los angeles water and power employees’ …...wperp - retirement fund total $ 13,624,336,422 wperp...
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The Northern Trust Company
Group Name Market Value
WPERP - Retirement Fund Total 13,624,336,422$
WPERP - Health Fund Total 2,356,310,465$
WPERP Disability Benefit Fund 38,527,443$
WPERP Death Benefit Fund 31,683,569$
TOTAL PLAN ASSETS 16,050,857,899$
LOS ANGELES WATER AND POWER EMPLOYEES’ RETIREMENT PLAN AND RETIREE HEALTH BENEFITS FUND
TOTAL PLAN ASSETSDecember 31, 2019
N O R T H E R N T R U S T WPERP - Retirement Fund | 31 December 2019
The Northern Trust Company ¹ Alternative investments ITD is an Internal Rate of Return as of 09/30/2019; for all other investments, it is an annualized Time Weighted Return.
Investment Hierarchy1ITD=IRR
Account / Group Name Vintage Commitment Market Value Portfolio Weight
Target Weight 1 Month 3 Months YTD FYTD 1 Year 3 Years 5 Years ITD Inception
DateWPERP - Retirement Fund Total(GOF) 13,624,336,421.82 100.0% 100.0% 1.92 5.19 17.93 5.88 17.93 10.12 7.75 6.93 Dec-04WPERP - Retirement Fund Total(NOF) 1.91 5.14 17.68 5.76 17.68 9.89 7.53 6.77 Dec-04WPERP Retirement Fund Index 2.19 5.28 17.78 6.26 17.78 9.78 7.62 6.77NOF Excess Return -0.28 -0.14 -0.10 -0.49 -0.10 0.11 -0.10 0.00 WPERP - Retirement ex Sec Len(GOF) 13,624,336,421.82 100.0% -- 1.92 5.19 17.91 5.87 17.91 10.09 7.71 9.54 Feb-79 WPERP - Retirement ex Sec Len(NOF) 1.90 5.13 17.66 5.76 17.66 9.86 7.49 2.42 Feb-79 WPERP Retirement Fund Index 2.19 5.28 17.78 6.26 17.78 9.78 7.62 -- NOF Excess Return -0.28 -0.15 -0.12 -0.50 -0.12 0.08 -0.13 -- Total Domestic Equity(GOF) 4,926,723,366.85 36.2% 33.0% 2.60 8.93 29.96 9.37 29.96 15.48 11.89 8.44 Mar-01 Total Domestic Equity(NOF) 2.58 8.87 29.67 9.24 29.67 15.24 11.66 7.34 Mar-01 Russell 3000 2.89 9.10 31.02 10.37 31.02 14.57 11.24 8.01 NOF Excess Return -0.30 -0.23 -1.35 -1.12 -1.35 0.67 0.41 -0.68 Large Cap Equity(GOF) 4,539,670,529.25 33.3% 30.8% 2.59 8.89 29.91 9.66 29.91 15.71 12.09 8.57 Mar-01 Large Cap Equity(NOF) 2.58 8.84 29.66 9.56 29.66 15.50 11.89 7.50 Mar-01 Russell 1000 2.89 9.04 31.43 10.59 31.43 15.05 11.48 7.96 NOF Excess Return -0.31 -0.20 -1.77 -1.03 -1.77 0.45 0.41 -0.46 Large Cap Value(GOF) 1,420,497,320.47 10.4% 9.0% 2.79 7.45 28.75 9.89 28.75 11.31 9.73 9.54 Feb-04 Large Cap Value(NOF) 2.76 7.37 28.38 9.73 28.38 10.99 9.40 8.56 Feb-04 Russell 1000 Value 2.75 7.41 26.54 8.86 26.54 9.68 8.29 7.99 NOF Excess Return 0.01 -0.04 1.84 0.86 1.84 1.31 1.11 0.57 MFS LC Val(GOF) 712,399,935.46 5.2% -- 2.77 7.36 30.57 10.10 30.57 11.59 9.97 9.69 Feb-04 MFS LC Val(NOF) 2.74 7.28 30.19 9.94 30.19 11.26 9.63 9.33 Feb-04 Russell 1000 Value 2.75 7.41 26.54 8.86 26.54 9.68 8.29 7.99 NOF Excess Return -0.01 -0.13 3.65 1.08 3.65 1.58 1.35 1.34 T Rowe Price LC Val(GOF) 708,097,385.01 5.2% -- 2.81 7.54 26.97 9.67 26.97 11.04 9.49 9.45 Sep-04 T Rowe Price LC Val(NOF) 2.78 7.46 26.61 9.51 26.61 10.72 9.17 9.10 Sep-04 Russell 1000 Value 2.75 7.41 26.54 8.86 26.54 9.68 8.29 8.20 NOF Excess Return 0.03 0.05 0.06 0.64 0.06 1.04 0.88 0.90 Large Cap Growth(GOF) 1,645,353,915.76 12.1% 9.0% 2.16 10.02 29.86 8.65 29.86 21.59 14.71 10.56 Feb-04 Large Cap Growth(NOF) 2.13 9.94 29.48 8.49 29.48 21.22 14.36 9.95 Feb-04 Russell 1000 Growth 3.02 10.62 36.39 12.27 36.39 20.49 14.63 10.16 NOF Excess Return -0.88 -0.68 -6.91 -3.77 -6.91 0.74 -0.27 -0.21 Jennison Large Cap-SL(GOF) 778,255,249.67 5.7% -- 2.32 10.65 -- 8.64 -- -- -- 19.79 Jan-19 Jennison Large Cap-SL(NOF) 2.29 10.59 -- 8.50 -- -- -- 19.51 Jan-19 Russell 1000 Growth 3.02 10.62 -- 12.27 -- -- -- 25.14 NOF Excess Return -0.72 -0.03 -- -3.77 -- -- -- -5.63 T Rowe LC Grw(GOF) 867,071,016.05 6.4% -- 2.02 9.46 28.29 8.66 28.29 22.46 16.92 16.04 Mar-10 T Rowe LC Grw(NOF) 1.99 9.37 27.88 8.48 27.88 22.07 16.54 15.66 Mar-10 Russell 1000 Growth 3.02 10.62 36.39 12.27 36.39 20.49 14.63 15.10 NOF Excess Return -1.03 -1.25 -8.51 -3.78 -8.51 1.59 1.92 0.56 Large Cap Core(GOF) 1,473,819,293.02 10.8% 12.8% 2.89 9.04 31.28 10.60 31.28 15.02 11.48 9.82 Aug-03 Large Cap Core(NOF) 2.89 9.04 31.28 10.60 31.28 15.02 11.48 8.37 Aug-03 Russell 1000 2.89 9.04 31.43 10.59 31.43 15.05 11.48 9.77 NOF Excess Return 0.00 0.01 -0.15 0.01 -0.15 -0.02 0.00 -1.40
(Time Weighted Returns)
N O R T H E R N T R U S T WPERP - Retirement Fund | 31 December 2019
The Northern Trust Company ¹ Alternative investments ITD is an Internal Rate of Return as of 09/30/2019; for all other investments, it is an annualized Time Weighted Return.
Investment Hierarchy1ITD=IRR
Account / Group Name Vintage Commitment Market Value Portfolio Weight
Target Weight 1 Month 3 Months YTD FYTD 1 Year 3 Years 5 Years ITD Inception
Date
(Time Weighted Returns)
N O R T H E R N T R U S T WPERP - Retirement Fund | 31 December 2019
Blackrock/Russell 1000(GOF) 1,473,819,293.02 10.8% -- 2.89 9.04 31.28 10.60 31.28 15.02 11.48 9.82 Aug-03 Blackrock/Russell 1000(NOF) 2.89 9.04 31.28 10.60 31.28 15.02 11.48 9.76 Aug-03 Russell 1000 2.89 9.04 31.43 10.59 31.43 15.05 11.48 9.77 NOF Excess Return 0.00 0.01 -0.15 0.01 -0.15 -0.02 0.00 -0.01 Small Cap Equity(GOF) 387,052,837.60 2.8% 2.3% 2.71 9.41 30.55 6.02 30.55 12.86 9.75 7.23 Nov-04 Small Cap Equity(NOF) 2.66 9.26 29.81 5.71 29.81 12.21 9.08 6.53 Nov-04 Russell 2000 2.88 9.94 25.52 7.30 25.52 8.59 8.23 8.08 NOF Excess Return -0.22 -0.68 4.28 -1.59 4.28 3.62 0.85 -1.56 Small Cap Value(GOF) 194,886,281.82 1.4% 1.1% 3.21 7.59 30.76 8.52 30.76 11.12 10.85 9.24 Dec-04 Small Cap Value(NOF) 3.16 7.45 30.04 8.22 30.04 10.51 10.23 8.85 Dec-04 Russell 2000 Value 3.50 8.49 22.39 7.87 22.39 4.77 6.99 6.92 NOF Excess Return -0.34 -1.05 7.65 0.35 7.65 5.74 3.23 1.93 Earnest Partners SC Val(GOF) 194,886,281.82 1.4% -- 3.21 7.59 30.76 8.52 30.76 11.12 10.85 9.45 Nov-04 Earnest Partners SC Val(NOF) 3.16 7.45 30.04 8.22 30.04 10.51 10.23 8.77 Nov-04 Russell 2000 Value 3.50 8.49 22.39 7.87 22.39 4.77 6.99 7.05 NOF Excess Return -0.34 -1.05 7.65 0.35 7.65 5.74 3.23 1.72 Small Cap Growth(GOF) 192,166,555.78 1.4% 1.1% 2.22 11.32 30.34 3.60 30.34 14.74 8.71 5.52 Dec-04 Small Cap Growth(NOF) 2.17 11.16 29.57 3.29 29.57 14.06 7.99 4.96 Dec-04 Russell 2000 Growth 2.29 11.39 28.48 6.75 28.48 12.49 9.34 8.81 NOF Excess Return -0.12 -0.24 1.09 -3.46 1.09 1.57 -1.35 -3.85 Emerald Sm. Cap Growth(GOF) 192,166,555.78 1.4% -- 2.22 11.32 30.34 3.60 30.34 14.74 -- 11.74 Nov-15 Emerald Sm. Cap Growth(NOF) 2.17 11.16 29.57 3.29 29.57 14.06 -- 11.08 Nov-15 Russell 2000 Growth 2.29 11.39 28.48 6.75 28.48 12.49 -- 10.60 NOF Excess Return -0.12 -0.24 1.09 -3.46 1.09 1.57 -- 0.48 Total International Equity(GOF) 2,647,990,431.85 19.4% 19.0% 4.28 9.19 22.69 7.13 22.69 11.15 6.90 6.36 Jun-04 Total International Equity(NOF) 4.25 9.11 22.31 6.96 22.31 10.80 6.57 5.30 Jun-04 MS AC WldxUS IMI Nt 4.41 9.20 21.63 7.33 21.63 9.84 5.71 6.33 NOF Excess Return -0.16 -0.09 0.68 -0.37 0.68 0.96 0.86 -1.03 Developed Market Equity(GOF) 1,968,714,160.23 14.4% 14.5% 3.29 8.51 24.49 7.52 24.49 11.07 7.07 6.31 Jun-04 Developed Market Equity(NOF) 3.27 8.46 24.23 7.40 24.23 10.84 6.85 5.32 Jun-04 MSCI World ex U.S. IMI ND Index 3.40 8.36 22.91 7.45 22.91 9.49 5.79 5.96 NOF Excess Return -0.13 0.10 1.33 -0.05 1.33 1.35 1.06 -0.65 Blackrock/MSCI World(GOF) 632,595,753.72 4.6% -- 3.42 8.43 23.45 7.58 23.45 9.97 6.24 7.37 Sep-12 Blackrock/MSCI World(NOF) 3.42 8.43 23.45 7.58 23.45 9.97 6.24 7.35 Sep-12 MSCI World ex U.S. IMI ND Index 3.40 8.36 22.91 7.45 22.91 9.49 5.79 6.95 NOF Excess Return 0.02 0.07 0.55 0.13 0.55 0.48 0.45 0.40 MFS Dev Val(GOF) 695,159,122.27 5.1% -- 3.06 8.09 24.40 7.48 24.40 13.00 9.06 11.34 Jul-12 MFS Dev Val(NOF) 3.03 8.00 23.98 7.30 23.98 12.63 8.70 10.97 Jul-12 MSCI World ex U.S. IMI ND Index 3.40 8.36 22.91 7.45 22.91 9.49 5.79 7.66 NOF Excess Return -0.36 -0.36 1.08 -0.15 1.08 3.14 2.91 3.31 Fidelity Institutional Dev Grw(GOF) 640,959,284.24 4.7% -- 3.40 9.06 25.64 7.49 25.64 10.16 6.04 6.13 Nov-04 Fidelity Institutional Dev Grw(NOF) 3.38 8.98 25.29 7.34 25.29 9.85 5.74 5.78 Nov-04 MSCI World ex U.S. IMI ND Index 3.40 8.36 22.91 7.45 22.91 9.49 5.79 5.44 NOF Excess Return -0.02 0.62 2.39 -0.11 2.39 0.36 -0.04 0.34
The Northern Trust Company ¹ Alternative investments ITD is an Internal Rate of Return as of 09/30/2019; for all other investments, it is an annualized Time Weighted Return.
Investment Hierarchy1ITD=IRR
Account / Group Name Vintage Commitment Market Value Portfolio Weight
Target Weight 1 Month 3 Months YTD FYTD 1 Year 3 Years 5 Years ITD Inception
Date
(Time Weighted Returns)
N O R T H E R N T R U S T WPERP - Retirement Fund | 31 December 2019
Emerging Market Equity(GOF) 679,276,271.62 5.0% 4.5% 7.25 11.21 17.75 6.01 17.75 11.40 6.03 7.40 Feb-05 Emerging Market Equity(NOF) 7.20 11.04 17.04 5.69 17.04 10.72 5.38 6.95 Feb-05 MSCI Emerging Markets IMI 7.32 11.59 17.64 6.81 17.64 11.00 5.30 6.97 NOF Excess Return -0.12 -0.54 -0.60 -1.12 -0.60 -0.28 0.08 -0.03 LA Capital EM(GOF) 330,093,532.00 2.4% -- 7.35 11.74 18.11 6.97 18.11 10.95 5.40 4.39 Sep-12 LA Capital EM(NOF) 7.29 11.56 17.34 6.62 17.34 10.24 4.72 3.72 Sep-12 MSCI Emerging Markets IMI 7.32 11.59 17.64 6.81 17.64 11.00 5.30 3.82 NOF Excess Return -0.03 -0.03 -0.29 -0.19 -0.29 -0.76 -0.58 -0.09 Wellington EM(GOF) 349,182,739.56 2.6% -- 7.16 10.72 17.42 5.12 17.42 11.82 -- 9.41 Sep-16 Wellington EM(NOF) 7.11 10.56 16.76 4.82 16.76 11.19 -- 8.79 Sep-16 MSCI Emerging Markets IMI 7.32 11.59 17.64 6.81 17.64 11.00 -- 8.58 NOF Excess Return -0.21 -1.02 -0.88 -1.99 -0.88 0.19 -- 0.21 Total Fixed(GOF) 3,130,944,768.34 23.0% 26.0% 0.59 0.98 9.54 2.66 9.54 4.65 3.93 5.33 Mar-01 Total Fixed(NOF) 0.58 0.94 9.37 2.58 9.37 4.49 3.77 3.90 Mar-01 Total Fixed Income Index 0.60 0.95 8.79 2.38 8.79 4.26 3.69 4.95 NOF Excess Return -0.03 -0.01 0.58 0.20 0.58 0.23 0.08 -1.05 Principal Protection(GOF) 1,526,162,452.16 11.2% 13.5% 0.12 0.31 5.99 1.77 5.99 3.05 -- 2.58 Aug-15 Principal Protection(NOF) 0.12 0.28 5.87 1.72 5.87 2.94 -- 2.47 Aug-15 BC US Intermediate Agg x Credit Bond 0.10 0.31 5.79 1.59 5.79 2.91 -- 2.37 NOF Excess Return 0.02 -0.02 0.09 0.13 0.09 0.02 -- 0.10 JPM Principal Protection(GOF) 765,029,730.38 5.6% -- 0.03 0.17 5.91 1.72 5.91 3.03 -- 2.59 Aug-15 JPM Principal Protection(NOF) 0.02 0.14 5.81 1.67 5.81 2.92 -- 2.49 Aug-15 BC US Intermediate Agg x Credit Bond 0.10 0.31 5.79 1.59 5.79 2.91 -- 2.37 NOF Excess Return -0.08 -0.16 0.02 0.08 0.02 0.01 -- 0.11 Wells Cap Principal Protection(GOF) 761,132,721.78 5.6% -- 0.22 0.45 6.06 1.83 6.06 3.07 -- 2.58 Aug-15 Wells Cap Principal Protection(NOF) 0.21 0.42 5.94 1.77 5.94 2.95 -- 2.46 Aug-15 BC US Intermediate Agg x Credit Bond 0.10 0.31 5.79 1.59 5.79 2.91 -- 2.37 NOF Excess Return 0.12 0.11 0.15 0.18 0.15 0.04 -- 0.09 Extended Credit(GOF) 1,448,234,677.21 10.6% 11.3% 1.09 1.69 13.67 3.47 13.67 6.54 -- 6.33 Aug-15 Extended Credit(NOF) 1.08 1.64 13.44 3.36 13.44 6.33 -- 6.12 Aug-15 66% BC Credit/33%BC High Yield 1.10 1.63 12.53 3.29 12.53 5.78 -- 6.05 NOF Excess Return -0.02 0.01 0.91 0.07 0.91 0.55 -- 0.07 Macquarie FI(GOF) 708,654,466.27 5.2% -- 0.99 1.59 13.40 3.43 13.40 5.96 -- 5.62 Aug-15 Macquarie FI(NOF) 0.97 1.55 13.21 3.34 13.21 5.78 -- 5.44 Aug-15 66% BC Credit/33%BC High Yield 1.10 1.63 12.53 3.29 12.53 5.78 -- 6.05 NOF Excess Return -0.13 -0.09 0.68 0.05 0.68 0.00 -- -0.62 Neuberger GC FI(GOF) 739,580,210.94 5.4% -- 1.20 1.79 13.92 3.51 13.92 7.11 -- 7.04 Aug-15 Neuberger GC FI(NOF) 1.18 1.73 13.66 3.39 13.66 6.87 -- 6.79 Aug-15 66% BC Credit/33%BC High Yield 1.10 1.63 12.53 3.29 12.53 5.78 -- 6.05 NOF Excess Return 0.08 0.10 1.13 0.10 1.13 1.09 -- 0.74
The Northern Trust Company ¹ Alternative investments ITD is an Internal Rate of Return as of 09/30/2019; for all other investments, it is an annualized Time Weighted Return.
Investment Hierarchy1ITD=IRR
Account / Group Name Vintage Commitment Market Value Portfolio Weight
Target Weight 1 Month 3 Months YTD FYTD 1 Year 3 Years 5 Years ITD Inception
Date
(Time Weighted Returns)
N O R T H E R N T R U S T WPERP - Retirement Fund | 31 December 2019
US Bank Loans(GOF) 156,547,638.97 1.1% 1.3% 0.55 1.05 9.26 4.08 9.26 4.80 -- 5.25 Aug-15 US Bank Loans(NOF) 0.52 0.97 8.91 3.91 8.91 4.46 -- 4.91 Aug-15 Credit Suisse Leveraged Loan 1.61 1.68 8.17 2.61 8.17 4.48 -- 4.70 NOF Excess Return -1.09 -0.71 0.73 1.29 0.73 -0.02 -- 0.21 Pacific Asset BL FL(GOF) 156,547,638.97 1.1% -- 0.55 1.05 9.26 4.08 9.26 4.80 -- 5.25 Aug-15 Pacific Asset BL FL(NOF) 0.52 0.97 8.91 3.91 8.91 4.46 -- 4.91 Aug-15 Credit Suisse Leveraged Loan 1.61 1.68 8.17 2.61 8.17 4.48 -- 4.70 NOF Excess Return -1.09 -0.71 0.73 1.29 0.73 -0.02 -- 0.21 Total Hedge Funds(NOF) 619,044,653.00 4.5% 5.0% 0.27 0.05 3.23 1.17 3.23 2.77 1.43 2.68 Feb-07 WPERP T-Bill+3% 1-Month Lag 0.37 1.24 5.39 2.61 5.39 4.68 4.07 -- NOF Excess Return -0.10 -1.18 -2.16 -1.43 -2.16 -1.91 -2.64 -- Blackstone Hope St.(GOF) 619,044,652.00 4.5% -- 0.27 0.05 3.23 1.17 3.23 -- -- 2.33 Sep-17 Blackstone Hope St.(NOF) 0.27 0.05 3.23 1.17 3.23 -- -- 2.33 Sep-17 WPERP T-Bill+3% 1-Month Lag 0.37 1.24 5.39 2.61 5.39 -- -- 5.00 NOF Excess Return -0.10 -1.18 -2.15 -1.43 -2.15 -- -- -2.67 Morgan Stanley AIP(GOF) 1.00 0.0% -- 0.00 0.00 -1.54 0.00 -1.54 3.01 1.26 1.19 Feb-14 Morgan Stanley AIP(NOF) 0.00 0.00 -1.54 0.00 -1.54 3.01 1.26 1.19 Feb-14 WPERP T-Bill+3% 1-Month Lag 0.37 1.24 5.39 2.61 5.39 4.68 4.07 3.93 NOF Excess Return -0.37 -1.24 -6.93 -2.61 -6.93 -1.67 -2.81 -2.73 Total Real Estate(NOF) as of 09/30/2019 1,239,828,290.00 926,493,884.90 6.8% 6.0% 1.92 6.41 1.92 7.70 9.02 10.10 8.25 Nov-06 WPERP NCREIF (RT) + 50 bps 1.53 5.18 1.53 6.75 7.29 9.10 7.48 NOF Excess Return 0.39 1.23 0.39 0.95 1.73 1.00 0.77 AG Core Plus III(NOF) 2012 18,000,000.00 3,104,085.00 0.0% -- -1.06 -0.06 -1.06 -11.64 -1.74 22.73 20.34 Jan-12 WPERP NCREIF (RT) + 50 bps 1.53 5.18 1.53 6.75 7.29 9.10 9.98 NOF Excess Return -2.59 -5.24 -2.59 -18.39 -9.03 13.63 10.36 Almanac VI(NOF) 2012 18,000,000.00 3,141,737.00 0.0% -- 1.29 -2.40 1.29 -3.29 2.25 10.12 11.80 Jun-12 WPERP NCREIF (RT) + 50 bps 1.53 5.18 1.53 6.75 7.29 9.10 9.80 NOF Excess Return -0.24 -7.58 -0.24 -10.04 -5.04 1.02 2.00 Almanac VII(NOF) 2014 24,000,000.00 9,178,090.00 0.1% -- 3.05 8.24 3.05 10.51 14.14 -- 13.29 Mar-15 WPERP NCREIF (RT) + 50 bps 1.53 5.18 1.53 6.75 7.29 -- 8.52 NOF Excess Return 1.52 3.06 1.52 3.76 6.85 -- 4.77 Almanac VIII(NOF) 2018 60,000,000.00 4,695,273.00 0.0% -- -6.13 -30.13 -6.13 -36.33 -- -- -36.33 Dec-18 WPERP NCREIF + 50bps (1Q Lag) 1.63 5.14 1.63 6.75 -- -- 5.14 NOF Excess Return -7.76 -35.27 -7.76 -43.08 -- -- -41.47 BREP Europe IV(NOF) 2013 20,000,000.00 7,263,106.85 0.1% -- -0.54 2.47 -0.54 2.23 20.99 14.49 13.73 Dec-13 WPERP NCREIF (RT) + 50 bps 1.53 5.18 1.53 6.75 7.29 9.10 9.48 NOF Excess Return -2.07 -2.71 -2.07 -4.52 13.70 5.39 4.25 BREP VII(NOF) 2012 20,000,000.00 10,135,183.00 0.1% -- 1.70 10.08 1.70 5.56 9.61 10.72 15.98 Jun-12 WPERP NCREIF (RT) + 50 bps 1.53 5.18 1.53 6.75 7.29 9.10 9.80 NOF Excess Return 0.17 4.90 0.17 -1.19 2.32 1.62 6.18 Bristol Value II(NOF) 2011 20,000,000.00 16,347,907.00 0.1% -- -0.28 -1.38 -0.28 3.26 8.50 8.09 8.19 Nov-12 WPERP NCREIF (RT) + 50 bps 1.53 5.18 1.53 6.75 7.29 9.10 10.05 NOF Excess Return -1.81 -6.56 -1.81 -3.49 1.21 -1.01 -1.86
The Northern Trust Company ¹ Alternative investments ITD is an Internal Rate of Return as of 09/30/2019; for all other investments, it is an annualized Time Weighted Return.
Investment Hierarchy1ITD=IRR
Account / Group Name Vintage Commitment Market Value Portfolio Weight
Target Weight 1 Month 3 Months YTD FYTD 1 Year 3 Years 5 Years ITD Inception
Date
(Time Weighted Returns)
N O R T H E R N T R U S T WPERP - Retirement Fund | 31 December 2019
Brookfield Premier(NOF) 2018 60,000,000.00 64,842,451.00 0.5% -- 2.05 6.07 2.05 8.07 -- -- 8.07 Sep-18 WPERP NCREIF (RT) + 50 bps 1.53 5.18 1.53 6.75 -- -- 6.75 NOF Excess Return 0.52 0.89 0.52 1.32 -- -- 1.32 DRA VII(NOF) 2011 13,000,000.00 3,133,100.00 0.0% -- 9.87 21.40 9.87 25.52 30.21 24.08 21.05 Oct-11 WPERP NCREIF (RT) + 50 bps 1.53 5.18 1.53 6.75 7.29 9.10 10.06 NOF Excess Return 8.34 16.22 8.34 18.77 22.92 14.98 10.99 DRA G&I VIII(NOF) 2014 20,000,000.00 13,605,086.00 0.1% -- 0.33 3.87 0.33 6.52 10.13 10.87 10.95 Jun-14 WPERP NCREIF (RT) + 50 bps 1.53 5.18 1.53 6.75 7.29 9.10 9.21 NOF Excess Return -1.20 -1.31 -1.20 -0.23 2.84 1.77 1.74 DRA G&I IX(NOF) 2017 50,000,000.00 43,266,814.00 0.3% -- 3.16 9.25 3.16 13.36 -- -- 16.32 Dec-16 WPERP NCREIF (RT) + 50 bps 1.53 5.18 1.53 6.75 -- -- 7.26 NOF Excess Return 1.63 4.07 1.63 6.61 -- -- 9.06 FPA Core Plus III(NOF) 2017 50,000,000.00 51,574,590.00 0.4% -- 4.16 10.12 4.16 12.50 -- -- 7.63 Dec-16 WPERP NCREIF (RT) + 50 bps 1.53 5.18 1.53 6.75 -- -- 7.26 NOF Excess Return 2.63 4.94 2.63 5.75 -- -- 0.37 Harrison Street Core(NOF) 2016 50,000,000.00 66,384,367.00 0.5% -- 1.88 4.37 1.88 6.23 7.85 -- 8.15 Dec-15 WPERP NCREIF (RT) + 50 bps 1.53 5.18 1.53 6.75 7.29 -- 7.59 NOF Excess Return 0.35 -0.81 0.35 -0.52 0.56 -- 0.56 Invesco Core Realty(NOF) 2011 30,000,000.00 62,613,191.67 0.5% -- 1.79 3.54 1.79 5.68 7.15 8.95 9.45 Jun-11 WPERP NCREIF (RT) + 50 bps 1.53 5.18 1.53 6.75 7.29 9.10 10.07 NOF Excess Return 0.26 -1.64 0.26 -1.07 -0.14 -0.15 -0.62 Jamestown Premier(NOF) 2016 50,000,000.00 46,321,306.00 0.3% -- 0.49 2.25 0.49 3.41 8.01 -- 8.06 Jan-16 WPERP NCREIF (RT) + 50 bps 1.53 5.18 1.53 6.75 7.29 -- 7.77 NOF Excess Return -1.04 -2.93 -1.04 -3.34 0.72 -- 0.29 JPM Strategic(NOF) 2007 50,000,000.00 89,188,446.34 0.7% -- 0.20 1.31 0.20 2.98 5.62 8.18 4.96 Sep-07 WPERP NCREIF (RT) + 50 bps 1.53 5.18 1.53 6.75 7.29 9.10 6.60 NOF Excess Return -1.33 -3.87 -1.33 -3.77 -1.67 -0.92 -1.64 LaSalle Asia V(NOF) 2016 50,000,000.00 16,971,367.00 0.1% -- -3.36 30.11 -3.36 35.28 -- -- 11.03 Nov-17 WPERP NCREIF (RT) + 50 bps 1.53 5.18 1.53 6.75 -- -- 7.90 NOF Excess Return -4.89 24.93 -4.89 28.53 -- -- 3.13 Lone Star RE II(NOF) 2011 9,000,000.00 283,221.00 0.0% -- 5.25 8.85 5.25 11.40 6.54 28.20 25.20 May-11 WPERP NCREIF (RT) + 50 bps 1.53 5.18 1.53 6.75 7.29 9.10 10.47 NOF Excess Return 3.72 3.67 3.72 4.65 -0.75 19.10 14.73 Lone Star RE IV(NOF) 2015 40,434,694.00 14,966,405.00 0.1% -- -1.14 4.43 -1.14 7.56 18.75 -- 16.85 Sep-15 WPERP NCREIF (RT) + 50 bps 1.53 5.18 1.53 6.75 7.29 -- 7.90 NOF Excess Return -2.67 -0.75 -2.67 0.81 11.46 -- 8.95 Lone Star RE V(NOF) 2016 44,893,596.00 14,505,111.00 0.1% -- 7.27 5.12 7.27 1.27 -- -- -7.54 Aug-17 WPERP NCREIF (RT) + 50 bps 1.53 5.18 1.53 6.75 -- -- 7.85 NOF Excess Return 5.74 -0.06 5.74 -5.48 -- -- -15.39 Lone Star VII(NOF) 2011 9,000,000.00 58,972.00 0.0% -- -34.94 -34.44 -34.94 -35.97 -34.83 -5.73 46.75 May-11 WPERP NCREIF (RT) + 50 bps 1.53 5.18 1.53 6.75 7.29 9.10 10.47 NOF Excess Return -36.47 -39.62 -36.47 -42.72 -42.12 -14.83 36.28
The Northern Trust Company ¹ Alternative investments ITD is an Internal Rate of Return as of 09/30/2019; for all other investments, it is an annualized Time Weighted Return.
Investment Hierarchy1ITD=IRR
Account / Group Name Vintage Commitment Market Value Portfolio Weight
Target Weight 1 Month 3 Months YTD FYTD 1 Year 3 Years 5 Years ITD Inception
Date
(Time Weighted Returns)
N O R T H E R N T R U S T WPERP - Retirement Fund | 31 December 2019
Mesa West III(NOF) 2013 20,000,000.00 999,873.00 0.0% -- 0.53 3.92 0.53 10.51 9.48 9.69 8.87 Aug-13 WPERP NCREIF (RT) + 50 bps 1.53 5.18 1.53 6.75 7.29 9.10 9.89 NOF Excess Return -1.00 -1.26 -1.00 3.76 2.19 0.59 -1.02 Mesa West IV(NOF) 2016 50,000,000.00 27,979,466.00 0.2% -- 2.12 6.03 2.12 7.56 -- -- 7.98 Feb-17 WPERP NCREIF (RT) + 50 bps 1.53 5.18 1.53 6.75 -- -- 7.75 NOF Excess Return 0.59 0.85 0.59 0.81 -- -- 0.23 PRISA I(NOF) 2006 50,000,000.00 97,863,801.67 0.7% -- 1.32 4.23 1.32 5.90 6.92 8.88 4.95 Nov-06 WPERP NCREIF (RT) + 50 bps 1.53 5.18 1.53 6.75 7.29 9.10 7.48 NOF Excess Return -0.21 -0.95 -0.21 -0.85 -0.37 -0.22 -2.53 PRISA II(NOF) 2007 21,500,000.00 44,773,448.43 0.3% -- 1.42 4.34 1.42 5.55 7.29 9.64 6.13 May-07 WPERP NCREIF (RT) + 50 bps 1.53 5.18 1.53 6.75 7.29 9.10 7.10 NOF Excess Return -0.11 -0.84 -0.11 -1.20 0.00 0.54 -0.97 Prologis USLH(NOF) 2015 20,000,000.00 40,029,089.00 0.3% -- 4.64 12.04 4.64 15.87 18.22 -- 16.79 Mar-15 WPERP NCREIF (RT) + 50 bps 1.53 5.18 1.53 6.75 7.29 -- 8.52 NOF Excess Return 3.11 6.86 3.11 9.12 10.93 -- 8.27 Torchlight IV(NOF) 2013 20,000,000.00 3,514,674.00 0.0% -- 0.40 3.08 0.40 2.65 12.09 10.86 10.16 Aug-13 WPERP NCREIF (RT) + 50 bps 1.53 5.18 1.53 6.75 7.29 9.10 9.89 NOF Excess Return -1.13 -2.10 -1.13 -4.10 4.80 1.76 0.27 Torchlight V(NOF) 2015 24,000,000.00 8,078,383.00 0.1% -- 1.65 4.89 1.65 4.00 11.88 -- 11.62 May-15 WPERP NCREIF (RT) + 50 bps 1.53 5.18 1.53 6.75 7.29 -- 8.86 NOF Excess Return 0.12 -0.29 0.12 -2.75 4.59 -- 2.76 Torchlight VI(NOF) 2018 60,000,000.00 23,018,509.00 0.2% -- 3.31 7.52 3.31 2.84 -- -- 6.64 Jan-18 WPERP NCREIF (RT) + 50 bps 1.53 5.18 1.53 6.75 -- -- 7.49 NOF Excess Return 1.78 2.34 1.78 -3.91 -- -- -0.85 USAA Eagle(NOF) 2018 60,000,000.00 53,738,841.00 0.4% -- 0.44 3.27 0.44 4.69 -- -- 4.69 Sep-18 WPERP NCREIF (RT) + 50 bps 1.53 5.18 1.53 6.75 -- -- 6.75 NOF Excess Return -1.09 -1.91 -1.09 -2.06 -- -- -2.06 Westbrook X(NOF) 2016 50,000,000.00 26,152,736.00 0.2% -- 4.41 12.09 4.41 15.78 13.46 -- 13.60 Jul-16 WPERP NCREIF (RT) + 50 bps 1.53 5.18 1.53 6.75 7.29 -- 7.43 NOF Excess Return 2.88 6.91 2.88 9.03 6.17 -- 6.17 Dimensional Global REIT(NOF) as of 12/31/2019 2013 20,000,000.00 30,146,720.51 0.2% -- 0.64 1.61 26.40 7.76 26.40 9.78 7.26 7.75 Mar-13 FTSE EPRA/NAREIT DEV INDEX 0.63 1.96 23.06 6.93 23.06 9.31 6.53 6.83 NOF Excess Return 0.01 -0.36 3.34 0.83 3.34 0.47 0.73 0.92 Heitman REIT(NOF) as of 12/31/2019 2013 20,000,000.00 28,618,533.43 0.2% -- 0.77 2.51 23.87 7.29 23.87 9.18 6.22 7.27 Oct-13 FTSE EPRA/NAREIT DEV INDEX 0.63 1.96 23.06 6.93 23.06 9.31 6.53 7.24 NOF Excess Return 0.15 0.55 0.80 0.37 0.80 -0.13 -0.31 0.03 Total Real Return(GOF) as of 09/30/2019 577,481,736.46 4.2% 5.0% 1.06 0.22 7.13 2.51 7.13 2.65 2.98 2.71 Jan-07 Total Real Return(NOF) 1.03 0.15 6.84 2.37 6.84 2.37 2.71 2.57 Jan-07 WPERP CPI+3% (1-Month Lag) 0.30 1.19 3.63 1.19 4.82 5.27 4.61 4.95 NOF Excess Return 0.53 -1.23 1.78 -0.22 1.78 -2.83 -2.04 -2.40
The Northern Trust Company ¹ Alternative investments ITD is an Internal Rate of Return as of 09/30/2019; for all other investments, it is an annualized Time Weighted Return.
Investment Hierarchy1ITD=IRR
Account / Group Name Vintage Commitment Market Value Portfolio Weight
Target Weight 1 Month 3 Months YTD FYTD 1 Year 3 Years 5 Years ITD Inception
Date
(Time Weighted Returns)
N O R T H E R N T R U S T WPERP - Retirement Fund | 31 December 2019
Hancock XII(NOF) 2013 20,000,000.00 11,032,450.00 0.1% -- -0.64 -1.14 -0.64 0.31 1.40 1.33 1.19 Mar-14 NCREIF Timberland 1Q Lag 1.04 2.13 1.04 3.17 3.36 4.66 4.74 NOF Excess Return -1.68 -3.27 -1.68 -2.86 -1.96 -3.33 -3.55 Molpus IV - SL(NOF) 2015 20,000,000.00 17,190,271.00 0.1% -- 0.68 2.10 0.68 -0.89 1.74 -- 1.11 Aug-15 NCREIF Timberland 1Q Lag 1.04 2.13 1.04 3.17 3.36 -- 3.43 NOF Excess Return -0.36 -0.03 -0.36 -4.06 -1.62 -- -2.32 Invesco CMDTY(GOF) 132,239,556.56 1.0% -- 4.29 4.85 6.23 2.75 6.23 0.10 -0.63 -4.03 Aug-13 Invesco CMDTY(NOF) -- 4.24 4.69 5.55 2.42 5.55 -0.54 -1.28 -4.64 Aug-13 Bloombg Futures Commod. TR USD 5.04 4.42 7.69 2.50 7.69 -0.94 -3.92 -6.46 NOF Excess Return -0.81 0.26 -2.14 -0.09 -2.14 0.40 2.64 1.82 Wamco GILS(GOF) 417,019,458.90 3.1% -- 0.15 -1.16 8.03 2.60 8.03 3.60 3.95 4.14 Apr-10 Wamco GILS(NOF) -- 0.13 -1.21 7.84 2.50 7.84 3.42 3.76 3.95 Apr-10 BC WGILB Index -0.44 -2.55 8.38 1.34 8.38 3.88 4.08 4.42 NOF Excess Return 0.57 1.34 -0.54 1.17 -0.54 -0.46 -0.32 -0.47 Total Private Equity(NOF) as of 09/30/2019 1,318,700,000.00 717,538,631.00 5.3% 5.0% 0.40 8.68 0.40 7.86 12.91 10.70 10.46 May-06 WPERP Russell 3000 + 3% 1.91 22.73 1.91 6.00 16.18 13.73 15.30 NOF Excess Return -1.51 -14.05 -1.51 1.86 -3.27 -3.03 -4.84 Adams Street SMB I(NOF) 2017 125,000,000.00 56,764,507.00 0.4% -- 0.27 0.93 0.27 3.32 -- -- 2.29 Jan-17 WPERP Russell 3000+3% 1.91 22.73 1.91 6.00 -- -- 15.33 NOF Excess Return -1.64 -21.80 -1.64 -2.68 -- -- -13.04 Audax Mezz III(NOF) 2011 17,000,000.00 2,757,020.00 0.0% -- 7.56 24.58 7.56 26.22 10.83 10.88 9.69 Jan-11 WPERP Russell 3000+3% 1.91 22.73 1.91 6.00 16.18 13.73 19.12 NOF Excess Return 5.65 1.85 5.65 20.22 -5.35 -2.85 -9.43 Apollo VIII(NOF) 2014 34,000,000.00 27,653,814.00 0.2% -- 6.06 13.49 6.06 3.44 11.58 12.04 11.42 Jan-14 WPERP Russell 3000+3% 1.91 22.73 1.91 6.00 16.18 13.73 14.27 NOF Excess Return 4.15 -9.24 4.15 -2.56 -4.60 -1.69 -2.85 Apollo IX(NOF) 2018 54,200,000.00 8,510,996.00 0.1% -- -2.98 -22.70 -2.98 -22.70 -- -- -22.70 Dec-18 WPERP Russell 3000+3% 1.91 22.73 1.91 6.00 -- -- 22.73 NOF Excess Return -4.89 -45.43 -4.89 -28.70 -- -- -45.43 ARES IV(NOF) 2012 25,000,000.00 22,582,792.00 0.2% -- 0.19 10.05 0.19 6.19 11.81 12.48 12.23 Nov-12 WPERP Russell 3000+3% 1.91 22.73 1.91 6.00 16.18 13.73 16.67 NOF Excess Return -1.72 -12.68 -1.72 0.19 -4.37 -1.25 -4.44 ARES V(NOF) 2016 60,000,000.00 49,896,703.00 0.4% -- 2.76 14.55 2.76 13.82 -- -- 8.84 May-17 WPERP Russell 3000+3% 1.91 22.73 1.91 6.00 -- -- 14.35 NOF Excess Return 0.85 -8.18 0.85 7.82 -- -- -5.51 ARES Special Situation IV(NOF) 2014 50,000,000.00 44,579,932.00 0.3% -- 0.23 8.90 0.23 2.40 4.46 -- -2.78 Jan-15 WPERP Russell 3000+3% 1.91 22.73 1.91 6.00 16.18 -- 13.98 NOF Excess Return -1.68 -13.83 -1.68 -3.60 -11.72 -- -16.76 Blackstone Tactical Opps(NOF) 2014 50,000,000.00 29,388,708.00 0.2% -- 0.53 6.44 0.53 9.45 12.28 -- 11.71 Apr-15 WPERP Russell 3000+3% 1.91 22.73 1.91 6.00 16.18 -- 13.33 NOF Excess Return -1.38 -16.29 -1.38 3.45 -3.90 -- -1.62 Capital Dynamics HRJ SO-II(NOF) 2008 20,000,000.00 3,878,642.00 0.0% -- -0.91 -6.78 -0.91 -10.62 -1.82 -0.69 6.77 Feb-08 WPERP Russell 3000+3% 1.91 22.73 1.91 6.00 16.18 13.73 14.01 NOF Excess Return -2.82 -29.51 -2.82 -16.62 -18.00 -14.42 -7.24
The Northern Trust Company ¹ Alternative investments ITD is an Internal Rate of Return as of 09/30/2019; for all other investments, it is an annualized Time Weighted Return.
Investment Hierarchy1ITD=IRR
Account / Group Name Vintage Commitment Market Value Portfolio Weight
Target Weight 1 Month 3 Months YTD FYTD 1 Year 3 Years 5 Years ITD Inception
Date
(Time Weighted Returns)
N O R T H E R N T R U S T WPERP - Retirement Fund | 31 December 2019
CDR IX(NOF) 2014 25,000,000.00 25,030,627.00 0.2% -- 4.79 14.93 4.79 25.45 15.32 19.34 18.58 Apr-14 WPERP Russell 3000+3% 1.91 22.73 1.91 6.00 16.18 13.73 13.77 NOF Excess Return 2.88 -7.80 2.88 19.45 -0.86 5.61 4.81 CDR X(NOF) 2018 54,000,000.00 22,399,869.00 0.2% -- 6.66 27.50 6.66 22.06 -- -- 20.36 Mar-18 WPERP Russell 3000+3% 1.91 22.73 1.91 6.00 -- -- 12.14 NOF Excess Return 4.75 4.77 4.75 16.06 -- -- 8.22 Crestview Partners III(NOF) 2013 50,000,000.00 22,061,079.00 0.2% -- -1.74 4.52 -1.74 4.89 16.25 -- 11.24 Feb-15 WPERP Russell 3000+3% 1.91 22.73 1.91 6.00 16.18 -- 12.80 NOF Excess Return -3.65 -18.21 -3.65 -1.11 0.07 -- -1.56 EnCap VIII(NOF) 2011 12,500,000.00 3,384,402.00 0.0% -- -8.92 -13.72 -8.92 -30.59 -4.52 -15.26 -5.65 Jan-11 WPERP Russell 3000+3% 1.91 22.73 1.91 6.00 16.18 13.73 19.12 NOF Excess Return -10.83 -36.45 -10.83 -36.59 -20.70 -28.99 -24.77 EnCap IX(NOF) 2013 17,000,000.00 9,356,537.00 0.1% -- -12.02 -11.74 -12.02 -19.62 5.58 8.25 9.54 Jan-13 WPERP Russell 3000+3% 1.91 22.73 1.91 6.00 16.18 13.73 15.91 NOF Excess Return -13.93 -34.47 -13.93 -25.62 -10.60 -5.48 -6.37 EnCAP X(NOF) 2015 37,000,000.00 32,747,278.00 0.2% -- -0.07 -0.68 -0.07 7.50 11.36 -- 9.29 Feb-15 WPERP Russell 3000+3% 1.91 22.73 1.91 6.00 16.18 -- 12.80 NOF Excess Return -1.98 -23.41 -1.98 1.50 -4.82 -- -3.51 Encap XI(NOF) 2017 50,000,000.00 12,515,795.00 0.1% -- -4.46 -9.18 -4.46 -13.41 -- -- -18.96 Jun-17 WPERP Russell 3000+3% 1.91 22.73 1.91 6.00 -- -- 14.33 NOF Excess Return -6.37 -31.91 -6.37 -19.41 -- -- -33.29 Fisher Lynch II(NOF) 2008 20,000,000.00 11,932,173.00 0.1% -- -1.09 2.34 -1.09 -0.45 2.49 3.88 8.95 Mar-08 WPERP Russell 3000+3% 1.91 22.73 1.91 6.00 16.18 13.73 13.80 NOF Excess Return -3.00 -20.39 -3.00 -6.45 -13.69 -9.85 -4.85 Genstar IX(NOF) 2019 44,000,000.00 9,992,873.00 0.1% -- -21.46 -- -21.46 -- -- -- -20.84 Jun-19 WPERP Russell 3000+3% 1.91 -- 1.91 -- -- -- 1.91 NOF Excess Return -23.37 -- -23.37 -- -- -- -22.75 Genstar IX Opps.(NOF) 2019 22,000,000.00 6,559,281.00 0.0% -- -0.29 -- -029 -- -- -- -0.29 Jun-19 WPERP Russell 3000+3% 1.91 -- 1.91 -- -- -- 1.91 NOF Excess Return -2.20 -- -30.91 -- -- -- -2.20 Harvest VII(NOF) 2016 30,000,000.00 28,018,271.00 0.2% -- 0.70 6.52 0.70 6.77 7.46 -- 6.65 Aug-16 WPERP Russell 3000+3% 1.91 22.73 1.91 6.00 16.18 -- 15.87 NOF Excess Return -1.21 -16.21 -1.21 0.77 -8.72 -- -9.22 Industry Ventures VIII(NOF) 2016 37,500,000.00 29,920,994.00 0.2% -- 3.88 25.64 3.88 37.10 -- -- 53.27 Feb-17 WPERP Russell 3000+3% 1.91 22.73 1.91 6.00 -- -- 14.14 NOF Excess Return 1.97 2.91 1.97 31.10 -- -- 39.13 Industry Ven SP Opp III-A(NOF) 2019 22,500,000.00 2,556,470.00 0.0% -- 9.44 -- 9.44 -- -- -- 76.91 Apr-19 WPERP Russell 3000+3% 4.86 -- 1.91 -- -- -- 2.51 NOF Excess Return 4.58 -- 7.53 -- -- -- 74.40 Landmark XIV(NOF) 2008 30,000,000.00 4,752,245.00 0.0% -- 2.61 2.52 2.61 2.37 3.05 -0.05 9.35 Aug-08 WPERP Russell 3000+3% 1.91 22.73 1.91 6.00 16.18 13.73 14.58 NOF Excess Return 0.70 -20.21 0.70 -3.63 -13.13 -13.78 -5.23 Landmark XIII(NOF) 2006 30,000,000.00 6,460,969.00 0.0% -- 1.93 4.11 1.93 6.02 4.73 3.99 5.32 Oct-06 WPERP Russell 3000+3% 1.91 22.73 1.91 6.00 16.18 13.73 15.05 NOF Excess Return 0.02 -18.62 0.02 0.02 -11.45 -9.74 -9.73
The Northern Trust Company ¹ Alternative investments ITD is an Internal Rate of Return as of 09/30/2019; for all other investments, it is an annualized Time Weighted Return.
Investment Hierarchy1ITD=IRR
Account / Group Name Vintage Commitment Market Value Portfolio Weight
Target Weight 1 Month 3 Months YTD FYTD 1 Year 3 Years 5 Years ITD Inception
Date
(Time Weighted Returns)
N O R T H E R N T R U S T WPERP - Retirement Fund | 31 December 2019
Landmark XV(NOF) 2014 40,000,000.00 16,591,355.00 0.1% -- 7.50 11.18 7.50 3.71 14.77 9.35 13.45 Feb-14 WPERP Russell 3000+3% 1.91 22.73 1.91 6.00 16.18 13.73 13.48 NOF Excess Return 5.59 -11.55 5.59 -2.29 -1.41 -4.38 -0.03 Lexington VI(NOF) 2006 30,000,000.00 2,375,632.00 0.0% -- -0.05 4.32 -0.05 2.74 11.25 4.69 6.94 May-06 WPERP Russell 3000+3% 1.91 22.73 1.91 6.00 16.18 13.73 15.30 NOF Excess Return -1.96 -18.41 -1.96 -3.26 -4.93 -9.04 -8.36 Lexington VII(NOF) 2009 30,000,000.00 7,020,642.00 0.1% -- 1.55 5.29 1.55 4.37 9.30 7.81 14.03 Aug-09 WPERP Russell 3000+3% 1.91 22.73 1.91 6.00 16.18 13.73 19.08 NOF Excess Return -0.36 -17.44 -0.36 -1.63 -6.88 -5.92 -5.05 Lexington IX(NOF) 2020 75,000,000.00 5,311,497.00 0.0% -- -- -- -- -- -- -- -- Nov-19 WPERP Russell 3000+3% -- -- -- -- -- -- -- NOF Excess Return -- -- -- -- -- -- -- Oaktree V(NOF) 2009 16,000,000.00 655,522.00 0.0% -- -12.22 -15.08 -12.22 -19.88 -4.25 -5.39 1.64 Jan-09 WPERP Russell 3000+3% 1.91 22.73 1.91 6.00 16.18 13.73 15.84 NOF Excess Return -14.13 -37.81 -14.13 -25.88 -20.43 -19.12 -14.20 Platinum Equity Fund V(NOF) 2020 88,000,000.00 1.00 0.0% -- -- -- -- -- -- -- -- Dec-19 WPERP Russell 3000+3% -- -- -- -- -- -- -- NOF Excess Return -- -- -- -- -- -- -- Silver Lake IV(NOF) 2013 18,000,000.00 22,902,976.00 0.2% -- 1.34 19.37 1.34 18.05 23.00 23.27 25.78 Sep-13 WPERP Russell 3000+3% 1.91 22.73 1.91 6.00 16.18 13.73 14.89 NOF Excess Return -0.57 -3.36 -0.57 12.05 6.82 9.54 10.89 Silver Lake V(NOF) 2018 58,000,000.00 29,457,129.00 0.2% -- 5.22 17.74 5.22 20.00 -- -- 14.27 Jun-18 WPERP Russell 3000+3% 1.91 22.73 1.91 6.00 -- -- 11.35 NOF Excess Return 3.31 -4.99 3.31 14.00 -- -- 2.92 Vista IV(NOF) 2011 25,000,000.00 16,321,675.00 0.1% -- -8.34 -3.07 -8.34 -10.80 7.85 19.82 16.84 Sep-11 WPERP Russell 3000+3% 1.91 22.73 1.91 6.00 16.18 13.73 18.22 NOF Excess Return -10.25 -25.80 -10.25 -16.80 -8.33 6.09 -1.38 Vista V(NOF) 2014 50,000,000.00 45,163,944.00 0.3% -- -3.08 14.09 -3.08 12.93 29.66 22.74 22.19 Apr-14 WPERP Russell 3000+3% 1.91 22.73 1.91 6.00 16.18 13.73 13.77 NOF Excess Return -4.99 -8.64 -4.99 6.93 13.48 9.01 8.42 Vista VI(NOF) 2016 60,000,000.00 72,168,606.00 0.5% -- -0.78 10.57 -0.78 12.69 16.42 -- 16.04 May-16 WPERP Russell 3000+3% 1.91 22.73 1.91 6.00 16.18 -- 16.35 NOF Excess Return -2.69 -12.16 -2.69 6.69 0.24 -- -0.31 Vista VII(NOF) 2018 75,000,000.00 17,894,339.00 0.1% -- -0.01 -5.14 -0.01 -5.14 -- -- -5.14 Aug-18 WPERP Russell 3000+3% 1.91 22.73 1.91 6.00 -- -- 5.93 NOF Excess Return -1.92 -27.87 -1.92 -11.14 -- -- -11.07 Cash(GOF) 78,118,949.42 0.6% 1.0% 0.15 0.47 2.54 1.06 2.54 2.20 1.73 1.87 Mar-01 Cash(NOF) 0.15 0.47 2.54 1.06 2.54 2.20 1.73 1.48 ICE BofAML US 3-Month Treasury Bill 0.14 0.46 2.28 1.03 2.28 1.67 1.07 1.49 NOF Excess Return 0.01 0.01 0.26 0.04 0.26 0.53 0.65 -0.01 Retirement Cash(GOF) 78,118,949.42 0.6% -- 0.15 0.47 2.54 1.06 2.54 2.20 1.73 1.84 Nov-04 Retirement Cash(NOF) 0.15 0.47 2.54 1.06 2.54 2.20 1.73 1.84 NOF Excess Return -- -- -- -- -- -- -- --
The Northern Trust Company
SCHEDULE OF RELATIVE RETURN - NET OF MANAGEMENT FEES
Portfolio Return YTD 1 Year 3 Year 5 Year 10 YearWPERP - Retirement Fund Total (GOF) 17.93 17.93 10.12 7.75 8.65WPERP - Retirement Fund Total (NOF) 17.68 17.68 9.89 7.53 8.41Less: Estimated Management Fees 0.25 0.25 0.23 0.22 0.24WPERP Retirement Fund Index 17.78 17.78 9.78 7.62 8.63ICE BofAML 3 Months US T-BILL 2.28 2.28 1.67 1.07 0.58Total Fixed Income Index 8.79 8.79 4.26 3.69 4.25MS AC WldxUS IMI Nt 21.63 21.63 9.84 5.71 5.21Russell 3000 31.02 31.02 14.57 11.24 13.42WPERP NCREIF + 50bps (1Q Lag) 6.75 6.75 7.29 9.10 10.13WPERP T-Bill+3% 1-Month Lag 5.39 5.39 4.68 4.07 3.58WPERP Russell 3000+3%(1Q Lag) 6.00 6.00 16.18 13.73 18.80WPERP CPI+3% (1-Month Lag) 5.06 5.06 5.20 4.76 4.85Relative Return - Net of Fees -0.10 -0.10 0.11 -0.10 -0.22
Footnote :1. Total Fixed Income Index is comprised of BC US Universal from Inception to 08/31/15, then the following components from 09/1/15-present : BC US Intermediate Agg x Credit 50%, BC Global Agg Credit USD Hdg 30%, BC Global High Yield USD Hdg 15 %, and Credit Suisse Lev. Loan 5%
N O R T H E R N T R U S T WPERP - Retirement Fund | 31 December 2019
The Northern Trust Company
Asset Allocation
33.00%
19.00%
26.00%
5.00%
6.00%
5.00% 5.00% 1.00%
Policy Weight and Equivalent Market Value
Total Domestic Equity 4,496.0M ; 33.00%
Total International Equity 2,588.6M ;19.00%
Total Fixed 3,542.3M ; 26.00%
Total Hedge Funds 681.2M ; 5.00%
Total Real Estate 817.5M ; 6.00%
Total Private Equity 681.2M ; 5.00%
Total Real Return 681.2M ; 5.00%
Cash 136.2M ; 1.00%
3.16%
0.44%
-3.02%
-0.46%
0.80%
0.27%
-0.76%
-0.43%
Total Domestic Equity 430.7M
Total International Equity 59.4M
Total Fixed -411.4M
Total Hedge Funds -62.2M
Total Real Estate 109.0M
Total Private Equity 36.3M
Total Real Return -103.7M
Cash -58.1M
Gap to Policy in Percent Weight and Market Value
N O R T H E R N T R U S T WPERP - Retirement Fund | 31 December 2019
The Northern Trust Company
Plan Level Attribution - 1 Month
AccountName
BenchmarkName
AccountEnd Weight
BenchmarkEnd Weight
ActiveWeight
AccountRoR
BenchmarkRoR
ExcessRoR
Asset Allocation
SelectionEffect
TotalEffect
Attribution Residual
WPERP - Retirement Fund Total WPERP Retirement Fund Index 100.00 100.00 0.00 1.92 2.19 (0.26) 0.08 (0.34) (0.26) 0.00Total Equity -- 55.60 -- -- 3.18 -- -- 0.02 (0.13) (0.11) --Total Domestic Equity Russell 3000 36.16 33.00 3.16 2.60 2.89 (0.29) 0.02 (0.10) (0.08) --Total International Equity MS AC WldxUS IMI Nt 19.44 19.00 0.44 4.28 4.41 (0.14) (0.00) (0.03) (0.03) --Total Fixed Total Fixed Income Index 22.98 26.00 (3.02) 0.59 0.60 (0.01) 0.04 (0.00) 0.04 --Total Alternatives -- 20.85 -- -- 0.19 -- -- 0.01 (0.21) (0.20) --Total Real Estate WPERP NCREIF + 50bps (1Q Lag) 6.80 6.00 0.80 0.10 1.53 (1.43) (0.01) (0.10) (0.10) --Total Private Equity WPERP Russell 3000+3%(1Q Lag) 5.27 5.00 0.27 (0.45) 2.00 (2.45) (0.00) (0.13) (0.13) --Total Real Return WPERP CPI+3% (1-Month Lag) 4.24 5.00 (0.76) 1.06 0.51 0.55 0.01 0.02 0.04 --Total Hedge Funds WPERP T-Bill+3% 1-Month Lag 4.54 5.00 (0.46) 0.27 0.37 (0.10) 0.01 (0.00) 0.00 --Cash ICE BofAML 3 Months US T-BILL 0.57 1.00 (0.43) 0.15 0.14 0.01 0.00 0.00 0.00 --Transition Accounts -- 0.00 -- -- 0.00 -- -- 0.00 0.00 0.00 --
0.00
0.00
3.16
0.44
(3.02)
0.00
0.80
0.27
(0.76)
(0.46)
(0.43)
0.00
(4.0) (2.0) 0.0 2.0 4.0
ACTIVE WEIGHT (%)
WPERP - RetirementFund Total
Total Equity
Total DomesticEquity
Total InternationalEquity
Total Fixed
Total Alternatives
Total Real Estate
Total Private Equity
Total Real Return
Total Hedge Funds
Cash
(0.26)
0.00
(0.29)
(0.14)
(0.01)
0.00
(1.43)
(2.45)
0.55
(0.10)
0.01
0.00
(5.0) 0.0 5.0
EXCESS RETURN (%)
(0.34)
(0.13)
(0.10)
(0.03)
(0.00)
(0.21)
(0.10)
(0.13)
0.02
(0.00)
0.00
0.00
(0.4) (0.2) 0.0 0.2
STOCK SELECTION (%)
0.08
0.02
0.02
(0.00)
0.04
0.01
(0.01)
(0.00)
0.01
0.01
0.00
0.00
(0.1) 0.0 0.1 0.1
ASSET ALLOCATION (%)
(0.26)
(0.11)
(0.08)
(0.03)
0.04
(0.20)
(0.10)
(0.13)
0.04
0.00
0.00
0.00
(0.4) (0.2) 0.0 0.2
TOTAL EFFECT (%)
N O R T H E R N T R U S T WPERP - Retirement Fund | 31 December 2019
The Northern Trust Company ¹ Alternative investments ITD is an Internal Rate of Return as of 09/30/2019; for all other investments, it is an annualized Time Weighted Return.
Investment Hierarchy1ITD=IRR
Account / Group Name Vintage Commitment Market Value Portfolio Weight
Target Weight 1 Month 3 Months YTD FYTD 1 Year 3 Years 5 Years ITD Inception
DateWPERP - Health Fund Total(GOF) 2,356,310,465.12 100.0% 100.0% 1.91 5.21 18.19 5.97 18.19 10.29 7.80 6.76 Dec-06WPERP - Health Fund Total(NOF) 1.90 5.16 17.97 5.87 17.97 10.08 7.59 6.59 Dec-06WPERP Health Fund Index 2.19 5.28 17.78 6.26 17.78 9.78 7.62 6.32NOF Excess Return -0.29 -0.12 0.19 -0.39 0.19 0.30 -0.03 0.28 WPERP - Health Fund ex Sec Len(GOF) 2,356,310,465.12 100.0% -- 1.91 5.21 18.17 5.96 18.17 10.26 7.76 6.73 Dec-06 WPERP - Health Fund ex Sec Len(NOF) 1.90 5.15 17.94 5.86 17.94 10.04 7.55 6.65 Dec-06 WPERP Health Fund Index 2.19 5.28 17.78 6.26 17.78 9.78 7.62 6.32 NOF Excess Return -0.29 -0.12 0.16 -0.40 0.16 0.27 -0.07 0.33 Total Equity(GOF) 1,313,183,685.40 55.7% 52.0% 3.17 9.02 27.47 8.65 27.47 13.93 10.13 6.96 Dec-06 Total Equity(NOF) 3.15 8.96 27.16 8.51 27.16 13.66 9.87 6.76 Dec-06 S&P 500 3.02 9.07 31.49 10.92 31.49 15.27 11.70 8.81 NOF Excess Return 0.13 -0.11 -4.33 -2.41 -4.33 -1.61 -1.83 -2.06 Total Domestic Equity(GOF) 868,917,676.84 36.9% 33.0% 2.62 8.94 30.05 9.44 30.05 15.49 11.90 9.10 Dec-06 Total Domestic Equity(NOF) 2.60 8.88 29.76 9.32 29.76 15.25 11.68 8.91 Dec-06 Russell 3000 2.89 9.10 31.02 10.37 31.02 14.57 11.24 8.76 NOF Excess Return -0.29 -0.22 -1.26 -1.04 -1.26 0.68 0.43 0.15 Large Cap Equity(GOF) 805,162,404.63 34.2% 30.8% 2.61 8.90 29.99 9.71 29.99 15.70 12.08 9.17 Dec-06 Large Cap Equity(NOF) 2.59 8.85 29.75 9.61 29.75 15.49 11.89 9.10 Dec-06 Russell 1000 2.89 9.04 31.43 10.59 31.43 15.05 11.48 8.87 NOF Excess Return -0.29 -0.19 -1.68 -0.98 -1.68 0.44 0.41 0.23 Large Cap Value(GOF) 238,538,680.50 10.1% 9.0% 2.79 7.45 28.77 9.88 28.77 11.33 9.75 12.90 Aug-09 Large Cap Value(NOF) 2.76 7.37 28.39 9.72 28.39 11.00 9.42 12.59 Aug-09 Russell 1000 Value 2.75 7.41 26.54 8.86 26.54 9.68 8.29 12.25 NOF Excess Return 0.01 -0.04 1.85 0.86 1.85 1.32 1.13 0.34 MFS LC Val(GOF) 119,884,381.21 5.1% -- 2.77 7.36 30.56 10.11 30.56 11.62 9.98 12.68 Sep-09 MFS LC Val(NOF) 2.75 7.28 30.18 9.94 30.18 11.29 9.65 12.33 Sep-09 Russell 1000 Value 2.75 7.41 26.54 8.86 26.54 9.68 8.29 11.95 NOF Excess Return -0.01 -0.13 3.64 1.08 3.64 1.61 1.36 0.38 T Rowe Price LC Val(GOF) 118,654,299.29 5.0% -- 2.81 7.54 27.00 9.66 27.00 11.03 9.51 12.93 Sep-09 T Rowe Price LC Val(NOF) 2.78 7.46 26.63 9.50 26.63 10.71 9.19 12.59 Sep-09 Russell 1000 Value 2.75 7.41 26.54 8.86 26.54 9.68 8.29 11.95 NOF Excess Return 0.03 0.05 0.09 0.64 0.09 1.03 0.90 0.64 Large Cap Growth(GOF) 276,748,644.29 11.7% 9.0% 2.17 10.03 29.87 8.65 29.87 21.60 14.73 15.70 Aug-09 Large Cap Growth(NOF) 2.14 9.95 29.47 8.50 29.47 21.23 14.38 15.36 Aug-09 Russell 1000 Growth 3.02 10.62 36.39 12.27 36.39 20.49 14.63 16.01 NOF Excess Return -0.88 -0.67 -6.92 -3.77 -6.92 0.74 -0.25 -0.66 Jennison Large Cap-SL(GOF) 130,724,146.50 5.5% -- 2.31 10.64 -- 8.63 -- -- -- 19.78 Jan-19 Jennison Large Cap-SL(NOF) 2.28 10.57 -- 8.49 -- -- -- 19.48 Jan-19 Russell 1000 Growth 3.02 10.62 -- 12.27 -- -- -- 25.14 NOF Excess Return -0.73 -0.05 -- -3.78 -- -- -- -5.66
(Time Weighted Returns)
N O R T H E R N T R U S T WPERP - Health Fund | 31 December 2019
The Northern Trust Company ¹ Alternative investments ITD is an Internal Rate of Return as of 09/30/2019; for all other investments, it is an annualized Time Weighted Return.
Investment Hierarchy1ITD=IRR
Account / Group Name Vintage Commitment Market Value Portfolio Weight
Target Weight 1 Month 3 Months YTD FYTD 1 Year 3 Years 5 Years ITD Inception
Date
(Time Weighted Returns)
N O R T H E R N T R U S T WPERP - Health Fund | 31 December 2019
T Rowe LC Grw(GOF) 146,019,722.05 6.2% -- 2.04 9.49 28.31 8.68 28.31 22.48 16.92 16.03 Mar-10 T Rowe LC Grw(NOF) 2.01 9.40 27.91 8.51 27.91 22.09 16.55 15.65 Mar-10 Russell 1000 Growth 3.02 10.62 36.39 12.27 36.39 20.49 14.63 15.10 NOF Excess Return -1.00 -1.22 -8.48 -3.76 -8.48 1.60 1.92 0.55 Large Cap Core(GOF) 289,875,079.84 12.3% 12.8% 2.89 9.04 31.30 10.60 31.30 15.03 11.48 8.96 Dec-06 Large Cap Core(NOF) 2.89 9.04 31.30 10.60 31.30 15.03 11.48 8.92 Dec-06 Russell 1000 2.89 9.04 31.43 10.59 31.43 15.05 11.48 8.87 NOF Excess Return 0.00 0.01 -0.13 0.01 -0.13 -0.02 0.00 0.05 Blackrock/Russell 1000(GOF) 289,875,079.84 12.3% -- 2.89 9.04 31.30 10.60 31.30 15.03 11.48 8.96 Dec-06 Blackrock/Russell 1000(NOF) 2.89 9.04 31.30 10.60 31.30 15.03 11.48 8.92 Dec-06 Russell 1000 2.89 9.04 31.43 10.59 31.43 15.05 11.48 8.87 NOF Excess Return 0.00 0.01 -0.13 0.01 -0.13 -0.02 0.00 0.05 Small Cap Equity(GOF) 63,755,272.21 2.7% 2.3% 2.72 9.42 30.69 6.09 30.69 12.95 9.83 13.13 Aug-09 Small Cap Equity(NOF) 2.67 9.26 29.95 5.78 29.95 12.30 9.16 12.40 Aug-09 Russell 2000 2.88 9.94 25.52 7.30 25.52 8.59 8.23 12.44 NOF Excess Return -0.21 -0.68 4.42 -1.52 4.42 3.71 0.93 -0.05 Small Cap Value(GOF) 32,367,733.17 1.4% 1.1% 3.21 7.60 30.79 8.53 30.79 11.14 10.86 14.14 Aug-09 Small Cap Value(NOF) 3.16 7.45 30.07 8.23 30.07 10.53 10.24 13.55 Aug-09 Russell 2000 Value 3.50 8.49 22.39 7.87 22.39 4.77 6.99 11.11 NOF Excess Return -0.34 -1.04 7.68 0.36 7.68 5.76 3.25 2.43 Earnest Partners SC Val(GOF) 32,367,733.17 1.4% -- 3.21 7.60 30.79 8.53 30.79 11.14 10.86 14.05 Sep-09 Earnest Partners SC Val(NOF) 3.16 7.45 30.07 8.23 30.07 10.53 10.24 13.39 Sep-09 Russell 2000 Value 3.50 8.49 22.39 7.87 22.39 4.77 6.99 10.68 NOF Excess Return -0.34 -1.04 7.68 0.36 7.68 5.76 3.25 2.72 Small Cap Growth(GOF) 31,387,539.04 1.3% 1.1% 2.22 11.36 30.59 3.68 30.59 14.94 8.85 12.12 Aug-09 Small Cap Growth(NOF) 2.17 11.20 29.82 3.37 29.82 14.26 8.13 11.26 Aug-09 Russell 2000 Growth 2.29 11.39 28.48 6.75 28.48 12.49 9.34 13.70 NOF Excess Return -0.12 -0.20 1.33 -3.38 1.33 1.77 -1.21 -2.45 Emerald Sm. Cap Growth(GOF) 31,387,539.04 1.3% -- 2.22 11.36 30.59 3.68 30.59 14.94 -- 11.92 Nov-15 Emerald Sm. Cap Growth(NOF) 2.17 11.20 29.82 3.37 29.82 14.26 -- 11.26 Nov-15 Russell 2000 Growth 2.29 11.39 28.48 6.75 28.48 12.49 -- 10.60 NOF Excess Return -0.12 -0.20 1.33 -3.38 1.33 1.77 -- 0.65 Total International Equity(GOF) 444,266,008.56 18.9% 19.0% 4.26 9.19 22.71 7.14 22.71 11.15 6.89 6.08 Aug-09 Total International Equity(NOF) 4.24 9.10 22.33 6.97 22.33 10.81 6.56 5.78 Aug-09 MS AC WldxUS IMI Nt 4.41 9.20 21.63 7.33 21.63 9.84 5.71 5.92 NOF Excess Return -0.17 -0.10 0.70 -0.35 0.70 0.97 0.85 -0.15 Developed Market Equity(GOF) 331,355,086.45 14.1% 14.5% 3.29 8.51 24.50 7.52 24.50 11.07 7.07 6.70 Aug-09 Developed Market Equity(NOF) 3.27 8.45 24.24 7.41 24.24 10.84 6.85 6.47 Aug-09 MSCI World ex U.S. IMI ND Index 3.40 8.36 22.91 7.45 22.91 9.49 5.79 6.12 NOF Excess Return -0.13 0.10 1.33 -0.04 1.33 1.35 1.06 0.35
The Northern Trust Company ¹ Alternative investments ITD is an Internal Rate of Return as of 09/30/2019; for all other investments, it is an annualized Time Weighted Return.
Investment Hierarchy1ITD=IRR
Account / Group Name Vintage Commitment Market Value Portfolio Weight
Target Weight 1 Month 3 Months YTD FYTD 1 Year 3 Years 5 Years ITD Inception
Date
(Time Weighted Returns)
N O R T H E R N T R U S T WPERP - Health Fund | 31 December 2019
Blackrock/MSCI World(GOF) 106,473,626.33 4.5% -- 3.42 8.43 23.45 7.58 23.45 9.97 6.24 7.39 Sep-12 Blackrock/MSCI World(NOF) 3.42 8.43 23.45 7.58 23.45 9.97 6.24 7.38 Sep-12 MSCI World ex U.S. IMI ND Index 3.40 8.36 22.91 7.45 22.91 9.49 5.79 6.95 NOF Excess Return 0.02 0.07 0.55 0.13 0.55 0.48 0.45 0.43 MFS Dev Val(GOF) 116,970,241.29 5.0% -- 3.06 8.09 24.38 7.50 24.38 13.02 9.05 11.34 Jul-12 MFS Dev Val(NOF) 3.03 8.00 23.97 7.32 23.97 12.64 8.69 10.97 Jul-12 MSCI World ex U.S. IMI ND Index 3.40 8.36 22.91 7.45 22.91 9.49 5.79 7.66 NOF Excess Return -0.36 -0.36 1.06 -0.13 1.06 3.15 2.90 3.31 Fidelity Institutional Dev Grw(GOF) 107,911,218.83 4.6% -- 3.40 9.05 25.66 7.49 25.66 10.16 6.04 6.58 Sep-09 Fidelity Institutional Dev Grw(NOF) 3.37 8.98 25.32 7.34 25.32 9.85 5.75 6.27 Sep-09 MSCI World ex U.S. IMI ND Index 3.40 8.36 22.91 7.45 22.91 9.49 5.79 5.74 NOF Excess Return -0.02 0.62 2.41 -0.11 2.41 0.36 -0.04 0.53 Emerging Market Equity(GOF) 112,910,922.11 4.8% 4.5% 7.25 11.23 17.77 6.02 17.77 11.39 6.01 4.43 Jan-12 Emerging Market Equity(NOF) 7.19 11.06 17.06 5.70 17.06 10.72 5.37 3.86 Jan-12 MSCI Emerging Markets IMI 7.32 11.59 17.64 6.81 17.64 11.00 5.30 3.63 NOF Excess Return -0.12 -0.53 -0.58 -1.11 -0.58 -0.28 0.07 0.22 LA Capital EM(GOF) 54,831,869.00 2.3% -- 7.35 11.74 18.11 6.97 18.11 10.95 5.39 4.38 Sep-12 LA Capital EM(NOF) 7.29 11.56 17.34 6.62 17.34 10.24 4.71 3.72 Sep-12 MSCI Emerging Markets IMI 7.32 11.59 17.64 6.81 17.64 11.00 5.30 3.82 NOF Excess Return -0.03 -0.03 -0.29 -0.19 -0.29 -0.76 -0.59 -0.10 Wellington EM(GOF) 58,079,053.09 2.5% -- 7.15 10.75 17.45 5.15 17.45 11.81 -- 9.39 Sep-16 Wellington EM(NOF) 7.10 10.60 16.78 4.84 16.78 11.18 -- 8.77 Sep-16 MSCI Emerging Markets IMI 7.32 11.59 17.64 6.81 17.64 11.00 -- 8.58 NOF Excess Return -0.22 -0.99 -0.86 -1.96 -0.86 0.18 -- 0.19 Total Fixed(GOF) 533,052,526.65 22.6% 26.0% 0.60 0.98 9.51 2.67 9.51 4.65 3.91 5.48 Dec-06 Total Fixed(NOF) 0.59 0.94 9.34 2.58 9.34 4.48 3.75 5.37 Dec-06 Total Fixed Income Index 0.60 0.95 8.79 2.38 8.79 4.26 3.69 4.60 NOF Excess Return -0.02 -0.01 0.55 0.21 0.55 0.22 0.06 0.76 Principal Protection(GOF) 264,266,838.31 11.2% 13.5% 0.13 0.30 6.00 1.79 6.00 3.05 -- 2.58 Aug-15 Principal Protection(NOF) 0.12 0.27 5.89 1.73 5.89 2.94 -- 2.47 Aug-15 BC US Intermediate Agg x Credit Bond 0.10 0.31 5.79 1.59 5.79 2.91 -- 2.37 NOF Excess Return 0.02 -0.03 0.10 0.14 0.10 0.03 -- 0.10 JPM Principal Protection(GOF) 132,468,007.15 5.6% -- 0.02 0.15 5.94 1.75 5.94 3.03 -- 2.58 Aug-15 JPM Principal Protection(NOF) 0.01 0.12 5.84 1.70 5.84 2.93 -- 2.48 Aug-15 BC US Intermediate Agg x Credit Bond 0.10 0.31 5.79 1.59 5.79 2.91 -- 2.37 NOF Excess Return -0.08 -0.18 0.05 0.10 0.05 0.02 -- 0.10
The Northern Trust Company ¹ Alternative investments ITD is an Internal Rate of Return as of 09/30/2019; for all other investments, it is an annualized Time Weighted Return.
Investment Hierarchy1ITD=IRR
Account / Group Name Vintage Commitment Market Value Portfolio Weight
Target Weight 1 Month 3 Months YTD FYTD 1 Year 3 Years 5 Years ITD Inception
Date
(Time Weighted Returns)
N O R T H E R N T R U S T WPERP - Health Fund | 31 December 2019
Wells Cap Principal Protection(GOF) 131,798,831.16 5.6% -- 0.23 0.45 6.06 1.83 6.06 3.07 -- 2.58 Aug-15 Wells Cap Principal Protection(NOF) 0.22 0.42 5.95 1.77 5.95 2.96 -- 2.46 Aug-15 BC US Intermediate Agg x Credit Bond 0.10 0.31 5.79 1.59 5.79 2.91 -- 2.37 NOF Excess Return 0.13 0.12 0.16 0.18 0.16 0.04 -- 0.09 Extended Credit(GOF) 243,118,045.16 10.3% 11.3% 1.11 1.71 13.72 3.48 13.72 6.60 -- 6.37 Aug-15 Extended Credit(NOF) 1.10 1.66 13.49 3.37 13.49 6.38 -- 6.16 Aug-15 66% BC Credit/33%BC High Yield 1.10 1.63 12.53 3.29 12.53 5.78 -- 6.05 NOF Excess Return 0.00 0.02 0.97 0.08 0.97 0.60 -- 0.11 Macquarie FI(GOF) 119,135,356.03 5.1% -- 1.05 1.64 13.60 3.53 13.60 6.05 -- 5.69 Aug-15 Macquarie FI(NOF) 1.03 1.60 13.41 3.44 13.41 5.87 -- 5.51 Aug-15 66% BC Credit/33%BC High Yield 1.10 1.63 12.53 3.29 12.53 5.78 -- 6.05 NOF Excess Return -0.06 -0.04 0.88 0.15 0.88 0.09 -- -0.55 Neuberger GC FI(GOF) 123,982,689.13 5.3% -- 1.17 1.77 13.84 3.42 13.84 7.13 -- 7.05 Aug-15 Neuberger GC FI(NOF) 1.15 1.71 13.58 3.30 13.58 6.89 -- 6.80 Aug-15 66% BC Credit/33%BC High Yield 1.10 1.63 12.53 3.29 12.53 5.78 -- 6.05 NOF Excess Return 0.06 0.08 1.05 0.01 1.05 1.10 -- 0.75 US Bank Loans(GOF) 25,667,643.18 1.1% 1.3% 0.70 1.16 9.04 4.25 9.04 4.66 -- 5.19 Aug-15 US Bank Loans(NOF) 0.67 1.08 8.69 4.08 8.69 4.32 -- 4.86 Aug-15 Credit Suisse Leveraged Loan 1.61 1.68 8.17 2.61 8.17 4.48 -- 4.70 NOF Excess Return -0.94 -0.59 0.52 1.47 0.52 -0.16 -- 0.15 Pacific Asset BL FL(GOF) 25,667,643.18 1.1% -- 0.70 1.16 9.04 4.25 9.04 4.66 -- 5.19 Aug-15 Pacific Asset BL FL(NOF) 0.67 1.08 8.69 4.08 8.69 4.32 -- 4.86 Aug-15 Credit Suisse Leveraged Loan 1.61 1.68 8.17 2.61 8.17 4.48 -- 4.70 NOF Excess Return -0.94 -0.59 0.52 1.47 0.52 -0.16 -- 0.15 Total Hedge Funds(NOF) 100,772,921.00 4.3% 5.0% 0.27 0.06 3.23 1.18 3.23 2.77 1.43 3.06 Aug-10 WPERP T-Bill+3% 1-Month Lag 0.37 1.24 5.39 2.61 5.39 4.68 4.07 3.62 NOF Excess Return -0.10 -1.18 -2.16 -1.43 -2.16 -1.91 -2.64 -0.56 Blackstone Hope St.(NOF) 100,772,921.00 0.27 0.06 3.23 1.18 3.23 -- -- 2.33 Sep-17 WPERP T-Bill+3% 1-Month Lag 0.37 1.24 5.39 2.61 5.39 -- -- 5.00 NOF Excess Return -0.10 -1.18 -2.15 -1.43 -2.15 -- -- -2.67 Morgan Stanley AIP(NOF) - 0.00 0.00 -1.54 0.00 -1.54 3.00 1.26 1.19 Feb-14 WPERP T-Bill+3% 1-Month Lag 0.45 1.35 4.10 1.35 5.43 4.54 3.97 3.88 NOF Excess Return -0.37 -1.24 -6.93 -2.61 -6.93 -1.67 -2.81 -2.73 Total Real Estate(NOF) as of 09/30/2019 239,109,338.00 151,676,805.65 6.4% 6.0% 2.29 7.79 2.29 8.95 10.37 10.79 11.24 Jan-10 WPERP NCREIF (RT) + 50 bps 1.53 5.18 1.53 6.75 7.29 9.10 10.74 NOF Excess Return 0.76 2.61 0.76 2.20 3.08 1.69 0.50 AG Core Plus III(NOF) 2012 2,000,000.00 344,899.00 0.0% -- -1.06 -0.06 -1.06 -11.64 -1.74 22.73 20.34 Jan-12 WPERP NCREIF (RT) + 50 bps 1.53 5.18 1.53 6.75 7.29 9.10 9.98 NOF Excess Return -2.59 -5.24 -2.59 -18.39 -9.03 13.63 10.36
The Northern Trust Company ¹ Alternative investments ITD is an Internal Rate of Return as of 09/30/2019; for all other investments, it is an annualized Time Weighted Return.
Investment Hierarchy1ITD=IRR
Account / Group Name Vintage Commitment Market Value Portfolio Weight
Target Weight 1 Month 3 Months YTD FYTD 1 Year 3 Years 5 Years ITD Inception
Date
(Time Weighted Returns)
N O R T H E R N T R U S T WPERP - Health Fund | 31 December 2019
Almanac VI(NOF) 2012 2,000,000.00 349,096.00 0.0% -- 1.29 -2.40 1.29 -3.29 2.25 10.12 11.80 Jun-12 WPERP NCREIF (RT) + 50 bps 1.53 5.18 1.53 6.75 7.29 9.10 9.80 NOF Excess Return -0.24 -7.58 -0.24 -10.04 -5.04 1.02 2.00 Almanac VII(NOF) 2014 6,000,000.00 2,294,507.00 0.1% -- 3.05 8.24 3.05 10.51 14.14 -- 13.29 Mar-15 WPERP NCREIF (RT) + 50 bps 1.53 5.18 1.53 6.75 7.29 -- 8.52 NOF Excess Return 1.52 3.06 1.52 3.76 6.85 -- 4.77 Almanac VIII(NOF) 2018 15,000,000.00 1,173,818.00 0.0% -- -6.13 -30.13 -6.13 -36.33 -- -- -36.33 Dec-18 WPERP NCREIF + 50bps (1Q Lag) 1.63 5.14 1.63 6.75 -- -- 5.14 NOF Excess Return -7.76 -35.27 -7.76 -43.08 -- -- -41.47 BREP Europe IV(NOF) 2013 5,000,000.00 1,815,784.05 0.1% -- -0.54 2.47 -0.54 2.23 20.99 14.49 13.73 Dec-13 WPERP NCREIF (RT) + 50 bps 1.53 5.18 1.53 6.75 7.29 9.10 9.48 NOF Excess Return -2.07 -2.71 -2.07 -4.52 13.70 5.39 4.25 BREP VII(NOF) 2012 5,000,000.00 2,533,805.00 0.1% -- 1.70 10.08 1.70 5.56 9.61 10.72 15.98 Jun-12 WPERP NCREIF (RT) + 50 bps 1.53 5.18 1.53 6.75 7.29 9.10 9.80 NOF Excess Return 0.17 4.90 0.17 -1.19 2.32 1.62 6.18 Bristol Value II(NOF) 2011 5,000,000.00 4,086,994.00 0.2% -- -0.28 -1.38 -0.28 3.26 8.50 8.09 8.19 Nov-12 WPERP NCREIF (RT) + 50 bps 1.53 5.18 1.53 6.75 7.29 9.10 10.05 NOF Excess Return -1.81 -6.56 -1.81 -3.49 1.21 -1.01 -1.86 Brookfield Premier(NOF) 2018 15,000,000.00 16,210,613.00 0.7% -- 2.05 6.07 2.05 8.07 -- -- 8.07 Sep-18 WPERP NCREIF (RT) + 50 bps 1.53 5.18 1.53 6.75 -- -- 6.75 NOF Excess Return 0.52 0.89 0.52 1.32 -- -- 1.32 DRA VII(NOF) 2011 3,100,000.00 747,124.00 0.0% -- 9.87 21.40 9.87 25.52 30.21 24.08 21.05 Oct-11 WPERP NCREIF (RT) + 50 bps 1.53 5.18 1.53 6.75 7.29 9.10 10.06 NOF Excess Return 8.34 16.22 8.34 18.77 22.92 14.98 10.99 DRA G&I VIII(NOF) 2014 5,000,000.00 3,401,273.00 0.1% -- 0.33 3.87 0.33 6.52 10.13 10.87 10.95 Jun-14 WPERP NCREIF (RT) + 50 bps 1.53 5.18 1.53 6.75 7.29 9.10 9.21 NOF Excess Return -1.20 -1.31 -1.20 -0.23 2.84 1.77 1.74 DRA G&I IX(NOF) 2017 10,000,000.00 8,653,363.00 0.4% -- 3.16 9.25 3.16 13.36 -- -- 16.32 Dec-16 WPERP NCREIF (RT) + 50 bps 1.53 5.18 1.53 6.75 -- -- 7.26 NOF Excess Return 1.63 4.07 1.63 6.61 -- -- 9.06 FPA Core Plus III(NOF) 2017 10,000,000.00 10,314,919.00 0.4% -- 4.16 10.12 4.16 12.50 -- -- 7.63 Dec-16 WPERP NCREIF (RT) + 50 bps 1.53 5.18 1.53 6.75 -- -- 7.26 NOF Excess Return 2.63 4.94 2.63 5.75 -- -- 0.37 Harrison Street Core(NOF) 2016 10,000,000.00 13,276,873.00 0.6% -- 1.88 4.37 1.88 6.23 7.85 -- 8.15 Dec-15 WPERP NCREIF (RT) + 50 bps 1.53 5.18 1.53 6.75 7.29 -- 7.59 NOF Excess Return 0.35 -0.81 0.35 -0.52 0.56 -- 0.56 Invesco Core Realty(NOF) 2011 5,000,000.00 10,434,260.24 0.4% -- 1.79 3.54 1.79 5.68 7.15 8.95 9.45 Jun-11 WPERP NCREIF (RT) + 50 bps 1.53 5.18 1.53 6.75 7.29 9.10 10.07 NOF Excess Return 0.26 -1.64 0.26 -1.07 -0.14 -0.15 -0.62 Jamestown Premier(NOF) 2016 10,000,000.00 9,264,261.00 0.4% -- 0.49 2.25 0.49 3.41 8.01 -- 8.06 Jan-16 WPERP NCREIF (RT) + 50 bps 1.53 5.18 1.53 6.75 7.29 -- 7.77 NOF Excess Return -1.04 -2.93 -1.04 -3.34 0.72 -- 0.29
The Northern Trust Company ¹ Alternative investments ITD is an Internal Rate of Return as of 09/30/2019; for all other investments, it is an annualized Time Weighted Return.
Investment Hierarchy1ITD=IRR
Account / Group Name Vintage Commitment Market Value Portfolio Weight
Target Weight 1 Month 3 Months YTD FYTD 1 Year 3 Years 5 Years ITD Inception
Date
(Time Weighted Returns)
N O R T H E R N T R U S T WPERP - Health Fund | 31 December 2019
LaSalle Asia V(NOF) 2016 10,000,000.00 3,394,276.00 0.1% -- -3.36 30.12 -3.36 35.28 -- -- 11.03 Nov-17 WPERP NCREIF (RT) + 50 bps 1.53 5.18 1.53 6.75 -- -- 7.90 NOF Excess Return -4.89 24.94 -4.89 28.53 -- -- 3.13 Lone Star RE II(NOF) 2011 1,000,000.00 31,473.00 0.0% -- 5.25 8.85 5.25 11.40 6.54 28.20 25.20 May-11 WPERP NCREIF (RT) + 50 bps 1.53 5.18 1.53 6.75 7.29 9.10 10.47 NOF Excess Return 3.72 3.67 3.72 4.65 -0.75 19.10 14.73 Lone Star RE IV(NOF) 2015 8,086,939.00 2,993,279.00 0.1% -- -1.14 4.43 -1.14 7.56 18.75 -- 16.85 Sep-15 WPERP NCREIF (RT) + 50 bps 1.53 5.18 1.53 6.75 7.29 -- 7.90 NOF Excess Return -2.67 -0.75 -2.67 0.81 11.46 -- 8.95 Lone Star RE V(NOF) 2016 7,922,399.00 2,559,724.00 0.1% -- 7.27 5.12 7.27 1.27 -- -- -7.54 Aug-17 WPERP NCREIF (RT) + 50 bps 1.53 5.18 1.53 6.75 -- -- 7.85 NOF Excess Return 5.74 -0.06 5.74 -5.48 -- -- -15.39 Lone Star VII(NOF) 2011 1,000,000.00 6,552.00 0.0% -- -34.94 -34.43 -34.94 -35.96 -34.84 -5.73 46.68 May-11 WPERP NCREIF (RT) + 50 bps 1.53 5.18 1.53 6.75 7.29 9.10 10.47 NOF Excess Return -36.47 -39.61 -36.47 -42.71 -42.13 -14.83 36.21 Mesa West III(NOF) 2013 5,000,000.00 249,968.00 0.0% -- 0.53 3.92 0.53 10.51 9.48 9.69 8.87 Aug-13 WPERP NCREIF (RT) + 50 bps 1.53 5.18 1.53 6.75 7.29 9.10 9.89 NOF Excess Return -1.00 -1.26 -1.00 3.76 2.19 0.59 -1.02 Mesa West IV(NOF) 2016 10,000,000.00 5,595,893.00 0.2% -- 2.12 6.03 2.12 7.56 -- -- 7.98 Feb-17 WPERP NCREIF (RT) + 50 bps 1.53 5.18 1.53 6.75 -- -- 7.75 NOF Excess Return 0.59 0.85 0.59 0.81 -- -- 0.23 Prologis USLH(NOF) 2015 5,000,000.00 10,007,273.00 0.4% -- 4.64 12.04 4.64 15.87 18.22 -- 16.79 Mar-15 WPERP NCREIF (RT) + 50 bps 1.53 5.18 1.53 6.75 7.29 -- 8.52 NOF Excess Return 3.11 6.86 3.11 9.12 10.93 -- 8.27 Torchlight IV(NOF) 2013 5,000,000.00 878,672.00 0.0% -- 0.40 3.08 0.40 2.65 12.09 10.86 10.16 Aug-13 WPERP NCREIF (RT) + 50 bps 1.53 5.18 1.53 6.75 7.29 9.10 9.89 NOF Excess Return -1.13 -2.10 -1.13 -4.10 4.80 1.76 0.27 Torchlight V(NOF) 2015 6,000,000.00 2,019,583.00 0.1% -- 1.65 4.89 1.65 4.00 11.88 -- 11.62 May-15 WPERP NCREIF (RT) + 50 bps 1.53 5.18 1.53 6.75 7.29 -- 8.86 NOF Excess Return 0.12 -0.29 0.12 -2.75 4.59 -- 2.76 Torchlight VI(NOF) 2018 15,000,000.00 5,732,567.00 0.2% -- 3.36 6.93 3.36 3.13 -- -- 6.46 Jan-18 WPERP NCREIF (RT) + 50 bps 1.53 5.18 1.53 6.75 -- -- 7.49 NOF Excess Return 1.83 1.75 1.83 -3.62 -- -- -1.03 USAA Eagle(NOF) 2018 15,000,000.00 13,434,711.00 0.6% -- 0.44 3.27 0.44 4.69 -- -- 4.69 Sep-18 WPERP NCREIF (RT) + 50 bps 1.53 5.18 1.53 6.75 -- -- 6.75 NOF Excess Return -1.09 -1.91 -1.09 -2.06 -- -- -2.06 Westbrook X(NOF) 2016 10,000,000.00 5,230,548.00 0.2% -- 4.41 12.09 4.41 15.78 13.46 -- 13.60 Jul-16 WPERP NCREIF (RT) + 50 bps 1.53 5.18 1.53 6.75 7.29 -- 7.43 NOF Excess Return 2.88 6.91 2.88 9.03 6.17 -- 6.17
The Northern Trust Company ¹ Alternative investments ITD is an Internal Rate of Return as of 09/30/2019; for all other investments, it is an annualized Time Weighted Return.
Investment Hierarchy1ITD=IRR
Account / Group Name Vintage Commitment Market Value Portfolio Weight
Target Weight 1 Month 3 Months YTD FYTD 1 Year 3 Years 5 Years ITD Inception
Date
(Time Weighted Returns)
N O R T H E R N T R U S T WPERP - Health Fund | 31 December 2019
Dimensional Global REIT(NOF) as of 12/31/2019 2013 5,000,000.00 7,548,999.17 0.3% -- 0.64 1.61 26.40 7.76 26.40 9.78 7.26 7.75 Mar-13 FTSE EPRA/NAREIT DEV INDEX 0.63 1.96 23.06 6.93 23.06 9.31 6.53 6.83 NOF Excess Return 0.01 -0.36 3.34 0.83 3.34 0.47 0.73 0.92 Heitman REIT(NOF) as of 12/31/2019 2013 5,000,000.00 7,091,698.19 0.3% -- 0.76 2.47 23.68 7.21 23.68 9.04 6.09 7.15 Oct-13 FTSE EPRA/NAREIT DEV INDEX 0.63 1.96 23.06 6.93 23.06 9.31 6.53 7.24 NOF Excess Return 0.14 0.51 0.62 0.28 0.62 -0.28 -0.44 -0.08 Total Real Return(GOF) as of 09/30/2019 97,849,042.49 4.2% 5.0% 1.00 0.16 6.85 2.43 6.85 2.60 2.88 3.23 Mar-10 Total Real Return(NOF) 0.98 0.09 6.57 2.30 6.57 2.33 2.62 3.04 Mar-10 WPERP CPI+3% (1-Month Lag) 0.30 1.19 3.63 1.19 4.82 5.27 4.61 4.86 NOF Excess Return 0.48 -1.29 1.51 -0.29 1.51 -2.87 -2.13 -1.84 Hancock XII(NOF) 2013 5,000,000.00 2,758,112.00 0.1% -- -0.64 -1.14 -0.64 0.31 1.40 1.33 1.19 Mar-14 NCREIF Timberland 1Q Lag 1.04 2.13 1.04 3.17 3.36 4.66 4.74 NOF Excess Return -1.68 -3.27 -1.68 -2.86 -1.96 -3.33 -3.55 Molpus IV - SL(NOF) 2015 5,000,000.00 4,297,568.00 0.2% -- 0.68 2.10 0.68 -0.89 1.74 -- 1.11 Aug-15 NCREIF Timberland 1Q Lag 1.04 2.13 1.04 3.17 3.36 -- 3.43 NOF Excess Return -0.36 -0.03 -0.36 -4.06 -1.62 -- -2.32 Invesco CMDTY(GOF) -- -- 21,039,731.92 0.9% -- 4.28 4.64 6.30 2.79 6.30 0.08 -0.77 -4.16 Aug-13 Invesco CMDTY(NOF) -- -- 4.23 4.47 5.62 2.46 5.62 -0.56 -1.41 -4.77 Aug-13 Bloombg Futures Commod. TR USD 5.04 4.42 7.69 2.50 7.69 -0.94 -3.92 -6.46 NOF Excess Return -0.82 0.05 -2.07 -0.04 -2.07 0.38 2.51 1.69 Wamco GILS(GOF) -- -- 69,753,630.57 3.0% -- 0.16 -1.12 7.89 2.56 7.89 3.53 3.91 4.13 Apr-10 Wamco GILS(NOF) -- -- 0.15 -1.16 7.70 2.47 7.70 3.35 3.73 3.94 Apr-10 BC WGILB Index -0.44 -2.55 8.38 1.34 8.38 3.88 4.08 4.42 NOF Excess Return 0.58 1.38 -0.68 1.13 -0.68 -0.53 -0.36 -0.48 Total Private Equity(NOF) as of 09/30/2019 233,900,000.00 134,743,658.00 5.7% 5.0% 0.44 9.10 0.44 8.44 13.86 11.90 12.42 Aug-09 WPERP Russell 3000 + 3% 1.91 22.73 1.91 6.00 16.18 13.73 19.08 NOF Excess Return -1.47 -13.63 -1.47 2.44 -2.32 -1.83 -6.66 Adams Street SMB I(NOF) 2017 25,000,000.00 11,352,901.00 0.5% -- 0.27 0.93 0.27 3.32 -- -- 2.29 Jan-17 WPERP Russell 3000+3% 1.91 22.73 1.91 6.00 -- -- 15.33 NOF Excess Return -1.64 -21.80 -1.64 -2.68 -- -- -13.04 Apollo VIII(NOF) 2014 6,000,000.00 4,880,086.00 0.2% -- 6.06 13.49 6.06 3.44 11.58 12.04 11.42 Jan-14 WPERP Russell 3000+3% 1.91 22.73 1.91 6.00 16.18 13.73 14.27 NOF Excess Return 4.15 -9.24 4.15 -2.56 -4.60 -1.69 -2.85 Apollo IX(NOF) 2018 10,900,000.00 1,711,621.00 0.1% -- -2.98 -22.70 -2.98 -22.70 -- -- -22.70 Dec-18 WPERP Russell 3000+3% 1.91 22.73 1.91 6.00 -- -- 22.73 NOF Excess Return -4.89 -45.43 -4.89 -28.70 -- -- -45.43 ARES IV(NOF) 2012 5,000,000.00 4,516,594.00 0.2% -- 0.19 10.05 0.19 6.20 11.81 12.48 12.23 Nov-12 WPERP Russell 3000+3% 1.91 22.73 1.91 6.00 16.18 13.73 16.67 NOF Excess Return -1.72 -12.68 -1.72 0.20 -4.37 -1.25 -4.44 ARES V(NOF) 2016 12,000,000.00 9,979,340.00 0.4% -- 2.76 14.55 2.76 13.82 -- -- 8.84 May-17 WPERP Russell 3000+3% 1.91 22.73 1.91 6.00 -- -- 14.35 NOF Excess Return 0.85 -8.18 0.85 7.82 -- -- -5.51
The Northern Trust Company ¹ Alternative investments ITD is an Internal Rate of Return as of 09/30/2019; for all other investments, it is an annualized Time Weighted Return.
Investment Hierarchy1ITD=IRR
Account / Group Name Vintage Commitment Market Value Portfolio Weight
Target Weight 1 Month 3 Months YTD FYTD 1 Year 3 Years 5 Years ITD Inception
Date
(Time Weighted Returns)
N O R T H E R N T R U S T WPERP - Health Fund | 31 December 2019
ARES Special Situation IV(NOF) 2014 10,000,000.00 8,915,987.00 0.4% -- 0.23 8.90 0.23 2.40 4.46 -- -2.78 Jan-15 WPERP Russell 3000+3% 1.91 22.73 1.91 6.00 16.18 -- 13.98 NOF Excess Return -1.68 -13.83 -1.68 -3.60 -11.72 -- -16.76 Audax Mezz III(NOF) 2011 3,000,000.00 486,531.00 0.0% -- 7.56 24.58 7.56 26.22 10.83 10.88 9.69 Jan-11 WPERP Russell 3000+3% 1.91 22.73 1.91 6.00 16.18 13.73 19.12 NOF Excess Return 5.65 1.85 5.65 20.22 -5.35 -2.85 -9.43 Blackstone Tactical Opps(NOF) 2014 10,000,000.00 5,877,512.00 0.2% -- 0.53 6.44 0.53 9.45 12.27 -- 11.71 Apr-15 WPERP Russell 3000+3% 1.91 22.73 1.91 6.00 16.18 -- 13.33 NOF Excess Return -1.38 -16.29 -1.38 3.45 -3.91 -- -1.62 CDR IX(NOF) 2014 5,000,000.00 5,006,107.00 0.2% -- 4.79 14.93 4.79 25.45 15.32 19.34 18.58 Apr-14 WPERP Russell 3000+3% 1.91 22.73 1.91 6.00 16.18 13.73 13.77 NOF Excess Return 2.88 -7.80 2.88 19.45 -0.86 5.61 4.81 CDR X(NOF) 2018 11,000,000.00 4,562,927.00 0.2% -- 6.66 27.50 6.66 22.06 -- -- 20.36 Mar-18 WPERP Russell 3000+3% 1.91 22.73 1.91 6.00 -- -- 12.14 NOF Excess Return 4.75 4.77 4.75 16.06 -- -- 8.22 Crestview Partners III(NOF) 2013 10,000,000.00 4,412,217.00 0.2% -- -1.74 4.52 -1.74 4.89 16.25 -- 11.24 Feb-15 WPERP Russell 3000+3% 1.91 22.73 1.91 6.00 16.18 -- 12.80 NOF Excess Return -3.65 -18.21 -3.65 -1.11 0.07 -- -1.56 EnCAP X(NOF) 2015 7,000,000.00 6,195,431.00 0.3% -- -0.07 -0.68 -0.07 7.50 11.36 -- 9.29 Feb-15 WPERP Russell 3000+3% 1.91 22.73 1.91 6.00 16.18 -- 12.80 NOF Excess Return -1.98 -23.41 -1.98 1.50 -4.82 -- -3.51 EnCAP IX(NOF) 2013 3,000,000.00 1,651,154.00 0.1% -- -12.02 -11.74 -12.02 -19.62 5.58 8.25 9.54 Jan-13 WPERP Russell 3000+3% 1.91 22.73 1.91 6.00 16.18 13.73 15.91 NOF Excess Return -13.93 -34.47 -13.93 -25.62 -10.60 -5.48 -6.37 EnCap VIII(NOF) 2011 2,500,000.00 676,880.00 0.0% -- -8.92 -13.72 -8.92 -30.59 -4.51 -15.26 -5.65 Jan-11 WPERP Russell 3000+3% 1.91 22.73 1.91 6.00 16.18 13.73 19.12 NOF Excess Return -10.83 -36.45 -10.83 -36.59 -20.69 -28.99 -24.77 Encap XI(NOF) 2017 10,000,000.00 2,503,159.00 0.1% -- -4.46 -9.18 -4.46 -13.41 -- -- -18.97 Jun-17 WPERP Russell 3000+3% 1.91 22.73 1.91 6.00 -- -- 14.33 NOF Excess Return -6.37 -31.91 -6.37 -19.41 -- -- -33.30 Genstar IX(NOF) 2019 6,000,000.00 1,362,666.00 0.1% -- -21.46 -- -21.46 -- -- -- -20.83 Jun-19 WPERP Russell 3000+3% 1.91 -- 1.91 -- -- -- 1.91 NOF Excess Return -23.37 -- -23.37 -- -- -- -22.74 Genstar IX Opps.(NOF) 2019 3,000,000.00 894,448.00 0.0% -- -0.29 -- -0.29 -- -- -- -0.29 Jun-19 WPERP Russell 3000+3% 1.91 -- 1.91 -- -- -- 1.91 NOF Excess Return -2.20 -- -2.20 -- -- -- -2.20 Harvest VII(NOF) 2016 6,000,000.00 5,603,654.00 0.2% -- 0.70 6.52 0.70 6.77 7.46 -- 6.65 Aug-16 WPERP Russell 3000+3% 1.91 22.73 1.91 6.00 16.18 -- 15.87 NOF Excess Return -1.21 -16.21 -1.21 0.77 -8.72 -- -9.22 Industry Ventures VIII(NOF) 2016 7,500,000.00 5,984,199.00 0.3% -- 3.88 25.64 3.88 37.10 -- -- 53.27 Feb-17 WPERP Russell 3000+3% 1.91 22.73 1.91 6.00 -- -- 14.14 NOF Excess Return 1.97 2.91 1.97 31.10 -- -- 39.13
The Northern Trust Company ¹ Alternative investments ITD is an Internal Rate of Return as of 09/30/2019; for all other investments, it is an annualized Time Weighted Return.
Investment Hierarchy1ITD=IRR
Account / Group Name Vintage Commitment Market Value Portfolio Weight
Target Weight 1 Month 3 Months YTD FYTD 1 Year 3 Years 5 Years ITD Inception
Date
(Time Weighted Returns)
N O R T H E R N T R U S T WPERP - Health Fund | 31 December 2019
Industry Ven SP Opp III-A(NOF) 2019 4,500,000.00 511,294.00 0.0% -- 9.44 -- 9.44 -- -- -- 76.91 Apr-19 WPERP Russell 3000+3% 4.86 -- 1.91 -- -- -- 2.51 NOF Excess Return 4.58 -- 7.53 -- -- -- 74.40 Landmark XIV(NOF) 2008 5,000,000.00 792,036.00 0.0% -- 2.72 2.63 2.72 2.37 3.05 -0.05 9.36 Aug-08 WPERP Russell 3000+3% 1.91 22.73 1.91 6.00 16.18 13.73 14.58 NOF Excess Return 0.81 -20.10 0.81 -3.63 -13.13 -13.78 -5.22 Landmark XV(NOF) 2014 7,000,000.00 2,903,489.00 0.1% -- 7.50 11.18 7.50 3.71 14.77 9.35 13.45 Feb-14 WPERP Russell 3000+3% 1.91 22.73 1.91 6.00 16.18 13.73 13.48 NOF Excess Return 5.59 -11.55 5.59 -2.29 -1.41 -4.38 -0.03 Lexington VII(NOF) 2009 5,000,000.00 1,170,152.00 0.0% -- 1.55 5.29 1.55 4.37 9.30 7.81 14.03 Aug-09 WPERP Russell 3000+3% 1.91 22.73 1.91 6.00 16.18 13.73 19.08 NOF Excess Return -0.36 -17.44 -0.36 -1.63 -6.88 -5.92 -5.05 Lexington IX(NOF) 2019 15,000,000.00 1,062,299.00 0.0% -- -- -- -- -- -- -- -- Nov-19 WPERP Russell 3000+3% -- -- -- -- -- -- -- NOF Excess Return -- -- -- -- -- -- -- Oaktree V(NOF) 2009 2,500,000.00 102,431.00 0.0% -- -12.22 -15.08 -12.22 -19.88 -4.25 -5.39 1.64 Jan-09 WPERP Russell 3000+3% 1.91 22.73 1.91 6.00 16.18 13.73 15.84 NOF Excess Return -14.13 -37.81 -14.13 -25.88 -20.43 -19.12 -14.20 Platinum Equity Fund V(NOF) 2019 12,000,000.00 1.00 0.0% -- -- -- -- -- -- -- -- Dec-19 WPERP Russell 3000+3% -- -- -- -- -- -- -- NOF Excess Return -- -- -- -- -- -- -- Silver Lake IV(NOF) 2013 3,000,000.00 3,817,198.00 0.2% -- 1.34 19.37 1.34 18.05 23.00 23.27 25.78 Sep-13 WPERP Russell 3000+3% 1.91 22.73 1.91 6.00 16.18 13.73 14.89 NOF Excess Return -0.57 -3.36 -0.57 12.05 6.82 9.54 10.89 Silver Lake V(NOF) 2018 12,000,000.00 6,094,573.00 0.3% -- 5.22 17.74 5.22 20.00 -- -- 14.27 Jun-18 WPERP Russell 3000+3% 1.91 22.73 1.91 6.00 -- -- 11.35 NOF Excess Return 3.31 -4.99 3.31 14.00 -- -- 2.92 Vista IV(NOF) 2011 5,000,000.00 3,264,330.00 0.1% -- -8.34 -3.07 -8.34 -10.80 7.85 19.82 16.84 Sep-11 WPERP Russell 3000+3% 1.91 22.73 1.91 6.00 16.18 13.73 18.22 NOF Excess Return -10.25 -25.80 -10.25 -16.80 -8.33 6.09 -1.38 Vista V(NOF) 2014 10,000,000.00 9,032,795.00 0.4% -- -3.08 14.09 -3.08 12.93 29.66 22.74 22.19 Apr-14 WPERP Russell 3000+3% 1.91 22.73 1.91 6.00 16.18 13.73 13.77 NOF Excess Return -4.99 -8.64 -4.99 6.93 13.48 9.01 8.42 Vista VI(NOF) 2016 12,000,000.00 14,433,721.00 0.6% -- -0.78 10.57 -0.78 12.69 16.42 -- 16.04 May-16 WPERP Russell 3000+3% 1.91 22.73 1.91 6.00 16.18 -- 16.35 NOF Excess Return -2.69 -12.16 -2.69 6.69 0.24 -- -0.31 Vista VII(NOF) 2018 15,000,000.00 3,578,866.00 0.2% -- -0.01 -5.14 -0.01 -5.14 -- -- -5.14 Aug-18 WPERP Russell 3000+3% 1.91 22.73 1.91 6.00 -- -- 5.93 NOF Excess Return -1.92 -27.87 -1.92 -11.14 -- -- -11.07 Cash(GOF) 25,031,825.93 1.1% 1.0% 0.15 0.48 2.49 1.07 2.49 2.07 1.57 2.04 Nov-06 Cash(NOF) 0.15 0.48 2.49 1.07 2.49 2.07 1.57 2.11 Nov-06 ICE ML 3 month US Trsy Bill 0.14 0.46 2.28 1.03 2.28 1.67 1.07 1.03 NOF Excess Return -0.29 -0.12 0.16 -0.40 0.16 0.27 -0.07 0.33
The Northern Trust Company
SCHEDULE OF RELATIVE RETURN - NET OF MANAGEMENT FEES
Portfolio Return YTD 1 Year 3 Year 5 Year 10 YearWPERP - Health Fund Total (GOF) 18.19 18.19 10.29 7.80 8.67WPERP - Health Fund Total (NOF) 17.97 17.97 10.08 7.59 8.45Less: Estimated Management Fees 0.23 0.23 0.21 0.21 0.22WPERP Health Fund Index 17.78 17.78 9.78 7.62 8.57ICE BofAML 3 Months US T-BILL 2.28 2.28 1.67 1.07 0.58Total Fixed Income Index 8.79 8.79 4.26 3.69 4.25MS AC WldxUS IMI Nt 21.63 21.63 9.84 5.71 5.21Russell 3000 31.02 31.02 14.57 11.24 13.42WPERP NCREIF + 50bps (1Q Lag) 6.75 6.75 7.29 9.10 10.13WPERP T-Bill+3% 1-Month Lag 5.39 5.39 4.68 4.07 3.58WPERP Russell 3000+3%(1Q Lag) 6.00 6.00 16.18 13.73 18.80WPERP CPI+3% (1-Month Lag) 5.06 5.06 5.20 4.76 4.85Relative Return - Net of Fees 0.19 0.19 0.30 -0.03 -0.13
Footnote :1. Total Fixed Income Index is comprised of BC US Universal from Inception to 08/31/15, then the following components from 09/1/15-present : BC US Intermediate Agg x Credit 50%, BC Global Agg Credit USD Hdg 30%, BC Global High Yield USD Hdg 15 %, and Credit Suisse Lev. Loan 5%
N O R T H E R N T R U S T WPERP - Health Fund | 31 December 2019
The Northern Trust Company
Asset Allocation
33.00%
19.00%
26.00%
5.00%
6.00%
5.00% 5.00% 1.00%
Policy Weight and Equivalent Market Value
Total Domestic Equity 777.6M ; 33.00%
Total International Equity 447.7M ; 19.00%
Total Fixed 612.6M ; 26.00%
Total Hedge Funds 117.8M ; 5.00%
Total Real Estate 141.4M ; 6.00%
Total Private Equity 117.8M ; 5.00%
Total Real Return 117.8M ; 5.00%
Cash 23.6M ; 1.00%
3.88%
-0.15%
-3.38%
-0.72%
0.44%
0.72%
-0.85%
0.06%
Total Domestic Equity 91.3M
Total International Equity -3.4M
Total Fixed -79.6M
Total Hedge Funds -17.0M
Total Real Estate 10.3M
Total Private Equity 16.9M
Total Real Return -20.0M
Cash 1.5M
Gap to Policy in Percent Weight and Market Value
N O R T H E R N T R U S T WPERP - Health Fund | 31 December 2019
The Northern Trust Company
Plan Level Attribution - 1 Month
AccountName
BenchmarkName
AccountEnd Weight
BenchmarkEnd Weight
ActiveWeight
AccountRoR
BenchmarkRoR
ExcessRoR
Asset Allocation
SelectionEffect
TotalEffect
Attribution Residual
WPERP - Health Fund Total WPERP Health Fund Index 100.00 100.00 0.00 1.91 2.19 (0.27) 0.08 (0.35) (0.27) 0.00Total Equity -- 55.73 -- -- 3.17 -- -- 0.01 (0.13) (0.11) --Total Domestic Equity Russell 3000 36.88 33.00 3.88 2.62 2.89 (0.27) 0.03 (0.10) (0.07) --Total International Equity MS AC WldxUS IMI Nt 18.85 19.00 (0.15) 4.26 4.41 (0.15) (0.01) (0.03) (0.04) --Total Fixed Total Fixed Income Index 22.62 26.00 (3.38) 0.60 0.60 (0.00) 0.05 (0.00) 0.05 --Total Alternatives -- 20.58 -- -- 0.14 -- -- 0.02 (0.23) (0.21) --Total Real Estate WPERP NCREIF + 50bps (1Q Lag) 6.44 6.00 0.44 0.01 1.53 (1.53) (0.00) (0.10) (0.10) --Total Real Return WPERP CPI+3% (1-Month Lag) 4.15 5.00 (0.85) 1.00 0.51 0.50 0.01 0.02 0.03 --Total Private Equity WPERP Russell 3000+3%(1Q Lag) 5.72 5.00 0.72 (0.44) 2.00 (2.44) (0.00) (0.14) (0.14) --Total Hedge Funds WPERP T-Bill+3% 1-Month Lag 4.28 5.00 (0.72) 0.27 0.37 (0.10) 0.01 (0.00) 0.01 --Cash ICE BofAML 3 Months US T-BILL 1.06 1.00 0.06 0.15 0.14 0.01 (0.00) 0.00 (0.00) --Transition Accounts -- 0.00 -- -- 0.00 -- -- 0.00 0.00 0.00 --
0.00
0.00
3.88
(0.15)
(3.38)
0.00
0.44
(0.85)
0.72
(0.72)
0.06
0.00
(4.0) (2.0) 0.0 2.0 4.0 6.0
ACTIVE WEIGHT (%)
WPERP - HealthFund Total
Total Equity
Total DomesticEquity
Total InternationalEquity
Total Fixed
Total Alternatives
Total Real Estate
Total Real Return
Total Private Equity
Total Hedge Funds
Cash
(0.27)
0.00
(0.27)
(0.15)
(0.00)
0.00
(1.53)
0.50
(2.44)
(0.10)
0.01
0.00
(5.0) 0.0 5.0
EXCESS RETURN (%)
(0.35)
(0.13)
(0.10)
(0.03)
(0.00)
(0.23)
(0.10)
0.02
(0.14)
(0.00)
0.00
0.00
(0.4) (0.2) 0.0 0.2
STOCK SELECTION (%)
0.08
0.01
0.03
(0.01)
0.05
0.02
(0.00)
0.01
(0.00)
0.01
(0.00)
0.00
(0.1) 0.0 0.1 0.1
ASSET ALLOCATION (%)
(0.27)
(0.11)
(0.07)
(0.04)
0.05
(0.21)
(0.10)
0.03
(0.14)
0.01
(0.00)
0.00
(0.4) (0.2) 0.0 0.2
TOTAL EFFECT (%)
N O R T H E R N T R U S T WPERP - Health Fund | 31 December 2019
2009 2010 2011 2012 2013 2014
82.36% MSCI Emerging Markets
IMI ND
29.09% Russell 2000 Growth
25.32% WPERP Russell 3000+3%(1Q Lag)
33.20% WPERP Russell 3000+3%(1Q Lag)
43.30% Russell 2000 Growth
20.84% WPERP Russell 3000+3%(1Q Lag)
43.60% MS AC WldxUS IMI Nt
26.85% Russell 2000
16.10% WPERP NCREIF + 50bps
(1Q Lag)
18.68% MSCI Emerging Markets
IMI ND
38.82% Russell 2000
13.45% Russell 1000 Value
37.21% Russell 1000 Growth
24.50% Russell 2000 Value
7.40% Total Fixed Income
Index
18.05% Russell 2000 Value
34.52% Russell 2000 Value
13.24% Russell 1000
35.35% MSCI World Ex US IMI
Net
19.90% MSCI Emerging Markets
IMI ND
6.39% WPERP CPI+3% (1-
Month Lag)
17.51% Russell 1000 Value
33.55% Russell 3000
13.05% Russell 1000 Growth
34.47% Russell 2000 Growth
17.06% WPERP Russell 3000+3%(1Q Lag)
3.13% WPERP T-Bill+3% 1-
Month Lag
17.04% MS AC WldxUS IMI Nt
33.48% Russell 1000 Growth
12.56% Russell 3000
28.43% Russell 1000
16.93% Russell 3000
2.64% Russell 1000 Growth
16.55% MSCI World Ex US IMI
Net
33.11% Russell 1000
11.79% WPERP NCREIF + 50bps
(1Q Lag)
28.34% Russell 3000
16.71% Russell 1000 Growth
1.73% WPERP Retirement
Fund Index
16.42% Russell 1000
32.53% Russell 1000 Value
6.86% WPERP - Retirement
Fund Total
27.17% Russell 2000
16.10% Russell 1000
1.50% Russell 1000
16.42% Russell 3000
24.60% WPERP Russell 3000+3%(1Q Lag)
6.45% WPERP Retirement
Fund Index
20.87% WPERP - Retirement
Fund Total
15.51% Russell 1000 Value
1.03% Russell 3000
16.35% Russell 2000
21.57% MSCI World Ex US IMI
Net
5.60% Russell 2000 Growth
20.58% Russell 2000 Value
12.73% MS AC WldxUS IMI Nt
0.39% Russell 1000 Value
15.26% Russell 1000 Growth
17.72% WPERP - Retirement
Fund Total
5.56% Total Fixed Income
Index
19.69% Russell 1000 Value
12.30% WPERP Retirement
Fund Index
0.28% WPERP - Retirement
Fund Total
14.59% Russell 2000 Growth
16.32% WPERP Retirement
Fund Index
5.18% WPERP CPI+3% (1-
Month Lag)
19.52% WPERP Retirement
Fund Index
11.78% WPERP - Retirement
Fund Total
0.10% ML 3 Month Treasury Bill
12.06% WPERP Retirement
Fund Index
15.82% MS AC WldxUS IMI Nt
4.89% Russell 2000
8.60% Total Fixed Income
Index
10.66% MSCI World Ex US IMI
Net
-2.91% Russell 2000 Growth
12.01% WPERP - Retirement
Fund Total
11.36% WPERP NCREIF + 50bps
(1Q Lag)
4.22% Russell 2000 Value
4.84% WPERP CPI+3% (1-
Month Lag)
7.16% Total Fixed Income
Index
-4.18% Russell 2000
11.00% WPERP NCREIF + 50bps
(1Q Lag)
4.24% WPERP CPI+3% (1-
Month Lag)
3.05% WPERP T-Bill+3% 1-
Month Lag
3.21% WPERP T-Bill+3% 1-
Month Lag
5.84% WPERP NCREIF + 50bps
(1Q Lag)
-5.50% Russell 2000 Value
5.53% Total Fixed Income
Index
3.08% WPERP T-Bill+3% 1-
Month Lag
0.03% ML 3 Month Treasury Bill
0.21% ML 3 Month Treasury Bill
4.14% WPERP CPI+3% (1-
Month Lag)
-12.66% MSCI World Ex US IMI
Net
4.76% WPERP CPI+3% (1-
Month Lag)
0.07% ML 3 Month Treasury Bill
-1.79% MSCI Emerging Markets
IMI ND
-19.96% WPERP Russell 3000+3%(1Q Lag)
3.12% WPERP T-Bill+3% 1-
Month Lag
-14.31% MS AC WldxUS IMI Nt
3.10% WPERP T-Bill+3% 1-
Month Lag
-1.35% Total Fixed Income
Index
-3.89% MS AC WldxUS IMI Nt
-22.10% WPERP NCREIF + 50bps
(1Q Lag)
0.13% ML 3 Month Treasury Bill
-19.49% MSCI Emerging Markets
IMI ND
0.11% ML 3 Month Treasury Bill
-2.20% MSCI Emerging Markets
IMI ND
-4.45% MSCI World Ex US IMI
Net
Periodic Chart of WPERP Total Plan Indices Total Fund Gross of Fees as of December 31, 2019
6.86 %
17.72 % 12.01 %
0.28 %
11.78 %
20.87 %
201420132012201120102009
2015 2016 2017 2018 Annualized 2009-2019 YTD 2019
14.02% WPERP NCREIF + 50bps
(1Q Lag)
31.74% Russell 2000 Value
36.83% MSCI Emerging Markets
IMI ND
21.06% WPERP Russell 3000+3%(1Q Lag)
18.80% WPERP Russell 3000+3%(1Q Lag)
36.39% Russell 1000 Growth
5.67% Russell 1000 Growth
21.31% Russell 2000
30.21% Russell 1000 Growth
7.69% WPERP NCREIF + 50bps
(1Q Lag)
15.22% Russell 1000 Growth
31.43% Russell 1000
3.45% WPERP CPI+3% (1-
Month Lag)
18.37% WPERP Russell 3000+3%(1Q Lag)
27.81% MS AC WldxUS IMI Nt
5.22% WPERP CPI+3% (1-
Month Lag)
13.54% Russell 1000
31.02% Russell 3000
3.02% WPERP T-Bill+3% 1-
Month Lag
17.34% Russell 1000 Value
25.17% MSCI World Ex US IMI
Net
4.85% WPERP T-Bill+3% 1-
Month Lag
13.42% Russell 3000
28.48% Russell 2000 Growth
2.49% WPERP Russell 3000+3%(1Q Lag)
12.74% Russell 3000
22.22% WPERP Russell 3000+3%(1Q Lag)
1.87% ML 3 Month Treasury Bill
13.01% Russell 2000 Growth
26.54% Russell 1000 Value
1.68% WPERP - Retirement
Fund Total
12.05% Russell 1000
22.17% Russell 2000 Growth
0.07% Total Fixed Income
Index
11.83% Russell 2000
25.52% Russell 2000
0.92% Russell 1000
11.32% Russell 2000 Growth
21.69% Russell 1000
-1.51% Russell 1000 Growth
11.80% Russell 1000 Value
22.91% MSCI World Ex US IMI
Net
0.70% WPERP Retirement
Fund Index
9.90% MSCI Emerging Markets
IMI ND
21.13% Russell 3000
-2.51% WPERP Retirement
Fund Index
10.56% Russell 2000 Value
22.39% Russell 2000 Value
0.48% Russell 3000
9.75% WPERP NCREIF + 50bps
(1Q Lag)
16.54% WPERP - Retirement
Fund Total
-2.84% WPERP - Retirement
Fund Total
10.13% WPERP NCREIF + 50bps
(1Q Lag)
21.63% MS AC WldxUS IMI Nt
0.11% Total Fixed Income
Index
8.37% WPERP Retirement
Fund Index
15.21% WPERP Retirement
Fund Index
-4.78% Russell 1000
8.65% WPERP - Retirement
Fund Total
17.93% WPERP - Retirement
Fund Total
0.05% ML 3 Month Treasury Bill
7.08% Russell 1000 Growth
14.65% Russell 2000
-5.24% Russell 3000
8.63% WPERP Retirement
Fund Index
17.78% WPERP Retirement
Fund Index
-1.38% Russell 2000 Growth
6.95% WPERP - Retirement
Fund Total
13.66% Russell 1000 Value
-8.27% Russell 1000 Value
5.66% MSCI World Ex US IMI
Net
17.64% MSCI Emerging Markets
IMI ND
-1.95% MSCI World Ex US IMI
Net
5.65% Total Fixed Income
Index
7.84% Russell 2000 Value
-9.31% Russell 2000 Growth
5.21% MS AC WldxUS IMI Nt
8.79% Total Fixed Income
Index
-3.83% Russell 1000 Value
4.75% WPERP CPI+3% (1-
Month Lag)
7.43% WPERP NCREIF + 50bps
(1Q Lag)
-11.01% Russell 2000
4.85% WPERP CPI+3% (1-
Month Lag)
6.75% WPERP NCREIF + 50bps
(1Q Lag)
-4.41% Russell 2000
4.41% MS AC WldxUS IMI Nt
5.31% WPERP CPI+3% (1-
Month Lag)
-12.86% Russell 2000 Value
4.25% Total Fixed Income
Index
6.00% WPERP Russell 3000+3%(1Q Lag)
-4.60% MS AC WldxUS IMI Nt
3.33% WPERP T-Bill+3% 1-
Month Lag
4.11% Total Fixed Income
Index
-14.68% MSCI World Ex US IMI
Net
3.60% MSCI Emerging Markets
IMI ND
5.39% WPERP T-Bill+3% 1-
Month Lag
-7.47% Russell 2000 Value
2.95% MSCI World Ex US IMI
Net
3.81% WPERP T-Bill+3% 1-
Month Lag
-14.76% MS AC WldxUS IMI Nt
3.58% WPERP T-Bill+3% 1-
Month Lag
5.06% WPERP CPI+3% (1-
Month Lag)
-13.86% MSCI Emerging Markets
IMI ND
0.33% ML 3 Month Treasury Bill
0.86% ML 3 Month Treasury Bill
-15.04% MSCI Emerging Markets
IMI ND
0.58% ML 3 Month Treasury Bill
2.28% ML 3 Month Treasury Bill
Periodic Chart of WPERP Total Plan Indices Total Fund Gross of Fees as of December 31, 2019
17.93 %
(2.84%)
16.54 %
6.95 % 1.68 %
YTD 20192018201720162015
Disclaimer(s)
N O R T H E R N T R U S T
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Water and Power Employees' Retirement PlanWatch List Summary
As of December 31, 2019
MTD YTD 1 Year 3 Year 5 Year
Continue On Watch
Fidelity Developed Int'l (SA) 3.38 25.29 25.29 9.85 5.74International Developed Blend 3.40 22.91 22.91 9.49 5.79
LA Capital Emerging (CF) 7.29 17.34 17.34 10.24 4.72MSCI Emg Mkts IM Index (USD) (Net) 7.32 17.65 17.65 11.00 5.30
Macquarie Unconstrained (SA) 0.97 13.21 13.21 5.78 N/A67% B Global Credit/33% B Global High Yield 1.10 12.53 12.53 5.78 5.36
Neuberger Unconstrained (SA) 1.18 13.66 13.66 6.87 N/A67% B Global Credit/33% B Global High Yield 1.10 12.53 12.53 5.78 5.36
WAMCO (SA) 0.13 7.84 7.84 3.42 3.76Bloomberg Wrld Gov't Infl Lnkd Index (Hedged) -0.44 8.38 8.38 3.88 4.08
Performance and management are continuously being monitored. The manager
last provided an update to the Board on 06/26/2019.
Recommendation
Performance and management are continuously being monitored. The manager
last provided an update to the Board on 10/02/2019.
2/13/2019
Organization concerns.
Performance and management are continuously being monitored. The manager
last provided an update to the Board on 05/23/2018.
Watch List Managers
3/31/2019 4/10/2019
Date Qualified for Watch
Organization concerns and failure to meet performance criteria.
Reasons on WatchRecent PerformanceDate Board
Approved Manager for
Watch
12/31/2018
4/12/2017
Failure to meet performance criteria.
12/31/2018 1/23/2019 Portfolio manager turnover.
9/30/2016 11/9/2016
3/31/2017 Failure to meet performance criteria.
On 03/13/2019 the Board approved a new Real Return structure which included the
elimination of GILS going forward. Performance and management are
continuously being monitored. The manager last provided an update to the Board on
12/18/2019.
Performance and management are continuously being monitored. The manager
last provided an update to the Board on 06/26/2019.
Performance shown is net of fees.