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WILSHIRE ASSOCIATES Wilshire Consulting Kentucky Retirement Systems Pension Executive Summary of Investment Performance December 31, 2017

WILSHIRE ASSOCIATES - KRS Performance... · 2019. 7. 2. · ©2017 Wilshire Associates. 5 Wilshire Consulting U.S. EQUITY MARKET Data sources: Wilshire Compass, Wilshire Atlas AS

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Page 1: WILSHIRE ASSOCIATES - KRS Performance... · 2019. 7. 2. · ©2017 Wilshire Associates. 5 Wilshire Consulting U.S. EQUITY MARKET Data sources: Wilshire Compass, Wilshire Atlas AS

WILSHIRE ASSOCIATESW i l s h i r e C o n s u l t i n g

K e n t u c k y R e t i r e m e n t S y s t e m s P e n s i o nExecutive Summary of Investment Performance

December 31, 2017

Page 2: WILSHIRE ASSOCIATES - KRS Performance... · 2019. 7. 2. · ©2017 Wilshire Associates. 5 Wilshire Consulting U.S. EQUITY MARKET Data sources: Wilshire Compass, Wilshire Atlas AS

MARKET ENVIRONMENT

Page 3: WILSHIRE ASSOCIATES - KRS Performance... · 2019. 7. 2. · ©2017 Wilshire Associates. 5 Wilshire Consulting U.S. EQUITY MARKET Data sources: Wilshire Compass, Wilshire Atlas AS

©2017 Wilshire Associates.

W i l s h i r e C o n s u l t i n g

ASSET CLASS PERFORMANCE

Data sources: Wilshire Compass Note: Developed asset class is developed equity markets ex-U.S., ex-Canada

ANNUALIZED

5-YEAR

2012 2013 2014 2015 2016 2017 AS OF 12/2017

Emrg Mrkts U.S. Equity REITs REITs MLPs Emrg Mrkts U.S. Equity

18.6% 33.1% 31.8% 4.2% 18.3% 37.7% 15.7%

Developed MLPs U.S. Equity U.S. Equity High Yield Developed REITs

17.9% 27.6% 12.7% 0.7% 17.1% 25.6% 9.3%

REITs Developed Core Bond Core Bond U.S. Equity U.S. Equity Developed

17.6% 23.3% 6.0% 0.6% 13.4% 21.0% 8.4%

U.S. Equity High Yield MLPs T-Bills Commodities High Yield High Yield

16.1% 7.4% 4.8% 0.1% 11.8% 7.5% 5.8%

High Yield REITs U.S. TIPS Developed Emrg Mrkts REITs Emrg Mrkts

15.8% 1.9% 3.6% -0.4% 11.6% 4.2% 4.7%

U.S. TIPS T-Bills High Yield U.S. TIPS REITs Core Bond Core Bond

7.0% 0.1% 2.5% -1.4% 7.2% 3.6% 2.1%

MLPs Core Bond T-Bills High Yield U.S. TIPS U.S. TIPS T-Bills

4.8% -2.0% 0.0% -4.5% 4.7% 3.0% 0.3%

Core Bond Emrg Mrkts Emrg Mrkts Emrg Mrkts Core Bond Commodities U.S. TIPS

4.2% -2.3% -1.8% -14.6% 2.6% 1.7% 0.1%

T-Bills U.S. TIPS Developed Commodities Developed T-Bills MLPs

0.1% -8.6% -4.5% -24.7% 1.5% 0.8% -0.1%

Commodities Commodities Commodities MLPs T-Bills MLPs Commodities

-1.0% -9.5% -17.0% -32.6% 0.3% -6.5% -8.5%

ASSET CLASS RETURNS - BEST TO WORST

3

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©2017 Wilshire Associates.

U.S. Equity

The U.S. stock market was up 6.4% for the

fourth quarter of 2017. There was a relative lack

of volatility during the year. The largest

drawdown for the year was -2.75% and there

were only 4 trading days where the market was

down 1% or more. Several factors contributed to

this success including a rebound in global

economic growth and continued strength

domestically.

The third quarter of 2017 was the second

consecutive quarter of real GDP growth in

excess of 3%, annualized. Businesses seem to

be gaining confidence in the global economy and

have been increasing spending on equipment

while growing inventories during the quarter,

contributing more than three-quarters of a

percent to real GDP growth. Strong retail sales

during the fourth quarter have helped raise

expectations for economic growth during the

final quarter of 2017.

W i l s h i r e C o n s u l t i n g

MARKET COMMENTARY

Non-U.S. Equity

Equity markets outside of the U.S. produced

strong returns during the fourth quarter of 2017,

in both developed and emerging markets. Japan

was one of the strongest developed markets

during the quarter due to stimulative policies by

both the Bank of Japan and the national

government. Emerging Markets led all global

equities during 2017 and produced their second

consecutive positive annual gain.

Fixed Income

The U.S. Treasury yield curve continued to

flatten during the quarter with short to

intermediate term rates rising and long-term

yields falling. The bellwether 10-year Treasury

yield ended the quarter at 2.40%. The Federal

Open Market Committee decided to increase its

overnight rate by 25 basis points in December.

Credit spreads continued to tighten during the

quarter.

4

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©2017 Wilshire Associates.

W i l s h i r e C o n s u l t i n g

DECEMBER 2017 ASSET CLASS

ASSUMPTIONS

DEV EMG GLOBAL LT NON-US

US EX-US MRKT EX-US GLOBAL PRIVATE CORE CORE US HIGH BOND US GLOBAL PRIVATE REAL US

STOCK STOCK STOCK STOCK STOCK EQUITY CASH BOND BOND TIPS YIELD (HDG) RES RES RE CMDTY ASSETS CPI

EXPECTED COMPOUND RETURN (%) 6.25 6.25 6.25 6.45 6.45 8.75 1.75 3.55 3.60 2.95 4.95 1.30 5.40 5.60 6.90 3.70 6.60 1.95

EXPECTED ARITHMETIC RETURN (%) 7.55 7.70 9.20 8.05 7.80 12.10 1.75 3.70 4.05 3.10 5.40 1.35 6.75 6.75 7.80 4.75 6.95 1.95

EXPECTED RISK (%) 17.00 18.00 26.00 18.75 17.15 28.00 1.25 5.15 9.85 6.00 10.00 3.50 17.00 15.80 14.00 15.00 8.40 1.75

CASH YIELD (%) 2.00 3.00 2.00 2.75 2.35 0.00 1.75 3.55 4.75 3.05 8.15 1.65 3.95 3.95 2.65 1.75 2.85 0.00

CORRELATIONS

US STOCK 1.00

DEV EX-US STOCK (USD) 0.81 1.00

EMERGING MARKET STOCK 0.74 0.74 1.00

GLOBAL EX-US STOCK 0.83 0.96 0.86 1.00

GLOBAL STOCK 0.94 0.92 0.82 0.94 1.00

PRIVATE EQUITY 0.74 0.64 0.62 0.67 0.74 1.00

CASH EQUIVALENTS -0.05 -0.09 -0.05 -0.08 -0.07 0.00 1.00

CORE BOND 0.28 0.13 0.00 0.09 0.20 0.31 0.19 1.00

LT CORE BOND 0.31 0.16 0.01 0.12 0.23 0.32 0.11 0.93 1.00

US TIPS -0.05 0.00 0.15 0.05 0.00 -0.03 0.20 0.60 0.47 1.00

HIGH YIELD BOND 0.54 0.39 0.49 0.45 0.51 0.34 -0.10 0.25 0.32 0.05 1.00

NON-US BOND (HDG) 0.16 0.25 -0.01 0.18 0.18 0.26 0.10 0.67 0.64 0.39 0.26 1.00

US RE SECURITIES 0.59 0.47 0.44 0.49 0.56 0.50 -0.05 0.17 0.23 0.10 0.56 0.05 1.00

GLOBAL RE SECURITIES 0.65 0.59 0.56 0.62 0.66 0.58 -0.05 0.17 0.22 0.11 0.62 0.03 0.94 1.00

PRIVATE REAL ESTATE 0.54 0.44 0.44 0.47 0.52 0.51 -0.05 0.19 0.25 0.09 0.57 0.05 0.77 0.76 1.00

COMMODITIES 0.25 0.34 0.39 0.38 0.32 0.27 0.00 -0.02 -0.02 0.25 0.29 -0.10 0.25 0.28 0.25 1.00

REAL ASSET BASKET 0.42 0.43 0.50 0.48 0.47 0.43 0.01 0.24 0.25 0.41 0.53 0.06 0.65 0.69 0.69 0.59 1.00

INFLATION (CPI) -0.10 -0.15 -0.13 -0.15 -0.13 -0.10 0.10 -0.12 -0.12 0.15 -0.08 -0.08 0.05 0.03 0.05 0.44 0.26 1.00

REAL ESTATE

EQUITY FIXED INCOME REAL ASSETS

5

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©2017 Wilshire Associates.

W i l s h i r e C o n s u l t i n g

ECONOMIC REVIEW

Data sources: Bureau of Labor Statistics, U.S. Treasury, University of Michigan, Institute for Supply Management, Bureau of Economic Analysis

AS OF DECEMBER 31, 2017

CPI (ALL ITEMS)

SEASONALLY ADJUSTED Dec-17 0.1 3-Mo. 0.6

Nov-17 0.4 12-Mo. 2.1

Oct-17 0.1 10-Yr. (Annual) 1.6

BREAKEVEN INFLATION 10-Yr. 2.0

CONSUMER SENTIMENT Dec-17 95.9

U. OF MICHIGAN SURVEY Nov-17 98.5

1-Yr. Ago 98.2 10-Yr. Avg 79.1

MANUFACTURING Dec-17 59.7

INST. FOR SUPPLY MGMT Nov-17 58.2 >50 Expansion

PURCHASING MNGRS' IDX 1-Yr. Avg. 57.6 <50 Contraction

Note: Seasonally adjusted CPI data is utilized to better reflect short-term pricing activity.

December/2017 CPI is based on Federal Reserve of Philadelphia Survey of Professional Forecasters

MONTHLY CHANGE CUMULATIVE CHANGE

KEY ECONOMIC INDICATORS

CHANGE IN SECTOR

Real GDP

Consumer Spending

$(18,000)

$(15,000)

$(12,000)

$(9,000)

$(6,000)

$(3,000)

$-

$3,000

$6,000

$9,000

$12,000

$15,000

$18,000

-10.00%

-8.00%

-6.00%

-4.00%

-2.00%

0.00%

2.00%

4.00%

6.00%

8.00%

10.00%

Quart

erly G

DP (

$bil)

Annualized G

row

th

CHANGES IN REAL GDP (2009 BASE YEAR)

Annualized Change in Real GDP Private Investment Series9 Government Spending

(5.0)

-

5.0

10.0

15.0

(200)

(100)

-

100

200

300

400

Unem

plo

ym

ent

Rate

(%

)

Job G

row

th/L

oss (

thou)

UNEMPLOYMENT RATE AND JOB GROWTH/LOSS

Job Growth (Loss) Unemployment Rate

6

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©2017 Wilshire Associates.

5

W i l s h i r e C o n s u l t i n g

U.S. EQUITY MARKET

Data sources: Wilshire Compass, Wilshire Atlas

AS OF DECEMBER 31, 2017 QTR YTD 1 YR 3 YR 5 YR 10 YR

WILSHIRE 5000 INDEX 6.4 21.0 21.0 11.4 15.7 8.6

WILSHIRE U.S. LARGE CAP 6.7 21.8 21.8 11.5 15.8 8.5

WILSHIRE U.S. SMALL CAP 3.6 13.5 13.5 9.7 14.4 9.9

WILSHIRE U.S. LARGE GROWTH 7.3 27.7 27.7 12.9 17.3 9.7

WILSHIRE U.S. LARGE VALUE 6.1 16.3 16.3 10.0 14.4 7.2

WILSHIRE U.S. SMALL GROWTH 4.2 19.6 19.6 9.8 14.9 9.9

WILSHIRE U.S. SMALL VALUE 3.0 7.4 7.4 9.5 13.9 9.8

WILSHIRE REIT INDEX 1.7 4.2 4.2 5.2 9.3 7.3

MSCI USA MIN. VOL. INDEX 5.2 18.4 18.4 10.9 14.5 8.8

FTSE RAFI U.S. 1000 INDEX 6.5 16.4 16.4 10.1 15.3 9.421.0

-0.3

12.6

23.4

8.8

-1.9

12.8

21.8

22.9

23.4

20.2

37.4

6.4

3.6

0.7

6.7

2.7

6.5

6.5

6.6

9.1

1.2

8.0

8.6

Wilshire 5000

Telecom

Utilities

Materials

Real Estate

Energy

Cnsmr Stpls

Industrials

Cnsmr Discr.

Healthcare

Financials

Info. Tech.

2.0%

3.0%

3.3%

4.2%

5.9%

7.7%

10.8%

12.4%

12.6%

15.6%

22.6%

WILSHIRE 5000 SECTOR WEIGHT & RETURN (%)

4th Quarter Year to Date

-10.00%

-5.00%

0.00%

5.00%

10.00%

15.00%

Larg

e C

ap in e

xcess o

f Sm

all C

ap

LARGE CAP VS SMALL CAP

QTD Excess Return Rolling 3-Year Excess Return

-10.00%

-5.00%

0.00%

5.00%

10.00%

15.00%

Gro

wth

in e

xcess o

f Valu

e

GROWTH VS VALUE

QTD Excess Return Rolling 3-Year Excess Return

7

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©2017 Wilshire Associates.

6

• U.S. Equity has now produced 9 straight years of positive returns since 2008

• 2017 was one of the least volatile years in nearly four decades

– Largest drawdown for the year was -2.75%

– Only 4 trading days where the market was down 1% or more

W i l s h i r e C o n s u l t i n g

ANNUAL EQUITY RETURNS

31

24 24

-11 -11

-21

32

13

6

16

6

-37

28

17

1

16

33

13

1

13

21

-10

-22

-12

-21

-29-32

-13

-8 -7 -8 -10

-49

-27

-16-20

-10

-6-7

-12 -11

-3

-60

-50

-40

-30

-20

-10

0

10

20

30

40

WILSHIRE 5000 INDEXWORST INTRA-PERIOD SELLOFF VS ANNUAL RETURN (%)

Annual Return Largest Selloff 8

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©2017 Wilshire Associates.

7

Generally speaking, higher quality names led the market for both the fourth quarter and 2017

W i l s h i r e C o n s u l t i n g

RETURNS BY QUALITY SEGMENT

Data sources: Wilshire Atlas

-

5.00

10.00

15.00

20.00

25.00

30.00

4Q 17 YTD 2017

Tota

l Retu

rn (

%)

RETURN BY S&P QUALITY RATING

A+ A A- B+ B B- C / D

A+ 5%

A 11%

A- 17%

B+ 23%

B 16%

B- 9%

C / D 4%

N.A. 15%

Segment Weights

as of September 30

9

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©2017 Wilshire Associates.

8

W i l s h i r e C o n s u l t i n g

NON-U.S. EQUITY MARKET

Data sources: Wilshire Compass

AS OF DECEMBER 31, 2017 QTR YTD 1 YR 3 YR 5 YR 10 YR

MSCI ACWI EX-US ($G) 5.1 27.8 27.8 8.3 7.3 2.3

MSCI EAFE ($G) 4.3 25.6 25.6 8.3 8.4 2.4

MSCI EMERGING MARKETS ($G) 7.5 37.7 37.7 9.5 4.7 2.0

MSCI FRONTIER MARKETS ($G) 5.6 32.3 32.3 5.5 9.7 -0.7

MSCI ACWI EX-US GROWTH ($G) 5.8 32.5 32.5 9.7 8.4 2.8

MSCI ACWI EX-US VALUE ($G) 4.3 23.4 23.4 6.9 6.2 1.8

MSCI ACWI EX-US SMALL ($G) 6.6 32.1 32.1 12.5 10.5 5.2

MSCI EAFE MINIMUM VOLATILITY 3.6 22.2 22.2 9.3 9.9 5.2

FTSE RAFI DEVELOPED EX-US 4.7 25.7 25.7 8.7 8.9 2.8

MSCI EAFE LC (G) 3.7 15.8 15.8 9.0 11.9 3.8

MSCI EMERGING MARKETS LC (G) 5.7 31.0 31.0 10.9 8.4 4.5

25.6

21.8

23.5

28.2

30.1

22.5

24.3

4.3

7.1

1.8

2.6

1.6

5.7

8.5

MSCI EAFE

Australia

Switzerland

Germany

France

United Kingdom

Japan

6.9%

8.0%

9.8%

10.7%

17.8%

24.0%

MSCI EAFE: LARGEST COUNTRIES & RETURN (USD)

4th Quarter Year to Date

37.7

24.7

36.9

38.7

28.5

47.3

54.3

7.5

-1.8

21.4

11.8

4.0

11.2

7.6

MSCI Emrg Mrkts

Brazil

South Africa

India

Taiwan

South Korea

China

6.8%

7.1%

8.8%

11.3%

15.4%

29.7%

MSCI EM: LARGEST COUNTRIES & RETURN (USD)

4th Quarter Year to Date

10

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©2017 Wilshire Associates.

9

W i l s h i r e C o n s u l t i n g

U.S. FIXED INCOME

Data sources: Wilshire Compass, Bloomberg Barclays, U.S. Treasury

0

200

400

600

800

1,000

1,200

1,400

1,600

1,800

2,000

Option A

dju

ste

d S

pre

ad (

bps)

BLOOMBERG BARCLAYS FIXED INCOME INDEXES

Securitized IG Corporate Aa Corporate High Yield

0.00

0.50

1.00

1.50

2.00

2.50

3.00

3.50

0 5 10 15 20 25 30

Yie

ld (

%)

Maturity (yrs)

TREASURY YIELD CURVE

Current Quarter Previous Quarter One Year Ago

AS OF DECEMBER 31, 2017 YTM DURATION QTR YTD 1 YR 3 YR 5 YR 10 YR

BLOOMBERG BARCLAYS AGGREGATE 2.7 6.0 0.4 3.6 3.6 2.2 2.1 4.0

BLOOMBERG BARCLAYS TREASURY 2.2 6.2 0.1 2.3 2.3 1.4 1.3 3.3

BLOOMBERG BARCLAYS GOV'T-REL. 2.7 5.5 0.3 4.2 4.2 2.2 1.9 3.7

BLOOMBERG BARCLAYS SECURITIZED 2.9 4.4 0.2 2.5 2.5 1.9 2.0 3.8

BLOOMBERG BARCLAYS CORPORATE 3.3 7.6 1.2 6.4 6.4 3.9 3.5 5.7

BLOOMBERG BARCLAYS LT G/C 3.5 15.4 2.8 10.7 10.7 4.5 4.4 7.3

BLOOMBERG BARCLAYS LT TREASURY 2.7 17.6 2.4 8.5 8.5 2.8 3.5 6.6

BLOOMBERG BARCLAYS LT GOV't-REL. 4.0 12.6 2.1 11.9 11.9 4.5 4.1 7.0

BLOOMBERG BARCLAYS LT CORP. 4.0 14.3 3.3 12.1 12.1 5.9 5.3 7.8

BLOOMBERG BARCLAYS U.S. TIPS * 2.4 7.7 1.3 3.0 3.0 2.0 0.1 3.5

BLOOMBERG BARCLAYS HIGH YIELD 6.2 3.9 0.5 7.5 7.5 6.3 5.8 8.0

TREASURY BILLS 1.4 0.25 0.3 0.8 0.8 0.4 0.3 0.4

* Yield and Duration statistics are for a proxy index based on similar maturity, the Bloomberg Barclays U.S. Treasury 7-10 Year Index

11

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©2017 Wilshire Associates.

10

• Federal Reserve began their balance sheet normalization program during Q4; targeting $10B in

reductions per month with the goal of reaching $50B per month in Q4 2018

• Total reductions have equaled only $17B through mid-January 2018

W i l s h i r e C o n s u l t i n g

FEDERAL RESERVE

Data sources: Federal Reserve

$-

$0.5

$1.0

$1.5

$2.0

$2.5

$3.0

$3.5

$4.0

$4.5

$5.0

FEDERAL RESERVE: BALANCE SHEET FORECAST ($T)

U.S. Treasuries Mortgage-backed Securities Other Original Forecast

12

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©2017 Wilshire Associates.

11

• Shape of the curve had been steep since the global financial crisis; has recently flattened

• Current spread between 10-year and 2-year Treasury is well below average (0.56% vs. 0.96%)

• Tight spread present in 10-year forward curve as well (0.39%)

• Continued strong economic growth will put upward pressure on the long end of the curve

W i l s h i r e C o n s u l t i n g

U.S. YIELD CURVE

Data source: Federal Reserve

(3.00)

(2.00)

(1.00)

-

1.00

2.00

3.00

4.00

YIELD CURVE SLOPE: 10-YR MINUS 2-YR SPREAD (%)

10Yr - 2Yr 40 Year Average 10-Yr Fwd Curve Dec-17 13

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©2017 Wilshire Associates.

12

W i l s h i r e C o n s u l t i n g

NON-U.S. FIXED INCOME

Data sources: Wilshire Compass, Bloomberg Barclays, Federal Reserve Bank of St. Louis

AS OF DECEMBER 31, 2017 QTR YTD 1 YR 3 YR 5 YR 10 YR

DEVELOPED MARKETS

BLMBRG BRCLYS GLBL AGGREGATE xUS 1.6 10.5 10.5 1.8 -0.2 2.4

BLMBRG BRCLYS GLBL AGGREGATE xUS * 1.1 2.5 2.5 2.9 3.7 4.2

BLMBRG BRCLYS GLOBAL INF LNKD xUS 3.9 12.8 12.8 2.6 2.4 3.3

BLMBRG BRCLYS GLOBAL INF LNKD xUS * 3.4 3.3 3.3 5.7 5.8 5.8

EMERGING MARKETS (HARD CURRENCY)

BLMBRG BRCLYS EM USD AGGREGATE 0.6 8.2 8.2 6.4 3.9 7.0

EMERGING MARKETS (FOREIGN CURRENCY)

BLMBRG BRCLYS EM LOCAL CURR. GOV'T 2.2 14.3 14.3 2.7 0.3 n.a.

BLMBRG BRCLYS EM LOCAL CURR. GOV'T * 0.0 3.6 3.6 2.3 1.8 n.a.

EURO vs. DOLLAR 1.6 13.8 13.8 -0.3 -1.9 -2.0

YEN vs. DOLLAR -0.1 3.5 3.5 2.1 -5.2 -0.1

POUND vs. DOLLAR 0.8 9.5 9.5 -4.6 -3.6 -3.8

* Returns are reported in terms of local market investors, w hich removes currency effects.

0.00

2.00

4.00

6.00

8.00

10.00

12.00

Yie

ld t

o W

ors

t (%

)

BLOOMBERG BARCLAYS FIXED INCOME INDEXES

U.S. Treasury Global xUS Gov't EM USD Sovereign EM Foreign Gov't

-25%

-20%

-15%

-10%

-5%

0%

5%

10%

15%

20%

25%

0

10

20

30

40

50

60

70

80

90

100

Rollin

g 1

-Year

Retu

rn

Index L

evel

U.S. DOLLAR INDEX: MAJOR CURRENCIES

Index Level Rolling 1-Year Return

14

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©2017 Wilshire Associates.

13

• Yields on Portugal’s debt are down in the

midst of a strong economic recovery and

rating upgrades during the fourth quarter

• Yields on government bonds remain low

globally

W i l s h i r e C o n s u l t i n g

EUROPEAN DEBT

Data sources: Bloomberg Barclays, International Monetary Fund

0

500

1,000

1,500

2,000

2,500

Spre

ad o

n 5

-Yr

Bond (

bps)

GOVERNMENT BOND SPREADSVersus German Yield Curve

Ireland Portugal Spain Italy

Introduction ofthe Euro

-2.00

0.00

2.00

4.00

6.00

8.00

10.00

12.00

14.00

16.00

Annual Yie

ld (

%)

EUROPEAN GOVERNMENT BOND YIELDS

Germany France Spain Italy

15

Page 16: WILSHIRE ASSOCIATES - KRS Performance... · 2019. 7. 2. · ©2017 Wilshire Associates. 5 Wilshire Consulting U.S. EQUITY MARKET Data sources: Wilshire Compass, Wilshire Atlas AS

©2017 Wilshire Associates.

14

W i l s h i r e C o n s u l t i n g

HIGH YIELD BOND MARKET

Data sources: Wilshire Compass, Bloomberg Barclays

AS OF DECEMBER 31, 2017 QTR YTD 1 YR 3 YR 5 YR 10 YR

BLOOMBERG BARCLAYS HIGH YIELD 0.5 7.5 7.5 6.3 5.8 8.0

CREDIT SUISSE LEVERAGED LOAN 1.2 4.2 4.2 4.5 4.3 4.6

HIGH YIELD QUALITY DISTRIBUTION WEIGHT

Ba U.S. HIGH YIELD 44.1% 0.4 7.3 7.3 6.2 5.8 8.4

B U.S. HIGH YIELD 40.3% 0.4 6.5 6.5 5.5 5.1 6.5

Caa U.S. HIGH YIELD 14.4% 1.0 10.4 10.4 8.4 7.5 7.8

Ca to D U.S. HIGH YIELD 1.1% 0.8 13.8 13.8 -3.0 -10.1 -0.4

Non-Rated U.S. HIGH YIELD 0.2% -2.0 9.2 9.2 -2.5 0.9 1.3

0

500

1,000

1,500

2,000

2,500

3,000

Option A

dju

ste

d S

pre

ad (

bps)

BLOOMBERG BARCLAYS HIGH YIELD INDEXES

HY Index Ba B Caa

16

Page 17: WILSHIRE ASSOCIATES - KRS Performance... · 2019. 7. 2. · ©2017 Wilshire Associates. 5 Wilshire Consulting U.S. EQUITY MARKET Data sources: Wilshire Compass, Wilshire Atlas AS

©2017 Wilshire Associates.

15

W i l s h i r e C o n s u l t i n g

REAL ASSETS

Data sources: Wilshire Compass, National Council of Real Estate Investment Fiduciaries

AS OF DECEMBER 31, 2017 QTR YTD 1 YR 3 YR 5 YR 10 YR

BLOOMBERG BARCLAYS U.S. TIPS 1.3 3.0 3.0 2.0 0.1 3.5

BLOOMBERG COMMODITY INDEX 4.7 1.7 1.7 -5.0 -8.5 -6.8

WILSHIRE GLOBAL RESI INDEX 3.2 10.0 10.0 5.8 8.0 5.4

NCREIF ODCE FUND INDEX 2.1 7.6 7.6 10.4 11.5 5.0

NCREIF TIMBERLAND INDEX 1.5 3.6 3.6 3.7 6.2 4.4

ALERIAN MLP INDEX (OIL & GAS) -1.0 -6.5 -6.5 -9.3 -0.1 6.0

0.00%

2.00%

4.00%

6.00%

8.00%

10.00%

12.00%

0.00%

2.00%

4.00%

6.00%

8.00%

10.00%

12.00%

Curr

ent

Yie

ld

Curr

ent

Cap R

ate

REAL ESTATE VALUATION

NPI Current Value Cap Rate Wilshire RESI Current Yield 10-Year Treasury Yield

-40.0

-30.0

-20.0

-10.0

0.0

10.0

20.0

30.0

Retu

rn (

%)

NCREIF ODCE FUND INDEX RETURN

Appreciation Income Total Return

17

Page 18: WILSHIRE ASSOCIATES - KRS Performance... · 2019. 7. 2. · ©2017 Wilshire Associates. 5 Wilshire Consulting U.S. EQUITY MARKET Data sources: Wilshire Compass, Wilshire Atlas AS

TOTAL FUND TOTAL FUND

Page 19: WILSHIRE ASSOCIATES - KRS Performance... · 2019. 7. 2. · ©2017 Wilshire Associates. 5 Wilshire Consulting U.S. EQUITY MARKET Data sources: Wilshire Compass, Wilshire Atlas AS

W i l s h i r e C o n s u l t i n g

MANAGER ALLOCATIONKRS Pension Plan CompositeAs of December 31, 2017

© 2017 Wilshire Associates Inc.

US Equity Composite$2,916,432,413 23.55%

Non-US Equity Composite$3,038,822,648 24.54%

Fixed Income Composite$2,399,577,709 19.38%

Absolute Return Composite$816,074,450 6.59%

Private Equity Composite$1,198,554,412 9.68%

Other Assets$7,300,000 0.06%

Cash Composite$396,504,667 3.20%

Real Estate Composite$562,036,609 4.54%

Real Return Composite$1,047,571,071 8.46%

$12,382,873,980

19

Page 20: WILSHIRE ASSOCIATES - KRS Performance... · 2019. 7. 2. · ©2017 Wilshire Associates. 5 Wilshire Consulting U.S. EQUITY MARKET Data sources: Wilshire Compass, Wilshire Atlas AS

W i l s h i r e C o n s u l t i n g

ACTUAL ALLOCATION VS POLICY ALLOCATIONKERS Pension Plan CompositeAs of December 31, 2017

© 2017 Wilshire Associates Inc.

Fixed Income504,049,973 24.34%

Short Term100,868,781 4.87%

Intl Equity411,041,957 19.85%

Other Absolute Return149,158,636 7.20%

Other Real Return161,581,327 7.80%

Special Investments251,195,600 12.13%

Other1,879,904 0.09%

Real Estate90,933,010 4.39%

Domestic Equity399,920,846 19.31%

Total Fund

Fixed Income20.00%

Domestic Equity22.00%

Intl Equity20.00%

Other Absolute Return10.00%

Other Real Return10.00%

Special Inv.10.00%

Real Estate3.00%

Short Term5.00%

Policy Index

$2,070,630,034

20

Page 21: WILSHIRE ASSOCIATES - KRS Performance... · 2019. 7. 2. · ©2017 Wilshire Associates. 5 Wilshire Consulting U.S. EQUITY MARKET Data sources: Wilshire Compass, Wilshire Atlas AS

W i l s h i r e C o n s u l t i n g

ACTUAL ALLOCATION VS POLICY ALLOCATIONKERS (H) Pension Plan CompositeAs of December 31, 2017

© 2017 Wilshire Associates Inc.

Fixed Income116,977,355 18.19%

Domestic Equity156,282,995 24.30%

Intl Equity163,269,232 25.39%

Other1,540,723 0.24%

Other Absolute Return39,003,935 6.06%

Special Investments60,718,907 9.44%

Other Real Return54,602,461 8.49%

Real Estate29,127,886 4.53%

Short Term21,647,415 3.37%

Total Fund

Fixed Income12.00%

Domestic Equity26.50%

Intl Equity26.50%

Other Absolute Return10.00%

Other Real Return8.00%

Special Inv.10.00%

Real Estate5.00%

Short Term2.00%

Policy Index

$643,170,908

21

Page 22: WILSHIRE ASSOCIATES - KRS Performance... · 2019. 7. 2. · ©2017 Wilshire Associates. 5 Wilshire Consulting U.S. EQUITY MARKET Data sources: Wilshire Compass, Wilshire Atlas AS

W i l s h i r e C o n s u l t i n g

ACTUAL ALLOCATION VS POLICY ALLOCATIONCERS Pension Plan CompositeAs of December 31, 2017

© 2017 Wilshire Associates Inc.

Fixed Income1,291,523,810 18.29%

Domestic Equity1,731,391,223 24.52%

Intl Equity1,807,344,662 25.60%

Other1,682,460 0.02%

Other Absolute Return464,886,521 6.58%

Special Investments646,293,075 9.15%

Other Real Return604,011,533 8.55%

Real Estate326,801,177 4.63%

Short Term186,417,573 2.64%

Total Fund

Fixed Income12.00%

Domestic Equity26.50%

Intl Equity26.50%

Other Absolute Return10.00%

Other Real Return8.00%

Special Inv.10.00%

Real Estate5.00%

Short Term2.00%

Policy Index

$7,060,352,032

22

Page 23: WILSHIRE ASSOCIATES - KRS Performance... · 2019. 7. 2. · ©2017 Wilshire Associates. 5 Wilshire Consulting U.S. EQUITY MARKET Data sources: Wilshire Compass, Wilshire Atlas AS

W i l s h i r e C o n s u l t i n g

ACTUAL ALLOCATION VS POLICY ALLOCATIONCERS (H) Pension Plan CompositeAs of December 31, 2017

© 2017 Wilshire Associates Inc.

Fixed Income428,227,117 18.22%

Domestic Equity574,378,156 24.44%

Intl Equity599,662,009 25.51%

Other1,831,701 0.08%

Other Absolute Return147,313,542 6.27%

Special Investments219,028,220 9.32%

Other Real Return205,371,735 8.74%

Real Estate103,075,145 4.39%

Short Term71,367,549 3.04%

Total Fund

Fixed Income12.00%

Domestic Equity26.50%

Intl Equity26.50%

Other Absolute Return10.00%

Other Real Return8.00%

Special Inv.10.00%

Real Estate5.00%

Short Term2.00%

Policy Index

$2,350,255,173

23

Page 24: WILSHIRE ASSOCIATES - KRS Performance... · 2019. 7. 2. · ©2017 Wilshire Associates. 5 Wilshire Consulting U.S. EQUITY MARKET Data sources: Wilshire Compass, Wilshire Atlas AS

W i l s h i r e C o n s u l t i n g

ACTUAL ALLOCATION VS POLICY ALLOCATIONSPRS Pension Plan CompositeAs of December 31, 2017

© 2017 Wilshire Associates Inc.

Fixed Income58,799,454 22.75%

Short Term16,203,351 6.27%

Intl Equity57,504,798 22.25%

Other365,213 0.14%

Other Absolute Return15,711,818 6.08%

Special Investments21,318,610 8.25%

Other Real Return22,004,014 8.51%

Real Estate12,099,392 4.68%

Domestic Equity54,459,189 21.07%

Total Fund

Fixed Income18.00%

Domestic Equity23.00%

Intl Equity23.00%

Other Absolute Return10.00%

Other Real Return8.00%

Special Inv.10.00%

Real Estate5.00%

Short Term3.00%

Policy Index

$258,465,838

24

Page 25: WILSHIRE ASSOCIATES - KRS Performance... · 2019. 7. 2. · ©2017 Wilshire Associates. 5 Wilshire Consulting U.S. EQUITY MARKET Data sources: Wilshire Compass, Wilshire Atlas AS

W i l s h i r e C o n s u l t i n g

PERFORMANCE COMPARISONKRS Pension Plan CompositePeriods Ended December 31, 2017

© 2018 Wilshire Associates Inc.

0%

2%

4%

6%

8%

10%

12%

14%

16%

18%

20%

Ω 12

Ω 1

2

Ω 1

Ω 1

Ω1

Ω 1Ω 1

Ω 1

Med75th

95th

25th 5th

Ω KRS Pension Plan 1 KRS Target Alloc 2 KRS IPS Benchmar 5th %tile25th %tileMedian75th %tile95th %tileNumber of Funds

1 Quarter 2 Quarters 3 Quarters 1 Year 2 Years 3 Years 5 Years 10 Years

3.52 (67)3.59 (62)2.75 (91)

4.474.053.733.361.93154

7.67 (34)7.47 (42)6.03 (87)

8.507.907.266.733.97154

11.33 (30)11.08 (34)

12.3311.4710.479.585.89154

16.16 (30)15.93 (36)

18.3316.3015.1713.938.56154

12.37 (21)11.88 (41)

13.4912.2811.6710.707.05149

8.36 (21)8.04 (31)

8.958.277.736.754.44145

8.65 (64)8.63 (64)

10.709.949.088.024.88144

5.75 (68)5.91 (62)

7.136.446.115.624.56119

*TUCS Total Ret of Master Trusts - Public Universe - Gross of Fees 25

Page 26: WILSHIRE ASSOCIATES - KRS Performance... · 2019. 7. 2. · ©2017 Wilshire Associates. 5 Wilshire Consulting U.S. EQUITY MARKET Data sources: Wilshire Compass, Wilshire Atlas AS

W i l s h i r e C o n s u l t i n g

RISK / RETURN ANALYSISKRS Pension PlanFive Years Ending December 31, 2017

© 2018 Wilshire Associates Inc.

Annualiz

ed R

ate

of T

ota

l R

etu

rn

2.0 3.0 4.0 5.0 6.0 7.0 8.03.0

4.0

5.0

6.0

7.0

8.0

9.0

10.0

11.0

12.0

13.0

14.0

15.0

Ω 1

Media

n

Ris

k

Median

Return

Historical Standard Deviation of Total Return

Description

Legend

Gross Fee Ret

Value Rank

Standard Deviation

Value Rank

KRS Pension Plan

KRS Target Allocation Index

Median

Ω1

8.65

8.63

9.08

64

64

4.63

4.90

4.84

61

48

*TUCS Total Returns of Master Trusts - Public Universe - Gross of Fees 26

Page 27: WILSHIRE ASSOCIATES - KRS Performance... · 2019. 7. 2. · ©2017 Wilshire Associates. 5 Wilshire Consulting U.S. EQUITY MARKET Data sources: Wilshire Compass, Wilshire Atlas AS

W i l s h i r e C o n s u l t i n g

PERFORMANCE COMPARISONTrailing ReturnsPeriods Ended December 31, 2017

© 2018 Wilshire Associates Inc.

Quarter 2 Quarters 3 Quarters 1 Year 3 Years 5 Years 10 Years Incept Date Incept Ret

KRS Pension Plan

Net of Fee Return

KRS Target Allocation Index

Value Added

KRS IPS Benchmark

KERS Pension Plan

Net of Fee Return

KERS Target Allocation Index

Value Added

KERS IPS Benchmark

Assumed Rate 5.25%

KERS (H) Pension Plan

Net of Fee Return

KERS (H) Target Allocation Index

Value Added

KERS (H) IPS Benchmark

Assumed Rate 6.25%

CERS Pension Plan

Net of Fee Return

CERS Target Allocation Index

Value Added

CERS IPS Benchmark

Assumed Rate 6.25%

3.38

3.59

-0.21

2.75

2.92

3.08

-0.16

2.70

1.29

3.44

3.71

-0.28

2.76

1.53

3.47

3.72

-0.25

2.77

1.53

7.28

7.47

-0.19

6.03

7.11

6.89

0.22

6.31

2.59

7.96

8.10

-0.14

6.45

3.08

7.99

8.11

-0.12

6.46

3.08

10.74

11.08

-0.34

10.39

10.12

0.27

11.47

11.80

-0.33

11.50

11.82

-0.31

15.72

15.93

-0.20

14.66

14.26

0.40

16.58

16.81

-0.23

16.69

16.83

-0.14

7.66

8.04

-0.38

7.10

7.13

-0.03

7.99

8.10

-0.11

8.00

8.11

-0.11

8.13

8.63

-0.50

7.87

8.06

-0.20

8.31

8.65

-0.34

8.32

8.65

-0.33

5.45

5.91

-0.46

5.32

5.63

-0.31

5.54

5.92

-0.38

5.55

5.92

-0.38

3/31/84

3/31/84

3/31/84

3/31/84

3/31/84

3/31/84

3/31/84

3/31/84

3/31/84

3/31/84

3/31/84

3/31/84

9.24

9.40

-0.16

9.20

9.32

-0.11

9.27

9.40

-0.13

9.27

9.40

-0.13

27

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W i l s h i r e C o n s u l t i n g

PERFORMANCE COMPARISONTrailing ReturnsPeriods Ended December 31, 2017

© 2018 Wilshire Associates Inc.

Quarter 2 Quarters 3 Quarters 1 Year 3 Years 5 Years 10 Years Incept Date Incept Ret

CERS (H) Pension Plan

Net of Fee Return

CERS (H) Target Allocation Index

Value Added

CERS (H) IPS Benchmark

Assumed Rate 6.25%

SPRS Pension Plan

Net of Fee Return

SPRS Target Allocation Index

Value Added

SPRS IPS Benchmark

Assumed Rate 5.25%

3.45

3.72

-0.27

2.77

1.53

3.06

3.31

-0.25

2.73

1.29

7.98

8.12

-0.14

6.47

3.08

7.17

7.37

-0.20

6.33

2.59

11.49

11.82

-0.34

10.38

10.83

-0.44

16.64

16.83

-0.20

15.05

15.38

-0.33

8.03

8.11

-0.08

6.95

7.66

-0.71

8.33

8.65

-0.32

7.70

8.37

-0.67

5.55

5.92

-0.37

5.24

5.78

-0.54

3/31/84

3/31/84

3/31/84

3/31/84

3/31/84

3/31/84

9.27

9.40

-0.13

9.18

9.36

-0.18

28

Page 29: WILSHIRE ASSOCIATES - KRS Performance... · 2019. 7. 2. · ©2017 Wilshire Associates. 5 Wilshire Consulting U.S. EQUITY MARKET Data sources: Wilshire Compass, Wilshire Atlas AS

W i l s h i r e C o n s u l t i n g

PERFORMANCE COMPARISONTrailing ReturnsPeriods Ended December 31, 2017

© 2018 Wilshire Associates Inc.

Quarter 2 Quarters 3 Quarters 1 Year 3 Years 5 Years 10 Years Incept Date Incept Ret

US Equity Composite

Net of Fee Return

Russell 3000

Value Added

Non-US Equity Composite

Net of Fee Return

Policy Index

Value Added

Fixed Income Composite

Net of Fee Return

Policy Index

Value Added

Bloomberg Global Aggregate

Real Return Composite

Net of Fee Return

Real Return Index (P)

Value Added

Real Estate Composite

Net of Fee Return

NCREIF ODCE NOF 1 Quarter Lag

Value Added

Absolute Return Composite

Net of Fee Return

HFRI FOF Div (1 Month Lag)

Value Added

5.99

6.34

-0.34

5.53

5.23

0.31

0.44

0.44

0.01

1.08

0.77

0.70

0.07

2.30

1.64

0.66

1.31

1.41

-0.11

10.61

11.20

-0.58

12.62

11.91

0.71

1.52

1.94

-0.42

2.86

2.31

1.13

1.17

4.94

3.13

1.80

3.33

3.27

0.06

13.54

14.55

-1.01

19.69

18.69

1.00

3.20

3.82

-0.62

5.54

2.95

1.02

1.93

7.29

4.72

2.56

3.79

4.20

-0.41

19.20

21.13

-1.93

29.24

28.30

0.94

4.85

5.79

-0.94

7.39

8.01

3.61

4.40

10.49

6.69

3.80

5.37

7.07

-1.70

10.44

11.12

-0.68

9.09

8.44

0.65

4.54

5.45

-0.91

2.02

3.91

2.14

1.77

9.61

9.84

-0.23

2.25

2.11

0.14

14.82

15.58

-0.76

8.05

7.35

0.70

3.78

4.08

-0.30

0.79

2.06

2.34

-0.28

9.37

10.57

-1.20

4.66

3.90

0.76

8.34

8.71

-0.36

3.02

2.48

0.53

5.07

5.10

-0.04

3.09

7.73

4.08

3.65

3/31/84

3/31/84

3/31/84

6/30/00

6/30/00

6/30/00

3/31/84

3/31/84

3/31/84

6/30/11

6/30/11

6/30/11

6/30/84

3/31/10

3/31/10

3/31/10

11.43

11.46

-0.03

3.61

3.86

-0.25

7.62

7.46

0.16

4.05

2.78

1.27

6.01

4.14

3.00

1.14

29

Page 30: WILSHIRE ASSOCIATES - KRS Performance... · 2019. 7. 2. · ©2017 Wilshire Associates. 5 Wilshire Consulting U.S. EQUITY MARKET Data sources: Wilshire Compass, Wilshire Atlas AS

W i l s h i r e C o n s u l t i n g

PERFORMANCE COMPARISONTrailing ReturnsPeriods Ended December 31, 2017

© 2018 Wilshire Associates Inc.

Quarter 2 Quarters 3 Quarters 1 Year 3 Years 5 Years 10 Years Incept Date Incept Ret

Private Equity Composite

Net of Fee Return

KRS Short Term PE Index

Value Added

Russell 3000 +3% Qtr Lag

Cash Composite

Net of Fee Return

91-Day Treasury Bill

Value Added

Other Assets

Net of Fee Return

3.15

3.15

-0.00

5.35

0.65

0.28

0.37

0.00

8.03

8.03

-0.00

9.54

0.94

0.55

0.40

0.00

14.05

14.05

-0.00

16.77

1.18

0.75

0.43

0.00

17.17

17.17

-0.00

25.02

1.36

0.85

0.50

0.00

11.25

11.25

-0.00

15.14

0.83

0.41

0.42

0.00

12.99

12.99

-0.00

18.48

0.66

0.27

0.39

0.32

8.18

8.18

-0.00

11.30

0.88

0.39

0.49

0.20

6/30/02

6/30/02

6/30/02

6/30/02

12/31/87

12/31/87

12/31/87

3/31/99

11.13

11.13

-0.00

10.83

3.62

3.32

0.30

3.24

30

Page 31: WILSHIRE ASSOCIATES - KRS Performance... · 2019. 7. 2. · ©2017 Wilshire Associates. 5 Wilshire Consulting U.S. EQUITY MARKET Data sources: Wilshire Compass, Wilshire Atlas AS

W i l s h i r e C o n s u l t i n g

CUSTOM BENCHMARK SPECIFICATIONKRS Pension PlanDecember 31, 2017

© 2018 Wilshire Associates Inc.

Quarter Start Quarter End Percent Description

KRS Target Allocation Index

KRS IPS Benchmark

6/84

9/17

12/17

9/17

6/17

9/17

12/17

9/17

100.00

2.20

10.00

10.00

5.00

8.00

7.00

7.00

25.60

25.20

2.20

10.00

10.00

5.00

8.00

7.00

7.00

25.60

25.20

2.20

10.00

10.00

5.00

10.00

5.10

22.70

17.50

17.50

KRS Target Allocation Index

91-Day Treasury Bill

KRS Short Term PE Benchmark

HFRI FOF Div (1 Month Lag)

NCREIF ODCE NOF 1 Quarter Lag

Real Return Index (P)

Bloomberg High Yield

Bloomberg Universal

Russell 3000

MSCI ACWI Ex USA IMI Index ($G)

91-Day Treasury Bill

KRS Short Term PE Benchmark

HFRI FOF Div (1 Month Lag)

NCREIF ODCE NOF 1 Quarter Lag

Real Return Index (P)

Bloomberg High Yield

Bloomberg Universal

Russell 3000

MSCI ACWI Ex USA IMI ($N)

91-Day Treasury Bill

KRS Short Term PE Benchmark

HFRI FOF Div (1 Month Lag)

NCREIF ODCE NOF 1 Quarter Lag

Real Return Index (P)

Bloomberg Universal

Bloomberg High Yield

MSCI ACWI Ex USA IMI Index ($G)

Russell 3000

31

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W i l s h i r e C o n s u l t i n g

CUSTOM BENCHMARK SPECIFICATIONKRS Pension PlanDecember 31, 2017

© 2018 Wilshire Associates Inc.

Quarter Start

Quarter End

Percent

Description

KRS IPS Benchmark (cont.)

12/17

12/17

2.20

10.00

10.00

5.00

10.00

5.10

22.70

17.50

17.50

91-Day Treasury Bill

KRS Short Term PE Benchmark

HFRI FOF Div (1 Month Lag)

NCREIF ODCE NOF 1 Quarter Lag

Real Return Index (P)

Bloomberg Universal

Bloomberg High Yield

MSCI ACWI Ex USA IMI ($N)

Russell 3000

32

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W i l s h i r e C o n s u l t i n g

CUSTOM BENCHMARK SPECIFICATIONKERS Pension PlanDecember 31, 2017

© 2018 Wilshire Associates Inc.

Quarter Start

Quarter End

Percent

Description

KERS Target Allocation Index

KERS IPS Benchmark

6/84

9/17

12/17

9/17

6/17

9/17

12/17

9/17

100.00

20.00

22.00

10.00

5.00

5.00

10.00

3.00

10.00

10.00

5.00

5.00

10.00

10.00

3.00

10.00

5.00

5.00

10.00

22.00

20.00

3.00

10.00

10.00

5.00

10.00

10.00

17.00

KERS Target Allocation Index

MSCI ACWI Ex USA IMI Index ($G)

Russell 3000

Bloomberg Aggregate

Bloomberg High Yield

Bloomberg Global Aggregate

Real Return Index (P)

NCREIF ODCE NOF 1 Quarter Lag

HFRI FOF Div (1 Month Lag)

KERS Short Term PE Benchmark

91-Day Treasury Bill

91-Day Treasury Bill

KERS Short Term PE Benchmark

HFRI FOF Div (1 Month Lag)

NCREIF ODCE NOF 1 Quarter Lag

Real Return Index (P)

Bloomberg Global Aggregate

Bloomberg High Yield

Bloomberg Aggregate

Russell 3000

MSCI ACWI Ex USA IMI ($N)

91-Day Treasury Bill

KERS Short Term PE Benchmark

HFRI FOF Div (1 Month Lag)

NCREIF ODCE NOF 1 Quarter Lag

Real Return Index (P)

Bloomberg Universal

Bloomberg High Yield

33

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W i l s h i r e C o n s u l t i n g

CUSTOM BENCHMARK SPECIFICATIONKERS Pension PlanDecember 31, 2017

© 2018 Wilshire Associates Inc.

Quarter Start

Quarter End

Percent

Description

KERS IPS Benchmark (cont.)

Assumed Rate 5.25%

12/17

9/17

12/17

12/17

17.50

17.50

3.00

10.00

10.00

5.00

10.00

10.00

17.00

17.50

17.50

100.00

MSCI ACWI Ex USA IMI Index ($G)

Russell 3000

91-Day Treasury Bill

KERS Short Term PE Benchmark

HFRI FOF Div (1 Month Lag)

NCREIF ODCE NOF 1 Quarter Lag

Real Return Index (P)

Bloomberg Universal

Bloomberg High Yield

MSCI ACWI Ex USA IMI ($N)

Russell 3000

Assumed Rate 5.25%

34

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W i l s h i r e C o n s u l t i n g

CUSTOM BENCHMARK SPECIFICATIONKERS (H) Pension PlanDecember 31, 2017

© 2018 Wilshire Associates Inc.

Quarter Start

Quarter End

Percent

Description

KERS (H) Target Allocation Index

KERS (H) IPS Benchmark

6/84

9/17

12/17

9/17

6/17

9/17

12/17

9/17

100.00

26.50

26.50

6.00

6.00

8.00

5.00

10.00

10.00

2.00

2.00

10.00

10.00

5.00

8.00

6.00

6.00

26.50

26.50

2.00

10.00

10.00

5.00

10.00

4.00

24.00

17.50

17.50

KERS (H) Target Allocation Index

MSCI ACWI Ex USA IMI Index ($G)

Russell 3000

Bloomberg Universal

Bloomberg High Yield

Real Return Index (P)

NCREIF ODCE NOF 1 Quarter Lag

HFRI FOF Div (1 Month Lag)

KERS (H) Short Term PE Benchmark

91-Day Treasury Bill

91-Day Treasury Bill

KERS (H) Short Term PE Benchmark

HFRI FOF Div (1 Month Lag)

NCREIF ODCE NOF 1 Quarter Lag

Real Return Index (P)

Bloomberg High Yield

Bloomberg Universal

Russell 3000

MSCI ACWI Ex USA IMI ($N)

91-Day Treasury Bill

KERS (H) Short Term PE Benchmark

HFRI FOF Div (1 Month Lag)

NCREIF ODCE NOF 1 Quarter Lag

Real Return Index (P)

Bloomberg Universal

Bloomberg High Yield

MSCI ACWI Ex USA IMI Index ($G)

Russell 3000

35

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W i l s h i r e C o n s u l t i n g

CUSTOM BENCHMARK SPECIFICATIONKERS (H) Pension PlanDecember 31, 2017

© 2018 Wilshire Associates Inc.

Quarter Start

Quarter End

Percent

Description

KERS (H) IPS Benchmark (cont.)

Assumed Rate 6.25%

12/17

9/17

12/17

12/17

2.00

10.00

10.00

5.00

10.00

4.00

24.00

17.50

17.50

100.00

91-Day Treasury Bill

KERS (H) Short Term PE Benchmark

HFRI FOF Div (1 Month Lag)

NCREIF ODCE NOF 1 Quarter Lag

Real Return Index (P)

Bloomberg Universal

Bloomberg High Yield

MSCI ACWI Ex USA IMI ($N)

Russell 3000

Assumed Rate 6.25%

36

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W i l s h i r e C o n s u l t i n g

CUSTOM BENCHMARK SPECIFICATIONCERS Pension PlanDecember 31, 2017

© 2018 Wilshire Associates Inc.

Quarter Start

Quarter End

Percent

Description

CERS Target Allocation Index

CERS IPS Benchmark

6/84

9/17

12/17

9/17

6/17

9/17

12/17

9/17

100.00

26.50

26.50

6.00

6.00

8.00

5.00

10.00

10.00

2.00

2.00

10.00

10.00

5.00

8.00

6.00

6.00

26.50

26.50

2.00

10.00

10.00

5.00

10.00

4.00

24.00

17.50

17.50

CERS Target Allocation Index

MSCI ACWI Ex USA IMI Index ($G)

Russell 3000

Bloomberg Universal

Bloomberg High Yield

Real Return Index (P)

NCREIF ODCE NOF 1 Quarter Lag

HFRI FOF Div (1 Month Lag)

CERS Short Term PE Benchmark

91-Day Treasury Bill

91-Day Treasury Bill

CERS Short Term PE Benchmark

HFRI FOF Div (1 Month Lag)

NCREIF ODCE NOF 1 Quarter Lag

Real Return Index (P)

Bloomberg High Yield

Bloomberg Universal

Russell 3000

MSCI ACWI Ex USA IMI ($N)

91-Day Treasury Bill

CERS Short Term PE Benchmark

HFRI FOF Div (1 Month Lag)

NCREIF ODCE NOF 1 Quarter Lag

Real Return Index (P)

Bloomberg Universal

Bloomberg High Yield

MSCI ACWI Ex USA IMI Index ($G)

Russell 3000

37

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W i l s h i r e C o n s u l t i n g

CUSTOM BENCHMARK SPECIFICATIONCERS Pension PlanDecember 31, 2017

© 2018 Wilshire Associates Inc.

Quarter Start

Quarter End

Percent

Description

CERS IPS Benchmark (cont.)

Assumed Rate 6.25%

12/17

9/17

12/17

12/17

2.00

10.00

10.00

5.00

10.00

4.00

24.00

17.50

17.50

100.00

91-Day Treasury Bill

CERS Short Term PE Benchmark

HFRI FOF Div (1 Month Lag)

NCREIF ODCE NOF 1 Quarter Lag

Real Return Index (P)

Bloomberg Universal

Bloomberg High Yield

MSCI ACWI Ex USA IMI ($N)

Russell 3000

Assumed Rate 6.25%

38

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W i l s h i r e C o n s u l t i n g

CUSTOM BENCHMARK SPECIFICATIONCERS (H) Pension PlanDecember 31, 2017

© 2018 Wilshire Associates Inc.

Quarter Start

Quarter End

Percent

Description

CERS (H) Target Allocation Index

CERS (H) IPS Benchmark

6/84

9/17

12/17

9/17

6/17

9/17

12/17

9/17

100.00

26.50

26.50

6.00

6.00

8.00

5.00

10.00

10.00

2.00

2.00

10.00

10.00

5.00

8.00

6.00

6.00

26.50

26.50

2.00

10.00

10.00

5.00

10.00

4.00

24.00

17.50

17.50

CERS (H) Target Allocation Index

MSCI ACWI Ex USA IMI Index ($G)

Russell 3000

Bloomberg Universal

Bloomberg High Yield

Real Return Index (P)

NCREIF ODCE NOF 1 Quarter Lag

HFRI FOF Div (1 Month Lag)

CERS (H) Short Term PE Benchmark

91-Day Treasury Bill

91-Day Treasury Bill

CERS (H) Short Term PE Benchmark

HFRI FOF Div (1 Month Lag)

NCREIF ODCE NOF 1 Quarter Lag

Real Return Index (P)

Bloomberg High Yield

Bloomberg Universal

Russell 3000

MSCI ACWI Ex USA IMI ($N)

91-Day Treasury Bill

CERS (H) Short Term PE Benchmark

HFRI FOF Div (1 Month Lag)

NCREIF ODCE NOF 1 Quarter Lag

Real Return Index (P)

Bloomberg Universal

Bloomberg High Yield

MSCI ACWI Ex USA IMI Index ($G)

Russell 3000

39

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W i l s h i r e C o n s u l t i n g

CUSTOM BENCHMARK SPECIFICATIONCERS (H) Pension PlanDecember 31, 2017

© 2018 Wilshire Associates Inc.

Quarter Start

Quarter End

Percent

Description

CERS (H) IPS Benchmark (cont.)

Assumed Rate 6.25%

12/17

9/17

12/17

12/17

2.00

10.00

10.00

5.00

10.00

4.00

24.00

17.50

17.50

100.00

91-Day Treasury Bill

CERS (H) Short Term PE Benchmark

HFRI FOF Div (1 Month Lag)

NCREIF ODCE NOF 1 Quarter Lag

Real Return Index (P)

Bloomberg Universal

Bloomberg High Yield

MSCI ACWI Ex USA IMI ($N)

Russell 3000

Assumed Rate 6.25%

40

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W i l s h i r e C o n s u l t i n g

CUSTOM BENCHMARK SPECIFICATIONSPRS Pension PlanDecember 31, 2017

© 2018 Wilshire Associates Inc.

Quarter Start

Quarter End

Percent

Description

SPRS Target Allocation Index

SPRS IPS Benchmark

6/84

9/17

12/17

9/17

6/17

9/17

12/17

9/17

100.00

23.00

23.00

9.00

9.00

8.00

5.00

10.00

10.00

3.00

3.00

10.00

10.00

5.00

8.00

9.00

9.00

23.00

23.00

3.00

10.00

10.00

5.00

10.00

10.00

17.00

17.50

17.50

SPRS Target Allocation Index

MSCI ACWI Ex USA IMI Index ($G)

Russell 3000

Bloomberg Universal

Bloomberg High Yield

Real Return Index (P)

NCREIF ODCE NOF 1 Quarter Lag

HFRI FOF Div (1 Month Lag)

SPRS Short Term PE Benchmark

91-Day Treasury Bill

91-Day Treasury Bill

SPRS Short Term PE Benchmark

HFRI FOF Div (1 Month Lag)

NCREIF ODCE NOF 1 Quarter Lag

Real Return Index (P)

Bloomberg High Yield

Bloomberg Universal

Russell 3000

MSCI ACWI Ex USA IMI ($N)

91-Day Treasury Bill

SPRS Short Term PE Benchmark

HFRI FOF Div (1 Month Lag)

NCREIF ODCE NOF 1 Quarter Lag

Real Return Index (P)

Bloomberg Universal

Bloomberg High Yield

MSCI ACWI Ex USA IMI Index ($G)

Russell 3000

41

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W i l s h i r e C o n s u l t i n g

CUSTOM BENCHMARK SPECIFICATIONSPRS Pension PlanDecember 31, 2017

© 2018 Wilshire Associates Inc.

Quarter Start

Quarter End

Percent

Description

SPRS IPS Benchmark (cont.)

Assumed Rate 5.25%

12/17

9/17

12/17

12/17

3.00

10.00

10.00

5.00

10.00

10.00

17.00

17.50

17.50

100.00

91-Day Treasury Bill

SPRS Short Term PE Benchmark

HFRI FOF Div (1 Month Lag)

NCREIF ODCE NOF 1 Quarter Lag

Real Return Index (P)

Bloomberg Universal

Bloomberg High Yield

MSCI ACWI Ex USA IMI ($N)

Russell 3000

Assumed Rate 5.25%

42

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US EQUITY US EQUITY

Page 44: WILSHIRE ASSOCIATES - KRS Performance... · 2019. 7. 2. · ©2017 Wilshire Associates. 5 Wilshire Consulting U.S. EQUITY MARKET Data sources: Wilshire Compass, Wilshire Atlas AS

W i l s h i r e C o n s u l t i n g

MANAGER ALLOCATIONUS Equity CompositeAs of December 31, 2017

© 2018 Wilshire Associates Inc.

Internal US Mid Cap$309,447,277 10.61%

Invesco$198 0.00%

River Road Fav$136,933,123 4.70%

Systematic$292,362,321 10.02%

Scientific Beta$326,418,188 11.19%

S&P 500 Index$1,408,852,256 48.31%

Westfield Capital$165,643,167 5.68%

Transition Account$49,750 0.00%

River Road$35,519,106 1.22%

NTGI Structured$241,207,028 8.27%

44

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W i l s h i r e C o n s u l t i n g

PERFORMANCE COMPARISONUS Equity CompositePeriods Ended December 31, 2017

© 2018 Wilshire Associates Inc.

2%

4%

6%

8%

10%

12%

14%

16%

18%

20%

22%

24%

26%

1

1

1

1

1

1

1

1

Med75th

95th

25th 5th

US Equity Composite1 Russell 3000

5th %tile25th %tileMedian75th %tile95th %tileNumber of Funds

1 Quarter 2 Quarters 3 Quarters 1 Year 2 Years 3 Years 5 Years 10 Years

6.00 (57)6.34 (33)

7.206.556.095.412.80128

10.65 (69)11.20 (39)

12.4911.4311.0910.476.60125

13.62 (70)14.55 (43)

16.5114.8514.4513.218.35122

19.32 (70)21.13 (43)

24.3921.7720.8918.6413.55

117

16.73 (42)16.86 (29)

18.5016.9616.6515.5111.84

115

10.55 (66)11.12 (31)

12.2211.2510.8210.096.96107

14.96 (58)15.58 (29)

16.5615.6515.2114.4011.73

103

8.43 (52)8.71 (28)

10.068.738.487.926.07

83

*TUCS Total Ret of US Equity Investment Pools Universe - Gross of Fees 45

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W i l s h i r e C o n s u l t i n g

PERFORMANCE COMPARISONTrailing ReturnsPeriods Ended December 31, 2017

© 2018 Wilshire Associates Inc.

Quarter 2 Quarters 3 Quarters 1 Year 3 Years 5 Years 10 Years Incept Date Incept Ret

S&P 500 Index

Net of Fee Return

Standard & Poor’s 500

Value Added

Scientific Beta

Net of Fee Return

Standard & Poor’s 500

Value Added

River Road

Net of Fee Return

Russell 3000 Value

Value Added

River Road FAV Net of Fee Return

Russell 3000 Value

Value Added

Westfield Capital

Net of Fee Return

Russell 3000 Growth

Value Added

Systematic

Net of Fee Return

Russell Mid Cap Value

Value Added

6.60

6.64

-0.05

5.90

6.64

-0.74

4.11

5.08

-0.97

1.16

5.08

-3.91

5.10

7.61

-2.50

8.13

5.50

2.62

11.37

11.42

-0.05

9.12

11.42

-2.30

6.45

8.51

-2.06

4.73

8.51

-3.78

10.98

13.98

-3.00

14.42

7.76

6.66

14.72

14.86

-0.15

12.74

14.86

-2.13

6.67

9.91

-3.24

8.64

9.91

-1.27

17.00

19.29

-2.28

14.14

9.24

4.90

21.79

21.83

-0.04

18.98

21.83

-2.85

9.99

13.19

-3.20

11.52

13.19

-1.67

29.14

29.59

-0.45

15.68

13.34

2.33

11.31

11.41

-0.10

8.57

8.71

-0.14

8.82

13.51

-4.69

9.60

9.00

0.60

15.70

15.79

-0.09

13.25

13.95

-0.70

14.99

17.16

-2.17

13.31

14.68

-1.36

8.80

8.49

0.31

6/30/01

6/30/01

6/30/01

6/30/16

6/30/16

6/30/16

6/30/11

6/30/11

6/30/11

6/30/16

6/30/16

6/30/16

6/30/11

6/30/11

6/30/11

6/30/12

6/30/12

6/30/12

7.38

6.97

0.41

16.24

19.95

-3.70

11.66

12.37

-0.71

20.41

16.72

3.69

12.84

14.63

-1.79

13.79

15.23

-1.44

46

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W i l s h i r e C o n s u l t i n g

PERFORMANCE COMPARISONTrailing ReturnsPeriods Ended December 31, 2017

© 2018 Wilshire Associates Inc.

Quarter 2 Quarters 3 Quarters 1 Year 3 Years 5 Years 10 Years Incept Date Incept Ret

Internal US Mid Cap

Net of Fee Return

S&P 400 Mid Cap

Value Added

NTGI Structured

Net of Fee Return

Russell 2000

Value Added

US Equity Composite

Net of Fee Return

Russell 3000

Value Added

6.39

6.25

0.14

3.33

3.34

-0.01

5.99

6.34

-0.34

9.84

9.68

0.16

9.24

9.20

0.05

10.61

11.20

-0.58

12.00

11.84

0.16

11.97

11.89

0.08

13.54

14.55

-1.01

16.39

16.24

0.14

14.97

14.65

0.32

19.20

21.13

-1.93

11.07

11.14

-0.07

10.46

9.96

0.51

10.44

11.12

-0.68

14.87

14.12

0.75

14.82

15.58

-0.76

10.01

8.71

1.30

8.34

8.71

-0.36

9/30/14

9/30/14

9/30/14

9/30/99

9/30/99

9/30/99

3/31/84

3/31/84

3/31/84

12.27

12.35

-0.08

10.41

8.70

1.72

11.43

11.46

-0.03

47

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W i l s h i r e C o n s u l t i n g

INVESTMENT MANAGER ANALYSISS&P 500 IndexDecember 31, 2017

© 2018 Wilshire Associates Inc.

Cumulative Skill Analysis vs Benchmark

12/13 12/14 12/15 12/16 12/17

-0.30

-0.20

-0.10

-0.00

0.10

0.20

0.30

0.40

Quarterly NOF Value Added vs. Standard & Poor’s 500 80% Confidence Band

Excess Return:

Excess Risk:

-0.08

0.09

Information Ratio:

T-Stat:

-0.89

-1.99

Value-Added Analysis vs Benchmark

6/13 12/13 6/14 12/14 6/15 12/15 6/16 12/16 6/17 12/17

-0.6%

-0.5%

-0.4%

-0.3%

-0.2%

-0.1%

-0.0%

0.1%

0.2%

-0.02

0.00

-0.01-0.02-0.04

-0.06

-0.01

0.04

-0.03

0.00

0.05

-0.04

-0.1-0.06

-0.02-0.05

0.10

-0.08

-0.01-0.05

Cumulative Value Added

Quarterly NOF Value Added vs. Standard & Poor’s 500

Performance Comparison vs Peer Universe*

4%

6%

8%

10%

12%

14%

16%

18%

20%

22%

24%

26%

⊕ 1

⊕ 1

⊕ 1

⊕ 1

⊕ 1

⊕ 1

⊕ 1

⊕ 1 Med75th95th

25th 5th

⊕ S&P 500 Index 1 Standard & Poo MedianNumber of Funds

1 Quarter 2 Quarters 3 Quarters 1 Year 2 Years 3 Years 5 Years 10 Years

6.60 (55)6.64 (47)

6.62162

11.37 (58)11.42 (46)

11.40

161

14.72 (63)14.86 (48)

14.84

161

21.79 (50)21.83 (42)

21.79

160

16.64 (73)16.79 (59)

16.83

159

11.31 (47)11.41 (34)

11.28

156

15.70 (66)15.79 (51)

15.81

138

8.80 (39)8.49 (68)

8.58

75

Five Year Risk/Return Analysis vs Peer Universe*

5.0 6.0 7.0 8.0 9.0 10.0

11.0

12.0

13.0

14.0

15.0

16.0

17.0

18.0

19.0

20.0

⊕1

Media

n

Ris

k

Median

Return

Description

Legend

Gross Fee Ret

Value Rank

Standard Deviation

Value Rank

S&P 500 Index

Standard & Poor’s 500

Median

⊕1

15.70

15.79

15.81

66

51

7.48

7.49

7.64

64

64

*TUCS Total Returns of Large Neutral Equity Portfolios Universe - Gross of Fees 48

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W i l s h i r e C o n s u l t i n g

INVESTMENT MANAGER ANALYSISScientific BetaDecember 31, 2017

© 2018 Wilshire Associates Inc.

Value-Added Analysis vs Benchmark

12/16 6/17 12/17

-5.5%

-5.0%

-4.5%

-4.0%

-3.5%

-3.0%

-2.5%

-2.0%

-1.5%

-1.0%

-0.5%

0.0%

0.5%

-1.34-1.07

-0.53

0.23

-1.44

-0.74

Cumulative Value Added

Quarterly NOF Value Added vs. Standard & Poor’s 500

Performance Comparison vs Peer Universe*

4%

6%

8%

10%

12%

14%

16%

18%

20%

22%

24%

26%

1

1

1

1

1

1

1

1

Med75th95th

25th 5th

Scientific Bet 1 Standard & Poo MedianNumber of Funds

1 Quarter 2 Quarters 3 Quarters 1 Year 2 Years 3 Years 5 Years 10 Years

5.90 (77)6.64 (47)

6.62162

9.12 (86)11.42 (46)

11.40

161

12.74 (88)14.86 (48)

14.84

161

18.98 (85)21.83 (42)

21.79

160

16.79 (59)

16.83

159

11.41 (34)

11.28

156

15.79 (51)

15.81

138

8.49 (68)

8.58

75

*TUCS Total Returns of Large Neutral Equity Portfolios Universe - Gross of Fees 49

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W i l s h i r e C o n s u l t i n g

INVESTMENT MANAGER ANALYSISRiver RoadDecember 31, 2017

© 2018 Wilshire Associates Inc.

Cumulative Skill Analysis vs Benchmark

12/13 12/14 12/15 12/16 12/17

-14.00

-12.00

-10.00

-8.00

-6.00

-4.00

-2.00

0.00

2.00

4.00

6.00

8.00

10.00

12.00

14.00

Quarterly NOF Value Added vs. Russell 3000 Value 80% Confidence Band

Excess Return:

Excess Risk:

-0.62

3.98

Information Ratio:

T-Stat:

-0.15

-0.35

Value-Added Analysis vs Benchmark

6/13 12/13 6/14 12/14 6/15 12/15 6/16 12/16 6/17 12/17

-5.0%

-4.0%

-3.0%

-2.0%

-1.0%

0.0%

1.0%

2.0%

3.0%

4.0%

5.0%

6.0%

7.0%

1.59

-0.14

0.03

-1.55

-2.35

-0.45

0.52

-0.38

1.31

-2.78

2.48

-0.89

6.15

-3.03

-0.36-0.45

0.13

-1.08-1.02-0.97

Cumulative Value Added

Quarterly NOF Value Added vs. Russell 3000 Value

Performance Comparison vs Peer Universe*

2%

4%

6%

8%

10%

12%

14%

16%

18%

20%

22%

24%

1

1

1

1

1

1

1

Med

75th

95th

25th 5th

River Road 1 Russell 3000 V MedianNumber of Funds

1 Quarter 2 Quarters 3 Quarters 1 Year 2 Years 3 Years 5 Years 10 Years

4.28 (81)5.08 (73)

6.64147

6.83 (90)8.51 (78)

10.93

147

7.39 (94)9.91 (88)

12.79

147

10.86 (95)13.19 (92)

16.94

147

16.04 (55)15.77 (58)

16.35

141

9.21 (56)8.71 (70)

9.63136

13.92 (57)13.95 (56)

14.13

122

8.2966

Five Year Risk/Return Analysis vs Peer Universe*

-4.0 -2.0 0.0 2.0 4.0 6.0 8.0 10.0 12.0 14.0 16.0 18.0 20.0 22.0

4.0

6.0

8.0

10.0

12.0

14.0

16.0

18.0

20.0

22.0

24.0

1

Media

n

Ris

k

Median

Return

Description

Legend

Gross Fee Ret

Value Rank

Standard Deviation

Value Rank

River Road

Russell 3000 Value

Median

1

13.92

13.95

14.13

57

56

8.50

8.56

8.73

52

52

*TUCS Total Returns of Large Value Equity Portfolios Universe - Gross of Fees 50

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W i l s h i r e C o n s u l t i n g

INVESTMENT MANAGER ANALYSISRiver Road FAVDecember 31, 2017

© 2018 Wilshire Associates Inc.

Value-Added Analysis vs Benchmark

12/16 6/17 12/17

-5.0%

-4.0%

-3.0%

-2.0%

-1.0%

0.0%

1.0%

2.0%

3.0%

4.0%

5.0%

6.0%

7.0%

8.0%

9.0%

10.0%

4.66

1.91

-0.34

2.45

0.26

-3.91

Cumulative Value Added

Quarterly NOF Value Added vs. Russell 3000 Value

Performance Comparison vs Peer Universe*

0%

2%

4%

6%

8%

10%

12%

14%

16%

18%

20%

22%

24%

1

1

1

1

Med

75th

95th

25th 5th

River Road FA 1 Russell 3000 V

MedianNumber of Funds

1 Quarter 2 Quarters 3 Quarters 1 Year 2 Years 3 Years 5 Years 10 Years

0.92 (95)5.08 (73)

6.64147

4.63 (95)8.51 (78)

10.93147

8.73 (93)9.91 (88)

12.79147

11.80 (94)13.19 (92)

16.94147

16.35141

9.63136

14.13122

8.2966

*TUCS Total Returns of Large Value Equity Portfolios Universe - Gross of Fees 51

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W i l s h i r e C o n s u l t i n g

INVESTMENT MANAGER ANALYSISWestfield CapitalDecember 31, 2017

© 2018 Wilshire Associates Inc.

Cumulative Skill Analysis vs Benchmark

12/13 12/14 12/15 12/16 12/17

-12.00

-10.00

-8.00

-6.00

-4.00

-2.00

0.00

2.00

4.00

6.00

8.00

10.00

12.00

14.00

Quarterly NOF Value Added vs. Russell 3000 Growth 80% Confidence Band

Excess Return:

Excess Risk:

-1.85

3.49

Information Ratio:

T-Stat:

-0.53

-1.19

Value-Added Analysis vs Benchmark

6/13 12/13 6/14 12/14 6/15 12/15 6/16 12/16 6/17 12/17

-9.0%

-8.0%

-7.0%

-6.0%

-5.0%

-4.0%

-3.0%

-2.0%

-1.0%

0.0%

1.0%

2.0%

3.0%

4.0%

5.0%

1.39

-0.83

1.871.38

0.18

-0.26

-1.7

1.78

0.42

-2.16

-3.27

-1.09

-3.53

-2.36

1.63

-1.57

1.73

0.77

-0.33

-2.5

Cumulative Value Added

Quarterly NOF Value Added vs. Russell 3000 Growth

Performance Comparison vs Peer Universe*

0%

5%

10%

15%

20%

25%

30%

35%

40%

∞1

∞1

∞1

∞1

∞1

∞1

∞1

Med75th95th

25th 5th

∞ Westfield Capi 1 Russell 3000 G

MedianNumber of Funds

1 Quarter 2 Quarters 3 Quarters 1 Year 2 Years 3 Years 5 Years 10 Years

5.25 (80)7.61 (25)

6.58172

11.29 (71)13.98 (17)

12.22172

17.49 (56)19.29 (37)

18.25171

29.84 (48)29.59 (48)

28.59170

14.92 (70)17.97 (25)

16.41168

9.42 (80)13.51 (24)

11.92163

15.64 (71)17.16 (35)

16.71119

9.2861

Five Year Risk/Return Analysis vs Peer Universe*

0.0 2.0 4.0 6.0 8.0 10.0 12.0 14.0 16.0 18.0 20.0

11.0

12.0

13.0

14.0

15.0

16.0

17.0

18.0

19.0

20.0

21.0

22.0

1

Media

n

Ris

k

Median

Return

Description Legend

Gross Fee Ret

Value Rank

Standard Deviation

Value Rank

Westfield Capital

Russell 3000 Growth

Median

∞1

15.64

17.16

16.71

71

35

10.90

8.07

9.37

21

82

*TUCS Total Returns of Large Growth Equity Portfolios Universe - Gross of Fees 52

Page 53: WILSHIRE ASSOCIATES - KRS Performance... · 2019. 7. 2. · ©2017 Wilshire Associates. 5 Wilshire Consulting U.S. EQUITY MARKET Data sources: Wilshire Compass, Wilshire Atlas AS

W i l s h i r e C o n s u l t i n g

INVESTMENT MANAGER ANALYSISSystematicDecember 31, 2017

© 2018 Wilshire Associates Inc.

Cumulative Skill Analysis vs Benchmark

12/13 12/14 12/15 12/16 12/17

-20.00

-15.00

-10.00

-5.00

0.00

5.00

10.00

15.00

20.00

Quarterly NOF Value Added vs. Russell Mid Cap Value 80% Confidence Band

Excess Return:

Excess Risk:

-1.19

5.07

Information Ratio:

T-Stat:

-0.23

-0.52

Value-Added Analysis vs Benchmark

6/13 12/13 6/14 12/14 6/15 12/15 6/16 12/16 6/17 12/17

-16.0%

-14.0%

-12.0%

-10.0%

-8.0%

-6.0%

-4.0%

-2.0%

0.0%

2.0%

4.0%

6.0%

-0.7-1.77

3.84

-0.29

-2.63

-1.06-1.74

-3.35

0.80

-0.08

-3.33

2.63

-3.14-2.78

1.40

4.88

-2.42-1.61

3.682.62

Cumulative Value Added

Quarterly NOF Value Added vs. Russell Mid Cap Value

Performance Comparison vs Peer Universe*

-10%

-5%

0%

5%

10%

15%

20%

25%

⊗1

1

1

⊗1

⊗1

⊗1

⊗ 1

Med75th

95th

25th 5th

⊗ Systematic 1 Russell Mid Ca MedianNumber of Funds

1 Quarter 2 Quarters 3 Quarters 1 Year 2 Years 3 Years 5 Years 10 Years

8.22 ( 8)5.50 (35)

5.04

42

14.63 ( 8)7.76 (57)

7.99

42

14.46 ( 8)9.24 (35)

8.76

42

16.10 (22)13.34 (45)

13.18

41

18.30 (32)16.62 (55)

17.00

41

10.01 (30)9.00 (58)

9.14

39

13.75 (50)14.68 (29)

13.75

24

10.3212

Five Year Risk/Return Analysis vs Peer Universe*

4.0 5.0 6.0 7.0 8.0 9.0 10.0 11.0 12.0 13.0 14.0 15.0 16.0

8.0

9.0

10.0

11.0

12.0

13.0

14.0

15.0

16.0

17.0

18.0

19.0

⊗1

Media

n

Ris

k

Median

Return

Description

Legend

Gross Fee Ret

Value Rank

Standard Deviation

Value Rank

Systematic

Russell Mid Cap Value

Median

⊗1

13.75

14.68

13.75

50

29

11.28

8.97

9.70

10

66

*TUCS Total Returns of Mid Cap Value Equity Portfolios Universe - Gross of Fees 53

Page 54: WILSHIRE ASSOCIATES - KRS Performance... · 2019. 7. 2. · ©2017 Wilshire Associates. 5 Wilshire Consulting U.S. EQUITY MARKET Data sources: Wilshire Compass, Wilshire Atlas AS

W i l s h i r e C o n s u l t i n g

INVESTMENT MANAGER ANALYSISInternal US Mid CapDecember 31, 2017

© 2018 Wilshire Associates Inc.

Cumulative Skill Analysis vs Benchmark

3/15 6/15 9/15 12/15 3/16 6/16 9/16 12/16 3/17 6/17 9/17 12/17

-0.50

-0.40

-0.30

-0.20

-0.10

-0.00

0.10

0.20

0.30

0.40

0.50

Quarterly NOF Value Added vs. S&P 400 Mid Cap 80% Confidence Band

Excess Return:

Excess Risk:

-0.06

0.13

Information Ratio:

T-Stat:

-0.50

-0.86

Value-Added Analysis vs Benchmark

12/14 6/15 12/15 6/16 12/16 6/17 12/17

-0.6%

-0.5%

-0.4%

-0.3%

-0.2%

-0.1%

-0.0%

0.1%

0.2%

-0.05-0.05-0.01

-0.07-0.07-0.05

0.03

-0.13

0.02

-0.02-0.01

0.02

0.14

Cumulative Value Added

Quarterly NOF Value Added vs. S&P 400 Mid Cap

Performance Comparison vs Peer Universe*

2%

4%

6%

8%

10%

12%

14%

16%

18%

20%

22%

24%

1

1

1

1

1

1

Med75th95th

25th 5th

Internal US Mi 1 S&P 400 Mid Ca MedianNumber of Funds

1 Quarter 2 Quarters 3 Quarters 1 Year 2 Years 3 Years 5 Years 10 Years

6.39 (20)6.25 (23)

5.61449

9.84 (31)9.68 (34)

9.28446

12.00 (30)11.84 (31)

10.60

440

16.39 (36)16.24 (36)

15.51

431

18.47 ( 9)18.47 ( 9)

15.53

378

11.07 (10)11.14 ( 8)

8.58344

13.47297

7.98206

Three Year Risk/Return Analysis vs Peer Universe*

4.0 5.0 6.0 7.0 8.0 9.0 10.0 11.0 12.0 13.0

4.0

5.0

6.0

7.0

8.0

9.0

10.0

11.0

12.0

13.0

14.0

1

Media

n

Ris

k

Median

Return

Description

Legend

Net Fee Ret

Value Rank

Standard Deviation

Value Rank

Internal US Mid Cap

S&P 400 Mid Cap

Median

1

11.07

11.14

8.58

10

8

8.32

8.28

8.33

51

52

*Lipper Total Returns of Mid Cap Core Mutual Funds Universe - Net of Fees 54

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W i l s h i r e C o n s u l t i n g

INVESTMENT MANAGER ANALYSISNTGI StructuredDecember 31, 2017

© 2018 Wilshire Associates Inc.

Cumulative Skill Analysis vs Benchmark

12/13 12/14 12/15 12/16 12/17

-4.00

-3.00

-2.00

-1.00

0.00

1.00

2.00

3.00

4.00

5.00

Quarterly NOF Value Added vs. Russell 2000 80% Confidence Band

Excess Return:

Excess Risk:

0.66

1.16

Information Ratio:

T-Stat:

0.56

1.26

Value-Added Analysis vs Benchmark

6/13 12/13 6/14 12/14 6/15 12/15 6/16 12/16 6/17 12/17

-2.5%

-2.0%

-1.5%

-1.0%

-0.5%

0.0%

0.5%

1.0%

1.5%

2.0%

2.5%

3.0%

3.5%

4.0%

4.5%

5.0%

-0.02-0.21

0.460.13

0.500.27

0.600.180.22

0.03

0.77

0.17

1.49

-0.14

-1.81

0.130.220.030.06

-0.01

Cumulative Value Added

Quarterly NOF Value Added vs. Russell 2000

Performance Comparison vs Peer Universe*

0%

2%

4%

6%

8%

10%

12%

14%

16%

18%

20%

22%

24%

26%

1

1

1

1

1

1

1

1

Med75th95th

25th

5th

NTGI Structure 1 Russell 2000 MedianNumber of Funds

1 Quarter 2 Quarters 3 Quarters 1 Year 2 Years 3 Years 5 Years 10 Years

3.36 (64)3.34 (65)

3.80

79

9.31 (47)9.20 (50)

9.20

79

12.08 (23)11.89 (31)

10.60

79

15.16 (21)14.65 (28)

12.64

79

18.14 (52)17.93 (56)

18.39

77

10.61 (45)9.96 (72)

10.17

72

15.00 (33)14.12 (61)

14.63

60

10.09 (50)8.71 (91)

10.16

29

Five Year Risk/Return Analysis vs Peer Universe*

8.0 9.0 10.0 11.0 12.0 13.0 14.0

9.0

10.0

11.0

12.0

13.0

14.0

15.0

16.0

17.0

18.0

19.0

20.0

1

Media

n

Ris

k

Median

Return

Description

Legend

Gross Fee Ret

Value Rank

Standard Deviation

Value Rank

NTGI Structured

Russell 2000

Median

1

15.00

14.12

14.63

33

61

11.21

11.74

10.95

40

18

*TUCS Total Returns of Small Neutral Equity Portfolios Universe - Gross of Fees 55

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W i l s h i r e C o n s u l t i n g

CUSTOM BENCHMARK SPECIFICATIONUS Equity CompositeDecember 31, 2017

© 2018 Wilshire Associates Inc.

Quarter Start

Quarter End

Percent

Description

Russell 3000

6/84

9/14

6/14

12/17

100.00

100.00

Blended US Equity Index

Russell 3000

56

Page 57: WILSHIRE ASSOCIATES - KRS Performance... · 2019. 7. 2. · ©2017 Wilshire Associates. 5 Wilshire Consulting U.S. EQUITY MARKET Data sources: Wilshire Compass, Wilshire Atlas AS

NON-US EQUITYNON-US EQUITY

Page 58: WILSHIRE ASSOCIATES - KRS Performance... · 2019. 7. 2. · ©2017 Wilshire Associates. 5 Wilshire Consulting U.S. EQUITY MARKET Data sources: Wilshire Compass, Wilshire Atlas AS

W i l s h i r e C o n s u l t i n g

MANAGER ALLOCATIONNon-US Equity CompositeAs of December 31, 2017

© 2018 Wilshire Associates Inc.

American Century$371,182,804 12.21%

Boston Company$759,171 0.02%

Lazard Asset Mgmt$518,137,842 17.05%

Pyramis Intl$2,186,153 0.07%

NTGI Int’l Small Cap$159,153,883 5.24%

BlackRock ACWI Ex US$1,234,337,408 40.62%

LSV Asset Mgmt$477,974,856 15.73%

Non-US Equity Transition$2,596,702 0.09%

Franklin Templeton$272,493,829 8.97%

58

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W i l s h i r e C o n s u l t i n g

PERFORMANCE COMPARISONNon-US Equity CompositePeriods Ended December 31, 2017

© 2018 Wilshire Associates Inc.

0%

5%

10%

15%

20%

25%

30%

35%

40%

1

1

1

1

1

11

1

Med75th95th

25th 5th

Non-US Equity Composite 1 Policy Index 5th %tile25th %tileMedian75th %tile95th %tileNumber of Funds

1 Quarter 2 Quarters 3 Quarters 1 Year 2 Years 3 Years 5 Years 10 Years

5.58 (23)5.23 (35)

7.875.495.034.103.29115

12.75 (20)11.91 (39)

14.5312.4911.5610.268.28114

19.95 (28)18.69 (48)

23.9720.1018.6516.9414.63

112

29.53 (38)28.30 (53)

36.1331.0528.6425.8421.21

111

16.18 (38)16.02 (41)

20.3517.3715.6613.8710.53

109

9.35 (51)8.44 (69)

12.0310.649.358.336.36100

8.30 (46)7.35 (73)

14.398.988.267.304.85

95

2.96 (41)2.48 (65)

6.123.712.752.311.22

74

*TUCS Total Ret of Non-US Equity Investment Pools Universe - Gross of Fees 59

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W i l s h i r e C o n s u l t i n g

PERFORMANCE COMPARISONTrailing ReturnsPeriods Ended December 31, 2017

© 2018 Wilshire Associates Inc.

Quarter 2 Quarters 3 Quarters 1 Year 3 Years 5 Years 10 Years Incept Date Incept Ret

BlackRock ACWI Ex US

Net of Fee Return

MSCI ACWI X US (N)

Value Added

American Century

Net of Fee Return

Policy Index

Value Added

Franklin Templeton

Net of Fee Return

Policy Index

Value Added

Lazard Asset Mgmt

Net of Fee Return

Policy Index

Value Added

LSV Asset Mgmt

Net of Fee Return

Policy Index

Value Added

NTGI Int’l Small Cap

Net of Fee Return

MSCI ACWI X US Small Cap (N)

Value Added

5.04

5.00

0.03

5.33

5.23

0.11

5.86

5.23

0.63

6.62

5.23

1.39

5.46

5.23

0.24

6.35

6.56

-0.22

11.55

11.47

0.07

16.73

11.80

4.93

16.77

11.80

4.97

12.59

11.80

0.78

10.12

11.80

-1.68

13.72

13.91

-0.20

18.11

17.92

0.19

26.31

18.50

7.80

23.68

18.50

5.18

20.69

18.50

2.19

15.95

18.50

-2.56

20.49

21.02

-0.52

27.60

27.19

0.41

34.70

27.96

6.74

38.38

27.96

10.42

28.31

27.96

0.35

25.60

27.96

-2.36

31.30

31.64

-0.34

8.15

7.83

0.32

8.53

8.38

0.14

12.29

8.38

3.91

8.57

8.38

0.18

8.14

8.38

-0.24

12.04

11.96

0.08

7.05

6.80

0.24

10.32

10.03

0.29

6/30/09

6/30/09

6/30/09

6/30/14

6/30/14

6/30/14

6/30/14

6/30/14

6/30/14

6/30/14

6/30/14

6/30/14

6/30/14

6/30/14

6/30/14

12/31/08

12/31/08

12/31/08

8.29

8.06

0.22

5.36

4.36

1.00

8.06

4.36

3.71

5.23

4.36

0.87

4.46

4.36

0.10

13.40

13.70

-0.31

60

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W i l s h i r e C o n s u l t i n g

PERFORMANCE COMPARISONTrailing ReturnsPeriods Ended December 31, 2017

© 2018 Wilshire Associates Inc.

Quarter 2 Quarters 3 Quarters 1 Year 3 Years 5 Years 10 Years Incept Date Incept Ret

Non-US Equity Composite

Net of Fee Return

Policy Index

Value Added

5.53

5.23

0.31

12.62

11.91

0.71

19.69

18.69

1.00

29.24

28.30

0.94

9.09

8.44

0.65

8.05

7.35

0.70

3.02

2.48

0.53

6/30/00

6/30/00

6/30/00

3.61

3.86

-0.25

61

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W i l s h i r e C o n s u l t i n g

INVESTMENT MANAGER ANALYSISBlackRock ACWI Ex USDecember 31, 2017

© 2018 Wilshire Associates Inc.

Cumulative Skill Analysis vs Benchmark

12/13 12/14 12/15 12/16 12/17

-0.50

-0.40

-0.30

-0.20

-0.10

-0.00

0.10

0.20

0.30

0.40

0.50

0.60

Quarterly NOF Value Added vs. MSCI ACWI X US (N) 80% Confidence Band

Excess Return:

Excess Risk:

0.23

0.15

Information Ratio:

T-Stat:

1.54

3.45

Value-Added Analysis vs Benchmark

6/13 12/13 6/14 12/14 6/15 12/15 6/16 12/16 6/17 12/17

-0.3%

-0.2%

-0.1%

0.0%

0.1%

0.2%

0.3%

0.4%

0.5%

0.6%

0.7%

0.8%

0.9%

1.0%

1.1%

1.2%

1.3%

0.01

0.18

-0.13

0.15

0.030.02

-0.04

0.010.06

0.110.07

0.010.09

0.16

0.040.02

0.170.10

0.040.03

Cumulative Value Added

Quarterly NOF Value Added vs. MSCI ACWI X US (N)

Performance Comparison vs Peer Universe*

-5%

0%

5%

10%

15%

20%

25%

30%

35%

40%

45%

50%

1

1

1

1

1

1 1 Med75th95th

25th 5th

BlackRock ACWI 1 MSCI ACWI X US MedianNumber of Funds

1 Quarter 2 Quarters 3 Quarters 1 Year 2 Years 3 Years 5 Years 10 Years

5.04 (48)5.00 (48)

4.912496

11.55 (50)11.47 (51)

11.592455

18.11 (53)17.92 (54)

18.492401

27.60 (57)27.19 (59)

29.092354

15.65 (47)15.29 (50)

15.362165

8.15 (54)7.83 (60)

8.40

1888

7.05 (49)6.80 (54)

7.00

1512

2.12885

Five Year Risk/Return Analysis vs Peer Universe*

2.0 4.0 6.0 8.0 10.0 12.0 14.0 16.0 18.0 20.0 22.0

-2.0

0.0

2.0

4.0

6.0

8.0

10.0

12.0

14.0

16.0

1

Media

n

Ris

k

Median

Return

Description

Legend

Net Fee Ret

Value Rank

Standard Deviation

Value Rank

BlackRock ACWI Ex US

MSCI ACWI X US (N)

Median

1

7.05

6.80

7.00

49

54

10.52

10.54

11.79

73

73

*Lipper Total Returns of International Equity Mutual Funds Universe - Net of Fees 62

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W i l s h i r e C o n s u l t i n g

INVESTMENT MANAGER ANALYSISAmerican CenturyDecember 31, 2017

© 2018 Wilshire Associates Inc.

Cumulative Skill Analysis vs Benchmark

3/15 6/15 9/15 12/15 3/16 6/16 9/16 12/16 3/17 6/17 9/17 12/17

-20.00

-15.00

-10.00

-5.00

0.00

5.00

10.00

15.00

20.00

Quarterly NOF Value Added vs. Policy Index 80% Confidence Band

Excess Return:

Excess Risk:

0.13

5.24

Information Ratio:

T-Stat:

0.03

0.04

Value-Added Analysis vs Benchmark

12/14 6/15 12/15 6/16 12/16 6/17 12/17

-5.0%

-4.0%

-3.0%

-2.0%

-1.0%

0.0%

1.0%

2.0%

3.0%

4.0%

5.0%

6.0%

7.0%

8.0%

1.96

0.880.45

-1.49

2.23

3.23

-2.67-2.63

0.55

-4.22

-1.34

2.21

4.57

0.11

Cumulative Value Added

Quarterly NOF Value Added vs. Policy Index

Performance Comparison vs Peer Universe*

-5%

0%

5%

10%

15%

20%

25%

30%

35%

40%

1

1

1

1

1

1 Med75th95th

25th 5th

American Centu 1 Policy Index MedianNumber of Funds

1 Quarter 2 Quarters 3 Quarters 1 Year 2 Years 3 Years 5 Years 10 Years

5.43 (33)5.23 (37)

4.76414

16.97 ( 6)11.80 (36)

10.95

408

26.64 ( 5)18.50 (39)

17.54

400

35.25 (11)27.96 (38)

27.01

393

14.04 (58)15.92 (39)

15.06

376

8.96 (48)8.38 (61)

8.86355

8.99309

3.62161

Three Year Risk/Return Analysis vs Peer Universe*

0.0 4.0 8.0 12.0 16.0 20.0

-10.0

-5.0

0.0

5.0

10.0

15.0

20.0

25.0

1

Media

n

Ris

k

Median

Return

Description

Legend

Gross Fee Ret

Value Rank

Standard Deviation

Value Rank

American Century

Policy Index

Median

1

8.96

8.38

8.86

48

61

12.89

10.96

10.37

15

37

*TUCS Total Returns of Intl Equity Portfolios - Non-US Equity Universe - Gross of Fees 63

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W i l s h i r e C o n s u l t i n g

INVESTMENT MANAGER ANALYSISFranklin TempletonDecember 31, 2017

© 2018 Wilshire Associates Inc.

Cumulative Skill Analysis vs Benchmark

3/15 6/15 9/15 12/15 3/16 6/16 9/16 12/16 3/17 6/17 9/17 12/17

-14.00

-12.00

-10.00

-8.00

-6.00

-4.00

-2.00

0.00

2.00

4.00

6.00

8.00

10.00

12.00

14.00

16.00

Quarterly NOF Value Added vs. Policy Index 80% Confidence Band

Excess Return:

Excess Risk:

3.61

4.07

Information Ratio:

T-Stat:

0.89

1.53

Value-Added Analysis vs Benchmark

12/14 6/15 12/15 6/16 12/16 6/17 12/17

-6.0%

-4.0%

-2.0%

0.0%

2.0%

4.0%

6.0%

8.0%

10.0%

12.0%

14.0%

16.0%

-1.69

3.30

0.500.992.04

2.76

0.77

-1.76

0.64

-3.08

3.90

-0.07

4.06

0.63

Cumulative Value Added

Quarterly NOF Value Added vs. Policy Index

Performance Comparison vs Peer Universe*

-5%

0%

5%

10%

15%

20%

25%

30%

35%

40%

1

1

1

1

1

1 Med75th95th

25th 5th

Franklin Templ 1 Policy Index MedianNumber of Funds

1 Quarter 2 Quarters 3 Quarters 1 Year 2 Years 3 Years 5 Years 10 Years

5.96 (20)5.23 (37)

4.76414

17.00 ( 6)11.80 (36)

10.95

408

24.35 ( 9)18.50 (39)

17.54

400

38.92 ( 5)27.96 (38)

27.01

393

18.90 (18)15.92 (39)

15.06

376

12.75 ( 9)8.38 (61)

8.86355

8.99309

3.62161

Three Year Risk/Return Analysis vs Peer Universe*

0.0 4.0 8.0 12.0 16.0 20.0

-10.0

-5.0

0.0

5.0

10.0

15.0

20.0

25.0

1

Media

n

Ris

k

Median

Return

Description

Legend

Gross Fee Ret

Value Rank

Standard Deviation

Value Rank

Franklin Templeton

Policy Index

Median

1

12.75

8.38

8.86

9

61

12.58

10.96

10.37

18

37

*TUCS Total Returns of Intl Equity Portfolios - Non-US Equity Universe - Gross of Fees 64

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W i l s h i r e C o n s u l t i n g

INVESTMENT MANAGER ANALYSISLazard Asset MgmtDecember 31, 2017

© 2018 Wilshire Associates Inc.

Cumulative Skill Analysis vs Benchmark

3/15 6/15 9/15 12/15 3/16 6/16 9/16 12/16 3/17 6/17 9/17 12/17

-10.00

-8.00

-6.00

-4.00

-2.00

0.00

2.00

4.00

6.00

8.00

10.00

12.00

Quarterly NOF Value Added vs. Policy Index 80% Confidence Band

Excess Return:

Excess Risk:

0.17

2.96

Information Ratio:

T-Stat:

0.06

0.10

Value-Added Analysis vs Benchmark

12/14 6/15 12/15 6/16 12/16 6/17 12/17

-3.0%

-2.0%

-1.0%

0.0%

1.0%

2.0%

3.0%

4.0%

5.0%

6.0%

7.0%

8.0%

-0.11

2.45

0.56

1.921.33

0.860.29

-0.03

-2.37-2.5

-1.67

1.21

-0.65

1.39

Cumulative Value Added

Quarterly NOF Value Added vs. Policy Index

Performance Comparison vs Peer Universe*

-5%

0%

5%

10%

15%

20%

25%

30%

35%

40%

1

1

1

1

1

1 Med75th95th

25th 5th

Lazard Asset M 1 Policy Index MedianNumber of Funds

1 Quarter 2 Quarters 3 Quarters 1 Year 2 Years 3 Years 5 Years 10 Years

6.68 (14)5.23 (37)

4.76414

12.73 (27)11.80 (36)

10.95

408

20.93 (22)18.50 (39)

17.54

400

28.63 (35)27.96 (38)

27.01

393

13.76 (63)15.92 (39)

15.06

376

8.83 (51)8.38 (61)

8.86355

8.99309

3.62161

Three Year Risk/Return Analysis vs Peer Universe*

0.0 4.0 8.0 12.0 16.0 20.0

-10.0

-5.0

0.0

5.0

10.0

15.0

20.0

25.0

1

Media

n

Ris

k

Median

Return

Description

Legend

Gross Fee Ret

Value Rank

Standard Deviation

Value Rank

Lazard Asset Mgmt

Policy Index

Median

1

8.83

8.38

8.86

51

61

10.46

10.96

10.37

47

37

*TUCS Total Returns of Intl Equity Portfolios - Non-US Equity Universe - Gross of Fees 65

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W i l s h i r e C o n s u l t i n g

INVESTMENT MANAGER ANALYSISLSV Asset MgmtDecember 31, 2017

© 2018 Wilshire Associates Inc.

Cumulative Skill Analysis vs Benchmark

3/15 6/15 9/15 12/15 3/16 6/16 9/16 12/16 3/17 6/17 9/17 12/17

-12.00

-10.00

-8.00

-6.00

-4.00

-2.00

0.00

2.00

4.00

6.00

8.00

10.00

12.00

14.00

Quarterly NOF Value Added vs. Policy Index 80% Confidence Band

Excess Return:

Excess Risk:

-0.22

3.48

Information Ratio:

T-Stat:

-0.06

-0.11

Value-Added Analysis vs Benchmark

12/14 6/15 12/15 6/16 12/16 6/17 12/17

-3.5%

-3.0%

-2.5%

-2.0%

-1.5%

-1.0%

-0.5%

0.0%

0.5%

1.0%

1.5%

2.0%

2.5%

3.0%

3.5%

-0.87

1.88

-0.08

0.55

1.23

-2.66

-0.3

-2.7

2.05

3.10

0.34

-0.7

-1.83

0.24

Cumulative Value Added

Quarterly NOF Value Added vs. Policy Index

Performance Comparison vs Peer Universe*

-5%

0%

5%

10%

15%

20%

25%

30%

35%

40%

⊕ 1

⊕ 1

⊕ 1

⊕ 1

⊕ 1

⊕ 1 Med75th95th

25th 5th

⊕ LSV Asset Mgmt 1 Policy Index MedianNumber of Funds

1 Quarter 2 Quarters 3 Quarters 1 Year 2 Years 3 Years 5 Years 10 Years

5.62 (27)5.23 (37)

4.76414

10.47 (55)11.80 (36)

10.95

408

16.60 (63)18.50 (39)

17.54

400

26.37 (54)27.96 (38)

27.01

393

16.64 (32)15.92 (39)

15.06

376

8.76 (53)8.38 (61)

8.86355

8.99309

3.62161

Three Year Risk/Return Analysis vs Peer Universe*

0.0 4.0 8.0 12.0 16.0 20.0

-10.0

-5.0

0.0

5.0

10.0

15.0

20.0

25.0

⊕1

Media

n

Ris

k

Median

Return

Description

Legend

Gross Fee Ret

Value Rank

Standard Deviation

Value Rank

LSV Asset Mgmt

Policy Index

Median

⊕1

8.76

8.38

8.86

53

61

10.80

10.96

10.37

40

37

*TUCS Total Returns of Intl Equity Portfolios - Non-US Equity Universe - Gross of Fees 66

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W i l s h i r e C o n s u l t i n g

INVESTMENT MANAGER ANALYSISNTGI Int’l Small CapDecember 31, 2017

© 2018 Wilshire Associates Inc.

Cumulative Skill Analysis vs Benchmark

12/13 12/14 12/15 12/16 12/17

-2.00

-1.50

-1.00

-0.50

0.00

0.50

1.00

1.50

2.00

Quarterly NOF Value Added vs. MSCI ACWI X US Small Cap (N) 80% Confidence Band

Excess Return:

Excess Risk:

0.27

0.42

Information Ratio:

T-Stat:

0.63

1.42

Value-Added Analysis vs Benchmark

6/13 12/13 6/14 12/14 6/15 12/15 6/16 12/16 6/17 12/17

-0.4%

-0.2%

0.0%

0.2%

0.4%

0.6%

0.8%

1.0%

1.2%

1.4%

1.6%

1.8%

2.0%

-0.01

0.78

-0.02

0.05

-0.1

0.170.04

0.170.080.090.08

0.01

-0.05

0.130.01

0.120.19

-0.28

0.03

-0.22

Cumulative Value Added

Quarterly NOF Value Added vs. MSCI ACWI X US Small Cap (N)

Performance Comparison vs Peer Universe*

0%

5%

10%

15%

20%

25%

30%

35%

40%

⊗ 1

⊗ 1

⊗ 1

⊗ 1

⊗ 1

⊗ 1 ⊗ 1

Med75th95th

25th 5th

⊗ NTGI Int’l Sma 1 MSCI ACWI X US MedianNumber of Funds

1 Quarter 2 Quarters 3 Quarters 1 Year 2 Years 3 Years 5 Years 10 Years

6.35 (11)6.56 ( 8)

5.37

90

13.72 (25)13.91 (20)

12.51

89

20.49 (62)21.02 (52)

21.17

89

31.30 (57)31.64 (55)

32.15

88

16.93 (31)16.96 (31)

16.14

78

12.04 (29)11.96 (29)

10.66

66

10.32 (39)10.03 (42)

9.63

57

4.3435

Five Year Risk/Return Analysis vs Peer Universe*

7.0 8.0 9.0 10.0 11.0 12.0 13.0 14.0 15.0 16.0

4.0

5.0

6.0

7.0

8.0

9.0

10.0

11.0

12.0

13.0

14.0

15.0

16.0

⊗ 1

Media

n

Ris

k

Median

Return

Description

Legend

Net Fee Ret

Value Rank

Standard Deviation

Value Rank

NTGI Int’l Small Cap

MSCI ACWI X US Small Cap (N)

Median

⊗1

10.32

10.03

9.63

39

42

11.41

11.57

11.83

82

67

*Lipper Total Returns of Intl Equity Small/Mid Core Mutual Funds Universe - Net of Fees 67

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W i l s h i r e C o n s u l t i n g

CUSTOM BENCHMARK SPECIFICATIONNon-US Equity CompositeDecember 31, 2017

© 2018 Wilshire Associates Inc.

Quarter Start

Quarter End

Percent

Description

Policy Index

9/00

9/17

12/17

6/17

9/17

12/17

100.00

100.00

100.00

Blended Non-US Benchmark

MSCI ACWI Ex USA IMI Index ($G)

MSCI ACWI Ex USA IMI ($N)

68

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FIXED INCOME FIXED INCOME

Page 70: WILSHIRE ASSOCIATES - KRS Performance... · 2019. 7. 2. · ©2017 Wilshire Associates. 5 Wilshire Consulting U.S. EQUITY MARKET Data sources: Wilshire Compass, Wilshire Atlas AS

W i l s h i r e C o n s u l t i n g

MANAGER ALLOCATIONFixed Income CompositeAs of December 31, 2017

© 2018 Wilshire Associates Inc.

Manulife Asset Mgmt$414,356,615 17.27%

Columbia$256,430,295 10.69%

Loomis$53,114 0.00%

Waterfall$160,318,521 6.68%

BNY IG Credit$199,588,413 8.32%

PIMCO$341,043 0.01%

NISA$296,867,075 12.37%

BlackRock IG Credit$501,398,925 20.90%

Shenkman Capital$179,471,594 7.48%

Marathon Bluegrass$308,426,140 12.85%

Cerberus Capital Mgmt$82,325,973 3.43%

70

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W i l s h i r e C o n s u l t i n g

PERFORMANCE COMPARISONFixed Income CompositePeriods Ended December 31, 2017

© 2018 Wilshire Associates Inc.

-1%

0%

1%

2%

3%

4%

5%

6%

7%

8%

9%

10%

11%

12%

13%

1

1

1

1

1

1

1

1

Med75th95th

25th

5th

Fixed Income Composite 1 Policy Index 5th %tile25th %tileMedian75th %tile95th %tileNumber of Funds

1 Quarter 2 Quarters 3 Quarters 1 Year 2 Years 3 Years 5 Years 10 Years

0.47 (58)0.44 (63)

3.411.090.530.250.01137

1.66 (52)1.94 (45)

5.452.711.721.160.43127

3.48 (47)3.82 (43)

10.535.023.312.561.11124

5.36 (43)5.79 (38)

11.967.104.543.572.03115

7.33 (20)8.06 (15)

11.237.034.653.441.51111

5.14 (15)5.45 (10)

6.464.192.942.331.11106

4.31 (17)4.08 (19)

5.493.772.732.221.26

94

5.32 (33)5.10 (41)

8.545.534.914.083.02

61

*TUCS Total Ret of Fixed Income Investment Pools Universe - Gross of Fees 71

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W i l s h i r e C o n s u l t i n g

PERFORMANCE COMPARISONTrailing ReturnsPeriods Ended December 31, 2017

© 2018 Wilshire Associates Inc.

Quarter 2 Quarters 3 Quarters 1 Year 3 Years 5 Years 10 Years Incept Date Incept Ret

NISA

Net of Fee Return

Bloomberg Aggregate

Value Added

BlackRock IG Credit

Net of Fee Return

Bloomberg Int Credit

Value Added

Columbia

Net of Fee Return

Bloomberg High Yield

Value Added

Marathon Bluegrass

Net of Fee Return

Bloomberg High Yield

Value Added

0.47

0.39

0.08

0.11

0.11

0.00

0.20

0.47

-0.27

0.80

0.47

0.33

1.42

1.24

0.18

1.12

1.10

0.02

2.32

2.45

-0.13

-0.06

2.45

-2.51

2.97

2.70

0.27

2.29

2.50

-0.20

4.83

4.68

0.15

0.42

4.68

-4.26

3.81

3.54

0.27

7.10

7.50

-0.40

1.06

7.50

-6.44

2.58

2.24

0.34

6.05

6.35

-0.30

2.33

2.10

0.23

5.79

5.78

0.02

3/31/09

3/31/09

3/31/09

3/31/17

3/31/17

3/31/17

12/31/11

12/31/11

12/31/11

12/31/15

12/31/15

12/31/15

4.15

3.97

0.18

2.29

2.50

-0.20

7.43

7.39

0.04

8.45

12.21

-3.76

72

Manulife Asset Mgmt

Net of Fee Return

Policy Index

Value Added

0.24

0.41

-0.17

1.26

1.42

-0.16

2.90

2.96

-0.06

4.39

4.09

0.30

3.13

1.51

1.62

2.98

0.55

2.43

12/31/11

12/31/11

12/31/11

4.40

1.26

3.15

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W i l s h i r e C o n s u l t i n g

PERFORMANCE COMPARISONTrailing ReturnsPeriods Ended December 31, 2017

© 2018 Wilshire Associates Inc.

Quarter 2 Quarters 3 Quarters 1 Year 3 Years 5 Years 10 Years Incept Date Incept Ret

Shenkman Capital

Net of Fee Return

S&P LSTA Leverage Loan

Value Added

Cerberus Capital Mgmt

Net of Fee Return

S&P LSTA Leverage Loan

Value Added

Waterfall

Net of Fee Return

Policy Index

Value Added

Fixed Income Composite

Net of Fee Return

Policy Index

Value Added

Bloomberg Global Aggregate

0.71

1.12

-0.41

1.06

1.12

-0.06

1.72

0.67

1.05

0.44

0.44

0.01

1.08

1.16

2.17

-1.01

2.33

2.17

0.16

5.67

2.19

3.48

1.52

1.94

-0.42

2.86

2.22

2.95

-0.72

4.92

2.95

1.97

9.72

3.85

5.86

3.20

3.82

-0.62

5.54

3.06

4.12

-1.07

7.44

4.12

3.32

14.47

6.03

8.44

4.85

5.79

-0.94

7.39

3.72

4.44

-0.71

8.45

4.44

4.01

9.06

4.67

4.39

4.54

5.45

-0.91

2.02

3.69

4.54

-0.85

10.14

4.24

5.89

3.78

4.08

-0.30

0.79

5.07

5.10

-0.04

3.09

9/30/10

9/30/10

9/30/10

9/30/14

9/30/14

9/30/14

3/31/10

3/31/10

3/31/10

3/31/84

3/31/84

3/31/84

4.73

5.76

-1.04

8.16

3.93

4.23

11.94

5.29

6.66

7.62

7.46

0.16

73

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W i l s h i r e C o n s u l t i n g

INVESTMENT MANAGER ANALYSISNISADecember 31, 2017

© 2018 Wilshire Associates Inc.

Cumulative Skill Analysis vs Benchmark

12/13 12/14 12/15 12/16 12/17

-0.60

-0.50

-0.40

-0.30

-0.20

-0.10

-0.00

0.10

0.20

0.30

0.40

0.50

0.60

Quarterly NOF Value Added vs. Bloomberg Aggregate 80% Confidence Band

Excess Return:

Excess Risk:

0.22

0.16

Information Ratio:

T-Stat:

1.43

3.19

Value-Added Analysis vs Benchmark

6/13 12/13 6/14 12/14 6/15 12/15 6/16 12/16 6/17 12/17

-0.3%

-0.2%

-0.1%

-0.0%

0.1%

0.2%

0.3%

0.4%

0.5%

0.6%

0.7%

0.8%

0.9%

1.0%

1.1%

1.2%

0.02

-0.09-0.06-0.03

0.110.040.070.07

0.030.020.08

0.200.26

0.080.030.06

0.000.080.100.08

Cumulative Value Added

Quarterly NOF Value Added vs. Bloomberg Aggregate

Performance Comparison vs Peer Universe*

0%

1%

2%

3%

4%

5%

6%

7%

8%

9%

10%

11%

12%

∞1

∞1

∞1

∞1 ∞

1 ∞1 ∞

1

Med75th95th

25th

5th

∞ NISA 1 Bloomberg Aggr

MedianNumber of Funds

1 Quarter 2 Quarters 3 Quarters 1 Year 2 Years 3 Years 5 Years 10 Years

0.50 (59)0.39 (79)

0.5474

1.50 (56)1.24 (83)

1.5873

3.09 (55)2.70 (82)

3.1670

3.97 (58)3.54 (86)

4.2970

3.66 (60)3.09 (82)

3.9369

2.75 (52)2.24 (84)

2.8168

2.50 (53)2.10 (79)

2.5953

4.6131

Five Year Risk/Return Analysis vs Peer Universe*

-6.0 -4.0 -2.0 0.0 2.0 4.0 6.0 8.0 10.0 12.0

-2.0

-1.0

0.0

1.0

2.0

3.0

4.0

5.0

6.0

7.0

∞1

Media

n

Ris

k

Median

Return

Description Legend

Gross Fee Ret

Value Rank

Standard Deviation

Value Rank

NISA

Bloomberg Aggregate

Median

∞1

2.50

2.10

2.59

53

79

3.17

3.08

3.32

59

71

*TUCS Total Returns of Fixed Income Portfolios - Core Universe - Gross of Fees 74

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W i l s h i r e C o n s u l t i n g

INVESTMENT MANAGER ANALYSISManulife Asset MgmtDecember 31, 2017

© 2018 Wilshire Associates Inc.

Cumulative Skill Analysis vs Benchmark

12/13 12/14 12/15 12/16 12/17

-20.00

-15.00

-10.00

-5.00

0.00

5.00

10.00

15.00

20.00

Quarterly NOF Value Added vs. Policy Index 80% Confidence Band

Excess Return:

Excess Risk:

2.41

3.04

Information Ratio:

T-Stat:

0.79

1.77

Value-Added Analysis vs Benchmark

6/13 12/13 6/14 12/14 6/15 12/15 6/16 12/16 6/17 12/17

-4.0%

-2.0%

0.0%

2.0%

4.0%

6.0%

8.0%

10.0%

12.0%

14.0%

3.83

0.38

-2.33

1.86

0.16

-0.88

2.351.70

3.63

-0.25-0.54

1.09

-0.4-0.54

0.07

1.350.350.100.01

-0.17

Cumulative Value Added

Quarterly NOF Value Added vs. Policy Index

Performance Comparison vs Peer Universe*

-2%

0%

2%

4%

6%

8%

10%

12%

14%

16%

18%

⊕ 1⊕ 1

⊕ 1

⊕1

⊕1 ⊕

1

1 Med75th95th

25th 5th

⊕ Manulife Asset 1 Policy Index

MedianNumber of Funds

1 Quarter 2 Quarters 3 Quarters 1 Year 2 Years 3 Years 5 Years 10 Years

0.30 (80)0.41 (78)

0.8755

1.39 (95)1.42 (95)

3.0355

3.18 (93)2.96 (95)

6.1755

4.73 (95)4.09 (95)

9.1355

4.72 (80)4.00 (93)

6.6255

3.42 (30)1.51 (91)

2.9655

3.29 (21)0.55 (80)

1.6254

4.1429

Five Year Risk/Return Analysis vs Peer Universe*

-2.0 0.0 2.0 4.0 6.0 8.0 10.0 12.0 14.0

-4.0

-3.0

-2.0

-1.0

0.0

1.0

2.0

3.0

4.0

5.0

6.0

7.0

8.0

1

Media

n

Ris

k

Median

Return

Description Legend

Gross Fee Ret

Value Rank

Standard Deviation

Value Rank

Manulife Asset Mgmt

Policy Index

Median

⊕1

3.29

0.55

1.62

21

80

2.74

4.01

6.07

97

89

*TUCS Total Returns of Global Fixed Portfolios - Unhedged Universe - Gross of Fees 75

Page 76: WILSHIRE ASSOCIATES - KRS Performance... · 2019. 7. 2. · ©2017 Wilshire Associates. 5 Wilshire Consulting U.S. EQUITY MARKET Data sources: Wilshire Compass, Wilshire Atlas AS

W i l s h i r e C o n s u l t i n g

INVESTMENT MANAGER ANALYSISBlackRock IG CreditDecember 31, 2017

© 2018 Wilshire Associates Inc.

Value-Added Analysis vs Benchmark

6/17 12/17

-0.4%

-0.3%

-0.2%

-0.1%

-0.0%

0.1%

-0.22

0.020.00

Cumulative Value Added

Quarterly NOF Value Added vs. Bloomberg Int Credit

Performance Comparison vs Peer Universe*

-0.5%

0.0%

0.5%

1.0%

1.5%

2.0%

2.5%

3.0%

3.5%

4.0%

4.5%

5.0%

5.5%

6.0%

6.5%

1

1

1

Med75th95th

25th

5th

BlackRock IG C 1 Bloomberg Int

MedianNumber of Funds

1 Quarter 2 Quarters 3 Quarters 1 Year 2 Years 3 Years 5 Years 10 Years

0.13 (42)0.11 (42)

0.05157

1.14 (36)1.10 (37)

0.77157

2.31 (39)2.50 (36)

1.83155

2.63154

2.44149

2.17142

1.97117

4.1159

*TUCS Total Returns of Fixed Income Portfolios - Intermediate Universe - Gross of Fees 76

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W i l s h i r e C o n s u l t i n g

INVESTMENT MANAGER ANALYSISColumbiaDecember 31, 2017

© 2018 Wilshire Associates Inc.

Cumulative Skill Analysis vs Benchmark

12/13 12/14 12/15 12/16 12/17

-8.00

-6.00

-4.00

-2.00

0.00

2.00

4.00

6.00

8.00

Quarterly NOF Value Added vs. Bloomberg High Yield 80% Confidence Band

Excess Return:

Excess Risk:

0.02

2.06

Information Ratio:

T-Stat:

0.01

0.02

Value-Added Analysis vs Benchmark

6/13 12/13 6/14 12/14 6/15 12/15 6/16 12/16 6/17 12/17

-4.0%

-3.0%

-2.0%

-1.0%

0.0%

1.0%

2.0%

3.0%

4.0%

5.0%

6.0%

-0.28-0.03-0.17

-0.49

0.15

-0.06

0.00

1.77

0.54

-0.14

1.762.07

-0.52

-2.64

-0.86-0.94-0.53

0.280.14

-0.27

Cumulative Value Added

Quarterly NOF Value Added vs. Bloomberg High Yield

Performance Comparison vs Peer Universe*

-2%

0%

2%

4%

6%

8%

10%

12%

14%

16%

1

1

1

1

1

11

Med75th95th

25th

5th

Columbia 1 Bloomberg High MedianNumber of Funds

1 Quarter 2 Quarters 3 Quarters 1 Year 2 Years 3 Years 5 Years 10 Years

0.29 (70)0.47 (59)

0.66116

2.44 (42)2.45 (41)

2.32116

5.11 (31)4.68 (50)

4.69116

7.49 (56)7.50 (55)

7.89115

9.73 (47)12.21 (17)

9.36112

6.43 (41)6.35 (41)

5.86103

6.20 (31)5.78 (38)

5.62

79

8.3031

Five Year Risk/Return Analysis vs Peer Universe*

0.0 1.0 2.0 3.0 4.0 5.0 6.0 7.0 8.0 9.0 10.0 11.0

0.0

1.0

2.0

3.0

4.0

5.0

6.0

7.0

8.0

9.0

10.0

11.0

12.0

1

Media

n

Ris

k

Median

Return

Description

Legend

Gross Fee Ret

Value Rank

Standard Deviation

Value Rank

Columbia

Bloomberg High Yield

Median

1

6.20

5.78

5.62

31

38

3.95

5.27

5.18

78

46

*TUCS Total Returns of Fixed Income Portfolios - High Yield Universe - Gross of Fees 77

Page 78: WILSHIRE ASSOCIATES - KRS Performance... · 2019. 7. 2. · ©2017 Wilshire Associates. 5 Wilshire Consulting U.S. EQUITY MARKET Data sources: Wilshire Compass, Wilshire Atlas AS

W i l s h i r e C o n s u l t i n g

INVESTMENT MANAGER ANALYSISMarathon BluegrassDecember 31, 2017

© 2018 Wilshire Associates Inc.

Value-Added Analysis vs Benchmark

6/16 12/16 6/17 12/17

-8.0%

-7.0%

-6.0%

-5.0%

-4.0%

-3.0%

-2.0%

-1.0%

0.0%

1.0%

2.0%

3.0%

4.0%

5.0%

6.0%

-3.35

-1.4

-0.43

4.57

-2.05-1.7

-2.83

0.33

Cumulative Value Added

Quarterly NOF Value Added vs. Bloomberg High Yield

Performance Comparison vs Peer Universe*

-2%

0%

2%

4%

6%

8%

10%

12%

14%

16%

⊗ 1 ⊗

1

1

1

⊗1

Med75th95th

25th

5th

⊗ Marathon Blueg 1 Bloomberg High MedianNumber of Funds

1 Quarter 2 Quarters 3 Quarters 1 Year 2 Years 3 Years 5 Years 10 Years

0.46 (59)0.47 (59)

0.66116

0.20 (98)2.45 (41)

2.32116

0.93 (99)4.68 (50)

4.69116

2.26 (99)7.50 (55)

7.89115

10.85 (35)12.21 (17)

9.36112

5.86103

5.6279

8.3031

*TUCS Total Returns of Fixed Income Portfolios - High Yield Universe - Gross of Fees 78

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W i l s h i r e C o n s u l t i n g

INVESTMENT MANAGER ANALYSISCerberus Capital MgmtDecember 31, 2017

© 2018 Wilshire Associates Inc.

Cumulative Skill Analysis vs Benchmark

3/15 6/15 9/15 12/15 3/16 6/16 9/16 12/16 3/17 6/17 9/17 12/17

-12.00

-10.00

-8.00

-6.00

-4.00

-2.00

0.00

2.00

4.00

6.00

8.00

10.00

12.00

Quarterly NOF Value Added vs. S&P LSTA Leverage Loan 80% Confidence Band

Excess Return:

Excess Risk:

3.84

3.30

Information Ratio:

T-Stat:

1.16

2.02

Value-Added Analysis vs Benchmark

12/14 6/15 12/15 6/16 12/16 6/17 12/17

-4.0%

-2.0%

0.0%

2.0%

4.0%

6.0%

8.0%

10.0%

12.0%

14.0%

16.0%

1.68

0.04

2.22

3.553.81

0.84

-0.77-1.52

0.02

1.261.77

0.21

-0.06

Cumulative Value Added

Quarterly NOF Value Added vs. S&P LSTA Leverage Loan

79

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W i l s h i r e C o n s u l t i n g

INVESTMENT MANAGER ANALYSISShenkman CapitalDecember 31, 2017

© 2018 Wilshire Associates Inc.

Cumulative Skill Analysis vs Benchmark

12/13 12/14 12/15 12/16 12/17

-3.50

-3.00

-2.50

-2.00

-1.50

-1.00

-0.50

0.00

0.50

1.00

1.50

2.00

2.50

3.00

3.50

Quarterly NOF Value Added vs. S&P LSTA Leverage Loan 80% Confidence Band

Excess Return:

Excess Risk:

-0.81

0.68

Information Ratio:

T-Stat:

-1.20

-2.67

Value-Added Analysis vs Benchmark

6/13 12/13 6/14 12/14 6/15 12/15 6/16 12/16 6/17 12/17

-4.5%

-4.0%

-3.5%

-3.0%

-2.5%

-2.0%

-1.5%

-1.0%

-0.5%

0.0%

0.5%

1.0%

-0.76

0.18

-0.31

0.16

-0.23-0.38

-0.14

-0.57

0.55

0.22

-0.22-0.44

-0.27-0.53

0.06

-0.38-0.33

0.29

-0.59-0.41

Cumulative Value Added

Quarterly NOF Value Added vs. S&P LSTA Leverage Loan

80

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W i l s h i r e C o n s u l t i n g

INVESTMENT MANAGER ANALYSISWaterfallDecember 31, 2017

© 2018 Wilshire Associates Inc.

Cumulative Skill Analysis vs Benchmark

12/13 12/14 12/15 12/16 12/17

-12.00

-10.00

-8.00

-6.00

-4.00

-2.00

0.00

2.00

4.00

6.00

8.00

10.00

12.00

Quarterly NOF Value Added vs. Policy Index 80% Confidence Band

Excess Return:

Excess Risk:

5.66

3.40

Information Ratio:

T-Stat:

1.66

3.72

Value-Added Analysis vs Benchmark

6/13 12/13 6/14 12/14 6/15 12/15 6/16 12/16 6/17 12/17

-10.0%

-5.0%

0.0%

5.0%

10.0%

15.0%

20.0%

25.0%

30.0%

35.0%

-0.49

3.661.672.46

1.161.11

3.832.04

-0.13

1.20

3.94

0.85

-3.14-0.76

0.392.322.232.212.37

1.05

Cumulative Value Added

Quarterly NOF Value Added vs. Policy Index

Performance Comparison vs Peer Universe*

-2%

0%

2%

4%

6%

8%

10%

12%

14%

16%

χ1

χ

1

χ

1

χ

1

χ

1

χ

1

χ

1

Med75th95th

25th

5th

χ Waterfall 1 Policy Index MedianNumber of Funds

1 Quarter 2 Quarters 3 Quarters 1 Year 2 Years 3 Years 5 Years 10 Years

1.86 (11)0.67 (49)

0.66116

5.94 ( 3)2.19 (55)

2.32116

10.13 ( 9)3.85 (77)

4.69116

15.06 ( 3)6.03 (78)

7.89115

12.73 (17)8.59 (58)

9.36112

9.94 ( 3)4.67 (81)

5.86103

11.48 ( 2)4.24 (91)

5.62

79

8.3031

Five Year Risk/Return Analysis vs Peer Universe*

0.0 1.0 2.0 3.0 4.0 5.0 6.0 7.0 8.0 9.0 10.0 11.0

-4.0

-2.0

0.0

2.0

4.0

6.0

8.0

10.0

12.0

14.0

16.0

χ

1

Media

n

Ris

k

Median

Return

Description

Legend

Gross Fee Ret

Value Rank

Standard Deviation

Value Rank

Waterfall

Policy Index

Median

χ1

11.48

4.24

5.62

2

91

3.28

3.40

5.18

90

87

*TUCS Total Returns of Fixed Income Portfolios - High Yield Universe - Gross of Fees 81

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W i l s h i r e C o n s u l t i n g

CUSTOM BENCHMARK SPECIFICATIONFixed Income CompositeDecember 31, 2017

© 2018 Wilshire Associates Inc.

Quarter Start

Quarter End

Percent

Description

Policy Index

Bloomberg Global Aggregate

6/84

9/17

6/84

6/17

12/17

12/17

100.00

50.00

50.00

100.00

Blended Fixed Benchmark

Bloomberg Universal

Bloomberg High Yield

Bloomberg Global Aggregate

82

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REAL RETURN REAL RETURN

Page 84: WILSHIRE ASSOCIATES - KRS Performance... · 2019. 7. 2. · ©2017 Wilshire Associates. 5 Wilshire Consulting U.S. EQUITY MARKET Data sources: Wilshire Compass, Wilshire Atlas AS

W i l s h i r e C o n s u l t i n g

MANAGER ALLOCATIONReal Return CompositeAs of December 31, 2017

© 2018 Wilshire Associates Inc.

Internal TIPS$225,840,830 21.56%

Nuveen Real Asset$221,706,756 21.16%

Amerra AGRI Fund II$24,799,571 2.37%

Amerra AGRI Holdings$47,795,473 4.56%

Magnetar MTP EOF II$23,568,416 2.25%

Oberland Capital$3,524,003 0.34%

TPF II$687,813 0.07%

Taurus Mine Finance$15,252,597 1.46%

Magnetar MTP$32,220,528 3.08%

BTG Pactual$18,141,643 1.73%

Tortoise Capital$75,506,633 7.21%

PIMCO All Asset$358,526,807 34.22%

84

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W i l s h i r e C o n s u l t i n g

PERFORMANCE COMPARISONTrailing ReturnsPeriods Ended December 31, 2017

© 2018 Wilshire Associates Inc.

Quarter 2 Quarters 3 Quarters 1 Year 3 Years 5 Years 10 Years Incept Date Incept Ret

Internal TIPS

Net of Fee Return

Bloomberg U.S. TIPS

Value Added

PIMCO All Asset

Net of Fee Return

Bloomberg 1-10 Yrs TIPS

Value Added

Tortoise Capital

Net of Fee Return

Alerian MLP

Value Added

Nuveen Real Asset

Net of Fee Return

Policy Index

Value Added

Amerra AGRI Fund II

Net of Fee Return

Amerra AGRI Holdings

Net of Fee Return

BTG Pactual

Net of Fee Return

0.33

1.26

-0.93

1.00

0.53

0.47

-0.66

-0.95

0.29

1.37

1.04

0.34

-2.02

-1.23

2.94

1.05

2.14

-1.09

4.28

1.24

3.04

-2.59

-3.97

1.38

3.92

3.03

0.89

-1.67

-2.73

0.38

0.66

1.73

-1.07

6.22

0.83

5.39

-7.97

-10.07

2.10

7.18

6.93

0.25

-0.60

-4.48

4.60

1.69

2.80

-1.11

14.21

1.90

12.31

-3.30

-6.52

3.22

12.42

12.59

-0.18

-0.18

-2.07

5.60

2.14

2.08

0.06

5.90

1.78

4.12

-6.43

-9.33

2.89

6.05

-9.92

0.10

-0.05

0.15

3.26

0.09

3.17

5.29

-0.06

5.36

5.33

3.52

3.44

0.09

6/30/02

6/30/02

6/30/02

12/31/11

12/31/11

12/31/11

9/30/09

9/30/09

9/30/09

3/31/15

3/31/15

3/31/15

12/31/12

9/30/15

12/31/14

4.84

4.78

0.06

5.87

0.90

4.97

12.25

7.98

4.27

6.18

6.18

-0.00

5.33

-0.76

-9.92

85

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W i l s h i r e C o n s u l t i n g

PERFORMANCE COMPARISONTrailing ReturnsPeriods Ended December 31, 2017

© 2018 Wilshire Associates Inc.

Quarter 2 Quarters 3 Quarters 1 Year 3 Years 5 Years 10 Years Incept Date Incept Ret

Magnetar MTP EOF II

Net of Fee Return

Oberland Capital

Net of Fee Return

Taurus Mine Finance

Net of Fee Return

TPF II

Net of Fee Return

Real Return Composite

Net of Fee Return

Real Return Index (P)

Value Added

5.03

8.17

-1.53

-0.22

0.77

0.70

0.07

0.86

38.40

0.24

0.19

2.31

1.13

1.17

4.68

45.35

2.55

3.30

2.95

1.02

1.93

5.45

50.60

8.88

3.30

8.01

3.61

4.40

18.82

-2.53

3.91

2.14

1.77

-5.19

2.06

2.34

-0.28

9/30/15

9/30/14

3/31/15

9/30/08

6/30/11

6/30/11

6/30/11

0.66

16.09

14.04

-3.74

4.05

2.78

1.27

86

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W i l s h i r e C o n s u l t i n g

CUSTOM BENCHMARK SPECIFICATIONReal Return CompositeDecember 31, 2017

© 2018 Wilshire Associates Inc.

Quarter Start

Quarter End

Percent

Description

Real Return Index (P)

9/11

12/17

100.00

Real Return Index (P)

87

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REAL ESTATE REAL ESTATE

Page 89: WILSHIRE ASSOCIATES - KRS Performance... · 2019. 7. 2. · ©2017 Wilshire Associates. 5 Wilshire Consulting U.S. EQUITY MARKET Data sources: Wilshire Compass, Wilshire Atlas AS

W i l s h i r e C o n s u l t i n g

MANAGER ALLOCATIONReal Estate CompositeAs of December 31, 2017

© 2018 Wilshire Associates Inc.

Divcowest IV$5,745,747 1.02%

Greenfield Acq VI$9,479,904 1.69%

Lubert Adler VII$34,912,779 6.21%

Mesa West Core Lend$58,438,895 10.40%

Stockbridge Sm/Mkts$83,327,257 14.83%

Walton St RE VI$14,744,878 2.62%

Lubert Adler VII B$9,308,571 1.66%

Mesa West IV$11,134,100 1.98%

Patron Capital$9,432,760 1.68%

Fundamental Partners III$29,256,562 5.21%

Walton St RE VII$24,096,675 4.29%

Rubenstein PF II$15,817,528 2.81%

Prologis Targeted US$69,195,304 12.31%

Harrison Street$78,229,637 13.92%

H/2 Credit Partner$84,524,878 15.04%

Greenfield Acq VII$24,391,134 4.34%

89

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W i l s h i r e C o n s u l t i n g

PERFORMANCE COMPARISONTrailing ReturnsPeriods Ended December 31, 2017

© 2018 Wilshire Associates Inc.

Quarter 2 Quarters 3 Quarters 1 Year 3 Years 5 Years 10 Years Incept Date Incept Ret

Divcowest IV

Net of Fee Return

Greenfield Acq VI

Net of Fee Return

Greenfield Acq VII

Net of Fee Return

H/2 Credit Partner

Net of Fee Return

Harrison Street

Net of Fee Return

Lubert Adler VII

Net of Fee Return

Mesa West Core Lend

Net of Fee Return

Prologis Targeted US

Net of Fee Return

Rubenstein PF II

Net of Fee Return

Stockbridge Sm/Mkts

Net of Fee Return

0.20

1.26

0.81

0.14

2.81

4.31

1.63

6.23

5.44

1.67

-0.62

5.64

8.46

2.74

5.25

6.07

3.33

9.85

8.34

3.82

9.36

5.58

9.06

4.82

7.83

7.38

5.23

14.27

12.33

5.62

16.06

10.73

14.91

7.89

10.29

9.19

7.25

20.61

13.59

8.35

27.39

9.90

14.32

6.39

10.00

4.28

7.67

16.20

8.57

10.05

11.50

6.05

9.96

3/31/14

12/31/12

6/30/14

6/30/11

6/30/12

6/30/14

6/30/13

9/30/14

6/30/13

6/30/14

22.83

11.50

11.45

6.48

9.11

-3.94

6.81

14.87

13.74

9.97

90

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W i l s h i r e C o n s u l t i n g

PERFORMANCE COMPARISONTrailing ReturnsPeriods Ended December 31, 2017

© 2018 Wilshire Associates Inc.

Quarter 2 Quarters 3 Quarters 1 Year 3 Years 5 Years 10 Years Incept Date Incept Ret

Walton St RE VI

Net of Fee Return

Walton St RE VII

Net of Fee Return

Fundamental Partners III

Net of Fee Return

Lubert Adler VII B

Net of Fee Return

Mesa West IV

Net of Fee Return

Patron Capital

Net of Fee Return

Real Estate Composite

Net of Fee Return

NCREIF ODCE NOF 1 Quarter Lag

Value Added

2.57

2.12

1.91

-4.11

1.27

-0.90

2.30

1.64

0.66

4.62

6.14

1.87

-4.11

3.10

7.02

4.94

3.13

1.80

6.11

8.65

0.47

12.10

7.29

4.72

2.56

7.02

11.58

15.79

10.49

6.69

3.80

5.17

13.54

9.61

9.84

-0.23

9.31

9.37

10.57

-1.20

7.73

4.08

3.65

6/30/09

6/30/13

6/30/17

6/30/17

3/31/17

9/30/16

6/30/84

-19.92

13.68

1.87

-4.11

0.47

-15.55

6.01

91

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W i l s h i r e C o n s u l t i n g

CUSTOM BENCHMARK SPECIFICATIONReal Estate CompositeDecember 31, 2017

© 2018 Wilshire Associates Inc.

Quarter Start

Quarter End

Percent

Description

NCREIF ODCE NOF 1 Quarter Lag

9/84

12/17

100.00

NCREIF ODCE NOF 1 Quarter Lag

92

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ABSOLUTE RETURNABSOLUTE RETURN

Page 94: WILSHIRE ASSOCIATES - KRS Performance... · 2019. 7. 2. · ©2017 Wilshire Associates. 5 Wilshire Consulting U.S. EQUITY MARKET Data sources: Wilshire Compass, Wilshire Atlas AS

W i l s h i r e C o n s u l t i n g

MANAGER ALLOCATIONAbsolute Return CompositeAs of December 31, 2017

© 2018 Wilshire Associates Inc.

Anchorage Capital$27,552,859 3.38%

BAAM$132,320 0.02%

Davidson Kempner LP$48,318,219 5.92%

DSAM Fund LP$598,854 0.07%

Governors Lane Onshore$21,996,168 2.70%

HBK II$45,875,823 5.62%

Karya Fund LLC$17,474,847 2.14%

Liquidalts H20 Force$16,061,760 1.97%

Myriad Opportunities$48,562,615 5.95%

Pershing Square$1,578,909 0.19%

PRISMA Capital$372,091,635 45.60%

Scopia$347,842 0.04%

SRS Partners US$7,826,313 0.96%

Tide Point Partners$17,257,468 2.11%

Tricadia Select$4,807,784 0.59%

Tourbillon Global Equity$15,763,468 1.93%

Systematica Blue Matrix$12,447,296 1.53%

Senator LP$16,012,396 1.96%

Prudential Fund I$15,980,571 1.96%

Pine River$1,399,249 0.17%

PAAMCO$870,903 0.11%

Luxor Capital$14,881,266 1.82%

Libremax Capital$199,383 0.02%

Knighthead$7,004,707 0.86%

Gotham Neutral Strategies$13,128,577 1.61%

Glenview Institution$376,514 0.05%

Credit Suisse$29,987,191 3.67%

Coatue Qualified Partners$20,817,230 2.55%

Blackstone Strat Opp$7,777,288 0.95%

BlackRock GAO$28,944,994 3.55%

94

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W i l s h i r e C o n s u l t i n g

PERFORMANCE COMPARISONTrailing ReturnsPeriods Ended December 31, 2017

© 2018 Wilshire Associates Inc.

Quarter 2 Quarters 3 Quarters 1 Year 3 Years 5 Years 10 Years Incept Date Incept Ret

Anchorage Capital

Net of Fee Return

BAAM

Net of Fee Return

BlackRock GAO

Net of Fee Return

Blackstone Strat Opp

Net of Fee Return

Coatue Qualified Partners

Net of Fee Return

Credit Suisse

Net of Fee Return

Davidson Kempner LP

Net of Fee Return

DSAM Fund LP

Net of Fee Return

Glenview Institution

Net of Fee Return

Gotham Neutral Strategies

Net of Fee Return

3.15

0.00

-0.69

1.31

0.63

1.54

0.79

0.00

0.00

-0.10

4.75

0.08

1.37

7.08

3.54

2.25

0.00

0.00

-0.58

4.00

1.05

1.91

15.12

4.31

0.45

-0.06

-4.62

7.50

1.17

5.55

25.75

6.44

4.47

9.69

2.63 5.42

9/30/16

9/30/11

9/30/16

9/30/17

6/30/15

6/30/17

3/31/16

6/30/16

12/31/15

3/31/17

7.26

5.62

-0.19

1.31

14.01

3.54

7.84

1.76

3.01

-4.62

95

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W i l s h i r e C o n s u l t i n g

PERFORMANCE COMPARISONTrailing ReturnsPeriods Ended December 31, 2017

© 2018 Wilshire Associates Inc.

Quarter 2 Quarters 3 Quarters 1 Year 3 Years 5 Years 10 Years Incept Date Incept Ret

Governors Lane Onshore

Net of Fee Return

HBK II

Net of Fee Return

Karya Fund LLC

Net of Fee Return

Knighthead

Net of Fee Return

Libremax Capital

Net of Fee Return

Liquidalts H20 Force

Net of Fee Return

Luxor Capital

Net of Fee Return

Myriad Opportunities

Net of Fee Return

PAAMCO

Net of Fee Return

Pershing Square

Net of Fee Return

-1.70

2.09

9.45

1.06

0.00

-1.80

5.38

3.52

-15.94

1.37

-0.29

2.54

12.10

2.45

0.00

0.50

10.17

8.65

-15.94

2.44

3.65

12.18

3.22

-0.04

3.53

13.27

13.73

-15.94

5.27

5.76

1.16

2.67

25.36

14.61

-15.94

3.02

1.00

1.17

1.74

-6.84 -0.69

3/31/17

12/31/13

3/31/17

12/31/13

9/30/14

9/30/16

3/31/14

6/30/16

9/30/11

9/30/17

2.44

3.24

12.18

2.13

1.41

7.69

-0.21

12.27

0.27

1.37

96

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W i l s h i r e C o n s u l t i n g

PERFORMANCE COMPARISONTrailing ReturnsPeriods Ended December 31, 2017

© 2018 Wilshire Associates Inc.

Quarter 2 Quarters 3 Quarters 1 Year 3 Years 5 Years 10 Years Incept Date Incept Ret

Pine River

Net of Fee Return

PRISMA Capital

Net of Fee Return

Prudential Fund I

Net of Fee Return

Scopia

Net of Fee Return

SRS Partners US

Net of Fee Return

Senator LP

Net of Fee Return

Systematica Blue Matrix

Net of Fee Return

Tide Point Partners

Net of Fee Return

Tourbillon Global Equity

Net of Fee Return

Tricadia Select

Net of Fee Return

-0.51

1.20

-0.03

0.02

3.00

2.62

0.76

7.67

-9.11

-4.00

0.84

2.95

0.99

5.80

6.39

6.47

10.14

-10.20

0.11

3.14

4.26

3.90

9.93

5.28

1.15

-11.73

-0.36

4.20

3.00

13.62

-12.54

0.12

1.93

-0.23

3.73

6/30/14

9/30/11

3/31/17

12/31/14

9/30/17

9/30/16

3/31/17

3/31/17

12/31/15

9/30/17

0.58

3.74

4.26

-0.23

3.00

10.65

5.28

1.15

-11.16

-4.00

97

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W i l s h i r e C o n s u l t i n g

PERFORMANCE COMPARISONTrailing ReturnsPeriods Ended December 31, 2017

© 2018 Wilshire Associates Inc.

Quarter 2 Quarters 3 Quarters 1 Year 3 Years 5 Years 10 Years Incept Date Incept Ret

Absolute Return Composite

Net of Fee Return

HFRI FOF Div (1 Month Lag)

Value Added

1.31

1.41

-0.11

3.33

3.27

0.06

3.79

4.20

-0.41

5.37

7.07

-1.70

2.25

2.11

0.14

4.66

3.90

0.76

3/31/10

3/31/10

3/31/10

4.14

3.00

1.14

98

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W i l s h i r e C o n s u l t i n g

CUSTOM BENCHMARK SPECIFICATIONAbsolute Return CompositeDecember 31, 2017

© 2018 Wilshire Associates Inc.

Quarter Start Quarter End Percent Description

HFRI FOF Div (1 Month Lag) 6/10 12/17 100.00 HFRI FOF Div (1 Month Lag)

99