Retirement Association (94) Ventura County Employees' Retirement Association (52)

Virginia Retirement System West Virginia Investment Management Board

Wyoming Retirement System

Participants

As of June 30, 2016

Page 2

Capital Markets Review As of June 30, 2016

Economic Indicators Jun-16 Mar-16 Jun-15 Jun-13 20 Yr0.30 ▲ 0.25 0.08 0.07 2.471.17 ▼ 2.10 0.73 0.74 N/A1.44 ▼ 1.63 1.89 1.99 N/A1.0 ▲ 0.9 0.1 1.8 2.24.9 ▼ 5.0 5.3 7.5 6.01.2 ▼ 1.6 3.0 1.0 2.4

53.20 ▲ 51.80 53.10 52.30 52.2090.64 ▲ 89.84 89.96 77.58 86.76

48 ▲ 38 59 97 551,322 ▲ 1,233 1,172 1,235 762

Market Performance (%) CYTD 1 Yr 5 Yr 10 Yr3.84 3.99 12.10 7.422.22 -6.73 8.35 6.20

-4.42 -10.16 1.68 1.58-3.18 -3.67 4.84 3.576.41 -12.05 -3.78 3.545.31 6.00 3.76 5.130.15 0.19 0.09 1.044.36 11.82 12.72 6.17

11.09 22.82 12.48 6.99-2.83 -6.48 1.46 1.2413.23 -13.34 -10.83 -5.59

QTD2.463.79

-1.46-2.600.662.210.072.135.600.36

12.76

BofA ML 3 Mo US T-BillNCREIF ODCE (Gross)Wilshire US REITHFN FOF Multi-StratBloomberg Cmdty (TR)

Real GDP YoY (%)

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

S&P 500 (Cap Wtd)

PMI - Manufacturing

Unemployment Rate (%)

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

Key Economic Indicators

Treasury Yield Curve (%)

Key Economic IndicatorsThe second quarter of 2016 was characterized by a broad based rally across commodities, a range bound US dollar, and a flight to safety on the back of the UK’s referendum vote to leave the European Union. Uncertainty around Brexit dominated the news flow in late June and catalyzed a flight to safety across risk assets. Recent data show that 36% of outstanding global developed market government debt is now yielding less than 0%. However, investors continue to have an appetite for risk where yields remain positive. In developed markets, the surprise Brexit vote led to sharp initial declines in equities, though markets recovered quickly following a series of dovish statements from central banks. Long duration assets outperformed short duration, and gold rallied amid the flight to safety. In the US, probabilities for a June interest rate hike swung from as high as 35% in late May, down to 0% after disappointing May payroll numbers were released.

Second 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

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

0.00

0.50

1.00

1.50

2.00

2.50

3.00

3.50

4.00

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

Jun-16 Mar-16 Jun-15 Jun-14 Jun-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

-20-15-10-505

1015202530

1.0

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.

Page 3

US Equity Review As of June 30, 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 finished the quarter in positive territory across all market capitalization ranges and styles, with the Russell 3000 Index rising 2.6%.

Market CapSmall cap stocks outperformed larger-cap stocks this quarter, as the Russell 2000 Index outperformed the Russell 1000 Index by 125 basis points.

Style and SectorHistorically stable sectors such as utilities, consumer staples, and telecommunications continued to post strong gains as market volatility persisted and notably increased in the final week of the quarter amidst the uncertainty created by the UK’s EU Referendum. Additionally, value stocks outperformed their growth counterparts over the quarter.

Style and Capitalization Market Performance (%)

S&P 500 Index Sector Performance (%)

Second Quarter Review

Valuations

-10.75

3.02

-2.58

2.86

-6.73

2.93

3.99

2.14

3.24

0.61

4.31

4.58

3.79

2.54

2.46

2.63

-20 -15 -10 -5 0 5 10 15

R 2000 Growth

R 1000 Growth

R 2000 Value

R 1000 Value

R 2000

R 1000

S&P 500

R 3000 QTD

1 Yr

31.47

25.14

-2.04

4.79

7.04

-2.02

-4.17

-3.92

18.66

3.78

6.79

7.06

3.71

-2.84

1.40

6.27

2.12

11.62

4.63

-0.91

-25 -15 -5 5 15 25 35

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.

Page 4

Non-US Equity Review As of June 30, 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 EquityMSCI EAFE Gro

12M P/ESince 1995

Developed Intl Value Equity

MSCI EAFE Val12M P/E

Since 1995


Valuations

Developed MarketsDeveloped international markets continue to struggle, detracting value for the quarter and underperforming domestic equities. The uncertainty created by the UK’s EU referendum is expected to result in a near-term slow-down in the EU, particularly in the UK. The European Economic Union (“EMU”) was the worst performing developed region.

Emerging MarketsEmerging markets lagged domestic equities during the quarter, but performed better than developed international equity and have provided the highest returns among equity regions in 2016. Value underperformed growth for the quarter, but is still ahead year-to-date. Market Cap & Style The style trend continued as growth outpaced value with the MSCI EAFE Growth Index ending the quarter relatively flat at -0.1%, while the MSCI EAFE Value Index returned -2.8%. Small caps were a weak spot, lagging large cap developed stocks.

-12.05

-8.19

-11.22

-3.67

-4.80

-15.43

-10.16

-10.24

0.66

0.87

-2.69

-2.60

-0.15

-2.79

-1.46

-0.64

-20 -15 -10 -5 0 5 10

Emg Mkts

Pacific

Europe

EAFE SC

EAFE Growth

EAFE Value

EAFE

ACW Ex US QTD

1 Yr

-12.05

-6.26

-8.94

-6.75

-11.09

-12.14

-10.80

0.66

3.40

1.01

0.65

-3.80

-0.73

-3.53

-20 -10 0 10 20

Emg Mkts

Canada

Japan

Pacific ex Japan

Middle East

United Kingdom

Europe Ex UK QTD1 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.

Page 5

Fixed Income Review As of June 30, 2016

US Aggregate Bonds

Barclays US Agg Spreads

Since 2000

US Corporate Bonds

Barclays US Corp Spreads

Since 1989

US CreditBonds

Barclays US Credit Spreads

Since 2000

US Treasury Bonds10-Yr US Treasury

YieldsSince 1953

US High-Yield Bonds

Barclays US Corp:HY Spreads

Since 2000

Fixed Income Performance (%)Broad MarketVirtually all fixed income sectors posted positive performance as interest rates fell and credits improved during the quarter. The Barclays US Agg posted a strong quarter, returning 2.21%.

Credit MarketUtility and industrial bonds outperformed financial bonds as energy and commodity prices continued to rebound. Emerging Market DebtBoth local currency and hard currency emerging markets debt posted strong returns for a second consecutive quarter. Emerging market debt outperformed both US and developed markets, as evidenced by the JPM Emg Mkts Bond Global Index returning 5.40% during the quarter.


Valuations

1.99

10.32

11.26

8.87

0.93

1.62

2.72

4.34

3.71

7.94

6.10

4.35

6.22

6.00

2.71

5.40

3.41

2.89

2.86

5.52

1.17

1.11

1.22

3.57

2.22

1.71

2.10

2.21

-10 0 10

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

JPM Emg Mkts Bond Global

Citi Wrld Gov't Bond

Barclays Global Agg Bond

CS Leveraged Loan

Barclays US Corp: Hi Yld

Barclays US ABS

Barclays US MBS

Barclays US Agcy

Barclays US Corp: Credit

Barclays US CMBS Inv Grade

Barclays US Trsy: US TIPS

Barclays US Trsy

Barclays 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.

Page 6

Alternatives Review As of June 30, 2016

General Market - Diversified Inflation Strategies (DIS)DIS provided strong performance with relatively narrow divergence for the second consecutive quarter. Most strategies significantly outperformed major world equity and fixed income indices, in addition to TIPS. Commodities, especially energy, provided strong performance over the quarter in a welcome reprieve from the longer-term trend of negative performance. General Market - Real EstateDue to the prolonged low-interest rate environment occurring globally and the economic uncertainty brought upon by the recent Brexit vote, the real estate sector proved to be an attractive option during the second quarter as investors sought the perceived safe-haven of property as well as the continued strong dividends yields relative to global treasury rates. The private real estate sector experienced themes similar to listed real estate as evidenced by a preliminary 2.1% return in the NCREIF-ODCE Index during Q2.

General Market - Hedge FundsAfter a poor first quarter, the hedge fund industry performed better during the second quarter of 2016, though Fund of Hedge Fund (“FoHF”) portfolios are still down between 2.5% to 3.0% year-to-date based on available peer group based benchmarks. Most of the FoHF managers RVK follows closely have performed roughly in line with peers YTD, with any dispersion explained to a large degree by strategy allocation. On the direct side, multi-strategy managers as a group continued to outperform their FoHF counterparts.

General Market - Global Tactical Asset Allocation (GTAA)GTAA funds provided a dispersion in results for the second quarter, with many significantly outperforming an undiversified static portfolio of 60% US large cap equity and 40% US fixed income. Those that outperformed by the widest margins tended to follow fundamental value-oriented processes that have led to higher allocations to emerging market fixed income, high yield fixed income, and REITs.

Second Quarter Review - Absolute Return

HFN Hedge Fund Performance (%)

Second Quarter Review - Real Assets

Real Asset Performance (%)

-2.58

-3.64

-5.05

-0.57

1.42

-2.95

4.94

1.30

-3.30

-0.48

-6.48

1.57

-1.55

1.53

1.46

0.88

5.14

1.31

0.07

0.47

2.17

0.36

-10 -5 0 5 10

FI ArbitrageMerger/Risk Arb

Event DrivenRelative Value

MacroDistressedShort Bias

Mkt Neutral EqLong/Short EqConv ArbitrageFOF Multi-Strat QTD

1 Yr

4.35

-13.11

-8.86

-13.34

22.82

10.64

11.82

1.71

19.70

7.01

12.76

5.60

2.03

2.13

-40 -20 0 20 40

Barclays 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

Page 7

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

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 14.33

16.56 55.81 31.45 26.19 32.18 16.23 5.24 58.21 26.86 15.99 18.23 32.39 19.31 9.59 13.23

14.81 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 11.09

10.25 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 9.06

5.54 36.18 18.33 13.82 18.37 11.17 -10.01 28.60 16.83 7.84 16.34 13.94 5.97 0.55 6.41

3.58 28.97 13.06 13.54 16.32 9.91 -20.47 27.18 16.36 4.98 16.00 9.10 4.89 0.05 6.24

3.12 28.68 11.13 6.75 15.79 6.97 -26.16 26.46 15.12 2.11 15.81 7.44 3.64 -0.81 5.31

1.78 23.93 10.88 5.33 11.85 6.60 -33.79 18.91 15.06 0.10 10.94 1.86 3.03 -1.24 4.36

-1.41 11.93 9.15 4.91 9.85 5.49 -35.65 11.41 10.16 -4.18 8.82 0.07 2.45 -1.44 3.84

-6.17 9.28 8.56 4.55 4.85 5.00 -37.00 9.72 7.75 -5.55 6.98 -2.02 0.04 -3.30 2.22

-7.83 8.39 8.46 3.07 4.33 1.87 -39.20 5.93 6.54 -12.14 4.80 -2.60 -2.19 -4.41 0.15

-15.94 5.87 6.79 2.84 2.71 1.45 -43.38 1.92 6.31 -13.32 4.21 -8.61 -4.90 -4.47 -2.83

-20.48 4.10 4.34 2.74 2.07 -1.57 -47.01 0.21 4.77 -15.94 0.11 -8.83 -4.95 -14.92 -3.18

Worst-22.10 1.15 1.33 2.43 0.41 -17.55 -53.33 -29.76 0.13 -18.42 -1.06 -9.52 -17.01 -24.66 -4.42

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

BarclaysUS Agg

Bond - FI

BarclaysUS Corp:

Hi Yield - FI

BarclaysUS Trsy:US TIPS -

FI

BarclaysUS

Gov/Credit:Lng - FI

NCREIFODCE

(Gross) -Real Estate

WilshireUS REIT -

REITs

HFN FOFMulti-Strat(Net) - ARS

BloombrgCmdty (TR)- Commod.

BofA ML 3Mo T-Bill -

Cash Equiv

Annual Asset Class Performance As of June 30, 2016

Page 8

0

5

10

15

20

25

<$500mm $500mm-$1B

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

12

10

4

21

5 5

20

8

12

23

0

5

10

15

20

25

30

35

40

Midwest Northeast South West

0 0 0

20

14

7

13

39

0

10

20

30

40

50

60

PERS Police/Fire Teachers/School Other

20

0 0 0

51

57

10

0

5

10

15

20

25

30

35

40

Local Gov Special District State Gov

20

0 0

39

4

30

Universe: 73 funds SACRS: 20 funds

Asset Size Geographical Distribution

Fund Classification Fund Type

Universe Characteristics

As of June 30, 2016

Page 9

External Average: 88.47 SACRS Average: 99.99

0

20

40

60

80

100

41

01

51

71

81

92

93

63

73

84

25

25

55

76

06

16

26

46

56

97

17

27

37

57

98

08

38

58

69

09

19

49

59

69

91

01

10

31

05

11

61

18

11

91

20

12

91

63

16

81

98

20

22

09

24

03

48

34

93

50

35

14

92

75 1 5

20

28

23

11

91

15

74

41

80

17

23

22

62

74

13

0 82

96

31

2

Active Average: 75.84 SACRS Average: 75.69

0

20

40

60

80

100

11

82

96

19

14

94

13

48

79

29

65

11

66

2 81

03

35

01

19

95

72

17

16

37

53

13

01

98

15

71

80

94

15

57

64

44

28

29

01

05

73

20

27

11

02

63

63

12

96

19 4

61

34

92

09

69

24

01

01

85

80

42

27

52

0 59

9 13

23

88

61

72

16

89

13

71

20

27

60

35

15

21

29

55

83

18

SACRS

Active Management (%)

External Management (%)

Portfolio Management

Percentage Externally Managed & Percentage Actively Managed

As of June 30, 2016

Page 10

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

Asset Range

Over $20B 75.54 24.46 75.18 24.82

$10B-$20B 73.18 26.82 81.24 18.76

$5B-$10B 72.44 27.56 97.26 2.74

$1B-$5B 76.78 23.22 98.91 1.09

$500mm-$1B 74.62 25.38 99.71 0.29

Under $500mm 86.49 13.51 99.96 0.04

SACRS 75.69 24.31 99.99 0.01

Public FundUniverse

SACRS SACRSPublic FundUniverse

Portfolio(%)

Active Management External Management

90 to 100 10 2 55 20

50 to 89 59 16 11 0

10 to 49 3 2 6 0

Less than 10 1 0 1 0

20 7373 20Total Funds Reporting

Portfolio Management Statistics

As of June 30, 2016

Page 11

US Eq 26.63%

Int'l Eq 14.87%

EM 3.39%Global Eq 3.19%

Other 3.07%Cash 1.49%

RE 8.76%

Alts 12.90%

Global FI 1.94%Int'l FI 1.81%

US FI 21.93%

US Eq 26.27%

Int'l Eq 14.53%

EM 2.93%Global Eq 3.79%

Other 3.41%Cash 1.82%

RE 8.43%

Alts 14.21%

Global FI 1.77%Int'l FI 1.10%

US FI 21.72%

0.00

0.50

-0.50

-1.00

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

0.36 0.340.46

-0.60

0.21

0.71

0.17

0.33

-0.33 -0.34

SACRS All Funds

Variance (%)

Asset Allocation

SACRS vs. Average of All Funds

As of June 30, 2016

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

Page 12

Michelle Nguyen

Typewritten Text

Michelle Nguyen

Text Box

-1.31

Lg Value 5.51%

Lg Core 34.23%

Lg Growth 5.26%S/M Value 3.93%

Global Eq 6.26%

EM 7.80%

Int'l Eq 31.26%

S/M Growth 3.85%

S/M Core 1.88%

Lg Value 6.18%

Lg Core 31.75%

Lg Growth 5.29%S/M Value 3.35%

Global Eq 9.21%

EM 6.63%

Int'l Eq 31.01%

S/M Growth 3.10%S/M Core 3.47%

0.00

1.00

2.00

3.00

-1.00

-2.00

-3.00

-4.00

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

-0.67

2.49

-0.03

0.58

-1.59

0.750.25

1.17

-2.94

SACRS All Funds

Variance (%)

Equity Style Allocation


As of June 30, 2016


Page 13

HF 23.11%

Distressed 3.30%

Buyout 15.64%

Venture 5.12%

Other Alts 26.64%

Nat Res 8.43%

Other PE 17.75%

HF 27.85%

Distressed 3.95%

Other Alts 15.61%

Nat Res 6.31%

Other PE 15.53%

Venture 7.17%Buyout 23.57%

0.00

3.00

6.00

9.00

-3.00

-6.00

-9.00

HF Distressed Buyout Venture Other PE Nat Res Other Alts

-4.74

-0.65

-7.93

-2.05

2.22 2.12

11.03

SACRS All Funds

Variance (%)

Alternatives Style Allocation


As of June 30, 2016


Page 14

US Equity International Equity Emerging Markets Global Equity

0.00

4.70

9.40

14.10

18.80

23.50

28.20

32.90

37.60

42.30

47.00

51.70

56.40

61.10

65.80

70.50

19

82

75

31

21

68

35

11

84

44

91

78

55

79

63

03

50

17

26

42

61

05

55

32

20

28

35

22

71

51

20 5

20

37

38

42

69 1

20

99

59

41

03

73

11

98

61

18

62

75

60

12

92

40 8

41 4

15

73

49

99

36

19

17

92

82

80

18

01

07

12

92

96

65

19

16

37

21

01

11

66

19

03

48

31

91

20 of 20 SACRS funds invest in Equity (%)

Universe Median: 50.04 SACRS Median: 48.56

73 of 73 funds invest in Equity (%)

Equity Style Allocation

As of June 30, 2016

Page 15

US Fixed Income Int'l Fixed Income Global Fixed Income

0.00

3.40

6.80

10.20

13.60

17.00

20.40

23.80

27.20

30.60

34.00

37.40

40.80

44.20

47.60

51.00

34

88

03

63

50

20

29

91

01

24

01

68

16

33

12

34

95

55

78

38

57

29

46

51

19

18

28

24

93

73

89

61

18

12

09

07

96

11

52

72

09

86

69

41

35

12

66

2 52

01

80

42

12

99

51

05

10

10

33

12

96

29

75

52

64

73

11

61

72 8

19

13

24

41

7 49

11

98

71

19

30

60 1

27

51

57

20 of 20 SACRS funds invest in Fixed Income (%)


73 of 73 funds invest in Fixed Income (%)

Fixed Income Style Allocation

As of June 30, 2016

Page 16


0.00

2.10

4.20

6.30

8.40

10.50

12.60

14.70

16.80

29

96

32

72

19

11

16

86

16

36

91

18

30

38

31

42

61

35

14

92

96

15

71

03

18

06

44

13

7 47

92

09

28

21

29

17

2 52

07

53

50

71

95

55

99

15

26

65

52

10

53

61

06

28

09

01

72

77

32

40

10

19

11

20

94 8

44

20

28

51

91

19

27

5 13

48

18

83

57

60

16

8

20 of 20 SACRS funds invest in Real Estate (%) 70 of 73 funds invest in Real Estate (%)

Real Estate Allocation

As of June 30, 2016

Page 17

Hedge Funds Distressed Debt Buyout Venture Capital

Other Private Equity Natural Res Other Alternative

0.00

3.50

7.00

10.50

14.00

17.50

21.00

24.50

28.00

31.50

35.00

38.50

42.00

45.50

49.00

52.50

91

19

60

15

77

1

31 1

11

6 41

01

90 8

79

62

28

22

91

01

80

12

9

75

11

99

57

21

03

16

39

94

12

96

17

61

17

23

04

2

36

20

99

46

97

3

27

12

0 52

08

3

65

15

80

26

24

0

37

27

53

21

05

86

11

81

91

52

34

9

20

25

74

46

45

5

38

18

85

16

83

12

19 of 20 SACRS funds invest in Alternatives (%)


67 of 73 funds invest in Alternatives (%)

Alternatives Style Allocation

As of June 30, 2016

Page 18


60% R 3000/40% Barclays US Agg Bond Index: 3.92

0.00

0.50

1.00

1.50

2.00

2.50

3.00

3.50

4.00

-0.50

-1.00

-1.50

-2.00

-2.50

-3.00

-3.50

34

8 52

03

61

86

91

91

62

24

03

21

80

27

99

10

36

11

57

28

23

12

10

72

31

11

85

22

02

16

34

28

67

31

72

10

53

09

61

29

29

38

55

29

67

91

91

51

20

37

26

64

16

82

09

34

99

5 4 18

01

19

11

64

13

51

91

90

71

65

10

17

58

5 83

50

44

27

59

46

05

78

31

74

91

98

73 of 73 funds provided Total Fund returns for this time period (%)

20 of 20 SACRS funds provided Total Fund returns


1 Year Annualized Total Fund Returns

As of June 30, 2016

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

Page 19



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

29

66

9 52

01

18

10

33

21

57

18

64

30

44

42

29

31

25

26

23

82

73

61

91

12

01

72

20

28

57

31

05

19

37

18

05

71

68

96

26

17

86 8

95 4

35

02

82

27

52

09

15

12

93

51

10

14

17

54

97

95

53

11

19

10

80 1

65

11

67

22

40

99

61

16

39

46

07

11

98

83

34

89

03

49

91





As of June 30, 2016


Page 20



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

62

40

11

83

68

5 52

03

12

69

44

18

37

16

83

85

21

72

30

42

20

22

92

82

86

80

95

49

55 8

26

57

27

17

12

01

91

18

03

26

24

16

41

97

99

61

98

10

51

03

35

0 47

12

75

65

20

91

29

73 1

34

81

57

51

07

23

19

91

01

60

16

31

19

11

63

51

83

90

94

34

99

16

1





As of June 30, 2016


Page 21

Universe Median: 0.84 SACRS Median: 0.99 Russell 3000 Index: 2.14

0.00

0.60

1.20

1.80

2.40

3.00

3.60

4.20

4.80

-0.60

-1.20

-1.80

-2.40

-3.00

-3.60

-4.20

34

91

51

19

18

31

99

31

21

97

91

01

52

71

38

26

24

01

80 5

20

55

95

86

32

27 1

12

09

01

91

17

22

02

75

96

15

78

37

33

72

82

10

64

16

83

51

30

34

86

21

29 4

41

10

53

69

44

26

91

03

35

02

91

18

11

6 82

75

19

82

09

44

80

17

57

85

60

16

37

26

54

9

70 of 73 funds provided US Equity returns for this time period (%)

19 of 20 SACRS funds provided US Equity returns


1 Year Annualized US Equity Returns

As of June 30, 2016


Page 22


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

11.05

11.90

12.75

64

18

90

19

11

19

31

20

21

18

52

15

95

26

94

31

2 41

72

38

62

15

72

82

36

32

86

18

02

40 5

20

37

83

55

44

12

07

92

71

03

41

29

57

96

34

97

13

50

10

42

75

73

19

8 19

9 83

08

58

01

76

97

22

09

34

81

05

49

16

36

52

75

35

16

01

16

16

81

29

19

10

1





As of June 30, 2016


Page 23


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

-0.55

64 8

20

2

11

81

8

26

15

55

19

1

42

94

95

28

26

2

31

2

17

27

9

11

9

37

90

15

7

86

44

32

96

12

0

31

49

85

18

0

83 1

38

52

27

72 5

20

41

80

29

35

0

10

71

27

5

17

35

1

34

8

16

33

0

10

3

75

99

34

9

65

60

19

36

73

69

10

5 4

16

8

11

61

01





As of June 30, 2016


Page 24

Universe Median: -8.68 SACRS Median: -8.72 MSCI ACW Ex US Index (USD) (Gross): -9.80

0.00

0.85

-0.85

-1.70

-2.55

-3.40

-4.25

-5.10

-5.95

-6.80

-7.65

-8.50

-9.35

-10.20

-11.05

-11.90

-12.75

72

16

32

02

11

86

23

49

73

19

11

16

69

30

10

15

29

01

80

20

96

02

40

12

01

72

95

80

75

99 1

85

31

28

22

61

74

26

51

68

19

96

55

86

10

51

03 5

20

27

53

21

19

27

29

37

94

71

15

71

81

29

36

38

57 8 4

35

16

43

12

15

34

81

04

47

94

13

50

19

84

9

69 of 73 funds provided International Equity returns for this time period (%)

19 of 20 SACRS funds provided International Equity returns


1 Year Annualized International Equity Returns

As of June 30, 2016


Page 25

Universe Median: 1.65 SACRS Median: 1.54 MSCI ACW Ex US Index (USD) (Gross): 0.56

0.00

0.40

0.80

1.20

1.60

2.00

2.40

2.80

3.20

3.60

4.00

4.40

4.80

-0.40

-0.80

-1.20

69

10

53

13

03

48

27

59

01

18

62

19

11

01

95

86

85

16

37

22

09

19

80

11

91

72

20

26

59

61

81

16

12

01

71

68

38

35

17

91

80

26

73

19

84

41

57

10

52

71

60

64

37

42

57

28

23

49

29

35

0 4

24

01

03

75

15

27

36 1

32

41 5

20

31

24

95

59

99

4 8





As of June 30, 2016


Page 26

Universe Median: 2.64 SACRS Median: 2.87 MSCI ACW Ex US Index (USD) (Gross): 2.33

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

4.90

95

31

79

34

8

19

1

69

80

11

6

35

1

10

1

17

2

30

16

8

10

5

17

49

86

27

5

11

9

62

90

12

0

85

35

0

26

55

75

44

15

20

2

18

0

10

38

71

29

32

96

52

28

2

64

16

3

72

36

37

42

27 1

41

73

31

2

11

8

99

15

7

18

60

10

3 4

65 5

20 8

34

9

94





As of June 30, 2016


Page 27

Universe Median: -3.20 SACRS Median: -4.40 MSCI ACW Index (USD) (Gross): -3.17

0.00

0.90

1.80

2.70

3.60

4.50

-0.90

-1.80

-2.70

-3.60

-4.50

-5.40

-6.30

-7.20

-8.10

-9.00

4

62

94

17

2

11

8

90

10

5

37

12

9

19

16

8

41

72

95

16

3

10

26

28

2

64

52 8

57

61

27

31

2

19

8

71

27 of 73 funds provided Global Equity returns for this time period (%)

8 of 20 SACRS funds provided Global Equity returns


1 Year Annualized Global Equity Returns

As of June 30, 2016

Funds with less history than the specified time period will not appear in the chart. Data shown on this page is not considered to be robust by RVK standards, due to the member total being under35 funds.

Page 28

Universe Median: 6.88 SACRS Median: 5.74 MSCI ACW Index (USD) (Gross): 5.95

0.00

0.70

1.40

2.10

2.80

3.50

4.20

4.90

5.60

6.30

7.00

7.70

8.40

9.10

9.80

10.50

28

2

62

57 4

16

8

27

95

19

8

10

17

2

12

9

37

19

11

8

26

10

5

52

64

71

61





As of June 30, 2016


Page 29

Universe Median: 4.87 SACRS Median: 4.30 MSCI ACW Index (USD) (Gross): 4.82

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

6.309

5

10

64

37

17

2

61

27





As of June 30, 2016


Page 30

Universe Median: 5.07 SACRS Median: 4.92 Barclays US Agg Bond Index: 6.00

0.00

0.90

1.80

2.70

3.60

4.50

5.40

6.30

7.20

8.10

9.00

9.90

10.80

11.70

-0.90

-1.80

-2.70

10

28

2

31

44

19

1

69

42

18

34

8

16

3

72

15

7

20 5

10

3

24

0

32

26

30

27

19

8

31

2

36

11

8

55

85

52

75

12

0

20

9

57 4

94

35

1 8

17

99

11

6

62

35

0

86

10

5

38

18

0

15

37

17

2

49

20

2

16

8

61

95

65

73

96

79

64

41

34

9

71

27

5

10

1

62 of 73 funds provided US Fixed Income returns for this time period (%)

17 of 20 SACRS funds provided US Fixed Income returns


1 Year Annualized US Fixed Income Returns

As of June 30, 2016


Page 31


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

31 8

17

11

8

61

42

28

2

10

10

1

73

44

96

19

8

10

3

52

18

0

20 5

86

36

69

10

5

85

15

94

57

72

16

3

20

2

11

6

64

32

55

15

7

19

1

12

0

38

35

1

26

75

16

8

99

65

20

9

30 4

34

8

95

18

35

0

24

0

34

9

49

17

2

27

37

31

2

41

71

62

79

27

5





As of June 30, 2016


Page 32


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

10

1

31 8

17

61

10

5

42

52

55

65

38

11

8

34

9

20

2

75

10

64

16

8

44

86 4

99

12

0

34

8

20 5

15

7

85

19

1

36

96

72

30

16

3

37

73

26

79

32

49

35

0

69

18

0

24

0

10

3

27

18

71

17

2

95

31

2

11

6

35

1

41

15

27

5

62





As of June 30, 2016


Page 33

Universe Median: 3.95 SACRS Median: 4.00 Barclays Gbl Agg Bond Index: 8.87

0.00

0.85

1.70

2.55

3.40

4.25

5.10

5.95

6.80

7.65

8.50

9.35

-0.85

-1.70

-2.55

-3.40

-4.25

11

8

60

17

16

3

72 1

31

11

9

27

80

95

83

19

29

10

90

52

11

6

94

20

9

73

21 of 73 funds provided Global Fixed Income returns for this time period (%)

7 of 20 SACRS funds provided Global Fixed Income returns


1 Year Annualized Global Fixed Income Returns

As of June 30, 2016


Page 34


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

11

6

29

60

90 1

10

17

95

11

9

19

83

73

11

8





As of June 30, 2016


Page 35


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

19 1

11

9

95

83

11

8





As of June 30, 2016


Page 36

Universe Median: 12.63 SACRS Median: 12.83 NCREIF ODCE Index (AWA) (Gross): 11.82

0.00

1.95

3.90

5.85

7.80

9.75

11.70

13.65

15.60

17.55

19.50

-1.95

-3.90

-5.85

-7.80

-9.75

24

01

01

36

91

96

57

10

51

29

18

02

72

09

38

27

57

22

91

63

11

94

29

96

91

73

01

91

49

65

37

86

28

21

72

41

44

60

94

71

32

12

02

02

10

31

57

61

90

20 5

85

55

10

83

73

52 1

75

15

95

62

26

11

66

4 83

48

80

35

03

51

31

18

19

79 4

11

81

68

69 of 73 funds provided Real Estate returns for this time period (%)

20 of 20 SACRS funds provided Real Estate returns


1 Year Annualized Real Estate Returns

As of June 30, 2016


Page 37


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

61

71

69

18

07

2

16

3

91

19

27

51

05

20

2

27

17

2

38

17

29

19

19

6

30

10

31

19

28

21

18

32

20

92

6

75

64

79

42

36

55

15

77

3

62

10

60

52

10

1 88

5

94

11

69

9

20 5 4

65

31

44

12

03

7

49

80

41

86

90

18

95

83

15

35

0

35

1 13

48





As of June 30, 2016


Page 38


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

30

18

0

44

71

19

1

96

69

75

36

90

17

2

29

65

38

18 1

15

19

27

26

10

17

80

73

91

37

11

8

49

28

2

85

27

5

15

7

10

5

60 4

42

94

34

8

41

86

72

16

3

32

99

62

52

79

11

6

10

1 8

64 5

20

83

31

12

0





As of June 30, 2016


Page 39

Universe Median Risk: 7.48 Median Return: 6.70 Median Sharpe Ratio: 0.89

SACRS Median Risk: 8.21 Median Return: 6.31 Median Sharpe Ratio: 0.82

2.75

3.30

3.85

4.40

4.95

5.50

6.05

6.60

7.15

7.70

8.25

8.80

9.35

9.90

An

nu

aliz

ed

Re

turn

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 10.50

Standard Deviation (Risk)

20 of 20 SACRS funds provided Total Fund returns for this time period (%)


Risk(%) SharpeID

Return(%)

1.028.7469 8.58

1.088.07118 7.43

0.917.7364 8.53

0.877.3952 8.61

0.847.0673 8.52

0.786.8557 8.93

0.746.8017 9.43

0.986.7086 6.83

0.806.4215 8.20

1.116.40129 5.70

1.166.22101 5.31

0.776.1975 8.22

0.676.1849 9.55

0.746.0955 8.42

0.825.97119 7.34

0.735.8180 8.19

0.785.4699 7.08

0.905.4561 6.05

0.675.4294 8.32

0.825.3371 6.52

Risk/Return Analysis

5 Year Annualized Total Fund Returns vs. Standard Deviation

As of June 30, 2016


Page 40



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

An

nu

aliz

ed

Re

turn

5.60 6.30 7.00 7.70 8.40 9.10 9.80 10.50 11.20 11.90 12.60 13.30 14.00


20 of 20 SACRS funds provided Total Fund returns for this time period (%)


Risk(%) SharpeID

Return(%)

0.556.56118 10.84

0.516.3369 11.31

0.466.1752 12.41

0.545.9986 9.78

0.505.9980 10.82

0.475.9749 11.76

0.475.9655 11.42

0.455.9557 12.33

0.435.9417 12.93

0.445.8264 12.28

0.555.5671 8.72

0.435.29129 11.22

0.415.2473 11.64

0.415.2015 11.59

0.415.1875 11.34

0.384.9299 11.59

0.464.87101 9.11

0.374.71119 11.51

0.354.4694 11.30

0.323.9961 10.94


10 Year Annualized Total Fund Returns vs. Standard Deviation

As of June 30, 2016


Page 41



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

An

nu

aliz

ed

Re

turn

7.00 8.00 9.00 10.00 11.00 12.00 13.00 14.00 15.00 16.00 17.00 18.00 19.00 20.00


19 of 20 SACRS funds provided US Equity returns for this time period (%)


Risk(%) SharpeID

Return(%)

0.9012.1964 14.03

0.8911.87119 13.80

0.8511.72118 14.33

0.9211.7152 13.07

0.8511.6615 14.24

0.8811.6494 13.74

0.8911.4586 13.21

0.8811.3155 13.22

0.8411.1457 13.86

0.8611.0071 13.20

0.8410.8975 13.52

0.8210.8973 13.86

0.8710.8699 12.96

0.7910.6480 14.17

0.7910.6117 14.01

0.7810.5269 14.09

0.7710.1949 13.99

0.808.85129 11.51

0.231.67101 8.28


5 Year Annualized US Equity Returns vs. Standard Deviation

As of June 30, 2016


Page 42



0.00

0.85

1.70

2.55

3.40

4.25

5.10

5.95

6.80

7.65

8.50

9.35

-0.85

-1.70

An

nu

aliz

ed

Re

turn

11.90 12.60 13.30 14.00 14.70 15.40 16.10 16.80 17.50 18.20 18.90 19.60 20.30 21.00


17 of 20 SACRS funds provided US Equity returns for this time period (%)


Risk(%) SharpeID

Return(%)

0.467.9764 18.31

0.467.76118 17.30

0.457.6915 18.11

0.467.6655 16.98

0.457.5694 17.13

0.447.48119 17.56

0.457.3486 16.90

0.437.2349 17.59

0.437.1652 17.22

0.437.0980 17.16

0.436.9671 16.76

0.416.9417 17.63

0.416.7675 16.93

0.416.7599 16.86

0.386.3773 17.61

0.376.3469 18.16

-0.03-0.26101 13.28


10 Year Annualized US Equity Returns vs. Standard Deviation

As of June 30, 2016


Page 43



0.00

0.55

1.10

1.65

2.20

2.75

3.30

3.85

4.40

4.95

5.50

-0.55

-1.10

-1.65

An

nu

aliz

ed

Re

turn

10.50 11.25 12.00 12.75 13.50 14.25 15.00 15.75 16.50 17.25 18.00 18.75 19.50 20.25


18 of 20 SACRS funds provided International Equity returns for this time period (%)


Risk(%) SharpeID

Return(%)

0.374.4469 14.65

0.293.06118 13.73

0.242.71101 19.20

0.252.5586 13.89

0.232.3280 14.31

0.222.18119 15.22

0.201.9317 14.58

0.191.6573 13.58

0.181.5452 13.66

0.171.5371 15.16

0.171.4664 15.37

0.161.3757 14.93

0.151.1175 14.78

0.141.0415 14.98

0.100.3149 15.71

0.090.2555 15.60

0.080.1599 13.97

0.080.1194 14.95


5 Year Annualized International Equity Returns vs. Standard Deviation

As of June 30, 2016


Page 44



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

An

nu

aliz

ed

Re

turn

14.00 14.70 15.40 16.10 16.80 17.50 18.20 18.90 19.60 20.30 21.00 21.70 22.40 23.10


17 of 20 SACRS funds provided International Equity returns for this time period (%)


Risk(%) SharpeID

Return(%)

0.254.0469 18.74

0.253.9480 18.95

0.243.77101 21.76

0.213.2817 19.17

0.203.1349 20.65

0.203.1286 20.07

0.203.04119 20.47

0.202.9255 21.30

0.192.8775 19.95

0.192.8215 19.75

0.182.5771 20.27

0.172.4452 18.40

0.172.3464 19.22

0.152.0173 18.58

0.141.82118 18.77

0.141.7699 20.10

0.090.4894 21.72


10 Year Annualized International Equity Returns vs. Standard Deviation

As of June 30, 2016


Page 45



4.40

4.95

5.50

6.05

6.60

7.15

7.70

8.25

8.80

9.35

9.90

10.45

11.00

An

nu

aliz

ed

Re

turn

10.80 11.25 11.70 12.15 12.60 13.05 13.50 13.95 14.40 14.85 15.30 15.75 16.20


7 of 20 SACRS funds provided Global Equity returns for this time period (%)


Risk(%) SharpeID

Return(%)

0.648.2957 13.91

0.606.80129 12.18

0.586.18118 11.46

0.555.7452 11.32

0.535.5464 11.25

0.475.5171 13.05

0.425.0261 13.83


5 Year Annualized Global Equity Returns vs. Standard Deviation

As of June 30, 2016


Page 46



2.80

3.15

3.50

3.85

4.20

4.55

4.90

5.25

5.60

5.95

6.30

6.65

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


2 of 20 SACRS funds provided Global Equity returns for this time period (%)


Risk(%) SharpeID

Return(%)

0.325.0164 15.96

0.233.5961 18.18


10 Year Annualized Global Equity Returns vs. Standard Deviation

As of June 30, 2016


Page 47



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

7.65

An

nu

aliz

ed

Re

turn

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


17 of 20 SACRS funds provided US Fixed Income returns for this time period (%)


Risk(%) SharpeID

Return(%)

1.605.8017 3.55

2.205.63118 2.49

3.135.6261 1.74

0.935.07101 5.43

1.504.9073 3.19

1.764.6652 2.58

1.614.5686 2.76

1.334.5069 3.33

1.604.4415 2.70

1.424.4494 3.06

1.794.4357 2.42

1.694.3564 2.50

1.294.3455 3.29

1.234.2475 3.38

1.274.2299 3.25

1.313.8549 2.87

0.672.6771 3.97


5 Year Annualized US Fixed Income Returns vs. Standard Deviation

As of June 30, 2016


Page 48



3.60

4.05

4.50

4.95

5.40

5.85

6.30

6.75

7.20

7.65

8.10

8.55

9.00

An

nu

aliz

ed

Re

turn

2.25 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


15 of 20 SACRS funds provided US Fixed Income returns for this time period (%)


Risk(%) SharpeID

Return(%)

1.368.55101 5.28

0.996.8417 5.67

1.396.6461 3.78

0.876.5452 6.23

1.526.4455 3.43

1.216.35118 4.20

1.286.2775 3.96

0.716.1464 7.27

1.236.0786 3.93

0.696.0299 7.30

0.975.7073 4.61

1.245.5949 3.55

1.155.5769 3.81

0.955.2671 4.46

0.884.4015 3.68


10 Year Annualized US Fixed Income Returns vs. Standard Deviation

As of June 30, 2016


Page 49



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

An

nu

aliz

ed

Re

turn

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


4 of 20 SACRS funds provided Global Fixed Income returns for this time period (%)


Risk(%) SharpeID

Return(%)

0.694.3217 6.34

1.053.88119 3.66

0.372.7873 8.04

0.371.67118 4.57


5 Year Annualized Global Fixed Income Returns vs. Standard Deviation

As of June 30, 2016


Page 50



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

An

nu

aliz

ed

Re

turn

2.75 3.30 3.85 4.40 4.95 5.50 6.05 6.60 7.15 7.70 8.25 8.80 9.35


3 of 20 SACRS funds provided Global Fixed Income returns for this time period (%)


Risk(%) SharpeID

Return(%)

0.646.3217 8.51

0.685.36119 6.30

0.493.95118 6.19


10 Year Annualized Global Fixed Income Returns vs. Standard Deviation

As of June 30, 2016


Page 51



7.50

8.25

9.00

9.75

10.50

11.25

12.00

12.75

13.50

14.25

15.00

15.75

16.50

An

nu

aliz

ed

Re

turn

0.00 1.25 2.50 3.75 5.00 6.25 7.50 8.75 10.00 11.25 12.50 13.75 15.00-1.25


18 of 20 SACRS funds provided Real Estate returns for this time period (%)


Risk(%) SharpeID

Return(%)

4.5515.6961 3.24

3.4515.2471 4.16

4.8715.2269 2.95

6.4313.7417 2.01

1.2212.99119 10.57

1.8212.94118 6.84

3.2612.5675 3.67

9.9412.5364 1.17

7.0912.2655 1.63

5.9512.2173 1.94

10.3211.8252 1.06

5.1211.77101 2.21

6.2611.6294 1.76

4.5911.4199 2.38

2.1210.8549 4.94

4.8010.8480 2.15

3.6710.6286 2.77

3.769.9315 2.53


5 Year Annualized Real Estate Returns vs. Standard Deviation

As of June 30, 2016


Page 52



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

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


15 of 20 SACRS funds provided Real Estate returns for this time period (%)


Risk(%) SharpeID

Return(%)

1.058.6371 7.29

0.837.5569 8.08

0.737.5375 9.29

0.776.4415 7.21

0.636.1817 8.52

0.636.0580 8.50

0.606.0273 8.89

0.395.96118 15.73

0.425.6249 12.60

0.535.2194 8.54

0.535.1286 8.39

0.414.7399 10.35

0.404.5552 10.19

0.323.96101 11.29

0.263.3864 11.50


10 Year Annualized Real Estate Returns vs. Standard Deviation

As of June 30, 2016


Page 53

100% of Net Assets Available for Benefits

0

10

20

30

40

50

60

70

80

90

100

110

120

96

19

83

16

8

10

5

42

55

85

75

17

2

24

0

94

18

0

64

62

69

36

86

52

73

20

2

80

12

9

16

3

99

60

17

90

41

20

65

72

57

18

12

0

10

79

49

30

32

27

5

71

38 5 4

11

9

26

11

6

31

15

7 1

44

91

37

20

9

16 of 20 SACRS funds provided Net Assets Available data

55 of 73 funds provided Net Assets Available data (%)

Net Assets Available For Benefits

Expressed as a Percentage of the Pension Benefit Obligation

As of June 30, 2016

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

Page 54

0

5

10

15

20

25

6.50 6.75 7.00 7.25 7.50 7.55 7.60 7.65 7.75 8.00 8.40

57 of 73 funds provided Actuarial Rate data

1 13

12

24

1 2 1

6 5

1

0

2

4

68

10

12

14

2.00 2.50 2.80 3.00 3.30 3.50 3.80 4.00 4.20 4.40 4.50 4.80 4.90 5.50 5.70 6.00 6.10 6.50 6.70 7.10 7.20 7.50

55 of 73 funds provided Salary Growth Rate data

21 1

4

2

10

12

5

21

21

21 1 1 1 1 1 1 1

2

SACRS Median

0

5

10

15

3.00 3.50 3.80 4.00 4.20 4.30 4.40 4.50 4.60 4.70 4.80 5.00 5.10 5.40 5.50 5.60 7.30 7.50

56 of 73 funds provided Real Rate of Assumed Investment Return data

1 24

7

1

12

1

14

1 1 24

1 1 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

As of June 30, 2016

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

Page 55

Inv Div Staff 1.32%

Admin 21.75%

Custodian 2.13%

Inv Cons 2.85%

US Eq 10.87%

Inv Other 1.49%Real Es 13.44%

Alt Inv 19.16%

Fixed Inc 9.34%

Global Eq 5.20% Int'l Eq 12.45%

Inv Div Staff 2.85%

Admin 13.39%

Custodian 1.63%Inv Cons 2.18%

US Eq 10.21%

Int'l Eq 9.99%

Global Eq 4.46%

Inv Other 1.70%Real Es 12.80%

Alt Inv 32.77%

Fixed Inc 8.05%

0.00

4.00

8.00

-4.00

-8.00

-12.00

-16.00

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

-1.53

8.36

0.50 0.67 0.662.47

0.74 1.29

-13.60

0.65

-0.21

Variance (%)

SACRS All Funds

Total Administrative and Investment Fees

SACRS vs. All Funds

As of June 30, 2016


Page 56

Administrative Expenses SACRSUnder $500

Million$500mm -$1 Billion

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

BillionOver $20

Billion

Internal Inv. Div. Staff 1.080.80 0.00 2.16 0.74 0.77 1.92

Actuary 2.590.65 0.87 0.59 0.24 0.12 0.12

Legal 1.020.95 0.77 0.84 0.27 0.25 0.15

Consultant 0.260.10 0.11 0.21 0.09 0.09 0.13

Audit 0.700.26 0.39 0.23 0.10 0.06 0.08

Other Professional 0.100.22 0.42 0.25 0.07 0.17 0.54

General Administrative 14.3110.95 7.30 7.84 4.78 4.69 3.20

Total Administrative Expenses 13.92 20.07 12.129.86 6.156.29 6.15

Investment Expenses SACRSUnder $500

Million$500mm -$1 Billion

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

BillionOver $20

Billion

Custodial 1.801.29 3.02 1.31 0.49 0.52 0.31

Investment Consulting 2.631.72 1.95 2.07 0.60 0.74 0.45

US Equity 4.516.56 9.65 8.83 6.31 2.84 2.70

International Equity 1.937.51 5.70 6.37 6.31 5.54 4.09

Global Equity 5.773.13 3.68 1.76 5.73 1.73 1.40

Fixed Income 3.965.63 6.62 5.19 4.17 3.64 3.45

Real Estate 5.758.11 9.58 6.86 8.01 4.60 7.15

Other Investment Management 0.000.90 0.00 1.16 1.03 1.01 0.80

34.85Total Investment Expenses (ex. Alt Inv) 40.20 20.63 20.3626.36 32.6633.55

Alternative Investments 8.1111.56 7.59 16.34 14.34 17.45 22.29

Total Investment Expenses 46.41 34.46 49.8947.78 42.6547.00 38.07

Total Fund Fee Summary in Basis Points

SACRS vs. Average by Asset Range

As of June 30, 2016

57 of 73 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.

60.33Total Expenses 57.64 53.3062.01 48.8044.2254.53

Page 57

SACRS Returns As of June 30, 2016

P - Total Fund Portfolio I - Policy Index LT Bonds - Barclays US Trsy:Long Term Bond Index

0.00%

2.00%

4.00%

6.00%

8.00%

10.00%

12.00%

5 Yr Annualized SACRS Returns

Page 58



0.00%

1.00%

2.00%

3.00%

4.00%

5.00%

6.00%

7.00%

8.00%

9.00%

10.00%


Page 59



0.00%

1.00%

2.00%

3.00%

4.00%

5.00%

6.00%

7.00%

8.00%

9.00%


Page 60

SACRS Growth of a $1.00 As of June 30, 2016

LT Bonds - Barclays US Trsy:Long Term Bond Index

$0.00

$0.50

$1.00

$1.50

$2.00

Jun 2011 Jun 2012 Jun 2013 Jun 2014 Jun 2015 Jun 2016

5 Yr SACRS Growth of a $1.00

LT Bonds

15 P

17 P

49 P

52 P

55 P

57 P

61 P

64 P

69 P

71 P

73 P

75 P

80 P

86 P

94 P

99 P

101 P

118 P

119 P

129 P

Page 61



$0.00

$0.50

$1.00

$1.50

$2.00

$2.50

Jun 2006 Jun 2007 Jun 2008 Jun 2009 Jun 2010 Jun 2011 Jun 2012 Jun 2013 Jun 2014 Jun 2015 Jun 2016


LT Bonds

15 P

17 P

49 P

52 P

55 P

57 P

61 P

64 P

69 P

71 P

73 P

75 P

80 P

86 P

94 P

99 P

101 P

118 P

119 P

129 P

Page 62



$0.00

$1.00

$2.00

$3.00

$4.00

$5.00

$6.00

Jun 1996 Jun 2000 Jun 2004 Jun 2008 Jun 2012 Jun 2016


LT Bonds

15 P

17 P

52 P

55 P

61 P

64 P

69 P

75 P

118 P

119 P

129 P

Page 63

SACRS Median Rolling Returns As of June 30, 2016

0.00%

4.00%

8.00%

12.00%

16.00%

6/06 12/06 6/07 12/07 6/08 12/08 6/09 12/09 6/10 12/10 6/11 12/11 6/12 12/12 6/13 12/13 6/14 12/14 6/15 12/15 6/16

SACRS Median 5 Yr Rolling Returnsvs. Median Assumption Rates

SACRS 5 Yr Rolling PF Universe 5 Yr Rolling SACRS Assumption Rates

Page 64

SACRS Median Rolling Returns As of June 30, 2016

0.00%

4.00%

8.00%

12.00%

6/06 12/06 6/07 12/07 6/08 12/08 6/09 12/09 6/10 12/10 6/11 12/11 6/12 12/12 6/13 12/13 6/14 12/14 6/15 12/15 6/16

SACRS Median 10 Yr Rolling Returnsvs. Median Assumption Rates

SACRS 10 Yr Rolling PF Universe 10 Yr Rolling SACRS Assumption Rates

Page 65

SACRS Median Assumption vs. Treasury Yield Curve As of June 30, 2016

3 Mth 1 Yr 3 Yr 5 Yr 7 Yr 10 Yr 20 Yr 30 Yr0.00%

3.00%

6.00%

9.00%

SACRS Median Assumption Rates vs.Treasury Yield Curve as of June 30, 2016

Treasury Yield Curve SACRS Assumption Rates

Page 66

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.

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 June 2015 and June 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 TermsBeta - 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 specified time period.

Sharpe Ratio - Represents the excess rate of return over the risk-free return (i.e., BofA ML 3 Mo US T-Bill Index), divided by the standard deviation of the excessreturn. The result is the absolute rate of return per unit of risk. The higher the value, the better the product's historical 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 June 30, 2016

Page 67

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.

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